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DEAR CONTRACT OWNERS:
Declining interest rates and favorable outlooks for inflation helped create an
environment of favorable performance and opportunities in both fixed-income
and equity markets around the world during the past 12 months. Yields on many
fixed-income securities continued to decline throughout the year, and as bond
prices rose in response to these declines, all of the fixed-income Series
available under your contract experienced positive total returns. At the same
time, lower interest rates and strong corporate earnings reports through most
of the year helped the prices of many stocks to rise over the period, produc-
ing strong returns. For the 12 months ended December 31, 1995, the U.S. stock
market, as measured by the Standard & Poor's 500 Composite Index (the S&P
500), a popular, unmanaged index of common stock performance, returned
+37.53%. All of the equity Series available in the Trust achieved positive
results.
U.S. OUTLOOK
Moderate but sustainable growth was the hallmark of the economic expansion's
fifth year. While initial estimates showed the U.S. economy growing at an
annual rate of 4.2% in the third quarter, this surprisingly strong growth was
mainly driven by a pickup in consumer spending and an increase in business and
government outlays. Although this rate of growth was impressive, it is not
expected to continue in coming months. Recent retail sales have been disap-
pointing, in part because of rising levels of consumer debt. An extended
period of lower mortgage rates seems to have relieved much of the pent-up
demand for housing. Growth is not expected to get much help from the manufac-
turing sector, either, as order flows from manufacturers have moderated.
Export activity, meanwhile, is also expected to remain modest as continued
weakness abroad limits demand for many U.S. goods. However, the Federal
Reserve Board's consistent and, so far, successful efforts to fight inflation
seem to be giving consumers and businesses enough longer-term confidence to
help maintain modest growth in real (adjusted for inflation) gross domestic
product into 1996.
GLOBAL OUTLOOK
A pattern of slow to moderate growth and low and controlled inflation remains
a dominant theme in major industrialized countries, including the United
States. While the recent recovery of the dollar against the German mark and
the Japanese yen has added some strength to the economies of Europe and Japan,
the outlook is for sluggish economic growth, in the near term at least. And
although moves by central banks in Germany and Japan to lower interest rates
have helped stimulate domestic demand, many industrial companies in these
countries are still struggling to compete in a global marketplace in which the
prices of their products are less competitively priced. On the positive side,
this does mean little to no inflationary pressure in these countries, and we
believe that this, combined with further reductions in interest rates, could
help provide a foundation for stronger economic growth in the long run. Also,
we believe that many of the cost-cutting measures taken by companies in these
countries over the past few years will ultimately provide earnings leverage
when economic growth improves. Inflation in most overseas economies remains in
a downward trend, providing fixed-income investors with opportunities for rel-
atively attractive real rates of interest, possibly accompanied by moderate
price appreciation. While the dollar continues to represent a sound store of
long-term value, its relative strength in the near term is being restrained by
the persistent U.S. current-account deficit.
BOND MARKETS
Given the recent signs of economic weakness, prospects appear to be good for
further decreases in short-term interest rates by the Federal Reserve. Long-
term rates, meanwhile, moved noticeably downward in the latter months of 1995
in anticipation of more modest fourth-quarter growth with continued low infla-
tion. While there were some increases in commodity prices early in the year,
companies found it difficult to pass these on at the consumer level as they
continue to fight for market share. Additionally, unit labor costs remain
under control and seem to be growing at a pace that is near or below the ongo-
ing inflation rate. Thus, with long-term U.S. government bonds yielding
approximately 6% in an environment of 2% to 3% inflation, real rates of return
in the fixed-income markets remain relatively attractive.
Slowing economic growth, low inflation, and declining official interest rates
helped result in solid performance for world bond markets during the past 12
months. European governments are engaged in multi-year programs to reduce
their budget deficits and debt levels. These programs are positive for bonds,
in that lower government spending tends to reduce inflationary pressures
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and lower issuance of government debt reduces supply pressures on the bond
market. In the Japanese market, powerful deflationary forces have supported a
drop in yields to historically low levels. We now feel this process may be
drawing to an end, given a reversal of priorities at the central bank from
fighting inflation, which is now non-existent, to offsetting the downward spi-
ral of deflation. Meanwhile, the high returns of the U.S. bond market have
been echoed in other U.S. dollar-bloc markets, including those of Australia,
New Zealand, and Canada, all of which saw positive performance over the last
12 months. The Australian market currently offers significantly higher yields
than the U.S. market and represents good value. As long as the outlook for
U.S. bonds remains positive, these related markets could outperform.
STOCK MARKETS
After some volatility late in the third quarter, the stock market continued to
strengthen. Although many companies reported solid third-quarter results,
there was some weakness in the earnings of retail, financial services and even
some technology companies. However, a slowdown in earnings may be a positive
development if it is an indication that the economy is not overheating and
inflation is under control. While we see a deceleration of corporate earnings
as the inevitable consequence of traditional business cycles, we remain
encouraged by the high absolute level of profitability among U.S. companies.
Also, many companies' increasing emphasis on cost containment and growing use
of technology have helped keep them highly competitive and reasonably profit-
able. Looking ahead, we believe that a stabilizing interest rate environment,
coupled with reasonable earnings reports, could justify current market valua-
tions.
A discussion of 1995 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,
[SIGNATURE OF JOHN D. MCNEIL APPEARS HERE]
John D. McNeil
Chairman
January 12, 1996
CAPITAL APPRECIATION SERIES
During the past year, the Series experienced a total return of +34.46%. Per-
formance benefited from a significant weighting in the technology sector,
which had strong performance from personal computer companies such as Intel
and Microsoft. Lodging stocks, such as HFS, Inc., a franchiser of hotels and
real estate companies, and health care stocks such as United Healthcare helped
performance in the second half as investors' confidence in their earnings
improved. Performance was negatively impacted by the underweighting in con-
sumer staples such as food and household products, and in financial services.
These sectors outperformed the S&P 500 during the second half of the year as
investors became more concerned about a moderation in economic growth.
The Series continues to seek companies the manager believes possess five key
factors: earnings momentum, reasonable valuations, good management, a strong
balance sheet and positive secular trends. Given that current price/earnings
multiples are reasonable, earnings momentum is the primary focus to achieving
further stock price appreciation.
Our largest concentration remains in the technology area, which is seeing
strong spending by corporations focused on improving their productivity. Other
large weightings are in entertainment and medical services, as well as a num-
ber of agricultural-equipment holdings that should benefit from a continuing
strong farm economy over the coming year. The foreign weighting is low, but it
is likely to increase as growth accelerates overseas over the coming year.
CONSERVATIVE GROWTH SERIES
For the 12 months ended December 31, 1995, the Series provided a total return
of +37.41%. The Series entered the year overweighted in financial services and
consumer growth stocks, areas we felt included stocks with attractive relative
earnings strength. Late last year we raised our technology weighting to a
near-market weighting, which is unusual for our conservative methodology.
Another area of overweighting was industrial goods and services, where we were
concentrated in machinery and in aerospace and defense companies. We also
entered the year effectively fully invested, consistent with our strategy of
not timing the market. We found this strategy to be appropriate for most of
the year, and our only major change in portfolio strategy was to reduce our
technology weighting in mid-summer.
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While this proved somewhat premature, we believe it turned out to be the right
decision.
As we enter 1996, we continue to feel that relative earnings strength will be
the key to superior performance. We have maintained our overweighting in
financial services, but have moved away from banks and toward insurance compa-
nies. We are also overweighted in consumer non-durables and in industrial com-
panies. One area where we retain an overweighting but have not been rewarded
is retail, an area which has underperformed the S&P 500 for several years.
However, we feel fine companies with solid long-term prospects in this sector
can be bought at modest valuations.
A key to 1996 performance will be judging the effectiveness of the Federal
Reserve's monetary easing. So far the market has benefited from the overall
reduction in interest rates but, specifically, economically sensitive stocks
have lagged. We feel one of the major challenges of the Series will be to
measure when and how significantly these stocks will respond. As of this writ-
ing, we have not made significant moves in this direction.
MFS/FOREIGN & COLONIAL INTERNATIONAL GROWTH AND INCOME SERIES
The Series, which commenced operations on October 2, 1995, seeks capital
appreciation and current income by investing primarily in a combination of
"blue-chip" and growth stocks and fixed-income investments from companies and
issuers whose principal activities are located outside the United States.
Also, up to 10% of assets may be invested in emerging market securities. Blue-
chip stocks are defined as companies having market capitalizations of at least
$1 billion, while current income is the primary objective in the fixed-income
component of the portfolio. Up to 25% of assets may be invested in high-yield
securities. A 70% equity to 30% bond split is the targeted allocation. Our
exposure within the blue-chip equity area includes Sakura Bank, Nippon Yusen,
and Mitsubishi Heavy Industries, reflecting our view that the Japanese market
is attractive, although we also favor other Asian economies. In Europe, our
investments currently favor France over Germany, while our exposure in the
United Kingdom is neutral.
Looking ahead, we believe that the international economy is in a period of low
growth and low inflation, which is conducive to lower interest rates. We find
many international stock markets selling at attractive levels while holding
out good prospects for long-term earnings growth.
GOVERNMENT SECURITIES SERIES
For the year, the Series had a total return of +17.66% versus a return of
+17.82% for the Lehman Brothers Government/Mortgage Index (the Index), an
unmanaged index comprised of Treasuries, agencies, and agency mortgages (FNMA,
FHLMC, and GNMA). The small difference in performance was due primarily to the
Series' shorter duration (a measure of interest rate sensitivity) at the
beginning of the year.
The year 1995 was a very good one for financial markets and the U.S. bond mar-
ket was no exception. The yield of 30-year U.S. Treasury bonds fell by more
than 190 basis points (1.9%), while the yield of five-year U.S. Treasury notes
fell by more than 240 basis points (2.4%). Short-term Treasury rates fell more
than long-term rates as the market anticipated that the Federal Reserve would
cut money market rates, which it did on July 6 and finally on December 19,
1995, when it moved the federal funds' rate to 5.5% from 5.75%. As the year
progressed the economic data continued to show that neither growth nor infla-
tion would accelerate.
Currently, the Series is positioned slightly longer than the Index, and more
than 35% of its assets are invested in mortgage-backed securities. The Series
is long in order to take advantage of any further moves by the Federal
Reserve. However, given the relatively low level of existing rates and the
excellent returns achieved in 1995, we are carefully monitoring the risks we
are taking in the portfolio. In addition, the turmoil caused by the political
debate over the budget and the debt ceiling will continue to resonate through
the bond markets. If interest rates remain around their current levels, we
believe the additional yield provided by mortgages could boost the Series'
total return.
EMERGING GROWTH SERIES
The Series, which commenced operations on May 1, 1995, provided a total return
of +26.80% from that date through December 31, 1995. This compares to a
+21.76% return for the S&P 500 for the same period. The Series' performance
benefited from strong appreciation in the stock prices of many of its holdings
in the technology sector. The technology stocks responded in 1995 to very
strong earnings growth for semiconductor, hardware, software, networking and
processing compa-
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nies. Oracle Systems (database software), System Software (manufacturing
application software), and Informix (database software and tools) reported
very strong earnings and their stock prices responded positively. Sybase (da-
tabase software) and BMC Software (systems software) were added to the Series
after they reported disappointing earnings which drove their stock prices to
levels we believed to be very depressed. Both stocks rebounded strongly and
contributed to the positive performance of the Series. Other strong performers
included networking stocks such as Cabletron and Bay Networks. The stocks of
our semiconductor companies responded very positively to their very strong
earnings reports. Compuware (system software) and Autodesk (computer-aided
design) reported disappointing earnings and have been disappointing stocks. We
maintain positions in these companies because we believe their stock prices
will rebound from their currently depressed levels.
The performance of our leisure stocks was particularly helpful. HFS, the
nation's largest franchiser of hotels and real estate companies, saw its stock
price more than double this year. Strong earnings gains and acquisitions such
as Century 21 assured investors of its future growth prospects.
Health care stocks had mixed performance this year. We established major posi-
tions in this sector to take advantage of what we believed to be depressed
prices caused by investor confusion concerning the effect of lower Medicare
reimbursement levels. Even though Medicare reimbursement has been cut for many
companies, we believe well-managed companies will adjust their costs accord-
ingly. We also believe health maintenance organizations (HMO's) will provide
many of the solutions to the high level of the nation's health care costs. We
added substantially to United Healthcare (this country's largest HMO company)
during this period of investor confusion and the stock has since appreciated
over 50%. Many of our long-term-care companies have not yet rebounded from
their depressed levels following the Medicare budget cuts. Investors are wait-
ing to see whether these companies can adjust their costs effectively.
This year, the stock market moved higher as companies reported better-than-
expected earnings. This environment was very favorable for many of our compa-
nies which reported strong earnings. We believe this trend of investors favor-
ing companies with strong earnings will continue into 1996 and could benefit
the share prices of our companies if they can deliver those strong earnings.
Our largest sector concentration continues to be technology. While earnings
gains may not be as strong in 1996 as they were in 1995, we believe this sec-
tor could still have the strongest earnings gains of any group in 1996. We are
also positive on the health care service and consumer sectors. Both groups
performed poorly in 1995, and we believe their stock prices to be depressed.
We believe that the health care cost-containment companies could ultimately
benefit from the cost-reduction initiatives in Washington. The consumer sector
is poised to respond very positively to only a small positive change in con-
sumer spending.
We believe the companies in the portfolio are particularly well-suited to ben-
efit from this technology-driven productivity. Obviously, our technology com-
panies are providing the tools to the rest of the economy. Our other companies
are using technology to increase their productivity and lower their costs. We
remain optimistic that the progress for our portfolio companies will be
rewarded by investors in 1996.
HIGH YIELD SERIES
High-yield bond prices firmed during 1995, primarily due to the decline in
interest rates. Strong market technicals helped fuel the rally as the supply
of new high-yield bonds declined slightly from the previous year while demand
increased due to higher net cash flows into high-yield mutual funds. During
1995, the spread between the yield on Treasury securities and high-yield bonds
widened to about 425 basis points (4.25%) from a low of 350 basis points
(3.50%), reflecting investors' concern over the rise in the default rate (al-
though principal value and interest on Treasury securities are guaranteed by
the U.S. government if held to maturity). We do not expect credit losses to
increase materially in 1996 because we believe that lower interest rates could
enable the economy to grow, albeit at a slower pace than in 1995.
During the 12 months ended December 31, 1995, the Series provided a total
return of +16.93%, underperforming the +22.25% return of the Lehman Brothers
Corporate Bond Index (the Lehman Index). The Lehman Index contains investment-
grade bonds which have longer durations than high-yield bonds and,
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therefore, experienced greater price appreciation as rates fell last year.
In response to weak economic data throughout the year, our investment strategy
became progressively more defensive. We reduced our positions in the steel,
chemical and paper sectors because we believed that the softness in commodity
prices during the second half of the year signaled the beginning of a cyclical
downturn and was not simply due to a temporary inventory correction. We con-
tinued to increase the Series' weightings in less economically sensitive
industries such as cable television, paging and supermarkets. The Series
remains underweighted in the bonds of retailers because we believe that
overcapacity will cause weakness in this sector well into 1996. Given our out-
look for slow economic growth and low inflation, we expect the Federal Reserve
to further reduce interest rates in 1996. Therefore, our investment strategy
remains focused on bonds in the upper-credit-quality tier of the high-yield
market. These high-yield bonds could benefit the most from a drop in interest
rates because their returns are the most closely correlated with shifts in
interest rates.
MANAGED SECTORS SERIES
Overall stock market performance in 1995 was very strong, with all major indi-
ces posting robust gains. The strength of the market over the first nine
months was quite broad, with particular strength in technology-related issues.
Led by our strong representation in technology, the Series advanced 32.29% for
the year. Over the last three months, overall advances were significantly
harder to come by as the breadth of the market was decidedly narrower. Invest-
ors looked to lock in profits in many of the better-performing areas and
rotated into more defensive sectors such as consumer staples, health care,
utilities, and energy. Except for energy, the Series had below-market
weightings in these groups. In addition, despite the fact that we reduced our
weighting in the technology sector from over 28% of Series' assets in mid-sum-
mer to under 17% by the beginning of the fourth quarter, corrections in this
area were quite severe and broad-brushed, a combination that negatively
affected overall performance. As a result, while performance during the fourth
quarter was positive, it trailed that of the major indices.
The Series has recently begun to selectively buy individual technology stocks,
given both their recent correction and still-positive prospects for earnings
growth. The weighting in the retail sector has been modestly decreased follow-
ing disappointing Christmas sales and relatively gloomy prospects going for-
ward. Energy, financial services and leisure weightings have remained basi-
cally intact despite some changes in individual positions.
Given the strong market advances in 1995, many valuations appear to be
approaching reasonable levels. Over the near term, investors are likely to
continue to rotate in and out of individual groups, a pattern exhibited in the
fourth quarter, resulting in a more volatile market and one that may find it
more difficult to make overall headway. We continue to search for attractively
valued companies but are maintaining a slightly more cautious outlook over the
near term.
MONEY MARKET SERIES
Short-term money market rates fell approximately 30 basis points (0.3%) during
1995. While the Federal Reserve raised the federal funds' rate 50 basis points
(0.50%) on February 1, 1995, it subsequently lowered it by 25 basis points
(0.25%) on July 6 and by another 25 basis points on December 19. Anticipating
lower interest rates, we maintained average maturities between 45 and 55 days
in the portfolio throughout the year. We continue to limit the Series' invest-
ments 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, in order to help provide maximum protection against credit
risk. At the present time, approximately 67% of the portfolio is invested in
U.S. government or government-guaranteed issues, with the balance in corporate
issues.
We expect that the Federal Reserve may continue to lower short-term interest
rates over the next several months, given the sluggishness of the economy and
the absence of inflationary pressures. Consequently, we will continue to tar-
get relatively long maturities in the portfolio. Investments in the Series are
neither insured nor guaranteed by the U.S. government.
RESEARCH SERIES
The Research Series reported a total return of +37.50% for the year, in line
with the S&P 500's total return of +37.53%. The Series' overweighting in the
U.S. defense industry contributed significantly to performance. These stocks
performed well due to continued consolidation of the industry, as well as to
improved
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margins for several specific programs. Stocks within this group which contrib-
uted to performance included McDonnell Douglas and Loral. The Series' holdings
in technology also contributed to performance. This sector was volatile
throughout 1995, but our holdings significantly contributed to performance.
Particularly affecting performance were our computer software holdings, which
appreciated due to successful new product introductions and continued strong
margins. Holdings in this category include Cadence Design, Oracle and Computer
Associates. Finally, the Series' holdings in financial services positively
affected 1995 performance. These stocks were strong due to decreased interest
rates and improved earnings resulting from industry consolidation.
Offsetting this strong performance was the Series' holdings in the retail and
cellular telephone industries. Retail stocks were very weak relative to the S&P
500 due to slowing consumer spending and increased competition. Cellular tele-
phone stocks were negatively affected by the purchase of Lin Broadcasting by
AT&T for a price lower than original expectations. In addition, subscriber
growth has slowed.
Our outlook for 1996 is that the slower U.S. economy will eventually affect
corporate earnings growth. Thus, the key to superior performance in the coming
year will be stock selection and strong relative earnings growth. Based on this
outlook, our committee of research analysts has overweighted technology, finan-
cial services, health care, consumer staples, and industrial goods and servic-
es. We believe stocks in these sectors could demonstrate strong earnings even
as the U.S. economy continues to slow. For example, within technology, we are
emphasizing computer software companies with strong product cycles and proprie-
tary niches. These attributes could enable these companies to sustain their
earnings growth and profit margins even if the overall technology market slows.
TOTAL RETURN SERIES
For the 12 months ended December 31, 1995, the Series provided a total return
of +26.71%. We believe the current environment continues to warrant a conserva-
tive investment posture. Economies in both the United States and Europe remain
sluggish, and revenue growth for many major corporations has slowed. Earnings
growth, a key driver to stock prices, also has slowed over the past few quar-
ters. In addition, valuations are on the high side, especially with the S&P 500
dividend yield at just 2.4%.
Therefore, we continue to carry a below-normal equity allocation. Common stocks
still represent 49% of the portfolio, while preferred and convertible securi-
ties represent 9% of the portfolio. Our major concentrations remain in the
energy and financial services sectors, where fundamentals and valuations appear
sound. We are also finding some good values in the telephone industry, the
electric utility industry and the defense/aerospace industry.
The bond portion of the portfolio has increased from 33% to 34%, while the cash
position has decreased from 10% to 8%. Our duration remains around six years,
and corporate bonds make up the majority of the portfolio. However, we have
recently been adding more Treasury securities.
UTILITIES SERIES
Declining interest rates provided a positive environment for utility stocks
over the past 12 months and helped bring their performance in line with broad
market averages. For the 12 months ended December 31, 1995, the Series provided
a total return of +32.36%. Currently, the Series remains overweighted in domes-
tic utility stocks relative to the S&P Utility Index (an unmanaged, market-val-
ue-weighted index of all utility stocks in the S&P 500).
Although competition is emerging in this industry, the pace of change is slower
than had been anticipated. The Series is currently emphasizing electric utili-
ties which are taking the necessary steps to improve their competitive posi-
tion. At this juncture, we believe the mid-tier-quality group offers much
higher risk-adjusted returns than the high-quality segment. Portland General
and PECO Energy, among 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 these stocks, which have been strong performers so
far this year. Although stocks of the long-distance companies have been solid
performers, the Series remains overweighted in these stocks because we are see-
ing accelerating growth in long-distance volumes and more reasonable valuations
in these stocks. Two of the Series' largest holdings, Frontier Corp. and MCI
Com-
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munications, are in the long-distance telephone sector. The Series is also
overweighted in gas utility stocks, focusing on pipeline companies with expan-
sion opportunities and/or those which are improving the performance of their
non-regulated subsidiaries. Williams Cos. and Westcoast Energy are two such
companies.
Currently, 16% of the Series' total net assets are invested in international
utilities. These investments typically offer good growth opportunities and
more favorable regulatory treatment than domestic utilities. For example, we
believe Tele Danmark, the Series' largest international holding, offers solid
earnings and dividend growth.
Finally, Real Estate Investment Trusts (REITs) currently comprise about 10% 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, indus-
trial-office and manufactured-housing REITs.
WORLD ASSET ALLOCATION SERIES
For the 12 months ended December 31, 1995, the Series provided a total return
of +21.56%. This compares to the one-year returns for the following unmanaged
indices: +37.53% for the S&P 500; +11.55% for the Morgan Stanley Capital
International EAFE Index (the MSCI), an unmanaged index of international
stocks; +18.47% for the Lehman Brothers Aggregate Bond Index (an unmanaged
index of government and corporate bonds including Treasury, agency, and corpo-
rate bond issues and mortgage-backed securities); and +21.11% for the J.P.
Morgan Non-Dollar Index (an unmanaged index of international bonds). The
Series has continued to find attractive investments in both stocks and bonds.
Our selections have focused on core European countries and certain nations in
Asia, as well as the United States. The asset allocations of the Series have
been relatively unchanged during this period, following the guidance of our
quantitative models, which continue to suggest that value is to be found in
the overseas equity markets. Our managers agree with this assessment, citing
the slowing of earnings and the weakening economy in the United States, and
the relative attractiveness of Asia and selected markets in Europe, where
growth rates remain steady and where the economic cycles are not as advanced.
In addition, the Series has largely been under-invested in stocks relative to
its benchmarks (considered a neutral position) and, consequently, is over-
invested in bonds. Our bond outlook is based not only on the relative attrac-
tiveness of bonds, but also on the absolute value of international bonds.
Prices of these bonds reflect our favorable expectations for returns relative
to the outlook for inflation around the world, and the current disinflationary
trends which seem likely to persist. In the stock arena, we have a mix of
value and growth stocks, with a greater emphasis on cyclical and retail stocks
in economies where growth still seems to be on an upward path.
Currently, targeted allocations are as follows: 70% stocks (45% international
and 25% domestic); 30% bonds (20% international and 10% high yield); and 0%
cash. In the United States, equity holdings range across a variety of indus-
tries and incorporate both value and growth strategies. Recent additions
include Fort Howard Paper, a producer of recycled tissue paper; BMC Software,
a provider of mainframe and client server software; and Prudential Reinsur-
ance, a property casualty insurance company. Internationally, we emphasize
stock selection as opposed to country or industry selection. Priority is
placed on companies which we believe will generate above-average earnings
growth and which are trading at attractive valuations, regardless of their
home country.
Over the past three months, the European and Canadian/Latin American weighting
has declined with an offsetting increase in Asia/Pacific. We are beginning to
see more opportunities in the developing markets of Southeast Asia. Converse-
ly, fundamentals in Europe have begun to deteriorate, causing us to reassess
and sell a number of holdings in that part of the world.
The high-yield corporate bond sector continues to be weighted toward the high-
er-quality credits in the high-yield bond market, with an emphasis on compa-
nies that generate significant free cash flow which will enable them to reduce
debt over the coming year. Global bond markets, meanwhile, continue to rally
on the basis of moderate global growth, benign inflation, fiscal austerity
programs and the easing of monetary policies. In many instances yields have
approached or dropped below levels last seen in late 1993, that is, prior to
the bear market of 1994. While this fact suggests some cause for caution, both
fundamental and technical factors suggest that these levels may be more sus-
tainable this time.
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WORLD GOVERNMENTS SERIES
During the 12 months ended December 31, 1995, the Series provided a total
return of +15.69%, under- performing the +19.31% return of the J.P. Morgan
Global Government Bond Index (an unmanaged index of bonds issued from 13 coun-
tries with remaining maturities of at least one year). According to Lipper
Analytical Services, an independent firm which rates performance, the average
return for the portfolios in its general world income category within the
variable annuity universe was +14.48% during 1995.
Two of the best-performing markets were found within the U.S. dollar bloc,
notably Canada and Australia. Both countries continue to possess lower infla-
tion than the U.S. market, as well as higher real rates and attractive nominal
yield spreads to the U.S. market. The portfolio's performance was enhanced by
overweighted positions in both of these markets. However, overall performance
was negatively impacted by lower durations in the U.S. bonds held during the
first half of the year. In the European bloc, the best-performing markets were
those of Sweden and Spain. Following interest rate cuts throughout western
Europe, the portfolio benefited from overweighted European bond positions.
More specifically, the core markets, such as Germany and the Netherlands, con-
tinued to provide solid returns against a backdrop of slow growth, low infla-
tion, and declining interest rates. Other markets, such as Denmark's, offered
a combination of higher yields with moderate growth and low inflation. The
higher-yielding European markets have recovered during the past six months,
and the portfolio has benefited by increasing the weighting and lengthening
the duration in both Spanish and Italian issues.
In currency terms, the dollar did recover some ground lost during the first
half of the year. The Japanese yen was especially strong over the first half
but gave back all these gains versus the dollar by year-end. Due in part to
falling German inflation compared to stable U.S. inflation, the German mark
appreciated 7.7% over the dollar for the year. However, with the likelihood of
a budget resolution in the United States combined with favorable U.S. short-
term interest rate spreads, the dollar consolidated at year-end and now
appears relatively attractive.
WORLD GROWTH SERIES
For the fiscal year ended December 31, 1995, the Series provided a total
return of +16.06%, as compared to returns of +37.53% for the S&P 500 and
+21.32% for the MSCI World Index. The past year was a difficult one for many
overseas stock markets. Political and economic disruptions and volatile cur-
rencies resulted in market corrections in both emerging and developed foreign
markets. The Series reflected this volatility. While a number of our holdings
in Japan and in emerging markets led us to underperform our benchmarks, we
anticipate that these investments will position us well for the year to come.
Our focus continues to be on the fastest-growing companies in the world, in
what we consider to be the three most attractive markets with the best long-
term growth potential. While such high growth can lead to higher volatility,
we believe it also offers the greatest opportunity for capital appreciation.
In the United States, the emphasis is on leading emerging growth companies
that can achieve earnings growth rates of 20% or more through significant
gains in market share in rapidly growing markets. In other developed interna-
tional markets such as Europe and Japan, the focus is on "world-class" compa-
nies with significant earnings leverage coming from recovering economies,
improving fundamentals, business restructuring or new products. In emerging
markets, the emphasis is on companies which are global low-cost producers, or
beneficiaries of privatization, infrastructure growth, and consumer demand.
The Series' performance has been helped by its overweighting in the United
States, which has been one of the world's best markets over the past year, and
by its overweighting in technology, which was one of the best-performing sec-
tors. Results in the United States were also enhanced by an underweighting in
HMO's and nursing homes, where there were disappointments on the cost and
reimbursement fronts.
The Series' performance was negatively affected by its investments in Japan,
where the strengthening yen hurt many of the export-oriented auto and consumer
electronics companies in which the Series was overweighted. European markets
and economies were also negatively impacted by the weakening dollar. The out-
look for international markets seems more favorable than it has been in a long
time given reasonable valuations, supportive interest rate trends, and the
likelihood of substantial improvement in corporate profits from depressed lev-
els. Our focus in developed foreign markets continues to be on telecommunica-
tions, electron-
8
<PAGE>
ics, pharmaceutical, and automotive companies with significant earnings from
recovering home and export economies and new products.
The Series' performance was also hurt by its investments in Latin American and
Southeast Asian emerging markets, where currency devaluations and rising
interest rates contributed to declines of 20% to 50% in several markets. We
have used these pullbacks as opportunities to add to our holdings, because we
believe that many of the difficulties in the emerging markets are behind them
and that a recovery in growth lies ahead. In markets such as Hong Kong and
China, our focus is on companies producing consumer products, which are bene-
fiting from increasing leisure time and disposable income. In Latin America,
the emphasis is on companies in industries such as steel and telecommunica-
tions, which are benefiting from the infrastructure being put in place. In
summary, we believe the declines that many of the world's markets have experi-
enced over the past year have created some excellent values.
WORLD TOTAL RETURN SERIES
During the past year, the Series experienced a total return of +17.90%. Among
factors having a positive effect on the equity holdings during this period
were overweightings in the United States and an underweighting in Japan. Other
countries which were overweighted and did well were Sweden and the Nether-
lands. Countries hurting performance were France, Italy and Australia. In the
various industry sectors, our holdings in financial services stocks did well,
as did pharmaceutical stocks. The absence of much in the way of technology
stocks, except IBM, hurt performance.
As we enter 1996, the equity position of the Series has 53% of assets invested
in U.S. and foreign stocks and convertible securities. Foreign holdings in 17
countries account for approximately 62% of the total equity position, higher
than earlier in the year, and likely to go higher still, since the United
States is unlikely to repeat 1995's outperformance. Far Eastern holdings,
including Japanese stocks, are likely to be increased. For some time now our
stock investments have been concentrated in companies that are not dependent
upon the business cycle for them to outperform. Approximately 61% of the hold-
ings are in financial services stocks, industrial goods, utilities, special
situation retailers, and energy stocks, all of which we anticipate will per-
form well in a slower growth economy.
The majority of our foreign-based fixed-income holdings remains in Europe. The
core markets, such as Germany and the Netherlands, continue to provide solid
returns against a backdrop of slow growth, low inflation, and declining offi-
cial interest rates and remain an important anchor to our foreign holdings.
Other European markets, such as Denmark's, offer a combination of higher
yields with moderate growth and low inflation. The highest-yielding markets
have recovered over the last six months, and the Series has increased both its
bond and currency weightings in these markets. The first part of 1996 will
likely be supportive of fixed-income investments. Moderate to slow growth,
with commensurate declines in overall inflation rates, could lead to further
reductions in official interest rates.
ZERO COUPON SERIES 2000 PORTFOLIO
The 2000 Portfolio exhibited a strong performance in 1995, with a total return
of +19.88%, as intermediate-term Treasury notes moved lower during the period,
with yields on five-year Treasuries declining from 7.75% to 5.50%. The portfo-
lio 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, the portfolio is
more sensitive to interest rate changes than are comparable bond funds with
similar maturities. For that reason, the total return of the portfolio in the
declining interest rate environment of 1995 was higher than the return that
could have been obtained directly from Treasury securities or similar instru-
ments. However, 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.)
9
<PAGE>
PERFORMANCE
The following information illustrates the growth of a hypothetical $10,000
investment for each Series during the period indicated. Past performance is no
guarantee of future results. These results do not reflect the deduction of sep-
arate account charges.
CAPITAL APPRECIATION SERIES
For the 10-year period through December 31, 1995.
[GRAPH APPEARS HERE]
<TABLE>
<S> <C> <C> <C>
1/1/86 10,000 10,000 10,000
12/31/86 12,134 11,868 10,113
12/31/87 12,425 12,490 10,559
12/31/88 13,328 14,558 11,026
12/31/89 19,581 19,163 11,538
12/31/90 17,684 18,567 12,242
12/31/91 24,926 24,212 12,618
12/31/92 28,317 26,054 12,984
12/31/93 33,414 28,674 13,340
12/31/94 32,211 29,051 13,697
12/31/95 43,311 39,955 14,045
</TABLE>
Capital Appreciation Series
_______
S&P 500
- -------
CPI
__ __
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
1 Year 3 Years 5 Years 10 Years
- ------------------------------------------------------------
<S> <C> <C> <C> <C>
Capital Appreciation Series +34.46 +15.22 +19.62 +15.79
S&P 500** +37.53 +15.32 +16.56 +14.86
Consumer Price Index+** + 2.54 + 2.65 + 2.79 + 3.46
</TABLE>
+ The Consumer Price Index is a popular measure of change in prices.
** Source: Lipper Analytical Services, Inc.
CONSERVATIVE GROWTH SERIES
For the period from December 1, 1986 to December 31, 1995.
[GRAPH APPEARS HERE]
<TABLE>
<S> <C> <C> <C>
12/1/86 10,000 10,000 10,000
12/31/86 9,999 9,745 10,009
12/31/87 9,797 10,256 10,450
12/31/88 10,523 11,955 10,912
12/31/89 14,309 15,737 11,419
12/31/90 13,811 15,247 12,117
12/31/91 18,885 19,883 12,488
12/31/92 19,962 21,395 12,850
12/31/93 21,645 23,547 13,203
12/31/94 21,408 23,856 13,556
12/31/95 29,418 32,810 13,901
</TABLE>
Conservative Growth Series
_______
S&P 500
- -------
CPI
__ __
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
11/14/86*-
1 Year 3 Years 5 Years 12/31/95
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
Conservative Growth Series +37.41 +13.80 +16.33 +12.54
S&P 500** +37.53 +15.32 +16.56 +13.97
Consumer Price Index** + 2.54 + 2.65 + 2.79 + 3.69
</TABLE>
* Commencement of investment operations. Benchmark comparisons are from
12/01/86.
** Source: Lipper Analytical Services, Inc.
10
<PAGE>
PERFORMANCE -- continued
EMERGING GROWTH SERIES
For the period from May 1, 1995 to December 31, 1995.
[GRAPH APPEARS HERE]
<TABLE>
<S> <C> <C> <C> <C>
5/1/95 10,000 10,000 10,000 10,000
5/31/95 10,080 10,172 10,399 10,020
6/30/95 10,480 10,700 10,640 10,040
7/31/95 11,310 11,316 10,993 10,040
8/31/95 11,490 11,550 11,020 10,066
9/30/95 12,020 11,758 11,485 10,086
10/31/95 12,180 11,231 11,444 10,118
11/30/95 12,710 11,702 11,946 10,112
12/31/95 12,680 12,011 12,178 10,105
</TABLE>
Emerging Growth Series
_____
Russell 2000 Index
.......
S&P 500
- -------
CPI
__ __
AGGREGATE TOTAL RETURNS
<TABLE>
<CAPTION>
5/01/95*-
12/31/95
- ----------------------------------
<S> <C>
Emerging Growth Series +26.80
Russell 2000 Index(S)** +20.11
S&P 500** +21.76
Consumer Price Index** + 1.05
</TABLE>
* Commencement of investment operations.
(S)An unmanaged index of 2,000 of the smallest U.S.-domiciled company common
stocks traded in the U.S. on the New York Stock Exchange, the American Stock
Exchange and NASDAQ.
** Source: Lipper Analytical Services, Inc.
GOVERNMENT SECURITIES SERIES
For the 10-year period through December 31, 1995.
[GRAPH APPEARS HERE]
<TABLE>
<S> <C> <C> <C>
1/1/86 10,000 10,000 10,000
12/31/86 11,637 11,494 10,113
12/31/87 11,978 11,823 10,559
12/31/88 12,888 12,719 11,026
12/31/89 14,541 14,576 11,538
12/31/90 15,837 15,949 12,242
12/31/91 18,341 18,415 12,618
12/31/92 19,591 19,730 12,984
12/31/93 21,295 21,560 13,340
12/31/94 20,824 20,966 13,697
12/31/95 24,501 24,702 14,045
</TABLE>
Government Securities Series
______
Lahman Brothers Government/Mortgage Index
......
CPI
__ __
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
1 Year 3 Years 5 Years 10 Years
- ----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Government Securities Series +17.66 +7.74 +9.12 +9.38
Lehman Brothers Govt./Mortgage Index* +17.82 +7.78 +9.14 +9.46
Consumer Price Index** + 2.54 +2.65 +2.79 +3.46
</TABLE>
* Source: Asset Investment Management (AIM).
** Source: Lipper Analytical Services, Inc.
11
<PAGE>
PERFORMANCE -- continued
HIGH YIELD SERIES
For the 10-year period through December 31, 1995.
[GRAPH APPEARS HERE]
<TABLE>
<S> <C> <C> <C>
1/1/86 10,000 10,000 10,000
12/31/86 11,482 11,653 10,113
12/31/87 11,603 11,951 10,559
12/31/88 13,333 13,054 11,026
12/31/89 13,176 14,892 11,538
12/31/90 11,311 15,943 12,242
12/31/91 16,681 18,893 12,618
12/31/92 19,181 20,536 12,984
12/31/93 22,571 23,032 13,340
12/31/94 22,083 22,127 13,697
12/31/95 25,823 27,049 14,045
</TABLE>
High Yield Series
- -------
Lehman Brothers Corporation Bond Index
.....
CPI
- -- --
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
1 Year 3 Years 5 Years 10 Years
- -------------------------------------------------------------------
<S> <C> <C> <C> <C>
High Yield Series +16.93 +10.42 +17.95 + 9.95
Lehman Brothers Corp. Bond Index** +22.25 + 9.62 +11.15 +10.46
Consumer Price Index** + 2.54 + 2.65 + 2.79 + 3.46
</TABLE>
** Source: Lipper Analytical Services, Inc.
MANAGED SECTORS SERIES
For the period from June 1, 1988 to December 31, 1995.
<TABLE>
[GRAPH APPEARS HERE]
<S> <C> <C> <C>
6/1/88 10,000 10,000 10,000
12/31/88 10,478 10,817 10,255
12/31/89 15,225 14,239 10,732
12/31/90 13,627 13,796 11,387
12/31/91 22,097 17,990 11,736
12/31/92 23,530 19,359 12,077
12/31/93 24,489 21,306 12,409
12/31/94 24,014 21,586 12,740
12/31/95 31,769 29,688 13,064
</TABLE>
Managed Sectors Series
- -----
S&P 500
- ------
CPI
- -- --
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
5/27/88*-
1 Year 3 Years 5 Years 12/31/95
- --------------------------------------------------------
<S> <C> <C> <C> <C>
Managed Sectors Series +32.29 +10.53 +18.44 +16.43
S&P 500** +37.53 +15.32 +16.56 +15.43
Consumer Price Index** + 2.54 + 2.65 + 2.79 + 3.59
</TABLE>
* Commencement of investment operations. Benchmark comparisons are from
6/01/88.
** Source: Lipper Analytical Services, Inc.
12
<PAGE>
PERFORMANCE -- continued
RESEARCH SERIES
For the period from December 1, 1994 to December 31, 1995.
[GRAPH APPEARS HERE]
<TABLE>
<S> <C> <C> <C>
12/1/94 10,000 10,000 10,000
12/31/94 10,050 10,148 10,000
1/31/95 10,050 10,411 10,040
2/28/95 10,447 10,816 10,080
3/31/95 10,783 11,135 10,114
4/30/95 10,939 11,463 10,147
5/31/95 11,336 11,920 10,167
6/30/95 11,723 12,197 10,187
7/31/95 12,476 12,601 10,187
8/31/95 12,527 12,632 10,214
9/30/95 12,944 13,165 10,234
10/31/95 13,005 13,118 10,267
11/30/95 13,463 13,693 10,261
12/31/95 13,819 13,957 10,254
</TABLE>
Research Series
- ------
S&P 500
- - - -
CPI
- -- --
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
11/07/94*-
1 Year 3 Years 5 Years 12/31/95
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
Research Series +37.50 -- -- +30.59
S&P 500** +37.53 -- -- +36.04
Consumer Price Index** + 2.54 -- -- + 2.34
</TABLE>
* Commencement of investment operations. Benchmark comparisons are from
12/01/94.
** Source: Lipper Analytical Services, Inc.
TOTAL RETURN SERIES
For the period from June 1, 1988 to December 31, 1995.
[GRAPH APPEARS HERE]
<TABLE>
<S> <C> <C> <C> <C>
6/1/88 10,000 10,000 10,000 10,000
12/31/88 10,542 10,517 10,817 10,255
12/31/89 12,386 12,014 14,239 10,732
12/31/90 12,719 13,009 13,796 11,387
12/31/91 15,466 15,107 17,990 11,736
12/31/92 16,792 18,252 19,359 12,077
12/31/93 19,036 18,045 21,306 12,409
12/31/94 18,614 17,412 21,586 12,740
12/31/95 23,587 20,763 29,688 13,064
</TABLE>
Research Series
- ------
S&P 500
- - - -
CPI
- -- --
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
5/11/88*-
1 Year 3 Years 5 Years 12/31/95
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Return Series +26.71 +11.99 +13.15 +11.92
Lehman Brothers Govt./Corp. Bond Index** +19.24 + 8.51 + 9.80 +10.11
S&P 500** +37.53 +15.32 +16.56 +15.43
Consumer Price Index** + 2.54 + 2.65 + 2.79 + 3.59
</TABLE>
* Commencement of investment operations. Benchmark comparisons are from
6/01/88.
** Source: Lipper Analytical Services, Inc.
13
<PAGE>
PERFORMANCE -- continued
UTILITIES SERIES
For the period from December 1, 1993 to December 31, 1995.
[GRAPH APPEARS HERE]
<TABLE>
<S> <C> <C> <C>
12/1/93 10,000 10,000 10,000
12/31/93 10,090 9,948 10,000
3/31/94 9,667 9,127 10,096
6/30/94 9,409 9,125 10,151
9/30/94 9,711 9,168 10,247
12/31/94 9,590 9,158 10,267
3/31/95 9,882 9,790 10,384
6/30/95 10,778 10,517 10,460
9/30/95 11,773 11,697 10,508
12/31/95 12,694 12,924 10,528
</TABLE>
Utilities Series
- ---------
S&P Utility Index
- - - - -
CPI
- -- --
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
11/16/93*-
1 Year 3 Years 5 Years 12/31/95
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
Utilities Series +32.36 -- -- +11.52
S&P Utility Index** +41.13 -- -- +13.10
Consumer Price Index** + 2.54 -- -- + 2.50
</TABLE>
* Commencement of investment operations. Benchmark comparisons are from
12/01/93.
** Source: Lipper Analytical Services, Inc.
WORLD ASSET ALLOCATION SERIES
For the period from December 1, 1994 to December 31, 1995.
[GRAPH APPEARS HERE]
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
12/1/94 10,000 10,000 10,000 10,000 10,000 10,000
12/31/94 10,048 10,148 9,998 10,089 10,085 10,000
1/31/95 9,830 10,411 10,220 10,268 9,881 10,040
2/28/95 10,000 10,816 10,519 10,512 9,655 10,080
3/31/95 10,349 11,135 11,401 10,577 10,260 10,114
4/30/95 10,636 11,463 11,612 10,725 10,649 10,147
5/31/95 10,946 11,920 11,886 11,140 10,525 10,167
6/30/95 11,086 12,197 11,927 11,221 10,343 10,187
7/31/95 11,506 12,601 12,040 11,196 10,990 10,187
8/31/95 11,446 12,632 11,417 11,331 10,573 10,214
9/30/95 11,696 13,165 11,779 11,442 10,782 10,234
10/31/95 11,726 13,118 11,861 11,590 10,495 10,267
11/30/95 11,876 13,693 11,985 11,764 10,790 10,261
12/31/95 12,216 13,957 12,106 11,929 11,228 10,254
</TABLE>
World asset allocation series MSCI EAFE INDEX
- ----- - - - -
S&P 500 CPI
- - - - -- --
J.P. Morgan NON U.S. Global Bond Index
.......
Lehman Brothers Aggregate Bond Index
- - - - -
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
11/07/94*-
1 Year 3 Years 5 Years 12/31/95
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
World Asset Allocation Series +21.56 -- -- +19.16
S&P 500** +37.53 -- -- +36.04
J.P. Morgan Non-U.S. Global Bond Index+ +21.11 -- -- +19.30
Lehman Brothers Aggregate Bond Index** +18.47 -- -- +17.68
MSCI EAFE Index** +11.55 -- -- +11.28
Consumer Price Index** + 2.54 -- -- + 2.34
</TABLE>
* Commencement of investment operations. Benchmark comparisons are from
12/01/94.
+ Source: AIM.
** Source: Lipper Analytical Services, Inc.
14
<PAGE>
PERFORMANCE -- continued
WORLD GOVERNMENTS SERIES
For the period from June 1, 1988 to December 31, 1995.
[GRAPH APPEARS HERE]
<TABLE>
<S> <C> <C> <C>
6/1/88 10,000 10,000 10,000
12/31/88 10,414 10,429 10,255
12/31/89 11,442 11,139 10,732
12/31/90 12,971 12,451 11,387
12/31/91 14,896 14,373 11,736
12/31/92 14,976 15,028 12,077
12/31/93 17,798 16,871 12,409
12/31/94 17,005 17,083 12,740
12/31/95 19,672 20,382 13,064
</TABLE>
World Government Series
- -------
J.P. Morgan Global Government Bond Index
........
CPI
- -- --
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
5/16/88*-
1 Year 3 Years 5 Years 12/31/95
- ---------------------------------------------------------------------
<S> <C> <C> <C> <C>
World Governments Series +15.69 + 9.52 + 8.69 +9.29
J.P. Morgan Global Govt Bond Index+ +19.31 +10.69 +10.36 +9.85
Consumer Price Index** + 2.54 + 2.65 + 2.79 +3.59
</TABLE>
* Commencement of investment operations. Benchmark comparisons are from
6/01/88.
+ Source: AIM.
** Source: Lipper Analytical Services, Inc.
WORLD GROWTH SERIES
For the period from December 1, 1993 to December 31, 1995.
[GRAPH APPEARS HERE]
<TABLE>
<S> <C> <C> <C> <C> <C>
12/1/93 10,000 10,000 10,000 10,000 10,000
12/31/93 10,618 10,491 10,342 10,121 10,000
3/31/94 10,648 10,568 10,066 9,738 10,096
6/30/94 10,542 10,898 9,673 9,778 10,151
9/30/94 11,371 11,144 10,345 10,256 10,247
12/31/94 10,921 11,077 10,153 10,254 10,267
3/31/95 10,832 11,810 10,622 11,251 10,384
6/30/95 11,495 12,120 11,618 12,324 10,460
9/30/95 12,480 12,813 12,765 13,302 10,508
12/31/95 12,675 13,438 13,042 14,102 10,528
</TABLE>
World Growth Series
- -------
MSCI World Index
.....
Russel 2000 Index
- - - - -
S&P 500
- - - -
CPI
- -- --
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
11/16/93*-
1 Year 3 Years 5 Years 12/31/95
- ---------------------------------------------------------
<S> <C> <C> <C> <C>
World Growth Series +16.06 -- -- +11.92
MSCI World Index** +21.32 -- -- +15.24
Russell 2000 Index** +28.45 -- -- +13.60
S&P 500** +37.53 -- -- +17.94
Consumer Price Index** + 2.54 -- -- + 2.50
</TABLE>
* Commencement of investment operations. Benchmark comparisons are from
12/01/93.
** Source: Lipper Analytical Services, Inc.
15
<PAGE>
PERFORMANCE -- continued
WORLD TOTAL RETURN SERIES
For the period from December 1, 1994 to December 31, 1995.
[GRAPH APPEARS HERE]
<TABLE>
<S> <C> <C> <C> <C>
12/1/94 10,000 10,000 10,000 10,000
12/31/94 10,048 10,148 10,068 10,000
1/31/95 9,830 10,411 10,060 10,040
2/28/95 10,000 10,816 10,253 10,080
3/31/95 10,349 11,135 10,760 10,114
4/30/95 10,636 11,463 11,055 10,147
5/31/95 10,945 11,920 11,236 10,167
6/30/95 11,088 12,197 11,263 10,187
7/31/95 11,508 12,601 11,624 10,187
8/31/95 11,448 12,632 11,340 10,214
9/30/95 11,696 13,165 11,642 10,234
10/31/95 11,726 13,118 11,579 10,267
11/30/95 11,876 13,693 11,873 10,261
12/31/95 12,216 13,957 12,142 10,254
</TABLE>
World Total Return Series
- -----
S&P 500
- - - -
MSCI World IX - J.P. Morgan Global Gov't Bond IX - 40%
......
CPI
- -- --
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
11/07/94*-
1 Year 3 Years 5 Years 12/31/95
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
World Total Return Series +17.90 -- -- +15.82
S&P 500** +37.53 -- -- +36.04
60% MSCI World Index
40% J.P. Morgan Global Govt. Bond Index+ +20.59 -- -- +19.62
Consumer Price Index** + 2.54 -- -- + 2.34
</TABLE>
* Commencement of investment operations. Benchmark comparisons are from
December 1, 1994.
+ Source: AIM.
** Source: Lipper Analytical Services, Inc.
ZERO COUPON SERIES -- 2000 PORTFOLIO
For the period from December 1, 1986 to December 31, 1995.
[GRAPH APPEARS HERE]
<TABLE>
<S> <C> <C> <C>
12/1/86 10,000 10,000 10,000
12/31/86 9,730 10,014 10,009
12/31/87 8,771 9,940 10,450
12/31/88 9,844 10,660 10,912
12/31/89 11,909 12,387 11,419
12/31/90 12,614 13,413 12,117
12/31/91 15,205 15,761 12,488
12/31/92 16,450 16,981 12,850
12/31/93 18,923 19,147 13,203
12/31/94 17,600 18,087 13,556
12/31/95 21,099 22,223 13,901
</TABLE>
Zero Coupon Series - 2000 Portfolio
- -------
Merrill Lynch 7-10 Year Treasury Index
.......
CPI
- -- --
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
11/14/86*-
1 Year 3 Years 5 Years 12/31/95
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Zero Coupon
Series -- 2000 Portfolio +19.88 +8.65 +10.84 +8.52
Merrill Lynch 7-10 Year Treasury Index(S)+ +23.01 +9.38 +10.63 +9.19
Consumer Price Index** + 2.54 +2.65 + 2.79 +3.69
</TABLE>
* Commencement of investment operations. Benchmark comparisons are from
12/01/86.
(SAn)unmanaged index of coupon-bearing Treasury issues exclusive of Flower
Bonds with a maturity of 7 to 9.9 years.
+ Source: AIM.
** Source: Lipper Analytical Services, Inc.
16
<PAGE>
PORTFOLIO OF INVESTMENTS -- December 31, 1995
CAPITAL APPRECIATION SERIES
COMMON STOCKS -- 96.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 92.5%
AEROSPACE -- 3.2%
General Dynamics Corp..................................... 62,900 $ 3,718,963
Lockheed Martin Corp...................................... 112,200 8,863,800
McDonnell-Douglas Co...................................... 138,200 12,714,400
------------
$ 25,297,163
------------
AGRICULTURAL PRODUCTS -- 4.5%
AGCO Corp................................................. 275,000 $ 14,025,000
Case Corp................................................. 160,900 7,361,175
Deere & Co., Inc. ........................................ 309,900 10,923,975
Varity Corp.*............................................. 89,700 3,330,112
------------
$ 35,640,262
------------
AIRLINES -- 1.6%
Southwest Airlines Co..................................... 539,900 $ 12,552,675
------------
APPAREL AND TEXTILES -- 1.0%
Nike, Inc., "B"........................................... 111,200 $ 7,742,300
------------
AUTOMOTIVE -- 2.9%
APS Holding Corp.*........................................ 264,800 $ 5,958,000
General Motors Corp....................................... 182,300 9,639,112
Harley-Davidson, Inc...................................... 272,900 7,845,875
------------
$ 23,442,987
------------
BUSINESS SERVICES -- 4.3%
ADT Ltd.*................................................. 514,100 $ 7,711,500
Alco Standard Corp. ...................................... 196,000 8,942,500
Ceridian Corp.*........................................... 242,400 9,999,000
Corestaff, Inc.*.......................................... 11,100 405,150
DST Systems, Inc.*........................................ 126,700 3,610,950
Policy Management Systems Corp.*.......................... 72,700 3,462,338
------------
$ 34,131,438
------------
CELLULAR TELEPHONES -- 0.4%
AirTouch Communications, Inc.*............................ 115,600 $ 3,265,700
------------
CHEMICALS -- 0.7%
Geon Co................................................... 237,800 $ 5,796,375
------------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 4.8%
Arbor Software Corp.*..................................... 2,300 $ 108,675
Autodesk, Inc............................................. 180,800 6,192,400
Electronic Arts, Inc.*.................................... 455,700 11,905,162
Microsoft Corp.*.......................................... 213,900 18,769,725
Spectrum Holobyte, Inc.*.................................. 178,100 1,157,650
------------
$ 38,133,612
------------
COMPUTER SOFTWARE -- SYSTEMS -- 11.8%
Adobe Systems, Inc. ...................................... 194,100 $ 12,034,200
BMC Software, Inc.*....................................... 368,000 15,732,000
Cadence Design Systems, Inc.*............................. 370,000 15,540,000
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
COMPUTER SOFTWARE -- SYSTEMS -- continued
Computer Associates International, Inc.................... 214,300 $ 12,188,312
General Motors Corp., "E"................................. 111,000 5,772,000
Micro Systems, Inc.* ..................................... 156,000 7,683,000
Oracle Systems Corp.*..................................... 270,200 11,449,725
Sybase, Inc.*............................................. 367,700 13,237,200
System Software Associates, Inc. ......................... 24,000 522,000
------------
$ 94,158,437
------------
CONSUMER GOODS AND SERVICES -- 6.2%
Philip Morris Cos., Inc. ................................. 242,300 $ 21,928,150
Service Corp. International .............................. 46,400 2,041,600
Tyco International Ltd. .................................. 704,000 25,080,000
------------
$ 49,049,750
------------
DEFENSE ELECTRONICS -- 1.1%
Loral Corp. .............................................. 257,300 $ 9,101,987
------------
ELECTRONICS -- 5.2%
Altera Corp.*............................................. 20,000 $ 995,000
Analog Devices, Inc. ..................................... 116,400 4,117,650
ESS Technology, Inc.*..................................... 26,900 618,700
Intel Corp. .............................................. 320,600 18,194,050
LSI Logic Corp.*.......................................... 347,200 11,370,800
National Semiconductor Corp.*............................. 85,300 1,897,925
Xilinx, Inc. ............................................. 143,700 4,382,850
------------
$ 41,576,975
------------
ENTERTAINMENT -- 4.0%
Argosy Gaming Corp.*...................................... 71,300 $ 543,662
Harrah's Entertainment, Inc. ............................. 810,300 19,649,775
Infinity Broadcasting Corp., "A".......................... 135,000 5,028,750
Mirage Resorts, Inc.*..................................... 199,000 6,865,500
National Gaming Corp.*.................................... 12,200 144,875
------------
$ 32,232,562
------------
FINANCIAL INSTITUTIONS -- 4.1%
Federal Home Loan Mortgage Corp. ......................... 164,500 $ 13,735,750
Financial Federal Corp.*.................................. 106,800 2,389,650
Finova Group, Inc. ....................................... 108,200 5,220,650
Schwab (Charles) Corp. ................................... 554,700 11,163,338
------------
$ 32,509,388
------------
FOOD AND BEVERAGE PRODUCTS -- 2.1%
General Mills, Inc. ...................................... 135,000 $ 7,796,250
Universal Foods Corp. .................................... 213,400 8,562,675
------------
$ 16,358,925
------------
</TABLE>
17
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
FOREST AND PAPER PRODUCTS -- 1.0%
Kimberly Clark Corp. ..................................... 98,100 $ 8,117,775
------------
INSURANCE -- 1.2%
Amerin Corp.*............................................. 122,000 $ 3,263,500
LaSalle Re Holdings Ltd.* ................................ 62,100 1,420,538
Prudential Reinsurance Holdings, Inc. .................... 223,500 5,224,313
------------
$ 9,908,351
------------
MACHINERY -- 0.2%
IDEX Corp. ............................................... 37,000 $ 1,507,750
------------
MEDICAL AND HEALTH PRODUCTS -- 1.5%
Johnson & Johnson......................................... 118,700 $ 10,163,688
Sofamor/Danek Group, Inc.*................................ 71,300 2,023,137
------------
$ 12,186,825
------------
MEDICAL AND HEALTH TECHNOLOGY AND
SERVICES -- 6.8%
Community Health Systems*................................. 49,200 $ 1,752,750
Foundation Health Corp.*.................................. 158,700 6,824,100
Genesis Health Ventures, Inc.*............................ 119,300 4,354,450
Health Care & Retirement Corp.*........................... 130,300 4,560,500
Henry Schein, Inc.* ...................................... 6,500 191,750
Living Centers of America*................................ 115,900 4,056,500
Manor Care, Inc. ......................................... 231,500 8,102,500
United Healthcare Corp. .................................. 369,200 24,182,600
------------
$ 54,025,150
------------
METALS AND MINERALS -- 3.4%
Allegheny Ludlum.......................................... 222,700 $ 4,119,950
J & L Specialty Steel..................................... 164,000 3,075,000
Minerals Technologies, Inc. .............................. 85,900 3,135,350
Nucor Corp. .............................................. 191,300 10,928,013
Phelps Dodge Corp. ....................................... 91,000 5,664,750
------------
$ 26,923,063
------------
OILS -- 1.6%
Enron Oil & Gas........................................... 93,400 $ 2,241,600
Mobil Corp. .............................................. 85,300 9,553,600
Union Pacific Resources Group, Inc. ...................... 32,900 834,837
------------
$ 12,630,037
------------
PHOTOGRAPHIC PRODUCTS -- 1.0%
Eastman Kodak Co.......................................... 118,600 $ 7,946,200
------------
PRINTING AND PUBLISHING -- 0.7%
Reuters Holdings PLC, ADR................................. 105,600 $ 5,821,200
------------
RAILROADS -- 1.2%
Wisconsin Central Transportation Corp.*................... 150,500 $ 9,895,375
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
RESTAURANTS AND LODGING -- 4.6%
FelCor Suite Hotels, Inc. ............................... 71,900 $ 1,995,225
HFS, Inc.* .............................................. 207,600 16,971,300
Promus Hotel Corp.*...................................... 578,050 12,861,613
Renaissance Hotel Group* ................................ 181,700 4,633,350
------------
$ 36,461,488
------------
STORES -- 5.6%
Circuit City Stores, Inc. ............................... 219,800 $ 6,071,975
Corporate Express, Inc. ................................. 92,800 2,795,600
Duty Free International, Inc. ........................... 43,500 696,000
Federated Department Stores, Inc.*....................... 393,300 10,815,750
Intelligent Electronics, Inc. ........................... 353,100 2,118,600
Micro Warehouse, Inc. ................................... 101,000 4,368,250
Office Depot, Inc.*...................................... 559,100 11,042,225
Officemax, Inc. ......................................... 309,600 6,927,300
------------
$ 44,835,700
------------
TELECOMMUNICATIONS -- 5.6%
3Com Corp. .............................................. 208,440 $ 9,718,515
Cabletron Systems, Inc. ................................. 123,000 9,963,000
Novell, Inc. ............................................ 431,900 6,154,575
Tel-Save Holdings, Inc.* ................................ 103,000 1,429,125
Tellabs, Inc.*........................................... 192,200 7,111,400
U.S. Robotics Corp. ..................................... 49,700 4,361,175
WorldCom, Inc............................................ 174,700 6,158,175
------------
$ 44,895,965
------------
UTILITIES -- TELEPHONE -- 0.2%
MCI Communications Corp. ................................ 48,300 $ 1,261,837
------------
Total U.S. Stocks
(Identified Cost, $602,276,383).................................. $737,407,252
------------
FOREIGN STOCKS -- 4.2%
CANADA -- 0.3%
Canadian National Railway Co.* .......................... 13,800 $ 207,000
Potash Corp. of Saskatchewan, Inc. (Precious Metals)..... 26,000 1,842,750
------------
$ 2,049,750
------------
HONG KONG -- 0.4%
Peregrine Investment Holdings (Finance).................. 2,520,000 $ 3,259,183
------------
ITALY -- 1.3%
Telecom Italia (Utilities -- Telephone)*................. 8,741,600 $ 10,202,141
------------
NEW ZEALAND -- 0.3%
Sky City Ltd.* (Entertainment)........................... 125,000 $ 2,590,800
------------
</TABLE>
18
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
SWEDEN -- 1.4%
Astra AB, "B" (Pharmaceuticals)................. 265,900 $ 10,524,908
TV 4 AB
(Telecommunications)........................... 19,700 340,964
------------
$ 10,865,872
------------
UNITED KINGDOM -- 0.5%
PowerGen PLC (Utilities --Electric)............. 1,156,200 $ 3,966,953
------------
Total Foreign Stocks
(Identified Cost, $26,962,985)................................. $ 32,934,699
------------
Total Common Stocks
(Identified Cost, $629,239,368)................................ $770,341,951
------------
CONVERTIBLE BOND -- 0.1%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
COMPUTER SOFTWARE -- SYSTEMS
Spectrum Holobyte, Inc., 6.5s, 2002##
(Identified Cost, $940,000).................... $ 940 $ 686,200
------------
SHORT-TERM OBLIGATIONS -- 3.3%
Federal National Mortgage Assn., due 1/11/96.... $6,270 $ 6,260,508
Ford Motor Credit Corp., due 1/02/96 - 1/04/96.. 20,410 20,402,951
------------
Total Short-Term Obligations,
at Amortized Cost.............................................. $ 26,663,459
------------
Total Investments
(Identified Cost, $656,842,827)................................ $797,691,610
OTHER ASSETS,
LESS LIABILITIES -- (0.1)%...................................... (589,918)
------------
Net Assets -- 100.0%............................................ $797,101,692
============
</TABLE>
See portfolio footnotes and notes to financial statements
PORTFOLIO OF INVESTMENTS -- December
31, 1995
CONSERVATIVE GROWTH SERIES
COMMON STOCKS -- 92.0%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 88.9%
AEROSPACE -- 5.8%
Allied Signal, Inc. ...................................... 62,000 $ 2,945,000
Boeing Co. ............................................... 6,500 509,437
General Dynamics Corp. ................................... 13,400 792,275
Lockheed Martin Corp. .................................... 49,048 3,874,792
McDonnell-Douglas Co. .................................... 52,800 4,857,600
Raytheon Co. ............................................. 95,600 4,517,100
------------
$ 17,496,204
------------
AGRICULTURAL PRODUCTS -- 1.2%
AGCO Corp. ............................................... 12,900 $ 657,900
Case Corp. ............................................... 19,400 887,550
Deere & Co., Inc. ........................................ 62,600 2,206,650
------------
$ 3,752,100
------------
APPAREL AND TEXTILES -- 2.0%
Intimate Brands, Inc.,"A"................................. 13,500 $ 202,500
Nike, Inc., "B"........................................... 59,700 4,156,613
VF Corp. ................................................. 31,000 1,635,250
------------
$ 5,994,363
------------
AUTOMOTIVE -- 0.5%
Eaton Corp. .............................................. 15,500 $ 831,187
General Motors Corp. ..................................... 12,900 682,087
------------
$ 1,513,274
------------
BANKS AND CREDIT COMPANIES -- 7.8%
Chase Manhattan Corp. .................................... 9,700 $ 588,062
Comerica, Inc. ........................................... 5,000 200,625
First Bank System, Inc. .................................. 117,500 5,830,937
First Chicago NBD Corp. .................................. 78,800 3,112,600
Firstar Corp. ............................................ 40,000 1,585,000
National City Corp. ...................................... 23,200 768,500
Northern Trust Co. ....................................... 38,700 2,167,200
Norwest Corp. ............................................ 167,000 5,511,000
SunTrust Banks, Inc. ..................................... 32,300 2,212,550
U.S. Bancorp.............................................. 41,300 1,388,713
------------
$ 23,365,187
------------
BIOTECHNOLOGY -- 0.3%
Guidant Corp. ............................................ 21,624 $ 913,614
------------
BUSINESS MACHINES -- 0.8%
Hewlett-Packard Co. ...................................... 12,900 $ 1,080,375
International Business Machines Corp. .................... 13,800 1,266,150
Xerox Corp. .............................................. 1,300 178,100
------------
$ 2,524,625
------------
</TABLE>
19
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
BUSINESS SERVICES -- 0.1%
Alco Standard Corp. ...................................... 5,900 $ 269,187
DST Systems, Inc. ........................................ 5,000 142,500
------------
$ 411,687
------------
CELLULAR TELEPHONES -- 0.1%
AirTouch Communications, Inc. ............................ 7,700 $ 217,525
------------
CHEMICALS -- 1.1%
du Pont (E. I.) de Nemours & Co. ......................... 23,100 $ 1,614,112
Grace (W.R.) & Co. ....................................... 16,100 951,912
Monsanto Corp. ........................................... 6,500 796,250
------------
$ 3,362,274
------------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 0.6%
First Data Corp. ......................................... 2,600 $ 173,875
Microsoft Corp.* ......................................... 19,400 1,702,350
------------
$ 1,876,225
------------
COMPUTER SOFTWARE -- SYSTEMS -- 2.7%
Compaq Computer Corp.* ................................... 19,400 $ 931,200
Computer Associates International, Inc. .................. 63,200 3,594,500
General Motors Corp., "E"................................. 50,800 2,641,600
Oracle Systems Corp.* .................................... 22,700 961,913
------------
$ 8,129,213
------------
CONSUMER GOODS AND SERVICES -- 8.1%
American Standard Cos., Inc.* ............................ 19,400 $ 543,200
Colgate-Palmolive Co. .................................... 40,000 2,810,000
Gillette Co. ............................................. 112,000 5,838,000
Philip Morris Cos., Inc. ................................. 87,700 7,936,850
Procter & Gamble Co. ..................................... 48,300 4,008,900
RJR Nabisco Holdings*..................................... 23,260 718,153
Seagrams Ltd. ............................................ 11,200 387,800
Service Corp. International............................... 20,100 884,400
Tyco International Ltd. .................................. 34,100 1,214,813
------------
$ 24,342,116
------------
CONTAINERS -- 0.3%
Corning, Inc. ............................................ 25,300 $ 809,600
------------
DEFENSE ELECTRONICS -- 1.6%
Loral Corp. .............................................. 139,000 $ 4,917,125
------------
ELECTRICAL EQUIPMENT -- 3.3%
General Electric Co. ..................................... 85,200 $ 6,134,400
Honeywell, Inc. .......................................... 78,800 3,831,650
------------
$ 9,966,050
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
ELECTRONICS -- 1.0%
Intel Corp. ............................................... 47,800 $ 2,712,650
LSI Logic Corp. ........................................... 4,900 160,475
National Semiconductor Corp.*.............................. 12,900 287,025
------------
$ 3,160,150
------------
ENTERTAINMENT -- 0.8%
Comcast Corp., "A"......................................... 7,700 $ 140,044
Disney (Walt) Co. ......................................... 34,200 2,017,800
Harrah's Entertainment, Inc.*.............................. 4,600 111,550
------------
$ 2,269,394
------------
FINANCIAL INSTITUTIONS -- 3.3%
Beneficial Corp. .......................................... 72,500 $ 3,380,312
Federal Home Loan Mortgage Corp. .......................... 19,000 1,586,500
Integra Financial Corp. ................................... 39,100 2,463,300
MBNA Corp. ................................................ 6,000 221,250
Meridian Bancorp, Inc. .................................... 3,900 181,350
State Street Boston Corp. ................................. 47,800 2,151,000
------------
$ 9,983,712
------------
FOOD AND BEVERAGE PRODUCTS -- 7.9%
Anheuser-Busch Cos., Inc. ................................. 20,700 $ 1,384,312
Archer-Daniels-Midland Co. ................................ 20 360
CPC International, Inc. ................................... 49,100 3,369,487
Campbell Soup Co........................................... 60,900 3,654,000
General Mills, Inc. ....................................... 35,300 2,038,575
Hershey Foods Corp. ....................................... 11,100 721,500
Kellogg Co., Inc. ......................................... 19,400 1,498,650
Nabisco Holdings, "A"...................................... 99,200 3,236,400
PepsiCo, Inc. ............................................. 74,400 4,157,100
Ralston-Ralston Purina Group............................... 61,000 3,804,875
------------
$ 23,865,259
------------
FOREST AND PAPER PRODUCTS -- 2.0%
Kimberly Clark Corp. ...................................... 71,448 $ 5,912,322
------------
INSURANCE -- 6.9%
AFLAC, Inc. ............................................... 35,900 $ 1,557,162
American Re Corp. ......................................... 33,200 1,357,050
CIGNA Corp. ............................................... 27,600 2,849,700
MBIA, Inc. ................................................ 45,600 3,420,000
Progressive Corp. ......................................... 50,100 2,448,638
Prudential Reinsurance Holdings, Inc. ..................... 7,700 179,988
St. Paul Cos., Inc. ....................................... 53,300 2,964,813
Torchmark Corp. ........................................... 68,500 3,099,625
Transamerica Corp. ........................................ 41,900 3,053,463
------------
$ 20,930,439
------------
</TABLE>
20
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
MACHINERY -- 1.5%
Ingersoll Rand Co. ....................................... 56,800 $ 1,995,100
York International Corp. ................................. 54,200 2,547,400
------------
$ 4,542,500
------------
MEDICAL AND HEALTH PRODUCTS -- 4.8%
American Home Products Corp. ............................. 15,300 $ 1,484,100
Baxter International, Inc. ............................... 32,300 1,352,562
Johnson & Johnson......................................... 49,100 4,204,188
Lilly (Eli) & Co. ........................................ 17,136 963,900
Pfizer, Inc. ............................................. 43,900 2,765,700
SmithKline Beecham PLC, ADR............................... 3,200 177,600
Warner-Lambert Co. ....................................... 36,200 3,515,925
------------
$ 14,463,975
------------
MEDICAL AND HEALTH TECHNOLOGY
AND SERVICES -- 1.8%
Manor Care, Inc. ......................................... 5,200 $ 182,000
Medtronic, Inc. .......................................... 19,400 1,083,975
Pacificare Health Systems, Inc., "B"...................... 29,800 2,592,600
United Healthcare Corp. .................................. 24,200 1,585,100
------------
$ 5,443,675
------------
METALS AND MINERALS -- 0.6%
Phelps Dodge Corp. ....................................... 31,000 $ 1,929,750
------------
OIL SERVICES -- 0.3%
Schlumberger Ltd. ........................................ 12,100 $ 837,925
------------
OILS -- 6.3%
Amoco Corp. .............................................. 55,500 $ 3,989,062
British Petroleum Co. PLC, ADR............................ 2,000 204,250
Chevron Corp. ............................................ 15,500 813,750
Exxon Corp. .............................................. 41,600 3,333,200
Mobil Corp. .............................................. 57,500 6,440,000
Royal Dutch Petroleum Co. ................................ 17,000 2,399,125
USX-Marathon Group........................................ 77,500 1,511,250
Union Pacific Resources Group, Inc. ...................... 12,100 307,038
------------
$ 18,997,675
------------
PHOTOGRAPHIC PRODUCTS -- 0.8%
Eastman Kodak Co. ........................................ 35,700 $ 2,391,900
------------
POLLUTION CONTROL -- 0.1%
WMX Technologies, Inc. ................................... 6,000 $ 179,250
------------
PRINTING AND PUBLISHING -- 0.6%
Tribune Co., Inc. ........................................ 28,400 $ 1,735,950
------------
RAILROADS -- 4.2%
CSX Corp. ................................................ 102,200 $ 4,662,875
Conrail, Inc. ............................................ 49,100 3,437,000
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
RAILROADS -- continued
Illinois Central Corp. .................................... 74,900 $ 2,874,287
Norfolk Southern........................................... 19,400 1,539,875
------------
$ 12,514,037
------------
RESTAURANTS AND LODGING
Mandarin Oriental International Ltd. ...................... 12,200 $ 14,762
Promus Hotel Corp.*........................................ 2,300 51,175
------------
$ 65,937
------------
SPECIAL PRODUCTS AND SERVICES -- 0.3%
Stanley Works.............................................. 19,400 $ 999,100
------------
STORES -- 4.0%
Circuit City Stores, Inc. ................................. 67,200 $ 1,856,400
Dayton-Hudson Corp. ....................................... 26,500 1,987,500
Federated Department Stores, Inc.*......................... 6,200 170,500
Home Depot, Inc. .......................................... 15,500 742,062
Lowes Cos., Inc. .......................................... 20,900 700,150
May Department Stores Cos. ................................ 63,900 2,699,775
Penney (J.C.), Inc. ....................................... 41,300 1,966,913
Sears, Roebuck & Co. ...................................... 19,400 756,600
Wal-Mart Stores, Inc. ..................................... 58,100 1,299,988
------------
$ 12,179,888
------------
TELECOMMUNICATIONS
Cox Communications, Inc., "A".............................. 39 $ 761
------------
UTILITIES -- ELECTRIC -- 1.2%
CMS Energy Corp. .......................................... 5,400 $ 161,325
Cinergy Corp. ............................................. 26,400 808,500
DPL, Inc. ................................................. 51,100 1,264,725
Illinova Corp. ............................................ 5,900 177,000
PECO Energy Co............................................. 38,700 1,165,838
Pinnacle West Capital Corp. ............................... 6,500 186,875
------------
$ 3,764,263
------------
UTILITIES -- GAS -- 0.6%
Pacific Enterprises........................................ 62,000 $ 1,751,500
------------
UTILITIES -- TELEPHONE -- 3.6%
AT&T Corp. ................................................ 34,900 $ 2,259,775
Ameritech Corp. ........................................... 26,300 1,551,700
BellSouth Corp. ........................................... 31,000 1,348,500
GTE Corp. ................................................. 64,200 2,824,800
Pacific Telesis Group...................................... 25,800 867,525
SBC Communications, Inc. .................................. 35,500 2,041,250
------------
$ 10,893,550
------------
Total U.S. Stocks
(Identified Cost, $218,525,684)................................. $268,404,094
------------
</TABLE>
21
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- 3.1%
DENMARK -- 0.4%
Tele Danmark, ADR
(Utilities -- Telephone)......................... 41,300 $ 1,140,913
------------
ITALY -- 0.1%
Telecom Italia (Utilities --
Telephone)....................................... 161,500 $ 284,431
------------
JAPAN -- 0.6%
Bank of Tokyo (Finance)........................... 46,000 $ 804,989
Takeda Chemical Industries (Pharmaceuticals)...... 66,000 1,084,792
------------
$ 1,889,781
------------
NETHERLANDS -- 0.2%
IHC Caland NV
(Transportation -- Marine)....................... 18,500 $ 621,655
------------
NEW ZEALAND -- 0.2%
Lion Nathan Ltd. (Beverages)...................... 258,300 $ 615,456
------------
SINGAPORE -- 0.1%
Singapore Press Holdings Ltd. (Publishing)........ 19,000 $ 335,974
------------
SWEDEN -- 1.0%
Astra AB, "B", Free Shares (Pharmaceuticals)...... 76,700 $ 3,035,955
------------
UNITED KINGDOM -- 0.5%
PowerGen PLC
(Utilities -- Electric).......................... 131,877 $ 1,089,212
PowerGen PLC, ADR (Utilities -- Electric)......... 169,500 581,559
------------
$ 1,670,771
------------
Total Foreign Stocks
(Identified Cost, $8,366,201).................................... $ 9,594,936
------------
Total Common Stocks
(Identified Cost, $226,891,885).................................. $277,999,030
------------
CONVERTIBLE PREFERRED STOCK -- 0.1%
OILS -- 0.1%
Atlantic Richfield Co.
(Identified Cost, $388,763)...................... 15,500 $ 364,250
------------
CONVERTIBLE BONDS -- 1.1%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
CHEMICALS -- 0.3%
Sandoz Capital BVI Ltd.,
2s, 2002##....................................... $ 890 $ 841,050
------------
INSURANCE -- 0.3%
Equitable Cos., Inc.,
6.125s, 2024..................................... $ 700 $ 798,875
------------
CONVERTIBLE BONDS -- continued
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
MEDICAL AND HEALTH TECHNOLOGY AND
SERVICES -- 0.4%
Roche Holdings, Inc.,
0s, 2010*##..................................... $2,530 $ 1,113,200
------------
STORES -- 0.1%
Costco Wholesale Corp.,
5.75s, 2002..................................... $ 250 $ 237,500
------------
Total Convertible Bonds
(Identified Cost, $2,712,599)................................... $ 2,990,625
------------
SHORT-TERM OBLIGATIONS -- 6.5%
Federal Home Loan Mortgage Corp., due 1/02/96 -
1/05/96........................................ $7,000 $ 6,996,570
Federal National Mortgage Assn., due 1/03/96..... 6,000 5,998,150
Transamerica Corp.,
due 1/02/96..................................... 6,780 6,778,913
------------
Total Short-Term Obligations,
at Amortized Cost............................................... $ 19,773,633
------------
Total Investments
(Identified Cost, $249,766,880)................................. $301,127,538
OTHER ASSETS,
LESS LIABILITIES -- 0.3%......................................... 896,074
------------
Net Assets -- 100.0%............................................. $302,023,612
============
</TABLE>
See portfolio footnotes and notes to financial statements
22
<PAGE>
PORTFOLIO OF INVESTMENTS -- December 31, 1995
EMERGING GROWTH SERIES
COMMON STOCKS -- 87.6%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
AIRLINES
Eagle USA Airfreight, Inc. ................................. 300 $ 7,875
Midwest Express Holdings, Inc. ............................. 200 5,550
-----------
$ 13,425
-----------
APPAREL AND TEXTILES -- 1.2%
Eastbay, Inc. .............................................. 900 $ 17,775
Fila Holdings, ADR.......................................... 15,100 687,050
Gucci Group................................................. 500 19,437
Nine West Group, Inc.*...................................... 2,800 105,000
-----------
$ 829,262
-----------
AUTOMOTIVE
Safety Components International, Inc.*...................... 400 $ 6,300
-----------
BIOTECHNOLOGY -- 0.6%
Guidant Corp................................................ 10,000 $ 422,500
Myriad Genetics, Inc. ...................................... 400 13,050
-----------
$ 435,550
-----------
BUSINESS MACHINES -- 0.1%
Affiliated Computer Co. .................................... 900 $ 33,750
-----------
BUSINESS SERVICES -- 11.1%
ADT Limited................................................. 46,300 $ 694,500
APAC Teleservices, Inc. .................................... 600 20,025
Accustaff, Inc. ............................................ 600 26,400
BISYS Group, Inc.*.......................................... 2,300 70,725
CUC International, Inc.*.................................... 38,050 1,298,456
Ceridian Corp. ............................................. 24,000 990,000
Computer Sciences Corp.*.................................... 7,500 526,875
Corestaff, Inc. ............................................ 300 10,950
DST Systems, Inc. .......................................... 22,000 627,000
Franklin Quest Co.*......................................... 30,000 585,000
Global DirectMail Corp.*.................................... 14,600 401,500
Interim Services, Inc.*..................................... 400 13,900
Learning Tree International, Inc. .......................... 41,800 653,125
Mail-Well, Inc. ............................................ 4,900 60,025
Paychex, Inc. .............................................. 4,100 204,488
Personnel Group of America, Inc. ........................... 26,200 383,175
Reynolds & Reynolds Co. .................................... 4,800 186,600
Romac International, Inc. .................................. 100 2,350
Rural/Metro Corp.*.......................................... 1,000 22,625
SOS Staffing Services, Inc.*................................ 400 3,750
SPS Transaction Services, Inc.*............................. 14,300 423,638
Technology Solutions Co. ................................... 11,100 216,450
Transaction Systems Architects, Inc.*....................... 700 23,625
-----------
$ 7,445,182
-----------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 3.6%
Autodesk, Inc. ............................................. 42,385 $ 1,451,686
CBT Group Publishing PLC, ADR*.............................. 900 47,700
Electronic Arts, Inc. ...................................... 2,300 60,087
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- continued
First Data Corp. ........................................... 7,000 $ 468,125
Hummingbird Communications Ltd.*............................ 4,200 170,100
MapInfo Corp.*.............................................. 2,000 40,000
Spectrum Holobyte, Inc. .................................... 7,500 48,750
Symantec Corp.*............................................. 4,300 99,975
Vision Corp.*............................................... 400 11,300
-----------
$ 2,397,723
-----------
COMPUTER SOFTWARE -- SYSTEMS -- 19.4%
Adobe Systems, Inc. ........................................ 16,300 $ 1,010,600
Asea International, Inc.*................................... 100 2,287
BDM International, Inc.*.................................... 300 8,700
BMC Software, Inc.*......................................... 40,300 1,722,825
Baan Co.*................................................... 100 4,525
Black Box Corp.*............................................ 3,000 49,125
Cadence Design Systems, Inc.*............................... 49,400 2,074,800
Checkfree Corp.*............................................ 500 10,750
Citrix Systems, Inc.*....................................... 300 9,750
Computer Associates International, Inc. .................... 21,000 1,194,375
Computer Management Sciences, Inc.*......................... 200 3,550
Compuware Corp.*............................................ 23,000 425,500
Datalogix International, Inc.*.............................. 100 1,262
DataWorks Corp.*............................................ 200 2,525
Discreet Logic, Inc.*....................................... 200 5,000
Enterprise Systems, Inc.*................................... 200 6,100
HNC Software, Inc.*......................................... 100 4,775
Harbinger Corp.*............................................ 200 4,600
Informix Corp. ............................................. 15,000 450,000
Legato Systems, Inc.*....................................... 100 3,100
Network Appliance, Inc.*.................................... 400 16,050
Objective Systems Integrators, Inc.*........................ 700 38,325
Oracle Systems Corp.*....................................... 70,500 2,987,438
PC Docs Group International, Inc.*.......................... 22,500 402,188
Premenos Technology......................................... 400 10,550
Softquad International, Inc.*............................... 4,000 21,253
Summit Medical Systems, Inc.*............................... 200 4,300
Sybase, Inc.*............................................... 37,100 1,335,600
System Software Associates, Inc. ........................... 54,900 1,194,075
Vantive Corp.*.............................................. 100 2,250
Verity, Inc.*............................................... 400 17,700
-----------
$13,023,878
-----------
CONSUMER GOODS AND SERVICES -- 1.9%
Blyth Industries, Inc. ..................................... 1,800 $ 53,100
Coleman Co., Inc.*.......................................... 3,000 105,375
Department 56, Inc.*........................................ 10,000 383,750
META Group, Inc.*........................................... 200 6,125
Service Corp. International................................. 8,700 382,800
</TABLE>
23
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
CONSUMER GOODS AND SERVICES -- continued
Sola International, Inc. ................................... 1,000 $ 25,250
Tyco International Ltd. .................................... 9,700 345,562
-----------
$ 1,301,962
-----------
ELECTRICAL EQUIPMENT
Chicago Miniature Lamp, Inc.*............................... 100 $ 2,300
-----------
ELECTRONICS -- 2.2%
Ade Corp.*.................................................. 700 $ 10,150
Cyberoptics Corp.*.......................................... 600 23,850
Euphonix, Inc.*............................................. 8,000 68,000
LSI Logic Corp. ............................................ 23,700 776,175
Linear Technology Corp. .................................... 11,600 455,300
MEMC Electronic Materials, Inc.*............................ 300 9,788
OnTrak Systems, Inc.*....................................... 100 1,450
Xilinx, Inc. ............................................... 4,000 122,000
-----------
$ 1,466,713
-----------
ENTERTAINMENT -- 3.0%
Aztar Corp. ................................................ 1,200 $ 9,600
Casino America, Inc.*....................................... 1,700 10,413
Grand Casinos, Inc.*........................................ 26,250 610,313
Harrah's Entertainment, Inc.*............................... 42,400 1,028,200
Infinity Broadcasting Corp., "A"*........................... 10,000 372,500
Wireless One, Inc.*......................................... 600 9,900
-----------
$ 2,040,926
-----------
FINANCIAL INSTITUTIONS -- 0.1%
Allmerica Financial Corp. .................................. 800 $ 21,600
Donaldson, Lufkin & Jenrette, Inc. ......................... 700 21,875
Union Acceptance Corp.*..................................... 700 9,800
-----------
$ 53,275
-----------
INSURANCE -- 1.7%
Amerin Corp.*............................................... 8,400 $ 224,700
Compdent Corp.*............................................. 20,100 834,150
LaSalle Re Holdings Ltd.*................................... 1,200 27,450
Prudential Reinsurance Holdings, Inc. ...................... 2,300 53,763
Renaissance Re Holdings Ltd. ............................... 300 9,112
-----------
$ 1,149,175
-----------
MACHINERY
Hardinge, Inc. ............................................. 100 $ 2,600
-----------
MEDICAL AND HEALTH PRODUCTS -- 1.3%
Biochem Pharma, Inc.*....................................... 9,700 $ 389,212
ICU Medical, Inc.*.......................................... 400 6,800
Medisense, Inc. ............................................ 5,000 158,125
Neuromedical Systems, Inc.*................................. 11,600 233,450
Orthofix International N.V.*................................ 8,200 60,475
Parexel International Corp.*................................ 300 9,975
-----------
$ 858,037
-----------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
MEDICAL AND HEALTH TECHNOLOGY
AND SERVICES -- 16.7%
AHI Healthcare Systems, Inc.*............................... 600 $ 3,450
American Medical Response*.................................. 2,000 65,000
American Oncology Resources*................................ 100 4,863
Community Care of America, Inc.*............................ 800 8,400
Community Health Systems, Inc.*............................. 17,800 634,125
Foundation Health Corp.*.................................... 16,300 700,900
Health Management Assoc., Inc. ............................. 9,900 258,637
Healthplan Services Corp.*.................................. 1,000 25,000
Healthsource, Inc.*......................................... 22,800 820,800
Healthsouth Corp.*.......................................... 11,500 334,937
Henry Schein, Inc.*......................................... 400 11,800
Horizon/CMS Healthcare Corp.*............................... 9,300 234,825
IDX Systems Corp.*.......................................... 13,000 451,750
Lincare Holdings, Inc.*..................................... 10,300 257,500
Mid-Atlantic Medical Services
Inc.*...................................................... 51,500 1,248,875
Norland Medical Systems, Inc.*.............................. 100 2,325
Oxford Health Plans, Inc.*.................................. 2,500 184,688
Pacificare Health Systems, Inc.
"A"........................................................ 14,700 1,278,900
Pacificare Health Systems, Inc.,
"B"........................................................ 7,200 626,400
Pediatric Services of America,
Inc.*...................................................... 700 11,025
Pediatrix Medical Group, Inc.*.............................. 500 13,750
Physicians Resource Group, Inc. ............................ 600 11,925
Renal Treatment Centers, Inc.*.............................. 1,900 83,600
St. Jude Medical, Inc.*..................................... 8,000 344,000
Sterling Healthcare Group*.................................. 1,700 18,063
Surgical Care Affiliates, Inc. ............................. 11,500 391,000
Total Renal Care Holdings, Inc.*............................ 500 14,750
United Dental Care, Inc.*................................... 300 12,375
United Healthcare Corp. .................................... 48,500 3,176,750
-----------
$11,230,413
-----------
OILS -- 0.5%
Union Pacific Resources Group,
Inc........................................................ 12,500 $ 317,187
-----------
POLLUTION CONTROL -- 0.4%
Sanifill, Inc.*............................................. 7,100 $ 236,963
-----------
REAL ESTATE -- 0.3%
NHP, Inc. .................................................. 12,900 $ 238,650
-----------
RESTAURANTS AND LODGING -- 8.1%
Apple South, Inc............................................ 100 $ 2,150
Applebee's International, Inc............................... 30,800 700,700
Brinker International, Inc.*................................ 8,500 128,562
Bristol Hotel Co.*.......................................... 800 19,500
Buffets, Inc.*.............................................. 15,800 217,250
Extended Stay America, Inc.*................................ 500 13,750
HFS, Inc.*.................................................. 41,300 3,376,275
IHOP Corp.*................................................. 15,800 410,800
Papa John's International, Inc.............................. 300 12,356
Promus Hotel Corp.*......................................... 10,350 230,288
Renaissance Hotel Group N.V................................. 12,500 318,750
</TABLE>
24
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
RESTAURANTS AND LODGING -- continued
Sonic Corp. ................................................ 800 $ 15,200
Studio Plus Hotels, Inc.*................................... 100 2,575
-----------
$ 5,448,156
-----------
SPECIAL PRODUCTS AND SERVICES
Central Parking Corp........................................ 600 $ 17,250
-----------
STEEL -- 0.1%
Carbide/Graphite Group, Inc.*............................... 500 $ 7,187
Citation Corp.*............................................. 2,400 28,800
-----------
$ 35,987
-----------
STORES -- 6.3%
BT Office Products International, Inc.*..................... 4,900 $ 78,400
Boise Cascade Office Products Corp.*........................ 2,500 106,875
Consolidated Stores Corp.*.................................. 13,000 282,750
Corporate Express, Inc...................................... 8,900 268,113
De Rigo S.p.A., ADR*........................................ 1,600 36,400
Dollar Tree Stores, Inc.*................................... 2,800 69,300
Duty Free International, Inc. .............................. 1,700 27,200
General Nutrition Cos., Inc................................. 13,800 317,400
Hollywood Entertainment Corp.*.............................. 13,800 115,575
MSC Industrial Direct Co., Inc.*............................ 600 16,500
Micro Warehouse, Inc.*...................................... 28,700 1,241,275
Movie Gallery, Inc.......................................... 5,000 152,500
Office Depot, Inc.*......................................... 58,000 1,145,500
Officemax, Inc. ............................................ 14,700 328,913
Renters Choice, Inc.*....................................... 800 11,000
US Office Products Co.*..................................... 300 6,825
-----------
$ 4,204,526
-----------
TELECOMMUNICATIONS -- 8.0%
Bay Networks, Inc.*......................................... 23,200 $ 954,100
Cabletron Systems, Inc.*.................................... 22,600 1,830,600
ECI Telecommunications Ltd. ................................ 8,600 196,187
Korea Mobile Telecommunications Corp., GDR##................ 7,500 331,875
MIDCOM Communications, Inc.*................................ 500 9,125
MobileMedia Corp., "A"*..................................... 400 8,900
Sitel Corp.*................................................ 100 3,063
Tel-Save Holdings, Inc.*.................................... 13,300 184,537
Tellabs, Inc.*.............................................. 4,800 177,600
Teltrend, Inc.*............................................. 1,000 46,750
U.S. Robotics Corp.*........................................ 5,700 500,175
VideoServer, Inc.*.......................................... 100 3,150
Westell Technologies, Inc., "A"*............................ 600 15,075
WorldCom, Inc.*............................................. 32,000 1,128,000
-----------
$ 5,389,137
-----------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
UTILITIES -- TELEPHONE -- 1.0%
Frontier Corp.................................... 13,000 $ 390,000
MCI Communications Corp.......................... 12,000 313,500
-----------
$ 703,500
-----------
Total Common Stocks
(Identified Cost, $53,300,052).................................. $58,881,827
-----------
SHORT-TERM OBLIGATION -- 15.4%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Home Loan Mortgage Corp., due 1/02/96 -
1/22/96, at Amortized Cost..................... $10,400 $10,387,167
-----------
Total Investments
(Identified Cost, $63,687,219).................................. $69,268,994
OTHER ASSETS,
LESS LIABILITIES -- (3.0)%....................................... (2,014,207)
-----------
Net Assets -- 100.0%............................................. $67,254,787
===========
</TABLE>
See portfolio footnotes and notes to financial statements
25
<PAGE>
PORTFOLIO OF INVESTMENTS -- December 31, 1995
MFS/FOREIGN & COLONIAL INTERNATIONAL GROWTH AND INCOME SERIES
FOREIGN STOCKS -- 57.4%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
AUSTRALIA -- 1.2%
Broken Hill Property (Real Estate)........................... 2,900 $ 40,900
Mayne Nickless Ltd. (Commercial Services).................... 5,000 22,269
Westpac Bank Corp. (Finance)................................. 5,600 24,775
----------
$ 87,944
----------
BELGIUM -- 0.6%
Generale de Banque (Finance)*................................ 100 $ 34,561
Solvay et Cie (Chemicals).................................... 20 10,825
----------
$ 45,386
----------
FRANCE -- 3.6%
Accor (Lodging)*............................................. 370 $ 47,839
Credit Local de France (Finance)*............................ 570 45,567
Eaux (Cie Generale) (Construction)*.......................... 460 45,863
Lafarge-Coppee (Building Materials).......................... 700 45,039
Legrand (Electrical Equipment)............................... 320 31,977
TOTAL S.A. (Oils)............................................ 620 41,788
----------
$ 258,073
----------
GERMANY -- 3.0%
BASF AG (Chemicals).......................................... 150 $ 33,362
Bayer AG (Chemicals)*........................................ 150 39,523
Deutsche Bank AG (Finance)*.................................. 320 15,141
Mannesmann AG (Diversified Machinery)........................ 200 63,585
Preussag AG (Metals/Hardware)*............................... 110 30,706
Siemens AG (Electrical Equipment)*........................... 30 16,394
Volkswagen AG (Automotive)*.................................. 50 16,693
----------
$ 215,404
----------
HONG KONG -- 3.0%
Cheung Kong Holdings Ltd.
(Real Estate)............................................... 6,000 $ 36,549
HSBC Holdings PLC (Finance).................................. 2,800 42,369
Hong Kong Electric (Utilities -- Electric)................... 14,500 47,539
New World Development Co.
(Real Estate)............................................... 11,000 47,943
Swire Pacific Air Ltd.
(Transportation -- Air)..................................... 5,000 38,799
----------
$ 213,199
----------
ITALY -- 0.6%
Fiat S.p.A. (Automotive)..................................... 7,000 $ 22,759
Italgas (Utilities -- Gas)*.................................. 3,510 10,682
Telecom Italia (Telecommunications)*......................... 7,450 11,595
----------
$ 45,036
----------
JAPAN -- 24.6%
Asahi Chemical Industry (Chemicals)*......................... 11,000 $ 84,018
Canon, Inc. (Consumer Goods)................................. 4,000 72,319
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
JAPAN -- continued
DDI Corp. (Telecommunications)............................... 8 $ 61,877
Fujisawa Pharmaceuticals (Pharmaceuticals)*.................. 10,000 95,716
Hitachi (Electronics)........................................ 6,000 60,330
Hitachi Zosen Tomiaka (Manufacturing)*....................... 18,000 93,106
Honshu Paper Co. (Forest and Paper Products)*................ 10,000 61,104
Industrial Development Bank of Japan (Finance)*.............. 3,000 90,786
Isetan (Retail)*............................................. 5,000 82,181
Kajima Corp. (Engineering/Construction)*..................... 10,000 98,617
Kyocera Corp. (Electronics).................................. 1,000 74,156
Marubeni Corp. (Distribution/Wholesale)*..................... 15,000 81,069
Matsushita Electric Industries (Electrical Equipment)........ 4,000 64,971
Mitsubishi Estate (Real Estate)*............................. 4,000 49,888
Mitsubishi Heavy Industries (Aerospace/Defense)*............. 9,000 71,613
Mitsubishi Trust & Banking (Finance)......................... 4,000 66,518
NKK Corp. (Steel)*........................................... 27,000 72,570
Nippon Yusen KK (Transportation --Marine)*................... 11,000 63,704
Nomura Securities (Finance)*................................. 4,000 87,015
Omron Tateisi Electric (Electronics)......................... 4,000 92,042
Ricoh Co. (Office/Business Equipment)*....................... 8,000 87,402
Sakura Bank (Finance)*....................................... 8,000 101,324
Tokyo Broadcasting Systems (Broadcasting)*................... 3,000 49,308
----------
$1,761,634
----------
MALAYSIA -- 1.1%
Genting Berhad (Entertainment)+.............................. 3,000 $ 25,054
Malayan Banking Berhad (Finance)*............................ 3,000 25,290
Sime Darby Berhad (Diversified Holding Co.)*................. 11,000 29,249
----------
$ 79,593
----------
NETHERLANDS -- 2.3%
ABN-AMRO Holdings NV (Finance)*.............................. 1,000 $ 45,488
Ahold (Kon) NV (Retail)*..................................... 600 24,455
Akzo Nobel (Chemicals)*...................................... 210 24,253
KNP/BT (Kon) (Retail)........................................ 1,000 25,637
Philips Electronics (Manufacturing)*......................... 630 22,738
Verenigde Nederlandse Uitgeversbedrijven (Publishing)*....... 180 24,675
----------
$ 167,246
----------
SINGAPORE -- 1.5%
City Developments Ltd. (Real Estate)......................... 4,000 $ 29,141
Keppel Corp. (Transportation)*............................... 3,000 26,736
</TABLE>
26
<PAGE>
FOREIGN STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
SINGAPORE -- continued
Overseas-Chinese Banking Corp. Ltd. (Finance)*............... 4,000 $ 50,077
----------
$ 105,954
----------
SPAIN -- 1.6%
Acerinox (Steel)*............................................ 410 $ 41,364
Repsol S.A. (Oils)........................................... 1,290 42,162
Telefonica de Espana (Utilities -- Telephone)................ 2,200 30,389
----------
$ 113,915
----------
SWEDEN -- 1.1%
ASTRA AB, Free Shares, "A" (Pharmaceuticals)*................ 800 $ 31,906
Ericsson LM, "B" (Telecommunications)*....................... 1,180 23,087
Volvo AB, "B" (Automotive)*.................................. 1,280 26,199
----------
$ 81,192
----------
SWITZERLAND -- 3.5%
Alusuisse Lonza (Metals -- Diversified)*..................... 80 $ 63,356
Nestle A.G., Registered Shares (Food and Beverage Products)*. 50 55,281
Roche Holdings, Inc. (Pharmaceuticals)*...................... 8 63,252
Winterthur (Insurance)*...................................... 100 70,704
----------
$ 252,593
----------
UNITED KINGDOM -- 9.7%
Allied-Lyons (Food and Beverage Products).................... 5,200 $ 42,302
BAT Industries (Tobacco)..................................... 3,900 34,330
BTR PLC (Diversified Holdings Co.)........................... 6,020 30,655
Bass (Beverages)............................................. 2,970 33,129
British Gas (Utilities -- Gas)*.............................. 7,400 29,180
British Petroleum (Oil/Gas)*................................. 5,600 46,730
British Telecom (Telecommunications)*........................ 5,400 29,593
Caradon PLC (Building Products)*............................. 13,400 40,670
Dalgety (Food Products)*..................................... 5,450 34,309
General Accident PLC (Insurance)*............................ 3,490 35,245
General Electric (Manufacturing)*............................ 6,250 34,349
Granada Group (Leisure)...................................... 4,210 42,157
Inchcape PLC (Commercial Services)*.......................... 12,000 46,388
Kingfisher (Retail)*......................................... 4,500 37,865
Land Securities PLC (Real Estate)*........................... 3,530 33,731
National Westminster (Finance)*.............................. 2,500 25,169
Peninsular & Oriental (Transportation -- Marine)*............ 5,770 42,639
Sainsbury (J.) PLC (Retail).................................. 5,680 34,611
Wimpey (George) (Construction)*.............................. 20,590 46,071
----------
$ 699,123
----------
Total Foreign Stocks
(Identified Cost, $4,022,782)..................................... $4,126,292
----------
</TABLE>
FOREIGN DENOMINATED BONDS -- 15.6%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
CANADA -- 4.6%
Government of Canada,
8.75s, 2005....................................... CAD 400 $ 327,593
----------
DENMARK -- 5.4%
Kingdom of Denmark, 8s, 2001....................... DKK 2,000 $ 385,611
----------
GERMANY -- 5.6%
German Unity Fund, 8.5s, 2001...................... DEM 500 $ 399,060
----------
Total Foreign Denominated Bonds
(Identified Cost, $1,093,583)..................................... $1,112,264
----------
REPURCHASE AGREEMENT -- 21.3%
State Street Bank, dated 12/29/95, due 1/02/96,
total to be received $1,528,849 (secured by
$1,505,000 U.S. Treasury Bond, 8.25s, 2005, market
value $1,561,673), at Cost........................ $1,528 $1,528,000
----------
Total Investments
(Identified Cost, $6,644,365)..................................... $6,766,556
OTHER ASSETS,
LESS LIABILITIES -- 5.7%........................................... 412,272
----------
Net Assets -- 100.0%............................................... $7,178,828
==========
</TABLE>
See portfolio footnotes and notes to financial statements
27
<PAGE>
PORTFOLIO OF INVESTMENTS -- December 31, 1995
GOVERNMENT SECURITIES SERIES
U.S. FEDERAL AGENCIES -- 28.7%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
AID Israel, 8s, 2001............................. $ 5,000 $ 5,572,100
AID Israel, 5.625s, 2003......................... 2,000 1,979,500
Farm Credit Systems Financial Assistance, 9.375s,
2003............................................ 3,950 4,802,331
Federal Agricultural Mortgage Corp., 7.02s, 1998. 1,000 1,031,870
Federal Agricultural Mortgage Corp., 7.25s, 1999. 2,000 2,098,740
Federal Agricultural Mortgage Corp., 7.63s, 2001. 6,000 6,502,500
Federal Agricultural Mortgage Corp., 8.07s, 2006. 1,000 1,167,660
Federal Home Loan Bank, 4.25s, 1997.............. 7,000 6,874,700
Federal Home Loan Mortgage Corp., 7.5s, 2024 -
2025........................................... 9,563 9,804,804
Federal Home Loan Mortgage Corp., 8.5s, 2022..... 32 33,362
Federal Home Loan Mortgage Corp., 9s, 2001 -
2021........................................... 2,850 2,994,523
Federal National Mortgage Assn., 7.27s, 2005..... 6,176 6,468,128
Federal National Mortgage Assn., 8s, 2005........ 8,662 9,336,898
Federal National Mortgage Assn., 8s, 2017........ 263 272,418
Federal National Mortgage Assn., 8.25s, 2001..... 3,974 4,219,540
Federal National Mortgage Assn., 8.5s, 2001 -
2006........................................... 1,757 1,833,009
Federal National Mortgage Assn., 9s, 2006 - 2007. 3,949 4,157,832
Financing Corp., 9.4s, 2018...................... 4,845 6,570,256
Financing Corp., 9.8s, 2018...................... 5,600 7,866,263
North Pacific Fishing, 5.9s, 2006................ 3,929 3,919,380
Private Export Funding Corp., 8.4s, 2001......... 3,000 3,379,200
Republic of Israel, U.S. Government Guaranteed
Notes, 6s, 1999................................. 7,000 7,105,000
Resolution Funding Corp., 8.875s, 2020........... 6,000 7,953,720
------------
Total U.S. Federal Agencies
(Identified Cost, $99,324,109).................................. $105,943,734
------------
</TABLE>
U.S. GOVERNMENT BACKED -- 68.4%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 22.6%
GNMA, 6.5s, 2024 - 2025.......................... $ 10,083 $ 10,001,333
GNMA, 7s, 2022 - 2025............................ 26,265 26,576,771
GNMA, 7.5s, 1999 - 2025.......................... 21,555 22,205,959
GNMA, 8s, 2022 - 2024............................ 7,647 7,967,955
GNMA, 9s, 2017 - 2023............................ 15,706 16,640,344
GNMA, 12.25s, 2015............................... 19 22,098
------------
$ 83,414,460
------------
SMALL BUSINESS ADMINISTRATION -- 3.6%
SBA, 8.2s, 2005.................................. $ 1,720 $ 1,850,613
SBA, 8.4s, 2007.................................. 751 825,847
SBA, 9.65s, 2007................................. 546 622,251
SBA, 8.7s, 2009.................................. 3,973 4,472,060
SBA, 9.05s, 2009................................. 707 799,897
SBA, 10.05s, 2009................................ 953 1,119,311
SBA, 10.1s, 2009................................. 1,488 1,738,950
SBA, 9.65s, 2010................................. 1,629 1,898,188
------------
$ 13,327,117
------------
U.S. TREASURY OBLIGATIONS -- 41.9%
U.S. Treasury Notes, 8.5s, 1997.................. $ 1,200 $ 1,248,192
U.S. Treasury Notes, 5.25s, 1998................. 21,000 21,006,510
U.S. Treasury Notes, 5.375s, 1998................ 10,000 10,032,800
U.S. Treasury Notes, 7.875s, 1998................ 8,000 8,406,240
U.S. Treasury Notes, 6.5s, 1999.................. 3,000 3,109,680
U.S. Treasury Notes, 6.75s, 1999................. 17,000 17,775,540
U.S. Treasury Notes, 9.125s, 1999................ 4,500 5,021,730
U.S. Treasury Notes, 6.75s, 2000................. 9,500 9,997,230
U.S. Treasury Notes, 7.25s, 2004................. 16,000 17,770,150
U.S. Treasury Notes, 7.875s, 2004................ 11,900 13,774,250
U.S. Treasury Bonds, 9s, 2018.................... 4,000 5,448,120
U.S. Treasury Bonds, 8.75s, 2020................. 20,000 26,787,400
U.S. Treasury Bonds, 7.125s, 2023................ 9,550 10,919,852
U.S. Treasury Bonds, 6.875s, 2025................ 3,000 3,383,430
------------
$154,681,124
------------
OTHER -- 0.3%
U.S. Department of Veterans Affairs, 7.75s, 2014. $ 1,000 $ 1,044,370
------------
Total U.S. Government Backed
(Identified Cost, $240,741,967)................................. $252,467,071
------------
</TABLE>
28
<PAGE>
REPURCHASE AGREEMENT -- 1.5%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Shearson Lehman, dated 12/29/95, due 1/02/96,
total to be received $5,387,500 (secured by
$4,940,000 U.S. Treasury Bonds, 8.25s, 2005,
market value $5,491,749), at Cost.............. $ 5,384 $ 5,384,000
------------
Total Investments
(Identified Cost, $345,450,076)................................ $363,794,805
OTHER ASSETS,
LESS LIABILITIES -- 1.4%........................................ 5,053,155
------------
Net Assets -- 100.0%............................................ $368,847,960
============
</TABLE>
See portfolio footnotes and notes to financial statements
PORTFOLIO OF INVESTMENTS -- December 31, 1995
HIGH YIELD SERIES
NON-CONVERTIBLE BONDS -- 91.1%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
AIRLINES
Continental Airlines, Inc., Liquidating Trust,
11.75s, 1999**.................................. $ 700 $ 70
------------
FINANCIAL INSTITUTIONS -- 1.1%
American Annuity Group, Inc., 11.125s, 2003...... $ 800 $ 868,000
American Life Holdings Co., 11.25s, 2004......... 400 420,000
Americo Life, Inc., 9.25s, 2005.................. 450 427,500
------------
$ 1,715,500
------------
INDUSTRIALS -- 88.2%
Automotive -- 2.5%
Exide Corp., 10s, 2005........................... $1,300 $ 1,410,500
Harvard Industries, Inc., 12s, 2004.............. 1,050 1,105,125
Harvard Industries, Inc., 11.125s, 2005.......... 500 500,000
SPX Corp., 11.75s, 2002.......................... 800 848,000
------------
$ 3,863,625
------------
Building -- 4.7%
American Standard, Inc.,
0s to 1998, 10.5s to 2005....................... $2,725 $ 2,336,687
Atlantic Gulf Communities Corp., 12s, 1996....... 45 39,538
Atlantic Gulf Communities Corp., 13s, 1998....... 48 25,076
Lone Star Industries, Inc., 10s, 2003............ 850 858,500
Nortek, Inc., 9.875s, 2004....................... 1,100 1,028,500
Schuller International Group, Inc., 10.875s,
2004............................................ 950 1,066,375
USG Corp., 9.25s, 2001........................... 1,800 1,926,000
------------
$ 7,280,676
------------
Chemicals -- 3.8%
Arcadian Partners LP, 10.75s, 2005............... $1,050 $ 1,160,250
INDSPEC Chemical, 11.5s, 2003.................... 800 640,000
NL Industries, Inc., 11.75s, 2003................ 1,705 1,820,088
Rexene Corp., 11.75s, 2004....................... 800 838,000
UCC Investors Holdings, Inc., 10.5s, 2002........ 250 257,500
UCC Investors Holdings, Inc., 0s, 2005........... 1,500 1,140,000
------------
$ 5,855,838
------------
</TABLE>
29
<PAGE>
NON-CONVERTIBLE BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INDUSTRIALS -- continued
Conglomerates -- 0.6%
Westinghouse Electric Corp., 8.375s, 2002........ $ 700 $ 721,980
Westinghouse Electric Corp., 6.875s, 2003........ 250 237,095
------------
$ 959,075
------------
Consumer Goods and Services -- 6.4%
ADT Operations, Inc., 9.25s, 2003................ $ 950 $ 1,018,875
Consolidated Cigar Corp., 10.5s, 2003............ 250 256,250
Fieldcrest Cannon, Inc., 11.25s, 2004............ 1,000 910,000
International Semi-Tech Microelectronics, Inc.,
0s, 2003........................................ 1,000 536,250
Ithaca Industries, Inc., 11.125s, 2002**......... 750 255,000
Reeves Industries, Inc., 11s, 2002 605 517,275
Remington Arms, Inc., 9.5s, 2003##............... 350 290,500
Revlon Consumer Products Corp., 10.5s, 2003...... 1,330 1,356,600
Samsonite Corp., 11.125s, 2005................... 1,050 1,008,000
Sealy Corp., 9.5s, 2003.......................... 1,450 1,457,250
Westpoint Stevens, Inc., 9.375s, 2005............ 2,300 2,271,250
------------
$ 9,877,250
------------
Containers -- 5.1%
Atlantis Group, Inc., 11s, 2003.................. $ 950 $ 831,250
Calmar, Inc., 11.5s, 2005##...................... 1,300 1,316,250
Ivex Packaging Corp., 12.5s, 2002................ 930 985,800
Owens-Illinois, Inc., 11s, 2003.................. 1,900 2,147,000
Owens-Illinois, Inc., 9.95s, 2004................ 500 531,250
Plastic Containers, Inc., 10.75s, 2001........... 1,000 1,030,000
Silgan Corp., 11.75s, 2002....................... 970 1,037,900
------------
$ 7,879,450
------------
Entertainment -- 2.6%
ACT III Broadcasting, 9.625s, 2003............... $ 300 $ 312,000
ACT III Theatres, Inc., 11.875s, 2003............ 600 651,000
Allbritton Communications Corp., 11.5s, 2004..... 600 630,000
Gillette Holdings, Inc., 12.25s, 2002............ 407 426,985
SCI Television, Inc., 11s, 2005.................. 1,500 1,586,250
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INDUSTRIALS -- continued
Entertainment -- continued
United Artist Theater Circuit, Inc., 11.5s, 2002. $ 400 $ 430,000
------------
$ 4,036,235
------------
Food and Beverage Products -- 2.8%
Coca-Cola Bottling Group Southwest, Inc., 9s,
2003............................................ $ 250 $ 250,000
PMI Acquisition Corp., 10.25s, 2003.............. 1,250 1,284,375
Specialty Foods Corp., 10.25s, 2001.............. 1,550 1,457,000
Texas Bottling Group, Inc., 9s, 2003............. 1,250 1,237,500
------------
$ 4,228,875
------------
Forest and Paper Products -- 4.5%
Container Corp. of America, 10.75s, 2002......... $ 750 $ 761,250
Fort Howard Corp., 9.25s, 2001................... 500 507,500
Gaylord Container Co., 0s, 2005.................. 1,500 1,477,500
Pacific Lumber Co., 10.5s, 2003.................. 1,400 1,326,500
Repap New Brunswick, 10.625s, 2005............... 1,050 1,029,000
SD Warren Co., 12s, 2004......................... 1,000 1,102,500
Stone Consolidated Corp., 10.25s, 2000........... 500 535,000
Stone Container Corp., 9.875s, 2001.............. 200 194,500
------------
$ 6,933,750
------------
Medical and Health Technology and Services -- 5.4%
Community Health System, 10.25s, 2003............ $ 950 $ 1,026,000
Integrated Health Services, Inc., 10.75s, 2004... 1,000 1,082,500
OrNda Healthcorp, 12.25s, 2002................... 1,400 1,540,000
Quorum Health Group, 8.75s, 2005................. 1,500 1,552,500
Tenet Healthcare Corp., 10.125s, 2005............ 2,800 3,115,000
------------
$ 8,316,000
------------
Oil Services -- 4.2%
AmeriGas Partners LP, 10.125s, 2007.............. $1,600 $ 1,728,000
Ferrell Gas LP, 10s, 2001........................ 1,200 1,284,000
Global Marine, Inc., 12.75s, 1999................ 1,100 1,215,500
Noble Drilling Corp., 9.25s, 2003................ 800 840,000
PDV America, Inc., 7.875s, 2003.................. 600 586,050
Tuboscope Vetco International, Inc., 10.75s,
2003............................................ 800 796,000
------------
$ 6,449,550
------------
</TABLE>
30
<PAGE>
NON-CONVERTIBLE BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INDUSTRIALS -- continued
Oils -- 1.0%
Gulf Canada, 9.25s, 2004.......................... $1,150 $ 1,190,250
Kelley Oil & Gas Corp., 13.5s, 1999............... 500 400,000
------------
$ 1,590,250
------------
Printing and Publishing -- 1.4%
Day International Group, Inc., 11.125s, 2005...... $ 900 $ 918,000
K-III Communications Corp., 10.625s, 2002......... 895 950,938
Western Publishing Group, 7.65s, 2002............. 400 280,000
------------
$ 2,148,938
------------
Restaurants and Lodging -- 4.6%
Ballys Grand, Inc., 10.375s, 2003................. $1,450 $ 1,479,000
Boomtown, Inc., 11.5s, 2003....................... 700 574,000
Boyd Gaming Corp., 10.75s, 2003................... 1,400 1,477,000
Four Seasons Hotels, Inc., 9.125s, 2000##......... 1,100 1,094,500
Grand Casinos, Inc., 10.125s, 2003................ 1,000 1,045,000
Griffin Gaming & Entertainment, 0s, 2000.......... 300 279,000
Maritime Group Ltd., 13.5s, 1997**................ 443 79,654
Sam Houston Race Park, 11s, 2001.................. 150 60,000
Station Casinos, Inc., 9.625s, 2003............... 1,050 1,042,125
------------
$ 7,130,279
------------
Special Products and Services -- 8.5%
Buckeye Cellulose Corp., 8.5s, 2005............... $1,000 $ 1,032,500
Eagle Industries, Inc., 0s, 2003.................. 1,400 1,172,500
Fairfield Manufacturing, 11.375s, 2001............ 350 341,250
Haynes International, Inc., 11.25s, 1998.......... 150 142,500
Howmet Corp., 10s, 2003##......................... 600 627,000
IMO Industries, Inc., 12s, 2001................... 850 867,000
Idex Corp., 9.75s, 2002........................... 665 704,900
Interlake Corp., 12s, 2001........................ 600 606,000
Interlake Corp., 12.125s, 2002.................... 650 617,500
Interlake Revolver, "B", 5.75s, 1997.............. 284 282,301
K & F Industries, Inc., 11.875s, 2003............. 650 698,750
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INDUSTRIALS -- continued
Special Products and Services -- continued
Newflo Corp., 13.25s, 2002....................... $ 550 $ 572,000
Polymer Group, Inc., 12.25s, 2002................ 1,750 1,802,500
Spreckels Industries, Inc., 11.5s, 2000.......... 1,050 1,029,000
Synthetic Industries, Inc., 12.75s, 2002......... 1,350 1,323,000
Talley Manufacturing & Technology, Inc., 10.75s,
2003............................................ 900 902,250
Thermadyne Industries Holdings Corp., 10.25s,
2002............................................ 350 348,250
------------
$ 13,069,201
------------
Steel -- 3.9%
AK Steel Holdings Corp., 10.75s, 2004............ $1,750 $ 1,942,500
Armco, Inc., 11.375s, 1999....................... 450 468,000
Easco Corp., 10s, 2001........................... 100 99,500
Jorgensen (Earle M.) Co., 10.75s, 2000........... 850 779,875
Kaiser Aluminum & Chemical Corp., 9.875s, 2002... 700 719,250
Sheffield Steel Corp., 12s, 2001................. 300 255,000
UCAR Global Enterprises, 12s, 2005............... 720 831,600
WCI Steel, 10.5s, 2002........................... 850 826,625
------------
$ 5,922,350
------------
Stores -- 1.7%
Eckerd (Jack) Corp., 9.25s, 2004................. $ 450 $ 477,000
Finlay Enterprises, Inc., 12s, 2005.............. 300 198,000
Finlay Fine Jewelry, 10.625s, 2003............... 1,000 970,000
Parisian, Inc., 9.875s, 2003..................... 1,000 840,000
Woodward & Lothrop, Inc., 14.75s, 1999**......... 150 73,500
------------
$ 2,558,500
------------
Supermarkets -- 6.0%
Brunos, Inc., 10.5s, 2005........................ $ 850 $ 841,500
Dominicks Finer Foods, 10.875s, 2005............. 1,550 1,646,875
Grand Union Co., 12s, 2004....................... 1,200 1,038,000
Pathmark Stores, Inc., 11.625s, 2002............. 700 701,750
Pathmark Stores, Inc., 9.625s, 2003.............. 700 680,750
Ralphs Grocery Co., 10.45s, 2004................. 950 964,250
</TABLE>
31
<PAGE>
NON-CONVERTIBLE BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INDUSTRIALS -- continued
Supermarkets -- continued
Ralphs Grocery Co., 11s, 2005.................... $ 950 $ 940,500
Safeway, Inc., 10s, 2001......................... 75 83,625
Safeway Stores, Inc., 9.875s, 2007............... 600 696,000
Stop & Shop Cos., Inc., 9.75s, 2002.............. 1,500 1,653,750
------------
$ 9,247,000
------------
Telecommunications -- 18.5%
American Communications Services, Inc., 0s,
2005##.......................................... $ 500 $ 268,750
Bell Cablemedia, 0s, 2005##...................... 900 562,500
Bell & Howell Co., 10.75s, 2002.................. 600 636,000
Cablevision Industries Corp., 10.75s, 2002....... 1,400 1,512,000
Cablevision Systems Corp., 10.75s, 2004.......... 800 844,000
Cablevision Systems Corp., 9.25s, 2005........... 1,200 1,254,000
Century Communications, 9.5s, 2005............... 1,500 1,548,750
Comcast Corp., 9.375s, 2005...................... 2,100 2,220,750
Continental Cablevision, Inc., 8.875s, 2005...... 1,800 1,885,500
Diamond Cable Communications, 0s, 2005........... 800 470,000
Echostar, 12.875s, 2004.......................... 1,300 845,000
Falcon Holdings Group L.P., 11s, 2003#........... 1,561 1,483,055
Jones Intercable, Inc., 9.625s, 2002............. 500 537,500
Jones Intercable, Inc., 11.5s, 2004.............. 150 166,500
Jones Intercable, Inc., 10.5s, 2008.............. 1,100 1,204,500
MFS Communications, Inc., 0s, 2004............... 2,300 1,857,250
Marcus Cable Operations Co., 0s, 2004............ 875 658,437
Metrocall, Inc., 10.375s, 2007................... 1,050 1,113,000
Mobile Telecommunications, 13.5s, 2002........... 750 836,250
Mobilemedia Communications, Inc., 0s, 2003....... 1,400 1,092,000
Paging Network, Inc., 8.875s, 2006............... 2,400 2,460,000
ProNet, 11.875s, 2005............................ 950 1,045,000
Rogers Cablesystems Ltd., 9.625s, 2002........... 250 261,875
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INDUSTRIALS -- continued
Telecommunications -- continued
Rogers Cablesystems Ltd., 10.125s, 2012.......... $1,150 $ 1,210,375
USA Mobile Communication, 9.5s, 2004............. 550 544,500
Videotron Holdings, 0s, 2005..................... 1,700 1,054,000
Videotron Ltd., 10.25s, 2021..................... 800 844,000
------------
$ 28,415,492
------------
Total Industrials................................................ $135,762,334
------------
MORTGAGE-BACKED PASS-THROUGHS -- 0.3%
Merrill Lynch Mortgage Investors, Inc., 94-M1,
8.078s, 2022+................................... $ 500 $ 389,063
------------
TRANSPORTATION -- 1.0%
CHC Helicopter, 11.5s, 2002...................... $ 400 $ 353,000
Moran Transportation Co., 11.75s, 2004........... 300 282,000
Tiphook Finance Corp., 7.125s, 1998.............. 550 394,625
Tiphook Finance Corp., 8s, 2000.................. 679 471,905
------------
$ 1,501,530
------------
UTILITIES -- ELECTRIC -- 0.5%
Kenetech Corp., 12.75s, 2002..................... $ 500 $ 185,000
Midland Funding Corp. II, "A", 11.75s, 2005...... 500 523,845
------------
$ 708,845
------------
Total Non-Convertible Bonds
(Identified Cost, $138,298,355)................................. $140,077,342
------------
COMMON STOCKS AND WARRANTS -- 0.1%
<CAPTION>
Shares
<S> <C> <C>
Building
Atlantic Gulf Communities Corp.*................. 30 $ 203
------------
Consumer Goods and Services
Ranger Industries, Inc.*......................... 8,952 $ 895
------------
Entertainment -- 0.1%
Gillette Holdings, Inc.*......................... 9,414 $ 197,694
------------
Restaurants and Lodging
Palace Casino, Warrants.......................... 4,800 $ 48
Sam Houston Race Park*........................... 44 220
------------
$ 268
------------
Oil Services
ICO, Inc., Warrants*............................. 25,000 $ 16,250
------------
Total Common Stocks and Warrants
(Identified Cost, $425,191)..................................... $ 215,310
------------
</TABLE>
32
<PAGE>
PREFERRED STOCKS -- 0.9%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Building
UDC Homes, Inc., $1.68, "C", Cv.*................. 6,625 $ 9,937
------------
Printing and Publishing -- 0.9%
K-III Communications Corp.#....................... 13,616 $ 1,354,825
------------
Total Preferred Stocks
(Identified Cost, $1,311,946).................................... $ 1,364,762
------------
SHORT-TERM OBLIGATIONS -- 4.7%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Home Loan Mortgage Corp., due 1/02/96..... $6,205 $ 6,204,009
Ford Motor Credit Corp., due 1/02/96.............. 980 979,837
------------
Total Short-Term Obligations,
at Amortized Cost................................................ $ 7,183,846
------------
Total Investments
(Identified Cost, $147,219,338).................................. $148,841,260
OTHER ASSETS,
LESS LIABILITIES -- 3.2%.......................................... 4,958,895
------------
Net Assets -- 100.0%.............................................. $153,800,155
============
</TABLE>
See portfolio footnotes and notes to financial statements
PORTFOLIO OF INVESTMENTS -- December 31, 1995
MANAGED SECTORS SERIES
COMMON STOCKS -- 96.9%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
ENERGY -- 13.4%
BJ Services Co.*........................................ 85,000 $ 2,465,000
Occidental Petroleum Corp. ............................. 263,000 5,621,625
Schlumberger Ltd. ...................................... 38,000 2,631,500
Seacor Holdings, Inc.*.................................. 23,600 637,200
Seagull Energy Corp.*................................... 125,000 2,781,250
Snyder Oil Corp. ....................................... 380,000 4,607,500
Tidewater, Inc. ........................................ 85,000 2,677,500
Weatherford International, Inc.*........................ 160,100 4,622,887
------------
$ 26,044,462
------------
FINANCIAL SERVICES -- 10.4%
Advanta Corp., "B"...................................... 58,500 $ 2,127,937
Equitable of Iowa Cos. ................................. 107,000 3,437,375
Federal Home Loan Mortgage Corp. ....................... 47,500 3,966,250
First Interstate Bancorp................................ 35,000 4,777,500
Fleet/Norstar Financial Group, Inc. .................... 25,400 1,035,050
Travelers Group, Inc. .................................. 78,000 4,904,250
------------
$ 20,248,362
------------
LEISURE -- 22.6%
Argosy Gaming Corp.*.................................... 192,500 $ 1,467,813
Brinker International, Inc.*............................ 159,600 2,413,950
Harrah's Entertainment, Inc.*........................... 330,000 8,002,500
Manor Care, Inc. ....................................... 7,300 255,500
Promus Hotel Corp.*..................................... 117,200 2,607,700
Rogers Communications, Inc. (Canada).................... 775,000 8,661,598
Showboat, Inc. ......................................... 92,700 2,444,962
Sky City Ltd. (New Zealand)*............................ 110,000 2,279,904
Sydney Harbour Casinos Ltd. (Australia)................. 1,249,000 1,576,126
Telecom Italia Mobile, Saving Shares (Italy)............ 838,600 882,459
Telephone & Data Systems, Inc. ......................... 337,800 13,343,100
------------
$ 43,935,612
------------
RETAIL -- 8.3%
Circuit City Stores, Inc. .............................. 95,700 $ 2,643,713
Federated Department Stores, Inc.*...................... 185,000 5,087,500
Gymboree Corp.*......................................... 140,000 2,887,500
Sears, Roebuck & Co. ................................... 70,000 2,730,000
Wal-Mart Stores, Inc. .................................. 127,000 2,841,625
------------
$ 16,190,338
------------
TECHNOLOGY -- 22.6%
ADT Ltd.*............................................... 287,000 $ 4,305,000
Acclaim Entertainment, Inc. ............................ 111,600 1,381,050
Adobe Systems, Inc. .................................... 26,500 1,643,000
Autodesk, Inc. ......................................... 55,200 1,890,600
BMC Software, Inc.* .................................... 91,000 3,890,250
</TABLE>
33
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
TECHNOLOGY -- continued
Electronic Arts, Inc.*........................... 230,000 $ 6,008,750
Intel Corp. ..................................... 105,500 5,987,125
International Business Machines Corp. ........... 25,500 2,339,625
LSI Logic Corp.*................................. 129,000 4,224,750
National Semiconductor Corp.*.................... 195,000 4,338,750
Oracle Systems Corp.*............................ 60,000 2,542,500
Silicon Graphics, Inc.*.......................... 27,100 745,250
Spectrum Holobyte, Inc.*......................... 406,600 2,642,900
Sybase, Inc.*.................................... 55,100 1,983,600
------------
$ 43,923,150
------------
OTHER --19.6%
AGCO Corp. ...................................... 111,000 $ 5,661,000
Colgate-Palmolive Co. ........................... 42,500 2,985,625
General Motors Corp. ............................ 111,000 5,869,125
Ingersoll-Rand Co. .............................. 67,500 2,370,937
James River Corp. ............................... 16,400 395,650
Loral Corp. ..................................... 145,000 5,129,375
McDonnell-Douglas Corp. ......................... 36,000 3,312,000
Potash Corp. of Saskatchewan..................... 8,400 595,350
Rubbermaid, Inc. ................................ 41,200 1,050,600
Tyco International Ltd. ......................... 158,000 5,628,750
United Healthcare Corp. ......................... 77,500 5,076,250
------------
$ 38,074,662
------------
Total Common Stocks
(Identified Cost, $173,659,905)................................. $188,416,586
------------
CONVERTIBLE BOND -- 0.1%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Spectrum Holobyte, Inc.,
6.5s, 2002##
(Identified Cost, $270,000)..................... $ 270 $ 197,100
------------
SHORT-TERM OBLIGATION -- 2.3%
Federal Home Loan Mortgage Corp., due 1/02/96, at
Amortized Cost.................................. $ 4,380 $ 4,379,300
------------
Total Investments
(Identified Cost, $178,309,205)................................. $192,992,986
OTHER ASSETS,
LESS LIABILITIES -- 0.7%......................................... 1,357,793
------------
Net Assets -- 100.0%............................................. $194,350,779
============
</TABLE>
See portfolio footnotes and notes to financial statements
<TABLE>
<CAPTION>
PORTFOLIO OF INVESTMENTS -- December 31, 1995
MONEY MARKET SERIES
COMMERCIAL PAPER -- 33.8%
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Abbott Labs, due 1/10/96........................ $ 6,000 $ 5,991,600
AT & T Corp., due 1/25/96....................... 4,000 3,984,827
Beneficial Corp., due 1/22/96 - 2/07/96......... 12,800 12,740,917
Ford Motor Credit Corp., due 1/02/96 - 1/05/96.. 7,500 7,497,429
GTE South, due 2/06/96.......................... 6,400 6,363,392
Heinz (H.J.) Co., due 2/01/96................... 3,400 3,383,165
Hershey Foods Corp., due 1/12/96................ 5,100 5,091,195
Hewlett-Packard Co., due 3/19/96................ 4,500 4,447,253
Knight-Ridder, Inc., due 2/23/96 - 3/12/96...... 8,900 8,816,791
Philip Morris Cos., Inc., due 1/26/96........... 6,500 6,474,497
Procter & Gamble Co., due 3/07/96............... 5,000 4,949,033
Raytheon Co., due 1/04/96 - 1/08/96............. 6,000 5,993,770
Transamerica Corp., due
1/08/96 - 1/19/96.............................. 11,000 10,979,027
Warner Lambert Co., due 4/12/96 - 5/02/96....... 9,000 8,837,649
------------
$ 95,550,545
------------
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS -- 66.8%
Federal Farm Credit Bank, due 3/06/96........... $ 2,800 $ 2,772,346
Federal Home Loan Bank, due 1/16/96 - 5/17/96... 60,800 60,242,985
Federal Home Loan Mortgage Corp., due 2/14/96 -
3/18/96....................................... 22,800 22,598,860
Federal National Mortgage Assn., due 1/03/96 -
4/26/96....................................... 79,900 79,411,872
Tennessee Valley Authority, due 1/09/96 -
2/08/96....................................... 23,800 23,722,838
------------
$188,748,901
------------
Total Investments,
at Amortized Cost................................................ $284,299,446
OTHER ASSETS,
LESS LIABILITIES -- (0.6)%........................................ (1,545,338)
------------
Net Assets -- 100.0%.............................................. $282,754,108
============
</TABLE>
See portfolio footnotes and notes to financial statements
34
<PAGE>
PORTFOLIO OF INVESTMENTS -- December 31, 1995
RESEARCH SERIES
COMMON STOCKS -- 93.8%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 89.0%
AEROSPACE -- 4.5%
General Dynamics Corp...................................... 12,000 $ 709,500
Lockheed Corp.............................................. 9,900 782,100
McDonnell-Douglas Corp..................................... 15,700 1,444,400
United Technologies Corp................................... 3,200 303,600
-----------
$ 3,239,600
-----------
AGRICULTURAL PRODUCTS -- 2.9%
AGCO Corp.................................................. 16,900 $ 861,900
Case Corp.................................................. 26,600 1,216,950
-----------
$ 2,078,850
-----------
APPAREL AND TEXTILES -- 1.5%
Nike, Inc., "B"............................................ 13,500 $ 939,937
Nine West Group, Inc.*..................................... 2,900 108,750
-----------
$ 1,048,687
-----------
BANKS AND CREDIT COMPANIES -- 3.2%
Baybanks, Inc.............................................. 6,100 $ 599,325
Chase Manhattan Corp....................................... 12,600 763,875
First Interstate Bancorp................................... 4,300 586,950
Northern Trust Co.......................................... 6,000 336,000
-----------
$ 2,286,150
-----------
BUSINESS MACHINES -- 1.3%
Affiliated Computer Services, Inc., "A"*................... 7,800 $ 292,500
International Business Machines Corp....................... 6,700 614,725
-----------
$ 907,225
-----------
BUSINESS SERVICES -- 2.5%
Alco Standard Corp......................................... 16,300 $ 743,688
Ceridian Corp.*............................................ 19,200 792,000
Interim Services, Inc.*.................................... 3,400 118,150
Technology Solutions Co.*.................................. 8,500 165,750
-----------
$ 1,819,588
-----------
CELLULAR TELEPHONES -- 0.4%
Telephone & Data Systems, Inc. ............................ 6,800 $ 268,600
-----------
CHEMICALS -- 1.8%
Air Products & Chemicals, Inc.............................. 6,300 $ 332,325
Grace (W.R.) & Co. ........................................ 8,800 520,300
Hanna (M.A.) Co. .......................................... 7,200 201,600
Uniroyal Chemical Corp.*................................... 31,200 257,400
-----------
$ 1,311,625
-----------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 1.9%
Electronic Arts, Inc.*..................................... 20,300 $ 530,338
Microsoft Corp.*........................................... 9,400 824,850
-----------
$ 1,355,188
-----------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
COMPUTER SOFTWARE -- SYSTEMS -- 7.5%
Adobe Systems, Inc. ....................................... 11,300 $ 700,600
BMC Software, Inc.*........................................ 11,200 478,800
Cadence Design Systems, Inc.*.............................. 28,600 1,201,200
Compaq Computer Corp.*..................................... 10,600 508,800
Computer Associates International, Inc. ................... 10,300 585,813
Compuware Corp.*........................................... 15,400 284,900
Oracle Systems Corp.*...................................... 27,200 1,152,600
Sybase, Inc.*.............................................. 13,800 496,800
-----------
$ 5,409,513
-----------
CONSUMER GOODS AND SERVICES -- 8.8%
Colgate-Palmolive Co. ..................................... 15,000 $ 1,053,750
Duracell International, Inc. .............................. 15,300 791,775
Gillette Co. .............................................. 17,500 912,188
Philip Morris Cos., Inc. .................................. 11,300 1,022,650
Procter & Gamble Co. ...................................... 13,300 1,103,900
Service Corp. International................................ 13,400 589,600
Tyco International Ltd. ................................... 23,500 837,187
-----------
$ 6,311,050
-----------
DEFENSE ELECTRONICS -- 1.7%
Loral Corp. ............................................... 35,300 $ 1,248,737
-----------
ELECTRONICS -- 3.4%
ESS Technology, Inc.*...................................... 600 $ 13,800
Intel Corp. ............................................... 20,800 1,180,400
LSI Logic Corp.*........................................... 6,000 196,500
National Semiconductor Corp.*.............................. 12,300 273,675
Xilinx, Inc.*.............................................. 25,200 768,600
-----------
$ 2,432,975
-----------
ENTERTAINMENT -- 2.5%
Aztar Corp.*............................................... 87,500 $ 700,000
Harrah's Entertainment, Inc.*.............................. 23,600 572,300
Heritage Media Corp.*...................................... 11,700 299,813
Showboat, Inc. ............................................ 9,800 258,475
-----------
$ 1,830,588
-----------
FINANCIAL INSTITUTIONS -- 2.1%
Advanta Corp., "B"......................................... 14,700 $ 534,713
Federal Home Loan Mortgage Corp............................ 5,100 425,850
Intergra Financial Corp.................................... 8,600 541,800
-----------
$ 1,502,363
-----------
FOOD AND BEVERAGE PRODUCTS -- 4.9%
Campbell Soup Co........................................... 12,400 $ 744,000
Kellogg Co................................................. 8,600 664,350
Nabisco Holdings Corp., "A"................................ 24,000 783,000
</TABLE>
35
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
FOOD AND BEVERAGE PRODUCTS -- continued
PepsiCo, Inc............................................... 15,600 $ 871,650
Universal Foods Corp....................................... 10,700 429,337
-----------
$ 3,492,337
-----------
FOREST AND PAPER PRODUCTS -- 1.9%
Fort Howard Corp.*......................................... 7,700 $ 173,250
Kimberly Clark Corp........................................ 14,300 1,183,325
-----------
$ 1,356,575
-----------
INSURANCE -- 8.4%
AFLAC, Inc................................................. 10,600 $ 459,775
American Re Corp........................................... 8,700 355,613
Amerin Corp.*.............................................. 11,100 296,925
CIGNA Corp................................................. 6,800 702,100
Equitable of Iowa Cos...................................... 17,700 568,613
GCR Holdings Ltd.*......................................... 14,900 335,250
Lasalle Resources Holdings Ltd.*........................... 12,600 288,225
MBIA, Inc.................................................. 9,600 720,000
Penncorp Financial Group, Inc.............................. 38,900 1,142,687
Prudential Reinsurance Holdings*........................... 22,500 525,937
Travelers, Inc............................................. 10,200 641,325
-----------
$ 6,036,450
-----------
MACHINERY -- 0.4%
York International Corp.................................... 6,800 $ 319,600
-----------
MEDICAL AND HEALTH PRODUCTS -- 5.5%
Johnson & Johnson.......................................... 3,700 $ 316,813
Medisense, Inc.*........................................... 46,600 1,473,725
Neuromedical Systems, Inc.*................................ 23,100 464,887
Pfizer, Inc................................................ 7,400 466,200
Uromed Corp.*.............................................. 82,800 1,066,050
Zoll Medical Corp.*........................................ 16,400 147,600
-----------
$ 3,935,275
-----------
MEDICAL AND HEALTH TECHNOLOGY
AND SERVICES -- 5.4%
Amisys Managed Care Systems*............................... 23,500 $ 446,500
Community Health Systems, Inc.*............................ 11,900 423,938
Living Centers of America, Inc.*........................... 8,900 311,500
Mariner Health Group, Inc.*................................ 6,100 102,175
Pacificare Health Systems, Inc., "A"*...................... 1,300 113,100
Pacificare Health Systems, Inc., "B"*...................... 6,100 530,700
St. Jude Medical, Inc...................................... 18,100 778,300
United Healthcare Corp..................................... 18,200 1,192,100
-----------
$ 3,898,313
-----------
OILS -- 2.4%
Mobil Corp................................................. 9,200 $ 1,030,400
Seacor Holdings, Inc.*..................................... 8,100 218,700
Union Pacific Resources Group, Inc.*....................... 17,700 449,137
-----------
$ 1,698,237
-----------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
POLLUTION CONTROL -- 1.1%
WMX Technologies, Inc...................................... 26,300 $ 785,712
-----------
RAILROADS -- 2.0%
CSX Corp................................................... 14,700 $ 670,688
Wisconsin Central Transportation Corp.*.................... 11,600 762,700
-----------
$ 1,433,388
-----------
RESTAURANTS AND LODGING -- 1.5%
HFS, Inc.*................................................. 4,100 $ 335,175
Promus Hotel Corp.*........................................ 10,950 243,637
Quantum Restaurant Group, Inc.*............................ 2,500 28,125
Sonic Corp.*............................................... 24,200 459,800
-----------
$ 1,066,737
-----------
SPECIAL PRODUCTS AND SERVICES -- 2.4%
Intertape Polymer Group, Inc............................... 19,600 $ 614,950
Sphere Drake Holdings Ltd.*................................ 23,100 323,400
Stanley Works.............................................. 15,300 787,950
-----------
$ 1,726,300
-----------
STORES -- 3.6%
Circuit City Stores, Inc................................... 6,200 $ 171,275
Gymboree Corp.*............................................ 30,700 633,188
Hollywood Entertainment Corp.*............................. 11,700 97,988
Home Depot, Inc............................................ 8,200 392,575
Lowe's Cos., Inc. ......................................... 9,100 304,850
Micro Warehouse, Inc.*..................................... 13,300 575,225
Office Depot, Inc.*........................................ 20,200 398,950
-----------
$ 2,574,051
-----------
TELECOMMUNICATIONS -- 1.5%
Cabletron Systems, Inc.*................................... 12,100 $ 980,100
Cisco Systems, Inc.*....................................... 1,800 134,325
-----------
$ 1,114,425
-----------
UTILITIES -- GAS -- 2.0%
Coastal Corp............................................... 19,500 $ 726,375
Enron Corp................................................. 18,100 690,063
-----------
$ 1,416,438
-----------
Total U.S. Stocks
(Identified Cost, $57,280,892)................................... $63,904,577
-----------
FOREIGN STOCKS -- 4.8%
DENMARK -- 0.4%
Tele Danmark, ADR (Utilities -- Telephone)*................ 9,100 $ 251,387
-----------
FRANCE -- 0.5%
TV Francaise (Media)*...................................... 3,500 $ 374,732
-----------
HONG KONG -- 0.2%
Giordano International (Retail --Apparel).................. 198,000 $ 169,012
-----------
</TABLE>
36
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
ITALY -- 0.3%
Telecom Italia Mobile, Saving Shares*
(Telecommunications)............................. 195,300 $ 205,514
-----------
MALAYSIA -- 0.9%
New Straits Time Press (Publishing)............... 197,000 $ 659,641
-----------
NORWAY -- 0.1%
Tomra Systems A/S (Environmental Control)......... 5,600 $ 44,191
-----------
SINGAPORE -- 0.4%
Singapore Press Holdings (Publishing)*............ 16,000 $ 282,925
-----------
SWEDEN -- 2.0%
ASTRA AB, Free Shares, "B" (Pharmaceuticals)*..... 23,700 $ 938,098
Ericsson LM, "B"* (Telecommunications Equipment).. 15,300 299,350
Hennes & Mauritz (Retail)*........................ 3,950 219,960
-----------
$ 1,457,408
-----------
Total Foreign Stocks
(Identified Cost, $3,176,553).................................... $ 3,444,810
-----------
Total Common Stocks
(Identified Cost, $60,457,445)................................... $67,349,387
-----------
SHORT-TERM OBLIGATION -- 5.3%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Home Loan Mortgage Corp., due 1/22/96, at
Amortized Cost................................... $ 3,800 $ 3,787,919
-----------
Total Investments
(Identified Cost, $64,245,364)................................... $71,137,306
OTHER ASSETS,
LESS LIABILITIES -- 0.9%.......................................... 690,807
-----------
Net Assets -- 100.0%.............................................. $71,828,113
===========
</TABLE>
See portfolio footnotes and notes to financial statements
<TABLE>
<CAPTION>
PORTFOLIO OF INVESTMENTS -- December 31, 1995
TOTAL RETURN SERIES
NON-CONVERTIBLE BONDS -- 33.9%
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
BANKS AND CREDIT COMPANIES -- 1.7%
Banco Central, 8.25s, 2004..................... $ 2,400 $ 2,636,160
Bankers Trust Co., 7.5s, 2015.................. 4,800 4,968,144
Banponce Financial Corp., 7.72s, 2000.......... 2,500 2,641,875
Chase Manhattan Corp.,
8.8s, 2000.................................... 1,900 1,961,903
First Chicago Corp., 9s, 1996.................. 2,000 2,027,660
Riggs National Corp.,
8.5s, 2006.................................... 3,000 3,210,000
Sovereign Bancorp, Inc.,
6.75s, 2000................................... 750 753,750
--------------
$ 18,199,492
--------------
CORPORATE ASSET BACKED -- 0.1%
Merrill Lynch Home Equity Loan, 91-1, "B",
9.3s, 2016+................................... $ 674 $ 701,558
Merrill Lynch Mortgage Investors, Inc., 91-C,
"B", 8.9s, 2011............................... 410 430,857
Merrill Lynch Mortgage Investors, Inc., 94-MI,
8.078s, 2022+................................. 514 399,957
--------------
$ 1,532,372
--------------
FINANCIAL INSTITUTIONS -- 1.1%
Alex Brown, Inc., 7.625s, 2005................. $ 2,000 $ 2,125,820
Associates Corp. of N.A., 6.375s, 2005......... 1,480 1,507,054
Goldman Sachs Group,
6.2s, 2000##.................................. 785 783,038
Goldman Sachs Group,
7.25s, 2005................................... 650 674,375
Lehman Brothers Holdings, 7.375s, 2007......... 1,800 1,888,867
Lehman Brothers, Inc.,
7.125s, 2002.................................. 1,550 1,602,514
Leucadia National Corp.,
8.25s, 2005................................... 200 210,365
Salton Sea Funding Corp., 7.37s, 2005##........ 1,575 1,631,290
Salton Sea Funding Corp., 7.84s, 2010##........ 1,575 1,656,523
--------------
$ 12,079,846
--------------
FOREIGN -- U.S. DOLLAR DENOMINATED -- 1.7%
Banco Santander S.A.,
7.875s, 2005.................................. $ 2,400 $ 2,649,024
Financiera Energetica Nacional S.A., 6.625s,
1996##........................................ 1,680 1,673,700
</TABLE>
37
<PAGE>
NON-CONVERTIBLE BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
FOREIGN -- U.S. DOLLAR DENOMINATED -- continued
Hanson Overseas,
6.75s, 2005.................................... $ 2,500 $ 2,588,825
Hidroelectrica Alicura, 8.375s, 1999##.......... 2,200 2,024,000
Korea Electric Power Corp., 7.75s, 2013......... 4,700 5,025,616
Ocensa, 9.35s, 2005##........................... 1,200 1,218,000
Province of Ontario, 7s, 2005................... 1,500 1,584,225
Republic of Colombia, 8.75s, 1999............... 1,000 1,057,120
Republic of Colombia,
7.25s, 2004.................................... 650 623,507
--------------
$ 18,444,017
--------------
INDUSTRIALS -- 7.2%
Automotive -- 0.3%
Ford Motor Co., 7.125s, 2025.................... $ 1,595 $ 1,656,965
Ford Motor Co., 7.75s, 2043..................... 1,605 1,787,857
--------------
$ 3,444,822
--------------
Building -- 0.2%
Black & Decker Corp., 8.44s, 1999............... $ 1,000 $ 1,087,290
Owens Corning Fiberglass Corp., 9.9s, 2015##.... 800 903,500
--------------
$ 1,990,790
--------------
Conglomerates -- 0.3%
ITT Destinations, Inc., 6.75s, 2005 ............ $ 1,600 $ 1,631,200
Tenneco, Inc., 6.5s, 2005....................... 1,700 1,695,750
--------------
$ 3,326,950
--------------
Defense Electronics -- 0.3%
Loral Corp., 8.375s, 2024....................... $ 1,600 $ 1,837,328
Raytheon Co., 7.375s, 2025...................... 1,055 1,098,835
--------------
$ 2,936,163
--------------
Food and Beverage Products -- 1.1%
Borden, Inc., 9.2s, 2021........................ $ 4,000 $ 4,245,640
Nabisco, Inc., 7.55s, 2015...................... 3,345 3,481,375
RJR Nabisco, Inc., 8s, 2000..................... 750 763,042
RJR Nabisco, Inc., 8.75s, 2007.................. 3,450 3,518,931
--------------
$ 12,008,988
--------------
Forest and Paper Products -- 1.5%
Canadian Pacific Forest,
9.25s, 2002.................................... $ 4,000 $ 4,483,320
Georgia-Pacific Corp.,
9.875s, 2021................................... 2,825 3,271,773
Georgia-Pacific Corp.,
9.125s, 2022................................... 2,500 2,808,175
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INDUSTRIALS -- continued
Forest and Paper Products -- continued
Georgia-Pacific Corp.,
8.125s, 2023................................... $ 925 $ 967,522
Georgia-Pacific Corp.,
8.625s, 2025................................... 500 550,420
Noranda Forest, Inc.,
6.875s, 2005................................... 3,800 3,887,172
--------------
$ 15,968,382
--------------
Medical and Health Products -- 0.1%
Fisher Scientific, Inc., 7.125s, 2005........... $ 1,600 $ 1,602,528
--------------
Metals and Minerals -- 0.2%
ASARCO, Inc., 8.5s, 2025........................ $ 2,080 $ 2,366,499
--------------
Oils -- 1.0%
Oryx Energy Co., 9.3s, 1996..................... $ 8,400 $ 8,481,732
Oryx Energy Co., 10s, 2001...................... 2,400 2,664,144
--------------
$ 11,145,876
--------------
Pollution Control -- 0.2%
Laidlaw, Inc., 8.75s, 2025...................... $ 1,500 $ 1,788,705
--------------
Printing and Publishing -- 1.3%
News America Holdings, Inc.,
7.45s, 2000.................................... $ 1,600 $ 1,667,168
News America Holdings, Inc., 7.5s, 2000......... 1,980 2,082,465
News America Holdings, Inc., 7.6s, 2015......... 2,200 2,250,050
News America Holdings, Inc., 7.75s, 2045........ 1,600 1,620,704
Time Warner, Inc.,
7.75s, 2005.................................... 1,598 1,663,565
Time Warner, Inc.,
9.125s, 2013................................... 2,700 3,042,765
Valassis Inserts, 9.375s, 1999.................. 1,660 1,675,305
--------------
$ 14,002,022
--------------
Restaurants and Lodging -- 0.1%
RHG Finance Corp.,
8.875s, 2005................................... $ 1,440 $ 1,503,576
--------------
Special Products and Services -- 0.2%
Rouse Co., 8.5s, 2003........................... $ 600 $ 655,380
Rouse Co., 8.55s, 2005.......................... 1,600 1,848,240
--------------
$ 2,503,620
--------------
Stores -- 0.4%
Dayton-Hudson Corp., 9s, 2021................... $ 3,380 $ 4,043,122
--------------
Total Industrials............................................... $ 78,632,043
--------------
</TABLE>
38
<PAGE>
NON-CONVERTIBLE BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INSURANCE -- 0.5%
CCP Insurance, Inc.,
10.5s, 2004.................................... $ 1,080 $ 1,176,606
Metropolitan Life Insurance, 7.7s, 2015##....... 1,600 1,661,504
Travelers Group, Inc.,
7.875s, 2025................................... 2,350 2,630,707
--------------
$ 5,468,817
--------------
TELECOMMUNICATIONS -- 1.2%
TCI Communications, Inc., 8.75s, 2015........... $ 2,181 $ 2,418,009
Tele-Communications, Inc.,
7.38s, 2001.................................... 1,500 1,570,770
Tele-Communications, Inc., 10.125s, 2022........ 1,700 2,129,896
Tele-Communications, Inc.,
9.25s, 2023.................................... 5,219 5,696,956
Viacom, Inc., 7.75s, 2005....................... 1,200 1,274,364
--------------
$ 13,089,995
--------------
TRANSPORTATION -- 1.0%
Jet Equipment Trust, 10.91s, 2006##............. $ 998 $ 1,158,838
Jet Equipment Trust, 10.69s, 2015##............. 1,000 1,173,100
NWA Trust, 9.25s, 2014.......................... 1,219 1,481,926
Qantas Airways Ltd., 7.5s, 2003##............... 2,180 2,284,705
United Air Lines, Inc., 9.125s, 2012............ 800 894,000
United Air Lines, Inc., 9.75s, 2021............. 1,600 1,919,312
United Air Lines, Inc., 10.25s, 2021............ 1,400 1,751,834
--------------
$ 10,663,715
--------------
U.S. GOVERNMENT AGENCIES -- 0.9%
Federal Home Loan Mortgage Corporation -- 0.3%
FHLMC, 9.5s, 2025............................... $ 2,296 $ 2,447,851
FHLMC, 9.5s, 2025............................... 1,160 1,236,496
--------------
$ 3,684,347
--------------
Federal National Mortgage Association -- 0.6%
FNMA, 15 year, 7.5s, 2009....................... $ 6,700 $ 6,890,481
--------------
Total U.S. Government Agencies.................................. $ 10,574,828
--------------
U.S. GOVERNMENT BACKED -- 13.3%
Government National Mortgage Association -- 0.8%
GNMA, 7.5s, 2025................................ $ 6,429 $ 6,614,377
GNMA, 9s, 2009 - 2022........................... 2,463 2,609,011
--------------
$ 9,223,388
--------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. GOVERNMENT BACKED -- continued
U.S. Treasury Obligations -- 12.5%
U.S. Treasury Notes, 7.25s, 1996................ $ 5,300 $ 5,364,607
U.S. Treasury Notes, 7.25s, 1996................ 13,000 13,221,390
U.S. Treasury Notes, 5.625s, 1997............... 7,000 7,051,380
U.S. Treasury Notes, 6.125s, 1997............... 16,700 16,903,574
U.S. Treasury Notes, 7.5s, 1999................. 1,700 1,825,103
U.S. Treasury Notes, 7.875s, 1999............... 1,000 1,087,190
U.S. Treasury Notes, 6.125s, 2000............... 2,400 2,472,000
U.S. Treasury Notes, 6.25s, 2000................ 6,771 7,004,803
U.S. Treasury Notes, 7.25s, 2004................ 24,500 27,244,735
U.S. Treasury Notes, 7.875s, 2004............... 6,600 7,639,500
U.S. Treasury Notes, 5.875s, 2005............... 4,000 4,090,000
U.S. Treasury Notes, 6.5s, 2005................. 1,590 1,693,843
U.S. Treasury Bonds, 12s, 2013.................. 9,500 14,637,410
U.S. Treasury Bonds, 8.875s, 2017............... 11,300 15,134,881
U.S. Treasury Bonds, 6.875s, 2025............... 10,000 11,278,100
--------------
$ 136,648,516
--------------
Total U.S. Government Backed.................................... $ 145,871,904
--------------
UTILITIES -- ELECTRIC -- 4.1%
BVPS II Funding Corp., 8.33s, 2007.............. $ 698 $ 698,698
Central Maine Power Co., 7.45s, 1999............ 800 842,064
Cleveland Electric Illuminating, 9.5s, 2005..... 1,000 1,035,000
Coastal Bancorp, Inc., 10s, 2002................ 400 404,000
Coastal Corp., 10.375s, 2000.................... 660 771,328
Coastal Corp., 10.25s, 2004..................... 2,400 2,979,120
Coastal Corp., 7.75s, 2035...................... 5,350 5,554,370
Commonwealth Edison Co., 8.375s, 2023........... 3,100 3,336,283
First PV Funding Corp., 10.3s, 2014............. 1,533 1,603,901
First PV Funding Corp., 10.15s, 2016............ 2,600 2,658,500
</TABLE>
39
<PAGE>
NON-CONVERTIBLE BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
UTILITIES -- ELECTRIC -- continued
Gulf States Utilities, 8.25s, 2004............. $ 1,750 $ 1,886,938
Illinois Power Co., 8.75s, 2021................ 2,200 2,396,043
Long Island Lighting Co.,
8.75s, 1997................................... 2,000 2,058,220
Long Island Lighting Co.,
8.9s, 2019.................................... 6,450 6,511,855
Long Island Lighting Co., 9.625s, 2024......... 800 814,369
Louisiana Power & Light Co., 10.67s, 2017...... 1,075 1,156,409
Louisiana Power & Light Co., 10.67s, 2017...... 400 430,292
Midland Cogeneration Venture Corp., 10.33s,
2002.......................................... 723 752,629
Midland Funding Corp. II, "A", 11.75s, 2005.... 1,750 1,833,457
Ohio Edison Co.,
7.375s, 2002.................................. 500 525,600
Texas & New Mexico Power Co., 12.5s, 1999...... 1,325 1,490,625
Texas & New Mexico Power Co., 9.25s, 2000...... 1,400 1,499,638
Utilicorp United, Inc.,
8.45s, 1999................................... 3,790 4,106,275
--------------
$ 45,345,614
--------------
UTILITIES -- GAS -- 0.9%
ANR Pipeline Co., 7s, 2025..................... $ 2,460 $ 2,585,189
California Energy Co.,
0s, 2004...................................... 1,900 1,795,500
Noram Energy Corp.,
7.5s, 2000.................................... 2,500 2,565,325
Northwest Pipeline Co.,
9s, 2022...................................... 375 416,168
Panhandle Eastern Corp., 8.625s, 2025.......... 1,125 1,252,552
Southern Union Co.,
7.6s, 2024.................................... 1,600 1,667,073
--------------
$ 10,281,807
--------------
UTILITIES -- TELEPHONE -- 0.2%
Century Telephone Enterprises, 8.25s, 2024..... $ 2,000 $ 2,184,060
--------------
Total Non-Convertible Bonds
(Identified Cost, $360,616,135)............................... $ 372,368,510
--------------
CONVERTIBLE BONDS -- 3.6%
BANKS AND CREDIT COMPANIES -- 0.2%
Bank of New York Co., Inc.,
7.5s, 2001.................................... $ 1,000 $ 2,432,500
--------------
</TABLE>
CONVERTIBLE BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
COMPUTER SOFTWARE -- SYSTEMS -- 0.2%
Data General Corp.,
7.75s, 2001................................... $ 2,000 $ 1,960,000
--------------
ELECTRONICS -- 0.4%
ADT Operations, Inc., 0s, 2010................. $ 9,385 $ 4,457,875
--------------
FINANCIAL INSTITUTIONS -- 0.5%
USF&G Corp., 0s, 2009.......................... $ 9,000 $ 5,073,750
--------------
INSURANCE -- 0.3%
Equitable Cos., Inc.,
6.125s, 2024.................................. $ 2,500 $ 2,853,126
--------------
MEDICAL AND HEALTH PRODUCTS -- 1.3%
Alza Corp., 0s, 2014........................... $ 5,000 $ 2,050,000
Ciba-Geigy, 6.25s, 2016##...................... 500 511,250
Roche Holdings, Inc.,
0s, 2008##.................................... 12,000 9,750,000
Roche Holdings, Inc.,
0s, 2010##.................................... 6,127 2,695,880
--------------
$ 15,007,130
--------------
OILS -- 0.1%
Noble Affiliates, Inc.,
4.25s, 2003................................... $ 1,300 $ 1,306,500
--------------
PRINTING AND PUBLISHING -- 0.1%
Time Warner, Inc., 8.75s, 2015................. $ 1,096 $ 1,134,981
--------------
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
Liberty Property Trust,
8s, 2001...................................... $ 2,000 $ 2,052,500
--------------
SPECIAL PRODUCTS AND SERVICES -- 0.2%
Cemex S.A., 4.25s, 1997##...................... $ 2,000 $ 1,687,501
--------------
STEEL -- 0.1%
USX-Marathon Group,
0s, 2005...................................... $ 2,400 $ 1,116,000
--------------
Total Convertible Bonds
(Identified Cost, $32,485,407)................................ $ 39,081,863
--------------
COMMON STOCKS AND WARRANTS -- 49.1%
<CAPTION>
Shares
<S> <C> <C>
U.S. STOCKS -- 48.7%
AEROSPACE -- 1.2%
Allied Signal, Inc............................. 58,000 $ 2,755,000
Raytheon Co.................................... 66,400 3,137,400
United Technologies Corp....................... 76,000 7,210,500
--------------
$ 13,102,900
--------------
AUTOMOTIVE -- 1.9%
Daimler Benz, ADR.............................. 30,500 $ 1,551,688
Dana Corp...................................... 120,000 3,510,000
Ford Motor Co.................................. 172,289 4,996,381
General Motors Corp............................ 204,636 10,820,128
--------------
$ 20,878,197
--------------
</TABLE>
40
<PAGE>
COMMON STOCKS AND WARRANTS -- continued
<TABLE>
<S> <C> <C>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
BANKS AND CREDIT COMPANIES -- 4.6%
Bank of Boston Corp..................................... 135,000 $ 6,243,750
Bank of New York, Inc................................... 92,500 4,509,376
Chase Manhattan Corp.................................... 142,300 8,626,937
Comerica, Inc........................................... 32,000 1,284,000
First Chicago Co........................................ 108,781 4,296,849
First Union Corp........................................ 42,000 2,336,250
Fleet/Norstar Financial Group, Inc...................... 30,000 1,222,500
Morgan (J.P.) & Co...................................... 15,000 1,203,750
National City Corp...................................... 278,000 9,208,750
NationsBank Corp........................................ 100,000 6,962,500
Northern Trust Co....................................... 90,000 5,040,000
--------------
$ 50,934,662
--------------
BUSINESS MACHINES -- 0.6%
Texas Instruments, Inc.................................. 32,000 $ 1,656,000
Xerox Corp.............................................. 35,000 4,795,000
--------------
$ 6,451,000
--------------
CHEMICALS -- 0.8%
Dow Chemical Co......................................... 55,000 $ 3,870,625
du Pont (E. I.) de Nemours & Co......................... 67,500 4,716,562
Grace (W.R.) & Co....................................... 6,900 407,963
--------------
$ 8,995,150
--------------
CONGLOMERATES -- 0.9%
Eastern Enterprises..................................... 170,000 $ 5,992,500
Textron, Inc............................................ 59,000 3,982,500
--------------
$ 9,975,000
--------------
CONSUMER GOODS AND SERVICES -- 2.7%
Colgate-Palmolive Co.................................... 154,000 $ 10,818,500
Philip Morris Cos., Inc................................. 200,000 18,100,000
Rubbermaid, Inc......................................... 40,300 1,027,650
--------------
$ 29,946,150
--------------
DEFENSE ELECTRONICS -- 0.4%
Loral Corp.............................................. 131,000 $ 4,634,125
--------------
ELECTRICAL EQUIPMENT -- 1.9%
General Electric Co..................................... 129,000 $ 9,288,000
Honeywell, Inc.......................................... 240,000 11,670,000
--------------
$ 20,958,000
--------------
ELECTRONICS -- 0.2%
Perkin-Elmer Corp....................................... 55,000 $ 2,076,250
--------------
FINANCIAL INSTITUTIONS -- 0.5%
Dean Witter Discover & Co., Inc......................... 12,418 $ 583,647
Federal Home Loan Mortgage Corp......................... 62,000 5,177,000
--------------
$ 5,760,647
--------------
FOOD AND BEVERAGE PRODUCTS -- 1.9%
Anheuser-Busch Cos., Inc................................ 39,500 $ 2,641,562
CPC International, Inc.................................. 70,000 4,803,750
Campbell Soup Co........................................ 15,000 900,000
General Mills, Inc...................................... 78,000 4,504,500
Kellog Co............................................... 33,500 2,587,875
</TABLE>
<TABLE>
<S> <C> <C>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
FOOD AND BEVERAGE PRODUCTS -- continued
McCormick & Co., Inc.................................... 32,500 $ 784,062
PepsiCo, Inc............................................ 78,300 4,375,012
--------------
$ 20,596,761
--------------
FOREST AND PAPER PRODUCTS -- 0.3%
Weyerhaeuser Co......................................... 75,000 $ 3,243,750
--------------
INSURANCE -- 4.0%
Aetna Life & Casualty Co................................ 106,400 $ 7,368,200
Allstate Corp........................................... 40,622 1,670,579
American General Corp................................... 162,000 5,649,750
CIGNA Corp.............................................. 60,500 6,246,625
GCR Holding Ltd......................................... 36,000 810,000
MBIA, Inc............................................... 57,000 4,275,000
Prudential Reinsurance Holdings......................... 83,200 1,944,800
Reliastar Financial Corp................................ 74,000 3,283,750
St. Paul Cos., Inc...................................... 45,000 2,503,125
Torchmark Corp.......................................... 112,000 5,068,000
Travelers, Inc.......................................... 69,618 4,377,231
UNUM Corp............................................... 23,000 1,265,000
--------------
$ 44,462,060
--------------
MACHINERY -- 0.8%
Deere & Co., Inc........................................ 109,500 $ 3,859,875
Ingersoll Rand Co....................................... 77,600 2,725,700
York International Corp................................. 36,000 1,692,000
--------------
$ 8,277,575
--------------
MEDICAL AND HEALTH PRODUCTS -- 2.7%
American Home Products Corp. ........................... 88,000 $ 8,536,000
Baxter International, Inc. ............................. 122,800 5,142,250
Lilly (Eli) & Co. ...................................... 174,000 9,787,500
SmithKline Beecham PLC, ADR............................. 107,000 5,938,500
--------------
$ 29,404,250
--------------
METALS AND MINERALS -- 0.3%
Cyprus Amax Minerals.................................... 50,000 $ 1,306,250
Phelps Dodge Corp. ..................................... 32,000 1,992,000
--------------
$ 3,298,250
--------------
OIL SERVICES -- 0.5%
Schlumberger Ltd. ...................................... 75,000 $ 5,193,750
--------------
OILS -- 7.5%
Amoco Corp. ............................................ 144,000 $ 10,350,000
British Petroleum PLC, ADR.............................. 77,375 7,901,922
Chevron Corp. .......................................... 100,000 5,250,000
Exxon Corp. ............................................ 143,000 11,457,875
Mobil Corp. ............................................ 66,000 7,392,000
Occidental Petroleum Corp. ............................. 405,000 8,656,875
Royal Dutch Petroleum Co. .............................. 89,000 12,560,125
Sun, Inc. .............................................. 69,558 1,904,150
TOTAL S.A., ADR......................................... 130,000 4,420,000
Ultramar Corp. ......................................... 137,300 3,535,475
Union Pacific Resources Group........................... 31,700 804,388
</TABLE>
41
<PAGE>
COMMON STOCKS AND WARRANTS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
OILS -- continued
USX- Marathon Group..................................... 323,000 $ 6,298,500
YPF Sociedad Anonima, ADR............................... 86,500 1,870,562
--------------
$ 82,401,872
--------------
PHOTOGRAPHIC PRODUCTS -- 0.9%
Eastman Kodak Co. ...................................... 150,000 $ 10,050,000
--------------
POLLUTION CONTROL -- 0.2%
WMX Technologies, Inc. ................................. 76,000 $ 2,270,500
--------------
PRECIOUS METALS AND MINERALS -- 0.2%
Freeport-McMoRan Copper & Gold, Inc. ................... 82,555 $ 2,311,540
--------------
PRINTING AND PUBLISHING -- 0.1%
Dun & Bradstreet........................................ 22,000 $ 1,424,500
--------------
RAILROADS -- 0.6%
CSX Corp. .............................................. 145,000 $ 6,615,625
Canadian National Railway Co. .......................... 28,100 421,500
--------------
$ 7,037,125
--------------
REAL ESTATE INVESTMENT TRUSTS -- 1.3%
Beacon Properties Corp. ................................ 72,000 $ 1,656,000
Equity Residential Properties........................... 32,000 980,000
Hospitality Properties Trust**.......................... 131,000 3,504,250
LTC Properties, Inc..................................... 76,300 1,144,500
Meditrust Corp.......................................... 84,200 2,936,475
National Health Investors, Inc.......................... 76,800 2,544,000
Sun Communities, Inc.................................... 44,200 1,165,775
--------------
$ 13,931,000
--------------
SPECIAL PRODUCTS AND SERVICES -- 0.5%
Minnesota Mining & Manufacturing Co. ................... 45,000 $ 2,981,250
Stanley Works........................................... 51,000 2,626,500
--------------
$ 5,607,750
--------------
STORES -- 1.3%
Dayton-Hudson Corp...................................... 30,000 $ 2,250,000
May Department Stores Co................................ 142,000 5,999,500
Sears, Roebuck & Co..................................... 158,000 6,162,000
--------------
$ 14,411,500
--------------
TELECOMMUNICATIONS -- 0.1%
Tele-Communications..................................... 20,625 $ 554,296
--------------
UTILITIES -- ELECTRIC -- 2.2%
CMS Energy Corp......................................... 100,000 $ 2,987,500
FPL Group, Inc.......................................... 150,000 6,956,250
Pacific Gas & Electric Co............................... 42,100 1,194,587
PECO Energy Co.......................................... 139,500 4,202,437
Pinnacle West Capital Corp.............................. 30,000 862,500
Portland General Corp................................... 148,300 4,319,237
Texas Utilities Co...................................... 37,500 1,542,187
Unicom Corp............................................. 80,200 2,626,550
--------------
$ 24,691,248
--------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
UTILITIES -- GAS -- 3.6%
British Gas PLC, ADR..................................... 38,000 $ 1,486,750
Coastal Corp............................................. 93,000 3,464,250
Enron Corp............................................... 46,000 1,753,750
Pacific Enterprises...................................... 400,000 11,300,000
Panhandle Eastern Corp................................... 100,000 2,787,500
Sonat, Inc............................................... 156,100 5,561,062
Tenneco, Inc............................................. 83,000 4,118,875
Williams Cos., Inc....................................... 196,000 8,599,500
--------------
$ 39,071,687
--------------
UTILITIES -- TELEPHONE -- 4.0%
AT&T Corp................................................ 196,500 $ 12,723,375
Ameritech Corp........................................... 60,000 3,540,000
British Telecommunications PLC, ADR...................... 38,100 2,152,650
Frontier Corp............................................ 80,000 2,400,000
GTE Corp................................................. 178,600 7,858,400
MCI Communications Corp.................................. 173,000 4,519,625
NYNEX Corp............................................... 108,000 5,832,000
SBC Communications....................................... 20,000 1,150,000
Sprint Corp. ............................................ 99,600 3,971,550
--------------
$ 44,147,600
--------------
Total U.S. Stocks
(Identified Cost, $415,132,136)................................ $ 536,099,095
--------------
FOREIGN STOCKS -- 0.4%
FRANCE -- 0.2%
Alcatel Alsthom Compagnie, ADR (Electrical Equipment).... 130,500 $ 2,283,750
--------------
SPAIN -- 0.2%
Iberdrola (Utilities -- Electric)........................ 250,000 $ 2,281,698
--------------
UNITED KINGDOM
National Power PLC
(Utilities -- Electric)................................. 88,400 $ 211,351
--------------
Total Foreign Stocks
(Identified Cost, $4,273,730).................................. $ 4,776,799
--------------
Total Common Stocks and Warrants
(Identified Cost, $419,405,866)................................ $ 540,875,894
--------------
PREFERRED STOCKS -- 0.5%
BANKS AND CREDIT COMPANIES -- 0.2%
Bank United of Texas, "B", 9.6%.......................... 60,000 $ 1,590,000
--------------
FOREST AND PAPER PRODUCTS -- 0.1%
Boise Cascade Corp., "F", 9.4%........................... 60,000 $ 1,575,000
--------------
STEEL -- 0.2%
USX Capital, LLC, 8.75%.................................. 77,400 $ 1,964,025
--------------
Total Preferred Stocks
(Identified Cost, $4,935,000).................................. $ 5,129,025
--------------
</TABLE>
42
<PAGE>
CONVERTIBLE PREFERRED STOCKS -- 4.4%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
AUTOMOTIVE -- 0.4%
General Motors Corp., $3.25.......................... 63,500 $ 4,651,375
--------------
BANKS AND CREDIT COMPANIES -- 0.1%
Washington Mutual, Inc., "D", $6.00.................. 10,000 $ 1,145,000
--------------
CONSTRUCTION SERVICES -- 0.1%
Southdown, Inc., "D", $2.875......................... 35,000 $ 1,548,750
--------------
CONSUMER GOODS AND SERVICES -- 0.2%
Corning Delaware LP.................................. 42,500 $ 2,140,937
--------------
FINANCE -- 0.1%
Security Capital Pacific Trust, "A".................. 35,000 $ 857,500
--------------
FOOD AND BEVERAGE PRODUCTS -- 0.3%
RJR Nabisco Holdings, "C", 9.25%..................... 518,000 $ 3,302,250
--------------
INSURANCE -- 0.8%
Allstate Corp., 6.76%................................ 225,200 $ 9,233,200
--------------
POLLUTION CONTROL -- 0.1%
Browning-Ferris Industries,
7.25%............................................... 42,000 $ 1,317,750
--------------
PRECIOUS METALS AND MINERALS -- 0.3%
Freeport-McMoRan Copper & Gold, Inc., 7%............. 40,000 $ 1,150,000
Freeport-McMoRan Copper & Gold, Inc., 5% ............ 80,000 2,180,000
--------------
$ 3,330,000
--------------
OIL SERVICES -- 0.1%
McDermott International, Inc.##...................... 40,000 $ 1,620,000
--------------
OILS -- 0.3%
Atlantic Richfield Co., 9%........................... 116,485 $ 2,737,397
--------------
SPECIAL PRODUCTS AND SERVICES -- 0.5%
Ceridian Corp., 5.5%................................. 33,000 $ 3,052,500
Occidental Petroleum Corp., $3.875##................. 30,000 1,657,500
--------------
$ 4,710,000
--------------
STEEL -- 0.3%
AK Steel Holdings Corp., 7%.......................... 100,000 $ 3,350,000
--------------
UTILITIES -- ELECTRIC -- 0.1%
Williams Cos., Inc., $3.50, ##....................... 15,000 $ 1,102,500
--------------
UTILITIES -- GAS -- 0.1%
Western Gas Resources, Inc., $2.625.................. 26,000 $ 910,000
--------------
UTILITIES -- TELEPHONE -- 0.6%
Cointel, 7%, Prides##................................ 109,200 $ 6,115,200
--------------
Total Convertible Preferred Stocks
(Identified Cost, $45,720,780)............................. $ 48,071,859
--------------
</TABLE>
SHORT-TERM OBLIGATIONS -- 8.2%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Federal Home Loan Bank, due 1/09/96 - 2/05/96.. $15,000 $ 14,941,981
Federal Home Loan Mortgage Corp., due 1/08/96 -
1/22/96...................................... 15,000 14,973,390
Federal National Mortgage Assn., due 1/03/96 -
2/21/96...................................... 42,125 41,998,390
GTE South, due 1/31/96......................... 3,900 3,881,313
Pacific Gas & Electric, due 1/18/96............ 5,000 4,986,801
Transamerica Co., due 1/02/96.................. 10,200 10,198,365
--------------
Total Short-Term Obligations,
at Amortized Cost......................................... $ 90,980,240
--------------
Total Investments
(Identified Cost, $954,143,428)........................... $1,096,507,391
OTHER ASSETS,
LESS LIABILITIES -- 0.3%................................... 3,380,006
--------------
Net Assets -- 100.0%....................................... $1,099,887,397
==============
</TABLE>
See portfolio footnotes and notes to financial statements
43
<PAGE>
PORTFOLIO OF INVESTMENTS -- December 31, 1995
UTILITIES SERIES
COMMON STOCKS -- 71.6%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 55.7%
CONSUMER GOODS AND SERVICES -- 1.6%
Philip Morris Cos., Inc. ............................... 7,700 $ 696,850
--------------
OILS -- 1.6%
Noble Affiliates, Inc................................... 23,000 $ 687,125
--------------
REAL ESTATE INVESTMENT TRUSTS -- 10.1%
Beacon Properties Corp. ................................ 15,000 $ 345,000
FelCor Suite Hotels, Inc................................ 16,700 463,425
Hospitality Properties Trust............................ 17,250 461,438
LTC Properties, Inc. ................................... 17,900 268,500
National Health Investors, Inc. ........................ 17,600 583,000
Public Storage, Inc. ................................... 44,300 841,700
Reckson Associates Realty Corp. ........................ 14,400 423,000
Sovran Self Storage, Inc. .............................. 7,000 184,625
TriNet Corporate Realty Trust, Inc. .................... 28,500 776,625
--------------
$ 4,347,313
--------------
UTILITIES -- ELECTRIC -- 17.5%
CMS Energy Corp. ....................................... 29,700 $ 887,288
Cinergy Corp. .......................................... 20,316 622,178
FPL Group, Inc. ........................................ 13,500 626,063
Illinova Corp. ......................................... 28,950 868,500
PECO Energy Co. ........................................ 22,200 668,775
Pinnacle West Capital Corp. ............................ 30,550 878,313
Portland General Corp. ................................. 47,600 1,386,350
Public Service Company of New Mexico.................... 18,400 324,300
SCEcorp................................................. 20,000 355,000
Texas Utilities Co. .................................... 13,300 546,963
Unicom Corp. ........................................... 12,400 406,100
--------------
$ 7,569,830
--------------
UTILITIES -- GAS -- 13.1%
Coastal Corp............................................ 30,300 $ 1,128,675
El Paso Natural Gas..................................... 5,000 141,875
Enron Corp.............................................. 17,600 671,000
Equitable Resources, Inc................................ 6,000 187,500
Pacific Enterprises..................................... 19,900 562,175
Panhandle Eastern Corp.................................. 30,400 $ 847,400
Questar Corp............................................ 3,000 100,500
Sonat, Inc.............................................. 7,000 249,375
Westcoast Energy, Inc................................... 46,500 680,063
Williams Cos., Inc...................................... 25,000 1,096,875
--------------
$ 5,665,438
--------------
UTILITIES -- TELEPHONE -- 11.8%
AT&T Corp............................................... 12,725 $ 823,944
Ameritech Corp.......................................... 11,000 649,000
Frontier Corp........................................... 41,800 1,254,000
GTE Corp................................................ 17,500 770,000
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
UTILITIES -- TELEPHONE -- continued
MCI Communications Corp................................. 31,200 $ 815,100
SBC Communications, Inc................................. 13,200 759,000
--------------
$ 5,071,044
--------------
Total U.S. Stocks
(Identified Cost, $20,546,035)................................ $ 24,037,600
--------------
FOREIGN STOCKS -- 15.9%
ARGENTINA -- 1.6%
Centenl Costanera, ADR##................................ 22,100 $ 687,863
--------------
BRAZIL -- 0.1%
Telecom Brasileiras S.A., ADR........................... 1,000 $ 47,375
--------------
CANADA -- 0.6%
Transcanada Pipelines Ltd. ............................. 20,000 $ 275,000
--------------
CHILE -- 4.1%
Chilectra S.A., ADR*.................................... 19,000 $ 945,250
Chilgener S.A., ADR..................................... 32,000 800,000
--------------
$ 1,745,250
--------------
DENMARK -- 2.2%
Tele Danmark, ADR....................................... 34,900 $ 964,113
--------------
ITALY -- 1.7%
Telecom Italia
(Utilities -- Telephone)............................. 676,100 $ 711,460
--------------
MEXICO -- 0.1%
Telefonos de Mexico, ADR, "A"........................... 1,000 $ 31,875
--------------
SOUTH KOREA -- 0.6%
Korea Electric Power Corp., ADR......................... 10,000 $ 267,500
--------------
SPAIN -- 1.6%
Empresa Nacional de Electricidad, ADR................... 5,500 $ 314,875
Iberdrola
(Utilities -- Electric)................................ 42,000 383,325
--------------
$ 698,200
--------------
UNITED KINGDOM -- 3.3%
London Electricity
(Utilities -- Electric)................................ 21,000 $ 186,975
National Grid Group
(Utilities -- Electric)*............................... 17,908 55,326
National Power
(Utilities -- Electric)................................ 70,000 167,360
PowerGen (Utilities -- Electric)........................ 75,000 619,448
PowerGen (Utilities -- Electric)........................ 110,000 377,413
--------------
$ 1,406,522
--------------
Total Foreign Stocks
(Identified Cost, $6,227,895)................................. $ 6,835,158
--------------
Total Common Stocks
(Identified Cost, $26,773,930)................................ $ 30,872,758
--------------
</TABLE>
44
<PAGE>
CONVERTIBLE PREFERRED STOCKS -- 1.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Enron Corp........................................ 4,600 $ 110,400
Cointel, 7%, Prides##............................. 6,400 358,400
-----------
Total Convertible Preferred Stocks
(Identified Cost, $452,650)...................................... $ 468,800
-----------
NON-CONVERTIBLE BONDS -- 19.3%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
U.S. GOVERNMENT AGENCY -- 2.3%
Tennessee Valley Authority, 7.625s, 1999.......... $ 1,000 $ 1,015,160
-----------
U.S. TREASURY OBLIGATIONS -- 14.6%
U.S. Treasury Notes, 5.5s, 1996................... $ 875 $ 875,683
U.S. Treasury Notes, 9.125s, 1999................. 500 557,970
U.S. Treasury Notes, 6.125s, 2000................. 1,000 1,030,000
U.S. Treasury Notes, 7.5s, 2001................... 915 1,007,790
U.S. Treasury Notes, 7.875s, 2004................. 1,320 1,527,900
U.S. Treasury Bonds, 7.625s, 2025................. 1,050 1,283,951
-----------
$ 6,283,294
-----------
UTILITIES -- ELECTRIC -- 1.8%
BVPS II Funding Corp.,
8.33s, 2007...................................... $ 17 $ 17,017
Coastal Corp., 10.375s, 2000...................... 100 116,868
Coastal Corp., 7.75s, 2035........................ 100 103,820
First PV Funding Corp.,
10.15s, 2016..................................... 50 51,125
Gulf States Utilities, 8.25s, 2004................ 100 107,825
Hidroelectrica Alicura, 8.375s, 1999##............ 25 23,000
Ohio Edison Co., 7.375s, 2002..................... 100 105,120
System Energy Resources, 7.38s, 2000.............. 100 99,500
Texas & New Mexico Power Co., 12.5s, 1999......... 50 56,250
Utilicorp United, Inc., 8.45s, 1999............... 100 108,345
-----------
$ 788,870
-----------
UTILITIES -- GAS -- 0.6%
ANR Pipeline Co., 7s, 2025........................ $ 100 $ 105,085
Southern Union Co., 7.6s, 2024.................... 50 52,095
Tenneco, Inc., 6.5s, 2005......................... 100 99,750
-----------
$ 256,930
-----------
Total Non-Convertible Bonds
(Identified Cost, $7,844,309).................................... $ 8,344,254
-----------
</TABLE>
CONVERTIBLE BONDS -- 2.1%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
ADT Operations, Inc.,0s, 2010.................... $ 730 $ 346,750
Assisted Living Concepts, Inc.,
7s, 2005##...................................... 280 287,700
Rogers Communications, Inc., 2s, 2005............ CAD 521 276,130
-----------
Total Convertible Bonds
(Identified Cost, $893,840)..................................... $ 910,580
-----------
SHORT-TERM OBLIGATION -- 7.2%
Federal Home Loan Mortgage Corp., due 1/02/96, at
Amortized Cost.................................. $ 3,100 $ 3,099,505
-----------
Total Investments
(Identified Cost, $39,064,234).................................. $43,695,897
OTHER ASSETS,
LESS LIABILITIES -- (1.3)%....................................... (561,537)
-----------
Net Assets -- 100.0%............................................. $43,134,360
===========
</TABLE>
See portfolio footnotes and notes to financial statements
45
<PAGE>
PORTFOLIO OF INVESTMENTS -- December 31, 1995
WORLD ASSET ALLOCATION SERIES
STOCKS -- 60.0%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- 42.9%
AUSTRALIA -- 2.8%
Australia & New Zealand Bank Group Ltd. (Finance).......... 27,886 $ 130,615
Q.B.E. Insurance Group (Insurance)......................... 53,700 247,938
Seven Network Ltd. (Media)................................. 65,500 183,786
Woolworths Ltd. (Retail)................................... 71,784 172,644
-----------
$ 734,983
-----------
CANADA -- 1.1%
Canadian National Railway Co. (Railroads)*................. 5,200 $ 78,000
Potash Corp. of Saskatchewan (Precious Metals and
Minerals)................................................. 500 35,437
Rogers Communications, Inc. (Telecommunications)........... 14,600 163,173
-----------
$ 276,610
-----------
FINLAND -- 0.3%
Aamulehti Yhtymae Oy II (Publishing)*...................... 3,900 $ 81,518
-----------
FRANCE -- 2.6%
Essilor International (Medical and Health Products)*....... 1,550 $ 295,870
Essilor International, Pfd. (Medical and Health Products)*. 800 111,593
Michelin (C.G.D.E.) (Tire and Rubber)*..................... 3,700 147,366
TOTAL S.A. (Oils).......................................... 1,970 132,780
-----------
$ 687,609
-----------
GERMANY -- 1.8%
Adidas AG (Apparel and Textiles)*.......................... 3,000 $ 158,510
Hornbach Baumarkt AG (Retail)*............................. 3,000 128,854
Volkswagen AG (Automotive)*................................ 520 173,610
-----------
$ 460,974
-----------
HONG KONG -- 2.8%
Consolidated Electric Power -- Asia (Utilities --
Electric)................................................ 56,000 $ 101,758
Florens Group (Packaging and Containers)*##................ 240,000 156,750
Giordano International Ltd. (Retail)....................... 185,000 157,915
Liu Chong Hing Bank (Banks and Credit Companies)*.......... 60,000 71,391
Peregrine Investment Holdings (Finance).................... 70,000 90,532
Varitronix International Ltd. (Manufacturing).............. 74,000 137,338
-----------
$ 715,684
-----------
ITALY -- 1.5%
De Rigo S.p.A., ADR (Stores)*.............................. 100 $ 2,275
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
ITALY -- continued
Gucci Group N.V. (Apparel and Textiles)*.................... 2,700 $ 104,962
Telecom Italia Mobile (Telecommunications)*................. 231,000 283,487
-----------
$ 390,724
-----------
JAPAN -- 8.6%
Bridgestone Corp. (Tire and Rubber)......................... 12,000 $ 190,273
Canon, Inc. (Consumer Goods)................................ 4,000 72,319
DDI Corp. (Telecommunications).............................. 61 471,816
Daiwa House Industry (Home Construction).................... 6,000 98,617
East Japan Railway Co. (Transportation)..................... 31 150,459
Kinki Coca-Cola (Beverages)*................................ 6,000 81,214
Kirin Beverage Corp. (Beverages)............................ 9,000 120,951
MOS Food Services (Restaurants and Lodging)................. 4,000 102,098
Matsushita Electric Industrial Co. (Electrical Equipment)... 11,000 178,671
Murata Manufacturing Co. Ltd. (Electrical Equipment)........ 5,000 183,699
Nissen Corp. (Retail)....................................... 100 2,339
Omron Tateisi Electronics (Electronics)..................... 11,000 253,118
Osaka Sanso Kogyo (Chemicals)............................... 29,000 113,555
Takeda Chemical Industries (Chemicals)*..................... 12,000 197,234
-----------
$ 2,216,363
-----------
MALAYSIA -- 0.9%
Maruichi Malaysia Steel Tube (Metals)....................... 13,000 $ 48,394
New Straits Time Press (Publishing)......................... 52,000 174,118
-----------
$ 222,512
-----------
NETHERLANDS -- 2.8%
Getronics NV (Computer Software and Services)............... 5,746 $ 268,170
IHC Caland NV (Transportation -- Marine).................... 5,300 178,095
Royal Dutch Petroleum Co. (Oils)............................ 2,000 279,029
-----------
$ 725,294
-----------
NEW ZEALAND -- 1.4%
Lion Nathan Ltd. (Beverages)................................ 156,000 $ 371,704
-----------
NORWAY -- 0.6%
Tomra Systems AS (Environmental Control).................... 19,800 $ 156,247
-----------
SINGAPORE -- 1.4%
Singapore Finance Ltd. (Financial Services)................. 117,000 $ 196,130
</TABLE>
46
<PAGE>
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
SINGAPORE -- continued
Singapore Press Holdings (Publishing)*...................... 9,000 $ 159,145
-----------
$ 355,275
-----------
SOUTH KOREA -- 1.7%
Hanil Cement Manufacturing
(Building Materials)....................................... 1,600 $ 92,819
Korea Electric Power
(Utilities -- Electric).................................... 4,600 200,912
Korea Mobile Telecommunications (Telecommunications)........ 130 146,557
-----------
$ 440,288
-----------
SPAIN -- 3.1%
Acerinox S.A. (Iron and Steel)*............................. 2,710 $ 273,406
Cubiertas y Mzov S.A. (Engineering and Construction)........ 2,900 160,236
Iberdrola (Utilities -- Electric)........................... 17,500 159,718
Repsol S.A. (Oils).......................................... 6,500 212,444
-----------
$ 805,804
-----------
SWEDEN -- 5.5%
ASEA AB, Free Shares, "B" (Electrical Equipment)............ 4,200 $ 408,343
Astra AB, Free Shares, "B" (Pharmaceuticals)*............... 13,600 538,317
Marieberg Tidnings, "A" (Publishing)*....................... 5,100 118,204
Sparbanken Svergie (Banks and Credit Companies)............. 23,000 292,501
TV 4 AB (Telecommunications)*............................... 3,500 60,577
-----------
$ 1,417,942
-----------
UNITED KINGDOM -- 4.0%
ASDA Group PLC (Supermarkets)............................... 148,000 $ 255,044
Capital Radio (Broadcasting)................................ 14,000 116,934
PowerGen PLC (Utilities -- Electric)........................ 145,344 505,167
Storehouse PLC (Retail Department Stores)................... 29,500 153,000
-----------
$ 1,030,145
-----------
Total Foreign Stocks
(Identified Cost, $10,487,182).................................... $11,089,676
-----------
U.S. STOCKS -- 17.1%
AEROSPACE -- 0.5%
General Dynamics Corp....................................... 2,000 $ 118,250
-----------
AGRICULTURAL PRODUCTS -- 0.6%
AGCO Corp................................................... 2,300 $ 117,300
Case Corp................................................... 1,100 50,325
-----------
$ 167,625
-----------
AIRLINES -- 0.2%
Midwest Express Holdings, Inc.*............................. 1,200 $ 33,300
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
AIRLINES -- continued
Southwest Airlines Co...................................... 1,200 $ 27,900
-----------
$ 61,200
-----------
APPAREL AND TEXTILES -- 0.2%
Nike, Inc., "B"............................................ 600 $ 41,775
-----------
AUTOMOTIVE -- 0.6%
General Motors Corp........................................ 3,000 $ 158,625
-----------
BANKS AND CREDIT COMPANIES -- 0.4%
First Interstate Bancorp................................... 800 $ 109,200
-----------
BUSINESS SERVICES -- 0.3%
ADT Ltd.*.................................................. 3,700 $ 55,500
DST Systems, Inc.*......................................... 100 2,850
Technology Solutions Co.*.................................. 1,300 25,350
-----------
$ 83,700
-----------
CELLULAR TELEPHONES -- 0.1%
AirTouch Communications, Inc.*............................. 1,200 $ 33,900
-----------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 0.2%
Microsoft Corp.*........................................... 700 $ 61,425
-----------
COMPUTER SOFTWARE -- SYSTEMS -- 0.9%
Adobe Systems, Inc. ....................................... 500 $ 31,000
BMC Software, Inc. * ...................................... 2,000 85,500
Compuware Corp.*........................................... 500 9,250
Sybase, Inc.*.............................................. 2,600 93,600
-----------
$ 219,350
-----------
CONSUMER GOODS AND SERVICES -- 1.1%
Philip Morris Cos., Inc. .................................. 1,300 $ 117,650
Tyco International Ltd. ................................... 4,900 174,563
-----------
$ 292,213
-----------
DEFENSE ELECTRONICS -- 0.5%
Loral Corp. ............................................... 3,600 $ 127,350
-----------
ELECTRICAL EQUIPMENT -- 0.4%
Honeywell, Inc............................................. 2,000 $ 97,250
-----------
ELECTRONICS -- 0.7%
Atmel Corp.*............................................... 3,000 $ 67,125
Cypress Semiconductor Corp.*............................... 840 10,710
Intel Corp. ............................................... 1,950 110,663
-----------
$ 188,498
-----------
ENTERTAINMENT -- 1.4%
Argosy Gaming Corp.*....................................... 2,700 $ 20,588
Casino America, Inc.*...................................... 2,600 15,925
Harrah's Entertainment, Inc.*.............................. 7,500 181,875
Heritage Media Corp.*...................................... 1,400 35,875
Rio Hotel & Casino, Inc.*.................................. 2,000 23,750
Showboat, Inc. ............................................ 3,000 79,125
-----------
$ 357,138
-----------
</TABLE>
47
<PAGE>
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
FINANCIAL INSTITUTIONS -- 1.3%
Federal Home Loan Mortgage Corp. .......................... 2,250 $ 187,875
Student Loan Marketing Assn. .............................. 2,000 131,750
-----------
$ 319,625
-----------
FOOD AND BEVERAGE PRODUCTS -- 0.9%
Interstate Bakeries Corp. ................................. 5,600 $ 125,300
Nabisco Holdings Corp. .................................... 400 13,050
PepsiCo, Inc. ............................................. 1,900 106,163
-----------
$ 244,513
-----------
FOREST AND PAPER PRODUCTS -- 0.7%
Fort Howard Corp.*......................................... 3,900 $ 87,750
Kimberly Clark Corp. ...................................... 1,200 99,300
-----------
$ 187,050
-----------
INSURANCE -- 0.3%
Prudential Reinsurance Holdings*........................... 3,400 $ 79,475
-----------
MACHINERY -- 0.5%
Ingersoll Rand Co. ........................................ 1,800 $ 63,225
York International Corp. .................................. 1,600 75,200
-----------
$ 138,425
-----------
MEDICAL AND HEALTH PRODUCTS -- 0.2%
MediSense, Inc.*........................................... 1,600 $ 50,600
-----------
MEDICAL AND HEALTH TECHNOLOGY
AND SERVICES -- 0.8%
Beverly Enterprises*....................................... 4,900 $ 52,062
Genesis Health Ventures, Inc.*............................. 200 7,300
Pacificare Health Systems, Inc., "B"*...................... 1,300 113,100
Regency Health Services*................................... 2,900 29,363
-----------
$ 201,825
-----------
OIL SERVICES -- 0.2%
Halliburton Co. ........................................... 1,200 $ 60,750
-----------
OILS -- 0.8%
Amoco Corp. ............................................... 800 $ 57,500
Mobil Corp. ............................................... 500 56,000
USX-Marathon Group......................................... 2,800 54,600
Union Pacific Resources Group*............................. 1,800 45,675
-----------
$ 213,775
-----------
PHOTOGRAPHIC PRODUCTS -- 0.3%
Eastman Kodak Co. ......................................... 1,200 $ 80,400
-----------
RAILROADS -- 0.3%
Wisconsin Central Transportation Corp.*.................... 1,100 $ 72,325
-----------
RESTAURANTS AND LODGING -- 0.8%
FelCor Suite Hotels, Inc. ................................. 4,100 $ 113,775
Hometown Buffet, Inc.*..................................... 300 3,319
Mandarin Oriental House*................................... 4,200 5,082
Promus Hotel Corp.*........................................ 3,500 77,875
-----------
$ 200,051
-----------
</TABLE>
<TABLE>
<CAPTION>
Issuer..................................................... Shares Value
<S>........................................................ <C> <C>
U.S. STOCKS -- continued
SPECIAL PRODUCTS AND SERVICES -- 0.3%
Stanley Works.............................................. 1,600 $ 82,400
-----------
STORES -- 0.3%
Federated Department
Stores, Inc.*............................................. 2,800 $ 77,000
-----------
TELECOMMUNICATIONS -- 1.1%
Cabletron Systems, Inc.*................................... 1,200 $ 97,200
Cellular Communications*................................... 1,000 42,750
Total Access
Communications*........................................... 21,000 136,500
-----------
$ 276,450
-----------
UTILITIES--TELEPHONE -- 0.2%
MCI Communications Corp.................................... 1,700 $ 44,413
-----------
Total U.S. Stocks
(Identified Cost, $3,822,596)............................ $ 4,446,576
-----------
Total Common Stocks
(Identified Cost, $4,309,778)............................ $15,536,252
-----------
BONDS -- 27.2%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C> <C>
FOREIGN DENOMINATED -- 15.0%
AUSTRALIA -- 1.7%
Commonwealth of Australia,
9.75s, 2002........................................ AUD 228 $ 183,969
Commonwealth of Australia,
9.5s, 2003......................................... 325 260,306
-----------
$ 444,275
-----------
CANADA -- 0.2%
Government of Canada,
8.5s, 2000......................................... CAD 50 $ 39,318
-----------
DENMARK -- 2.6%
Kingdom of Denmark, 9s,
1998............................................... DKK 99 $ 19,410
Kingdom of Denmark, 9s,
2000............................................... 3,175 635,000
Kingdom of Denmark, 8s,
2001............................................... 76 14,653
-----------
$ 669,063
-----------
FRANCE -- 2.3%
Government of France, 7s,
1999............................................... FRF 1,140 $ 243,065
Government of France,
7.75s, 2000........................................ 1,640 358,536
-----------
$ 601,601
-----------
GERMANY -- 2.9%
Republic of Germany, 6.5s,
2003............................................... DEM 995 $ 721,401
Republic of Germany,
6.875s, 2005....................................... 45 33,174
-----------
$ 754,575
-----------
ITALY -- 1.1%
Republic of Italy, 8.5s,
1999............................................... ITL 235,000 $ 142,451
Republic of Italy, 9.5s,
1999............................................... 105,000 64,641
</TABLE>
48
<PAGE>
BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
FOREIGN DENOMINATED -- continued
ITALY -- continued
Republic of Italy, 8.5s, 2004..................... ITL135,000 $ 75,624
-----------
$ 282,716
-----------
NETHERLANDS -- 0.4%
Government of Netherlands,
8.25s, 2007...................................... NLG 132 $ 95,283
-----------
NEW ZEALAND -- 0.6%
Government of New Zealand,
10s, 2002........................................ NZD 200 $ 147,467
-----------
SPAIN -- 1.2%
Kingdom of Spain, 10.5s, 2003..................... ESP 31,500 $ 270,218
Kingdom of Spain, 10.9s, 2003..................... 6,000 52,462
-----------
$ 322,680
-----------
UNITED KINGDOM -- 2.0%
United Kingdom Treasury,
8s, 2000......................................... GBP 150 $ 244,228
United Kingdom Treasury,
7s, 2001......................................... 180 279,713
-----------
$ 523,941
-----------
Total Foreign Denominated
(Identified Cost, $3,808,614).................................... $ 3,880,919
-----------
FOREIGN -- U.S. DOLLAR DENOMINATED -- 1.2%
Federative Republic of Brazil,
4s, 2014
(Identified Cost, $274,287)...................... $ 531 $ 303,770
-----------
U.S. DOLLAR DENOMINATED -- 11.0%
INDUSTRIALS -- 9.0%
Building -- 1.1%
American Standard, Inc.,
0s to 1998, 10.5s to 2005........................ $ 350 $ 300,125
-----------
Consumer Goods and Services -- 1.0%
Westpoint Stevens, Inc.,
9.375s, 2005..................................... $ 250 $ 246,875
-----------
Containers -- 0.9%
Owens-Illinois, Inc., 11s, 2003................... $ 200 $ 226,000
-----------
Medical and Health Products -- 1.1%
Tenet Healthcare Corp.,
10.125s, 2005.................................... $ 250 $ 278,125
-----------
Supermarkets -- 1.1%
Ralph's Grocery Co., 11s, 2005.................... $ 300 $ 297,000
-----------
Telecommunications -- 3.8%
Continental Cablevision, Inc.,
8.3s, 2006##..................................... $ 400 $ 401,500
Jones Intercable, Inc.,
9.625s, 2002..................................... 250 268,750
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
INDUSTRIALS -- continued
Telecommunications -- continued
Paging Network, Inc.,
8.875s, 2006..................................... $ 000 $ 307,500
-----------
$ 977,750
-----------
Total Industrials................................ $ 2,325,875
-----------
U.S. TREASURY OBLIGATION -- 2.0%
U.S. Treasury Notes,
9.375s, 1996..................................... $ 500 $ 505,705
-----------
Total U.S. Dollar Denominated
(Identified Cost, $2,742,818)................... $ 2,831,580
-----------
Total Bonds
(Identified Cost, $6,825,719)................... $ 7,016,269
-----------
SHORT-TERM OBLIGATION -- 12.0%
Federal Home Loan Mortgage Corp., due 1/02/96, at
Amortized Cost................................... $ 3,100 $ 3,099,505
-----------
CALL OPTIONS PURCHASED
<CAPTION>
Principal Amount
of Contracts
Description/Expiration Month/Strike Price (000 Omitted)
<S> <C> <C>
Japanese Bonds/March/107.489..................... JPY14,700 $ 1,044
March/112.796.............................. 16,000 656
March/115.828.............................. 37,000 777
-----------
Total Call Options Purchased
(Premiums Paid, $6,227).......................................... $ 2,477
-----------
Total Investments
(Identified Cost, $24,241,229)................................... $25,654,503
-----------
PUT OPTIONS WRITTEN
Japanese Bonds/March/107.489..................... JPY14,700 $ (2,616)
March/112.796.............................. 16,000 (3,904)
-----------
Total Put Options Written
(Premiums Received, $4,002)...................................... $ (6,520)
-----------
OTHER ASSETS,
LESS LIABILITIES -- 0.8%.......................................... $ 215,410
-----------
Net Assets -- 100.0%.............................................. $25,863,393
===========
</TABLE>
See portfolio footnotes and notes to financial statements
49
<PAGE>
PORTFOLIO OF INVESTMENTS -- December 31, 1995
WORLD GOVERNMENTS SERIES
BONDS -- 79.2%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
FOREIGN DENOMINATED -- 60.9%
AUSTRALIA -- 8.3%
Commonwealth of
Australia,
9.75s, 2002............ AUD 5,715 $ 4,611,320
Commonwealth of
Australia,
9.5s, 2003............. 5,000 4,004,709
Queensland Treasury
Corp.,
8s, 2001............... 5,425 4,024,965
-------------
$ 12,640,994
-------------
CANADA -- 4.0%
Government of Canada,
8.5s, 2000............. CAD 1,000 $ 786,369
Government of Canada,
8.75s, 2005............ 6,500 5,323,379
-------------
$ 6,109,748
-------------
DENMARK -- 5.9%
Kingdom of Denmark, 9s,
1998................... DKK 18,353 $ 3,598,310
Kingdom of Denmark, 9s,
2000................... 13,500 2,700,000
Kingdom of Denmark, 8s,
2001................... 14,247 2,746,904
-------------
$ 9,045,214
-------------
FRANCE -- 7.6%
Government of France,
7s, 1999............... FRF 21,890 $ 4,667,278
Government of France,
7.75s, 2000............ 31,990 6,993,633
-------------
$ 11,660,911
-------------
GERMANY -- 4.8%
German Unity Fund, 8.5s,
2001............. DEM 850 $ 678,402
Republic of Germany,
6.5s, 2003............. 2,600 1,885,068
Republic of Germany,
6.875s, 2005........... 6,500 4,791,855
-------------
$ 7,355,325
-------------
ITALY -- 6.1%
Republic of Italy, 8.5s,
1999............. ITL 9,045,000 $ 5,482,854
Republic of Italy, 9.5s,
1999............. 2,600,000 1,600,630
Republic of Italy, 8.5s,
2004............. 3,935,000 2,204,294
-------------
$ 9,287,778
-------------
NETHERLANDS -- 5.1%
Government of
Netherlands,
8.25s, 2007............ NLG 10,709 $ 7,730,205
-------------
NEW ZEALAND -- 3.4%
Government of New
Zealand,
10s, 2002.............. NZD 7,000 $ 5,161,362
-------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
FOREIGN DENOMINATED -- continued
SPAIN -- 8.5%
Government of Spain,
10.5s, 2003............ ESP 906,980 $ 7,780,400
Government of Spain,
10.9s, 2003............ 593,000 5,184,971
-------------
$ 12,965,371
-------------
UNITED KINGDOM -- 7.2%
United Kingdom Gilts,
8s, 2000............... GBP 2,900 $ 4,721,738
United Kingdom Gilts,
7s, 2001............... 4,000 6,215,841
-------------
$ 10,937,579
-------------
Total Foreign Denominated
(Identified Cost, $90,277,642)......... $ 92,894,487
-------------
U.S. DOLLAR DENOMINATED -- 18.3%
U.S. Treasury Notes,
5.875s, 2005........... $ 10,400 $ 10,634,000
U.S. Treasury Bonds,
8.875s, 2017........... 12,940 17,331,448
-------------
Total U.S. Dollar Denominated
(Identified Cost, $27,592,934)......... $ 27,965,448
-------------
Total Bonds
(Identified Cost, $117,870,576)........ $ 120,859,935
-------------
SHORT-TERM OBLIGATIONS -- 25.6%
Federal Home Loan
Mortgage Corp., due
1/02/96................ $ 17,709 $ 17,706,251
Federal National
Mortgage Assn., due
1/03/96................ 6,630 6,627,959
Ford Motor Credit Co.,
due 1/09/96............ 7,000 6,991,056
Motorola, Inc., due
1/08/96................ 1,600 1,598,273
Raytheon Co., due
1/04/96................ 6,000 5,997,035
------------
Total Short-Term Obligations,
at Amortized Cost...................... $ 38,920,574
------------
</TABLE>
50
<PAGE>
CALL OPTIONS PURCHASED -- 0.1%
<TABLE>
<CAPTION>
Principal Amount
of Contracts
Description/Expiration Month/Strike Price (000 Omitted) Value
<S> <C> <C>
Italian Lire/Deutsche Marks/
January/1,085................................... ITL 7,730,625 $ 7,731
Japanese Bonds/
March/107.489................................... JPY 307,300 21,818
March/112.796................................... 330,000 13,530
March/115.828................................... 1,292,000 27,132
JapaneseYen/
January/97.50................................... 1,768,995 1,769
Swedish Kronor/
Deutsche Marks
February/4.535.................................. SEK 96,060 84,341
------------
Total Call Options Purchased
(Premiums Paid, $461,811)....................................... $ 156,321
------------
PUT OPTIONS PURCHASED -- 0.1%
Australian Dollars/ January/0.745................ AUD 4,117 $ 34,270
Deutsche Marks/
February/1.46................................... DEM 21,091 114,651
Deutsche Marks/
British Pounds/
March/2.265..................................... 14,949 68,003
------------
Total Put Options Purchased
(Premiums Paid, $282,718)....................................... $ 216,924
------------
Total Investments
(Identified Cost, $157,535,679)................................. $160,153,754
------------
CALL OPTIONS WRITTEN -- (0.3)%
Deutsche Marks/
British Pounds/
March/2.148..................................... DEM 14,174 $ (40,085)
Italian Lire/Deutsche Marks/
August/1,125.................................... ITL 20,486,289 (348,267)
------------
Total Call Options Written
(Premiums Received, $402,528)................................... $ (388,352)
------------
PUT OPTIONS WRITTEN -- (0.5)%
Australian Dollars/
January/0.745................................... AUD 4,117 $ (34,270)
Italian Lire/Deutsche Marks/
August/1,125.00................................. ITL 20,486,289 (614,589)
Japanese Bonds/
March/107.489................................... JPY 307,300 (54,699)
March/112.796................................... 330,000 (80,520)
------------
Total Put Options Written
(Premiums Received, $890,213)................................... $ (784,078)
------------
OTHER ASSETS,
LESS LIABILITIES -- (4.2)%....................................... $ (6,494,132)
------------
Net Assets -- 100.0%............................................. $152,487,192
============
</TABLE>
See portfolio footnotes and notes to financial statements
PORTFOLIO OF INVESTMENTS -- December
31, 1995
WORLD GROWTH SERIES
STOCKS AND WARRANTS -- 91.8%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS AND WARRANTS -- 53.1%
ARGENTINA -- 0.9%
Banco Frances del Rio Plata, ADR
(Banks and Credit Companies)............................ 6,670 $ 179,256
Buenos Aires Embotelladora S.A., ADR (Beverages)......... 5,000 103,125
CAPEX S.A. (Utilities -- Electric)*...................... 15,000 109,391
Inversiones y Representacion ARP (Special Products and
Services)............................................... 57,613 145,040
Mirgor Sacifia, ADR (Automotive)*##...................... 46,000 108,100
Perez Companc S.A. (Oil/Gas)............................. 26,500 140,310
Telecom Argentina, "B",
Arpi ARS Argentina (Telecommunications)*................ 26,000 122,597
Telefonica de Argentina, ADR (Utilities -- Telephone)*... 2,800 76,300
YPF Sociedad Anonima, ADR (Oils)......................... 17,520 378,870
------------
$ 1,362,989
------------
AUSTRALIA -- 1.3%
Australia & New Zealand Bank Group Ltd. (Finance)........ 51,200 $ 239,816
News Corp. Ltd. (Media).................................. 89,700 478,075
News Corp. Ltd., Pfd. (Media)*........................... 12,300 57,430
Sydney Harbour Casinos Ltd. (Entertainment)*............. 338,400 427,030
Western Mining Holdings, ADS (Metals and Minerals)....... 112,025 718,469
------------
$ 1,920,820
------------
BANGLADESH -- 0.1%
Bangladesh Fund (Finance)+*.............................. 9,000 $ 74,250
------------
BRAZIL -- 2.0%
Aracruz Celulose S.A., ADR
(Forest and Paper Products)............................. 19,600 $ 151,900
CESP, ADR (Utilities -- Electric)........................ 10,400 226,200
Centrais Eletricas Brasile, ADR
(Utilities -- Electric)*................................ 24,100 325,350
Companhia Brasileira Distribuicao Grupo Pao de Acucar, GDS
(Supermarkets)*##....................................... 27,000 276,750
Companhia Siderurgicas, ADR
(Iron and Steel)*....................................... 10,146 192,774
Companhia Vale do Rio Doce, ADR (Iron and Steel)......... 7,000 285,250
Iochpe Maxion S.A.,
ADR (Automotive)........................................ 38,700 106,425
Rhodia-Ster S.A.,
GDR (Chemicals)##....................................... 24,300 212,625
</TABLE>
51
<PAGE>
STOCKS AND WARANTS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS AND WARRANTS -- continued
BRAZIL -- continued
Sao Paulo Alpargatas,
ADR (Textiles)........................................... 41,250 $ 288,750
Telecom Brasileiras S.A.,
ADR (Telecommunications)................................. 12,850 608,769
<CAPTION>
Usiminas Siderurgicas, ADR
(Iron and Steel)*##...................................... 36,400 297,570
<S> <C> <C>
------------
$ 2,972,363
------------
CANADA -- 0.5%
Echo Bay Mines Ltd. (Precious Metals and Minerals)........ 49,400 $ 512,525
Placer Dome, Inc. (Precious Metals
and Minerals)............................................ 9,700 234,012
------------
$ 746,537
------------
CHILE -- 0.9%
Banco Osorno y La Union, ADR (Finance).................... 15,000 $ 208,125
Compania de Telefonos Chile S.A., ADR (Utilities --
Telephone).............................................. 1,860 154,148
Enersis S.A., ADR
(Utilities -- Electric).................................. 6,930 197,505
Maderas y Sinteticos Sociedad S.A., ADR (Forest and Paper
Products)................................................ 9,100 177,450
Moneda Chile Fund (Finance)*.............................. 25,000 268,750
Sociedad Quimica Minera de Chile, ADR, "B" (Chemicals).... 3,500 164,500
Vina Concha y Toro S.A., ADR
(Special Products and Services)*......................... 6,600 118,800
------------
$ 1,289,278
------------
CHINA -- 1.0%
Chengdu Telecommunications (Electronics).................. 230,000 $ 39,265
China Harbin Power Plant Equipment (Electronics)*......... 248,000 36,565
China Southern Glass, "B" (Containers)*................... 106,860 45,608
China Yucai International, ADR (Automotive)*.............. 5,500 44,688
Dong Fang Electric Machinery (Electronics)................ 182,000 48,842
Huaxin Cement Co. (Construction)*......................... 478,800 122,573
Jilin Chemical Industries (Chemicals)*.................... 614,000 127,056
Lizhu Pharmaceuticals Group, "B" (Pharmaceuticals)*....... 200 65
Luoyong Glass Co. Ltd. (Building Materials)............... 252,000 64,858
Shandong Huaneng Power, ADR (Utilities -- Electric)....... 3,900 26,325
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS AND WARRANTS -- continued
CHINA -- continued
Shanghai Dajiang (Group) Co. Ltd., "B" (Agriculture)*..... 214,750 $ 98,356
Shanghai Friendship & Overseas Chinese Co. (Retail)*...... 254,400 126,182
Shanghai Lujiazhui Finance & Trading Co., "B"
(Financial Institutions)*................................ 163,000 92,584
Shanghai New Asia (Group) Co. Ltd. (Restaurants and Food
Service)*................................................ 362,900 191,611
Shanghai Petrochemical (Oils)............................. 458,000 131,796
Shanghai Post & Telecommunications, "B"
(Telecommunications)*.................................... 281,600 112,077
Shanghai Shangling Electric Appliances Co. Ltd., "B"
(Furniture and Home Appliances)*......................... 122,700 75,092
Shenzhen Chiwan Wharf Holdings Ltd. (Transportation --
Marine)*................................................ 190,300 71,621
Yizheng Chemical Fibre Co. Ltd. (Chemicals)............... 190,000 42,757
------------
$ 1,497,921
------------
COLOMBIA -- 0.2%
Banco Industrial Colombian, ADR (Banks and Credit
Companies)............................................... 3,700 $ 60,125
Cadenalco Gran Cadena de Almacenes Colombia, ADR
(Retail)*##.............................................. 7,500 84,375
Cementos Diamante S.A., ADR (Construction)##.............. 5,800 102,950
Corporacion Financiera del Valle S.A., ADR (Finance)##.... 4,543 43,158
------------
$ 290,608
------------
DENMARK -- 0.4%
Novo-Nordisk A/S, "B" (Biopharmaceuticals)*............... 4,131 $ 564,669
------------
FRANCE -- 2.2%
Alcatel Alsthom Compagnie (Electrical Equipment)*......... 5,795 $ 498,960
Compagnie Bancaire S.A. (Finance)*........................ 11,409 1,275,035
Eaux (Compagnie Generale) (Construction)*................. 5,257 524,145
Lafarge-Coppee S.A.
(Building Materials)..................................... 3,477 223,716
Michelin (C.G.D.E.), "B"
(Tire and Rubber)*....................................... 8,832 351,767
Sidel (Machinery)......................................... 979 304,671
------------
$ 3,178,294
------------
</TABLE>
52
<PAGE>
STOCKS AND WARANTS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS AND WARRANTS -- continued
GERMANY -- 2.5%
Adidas AG (Apparel and Textiles)*......................... 2,500 $ 132,092
Daimler-Benz AG (Automotive).............................. 3,498 1,758,132
Kaufhof Holdings AG
(Consumer Goods)......................................... 793 241,240
Mannesmann AG
(Diversified Machinery).................................. 2,611 830,104
Volkswagen AG (Automotive)*............................... 2,021 674,745
------------
$ 3,636,313
------------
GREECE -- 0.3%
Aegek (Engineering
and Construction)........................................ 14,520 $ 124,667
Aegek, Pfd. (Engineering
and Construction)*....................................... 2,640 17,111
Alpha Credit Bank (Finance)............................... 1,600 92,256
Hellenic Bottling Co. S.A. (Beverages)*................... 4,410 143,845
Papastratos Cigarette S.A.
(Tobacco Products)*...................................... 4,000 126,263
------------
$ 504,142
------------
HONG KONG -- 4.5%
China Light & Power
(Utilities -- Electric).................................. 29,500 $ 135,825
Citic Pacific Ltd. (Conglomerate)......................... 89,000 304,456
Esprit Asia Holdings
(Apparel and Textiles)................................... 40,000 13,709
Giordano International
(Retail -- Apparel)...................................... 309,000 263,761
Guoco Group Ltd. (Finance)................................ 52,000 250,854
HSBC Holdings PLC (Finance)............................... 22,000 332,902
Hang Seng Bank (Finance).................................. 79,000 707,547
Hong Kong & China Gas Ltd. (Utilities -- Gas)............. 155,000 249,580
Hong Kong Telecommunications (Telecommunications)......... 45,800 81,743
Hutchison Whampoa (Real Estate)........................... 319,000 1,943,210
Jardine Matheson Holdings Ltd. (Conglomerate)............. 1,200 8,220
New World Development Co.
(Real Estate)............................................ 183,000 797,607
New World Infrastructure Ltd. (Engineering and
Construction)*........................................... 276 528
Sun Hung Kai Properties
(Real Estate)............................................ 173,000 1,415,190
Swire Pacific Air Ltd.
(Transportation -- Air).................................. 2,000 15,520
Television Broadcasting Ltd. (Media)...................... 10,000 35,631
Yue Yuen Industrial Holdings
(Shoes and Leather)*..................................... 168,000 44,542
------------
$ 6,600,825
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS AND WARRANTS -- continued
HUNGARY -- 0.2%
Fotex (Retail)............................................. 25,000 $ 14,472
Magyar Olaj es Gas (Oil/Gas)*.............................. 13,250 106,000
OTP Bank (Finance)*........................................ 5,970 41,307
Richter Gedeon Rt (Pharmaceuticals)*....................... 6,498 125,602
Zalakeramia Rt
(Miscellaneous Manufacturing)*............................ 2,090 49,886
------------
$ 337,267
------------
INDIA -- 1.1%
Bajaj Auto Ltd., GDR (Automotive)*......................... 7,900 $ 197,500
Great Eastern Shipping Co., GDR (Transportation --
Marine)*................................................. 25,600 201,728
Gujarat Narmada Valley Fertilizer, GDR (Chemicals)##....... 17,300 99,475
India Gateway Fund Ltd., Warrants (Finance)*............... 4,000 --
India Gateway Fund Ltd. (Finance)+*........................ 20,000 110,400
India Gateway Fund Ltd., Conv. Pfd. (Finance)*............. 2,500 43,725
India Magnum Fund NV (Finance)+*........................... 6,720 286,272
NEPC Micon, GDR
(Utilities -- Electric)*##................................ 39,000 37,050
Raymond Ltd., GDR (Textiles)*##............................ 17,760 293,040
Reliance Industries, GDS
(Consumer Goods and Services)*............................ 16,860 236,040
Shiriram Industrial Enterprises Ltd., Warrants (Special
Products and Services)*................................... 3,000 30
South Indian Viscose Ltd., GDR
(Apparel and Textiles)*##................................. 17,333 138,664
------------
$ 1,643,924
------------
INDONESIA -- 1.0%
Astra International (Automotive)*.......................... 77,500 $ 161,176
Bank International Indonesia
(Finance)................................................. 60,500 200,651
Hanjaya Mandala Sampoerna
(Retail)*................................................. 18,250 190,171
Indocement Tunggal Prakar
(Retail).................................................. 24,000 80,648
Indofoods Suksesi Makmur
(Food Processing)*........................................ 47,500 228,765
Indosat (Telecommunications)*.............................. 15,500 56,327
Inti Indorayon Utama
(Forest and Paper Products)............................... 64,500 67,776
Mayora Indah (Food Processing)............................. 99,000 71,519
PT Gudang Garam (Tobacco)*................................. 8,000 83,713
PT Indosat, ADR (Telecommunications)....................... 2,430 88,695
Semen Gresik (Building Materials).......................... 64,500 180,736
------------
$ 1,410,177
------------
</TABLE>
53
<PAGE>
STOCKS AND WARRANTS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS AND WARRANTS -- continued
ITALY -- 3.0%
Banco Commerciale Italiana (Finance).................... 111,800 $ 238,817
De Rigo S.p.A., ADR (Retail)*........................... 10,000 227,500
Fiat S.p.A. (Automotive)................................ 350,500 1,139,622
Fila Holdings, ADR (Apparel and Textiles)............... 15,800 718,900
Luxottica Group S.p.A., ADR (Consumer Goods and
Services).............................................. 13,400 783,900
Olivetti Group (Computers).............................. 1,313,500 1,053,614
Stet Societa Finanziaria Telefonica S.p.A.
(Telecommunications)*.................................. 88,300 249,822
------------
$ 4,412,175
------------
JAPAN -- 15.7%
DDI Corp. (Telecommunications).......................... 188 $ 1,454,124
Daiei, Inc. (Retail).................................... 89,000 1,075,607
Daiwa Securities Co. Ltd. (Finance)..................... 97,000 1,481,775
Ito Yokado Co. Ltd. (Retail)............................ 9,000 553,418
Kawasaki Heavy Industries (Aerospace -- Defense)........ 141,000 647,539
Komori Corp. (Printing Machinery)....................... 33,000 829,547
Kyocera Corp. (Electronics)............................. 5,000 370,782
Matsuzakaya Co. Ltd. (Retail)........................... 24,000 303,974
Mitsubishi Trust & Banking (Finance).................... 41,000 681,814
Murata Manufacturing Co. Ltd. (Electrical Equipment).... 5,000 183,699
NEC Corp. (Electronics --Semiconductors)................ 147,000 1,790,776
NTT Data Communications Systems Co. (Computer Software). 34 1,140,675
Nichido Fire & Marine Ltd. (Insurance).................. 91,000 730,252
Nikon Corp. (Jewelry -- Watches and Gemstones).......... 33,000 446,679
Nippon Steel Corp. (Steel).............................. 382,000 1,307,435
Nippon Telephone & Telegraph Co. (Telecommunications)... 132 1,065,648
Nissan Motor Co. Ltd. (Automotive)*..................... 174,000 1,334,062
Obayashi Corp. (Engineering and Construction)........... 84,000 665,958
Pioneer Electronics Corp. (Electronics)................. 24,000 438,557
Sharp Corp. (Electronics)............................... 119,000 1,898,385
Sony Corp. (Electronics)................................ 26,700 1,597,921
Sumitomo Bank (Finance)................................. 59,000 1,249,251
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS AND WARRANTS -- continued
JAPAN -- continued
Sumitomo Realty & Development (Real Estate)............... 167,000 $ 1,178,672
Tokyo Ohka Kogyo Ltd. (Chemicals)......................... 22,200 643,914
------------
$ 23,070,464
------------
MALAYSIA -- 1.9%
DCB Holdings Berhad (Finance)............................. 129,000 $ 376,049
Genting Berhad (Leisure)+................................. 36,000 300,650
Land & General Berhad
(Special Products and Services)*......................... 500 1,083
Lion Land Berhad (Finance)*............................... 178,000 176,703
Magnum Corp. Berhad (Entertainment)....................... 15,000 28,363
Malayan Cement Berhad
(Building Materials)*.................................... 78,000 148,718
Malaysian Helicopter Services Berhad (Transportation)..... 400 517
O.Y.L. Industries Berhad
(Real Estate)*........................................... 29,000 225,054
Petronas Gas Berhad (Gas)*##.............................. 58,000 197,636
Renong Berhad (Conglomerate)*............................. 239,000 354,004
Resorts World Berhad (Entertainment)...................... 103,000 551,822
Rothmans Pall Mall
(Tobacco Products)*...................................... 18,000 148,198
Telekom Malaysia (Telecommunications)..................... 30,000 233,996
------------
$ 2,742,793
------------
MEXICO -- 1.3%
ALFA S.A. de C.V.
(Diversified Holding Company)*........................... 23,000 $ 295,714
Cemex S.A., "A" (Construction)............................ 1,687 5,587
Cemex S.A., "B" (Construction)*........................... 65,875 239,545
Cifra S.A. de C.V. (Retail)............................... 152,300 154,278
Corporacion GEO S.A. de C.V., ADR (Home Builders)*##...... 13,400 157,008
Grupo Carso (Conglomerate)*............................... 49,700 268,509
Grupo Financiaro Banamex, "L" (Finance)................... 5,065 7,538
Grupo Financiaro Banamex, "B" (Finance)................... 101,300 169,974
Kimberly Clark de Mexico S.A. de C.V. (Forest and Paper
Products)*............................................... 12,700 191,984
Panamerican Beverage (Beverages)*......................... 5,575 178,400
Telefonos de Mexico S.A. (Telecommunications)*............ 164,460 263,990
------------
$ 1,932,527
------------
</TABLE>
54
<PAGE>
STOCKS AND WARRANTS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS AND WARRANTS -- continued
NETHERLANDS -- 0.8%
Philips Electronics (Electronics)*...................... 6,560 $ 236,764
Wolters Kluwer (Publishing)............................. 10,590 1,000,350
------------
$ 1,237,114
------------
NEW ZEALAND -- 0.3%
Sky City Ltd. (Entertainment)*.......................... 24,000 $ 497,434
------------
NORWAY -- 0.2%
Tomra Systems A/S
(Environmental Control)................................ 30,000 $ 236,739
------------
PERU -- 0.3%
Backus & Johnson (Beverages)*........................... 31,660 $ 54,624
Minsur S.A. (Metals)*................................... 19,027 133,958
Telefonica del Peru, "B"
(Utilities -- Telephone)............................... 97,374 209,475
------------
$ 398,057
------------
PHILIPPINES -- 0.7%
C & P Homes, Inc. (Homebuilders)*....................... 210,000 $ 154,235
International Container Terminal Services
(Transportation)*...................................... 248,250 130,234
Manila Electric Co.
(Utilities -- Electric)................................ 14,337 117,059
Metropolitan Bank & Trust Co. (Finance)................. 8,327 162,029
Petron Corp. (Oils)*.................................... 101,875 52,473
Philippine Long Distance Telephone Co., ADR
(Utilities -- Telephone)............................... 1,700 92,012
SM Prime Holdings, Inc.
(Real Estate)*......................................... 375,600 107,478
San Miguel Corp., ADR
(Food and Beverage Products)........................... 30,230 103,227
Southeast Asia Cement
(Building Materials)*.................................. 1,040,000 134,910
------------
$ 1,053,657
------------
PORTUGAL -- 0.3%
Cimpor Ciment DS de Portugal S.A. (Building Materials).. 7,320 $ 121,137
Engil SGPS
(Engineering and Construction)*........................ 9,079 77,759
Portugal Telecom (Telecommunications)*.................. 6,262 117,674
Sonae Industria Investimentos (Finance)................. 2,200 15,200
Sonae Investimentos SGPS S.A. (Forest and Paper
Products).............................................. 2,400 51,252
------------
$ 383,022
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS AND WARRANTS -- continued
SINGAPORE -- 1.5%
City Developments Ltd.
(Real Estate)............................................ 98,000 $ 713,962
Development Bank of Singapore Ltd. (Finance)*............. 22,000 273,872
Fraser & Neave Ltd. (Beverages)*.......................... 32,000 407,413
Keppel Corp. (Transportation)*............................ 59,000 525,817
Overseas Chinese Banking Corp. Ltd. (Finance)*............ 21,000 262,908
------------
$ 2,183,972
------------
SOUTH AFRICA
Southern Africa Minerals Corp. (Precious Metals and
Minerals)*............................................... 95,000 $ 59,179
------------
SOUTH KOREA -- 0.6%
Korea Electric Power Corp., ADR
(Utilities -- Electric).................................. 3,600 $ 96,300
Korea Mobile Telecommunications, GDR
(Telecommunications)*##.................................. 8,800 389,400
L.G. Electronics, GDS (Electronics)*##.................... 3,200 37,760
Samsung Electronics, GDR (Electronics)*................... 60 5,790
Samsung Electronics, GDR (Electronics)*................... 807 48,420
Samsung Electronics, GDR (Electronics)*................... 15 1,440
Samsung Electronics, GDS (Electronics)*................... 4,080 239,700
------------
$ 818,810
------------
SPAIN -- 1.0%
Banco de Santander S.A. (Finance)......................... 14,160 $ 709,048
Telefonica de Espana
(Utilities -- Telephone)................................. 55,470 766,236
------------
$ 1,475,284
------------
SRI LANKA -- 0.1%
DFCC Sri Lanka (Finance)*................................. 13,100 $ 73,444
Royal Ceramics Sri Lanka
(Building Materials)*.................................... 114,500 67,403
------------
$ 140,847
------------
SWEDEN -- 1.8%
Astra AB, Free Shares, "A" (Pharmaceuticals)*............. 37,651 $ 1,501,643
Astra AB, Free Shares, "B" (Pharmaceuticals)*............. 3,987 157,814
Skandinaviska Enskilda Banken, "A" (Finance).............. 111,515 923,082
------------
$ 2,582,539
------------
TAIWAN -- 0.2%
Acer, Inc., GDR (Computers)*##............................ 5,000 $ 65,000
Asia Cement, GDS (Construction Services)*................. 3,245 51,109
</TABLE>
55
<PAGE>
STOCKS AND WARRANTS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS AND WARRANTS -- continued
TAIWAN -- continued
GVC Corp., GDR (Computers)*##............................. 1,569 $ 12,160
Siliconware Precision Industries Co., GDR (Special
Products and Services)*.................................. 3,300 54,450
Yageo Corp., GDR
(Electronics)*........................................... 7,678 65,263
------------
$ 247,982
------------
THAILAND -- 0.8%
Bangkok Bank Ltd. (Finance)*.............................. 22,500 $ 273,431
Banpu Public Co. Ltd. (Mining)*........................... 5,500 118,388
CP Feedmill Co. (Food Products)........................... 19,500 95,254
Italian-Thai Development (Construction)*.................. 7,000 71,724
Land & House Public Co. Ltd. (Real Estate)................ 4,500 73,987
Loxley Public Co. Ltd. (Electronic Communication)*........ 4,000 74,662
Phatra Thanakit Co. (Finance)............................. 9,300 79,778
Shinawatra Computer Co. Ltd. (Computers).................. 3,100 76,330
Siam Cement Public Co. Ltd. (Building Materials)*......... 1,100 60,985
Siam Makro (Retail)*...................................... 32,100 117,921
Thailand Farmers Bank
Co. (Finance)............................................ 8,200 82,716
Thailand Theparos Food
Products Public Co. Ltd.
(Food Processing)*....................................... 24,600 86,950
------------
$ 1,212,126
------------
TURKEY -- 0.4%
Altinyildiz Men (Apparel
and Textiles)*........................................... 356,400 $ 76,165
Arcelik A.S. (Furniture and Home Appliances).............. 87,282 6,898
Ardem Pisirici ve Is (Miscellaneous)*..................... 400,000 50,322
Eczactibasi Yapi (Furniture and Home Appliances)*##....... 665,000 71,862
Ege Biracilik ve Malt Sanayii A.S. (Beverages)............ 212,704 72,044
Eregli Demir Celik (Manufacturing--Metals)................ 676,900 54,588
Kaplamin Turkey
(Forest and Paper Products)*............................. 417,000 77,346
Migros Turk (Retail)*..................................... 234,720 176,037
------------
$ 585,262
------------
UNITED KINGDOM -- 3.1%
ASDA Group PLC (Retail)................................... 797,300 $ 1,373,968
Antofagasta Holdings (Mining)............................. 7,700 34,070
BPB Industries (Building Materials)....................... 107,000 496,692
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS AND WARRANTS -- continued
UNITED KINGDOM -- continued
ECI Telecom. Ltd. (Telecommunications).................... 17,000 $ 387,812
Fleming Russia Securities Fund (Finance)+*................ 46,800 257,400
Korea Europe Fund (Finance)+*............................. 10 40,625
Ladbroke Group (Leisure).................................. 103,800 236,084
Lasalle Re Holdings Ltd. (Insurance)*..................... 1,300 29,738
Pilkington PLC, Rights
(Building Materials)..................................... 25 34
Pilkington PLC (Building Materials)....................... 100 314
Sears PLC (Retail)........................................ 368,200 594,496
Smith (W.H.) Group PLC (Retail)........................... 34,300 225,783
Vodafone Group PLC (Telecommunications)................... 226,100 810,857
------------
$ 4,487,873
------------
Total Foreign Stocks and Warrants (Identified Cost,
$77,225,781).................................................... $ 77,788,233
------------
U.S. STOCKS AND WARRANTS -- 38.7%
AIRLINES
Eagle USA Airfreight*..................................... 300 $ 7,875
Midwest Express Holdings, Inc.*........................... 400 11,100
------------
$ 18,975
------------
APPAREL AND TEXTILES -- 0.1%
Nine West Group, Inc.*.................................... 2,800 $ 105,000
------------
AUTOMOTIVE -- 0.8%
APS Holding Corp. *....................................... 50,600 $ 1,138,500
------------
BANKS AND CREDIT COMPANIES -- 0.1%
Credicorp*................................................ 10,276 $ 177,261
------------
BIOTECHNOLOGY -- 0.4%
Guidant Corp. ............................................ 12,000 $ 507,000
Integra Lifesciences*..................................... 15,000 97,500
------------
$ 604,500
------------
BUSINESS MACHINES -- 0.5%
Affiliated Computer Co. *................................. 21,100 $ 791,250
------------
BUSINESS SERVICES -- 6.7%
ADT Ltd. * ............................................... 55,000 $ 825,000
Accustaff, Inc. * ........................................ 1,700 74,800
CUC International, Inc. * ................................ 38,300 1,306,988
Ceridian Corp. * ......................................... 30,000 1,237,500
Computer Sciences, Inc. * ................................ 9,500 667,375
Corestaff, Inc. * ........................................ 400 14,600
DST Systems, Inc. * ...................................... 25,000 712,500
Franklin Quest Co. * ..................................... 4,200 81,900
Global Directmail*........................................ 3,400 93,500
Interim Services, Inc. * ................................. 42,000 1,459,500
Learning Tree International*.............................. 43,900 685,938
</TABLE>
56
<PAGE>
STOCKS AND WARRANTS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS AND WARRANTS -- continued
BUSINESS SERVICES -- continued
Paychex, Inc. ............................................. 5,000 $ 249,375
Reynolds & Reynolds, "A"................................... 11,000 427,625
SPS Transaction Services Corp. * .......................... 1,300 38,512
Techno Solutions Co. * .................................... 82,000 1,599,000
Transaction Systems Architects, "A"*....................... 11,800 398,250
------------
$ 9,872,363
------------
COMPUTER SOFTWARE -- PERSONAL COMPUTERS -- 1.1%
Electronic Arts, Inc. * ................................... 2,500 $ 65,312
First Data Corp. .......................................... 13,501 902,879
Spectrum Holobyte, Inc. * ................................. 54,100 351,650
Symantec Corp. * .......................................... 9,000 209,250
Visio Corp. ............................................... 500 14,125
------------
$ 1,543,216
------------
COMPUTER SOFTWARE -- SYSTEMS -- 7.6%
Adobe Systems, Inc......................................... 15,500 $ 961,000
BDM International, Inc. * ................................. 1,700 49,300
BMC Software, Inc.*........................................ 34,800 1,487,700
Cadence Design Systems, Inc. * ............................ 56,000 2,352,000
Citrix Systems, Inc. * .................................... 300 9,750
Computer Associates International.......................... 20,200 1,148,875
Network Appliance, Inc. * ................................. 500 20,062
Objective Systems Integrated*.............................. 800 43,800
Oracle Systems Corp. * .................................... 63,000 2,669,625
PC Docs Group International, Inc. * ....................... 28,000 500,500
Softquad International, Inc. * ............................ 11,000 58,446
Sybase, Inc. * ............................................ 37,400 1,346,400
System Software Associates, Inc. .......................... 24,300 528,525
------------
$ 11,175,983
------------
CONSTRUCTION SERVICES -- 0.1%
Shaw Group, Inc. * ........................................ 22,000 $ 195,250
------------
CONSUMER GOODS AND SERVICES -- 1.4%
Department 56, Inc. * ..................................... 14,000 $ 537,250
Meta Group, Inc. * ........................................ 300 9,188
Service Corp. International................................ 8,000 352,000
Sola International, Inc. * ................................ 17,000 429,250
Tyco International Ltd. ................................... 18,000 641,250
USA Detergents, Inc. * .................................... 500 11,750
------------
$ 1,980,688
------------
ELECTRONICS -- 0.9%
LSI Logic Corp. * ......................................... 38,500 $ 1,260,875
------------
ENTERTAINMENT -- 1.2%
Grand Casinos, Inc. * ..................................... 2,250 $ 52,312
Harrah's Entertainment, Inc. * ............................ 41,000 994,250
Heritage Media Corp. * .................................... 17,000 435,625
Showboat, Inc. ............................................ 12,000 316,500
------------
$ 1,798,687
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS AND WARRANTS -- continued
FINANCIAL INSTITUTIONS -- 0.1%
BHI Corp. * ............................................... 10,700 $ 168,525
------------
INSURANCE -- 0.3%
Amerin Corp. * ............................................ 10,000 $ 267,500
Compdent Corp. * .......................................... 4,600 190,900
------------
$ 458,400
------------
MACHINERY
SI Handling Systems, Inc. ................................. 7,500 $ 48,750
------------
MEDICAL AND HEALTH PRODUCTS -- 1.0%
Biochem Pharmaceuticals, Inc. * ........................... 11,500 $ 461,438
IDEC Pharmaceuticals*...................................... 15,000 292,500
MediSense, Inc. * ......................................... 15,000 474,375
Neuromedical Systems*...................................... 12,100 243,512
------------
$ 1,471,825
------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 6.5%
Advantage Health Corp. * .................................. 27,000 $ 1,177,875
Community Care America*.................................... 3,100 32,550
Community Health Systems *................................. 19,000 676,875
Foundation Health Corp. * ................................. 16,500 709,500
Health Management Associates, Inc. * ...................... 18,500 483,312
Healthsource, Inc. * ...................................... 24,000 864,000
Healthsouth Corp. * ....................................... 14,000 407,750
Henry Schein, Inc. * ...................................... 500 14,750
IDX Systems*............................................... 15,000 521,250
Pacificare Health Systems, Inc., "A"*...................... 6,900 600,300
Pacificare Health Systems, Inc., "B"*...................... 8,500 739,500
St. Jude Medical, Inc...................................... 9,000 387,000
Surgical Care Affiliates, Inc.............................. 13,000 442,000
Total Renal Care Holdings*................................. 700 20,650
United Dental Care, Inc. * ................................ 600 24,750
United Healthcare Corp. ................................... 36,700 2,403,850
------------
$ 9,505,912
------------
OILS -- 0.3%
Union Pacific Resources Group*............................. 14,000 $ 355,250
------------
RESTAURANTS AND LODGING -- 4.0%
Applebee's International, Inc.............................. 31,000 $ 705,250
Bristol Hotel Co. * ....................................... 1,000 24,375
Extended Stay America*..................................... 500 13,750
HFS, Inc. * ............................................... 48,000 3,924,000
Promus Hotel Corp. * ...................................... 31,100 691,975
Renaissance Hotel Group*................................... 20,000 510,000
------------
$ 5,869,350
------------
SPECIAL PRODUCTS AND SERVICES
Central Package Corp. * ................................... 900 $ 25,875
------------
STORES -- 1.7%
Corporate Express, Inc. *.................................. 8,000 $ 241,000
General Nutrition Cos., Inc. * ............................ 4,000 92,000
</TABLE>
57
<PAGE>
STOCKS AND WARRANTS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS AND WARRANTS -- continued
STORES -- continued
Hollywood Entertainment Corp.* ................... 14,200 $ 118,925
MSC Industrial Direct, Inc., "A"*................. 700 19,250
Micro Warehouse, Inc.* ........................... 22,000 951,500
Office Depot, Inc.* .............................. 36,000 711,000
Officemax, Inc.* ................................. 15,600 349,050
------------
$ 2,482,725
------------
TELECOMMUNICATIONS -- 3.2%
Bay Networks, Inc.* .............................. 21,700 $ 892,412
Cabletron Systems, Inc.* ......................... 19,900 1,611,900
Cisco Systems, Inc.* ............................. 1,500 111,938
International Business Communications+++*......... 12,600 124,992
Midcom Communication*............................. 2,500 45,625
Tel-Save Holdings, Inc.* ......................... 800 11,100
Tellabs, Inc.* ................................... 6,100 225,700
U.S. Robotics Corp.* ............................. 7,000 614,250
Westell Technologies, "A"*........................ 700 17,588
WorldCom, Inc.* .................................. 27,200 958,800
------------
$ 4,614,305
------------
UTILITIES -- TELEPHONE -- 0.7%
Frontier Corp. ................................... 10,000 $ 300,000
MCI Communications Corp. ......................... 25,000 653,125
------------
$ 953,125
------------
Total U.S. Stocks and Warrants
(Identified Cost, $52,746,066).................................. $ 56,616,590
------------
Total Stocks and Warrants
(Identified Cost, $129,971,847)................................. $134,404,823
------------
CONVERTIBLE BONDS -- 0.3%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
FOREIGN DENOMINATED
Michelin, 2.5s, 2001.............................. FRF104 $ 5,601
------------
U.S. DOLLAR DENOMINATED -- 0.3%
Argosy Gaming Corp.,
12s, 2001........................................ $ 200 $ 179,500
Gujarat Ambrja Cement,
3.5s, 1999....................................... 125 166,875
Teco Electric & Machinery Ltd., 2.75s, 2004##..... 80 62,200
United Micro Electric,
1.25s, 2004##.................................... 63 79,065
------------
$ 487,640
------------
Total Convertible Bonds
(Identified Cost, $448,414)..................................... $ 493,241
------------
</TABLE>
SHORT-TERM OBLIGATIONS -- 8.1%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Federal Home Loan Mortgage Corp., due 1/02/96 -
1/04/96....................................... $6,000 $ 5,997,660
Ford Motor Credit Co.,
due 1/02/96.................................... 5,800 5,799,034
------------
Total Short-Term Obligations,
at Amortized Cost.............................................. $ 11,796,694
------------
Total Investments
(Identified Cost, $142,216,955)................................ $146,694,758
OTHER ASSETS,
LESS LIABILITIES -- (0.2)%...................................... (306,525)
------------
Net Assets -- 100.0%............................................ $146,388,233
============
</TABLE>
See portfolio footnotes and notes to financial statements
58
<PAGE>
PORTFOLIO OF INVESTMENTS -- December 31, 1995
WORLD TOTAL RETURN SERIES
COMMON STOCKS -- 52.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- 32.4%
AUSTRALIA -- 3.4%
Australia & New Zealand Bank Group Ltd. (Finance)........ 11,000 $ 51,523
Broken Hill Property (Real Estate)....................... 10,204 143,914
Q.B.E. Insurance Group (Insurance)....................... 16,953 78,274
Seven Network Ltd. (Telecommunications).................. 28,900 81,090
Woolworths Ltd., ADR
(Retail -- Grocery)##................................... 4,860 116,033
------------
$ 470,834
------------
CANADA -- 0.2%
Canadian National Railway Co. (Railroads)*............... 2,100 $ 31,500
------------
DENMARK -- 1.2%
Tele-Danmark, ADR
(Utilities -- Telephone)................................ 6,230 $ 172,104
------------
FRANCE -- 2.9%
Elf Aquitaine, ADR (Oils)................................ 1,910 $ 70,193
LVMH Moet-Hennessy
(Consumer Goods)........................................ 175 36,403
Pinault-Printemps
(Consumer Goods)........................................ 700 139,471
TOTAL S.A., ADR (Oils)................................... 1,345 45,730
TV Francaise (Telecommunications)*....................... 960 102,783
------------
$ 394,580
------------
GERMANY -- 1.3%
Adidas AG (Apparel and Textiles)*........................ 1,400 $ 73,971
Deutsche Bank AG (Finance)*.............................. 1,000 47,316
Hornbach Baumarkt AG
(Consumer Goods)*##..................................... 750 32,214
Praktiker Bau-und Heimwerkemaerkte AG (Building
Supplies)............................................... 600 18,336
------------
$ 171,837
------------
HONG KONG -- 0.6%
Giordano International Ltd.
(Retail -- Apparel)..................................... 41,000 $ 34,997
South China Morning Post (Publishing).................... 52,000 31,777
Wharf Holdings Ltd. (Real Estate)........................ 5,000 16,652
------------
$ 83,426
------------
ITALY -- 1.3%
Gucci Group N.V., ADR (Apparel and Textiles)*............ 2,000 $ 77,750
Instituto Nazdelle Assicuraz (Insurance)................. 22,000 29,180
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
ITALY -- continued
Luxottica Group, ADR (Consumer Goods and Services)....... 500 $ 29,250
Telecom Italia (Telecommunications)...................... 21,500 26,309
Telecom Italia Mobile (Telecommunications)*.............. 21,500 22,624
------------
$ 185,113
------------
JAPAN -- 7.0%
DDI Corp. (Telecommunications)........................... 11 $ 85,082
Dai Nippon Printing Co. Ltd. (Printing).................. 3,000 50,759
Daiwa House Industry (Home Construction)................. 3,000 49,309
East Japan Railway Co. (Railroads)....................... 9 43,682
Hirose Electric (Utilities -- Electric)*................. 1,000 57,430
Hitachi (Electronics).................................... 12,000 120,661
Ito Yokado Co. Ltd. (Retail)............................. 2,000 122,982
Kirin Beverage (Beverages)............................... 2,000 26,878
MOS Food Services (Restaurants).......................... 1,000 25,525
Matsushita Electric Industrial Co. (Industrials --
Telecommunications).................................... 10,000 162,429
Murata Manufacturing Co.
(Electrical Equipment).................................. 1,000 36,740
Nippondenso Co. Ltd.
(Electrical Equipment)*................................. 3,000 55,979
Nissen Corp. (Consumer Goods)............................ 40 936
Sony Corp. (Electronics)................................. 1,400 85,925
Takeda Chemical Industries (Chemicals)*.................. 2,000 32,873
------------
$ 957,190
------------
NETHERLANDS -- 2.1%
IHC Caland N.V.
(Transportation -- Marine).............................. 1,200 $ 40,324
Royal Dutch Petroleum Co. (Oils)......................... 850 119,956
Royall PTT Nederland N.V.
(Utilities -- Electric)*................................ 1,700 61,674
Wolters Kluwer (Publishing).............................. 696 65,745
------------
$ 287,699
------------
NEW ZEALAND -- 1.1%
Lion Nathan Ltd. (Beverages)............................. 55,600 $ 132,479
Telecom Corp. of New Zealand, ADR (Utilities --
Telephone)............................................. 315 21,853
------------
$ 154,332
------------
NORWAY -- 0.1%
Fokus Bank (Finance)*.................................... 1,900 $ 10,256
------------
</TABLE>
59
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
SINGAPORE -- 0.5%
Hong Leong Finance (Finance)................................. 11,000 $ 37,502
Singapore Press Holdings (Publishing)*....................... 2,000 35,366
-----------
$ 72,868
-----------
SOUTH KOREA -- 0.6%
Korea Electric Power Corp., ADR
(Utilities -- Electric)..................................... 3,190 $ 85,333
-----------
SPAIN -- 1.6%
Iberdrola S.A. (Utilities -- Electric)....................... 18,600 $ 169,758
Repsol S.A. (Oils)........................................... 1,650 53,928
-----------
$ 223,686
-----------
SWEDEN -- 2.9%
ASEA AB, Free Shares, "B"
(Electrical Equipment)...................................... 1,580 $ 153,615
Astra AB, Free Shares, "B" (Pharmaceuticals)*................ 3,660 144,871
Hennes & Mauritz AB
(Retail -- Clothing)*....................................... 805 44,827
Nordbanken AB (Banks and
Credit Companies)*.......................................... 1,800 31,154
Sparbanken Sverige (Banks and
Credit Companies)........................................... 1,300 16,533
-----------
$ 391,000
-----------
SWITZERLAND -- 1.1%
Nestle AG, Registered Shares (Food and Beverage Products)*... 88 $ 97,295
Sandoz AG (Pharmaceuticals)*................................. 65 59,475
-----------
$ 156,770
-----------
UNITED KINGDOM -- 4.5%
British Petroleum PLC, ADR (Oils)............................ 1,316 $ 134,397
London Electricity
(Utilities -- Electric)..................................... 1,600 14,245
National Grid Group.......................................... 1,364 4,214
PowerGen PLC, ADR
(Utilities -- Electric)..................................... 37,305 129,467
Reuters Holdings PLC, ADR
(Publishing)................................................ 950 52,369
Storehouse PLC (Retail Department Stores).................... 21,400 110,967
Tomkins (Holding Company).................................... 21,800 95,272
Unilever (Food and Beverages)................................ 3,850 79,048
-----------
$ 619,979
-----------
Total Foreign Stocks
(Identified Cost, $4,126,502)..................................... $ 4,468,507
-----------
U.S. STOCKS -- 19.7%
AEROSPACE -- 1.5%
General Dynamics Corp. ...................................... 1,400 $ 82,775
Lockheed Martin Corp. ....................................... 1,600 126,400
-----------
$ 209,175
-----------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
BANKS AND CREDIT COMPANIES -- 1.1%
Barnett Banks, Inc. ........................................ 1,490 $ 87,910
Norwest Corp................................................ 1,800 59,400
-----------
$ 147,310
-----------
BIOTECHNOLOGY -- 0.2%
Guidant Corp. .............................................. 704 $ 29,744
-----------
BUSINESS MACHINES -- 0.7%
International Business Machines Corp. ...................... 325 $ 29,819
Xerox Corp. ................................................ 475 65,075
-----------
$ 94,894
-----------
CONSUMER GOODS AND SERVICES -- 2.6%
Grupo Casa Autret, ADR...................................... 450 $ 6,019
Philip Morris Cos., Inc..................................... 2,290 207,245
Tyco International Ltd...................................... 4,100 146,063
-----------
$ 359,327
-----------
ELECTRICAL EQUIPMENT -- 0.8%
General Electric Co......................................... 1,450 $ 104,400
-----------
FINANCIAL INSTITUTIONS -- 1.1%
Federal Home Loan Mortgage Corp............................. 1,795 $ 149,883
-----------
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
ROC Communities, Inc........................................ 300 $ 7,200
Walden Residential Properties, Inc.......................... 300 6,263
-----------
$ 13,463
-----------
FOOD AND BEVERAGE PRODUCTS -- 1.0%
General Mills, Inc.......................................... 1,225 $ 70,744
Universal Foods Corp........................................ 1,500 60,188
-----------
$ 130,932
-----------
INSURANCE -- 3.0%
CIGNA Corp.................................................. 800 $ 82,600
MBIA, Inc................................................... 1,585 118,875
St. Paul Cos., Inc.......................................... 2,520 140,175
Transamerica Corp........................................... 1,000 72,875
-----------
$ 414,525
-----------
MACHINERY -- 0.8%
Deere & Co., Inc............................................ 700 $ 24,675
Ingersoll Rand Co........................................... 2,300 80,788
-----------
$ 105,463
-----------
MEDICAL AND HEALTH PRODUCTS -- 1.2%
Lilly (Eli) & Co............................................ 796 $ 44,775
Schering Plough Corp........................................ 1,300 71,175
Warner-Lambert Co........................................... 540 52,448
-----------
$ 168,398
-----------
OILS -- 2.0%
Amoco Corp.................................................. 1,060 $ 76,187
Exxon Corp.................................................. 600 48,075
Mobil Corp.................................................. 1,300 145,600
-----------
$ 269,862
-----------
</TABLE>
60
<PAGE>
COMMON STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
PHOTOGRAPHIC PRODUCTS -- 1.0%
Eastman Kodak Co................................... 1,980 $ 132,660
----------
POLLUTION CONTROL -- 0.6%
WMX Technologies, Inc.............................. 2,800 $ 83,650
----------
PRINTING AND PUBLISHING -- 0.2%
Deluxe Corp........................................ 1,050 $ 30,450
----------
RESTAURANTS AND LODGING
Darden Restaurants, Inc............................ 325 $ 3,859
Mandarin Oriental House............................ 600 726
----------
$ 4,585
----------
STORES -- 0.4%
Hudsons Bay Co..................................... 4,050 $ 58,249
----------
UTILITIES -- ELECTRIC -- 0.1%
Central Costanera, ADR
(Utilities -- Electric)##......................... 400 $ 12,450
----------
UTILITIES -- GAS -- 1.3%
Coastal Corp....................................... 2,000 $ 74,500
Westcoast Energy, Inc.............................. 6,850 100,181
----------
$ 174,681
----------
Total U.S. Stocks
(Identified Cost, $2,374,270)..................................... $2,694,101
----------
Total Common Stocks
(Identified Cost, $6,500,772)..................................... $7,162,608
----------
CONVERTIBLE PREFERRED STOCKS -- 0.2%
Allstate Corp., 2.281s, Exchange Net PMI 98........ 400 $ 16,400
Cointel, 7%, Prides##.............................. 200 11,200
----------
Total Convertible Preferred Stocks
(Identified Cost, $25,150)........................................ $ 27,600
----------
NON-CONVERTIBLE BONDS -- 20.8%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
FOREIGN DENOMINATED -- 14.6%
AUSTRALIA -- 2.2%
Commonwealth of Australia,
9.75s, 2002....................................... AUD 380 $ 306,614
----------
DENMARK -- 0.5%
Kingdom of Denmark, 9s, 1998....................... DKK 99 $ 19,410
Kingdom of Denmark, 9s, 2000....................... 175 35,000
Kingdom of Denmark, 8s, 2001....................... 76 14,653
----------
$ 69,063
----------
FRANCE -- 3.2%
Essilor International, 6.5s, 1999.................. FRF 4 $ 41,113
Government of France, 7s, 1999..................... 740 157,779
Government of France,
7.75s, 2000....................................... 1,080 236,109
----------
$ 435,001
----------
</TABLE>
<TABLE>
<CAPTION>
NON-CONVERTIBLE BONDS -- continued
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
FOREIGN DENOMINATED -- continued
GERMANY -- 0.5%
Republic of Germany,
6.875s, 2005...................................... DEM 90 $ 66,349
----------
ITALY -- 1.8%
Republic of Italy, 8.5s, 1999...................... ITL 250,000 $ 151,542
Republic of Italy, 9.5s, 1999...................... 70,000 43,097
Republic of Italy, 8.5s, 2004...................... 100,000 56,017
----------
$ 250,656
----------
NETHERLANDS -- 1.0%
Government of Netherlands, 8.25s, 2007............. NLG 196 $ 141,481
----------
SPAIN -- 2.8%
Kingdom of Spain, 10.5s, 2003...................... ESP 31,200 $ 267,645
Kingdom of Spain, 10.9s, 2003...................... 13,000 113,667
----------
$ 381,312
----------
UNITED KINGDOM -- 2.6%
United Kingdom Treasury,
8s, 2000.......................................... GBP 100 $ 162,819
United Kingdom Treasury,
7s, 2001.......................................... 125 194,245
----------
$ 357,064
----------
Total Foreign Denominated
(Identified Cost, $1,960,789)..................................... $2,007,540
----------
U.S. DOLLAR DENOMINATED -- 6.2%
U.S. Treasury Notes,
5.875s, 2005...................................... $ 325 $ 332,313
U.S. Treasury Bonds,
8.875s, 2017...................................... 395 529,051
----------
Total U.S. Dollar Denominated
(Identified Cost, $849,953)....................................... $ 861,364
----------
Total Non-Convertible Bonds
(Identified Cost, $2,810,742)..................................... $2,868,904
----------
CONVERTIBLE BONDS -- 1.0%
CHEMICALS -- 0.1%
Sandoz Capital BVI Ltd., 2s, 2002##................ $ 18 $ 17,010
----------
FINANCIAL INSTITUTIONS -- 0.4%
MBL International Finance Bermuda, 3s, 2002........ $ 40 $ 47,200
----------
MEDICAL AND HEALTH
PRODUCTS -- 0.5%
Roche Holdings, Inc., 0s, 2010##................... $ 155 $ 68,200
----------
Total Convertible Bonds
(Identified Cost, $116,197)....................................... $ 132,410
----------
</TABLE>
61
<PAGE>
SHORT-TERM OBLIGATION -- 26.1%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Federal Home Loan Mortgage Corp., due 1/02/96,
at Amortized Cost............................. $ 3,600 $ 3,599,425
------------
CALL OPTIONS PURCHASED
<CAPTION>
Principal Amount
Description/Expiration of Contracts
Month/Strike Price (000 Omitted)
<S> <C> <C>
Italian Lire/Deutsche Marks/January/1085....... ITL 103,075 $ 103
Japanese Bonds/March/107.489................... JPY 9,450 670
March/112.796............................... 10,000 410
March/115.828............................... 40,000 840
Japanese Yen/January/97.5...................... 58,405 58
Swedish Kronor/Deutsche Marks/February/4.535... SEK 2,938 2,579
------------
Total Call Options Purchased
(Premiums Paid, $14,033)....................................... $ 4,660
------------
PUT OPTIONS PURCHASED -- 0.1%
Australian Dollars/
January/0.745................................. AUD 105 $ 877
Deutsche Marks/
February/1.460................................ DEM 690 3,753
Deutsche Marks/British Pounds/March/2.265...... 505 2,297
------------
Total Put Options Purchased
(Premiums Paid, $8,935)........................................ $ 6,927
------------
Total Investments
(Identified Cost, $13,075,251)................................. $ 13,802,533
------------
CALL OPTIONS WRITTEN -- (0.1)%
Deutsche Marks/ British Pounds/March/2.1476.... DEM 479 $ (1,354)
Italian Lire/Deutsche Marks/August/1125........ ITL 423,930 (7,207)
------------
Total Call Options Written
(Premiums Received, $9,155).................................... $ (8,561)
------------
PUT OPTIONS WRITTEN -- (0.1)%
Australian Dollars/January/0.745............... AUD 105 $ (877)
Italian Lire/Deutsche Marks/August/1125........ ITL 423,930 (12,718)
Japanese Bonds/March/107.489................... JPY 9,450 (1,682)
March/112.796............................... 10,000 (2,440)
------------
Total Put Options Written
(Premiums Received, $19,498)................................... $ (17,717)
------------
OTHER ASSETS,
LESS LIABILITIES -- 0.1%........................................ $ 9,683
------------
Net Assets -- 100.0%............................................ $ 13,785,938
============
</TABLE>
See portfolio footnotes and notes to financial statements
PORTFOLIO OF INVESTMENTS -- December
31, 1995
ZERO COUPON SERIES
2000 PORTFOLIO
U.S. GOVERNMENTS -- 99.4%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
TREASURY INVESTMENT GROWTH RECEIPTS -- 3.4%
Series 18, due 2/15/01............................. $ 97 $ 73,770
Series 12, due 5/15/01............................. 22 16,489
Series 15, due 8/15/01............................. 88 64,999
----------
Total Treasury Investment
Growth Receipts
(Identified Cost, $127,501)...................................... $ 155,258
----------
U.S. TREASURY SECURITIES STRIPPED INTEREST PAYMENTS -- 96.0%
Generic Coupons, due 5/15/00....................... $ 742 $ 589,178
Generic Coupons, due 8/15/00....................... 115 90,110
Generic Coupons, due 11/15/00...................... 4,723 3,650,784
Generic Coupons, due 5/15/01....................... 136 102,169
----------
Total U.S. Treasury Securities
Stripped Interest Payments
(Identified Cost, $4,198,406).................................... $4,432,241
----------
Total Investments
(Identified Cost, $4,325,907).................................... $4,587,499
OTHER ASSETS,
LESS LIABILITIES -- 0.6%.......................................... 28,357
----------
Net Assets -- 100.0%.............................................. $4,615,856
==========
</TABLE>
See portfolio footnotes and notes to financial statements
PORTFOLIO FOOTNOTES:
* Non-income producing security.
** Non-income producing security -- in default.
# Payment-in-kind security.
## SEC Rule 144A restriction.
+ Restricted security.
++ 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 GBP = British Pounds
Dollars HKD = Hong Kong Dollars
CAD = Canadian ITL = Italian Lire
Dollars JPY = Japanese Yen
CHF = Swiss Francs NLG = Dutch Guilders
DEM = Deutsche Marks NZD = New Zealand Dollars
DKK = Danish Kroner SEK = Swedish Kronor
ESP = Spanish
Pesetas
FIM = Finnish
Markkaa
FRF = French Francs
62
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES -- December 31, 1995
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
Capital Conservative Emerging International Government High Managed Money
Appreciation Growth Growth Growth and Securities Yield Sectors Market
Series Series Series Income Series Series Series Series Series
------------ ------------ ----------- ------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Assets:
Investments --
Identified cost... $656,842,827 $249,766,880 $63,687,219 $5,116,365 $345,450,076 $147,219,338 $178,309,205 $284,299,446
Repurchase
agreements, at
value............ -- -- -- 1,528,000 -- -- -- --
Unrealized
appreciation..... 140,848,783 51,360,658 5,581,775 122,191 18,344,729 1,621,922 14,683,781 --
------------ ------------ ----------- ---------- ------------ ------------ ------------ ------------
Total
investments, at
value........... $797,691,610 $301,127,538 $69,268,994 $6,766,556 $363,794,805 $148,841,260 $192,992,986 $284,299,446
Cash............... 224,174 10,574 556,668 40,233 154,154 -- 198,205 --
Foreign currency,
at value
(identified cost,
$318)............. -- -- -- 318 -- -- -- --
Net receivable for
forward foreign
currency exchange
contracts sold.... 43,080 -- -- -- -- -- -- --
Receivable for
investments sold.. 3,320,079 22,889 69,900 -- 9,719 859,233 2,493,206 --
Receivable for
Trust shares sold. 1,027,686 693,619 205,888 353,235 51,243 1,364,367 81,952 457,477
Interest and
dividends
receivable........ 600,678 641,574 6,823 36,519 5,149,509 3,053,606 182,223 --
Other assets....... 10,301 11,707 -- -- 4,791 1,410 1,637 4,491
------------ ------------ ----------- ---------- ------------ ------------ ------------ ------------
Total assets..... $802,917,608 $302,507,901 $70,108,273 $7,196,861 $369,164,221 $154,119,876 $195,950,209 $284,761,414
============ ============ =========== ========== ============ ============ ============ ============
Liabilities:
Cash overdraft..... $ -- $ -- $ -- $ -- $ -- $ 64,638 $ -- $ 192,245
Payable for
investments
purchased......... 5,304,161 366,956 2,130,993 -- -- 84,313 1,311,686 --
Payable for Trust
shares reacquired. 354,504 48,440 692,086 -- 255,757 129,336 240,670 1,761,698
Net payable for
forward foreign
currency exchange
contracts sold.... -- -- -- 6,785 -- -- -- --
Payable to
investment
adviser........... 48,689 13,534 -- -- 16,604 9,366 11,882 11,612
Accrued expenses
and other
liabilities....... 108,562 55,359 30,407 11,248 43,900 32,068 35,192 41,751
------------ ------------ ----------- ---------- ------------ ------------ ------------ ------------
Total
liabilities..... $ 5,815,916 $ 484,289 $ 2,853,486 $ 18,033 $ 316,261 $ 319,721 $ 1,599,430 $ 2,007,306
------------ ------------ ----------- ---------- ------------ ------------ ------------ ------------
Net assets...... $797,101,692 $302,023,612 $67,254,787 $7,178,828 $368,847,960 $153,800,155 $194,350,779 $282,754,108
============ ============ =========== ========== ============ ============ ============ ============
Net assets consist
of:
Paid-in capital.... $580,301,078 $235,355,134 $61,469,973 $7,063,182 $335,631,551 $150,393,798 $150,383,045 $282,754,108
Unrealized
appreciation on
investments and
translation of
assets and
liabilities in
foreign
currencies........ 140,892,341 51,361,568 5,581,775 115,646 18,344,729 1,621,922 14,680,387 --
Accumulated
undistributed net
realized gain
(loss) on
investments and
foreign currency
transactions...... 75,057,616 10,583,858 (20,534) -- (7,381,424) (10,265,217) 28,650,287 --
Accumulated
undistributed net
investment income. 850,657 4,723,052 223,573 -- 22,253,104 12,049,652 637,060 --
------------ ------------ ----------- ---------- ------------ ------------ ------------ ------------
Net assets...... $797,101,692 $302,023,612 $67,254,787 $7,178,828 $368,847,960 $153,800,155 $194,350,779 $282,754,108
============ ============ =========== ========== ============ ============ ============ ============
Shares of
beneficial
interest
outstanding....... 24,918,918 13,716,985 5,301,215 708,797 27,546,526 17,237,934 7,637,531 282,754,108
============ ============ =========== ========== ============ ============ ============ ============
Net asset value,
offering price and
redemption price
per share (net
assets / shares of
beneficial
interest
outstanding) ..... $31.99 $22.02 $12.69 $10.13 $13.39 $8.92 $25.45 $1.00
====== ====== ====== ====== ====== ===== ====== =====
<CAPTION>
Total
Research Return
Series Series
----------- --------------
<S> <C> <C>
Assets:
Investments --
Identified cost... $64,245,364 $ 954,143,428
Repurchase
agreements, at
value............ -- --
Unrealized
appreciation..... 6,891,942 142,363,967
----------- --------------
Total
investments, at
value........... $71,137,306 $1,096,507,395
Cash............... 315,962 574,487
Foreign currency,
at value
(identified cost,
$318)............. -- --
Net receivable for
forward foreign
currency exchange
contracts sold.... -- --
Receivable for
investments sold.. 874,215 8,023,243
Receivable for
Trust shares sold. 508,380 582,445
Interest and
dividends
receivable........ 59,822 9,332,164
Other assets....... 39 11,576
----------- --------------
Total assets..... $72,895,724 $1,115,031,310
=========== ==============
Liabilities:
Cash overdraft..... $ -- $ --
Payable for
investments
purchased......... 977,361 14,416,106
Payable for Trust
shares reacquired. 56,002 563,568
Net payable for
forward foreign
currency exchange
contracts sold.... -- --
Payable to
investment
adviser........... 4,331 61,887
Accrued expenses
and other
liabilities....... 29,917 102,352
----------- --------------
Total
liabilities..... $ 1,067,611 $ 15,143,913
----------- --------------
Net assets...... $71,828,113 $1,099,887,397
=========== ==============
Net assets consist
of:
Paid-in capital.... $62,822,072 $ 871,630,646
Unrealized
appreciation on
investments and
translation of
assets and
liabilities in
foreign
currencies........ 6,891,742 142,364,410
Accumulated
undistributed net
realized gain
(loss) on
investments and
foreign currency
transactions...... 1,786,257 41,237,596
Accumulated
undistributed net
investment income. 328,042 44,654,745
----------- --------------
Net assets...... $71,828,113 $1,099,887,397
=========== ==============
Shares of
beneficial
interest
outstanding....... 5,290,149 59,825,771
=========== ==============
Net asset value,
offering price and
redemption price
per share (net
assets / shares of
beneficial
interest
outstanding) ..... $13.58 $18.38
====== ======
</TABLE>
See notes to financial statements
63
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES -- December 31, 1995 -- continued
<TABLE>
<CAPTION>
Zero
World Coupon
World Asset World World Total Series
Utilities Allocation Governments Growth Return 2000
Series Series Series Series Series Portfolio
----------- ----------- ------------ ------------ ----------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Assets:
Investments --
Identified cost........ $39,064,234 $24,241,229 $157,535,679 $142,216,955 $13,075,251 $4,325,907
Unrealized
appreciation.......... 4,631,663 1,413,273 2,618,075 4,477,803 727,283 261,592
----------- ----------- ------------ ------------ ----------- ----------
Total investments, at
value................ $43,695,897 $25,654,502 $160,153,754 $146,694,758 $13,802,534 $4,587,499
Cash.................... 276,294 63,122 42,488 292,946 58,058 25,286
Foreign currency, at
value (identified cost,
$212, $12,450 and
$5,148, respectively).. -- 212 13,849 5,276 -- --
Net receivable for
forward foreign
currency exchange
contracts sold......... -- 90,012 3,171,720 22,639 40,373 --
Receivable for
investments sold....... 412,886 345,445 -- 114,241 8,475 --
Receivable for Trust
shares sold............ 211,422 68,424 253,922 223,849 188,625 --
Interest and dividends
receivable............. 305,483 163,814 3,039,109 88,365 98,646 --
Receivable from
investment adviser..... -- -- -- -- -- 3,903
Other assets............ 6,273 3,724 1,887 1,371 5 45
----------- ----------- ------------ ------------ ----------- ----------
Total assets.......... $44,908,255 $26,389,255 $166,676,729 $147,443,445 $14,196,716 $4,616,733
=========== =========== ============ ============ =========== ==========
Liabilities:
Payable for investments
purchased.............. $ 1,702,553 $ 411,928 $ 2,249,990 $ 758,946 $ 257,292 $ --
Payable for Trust shares
reacquired............. 54,358 -- 24,777 235,905 -- 307
Written options
outstanding, at value
(premiums received,
$4,002, $1,292,741 and
$28,653, respectively
)...................... -- 6,520 1,172,430 -- 26,278 --
Net payable for closed
forward foreign
currency exchange
contracts ............. -- 9,184 181,934 -- 8,432 --
Net payable for forward
foreign currency
exchange contracts
purchased.............. -- 77,001 10,512,792 -- 104,808 --
Payable to investment
adviser................ 2,632 1,575 9,342 10,718 832 94
Accrued expenses and
other liabilities...... 14,352 19,654 38,272 49,643 13,136 476
----------- ----------- ------------ ------------ ----------- ----------
Total liabilities..... $ 1,773,895 $ 525,862 $ 14,189,537 $ 1,055,212 $ 410,778 $ 877
----------- ----------- ------------ ------------ ----------- ----------
Net assets........... $43,134,360 $25,863,393 $152,487,192 $146,388,233 $13,785,938 $4,615,856
=========== =========== ============ ============ =========== ==========
Net assets consist of:
Paid-in capital......... $35,813,064 $23,164,046 $132,382,504 $129,797,585 $12,695,923 $4,243,814
Unrealized appreciation
(depreciation) on
investments and
translation of assets
and liabilities in
foreign currencies..... 4,630,350 1,414,357 (4,798,188) 4,500,682 656,800 261,592
Accumulated
undistributed net
realized gain (loss) on
investments and foreign
currency transactions.. 1,343,519 841,193 (764,004) 10,941,406 (53,776) (58,499)
Accumulated
undistributed net
investment income...... 1,347,427 443,797 25,666,880 1,148,560 486,991 168,949
----------- ----------- ------------ ------------ ----------- ----------
Net assets........... $43,134,360 $25,863,393 $152,487,192 $146,388,233 $13,785,938 $4,615,856
=========== =========== ============ ============ =========== ==========
Shares of beneficial
interest outstanding... 3,518,347 2,115,612 12,212,108 11,856,784 1,164,889 509,370
=========== =========== ============ ============ =========== ==========
Net asset value,
offering price and
redemption price per
share
(net assets / shares of
beneficial interest
outstanding)........... $12.26 $12.23 $12.49 $12.35 $11.83 $9.06
====== ====== ====== ====== ====== =====
</TABLE>
See notes to financial statements
64
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF OPERATIONS -- Year Ended December 31, 1995
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
Capital Conservative Emerging International Government High Managed Money
Appreciation Growth Growth Growth and Securities Yield Sectors Market
Net investment Series Series Series+ Income Series++ Series Series Series Series
income: ------------ ------------ ---------- --------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Income --
Interest........... $ 1,501,611 $ 1,027,519 $ 253,400 $ 20,420 $24,585,722 $13,230,927 $ 531,522 $14,132,869
Dividends.......... 5,995,785 5,088,507 12,456 4,872 -- -- 1,488,727 --
Foreign taxes
withheld.......... (31,467) (39,413) -- (589) -- -- (5,300) --
------------ ----------- ---------- ----------- ----------- ----------- ----------- -----------
Total investment
income.......... $ 7,465,929 $ 6,076,613 $ 265,856 $ 24,703 $24,585,722 $13,230,927 $ 2,014,949 $14,132,869
------------ ----------- ---------- ----------- ----------- ----------- ----------- -----------
Expenses --
Investment
advisory fees..... $ 4,876,631 $ 1,160,504 $ 149,156 $ 7,653 $ 1,877,922 $ 990,965 $ 1,202,378 $ 1,204,609
Trustees' fees..... 759 759 759 759 759 759 759 759
Custodian fees..... 296,428 101,092 10,829 591 165,943 61,042 79,184 113,703
Auditing fees...... 29,433 24,184 17,850 7,950 34,533 37,260 26,157 27,258
Legal fees......... 5,443 1,373 1,295 -- 1,373 5,627 6,049 1,373
Printing expenses.. 95,446 30,009 6,574 1,000 55,588 28,203 29,237 63,283
Registration fees.. -- -- -- 1,160 -- -- -- --
Miscellaneous...... 59,339 30,283 11,108 340 -- 22,763 5,880 806
------------ ----------- ---------- ----------- ----------- ----------- ----------- -----------
Total expenses... $ 5,363,479 $ 1,348,204 $ 197,571 $ 19,453 $ 2,136,118 $ 1,146,619 $ 1,349,644 $ 1,411,791
Waiver of expenses
by investment
adviser........... -- -- (149,156) (7,653) -- -- -- --
Fees paid
indirectly........ (2,172) (3,690) (6,132) -- -- (3,463) (1,470) (6,215)
------------ ----------- ---------- ----------- ----------- ----------- ----------- -----------
Net expenses..... $ 5,361,307 $ 1,344,514 $ 42,283 $ 11,800 $ 2,136,118 $ 1,143,156 $ 1,348,174 $ 1,405,576
------------ ----------- ---------- ----------- ----------- ----------- ----------- -----------
Net investment
income......... $ 2,104,622 $ 4,732,099 $ 223,573 $ 12,903 $22,449,604 $12,087,771 $ 666,775 $12,727,293
============ =========== ========== =========== =========== =========== =========== ===========
Realized and
unrealized gain
(loss) on
investments and
foreign currency
transactions:
Realized gain
(loss) (identified
cost basis) --
Investment
transactions...... $ 75,301,465 $11,009,455 $ (20,534) $ -- $ (408,742) $(1,845,221) $29,572,625 $ --
Foreign currency
transactions...... (1,009,531) (8,987) -- (17,271) -- 1,333 (29,705) --
Futures contracts.. -- -- -- -- (31,467) -- -- --
------------ ----------- ---------- ----------- ----------- ----------- ----------- -----------
Net realized gain
(loss) on
investments and
foreign currency
transactions.... $ 74,291,934 $11,000,468 $ (20,534) $ (17,271) $ (440,209) $(1,843,888) $29,542,920 $ --
------------ ----------- ---------- ----------- ----------- ----------- ----------- -----------
Change in
unrealized
appreciation
(depreciation)
on --
Investments....... $110,091,091 $50,605,285 $5,581,775 $ 122,191 $33,522,922 $ 9,954,602 $11,159,275 $ --
Translation of
assets and
liabilities in
foreign
currencies........ (800,363) 667 -- (6,545) -- 53 (3,394) --
------------ ----------- ---------- ----------- ----------- ----------- ----------- -----------
Net unrealized
gain on
investments and
foreign currency
translation...... $109,290,728 $50,605,952 $5,581,775 $ 115,646 $33,522,922 $ 9,954,655 $11,155,881 $ --
------------ ----------- ---------- ----------- ----------- ----------- ----------- -----------
Net realized and
unrealized gain
on investments
and foreign
currency........ $183,582,662 $61,606,420 $5,561,241 $ 98,375 $33,082,713 $ 8,110,767 $40,698,801 $ --
------------ ----------- ---------- ----------- ----------- ----------- ----------- -----------
Increase in net
assets from
operations..... $185,687,284 $66,338,519 $5,784,814 $ 111,278 $55,532,317 $20,198,538 $41,365,576 $12,727,293
============ =========== ========== =========== =========== =========== =========== ===========
<CAPTION>
Total
Research Return
Net investment Series Series
income: ----------- -------------
<S> <C> <C>
Income --
Interest........... $ 202,658 $ 32,449,073
Dividends.......... 293,450 19,664,592
Foreign taxes
withheld.......... (3,347) (153,024)
----------- -------------
Total investment
income.......... $ 492,761 $ 51,960,641
----------- -------------
Expenses --
Investment
advisory fees..... $ 211,971 $ 6,671,672
Trustees' fees..... 759 759
Custodian fees..... 14,833 378,851
Auditing fees...... 22,333 44,933
Legal fees......... 1,135 1,971
Printing expenses.. 4,369 95,602
Registration fees.. 14,125 --
Miscellaneous...... 910 25,963
----------- -------------
Total expenses... $ 270,435 $ 7,219,751
Waiver of expenses
by investment
adviser........... (105,489) --
Fees paid
indirectly........ (2,359) (30,067)
----------- -------------
Net expenses..... $ 162,587 $ 7,189,684
----------- -------------
Net investment
income......... $ 330,174 $ 44,770,957
=========== =============
Realized and
unrealized gain
(loss) on
investments and
foreign currency
transactions:
Realized gain
(loss) (identified
cost basis) --
Investment
transactions...... $1,801,666 $ 45,889,014
Foreign currency
transactions...... (2,128) (11,057)
Futures contracts.. -- --
----------- -------------
Net realized gain
(loss) on
investments and
foreign currency
transactions.... $1,799,538 $ 45,877,957
----------- -------------
Change in
unrealized
appreciation
(depreciation)
on --
Investments....... $6,876,776 $133,969,826
Translation of
assets and
liabilities in
foreign
currencies........ (200) 443
----------- -------------
Net unrealized
gain on
investments and
foreign currency
translation...... $6,876,576 $133,970,269
----------- -------------
Net realized and
unrealized gain
on investments
and foreign
currency........ $8,676,114 $179,848,226
----------- -------------
Increase in net
assets from
operations..... $9,006,288 $224,619,183
=========== =============
</TABLE>
+ 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
65
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF OPERATIONS -- Year Ended December 31, 1995 -- continued
<TABLE>
<CAPTION>
Zero
Coupon
World Asset World World World Series
Utilities Allocation Governments Growth Total Return 2000
Series Series Series Series Series Portfolio
Net investment income: ---------- ----------- ----------- ----------- ------------ ---------
<S> <C> <C> <C> <C> <C> <C>
Income --
Interest................ $ 499,766 $ 458,343 $11,407,927 $ 945,912 $ 211,546 $185,019
Dividends............... 1,007,323 127,985 -- 1,188,471 106,716 --
Foreign taxes withheld.. (29,045) (12,982) -- (124,749) (8,155) --
---------- ---------- ----------- ----------- ---------- --------
Total investment
income............... $1,478,044 $ 573,346 $11,407,927 $ 2,009,634 $ 310,107 $185,019
---------- ---------- ----------- ----------- ---------- --------
Expenses --
Investment advisory
fees................... $ 219,004 $ 98,641 $ 1,136,612 $ 1,090,977 $ 48,709 $ 8,185
Trustees' fees.......... 759 759 759 759 759 759
Custodian fees.......... 14,984 20,268 151,205 98,182 10,644 1,486
Auditing fees........... 32,533 17,532 39,083 68,583 11,883 5,133
Legal fees.............. 873 1,129 1,373 1,422 1,095 1,236
Printing expenses....... 7,367 1,724 10,006 17,874 1,511 125
Registration fees....... -- -- -- -- -- --
Miscellaneous........... 2,283 6,303 -- 12,618 2,950 --
---------- ---------- ----------- ----------- ---------- --------
Total expenses........ $ 277,803 $ 146,356 $ 1,339,038 $ 1,290,415 $ 77,551 $ 16,924
Waiver of expenses by
investment adviser..... (148,727) (57,610) -- -- (27,327) --
Fees paid indirectly.... (719) (4,285) (8,415) (9,349) (1,250) (554)
---------- ---------- ----------- ----------- ---------- --------
Net expenses.......... $ 128,357 $ 84,461 $ 1,330,623 $ 1,281,066 $ 48,974 $ 16,370
---------- ---------- ----------- ----------- ---------- --------
Net investment
income.............. $1,349,687 $ 488,885 $10,077,304 $ 728,568 $ 261,133 $168,649
========== ========== =========== =========== ========== ========
Realized and unrealized
gain (loss) on
investments and foreign
currency transactions:
Realized gain (loss)
(identified cost
basis) --
Investment
transactions........... $1,965,994 $ 832,974 $13,045,748 $11,356,429 $ 224,934 $(20,451)
Foreign currency
transactions........... (1,814) (46,936) 541,280 426,967 (50,122) --
Written option
transactions........... -- 14,467 588,377 -- (465) --
Futures contracts....... -- -- (67,745) -- -- --
---------- ---------- ----------- ----------- ---------- --------
Net realized gain
(loss) on investments
and foreign currency
transactions......... $1,964,180 $ 800,505 $14,107,660 $11,783,396 $ 174,347 $(20,451)
---------- ---------- ----------- ----------- ---------- --------
Change in unrealized
appreciation
(depreciation) on --
Investments............ $5,216,779 $1,396,945 $ 5,007,773 $ 6,590,484 $ 722,731 $461,824
Translation of assets
and liabilities in
foreign currencies..... (1,003) 3,929 (7,645,906) 23,273 (72,412) --
Written options......... -- (2,518) 50,246 -- 2,375 --
---------- ---------- ----------- ----------- ---------- --------
Net unrealized gain
(loss) on investments
and foreign currency
translation.......... $5,215,776 $1,398,356 $(2,587,887) $ 6,613,757 $ 652,694 $461,824
---------- ---------- ----------- ----------- ---------- --------
Net realized and
unrealized gain on
investments and
foreign currency.... $7,179,956 $2,198,861 $11,519,773 $18,397,153 $ 827,041 $441,373
---------- ---------- ----------- ----------- ---------- --------
Increase in net
assets from
operations.......... $8,529,643 $2,687,746 $21,597,077 $19,125,721 $1,088,174 $610,022
========== ========== =========== =========== ========== ========
</TABLE>
See notes to financial statements
66
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Year Ended December 31, 1995
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
International
Capital Conservative Emerging Growth and Government High Managed
Appreciation Growth Growth Income Securities Yield Sectors
Series Series Series+ Series++ Series Series Series
------------ -------------- ----------- ------------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Increase (decrease)
in net assets from:
Operations --
Net investment
income............ $ 2,104,622 $ 4,732,099 $ 223,573 $ 12,903 $ 22,449,604 $ 12,087,771 $ 666,775
Net realized gain
(loss) on
investments and
foreign currency
transactions...... 74,291,934 11,000,468 (20,534) (17,271) (440,209) (1,843,888) 29,542,920
Net unrealized
gain on
investments and
foreign currency
translation....... 109,290,728 50,605,952 5,581,775 115,646 33,522,922 9,954,655 11,155,881
------------ -------------- ----------- ----------- ------------ ------------ ------------
Increase in net
assets from
operations...... $185,687,284 $ 66,338,519 $ 5,784,814 $ 111,278 $ 55,532,317 $ 20,198,538 $ 41,365,576
------------ -------------- ----------- ----------- ------------ ------------ ------------
Distributions
declared to
shareholders --
From net
investment
income............ $ (1,257,607) $ (2,990,858) $ -- $ -- $(19,677,831) $ (8,657,037) $ (342,457)
From net realized
gain on
investments and
foreign currency
transactions...... (13,684,251) (1,805,444) -- -- -- -- (4,215,692)
------------ -------------- ----------- ----------- ------------ ------------ ------------
Total
distributions
declared to
shareholders... $(14,941,858) $ (4,796,302) $ -- $ -- $(19,677,831) $ (8,657,037) $ (4,558,149)
------------ -------------- ----------- ----------- ------------ ------------ ------------
Trust share
transactions --
Net proceeds from
sale of shares.... $329,318,353 $ 97,358,437 $78,579,346 $ 7,079,388 $ 69,483,965 $ 97,407,906 $ 66,280,056
Net asset value of
shares issued to
shareholders in
reinvestment of
distributions..... 14,941,858 4,796,302 -- -- 19,677,831 8,657,037 4,558,149
Cost of shares
reacquired........ (194,411,727) (11,991,144) (17,109,373) (11,838) (103,318,428) (66,000,142) (32,281,926)
------------ -------------- ----------- ----------- ------------ ------------ ------------
Increase
(decrease) in
net assets from
Trust share
transactions.... $149,848,484 $ 90,163,595 $61,469,973 $ 7,067,550 $(14,156,632) $ 40,064,801 $ 38,556,279
------------ -------------- ----------- ----------- ------------ ------------ ------------
Total increase
in net assets.. $320,593,910 $ 151,705,812 $67,254,787 $ 7,178,828 $ 21,697,854 $ 51,606,302 $ 75,363,706
Net assets --
Beginning of year.. 476,507,782 150,317,800 -- -- 347,150,106 102,193,853 118,987,073
------------ -------------- ----------- ----------- ------------ ------------ ------------
End of year........ $797,101,692 $ 302,023,612 $67,254,787 $ 7,178,828 $368,847,960 $153,800,155 $194,350,779
============ ============== =========== =========== ============ ============ ============
Accumulated
undistributed net
investment income
included in net
assets at end of
year ............. $ 850,657 $ 4,723,052 $ 223,573 $ -- $ 22,253,104 $ 12,049,652 $ 637,060
============ ============== =========== =========== ============ ============ ============
<CAPTION>
Total World Asset World World World
Research Return Utilities Allocation Governments Growth Total Return
Series Series Series Series Series Series Series
------------ -------------- ----------- ------------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Increase (decrease)
in net assets from:
Operations --
Net investment
income............ $ 330,174 $ 44,770,957 $ 1,349,687 $ 488,885 $ 10,077,304 $ 728,568 $ 261,133
Net realized gain
(loss) on
investments and
foreign currency
transactions...... 1,799,538 45,877,957 1,964,180 800,505 14,107,660 11,783,396 174,347
Net unrealized
gain (loss) on
investments and
foreign currency
translation....... 6,876,576 133,970,269 5,215,776 1,398,356 (2,587,887) 6,613,757 652,694
------------ -------------- ----------- ----------- ------------ ------------ ------------
Increase in net
assets from
operations...... $ 9,006,288 $ 224,619,183 $ 8,529,643 $ 2,687,746 $ 21,597,077 $ 19,125,721 $ 1,088,174
------------ -------------- ----------- ----------- ------------ ------------ ------------
Distributions
declared to
shareholders --
From net
investment
income............ $ (5,213) $ (34,941,362) $ (673,961) $ (6,089) $ (70,904) $ (1,411,794) $ (2,399)
From net realized
gain on
investments and
foreign currency
transactions...... -- -- -- -- (7,889,471) (1,739,413) --
------------ -------------- ----------- ----------- ------------ ------------ ------------
Total
distributions
declared to
shareholders.... $ (5,213) $ (34,941,362) $ (673,961) $ (6,089) $ (7,960,375) $ (3,151,207) $ (2,399)
------------ -------------- ----------- ----------- ------------ ------------ ------------
Trust share
transactions --
Net proceeds from
sale of shares.... $ 62,420,583 $ 136,422,449 $21,368,373 $21,306,554 $ 36,410,013 $ 52,969,836 $ 12,285,163
Net asset value of
shares issued to
shareholders in
reinvestment of
distributions..... 5,213 34,941,362 673,961 6,089 7,960,375 3,151,207 2,399
Cost of shares
reacquired........ (3,467,672) (100,768,585) (8,212,008) (1,134,082) (44,674,805) (25,751,488) (971,428)
------------ -------------- ----------- ----------- ------------ ------------ ------------
Increase
(decrease) in
net assets from
Trust share
transactions.... $ 58,958,124 $ 70,595,226 $13,830,326 $20,178,561 $ (304,417) $ 30,369,555 $ 11,316,134
------------ -------------- ----------- ----------- ------------ ------------ ------------
Total increase
in net assets.. $ 67,959,199 $ 260,273,047 $21,686,008 $22,860,218 $ 13,332,285 $ 46,344,069 $ 12,401,909
Net assets --
Beginning of year.. 3,868,914 839,614,350 21,448,352 3,003,175 139,154,907 100,044,164 1,384,029
------------ -------------- ----------- ----------- ------------ ------------ ------------
End of year........ $ 71,828,113 $1,099,887,397 $43,134,360 $25,863,393 $152,487,192 $146,388,233 $ 13,785,938
============ ============== =========== =========== ============ ============ ============
Accumulated
undistributed net
investment income
included in net
assets at end of
year ............. $ 328,042 $ 44,654,745 $ 1,347,427 $ 443,797 $ 25,666,880 $ 1,148,560 $ 486,991
============ ============== =========== =========== ============ ============ ============
<CAPTION>
Money
Market
Series
--------------
<S> <C>
Increase (decrease)
in net assets from:
Operations --
Net investment
income............ $ 12,727,293
Net realized gain
(loss) on
investments and
foreign currency
transactions...... --
Net unrealized
gain on
investments and
foreign currency
translation....... --
--------------
Increase in net
assets from
operations...... $ 12,727,293
--------------
Distributions
declared to
shareholders --
From net
investment
income............ $(12,727,293)
From net realized
gain on
investments and
foreign currency
transactions...... --
--------------
Total
distributions
declared to
shareholders... $(12,727,293)
--------------
Trust share
transactions --
Net proceeds from
sale of shares.... $450,493,345
Net asset value of
shares issued to
shareholders in
reinvestment of
distributions..... 12,727,293
Cost of shares
reacquired........ (432,641,522)
--------------
Increase
(decrease) in
net assets from
Trust share
transactions.... $ 30,579,116
--------------
Total increase
in net assets.. $ 30,579,116
Net assets --
Beginning of year.. 252,174,992
--------------
End of year........ $282,754,108
==============
Accumulated
undistributed net
investment income
included in net
assets at end of
year ............. $ --
==============
<CAPTION>
Zero
Coupon
Series
2000 Portfolio
--------------
<S> <C>
Increase (decrease)
in net assets from:
Operations --
Net investment
income............ $ 168,649
Net realized gain
(loss) on
investments and
foreign currency
transactions...... (20,451)
Net unrealized
gain (loss) on
investments and
foreign currency
translation....... 461,824
--------------
Increase in net
assets from
operations...... $ 610,022
--------------
Distributions
declared to
shareholders --
From net
investment
income............ $ (173,697)
From net realized
gain on
investments and
foreign currency
transactions...... --
--------------
Total
distributions
declared to
shareholders.... $ (173,697)
--------------
Trust share
transactions --
Net proceeds from
sale of shares.... $ 1,609,509
Net asset value of
shares issued to
shareholders in
reinvestment of
distributions..... 173,697
Cost of shares
reacquired........ (883,928)
--------------
Increase
(decrease) in
net assets from
Trust share
transactions.... $ 899,278
--------------
Total increase
in net assets.. $ 1,335,603
Net assets --
Beginning of year.. 3,280,253
--------------
End of year........ $ 4,615,856
==============
Accumulated
undistributed net
investment income
included in net
assets at end of
year ............. $ 168,949
==============
</TABLE>
+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
67
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Year Ended December 31, 1994
<TABLE>
<CAPTION>
Capital Conservative Government High Managed Money
Appreciation Growth Securities Yield Sectors Market Research
Series Series Series Series Series Series Series+
------------- ------------ ------------ ------------ ------------ ------------ ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Increase (decrease) in
net assets from:
Operations --
Net investment income... $ 1,093,347 $ 3,056,528 $ 20,354,189 $ 8,844,806 $ 592,681 $ 8,152,903 $ 5,137
Net realized gain
(loss) on investments
and foreign currency
transactions........... 13,292,898 1,340,199 (7,813,444) (1,214,152) 3,043,237 -- (15,337)
Net unrealized gain
(loss) on investments
and foreign currency
translation............ (30,787,712) (6,383,215) (19,253,931) (9,202,797) (5,941,813) -- 15,166
------------- ------------ ------------ ------------ ------------ ------------ ----------
Increase (decrease) in
net assets from
operations........... $ (16,401,467) $ (1,986,488) $ (6,713,186) $ (1,572,143) $ (2,305,895) $ 8,152,903 $ 4,966
------------- ------------ ------------ ------------ ------------ ------------ ----------
Distributions declared
to shareholders --
From net investment
income................. $ (2,034,467) $ (1,357,824) $(13,515,608) $ (6,608,417) $ (111,562) $ (8,152,903) $ --
From net realized gain
on investments and
foreign currency....... (40,403,394) (599,668) (5,181,096) -- (12,937,855) -- --
------------- ------------ ------------ ------------ ------------ ------------ ----------
Total distributions
declared to
shareholders........ $ (42,437,861) $ (1,957,492) $(18,696,704) $ (6,608,417) $(13,049,417) $ (8,152,903) $ --
------------- ------------ ------------ ------------ ------------ ------------ ----------
Trust share
transactions --
Net proceeds from sale
of shares.............. $ 276,488,479 $ 63,428,181 $114,876,098 $103,229,855 $ 52,128,802 $450,186,088 $4,031,738
Net asset value of
shares issued to
shareholders in
reinvestment of
distributions.......... 42,437,861 1,957,492 18,696,704 6,608,417 13,049,417 8,152,903 --
Cost of shares
reacquired............. (204,131,143) (6,894,105) (71,533,942) (97,347,804) (35,799,609) (348,628,248) (167,790)
------------- ------------ ------------ ------------ ------------ ------------ ----------
Increase in net assets
from Trust share
transactions......... $ 114,795,197 $ 58,491,568 $ 62,038,860 $ 12,490,468 $ 29,378,610 $109,710,743 $3,863,948
------------- ------------ ------------ ------------ ------------ ------------ ----------
Total increase in net
assets.............. $ 55,955,869 $ 54,547,588 $ 36,628,970 $ 4,309,908 $ 14,023,298 $109,710,743 $3,868,914
Net assets --
Beginning of year....... 420,551,913 95,770,212 310,521,136 97,883,945 104,963,775 142,464,249 --
------------- ------------ ------------ ------------ ------------ ------------ ----------
End of year............. $ 476,507,782 $150,317,800 $347,150,106 $102,193,853 $118,987,073 $252,174,992 $3,868,914
============= ============ ============ ============ ============ ============ ==========
Accumulated
undistributed net
investment income
included in net assets
at end of year......... $ 635,008 $ 3,056,467 $ 19,677,210 $ 7,468,541 $ 342,446 $ -- $ 5,137
============= ============ ============ ============ ============ ============ ==========
</TABLE>
<TABLE>
<CAPTION>
Total World Asset World World World Zero Coupon
Return Utilities Allocation Governments Growth Total Return Series
Series Series Series+ Series Series Series+ 2000 Portfolio
------------ ----------- ----------- ------------ ------------ ------------ --------------
<S> <C> <C> <C> <C> <C> <C> <C>
Increase (decrease) in
net assets from:
Operations --
Net investment income... $ 34,995,478 $ 674,882 $ 6,575 $ 8,732,434 $ 1,422,757 $ 3,409 $ 173,698
Net realized gain
(loss) on investments
and foreign currency
transactions........... (4,760,324) (622,482) (4,886) (13,970,783) 1,309,472 (3,275) (37,726)
Net unrealized gain
(loss) on investments
and foreign currency
translation............ (49,169,203) (604,453) 16,001 (1,384,328) (2,824,420) 4,106 (391,737)
------------ ----------- ---------- ------------ ------------ ---------- ----------
Increase (decrease) in
net assets from
operations........... $(18,934,049) $ (552,053) $ 17,690 $ (6,622,677) $ (92,191) $ 4,240 $ (255,765)
------------ ----------- ---------- ------------ ------------ ---------- ----------
Distributions declared
to shareholders --
From net investment
income................. $(21,606,168) $ (4,930) $ -- $(10,678,177) $ (15,288) $ -- $ (212,310)
From net realized gain
on investments and
foreign currency....... (10,289,267) -- -- (1,718,738) -- -- (613,361)
------------ ----------- ---------- ------------ ------------ ---------- ----------
Total distributions
declared to
shareholders......... $(31,895,435) $ (4,930) $ -- $(12,396,915) $ (15,288) $ -- $ (825,671)
------------ ----------- ---------- ------------ ------------ ---------- ----------
Trust share
transactions --
Net proceeds from sale
of shares.............. $225,559,030 $22,196,568 $3,002,895 $ 42,024,659 $105,362,812 $1,413,086 $ 787,836
Net asset value of
shares issued to
shareholders in
reinvestment of
distributions.......... 31,895,435 4,930 -- 12,396,915 15,288 -- 825,671
Cost of shares
reacquired............. (63,506,717) (2,993,902) (17,410) (31,283,289) (24,116,803) (33,297) (798,740)
------------ ----------- ---------- ------------ ------------ ---------- ----------
Increase (decrease) in
net assets from Trust
share transactions... $193,947,748 $19,207,596 $2,985,485 $ 23,138,285 $ 81,261,297 $1,379,789 $ 814,767
------------ ----------- ---------- ------------ ------------ ---------- ----------
Total increase
(decrease) in net
assets.............. $143,118,264 $18,650,613 $3,003,175 $ 4,118,693 $ 81,153,818 $1,384,029 $ (266,669)
Net assets --
Beginning of year....... 696,496,086 2,797,739 -- 135,036,214 18,890,346 -- 3,546,922
------------ ----------- ---------- ------------ ------------ ---------- ----------
End of year............. $839,614,350 $21,448,352 $3,003,175 $139,154,907 $100,044,164 $1,384,029 $3,280,253
============ =========== ========== ============ ============ ========== ==========
Accumulated
undistributed
(distributions in
excess of) net
investment income
included in net assets
at end of year......... $ 34,941,335 $ 673,522 $ 6,575 $ (656,903) $ 1,404,752 $ 3,409 $ 173,997
============ =========== ========== ============ ============ ========== ==========
</TABLE>
+ From November 7, 1994 (commencement of operations) to December 31, 1994.
See notes to financial statements
68
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Capital Appreciation Series
-------------------------------------------------
Year Ended December 31,
-------------------------------------------------
1995 1994 1993 1992 1991
-------- -------- -------- --------- --------
Per share data (for a
share outstanding
throughout each year):
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of year..... $24.4076 $28.1892 $24.8989 $ 23.0886 $16.6242
-------- -------- -------- --------- --------
Income from investment
operations# --
Net investment income... $ 0.0933 $ 0.0523 $ 0.1036 $ $0.0909 $ 0.1809
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions........... 8.1619 (1.1104) 4.2197 2.9238 6.5415
-------- -------- -------- --------- --------
Total from investment
operations........... $ 8.2552 $(1.0581) $ 4.3233 $ 3.0147 $ 6.7224
-------- -------- -------- --------- --------
Less distributions --
From net investment
income................. $(0.0568) $(0.1306) $(0.1095) $ (0.1831) $(0.2580)
From net realized gain
on investments and
foreign currency
transactions........... (0.6182) (2.5929) (0.9235) (1.0213) --
-------- -------- -------- --------- --------
Total distributions... $(0.6750) $(2.7235) $(1.0330) $ (1.2044) $(0.2580)
-------- -------- -------- --------- --------
Net asset value -- end
of year................ $31.9878 $24.4076 $28.1892 $ 24.8989 $23.0886
======== ======== ======== ========= ========
Total return++.......... 34.46% (3.60)% 18.00% 13.61% 40.95%
Ratios (to average net
assets)/Supplemental
data:
Expenses##.............. 0.83% 0.83% 0.83% 0.87% 0.85%
Net investment income... 0.32% 0.24% 0.48% 0.50% 1.20%
Portfolio turnover...... 89% 52% 70% 69% 92%
Net assets, end of year
(000 omitted).......... $797,102 $476,508 $420,552 $262,645 $160,846
<CAPTION>
MFS/Foreign &
Colonial
Emerging International
Growth Growth and
Conservative Growth Series Series Income Series
------------------------------------------------- ------------ -------------
Period Period
Year Ended December 31, Ended Ended
------------------------------------------------- December 31, December 31,
1995 1994 1993 1992 1991 1995** 1995***
-------- -------- -------- --------- -------- ------------ -------------
Per share data (for a
share outstanding
throughout each year):
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of year..... $16.4563 $16.9289 $16.0717 $ 16.8547 $12.6137 $10.0000* $10.0000*
-------- -------- -------- --------- -------- --------- ---------
Income from investment
operations# --
Net investment
income(S).............. $ 0.4318 $ 0.2942 $ 0.2041 $ 0.1810 $ 0.1515 $ 0.0788 $ 0.0295
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions........... 5.6172 (0.4790) 1.1280 0.6747 4.4025 2.6079 0.0987
-------- -------- -------- --------- -------- --------- ---------
Total from investment
operations........... $ 6.0490 $(0.1848) $ 1.3321 $ 0.8557 $ 4.5540 $ 2.6867 $ 0.1282
-------- -------- -------- --------- -------- --------- ---------
Less distributions --
From net investment
income................. $(0.3037) $(0.1996) $(0.1509) $ (0.1387) $(0.3130) $ -- $ --
From net realized gain
on investments and
foreign currency
transactions........... (0.1834) (0.0882) (0.3240) (1.5000) -- -- --
-------- -------- -------- --------- -------- --------- ---------
Total distributions... $(0.4871) $(0.2878) $(0.4749) $ (1.6387) $(0.3130) $ -- $ --
-------- -------- -------- --------- -------- --------- ---------
Net asset value -- end
of year................ $22.0182 $16.4563 $16.9289 $ 16.0717 $16.8547 $ 12.6867 $ 10.1282
======== ======== ======== ========= ======== ========= =========
Total return++.......... 37.41% (1.10)% 8.43% 5.71% 36.74% 26.80%++ 1.30%++
Ratios (to average net
assets)/Supplemental
data(S):
Expenses##.............. 0.64% 0.64% 0.66% 0.80% 0.98% 0.24%+ 1.50%+
Net investment income... 2.25% 2.42% 2.05% 1.84% 1.07% 1.13%+ 1.64%+
Portfolio turnover...... 60% 146% 19% 40% 51% 28% --
Net assets, end of year
(000 omitted).......... $302,024 $150,318 $ 95,770 $ 44,455 $ 15,818 $ 67,255 $ 7,179
</TABLE>
* Net asset value per share on date of commencement of operations.
** From May 1, 1995 (commencement of operations) to December 31, 1995.
*** From October 2, 1995 (commencement of operations) to December 31, 1995.
+ Annualized.
++ Not annualized.
++The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
# Per share data for the periods subsequent to December 31, 1992 is based on
average shares outstanding.
## For 1995, expenses are calculated without reduction for fees paid indirect-
ly.
(SThe)investment adviser voluntarily waived its management fee for the Emerg-
ing Growth Series for the period indicated. If the waiver had not been in
place, the net investment income per share and ratios would have been:
<TABLE>
<CAPTION>
Emerging Growth Series
----------------------
Period Ended
December 31, 1995**
----------------------
<S> <C>
Net investment income................................... $0.0265
Ratios (to average net assets):
Expenses##............................................. 1.00%+
Net investment income.................................. 0.38%+
</TABLE>
See notes to financial statements
69
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Government Securities Series
------------------------------------------------
Year Ended December 31,
------------------------------------------------
Per share data (for a share
outstanding throughout each 1995 1994 1993 1992 1991
year): -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value -- beginning
of year.................... $12.1219 $13.0951 $13.0059 $13.0369 $12.0359
-------- -------- -------- -------- --------
Income from investment
operations# --
Net investment income....... $ 0.8311 $ 0.6366 $ 0.5742 $ 0.7170 $ 0.7835
Net realized and unrealized
gain (loss) on investments
and foreign currency
transactions............... 1.2183 (0.9238) 0.5220 0.0976 1.0115
-------- -------- -------- -------- --------
Total from investment
operations............... $ 2.0494 $(0.2872) $ 1.0962 $ 0.8146 $ 1.7950
-------- -------- -------- -------- --------
Less distributions --
From net investment income.. $(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....... $(0.7813) $(0.6860) $(1.0070) $(0.8456) $(0.7940)
-------- -------- -------- -------- --------
Net asset value -- end of
year....................... $13.3900 $12.1219 $13.0951 $13.0059 $13.0369
======== ======== ======== ======== ========
Total return++.............. 17.66% (2.21)% 8.70% 6.81% 15.81%
Ratios (to average net
assets)/Supplemental data:
Expenses##................. 0.63% 0.62% 0.63% 0.66% 0.64%
Net investment income...... 6.59% 6.01% 5.92% 6.56% 7.60%
Portfolio turnover.......... 80% 90% 96% 304% 203%
Net assets, end of year (000
omitted)................... $368,848 $347,150 $310,521 $203,739 $144,172
<CAPTION>
High Yield Series
------------------------------------------------
Year Ended December 31,
------------------------------------------------
Per share data (for a share
outstanding throughout each 1995 1994 1993 1992 1991
year): -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value -- beginning
of year.................... $ 8.1860 $ 9.1120 $ 8.3279 $ 8.1299 $ 6.9758
-------- -------- -------- -------- --------
Income from investment
operations# --
Net investment income....... $ 0.7891 $ 0.8226 $ 0.5915 $ 0.7314 $ 0.8230
Net realized and unrealized
gain (loss) on investments
and foreign currency
transactions............... 0.5494 (1.0387) 0.8242 0.3823 1.9201
-------- -------- -------- -------- --------
Total from investment
operations............... $ 1.3385 $(0.2161) $ 1.4157 $ 1.1137 $ 2.7431
-------- -------- -------- -------- --------
Less distributions from net
investment income.......... $(0.6023) $(0.7099) $(0.6316) $(0.9157) $(1.5890)
-------- -------- -------- -------- --------
Net asset value -- end of
year....................... $ 8.9222 $ 8.1860 $ 9.1120 $ 8.3279 $ 8.1299
======== ======== ======== ======== ========
Total return++.............. 16.93% (2.16)% 17.68% 14.99% 47.47%
Ratios (to average net
assets)/Supplemental data:
Expenses##.................. 0.87% 0.86% 0.88% 0.97% 1.05%
Net investment income....... 9.17% 8.94% 8.76% 9.07% 12.23%
Portfolio turnover.......... 66% 82% 53% 73% 45%
Net assets, end of year (000
omitted)................... $153,800 $102,194 $97,884 $54,564 $31,254
</TABLE>
++The total return information shown above does not reflect expenses that apply
to the separate accounts established by Sun Life of Canada (U.S.) and Sun
Life (N.Y.). Inclusion of these charges would reduce the total return figures
for all periods shown.
# Per share data for the periods subsequent to December 31, 1992 is based on
average shares outstanding.
## For 1995, expenses are calculated without reduction for fees paid indirect-
ly.
See notes to financial statements
70
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Managed Sectors Series
------------------------------------------------
Year Ended December 31,
------------------------------------------------
Per share data (for a share
outstanding throughout each 1995 1994 1993 1992 1991
year): -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value -- beginning
of year.................... $19.8823 $23.2419 $22.3342 $21.0115 $13.0731
-------- -------- -------- -------- --------
Income from investment
operations# --
Net investment income
(loss)..................... $ 0.0979 $ 0.0982 $ 0.0027 $(0.0565) $ 0.0337
Net realized and unrealized
gain (loss) on investments
and foreign currency
transactions............... 6.1880 (0.6610) 0.9050 1.4184 8.0287
-------- -------- -------- -------- --------
Total from investment
operations............... $ 6.2859 $(0.5628) $ 0.9077 $ 1.3619 $ 8.0624
-------- -------- -------- -------- --------
Less distributions --
From net investment income.. $(0.0542) $(0.0239) $ -- $(0.0392) $(0.1240)
From net realized gain on
investments and foreign
currency transactions...... (0.6672) (2.7729) -- -- --
-------- -------- -------- -------- --------
Total distributions....... $(0.7214) $(2.7968) $ -- $(0.0392) $(0.1240)
-------- -------- -------- -------- --------
Net asset value -- end of
year....................... $25.4468 $19.8823 $23.2419 $22.3342 $21.0115
======== ======== ======== ======== ========
Total return++.............. 32.29% (1.94)% 4.08% 6.48% 62.15%
Ratios (to average net
assets)/Supplemental data:
Expenses##.................. 0.84% 0.87% 0.84% 0.93% 1.03%
Net investment income
(loss)..................... 0.42% 0.53% 0.01% (0.35)% 0.34%
Portfolio turnover.......... 113% 103% 116% 22% 45%
Net assets, end of year (000
omitted)................... $194,351 $118,987 $104,964 $ 83,413 $ 41,752
<CAPTION>
Money Market Series
------------------------------------------------
Year Ended December 31,
------------------------------------------------
Per share data (for a share
outstanding throughout each 1995 1994 1993 1992 1991
year): -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value -- beginning
of year.................... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
-------- -------- -------- -------- --------
Income from investment
operations#................ $ 0.0520 $ 0.0363 $ 0.0256 $ 0.0325 $ 0.0565
-------- -------- -------- -------- --------
Less distributions from net
investment income.......... $(0.0520) $(0.0363) $(0.0256) $(0.0325) $(0.0565)
-------- -------- -------- -------- --------
Net asset value -- end of
year....................... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
======== ======== ======== ======== ========
Total return++.............. 5.44% 3.69% 2.59% 3.30% 5.79%
Ratios (to average net
assets)/Supplemental data:
Expenses##.................. 0.59% 0.58% 0.58% 0.60% 0.59%
Net investment income....... 5.30% 3.74% 2.60% 3.29% 5.64%
Net assets, end of year (000
omitted)................... $282,754 $252,175 $142,464 $134,799 $129,683
</TABLE>
++The total return information shown above does not reflect expenses that apply
to the separate accounts established by Sun Life of Canada (U.S.) and Sun
Life (N.Y.). Inclusion of these charges would reduce the total return figures
for all periods shown.
#Per share data for the periods subsequent to December 31, 1992 is based on
average shares outstanding.
##For 1995, expenses are calculated without reduction for fees paid indirectly.
See notes to financial statements
71
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Research Series Total Return Series
------------------------- --------------------------------------------------
Year Ended Period Ended Year Ended December 31,
December 31, December 31, --------------------------------------------------
1995 1994*** 1995 1994 1993 1992 1991
------------ ------------ ---------- -------- -------- -------- --------
Per share data (for a
share outstanding
throughout each year):
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of year..... $ 9.8761 $10.0000** $ 15.0862 $16.0946 $14.7219 $14.2209 $12.1220
-------- -------- ---------- -------- -------- -------- --------
Income from investment
operations# --
Net investment
income(S).............. $ 0.1401 $ 0.0131 $ 0.7824 $ 0.5639 $ 0.4319 $ 0.5389 $ 0.5646
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions........... 3.5651 (0.1370) 3.1527 (0.9310) 1.5044 0.6247 1.9793
-------- -------- ---------- -------- -------- -------- --------
Total from investment
operations........... $ 3.7052 $(0.1239) $ 3.9351 $(0.3671) $ 1.9363 $ 1.1636 $ 2.5439
-------- -------- ---------- -------- -------- -------- --------
Less distributions --
From net investment
income................. $(0.0036) $ -- $ (0.6365) $(0.4344) $(0.4798) $(0.5673) $(0.4450)
From net realized gain
on investments and
foreign currency
transactions........... -- -- -- (0.2069) (0.0838) (0.0953) --
-------- -------- ---------- -------- -------- -------- --------
Total distributions... $(0.0036) $ -- $ (0.6365) $(0.6413) $(0.5636) $(0.6626) $(0.4450)
-------- -------- ---------- -------- -------- -------- --------
Net asset value -- end
of year................ $13.5777 $ 9.8761 $ 18.3848 $15.0862 $16.0946 $14.7219 $14.2209
======== ======== ========== ======== ======== ======== ========
Total return++.......... 37.50% (1.20)%++ 26.71% (2.22)% 13.37% 8.57% 21.60%
Ratios (to average net
assets)/Supplemental
data(S):
Expenses##.............. 0.58% 1.50%+ 0.76% 0.76% 0.78% 0.85% 0.85%
Net investment income... 1.16% 1.80%+ 4.70% 4.34% 4.06% 4.96% 5.83%
Portfolio turnover...... 81% 3% 108% 66% 102% 71% 69%
Net assets, end of year
(000 omitted).......... $ 71,828 $ 3,869 $1,099,887 $839,614 $696,496 $397,385 $224,216
</TABLE>
<TABLE>
<CAPTION>
World Asset
Utilities Series Allocation Series
-------------------------------------- ---------------------------------
Year Ended Year
December 31, Ended
------------------ Period Ended December 31, Period Ended
1995 1994 December 31, 1993* 1995 December 31, 1994***
-------- -------- ------------------ ------------ --------------------
Per share data (for a
share outstanding
throughout each year):
<S> <C> <C> <C> <C> <C>
Net asset value --
beginning of year..... $ 9.5209 $10.0164 $10.0000** $10.0579 $10.0000**
-------- -------- -------- -------- --------
Income from investment
operations# --
Net investment
income(S).............. $ 0.4918 $ 0.2899 $ 0.0128 $ 0.4205 $ 0.0220
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions........... 2.5197 (0.7817) 0.0036 1.7540 0.0359
-------- -------- -------- -------- --------
Total from investment
operations........... $ 3.0115 $(0.4918) $ 0.0164 $ 2.1745 $ 0.0579
-------- -------- -------- -------- --------
Less distributions from
net investment income.. $(0.2726) $(0.0037) $ -- $(0.0074) $ --
-------- -------- -------- -------- --------
Net asset value -- end
of year................ $12.2598 $ 9.5209 $10.0164 $12.2250 $10.0579
======== ======== ======== ======== ========
Total return++.......... 32.36% (4.96)% 1.59%+ 21.56% 0.60%++
Ratios (to average net
assets)/Supplemental
data(S):
Expenses##.............. 0.44% 0.39% 1.50%+ 0.67% 1.50%+
Net investment income... 4.62% 4.59% 2.58%+ 3.70% 3.13%+
Portfolio turnover...... 119% 103% -- % 146% 2%
Net assets, end of year
(000 omitted).......... $ 43,134 $ 21,448 $ 2,798 $ 25,863 $ 3,003
</TABLE>
* From November 16, 1993 (commencement of operations) to December 31, 1993.
** Net asset value on date of commencement of operations.
*** From November 7, 1994 (commencement of operations) to December 31, 1994.
+ Annualized.
++ Not annualized.
++The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
# Per share data for the periods subsequent to December 31, 1992 is based on
average shares outstanding.
## For 1995, expenses are calculated without reduction for fees paid
indirectly.
(SThe)investment adviser voluntarily waived all or a portion of its management
fee for the Research Series, Utilities Series and World Asset Allocation
Series for the periods indicated. If the waiver had not been in place, the
net investment income per share and ratios would have been:
<TABLE>
<CAPTION>
World Asset
Research Series Utilities Series Allocation Series
--------------- ----------------- -----------------
Year Ended
Year Ended December 31, Year Ended
December 31, ----------------- December 31,
1995 1995 1994 1995
--------------- -------- -------- -----------------
<S> <C> <C> <C> <C>
Net investment income.... $0.0954 $0.4375 $ 0.2412 $0.3716
Ratios (to average net
assets):
Expenses##.............. 0.95% 0.95% 1.14% 1.11%
Net investment income... 0.79% 4.12% 3.84% 3.27%
</TABLE>
See notes to financial statements
72
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
World Governments Series
------------------------------------------------
Year Ended December 31,
------------------------------------------------
Per share data (for a share
outstanding throughout each 1995 1994 1993 1992 1991
year): -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value -- beginning
of year.................... $11.3769 $13.0212 $11.7966 $12.7397 $11.5967
-------- -------- -------- -------- --------
Income from investment
operations# --
Net investment income....... $ 0.8031 $ 0.6095 $ 0.5352 $ 0.6429 $ 0.7024
Net realized and unrealized
gain (loss) on investments
and foreign currency
transactions............... 0.9511 (1.2295) 1.5819 (0.6141) 0.9616
-------- -------- -------- -------- --------
Total from investment
operations............... $ 1.7542 $(0.6200) $ 2.1171 $ 0.0288 $ 1.6640
-------- -------- -------- -------- --------
Less distributions --
From net investment income.. $(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....... $(0.6445) $(1.0243) $(0.8925) $(0.9719) $(0.5210)
-------- -------- -------- -------- --------
Net asset value -- end of
year....................... $12.4866 $11.3769 $13.0212 $11.7966 $12.7397
======== ======== ======== ======== ========
Total return++.............. 15.69% (4.46)% 18.84% 0.54% 14.83%
Ratios (to average net
assets)/Supplemental data:
Expenses##.................. 0.89% 0.90% 0.95% 1.03% 1.12%
Net investment income....... 6.67% 6.06% 6.01% 7.02% 7.50%
Portfolio turnover.......... 329% 269% 173% 147% 192%
Net assets, end of year (000
omitted)................... $152,487 $139,155 $135,085 $ 73,540 $ 36,566
</TABLE>
<TABLE>
<CAPTION>
World Total
World Growth Series Return Series
-------------------------------------- --------------------------------
Year Ended
December 31,
------------------ Year Ended
Per share data (for a Period Ended December 31, Period Ended
share outstanding 1995 1994 December 31, 1993* 1995 December 31, 1994**
throughout each year): -------- -------- ------------------ ------------ -------------------
<S> <C> <C> <C> <C> <C>
Net asset value --
beginning of year..... $10.9425 $10.6366 $10.0000*** $10.0405 $10.0000***
-------- -------- -------- -------- --------
Income from investment
operations# --
Net investment
income(S).............. $ 0.0689 $ 0.1506 $ 0.0088 $ 0.4437 $ 0.0247
Net realized and
unrealized gain on
investments and
foreign currency
transactions........... 1.6388 0.1590 0.6278 1.3564 0.0158
-------- -------- -------- -------- --------
Total from investment
operations........... $ 1.7077 $ 0.3096 $ 0.6366 $ 1.8001 $ 0.0405
-------- -------- -------- -------- --------
Less distributions --
From net investment
income................. $(0.1361) $(0.0037) $ -- $(0.0060) $ --
From net realized gain
on investments and
foreign currency
transactions........... (0.1677) -- -- -- --
-------- -------- -------- -------- --------
Total distributions... $(0.3038) $(0.0037) $ -- $(0.0060) $ --
-------- -------- -------- -------- --------
Net asset value -- end
of year................ $12.3464 $10.9425 $10.6366 $11.8346 $10.0405
======== ======== ======== ======== ========
Total return++.......... 16.06% 2.86% 50.78%+ 17.89% 0.40%++
Ratios (to average net
assets)/Supplemental
data(S):
Expenses##.............. 1.07% 0.47% 1.02%+ 0.77% 1.50%+
Net investment income... 0.60% 2.20% 1.23%+ 4.01% 3.31%+
Portfolio turnover...... 162% 231% 2% 146% 1%
Net assets, end of year
(000 omitted).......... $146,388 $100,045 $ 18,879 $ 13,786 $ 1,384
</TABLE>
* From November 16, 1993 (commencement of operations) to December 31, 1993.
** From November 7, 1994 (commencement of operations) to December 31, 1994.
*** Net asset value on date of commencement of operations.
+ Annualized.
++ Not annualized.
++The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
# Per share data for the periods subsequent to December 31, 1992 is based on
average shares outstanding.
## For 1995, expenses are calculated without reduction for fees paid
indirectly.
(SThe)investment adviser voluntarily waived all or a portion of its management
fee for the World Growth Series and the World Total Return Series for the
periods indicated. If the waiver had not been in place, the net investment
income per share and ratios would have been:
<TABLE>
<CAPTION>
World Total
World Growth Series Return Series
------------------------------------ -----------------
Year Ended Period Ended Year Ended
December 31, 1994 December 31, 1993* December 31, 1995
----------------- ------------------ -----------------
<S> <C> <C> <C>
Net investment income... $0.0989 $0.005 $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
73
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Zero Coupon Series
2000 Portfolio
-------------------------------------------------
Year Ended December 31,
Per share data (for a share -------------------------------------------------
outstanding throughout each 1995 1994 1993 1992 1991
year): -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value --
beginning of year........ $ 7.9573 $11.1167 $11.0966 $11.3060 $10.2772
-------- -------- -------- -------- --------
Income from investment
operations# --
Net investment income...... $ 0.4340 $ 0.3807 $ 0.6921 $ 0.8970 $ 0.8217
Net realized and
unrealized gain (loss) on
investments and foreign
currency transactions..... 1.1038 (1.1094) 0.8997 (0.0904)* 1.1301
-------- -------- -------- -------- --------
Total from investment
operations.............. $ 1.5378 $(0.7287) $ 1.5918 $ 0.8066 $ 1.9518
-------- -------- -------- -------- --------
Less distributions --
From net investment
income.................... $(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...... $(0.4332) $(2.4307) $(1.5717) $(1.0160) $(0.9230)
-------- -------- -------- -------- --------
Net asset value -- end of
year...................... $ 9.0619 $ 7.9573 $11.1167 $11.0966 $11.3060
======== ======== ======== ======== ========
Total return++............. 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%
Net investment income...... 5.16% 4.93% 5.48% 7.08% 7.63%
Portfolio turnover......... 27% 12% 65% 16% 8%
Net assets, end of year
(000 omitted)............. $ 4,616 $ 3,280 $ 3,547 $ 3,713 $ 4,525
</TABLE>
* The per share amount is not in accord with the net realized and unrealized
loss for the period because of the timing of sales of Trust shares and the
amount of per share realized and unrealized gains and losses at such time.
++The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
# Per share data for the periods subsequent to December 31, 1992 is based on
average shares outstanding.
## For 1995, expenses are calculated without reduction for fees paid
indirectly.
See notes to financial statements
74
<PAGE>
MFS/SUN LIFE SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
The Trust is organized as a Massachusetts business trust and is registered
under the Investment Company Act of 1940, as amended, as an open-end, manage-
ment investment company consisting of sixteen separate Series (the Series) of
shares: Capital Appreciation Series, Conservative Growth Series, Emerging
Growth Series, MFS/Foreign & Colonial International Growth and Income Series,
Government Securities Series, High Yield Series, Managed Sectors Series, Money
Market Series, Research Series, Total Return Series, Utilities Series, World
Asset Allocation Series, World Governments Series, World Growth Series, World
Total Return Series and Zero Coupon Series 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
Investment Securities Valuations -- Equity securities listed on securities
exchanges or reported through the NASDAQ system are valued at last sale pric-
es. 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 fac-
tors 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 denomi-
nated 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 valuations or quota-
tions are valued at fair value as determined in good faith by or at the direc-
tion of the Trustees.
Repurchase Agreements -- Certain Series of the Trust may enter into repurchase
agreements with institutions that the Trust's investment adviser has deter-
mined 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 agree-
ment. 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.
Foreign Currency Translation -- Investment valuations, other assets, and lia-
bilities initially expressed in foreign currencies are converted each business
day into U.S. dollars based upon current exchange rates. Purchases and sales
of foreign investments and income and expenses are converted into U.S. dollars
based upon currency exchange rates prevailing on the respective dates of such
transactions. Gains and losses attributable to foreign currency exchange rates
on sales of securities are recorded for financial statement purposes as net
realized gains and losses on investments. Gains and losses attributable to
foreign exchange rate movements on income and expenses are recorded for finan-
cial 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. Premi-
ums 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 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 unfa-
vorable 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.
75
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
Futures Contracts -- Certain Series of the Trust may enter into futures con-
tracts for the delayed delivery of securities, currency or contracts based on
financial indices at a fixed price on a future date. In entering such con-
tracts, the Series are required to deposit either in cash or securities an
amount equal to a certain percentage of the contract amount. Subsequent pay-
ments are made or received by the Series each day, depending on the daily fluc-
tuations in the value of the underlying security, and are recorded for finan-
cial statement purposes as unrealized gains or losses by the Series. The
Series' investment in futures contracts is designed to hedge against antici-
pated 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 con-
tracts 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 appre-
ciation 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 foreign currency exchange contracts for the purchase or sale
of a specific foreign currency at a fixed price on a future date. Risks may
arise upon entering these contracts from the potential inability of
counterparties to meet the terms of the contracts and from unanticipated move-
ments in the value of a foreign currency relative to the U.S. dollar. The
Series will enter into forward contracts for hedging purposes as well as for
non-hedging purposes. For hedging purposes, the Series may enter into contracts
to deliver or receive foreign currency it will receive from or require for its
normal investment activities. It may also use contracts in a manner intended to
protect foreign currency-denominated securities from declines in value due to
unfavorable exchange rate movements. For non-hedging purposes, the Series may
enter into contracts with the intent of changing the relative exposure of the
Series' portfolio of securities to different currencies to take advantage of
anticipated changes. The forward foreign currency exchange contracts are
adjusted by the daily forward exchange rate of the underlying currency and any
gains or losses are recorded for financial statement purposes as unrealized
until the contract settlement date.
Investment Transactions and Income -- Investment transactions are recorded on
the trade date. Interest income is recorded on the accrual basis. All premium
and original issue discount are amortized or accreted for both financial state-
ment and tax reporting purposes as required by federal income tax regulations.
Dividend income is recorded on the ex-dividend date for dividends received in
cash. Dividend and interest payments received in additional securities are
recorded on the ex-dividend or ex-interest date in an amount equal to the value
of the security on such date.
Although the High Yield Series has a diversified portfolio at December 31,
1995, it can invest up to 100% of its portfolio in high-yield securities rated
below investment grade. Investments in high-yield securities involve greater
degrees of credit and market risk than investments in higher-rated securities,
and tend to be more sensitive to economic conditions.
As appropriate based on its investments, certain Series of the Trust use the
effective interest method for reporting interest income on payment-in-kind
(PIK) bonds, whereby interest income on PIK bonds is recorded ratably by the
Series at a constant yield to maturity. Legal fees and other related expenses
incurred to preserve and protect the value of a security owned are added to the
cost of the security; other legal fees are expensed. Capital infusions, which
are generally non-recurring, incurred to protect or enhance the value of high-
yield debt securities are reported as an addition to the cost basis of the
security. Costs incurred to negotiate the terms or conditions of capital
infusions or that are expected to result in a plan of reorganization are con-
sidered workout expenses and are reported as realized losses. Ongoing costs
incurred to protect or enhance an investment, or costs incurred to pursue other
claims or legal actions are reported as operating expenses.
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 Statement 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) applica-
ble to regulated investment companies and to distribute to shareholders all of
its net taxable income, including any net realized gain from investments.
Accordingly, no provision for federal income or excise tax is necessary. For-
eign taxes have been provided for on interest and dividend income earned on
foreign investments in accordance with the applicable country's tax rates and
to the extent unrecoverable are recorded as a reduction of investment income.
Distributions to shareholders are recorded on the ex-dividend date.
76
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
The Trust distinguishes between distributions on a tax basis and a financial
reporting basis and requires that only distributions in excess of tax basis
earnings and profits are reported in the financial statements as a return of
capital. Differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes, are classified as distri-
butions in excess of net investment income or accumulated net realized gains.
For the year ended December 31, 1995, the following amounts were reclassified
due to permanent differences between book and tax accounting for currency
transactions and paydown securities. These changes had no effect on the net
assets or net asset value per share.
<TABLE>
<CAPTION>
MFS/Foreign
& Colonial
Capital Conservative International Government High Managed Total
Appreciation Growth Growth and Securities Yield Sectors Research Return
Series Series Income Series Series Series Series Series Series
------------ ------------ ------------- ---------- ----------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Increase (decrease):
Paid-in capital......... $ -- $ 65,669 $ (4,368) $ -- $ 19,429 $ -- $ -- $ --
Accumulated
undistributed net
realized gain (loss) on
investments and foreign
currency transactions.. 631,366 8,987 17,271 195,879 (1,169,806) 29,704 2,056 116,185
Accumulated
undistributed net
investment income...... (631,366) (74,656) (12,903) (195,879) 1,150,377 (29,704) (2,056) (116,185)
</TABLE>
<TABLE>
<CAPTION>
World Asset World World World
Utilities Allocation Governments Growth Total Return
Series Series Series Series Series
--------- ----------- ------------ --------- ------------
<S> <C> <C> <C> <C> <C>
Increase (decrease):
Paid-in capital......... $ -- $ -- $ 66,777 $ -- $ --
Accumulated
undistributed net
realized gain (loss) on
investments and foreign
currency transactions.. 1,821 45,574 (16,313,256) (427,034) (224,848)
Accumulated
undistributed net
investment income...... (1,821) (45,574) 16,246,479 427,034 224,848
</TABLE>
At December 31, 1995, the following Series had capital loss carryforwards for
federal income tax purposes which may be applied against any net taxable real-
ized gains of each succeeding year until the earlier of their utilization or
expiration.
<TABLE>
<CAPTION>
Portion Expiring December 31,
-------------------------------------------------------------------------------------------
Total Carryover 1996 1997 1998 1999 2000 2001 2002 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>
77
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
3. TRANSACTIONS WITH AFFILIATES
The Trust has investment advisory agreements with Massachusetts Financial Serv-
ices Company (MFS), a wholly-owned subsidiary of Sun Life Assurance Company of
Canada (U.S.), to provide overall investment advisory and administrative serv-
ices, and general office facilities. Investment advisory fees are computed
daily and paid monthly at an 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:
<TABLE>
<CAPTION>
Investment Expense
Advisory Fees Limitations
---------------------------------------------------------------------------
<S> <C> <C>
Capital Appreciation Series..................... 0.75% 1.25%
Conservative Growth Series...................... 0.55% 1.25%
Emerging Growth Series.......................... 0.75%* 1.50%
MFS/Foreign & Colonial International Growth and
Income Series.................................. 0.975%* 1.50%
Government Securities Series.................... 0.55% 1.25%
High Yield Series............................... 0.75% 1.25%
Managed Sectors Series.......................... 0.75%* 1.25%
Money Market Series............................. 0.50% 0.60%
Research Series................................. 0.75%* 1.50%
Total Return Series............................. 0.75%* 1.25%
Utilities Series................................ 0.75%* 1.00%
World Asset Allocation Series................... 0.75%* 1.50%
World Governments Series........................ 0.75%* 1.00%
World Growth Series............................. 0.90% 1.50%
World Total Return Series....................... 0.75%* 1.50%
Zero Coupon Series 2000 Portfolio............... 0.25% 0.50%
</TABLE>
*The advisory fee for Emerging Growth Series, Managed Sectors Series, Research
Series, Total Return Series, Utilities Series, World Asset Allocation Series,
World Governments Series and World Total Return Series is 0.75% of the first
$300 million of average daily net assets of each of the Series and 0.675% of
the average daily net assets of each Series in excess of $300 million. The
advisory fee for the Total Return Series is reduced to 0.60% of the average
daily net assets in excess of $1 billion. The advisory fee for the MFS/Foreign
& Colonial International Growth and Income Series is reduced to 0.925% of the
average daily net assets in excess of $500 million.
MFS has agreed to waive its advisory fee for an indefinite period for the
Emerging Growth and MFS/Foreign & Colonial International Growth and Income
Series. The amounts waived under this agreement for the year ended December 31,
1995, were $149,156, and $7,653, respectively. MFS waived a portion of its
advisory fee for the Research, Utilities, World Asset Allocation and World
Total Return Series. The amounts waived under this agreement for the year ended
December 31, 1995 were $105,489, $148,727, $57,610 and $27,327, 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 year ended December 31, 1995, purchases and sales of investments, other
than purchased option transactions and short-term obligations, were as follows:
<TABLE>
<CAPTION>
MFS/Foreign
& Colonial
Capital Conservative Emerging International Government High Managed Money
Appreciation Growth Growth Growth and Securities Yield Sectors Market
Series Series Series Income Series Series Series Series Series+
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Purchases
- ---------
U.S. government
securities..... $ 12,434,050 $ 1,154,137 $ -- $1,093,584 $317,976,034 $ -- $ -- $1,388,535,985
============ ============ =========== ========== ============ ============ ============ ==============
Investments
(non-U.S.
government
securities).... $679,973,342 $201,512,721 $60,965,733 $4,022,781 $ -- $118,213,055 $207,700,867 $ 730,623,047
============ ============ =========== ========== ============ ============ ============ ==============
Sales
- -----
U.S. government
securities..... $ 3,544,873 $ 669,356 $ -- $ -- $245,825,599 $ -- $ -- $1,297,494,178
============ ============ =========== ========== ============ ============ ============ ==============
Investments
(non-U.S.
government
securities).... $554,409,491 $117,357,423 $ 7,646,998 $ -- $ -- $ 78,741,574 $170,642,024 $ 803,528,702
============ ============ =========== ========== ============ ============ ============ ==============
<CAPTION>
Total
Research Return
Series Series
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Purchases
- ---------
U.S. government
securities..... $ -- $465,107,531
=========== ============
Investments
(non-U.S.
government
securities).... $77,599,630 $575,083,645
=========== ============
Sales
- -----
U.S. government
securities..... $ -- $425,096,896
=========== ============
Investments
(non-U.S.
government
securities).... $21,851,104 $480,911,336
=========== ============
</TABLE>
78
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
<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>
Purchases
- ---------
U.S. government
securities............. $ 6,261,596 $ 3,529,728 $192,020,735 $ -- $ 4,978,187 $1,564,569
=========== =========== ============ ============ =========== ==========
Investments (non-U.S.
government securities). $40,376,443 $31,371,264 $206,944,595 $220,885,024 $10,847,322 $ --
=========== =========== ============ ============ =========== ==========
Sales
- -----
U.S. government
securities............. $ 3,047,751 $ 2,439,938 $211,737,873 $ -- $ 3,717,915 $ 875,867
=========== =========== ============ ============ =========== ==========
Investments (non-U.S.
government securities). $30,332,449 $13,739,970 $214,864,588 $182,639,396 $ 3,481,778 $ --
=========== =========== ============ ============ =========== ==========
</TABLE>
+Purchases and sales of investments for the Money Market Series consist solely
of short-term obligations.
At December 31, 1995, the cost and unrealized appreciation or depreciation in
value of the investment securities owned by each Series of the Trust, as com-
puted on the federal income tax basis, are as follows:
<TABLE>
<CAPTION>
MFS/Foreign
& Colonial
Capital Conservative Emerging International Government High Managed Money
Appreciation Growth Growth Growth and Securities Yield Sectors Market
Series Series Series Income Series Series Series Series Series
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Aggregate cost.. $656,984,156 $250,092,258 $63,704,104 $6,644,365 $345,615,709 $147,235,986 $178,414,085 $284,299,446
============ ============ =========== ========== ============ ============ ============ ============
Gross unrealized
appreciation... $160,821,369 $ 52,302,630 $ 8,026,680 $ 173,638 $ 19,074,870 $ 5,154,637 $ 25,465,291 $ --
Gross unrealized
depreciation... (20,113,915) (1,267,350) (2,461,790) (51,447) (895,774) (3,549,363) (10,886,390) --
------------ ------------ ----------- ---------- ------------ ------------ ------------ ------------
Net unrealized
appreciation... $140,707,454 $ 51,035,280 $ 5,564,890 $ 122,191 $ 18,179,096 $ 1,605,274 $ 14,578,901 $ --
============ ============ =========== ========== ============ ============ ============ ============
<CAPTION>
Total
Research Return
Series Series
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Aggregate cost.. $64,302,349 $954,583,800
============ =============
Gross unrealized
appreciation... $ 7,977,022 $147,783,668
Gross unrealized
depreciation... (1,142,065) (5,860,073)
------------ -------------
Net unrealized
appreciation... $ 6,834,957 $141,923,595
============ =============
</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>
Aggregate cost.......... $39,160,991 $24,264,098 $157,566,137 $142,576,949 $13,077,755 $4,341,742
=========== =========== ============ ============ =========== ==========
Gross unrealized
appreciation........... $ 4,841,540 $ 1,739,307 $ 3,115,411 $ 13,570,559 $ 833,337 $ 245,757
Gross unrealized
depreciation........... (306,634) (348,903) (527,794) (9,452,750) (108,558) --
----------- ----------- ------------ ------------ ----------- ----------
Net unrealized
appreciation........... $ 4,534,906 $ 1,390,404 $ 2,587,617 $ 4,117,809 $ 724,779 $ 245,757
=========== =========== ============ ============ =========== ==========
</TABLE>
5. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value). Transac-
tions in Trust shares for the year ended December 31, 1995 are presented below.
<TABLE>
<CAPTION>
MFS/Foreign
& Colonial
Capital Conservative Emerging International Government High Managed Money
Appreciation Growth Growth Growth and Securities Yield Sectors Market Research
Series Series Series Income Series Series Series Series Series Series
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold...... 11,620,628 4,959,971 6,726,769 710,005 5,453,675 11,405,259 2,814,579 450,493,345 5,208,741
Shares issued to
shareholders in
reinvestment of
distributions... 575,351 267,502 -- -- 1,637,090 1,058,317 211,025 12,727,293 485
Shares
reacquired...... (6,799,964) (644,875) (1,425,554) (1,208) (8,182,612) (7,709,622) (1,372,643) (432,641,522) (310,821)
---------- --------- ---------- ------- ---------- ---------- ---------- ------------ ---------
Net increase
(decrease)..... 5,396,015 4,582,598 5,301,215 708,797 (1,091,847) 4,753,954 1,652,961 30,579,116 4,898,405
========== ========= ========== ======= ========== ========== ========== ============ =========
<CAPTION>
Total
Return
Series
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C>
Shares sold...... 8,109,408
Shares issued to
shareholders in
reinvestment of
distributions... 2,212,879
Shares
reacquired...... (6,150,918)
-----------
Net increase
(decrease)..... 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>
79
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
Transactions in Trust shares during the year ended December 31, 1994 are pre-
sented below.
<TABLE>
<CAPTION>
Capital Conservative Government High Managed Money Total
Appreciation Growth Securities Yield Sectors Market Research Return
Series Series Series Series Series Series Series Series
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold............ 10,770,067 3,768,650 9,183,899 12,380,273 2,473,797 450,186,088 408,911 14,399,892
Shares issued to
shareholders in
reinvestment of
distributions......... 1,765,302 117,497 1,551,593 821,942 682,858 8,152,903 -- 2,120,707
Shares reacquired...... (7,931,360) (408,948) (5,809,843) (11,460,562) (1,688,238) (348,628,248) (17,167) (4,141,433)
---------- --------- ---------- ----------- ---------- ------------ ------- ----------
Net increase.......... 4,604,009 3,477,199 4,925,649 1,741,653 1,468,417 109,710,743 391,744 12,379,166
========== ========= ========== =========== ========== ============ ======= ==========
</TABLE>
<TABLE>
<CAPTION>
Zero Coupon Series
World Asset World World World -------------------
Utilities Allocation Governments Growth Total Return 1995 2000
Series Series Series Series Series Portfolio Portfolio
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares sold............. 2,286,741 300,343 3,477,740 9,554,782 141,167 2,907 79,593
Shares issued to
shareholders in
reinvestment of
distributions.......... 509 -- 1,126,992 1,438 -- 43,843 101,684
Shares reacquired....... (313,802) (1,756) (2,743,837) (2,189,420) (3,323) (54,934) (88,108)
--------- ------- ---------- ---------- ------- ------- -------
Net increase
(decrease)............ 1,973,448 298,587 1,860,895 7,366,800 137,844 (8,184) 93,169
========= ======= ========== ========== ======= ======= =======
</TABLE>
6. FINANCIAL INSTRUMENTS
Certain Series of the Trust may trade financial instruments with off-balance
sheet risk in the normal course of their investing activities and to assist in
managing exposure to market risks such as interest rates and foreign currency
exchange rates. These financial instruments include written options, forward
foreign currency exchange, and futures contracts. The notional or contractual
amounts of these instruments represent the investment the Series have in par-
ticular 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 December 31, 1995, is shown on the following pages.
Written Option Transactions -- World Asset Allocation Series
<TABLE>
<CAPTION>
1995 Calls 1995 Puts
-------------------------- --------------------------
Principal Amounts Principal Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Outstanding, beginning
of year -- -- $ -- -- $ --
Options written --
Australian Dollars 96 735 210 2,356
British Pounds 38 652 35 652
Canadian Dollars -- -- 36 185
Deutsche Marks 1,069 5,483 456 2,198
Deutsche Marks/British
Pounds 103 668 -- --
Italian Lire/Deutsche
Marks 87,188 798 54,010 434
Japanese Yen 40,327 13,203 269,311 24,049
Spanish
Pesetas/Deutsche Marks -- -- 19,559 1,282
Options terminated in
closing transactions --
Australian Dollars (96) (735) (210) (2,356)
British Pounds (38) (652) -- --
Canadian Dollars -- -- (36) (185)
Deutsche Marks (621) (4,052) (359) (1,933)
Deutsche Marks/British
Pounds (103) (668) -- --
Japanese Yen (40,327) (13,203) (238,611) (20,047)
Spanish
Pesetas/Deutsche Marks -- -- (19,559) (1,282)
Options exercised --
Deutsche Marks (448) (1,431) -- --
Options expired --
British Pounds -- -- (35) (652)
Deutsche Marks -- -- (97) (265)
Italian Lire/Deutsche
Marks (87,188) (798) (54,010) (434)
------- ------- -------- -------
Outstanding, end of year -- $ -- 30,700 $ 4,002
======= ======= ======== =======
Options outstanding at
end of year consist of:
Japanese Yen -- $ -- 30,700 $ 4,002
======= ======= ======== =======
</TABLE>
At December 31, 1995, the World Asset Allocation Series had sufficient cash
and/or securities at least equal to the value of the written options.
80
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
Written Option Transactions -- World Governments Series
<TABLE>
<CAPTION>
1995 Calls 1995 Puts
----------------------------- -----------------------------
Principal Amounts Principal Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Outstanding, beginning
of year --
Canadian Dollars....... -- $ -- 4,183 $ 21,824
Deutsche Marks......... -- -- 7,827 66,533
Japanese Yen........... 344,000 46,294 688,000 73,941
Swiss Francs/Deutsche
Marks................. 6,519 27,448 -- --
Options written --
Australian Dollars..... 15,288 140,769 25,782 298,115
British Pounds......... 6,056 104,501 5,650 104,502
Canadian Dollars....... 9,622 20,180 17,900 71,203
Deutsche Marks......... 169,156 630,740 110,514 642,162
Deutsche Marks/British
Pounds................ 29,638 162,600 -- --
Italian Lire/Deutsche
Marks................. 55,821,538 531,714 35,203,707 922,115
Japanese Yen........... 7,460,182 1,802,049 24,030,838 2,495,472
Japanese Yen/Deutsche
Marks................. -- -- 2,528,132 90,129
Spanish
Pesetas/Deutsche
Marks................. -- -- 517,568 33,918
Swedish Kronor/Deutsche
Marks................. 88,009 56,846 -- --
U.S. Dollars........... -- -- 7,300 96,383
Options terminated in
closing transactions --
Australian Dollars..... (15,288) (140,769) (21,665) (245,346)
British Pounds......... (6,056) (104,501) -- --
Canadian Dollars....... (9,622) (20,180) (22,083) (93,027)
Deutsche Marks......... (21,318) (105,807) (75,629) (529,677)
Deutsche Marks/British
Pounds................ (15,464) (99,582) -- --
Italian Lire/Deutsche
Marks................. -- -- (4,114,187) (30,783)
Japanese Yen........... (6,561,540) (1,743,495) (23,384,728) (2,453,055)
Japanese Yen/Deutsche
Marks................. -- -- (2,528,132) (90,129)
Spanish
Pesetas/Deutsche
Marks................. -- -- (517,568) (33,918)
Swedish Kronor/Deutsche
Marks................. (88,009) (56,846) -- --
U.S. Dollars........... -- -- (7,300) (96,383)
Options exercised --
Deutsche Marks......... (12,023) (38,425) -- --
Italian Lire/Deutsche
Marks................. -- -- (9,314,356) (126,653)
Swiss Francs/Deutsche
Marks................. (6,519) (27,448) -- --
Options expired --
British Pounds......... -- -- (5,650) (104,502)
Deutsche Marks......... (135,815) (486,508) (42,712) (179,018)
Italian Lire/Deutsche
Marks................. (35,335,249) (192,204) (1,288,875) (10,351)
Japanese Yen........... (1,242,642) (104,848) (696,810) (33,242)
----------- ----------- ----------- -----------
Outstanding, end of
year................... 20,500,463 $ 402,528 21,127,706 $ 890,213
=========== =========== =========== ===========
Options outstanding at
end of year consist
of --
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
=========== =========== =========== ===========
</TABLE>
At December 31, 1995, the World Governments Series had sufficient cash and/or
securities at least equal to the value of the written options.
81
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
Written Option Transactions -- World Total Return Series
<TABLE>
<CAPTION>
1995 Calls 1995 Puts
-------------------------- --------------------------
Principal Amounts Principal Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Outstanding, beginning
of year --
Options written --
Australian Dollars..... 245 $ 2,544 319 $ 3,912
British Pounds......... 47 828 45 828
Canadian Dollars....... 232 488 170 714
Deutsche Marks......... 1,424 5,076 1,385 9,141
Deutsche Marks/British
Pounds................ 645 3,208 -- --
Italian Lire/Deutsche
Marks................. 737,782 8,679 691,038 18,892
Japanese Yen........... 58,534 15,600 335,616 37,092
Spanish
Pesetas/Deutsche
Marks................. -- -- 3,878 254
Swedish Kronor/Deutsche
Marks................. 921 595 -- --
Options terminated in
closing transactions --
Australian Dollars..... (245) (2,544) (214) (2,560)
British Pounds......... (47) (828) -- --
Canadian Dollars....... (232) (488) (170) (714)
Deutsche Marks......... (166) (821) (1,032) (7,577)
Deutsche Marks/British
Pounds................ (166) (1,079) -- --
Italian Lire/Deutsche
Marks................. -- -- (57,033) (427)
Japanese Yen........... (58,534) (15,600) (316,166) (34,554)
Spanish
Pesetas/Deutsche
Marks................. -- -- (3,878) (254)
Swedish Kronor/Deutsche
Marks................. (921) (595) -- --
Options exercised --
Deutsche Marks......... (87) (280) -- --
Italian Lire/Deutsche
Marks................. -- -- (210,075) (2,857)
Options expired --
British Pounds......... -- -- (45) (828)
Deutsche Marks......... (1,171) (3,975) (353) (1,564)
Italian Lire/Deutsche
Marks................. (313,852) (1,653) -- --
-------- -------- -------- --------
Outstanding, end of
year................... 424,409 $ 9,155 443,485 $ 19,498
======== ======== ======== ========
Options outstanding at
end of year consist
of --
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
======== ======== ======== ========
</TABLE>
At December 31, 1995, the World Total Return Series had sufficient cash and/or
securities at least equal to the value of the written options.
82
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
Forward Foreign Currency Exchange Contracts
<TABLE>
<CAPTION>
Net Unrealized
Contracts to Contracts at Appreciation
Series Transaction Settlement Date Deliver/Receive In Exchange for Value (Depreciation)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Capital Appreciation
Series Sales 2/02/96 SEK 47,112,800 $ 7,116,737 $ 7,073,657 $ 43,080
============ ============ ============
MFS/Foreign & Colonial
International Sales 1/30/96 CAD 440,542 $ 319,955 $ 322,850 $ (2,895)
Growth and Income
Series 4/12/96 DKK 2,147,733 383,325 387,215 (3,890)
------------ ------------ ------------
$ 703,280 $ 710,065 $ (6,785)
============ ============ ============
World Asset Allocation
Series Sales 1/08/96 - 3/18/96 AUD 1,608,780 $ 1,193,867 $ 1,190,650 $ 3,217
2/29/96 CAD 616,308 448,070 451,642 (3,572)
1/17/96 - 2/07/96 DEM 7,201,446 5,091,401 5,019,435 71,966
4/12/96 DKK 383,900 68,791 69,213 (422)
1/08/96 ESP 88,434,761 715,448 726,757 (11,309)
1/12/96 FRF 7,000,178 1,409,153 1,427,861 (18,708)
1/30/96 - 2/28/96 GBP 713,162 1,113,481 1,106,037 7,444
12/04/96 HKD 1,585,880 204,234 204,444 (210)
3/07/96 ITL 252,885,430 156,522 158,053 (1,531)
2/23/96 - 6/07/96 JPY 134,911,860 1,359,628 1,329,496 30,132
1/22/96 NLG 1,103,103 705,950 687,187 18,763
1/12/96 NZD 772,407 498,601 503,869 (5,268)
3/21/96 SEK 4,736,676 708,182 708,672 (490)
------------ ------------ ------------
$ 13,673,328 $ 13,583,316 $ 90,012
============ ============ ============
Purchases 1/08/96 - 2/29/96 AUD 711,890 $ 526,220 $ 527,300 $ 1,080
1/30/96 - 2/29/96 CAD 556,686 410,576 407,951 (2,625)
1/17/96 - 3/18/96 DEM 6,648,291 4,715,844 4,635,660 (80,184)
1/31/96 ITL 449,631,265 276,668 282,368 5,700
3/27/96 JPY 1,680,699 16,764 16,451 (313)
2/29/96 - 3/18/96 NZD 359,686 234,165 233,506 (659)
------------ ------------ ------------
$ 6,180,237 $ 6,103,236 $ (77,001)
============ ============ ============
World Governments
Series Sales 1/08/96 - 3/18/96 AUD 53,663,830 $ 39,864,135 $ 39,741,426 $ 122,709
1/30/96 - 2/29/96 CAD 24,143,625 17,688,232 17,693,034 (4,802)
2/29/96 - 5/31/96 CHF 45,503,902 39,640,610 39,811,117 (170,507)
1/16/96 - 5/31/96 DEM 575,260,286 403,218,155 401,122,386 2,095,769
4/12/96 DKK 96,646,936 17,501,480 17,424,476 77,004
1/08/96 ESP 2,065,257,076 16,702,201 16,972,283 (270,082)
2/29/96 FIM 11,826,577 2,731,311 2,723,128 8,183
1/12/96 - 4/12/96 FRF 105,728,174 21,226,403 21,574,414 (348,011)
1/30/96 - 2/28/96 GBP 10,426,436 16,219,822 16,172,830 46,992
3/07/96 ITL 53,764,764,224 33,315,604 33,602,978 (287,374)
2/23/96 - 6/07/96 JPY 6,379,135,889 64,163,605 62,472,140 1,691,465
1/22/96 NLG 20,866,531 13,342,162 12,998,972 343,190
1/12/96 NZD 12,829,342 8,288,751 8,369,042 (80,291)
2/29/96 SEK 207,459,924 31,035,967 31,088,492 (52,525)
------------ ------------ ------------
$724,938,438 $721,766,718 $ 3,171,720
============ ============ ============
Purchases 1/08/96 - 3/18/96 AUD 36,586,011 $ 27,305,176 $ 27,110,483 $ (194,693)
1/30/96 - 2/29/96 CAD 14,479,242 10,624,761 10,610,787 (13,974)
1/16/96 - 2/29/96 CHF 36,678,446 32,592,116 31,946,019 (646,097)
1/16/96 - 5/31/96 DEM 602,076,767 427,649,576 420,022,407 (7,627,169)
2/29/96 - 4/12/96 DKK 110,414,321 20,117,788 19,893,929 (223,859)
2/29/96 ESP 470,763,578 3,819,118 3,849,434 30,316
2/29/96 FIM 11,826,577 2,791,261 2,723,128 (68,133)
4/12/96 - 5/31/96 FRF 84,358,712 17,195,389 17,234,915 39,526
2/29/96 GBP 3,410,031 5,377,618 5,286,482 (91,136)
1/31/96 - 5/31/96 ITL 45,118,440,618 27,863,823 28,187,361 323,538
2/23/96 - 6/07/96 JPY 7,135,784,675 71,724,678 69,747,753 (1,976,925)
1/22/96 NLG 7,705,584 4,773,831 4,800,255 26,424
2/29/96 - 3/18/96 NZD 16,354,410 10,644,230 10,615,033 (29,197)
2/29/96 - 3/21/96 SEK 225,479,021 33,845,814 33,784,401 (61,413)
------------ ------------ ------------
$696,325,179 $685,812,387 $(10,512,792)
============ ============ ============
World Growth Series Sales 3/21/96 DEM 2,422,000 $ 1,703,666 $ 1,692,641 $ 11,025
3/21/96 FRF 10,790,000 2,194,428 2,203,448 (9,020)
3/21/96 JPY 100,400,000 1,002,446 981,812 20,634
------------ ------------ ------------
$ 4,900,540 $ 4,877,901 $ 22,639
============ ============ ============
</TABLE>
83
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
Forward Foreign Currency Exchange Contracts -- continued
<TABLE>
<CAPTION>
Net Unrealized
Contracts to Contracts at Appreciation
Series Transaction Settlement Date Deliver/Receive In Exchange for Value (Depreciation)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
World Total Return
Series Sales 1/08/96 - 3/18/96 AUD 1,175,959 $ 868,820 $ 871,150 $ (2,330)
2/26/96 CAD 193,377 141,925 141,711 214
2/29/96 - 5/31/96 CHF 949,577 841,554 831,738 9,816
1/16/96 - 5/31/96 DEM 6,631,440 4,659,196 4,625,672 33,524
4/12/96 DKK 1,627,797 296,632 293,476 3,156
1/08/96 ESP 46,957,807 380,362 385,899 (5,537)
1/12/96 - 4/12/96 FRF 3,304,007 663,824 674,149 (10,325)
1/30/96 GBP 228,873 353,646 355,104 (1,458)
3/07/96 ITL 1,165,274,995 722,283 728,297 (6,014)
2/23/96 - 6/07/96 JPY 76,983,977 772,130 754,178 17,952
1/22/96 NLG 251,301 159,773 156,550 3,223
1/12/96 NZD 180,000 116,528 117,420 (892)
2/29/96 SEK 3,776,024 564,893 565,849 (956)
------------ ------------ ---------
$ 10,541,566 $ 10,501,193 $ 40,373
============ ============ =========
Purchases 1/08/96 - 3/18/96 AUD 764,467 $ 568,272 $ 566,807 $ (1,465)
2/26/96 CAD 181,072 133,810 132,693 (1,117)
1/16/96 CHF 679,195 581,776 589,296 7,520
1/16/96 - 5/31/96 DEM 7,800,646 5,531,237 5,444,295 (86,942)
2/29/96 - 4/12/96 DKK 3,120,389 568,949 562,201 (6,748)
4/12/96 - 5/31/96 FRF 2,474,544 504,335 505,566 1,231
1/31/96 - 5/31/96 ITL 1,045,329,527 643,797 652,209 8,412
2/23/96 - 6/07/96 JPY 100,235,844 1,007,110 981,513 (25,597)
1/22/96 NLG 10,707 6,633 6,670 37
3/18/96 NZD 392,321 254,745 254,529 (216)
2/29/96 - 3/21/96 SEK 4,333,197 649,133 649,210 77
------------ ------------ ---------
$ 10,449,797 $ 10,344,989 $(104,808)
============ ============ =========
</TABLE>
At December 31, 1995, forward foreign currency exchange contract purchases and
sales under master netting arrangements and closed forward foreign currency
exchange contracts, excluded above for the World Asset Allocation Series, World
Governments Series and World Total Return Series, amounted to a net payable of
$9,184, $181,934 and $8,432, respectively.
At December 31, 1995, each Series had sufficient cash and/or securities to
cover any commitments under these contracts. See page 62 for an explanation of
abbreviations used to indicate amounts shown in currencies other than the U.S.
dollar.
84
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
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 December 31, 1995, Capital Appreciation Series, Conservative Growth
Series, Emerging Growth Series, MFS/Foreign & Colonial International Growth and
Income Series, High Yield Series, Managed Sectors Series, Total Return Series,
Utilities Series, World Asset Allocation Series, World Growth Series and World
Total Return Series owned the following restricted securities (consisting of
0.09%, 0.65%, 0.49%, 0.35%, 2.96%, 0.10%, 3.86%, 3.15%, 2.16%, 2.71% and 1.86%
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. Certain of these securities may be offered and sold to "qualified
institutional buyers" under Rule 144A of the 1933 Act.
<TABLE>
<CAPTION>
Series Description Date of Acquisition Share/Par Amount Cost
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Capital
Appreciation
Series Spectrum Holobyte, Inc., 6.5s, 2002 9/15/95 - 9/20/95 940,000 $ 940,000
===========
Conservative
Growth Series Roche Holdings, Inc., 0s, 2010 5/01/95 - 11/08/95 2,530,000 $ 1,002,486
Sandoz Capital Ltd., 2s, 2002 9/28/95 890,000 739,393
-----------
$ 1,741,879
===========
Emerging Growth
Series Korea Mobile Telecommunications Corp. 12/28/95 7,500 $ 335,625
===========
MFS/Foreign &
Colonial
International
Growth
and Income
Series Genting Berhad 10/20/95 3,000 $ 25,779
===========
High Yield
Series American Communications Services, Inc., 0s, 2005 11/09/95 500,000 $ 272,151
Bell Cablemedia, 0s, 2005 9/13/95 900,000 506,016
Calmar, Inc., 11.5s, 2005 8/03/95 - 8/14/95 1,300,000 1,304,375
Four Seasons Hotels, Inc., 9.125s, 2000 6/23/93 1,100,000 1,080,566
Howmet Corp., 10s, 2003 11/22/95 - 12/21/95 600,000 625,000
Merrill Lynch Mortgage Investors, Inc., 94-M1, 8.078s, 2022 6/22/94 500,000 346,563
Remington Arms, Inc., 9.5s, 2003 11/19/93 350,000 347,813
-----------
$ 4,482,484
===========
Managed Sectors
Series Spectrum Holobyte, Inc., 6.5s, 2002 9/27/95 270,000 $ 270,000
===========
Total Return
Series Cemex S.A., 4.25s, 1997 9/24/94 2,000,000 $ 2,000,000
Ciba-Geigy Corp., 6.25s, 2016 11/12/91 - 1/22/92 500,000 728,000
Cointel, 7%, Prides 2/24/94 109,200 7,862,400
Financiera Energetica Nacional S.A., 6.625s, 1996 3/22/95 1,680,000 1,641,989
Goldman Sachs Group, 6.2s, 2000 12/08/95 785,000 784,050
Hidroelectrica Alicura, 8.375s, 1999 4/08/94 2,200,000 2,094,222
Jet Equipment Trust,10.91s, 2006 4/07/95 998,481 998,481
Jet Equipment Trust, 10.69s, 2015 4/07/95 1,000,000 1,000,000
McDermott International, Inc. 6/28/93 40,000 2,000,000
Merrill Lynch Home Equity Loan, 91-1, "B", 9.3s 2016 12/16/92 674,000 686,207
Merrill Lynch Mortgage Investors, Inc., 94-M1, 8.078s, 2022 6/22/94 514,000 356,266
Metropolitan Life Insurance Co., 7.7s, 2015 11/08/95 1,600,000 1,594,432
Occidental Petroleum Corp., $3.875 2/11/93 30,000 1,500,000
Ocensa, 9.35s, 2005 6/23/95 1,200,000 1,200,000
Owens Corning Fiberglass, 9.9s, 2015 3/07/95 800,000 800,000
Qantas Airways Ltd., 7.5s, 2003 6/24/93 2,180,000 2,175,855
Roche Holdings, Inc., 0s, 2008 9/16/93 12,000,000 6,603,074
Roche Holdings, Inc., 0s, 2010 4/12/94 6,127,000 2,291,031
Salton Sea Funding Corp., 7.37s, 2005 7/18/95 1,575,000 1,575,000
Salton Sea Funding Corp., 7.84s, 2010 7/18/95 1,575,000 1,575,000
Williams Cos., Inc., $3.50 5/01/95 15,000 750,000
-----------
$40,216,007
===========
Utilities Series Assisted Living Concepts, Inc., 7s, 2005 6/03/95 280,000 $ 280,000
Central Costanera, ADR 12/17/93 - 8/25/95 22,100 564,404
Cointel, 7%, Prides 8/09/95 - 9/07/95 6,400 352,600
Hidroelectrica Alicura, 8.375s, 1999 4/08/94 25,000 23,967
-----------
$ 1,220,971
===========
<CAPTION>
Series Value
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C>
Capital
Appreciation
Series $ 686,200
===========
Conservative
Growth Series $ 1,113,200
841,050
-----------
$ 1,954,250
===========
Emerging Growth
Series $ 331,875
===========
MFS/Foreign &
Colonial
International
Growth
and Income
Series $ 25,054
===========
High Yield
Series $ 268,750
562,500
1,316,250
1,094,500
627,000
389,063
290,500
-----------
$ 4,548,563
===========
Managed Sectors
Series $ 197,100
===========
Total Return
Series $ 1,687,501
511,250
6,115,200
1,673,700
783,038
2,024,000
1,158,838
1,173,100
1,620,000
701,558
399,957
1,661,504
1,657,500
1,218,000
903,500
2,284,705
9,750,000
2,695,880
1,631,290
1,656,523
1,102,500
-----------
$42,409,544
===========
Utilities Series $ 287,700
687,863
358,400
23,000
-----------
$ 1,356,963
===========
</TABLE>
85
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
RESTRICTED SECURITIES -- continued
<TABLE>
<CAPTION>
Series Description Date of Acquisition Share/Par Amount Cost Value
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
World Asset Allocation Continental Cablevision,
Series Inc., 8.3s, 2006 12/08/95 400,000 $ 398,716 $ 401,500
Florens Group 11/07/95 - 12/15/95 240,000 138,141 156,750
---------- ----------
$ 536,857 $ 558,250
========== ==========
World Growth Series Acer, Inc., GDR 10/20/95 5,000 $ 64,830 $ 65,000
Bangladesh Fund 11/14/94 - 11/16/94 9,000 98,970 74,250
Cadenalco Gran Cadena de
Almacenes Colombia, ADR 12/19/94 - 6/20/95 7,500 128,400 84,375
Cementos Diamante S.A.,
ADR 7/26/94 - 9/09/94 5,800 113,825 102,950
Companhia Brasileira
Distribuicao Grupo
Pao de Acucar, GDS 9/23/95 27,000 297,000 276,750
Corporacion Financiera
del Valle S.A., ADR 12/14/95 - 3/14/95 4,543 99,325 43,158
Corporacion GEO S.A. de
C.V., ADR 7/27/94 - 9/09/94 13,400 204,475 157,008
Eczactibasi Yapi 6/06/95 665,000 100,418 71,862
Fleming Russia
Securities Fund 7/07/95 46,800 379,080 257,400
GVC Corp., GDR 5/24/95 1,569 18,167 12,160
Genting Berhad 3/30/95 36,000 814,650 300,650
Gujarat Narmada Valley
Fertilizer, GDR 10/06/94 17,300 163,513 99,475
India Gateway Fund Ltd. 6/02/95 20,000 203,000 110,400
India Magnum Fund NV 12/11/95 6,720 347,340 286,272
International Business
Communications 8/29/95 12,600 124,992 124,992
Korea Europe Fund 11/07/94 - 12/30/94 10 44,125 40,625
Korea Mobile
Telecommunications 3/31/95 8,800 229,055 389,400
L.G. Electronics, GDR 9/19/95 3,200 40,000 37,760
Mirgor Sacifia, ADR 10/20/94 - 5/15/95 46,000 192,750 108,100
NEPC Micon, GDR 11/03/94 39,000 124,020 37,050
Petronas Gas Berhad 7/31/95 - 12/29/95 58,000 99,498 197,636
Raymond Ltd., GDR 9/21/95 - 12/12/95 17,760 286,380 293,040
Rhodia-Ster S.A., GDR 12/19/94 - 6/19/95 24,300 345,000 212,625
South Indian Viscose
Ltd. 7/28/94 - 6/14/95 17,333 174,252 138,664
Teco Electric &
Machinery Ltd., 2.75s,
2004 11/04/94 - 2/06/95 80,000 76,000 62,200
United Micro Electric,
1.25s, 2004 6/09/95 63,000 108,960 79,065
Usiminas Siderurgicas,
ADR 9/20/94 - 6/16/95 36,400 499,503 297,570
---------- ----------
$5,377,528 $3,960,437
========== ==========
World Total Return Series Central Costenera, ADR 12/17/93 400 $ 10,500 $ 12,450
Cointel, 7%, Prides 8/09/95 200 11,550 11,200
Hornbach Baumarkt AG 5/19/95 750 46,449 32,214
Roche Holdings, Inc.,
0s, 2010 12/05/94 - 6/27/95 155,000 61,586 68,200
Sandoz Capital BVI Ltd.,
2s, 2002 9/28/95 18,000 14,611 17,010
Woolworths Ltd., ADR 7/12/93 4,860 106,815 116,033
---------- ----------
$ 251,511 $ 257,107
========== ==========
</TABLE>
86
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Trustees and Shareholders of MFS/Sun Life Series Trust:
We have audited the accompanying statements of assets and liabilities, includ-
ing the portfolios of investments, of MFS/Sun Life Series Trust as of December
31, 1995, the related statements of operations for the year then ended, the
statements of changes in net assets for the year then ended and the year ended
December 31, 1994, and the financial highlights for each of the years in the
five-year period ended December 31, 1995. These financial statements and finan-
cial highlights are the responsibility of the Trust's management. Our responsi-
bility is to express an opinion on these financial statements and financial
highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing stan-
dards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial high-
lights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of the securities owned at
December 31, 1995 by correspondence with the custodian and brokers; where
replies were not received from brokers, we performed other auditing procedures.
An audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of the Trust at Decem-
ber 31, 1995, 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
February 2, 1996
------------------------------------------------------
The MFS/Sun Life Series Trust Annual Report is prepared for the general infor-
mation of contract owners. It is authorized for distribution to prospective
purchasers only when preceded or accompanied by an effective prospectus.
87
<PAGE>
MFS/SUN LIFE SERIES TRUST
500 Boylston Street, Boston, MA 02116-3741
TRUSTEES
JOHN D. McNEIL,* Chairman and Trustee
Chairman and Director, Sun Life Assurance Company of Canada,
Toronto, Ontario, Canada
SAMUEL ADAMS, Trustee
Partner, Warner & Stackpole,
Boston, Massachusetts
GEOFFREY CROFTS, Trustee
Professor Emeritus, University of Hartford,
Hartford, Connecticut
DAVID D. HORN,* Trustee
Senior Vice President and General Manager,
Sun Life Assurance Company of Canada,
Wellesley Hills, Massachusetts
GARTH MARSTON, Trustee
Chairman, Retired, The Provident Institution for Savings,
Boston, Massachusetts
DERWYN F. PHILLIPS, Trustee
Vice Chairman, Retired, The Gillette Company,
Boston, Massachusetts
OFFICERS
W. THOMAS LONDON,+ Treasurer
JAMES O. YOST,+ Assistant Treasurer
BONNIE S. ANGUS,* Secretary and Clerk
INVESTMENT ADVISER
Massachusetts Financial Services Company
500 Boylston Street, Boston, MA 02116-3741
DISTRIBUTOR
Clarendon Insurance Agency, Inc.
500 Boylston Street, Boston, MA 02116-3741
CUSTODIAN AND DIVIDEND DISBURSING AGENT
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110-2875
SHAREHOLDER SERVICING AGENT
MFS Service Center, Inc.
P.O. Box 1024, Boston, MA 02103-9986
Call toll free: 1-800-752-7215
AUDITORS
Deloitte & Touche llp
125 Summer Street, Boston, MA 02110-1616
LEGAL COUNSEL
Covington & Burling
1201 Pennsylvania Avenue, N.W.
P.O. Box 7566
Washington, D.C. 20044-7566
PORTFOLIO MANAGERS+
JOHN W. BALLEN
STEPHEN C. BRYANT
DAVID M. CALABRO
JAMES J. CALMAS
MITCHELL D. DYNAN
KENNETH J. ENRIGHT
RICHARD O. HAWKINS
GEOFFREY L. KURINSKY
JOHN D. LAUPHEIMER, JR.
DAVID R. MANNHEIM
PAUL M. McMAHON
KEVIN R. PARKE
ATUL PATEL
BERNARD SCOZZAFAVA
MAURA A. SHAUGHNESSY
TONI Y. SHIMURA
FREDERICK J. SIMMONS
JAMES T. SWANSON
(on behalf of the MFS World
Asset Allocation Committee)
CHILTON THOMSON
The Research Committee of
Analysts
[ART APPEARS HERE]
ANNUAL REPORT . DECEMBER 31, 1995
Capital Appreciation Series
Conservative Growth Series
Emerging Growth Series
MFS/Foreign & Colonial International
Growth and Income Series
Government Securities Series
High Yield Series
Managed Sectors Series
Money Market Series
Research Series
Total Return Series
Utilities Series
World Asset Allocation Series
World Governments Series
World Growth Series
World Total Return Series
Zero Coupon Series 2000 Portfolio
*Affiliated with the Sponsor.
+Affiliated with the Investment Adviser. SUN-2 2/96 142M
