<PAGE>
DEAR CONTRACT OWNERS:
A general slowdown in most major economies has resulted in favorable perfor-
mance for both stock and bond markets around the world during the past six
months. Yields on many fixed-income securities declined over the period, and
as bond prices rose in response to these declines, all of the fixed-income
Series available in the Trust experienced positive total returns. At the same
time, the decline in interest rates and strong corporate earnings reports have
caused many stock prices to rise over the period. For the six months ended
June 30, 1995, the market, as measured by the Standard & Poor's 500 Composite
Index (the S&P 500), a popular, unmanaged index of common stock performance,
returned +20.19%. All of the equity Series in the Trust achieved positive
results.
U.S. Outlook
In response to increasing evidence of economic weakness during the second
quarter, the Federal Reserve Board has reversed policy by lowering the federal
funds rate 0.25%. This marks the first time in three years that this rate has
been lowered, and brings the Federal Reserve's 18-month monetary-tightening
initiative to at least a temporary conclusion. Although inflation at the con-
sumer level has been trending higher this year at a 3 1/2% annualized rate,
recent evidence suggests that these pressures are beginning to moderate,
allowing the Federal Reserve to shift its policy focus toward sustaining eco-
nomic growth. Despite the economy's apparent lackluster performance in the
second quarter, we do not anticipate that the economy will lapse into reces-
sion. Rather, we believe it will continue to expand at a more moderate, sus-
tainable pace, supported by lower prevailing interest rates and a healthy
export sector.
Global Outlook
Economic recoveries in both Europe and Japan have been inhibited by the
strength of the yen and deutsche mark against the U.S. dollar. These export-
led expansions are struggling to compete in a global marketplace in which
their products are less competitively priced. Consumer sectors in these econo-
mies have been impaired by relatively high unemployment rates and continued
low growth in domestic money supplies. Recently, the Bank of Japan lowered
interest rates in an effort to stimulate domestic demand as well as to arrest
the strength of the yen against the dollar. Germany's Bundesbank lowered rates
in March, yet it appears that controlled inflation and sluggish domestic
demand should leave it with further room to ease. Our view is that the global
expansion remains intact, yet at a sluggish pace, particularly in Japan.
Inflation in overseas economies remains in a downward trend, providing fixed-
income investors with opportunities for relatively attractive real (adjusted
for inflation) rates of interest, possibly accompanied by moderate price
appreciation. While we view emerging markets with caution, selected opportuni-
ties exist in both fixed-income and equity markets, particularly at the more
attractive levels resulting from selloffs in many of those markets last year.
Recently, the U.S. dollar has stabilized in world currency markets. Although
we believe that the dollar continues to represent a sound store of value over
the long term, in the near term its relative strength will be restrained by
the persistently large U.S. current-account deficit.
Bond Markets
As the economy's ability to create jobs has diminished along with its use of
available productive capacity, fixed-income markets have become increasingly
convinced that inflationary pressures will remain subdued. As a result, long-
term U.S. Treasury bond yields have declined to 6.50% from their 7.85% level
at the beginning of the year. As bond yields continued to decline, it became
apparent that the markets had been anticipating an easing of the Federal
Reserve's policy. Now that the easing has begun, we believe that prevailing
rates may consolidate near present levels in the near term. Longer term, we
feel that continuing moderate growth should result in interest rates maintain-
ing their present levels or perhaps declining moderately over the balance of
this year.
The general slowdown of world economies has resulted in solid performance in
world bond markets during the past six months. European markets continue to be
buoyed by slow growth, low and controlled inflation and recent interest rate
cuts from key central banks. The Japanese market also has been strong as ane-
mic economic growth and consumer price deflation have helped interest rates
stage a major decline. We remain positive on overseas markets because we
anticipate continued slow growth and minimal inflationary pressures.
1
<PAGE>
Stock Markets
The U.S. stock market has maintained its upward momentum as stock prices have
responded to the cessation of the Federal Reserve's monetary-tightening ini-
tiative and to the belief that gains in corporate earnings may remain substan-
tial. Although we expect growth to remain moderate, our outlook for corporate
earnings growth remains favorable. We have been de-emphasizing many cyclical
areas such as autos and basic materials because of their less attractive earn-
ings outlook and have been emphasizing growth areas such as technology, health
care, consumer and household products, and financial services.
The first half of this year generally was favorable for global equities as
well, with most major markets registering positive gains. In local currencies,
European markets gained from 1% (Germany) to 14% (Sweden). Italy was the only
major European market showing a decline (-0.5%). In the Pacific Rim, Japan was
far and away the worst performing major market (-22%), while the Southeast
Asian, Australian and New Zealand markets posted gains of 6% to 13%. The weak-
ness of the U.S. dollar during this period also added to returns.
Comments from the portfolio managers of each Series are presented here and on
the following pages. We appreciate your support and welcome any questionsor
comments you may have.
On behalf of the Board of Trustees,
/s/ John D. McNeil
John D. McNeil
Chairman
July 18, 1995
CAPITAL APPRECIATION SERIES
During the past six months, the portfolio benefited from a significant weight-
ing in the technology sector, which had strong results from stocks related to
personal computer businesses such as Intel, Microsoft and Compaq Computer. Our
holdings in financial institutions such as MBNA Corp., a credit card issuer,
also rose significantly as interest rates declined over the first half of the
year. Our investments in entertainment stocks such as Promus Cos. also staged
a strong rally following weak performance during 1994. The only area of the
portfolio that showed weakness was medical services, which included companies
such as United Healthcare, a health maintenance organization. These holdings
were impacted by concerns over competitive pressure which led to negative per-
formance in the sector.
When selecting investments for the portfolio we continue to look for companies
which we believe possess the following key factors: earnings momentum, reason-
able valuations, effective management, a strong balance sheet, and positive
secular trends. Given that current price/earnings multiples are reasonable, we
believe earnings momentum is necessary to achieve further stock price appreci-
ation. Currently, our largest concentration remains in the technology area,
where we believe strong spending by both corporations and consumers is likely
to continue into the coming year. Other large weightings are in entertainment,
financial institutions, and a number of industrial holdings that we believe
should benefit from a continuation of economic growth over the coming year.
CONSERVATIVE GROWTH SERIES
During the past six months, we positioned the Series with major overweightings
in consumer non-durable and financial services investments, based on our
belief that the economy was slowing. We believed that the consumer non-durable
area would have solid earnings momentum based on better domestic results and
strong international returns. We held our financial services investments
because we felt that a falling interest rate environment would be the catalyst
for unlocking the value in our growth-oriented, low-valuation positions. At
the same time, despite our view on the economy, we maintained overweightings
in certain industrial companies such as Deere and Co. We believe there is a
secular revival in American manufacturing which has countered, and should con-
tinue to counter, the current domestic economic weakness. This is based on
what we believe is now a worldwide competitive advantage for these companies.
Looking forward, we believe it appears that the U.S. economy will not fall
back into a recession, but that it will resume a growth path either later on
this year or in early 1996. As such, our major challenge is to identify which
economically sensitive stocks will perform well in this environment. We remain
comfortable with our consumer non-durable investments because we believe they
have the earnings power and modest valuations necessary to do well in a grow-
ing, if not robust, economy.
2
<PAGE>
EMERGING GROWTH SERIES
This newest Series of MFS/Sun Life Series Trust seeks to provide long-term
growth of capital, primarily through investments in common stocks of small and
medium-sized companies which are early in their life cycle but which have the
potential to become major enterprises. Currently, our investments are concen-
trated in the technology and leisure and entertainment sectors of the market.
Technology continues to be very important to the world's economies. Industri-
alized countries are using technology to improve their competitive positions,
enhance their products and services and reduce their costs, while newly indus-
trialized countries are using technology to accelerate their entrance into the
world economies. Our largest positions are in companies like Oracle Systems
Corp. and Sybase.
In the leisure and entertainment sector, we are focusing on the lodging, gam-
ing and restaurant industries. Lodging fundamentals are strong because very
few hotels were built in the second half of the 1980s. As a result, supply
remains limited and room rates and occupancies have trended higher. Gaming
stocks are attractive because most of the capacity which was added recently
was quickly absorbed by burgeoning demand. Finally, the restaurant industry
has rebounded from what we believe were depressed valuations. Some examples of
our largest holdings are Hospitality Franchise Systems in the lodging indus-
try, Promus in gaming and lodging, and Applebee's in the restaurant industry.
GOVERNMENT SECURITIES SERIES
The year 1995 has seen a reversal in fortune for the U.S. bond market, as the
economy has slowed down sooner and more precipitously than many had predicted.
During the first six months of this year, the 10-year U.S. Treasury bond fell
by over 160 basis points (1.6%) and the 30-year U.S. Treasury bond fell by 125
basis points (1.25%). Short-term Treasury rates fell faster than long-term
yields as expectations of the eventual lowering of short-term rates by the
Federal Reserve became stronger because of a slowing economy. At the start of
this year the portfolio had less interest rate sensitivity than the Lehman
Brothers Government/Mortgage Index, an unmanaged index comprised of Treasur-
ies, agencies, and all agency mortgages (FNMA, Freddie Mac and GNMA), because
of our concerns about the pace of economic growth and the potential for
resource bottlenecks. However, as it became more apparent that the economy was
slowing and interest rates were falling, the portfolio's interest rate sensi-
tivity was increased in order to try and capitalize on any future fall in
rates.
Currently, the portfolio is positioned slightly longer than the Lehman Index,
and approximately 30% of total net assets is invested in mortgage-backed secu-
rities. As long as the Federal Reserve continues to contemplate further rate
cuts, the Series will remain positioned longer than the index. However, as the
effect of this year's fall in rates takes hold, and as inventory levels are
worked off, we plan to reduce our exposure to rates. In addition, because we
continue to believe that the additional yield of mortgage-backed securities
will add to the Series' total return, we are managing these securities to
position the portfolio against the adverse effect of prepayments.
HIGH YIELD SERIES
During the first half of 1995, high yield bond prices rose as interest rates
fell in response to the release of weaker than expected economic data. As
anticipated, the spread between high yield bonds and U.S. Treasury securities
widened due to growing concerns about the effect that the slowing economy
would have on credit quality. This spread is now 400 basis points (4.0%) ver-
sus approximately 360 basis points (3.6%) during 1994. However, we believe
that the improvement in the credit quality of the typical high yield issuer
over the past 10 years will limit the spread from widening significantly fur-
ther.
Given our outlook for only modest economic growth, we have begun to trim our
exposure to economically sensitive companies and have bolstered our positions
in defensive industries such as paging, cable television, health care and
supermarkets. However, we believe many cyclical companies continue to offer
attractive investment opportunities in the high yield market. For example, the
bonds of Stone Container (a paper products company) provide above market
yields, and the company recently received a credit upgrade by Standard &
Poor's, which cited improved paper market conditions and expectations of con-
tinued debt reduction. Until the economy begins to show signs of benefiting
from the lower interest rate environment, our investment strategy will con-
tinue to focus on the upper credit quality tier of the high yield market.
3
<PAGE>
MANAGED SECTORS SERIES
During the past six months, the Series' heavy concentration in the technology,
energy and financial services sectors helped overall performance to modestly
exceed the total return of the S&P 500. In technology, our holdings in compa-
nies such as Intel, EMC, Electronic Arts, Nokia, National Semiconductor and LSI
Logic have led the way. Energy performance was keyed by Tidewater, Occidental
Petroleum, BJ Services and Western Company of North America. The financial
services sector of the portfolio benefited from holdings in Charles Schwab,
Advanta and Travelers, Inc. Finally, individual stock performance in companies
such as Promus, McDonnell Douglas and Federated Department Stores contributed
favorably to overall results.
Going forward, we believe that gains in the stock market will become more dif-
ficult to achieve because many sectors have largely discounted both a lower
interest rate environment and an extended business cycle. We continue to search
for attractively valued companies but, given the strong market advance so far
this year, many equities appear to be approaching fair value. Thus, we are
maintaining a slightly more cautious outlook over the near term.
MONEY MARKET SERIES
During the past six months, short-term interest rates were quite volatile. With
a slowdown in economic growth and a yield curve that started to invert in May,
30-day commercial paper rates increased 25 basis points (0.25%), while three-
month commercial paper and Treasury bill rates actually fell by 35 and 25 basis
points (0.35% and 0.25%), respectively (principal value and interest on Trea-
sury securities are guaranteed by the U.S. government if held to maturity).
Anticipating lower interest rates, we have lengthened maturities in the portfo-
lio to try to lock in the higher rates while available. We continue to limit
the Series' investments to securities issued or guaranteed by the U.S. Treasury
or its agencies, or instrumentalities of the U.S. government, as well as to the
highest quality corporate issues, in order to minimize credit risk. At the
present time, approximately 68% of the portfolio is invested in U.S. government
or government-guaranteed issues, and 32% in corporate issues. The Series' aver-
age maturity on June 30, 1995 was 43 days.
RESEARCH SERIES
In seeking its objective of long-term growth of capital and future income, the
assets of the Series continue to be invested in the "best ideas" of the MFS
Research Department. Currently, our most significant investments have been made
in the technology, consumer staples and financial services sectors of the stock
market.
In technology, the Series' largest sector, investments have been made in compa-
nies which we believe are benefiting from both a strong product cycle and a
strong market. Examples of these holdings include Intel, with its Pentium chip,
and Microsoft, with its updated Windows operating system. The Series' second
largest sector is consumer staples. Even as the U.S. economy slows, we believe
companies in this sector should continue to show strong earnings as a result of
their successful expansion into foreign markets. Procter and Gamble and
Duracell are two examples of these investments. Finally, in the financial serv-
ices sector, we have invested in selected life insurance companies and in spe-
cialized financial services firms because we believe these companies should
benefit from lower interest rates as well as solid fundamentals.
TOTAL RETURN SERIES
In the face of a slowing U.S. economy and decelerating earnings, the equity
market continues to produce strong returns. The 20% rise in the S&P 500 year-
to-date has pushed its yield to an historical low of 2.5%. The slowing economy
has also served to keep inflation in check. The lack of inflationary pressure
has benefited the bond market, which also has produced strong year-to-date
results.
While we continue to see excellent opportunities in both the equity and bond
markets, our near-term enthusiasm is tempered by relatively high valuations. As
a result, our common stock weighting has recently been in the 45% to 50% range.
Within this portion of the portfolio, we are finding values in both the energy
and financial services sectors. We believe the retail sector and telephone
utilities are also more attractively priced. This below-normal weighting in
stocks is supported by a 10% weighting in convertibles. Government and corpo-
rate bonds have been making up 33% of the portfolio, while cash has ranged from
10% to 13% of total assets.
Looking forward, we believe that the Series is conservatively positioned for
the balance of the year. Should the markets correct, we would use that opportu-
nity to purchase stocks in order to increase the equity weighting to the more
normal 60% range.
4
<PAGE>
UTILITIES SERIES
Currently, the portfolio is market-weighted relative to the Standard & Poor's
Utility Index (the S&P Utility Index) in domestic utilities. The S&P Utility
Index is an unmanaged, market-value-weighted total return index of all utility
stocks in the S&P 500. Over the past six months, this sector has underperformed
the S&P Utility Index because investors fear that new competition entering the
industry over the next several years may threaten the earnings and dividend-
paying power of all electric utilities. However, certain states which wanted to
take aggressive steps to implement change have slowed their pace dramatically.
This has been viewed positively not only for the utilities in those states, but
for the industry as a whole. We plan to continue to invest in companies which
have positioned themselves for this changing environment and which offer rela-
tively robust earnings and dividend growth potential.
The telecommunications sector, which underperformed the S&P Utility Index dur-
ing the past six months, has been underweighted in the portfolio. Many compa-
nies in this sector are benefiting from solid growth in their core business, in
part driven by a strong economy. Ancillary services such as call waiting and
caller identification are helping to drive revenues as well. However, we
believe that fears of legislative action will affect this industry and will
create uncertainty until legislation is finally passed. In addition, to fund
the information superhighway, much capital is required, while the returns on
some of this capital currently are unclear. In spite of this, we believe cer-
tain companies like MCI Communications and AT&T have been hurt unduly by legis-
lative and dilution fears. We believe both of these companies are well-posi-
tioned for a more competitive telecommunications environment, whether competi-
tion is driven by legislation or the market or both.
We have continued to overweight gas utilities. This sector has outperformed the
S&P Utility Index recently as investors have perceived that they have seen the
lows in commodity prices. Finally, Real Estate Investment Trusts (REITs) cur-
rently comprise about 10% of the Series' total assets because we believe these
investments offer above-average dividend growth with superior yield potential.
In keeping with our strategy of remaining well-diversified, we have invested in
apartment, storage, health care, factory-outlet and manufactured-housing REITs.
WORLD ASSET ALLOCATION SERIES
Following strong performance in most major stock and bond markets during the
past six months, the quantitative model which guides our choice of assets among
domestic and international stocks and bonds has started to give off more con-
servative signals. As a result, the Asset Allocation Committee has decided to
change the target allocation of the Series to 60% stocks, 30% bonds and 10%
cash equivalents. Because we continue to believe that international equities
offer more attractive opportunities than those in the U.S., our equity alloca-
tion of 60% of total assets will be targeted for 45% in international securi-
ties and 15% in domestic issues. On the bond side, 10% of total assets will be
allocated to the high-yield corporate bond market, 10% to international securi-
ties and 10% to selected markets of emerging countries or regions.
The Asset Allocation Committee continues to meet at least monthly (or more fre-
quently if market conditions change) to review the allocation of the portfolio
and rebalance the sectors if such action is deemed appropriate.
WORLD GOVERNMENTS SERIES
All global bond markets have rallied significantly this year as fears of strong
world growth and runaway inflation that plagued markets last year have given
way to expectations of a much slower path of worldwide economic recovery. The
best performing bond market in local currency terms so far this year has been
Japan's (12.01%). Performing almost as well as Japan have been countries within
the U.S. dollar bloc, notably the U.S. (11.40%), Canada (10.45%), and Australia
(10.02%). As is the U.S., both Canada and Australia are enjoying lower infla-
tion and higher real (adjusted for inflation) interest rates. Although the
Series was underweighted in U.S. Treasury bonds (principal value and interest
on Treasury securities are guaranteed by the U.S. government if held to maturi-
ty) during the past six months, which hurt performance, it had an overweighted
position in Australia and a neutral position in Canada, both of which contrib-
uted favorably to results.
In Europe, the Netherlands and Germany were the better performers, returning
8.65% and 7.25%, respectively. Economic growth in Europe is slowing more
quickly than had been forecast at the beginning of the year, and thus our
strategy has been and continues to be focused on core markets such as Germany
and the
5
<PAGE>
Netherlands and, to a lesser extent, Denmark and France. We have generally
stayed out of the higher-yielding markets of Italy, Spain and Sweden, as these
countries have been experiencing rising inflation and political problems which
appear to preclude strong efforts at deficit reduction. With growth slowing
and inflation stable to declining, we expect an easing in monetary policy in
Europe, led by the German Bundesbank. Thus, we believe there is good capital
appreciation potential in these core markets over the next six months.
One of the factors which has contributed positively to the total return of the
Series this year has been our movement out of the U.S. dollar and into the yen
and a few of the core European currencies. The decline of the U.S. dollar has
been quite dramatic and, thus, it would not be unusual to expect a period of
consolidation or stability in the foreign exchange markets. However, so far
this year, both the yen and the deutsche mark have appreciated well over 10%
versus the U.S. dollar. Both Germany and Japan have already lowered interest
rates, in part to curtail the U.S. dollar's weakness as well as to stimulate
their own economic recoveries. Surprisingly, these actions, combined with the
foreign central banks' support of the dollar, have had a minimal impact in
bolstering the beleaguered currency. Until the U.S. takes strong initiatives
to curtail large budget and current-account deficits, the portfolio will be
positioned to benefit from a somewhat weaker U.S. dollar.
WORLD GROWTH SERIES
During the past six months, we continued to favor U.S. emerging growth stocks,
with technology representing the largest sector of this portion of the portfo-
lio. We believe opportunities for significant appreciation still exist in this
sector, especially in semiconductor, networking and software companies where
earnings are being driven by strong demand despite only modest global economic
growth. We have, however, cut back on the Series' holdings in health care com-
panies because we believe concerns over reimbursements and costs are likely to
impede the performance of many companies in this sector. We have redeployed
these assets into economically sensitive companies whose earnings could bene-
fit from lower interest rates during the months ahead.
Although the European and Japanese stock markets have lagged the U.S., we
believe that they are well-positioned to offer better returns during the com-
ing months due to declining interest rates and the fact that their economic
expansions are at an early stage. We continue to have a major focus on Japan
and, recently, we have overweighted France, a market which has been sluggish
during the past few years but now appears to offer attractive value.
Finally, we remain very positive on the long-term potential of selected emerg-
ing markets, particularly those of Asia and Latin America, which posted strong
gains during the past month. Selected investments have been made in Brazil and
Argentina, primarily in low-cost
producers of steel and basic materials. In Mexico, we have concentrated on
exporters and blue-chip companies that should survive and prosper when the
country's current economic problems are resolved.
WORLD TOTAL RETURN SERIES
Despite the Federal Reserve's recent lowering of interest rates, our view has
been that the worldwide increases that we have seen in yields during the past
year would eventually slow economic activity. Therefore, the equity portion of
the Series currently has very few holdings that respond strongly to rising
economic activity. Our five largest sectors, representing nearly 64% of our
equity position, are financial services, utilities, consumer staples, energy
and leisure, all of which should do well in a slower growth environment. An
important subset of the Series' equities are major companies that are in the
midst of turnarounds, such as IBM, Storehouse (a retail chain in the U.K.) and
Pinault-Printemps (a French retail chain). Approximately two-thirds of the
Series' equity holdings are foreign, with about 19 countries represented. Our
Latin American holdings were reduced significantly before Mexico's problems
began, and thus did not significantly detract from the Series' performance.
Our equity holdings are not hedged and therefore should do better when the
dollar is weaker.
In the fixed-income portion of the portfolio, the decline of the U.S. dollar
and the improvement in major world bond markets have benefited the Series dur-
ing the past six months. The deflationary environment in Japan has resulted in
the Japanese bond market, where we have maintained a neutral-to-overweight
position, being the best performer in the first quarter of 1995. Within
Europe, the Series has concentrated on core markets such as Germany and the
Netherlands, which have led the European rally because of declining inflation
and credible economic policies. Other holdings have
6
<PAGE>
included countries such as France, the U.K. and Denmark, where higher yields
offer attractive alternatives without assuming significant fundamental risk.
More recently, however, we have reduced our U.K. exposure due to greater polit-
ical uncertainty.
The strong U.S. bond rally has caused the other dollar-bloc markets to follow
suit. Our underweighted U.S. Treasury position was partially offset by gains in
Australia, Canada and New Zealand, particularly from the currencies of these
countries. The magnitude of the U.S. rally has seemed out of proportion to the
risks of inflation, given very low unemployment and high capacity utilization.
Until further evidence emerges that these risks are in fact negligible or, con-
versely, until interest rates rise to better reflect these risks, our U.S.
position will likely remain somewhat cautious.
ZERO COUPON SERIES
Both the 1995 and 2000 portfolios consist of coupon or principal payments which
are stripped from U.S. Treasury securities in order to provide a predictable
and compounded rate of return. (Principal value and interest on Treasury secu-
rities are guaranteed by the U.S. government if held to maturity.) Although
zero coupon bonds guarantee that a particular sum will be paid at maturity, no
interest payments are made until that time. As a result, the value of these
portfolios is more sensitive to interest rate changes than are bonds with com-
parable maturities.
As the 1995 Series approaches maturity, its total return has become similar to
that of money market instruments. For the six months ended June 30, 1995, the
1995 Series had a total return of +3.77%, roughly equivalent to the total
return of U.S. Treasury bills. However, the 2000 Series, because of its longer
duration, benefited from the significant decline in interest rates on interme-
diate-term Treasury securities and had a total return of +13.79% over the same
period.
7
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1995
CAPITAL APPRECIATION SERIES
COMMON STOCKS -- 98.3%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 94.0%
AEROSPACE -- 3.3%
Lockheed Martin Corp...................................... 103,200 $ 6,514,500
McDonnell Douglas Corp. .................................. 197,500 15,158,125
------------
$ 21,672,625
------------
AGRICULTURAL PRODUCTS -- 0.9%
AGCO Corp................................................. 149,200 $ 5,595,000
------------
AIRLINES -- 1.6%
AMR Corp.*................................................ 21,400 $ 1,596,975
Southwest Airlines Co..................................... 372,000 8,881,500
------------
$ 10,478,475
------------
AUTOMOTIVE -- 3.0%
APS Holding Corp.*........................................ 236,700 $ 6,242,963
General Motors Corp....................................... 89,000 4,171,875
Harley-Davidson, Inc...................................... 238,600 5,815,875
Superior Industries International......................... 109,400 3,405,075
------------
$ 19,635,788
------------
BUSINESS MACHINES -- 1.8%
International Business Machines Corp...................... 59,300 $ 5,692,800
Motorola, Inc............................................. 91,000 6,108,375
------------
$ 11,801,175
------------
BUSINESS MACHINES -- PERIPHERALS -- 0.4%
Exabyte Corp.*............................................ 187,100 $ 2,596,013
------------
BUSINESS SERVICES -- 2.0%
Ceridian Corp.*........................................... 260,000 $ 9,587,500
Policy Management Systems Corp.*.......................... 79,700 3,666,200
------------
$ 13,253,700
------------
CELLULAR TELEPHONES -- 1.5%
AirTouch Communications, Inc.*............................ 354,500 $ 10,103,250
------------
CHEMICALS -- 1.8%
Geon Co................................................... 234,800 $ 6,750,500
Union Carbide Corp. ...................................... 140,000 4,672,500
------------
$ 11,423,000
------------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 5.7%
Autodesk, Inc............................................. 130,600 $ 5,615,800
Electronic Arts, Inc.*.................................... 464,800 12,607,700
Microsoft Corp.*.......................................... 193,600 17,496,600
Spectrum Holobyte, Inc.*.................................. 111,300 1,592,981
------------
$ 37,313,081
------------
COMPUTER SOFTWARE -- SYSTEMS -- 8.6%
BMC Software, Inc.*....................................... 125,300 $ 9,679,425
Cadence Design Systems, Inc.*............................. 290,400 9,401,700
Compaq Computer Corp.*.................................... 229,300 10,404,488
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
COMPUTER SOFTWARE -- SYSTEMS -- continued
Compuware Corp.*.......................................... 150,000 $ 4,612,500
General Motors Corp.,"E".................................. 101,000 4,393,500
Oracle Systems Corp.*..................................... 176,100 6,801,863
Structural Dynamics Research Corp.*....................... 257,800 3,335,288
Sybase, Inc.*............................................. 251,900 7,399,563
------------
$ 56,028,327
------------
CONSUMER GOODS AND SERVICES -- 7.4%
Colgate-Palmolive Co...................................... 49,500 $ 3,619,688
Duracell International, Inc............................... 139,000 6,011,750
Philip Morris Cos., Inc................................... 271,700 20,207,688
Tyco International Ltd.................................... 340,600 18,392,400
------------
$ 48,231,526
------------
CONTAINERS -- 0.6%
Stone Container Corp.*.................................... 176,600 $ 3,752,750
------------
DEFENSE ELECTRONICS -- 0.7%
Loral Corp................................................ 87,700 $ 4,538,475
------------
ELECTRONICS -- 7.4%
Analog Devices, Inc....................................... 200,000 $ 6,800,000
Applied Materials, Inc.*.................................. 43,500 3,768,188
Intel Corp................................................ 331,400 20,981,763
LSI Logic Corp.*.......................................... 271,000 10,602,875
National Semiconductor Corp.*............................. 213,700 5,930,175
------------
$ 48,083,001
------------
ENTERTAINMENT -- 6.0%
Argosy Gaming Corp.*...................................... 228,300 $ 2,939,363
Circus Circus Enterprises, Inc.*.......................... 261,000 9,200,250
Grand Casinos, Inc.*...................................... 58,400 2,065,900
Mirage Resorts, Inc.*..................................... 184,000 5,635,000
National Gaming Corp.*.................................... 18,000 155,250
Promus Cos., Inc.*........................................ 619,700 17,429,063
Sky City Ltd.*............................................ 125,000 1,774,110
------------
$ 39,198,936
------------
FINANCIAL INSTITUTIONS -- 7.7%
Beneficial Corp. ......................................... 73,400 $ 3,229,600
Federal Home Loan Mortgage Corp........................... 68,400 4,702,500
Financial Federal Corp.*.................................. 267,500 4,714,687
Finova Group, Inc......................................... 172,400 6,034,000
First USA, Inc............................................ 104,500 4,637,187
Franklin Resources, Inc................................... 34,200 1,521,900
Green Tree Financial Corp................................. 140,000 6,212,500
MBNA Corp................................................. 132,900 4,485,375
Schwab (Charles) Corp..................................... 264,600 11,477,025
United Asset Management Corp. ............................ 88,200 3,142,125
------------
$ 50,156,899
------------
</TABLE>
8
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
FOOD AND BEVERAGE PRODUCTS -- 1.7%
General Mills, Inc........................................ 90,800 $ 4,664,850
Pioneer Hi-Bred International............................. 37,900 1,591,800
Universal Foods Corp...................................... 141,600 4,584,300
------------
$ 10,840,950
------------
FOREST AND PAPER PRODUCTS -- 1.1%
Boise Cascade Corp........................................ 26,700 $ 1,081,350
Georgia-Pacific Corp...................................... 70,000 6,072,500
------------
$ 7,153,850
------------
MACHINERY -- 3.9%
Caterpillar, Inc.......................................... 200,200 $ 12,862,850
Deere & Co., Inc.......................................... 108,500 9,290,312
IDEX Corp................................................. 90,000 3,015,000
------------
$ 25,168,162
------------
MEDICAL AND HEALTH PRODUCTS -- 2.4%
Johnson & Johnson......................................... 147,100 $ 9,947,637
Pfizer, Inc............................................... 38,700 3,574,912
Sofamor Danek Group, Inc.*................................ 82,800 1,873,350
------------
$ 15,395,899
------------
MEDICAL AND HEALTH TECHNOLOGY
AND SERVICES -- 6.1%
Foundation Health Corp.*.................................. 167,400 $ 4,519,800
Genesis Health Ventures, Inc.*............................ 76,800 2,275,200
Health Care & Retirement Corp.*........................... 120,300 3,518,775
Living Centers of America*................................ 125,400 3,401,475
Manor Care, Inc........................................... 330,900 9,637,462
Mariner Health Group, Inc.*............................... 159,700 1,796,625
United Healthcare Corp.................................... 359,900 14,890,862
------------
$ 40,040,199
------------
METALS AND MINERALS -- 4.1%
Allegheny Ludlum Corp. ................................... 222,700 $ 4,398,325
J & L Specialty Steel..................................... 214,000 4,119,500
Minerals Technologies, Inc................................ 140,000 5,040,000
Nucor Corp................................................ 125,300 6,703,550
Phelps Dodge Corp......................................... 107,700 6,354,300
------------
$ 26,615,675
------------
OILS -- 1.6%
Enron Oil & Gas........................................... 140,400 $ 3,053,700
Mitchell Energy & Development Corp........................ 251,000 4,486,625
Snyder Oil Corp........................................... 250,000 3,156,250
------------
$ 10,696,575
------------
PHOTOGRAPHIC PRODUCTS -- 0.9%
Eastman Kodak Co.......................................... 99,600 $ 6,038,250
------------
POLLUTION CONTROL -- 0.9%
Browning-Ferris Industries................................ 161,000 $ 5,816,125
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
RAILROADS -- 1.0%
Wisconsin Central Transportation Corp.*................. 127,800 $ 6,262,200
------------
RESTAURANTS AND LODGING -- 4.0%
Brinker International, Inc.*............................ 444,200 $ 7,662,450
Darden Restaurants, Inc.*............................... 90,800 987,450
Hospitality Franchise System*........................... 231,800 8,026,075
Promus Hotel Corp.*..................................... 421,650 9,276,300
------------
$ 25,952,275
------------
SPECIAL PRODUCTS AND SERVICES -- 0.4%
Stanley Works........................................... 74,500 $ 2,821,687
------------
STORES -- 4.3%
Federated Department Stores, Inc.*...................... 502,900 $ 12,949,675
Intelligent Electronics, Inc............................ 472,300 6,435,087
Office Depot, Inc.*..................................... 300,000 8,437,500
Phar-Mor, Inc.*++##..................................... 10,000 10,000
------------
$ 27,832,262
------------
TELECOMMUNICATIONS -- 1.2%
Chipcom Corp.*.......................................... 330,100 $ 7,839,875
------------
Total U.S. Stocks
(Identified Cost, $516,823,603)................................. $612,336,005
------------
FOREIGN STOCKS -- 4.3%
FINLAND -- 0.8%
Nokia AB (Telecommunications)........................... 84,000 $ 4,998,008
------------
HONG KONG -- 0.6%
Peregrine Investment Holdings (Finance)................. 2,520,000 $ 3,582,645
------------
SWEDEN -- 1.5%
Astra AB, "B" (Pharmaceuticals)......................... 280,000 $ 8,436,867
TV 4 AB (Telecommunications)............................ 81,500 1,637,154
------------
$ 10,074,021
------------
UNITED KINGDOM -- 1.4%
Reuters Holdings, PLC (Printing and Publishing)......... 179,400 $ 8,992,425
------------
Total Foreign Stocks
(Identified Cost, $15,382,033).................................. $ 27,647,099
------------
Total Common Stocks
(Identified Cost, $532,205,636)................................. $639,983,104
------------
</TABLE>
9
<PAGE>
SHORT-TERM OBLIGATIONS -- 2.3%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Federal National Mortgage Assn., due 7/05/95..... $5,000 $ 4,996,717
Ford Motor Credit Corp., due 7/03/95............. 6,845 6,842,642
Transamerica Corp., due 7/13/95.................. 3,000 2,994,070
------------
Total Short-Term Obligations, at Amortized Cost.................. $ 14,833,429
------------
Total Investments (Identified Cost, $547,039,065)................ $654,816,533
OTHER ASSETS, LESS
LIABILITIES -- (0.6)%............................................ (3,785,051)
------------
Net Assets -- 100.0%............................................. $651,031,482
============
</TABLE>
See portfolio footnotes and notes to financial statements
PORTFOLIO OF INVESTMENTS -- June 30,
1995
CONSERVATIVE GROWTH SERIES
COMMON STOCKS -- 91.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 87.2%
AEROSPACE -- 5.6%
Allied Signal, Inc........................................ 49,100 $ 2,184,950
Boeing Co................................................. 2,600 162,825
Lockheed Martin Corp...................................... 48,048 3,033,030
McDonnell Douglas Corp.................................... 41,800 3,208,150
Raytheon Co............................................... 35,300 2,740,163
------------
$ 11,329,118
------------
AGRICULTURAL PRODUCTS -- 0.6%
AGCO Corp................................................. 3,500 $ 138,750
Conagra, Inc.............................................. 33,300 1,161,337
------------
$ 1,300,087
------------
APPAREL AND TEXTILES -- 2.2%
Nike, Inc., "B"'.......................................... 26,400 $ 2,217,600
VF Corp. ................................................. 39,900 2,144,625
------------
$ 4,362,225
------------
AUTOMOTIVE -- 0.5%
Eaton Corp................................................ 18,400 $ 1,069,500
------------
BANKS AND CREDIT COMPANIES -- 7.5%
Bankers Trust of New York Corp............................ 15,600 $ 967,200
Comerica, Inc............................................. 3,800 122,075
First Bank System, Inc.................................... 102,700 4,210,700
Firstar Corp.............................................. 31,700 1,065,912
NBD BanCorp, Inc.......................................... 55,200 1,766,400
National City Corp........................................ 28,600 840,125
Norwest Corp.............................................. 140,000 4,025,000
SunTrust Banks, Inc....................................... 25,600 1,491,200
U.S. Bancorp.............................................. 35,500 854,219
------------
$ 15,342,831
------------
BUSINESS MACHINES -- 1.8%
Hewlett-Packard Co........................................ 10,300 $ 767,350
International Business Machines Corp...................... 11,200 1,075,200
Motorola, Inc............................................. 22,600 1,517,025
Xerox Corp................................................ 2,200 257,950
------------
$ 3,617,525
------------
CELLULAR TELEPHONES -- 0.1%
AirTouch Communications, Inc.*............................ 5,900 $ 168,150
------------
CHEMICALS -- 1.0%
du Pont (E. I.) de Nemours & Co........................... 18,700 $ 1,285,625
Grace (W.R.) & Co......................................... 12,800 785,600
------------
$ 2,071,225
------------
</TABLE>
10
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 1.0%
First Data Corp............................................ 2,000 $ 113,750
Microsoft Corp.*........................................... 21,000 1,897,875
------------
$ 2,011,625
------------
COMPUTER SOFTWARE -- SYSTEMS -- 1.4%
Compaq Computer Corp.*..................................... 15,400 $ 698,775
General Motors Corp........................................ 34,300 1,492,050
Oracle Systems Corp.*...................................... 16,700 645,038
------------
$ 2,835,863
------------
CONGLOMERATES -- 0.9%
ITT Corp................................................... 16,400 $ 1,927,000
------------
CONSUMER GOODS AND SERVICES -- 10.3%
American Standard Cos., Inc.*.............................. 23,200 $ 635,100
Colgate-Palmolive Co....................................... 48,900 3,575,813
Duracell International, Inc................................ 15,300 661,725
Gillette Co................................................ 86,000 3,837,750
Philip Morris Cos., Inc.................................... 75,600 5,622,750
Procter & Gamble Co. ...................................... 52,900 3,802,187
RJR Nabisco Holdings*...................................... 35,460 988,447
Sara Lee Corp.............................................. 30,700 874,950
Seagrams Ltd............................................... 20,800 720,200
Tyco International Ltd..................................... 2,300 124,200
------------
$ 20,843,122
------------
CONTAINERS -- 1.0%
Corning, Inc............................................... 65,100 $ 2,132,025
------------
DEFENSE ELECTRONICS -- 1.4%
Loral Corp................................................. 56,100 $ 2,903,175
------------
ELECTRICAL EQUIPMENT -- 2.9%
General Electric Co........................................ 68,800 $ 3,878,600
Honeywell, Inc............................................. 46,000 1,983,750
------------
$ 5,862,350
------------
ELECTRONICS -- 2.0%
Intel Corp................................................. 46,200 $ 2,925,038
National Semiconductor Corp.*.............................. 40,900 1,134,975
------------
$ 4,060,013
------------
ENTERTAINMENT -- 0.9%
Comcast Corp., "A"......................................... 9,100 $ 168,919
Disney (Walt) Co........................................... 27,100 1,507,438
Promus Cos., Inc.*......................................... 3,600 140,400
------------
$ 1,816,757
------------
FINANCIAL INSTITUTIONS -- 2.5%
Beneficial Corp............................................ 57,200 $ 2,516,800
Federal Home Loan Mortgage Corp............................ 15,600 1,072,500
MBNA Corp.................................................. 4,600 155,250
State Street Boston Corp................................... 37,900 1,397,563
------------
$ 5,142,113
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
FOOD AND BEVERAGE PRODUCTS -- 6.1%
Anheuser-Busch Cos., Inc................................... 41,900 $ 2,383,063
Archer-Daniels-Midland Co.................................. 22,500 419,063
CPC International, Inc..................................... 56,300 3,476,525
General Mills, Inc......................................... 12,800 657,600
Hershey Foods Corp......................................... 16,400 906,100
Kellogg Co., Inc........................................... 15,300 1,092,038
PepsiCo, Inc............................................... 49,300 2,249,313
Pioneer Hi-Bred International, Inc......................... 23,500 987,000
Whitman Corp............................................... 12,300 238,313
------------
$ 12,409,015
------------
FOREST AND PAPER PRODUCTS -- 1.5%
Kimberly Clark Corp........................................ 26,600 $ 1,592,675
Scott Paper................................................ 28,300 1,400,850
------------
$ 2,993,525
------------
INSURANCE -- 6.1%
AFLAC, Inc................................................. 28,400 $ 1,242,500
American Re Corp........................................... 13,500 502,875
CIGNA Corp................................................. 9,900 768,488
General Re Corp............................................ 4,100 548,888
MBIA, Inc.................................................. 33,000 2,194,500
Progressive Corp........................................... 30,700 1,178,113
St. Paul Cos., Inc......................................... 17,700 871,725
Torchmark Corp............................................. 48,700 1,838,425
Transamerica Corp.......................................... 33,200 1,933,900
UNUM Corp.................................................. 25,100 1,176,563
------------
$ 12,255,977
------------
MACHINERY -- 1.5%
Deere & Co., Inc........................................... 30,200 $ 2,585,875
York International Corp.................................... 8,700 391,500
------------
$ 2,977,375
------------
MEDICAL AND HEALTH PRODUCTS -- 4.5%
American Home Products Corp................................ 12,100 $ 936,238
Johnson & Johnson.......................................... 41,600 2,813,200
Lilly (Eli) & Co........................................... 10,300 808,550
Pfizer, Inc................................................ 17,900 1,653,513
Warner-Lambert Co.......................................... 33,400 2,884,925
------------
$ 9,096,426
------------
MEDICAL AND HEALTH TECHNOLOGY AND
SERVICES -- 1.4%
Columbia HCA Healthcare.................................... 10,600 $ 458,450
Manor Care, Inc............................................ 5,200 151,450
Pacificare Health Systems, Inc., "B" *..................... 26,500 1,351,500
United Healthcare Corp..................................... 19,100 790,263
------------
$ 2,751,663
------------
METALS AND MINERALS -- 0.6%
Phelps Dodge Corp.......................................... 20,500 $ 1,209,500
------------
</TABLE>
11
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
OILS -- 5.9%
Amoco Corp................................................. 30,700 $ 2,045,387
Atlantic Richfield Co...................................... 11,700 1,284,075
Chevron Corp............................................... 47,000 2,191,375
Exxon Corp................................................. 38,700 2,733,188
Mobil Corp................................................. 36,700 3,523,200
Occidental Petroleum Corp.................................. 5,100 116,662
------------
$ 11,893,887
------------
PHOTOGRAPHIC PRODUCTS -- 0.6%
Eastman Kodak Co........................................... 18,900 $ 1,145,813
------------
POLLUTION CONTROL -- 0.4%
WMX Technologies, Inc...................................... 30,700 $ 871,113
------------
PRINTING AND PUBLISHING -- 0.9%
Deluxe Corp................................................ 14,100 $ 467,062
Tribune Co., Inc........................................... 22,500 1,380,937
------------
$ 1,847,999
------------
RAILROADS -- 3.2%
CSX Corp................................................... 33,900 $ 2,546,737
Conrail, Inc............................................... 15,300 851,063
Illinois Central Corp...................................... 60,500 2,087,250
Norfolk Southern........................................... 15,300 1,030,837
------------
$ 6,515,887
------------
RESTAURANTS AND LODGING -- 0.3%
Brinker International, Inc.*............................... 9,900 $ 170,775
Darden Restaurant* ........................................ 38,100 414,337
------------
$ 585,112
------------
SPECIAL PRODUCTS AND SERVICES -- 0.3%
Stanley Works.............................................. 15,700 $ 594,638
------------
STORES -- 3.8%
Dayton-Hudson Corp......................................... 30,200 $ 2,166,850
Dillard Department Stores, Inc............................. 10,200 299,625
Federated Department Stores, Inc.*......................... 4,700 121,025
May Department Stores Cos.................................. 51,600 2,147,850
Penney (J.C.), Inc......................................... 46,400 2,227,200
Wal-Mart Stores, Inc....................................... 31,300 837,275
------------
$ 7,799,825
------------
TELECOMMUNICATIONS
Cox Communications, Inc., "A" *............................ 39 $ 755
------------
UTILITIES -- ELECTRIC -- 1.8%
CMS Energy Corp............................................ 4,100 $ 100,962
Cinergy Corp............................................... 20,900 548,625
DPL, Inc................................................... 46,400 1,026,600
Nipsco Industries, Inc..................................... 3,300 112,200
PECO Energy Co............................................. 40,900 1,129,862
Pinnacle West Capital Corp................................. 4,900 120,050
Texas Utilities Co......................................... 15,300 525,937
------------
$ 3,564,236
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
UTILITIES -- GAS -- 0.7%
Pacific Enterprises....................................... 50,700 $ 1,242,150
Tenneco, Inc.............................................. 2,300 105,800
------------
$ 1,347,950
------------
UTILITIES -- TELEPHONE -- 4.0%
American Telephone & Telegraph Co......................... 54,300 $ 2,884,687
Ameritech Corp............................................ 22,100 972,400
BellSouth Corp............................................ 13,300 844,550
GTE Corp.................................................. 40,600 1,385,475
MCI Communications Corp................................... 5,300 116,600
Pacific Telesis Group..................................... 20,500 548,375
SBC Communications, Inc................................... 28,100 1,338,262
------------
$ 8,090,349
------------
Total U.S. Stocks
(Identified Cost, $158,954,068)................................. $176,745,749
------------
FOREIGN STOCKS -- 3.9%
AUSTRALIA -- 0.2%
Australia & New Zealand Bank Group (Banks and Credit Com-
panies).................................................. 108,100 $ 383,971
------------
DENMARK -- 0.5%
Tele-Danmark, ADR, "B" (Utilities -- Telephone)........... 32,700 $ 915,600
------------
FINLAND -- 0.6%
Nokia Corp., ADR
(Telecommunications)..................................... 20,500 $ 1,222,312
------------
NETHERLANDS -- 1.0%
IHC Caland NV (Transportation -- Marine).................. 14,600 $ 415,470
Royal Dutch Petroleum Co., ADR
(Oils)................................................... 13,500 1,645,312
------------
$ 2,060,782
------------
NEW ZEALAND -- 0.2%
Lion Nathan Ltd. (Beverages).............................. 208,500 $ 412,201
------------
SWEDEN -- 1.1%
Astra AB, "B", Free Shares (Pharmaceuticals).............. 53,600 $ 1,615,057
Hennes & Mauritz (Retail -- Clothing)..................... 11,700 685,763
------------
$ 2,300,820
------------
UNITED KINGDOM -- 0.3%
British Petroleum PLC, ADR (Oils)......................... 1,900 $ 162,687
Southern Electric (Utilities -- Electric)................. 52,100 532,248
------------
$ 694,935
------------
Total Foreign Stocks
(Identified Cost, $3,843,200)................................... $ 7,990,621
------------
Total Common Stocks
(Identified Cost, $162,797,268)................................. $184,736,370
------------
</TABLE>
12
<PAGE>
CONVERTIBLE PREFERRED STOCKS -- 1.2%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FINANCIAL INSTITUTIONS -- 0.2%
American General Corp., $3.00.................... 6,300 $ 326,812
------------
FOREST AND PAPER PRODUCTS -- 0.3%
Bowater, Inc., 7%, "B"........................... 15,300 $ 577,575
------------
OILS -- 0.1%
Atlantic Richfield Co., 9%....................... 12,300 $ 319,800
------------
SPECIAL PRODUCTS AND SERVICES -- 0.6%
Occidental Petroleum Corp., $3.875*##............ 20,500 $ 1,168,500
------------
Total Convertible Preferred Stocks (Identified Cost,
$2,227,951)..................................................... $ 2,392,687
------------
CONVERTIBLE BONDS -- 0.8%
<CAPTION>
Principal Amount
(000 omitted)
<S> <C> <C>
INSURANCE -- 0.3%
Equitable Cos., Inc., 6.125s, 2024............... $ 600 $ 612,750
------------
MEDICAL AND HEALTH TECHNOLOGY
AND SERVICES -- 0.4%
Roche Holdings, Inc., 0s, 2010*##................ $2,000 $ 800,000
------------
STORES -- 0.1%
Costco Wholesale Corp., 5.75s, 2002.............. $ 250 $ 231,875
------------
Total Convertible Bonds
(Identified Cost, $1,602,500)................................... $ 1,644,625
------------
SHORT-TERM OBLIGATIONS -- 6.3%
Federal Home Loan Bank, due 7/07/95.............. $2,600 $ 2,597,452
Federal Home Loan Mortgage Corp., due 7/03/95.... 3,085 3,083,955
Federal National Mortgage Assn., due 7/05/95..... 3,100 3,097,978
Transamerica Corp., due 7/13/95.................. 4,000 3,992,093
------------
Total Short-Term Obligations, at Amortized Cost.................. $ 12,771,478
------------
Total Investments
(Identified Cost, $179,399,197)................................. $201,545,160
OTHER ASSETS,
LESS LIABILITIES -- 0.6% ........................................ 1,241,761
------------
Net Assets -- 100.0%............................................. $202,786,921
============
</TABLE>
See portfolio footnotes and notes to financial statements
PORTFOLIO OF INVESTMENTS -- June 30,
1995
EMERGING GROWTH SERIES
COMMON STOCKS -- 70.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
AUTOMOTIVE -- 0.1%
Safety Components International, Inc.*...................... 400 $ 6,600
-----------
BIOTECHNOLOGY
InStent, Inc.*.............................................. 100 $ 1,425
-----------
BUSINESS SERVICES -- 4.2%
BISYS Group, Inc.*.......................................... 2,300 $ 51,175
Business Resource Group*.................................... 300 2,587
CUC International, Inc.*.................................... 3,900 163,800
Franklin Quest Co.*......................................... 6,000 144,000
Global DirectMail Corp.*.................................... 2,900 57,275
Interim Services, Inc.*..................................... 400 10,000
National Data Corp.......................................... 300 6,938
Rural/Metro Corp.*.......................................... 1,000 22,250
SOS Staffing Services, Inc.*................................ 500 3,375
SPS Transaction Services, Inc.*............................. 700 24,238
-----------
$ 485,638
-----------
COMPUTER SOFTWARE -- 0.1%
ArcSys, Inc.*............................................... 100 $ 3,400
Interactive Group, Inc.*.................................... 100 600
MySoftware Co.*............................................. 100 1,250
Number Nine Visual Technology*.............................. 100 2,075
-----------
$ 7,325
-----------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 5.2%
Autodesk, Inc. ............................................. 11,000 $ 473,000
Eagle Point Software Corp.*................................. 100 1,700
Maxis, Inc.*................................................ 100 2,662
Softkey International, Inc.*................................ 4,000 127,500
-----------
$ 604,862
-----------
COMPUTER SOFTWARE -- SYSTEMS -- 16.7%
Baan Co.*................................................... 100 $ 3,087
BDM International, Inc.*.................................... 200 4,075
BMC Software, Inc.*......................................... 2,700 208,575
Cadence Design Systems, Inc.*............................... 8,800 284,900
Compuware Corp.*............................................ 9,800 301,350
Datalogix International, Inc.*.............................. 100 2,437
Dendrite International, Inc.*............................... 100 1,613
Discreet Logic, Inc.*....................................... 100 3,300
HNC Software, Inc.*......................................... 100 2,125
Inference Corp., "A"*....................................... 100 1,412
Oracle Systems Corp.*....................................... 13,900 536,888
Seer Technologies, Inc.*.................................... 100 2,075
Spyglass, Inc.*............................................. 100 2,863
Sybase, Inc.*............................................... 10,400 305,500
System Software Associates, Inc. ........................... 14,500 290,000
Uunet Technologies, Inc.*................................... 100 2,750
-----------
$ 1,952,950
-----------
ELECTRICAL EQUIPMENT
Chicago Miniature Lamp, Inc.*............................... 100 $ 1,375
-----------
</TABLE>
13
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
ELECTRONICS -- 0.9%
C.P. Clare Corp.*........................................... 100 $ 2,000
Datametrics Corp.*.......................................... 300 2,831
Linear Technology Corp. .................................... 1,300 85,800
Paradigm Technology, Inc.*.................................. 100 2,244
Tower Semiconductor Ltd.*................................... 200 5,800
Ultratech Stepper, Inc.*.................................... 200 7,050
-----------
$ 105,725
-----------
ENTERTAINMENT -- 5.5%
American Radio Systems Corp.*............................... 100 $ 2,275
Casino America, Inc.*....................................... 700 10,588
Grand Casinos, Inc.*........................................ 2,600 91,975
Promus Cos., Inc.*.......................................... 13,500 526,500
Sinclair Broadcast Group, Inc., "A"*........................ 100 2,800
Station Casinos, Inc.*...................................... 500 8,625
-----------
$ 642,763
-----------
MACHINERY -- 0.1%
Hardinge, Inc. ............................................. 100 $ 1,912
Opal, Inc.*................................................. 100 1,850
Westinghouse Air Brake Co.*................................. 800 11,400
-----------
$ 15,162
-----------
MEDICAL AND HEALTH PRODUCTS -- 0.2%
ICU Medical, Inc.*.......................................... 400 $ 5,650
Orthofix International N.V.*................................ 1,000 17,125
-----------
$ 22,775
-----------
MEDICAL AND HEALTH TECHNOLOGY
AND SERVICES -- 20.2%
APPS Dental, Inc.*.......................................... 100 $ 2,100
American Medical Response*.................................. 2,000 56,000
American Oncology Resources, Inc.*.......................... 100 2,775
Foundation Health Corp.*.................................... 6,300 170,100
Healthplan Services Corp.*.................................. 1,000 15,125
Healthsource, Inc.*......................................... 6,600 231,000
Horizon Healthcare Corp.*................................... 3,800 67,925
Integrated Health Services, Inc. ........................... 5,700 171,000
Lincare Holdings, Inc.*..................................... 3,000 79,687
Mariner Health Group, Inc.*................................. 2,000 22,500
Mid-Atlantic Medical Services, Inc.*........................ 17,000 314,500
Oxford Health Plans, Inc.*.................................. 2,500 118,125
Pacificare Health Systems, Inc., "A"*....................... 5,400 274,050
Pacificare Health Systems, Inc., "B"*....................... 2,600 132,600
Pediatric Services of America, Inc.*........................ 700 11,550
Physicians Resource Group, Inc.*............................ 600 8,025
Renal Treatment Centers, Inc.*.............................. 1,900 46,787
Surgical Care Affiliates, Inc. ............................. 4,100 78,413
United Healthcare Corp. .................................... 13,500 558,563
-----------
$ 2,360,825
-----------
RESTAURANTS AND LODGING -- 9.9%
Amerihost Properties, Inc.*................................. 2,500 $ 13,750
Apple South, Inc. .......................................... 100 1,950
Applebee's International, Inc. ............................. 4,100 105,575
Brinker International, Inc.*................................ 8,500 146,625
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
RESTAURANTS AND LODGING -- continued
Buffets, Inc.*................................... 2,800 $ 38,500
Doubletree Corp.*................................ 300 6,469
Hammons (John Q) Hotels, Inc.*................... 7,700 107,800
Hometown Buffet, Inc.*........................... 1,800 20,475
Hospitality Franchise System*.................... 14,100 488,212
IHOP Corp.*...................................... 4,300 110,725
Lone Star Steakhouse and Saloon, Inc.*........... 2,000 60,625
Promus Hotel Corp.*(S)(S)........................ 2,500 55,000
Studio Plus Hotels, Inc.*........................ 100 1,675
-----------
$ 1,157,381
-----------
STORES -- 4.4%
Borders Group, Inc.*............................. 200 $ 2,875
Consolidated Stores Corp.*....................... 2,800 58,450
Gymboree Corp.*.................................. 800 23,250
Hollywood Entertainment Corp.*................... 700 31,500
Micro Warehouse, Inc.*........................... 5,300 243,800
Office Depot, Inc.*.............................. 5,400 151,875
-----------
$ 511,750
-----------
TELECOMMUNICATIONS -- 2.6%
ALC Communications Corp.*........................ 1,000 $ 45,125
Bay Networks, Inc.*.............................. 800 33,100
Cabletron Systems, Inc.*......................... 1,700 90,525
Equalnet Holding Corp.*.......................... 4,000 60,000
Harmonic Lightwaves, Inc.*....................... 100 1,675
Mobilmedia Corp.*................................ 400 8,200
Sitel Corp.*..................................... 100 1,787
Teltrend, Inc.*.................................. 100 1,975
TranSwitch Corp.*................................ 200 1,825
VideoServer, Inc.*............................... 100 3,900
WorldCom, Inc.*.................................. 2,200 59,400
-----------
$ 307,512
-----------
Total Common Stocks
(Identified Cost, $8,033,541)................................... $ 8,184,068
-----------
SHORT-TERM OBLIGATIONS -- 33.7%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Home Loan Mortgage Corp., due 7/03/95 -
7/05/95........................................ $3,025 $ 3,023,207
Federal National Mortgage Assn., due 7/14/95..... 920 918,043
-----------
Total Short-Term Obligations, at Amortized Cost.................. $ 3,941,250
-----------
Total Investments
(Identified Cost, $11,974,791).................................. $12,125,318
OTHER ASSETS,
LESS LIABILITIES -- (3.8)%....................................... (446,127)
-----------
Net Assets -- 100.0%............................................. $11,679,191
===========
</TABLE>
See portfolio footnotes and notes to financial statements
14
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1995
GOVERNMENT SECURITIES SERIES
U.S. FEDERAL AGENCIES -- 30.0%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
AID Israel, 8s, 2001............................. $ 5,000 $ 5,432,300
AID Israel, 5.625s, 2003......................... 2,000 1,892,080
Farm Credit Systems Financial Assistance, 9.375s,
2003............................................ 3,950 4,656,695
Federal Agricultural Mortgage Corp., 7.02s, 1998. 1,000 1,023,280
Federal Agricultural Mortgage Corp., 7.25s, 1999. 2,000 2,072,820
Federal Agricultural Mortgage Corp., 8.02s, 2006. 1,000 1,124,060
Federal Home Loan Bank, 4.25s, 1997.............. 7,000 6,759,620
Federal Home Loan Mortgage Corp., 7.5s, 2024 -
2025........................................... 9,888 9,919,267
Federal Home Loan Mortgage Corp., 8.5s, 2022..... 37 38,086
Federal Home Loan Mortgage Corp., 9s, 2001 -
2006........................................... 2,593 2,707,614
Federal Home Loan Mortgage Corp., 9s, 2019 -
2021........................................... 666 689,197
Federal National Mortgage Assn., 7.27s, 2005..... 6,200 6,323,020
Federal National Mortgage Assn., 8s, 2005 - 2023. 8,972 9,150,008
Federal National Mortgage Assn., 8.25s, 2001..... 3,987 4,070,503
Federal National Mortgage Assn., 8.5s, 2001 -
2006........................................... 2,005 2,077,223
Federal National Mortgage Assn., 9s, 2007........ 4,517 4,715,807
Financing Corp., 9.4s, 2018...................... 4,845 6,085,756
Financing Corp., 9.8s, 2018...................... 5,600 7,301,000
North Pacific Fishing, 5.9s, 2006................ 4,128 4,004,115
Private Export Funding Corp., 8.4s, 2001......... 3,000 3,292,230
Republic of Israel, U.S. Government Guaranteed
Notes, 6s, 1999................................. 6,000 5,968,800
Resolution Funding Corp., 8.875s, 2020........... 6,000 7,419,360
------------
Total U.S. Federal Agencies
(Identified Cost, $90,836,250).................................. $ 96,722,841
------------
U.S. GOVERNMENT BACKED -- 66.4%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 20.7%
GNMA, 7s, 2022 - 2024............................ $14,805 $ 14,569,181
GNMA, 7.5s, 2008 - 2024.......................... 25,298 25,513,166
GNMA, 8s, 2022 - 2024............................. $ 8,105 $ 8,297,495
GNMA, 9s, 2017 - 2024............................. 17,394 18,271,167
GNMA, 12.25s, 2015................................ 20 21,783
------------
$ 66,672,792
------------
SMALL BUSINESS ADMINISTRATION -- 4.2%
SBA, 8.2s, 2005................................... $ 1,720 $ 1,830,725
SBA, 8.4s, 2007................................... 834 900,266
SBA, 9.65s, 2007 - 2010........................... 2,261 2,558,336
SBA, 8.7s, 2009................................... 4,106 4,496,662
SBA, 9.05s, 2009.................................. 719 793,426
SBA, 10.05s, 2009................................. 969 1,113,128
SBA, 10.1s, 2009.................................. 1,601 1,836,493
------------
$ 13,529,036
------------
U.S. TREASURY OBLIGATIONS -- 41.2%
Stripped Principal Payments, 0s, 2021++++++++..... $ 8,800 $ 1,504,976
U.S. Treasury Notes, 6.25s, 1996.................. 1,000 1,004,530
U.S. Treasury Notes, 4.75s, 1997.................. 5,800 5,700,298
U.S. Treasury Notes, 8s, 1997..................... 5,200 5,362,500
U.S. Treasury Notes, 5.25s, 1998.................. 21,000 20,602,890
U.S. Treasury Notes, 5.375s, 1998................. 10,000 9,857,800
U.S. Treasury Notes, 7.875s, 1998................. 8,000 8,370,000
U.S. Treasury Notes, 6.5s, 1999................... 3,000 3,051,570
U.S. Treasury Notes, 6.75s, 1999.................. 16,500 16,927,485
U.S. Treasury Notes, 5.75s, 2003.................. 5,000 4,847,650
U.S. Treasury Notes, 6.25s, 2003.................. 8,250 8,271,945
U.S. Treasury Notes, 6.75s, 2003.................. 2,500 2,575,775
U.S. Treasury Notes, 7.875s, 2004................. 2,000 2,227,500
U.S. Treasury Bonds, 9.25s, 2016.................. 9,400 12,052,586
U.S. Treasury Bonds, 9s, 2018..................... 4,000 5,056,880
U.S. Treasury Bonds, 8.75s, 2020.................. 20,625 25,591,087
------------
$133,005,472
------------
</TABLE>
15
<PAGE>
U.S. GOVERNMENT BACKED -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
OTHER -- 0.3%
U.S. Department of Veteran Affairs, 7.75s, 2014. $ 1,000 $ 1,019,687
------------
Total U.S. Government Backed
(Identified Cost, $210,946,669)................................ $310,949,828
------------
REPURCHASE AGREEMENT -- 4.6%
Shearson Lehman, dated 6/30/95, total to be
received $14,715,575 (secured by $14,070,000
U.S. Treasury Bonds, 7.25s, 2016, market value
$15,007,083), at Cost.......................... $ 14,708 $ 14,708,000
------------
Total Investments
(Identified Cost, $316,490,919)................................ $325,657,828
OTHER ASSETS,
LESS LIABILITIES -- (1.0)%...................................... (3,188,091)
------------
Net Assets -- 100.0%............................................ $322,469,737
============
</TABLE>
See portfolio footnotes and notes to financial statements
PORTFOLIO OF INVESTMENTS -- June 30,
1995
HIGH YIELD SERIES
NON-CONVERTIBLE BONDS -- 92.1%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
AIRLINES
Continental Airlines, Inc., Liquidating Trust,
11.75s, 1995**.................................. $ 700 $ 54,250
------------
FINANCIAL INSTITUTIONS -- 2.2%
American Annuity Group, Inc., 11.125s, 2003...... $ 800 $ 832,000
American Life Holdings Co., 11.25s, 2004......... 400 416,000
Americo Life, Inc., 9.25s, 2005.................. 650 601,250
Tiphook Finance Corp., 7.125s, 1998.............. 550 445,500
Tiphook Finance Corp., 8s, 2000.................. 679 543,200
------------
$ 2,837,950
------------
INDUSTRIALS -- 88.4%
Automotive -- 2.5%
Exide Corp., 10s, 2005##......................... $ 1,300 $ 1,335,750
Harvard Industries, Inc., 12s, 2004.............. 1,050 1,060,500
SPX Corp., 11.75s, 2002.......................... 800 834,000
------------
$ 3,230,250
------------
Building -- 5.0%
American Standard, Inc., 10.5s, 2005*............ $ 2,725 $ 2,071,000
Atlantic Gulf Communities Corp., 12s, 1996....... 47 39,245
Atlantic Gulf Communities Corp., 13s, 1998....... 47 25,145
Congoleum Corp., 9s, 2001........................ 200 196,000
Lone Star Industries, Inc., 10s, 2003............ 850 850,000
Nortek, Inc., 9.875s, 2004....................... 1,100 990,000
Schuller International Group, Inc., 10.875s,
2004............................................ 950 1,037,875
USG Corp., 9.25s, 2001........................... 1,300 1,332,500
------------
$ 6,541,765
------------
Chemicals -- 6.1%
Arcadian Partners L.P., 10.75s, 2005##........... $ 1,050 $ 1,057,875
Huntsman Corp., 10.625s, 2001.................... 900 949,500
Indspec Chemical, 11.5s, 2003.................... 550 346,500
NL Industries, Inc., 11.75s, 2003................ 1,705 1,777,462
OSI Specialties, Inc., 9.25s, 2003............... 400 404,000
OSI Specialties Holding Co., 0s, 2004*........... 900 630,000
Rexene Corp., 11.75s, 2004....................... 1,350 1,444,500
</TABLE>
16
<PAGE>
NON-CONVERTIBLE BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INDUSTRIALS -- continued
Chemicals -- continued
UCC Investors Holdings, Inc., 10.5s, 2002........ $ 250 $ 255,000
UCC Investors Holdings, Inc., 0s, 2005........... 1,500 1,095,000
------------
$ 7,959,837
------------
Consumer Goods and Services -- 7.8%
ADT Operations, Inc., 9.25s, 2003................ $ 200 $ 206,500
Amstar Corp., 11.375s, 1997...................... 900 918,000
Astrum International Corp., 11.5s, 2003.......... 594 623,700
Consolidated Cigar Corp., 10.5s, 2003............ 250 248,750
Fieldcrest Cannon, Inc., 11.25s, 2004............ 1,000 1,040,000
International Semi-Tech Microelectronics, Inc.,
0s, 2003........................................ 1,000 495,000
Ithaca Industries, Inc., 11.125s, 2002........... 750 712,500
Remington Arms, Inc., 10s, 2003##................ 350 329,000
Revlon, Inc., 10.5s, 2003........................ 830 813,400
Sealy Corp., 9.5s, 2003.......................... 1,250 1,225,000
Synthetic Industries, Inc., 12.75s, 2002......... 1,350 1,363,500
Westpoint Stevens, Inc., 9.375s, 2005............ 2,300 2,213,750
------------
$ 10,189,100
------------
Containers -- 5.6%
Atlantis Group, Inc., 11s, 2003.................. $ 500 $ 507,500
Calmar Spraying Systems, Inc., 12s, 1997......... 175 179,375
Calmar Spraying Systems, Inc., 14s, 1999......... 950 969,000
Envirodyne Industries, Inc., 10.25s, 2001........ 250 198,750
Ivex Packaging Corp., 12.5s, 2002................ 430 462,250
Owens-Illinois, Inc., 11s, 2003.................. 2,650 2,908,375
Plastic Containers, Inc., 10.75s, 2001........... 1,000 1,040,000
Silgan Corp., 11.75s, 2002....................... 970 1,013,650
------------
$ 7,278,900
------------
Defense Electronics -- 0.5%
Alliant Techsystems, 11.75s, 2003##.............. $ 600 $ 642,000
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INDUSTRIALS -- continued
Entertainment -- 3.8%
ACT III Broadcasting, 9.625s, 2003................ $ 300 $ 304,500
ACT III Theatres, Inc., 11.875s, 2003............. 600 642,000
AMC Entertainment, Inc., 11.875s, 2000............ 750 817,500
Albritton Communications Corp., 11.5s, 2004....... 600 636,000
Gillett Holdings, Inc., 12.25s, 2002.............. 547 568,506
SCI Television, Inc., 11s, 2005................... 1,500 1,567,500
United Artist Theater Circuit, Inc., 11.5s, 2002.. 400 433,000
-----------
$ 4,969,006
-----------
Food and Beverage Products -- 2.1%
Coca-Cola Bottling Group Southwest, Inc., 9s,
2003............................................. $ 250 $ 246,250
PMI Acquisition Corp., 10.25s, 2003............... 1,250 1,262,500
Specialty Foods Corp., 10.25s, 2001............... 500 480,000
Texas Bottling Group, Inc., 9s, 2003.............. 750 738,750
-----------
$ 2,727,500
-----------
Forest and Paper Products -- 7.1%
Container Corp. of America, 10.75s, 2002.......... $ 750 $ 776,250
Gaylord Container Co., 0s, 2005................... 1,600 1,568,000
Pacific Lumber Co., 10.5s, 2003................... 1,400 1,284,500
Repap New Brunswick, 10.625s, 2005................ 400 404,000
Riverwood International Corp., 11.25s, 2002....... 1,575 1,716,750
SD Warren, 12s, 1999.............................. 1,000 1,077,500
Stone Consolidated Corp., 10.25s, 2000............ 500 518,750
Stone Container Corp., 9.875s, 2001............... 2,000 1,982,500
-----------
$ 9,328,250
-----------
Medical and Health Technology and Services -- 5.9%
Community Health System, 10.25s, 2003............. $ 950 $ 997,500
Genesis Health Venture, 9.75s, 2005............... 1,100 1,108,250
Integrated Health Services, Inc., 10.75s, 2004.... 1,000 1,065,000
National Medical Enterprises, 10.125s, 2005....... 2,800 2,957,500
OrNda Healthcorp, 12.25s, 2002.................... 1,400 1,550,500
-----------
$ 7,678,750
-----------
</TABLE>
17
<PAGE>
NON-CONVERTIBLE BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INDUSTRIALS -- continued
Oil Services -- 4.2%
Amerigas Partners L.P., 10.125s, 2007##.......... $ 1,600 $ 1,680,000
Ferrell Gas L.P., 10s, 2001...................... 1,200 1,248,000
Giant Industries, Inc., 9.75s, 2003.............. 525 493,500
Global Marine, Inc., 12.75s, 1999................ 700 770,000
PDV America, Inc., 7.875s, 2003.................. 600 550,326
Tuboscope Vetco International, Inc., 10.75s,
2003............................................ 800 816,000
------------
$ 5,557,826
------------
Oils -- 0.8%
Gulf Canada, 9.25s, 2004......................... $ 1,150 $ 1,121,250
------------
Printing and Publishing -- 0.7%
Day International Group, Inc., 11.125s, 2005##... $ 400 $ 402,000
World Color Press, Inc., 9.125s, 2003............ 500 485,000
------------
$ 887,000
------------
Restaurants and Lodging -- 4.7%
Bally's Grand, Inc., 10.375s, 2003............... $ 1,000 $ 975,000
Boomtown, Inc., 11.5s, 2003...................... 500 440,000
Boyd Gaming Corp.,10.75s,
2003............................................ 900 927,000
Embassy Suites, Inc., 10.875s, 2002.............. 1,000 1,080,000
Four Seasons Hotels, Inc., 9.125s, 2000##........ 1,100 1,082,125
Kloster, Inc., 13s, 2003......................... 900 693,000
Maritime Group Ltd., 13.5s, 1997**##............. 443 216,837
Resorts International, Inc., 6s, 2000*........... 300 258,000
Sam Houston Race Park, Inc., 11.75s, 1999**+..... 300 75,000
Station Casinos, Inc., 9.625s, 2003.............. 500 461,250
------------
$ 6,208,212
------------
Special Products and Services -- 9.2%
Bell & Howell Co., 10.75s, 2002.................. $ 600 $ 639,000
Buckeye Cellulose Corp., 10.25s, 2001............ 400 398,000
Eagle Industries, Inc., 0s, 2003................. 2,400 1,776,000
Fairfield Manufacturing, 11.375s, 2001........... 150 141,750
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INDUSTRIALS -- continued
Special Products and Services -- continued
Haynes International, Inc., 11.25s, 1998.......... $ 150 $ 144,000
IMO Industries, Inc., 12s, 2001................... 850 879,750
Idex Corp., 9.75s, 2002........................... 665 686,612
Interlake Corp., 12s, 2001........................ 400 409,000
Interlake Corp., 12.125s, 2002.................... 850 839,375
Interlake Revolver, "B", 5.75s, 1997.............. 285 282,195
K & F Industries, Inc., 11.875s, 2003............. 650 663,000
Newflo Corp., 13.25s, 2002........................ 550 550,000
Polymer Group, Inc., 12.75s, 2002##............... 1,750 1,767,500
Reeves Industries, Inc., 11s, 2002................ 605 629,200
Spreckels Industries, Inc., 11.5s, 2000........... 1,050 1,044,750
Talley Manufacturing & Technology, Inc., 10.75s,
2003............................................. 900 877,500
Thermadyne Industries Holdings Corp., 10.25s,
2002............................................. 350 344,750
-----------
$12,072,382
-----------
Steel -- 5.3%
AK Steel Holdings Corp., 10.75s, 2004............. $1,750 $ 1,837,500
Easco Corp., 10s, 2001............................ 800 800,000
Jorgensen (Earle M.) Co., 10.75s, 2000............ 450 432,000
Kaiser Aluminum & Chemical Corp., 9.875s, 2002.... 200 194,500
Sheffield Steel Corp., 12s,
2001............................................. 300 282,000
UCAR Global Enterprises, 12s, 2005................ 1,250 1,350,000
WCI Steel, 10.5s, 2002............................ 750 735,000
Weirton Steel Corp., 10.75s, 2005##............... 600 586,500
Wheeling Pittsburgh, 9.375s, 2003................. 800 728,000
-----------
$ 6,945,500
-----------
Stores -- 2.1%
Eckerd (Jack) Corp., 9.25s,
2004............................................. $ 450 $ 463,500
Finlay Enterprises, Inc., 0s,
2005............................................. 300 198,000
Finlay Fine Jewelry, 10.625s, 2003................ 1,000 955,000
</TABLE>
18
<PAGE>
NON-CONVERTIBLE BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INDUSTRIALS -- continued
Stores -- continued
Woodward & Lothrop, Inc.,
12s, 1995**...................................... $1,001 $ 1,101,365
Woodward & Lothrop, Inc., 14.75s, 1995**.......... 150 30,000
------------
$ 2,747,865
------------
Supermarkets -- 3.1%
Dominicks Finer Foods, 10.875s, 2005##............ $1,300 $ 1,314,625
Eagle Food Centers, 8.625s, 2000.................. 250 112,500
Pathmark Stores, Inc., 11.625s, 2002.............. 500 528,750
Ralphs Grocery Co., 11s, 2005..................... 1,400 1,347,500
Stop & Shop Cos., Inc., 9.75s, 2002............... 750 810,000
------------
$ 4,113,375
------------
Telecommunications -- 11.9%
American Telecasting, Inc., 12.5s, 2004........... $ 700 $ 402,500
Cablevision Industries Corp., 10.75s, 2002........ 1,400 1,529,500
Cablevision Systems Corp., 10.75s, 2004........... 1,300 1,365,000
Century Communications, 9.5s, 2005................ 500 496,250
Comcast Corp., 9.375s, 2005....................... 600 598,500
Continental Cablevision, Inc., 8.875s, 2005....... 600 612,000
Falcon Holdings Group L.P.,
11s, 2003#....................................... 1,480 1,376,145
Jones Intercable, Inc., 11.5s, 2004............... 150 165,750
Jones Intercable, Inc., 10.5s, 2008............... 1,100 1,166,000
K-III Communications Corp., 10.625s, 2002......... 895 948,700
MFS Communications, Inc., 0s, 2004................ 2,300 1,598,500
Mobilemedia Communications, Inc., 0s, 2003........ 1,400 931,000
Paging Network, Inc., 8.875s, 2006................ 1,850 1,683,500
Pronet, 11.875s, 2005##........................... 750 753,750
Rogers Cablesystems Ltd., 9.625s, 2002............ 500 503,750
Rogers Cablesystems Ltd., 10.125s, 2012........... 1,000 1,017,500
USA Mobile Communication, 9.5s, 2004.............. 550 484,000
------------
$ 15,632,345
------------
Total Industrials................................................. $115,831,113
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
MORTGAGE-BACKED PASS-THROUGHS -- 0.3%
Merrill Lynch Mortgage Investors, Inc., 8.227s,
2022+........................................... $ 500 $ 380,950
------------
TRANSPORTATION -- 0.2%
Moran Transportation Co., 11.75s, 2004........... $ 300 $ 276,000
------------
UTILITIES -- ELECTRIC -- 1.0%
Kenetech Corp., 12.75s, 2002..................... $ 500 $ 490,000
Midland Funding Corp. II, "A", 11.75s, 2005...... 800 810,408
------------
$ 1,300,408
------------
Total Non-Convertible Bonds
(Identified Cost, $119,947,965)................................. $120,680,671
------------
COMMON STOCKS AND WARRANTS -- 0.3%
<CAPTION>
Shares
<S> <C> <C>
Building
Calton, Inc.*.................................... 50,350 $ 18,882
------------
Chemicals
OSI Specialties, Inc., Warrants*................. 400 $ 800
------------
Conglomerate -- 0.1%
Triton Group Ltd.*............................... 45,078 $ 101,426
------------
Consumer Goods and Services
Protection One, Inc.*............................ 5,040 $ 30,240
Ranger Industries, Inc.*......................... 8,952 840
------------
$ 31,080
------------
Entertainment -- 0.2%
Gillett Holdings, Inc.*.......................... 9,414 $ 207,108
------------
Oil Services
ICO, Inc., Warrants*............................. 25,000 $ 16,250
------------
Oils
Crystal Oil Co., $0.10, Warrants*................ 36,780 $ 0
Crystal Oil Co., $0.125, Warrants*............... 36,779 0
Forest Oil Corp., Warrants*...................... 2,490 778
Ironstone Group, Inc.*........................... 191 38
TGX Corp.*....................................... 1,247 78
------------
$ 894
------------
</TABLE>
19
<PAGE>
COMMON STOCKS AND WARRANTS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Restaurants and Lodging
Sam Houston Race Park, Inc., Warrants*........... 1,200 $ 0
------------
Special Products and Services
Thermadyne Industries Holdings Corp., "B"*+...... 14,400 $ 144
------------
Stores
Finlay Enterprises*.............................. 400 $ 5,650
Thrifty Payless Holdings*........................ 4,750 15,438
------------
$ 21,088
------------
Telecommunications
American Telecasting, Warrants*.................. 3,500 $ 3,500
------------
Total Common Stocks and Warrants (Identified Cost, $842,016)..... $ 401,172
------------
PREFERRED STOCKS -- 0.4%
Airlines
Eastern Airlines, Inc., $2.84*................... 11,131 $ 348
------------
Building
UDC Homes, Inc., $1.68, "C", Cv.*................ 6,625 $ 9,109
------------
Printing and Publishing -- 0.4%
K-III Communications Corp., 11.625%, "B"#........ 5,303 $ 514,415
------------
Total Preferred Stocks
(Identified Cost, $1,021,115)................................... $ 523,872
------------
SHORT-TERM OBLIGATIONS -- 7.3%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Home Loan Mortgage Corp., due 7/05/95.... $ 3,495 $ 3,492,697
Federal National Mortgage Assn., due 7/05/95..... 2,685 2,683,249
Student Loan Marketing Corp., due 7/06/95........ 3,435 3,432,190
------------
Total Short-Term Obligations, at Amortized Cost.................. $ 9,608,136
------------
Total Investments
(Identified Cost, $131,419,232)................................. $131,213,851
OTHER ASSETS,
LESS LIABILITIES -- (0.1)%....................................... (210,461)
------------
Net Assets -- 100.0%............................................. $131,003,390
============
</TABLE>
See portfolio footnotes and notes to financial statements
PORTFOLIO OF INVESTMENTS -- June 30,
1995
MANAGED SECTORS SERIES
COMMON STOCKS -- 95.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
ENERGY -- 12.3%
BJ Services Co.*........................................ 128,800 $ 2,930,200
Occidental Petroleum Corp.##............................ 231,000 5,284,125
Schlumberger Ltd. ...................................... 33,000 2,050,125
Snyder Oil Corp. ....................................... 319,700 4,036,212
Tidewater, Inc. ........................................ 168,100 4,223,513
Weatherford International, Inc.*........................ 110,000 1,388,750
------------
$ 19,912,925
------------
FINANCIAL SERVICES -- 11.2%
Advanta Corp., "B"...................................... 57,000 $ 2,151,750
American Re Corp. ...................................... 55,000 2,048,750
Beneficial Corp. ....................................... 34,000 1,496,000
Equitable of Iowa Cos. ................................. 80,000 2,630,000
First Interstate Bancorp. .............................. 22,000 1,765,500
Mellon Bank Corp. ...................................... 55,000 2,289,375
Torchmark Corp. ........................................ 58,000 2,189,500
Travelers, Inc. ........................................ 82,500 3,609,375
------------
$ 18,180,250
------------
LEISURE -- 21.7%
Argosy Gaming Corp.*.................................... 155,200 $ 1,998,200
Brinker International, Inc.*............................ 172,100 2,968,725
Manor Care, Inc. ....................................... 100,000 2,912,500
Promus Cos., Inc.*...................................... 203,000 7,917,000
Rogers Communications, Inc., "B" (Canada)............... 560,000 6,576,839
Showboat, Inc. ......................................... 108,000 1,998,000
Sky City Ltd.*.......................................... 110,000 1,561,216
Sydney Harbor Casino Ltd.* (Australia).................. 1,249,000 1,286,570
Telephone & Data Systems, Inc. ......................... 217,000 7,893,375
------------
$ 35,112,425
------------
RETAIL -- 9.0%
Ann Taylor Stores, Inc.*................................ 46,500 $ 1,081,125
Dayton-Hudson Corp. .................................... 40,000 2,870,000
Dillard Department Stores, Inc. ........................ 75,000 2,203,125
Federated Department Stores, Inc.*...................... 134,700 3,468,525
Gymboree Corp.*......................................... 27,000 784,687
Nordstrom, Inc. ........................................ 9,900 409,612
Phar-Mor, Inc.++##*..................................... 10,000 10,000
Wal-Mart Stores, Inc. .................................. 91,600 2,450,300
Warnaco Group, Inc., "A"................................ 62,000 1,240,000
------------
$ 14,517,374
------------
</TABLE>
20
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
TECHNOLOGY -- 22.6%
ADT Ltd.*....................................... 107,600 $ 1,264,300
EMC Corp. ...................................... 105,700 2,563,225
Electronic Arts, Inc.*.......................... 195,000 5,289,375
Intel Corp. .................................... 104,700 6,628,819
International Business Machines Corp. .......... 17,000 1,632,000
LSI Logic Corp.*................................ 56,000 2,191,000
Motorola, Inc. ................................. 44,000 2,953,500
National Semiconductor, Inc.*................... 105,500 2,927,625
Nokia AB (Finland).............................. 46,500 2,766,755
Oracle Systems Corp.*........................... 63,300 2,444,962
Sierra On-Line, Inc.*........................... 94,000 2,350,000
Spectrum Holobyte Industries*................... 250,000 3,578,125
------------
$ 36,589,686
------------
OTHER -- 18.9%
AGCO Corp. ..................................... 79,200 $ 2,970,000
Boise Cascade Corp. ............................ 67,000 2,713,500
Duracell International, Inc. ................... 37,000 1,600,250
General Motors Corp. ........................... 58,000 2,718,750
Johnson & Johnson............................... 30,000 2,028,750
Loral Corp. .................................... 27,100 1,402,425
McDonnell Douglas Corp. ........................ 37,000 2,839,750
PepsiCo, Inc. .................................. 55,000 2,509,375
RJR Nabisco Holdings, Inc. ..................... 141,900 3,955,462
Tyco International Ltd. ........................ 61,200 3,304,800
United Healthcare Corp. ........................ 80,500 3,330,688
Western Waste Industries*....................... 59,600 1,199,450
------------
$ 30,573,200
------------
Total Common Stocks
(Identified Cost, $135,258,477)................................. $154,885,860
------------
SHORT-TERM OBLIGATIONS -- 5.6%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Home Loan Mortgage Corp., due 7/05/95 -
7/06/95....................................... $ 7,335 $ 7,329,652
Ford Motor Credit Corp.,
due 7/03/95.................................... 1,825 1,824,400
------------
Total Short-Term Obligations, at Amortized Cost................. $ 9,154,052
------------
Total Investments
(Identified Cost, $144,412,529)................................ $164,039,912
OTHER ASSETS,
LESS LIABILITIES -- (1.3)%...................................... (2,214,548)
------------
Net Assets -- 100.0%............................................ $161,825,364
============
</TABLE>
See portfolio footnotes and notes to financial statements
PORTFOLIO OF INVESTMENTS -- June 30,
1995
MONEY MARKET SERIES
COMMERCIAL PAPER -- 29.9%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
American Telephone & Telegraph, due 9/07/95 -
9/19/95........................................ $10,000 $ 9,877,576
Beneficial Corp., due 7/07/95.................... 5,500 5,494,573
Coca-Cola Co., due 8/29/95....................... 8,200 8,121,517
Dow Chemical Corp., due 7/28/95.................. 2,000 1,991,090
Ford Motor Credit Corp., due 7/03/95 - 8/07/95... 11,900 11,868,979
GTE South, due 7/13/95........................... 3,100 3,093,779
Heinz (H.J.) Co., due 7/21/95 - 8/01/95.......... 10,800 10,752,557
Hewlett-Packard, due 9/28/95..................... 5,000 4,930,531
Kimberly-Clark Corp., due 7/10/95 - 8/30/95...... 8,245 8,216,793
Knight Ridder, due 7/12/95....................... 3,000 2,994,555
Toys R Us, due 7/18/95 - 7/25/95................. 10,900 10,862,966
------------
$ 78,204,916
------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 63.9%
Federal Farm Credit Bank, due 7/13/95............ $ 6,000 $ 5,988,340
Federal Home Loan Bank, due 7/24/95 - 9/05/95.... 15,800 15,697,064
Federal Home Loan Mortgage Corp., due 7/05/95 -
9/25/95........................................ 64,200 63,756,020
Federal National Mortgage Assn., due 7/06/95 -
12/12/95....................................... 82,400 81,739,960
------------
$167,181,384
------------
Total Investments, at Amortized Cost............................. $245,386,300
OTHER ASSETS,
LESS LIABILITIES -- 6.2%......................................... 16,346,653
------------
Net Assets -- 100.0%............................................. $261,732,953
============
</TABLE>
See portfolio footnotes and notes to financial statements
21
<PAGE>
PORTFOLIOS OF INVESTMENTS -- June 30, 1995
RESEARCH SERIES
COMMON STOCKS -- 90.4%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 83.4%
AEROSPACE -- 3.3%
Lockheed Martin Corp. ...................................... 3,600 $ 227,250
McDonnell Douglas Corp. .................................... 5,200 399,100
United Technologies Corp. .................................. 1,500 117,188
-----------
$ 743,538
-----------
AGRICULTURAL PRODUCTS -- 0.9%
AGCO Corp. ................................................. 5,400 $ 202,500
-----------
APPAREL AND TEXTILES -- 1.8%
Deckers Outdoor Corp.*...................................... 3,000 $ 30,375
Nine West Group, Inc.*...................................... 5,500 200,750
VF Corp. ................................................... 3,500 188,125
-----------
$ 419,250
-----------
BANKS AND CREDIT COMPANIES -- 2.2%
Capital One Financial Corp. ................................ 6,400 $ 124,800
Chemical Banking Corp. ..................................... 4,400 207,900
Northern Trust Co. ......................................... 4,400 177,100
-----------
$ 509,800
-----------
BUSINESS MACHINES -- 2.4%
Affiliated Computer Services, Inc.*......................... 2,700 $ 82,350
International Business Machines Corp. ...................... 2,300 220,800
Motorola, Inc. ............................................. 1,700 114,112
Xerox Corp. ................................................ 1,100 128,975
-----------
$ 546,237
-----------
BUSINESS SERVICES -- 2.2%
CareLine, Inc.*............................................. 19,100 $ 157,575
Ceridian Corp.*............................................. 6,800 250,750
Interim Services, Inc.*..................................... 3,400 85,000
-----------
$ 493,325
-----------
CELLULAR TELEPHONES -- 1.0%
AirTouch Communications, Inc.*.............................. 4,700 $ 133,950
Telephone & Data Systems, Inc. ............................. 2,500 90,938
-----------
$ 224,888
-----------
CHEMICALS -- 3.2%
Air Products & Chemicals, Inc. ............................. 2,700 $ 150,525
Grace (W.R.) & Co. ......................................... 4,900 300,737
Hanna (M.A.) Co. ........................................... 2,500 65,000
Uniroyal Chemical Corp.*.................................... 18,000 204,750
-----------
$ 721,012
-----------
COMPUTER SOFTWARE -- 0.5%
Network Peripherals, Inc.*.................................. 5,200 $ 113,425
-----------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 2.4%
Electronic Arts, Inc.*...................................... 5,000 $ 135,625
Learning Co.*............................................... 3,000 107,813
Microsoft Corp.*............................................ 3,300 298,237
-----------
$ 541,675
-----------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
COMPUTER SOFTWARE -- SYSTEMS -- 5.8%
Cadence Design Systems, Inc.*............................... 8,900 $ 288,138
Compaq Computer Corp.*...................................... 3,800 172,425
Compuware Corp.*............................................ 5,900 181,425
Informix Corp.*............................................. 8,200 208,075
Oracle Systems Corp.*....................................... 9,500 366,937
Sybase, Inc.*............................................... 4,000 117,500
-----------
$ 1,334,500
-----------
CONSUMER GOODS AND SERVICES -- 8.2%
Colgate-Palmolive Co. ...................................... 4,000 $ 292,500
Duracell International, Inc. ............................... 7,400 320,050
Gillette Co. ............................................... 5,900 263,287
Leggett & Platt, Inc. ...................................... 2,300 101,200
Philip Morris Cos., Inc. ................................... 4,000 297,500
Procter & Gamble Cos. ...................................... 4,400 316,250
RJR Nabisco Group, Inc. .................................... 10,100 281,538
-----------
$ 1,872,325
-----------
DEFENSE ELECTRONICS -- 1.3%
Loral Corp. ................................................ 5,900 $ 305,325
-----------
ELECTRONICS -- 3.8%
Intel Corp. ................................................ 7,000 $ 443,187
Linear Technology Corp. .................................... 1,100 72,600
S3, Inc.*................................................... 3,000 108,000
Xilinx, Inc.*............................................... 2,600 244,400
-----------
$ 868,187
-----------
ENTERTAINMENT -- 3.4%
Aztar Corp.*................................................ 7,400 $ 68,450
Boyd Gaming Corp.*.......................................... 7,100 118,038
Capital Cities/ABC, Inc. ................................... 900 97,200
Promus Cos., Inc.*.......................................... 7,100 199,688
Showboat, Inc. ............................................. 9,800 181,300
Tele-Communications, Inc., "A"*............................. 4,700 110,156
-----------
$ 774,832
-----------
FINANCIAL INSTITUTIONS -- 2.1%
Advanta Corp., "B".......................................... 4,900 $ 184,975
Beneficial Corp. ........................................... 3,300 145,200
Finova Group, Inc. ......................................... 4,500 157,500
-----------
$ 487,675
-----------
FOOD AND BEVERAGE PRODUCTS -- 4.3%
CPC International, Inc. .................................... 3,600 $ 222,300
Kellogg Co. ................................................ 2,900 206,988
PepsiCo, Inc. .............................................. 5,400 246,375
Pioneer Hi-Bred International, Inc. ........................ 4,400 184,800
Universal Foods Corp. ...................................... 3,500 113,312
-----------
$ 973,775
-----------
</TABLE>
22
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
FOREST AND PAPER PRODUCTS -- 1.2%
Kimberly-Clark Corp. ........................................ 3,100 $ 185,612
International Paper Co. ..................................... 1,100 94,325
----------
$ 279,937
----------
INSURANCE -- 6.0%
AFLAC, Inc. ................................................. 3,700 $ 161,875
American Re Corp. ........................................... 4,600 171,350
Equitable of Iowa Cos. ...................................... 6,200 203,825
MBIA, Inc. .................................................. 3,200 212,800
Penncorp Financial Group, Inc. .............................. 13,600 251,600
Torchmark Corp. ............................................. 5,400 203,850
Travelers, Inc. ............................................. 3,800 166,250
----------
$1,371,550
----------
MACHINERY -- 2.2%
Deere & Co., Inc. ........................................... 2,500 $ 214,063
IDEX Corp. .................................................. 5,300 177,550
York International Corp. .................................... 2,400 108,000
----------
$ 499,613
----------
MEDICAL AND HEALTH PRODUCTS -- 3.2%
Johnson & Johnson............................................ 1,200 $ 81,150
Medisense, Inc.*............................................. 10,100 195,687
Pfizer, Inc. ................................................ 1,200 110,850
Sofamor Danek Group, Inc. ................................... 4,400 99,550
Uromed Corp.*................................................ 17,600 143,000
Zoll Medical Corp.*.......................................... 8,400 105,000
----------
$ 735,237
----------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 5.4%
Community Health Systems, Inc.*.............................. 2,600 $ 88,075
Integrated Health Services, Inc. ............................ 1,800 54,000
Living Centers of America*................................... 3,000 81,375
Mariner Health Group, Inc.*.................................. 3,300 37,125
Mid-Atlantic Medical Services, Inc.*......................... 4,000 74,000
Pacificare Health Systems, Inc., "B"*........................ 3,900 198,900
Renal Treatment Centers, Inc.*............................... 3,300 81,262
St. Jude Medical, Inc.*...................................... 4,700 235,588
United Healthcare Corp. ..................................... 9,500 393,063
----------
$1,243,388
----------
OIL SERVICES -- 1.5%
BJ Services Co.*............................................. 8,300 $ 188,825
Western Atlas, Inc.*......................................... 3,700 164,188
----------
$ 353,013
----------
OILS -- 2.2%
Mitchell Energy & Development, "B"........................... 8,400 $ 150,150
Mobil Corp. ................................................. 1,900 182,400
Noble Affiliates, Inc. ...................................... 4,500 114,750
Pogo Producing Co. .......................................... 2,000 45,750
----------
$ 493,050
----------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
POLLUTION CONTROL -- 1.1%
WMX Technologies, Inc. ...................................... 9,000 $ 255,375
-----------
PRINTING AND PUBLISHING -- 0.2%
McGraw Hill Cos., Inc. ...................................... 500 $ 37,938
-----------
RAILROADS -- 0.8%
Wisconsin Central Transportation Corp.*...................... 3,900 $ 191,100
-----------
RESTAURANTS AND LODGING -- 2.3%
Applebee's International, Inc. .............................. 3,800 $ 97,850
Brinker International, Inc.*................................. 6,500 112,125
Buffets, Inc.*............................................... 3,200 44,000
Hammons (John Q) Hotels, Inc.*............................... 2,500 35,000
Lone Star Steakhouse and Saloon, Inc.*....................... 2,300 69,719
Promus Hotel Corp.*(S)(S).................................... 5,650 124,300
Sonic Corp.*................................................. 1,700 46,750
-----------
$ 529,744
-----------
SPECIAL PRODUCTS AND SERVICES -- 2.1%
Intertape Polymer Group, Inc. ............................... 6,800 $ 159,800
Sphere Drake Holdings Ltd. .................................. 8,000 123,000
Stanley Works................................................ 5,300 200,737
-----------
$ 483,537
-----------
STORES -- 3.1%
Bed, Bath & Beyond, Inc.*.................................... 7,100 $ 172,175
Dayton-Hudson Corp. ......................................... 1,500 107,625
Federated Department Stores, Inc.*........................... 9,900 254,925
General Nutrition Cos., Inc.*................................ 2,200 77,275
Hechinger Co. ............................................... 4,300 30,906
Office Depot, Inc.*.......................................... 2,700 75,938
-----------
$ 718,844
-----------
TELECOMMUNICATIONS -- 1.5%
Cabletron Systems, Inc.*..................................... 4,000 $ 213,000
Chipcom Corp.*............................................... 5,000 118,750
-----------
$ 331,750
-----------
UTILITIES -- GAS -- 0.9%
Enron Corp. ................................................. 3,100 $ 108,887
Pacific Enterprises.......................................... 3,600 88,200
-----------
$ 197,087
-----------
UTILITIES -- TELEPHONE -- 0.9%
MCI Communications Corp. .................................... 8,800 $ 193,600
-----------
Total U.S. Stocks
(Identified Cost, $17,720,372).................................... $19,047,032
-----------
FOREIGN STOCKS -- 7.0%
CANADA -- 1.0%
Rogers Communications, Inc., "B" (Telecommunications)*....... 20,300 $ 238,411
-----------
</TABLE>
23
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
DENMARK -- 0.5%
Tele Danmark, ADR (Utilities --Telephone)......... 4,200 $ 117,600
-----------
FINLAND -- 0.8%
Nokia OY (Telecommunications)..................... 3,100 $ 184,450
-----------
FRANCE -- 0.7%
Pinault-Printemps (Stores)........................ 800 $ 171,652
-----------
ITALY -- 0.6%
Telecom Italia (Utilities -- Telephone)........... 65,500 $ 138,803
-----------
MALAYSIA -- 0.2%
New Straits Time Press (Publishing)............... 18,000 $ 55,765
-----------
SWEDEN -- 2.4%
Astra AB, Free Shares, "B" (Pharmaceuticals)*..... 8,400 $ 253,106
Hennes & Mauritz (Retail -- Clothing)............. 850 49,820
Svenska Handelsbank, "A" (Finance)................ 15,700 234,374
-----------
$ 537,300
-----------
UNITED KINGDOM -- 0.8%
Invesco Fund Managers (Finance)................... 13,000 $ 43,993
Tomkins (Holding Company)......................... 37,800 135,141
-----------
$ 179,134
-----------
Total Foreign Stocks
(Identified Cost, $1,209,654).................................... $ 1,623,115
-----------
Total Common Stocks
(Identified Cost, $18,930,026)................................... $20,670,147
-----------
SHORT-TERM OBLIGATION -- 7.9%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Home Loan Mortgage Corp., due 7/03/95, at
Amortized Cost................................... $1,800 $ 1,799,390
-----------
Total Investments
(Identified Cost, $20,729,416)................................... $22,469,537
OTHER ASSETS,
LESS LIABILITIES -- 1.7%.......................................... 381,347
-----------
Net Assets -- 100.0%.............................................. $22,850,884
===========
</TABLE>
See portfolio footnotes and notes to financial statements
PORTFOLIO OF INVESTMENTS -- June 30,
1995
TOTAL RETURN SERIES
NON-CONVERTIBLE BONDS -- 32.8%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
BANKS AND CREDIT COMPANIES -- 2.2%
ABN Amro Global, 7.25s, 2005..................... $3,080 $ 3,163,314
Banponce Corp., 7.72s, 2000...................... 2,500 2,584,375
Capital One Bank, 12.5s, 2000.................... 2,400 2,514,192
Den Danske Bank, 7.25s, 2005..................... 1,490 1,482,550
First Chicago Corp., 9s, 1996.................... 2,000 2,052,480
First USA Corp., 7.65s, 2003..................... 2,250 2,256,817
Riggs National Corp., 8.5s, 2006................. 3,000 3,060,000
Sovereign Bancorp., Inc.,
6.75s, 2000..................................... 750 722,813
Standard Credit Card,
6.31s, 2000..................................... 3,000 3,000,930
------------
$ 20,837,471
------------
CORPORATE ASSET BACKED -- 0.4%
Chase Manhattan Corp.,
8.8s, 2000...................................... $1,900 $ 1,961,560
Merrill Lynch Home Equity Loan, 91-1, "B", 9.3s,
2016+........................................... 1,000 1,015,290
Merrill Lynch Mortgage Investors, Inc., 91-C,
"B", 8.9s, 2011................................. 444 451,475
Merrill Lynch Mortgage Investors, Inc., 94-M1,
8.227s, 2022+................................... 514 391,617
------------
$ 3,819,942
------------
FINANCIAL INSTITUTIONS -- 0.7%
General Motors Acceptance Corp., 5.95s, 1998..... $1,650 $ 1,618,320
Henderson Land Development Co. Ltd., 4s, 1996##.. 2,500 2,490,625
Leucadia National Corp.,
8.25s, 2005..................................... 1,250 1,257,813
Paine Webber Group,
8.25s, 2002..................................... 1,200 1,252,092
------------
$ 6,618,850
------------
FOREIGN -- U.S. DOLLAR DENOMINATED -- 1.9%
Banco Nacional de Comercio,
7.25s, 2004..................................... $2,250 $ 1,586,250
Banco Santander S.A., 7.875s, 2005............... 2,400 2,521,248
Financiera Energetica
Nacional S.A.,
6.625s, 1996##.................................. 1,680 1,671,600
Hidroelectrica Alicura,
8.375s, 1999##.................................. 2,200 1,859,000
Korea Electric Power Corp.,
7.75s, 2013..................................... 5,900 5,832,622
Oleoducto Cent S.A.,
9.35s, 2005##................................... 1,200 1,200,000
</TABLE>
24
<PAGE>
NON-CONVERTIBLE BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
FOREIGN -- U.S. DOLLAR DENOMINATED -- continued
Province of Quebec, 8.8s, 2003................... $ 1,100 $ 1,220,890
Republic of Colombia,
8.75s, 1999..................................... 1,000 1,035,000
Republic of Greece,
9.75s, 1999..................................... 1,000 1,059,430
------------
$ 17,986,040
------------
INDUSTRIALS -- 9.3%
Building -- 0.2%
American Standard, Inc.,
10.5s, 2005*.................................... $ 600 $ 456,000
Black & Decker Corp.,
8.44s, 1999..................................... 1,000 1,059,400
Owens Corning Fiberglass,
9.9s, 2015##.................................... 800 887,750
------------
$ 2,403,150
------------
Consumer Goods and Services -- 0.1%
Westpoint Stevens, Inc.,
9.375s, 2005.................................... $ 800 $ 770,000
------------
Containers -- 0.5%
Owens-Illinois, Inc., 11s, 2003.................. $ 2,400 $ 2,634,000
Stone Container Corp.,
9.875s, 2001.................................... 1,200 1,189,500
Stone Container Corp.,
10.75s, 2002.................................... 750 785,625
------------
$ 4,609,125
------------
Entertainment -- 1.6%
News America Holdings, Inc.,
7.5s, 2000...................................... $ 1,300 $ 1,331,070
Time Warner, Inc., 7.75s, 2005................... 10,420 10,344,455
Time Warner, Inc., 9.125s, 2013.................. 3,200 3,325,728
------------
$ 15,001,253
------------
Food and Beverage Products -- 0.5%
Nabisco, Inc., 8s, 2000.......................... $ 1,500 $ 1,571,340
Nabisco, Inc., 7.55s, 2015....................... 3,345 3,321,117
------------
$ 4,892,457
------------
Forest and Paper Products -- 1.0%
Avenor, Inc., 9.375s, 2004##..................... $ 1,500 $ 1,635,105
Ferro Corp., 8s, 2025............................ 1,550 1,520,550
Georgia-Pacific Corp.,
9.875s, 2021.................................... 2,825 3,191,487
Georgia-Pacific Corp.,
9.125s, 2022.................................... 2,500 2,674,325
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INDUSTRIALS -- continued
Forest and Paper Products -- continued
Georgia-Pacific Corp.,
8.125s, 2023.................................... $ 925 $ 918,960
Georgia-Pacific Corp.,
8.625s, 2025.................................... 500 520,530
------------
$ 10,460,957
------------
Oils -- 2.2%
Coastal Corp., 9.75s, 2003....................... $1,200 $ 1,371,780
Coastal Corp., 10.75s, 2010...................... 2,625 3,330,127
Enron Corp., 7.125s, 2007........................ 1,780 1,810,171
Gulf Canada Resources Ltd.,
9.625s, 2005.................................... 680 673,200
Oryx Energy Co., 9.3s, 1996...................... 8,400 8,512,560
Oryx Energy Co., 9.5s, 1999...................... 725 757,603
USX Marathon Group,
9.125s, 2013.................................... 3,300 3,498,297
Union Texas Petroleum Holdings,
8.5s, 2007...................................... 1,350 1,437,750
------------
$ 21,391,488
------------
Precious Metals and Minerals -- 0.2%
Santa Fe Pacific, 8.375s, 2005................... $1,500 $ 1,498,920
------------
Printing and Publishing -- 0.7%
News America Holdings, Inc.,
7.45s, 2000..................................... $1,600 $ 1,631,184
News America Holdings, Inc.,
8.25s, 2018..................................... 2,690 2,762,361
Valassis Inserts, Inc.,
9.375s, 1999.................................... 2,000 2,094,600
------------
$ 6,488,145
------------
Stores -- 0.9%
K Mart Corp., 8.125s, 2006....................... $ 400 $ 412,408
K Mart Corp., 8.8s, 2010......................... 1,925 2,102,004
K Mart Corp., 8.99s, 2010........................ 1,000 1,073,125
K Mart Corp., 9.35s, 2020........................ 5,000 5,000,000
------------
$ 8,587,537
------------
Supermarkets -- 0.1%
Kroger Co., 9.25s, 2005.......................... $ 500 $ 532,500
------------
Other -- 1.3%
Laidlaw, 8.75s, 2025............................. $1,500 $ 1,641,180
Loral Corp., 7.625s, 2025........................ 1,480 1,438,116
McDonnell Douglas Corp.,
9.25s, 2002..................................... 1,500 1,693,170
RJR Nabisco, Inc., 8.75s, 2005................... 5,050 5,182,764
Rouse Co., 8.5s, 2003............................ 600 635,358
Rouse Co., 8.55s, 2005........................... 1,600 1,700,300
------------
$ 12,290,888
------------
Total Industrials................................................ $ 88,926,420
------------
</TABLE>
25
<PAGE>
NON-CONVERTIBLE BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INSURANCE -- 0.3%
CCP Insurance, Inc.,
10.5s, 2004..................................... $ 1,600 $ 1,691,264
Travelers Group, Inc.,
7.875s, 2025.................................... 1,550 1,573,870
------------
$ 3,265,134
------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 0.2%
FHP International Corp.,
7s, 2003........................................ $ 1,500 $ 1,475,475
------------
TELECOMMUNICATIONS -- 1.3%
TCI Communications,
8.65s, 2004..................................... $ 1,600 $ 1,676,336
Tele-Communications, Inc.,
9.8s, 2012...................................... 1,100 1,209,516
Tele-Communications, Inc., 9.25s, 2023........... 6,300 6,353,802
Turner Broadcasting, 8.4s, 2024.................. 1,200 1,063,932
Viacom, Inc., 7.75s, 2005........................ 2,400 2,423,136
------------
$ 12,726,722
------------
TRANSPORTATION -- 0.7%
Jet Equipment, 10.91s, 2006##.................... $ 1,996 $ 2,197,523
Jet Equipment, 10.69s, 2015##.................... 1,000 1,080,870
Northwest Airlines Trust,
9.25s, 2014..................................... 1,234 1,400,324
Qantas Airways Ltd.,
7.5s, 2003##.................................... 2,180 2,205,005
------------
$ 6,883,722
------------
U.S. GOVERNMENT AGENCY -- 0.3%
Resolution Funding Corp.,
0s, 2020........................................ $17,000 $ 2,928,760
------------
U.S. GOVERNMENT BACKED -- 10.7%
Federal National Mortgage Association -- 2.1%
FNMA, 8.5s, 2005................................. $ 6,500 $ 7,000,045
FNMA, 9.5s, 2024 - 2025.......................... 11,878 12,471,694
------------
$ 19,471,739
------------
Government National Mortgage Association -- 0.3%
GNMA, 9s, 2009-2022.............................. $ 2,825 $ 2,966,907
------------
U.S. Treasury Obligations -- 8.3%
Stripped Principal Payments,
0s, 2018++++++++................................ $20,000 $ 4,011,400
U.S. Treasury Notes,
7.25s, 1996..................................... 18,300 18,629,464
U.S. Treasury Notes,
8.875s, 1997.................................... 19,500 20,773,545
U.S. Treasury Notes,
7.125s, 1999.................................... 3,200 3,332,000
U.S. Treasury Notes, 7.5s, 1999.................. 425 448,838
U.S. Treasury Notes,
7.125s, 2000.................................... 2,800 2,924,684
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. GOVERNMENT BACKED -- continued
U.S. Treasury Obligations -- continued
U.S. Treasury Notes,
6.25s, 2003..................................... $ 860 $ 862,288
U.S. Treasury Notes,
7.25s, 2004..................................... 4,300 4,594,937
U.S. Treasury Bonds,
9.25s, 2016..................................... 17,590 22,553,722
U.S. Treasury Bonds, 7.5s, 2024.................. 750 829,808
U.S. Treasury Bonds,
7.625s, 2025.................................... 120 135,524
------------
$ 79,096,210
------------
Total U.S. Government Backed..................................... $101,534,856
------------
UTILITIES -- ELECTRIC -- 3.5%
Boston Edison Co., 8.25s, 2022................... $ 800 $ 795,552
Cleveland Electric Illumination, 9.5s, 2005...... 1,000 1,002,770
Coastal Bancorp., Inc.,
10s, 2002....................................... 400 400,000
Commonwealth Edison Co.,
9.5s, 2016...................................... 2,600 2,736,136
Commonwealth Edison Co., 8.375s, 2023............ 1,500 1,556,895
First PV Funding Corp.,
10.3s, 2014..................................... 1,533 1,578,990
First PV Funding Corp.,
10.15s, 2016.................................... 2,600 2,674,750
Long Island Lighting Co.,
8.75s, 1997..................................... 2,000 2,062,580
Long Island Lighting Co.,
9.625s, 2024.................................... 1,250 1,266,800
Louisiana Power & Light Co., 10.67s, 2017........ 1,075 1,150,443
Midland Cogeneration Venture Corp., 10.33s, 2002. 765 792,600
Midland Funding Corp. II, "A", 11.75s, 2005...... 1,750 1,772,767
Niagara Mohawk Power Co., 6.875s, 2001........... 1,600 1,574,576
Niagara Mohawk Power Co., 6.875s, 2003........... 400 379,544
Niagara Mohawk Power Co.,
8s, 2004........................................ 1,100 1,133,990
Niagara Mohawk Power Co., 6.625s, 2005........... 1,100 1,054,922
Niagara Mohawk Power Co., 9.75s, 2005............ 1,200 1,388,388
Niagara Mohawk Power Co., 7.75s, 2006............ 785 798,738
Niagara Mohawk Power Co., 8.75s, 2022............ 750 769,508
</TABLE>
26
<PAGE>
NON-CONVERTIBLE BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
UTILITIES -- ELECTRIC -- continued
Ohio Edison Co., 7.375s, 2002..................... $ 875 $ 884,529
PNPP II Funding, 9.12s, 2016...................... 548 515,027
System Energy Resources, Inc.,
7.43s, 2011...................................... 2,200 2,127,752
Texas & New Mexico Power Co., 12.5s, 1999......... 1,325 1,482,344
Utilicorp United, Inc., 8.45s, 1999............... 3,790 4,042,641
------------
$ 33,942,242
------------
UTILITIES -- GAS -- 1.1%
ANR Pipeline Co., 7s, 2025........................ $3,260 $ 3,268,150
California Energy Co., 0s, 2004*.................. 1,900 1,615,000
Panhandle Eastern Corp., 8.625s, 2025............. 1,125 1,178,595
Southern Union Co., 7.6s, 2024.................... 4,400 4,322,164
------------
$ 10,383,909
------------
UTILITIES -- TELEPHONE -- 0.2%
Century Telephone Enterprises, 8.25s, 2024........ $2,000 $ 2,100,900
------------
Total Non-Convertible Bonds
(Identified Cost, $298,818,743).................................. $313,430,443
------------
CONVERTIBLE BONDS -- 4.4%
BANKS AND CREDIT COMPANIES -- 0.3%
Banco Nacional de Mexico,
7s, 1999##....................................... $1,000 $ 695,000
Bank of New York Co., Inc.,
7.5s, 2001....................................... 1,000 2,142,500
------------
$ 2,837,500
------------
COMPUTER SOFTWARE -- 0.2%
Data General Corp.,
7.75s, 2001...................................... $2,000 $ 1,800,000
------------
CONSTRUCTION SERVICES -- 0.1%
Empresas ICA Sociedad, ADS, 5s, 2004.............. $2,025 $ 1,083,375
------------
CONSUMER GOODS AND SERVICES -- 0.1%
Mascotech, Inc., 4.5s, 2003....................... $ 900 $ 654,750
------------
ELECTRONICS -- 0.4%
ADT Operations, 0s, 2010*......................... $9,385 $ 3,595,300
------------
ENTERTAINMENT -- 0.2%
Time Warner, Inc., 8.75s, 2015.................... $2,000 $ 2,080,000
------------
INSURANCE -- 0.8%
Equitable Cos., Inc.,
6.125s, 2024..................................... $ 2500 $ 2,553,125
USF&G Corp., 0s, 2009............................. 9,000 4,927,500
------------
$ 7,480,625
------------
</TABLE>
CONVERTIBLE BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
MEDICAL AND HEALTH PRODUCTS -- 1.3%
Alza Corp., 0s, 2014............................. $ 5,000 $ 1,950,000
Roche Holdings, Inc.,
0s, 2008##...................................... 12,000 8,070,000
Roche Holdings, Inc.,
0s, 2010##...................................... 6,127 2,450,800
------------
$ 12,470,800
------------
METALS AND MINERALS -- 0.2%
Coeur d'Alene Mines,
6.375s, 2004.................................... $ 2,400 $ 2,076,000
------------
OILS -- 0.1%
Noble Affiliates, Inc.,
4.25s, 2003..................................... $ 1,300 $ 1,228,500
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
Liberty Property Trust, 8s, 2001................. $ 2,000 $ 1,950,000
------------
SPECIAL PRODUCTS AND SERVICES -- 0.2%
Cemex, 4.25s, 1997##............................. $ 2,000 $ 1,537,500
Ciba-Geigy Corp.,
6.25s, 2016##................................... 500 455,000
------------
$ 1,992,500
------------
STEEL -- 0.1%
USX-Marathon Group, 0s, 2005*.................... $ 2,400 $ 1,119,000
------------
TELECOMMUNICATIONS -- 0.2%
Telecomm Malaysia Berhad, 4s, 2004##............. $ 2,000 $ 1,915,000
------------
Total Convertible Bonds
(Identified Cost, $41,471,499).................................. $ 42,283,350
------------
PREFERRED STOCKS -- 6.0%
<CAPTION>
Shares
<S> <C> <C>
AUTOMOTIVE -- 0.4%
General Motors Corp.,
$3.25, "C", Cv. ................................ 63,500 $ 4,000,500
------------
BANKS AND CREDIT COMPANIES -- 0.1%
Washington Mutual, Inc., $6.00, "D", Cv. ........ 10,000 $ 997,500
------------
BUILDING -- 0.1%
Mascotech, Inc., $1.20, Cv. ..................... 75,100 $ 1,070,175
------------
CONSTRUCTION SERVICES -- 0.1%
Southdown, Inc.,
$2.875, "D", Cv. ............................... 35,000 $ 1,439,375
------------
CONSUMER GOODS AND SERVICES -- 0.2%
Corning Delaware L.P.,
6%, Cv. ........................................ 42,500 $ 2,172,812
------------
FOOD AND BEVERAGE PRODUCTS -- 0.4%
RJR Nabisco Holdings,
$0.6012, "C", Cv. .............................. 548,000 $ 3,356,500
------------
FOREST AND PAPER PRODUCTS -- 0.2%
Boise Cascade Corp., 9.4%........................ 60,000 $ 1,552,500
------------
</TABLE>
27
<PAGE>
PREFERRED STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
INSURANCE -- 1.2%
Allstate Corp...................................... 248,200 $ 10,114,150
Security Capital Corp., "A", Cv. .................. 70,000 1,557,500
------------
$ 11,671,650
------------
METALS AND MINERALS -- 0.2%
Reynolds Metals Co.,
$3.31, Cv. ....................................... 31,000 $ 1,495,750
------------
OIL SERVICES -- 0.4%
McDermott International, Inc., "C", Cv.*##......... 40,000 $ 1,770,000
Reading & Bates Corp.,
$1.625, Cv. ...................................... 67,500 1,923,750
------------
$ 3,693,750
------------
OILS -- 0.5%
Atlantic Richfield Co., 9%, Cv. ................... 116,485 $ 3,028,610
Occidental Petroleum Corp., $3.875, Cv.*##......... 30,000 1,710,000
------------
$ 4,738,610
------------
PRECIOUS METALS AND MINERALS -- 0.3%
Freeport-McMoRan Copper & Gold, Inc., Cv.*......... 80,000 $ 1,730,000
Freeport-McMoRan Copper & Gold, Inc., 7%, Cv. ..... 40,000 1,000,000
------------
$ 2,730,000
------------
REAL ESTATE -- 0.2%
Catellus Development Corp., Cv.##.................. 30,000 $ 1,230,000
------------
SPECIAL PRODUCTS AND SERVICES -- 0.3%
Ceridian Corp., 5.5%, Cv. ......................... 33,000 $ 2,755,500
------------
STEEL -- 0.6%
AK Steel Holdings Corp.,
7%, Cv. .......................................... 100,000 $ 2,875,000
USX Capital LLC, 8.75%............................. 120,000 2,925,000
------------
$ 5,800,000
------------
UTILITIES -- GAS -- 0.2%
Western Gas Resources, Inc., $2.625, Cv............ 26,000 $ 910,000
Williams Cos., Inc.,
$3.50, Cv.*##..................................... 15,000 920,625
------------
$ 1,830,625
------------
UTILITIES -- TELEPHONE -- 0.6%
Cointel, 7%, Cv.##................................. 109,200 $ 5,378,100
------------
Total Preferred Stocks (Identified Cost, $41,997,048)..... $ 55,913,347
------------
</TABLE>
COMMON STOCKS -- 46.4%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 45.7%
AEROSPACE -- 0.8%
Raytheon Co. ............................................. 20,000 $ 1,552,500
United Technologies Corp.................................. 76,000 5,937,500
------------
$ 7,490,000
------------
AUTOMOTIVE -- 2.3%
Daimler Benz, ADR......................................... 60,500 $ 2,790,562
Dana Corp. ............................................... 120,000 3,435,000
Ford Motor Co. ........................................... 234,289 6,970,098
General Motors Corp. ..................................... 184,636 8,654,813
------------
$ 21,850,473
------------
BANKS AND CREDIT COMPANIES -- 3.2%
Bank of Boston Corp. ..................................... 155,000 $ 5,812,500
Chase Manhattan Corp. .................................... 104,300 4,902,100
Citicorp.................................................. 3,200 185,200
First Bank System, Inc. .................................. 25,000 1,025,000
First Chicago Corp. ...................................... 60,100 3,598,487
First Union Corp. ........................................ 50,000 2,262,500
Morgan (J.P.) & Co. ...................................... 15,000 1,051,875
National City Corp. ...................................... 120,000 3,525,000
NationsBank Corp. ........................................ 70,000 3,753,750
Northern Trust Co. ....................................... 100,000 4,025,000
------------
$ 30,141,412
------------
BUSINESS MACHINES -- 1.8%
Hewlett-Packard Co. ...................................... 80,000 $ 5,960,000
Texas Instruments, Inc. .................................. 55,000 7,363,125
Xerox Corp. .............................................. 33,000 3,869,250
------------
$ 17,192,375
------------
CELLULAR TELEPHONES -- 0.1%
AirTouch Communications, Inc.*............................ 25,000 $ 712,500
------------
CHEMICALS -- 1.2%
Dow Chemical Co. ......................................... 35,000 $ 2,515,625
du Pont (E. I.) de Nemours & Co. ......................... 45,000 3,093,750
Grace (W.R.) & Co. ....................................... 95,200 5,842,900
------------
$ 11,452,275
------------
CONGLOMERATES -- 1.5%
Eastern Enterprises....................................... 170,000 $ 5,078,750
Textron, Inc. ............................................ 155,000 9,009,375
------------
$ 14,088,125
------------
CONSUMER GOODS AND SERVICES -- 2.7%
Colgate-Palmolive Co. .................................... 154,000 $ 11,261,250
Philip Morris Cos., Inc. ................................. 200,000 14,875,000
------------
$ 26,136,250
------------
ELECTRICAL EQUIPMENT -- 1.5%
General Electric Co. ..................................... 84,000 $ 4,735,500
Honeywell, Inc. .......................................... 230,000 9,918,750
------------
$ 14,654,250
------------
</TABLE>
28
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
ELECTRONICS -- 0.9%
AMP, Inc. ................................................ 156,000 $ 6,591,000
Perkin-Elmer Corp. ....................................... 55,000 1,952,500
------------
$ 8,543,500
------------
ENTERTAINMENT -- 0.2%
Tele-Communications, "A"*................................. 82,500 $ 1,933,594
------------
FINANCIAL INSTITUTIONS -- 0.2%
Dean Witter Discover & Co., Inc. ......................... 51,418 $ 2,416,646
------------
FOOD AND BEVERAGE PRODUCTS -- 2.5%
Anheuser Busch Cos. ...................................... 90,000 $ 5,118,750
CPC International, Inc. .................................. 200,000 12,350,000
PepsiCo, Inc. ............................................ 130,000 5,931,250
------------
$ 23,400,000
------------
FOREST AND PAPER PRODUCTS -- 2.3%
Bowater, Inc. ............................................ 70,000 $ 3,141,250
Georgia-Pacific Corp. .................................... 150,000 13,012,500
International Paper Co. .................................. 28,289 2,425,782
Weyerhaeuser Co. ......................................... 75,000 3,534,375
------------
$ 22,113,907
------------
INSURANCE -- 4.5%
Aetna Life & Casualty Co. ................................ 224,100 $ 14,090,287
American General Corp. ................................... 252,000 8,505,000
CIGNA Corp. .............................................. 99,000 7,684,875
MBIA, Inc. ............................................... 50,000 3,325,000
Reliastar Financial Corp. ................................ 115,000 4,398,750
Travelers, Inc. .......................................... 79,618 3,483,288
UNUM Corp. ............................................... 23,000 1,078,125
USF&G Corp. .............................................. 20,719 336,689
------------
$ 42,902,014
------------
MEDICAL AND HEALTH PRODUCTS -- 1.7%
American Home Products Corp. ............................. 70,000 $ 5,416,250
Lilly (Eli) & Co. ........................................ 110,000 8,635,000
SmithKline Beecham PLC, ADR............................... 50,000 2,262,500
------------
$ 16,313,750
------------
METALS AND MINERALS -- 0.2%
Cyprus Amax Minerals...................................... 50,000 $ 1,425,000
Phelps Dodge Corp. ....................................... 10,000 590,000
------------
$ 2,015,000
------------
OIL SERVICES -- 0.5%
McDermott International, Inc. ............................ 50,000 $ 1,206,250
Schlumberger Ltd. ........................................ 55,000 3,416,875
------------
$ 4,623,125
------------
OILS -- 6.3%
Amoco Corp. .............................................. 22,000 $ 1,465,750
British Petroleum PLC, ADR................................ 61,878 5,298,304
Chevron Corp. ............................................ 100,000 4,662,500
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
OILS -- continued
Exxon Corp. .............................................. 143,000 $ 10,099,375
Mobil Corp. .............................................. 40,000 3,840,000
Occidental Petroleum Corp................................. 450,000 10,293,750
Phillips Petroleum Co..................................... 20,000 667,500
Royal Dutch Petroleum Co., ADR............................ 35,000 4,265,625
Sun, Inc.................................................. 85,000 2,326,875
TOTAL S.A., ADR........................................... 130,000 3,932,500
USX-Marathon Group........................................ 238,000 4,700,500
Ultramar Corp............................................. 80,000 2,020,000
YPF Sociedad Anonima, ADR................................. 350,000 6,606,250
------------
$ 60,178,929
------------
PHOTOGRAPHIC PRODUCTS -- 0.6%
Eastman Kodak Co.......................................... 100,000 $ 6,062,500
------------
POLLUTION CONTROL -- 0.2%
WMX Technologies, Inc..................................... 60,000 $ 1,702,500
------------
PRECIOUS METALS AND MINERALS -- 0.2%
Freeport-McMoRan Copper & Gold, Inc. ..................... 82,555 $ 1,702,697
------------
PRINTING AND PUBLISHING -- 0.3%
Readers Digest Assn. ..................................... 75,000 $ 3,309,375
------------
RAILROADS -- 0.3%
CSX Corp.................................................. 45,000 $ 3,380,625
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.0%
Beacon Properties Corp.................................... 72,000 $ 1,431,000
Equity Residential Properties............................. 32,000 892,000
LTC Properties, Inc....................................... 76,300 1,001,438
Meditrust................................................. 84,200 2,873,324
National Health Investors, Inc............................ 77,400 2,109,150
Sun Communities, Inc...................................... 44,200 1,105,000
------------
$ 9,411,912
------------
SPECIAL PRODUCTS AND SERVICES -- 0.4%
Minnesota Mining & Manufacturing Co....................... 60,000 $ 3,435,000
------------
STORES -- 1.0%
May Department Stores Co.................................. 54,000 $ 2,247,750
Penney (J.C.), Inc........................................ 72,000 3,456,000
Sears, Roebuck & Co....................................... 60,000 3,592,500
------------
$ 9,296,250
------------
UTILITIES -- ELECTRIC -- 1.7%
CMS Energy Corp........................................... 100,000 $ 2,462,500
FPL Group, Inc............................................ 150,000 5,793,750
General Public Utilities Co............................... 40,000 1,190,000
Niagara Mohawk Power Corp................................. 40,000 590,000
PECO Energy Co............................................ 30,000 828,750
Pacific Gas & Electric Co................................. 46,300 1,342,700
Texas Utilities Co........................................ 125,000 4,296,876
------------
$ 16,504,576
------------
</TABLE>
29
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
UTILITIES -- GAS -- 3.5%
British Gas PLC, ADR...................................... 80,000 $ 3,680,000
Pacific Enterprises....................................... 400,000 9,800,000
Panhandle Eastern Corp.................................... 100,000 2,437,500
Sonat, Inc................................................ 150,000 4,575,000
Tenneco, Inc.............................................. 100,000 4,600,000
Williams Cos., Inc........................................ 238,000 8,300,250
------------
$ 33,392,750
------------
UTILITIES -- TELEPHONE -- 2.1%
American Telephone & Telegraph Co......................... 139,500 $ 7,410,936
British Telecommunications, ADR........................... 38,100 2,390,775
GTE Corp.................................................. 107,600 3,671,850
NYNEX Corp................................................ 48,000 1,932,000
SBC Communications, Inc. ................................. 20,000 952,500
Sprint Corp............................................... 99,600 3,349,050
------------
$ 19,707,111
------------
Total U.S. Stocks
(Identified Cost, $364,562,033)................................. $436,063,421
------------
FOREIGN STOCKS -- 0.7%
FRANCE -- 0.3%
Alcatel Alsthom Compagnie (Electrical Equipment).......... 130,500 $ 2,365,313
Assurance Generale (Insurance)............................ 30,000 961,832
------------
$ 3,327,145
------------
SPAIN -- 0.2%
Iberdrola (Utilities -- Electric)*........................ 250,000 $ 1,885,855
------------
UNITED KINGDOM -- 0.2%
National Power (Utilities -- Electric).................... 365,400 $ 1,006,686
Powergen (Utilities -- Electric)*......................... 158,000 481,843
------------
$ 1,488,529
------------
Total Foreign Stocks (Identified Cost, $4,414,781)............... $ 6,701,529
------------
Total Common Stocks
(Identified Cost, $368,976,814)................................. $442,764,950
------------
</TABLE>
SHORT-TERM OBLIGATIONS -- 8.2%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Dow Chemical, due 7/28/95........................ $ 7,800 $ 7,765,251
Federal Home Loan Mortgage Corp., due 7/05/95 -
8/02/95......................................... 20,900 20,845,447
Federal National Mortgage Assn., due 7/05/95 -
7/31/95......................................... 32,8000 32,734,609
GTE North, due 7/14/95........................... 1,200 1,197,417
GTE South, due 7/13/95........................... 600 598,796
Kellogg Co., due 7/13/95......................... 4,800 4,790,545
Tennessee Valley Authority, due 7/27/95.......... 8,500 8,464,088
Toys R Us, due 7/18/95........................... 2,000 1,994,399
------------
Total Short-Term Obligations, at Amortized Cost.................. $ 78,390,552
------------
Total Investments
(Identified Cost, $829,654,656)................................. $932,782,642
OTHER ASSETS,
LESS LIABILITIES -- 2.2%......................................... 20,922,856
------------
Net Assets -- 100.0%............................................. $953,705,498
============
</TABLE>
See portfolio footnotes and notes to financial statements
30
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1995
UTILITIES SERIES
COMMON STOCKS -- 74.9%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 68.2%
REAL ESTATE INVESTMENT TRUSTS -- 10.9%
Factory Stores America, Inc. ............................... 7,600 $ 155,800
LTC Properties, Inc. ....................................... 13,100 171,937
Meditrust Corp. ............................................ 6,650 226,931
National Health Investors, Inc. ............................ 17,600 479,600
ROC Communities, Inc. ...................................... 10,500 232,312
Reckson Associates Realty Corp. ............................ 10,000 242,500
Shurgard Storage Centers, Inc. ............................. 10,200 234,600
Sovran Self Storage, Inc. .................................. 11,800 271,400
Storage Equities, Inc. ..................................... 29,000 474,875
Storage USA, Inc. .......................................... 9,000 255,375
Sun Communities, Inc. ...................................... 12,400 310,000
-----------
$ 3,055,330
-----------
TELECOMMUNICATIONS -- 6.4%
ALC Communications Corp.*................................... 21,900 $ 988,237
AirTouch Communications, Inc.*.............................. 8,500 242,250
Portugal Telecom, ADR*...................................... 12,200 231,800
Worldcom, Inc.*............................................. 11,776 317,952
-----------
$ 1,780,239
-----------
UTILITIES -- ELECTRIC -- 26.3%
CINergy Corp. .............................................. 8,616 $ 226,170
CMS Energy Corp. ........................................... 21,700 534,363
Central Costanera, ADR##.................................... 10,800 334,800
Companhia Energetica de Minas Gerais, ADR*.................. 8,066 155,270
DPL, Inc. .................................................. 12,600 278,775
Eastern Utilities Assn...................................... 14,600 330,325
Empresa Nacional de Electricidad, ADR....................... 5,500 270,875
FPL Group, Inc. ............................................ 13,500 521,438
General Public Utilities Corp. ............................. 17,650 525,087
Houston Industries, Inc. ................................... 5,000 210,625
Illinova Corp. ............................................. 20,950 531,606
Korea Electric Power Corp., ADR............................. 10,000 226,250
NIPSCO Industries, Inc. .................................... 7,000 238,000
PECO Energy Co. ............................................ 30,200 834,275
Pinnacle West Capital Corp. ................................ 29,750 728,875
Portland General Corp. ..................................... 3,100 68,588
Public Service Co. of New Mexico*........................... 25,500 363,375
Sithe Energies, Inc.*....................................... 17,500 170,625
Unicom Corp. ............................................... 30,400 809,400
-----------
$ 7,358,722
-----------
UTILITIES -- GAS -- 6.7%
Enron Corp. ................................................ 6,900 $ 242,363
Pacific Enterprises......................................... 5,000 122,500
Panhandle Eastern Corp. .................................... 13,400 326,625
Tenneco, Inc. .............................................. 5,200 239,200
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
UTILITIES -- GAS -- continued
TransCanada Pipelines Ltd. .............................. 17,000 $ 227,375
Westcoast Energy, Inc. .................................. 26,500 390,875
Williams Cos., Inc. ..................................... 9,200 320,850
-----------
$ 1,869,788
-----------
UTILITIES -- TELEPHONE -- 17.9%
American Telephone & Telegraph Co. ...................... 11,225 $ 596,328
Ameritech Corp. ......................................... 8,500 374,000
BellSouth Corp. ......................................... 6,700 425,450
Frontier Corp. .......................................... 17,100 410,400
GTE Corp. ............................................... 19,500 665,437
MCI Communications Corp. ................................ 26,200 576,400
Motorola, Inc. .......................................... 3,200 214,800
SBC Communications, Inc. ................................ 16,200 771,525
Tele Danmark, ADR........................................ 21,400 599,200
Telecom Argentina, ADR................................... 8,000 364,000
-----------
$ 4,997,540
-----------
Total U.S. Stocks (Identified Cost, $17,456,939)................ $19,061,619
-----------
FOREIGN STOCKS -- 6.7%
ITALY -- 1.8%
Telecom Italia
(Utilities -- Telephone)................................ 233,000 $ 493,756
-----------
PHILIPPINES -- 0.1%
Philippine Telephone
(Utilities -- Telephone)*............................... 15,300 $ 11,781
-----------
SPAIN -- 1.0%
Iberdrola (Utilities -- Electric)........................ 40,000 $ 301,737
-----------
UNITED KINGDOM -- 3.8%
London Electricity
(Utilities -- Electric)................................. 21,000 $ 214,701
Midlands Electricity
(Utilities -- Electric)................................. 30,000 300,983
National Power
(Utilities -- Electric)................................. 9,700 26,724
PowerGen (Utilities -- Electric)......................... 30,000 230,515
PowerGen -- 195
(Utilities -- Electric)................................. 5,800 17,688
Southern Electric
(Utilities -- Electric)................................. 26,000 265,613
-----------
$ 1,056,224
-----------
Total Foreign Stocks (Identified Cost, $1,911,905).............. $ 1,863,498
-----------
Total Common Stocks
(Identified Cost, $19,368,844)................................. $20,925,117
-----------
</TABLE>
31
<PAGE>
NON-CONVERTIBLE BONDS -- 17.5%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
FINANCIAL INSTITUTIONS -- 0.1%
General Motors Acceptance Corp., 5.95s, 1998....... $ 50 $ 49,040
-----------
U.S. GOVERNMENT AGENCY -- 3.6%
Tennessee Valley Authority, 7.625s, 1999........... $1,000 $ 1,016,090
-----------
U.S. TREASURY OBLIGATIONS -- 10.7%
U.S. Treasury Notes, 5.5s, 1996.................... $ 875 $ 873,084
U.S. Treasury Notes, 7.5s, 2001.................... 915 982,198
U.S. Treasury Bonds, 7.625s, 2025.................. 1,000 1,129,370
-----------
$ 2,984,652
-----------
UTILITIES -- ELECTRIC -- 1.8%
Boston Edison Co., 8.25s, 2022..................... $ 100 $ 99,444
Coastal Corp., 10.375s, 2000....................... 100 114,249
First PV Funding Corp., 10.15s, 2016............... 50 51,438
Hidroelectrica Alicura, 8.375s, 1999##............. 25 21,125
Mississippi Power & Light, 8.8s, 2005.............. 50 51,625
Texas & New Mexico Power Co., 12.5s, 1999.......... 50 55,937
Utilicorp United, Inc., 8.45s,
1999............................................. 100 106,666
-----------
$ 500,484
-----------
UTILITIES -- GAS -- 1.3%
ANR Pipeline Co., 7s, 2025......................... $ 100 $ 100,250
Enron Corp., 7.125s, 2007.......................... 100 101,695
Southern Union Co., 7.6s, 2024..................... 50 49,115
Union Texas Petroleum, 8.5s, 2007.................. 100 106,500
-----------
$ 357,560
-----------
Total Non-Convertible Bonds
(Identified Cost, $4,716,155)..................................... $ 4,907,826
-----------
CONVERTIBLE BONDS -- 2.0%
ADT Operations, Cv., 0s, 2010...................... $ 730 $ 286,956
Rogers Communications, Inc., Cv., 2s, 2005......... 521 273,525
-----------
Total Convertible Bonds
(Identified Cost, $610,331)....................................... $ 560,481
-----------
</TABLE>
SHORT-TERM OBLIGATIONS -- 5.4%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Federal Home Loan Mortgage Corp., due 7/05/95...... $1,200 $ 1,199,213
Ford Motor Credit Corp., due 7/03/95............... 300 299,897
-----------
Total Short-Term Obligations, at Amortized Cost.................... $ 1,499,110
-----------
Total Investments
(Identified Cost, $26,194,440).................................... $27,892,534
OTHER ASSETS,
LESS LIABILITIES -- 0.2%........................................... 57,867
-----------
Net Assets -- 100.0%............................................... $27,950,401
===========
</TABLE>
See portfolio footnotes and notes to financial statements
32
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1995
WORLD ASSET ALLOCATION SERIES
COMMON STOCKS -- 54.6%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- 38.4%
AUSTRALIA -- 2.5%
Australia & New Zealand Bank Group Ltd. (Finance)............ 37,000 $ 131,424
Seven Network Ltd. (Media)*.................................. 50,500 116,594
Woolworths Ltd. (Stores)..................................... 45,529 94,444
-----------
$ 342,462
-----------
FINLAND -- 0.4%
Aamulehti Yhtymae Oy II (Publishing)*........................ 2,400 $ 48,912
Kesko Oy Osake (Retail)...................................... 800 8,021
-----------
$ 56,933
-----------
FRANCE -- 2.8%
Essilor International (Medical and Health Products)*......... 1,000 $ 181,968
LVMH Moet-Hennessy (Food and Beverages)...................... 325 58,536
Michelin, "B" (Tire and Rubber).............................. 1,750 77,589
TOTAL S.A., "B" (Oils)....................................... 950 57,231
-----------
$ 375,324
-----------
GERMANY -- 2.7%
BASF AG (Chemicals).......................................... 530 $ 113,286
Hornbach Baumarkt AG (Retail)##.............................. 170 115,014
Schering AG (Pharmaceuticals)................................ 800 55,919
Volkswagen AG (Automotive)................................... 280 80,941
-----------
$ 365,160
-----------
HONG KONG -- 1.8%
Consolidated Electric Power-Asia (Utilities -- Electric)..... 44,000 $ 102,077
Giordano International Ltd. (Retail)......................... 90,000 66,884
National Mutual Asia Ltd. (Insurance)........................ 44,000 28,149
Peregrine Investment Holding (Finance)....................... 35,000 49,759
-----------
$ 246,869
-----------
ITALY -- 0.8%
Telecom Italia (Utilities -- Telephone)...................... 49,000 $ 103,837
-----------
JAPAN -- 7.6%
Bridgestone Corp. (Tire and Rubber).......................... 5,000 $ 73,833
DDI Corp. (Telecommunications)............................... 22 176,728
Dai Nippon Printing Co. Ltd. (Office Equipment)*............. 5,000 79,740
Daiwa House Industry (Home Construction)..................... 4,000 61,429
East Japan Railway Co. (Transportation)...................... 19 97,637
Kinki Coca-Cola Bottling (Food and Beverages)................ 6,000 85,765
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
JAPAN -- continued
Kirin Beverage Corp. (Food and Beverages).................... 3,000 $ 49,971
MOS Food Services (Restaurants and Lodging).................. 2,200 55,877
Matsushita Electric Industrial Co. (Electrical Equipment).... 6,000 93,562
Murata Manufacturing Co. Ltd. (Electrical Equipment)......... 1,000 37,921
Nissan Motor Co. Ltd. (Automotive)........................... 10,000 64,028
Nissen Corp. (Retail)........................................ 3,000 90,372
Omron Corp. (Electronics).................................... 1,000 19,138
Osaka Sanso Kogyo (Chemicals)................................ 16,000 53,491
-----------
$ 1,039,492
-----------
MALAYSIA -- 0.7%
Maruichi Malaysia Steel Tube (Metals)........................ 13,000 $ 48,277
New Straits Times Press (Publishing)......................... 17,000 52,667
-----------
$ 100,944
-----------
NETHERLANDS -- 3.0%
Getronics NV (Computer Software and Services)*............... 3,746 $ 183,884
IHC Caland NV (Transportation -- Marine)..................... 1,600 45,531
Nedlloyd Groep (Transportation).............................. 1,700 58,052
Royal Dutch Petroleum Co. (Oils)............................. 980 119,917
-----------
$ 407,384
-----------
NEW ZEALAND -- 1.2%
Lion Nathan Ltd. (Beverages)................................. 79,000 $ 156,182
-----------
NORWAY -- 0.2%
Tomra Systems (Environmental)................................ 5,500 $ 21,612
-----------
SINGAPORE -- 0.6%
Singapore Finance Ltd. (Financial Services).................. 52,000 $ 83,379
-----------
SPAIN -- 3.3%
Acerinox S.A. (Iron and Steel)*.............................. 1,350 $ 166,042
Cubiertas Y Mzov S.A. (Engineering -- Construction)*......... 1,400 87,428
Iberdrola (Utilities -- Electric)............................ 11,000 82,978
Repsol (Oils)................................................ 3,500 110,298
-----------
$ 446,746
-----------
SWEDEN -- 5.4%
ASEA AB, "B" (Electrical Equipment)*......................... 1,900 $ 161,555
Astra AB, "B" (Pharmaceuticals)*............................. 6,800 204,895
Hennes & Mauritz (Retail -- Clothing)........................ 1,100 64,474
Marieberg Tidnings, "A" (Publishing)......................... 3,100 64,831
</TABLE>
33
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
SWEDEN -- continued
Skandinaviska Enskilda Banken, "A" (Finance)*............. 16,900 $ 87,894
Swedbank (Banks and Credit Companies)*.................... 4,100 34,411
TV 4 AB (Telecommunications)*............................. 6,050 121,531
-----------
$ 739,591
-----------
UNITED KINGDOM -- 5.4%
ASDA Group PLC (Supermarkets)............................. 73,000 $ 109,859
British Steel PLC (Steel)................................. 29,000 79,319
Invesco Fund Managers (Finance)........................... 23,500 79,526
MAI (Investments)......................................... 20,000 82,173
PowerGen PLC (Utilities -- Electric)...................... 37,600 114,666
Storehouse PLC (Retail)................................... 39,000 167,069
Takare PLC (Medical and Health Technology and
Services)*##............................................. 31,000 95,279
-----------
$ 727,891
-----------
Total Foreign Stocks (Identified Cost, $5,111,153).............. $ 5,213,806
-----------
U.S. STOCKS -- 16.2%
AGRICULTURAL PRODUCTS -- 0.4%
AGCO Corp. ............................................... 1,500 $ 56,250
-----------
AIRLINES -- 0.2%
Southwest Airlines Co. ................................... 1,300 $ 31,037
-----------
AUTOMOTIVE -- 0.4%
General Motors Corp. ..................................... 1,240 $ 58,125
-----------
BANKS AND CREDIT COMPANIES -- 0.3%
First Interstate Bancorp. ................................ 500 $ 40,125
-----------
CELLULAR TELEPHONES -- 0.4%
AirTouch Communications, Inc.*............................ 1,850 $ 52,725
-----------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 0.3%
Microsoft Corp.*.......................................... 400 $ 36,150
-----------
COMPUTER SOFTWARE -- SYSTEMS -- 0.9%
BMC Software, Inc.*....................................... 400 $ 30,900
Compuware Corp.*.......................................... 1,300 39,975
Sybase, Inc.*............................................. 1,550 45,531
-----------
$ 116,406
-----------
CONSUMER GOODS AND SERVICES -- 1.4%
Philip Morris Cos., Inc. ................................. 790 $ 58,756
RJR Nabisco Group, Inc. .................................. 1,580 44,043
Tyco International Ltd. .................................. 1,650 89,100
-----------
$ 191,899
-----------
DEFENSE ELECTRONICS -- 0.4%
Loral Corp. .............................................. 1,170 $ 60,547
-----------
ELECTRICAL EQUIPMENT -- 0.4%
Honeywell, Inc. .......................................... 1,300 $ 56,062
-----------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
ELECTRONICS -- 0.7%
ADT Ltd.*................................................... 1,200 $ 14,100
Cypress Semicondutor Corp.*................................. 820 33,210
Intel Corp. ................................................ 800 50,650
-----------
$ 97,960
-----------
ENTERTAINMENT -- 1.5%
American Radio Systems Corp.*............................... 100 $ 2,275
Argosy Gaming Co.*.......................................... 900 11,588
Casino America, Inc.*....................................... 1,400 21,175
Promus Cos., Inc.*.......................................... 2,400 93,600
Rio Hotel and Casino, Inc.*................................. 1,200 16,500
Showboat, Inc. ............................................. 3,000 55,500
-----------
$ 200,638
-----------
FINANCIAL INSTITUTIONS -- 1.0%
Federal Home Loan Mortgage Corp. ........................... 1,180 $ 81,125
Student Loan Marketing Assn. ............................... 1,100 51,562
-----------
$ 132,687
-----------
FOOD AND BEVERAGE PRODUCTS -- 0.8%
CPC International, Inc. .................................... 300 $ 18,525
Hershey Foods Corp. ........................................ 300 16,575
Kellogg Co. ................................................ 300 21,413
PepsiCo, Inc. .............................................. 1,170 53,381
-----------
$ 109,894
-----------
FOREST AND PAPER PRODUCTS -- 1.1%
Avenor, Inc.*............................................... 3,800 $ 80,954
Boise Cascade Corp. ........................................ 600 24,300
Kimberly-Clark Corp. ....................................... 300 17,963
Willamette Industries, Inc. ................................ 520 28,860
-----------
$ 152,077
-----------
MACHINERY -- 0.3%
York International Corp. ................................... 800 $ 36,000
-----------
MEDICAL AND HEALTH PRODUCTS -- 0.2%
Sofamor Danek Group, Inc. .................................. 1,100 $ 24,887
-----------
MEDICAL AND HEALTH TECHNOLOGY
AND SERVICES -- 1.2%
Beverly Enterprises*........................................ 2,400 $ 29,700
Genesis Health Ventures, Inc.*.............................. 550 16,294
Living Centers of America*.................................. 1,900 51,537
Pacificare Health Systems, Inc., "B"*....................... 1,100 56,100
Regency Health Services, Inc.*.............................. 1,300 13,650
-----------
$ 167,281
-----------
PHOTOGRAPHIC PRODUCTS -- 0.3%
Eastman Kodak Co. .......................................... 640 $ 38,800
-----------
RAILROADS -- 0.3%
Wisconsin Central Transportation Corp.*..................... 780 $ 38,220
-----------
RESTAURANTS AND LODGING -- 0.8%
Apple South, Inc. .......................................... 1,140 $ 22,230
Brinker International, Inc.*................................ 3,000 51,750
Promus Hotel Corp.*(S)(S)................................... 1,500 33,000
-----------
$ 106,980
-----------
</TABLE>
34
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
SPECIAL PRODUCTS AND SERVICES -- 0.3%
Stanley Works..................................... 950 $ 35,981
-----------
STORES -- 0.3%
Federated Department Stores, Inc.*................ 1,800 $ 46,350
-----------
TELECOMMUNICATIONS -- 1.6%
Chipcom Corp.*.................................... 2,500 $ 59,375
Korea Mobile Telecommunications, ADR*##........... 1,400 49,882
Rogers Communications, Inc.*...................... 9,100 106,874
-----------
$ 216,131
-----------
UTILITIES -- ELECTRIC -- 0.7%
Korea Electric Power Corp., ADR .................. 4,500 $ 101,813
-----------
Total U.S. Stocks
(Identified Cost, $1,999,455).................................... $ 2,205,025
-----------
Total Common Stocks
(Identified Cost, $7,110,608).................................... $ 7,418,831
-----------
PREFERRED STOCK -- 0.5%
FRANCE
Essilor International (Medical and Health
Products) (Identified Cost, $57,584)............. 500 $ 67,052
-----------
BONDS -- 20.2%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
FOREIGN DENOMINATED -- 4.8%
AUSTRALIA -- 0.7%
Commonwealth of Australia,
6.25s, 1999...................................... AUD 65 $ 43,082
Commonwealth of Australia,
10s, 2002........................................ 70 52,339
-----------
$ 95,421
-----------
DENMARK -- 0.5%
Kingdom of Denmark, 9s, 1998...................... DKK175 $ 33,553
Kingdom of Denmark, 9s, 2000...................... 175 33,598
-----------
$ 67,151
-----------
FRANCE -- 0.2%
Government of France, 8s, 1998.................... FRF 50 $ 10,615
Government of France, 7s, 1999.................... 50 10,274
Government of France, 7.75s, 2000................. 50 10,548
-----------
$ 31,437
-----------
GERMANY -- 1.6%
German Unity Fund, 8.5s, 2001..................... DEM 10 $ 7,862
Republic of Germany, 8.5s, 2000................... 30 23,596
</TABLE>
BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
FOREIGN DENOMINATED -- continued
GERMANY -- continued
Republic of Germany, 6.5s, 2003................... DEM 170 $ 119,135
Republic of Germany, 6.875s, 2005................. 45 32,399
Treuhandanstalt Obligationen, 6.375s, 1999........ 45 32,936
-----------
$ 215,928
-----------
IRELAND -- 0.2%
Irish Gilts, 8s, 2000............................. IEP 15 $ 23,973
-----------
ITALY -- 0.3%
Republic of Italy, 8.5s, 1999 ITL 65,000 $ 35,929
Republic of Italy, 9.5s, 1999..................... 15,000 8,365
-----------
$ 44,294
-----------
NETHERLANDS -- 0.9%
Dutch State Loan, 6.25s, 1998..................... NLG 10 $ 6,555
Dutch State Loan, 7.75s, 2005..................... 70 47,468
Dutch State Loan, 8.25s, 2007..................... 90 62,864
-----------
$ 116,887
-----------
SPAIN -- 0.4%
Kingdom of Spain, 12.25s, 2000.................... ESP 6,000 $ 50,566
-----------
Total Foreign Denominated
(Identified Cost, $617,808)...................................... $ 645,657
-----------
FOREIGN -- U.S. DOLLAR DENOMINATED -- 8.1%
BRAZIL -- 5.1%
Federative Republic of Brazil, 4s, 2014........... $ 520,200 $ 255,548
Federative Republic of Brazil, 4.25s, 2024........ 1,000,000 445,000
-----------
$ 700,548
-----------
MEXICO -- 1.3%
United Mexican States,
"B", 6.81s, 2019(S).............................. $ 250,000 $ 178,125
-----------
POLAND -- 1.7%
Government of Poland, 2.75s, 2024................. $ 500,000 $ 229,375
-----------
Total Foreign -- U.S. Dollar Denominated (Identified Cost,
$1,028,127)...................................................... $ 1,108,048
-----------
U.S. DOLLAR DENOMINATED -- 7.3%
National Medical Enterprises, 10.125s, 2005....... $ 250 $ 264,063
Owens-Illinois, Inc., 11s, 2003................... 200 219,500
Stop & Shop Cos., Inc., 9.75s, 2002............... 250 270,000
Westpoint Stevens, Inc., 9.375s, 2005............. 250 240,625
-----------
Total U.S. Dollar Denominated (Identified Cost, $954,437)......... $ 994,188
-----------
Total Bonds (Identified Cost, $2,600,372)......................... $ 2,747,893
-----------
</TABLE>
35
<PAGE>
SHORT-TERM OBLIGATIONS -- 25.1%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. DOLLAR DENOMINATED -- 24.5%
Federal Home Loan Mortgage Corp., due 7/03/95...... $ 900 $ 899,695
Federal National Mortgage Assn., due 7/14/95....... 2,430 2,424,832
-----------
$ 3,324,527
-----------
FOREIGN DENOMINATED -- 0.6%
New Zealand Treasury Bills, due 12/20/95........... NZD 138 $ 88,310
-----------
Total Short-Term Obligations,
at Amortized Cost................................................. $ 3,412,837
-----------
CALL OPTIONS PURCHASED -- 0.1%
<CAPTION>
Principal Amount
of Contracts
Description/Expiration Month/Strike Price (000 Omitted)
<S> <C> <C>
Canadian Dollars/August/1.34....................... CAD 36 $ 18
Deutsche Marks/July/1.385.......................... DEM 163 981
Italian Lire/Deutsche Marks/September/1143.9....... ITL50,332 201
Japanese Bonds
July/110.164...................................... JPY 6,000 3,150
July/112.844...................................... 10,000 2,200
August/109.274.................................... 8,000 4,288
August/113.763.................................... 8,000 864
September/108.284................................. 3,000 1,224
September/108.577................................. 5,000 2,900
September/111.15.................................. 11,000 3,498
-----------
Total Call Options Purchased
(Premiums Paid, $8,433)........................................... $ 19,324
-----------
PUT OPTIONS PURCHASED
British Pounds/ September/1.5305................... GBP 35 $ 204
Deutsche Marks/July/1.415.......................... DEM 176 223
Deutsche Marks/British Pounds/ July/2.29........... 112 0
Japanese Bonds/ August/108.985..................... JPY 5,000 5
-----------
Total Put Options Purchased
(Premiums Paid, $2,015)........................................... $ 432
-----------
Total Investments
(Identified Cost, $13,191,849).................................... $13,666,369
-----------
</TABLE>
CALL OPTIONS WRITTEN -- (0.1)%
<TABLE>
<CAPTION>
Principal Amount
of Contracts
Description/Expiration Month/Strike Price (000 Omitted) Value
<S> <C> <C>
Japanese Bonds
July/110.2....................................... JPY 6,000 $ (3,140)
August/109.3..................................... 8,000 (4,291)
Japanese Yen/March/78............................. 4,243 (1,184)
-----------
Total Call Options Written
(Premiums Received, $6,752)...................................... $ (8,615)
-----------
PUT OPTIONS WRITTEN
Australian Dollars/September/0.705................ AUD 57 $ (832)
British Pounds/September/1.53..................... GBP 35 (202)
Deutsche Marks/
September/1.465.................................. DEM 182 (523)
September/1.49................................... 97 (150)
Italian Lire/Deutsche Marks/September/1227.5...... ITL 54,010 (376)
Japanese Bonds/
September/108.284................................ JPY 3,000 (124)
September/108.577................................ 5,000 (130)
Japanese Yen/March/93............................. 5,058 (350)
-----------
Total Put Options Written (Premiums Received, $5,539)............. $ (2,687)
-----------
OTHER ASSETS,
LESS LIABILITIES -- (0.4)%........................................ $ (58,392)
-----------
Net Assets -- 100.0%.............................................. $13,596,675
===========
</TABLE>
See portfolio footnotes and notes to financial statements
36
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1995
WORLD GOVERNMENTS SERIES
BONDS -- 79.6%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 27.8%
Stripped Principal Payments, 0s, 2019++++++++..... $ 13,500 $ 2,661,255
U.S. Treasury Notes, 7.75s, 1999.................. 5,600 5,972,736
U.S. Treasury Notes, 6.375s, 2002................. 10,500 10,624,635
U.S. Treasury Notes, 7.25s, 2004.................. 22,950 24,524,140
------------
Total U.S. Treasury Obligations (Identified Cost, $41,724,349).... $ 43,782,766
------------
FOREIGN DENOMINATED -- 51.8%
AUSTRALIA -- 6.9%
Commonwealth of Australia, 7s, 2000............... AUD 8,500 $ 5,660,999
Commonwealth of Australia, 10s, 2002.............. 7,080 5,293,687
------------
$ 10,954,686
------------
CANADA -- 3.3%
Government of Canada, 9.75s, 2001................. CAD 6,500 $ 5,214,676
------------
DENMARK -- 5.6%
Kingdom of Denmark, 9s, 1998...................... DKK 32,600 $ 6,250,399
Kingdom of Denmark, 9s, 2000...................... 13,500 2,591,860
------------
$ 8,842,259
------------
FRANCE -- 3.1%
Government of France, 8s, 1998.................... FRF 7,640 $ 1,621,943
Government of France, 7s, 1999.................... 7,890 1,621,300
Government of France, 7.75s, 2000................. 7,900 1,666,546
------------
$ 4,909,789
------------
GERMANY -- 11.5%
German Unity Fund, 8.5s, 2001..................... DEM 2,200 $ 1,729,595
Republic of Germany, 8.5s, 2000................... 6,600 5,191,172
Republic of Germany, 6.875s, 2005................. 6,500 4,679,812
Treuhandanstalt Obligationen, 6.375s, 1999........ 5,870 4,296,313
Treuhandanstalt Obligationen, 7.75s, 2002......... 2,870 2,169,114
------------
$ 18,066,006
------------
IRELAND -- 1.1%
Republic of Ireland, 9.25s, 2003.................. IEP 1,000 $ 1,686,740
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
FOREIGN DENOMINATED -- continued
ITALY -- 3.1%
Republic of Italy, 8.5s, 1999.................... ITL 5,875,000 $ 3,247,397
Republic of Italy, 9.5s, 1999.................... 3,070,000 1,711,980
------------
$ 4,959,377
------------
NETHERLANDS -- 7.5%
Dutch State Loan, 6.25s, 1998.................... NLG 1,630 $ 1,068,534
Dutch State Loan, 7.75s, 2005.................... 7,180 4,868,859
Dutch State Loan, 8.25s, 2007.................... 8,380 5,853,318
------------
$ 11,790,711
------------
NEW ZEALAND -- 4.8%
Government of New Zealand,
8s, 1995........................................ NZD 11,300 $ 7,517,081
------------
SPAIN -- 3.1%
Kingdom of Spain, 12.25s, 2000................... ESP 593,000 $ 4,997,583
------------
UNITED KINGDOM -- 1.8%
United Kingdom Gilts, 9s, 2000................... GBP 1,500 $ 2,461,919
United Kingdom Treasury, 7s, 2001................ 210 312,270
------------
$ 2,774,189
------------
Total Foreign Denominated (Identified Cost, $78,739,384)......... $ 81,713,097
------------
Total Bonds
(Identified Cost, $120,463,733)................................. $125,495,863
------------
SHORT-TERM OBLIGATIONS -- 18.4%
U.S. DOLLAR DENOMINATED -- 17.5%
Federal Home Loan Mortgage Corp., due 7/03/95 -
7/07/95........................................ $ 10,915 $ 10,907,518
Federal National Mortgage Assn., due 7/05/95..... 11,250 11,242,651
Transamerica Corp., due 7/13/95.................. 5,500 5,489,128
------------
$ 27,639,297
------------
FOREIGN DENOMINATED -- 0.9%
New Zealand Treasury Bills,
due 12/20/95.................................... NZD 2,097 $ 1,341,695
------------
Total Short-Term Obligations,
at Amortized Cost............................................... $ 28,980,992
------------
</TABLE>
37
<PAGE>
CALL OPTIONS PURCHASED -- 1.3%
<TABLE>
<CAPTION>
Principal Amount
of Contracts
Description/Expiration Month/Strike Price (000 Omitted) Value
<S> <C> <C>
Canadian Dollars/August/1.34..................... CAD 5,683 $ 2,927
Deutsche Marks/July/1.385........................ DEM 23,630 142,132
Italian Lire/Deutsche Marks/September/1143.9..... ITL 1,201,095 4,804
Japanese Bonds/
July/110.164.................................... JPY 610,000 320,250
July/112.844.................................... 1,220,000 268,400
August/109.274.................................. 819,000 438,984
August/113.763.................................. 819,000 88,452
September/108.284............................... 510,000 208,080
September/108.577............................... 490,000 284,200
September/111.15................................ 947,000 301,146
------------
Total Call Options Purchased
(Premiums Paid, $952,199)....................................... $ 2,059,375
------------
PUT OPTIONS PURCHASED -- 0.1%
British Pounds/ September/1.5305................. GBP 5,652 $ 32,734
Deutsche Marks/July/1.415........................ DEM 23,692 30,041
Deutsche Marks/British Pounds/July/2.29.......... 4,788 10
Japanese Bonds/August/
108.985......................................... JPY 490,000 490
Japanese Yen/July/85.25.......................... 1,324,190 113,880
Japanese Yen/Deutsche Marks/September/63.0....... 1,223,097 61,155
------------
Total Put Options Purchased
(Premiums Paid, $395,323)....................................... $ 238,310
------------
Total Investments
(Identified Cost, $150,792,247)................................. $156,774,540
------------
CALL OPTIONS WRITTEN -- (0.6)%
Japanese Bonds/
July/110.2...................................... JPY 610,000 $ (319,030)
August/109.3.................................... 819,000 (438,984)
Japanese Yen/
August/80....................................... 1,242,642 (37,279)
March/78.0...................................... 653,478 (182,321)
------------
Total Call Options Written
(Premiums Received, $846,787)................................... $ (977,614)
------------
</TABLE>
PUT OPTIONS WRITTEN -- (0.2)%
<TABLE>
<CAPTION>
Principal Amount
of Contracts
Description/Expiration Month/Strike Price (000 Omitted) Value
<S> <C> <C>
Australian Dollars/September/.705............... AUD 6,796 $ (99,890)
British Pounds/September/1.530.................. GBP 5,650 (32,334)
Deutsche Marks
August/1.50.................................... DEM 14,367 (6,365)
September/1.465................................ 24,529 (70,521)
September/1.49................................. 13,098 (20,183)
Italian Lire/Deutsche Marks
/September/1227.5.............................. ITL 1,288,875 (9,022)
Japanese Bonds
September/108.284.............................. JPY 510,000 (20,910)
September/108.577.............................. 490,000 (12,740)
Japanese Yen/March/93.0......................... 779,148 (53,761)
------------
Total Put Options Written
(Premiums Received, $802,102).................................. $ (325,726)
------------
OTHER ASSETS,
LESS LIABILITIES -- 1.4%........................................ $ 2,185,320
------------
Net Assets -- 100.0%............................................ $157,656,520
============
</TABLE>
See portfolio footnotes and notes to financial statements
38
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1995
WORLD GROWTH SERIES
COMMON STOCKS AND WARRANTS -- 89.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- 52.8%
ARGENTINA -- 1.1%
Banco de Credito S.A. (Finance)*.......................... 98,800 $ 173,412
Banco Frances del Rio Plata (Finance)*.................... 3,700 22,207
Banco Frances del Rio Plata, ADR (Finance)................ 5,800 104,400
Buenos Aires Embotelladora S.A., ADR (Beverages).......... 5,000 125,625
CAPEX S.A. (Utilities -- Electric)*....................... 15,000 116,285
Comercial del Plata S.A. (Oils)*.......................... 65,910 163,507
Inversiones y Representacion ARP (Special Products and
Services)*............................................... 56,000 132,760
Mirgor Sacifia, ADR (Automotive)*......................... 21,000 42,000
Telecom Argentina S.A., ADR (Telecommunications)*......... 33,700 153,382
YPF Sociedad Anonima, ADR, "D" (Oils)*.................... 15,620 294,827
------------
$ 1,328,405
------------
AUSTRALIA -- 1.5%
Australia & New Zealand Bank Group Ltd. (Finance)*........ 129,400 $ 459,629
News Corp. Ltd. (Media)*.................................. 27,800 155,228
News Corp. Ltd., Pfd. (Media)*............................ 12,300 60,904
Sydney Harbor Casino Ltd. (Entertainment)*................ 305,700 314,895
Western Mining Corp. Holdings, ADS (Metals and Minerals).. 137,800 758,672
------------
$ 1,749,328
------------
BANGLADESH -- 0.1%
Bangladesh Fund (Finance)+................................ 9,000 $ 87,750
------------
BELIZE -- 0.1%
Belize Holdings, Inc. (Finance)........................... 8,500 $ 134,937
------------
BRAZIL -- 2.6%
Aracruz Celulose S.A., ADR (Forest and Paper Products).... 19,600 $ 230,300
CESP, ADR (Utilities -- Electric)##....................... 20,700 232,875
Centrais Electricas, ADR (Electronics).................... 24,100 325,350
Cia Vale do Rio Doce, ADR (Iron and Steel)*............... 8,000 304,000
Companhia Siderurgicas, "B", ADR (Iron and Steel)*........ 8,446 245,948
Eucatex S.A. Industria e Comercio, ADR (Building
Materials)............................................... 3,400 173,400
Iochpe Maxion S.A., ADR (Auto and Trucks)................. 15,700 149,150
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
BRAZIL -- continued
Refrigeracao Parana S.A., ADR (Furniture and Home
Appliances)............................................... 22,240 $ 211,280
Rhodia-Ster S.A., GDR (Chemicals)##........................ 24,300 334,125
Sao Paulo Alpargatas, ADR (Textiles)....................... 20,000 140,000
Telecom Brasileiras S.A., ADR (Telecommunications)......... 12,850 433,689
Usiminas Siderurgicas, ADR (Iron and Steel)##.............. 36,400 409,500
-----------
$ 3,189,617
-----------
CANADA -- 1.4%
Discreet Logic (Computer Software)......................... 700 $ 23,100
Echo Bay Mines Ltd. (Mining)............................... 71,100 639,900
MacMillan Bloedel Ltd. (Forest and Paper Products)......... 13,500 190,687
Placer Dome, Inc. (Mining)................................. 32,500 849,064
-----------
$ 1,702,751
-----------
CHILE -- 1.0%
Banco Osorno y La Union, ADR (Finance)..................... 15,000 $ 208,125
Chilquinta S.A., ADR (Media)............................... 7,100 124,250
Compania de Telefonos Chile S.A., ADR (Telecommunications). 1,460 118,807
Empresas Telex-Chile S.A., ADR (Entertainment)............. 6,000 81,000
Enersis S.A., ADR (Utilities -- Electric).................. 6,930 204,435
Maderas y Sinteticos Sociedad S.A., ADR (Forest and Paper
Products)................................................. 9,100 170,625
Quimica y Minera Chile S.A., ADR (Chemicals)............... 3,500 165,375
Vina Concha y Toro S.A., ADR (Beverages)................... 6,600 127,875
-----------
$ 1,200,492
-----------
CHINA -- 1.0%
Chengdu Telecommunications (Electronics)*.................. 230,000 $ 74,315
China Harbin Power Plant Equipment, "H" (Electronics)*..... 248,000 79,330
China Southern Glass, "B" (Containers)*.................... 82,200 52,058
Dong Fang Electric Machinery Conglomerate (Electronics).... 182,000 68,216
Huaxin Cement Co. (Construction)*.......................... 383,800 101,323
Lizhu Pharmaceuticals Group, "B" (Pharmaceuticals)*........ 200 89
Luoyong Glass Co. Ltd. (Building Materials)................ 60,000 30,437
</TABLE>
39
<PAGE>
COMMON STOCKS AND WARRANTS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
CHINA -- continued
Shanghai Dajiang (Agriculture)*........................... 138,000 $ 66,240
Shanghai Diesel Engineering, "B" (Chemicals)*............. 88,500 54,870
Shanghai Friendship & Overseas Chinese Co. (Retail)*...... 254,400 98,709
Shanghai Lujiazhui Finance & Trading Co., "B" (Finance)*.. 79,000 55,458
Shanghai New Asia Group (Restaurant)*..................... 282,700 113,080
Shanghai Petrochemical (Oils)............................. 332,000 104,054
Shanghai Post & Telecommunications (Telecommunications)*.. 281,600 167,836
Shenzhen Chiwan Wharf Holdings Ltd. (Transportation --
Marine)*................................................ 128,000 61,210
Shenzhen Konka Electronics Group Ltd. (Electronics)*...... 76,000 36,834
Yizheng Chemical Fibre Co. Ltd. (Chemicals)............... 66,000 23,031
------------
$ 1,187,090
------------
COLOMBIA -- 0.4%
Cadenalco Gran Cadena de Almacenes Colombia, ADR
(Retail)##............................................... 7,500 $ 155,625
Carulla & Cia S.A., ADR (Retail)##........................ 2,000 35,000
Cementos Diamante S.A., ADR (Construction)##.............. 5,800 166,750
Corp. Financiera del Valle S.A., ADR, "B" (Finance)##..... 4,543 73,826
------------
$ 431,201
------------
CZECH REPUBLIC -- 0.1%
Komercni Banka AS (Finance)##............................. 7,100 $ 124,250
------------
FINLAND -- 1.0%
Nokia AB (Telecommunications)............................. 7,200 $ 428,402
Nokia Corp., ADR (Telecommunications)..................... 12,000 715,500
------------
$ 1,143,902
------------
FRANCE -- 3.5%
Compagnie Bancaire S.A. (Finance)......................... 9,411 $ 1,126,136
Eaux (Compagnie Generale) (Construction).................. 4,339 483,405
Elf Aquitaine (Oil and Gas)*.............................. 9,161 677,578
Lafarge-Coppee S.A. (Building Materials)*................. 5,790 450,585
Michelin (C.G.D.E.), "B" (Tire and Rubber)................ 7,288 323,127
Peugeot S.A. (Automotive)*................................ 2,742 380,723
Rhone-Poulenc S.A. (Chemicals)............................ 22,878 515,900
Sidel (Machinery)*........................................ 735 257,638
------------
$ 4,215,092
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
GERMANY -- 2.9%
Daimler-Benz AG (Automotive)*............................... 2,886 $ 1,326,057
Kaufhof Holdings AG (Consumer Goods)*....................... 654 233,774
Mannesmann AG (Diversified Machinery)*...................... 3,434 1,049,830
Schering AG (Pharmaceuticals)*.............................. 6,450 450,847
Volkswagen AG (Automotive)*................................. 1,668 482,175
-----------
$ 3,542,683
-----------
GHANA -- 0.1%
Ashanti Goldfields Co. Ltd., GDR (Mining)##................. 4,870 $ 112,497
-----------
GREECE -- 0.4%
Aegek S.A. (Engineering and Construction)................... 6,600 $ 146,804
Alpha Credit Bank (Finance)*................................ 1,600 88,902
Ergo Bank (Finance)*........................................ 1,860 85,640
Hellenic Bottling Co. S.A. (Beverages)*..................... 3,480 103,414
Petzetakis S.A. (Plastics Manufacturing)*................... 10,300 50,403
-----------
$ 475,163
-----------
HONG KONG -- 3.7%
ABC Communications Holdings Ltd. (Telecommunications)....... 358,000 $ 99,480
Amway Asia Pacific Ltd. (Consumer Goods).................... 23,500 851,875
Cheung Kong Holdings Ltd. (Real Estate)..................... 54,000 267,302
China Light & Power (Utilities -- Electric)*................ 18,500 95,162
Citic Pacific Ltd. (Conglomerate)*.......................... 73,000 183,507
Esprit Asia Holdings (Apparel and Textiles)................. 324,000 124,578
Guoco Group Ltd. (Finance).................................. 36,000 167,965
HSBC Holdings PLC (Finance)*................................ 18,000 230,894
Hang Seng Bank (Finance)*................................... 29,000 221,137
Hong Kong Telecommunications (Telecommunications)*.......... 73,000 144,353
Hong Kong & China Gas Ltd.
(Utilities -- Gas)*........................................ 66,000 105,347
Hutchison Whampoa (Real Estate)*............................ 211,000 1,019,917
Jardine Matheson Holdings Ltd. (Conglomerate)............... 1,200 8,820
Jinhui Holdings Ltd. (Transportation --Marine)*............. 286,000 38,442
New World Development Co. (Real Estate)*.................... 58,000 193,026
Sun Hung Kai Properties (Real Estate)*...................... 55,000 406,957
Swire Pacific Air Ltd. (Transportation)*.................... 2,000 15,251
</TABLE>
40
<PAGE>
COMMON STOCKS AND WARRANTS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
HONG KONG -- continued
Television Broadcasting Ltd. (Media)...................... 31,000 $ 108,979
Vitasoy International Holdings Ltd. (Beverages)*.......... 164,000 65,178
Wharf Holdings Ltd. (Real Estate)*........................ 29,000 94,639
------------
$ 4,442,809
------------
HUNGARY -- 0.1%
Fotex (Retail) ........................................... 25,000 $ 36,585
Magyar Olaj Es Gaz (Miscellaneous)*....................... 625 57,202
Pick Szeged, RT (Food Processing)*........................ 1,000 53,693
------------
$ 147,480
------------
INDIA -- 1.0%
Bajaj Auto Ltd. (Automotive)*............................. 6,000 $ 165,750
Global Securities Ltd. (Finance)*......................... 430,000 64,237
Gujarat Narmada Valley Fertilizer, GDR (Chemicals)*##..... 9,000 84,420
India Gateway Fund Ltd. (Finance)*........................ 2,500 49,900
India Gateway Fund Ltd. (Finance)*........................ 20,000 148,200
India Gateway Fund Ltd., Warrants (Finance)*.............. 4,000 0
India Magnum Fund NV (Finance)*........................... 5,120 272,691
NEPC Micon, GDR (Utilities--Electric)*##.................. 39,000 83,850
Reliance Industries, GDS (Apparel and Textiles)*.......... 8,360 147,303
Shriram Industrial Enterprises Ltd., GDR (Special Products
and Services)*##......................................... 9,000 84,375
Shriram Industrial Enterprises Ltd., Warrants (Special
Products and Services)*.................................. 3,000 30
South Indian Viscose Ltd., GDR (Apparel and Textiles)*.... 18,133 63,465
South Indian Viscose Ltd., GDR (Apparel and Textiles)*##.. 6,500 71,500
------------
$ 1,235,721
------------
INDONESIA -- 0.7%
Astra International (Automotive)*......................... 75,500 $ 133,973
Bank International Indonesia (Finance).................... 19,000 44,385
Hanjaya Mandala Sampoerna (Retail)*....................... 12,250 96,305
Indocement Tunggal Prakar (Retail)........................ 24,000 97,035
Indofoods Sukses Makmur (Food Processing)*................ 19,000 69,991
Indorama Synthetics (Textiles)*........................... 1,900 715
Indosat (Telecommunications)*............................. 15,500 58,839
Inti Indorayon Utama (Forest and Paper Products)*......... 32,500 67,161
Kalbe Farma (Pharmaceuticals)............................. 19,000 87,062
Mayora Indah (Food Processing)*........................... 16,500 75,606
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
INDONESIA -- continued
PT Indonesia Satel, ADR (Telecommunications)*.............. 2,430 $ 92,947
Semen Gresik (Building Materials)*......................... 12,000 64,690
------------
$ 888,709
------------
ITALY -- 1.8%
Banco Commerciale Italiana (Finance)*...................... 92,300 $ 209,162
Fiat S.p.A. (Automotive)................................... 350,800 1,239,698
Pirelli S.p.A. (Tire and Rubber)*.......................... 264,200 351,943
Telecom Italia (Telecommunications)........................ 121,900 331,114
------------
$ 2,131,917
------------
JAPAN -- 13.0%
DDI Corp. (Telecommunications)*............................ 155 $ 1,245,127
Daiei, Inc. (Retail -- Grocery)*........................... 65,000 790,904
Daiwa Securities Co. Ltd. (Finance)........................ 80,000 844,891
Hokuetsu Bank (Finance)*................................... 9,000 54,117
Ito-Yokado Co. Ltd. (Retail -- Grocery)*................... 8,000 422,445
Kawasaki Heavy Industries (Aerospace -- Defense)*.......... 80,000 295,806
Komori Corp. (Printing Machinery)*......................... 22,000 449,616
Kyocera Corp. (Electronics)*............................... 5,000 412,286
Matsuzakaya Co. Ltd. (Retail)*............................. 20,000 203,190
Mitsubishi Trust & Bank (Finance)*......................... 3,000 42,528
NEC Corp. (Electronics -- Semiconductors)*................ 100,000 1,097,460
NTT Data Communications Systems Co. (Computer Software)*... 15 235,676
New Oji Paper Co. Ltd. (Forest and Paper Products)*........ 76,000 731,719
Nichido Fire & Marine Ltd. (Insurance)*.................... 86,000 695,924
Nikon Corp. (Jewelry -- Watches and Gemstones)*............ 57,000 561,583
Nippon Steel Corp. (Steel)*................................ 226,000 736,869
Nippon Telephone & Telegraph Co. (Telecommunications)*..... 77 645,836
Nissan Motor Co. Ltd. (Automotive)*........................ 143,000 915,605
Obayashi Corp. (Engineering and Construction)*............. 54,000 415,924
Pioneer Electronics Corp. (Electronics)*................... 29,000 493,325
Sankyo Co. Ltd. (Pharmaceuticals)*......................... 1,100 25,600
Sasebo Heavy Industries (Aerospace -- Defense)*............ 64,000 127,773
Sharp Corp. (Electronics)*................................. 118,000 1,561,252
Sony Corp. (Electronics)................................... 22,000 1,057,767
Sumitomo Bank (Finance)*................................... 27,000 468,872
Sumitomo Realty & Development (Real Estate)*............... 112,000 669,486
Tokyo Ohka Kogyo Ltd. (Chemicals)*......................... 17,700 483,012
------------
$ 15,684,593
------------
</TABLE>
41
<PAGE>
COMMON STOCKS AND WARRANTS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
MALAYSIA -- 2.0%
Berjaya Sports Toto Berhad (Leisure)*...................... 51,000 $ 90,406
DCB Holdings Berhad (Finance)*............................. 63,000 184,838
Genting Berhad (Leisure)*.................................. 36,000 356,011
IOI Corp. Berhad (Agriculture)*............................ 132,000 173,328
IOI Properties (Real Estate)............................... 10,000 34,879
Land & General Berhad (Special Products and Services)##.... 40,500 135,443
Magnum Corp. Berhad (Entertainment)........................ 14,000 32,745
Malaysian Helicopter Services Berhad (Transportation)*..... 400 686
Malaysian Helicopter Services Berhad, Warrants
(Transportation)*......................................... 80 0
Renong Berhad (Conglomerate)*.............................. 168,000 312,975
Resorts World Berhad (Entertainment)*...................... 86,000 504,637
Sungei Way Holdings Berhad (Construction)*................. 45,000 183,730
Technology Resources Industries Berhad, "A"
(Conglomerate)*........................................... 27,000 77,554
Telekom Malaysia (Telecommunications)*..................... 13,000 98,687
United Engineers Ltd. (Engineering and Construction)*...... 33,000 209,889
Westmont Berhad (Transportation)*.......................... 11,000 54,616
-----------
$ 2,450,424
-----------
MEXICO -- 1.4%
Cemex S.A., "A" (Construction)*............................ 1,687 $ 5,834
Cemex S.A., "B" (Construction)*............................ 65,875 237,867
Cifra S.A. de C.V. (Retail)*............................... 152,300 200,953
Corporacion GEO S.A. de C.V., ADR (Homebuilders)# #........ 6,700 77,050
Grupo Carso (Conglomerate)*................................ 40,700 222,889
Grupo Financiaro Banamex (Finance)*........................ 5,065 7,705
Grupo Financiaro Banamex, "C" (Finance)*................... 101,300 155,721
Grupo Sidek S.A. de C.V., ADR (Transportation)............. 10,500 48,562
Grupo Situr S.A., "B" (Restaurants and Lodging)*........... 156,000 74,940
Grupo Televisa (Media)*.................................... 9,775 100,176
Pan American Beverage, Inc., "A" (Beverages)............... 5,575 167,250
Telefonos de Mexico S.A. (Telecommunications)*............. 259,560 383,209
Telefonos de Mexico S.A., ADR (Telecommunications)*........ 1,200 35,550
-----------
$ 1,717,706
-----------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
NETHERLANDS -- 0.6%
Wolters Kluwer (Publishing)*.................................. 8,740 $772,706
--------
NEW ZEALAND -- 0.5%
Fletcher Challenge Ltd., ADS (Forest and Paper Products)*..... 201,100 $564,122
--------
PERU -- 0.3%
Cementos Lima S.A. (Construction)*............................ 3,845 $ 62,641
Cesvecer Backus & Johnson (Beverages)*........................ 24,996 59,171
Minsur S.A. (Metals)*......................................... 5,687 71,791
Telephonica del Peru, "B" (Utilities -- Telephone)*........... 75,374 128,902
--------
$322,505
--------
PHILIPPINES -- 0.8%
Ayala Corp. (Real Estate)*.................................... 93,800 $104,876
Benpres Holdings Corp., GDR (Conglomerate)*##................. 10,000 82,500
International Container Terminal Services, Inc. (Packaging and
Containers)*................................................. 184,250 128,303
Manila Electric Co. (Electronics)*............................ 6,337 50,964
Metropolitan Bank & Trust Co. (Finance)*...................... 3,780 82,303
Petron Corp. (Oil Services)*.................................. 101,875 66,944
Philippine Long Distance Telephone, ADR (Telecommunications)*. 1,740 124,845
Philippine Telecommunications (Telecommunications)*........... 16,700 12,859
RFM Corp. (Food Processing)*.................................. 168,000 44,158
RFM Corp. (Food Processing)*.................................. 42,000 11,040
SM Prime Holdings, Inc. (Real Estate)*........................ 535,600 147,085
San Miguel Corp., ADR (Food and Beverage Products)............ 30,230 125,711
--------
$981,588
--------
PORTUGAL -- 0.3%
Cimentos de Portugal S.A. (Construction)...................... 1,220 $ 3,955
Cimentos de Portugal S.A. (Construction)...................... 6,100 99,302
Portucel Industrial Empresa Productoro de Cellulosa S.A.
(Forest and Paper Products)##................................ 10,400 74,100
Portugal Telecommunications, ADR (Telecommunications)*........ 1,000 19,000
Portugal Telecommunciations (Telecommunications)*............. 4,642 88,903
Sonae Industria Investimentos (Finance)*...................... 7,200 98,397
--------
$383,657
--------
</TABLE>
42
<PAGE>
COMMON STOCKS AND WARRANTS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
SINGAPORE -- 0.6%
Fraser & Neave Ltd. (Beverages)*.......................... 26,000 $ 299,642
Keppel Corp. (Transportation)............................. 49,000 399,857
------------
$ 699,499
------------
SOUTH AFRICA -- 0.1%
Southern Africa Minerals Corp. (Metals and Minerals)...... 102,800 $ 112,309
------------
SOUTH KOREA -- 0.7%
Korea Electric Power Corp., ADR (Utilities -- Electric)... 2,000 $ 45,250
Korea Mobile Telecommunications, GDR (Telecommunications). 2,240 79,811
Korea Mobile Telecommunications (Telecommunications)...... 8,800 313,544
Pohang Iron & Steel Co. Ltd. (Iron and Steel)*............ 3,375 99,562
Samsung Electronics (Electronics)*........................ 4,080 220,320
Samsung Electronics Co., GDR (Electronics)*............... 885 47,790
------------
$ 806,277
------------
SPAIN -- 0.9%
Banco de Santander S.A. (Finance)*........................ 11,690 $ 461,702
Iberdrola S.A. (Utilities -- Electric).................... 30,040 226,604
Telefonica de Espana (Utilities -- Telephone)*............ 30,540 394,065
------------
$ 1,082,371
------------
SRI LANKA
National Development Bank (Finance)*...................... 12,000 $ 57,234
------------
SWEDEN -- 2.0%
Astra AB, Free Shares, "A" (Pharmaceuticals)*............. 37,800 $ 1,167,582
Astra AB, Free Shares, "B" (Pharmaceuticals)*............. 3,290 99,133
SKF Aktiebolaget, Free Shares, "B" (Metal Fabricate --
Hardware)*.............................................. 22,050 445,969
Skandinaviska Enskilda Banken, "A" (Finance)*............. 103,960 540,676
Swedish Bank (Finance)*................................... 1,500 12,589
TV4 AB (Telecommunications)............................... 5,400 108,474
------------
$ 2,374,423
------------
TAIWAN -- 0.3%
Asia Cement, GDS (Construction)*.......................... 2,950 $ 59,737
GVC Corp., GDR (Computers)*##............................. 3,600 54,900
Tung Ho Steel Enterprise Corp., GDR (Metal Fabricate --
Hardware)*##............................................ 11,811 153,543
Yageo Corp., GDR (Electronics)*........................... 4,800 68,400
------------
$ 336,580
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
THAILAND -- 1.0%
Ban Pu Coal (Coal and Uranium)*......................... 1,900 $ 44,969
Bangkok Bank Ltd. (Finance)*............................ 18,500 203,931
Char Pokphand Feed (Miscellaneous)*..................... 11,700 71,124
Electricity Generating Power Co. Ltd. (Utilities --
Electric)*............................................ 58,300 176,022
Italian Thai Development (Construction)*................ 3,700 41,386
Muramoto Electronics (Electronics)*..................... 9,200 47,351
Phatra Thanakit Co. (Finance)........................... 9,300 77,641
Royal Ceramics (Building Materials)..................... 114,500 95,568
Shinawatra Computer Co. Ltd. (Computers)*............... 3,100 74,124
Siam Cement Co. (Construction)*......................... 1,100 70,257
Siam Makro (Retail)*.................................... 26,400 106,991
Telecomasia (Telecommunications)*....................... 21,900 77,216
Thailand Farmers Bank Co. (Finance)*.................... 11,000 105,208
------------
$ 1,191,788
------------
TURKEY -- 0.7%
Anadolu Malt (Beverages)*............................... 810,000 $ 201,675
Arcelik A.S. (Furniture and Home Appliances)............ 110,813 35,742
Ardem Pisirici Ve (Miscellaneous)*...................... 200,000 70,167
Eczactibasi Yapi (Furniture and Home Appliances)*##..... 665,000 109,880
Ege Biracilik Ve Malt Sanayii A.S. (Beverages).......... 92,480 113,036
Migros Turk (Retail)*##................................. 195,600 219,153
Tofas Turk Otomobil Fabrikas (Automotive)*.............. 159,600 151,725
------------
$ 901,378
------------
UNITED KINGDOM -- 3.1%
ASDA Group PLC (Retail)................................. 1,002,000 $ 1,507,922
BPB Industries (Building Materials)..................... 88,300 436,618
Huntingdon International Holdings PLC, ADR (Consumer
Products).............................................. 28,800 133,200
Korea Europe Fund Ltd. (Finance)+....................... 10 35,625
Pilkington PLC (Building Materials)..................... 100 278
Sears PLC (Retail)...................................... 303,800 481,383
Smith (W.H.) Group PLC (Retail)*........................ 28,300 146,921
Tarmac PLC (Engineering and Construction)............... 170,100 304,745
Vodafone Group PLC (Telecommunications)................. 186,600 693,870
------------
$ 3,740,562
------------
Total Foreign Stocks
(Identified Cost, $53,286,970).................................. $ 63,651,516
------------
</TABLE>
43
<PAGE>
COMMON STOCKS AND WARRANTS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 36.9%
AEROSPACE -- 0.1%
Rohr, Inc.*................................................ 10,000 $ 143,750
------------
APPAREL AND TEXTILES -- 0.1%
Donnkenny, Inc.*........................................... 2,300 $ 45,712
Team Rent Group, Inc.*..................................... 11,700 84,825
------------
$ 130,537
------------
AUTOMOTIVE -- 1.2%
APS Holdings Corp.*........................................ 56,000 $ 1,477,000
------------
BANKS AND CREDIT COMPANIES -- 0.6%
First Financial Management Corp. .......................... 8,500 $ 726,750
------------
BUSINESS MACHINES -- 1.2%
Affiliated Computer Co.*................................... 33,200 $ 1,012,600
National Instruments Corp.*................................ 3,500 62,125
Printronix, Inc.*.......................................... 11,000 305,250
------------
$ 1,379,975
------------
BUSINESS SERVICES -- 3.4%
BISYS Group, Inc.*......................................... 9,000 $ 200,250
Ceridian Corp.*............................................ 38,000 1,401,250
Computer Sciences, Inc. *.................................. 8,500 483,437
Franklin Quest*............................................ 1,200 28,800
Global Direct*............................................. 2,300 45,425
Interim Services, Inc.*.................................... 42,000 1,050,000
National Data Corp......................................... 2,200 50,875
SPS Transaction Services Corp.*............................ 13,300 460,512
Transaction System Architects*............................. 13,000 334,750
------------
$ 4,055,299
------------
CELLULAR TELEPHONES -- 0.2%
Cellular Communications of Puerto Rico*.................... 7,500 $ 229,687
------------
CHEMICALS -- 0.1%
NL Industries, Inc.*....................................... 12,500 $ 167,187
------------
COMPUTER SOFTWARE -- 0.6%
ArcSys, Inc.*.............................................. 400 $ 13,600
Corel Corp.*............................................... 20,400 351,900
Expert Software, Inc.*..................................... 400 7,400
Silicon Graphics*.......................................... 10,000 398,750
------------
$ 771,650
------------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 3.2%
Autodesk, Inc.............................................. 20,000 $ 860,000
Datastream Systems, Inc.*.................................. 200 4,750
Eagle Point Software*...................................... 300 5,100
Electronic Arts, Inc.*..................................... 43,000 1,166,375
General Magic, Inc.*....................................... 1,200 16,200
Learning Co.*.............................................. 7,100 255,156
Maxis, Inc.*............................................... 700 18,637
Microsoft Corp.*........................................... 8,000 723,000
Seer Technologies, Inc.*................................... 500 10,375
Spectrum Holobyte Industries*.............................. 58,000 830,125
------------
$ 3,889,718
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
COMPUTER SOFTWARE -- SYSTEMS -- 5.4%
BDM International*........................................ 1,100 $ 22,275
BMC Software, Inc. *...................................... 14,500 1,120,125
Baan Co................................................... 900 27,787
Cadence Design Systems, Inc.*............................. 60,000 1,942,500
Compuware Corp.*.......................................... 5,000 153,750
Datalogix International, Inc.*............................ 600 14,625
HNC Software*............................................. 400 8,500
Inference Corp.*.......................................... 300 4,237
Informix Corp.*........................................... 15,000 380,625
Oracle Systems Corp.*..................................... 20,000 772,500
Sierra On-Line, Inc.*..................................... 7,000 175,000
Structural Dynamics Research Corp.*....................... 70,200 908,213
Sybase, Inc.*............................................. 22,000 646,250
System Software Associates, Inc........................... 13,500 270,000
Uunet Technologies*....................................... 900 24,750
------------
$ 6,471,137
------------
CONSTRUCTION SERVICES -- 0.2%
Shaw Group, Inc.*......................................... 22,000 $ 182,188
------------
CONSUMER GOODS AND SERVICES -- 2.4%
Callaway Golf Co. ........................................ 30,000 $ 450,000
Department 56, Inc.*...................................... 16,500 631,125
Fingerhut Cos., Inc....................................... 18,000 281,250
Sola International, Inc.*................................. 26,500 659,187
Tyco International Ltd.*.................................. 16,500 891,000
------------
$ 2,912,562
------------
ELECTRONICS -- 4.2%
Alpha Industries, Inc.*................................... 9,300 $ 132,525
Anadigics, Inc.*.......................................... 22,000 429,000
C.P. Clare Corp.*......................................... 700 14,000
Kulicke & Soffa Industries, Inc.*......................... 16,000 1,061,000
LSI Logic Corp.*.......................................... 42,000 1,643,250
LTX Corp.*................................................ 105,000 931,875
National Semiconductor Corp.*............................. 20,000 555,000
Oak Technology, Inc.*..................................... 3,000 110,250
Paradigm Technology*...................................... 500 11,219
VLSI Technology, Inc.*.................................... 6,000 180,750
------------
$ 5,068,869
------------
ENTERTAINMENT -- 2.6%
American Radio Systems*................................... 900 $ 20,475
Boyd Gaming Corp.*........................................ 10,000 166,250
Casino America, Inc.*..................................... 19,100 288,887
Circus Circus Enterprises, Inc.*.......................... 6,500 229,125
Grand Casinos, Inc.*...................................... 16,000 566,000
Heritage Media Corp.*..................................... 17,000 490,875
National Gaming Corp.*.................................... 1,800 15,525
Promus Cos., Inc.*........................................ 14,000 546,000
Showboat, Inc............................................. 12,000 222,000
Sinclair Broadcasting, "A"*............................... 2,300 64,400
</TABLE>
44
<PAGE>
COMMON STOCKS AND WARRANTS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
ENTERTAINMENT -- continued
Sky City Ltd.*............................................. 24,000 $ 340,629
Station Casinos, Inc.*..................................... 2,600 44,850
Young Broadcasting, "A"*................................... 2,400 66,600
------------
$ 3,061,616
------------
FINANCIAL INSTITUTIONS -- 0.7%
Franklin Resources, Inc.................................... 11,500 $ 511,750
Lehman Brothers Holdings................................... 15,500 339,062
------------
$ 850,812
------------
FOREST AND PAPER PRODUCTS -- 0.7%
Boise Cascade Corp......................................... 15,500 $ 627,750
Kimberly-Clark*............................................ 18,500 212,698
------------
$ 840,448
------------
INSURANCE
Equitable of Iowa Cos...................................... 900 $ 29,588
------------
MACHINERY
SI Handling Systems, Inc. ................................. 5,000 $ 48,750
------------
MEDICAL AND HEALTH PRODUCTS -- 1.2%
Amerisource Health Care, "A"*.............................. 10,000 $ 228,125
Boston Scientific Corp.*................................... 10,000 318,750
Gelman Sciences, Inc.*..................................... 900 16,987
Medisense, Inc.*........................................... 24,900 482,437
Uromed Corp.*.............................................. 16,000 130,000
Zoll Medical Corp.*........................................ 16,000 200,000
------------
$ 1,376,299
------------
MEDICAL AND HEALTH TECHNOLOGY
AND SERVICES -- 3.4%
APPS Dental, Inc.*......................................... 800 $ 16,800
Advantage Health Corp.*.................................... 23,500 622,750
American Oncology*......................................... 900 24,975
Community Health Systems *................................. 17,300 586,038
Genesis Health Ventures, Inc.*............................. 9,900 293,288
Health Management Assoc., Inc.*............................ 22,000 643,500
Living Centers of America*................................. 13,500 366,187
Manor Care, Inc. .......................................... 15,000 436,875
St. Jude Medical, Inc.*.................................... 9,200 461,150
Surgical Care Affiliates, Inc.............................. 7,000 133,875
United Healthcare Corp. ................................... 12,500 517,188
------------
$ 4,102,626
------------
OILS -- 0.1%
Mitchell Energy & Development Corp......................... 8,900 $ 159,087
------------
PRINTING AND PUBLISHING -- 0.7%
Nelson Thomas, Inc......................................... 15,875 $ 305,594
Pulitzer Publishing Co..................................... 11,500 490,187
------------
$ 795,781
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
RESTAURANTS AND LODGING -- 1.8%
Apple South, Inc............................................ 900 $ 17,550
Brinker International, Inc.*................................ 18,000 310,500
Buffets, Inc.*.............................................. 18,000 247,500
Doubletree Corp.*........................................... 3,400 73,312
Hospitality Franchise System* .............................. 21,000 727,125
Lone Star Steakhouse and Saloon, Inc.*...................... 7,000 212,188
Promus Hotel Corp.*......................................... 14,900 327,800
ShoLodge, Inc.*............................................. 17,501 260,327
------------
$ 2,176,302
------------
STORES -- 0.9%
Micro Warehouse, Inc.*...................................... 8,000 $ 368,000
Movie Gallery, Inc.*........................................ 11,000 385,687
Tiffany & Co................................................ 8,500 289,000
------------
$ 1,042,687
------------
TELECOMMUNICATIONS -- 1.9%
Bay Networks, Inc.*......................................... 13,000 $ 537,875
Cabletron Systems, Inc.*.................................... 10,000 532,500
Chipcom Corp.*.............................................. 16,000 380,000
Cisco Systems, Inc.*........................................ 15,000 758,437
Equalnet Holding Corp.* .................................... 2,400 36,000
Highwaymaster Communications*............................... 200 3,050
Premisys Communications, Inc.*.............................. 400 25,825
Sitel Corp.*................................................ 700 12,512
Transwitch Corp.* .......................................... 1,400 12,775
VideoServer, Inc.*.......................................... 600 23,400
------------
$ 2,322,374
------------
Total U.S. Stocks
(Identified Cost, $53,065,013)................................... $ 44,412,679
------------
Total Common Stock and Warrants (Identified Cost, $106,351,983)... $108,064,195
------------
</TABLE>
45
<PAGE>
CONVERTIBLE BONDS -- 0.6%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. DOLLAR DENOMINATED -- 0.6%
Argosy Gaming Corp., 12s, 2001................... $ 200 $ 199,500
Essar Gujarat, 5.5s, 1998........................ 115 122,475
Gujarat Ambrja Cement, 3.5s, 1999................ 125 166,719
Land & General Berhad, 4.5s, 2004................ 70 92,750
Teco Electric & Machinery Ltd., 2.75s, 2004##.... 80 74,200
United Micro Electric, 1.25s, 2004##............. 18 30,690
------------
$ 686,334
------------
FOREIGN DENOMINATED
Michelin, 2.5s, 2001............................. FRF104 $ 5,472
------------
Total Convertible Bonds
(Identified Cost, $727,104)..................................... $ 691,806
------------
SHORT-TERM OBLIGATIONS -- 8.1%
Federal Home Loan Bank, due 7/03/95 - 7/14/95.... $2,635 $ 2,631,921
Federal Home Loan Mortgage Corp., due 7/03/95 -
7/05/95........................................ 3,400 3,397,924
Federal National Mortgage Assn., due 7/14/95..... 2,075 2,070,587
Ford Motor Credit Corp., due 7/03/95............. 1,700 1,699,415
------------
Total Short-Term Obligations,
at Amortized Cost............................................... $ 9,799,847
------------
Total Investments
(Identified Cost, $116,878,934)................................. $118,555,848
OTHER ASSETS,
LESS LIABILITIES -- 1.6%......................................... 1,891,777
------------
Net Assets -- 100.0%............................................. $120,447,625
============
</TABLE>
See portfolio footnotes and notes to financial statements
PORTFOLIO OF INVESTMENTS -- June 30, 1995
WORLD TOTAL RETURN SERIES
COMMON STOCKS -- 54.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- 24.3%
AUSTRALIA -- 1.7%
Australia & New Zealand Bank Group Ltd. (Finance).............. 4,000 $ 14,208
Broken Hill Property (Real Estate)............................. 4,254 52,341
Q.B.E. Insurance Group (Insurance)............................. 5,000 19,891
Seven Network Ltd. (Telecommunications)........................ 9,900 22,857
--------
$109,297
--------
FRANCE -- 2.6%
Havas (Multi-Media Services)................................... 220 $ 17,429
LVMH Moet-Hennessy (Consumer Products)......................... 125 22,513
Pinault-Printemps (Consumer Goods)............................. 280 60,078
TV Francaise (Telecommunications).............................. 660 65,019
--------
$165,039
--------
GERMANY -- 1.3%
Deutsche Bank AG (Finance)..................................... 1,400 $ 68,075
Hornbach Baumarkt AG (Consumer Goods)##........................ 25 16,913
--------
$ 84,988
--------
HONG KONG -- 0.3%
Wharf Holdings Ltd. (Real Estate).............................. 5,000 $ 16,317
--------
ITALY -- 0.5%
Instituto Nazdelle Assicuraz (Insurance)....................... 9,000 $ 12,126
Telecom Italia (Telecommunications)............................ 7,500 15,893
--------
$ 28,019
--------
JAPAN -- 4.7%
DDI Corp. (Telecommunications)................................. 6 $ 48,198
Dai Nippon Printing Co. Ltd. (Printing)........................ 3,000 47,844
Daiwa House Industry (Home Construction)....................... 1,000 15,357
East Japan Railway Co. (Railroads)............................. 3 15,416
Ito Yokado Co. Ltd. (Retail)................................... 1,000 52,805
Matsushita Electric Industrial Co. (Industrials --
Telecommunications).......................................... 4,000 62,374
Nippondenso Co. Ltd. (Electrical Equipment).................... 2,000 36,385
Nissen Corp. (Consumer Goods).................................. 400 12,049
--------
$290,428
--------
NETHERLANDS -- 2.2%
IHC Caland N.V. (Transportation -- Marine)..................... 600 $ 17,074
Royall PTT Nederland N.V. (Utilities --Electric)............... 900 32,421
Vendex International N.V., BDR (Retail)........................ 900 23,864
Wolters Kluwer (Publishing).................................... 696 61,533
--------
$134,892
--------
</TABLE>
46
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
NEW ZEALAND -- 1.0%
Lion Nathan Ltd. (Beverages)................................. 31,500 $ 62,275
----------
PHILIPPINES -- 0.1%
Philippine Telephone (Utilities -- Telephone)*.............. 4,200 $ 3,234
----------
SINGAPORE -- 0.3%
Hong Leong Finance Ltd. (Finance)............................ 5,000 $ 17,179
----------
SPAIN -- 1.9%
Aumar-Autopistas del Mare Nostrum S.A. (Engineering and
Construction)............................................... 1,000 $ 11,993
Iberdrola S.A. (Utilities -- Electric)....................... 7,700 58,084
Repsol (Oils)................................................ 1,500 47,270
----------
$ 117,347
----------
SWEDEN -- 2.9%
ASEA AB, Free Shares, "B"
(Electrical Equipment)...................................... 680 $ 57,819
Astra AB, Free Shares, "B" (Pharmaceuticals)................. 2,260 68,097
Hennes & Mauritz AB (Retail -- Clothing)..................... 505 29,599
Stadshypotek AB (Banks and Credit Companies)................. 900 13,373
Swedbank (Banks and Credit Companies)........................ 1,300 10,910
----------
$ 179,798
----------
SWITZERLAND -- 1.0%
Nestle AG, Registered Shares (Food and Beverages)............ 58 $ 60,487
----------
UNITED KINGDOM -- 3.8%
Invesco Fund Managers (Finance).............................. 4,500 $ 15,228
London Electricity (Utilities -- Electric)*.................. 1,600 16,358
MAI (Investment Company)..................................... 2,300 9,449
PowerGen (Utilities -- Electric)............................. 10,000 30,496
Storehouse PLC (Retail Department Stores).................... 13,400 57,403
Takare PLC (Medical and Health Technology and Services)##.... 6,500 19,977
Tomkins (Holding Company).................................... 11,800 42,186
Unilever (Food and Beverages)*............................... 2,350 47,695
----------
$ 238,792
----------
Total Foreign Stocks
(Identified Cost, $1,524,509)..................................... $1,508,092
----------
U.S. STOCKS -- 30.4%
AEROSPACE -- 0.7%
Lockheed Martin Corp......................................... 700 $ 44,187
----------
BANKS AND CREDIT COMPANIES -- 2.0%
Barnett Banks, Inc........................................... 1,290 $ 66,112
Norwest Corp................................................. 750 21,562
Shawmut National............................................. 1,100 35,062
----------
$ 122,736
----------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
BUSINESS MACHINES -- 1.1%
International Business Machines Corp......................... 325 $ 31,200
Xerox Corp................................................... 325 38,106
----------
$ 69,306
----------
CHEMICALS -- 0.3%
Grace (W.R.) & Co............................................ 300 $ 18,412
----------
CONSUMER GOODS AND SERVICES -- 2.4%
Colgate-Palmolive Co......................................... 800 $ 58,500
Grupo Casa Autret, ADR....................................... 450 6,693
Philip Morris Cos., Inc...................................... 1,090 81,068
----------
$ 146,261
----------
ELECTRICAL EQUIPMENT -- 0.9%
General Electric Co.......................................... 950 $ 53,556
----------
ELECTRONICS -- 0.9%
Sony Corp.................................................... 1,100 $ 53,350
----------
FINANCIAL INSTITUTIONS -- 1.1%
Federal Home Loan Mortgage Corp. ............................ 1,045 $ 71,843
----------
FOOD AND BEVERAGE PRODUCTS -- 1.6%
General Mills, Inc........................................... 1,025 $ 52,659
Universal Foods Corp......................................... 1,500 48,562
----------
$ 101,221
----------
INSURANCE -- 2.8%
General Re Corp.............................................. 165 $ 22,089
MBIA, Inc.................................................... 725 48,212
St. Paul Cos., Inc........................................... 1,070 52,697
Transamerica Corp............................................ 900 52,425
----------
$ 175,423
----------
MACHINERY -- 0.3%
Deere & Co., Inc............................................. 200 $ 17,125
----------
MEDICAL AND HEALTH PRODUCTS -- 1.6%
Lilly (Eli) & Co............................................. 300 $ 23,550
Schering Plough Corp......................................... 1,200 52,950
Warner-Lambert Co............................................ 240 20,730
----------
$ 97,230
----------
METALS AND MINERALS -- 0.3%
British Steel PLC, ADR....................................... 750 $ 20,812
----------
OILS -- 5.4%
Amoco Corp................................................... 260 $ 17,322
Atlantic Richfield Co........................................ 225 24,693
British Petroleum PLC, ADR................................... 616 52,745
Elf Aquitaine, ADR........................................... 1,360 50,660
Exxon Corp. ................................................. 300 21,187
Mobil Corp................................................... 650 62,400
Royal Dutch Petroleum Co., ADR .............................. 500 60,937
TOTAL S.A., ADR.............................................. 1,045 31,611
Transcanada Pipelines Ltd.................................... 1,000 13,375
----------
$ 334,930
----------
PHOTOGRAPHIC PRODUCTS -- 1.2%
Eastman Kodak Co............................................. 1,230 $ 74,568
----------
POLLUTION CONTROL -- 0.5%
WMX Technologies, Inc........................................ 1,100 $ 31,212
----------
</TABLE>
47
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
PRINTING AND PUBLISHING -- 1.6%
Deluxe Corp......................................... 350 $ 11,593
Donnelley (R.R.) & Sons, Inc........................ 750 27,000
Reuters Holdings PLC, ADR........................... 1,250 62,656
----------
$ 101,249
----------
REAL ESTATE INVESTMENT
TRUSTS -- 0.5%
Bay Apartment Communities, Inc...................... 300 $ 5,850
Evans Withycombe Residential, Inc................... 300 6,112
Oasis Residential................................... 300 6,525
ROC Communities, Inc................................ 300 6,637
Walden Residential Properties, Inc.................. 300 5,512
----------
$ 30,636
----------
RESTAURANTS AND LODGING -- 0.1%
Darden Restaurants, Inc............................. 325 $ 3,534
----------
STORES -- 2.1%
Federated Department Stores, Inc.................... 600 $ 15,450
Hudsons Bay Co...................................... 2,750 54,579
Woolworth Ltd., ADR##............................... 2,860 58,630
----------
$ 128,659
----------
UTILITIES -- ELECTRIC -- 1.1%
Central Costanera, ADR##............................ 400 $ 12,400
Korea Electric Power Corp., ADR .................... 2,390 54,073
----------
$ 66,473
----------
UTILITIES -- GAS -- 0.7%
Pacific Enterprises................................. 600 $ 14,700
Westcoast Energy, Inc............................... 1,950 28,762
----------
$ 43,462
----------
UTILITIES -- TELEPHONE -- 1.2%
Tele Danmark, ADR................................... 2,030 $ 56,840
Telecom Corp. of New Zealand, ADR................... 315 19,096
----------
$ 75,936
----------
Total U.S. Stocks
(Identified Cost, $1,709,214)...................................... $1,882,121
----------
Total Common Stocks
(Identified Cost, $3,233,723)...................................... $3,390,213
----------
CONVERTIBLE PREFERRED STOCK -- 0.3%
Allstate Corp.
(Identified Cost, $13,600)......................... 400 $ 16,300
----------
BONDS -- 17.6%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 4.8%
Stripped Principal Payments, 0s, 2019++++++++ ...... $ 130 $ 25,627
U.S. Treasury Notes, 7.75s, 1999.................... 60 63,993
U.S. Treasury Notes, 6.375s, 2002................... 100 101,187
U.S. Treasury Notes, 7.25s, 2004.................... 100 106,859
----------
Total U.S. Treasury Obligations
(Identified Cost, $289,174)........................................ $ 297,666
----------
</TABLE>
BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
FOREIGN DENOMINATED -- 12.5%
AUSTRALIA -- 1.2%
Commonwealth of Australia, 10s, 2002............... AUD 100 $ 74,769
----------
DENMARK -- 1.1%
Kingdom of Denmark, 9s, 1998....................... DKK 175 $ 33,552
Kingdom of Denmark, 9s, 2000....................... 175 33,598
----------
$ 67,150
----------
FRANCE -- 0.9%
Government of France, 8s, 1998..................... FRF 90 $ 19,106
Government of France, 7s, 1999..................... 100 20,548
Government of France, 7.75s, 2000.................. 80 16,876
----------
$ 56,530
----------
GERMANY -- 4.1%
German Unity Fund, 8.5s, 2001...................... DEM 20 $ 15,723
Republic of Germany, 8.5s, 2000.................... 60 47,192
Republic of Germany, 6.5s, 2003.................... 180 126,143
Republic of Germany, 6.875s, 2005.................. 90 64,797
----------
$ 253,855
----------
ITALY -- 0.9%
Republic of Italy, 8.5s, 1999...................... ITL 75,000 $ 41,455
Republic of Italy, 9.5s, 1999...................... 30,000 16,729
----------
$ 58,184
----------
NETHERLANDS -- 1.9%
Dutch State Loan, 6.25s, 1998...................... NLG 10 $ 6,555
Dutch State Loan, 7.75s, 2005...................... 60 40,686
Dutch State Loan, 8.25s, 2007...................... 100 69,848
----------
$ 117,089
----------
SPAIN -- 1.8%
Kingdom of Spain, 12.25s, 2000..................... ESP 13,000 $ 109,559
----------
UNITED KINGDOM -- 0.6%
United Kingdom Treasury, 7s, 2001.................. GBP 25 $ 37,174
----------
Total Foreign Denominated
(Identified Cost, $753,765)....................................... $ 774,310
----------
CONVERTIBLE BOND -- 0.3%
Roche Holdings, Inc., 0s, 2010## (Identified Cost,
$14,778).......................................... $ 41 $ 16,400
----------
Total Bonds (Identified Cost, $1,057,717).......................... $1,088,376
----------
SHORT-TERM OBLIGATIONS -- 25.7%
U.S. DOLLAR DENOMINATED -- 25.0%
Federal Home Loan Mortgage Corp., due 7/03/95...... $ 400 $ 399,864
Federal National Mortgage Assn., due 7/14/95....... 1,150 1,147,554
----------
$1,547,418
----------
</TABLE>
48
<PAGE>
SHORT-TERM OBLIGATIONS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
FOREIGN DENOMINATED -- 0.7%
New Zealand Treasury Bills, due 12/20/95........... NZD 71 $ 45,439
----------
Total Short-Term Obligations,
at Amortized Cost................................................. $1,592,857
----------
CALL OPTIONS PURCHASED -- 0.4%
<CAPTION>
Principal Amount
of Contracts
Description/Expiration Month/Strike Price (000 Omitted)
<S> <C> <C>
Canadian Dollars/August/1.34....................... CAD 68 $ 35
Deutsche Marks/July/1.385.......................... DEM 295 1,777
Japanese Bonds
July/110.164...................................... JPY 6,000 3,147
July/112.844...................................... 20,000 4,395
August/109.274.................................... 9,000 4,824
August/113.763.................................... 9,000 968
September/108.284................................. 6,000 2,448
September/108.577................................. 5,000 2,900
September/111.15.................................. 12,000 3,813
----------
Total Call Options Purchased
(Premiums Paid, $12,577).......................................... $ 24,307
----------
PUT OPTIONS PURCHASED
British Pounds/
September/1.5305.................................. GBP 45 $ 259
Deutsche Marks/July/1.415.......................... DEM 315 399
Japanese Bonds/August/108.985...................... JPY 5,000 5
Japanese Yen/Deutsche Marks/September/63.0......... 16,792 833
----------
Total Put Options Purchased
(Premiums Paid, $2,629)........................................... $ 1,496
----------
Total Investments
(Identified Cost, $5,913,103)..................................... $6,113,549
----------
CALL OPTIONS WRITTEN -- (0.2)%
Japanese Bonds
July/110.2........................................ JPY 6,000 $ (3,140)
August/109.3...................................... 9,000 (4,827)
Japanese Yen/March/78.0............................ 5,238 (1,462)
----------
Total Call Options Written
(Premiums Received, $7,470)....................................... $ (9,429)
----------
</TABLE>
PUT OPTIONS WRITTEN -- (0.1)%
<TABLE>
<CAPTION>
Principal Amount
of Contracts
Description/Expiration Month/Strike Price (000 Omitted) Value
<S> <C> <C>
Australian Dollars/September/.705.................. AUD 105 $ (1,544)
British Pounds/September/1.530..................... GBP 45 (256)
Deutsche Marks
August/1.50....................................... DEM 179 (79)
September/1.465................................... 326 (937)
September/1.49.................................... 174 (260)
Japanese Bonds
September/108.284................................. JPY 6,000 (248)
September/108.577................................. 5,000 (130)
Japanese Yen/March/93.0............................ 6,246 (433)
----------
Total Put Options Written
(Premiums Received, $8,997)....................................... $ (3,887)
----------
OTHER ASSETS,
LESS LIABILITIES -- 1.6%........................................... $ 101,154
----------
Net Assets -- 100.0%............................................... $6,201,387
==========
</TABLE>
See portfolio footnotes and notes to financial statements
49
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1995
ZERO COUPON SERIES
1995 PORTFOLIO
U.S. GOVERNMENTS -- 99.1%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
TREASURY INVESTMENT GROWTH RECEIPTS -- 12.4%
Series 11, due 11/15/95......................... $ 70 $ 68,592
Series 12, due 11/15/95......................... 180 176,380
Series 21, due 11/15/95......................... 74 72,512
Series 23, due 11/15/95......................... 2 1,960
Series 18, due 2/15/96.......................... 62 59,878
Series 12, due 5/15/96.......................... 259 246,620
Series 21, due 5/15/96.......................... 41 39,040
----------
Total Treasury Investment Growth Receipts
(Identified Cost, $652,328).................................... $ 664,982
----------
U.S. TREASURY SECURITIES STRIPPED INTEREST
PAYMENTS -- 67.6%
Generic Coupons,
due 8/15/95++++++.............................. $ 83 $ 82,458
Generic Coupons,
due 11/15/95++++++............................. 3,623 3,549,743
----------
Total U.S Treasury Securities Stripped Interest Payments
(Identified Cost, $3,605,902).................................. $3,632,201
----------
CERTIFICATES OF ACCRUAL TREASURY
SECURITIES -- 19.1%
Series K, due 11/15/95
(Identified Cost, $1,012,823).................. $1,046 $1,024,965
----------
Total Investments
(Identified Cost, $5,271,053).................................. $5,322,148
OTHER ASSETS,
LESS LIABILITIES -- 0.9%........................................ 49,369
----------
Net Assets -- 100.0%............................................ $5,371,517
==========
</TABLE>
See portfolio footnotes and notes to financial statements
PORTFOLIO OF INVESTMENTS -- June 30, 1995
ZERO COUPON SERIES
2000 PORTFOLIO
U.S. GOVERNMENTS -- 96.5%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
TREASURY INVESTMENT GROWTH RECEIPTS -- 4.8%
Series 18, due 2/15/01.......................... $ 97 $ 69,109
Series 12, due 5/15/01.......................... 22 15,419
Series 15, due 8/15/01.......................... 88 60,651
----------
Total Treasury Investment
Growth Receipts
(Identified Cost, $121,841).................................... $ 145,179
----------
U.S. TREASURY SECURITIES STRIPPED
INTEREST PAYMENTS -- 91.7%
Generic Coupons, due 5/15/00++++++.............. $ 742 $ 558,592
Generic Coupons, due 8/15/00++++++.............. 115 85,056
Generic Coupons, due 11/15/00++++++............. 2,718 1,981,123
Generic Coupons, due 5/15/01++++++.............. 176 124,064
----------
Total U.S. Treasury Securities
Stripped Interest Payments
(Identified Cost, $2,606,113).................................. $2,748,835
----------
Total Investments
(Identified Cost, $2,727,954).................................. $2,894,014
OTHER ASSETS,
LESS LIABILITIES -- 3.5%........................................ 104,519
----------
Net Assets -- 100.0%............................................ $2,998,533
==========
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio Footnotes:
* Non-income producing security.
** Non-income producing security -- in default.
# Payment-in-kind security.
## SEC Rule 144A restriction.
+ Restricted security.
(S) Indexed security.
(S) When-issued(security.SAt)June 30, 1995, the Trust had sufficient cash
and/or securities at least equal to the value of the when-issued security.
++ Security valued by or at the direction of the Trustees.
++++ Interest-only+security.+
+++++Principal-only+security.++
Abbreviations have been used throughout this report to indicate amounts shown
in currencies other than the U.S. dollar. A list of abbreviations is shown
below.
AUD=Australian GBP=British Pounds
Dollars IEP=Irish Punts
CAD=Canadian ITL=Italian Lire
Dollars JPY=Japanese Yen
CHF=Swiss Francs NLG=Dutch Guilders
DEM=Deutsche NZD=New Zealand Dollars
Marks SEK=Swedish Krona
DKK=Danish Krone
ESP=Spanish
Pesetas
FIM=Finnish
Markkaa
FRF=French
Francs
50
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES -- June 30, 1995
<TABLE>
<CAPTION>
Capital Conservative Emerging Government High Managed Money
Appreciation Growth Growth Securities Yield Sectors Market Research
Series Series Series Series Series Series Series Series
------------ ------------ ----------- ------------ ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Assets:
Investments --
Identified cost... $547,039,065 $179,399,197 $11,974,791 $316,490,919 $131,419,232 $144,412,529 $245,386,300 $20,729,416
Unrealized
appreciation
(depreciation)... 107,777,468 22,145,963 150,527 9,166,909 (205,381) 19,627,383 -- 1,740,121
------------ ------------ ----------- ------------ ------------ ------------ ------------ -----------
Total
investments, at
value........... $654,816,533 $201,545,160 $12,125,318 $325,657,828 $131,213,851 $164,039,912 $245,386,300 $22,469,537
Cash............... 8,249 32,811 220,973 398 70,709 723,548 173,724 83,154
Foreign currency,
at value
(identified
cost, $381)....... -- -- -- -- -- 376 -- --
Net receivable for
closed forward
foreign currency
exchange contracts
.................. 82,230 -- -- -- -- -- -- --
Net receivable for
forward foreign
currency exchange
contracts
purchased......... 140,153 -- -- -- -- -- -- --
Receivable for
investments sold.. 1,298,897 -- 3,137 11,364,907 321,767 536,901 -- 320,355
Receivable for
Trust shares sold. 1,742,885 805,690 186,726 539,315 136,191 784,967 16,366,126 704,846
Interest and
dividends
receivable........ 814,812 469,142 -- 4,284,144 2,632,353 243,808 -- 28,167
Other assets....... 10,335 15,361 -- 4,791 1,409 1,641 4,491 45
------------ ------------ ----------- ------------ ------------ ------------ ------------ -----------
Total assets..... $658,914,094 $202,868,164 $12,536,154 $341,851,383 $134,376,280 $166,331,153 $261,930,641 $23,606,104
============ ============ =========== ============ ============ ============ ============ ===========
Liabilities:
Payable for
investments
purchased......... $ 4,889,167 $ 44,350 $ 790,935 $ 19,059,375 $ 3,143,350 $ 4,466,109 $ -- $ 714,135
Payable for when-
issued investments
purchased......... 2,327,103 -- 54,371 -- -- -- -- 26,098
Payable for Trust
shares reacquired. 226,734 1,938 -- 276,733 190,983 7,798 156,883 --
Net payable for
forward foreign
currency exchange
contracts sold.... 341,462 -- -- -- -- -- -- --
Payable to
investment
adviser........... 13,296 3,037 -- 4,862 2,699 3,293 3,278 --
Accrued expenses
and other
liabilities....... 84,850 31,918 11,657 40,676 35,858 28,589 37,527 14,987
------------ ------------ ----------- ------------ ------------ ------------ ------------ -----------
Total
liabilities..... $ 7,882,612 $ 81,243 $ 856,963 $ 19,381,646 $ 3,372,890 $ 4,505,789 $ 197,688 $ 755,220
------------ ------------ ----------- ------------ ------------ ------------ ------------ -----------
Net assets...... $651,031,482 $202,786,921 $11,679,191 $322,469,737 $131,003,390 $161,825,364 $261,732,953 $22,850,884
============ ============ =========== ============ ============ ============ ============ ===========
Net assets consist
of:
Paid-in capital.... $516,908,755 $173,764,907 $11,514,150 $310,955,323 $136,111,165 $131,515,686 $261,732,953 $20,775,665
Unrealized
appreciation
(depreciation) on
investments and
translation of
assets and
liabilities in
foreign
currencies........ 107,658,946 22,146,814 150,527 9,166,909 (205,381) 19,627,607 -- 1,740,180
Accumulated
undistributed net
realized gain
(loss) on
investments and
foreign currency
transactions...... 25,464,568 4,742,467 1,558 (8,953,529) (9,372,354) 10,256,298 -- 220,582
Accumulated
undistributed net
investment income. 999,213 2,132,733 12,956 11,301,034 4,469,960 425,773 -- 114,457
------------ ------------ ----------- ------------ ------------ ------------ ------------ -----------
Net assets...... $651,031,482 $202,786,921 $11,679,191 $322,469,737 $131,003,390 $161,825,364 $261,732,953 $22,850,884
============ ============ =========== ============ ============ ============ ============ ===========
Shares of
beneficial
interest
outstanding....... 22,862,757 10,720,597 1,114,646 25,618,636 15,606,959 6,885,223 261,732,953 1,983,483
============ ============ =========== ============ ============ ============ ============ ===========
Net asset value,
offering price and
redemption price
per share (net
assets / shares of
beneficial
interest
outstanding) ..... $28.48 $18.92 $10.48 $12.59 $8.39 $23.50 $1.00 $11.52
====== ====== ====== ====== ===== ====== ===== ======
<CAPTION>
Total
Return
Series
-------------
<S> <C>
Assets:
Investments --
Identified cost... $829,654,656
Unrealized
appreciation
(depreciation)... 103,127,986
-------------
Total
investments, at
value........... $932,782,642
Cash............... 58,183
Foreign currency,
at value
(identified
cost, $381)....... --
Net receivable for
closed forward
foreign currency
exchange contracts
.................. --
Net receivable for
forward foreign
currency exchange
contracts
purchased......... --
Receivable for
investments sold.. 20,511,931
Receivable for
Trust shares sold. 5,701,488
Interest and
dividends
receivable........ 8,627,776
Other assets....... 11,581
-------------
Total assets..... $967,693,601
=============
Liabilities:
Payable for
investments
purchased......... $ 13,789,949
Payable for when-
issued investments
purchased......... --
Payable for Trust
shares reacquired. 64,626
Net payable for
forward foreign
currency exchange
contracts sold.... --
Payable to
investment
adviser........... 18,166
Accrued expenses
and other
liabilities....... 115,362
-------------
Total
liabilities..... $ 13,988,103
-------------
Net assets...... $953,705,498
=============
Net assets consist
of:
Paid-in capital.... $830,926,805
Unrealized
appreciation
(depreciation) on
investments and
translation of
assets and
liabilities in
foreign
currencies........ 103,128,610
Accumulated
undistributed net
realized gain
(loss) on
investments and
foreign currency
transactions...... (2,486,671)
Accumulated
undistributed net
investment income. 22,136,754
-------------
Net assets...... $953,705,498
=============
Shares of
beneficial
interest
outstanding....... 57,507,737
=============
Net asset value,
offering price and
redemption price
per share (net
assets / shares of
beneficial
interest
outstanding) ..... $16.58
======
</TABLE>
See notes to financial statements
51
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES -- June 30, 1995 -- continued
<TABLE>
<CAPTION>
World Zero Coupon Series
World Asset World World Total ---------------------
Utilities Allocation Governments Growth Return 1995 2000
Series Series Series Series Series Portfolio Portfolio
----------- ----------- ------------ ------------ ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Assets:
Investments --
Identified cost........ $26,194,440 $13,191,849 $150,792,247 $116,878,934 $5,913,103 $5,271,053 $2,727,954
Unrealized
appreciation.......... 1,698,094 474,520 5,982,293 1,676,914 200,446 51,095 166,060
----------- ----------- ------------ ------------ ---------- ---------- ----------
Total investments, at
value................ $27,892,534 $13,666,369 $156,774,540 $118,555,848 $6,113,549 $5,322,148 $2,894,014
Cash.................... 84,277 88,771 108,949 122,962 40,618 54,176 104,419
Foreign currency, at
value (identified cost,
$12,450, $5,255 and
$759, respectively).... -- -- 14,278 5,343 759 -- --
Net receivable for
forward foreign
currency exchange
contracts purchased.... -- 24,070 682,145 -- 15,831 -- --
Net receivable for
closed forward foreign
currency exchange
contracts.............. -- 6,971 240,978 -- -- -- --
Receivable for
investments sold....... 306,005 131,253 -- 4,448,441 14,256 -- --
Receivable for Trust
shares sold............ 201,166 27,508 120,421 64,975 74,534 -- --
Interest and dividends
receivable............. 180,145 100,031 3,463,767 272,571 54,754 -- --
Receivable from
investment adviser..... -- -- -- 2,584 -- -- 3,903
Other assets............ 2,425 37 1,887 1,370 19 67 45
----------- ----------- ------------ ------------ ---------- ---------- ----------
Total assets.......... $28,666,552 $14,045,010 $161,406,965 $123,474,094 $6,314,320 $5,376,391 $3,002,381
=========== =========== ============ ============ ========== ========== ==========
Liabilities:
Payable for investments
purchased.............. $ 648,612 $ 240,443 $ -- $ 2,554,810 $ 54,618 $ -- $ --
Payable for when-issued
securities purchased... -- 33,607 -- 324,065 -- -- --
Payable for Trust shares
reacquired............. 44,518 -- 7,288 -- -- 1,044 98
Written options
outstanding, at value
(premiums received,
$12,291, $1,648,889 and
$16,467, respectively
)...................... -- 11,302 1,303,340 -- 13,316 -- --
Net payable for closed
forward foreign
currency exchange
contracts ............. -- -- -- -- 6,412 -- --
Net payable for forward
foreign currency
exchange contracts
sold................... -- 146,719 2,367,355 57,398 30,009 -- --
Payable to investment
adviser................ -- -- 3,260 2,976 -- 37 20
Accrued expenses and
other liabilities...... 23,021 16,264 69,202 87,220 8,578 3,793 3,730
----------- ----------- ------------ ------------ ---------- ---------- ----------
Total liabilities..... $ 716,151 $ 448,335 $ 3,750,445 $ 3,026,469 $ 112,933 $ 4,874 $ 3,848
----------- ----------- ------------ ------------ ---------- ---------- ----------
Net assets........... $27,950,401 $13,596,675 $157,656,520 $120,447,625 $6,201,387 $5,371,517 $2,998,533
=========== =========== ============ ============ ========== ========== ==========
Net assets consist of:
Paid-in capital......... $26,255,250 $12,749,242 $141,791,528 $116,629,835 $5,883,692 $5,134,000 $2,808,430
Unrealized appreciation
on investments and
translation of assets
and liabilities in
foreign currencies..... 1,698,193 364,811 5,036,070 1,624,460 185,762 51,095 166,060
Accumulated
undistributed net
realized gain (loss) on
investments and foreign
currency transactions.. (617,840) 312,007 6,457,676 1,644,102 46,622 2,096 (63,184)
Accumulated
undistributed net
investment income...... 614,798 170,615 4,371,246 549,228 85,311 184,326 87,227
----------- ----------- ------------ ------------ ---------- ---------- ----------
Net assets........... $27,950,401 $13,596,675 $157,656,520 $120,447,625 $6,201,387 $5,371,517 $2,998,533
=========== =========== ============ ============ ========== ========== ==========
Shares of beneficial
interest outstanding... 2,684,814 1,226,196 12,984,298 10,749,631 565,441 555,360 348,788
=========== =========== ============ ============ ========== ========== ==========
Net asset value,
offering price and
redemption price per
share
(net assets / shares of
beneficial interest
outstanding)........... $10.41 $11.09 $12.14 $11.20 $10.97 $9.67 $8.60
====== ====== ====== ====== ====== ===== =====
</TABLE>
See notes to financial statements
52
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF OPERATIONS -- Six Months Ended June 30, 1995
<TABLE>
<CAPTION>
Capital Conservative Emerging Government High Managed Money
Appreciation Growth Growth Securities Yield Sectors Market Research
Net investment Series Series Series+ Series Series Series Series Series
income: ------------ ------------ -------- ----------- ----------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Income --
Interest........... $ 698,977 $ 416,988 $ 24,613 $12,336,541 $ 6,180,164 $ 275,484 $6,376,478 $ 56,029
Dividends.......... 3,261,281 2,204,382 -- -- -- 727,744 -- 76,721
Foreign taxes
withheld.......... (30,242) (10,141) -- -- -- (5,300) -- (1,171)
------------ ----------- -------- ----------- ----------- ----------- ---------- ----------
Total investment
income.......... $ 3,930,016 $ 2,611,229 $ 24,613 $12,336,541 $ 6,180,164 $ 997,928 $6,376,478 $ 131,579
------------ ----------- -------- ----------- ----------- ----------- ---------- ----------
Expenses --
Investment
advisory fees..... $ 2,099,923 $ 474,236 $ 6,207 $ 922,958 $ 454,021 $ 515,102 $ 531,839 $ 44,910
Trustees' fees..... 650 650 650 650 650 650 650 650
Custodian fees..... 151,822 41,644 600 78,966 29,178 31,451 45,244 1,957
Auditing fees...... 12,633 9,533 3,950 12,283 13,909 10,758 11,808 8,933
Legal fees......... 5,438 729 650 729 3,326 5,311 729 450
Printing expenses.. 28,847 8,303 200 19,300 9,391 8,872 21,891 38
Registration fees.. -- -- 4,607 -- -- -- -- 5,000
Miscellaneous...... 8,891 9,010 1,000 -- 11,233 -- -- 18
------------ ----------- -------- ----------- ----------- ----------- ---------- ----------
Total expenses... $ 2,308,204 $ 544,105 $ 17,864 $ 1,034,886 $ 521,708 $ 572,144 $ 612,161 $ 61,956
Reimbursement of
expenses by
investment
adviser........... -- -- (5,450) -- -- -- -- --
Waiver of expenses
by investment
adviser........... -- -- (757) -- -- -- -- (44,910)
------------ ----------- -------- ----------- ----------- ----------- ---------- ----------
Net expenses..... $ 2,308,204 $ 544,105 $ 11,657 $ 1,034,886 $ 521,708 $ 572,144 $ 612,161 $ 17,046
------------ ----------- -------- ----------- ----------- ----------- ---------- ----------
Net investment
income......... $ 1,621,812 $ 2,067,124 $ 12,956 $11,301,655 $ 5,658,456 $ 425,784 $5,764,317 $ 114,533
============ =========== ======== =========== =========== =========== ========== ==========
Realized and
unrealized gain
(loss) on
investments and
foreign currency
transactions:
Realized gains
(losses)
(identified cost
basis) --
Investment
transactions...... $ 25,499,554 $ 5,174,572 $ 1,558 $(1,816,435) $(2,122,164) $11,184,010 $ -- $ 235,938
Foreign currency
transactions...... (169,302) (6,508) -- -- 1,333 (5,375) -- (19)
------------ ----------- -------- ----------- ----------- ----------- ---------- ----------
Net realized gain
(loss) on
investments and
foreign currency
transactions.... $ 25,330,252 $ 5,168,064 $ 1,558 $(1,816,435) $(2,120,831) $11,178,635 $ -- $ 235,919
------------ ----------- -------- ----------- ----------- ----------- ---------- ----------
Change in
unrealized
appreciation on --
Investments....... $ 77,019,776 $21,390,590 $150,527 $24,345,102 $ 8,127,299 $16,102,877 $ -- $1,724,955
Translation of
assets and
liabilities in
foreign
currencies........ (962,443) 608 -- -- 53 224 -- 59
------------ ----------- -------- ----------- ----------- ----------- ---------- ----------
Net unrealized
gain on
investments and
foreign currency
translation...... $ 76,057,333 $21,391,198 $150,527 $24,345,102 $ 8,127,352 $16,103,101 $ -- $1,725,014
------------ ----------- -------- ----------- ----------- ----------- ---------- ----------
Net realized and
unrealized gain
on investments
and foreign
currency........ $101,387,585 $26,559,262 $152,085 $22,528,667 $ 6,006,521 $27,281,736 $ -- $1,960,933
------------ ----------- -------- ----------- ----------- ----------- ---------- ----------
Increase in net
assets from
operations..... $103,009,397 $28,626,386 $165,041 $33,830,322 $11,664,977 $27,707,520 $5,764,317 $2,075,466
============ =========== ======== =========== =========== =========== ========== ==========
<CAPTION>
Total
Return
Net investment Series
income: -------------
<S> <C>
Income --
Interest........... $ 15,654,312
Dividends.......... 9,884,505
Foreign taxes
withheld.......... (93,652)
-------------
Total investment
income.......... $ 25,445,165
-------------
Expenses --
Investment
advisory fees..... $ 3,088,243
Trustees' fees..... 650
Custodian fees..... 164,152
Auditing fees...... 24,633
Legal fees......... 1,827
Printing expenses.. 28,879
Registration fees.. --
Miscellaneous...... --
-------------
Total expenses... $ 3,308,384
Reimbursement of
expenses by
investment
adviser........... --
Waiver of expenses
by investment
adviser........... --
-------------
Net expenses..... $ 3,308,384
-------------
Net investment
income......... $ 22,136,781
=============
Realized and
unrealized gain
(loss) on
investments and
foreign currency
transactions:
Realized gains
(losses)
(identified cost
basis) --
Investment
transactions...... $ 2,279,915
Foreign currency
transactions...... (10,040)
-------------
Net realized gain
(loss) on
investments and
foreign currency
transactions.... $ 2,269,875
-------------
Change in
unrealized
appreciation on --
Investments....... $ 94,733,845
Translation of
assets and
liabilities in
foreign
currencies........ 624
-------------
Net unrealized
gain on
investments and
foreign currency
translation...... $ 94,734,469
-------------
Net realized and
unrealized gain
on investments
and foreign
currency........ $ 97,004,344
-------------
Increase in net
assets from
operations..... $119,141,125
=============
</TABLE>
--------
+ From May 1, 1995 (commencement of operations) to June 30, 1995.
See notes to financial statements
53
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF OPERATIONS -- Six Months Ended June 30, 1995 -- continued
<TABLE>
<CAPTION>
Zero Coupon Series
World Asset World World World --------------------
Utilities Allocation Governments Growth Total Return 1995 2000
Series Series Series Series Series Portfolio Portfolio
Net investment income: ---------- ----------- ----------- ---------- ------------ --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
Income --
Interest................ $ 214,833 $136,760 $ 5,684,843 $ 540,279 $ 59,562 $195,409 $ 95,070
Dividends............... 435,672 50,603 -- 656,667 36,555 -- --
Foreign taxes withheld.. (11,111) -- -- (80,006) (2,073) -- --
---------- -------- ----------- ---------- -------- -------- --------
Total investment
income............... $ 639,394 $187,363 $ 5,684,843 $1,116,940 $ 94,044 $195,409 $ 95,070
---------- -------- ----------- ---------- -------- -------- --------
Expenses --
Investment advisory
fees................... $ 90,551 $ 27,110 $ 555,034 $ 488,356 $ 13,124 $ 6,236 $ 4,072
Trustees' fees.......... 650 650 650 650 650 286 286
Custodian fees.......... 6,260 4,975 74,878 30,651 2,626 630 223
Auditing fees........... 14,633 7,633 16,683 33,033 4,733 2,933 2,833
Legal fees.............. 229 451 729 754 450 729 729
Printing expenses....... 2,200 267 8,720 1,737 184 97 --
Registration fees....... -- 3,000 -- -- -- -- --
Miscellaneous........... 185 258 -- 5,489 1,100 171 --
---------- -------- ----------- ---------- -------- -------- --------
Total expenses........ $ 114,708 $ 44,344 $ 656,694 $ 560,670 $ 22,867 $ 11,082 $ 8,143
Waiver of expenses by
investment adviser..... (90,551) (27,110) -- -- (13,124) -- --
---------- -------- ----------- ---------- -------- -------- --------
Net expenses.......... $ 24,157 $ 17,234 $ 656,694 $ 560,670 $ 9,743 $ 11,082 $ 8,143
---------- -------- ----------- ---------- -------- -------- --------
Net investment
income.............. $ 615,237 $170,129 $ 5,028,149 $ 556,270 $ 84,301 $184,327 $ 86,927
========== ======== =========== ========== ======== ======== ========
Realized and unrealized
gain (loss) on
investments and foreign
currency transactions:
Realized gains (losses)
(identified costs
basis) --
Investment
transactions........... $ 6,342 $199,867 $ 3,547,225 $2,117,472 $ 32,721 $ 2,464 $(25,136)
Foreign currency
transactions........... (1,700) 106,825 371,539 (58,414) 8,815 -- --
Written option
transactions........... -- 10,201 1,097,320 -- 8,361 -- --
---------- -------- ----------- ---------- -------- -------- --------
Net realized gain
(loss) on investments
and foreign currency
transactions......... $ 4,642 $316,893 $ 5,016,084 $2,059,058 $ 49,897 $ 2,464 $(25,136)
---------- -------- ----------- ---------- -------- -------- --------
Change in unrealized
appreciation
(depreciation) on --
Investments............. $2,283,210 $458,192 $ 8,371,991 $3,789,595 $195,894 $ (3,047) $366,292
Translation of assets
and liabilities in
foreign currencies..... 409 (110,371) (1,401,106) (52,060) (17,389) -- --
Written options......... -- 989 275,486 -- 3,151 -- --
---------- -------- ----------- ---------- -------- -------- --------
Net unrealized gain
(loss) on investments
and foreign currency
translation.......... $2,283,619 $348,810 $ 7,246,371 $3,737,535 $181,656 $ (3,047) $366,292
---------- -------- ----------- ---------- -------- -------- --------
Net realized and
unrealized gain
(loss) on
investments and
foreign currency.... $2,288,261 $665,703 $12,262,455 $5,796,593 $231,553 $ (583) $341,156
---------- -------- ----------- ---------- -------- -------- --------
Increase in net
assets from
operations.......... $2,903,498 $835,832 $17,290,604 $6,352,863 $315,854 $183,744 $428,083
========== ======== =========== ========== ======== ======== ========
</TABLE>
See notes to financial statements
54
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Six Months Ended June 30, 1995
<TABLE>
<CAPTION>
Capital Conservative Emerging Government High Managed Money
Appreciation Growth Growth Securities Yield Sectors Market Research
Series Series Series+ Series Series Series Series Series
------------ ------------ ----------- ------------ ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Increase
(decrease) in net
assets from:
Operations --
Net investment
income........... $ 1,621,812 $ 2,067,124 $ 12,956 $ 11,301,655 $ 5,658,456 $ 425,784 $ 5,764,317 $ 114,533
Net realized gain
(loss) on
investments and
foreign currency
transactions..... 25,330,252 5,168,064 1,558 (1,816,435) (2,120,831) 11,178,635 -- 235,919
Net unrealized
gain on
investments and
foreign currency
translation...... 76,057,333 21,391,198 150,527 24,345,102 8,127,352 16,103,101 -- 1,725,014
------------ ------------ ----------- ------------ ------------ ------------ ------------ -----------
Increase in net
assets from
operations..... $103,009,397 $ 28,626,386 $ 165,041 $ 33,830,322 $ 11,664,977 $ 27,707,520 $ 5,764,317 $ 2,075,466
------------ ------------ ----------- ------------ ------------ ------------ ------------ -----------
Distributions
declared to
shareholders --
From net
investment
income........... $ (1,257,607) $ (2,990,858) $ -- $(19,677,831) $ (8,657,037) $ (342,457) $ (5,764,317) $ (5,213)
From net realized
gain on
investments and
foreign currency
transactions..... (13,684,251) (1,805,444) -- -- -- (4,215,692) -- --
------------ ------------ ----------- ------------ ------------ ------------ ------------ -----------
Total
distributions
declared to
shareholders.. $(14,941,858) $ (4,796,302) $ -- $(19,677,831) $ (8,657,037) $ (4,558,149) $ (5,764,317) $ (5,213)
------------ ------------ ----------- ------------ ------------ ------------ ------------ -----------
Trust share
transactions --
Net proceeds from
sale of shares... $160,295,701 $ 31,480,635 $11,548,304 $ 19,920,412 $ 47,016,105 $ 28,219,272 $201,388,780 $19,274,165
Net asset value
of shares issued
to shareholders
in reinvestment
of
distributions.... 14,941,858 4,796,302 -- 19,677,831 8,657,037 4,558,149 5,764,317 5,213
Cost of shares
reacquired....... (88,781,398) (7,637,900) (34,154) (78,431,103) (29,871,545) (13,088,501) (197,595,136) (2,367,661)
------------ ------------ ----------- ------------ ------------ ------------ ------------ -----------
Increase
(decrease) in
net assets from
Trust share
transactions... $ 86,456,161 $ 28,639,037 $11,514,150 $(38,832,860) $ 25,801,597 $ 19,688,920 $ 9,557,961 $16,911,717
------------ ------------ ----------- ------------ ------------ ------------ ------------ -----------
Total increase
(decrease) in
net assets.... $174,523,700 $ 52,469,121 $11,679,191 $(24,680,369) $ 28,809,537 $ 42,838,291 $ 9,557,961 $18,981,970
Net assets --
Beginning of
period........... 476,507,782 150,317,800 -- 347,150,106 102,193,853 118,987,073 252,174,992 3,868,914
------------ ------------ ----------- ------------ ------------ ------------ ------------ -----------
End of period..... $651,031,482 $202,786,921 $11,679,191 $322,469,737 $131,003,390 $161,825,364 $261,732,953 $22,850,884
============ ============ =========== ============ ============ ============ ============ ===========
Accumulated
undistributed net
investment income
included in net
assets at end of
period........... $ 999,213 $ 2,132,733 $ 12,956 $ 11,301,034 $ 4,469,960 $ 425,773 $ -- $ 114,457
============ ============ =========== ============ ============ ============ ============ ===========
<CAPTION>
Total
Return
Series
-------------
<S> <C>
Increase
(decrease) in net
assets from:
Operations --
Net investment
income........... $ 22,136,781
Net realized gain
(loss) on
investments and
foreign currency
transactions..... 2,269,875
Net unrealized
gain on
investments and
foreign currency
translation...... 94,734,469
-------------
Increase in net
assets from
operations..... $119,141,125
-------------
Distributions
declared to
shareholders --
From net
investment
income........... $(34,941,362)
From net realized
gain on
investments and
foreign currency
transactions..... --
-------------
Total
distributions
declared to
shareholders.. $(34,941,362)
-------------
Trust share
transactions --
Net proceeds from
sale of shares... $ 57,500,921
Net asset value
of shares issued
to shareholders
in reinvestment
of
distributions.... 34,941,362
Cost of shares
reacquired....... (62,550,898)
-------------
Increase
(decrease) in
net assets from
Trust share
transactions... $ 29,891,385
-------------
Total increase
(decrease) in
net assets.... $114,091,148
Net assets --
Beginning of
period........... 839,614,350
-------------
End of period..... $953,705,498
=============
Accumulated
undistributed net
investment income
included in net
assets at end of
period........... $ 22,136,754
=============
</TABLE>
<TABLE>
<CAPTION>
World Asset World World World Zero Coupon Series
Utilities Allocation Governments Growth Total Return -----------------------------
Series Series Series Series Series 1995 Portfolio 2000 Portfolio
----------- ----------- ------------ ------------ ------------ -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
Increase (decrease)
in net assets from:
Operations --
Net investment
income............. $ 615,237 $ 170,129 $ 5,028,149 $ 556,270 $ 84,301 $ 184,327 $ 86,927
Net realized gain
(loss) on
investments and
foreign currency
transactions....... 4,642 316,893 5,016,084 2,059,058 49,897 2,464 (25,136)
Net unrealized gain
(loss) on
investments and
foreign currency
translation........ 2,283,619 348,810 7,246,371 3,737,535 181,656 (3,047) 366,292
----------- ----------- ------------ ------------ ---------- ---------- ----------
Increase in net
assets from
operations....... $ 2,903,498 $ 835,832 $ 17,290,604 $ 6,352,863 $ 315,854 $ 183,744 $ 428,083
----------- ----------- ------------ ------------ ---------- ---------- ----------
Distributions
declared to
shareholders --
From net investment
income............. $ (673,961) $ (6,089) $ -- $ (1,411,794) $ (2,399) $ (370,375) $ (173,697)
From net realized
gain on
investments and
foreign currency
transactions....... -- -- (7,960,375) (1,739,413) -- (27,473) --
----------- ----------- ------------ ------------ ---------- ---------- ----------
Total
distributions
declared to
shareholders..... $ (673,961) $ (6,089) $ (7,960,375) $ (3,151,207) $ (2,399) $ (397,848) $ (173,697)
----------- ----------- ------------ ------------ ---------- ---------- ---------- ---
Trust share
transactions --
Net proceeds from
sale of shares..... $ 9,155,537 $10,294,431 $ 18,210,908 $ 25,290,138 $5,219,119 $ 541,879 $ 69,604
Net asset value of
shares issued to
shareholders in
reinvestment of
distributions...... 673,961 6,089 7,960,375 3,151,207 2,399 397,848 173,697
Cost of shares
reacquired......... (5,556,986) (536,763) (16,999,899) (11,239,540) (717,615) (210,713) (779,407)
----------- ----------- ------------ ------------ ---------- ---------- ----------
Increase
(decrease) in net
assets from Trust
share
transactions..... $ 4,272,512 $ 9,763,757 $ 9,171,384 $ 17,201,805 $4,503,903 $ 729,014 $ (536,106)
----------- ----------- ------------ ------------ ---------- ---------- ----------
Total increase
(decrease) in
net assets...... $ 6,502,049 $10,593,500 $ 18,501,613 $ 20,403,461 $4,817,358 $ 514,910 $ (281,720)
Net assets --
Beginning of
period............. 21,448,352 3,003,175 139,154,907 100,044,164 1,384,029 4,856,607 3,280,253
----------- ----------- ------------ ------------ ---------- ---------- ----------
End of period....... $27,950,401 $13,596,675 $157,656,520 $120,447,625 $6,201,387 $5,371,517 $2,998,533
=========== =========== ============ ============ ========== ========== ==========
Accumulated
undistributed net
investment income
included in net
assets at end of
period............. $ 614,798 $ 170,615 $ 4,371,246 $ 549,228 $ 85,311 $ 184,326 $ 87,227
=========== =========== ============ ============ ========== ========== ==========
</TABLE>
+ From May 1, 1995 (commencement of operations) to June 30, 1995.
See notes to financial statements
55
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Year Ended December 31, 1994
<TABLE>
<CAPTION>
Capital Conservative Government High Managed Money
Appreciation Growth Securities Yield Sectors Market Research
Series Series Series Series Series Series Series+
------------- ------------ ------------ ------------ ------------ ------------ ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Increase (decrease)
in net assets from:
Operations --
Net investment
income............ $ 1,093,347 $ 3,056,528 $ 20,354,189 $ 8,844,806 $ 592,681 $ 8,152,903 $ 5,137
Net realized gain
(loss) on
investments and
foreign currency
transactions...... 13,292,898 1,340,199 (7,813,444) (1,214,152) 3,043,237 -- (15,337)
Net unrealized
gain (loss) on
investments and
foreign currency
translation....... (30,787,712) (6,383,215) (19,253,931) (9,202,797) (5,941,813) -- 15,166
------------- ------------ ------------ ------------ ------------ ------------ ----------
Increase
(decrease) in
net assets from
operations...... $ (16,401,467) $ (1,986,488) $ (6,713,186) $ (1,572,143) $ (2,305,895) $ 8,152,903 $ 4,966
------------- ------------ ------------ ------------ ------------ ------------ ----------
Distributions
declared to
shareholders --
From net
investment
income............ $ (2,034,467) $ (1,357,824) $(13,515,608) $ (6,608,417) $ (111,562) $ (8,152,903) $ --
From net realized
gain on
investments and
foreign currency.. (40,403,394) (599,668) (5,181,096) -- (12,937,855) -- --
------------- ------------ ------------ ------------ ------------ ------------ ----------
Total
distributions
declared to
shareholders... $ (42,437,861) $ (1,957,492) $(18,696,704) $ (6,608,417) $(13,049,417) $ (8,152,903) $ --
------------- ------------ ------------ ------------ ------------ ------------ ----------
Trust share
transactions --
Net proceeds from
sale of shares.... $ 276,488,479 $ 63,428,181 $114,876,098 $103,229,855 $ 52,128,802 $450,186,088 $4,031,738
Net asset value of
shares issued to
shareholders in
reinvestment of
distributions..... 42,437,861 1,957,492 18,696,704 6,608,417 13,049,417 8,152,903 --
Cost of shares
reacquired........ (204,131,143) (6,894,105) (71,533,942) (97,347,804) (35,799,609) (348,628,248) (167,790)
------------- ------------ ------------ ------------ ------------ ------------ ----------
Increase in net
assets from
Trust share
transactions.... $ 114,795,197 $ 58,491,568 $ 62,038,860 $ 12,490,468 $ 29,378,610 $109,710,743 $3,863,948
------------- ------------ ------------ ------------ ------------ ------------ ----------
Total increase
in net assets.. $ 55,955,869 $ 54,547,588 $ 36,628,970 $ 4,309,908 $ 14,023,298 $109,710,743 $3,868,914
Net assets --
Beginning of year.. 420,551,913 95,770,212 310,521,136 97,883,945 104,963,775 142,464,249 --
------------- ------------ ------------ ------------ ------------ ------------ ----------
End of year........ $ 476,507,782 $150,317,800 $347,150,106 $102,193,853 $118,987,073 $252,174,992 $3,868,914
============= ============ ============ ============ ============ ============ ==========
Accumulated
undistributed net
investment income
included in net
assets at end of
year.............. $ 635,008 $ 3,056,467 $ 19,677,210 $ 7,468,541 $ 342,446 $ -- $ 5,137
============= ============ ============ ============ ============ ============ ==========
<CAPTION>
Total
Return
Series
-------------
<S> <C>
Increase (decrease)
in net assets from:
Operations --
Net investment
income............ $ 34,995,478
Net realized gain
(loss) on
investments and
foreign currency
transactions...... (4,760,324)
Net unrealized
gain (loss) on
investments and
foreign currency
translation....... (49,169,203)
-------------
Increase
(decrease) in
net assets from
operations...... $(18,934,049)
-------------
Distributions
declared to
shareholders --
From net
investment
income............ $(21,606,168)
From net realized
gain on
investments and
foreign currency.. (10,289,267)
-------------
Total
distributions
declared to
shareholders... $(31,895,435)
-------------
Trust share
transactions --
Net proceeds from
sale of shares.... $225,559,030
Net asset value of
shares issued to
shareholders in
reinvestment of
distributions..... 31,895,435
Cost of shares
reacquired........ (63,506,717)
-------------
Increase in net
assets from
Trust share
transactions.... $193,947,748
-------------
Total increase
in net assets.. $143,118,264
Net assets --
Beginning of year.. 696,496,086
-------------
End of year........ $839,614,350
=============
Accumulated
undistributed net
investment income
included in net
assets at end of
year.............. $ 34,941,335
=============
</TABLE>
<TABLE>
<CAPTION>
World Asset World World World Zero Coupon Series
Utilities Allocation Governments Growth Total Return -----------------------------
Series Series+ Series Series Series+ 1995 Portfolio 2000 Portfolio
----------- ----------- ------------ ------------ ------------ -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
Increase (decrease)
in net assets from:
Operations --
Net investment
income.............. $ 674,882 $ 6,575 $ 8,732,434 $ 1,422,757 $ 3,409 $ 370,019 $ 173,698
Net realized gain
(loss) on
investments and
foreign currency
transactions........ (622,482) (4,886) (13,970,783) 1,309,472 (3,275) 27,473 (37,726)
Net unrealized gain
(loss) on
investments and
foreign currency
translation......... (604,453) 16,001 (1,384,328) (2,824,420) 4,106 (345,842) (391,737)
----------- ---------- ------------ ------------ ---------- ---------- ----------
Increase (decrease)
in net assets from
operations........ $ (552,053) $ 17,690 $ (6,622,677) $ (92,191) $ 4,240 $ 51,650 $ (255,765)
----------- ---------- ------------ ------------ ---------- ---------- ----------
Distributions
declared to
shareholders --
From net investment
income.............. $ (4,930) $ -- $(10,678,177) $ (15,288) $ -- $ (378,356) $ (212,310)
From net realized
gain on investments
and foreign
currency............ -- -- (1,718,738) -- -- (58,325) (613,361)
----------- ---------- ------------ ------------ ---------- ---------- ----------
Total distributions
declared to
shareholders...... $ (4,930) $ -- $(12,396,915) $ (15,288) $ -- $ (436,681) $ (825,671)
----------- ---------- ------------ ------------ ---------- ---------- ---------- ---
Trust share
transactions --
Net proceeds from
sale of shares...... $22,196,568 $3,002,895 $ 42,024,659 $105,362,812 $1,413,086 $ 31,185 $ 787,836
Net asset value of
shares issued to
shareholders in
reinvestment of
distributions....... 4,930 -- 12,396,915 15,288 -- 436,681 825,671
Cost of shares
reacquired.......... (2,993,902) (17,410) (31,283,289) (24,116,803) (33,297) (562,074) (798,740)
----------- ---------- ------------ ------------ ---------- ---------- ----------
Increase (decrease)
in net assets from
Trust share
transactions...... $19,207,596 $2,985,485 $ 23,138,285 $ 81,261,297 $1,379,789 $ (94,208) $ 814,767
----------- ---------- ------------ ------------ ---------- ---------- ----------
Total increase
(decrease) in net
assets........... $18,650,613 $3,003,175 $ 4,118,693 $ 81,153,818 $1,384,029 $ (479,239) $ (266,669)
Net assets --
Beginning of year.... 2,797,739 -- 135,036,214 18,890,346 -- 5,335,846 3,546,922
----------- ---------- ------------ ------------ ---------- ---------- ----------
End of year.......... $21,448,352 $3,003,175 $139,154,907 $100,044,164 $1,384,029 $4,856,607 $3,280,253
=========== ========== ============ ============ ========== ========== ==========
Accumulated
undistributed
(distributions in
excess of) net
investment income
included in net
assets at end of
year................ $ 673,522 $ 6,575 $ (656,903) $ 1,404,752 $ 3,409 $ 370,374 $ 173,997
=========== ========== ============ ============ ========== ========== ==========
</TABLE>
+ From November 7, 1994 (commencement of operations) to December 31, 1994.
See notes to financial statements
56
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Capital Appreciation Series
------------------------------------------------------------
Six Months
Ended Year Ended December 31,
June 30, ------------------------------------------------
1995 1994 1993 1992 1991 1990
---------- -------- -------- -------- -------- --------
Per share data (for a
share outstanding
throughout each
period):
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period... $24.4076 $28.1892 $24.8989 $23.0886 $16.6242 $19.9804
-------- -------- -------- -------- -------- --------
Income from investment
operations# --
Net investment income... $ 0.0760 $ 0.0523 $ 0.1036 $ 0.0909 $ 0.1809 $ 0.2737
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions........... 4.6670 (1.1104) 4.2197 2.9238 6.5415 (2.1219)
-------- -------- -------- -------- -------- --------
Total from investment
operations........... $ 4.7430 $(1.0581) $ 4.3233 $ 3.0147 $ 6.7224 $(1.8482)
-------- -------- -------- -------- -------- --------
Less distributions --
From net investment
income................. $(0.0568) $(0.1306) $(0.1095) $(0.1831) $(0.2580) $(0.3940)
From net realized gain
on investments and
foreign currency
transactions........... (0.6182) (2.5929) (0.9235) (1.0213) -- (1.1140)
-------- -------- -------- -------- -------- --------
Total distributions... $(0.6750) $(2.7235) $(1.0330) $(1.2044) $(0.2580) $(1.5080)
-------- -------- -------- -------- -------- --------
Net asset value -- end
of period.............. $28.4756 $24.4076 $28.1892 $24.8989 $23.0886 $16.6242
======== ======== ======== ======== ======== ========
Total return++.......... 19.71%++ (3.60)% 18.00% 13.61% 40.95% (9.69)%
Ratios (to average net
assets)/Supplemental
data:
Expenses................ 0.83%+ 0.83% 0.83% 0.87% 0.85% 0.88%
Net investment income... 0.58%+ 0.24% 0.48% 0.50% 1.20% 1.99%
Portfolio turnover...... 47% 52% 70% 69% 92% 84%
Net assets, end of
period (000 omitted)... $651,031 $476,508 $420,552 $262,645 $160,846 $ 77,746
<CAPTION>
Emerging
Growth
Conservative Growth Series Series
------------------------------------------------------------ ---------
Six Months Period
Ended Year Ended December 31, Ended
June 30, ------------------------------------------------ June 30,
1995 1994 1993 1992 1991 1990 1995**
---------- -------- -------- -------- -------- -------- ---------
Per share data (for a
share outstanding
throughout each
period):
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period... $16.4563 $16.9289 $16.0717 $16.8547 $12.6137 $13.4162 $10.0000*
-------- -------- -------- -------- -------- -------- ---------
Income from investment
operations# --
Net investment
income(S).............. $ 0.2115 $ 0.2942 $ 0.2041 $ 0.1810 $ 0.1515 $ 0.3027 $ 0.0173
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions........... 2.7349 (0.4790) 1.1280 0.6747 4.4025 (0.7712) 0.4606
-------- -------- -------- -------- -------- -------- ---------
Total from investment
operations........... $ 2.9464 $(0.1848) $ 1.3321 $ 0.8557 $ 4.5540 $(0.4685) $ 0.4779
-------- -------- -------- -------- -------- -------- ---------
Less distributions --
From net investment
income................. $(0.3037) $(0.1996) $(0.1509) $(0.1387) $(0.3130) $(0.3340) $ --
From net realized gain
on investments and
foreign currency
transactions........... (0.1834) (0.0882) (0.3240) (1.5000) -- -- --
-------- -------- -------- -------- -------- -------- ---------
Total distributions... $(0.4871) $(0.2878) $(0.4749) $(1.6387) $(0.3130) $(0.3340) $ --
-------- -------- -------- -------- -------- -------- ---------
Net asset value -- end
of period.............. $18.9156 $16.4563 $16.9289 $16.0717 $16.8547 $12.6137 $ 10.4779
======== ======== ======== ======== ======== ======== =========
Total return++.......... 18.07%++ (1.10)% 8.43% 5.71% 36.74% (3.48)% 4.80%++
Ratios (to average net
assets)/Supplemental
data(S):
Expenses................ 0.63%+ 0.64% 0.66% 0.80% 0.98% 1.00% 1.41%+
Net investment income... 2.41%+ 2.42% 2.05% 1.84% 1.07% 2.29% 1.56%+
Portfolio turnover...... 42% 146% 19% 40% 51% 82% 1%
Net assets, end of
period (000 omitted)... $202,787 $150,318 $ 95,770 $ 44,455 $ 15,818 $ 11,680 $ 11,679
</TABLE>
++The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
** From May 1, 1995 (commencement of operations) to June 30, 1995.
+ Annualized.
++ Not annualized.
# Per share data for the periods subsequent to December 31, 1992 is based on
average shares outstanding.
* Net asset value on date of commencement of operations.
(S)The investment advisers voluntarily waived its management fee for the Emerg-
ing Growth Series for the period indicated. If the waiver had not been in
place, the net investment income per share and ratios would have been:
<TABLE>
<CAPTION>
Emerging Growth Series
----------------------
Six Months Ended
June 30, 1995
----------------------
<S> <C>
Net investment income................................... $0.0162
Ratios (to average net assets):
Expenses............................................... 1.50%+
Net Investment Income.................................. 1.47%+
</TABLE>
See notes to financial statements
57
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Government Securities Series
------------------------------------------------
Six Months Year Ended December 31,
Ended ------------------------------------------------
Per share data (for a June 30,
share outstanding 1995 1994 1993 1992 1991 1990
throughout each period): ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period... $12.1219 $13.0951 $13.0059 $13.0369 $12.0359 $11.9612
-------- -------- -------- -------- -------- --------
Income from investment
operations# --
Net investment income... $ 0.4168 $ 0.6366 $ 0.5742 $ 0.7170 $ 0.7835 $ 0.7723
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions........... 0.8299 (0.9238) 0.5220 0.0976 1.0115 0.1954
-------- -------- -------- -------- -------- --------
Total from investment
operations........... $ 1.2467 $(0.2872) $ 1.0962 $ 0.8146 $ 1.7950 $ 0.9677
-------- -------- -------- -------- -------- --------
Less distributions --
From net investment
income................. $(0.7813) $(0.4959) $(0.6603) $(0.8027) $(0.7940) $(0.8930)
From net realized gain
on investments and
foreign currency
transactions........... -- (0.1901) (0.3467) (0.0429) -- --
-------- -------- -------- -------- -------- --------
Total distributions... $(0.7813) $(0.6860) $(1.0070) $(0.8456) $(0.7940) $(0.8930)
-------- -------- -------- -------- -------- --------
Net asset value -- end
of period.............. $12.5873 $12.1219 $13.0951 $13.0059 $13.0369 $12.0359
======== ======== ======== ======== ======== ========
Total return++.......... 10.63%++ (2.21)% 8.70% 6.81% 15.81% 8.92%
Ratios (to average net
assets)/Supplemental
data:
Expenses............... 0.62%+ 0.62% 0.63% 0.66% 0.64% 0.67%
Net investment income.. 6.75%+ 6.01% 5.92% 6.56% 7.60% 8.12%
Portfolio turnover...... 43% 90% 96% 304% 203% 62%
Net assets, end of
period (000 omitted)... $322,470 $347,150 $310,521 $203,739 $144,172 $97,977
<CAPTION>
High Yield Series
------------------------------------------------
Six Months Year Ended December 31,
Ended ------------------------------------------------
Per share data (for a June 30,
share outstanding 1995 1994 1993 1992 1991 1990
throughout each period): ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period... $ 8.1860 $ 9.1120 $ 8.3279 $ 8.1299 $ 6.9758 $ 9.9462
-------- -------- -------- -------- -------- --------
Income from investment
operations# --
Net investment income... $ 0.3885 $ 0.8226 $ 0.5915 $ 0.7314 $ 0.8230 $ 1.6596
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions........... 0.4217 (1.0387) 0.8242 0.3823 1.9201 (2.9030)
-------- -------- -------- -------- -------- --------
Total from investment
operations........... $ 0.8102 $(0.2161) $ 1.4157 $ 1.1137 $ 2.7431 $(1.2434)
-------- -------- -------- -------- -------- --------
Less distributions from
net investment income.. $(0.6023) $(0.7099) $(0.6316) $(0.9157) $(1.5890) $(1.7270)
-------- -------- -------- -------- -------- --------
Net asset value -- end
of period.............. $ 8.3939 $ 8.1860 $ 9.1120 $ 8.3279 $ 8.1299 $ 6.9758
======== ======== ======== ======== ======== ========
Total return++.......... 9.98%++ (2.16)% 17.68% 14.99% 47.47% (14.16)%
Ratios (to average net
assets)/Supplemental
data:
Expenses................ 0.87%+ 0.86% 0.88% 0.97% 1.05% 1.06%
Net investment income... 9.39%+ 8.94% 8.76% 9.07% 12.23% 17.07%
Portfolio turnover...... 30% 82% 53% 73% 45% 22%
Net assets, end of
period (000 omitted)... $131,003 $102,194 $97,884 $54,564 $31,254 $19,216
</TABLE>
++The total return information shown above does not reflect expenses that apply
to the separate accounts established by Sun Life of Canada (U.S.) and Sun
Life (N.Y.). Inclusion of these charges would reduce the total return figures
for all periods shown.
+ Annualized.
++ Not annualized.
# Per share data for the periods subsequent to December 31, 1992 is based on
average shares outstanding.
See notes to financial statements
58
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Managed Sectors Series
-------------------------------------------------
Six Months Year Ended December 31,
Ended -------------------------------------------------
Per share data (for a June 30,
share outstanding 1995 1994 1993 1992 1991 1990
throughout each period): ---------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period... $19.8823 $23.2419 $22.3342 $21.0115 $13.0731 $ 15.1367
-------- -------- -------- -------- -------- ---------
Income from investment
operations# --
Net investment income
(loss)................. $ 0.0667 $ 0.0982 $ 0.0027 $(0.0565) $ 0.0337 $ 0.1163
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions........... 4.2757 (0.6610) 0.9050 1.4184 8.0287 (1.6919)
-------- -------- -------- -------- -------- ---------
Total from investment
operations........... $ 4.3424 $(0.5628) $ 0.9077 $ 1.3619 $ 8.0624 $ (1.5756)
-------- -------- -------- -------- -------- ---------
Less distributions --
From net investment
income................. $(0.0542) $(0.0239) $ -- $(0.0392) $(0.1240) $ (0.0720)
From net realized gain
on investments and
foreign currency
transactions........... (0.6672) (2.7729) -- -- -- (0.4160)
-------- -------- -------- -------- -------- ---------
Total distributions... $(0.7214) $(2.7968) $ -- $(0.0392) $(0.1240) $ (0.4880)
-------- -------- -------- -------- -------- ---------
Net asset value -- end
of period.............. $23.5033 $19.8823 $23.2419 $22.3342 $21.0115 $ 13.0731
======== ======== ======== ======== ======== =========
Total return++.......... 22.16%++ (1.94)% 4.08% 6.48% 62.15% (10.50)%
Ratios (to average net
assets)/Supplemental
data:
Expenses................ 0.84%+ 0.87% 0.84% 0.93% 1.03% 1.25%
Net investment income
(loss)................. 0.62%+ 0.53% 0.01% (0.35)% 0.34% 1.52%
Portfolio turnover...... 68% 103% 116% 22% 45% 51%
Net assets, end of
period (000 omitted)... $161,825 $118,987 $104,964 $ 83,413 $ 41,752 $ 15,290
<CAPTION>
Money Market Series
-------------------------------------------------
Six Months Year Ended December 31,
Ended -------------------------------------------------
Per share data (for a June 30,
share outstanding 1995 1994 1993 1992 1991 1990
throughout each period): ---------- -------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
-------- -------- -------- -------- -------- ---------
Income from investment
operations#............ $ 0.0259 $ 0.0363 $ 0.0256 $ 0.0325 $ 0.0565 $ 0.0760
-------- -------- -------- -------- -------- ---------
Less distributions from
net investment income.. $(0.0259) $(0.0363) $(0.0256) $(0.0325) $(0.0565) $ (0.0760)
-------- -------- -------- -------- -------- ---------
Net asset value -- end
of period.............. $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
======== ======== ======== ======== ======== =========
Total return++.......... 2.73%++ 3.69% 2.59% 3.30% 5.79% 7.81%
Ratios (to average net
assets)/Supplemental
data:
Expenses................ 0.58%+ 0.58% 0.58% 0.60% 0.59% 0.62%
Net investment income... 5.42%+ 3.74% 2.60% 3.29% 5.64% 7.48%
Net assets, end of
period (000 omitted)... $261,733 $252,175 $142,464 $134,799 $129,683 $112,901
</TABLE>
++The total return information shown above does not reflect expenses that apply
to the separate accounts established by Sun Life of Canada (U.S.) and Sun
Life (N.Y.). Inclusion of these charges would reduce the total return figures
for all periods shown.
+Annualized.
++Not annualized.
#Per share data for the periods subsequent to December 31, 1992 is based on
average shares outstanding.
See notes to financial statements
59
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Research Series Total Return Series
------------------------ ------------------------------------------------------------
Six Months Six Months
Ended Period Ended Ended Year Ended December 31,
June 30, December 31, June 30, ------------------------------------------------
1995 1994*** 1995 1994 1993 1992 1991 1990
---------- ------------ ---------- -------- -------- -------- -------- --------
Per share data (for a
share outstanding
throughout each
period):
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period... $ 9.8761 $10.0000** $15.0862 $16.0946 $14.7219 $14.2209 $12.1220 $12.0912
-------- -------- -------- -------- -------- -------- -------- --------
Income from investment
operations# --
Net investment
income(S).............. $ 0.1011 $ 0.0131 $ 0.3955 $ 0.5639 $ 0.4319 $ 0.5389 $ 0.5646 $ 0.4091
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions........... 1.5470 (0.1370) 1.7388 (0.9310) 1.5044 0.6247 1.9793 (0.0993)
-------- -------- -------- -------- -------- -------- -------- --------
Total from investment
operations........... $ 1.6481 $(0.1239) $ 2.1343 $(0.3671) $ 1.9363 $ 1.1636 $ 2.5439 $ 0.3098
-------- -------- -------- -------- -------- -------- -------- --------
Less distributions --
From net investment
income................. $(0.0036) $ -- $(0.6365) $(0.4344) $(0.4798) $(0.5673) $(0.4450) $(0.2360)
From net realized gain
on investments and
foreign currency
transactions........... -- -- -- (0.2069) (0.0838) (0.0953) -- (0.0430)
-------- -------- -------- -------- -------- -------- -------- --------
Total distributions... $(0.0036) $ -- $(0.6365) $(0.6413) $(0.5636) $(0.6626) $(0.4450) $(0.2790)
-------- -------- -------- -------- -------- -------- -------- --------
Net asset value -- end
of period.............. $11.5206 $ 9.8761 $16.5840 $15.0862 $16.0946 $14.7219 $14.2209 $12.1220
======== ======== ======== ======== ======== ======== ======== ========
Total return++.......... 16.64%++ (1.20)%++ 14.30%++ (2.22)% 13.37% 8.57% 21.60% 2.69%
Ratios (to average net
assets)/Supplemental
data(S):
Expenses................ 0.28%+ 1.50%+ 0.75%+ 0.76% 0.78% 0.85% 0.85% 0.91%
Net investment income... 1.91%+ 1.80%+ 5.04%+ 4.34% 4.06% 4.96% 5.83% 6.48%
Portfolio turnover...... 43% 3% 49% 66% 102% 71% 69% 42%
Net assets, end of
period (000 omitted)... $ 22,851 $ 3,869 $953,705 $839,614 $696,496 $397,385 $224,216 $103,658
</TABLE>
<TABLE>
<CAPTION>
World Asset
Utilities Series Allocation Series
------------------------------------------------- --------------------------------
Six Months Six Months
Ended Ended
June 30, Year Ended Period Ended June 30, Period Ended
1995 December 31, 1994 December 31, 1993* 1995 December 31, 1994***
---------- ----------------- ------------------ ---------- --------------------
Per share data (for a
share outstanding
throughout each period):
<S> <C> <C> <C> <C> <C>
Net asset value --
beginning of period... $ 9.5209 $10.0164 $10.0000** $10.0579 $10.0000**
--------- -------- -------- -------- --------
Income from investment
operations# --
Net investment
income(S).............. $ 0.2503 $ 0.2899 $ 0.0128 $ 0.2432 $ 0.0220
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions........... 0.9120 (0.7817) 0.0036 0.7948 0.0359
--------- -------- -------- -------- --------
Total from investment
operations........... $ 1.1623 $(0.4918) $ 0.0164 $ 1.0380 $ 0.0579
--------- -------- -------- -------- --------
Less distributions from
net investment income.. $ (0.2726) $(0.0037) $ -- $(0.0074) $ --
--------- -------- -------- -------- --------
Net asset value -- end
of period.............. $ 10.4106 $ 9.5209 $10.0164 $11.0885 $10.0579
========= ======== ======== ======== ========
Total return++.......... 12.39%++ (4.96)% 1.59%+ 10.32%++ 0.60%++
Ratios (to average net
assets)/Supplemental
data(S):
Expenses................ 0.20%+ 0.39% 1.50%+ 0.48%+ 1.50%+
Net investment income... 5.10%+ 4.59% 2.58%+ 4.71%+ 3.13%+
Portfolio turnover...... 50% 103% -- % 56% 2%
Net assets, end of
period (000 omitted)... $ 27,950 $ 21,448 $ 2,798 $ 13,597 $ 3,003
</TABLE>
* From November 16, 1993 (commencement of operations) to December 31, 1993.
** Net asset value on date of commencement of operations.
+ Annualized.
++ Not annualized.
*** From November 7, 1994 (commencement of operations) to December 31, 1994.
++The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
# Per share data for the periods subsequent to December 31, 1992 is based on
average shares outstanding.
(S)The investment adviser voluntarily waived its management fee for the
Research Series, Utilities Series and World Asset Allocation Series for the
periods indicated. If the waiver had not been in place, the net investment
income per share and ratios would have been:
<TABLE>
<CAPTION>
World Asset
Research Series Utilities Series Allocation Series
--------------- ------------------------------- -----------------
Six Months Six Months Six Months
Ended Ended Year Ended Ended
June 30, 1995 June 30, 1995 December 31, 1994 June 30, 1995
--------------- ------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Net investment income.. $0.0614 $0.2135 $0.2412 $0.2045
Ratios (to average net
assets):
Expenses.............. 1.03%+ 0.95%+ 1.14% 1.23%+
Net investment income. 1.16%+ 4.35%+ 3.84% 3.96%+
</TABLE>
See notes to financial statements
60
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
World Governments Series
------------------------------------------------------------
Six Months Year Ended December 31,
Ended ------------------------------------------------
Per share data (for a June 30,
share outstanding 1995 1994 1993 1992 1991 1990
throughout each period): ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period... $11.3769 $13.0212 $11.7966 $12.7397 $11.5967 $11.0195
-------- -------- -------- -------- -------- --------
Income from investment
operations# --
Net investment income... $ 0.4676 $ 0.6095 $ 0.5352 $ 0.6429 $ 0.7024 $ 0.2649
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions........... 0.9421 (1.2295) 1.5819 (0.6141) 0.9616 1.0963
-------- -------- -------- -------- -------- --------
Total from investment
operations........... $ 1.4097 $(0.6200) $ 2.1171 $ 0.0288 $ 1.6640 $ 1.3612
-------- -------- -------- -------- -------- --------
Less distributions --
From net investment
income................. $ -- $(0.8823) $(0.8925) $(0.6581) $(0.5210) $(0.7840)
From net realized gain
on investments and
foreign currency
transactions........... (0.6445) (0.1420) -- (0.3138) -- --
-------- -------- -------- -------- -------- --------
Total distributions... $(0.6445) $(1.0243) $(0.8925) $(0.9719) $(0.5210) $(0.7840)
-------- -------- -------- -------- -------- --------
Net asset value -- end
of period.............. $12.1421 $11.3769 $13.0212 $11.7966 $12.7397 $11.5967
======== ======== ======== ======== ======== ========
Total return++.......... 12.45%++ (4.46)% 18.84% 0.54% 14.83% 13.37%
Ratios (to average net
assets)/Supplemental
data:
Expenses................ 0.89%+ 0.90% 0.95% 1.03% 1.12% 1.25%
Net investment income... 6.82% 6.06% 6.01% 7.02% 7.50% 7.51%
Portfolio turnover...... 129% 269% 173% 147% 192% 165%
Net assets, end of
period (000 omitted)... $157,657 $139,155 $135,085 $ 73,540 $ 36,566 $ 11,506
</TABLE>
<TABLE>
<CAPTION>
World Total
World Growth Series Return Series
------------------------------------------------ -------------------------------
Six Months Six Months
Ended Ended
Per share data (for a June 30, Year Ended Period Ended June 30, Period Ended
share outstanding 1995 December 31, 1994 December 31, 1993* 1995 December 31, 1994**
throughout each period): ---------- ----------------- ------------------ ---------- -------------------
<S> <C> <C> <C> <C> <C>
Net asset value --
beginning of period... $10.9425 $10.6366 $10.0000*** $10.0405 $10.0000***
-------- -------- -------- -------- --------
Income from investment
operations# --
Net investment
income(S).............. $ 0.0552 $ 0.1506 $ 0.0088 $ 0.2513 $ 0.0247
Net realized and
unrealized gain on
investments and
foreign currency
transactions........... 0.5109 0.1590 0.6278 0.6815 0.0158
-------- -------- -------- -------- --------
Total from investment
operations........... $ 0.5661 $ 0.3096 $ 0.6366 $ 0.9328 $ 0.0405
-------- -------- -------- -------- --------
Less distributions --
From net investment
income $(0.1361) $(0.0037) $ -- $(0.0060) $ --
From net realized gain
on investments and
foreign currency
transactions........... (0.1677) -- -- -- --
-------- -------- -------- -------- --------
Total distributions... $(0.3038) $(0.0037) $ -- $(0.0060) $ --
-------- -------- -------- -------- --------
Net asset value -- end
of period.............. $11.2048 $10.9425 $10.6366 $10.9673 $10.0405
======== ======== ======== ======== ========
Total return++.......... 5.25%++ 2.86% 50.78%+ 9.32%++ 0.40%++
Ratios (to average net
assets)/Supplemental
data(S):
Expenses................ 1.04%+ 0.47% 1.02%+ 0.56%+ 1.50%+
Net investment income... 1.03%+ 2.20% 1.23%+ 4.82%+ 3.31%+
Portfolio turnover...... 76% 231% 2% 48% 1%
Net assets, end of
period (000 omitted)... $120,448 $100,045 $ 18,879 $ 6,201 $ 1,384
</TABLE>
+ Annualized.
++ Not annualized.
* From November 16, 1993 (commencement of operations) to December 31, 1993.
** From November 7, 1994 (commencement of operations) to December 31, 1994.
*** Net asset value on date of commencement of operations.
++The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
# Per share data for the periods subsequent to December 31, 1992 is based on
average shares outstanding.
(S)The investment adviser voluntarily waived its management fee for the World
Growth Series and the World Total Return Series for the periods indicated.
If the waiver had not been in place, the net investment income per share and
ratios would have been:
<TABLE>
<CAPTION>
World Total
World Growth Series Return Series
------------------------------------ ----------------
Year Ended Period Ended Six Months Ended
December 31, 1994 December 31, 1993* June 30, 1995
----------------- ------------------ ----------------
<S> <C> <C> <C>
Net investment income... $0.0989 $0.005 $0.2122
Ratios (to average net
assets):
Expenses............... 1.20% 1.50%+ 1.31%+
Net investment income.. 1.47% 0.75%+ 4.07%+
</TABLE>
See notes to financial statements
61
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Zero Coupon Series
-----------------------------------------------------------------------
1995 Portfolio
-----------------------------------------------------------------------
Six Months Ended Year Ended December 31,
Per share data (for a June 30, ------------------------------------------------------
share outstanding 1995 1994 1993 1992 1991 1990
throughout each period): ---------------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period... $10.1544 $10.9687 $11.2196 $11.2957 $10.3469 $10.2985
-------- --------- --------- --------- --------- ---------
Income from investment
operations# --
Net investment income... $ 0.3663 $ 0.7908 $ 0.7853 $ 0.8329 $ 0.7617 $ 0.5986
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions........... 0.0051 (0.6877) (0.0683) (0.0796)* 0.7891 0.2038
-------- --------- --------- --------- --------- ---------
Total from investment
operations........... $ 0.3714 $ 0.1031 $ 0.7170 $ 0.7533 $ 1.5508 $ 0.8024
-------- --------- --------- --------- --------- ---------
Less distributions --
From net investment
income................. $(0.7947) $ (0.7949) $ (0.8298) $ (0.7900) $ (0.5990) $ (0.7540)
From net realized gain
on investments......... (0.0590) (0.1225) (0.1381) (0.0394) (0.0030) --
-------- --------- --------- --------- --------- ---------
Total distributions... $(0.8537) $ (0.9174) $ (0.9679) $ (0.8294) $ (0.6020) $ (0.7540)
-------- --------- --------- --------- --------- ---------
Net asset value -- end
of period.............. $ 9.6721 $ 10.1544 $ 10.9687 $ 11.2196 $ 11.2957 $ 10.3469
======== ========= ========= ========= ========= =========
Total return++.......... 3.77%++ 1.05% 6.59% 7.26% 15.80% 8.69%
Ratios (to average net
assets)/Supplemental
data:
Expenses................ 0.45%+ 0.50% 0.50% 0.50% 0.50% 0.50%
Net investment income... 7.41%+ 7.36% 7.06% 7.20% 7.35% 7.93%
Portfolio turnover...... 5% 1% 3% 0% 7% 8%
Net assets, end of
period (000 omitted)... $ 5,372 $ 4,857 $ 5,335 $ 5,340 $ 5,655 $ 4,962
<CAPTION>
Zero Coupon Series
-----------------------------------------------------------------------
2000 Portfolio
-----------------------------------------------------------------------
Six Months Ended Year Ended December 31,
Per share data (for a June 30, ------------------------------------------------------
share outstanding 1995 1994 1993 1992 1991 1990
throughout each period): ---------------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period... $ 7.9573 $ 11.1167 $ 11.0966 $11.3060 $ 10.2772 $ 10.6719
-------- --------- --------- --------- --------- ---------
Income from investment
operations# --
Net investment income... $ 0.2207 $ 0.3807 $ 0.6921 $ 0.8970 $ 0.8217 $ 0.8473
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions........... 0.8522 (1.1094) 0.8997 (0.0904)* 1.1301 (0.3340)
-------- --------- --------- --------- --------- ---------
Total from investment
operations........... $ 1.0729 $ (0.7287) $ 1.5918 $ 0.8066 $ 1.9518 $ 0.5133
-------- --------- --------- --------- --------- ---------
Less distributions --
From net investment
income................. $(0.4332) $ (0.6250) $ (0.8915) $ (0.8539) $ (0.7990) $ (0.7620)
From net realized gain
on investments......... -- (1.8057) (0.6802) (0.1621) (0.1240) (0.1460)
-------- --------- --------- --------- --------- ---------
Total distributions... $(0.4332) $ (2.4307) $ (1.5717) $ (1.0160) $ (0.9230) $ (0.9080)
-------- --------- --------- --------- --------- ---------
Net asset value -- end
of period.............. $ 8.5970 $ 7.9573 $11.1167 $11.0966 $11.3060 $10.2772
======== ========= ========= ========= ========= =========
Total return++.......... 13.79%++ (6.99)% 15.03% 8.18% 20.54% 5.92%
Ratios (to average net
assets)/Supplemental
data:
Expenses................ 0.50%+ 0.50% 0.50% 0.50% 0.50% 0.50%
Net investment income... 5.35%+ 4.93% 5.48% 7.08% 7.63% 8.06%
Portfolio turnover...... 25% 12% 65% 16% 8% 24%
Net assets, end of
period (000 omitted)... $ 2,999 $3,280 $3,547 $3,713 $4,525 $4,381
</TABLE>
* The per share amount is not in accord with the net realized and unrealized
loss for the period because of the timing of sales of Trust shares and the
amount of per share realized and unrealized gains and losses at such time.
++The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
+ Annualized.
++ Not annualized.
# Per share data for the periods subsequent to December 31, 1992 is based on
average shares outstanding.
See notes to financial statements
62
<PAGE>
MFS/SUN LIFE SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
The Trust is organized as a Massachusetts business trust and is registered
under the Investment Company Act of 1940, as amended, as an open-end, manage-
ment investment company consisting of fifteen separate Series (the Series) of
shares: Capital Appreciation Series, Conservative Growth Series, Emerging
Growth Series, Government Securities Series, High Yield Series, Managed Sectors
Series, Money Market Series, Research Series, Total Return Series, Utilities
Series, World Asset Allocation Series, World Governments Series, World Growth
Series, World Total Return Series and Zero Coupon Series. The Zero Coupon
Series includes two separate sub-series: Portfolios 1995 and 2000. The High
Yield Series, Managed Sectors Series, Utilities Series, World Asset Allocation
Series, World Governments Series, World Growth Series and World Total Return
Series are non-diversified as that term is defined in the Investment Company
Act of 1940, as amended. The shares of each Series are sold only to variable
accounts established by Sun Life Assurance Company of Canada (U.S.) and Sun
Life Insurance and Annuity Company of New York to fund benefits under variable
contracts issued by such companies.
2. SIGNIFICANT ACCOUNTING POLICIES
Investment Securities Valuations -- Equity securities listed on securities
exchanges or reported through the NASDAQ system are valued at last sale prices.
Unlisted equity securities or listed equity securities for which last sale
prices are not available are valued at last quoted bid prices. Debt securities
(other than short-term obligations which mature in 60 days or less), including
listed issues and forward contracts, are valued on the basis of valuations fur-
nished by dealers or by a pricing service with consideration given to factors
such as institutional-size trading in similar groups of securities, yield,
quality, coupon rate, maturity, type of issue, trading characteristics and
other market data, without exclusive reliance upon exchange or over-the-counter
prices. Short-term obligations, which mature in 60 days or less, are valued at
amortized cost, which approximates value. Non-U.S. dollar denominated short-
term obligations are valued at amortized cost as calculated in the base cur-
rency and translated into U.S. dollars at the closing daily exchange rate.
Futures contracts, options and options on futures contracts listed on commodi-
ties exchanges are valued at closing settlement prices. Over-the-counter
options are valued by brokers through the use of a pricing model which takes
into account closing bond valuations, implied volatility and short-term repur-
chase rates. Securities for which there are no such valuations or quotations
are valued at fair value as determined in good faith by or at the direction of
the Trustees.
Repurchase Agreements -- Certain Series of the Trust may enter into repurchase
agreements with institutions that the Trust's investment adviser has determined
as creditworthy. Each repurchase agreement is recorded at cost. Such Series
require that the securities purchased in a repurchase transaction be trans-
ferred to the custodian in a manner sufficient to enable the Trust to obtain
those securities in the event of a default under the repurchase agreement. The
investment adviser monitors, on a daily basis, the value of the securities
transferred to ensure that the value, including accrued interest, of the secu-
rities under each repurchase agreement is greater than the amount owed to the
Series under each such repurchase agreement.
Foreign Currency Translation -- Investment valuations, other assets, and lia-
bilities initially expressed in foreign currencies are converted each business
day into U.S. dollars based upon current exchange rates. Purchases and sales of
foreign investments and income and expenses are converted into U.S. dollars
based upon currency exchange rates prevailing on the respective dates of such
transactions. Gains and losses attributable to foreign currency exchange rates
on sales of securities are recorded for financial statement purposes as net
realized gains and losses on investments. Gains and losses attributable to for-
eign exchange rate movements on income and expenses are recorded for financial
statement purposes as foreign currency transaction gains and losses. That por-
tion of both realized and unrealized gains and losses on investments that
results from fluctuations in foreign currency exchange rates is not separately
disclosed.
Written Options -- Certain Series of the Trust may write covered call or put
options for which premiums are received and are recorded as liabilities, and
are subsequently adjusted to the current value of the options written. Premiums
received from writing options which expire are treated as realized gains. Pre-
miums received from writing options which are exercised or are closed are off-
set against the proceeds or amount paid on the transaction to determine the
realized gain or loss. If a put option is exercised, the premium reduces the
cost basis of the securities or currencies purchased. The writer of an option
may have no control over whether the underlying securities or currency may be
sold (call) or purchased (put) and, as a result, bears the market risk of an
unfavorable change in the price of the security or exchange rate underlying the
written option. In general, written call options may serve as a partial hedge
against decreases in value in the underlying securities or exchange rates to
the extent of the premium received. Written options may also be used as a part
of an income-producing strategy reflecting the view of the Series' management
on the direction of interest and exchange rates.
63
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
Forward Foreign Currency Exchange Contracts -- Certain Series of the Trust may
enter into forward foreign currency exchange contracts for the purchase or sale
of a specific foreign currency at a fixed price on a future date. Risks may
arise upon entering these contracts from the potential inability of
counterparties to meet the terms of the contracts and from unanticipated move-
ments in the value of a foreign currency relative to the U.S. dollar. The
Series will enter into forward contracts for hedging purposes as well as for
non-hedging purposes. For hedging purposes, the Series may enter into contracts
to deliver or receive foreign currency it will receive from or require for its
normal investment activities. It may also use contracts in a manner intended to
protect foreign currency-denominated securities from declines in value due to
unfavorable exchange rate movements. For non-hedging purposes, the Series may
enter into contracts with the intent of changing the relative exposure of the
Series' portfolio of securities to different currencies to take advantage of
anticipated changes. The forward foreign currency exchange contracts are
adjusted by the daily forward exchange rate of the underlying currency and any
gains or losses are recorded for financial statement purposes as unrealized
until the contract settlement date.
Investment Transactions and Income -- Investment transactions are recorded on
the trade date. Interest income is recorded on the accrual basis. All premium
and original issue discount are amortized or accreted for both financial state-
ment and tax reporting purposes as required by federal income tax regulations.
Dividend income is recorded on the ex-dividend date for dividends received in
cash. Dividend and interest payments received in additional securities are
recorded on the ex-dividend or ex-interest date in an amount equal to the value
of the security on such date.
Although the High Yield Series has a diversified portfolio at June 30, 1995, it
can invest up to 100% of its portfolio in high-yield securities rated below
investment grade. Investments in high-yield securities involve greater degrees
of credit and market risk than investments in higher-rated securities, and tend
to be more sensitive to economic conditions.
As appropriate based on its investments, certain Series of the Trust use the
effective interest method for reporting interest income on payment-in-kind
(PIK) bonds, whereby interest income on PIK bonds is recorded ratably by the
Series at a constant yield to maturity. Legal fees and other related expenses
incurred to preserve and protect the value of a security owned are added to the
cost of the security; other legal fees are expensed. Capital infusions, which
are generally non-recurring, incurred to protect or enhance the value of high-
yield debt securities are reported as an addition to the cost basis of the
security. Costs incurred to negotiate the terms or conditions of capital
infusions or that are expected to result in a plan of reorganization are con-
sidered workout expenses and are reported as realized losses. Ongoing costs
incurred to protect or enhance an investment, or costs incurred to pursue other
claims or legal actions are reported as operating expenses.
Tax Matters and Distributions -- Each Series or portfolio of the Trust intends
to comply with the provisions of the Internal Revenue Code (the Code) applica-
ble to regulated investment companies and to distribute to shareholders all of
its net taxable income, including any net realized gain from investments.
Accordingly, no provision for federal income or excise tax is necessary. For-
eign taxes have been provided for on interest and dividend income earned on
foreign investments in accordance with the applicable country's tax rates and
to the extent unrecoverable are recorded as a reduction of investment income.
Distributions to shareholders are recorded on the ex-dividend date.
The Trust distinguishes between distributions on a tax basis and a financial
reporting basis and requires that only distributions in excess of tax basis
earnings and profits are reported in the financial statements as a return of
capital. Differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes, are classified as distri-
butions in excess of net investment income or accumulated net realized gains.
64
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
At December 31, 1994, the following Series had capital loss carryforwards for
federal income tax purposes which may be applied against any net taxable real-
ized gains of each succeeding year until the earlier of their utilization or
expiration.
<TABLE>
<CAPTION>
Portion Expiring December 31,
----------------------------------------------------------------------------------
Total Carryover 1996 1997 1998 1999 2000 2001 2002
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Government Securities
Series................. $7,137,094 $ -- $ -- $ -- $ -- $ -- $ -- $7,137,094
========== ======== ========== ========== ========== ======== ==== ==========
High Yield Series....... 8,175,394 571,204 1,511,949 2,535,112 1,654,123 786,156 -- 1,116,850
========== ======== ========== ========== ========== ======== ==== ==========
Research Series......... 15,409 -- -- -- -- -- -- 15,409
========== ======== ========== ========== ========== ======== ==== ==========
Total Return Series..... 3,643,154 -- -- -- -- -- -- 3,643,154
========== ======== ========== ========== ========== ======== ==== ==========
Utilities Series........ 507,847 -- -- -- -- -- -- 507,847
========== ======== ========== ========== ========== ======== ==== ==========
World Asset Allocation
Series................. 5,131 -- -- -- -- -- -- 5,131
========== ======== ========== ========== ========== ======== ==== ==========
World Total Return
Series................. 3,162 -- -- -- -- -- -- 3,162
========== ======== ========== ========== ========== ======== ==== ==========
Zero Coupon Series 2000
Portfolio.............. 21,892 -- -- -- -- 21,892 -- --
========== ======== ========== ========== ========== ======== ==== ==========
</TABLE>
3. TRANSACTIONS WITH AFFILIATES
The Trust has investment advisory agreements with Massachusetts Financial Serv-
ices Company (MFS), a wholly-owned subsidiary of Sun Life Assurance Company of
Canada (U.S.), to provide overall investment advisory and administrative serv-
ices, and general office facilities. Investment advisory fees are computed
daily and paid monthly at an effective annual rate based on a percentage of
each Series' average daily net assets. The agreements also provide that each
Series will be reimbursed by MFS for expenses, including advisory fees, in
excess of the expense limitation indicated below, calculated based on the aver-
age daily net assets of each Series for the fiscal year. Investment advisory
fees and expense limitations are as follows:
<TABLE>
<CAPTION>
Investment Expense
Advisory Fees Limitations
----------------------------------------------------------------------------
<S> <C> <C>
Capital Appreciation Series...................... 0.75% 1.25%
Conservative Growth Series....................... 0.55% 1.25%
Emerging Growth Series........................... 0.75%* 1.50%
Government Securities Series..................... 0.55% 1.25%
High Yield Series................................ 0.75% 1.25%
Managed Sectors Series........................... 0.75%* 1.25%
Money Market Series.............................. 0.50% 0.60%
Research Series.................................. 0.75%* 1.50%
Total Return Series.............................. 0.75%* 1.25%
Utilities Series................................. 0.75%* 1.00%
World Asset Allocation Series.................... 0.75%* 1.50%
World Governments Series......................... 0.75%* 1.00%
World Growth Series.............................. 0.90% 1.50%
World Total Return Series........................ 0.75%* 1.50%
Zero Coupon Series............................... 0.25% 0.50%
</TABLE>
*The advisory fee for Emerging Growth Series, Managed Sectors Series, Research
Series, Total Return Series, Utilities Series, World Asset Allocation Series,
World Governments Series and World Total Return Series is 0.75% of the first
$300 million of average daily net assets of each of the Series and 0.675% of
the average daily net assets of each Series in excess of $300 million. The
advisory fee for the Total Return Series is reduced to 0.60% of the average
daily net assets in excess of $1 billion.
MFS has agreed to waive its advisory fee for an indefinite period for the
Emerging Growth, Research, Utilities, World Asset Allocation, and World Total
Return Series. The amounts waived under this agreement for the six months ended
June 30, 1995, were $757, $44,910, $90,551, $27,110, and $13,124, respectively.
In accordance with the expense limitations described above, $5,450 has been
reimbursed to the Emerging Growth Series. Such amounts are recorded as reduc-
tions of expenses on the Statements of Operations.
65
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
The Trust pays no compensation directly to its Trustees or officers who are
affiliated with MFS or Sun Life Assurance Company of Canada (U.S.), all of whom
receive remuneration for their services to the Trust from MFS or Sun Life
Assurance Company of Canada. Certain of the officers and Trustees of the Trust
are officers or directors of MFS or Sun Life Assurance Company of Canada.
4. PORTFOLIO SECURITIES
For the six months ended June 30, 1995, purchases and sales of investments,
other than purchased option transactions and short-term obligations, were as
follows:
<TABLE>
<CAPTION>
Capital Conservative Emerging Government High Managed Money Total
Appreciation Growth Growth Securities Yield Sectors Market Research Return
Series Series Series Series Series Series Series+ Series Series
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Purchases
---------
U.S. government
securities..... $ 12,434,050 $ 911,065 $ -- $172,070,913 $ -- $ -- $703,569,984 $ -- $161,859,909
============ ============ ========== ============ =========== =========== ============ =========== ============
Investments
(non-U.S.
government
securities).... $328,223,781 $94,498,503 $8,046,991 $ -- $55,616,193 $94,313,027 $303,634,558 $20,634,979 $292,124,756
============ ============ ========== ============ =========== =========== ============ =========== ============
Sales
-----
U.S. government
securities..... $ 3,544,873 $ 669,356 $ -- $130,123,273 $ -- $ -- $604,941,442 $ -- $206,943,208
============ ============ ========== ============ =========== =========== ============ =========== ============
Investments
(non-U.S.
government
securities).... $250,894,113 $ 67,641,397 $ 15,008 $ -- $33,395,554 $77,602,237 $415,283,702 $ 4,848,701 $178,295,802
============ ============ ========== ============ =========== =========== ============ =========== ============
</TABLE>
<TABLE>
<CAPTION>
Zero Coupon Series
World Asset World World World -------------------
Utilities Allocation Governments Growth Total Return 1995 2000
Series Series Series Series Series Portfolio Portfolio
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Purchases
---------
U.S. government
securities............. $ 1,028,201 $ 715,907 $ 53,966,004 $ -- $ 389,054 $499,435 $ --
=========== =========== ============ =========== ========== ======== ========
Investments (non-U.S.
government securities). $14,653,897 $10,684,602 $103,082,964 $95,139,626 $4,465,452 $ -- $ --
=========== =========== ============ =========== ========== ======== ========
Sales
-----
U.S. government
securities............. $ 932,656 $ 792,750 $ 56,850,566 $ -- $ 101,976 $225,934 $814,618
=========== =========== ============ =========== ========== ======== ========
Investments (non-U.S.
government securities). $10,689,243 $ 2,606,338 $119,475,804 $71,258,962 $1,148,199 $ -- $ --
=========== =========== ============ =========== ========== ======== ========
</TABLE>
+Purchases and sales of investments for the Money Market Series consist solely
of short-term obligations.
At June 30, 1995, the cost and unrealized appreciation or depreciation in value
of the investment securities owned by each Series of the Trust, as computed on
the federal income tax basis, are as follows:
<TABLE>
<CAPTION>
Capital Conservative Emerging Government High Managed Money
Appreciation Growth Growth Securities Yield Sectors Market Research
Series Series Series Series Series Series Series Series
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Aggregate cost.. $547,039,065 $179,399,197 $11,974,791 $316,490,919 $131,419,232 $144,412,529 $245,386,300 $20,729,416
============ ============ =========== ============ ============ ============ ============ ===========
Gross unrealized
appreciation... $124,226,602 $ 23,474,782 $ 428,466 $ 11,426,822 $ 3,133,465 $ 24,346,592 $ -- $ 2,079,962
Gross unrealized
depreciation... (16,449,134) (1,328,819) (277,939) (2,259,913) (3,338,846) (4,719,209) -- (339,841)
------------ ------------ ----------- ------------ ------------ ------------ ------------ -----------
Net unrealized
appreciation
(depreciation). $107,777,468 $ 22,145,963 $ 150,527 $ 9,166,909 $ (205,381) $ 19,627,383 $ -- $ 1,740,121
============ ============ =========== ============ ============ ============ ============ ===========
<CAPTION>
Total
Return
Series
-------------------------------------------------------------------------------------------------------------------------------
<S> <C>
Aggregate cost.. $829,654,656
=============
Gross unrealized
appreciation... $115,188,343
Gross unrealized
depreciation... (12,060,357)
-------------
Net unrealized
appreciation
(depreciation). $103,127,986
=============
</TABLE>
<TABLE>
<CAPTION>
Zero Coupon Series
World Asset World World World ---------------------
Utilities Allocation Governments Growth Total Return 1995 2000
Series Series Series Series Series Portfolio Portfolio
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Aggregate cost.......... $26,194,440 $13,191,849 $150,792,247 $116,878,934 $5,913,103 $5,271,053 $2,727,954
=========== =========== ============ ============ ========== ========== ==========
Gross unrealized
appreciation........... $ 1,993,607 $ 625,322 $ 6,853,326 $ 9,914,173 $ 255,726 $ 51,095 $ 166,060
Gross unrealized
depreciation........... (295,513) (150,802) (871,033) (8,237,259) (55,280) -- --
----------- ----------- ------------ ------------ ---------- ---------- ----------
Net unrealized
appreciation........... $ 1,698,094 $ 474,520 $ 5,982,293 $ 1,676,914 $ 200,446 $ 51,095 $ 166,060
=========== =========== ============ ============ ========== ========== ==========
</TABLE>
5. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value). Transac-
tions in Trust shares during the six months ended June 30, 1995 are presented
below.
<TABLE>
<CAPTION>
Capital Conservative Emerging Government High Managed Money Total
Appreciation Growth Growth Securities Yield Sectors Market Research Return
Series Series Series Series Series Series Series Series Series
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold...... 6,142,904 1,751,839 1,117,930 1,597,780 5,617,275 1,298,558 201,388,780 1,815,750 3,588,136
Shares issued to
shareholders in
reinvestment of
distributions... 575,351 267,502 -- 1,637,091 1,058,317 211,025 5,764,317 485 2,212,879
Shares
reacquired...... (3,378,401) (433,131) (3,284) (6,254,608) (3,552,613) (608,930) (197,595,136) (224,496) (3,947,680)
---------- --------- --------- ---------- ---------- --------- ------------ --------- ----------
Net increase
(decrease)..... 3,339,854 1,586,210 1,114,646 (3,019,737) 3,122,979 900,653 9,557,961 1,591,739 1,853,335
========== ========= ========= ========== ========== ========= ============ ========= ==========
</TABLE>
66
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
<TABLE>
<CAPTION>
Zero Coupon Series
World Asset World World World -------------------
Utilities Allocation Governments Growth Total Return 1995 2000
Series Series Series Series Series Portfolio Portfolio
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares sold............. 925,227 976,693 1,516,637 2,358,694 495,629 56,327 8,201
Shares issued to
shareholders in
reinvestment of
distributions.......... 68,772 573 667,817 291,239 222 41,534 21,339
Shares reacquired....... (561,950) (49,657) (1,431,525) (1,043,077) (68,254) (20,779) (92,983)
-------- ------- ---------- ---------- ------- ------- -------
Net increase
(decrease)............ 432,049 927,609 752,929 1,606,856 427,597 77,082 (63,443)
======== ======= ========== ========== ======= ======= =======
</TABLE>
Transactions in Trust shares during the year ended December 31, 1994 are pre-
sented below.
<TABLE>
<CAPTION>
Capital Conservative Government High Managed Money Total
Appreciation Growth Securities Yield Sectors Market Research Return
Series Series Series Series Series Series Series Series
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold............ 10,770,067 3,768,650 9,183,899 12,380,273 2,473,797 450,186,088 408,911 14,399,892
Shares issued to
shareholders in
reinvestment of
distributions......... 1,765,302 117,497 1,551,593 821,942 682,858 8,152,903 -- 2,120,707
Shares reacquired...... (7,931,360) (408,948) (5,809,843) (11,460,562) (1,688,238) (348,628,248) (17,167) (4,141,433)
---------- --------- ---------- ----------- ---------- ------------ ------- ----------
Net increase.......... 4,604,009 3,477,199 4,925,649 1,741,653 1,468,417 109,710,743 391,744 12,379,166
========== ========= ========== =========== ========== ============ ======= ==========
</TABLE>
<TABLE>
<CAPTION>
Zero Coupon Series
World Asset World World World -------------------
Utilities Allocation Governments Growth Total Return 1995 2000
Series Series Series Series Series Portfolio Portfolio
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares sold............. 2,286,741 300,343 3,477,740 9,554,782 141,167 2,907 79,593
Shares issued to
shareholders in
reinvestment of
distributions.......... 509 -- 1,126,992 1,438 -- 43,843 101,684
Shares reacquired....... (313,802) (1,756) (2,743,837) (2,189,420) (3,323) (54,934) (88,108)
--------- ------- ---------- ---------- ------- ------- -------
Net increase
(decrease)............ 1,973,448 298,587 1,860,895 7,366,800 137,844 (8,184) 93,169
========= ======= ========== ========== ======= ======= =======
</TABLE>
6. FINANCIAL INSTRUMENTS
Certain Series of the Trust may trade financial instruments with off-balance
sheet risk in the normal course of their investing activities and to assist in
managing exposure to market risks such as interest rates and foreign currency
exchange rates. These financial instruments include written options and forward
foreign currency exchange contracts.
The notional or contractual amounts of these instruments represent the invest-
ment the Series have in particular classes of financial instruments and do not
necessarily represent the amounts potentially subject to risk. The measurement
of the risks associated with these instruments is meaningful only when all
related and offsetting transactions are considered. A summary of obligations
under these financial instruments at June 30, 1995, is shown on the following
pages.
67
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
Written Option Transactions -- World Asset Allocation Series
<TABLE>
<CAPTION>
1995 Calls 1995 Puts
-------------------------- --------------------------
Principal Amounts Principal Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Outstanding, beginning
of period -- -- $ -- -- $ --
Options written --
Australian Dollars..... 96 735 210 2,356
British Pounds......... 38 652 35 652
Canadian Dollars....... -- -- 36 185
Deutsche Marks......... 1,069 5,483 279 1,680
Deutsche Marks/British
Pounds................ 103 668 -- --
Italian Lire/Deutsche
Marks................. 87,188 798 54,010 434
Japanese Yen........... 40,327 13,203 148,311 8,975
Spanish
Pesetas/Deutsche
Marks................. -- -- 19,559 1,282
Options terminated in
closing transactions --
Australian Dollars..... (96) (735) (153) (1,676)
British Pounds......... (38) (652) -- --
Canadian Dollars....... -- -- (36) (185)
Deutsche Marks......... (130) (646) -- --
Deutsche Marks/British
Pounds................ (103) (668) -- --
Japanese Yen........... (22,084) (6,451) (135,253) (6,882)
Spanish
Pesetas/Deutsche
Marks................. -- -- (19,559) (1,282)
Options exercised --
Deutsche Marks......... (448) (1,431) -- --
Options expired --
Deutsche Marks......... (491) (3,406) -- --
Italian Lire/Deutsche
Marks................. (87,188) (798) -- --
-------- ------- -------- -------
Outstanding, end of
period................ 18,243 $ 6,752 67,439 $ 5,539
======== ======= ======== =======
Options outstanding at
end of period consist
of --
Australian Dollars..... -- $ -- 57 $ 680
======== ======= ======== =======
British Pounds......... -- $ -- 35 $ 652
======== ======= ======== =======
Deutsche Marks......... -- $ -- 279 $ 1,680
======== ======= ======== =======
Italian Lire/Deutsche
Marks................. -- $ -- 54,010 $ 434
======== ======= ======== =======
Japanese Yen........... 18,243 $ 6,752 13,058 $ 2,093
======== ======= ======== =======
</TABLE>
At June 30, 1995, the World Asset Allocation Series had sufficient cash and/or
securities at least equal to the value of the written options.
68
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
Written Option Transactions -- World Governments Series
<TABLE>
<CAPTION>
1995 Calls 1995 Puts
---------------------------- ---------------------------
Principal Amounts Principal Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Outstanding, beginning
of period --
Canadian Dollars....... -- $ -- 4,183 $ 21,824
Deutsche Marks......... -- -- 7,827 66,533
Japanese Yen........... 344,000 46,294 688,000 73,941
Swiss Francs/Deutsche
Marks................. 6,519 27,448 -- --
Options written --
Australian Dollars..... 3,629 27,681 18,726 227,394
British Pounds......... 6,056 104,501 5,650 104,502
Canadian Dollars....... -- -- 12,348 51,335
Deutsche Marks......... 131,333 510,337 61,119 390,229
Deutsche Marks/British
Pounds................ 4,420 28,701 -- --
Italian Lire/Deutsche
Marks................. 13,215,537 120,940 5,403,062 41,134
Japanese Yen........... 6,087,419 1,592,594 8,438,130 919,966
Spanish
Pesetas/Deutsche
Marks................. -- -- 517,568 33,918
U.S. Dollars........... -- -- 7,300 96,383
Options terminated in
closing transactions --
Australian Dollars..... (3,629) (27,681) (11,930) (146,413)
British Pounds......... (6,056) (104,501) -- --
Canadian Dollars....... -- -- (16,531) (73,159)
Deutsche Marks......... (21,318) (105,807) (16,952) (142,584)
Deutsche Marks/British
Pounds................ (4,420) (28,701) -- --
Italian Lire/Deutsche
Marks................. -- -- (4,114,187) (30,783)
Japanese Yen........... (3,106,299) (792,101) (7,346,982) (701,817)
Spanish
Pesetas/Deutsche
Marks................. -- -- (517,568) (33,918)
U.S. Dollars........... -- -- (7,300) (96,383)
Options exercised --
Deutsche Marks......... (12,023) (38,425) -- --
Swiss Francs/Deutsche
Marks................. (6,519) (27,448) -- --
Options expired --
Deutsche Marks......... (97,992) (366,105) -- --
Italian Lire/Deutsche
Marks................. (13,215,537) (120,940) -- --
----------- ---------- ---------- ---------
Outstanding, end of
period................ 3,325,120 $ 846,787 3,132,463 $ 802,102
=========== ========== ========== =========
Options outstanding at
end of period consist
of --
Australian Dollars..... -- $ -- 6,796 $ 80,981
=========== ========== ========== =========
British Pounds......... -- $ -- 5,650 $ 104,502
=========== ========== ========== =========
Deutsche Marks......... -- $ -- 51,994 $ 314,178
=========== ========== ========== =========
Italian Lire/Deutsche
Marks................. -- $ -- 1,288,875 $ 10,351
=========== ========== ========== =========
Japanese Yen........... 3,325,120 $ 846,787 1,779,148 $ 292,090
=========== ========== ========== =========
</TABLE>
At June 30, 1995, the World Governments Series had sufficient cash and/or secu-
rities at least equal to the value of the written options.
69
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
Written Option Transactions -- World Total Return Series
<TABLE>
<CAPTION>
1995 Calls 1995 Puts
-------------------------- --------------------------
Principal Amounts Principal Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Outstanding, beginning
of period --
Options written --
Australian Dollars..... 45 $ 345 214 $ 2,561
British Pounds......... 48 828 45 828
Canadian Dollars....... -- -- 69 352
Deutsche Marks......... 938 3,419 792 5,044
Deutsche Marks/British
Pounds................ 166 1,079 -- --
Italian Lire/Deutsche
Marks................. 108,285 991 57,033 427
Japanese Yen........... 44,117 13,755 71,289 8,606
Spanish
Pesetas/Deutsche
Marks................. -- -- 3,876 256
Options terminated in
closing transactions --
Australian Dollars..... (45) (345) (109) (1,309)
British Pounds......... (48) (828) -- --
Canadian Dollars....... -- -- (69) (352)
Deutsche Marks......... (166) (821) (113) (946)
Deutsche Marks/British
Pounds................ (166) (1,079) -- --
Italian Lire/Deutsche
Marks................. -- -- (57,033) (427)
Japanese Yen........... (23,879) (6,285) (54,043) (5,789)
Spanish
Pesetas/Deutsche
Marks................. -- -- (3,876) (254)
Options exercised --
Deutsche Marks......... (87) (280) -- --
Options expired --
Deutsche Marks......... (685) (2,318) -- --
Italian Lire/Deutsche
Marks................. (108,285) (991) -- --
-------- ------- ------- -------
Outstanding, end of
period................ 20,238 $ 7,470 18,075 $ 8,997
======== ======= ======= =======
Options outstanding at
end of period consist
of --
Australian Dollars..... -- $ -- 105 $ 1,252
======== ======= ======= =======
British Pounds......... -- $ -- 45 $ 828
======== ======= ======= =======
Deutsche Marks......... -- $ -- 679 $ 4,100
======== ======= ======= =======
Japanese Yen........... 20,238 $ 7,470 17,246 $ 2,817
======== ======= ======= =======
</TABLE>
At June 30, 1995, the World Total Return Series had sufficient cash and/or
securities at least equal to the value of the written options.
70
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
Forward Foreign Currency Exchange Contracts
<TABLE>
<CAPTION>
Net Unrealized
Contracts to Contracts at Appreciation
Series Transaction Settlement Date Deliver/Receive In Exchange for Value (Depreciation)
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Capital Appreciation
Series Sales 7/10/95 ESP 263,940,000 $ 1,971,541 $ 2,181,992 $ (210,451)
7/03/95 - 10/03/95 FIM 26,702,480 6,188,677 6,254,989 (66,312)
8/02/95 - 8/03/95 SEK 47,112,800 6,403,529 6,468,228 (64,699)
------------ ------------ -----------
$ 14,563,747 $ 14,905,209 $ (341,462)
============ ============ ===========
Purchases 7/10/95 ESP 263,940,000 $ 2,020,516 $ 2,181,992 $ 161,476
7/03/95 FIM 13,351,240 3,148,878 3,127,555 (21,323)
------------ ------------ -----------
$ 5,169,394 $ 5,309,547 $ 140,153
============ ============ ===========
World Asset Allocation
Series Sales 7/05/95 - 9/27/95 AUD 460,381 $ 331,762 $ 325,978 $ 5,784
8/02/95 CAD 30,069 21,747 21,882 (135)
7/10/95 CHF 57,588 60,417 58,812 1,605
7/05/95 - 9/29/95 DEM 4,138,775 2,930,664 2,999,562 (68,898)
7/07/95 DKK 407,236 74,000 75,510 (1,510)
7/05/95 - 7/21/95 ESP 37,723,851 290,276 311,900 (21,624)
7/10/95 - 9/28/95 FRF 613,620 121,786 126,510 (4,724)
7/07/95 - 8/25/95 GBP 137,822 219,033 219,408 (375)
8/04/95 IEP 15,387 25,081 25,223 (142)
9/11/95 ITL 137,813,949 83,466 83,653 (187)
7/05/95 - 8/25/95 JPY 42,723,139 462,836 505,619 (42,783)
7/10/95 - 9/26/95 NLG 226,717 141,161 147,046 (5,885)
7/24/95 - 9/12/95 NZD 109,515 72,656 72,814 (158)
7/10/95 - 8/16/95 SEK 1,676,385 222,758 230,445 (7,687)
------------ ------------ -----------
$ 5,057,643 $ 5,204,362 $ (146,719)
============ ============ ===========
Purchases 7/05/95 - 8/25/95 AUD 30,283 $ 22,275 $ 21,487 $ (788)
7/07/95 - 8/01/95 CAD 34,612 24,782 25,199 417
7/10/95 CHF 118,747 102,122 103,328 1,206
7/05/95 - 9/28/95 DEM 2,185,796 1,574,028 1,583,562 9,534
9/08/95 - 9/28/95 DKK 786,431 144,215 145,594 1,379
7/05/95 - 7/10/95 ESP 26,431,542 210,930 218,604 7,674
7/10/95 - 9/29/95 FRF 218,128 43,399 44,967 1,568
8/10/95 - 8/25/95 GBP 45,601 71,795 72,549 754
8/04/95 IEP 1,076 1,726 1,764 38
9/11/95 - 9/14/95 ITL 113,069,379 67,672 68,633 961
7/05/95 - 8/14/95 JPY 13,516,109 159,895 159,873 (22)
9/08/95 - 9/15/95 NZD 106,329 69,989 70,650 661
7/13/95 - 8/16/95 SEK 368,171 49,831 50,519 688
------------ ------------ -----------
$ 2,542,659 $ 2,566,729 $ 24,070
============ ============ ===========
World Governments Series Sales 7/05/95 - 9/27/95 AUD 23,464,623 $ 17,025,508 $ 16,629,741 $ 395,767
8/01/95 - 8/02/95 CAD 10,514,844 7,627,270 7,651,843 (24,573)
7/10/95 CHF 19,920 17,317 17,334 (17)
7/05/95 - 9/29/95 DEM 215,992,992 155,508,647 156,451,010 (942,363)
7/07/95 - 10/06/95 DKK 91,971,335 16,853,151 17,036,816 (183,665)
7/05/95 - 7/21/95 ESP 2,217,108,059 17,213,674 18,326,942 (1,113,268)
7/10/95 - 9/28/95 FRF 85,148,201 17,400,869 17,545,087 (144,218)
7/07/95 - 8/16/95 GBP 10,740,103 17,097,481 17,099,017 (1,536)
8/04/95 IEP 806,350 1,314,350 1,321,754 (7,404)
9/11/95 - 10/02/95 ITL 20,692,979,946 12,525,351 12,549,131 (23,780)
7/05/95 - 9/25/95 JPY 4,661,693,892 55,024,224 55,285,161 (260,937)
9/26/95 NLG 19,752,223 12,736,385 12,826,699 (90,314)
7/24/95 - 9/12/95 NZD 10,048,488 6,667,992 6,683,688 (15,696)
7/13/95 - 8/16/95 SEK 58,707,715 8,099,612 8,054,963 44,649
------------ ------------ -----------
$345,111,831 $347,479,186 $(2,367,355)
============ ============ ===========
</TABLE>
71
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
Forward Foreign Currency Exchange Contracts -- continued
<TABLE>
<CAPTION>
Net Unrealized
Contracts to Contracts at Appreciation
Series Transaction Settlement Date Deliver/Receive In Exchange for Value (Depreciation)
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
World Governments Series Purchases 7/05/95 - 8/25/95 AUD 6,479,895 $ 4,815,820 $ 4,599,424 $ (216,396)
8/01/95 CAD 2,829,241 2,051,527 2,058,932 7,405
7/10/95 - 8/02/95 CHF 12,418,920 11,066,993 10,827,414 (239,579)
7/05/95 - 10/06/95 DEM 220,991,786 159,091,532 160,164,458 1,072,926
7/07/95 - 9/28/95 DKK 92,787,752 17,108,146 17,192,213 84,067
7/05/95 - 7/10/95 ESP 1,444,731,724 11,296,265 11,947,339 651,074
7/10/95 - 9/29/95 FRF 47,897,874 9,601,265 9,868,897 267,632
7/07/95 - 8/25/95 GBP 8,365,599 13,219,113 13,314,260 95,147
9/11/95 - 9/14/95 ITL 13,932,800,060 8,339,724 8,457,210 117,486
7/05/95 - 9/22/95 JPY 6,478,733,641 78,142,460 76,852,796 (1,289,664)
7/24/95 - 9/15/95 NZD 9,574,030 6,342,745 6,370,786 28,041
7/13/95 - 8/16/95 SEK 58,707,715 7,950,957 8,054,963 104,006
------------ ------------ ----------
$329,026,547 $329,708,692 $ 682,145
============ ============ ==========
World Growth Series Sales 9/21/95 DEM 2,892,000 $ 2,073,119 $ 2,099,150 $ (26,031)
9/21/95 FRF 10,790,000 2,188,197 2,221,758 (33,561)
9/21/95 JPY 191,900,000 2,292,712 2,290,518 2,194
------------ ------------ ----------
$ 6,554,028 $ 6,611,426 $ (57,398)
============ ============ ==========
World Total Return
Series Sales 7/05/95 - 9/27/95 AUD 175,238 $ 126,204 $ 124,187 $ 2,017
8/02/95 CAD 68,292 49,390 49,698 (308)
7/10/95 CHF 156,402 137,992 136,094 1,898
7/05/95 - 9/29/95 DEM 1,933,921 1,384,612 1,400,985 (16,373)
7/07/95 - 10/06/95 DKK 702,585 128,744 130,147 (1,403)
7/05/95 - 7/21/95 ESP 20,937,034 168,120 172,992 (4,872)
7/10/96 - 12/27/95 FRF 1,641,557 336,568 337,981 (1,413)
7/05/95 - 8/25/95 GBP 187,685 298,209 298,738 (529)
9/11/95 - 10/02/95 ITL 234,101,419 141,687 141,988 (301)
7/05/95 - 9/25/95 JPY 62,019,067 726,948 735,373 (8,425)
9/26/95 NLG 154,503 99,625 100,331 (706)
7/24/95 - 9/12/95 NZD 128,272 85,170 85,320 (150)
7/13/95 - 8/16/95 SEK 666,572 92,032 91,476 556
------------ ------------ ----------
$ 3,775,301 $ 3,805,310 $ (30,009)
============ ============ ==========
Purchases 7/05/95 - 8/25/95 AUD 41,362 $ 30,070 $ 29,335 $ (735)
7/07/95 - 8/02/95 CAD 62,897 45,365 45,781 416
7/10/95 CHF 156,402 134,505 136,094 1,589
7/05/95 - 10/06/95 DEM 2,319,706 1,671,131 1,681,204 10,073
7/07/95 - 9/08/95 DKK 630,437 116,444 116,836 392
7/05/95 ESP 7,216,138 56,871 59,685 2,814
7/10/95 - 12/27/95 FRF 1,127,432 228,374 232,050 3,676
7/05/95 - 8/25/95 GBP 210,768 332,344 335,457 3,113
9/11/95 - 9/14/95 ITL 170,596,206 102,109 103,552 1,443
7/05/95 - 9/22/95 JPY 79,530,460 953,010 944,003 (9,007)
9/08/95 - 9/11/95 NZD 116,968 78,246 79,056 810
7/13/95 - 8/16/95 SEK 666,572 90,202 91,449 1,247
------------ ------------ ----------
$ 3,838,671 $ 3,854,502 $ 15,831
============ ============ ==========
</TABLE>
At June 30, 1995, forward foreign currency exchange contract purchases and
sales under master netting arrangements and closed forward foreign currency
exchange contracts, excluded above for the Capital Appreciation Series, World
Asset Allocation Series and World Governments Series, amounted to a net receiv-
able of $82,230, $6,971 and $240,978, respectively and amounted to a net pay-
able of $6,412 for the World Total Return Series.
At June 30, 1995, each Series had sufficient cash and/or securities to cover
any commitments under these contracts. See page 50 for an explanation of abbre-
viations used to indicate amounts shown in currencies other than the U.S. dol-
lar.
7. INDEXED SECURITIES
Indexed Securities -- Certain Series of the Trust invest in indexed securities
whose value may be linked to foreign securities, interest rates, commodities,
indices or other financial indicators. Indexed securities are fixed-income
securities whose proceeds at maturity
72
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
(principal-indexed securities) or interest rates (coupon-indexed securities)
rise and fall according to the change in one or more specified underlying indi-
ces. Indexed securities may be more volatile than the underlying instrument
itself. The following is a summary of such securities held at June 30, 1995.
<TABLE>
<CAPTION>
Unrealized
Series Description Index Principal Value Appreciation
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
World Asset Allocation
Series United Mexican States, "B", 2019 6-Month Libor Rate $250,000 $178,125 $18,750
</TABLE>
8. RESTRICTED SECURITIES
Each Series of the Trust is restricted from investing more than a certain
amount in securities which are subject to legal or contractual restrictions on
resale. Such restrictions range from between 0% and 15% of the Series' total
assets. At June 30, 1995, Capital Appreciation Series, Conservative Growth
Series, High Yield Series, Managed Sectors Series, Total Return Series, Utili-
ties Series, World Asset Allocation Series, World Growth Series and World Total
Return Series owned the following restricted securities (consisting of 0.00%,
0.97%, 8.87%, 0.15%, 4.48%, 1.27%, 1.91%, 2.65% and 2.00% of the net assets of
each Series, respectively) which may not be publicly sold without registration
under the Securities Act of 1933. The Trust does not have the right to demand
that such securities be registered. The value of these securities is determined
by valuations supplied by a pricing service or brokers or, if not available, in
good faith by or at the direction of the Trustees. Certain of these securities
may be offered and sold to "qualified institutional buyers" under Rule 144A of
the 1933 Act.
<TABLE>
<CAPTION>
Series Description Date of Acquisition Share/Par Amount Cost Value
--------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
Capital Appreciation Series Phar-Mor, Inc. 10/23/91 - 5/05/92 10,000 $ 290,000 $ 10,000
=========== ===========
Occidental Petroleum
Conservative Growth Series Corp. 2/11/93 20,500 $ 1,066,925 $ 1,168,500
Roche Holdings, Inc.,
0s, 2010 5/01/95 2,000,000 750,000 800,000
----------- -----------
$ 1,816,925 $ 1,968,500
=========== ===========
Alliant Techsystems,
High Yield Series 11.75s, 2003 3/07/95 600,000 $ 600,000 $ 642,000
Amerigas Partners L.P.,
10.125s, 2007 4/12/95 - 6/26/95 1,600,000 1,648,000 1,680,000
Arcadian Partners L.P.,
10.75s, 2005 5/03/93 - 5/03/95 1,050,000 1,048,043 1,057,875
Day International Group,
Inc., 11.125s, 2005 5/26/95 - 6/16/95 400,000 399,750 402,000
Dominicks Finer Foods,
10.875s, 2005 4/27/95 - 6/24/95 1,300,000 1,311,000 1,314,625
Exide Corp., 10s, 2005 4/21/95 - 6/26/95 1,300,000 1,323,250 1,335,750
Four Seasons Hotels,
Inc., 9.125s, 2000 6/23/93 1,100,000 1,079,217 1,082,125
Maritime Group Ltd.,
13.5s, 1997 2/09/94 442,524 400,000 216,837
Merrill Lynch Mortgage
Investors, Inc., 8.227s,
2022 6/22/94 500,000 346,562 380,950
Polymer Group, Inc.,
12.75s, 2002 5/15/95 1,750,000 1,769,375 1,767,500
Pronet, 11.875s, 2005 6/12/95 750,000 744,622 753,750
Remington Arms, Inc.,
10s, 2003 11/19/93 350,000 347,812 329,000
Sam Houston Race Park,
Inc., 11.75s, 1999 6/23/93 - 6/08/94 300,000 274,400 75,000
Thermadyne Industries
Holdings Corp., "B" 4/12/89 14,400 10,368 144
Weirton Steel Corp.,
10.75s, 2005 6/05/95 600,000 591,027 586,500
----------- -----------
$11,893,426 $11,624,056
=========== ===========
Managed Sectors Series Phar-Mor, Inc. 10/23/91 - 5/05/92 10,000 $ 290,000 $ 10,000
=========== ===========
Avenor, Inc., 9.375s,
Total Return Series 2004 7/27/94 1,500,000 $ 1,642,860 $ 1,635,105
Banco Nacional de
Mexico, 7s, 1999 12/01/92 1,000,000 1,000,000 695,000
Catellus Development
Corp., Cv. 10/29/93 30,000 1,500,000 1,230,000
Cemex, 4.25s, 1997 9/24/94 2,000,000 2,000,000 1,537,500
Ciba Geigy Corp., 6.25s,
2016 11/12/91 - 1/22/92 500,000 728,000 455,000
Cointel, 7%, Cv. 2/24/94 109,200 7,862,400 5,378,100
Financiera Energetica
Nacional S.A., 6.625s,
1996 3/22/95 1,680,000 1,612,800 1,671,600
Henderson Land
Development Co. Ltd.,
4s, 1996 10/20/93 2,500,000 2,500,000 2,490,625
Hidroelectrica Alicura,
8.375s, 1999 4/08/94 2,200,000 2,057,625 1,859,000
Jet Equipment, 10.91s,
2006 4/07/95 1,996,985 2,116,365 2,197,523
Jet Equipment, 10.69s,
2015 4/07/95 1,000,000 1,000,000 1,080,870
McDermott International,
Inc., Cv. 6/28/93 40,000 2,000,000 1,770,000
Merrill Lynch Home
Equity Loan, 91-1, "B",
9.3s, 2016 12/16/92 1,000,000 1,003,750 1,015,290
Merrill Lynch Mortgage
Investors, Inc., 94-M1,
8.227s, 2022 6/22/94 514,000 356,266 391,617
Occidental Petroleum
Corp., $3.875, Cv. 2/11/93 30,000 1,500,000 1,710,000
Oleoducto Cent S.A.,
9.35s, 2005 6/21/95 1,200,000 1,200,000 1,200,000
Owens Corning
Fiberglass, 9.9s, 2015 3/07/95 800,000 800,000 887,750
Qantas Airways Ltd.,
7.5s, 2003 6/24/93 2,180,000 2,175,854 2,205,005
</TABLE>
73
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
RESTRICTED SECURITIES -- continued
<TABLE>
<CAPTION>
Series Description Date of Acquisition Share/Par Amount Cost
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Return
Series --
continued Roche Holdings, Inc., 0s, 2008 9/16/93 12,000,000 $ 5,934,240
Roche Holdings, Inc., 0s, 2010 4/12/94 6,127,000 2,182,927
Telecomm Malaysia Berhad, 4s, 2004 9/22/94 2,000,000 2,000,000
Williams Cos., Inc., $3.50, Cv. 5/01/95 15,000 750,000
-----------
$43,923,087
===========
Utilities Series Central Costanera, ADR 12/17/93 10,800 $ 244,925
Hidroelectrica Alicura, 8.375s, 1999 4/08/94 25,000 23,531
-----------
$ 268,456
===========
World Asset
Allocation
Series Hornbach Baumarkt AG 12/23/94 - 6/12/95 170 $ 98,849
Korea Mobile Telecommunications, ADR 3/04/95 - 5/16/95 1,400 40,623
Takare PLC 4/08/92 - 7/09/92 31,000 101,939
-----------
$ 241,411
===========
World Growth
Series Ashanti Goldfields Co. Ltd., GDR 4/27/94 - 1/23/95 4,870 $ 98,597
Bangladesh Fund 11/14/94 - 11/16/94 9,000 98,970
Benpres Holdings Corp., GDR 10/25/94 10,000 108,000
CESP, ADR 2/17/94 - 6/10/94 20,700 317,712
Cadenalco Gran Cadena de Almacenes Colombia, ADR 12/19/94 - 6/20/95 7,500 128,400
Carulla & Cia S.A., ADR 11/30/94 2,000 35,000
Cementos Diamante S.A., ADR 7/26/94 - 9/09/94 5,800 113,825
Corp. Financiera del Valle S.A., ADR 12/14/94 - 3/14/95 4,543 99,312
Corporacion Geo S.A. de C.V., ADR 7/27/94 - 9/09/94 6,700 125,750
Eczactibasi Yapi 6/06/95 665,000 100,418
GVC Corp., GDR 5/24/95 3,600 59,850
Gujarat Narmada Valley Fertilizer, GDR 10/06/94 9,000 114,750
Komercni Banka AS 6/29/95 7,100 124,250
Korea Europe Fund Ltd. 11/07/94 - 12/30/94 10 44,125
Korea Mobile Telecommunications 3/31/95 8,800 229,005
Land & General Berhad, 4.5s, 2004 6/01/95 70,000 77,000
Mirgor Sacifia, ADR 10/20/94 - 5/15/95 21,000 124,000
NEPC Micon, GDR 11/03/94 39,000 124,020
Portucel Industrial Empresa Productoro de Cellulosa S.A. 6/30/95 10,400 74,100
Rhodia-Ster S.A., GDR 12/19/94 - 6/19/95 24,300 345,000
Shriram Industrial Enterprises Ltd., GDR 12/14/94 9,000 131,700
South Indian Viscose Ltd., GDR 7/28/94 - 6/14/95 6,500 124,150
Teco Electric & Machinery Ltd., 2.75s, 2004 11/04/94 - 2/06/95 80,000 76,100
Tung Ho Steel Enterprise Corp., GDR 9/09/94 - 6/16/95 11,811 181,792
United Micro Electric, 1.25s, 2004 6/09/95 18,000 31,050
Usiminas Siderurgicas, ADR 9/20/94 - 6/16/95 36,400 499,503
-----------
$ 3,586,379
===========
World Total
Return Series Central Costanera, ADR 12/17/93 400 10,500
Hornbach Baumarkt AG 5/19/95 25 15,316
Roche Holdings, Inc., 0s, 2010 12/05/94 - 6/27/95 41,000 14,778
Takare PLC 4/08/92 - 7/09/92 6,500 21,675
Woolworth Ltd., ADR 7/12/93 2,860 61,399
-----------
$ 123,668
===========
<CAPTION>
Series Value
---------------------------------------------------------------------------------------------------------------------------
<S> <C>
Total Return
Series --
continued $ 8,070,000
2,450,800
1,915,000
920,625
-----------
$42,766,410
===========
Utilities Series $ 334,800
21,125
-----------
$ 355,925
===========
World Asset
Allocation
Series $ 115,014
49,882
95,279
-----------
$ 260,175
===========
World Growth
Series $ 112,497
87,750
82,500
232,875
155,625
35,000
166,750
73,826
77,050
109,880
54,900
84,420
124,250
35,625
313,544
92,750
42,000
83,850
74,100
334,125
84,375
71,500
74,200
153,543
30,690
409,500
-----------
$ 3,197,125
===========
World Total
Return Series 12,400
16,913
16,400
19,977
58,630
-----------
$ 124,320
===========
</TABLE>
74
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Trustees and Shareholders of MFS/Sun Life Series Trust:
We have audited the accompanying statements of assets and liabilities, includ-
ing the portfolios of investments, of MFS/Sun Life Series Trust as of June 30,
1995, the related statements of operations for the six months then ended, the
statement of changes in net assets for the six months then ended and the year
ended December 31, 1994, and the financial highlights for the six months ended
June 30, 1995 and for each of the years in the five-year period ended December
31, 1994. These financial statements and financial highlights are the responsi-
bility of the Trust's management. Our responsibility is to express an opinion
on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing stan-
dards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial high-
lights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of the securities owned at
June 30, 1995 by correspondence with the custodian and brokers; where replies
were not received from brokers, we performed other auditing procedures. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of the Trust at June
30, 1995, the results of its operations, the changes in its net assets, and its
financial highlights for the respective stated periods in conformity with gen-
erally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
August 4, 1995
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The MFS/Sun Life Series Trust Semiannual Report is prepared for the general
information of contract owners. It is authorized for distribution to prospec-
tive purchasers only when preceded or accompanied by an effective prospectus.
75
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MFS/SUN LIFE SERIES TRUST
500 Boylston Street, Boston, MA 02116-3741
TRUSTEES
JOHN D. McNEIL,* Chairman and Trustee
Chairman and Director, Sun Life Assurance Company of Canada,
Toronto, Ontario, Canada
SAMUEL ADAMS, Trustee
Partner, Warner & Stackpole,
Boston, Massachusetts
GEOFFREY CROFTS, Trustee
Professor Emeritus, University of Hartford,
Hartford, Connecticut
DAVID D. HORN,* Trustee
Senior Vice President and General Manager,
Sun Life Assurance Company of Canada,
Wellesley Hills, Massachusetts
GARTH MARSTON, Trustee
Chairman, Retired, The Provident Institution for Savings,
Boston, Massachusetts
DERWYN F. PHILLIPS, Trustee
Vice Chairman, Retired, The Gillette Company,
Boston, Massachusetts
OFFICERS
W. THOMAS LONDON,+ Treasurer
JAMES O. YOST,+ Assistant Treasurer
BONNIE S. ANGUS,* Secretary and Clerk
INVESTMENT ADVISER
Massachusetts Financial Services Company
500 Boylston Street, Boston, MA 02116-3741
DISTRIBUTOR
Clarendon Insurance Agency, Inc.
500 Boylston Street, Boston, MA 02116-3741
CUSTODIAN AND DIVIDEND DISBURSING AGENT
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110-2875
SHAREHOLDER SERVICING AGENT
MFS Service Center, Inc.
P.O. Box 1024, Boston, MA 02103-9986
Call toll free: 1-800-752-7215
AUDITORS
Deloitte & Touche llp
125 Summer Street, Boston, MA 02110-1616
LEGAL COUNSEL
Covington & Burling
1201 Pennsylvania Avenue, N.W.
P.O. Box 7566
Washington, D.C. 20044-7566
PORTFOLIO MANAGERS+
STEPHEN C. BRYANT
DAVID M. CALABRO
(on behalf of the
MFS Total Return Team)
JAMES J. CALMAS
MITCHELL D. DYNAN
KENNETH J. ENRIGHT
GEOFFREY L. KURINSKY
JOHN D. LAUPHEIMER, JR.
DAVID R. MANNHEIM
PAUL M. McMAHON
KEVIN R. PARKE (on behalf
of the MFS Research Analysts)
BERNARD SCOZZAFAVA
MAURA A. SHAUGHNESSY
TONI Y. SHIMURA
FREDERICK J. SIMMONS
JAMES T. SWANSON (on behalf of
the MFS World Asset Alloca-
tion Committee)
*Affiliated with the Sponsor.
+Affiliated with the Investment Adviser.
SUN-3 8/95 147M
[ART]
SEMIANNUAL REPORT . JUNE 30, 1995
Capital Appreciation Series
Conservative Growth Series
Emerging Growth Series
Government Securities Series
High Yield Series
Managed Sectors Series
Money Market Series
Research Series
Total Return Series
Utilities Series
World Asset Allocation Series
World Governments Series
World Growth Series
World Total Return Series
Zero Coupon Series
