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MFS/SUN LIFE SERIES TRUST
500 Boylston Street, Boston, MA 02116-3741
TRUSTEES
JOHN D. McNEIL,* Chairman and Trustee
Chairman, 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 02110-1617
LEGAL COUNSEL
Covington & Burling
1201 Pennsylvania Avenue, N.W.
P.O. Box 7566
Washington, D.C. 20044-7566
PORTFOLIO MANAGERS+
JOHN W. BALLEN KEVIN R. PARKE
ARNAB K. BANERJI ATUL PATEL
STEPHEN C. BRYANT JUNE SCOTT
DAVID M. CALABRO BERNARD SCOZZAFAVA
JAMES J. CALMAS MAURA A. SHAUGHNESSY
MITCHELL D. DYNAN TONI Y. SHIMURA
KENNETH J. ENRIGHT FREDERICK J. SIMMONS
RICHARD O. HAWKINS JAMES T. SWANSON
GEOFFREY L. KURINSKY (on behalf of the MFS World
JOHN D. LAUPHEIMER, JR. Asset Allocation Committee)
DAVID R. MANNHEIM TONY THOMSON
PAUL M. McMAHON The Research Committee
IAN K. WRIGHT
* Affiliated with the Sponsor.
+ Affiliated with the Investment Adviser. SUN-2 8/96 158 M
MFS/SUN LIFE SERIES TRUST [arrowhead graphic]
SEMIANNUAL REPORT * JUNE 30, 1996
Capital Appreciation Series
Conservative Growth Series
Emerging Growth Series
Government Securities Series
High Yield Series
Managed Sectors Series
MFS/Foreign & Colonial Emerging
Markets Equity Series
MFS/Foreign & Colonial International
Growth Series
MFS/Foreign & Colonial International
Growth and Income Series
Money Market Series
Research Series
Total Return Series
Utilities Series
Value Series
World Asset Allocation Series
World Governments Series
World Growth Series
World Total Return Series
Zero Coupon Series 2000 Portfolio
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DEAR CONTRACT OWNERS:
Rising global liquidity has underpinned international equity markets over the
past six months, and equities so far have ignored the "growth scare" that has
affected most bond markets in 1996. Low interest rates in Europe and Japan and
a growing money supply, plus signs of economic recovery and accelerating
corporate earnings in those areas, reinforced the positive message coming from
the U.S. equity market. Investors in these markets believe that the same
trends are at work as in the United States, but that the international markets
are in an earlier phase of their cycle. For the six months ended June 30,
1996, the Standard & Poor's 500 Composite Index (the S&P 500), a popular,
unmanaged index of common stock performance, returned 10.09%. All of the
equity Series available under your contract achieved positive results.
U.S. Outlook
Real (inflation-adjusted) economic growth in the first quarter of 1996 was
2.3% on an annualized basis, and it appears that second-quarter growth could
be even stronger. Thus, real growth in gross domestic product has started the
year at a rate exceeding our expectations. While we continue to believe that
growth from quarter to quarter will be uneven, it is now our expectation that
growth for all of 1996 could exceed 2.5%. Although individual consumers appear
to be carrying an excessive debt load, the consumer sector itself, which
represents two-thirds of the economy, continues to be impressive as the auto
and housing markets remain resilient. Consumer spending has also been
positively impacted by widespread job growth. At the same time, however, the
economies of Europe and Japan continue to be in the doldrums, weakening U.S.
export markets while subduing the capital spending plans of American
corporations. Finally, due to the pickup in economic activity and increasing
job growth, it appears that inflation may accelerate slightly this year, and
the Federal Reserve Board is expected to continue its diligent anti-
inflationary stance.
Global Outlook
The first half of 1996 has seen a continuation of the positive performance of
global equity markets exhibited in 1995. Positive local currency returns were
generated throughout the world. We believe that the equity markets will
continue to be fundamentally driven, although the economic outlook is
uncertain, with the strength of the U.S. economy unclear, Japan starting to
show more meaningful signs of recovery, and Europe's recovery still in its
early stages. Lower interest rates, particularly in Europe and Japan, have
helped support strong equity markets. While we believe that interest rates are
unlikely to fall further, a subdued global inflation outlook could mean that
rates rise little from current levels, which should help support current
equity market valuations. Therefore, for the remainder of 1996, we believe
corporate earnings growth will be the key to further stock market gains.
Bond Markets
In the bond markets, persistent signs of economic weakness led to decreases in
short-term interest rates by the Federal Reserve in late 1995 and early 1996.
However, should signs of economic growth and, particularly, of higher
inflation continue, we would expect the Fed to maintain its anti-inflationary
stance. In the beginning of the year, bond markets were trading in a narrow
range, as investors shifted between concern about the lack of a budget
resolution in Washington and hopes that sluggish economic reports and low
inflation might lead to lower interest rates. Later, fixed-income markets
began reacting to conflicting signals regarding the strength of the economy
with more-volatile trading patterns marked by an upward bias in interest
rates. Interest rates may move even higher over the coming months, but we
believe the current rise in bond yields is reaching a point where fixed-income
markets are becoming attractively valued.
In world bond markets, non-U.S. bonds, measured in local currency terms,
continued to outperform U.S. bonds during the period. The best performance was
within the higher-yielding European markets (Italy, Spain, and Sweden).
Virtually all the yield curves within these markets steepened dramatically over
the period as most European central banks lowered official interest rates due to
continued slow growth and low inflation. Within the dollar bloc, Canada and
Australia also overperformed the United States, while New Zealand suffered
underperformance due to political concerns and a pickup in economic growth.
Looking forward, we believe the main issue is whether the recent trends of
rising interest rates in most markets and a stronger dollar will remain intact.
The case for a continuation of these trends rests primarily on accelerating
world growth, led by a buoyant U.S. economy. Indicators which we feel could lead
to a further rise in interest rates include the higher-than- expected growth
seen in the United States so far this year, the rebound of growth in Japan,
signs of a rebound in Germany, and strong growth among emerging economies.
However, in our view, any further rise in yields from current levels could be
less dramatic than that experienced so far this year.
Stock Market
While we do not expect the U.S. stock market to match the extraordinary
performance of 1995, we continue to be positive about the equity market this
year. Although we believe the equity market represents fair value at current
levels, the expected slowdown in the growth of corporate earnings and the
increases in interest rates experienced so far this year raise near-term
concerns. Further increases in interest rates, and an acceleration of
inflation coupled with an additional slowdown in corporate earnings growth,
could have a negative effect on the stock market. However, to the extent that
some earnings disappointments are taken as a sign that the economy is not
overheating, this may prove beneficial for the longer-term health of the
equity market. We continue to believe that many of the technology-driven
productivity gains that U.S. companies have made in recent years will continue
to enhance corporate America's competitiveness and profitability. Therefore,
while we have some near-term concerns, we remain quite constructive on the
long-term viability of the equity market.
A discussion of performance and the current investment strategy for each of
the series is presented here and on the following pages. We appreciate your
support and welcome any questions or comments you may have.
On behalf of the Board of Trustees,
/s/John D. McNeil
John D. McNeil
Chairman
July 10, 1996
CAPITAL APPRECIATION SERIES
For the six months ended June 30, 1996, the Series provided a total return of
12.5%. Groups that added to performance during this period include lodging,
transportation, and some sectors of the technology industry. In lodging, hotel
franchise companies such as HFS, Inc. and Promus Hotels significantly
overperformed the market because of the strong demand and the tight supply for
hotel rooms which has led to higher hotel rates. Two areas of the Series that
created a drag on performance were medical services stocks such as health
maintenance organizations and electronic semiconductor companies.
The Series' largest segment remains technology, which we believe will continue
to benefit from strong spending by corporations focusing on increased
productivity. Other large weightings include leisure, which includes
entertainment and lodging.
CONSERVATIVE GROWTH SERIES
For the six months ended June 30, 1996, the Series experienced a total return
of 10.45%. The Series follows a conservative growth investment policy. We
attempt to structure the portfolio with stocks which we believe possess
modestly above-average earnings growth prospects relative to the S&P 500. We
also attempt to maintain an overall conservative investment posture by
focusing on companies with moderately below-average price-to-earnings ratios
relative to the S&P 500. In addition, we concentrate on large-capitalization,
well-established, recognized corporations. This is a long-term investment
strategy unaffected by our short-term market outlook.
The Series is essentially fully invested, which is our long-term policy, as we
believe that the long-term returns of the stock market outweigh its normal
fluctuations. At present, the Series is positioned with overweightings in
financial services, where we find many strong growth companies selling at
substantial discounts to the market, and industrial goods and services,
particularly in the aerospace and defense industry. We are underweighted in
basic materials, which we feel do not have a strong enough demand to offset high
capacity growth, and in utilities, where we see little growth and increased
competition.
Despite the long duration of the current economic upturn, we look forward to
continued economic growth. The combination of low short-term interest rates
and a vigilant long-term bond market leads us to believe the economy will
unfold in a slow-growth, low-inflation pattern. This has two implications for
the equity market. First, the valuation levels of the market, while high
relative to periods of higher inflation, should be sustainable. Second, profit
growth could slow relative to last year's very healthy pace. We feel that the
most important factor in portfolio performance will be the earnings
performance of individual companies.
Looking forward, we see a market where sector or industry trends are less
important than individual company earnings. We expect this to be our primary
focus for the rest of 1996.
EMERGING GROWTH SERIES
For the six months ended June 30, 1996, the Series provided a total return of
14.86%. The Series' performance has benefited from the strong appreciation in
the stock prices of many of its holdings in the technology and consumer
sectors. The technology sector started the year with very poor performance as
investors worried about the slowdown in this sector's earnings growth versus
1995's, which saw very strong earnings growth of 50%. However, once investors
became accustomed to the fact that 1996 earnings for the technology sector
could still be in a range of 25% to 30%, and that this growth would appear to
be strong versus corporate America as a whole, the sector rebounded strongly.
Consumer stocks, which were some of the most disappointing in terms of
earnings and stock performance in 1995, rebounded smartly in the first half of
1996. One sector which has not performed well as yet for the Series in 1996 is
health care. Perhaps because of the strength in other areas of the market,
many of our health care companies, in spite of strong earnings growth, lagged
the general market.
The performance of our consumer-oriented stocks has been particularly helpful.
HFS Inc., the nation's largest franchiser of hotels and real estate companies,
saw the price of its stock appreciate almost 50% as strong earnings gains and
acquisitions such as Coldwell Banker appeared to assure investors of its
future growth prospects.
Several of the Series' retail and restaurant stocks rebounded dramatically based
on strong consumer sentiment. Applebee's, the nation's largest franchiser of
casual restaurants, appreciated substantially as strong earnings were reported
from the first quarter. Similarly, Gymboree, perhaps the retailer
best-positioned to serve the lucrative children's clothing niche, soared almost
100% from depressed levels as first-quarter earnings were very strong.
While the Series' technology stocks had, on average, mixed results, the Series
was fortunately overweighted in software and networking stocks relative to
computer systems and semiconductors. Stocks of software and networking companies
such as Oracle and Cisco responded positively to strong earnings reports.
Meanwhile, an excess of inventories held by semiconductor manufacturers'
customers has been a drag on earnings for this sector so far this year. While we
expect this overhang to dissipate, other investors have aggressively sold their
positions and depressed the stocks.
We have been surprised that our health care stocks have not performed better.
United Healthcare, the largest managed health care company in the nation, has
been a particularly poor performer. Despite reporting strong earnings versus
last year and maintaining its position as a dominant force in the sector, the
stock is down for the year. We expect the health maintenance organization (HMO)
companies to perform better by the end of the year and have recently added to
our holdings in this area with such stocks as Healthsource, which operates HMOs
in New England, the Midwest, and the Southeast. Investing in small or emerging
growth companies involves greater risk than is customarily associated with
more-established companies.
GOVERNMENT SECURITIES SERIES
For the six months ended June 30, 1996, the Series provided a total return of
- -2.46%. This compares to a return of -1.04% for the Lehman Brothers
Government/Mortgage Index, an unmanaged index comprised of Treasuries,
agencies, and mortgage-backed securities. The difference in performance was
due primarily to the Series' longer duration during the significant market
selloff in early 1996.
We continue to be surprised by the strength of the U.S. economy. Growth in
gross domestic product in the second quarter could be greater than 4%, led by
strong housing and auto industries. Employment growth continues at a brisk
pace and has been above expectations for the past five months. Wage pressures,
therefore, continue to grow among many industry sectors. Foreign economies,
notably those of Germany and Japan, are starting to rebound off depressed
levels.
The Series is currently positioned for stable to rising yields in the near term.
The possibility of the Federal Reserve's increasing interest rates appears much
greater today than most market participants had anticipated earlier in the year.
The Series' duration (a measure of interest-rate sensitivity) is 10% lower than
the appropriate index (Lehman Government/ Mortgage Index) and is focused on
securities which add incremental yield. Cash positions remain at less than 5%.
About 65% of the Series is held in U.S. Treasury and agency debentures; these
issues currently yield between 6.4% and 7.6%. Issues are distributed across the
entire maturity spectrum. Agency issues typically add between 0.25% and 0.38% in
incremental yield above comparable U.S. Treasury issues. The other 35% of the
Series is held in mortgage-backed pass-through certificates. Issues in the
Series are held for both their yield characteristics and risk protection. Both
30-year and 15-year issues are currently represented, with yields that average
1.25% above comparable Treasury issues. The issues have stable prepayment rates,
which should make the certificates move in a predictable fashion with their
Treasury counterparts. Should we become more constructive on the market, the
Series will decrease its allocation to mortgage securities and increase its
allocation to 5- and 10-year Treasury issues. Treasuries are guaranteed by the
U.S. government but not investments in the Series.
HIGH YIELD SERIES
During the first six months of the year, economic growth was stronger than
generally anticipated, causing interest rates to rise. While most fixed-income
markets realized losses during this period, the high-yield market posted a
modest positive total return. Strong cash inflows into high-yield mutual
funds, along with increased crossover buying from pension funds and insurance
companies, helped to support high-yield bond prices. Overall credit
fundamentals improved due to the pickup in economic growth and, as a result,
the spread between the yield on high-yield bonds and Treasury securities
narrowed to 3.45% from 4.20% at the beginning of the year.
Based on our outlook for slowing economic growth, the Series began the year
defensively positioned. Throughout the period, however, we reduced our
overweighted positions in less economically sensitive industries such as media
and supermarkets. We believe this shift toward market weightings was appropriate
given the recent strength in the economy, but we continue to avoid lower-tier
credits this late in the current economic cycle.
The Series benefited from its overweighted positions in the gaming and energy
sectors. The decline in new regions legalizing gaming has sparked consolidation
in the casino industry by well-capitalized companies. The severe winter weather
caused oil and natural gas inventories to decline significantly, which has
resulted in a prolonged rally in energy prices. We reduced our exposure to the
paging industry due to slowing subscriber growth and increased competition. We
continue to look for companies with good growth potential, such as Teleport
Communications in the telecommunication sector, as well as companies which
continue to repay debt and improve their balance sheets, like USG, the largest
domestic producer of gypsum wallboard.
MANAGED SECTORS SERIES
For the six months ended June 30, 1996, the Series experienced a total return
of 7.77%. During the past six months, the Series' exposure to companies in the
oil services and retail industries, as well as selected technology holdings,
helped overall performance, as did investments in such companies as Promus
Hotels and Telephone & Data Systems. Some of this positive impact was offset
by corrections in a number of technology stocks, as well as our position in
United Healthcare.
Going forward, we believe the outlook for oil services and individual retail
holdings continues to look positive. The technology weighting has been reduced
somewhat but remains a large percentage of assets, with core holdings in Intel,
Oracle, and Electronic Arts. The Series has recently increased its positions in
two previously large positions, Harrah's Entertainment and Telephone & Data
Systems, as we believe they remain attractively valued. In addition, we have
begun to buy some positions in HMOs. Although this sector has woefully
underperformed over the past six months, with some companies reporting quarterly
earnings that have been below expectations, we believe the prospects for future
growth are well above those reflected in current valuations.
Overall, the breadth of the stock market has narrowed decidedly of late,
resulting in significantly higher volatility in share prices. Despite our
expectation of continued modest economic growth and a benign interest rate
environment, it appears that these favorable attributes have largely been
discounted by many industry sectors; thus, future gains in the stock market
could become more difficult to achieve. We continue to search for attractively
valued companies but recognize that maintaining a slightly more cautious outlook
may be the most prudent course of action over the near term.
MFS/FOREIGN & COLONIAL EMERGING MARKETS EQUITY SERIES
The Series, which commenced operations on June 5, 1996, seeks capital
appreciation through investing primarily in companies whose principal
activities are located in emerging market countries. The Series also has the
ability to invest up to 35% of its assets in lower-rated or unrated fixed-
income securities. We expect the Series to be well diversified at the country
level, with major industry weightings in telecommunications, banking, electric
utilities, food and beverages, and oil and gas, in such countries as Brazil,
Mexico, Malaysia, India, and South Africa. Within Asia, we are building up a
strong position in Hong Kong, which we believe will be re-rated upward as the
handover to China approaches in mid-1997. We are also positive on India
following the recent national elections due to strong earnings growth and
improving domestic liquidity.
Our largest position in Latin America is in Brazil. Interest rates have been
steadily easing and reforms are continuing, while the stock market is below its
level when Fernando Henrique Cardoso was elected president. We are also positive
on the smaller Latin American markets of Colombia and Peru. In Colombia,
political worries have overshadowed what we believe to be an improving inflation
environment and very attractive valuations. In other emerging markets, we find
Poland and Hungary attractive. The Polish economy is growing strongly, led by
exporters, and even though it has been one of the best-performing markets in the
world in 1996, shares with single-digit price-earnings multiples are still
available.
MFS/FOREIGN & COLONIAL INTERNATIONAL GROWTH SERIES
The Series, which commenced operations on June 3, 1996, seeks capital
appreciation through investing, under normal market conditions, at least 65%
of its assets in companies whose principal activities are located outside the
United States and which we believe offer above-average growth potential over
the long term. The Series seeks to capture this growth potential by investing
in a combination of asset classes encompassing foreign small-cap stocks,
foreign blue-chip stocks, and emerging market securities. Among countries
where the Series invests, we are positive on Japan where we expect Japanese
interest rates to remain low, which should provide support for equities. We
also expect to see a significant recovery in earnings. These developments,
together with continuing deregulation and restructuring, are expected to
benefit the small-capitalization asset class.
The United Kingdom market appears unlikely to make much progress for the rest
of the year as investors become increasingly concerned about the political
situation there. Small companies have strongly outperformed the large caps
since the beginning of the year, and we believe this trend will continue for
the remainder of the year, although we expect the degree of overperformance to
be somewhat lower.
We remain cautious on the outlook for continental Europe, where a low-growth,
low-inflation environment looks likely for the rest of the year. Consumer
confidence is low, with most countries experiencing high levels of unemployment,
job insecurity, and fiscal tightening as governments attempt to reform
inefficient state sectors and bring budget deficits in line with the Maastricht
criteria. In this environment, we believe that small, flexible companies in
niche businesses which are able to exploit any opportunities that do exist
should be able to outperform larger companies.
Emerging markets have shown better performance in 1996 after a generally poor
performance in 1994 and 1995. In Pakistan, for example, valuations are among the
cheapest in Asia, and we expect to see an economic recovery there in the next 12
months. In Brazil, interest rates have been easing steadily and reforms are
continuing, while the stock market is still below the level it was at when
Fernando Henrique Cardoso was elected president. We are also positive on the
smaller Latin American markets of Colombia and Peru. In Colombia, political
worries have overshadowed what we believe to be an improving inflation
environment and very attractive valuations. In Peru, an agreement has recently
been signed with the International Monetary Fund which we expect to help the
economy in the medium term. In other emerging markets, we find Poland and
Hungary attractive. The Polish economy is growing strongly, led by exporters. In
Hungary, companies have announced good results and reforms are beginning to take
effect, providing what we regard as interesting investment opportunities.
MFS/FOREIGN & COLONIAL INTERNATIONAL GROWTH AND INCOME SERIES
For the six months ended June 30, 1996, the Series provided a total return of
4.34%. The Series seeks capital appreciation and current income by investing
primarily in a combination of "blue-chip" and growth stocks plus fixed-income
investments of companies and issuers whose principal activities are located
outside the United States. Up to 10% of assets may be invested in emerging
market securities. We currently prefer international equities to international
bonds as we believe the synchronized pickup in economic growth among the "G7"
major industrialized nations (Canada, France, Germany, Italy, Japan, United
Kingdom, and United States) provides a more favorable environment for
equities.
Japan remains one of our favored areas within the equity portfolio, a stance
based on a significant earnings recovery and the likelihood of domestic
investors returning to the equity market. We expect interest rates to remain
low, which should provide support for equities and allow financial institutions
to rebuild their balance sheets. Within the Japanese portfolio, we are
underweighted in banks and automobiles and overweighted in the electrical and
electronics exporting sector, with holdings in Canon, Ricoh, and Kyocera, among
others. We are also overweighted in the Far East, which offers excellent
long-term growth prospects and, in the shorter term, could continue to benefit
from U.S. mutual fund flows.
The Series is underweighted in the United Kingdom and in the remainder of
Europe. In our opinion, the equity market in the United Kingdom is unlikely to
make much progress as investors become increasingly concerned with the prospect
of a general election within the next 12 months. We remain overweighted in some
cyclical areas such as building materials and construction, which we believe
have been heavily oversold. We are underweighted in financials, chemicals, and
pharmaceuticals.
Equity markets in the rest of Europe have rallied on the back of falling
interest rates so far this year. Although economic growth prospects appear
favorable, we believe growth will be capped by the tight fiscal requirements of
the Maastricht criteria, leading to closer economic and monetary ties among
European economies. We are overweighted in cyclicals such as Bayer and BASF, and
in auto companies such as Volvo and Volkswagen.
The fixed-income portion of the Series reflects our ongoing concerns about
further increases in interest rates. With growth in the United States straining
the availability of capacity and labor, we believe the bond market will likely
continue to discount the possibility of higher official interest rates. Despite
lower growth and inflation risks in Europe, interest rates there will likely, in
our opinion, be pulled higher by U.S. rates. In Japan, the current interest rate
levels already reflect expectations of rate increases, which we believe may not
occur for some time, so the bond market may better resist the general rise in
rates elsewhere.
Our bond holdings have been designed to limit interest rate sensitivity and to
focus on overperformance by countries such as Canada, Spain, and Sweden, where
inflation prospects appear to be improving and official rates may be falling.
A portion of our European currency exposure is hedged back into the U.S.
dollar, reflecting stronger U.S. growth and higher interest rate levels.
MONEY MARKET SERIES
Interest rates on short-term (30 days and less) debt instruments decreased
moderately during the past six months. During the same period, the Federal
Reserve lowered short-term interest rates by 25 basis points (0.25%). At the
present time, approximately 61% of the Series is invested in U.S. government
or government guaranteed issues, with the balance in corporate issues.
Furthermore, the average maturity of the Series on June 30, 1996 was 36 days,
versus 46 days on December 31, 1995. We continue to limit the Series'
investments to securities issued or guaranteed by the U.S. Treasury or agencies
or instrumentalities of the U.S. government, as well as to the highest quality
corporate issues, to help provide maximum security against credit risk.
We anticipate short-term interest rates remaining stable to slightly higher over
the next several months, and we expect to maintain relatively short maturities
in the portfolio.
RESEARCH SERIES
The Research Series reported a total return of 12.79% for the six months ended
June 30, 1996. The Series is currently overweighted in technology, leisure,
industrial goods and services, and retailing. Companies within each of these
sectors have been selected because of what we believe is their ability to
offer strong earnings potential within the current economic environment.
Within the technology sector, companies such as Microsoft, Sun Microsystems,
Compuware, and Glenayre Technologies have significantly contributed to the
Series' performance. In the leisure sector, the hotel industry continues to be
an attractive area. For example, HFS, Inc., both through recent acquisitions
and existing business growth, has demonstrated superior earnings potential and
remains one of the Series' top holdings.
The Series remains underweighted in utilities and communications mainly due to
an unfavorable economic outlook for some companies within the sector. The
utility industry, for example, is currently being impacted by increased
competition and lower growth prospects.
TOTAL RETURN SERIES
For the six months ended June 30, 1996, the Series provided a total return of
4.77%. Over this period, the U.S. stock market continued to climb steadily, with
equities benefiting from several factors including solid corporate profits,
modest inflation, and an increasing demand for stocks as investors poured money
into mutual funds. The bond market, on the other hand, has taken a different
course. Following a very prosperous 1995, bond prices have fallen dramatically
and yields have increased. We believe the factors responsible for this decline
include a stronger-than-expected U.S. economy, significant price increases in
many major commodities, and a shift in investor sentiment regarding the Federal
Reserve's inclination to raise short-term interest rates. However, we believe
that the worst is behind us for the year. After getting more defensive with our
bond holdings in February by reducing our duration, we have recently begun to
lengthen the portfolio, and the Series' mix of stocks and bonds has been fairly
consistent over the past six months. As of June 30, 1996, stocks and
convertibles made up 56.5% of the portfolio, bonds 32.5%, and cash 11%. This
positioning is somewhat conservative because our enthusiasm for equities
continues to be tempered by high valuations. On the bond side, continued
confusion about the direction of the economy may produce more volatility. Within
the equity area, we continue to find value in certain sectors such as energy,
financials, telephone utilities, and specialty chemicals. We believe
fundamentals are solid and valuations are fair in these areas.
UTILITIES SERIES
Due to the weakness in the bond market over the past several months, utility
stocks have underperformed the broader equity markets. During the six months
ended June 30, 1996, the Utilities Series provided a total return of 5.57%.
This compares to a 0.05% return for the Standard & Poor's Utility Index (the
S&P Utility Index), an unmanaged, market-value weighted, total return index of
all utility stocks in the S&P 500.
Currently, the Series remains overweighted in domestic utility stocks relative
to the S&P Utility Index. Although competition is emerging in this industry,
the pace of change is slower than had been anticipated. Along with solid cost
control, we could see relatively strong earnings from the industry for the
next several quarters. The Series is currently emphasizing electric utilities
that are taking steps to improve their competitive position. At this juncture,
we believe the mid-tier quality group offers much higher risk-adjusted returns
than the high-quality segment. Portland General and Cinergy, two of the
Series' largest holdings, fit these criteria.
The Series is underweighted in the regional Bell operating companies because
we believe most of the good news in terms of legislation and growth prospects
is reflected in the prices of the stocks, which have been strong performers so
far this year. Although stocks of the long-distance telephone companies have
been solid performers, the Series remains overweighted in these stocks because
we are seeing accelerating growth in long-distance volume and more reasonable
valuations. Two of the Series' largest holdings, AT&T and MCI Communications,
are in the long-distance telephone sector.
The Series is overweighted in gas utility stocks, focusing on pipeline companies
with expansion opportunities and/or those which are improving the performance of
their non-regulated subsidiaries. Panenergy Corp. and Coastal Corp. are two such
companies.
Currently, approximately 20% of the Series' total net assets are invested in
international utilities. We believe these investments may offer growth
opportunities and more favorable regulatory treatment than domestic utilities.
PowerGen, for example, the Series' largest international holding, offers solid
earnings and dividend growth.
Finally, Real Estate Investment Trusts (REITs) currently comprise about 9% of
the Series' total net assets. 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 storage, health care,
industrial-office, and hotel REITs.
VALUE SERIES
The Value Series commenced operations on June 3, 1996. The Series' investment
objective is to seek capital appreciation. Dividend income, if any, is
incidental to the investment objective. The Series' investment policy is to
invest primarily in common stocks, but when relative values make it appear
attractive, the Series may seek appreciation in other types of securities such
as fixed-income securities (which may be unrated), convertible bonds,
convertible preferred stocks, and warrants. The Series may also hold cash,
commercial paper, or other forms of debt securities. Our current outlook is
somewhat cautious. Given the current level of interest rates, as well as the
strong recent stock market performance, we believe it is increasingly
difficult to find good values in today's stock market. However, we do regard
the current business environment as very positive and expect good values to
return to the market later this year once interest rates resume their decline.
WORLD ASSET ALLOCATION SERIES
For the six months ended June 30, 1996, the Series provided a total return of
10.06%. This compares to the six-month returns for the following unmanaged
indices: 10.09% for the S&P 500; 4.67% for the Morgan Stanley Capital
International (MSCI) EAFE Index, an unmanaged index of international stocks;
- -1.21% for the Lehman Brothers Aggregate Bond Index, an unmanaged index of
government and corporate bonds including Treasury, agency, and corporate bond
issues and mortgage-backed securities; and -1.00% for the J.P. Morgan Non-
Dollar Index (an unmanaged index of international bonds). The Series has seen
significant changes in recent months, including a 10% shift away from U.S.
stocks and the liquidation of the sub-investment-grade bond position. The main
structure of the portfolio continues to reflect our conviction that
international stocks currently provide superior value relative to U.S. stocks,
while foreign bonds, particularly in strong European governments, appear to
provide better returns going forward than U.S. bonds.
Of particular interest to us are the relative growth rates expected from
countries around the world, and the price/earnings ratios of the equity
markets in those countries as they compare to similar investment opportunities
in the United States. At present, we believe country growth rates in Asia and
parts of Europe are likely to exceed those in the United States. Comparing
such value measures as price to current cash flow and price to projected
earnings, international stocks seem to us to offer better value. These and
other considerations, such as relative interest rates, are important factors
in our models, which look to favor the cheapest markets and which are designed
to diminish the overall risk of a portfolio of bonds and stocks.
Our holdings in U.S. equities range across a variety of industries and
incorporate both value and growth strategies. Recent additions to the
portfolio include Wisconsin Central Transportation, a railroad operator; Alco
Standard, a distributor of office and paper products; and St. Jude Medical, a
medical products company. Currently, our top three sectors are leisure, with
17.3% of the portfolio, industrial goods and services (12.1%), and financial
services (10.9%).
In international stocks, we have placed priority on companies we believe will
generate above-average earnings growth and which are trading at attractive
valuations, regardless of their home country. Currently, our international
stock holdings are 50% in Europe, 47% in Asia/Pacific, and 3% in the Americas.
The largest individual country exposures are Japan, the United Kingdom, and
Sweden. Roughly 20% of our international holdings are in emerging markets,
particularly those in Southeast Asia, while weightings in Asia/Pacific and the
Americas have increased slightly, with a corresponding decline in the European
weighting. We continue to find better opportunities in companies that can be
characterized as "steady growers," as opposed to cyclicals.
In the U.S. government bond sector, we believe that increasing signs of
stronger economic growth suggest that interest rates could continue moving
higher despite the significant rise in interest rates on U.S. Treasury
securities so far in 1996. While capital spending has been strong throughout
this cycle as companies have continued to spend to upgrade technology and
manufacturing facilities, the consumer sector has shown signs of a pickup in
activity in the past couple of months. An amalgamation of sectors, including
autos, housing, and retailing, has shown a broad pickup in activity. High
levels of consumer confidence and an improving employment outlook suggest
these trends may continue through the next three to six months.
Foreign bonds, especially in European markets, outperformed U.S. bonds by a
wide margin over the past three months, while the dollar appreciated against
most major currencies. Official interest rate cuts induced by slow growth and
benign inflation allowed yields to decline in most of continental Europe. As
we anticipated, the highest-yielding markets - those of Italy, Spain, and
Sweden - provided the best performance. Within the dollar bloc, signs of
stronger growth caused yields to rise, but Canadian and Australian rates
tightened substantially versus those of the United States.
We believe the higher-yielding European markets still offer the best
opportunities for capital appreciation since continental central banks are
expected to continue the process of cutting official interest rates. In this
environment, the dollar should remain firm versus European currencies. An
acceleration of European growth could, however, undermine the performance of
both the dollar and the higher-yielding markets. In our opinion, Canada and
Australia remain attractive by virtue of their high, real (inflation-adjusted)
yields, while Japanese government bonds offer attractive currency-hedged
yields and substantial diversification benefits.
Finally, while high-yield corporate bonds have offered value to the Series for
many months, our allocation to this sector was removed because we felt better
risk-adjusted returns were available in other markets.
WORLD GOVERNMENTS SERIES
During the six months ended June 30, 1996, the Series experienced a total
return of -0.55%. This compares to a -1.16% return for the J.P. Morgan Global
Government Bond Index (an unmanaged index of bonds issued from 13 countries
with remaining maturities of at least one year). Foreign bonds, measured in
local currency terms, continued to outperform U.S. bonds during the first six
months of 1996. The best performance was within the higher-yielding European
markets (Italy, Spain, and Sweden). Virtually all the yield curves within
these markets steepened dramatically over the period as most European central
banks lowered official interest rates due to continued slow growth and low
inflation. Within the dollar bloc, Canada and Australia also outperformed the
United States, while New Zealand suffered underperformance due to political
concerns and a pickup in economic growth.
The Series' performance has been enhanced by maintaining overweighted
positions in European bonds, particularly in Spain, Italy, and Sweden. At the
expense of being underweighted in U.S. bonds, the Series has also benefited by
maintaining and even adding to overweighted Canadian and Australian bond
positions. During the beginning of the year, the Series' overall duration was
close to five years, which hindered performance as bond yields, primarily in
the dollar-bloc countries, sold off rather dramatically due to a pickup in the
U.S. economy. During the second quarter, the Series' duration was gradually
reduced to 3.8 years.
Looking forward, we anticipate that selective European markets may continue to
offer the best opportunities for capital appreciation. Efforts to meet the
fiscal austerity of the Maastricht criteria are reinforcing the tendency
toward slower growth, and most continental central banks appear likely to
continue the process of cutting official interest rates. Consequently, the
shorter end of the higher-yielding markets could continue to outperform.
WORLD GROWTH SERIES
For the six months end June 30, 1996, the Series provided a total return of
12.15%, as compared to returns of 10.09% for the S&P 500 and 7.33% for the
MSCI World Index. The first half of 1996 saw a continuation of the positive
performance of global equity markets exhibited in 1995. Positive local
currency returns were generated throughout the world. The MSCI Europe Index
was up 10.4%, with returns ranging from 2.6% in the United Kingdom to 20.9% in
Spain; the MSCI Pacific Index was up 7.5%, with returns ranging from -2.2% in
New Zealand to 14.3% in Malaysia. The only major negative was the strong U.S.
dollar, which gained 6% against the Japanese yen and the German mark and ate
into the Series' dollar-based returns.
Our company-oriented investment philosophy is unchanged. We continue to look
for high-quality companies with the potential for superior earnings growth
trading at attractive valuations. Our search for these companies is worldwide,
and when we find the right ones, we are willing to invest in them, regardless
of their industry or home country. The Series currently has holdings in 24
countries, with exposure to any one country simply the byproduct of how many
attractive opportunities we find there and not its size. The Series' current
geographic equity exposure is approximately as follows: Europe, 34%; the
Americas, 33%; and Asia/Pacific, 33%.
Illustrating the importance of individual stock selection, the Series
benefited from the strong performance of a number of its largest holdings,
including Federated Department Stores, Telecom Italia Mobile, BMC Software,
Essilor International (which was sold during the period due to its valuation),
and Gentronics (where the position has been reduced). In addition, a number of
smaller Asian holdings contributed to performance, including New Straits
Times, Pilipino Telephone, and Wing Hang Bank. The biggest drags on
performance included United Healthcare, which declined 23%; PowerGen, which
declined 12% but became the Series' largest holding as individual shares were
purchased; and Kimberly Clark, which fell 7%, but became one of the Series'
top 10 holdings as its position was also increased.
We believe that the equity markets will continue to be fundamentally driven, a
situation which is suited to our investment style. The economic outlook is
uncertain, with the strength of the U.S. economy unclear, Japan starting to
show more meaningful signs of recovery, and Europe's recovery still in its
early stages. Lower interest rates, particularly in Europe and Japan, have
helped support strong equity markets. While we believe that interest rates are
unlikely to fall further, a subdued global inflation outlook could mean that
rates rise little from current levels, which should help support current
equity market valuations. Therefore, for the remainder of 1996, we believe
corporate earnings growth will be the key to further stock market gains.
WORLD TOTAL RETURN SERIES
For the six months ended June 30, 1996, the Series provided a total return of
5.37%. Foreign stock holdings in 24 countries account for approximately 64% of
the total equity position, a figure that we expect to increase since we do not
believe the performance of the U.S. equity market in 1996 is likely to repeat
the outperformance of 1995. In particular, holdings in the Far East, including
Japanese stocks, have been increased, a trend we think is likely to persist.
For some time now, our stock investments have been concentrated in companies
that are not dependent upon the business cycle to outperform. Approximately
61% of the Series' equity holdings are in utilities and communications,
financial services, special situation retailers, consumer staples, and health
care, all of which we believe could perform well in a slow-growth environment.
However, we are monitoring the situation closely since some of the economic
news has been stronger than expected.
The most important factor for the international fixed-income markets over the
past six months has been the better-than-expected strength of the U.S.
economy. Market expectations for further interest rate reductions by the
Federal Reserve have shifted to concerns of possible interest rate increases
later this year if growth remains in an above-trend pattern. Long-term
interest rates have also risen, reflecting increased concerns about inflation
and disappointment with the failed attempt to reach an accord on the federal
budget. The rise in U.S. rates has helped push up rates worldwide, although
foreign rates have generally risen less than in the United States. The
outperformance has been most pronounced in some of the higher-yielding
European bond markets.
During this challenging period, the Series' overweighting in European markets
generally and, in particular, the higher-yielding markets, has contributed to
performance against the benchmark. In addition, the Series' average maturity
was shortened in the first quarter to reduce sensitivity to changes in
interest rates.
Overall, the combination of rising interest rates and a stronger dollar has
translated into negative performance for international bonds. Looking forward,
we believe dollar strength may continue until growth in Europe, and especially
in Germany, rebounds, which we expect to occur in the second half of this
year. The outlook for world growth is continuing to improve and, thus, some
caution regarding bond markets is probably warranted. Given this outlook, we
expect the bond portfolio to emphasize shorter-maturity and higher-yielding
issues.
ZERO COUPON SERIES 2000 PORTFOLIO
The total return for the 2000 Portfolio was -2.22% for the six months ended
June 30, 1996, as intermediate-term Treasury notes moved higher during the
period, with yields on five-year Treasuries rising from 5.50% to 6.46%. The
portfolio consists of discounted coupon or principal payments, which are
stripped from U.S. Treasury securities in order to provide a predictable and
compounded rate of return. With no interest payments prior to maturity, these
portfolios are more sensitive to interest rate changes than are comparable
bond funds with similar maturities. While there will be fluctuations within
the portfolio subject to interest rate moves, all portfolio holdings are
guaranteed by the U.S. Treasury at maturity. (While the guarantees do not
apply to the individual units of the Series, they assure a specified return to
contract owners who hold their units to the maturity of the Series.)
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
CAPITAL APPRECIATION SERIES
COMMON STOCKS -- 98.1%
Issuer Shares Value
U.S. STOCKS -- 91.4%
AEROSPACE -- 3.1%
Lockheed Martin Corp. .......................... 111,800 $ 9,391,200
McDonnell-Douglas Co. .......................... 250,000 12,125,000
United Technologies Corp. ...................... 68,900 7,923,500
------------
$ 29,439,700
-------------
AGRICULTURAL PRODUCTS -- 3.8%
AGCO Corp. ..................................... 471,900 $ 13,095,225
Case Corp. ..................................... 265,900 12,763,200
Deere & Co., Inc. .............................. 234,500 9,380,000
------------
$ 35,238,425
------------
AIRLINES -- 1.5%
America West Airlines, Inc., "B"* .............. 86,600 $ 1,905,200
Southwest Airlines Co. ......................... 402,000 11,708,250
------------
$ 13,613,450
------------
APPAREL AND TEXTILES -- 0.9%
Donna Karan International, Inc.* ............... 13,600 $ 380,800
Nike, Inc., "B" ................................ 76,500 7,860,375
------------
$ 8,241,175
------------
AUTOMOTIVE -- 1.0%
APS Holding Corp.* ............................. 205,300 $ 4,516,600
General Motors Corp. ........................... 87,600 4,588,050
------------
$ 9,104,650
------------
BANKS AND CREDIT COMPANIES -- 0.4%
Fleet Financial Group, Inc. .................... 92,200 $ 4,010,700
------------
BROADCASTING -- 1.0%
Infinity Broadcasting Corp., "A" ............... 146,150 $ 4,384,500
Jacor Communications, Inc., "A" ................ 84,300 2,602,763
LIN Television Corp.* .......................... 66,600 2,397,600
------------
$ 9,384,863
------------
BUSINESS MACHINES -- 1.2%
Sun Microsystems, Inc.* ........................ 196,100 $ 11,545,387
------------
BUSINESS SERVICES -- 5.8%
ADT Ltd.* ...................................... 592,600 $ 11,185,325
ALCO Standard Corp. ............................ 235,400 10,651,850
Accustaff, Inc. ................................ 86,700 2,362,575
America Online, Inc.* .......................... 31,600 1,382,500
Ceridian Corp.* ................................ 320,300 16,175,150
Corestaff, Inc.* ............................... 77,850 3,483,787
DST Systems, Inc.* ............................. 128,500 4,112,000
First USA Paymentech, Inc.* .................... 3,500 140,000
Loewen Group, Inc.* ............................ 157,800 4,773,450
------------
$ 54,266,637
------------
CELLULAR TELEPHONES
InterCel, Inc.* ................................ 22,300 $ 446,000
------------
CHEMICALS -- 0.4%
Geon Co. ....................................... 28,200 $ 634,500
Polymer Group, Inc.* ........................... 58,500 1,023,750
Praxair, Inc. .................................. 52,500 2,218,125
------------
$ 3,876,375
------------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 3.7%
Autodesk, Inc. ................................. 88,400 $ 2,640,950
Electronic Arts, Inc.* ......................... 354,100 9,472,175
Microsoft Corp.* ............................... 179,300 21,538,412
Spectrum Holobyte, Inc.* ....................... 169,900 976,925
------------
$ 34,628,462
------------
COMPUTER SOFTWARE -- SYSTEMS -- 10.7%
Adobe Systems, Inc. ............................ 385,200 $ 13,819,050
BMC Software, Inc.* ............................ 185,900 11,107,525
Cadence Design Systems, Inc.* .................. 634,200 21,404,250
Computer Associates International,
Inc. ......................................... 185,400 13,209,750
Micro Systems, Inc.* ........................... 188,200 5,246,075
Oracle Systems Corp.* .......................... 533,700 21,047,793
Sybase, Inc.* .................................. 412,000 9,733,500
Synopsys, Inc.* ................................ 71,700 2,850,075
System Software Associates, Inc. ............... 86,500 1,470,500
------------
$ 99,888,518
------------
CONSUMER GOODS AND SERVICES -- 6.6%
Philip Morris Cos., Inc. ....................... 283,600 $ 29,494,400
Service Corp. International .................... 44,300 2,547,250
Tyco International Ltd. ........................ 730,500 29,767,875
------------
$ 61,809,525
------------
DEFENSE ELECTRONICS -- 1.3%
Loral Space & Communications Corp. ............. 918,500 $ 12,514,562
------------
ELECTRICAL EQUIPMENT -- 0.3%
UCAR International, Inc.* ...................... 77,300 $ 3,217,612
------------
ELECTRONICS -- 6.0%
Altera Corp.* .................................. 180,200 $ 6,847,600
Analog Devices, Inc. ........................... 305,600 7,792,800
ESS Technology, Inc.* .......................... 77,400 1,431,900
Intel Corp. .................................... 285,700 20,981,094
LSI Logic Corp.* ............................... 398,200 10,353,200
Maxim Integrated Products, Inc.* ............... 78,900 2,154,956
Xilinx, Inc.* .................................. 193,500 6,143,625
------------
$ 55,705,175
------------
ENTERTAINMENT -- 4.1%
Harrah's Entertainment, Inc.* .................. 705,300 $ 19,924,725
Mirage Resorts, Inc.* .......................... 169,900 9,174,600
National Lodging Corp.* ........................ 11,700 187,200
301,700 8,598,450
------------
$ 37,884,975
------------
FINANCIAL INSTITUTIONS -- 4.3%
Associates First Capital Corp., "A"* ........... 41,400 $ 1,557,675
Federal Home Loan Mortgage Corp. ............... 144,300 12,337,650
Financial Federal Corp.* ....................... 167,400 2,615,625
Finova Group, Inc. ............................. 108,000 5,265,000
Green Tree Financial Corp. ..................... 177,300 5,540,625
Schwab (Charles) Corp. ......................... 525,500 12,874,750
------------
$ 40,191,325
------------
INSURANCE -- 0.4%
Amerin Corp.* .................................. 79,500 $ 2,126,625
Penncorp Financial Group, Inc. ................. 48,800 1,549,400
------------
$ 3,676,025
------------
MACHINERY -- 0.5%
IDEX Corp. ..................................... 120,200 $ 4,567,600
------------
MEDICAL AND HEALTH PRODUCTS -- 1.7%
Johnson & Johnson .............................. 291,600 $ 14,434,200
Omnicare, Inc. ................................. 70,000 1,855,000
------------
$ 16,289,200
------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 4.6%
Foundation Health Corp.* ....................... 126,500 $ 4,538,188
Health Care & Retirement Corp.* ................ 77,150 1,832,313
Healthsource, Inc.* ............................ 516,200 9,033,500
Henry Schein, Inc.* ............................ 6,500 248,625
Living Centers of America, Inc.* ............... 139,700 4,802,188
Oxford Health Plans, Inc. ...................... 137,800 5,667,025
United Healthcare Corp. ........................ 343,200 17,331,600
------------
$ 43,453,439
------------
METALS AND MINERALS -- 2.2%
Minerals Technologies, Inc. .................... 119,700 $ 4,099,725
Nucor Corp. .................................... 167,800 8,494,875
Phelps Dodge Corp. ............................. 93,600 5,838,300
RMI Titanium Co.* .............................. 100,500 2,361,750
------------
$ 20,794,650
------------
OILS -- 1.1%
Mobil Corp. .................................... 88,200 $ 9,889,425
------------
PHOTOGRAPHIC PRODUCTS -- 1.3%
Eastman Kodak Co. .............................. 152,200 $ 11,833,550
------------
PRINTING AND PUBLISHING -- 0.3%
Gannett Co., Inc. .............................. 33,600 $ 2,377,200
------------
RAILROADS -- 3.0%
Burlington Northern Santa Fe ................... 51,500 $ 4,165,063
Wisconsin Central Transportation
Corp.* ....................................... 722,500 23,481,250
------------
$ 27,646,313
------------
RESTAURANTS AND LODGING -- 5.9%
HFS, Inc.* ..................................... 458,400 $ 32,088,000
Promus Hotel Corp.* ............................ 640,650 18,979,256
Renaissance Hotel Group* ....................... 179,100 3,850,650
------------
$ 54,917,906
------------
SPECIAL PRODUCTS AND SERVICES
Compuserve Inc.* ............................... 17,200 $ 363,350
------------
STORES -- 5.9%
Corporate Express, Inc. ........................ 88,600 $ 3,544,000
Duty Free International, Inc. .................. 41,500 632,875
Federated Department Stores, Inc. .............. 401,400 13,697,775
General Nutrition Cos., Inc. ................... 495,500 8,671,250
Micro Warehouse, Inc. .......................... 279,700 5,594,000
Office Depot, Inc.* ............................ 567,200 11,556,700
Officemax, Inc. ................................ 302,900 7,231,738
Sears, Roebuck & Co. ........................... 88,400 4,298,450
------------
$ 55,226,788
------------
SUPERMARKETS -- 0.9%
Safeway, Inc.* ................................. 268,600 $ 8,863,800
------------
TELECOMMUNICATIONS -- 7.5%
Cabletron Systems, Inc.* ....................... 213,800 $ 14,672,025
Cisco Systems, Inc. ............................ 126,800 7,180,050
Glenayre Technologies, Inc. .................... 338,075 16,903,750
Lucent Technologies, Inc. ...................... 72,900 2,761,088
Sterling Commerce, Inc.* ....................... 9,300 345,262
Tel-Save Holdings, Inc.* ....................... 168,900 3,589,125
Teleport Communications Group, Inc.* ........... 136,600 2,612,475
Tellabs, Inc.* ................................. 105,800 7,075,375
U.S. Robotics Corp. ............................ 65,300 5,583,150
WorldCom, Inc. ................................. 179,300 9,928,738
------------
$ 70,651,038
------------
Total U.S. Stocks
(Identified Cost, $689,334,918) ...................... $855,557,800
------------
FOREIGN STOCKS -- 6.7%
CANADA -- 0.9%
Canadian National Railway Co.
(Railroads) .................................. 89,100 $ 1,637,213
Loewen Group, Inc.
(Business Services)## ........................ 181,800 5,536,504
Potash Corp. of Saskatchewan, Inc.
(Precious Metals) ............................ 24,800 1,643,000
------------
$ 8,816,717
------------
FRANCE
Dassault Systemes S.A., ADR*
(Computer Software) .......................... 8,300 $ 257,300
------------
GERMANY -- 0.2%
SGL Carbon AG, ADR* (Metals and Minerals) ...... 57,900 $ 2,214,675
------------
HONG KONG -- 0.5%
Peregrine Investment Holdings Ltd.
(Finance) .................................... 2,967,000 $ 4,274,056
Peregrine Investment Holdings Ltd.,
Warrants (Finance) ........................... 311,000 38,573
------------
$ 4,312,629
------------
ITALY -- 1.8%
Gucci Group N.V. (Retail-Apparel) .............. 80,200 $ 5,172,900
Telecom Italia Mobile S.p.A.
(Telecommunications) ......................... 7,382,500 11,323,483
------------
$ 16,496,383
------------
NEW ZEALAND -- 0.3%
Sky City Ltd.* (Entertainment) ................. 691,500 $ 3,013,122
------------
SINGAPORE -- 0.3%
Mandarin Oriental International Ltd.
(Restaurants and Lodging) .................... 2,297,300 $ 3,216,220
------------
SOUTH KOREA -- 0.8%
Korea Mobile Telecom, ADR
(Telecommunications)* ........................ 445,100 $ 7,622,338
------------
SWEDEN -- 1.7%
Astra AB, "B" (Pharmaceuticals) ................ 272,100 $ 11,869,721
Nobel Biocare (Medical Supplies) ............... 212,800 3,950,853
------------
$ 15,820,574
------------
UNITED KINGDOM -- 0.2%
PowerGen PLC (Utilities -- Electric) ........... 275,500 $ 1,407,087
------------
Total Foreign Stocks
(Identified Cost, $53,513,920) ....................... $ 63,177,045
------------
Total Common Stocks
(Identified Cost, $742,848,838) ...................... $918,734,845
------------
SHORT-TERM OBLIGATIONS -- 2.0%
Principal Amount
(000 Omitted)
Federal Home Loan Mortgage Corp.,
due 7/01/96 - 7/05/96 ........................ $6,670 $ 6,668,009
Federal National Mortgage Assn.,
due 7/02/96 .................................. 5,000 4,999,271
General Motors Acceptance Corp.,
due 7/01/96 .................................. 6,765 6,765,000
------------
Total Short-Term Obligations,
at Amortized Cost .................................... $ 18,432,280
------------
Total Investments
(Identified Cost, $761,281,118) ...................... $937,167,125
OTHER ASSETS,
LESS LIABILITIES -- (0.1)% ............................... (1,140,476)
------------
Net Assets -- 100.0% ................................... $936,026,649
============
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
CONSERVATIVE GROWTH SERIES
COMMON STOCKS AND WARRANTS -- 95.8%
Issuer Shares Value
U.S. STOCKS -- 89.9%
AEROSPACE -- 8.0%
Allied Signal, Inc. .............................. 76,200 $ 4,352,925
Boeing Co. ....................................... 23,800 2,073,575
General Dynamics Corp. ........................... 22,900 1,419,800
Lockheed Martin Corp. ............................ 84,148 7,068,432
McDonnell-Douglas Co. ............................ 131,800 6,392,300
Raytheon Co. ..................................... 120,900 6,241,463
United Technologies Corp. ........................ 46,700 5,370,500
-------------
$ 32,918,995
-------------
AGRICULTURAL PRODUCTS -- 0.7%
AGCO Corp. ....................................... 31,800 $ 882,450
Case Corp. ....................................... 43,000 2,064,000
-------------
$ 2,946,450
-------------
APPAREL AND TEXTILES -- 1.6%
Nike, Inc., "B" .................................. 41,300 $ 4,243,575
VF Corp. ......................................... 38,100 2,271,712
-------------
$ 6,515,287
-------------
AUTOMOTIVE -- 0.8%
Eaton Corp. ...................................... 19,100 $ 1,119,737
Ford Motor Co. ................................... 15,900 514,763
General Motors Corp. ............................. 15,900 832,763
Goodrich (B.F.) Co. .............................. 22,200 829,725
-------------
$ 3,296,988
-------------
BANKS AND CREDIT COMPANIES -- 7.4%
Chase Manhattan Corp. ............................ 16,468 $ 1,163,053
Comerica, Inc. ................................... 6,100 272,212
Corestates Financial Corp. ....................... 5,867 225,880
First Bank System, Inc. .......................... 112,700 6,536,600
First Chicago NBD Corp. .......................... 96,900 3,791,213
Firstar Corp. .................................... 49,200 2,269,350
National City Corp. .............................. 67,500 2,370,937
Northern Trust Co. ............................... 47,600 2,748,900
Norwest Corp. .................................... 181,500 6,329,813
SunTrust Banks, Inc. ............................. 79,400 2,937,800
U.S. Bancorp ..................................... 50,800 1,835,150
-------------
$ 30,480,908
-------------
BIOTECHNOLOGY -- 0.3%
Guidant Corp. .................................... 26,524 $ 1,306,307
-------------
BUSINESS MACHINES -- 1.2%
Digital Equipment Corp.* ......................... 37,100 $ 1,669,500
Hewlett-Packard Co. .............................. 8,600 856,775
International Business Machines Corp. ............ 2,900 287,100
Sun Microsystems, Inc. ........................... 31,800 1,872,225
Xerox Corp. ...................................... 4,800 256,800
-------------
$ 4,942,400
-------------
BUSINESS SERVICES -- 1.3%
Alco Standard Corp. .............................. 70,500 $ 3,190,125
Ceridian Corp.* .................................. 5,600 282,800
Computer Sciences, Inc.* ......................... 27,000 2,018,250
-------------
$ 5,491,175
-------------
CELLULAR TELEPHONES -- 0.1%
AirTouch Communications, Inc.* ................... 9,500 $ 268,374
-------------
CHEMICALS -- 1.2%
du Pont (E. I.) de Nemours & Co. ................. 28,400 $ 2,247,150
Grace (W.R.) & Co. ............................... 7,900 559,912
Monsanto Corp .................................... 60,700 1,972,750
Praxair, Inc. .................................... 6,400 270,400
-------------
$ 5,050,212
-------------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 0.8%
First Data Corp. ................................. 5,000 $ 398,125
Microsoft Corp.* ................................. 23,700 2,846,962
-------------
$ 3,245,087
-------------
COMPUTER SOFTWARE -- SYSTEMS -- 1.8%
Computer Associates International, Inc. .......... 65,600 $ 4,674,000
Electronic Data Systems Corp. .................... 4,300 231,125
Oracle Systems Corp.* ............................ 59,500 2,346,530
-------------
$ 7,251,655
-------------
CONSUMER GOODS AND SERVICES -- 9.3%
Colgate-Palmolive Co. ............................ 49,100 $ 4,161,225
Gillette Co. ..................................... 140,000 8,732,500
Philip Morris Cos., Inc. ......................... 119,100 12,386,400
Procter & Gamble Co. ............................. 51,400 4,658,125
RJR Nabisco Holdings ............................. 60 1,860
Service Corp. International ...................... 29,100 1,673,250
Sherwin-Williams Co. ............................. 18,100 841,650
Tyco International Ltd. .......................... 41,900 1,707,425
UST, Inc. ........................................ 131,000 4,486,750
-------------
$ 38,649,185
-------------
DEFENSE ELECTRONICS -- 0.2%
Loral Space and Communications Corp. ............. 71,500 $ 974,187
-------------
ELECTRICAL EQUIPMENT -- 3.4%
General Electric Co. ............................. 102,600 $ 8,874,900
Honeywell, Inc. .................................. 96,900 5,281,050
-------------
$ 14,155,950
-------------
ELECTRONICS -- 1.6%
Intel Corp. ...................................... 73,100 $ 5,368,281
LSI Logic Corp. .................................. 39,700 1,032,200
Xilinx, Inc. ..................................... 4,000 127,000
-------------
$ 6,527,481
-------------
ENTERTAINMENT -- 1.9%
Circus Circus Enterprises, Inc. .................. 20,200 $ 828,200
Comcast Corp., "A" ............................... 9,500 175,750
Disney (Walt) Co. ................................ 42,100 2,647,037
Harrah's Entertainment, Inc.* .................... 35,800 1,011,350
Mirage Resorts, Inc. ............................. 12,800 691,200
Viacom, Inc. ..................................... 61,900 2,406,363
-------------
$ 7,759,900
-------------
FINANCIAL INSTITUTIONS -- 3.8%
Associates First Capital Corp., "A"* ............. 18,200 $ 684,775
Beneficial Corp. ................................. 109,700 6,156,912
Federal Home Loan Mortgage Corp. ................. 24,900 2,128,950
MBNA Corp. ....................................... 11,100 316,350
State Street Boston Corp. ........................ 108,000 5,508,000
Union Planters Corp. ............................. 31,800 965,925
-------------
$ 15,760,912
-------------
FOOD AND BEVERAGE PRODUCTS -- 4.6%
Archer-Daniels-Midland Co. ....................... 20 $ 383
CPC International, Inc. .......................... 47,600 3,427,200
Campbell Soup Co. ................................ 3,400 239,700
General Mills, Inc. .............................. 110,100 6,000,450
Nabisco Holdings, "A" ............................ 24,600 870,225
PepsiCo, Inc. .................................... 167,000 5,907,625
Ralston-Ralston Purina Group ..................... 38,200 2,449,575
-------------
$ 18,895,158
-------------
FOREST AND PAPER PRODUCTS -- 1.1%
Kimberly Clark Corp. ............................. 57,148 $ 4,414,682
-------------
INSURANCE -- 6.0%
AFLAC, Inc. ...................................... 73,400 $ 2,192,825
American Re Corp. ................................ 5,100 228,863
CIGNA Corp. ...................................... 46,700 5,504,763
CNA Financial Corp. .............................. 11,900 1,225,700
MBIA, Inc. ....................................... 15,900 1,238,213
Progressive Corp. ................................ 92,900 4,296,625
St. Paul Cos., Inc. .............................. 50,600 2,707,100
Torchmark Corp. .................................. 73,000 3,193,750
Transamerica Corp. ............................... 54,700 4,430,700
-------------
$ 25,018,539
-------------
MACHINERY -- 2.7%
Deere & Co., Inc. ................................ 74,000 $ 2,960,000
Ingersoll Rand Co. ............................... 76,200 3,333,750
York International Corp. ......................... 90,500 4,683,375
-------------
$ 10,977,125
-------------
MEDICAL AND HEALTH PRODUCTS -- 5.1%
American Home Products Corp. ..................... 37,700 $ 2,266,713
Baxter International, Inc. ....................... 39,700 1,875,825
Johnson & Johnson ................................ 104,800 5,187,600
Lilly (Eli) & Co. ................................ 36,436 2,368,340
Pfizer, Inc. ..................................... 61,000 4,353,875
Warner-Lambert Co. ............................... 88,900 4,889,500
-------------
$ 20,941,853
-------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 1.8%
Medtronic, Inc. .................................. 23,800 $ 1,332,800
Pacificare Health Systems, Inc., "B"* ............ 36,700 2,486,425
St. Jude Medical, Inc.* .......................... 64,700 2,167,450
United Healthcare Corp. .......................... 32,100 1,621,050
-------------
$ 7,607,725
-------------
METALS AND MINERALS -- 0.7%
Aluminum Companies of America .................... 11,900 $ 682,763
Phelps Dodge Corp. ............................... 38,100 2,376,487
-------------
$ 3,059,250
-------------
OIL SERVICES -- 0.3%
Schlumberger Ltd. ................................ 14,900 $ 1,255,324
-------------
OILS -- 4.9%
Amoco Corp. ...................................... 25,400 $ 1,838,325
Chevron Corp. .................................... 19,100 1,126,900
Exxon Corp. ...................................... 52,100 4,526,188
Mobil Corp. ...................................... 70,700 7,927,238
Texaco, Inc. ..................................... 28,400 2,382,050
USX-Marathon Group ............................... 127,000 2,555,875
-------------
$ 20,356,576
-------------
PHOTOGRAPHIC PRODUCTS -- 1.0%
Eastman Kodak Co. ................................ 50,800 $ 3,949,700
-------------
POLLUTION CONTROL -- 0.2%
WMX Technologies, Inc. ........................... 23,900 $ 782,724
-------------
PRINTING AND PUBLISHING -- 1.6%
Gannett Co., Inc. ................................ 27,800 $ 1,966,850
Tribune Co., Inc. ................................ 66,700 4,844,087
-------------
$ 6,810,937
-------------
RAILROADS -- 3.7%
Burlington Northern Santa Fe ..................... 2,900 $ 234,537
CSX Corp. ........................................ 132,100 6,373,825
Conrail, Inc. .................................... 60,300 4,002,413
Illinois Central Corp. ........................... 95,300 2,704,137
Norfolk Southern ................................. 23,800 2,017,050
-------------
$ 15,331,962
-------------
RESTAURANTS AND LODGING
Promus Hotel Corp.* .............................. 3,000 $ 88,875
-------------
SPECIAL PRODUCTS AND SERVICES -- 0.3%
Stanley Works .................................... 47,600 $ 1,416,100
-------------
STORES -- 4.0%
Circuit City Stores, Inc. ........................ 66,700 $ 2,409,538
Home Depot, Inc. ................................. 42,900 2,316,600
Lowes Cos., Inc. ................................. 63,500 2,293,937
May Department Stores Co. ........................ 80,200 3,508,750
Payless ShoeSource, Inc.* ........................ 6,100 193,675
Penney (J.C.), Inc. .............................. 57,200 3,003,000
Sears, Roebuck & Co. ............................. 35,700 1,735,913
TJX Companies, Inc. .............................. 32,700 1,103,625
-------------
$ 16,565,038
-------------
SUPERMARKETS -- 0.8%
Kroger Co. ....................................... 6,400 $ 252,800
Safeway, Inc.* ................................... 52,700 1,739,100
Vons Cos., Inc.* ................................. 31,800 1,188,525
-------------
$ 3,180,425
-------------
TELECOMMUNICATIONS -- 0.4%
Cox Communications, Inc., "A" .................... 39 $ 843
Lucent Technologies, Inc. ........................ 46,500 1,761,188
-------------
$ 1,762,031
-------------
UTILITIES -- ELECTRIC -- 1.6%
CMS Energy Corp. ................................. 6,700 $ 206,862
Cinergy Corp. .................................... 32,500 1,040,000
DPL, Inc. ........................................ 33,300 811,688
FPL Group, Inc. .................................. 31,800 1,462,800
Illinova Corp. ................................... 7,300 209,875
PECO Energy Co. .................................. 31,800 826,800
Pinnacle West Capital Corp. ...................... 7,900 239,963
Portland General Corp. ........................... 55,600 1,716,650
-------------
$ 6,514,638
-------------
UTILITIES -- GAS -- 0.5%
Pacific Enterprises .............................. 28,600 $ 847,275
PanEnergy Corp. .................................. 39,700 1,305,137
-------------
$ 2,152,412
-------------
UTILITIES -- TELEPHONE -- 3.2%
AT&T Corp. ....................................... 19,100 $ 1,184,200
Ameritech Corp. .................................. 32,400 1,923,750
Bell Atlantic Corp. .............................. 8,400 535,500
BellSouth Corp. .................................. 41,600 1,762,800
GTE Corp. ........................................ 78,900 3,530,775
MCI Communications Corp. ......................... 51,400 1,317,125
Pacific Telesis Group ............................ 31,800 1,073,250
SBC Communications, Inc. ......................... 30,200 1,487,350
Sprint Corp. ..................................... 11,500 483,000
-------------
$ 13,297,750
-------------
Total U.S. Stocks
(Identified Cost, $309,115,856) ...................... $ 371,920,277
-------------
FOREIGN STOCKS -- 5.9%
FRANCE -- 1.0%
Rhone-Poulenc Rorer, Inc. (Medical
Products) ...................................... 59,900 $ 4,020,788
-------------
HONG KONG -- 0.3%
Hong Kong Land Holdings Ltd.
(Real Estate) .................................. 318,000 $ 715,500
Wharf (Holdings) Ltd. (Real Estate)* ............. 222,000 794,476
-------------
$ 1,509,976
-------------
ITALY -- 0.1%
Telecom Italia Mobile S.p.A.
(Telecommunications) ........................... 111,100 $ 248,218
-------------
JAPAN -- 0.9%
Bank of Tokyo (Finance) .......................... 54,000 $ 1,257,030
Canon, Inc. (Photographic Equipment) ............. 51,000 1,061,724
Takeda Chemical Industries
(Pharmaceuticals) .............................. 80,000 1,417,094
-------------
$ 3,735,848
-------------
NETHERLANDS -- 0.4%
IHC Caland N.V.
(Transportation -- Marine) ..................... 11,100 $ 546,446
Royal Dutch Petroleum Co. (Oils) ................. 6,700 1,030,125
-------------
$ 1,576,571
-------------
NEW ZEALAND -- 0.2%
Lion Nathan Ltd. (Brewery) ....................... 317,500 $ 830,079
-------------
SINGAPORE -- 0.3%
Mandarin Oriental International Ltd.
(Lodging) ...................................... 293,000 $ 410,200
Singapore Press Holdings
(Publishing -- Newspapers) ..................... 40,000 785,426
-------------
$ 1,195,626
-------------
SOUTH KOREA -- 0.3%
Korea Mobile Telecommunications, ADR
(Telecommunications)* .......................... 66,100 $ 1,131,963
-------------
SWEDEN -- 1.0%
ASTRA AB, Free Shares "B"
(Pharmaceuticals) .............................. 68,300 $ 2,979,426
Hennes & Mauritz (Retail -- Apparel) ............. 3,900 362,038
Sparbanken Svergie AB, "A" (Financial) ........... 66,700 865,842
Fastighets AB Tornet (Real Estate)* .............. 6,680 54,448
-------------
$ 4,261,754
-------------
SWITZERLAND -- 0.3%
Ciba Giegy AG (Pharmaceuticals) .................. 1,200 $ 1,462,245
-------------
UNITED KINGDOM -- 1.1%
British Petroleum Co. PLC, ADR (Oils) ............ 2,500 $ 267,188
PowerGen PLC (Utilities -- Electric) ............. 310,777 2,262,691
PowerGen PLC, 380 P/P
(Utilities -- Electric) ........................ 332,400 1,697,698
SmithKline Beecham PLC, ADR (Medical and Health
Products) ...................................... 4,000 217,500
-------------
$ 4,445,077
-------------
Total Foreign Stocks
(Identified Cost, $21,957,466) ....................... $ 24,418,145
-------------
Total Common Stocks and Warrants
(Identified Cost, $331,073,322) ...................... $ 396,338,422
-------------
CONVERTIBLE PREFERRED STOCK -- 0.1%
OILS -- 0.1%
Atlantic Richfield Co.
(Identified Cost, $483,114) ................ 19,100 $ 465,562
-------------
CONVERTIBLE BONDS -- 0.8%
Principal Amount
(000 Omitted)
CHEMICALS -- 0.2%
Sandoz Capital BVI Ltd., 2s, 2002## .............. $ 750 $ 798,750
-------------
INSURANCE -- 0.2%
Equitable Cos., Inc., 6.125s, 2024 ............... $ 700 $ 789,250
-------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 0.3%
Roche Holdings, Inc., 0s, 2010##* ................ $ 3,260 $ 1,377,350
-------------
STORES -- 0.1%
Costco Wholesale Corp., 5.75, 2002 $ 250 $ 228,750
-------------
Total Convertible Bonds
(Identified Cost, $2,979,474) ........................ $ 3,194,100
-------------
SHORT-TERM OBLIGATIONS -- 7.0%
Federal Home Loan Mortgage Corp.,
due 7/10/96 - 7/18/96 .......................... $18,670 $ 18,637,889
Federal National Mortgage Assn.,
due 7/12/96 .................................... 5,500 5,491,160
Ford Motor Credit Corp., due 7/01/96 ............. 5,000 5,000,000
-------------
Total Short-Term Obligations,
at Amortized Cost .................................... $ 29,129,049
-------------
Total Investments
(Identified Cost, $363,664,959) ...................... $ 429,127,133
OTHER ASSETS,
LESS LIABILITIES -- (3.7)% ............................... (15,206,897)
-------------
Net Assets -- 100.0% ................................... $ 413,920,236
=============
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
EMERGING GROWTH SERIES
COMMON STOCKS -- 87.8%
Issuer Shares Value
U.S. STOCKS -- 81.4%
ADVERTISING
Outdoor Systems, Inc.* ........................... 500 $ 17,625
-------------
APPAREL AND TEXTILES -- 0.8%
Nine West Group, Inc. * .......................... 26,600 $ 1,359,925
-------------
AUTOMOTIVE -- 0.4%
APS Holding Corp. ................................ 23,000 $ 506,000
Harvard Industries ............................... 14,200 173,950
-------------
$ 679,950
-------------
BIOTECHNOLOGY -- 0.2%
Guidant Corp.* ................................... 6,000 $ 295,500
Integra Lifesciences Corp.* ...................... 2,900 28,275
-------------
$ 323,775
-------------
BUSINESS MACHINES -- 1.5%
Affiliated Computer Co. .......................... 38,500 $ 1,809,500
Sun Microsystems, Inc. ........................... 10,300 606,412
-------------
$ 2,415,912
-------------
BUSINESS SERVICES -- 13.3%
ADT Ltd. ......................................... 36,900 $ 696,487
Accustaff, Inc. .................................. 93,100 2,536,975
BDM International, Inc.* ......................... 5,200 241,800
BISYS Group, Inc.* ............................... 15,200 573,800
CUC International, Inc. .......................... 71,150 2,525,825
Career Horizons, Inc. ............................ 22,000 770,000
Ceridian Corp. ................................... 60,100 3,035,050
Computer Sciences, Corp.* ........................ 15,800 1,181,050
Corestaff, Inc. .................................. 14,600 653,350
DST Systems, Inc.* ............................... 39,600 1,267,200
Employee Solutions, Inc.* ........................ 45,400 1,430,100
Equity Corp., International ...................... 11,700 315,900
First USA Paymentech, Inc.* ...................... 400 16,000
Global DirectMail Corp.* ......................... 5,600 221,200
ICT Group, Inc.* ................................. 500 9,625
Interim Services, Inc. ........................... 400 17,200
Learning Tree International, Inc. ................ 60,000 1,845,000
Loewen Group* .................................... 3,200 96,800
Reynolds & Reynolds Co., "A" ..................... 11,100 591,075
Technology Solutions Co. ......................... 94,600 3,275,525
Transaction Systems Architects, Inc.* ............ 2,500 167,500
-------------
$ 21,467,462
-------------
CHEMICALS -- 0.3%
Praxair, Inc. .................................... 11,400 $ 481,650
-------------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 3.5%
Autodesk, Inc. ................................... 65,385 $ 1,953,376
Electronic Arts, Inc. ............................ 2,600 69,550
First Data Corp. ................................. 29,600 2,356,900
Microsoft Corp. .................................. 8,400 1,009,050
Spectrum Holobyte, Inc.* ......................... 25,000 143,750
Symantec* ........................................ 4,600 57,500
-------------
$ 5,590,126
-------------
COMPUTER SOFTWARE -- SYSTEMS -- 20.6%
Adobe Systems, Inc. .............................. 24,000 $ 861,000
BMC Software, Inc.* .............................. 86,100 5,144,475
Cadence Design Systems, Inc.* .................... 203,800 6,878,250
Computer Associates International, Inc. .......... 52,000 3,705,000
Compuware Corp.* ................................. 72,000 2,844,000
Control Data Systems, Inc.* ...................... 22,300 476,662
Edify Corp.* ..................................... 600 15,900
Forte Software, Inc.* ............................ 400 20,900
Informix Corp. ................................... 12,900 290,250
Oracle Systems Corp.* ............................ 235,400 9,283,587
Sapient Corp.* ................................... 300 12,675
Sybase, Inc.* .................................... 98,500 2,327,062
System Software Associates, Inc. ................. 90,900 1,545,300
-------------
$ 33,405,061
-------------
CONSTRUCTION SERVICES -- 0.6%
Shaw Group, Inc. ................................. 49,200 $ 928,650
-------------
CONSUMER GOODS AND SERVICES -- 1.1%
META Group, Inc.* ................................ 200 $ 4,900
Service Corp. International ...................... 5,400 310,500
Tyco International Ltd. .......................... 37,600 1,532,200
-------------
$ 1,847,600
-------------
ELECTRONICS -- 1.5%
Altera Corp. ..................................... 30,200 $ 1,147,600
LSI Logic Corp. .................................. 23,500 611,000
Xilinx, Inc. ..................................... 22,200 704,850
-------------
$ 2,463,450
-------------
ENTERTAINMENT -- 5.2%
American Radio System Corp.* ..................... 13,400 $ 576,200
Bally Entertainment Group* ....................... 31,900 877,250
Grand Casinos, Inc. .............................. 45,600 1,174,200
Harrah's Entertainment, Inc. ..................... 82,900 2,341,925
Heritage Media Corp. ............................. 25,000 996,875
Infinity Broadcasting Corp., "A" ................. 9,350 280,500
Jacor Communications, Inc., "A" .................. 23,100 713,212
LIN Television Corp.* ............................ 14,600 525,600
Showboat, Inc. ................................... 1,400 42,175
Sinclair Broadcast Group, Inc.* .................. 22,400 974,400
-------------
$ 8,502,337
-------------
MACHINERY
SI Handling Systems, Inc. ........................ 13,000 $ 133,250
-------------
MEDICAL AND HEALTH PRODUCTS -- 0.8%
BioChem Pharma, Inc.* ............................ 21,300 $ 798,750
Cohr, Inc.* ...................................... 500 11,875
IDEC Pharmaceuticals Corp.* ...................... 19,500 450,938
-------------
$ 1,261,563
-------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 8.3%
Columbia HCA Healthcare .......................... 1,900 $ 101,413
Community Health Systems, Inc.* .................. 15,500 802,125
Foundation Health Corp.* ......................... 3,800 136,325
Health Management Assoc., Inc. ................... 13,200 267,300
Healthsource, Inc.* .............................. 35,200 616,000
HealthSouth Corp.* ............................... 81,400 2,930,400
Henry Schein, Inc.* .............................. 400 15,300
IDX Systems Corp.* ............................... 21,600 842,400
Orthodontic Centers of America* .................. 1,700 45,050
Oxford Health Plans, Inc.* ....................... 6,600 271,425
Pacificare Health Systems, Inc., "A" ............. 15,800 1,042,800
Pacificare Health Systems, Inc., "B" ............. 15,900 1,077,225
Pharmaceutical Product Development,
Inc.* .......................................... 300 10,050
Renal Treatment Centers, Inc.* ................... 4,400 126,500
St. Jude Medical, Inc.* .......................... 14,900 499,150
Total Renal Care Holdings, Inc.* ................. 4,900 207,025
United Healthcare Corp. .......................... 87,400 4,413,700
-------------
$ 13,404,188
-------------
METALS AND MINERALS -- 0.1%
Titanium Metals Corp.* ........................... 8,600 $ 222,525
-------------
OILS -- 0.4%
Seacor Holdings, Inc.* ........................... 13,600 $ 608,600
-------------
POLLUTION CONTROL -- 0.7%
Republic Industries, Inc.* ....................... 3,000 $ 87,375
Sanifill, Inc.* .................................. 20,900 1,029,325
-------------
$ 1,116,700
-------------
PRINTING AND PUBLISHING -- 0.2%
Pulitzer Publishing Co. .......................... 4,600 $ 272,550
-------------
RAILROADS -- 0.3%
Wisconsin Central Transportation Corp. ........... 13,600 $ 442,000
-------------
RESTAURANTS AND LODGING -- 8.2%
Applebee's International, Inc. ................... 105,300 $ 3,382,762
Buffets, Inc.* ................................... 15,800 193,550
HFS, Inc.* ....................................... 132,700 9,289,000
Interstate Hotels Co.* ........................... 2,700 60,075
Promus Hotel Corp.* .............................. 11,750 348,094
-------------
$ 13,273,481
-------------
SPECIAL PRODUCTS AND SERVICES -- 0.2%
YES! Entertainment Corp.* ........................ 19,500 $ 287,625
-------------
STORES -- 3.3%
BT Office Products International, Inc.* .......... 10,700 $ 191,263
Corporate Express, Inc. .......................... 20,100 804,000
General Nutrition Cos., Inc. ..................... 80,700 1,412,250
Hollywood Entertainment Corp.* ................... 24,100 373,550
Micro Warehouse, Inc.* ........................... 3,700 74,000
Office Depot, Inc.* .............................. 98,000 1,996,750
OfficeMax, Inc. .................................. 21,200 506,150
-------------
$ 5,357,963
-------------
TELECOMMUNICATIONS -- 9.9%
Bay Networks, Inc.* .............................. 3,000 $ 77,250
Cabletron Systems, Inc.* ......................... 75,600 5,188,050
Cisco Systems, Inc. .............................. 61,000 3,454,125
ECI Telecommunications Ltd. ...................... 31,900 741,675
Glenayre Technologies, Inc. ...................... 48,400 2,420,000
Premiere Technologies, Inc.* ..................... 900 28,350
Sterling Commerce, Inc.* ......................... 5,300 196,763
Tel-Save Holdings, Inc.* ......................... 35,350 751,188
WorldCom, Inc.* .................................. 57,900 3,206,214
-------------
$ 16,063,615
-------------
Total U.S. Stocks
(Identified Cost, $116,763,325) ...................... $ 131,927,583
-------------
FOREIGN STOCKS -- 6.4%
CANADA -- 0.4%
Loewen Group, Inc. (Business Services)## ......... 20,200 $ 615,845
-------------
FRANCE
Dassault Systemes S.A., ADR
(Computer Software)* ........................... 1,400 $ 43,400
-------------
GERMANY -- 0.2%
SGL Carbon AG, ADR (Chemicals)* .................. 9,800 $ 374,850
-------------
HONG KONG -- 0.2%
Asia Satellite Telecommunications Holdings Ltd.
(Telecommunications)* .......................... 700 $ 20,825
Guangnan Holdings (Food Products) ................ 522,000 311,911
-------------
$ 332,736
-------------
IRELAND -- 0.3%
Elan Corp. PLC, ADR (Pharmaceuticals)* ........... 8,300 $ 474,137
-------------
ITALY -- 3.6%
Fila Holdings, ADR (Retail -- Apparel) ........... 32,300 $ 2,785,875
Gucci Group, ADR (Retail -- Apparel) ............. 16,600 1,070,700
Luxottica Group, ADR (Consumer
Goods) ......................................... 18,100 1,328,087
Telecom Italia Mobile S.p.A.
(Telecommunications) ........................... 457,400 623,592
-------------
$ 5,808,254
-------------
PHILIPPINES -- 0.5%
Pilipino Telephone Corp.
(Telecommunications) ........................... 488,700 $ 746,164
-------------
SOUTH KOREA -- 0.8%
Korea Mobile Telecom, ADR
(Telecommunications)* .......................... 78,000 $ 1,335,750
-------------
UNITED KINGDOM -- 0.4%
Jarvis Hotels PLC (Lodging)*+ .................... 3,300 $ 8,914
Pace Micro Technology PLC
(Electronics)* ................................. 37,900 110,611
Planning Sciences International PLC, ADR (Computer
Software) ...................................... 600 13,500
Renaissance Hotel Group N.V. (Lodging) ........... 26,000 559,000
-------------
$ 692,025
-------------
Total Foreign Stocks
(Identified Cost, $9,080,267) ........................ $ 10,423,161
-------------
Total Common Stocks
(Identified Cost, $125,843,592) ...................... $ 142,350,744
-------------
SHORT-TERM OBLIGATIONS -- 11.4%
Principal Amount
(000 Omitted)
Federal Home Loan Bank, due 7/08/96 ........... $ 4,450 $ 4,445,466
Federal Home Loan Mortgage Corp.,
due 7/01/96 - 7/19/96 ....................... 14,005 13,985,449
-------------
Total Short-Term Obligations,
at Amortized Cost ................................. $ 18,430,915
-------------
Total Investments
(Identified Cost, $144,274,507) ................... $ 160,781,659
OTHER ASSETS,
LESS LIABILITIES -- 0.8% .............................. 1,227,065
-------------
Net Assets -- 100.0% ................................ $ 162,008,724
=============
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
GOVERNMENT SECURITIES SERIES
U.S. FEDERAL AGENCIES -- 31.1%
Principal Amount
Issuer (000 Omitted) Value
AID Israel, 8s, 2001 .......................... $ 5,000 $ 5,279,400
AID Israel, 5.625s, 2003 ...................... 2,000 1,860,740
AID Israel, 5.89s, 2005 ....................... 3,000 2,767,770
Farm Credit Systems Financial
Assistance, 9.375s, 2003 .................... 3,950 4,507,306
Federal Agricultural Mortgage Corp.,
7.02s, 1998 ................................. 1,000 1,012,660
Federal Agricultural Mortgage Corp.,
7.25s, 1999 ................................. 2,000 2,041,880
Federal Agricultural Mortgage Corp.,
7.63s, 2001 ................................. 6,000 6,236,220
Federal Agricultural Mortgage Corp.,
6.418s, 2003 ................................ 3,062 2,956,552
Federal Agricultural Mortgage Corp.,
8.07s, 2006 ................................. 1,000 1,074,690
Federal Home Loan Bank,
4.25s, 1997 ................................. 7,000 6,884,080
Federal Home Loan Mortgage Corp., 8.5s, 2022 .. 32 32,640
Federal Home Loan Mortgage Corp., 9s, 2006-2020 2,464 2,555,739
Federal Home Loan Mortgage Corp., 7.5s, 2024 .. 9,108 8,994,093
Federal Housing & Urban Development Corp.,
6.83s, 2003 ................................. 8,025 7,975,245
Federal Housing & Urban Development Corp.,
6.92s, 2004 ................................. 4,525 4,518,891
Federal National Mortgage Assn.,
7.27s, 2005 ................................. 6,150 6,096,659
Federal National Mortgage Assn.,
7.3747s, 2020 ............................... 1,812 1,813,164
Federal National Mortgage Assn.,
8s, 2005 - 2017 ............................. 8,857 9,112,418
Federal National Mortgage Assn.,
8.25s, 2001 ................................. 3,960 4,090,800
Federal National Mortgage Assn.,
8.5s, 2001-2006 ............................. 1,466 1,515,079
Federal National Mortgage Assn.,
9s, 2007 .................................... 3,393 3,522,216
Financing Corp., 9.4s, 2018 ................... 4,845 5,905,619
Financing Corp., 9.8s, 2018 ................... 5,600 7,074,368
North Pacific Fishing, 5.9s, 2006 ............. 3,792 3,654,316
Private Export Funding Corp.,
8.4s, 2001 .................................. 3,000 3,205,080
Private Export Funding Corp.,
6.24s, 2002 ................................. 8,000 7,798,640
Resolution Funding Corp.,
8.875s, 2020 ................................ 6,000 7,132,500
-------------
Total U.S. Federal Agencies
(Identified Cost, $118,899,011) ...................... $ 119,618,765
-------------
U.S. GOVERNMENT BACKED -- 63.5%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 27.2%
GNMA, 6.5s, 2025 .............................. $ 13,978 $ 13,007,988
GNMA, 7s, 2023 ................................ 35,861 34,381,584
GNMA, 7.5s, 2008 - 2025 ....................... 49,847 49,266,307
GNMA, 9s, 2017 - 2023 ......................... 7,369 7,720,685
GNMA, 12.25s, 2015 ............................ 16 18,052
-------------
$ 104,394,616
-------------
SMALL BUSINESS ADMINISTRATION -- 3.1%
SBA, 8.2s, 2005 ............................... $ 1,662 $ 1,698,831
SBA, 8.4s, 2007 ............................... 725 761,607
SBA, 9.65s, 2007 .............................. 470 509,374
SBA, 8.7s, 2009 ............................... 3,864 4,110,354
SBA, 9.05s, 2009 .............................. 648 694,281
SBA, 10.05s, 2009 ............................. 878 975,553
SBA, 10.1s, 2009 .............................. 1,382 1,530,535
SBA, 9.65s, 2010 .............................. 1,522 1,672,757
-------------
$ 11,953,292
-------------
U.S. TREASURY OBLIGATIONS -- 31.6%
U.S. Treasury Notes, 5.375s, 1998.............. $ 7,000 $ 6,907,040
U.S. Treasury Notes, 6.125s, 1998.............. 6,200 6,200,000
U.S. Treasury Notes, 9.25s, 1998 .............. 19,250 20,408,080
U.S. Treasury Notes, 5.875s, 1999.............. 9,200 9,108,000
U.S. Treasury Notes, 6.75s, 1999 .............. 17,000 17,196,520
U.S. Treasury Notes, 9.125s, 1999.............. 10,950 11,745,627
U.S. Treasury Notes, 6.75s, 2000 .............. 9,500 9,599,465
U.S. Treasury Bonds, 12s, 2013 ................ 6,500 9,162,985
U.S. Treasury Bonds, 11.25s, 2015.............. 6,500 9,380,280
U.S. Treasury Bonds, 9s, 2018 ................. 4,000 4,875,000
U.S. Treasury Bonds, 8.75s, 2020............... 14,000 16,738,680
-------------
$ 121,321,677
-------------
OTHER -- 1.6%
Bay Transport Corp., 7.3s, 2021 ............... $ 5,345 $ 5,298,231
U.S. Department of Veterans Affairs,
7.75s, 2014 ................................ 1,000 1,008,750
-------------
$ 6,306,981
-------------
Total U.S. Government Backed
(Identified Cost, $246,156,459) ...................... $ 243,976,566
-------------
REPURCHASE AGREEMENT -- 4.8%
Principal Amount
Issuer (000 Omitted) Value
Investments in repurchase agreements with
Goldman Sachs, in a joint trading account
($220,176,000 par), dated 6/28/96, due 7/01/96,
total to be received by the Series $18,429,366,
collateralized by various U.S. Treasury and
Federal Agency obligations ($220,176,000 par
and valued at $220,176,454), at Cost ........ $ 18,421 $ 18,421,000
-------------
Total Investments
(Identified Cost, $383,476,470) ...................... $ 382,016,331
OTHER ASSETS,
LESS LIABILITIES -- 0.6% ................................. 2,486,423
-------------
Net Assets -- 100.0% ................................... $ 384,502,754
=============
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
HIGH YIELD SERIES
NON-CONVERTIBLE BONDS -- 92.4%
Principal Amount
Issuer (000 Omitted) Value
AIRLINES -- 2.0%
Continental Airlines, Inc., Liquidating Trust,
11.75s, 1999** ................................. $ 700 $ 70
GPA, PLC, 10.875s, 2019 .......................... 700 728,000
K & F Industries, Inc., 11.875s, 2003 ............ 650 695,500
Moog, Inc., 10s, 2006## .......................... 1,700 1,700,000
--------------
$ 3,123,570
--------------
FINANCIAL INSTITUTIONS -- 0.3%
American Life Holdings Co.,
11.25s, 2004 ................................... $ 400 $ 422,000
--------------
INDUSTRIALS -- 88.7%
Automotive -- 3.0%
Exide Corp., 10s, 2005 ........................... $ 1,300 $ 1,269,125
Harvard Industries, Inc., 12s, 2004 .............. 1,050 1,029,000
Harvard Industries, Inc., 11.125s, 2005 .......... 925 869,500
Hayes Wheels International, Inc.,
11s, 2006 ...................................... 750 760,312
SPX Corp., 11.75s, 2002 .......................... 800 846,000
--------------
$ 4,773,937
--------------
Building -- 5.5%
American Standard, Inc., 0s, 2005 ................ $ 2,975 $ 2,595,687
Building Materials Corp., 0s, 2004 ............... 1,750 1,303,750
Lone Star Industries, Inc., 10s, 2003 ............ 850 857,438
Nortek, Inc., 9.875s, 2004 ....................... 1,100 1,045,000
Schuller International Group, Inc.,
10.875s, 2004 .................................. 1,450 1,551,500
UDC Homes, Inc., "C", 14.5s, 2000 ................ 6 3,313
USG Corp., 9.25s, 2001 ........................... 1,300 1,332,500
--------------
$ 8,689,188
--------------
Cellular Telephones -- 0.8%
Millicom International Cellular,
0s, 2006## ..................................... $ 1,300 $ 692,250
Rogers Cantell, Inc., 9.375s, 2008 ............... 600 582,000
--------------
$ 1,274,250
--------------
Chemicals -- 3.7%
Arcadian Partners LP, 10.75s, 2005 ............... $ 1,500 $ 1,620,000
INDSPEC Chemical, 11.5s, 2003 .................... 800 690,000
NL Industries, Inc., 11.75s, 2003 ................ 1,705 1,739,100
UCC Investors Holdings, Inc.,
10.5s, 2002 .................................... 1,250 1,312,500
500 410,000
--------------
$ 5,771,600
--------------
Consumer Goods and Services -- 6.3%
Consolidated Cigar Corp., 10.5s, 2003 ............ $ 250 $ 259,375
International Semi-Tech Microelectronics, Inc.,
0s, 2003 ....................................... 1,000 572,500
Ithaca Industries, Inc., 11.125s, 2002** ......... 750 345,000
Reeves Industries, Inc., 11s, 2002 ............... 1,530 1,331,100
Remington Arms, Inc., 0s, 2003## ................. 350 308,000
Revlon Consumer Products Corp., 10.5s, 2003 ...... 1,330 1,336,650
Revlon Worldwide Corp., 0s, 1998 ................. 300 249,375
Samsonite Corp., 11.125s, 2005 ................... 1,050 1,065,750
Sealy Corp., 9.5s, 2003 .......................... 1,150 1,115,500
Synthetic Industries, Inc., 12.75s, 2002 ......... 1,600 1,692,000
Westpoint Stevens, Inc., 9.375s, 2005 ............ 1,725 1,664,625
--------------
$ 9,939,875
--------------
Containers -- 4.8%
Atlantis Group, Inc., 11s, 2003 .................. $ 450 $ 429,750
Calmar, Inc., 11.5s, 2005 ........................ 1,300 1,267,500
Ivex Packaging Corp., 12.5s, 2002 ................ 1,430 1,505,075
Owens-Illinois, Inc., 11s, 2003 .................. 1,350 1,451,250
Owens-Illinois, Inc., 9.95s, 2004 ................ 500 501,250
Plastic Containers, Inc., 10.75s, 2001 ........... 1,000 991,250
Silgan Corp., 11.75s, 2002 ....................... 970 984,550
Stone Container Corp., 10.75s, 2002 .............. 400 404,000
--------------
$ 7,534,625
--------------
Electronics -- 0.5%
Clark-Schwebel, Inc., 10.5s, 2006## .............. $ 800 $ 828,000
--------------
Entertainment -- 2.6%
ACT III Theatres, Inc., 11.875s, 2003 ............ $ 600 $ 660,000
Allbritton Communications Corp.,
11.5s, 2004 .................................... 600 609,000
American Skiing Corp., 12s, 2006## ............... 800 784,000
SCI Television, Inc., 11s, 2005 .................. 1,500 1,556,250
United Artist Theater Circuit, Inc.,
11.5s, 2002 .................................... 400 420,000
--------------
$ 4,029,250
--------------
Food and Beverage Products -- 3.9%
Coca-Cola Bottling Group Southwest, Inc., 9s, 2003 $ 250 $ 245,000
Foodbrands America, Inc., 10.75s, 2006 ........... 1,550 1,550,000
Keebler Corp., 10.75s, 2006 ...................... 450 463,500
PMI Acquisition Corp., 10.25s, 2003 .............. 1,250 1,225,000
Specialty Foods Corp., 10.25s, 2001 .............. 1,550 1,441,500
Texas Bottling Group, Inc., 9s, 2003 ............. 1,250 1,212,500
--------------
$ 6,137,500
--------------
Forest and Paper Products -- 2.7%
Gaylord Container Co., 12.75s, 2005 .............. $ 1,700 $ 1,791,375
Pacific Lumber Co., 10.5s, 2003 .................. 1,400 1,358,000
Stone Container Corp., 9.875s, 2001 .............. 1,100 1,067,000
--------------
$ 4,216,375
--------------
Machinery -- 0.4%
AGCO Corp., 8.5s, 2006## ......................... $ 700 $ 686,000
--------------
Medical and Health Technology and Services -- 3.5%
Beverly Enterprises, Inc., 9s, 2006 .............. $ 700 $ 647,500
Genesis Health Ventures, Inc.,
9.75s, 2005 .................................... 1,500 1,526,250
Quorum Health Group, 8.75s, 2005 ................. 1,500 1,470,000
Tenet Healthcare Corp., 10.125s, 2005 ............ 1,850 1,951,750
--------------
$ 5,595,500
--------------
Metals and Minerals -- 0.9%
Renco Metals, Inc., 11.5s, 2003 .................. $ 600 $ 600,000
Ryderson Tull, Inc., 9.125s, 2006 ................ 800 802,000
--------------
$ 1,402,000
--------------
Oil Services -- 5.7%
AmeriGas Partners LP, 10.125s, 2007 .............. $ 1,600 $ 1,648,000
Clark USA, Inc., 10.875s, 2005 ................... 800 832,000
Falcon Drilling Co., 8.875s, 2003 ................ 950 916,750
Ferrell Gas LP, 10s, 2001 ........................ 1,200 1,227,000
Giant Industries, Inc., 9.75s, 2003 .............. 1,950 1,930,500
Noble Drilling Corp., 9.25s, 2003 ................ 1,050 1,060,500
PDV America, Inc., 7.875s, 2003 .................. 600 582,408
Tuboscope Vetco International, Inc., 10.75s, 2003 800 824,000
--------------
$ 9,021,158
--------------
Oils -- 3.3%
Chesapeake Energy Corp.,
9.125s, 2006 ................................... $ 375 $ 365,625
Gulf Canada, 9.25s, 2004 ......................... 1,150 1,121,250
Kelley Oil & Gas Corp., 13.5s, 1999 .............. 1,000 1,067,500
Mesa Operating Co., 10.625s, 2006 ................ 2,200 2,224,750
Nuevo Energy Co., 9.5s, 2006 ..................... 450 443,250
--------------
$ 5,222,375
--------------
Printing and Publishing -- 1.8%
Day International Group, Inc.,
11.125s, 2005 .................................. $ 900 $ 920,250
Golden Books Publishing, Inc.,
7.65s, 2002 .................................... 400 332,000
K-III Communications Corp.,
10.625s, 2002 .................................. 895 926,325
Newsquest Capital, 11s, 2006## ................... 750 750,000
--------------
$ 2,928,575
--------------
Restaurants and Lodging -- 6.0%
Argosy Gaming Co., 13.25s, 2004## ................ $ 500 $ 507,500
Aztar Corp., 11s, 2002 ........................... 850 884,000
Ballys Grand, Inc., 10.375s, 2003 ................ 1,450 1,591,375
Boomtown, Inc., 11.5s, 2003 ...................... 375 361,875
Boyd Gaming Corp., 10.75s, 2003 .................. 1,150 1,207,500
Coast Hotel & Casino, 13s, 2002## ................ 600 651,000
Four Seasons Hotels, Inc.,
9.125s, 2000## ................................. 1,100 1,094,500
Grand Casinos, Inc., 10.125s, 2003 ............... 1,000 1,025,000
Griffin Gaming & Entertainment,
0s, 2000 ....................................... 300 288,750
Harrah's Jazz Co., 14.25s, 2001 .................. 650 325,000
Harveys Casino Resorts, 10.625s, 2006 ............ 500 507,500
Sam Houston Race Park, 11s, 2001 ................. 159 63,807
Station Casinos, Inc., 9.625s, 2003 .............. 1,050 1,008,000
--------------
$ 9,515,807
--------------
Special Products and Services -- 7.2%
AAF-McQuay, Inc., 8.875s, 2003 ................... $ 1,400 $ 1,330,000
Fairfield Manufacturing, 11.375s, 2001 ........... 450 459,000
Haynes International, Inc., 11.25s, 1998 ......... 150 156,750
Howmet Corp., 10s, 2003## ........................ 1,000 1,055,000
IMO Industries, Inc., 11.75s, 2006## ............. 1,450 1,479,000
Idex Corp., 9.75s, 2002 .......................... 665 684,950
Inter-City Products Corp., 9.75s, 2000 ........... 375 348,750
Interlake Corp., 12s, 2001 ....................... 600 630,000
Interlake Corp., 12.125s, 2002 ................... 650 650,000
Interlake Revolver, "B", 5.75s, 1997## ........... 283 280,628
Newflo Corp., 13.25s, 2002 ....................... 550 588,500
Polymer Group, Inc., 12.25s, 2002 ................ 834 900,720
Spreckeles Industries, Inc., 11.5s, 2000 ......... 1,050 1,081,500
Talley Manufacturing & Technology, Inc.,
10.75s, 2003 ................................... 900 922,500
Thermadyne Industries Holdings Corp., 10.25s, 2002 350 343,875
Thermadyne Industries Holdings Corp., 10.75s, 2003 450 447,750
--------------
$ 11,358,923
--------------
Steel -- 3.7%
AK Steel Holdings Corp., 10.75s, 2004 ............ $ 610 $ 657,275
Armco, Inc., 11.375s, 1999 ....................... 700 714,000
Carbide/Graphite Group, 11.5s, 2003 .............. 250 266,250
Jorgensen (Earle M.) Co., 10.75s, 2000 ........... 1,025 1,014,750
Kaiser Aluminum & Chemical Corp., 9.875s, 2002 ... 700 686,000
Republic Engineered Steels, Inc., 9.875s, 2001 ... 1,500 1,395,000
WCI Steel, 10.5s, 2002 ........................... 1,140 1,157,100
--------------
$ 5,890,375
--------------
Stores -- 1.4%
Finlay Enterprises, Inc., 12s, 2005 .............. $ 300 $ 240,375
Finlay Fine Jewelry, 10.625s, 2003 ............... 1,000 1,000,000
Parisian, Inc., 9.875s, 2003 ..................... 1,000 945,000
150 7,500
--------------
$ 2,192,875
--------------
Supermarkets -- 4.6%
Carr-Gottstein Foods Co., 12s, 2005 .............. $ 400 $ 410,000
Dominicks Finer Foods, 10.875s, 2005 ............. 1,550 1,631,375
Fleming Companies, Inc., 10.625s, 2001 ........... 300 271,500
Grand Union Co., 12s, 2004 ....................... 1,200 1,113,000
Pathmark Stores, Inc., 9.625s, 2003 .............. 1,400 1,302,000
Ralphs Grocery Co., 10.45s, 2004 ................. 1,350 1,323,000
Smith's Food & Drug Centers, Inc., 11.25s, 2007 .. 1,200 1,209,000
--------------
$ 7,259,875
--------------
Telecommunications -- 16.4%
American Communication Services, Inc.,
12.75s, 2006 ................................... $ 200 $ 104,000
American Radio Systems Corp.,
9s, 2006 ....................................... 500 471,250
Bell Cablemedia, 0s, 2005 ........................ 900 546,750
Bell & Howell Co., 10.75s, 2002 .................. 300 318,000
Brooks Fiber Properties, 0s, 2006## .............. 550 292,875
Cablevision Systems Corp., 9.25s, 2005 ........... 1,200 1,116,000
Century Communications, 9.5s, 2005 ............... 275 265,375
Charter Communications, 11.25s, 2006## ........... 850 837,250
Comcast Corp., 9.375s, 2005 ...................... 2,100 2,021,250
Diamond Cable Communications,
0s, 2005 ....................................... 800 470,000
EchoStar Satellite Broadcasting,
0s, 2004## ..................................... 1,200 747,000
EchoStar Communications Corp.,
0s, 2004 ....................................... 1,050 769,125
Falcon Holdings Group, Inc., 11s, 2003# ........., 1,396 1,341,092
Granite Broadcasting Corp.,
10.375s, 2005 .................................. 850 833,000
Intelcom Group, Inc., 0s, 2006## ................. 750 408,750
Jones Intercable, Inc., 9.625s, 2002 ............. 550 552,750
Jones Intercable, Inc., 11.5s, 2004 .............. 100 108,750
Jones Intercable, Inc., 10.5s, 2008 .............. 1,100 1,152,250
Le Groupe Videotron Ltd., 10.25s, 2002 ........... 800 824,000
Lensfest Communications,
10.5s, 2006## .................................. 800 804,000
MFS Communications, Inc., 0s, 2006 ............... 2,700 1,633,500
Marcus Cable Operations Co., 0s, 2004 ............ 875 625,625
Mobile Telecommunications,
13.5s, 2002 .................................... 750 796,875
Mobilemedia Communications, Inc.,
0s, 2003 ....................................... 1,400 994,000
Paging Network, Inc., 8.875s, 2006 ............... 2,600 2,353,000
Park Broadcasting, Inc., 11.75s, 2004## .......... 800 798,000
ProNet, 11.875s, 2005 ............................ 950 931,000
Rifkin Acquisition Partners LP,
11.125s, 2006 .................................. 500 488,750
Rogers Cablesystems Ltd.,
9.625s, 2002 ................................... 250 247,500
Rogers Cablesystems Ltd.,
10.125s, 2012 .................................. 1,150 1,104,000
Teleport Communications, 0s, 2007 ................ 1,750 1,019,375
Videotron Holdings, 0s, 2005 ..................... 1,500 956,250
--------------
$ 25,931,342
--------------
Total Industrials ..................................... $ 140,199,405
--------------
MORTGAGE-BACKED PASS-THROUGHS -- 0.2%
Merrill Lynch Mortgage Investors, Inc. 94-M1,
8.073s, 2022+ .................................. $ 500 $ 369,922
--------------
<PAGE>
TRANSPORTATION -- 1.0%
CHC Helicopter, 11.5s, 2002 ...................... $ 400 $ 378,000
Moran Transportation Co., 11.75s, 2004 ........... 300 299,250
Tiphook Finance Corp., 7.125s, 1998 .............. 550 393,250
Tiphook Finance Corp., 8s, 2000 .................. 679 485,485
--------------
$ 1,555,985
--------------
UTILITIES -- ELECTRIC -- 0.2%
El Paso Electric Co., 11.4s, 2008# ............... $ 3,350 $ 351,750
--------------
Total Non-Convertible Bonds
(Identified Cost, $146,435,742) ..................... $ 146,022,632
--------------
COMMON STOCKS AND WARRANTS -- 0.2%
Issuer Shares Value
Building
Atlantic Gulf Communities Corp.+* ................. 30 $ 180
--------------
Consumer Goods and Services
Ranger Industries, Inc.* ......................... 8,952 $ 806
--------------
Entertainment -- 0.2%
Gillett Holdings, Inc.+* ......................... 9,414 $ 244,764
Sam Houston Race Park* ........................... 45 225
--------------
$ 244,989
--------------
Oil and Gas Services
Crystal Oil Co., Warrants ........................ 36,780 $ --
Crystal Oil Co., Warrants ........................ 36,779 --
ICO, Inc., Warrants* ............................. 25,000 16,250
--------------
$ 16,250
--------------
Restaurant and Lodging
Palace Casino* ................................... 4,800 $ 48
--------------
Telecommunications
American Communications Services ................. 200 $ 20,000
--------------
Total Common Stocks and Warrants
(Identified Cost, $435,721) ......................... $ 282,273
--------------
PREFERRED STOCKS -- 2.7%
Entertainment -- 1.4%
Time Warner, 10.25s #,## ......................... 2,200 $ 2,156,000
--------------
Printing and Publishing -- 0.9%
K-III Communications Corp., 11.625s# ............. 14,419 $ 1,441,940
--------------
Telecommunications -- 0.4%
Cablevision Systems Corp., 11.125%## ............. 6,592 $ 616,352
--------------
Total Preferred Stocks
(Identified Cost, $4,087,320) ....................... $ 4,214,292
--------------
SHORT-TERM OBLIGATIONS -- 3.5%
Principal Amount
(000 Omitted)
General Motors Acceptance Corp., due 7/01/96 ..... $2,255 $ 2,255,000
TransAmerica Co., due 7/03/96 .................... 3,300 3,299,028
--------------
Total Short-Term Obligations,
at Amortized Cost ................................... $ 5,554,028
--------------
Total Investments
(Identified Cost, $156,512,811) ..................... $ 156,073,225
OTHER ASSETS, LESS LIABILITIES -- 1.2% .................... 1,952,563
--------------
Net Assets -- 100.0% .................................. $ 158,025,788
==============
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
MANAGED SECTORS SERIES
COMMON STOCKS -- 96.2%
Issuer Shares Value
ENERGY -- 10.1%
BJ Services Co.* ................................. 122,000 $ 4,285,250
Camco International, Inc. ........................ 52,500 1,778,438
Cooper Cameron Corp.* ............................ 71,000 3,106,250
Occidental Petroleum Corp. ....................... 240,000 5,940,000
Seacor Holdings, Inc.* ........................... 76,900 3,441,275
Weatherford International, Inc.* ................. 176,000 5,280,000
-------------
$ 23,831,213
-------------
FINANCIAL INSTITUTIONS -- 11.2%
Advanta Corp., "B" ............................... 75,000 $ 3,393,750
BayBanks, Inc. ................................... 27,000 2,909,250
CIGNA Corp. ...................................... 17,000 2,003,875
CNA Financial Corp.* ............................. 28,700 2,956,100
Equitable of Iowa Cos. ........................... 137,100 4,867,050
Federal Home Loan Mortgage Corp. ................. 47,000 4,018,500
Fleet/Norstar Financial Group, Inc. .............. 79,000 3,436,500
Union Planters Corp. ............................. 98,000 2,976,750
-------------
$ 26,561,775
-------------
LEISURE -- 21.0%
Argosy Gaming Corp.* ............................. 192,500 $ 1,419,688
Harrah's Entertainment, Inc.* .................... 380,000 10,735,000
MGM Grand, Inc.* ................................. 27,400 1,092,575
Promus Hotel Corp.* .............................. 124,400 3,685,350
Rogers Communications, Inc., "B"
(Canada) ....................................... 885,000 8,186,250
Showboat, Inc. ................................... 92,700 2,792,587
Sky City Ltd. (New Zealand)* ..................... 529,600 2,307,663
Telephone & Data Systems, Inc. ................... 429,800 19,341,000
-------------
$ 49,560,113
-------------
RETAIL -- 8.1%
Federated Department Stores, Inc.* ............... 111,000 $ 3,787,875
General Nutrition Cos., Inc.* .................... 154,400 2,702,000
Office Depot, Inc.* .............................. 165,000 3,361,875
Sears, Roebuck & Co. ............................. 90,000 4,376,250
Wal-Mart Stores, Inc. ............................ 195,000 4,948,125
-------------
$ 19,176,125
-------------
TECHNOLOGY -- 19.7%
ADT Ltd.* ........................................ 275,000 $ 5,190,625
Adobe Systems, Inc. .............................. 85,000 3,049,375
Analog Devices, Inc.* ............................ 98,000 2,499,000
Cabletron Systems, Inc.* ......................... 64,000 4,392,000
Digital Equipment Corp. .......................... 75,000 3,375,000
Electronic Arts, Inc.* ........................... 188,800 5,050,400
Intel Corp. ...................................... 94,500 6,939,844
Loral Space & Communications Corp.* .............. 177,000 2,411,625
National Semiconductor Corp.* .................... 296,000 4,588,000
Oracle Systems Corp.* ............................ 80,500 3,174,719
Spectrum Holobyte, Inc.* ......................... 450,000 2,587,500
Sybase, Inc.* .................................... 141,000 3,331,125
-------------
$ 46,589,213
-------------
OTHER -- 26.1%
AGCO Corp. ....................................... 197,000 $ 5,466,750
Burlington Northern Santa Fe ..................... 25,000 2,021,875
Colgate-Palmolive Co. ............................ 52,500 4,449,375
Coventry Corp.* .................................. 248,000 3,906,000
Ford Motor Co. ................................... 69,000 2,233,875
Gannett Co., Inc. ................................ 33,000 2,334,750
General Motors Corp. ............................. 87,500 4,582,812
Goodrich (B.F.) Co. .............................. 67,000 2,504,125
Healthsource, Inc.* .............................. 192,300 3,365,250
Ingersoll-Rand Co. ............................... 75,000 3,281,250
McDonnell-Douglas Corp. .......................... 80,000 3,880,000
Pacificare Health Systems, Inc., "B" ............. 10,500 711,375
PowerGen PLC (United Kingdom) .................... 395,300 2,018,953
Praxair, Inc. .................................... 65,000 2,746,250
St. Jude Medical, Inc. ........................... 68,500 2,294,750
Tyco International Ltd. .......................... 204,600 8,337,450
United Healthcare Corp. .......................... 98,000 4,949,000
WMX Technologies, Inc. ........................... 20,600 674,650
58,600 1,904,500
-------------
$ 61,662,990
-------------
Total Common Stocks
(Identified Cost, $214,668,300) ...................... $ 227,381,429
-------------
CONVERTIBLE BOND -- 0.1%
Principal Amount
(000 Omitted)
COMPUTER SOFTWARE -- SYSTEMS -- 0.1%
Spectrum Holobyte, Inc., 6.5s, 2002##
(Identified Cost, $270,000) .................... $ 270 $ 187,650
-------------
SHORT-TERM OBLIGATIONS -- 3.4%
Federal Home Loan Mortgage Corp., due 7/15/96 .... $2,300 $ 2,295,304
Federal National Mortgage Assn., due 7/12/96 ..... 3,600 3,594,247
General Motors Corp., due 7/01/96 ................ 2,270 2,270,000
-------------
Total Short-Term Obligations,
at Amortized Cost .................................... $ 8,159,551
-------------
Total Investments
(Identified Cost, $223,097,851) ...................... $ 235,728,630
OTHER ASSETS,
LESS LIABILITIES -- 0.3% ................................. 719,075
-------------
Net Assets -- 100.0% ................................... $ 236,447,705
=============
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
MFS/FOREIGN & COLONIAL
INTERNATIONAL GROWTH SERIES
SHORT-TERM OBLIGATIONS -- 63.1%
Principal Amount
Issuer (000 Omitted) Value
Federal Farm Credit Bank, due 7/15/96 ...... $100 $ 99,796
Federal Home Loan Bank, due 7/22/96 ........ 50 49,846
Federal Home Loan Mortgage Corp.,
due 7/03/96 - 7/23/96 .................... 100 99,824
Federal National Mortgage Assn.,
due 7/03/96 - 7/24/96 .................... 100 99,817
85 84,788
----------
Total Short Term Obligations, at Amortized Cost ........... $ 434,071
OTHER ASSETS,
LESS LIABILITIES -- 36.9% ................................... 254,092
----------
Net Assets -- 100.0% ...................................... $ 688,163
==========
See portolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
MFS/FOREIGN & COLONIAL INTERNATIONAL
GROWTH AND INCOME SERIES
STOCKS -- 72.6%
Issuer Shares Value
AUSTRALIA -- 1.8%
Broken Hill Proprietary (Mining) .................. 10,614 $ 146,766
Mayne Nickless Ltd.
(Commercial Services) ........................... 24,200 141,507
Westpac Bank Corp. (Finance) ...................... 37,400 165,712
------------
$ 453,985
------------
AUSTRIA -- 0.3%
OMV AG (Oil and Gas) .............................. 795 $ 80,153
------------
BELGIUM -- 0.7%
Generale de Banque (Finance) ...................... 200 $ 70,400
Solvay et Cie (Chemicals) ......................... 160 98,975
------------
$ 169,375
------------
FRANCE -- 4.4%
Accor (Lodging) ................................... 1,280 $ 179,073
Compagnie de St. Gobain
(Building Materials) ............................ 1,600 214,204
Credit Local de France (Finance) .................. 2,070 168,528
Eaux (Cie Generale) (Utilities -- Water) .......... 660 73,739
LaFarge-Coppee, Bearer Shares
(Building Materials) ............................ 2,620 158,580
Legrand, Preference Shares
(Electrical Equipment) .......................... 520 61,129
Michelin (C.G.D.E.) (Tire and Rubber) ............. 1,900 93,034
TOTAL S.A., "B" (Oils) ............................ 1,820 135,019
------------
$ 1,083,306
------------
GERMANY -- 3.9%
Bayer AG (Chemicals) .............................. 5,600 $ 197,740
Deutsche Bank AG (Finance) ........................ 320 15,136
Mannesmann AG (Diversified Machinery) ............. 700 241,887
Preussag AG (Metals/Hardware) ..................... 200 50,585
Siemens AG (Electrical Equipment) ................. 2,900 154,888
VEBA AG (Oil and Gas) ............................. 2,490 132,286
Volkswagen AG (Automobiles) ....................... 440 163,461
------------
$ 955,983
------------
HONG KONG -- 3.7%
Cheug Kong Holdings Ltd. (Real Estate) ............ 28,000 $ 201,674
HSBC Holdings PLC (Finance) ....................... 8,800 133,020
Hong Kong Electric Holdings Ltd.
(Utilities -- Electric) ......................... 39,500 120,436
New World Development Co.
(Real Estate) ................................... 25,000 115,953
Swire Pacific Air Ltd., "A"
(Transportation -- Air) ......................... 21,000 179,743
Wharf Holdings Ltd. (Real Estate) ................. 46,000 164,621
------------
$ 915,447
------------
ITALY -- 0.7%
Fiat S.p.A. (Automobiles) ......................... 21,340 $ 71,481
Italgas (Utilities -- Gas) ........................ 13,510 50,453
Telecom Italia S.p.A.
(Telecommunications) ............................ 20,450 43,955
------------
$ 165,889
------------
JAPAN -- 33.7%
Asahi Chemical Industry Co. Ltd.
(Chemicals) ..................................... 43,000 $ 307,031
Canon, Inc. (Consumer Goods) ...................... 18,000 374,726
DDI Corp. (Telecommunications) .................... 43 375,347
Dai-Ichi Kangyo Bank Ltd. (Banks) ................. 20,000 372,535
Fujisawa Pharmaceutical
(Pharmaceuticals) ............................... 32,000 336,012
Hitachi (Electronics) ............................. 6,000 55,880
Hitachi Zosen Corp. (Manufacturing) ............... 56,000 317,531
Honshu Paper Co. Ltd.
(Forest and Paper Products) ..................... 44,000 312,162
Industrial Bank of Japan (Finance) ................ 16,000 397,370
Isetan (Retail) ................................... 23,000 348,612
Ito-Yokado Co. Ltd. (Retail) ...................... 6,000 362,126
Kajima Corp. (Engineering/Construction) ........... 30,000 309,532
Kyocera Corp (Electronics) ........................ 5,000 353,817
Marubeni Corp. (Distribution/Wholesale) ........... 81,000 443,755
Matsushita Electric Industrial Co.
(Electrical Equipment) .......................... 12,000 223,521
Mitsubishi Estate Co. Ltd. (Real Estate) .......... 24,000 330,898
Mitsubishi Heavy Industries Ltd.
(Aerospace/Defense) ............................. 34,000 295,855
Mitsubishi Trust & Banking (Finance) .............. 14,000 236,486
NKK Corp. (Steel)* ................................ 114,000 345,581
Nippon Yusen Kabushiki Kaish ...................... 63,000 364,700
Nomura Securities Co. Ltd. (Finance) .............. 16,000 312,637
Omron Corp. (Electronics) ......................... 18,000 382,944
Pioneer Electronic Corp (Electronics) ............. 15,000 357,469
Ricoh Co. Ltd. (Office/Business
Equipment) ...................................... 33,000 349,525
Sakura Bank Ltd. (Finance) ........................ 8,000 89,116
Tokyo Broadcasting System
(Broadcasting) .................................. 3,000 53,141
Toyo Trust & Banking (Banks) ...................... 33,000 340,486
------------
$ 8,348,795
------------
MALAYSIA -- 1.4%
Genting Berhad (Entertainment) .................... 12,000 $ 93,844
Malayan Banking Berhad (Finance) .................. 11,000 105,875
Petronas Gas Berhad (Oil and Gas)## ............... 19,000 81,532
Sime Darby Berhad (Holding Company) ............... 29,000 80,249
------------
$ 361,500
------------
NETHERLANDS -- 4.3%
ABN Amro Holding N.V. (Finance) ................... 3,340 $ 179,303
Ahold (Kon) N.V. (Retail) ......................... 2,100 113,843
Akzo Nobel N.V. (Chemicals) ....................... 1,460 174,981
KNP BT (Koninklijke) N.V.
(Forest and Paper Products) ..................... 7,550 180,973
Philips Electronics N.V. (Manufacturing) .......... 3,950 128,480
Vendex International N.V. (Retail) ................ 3,000 104,612
Verenigde Nederlandse
Uitgeversbedrijven (Publishing) ................. 12,120 188,232
------------
$ 1,070,424
------------
SINGAPORE -- 1.9%
City Developments Ltd. (Real Estate) .............. 17,000 $ 132,558
Development Bank of Singapore Ltd.
(Banks) ......................................... 9,000 112,285
Keppel Corp. Ltd. (Transportation -- Marine) ...... 10,000 83,646
Overseas-Chinese Banking Corp. Ltd.
(Finance) ....................................... 11,000 128,660
Overseas-Chinese Banking Corp. Ltd.,
Rights (Finance) ................................ 1,100 8,842
------------
$ 465,991
------------
SPAIN -- 1.5%
Repsol S.A. (Oils) ................................ 5,490 $ 190,929
Telefonica de Espana (Utilities -- Telephone) ..... 9,300 171,335
------------
$ 362,264
------------
SWEDEN -- 1.4%
Ericsson LM, "B" (Telecommunications) ............. 8,900 $ 192,106
Swedish Match AB (Tobacco)* ....................... 3,480 10,821
Volvo AB, "B" (Automotive) ........................ 6,680 152,254
------------
$ 355,181
------------
SWITZERLAND -- 3.0%
Nestle AG, Registered Shares
(Food and Beverage Products) .................... 150 $ 171,274
Roche Holdings AG (Pharmaceuticals) ............... 25 190,671
Sandoz AG (Pharmaceuticals) ....................... 150 171,514
Winterthur (Insurance) ............................ 340 202,397
------------
$ 735,856
------------
UNITED KINGDOM -- 9.9%
Allied Domecq PLC (Food and Beverage Products) .... 16,600 $ 116,737
B.A.T Industries PLC (Tobacco) .................... 10,200 79,331
BTR PLC (Holding Company) ......................... 34,740 136,444
Bass PLC (Brewery) ................................ 2,970 37,277
British Gas PLC (Utilities -- Gas) ................ 39,300 109,207
British Petroleum Co. PLC (Oil and Gas) ........... 5,600 49,118
British Telecommunications PLC
(Telecommunications) ............................ 23,070 123,916
Caradon PLC (Holding Company) ..................... 34,100 114,079
Carlton Communications PLC
(Broadcasting) .................................. 21,500 172,891
Dalgety PLC (Food Products) ....................... 18,450 100,962
General Accident PLC (Insurance) .................. 6,690 67,766
General Electric Co. PLC (Electronics) ............ 11,850 63,742
Glaxo Wellcome PLC (Pharmaceuticals) .............. 5,500 74,026
Granada Group PLC (Leisure) ....................... 7,310 97,763
Inchcape PLC (Commercial Services) ................ 25,500 115,988
Johnson Matthey PLC (Metals) ...................... 11,200 108,059
Kingfisher PLC (Retail) ........................... 8,800 88,319
Land Securities PLC (Real Estate) ................. 14,130 136,658
London Electricity PLC
(Utilities -- Electric) ......................... 8,800 85,450
NFC PLC (Transportation) .......................... 35,270 101,841
National Westminster (Finance) .................... 14,200 135,351
Peninsular & Oriental Steam Navigation
Co. (Transportation -- Marine) .................. 11,170 83,927
Sainsbury (J.) PLC (Retail) ....................... 21,580 126,968
Shell Transport & Trading Co. PLC
(Oil and Gas) ................................... 3,800 55,688
Wimpey (George) PLC (Construction) ................ 35,600 82,069
------------
$ 2,463,577
------------
Total Stocks
(Identified Cost, $17,410,032) ........................ $ 17,987,726
------------
BONDS -- 15.7%
Principal Amount
(000 Omitted)
AUSTRALIA -- 0.4%
Government of Australia, 7s, 2000 ............. AUD 120 $ 90,143
------------
BELGIUM -- 0.7%
Kingdom of Belgium, 8.75s, 2002 ............... BEF 5,000 $ 181,540
------------
CANADA -- 2.0%
Government of Canada, 7.5s, 2001 .............. CAD 100 $ 74,789
Government of Canada, 7.5s, 2003 .............. 225 165,555
Government of Canada,
8.75s, 2005 ................................. 200 157,787
Government of Canada, 9.5s, 2010 .............. 125 103,564
------------
$ 501,695
------------
DENMARK -- 1.0%
Kingdom of Denmark, 8s, 2001 ...................DKK 1,341 $ 244,213
------------
GERMANY -- 2.2%
German Unity Fund, 8.5s, 2001 ................ DEM 500 $ 367,396
Treuhandanstalt Obligationen,
6.375s, 1999 ............................... 265 181,576
------------
$ 548,972
------------
IRELAND -- 0.7%
Republic of Ireland, 8s, 2000 ................ IEP 100 $ 166,511
------------
ITALY -- 2.0%
Republic of Italy, 8.5s, 1999 ................ ITL 265,000 $ 173,970
Republic of Italy, 9.5s, 1999 ................ 315,000 211,151
Republic of Italy, 9.5s, 2006 ................ 155,000 102,747
------------
$ 487,868
------------
JAPAN -- 2.7%
Export-Import Bank of Japan,
4.375s, 2003 ............................... JPY 20,000 $ 197,407
International Bank of Reconstruction &
Development, 4.5s, ......................... 24,000 239,847
International Bank of Reconstruction &
Development, 5.25s, 2002 ................... 23,000 238,778
------------
$ 676,032
------------
NETHERLANDS -- 0.4%
Government of Netherlands,
6s, 2006 ................................... NLG 150 $ 85,360
------------
SPAIN -- 0.9%
Government of Spain, 8.3s, 1998 .............. ESP 10,900 $ 86,468
Government of Spain, 10.1s, 2001 ............. 15,800 132,727
------------
$ 219,195
------------
SWEDEN -- 1.4%
Government of Sweden,
10.25s, 2000 ............................... SEK 2,100 $ 350,169
------------
UNITED KINGDOM -- 1.3%
United Kingdom Gilts, 9s, 2000 ............... GBP 135 $ 222,345
United Kingdom Gilts, 7s, 2001 ............... 70 106,868
------------
$ 329,213
------------
Total Bonds (Identified Cost, $3,900,799) ............. $ 3,880,911
------------
SHORT-TERM OBLIGATION -- 11.6%
Federal Home Loan Bank,
due 7/12/96 - 7/22/96,
at Amortized Cost ...................... $ 2,880 $ 2,871,935
------------
CALL OPTIONS PURCHASED
Principal Amount
of Contracts
Description/Expiration Month/Strike Price (000 Omitted) Value
AUSTRALIAN DOLLARS
July/0.80 .................................... AUD 180 $ 58
CANADIAN DOLLARS
October/1.332 ................................ CAD 345 534
DEUTSCHE MARKS
July/1.52 .................................... DEM 794 4,595
SPANISH PESETAS/DEUTSCHE MARKS
August/83.65 ................................. ESP 26,768 214
------------
Total Call Options Purchased
(Premiums Paid, $7,875) ............................. $ 5,401
------------
PUT OPTIONS PURCHASED -- 0.1%
DEUTSCHE MARKS
July/1.55 .................................... DEM 926 $ 22
DEUTSCHE MARKS/BRITISH POUNDS
August/2.3316 ................................ 1,144 10,318
SWISS FRANCS/DEUTSCHE MARKS
July/0.805 ................................... CHF 172 2,919
------------
Total Put Options Purchased
(Premiums Paid, $10,761) ............................ $ 13,259
------------
Total Investments
(Identified Cost, $24,201,402) ...................... $ 24,759,232
------------
PUT OPTIONS WRITTEN
CANADIAN DOLLARS
October/1.332 ................................ CAD 359 $ (716)
SPANISH PESETAS/DEUTSCHE MARKS
August/86 ..................................... ESP 27,520 (55)
------------
Total Put Options Written
(Premiums Received, $1,940) ......................... $ (771)
------------
OTHER ASSETS,
LESS LIABILITIES ........................................ $ 1,951
------------
Net Assets -- 100.0% .................................. $ 24,760,412
============
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
MFS/FOREIGN & COLONIAL
EMERGING MARKETS EQUITY SERIES
SHORT-TERM OBLIGATIONS -- 67.1%
Principal Amount
Issuer (000 Omitted) Value
Federal Home Loan Bank, due 7/22/96 ......... $15 $ 14,954
Federal Home Loan Mortgage Corp.,
due 7/12/96 - 7/23/96 ..................... 70 69,823
Federal National Mortgage Assn.,
due 7/03/96 - 7/24/96 ..................... 70 69,887
Tennessee Valley Authority, due 7/18/96 ..... 45 44,888
---------
Total Short-Term Obligations,
at Amortized Cost ........................................ $ 199,552
OTHER ASSETS,
LESS LIABILITIES -- 32.9% .................................... 97,673
---------
Net Assets -- 100.0% ....................................... $ 297,225
=========
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
MONEY MARKET SERIES
COMMERCIAL PAPER -- 40.6%
Principal Amount
Issuer (000 Omitted) Value
AT&T Corp., due 7/11/96 ...................... $6,000 $ 5,991,200
Abbott Labs, due 7/25/96 - 8/12/96 ........... 9,600 9,553,575
American Express,
due 7/03/96 - 8/01/96 ...................... 13,000 12,966,038
Beneficial Corp., due 8/28/96 ................ 7,400 7,337,170
Campbell Soup Co., due 7/19/96 ............... 4,000 3,989,360
Coca-Cola Co., due 8/20/96 ................... 9,000 8,933,250
du Pont (E.I.) de Nemours & Co.,
due 8/07/96 ................................ 4,000 3,978,129
Ford Motor Credit Corp.,
due 8/19/96 ................................ 8,900 8,834,949
General Motors Acceptance Corp.,
due 7/09/96 - 8/02/96 ...................... 12,500 12,463,395
Hewlett Packard Co. due 9/27/96 .............. 6,000 5,921,387
Pacific Gas & Electric, due 7/18/96 .......... 12,000 11,969,513
PepsiCo, due 7/01/96 ......................... 3,500 3,500,000
Pfizer, Inc., due 7/22/96 .................... 7,100 7,078,049
Procter & Gamble Co.,
due 7/19/96 ................................ 5,800 5,784,804
Raytheon Co., due 7/01/96 .................... 15,000 15,000,000
Toys 'R Us, due 8/01/96 ...................... 7,000 6,967,751
Warner Lambert Co., due 8/9/96 ............... 3,000 2,980,196
--------------
$ 133,248,766
--------------
U.S. GOVERNMENT AND
AGENCY OBLIGATIONS -- 63.2%
Federal Farm Credit Bank,
due 7/08/96 - 8/28/96 ...................... $25,200 $ 25,093,113
Federal Home Loan Bank,
due 7/12/96 - 10/16/96 ..................... 38,600 38,418,505
Federal Home Loan Mortgage
Corp., due 7/01/96 - 8/06/96 ............... 58,800 58,653,301
Federal National Mortgage Assn.,
due 7/02/96 - 12/20/96 ..................... 81,300 80,650,218
Tennessee Valley Authority,
due 7/18/96 ................................ 4,600 4,588,661
--------------
$ 207,403,798
--------------
Total Investments, at Amortized Cost .................. $ 340,652,564
OTHER ASSETS, LESS LIABILITIES -- (3.8)% .................. (12,422,603)
--------------
Net Assets -- 100.0% .................................. $ 328,229,961
==============
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
RESEARCH SERIES
COMMON STOCKS AND WARRANTS -- 96.9%
Issuer Shares Value
U.S. STOCKS -- 85.7%
AEROSPACE -- 6.0%
General Dynamics Corp. .......................... 34,000 $ 2,108,000
Lockheed Martin Corp. ........................... 30,600 2,570,400
McDonnell-Douglas Corp. ......................... 72,400 3,511,400
United Technologies Corp. ....................... 26,500 3,047,500
--------------
$ 11,237,300
--------------
AGRICULTURAL PRODUCTS -- 2.0%
AGCO Corp. ...................................... 72,000 $ 1,998,000
Case Corp. ...................................... 37,100 1,780,800
--------------
$ 3,778,800
--------------
APPAREL AND TEXTILES -- 1.0%
Nike, Inc., "B" ................................. 18,000 $ 1,849,500
--------------
AUTOMOTIVE -- 0.4%
Goodrich (B.F.) Co. ............................. 22,400 $ 837,200
--------------
BANKS AND CREDIT COMPANIES -- 2.9%
Baybanks, Inc. .................................. 19,000 $ 2,047,250
Chase Manhattan Corp. ........................... 30,712 2,169,035
Leader Financial Corp. .......................... 26,900 1,203,775
--------------
$ 5,420,060
--------------
BIOTECHNOLOGY -- 0.8%
Guidant Corp. * ................................. 31,200 $ 1,536,600
--------------
BUSINESS MACHINES -- 3.2%
Affiliated Computer Services, Inc. .............. 18,300 $ 860,100
Digital Equipment Corp.* ........................ 27,900 1,255,500
Gateway 2000, Inc. .............................. 45,300 1,540,200
Sun Microsystems, Inc. .......................... 40,900 2,407,987
--------------
$ 6,063,787
--------------
BUSINESS SERVICES -- 2.5%
Alco Standard Corp. ............................. 36,300 $ 1,642,575
Ceridian Corp.* ................................. 45,000 2,272,500
Interim Services, Inc.* ......................... 3,400 146,200
Technology Solutions Co.* ....................... 15,800 547,075
--------------
$ 4,608,350
--------------
CHEMICALS -- 3.6%
Air Products & Chemicals, Inc. .................. 33,700 $ 1,946,175
Grace (W.R.) & Co. .............................. 18,100 1,282,837
Hanna (M.A.) Co. ................................ 25,400 530,225
Polymer Group, Inc. ............................. 11,900 208,250
Praxair, Inc. ................................... 50,600 2,137,850
Uniroyal Chemical Corp.* ........................ 39,100 581,613
--------------
$ 6,686,950
--------------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 2.1%
Electronic Arts, Inc.* .......................... 47,000 $ 1,257,250
Microsoft Corp.* ................................ 22,000 2,642,750
--------------
$ 3,900,000
--------------
COMPUTER SOFTWARE -- SYSTEMS -- 7.1%
Adobe Systems, Inc. ............................. 33,300 $ 1,194,637
BMC Software, Inc. * ............................ 22,100 1,320,475
Cadence Design Systems, Inc.* ................... 75,200 2,538,000
Computer Associates International, Inc. ......... 16,400 1,168,500
Compuware Corp.* ................................ 36,500 1,441,750
Oracle Systems Corp.* ........................... 96,550 3,807,691
Sybase, Inc.* ................................... 27,600 652,050
Synopsys, Inc. .................................. 28,400 1,128,900
--------------
$ 13,252,003
--------------
CONSUMER GOODS AND SERVICES -- 9.4%
Colgate-Palmolive Co. ........................... 35,400 $ 3,000,150
Estee Lauder Cos., "A" .......................... 20,000 845,000
Gillette Co. .................................... 40,100 2,501,238
Philip Morris Cos., Inc. ........................ 33,900 3,525,600
Procter & Gamble Co ............................. 30,500 2,764,062
Revlon, Inc., "A" ............................... 28,500 830,062
Tyco International Ltd. ......................... 53,800 2,192,350
UST, Inc. ....................................... 55,500 1,900,875
--------------
$ 17,559,337
--------------
ELECTRONICS -- 1.6%
Analog Devices, Inc. ............................ 27,600 $ 703,800
ESS Technology, Inc.* ........................... 700 12,950
LSI Logic Corp.* ................................ 14,200 369,200
Xilinx, Inc.* ................................... 59,600 1,892,300
--------------
$ 2,978,250
--------------
ENTERTAINMENT -- 3.2%
Harrah's Entertainment, Inc.* ................... 42,400 $ 1,197,800
Jacor Communications, Inc., "A" ................. 42,900 1,324,538
Showboat, Inc. .................................. 59,700 1,798,463
Viacom, Inc. .................................... 45,000 1,749,375
--------------
$ 6,070,176
--------------
FINANCIAL INSTITUTIONS -- 1.6%
Advanta Corp., "B" .............................. 33,300 $ 1,506,825
Federal Home Loan Mortgage Corp. ................ 17,000 1,453,500
--------------
$ 2,960,325
--------------
FOOD AND BEVERAGE PRODUCTS -- 0.8%
Tyson Foods, Inc., "A" .......................... 52,600 $ 1,439,925
--------------
FOREST AND PAPER PRODUCTS -- 1.5%
Kimberly Clark Corp. ............................ 35,300 $ 2,726,925
--------------
INSURANCE -- 5.2%
Amerin Corp.* ................................... 19,800 $ 529,650
Cigna Corp. ..................................... 25,000 2,946,875
Chartwell Reinsurance Corp. ..................... 20,400 451,350
Equitable of Iowa Cos. .......................... 28,800 1,022,400
Everest Reinsurance Holdings, Inc. .............. 44,900 1,161,788
IPC Holdings Ltd. ............................... 9,100 183,138
Lasalle Resources Holdings Ltd. ................. 24,800 558,000
Penncorp Financial Group, Inc. .................. 91,400 2,901,950
--------------
$ 9,755,151
--------------
MACHINERY -- 0.4%
York International Corp. ........................ 15,200 $ 786,600
--------------
MEDICAL AND HEALTH PRODUCTS -- 2.8%
Pfizer, Inc. .................................... 17,300 $ 1,234,788
Uromed Corp.* ................................... 165,000 2,268,750
Ventritex, Inc. ................................. 69,800 1,195,325
Zoll Medical Corp.* ............................. 31,000 496,000
--------------
$ 5,194,863
--------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 4.9%
Amisys Managed Care Systems* .................... 51,200 $ 1,318,400
Coventry Corp.* ................................. 23,300 366,975
Living Centers of America, Inc.* ................ 21,000 721,875
Mariner Health Group, Inc.* ..................... 19,000 349,125
Pacificare Health Systems, Inc., "A" ............ 9,500 627,000
Pacificare Health Systems, Inc., "B" ............ 19,900 1,348,225
St. Jude Medical, Inc. .......................... 71,700 2,401,950
United Healthcare Corp. ......................... 38,500 1,944,250
--------------
$ 9,077,800
--------------
OILS -- 3.0%
Belco Oil & Gas Corp.* .......................... 26,600 $ 944,300
Mobil Corp. ..................................... 21,500 2,410,687
Newfield Exploration Co. ........................ 23,800 925,225
Seacor Holdings, Inc.* .......................... 27,100 1,212,725
--------------
$ 5,492,937
--------------
RAILROADS -- 3.2%
Burlington Northern Santa Fe .................... 20,000 $ 1,617,500
CSX Corp. ....................................... 35,700 1,722,525
Wisconsin Central Transportation Corp.* ......... 79,600 2,587,000
--------------
$ 5,927,025
--------------
RESTAURANTS AND LODGING -- 4.3%
HFS, Inc.* ...................................... 45,600 $ 3,192,000
Host Marriott Corp. ............................. 130,000 1,706,250
MGM Grand, Inc.* ................................ 34,400 1,371,700
Promus Hotel Corp.* ............................. 16,250 481,406
Sonic Corp.* .................................... 53,700 1,302,225
--------------
$ 8,053,581
--------------
SPECIAL PRODUCTS AND SERVICES -- 1.6%
Intertape Polymer Group, Inc. ................... 20,600 $ 417,150
Sphere Drake Holdings Ltd.* ..................... 31,800 325,950
Stanley Works ................................... 72,300 2,150,925
--------------
$ 2,894,025
--------------
STORES -- 4.0%
CompUSA, Inc. ................................... 49,400 $ 1,685,775
Gymboree Corp.* ................................. 51,700 1,576,850
Hollywood Entertainment Corp.* .................. 37,700 584,350
Home Depot, Inc. ................................ 22,900 1,236,600
Lowe's Cos., Inc. ............................... 26,800 968,150
Micro Warehouse, Inc.* .......................... 31,100 622,000
Staples, Inc.* .................................. 42,850 835,575
--------------
$ 7,509,300
--------------
SUPERMARKETS -- 0.9%
Safeway, Inc.* .................................. 48,600 $ 1,603,800
--------------
TELECOMMUNICATIONS -- 3.5%
Cabletron Systems, Inc.* ........................ 27,500 $ 1,887,187
Cisco Systems, Inc.* ............................ 25,000 1,415,625
Glenayre Technologies, Inc. ..................... 45,200 2,260,000
Lucent Technologies, Inc. ....................... 27,700 1,049,138
--------------
$ 6,611,950
--------------
UTILITIES -- GAS -- 1.8%
Coastal Corp. ................................... 43,100 $ 1,799,425
PanEnergy Corp. ................................. 44,900 1,476,087
--------------
$ 3,275,512
--------------
UTILITIES -- TELEPHONE -- 0.4%
MCI Communications Corp. ........................ 31,100 $ 796,938
--------------
Total U.S. Stocks
(Identified Cost, $146,728,355) ..................... $ 159,884,970
--------------
FOREIGN STOCKS -- 11.2%
DENMARK -- 0.6%
ISS International Service System, "B"
(Commercial Services) ......................... 53,600 $ 1,197,306
--------------
FINLAND -- 0.5%
Huhtamki, Free Shares, "I"
(Food Processing) ............................. 27,800 $ 929,906
--------------
FRANCE -- 1.4%
Rhone-Poulenc Rorer, Inc.
(Medical Products) ............................ 12,100 $ 812,213
TV Francaise (Media) ............................ 7,000 799,767
Union Assurances des Federales
(Insurance) ................................... 7,500 925,386
--------------
$ 2,537,366
--------------
HONG KONG -- 1.8%
Dah Sing Financial Group
(Finance -- Banking) .......................... 132,800 $ 402,336
Giordano International (Retail -- Apparel) ...... 959,000 929,240
Wharf (Holdings) Ltd. (Real Estate) ............. 420,000 1,503,062
Wing Hang Bank Ltd.
(Finance -- Banking) .......................... 123,000 487,856
--------------
$ 3,322,494
--------------
ITALY -- 0.6%
Olivetti Group (Computer Software/
Services)* .................................... 673,400 $ 363,276
Telecom Italia Mobile S.p.A.
(Telecommunications) .......................... 512,400 698,575
--------------
$ 1,061,851
--------------
MALAYSIA -- 0.5%
New Straits Time Press (Publishing) ............. 185,000 $ 964,508
--------------
PHILIPPINES -- 0.4%
Pilipino Telephone Corp.
(Telecommunications)* ......................... 480,300 $ 733,338
--------------
SINGAPORE -- 0.7%
Singapore Press Holdings (Publishing)* .......... 66,000 $ 1,295,952
--------------
SOUTH KOREA -- 0.5%
Korea Mobile Telecom, ADR
(Telecommunications)* ......................... 55,600 $ 952,150
--------------
SWEDEN -- 2.7%
ASTRA AB, Free Shares, "B"
(Pharmaceuticals)* ............................ 56,000 $ 2,442,867
Ericsson LM, "B"* (Telecommunica-
tions Equipment) .............................. 43,700 943,260
Nobel Biocare (Medical Supplies) ................ 51,150 949,653
Volvo AB (Automobiles, Trucks) .................. 31,500 717,962
--------------
$ 5,053,742
--------------
UNITED KINGDOM -- 1.5%
Jarvis Hotels (Lodging)+ ....................... 330,800 $ 888,414
Kwik-Fit Holdings (Retail -- Auto) .............. 258,000 913,183
Lloyds TSB Group (Finance -- Banking) ........... 190,900 933,512
--------------
$ 2,735,109
--------------
Total Foreign Stocks
(Identified Cost, $19,823,048) ...................... $ 20,783,722
--------------
Total Common Stocks and Warrants
(Identified Cost, $166,551,403) ..................... $ 180,668,692
--------------
<PAGE>
SHORT-TERM OBLIGATIONS -- 4.0%
Principal Amount
(000 Omitted)
Federal Home Loan Bank,
due 7/29/96 ................................... $1,080 $ 1,075,548
Federal Home Loan Mortgage Corp.,
due 7/10/96 - 7/22/96 ......................... 6,520 6,503,718
--------------
Total Short-Term Obligations,
at Amortized Cost ................................... $ 7,579,266
--------------
Total Investments
(Identified Cost, $174,130,669) ..................... $ 188,247,958
OTHER ASSETS, LESS LIABILITIES -- (0.9)% .................. (1,610,458)
--------------
Net Assets -- 100.0% .................................. $ 186,637,500
==============
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
TOTAL RETURN SERIES
NON-CONVERTIBLE BONDS -- 28.7%
Principal Amount
Issuer (000 Omitted) Value
BANKS AND CREDIT COMPANIES -- 1.1%
ABN Amro Bank Global, 7.55s, 2006 ............. $ 2,750 $ 2,795,045
Advanta National Bank, 6.8s, 2001 ............. 1,920 1,881,619
Advanta National Bank, 6.82s, 2001 ............ 1,600 1,575,344
Capital One Bank, 6.875s, 2000 ................ 2,800 2,776,228
Capital One Bank, 7s, 2001 .................... 1,550 1,537,088
Riggs National Corp., 8.5s, 2006 .............. 1,500 1,492,500
Sovereign Bancorp, Inc., 6.75s, 2000 .......... 750 726,338
---------------
$ 12,784,162
---------------
CORPORATE ASSET BACKED -- 0.2%
Continental Air, 96-2,
10.22s, 2014## .............................. $ 800 $ 892,768
Merrill Lynch Mortgage Investors,
Inc., 91-C, "B", 8.9s, 2011 ................. 379 382,226
Merrill Lynch Mortgage Investors,
Inc., 94-M1, 8.073s, 2022+ ................. 514 380,280
---------------
$ 1,655,274
---------------
FINANCIAL INSTITUTIONS -- 2.1%
Alex Brown, Inc., 7.625s, 2005 ................ $ 1,300 $ 1,302,119
Auburn Hills Trust, 12s, 2020 ................. 5,785 8,355,854
Bankers Trust of New York Corp.,
7.375s, 2008 ................................ 2,755 2,709,295
Bear Sterns Cos., Inc., 6.75s, 2001 ........... 2,000 1,979,260
Fairfax Financial Holdings, 8.3s, 2026 ........ 1,500 1,491,450
Goldman Sachs Group,
7.25s, 2005## ............................... 650 639,438
Lehman Brothers Holdings, Inc.,
8.5s, 2007 .................................. 4,365 4,585,520
Lehman Brothers, Inc., 7.625s, 2006 ........... 550 546,441
Salton Sea Funding Corp.,
7.37s, 2005 ................................. 1,575 1,537,153
Salton Sea Funding Corp.,
7.84s, 2010 ................................. 1,575 1,545,122
Salton Sea Funding Corp.,
8.3s, 2011## ................................ 800 806,024
---------------
$ 25,497,676
---------------
FOREIGN -- U.S. DOLLAR DENOMINATED -- 1.2%
Financiera Energetica Nacional S.A.,
6.625s, 1996## .............................. $ 1,680 $ 1,679,160
Financiera Energetica Nacional S.A.,
9.375s, 2006## .............................. 550 552,062
Hanson Overseas BV, 6.75s, 2005 ............... 2,500 2,402,550
Hidroelectrica Alicura,
8.375s, 1999## .............................. 2,200 2,123,000
Naples, Italy, 7.52s, 2006 .................... 1,415 1,425,146
Ocensa, 9.35s, 2005## ......................... 1,200 1,194,000
Province of Quebec, Canada,
6.5s, 2006 .................................. 938 879,216
Republic of Argentina, 9.25s, 2001 ............ 910 879,515
Republic of Colombia, 8.75s, 1999 ............. 1,000 1,021,250
Republic of Colombia, 8.7s, 2016 .............. 2,340 2,144,329
---------------
$ 14,300,228
---------------
INDUSTRIALS -- 4.2%
Building -- 0.2%
Black & Decker Corp., 8.44s, 1999 ............. $ 1,000 $ 1,048,040
Owens Corning Fiberglass Corp.,
8.875s, 2002 ................................ 800 855,144
Owens Corning Fiberglass Corp.,
9.9s, 2015## ................................ 800 863,000
---------------
$ 2,766,184
---------------
Consumer Goods and Services -- 0.1%
Philip Morris Cos., Inc., 7.65s, 2008 ........ $ 1,200 $ 1,217,886
---------------
Food and Beverage Products -- 0.6%
Nabisco, Inc., 7.55s, 2015 .................... $ 3,345 $ 3,203,205
RJR Nabisco, Inc., 8.75s, 2005 ................ 2,400 2,374,800
RJR Nabisco, Inc., 8.75s, 2007 ................ 1,800 1,766,610
---------------
$ 7,344,615
---------------
Forest and Paper Products -- 0.9%
Canadian Pacific Forest, 9.25s, 2002 .......... $ 4,000 $ 4,237,800
Georgia Pacific Corp., 9.875s, 2021 ........... 2,825 3,059,814
Georgia Pacific Corp., 8.125s, 2023 ........... 925 886,020
James River Corp., 7.75s, 2023 ................ 2,800 2,675,484
---------------
$ 10,859,118
---------------
Medical and Health Products -- 0.1%
Fisher Scientific International,
7.125s, 2005 ................................ $ 1,600 $ 1,521,680
---------------
Metals and Minerals -- 0.2%
ASARCO, Inc., 8.5s, 2025 ...................... $ 1,310 $ 1,348,933
Cominco Ltd., 6.875s, 2006 .................... 800 742,944
---------------
$ 2,091,877
---------------
Oils -- 0.4%
Mitchell Energy & Development,
8s, 1999 .................................... $ 500 $ 507,855
Mitchell Energy & Development,
9.25s, 2002 ................................. 985 1,030,172
Oryx Energy Co., 10s, 2001 .................... 3,000 3,267,720
---------------
$ 4,805,747
---------------
Pollution Control -- 0.1%
Laidlaw, Inc., 8.75s, 2025 .................... $ 1,500 $ 1,596,180
---------------
Printing and Publishing -- 1.1%
News America Holdings, Inc.,
7.6s, 2015 .................................. $ 2,200 $ 2,047,584
Time Warner, Inc., 7.45s, 1998 ................ 4,025 4,068,591
Time Warner, Inc., 8.11s, 2006 ................ 4,673 4,643,747
Time Warner, Inc., 9.15s, 2023 ................ 2,700 2,791,638
---------------
$ 13,551,560
---------------
Restaurants and Lodging -- 0.1%
RHG Finance Corp., 8.875s, 2005 ............... $ 1,195 $ 1,233,814
---------------
Special Products and Services -- 0.3%
Mark IV Industries, Inc.,
7.75s, 2006## ............................... $ 1,600 $ 1,512,000
Rouse Co., 7.46s, 2001 ........................ 1,600 1,587,200
---------------
$ 3,099,200
---------------
Stores -- 0.1%
Price/Costco, Inc., 7.125s, 2005 .............. $ 1,000 $ 972,780
---------------
Total Industrials .................................... $ 51,060,641
---------------
INSURANCE -- 1.5%
Liberty Mutual Insurance Co.,
8.2s, 2007## ................................ $ 6,500 $ 6,797,960
Manufacturers Life Insurance Co.,
7.875s, 2005## .............................. 3,800 3,836,328
Massachusetts Mutual Life,
7.625s, 2023## .............................. 800 773,024
Metropolitan Life Insurance,
7.7s, 2015## ................................ 1,600 1,547,040
Nationwide Mutual Life, Inc.,
7.5s, 2024## ................................ 3,200 2,905,952
2,350 2,351,739
---------------
$ 18,212,043
---------------
TELECOMMUNICATIONS -- 0.9%
Continental Cablevision, Inc.,
8.5s, 2001 .................................. $ 1,200 $ 1,256,352
Continental Cablevision, Inc.,
8.3s, 2006 .................................. 650 669,500
Tele-Communications, Inc.,
7.38s, 2001 ................................. 1,500 1,498,470
Tele-Communications, Inc.,
10.125s, 2022 ............................... 1,700 1,866,770
Tele-Communications, Inc.,
9.25s, 2023 ................................. 3,994 3,937,125
Viacom, Inc., 7.75s, 2005 ..................... 900 877,518
Viacom, Inc., 7.625s, 2016 .................... 1,200 1,090,560
---------------
$ 11,196,295
---------------
TRANSPORTATION -- 1.2%
Delta Air Lines, Inc., 9.75s, 2021 ............ $ 1,840 $ 2,101,170
Delta Air Lines, Inc., 9.25s, 2022 ............ 1,000 1,094,280
Jet Equipment Trust,
9.41s, 2010## ............................... 1,000 1,131,270
Jet Equipment Trust,
8.64s, 2012## ............................... 984 1,044,167
Jet Equipment Trust,
11.44s, 2014## .............................. 1,200 1,321,932
Jet Equipment Trust,
10.69s, 2015## .............................. 1,000 1,163,720
Qantas Airways Ltd., 7.5s, 2003## ............. 2,180 2,180,916
United Air Lines, Inc., 9.125s, 2012 .......... 800 858,648
United Air Lines, Inc., 9.75s, 2021 ........... 1,600 1,806,432
United Air Lines, Inc., Pass Thru
Trust, 96-A1, 7.27s, 2013 ................... 1,500 1,420,170
USAir, Inc., 6.76s, 2008 ...................... 680 644,538
---------------
$ 14,767,243
---------------
U.S. GOVERNMENT AGENCIES -- 1.8%
Federal Home Loan Mortgage Corporation -- 0.2%
FHLMC, 8.5s, 2025 ............................. $ 2,634 $ 2,704,970
---------------
Federal National Mortgage Association -- 1.6%
FNMA, 7.5s, 2010 .............................. $ 5,962 $ 5,987,950
FNMA, 7s, 2026 ................................ 6,090 5,857,770
FNMA, REMIC, 6.5s, 2017 ....................... 7,653 7,600,481
---------------
$ 19,446,201
---------------
Total U.S. Government Agencies ....................... $ 22,151,171
---------------
U.S. GOVERNMENT GUARANTEED -- 10.2%
Government National Mortgage Association -- 0.1%
GNMA, 9s, 2019 ................................ $ 17 $ 17,897
GNMA, 9s, 2019 ................................ 1,164 1,220,353
---------------
$ 1,238,250
---------------
U.S. Treasury Obligations -- 10.1%
U.S. Treasury Notes, 7.5s, 1999 ............... $ 775 $ 800,311
U.S. Treasury Notes, 7.875s, 1999 ............. 1,000 1,044,530
U.S. Treasury Notes, 9.125s, 1999 ............. 250 268,165
U.S. Treasury Notes, 5.625s, 2000 ............. 3,200 3,099,488
U.S. Treasury Notes, 6.25s, 2000 .............. 660 655,769
U.S. Treasury Notes, 6.25s, 2000 .............. 6,771 6,723,400
U.S. Treasury Notes, 8.5s, 2000 ............... 27,700 29,543,712
U.S. Treasury Notes, 5.625s, 2001 ............. 3,200 3,092,512
U.S. Treasury Notes, 6.25s, 2001 .............. 7,600 7,527,572
U.S. Treasury Notes, 7.5s, 2001 ............... 2,400 2,505,384
U.S. Treasury Notes, 6.25s, 2003 .............. 1,725 1,694,536
U.S. Treasury Notes, 7.25s, 2004 .............. 4,400 4,557,432
U.S. Treasury Notes, 7.875s, 2004 ............. 5,500 5,911,620
U.S. Treasury Notes, 6.5s, 2005 ............... 1,940 1,912,103
U.S. Treasury Notes, 6.875s, 2006 ............. 8,695 8,791,428
U.S. Treasury Bonds, 12s, 2005 ................ 4,580 6,172,283
U.S. Treasury Bonds, 12s, 2013 ................ 5,697 8,031,004
U.S. Treasury Bonds, 11.25s, 2015 ............. 10,300 14,864,136
U.S. Treasury Bonds, 6.875s, 2025 ............. 14,242 14,097,301
U.S. Treasury Bonds, 6s, 2026 ................. 1,600 1,418,752
---------------
$ 122,711,438
---------------
Total U.S. Government Guaranteed ..................... $ 123,949,688
---------------
UTILITIES -- ELECTRIC -- 3.5%
Arkansas Power & Light Co.,
8.75s, 2026 ................................. $ 650 $ 649,519
Central Maine Power Co.,
7.45s, 1999 ................................. 800 779,440
Cleveland Electric Illumination,
7.42s, 2001 ................................. 2,000 1,876,040
Coastal Corp., 10.25s, 2004 ................... 2,440 2,841,307
Coastal Corp., 7.75s, 2035 .................... 2,900 2,800,936
Commonwealth Edison Co.,
8.375s, 2023 ................................ 775 762,832
Connecticut Light & Power Co.,
7.875s, 2001 ................................ 1,600 1,621,552
DQU II Funding Corp., 8.7s, 2016 .............. 2,400 2,477,112
Edelnor S.A., 7.75s, 2006## ................... 575 565,656
El Paso Electric Co., 8.25s, 2003 ............. 2,175 2,109,750
First PV Funding Corp., 10.3s, 2014 ........... 1,533 1,624,980
First PV Funding Corp., 10.15s, 2016 .......... 2,600 2,736,500
Long Island Lighting Co.,
8.75s, 1997 ................................. 2,000 2,027,040
Long Island Lighting Co.,
8.9s, 2019 .................................. 1,835 1,665,006
Long Island Lighting Co.,
9.625s, 2024 ................................ 4,750 4,869,368
Louisiana Power & Light Co.,
10.67s, 2017 ................................ 1,075 1,150,497
Louisiana Power & Light Co.,
10.67s, 2017 ................................ 400 428,104
Louisiana Power & Light Co.,
8.75s, 2026 ................................. 325 322,156
Midland Cogeneration Venture Corp.,
10.33s, 2002 ................................ 694 731,680
Midland Funding Corp. II, "A",
11.75s, 2005 ................................ 1,750 1,828,050
Pacificorp Holdings, 7.2s, 2006## ............. 2,850 2,777,752
Texas & New Mexico Power Corp.,
12.5s, 1999 ................................. 1,900 2,057,871
Utilicorp United, Inc., 8.45s, 1999 ........... 3,790 3,951,037
---------------
$ 42,654,185
---------------
UTILITIES -- GAS -- 0.8%
Arkla, Inc., 9.39s, 2000 ...................... $ 1,600 $ 1,707,072
Arkla, Inc., 8.85s, 2001 ...................... 750 785,512
California Energy Co., 0s, 2004 ............... 1,900 1,824,000
GG1B Funding Corp., 7.43s, 2011 ............... 1,355 1,289,749
NGC Corp., 6.75s, 2005 ........................ 2,945 2,807,145
Parker & Parsley Petroleum, 8.25s, 2007 ....... 680 709,158
---------------
$ 9,122,636
---------------
Total Non-Convertible Bonds
(Identified Cost, $350,966,771) .................... $ 347,351,242
---------------
CONVERTIBLE BONDS -- 2.2%
COMPUTER SOFTWARE -- SYSTEMS -- 0.2%
Data General Corp., 7.75s, 2001 ............... $ 2,000 $ 1,952,500
---------------
CONGLOMERATES -- 0.4%
Cooper Industries, 7.05s, 2015 ................ $ 4,500 $ 4,815,000
---------------
ELECTRONICS -- 0.4%
ADT Operations, Inc., 0s, 2010 ................ $ 9,385 $ 5,267,331
---------------
FINANCIAL INSTITUTIONS -- 0.2%
USF&G Corp., 0s, 1999 ......................... $ 4,500 $ 2,649,375
---------------
INSURANCE -- 0.2%
Equitable Cos., Inc., 6.125s, 2024 ............ $ 2,500 $ 2,818,750
---------------
MEDICAL AND HEALTH PRODUCTS -- 0.3%
Ciba-Geigy Corp., 6.25s, 2016## ............... $ 500 $ 504,375
Roche Holdings, Inc., 0s, 2010## .............. 6,127 2,588,658
---------------
$ 3,093,033
---------------
OILS -- 0.1%
Noble Affiliates, Inc., 4.25s, 2003 ........... $ 1,300 $ 1,428,375
---------------
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
Liberty Property Trust, 8s, 2001 .............. $ 2,000 $ 2,052,500
---------------
SPECIAL PRODUCTS AND SERVICES -- 0.1%
Cemex S.A., 4.25s, 1997## ..................... $ 2,000 $ 1,862,500
---------------
STEEL -- 0.1%
USX-Marathon Group, 0s, 2005 .................. $ 2,400 $ 1,125,000
---------------
Total Convertible Bonds
(Identified Cost, $25,267,987) ..................... $ 27,064,364
---------------
COMMON STOCKS -- 53.6%
Issuer Shares Value
U.S. STOCKS -- 52.5%
AEROSPACE -- 2.7%
Allied Signal, Inc. ........................... 149,000 $ 8,511,625
Raytheon Co. .................................. 152,400 7,867,650
United Technologies Corp. ..................... 146,900 16,893,500
---------------
$ 33,272,775
---------------
APPAREL AND TEXTILES -- 0.4%
VF Corp. ...................................... 90,000 $ 5,366,250
---------------
AUTOMOTIVE -- 2.7%
Dana Corp. .................................... 133,000 $ 4,123,000
Ford Motor Co. ................................ 195,289 6,322,481
General Motors Corp. .......................... 218,636 11,451,060
Goodrich (B.F.) Co. ........................... 183,600 6,862,050
Volvo Aktiebolaget, ADR, "B" .................. 160,000 3,600,000
---------------
$ 32,358,591
---------------
BUSINESS MACHINES -- 1.0%
Digital Equipment Corp. ....................... 49,700 $ 2,236,500
International Business Machines Corp. ......... 33,000 3,267,000
Texas Instruments, Inc. ....................... 17,000 847,875
Xerox Corp. ................................... 102,500 5,483,750
---------------
$ 11,835,125
---------------
CELLULAR TELEPHONES -- 0.2%
Telephone & Data Systems, Inc. ................ 54,900 $ 2,470,500
---------------
CHEMICALS -- 2.2%
Dow Chemical Co. .............................. 90,000 $ 6,840,000
du Pont (E. I.) de Nemours & Co. .............. 70,500 5,578,312
Hanna (M.A.) Co. .............................. 49,900 1,041,662
Praxair, Inc. ................................. 107,500 4,541,875
Rohm & Haas Co. ............................... 67,000 4,204,250
Witco Corp. ................................... 124,000 4,262,500
---------------
$ 26,468,599
---------------
CONGLOMERATES -- 0.4%
Eastern Enterprises ........................... 145,000 $ 4,821,250
---------------
CONSUMER GOODS AND SERVICES -- 2.9%
American Brands, Inc. ......................... 63,700 $ 2,890,387
Colgate-Palmolive Co. ......................... 61,000 5,169,750
Olin Corp. .................................... 30,000 2,677,500
Philip Morris Cos., Inc. ...................... 182,000 18,928,000
Rubbermaid, Inc. .............................. 119,300 3,250,925
Sherwin Williams Co. .......................... 47,300 2,199,450
---------------
$ 35,116,012
---------------
ELECTRICAL EQUIPMENT -- 2.3%
Alcatel Alsthom Compagnie, ADR ................ 34,800 $ 613,350
General Electric Co. .......................... 173,000 14,964,500
Honeywell, Inc. ............................... 220,000 11,990,000
---------------
$ 27,567,850
---------------
ELECTRONICS -- 0.1%
Analog Devices, Inc. .......................... 44,900 $ 1,144,950
---------------
FINANCIAL INSTITUTIONS -- 6.7%
American Express Co. .......................... 89,000 $ 3,971,625
Associates First Capital, "A" ................. 37,700 1,418,462
Bank of Boston Corp. .......................... 174,000 8,613,000
Bank of New York, Inc. ........................ 148,880 7,630,100
Chase Manhattan Corp. ......................... 190,032 13,421,010
Comerica, Inc. ................................ 32,000 1,428,000
Federal Home Loan Mortgage Corp. .............. 104,800 8,960,400
Fleet/Norstar Financial Group, Inc. ........... 82,000 3,567,000
National City Corp. ........................... 318,000 11,169,750
NationsBank Corp. ............................. 121,000 9,997,625
Northern Trust Co. ............................ 52,500 3,031,875
Southern National Corp. ....................... 256,000 8,128,000
---------------
$ 81,336,847
---------------
FOOD AND BEVERAGE PRODUCTS -- 1.3%
Anheuser-Busch Cos., Inc. ..................... 34,500 $ 2,587,500
Dimon, Inc. ................................... 65,100 1,204,350
Earthgrains Co.* .............................. 1,580 51,745
General Mills, Inc. ........................... 125,000 6,812,500
Kellog Co. .................................... 23,500 1,721,375
McCormick & Co., Inc. ......................... 32,500 719,062
PepsiCo, Inc. ................................. 63,600 2,249,850
---------------
$ 15,346,382
---------------
FOREST AND PAPER PRODUCTS -- 0.3%
Weyerhaeuser Co. .............................. 75,000 $ 3,187,500
---------------
INSURANCE -- 2.4%
Aetna Life & Casualty Co. ..................... 70,500 $ 5,040,750
Allstate Corp. ................................ 80,000 3,650,000
CIGNA Corp. ................................... 61,500 7,249,312
St. Paul Cos., Inc. ........................... 88,000 4,708,000
Torchmark Corp. ............................... 150,000 6,562,500
Travelers, Inc. ............................... 49,927 2,277,919
---------------
$ 29,488,481
---------------
MACHINERY -- 1.5%
Deere & Co., Inc. ............................. 186,500 $ 7,460,000
Ingersoll Rand Co. ............................ 101,100 4,423,125
York International Corp. ...................... 111,000 5,744,250
---------------
$ 17,627,375
---------------
MEDICAL AND HEALTH PRODUCTS -- 2.9%
American Home Products Corp. .................. 147,000 $ 8,838,375
Baxter International, Inc. .................... 169,800 8,023,050
Lilly (Eli) & Co. ............................. 124,000 8,060,000
Rhone Poulenc Rorer ........................... 34,600 2,322,525
SmithKline Beecham PLC, ADR ................... 145,000 7,884,375
---------------
$ 35,128,325
---------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 0.2%
St. Jude Medical, Inc. ........................ 90,000 $ 3,015,000
---------------
METALS AND MINERALS -- 0.4%
Aluminum Co. of America ....................... 41,000 $ 2,352,375
Phelps Dodge Corp. ............................ 35,000 2,183,125
---------------
$ 4,535,500
---------------
OIL SERVICES -- 0.4%
Schlumberger Ltd. ............................. 57,000 $ 4,802,250
---------------
OILS -- 6.6%
Amoco Corp. ................................... 133,000 $ 9,625,875
Atlantic Richfield Co. ........................ 57,500 6,813,750
British Petroleum PLC, ADR .................... 91,375 9,765,703
Exxon Corp. ................................... 98,000 8,513,750
Mobil Corp. ................................... 79,800 8,947,575
Occidental Petroleum Corp. .................... 193,000 4,776,750
Repsol S.A., ADR .............................. 70,000 2,432,500
Royal Dutch Petroleum Co., ADR ................ 88,200 13,560,750
Sun Co., Inc. ................................. 114,558 3,479,699
USX-Marathon Group ............................ 435,000 8,754,375
Ultramar Corp. ................................ 106,300 3,082,700
---------------
$ 79,753,427
---------------
PHOTOGRAPHIC PRODUCTS -- 0.9%
Eastman Kodak Co. ............................. 139,000 $ 10,807,250
---------------
POLLUTION CONTROL -- 0.6%
Browning-Ferris Industries .................... 122,800 $ 3,561,200
WMX Technologies, Inc. ........................ 109,000 3,569,750
---------------
$ 7,130,950
---------------
PRECIOUS METALS AND MINERALS -- 0.1%
Freeport - McMoRan Copper &
Gold, Inc. .................................. 27,555 $ 823,205
---------------
PRINTING AND PUBLISHING -- 0.5%
Dun & Bradstreet .............................. 25,000 $ 1,562,500
Tribune Co., Inc. ............................. 69,900 5,076,487
---------------
$ 6,638,987
---------------
RAILROADS -- 1.7%
Burlington Northern Santa Fe .................. 54,000 $ 4,367,250
CSX Corp. ..................................... 187,000 9,022,750
Canadian National Railway ..................... 28,100 516,337
Illinois Central Corp. ........................ 246,500 6,994,437
---------------
$ 20,900,774
---------------
REAL ESTATE INVESTMENT TRUSTS -- 0.8%
Hospitality Properties Trust .................. 170,000 $ 4,547,500
Meditrust Corp. ............................... 84,200 2,810,175
National Health Investors, Inc. ............... 67,200 2,200,800
---------------
$ 9,558,475
---------------
SPECIAL PRODUCTS AND SERVICES -- 0.3%
Stanley Works ................................. 132,000 $ 3,927,000
---------------
STORES -- 1.5%
May Department Stores Co. ..................... 133,000 $ 5,818,750
Office Depot, Inc. ............................ 77,000 1,568,875
Sears, Roebuck & Co. .......................... 157,000 7,634,125
Wal-Mart Stores, Inc. ......................... 107,000 2,715,125
---------------
$ 17,736,875
---------------
TELECOMMUNICATIONS
Tele-Communications, "A" ...................... 20,625 $ 546,562
---------------
UTILITIES -- ELECTRIC -- 2.2%
CMS Energy Corp. .............................. 85,000 $ 2,624,375
DPL, Inc. ..................................... 72,000 1,755,000
FPL Group, Inc. ............................... 159,000 7,314,000
PECO Energy Co. ............................... 153,500 3,991,000
Pinnacle West Capital Corp. ................... 106,000 3,219,750
Portland General Electric ..................... 179,300 5,535,887
Texas Utilities Co. ........................... 55,500 2,372,625
---------------
$ 26,812,637
---------------
UTILITIES -- GAS -- 2.6%
Coastal Corp. ................................. 170,000 $ 7,097,500
Pacific Enterprises ........................... 80,000 2,370,000
PanEnergy Corp. ............................... 159,000 5,227,125
Sonat, Inc. ................................... 130,100 5,854,500
Tenneco, Inc. ................................. 36,000 1,840,500
UGI Corp. ..................................... 40,000 880,000
Williams Cos., Inc. ........................... 163,000 8,068,500
---------------
$ 31,338,125
---------------
UTILITIES -- TELEPHONE -- 3.7%
AT&T Corp. .................................... 200,500 $ 12,431,000
Ameritech Corp. ............................... 113,000 6,709,375
BellSouth Corp. ............................... 17,170 721,140
GTE Corp. ..................................... 182,600 8,171,350
MCI Communications Corp. ...................... 315,000 8,071,875
NYNEX Corp. ................................... 120,000 5,700,000
Sprint Corp. .................................. 77,600 3,259,200
---------------
$ 45,063,940
---------------
Total U.S. Stocks
(Identified Cost, $511,641,320) .................... $ 635,927,769
---------------
Issuer Shares Value
FOREIGN STOCKS -- 1.1%
NEW ZEALAND -- 0.1%
Lion Nathan Ltd. (Beverages) .................. 348,700 $ 911,649
---------------
SPAIN -- 0.2%
Iberdrola (Utilities -- Electric) ............. 250,000 $ 2,566,354
---------------
SWITZERLAND -- 0.8%
Ciba-Geigy AG (Medical and Health Products) ... 8,000 $ 9,748,302
---------------
Total Foreign Stocks
(Identified Cost, $9,404,361) ...................... $ 13,226,305
---------------
Total Common Stocks
(Identified Cost, $521,045,681) .................... $ 649,154,074
---------------
PREFERRED STOCKS -- 0.4%
BANKS AND CREDIT COMPANIES -- 0.1%
Bank United of Texas, "B", 9.6% ............... 52,500 $ 1,325,625
---------------
FOREST AND PAPER PRODUCTS -- 0.1%
Boise Cascade Corp., "F", 9.4% ................ 40,000 $ 1,035,000
---------------
STEEL -- 0.2%
USX Capital LLC, 8.75% ........................ 77,400 $ 1,857,600
---------------
Total Preferred Stocks
(Identified Cost, $4,247,500) ...................... $ 4,218,225
---------------
CONVERTIBLE PREFERRED STOCKS -- 2.3%
AGRICULTURAL PRODUCTS -- 0.3%
Case Corp., $4.50 ............................. 25,000 $ 2,956,250
---------------
BANKS AND CREDIT COMPANIES -- 0.1%
Washington Mutual, Inc., "D", $6.00 ........... 10,000 $ 1,170,000
---------------
CONSUMER GOODS AND SERVICES -- 0.2%
Corning Delaware, LP, 6% ...................... 42,500 $ 2,427,812
---------------
FOOD AND BEVERAGE PRODUCTS -- 0.3%
RJR Nabisco Holdings, "C", 9.25% .............. 518,000 $ 3,367,000
---------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 0.1%
SCI Finance LLC, "A", $3.125 .................. 15,000 $ 1,449,375
---------------
OIL SERVICES -- 0.1%
McDermott International, Inc.## ............... 40,000 $ 1,675,000
---------------
OILS -- 0.1%
Atlantic Richfield Co., 9% .................... 66,485 $ 1,620,572
---------------
POLLUTION CONTROL -- 0.1%
Browning-Ferris Industries,
7.25%, ACES ................................. 42,000 $ 1,333,500
---------------
PRECIOUS METALS AND MINERALS -- 0.2%
Freeport - McMoRan Copper &
Gold, Inc., 7% .............................. 39,100 $ 1,212,100
Freeport - McMoRan Copper &
Gold, Inc., 5% .............................. 60,000 1,635,000
---------------
$ 2,847,100
---------------
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
Security Capital Pacific, "A", $1.75........... 35,000 $ 918,750
---------------
UTILITIES -- GAS -- 0.2%
Enron Corp., 6.25% ............................ 30,000 $ 776,250
Unocal Corp., 7%## ............................ 25,000 1,400,000
---------------
$ 2,176,250
---------------
UTILITIES -- TELEPHONE -- 0.5%
Cointel, 7%, Prides## ......................... 100,400 $ 5,622,400
---------------
Total Convertible Preferred Stocks
(Identified Cost, $28,282,879) ..................... $ 27,564,009
---------------
SHORT-TERM OBLIGATIONS -- 10.9%
Principal Amount
(000 Omitted)
Abbott Labs, due 7/23/96 ...................... $12,800 $ 12,758,542
Disney (Walt) Co., due 8/21/96 ................ 1,600 1,588,055
Federal Home Loan Bank,
due 7/08/96 ................................. 8,900 8,890,940
Federal Home Loan Mortgage Corp.,
due 7/10/96 - 8/12/96 ....................... 51,430 51,249,630
Federal National Mortgage Assn.,
due 7/09/96 - 7/25/96 ....................... 29,755 29,683,303
Ford Motor Credit Co., due 7/01/96 ............ 6,490 6,490,000
Heinz (H.J.) Co.,
due 7/03/96 - 7/11/96 ....................... 14,975 14,961,084
Toys R Us, due 8/01/96 ........................ 6,560 6,529,778
---------------
Total Short-Term Obligations,
at Amortized Cost .................................. $ 132,151,332
---------------
Total Investments
(Identified Cost, $1,061,962,150) .................. $ 1,187,503,246
OTHER ASSETS, LESS LIABILITIES -- 1.9% ................... 23,243,416
---------------
Net Assets -- 100.0% ................................. $ 1,210,746,662
===============
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
UTILITIES SERIES
COMMON STOCKS -- 79.7%
Issuer Shares Value
U.S. STOCKS -- 59.8%
BUSINESS SERVICES -- 1.3%
Storage Trust Realty .............................. 36,500 $ 748,250
------------
CELLULAR TELEPHONES -- 0.4%
Telephone & Data Systems, Inc. .................... 5,000 $ 225,000
------------
CONSUMER GOODS AND SERVICES -- 1.3%
Philip Morris Cos., Inc. .......................... 7,200 $ 748,800
------------
OILS -- 1.7%
Noble Affiliates, Inc. ............................ 15,000 $ 566,250
Union Pacific Resources Group, Inc. ............... 15,000 401,250
------------
$ 967,500
------------
REAL ESTATE INVESTMENT TRUSTS -- 7.9%
First Industrial Realty Trust, Inc. ............... 22,100 $ 519,350
Hospitality Properties Trust ...................... 31,850 851,988
National Health Investors, Inc. ................... 19,600 641,900
Oasis Residential ................................. 16,000 350,000
Public Storage, Inc. .............................. 42,300 872,438
Reckson Associates Realty Corp. ................... 19,400 640,200
TriNet Corporate Realty Trust, Inc. ............... 20,500 594,500
------------
$ 4,470,376
------------
RESTAURANTS AND LODGING -- 1.8%
FelCor Suite Hotels, Inc. ......................... 15,200 $ 463,600
Winston Hotels, Inc. .............................. 46,100 535,913
------------
$ 999,513
------------
TELECOMMUNICATIONS -- 1.2%
MCLEOD, Inc. ...................................... 9,700 $ 232,800
Teleport Communications Group ..................... 22,300 426,488
------------
$ 659,288
------------
UTILITIES -- ELECTRIC -- 21.1%
Allegheny Power Systems, Inc. ..................... 19,400 $ 598,975
CMS Energy Corp. .................................. 34,700 1,071,363
Cinergy Corp. ..................................... 34,316 1,098,112
Entergy Corp. ..................................... 26,000 737,750
FPL Group, Inc. ................................... 18,500 851,000
Houston Industries, Inc. .......................... 27,000 664,875
Illinova Corp. .................................... 54,450 1,565,438
Nipsco Industries, Inc. ........................... 28,000 1,127,000
PECO Energy Co. ................................... 30,000 780,000
Pinnacle West Capital Corp. ....................... 31,550 958,331
Portland General Corp. ............................ 54,600 1,685,775
Sierra Pacific Resources .......................... 10,000 253,750
Texas Utilities Co. ............................... 13,300 568,575
------------
$ 11,960,944
------------
UTILITIES -- GAS -- 10.8%
Coastal Corp. ..................................... 37,300 $ 1,557,275
Columbia Gas System, Inc. ......................... 16,600 865,275
El Paso Natural Gas ............................... 12,700 488,950
MCN Corp. ......................................... 10,000 243,750
PanEnergy Corp. ................................... 44,700 1,469,513
Westcoast Energy, Inc. ............................ 45,900 688,500
Williams Cos., Inc. ............................... 17,000 841,500
------------
$ 6,154,763
------------
UTILITIES -- TELEPHONE -- 12.3%
AT&T Corp. ........................................ 19,325 $ 1,198,150
Ameritech Corp. ................................... 14,000 831,250
Bell Atlantic Corp. ............................... 16,800 1,071,000
BellSouth Corp. ................................... 23,000 974,625
Frontier Corp. .................................... 5,000 153,125
GTE Corp. ......................................... 23,600 1,056,100
MCI Communications Corp. .......................... 45,200 1,158,250
SBC Communications, Inc. .......................... 11,300 556,525
------------
$ 6,999,025
------------
Total U.S. Stocks
(Identified Cost, $30,584,485) ........................ $33,933,459
------------
FOREIGN STOCKS -- 19.9%
ARGENTINA -- 1.2%
Central Costanera, ADR ## ......................... 18,100 $ 677,574
------------
BRAZIL -- 0.4%
Telecomunicacoes Brasileiras, S.A., ADR
(Telecommunications) ............................ 3,000 $ 209,250
------------
CANADA -- 0.5%
Transcanada Pipelines Ltd. (Oils) ................. 20,000 $ 295,000
------------
CHILE -- 3.2%
Chilectra, S.A., ADR (Utilities -- Electric) ...... 18,000 $ 999,000
Chilgener, S.A., ADR (Utilities -- Electric) ...... 34,000 816,000
------------
$ 1,815,000
------------
GREECE -- 0.1%
Hellenic Telecommunication Organization
(Telecommunications) ............................ 3,300 $ 54,698
------------
ITALY -- 1.6%
Telecom Italia Mobile S.p.A.
(Telecommunications) ............................ 676,100 $ 921,754
------------
PERU -- 0.5%
CPT Telefonica del Peru
(Telecommunications) ............................ 139,200 $ 282,732
------------
PHILIPPINES -- 0.5%
Pilipino Telephone Corp.
(Telecommunications) ............................ 175,000 $ 267,196
------------
PORTUGAL -- 0.8%
Portugal Telecom, ADR
(Telecommunications) ............................ 5,100 $ 133,875
Portugal Telecom (Telecommunications)* ............ 13,200 345,224
------------
$ 479,099
------------
SOUTH KOREA -- 1.6%
Korea Electric Power Corp., ADR
(Utilities -- Electric) ......................... 10,000 $ 242,500
Korea Mobile Telecom Corp.
(Telecommunications) ............................ 38,300 655,888
------------
$ 898,388
------------
SPAIN -- 2.8%
Empresa Nacional de Electricidad, ADR
(Utilities -- Electric) ......................... 27,700 $ 595,550
Empresa Nacional de Electricidad, ADR
(Utilities -- Electric) ......................... 7,500 469,688
Iberdrola (Utilities -- Electric) ................. 52,000 533,802
------------
$ 1,599,040
------------
UNITED KINGDOM -- 6.7%
East Midlands Electricity
(Utilities -- Electric) ......................... 70,000 $ 569,420
National Power (Utilities -- Electric) ............ 99,300 591,949
PowerGen (Utilities -- Electric) .................. 341,000 2,017,639
Yorkshire Electricity Group
(Utilities -- Electric) ......................... 56,000 628,536
------------
$ 3,807,544
------------
Total Foreign Stocks
(Identified Cost, $10,547,446) ........................ $ 11,307,275
------------
Total Common Stocks
(Identified Cost, $41,131,931) ........................ $ 45,240,734
------------
CONVERTIBLE PREFERRED STOCK -- 0.6%
UTILITIES -- TELEPHONE -- 0.6%
Cointel, 7%, Prides##
(Identified Cost, $352,600) ..................... 6,400 $ 358,400
------------
NON-CONVERTIBLE BONDS -- 15.8%
Principal Amount
Issuer Value
(000 Omitted)
U.S. TREASURY OBLIGATIONS -- 13.4%
U.S. Treasury Notes, 9.125s, 1999 ................. $1,500 $ 1,608,990
U.S. Treasury Notes, 6.25s, 2000 .................. 100 99,359
U.S. Treasury Notes, 7.5s, 2001 ................... 1,915 1,999,088
U.S. Treasury Notes, 6.375s, 2002 ................. 100 99,203
U.S. Treasury Notes, 7.875s, 2004 ................. 2,000 2,149,680
U.S. Treasury Notes, 6.875s, 2006 ................. 100 101,109
U.S. Treasury Bonds, 12s, 2005 .................... 180 242,579
U.S. Treasury Bonds, 12s, 2013 .................... 830 1,170,043
U.S. Treasury Bonds, 6.875s, 2025 ................. 125 123,730
------------
$ 7,593,781
------------
UTILITIES -- ELECTRIC -- 2.4%
Arkansas Power & Light, 8.75s, 2026 ............... $ 250 $ 249,815
Coastal Corp., 7.75s, 2035 ........................ 100 96,584
Empresa Electica del Norte,
7.75s, 2006 ## .................................. 300 295,125
Empresa Electrica Guacolda,
7.6s, 2001 ## ................................... 250 248,593
First PV Funding Corp., 10.15s, 2016 .............. 50 52,625
Hidroelectrica Alicura, 8.375s, 1999 ## ........... 25 24,125
Louisiana Power & Light Co., 8.75s, 2026 .......... 125 123,906
System Energy Resources, 7.38s, 2000 .............. 100 97,970
Texas & New Mexico Power Co., 12.5s, 1999 ......... 50 54,155
Utilicorp United, Inc., 8.45s, 1999 ............... 100 104,249
------------
$ 1,347,147
------------
Total Non-Convertible Bonds
(Identified Cost, $9,199,515) ......................... $ 8,940,928
------------
SHORT-TERM OBLIGATION -- 3.9%
Federal Home Loan Mortgage Corp.,
due 7/01/96,
at Amortized Cost ............................... $2,200 $ 2,200,000
------------
Total Investments
(Identified Cost, $52,884,046) ........................ $56,740,062
OTHER ASSETS, LESS LIABILITIES .............................. (15,631)
------------
Net Assets -- 100.0% .................................... $ 56,724,431
============
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
VALUE SERIES
SHORT-TERM OBLIGATIONS -- 69.1%
Principal Amount
Issuer (000 Omitted Value
Federal Farm Credit Bank,
due 7/15/96 ............................. $200 $ 199,591
Federal Home Loan Bank,
due 7/22/96 ............................. 200 199,385
Federal Home Loan Mortgage Corp.,
due 7/12/96 - 7/23/96 ................... 410 409,016
Federal National Mortgage Assn.,
due 7/24/96 ............................. 185 184,377
Tennessee Valley Authority,
due 7/18/96 ............................. 280 279,304
-----------
Total Short-Term Obligations,
at Amortized Cost ...................................... $1,271,673
OTHER ASSETS, LESS LIABILITIES -- 30.9% ...................... 568,251
-----------
Net Assets -- 100.0% ..................................... $ 1,839,924
===========
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
WORLD ASSET ALLOCATION SERIES
STOCKS AND WARRANTS -- 59.3%
Issuer Shares Value
FOREIGN STOCKS AND WARRANTS -- 43.1%
AUSTRALIA -- 1.8%
Q.B.E. Insurance Group (Insurance) ................ 82,885 $ 492,490
Seven Network Ltd. (Media) ........................ 150,000 478,103
------------
$ 970,593
------------
CANADA -- 0.7%
Canadian National Railway (Railroad) .............. 19,800 $ 363,825
------------
CHILE -- 0.5%
Chilectra S.A., ADR (Utilities -- Electric) ....... 5,300 $ 294,150
------------
DENMARK -- 0.4%
Novo-Nordisk A/S "B", (Pharmaceuticals) ........... 1,420 $ 200,972
------------
FINLAND -- 0.7%
Aamulehti Yhtymae Oy II (Publishing) .............. 7,650 $ 206,364
Huhtamaki Oy (Food Products) ...................... 5,700 190,664
------------
$ 397,028
------------
FRANCE -- 2.1%
Michelin (C.G.D.E.) (Tire and Rubber) ............. 5,150 $ 252,171
Rhone Poulenc Rorer, ADR (Pharmaceuticals) ........ 2,100 140,963
TOTAL S.A. (Oils) ................................. 3,300 244,815
Union des Assurances Federales S.A.
(Insurance) ..................................... 4,000 493,539
------------
$ 1,131,488
------------
GERMANY -- 1.3%
Adidas AG (Apparel and Textiles) .................. 5,500 $ 462,127
Volkswagen AG (Automotive) ........................ 655 243,334
------------
$ 705,461
------------
GREECE -- 0.3%
Hellenic Telecomm (Telecommunications) ............ 11,000 $ 182,328
------------
HONG KONG -- 2.9%
Cosco Pacific Ltd. (Transportation)## ............. 409,000 $ 293,268
Dah Sing Financial (Banks) ........................ 37,600 113,914
Giordano International Ltd. (Retail) .............. 308,000 298,442
Hong Kong Land Holdings (Real Estate) ............. 84,000 189,000
Liu Chong Hing Bank (Banks) ....................... 113,000 154,021
Peregrine Investment Holdings (Finance) ........... 106,000 152,696
Peregrine Investment Holdings, Warrants (Finance) . 9,800 1,215
Wing Hang Bank (Banks) ............................ 85,000 337,136
------------
$ 1,539,692
------------
ITALY -- 1.3%
Telecom Italia Mobile S.p.A., di Risp
(Telecommunications) ............................ 417,000 $ 568,513
Telecom Italia Mobile S.p.A.
(Telecommunications) ............................ 57,000 127,348
------------
$ 695,861
------------
JAPAN -- 8.6%
Bridgestone Corp. (Tire and Rubber) ............... 19,000 $ 362,582
Canon, Inc. (Consumer Goods) ...................... 20,000 416,362
DDI Corp. (Telecommunications) .................... 105 916,545
Daiwa House Industry Co. (Home Construction) ...... 12,000 186,267
East Japan Railway Co. (Railroads) ................ 54 283,510
Kinki Coca-Cola Bottling (Beverages) .............. 12,000 181,885
Kirin Beverage Corp. (Beverages) .................. 19,000 279,310
Matsushita Electric Industrial Co.
(Electrical Equipment) .......................... 18,000 335,281
Murata Manufacturing Co. Ltd.
(Electrical Equipment) .......................... 8,000 303,141
Nitto Denko Corp. (Industrial Goods and Services) . 3,000 52,867
Omron Corp. (Electronics) ......................... 21,000 446,768
Osaka Sanso Kogyo Ltd. (Chemicals) ................ 62,000 260,409
Takeda Chemical Industries (Chemicals) ............ 30,000 531,410
Ushio, Inc. (Electronics) ......................... 7,000 85,646
------------
$ 4,641,983
------------
MALAYSIA -- 0.6%
New Straits Time Press (Publishing) ............... 56,500 $ 294,566
------------
NEW ZEALAND -- 2.0%
Lion Nathan Ltd. (Beverages) ...................... 262,700 $ 686,809
Sky City Ltd. (Entertainment) ..................... 95,000 413,950
------------
$ 1,100,759
------------
NETHERLANDS -- 2.1%
Gentronics NV (Computer Software and Services) .... 17,232 $ 381,744
IHC Caland NV (Transportation Equipment) .......... 6,000 295,376
Royal Dutch Petroleum Co. (Oils) .................. 3,100 478,908
------------
$ 1,156,028
------------
PHILIPPINES -- 1.0%
Alsons Cement Corp. (Building Materials)## ........ 403,000 $ 184,594
Hi Cement (Building Materials)## .................. 118,000 44,591
Pilipino Telephone (Telecommunications) ........... 191,000 291,625
------------
$ 520,810
------------
SINGAPORE -- 1.3%
Mandarin Oriental International Ltd. (Lodging) .... 58,000 $ 81,200
Singapore Finance (Finance) ....................... 195,000 331,750
Singapore Finance, Rights (Finance) ............... 39,000 2,765
Singapore Press Holdings (Publishing) ............. 15,000 294,535
------------
$ 710,250
------------
SOUTH KOREA -- 2.2%
Hanil Cement Manufacturing Co.
(Building Materials) ............................ 2,300 $ 119,112
Korea Electric Power Corp.
(Utilities -- Electric) ......................... 9,800 399,250
Korea Mobile Telecommunications Corp.
(Telecommunications) ............................ 450 649,864
------------
$ 1,168,226
------------
SPAIN -- 2.6%
Acerinox S.A. (Iron and Steel) .................... 4,560 $ 475,222
Cubiertas y Mzov S.A.
(Engineering and Construction) .................. 5,600 365,027
Iberdrola (Utilities -- Electric) ................. 18,200 186,831
Repsol S.A. (Oils) ................................ 11,300 392,986
------------
$ 1,420,066
------------
SWEDEN -- 5.4%
ABB AB, "B" (Electrical Equipment) ................ 6,800 $ 719,517
Astra AB, Free Shares, "B"
(Pharmaceuticals) ............................... 15,500 676,151
Ericsson (L.M.) Telephone Co., ADR, "B"
(Telecommunications Equipment) .................. 9,300 199,950
Marieberg Tidnings AB, "A" (Publishing) ........... 9,000 225,509
Nobel Biocare AB (Medical and Health Products) .... 13,100 243,215
Sparbanken Svergie, "A" (Banks) ................... 38,000 493,283
Tornet Fastighet (Real Estate) .................... 3,300 26,898
Volvo AB, "B" (Automotive) ........................ 14,800 337,328
------------
$ 2,921,851
------------
THAILAND -- 0.5%
Total Access Communication Public Co. Ltd.
(Telecommunications)* ........................... 32,000 $ 272,000
------------
UNITED KINGDOM -- 4.8%
ASDA Group PLC (Stores) ........................... 270,000 $ 490,403
Capital Radio PLC (Broadcasting) .................. 19,100 193,323
Dalgety PLC (Food Products) ....................... 54,500 298,235
Kwik-Fit Holdings (Retail) ........................ 96,000 339,789
Lloyds TSB Group (Banks) .......................... 40,000 195,602
PowerGen PLC (Utilities -- Electric) .............. 4,344 31,628
PowerGen PLC, 380P/P
(Utilities -- Electric) ......................... 157,000 801,861
Storehouse PLC (Retail) ........................... 49,000 242,798
------------
$ 2,593,639
------------
Total Foreign Stocks and Warrants
(Identified Cost, $20,797,776) ........................ $ 23,281,576
------------
U.S. STOCKS -- 16.2%
AEROSPACE -- 0.6%
General Dynamics Corp. ............................ 1,800 $ 111,600
Raytheon Co. ...................................... 2,200 113,575
Rockwell International Corp. ...................... 2,200 $ 125,950
------------
$ 351,125
------------
AGRICULTURAL PRODUCTS -- 0.5%
AGCO Corp. ........................................ 5,200 $ 144,300
Case Corp. ........................................ 2,400 115,200
------------
$ 259,500
------------
AIRLINES -- 0.1%
Midwest Express Holdings, Inc.* ................... 1,000 $ 32,125
------------
AUTOMOTIVE -- 0.2%
General Motors Corp. .............................. 2,300 $ 120,462
------------
BANKS AND CREDIT COMPANIES -- 0.3%
Wells Fargo & Co. ................................. 600 $ 143,325
------------
BUSINESS SERVICES -- 1.1%
ADT Ltd.* ......................................... 4,400 $ 83,050
ALCO Standard Corp. ............................... 10,800 488,700
------------
$ 571,750
------------
CELLULAR TELEPHONES -- 0.1%
Telephone & Data Systems, Inc. .................... 1,600 $ 72,000
------------
COMPUTER SOFTWARE -- SYSTEMS -- 1.1%
Adobe Systems, Inc. ............................... 4,800 $ 172,200
Oracle Systems Corp. .............................. 5,700 224,794
Sybase, Inc.* ..................................... 8,500 200,813
------------
$ 597,807
------------
CONSUMER GOODS AND SERVICES -- 0.7%
Philip Morris Cos., Inc. .......................... 1,300 $ 135,200
Revlon, Inc., "A" ................................. 100 2,912
Tyco International Ltd. ........................... 5,400 220,050
------------
$ 358,162
------------
DEFENSE ELECTRONICS
Loral Space & Communications Corp.* ............... 2,100 $ 28,612
------------
ELECTRICAL EQUIPMENT -- 0.2%
Honeywell, Inc. ................................... 2,100 $ 114,450
------------
ELECTRONICS -- 0.5%
Altera Corp.* ..................................... 300 $ 11,400
Analog Devices, Inc.* ............................. 1,700 43,350
Atmel Corp.* ...................................... 3,800 114,475
LSI Logic Corp.* .................................. 3,500 91,000
------------
$ 260,225
------------
ENTERTAINMENT -- 2.2%
American Radio System, "A"* ....................... 300 $ 12,900
Argosy Gaming Corp.* .............................. 1,700 12,538
Casino America, Inc.* ............................. 1,300 10,725
Chancellor Broadcast Corp., "A" ................... 100 3,125
Harrah's Entertainment, Inc.* ..................... 21,300 601,725
Lin Television Corp.* ............................. 7,400 266,400
Showboat, Inc. .................................... 4,100 123,513
Viacom, Inc. ...................................... 4,200 163,275
------------
$ 1,194,201
------------
FINANCIAL INSTITUTIONS -- 0.9%
Federal Home Loan Mortgage Corp. .................. 3,150 $ 269,325
Student Loan Marketing Assn. ...................... 1,300 96,200
Union Planters Corp. .............................. 3,700 112,388
------------
$ 477,913
------------
FOOD AND BEVERAGE PRODUCTS -- 0.5%
General Mills, Inc. ............................... 1,900 $ 103,550
Interstate Bakeries Corp. ......................... 6,300 168,525
------------
$ 272,075
------------
FOREST AND PAPER PRODUCTS -- 0.5%
Fort Howard Corp. ................................. 2,100 $ 41,738
Kimberly Clark Corp. .............................. 2,800 216,300
------------
$ 258,038
------------
INSURANCE -- 0.3%
Chartwell Re Corp. ................................ 1,900 $ 42,038
Highlands Insurance Group* ........................ 200 3,750
Penncorp Financial Group, Inc. .................... 3,700 117,475
------------
$ 163,263
------------
MACHINERY -- 0.5%
Ingersoll Rand Co. ................................ 3,800 $ 166,250
York International Corp. .......................... 1,600 82,800
------------
$ 249,050
------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 0.9%
Beverly Enterprises, Inc.* ........................ 12,300 $ 147,600
Pacificare Health Systems, Inc., "B"* ............. 1,800 121,950
Regency Health Services, Inc.* .................... 3,200 36,400
St. Jude Medical, Inc. ............................ 6,300 211,050
------------
$ 517,000
------------
OIL SERVICES -- 0.3%
Halliburton Co. ................................... 1,300 $ 72,150
Tidewater, Inc. ................................... 1,700 74,588
------------
$ 146,738
------------
OILS -- 0.3%
Mobil Corp. ....................................... 500 $ 56,062
USX-Marathon Group ................................ 2,900 58,362
Union Pacific Resources Group, Inc.* .............. 1,600 42,800
------------
$ 157,224
------------
PHOTOGRAPHIC PRODUCTS -- 0.2%
Eastman Kodak Co. ................................. 1,400 $ 108,850
------------
PRINTING AND PUBLISHING -- 0.4%
Scripps (E.W.) Co. "A" ............................ 4,300 $ 200,488
Tribune Co., Inc. ................................. 500 36,312
------------
$ 236,800
------------
RAILROADS -- 0.9%
Burlington Northern Santa Fe ...................... 2,100 $ 169,838
Wisconsin Central Transportation Corp. ........... 9,900 321,750
------------
$ 491,588
------------
RESTAURANTS AND LODGING -- 0.8%
Felcor Suite Hotels, Inc. ......................... 4,700 $ 143,350
MGM Grand, Inc. ................................... 3,400 135,575
Promus Hotel Corp. ............................... 5,700 168,863
------------
$ 447,788
------------
SPECIAL PRODUCTS AND SERVICES -- 0.2%
Stanley Works ..................................... 4,200 $ 124,950
------------
STORES -- 0.5%
Office Depot, Inc.* ............................... 5,100 $ 103,912
Sears, Roebuck & Co. .............................. 3,300 160,463
------------
$ 264,375
------------
TELECOMMUNICATIONS -- 0.4%
Cabletron Systems, Inc.* .......................... 2,800 $ 192,150
Cellular Communications International, Inc.* ...... 1,200 40,500
------------
$ 232,650
------------
UTILITIES -- ELECTRIC -- 1.0%
CMS Energy Corp. .................................. 3,800 $ 117,325
Cinergy Corp. ..................................... 4,300 137,600
Illinova Corp. .................................... 4,500 129,375
Nipsco Industries, Inc. ........................... 500 20,125
Portland General Corp. ............................ 3,800 117,325
------------
$ 521,750
------------
Total U.S. Stocks
(Identified Cost, $8,665,030) ......................... $ 8,773,796
------------
Total Stocks and Warrants
(Identified Cost, $29,462,806) ........................ $ 32,055,372
------------
BONDS -- 15.9%
Principal
Amount
Issuer (000 Omitted) Value
FOREIGN DENOMINATED -- 13.4%
AUSTRALIA -- 0.4%
Government of Australia, 7s, 1998 ............ AUD 60 $ 46,205
Government of Australia, 7s, 2000 ............ 100 75,119
Government of Australia, 9.75s, 2002 ......... 100 82,517
------------
$ 203,841
------------
BELGIUM -- 0.7%
Kingdom of Belgium, 8.75s, 2002 .............. BEF 10,000 $ 363,079
------------
CANADA -- 2.3%
Government of Canada, 7.75s, 2001 ............ CAD 350 $ 261,763
Government of Canada, 7.75s, 2003 ............ 455 334,789
Government of Canada, 8.75s, 2005 ............ 500 394,467
280 231,982
------------
$ 1,223,001
------------
DENMARK -- 1.0%
Kingdom of Denmark, 9s, 2000 ................. DKK 887 $ 167,433
Kingdom of Denmark, 8s, 2001 ................. 2,082 379,159
------------
$ 546,592
------------
GERMANY -- 2.2%
German Unity Fund, 8.5s, 2001 ................ DEM 316 $ 232,194
Treuhandanstalt Obligationen,
6.375s, 1999 ............................... 1,432 981,196
------------
$ 1,213,390
------------
IRELAND -- 0.6%
Republic of Ireland, 8s, 2000 ................ IEP 200 $ 333,023
------------
ITALY -- 2.0%
Republic of Italy, 8.5s, 1999 ................ ITL 595,000 $ 390,612
Republic of Italy, 9.5s, 1999 ................ 615,000 412,247
Republic of Italy, 9.5s, 2006 ................ 400,000 262,544
------------
$ 1,065,403
------------
NETHERLANDS -- 0.4%
Government of Netherlands, 6s, 2006 .......... NLG 380 $ 216,246
------------
SPAIN -- 0.9%
Government of Spain, 8.3s, 1998 .............. ESP 24,100 $ 191,182
Government of Spain, 10.1s, 2001 ............. 34,800 292,336
------------
$ 483,518
------------
SWEDEN -- 1.4%
Government of Sweden, 11s, 1999 .............. SEK 800 $ 132,963
Government of Sweden, 10.25s, 2000 ........... 3,800 633,639
------------
$ 766,602
------------
UNITED KINGDOM -- 1.5%
United Kingdom Gilts, 9s, 2000 ............... GBP 420 $ 691,741
United Kingdom Gilts, 7s, 2001 ............... 95 145,036
------------
$ 836,777
------------
Total Foreign Denominated
(Identified Cost, $7,207,367) ......................... $ 7,251,472
------------
U.S. DOLLAR DENOMINATED -- 2.5%
U.S. Treasury Bonds, 6s, 2026
(Identified Cost, $1,374,541) .............. $ 1,500 $ 1,330,080
------------
Total Bonds (Identified Cost, $8,581,908) ............... $ 8,581,552
------------
SHORT-TERM OBLIGATIONS -- 25.0%
Federal Home Loan Bank,
due 7/08/96-7/16/96 ........................ $ 3,815 $ 3,808,319
Federal Home Loan Mortgage
Corp., due 7/01/96-7/22/96 ................. 8,190 8,176,507
Tennessee Valley Authority,
due 7/18/96 ................................ 1,545 1,541,155
------------
Total Short-Term Obligations,
at Amortized Cost ..................................... $ 13,525,981
------------
<PAGE>
CALL OPTIONS PURCHASED
Principal
Amount
of Contracts
Description/Expiration Month/Strike Price (000 Omitted) Value
JAPANESE GOVERNMENT BONDS
July/98.207 ................................ JPY 39,000 $ 1,848
July/108.277 ............................... 29,000 5,916
August/113.318 ............................. 42,000 6,468
August/113.3606 ............................ 17,000 2,108
September/96.324 ........................... 45,000 2,205
September/108.659 .......................... 46,000 5,796
------------
Total Call Options Purchased
(Premiums Paid, $17,204) .............................. $ 24,341
------------
Total Investments
(Identified Cost, $51,587,899) ........................ $ 54,187,246
------------
PUT OPTIONS WRITTEN
JAPANESE GOVERNMENT BONDS
July/98.207 ................................ JPY 39,000 $ (1,833)
July/108.277 ............................... 29,000 --
August/113.318 ............................. 42,000 (252)
August/113.3606 ............................ 17,000 (476)
September/96.324 ........................... 45,000 (4,635)
September/108.659 ............................ 46,000 (4,094)
------------
Total Put Options Written
(Premiums Received, $17,204) .......................... $ (11,290)
------------
OTHER ASSETS,
LESS LIABILITIES -- (0.2)% ................................ $ (109,575)
------------
Net Assets -- 100.0% .................................... $ 54,066,381
============
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
WORLD GOVERNMENT SERIES
BONDS -- 93.6%
Principal Amount
Issuer (000 Omitted) Value
FOREIGN DENOMINATED -- 74.8%
AUSTRALIA -- 7.8%
Government of Australia,
7s, 2000 ................................ AUD 8,650 $ 6,497,807
Government of Australia,
9.75s, 2002 ............................. 2,650 2,186,699
Government of Australia,
9.5s, 2003 .............................. 3,200 2,615,358
-------------
$ 11,299,864
-------------
BELGIUM -- 2.7%
Kingdom of Belgium, 9s, 1998 .............. BEF 35,000 $ 1,220,826
Kingdom of Belgium, 8.75s, 2002 ........... 25,000 907,698
Kingdom of Belgium, 7.25s, 2004 ........... 30,000 1,003,512
Kingdom of Belgium, 8.5s, 2007 ............ 20,000 718,240
-------------
$ 3,850,276
-------------
CANADA -- 10.0%
Government of Canada,
7.5s, 2001 .............................. CAD 5,700 $ 4,262,990
Government of Canada,
7.5s, 2003 .............................. 7,900 5,812,825
Government of Canada,
8.75s, 2005 ............................. 5,500 4,339,135
-------------
$ 14,414,950
-------------
DENMARK -- 4.9%
Kingdom of Denmark, 8s, 2001 .............. DKK 39,208 $ 7,140,275
-------------
GERMANY -- 6.7%
German Unity Fund, 8.5s, 2001 ............. DEM 850 $ 624,573
Treuhandanstalt Obligationen,
6.375s, 1999 ............................ 13,288 9,104,838
-------------
$ 9,729,411
-------------
IRELAND -- 3.9%
Republic of Ireland, 8s, 2000 ............. IEP 3,400 $ 5,661,386
-------------
ITALY -- 9.7%
Republic of Italy, 8.5s, 1999 ............. ITL 8,275,000 $ 5,432,459
Republic of Italy, 9.5s, 1999 ............. 7,535,000 5,050,859
Republic of Italy, 9.5s, 2006 ............. 5,380,000 3,566,312
-------------
$ 14,049,630
-------------
JAPAN -- 10.1%
Export-Import Bank of Japan,
4.375s, 2003 ............................ JPY 710,000 $ 7,007,944
International Bank of Reconstruction &
Development, 4.5s, 2000 ................. 481,000 4,806,926
International Bank of Reconstruction &
Development, 5.25s, 2002 ................ 270,000 2,803,050
-------------
$ 14,617,920
-------------
NETHERLANDS -- 2.0%
Government of Netherlands, 6s, 2006 ....... NLG 5,110 $ 2,907,935
-------------
SPAIN -- 5.0%
Government of Spain, 8.3s, 1998 ........... ESP 361,580 $ 2,868,365
Government of Spain, 10.1s, 2001 .......... 522,000 4,385,045
-------------
$ 7,253,410
-------------
SWEDEN -- 5.1%
Government of Sweden,
11s, 1999 ............................... SEK 9,600 $ 1,595,556
Government of Sweden,
10.25s, 2000 ............................ 34,800 5,802,802
-------------
$ 7,398,358
-------------
UNITED KINGDOM -- 6.9%
United Kingdom Gilts, 9s, 2000 ............ GBP 4,715 $ 7,765,619
United Kingdom Gilts, 7s, 2001 ............ 1,450 2,213,703
-------------
$ 9,979,322
-------------
Total Foreign Denominated
(Identified Cost, $107,942,780) ...................... $108,302,737
-------------
U.S. DOLLAR DENOMINATED -- 18.8%
U.S. Treasury Notes, 6.25s, 2001
(Identified Cost, $27,024,746) .......... $27,400 $ 27,138,878
-------------
Total Bonds
(Identified Cost, $134,967,526) ...................... $ 135,441,615
-------------
SHORT-TERM OBLIGATIONS -- 3.7%
Federal Home Loan Mortgage
Corp., due 7/15/96 ...................... $ 4,700 $ 4,690,368
General Motors Corp., due 7/01/96 ......... 740 740,000
-------------
Total Short-Term Obligations,
at Amortized Cost .................................... $ 5,430,368
-------------
CALL OPTIONS PURCHASED -- 0.2%
Principal Amount
of Contracts
Description/Expiration Month/Strike Price (000 Omitted) Value
Australian Dollars
July/0.80 ............................... AUD 10,159 $ 3,240
Canadian Dollars
October/1.332 ........................... CAD 11,984 18,551
Deutsche Marks
July/1.52 ............................... DEM 34,475 206,394
Spanish Pesetas/Deutsche Marks
August/83.65 ............................ ESP 690,113 5,521
-------------
Total Call Options Purchased
(Premiums Paid, $334,038) ............................ $ 233,706
-------------
PUT OPTIONS PURCHASED -- 0.2%
Deutsche Marks
July/1.55 ............................... DEM 76,425 $ 1,834
Deutsche Marks/British Pounds
August/2.3316 ........................... 22,649 204,249
French Francs/Deutsche Marks
July/3.6 ................................ FRF 75,864 --
Swiss Francs/Deutsche Marks
July/0.805 .............................. CHF 7,430 125,843
-------------
Total Put Options Purchased
(Premiums Paid, $689,456) ............................ $ 331,926
-------------
Total Investments
(Identified Cost, $141,421,388) ...................... $141,437,615
-------------
PUT OPTIONS WRITTEN
Canadian Dollars
October/1.3858 .......................... CAD 12,468 $ (24,885)
Spanish Pesetas/Deutsche Marks
August/86 ............................... ESP 709,500 (1,419)
-------------
Total Put Options Written
(Premiums Received, $61,143) ......................... $ (26,304)
-------------
OTHER ASSETS,
LESS LIABILITIES -- 2.3% ................................. $ 3,331,499
-------------
Net Assets -- 100.0% ................................... $ 144,742,810
=============
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
WORLD GROWTH SERIES
STOCKS AND WARRANTS -- 93.4%
Issuer Shares Value
FOREIGN STOCKS AND WARRANTS -- 56.2%
ARGENTINA -- 1.4%
Banco de Galicia y Buenos Aires
S.A. de C.V., ADR (Finance) .................. 4,200 $ 108,675
Banco Frances del Rio Plata,
ADR (Finance) ................................ 6,670 191,762
CAPEX S.A. (Utilities -- Electric) ............. 15,000 121,549
Inversiones y Representacion (Special
Products and Services) ....................... 57,613 193,081
Mirgor Sacifia, ADR (Automotive)*## ............ 46,000 129,950
Perez Companc S.A. (Oil and Gas) ............... 83,415 546,587
Telecom Argentina (Utilities -- Telephone) ..... 26,000 122,249
Telefonica de Argentina
(Utilities -- Telephone) ..................... 17,800 527,325
YPF Sociedad Anonima, ADR (Oils) ............... 33,420 751,950
-------------
$ 2,693,128
-------------
AUSTRALIA -- 1.6%
Australia & New Zealand Bank Group Ltd.
(Finance) .................................... 59,593 $ 282,336
Broken Hill Proprietary (Mining) ............... 21,948 303,488
News Corp. Ltd. (Media) ........................ 181,769 1,031,406
News Corp. Ltd., Pfd. (Media) .................. 12,300 60,017
Sydney Harbour Casinos Ltd.
(Entertainment)* ............................. 236,270 327,262
Western Mining Corp. Ltd. (Metals
and Minerals) ................................ 155,334 1,112,456
-------------
$ 3,116,965
-------------
BANGLADESH
Bangladesh Fund (Finance)+ ..................... 9,000 $ 65,250
-------------
BRAZIL -- 2.9%
CESP, ADR (Utilities -- Electric) .............. 26,900 $ 753,200
Centrais Eletricas Brasile, ADR
(Utilities -- Electric) ...................... 41,600 597,792
Cia Brasileira Distribuicao Grupo Pao de Acucar,
GDS (Supermarkets)## ......................... 34,800 565,500
Cia Siderurgicas, "B", ADR
(Iron and Steel) ............................. 10,146 205,457
Cia Vale do Rio Doce, ADR
(Iron and Steel) ............................. 19,400 388,000
Refrigeracao Parana S.A., ADR
(Home Appliances) ............................ 31,000 341,000
Rhodia-Ster S.A., GDR (Chemicals) ## ........... 24,300 182,250
Sao Paulo Alpargatas, ADR (Textiles) ........... 52,650 217,181
Telecom Brasileiras S.A., ADR
(Telecommunications) ......................... 26,350 1,837,913
Usiminas, ADR (Iron and Steel) ## .............. 48,400 523,446
-------------
$ 5,611,739
-------------
CANADA -- 0.7%
Echo Bay Mines Ltd. (Precious
Metals and Minerals) ......................... 59,420 $ 638,765
Loewen Group, Inc. (Business
Services) ## ................................. 7,500 228,655
Placer Dome, Inc. (Precious
Metals and Minerals) ......................... 23,199 553,876
-------------
$ 1,421,296
-------------
CHILE -- 0.7%
Banco Osorno y la Union, ADR
(Finance) .................................... 15,000 $ 202,500
Companhia de Telefonos Chile S.A.,
ADR (Utilities -- Telephone) ................. 3,060 300,263
Enersis S.A., ADR (Utilities -- Electric) ...... 6,930 214,830
Maderas y Sinteticos Sociedad, ADR
(Forest and Paper Products) .................. 11,500 204,125
Moneda Chile Fund (Finance)*+ .................. 25,000 212,500
Sociedad Quimica y Minera de Chile, ADR, "B"
(Chemicals) .................................. 3,500 189,875
Vina Concha y Toro S.A., ADR
(Special Products and Services) .............. 6,600 122,100
-------------
$ 1,446,193
-------------
CHINA -- 0.2%
Huaxin Cement Co. (Construction Services)* ..... 310,800 $ 76,457
Shanghai Petrochemical (Oils) .................. 646,000 183,613
Yizheng Chemical Fibre Co. Ltd. (Chemicals) .... 462,000 102,067
-------------
$ 362,137
-------------
COLOMBIA -- 0.5%
Banco Ganadero S.A., ADR
(Finance) .................................... 8,800 $ 213,400
Banco Industrial Colombian, ADR
(Banks and Credit Companies) ................. 22,900 377,850
Cementos Diamante S.A., ADR
(Construction) ## ............................ 26,800 408,700
-------------
$ 999,950
-------------
CZECH REPUBLIC -- 0.1%
SPT Telecom (Telecommunications)* .............. 2,315 $ 282,779
-------------
DENMARK -- 0.4%
Novo-Nordisk A/S, "B"
(Biopharmaceuticals) ......................... 4,965 $ 702,694
-------------
FRANCE -- 2.8%
Alcatel Alsthom Compagnie
(Electrical Equipment) ....................... 16,973 $ 1,480,788
Compagnie Bancaire S.A. (Finance) .............. 5,357 603,723
Compagnie Financiere de Paribas
(Finance) .................................... 11,561 682,900
Dassault Systemes S.A., ADR
(Computer Software) .......................... 700 21,700
Eaux (Compagnie Generale)
(Utilities -- Water) ......................... 11,641 1,300,607
Sidel (Machinery) .............................. 1,843 468,763
Valeo S.A. (Automotive) ........................ 15,984 855,648
-------------
$ 5,414,129
-------------
GERMANY -- 2.6%
Daimler-Benz AG (Automotive) ................... 4,206 $ 2,250,550
Daimler-Benz AG, Warrants
(Automotive) ................................. 4,069 401
Hoechst AG (Chemicals) ......................... 10,627 360,237
Mannesmann AG (Diversified
Machinery) ................................... 3,140 1,085,035
SGL Carbon AG, ADR (Chemicals) ................. 5,200 198,900
Volkswagen AG (Automotive) ..................... 3,300 1,225,956
-------------
$ 5,121,079
-------------
GREECE -- 0.4%
Aegek S.A. (Engineering and
Construction) ................................ 14,520 $ 96,510
Aegek S.A., Pfd. (Engineering and
Construction) ................................ 2,640 13,654
Alpha Credit Bank (Finance) .................... 3,930 207,340
Ergo Bank (Finance) ............................ 2,600 143,112
Hellenic Bottling Co. S.A. (Beverages) ......... 5,210 172,931
Papastratos Cigarette S.A.
(Tobacco Products) ........................... 4,000 113,825
-------------
$ 747,372
-------------
HONG KONG -- 3.3%
Amoy Properties Ltd. (Real Estate) ............. 73,000 $ 88,182
Asia Satellite Telecommunications
Holdings Ltd., ADR
(Telecommunications) ......................... 400 11,900
Bank of East Asia (Finance) .................... 30,480 111,442
China Light & Power
(Utilities -- Electric) ...................... 29,500 133,776
Citic Pacific Ltd. (Conglomerate) .............. 89,000 359,900
Guangnan Holdings (Specialty Wholesale) ........ 245,000 146,395
Guoco Group Ltd. (Finance) ..................... 52,000 247,901
HSBC Holdings PLC (Finance) .................... 22,000 332,550
Hang Seng Bank (Finance) ....................... 65,000 655,022
Henderson China Holdings Ltd.
(Real Estate) ................................ 132 295
Henderson Land Development
(Real Estate) ................................ 33,000 247,280
Hong Kong Telecommunications
(Telecommunications) ......................... 45,800 82,249
Hong Kong & China Gas Ltd.
(Utilities -- Gas) ........................... 186,000 296,775
Hong Kong & China Gas Ltd.,
Warrants (Utilities -- Gas) .................. 15,500 4,055
Hutchison Whampoa (Real Estate) ................ 244,000 1,535,206
Jardine Matheson Holdings Ltd.
(Conglomerate) ............................... 1,200 8,820
Liu Chong Hing Bank (Finance) .................. 73,000 99,500
New World Development Co.
(Real Estate) ................................ 200,000 927,625
New World Infrastructure Ltd.
(Engineering and Construction)* .............. 276 588
Sun Hung Kai Properties (Real Estate) .......... 110,000 1,112,051
Swire Pacific Air Ltd. (Transportation) ........ 2,000 17,118
-------------
$ 6,418,630
-------------
HUNGARY -- 0.3%
Magyar Olaj Es Gaz (Oil and Gas) ............... 13,250 $ 147,301
OTP Bank (Finance) ............................. 5,970 94,188
Richter Gedeon Rt (Pharmaceuticals) ............ 6,498 330,913
Zalakeramia Rt (Miscellaneous
Manufacturing) ............................... 2,090 85,565
-------------
$ 657,967
-------------
INDIA -- 1.5%
Bajaj Auto Ltd., GDR (Automotive)* ............. 10,000 $ 375,000
East India Hotels (Restaurants and
Lodging) ..................................... 13,000 359,190
Great Eastern Shipping, GDR
(Transportation -- Marine) ................... 25,600 204,800
Gujarat Ambuja Cements Ltd.
(Building Materials) ......................... 22,800 285,000
Hindalco Industries Ltd., GDR
(Metals and Mining)## ........................ 6,100 227,225
India Gateway Fund Ltd., Pfd.
(Finance)*+ ................................. 34,925 212,344
India Gateway Fund Ltd., Warrants
(Finance)*+ ................................. 4,000 --
India Magnum Fund NV (Finance)*+ .............. 11,720 624,676
NEPC Micon, GDR (Utilities -- Electric) ........ 39,000 35,100
Reliance Industries, GDS (Consumer
Goods and Services)*+ ........................ 26,760 341,190
SIV Industries Ltd., GDR (Textiles)*##.......... 19,500 58,500
South Indian Viscose Ltd., GDR
(Apparel and Textiles) ....................... 10,833 32,499
Steel Authority of India Ltd.
(Iron and Steel)*## .......................... 11,000 162,250
-------------
$ 2,917,774
-------------
INDONESIA -- 1.1%
Bank International Indonesia (Finance) ......... 60,500 $ 299,119
Hanjaya Mandala Sampoerna (Retail) ............. 18,250 207,921
Indocement Tunggal Prakar (Retail) ............. 58,500 201,204
Indofoods Suksesi Makmur
(Food Processing)* ........................... 32,500 146,711
Indosat (Telecommunications) ................... 25,500 85,786
Inti Indorayan Utama (Forest and
Paper Products) .............................. 104,500 101,086
Mayora Indah (Food Processing) ................. 99,000 55,331
PT Gudang Garam (Tobacco) ...................... 64,000 274,463
PT Indosat (Telecommunications) ................ 2,430 81,405
PT Mulia Industrindo (Building
Materials) ................................... 84,000 124,592
PT Mulia Industrindo, Rights
(Building Materials) ......................... 33,600 25,279
Raymond Ltd., GDR (Textiles)*## ................ 17,760 361,949
Semen Gresik (Building Materials) .............. 64,500 187,871
Telekomunikasi Indonesia, "B"
(Telecommunications) ......................... 48,000 72,743
-------------
$ 2,225,460
-------------
IRELAND -- 0.1%
Elan Corp. PLC, ADR
(Pharmaceuticals)* ........................... 4,100 $ 234,212
-------------
ITALY -- 3.5%
Banco Commerciale Italiana (Finance) ........... 158,100 $ 317,644
Fiat S.p.A. (Automotive) ....................... 486,900 1,630,940
Fila Holdings S.p.A., ADR
(Apparel and Textiles) ....................... 17,200 1,483,500
Gucci Group N.V. (Retail-Apparel)* ............. 8,800 567,600
Instituto Nazionale delle Assicurazioni
(Insurance) .................................. 227,000 338,353
Luxottica Group S.p.A., ADR
(Consumer Goods and Services) ................ 13,400 983,225
Olivetti Group (Computers)* .................... 1,284,600 692,997
Stet Societa Finanziaria Telefonica
S.p.A. (Telecommunications) .................. 123,300 $ 416,630
Telecom Italia Mobile, di Risp
(Telecommunications) ......................... 250,900 342,062
-------------
$ 6,772,951
-------------
JAPAN -- 13.7%
DDI Corp. (Telecommunications) ................. 186 $ 1,623,594
Daiei, Inc. (Retail) ........................... 111,000 1,337,838
Daiwa Securities Co. Ltd. (Finance) ............ 126,000 1,622,169
Eisai Co. Ltd. (Pharmaceuticals) ............... 25,400 480,077
Isetan (Retail) ................................ 20,000 303,141
Ito-Yokado Co. Ltd. (Retail) ................... 14,000 844,960
Kawasaki Heavy Industries
(Aerospace -- Defense) ....................... 170,000 861,486
Komori Corp. (Printing Machinery) .............. 34,000 869,248
Kyocera Corp. (Electronics) .................... 5,000 353,817
Matsuzakaya Co. Ltd. (Retail) .................. 27,000 330,351
Mitsubishi Trust & Banking (Finance) ........... 50,000 844,595
Murata Manufacturing Co. Ltd.
(Electrical Equipment) ....................... 5,000 189,463
NEC Corp. (Electronics --
Semiconductor) ............................... 68,000 738,860
NKK Corp. (Steel)* ............................. 234,000 709,350
NTT Data Communications Systems
Co. (Computer Software) ...................... 42 1,257,852
Nichido Fire & Marine Ltd. (Insurance) ......... 114,900 888,608
Nikon Corp. (Jewelry -- Watches and Gemstones) . 17,000 195,581
Nippon Steel Corp. (Steel) ..................... 494,000 1,695,982
Nippon Telephone & Telegraph Co.
(Telecommunications) ......................... 159 1,178,853
Nissan Motor Co. Ltd. (Automotive) ............. 223,000 1,981,182
Nomura Securities (Finance) .................... 18,000 351,717
Obayashi Corp. (Engineering and
Construction) ................................ 83,000 751,032
Pioneer Electronics Corp. (Electronics) ........ 28,000 667,275
Sharp Corp. (Electronics) ...................... 143,000 2,506,939
Sony Corp. (Electronics) ....................... 20,300 1,336,404
Sumitomo Bank (Finance) ........................ 51,000 987,217
Sumitomo Realty & Development
(Real Estate) ................................ 171,000 1,353,698
Taisei Corp. (Engineering and
Construction) ................................ 72,000 511,468
-------------
$ 26,772,757
-------------
MALAYSIA -- 2.8%
Berjaya Sports Toto Berhad (Leisure) ........... 65,000 $ 215,059
DCB Holdings Berhad (Finance) .................. 129,000 442,330
Genting Berhad (Leisure) ....................... 82,200 642,831
Land & General Berhad (Special
Products and Services) ....................... 500 1,233
Lion Land Berhad (Finance) ..................... 206,000 230,495
Magnum Corp. Berhad
(Entertainment) .............................. 25,000 42,310
Malayan Cement Berhad
(Building Materials) ......................... 94,000 226,188
Malaysian Helicopter Services Berhad
(Transportation) ............................. 400 587
Malaysian Oxygen Berhad (Chemicals) ............ 45,000 243,633
O.Y.L. Industries Berhad (Real Estate) ......... 29,000 302,386
O.Y.L. Industries Berhad, Rights
(Real Estate) ................................ 2,900 12,793
Petronas Gas Berhad (Gas)## .................... 57,000 244,596
Renong Berhad (Conglomerate) ................... 288,000 459,691
Resorts World Berhad (Entertainment) ........... 124,000 711,129
Rothmans of Pall Mall (Tobacco Products) ....... 24,000 252,657
Sime Darby Berhad (Holding Company) ............ 180,000 498,095
Telekom Malaysia Berhad (Telecommunications) ... 44,000 391,739
Tenaga Nasional Berhad (Utilities -- Electric) 120,000 505,314
-------------
$ 5,423,066
-------------
MEXICO -- 1.9%
ALFA S.A. de C.V. (Diversified Holding Company) 105,447 $ 475,957
Cemex S.A., "A" (Construction) ................. 105,687 378,846
Cifra S.A. de C.V. (Retail) .................... 152,300 217,170
Corporacion GEO S.A. de C.V.
(Home Builders)*## ........................... 24,500 438,550
Fomento Economico Mexicano S.A.
de C.V. (Brewery) ............................ 148,400 426,347
Grupo Carso S.A. de C.V.
(Conglomerate)* .............................. 49,700 352,380
Grupo Financiaro Banamex, "B"
(Finance) .................................... 101,300 210,396
Grupo Financiaro Banamex, "L"
(Finance) ## ................................. 8,255 15,666
Kimberly-Clark de Mexico S.A de C.V. (Forest and
Paper Products) .............................. 22,000 401,555
PanAmerican Beverage (Beverages) ............... 9,575 428,481
Telefonos de Mexico S.A. de C.V.
(Utilities -- Telecommunications) ............ 226,460 383,203
-------------
$ 3,728,551
-------------
NETHERLANDS -- 0.4%
Wolters Kluwer (Publishing) .................... 7,560 $ 859,101
-------------
PAKISTAN -- 0.6%
Hub Power Co., GDR
(Utilities -- Electric)* ..................... 24,400 $ 585,600
Pakistan Telecommunications, GDS
(Telecommunications)* ........................ 5,190 607,230
-------------
$ 1,192,830
-------------
PERU -- 0.4%
Compania de Minas Buenaventura
S.A., ADR (Mining) ........................... 21,000 $ 417,375
Minsur S.A. (Metals)* .......................... 19,027 170,246
Telefonica del Peru, "B"
(Telecommunications) ......................... 119,374 242,463
-------------
$ 830,084
-------------
PHILIPPINES -- 1.0%
C & P Homes, Inc. (Homebuilders) ............... 328,000 $ 284,831
Fil-Estate Land, Inc. (Real Estate) ............ 91,000 116,364
International Container Terminal
Services (Transportation)* ................... 279,150 189,133
Manila Electric Co. (Utilities -- Electric) .... 14,337 150,495
Metropolitan Bank & Trust Co.
(Finance) .................................... 14,127 396,341
Petron Corp. (Oils) ............................ 239,843 109,860
Philippine Long Distance Telephone
Co., ADR (Utilities -- Telephone) ............ 1,700 98,813
Pilipino Telephone
(Telecommunications)* ........................ 261,700 399,572
San Miguel Corp., "B" (Food and
Beverage Products) ........................... 33,253 114,871
Southeast Asia Cement
(Building Materials)* ........................ 1,414,000 183,510
-------------
$ 2,043,790
-------------
PORTUGAL -- 0.5%
Banco Totta & Acores (Finance) ................. 11,875 $ 232,416
Cimpor Cimentos Portugal
(Building Materials) ......................... 10,220 212,498
Engil SGPS (Engineering and
Construction) ................................ 9,079 73,096
Portugal Telecom
(Telecommunications) ......................... 11,862 310,231
Sonae Industria Investimentos
(Finance) .................................... 2,200 18,289
Sonae Investimentos SGPS S.A.
(Forest and Paper Products) .................. 2,400 62,415
-------------
$ 908,945
-------------
RUSSIA -- 0.4%
Fleming Russia Securities Fund
(Finance)*+ ................................. 46,800 $ 520,884
Lukoil Holding Co., ADR (Oil and Gas) .......... 5,600 224,000
-------------
$ 744,884
-------------
SINGAPORE -- 1.2%
City Developments Ltd. (Real Estate) ........... 103,000 $ 803,147
Development Bank of Singapore Ltd. (Finance) ... 24,000 299,426
Fraser & Neave Ltd. (Beverages) ................ 43,000 445,027
Keppel Corp. (Transportation) .................. 64,000 535,337
Overseas Chinese Banking Corp. Ltd. (Finance) .. 22,000 257,319
Overseas Chinese Banking Corp. Ltd., Rights
(Finance) .................................... 2,200 17,685
-------------
$ 2,357,941
-------------
SOUTH KOREA -- 0.9%
Commercial Bank of Korea (Finance) ............. 16,600 $ 151,467
Korea Electric Power Corp.
(Utilities -- Electric) ...................... 1,000 40,740
Korea Electric Power Corp., ADR
(Utilities -- Electric) ...................... 3,600 87,300
Korea First Bank (Finance) ..................... 8,300 68,570
Korea Moblie Telecommunications,
ADR (Telecommunications) ..................... 40,500 693,562
L.G. Chemicals (Chemicals) ..................... 17,000 268,311
L.G. Electronics (Electronics)## ............... 3,200 24,000
New Korea Trust (Finance) ...................... 17,000 272,000
Samsung Electronics Co., GDR
(Electronics) ................................ 281 14,401
<PAGE>
Samsung Electronics Co., GDS
(Electronics) ## ............................. 6,359 151,026
-------------
$ 1,771,377
-------------
SPAIN -- 1.1%
Banco de Santander S.A. (Finance) .............. 10,150 $ 473,825
Repsol S.A. (Oils) ............................. 8,520 296,304
Telefonica de Espania
(Utilities -- Telephone) ..................... 77,570 1,429,080
-------------
$ 2,199,209
-------------
SRI LANKA -- 0.1%
DFCC Sri Lanka (Finance)* ...................... 13,100 $ 71,137
Keells (John) Holdings (Miscellaneous)* ........ 6,600 17,265
Royal Ceramics Sri Lanka
(Building Materials) ......................... 125,950 49,989
-------------
$ 138,391
-------------
SWEDEN -- 1.1%
Astra AB, Free Shares, "A"
(Pharmaceuticals) ............................ 45,313 $ 2,004,032
Astra AB, Free Shares, "B"
(Pharmaceuticals) ............................ 1,918 83,668
-------------
$ 2,087,700
-------------
SWITZERLAND -- 1.0%
Ciba-Geigy AG (Medical and Health
Products) .................................... 677 $ 824,950
Roche Holdings AG (Pharmaceuticals) ............ 44 335,581
Sandoz AG (Chemicals) .......................... 716 818,694
-------------
$ 1,979,225
-------------
TAIWAN -- 0.3%
Acer, Inc., GDR (Computers)* ................... 7,420 $ 56,392
Acer, Inc., GDS (Computers)*## ................. 15,400 117,040
Asia Cement, GDS (Construction
Services)* ................................... 7,650 154,913
China Steel, GDS (Steel) ....................... 5,000 125,000
GVC Corp., GDR (Computers)*## .................. 1,713 12,848
Siliconware Precision Industries Co.,
GDR (Special Products and Services)* ......... 12,800 97,280
Siliconware Precision Industries Co.,
GDR (Special Products and Services)*## ....... 5,280 41,580
Yageo Corp., GDR (Electronics)* ................ 10,749 80,618
-------------
$ 685,671
-------------
THAILAND -- 1.0%
Bangkok Bank Ltd. (Finance) .................... 27,900 $ 378,052
Banpu Public Co. Ltd. (Mining) ................. 7,000 201,836
CP Feedmill Co. (Food Products) ................ 28,100 132,824
Italian Thai Developement Public Co. Ltd.
(Engineering and Construction) ............... 7,000 65,073
Land & House Public Co. Ltd.
(Real Estate) ................................ 4,500 56,722
Loxley Public Co. Ltd.
(Miscellaneous Distributor) .................. 8,900 131,816
Phatra Thanakit Co. (Finance) .................. 9,300 64,840
Shinawatra Computer Co. Ltd.
(Computers) .................................. 3,100 67,160
Siam Cement Public Co. Ltd.
(Building Materials) ......................... 1,800 88,344
Siam Makro Public Co. Ltd.
(Wholesale -- Special Line) .................. 50,100 256,549
Telecomasia (Telecommunications) ............... 115,000 244,613
Thai Farmers Bank Co. (Finance) ................ 12,700 139,071
Thai Military Bank (Finance) ................... 11,000 43,329
Thai Theparos Food Products Public Co. Ltd.
(Food Processing) ............................ 13,600 70,178
-------------
$ 1,940,407
-------------
TURKEY -- 0.4%
Alarko Holding A.S. (Diversified
Holding Company) ............................. 358,800 $ 65,474
Altinyildiz Men (Apparel and Textiles) ......... 356,400 84,547
Ege Biracilik ve Malt Sanayii A.S.
(Beverages) .................................. 212,704 97,037
Eregli Demir Celik (Manufacturing --
Metals) ...................................... 676,900 74,937
Kaplamin (Forest and Paper Products) ........... 417,000 58,339
Migros Turk (Retail) ........................... 211,080 184,888
Netas Telekomunik
(Telecommunications) ......................... 323,000 76,624
Turkiye Garanti Bankasi (Finance) .............. 800,000 54,501
Turkiye Garanti Bankasi (Finance) .............. 1,000,000 68,127
Yapi ve Kredi Bankasi (Finance) ................ 3,770,000 106,633
Yapi ve Kredi Bankasi (Finance) ................ 260,000 --
-------------
$ 871,107
-------------
UNITED KINGDOM -- 3.3%
ASDA Group PLC (Retail) ........................ 674,133 $ 1,224,433
Antofagasta Holdings PLC (Mining) .............. 7,700 38,251
Argyll Group PLC (Retial -- Grocery) ........... 167,573 902,687
Cadbury Schweppes PLC (Food and
Beverage Products) ........................... 45,779 361,733
Glaxo Wellcome PLC
(Pharmaceuticals) ............................ 51,275 690,126
Grand Metropolitan PLC (Food and
Beverage Products) ........................... 45,542 301,886
Jarvis Hotels PLC
(Lodging)+ .................................. 1,700 4,566
Korea Europe Fund
(Finance)+ .................................. 26 102,375
Ladbroke Group PLC (Leisure) ................... 187,985 520,913
Pace Micro Technology (Electronics) ............ 20,300 59,246
Pilkington PLC (Building Materials) ............ 100 281
Planning Sciences International PLC, ADR
(Computer Software) .......................... 400 9,000
Rentokil Group PLC
(Commercial Services) ........................ 117,202 743,243
Vodafone Group PLC
(Telecommunications) ......................... 382,664 1,422,744
-------------
$ 6,381,484
-------------
Total Foreign Stocks and Warrants
(Identified Cost, $102,501,522) ...................... $ 110,128,225
-------------
U.S. STOCKS AND WARRANTS -- 37.2%
ADVERTISING
Outdoor Systems, Inc.* ......................... 300 $ 10,575
-------------
APPAREL AND TEXTILES -- 0.3%
Nine West Group* ............................... 12,500 $ 639,062
-------------
AUTOMOTIVE -- 0.3%
APS Holding Corp.* ............................. 24,000 $ 528,000
Harvard Industries, Inc., "B"* ................. 11,000 134,750
-------------
$ 662,750
-------------
BANKS AND CREDIT COMPANIES -- 0.2%
Creditcorp Ltd. ................................ 15,246 $ 303,014
-------------
BIOTECHNOLOGY -- 0.1%
Guidant Corp. .................................. 2,400 $ 118,200
Integra Lifesciences* .......................... 9,800 95,550
-------------
$ 213,750
-------------
BUSINESS MACHINES -- 0.7%
Affiliated Computer Co., "A"* .................. 22,100 $ 1,038,700
Sun Microsystems, Inc.* ........................ 4,700 276,712
-------------
$ 1,315,412
-------------
BUSINESS SERVICES -- 7.3%
ADT Ltd.* ...................................... 22,400 $ 422,800
AccuStaff, Inc.* ............................... 48,800 1,329,800
BDM International* ............................. 4,000 186,000
CUC International, Inc.* ....................... 36,400 1,292,200
Career Horizons, Inc.* ......................... 11,700 409,500
Ceridian Corp.* ................................ 28,400 1,434,200
Computer Sciences, Inc.* ....................... 8,200 612,950
COREstaff, Inc.* ............................... 7,750 346,812
DST Systems, Inc.* ............................. 25,000 800,000
Employee Solutions* ............................ 23,300 733,950
Equity Corp. International* .................... 7,000 189,000
First USA Paymentech, Inc.* .................... 300 12,000
Global DirectMail* ............................. 3,000 118,500
ICT Group, Inc. ................................ 300 5,775
Interim Services, Inc.* ........................ 42,000 1,806,000
Learning Tree International, Inc.* ............. 43,900 1,349,925
Loewen Group, Inc. ............................. 3,600 108,900
Reynolds & Reynolds Co., "A" ................... 6,000 319,500
Technology Solutions Co. ....................... 57,100 1,977,088
Transaction System Architects, "A"* ............ 11,700 783,900
-------------
$ 14,238,800
-------------
CHEMICALS -- 0.1%
Praxair, Inc. .................................. 5,100 $ 215,475
-------------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 1.2%
Autodesk, Inc. ................................. 14,500 $ 433,188
Electronic Arts, Inc.* ......................... 2,500 66,875
First Data Corp. ............................... 15,001 1,194,455
Microsoft Corp.* ............................... 3,600 432,450
Spectrum HoloByte, Inc.* ....................... 32,200 185,150
Symantec Corp.* ................................ 9,000 112,500
-------------
$ 2,424,618
-------------
COMPUTER SOFTWARE -- SYSTEMS -- 8.4%
Adobe Systems, Inc. ............................ 9,900 $ 355,162
BMC Software, Inc.* ............................ 44,900 2,682,775
Cadence Design Systems, Inc.* .................. 96,450 3,255,188
Computer Association International, Inc. ....... 27,000 1,923,750
Compuware Corp.* ............................... 25,400 1,003,300
Control Data System, Inc.* ..................... 11,500 245,812
Edify Corp. .................................... 400 10,600
Forte Software, Inc.* .......................... 300 15,675
Informix Corp.* ................................ 6,300 141,750
Oracle System Corp.* ........................... 121,350 4,785,741
Sapient Corp.* ................................. 200 8,450
Sybase, Inc.* .................................. 51,000 1,204,875
System Software, Inc. .......................... 45,700 776,900
-------------
$ 16,409,978
-------------
CONSTRUCTION SERVICES -- 0.3%
Shaw Group, Inc.* .............................. 27,300 $ 515,288
-------------
CONSUMER GOODS AND SERVICES -- 0.5%
META Group, Inc.* .............................. 300 $ 7,350
Service Corp. International .................... 2,900 166,750
Tyco International Ltd. ........................ 20,800 847,600
-------------
$ 1,021,700
-------------
ELECTRONICS -- 0.6%
Altera Corp.* .................................. 12,000 $ 456,000
LSI Logic Corp.* ............................... 13,400 348,400
Xilinx, Inc.* .................................. 13,100 415,925
-------------
$ 1,220,325
-------------
ENTERTAINMENT -- 2.2%
American Radio System, "A"* .................... 7,000 $ 301,000
Bally Entertainment Group ...................... 11,000 302,500
Grand Casinos, Inc.* ........................... 25,900 666,925
Harrah's Entertainment, Inc.* .................. 42,700 1,206,275
Heritage Media Corp.* .......................... 14,000 558,250
Infinity Broadcasting Corp., "A"* .............. 2,950 88,500
Jacor Communications, Inc. ..................... 12,200 376,675
LIN Television Corp.* .......................... 7,900 284,400
Showboat, Inc.* ................................ 3,000 90,375
Sinclair Broadcast Group, "A"* ................. 11,700 508,950
-------------
$ 4,383,850
-------------
MACHINERY -- 0.1%
SI Handling Systems, Inc. ...................... 10,000 $ 102,500
-------------
MEDICAL AND HEALTH PRODUCTS -- 0.3%
BioChem Pharma, Inc.* .......................... 11,500 $ 431,250
Cohr, Inc.* .................................... 400 9,500
IDEC Pharmaceuticals Corp.* .................... 10,500 242,812
-------------
$ 683,562
-------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 3.2%
Columbia/HCA Healthcare ........................ 1,000 $ 53,375
Community Health System, Inc.* ................. 8,500 439,875
Foundation Health Corp.* ....................... 2,200 78,925
HEALTHSOUTH Corp.* ............................. 42,800 1,540,800
Health Management Associates,
Inc., "A"* ................................... 7,500 151,875
Healthsource, Inc. ............................. 12,700 222,250
IDX System Corp.* .............................. 6,000 234,000
Orthodontic Centers of America, Inc.* .......... 1,000 26,500
Oxford Health Plans, Inc.* ..................... 3,700 152,162
Pacificare Health Systems, "A"* ................ 5,400 356,400
Pacificare Health Systems, "B"* ................ 7,600 514,900
Pharmaceutical Product Development, Inc.* ...... 300 10,050
Renal Treatment Centers, Inc.* ................. 3,000 86,250
St. Jude Medical, Inc. ......................... 5,600 187,600
Schein (Henry), Inc.* .......................... 500 19,125
Total Renal Care Holdings, Inc.* ............... 3,500 147,875
United Healthcare Corp. ........................ 39,100 1,974,550
-------------
$ 6,196,512
-------------
METALS AND MINERALS -- 0.1%
Titanium Metals Corp. .......................... 4,600 $ 119,025
-------------
OILS -- 0.2%
SEACOR Holdings, Inc.* ......................... 7,900 $ 353,525
-------------
POLLUTION CONTROL -- 0.3%
Republic Industries, Inc.* ..................... 1,600 $ 46,600
Sanifill, Inc.* ................................ 9,500 467,875
-------------
$ 514,475
-------------
PRINTING AND PUBLISHING -- 0.1%
Pulitzer Publishing Co. ........................ 3,000 $ 177,750
-------------
RAILROADS -- 0.1%
Wisconsin Central Transportation Corp. ......... 7,200 $ 234,000
-------------
RESTAURANTS AND LODGING -- 5.0%
Applebee's International, Inc. ................. 48,800 $ 1,567,700
HFS, Inc.* ..................................... 96,000 6,720,000
Interstate Hotels Co. .......................... 1,400 31,150
Promus Hotel Corp.* ............................ 31,100 921,338
Renaissance Hotel Group N.V.* .................. 28,000 602,000
-------------
$ 9,842,188
-------------
SPECIAL PRODUCTS AND SERVICES -- 0.1%
YES! Entertainment Corp.* ...................... 11,600 $ 171,100
-------------
STORES -- 1.4%
BT Office Products International, Inc.* ........ 7,400 $ 132,275
Corporate Express, Inc.* ....................... 11,800 472,000
General Nutrition Cos., Inc.* .................. 29,100 509,250
Hollywood Entertainment Corp.* ................. 23,800 368,900
Micro Warehouse, Inc.* ......................... 2,700 54,000
Office Depot, Inc.* ............................ 52,500 1,069,688
OfficeMax, Inc.* ............................... 8,200 195,775
-------------
$ 2,801,888
-------------
TELECOMMUNICATIONS -- 4.1%
Bay Networks, Inc.* ............................ 1,600 $ 41,200
Cabletron Systems, Inc.* ....................... 39,500 2,710,688
Cisco Systems, Inc.* ........................... 30,400 1,721,400
ECI Telecom Ltd. ............................... 18,700 434,775
Glenayre Technologies, Inc.* ................... 25,100 1,255,000
International Business Communications*+ ........ 12,600 124,992
Premiere Technologies, Inc.* ................... 700 22,050
Sterling Commerce, Inc.* ....................... 3,800 141,075
Tel-Save Holdings, Inc.* ....................... 1,200 25,500
WorldCom, Inc.* ................................ 29,400 1,628,025
-------------
$ 8,104,705
-------------
Total U.S. Stocks and Warrants
(Identified Cost, $59,080,431) ....................... $ 72,875,827
-------------
Total Stocks and Warrants
(Identified Cost, $161,581,953) ...................... $ 183,004,052
-------------
CONVERTIBLE BONDS -- 0.3%
Principal Amount
Issuer (000 Omitted) Value
FOREIGN DENOMINATED -- 0.1%
Sumitomo Bank International,
0.75s, 2001 (Banks)## ................. JPY 10,000 $ 98,795
-------------
U.S. DOLLAR DENOMINATED -- 0.2%
Teco Electric & Machinery, 2.75s, 2004
(Electrical Equipment)## ..................... $ 80 $ 68,400
United Micro Electric, 1.25s, 2004
(Electronics) ................................ 263 339,270
-------------
$ 407,670
-------------
Total Convertible Bonds
(Identified Cost, $522,151) .......................... $ 506,465
-------------
SHORT-TERM OBLIGATION -- 6.5%
Federal Home Loan Mortgage Corp., due 7/01/96 -
7/18/96, at Amortized Cost ................... $ 12,810 $ 12,800,613
-------------
Total Investments
(Identified Cost, $174,904,717) ...................... $ 196,311,130
OTHER ASSETS,
LESS LIABILITIES -- (0.2)% ............................... (328,115)
-------------
Net Assets -- 100.0% ................................... $ 195,983,015
=============
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
WORLD TOTAL RETURN SERIES
STOCKS -- 52.7%
Issuer Shares Value
FOREIGN STOCKS -- 34.6%
ARGENTINA -- 0.1%
Central Costanera, ADR
(Utilities -- Electric)## ....................... 400 $ 14,974
------------
AUSTRALIA -- 2.0%
Australia & New Zealand Bank Group Ltd. (Finance) . 11,000 $ 52,115
Broken Hill Proprietary (Mining) .................. 10,857 150,126
Q.B.E. Insurance Group (Insurance) ................ 38,699 229,944
Seven Network Ltd. (Media) ........................ 28,900 92,114
------------
$ 524,299
------------
AUSTRIA -- 0.1%
OMV AG, ADR (Oil Services)## ...................... 800 $ 16,100
------------
CANADA -- 0.3%
Canadian National Railway (Railroads) ............. 4,600 $ 84,525
------------
CHILE -- 0.6%
Chilectra S.A., ADR (Utilities -- Electric) ....... 2,100 $ 116,550
Enersis S.A., ADR (Utilities -- Electric) ......... 1,300 40,300
------------
$ 156,850
------------
DENMARK -- 0.4%
Tele Danmark, ADR
(Utilities -- Telephone) ........................ 4,730 $ 120,024
------------
FINLAND -- 0.4%
Huhtamaki Oy Group, "I", Free (Food) .............. 2,000 $ 66,900
Oy Tamro AB (Pharmaceuticals)## ................... 8,000 47,995
------------
$ 114,895
------------
FRANCE -- 2.9%
LVMH Moet-Hennessy (Beverages) .................... 175 $ 41,484
Pinault-Printemps S.A. (Retail) ................... 560 195,970
Rhone Poulenc Rorer, ADR (Pharmaceuticals) ........ 1,700 114,112
TOTAL S.A., ADR (Oils) ............................ 3,345 124,183
TV Francaise (Entertainment) ...................... 2,160 246,785
Union des Assurances Federales S.A.
(Insurance) ..................................... 400 49,354
------------
$ 771,888
------------
GERMANY -- 1.3%
Adidas AG (Apparel and Textiles) .................. 3,200 $ 268,874
Hornbach Baumarkt AG (Retail) ..................... 1,450 65,727
------------
$ 334,601
------------
GREECE -- 0.3%
Hellenic Telecomm (Telecommunications) ............ 5,300 $ 87,849
------------
HONG KONG -- 2.0%
Asia Satellite Telecommunications
Holdings Ltd., ADR (Telecommunications) ......... 1,400 $ 41,650
Cafe de Coral Group (Food Service) ................ 116,000 32,221
Giordano International Ltd. (Retail) .............. 91,000 88,176
Guangshen Railway Ltd., ADR (Railroads) ........... 1,600 30,600
Hong Kong Land Holdings Ltd.
(Real Estate) ................................... 33,000 74,250
Li & Fung (Consumer Products) ..................... 80,000 75,450
Wharf Holdings Ltd. (Real Estate) ................. 46,000 164,621
Wing Hang Bank Ltd. (Finance) ..................... 8,000 31,730
------------
$ 538,698
------------
ITALY -- 1.2%
Gucci Group NV, ADR
(Retail-Apparel)* ............................... 1,600 $ 103,200
Instituto Nazionale delle Assicurazioni
(Insurance) ..................................... 44,000 65,584
Luxottica Group S.p.A., ADR
(Consumer Goods and Services) ................... 500 36,687
Mediolanum (Insurance)## .......................... 1,500 14,922
Telecom Italia Mobile
(Telecommunications) ............................ 21,500 37,096
Telecom Italia Mobile S.p.A., di Risp
(Telecommunications) ............................ 51,500 70,212
------------
$ 327,701
------------
JAPAN -- 6.8%
Canon, Inc. (Consumer Goods) ...................... 3,000 $ 62,454
DDI Corp. (Telecommunications) .................... 18 157,122
Dai Nippon Printing Co. Ltd. (Printing) ........... 3,000 58,072
Daiwa House Industry Co. (Housing) ................ 3,000 46,567
East Japan Railway Co. (Railroads) ................ 9 47,252
Hirose Electric (Electrical Equipment) ............ 1,000 61,815
Ito-Yokado Co. Ltd. (Retail) ...................... 3,000 181,063
Kirin Beverage (Beverages) ........................ 13,000 191,107
Matsushita Electric Industrial Co.
(Electrical Equipment) .......................... 14,000 260,774
Murata Manufacturing Co. Ltd.
(Electrical Equipment) .......................... 5,000 189,463
Osaka Sanso Kogyo Ltd. (Chemicals) ................ 18,000 75,603
Sony Corp. (Electronics) .......................... 4,500 297,562
Takeda Chemical Industries (Chemicals) ............ 4,000 70,855
Toyota Motor Corp. (Automotive) ................... 3,000 75,055
Ushio, Inc. (Electronics) ......................... 3,000 36,706
------------
$ 1,811,470
------------
MEXICO -- 0.2%
Grupo Casa Autrey S.A. de C.V., ADR
(Wholesale Distributors) ........................ 2,250 $ 48,375
------------
NETHERLANDS -- 1.4%
IHC Caland NV (Transportation Equipment) .......... 2,400 $ 118,150
Royal Dutch Petroleum Co. (Oils) .................. 650 99,938
Royall PTT Nederland NV
(Telecommunications) ............................ 1,700 64,361
Wolters Kluwer (Publishing) ....................... 704 80,001
------------
$ 362,450
------------
NEW ZEALAND -- 1.5%
Lion Nathan Ltd. (Beverages) ...................... 128,600 $ 336,215
Telecom New Zealand, ADR
(Utilities -- Telephone) ........................ 915 61,076
------------
$ 397,291
------------
PHILIPPINES -- 0.4%
Alsons Cement Corp.
(Building Materials) ## ......................... 56,000 $ 25,651
Hi Cement (Building Materials) ## ................. 22,000 8,314
Pilipino Telegraph & Telephone Corp.
(Telecommunications) ............................ 53,000 80,922
------------
$ 114,887
------------
SINGAPORE -- 0.6%
Hong Leong Finance (Finance)+ .................... 11,000 $ 38,520
Mandarin Oriental International Ltd. (Lodging) .... 28,000 39,200
Singapore Press Holdings (Publishing) ............. 4,000 78,543
------------
$ 156,263
------------
SOUTH KOREA -- 0.9%
Korea Electric Power Corp., ADR
(Utilities -- Electric) ......................... 6,390 $ 154,958
Korea Mobile Telecommunications, ADR
(Telecommunications) ............................ 5,500 94,188
------------
$ 249,146
------------
SPAIN -- 1.3%
Iberdrola (Utilities -- Electric) ................. 24,600 $ 252,529
Repsol S.A. (Oils) ................................ 3,050 106,071
------------
$ 358,600
------------
SWEDEN -- 3.0%
ABB AB, "B" (Electrical Equipment) ................ 2,880 $ 304,737
Astra AB, Free Shares, "B" (Pharmaceuticals) ...... 4,260 185,832
Ericsson LM Telephone Co., ADR, "B"
(Telecommunications Equipment) .................. 3,500 75,250
Hennes & Mauritz AB, "B" (Retail) ................. 405 37,596
Toolex Alpha NV, ADR (Consumer Goods and Services) 5,300 127,200
Volvo AB, "B" (Automotive) ........................ 3,300 75,215
------------
$ 805,830
------------
SWITZERLAND -- 1.6%
Nestle A.G., Registered Shares (Food and Beverage
Products) ....................................... 246 $ 280,890
Sandoz AG (Pharmaceuticals) ....................... 130 148,646
------------
$ 429,536
------------
UNITED KINGDOM -- 5.3%
ASDA Group PLC (Retail) ........................... 114,000 $ 207,059
British Petroleum PLC, ADR (Oils) ................. 1,627 173,886
Dalgety PLC (Food Products) ....................... 7,500 41,042
East Midlands Electric PLC
(Utilities -- Electric) ......................... 5,000 40,673
Jarvis Hotels PLC (Lodging)+ ..................... 22,500 60,427
Kwik-Fit Holdings PLC (Retail) .................... 22,000 77,868
Lloyds TSB Group PLC (Banks and Credit Companies) . 28,000 136,922
London Electricity PLC
(Utilities -- Electric) ......................... 5,371 52,154
PowerGen PLC (Utilities -- Electric) .............. 305 2,221
PowerGen PLC, 380 P/P
(Utilities -- Electric) ......................... 37,000 188,974
Reuters Holdings PLC, ADR (Publishing) ............ 950 68,875
Storehouse PLC (Retail) ........................... 51,400 254,690
Tomkins PLC (Conglomerate) ........................ 31,200 117,212
------------
$ 1,422,003
------------
Total Foreign Stocks
(Identified Cost, $8,317,787) ......................... $ 9,248,255
------------
U.S. STOCKS -- 18.1%
AEROSPACE -- 1.2%
General Dynamics Corp. ............................ 2,600 $ 161,200
Lockheed Martin Corp. ............................. 1,800 151,200
------------
$ 312,400
------------
BANKS AND CREDIT COMPANIES -- 1.2%
Barnett Banks, Inc. ............................... 2,990 $ 182,390
Norwest Corp. ..................................... 3,600 125,550
------------
$ 307,940
------------
BUSINESS MACHINES -- 0.6%
Digital Equipment Corp. ........................... 2,200 $ 99,000
International Business Machines Corp. ............. 725 71,775
------------
$ 170,775
------------
CHEMICALS -- 0.5%
Air Products & Chemicals, Inc. .................... 1,200 $ 69,300
Praxair, Inc. ..................................... 1,800 76,050
------------
$ 145,350
------------
CONSUMER GOODS AND SERVICES -- 2.4%
Philip Morris Cos., Inc. .......................... 3,290 $ 342,160
Tyco International Ltd. ........................... 7,400 301,550
------------
$ 643,710
------------
ELECTRICAL EQUIPMENT -- 1.0%
General Electric Co. .............................. 2,950 $ 255,175
------------
FINANCIAL INSTITUTIONS -- 0.8%
Associates First Capital, "A" ..................... 800 $ 30,100
Federal Home Loan Mortgage Corp. .................. 1,995 170,572
------------
$ 200,672
------------
INSURANCE -- 2.3%
CIGNA Corp. ....................................... 1,900 $ 223,962
St. Paul Cos., Inc. ............................... 2,520 134,820
Transamerica Corp. ................................ 3,300 267,300
------------
$ 626,082
------------
MACHINERY -- 0.4%
Deere & Co., Inc. ................................. 2,900 $ 116,000
------------
MEDICAL AND HEALTH PRODUCTS -- 1.6%
Lilly (Eli) & Co. ................................. 1,596 $ 103,740
Schering Plough Corp. ............................. 3,800 238,450
Warner-Lambert Co. ................................ 1,480 81,400
------------
$ 423,590
------------
OILS -- 1.9%
Amoco Corp. ....................................... 1,260 $ 91,192
Exxon Corp. ....................................... 600 52,125
Mobil Corp. ....................................... 1,500 168,188
USX-Marathon Group ................................ 10,000 201,250
------------
$ 512,755
------------
PHOTOGRAPHIC PRODUCTS -- 1.2%
Eastman Kodak Co. ................................. 4,180 $ 324,995
------------
PRINTING AND PUBLISHING -- 0.4%
Gannett Co., Inc. ................................. 1,500 $ 106,125
------------
UTILITIES -- ELECTRIC -- 1.6%
FPL Group, Inc. ................................... 3,200 $ 147,200
Illinova Corp. .................................... 4,700 135,125
Portland General Corp. ............................ 4,700 145,112
------------
$ 427,437
------------
UTILITIES -- GAS -- 1.0%
Coastal Corp. ..................................... 3,800 $ 158,650
Westcoast Energy, Inc. ............................ 7,850 117,750
------------
$ 276,400
------------
Total U.S. Stocks
(Identified Cost, $4,299,150) ......................... $ 4,849,406
------------
Total Stocks (Identified Cost, $12,616,937) ............. $ 14,097,661
------------
<PAGE>
BONDS -- 24.6%
Principal
Amount
(000 Omitted)
FOREIGN DENOMINATED -- 22.5%
AUSTRALIA -- 1.9%
Government of Australia, 7s, 1998 ............ AUD 300 $ 231,024
Government of Australia, 7s, 2000 ............ 175 131,459
Government of Australia,
9.75s, 2002 ................................ 175 144,405
------------
$ 506,888
------------
BELGIUM -- 0.7%
Kingdom of Belgium, 8.75s, 2002 .............. BEF 5,000 $ 181,540
------------
CANADA -- 3.7%
Government of Canada,
7.5s, 2001 ................................. CAD 250 $ 186,973
Government of Canada,
7.5s, 2003 ................................. 450 331,110
Government of Canada,
8.75s, 2005 ................................ 400 315,573
Government of Canada,
9.5s, 2010 ................................. 205 169,844
------------
$ 1,003,500
------------
DENMARK -- 1.0%
Kingdom of Denmark, 8s, 2001 ................. DKK 1,413 $ 257,325
------------
GERMANY -- 3.2%
German Unity Fund, 8.5s, 2001 ................ DEM 770 $ 565,790
Treuhandanstalt Obligationen,
6.375s, 1999 ............................... 407 278,873
------------
$ 844,663
------------
IRELAND -- 1.2%
Republic of Ireland, 8s, 2000 ................ IEP 200 $ 333,023
------------
ITALY -- 2.7%
Republic of Italy, 8.5s, 1999 ................ ITL 345,000 $ 226,489
Republic of Italy, 9.5s, 1999 ................ 375,000 251,370
Republic of Italy, 9.5s, 2006 ................ 390,000 255,980
------------
$ 733,839
------------
NETHERLANDS -- 0.8%
Government of Netherlands,
6s, 2006 ................................... NLG 370 $ 210,555
------------
SPAIN -- 2.2%
Government of Spain, 8.3s, 1998 .............. ESP 28,800 $ 228,467
Government of Spain, 10.1s, 2001 ............. 41,500 348,619
------------
$ 577,086
------------
SWEDEN -- 2.5%
Government of Sweden,
11s, 1999 .................................. SEK 400 $ 66,482
Government of Sweden,
10.25s, 2000 ............................... 3,600 600,290
------------
$ 666,772
------------
UNITED KINGDOM -- 2.6%
United Kingdom Gilts, 9s, 2000 ............... GBP 385 $ 634,096
United Kingdom Gilts, 7s, 2001 ............... 50 76,335
------------
$ 710,431
------------
Total Foreign Denominated
(Identified Cost, $5,996,613) ......................... $ 6,025,622
------------
U.S. DOLLAR DENOMINATED -- 2.1%
U.S. Treasury Stripped Interest
Payments, 0s, 2006
(Identified Cost, $544,887) ................ $ 1,090 $ 559,257
------------
Total Bonds (Identified Cost, $6,541,500) ............... $ 6,584,879
------------
CONVERTIBLE BONDS -- 1.9%
Principal
Amount
Issuer (000 Omitted) Value
CHEMICALS -- 0.1%
Sandoz Capital BVI Ltd.,
2s, 2002 ## ................................ $ 18 $ 19,170
------------
FINANCIAL INSTITUTIONS -- 1.0%
MBL International Finance,
3s, 2002 ................................... $ 40 $ 46,950
Sumitomo Bank International,
0.75s, 2001 ## ............................. JPY 21,000 207,469
------------
$ 254,419
------------
INSURANCE -- 0.2%
Instituto Nazionale delle
Assicurazioni, 5s, 2001 .................... $ 60 $ 61,200
------------
MEDICAL AND HEALTH PRODUCTS -- 0.2%
Essilor International, 6.5s, 1999 ............ FRF 4 $ 54,017
------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 0.2%
Roche Holdings, Inc., 0s, 2010 ## ............ $ 155 $ 65,488
------------
TELECOMMUNICATIONS -- 0.2%
Tele-Communications, 4.5s, 2006 .............. $ 60 $ 53,175
------------
Total Convertible Bonds
(Identified Cost, $470,166) ........................... $ 507,469
------------
SHORT-TERM OBLIGATIONS -- 19.4%
Federal Home Loan Bank,
due 7/08/96 ................................ $ 1,000 $ 998,981
Federal Home Loan Mortgage Corp., due
7/01/96 - 7/10/96 .......................... 4,200 4,196,405
------------
Total Short-Term Obligations,
at Amortized Cost ..................................... $ 5,195,386
------------
CALL OPTIONS PURCHASED -- 0.1%
Principal Amount
of Contracts
Description/Expiration Month/Strike Price (000 Omitted) Value
AUSTRALIAN DOLLARS
July/0.80 .................................. AUD 457 $ 146
CANADIAN DOLLARS
October/1.332 .............................. CAD 728 1,127
DEUTSCHE MARKS
July/1.52 .................................. DEM 2,664 15,420
JAPANESE GOVERNMENT BONDS
July/98.207 ................................ JPY 38,000 2,090
July/108.277 ............................... 4,000 816
August/113.318 ............................. 26,000 4,004
August/113.3606 ............................ 21,000 2,604
September/96.324 ........................... 29,000 1,421
September/108.659 .......................... 20,000 2,520
SPANISH PESETAS/DEUTSCHE MARKS
August/83.65 ............................... ESP 46,426 371
------------
Total Call Options Purchased
(Premiums Paid, $33,029) .............................. $ 30,519
------------
PUT OPTIONS PURCHASED -- 0.1%
DEUTSCHE MARKS
July/1.55 .................................. DEM 2,350 $ 56
DEUTSCHE MARKS/BRITISH POUNDS
August/2.3316 .............................. 1,235 11,134
FRENCH FRANCS/DEUTSCHE MARKS
July/3.6 ................................... FRF 2,950 --
SWISS FRANCS/DEUTSCHE MARKS
July/0.805 ................................. CHF 403 6,825
------------
Total Put Options Purchased
(Premiums Paid, $24,312) .............................. $ 18,015
------------
Total Investments (Identified Cost, $24,881,330) ........ $ 26,433,929
------------
PUT OPTIONS WRITTEN
CANADIAN DOLLARS
October/1.3858 ............................. CAD 757 $ (1,355)
JAPANESE GOVERNMENT BONDS
July/98.207 ................................ JPY 38,000 (1,444)
July/108.277 ............................... 4,000 --
August/113.318 ............................. 26,000 (260)
August/113.3606 ............................ 21,000 (567)
September/96.324 ........................... 29,000 (1,914)
September/108.659 .......................... 20,000 (1,820)
SPANISH PESETAS/DEUTSCHE MARKS
August/86 .................................. ESP 47,730 (96)
------------
Total Put Options Written
(Premiums Received, $14,269) .......................... $ (7,456)
------------
OTHER ASSETS,
LESS LIABILITIES -- 1.2% .................................. $ 313,013
------------
Net Assets -- 100.0% .................................. $ 26,739,486
============
See portfolio footnotes and notes to financial statements
<PAGE>
PORTFOLIO OF INVESTMENTS -- June 30, 1996
ZERO COUPON SERIES
2000 PORTFOLIO
U.S. GOVERNMENT -- 100.0%
Principal Amount
Issuer (000 Omitted) Value
TREASURY INVESTMENT GROWTH RECEIPTS -- 3.4%
Series 18, due 2/15/01 .............................. $ 97 $ 72,287
Series 12, due 5/15/01 .............................. 22 16,129
Series 15, due 8/15/01 .............................. 88 63,430
-----------
Total Treasury Investment
Growth Receipts
(Identified Cost, $133,384) ............................ $ 151,846
-----------
U.S. TREASURY SECURITIES STRIPPED INTEREST
PAYMENTS -- 96.6%
Generic Coupons, due 5/15/00 ........................ $ 742 $ 580,941
Generic Coupons, due 8/15/00 ........................ 115 88,567
Generic Coupons, due 11/15/00 ....................... 4,626 3,504,056
Generic Coupons, due 5/15/01 ........................ 136 99,679
-----------
Total U.S. Treasury Securities
Stripped Interest Payments
(Identified Cost, $4,242,125) .......................... $ 4,273,243
-----------
Total Investments
(Identified Cost, $4,375,509) .......................... $ 4,425,089
OTHER ASSETS,
LESS LIABILITIES ........................................... 340
-----------
Net Assets -- 100.0% ..................................... $ 4,425,429
===========
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.
++ Security valued by or at the direction of the Trustees.
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 Dollars
BEF = Belgian Francs
CAD = Canadian Dollars
CHF = Swiss Francs
CZK = Czech Republic Korunas
DEM = Deutsche Marks
DKK = Danish Kroner
ESP = Spanish Pesetas
FIM = Finnish Markkaa
FRF = French Francs
GBP = British Pounds
HKD = Hong Kong Dollars
IEP = Irish Punts
ITL = Italian Lire
JPY = Japanese Yen
NLG = Dutch Guilders
NZD = New Zealand Dollars
SEK = Swedish Kronor
<PAGE>
<TABLE>
<CAPTION>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES -- June 30, 1996
Capital Conservative Emerging Government High
Appreciation Growth Growth Securities Yield
Series Series Series Series Series
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost ........................ $761,281,118 $363,664,959 $144,274,507 $383,476,470 $156,512,811
Unrealized appreciation ............... 175,886,007 65,462,174 16,507,152 (1,460,139) (439,586)
------------ ------------ ------------ ------------ ------------
Total investments, at value ........ $937,167,125 $429,127,133 $160,781,659 $382,016,331 $156,073,225
Cash ..................................... 41,290 11,607 80,295 49,111 15,018
Foreign currency, at value
(identified cost, $22,314) ............. -- -- -- -- --
Net receivable for forward foreign
currency exchange contracts sold ....... -- -- -- -- --
Net receivable for closed forward
foreign currency exchange contracts .... -- -- -- -- --
Receivable for investments sold .......... 12,228,687 7,700,580 2,210,794 -- 3,760,836
Receivable for Trust shares sold ......... 1,439,540 700,830 241,500 570,394 984,620
Interest and dividends receivable ........ 725,807 766,903 17,252 5,290,049 2,876,159
Receivable from investment adviser ....... -- -- -- -- --
Other assets ............................. 12,982 23,135 2,372 3,982 1,646
------------ ------------ ------------ ------------ ------------
Total assets ....................... $951,615,431 $438,330,188 $163,333,872 $387,929,867 $163,711,504
------------ ------------ ------------ ------------ ------------
LIABILITIES:
Distributions payable .................... $ -- $ -- $ -- $ -- $ --
Payable for investments purchased ........ 14,979,857 24,180,469 1,247,073 2,945,147 5,364,316
Payable for Trust shares reacquired ...... 138,833 90,350 -- 198,941 248,551
Written options outstanding, at
value (premiums received, $1,940) ...... -- -- -- -- --
Payable for daily variation margin on open
futures contracts ...................... -- -- -- 150,250 --
Net payable for forward foreign currency
exchange contracts sold ................ 206,159 -- -- -- --
Net payable for forward foreign currency
exchange contracts, purchased .......... -- -- -- -- --
Payable to investment adviser ............ 56,362 18,578 9,708 17,226 9,653
Accrued expenses and other liabilities ... 207,571 120,555 68,367 115,549 63,196
------------ ------------ ------------ ------------ ------------
Total liabilities .................. $ 15,588,782 $ 24,409,952 $ 1,325,148 $ 3,427,113 $ 5,685,716
------------ ------------ ------------ ------------ ------------
Net assets ....................... $936,026,649 $413,920,236 $162,008,724 $384,502,754 $158,025,788
============ ============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-in capital .......................... $690,808,783 $328,422,300 $143,489,917 $382,889,326 $162,213,948
Unrealized appreciation (depreciation)
on investments and translation
of assets and liabilities in foreign
currencies ............................. 175,678,620 65,461,663 16,507,049 (1,824,695) (439,586)
Accumulated undistributed net realized
gain (loss) on investments and
foreign currency transactions .......... 69,514,054 16,844,386 1,934,802 (9,287,076) (10,603,417)
Accumulated undistributed net investment
income ................................. 25,192 3,191,887 76,956 12,725,199 6,854,843
------------ ------------ ------------ ------------ ------------
Net assets ....................... $936,026,649 $413,920,236 $162,008,724 $384,502,754 $158,025,788
============ ============ ============ ============ ============
Shares of beneficial interest ............ 28,202,407 17,734,812 11,141,306 31,128,982 18,678,543
============ ============ ============ ============ ============
NET ASSET VALUE, OFFERING PRICE
AND REDEMPTION PRICE PER SHARE
(NET ASSETS / SHARES OF BENEFICIAL
INTEREST OUTSTANDING) .................. $33.19 $23.34 $14.54 $12.35 $ 8.46
====== ====== ====== ====== ======
See notes to financial statements
<PAGE>
<CAPTION>
STATEMENTS OF ASSETS AND LIABILITIES -- June 30, 1996 -- continued
MFS/ MFS/
MFS/ Foreign Foreign
Foreign & Colonial & Colonial
& Colonial International Emerging
Managed International Growth and Markets Money
Sectors Growth Income Equity Market
Series Series Series Series Series
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost...................... $223,097,851 $ 434,071 $ 24,201,402 $ 199,552 $340,652,564
Unrealized appreciation ............. 12,630,779 -- 557,830 -- --
------------ ------------ ------------ ------------ ------------
Total investments, at value ..... $235,728,630 $ 434,071 $ 24,759,232 $ 199,552 $340,652,564
Cash .................................. 2,763 245,071 40,504 66,325 191,427
Foreign currency, at value
(identified cost, $22,314) .......... -- -- 22,342 -- --
Net receivable for forward foreign
currency exchange contracts sold .... -- -- 19,276 -- --
Net receivable for closed forward
foreign currency exchange contracts . -- -- 5,669 -- --
Receivable for investments sold ....... 2,906,328 -- 415,208 -- --
Receivable for Trust shares sold ...... 653,973 9,203 29,457 31,356 2,179,135
Interest and dividends receivable ..... 315,348 -- 171,535 -- --
Receivable from investment adviser .... -- 1,618 -- 1,792 --
Other assets .......................... 7,642 -- 16,097 -- 4,083
------------ ------------ ------------ ------------ ------------
Total assets .................... $239,614,684 $ 689,963 $ 25,479,320 $ 299,025 $343,027,209
------------ ------------ ------------ ------------ ------------
LIABILITIES:
Distributions payable ................. -- -- -- -- $ 89,584
Payable for investments purchased ..... 3,058,087 -- 654,116 -- --
Payable for Trust shares reacquired ... 783 -- 5,702 -- 14,623,098
Written options outstanding, at value
(premiums received, $1,940) .......... -- -- 771 -- --
Payable for daily variation margin
on open futures contracts ........... -- -- -- -- --
Net payable for forward foreign
currency exchange contracts sold .... -- -- -- -- --
Net payable for forward foreign
currency exchange contracts, purchased -- -- 13,525 -- --
Payable to investment adviser ......... 14,441 -- 1,970 -- 14,354
Accrued expenses and other liabilities 93,668 1,800 42,824 1,800 70,212
------------ ------------ ------------ ------------ ------------
Total liabilities ............... $ 3,166,979 $ 1,800 $ 718,908 $ 1,800 $ 14,797,248
------------ ------------ ------------ ------------ ------------
Net assets .................... $236,447,705 $ 688,163 $ 24,760,412 $ 297,225 $328,229,961
============ ============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-in capital ....................... $206,004,336 $ 687,446 $ 23,970,463 $ 297,051 $328,229,961
Unrealized appreciation (depreciation) on
investments and translation of assets
and liabilities in foreign currencies 12,630,803 -- 569,988 -- --
Accumulated undistributed net realized
gain (loss) on investments and
foreign currency transactions ....... 17,472,784 -- (46,630) -- --
Accumulated undistributed net
investment income ................... 339,782 717 266,591 174 --
------------ ------------ ------------ ------------ ------------
Net assets .................... $236,447,705 $ 688,163 $ 24,760,412 $ 297,225 $328,229,961
============ ============ ============ ============ ============
Shares of beneficial interest ......... 9,827,861 68,599 2,342,557 29,702 328,229,961
============ ============ ============ ============ ============
NET ASSET VALUE, OFFERING PRICE AND
REDEMPTION PRICE PER SHARE
(NET ASSETS / SHARES OF BENEFICIAL
INTEREST OUTSTANDING) ............... $24.06 $10.03 $10.57 $10.01 $ 1.00
====== ====== ====== ====== ======
See notes to financial statements
<PAGE>
<CAPTION>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES -- June 30, 1996 -- continued
Total World Asset
Research Return Utilities Value Allocation
Series Series Series Series Series
------------ -------------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost .................................... $174,130,669 $1,061,962,150 $52,884,046 $1,271,673 $51,587,899
Unrealized appreciation ............................ 14,117,289 125,541,096 3,856,016 -- 2,599,347
------------ -------------- ----------- ---------- -----------
Total investments, at value ...................... $188,247,958 $1,187,503,246 $56,740,062 $1,271,673 $54,187,246
Cash ................................................. 39,025 6,980 46,211 370,777 81,550
Foreign currency, at value (identified cost, $46,
$84,611 and $502,577, respectively) ................ 46 -- -- -- 84,680
Net receivable for forward foreign currency exchange
contracts purchased ................................ -- -- -- -- 42,720
Net receivable for closed forward foreign currency
exchange contracts ................................. -- -- -- -- 36,276
Premium receivable on options written ................ -- -- -- -- 1,848
Receivable for investments sold ...................... 2,504,841 20,807,313 701,950 -- 1,360,490
Receivable for Trust shares sold ..................... 602,890 1,503,201 35,589 198,094 240,243
Interest and dividends receivable .................... 136,086 9,346,239 386,617 -- 333,784
Receivable from investment adviser ................... -- -- -- 4,446 --
Other assets ......................................... 7,491 54,347 8,754 -- 12,831
------------ -------------- ----------- ---------- -----------
Total assets $191,538,337 $1,219,221,326 $57,919,183 $1,844,990 $56,381,668
------------ -------------- ----------- ---------- -----------
LIABILITIES:
Cash overdraft ....................................... $ -- $ -- $ -- $ -- $ --
Payable for investments purchased .................... 4,816,740 8,037,441 1,140,507 -- 2,011,702
Payable for Trust shares reacquired .................. -- 152,993 37 16 --
Written options outstanding, at value (premiums
received, $17,204, $61,143 and $14,269, respectively) -- -- -- -- 11,290
Net payable for closed forward foreign currency
exchange contracts ................................. -- -- -- -- --
Net payable for forward foreign currency exchange
contracts purchased ................................ -- -- -- -- --
Net payable for forward foreign currency exchange
contracts sold ..................................... -- -- -- -- 251,271
Payable to investment adviser ........................ 11,311 67,196 3,434 -- 3,270
Accrued expenses and other liabilities ............... 72,786 217,034 50,774 5,050 37,754
------------ -------------- ----------- ---------- -----------
Total liabilities .............................. $ 4,900,837 $ 8,474,664 $ 1,194,752 $ 5,066 $ 2,315,287
------------ -------------- ----------- ---------- -----------
Net assets ................................... $186,637,500 $1,210,746,662 $56,724,431 $1,839,924 $54,066,381
============ ============== =========== ========== ===========
NET ASSETS CONSIST OF:
Paid-in capital ...................................... $166,280,475 $1,015,134,691 $49,418,480 $1,837,287 $49,199,775
Unrealized appreciation (depreciation) on investments
and translation of assets and liabilities in
foreign currencies ................................. 14,116,805 125,539,892 3,856,308 -- 2,432,835
Accumulated undistributed net realized gain (loss) on
investments and foreign currency transactions ...... 5,825,913 45,082,328 2,389,994 -- 1,819,180
Accumulated undistributed net investment income ...... 414,307 24,989,751 1,059,649 2,637 614,591
------------ -------------- ----------- ---------- -----------
Net assets ................................... $186,637,500 $1,210,746,662 $56,724,431 $1,839,924 $54,066,381
============ ============== =========== ========== ===========
Shares of beneficial interest outstanding ............ 12,363,305 67,814,334 4,624,517 183,450 4,137,737
============ ============== =========== ========== ===========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE (NET ASSETS / SHARES OF BENEFICIAL
INTEREST OUTSTANDING) .............................. $15.10 $17.85 $12.27 $10.03 $13.07
====== ====== ====== ====== ======
See notes to financial statements
<PAGE>
<CAPTION>
STATEMENTS OF ASSETS AND LIABILITIES -- June 30, 1996 -- continued
Zero
Coupon
World World World Series
Governments Growth Total Return 2000
Series Series Series Portfolio
------------ ------------ ----------- ----------
<S> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost .................................... $141,421,388 $174,904,717 $24,881,330 $4,375,509
Unrealized appreciation ............................ 16,227 21,406,413 1,552,599 49,580
------------ ------------ ----------- ----------
Total investments, at value ...................... $141,437,615 $196,311,130 $26,433,929 $4,425,089
Cash ................................................. 6,504 -- 7,091 5,379
Foreign currency, at value (identified cost, $46,
$84,611 and $502,577, respectively) ................ -- 500,976 -- --
Net receivable for forward foreign currency exchange
contracts purchased ................................ 678,493 -- -- --
Net receivable for closed forward foreign currency
exchange contracts ................................. 231,473 -- -- --
Premium receivable on options written ................ -- -- 1,800 --
Receivable for investments sold ...................... 6,727,367 2,084,229 1,165,756 --
Receivable for Trust shares sold ..................... 333,134 243,789 53,856 --
Interest and dividends receivable .................... 3,558,716 357,158 206,373 --
Receivable from investment adviser ................... -- -- -- --
Other assets ......................................... 1,643 32,142 5,706 50
------------ ------------ ----------- ----------
Total assets $152,974,945 $199,529,424 $27,874,511 $4,430,518
------------ ------------ ----------- ----------
LIABILITIES:
Cash overdraft ....................................... $ -- $ 223,147 $ -- $ --
Payable for investments purchased .................... 6,875,901 3,183,959 1,043,420 --
Payable for Trust shares reacquired .................. 61,236 64 772 243
Written options outstanding, at value (premiums
received, $17,204, $61,143 and $14,269, respectively) 26,304 -- 7,456 --
Net payable for closed forward foreign currency
exchange contracts ................................. -- -- 10,889 --
Net payable for forward foreign currency exchange
contracts purchased ................................ -- -- 16,189 --
Net payable for forward foreign currency exchange
contracts sold ..................................... 1,195,400 -- 33,931 --
Payable to investment adviser ........................ 8,859 14,309 1,631 90
Accrued expenses and other liabilities ............... 64,435 124,930 20,737 4,756
------------ ------------ ----------- ----------
Total liabilities .............................. $ 8,232,135 $ 3,546,409 $ 1,135,025 $ 5,089
------------ ------------ ----------- ----------
Net assets ................................... $144,742,810 $195,983,015 $26,739,486 $4,425,429
============ ============ =========== ==========
NET ASSETS CONSIST OF:
Paid-in capital ...................................... $145,693,412 $172,791,521 $24,949,304 $4,323,168
Unrealized appreciation (depreciation) on investments
and translation of assets and liabilities in
foreign currencies ................................. (238,941) 21,401,831 1,498,556 49,580
Accumulated undistributed net realized gain (loss) on
investments and foreign currency transactions ...... (10,594,984) 1,553,258 (128,709) (60,546)
Accumulated undistributed net investment income ...... 9,883,323 236,405 420,335 113,227
------------ ------------ ----------- ----------
Net assets ................................... $144,742,810 $195,983,015 $26,739,486 $4,425,429
============ ============ =========== ==========
Shares of beneficial interest outstanding ............ 13,523,438 15,159,741 2,187,321 519,325
============ ============ =========== ==========
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE
PER SHARE (NET ASSETS / SHARES OF BENEFICIAL
INTEREST OUTSTANDING) .............................. $10.70 $12.93 $12.22 $ 8.52
====== ====== ====== ======
See notes to financial statements
</TABLE>
<PAGE>
STATEMENTS OF OPERATIONS -- Six Months Ended June 30, 1996
<TABLE>
<CAPTION>
Capital Conservative Emerging Government High
Appreciation Growth Growth Securities Yield
Series Series Series Series Series
------------ ----------- ----------- ------------ -----------
<S> <C> <C> <C> <C> <C>
Net investment income:
Income --
Interest ............................. $ 560,532 $ 591,883 $ 292,783 $ 13,961,054 $ 7,595,038
Dividends ............................ 3,100,674 3,751,587 51,695 -- --
Foreign taxes withheld ............... (49,194) (50,405) (2,650) -- --
------------ ----------- ----------- ------------ -----------
Total investment income ............ $ 3,612,012 $ 4,293,065 $ 341,828 $ 13,961,054 $ 7,595,038
------------ ----------- ----------- ------------ -----------
Expenses --
Investment advisory fees ............. $ 3,334,510 $ 977,022 $ 407,219 $ 1,064,125 $ 574,974
Trustees' fees ....................... 400 400 320 400 400
Custodian fees ....................... 178,462 79,872 21,525 88,702 33,149
Auditing fees ........................ 17,563 16,839 34,143 21,613 25,432
Legal fees ........................... 106 493 1,043 548 2,081
Printing expenses .................... 55,645 21,919 4,327 31,009 15,986
Registration fees .................... -- -- -- -- --
Miscellaneous ........................ 11,201 4,684 19,904 29,206 3,170
------------ ----------- ----------- ------------ -----------
Total expenses ..................... $ 3,597,887 $ 1,101,229 $ 488,481 $ 1,235,603 $ 655,192
Waiver of expenses by investment adviser -- -- (221,253) -- --
Fees paid indirectly ................... (11,159) (150) (2,460) -- (1,095)
------------ ----------- ----------- ------------ -----------
Net expenses ....................... $ 3,586,728 $ 1,101,079 $ 264,768 $ 1,235,603 $ 654,097
------------ ----------- ----------- ------------ -----------
Net investment income ............ $ 25,284 $ 3,191,986 $ 77,060 $ 12,725,451 $ 6,940,941
============ =========== =========== ============ ===========
Realized and unrealized gain (loss) on
investments and foreign currency
transations:
Realized gain (loss) (identified cost basis) --
Investment transactions .............. $ 69,502,752 $17,178,268 $ 1,953,707 $ (1,720,811) $ (338,200)
Written option transactions .......... -- -- -- -- --
Foreign currency transactions ........ 153,061 (6,603) 1,629 -- --
Futures contracts .................... -- -- -- (184,841) --
------------ ----------- ----------- ----------- -----------
Net realized gain (loss) on
investments and foreign currency
transactions ..................... $ 69,655,813 $17,171,665 $ 1,955,336 $ (1,905,652) $ (338,200)
------------ ----------- ----------- ------------ -----------
Change in unrealized appreciation
(depreciation) on --
Investments ......................... $ 35,037,224 $14,101,516 $10,925,377 $(19,804,868) $(2,061,508)
Written options ..................... -- -- -- -- --
Translation of assets and liabilities
in foreign currencies ............. (250,945) (1,421) (103) -- --
Futures contracts ................... -- -- -- (364,556) --
------------ ----------- ----------- ------------ -----------
Net unrealized gain (loss) on
investments and foreign currency
translation ..................... $ 34,786,279 $14,100,095 $10,925,274 $(20,169,424) $(2,061,508)
------------ ----------- ----------- ------------ -----------
Net realized and unrealized gain
(loss) on investments and
foreign currency .............. $104,442,092 $31,271,760 $12,880,610 $(22,075,076) $(2,399,708)
------------ ----------- ----------- ------------ -----------
Increase (decrease) in net assets
from operations ............... $104,467,376 $34,463,746 $12,957,670 $ (9,349,625) $ 4,541,233
============ =========== =========== ============ ===========
+From June 3, 1996 (commencement of operations) to June 30, 1996.
++From June 5, 1996 (commencement of operations) to June 30, 1996.
See notes to financial statements
<PAGE>
STATEMENTS OF OPERATIONS -- Six Months Ended June 30, 1996 -- continued
<CAPTION>
MFS/ MFS/
MFS/ Foreign Foreign
Foreign & Colonial & Colonial
& Colonial International Emerging
Managed International Growth and Markets Money
Sectors Growth Income Equity Market
Series Series+ Series Series++ Series
------------ ------------- ------------- ---------- ------
<S> <C> <C> <C> <C> <C>
Net investment income:
Income --
Interest ............................. $ 280,421 $ 1,005 $169,559 $ 288 $7,922,475
Dividends ............................ 997,005 -- 185,188 -- --
Foreign taxes withheld ............... (16,642) -- (24,181) -- --
----------- -------- -------- ------ ----------
Total investment income ............ $ 1,260,784 $ 1,005 $330,566 $ 288 $7,922,475
----------- ------- -------- ------ ----------
Expenses --
Investment advisory fees ............. $ 820,462 $ 187 $ 80,319 $ 95 $ 734,175
Trustees' fees ....................... 400 -- 320 -- 400
Custodian fees ....................... 51,510 100 5,799 100 58,592
Auditing fees ........................ 17,027 1,500 13,243 1,500 12,976
Legal fees ........................... 1,834 -- 643 -- 442
Printing expenses .................... 18,977 150 424 150 31,871
Registration fees .................... -- 106 -- 106 --
Miscellaneous ........................ 10,802 50 7,300 50 --
----------- ------- -------- ------ ----------
Total expenses ..................... $ 921,012 $ 2,093 $108,048 $2,001 $ 838,456
Waiver of expenses by investment adviser -- (1,805) (43,942) (1,887) --
Fees paid indirectly ................... -- -- (131) -- (1,265)
----------- -------- -------- ------ ----------
Net expenses ....................... $ 921,012 $ 288 $ 63,975 $ 114 $ 837,191
----------- -------- -------- ------ ----------
Net investment income ............ $ 339,772 $ 717 $266,591 $ 174 $7,085,284
=========== ======== ======== ====== ==========
Realized and unrealized gain (loss) on
investments and foreign currency
transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions .............. $17,586,881 $ -- $(24,689) $ -- $ --
Written option transactions .......... -- -- 15,947 -- --
Foreign currency transactions ........ (9,101) -- (37,888) -- --
Futures contracts .................... -- -- -- -- --
----------- -------- -------- ------ ----------
Net realized gain (loss) on
investments and foreign currency
transactions ..................... $17,577,780 $ -- $(46,630) $ -- $ --
----------- -------- -------- ------ ----------
Change in unrealized appreciation
(depreciation) on --
Investments .......................... $(2,053,002) $ -- $435,639 $ -- $ --
Written options ...................... -- -- 1,168 -- --
Translation of assets and liabilities
in foreign currencies .............. 3,418 -- 17,535 -- --
Futures contracts .................... -- -- -- -- --
----------- -------- -------- ------ ----------
Net unrealized gain (loss) on invest-
ments and foreign currency
translation ...................... $(2,049,584) $ -- $454,342 $ -- $ --
----------- -------- -------- ------ ----------
Net realized and unrealized
gain (loss) on investments and
foreign currency ............... $15,528,196 $ -- $407,712 $ -- $ --
----------- -------- -------- ------ ----------
Increase (decrease) in net
assets from operations ....... $15,867,968 $ 717 $674,303 $ 174 $7,085,284
=========== ======== ======== ====== ==========
+From June 3, 1996 (commencement of operations) to June 30, 1996.
++From June 5, 1996 (commencement of operations) to June 30, 1996.
See notes to financial statements
<PAGE>
STATEMENTS OF OPERATIONS -- Six Months Ended June 30, 1996 -- continued
<CAPTION>
Total World Asset
Research Return Utilities Value Allocation
Series Series Series Series+ Series
-------- ------ --------- ------- -----------
<S> <C> <C> <C> <C> <C>
Net investment income:
Income --
Interest ........................................... $ 245,740 $ 18,310,162 $ 423,353 $3,241 $ 526,600
Dividends .......................................... 749,980 10,912,789 891,108 -- 327,636
Foreign taxes withheld ............................. (24,000) (140,089) (53,448) -- (38,705)
Total investment income .......................... $ 971,720 $ 29,082,862 $1,261,013 $3,241 $ 815,531
----------- ------------ ---------- ------ ----------
Expenses --
Investment advisory fees ........................... $ 463,853 $ 3,933,268 $ 187,269 $ 453 $ 147,224
Trustees' fees ..................................... 420 400 400 -- 415
Custodian fees ..................................... 30,400 196,621 12,480 250 20,495
Auditing fees ...................................... 37,994 18,814 16,318 2,500 15,993
Legal fees ......................................... 642 142 42 -- 343
Printing expenses .................................. 7,904 50,459 4,183 1,000 2,009
Registration fees .................................. -- -- -- 1,000 --
Miscellaneous ...................................... 16,686 32,665 3,016 300 1,883
----------- ------------ ---------- ------ ----------
Total expenses ................................... $ 557,899 $ 4,232,369 $ 223,708 $5,503 $ 188,362
Fees paid indirectly ................................. (533) (1,421) (632) -- (2,485)
----------- ------------ ---------- ------ ----------
Net expenses ..................................... $ 557,366 $ 4,230,948 $ 223,076 $ 604 $ 185,877
----------- ------------ ---------- ------ ----------
Net investment income ................................ $ 414,354 $ 24,851,914 $1,037,937 $2,637 $ 629,654
=========== ============ ========== ====== ==========
Realized and unrealized gain (loss) on investments
and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................ $ 5,893,206 $ 45,545,016 $2,494,960 $ -- $ (2,047)
Foreign currency transactions ...................... (10,264) (3,919) (7,594) -- 411,289
Written option transactions ........................ -- -- -- -- 4,094
----------- ------------ ---------- ------ ----------
Net realized gain (loss) on investments and
foreign currency transactions .................. $ 5,882,942 $ 45,541,097 $2,487,366 -- $1,842,240
----------- ------------ ---------- ------ ----------
Change in unrealized appreciation (depreciation) on --
Investments ........................................ $ 7,225,347 $(16,822,871) $ (775,647) -- $1,186,074
Translation of assets and liabilities in
foreign currencies ............................... (284) (1,647) 1,605 -- (176,028)
Written options .................................... -- -- -- -- 8,432
----------- ------------ ---------- ------ ----------
Net unrealized gain (loss) on investments
and foreign currency translation ............... $ 7,225,063 $(16,824,518) $ (774,042) -- $1,018,478
----------- ------------ ---------- ------ ----------
Net realized and unrealized gain (loss)
on investments and foreign currency .......... $13,108,005 $ 28,716,579 $1,713,324 -- $2,860,718
----------- ------------ ---------- ------ ----------
Increase (decrease) in net assets
from operations ............................ $13,522,359 $ 53,568,493 $2,751,261 $2,637 $3,490,372
=========== ============ ========== ====== ==========
+From June 3, 1996 (commencement of operations) to June 30, 1996.
See notes to financial statements
<PAGE>
<CAPTION>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF OPERATIONS -- Six Months Ended June 30, 1996 -- continued
Coupon
World World World Series
Governments Growth Total Return 2000
Series Series Series Portfolio
------------ ------------ ----------- ----------
<S> <C> <C> <C> <C>
Net investment income:
Income --
Interest ........................................... $ 5,132,260 $ 233,856 $ 303,440 $ 124,076
Dividends .......................................... -- 1,030,762 176,188 --
Foreign taxes withheld ............................. -- (90,698) (17,155) --
----------- ----------- ----------- ---------
Total investment income .......................... $ 5,132,260 $ 1,173,920 $ 462,473 $ 124,076
----------- ----------- ----------- ---------
Expenses --
Investment advisory fees ........................... $ 548,809 $ 768,602 $ 74,708 $ 5,562
Trustees' fees ..................................... 400 400 415 400
Custodian fees ..................................... 67,011 64,925 11,216 833
Auditing fees ...................................... 16,463 32,813 7,693 4,497
Legal fees ......................................... 694 674 143 152
Printing expenses .................................. 14,180 13,625 1,691 143
Registration fees .................................. -- -- -- --
Miscellaneous ...................................... 7,062 8,154 692 --
----------- ----------- ----------- ---------
Total expenses ................................... $ 654,619 $ 889,193 $ 96,558 $ 11,587
Fees paid indirectly ................................. -- -- (152) (463)
----------- ----------- ----------- ---------
Net expenses ..................................... $ 654,619 $ 889,193 $ 96,406 $ 11,124
----------- ----------- ----------- ---------
Net investment income .......................... $ 4,477,641 $ 284,727 $ 366,067 $ 112,952
=========== =========== =========== =========
Realized and unrealized gain (loss) on investments
and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................ $(2,870,823) $ 1,469,860 $ 39,529 $ (2,047)
Foreign currency transactions ...................... (7,688,539) 417,907 (143,265) --
Written option transactions ........................ 728,382 -- 28,803 --
Net realized gain (loss) on investments and
foreign currency transactions .................. (9,830,980) $ 1,887,767 (74,944) $ (2,047)
----------- ----------- ---------- ---------
Change in unrealized appreciation (depreciation) on --
Investments ........................................ $(2,601,848) $16,928,610 $ 825,316 $(212,012)
Translation of assets and liabilities in
foreign currencies ............................... 7,246,566 (27,461) 12,002 --
Written options .................................... (85,471) -- 4,438 --
----------- ----------- ---------- ---------
Net unrealized gain (loss) on investments
and foreign currency translation ............... $ 4,559,247 $16,901,149 $ 841,756 $(212,012)
----------- ----------- ---------- ---------
Net realized and unrealized gain (loss)
on investments and foreign currency .......... $(5,271,733) $18,788,916 $ 766,823 $(214,059)
----------- ----------- ---------- ---------
Increase (decrease) in net assets
from operations ............................ $ (794,092) $19,073,643 $1,132,890 $(101,107)
=========== =========== ========== =========
+From June 3, 1996 (commencement of operations) to June 30, 1996.
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Six Months Ended June 30, 1996
Capital Conservative Emerging Government High
Appreciation Growth Growth Securities Yield
Series Series Series Series Series
------------ ----------- ----------- ------------ -----------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS --
Net investment income ................... $ 25,284 $ 3,191,986 $ 77,060 $ 12,725,451 $ 6,940,941
Net realized gain (loss) on investments
and foreign currency transactions ..... 69,655,813 17,171,665 1,955,336 (1,905,652) (338,200)
Net unrealized gain (loss) on
investments and foreign currency
translation ........................... 34,786,279 14,100,095 10,925,274 (20,169,424) (2,061,508)
------------ ------------ ------------ ------------ ------------
Increase (decrease) in net
assets from operations ............ $104,467,376 $ 34,463,746 $ 12,957,670 ( 9,349,625) $ 4,541,233
DISTRIBUTIONS DECLARED TO SHAREHOLDERS --
From net investment income .............. (850,749) (4,723,151) (223,677) (22,253,356) (12,135,750)
From net realized gain on investments
and foreign currency transactions ..... (75,199,375) (10,911,137) -- -- --
------------ ------------ ------------ ------------ ------------
Total distributions declared
to shareholders ................... $(76,050,124) $(15,634,288) $ (223,677) $(22,253,356) $(12,135,750)
TRUST SHARE TRANSACTIONS --
Net proceeds from sale of shares ........ $196,952,960 $ 82,862,734 $ 99,333,992 $ 86,658,483 $ 58,802,003
Net asset value of shares issued to
shareholders in reinvestment of
distributions ......................... 76,050,124 15,634,288 223,677 22,253,356 12,135,750
Cost of shares reacquired ............... (162,495,379) (5,429,856) (17,537,725) (61,654,064) (59,117,603)
------------ ------------ ------------ ------------ ------------
Increase in net assets from Trust
share transactions .................. $110,507,705 $ 93,067,166 $ 82,019,944 $ 47,257,775 $ 11,820,150
------------ ------------ ------------ ------------ ------------
Total increase in net assets ........ $138,924,957 $111,896,624 $ 94,753,937 $ 15,654,794 $ 4,225,633
NET ASSETS --
Beginning of period ..................... 797,101,692 302,023,612 67,254,787 368,847,960 153,800,155
------------ ------------ ------------ ------------ ------------
End of period ........................... $936,026,649 $413,920,236 $162,008,724 $384,502,754 $158,025,788
============ ============ ============ ============ ============
ACCUMULATED UNDISTRIBUTED NET INVESTMENT
INCOME INCLUDED IN NET ASSETS AT END
OF PERIOD ............................... $ 25,192 $ 3,191,887 $ 76,956 $ 12,725,199 $ 6,854,843
============= ============ ============ ============ ============
+From June 3, 1996 (commencement of operations) to June 30, 1996.
++From June 5, 1996 (commencement of operations) to June 30, 1996.
See notes to financial statements
<PAGE>
<CAPTION>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Six Months Ended June 30, 1996 -- continued
MFS/ MFS/
MFS/ Foreign Foreign
Foreign & Colonial & Colonial
& Colonial International Emerging
Managed International Growth and Markets Money
Sectors Growth Income Equity Market
Series Series+ Series Series++ Series
------------ ------------- ------------- ---------- ------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS --
Net investment income ................... $ 339,772 $ 717 $ 266,591 $ 174 $ 7,085,284
Net realized gain (loss) on investments
and foreign currency transactions ..... 17,577,780 -- (46,630) -- --
Net unrealized gain (loss) on
investments and foreign currency
translation ........................... (2,049,584) -- 454,342 -- --
------------ -------- ----------- -------- ------------
Increase (decrease) in net
assets from operations ............ $ 15,867,968 $ 717 $ 674,303 $ 174 $ 7,085,284
DISTRIBUTIONS DECLARED TO SHAREHOLDERS --
From net investment income .............. $ (637,050) -- -- -- (7,085,284)
From net realized gain on investments
and foreign currency transactions ..... (28,755,283) -- -- -- --
------------ -------- ----------- -------- ------------
Total distributions declared
to shareholders ................... (29,392,333) -- -- -- --
TRUST SHARE TRANSACTIONS --
Net proceeds from sale of shares ........ $ 41,604,194 $771,008 $18,148,001 $302,307 $352,382,906
Net asset value of shares issued to
shareholders in reinvestment of
distributions ......................... 29,392,333 -- -- -- 6,995,700
Cost of shares reacquired ............... (15,375,236) (83,562) (1,240,720) (5,256) (313,902,753)
------------ -------- ----------- -------- ------------
Increase in net assets from Trust
share transactions ................. $ 55,621,291 $687,446 $16,907,281 $297,051 $ 45,475,853
Total increase in net assets ........ $ 42,096,926 $688,163 $17,581,584 $297,225 $ 45,475,853
NET ASSETS --
Beginning of period .................... 194,350,779 -- 7,178,828 -- 282,754,108
------------ -------- ----------- -------- ------------
End of period ........................... $236,447,705 $688,163 $24,760,412 $297,225 $328,229,961
============ ======== =========== ======== ============
ACCUMULATED UNDISTRIBUTED NET INVESTMENT
INCOME INCLUDED IN NET ASSETS AT END
OF PERIOD ............................... $ 339,782 $ 717 $ 266,591 $ 174 --
============ ======== =========== ======== ============
+From June 3, 1996 (commencement of operations) to June 30, 1996.
++From June 5, 1996 (commencement of operations) to June 30, 1996.
See notes to financial statements
<PAGE>
<CAPTION>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Six Months Ended June 30, 1996 -- continued
Total World Asset
Research Return Utilities Value Allocation
Series Series Series Series+ Series
-------- ------ --------- ------- -----------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS --
Net investment income .................................. $ 414,354 $ 24,851,914 $ 1,037,937 $ 2,637 $ 629,654
Net realized gain (loss) on investments and
foreign currency transactions ........................ 5,882,942 45,541,097 2,487,366 -- 1,842,240
Net unrealized gain (loss) on investments and foreign
currency translation ................................. 7,225,063 (16,824,518) (774,042) -- 1,018,478
------------ -------------- ----------- ---------- -----------
Increase (decrease) in net assets from
operations $ 13,522,359 $ 53,568,493 $ 2,751,261 $ 2,637 $ 3,490,372
------------ -------------- ----------- ---------- -----------
DISTRIBUTIONS DECLARED TO SHAREHOLDERS --
From net investment income ............................ (328,089) (44,516,908) (1,325,715) -- (458,860)
From net realized gain on investments and
foreign currency transactions ....................... (1,843,286) (41,696,365) (1,440,891) -- (864,253)
------------ -------------- ----------- ---------- -----------
Total distributions declared to shareholders ...... $ (2,171,375) $ (86,213,273) $(2,766,606) -- $(1,323,113)
------------ -------------- ----------- ---------- -----------
TRUST SHARE TRANSACTIONS --
Net proceeds from sale of shares ...................... $101,951,622 $ 91,187,978 $13,479,445 $1,863,358 $25,727,760
Net asset value of shares issued to shareholders
in reinvestment of distributions .................... 2,171,375 86,213,273 2,766,606 -- 1,323,113
Cost of shares reacquired ............................. (664,594) (33,897,206) (2,640,635) (26,071) (1,015,144)
------------ -------------- ----------- ---------- -----------
Increase in net assets from Trust
share transactions ................................ $103,458,403 $ 143,504,045 $13,605,416 $1,837,287 $26,035,729
------------ -------------- ----------- ---------- -----------
Total increase (decrease) in net assets ......... $114,809,387 $ 110,859,265 $13,590,071 $1,839,924 $28,202,988
NET ASSETS --
Beginning of period ................................... 71,828,113 $1,099,887,397 43,134,360 -- 25,863,393
End of period ......................................... $186,637,500 $1,210,746,662 $56,724,431 $1,839,924 $54,066,381
============ ============== =========== ========== ===========
ACCUMULATED UNDISTRIBUTED NET INVESTMENT INCOME
INCLUDED IN NET ASSETS AT END OF PERIOD ............... $ 414,307 $ 24,989,751 $ 1,059,649 $ 2,637 $ 614,591
============ ============= =========== ========== ===========
+From June 3, 1996 (commencement of operations) to June 30, 1996.
See notes to financial statements
<PAGE>
<CAPTION>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Six Months Ended June 30, 1996 -- continued
Zero
Coupon
World World World Series
Governments Growth Total Return 2000
Series Series Series Portfolio
------------ ------------ ----------- ----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS --
Net investment income .................................. $ 4,477,641 $ 284,727 $ 366,067 $ 112,952
Net realized gain (loss) on investments and
foreign currency transactions ........................ (9,830,980) 1,887,767 (74,933) 2,047
Net unrealized gain (loss) on investments and foreign
currency translation ................................. 4,559,247 16,901,149 841,756 (212,012)
------------ ------------ ----------- ----------
Increase (decrease) in net assets from
operations ....................................... $ (794,092) $ 19,073,643 $ 1,132,890 $ (101,107)
------------ ------------ ----------- ----------
DISTRIBUTIONS DECLARED TO SHAREHOLDERS --
From net investment income ............................. (20,261,198) (1,196,882) (432,723) (168,674)
From net realized gain on investments and
foreign currency transactions ....................... -- (11,275,915) -- --
------------ ------------ ----------- ----------
Total distributions declared to shareholders ...... $(20,261,198) $(12,472,797) $ (432,723) $ (168,674)
------------ ------------ ----------- ----------
TRUST SHARE TRANSACTIONS --
Net proceeds from sale of shares ...................... $ 7,635,635 $ 43,694,368 $13,002,116 $ 184,362
Net asset value of shares issued to shareholders
in reinvestment of distributions .................... 20,261,198 12,472,797 432,723 168,674
Cost of shares reacquired ............................. (14,585,925) (13,173,229) (1,181,458) (273,682)
------------ ------------ ----------- ----------
Increase in net assets from Trust
share transactions ................................ $ 13,310,908 $ 42,993,936 $12,253,381 $ 79,354
------------ ------------ ----------- ----------
Total increase (decrease) in net assets ......... $ (7,744,382) $ 49,594,782 $12,953,548 $ (190,427)
NET ASSETS --
Beginning of period ................................... 152,487,192 146,388,233 13,785,938 4,615,856
End of period ......................................... $144,742,810 $195,983,015 $26,739,486 $4,425,429
============ ============ =========== ==========
ACCUMULATED UNDISTRIBUTED NET INVESTMENT INCOME
INCLUDED IN NET ASSETS AT END OF PERIOD ............... $ 9,883,323 $ 236,405 $ 420,335 $ 113,227
============ ============ =========== ==========
+From June 3, 1996 (commencement of operations) to June 30, 1996.
See notes to financial statements
<PAGE>
<CAPTION>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Year Ended December 31, 1995 -- continued
Capital Conservative Emerging Government
Appreciation Growth Growth Securities
Series Series Series Series
------------ ----------- ----------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS --
Net investment income .................. $ 2,104,622 $ 4,732,099 $ 223,573 $ 22,449,604
Net realized gain (loss) on
investments and foreign currency
translation .......................... 74,291,934 11,000,468 (20,534) (440,209)
Net unrealized gain on investments and
foreign currency translation ......... 109,290,728 50,605,952 5,581,775 33,522,922
------------ ------------ ----------- ------------
Increase in net assets
from operations .................. $185,687,284 $ 66,338,519 $ 5,784,814 $ 55,532,317
------------ ------------ ----------- ------------
DISTRIBUTIONS DECLARED TO SHAREHOLDERS --
From net investment income ............. $ (1,257,607) $ (2,990,858) $ -- $(19,677,831)
From net realized gain on
investments and foreign currency
transactions ......................... (13,684,251) (1,805,444) -- --
------------ ------------ ----------- ------------
Total distributions
declared to shareholders ....... $(14,941,858) $ (4,796,302) -- $(19,677,831)
------------ ------------ ----------- ------------
TRUST SHARE TRANSACTIONS --
Net proceeds from sale of shares ....... $329,318,353 $ 97,358,437 $78,579,346 $ 69,483,965
Net asset value of shares issued to
shareholders in reinvestment of
distributions ........................ 14,941,858 4,796,302 -- 19,677,831
Cost of shares reacquired .............. (194,411,727) (11,991,144) (17,109,373) (103,318,428)
------------ ------------ ----------- ------------
Increase (decrease) in net
assets from Trust share
transactions ..................... $149,848,484 $ 90,163,595 $61,469,973 $(14,156,632)
------------ ------------ ----------- ------------
Total increase in net assets ..... $320,593,910 $151,705,812 $67,254,787 $ 21,697,854
NET ASSETS --
Beginning of year ...................... 476,507,782 150,317,800 -- 347,150,106
------------ ------------ ----------- ------------
End of year ............................ $797,101,692 $302,023,612 $67,254,787 $368,847,960
============ ============ =========== ============
ACCUMULATED UNDISTRIBUTED NET
INVESTMENT INCOME INCLUDED IN NET
ASSETS AT END OF YEAR .................. $ 850,657 $ 4,723,052 $ 223,573 $ 22,253,104
============ ============ =========== ============
+From May 1, 1995 (commencement of operations) to December 31, 1995.
++From October 2, 1995 (commencement of operations) to December 31, 1995.
See notes to financial statements
<PAGE>
<CAPTION>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Year Ended December 31, 1995 -- continued
MFS/Foreign
& Colonial
International
High Managed Growth and Money
Yield Sectors Income Market
Series Series Series++ Series
----------- ------------ ------------- ------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS --
Net investment income .................. $ 12,087,771 $ 666,775 $ 12,903 $ 12,727,293
Net realized gain (loss) on
investments and foreign currency
translation .......................... (1,843,888) 29,542,920 (17,271) --
Net unrealized gain on investments and
foreign currency translation ......... 9,954,655 11,155,881 115,646 --
------------ ------------ ---------- ------------
Increase in net assets
from operations .................. $ 20,198,538 $ 41,365,576 $ 111,278 $ 12,727,293
------------ ------------ ---------- ------------
DISTRIBUTIONS DECLARED TO SHAREHOLDERS --
From net investment income ............. $ (8,657,037) $ (342,457) $ -- $(12,727,293)
From net realized gain on
investments and foreign currency
transactions ......................... -- (4,215,692) -- --
------------ ------------ ---------- ------------
Total distributions
declared to shareholders ....... $ (8,657,037) $ (4,558,149) -- $(12,727,293
------------ ------------ ---------- ------------
TRUST SHARE TRANSACTIONS --
Net proceeds from sale of shares ....... $ 97,407,906 $ 66,280,056 $7,079,388 $450,493,345
Net asset value of shares issued to
shareholders in reinvestment of
distributions ........................ 8,657,037 4,558,149 -- 12,727,293
Cost of shares reacquired .............. (66,000,142) (32,281,926) (11,838) (432,641,522)
Increase (decrease) in net
assets from Trust share
transactions ..................... $ 40,064,801 $ 38,556,279 $7,067,550 $ 30,579,116
------------ ------------ ---------- ------------
Total increase in net assets ..... $ 51,606,302 $ 75,363,706 $7,178,828 $ 30,579,116
NET ASSETS --
Beginning of year ...................... 102,193,853 118,987,073 -- 252,174,992
------------ ------------ ---------- ------------
End of year ............................ $153,800,155 $194,350,779 $7,178,828 $282,754,108
============ ============ ========== ============
ACCUMULATED UNDISTRIBUTED NET
INVESTMENT INCOME INCLUDED IN NET
ASSETS AT END OF YEAR .................. $ 12,049,652 $ 637,060 -- --
============ ============ ========== ============
+From May 1, 1995 (commencement of operations) to December 31, 1995.
++From October 2, 1995 (commencement of operations) to December 31, 1995.
See notes to financial statements
<PAGE>
<CAPTION>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Year Ended December 31, 1995 -- continued
Total World Asset
Research Return Utilities Allocation
Series Series Series Series
-------- ------ --------- -----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS --
Net investment income .................. $ 330,174 $ 44,770,957 $ 1,349,687 $ 488,885
Net realized gain (loss) on
investments and foreign currency
translation .......................... 1,799,538 45,877,957 1,964,180 800,505
Net unrealized gain on investments and
foreign currency translation ......... 6,876,576 133,970,269 5,215,776 1,398,356
----------- -------------- ----------- -----------
Increase in net assets
from operations .................. $ 9,006,288 $ 224,619,183 $ 8,529,643 $ 2,687,746
----------- -------------- ----------- -----------
DISTRIBUTIONS DECLARED TO SHAREHOLDERS --
From net investment income ............ $ (5,213) $ (34,941,362) $ (673,961) $ (6,089)
From net realized gain on
investments and foreign currency
transactions ......................... -- -- -- --
----------- -------------- ----------- -----------
Total distributions declared to
shareholders ................... $ (5,213) $ (34,941,362) $ (673,961) $ (6,089)
----------- -------------- ----------- -----------
TRUST SHARE TRANSACTIONS --
Net proceeds from sale of shares ....... $62,420,583 $ 136,422,449 $21,368,373 $21,306,554
Net asset value of shares issued to
shareholders in reinvestment of
distributions ........................ 5,213 34,941,362 673,961 6,089
Cost of shares reacquired .............. (3,467,672) (100,768,585) (8,212,008) (1,134,082)
----------- -------------- ----------- -----------
Increase (decrease) in net
assets from Trust share
transactions ..................... $58,958,124 $ 70,595,226 $13,830,326 $20,178,561
----------- -------------- ----------- -----------
Total increase in net assets ..... $67,959,199 $ 260,273,047 $21,686,008 $22,860,218
NET ASSETS --
Beginning of year ...................... 3,868,914 839,614,350 21,448,352 3,003,175
----------- -------------- ----------- -----------
End of year ............................ $71,828,113 $1,099,887,397 $43,134,360 $25,863,393
=========== ============== =========== ===========
ACCUMULATED UNDISTRIBUTED NET
INVESTMENT INCOME INCLUDED IN NET
ASSETS AT END OF YEAR .................. $ 328,042 $ 44,654,745 $ 1,347,427 $ 443,797
=========== ============== =========== ===========
See notes to financial statements
<PAGE>
<CAPTION>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Year Ended December 31, 1995 -- continued
Zero
Coupon
World World World Series
Governments Growth Total Return 2000
Series Series Series Portfolio
------------ ------------ ----------- ----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS --
Net investment income ............................... $ 10,077,304 $ 728,568 $ 261,133 $ 168,649
Net realized gain (loss) on
investments and foreign currency
translation ....................................... 14,107,660 11,783,396 174,347 (20,451)
Net unrealized gain on investments and
foreign currency translation ...................... (2,587,887) 6,613,757 652,694 461,824
------------ ------------ ----------- ----------
Increase in net assets
from operations ............................... $ 21,597,077 $ 19,125,721 $ 1,088,174 $ 610,022
------------ ------------ ----------- ----------
DISTRIBUTIONS DECLARED TO SHAREHOLDERS --
From net investment income .......................... $ (70,904) $ (1,411,794) $ (2,399) $ (173,697)
From net realized gain on
investments and foreign currency
transactions ...................................... (7,889,471) (1,739,413) -- --
------------ ------------ ----------- ----------
Total distributions declared to
shareholders ................................ $ (7,960,375) $ (3,151,207) $ (2,399) $ (173,697)
------------ ------------ ----------- ----------
TRUST SHARE TRANSACTIONS --
Net proceeds from sale of shares .................... $ 36,410,013 $ 52,969,836 $12,285,163 $1,609,509
Net asset value of shares issued to
shareholders in reinvestment of
distributions ..................................... 7,960,375 3,151,207 2,399 173,697
Cost of shares reacquired ........................... (44,674,805) (25,751,488) (971,428) (883,928)
------------ ------------ ----------- ----------
Increase (decrease) in net
assets from Trust share
transactions .................................. $ (304,417) $ 30,369,555 $11,316,134 $ 899,278
------------ ------------ ----------- ----------
Total increase in net assets .................. $ 13,332,285 $ 46,344,069 $12,401,909 $1,335,603
NET ASSETS --
Beginning of year ................................... 139,154,907 100,044,164 1,384,029 3,280,253
------------ ------------ ----------- ----------
End of year ......................................... $152,487,192 $146,388,233 $13,785,938 $4,615,856
============ ============ =========== ==========
ACCUMULATED UNDISTRIBUTED NET
INVESTMENT INCOME INCLUDED IN NET
ASSETS AT END OF YEAR ............................... $ 25,666,880 $ 1,148,560 $ 486,991 $ 168,949
============ ============ =========== ==========
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS
Capital Appreciation Series
----------------------------------------------------------------------------------------
Six Months Year Ended December 31,
Ended --------------------------------------------------------------------
June 30, 1996 1995 1994 1993 1992 1991
-------------- ---- ---- ---- ---- ----
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD):
<S> <C> <C> <C> <C> <C> <C>
Net asset value -- beginning
of period ............................. $31.9878 $24.4076 $28.1892 $24.8989 $23.0886 $16.6242
-------- -------- -------- -------- -------- --------
Income from investment operations# --
Net investment income ................. $ 0.0010 $ 0.0933 $ 0.0523 $ 0.1036 $ 0.0909 $ 0.1809
Net realized and unrealized
gain (loss) on investments
and foreign currency ................ 4.0792 8.1619 (1.1104) 4.2197 2.9238 6.5415
-------- -------- -------- -------- -------- --------
Total from investment
operations .................... $ 4.0802 $ 8.2552 $(1.0581) $ 4.3233 $ 3.0147 $ 6.7224
-------- -------- -------- -------- -------- --------
Less distributions --
From net investment income ............. $(0.0322) $(0.0568) $(0.1306) $(0.1095) $(0.1831) $(0.2580)
From net realized gain on investments
and foreign currency transactions .... (2.8462) (0.6182) (2.5929) (0.9235) (1.0213) --
-------- -------- -------- -------- -------- --------
Total distributions $(2.8784) $(0.6750) $(2.7235) $(1.0330) $(1.2044) $(0.2580)
-------- -------- -------- -------- -------- --------
Net asset value -- end of period ........ $33.1896 $31.9878 $24.4076 $28.1892 $24.8989 $23.0886
======== ======== ======== ======== ======== ========
TOTAL RETURN(+) ......................... 12.50%++ 34.46% (3.60)% 18.00% 13.61% 40.95%
RATIOS (TO AVERAGE NET ASSETS)/SUPPLEMENTAL DATA:
Expenses## ............................ 0.81%+ 0.83% 0.83% 0.83% 0.87% 0.85%
Net investment income ................. 0.01%+ 0.32% 0.24% 0.48% 0.50% 1.20%
PORTFOLIO TURNOVER ...................... 40% 89% 52% 70% 69% 92%
Average commission rate### .............. $ 0.0375 -- -- -- -- --
NET ASSETS, END OF PERIOD (000 OMITTED) . $936,027 $797,102 $476,508 $420,552 $262,645 $160,846
<FN>
+Annualized.
++Not annualized.
#Per share data for the periods subsequent to December 31, 1992 is based on average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are calculated without reduction for fees paid indirectly.
###Average commission rate is calculated for Series with fiscal years beginning on or after September 1, 1995.
(+)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.
</FN>
</TABLE>
See notes to financial statements
<PAGE>
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Conservative Growth Series Emerging Growth Series
------------------------------------------------------------------------------ ------------------------
Six Months Six Months Period
Ended Year Ended December 31, Ended Ended
June 30, ----------------------------------------------------------------- June 30, December
1996 1995 1994 1993 1992 1991 1996 31, 1995*
------------ ------------ ------------ ------------ ------------ ------------ ----------- ------------
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 $22.0182 $16.4563 $16.9289 $16.0717 $16.8547 $12.6137 $12.6867 $10.0000
-------- -------- -------- -------- -------- -------- -------- --------
Income from investment operations# --
Net investment income(S) $ 0.2063 $ 0.4318 $ 0.2942 $ 0.2041 $ 0.1810 $ 0.1515 $ 0.0112 $ 0.0788
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions ........ 2.0868 5.6172 (0.4790) 1.1280 0.6747 4.4025 1.8677 2.6079
-------- -------- -------- -------- -------- -------- -------- --------
Total from investment
operations ...... $ 2.2931 $ 6.0490 $(0.1848) $ 1.3321 $ 0.8557 $ 4.5540 $ 1.8789 $ 2.6867
-------- -------- -------- -------- -------- -------- -------- --------
Less distributions --
From net investment
income .............. $(0.2936) $(0.3037) $(0.1996) $(0.1509) $(0.1387) $(0.3130) $(0.0243) $ --
From net realized gain
on investments
and foreign currency
transactions ........ (0.6783) (0.1834) (0.0882) (0.3240) (1.5000) -- -- --
-------- -------- -------- -------- -------- -------- -------- --------
Total distributions $(0.9719) $(0.4871) $(0.2878) $(0.4749) $(1.6387) $(0.3130) $(0.0243) $ --
-------- -------- -------- -------- -------- -------- -------- --------
Net asset value -- end of
period .............. $23.3394 $22.0182 $16.4563 $16.9289 $16.0717 $16.8547 $14.5413 $12.6867
======== ======== ======== ======== ======== ======== ======== ========
TOTAL RETURN(+).......... 10.45%++ 37.41% (1.10)% 8.43% 5.71% 36.74% 14.86%++ 26.80%++
RATIOS (TO AVERAGE NET ASSETS)/SUPPLEMENTAL DATA(S):
Expenses## .......... 0.62%+ 0.64% 0.64% 0.66% 0.80% 0.98% 0.49%+ 0.24%+
Net investment income 1.80%+ 2.25% 2.42% 2.05% 1.84% 1.07% 0.14%+ 1.13%+
PORTFOLIO TURNOVER .... 27% 60% 146% 19% 40% 51% 40% 28%
Average commission rate### $ 0.0471 -- -- -- -- -- $ 0.0365 --
NET ASSETS, END OF PERIOD
(000 OMITTED) ..... $413,920 $302,024 $150,318 $ 95,770 $ 44,455 $ 15,818 $162,009 $ 67,255
<FN>
* From May 1, 1995 (commencement of investment operations) to December 31, 1995.
+ Annualized.
++ Not annualized.
# Per share data for the periods subsequent to December 31, 1992 is based on average shares outstanding.
## For fiscal years ending after September 1, 1995, expenses are calculated without reduction for fees paid indirectly.
### Average commission rate is calculated for Series with fiscal years beginning on or after September 1, 1995.
(+) 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.
(S) The investment adviser voluntarily waived all or a portion of its advisory fee for the Emerging Growth Series for the periods
indicated. If the waiver had not been in place, the net investment income (loss) per share and the ratios would have been:
</FN>
<CAPTION>
Emerging Growth Series
-----------------------------------
Six Months Ended Period Ended
June 30, 1996 December 31, 1995*
---------------- -----------------
<S> <C> <C>
Net investment income (loss) ................................................................. $(0.0166) $0.0265
Ratios (to average net assets):
Expenses## ............................................................................... 0.90%+ 1.00%+
Net investment income (loss) ............................................................. (0.27%)+ 0.38%+
</TABLE>
See notes to financial statements
<PAGE>
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Government Securities Series
-----------------------------------------------------------------------------------------
Six Months Year Ended December 31,
Ended -------------------------------------------------------------------------
June 30, 1996 1995 1994 1993 1992 1991
------------- ------------- ------------- ------------- ------------- -------------
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD):
<S> <C> <C> <C> <C> <C> <C>
Net asset value -- beginning of period $13.3900 $12.1219 $13.0951 $13.0059 $13.0369 $12.0359
-------- -------- -------- -------- -------- --------
Income from investment operations# --
Net investment income $ 0.4643 $ 0.8311 $ 0.6366 $ 0.5742 $ 0.7170 $ 0.7835
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ..... (0.7971) 1.2183 (0.9238) 0.5220 0.0976 1.0115
-------- -------- -------- -------- -------- --------
Total from investment operations $(0.3328) $ 2.0494 $(0.2872) $ 1.0962 $ 0.8146 $ 1.7950
-------- -------- -------- -------- -------- --------
Less distributions --
From net investment income ......... $(0.7053) $(0.7813) $(0.4959) $(0.6603) $(0.8027) $(0.7940)
From net realized gain on investments
and foreign currency transactions -- -- (0.1901) (0.3467) (0.0429) --
-------- -------- -------- -------- -------- --------
Total distributions ........... $(0.7053) $(0.7813) $(0.6860) $(1.0070) $(0.8456) $(0.7940)
-------- -------- -------- -------- -------- --------
Net asset value -- end of period .... $12.3519 $13.3900 $12.1219 $13.0951 $13.0059 $13.0369
======== ======== ======== ======== ======== ========
TOTAL RETURN(+)...................... (2.46)%++ 17.66% (2.21)% 8.70% 6.81% 15.81%
RATIOS (TO AVERAGE NET ASSETS)/SUPPLEMENTAL DATA:
Expenses## ........................ 0.64%+ 0.63% 0.62% 0.63% 0.66% 0.64%
Net investment income ............. 7.23%+ 6.59% 6.01% 5.92% 6.56% 7.60%
PORTFOLIO TURNOVER .................. 44% 80% 90% 96% 304% 203%
NET ASSETS, END OF PERIOD (000 OMITTED) $384,503 $368,848 $347,150 $310,521 $203,739 $144,172
<CAPTION>
High Yield Series
-----------------------------------------------------------------------------------------
Six Months Year Ended December 31,
Ended -------------------------------------------------------------------------
June 30, 1996 1995 1994 1993 1992 1991
------------- ------------- ------------- ------------- ------------- -------------
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD):
<S> <C> <C> <C> <C> <C> <C>
Net asset value -- beginning of period $ 8.9222 $ 8.1860 $ 9.1120 $ 8.3279 $ 8.1299 $ 6.9758
-------- -------- -------- -------- -------- --------
Income from investment operations# --
Net investment income .............. $ 0.3988 $ 0.7891 $ 0.8226 $ 0.5915 $ 0.7314 $ 0.8230
Net realized and unrealized gain
(loss) on investments and foreign
currency transactions ............. (0.1373) 0.5494 (1.0387) 0.8242 0.3823 1.9201
-------- -------- -------- -------- -------- --------
Total from investment operations $ 0.2615 $ 1.3385 $(0.2161) $ 1.4157 $ 1.1137 $ 2.7431
-------- -------- -------- -------- -------- --------
Less distributions from net
investment income .................. $(0.7234) $(0.6023) $(0.7099) $(0.6316) $(0.9157) $(1.5890)
-------- -------- -------- -------- -------- --------
Net asset value -- end of period .... $ 8.4603 $ 8.9222 $ 8.1860 $ 9.1120 $ 8.3279 $ 8.1299
======== ======== ======== ======== ======== ========
TOTAL RETURN(+) ..................... 2.99%++ 16.93% (2.16)% 17.68% 14.99% 47.47%
RATIOS (TO AVERAGE NET ASSETS)/SUPPLEMENTAL DATA:
Expenses## ........................ 0.85%+ 0.87% 0.86% 0.88% 0.97% 1.05%
Net investment income ............. 9.06%+ 9.17% 8.94% 8.76% 9.07% 12.23%
PORTFOLIO TURNOVER .................. 46% 66% 82% 53% 73% 45%
NET ASSETS, END OF PERIOD (000 OMITTED) $158,026 $153,800 $102,194 $97,884 $54,564 $31,254
<FN>
+ Annualized.
++ Not annualized.
# Per share data for the periods subsequent to December 31, 1992 is based on average shares outstanding. ## For fiscal years
ending after September 1, 1995, expenses are calculated without reduction for fees paid indirectly.
(+) 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.
</FN>
</TABLE>
See notes to financial statements
<PAGE>
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Managed Sectors Series
-----------------------------------------------------------------------------------------
Six Months Year Ended December 31,
Ended -------------------------------------------------------------------------
June 30, 1996 1995 1994 1993 1992 1991
------------- ------------- ------------- ------------- ------------- -------------
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD):
<S> <C> <C> <C> <C> <C> <C>
Net asset value -- beginning
of period .................. $25.4468 $19.8823 $23.2419 $22.3342 $21.0115 $13.0731
-------- -------- -------- -------- -------- --------
Income from investment operations# --
Net investment income (loss) $ 0.0400 $ 0.0979 $ 0.0982 $ 0.0027 $(0.0565) $ 0.0337
Net realized and unrealized gain
(loss) on investments and foreign
currency ................... 2.0703 6.1880 (0.6610) 0.9050 1.4184 8.0287
-------- -------- -------- -------- -------- --------
Total from investment operations $ 2.1103 $ 6.2859 $(0.5628) $ 0.9077 $ 1.3619 $ 8.0624
-------- -------- -------- -------- -------- --------
Less distributions --
From net investment income $(0.0758) $(0.0542) $(0.0239) $ -- $(0.0392) $(0.1240)
From net realized gain on
investments and foreign
currency transactions .... (3.4224) (0.6672) (2.7729) -- -- --
-------- -------- -------- -------- -------- --------
Total distributions .... $(3.4982) $(0.7214) $(2.7968) $ -- $(0.0392) $(0.1240)
-------- -------- -------- -------- -------- --------
Net asset value -- end of period $24.0589 $25.4468 $19.8823 $23.2419 $22.3342 $21.0115
======== ======== ======== ======== ======== ========
TOTAL RETURN(+) .............. 7.77%++ 32.29% (1.94)% 4.08% 6.48% 62.15%
RATIOS (TO AVERAGE NET ASSETS)/SUPPLEMENTAL DATA:
Expenses## ................. 0.84%+ 0.84% 0.87% 0.84% 0.93% 1.03%
Net investment income (loss) 0.31%+ 0.42% 0.53% 0.01% (0.35)% 0.34%
PORTFOLIO TURNOVER ........... 63% 113% 103% 116% 22% 45%
Average commission rate### ... $ 0.0407 -- -- -- -- --
NET ASSETS, END OF PERIOD
(000 OMITTED) .............. $236,448 $194,351 $118,987 $104,964 $ 83,413 $ 41,752
<FN>
+ Annualized.
++ Not annualized.
# Per share data for the periods subsequent to December 31, 1992 is based on average shares outstanding. ## For fiscal years
ending after September 1,1995, expenses are calculated without reduction for fees paid indirectly.
### Average commission rate is calculated for Series with fiscal years beginning on or after September 1, 1995.
(+) 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.
</FN>
</TABLE>
See notes to financial statements
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
MFS/Foreign
MFS/Foreign MFS/Foreign & Colonial
& Colonial & Colonial Emerging
International International Markets
Growth Growth and Equity
Series Income Series Series Money Market Series
--------- -------------------- --------- ---------------------------------------------------------------
Six Period Six
Period Months Ended Period Months
Ended Ended December Ended Ended Year Ended December 31,
June 30, June 30, 31, June 30, June 30, -----------------------------------------------------
1996* 1996 1995** 1996*** 1996 1995 1994 1993 1992 1991
--------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD):
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period . $10.0000 $10.1282 $10.000 $10.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Income from
investment
operations# --
Net investment
income ........... $ 0.0317 $ 0.1671 $ 0.0295 $ 0.0069 $ 0.0237 $ 0.0520 $ 0.0363 $ 0.0256 $ 0.0325 $ 0.0565
Net realized and
unrealized gain
(loss) on
investments and
foreign currency
transactions .... -- 0.2745 0.0987 -- -- -- -- -- -- --
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total from
investment
operations.... $ 0.0317 $ 0.4416 $ 0.1282 $ 0.0069 $ 0.0237 $ 0.0520 $ 0.0363 $ 0.0256 $ 0.0325 $ 0.0565
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Less distributions
from net investment $ -- $ -- $ -- $ -- $(0.0237) $(0.0520) $(0.0363) $(0.0256) $(0.0325) $(0.0565)
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Net asset value --
end of period ..... $10.0317 $10.5698 $10.1282 $10.0069 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
TOTAL RETURN(+)...... 0.30%++ 4.34%++ 1.30%++ 0.10%++ 2.39%++ 5.44% 3.69% 2.59% 3.30% 5.79%
RATIOS (TO AVERAGE NET ASSETS)/SUPPLEMENTAL DATA(S):
Expenses## ........ 1.50%+ 0.79%+ 1.50%+ 1.50%+ 0.57%+ 0.59% 0.58% 0.58% 0.60% 0.59%
Net investment income 3.74%+ 3.27%+ 1.64%+ 2.30%+ 4.84%+ 5.30% 3.74% 2.60% 3.29% 5.64%
PORTFOLIO TURNOVER .. -- 30% -- -- -- -- -- -- -- --
Average commission
rate### ........... -- $ 0.0146 -- -- -- -- -- -- -- --
NET ASSETS, END OF
PERIOD (000 OMITTED) $ 688 $ 24,760 $ 7,179 $ 297 $328,230 $282,754 $252,175 $142,464 $134,799 $129,683
<FN>
* From June 3, 1996 (commencement of investment operations) to June 30, 1996.
** From October 2, 1995 (commencement of investment operations) to December 31, 1995.
*** From June 5, 1996 (commencement of investment operations) to June 30, 1996.
+ Annualized.
++ Not annualized.
# Per share data for the periods subsequent to December 31, 1992 is based on average shares outstanding.
## For fiscal years ending after September 1, 1995, expenses are calculated without reduction for fees paid indirectly.
### Average commission rate is calculated for Series with fiscal years beginning on or after September 1, 1995.
(+) The total return information shown above does not reflect expenses that apply to the separate accounts established by SunLife of
Canada (U.S.) and Sun Life (N.Y.). Inclusion of these charges would reduce the total return figures for all periods shown.
(S) The investment adviser voluntarily agreed to maintain the expenses of the MFS/Foreign & Colonial International Growth Series,
MFS/Foreign & Colonial International Growth and Income Series and MFS/Foreign & Colonial Emerging Markets Equity Series at not
more than 1.50% of average daily net assets. In addition, the investment adviser voluntarily waived all or a portion of its
advisory fee for the periods indicated. To the extent actual expenses were over these limitations, the net investment
income (loss) per share and the ratios would have been:
</FN>
<PAGE>
<CAPTION>
MFS/Foreign
MFS/Foreign MFS/Foreign & Colonial
& Colonial & Colonial Emerging
International International Markets
Growth Growth and Equity
Series Income Series Series
---------- ------------------- ---------
Period Six Months Period
Ended Ended Ended
June 30, June 30, June 30,
1996* 1996 1996***
--------- ------------------- ---------
<S> <C> <C> <C>
Net investment income (loss) ......... $(0.0314) $ 0.1395 $(0.1091)
Ratios (to average net assets):
Expenses## ......................... 10.93%+ 1.32%+ 26.41%+
Net investment income (loss) ....... (5.68)%+ 2.73%+ (22.60)%+
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Research Series Total Return Series
--------------------------------------- ------------------------------------------------------------------
Six Months Year Ended Period Ended Six Months Year Ended December 31,
Ended December 31, December 31, Ended ---------------------------------------------------
June 30, 1996 1995 1994* June 30, 1996 1995 1994 1993 1992 1991
------------- ----------- ------------- ------------- ------ -------- -------- -------- --------
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD):
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period $13.5777 $ 9.8761 $10.0000 $18.3848 $15.0862 $16.0946 $14.7219 $14.2209 $12.1220
-------- -------- -------- -------- -------- -------- -------- -------- --------
Income from investment
operations# --
Net investment
income(S) ........ $ 0.0484 $ 0.1401 $ 0.0131 $ 0.3966 $ 0.7824 $ 0.5639 $ 0.4319 $ 0.5389 $ 0.5646
Net realized and
unrealized gain
(loss) on
investments and
foreign currency
transactions ..... 1.6869 3.5651 (0.1370) 0.4647 3.1527 (0.9310) 1.5044 0.6247 1.9793
-------- -------- -------- -------- -------- -------- -------- -------- --------
Total from
investment
operations .... $ 1.7353 $ 3.7052 $(0.1239) $ 0.8613 $ 3.9351 $(0.3671) $ 1.9363 $ 1.1636 $ 2.5439
-------- -------- -------- -------- -------- -------- -------- -------- --------
Less distributions --
From net investment
income ............ $(0.0328) $(0.0036) $ -- $(0.7189) $(0.6365) $(0.4344) $(0.4798) $(0.5673) $(0.4450)
From net realized
gain on
investments and
foreign currency
transactions ..... (0.1841) -- -- (0.6734) -- (0.2069) (0.0838) (0.0953) --
-------- -------- -------- -------- -------- -------- -------- -------- --------
Total
distributions . $(0.2169) $(0.0036) $ -- $(1.3923) $(0.6365) $(0.6413) $(0.5636) $(0.6626) $(0.4450)
-------- -------- -------- -------- -------- -------- -------- -------- --------
Net asset value -- end
of period .......... $15.0961 $13.5777 $ 9.8761 $17.8538 $18.3848 $15.0862 $16.0946 $14.7219 $14.2209
======== ======== ======== ======== ======== ======== ======== ======== ========
Total return(+) ...... 12.79%++ 37.50% (1.20)%++ 4.77% 26.71% (2.22)% 13.37% 8.57% 21.60%
RATIOS (TO AVERAGE NET ASSETS)/SUPPLEMENTAL DATA(S):
Expenses## ......... 0.91%+ 0.58% 1.50%+ 0.74%+ 0.76% 0.76% 0.78% 0.85% 0.85%
Net investment
income ............ 0.67%+ 1.16% 1.80%+ 4.33% 4.70% 4.34% 4.06% 4.96% 5.83%
PORTFOLIO TURNOVER ... 43% 81% 3% 69% 108% 66% 102% 71% 69%
Average commission
rate### ............ $ 0.0301 -- -- $ 0.0575 -- -- -- -- --
NET ASSETS, END OF
PERIOD (000 OMITTED) . $186,638 $71,828 $ 3,869 $1,210,747 $1,099,887 $839,614 $696,496 $397,385 $224,216
<FN>
* From November 7, 1994 (commencement of investment operations) to December 31, 1994.
+ Annualized.
++ Not annualized.
# Per share data for the periods subsequent to December 31, 1992 is based on average shares outstanding. ## For fiscal years
ending after September 1, 1995, expenses are calculated without reduction for fees paid indirectly.
### Average commission rate is calculated for Series with fiscal years beginning on or after September 1, 1995.
(+) The total return information shown 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.
(S) The investment adviser voluntarily waived a portion of its advisory fee for the Research Series for the period indicated. If
the waiver had not been in place, the net investment income per share and the ratios would have been:
</FN>
<PAGE>
Research Series
---------------
Year Ended
December 31,
1995
---------------
Net investment income .... $ 0.0954
Ratios (to average net assets):
Expenses## ............. 0.95%
Net investment income .. 0.79%
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Utilities Series Value Series World Asset Allocation Series
---------------------------------------------------- ------------- --------------------------------------
Year Ended
Six Months December 31, Period Ended Six Months Year Ended Period Ended
Ended ----------------- December 31, Period Ended Ended December 31, December 31,
June 30, 1996 1995 1994 1993* June 30, 1996*** June 30, 1996 1995 1994**
------------- -------- ------- ------------ ------------- ------------- ------------ --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Per share data
(for a share
outstanding
throughout each
period):
Net asset value --
beginning of
period ............. $12.2598 $ 9.5209 $10.0164 $10.0000 $10.0000 $12.2250 $10.0579 $10.0000
-------- -------- -------- -------- -------- -------- -------- --------
Income from investment
operations# --
Net investment
income(S) ........ $ 0.3094 $ 0.4918 $ 0.2899 $ 0.0128 $ 0.0296 $ 0.0688 $ 0.4205 $ 0.0220
Net realized and
unrealized gain
(loss) on
investments and
foreign currency
transactions ..... 0.3562 2.5197 (0.7817) 0.0036 -- 1.1479 1.7540 0.0359
-------- -------- -------- -------- -------- -------- -------- --------
Total from
investment
operations ... $ 0.6656 $ 3.0115 $(0.4918) $ 0.0164 $ 0.0296 $ 1.2167 $ 2.1745 $ 0.0579
-------- -------- -------- -------- -------- -------- -------- --------
Less distributions
From net investment
income .......... $(0.3160) $(0.2726) $(0.0037) $ -- $ -- $(0.1300) $(0.0074) $ --
From net realized gain
on investments and
foreign currency
transactions .... (0.3434) -- -- -- -- (0.2450) -- --
-------- -------- -------- -------- -------- -------- -------- --------
Total dis-
tributions ... $(0.6594) $(0.2726) $(0.0037) $ -- $ -- $(0.3750) $(0.0074) $ --
-------- -------- -------- -------- -------- -------- -------- --------
Net asset value --
end of period ...... $12.2660 $12.2598 $ 9.5209 $10.0164 $10.0296 $13.0667 $12.2250 $10.0579
======== ======== ======== ======== ======== ======== ======== ========
Total return++ 5.57%++ 32.36% (4.96)% 1.59%+ 0.30% 10.06% 21.56% 0.60%++
Ratios (to average net
assets)/Supplemental
data(S):
Expenses## ........ 0.90%+ 0.44% 0.39% 1.50%+ 1.00%+ 0.95%+ 0.67% 1.50%+
Net investment
income .......... 5.06%+ 4.62% 4.59% 2.58%+ 4.38%+ 3.23%+ 3.70% 3.13%+
Portfolio turnover 60% 119% 103% -- -- 81% 146% 2%
Average commission
rate### ........... $ 0.0382 $ -- $ -- $ -- $ -- $ 0.0211 $ -- $ --
Net assets, end of
period
(000 omitted) ..... $ 56,724 $ 43,134 $ 21,448 $ 2,798 $ 1,840 $ 54,066 $25,863 $ 3,003
<FN>
* From November 16, 1993 (commencement of investment operations) to December 31, 1993.
** From November 7, 1994 (commencement of investment operations) to December 31, 1994.
*** From June 3, 1996 (commencement of investment operations) to June 30, 1996.
+ Annualized.
++ Not annualized.
# Per share data for the periods subsequent to December 31, 1992 is based on average shares outstanding. ## For fiscal years
ending after September 1, 1995, expenses are calculated without reduction for fees paid indirectly.
### Average commissiion rate is calculated for Series with fiscal years beginning on or after September 1, 1995.
(+) The total return information shown 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.
(S) The investment adviser voluntarily waived all or a portion of its advisory fee for the Utilities Series, Value Series and
World Asset Allocation Series for the periods indicated. In addition, the investment adviser voluntarily agreed to maintain
the expenses of the Value Series at not more than 1.00% of average daily net assets. If the waivers had not been in place and,
with respect to the Value Series, to the extent actual expenses were over these limitations, the net investment income per
share and the ratios would have been:
</FN>
World Asset
Utilities Series Value Series Allocation Series
-------------------------- ------------- ------------------
Year Ended Period Ended Year Ended
December 31, June 30, December 31,
1995 1994 1996*** 1995
------- ------- ------- --------
Net investment income (loss) ... $ 0.4375 $ 0.2412 $ (0.0226) $ 0.3716
Ratios (to average net assets):
Expenses## ................... 0.95% 1.14% 9.13%+ 1.11%
Net investment income (loss) 4.12% 3.84% (3.75)%+ 3.27%
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
World Governments Series
----------------------------------------------------------------------------------------------
Six Months Year Ended December 31,
Ended -----------------------------------------------------------------------------
June 30, 1996 1995 1994 1993 1992 1991
------------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Per share data (for a share
outstanding throughout each
period):
Net asset value -- beginning
of period ................ $12.4866 $11.3769 $13.0212 $11.7966 $12.7397 $11.5967
-------- -------- -------- -------- -------- --------
Income from investment
operations# --
Net investment income .... $ 0.3589 $ 0.8031 $ 0.6095 $ 0.5352 $ 0.6429 $ 0.7024
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions ........... (0.4339) 0.9511 (1.2295) 1.5819 (0.6141) 0.9616
-------- -------- -------- -------- -------- --------
Total from investment
operations ......... $(0.0750) $ 1.7542 $(0.6200) $ 2.1171 $ 0.0288 $ 1.6640
-------- -------- -------- -------- -------- --------
Less distributions --
From net investment income $(1.7085) $(0.0058) $(0.8823) $(0.8925) $(0.6581) $(0.5210)
From net realized gain on
investments and foreign
currency transactions ... -- (0.6387) (0.1420) -- (0.3138) --
-------- -------- -------- -------- -------- --------
Total distributions .. $(1.7085) $(0.6445) $(1.0243) $(0.8925) $(0.9719) $(0.5210)
-------- -------- -------- -------- -------- --------
Net asset value -- end of
period ................... $10.7031 $12.4866 $11.3769 $13.0212 $11.7966 $12.7397
======== ======== ======== ======== ======== ========
Total return(+)............. (0.55)%++ 15.69% (4.46)% 18.84% 0.54% 14.83%
Ratios (to average net assets)/
Supplemental data:
Expenses## ............... 0.89%+ 0.89% 0.90% 0.95% 1.03% 1.12%
Net investment income .... 6.12%+ 6.67% 6.06% 6.01% 7.02% 7.50%
Portfolio turnover ......... 236% 329% 269% 173% 147% 192%
Net assets, end of period
(000 omitted) ............. $144,743 $152,487 $139,155 $135,085 $ 73,540 $ 36,566
<FN>
+ Annualized.
++ Not annualized.
# Per share data for the periods subsequent to December 31, 1992 is based on average shares outstanding.
## For fiscal years ending after September 1, 1995, expenses are calculated without reduction for fees paid indirectly.
(+) 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.
</FN>
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
World Growth Series World Total Return Series
--------------------------------------------------------- --------------------------------------------
Year Ended
Six Months December 31, Period Ended Six Months Year Ended Period Ended
Ended ------------------------ December 31, Ended December 31, December 31,
June 30, 1996 1995 1994 1993* June 30, 1996 1995 1994**
------------- ------- ------- ------------ ------------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Per share data (for a
share outstanding
throughout each period):
Net asset value --
beginning of period ....... $12.3464 $10.9425 $10.6366 $10.0000 $11.8346 $10.0405 $10.0000
-------- -------- -------- -------- -------- -------- --------
Income from investment
operations# --
Net investment income(S) $ 0.0214 $ 0.0689 $ 0.1506 $ 0.0088 $ 0.2114 $ 0.4437 $ 0.0247
Net realized and unrealized
gain on investments and
foreign currency
transactions ........... 1.4837 1.6388 0.1590 0.6278 0.4088 1.3564 0.0158
-------- -------- -------- -------- -------- -------- --------
Total from investment
operations .......... $ 1.5051 $ 1.7077 $ 0.3096 $ 0.6366 $ 0.6202 $ 1.8001 $ 0.0405
-------- -------- -------- -------- -------- -------- --------
Less distributions --
From net investment
income ................. $(0.0886) $(0.1361) $(0.0037) $ -- $(0.2300) $(0.0060) $ --
From net realized gain on
investments and foreign
currency transactions .. (0.8350) (0.1677) -- -- -- -- --
-------- -------- -------- -------- -------- -------- --------
Total distributions .. $(0.9236) $(0.3038) $(0.0037) $ -- $(0.2300) $(0.0060) $ --
-------- -------- -------- -------- -------- -------- --------
Net asset value -- end of
period ................... $12.9279 $12.3464 $10.9425 $10.6366 $12.2248 $11.8346 $10.0405
======== ======== ======== ======== ======== ======== ========
Total return(+) ............ 12.15%++ 16.06% 2.86% 50.78%+ 5.37%++ 17.89% 0.40%++
Ratios (to average net
assets)/Supplemental
data(S):
Expenses## ............... 1.04%+ 1.07% 0.47% 1.02%+ 0.98%+ 0.77% 1.50%+
Net investment income .... 0.33%+ 0.60% 2.20% 1.23% 3.71%+ 4.01% 3.31%+
Portfolio turnover ......... 19% 162% 231% 2% 84% 146% 1%
Average commission rate### $ 0.0206 -- -- -- $ 0.0248 -- --
Net assets, end of period
(000 omitted) ............ $195,983 $146,388 $100,045 $ 18,879 $ 26,739 $ 13,786 $ 1,384
* From November 16, 1993 (commencement of investment operations) to December 31, 1993.
** From November 7, 1994 (commencement of investment operations) to December 31, 1994.
+ Annualized.
++ Not annualized.
# Per share data for the periods subsequent to December 31, 1992 is based on average shares outstanding. ## For fiscal years
ending after September 1, 1995, expenses are calculated without reduction for fees paid indirectly.
### Average commission rate is calculated for Series with fiscal years beginning on or after September 1, 1995.
(+) The total return information shown 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.
(S) The investment adviser voluntarily waived all or a portion of its advisory fee for the World Growth Series and World Total
Return Series for the periods indicated. If the waivers had not been in place, the net investment income per share and the
ratios would have been:
World Total
World Growth Series Return Series
------------------------------ -------------
Year Ended Period Ended Year Ended
December 31, December 31, December 31,
1994 1993* 1995
------------ ------------ ------------
Net investment income ........... $ 0.0989 $ 0.0050 $ 0.3972
Ratios (to average net assets):
Expenses## .................... 1.20% 1.50%+ 1.19%
Net investment income ......... 1.47% 0.75%+ 3.59%
</TABLE>
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
Zero Coupon Series
2000 Portfolio
----------------------------------------------------------------------------------------
Six Months Year Ended December 31,
Ended -------------------------------------------------------------------------
June 30, 1996 1995 1994 1993 1992 1991
------------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Per share data (for a share
outstanding throughout each
period):
Net asset value -- beginning
of period ................ $ 9.0619 $ 7.9573 $11.1167 $11.0966 $11.3060 $10.2772
-------- -------- -------- -------- -------- --------
Income from investment operations# --
Net investment income ..... $ 0.2226 $ 0.4340 $ 0.3807 $ 0.6921 $ 0.8970 $ 0.8217
Net realized and unrealized
gain (loss) on investments
and foreign currency (0.4267) 1.1038 (1.1094) 0.8997 0.0904)* 1.1301
-------- -------- -------- -------- -------- --------
Total from investment
operations .......... $(0.2041) $ 1.5378 $(0.7287) $ 1.5918 $ 0.8066 $ 1.9518
-------- -------- -------- -------- -------- --------
Less distributions --
From net investment income $(0.3363) $(0.4332) $(0.6250) $(0.8915) $(0.8539) $(0.7990)
From net realized gain on
investments ............ -- -- (1.8057) (0.6802) (0.1621) (0.1240)
-------- -------- -------- -------- -------- --------
Total distributions .. $(0.3363) $(0.4332) $(2.4307) $(1.5717) $(1.0160) $(0.9230)
-------- -------- -------- -------- -------- --------
Net asset value -- end of
period ................... $ 8.5215 $ 9.0619 $ 7.9573 $11.1167 $11.0966 $11.3060
======== ======== ======== ======== ======== ========
Total return(+)............. (2.22)%++ 19.88% (6.99)% 15.03% 8.18% 20.54%
Ratios (to average net assets)/
Supplemental data:
Expenses## ............... 0.50%+ 0.50% 0.50% 0.50% 0.50% 0.50%
Net investment income .... 5.07%+ 5.16% 4.93% 5.48% 7.08% 7.63%
Portfolio turnover ......... 2% 27% 12% 65% 16% 8%
Net assets, end of period
(000 omitted) ............ $ 4,425 $ 4,616 $ 3,280 $ 3,547 $ 3,713 $ 4,525
<FN>
* 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.
+ Annualized.
++ Not annualized.
# Per share data for the periods subsequent to December 31, 1992 is based on average shares outstanding. ## For fiscal years
ending after September 1, 1995, expenses should be calculated without the reduction of fees paid indirectly, however, the
investment adviser has voluntarily agreed to maintain the net expenses of the Zero Coupon Series 2000 Portfolio at not
more than 0.50% of average daily net assets.
(+) 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.
</FN>
</TABLE>
See notes to financial statements
<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, management
investment company consisting of nineteen separate Series (the Series) of
shares: Capital Appreciation Series, Conservative Growth Series, Emerging Growth
Series, Government Securities Series, High Yield Series, Managed Sectors Series,
MFS/Foreign & Colonial International Growth Series, MFS/Foreign & Colonial
International Growth and Income Series, MFS/Foreign & Colonial Emerging Markets
Equity Series, Money Market Series, Research Series, Total Return Series,
Utilities Series, Value Series, World Asset Allocation Series, World Governments
Series, World Growth Series, World Total Return Series and Zero Coupon Series
2000 Portfolio. 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
GENERAL -- The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates.
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
furnished 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
currency and translated into U.S. dollars at the closing daily exchange rate.
Futures contracts, options and options on futures contracts listed on
commodities 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
repurchase rates. Securities for which there are no such quotations or
valuations 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 transferred
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
securities under each repurchase agreement is greater than the amount owed to
the Series under each such repurchase agreement. Pursuant to an Exemptive Order
issued by the Securities and Exchange Commission, certain series of the Trust,
along with other affiliated entities of Massachusetts Financial Services Company
(MFS), may utilize a joint trading account for the purposes of entering into one
or more repurchase agreements. These repurchase agreements are collateralized by
U.S. Treasury or Federal Agency obligations.
FOREIGN CURRENCY TRANSLATION -- Investment valuations, other assets, and
liabilities initially expressed in foreign currencies are converted each
business day into U.S. dollars based upon the current exchange rates. Purchases
and sales of foreign investments, 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
foreign exchange rate movements on income and expenses are recorded for
financial statement purposes as foreign currency transaction gains and losses.
That portion 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.
Premiums received from writing options which are exercised or are closed are
offset 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 security or currency purchased. The Series, as writer of an
option, may have no control over whether the underlying security 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 of the underlying security or exchange rate 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.
FUTURES CONTRACTS -- Certain Series of the Trust may enter into futures
contracts for the delayed delivery of securities, currency or contracts based on
financial indices at a fixed price on a future date. In entering such contracts,
the Series are required to deposit either in cash or securities an amount equal
to a certain percentage of the contract amount. Subsequent payments are made or
received by the Series each day, depending on the daily fluctuations in the
value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Series. The Series' investment in
futures contracts is designed to hedge against anticipated future changes in
interest or exchange rates or securities prices. Investments in interest rate
futures for purposes other than hedging may be made to modify the duration of
the portfolio without incurring the additional transaction costs involved in
buying and selling the underlying securities. Investments in currency futures
for purposes other than hedging may be made to change the Series' relative
position in one or more currencies without buying and selling portfolio assets.
Investments in equity index contracts, or contracts on related options, for
purposes other than hedging may be made when the Series has cash on hand and
wishes to participate in anticipated market appreciation while the cash is being
invested. Should interest or exchange rates or securities prices move
unexpectedly, the Series may not achieve the anticipated benefits of the futures
contracts and may realize a loss.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- Certain Series of the Trust may
enter into forward 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 movements 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
statement 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.
The High Yield Series 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 considered 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.
FEES PAID INDIRECTLY -- The Series' custodian bank calculates its fee based on
the Series' average daily net assets. The fee is reduced according to a fee
arrangement, which provides for custody fees to be reduced based on a formula
developed to measure the value of cash deposited with the custodian by the
Series. This amount is shown as a reduction on the Statements of Operations.
TAX MATTERS AND DISTRIBUTIONS -- Each Series or portfolio of the Trust intends
to comply with the provisions of the Internal Revenue Code (the Code) applicable
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. Foreign
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
distributions in excess of net investment income or accumulated net realized
gains.
At December 31, 1995, the following Series had capital loss carryforwards for
federal income tax purposes which may be applied against any net taxable
realized gains of each succeeding year until the earlier of their utilization or
expiration.
<TABLE>
<CAPTION>
Portion Expiring December 31,
------------------------------------------------------------------------------------------------------------
Total Carryover 1966 1997 1998 1999 2000 2001 2002 2003
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Emerging Growth Series $ 3,649 $ -- $ -- $ -- $ -- $ -- $ -- $ -- $ 3,649
============ ========= =========== =========== =========== ========= ===== =========== ===========
Government Securities
Series .............. 7,215,791 -- -- -- -- -- -- 7,137,094 78,697
============ ========= =========== =========== =========== ========= ===== =========== ===========
High Yield Series ..... 10,212,669 571,204 1,511,949 2,535,112 1,654,123 786,156 -- 960,740 2,193,385
============ ========= =========== =========== =========== ========= ===== =========== ===========
World Governments Series 770,973 -- -- -- -- -- -- -- 770,973
============ ========= =========== =========== =========== ========= ===== =========== ===========
World Total Return
Series .............. 54,299 -- -- -- -- -- -- -- 54,299
============ ========= =========== =========== =========== ========= ===== =========== ===========
Zero Coupon Series 2000
Portfolio ........... 42,343 -- -- -- -- 42,343 -- -- --
============ ========= =========== =========== =========== ========= ===== =========== ===========
</TABLE>
3. TRANSACTIONS WITH AFFILIATES
The Trust has investment advisory agreements with Massachusetts Financial
Services Company (MFS), a subsidiary of Sun Life Assurance Company of Canada
(U.S.), to provide overall investment advisory and administrative services, and
general office facilities. Investment advisory fees are computed daily and paid
monthly at an 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 average daily net assets of each Series
for the fiscal year. Investment advisory fees and expense limitations are as
follows:
Investment Expense
Advisory Fees Limitations
--------------------------------------------------------------------------
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%
MFS/Foreign & Colonial
International Growth Series ........... 0.975%* 1.50%
MFS/Foreign & Colonial
International Growth and Income Series 0.975%* 1.50%
MFS/Foreign & Colonial Emerging Markets
Equity Series ......................... 1.25% 1.50%
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%
Value 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 2000 Portfolio ...... 0.25% 0.50%
*The advisory fee for Emerging Growth Series, Managed Sectors Series, Research
Series, Total Return Series, Utilities Series, Value 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. The advisory fee for
the MFS/Foreign & Colonial International Growth Series and MFS/ Foreign &
Colonial International Growth and Income Series is reduced to 0.925% of the
average daily net assets in excess of $500 million.
The investment advisory agreements with respect to the MFS/Foreign & Colonial
International Growth Series, MFS/Foreign & Colonial International Growth and
Income Series and MFS/Foreign & Colonial Emerging Markets Equity Series permit
MFS to engage one or more sub-advisers and MFS has engaged Foreign & Colonial
Management Limited (FCM), an England and Wales Company, and its subsidiary
Foreign & Colonial Emerging Markets Limited (FCEM) to assist in the performance
of its services. In addition, the investment advisory agreement with respect to
the World Growth Series permits MFS to engage one or more sub-advisers and MFS
has engaged Oechsle International Advisors, L.P., a Delaware limited
partnership, and Batterymarch Financial Management, Inc. (Batterymarch), a
Maryland corporation, to assist in the performance of its services. Effective
May 1, 1996, FCM and FCEM replaced Batterymarch as sub-advisers to the World
Growth Series.
MFS has agreed to waive its advisory fee for an indefinite period for the MFS/
Foreign & Colonial International Growth, MFS/Foreign & Colonial Emerging Markets
Equity and Value Series. The amounts waived under this agreement for the period
ended June 30, 1996 were $187, $95 and $453, respectively. MFS waived a portion
of its advisory fee for the Emerging Growth and MFS/Foreign & Colonial
International Growth and Income Series. The amounts waived under this agreement
for the period ended June 30, 1996 were $221,253 and $43,942, respectively. In
addition, under an expense limitation agreement, MFS has assumed expenses for
the period ended June 30, 1996 amounting to $1,618, $1,792 and $4,446 for the
MFS/Foreign & Colonial International Growth, MFS/ Foreign & Colonial Emerging
Markets Equity and Value Series, respectively.
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 period ended June 30, 1996, purchases and sales of investments, other
than purchased option transactions and short-term obligations, were as follows:
<TABLE>
<CAPTION>
Capital Conservative Emerging Government High
Appreciation Growth Growth Securities Yield
Series Series Series Series Series
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Purchases
- ---------
U.S. government securities ........................ $ -- $ -- $ -- $200,002,479 $ --
============ ============ ============ ============ ============
Investments (non-U.S. government securities) ...... $389,816,541 $782,006,472 $111,509,540 $ -- $75,980,956
============ ============ ============ ============ ============
Sales-----
U.S. government securities ........................ $ -- $ -- $ -- $167,196,351 $ --
============ ============ ============ ============ ============
Investments (non-U.S. government securities) ...... $349,886,745 $ 88,953,404 $ 38,966,000 $ -- $66,365,233
============ ============ ============ ============ ============
<CAPTION>
MFS/Foreign MFS/Foreign
MFS/Foreign & Colonial & Colonial
Managed & Colonial International Emerging Money
Sectors International Growth and Markets Market
Series Growth Series Income Series Equity Series Series+
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Purchases
- ---------
U.S. government securities ........................ $ -- $ -- $ -- $ -- $1,319,642,415
============ ============ ============ ============ ==============
Investments (non-U.S. government securities) ...... $155,124,186 $ -- $ 20,472,900 $ -- $1,407,272,127
============ ============ ============ ============ ==============
Sales-----
U.S. government securities ........................ $ -- $ -- $ -- $ -- $1,216,104,161
============ ============ ============ ============ ==============
Investments (non-U.S. government securities) ...... $131,699,242 $ -- $ 4,236,458 $ -- $1,462,379,739
============ ============ ============ ============ ==============
<CAPTION>
Total
Research Return Utilities Value
Series Series Series Series
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Purchases
- ---------
U.S. government securities ......................... $ -- $258,107,249 $ 6,546,672 $ --
============ ============ =========== ===========
Investments (non-U.S. government securities) ....... $588,806,848 $488,586,622 $34,562,674 $ --
============ ============ =========== ===========
Sales
- -----
U.S. government securities ......................... $ -- $264,215,346 $ 3,564,517 $ --
============ ============ =========== ===========
Investments (non-U.S. government securities) ....... $ 51,575,987 $468,038,752 $25,346,238 $ --
============ ============ =========== ===========
<CAPTION>
Zero
Coupon
World Asset World World World Series
Allocation Governments Growth Total Return 2000
Series Series Series Series Portfolio
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Purchases
- ---------
U.S. government securities ......................... $14,908,952 $132,875,438 $ -- $ 7,898,110 $100,217
=========== ============ =========== =========== ========
Investments (non-U.S. government securities) ....... $25,811,297 $215,774,180 $80,185,021 $15,502,002 $ --
=========== ============ =========== =========== ========
Sales
- -----
U.S. government securities ......................... $11,954,981 $131,493,176 $ -- $ 5,126,494 $172,644
=========== ============ =========== =========== ========
Investments (non-U.S. government securities) ....... $13,563,297 $197,628,745 $49,931,795 $ 8,215,286 $ --
=========== ============ =========== =========== ========
+ Purchases and sales of investments for the Money Market Series consist solely of short-term obligations.
</TABLE>
At June 30, 1996, 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
Appreciation Growth Growth Securities Yield
Series Series Series Series Series
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Aggregate cost .................... $761,281,118 $363,664,959 $144,274,507 $383,476,470 $156,512,811
============ ============ ============ ============ ============
Gross unrealized appreciation ..... $213,058,020 $ 68,396,928 $ 21,665,025 $ 4,603,416 $ 3,124,573
Gross unrealized depreciation ..... (37,172,011) (2,934,754) (5,157,873) (6,063,555) (3,564,159)
------------ ------------ ------------ ------------ ------------
Net unrealized appreciation
(depreciation)................. $175,886,009 $ 65,462,174 $ 16,507,152 $ (1,460,139) $ (439,586)
============ ============ ============ ============ ============
<CAPTION>
MFS/Foreign MFS/Foreign
MFS/Foreign & Colonial & Colonial
Managed & Colonial International Emerging Money
Sectors International Growth and Markets Market
Series Growth Series Income Series Equity Series Series
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Aggregate cost .................... $223,097,851 $ 434,071 $24,201,402 $ 199,552 $340,652,564
============ ========== =========== ========== ============
Gross unrealized appreciation ..... $ 27,243,197 $ -- $ 1,009,595 $ -- $ --
Gross unrealized depreciation ..... (14,612,418) -- (451,765) -- --
------------ ---------- ----------- ---------- ------------
Net unrealized appreciation
(depreciation)................. $ 12,630,779 $ -- $ 557,830 $ -- $ --
============ ========== =========== ========== ============
<CAPTION>
Total
Research Return Utilities Value
Series Series Series Series
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aggregate cost ..................... $174,130,669 $1,061,962,150 $52,884,046 $1,271,673
============ ============== =========== ==========
Gross unrealized appreciation ...... $ 18,169,492 $ 137,389,860 $ 4,731,673 $ --
Gross unrealized depreciation ...... (4,052,203) (11,848,764) (875,657) --
------------ -------------- ----------- ----------
Net unrealized appreciation ...... $ 14,117,289 $ 125,541,096 $ 3,856,016 $ --
============ ============== =========== ==========
<CAPTION>
Zero
Coupon
World Asset World World World Series
Allocation Governments Growth Total Return 2000
Series Series Series Series Portfolio
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Aggregate cost ..................... $51,587,899 $141,421,388 $174,904,717 $24,881,330 $4,375,509
=========== ============ ============ =========== ==========
Gross unrealized appreciation ...... $ 3,726,399 $ 1,907,795 $ 30,546,263 $ 1,810,569 $ 96,216
Gross unrealized depreciation ...... (1,127,052) (1,891,568) (9,139,850) (257,970) (46,636)
----------- ------------ ------------ ----------- ----------
Net unrealized appreciation ...... $ 2,599,347 $ 16,227 $ 21,406,413 $ 1,552,599 $ 49,580
=========== ============ ============ =========== ==========
</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).
Transactions in Trust shares during the period ended June 30, 1996 are presented
below.
<TABLE>
<CAPTION>
Capital Conservative Emerging Government High
Appreciation Growth Growth Securities Yield
Series Series Series Series Series
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Shares sold ..... 5,846,616 3,575,878 7,147,268 6,653,145 6,557,867
Shares issued to shareholders in
reinvestment of distributions .. 2,235,453 677,102 15,052 1,815,119 1,441,300
Shares reacquired ................ (4,798,580) (235,153) (1,322,229) (4,885,808) (6,558,558)
---------- -------- ---------- ---------- ----------
Net increase ................... 3,283,489 4,017,827 5,840,091 3,582,456 1,440,609
========= ========= ========= ========= =========
<CAPTION>
MFS/Foreign MFS/Foreign
MFS/Foreign & Colonial & Colonial
Managed & Colonial International Emerging Money
Sectors International Growth and Markets Market
Series Growth Series Income Series Equity Series Series
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Shares sold ..... 1,611,557 76,955 1,753,365 30,228 352,382,907
Shares issued to shareholders in
reinvestment of distributions .. 1,176,164 -- -- -- 6,995,699
Shares reacquired ................ (597,391) (8,356) (119,605) (526) (313,902,753)
--------- ------ --------- ------ -----------
Net increase ................... 2,190,330 68,599 1,633,760 29,702 45,475,853
========= ====== ========= ====== ==========
</TABLE>
<TABLE>
<CAPTION>
Zero
World Coupon
Total World Asset World World Total Series
Research Return Utilities Value Allocation Governments Growth Return 2000
Series Series Series Series Series Series Series Series Portfolio
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold ...... 6,974,541 4,937,093 1,090,160 186,057 1,997,481 639,879 3,363,862 1,084,582 20,801
Shares issued to
shareholders in
reinvestment of
distributions .. 143,325 4,879,076 230,167 -- 102,487 1,907,834 961,665 36,211 19,961
Shares reacquired (44,710) (1,827,606) (214,157) (2,607) (77,843) (1,236,383) (1,022,570) (98,361) (30,807)
--------- --------- --------- ------- --------- ------- --------- --------- ------
Net increase ... 7,073,156 7,988,563 1,106,170 183,450 2,022,125 1,311,330 3,302,957 1,022,432 9,955
========= ========= ========= ======= ========= ======= ========= ========= ======
</TABLE>
Transactions in Trust shares during the year ended December 31, 1995 are
presented below.
<TABLE>
<CAPTION>
Capital Conservative Emerging Government High
Appreciation Growth Growth Securities Yield
Series Series Series Series Series
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Shares sold .................. 11,620,628 4,959,971 6,726,769 5,453,675 11,405,259
Shares issued to shareholders
in reinvestment of
distributions ............. 575,351 267,502 -- 1,637,090 1,058,317
Shares reacquired ............ (6,799,964) (644,875) (1,425,554) (8,182,612) (7,709,622)
---------- --------- --------- --------- ----------
Net increase (decrease) .... 5,396,015 4,582,598 5,301,215 (1,091,847) 4,753,954
========== ========= ========= ========= ==========
<CAPTION>
MFS/Foreign
& Colonial
Managed International Money Total
Sectors Growth and Market Research Return
Series Income Series Series Series Series
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Shares sold .................. 2,814,579 710,005 450,493,345 5,208,741 8,109,408
Shares issued to shareholders
in reinvestment of
distributions ............. 211,025 -- 12,727,293 485 2,212,879
Shares reacquired ............ (1,372,643) (1,208) (432,641,522) (310,821) (6,150,918)
--------- ------- ----------- --------- ---------
Net increase (decrease) .... 1,652,961 708,797 30,579,116 4,898,405 4,171,369
========= ======= =========== ========= =========
</TABLE>
<TABLE>
<CAPTION>
Zero
Coupon
World Asset World World World Series
Utilities Allocation Governments Growth Total Return 2000
Series Series Series Series Series Portfolio
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold .......... 1,993,567 1,917,796 3,031,637 4,670,829 1,117,597 180,804
Shares issued to
shareholders in
reinvestment of
distributions ...... 68,772 573 667,817 291,239 222 21,339
Shares reacquired .... (796,757) (101,344) (3,718,715) (2,248,059) (90,774) (105,004)
--------- --------- --------- --------- --------- -------
Net increase
(decrease) ........... 1,265,582 1,817,025 (19,261) 2,714,009 1,027,045 97,139
========= ========= ========= ========= ========= =======
</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, forward
foreign currency exchange, and futures contracts. The notional or contractual
amounts of these instruments represent the investment 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, 1996, is shown on the following pages.
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
Written Option Transactions -- MFS/Foreign & Colonial International Growth and
Income Series
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
1996 Calls 1996 Puts
--------------------------- ---------------------------
Principal Principal
Amounts Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Outstanding, beginning of period-- -- $ -- -- $ --
Options written--
Australian Dollars .................................................. 91 491 -- --
Canadian Dollars .................................................... -- -- 1,137 2,984
Deutsche Marks ...................................................... 891 4,152 -- --
Deutsche Marks/British Pounds ....................................... 1,099 3,336 -- --
Italian Lire/Deutsche Marks ......................................... 2,361,708 18,547 -- --
Japanese Yen ........................................................ 102,724 1,290 102,307 6,073
New Zealand Dollars ................................................. -- -- 432 643
Spanish Pesetas/Deutsche Marks ...................................... -- -- 45,589 1,134
Options terminated in closing transactions--
Australian Dollars .................................................. (91) (491) -- --
Deutsche Marks ...................................................... (891) (4,152) -- --
Deutsche Marks/British Pounds ....................................... (1,099) (3,336) -- --
Italian Lire/Deutsche Marks ......................................... (2,361,708) (18,547) -- --
Japanese Yen ........................................................ (102,724) (1,290) -- --
New Zealand Dollars ................................................. -- -- (432) (643)
Options expired--
Canadian Dollars .................................................... -- -- (778) (1,741)
Japanese Yen ........................................................ -- -- (102,307) (6,073)
Spanish Pesetas/Deutsche Marks ...................................... -- -- (18,069) (437)
------------- ---------- ------------- ----------
Outstanding, end of period .............................................. -- $ -- 27,879 $ 1,940
============= ========== ============= ==========
Options outstanding at end of period consist of--
Canadian Dollars .................................................... -- $ -- 359 $ 1,243
============= ========== ============= ==========
Spanish Pesetas/Deutsche Marks ...................................... -- $ -- 27,520 $ 697
============= ========== ============= ==========
</TABLE>
At June 30, 1996, the MFS/Foreign & Colonial International Growth and Income
Series had sufficient cash and/or securities at least equal to the value of
the written options.
Written Option Transactions -- World Asset Allocation Series
<TABLE>
<CAPTION>
1996 Calls 1996 Puts
--------------------------- ---------------------------
Principal Principal
Amounts Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Outstanding, beginning of period--
Japanese Yen ........................................................ -- $ -- 30,700 $ 4,002
Options written--
Japanese Yen ........................................................ -- -- 354,000 29,253
Options terminated in closing transactions--
Japanese Yen ........................................................ -- -- (166,700) (16,051)
------------- ---------- ------------- ----------
Outstanding, end of period .......................................... -- $ -- 218,000 $ 17,204
============= ========== ============= ==========
Options outstanding at end of period consist of--
Japanese Yen ........................................................ -- $ -- 218,000 $ 17,204
============= ========== ============= ==========
</TABLE>
At June 30, 1996, the World Asset Allocation Series had sufficient cash and/or
securities at least equal to the value of the written options.
<TABLE>
<CAPTION>
Written Option Transactions -- World Governments Series
- -----------------------------------------------------------------------------------------------------------------------------------
1996 Calls 1996 Puts
----------------------------- -----------------------------
Principal Principal
Amounts Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Outstanding, beginning of period--
Australian Dollars .................................................. -- $ -- 4,117 $ 52,769
Deutsche Marks/British Pounds ....................................... 14,174 63,018 -- --
Italian Lire/Deutsche Marks ......................................... 20,486,289 339,510 20,486,289 754,328
Japanese Yen ........................................................ -- -- 637,300 83,116
Options written--
Australian Dollars .................................................. 3,924 21,265 -- --
Canadian Dollars .................................................... 12,942 13,284 19,523 58,977
Deutsche Marks ...................................................... 86,875 470,722 -- --
Deutsche Marks/British Pounds ....................................... 21,750 66,043 -- --
Italian Lire/Deutsche Marks ......................................... 17,955,515 141,008 -- --
Japanese Yen ........................................................ 915,327 11,497 1,821,128 118,425
New Zealand Dollars ................................................. -- -- 10,198 15,165
Spanish Pesetas/Deutsche Marks ...................................... -- -- 1,486,488 36,755
Options terminated in closing transactions--
Australian Dollars .................................................. (3,924) (21,265) -- --
Deutsche Marks ...................................................... (86,875) (470,721) -- --
Deutsche Marks/British Pounds ....................................... (28,837) (97,553) -- --
Italian Lire/Deutsche Marks ......................................... (38,441,804) (480,518) (20,486,289) (754,328)
Japanese Yen ........................................................ (915,327) (11,497) (1,656,300) (153,926)
New Zealand Dollars ................................................. -- -- (10,198) (15,165)
Options expired--
Australian Dollars .................................................. -- -- (4,117) (52,769)
Canadian Dollars .................................................... (12,942) (13,284) (7,055) (15,792)
Deutsche Marks/British Pounds ....................................... (7,087) (31,509) -- --
Japanese Yen ........................................................ -- -- (802,128) (47,615)
Spanish Pesetas/Deutsche Marks ...................................... -- -- (776,988) (18,797)
------------- ---------- ------------- ----------
Outstanding, end of period .............................................. -- $ -- 721,968 $ 61,143
============= ========== ============= ==========
Options outstanding at end of period consist of --
Canadian Dollars .................................................... -- $ -- 12,468 $ 43,185
============= ========== ============= ==========
Spanish Pesetas/Deutsche Marks ...................................... -- $ -- 709,500 $ 17,958
============= ========== ============= ==========
</TABLE>
At June 30, 1996, the World Governments Series had sufficient cash and/or
securities at least equal to the value of the written options.
<TABLE>
<CAPTION>
Written Option Transactions -- World Total Return Series
- ---------------------------------------------------------------------------------------------------------------------------------
1996 Calls 1996 Puts
--------------------------- ---------------------------
Principal Principal
Amounts Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Outstanding, beginning of period--
Australian Dollars .................................................. -- $ -- 105 $ 1,350
Deutsche Marks/British Pounds ....................................... 479 2,129 -- --
Italian Lire/Deutsche Marks ......................................... 423,930 7,026 423,930 15,610
Japanese Yen ........................................................ -- -- 19,450 2,538
Options written--
Australian Dollars .................................................. 200 1,084 -- --
Canadian Dollars .................................................... 517 530 1,140 3,480
Deutsche Marks ...................................................... 2,606 13,848 -- --
Deutsche Marks/British Pounds ....................................... 1,186 3,600 -- --
Italian Lire/Deutsche Marks ......................................... 1,066,605 8,376 -- --
Japanese Yen ........................................................ 50,145 630 260,251 19,770
New Zealand Dollars ................................................. -- -- 842 1,252
Spanish Pesetas/Deutsche Marks ...................................... -- -- 90,296 2,238
Options terminated in closing transactions--
Australian Dollars .................................................. (200) (1,084) -- --
Deutsche Marks ...................................................... (2,606) (13,848) -- --
Deutsche Marks/British Pounds ....................................... (1,426) (4,665) -- --
Italian Lire/Deutsche Marks ......................................... (1,490,535) (15,402) (423,930) (15,610)
Japanese Yen ........................................................ (50,145) (630) (95,450) (9,124)
New Zealand Dollars ................................................. -- -- (842) (1,252)
Options expired--
Australian Dollars .................................................. -- -- (105) (1,350)
Canadian Dollars .................................................... (517) (530) (383) (857)
Deutsche Marks/British Pounds ....................................... (239) (1,064) -- --
Japanese Yen ........................................................ -- -- (46,251) (2,746)
Spanish Pesetas/Deutsche Marks ...................................... -- -- (42,566) (1,030)
------------- ---------- ------------- ----------
Outstanding, end of period .............................................. -- $ -- 186,487 $ 14,269
============= ========== ============= ==========
Options outstanding at end of period consist of--
Canadian Dollars .................................................... -- $ -- 757 $ 2,623
============= ========== ============= ==========
Japanese Yen ........................................................ -- $ -- 138,000 $ 10,438
============= ========== ============= ==========
Spanish Pesetas/Deutsche Marks ...................................... -- $ -- 47,730 $ 1,208
============= ========== ============= ==========
</TABLE>
At June 30, 1996, the World Total Return Series had sufficient cash and/or
securities at least equal to the value of the written options.
<PAGE>
<TABLE>
<CAPTION>
Forward Foreign Currency Exchange Contracts
- ------------------------------------------------------------------------------------------------------------------------
Net Unrealized
Contracts to Contracts Appreciation
Series Transact Settlement Dat Deliver/ReceivIn Exchange Value (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Capital Appreciation Series Sales 8/02/96 SEK 47,11 $ 6,90 $ 7,10 $ (206,159)
======= ======= ==========
MFS/Foreign & Colonial International Growth
and Income Series Sales 8/22/96 BEF 6,02 $ 19 $ 19 $ (655)
8/30/96 - 11/01/96CAD 71 52 52 (1,197)
8/14/96 CHF 65 53 52 3,546
7/05/96 - 4/28/97 DEM 7,56 4,99 5,00 (12,292)
9/09/96 DKK 1,45 24 24 (2,505)
8/13/96 ESP 13,93 10 10 603
8/02/96 FIM 69 14 14 (6,249)
8/09/96 GBP 51 78 79 (12,566)
8/22/96 - 9/23/96 IEP 23 36 37 (5,759)
7/24/96 - 4/28/97 ITL 1,736,41 1,10 1,12 (20,364)
7/25/96 - 8/01/96 JPY 240,04 2,28 2,19 83,525
8/01/96 NLG 14 8 8 (184)
8/02/96 SEK 1,75 25 26 (6,627)
------- ------- ----------
$ 11,63 $ 11,61 $ 19,276
======= ======= ==========
Purchase 8/20/96 AUD 17 $ 13 $ 13 $ (1,115)
8/14/96 CHF 30 23 24 2,539
7/05/96 - 4/28/97 DEM 7,88 5,18 5,20 20,663
8/13/96 ESP 12,49 9 9 9
8/02/96 FIM 1,27 27 27 3,153
9/09/96 FRF 2,73 52 53 4,490
8/09/96 GBP 32 49 50 10,871
9/23/96 IEP 12 19 20 4,184
7/24/96 - 4/28/97 ITL 2,221,20 1,40 1,42 20,212
7/25/96 - 8/29/96 JPY 264,72 2,50 2,43 (78,531)
------- ------- ----------
$ 11,07 $ 11,06 $ (13,525)
======= ======= ==========
World Asset Allocation Series Sales 8/22/96 BEF 11,96 $ 38 $ 38 $ (1,301)
8/30/96 - 11/01/96CAD 75 55 55 (1,961)
8/14/96 CHF 1,68 1,35 1,34 3,144
9/19/96 - 11/25/96DEM 16,20 10,67 10,72 (57,034)
9/09/96 DKK 3,37 57 57 (5,810)
8/13/96 ESP 107,09 82 83 (10,387)
8/02/96 FIM 64 13 14 (5,860)
8/09/96 FRF 5,49 1,06 1,07 (9,009)
8/09/96 GBP 1,82 2,76 2,83 (69,863)
12/04/96 HKD 1,58 20 20 (634)
8/22/96 IEP 21 34 34 (7,660)
8/06/96 ITL 753,72 48 48 (7,938)
8/01/96 NLG 37 22 22 (466)
10/18/96 NZD 95 63 64 (8,615)
8/02/96 SEK 16,26 2,38 2,45 (67,877)
------- ------- ----------
$ 22,58 $ 22,83 $ (251,271)
======= ======= ==========
Purchase9/19/96 CZK 21,19 $ 74 $ 75 $ 9,481
8/13/96 - 12/12/96DEM 5,62 3,70 3,72 22,873
8/13/96 ESP 289,06 2,24 2,25 4,039
8/06/96 ITL 982,04 63 63 6,327
------- ------- ----------
$ 7,33 $ 7,37 $ 42,720
======= ======= ==========
World Governments Series Sales 8/20/96 AUD 5,80 $ 4,62 $ 4,55 $ 69,090
8/22/96 BEF 125,52 4,00 4,02 (13,646)
World Governments Series Sales 8/30/96 - 11/01/96CAD 21,35 15,64 15,68 (37,217)
8/14/96 CHF 21,49 17,32 17,23 90,186
7/05/96 - 4/27/97 DEM 279,88 183,96 184,63 (672,318)
9/09/96 DKK 43,36 7,34 7,41 (74,664)
8/13/96 ESP 1,753,05 13,61 13,65 (43,579)
8/02/96 FIM 33,03 6,84 7,14 (297,874)
9/09/96 FRF 25,62 4,93 4,99 (56,085)
8/09/96 GBP 16,25 24,92 25,23 (308,497)
8/22/96 - 9/23/96 IEP 8,08 12,72 12,91 (185,423)
7/24/96 - 4/28/97 ITL 62,987,07 40,14 40,86 (726,970)
7/25/96 - 8/29/96 JPY 5,382,25 50,65 49,37 1,283,644
8/01/96 NLG 5,08 2,97 2,98 (6,265)
10/18/96 NZD 8,51 5,72 5,76 (36,458)
8/02/96 SEK 52,40 7,72 7,90 (179,324)
------- ------- ----------
$403,17 $404,37 $1,195,400)
======= ======= ==========
Purchase8/30/96 CAD 6,62 $ 4,86 $ 4,86 $ 2,430
8/14/96 CHF 20,01 15,95 16,04 95,318
7/05/96 - 4/28/97 DEM 278,22 183,03 183,61 580,458
8/13/96 ESP 920,38 7,15 7,16 18,481
8/02/96 FIM 33,82 7,17 7,31 131,865
9/09/96 FRF 55,83 10,79 10,88 91,622
8/09/96 GBP 10,66 16,26 16,54 289,311
9/23/96 IEP 4,38 6,85 6,99 145,735
7/24/96 - 4/27/97 ITL 65,269,90 41,88 42,33 447,210
7/25/96 - 8/29/96 JPY 5,194,38 48,81 47,68 (1,138,537)
10/18/96 NZD 1,98 1,33 1,34 2,671
8/02/96 SEK 17,79 2,67 2,68 11,929
------- ------- ----------
$346,80 $347,47$ 678,493
======= ======= ==========
World Total Return Series Sales 8/22/96 BEF 5,94 $ 18 $ 19 $ (444)
8/30/96 - 11/01/96CAD 1,53 1,12 1,13 (3,232)
8/14/96 CHF 87 70 70 928
7/05/96 - 4/26/97 DEM 9,33 6,12 6,14 (20,972)
9/09/96 DKK 1,51 25 25 (2,445)
8/13/96 ESP 45,18 35 35 823
8/02/96 FIM 31 6 6 (2,537)
8/09/96 GBP 49 76 77 (7,815)
8/22/96 IEP 21 34 34 (8,423)
8/06/96 ITL 1,087,43 69 70 (13,657)
7/25/96 - 8/01/96 JPY 121,14 1,14 1,10 35,514
8/01/96 NLG 36 21 21 (101)
10/18/96 NZD 52 35 35 (655)
8/02/96 SEK 3,58 52 53 (10,915)
------- ------- ----------
$ 12,87 $ 12,90 $ (33,931)
======= ======= ==========
Purchase8/20/96 AUD 49 $ 39 $ 38 $ (3,454)
7/05/96 - 12/12/96DEM 9,03 5,94 5,95 15,434
8/02/96 FIM 1,77 38 38 1,594
9/09/96 FRF 3,46 67 67 4,870
8/09/96 GBP 28 44 44 3,021
7/24/96 - 4/28/97 ITL 1,525,96 98 99 3,161
7/25/96 - 8/29/96 JPY 165,72 1,56 1,52 (40,815)
------- ------- ----------
$ 10,38 $ 10,36 $ (16,189)
======= ======= ==========
</TABLE>
At June 30, 1996, forward foreign currency exchange contract purchases and sales
under master netting arrangements and closed forward foreign currency exchange
contracts excluded above for the MFS/Foreign & Colonial International Growth and
Income Series amounted to a net receivable of $5,669 with Banker's Trust, World
Asset Allocation Series amounted to a net receivable of $43,372 with Banker's
Trust, a net payable of $7,010 with Chemical Bank and a net payable of $86 with
Morgan Stanley, World Governments Series amounted to a net receivable of
$231,473 with Banker's Trust and World Total Return Series amounted to a net
payable of $11,562 with Banker's Trust, $4,802 with Morgan Guarantee Trust
Company, $5,724 with Chemical Bank and $3,646 with Swiss Bank Corporation
International and a net receivable of $9,466 with Deutsche Bank, $2,773 with
First Bank of Chicago, $312 with Morgan Stanley and $2,294 with Barclays Bank.
At June 30, 1996, each Series had sufficient cash and/or securities to cover any
commitments under these contracts. See page 60 for an explanation of
abbreviations used to indicate amounts shown in currencies other than the U.S.
dollar.
<TABLE>
<CAPTION>
Futures Contracts
- -----------------------------------------------------------------------------------------------------------------------------------
Unrealized
Series Description Expiration Contracts Position Depreciation
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Government Securities Series U.S. Treasury Sept. 96 148 Short $(209,430)
U.S. Treasury Sept. 96 39 Short (155,126)
---------
$(364,556)
</TABLE>
At June 30, 1996, the Series had sufficient cash and/or securities to cover
margin requirements on open futures contracts.
7. 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' net assets. At
June 30, 1996, Emerging Growth Series, High Yield Series, Research Series, Total
Return Series, World Growth Series and World Total Return Series owned the
following restricted securities (consisting of 0.01%, 0.39%, 0.48%, 0.03%, 1.13%
and 0.37% of the net assets of each Series, respectively) which may not be
publicly sold without registration under the Securities Act of 1933 (the 1933
Act). 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.
<TABLE>
<CAPTION>
Series Description Date of Acquisition Shares/Par Amount Cost Value
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Emerging Growth Series Jarvis Hotels PLC 6/21/96 3,300 $ 8,872 $ 8,914
============ ============
Atlantic Gulf
High Yield Series Communities Corp. 9/25/95 30 $ -- $ 180
Gillett Holdings, Inc. 10/09/92 9,414 89,600 244,764
Merrill Lynch Mortgage
Investors, Inc., 94-
M1, 8.073s, 2022 6/22/94 500,000 346,562 369,922
------------ ------------
$ 436,162 $ 614,866
============ ============
Research Series Jarvis Hotels PLC 6/21/96 330,800 $ 920,631 $ 888,414
============ ============
Merrill Lynch Mortgage
Investors, Inc., 94-
Total Return Series M1, 8.073s, 2022 6/22/94 514,000 $ 356,266 $ 380,279
============ ============
World Growth Series Bangladesh Fund 11/14/94 - 11/16/94 9,000 $ 98,970 $ 65,250
Flemming Russia
Securities Fund 7/07/95 46,800 379,080 520,884
India Gateway Fund
Ltd., Pfd. 6/02/95 34,925 286,670 212,344
India Gateway Fund
Ltd., Warrants 6/04/95 4,000 -- --
India Magnum Fund NV 12/11/95 11,720 570,640 624,676
International Business
Communications 8/29/95 12,600 124,992 124,992
Jarvis Hotels PLC 6/21/96 1,700 4,570 4,566
Korea Europe Fund 11/07/94 - 12/30/94 26 116,125 102,375
Moneda Chile Fund 8/22/95 25,000 250,000 212,500
Reliance Industries,
GDS 8/23/94 - 2/09/96 26,760 472,797 341,190
------------ ------------
$ 2,303,844 $ 2,208,777
============ ============
World Total Return Series Hong Leong Finance 5/22/96 11,000 $ 36,578 $ 38,520
Jarvis Hotels PLC 6/21/96 22,500 60,491 60,427
------------ ------------
$ 97,069 $ 98,947
============ ============
</TABLE>
<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, including
the portfolios of investments, of MFS/Sun Life Series Trust as of June 30, 1996,
the related statements of operations for the period then ended, the statements
of changes in net assets for the period then ended and the year ended December
31, 1995, and the financial highlights for the period ended June 30, 1996 and
each of the years in the five-year period ended December 31, 1995. These
financial statements and financial highlights are the responsibility 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
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights 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, 1996 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, 1996, the results of its operations, the changes in its net assets, and
its financial highlights for the respective stated periods in conformity with
generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
August 2, 1996
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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 prospective
purchasers only when preceded or accompanied by the current prospectus.
