MFS(R)/Sun Life Series Trust
SEMIANNUAL REPORT [bullet] June 30, 1997
Capital Appreciation Series
Conservative Growth Series
Emerging Growth Series
MFS(R)/Foreign & Colonial Emerging
Markets Equity Series
MFS(R)/Foreign & Colonial International
Growth Series
Managed Sectors Series
Research Series
Research Growth and Income Series
Total Return Series
Utilities Series
Value Series
World Growth Series
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Dear Contract Owners:
An unprecedented combination of generally positive factors has helped the U.S.
economy enjoy a sustained period of relative stability and moderate growth in
which thousands of new jobs have been created every month, inflation remains
under control, and the investment climate -- at least until now -- has been
favorable. For example, the increased use of technology and other productivity
enhancements, as well as corporate restructuring and global competition, is
improving companies' balance sheets and helping control inflation. Meanwhile,
borrowing by corporations and governments continues to decline, while consumer
confidence is increasing, although consumer debt levels are still uncomfortably
high. While some lenders are beginning to tighten standards to address this
problem, consumer debt and personal bankruptcies continue to rise. Because of
this, plus slight declines in other indicators such as average hourly wages and
the corporate purchasing-managers index, we do not expect the rapid pace of
growth seen in the first quarter of 1997 to continue. While second-quarter
growth has slowed dramatically, we do expect the second half of the year to
pick up once again with real (inflation-adjusted) growth centering around
2-1/2%.
Global Outlook
Increased liquidity has continued to support international equity markets this
year, while disinflationary forces have continued despite somewhat stronger
world economic growth. While the strength of the U.S. dollar versus the
Japanese yen earlier this year resulted in stronger performance for Japanese
exporters, the value-added tax seems to have slowed the overall Japanese
economy. In Europe, meanwhile, uncertainty over European monetary union
continues, although stocks of some European companies have benefited from
restructuring and the use of technology to increase productivity. Perhaps the
brightest international story has been the performance of the emerging markets,
all of which have seen rapidly expanding economies and higher earnings, thanks
in part to significant shifts in their economic policies.
Bond Markets
In the fixed-income markets, we have been encouraged by the Federal Reserve
Board's decision to not raise short-term interest rates at its July meeting.
But we cannot rule out the possibility of future monetary tightening in the
second half of the year if, as we now expect, the economy strengthens in the
second half of 1997. Therefore, our risk/reward outlook for the fixed-income
markets is neutral, and we believe that fixed-income investors should think in
terms of earning the coupon income from their investments rather than seeking
possible gains from price appreciation.
Stock Market
We have been surprised by the strength of the U.S. equity market in the first
half of 1997. Much of this is the result of continuing gains in corporate
earnings. Even as the current recovery enters its seventh year, more and more
U.S. companies have been exceeding analysts' earnings estimates. In the first
quarter of 1997, for example, two-thirds of all companies met or exceeded
analysts' expectations, a trend that could be an important indicator of the
U.S. equity market's future direction. However, while the near-term outlook for
profits is generally favorable, we believe equity valuations have risen to a
point where a cautious investment approach seems warranted.
A discussion of the performance and current investment strategy for each of the
Series is presented here and on the following pages. The performance figures
provided in the discussion do not reflect the deduction of any separate account
charges. The results would have been lower had these charges been deducted. We
appreciate your support and welcome any questions or comments you may have.
On behalf of the Board of Trustees,
/s/ John D. McNeil
John D. McNeil
Chairman
July 14, 1997
Capital Appreciation Series
For the six months ended June 30, 1997, the Series provided a total return of
15.28%, which compares to a 20.60% return for the Standard & Poor's 500
Composite Index (the S&P 500), an unmanaged index of common stock total return
performance. The Series has benefited from an increased weighting in large-
capitalization stocks with consistent earnings growth, such as Tyco
International, United Technologies, and Bristol-Myers Squibb, all of which were
significant performers in the first half of the year. Tyco, which will merge
with ADT Ltd. in early July, is a diversified manufacturing company whose
complementary acquisitions, as well as its high-quality management team, could
result in high earnings growth over the next three years, adding to contract
owners value.
In the technology sector, the Series' largest, stocks in businesses such as
computer software, semiconductors, and networking added to performance during
the period, although this weighting has been reduced slightly over the past six
months. Large technology holdings such as Oracle Systems and Computer Associates
are major beneficiaries of the deployment of client/server technology in the
corporate environment. Personal computer companies such as Microsoft, which
develops operating systems and application software, continue to report very
strong earnings growth. This sector can be volatile at times, but we believe its
high, long-term past performance results make it attractive. It is important to
emphasize that the companies in this sector are selected individually and that
the large weightings represent the number of well-positioned companies we have
identified in this area.
Other holdings in the Series such as Intel Corp., HFS, Inc., and Wisconsin
Central Transportation underperformed the S&P 500 during the first half, but we
continue to view them as attractive investments. For example, HFS, Inc., which
owns a number of hotel, rental car, and real estate franchise systems,
continues to benefit from higher hotel room rates and increased occupancy.
Also, the Series maintains a significant weighting in mid-capitalization
stocks, which significantly underperformed the S&P 500 as a group.
Finally, this period of moderate economic growth and inflation has provided a
positive backdrop for further growth in corporate earnings and continued
appreciation of the stock market. Cash levels have been raised as a buying
reserve should any market correction occur. We remain committed to finding the
best earnings growth available, at the most reasonable valuations, in trying to
shape the Series for the future.
Conservative Growth Series
For the six months ended June 30, 1997, the Series provided a total return of
18.97%, which compares to a 20.60% return for the S&P 500. The Series' slight
underperformance versus the S&P 500 during the past six months can be
attributed to four
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sectors: energy, health care, industrial goods and services, and
transportation. The companies held in the Series in each of these sectors are
leaders in their respective industries and, overall, performed well during the
period; however, they were unable to maintain the torrid pace of equivalent
sectors in the S&P 500. The Series did outperform the S&P 500 in the financial
services, basic materials, technology, leisure, and utilities and
communications sectors during the period.
Sector weightings in the Series have shifted slightly. Most notably, the health
care sector increased by 2.2%. Select pharmaceutical companies have introduced
new products that have been well received, resulting in strong revenue growth.
In addition, the slow-growth, low-inflation economic environment has allowed
choice banks and insurance companies to flourish during the first half of 1997,
and many of the banking and insurance stocks in the Series have performed well.
Several companies within the chemical and specialty chemical industries,
including du Pont, Air Products and Chemicals, and Praxair, have also enhanced
the Series' return. These companies have achieved strong stock performance
through focused cost-savings efforts and the introduction of new, higher-margin
products and services that have complemented their existing product lines.
The Series' weighting in the technology sector increased 1.8% during the past
six months. Several stocks within this sector contributed positively to the
Series' performance, including Microsoft, BMC Software, Sony Corp., and Lucent
Technologies. These companies have developed what we regard as solid
competitive positions within their industries that have translated into
successful stock performance. We believe that the earnings outlook for all of
the technology companies held in the Series remains strong.
The Series remains underweighted in energy, automobiles and housing, and
utilities and communications. While individual stocks within these sectors can
positively contribute to the Series' return, we have determined that the
earnings outlook for many of the companies in these sectors remains bleak. We
have also reduced our exposure to the transportation sector based on an
uncertain profit picture.
Emerging Growth Series
For the six months ended June 30, 1997, the Series provided a total return of
10.48%. This compares to a 10.20% return for the Russell 2000 Total Return
Index (the Russell 2000) and to a 20.60% return for the S&P 500 for the same
period. The Russell 2000 is an unmanaged index comprised of 2,000 of the
smallest U.S.-domiciled company common stocks (on the basis of capitalization)
that are traded in the United States on the New York Stock Exchange, the
American Stock Exchange, and NASDAQ. The performance of the Series and the
Russell 2000 relative to the S&P 500 has been hampered by the underperformance
of small, rapidly growing companies, the continuation of a trend that began in
the summer of 1996. Not only have smaller stocks underperformed, but so have
mid-capitalization stocks. Because of this underperformance, we believe the
smaller companies are currently very attractively valued, although we are
unsure what catalyst will re-ignite interest in this sector, or when. However,
we remain confident that earnings growth will eventually be recognized.
One action that we have taken is to increase the Series' average company size
as measured by market capitalization, a move that has helped performance.
Despite this increase in size, we have not altered the Series' growth
characteristics. While a short-term abandoning of our focus might be appealing,
history has shown that a focus on smaller, rapidly growing companies has
rewarded investors (although past performance is no guarantee of future
results).
More important than sector selection this year has been stock selection.
Technology companies have benefited the Series this year, including companies
in the software industry such as Compuware, Altera, BMC Software, and
MicroWarehouse, all of which have been strong performers. Meanwhile, Cadence
Design and Synopsys, both market leaders in the software industry, have been
laggards.
Most health maintenance organizations (HMOs) have performed well this year,
with United Healthcare being an excellent performer.
A major disappointment so far this year has been HFS, Inc., the nation's
largest hotel and real estate franchiser. While HFS has far exceeded analysts'
earnings estimates in each quarter for the past year, enhancing its future
prospects, Wall Street has chosen to ignore the company and its valuation has
suffered, which we believe to be a temporary phenomenon. The management team at
HFS has been responsible for a 14-fold increase in its stock price over the
past five years and, while we are discouraged by the company's recent stock
price performance, cash flow and earnings for this year are substantially in
excess of what we would have expected a year ago, and we see strong gains
ahead.
In the U.S. economy as a whole, there are several sectors in which we see very
strong growth. The software industry is expected to grow its earnings in excess
of 30% in 1997 and in excess of 25% in 1998 -- the fastest growth of any
industry. Similarly, above-average growth is expected for the health care and
consumer industries. These three sectors are among the largest weightings in
the Series, and we expect them to grow their earnings in excess of 20% in 1997,
a healthy pace when compared to the 12% to 13% anticipated earnings growth for
corporate America as a whole.
One sector that did not perform well in 1996, but has rebounded nicely in 1997,
is health care, a resurgence which was reflected in the strong performance of
our large positions in several HMOs. After profit margins compressed in 1996,
premiums have been rising in excess of costs so far this year, a trend we
expect to continue.
MFS(R)/Foreign & Colonial Emerging Markets Equity Series
For the six months ended June 30, 1997, the Series provided a total return of
21.97%. This compares to a 17.87% return for the Lipper Emerging Markets Funds
Index, as determined by Lipper Analytical Services, Inc., an independent firm
that reports mutual fund performance, and to a 17.75% return for the Morgan
Stanley Capital International (MSCI) Emerging Markets Free (EMF) Index, a
broad, unmanaged, market-capitalization-weighted index of equities in emerging
markets. The Lipper indices are unmanaged indices of the largest qualifying
mutual funds within their respective investment objectives, adjusted for the
reinvestment of capital gains distributions and income dividends. Emerging
markets have shown much better performance over the past year after a generally
poor performance in 1994 and 1995. The Series has outperformed the MSCI EMF
Index by having above-index weightings in most of Latin America, including
Brazil, Mexico, Colombia, and Peru, and below-index weightings in South Africa.
The Series has outperformed the Lipper Index primarily due to its
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higher weightings in Brazil, Mexico, Colombia, Russia, Egypt, and Morocco,
while having lower weightings in Malaysia, Indonesia, Thailand, and the
Philippines.
The Series remains well diversified at the country level, with major industry
weightings in telecommunications, banking, electric utilities, and food and
beverages. The largest country weightings are Brazil, Mexico, Hong Kong, and
India. Within Asia, we have sold most of our investments in Thailand, South
Korea, the Philippines, and Indonesia, preferring instead Hong Kong, which is
being re-rated upward following the handover to China in mid-1997. We also
remain positive on India due to improving domestic liquidity and falling
interest rates. Elsewhere in Asia, we remain cautious, given our concern that
structural imbalances in the region's economies may continue to have a negative
impact on their stock markets.
We remain, on the whole, positive on other emerging market countries. Our
largest position in Latin America remains in Brazil, where interest rates have
been steadily easing and reforms are continuing while the stock market continues
to re-rate on the back of strong earnings growth. We are also positive on the
smaller Latin American markets of Colombia and Peru. In Colombia, political
worries have overshadowed what we believe to be an improving inflation
environment and very attractive valuations. In Peru, economic growth is among
the best in the region, while valuations remain among the lowest.
In other emerging markets, Russia, Egypt, Portugal, and Greece deserve special
mention. Russia was among the best-performing markets in the world in 1996 and
continues to move strongly higher in 1997, primarily due to continued
liberalization at the political and company level. The Egyptian economy is the
strongest in the Middle East as a result of efforts by the current
administration to introduce large-scale privatization of state-run companies.
Portugal has demonstrated, over the past 12 months, that its management of its
economy is among the best in Western Europe. This has been validated by the
MSCI, which recently announced that Portugal's stock market will be in its
developed, rather than emerging, market index series beginning in December.
Greece is another country that has decided on an accelerated reform program
following the landslide victory by Prime Minister Simitis in September last
year, which has led to falling inflation and interest rates. Having been
cautious on the South African stock market for most of the past year, we are now
seeing some value there following the sharp fall of the rand and the likely
peaking in inflation and interest rates.
MFS(R)/Foreign & Colonial International Growth Series
For the six months ended June 30, 1997, the Series provided a total return of
3.86%. This compares to an 11.36% return for the MSCI Europe, Australia, Far
East (EAFE) Index, a broad, unmanaged index of non-U.S. equities, and to a
13.98% return for the Lipper International Funds Index. The Series' exposure to
smaller companies was reduced over the past six months, and the money raised
was reinvested in blue-chip stocks. With equity markets being driven by
liquidity and deregulation and restructuring gathering pace, we felt that blue
chips would benefit more than smaller companies. Investors tend to focus on
larger, more liquid stocks when trying to invest large sums of money and, in
addition, the restructuring theme tends to benefit larger companies with more
room to cut costs.
The Series' weighting in Japan is similar to that of other funds in its Lipper
universe. Japanese blue-chip stocks with overseas exposure such as Canon,
Omron, and TDK, all of which the Series holds, continue to set all-time highs
as a result of Japanese yen weakness. The Series' weighting in smaller Japanese
companies has been reduced. These companies continue to suffer from weak
sentiment and, being domestically oriented, have failed to benefit from the
weak currency.
In the United Kingdom, we believe economic fundamentals remain strong, although
interest rates will almost certainly have to rise in the second or third
quarter in order to head off inflation. This, together with uncertainties
regarding the new government, the impact of a strong sterling on corporate
earnings, and volatility in the European and U.S. markets, may impact equities
in the shorter term. One of the best-performing sectors in the U.K. market has
been the banking sector. The Series owns Lloyds Bank, which we view as a
quality company with the fastest earnings growth in the sector and one of the
most profitable banks in the world. This stock is also benefiting from the
technical squeeze in the banking sector as index funds scramble to increase
their weightings in banks ahead of the public offerings of several building
societies (savings and loans).
Within continental Europe, growth remains weak relative to the United States
and the United Kingdom, and we see little need for interest rates to rise in
the near term. Worries over European monetary union continue, with the major
concern being whether or not it can proceed on time and in what form.
Meanwhile, the corporate restructuring theme in Germany is beginning to gather
pace. Volkswagen, a company held in the Series, has re-engineered its
manufacturing process and can now produce its main model, the VW Golf, in 17
hours, compared with the 34 hours it used to take. All Volkswagen models are
now produced from only four platforms, which has significantly reduced costs.
The Series continues to have a sizable exposure to emerging markets, with a
tilt toward Latin America. Brazil is our favored market given falling inflation
rates and structural changes in the telecommunications sector, in which
Telebras is a core holding. The Series also benefited from its exposure to
Eastern Europe, where Russia, in particular, has moved sharply upward.
Managed Sectors Series
For the six months ended June 30, 1997, the Series provided a total return of
13.61%. This compares to a 20.60% return for the S&P 500. The Series continues
to be invested in many of the same sectors as outlined in our year-end review,
but significant changes within those sectors have occurred over the past six
months. For example, the Series' technology weighting was modestly increased,
despite a major reduction in semiconductor holdings, with the sales of Intel,
National Semiconductor, and VLSI Technologies. Also sold were the Electronic
Arts and Cabletron holdings, and the Sun Microsystem position was reduced.
Proceeds from these sales funded new technology holdings in IBM, Sony, Compaq,
and Synopsys and in networking stocks such as 3Com, Aspect Telecommunications,
Cisco, and Ascend Communications.
The health care sector also saw significant changes, resulting in a modest
weighting reduction. HMO stocks Pacificare Health Systems and Coventry Corp.
were sold due to what we viewed as deteriorating company fundamentals, while
Healthsource was acquired and the stock subsequently tendered. Proceeds from
these moves funded new positions in Aetna and CIGNA, both with growing exposure
to the HMO industry, as well as an increased weighting in United Healthcare,
the leader in the industry. Positions in drug stocks Pharmacia Upjohn and
Rhone-Poulenc Rorer were replaced with Bristol-Myers Squibb. Finally,
HEALTHSOUTH was sold on higher valuation, and new positions focusing on drug
distribution -- Cardinal Health, Amerisource, McKesson, and Smith's Food and
Drug -- were initiated.
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The "other" category was concentrated to include fewer names, with one of them
being Tyco International which, through its acquisitions of both ADT and
Keystone International, each of which was already held in the portfolio, now
represents over 10% of the Series' assets. Sales were also made of McDonnell
Douglas, Colgate, Sears, PowerGen, and MCI Communications as their valuations
increased, and of Staples, Gymboree, and Advanta Corp. as their fundamentals
changed. Small positions were added in paper stocks such as Stone Container and
Jefferson Smurfit, tobacco stocks Philip Morris and RJR Nabisco, as well as
Waste Management Technologies.
In the leisure category, hotel stocks such as Hilton and ITT Corp. were added,
while positions in HFS and LaQuinta were increased. Among gaming issues, MGM
Grand, Argosy, and Showboat were sold. Energy holdings in the oil services
sector, one of the Series' best-performing areas, continue to be trimmed on
strength, but the original weighting has not changed over the past six months
because we remain confident that the group's earnings momentum will continue
for the foreseeable future.
Looking ahead, expectations of modest economic growth and subdued inflation
should continue to provide a positive backdrop for financial assets,
particularly equities. But this environment, which puts a premium on both the
visibility and growth of earnings, has not gone unnoticed by investors and is,
thus, unforgiving of disappointments. The stock market rally year to date has
broadly discounted much of the good news, resulting in most industry groups
appearing to be fairly valued and further increasing the importance of stock
selection over sector selection. In this environment, we believe the best
course for the Series is to concentrate holdings in companies that are led by
strong management teams and that have visible earnings growth and attractive
relative valuations.
Research Series
For the six months ended June 30, 1997, the Series provided a total return of
13.40%. This compares to a 20.60% return for the S&P 500. The Series'
underperformance can be attributed to four sectors: energy, health care,
retailing, and transportation. The companies held in the Series in each of
these sectors are leaders in their respective industries and, overall,
performed well during the past six months. However, they were unable to
maintain the torrid pace of equivalent sectors in the S&P 500. The Series did
outperform the S&P 500 in the basic materials and utilities and communications
sectors during the past six months.
Sector weightings have shifted based on the MFS industry analysts' changing
best ideas. Most notably, the financial services sector increased by 4.7%. The
slow-growth, low-inflation economic environment has allowed select banks and
insurance companies to flourish during the first half of 1997, and several of
the banking and insurance stocks in the Series have performed well.
Several companies within the chemical and specialty chemical industries,
including du Pont, Air Products and Chemicals, and Praxair, have also enhanced
the Series' return. These companies have achieved strong stock performance
through a focused cost-savings effort and the introduction of new,
higher-margin products and services that have complemented their existing
product lines.
The weighting in the technology sector increased 4.0% during the past six
months. Several stocks in this sector contributed to the Series' performance,
including Microsoft, Compuware, Intel, Compaq, and Lucent Technologies. These
companies have developed solid competitive positions within their industries
that have translated into successful stock performance. We believe that the
earnings outlook for all of the technology companies held in the Series remains
strong.
The Series remains underweighted in energy, automobiles and housing, and
utilities and communications. While individual stocks within these sectors
positively contributed to the Series' return, the MFS analysts have determined
that the earnings outlook for many of the companies within these sectors
remains bleak. The analysts have also reduced exposure to the leisure and
transportation sectors based on what they regard as an uncertain profit
picture.
Research Growth and Income Series
The Series commenced operations on May 13, 1997, and from that date through
June 30, 1997, provided a total return of 2.00%. Due to the short investment
period of the Series, company-specific positions within what the MFS analysts
view as attractive industry sectors had not been completed by June 30. We
expect the Series to be fully invested shortly.
The objective of the Series, which is managed by MFS' committee of industry
analysts, is long-term growth of capital, current income, and growth of income.
Generally, the analysts seek companies with market capitalizations greater than
$2 billion and with what they regard as attractive dividend yields. Each
analyst specializes in two or three industries and performs in-depth,
bottom-up, fundamental analyses of companies within those industries. The
analysts typically seek companies with strong management teams, successful
track records, histories of long-term earnings growth, proprietary products
and/or services, and the potential for market leadership. Each analyst
considers the economic outlook as part of the decision to buy the stock but
does not decide solely based on economic forecasts. Therefore, the stocks
included in the Series will represent companies that the analysts believe offer
the best possibility for capital appreciation regardless of the economic
outlook. The Series' sector and industry weightings are a fallout of the "best
ideas" stock-selection process. However, the analyst committee will revisit
weightings regularly to assure agreement within the changing economic
landscape.
Total Return Series
For the six months ended June 30, 1997, the Series provided a total return of
12.14%, compared to a 20.60% return for the S&P 500 and to a 2.74% return for
the Lehman Brothers Government Corporate Bond Index, an unmanaged, market-
value-weighted index of U.S. Treasury and government-agency securities,
excluding mortgage-backed securities. The pace of economic activity in the
second quarter has slowed from the 5.9% annual rate posted in the first quarter
of 1997. However, the U.S. economy remains firm, which should support corporate
earnings growth. The rate of unemployment remains low, ending June at 5%, and
while inflation has not been a problem in recent years, we are keeping a close
eye out for any signs of an increase.
We believe the continuing strength of the dollar should serve to dampen the
U.S. economy in the near future. Conversely, we feel that the rise in the
dollar's value over the past year should help improve the competitiveness of
many foreign corporations, which could serve to accelerate foreign economies.
Still, investors remain bullish on corporate America, and stock prices have
risen throughout most of the period.
Our allocations remain conservative. At the end of June, 59% of the portfolio
was invested in stocks, preferred stocks, and convertible bonds. We generally
consider a 60% stock weighting
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neutral and anything over 65% aggressive. We have been maintaining this
conservative equity posture for some time because, in our view, equities are
not cheap by historical standards. Specifically, the yield on the S&P 500 is
under 2%, which is close to an all-time low.
In selecting stocks for the Series, we prefer to own companies in which we
anticipate stable earnings growth. We also like to pay a price for these
securities (as measured by price-to-earnings ratios, dividend yields, and
price-to-book ratios) that is below the average for the market. We have found
these characteristics in the financial services and industrial goods and
services sectors, both of which did well during the period. Both sectors have
reported solid earnings, while consolidation activity continues to boost values
of financial services stocks.
We continue to be underweighted in the technology and the consumer nondurable
goods sectors. While we feel there are many fine companies in both of these
sectors, we do not think their valuations have been compelling in recent
months.
The performance of aerospace and defense stocks has been disappointing, in part
because, after years of consolidation, the market is beginning to fear that the
industry is in for a period of slow growth. However, we still find this sector
attractive because we believe these companies can continue to produce solid
earnings over the long term. Another disappointment came in the utility sector,
in which the pace of deregulation continues to pick up, bringing uncertainty
and placing lower values on the sector.
Looking ahead, we see a modest growth rate in the U.S. economy over the next 12
months. Over the near term, however, we believe the Federal Reserve Board will
keep a close watch on wage inflation and general economic activity and may
raise interest rates again should economic indicators suggest a stronger-
than-expected economy.
Our bond portfolio represents approximately 32% of the Series, with two-thirds
in corporates and one-third in Treasuries. The duration, or interest-rate
sensitivity, of the bond portfolio has been approximately 5.4 years over the
period.
Given where equity valuations are today, we feel comfortable with our asset
allocation. However, should the stock market correct, we would be looking to
buy additional stocks.
Utilities Series
For the six months ended June 30, 1997, the Series provided a total return of
12.50%. This compares to a 2.31% return for the Standard & Poor's Utility Index
(the Utility Index), an unmanaged, market-value-weighted, total return index of
all utility stocks in the S&P 500. For the same period, the S&P 500 returned
20.60%. Although the Series has outperformed the Utility Index and the other
utility funds tracked by Lipper Analytical Services, Inc. The Utility Index
continues to lag the overall market, primarily due to poor performance by
electric-utility and long-distance telephone stocks.
The Series remains overweighted in natural gas pipelines because these
companies typically offer 10% to 15% growth in earnings per share, the leverage
that comes with an environmentally friendly fuel, risk-management and marketing
skills that the electric utilities need to acquire, and less regulatory risk
than the other utility segments. Columbia Gas and KN Energy are two of the
Series' largest natural gas positions.
The Series is market weighted in the domestic electric-utility sector. We
continue to focus on companies with reasonable valuations that are low-cost
providers in strong service territories and on companies that are positioning
themselves to benefit from deregulation. The restructuring of the industry has
been a positive for the electric utilities, which have underperformed
dramatically over the past several years.
The Series remains underweighted in the domestic telecommunications sector due
to uncertainty over the impact of competition. In addition, many of the
large-capitalization companies need to build up their infrastructure, which
could prove quite costly in the short term (AT&T is the best example).
Worldcom, the nation's fourth-largest long-distance provider, is the Series'
largest telecommunications position because it offers what we regard as an
aggressive management that is correctly positioning the company in this complex
period.
Twenty-six percent of the Series' assets are in the international markets due
to what we see as their generally higher growth rates, better regulatory
environments and, in some cases, very good valuations, albeit with higher
risks. PowerGen, a U.K. electric-generating company, is one of the cheapest
utilities in the world based on growth relative to its earnings and cash-flow
generation. At the same time, Telebras, the leading Brazilian phone company,
enjoys an excellent combination of robust growth and restructuring potential.
Value Series
For the six months ended June 30, 1997, the Series provided a total return of
12.46%. This compares to a 20.60% return for the S&P 500. The three
best-performing sectors of the S&P 500 over the past six months were health
care, which gained 31.5%; financial services, which advanced 24.1%; and
technology, which was up 15.9%. The worst-performing sector was utilities,
which gained 7.9%. The Series was underweighted in health care versus the S&P
500, at 7.9% of the equity portfolio versus 11.7%; market weighted in
financials (14.8% versus 14.9%); and overweighted in technology (13.4% versus
12.6%).
Financial services, our largest sector, is focused on the insurance industry,
in which we expect a continued trend of consolidation. We expect the banking
industry to play a larger role in this trend as government restrictions are
loosened. Technology, our second-largest sector, is primarily focused on
franchise software companies trading at what we see as reasonable prices
relative to their respective growth rates. We try to take advantage of periods
of uncertainty and establish positions at attractive valuations relative to
long-term prospects. Two recent examples include Synopsys and Computer
Associates. Both software companies have significant leadership positions in
attractive markets, but their stock prices have been depressed by short-term
earnings concerns. In each case, we have been able to establish significant
holdings at what we believe are excellent long-term valuations. In retailing,
our third-largest sector, we are focused on grocery stores and drug store
chains. One of our largest holdings, Smith's Food and Drug, recently agreed to
be acquired by Fred Meyer, a grocery chain located in the Pacific Northwest. We
currently plan to hold the Fred Meyer shares we will receive, as we expect
consolidation benefits to be significant. Future consolidation is also expected
as aggressive, well-managed operators such as Safeway look for further growth.
The drug stores are also benefiting from consolidation because the larger
chains are better able to deal with the industry trend toward managed health
care. While growth in this area presents lower gross margins, the large chains
are able to leverage this greater volume through lower operating expenses and,
therefore, derive higher net margins. Two of our holdings, Rite Aid and CVS,
are in the midst of major consolidations that we expect will yield significant
cost savings.
5
<PAGE>
Our two largest holdings, ADT Ltd. and Tyco International, recently agreed to
merge in a pooling transaction. The surviving entity will be Tyco
International, and we expect significant earnings leverage going forward, with
significant stock price appreciation as cost savings are realized.
Our outlook for the balance of the year is cautious. With stock market
valuations at record levels, we believe the market is vulnerable to any
negative news. We are, therefore, positioned conservatively.
World Growth Series
For the six months ended June 30, 1997, the Series provided a total return of
14.07%. This compares to a 15.62% return for the MSCI World Index, a broad,
unmanaged index of global equities. The Series continues to focus on what we
believe are the fastest-growing companies in the world, in what we consider the
three most attractive markets with the best long-term growth potential: U.S.
small-capitalization and emerging growth stocks; growth stocks in mature
foreign markets, primarily in Europe and Japan; and stocks in emerging markets.
The Series' performance was helped by our investments in the United States over
the past six months and by our overweightings in software and electronics
stocks. The U.S. sector of the portfolio focuses on companies with what we see
as dynamic earnings growth that can achieve significant market share gains in
rapidly growing markets. Thus, our holdings continue to be stocks in
technology, leisure, and business services, including BMC Software, a leading
mainframe software company; HFS, the leading hotel, real estate, and rental car
franchiser; and Learning Tree International, a leading provider of information
technology training to corporations.
Performance was hindered by an underweighting in Germany, where the weak mark
resulted in big gains in the auto and capital goods sectors. However, weaker
local currencies across Europe benefited the Series by helping export-oriented
companies. Performance was also helped by the Series' holdings in dollar-
sensitive exporters in Japan such as Canon, Sony, and TDK, and by
telecommunications companies such as Telecom Italia Mobile, a leading cellular
phone company whose earnings surprised. Our focus on developed foreign markets
continues to be on what we regard as "world class" companies with significant
earnings leverage resulting from recovering domestic and export economies and
new products.
The Series also benefited from continued strong performance in emerging markets
such as Brazil, Russia, the Middle East, and Hong Kong/China, all of which saw
moderate inflation and strong investment flows. Telebras, the leading Brazilian
phone company; Lukoil, a Russian oil company, were among names that contributed
to performance. Our emphasis in this part of the portfolio continues to be on
companies that we see as global low-cost producers and beneficiaries of
government privatization, increasing consumer demand, or growing
infrastructures.
6
<PAGE>
Performance Summary
The information below illustrates the performance of MFS[RegTM]/Sun Life Series
Trust.
Average Annual and Cumulative Total Rates of Return as of June 30, 1997
Capital Appreciation Series
<TABLE>
<CAPTION>
6 Months 1 Year 5 Years 10 Years
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cumulative Total Return +15.28% +24.49% +154.38% +283.94%
- -------------------------------------------------------------------------
Average Annual Total Return -- +24.49% +20.53% + 14.40%
- -------------------------------------------------------------------------
</TABLE>
Conservative Growth Series
<TABLE>
<CAPTION>
6 Months 1 Year 5 Years 10 Years
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cumulative Total Return +18.97% +35.07% +139.04% +273.99%
- ----------------------------------------------------------------------
Average Annual Total Return -- +35.07% + 19.04% + 14.10%
- ----------------------------------------------------------------------
</TABLE>
Emerging Growth Series
<TABLE>
<CAPTION>
6 Months 1 Year Life of Series*
- ------------------------------------------------------------------------
<S> <C> <C> <C>
Cumulative Total Return +10.48% +12.68% +64.11%
- ------------------------------------------------------------------------
Average Annual Total Return -- +12.68% +25.68%
- ------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
May 1, 1995, through June 30, 1997.
MFS/Foreign & Colonial Emerging Markets
Equity Series
<TABLE>
<CAPTION>
6 Months 1 Year Life of Series*
- ------------------------------------------------------------------------
<S> <C> <C> <C>
Cumulative Total Return +21.97% +21.85% +21.97%
- ------------------------------------------------------------------------
Average Annual Total Return -- +21.85% +20.43%
- ------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
June 5, 1996, through June 30, 1997.
MFS/Foreign & Colonial International Growth Series
<TABLE>
<CAPTION>
6 Months 1 Year Life of Series*
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Cumulative Total Return +3.86% +1.79% +2.10%
- -----------------------------------------------------------------------
Average Annual Total Return -- +1.79% +1.95%
- -----------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
June 3, 1996, through June 30, 1997.
Managed Sectors Series
<TABLE>
<CAPTION>
6 Months 1 Year 5 Years Life of Series*
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cumulative Total Return +13.61% +23.96% +118.03% +323.79%
- -----------------------------------------------------------------------------
Average Annual Total Return -- +23.96% + 16.87% + 17.20%
- -----------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
May 27, 1988, through June 30, 1997.
Research Series
<TABLE>
<CAPTION>
6 Months 1 Year Life of Series*
- ------------------------------------------------------------------------
<S> <C> <C> <C>
Cumulative Total Return +13.40% +24.44% +90.65%
- ------------------------------------------------------------------------
Average Annual Total Return +24.44% +27.61%
- ------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 7, 1994, through June 30, 1997.
Research Growth and Income Series
<TABLE>
<CAPTION>
Life of Series*
- ----------------------------------------------------------------------------
<S> <C>
Cumulative Total Return +2.00%
- ----------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
May 13, 1997, through June 30, 1997.
Total Return Series
<TABLE>
<CAPTION>
6 Months 1 Year 5 Years Life of Series*
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cumulative Total Return +12.14% +22.13% +88.85% +201.75%
- ----------------------------------------------------------------------------
Average Annual Total Return -- +22.13% +13.56% + 12.84%
- ----------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
May 11, 1988, through June 30, 1997.
Utilities Series
<TABLE>
<CAPTION>
6 Months 1 Year Life of Series*
- ------------------------------------------------------------------------
<S> <C> <C> <C>
Cumulative Total Return +12.50% +28.27% +70.70%
- ------------------------------------------------------------------------
Average Annual Total Return -- +28.27% +15.91%
- ------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 16, 1993, through June 30, 1997.
Value Series
<TABLE>
<CAPTION>
6 Months 1 Year Life of Series*
- ------------------------------------------------------------------------
<S> <C> <C> <C>
Cumulative Total Return +12.46% +23.45% +23.82%
- ------------------------------------------------------------------------
Average Annual Total Return -- +23.45% +22.01%
- ------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
June 3, 1996, through June 30, 1997.
World Growth Series
<TABLE>
<CAPTION>
6 Months 1 Year Life of Series*
- ------------------------------------------------------------------------
<S> <C> <C> <C>
Cumulative Total Return +14.07% +14.95% +63.77%
- ------------------------------------------------------------------------
Average Annual Total Return -- +14.95% +14.59%
- ------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 16, 1993, through June 30, 1997.
All results are historical and, therefore, are not an indication of future
results. The investment return and principal value of an investment in the
product will vary with changes in market conditions, and shares, when redeemed,
may be worth more or less than their original cost.
Returns shown do not reflect the deduction of the mortality and expense risk
charges and administration fees associated with variable annuity products. Had
these fees and charges been reflected, the results would have been lower.
7
<PAGE>
Portfolio of Investments -- June 30, 1997
Capital Appreciation Series
Stocks -- 93.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 90.9%
Advertising -- 0.2%
Universal Outdoor Holdings, Inc.* ...... 68,600 $ 2,392,425
---------------
Aerospace -- 2.5%
McDonnell-Douglas Corp. .................. 198,500 $ 13,597,250
United Technologies Corp. ............... 205,000 17,015,000
---------------
$ 30,612,250
---------------
Airlines -- 0.4%
America West Holding Corp., "B"* ........ 170,700 $ 2,475,150
Southwest Airlines Co. .................. 99,700 2,579,738
---------------
$ 5,054,888
---------------
Agricultural Products -- 1.8%
AGCO Corp. .............................. 177,600 $ 6,382,500
Case Corp. .............................. 231,900 15,972,113
---------------
$ 22,354,613
---------------
Banks and Credit Companies -- 0.8%
Fleet/Norstar Financial Group, Inc. ..... 149,800 $ 9,474,850
---------------
Business Machines -- 0.2%
Affiliated Computer Services, Inc., "A"* . 100,500 $ 2,814,000
---------------
Business Services -- 6.3%
AccuStaff, Inc.* ........................ 384,700 $ 9,112,581
ADT Ltd.* .............................. 1,198,300 39,543,900
Ceridian Corp.* ........................ 43,400 1,833,650
Corestaff, Inc.* ........................ 212,025 5,724,675
DST Systems, Inc.* ..................... 293,200 9,767,225
Ikon Office Solutions, Inc. ............ 371,400 9,261,787
Sabre Group Holding, Inc., "A"* ......... 94,500 2,563,313
---------------
$ 77,807,131
---------------
Chemicals -- 0.8%
Betzdearborn, Inc. ..................... 87,600 $ 5,781,600
Praxair, Inc. ........................... 75,800 4,244,800
---------------
$ 10,026,400
---------------
Computer Software --
Personal Computers -- 4.9%
First Data Corp. ........................ 320,400 $ 14,077,575
Microsoft Corp.* ........................ 364,500 46,063,687
---------------
$ 60,141,262
---------------
Computer Software -- Services -- 0.2%
Sterling Commerce, Inc.* ............... 88,400 $ 2,906,150
---------------
Computer Software -- Systems -- 8.9%
Adobe Systems, Inc. ..................... 219,600 $ 7,699,725
BMC Software, Inc.* ..................... 126,400 6,999,400
Cadence Design Systems, Inc.* ............ 765,100 25,630,850
Computer Associates International,
Inc. ................................. 559,000 31,129,312
Micros Systems, Inc.* .................. 60,300 2,532,600
Oracle Systems Corp.* .................. 577,000 29,066,375
Synopsys, Inc.* ........................ 187,200 6,879,600
---------------
$ 109,937,862
---------------
Consumer Goods and Services -- 8.2%
Colgate-Palmolive Co. .................. 217,000 $ 14,159,250
Gillette Co. ........................... 79,400 7,523,150
Hertz Corp., "A"* ........................ 184,400 6,638,400
Philip Morris Cos., Inc. ............... 811,400 36,005,875
Tyco International Ltd. .................. 519,500 36,137,719
---------------
$ 100,464,394
---------------
Defense Electronics -- 1.7%
Loral Space & Communications Corp.* 1,359,300 $ 20,389,500
---------------
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Electrical Equipment -- 1.5%
General Electric Co. ..................... 223,800 $ 14,630,925
Westinghouse Electric Corp. ............ 152,900 3,535,813
---------------
$ 18,166,738
---------------
Electronics -- 7.9%
AES Corp.* .............................. 109,600 $ 7,754,200
Altera Corp.* ........................... 229,500 11,589,750
Analog Devices, Inc.* .................. 615,000 16,335,937
Intel Corp. .............................. 267,900 37,991,569
LSI Logic Corp.* ........................ 122,200 3,910,400
Microchip Technology, Inc.* ............ 274,000 8,151,500
Xilinx, Inc.* ........................... 230,300 11,299,094
---------------
$ 97,032,450
---------------
Entertainment -- 4.1%
Clear Channel Communications, Inc.* 99,100 $ 6,094,650
Jacor Communications, Inc., "A"* ......... 263,700 10,086,525
LIN Television Corp.* .................. 233,800 10,316,425
Mirage Resorts, Inc.* .................. 513,300 12,960,825
Time Warner, Inc. ........................ 222,000 10,711,500
Univision Communications, Inc., "A"* 6,100 238,662
---------------
$ 50,408,587
---------------
Financial Institutions -- 4.1%
Associates First Capital Corp., "A" . 41,400 $ 2,297,700
Federal Home Loan Mortgage Corp. 484,400 16,651,250
Financial Federal Corp.* ............... 175,400 3,858,800
Finova Group, Inc. ..................... 155,000 11,857,500
Franklin Resources, Inc. ............... 112,350 8,152,397
Green Tree Financial Corp. ............... 212,200 7,559,625
---------------
$ 50,377,272
---------------
Forest and Paper Products -- 0.1%
Champion International Corp. ............ 14,300 $ 790,075
---------------
Food and Beverage Products -- 1.0%
PepsiCo, Inc. ........................... 330,900 $ 12,429,431
---------------
Insurance -- 1.8%
Amerin Corp.* ........................... 69,500 $ 1,685,375
Chubb Corp. .............................. 135,300 9,048,188
Conseco, Inc. ........................... 150,500 5,568,500
Travelers Group, Inc. .................. 102,800 6,482,825
---------------
$ 22,784,888
---------------
Machinery -- 0.7%
Deere & Co., Inc. ........................ 107,000 $ 5,871,625
Lear Corp.* .............................. 53,400 2,369,625
---------------
$ 8,241,250
---------------
Medical and Health Products -- 2.3%
Bristol-Myers Squibb Co. ............... 116,300 $ 9,420,300
Johnson & Johnson ........................ 246,500 15,868,438
Omnicare, Inc. ........................... 86,800 2,723,350
---------------
$ 28,012,088
---------------
Medical and Health Technology
and Services -- 4.8%
Genesis Health Ventures, Inc.* ......... 104,000 $ 3,510,000
Health Management Associates, Inc., "A"* 159,300 4,540,050
HEALTHSOUTH Corp.* ..................... 469,600 11,710,650
Medtronic, Inc. ........................ 41,700 3,377,700
Oxford Health Plans, Inc.* ............... 175,400 12,584,950
United Healthcare Corp. .................. 450,000 23,400,000
---------------
$ 59,123,350
---------------
</TABLE>
8-CAS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Metals and Minerals -- 0.4%
Minerals Technologies, Inc. ........................ 124,700 $ 4,676,250
---------------
Oils -- 1.1%
Hanover Compressor .................................... 5,700 $ 111,150
Mobil Corp. .......................................... 184,400 12,884,950
---------------
$ 12,996,100
---------------
Photographic Products -- 0.7%
Eastman Kodak Co. .................................... 117,400 $ 9,010,450
---------------
Railroads -- 2.6%
Burlington Northern Santa Fe
Railway Co. ....................................... 50,500 $ 4,538,687
Wisconsin Central Transportation Corp.* 751,500 27,993,375
---------------
$ 32,532,062
---------------
Restaurants and Lodging -- 6.3%
HFS, Inc.* .......................................... 900,800 $ 52,246,400
Promus Hotel Corp.* ................................. 662,750 25,681,562
---------------
$ 77,927,962
---------------
Stores -- 6.4%
Ann Taylor Stores Corp.* ........................... 171,100 $ 3,336,450
Boise Cascade Office Products Corp.* 32,300 549,100
Corporate Express, Inc.* ........................... 335,250 4,840,172
CVS Corp. .......................................... 248,900 12,756,125
Duty Free International, Inc. ........................ 30,600 573,750
Linens 'N Things, Inc.* .............................. 16,600 491,775
Micro Warehouse, Inc.* .............................. 291,000 4,983,375
Office Depot, Inc.* ................................. 588,200 11,433,138
PETsMART, Inc.* .................................... 931,400 10,711,100
Rite Aid Corp. ....................................... 316,950 15,807,881
Sears, Roebuck & Co. ................................. 138,100 7,422,875
Staples, Inc.* ....................................... 254,100 5,907,825
---------------
$ 78,813,566
---------------
Supermarkets -- 0.9%
Safeway, Inc.* ....................................... 249,000 $ 11,485,125
---------------
Telecommunications -- 7.3%
3Com Corp.* .......................................... 252,300 $ 11,353,500
Ascend Communications, Inc.* ........................ 284,000 11,182,500
Cisco Systems, Inc.* ................................. 243,300 16,331,512
Glenayre Technologies, Inc.* ........................ 628,300 10,288,413
Lucent Technologies, Inc. ........................... 58,300 4,201,244
Qwest Communications International, Inc.* 7,200 196,200
Tel-Save Holdings, Inc.* ........................... 143,400 2,186,850
Tel-Save Holdings, Inc.+* ........................... 186,900 3,037,125
Teleport Communications Group, Inc., "A"* 137,800 4,702,425
Tellabs, Inc.* ....................................... 59,200 3,307,800
WorldCom, Inc.* .................................... 735,170 23,525,440
---------------
$ 90,313,009
---------------
Total U.S. Stocks ................................................ $1,119,496,378
---------------
Foreign Stocks -- 2.2%
Canada -- 0.8%
Loewen Group, Inc. (Business
Services) .......................................... 35,800 $ 1,244,050
Loewen Group, Inc. (Business
Services)## ....................................... 123,200 4,274,741
Canadian National Railway Co.
(Railroads) ....................................... 89,100 3,898,125
---------------
$ 9,416,916
---------------
Hong Kong
Peregrine Investment Holdings
(Brokerage) ....................................... 333,000 $ 685,601
---------------
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Italy -- 0.2%
Gucci Group Designs N.V. (Apparel
and Textiles) .................................... 48,100 $ 3,096,437
---------------
Singapore -- 0.2%
Mandarin Oriental International, Ltd.
(Restaurants and Lodgings)* ........................ 1,587,530 $ 2,063,789
---------------
United Kingdom -- 1.0%
British Petroleum PLC, ADR (Oils) .................. 152,600 $ 11,425,925
Central European Media Enterprises
Ltd. (Television)* ................................. 30,800 800,800
---------------
$ 12,226,725
---------------
Total Foreign Stocks .......................................... $ 27,489,468
---------------
Total Stocks
(Identified Cost, $855,188,491) ............................... $1,146,985,846
---------------
Short-Term Obligations -- 6.4%
Principal Amount
(000 Omitted)
Federal Home Loan Bank, due
7/25/97 - 7/29/97 ................................. $18,000 $ 17,928,678
Federal Home Loan Mortgage
Corp., due 7/02/97 - 7/15/97 ..................... 23,705 23,671,499
Federal National Mortgage Assn.,
due 7/07/97 - 8/04/97 .............................. 30,025 29,936,370
General Electric Co., due 7/01/97 .................. 3,100 3,100,000
Tennessee Valley Authority, due
7/17/97 .......................................... 3,895 3,885,618
---------------
Total Short-Term Obligations, at Amortized Cost ................ $ 78,522,165
---------------
Total Investments
(Identified Cost, $933,710,656) ............................... $1,225,508,011
Other Assets,
Less Liabilities -- 0.5% 6,206,447
---------------
Net Assets -- 100.0% ............................................. $1,231,714,458
===============
</TABLE>
See portfolio footnotes and notes to financial statements
9-CAS
<PAGE>
Portfolio of Investments -- June 30, 1997
Conservative Growth Series
Stocks -- 95.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 90.4%
Aerospace -- 4.6%
AlliedSignal, Inc. ..................... 112,800 $ 9,475,200
General Dynamics Corp. .................. 23,200 1,740,000
Lockheed-Martin Corp. .................. 113,748 11,780,027
McDonnell-Douglas Corp. ............... 35,400 2,424,900
Raytheon Co. ........................... 44,700 2,279,700
United Technologies Corp. ............... 135,100 11,213,300
-------------
$ 38,913,127
-------------
Agricultural Products -- 0.4%
Case Corp. .............................. 48,700 $ 3,354,213
-------------
Apparel and Textiles -- 1.5%
Reebok International Ltd. ............... 75,200 $ 3,515,600
VF Corp. .............................. 112,900 9,568,275
-------------
$ 13,083,875
-------------
Automotive -- 0.6%
Goodrich (B.F.) Co. ..................... 108,200 $ 4,686,413
-------------
Banks and Credit Companies -- 9.4%
BankBoston Corp. ........................ 32,800 $ 2,363,650
Chase Manhattan Corp. .................. 24,068 2,336,100
Comerica, Inc. ........................ 115,100 7,826,800
CoreStates Financial Corp. ............ 36,467 1,960,101
First Bank Systems, Inc. ............... 149,200 12,737,950
Firstar Corp. ........................... 223,700 6,822,850
National City Corp. ..................... 91,000 4,777,500
Northern Trust Corp. .................. 78,100 3,778,088
Norwest Corp. ........................... 267,300 15,035,625
State Street Corp. ..................... 217,400 10,054,750
SunTrust Banks, Inc. .................. 93,600 5,153,850
U.S. Bancorp ........................... 60,200 3,860,325
Washington Mutual, Inc. ............... 57,500 3,435,625
-------------
$ 80,143,214
-------------
Business Machines -- 1.1%
International Business Machines Corp. 101,000 $ 9,108,938
-------------
Business Services -- 1.2%
Computer Sciences Corp.* ............... 88,000 $ 6,347,000
DST Systems, Inc.* ..................... 76,600 2,551,737
Ikon Office Solutions, Inc. ............ 50,100 1,249,369
-------------
$ 10,148,106
-------------
Chemicals -- 3.9%
Air Products & Chemicals, Inc. ......... 148,800 $ 12,090,000
du Pont (E. I.) de Nemours & Co., Inc. 249,900 15,712,462
Praxair, Inc. ........................... 90,200 5,051,200
-------------
$ 32,853,662
-------------
Computer Software -- Personal
Computers -- 1.9%
First Data Corp. ........................ 143,600 $ 6,309,425
Microsoft Corp.* ........................ 76,700 9,692,962
-------------
$ 16,002,387
-------------
Computer Software -- Systems -- 1.6%
BMC Software, Inc.* ..................... 32,700 $ 1,810,763
Computer Associates International, Inc. 148,950 8,294,653
Oracle Systems Corp.* .................. 75,300 3,793,237
-------------
$ 13,898,653
-------------
Construction Services -- 0.2%
Champion International Corp. ............ 30,000 $ 1,657,500
-------------
Consumer Goods and Services -- 7.2%
Avon Products, Inc. ..................... 27,800 $ 1,961,638
Colgate-Palmolive Co. .................. 199,100 12,991,275
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Consumer Goods and Services -- continued
Gillette Co. ........................... 149,500 $ 14,165,125
Hertz Corp., "A"* ..................... 2,500 90,000
Philip Morris Cos., Inc. ............... 296,200 13,143,875
Procter & Gamble Co. .................. 51,800 7,316,750
Service Corp. International ............ 60,900 2,002,087
Tupperware Corp. ........................ 57,000 2,080,500
Tyco International Ltd. ............... 106,800 7,429,275
-------------
$ 61,180,525
-------------
Containers -- 0.7%
Corning, Inc. ........................... 114,100 $ 6,346,813
-------------
Defense Electronics -- 0.2%
Loral Space & Communications Corp.* 86,600 $ 1,299,000
-------------
Electrical Equipment -- 3.0%
Cooper Industries, Inc. ............... 146,800 $ 7,303,300
General Electric Co. .................. 146,100 9,551,287
Honeywell, Inc. ........................ 118,400 8,983,600
-------------
$ 25,838,187
-------------
Electronics -- 0.6%
Intel Corp. ........................... 36,200 $ 5,133,613
-------------
Entertainment -- 0.6%
ITT Corp.* .............................. 37,500 $ 2,289,844
Time Warner, Inc. ..................... 62,400 3,010,800
-------------
$ 5,300,644
-------------
Financial Institutions -- 3.1%
American Express Co., Inc. ............ 44,000 $ 3,278,000
Beneficial Corp. ........................ 105,900 7,525,519
Federal Home Loan Mortgage Corp. 148,500 5,104,688
Household International, Inc. ......... 71,400 8,385,037
Merrill Lynch & Co., Inc. ............... 37,000 2,206,125
-------------
$ 26,499,369
-------------
Food and Beverage Products -- 5.1%
Archer-Daniels-Midland Co. ............ 123,721 $ 2,907,443
Coca-Cola Co. ........................... 143,300 9,672,750
CPC International, Inc. ............... 58,900 5,437,206
General Mills, Inc. ..................... 27,500 1,790,937
Hershey Foods Corp. ..................... 32,900 1,819,781
Interstate Bakeries Corp. ............... 15,800 937,138
McCormick & Co., Inc. .................. 66,800 1,686,700
Nabisco Holdings Corp. .................. 41,900 1,670,763
PepsiCo, Inc. ........................... 198,200 7,444,887
Ralston-Ralston Purina Co. ............ 44,500 3,657,344
Tyson Foods, Inc. ..................... 110,550 2,114,269
Wrigley (Wm) Junior Co. ............... 67,500 4,522,500
-------------
$ 43,661,718
-------------
Forest and Paper Products -- 1.5%
Kimberly-Clark Corp. .................. 159,296 $ 7,924,976
Temple-Inland, Inc. ..................... 20,900 1,128,600
Weyerhaeuser Co. ........................ 49,900 2,594,800
Willamette Industries, Inc. ............ 19,400 1,358,000
-------------
$ 13,006,376
-------------
Insurance -- 9.3%
AFLAC, Inc. ........................... 86,600 $ 4,091,850
Allstate Corp. ........................ 126,500 9,234,500
Chubb Corp. ........................... 114,500 7,657,187
CIGNA Corp. ........................... 77,600 13,774,000
Conseco, Inc. ........................... 39,600 1,465,200
Hartford Financial Services Group, Inc. 143,900 11,907,725
Hartford Life, Inc., "A"* ............... 4,900 183,750
</TABLE>
10-CGS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Insurance -- continued
Lincoln National Corp. .................. 44,500 $ 2,864,688
MBIA, Inc. .............................. 27,100 3,057,219
Nationwide Financial Services, Inc., "A" 132,400 3,516,875
Progressive Corp. ........................ 113,100 9,839,700
Torchmark Corp. ........................ 103,000 7,338,750
Travelers Group, Inc. .................. 68,800 4,338,700
-------------
$ 79,270,144
-------------
Machinery -- 1.1%
Deere & Co., Inc. ........................ 34,800 $ 1,909,650
Ingersoll Rand Co. ..................... 75,300 4,649,775
York International Corp. ............... 66,100 3,040,600
-------------
$ 9,600,025
-------------
Medical and Health Products -- 8.0%
American Home Products Corp. ............ 79,500 $ 6,081,750
Bristol-Myers Squibb Co. ............... 184,800 14,968,800
Johnson & Johnson ........................ 189,000 12,166,875
Lilly (Eli) & Co. ........................ 53,136 5,808,429
McKesson Corp. ........................... 46,000 3,565,000
Merck & Co., Inc. ........................ 27,200 2,815,200
Pfizer, Inc. ........................... 74,100 8,854,950
Pharmacia & Upjohn, Inc. ............... 34,600 1,202,350
Rhone-Poulenc Rorer, Inc. ............... 33,600 3,053,400
Warner-Lambert Co. ..................... 80,400 9,989,700
-------------
$ 68,506,454
-------------
Medical and Health Technology and
Services -- 2.8%
Cardinal Health, Inc. .................. 53,200 $ 3,045,700
Columbia/HCA Healthcare Corp. ............ 19,200 754,800
HealthSouth Corp.* ........................ 80,100 1,997,494
Medtronic, Inc. ........................ 29,100 2,357,100
Pacificare Health Systems, Inc., "B" * . 31,300 1,999,287
St. Jude Medical, Inc.* .................. 134,300 5,237,700
United Healthcare Corp. .................. 162,300 8,439,600
-------------
$ 23,831,681
-------------
Oil Services -- 0.4%
Schlumberger Ltd. ........................ 25,700 $ 3,212,500
-------------
Oils -- 4.2%
Chevron Corp. ........................... 77,400 $ 5,722,762
Exxon Corp. .............................. 216,700 13,327,050
Mobil Corp. .............................. 153,200 10,704,850
Texaco, Inc. ........................... 55,100 5,992,125
-------------
$ 35,746,787
-------------
Photographic Products -- 0.5%
Eastman Kodak Co. ........................ 56,200 $ 4,313,350
-------------
Pollution Control -- 0.6%
Browning Ferris Industries, Inc. ......... 160,700 $ 5,343,275
-------------
Precious Metals and Minerals -- 0.4%
Phelps Dodge Corp. ..................... 44,800 $ 3,816,400
-------------
Printing and Publishing -- 1.5%
Gannett Co., Inc. ........................ 74,600 $ 7,366,750
Tribune Co. .............................. 110,800 5,325,325
-------------
$ 12,692,075
-------------
Railroads -- 1.3%
Burlington Northern Santa Fe
Railway Co. ........................... 89,500 $ 8,043,812
CSX Corp. .............................. 56,900 3,157,950
-------------
$ 11,201,762
-------------
Restaurants and Lodging -- 0.3%
HFS, Inc.* .............................. 37,000 $ 2,146,000
-------------
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Solid Waste -- 0.9%
Waste Management, Inc. .................. 239,200 $ 7,684,300
-------------
Special Products and
Services -- 0.1%
McDonalds Corp. ........................ 19,600 $ 946,925
-------------
Stores -- 2.5%
American Stores Co. ..................... 34,000 $ 1,678,750
CVS Corp. .............................. 49,100 2,516,375
Home Depot, Inc. ........................ 87,700 6,045,818
Penney (J.C.), Inc. ..................... 83,700 4,368,094
Rite Aid Corp. ........................... 75,600 3,770,550
Staples, Inc.* ........................... 74,900 1,741,425
Wal-Mart Stores, Inc. .................. 39,200 1,325,450
-------------
$ 21,446,462
-------------
Supermarkets -- 1.0%
Kroger Co.* .............................. 92,900 $ 2,694,100
Safeway, Inc.* ........................... 129,700 5,982,413
-------------
$ 8,676,513
-------------
Telecommunications -- 0.6%
AirTouch Communications, Inc.* ......... 44,500 $ 1,218,188
Lucent Technologies, Inc. ............... 58,800 4,237,275
-------------
$ 5,455,463
-------------
Utilities -- Electric -- 2.0%
Cinergy Corp. ........................... 96,800 $ 3,369,850
CMS Energy Corp. ........................ 37,000 1,304,250
DPL, Inc. .............................. 37,700 928,363
Duke Energy Corp. ........................ 51,310 2,459,673
Edison International ..................... 45,000 1,119,375
FPL Group, Inc. ........................ 67,700 3,118,431
Pinnacle West Capital Corp. ............ 35,600 1,070,225
Portland General Corp. .................. 52,300 2,075,656
Public Service Co. of New Mexico . 67,400 1,204,775
-------------
$ 16,650,598
-------------
Utilities -- Gas -- 0.9%
Columbia Gas System, Inc. ............... 24,400 $ 1,592,100
Consolidated Natural Gas Co. ............ 34,500 1,856,531
KN Energy, Inc. ........................ 28,200 1,187,925
Pacific Enterprises ..................... 36,900 1,240,763
Union Pacific Resources Group, Inc. 62,400 1,552,200
-------------
$ 7,429,519
-------------
Utilities -- Telephone -- 3.6%
BellSouth Corp. ........................ 90,700 $ 4,206,213
GTE Corp. .............................. 104,700 4,593,713
MCI Communications Corp. ............... 190,300 7,284,922
SBC Communications, Inc. ............... 93,100 5,760,562
Sprint Corp. ........................... 162,300 8,541,037
-------------
$ 30,386,447
-------------
Total U.S. Stocks ................................. $770,473,013.
-------------
Foreign Stocks -- 5.3%
France -- 0.2%
Elf Aquitaine, ADR (Oils) ............... 26,900 $ 1,464,369
-------------
Germany -- 0.1%
Henkel KGaA (Consumer Goods
and Services) ........................ 14,800 $ 840,137
-------------
Japan -- 0.6%
Canon, Inc. (Office Equipment) ......... 107,000 $ 2,915,379
Sony Corp. (Electronics) ............... 32,000 2,791,721
-------------
$ 5,707,100
-------------
Netherlands -- 0.9%
Akzo Nobel (Chemicals) .................. 41,500 $ 5,688,408
Royal Dutch Petroleum Co. (Oils)* ....... 32,800 1,783,500
-------------
$ 7,471,908
-------------
</TABLE>
11-CGS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Sweden -- 0.4%
Skandia Foersaekrings AB,
(Insurance) ..................... 41,800 $ 1,543,335
Sparbanken Sverige AB, (Banks
and Credit Cos.) .................. 77,400 1,724,679
-------------
$ 3,268,014
-------------
Switzerland -- 0.4%
Novartis AG (Pharmaceuticals) ...... 2,386 $ 3,814,854
-------------
United Kingdom -- 2.7%
British Petroleum PLC, ADR (Oils) ... 202,510 $ 15,162,936
Grand Metropolitan PLC (Food and
Beverage Products)* ............... 357,600 3,438,541
PowerGen PLC (Utilities - Electric)* 365,677 4,343,550
-------------
$ 22,945,027
-------------
Total Foreign Stocks ......................... $ 45,511,409
-------------
Total Stocks
(Identified Cost, $637,689,773) ............. $815,984,422
-------------
Convertible Bonds -- 0.3%
Principal Amount
(000 Omitted)
Roche Holdings, Inc., 0s, 2010
(Medical and Health Technology
and Services) ## .................. $ 1,889 $ 951,584
Sandoz Capital BVI Ltd., 2s, 2002
(Chemicals)## ..................... 873 1,322,595
-------------
Total Convertible Bonds
(Identified Cost, $1,751,809) ................ $ 2,274,179
-------------
Short-Term Obligations -- 3.6%
Federal Home Loan Mortgage
Corp., due 7/09/97 - 7/14/97 ...... $ 13,820 $ 13,797,873
Federal National Mortgage Assn.,
due 7/07/97 - 7/24/97 ............ 15,500 15,470,014
General Electric Co., due 7/01/97 ... 1,900 1,900,000
-------------
Total Short-Term Obligations, at Amortized
Cost ........................................ $ 31,167,887
-------------
Total Investments
(Identified Cost, $670,609,469) ............. $849,426,488
Other Assets,
Less Liabilities -- 0.4% 3,025,697
-------------
Net Assets -- 100.0% ......................... $852,452,185
=============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- June 30, 1997
Emerging Growth Series
Stocks -- 97.0%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 89.5%
Automotive -- 0.1%
Tower Automotive, Inc.* .................. 8,400 $ 361,200
-----------
Building -- 0.1%
Newport News Shipbuilding, Inc. ......... 8,900 $ 172,994
-------------
Business Machines -- 0.8%
Affiliated Computer Services, Inc., "A"* 53,200 $ 1,489,600
Sun Microsystems, Inc.* .................. 35,500 1,321,266
-------------
$ 2,810,866
-------------
Business Services -- 10.4%
AccuStaff, Inc.* ........................ 87,400 $ 2,070,287
ADT Ltd.* .............................. 410,000 13,530,000
Ceridian Corp.* ........................ 17,300 730,925
Corestaff, Inc.* ........................ 17,500 472,500
CUC International, Inc.* ............... 130,625 3,371,758
DST Systems, Inc.* ..................... 62,400 2,078,700
Employee Solutions, Inc.* ............... 52,800 293,700
Global Directmail Corp.* ............... 5,300 138,131
Ikon Office Solutions, Inc. ............ 4,400 109,725
Learning Tree International, Inc.* ...... 157,000 6,966,875
Pierce Leahy Corp. ..................... 2,400 43,200
Sabre Group Holding, Inc.,"A"* ......... 9,900 268,538
Staff Leasing, Inc.* ..................... 3,100 58,125
Technology Solutions Co.* ............... 124,600 4,921,700
-------------
$ 35,054,164
-------------
Computer Software -- Personal
Computers -- 3.4%
Autodesk, Inc.* ........................ 985 $ 37,738
First Data Corp. ........................ 40,700 1,788,256
Microsoft Corp.* ........................ 76,400 9,655,050
Transaction System Architects, Inc.* 5,000 172,500
-------------
$ 11,653,544
-------------
Computer Software --
Systems -- 18.9%
Adobe Systems, Inc. ..................... 3,200 $ 112,200
BMC Software, Inc.* ..................... 207,500 11,490,312
Cadence Design Systems, Inc.* ............ 222,900 7,467,150
Computer Associates International, Inc. 301,950 16,814,841
Compuware Corp.* ........................ 189,600 9,053,400
Great Plains Software, Inc.* ............ 600 16,200
Oracle Systems Corp.* .................. 337,700 17,011,637
RWD Technologies, Inc.* .................. 600 10,350
Sybase, Inc.* ........................... 1,900 28,263
Synopsys, Inc.* ........................ 37,400 1,374,450
Xionics Document Technologies* ......... 42,100 620,975
-------------
$ 63,999,778
-------------
Construction Services
Shaw Group, Inc.* ........................ 1,900 $ 30,875
-------------
Consumer Goods and Services -- 5.5%
800-JR. Cigar, Inc.* ..................... 800 $ 16,600
Carson, Inc.* ........................... 121,300 1,303,975
Gibson Greetings, Inc.* .................. 9,500 213,750
Hertz Corp., "A"* ........................ 2,900 104,400
Service Corp. International ............ 103,300 3,395,987
Silgan Holdings, Inc.* .................. 4,200 162,750
Tyco International Ltd. .................. 194,800 13,550,775
-------------
$ 18,748,237
-------------
Containers -- 0.1%
Stone Container Corp. .................. 23,600 $ 337,775
-------------
Electrical Equipment -- 0.3%
Kulicke & Soffa Industries, Inc.* ...... 27,300 $ 886,397
-------------
</TABLE>
12-EGS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Electronics -- 1.7%
Altera Corp.* ........................... 67,800 $ 3,423,900
Gemstar Group Ltd.* ..................... 15,300 281,138
Sony Corp. .............................. 15,600 1,372,800
Xilinx, Inc.* ........................... 16,900 829,156
-------------
$ 5,906,994
-------------
Entertainment -- 3.3%
American Radio Systems Corp., "A"* 8,400 $ 334,950
Clear Channel Communications, Inc.* 33,900 2,084,850
Cox Radio, Inc.* ........................ 61,000 1,563,125
Emmis Broadcasting Corp., "A"* ............ 25,800 1,125,525
Harrah's Entertainment, Inc.* ............ 66,900 1,220,925
Jacor Communications, Inc., "A"* ......... 20,500 784,125
LIN Television Corp.* ..................... 66,800 2,947,550
Univision Communications, Inc., "A"* ...... 27,900 1,091,588
-------------
$ 11,152,638
-------------
Financial Institutions -- 1.3%
AmeriTrade Holding Corp."A"* ............ 10,000 $ 157,500
Franklin Resources, Inc. .................. 57,800 4,194,113
New Century Financial Corp.* ............ 2,200 31,900
-------------
$ 4,383,513
-------------
Industrial -- 0.3%
JLK Direct Distribution, Inc., "A"* ...... 700 $ 17,938
Keystone International, Inc. ............ 31,800 1,103,062
-------------
$ 1,121,000
-------------
Insurance -- 0.4%
Hartford Life, Inc., "A"* ............... 2,900 $ 108,750
Nationwide Financial Services, Inc., "A" 46,900 1,245,781
-------------
$ 1,354,531
-------------
Machinery -- 0.3%
Lear Corp.* .............................. 14,800 $ 656,750
SI Handling Systems, Inc. ............... 15,000 277,500
-------------
$ 934,250
-------------
Medical and Health Products -- 1.4%
Boston Scientific Corp.* .................. 22,200 $ 1,363,913
Guidant Corp. ........................... 29,600 2,516,000
Mentor Corp. .............................. 29,200 865,050
-------------
$ 4,744,963
-------------
Medical and Health Technology and
Services -- 11.6%
AmeriSource Health Corp. "A"* ............ 17,400 $ 867,825
Cardinal Health, Inc. ..................... 17,000 973,250
Columbia/HCA Healthcare Corp. ............ 35,000 1,375,938
Foundation Health Systems, Inc.* ......... 780 23,644
Genesis Health Ventures, Inc.* ............ 20,500 691,875
Health Management Associates, Inc., "A"* 34,600 986,100
HealthSouth Corp.* ........................ 352,600 8,792,962
IDX Systems Corp.* ........................ 10,000 345,000
Mariner Health Group, Inc.* ............... 18,900 291,769
Medpartners, Inc.* ........................ 72,100 1,559,162
Medtronic, Inc. ........................... 37,100 3,005,100
Tenet Healthcare Corp.* .................. 161,900 4,786,169
United Healthcare Corp. .................. 238,200 12,386,400
Vencor, Inc.* ........................... 75,700 3,198,325
-------------
$ 39,283,519
-------------
Oil Services -- 0.1%
Hanover Compressor ........................ 1,600 $ 31,200
Santa Fe International Corp.* ............ 4,900 166,600
-------------
$ 197,800
-------------
Pollution Control -- 0.5%
USA Waste Services, Inc.* ............... 45,320 $ 1,750,485
-------------
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Railroads -- 0.2%
Wisconsin Central Transportation Corp.* 18,300 $ 681,675
-------------
Restaurants and Lodging -- 6.1%
Applebee's International, Inc.* ......... 66,700 $ 1,784,225
HFS, Inc.* .............................. 288,820 16,751,560
Hilton Hotels Corp. ..................... 43,700 1,160,781
Promus Hotel Corp.* ..................... 18,050 699,437
Wyndham Hotel Corp.* ..................... 12,700 414,338
-------------
$ 20,810,341
-------------
Special Products and Services -- 0.2%
SPX Corp. ................................. 10,400 $ 674,050
-------------
Stores -- 10.6%
American Stores Co. ..................... 32,900 $ 1,624,437
Consolidated Stores Corp.* ............... 57,750 2,006,812
Corporate Express, Inc.* .................. 279,600 4,036,725
Costco Cos., Inc.* ........................ 44,700 1,469,512
CVS Corp. ................................. 59,900 3,069,875
Dillard's, Inc., "A" ..................... 38,700 1,339,988
Hollywood Entertainment Corp.* ............ 28,400 649,650
Home Depot, Inc. ........................ 42,100 2,902,269
Micro Warehouse, Inc.* .................. 23,900 409,288
Office Depot, Inc.* ..................... 44,700 868,856
Rite Aid Corp. ........................... 145,400 7,251,825
Smith's Food and Drug Centers, Inc., "B"* 72,800 3,903,900
Staples, Inc.* ........................... 272,300 6,330,975
-------------
$ 35,864,112
-------------
Telecommunications -- 9.9%
Aspect Telecommunications Corp.* ......... 3,100 $ 68,975
Cisco Systems, Inc.* ..................... 204,900 13,753,912
Genesys Telecommunications
Laboratory* ........................... 900 24,975
Heritage Media Corp.* ..................... 46,000 868,250
Intermedia Communications, Inc.* . 28,700 929,163
Lucent Technologies, Inc. ............... 60,600 4,366,987
Qwest Communications International, Inc.* 2,000 54,500
Tel-Save Holdings, Inc.* .................. 2,100 32,025
WorldCom, Inc.* ........................... 421,700 13,494,400
-------------
$ 33,593,187
-------------
Utilities -- Telephone -- 2.0%
MCI Communications Corp. .................. 120,200 $ 4,601,406
Sprint Corp. .............................. 40,800 2,147,100
-------------
$ 6,748,506
-------------
Total U.S. Stocks ................... $303,257,394
-------------
Foreign Stocks -- 7.5%
Brazil -- 1.2%
Telecomunicacoes Brasileiras S.A.,
ADR (Telecommunications) ............... 27,100 $ 4,109,037
-------------
Canada -- 0.6%
BioChem Pharma, Inc.
(Biotechnology)* ........................ 86,600 $ 1,926,850
-------------
Germany -- 1.5%
Sap AG, Preferred (Computer
Software - Systems) ..................... 25,200 $ 5,230,734
-------------
Italy
Gucci Group Designs N.V.
(Apparel and Textiles) .................. 700 $ 45,063
-------------
Japan -- 2.7%
Canon, Inc. (Office Equipment) ............ 90,000 $ 2,452,188
Nidec Corp. (Computer
Hardware -- Systems) .................. 8,000 391,232
Rohm Co. (Electronics) .................. 15,000 1,545,716
</TABLE>
13-EGS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Japan -- continued
Secom Co. (Consumer Goods and
Services) ........................ 48,000 $ 3,525,282
Sony Corp. (Electronics) ......... 8,000 697,930
Takeda Chemical Industries
(Medical and Health Products) ... 24,000 674,876
-------------
$ 9,287,224
-------------
Portugal -- 0.1%
Telecel -- Comunicacaoes Pessoais
S.A. (Telecommunication)* ...... 4,200 $ 348,607
-------------
Switzerland -- 0.2%
Kuoni Reisen Holdings AG
(Transportation) ............... 150 $ 513,769
-------------
United Kingdom -- 1.2%
Danka Business Systems, ADR
(Business Services) ............ 96,300 $ 3,936,262
-------------
Total Foreign Stocks ...................... $ 25,397,546
-------------
Total Stocks
(Identified Cost, $279,842,729) .......... $328,654,940
-------------
Short-Term Obligations -- 2.8%
Principal Amount
(000 Omitted)
Federal National Mortgage Assn.,
due 7/15/97 ..................... $ 3,000 $ 2,993,677
General Electric Co., due 7/01/97 ... 3,900 3,900,000
Student Loan Marketing Assn., due
8/29/97 ........................ 2,500 2,477,458
-------------
Total Short-Term Obligations, at Amortized Cost $ 9,371,135
-------------
Total Investments
(Identified Cost, $289,213,864) .......... $338,026,075
Other Assets,
Less Liabilities -- 0.2% 646,008
-------------
Net Assets -- 100.0% ...................... $338,672,083
=============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- June 30, 1997
MFS/Foreign & Colonial Emerging Markets
Equity Series
Stocks -- 91.3%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Argentina -- 2.7%
Banco de Galicia y Buenos Aires
S.A. de C.V., ADR (Banks and
Credit Cos.) ..................... 1,900 $ 50,113
Perez Companc S.A. (Oils) ............ 13,828 111,050
Siderar S.A.I.C., ADR (Steel)*## ... 1,600 51,600
Telecom Argentina Stet -- France
Telecom S.A., ADR
(Telecommunications) ............... 890 46,725
Telefonica de Argentina, ADR
(Utilities -- Telephone) ......... 1,970 68,211
Transportadora de Gas del Sur,
S.A., ADR (Pipelines) ............ 4,585 57,313
YPF Sociedad Anonima, ADR (Oils) 4,750 146,062
------------
$ 531,074
------------
Brazil -- 16.0%
Aracruz Celulos S.A.
(Paper Products) .................. 51,000 $ 103,279
Banco Bradesco S.A., Preferred
(Banks and Credit Cos.) ............ 11,300,000 113,886
CEMIG (Utilities - Electric) ......... 1,180,000 60,836
Centrais Eletricas Brasileiras S.A. -
Eletrobras, Preferred, "B"
(Utilities - Electric) ............ 857,000 511,095
Cia Cervejaria Brahma, Preferred
(Beveragess) ..................... 120,000 91,407
Cia Vale do Rio Doce
(Diversified Minerals) ............ 6,200 137,132
Cia Vale do Rio Doce, Preferred
(Diversified Minerals) ............ 4,600 0
Companhia Energetica de Sao
Paulo, Preferred (Utilities -
Electric) ........................ 1,830,000 122,397
Companhia Paranaense de
Energia - COPEL "B", Preferred
(Electrical) ..................... 5,700 105,899
ING Baring Financial Products
(Financial Services) ............... 2,270 353,619
Itausa Investimentos Itau S.A.
(Conglomerate) ..................... 78,000 71,732
Petroleo Brasileiro S.A., Preferred
(Oils) ........................... 2,009,000 558,022
Telecomunicacoes Braileiras S.A.
(Utilities - Telephone) ............ 6,368,000 863,658
------------
$ 3,092,962
------------
Chile -- 0.3%
Compania de Telecom de Chile
(Telecommunications) ............... 1,700 $ 56,100
------------
China -- 1.1%
Huaneng Power International Inc.,
ADR (Utilities - Electric)* ...... 4,000 $ 102,000
Qingling Motors Co. "H" (Automotive)* 142,000 73,319
Yizheng Chemical Fibre Co. Ltd.
(Textiles) ........................ 242,000 43,108
------------
$ 218,427
------------
Colombia -- 2.3%
Banco Ganadero S.A., ADR
(Banks and Credit Cos.) ............ 4,900 $ 176,400
Banco Industrial Colombiano, ADR
(Banks and Credit Cos.) ............ 8,900 160,200
Cementos Diamante S.A.
(Construction) ..................... 3,600 45,900
Cementos Diamante S.A., ADR
(Construction)## .................. 5,700 72,675
------------
$ 455,175
------------
</TABLE>
14-FCE
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Egypt -- 5.1%
Commercial International Bank,
GDR (Banks and Credit Cos.)## ........ 18,818 $ 390,474
North Cairo Mills (Food Products) ...... 4,000 208,235
Suez Cement Co. S A E, GDR
(Building Materials)## ............... 18,154 366,711
Torra for Cement (Construction) ......... 600 15,176
------------
$ 980,596
------------
Greece -- 3.3%
Attica Enterprises S.A. (Transportation) 7,300 $ 70,307
Ergo Bank (Bank and Credit Cos.) . 1,700 102,138
Hellenic Telecommunication
Organization S.A.
(Telecommunications) .................. 7,800 183,192
Intracom S.A. (Telecommunications) 2,900 132,101
Titan Cement Co. (Building
Materials) ........................... 2,960 146,044
------------
$ 633,782
------------
Hong Kong -- 8.1%
Bank of East Asia Ltd. (Banks and
Credit Cos.)* ........................ 25,000 $ 104,234
Cheung Kong Holdings Ltd.
(Real Estate) ........................ 32,000 315,993
Citic Pacific Ltd. (Conglomerate) ...... 9,000 56,228
Hong Kong & China Gas Ltd. (Gas) 94,800 189,673
HSBC Holdings PLC (Finance)* ............ 2,800 84,213
New World Development Co.
(Real Estate) ........................ 34,000 202,762
New World Infrastructure Ltd.
(Real Estate) ........................ 32,000 90,461
Swire Pacific Air Ltd., "A"
(Transportation) ..................... 36,500 328,627
Wharf Holdings Ltd. (Real Estate) ...... 33,000 143,127
Zhenhai Refining and Chemical Co.,
Ltd. (Oils) ........................... 150,000 54,215
------------
$ 1,569,533
------------
Hungary -- 2.8%
BorsodChem RT (Chemicals) ............... 1,950 $ 78,039
BorsodChem RT, GDR (Chemicals)* 950 37,050
Gedeon Richter RT
(Pharmaceuticals) ..................... 1,900 174,955
Mol Magyar Olaj Es Gazipari RT
(Oils)## .............................. 8,500 187,000
Pannonplast Muanuagipari
(Chemicals)* ........................ 1,470 73,783
------------
$ 550,827
------------
India -- 7.0%
Bajaj Auto Ltd. (Automotive)## ......... 2,300 $ 79,005
Bajaj Auto Ltd., GDR (Automotive) . 1,400 48,650
EIH Ltd, (Restaurant and
Lodging)## ........................... 6,450 105,458
EIH Ltd., GDR (Restaurant and
Lodging) .............................. 1,250 20,625
Industrial Credit & Investment Corp.
of India Ltd. (Finance)##* ............ 7,200 103,500
Industrial Credit & Investment Corp.
of India Ltd., GDR (Finance)* ......... 3,300 47,438
State Bank of India (Banks)* ............ 5,200 135,980
State Bank of India, GDR (Bank and
Credit Cos.)##* ..................... 7,950 207,892
Steel Authority of India Ltd.
(Steel)## ........................... 18,600 162,750
Tata Engineering & Locomotive Co.
Ltd. (Automotive)## .................. 2,600 39,910
Issuer Shares Value
<S> <C> <C>
India -- continued
Tata Engineering & Locomotive Co.
Ltd., GDR, (Automotive)## ............ 6,700 $ 101,505
Videsh Sanchar Nigam Ltd., GDR
(Telecommunications)##* ............... 15,480 320,436
------------
$ 1,373,149
------------
Israel -- 3.6%
ICL Israel Chemical (Chemicals) ......... 85,000 $ 100,298
ITC Ltd. (Conglomerate) ............... 3,200 57,600
ITC Ltd., GDR (Conglomerate) ............ 6,000 109,500
Makhteshim Chemical Works Ltd.
(Chemicals)* ........................ 9,000 59,099
NICE Systems Ltd., ADR
(Telecommunications)* ............... 3,100 93,000
Super Sol Ltd. (Supermarkets) ......... 17,500 56,306
Tadiran Telecommunications Ltd.
(Telecommunications) .................. 3,950 85,172
Teva Pharmaceutical Industries Ltd.,
ADR (Pharmaceuticals) ............... 2,000 129,500
------------
$ 690,475
------------
Malaysia -- 2.0%
DCB Holdings Berhad (Finance) ......... 8,000 $ 25,362
Genting Berhad (Entertainment) ......... 5,000 23,975
Malayan Banking Berhad (Banks
and Credit Cos.) ..................... 4,000 42,005
Malaysian Industrial Development
Finance Berhad ........................ 16,000 22,065
Petronas Gas Berhad
(Oil and Gas)##* ..................... 17,000 61,977
Resorts World Berhad
(Entertainment) ..................... 7,000 21,082
Sime Darby Berhad (Holding
Company) .............................. 12,000 39,945
Sungei Way Holdings Berhad
(Conglomerate) ........................ 15,400 29,048
Tenaga Nasional Berhad
(Utilities - Electric) ............... 19,000 92,609
United Engineers Berhad
(Engineering/Construction) ............ 4,000 28,849
------------
$ 386,917
------------
Mauritius -- 1.2%
Rogers & Co. (Finance) .................. 20,000 $ 93,359
State Bank of Mauritius (Banks) ......... 230,000 130,606
------------
$ 223,965
------------
Mexico -- 11.6%
Apasco S.A. (Building Materials) ...... 12,500 $ 89,894
Cemex S.A., "B" (Construction) ......... 48,000 208,933
Cifra S.A. de C.V. (Retail) ............ 68,000 126,974
Corporacion GEO S.A. de C.V.
(Housing)##* ........................ 5,000 96,250
Desc S.A. de C.V., "B" (Diversified
Operations) ........................... 27,000 198,259
Empresas ICA Sociedad
Controladora S.A., ADR
(Engineering/Construction) ............ 2,600 41,762
Fomento Economico Mexicano S.A.,
"B" (Beverages) ..................... 15,000 89,516
Gruma S.A. (Food Products)* ............ 18,360 85,708
Grupo Carso, "A1" (Conglomerate) ....... 34,000 238,077
Grupo Financiero Banamex, "B"
(Finance)* ........................... 32,000 82,362
Grupo Modelo S.A. de C.V. (Brewery) 16,500 114,705
Hylsamex S.A. de C.V. (Steel) ......... 27,700 142,938
Organiz Soriana (Real Estate) ......... 14,500 36,479
</TABLE>
15-FCE
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Mexico -- continued
Sanluis Corporacion S.A. de C.V.
(Diversified Operations) ........................ 6,900 $ 51,276
Telefonos de Mexico S.A.
(Utilities - Telephone) ........................ 217,000 520,734
Tubos de Acero de Mexico S.A. (Steel)* 7,000 128,766
------------
$ 2,252,633
------------
Morocco -- 1.8%
Banque Marocaine du Commerce
(Banks and Credit Cos.)* ........................ 1,200 $ 75,622
Brasserica du Maroc (Consumer
Goods and Services)* ........................... 350 68,927
Credit Eqdom (Financial Institutions) 300 33,085
ONA S.A. (Conglomerate)* ........................... 1,125 91,574
Societe Nationale d'Investissement
(Conglomerate) ................................. 1,000 76,147
------------
$ 345,355
------------
Pakistan -- 1.2%
Hub Power Co. Ltd., GDR
(Utilities - Electric)* ........................ 5,000 $ 122,500
Pakistan Telecommunications Corp.,
GDR (Utilities - Telephone)* ..................... 1,660 119,520
------------
$ 242,020
------------
Peru -- 2.3%
Alicorp S.A. (Food Products)* ..................... 42,900 $ 71,958
Compania de Minas Buenaventura,
ADR (Mining) .................................... 3,100 61,031
Credicorp Ltd. (Conglomerate) ..................... 7,020 154,440
Telefonica del Peru S.A., ADR
(Telecommunications) ........................... 6,150 161,053
------------
$ 448,482
------------
Philippines -- 0.1%
Philippine National Bank (Banks and
Credit Cos.)* .................................... 2,250 $ 15,285
------------
Poland -- 2.5%
Agros S.A. (Food Products)* ........................ 4,111 $ 109,335
Bank Handlowy Warszawie S.A.,
GDR (Banks and Credit Cos.) ..................... 1,280 15,872
Bank Slaski S.A. w Katowicach
(Banks and Credit Cos.) ........................ 735 52,500
Bydgoska Fabryka Kabli S.A.
(Electrical Equipment) ........................... 4,000 29,422
Elektrim Spolka Akcyjna S.A.
(Electrical Equipment) ........................... 16,106 140,010
Exbud S.A. (Construction)* ........................ 3,233 32,527
Stomil Olsztyn S.A.
(Tires and Rubber)* .............................. 3,600 34,468
Zywiec (Brewery) ................................. 1,192 76,085
------------
$ 490,219
------------
Portugal -- 4.3%
Banco Espirito Santo e Comercial de
Lisboa S.A. (Banks and Credit Cos.) 3,243 $ 73,544
Cimentos de Portugal S.A. (Building
Materials) ....................................... 7,800 181,896
Jeronimo Martins & Filho S.A. (Retail) 1,000 69,898
Portugal Telecom S.A.
(Utilities - Telephone) ........................ 7,578 305,877
Sonae Investimentos-Sociedade
Gestora de Participacoes Sociais,
S.A. (Diversified Operations) .................. 1,900 79,489
Telecel - Comunicacaoes Pessoais
S.A. (Telecommunication)* ........................ 1,431 118,775
------------
$ 829,479
------------
Issuer Shares Value
<S> <C> <C>
Russia -- 4.2%
Lukoil Oil Co., ADR (Oils) ........................ 7,700 $ 600,600
Rostelecom, RDC
(Telecommunications)* ........................... 2 77,600
Surgutneftegaz (Oil and Gas) ..................... 2,300 131,399
------------
$ 809,599
------------
South Africa -- 4.9%
Anglo American Corp. of South
Africa Ltd. (Mining) ........................... 1,800 $ 108,480
De Beers Centenary AG
(Diamonds - Precious Stones) ..................... 5,150 190,257
Liberty Life Association of Africa
Ltd. (Insurance)* .............................. 5,522 149,803
Nedcor Ltd. (Banks and Credit Cos.)* 7,000 154,775
Sasol Ltd. (Oils) ................................. 11,400 149,603
South African Breweries Ltd. (Brewery) 6,200 190,417
------------
$ 943,335
------------
Taiwan -- 1.4%
Taipei Fund (Finance)* ........................... 22 $ 272,800
------------
Venezuela -- 1.5%
Compania Anonima Nacional
Telefonos de Venezuela, ADR
(Telecommunications) ........................... 6,600 $ 284,632
------------
Total Stocks
(Identified Cost, $15,716,809) ................ $ 17,696,821
------------
Warrants
Hellenic Telecommunication
Organization S.A.
(Telecommunications)*
(Identified Cost, $0) ........................... 7,800 $ 0
------------
Short-Term Obligations -- 13.2%
Principal Amount
(000 Omitted)
Federal Home Loan Mortgage
Corp., due 7/17/97 .............................. $ 600 $ 598,555
Federal National Mortgage Assn.,
due 7/09/97 - 7/22/97 ........................... 1,060 1,057,355
Student Loan Marketing, due 7/31/97 900 895,965
------------
Total Short-Term Obligations, at Amortized Cost .............. $ 2,551,875
------------
Total Investments
(Identified Cost, $18,268,684) ............................. $ 20,248,696
Other Assets,
Less Liabilities -- (4.5)% (879,036)
------------
Net Assets -- 100.0% ...................................... $ 19,369,660
============
</TABLE>
See portfolio footnotes and notes to financial statements
16-FCE
<PAGE>
Portfolio of Investments -- June 30, 1997
MFS/Foreign & Colonial International Growth Series
Stocks -- 93.0%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Argentina -- 0.5%
Banco de Galicia y Buenos Aires S.A.
de C.V., ADR (Banks and Credit Cos.) 1,650 $ 43,519
CAPEX S.A. (Electric) ..................... 5,000 47,004
------------
$ 90,523
------------
Australia -- 4.1%
Capral Aluminum Ltd. (Metals) ............ 64,040 $ 233,624
Futuris Corp. Ltd. (Commercial
Services) .............................. 77,896 125,318
News Corp. (Media) ........................ 20,028 96,058
Western Mining ADS
(Holding Company) ..................... 40,624 256,206
------------
$ 711,206
------------
Austria -- 1.3%
OMV AG (Oil and Gas) ..................... 1,800 $ 230,666
------------
Belgium -- 0.5%
Generale de Banque (Finance) ............ 200 $ 77,004
------------
Brazil -- 2.0%
Centrais Eletricas Brasile, ADR
(Utilities - Electric) .................. 2,100 $ 63,525
Ing Baring Financial Products
(Financial) ........................... 660 102,814
Petroleo Brasileiro S.A., Preferred (Oils) 180,000 49,997
Telecomunicacoes Brasileiras S.A.,
ADR (Telecommunications) ............... 800 121,300
------------
$ 337,636
------------
Chile -- 0.5%
Banco Santander Chile, ADR
(Banks and Credit Cos.) ............... 5,680 $ 83,780
------------
China -- 0.3%
Huaneng Power International, Inc.,
ADR (Utilities - Electric)* ............ 2,200 $ 56,100
------------
Egypt -- 0.6%
Suez Cement Co., GDR
(Building Materials)## .................. 4,840 $ 97,768
------------
Finland -- 0.1%
Oy Tamro AB (Pharmaceuticals)## . 2,460 $ 17,068
------------
France -- 7.0%
Accor (Lodging) ........................... 1,700 $ 254,638
Compagnie de St. Gobain
(Building Materials) .................. 500 72,936
Dexia France (Finance) .................. 1,040 101,257
Filipacchi Medias (Publishing) ............ 100 21,226
Guilbert S.A. (Distributing) ............ 140 19,826
Lafarge SA, Bearer Shares
(Building Materials) .................. 1,040 64,701
Legrand (Electric) ........................ 100 17,617
Michelin, "B" (Tires) ..................... 4,200 252,286
Societe Nationale Elf Aquitaine (Oils) . 800 86,332
Strafor-Facom S.A. (Office
Equipment) .............................. 260 17,658
TOTAL S.A., "B" (Oils)* .................. 2,700 272,987
Union des Assurances Federales
S.A. (Insurance) ........................ 300 35,285
------------
$ 1,216,749
------------
Germany -- 5.3%
Bayer AG (Chemicals) ..................... 1,360 $ 52,263
Buderus AG (Manufacturing) ............... 140 77,064
Deutsche Bank AG (Banks) .................. 1,480 86,475
Deutsche Telekom AG
(Utilities - Telephone)* ............... 5,175 124,627
Issuer Shares Value
<S> <C> <C>
Germany -- continued
Fresenius AG (Medical Supplies) ......... 497 $ 112,851
Mannesmann AG (Diversified
Machinery) .............................. 230 102,471
Moebel Walther AG (Furniture) ............ 780 45,619
Siemens AG (Electrical Equipment) . 1,380 81,938
VEBA AG (Oil and Gas) ..................... 1,300 73,051
Volkswagen AG (Automotive) ............... 200 153,326
------------
$ 909,685
------------
Greece -- 0.6%
Hellenic Telecommunication
Organization S.A.
(Telecommunications) .................. 4,200 $ 98,642
------------
Hong Kong -- 5.6%
Associated International Hotels
(Lodging) .............................. 60,000 $ 41,435
Cheung Kong Holdings Ltd.
(Real Estate) ........................... 20,000 197,496
China Resources Enterprises
(Real Estate) ........................... 12,000 58,861
HSBC Holdings PLC (Finance) ............... 6,000 180,457
Li & Fung Ltd. (Wholesale) ............... 182,000 204,389
New World Development Co.
(Real Estate) ........................... 15,000 89,454
Swire Pacific Air Ltd., "A"
(Transportation) ........................ 16,000 144,056
Wharf Holdings Ltd. (Real Estate) ......... 13,000 56,383
------------
$ 972,531
------------
Hungary -- 0.6%
Pannonplast Muanuagipari
(Chemicals) ........................... 2,220 $ 111,427
------------
India -- 1.0%
State Bank of India, GDR (Bank and
Credit Cos.)## ........................ 2,400 $ 62,760
Videsh Sanchar Nigam Ltd., GDR
(Telecommunications)## .................. 5,490 113,643
------------
$ 176,403
------------
Indonesia -- 0.6%
Ciputra Development
(Real Estate) ........................... 105,000 $ 104,741
------------
Israel -- 0.5%
ICL Israel Chemical (Chemicals) ......... 76,700 $ 90,505
------------
Italy -- 3.7%
Gucci Group Designs N.V.
(Apparel and Textiles) .................. 2,300 $ 148,063
Industrie Natuzzi S.p.A., ADR
(Consumer Goods and Services) . 9,700 248,562
Telecom Italia Mobile S.p.A.
(Telecommunications) .................. 49,600 160,641
Telecom Italia S.p.A.
(Telecommunications Services) ......... 24,700 79,342
------------
$ 636,608
------------
Japan -- 11.6%
Aeon Credit Service Co. Ltd.
(Financial Services) .................. 1,200 $ 78,072
Aiphone Co. Ltd.
(Telecommunications) .................. 2,400 41,918
ALBIS Co. Ltd. (Food) ..................... 3,000 26,199
Ariake Japan Co. Ltd. (Food) ............ 1,000 38,250
Canon, Inc. (Office Equipment) ............ 5,000 136,233
Chofu Seisakusho Co. (Machines) .......... 1,100 18,924
</TABLE>
17-FCI
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Japan -- continued
Daimei Telecom Engineer Corp.
(Telecommunications) ............ 3,000 $ 27,770
Daiwa Industries Co. Ltd.
(Distributor) ..................... 2,000 18,514
DDI Corp. (Telecommunications) ...... 8 59,104
Diamond Computer Service Co.
(Computers - Software) ............ 2,000 41,394
Exedy Corp. (Automotive Parts) ...... 3,000 38,250
Fuji Photo Film Co. (Photographic
Products) ........................ 2,000 80,517
Fujisawa Pharmaceuticals
(Pharmaceuticals) ............... 12,000 123,657
Fukuda Denshi (Electronics) ......... 2,000 41,044
Hitachi Zosen Tomioka (Machinery)* 9,000 35,840
Ito-Yokado Co. Ltd. (Retail) ...... 1,000 58,074
Keyence Corp. (Electronics) ......... 600 89,075
Kyocera Corp. (Electronics) ......... 2,000 158,938
Mandom (Cosmetics) .................. 2,200 26,129
Marubeni Corp.
(Distribution/Wholesale) ......... 14,000 63,575
Matsuda Sangyo Co. Ltd. (Food) ...... 3,000 55,017
Mitsubishi Estate Co. Ltd.
(Real Estate) ..................... 4,000 57,986
Mitsubishi Heavy Industries Ltd.
(Aerospace/Defense) ............... 7,000 53,733
Miura Co. (Machines) ............... 2,000 28,294
NAC Co. Ltd. (Commercial
Services)* ........................ 5,300 74,518
NEC Corp. (Computers) ............... 3,000 41,918
Nichiha (Building and Construction) 2,000 31,438
NKK Corp. (Steel)* .................. 24,000 51,559
Oi Electric Co. (Electronics) ...... 3,000 25,648
Omron Corp. (Electronics) ......... 3,000 63,663
Ricoh Co. Ltd. (Office/Business
Equipment) ........................ 8,000 104,794
Sato Corp. (Machines) ............... 2,220 39,162
Sawako Corp.
(Engineering/Construction) ...... 1,000 18,164
TDK Corp. (Electronics) ............ 1,000 73,443
TKC Corp. (Computer Software
and Services) ..................... 3,100 77,696
------------
$ 1,998,510
------------
Malaysia -- 1.5%
Malaysian Industrial Development
Finance Berhad (Finance) ......... 59,000 $ 81,363
Petronas Gas Berhad
(Oil and Gas)## .................. 49,000 178,641
------------
$ 260,004
------------
Mauritius -- 0.5%
State Bank of Mauritius (Banks) ... 166,000 $ 94,264
------------
Mexico -- 0.6%
Gruma S.A. (Food Products)* ......... 11,373 $ 53,091
Sanluis Corporacion S.A. de C.V.
(Diversified Operations) ......... 7,000 52,019
------------
$ 105,110
------------
Netherlands -- 7.0%
ABN Amro Holdings N.V. (Finance) ... 5,640 $ 105,184
Ahrend Groep N.V. (Furniture and
Home Appliances) .................. 2,000 135,032
Akzo Nobel (Chemicals) ............ 1,820 249,468
Hagemeyer (Consumer Products) ...... 604 31,208
Royal Dutch Petroleum (Oils) ...... 800 41,987
Stork NV (Machinery) ............... 3,865 157,554
Issuer Shares Value
<S> <C> <C>
Netherlands -- continued
Vendex International N.V. (Retail) ... 4,600 $ 251,974
Verenigde Nederlandse
Uitgeversbedrijven Verenigd Bezit
(Publishing) ..................... 10,490 231,983
------------
$ 1,204,390
------------
Pakistan -- 0.6%
Hub Power Co. Ltd., GDR
(Utilities - Electric)** ......... 1,900 $ 46,550
Pakistan Telecommunications Corp.,
GDR (Utilities - Telephone)* ...... 800 57,600
------------
$ 104,150
------------
Peru -- 0.6%
Credicorp Ltd. (Conglomerate)* ...... 4,815 $ 105,930
------------
Philippines -- 0.4%
Pilipino Telegraph & Telephone
Corp. (Telecommunications) ...... 120,000 $ 60,341
------------
Poland -- 0.1%
Bank Handlowy Warszawie S.A.,
GDR (Banks and Credit Cos.) ...... 1,710 $ 21,204
------------
Portugal -- 1.1%
Portugal Telecom S.A.
(Utilities - Telephone) ......... 3,500 $ 141,273
Telecel - Comunicacaoes Pessoais
S.A. (Telecommunication) ......... 600 49,801
------------
$ 191,074
------------
Russia -- 0.4%
Lukoil Oil Co., ADR (Oils) ......... 970 $ 75,660
------------
Singapore -- 1.8%
City Developments Ltd.
(Real Estate) ..................... 14,000 $ 137,139
Development Bank of Singapore
Ltd. (Banks) ..................... 6,000 75,567
Overseas-Chinese Banking Corp.
Ltd. (Finance) .................. 4,800 49,706
Wing Tai Holdings Ltd.
(Holding Company) ............... 16,000 46,124
------------
$ 308,536
------------
Spain -- 0.7%
Cristaleria Espanola S.A.
(Glass Products) .................. 480 $ 41,382
Telefonica de Espana
(Utilities - Telephone) ......... 2,500 72,297
------------
$ 113,679
------------
Sweden -- 4.5%
Autoliv AB (Automotive) ............ 1,820 $ 70,145
Enator AB (Computer Services)* ...... 1,400 25,029
Ericsson LM, "B"
(Telecommunications) ............ 9,100 358,978
Munksjo AB (Forest and Paper
Products) ........................ 2,380 24,512
PLM AB (Packaging and
Containers) ..................... 1,160 20,062
Sparbanken Sverige AB, (Banks
and Credit Cos.) .................. 8,900 198,316
Volvo AB, "B" (Automobiles) ......... 3,120 83,669
------------
$ 780,711
------------
Switzerland -- 6.7%
Ciba Specialty AG (Chemicals) ...... 790 $ 73,058
Fotolabo S.A. (Leisure) ............ 120 38,224
Kuoni Reisen Holdings AG
(Transportation) .................. 54 184,957
</TABLE>
18-FCI
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Switzerland -- continued
Lindt & Spruengli AG (Food) ...... 8 $ 175,367
Logitech International (Electrical
Equipment) ..................... 580 96,548
Nestle AG, Registered Shares
(Food and Beverage Products) ... 190 250,678
Novartis AG (Pharmaceuticals) ...... 190 303,781
Roche Holdings AG
(Pharmaceuticals) ............... 3 27,137
-------------
$ 1,149,750
-------------
Thailand -- 0.5%
TelecomAsia Corp. Ltd.
(Utilities - Telephone) ......... 37,000 $ 46,812
TelecomAsia Corp. Ltd
(Utilities - Telephone)* ......... 26,000 31,579
-------------
$ 78,391
-------------
United Kingdom -- 18.9%
ASDA Property Holdings PLC
(Real Estate) .................. 8,240 $ 18,829
BAA PLC (Transportation) ......... 15,080 138,857
Blick PLC (Electrical) ............ 2,480 10,108
British Petroleum PLC (Oil and Gas) 11,360 141,172
British Telecommunications PLC
(Telecommunications) ............ 18,580 137,857
BTR PLC (Holding Company) ......... 33,480 114,458
Bullough PLC (Manufacturing) ...... 10,620 19,081
Caradon PLC (Holding Company) ..... 4,680 15,649
Carlton Communications PLC
(Broadcasting) .................. 15,160 128,245
David Brown Group PLC
(Engineering/Construction) ...... 4,720 16,882
Devro International PLC (Food) ... 5,060 28,536
Fine Art Developement (Retail) ... 11,100 50,781
Forth Ports PLC (Harbor
Transportation Services) ......... 5,100 48,361
Glaxo Wellcome PLC
(Pharmaceuticals) ............... 6,540 135,183
Grand Metropolitan PLC (Food
and Beverage Products)* ......... 126,000 1,211,567
Hazlewood Foods PLC (Food) ......... 8,220 15,316
Inchcape PLC (Commercial
Services) ........................ 7,600 35,781
Independent Insurance Group PLC
(Insurance) ..................... 2,720 38,236
Lloyds TSB Group PLC (Banks and
Credit Cos.) ..................... 15,740 161,562
Marley PLC (Building Materials) ... 7,820 16,132
Midland Independent Newspapers
PLC (Publishing) ............... 16,940 50,586
National Westminster (Finance) ... 2,700 36,271
Pliva DD (Medical)## ............... 6,500 104,000
Roxboro Group PLC
(Manufacturing) .................. 4,100 12,414
Sainsbury (J.) PLC (Retail) ...... 6,400 38,755
Serco Group PLC (Commercial
Services) ........................ 2,100 24,455
Seton Healthcare Group PLC
(Medical Supplies) ............... 5,080 36,340
SIG PLC (Building Materials) ...... 5,900 31,409
Smith (W.H.) Group PLC (Retail) ... 2,000 12,011
Storehouse PLC (Retail)* ......... 29,540 92,511
T & S Stores PLC (Retail) ......... 5,760 14,565
Tesco PLC (Retail) ............... 16,280 100,480
Unilever PLC (Consumer Goods) ...... 5,200 148,706
Vardon PLC (Entertainment) ......... 19,640 34,960
Issuer Shares Value
<S> <C> <C>
United Kingdom -- continued
Walker Greenbank PLC
(Maufacturing) .................. 11,880 $ 10,870
Wardle Storeys PLC (Chemicals) ... 5,640 38,280
-------------
$ 3,269,206
-------------
Venezuela -- 0.7%
Compania Anonima Nacional
Telefonos de Venezuela, ADR
(Telecommunications)* ............ 2,760 $ 119,025
-------------
Total Stocks
(Identified Cost, $15,442,979) $ 16,058,978
-------------
Warrants
Hellenic Telecommunication
Organization S.A.
(Telecommunications)*
(Identified Cost, $0) ............ 4,200 $ 0
-------------
Short-Term Obligations -- 20.8%
Principal Amount
(000 Omitted)
Federal Farm Credit Bank, due
8/07/97 ........................ $ 500 $ 497,220
Federal Home Loan Bank, due
7/14/97 - 7/24/97 ............... 1,100 1,097,248
Federal Home Loan Mortgage
Corp., due 7/17/97 ............... 500 498,789
Federal National Mortgage Assn.,
due 7/11/97 ..................... 700 698,942
Student Loan Marketing, due 7/31/97 800 796,413
-------------
Total Short-Term Obligations,
at Amortized Cost ......................... $ 3,588,612
-------------
Total Investments
(Identified Cost, $19,031,591) ............... $ 19,647,590
Other Assets,
Less Liabilities -- (13.8)% (2,378,394)
-------------
Net Assets -- 100.0% ......................... $ 17,269,196
=============
</TABLE>
See portfolio footnotes and notes to financial statements
19-FCI
<PAGE>
Portfolio of Investments -- June 30, 1997
Managed Sectors Series
Stocks -- 96.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Energy -- 9.9%
Apache Corp. ................................. 107,000 $ 3,477,500
BJ Services Co.* .............................. 74,800 4,011,150
Camco International, Inc. ..................... 81,000 4,434,750
Cooper Cameron Corp.* ........................ 190,000 8,882,500
Occidental Petroleum Corp. ..................... 154,700 3,877,169
Weatherford Enterra, Inc.* ..................... 120,000 4,620,000
-------------
$ 29,303,069
-------------
Leisure -- 21.7%
Aerial Communications Inc.* .................. 200,000 $ 1,700,000
AirTouch Communications, Inc.* ............... 100,000 2,737,500
Harrah's Entertainment, Inc.* .................. 427,900 7,809,175
HFS, Inc.* .................................... 95,900 5,562,200
Hilton Hotels Corp. ........................... 172,500 4,582,031
Host Marriott Corp.* ........................... 276,000 4,916,250
ITT Corp.* .................................... 61,000 3,724,812
LIN Television Corp.* ........................ 71,200 3,141,700
La Quinta Inns, Inc. ........................... 111,500 2,439,063
Promus Hotel Corp.* ........................... 128,600 4,983,250
Telephone & Data Systems, Inc. ............... 588,000 22,307,250
-------------
$ 63,903,231
-------------
Medical and Health Technology and Services -- 13.5%
Aetna, Inc. .................................... 17,100 $ 1,750,613
AmeriSource Health Corp. "A"* .................. 50,100 2,498,737
Bristol-Myers Squibb Co. ..................... 75,000 6,075,000
Cardinal Health, Inc. ........................ 22,100 1,265,225
Cigna Corp. .................................... 21,400 3,798,500
Genesis Health Ventures, Inc.* ............... 99,100 3,344,625
McKesson Corp. ................................. 25,900 2,007,250
Medpartners, Inc.* ........................... 38,200 826,075
Mid Atlantic Medical Services, Inc.* 24,600 382,838
Smith's Food and Drug Centers,
Inc., "B"* ................................. 58,000 3,110,250
St. Jude Medical, Inc.* ........................ 102,600 4,001,400
United Healthcare Corp. ........................ 205,000 10,660,000
-------------
$ 39,720,513
-------------
Technology -- 37.5%
3Com Corp.* .................................... 93,500 $ 4,207,500
ADT Ltd.* .................................... 586,000 19,338,000
Analog Devices, Inc.* ........................ 98,500 2,616,406
Ascend Communications, Inc.* .................. 72,300 2,846,813
Aspect Telecommunications Corp.* .............. 125,200 2,785,700
Atmel Corp.* ................................. 290,000 8,120,000
Cisco Systems, Inc.* ........................... 31,000 2,080,875
Compaq Computer Corp.* ........................ 71,400 7,086,450
Computer Associates International,
Inc. ....................................... 145,000 8,074,687
Digital Equipment Corp.* ..................... 217,500 7,707,656
International Business Machines
Corp. ....................................... 55,000 4,960,313
Loral Space & Communications
Corp.* ....................................... 306,000 4,590,000
Lucent Technologies, Inc. ..................... 15,600 1,124,175
Microsoft Corp.* .............................. 25,000 3,159,375
Oracle Systems Corp.* ........................ 87,000 4,382,625
Sony Corp. .................................... 46,000 4,013,099
Spectrum Holobyte, Inc.* ..................... 602,900 2,939,138
Sun Microsystems, Inc.* ........................ 141,300 5,259,009
Synopsys, Inc.* .............................. 123,800 4,549,650
Teradyne, Inc.* .............................. 22,800 894,900
Texas Instruments, Inc. ........................ 49,700 4,177,906
WorldCom, Inc.* .............................. 178,800 5,721,600
-------------
$110,635,877
-------------
Issuer Shares Value
<S> <C> <C>
Other -- 14.1%
AGCO Corp. .................................... 142,000 $ 5,103,125
Equitable of Iowa Cos. ........................ 105,000 5,880,000
Hanover Compressor ........................... 1,300 25,350
Jefferson Smurfit Corp.* ..................... 100,000 1,600,000
Keystone International, Inc. .................. 107,500 3,728,906
Office Depot, Inc.* ........................... 150,000 2,915,625
Philip Morris Cos., Inc. ..................... 80,000 3,550,000
RJR Nabisco Holdings Corp. ..................... 102,000 3,366,000
Stone Container Corp. ........................ 183,500 2,626,344
Tyco International Ltd. ........................ 74,100 5,154,580
Waste Management, Inc. ........................ 85,000 2,730,625
Wisconsin Central Transportation
Corp.* ....................................... 132,500 4,935,625
-------------
$ 41,616,180
-------------
Total Stocks (Identified Cost, $253,705,844) $285,178,870
-------------
Convertible Bond -- 0.1%
Principal Amount
(000 Omitted)
Spectrum Holobyte, Inc., 6.5s, 2002
(Identified Cost $270,000)## .................. $ 270 $ 232,538
-------------
Short-Term Obligations -- 2.2%
Federal Home Loan Mortgage
Corp., due 7/02/97 ........................... $ 300 $ 299,955
Federal National Mortgage Assn.,
due 7/07/97 ................................. 2,000 1,998,196
General Electric Co., due 7/01/97 ............ 4,340 4,340,000
-------------
Total Short-Term Obligations,
at Amortized Cost ..................................... $ 6,638,151
-------------
Total Investments
(Identified Cost, $260,613,995) ......................... $292,049,559
Other Assets,
Less Liabilities -- 1.0% 2,885,142
-------------
Net Assets -- 100.0% ..................................... $294,934,701
=============
</TABLE>
See portfolio footnotes and notes to financial statements
20-MSS
<PAGE>
Portfolio of Investments -- June 30, 1997
Research Series
Stocks -- 98.0%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 89.4%
Aerospace -- 4.2%
General Dynamics Corp. ............... 36,500 $ 2,737,500
Lockheed-Martin Corp. .................. 74,700 7,736,119
United Technologies Corp. ............ 129,900 10,781,700
-------------
$ 21,255,319
-------------
Agricultural Products -- 0.8%
Case Corp. ........................... 59,300 $ 4,084,288
-------------
Apparel and Textiles -- 0.9%
Reebok International Ltd. ............ 91,200 $ 4,263,600
-------------
Banks and Credit Companies -- 4.5%
BankBoston Corp. ..................... 35,200 $ 2,536,600
Chase Manhattan Corp. .................. 75,412 7,319,677
Comerica, Inc. ........................ 79,600 5,412,800
Fleet/Norstar Financial Group, Inc. ... 71,000 4,490,750
Household International, Inc. ......... 24,000 2,818,500
-------------
$ 22,578,327
-------------
Building -- 0.9%
Newport News Shipbuilding, Inc. ...... 223,900 $ 4,352,056
-------------
Business Machines -- 0.5%
Sun Microsystems, Inc.* ............... 72,200 $ 2,687,194
-------------
Business Services -- 1.3%
AccuStaff, Inc.* ..................... 90,300 $ 2,138,981
ADT Ltd.* .............................. 90,700 2,993,100
DST Systems, Inc.* ..................... 39,200 1,305,850
-------------
$ 6,437,931
-------------
Chemicals -- 4.1%
Air Products & Chemicals, Inc. ......... 96,600 $ 7,848,750
du Pont (E. I.) de Nemours & Co., Inc. 93,700 5,891,388
Ferro Corp. ........................... 43,300 1,604,806
Praxair, Inc. ........................ 95,100 5,325,600
-------------
$ 20,670,544
-------------
Computer Software -- Personal
Computers -- 4.5%
Electronic Arts, Inc.* ............... 115,800 $ 3,893,775
First Data Corp. ..................... 143,900 6,322,606
Microsoft Corp.* ..................... 96,200 12,157,275
-------------
$ 22,373,656
-------------
Computer Software -- Systems -- 7.8%
Adobe Systems, Inc. .................. 81,100 $ 2,843,569
BMC Software, Inc.* .................. 76,300 4,225,112
Cadence Design Systems, Inc.* ......... 100,600 3,370,100
Compaq Computer Corp.* ............... 73,100 7,255,175
Computer Associates International,
Inc. ................................. 92,000 5,123,250
Compuware Corp.* ..................... 74,200 3,543,050
Oracle Systems Corp.* .................. 188,550 9,498,206
Sybase, Inc.* ........................ 68,200 1,014,475
Synopsys, Inc.* ........................ 66,700 2,451,225
-------------
$ 39,324,162
-------------
Consumer Goods and Services -- 8.0%
Colgate-Palmolive Co. .................. 165,300 $ 10,785,825
Estee Lauder Cos., "A" ............... 62,400 3,135,600
Gillette Co. ........................... 97,300 9,219,175
Hertz Corp., "A"* ..................... 4,400 158,400
Philip Morris Cos., Inc. ............... 43,300 1,921,438
Procter & Gamble Co. .................. 57,000 8,051,250
Revlon, Inc., "A"* ..................... 68,600 3,554,337
Tyco International Ltd. ............... 52,100 3,624,206
-------------
$ 40,450,231
-------------
Containers -- 0.3%
Stone Container Corp. .................. 104,000 $ 1,488,500
-------------
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Defense Electronics -- 0.6%
Loral Space & Communications Corp.*...... 197,600 $ 2,964,000
-------------
Electronics -- 2.3%
Analog Devices, Inc.* .................. 81,233 $ 2,157,751
Intel Corp. ........................... 64,700 9,175,269
-------------
$ 11,333,020
-------------
Entertainment -- 1.1%
Clear Channel Communications, Inc.* 50,100 $ 3,081,150
Jacor Communications, Inc., "A"* ...... 67,000 2,562,750
-------------
$ 5,643,900
-------------
Financial Institutions -- 3.8%
Advanta Corp., "B" ..................... 99,100 $ 3,536,631
American Express Co., Inc. ............ 36,500 2,719,250
ARM Financial Group, Inc., "A" * ...... 2,400 48,000
Federal National Mortgage Assn. ...... 86,800 3,786,650
Franklin Resources, Inc. ............... 39,400 2,858,963
Morgan Stanley, Dean Witter,
Discover & Co.* ..................... 38,700 1,666,519
Union Planters Corp. .................. 85,310 4,425,456
-------------
$ 19,041,469
-------------
Food and Beverage Products -- 3.5%
Coca-Cola Co. ........................ 146,600 $ 9,895,500
Earthgrains Co. ........................ 36,300 2,379,919
McCormick & Co., Inc. .................. 117,100 2,956,775
Tyson Foods, Inc. ..................... 127,800 2,444,175
-------------
$ 17,676,369
-------------
Forest and Paper Products -- 1.5%
Kimberly-Clark Corp. .................. 146,100 $ 7,268,475
-------------
Industrial -- 1.0%
Keystone International, Inc. ......... 150,500 $ 5,220,469
-------------
Insurance -- 8.7%
Allstate Corp. ........................ 65,100 $ 4,752,300
Chubb Corp. ........................... 58,000 3,878,750
CIGNA Corp. ........................... 48,200 8,555,500
Conseco, Inc. ........................ 162,300 6,005,100
Equitable of Iowa Cos. ............... 44,300 2,480,800
Hartford Financial Services Group,
Inc. ................................. 62,900 5,204,975
Hartford Life, Inc., "A"* ............ 1,050 39,375
PennCorp Financial Group, Inc. ......... 126,000 4,851,000
Reliastar Financial Corp. ............ 6,200 453,375
Security-Connecticut Corp. ............ 45,200 2,488,825
Travelers Group, Inc. .................. 77,200 4,868,425
-------------
$ 43,578,425
-------------
Medical and Health Products -- 2.0%
Bristol-Myers Squibb Co. ............... 116,400 $ 9,428,400
Uromed Corp.* ........................ 196,500 687,750
-------------
$ 10,116,150
-------------
Medical and Health Technology and
Services -- 7.4%
Cardinal Health, Inc. .................. 39,300 $ 2,249,925
HBO & Co. .............................. 82,700 5,695,962
HealthSouth Corp.* ..................... 78,870 1,966,821
Horizon CMS Healthcare Corp.* ......... 139,400 2,796,712
Integrated Health Services, Inc. ...... 26,100 1,004,850
Pacificare Health Systems, Inc., "A"* 36,200 2,192,363
Pacificare Health Systems, Inc., "B" * 5,500 351,313
St. Jude Medical, Inc.* ............... 175,400 6,840,600
Tenet Healthcare Corp.* ............... 101,700 3,006,506
United Healthcare Corp. ............... 163,600 8,507,200
Vencor, Inc.* ........................ 61,800 2,611,050
-------------
$ 37,223,302
-------------
</TABLE>
21-RES
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Oil Services -- 1.0%
Burlington Resources Inc. ..................... 71,700 $ 3,163,762
Diamond Offshore Drilling, Inc.* ............... 23,700 1,851,563
-------------
$ 5,015,325
-------------
Oils -- 1.1%
Apache Corp. ................................. 54,700 $ 1,777,750
Chevron Corp. ................................. 48,400 3,578,575
-------------
$ 5,356,325
-------------
Pollution Control -- 1.0%
Browning Ferris Industries, Inc. ............... 84,000 $ 2,793,000
Waste Management, Inc. ........................ 68,300 2,194,138
-------------
$ 4,987,138
-------------
Railroads -- 2.4%
Burlington Northern Santa Fe
Railway Co. ................................. 56,300 $ 5,059,962
Wisconsin Central Transportation
Corp.* ....................................... 186,000 6,928,500
-------------
$ 11,988,462
-------------
Restaurants and Lodging -- 3.1%
Doubletree Corp.* .............................. 12,300 $ 505,838
HFS, Inc.* .................................... 129,900 7,534,200
Hilton Hotels Corp. ........................... 51,300 1,362,656
Host Marriott Corp.* ........................... 318,300 5,669,719
Promus Hotel Corp.* ........................... 16,850 652,937
-------------
$ 15,725,350
-------------
Stores -- 3.9%
Ann Taylor Stores Corp.* ..................... 74,900 $ 1,460,550
Gymboree Corp.* .............................. 122,400 2,937,600
Hollywood Entertainment Corp.* ............... 41,700 953,888
Home Depot, Inc. .............................. 56,500 3,894,969
Lowes Co., Inc. .............................. 66,700 2,476,238
Rite Aid Corp. ................................. 112,300 5,600,962
Staples, Inc.* ................................. 106,950 2,486,587
-------------
$ 19,810,794
-------------
Supermarkets -- 1.3%
Safeway, Inc.* ................................. 141,000 $ 6,503,625
-------------
Telecommunications -- 3.1%
Aspect Telecommunications Corp.* . 227,700 $ 5,066,325
Intermedia Communications, Inc.* . 5,700 184,537
Lucent Technologies, Inc. ..................... 57,100 4,114,769
Qwest Communications
International, Inc.* ........................ 2,900 79,025
WorldCom, Inc.* .............................. 198,700 6,358,400
-------------
$ 15,803,056
-------------
Utilities -- Electric -- 1.1%
Coastal Corp. ................................. 102,900 $ 5,472,994
-------------
Utilities -- Telephone -- 1.7%
MCI Communications Corp. ..................... 90,900 $ 3,479,766
Sprint Corp. ................................. 100,100 5,267,762
-------------
$ 8,747,528
-------------
Total U.S. Stocks ......................................... $ 449,441,984
-------------
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- 8.6%
Finland -- 0.1%
Huhtamaki Oy Group
(Food Company) .............................. 9,400 $ 404,915
-------------
France -- 0.4%
Union des Assurances Federales
S.A. (Insurance) ........................... 17,900 $ 2,105,345
-------------
Hong Kong -- 0.6%
Wharf Holdings Ltd. (Real Estate) ............ 719,000 $ 3,118,420
-------------
Italy -- 0.7%
Gucci Group Designs N.V.
(Apparel and Textiles) ..................... 53,600 $ 3,450,500
-------------
Japan -- 2.8%
Canon, Inc. (Office Equipment) ............... 191,000 $ 5,204,087
Sony Corp. (Electronics) ..................... 69,400 6,054,545
TDK Corp. (Electronics) ........................ 38,000 2,790,848
-------------
$ 14,049,480
-------------
Singapore -- 0.3%
DBS Land Limited (Real Estate) ............... 481,000 $ 1,521,214
-------------
Switzerland -- 1.2%
Novartis AG (Pharmaceuticals) .................. 3,626 $ 5,797,427
-------------
United Kingdom -- 2.5%
British Petroleum PLC, ADR (Oils) ............ 94,920 $ 7,107,135
Jarvis Hotels PLC (Restaurants and
Lodging)+ .................................... 831,200 1,922,070
Kwik-Fit Holdings PLC (Retail) ............... 574,400 2,570,489
Storehouse PLC (Retail)* ..................... 335,100 1,049,441
-------------
$ 12,649,135
-------------
Total Foreign Stocks ..................................... $ 43,096,436
-------------
Total Stocks (Identified Cost, $422,599,609) .............. $ 492,538,420
-------------
Short-Term Obligations -- 2.9%
Principal Amount
(000 Omitted)
Federal Home Loan Mortgage
Corp., due 7/03/97 ........................... $ 4,455 $ 4,453,659
Federal National Mortgage Assn.,
due 7/15/97 - 7/18/97 ........................ 6,675 6,659,345
General Electric Co., due 7/01/97 ............ 3,700 3,700,000
-------------
Total Short-Term Obligations, at
Amortized Cost ........................................ $ 14,813,004
-------------
Total Investments
(Identified Cost, $437,412,613) ......................... $ 507,351,424
Other Assets,
Less Liabilities -- (0.9)% (4,562,789)
-------------
Net Assets -- 100.0% ..................................... $ 502,788,635
=============
</TABLE>
See portfolio footnotes and notes to financial statements
22-RES
<PAGE>
Portfolio of Investments -- June 30, 1997
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Insurance -- 0.3%
ARM Financial Group, Inc., "A"* ... 100 $ 2,000
---------
Telecommunications -- 0.5%
Qwest Communications
International, Inc.* ............ 100 $ 2,725
---------
Total Stocks (Identified Cost, $3,700) ...... $ 4,725
---------
Short-Term Obligations -- 81.9%
Principal Amount
(000 Omitted)
Federal Farm Credit Bank, due
7/01/97 - 10/03/97 ............ $ 325 $322,182
Federal Home Loan Bank, due
7/24/97 ........................ 35 34,878
Federal Home Loan Mortgage
Corp., due 7/15/97 - 7/23/97 ... 47 46,864
Tennessee Valley Authority, due
8/19/97 ........................ 100 99,262
---------
Total Short-Term Obligations, at
Amortized Cost .......................... $503,186
---------
Total Investments
(Identified Cost, $506,886) .............. $507,911
Other Assets,
Less Liabilities -- 17.3% 106,347
---------
Net Assets -- 100.0% ....................... $614,258
=========
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- June 30, 1997
Research Growth and Income Series Total Return Series
Stocks -- 0.8% Stocks -- 56.3%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 50.2%
Aerospace -- 3.5%
AlliedSignal, Inc. ..................... 180,500 $ 15,162,000
General Dynamics Corp. ............... 98,850 7,413,750
Lockheed-Martin Corp. .................. 47,000 4,867,437
Raytheon Co. ........................... 189,400 9,659,400
United Technologies Corp. ............ 199,100 16,525,300
---------------
$ 53,627,887
---------------
Apparel and Textiles -- 0.4%
VF Corp. .............................. 72,000 $ 6,102,000
---------------
Automotive -- 2.0%
Dana Corp. ........................... 158,000 $ 6,004,000
Ford Motor Co. ........................ 246,289 9,297,410
General Motors Corp. .................. 34,236 1,906,517
Goodrich (B.F.) Co. .................. 294,100 12,738,206
---------------
$ 29,946,133
---------------
Banks and Credit Companies -- 6.0%
Bank of New York, Inc. ............... 219,760 $ 9,559,560
BankBoston Corp. ..................... 43,000 3,098,688
BB&T Corp.* ........................... 163,900 7,375,500
Chase Manhattan Corp. .................. 90,132 8,748,437
Fleet/Norstar Financial Group, Inc. ... 177,000 11,195,250
National City Corp. .................. 249,200 13,083,000
NationsBank Corp. ..................... 195,000 12,577,500
Northern Trust Corp. .................. 153,900 7,444,912
Norwest Corp. ........................ 187,300 10,535,625
PNC Bank Corp. ........................ 181,600 7,559,100
---------------
$ 91,177,572
---------------
Business Machines -- 1.1%
Digital Equipment Corp.* ............... 150,500 $ 5,333,344
International Business Machines
Corp. .............................. 133,800 12,067,087
---------------
$ 17,400,431
---------------
Cellular Telephones -- 0.2%
Telephone & Data Systems, Inc. ......... 76,900 $ 2,917,394
---------------
Chemicals -- 1.7%
Air Products & Chemicals, Inc. ......... 73,000 $ 5,931,250
Dow Chemical Co. ..................... 44,600 3,885,775
du Pont (E. I.) de Nemours & Co.,
Inc. ................................. 142,400 8,953,400
Rohm & Haas Co. ........................ 56,000 5,043,500
Witco Corp. ........................... 63,000 2,390,062
---------------
$ 26,203,987
---------------
Consumer Goods and Services -- 2.4%
Colgate-Palmolive Co. .................. 83,600 $ 5,454,900
Fortune Brands, Inc.* .................. 49,700 1,854,431
Hertz Corp., "A"* ..................... 8,600 309,600
Philip Morris Cos., Inc. ............... 392,000 17,395,000
Rubbermaid, Inc. ..................... 170,800 5,081,300
Service Corp. International ............ 34,833 1,145,135
Tyco International Ltd. ............... 76,700 5,335,444
---------------
$ 36,575,810
---------------
Electrical Equipment -- 1.9%
Cooper Industries, Inc. ............... 165,500 $ 8,233,625
General Electric Co. .................. 278,000 18,174,250
Honeywell, Inc. ........................ 33,000 2,503,875
---------------
$ 28,911,750
---------------
Financial Institutions -- 2.6%
American Express Co., Inc. ............ 154,800 $ 11,532,600
Edwards (A.G.), Inc. .................. 168,700 7,211,925
Federal Home Loan Mortgage Corp. 167,500 5,757,812
</TABLE>
23-TRS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Financial Institutions -- continued
Federal National Mortgage Assn. ......... 235,900 $ 10,291,137
Franklin Resources, Inc. ............... 67,250 4,879,828
---------------
$ 39,673,302
---------------
Food and Beverage Products -- 0.9%
Anheuser Busch Cos, Inc. ............... 39,000 $ 1,635,562
Dimon, Inc. ........................... 79,100 2,096,150
General Mills, Inc. ..................... 48,700 3,171,587
McCormick & Co., Inc. .................. 66,100 1,669,025
PepsiCo, Inc. ........................... 155,500 5,840,969
---------------
$ 14,413,293
---------------
Forest and Paper Products -- 0.6%
Weyerhaeuser Co. ........................ 188,800 $ 9,817,600
---------------
Insurance -- 4.3%
Allstate Corp. ........................ 84,100 $ 6,139,300
Chubb Corp. ........................... 153,200 10,245,250
Cigna Corp. ........................... 86,400 15,336,000
Lincoln National Corp. .................. 63,000 4,055,625
Nationwide Financial Services, Inc., "A" 112,000 2,975,000
St. Paul Cos., Inc. ..................... 110,400 8,418,000
Torchmark Corp. ........................ 141,000 10,046,250
Travelers Group, Inc. .................. 120,036 7,569,770
---------------
$ 64,785,195
---------------
Machinery -- 0.9%
Deere & Co., Inc. ..................... 207,500 $ 11,386,562
York International Corp. ............... 54,300 2,497,800
---------------
$ 13,884,362
---------------
Medical and Health Products -- 2.3%
American Home Products Corp. ............ 145,000 $ 11,092,500
Baxter International, Inc. ............ 47,300 2,471,425
Bristol-Myers Squibb Co. ............... 239,800 19,423,800
Rhone-Poulenc Rorer, Inc. ............... 18,200 1,653,925
---------------
$ 34,641,650
---------------
Medical and Health Technology and
Services -- 0.5%
Columbia/HCA Healthcare Corp. ......... 30,800 $ 1,210,825
United Healthcare Corp. ............... 121,100 6,297,200
---------------
$ 7,508,025
---------------
Metals and Minerals -- 0.7%
Aluminum Cos. of America ............... 112,100 $ 8,449,537
Phelps Dodge Corp. ..................... 21,800 1,857,087
---------------
$ 10,306,624
---------------
Oils -- 4.7%
Amoco Corp. ........................... 60,700 $ 5,277,106
Atlantic Richfield Co. .................. 115,800 8,163,900
Chevron Corp. ........................... 91,800 6,787,463
Exxon Corp. ........................... 223,600 13,751,400
Mobil Corp. ........................... 72,600 5,072,925
Occidental Petroleum Corp. ............ 184,000 4,611,500
Sun Co., Inc. ........................... 25,558 792,298
Tenneco, Inc. ........................... 36,000 1,626,750
Texaco, Inc. ........................... 131,900 14,344,125
Ultramar Diamond Shamrock Corp. . 51,700 1,686,712
USX-Marathon Group ..................... 306,900 8,861,737
---------------
$ 70,975,916
---------------
Photographic Products -- 0.7%
Eastman Kodak Co. ..................... 139,000 $ 10,668,250
---------------
Pollution Control -- 1.4%
Browning Ferris Industries, Inc. ...... 313,100 $ 10,410,575
Waste Management, Inc. .................. 315,300 10,129,013
---------------
$ 20,539,588
---------------
Issuer Shares Value
<S> <C> <C>
Railroads -- 1.4%
Burlington Northern Santa Fe
Railway Co. ........................... 84,000 $ 7,549,500
Illinois Central Corp. .................. 228,600 7,986,712
Norfolk Southern Corp. .................. 59,400 5,984,550
---------------
$ 21,520,762
---------------
Real Estate -- 0.4%
Arden Realty, Inc. ..................... 63,200 $ 1,643,200
Meditrust Corp. ........................ 103,200 4,115,100
National Health Investors, Inc. ......... 23,600 926,300
---------------
$ 6,684,600
---------------
Real Estate Investment Trusts -- 0.8%
Boston Properties, Inc.* ............... 83,900 $ 2,307,250
Hospitality Properties Trust ............ 155,000 4,746,875
TriNet Corporate Realty Trust, Inc. ... 151,400 5,005,663
---------------
$ 12,059,788
---------------
Special Products and Services -- 0.1%
Stanley Works ........................... 23,900 $ 956,000
---------------
Stores -- 1.7%
May Department Stores Co. ............... 64,000 $ 3,024,000
Penney (J.C.), Inc. ..................... 86,300 4,503,781
Rite Aid Corp. ........................ 275,690 13,750,039
Sears, Roebuck & Co. .................. 85,000 4,568,750
---------------
$ 25,846,570
---------------
Telecommunications -- 0.1%
TeleCommunications, Inc.* ............... 30,938 $ 734,766
---------------
Utilities -- Electric -- 2.8%
Carolina Power & Light Co. ............ 153,000 $ 5,488,875
CMS Energy Corp. ........................ 85,000 2,996,250
DPL, Inc. .............................. 72,000 1,773,000
Duke Energy Corp. ..................... 148,935 7,139,572
FPL Group, Inc. ........................ 168,000 7,738,500
GPU, Inc. .............................. 157,900 5,664,662
Pacificorp .............................. 76,900 1,691,800
Pinnacle West Capital Corp. ............ 165,000 4,960,313
Portland General Corp. .................. 66,700 2,647,156
Texas Utilities Co. ..................... 55,500 1,911,281
---------------
$ 42,011,409
---------------
Utilities -- Gas -- 1.4%
Coastal Corp. ........................... 194,000 $ 10,318,375
Eastern Enterprises ..................... 76,700 2,660,531
Pacific Enterprises ..................... 60,000 2,017,500
UGI Corp. .............................. 75,000 1,659,375
Williams Cos., Inc. ..................... 115,700 5,061,875
---------------
$ 21,717,656
---------------
Utilities -- Telephone -- 2.7%
BellSouth Corp. ........................ 157,100 $ 7,285,512
GTE Corp. .............................. 265,600 11,653,200
MCI Communications Corp. ............... 89,500 3,426,172
SBC Communications, Inc. ............... 101,003 6,249,561
Sprint Corp. ........................... 233,600 12,293,200
---------------
$ 40,907,645
---------------
Total U.S. Stocks ................................. $ 762,515,965
---------------
Foreign Stocks -- 6.1%
Canada -- 0.1%
Canadian National Railway Co.
(Railroad) ........................... 28,100 $ 1,229,375
---------------
Germany -- 0.4%
Henkel KGaA (Consumer Goods
and Services) ........................ 112,200 $ 6,369,152
---------------
Italy -- 0.3%
Eni S.p.A, ADR (Oils) .................. 70,200 $ 3,992,625
---------------
</TABLE>
24-TRS
<PAGE>
Stocks -- continued
Bonds -- 32.4%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Netherlands -- 1.2%
Akzo Nobel (Chemicals) ............ 51,200 $ 7,017,987
Royal Dutch Petroleum Co., ADR
(Oils)* ........................... 205,600 11,179,500
-------------
$ 18,197,487
-------------
Spain -- 0.4%
Repsol S.A., ADR (Oils) ............ 133,800 $ 5,678,138
-------------
Sweden -- 0.2%
Astra AB, "A", ADR
(Pharmaceuticals) ............... 1 $ 25
Volvo AB, ADR (Automotive) ......... 101,000 2,701,750
-------------
$ 2,701,775
-------------
Switzerland -- 0.6%
Novartis AG (Pharmaceuticals) ...... 6,232 $ 9,964,028
-------------
United Kingdom -- 2.9%
British Petroleum PLC, ADR (Oils) ... 246,828 $ 18,481,246
Gallaher Group PLC, ADR
(Consumer Products)* ............ 49,700 916,344
Grand Metropolitan PLC (Food and
Beverage Products)* ............... 968,700 9,314,640
Smithkline Beecham PLC, ADR
(Medical and Health Products) ... 178,000 16,309,250
-------------
$ 45,021,480
-------------
Total Foreign Stocks ........................... $ 93,154,060
-------------
Total Stocks (Identified Cost, $640,435,328) ... $855,670,025
-------------
Convertible Preferred Stocks -- 1.5%
Agricultural Products -- 0.4%
Case Corp. ........................ 35,300 $ 5,811,262
-------------
Consumer Goods and Services -- 0.2%
Corning Delaware LP ............... 42,500 $ 3,697,500
-------------
Electronics -- 0.2%
Loral Space & Communications Ltd. ... 68,600 $ 3,404,275
-------------
Financial Institutions -- 0.1%
Finova Finance Trust ............... 21,200 $ 1,219,000
-------------
Metals and Minerals -- 0.1%
Timet Capital Trust I## ............ 27,600 $ 1,462,800
-------------
Restaurants and Lodging -- 0.4%
Host Marriott Financial Trust## ... 116,700 $ 6,768,600
-------------
Utilities -- Gas -- 0.1%
Enron Corp. ........................ 39,200 $ 749,700
-------------
Total Convertible Preferred Stocks
(Identified Cost, $18,959,231) ............... $ 23,113,137
-------------
Preferred Stocks -- 0.3%
Oils -- 0.1%
USX-Marathon Capital, LLC, 8.75% . 63,100 $ 1,585,387
-------------
Utilities -- Electric -- 0.1%
Long Island Lighting Co., 7.95% ... 80,000 $ 2,090,000
-------------
Utilities -- Gas -- 0.1%
El Paso Tennessee Gas Pipeline
Co., 8.25% ........................ 16,000 $ 864,000
-------------
Total Preferred Stocks
(Identified Cost, $4,333,100) ............... $ 4,539,387
-------------
</TABLE>
Bonds -- 32.4%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- 29.6%
Aerospace -- 0.1%
Northrop Grumman Corp., 9.375s,
2024 ................................. $1,145 $ 1,256,603
---------------
Airlines -- 1.5%
Continental Airlines, Inc., 9.5s, 2001 ... $2,375 $ 2,464,063
Continental Airlines Pass-Through
Trust, 9.5s, 2013 ..................... 833 942,708
Continental Airlines Pass-Through
Trust, 10.22s, 2014 .................. 2,771 3,255,342
Continental Airlines Pass-Through
Trust, 7.461s, 2016## ............... 400 403,264
Delta Air Lines, Inc., 8.5s, 2002 ...... 1,600 1,689,120
Delta Air Lines, Inc., 9.75s, 2021 ...... 5,250 6,293,700
Jet Equipment Trust, 9.41s, 2010## ...... 1,000 1,144,270
Jet Equipment Trust, 8.64s, 2012## ..... 962 1,046,263
Jet Equipment Trust, 11.44s, 2014## ..... 1,200 1,487,100
Jet Equipment Trust, 10.69s, 2015## ..... 1,000 1,204,180
Northwest Airlines, Inc., 8.7s, 2007 .... 400 407,600
United Airlines Pass-Thru Trust,
7.27s, 2013 ........................... 2,189 2,153,496
---------------
$ 22,491,106
---------------
Automotive -- 0.1%
Ford Motor Co., 7.7s, 2097 ............ $1,890 $ 1,904,818
---------------
Banks and Credit Companies -- 1.6%
Beaver Valley II Funding Corp.,
8.25s, 2003 ........................... $3,000 $ 3,035,400
Beaver Valley II Funding Corp.,
8.625s, 2007 ........................ 1,132 1,157,153
Beaver Valley II Funding Corp.,
9s, 2017 .............................. 1,700 1,774,902
BT Institutional Capital Trust, 8.09s,
2026## .............................. 1,600 1,551,472
Capital One Bank, 6.97s, 2002 ......... 4,800 4,742,400
Capital One Financial Corp.,
7.25s, 2003 ........................... 1,500 1,455,705
Colonial Capital II, 8.92s, 2027 ...... 1,115 1,134,457
Contifinancial Corp., 8.375s, 2003 ..... 425 436,688
First Chicago NBD Institutional
Capital, 7.95s, 2026## ............... 850 830,781
Greenpoint Capital Trust I, 9.1s,
2027## .............................. 750 762,825
MBNA Capital, 8.278s, 2026 ............ 3,700 3,580,231
Riggs National Corp., 8.5s, 2006 ...... 1,000 1,040,000
State Street Bank & Trust,
7.94s, 2026## ........................ 1,700 1,691,789
Washington Mutual Capital I,
8.375s, 2027 ........................ 1,000 1,016,070
---------------
$ 24,209,873
---------------
Building -- 0.1%
Owens Corning Fiberglass Corp.,
8.875s, 2002 ........................ $ 800 $ 860,520
Owens Corning Fiberglass Corp.,
9.9s, 2015## ........................ 800 887,000
---------------
$ 1,747,520
---------------
Business Machines -- 0.1%
International Business Machines
Corp., 7.125s, 2096 .................. $1,400 $ 1,319,332
---------------
Cellular Telephones -- 0.1%
360 Communications Co.,
7.5s, 2006 ........................... $ 800 $ 798,048
360 Communications Co.,
7.6s, 2009 ........................... 395 395,016
---------------
$ 1,193,064
---------------
</TABLE>
25-TRS
<PAGE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Consumer Goods and Services -- 0.2%
Philip Morris Cos., Inc., 7.75s, 2027 ... $ 2,692 $ 2,639,883
---------------
Corporate Asset Backed -- 2.2%
AT&T Universal Card Master Trust,
5.881s, 2003 ........................ $18,000 $ 18,000,000
AT&T Universal Card Master Trust,
5.9s, 2004 ........................... 6,000 5,992,500
BCF LLC, 7.75s, 2026## ............... 890 856,712
Merrill Lynch Mortgage Investors,
Inc., 8.129s, 2023+ .................. 514 446,377
Time Warner Pass-Through Asset
Trust, 6.1s, 2001## .................. 7,925 7,591,199
---------------
$ 32,886,788
---------------
Electronics -- 0.2%
Harman International Industries,
Inc., 7.32s, 2007 .................. $ 2,300 $ 2,300,000
---------------
Entertainment -- 1.2%
NWCG Holdings Corp., 0s, 1999 ......... $ 2,810 $ 2,470,664
Paramount Communications, Inc.,
7.5s, 2002 ........................... 7,745 7,759,251
Time Warner, Inc., 9.15s, 2023 ......... 6,607 7,297,366
---------------
$ 17,527,281
---------------
Financial Institutions -- 2.2%
AFC Capital Trust I, 8.207s, 2027## $ 2,465 $ 2,512,994
Bear Stearns Cos., Inc., 6.5s, 2000 ... 1,200 1,197,816
First Empire Capital Trust I,
8.234s, 2027 ........................ 2,200 2,205,544
First Merchants Acceptance Corp.,
9.5s, 2006 ........................... 640 512,000
Ford Motor Credit Co., 7.2s, 2007 ...... 850 854,590
HSBC Americas Capital Trust II,
8.38s, 2027## ........................ 2,550 2,582,538
Humpuss Funding Corp.,
7.72s, 2009## ........................ 782 769,187
Lehman Brothers Holdings, Inc.,
6.4s, 1999 ........................... 3,000 2,984,010
Lehman Brothers Holdings, Inc.,
7.125s, 2003 ........................ 1,600 1,597,536
Lehman Brothers Holdings, Inc.,
7.375s, 2004 ........................ 250 251,530
Lehman Brothers Holdings, Inc.,
7.5s, 2026 ........................... 4,830 4,963,549
Leucadia Capital Trust I,
8.65s, 2027## ........................ 2,600 2,601,105
Salomon, Inc., 7.2s, 2004 ............ 860 855,416
Salton Sea Funding Corp.,
7.37s, 2005 ........................ 1,575 1,565,314
Salton Sea Funding Corp.,
7.84s, 2010 ........................ 1,575 1,572,480
Salton Sea Funding Corp.,
8.3s, 2011 ........................... 800 828,192
Southern Co. Capital Trust I, 8.19s,
2037## .............................. 2,520 2,551,727
St. George Funding Co.,
8.485s, 2049## ..................... 1,700 1,740,375
United Cos. Financial Corp.,
7.7s, 2004 ........................... 850 837,939
---------------
$ 32,983,842
---------------
Food and Beverage Products -- 0.2%
RJR Nabisco, Inc., 8.25s, 2004 ......... $ 750 $ 738,172
RJR Nabisco, Inc., 8.5s, 2007 ......... 1,500 1,516,875
RJR Nabisco, Inc., 8.75s, 2007 ......... 1,150 1,164,559
---------------
$ 3,419,606
---------------
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Forest and Paper Products -- 0.7%
Boise Cascade Co., 9.85s, 2002 ......... $ 2,440 $ 2,721,381
Boise Cascade Co., 7.35s, 2004 ......... 1,500 1,504,425
Boise Cascade Co., 7.43s, 2005 ......... 1,000 1,004,420
Georgia Pacific Corp., 9.875s, 2021 . 2825 3,130,015
Georgia Pacific Corp., 9.5s, 2022 ...... 2240 2,417,072
---------------
$ 10,777,313
---------------
Insurance -- 1.4%
Conseco Finance Trust III,
8.796s, 2027 ........................ $ 995 $ 1,028,840
Equitable Life Assurance Society,
7.7s, 2015## ........................ 2,533 2,519,752
Jackson National Life Insurance
Co., 8.15s, 2027## .................. 1,075 1,097,586
Liberty Mutual Insurance Co.,
8.2s, 2007## ........................ 4,007 4,268,297
Nationwide Mutual Life Insurance
Co., 7.5s, 2024## .................. 3,200 3,024,320
NGC Corp. Capital Trust,
8.316s, 2027## ..................... 4,100 4,239,810
Providian Capital I, 9.525s, 2027## . 1,550 1,611,628
Travelers Capital III, 7.75s, 2036 ... 3,250 3,152,630
---------------
$ 20,942,863
---------------
Manufacturing
Toro Co., 7.8s, 2027 .................. $ 675 $ 669,937
---------------
Medical and Health Technology
and Services -- 0.1%
Tenet Healthcare Corp., 8s, 2005 ...... $ 2,250 $ 2,255,625
---------------
Oil Services -- 0.1%
Clark Oil Refining Corp.,
10.5s, 2001 ........................ $ 1,000 $ 1,030,000
Transcontinental Gas Pipe Line,
7.25s, 2026 ........................ 1,215 1,166,400
---------------
$ 2,196,400
---------------
Oils -- 0.7%
Chesapeake Energy Corp.,
7.875s, 2004 ........................ $ 2,450 $ 2,376,500
Enserch Exploration, Inc.,
7.54s, 2009## ........................ 1,500 1,485,270
Louisiana Land & Exploration Co.,
7.625s, 2013 ........................ 1,500 1,512,930
Louisiana Land & Exploration Co.,
7.65s, 2023 ........................ 900 898,875
Oryx Energy Co., 8.375s, 2004 ......... 2,300 2,396,807
Transocean Offshore, Inc., 8s, 2027 2,155 2,227,429
---------------
$ 10,897,811
---------------
Precious Metals and Minerals
Freeport McMoRan Copper & Gold,
7.5s, 2006 ........................... $ 570 $ 565,907
---------------
Railroads -- 0.1%
Norfolk Southern Corp., 7.8s, 2027 .... $ 690 $ 708,699
Norfolk Southern Corp., 7.05s, 2037 .... 1,270 1,288,974
---------------
$ 1,997,673
---------------
Real Estate Investment Trusts -- 0.2%
Loewen Group International, Inc.,
7.5s, 2001 ........................... $ 2,900 $ 2,929,000
---------------
Restaurants and Lodging -- 0.5%
Circus Circus Enterprises, Inc.,
6.7s, 2096 ........................... $ 1,700 $ 1,644,257
Hilton Hotels Corp., 7.95s, 2007 ...... 5,850 5,993,968
---------------
$ 7,638,225
---------------
</TABLE>
26-TRS
<PAGE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Telecommunications -- 1.1%
Comcast Cellular Holdings, Inc.,
9.5s, 2007## ........................ $ 1,000 $ 1,005,000
TCI Communications Financing III,
9.65s, 2027 ........................ 3,000 3,171,030
TCI Communications, Inc.,
6.463s, 2003 ........................ 2,730 2,716,350
Tele-Communications, Inc.,
7.38s, 2001 ........................ 750 752,235
Tele-Communications, Inc.,
7.385s, 2001 ........................ 5,890 5,908,671
Tele-Communications, Inc.,
7.49s, 2003 ........................ 3,400 3,379,022
---------------
$ 16,932,308
---------------
Transportation -- 0.1%
Federal Express Corp., 7.65s, 2014 $ 1,200 $ 1,220,124
---------------
U.S. Federal Agencies -- 3.2%
Federal National Mortgage Assn.,
TBA, 7s, 2009[sec][sec] ............ $25,000 $ 24,945,250
Federal National Mortgage Assn.,
TBA, 8s, 2026[sec][sec] ............ 23,572 24,094,420
---------------
Total U.S. Federal Agencies ........................ $ 49,039,670
---------------
U.S. Government Guaranteed -- 6.8%
Government National Mortgage
Association -- 1.5%
GNMA, 7.5s, 2026 ..................... $ 3,022 $ 3,030,779
GNMA, 8s, 2017 - 2025 ............... 13,636 14,103,713
GNMA, 8.5s, 2026 ..................... 4,888 5,078,543
---------------
$ 22,213,035
---------------
U.S. Treasury Obligations -- 5.3%
U.S. Treasury Notes, 9.25s, 1998 ...... $ 3,900 $ 4,039,542
U.S. Treasury Notes, 9.125s, 1999 .... 17,950 18,900,811
U.S. Treasury Notes, 7.25s, 2004 ...... 2,873 2,994,643
U.S. Treasury Notes, 6.5s,
2002 - 2006 ........................ 4,883 4,899,364
U.S. Treasury Notes, 6.25s,
2002 - 2007 ........................ 15,004 14,706,798
U.S. Treasury Notes, 6.625s,
2002 - 2007 ........................ 3,350 3,379,529
U.S. Treasury Bonds, 12.375s, 2004 1,900 2,510,071
U.S. Treasury Bonds, 9.875s, 2015 .... 5,900 7,758,500
U.S. Treasury Bonds, 6.5s, 2026 ...... 15,610 14,970,927
U.S. Treasury Bonds, 6.625s, 2027 .... 6,250 6,115,250
---------------
$ 80,275,435
---------------
Total U.S. Government Guaranteed ..................... $ 102,488,470
---------------
Utilities -- Electric -- 4.1%
Central Maine Power Co.,
7.45s, 1999 ........................ $ 800 $ 795,080
Cleveland Electric Illuminating Co.,
9.25s, 1999 ........................ 1,645 1,716,821
Cleveland Electric Illuminating Co.,
9.375s, 2017 ........................ 3,125 3,259,031
Cleveland Electric Illuminating Co.,
9s, 2023 ........................... 2,325 2,431,229
Comed Financing II, 8.5s, 2027## . 1,500 1,494,660
Commonwealth Edison Co.,
6.4s, 2005 ........................ 1,600 1,496,496
Commonwealth Edison Co.,
7.625s, 2007 ........................ 3,635 3,644,233
Connecticut Light & Power Co.,
7.75s, 2002## ..................... 3,320 3,305,724
Edison Mission Energy Funding
Corp., 7.33s, 2008## ............... 475 473,827
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Utilities - Electric -- continued
El Paso Electric Co., 8.9s, 2006 ...... $ 525 $ 558,668
First PV Funding Corp., 10.3s, 2014 1,086 1,145,252
First PV Funding Corp.,
10.15s, 2016 ........................ 1,421 1,497,777
Long Island Lighting Co., 7.5s, 2007 1,000 995,880
Long Island Lighting Co., 8.9s, 2019 7,170 7,473,076
Long Island Lighting Co., 9s, 2022 ... 10,180 11,147,303
Long Island Lighting Co.,
9.625s, 2024 ........................ 394 403,850
Louisiana Power & Light Co.,
10.67s, 2017 ........................ 1,475 1,570,781
Midland Cogeneration Venture
Corp., 10.33s, 2002 ............... 615 658,289
Midland Funding Corp. II, "A",
11.75s, 2005 ........................ 1,750 2,036,948
Montana Power Co., 7.875s, 2026 ...... 200 198,000
Niagara Mohawk Power Corp.,
6.875s, 2001 ........................ 3,300 3,208,198
Niagara Mohawk Power Corp.,
8.77s, 2018 ........................ 4,150 4,187,350
North Atlantic Energy Corp.,
9.05s, 2002 ........................ 4,751 4,806,492
System Energy Resources,
7.38s, 2000## ..................... 1,800 1,787,112
Texas & New Mexico Power Co.,
12.5s, 1999## ..................... 900 965,133
Waterford 3 Funding, 8.09s, 2017 ...... 1,500 1,500,000
---------------
$ 62,757,210
---------------
Utilities -- Gas -- 0.7%
California Energy, Inc., 10.25s, 2004 $ 1,450 $ 1,559,040
Coastal Corp., 7.42s, 2037 ............ 2,143 2,053,744
Oryx Energy Co., 10s, 2001 ............ 900 981,684
Tennessee Gas Pipeline Company,
7.625s, 2037 ........................ 2,126 2,103,486
Utilicorp United, Inc., 8.45s, 1999 ... 3,790 3,932,428
---------------
$ 10,630,382
---------------
Total U.S. Bonds ............................... $ 449,818,634
---------------
Foreign Bonds -- 2.8%
Argentina -- 0.3%
Hidroelectrica Alicura, 8.375s, 1999
(Utilities - Electric)## ............ $ 4,296 $ 4,338,960
Republic of Argentina, 9.25s, 2001 ... 910 949,130
--------------
$ 5,288,090
---------------
Canada -- 0.2%
Fairfax Financial Holdings Ltd.,
8.3s, 2026 (Insurance) ............ $ 1,500 $ 1,556,970
Gulf Canada Resources Ltd.,
8.25s, 2017 (Oils) .................. 800 820,000
---------------
$ 2,376,970
---------------
Chile -- 0.2%
Empresa Electrica del Norts,
7.75s, 2006 (Utilities - Electric)## $ 575 $ 564,650
Empresa Nacional de Electric,
7.325s, 2037 (Utilities - Electric) 1,610 1,614,653
Enersis S.A., 6.9s, 2006
(Utilities - Electric) ............ 750 728,460
---------------
$ 2,907,763
---------------
China -- 0.1%
Dao Heng Bank Ltd., 7.75s, 2007
(Banks and Credit Cos.)## ......... $ 1,500 $ 1,504,035
---------------
</TABLE>
27-TRS
<PAGE>
Convertible Bonds -- 0.7%
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Colombia -- 0.5%
Financiera Energetica Nacional
Colombia, 9.375s, 2006
(Finance)## ........................ $ 550 $ 588,500
Oleoducto Central S.A.,
9.35s, 2005 (Oil Services)## ...... 1,200 1,270,500
Republic of Colombia, 8.75s, 1999 .... 1,000 1,045,870
Republic of Colombia, 7.625s, 2007 1,250 1,220,000
Republic of Colombia,
8.66s, 2016## ..................... 600 636,000
Republic of Colombia, 8.7s, 2016 ...... 2,840 2,857,750
---------------
$ 7,618,620
---------------
Indonesia -- 0.2%
Indah Kiat Finance Mauthius Ltd.,
10s, 2007 (Forest and Paper
Products)## ........................ $ 1,300 $ 1,291,511
PT Polysindo Eka Perkasa,
13s, 2001 (Textiles) ............... 1,663 1,885,426
---------------
$ 3,176,937
---------------
Mexico -- 0.2%
Banco Commercial S.A., 8.25s,
2007 (Banks and Credit Cos.)## . $ 1,190 $ 1,190,595
Pepsi-Gemex S.A. de C.V.,
9.75s, 2004 (Beverages)## ......... 850 872,312
Petroleum GEO Services A/S,
7.5s, 2007 (Oil Services) ......... 425 428,226
United Mexican States,
9.875s, 2007 ........................ 270 288,225
---------------
$ 2,779,358
---------------
Panama -- 0.1%
Republic of Panama,
7.875s, 2002## ..................... $ 940 $ 937,650
---------------
Qatar -- 0.1%
Ras Laffan Liquified Natural Gas,
8.294s, 2014 (Utilities - Gas)## ... $ 1,350 $ 1,404,000
---------------
Russia -- 0.1%
Russian Federation, 10s, 2007## ...... $ 2,000 $ 1,993,000
---------------
South Korea -- 0.4%
Korea Development Bank, 6.75s,
2005 (Banks and Credit Cos.) ......... $ 4,150 $ 4,021,018
Korea Electric Power Corp.,
7s, 2027 (Utilities - Electric) ... 2,485 2,436,319
---------------
$ 6,457,337
---------------
Thailand -- 0.4%
Industrial Finance Corp.,
7.375s, 2007 (Finance)## ............ $ 1,500 $ 1,465,605
Jasmine Submarine Telecom Ltd.,
8.483s, 2011
(Telecommunications)## ............ 2,500 2,545,550
LCI International, Inc., 7.25s, 2007
(Telecommunications) ............... 1,000 990,500
Total Access Communication Public
Co. Ltd., 8.375s, 2006
(Telecommunications)## ............ 800 785,520
---------------
$ 5,787,175
---------------
Total Foreign Bonds ................................. $ 42,230,935
---------------
Total Bonds (Identified Cost, $488,185,564) ......... $ 492,049,569
---------------
Convertible Bonds -- 0.7%
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Building Materials -- 0.1%
Cemex, 4.25s, 1997## .................. $ 1,000 $ 993,750
---------------
Financial Institutions -- 0.2%
Deutsche Bank Finance, 0s, 2017## $ 6,670 $ 3,051,525
---------------
Insurance -- 0.1%
Equitable Cos., Inc., 6.125s, 2024 . $ 1,300 $ 1,777,750
---------------
Oil Services -- 0.3%
Diamond Offshore Drilling, Inc.,
3.75s, 2007 ........................ $ 3,420 $ 3,915,900
---------------
Total Convertible Bonds
(Identified Cost, $8,507,916) ...... $ 9,738,925
---------------
Short-Term Obligations -- 9.1%
Coca-Cola Co., due 8/20/97 ............ $ 6,000 $ 5,954,250
Federal Home Loan Mortgage
Corp., due 7/09/97 - 8/15/97 ...... 28,510 28,396,927
Federal National Mortgage Assn.,
due 7/07/97 - 7/22/97 ............... 87,115 86,913,907
General Electric Co., due 7/01/97 ... 12,200 12,200,000
Morgan (J.P.) & Co., Inc.,
due 7/28/97 ........................ 5,475 5,452,251
---------------
Total Short-Term Obligations,
at Amortized Cost ............................ $ 138,917,335
---------------
Total Investments
(Identified Cost, $1,299,338,474) ............. $ 1,524,028,378
Other Assets,
Less Liabilities -- (0.3)% (3,893,522)
---------------
Net Assets -- 100.0% ............................... $ 1,520,134,856
===============
</TABLE>
See portfolio footnotes and notes to financial statements
28-TRS
<PAGE>
Portfolio of Investments -- June 30, 1997
Utilities Series
Stocks -- 84.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 60.6%
Real Estate Investment Trusts -- 11.6%
American General Hospitality Corp. 15,700 $ 388,575
Beacon Properties Corp. .................. 29,800 994,575
Boston Properties, Inc.* .................. 16,700 459,250
Boykin Lodging Co. ........................ 23,700 567,319
Brandywine Realty Trust .................. 32,400 656,100
Cornerstone Properties, Inc. ............ 23,100 355,162
FelCor Suite Hotels, Inc. ............... 21,300 793,425
First Industrial Realty Trust, Inc. ...... 15,500 453,375
Hospitality Properties Trust ............ 12,450 381,281
Innkeepers USA Trust ..................... 46,900 703,500
Liberty Property Trust .................. 13,000 323,375
Mid-America Apartment
Communities, Inc. ..................... 14,700 412,519
National Health Investors, Inc. ......... 12,600 494,550
Oasis Residential, Inc. .................. 16,000 376,000
Shurgard Storage Centers, Inc. ............ 6,000 168,000
Sovran Self Storage, Inc. ............... 19,000 555,750
Storage Trust Realty ..................... 32,900 871,850
TriNet Corporate Realty Trust, Inc. ...... 21,900 724,069
Winston Hotels, Inc. ..................... 39,100 588,944
------------
$10,267,619
------------
Utilities -- Electric -- 15.8%
Central Hudson Gas & Electric
Corp. ................................. 16,000 $ 551,000
Cinergy Corp. ........................... 19,000 661,437
CMS Energy Corp. ........................ 38,700 1,364,175
Dominion Resources, Inc. .................. 13,200 483,450
Edison International ..................... 20,700 514,913
Florida Progress Corp. .................. 22,000 688,875
FPL Group, Inc. ........................... 10,800 497,475
GPU, Inc. ................................. 13,300 477,138
Illinova Corp. ........................... 29,150 641,300
Long Island Lighting Co. .................. 28,000 644,000
Nipsco Industries, Inc. .................. 5,300 218,956
Pinnacle West Capital Corp. ............... 45,450 1,366,341
Portland General Corp. .................. 38,400 1,524,000
Public Service Co. of Colorado ............ 28,200 1,170,300
Public Service Co. of New Mexico ......... 85,500 1,528,312
Texas Utilities Co. ..................... 19,400 668,087
Utilicorp United, Inc. .................. 34,800 1,013,550
------------
$14,013,309
------------
Utilities -- Gas -- 19.0%
Brooklyn Union Gas Co. .................. 22,200 $ 635,475
Coastal Corp. ........................... 22,900 1,217,994
Columbia Gas System, Inc. ............... 39,600 2,583,900
Eastern Enterprises ..................... 7,000 242,813
Energen Corp. ........................... 25,700 865,769
Enron Oil & Gas Co. ..................... 33,200 601,750
KN Energy, Inc. ........................... 30,700 1,293,237
National Fuel Gas Co. ..................... 8,500 356,469
NGC Corp. ................................. 94,800 1,463,475
NICOR, Inc. .............................. 5,500 197,313
ONEOK, Inc. .............................. 19,000 611,562
Questar Corp. ........................... 24,000 969,000
Sierra Pacific Resources .................. 63,200 2,022,400
Sonat, Inc. .............................. 22,600 1,158,250
Tejas Gas Corp.* ........................ 35,000 1,373,750
Union Pacific Resources Group, Inc. 19,700 490,037
Western Gas Resources, Inc. ............... 21,600 421,200
Williams Cos., Inc. ..................... 7,500 328,125
------------
$16,832,519
------------
Issuer Shares Value
<S> <C> <C>
Utilities -- Telephone -- 14.2%
Ameritech Corp. ........................... 5,300 $ 360,069
BellSouth Corp. ........................... 13,500 626,063
Brooks Fiber Properties, Inc.* ............ 35,300 1,191,375
Cellular Communications
International, Inc.* .................. 23,900 800,650
GTE Corp. ................................. 22,500 987,188
Intermedia Communications, Inc.* ......... 37,700 1,220,537
LCI International, Inc.* .................. 75,700 1,655,937
NYNEX Corp. .............................. 23,800 1,371,475
Qwest Communications International, Inc.* 10,500 286,125
SBC Communications, Inc. .................. 7,568 468,270
Teleport Communications Group, Inc., "A"* 17,200 586,950
US West Communications Group ............ 34,600 1,303,987
WorldCom, Inc.* ........................... 54,930 1,757,760
------------
$12,616,386
------------
Total U.S. Stocks ................................. $53,729,833
------------
Foreign Stocks -- 24.1%
Argentina -- 2.0%
Central Costanera, ADR
(Utilities - Electric)## ............... 17,100 $ 598,500
Telecom Argentina Stet - France
Telecom S.A., ADR
(Utilities - Telephone) ............... 8,500 446,250
Telefonica de Argentina, ADR
(Utilities - Telephone) ............... 21,000 727,125
------------
$ 1,771,875
------------
Brazil -- 6.9%
Companhia de Electricidade do
Estado da Bahia-COELBA
(Utilities - Electric)* ............... 14,600 $ 1,342,685
Companhia Paranaense de
Energia - COPEL "B", Preferred
(Utilities - Electric)* ............... 76,100 1,413,841
Companhia Riograndense
Telecom, "A", Preferred
(Utilities - Telephone)* ............... 652,200 987,539
Light - Servicos de Electricidade
S.A. (Utilities - Electric) ............ 1,100 547,435
Telecomunicacoes Brasileiras S.A.,
ADR (Utilities - Telephone) ............ 11,800 1,789,175
------------
$ 6,080,675
------------
Canada -- 1.0%
BCE, Inc. (Utilities - Telephone) ......... 33,400 $ 935,200
------------
Chile -- 2.4%
Chilectra S.A., ADR
(Utilities - Electric) .................. 53,500 $ 1,598,313
Empresa Nacional de Electricidad
S.A., ADR (Utilities - Electric) ...... 24,000 541,500
------------
$ 2,139,813
------------
Greece -- 0.5%
Hellenic Telecommunication
Organization S.A.
(Utilities - Telephone) ............... 18,600 $ 436,842
------------
Hong Kong -- 0.4%
Asia Satellite Telecommunications
Holdings Ltd.
(Utilities - Telephone) ............... 125,000 $ 383,213
------------
Indonesia -- 0.5%
PT Indosat, ADR (Utilities - Electric) ... 13,700 $ 410,144
------------
</TABLE>
29-UTS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Italy -- 2.2%
Stet Societa Finanziaria Telefonica
S.p.A. (Utilities - Telephone) ...... 75,100 $ 437,811
Telecom Italia S.p.A.
(Utilities - Telephone) ............... 350,000 693,528
Telecom Italia S.p.A., Saving Shares
(Utilities - Telephone) ............... 446,100 798,577
------------
$ 1,929,916
------------
Peru -- 1.4%
CPT Telefonica del Peru S.A., "B"
(Utilities - Telephone) ............... 139,200 $ 365,708
Telefonica del Peru S.A., ADR
(Utilities - Telephone) ............... 32,950 862,878
------------
$ 1,228,586
------------
Portugal -- 1.6%
Portugal Telecom S.A. (Utilities -
Telephone) ........................... 13,200 $ 532,803
Portugal Telecom S.A., ADR
(Utilities - Telephone) ............... 10,700 429,338
Telecel - Comunicacaoes Pessoais
S.A. (Cellular Telephones)* ......... 5,500 456,509
------------
$ 1,418,650
------------
Spain -- 0.8%
Iberdrola SA (Utilities - Electric) ... 54,000 $ 681,828
------------
United Kingdom -- 4.4%
Cable & Wireless Public PLC, ADR
(Utilities - Telephone) ............... 31,700 $ 885,619
National Grid Group PLC
(Utilities - Electric) ............... 250,000 902,503
National Power PLC
(Utilities - Electric) ............... 100,300 871,004
PowerGen PLC (Utilities - Electric)* ... 106,000 1,259,079
------------
$ 3,918,205
------------
Total Foreign Stocks .............................. $21,334,947
------------
Total Stocks (Identified Cost, $66,634,137) ......... $75,064,780
------------
Convertible Preferred Stocks -- 0.7%
Compania Inversiones Telephone,
7% (Utilities - Telephone)## ......... 3,800 $ 248,900
Aes Corp., 5.375%
(Utilities - Electric) ............... 6,600 388,575
------------
Total Convertible Preferred Stocks
(Identified Cost, $532,450) ........................ $ 637,475
------------
Warran
Hellenic Telecommunication
Organization S.A. (Utilities -
Telephone) (Identified Cost, $0)* . 13,800 $ 0
------------
Bonds -- 12.5%
Principal Amount
(000 Omitted)
U.S. Bonds -- 11.6%
Airlines -- 0.3%
Delta Air Lines, Inc., 8.5s, 2002 ...... $ 250 $ 263,925
------------
Entertainment -- 0.3%
Paramount Communications, Inc.,
7.5s, 2002 ........................... $ 250 $ 250,460
------------
Financial Institutions -- 1.0%
NGC Corp. Capital Trust,
8.316s, 2027## ........................ $ 830 $ 858,303
------------
</TABLE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Forest and Paper Products -- 0.8%
Boise Cascade Co., 7.43s, 2005 ...... $225 $ 225,995
Georgia Pacific Corp., 9.5s, 2022 ... 500 539,525
------------
$ 765,520
------------
U.S. Government Guaranteed -- 5.4%
Government National Mortgage Association -- 2.3%
GNMA, 7.5s, 2026 ..................... $604 $ 606,156
GNMA, 8s, 2017 - 2025 ............... 376 388,440
GNMA, 8.5s, 2026 - 2026 ............... 970 1,008,325
------------
$ 2,002,921
------------
U.S. Treasury Obligations -- 3.1%
U.S. Treasury Notes, 6.5s, 2006 ...... $400 $ 398,312
U.S. Treasury Notes, 6.625s, 2007 .... 500 504,140
U.S. Treasury Notes, 7s, 2006 ......... 100 102,875
U.S. Treasury Notes, 9.25s, 1998 ...... 400 414,312
U.S. Treasury Bonds, 6.5s, 2026 ...... 375 359,647
U.S. Treasury Bonds, 9.875s, 2015 .... 730 959,950
------------
$ 2,739,236
------------
Total U.S. Government Guaranteed ........................ $ 4,742,157
------------
Utilities -- Electric -- 1.7%
Cleveland Electric Illuminating Co.,
9.375s, 2017 ........................ $110 $ 114,718
Commonwealth Edison Co.,
7.625s, 2007 ........................ 225 225,571
First PV Funding Corp.,
10.15s, 2016 ........................ 7 7,378
Long Island Lighting Co., 9s, 2022 ... 500 547,510
Montana Power Co., 7.875s, 2026 ...... 250 247,500
System Energy Resources,
7.38s, 2000 ........................ 250 248,210
Texas & New Mexico Power Co.,
12.5s, 1999 ........................ 50 53,619
Utilicorp United, Inc., 8.45s, 1999 ... 100 103,758
------------
$ 1,548,264
------------
Utilities -- Gas -- 2.1%
Coastal Corp., 7.42s, 2037 ............ $920 $ 881,682
Oryx Energy Co., 10s, 2001 ............ 250 272,690
Tennessee Gas Pipeline Co.,
7.625s, 2037 ........................ 500 494,705
Transcontinental Gas Pipe Line,
7.25s, 2026 ........................ 200 192,000
------------
$ 1,841,077
------------
Total U.S. Bonds ....................................... $10,269,706
------------
Foreign Bonds -- 0.9%
Argentina
Hidroelectrica Alicura, 8.375s, 1999
(Utilities - Electric)## ............ $ 25 $ 25,250
------------
Chile -- 0.9%
Empresa Electric Guacolda S.A.,
7.6s, 2001 (Utilities - Electric)## $250 $ 253,293
Empresa Electrica Del Norts, 7.75s,
2006 (Utilities - Electric)## ...... 300 294,600
Enersis S.A., 6.9s, 2006
(Utilities - Electric) ............ 250 242,820
------------
$ 790,713
------------
Total Foreign Bonds .................................... $ 815,963
------------
Total Bonds (Identified Cost, $10,790,949) ............... $11,085,669
------------
</TABLE>
30-UTS
<PAGE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Convertible Bonds -- 2.0%
ADT Operations, Inc., 0s, 2010
(Utilities - Electric) ............ $1,145 $ 1,077,731
Huaneng Power International, Inc.,
1.75s, 2004 (Utilities - Electric)## 660 697,950
------------
Total Convertible Bonds
(Identified Cost, $1,440,591) ........................ $ 1,775,681
------------
Total Investments
(Identified Cost, $79,398,127) ........................ $88,563,605
Other Assets,
Less Liabilities -- 0.1% 45,416
------------
Net Assets -- 100.0% ................................. $88,609,021
============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- June 30, 1997
Value Series
Stocks -- 79.8%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 69.9%
Aerospace -- 2.6%
AlliedSignal, Inc. .................. 8,400 $ 705,600
Thiokol, Corp. ..................... 6,700 469,000
------------
$ 1,174,600
------------
Apparel and Textiles -- 0.6%
FootStar, Inc.* ..................... 2,800 $ 73,150
Reebok International Ltd. ............ 4,300 201,025
------------
$ 274,175
------------
Banks and Credit Companies -- 1.5%
Banc One Corp. ..................... 5,400 $ 261,562
Wells Fargo & Co. .................. 1,600 431,200
------------
$ 692,762
------------
Broadcasting -- 0.5%
LIN Television Corp.* ............... 5,100 $ 225,038
------------
Building -- 0.3%
Newport News Shipbuilding, Inc. ...... 6,600 $ 128,288
------------
Business Machines -- 0.5%
Sun Microsystems, Inc.* ............ 5,900 $ 219,591
------------
Business Services -- 5.1%
ADT Ltd.* ........................... 65,600 $ 2,164,800
DST Systems, Inc.* .................. 3,200 106,600
------------
$ 2,271,400
------------
Cellular Telephones -- 1.1%
Telephone & Data Systems, Inc. ...... 12,400 $ 470,425
------------
Chemicals -- 1.8%
Ferro Corp. ........................ 13,900 $ 515,169
NL Industries, Inc. .................. 21,400 310,300
------------
$ 825,469
------------
Computer Software -- Personal
Computers -- 0.9%
First Data Corp. ..................... 9,100 $ 399,831
------------
Computer Software -- Systems -- 5.9%
Cerner Corp.* ........................ 8,200 $ 172,200
Compaq Computer Corp.* ............... 7,200 714,600
Computer Associates International,
Inc. .............................. 12,200 679,387
Sybase, Inc.* ........................ 34,100 507,238
Synopsys, Inc.* ..................... 15,400 565,950
------------
$ 2,639,375
------------
Consumer Goods and Services -- 1.7%
Philip Morris Cos., Inc. ............ 16,860 $ 748,163
------------
Containers -- 1.2%
Jefferson Smurfit Corp.* ............ 10,600 $ 169,600
Stone Container Corp. ............... 24,400 349,225
------------
$ 518,825
------------
Electronics -- 2.2%
Analog Devices, Inc.* ............... 3,300 $ 87,656
Atmel Corp.* ........................ 8,000 224,000
Intel Corp. ........................ 1,700 241,081
Kulicke & Soffa Industries, Inc.* ... 9,500 308,453
Micron Electronics, Inc.* ............ 7,100 126,469
------------
$ 987,659
------------
Entertainment -- 2.7%
American Radio Systems Corp., "A"* . 6,450 $ 257,194
Casino America, Inc.* ............... 9,000 19,687
Harrah's Entertainment, Inc.* ...... 46,200 843,150
Harveys Casino Resorts ............... 2,700 47,419
Showboat, Inc. ..................... 2,100 36,619
------------
$ 1,204,069
------------
</TABLE>
31-VAL
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Financial Institutions -- 1.5%
Federal Home Loan Mortgage Corp. 14,000 $ 481,250
Union Planters Corp. ........................ 3,900 202,313
------------
$ 683,563
------------
Industrial -- 5.9%
Keystone International, Inc. .................. 29,300 $ 1,016,344
Tyco International Ltd. ..................... 23,300 1,620,806
------------
$ 2,637,150
------------
Insurance -- 7.2%
Chubb Corp. ................................. 5,900 $ 394,563
Cigna Corp. ................................. 2,640 468,600
Conseco, Inc. ................................. 13,900 514,300
Hartford Financial Services Group,
Inc. ....................................... 5,500 455,125
Lincoln National Corp. ........................ 9,100 585,812
PennCorp Financial Group, Inc. ............... 7,400 284,900
Reliastar Financial Corp. ..................... 7,200 526,500
------------
$ 3,229,800
------------
Machinery -- 2.1%
AGCO Corp. .................................... 10,600 $ 380,937
Greenfield Industries, Inc. .................. 11,600 313,200
Hanover Compressor ........................... 200 3,900
Stewart & Stevenson Services, Inc. . 9,400 244,400
------------
$ 942,437
------------
Medical and Health Products -- 2.3%
Bristol-Myers Squibb Co. ..................... 12,800 $ 1,036,800
------------
Medical and Health Technology
and Services -- 2.2%
Regency Health Services, Inc.* ............... 7,200 $ 110,700
St. Jude Medical, Inc.* ..................... 7,800 304,200
United Healthcare Corp. ..................... 11,100 577,200
------------
$ 992,100
------------
Oils -- 1.3%
Texaco, Inc. ................................. 5,400 $ 587,250
------------
Pollution Control -- 1.6%
Waste Management, Inc. ........................ 22,400 $ 719,600
------------
Railroads -- 2.1%
Wisconsin Central Transportation
Corp.* .................................... 25,700 $ 957,325
------------
Restaurants and Lodging -- 2.4%
Hilton Hotels Corp. ........................... 26,200 $ 695,937
La Quinta Inns, Inc. ........................ 8,000 175,000
Promus Hotel Corp.* ........................... 5,700 220,875
------------
$ 1,091,812
------------
Stores -- 7.3%
Arbor Drugs, Inc. ........................... 6,100 $ 122,763
CVS Corp. .................................... 8,300 425,375
Gymboree Corp.* .............................. 4,800 115,200
Rite Aid Corp. .............................. 17,900 892,762
Smith's Food and Drug Centers, Inc., "B"* 23,500 1,260,187
Viking Office Products, Inc.* ............... 23,500 446,500
------------
$ 3,262,787
------------
Supermarkets -- 0.9%
Safeway, Inc.* .............................. 8,320 $ 383,760
------------
Telecommunications -- 3.7%
3Com Corp.* ................................. 6,100 $ 274,500
Cellular Communications International* ........ 41,900 1,403,650
------------
$ 1,678,150
------------
Utilities -- Telephone -- 0.8%
Sprint Corp. ................................. 6,800 $ 357,850
------------
Total U.S. Stocks ....................................... $31,340,054
------------
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- 9.9%
Finland
Huhtamaki Oy Group
(Food and Beverage Products) ............... 150 $ 6,461
------------
France -- 0.8%
Union des Assurances Federales
S.A. (Insurance) ........................... 2,900 $ 341,089
------------
Hong Kong -- 0.8%
Cafe de Coral Holding Co.
(Restaurants) .............................. 362,000 $ 92,988
Wing Hang Bank Ltd.
(Banks and Credit Cos.) ..................... 41,000 247,683
------------
$ 340,671
------------
Japan -- 2.9%
Canon, Inc. (Office Equipment) ............... 16,000 $ 435,944
Canon, Inc., ADR (Office
Equipment) ................................. 3,200 436,800
Sony Corp. (Electronics) ..................... 2,700 235,552
Sony Corp., ADR (Electronics) ............... 2,100 184,800
------------
$ 1,293,096
------------
Netherlands -- 0.3%
Akzo Nobel (Chemicals) ........................ 1,000 $ 137,070
------------
New Zealand -- 0.2%
Tranz Rail Holdings Ltd., ADR
(Railroads) ................................. 5,400 $ 91,125
------------
Portugal -- 0.3%
Banco Totta e Acores (Banks and
Credit Cos.)## .............................. 8,600 $ 143,790
------------
South Korea -- 0.3%
Sk Telecom Ltd.
(Telecommunications)* ..................... 13,780 $ 138,661
------------
Switzerland -- 1.1%
Novartis AG (Pharmaceuticals) ............... 315 $ 503,638
------------
United Kingdom -- 3.2%
ASDA Group PLC (Supermarkets) . 134,900 $ 278,280
British Petroleum PLC, ADR (Oils) ............ 10,630 795,921
Gallaher Group PLC, ADR
(Consumer Products)* ........................ 3,000 55,313
Kwik-Fit Holdings PLC (Retail) ............... 22,600 101,137
PowerGen PLC (Utilities - Electric)* . 13,963 165,854
Storehouse PLC (Retail)* ..................... 19,700 61,695
------------
$ 1,458,200
------------
Total Foreign Stocks ..................................... $ 4,453,801
------------
Total Stocks (Identified Cost, $31,840,859) .............. $35,793,855
------------
Bonds -- 15.2%
Principal Amount
(000 Omitted)
Restaurants and Lodging -- 0.6%
Harrah's Jazz Co., 14.25s, 2001 ............... $ 744 $ 286,440
------------
U.S. Treasury Obligations -- 14.6%
U. S. Treasury Stripped Principal
Payments, 0s, 2017 ........................ $ 7,975 $ 1,989,364
U.S. Treasury Bonds, 6.5s, 2026 ............... 4,759 4,564,166
------------
$ 6,553,530
------------
Total Bonds (Identified Cost, $6,829,275) ................ $ 6,839,970
------------
</TABLE>
32-VAL
<PAGE>
Put Options Purchased -- 3.0%
<TABLE>
<CAPTION>
Number
of Contracts
Description/Expiration Month/Strike Price (000 Omitted) Value
<S> <C> <C>
Standard & Poor's 500 Index/
December/900 ........................... 4 $ 180,000
Standard & Poor's 500 Index/
March/950 .............................. 9 692,738
Standard & Poor's 500 Index/
June/975 .............................. 5 479,050
-------------
Total Put Options Purchased
(Premiums Paid, $1,551,799) ................................. $ 1,351,788
-------------
Short-Term Obligations -- 4.8%
Principal Amount
Issuer (000 Omitted)
Federal National Mortgage Assn.,
due 7/09/97 - 7/21/97, at
Amortized Cost ........................ $2,140 $ 2,134,519
-------------
Total Investments (Identified Cost, $42,356,452) ............ $ 46,120,132
Other Assets,
Less Liabilities -- (2.8)% (1,249,995)
-------------
Net Assets -- 100.0% ....................................... $ 44,870,137
=============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- June 30, 1997
World Growth Series
Stocks -- 94.9%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- 56.5%
Argentina -- 0.7%
Banco de Galicia y Buenos Aires
S.A. de C.V., ADR (Banks and
Credit Cos.) ..................... 6,222 $ 164,105
Perez Companc S.A. (Oils) ......... 43,734 351,219
Siderar S.A.I.C., ADR (Steel)*## ... 5,600 180,600
Telecom Argentina Stet - France
Telecom S.A., ADR
(Telecommunications) ............ 3,430 180,075
Telefonica de Argentina, ADR
(Utilities - Telephone) ......... 4,950 171,394
Transportadora de Gas del Sur S.A.
(TGS), ADR (Pipelines) ......... 14,300 178,750
YPF Sociedad Anonima, ADR (Oils) .... 15,420 474,165
------------
$ 1,700,308
------------
Australia -- 0.6%
Q.B.E. Insurance Group Ltd.
(Insurance) ..................... 240,730 $ 1,454,587
------------
Brazil -- 4.5%
Centrais Eletricas Brasile, ADR
(Utilities - Electric) ......... 41,600 $ 1,258,400
Companhia Energetica de Sao
Paulo, Preferred
(Utilities - Electric)* ......... 6,000,000 401,301
Companhia Energetica S.A., ADR
(Utilities - Electric) ......... 10,400 530,400
Companhia Paranaense de
Energia - COPEL "B", Preferred
(Electrical) ..................... 23,600 438,458
Companhia Vale do Rio Doce, ADR
(Diversified Minerals) ......... 19,400 421,950
ING Baring Financial Products
(Financial Services) ............ 3,070 478,243
Itausa Investimentos Itau S.A.
(Conglomerate) .................. 600,000 551,788
Petroleo Brasileiro S.A., Preferred
(Oils) ........................... 8,500,000 2,360,971
Telecomunicacoes Brasileiras S.A.,
ADR (Telecommunications) ......... 29,450 4,465,356
Telecomunicacoes Sao Paulo,
Preferred (Telecommunications)* . 1,000,000 294,937
------------
$11,201,804
------------
Canada -- 0.9%
BioChem Pharma, Inc.
(Biotechnology)* ............... 26,800 $ 596,300
Canadian National Railway Co.
(Railroads) ..................... 30,310 1,326,063
Coca Cola Beverages -- Canada
(Beverages)* ..................... 22,200 318,406
------------
$ 2,240,769
------------
Chile -- 0.4%
Chilectra S.A., ADR (Utilities -
Electric) ........................ 31,075 $ 928,366
------------
China -- 0.3%
Huaneng Power International, Inc.,
ADR (Utilities - Electric)* ...... 18,900 $ 481,950
Qingling Motors Co. "H"
(Automotive) ..................... 368,000 190,009
Yizheng Chemical Fibre Co. Ltd.
(Textiles) ..................... 552,000 98,330
------------
$ 770,289
------------
</TABLE>
33-WGO
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Colombia -- 0.4%
Banco Ganadero S.A., ADR (Banks
and Credit Cos.) ..................... 11,200 $ 403,200
Banco Industrial Colombiano, ADR
(Banks and Credit Cos.) ............... 22,900 412,200
Cementos Diamante S.A., ADR
(Construction)## ..................... 21,500 274,125
------------
$ 1,089,525
------------
Egypt -- 0.7%
Commercial International Bank,
GDR (Banks and Credit Cos.)## ........ 27,890 $ 578,717
Madinet Nasar City
(Housing Development) ............... 725 51,176
North Cairo Mills (Food Products) ...... 3,210 167,109
South Cairo Flour Mills
(Food Products) ..................... 5,465 104,478
Suez Cement Co. S A E, GDR
(Building Materials)*## ............... 35,275 712,555
Torra for Cement (Construction) ......... 9,590 242,571
------------
$ 1,856,606
------------
Finland -- 0.5%
Huhtamaki Oy Group (Food
Company) .............................. 15,300 $ 659,063
TT Tieto Oy (Computer Software -
Systems) .............................. 5,500 477,016
------------
$ 1,136,079
------------
France -- 2.3%
Chargeurs S.A. (Apparels and
Textiles) ........................... 10,900 $ 628,211
Compagnie Generale de
Geophysique S.A., ADR
(Computer Software)* .................. 18,100 348,425
Companie Generale de
Geophysique S.A.
(Computer Software) .................. 2,400 233,668
Rhone-Poulenc S.A.
(Pharmaceuticals)* .................. 550 22,468
Rhone-Poulenc S.A.
(Pharmaceuticals)* .................. 31,270 1,277,413
Societe Nationale Elf Aquitaine
(Oils) .............................. 12,800 1,381,311
Television Francaise (Broadcasting) 9,600 857,872
Union des Assurances Federales
S.A. (Insurance) ..................... 7,800 917,413
------------
$ 5,666,781
------------
Germany -- 1.8%
Adidas AG (Apparel and Textiles) ...... 3,938 $ 435,799
Beta Systems Software AG
(Computer Software)* .................. 600 70,872
Henkel KGaA (Consumer Goods
and Services) ........................ 15,670 889,524
Phoenix AG (Auto Parts) ............... 46,500 847,878
Sap AG, Preferred (Computer
Software - Systems) .................. 10,900 2,262,500
------------
$ 4,506,573
------------
Greece -- 0.8%
Attica Enterprises S.A.
(Transportation) ..................... 12,900 $ 124,242
Ergo Bank (Bank and Credit Cos.) ....... 2,800 168,226
Hellenic Telecommunication
Organization S.A.
(Telecommunications) .................. 34,600 812,621
Intracom S.A.
(Telecommunications)* ............... 5,400 245,982
Issuer Shares Value
<S> <C> <C>
Greece -- continued
Papastratos Cigarettes S.A.
(Consumer Goods and Services) ........ 26,700 $ 497,289
Titan Cement Co. (Building
Materials) ........................... 5,200 256,563
------------
$ 2,104,923
------------
Hong Kong -- 5.3%
Asia Satellite Telecommunications
Holdings Ltd.
(Telecommunications) .................. 404,500 $ 1,240,077
Bank of East Asia Ltd. (Banks and
Credit Cos.)* ........................ 143,976 600,287
Cheung Kong Holdings Ltd.
(Real Estate) ........................ 98,000 967,729
Citic Pacific Ltd. (Conglomerate) ...... 133,000 830,928
Dah Sing Financial Group (Banks
and Credit Cos.) ..................... 188,600 1,044,397
First Tractor Co. (Machinery)* ......... 206,000 135,614
Hong Kong & China Gas Ltd. (Gas) 240,000 480,186
Hong Kong Electric Holdings Ltd.
(Utilities - Electric) ............... 289,500 1,165,922
Hutchison Whampoa (Real Estate) ........ 50,000 432,425
Hysan Development Co. (Real
Estate) .............................. 235,000 693,139
Li & Fung Ltd. (Wholesale) ............ 757,000 850,123
Liu Chong Hing Bank (Banks and
Credit Cos.) ........................ 289,000 761,017
New World Development Co.
(Real Estate) ........................ 113,000 673,887
Swire Pacific Air Ltd., "A"
(Transportation) ..................... 101,000 909,352
Wharf Holdings Ltd. (Real Estate) ...... 342,000 1,483,310
Wing Hang Bank Ltd. (Banks and
Credit Cos.) ........................ 121,800 735,800
Zhenhai Refining and Chemical Co.,
Ltd. (Oils) ........................... 240,000 86,743
------------
$13,090,936
------------
Hungary -- 0.3%
BorsodChem RT (Chemicals) ............... 2,100 $ 84,043
Gedeon Richter RT
(Pharmaceuticals) ..................... 2,500 230,203
Graboplast RT (Apparel and Textiles) .... 1,750 82,230
Mol Magyar Olaj Es Gazipari RT
(Oils) .............................. 14,500 321,310
Pannonplast Muanuagipari
(Chemicals) ........................... 3,300 165,634
------------
$ 883,420
------------
India -- 1.6%
Bajaj Auto Ltd., GDR (Automotive) ...... 10,000 $ 347,500
EIH Ltd., GDR (Restaurant and
Lodging) .............................. 17,000 280,500
India Gateway Fund Ltd.
(Finance)+* ........................... 34,925 154,019
Industrial Credit & Investment Corp.
of India Ltd., GDR (Finance)* ......... 23,000 330,625
State Bank of India, GDR (Bank and
Credit Cos.)##* ..................... 39,000 1,019,850
Tata Engineering & Locomotive Co.
Ltd. (Automotive) ..................... 26,000 399,100
Videsh Sanchar Nigam Ltd., GDR
(Telecommunications)##* ............... 64,400 1,333,080
------------
$ 3,864,674
------------
Indonesia -- 0.4%
Bank International Indonesia (Finance)* .. 293,984 $ 253,956
PT Indosat (Telecommunications) ......... 19,000 56,859
</TABLE>
34-WGO
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Indonesia -- continued
PT Indonsat, ADR (Telecommunications) 12,600 $ 377,212
Semen Gresik (Building Materials) ....... 170,500 382,240
------------
$ 1,070,267
------------
Ireland -- 0.4%
Allied Irish Banks (Banks and Credit
Cos.)* ................................. 130,800 $ 996,603
------------
Israel -- 0.6%
ICL Israel Chemical (Chemicals) ......... 145,380 $ 171,546
ITC Ltd. (Conglomerate) .................. 35,000 638,750
Makhteshim Chemical Works Ltd.
(Chemicals) ........................... 27,600 181,239
NICE Systems Ltd., ADR
(Telecommunications)* .................. 3,200 96,000
Super Sol Ltd. (Supermarkets) ............ 52,000 167,309
Teva Pharmaceutical Industries Ltd.,
ADR (Pharmaceuticals) .................. 3,150 203,962
------------
$ 1,458,806
------------
Italy -- 1.4%
Gucci Group Designs N.V. (Apparel
and Textiles) ........................ 12,900 $ 830,438
INA (Instituto Nazionale delle
Assicurazioni) (Insurance) ............ 453,400 691,500
Industrie Natuzzi S.p.A., ADR
(Consumer Goods and Services) ......... 39,400 1,009,625
Telecom Italia S.p.A., Saving Shares
(Telecommunications) .................. 490,400 877,880
------------
$ 3,409,443
------------
Japan -- 10.2%
Bank of Tokyo Mitsubishi
(Banks and Credit Cos.) ............... 44,000 $ 883,766
Bridgestone Corp. (Tire and Rubber) 52,000 1,207,929
Canon, Inc. (Office Equipment) ......... 97,000 2,642,913
Daikin Industries (Consumer Goods
and Services) ........................ 90,000 817,396
DDI Corp. (Telecommunications) ......... 150 1,108,200
Fuji Photo Film Co. (Photographic
Products) .............................. 22,000 885,687
Hirose Electric Co. (Electronics) ...... 13,900 954,100
Jusco Co. (Retail) ..................... 32,000 1,081,478
Keyence Corp. (Electronics) ............ 7,810 1,159,462
Kinki Coca-Cola Bottling Co.
(Beverages) ........................... 36,600 501,808
Kirin Beverage Corp. (Beverages) ........ 59,000 1,030,478
Nidec Corp. (Computer
Hardware - Systems) .................. 2,000 97,808
Nippon Telephone & Telegraph Co.
(Utilities - Telephone) ............... 69 662,824
Nitto Denko Corp. (Industrial Goods
and Services) ........................ 60,000 1,168,457
Osaka Sanso Kogyo Ltd. (Chemicals) 168,000 494,420
Rohm Co. (Electronics) .................. 15,000 1,545,717
Secom Co. (Consumer Goods and
Services) .............................. 35,000 2,570,518
Sony Corp. (Electronics) ............... 17,900 1,561,619
Takeda Chemical Industries
(Pharmaceuticals) ..................... 59,000 1,659,069
TDK Corp. (Electronics) .................. 15,000 1,101,651
TDK Corp., ADR (Electronics) ............ 500 37,406
Terumo Corp. (Computers) ............... 45,000 860,624
Ushio, Inc. (Electronics) ............... 91,000 1,128,460
------------
$25,161,790
------------
Issuer Shares Value
<S> <C> <C>
Malaysia -- 0.8%
DCB Holdings Berhad (Finance) ............ 52,000 $ 164,850
Genting Berhad (Entertainment) ......... 57,000 273,311
Malayan Banking Berhad
(Banks and Credit Cos.) ............... 12,000 126,015
Petronas Gas Berhad
(Oil and Gas)## ........................ 57,000 207,807
Sungei Way Holdings Berhad
(Conglomerate) ........................ 46,200 87,146
Tenaga Nasional Berhad
(Utilities - Electric) ............... 120,000 584,902
UMW Holdings Berhad (Automobiles) ........ 71,000 334,813
United Engineers Berhad
(Engineering/Construction) ............ 27,000 194,730
------------
$ 1,973,574
------------
Mexico -- 2.3%
Apasco S.A. (Building Materials) ......... 30,000 $ 215,746
Cemex S.A., "B" (Construction) ......... 105,687 460,030
Cifra S.A. de C.V. (Retail) ............ 139,000 259,551
Corporacion GEO S.A. de C.V.
(Housing)##* ........................... 9,500 182,875
Desc S.A. de C.V.
(Diversified Operations) ............... 190 1,426
Desc S.A. de C.V., "B"
(Diversified Operations) ............... 55,000 403,861
Empresas ICA Sociedad
Controladora S.A., ADR
(Engineering/Construction) ............ 13,000 208,813
Fomento Economico Mexicano S.A.,
"B" (Beverages) ........................ 37,000 220,805
Gruma S.A. (Food Products) ............... 69,360 323,785
Grupo Carso, "A1" (Conglomerate) ........ 100,200 701,628
Grupo Financiero Banamex, "B"
(Finance)* ........................... 101,300 260,727
Grupo Modelo S.A. de C.V. (Brewery) ....... 71,200 494,968
Hylsamex S.A. de C.V. (Steel) ............ 77,900 401,982
Kimberly-Clark de Mexico S.A. de
C.V. (Forest and Paper Products) ...... 7,700 31,088
Organiz Soriana (Real Estate) ............ 35,600 89,561
Sanluis Corporacion S.A. de C.V.
(Diversified Operations) ............... 36,700 272,726
Telefonos de Mexico S.A.
(Utilities - Telephone) ............... 495,460 1,188,954
------------
$ 5,718,526
------------
Morocco -- 0.4%
Banque Marocaine du Commerce
(Banks and Credit Cos.)* ............... 4,200 $ 264,678
Brasserica du Maroc (Consumer
Goods and Services)* .................. 850 167,393
Credit Eqdom (Financial Institutions) 750 82,712
ONA S.A. (Conglomerate) .................. 3,000 244,197
Societe Nationale d'Investissement
(Conglomerate) ........................ 2,450 186,561
------------
$ 945,541
------------
Netherlands -- 2.0%
Ahrend Groep N.V. (Furniture and
Home Appliances)* ..................... 12,669 $ 855,359
Akzo Nobel (Chemicals) .................. 7,400 1,014,318
ASM Lithography Holdings
(Machinery)* ........................... 18,000 1,041,019
Brunel International N.V.
(Human Resources)* ..................... 11,600 257,712
Philips Electronics N.V. (Manufacturing) .. 10,700 766,583
Royal Dutch Petroleum (Oils)* ............ 21,600 1,133,656
------------
$ 5,068,647
------------
</TABLE>
35-WGO
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Pakistan -- 0.5%
Hub Power Co. Ltd., GDR
(Utilities - Electric)** ............ 28,300 $ 693,350
Pakistan Telecommunications Corp.,
GDR (Utilities - Telephone)* ......... 6,090 438,480
-----------
$1,131,830
-----------
Peru -- 1.2%
Alicorp S.A. (Food Products)* ......... 180,000 $ 301,922
Compania de Minas Buenaventura
S.A. (Mining) ........................ 37,500 313,230
CPT Telefonica del Peru S.A., "B"
(Utilities - Telephone) ............... 295,374 776,011
Credicorp Ltd. (Conglomerate) ......... 31,735 698,170
Telefonica del Peru S.A., ADR
(Telecommunications) .................. 31,800 832,763
-----------
$2,922,096
-----------
Philippines -- 0.2%
Alsons Cement Corp.
(Building Materials)## ............... 1,825,750 $ 273,689
Ayala Corp. (Real Estate) ............... 247,750 178,643
-----------
$ 452,332
-----------
Poland -- 0.4%
Agros Holdings S.A., "D" (Food)* ...... 10,000 $ 265,957
Bank Handlowy Warszawie, S.A.
(Banks and Credit Cos.)+* ............ 5,900 67,967
Bank Handlowy Warszawie S.A.,
GDR (Banks and Credit Cos.)* ......... 3,390 42,036
Bank Slaski S.A. w Katowicach
(Banks and Credit Cos.) ............... 1,300 92,857
Bydgoska Fabryka Kabli S.A.
(Electrical Equipment) ............... 32,500 239,058
Elektrim Spolka Akcyjna S.A.
(Electrical Equipment) ............... 24,500 212,979
Stomil Olsztyn S.A. (Tires and
Rubber)* .............................. 14,000 134,043
-----------
$1,054,897
-----------
Portugal -- 1.7%
Banco Espirito Santo e Comercial
de Lisboa S.A. (Banks and Credit
Cos.) ................................. 44,286 $1,004,303
Banco Totta e Acores (Banks and
Credit Cos.) ........................ 45,400 759,076
Cimentos de Portugal S.A. (Building
Materials) ........................... 12,746 297,237
Engil SGPS (Engineering) ............... 9,079 110,971
Inparsa-Industria e Participacoes,
SGPS, S.A. (Conglomerate)* ............ 1,200 12,048
Jeronimo Martins & Filho S.A.
(Retail) .............................. 2,186 152,796
Portugal Telecom S.A. (Utilities -
Telephone) ........................... 22,710 916,663
Sonae Investimentos-Sociedade
Gestora de Participacoes Sociais,
S.A. (Diversified Operations) ......... 2,400 100,407
Telecel - Comunicacaoes Pessoais
S.A. (Telecommunication)* ............ 9,150 759,466
-----------
$4,112,967
-----------
Russia -- 0.6%
Lukoil Oil Co., ADR (Oils) ............ 14,225 $1,109,550
Rostelecom, RDC
(Telecommunications)* ............... 7 271,600
-----------
$1,381,150
-----------
Issuer Shares Value
<S> <C> <C>
Singapore -- 1.1%
City Developments Ltd.
(Real Estate) ........................ 123,000 $1,204,870
Hong Leong Finance Ltd.
(Finance)+ ........................... 58,000 164,764
Mandarin Oriental International, Ltd.
(Restaurants and Lodgings)* ......... 775,138 1,007,679
Singapore Land Ltd.
(Conglomerate) ........................ 78,000 354,744
-----------
$2,732,057
-----------
South Africa -- 1.0%
Anglo American Corp. of South
Africa Ltd. (Mining) .................. 4,000 $ 241,067
De Beers Centenary AG
(Diamonds - Precious Stones) ......... 11,800 435,929
Iscor Ltd. (Steel)* ..................... 3 2
Liberty Life Association of Africa
Ltd. (Insurance)* ..................... 16,325 442,871
Nedcor Ltd. (Banks and Credit
Cos.)* .............................. 20,000 442,214
Sasol Ltd. (Oils) ..................... 35,000 459,307
South African Breweries Ltd.
(Brewery) ........................... 12,500 383,905
-----------
$2,405,295
-----------
Spain -- 0.3%
Abengoa S.A. (Construction)* ............ 7,941 $ 342,308
Acerinox S.A. (Iron and Steel) ......... 2,447 458,636
-----------
$ 800,944
-----------
Sweden -- 1.2%
Astra AB (Pharmaceuticals) ............ 44,000 $ 820,832
Skandia Foersaekrings AB,
(Insurance) ........................... 27,900 1,030,120
Sparbanken Sverige AB
(Banks and Credit Cos.) ............... 51,800 1,154,243
-----------
$3,005,195
-----------
Switzerland -- 1.2%
Kuoni Reisen Holdings AG
(Transportation) ..................... 325 $1,113,166
Novartis AG (Pharmaceuticals) ......... 1,186 1,896,235
-----------
$3,009,401
-----------
United Kingdom -- 6.5%
ASDA Group PLC (Supermarkets) .......... 632,300 $1,304,349
British Aerospace PLC
(Aerospace and Defense)* ............ 60,480 1,344,713
British Petroleum PLC (Oil and
Gas)* ................................. 87,356 1,085,581
Carlton Communicatons PLC
(Broadcasting) ........................ 107,200 906,848
Corporate Services Group
(Business Services) .................. 97,200 302,383
Danka Business Systems, ADR
(Business Services) .................. 29,300 1,197,638
Grand Metropolitan PLC
(Food and Beverage Products)* ........ 117,200 1,126,949
Inchcape PLC (Commercial
Services) ........................... 97,200 457,616
Jarvis Hotels PLC (Restaurants
and Lodging)+ ........................ 534,100 1,235,055
Kwik-Fit Holdings PLC (Retail) ......... 319,800 1,431,132
Lloyds TSB Group PLC
(Banks and Credit Cos.)* ............ 82,445 846,250
PowerGen PLC (Utilities - Electric)* ... 171,600 2,038,283
Reuters Holdings PLC, ADR
(Printing and Publishing) ............ 7,500 472,500
</TABLE>
36-WGO
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
United Kingdom -- continued
Storehouse PLC (Retail) .................. 304,110 $ 952,389
Tomkins PLC (Diversified
Operations)* ........................... 228,300 987,480
Williams Holdings PLC
(Diversified Operations) ............... 83,200 452,224
-------------
$ 16,141,390
-------------
Venezuela -- 1.0%
Compania Anonima Nacional
Telefonos de Venezuela, ADR
(Telecommunications)** ............... 59,500 $ 2,565,937
-------------
Total Foreign Stocks .............................. $140,014,328
-------------
U.S. Stocks -- 38.4%
Agricultural Products -- 0.5%
AGCO Corp. .............................. 31,000 $ 1,114,062
-------------
Automotive
Tower Automotive, Inc.* .................. 2,400 $ 103,200
-------------
Business Machines -- 0.3%
Affiliated Computer Services, Inc., "A"* .. 14,300 $ 400,400
Sun Microsystems, Inc.* .................. 11,000 409,406
-------------
$ 809,806
-------------
Business Services -- 4.7%
AccuStaff, Inc.* ........................ 27,100 $ 641,931
ADT Ltd.* .............................. 128,500 4,240,500
Ceridian Corp.* ........................ 5,200 219,700
Corestaff, Inc.* ........................ 5,400 145,800
CUC International, Inc.* ............... 42,200 1,089,287
DST Systems, Inc.* ..................... 19,400 646,263
Employee Solutions, Inc.* ............... 15,900 88,444
Global Directmail Corp.* ............... 1,600 41,700
Ikon Office Solutions, Inc. ............ 1,200 29,925
Learning Tree International, Inc.* ...... 65,850 2,922,094
Pierce Leahy Corp. ..................... 700 12,600
Sabre Group Holding, Inc., "A"* ......... 3,000 81,375
Staff Leasing, Inc.* ..................... 900 16,875
Technology Solutions Co.* ............... 37,500 1,481,250
-------------
$ 11,657,744
-------------
Computer Software -- Personal
Computers -- 1.5%
Autodesk, Inc. ........................... 300 $ 11,494
First Data Corp. ........................ 9,402 413,100
Microsoft Corp.* ........................ 23,800 3,007,725
Transaction System Architects, Inc.* 5,300 182,850
-------------
$ 3,615,169
-------------
Computer Software -- Systems -- 8.4%
Adobe Systems, Inc. ..................... 1,000 $ 35,063
BMC Software, Inc.* ..................... 65,900 3,649,212
Cadence Design Systems, Inc.* ............ 97,550 3,267,925
Computer Associates International,
Inc. ................................. 93,800 5,223,487
Compuware Corp.* ........................ 62,500 2,984,375
Great Plains Software, Inc.* ............ 200 5,400
Oracle Systems Corp.* .................. 103,850 5,231,444
RWD Technologies, Inc.* .................. 200 3,450
Sybase, Inc.* ........................... 600 8,925
Synopsys, Inc.* ........................ 6,100 224,175
Xionics Document Technologies* ......... 13,600 200,600
-------------
$ 20,834,056
-------------
Construction Services
Shaw Group, Inc.* ........................ 600 $ 9,750
-------------
Issuer Shares Value
<S> <C> <C>
Consumer Goods and Services -- 2.3%
800-JR. Cigar, Inc.* ..................... 200 $ 4,150
Carson, Inc.* ........................... 35,700 383,775
Hertz Corp., "A"* ........................ 900 32,400
Service Corp. International ............ 24,800 815,300
Silgan Holdings, Inc.* .................. 600 23,250
Tyco International Ltd. .................. 62,000 4,312,875
-------------
$ 5,571,750
-------------
Containers
Stone Container Corp. .................. 7,300 $ 104,481
-------------
Electrical Equipment -- 0.1%
Kulicke & Soffa Industries, Inc.* ...... 9,700 $ 314,947
-------------
Electronics -- 0.8%
Altera Corp.* ........................... 21,700 $ 1,095,850
Gemstar Group Ltd.* ..................... 6,300 115,763
Sony Corp. .............................. 5,400 475,200
Xilinx, Inc.* ........................... 5,300 260,031
-------------
$ 1,946,844
-------------
Entertainment -- 1.4%
American Radio Systems Corp., "A"* ........ 4,000 $ 159,500
Clear Channel Communications, Inc.* ....... 7,100 436,650
Cox Radio, Inc.* ........................ 21,900 561,188
Emmis Broadcasting Corp., "A"* ......... 8,000 349,000
Harrah's Entertainment, Inc.* ............ 18,100 330,325
Jacor Communications, Inc., "A"* ......... 6,100 233,325
LIN Television Corp.* .................. 21,700 957,512
Univision Communications, Inc., "A"* 8,600 336,475
-------------
$ 3,363,975
-------------
Financial Institutions -- 0.5%
AmeriTrade Holding Corp. "A"* ............ 2,700 $ 42,525
Franklin Resources, Inc. ............... 17,600 1,277,100
New Century Financial Corp.* ............ 600 8,700
-------------
$ 1,328,325
-------------
Industrial -- 0.1%
JLK Direct Distribution, Inc., "A"* ...... 200 $ 5,125
Keystone International, Inc. ............ 9,300 322,594
-------------
$ 327,719
-------------
Insurance -- 0.2%
Hartford Life, Inc., "A" * ............... 800 $ 30,000
Nationwide Financial Services, Inc., "A" .. 14,500 385,156
-------------
$ 415,156
-------------
Machinery -- 0.1%
Lear Corp.* .............................. 4,300 $ 190,813
SI Handling Systems, Inc. ............... 9,400 173,900
-------------
$ 364,713
-------------
Medical and Health Products -- 0.6%
Boston Scientific Corp.* ............... 6,900 $ 423,919
Guidant Corp. ........................... 8,700 739,500
Mentor Corp. ........................... 9,000 266,625
-------------
$ 1,430,044
-------------
Medical and Health Technology
and Services -- 4.3%
AmeriSource Health Corp. "A"* ............ 5,400 $ 269,325
Cardinal Health, Inc. .................. 4,900 280,525
Columbia/HCA Healthcare Corp. ............ 4,350 171,009
Foundation Health Systems, Inc.* ......... 260 7,881
Genesis Health Ventures, Inc.* ......... 5,700 192,375
Health Management Associates, Inc., "A"* 7,600 216,600
HealthSouth Corp.* ..................... 103,500 2,581,031
IDX Systems Corp.* ..................... 2,900 100,050
Mariner Health Group, Inc.* ............ 5,200 80,275
Medpartners, Inc.* ..................... 20,400 441,150
</TABLE>
37-WGO
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Medical and Health Technology
and Services -- continued
Medtronic, Inc. .............................. 11,500 $ 931,500
Tenet Healthcare Corp.* ........................ 43,800 1,294,838
United Healthcare Corp. ........................ 57,600 2,995,200
Vencor, Inc.* ................................. 23,900 1,009,775
-------------
$ 10,571,534
-------------
Oil Services
Hanover Compressor ........................... 500 $ 9,750
Santa Fe International Corp.* .................. 1,300 44,200
-------------
$ 53,950
-------------
Pollution Control -- 0.2%
USA Waste Services, Inc.* ..................... 14,030 $ 541,909
-------------
Railroads -- 0.1%
Wisconsin Central Transportation
Corp.* ....................................... 5,700 $ 212,325
-------------
Restaurants and Lodging -- 2.6%
Applebee's International, Inc. ............... 18,100 $ 484,175
HFS, Inc.* .................................... 74,600 4,326,800
Hilton Hotels Corp. ........................... 12,100 321,406
Promus Hotel Corp.* ........................... 31,300 1,212,875
Wyndham Hotel Corp.* ........................... 3,800 123,975
-------------
$ 6,469,231
-------------
Special Products and Services -- 0.1%
Newport News Shipbuilding, Inc. ............... 2,400 $ 46,650
SPX Corp. .................................... 3,100 200,919
-------------
$ 247,569
-------------
Stores -- 4.1%
American Stores Co. ........................... 9,300 $ 459,188
Consolidated Stores Corp.* ..................... 18,750 651,562
Corporate Express, Inc.* ..................... 52,700 760,856
Costco Cos., Inc.* ........................... 14,700 483,262
CVS Corp. .................................... 19,500 999,375
Dillards, Inc., "A" ........................... 1,300 45,013
Hollywood Entertainment Corp.* ............... 8,100 185,288
Home Depot, Inc. .............................. 11,500 792,781
Micro Warehouse, Inc.* ........................ 8,200 140,425
Office Depot, Inc.* ........................... 12,300 239,081
Rite Aid Corp. ................................. 46,000 2,294,250
Smith's Food and Drug Centers, Inc., "B"* ...... 23,200 1,244,100
Staples, Inc.* ................................. 75,500 1,755,375
-------------
$ 10,050,556
-------------
Telecommunications -- 4.3%
Aspect Telecommunications Corp.* .............. 900 $ 20,025
Cisco Systems, Inc.* ........................... 63,300 4,249,012
Genesys Telecommunications
Laboratory* ................................. 200 5,550
Heritage Media Corp.* ........................ 16,000 302,000
Intermedia Communications, Inc.* .............. 8,800 284,900
International Business
Communications Systems, Inc.+* .............. 12,600 88,200
Lucent Technologies, Inc. ..................... 19,500 1,405,219
Qwest Communications
International, Inc.* ........................ 600 16,350
Tel-Save Holdings, Inc.* ..................... 600 9,150
WorldCom, Inc.* .............................. 130,100 4,163,200
-------------
$ 10,543,606
-------------
Issuer Shares Value
<S> <C> <C>
Utilities -- Telephone -- 1.2%
MCI Communications Corp. ..................... 64,050 $ 2,451,914
Sprint Corp. ................................. 10,100 531,513
-------------
$ 2,983,427
-------------
Total U.S. Stocks ........................................ $ 94,985,848
-------------
Total Stocks (Identified Cost, $193,492,878) ............... $235,000,176
-------------
Warrants
Bank International Indonesia
(Finance)* ................................. 26,132 $ 10,266
Hellenic Telecommunication
Organization S.A.
(Telecommunications)* ........................ 32,400 0
India Gateway Fund Ltd. (Finance)* .............. 4,000 0
-------------
Total Warrants
(Identified Cost, $7,122) ............................... $ 10,266
-------------
Short-Term Obligations -- 4.5%
Principal Amount
(000 Omitted)
Federal Home Loan Mortgage
Corp., due 7/03/97 - 7/25/97 ............... $ 5,890 $ 5,885,706
Federal National Mortgage Assn.,
due 8/04/97 ................................. 815 810,820
General Electric Co., due 7/01/97 ............ 4,405 4,405,000
-------------
Total Short-Term Obligations,
at Amortized Cost ..................................... $ 11,101,526
-------------
Total Investments
(Identified Cost, $204,601,526) ......................... $246,111,968
-------------
Other Assets,
Less Liabilities -- 0.6% 1,491,325
-------------
Net Assets -- 100.0% ..................................... $247,603,293
=============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio Footnotes:
*Non-income producing security.
##SEC Rule 144A restriction.
+Restricted security.
Abbreviations have been shown throughout this report to indicate amounts shown
in currencies other than the U.S. Dollar. A list of abbreviations is shown
below.
DEM = Deutsche Marks
FRF = French Francs
JPY = Japanese Yen
38-WGO
<PAGE>
MFS/Sun Life Series Trust
Statements of Assets and Liabilities -- June 30, 1997
<TABLE>
<CAPTION>
Capital
Appreciation
Assets: Series
Investments -- -----------------
<S> <C>
Unaffiliated issuers, at cost ......................................................... $ 933,710,656
Unrealized appreciation ............................................................... 291,797,355
---------------
Total investments, at value ......................................................... $1,225,508,011
Cash ................................................................................. 140,415
Receivable for investments sold ...................................................... 8,546,510
Receivable for Trust shares sold ...................................................... 1,914,050
Interest and dividends receivable ...................................................... 804,585
Other assets ........................................................................... 9,177
---------------
Total assets ........................................................................ $1,236,922,748
---------------
Liabilities:
Cash overdraft ........................................................................ $ --
Foreign currency overdraft ............................................................ --
Payable for investments purchased ...................................................... 4,782,584
Payable for Trust shares reacquired ................................................... 214,104
Net payable for foreign currency exchange contracts closed ........................... --
Payable to affiliates --
Investment advisory fee ............................................................... 73,953
Administrative fee .................................................................. 1,460
Accrued expenses and other liabilities ................................................ 136,189
---------------
Total liabilities .................................................................. $ 5,208,290
---------------
Net assets ........................................................................ $1,231,714,458
===============
Net assets consist of:
Paid-in capital ........................................................................ $ 852,104,575
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies ..................................................................... 291,797,355
Accumulated undistributed net realized gain (loss) on investments and foreign currency
transactions ........................................................................... 88,327,050
Accumulated undistributed (distributions in excess of) net investment income ......... (514,522)
---------------
Net assets ........................................................................ $1,231,714,458
===============
Shares of beneficial interest outstanding ............................................. 32,770,499
===============
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of beneficial interest outstanding) ............................................ $37.59
===============
<CAPTION>
Conservative Emerging
Growth Growth
Assets: Series Series
Investments -- -------------- --------------
<S> <C> <C>
Unaffiliated issuers, at cost ......................................................... $670,609,469 $289,213,864
Unrealized appreciation ............................................................... 178,817,019 48,812,211
------------- -------------
Total investments, at value ......................................................... $849,426,488 $338,026,075
Cash ................................................................................. 74,023 986,744
Receivable for investments sold ...................................................... 4,685,090 3,033,498
Receivable for Trust shares sold ...................................................... 1,777,618 275,872
Interest and dividends receivable ...................................................... 1,205,902 78,978
Other assets ........................................................................... 28,822 12,306
------------- -------------
Total assets ........................................................................ $857,197,943 $342,413,473
------------- -------------
Liabilities:
Cash overdraft ........................................................................ $ -- $ --
Foreign currency overdraft ............................................................ -- --
Payable for investments purchased ...................................................... 4,159,020 3,571,308
Payable for Trust shares reacquired ................................................... 443,951 106
Net payable for foreign currency exchange contracts closed ........................... -- 104,665
Payable to affiliates --
Investment advisory fee ............................................................... 38,456 20,717
Administrative fee .................................................................. 1,050 414
Accrued expenses and other liabilities ................................................ 103,281 44,180
------------- -------------
Total liabilities .................................................................. $ 4,745,758 $ 3,741,390
------------- -------------
Net assets ........................................................................ $852,452,185 $338,672,083
============= =============
Net assets consist of:
Paid-in capital ........................................................................ $619,212,611 $287,397,529
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies ..................................................................... 178,818,574 48,706,648
Accumulated undistributed net realized gain (loss) on investments and foreign currency
transactions ........................................................................... 49,752,537 2,881,789
Accumulated undistributed (distributions in excess of) net investment income ......... 4,668,463 (313,883)
------------- -------------
Net assets ........................................................................ $852,452,185 $338,672,083
============= =============
Shares of beneficial interest outstanding ............................................. 28,518,792 20,760,263
============= =============
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of beneficial interest outstanding) ............................................ $29.89 $16.31
============= =============
<CAPTION>
MFS/Foreign &
Colonial
Emerging
Markets
Assets: Series
Investments -- --------------
<S> <C>
Unaffiliated issuers, at cost ......................................................... $18,268,684
Unrealized appreciation ............................................................... 1,980,012
------------
Total investments, at value ......................................................... $20,248,696
Cash ................................................................................. --
Receivable for investments sold ...................................................... --
Receivable for Trust shares sold ...................................................... 64,970
Interest and dividends receivable ...................................................... 61,594
Other assets ........................................................................... 1,895
------------
Total assets ........................................................................ $20,377,155
------------
Liabilities:
Cash overdraft ........................................................................ $ 171,559
Foreign currency overdraft ............................................................ 23,548
Payable for investments purchased ...................................................... 801,860
Payable for Trust shares reacquired ................................................... --
Net payable for foreign currency exchange contracts closed ........................... --
Payable to affiliates --
Investment advisory fee ............................................................... --
Administrative fee .................................................................. 23
Accrued expenses and other liabilities ................................................ 10,505
------------
Total liabilities .................................................................. $ 1,007,495
------------
Net assets ........................................................................ $19,369,660
============
Net assets consist of:
Paid-in capital ........................................................................ $17,330,780
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies ..................................................................... 1,978,770
Accumulated undistributed net realized gain (loss) on investments and foreign currency
transactions ........................................................................... (101,072)
Accumulated undistributed (distributions in excess of) net investment income ......... 161,182
------------
Net assets ........................................................................ $19,369,660
============
Shares of beneficial interest outstanding ............................................. 1,588,576
============
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of beneficial interest outstanding) ............................................ $12.19
============
</TABLE>
See notes to financial statements
39
<PAGE>
MFS/Sun Life Series Trust
Statements of Assets and Liabilities -- June 30, 1997 -- continued
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
International
Growth
Assets: Series
Investments -- --------------
<S> <C>
Unaffiliated issuers, at cost ......................................................... $19,031,591
Unrealized appreciation ............................................................... 615,999
------------
Total investments, at value ......................................................... $19,647,590
Cash ................................................................................. 5,504
Foreign currency, at value (identified cost, $14,636) ................................. 14,511
Net receivable for forward foreign currency exchange contracts to purchase ............ 6,440
Net receivable for forward foreign currency exchange contracts sold .................. 65,712
Receivable for investments sold ...................................................... 32,915
Receivable for Trust shares sold ...................................................... 84,513
Interest and dividends receivable ...................................................... 33,029
Receivable from investment adviser ................................................... --
Other assets ........................................................................... 10,750
------------
Total assets ........................................................................ $19,900,964
------------
Liabilities:
Payable for investments purchased ...................................................... $ 2,611,635
Payable for Trust shares reacquired ................................................... --
Payable to affiliates --
Investment advisory fee ............................................................... 1,372
Administrative fee .................................................................. 21
Accrued expenses and other liabilities ................................................ 18,740
------------
Total liabilities .................................................................. $ 2,631,768
------------
Net assets ........................................................................ $17,269,196
============
Net assets consist of:
Paid-in capital ........................................................................ $16,636,438
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies ..................................................................... 692,270
Accumulated undistributed net realized gain (loss) on investments and foreign currency
transactions ........................................................................... (203,470)
Accumulated undistributed (distributions in excess of) net investment income ......... 143,958
------------
Net assets ........................................................................ $17,269,196
============
Shares of beneficial interest outstanding ............................................. 1,697,570
============
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of beneficial interest outstanding) ............................................. $10.17
===========
<CAPTION>
Managed
Sectors Research
Assets: Series Series
Investments -- -------------- -------------
<S> <C> <C>
Unaffiliated issuers, at cost ......................................................... $260,613,995 $437,412,613
Unrealized appreciation ............................................................... 31,435,564 69,938,811
------------- -------------
Total investments, at value ......................................................... $292,049,559 $507,351,424
Cash ................................................................................. 5,244 37,707
Foreign currency, at value (identified cost, $14,636) ................................. -- --
Net receivable for forward foreign currency exchange contracts to purchase ............ -- --
Net receivable for forward foreign currency exchange contracts sold .................. -- --
Receivable for investments sold ...................................................... 6,862,207 7,218,411
Receivable for Trust shares sold ...................................................... 750,279 920,755
Interest and dividends receivable ...................................................... 114,390 600,411
Receivable from investment adviser ................................................... -- --
Other assets ........................................................................... 2,337 47,915
------------- -------------
Total assets ........................................................................ $299,784,016 $516,176,623
------------- -------------
Liabilities:
Payable for investments purchased ...................................................... $ 4,732,655 $ 13,269,730
Payable for Trust shares reacquired ................................................... 46,689 7
Payable to affiliates --
Investment advisory fee ............................................................... 17,996 29,566
Administrative fee .................................................................. 360 616
Accrued expenses and other liabilities ................................................ 51,615 88,069
------------- -------------
Total liabilities .................................................................. $ 4,849,315 $ 13,387,988
------------- -------------
Net assets ........................................................................ $294,934,701 $502,788,635
============= =============
Net assets consist of:
Paid-in capital ........................................................................ $239,375,097 $416,760,155
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies ..................................................................... 31,436,351 69,937,941
Accumulated undistributed net realized gain (loss) on investments and foreign currency
transactions ........................................................................... 24,521,302 15,251,347
Accumulated undistributed (distributions in excess of) net investment income ......... (398,049) 839,192
------------- -------------
Net assets ........................................................................ $294,934,701 $502,788,635
============= =============
Shares of beneficial interest outstanding ............................................. 11,182,345 27,580,321
============= =============
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of beneficial interest outstanding) ............................................. $26.38 $18.23
============= =============
<CAPTION>
Research
Growth
and
Income
Assets: Series
Investments -- ---------
<S> <C>
Unaffiliated issuers, at cost ......................................................... $506,886
Unrealized appreciation ............................................................... 1,025
---------
Total investments, at value ......................................................... $507,911
Cash ................................................................................. 106,294
Foreign currency, at value (identified cost, $14,636) ................................. --
Net receivable for forward foreign currency exchange contracts to purchase ............ --
Net receivable for forward foreign currency exchange contracts sold .................. --
Receivable for investments sold ...................................................... --
Receivable for Trust shares sold ...................................................... --
Interest and dividends receivable ...................................................... --
Receivable from investment adviser ................................................... 5,043
Other assets ........................................................................... 161
---------
Total assets ........................................................................ $619,409
---------
Liabilities:
Payable for investments purchased ...................................................... $ --
Payable for Trust shares reacquired ................................................... 70
Payable to affiliates --
Investment advisory fee ............................................................... 38
Administrative fee .................................................................. 1
Accrued expenses and other liabilities ................................................ 5,042
---------
Total liabilities .................................................................. $ 5,151
---------
Net assets ........................................................................ $614,258
=========
Net assets consist of:
Paid-in capital ........................................................................ $611,062
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies ..................................................................... 1,025
Accumulated undistributed net realized gain (loss) on investments and foreign currency
transactions ........................................................................... 1,126
Accumulated undistributed (distributions in excess of) net investment income ......... 1,045
---------
Net assets ........................................................................ $614,258
=========
Shares of beneficial interest outstanding ............................................. 60,240
=========
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of beneficial interest outstanding) ............................................. $10.20
=========
</TABLE>
See notes to financial statements
40
<PAGE>
MFS/Sun Life Series Trust
Statements of Assets and Liabilities -- June 30, 1997 -- continued
<TABLE>
<CAPTION>
Total
Return
Assets: Series
Investments -- ----------------
<S> <C>
Unaffiliated issuers, at cost ......................................................... $1,299,338,474
Unrealized appreciation ............................................................... 224,689,904
---------------
Total investments, at value ......................................................... $1,524,028,378
Cash ................................................................................. --
Foreign currency, at value (identified cost, $8,149 and $129,071, respectively) ......... --
Receivable for investments sold ...................................................... 45,286,517
Receivable for Trust shares sold ...................................................... 2,772,624
Interest and dividends receivable ...................................................... 9,679,405
Other assets ........................................................................... 74,720
---------------
Total assets ........................................................................ $1,581,841,644
---------------
Liabilities:
Cash overdraft ........................................................................ $ 14,125
Foreign currency overdraft ............................................................ --
Payable for investments purchased ...................................................... 61,186,918
Payable for Trust shares reacquired ................................................... 265,324
Net payable for forward foreign currency exchange contracts purchased .................. --
Net payable for forward foreign currency exchange contracts to sell .................. --
Net payable for forward foreign currency exchange contracts closed or subject to master
netting agreements ................................................................... --
Payable to affiliates --
Investment advisory fee ............................................................... 82,607
Administrative fee .................................................................. 1,759
Accrued expenses and other liabilities ................................................ 156,055
---------------
Total liabilities .................................................................. $ 61,706,788
---------------
Net assets ........................................................................ $1,520,134,856
===============
Net assets consist of:
Paid-in capital ........................................................................ $1,198,811,329
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies ..................................................................... 224,684,622
Accumulated undistributed net realized gain on investments and foreign currency
transactions ........................................................................... 69,703,670
Accumulated undistributed net investment income ....................................... 26,935,235
---------------
Net assets ........................................................................ $1,520,134,856
===============
Shares of beneficial interest outstanding ............................................. 77,547,628
===============
Net asset value, offering price and redemption price per share (net assets [divided by]
ares of beneficial interest outstanding) ............................................. $19.60
===============
<CAPTION>
Utilities Value
Assets: Series Series
Investments -- ------------ -------------
<S> <C> <C>
Unaffiliated issuers, at cost ......................................................... $79,398,127 $42,356,452
Unrealized appreciation ............................................................... 9,165,478 3,763,680
------------ ------------
Total investments, at value ......................................................... $88,563,605 $46,120,132
Cash ................................................................................. -- 7,205
Foreign currency, at value (identified cost, $8,149 and $129,071, respectively) ......... -- 6,896
Receivable for investments sold ...................................................... 626,961 474,169
Receivable for Trust shares sold ...................................................... 76,911 143,191
Interest and dividends receivable ...................................................... 490,126 69,247
Other assets ........................................................................... 7,711 5,643
------------ ------------
Total assets ........................................................................ $89,765,314 $46,826,483
------------ ------------
Liabilities:
Cash overdraft ........................................................................ $ 188,658 $ --
Foreign currency overdraft ............................................................ 8 --
Payable for investments purchased ...................................................... 913,814 1,927,536
Payable for Trust shares reacquired ................................................... 290 --
Net payable for forward foreign currency exchange contracts purchased .................. -- --
Net payable for forward foreign currency exchange contracts to sell .................. -- --
Net payable for forward foreign currency exchange contracts closed or subject to master -- 7,259
netting agreements
Payable to affiliates --
Investment advisory fee ............................................................... 5,418 2,736
Administrative fee .................................................................. 108 55
Accrued expenses and other liabilities ................................................ 47,997 18,760
------------ ------------
Total liabilities .................................................................. $ 1,156,293 $ 1,956,346
------------ ------------
Net assets ........................................................................ $88,609,021 $44,870,137
============ ============
Net assets consist of:
Paid-in capital ........................................................................ $72,675,476 $40,357,474
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies ..................................................................... 9,166,685 3,756,572
Accumulated undistributed net realized gain on investments and foreign currency
transactions ........................................................................... 5,418,565 503,668
Accumulated undistributed net investment income ....................................... 1,348,295 252,423
------------ ------------
Net assets ........................................................................ $88,609,021 $44,870,137
============ ============
Shares of beneficial interest outstanding ............................................. 6,369,958 3,654,618
============ ============
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of beneficial interest outstanding) .......................................... $13.91 $12.28
============ ============
<CAPTION>
World
Growth
Assets: Series
Investments -- --------------
<S> <C>
Unaffiliated issuers, at cost ......................................................... $204,601,526
Unrealized appreciation ............................................................... 41,510,442
-------------
Total investments, at value ......................................................... $246,111,968
Cash ................................................................................. 47,834
Foreign currency, at value (identified cost, $8,149 and $129,071, respectively) ......... 130,124
Receivable for investments sold ...................................................... 3,387,018
Receivable for Trust shares sold ...................................................... 204,147
Interest and dividends receivable ...................................................... 608,152
Other assets ........................................................................... 1,784
-------------
Total assets ........................................................................ $250,491,027
-------------
Liabilities:
Cash overdraft ........................................................................ $ --
Foreign currency overdraft ............................................................ --
Payable for investments purchased ...................................................... 2,706,132
Payable for Trust shares reacquired ................................................... 24,064
Net payable for forward foreign currency exchange contracts purchased .................. 25,456
Net payable for forward foreign currency exchange contracts to sell .................. 6,132
Net payable for forward foreign currency exchange contracts closed or subject to master --
netting agreements
Payable to affiliates --
Investment advisory fee ............................................................... 18,206
Administrative fee .................................................................. 303
Accrued expenses and other liabilities ................................................ 107,441
-------------
Total liabilities .................................................................. $ 2,887,734
-------------
Net assets ........................................................................ $247,603,293
=============
Net assets consist of:
Paid-in capital ........................................................................ $198,924,200
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies ..................................................................... 41,476,194
Accumulated undistributed net realized gain on investments and foreign currency
transactions ........................................................................... 6,520,155
Accumulated undistributed net investment income ....................................... 682,744
-------------
Net assets ........................................................................ $247,603,293
=============
Shares of beneficial interest outstanding ............................................. 17,053,035
=============
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of beneficial interest outstanding) .......................................... $14.52
=============
</TABLE>
See notes to financial statements
41
<PAGE>
MFS/Sun Life Series Trust
Statements of Operations -- Six Months Ended June 30, 1997
<TABLE>
<CAPTION>
Capital
Appreciation
Net investment income: Series
Income -- ---------------
<S> <C>
Interest ........................................................................ $ 822,018
Dividends ........................................................................ 3,106,311
Foreign taxes withheld ......................................................... (30,616)
------------
Total investment income ......................................................... $ 3,897,713
------------
Expenses --
Investment advisory fees ......................................................... $ 4,101,345
Trustees' fees .................................................................. 398
Administrative fee ............................................................... 55,610
Custodian fee .................................................................. 192,671
Printing expense ............................................................... 34,407
Auditing fee ..................................................................... 17,181
Legal fee ........................................................................ 689
Miscellaneous .................................................................. 9,934
------------
Total expenses .................................................................. $ 4,412,235
Preliminary waiver of expenses by investment adviser ........................... --
Fees paid indirectly ............................................................ --
------------
Net expenses .................................................................. $ 4,412,235
------------
Net investment income (loss) ................................................... $ (514,522)
------------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ......................................................... $ 89,561,205
Foreign currency transactions ................................................... (30,879)
------------
Net realized gain (loss) on investments and foreign currency transactions ...... $ 89,530,326
------------
Change in unrealized appreciation (depreciation) on --
Investments ..................................................................... $ 72,224,314
Translation of assets and liabilities in foreign currencies ..................... --
------------
Net unrealized gain on investments and foreign currency translation ............ $ 72,224,314
------------
Net realized and unrealized gain on investments and foreign currency ......... $161,754,640
------------
Increase in net assets from operations ....................................... $161,240,118
============
<CAPTION>
Conservative Emerging
Growth Growth
Net investment income: Series Series
Income -- --------------- ---------------
<S> <C> <C>
Interest ........................................................................ $ 804,783 $ 577,723
Dividends ........................................................................ 5,986,046 272,119
Foreign taxes withheld ......................................................... (56,533) (8,795)
------------ -----------
Total investment income ......................................................... $ 6,734,296 $ 841,047
------------ -----------
Expenses --
Investment advisory fees ......................................................... $ 1,872,318 $ 1,060,743
Trustees' fees .................................................................. 398 398
Administrative fee ............................................................... 36,426 14,660
Custodian fee .................................................................. 117,152 58,940
Printing expense ............................................................... 24,006 6,059
Auditing fee ..................................................................... 16,351 23,721
Legal fee ........................................................................ 484 275
Miscellaneous .................................................................. -- 466
------------ -----------
Total expenses .................................................................. $ 2,067,135 $ 1,165,262
Preliminary waiver of expenses by investment adviser ........................... -- --
Fees paid indirectly ............................................................ (2,560) (11,248)
------------ -----------
Net expenses .................................................................. $ 2,064,575 $ 1,154,014
------------ -----------
Net investment income (loss) ................................................... $ 4,669,721 $ (312,967)
------------ -----------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ......................................................... $ 50,168,375 $ 3,769,170
Foreign currency transactions ................................................... (12,241) 1,665
------------ -----------
Net realized gain (loss) on investments and foreign currency transactions ...... $ 50,156,134 $ 3,770,835
------------ -----------
Change in unrealized appreciation (depreciation) on --
Investments ..................................................................... $ 68,534,683 $26,438,415
Translation of assets and liabilities in foreign currencies ..................... 1,731 (105,563)
------------ -----------
Net unrealized gain on investments and foreign currency translation ............ $ 68,536,414 $26,332,852
------------ -----------
Net realized and unrealized gain on investments and foreign currency ......... $118,692,548 $30,103,687
------------ -----------
Increase in net assets from operations ....................................... $123,362,269 $29,790,720
============ ===========
<CAPTION>
MFS/Foreign &
Colonial
Emerging
Equity
Net investment income: Series
Income -- --------------
<S> <C>
Interest ........................................................................ $ 44,262
Dividends ........................................................................ 135,729
Foreign taxes withheld ......................................................... (4,361)
----------
Total investment income ......................................................... $ 175,630
----------
Expenses --
Investment advisory fees ......................................................... $ 59,334
Trustees' fees .................................................................. 398
Administrative fee ............................................................... 620
Custodian fee .................................................................. 10,519
Printing expense ............................................................... 599
Auditing fee ..................................................................... 1,229
Legal fee ........................................................................ --
Miscellaneous .................................................................. 144
----------
Total expenses .................................................................. $ 72,843
Preliminary waiver of expenses by investment adviser ........................... (59,334)
Fees paid indirectly ............................................................ (4,125)
----------
Net expenses .................................................................. $ 9,384
----------
Net investment income (loss) ................................................... $ 166,246
----------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ......................................................... $ (89,763)
Foreign currency transactions ................................................... (6,013)
----------
Net realized gain (loss) on investments and foreign currency transactions ...... $ (95,776)
----------
Change in unrealized appreciation (depreciation) on --
Investments ..................................................................... $1,935,782
Translation of assets and liabilities in foreign currencies ..................... (1,242)
----------
Net unrealized gain on investments and foreign currency translation ............ $1,934,540
----------
Net realized and unrealized gain on investments and foreign currency ......... $1,838,764
----------
Increase in net assets from operations ....................................... $2,005,010
==========
</TABLE>
See notes to financial statements
42
<PAGE>
MFS/Sun Life Series Trust
Statements of Operations -- Six Months Ended June 30, 1997 -- continued
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
International
Growth
Net investment income: Series
Income -- ---------------
<S> <C>
Interest ........................................................................ $ 76,942
Dividends ........................................................................ 121,574
Foreign taxes withheld ......................................................... (14,279)
----------
Total investment income ......................................................... $ 184,237
----------
Expenses --
Investment advisory fees ......................................................... $ 49,671
Trustees' fees .................................................................. 398
Administrative fees ............................................................... 605
Custodian fees .................................................................. 10,167
Printing expenses ............................................................... 939
Auditing fees .................................................................. 981
Legal fees ..................................................................... 325
Miscellaneous ..................................................................... 123
----------
Total expenses .................................................................. $ 63,209
Preliminary waiver of expenses by investment adviser ........................... (26,067)
Fees paid indirectly ............................................................ (4,243)
----------
Net expenses .................................................................. $ 32,899
----------
Net investment income (loss) ................................................... $ 151,338
----------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ......................................................... $ (194,375)
Foreign currency transactions ................................................... (1,291)
----------
Net realized gain (loss) on investments and foreign currency transactions ...... $ (195,666)
----------
Change in unrealized appreciation (depreciation) on --
Investments ..................................................................... $ 692,221
Translation of assets and liabilities in foreign currencies ..................... 77,979
----------
Net unrealized gain on investments and foreign currency translation ............ $ 770,200
----------
Net realized and unrealized gain on investments and foreign currency ......... $ 574,534
----------
Increase in net assets from operations ....................................... $ 725,872
==========
<CAPTION>
Research
Growth
Managed and
Sectors Research Income
Net investment income: Series Series Series*
Income -- --------------- --------------- ------------
<S> <C> <C> <C>
Interest ........................................................................ $ 194,339 $ 349,322 $ 1,530
Dividends ........................................................................ 518,000 2,144,981 --
Foreign taxes withheld ......................................................... (1,669) (55,447) --
----------- ----------- ----------
Total investment income ......................................................... $ 710,670 $ 2,438,856 $ 1,530
----------- ----------- ----------
Expenses --
Investment advisory fees ......................................................... $ 1,009,573 $ 1,446,371 $ 243
Trustees' fees .................................................................. 398 398 398
Administrative fees ............................................................... 13,670 21,295 1
Custodian fees .................................................................. 59,062 86,795 19
Printing expenses ............................................................... 10,431 18,693 800
Auditing fees .................................................................. 15,990 23,210 3,750
Legal fees ..................................................................... 588 388 50
Miscellaneous ..................................................................... 3,357 5,731 286
----------- ----------- ----------
Total expenses .................................................................. $ 1,113,069 $ 1,602,881 $ 5,547
Preliminary waiver of expenses by investment adviser ........................... -- -- (5,043)
Fees paid indirectly ............................................................ (4,360) (4,355) (19)
----------- ----------- ----------
Net expenses .................................................................. $ 1,108,709 $ 1,598,526 $ 485
----------- ----------- ----------
Net investment income (loss) ................................................... $ (398,039) $ 840,330 $ 1,045
----------- ----------- ----------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ......................................................... $24,774,878 $15,398,072 $ 1,126
Foreign currency transactions ................................................... (14,629) (19,094) --
----------- ----------- ----------
Net realized gain (loss) on investments and foreign currency transactions ...... $24,760,249 $15,378,978 $ 1,126
----------- ----------- ----------
Change in unrealized appreciation (depreciation) on --
Investments ..................................................................... $10,753,128 $37,591,272 $ 1,025
Translation of assets and liabilities in foreign currencies ..................... 787 (647) --
----------- ----------- ----------
Net unrealized gain on investments and foreign currency translation ............ $10,753,915 $37,590,625 $ 1,025
----------- ----------- ----------
Net realized and unrealized gain on investments and foreign currency ......... $35,514,164 $52,969,603 $ 2,151
----------- ----------- ----------
Increase in net assets from operations ....................................... $35,116,125 $53,809,933 $ 3,196
=========== =========== ==========
*From May 13, 1997 (commencement of investment operations) through June 30, 1997.
See notes to financial statements
</TABLE>
43
<PAGE>
MFS/Sun Life Series Trust
Statements of Operations -- Six Months Ended June 30, 1997 -- continued
<TABLE>
<CAPTION>
Total
Return
Net investment income: Series
Income -- ---------------
<S> <C>
Interest ........................................................................ $ 20,992,514
Dividends ........................................................................ 10,943,512
Foreign taxes withheld ......................................................... (104,249)
------------
Total investment income ......................................................... $ 31,831,777
------------
Expenses --
Investment advisory fees ......................................................... $ 4,660,912
Trustees' fee .................................................................. 796
Administrative fee ............................................................... 68,286
Custodian fee .................................................................. 204,496
Printing expense ............................................................... 31,315
Auditing fee ..................................................................... 18,155
Legal fee ........................................................................ --
Miscellaneous ..................................................................... 41,084
------------
Total expenses .................................................................. $ 5,025,044
Preliminary waiver of expenses by investment adviser ........................... --
Fees paid indirectly ............................................................ (7,241)
------------
Net expenses .................................................................. $ 5,017,803
------------
Net investment income ......................................................... $ 26,813,974
------------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ......................................................... $ 69,943,381
Foreign currency transactions ................................................... (9,139)
------------
Net realized gain on investments and foreign currency transactions ............ $ 69,934,242
------------
Change in unrealized appreciation (depreciation) on --
Investments ..................................................................... $ 66,550,142
Translation of assets and liabilities in foreign currencies ..................... (3,713)
------------
Net unrealized gain on investments and foreign currency translation ............ $ 66,546,429
------------
Net realized and unrealized gain on investments and foreign currency ......... $136,480,671
------------
Increase in net assets from operations ....................................... $163,294,645
============
<CAPTION>
World
Utilities Value Growth
Net investment income: Series Series Series
Income -- -------------- -------------- --------------
<S> <C> <C> <C>
Interest ........................................................................ $ 513,415 $ 187,567 $ 421,972
Dividends ........................................................................ 1,190,896 138,552 1,644,220
Foreign taxes withheld ......................................................... (36,937) (7,884) (107,624)
---------- ---------- -----------
Total investment income ......................................................... $1,667,374 $ 318,235 $ 1,958,568
---------- ---------- -----------
Expenses --
Investment advisory fees ......................................................... $ 286,189 $ 110,577 $ 969,725
Trustees' fee .................................................................. 796 398 796
Administrative fee ............................................................... 3,986 1,702 11,062
Custodian fee .................................................................. 22,841 11,696 94,117
Printing expense ............................................................... 4,263 3,195 11,350
Auditing fee ..................................................................... 13,579 644 32,415
Legal fee ........................................................................ -- 443 --
Miscellaneous ..................................................................... 1,357 -- 4,754
---------- ---------- -----------
Total expenses .................................................................. $ 333,011 $ 128,655 $ 1,124,219
Preliminary waiver of expenses by investment adviser ........................... -- (61,335) --
Fees paid indirectly ............................................................ -- (1,475) (15,088)
---------- ---------- -----------
Net expenses .................................................................. $ 333,011 $ 65,845 $ 1,109,131
---------- ---------- -----------
Net investment income ......................................................... $1,334,363 $ 252,390 $ 849,437
---------- ---------- -----------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ......................................................... $5,489,640 $ 508,847 $ 7,340,349
Foreign currency transactions ................................................... (5,621) (2,207) (46,351)
---------- ---------- -----------
Net realized gain on investments and foreign currency transactions ............ $5,484,019 $ 506,640 $ 7,293,998
---------- ---------- -----------
Change in unrealized appreciation (depreciation) on --
Investments ..................................................................... $2,644,746 $3,289,678 $21,324,691
Translation of assets and liabilities in foreign currencies ..................... 868 (7,125) (33,323)
---------- ---------- -----------
Net unrealized gain on investments and foreign currency translation ............ $2,645,614 $3,282,553 $21,291,368
---------- ---------- -----------
Net realized and unrealized gain on investments and foreign currency ......... $8,129,633 $3,789,193 $28,585,366
---------- ---------- -----------
Increase in net assets from operations ....................................... $9,463,996 $4,041,583 $29,434,803
========== ========== ===========
</TABLE>
See notes to financial statements
44
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Six Months Ended June 30, 1997
<TABLE>
<CAPTION>
Capital
Appreciation
Increase (decrease) in net assets: Series
From operations -- ----------------
<S> <C>
Net investment income (loss) ............................................................ $ (514,522)
Net realized gain (loss) on investments and foreign currency transactions ............ 89,530,326
Net unrealized gain on investments and foreign currency translation .................. 72,224,314
--------------
Increase in net assets from operations ................................................ $ 161,240,118
--------------
Distributions declared to shareholders --
From net investment income ............................................................ $
--
From net realized gain on investments and foreign currency transactions ............... (104,376,322)
In excess of net investment income ................................................... --
--------------
Total distributions declared to shareholders .......................................... $ (104,376,322)
--------------
Trust share transactions --
Net proceeds from sale of shares ...................................................... $ 212,991,148
Net asset value of shares issued to shareholders in reinvestment of distributions ...... 104,376,322
Cost of shares reacquired ............................................................ (204,148,239)
--------------
Increase in net assets from Trust share transactions ................................. $ 113,219,231
--------------
Total increase In net assets ......................................................... $ 170,083,027
Net assets:
At beginning of period .................................................................. 1,061,631,431
--------------
At end of period ..................................................................... $1,231,714,458
==============
Accumulated undistributed (distributions in excess of) net investment income included in
net assets at end of period ........................................................... $ (514,522)
==============
<CAPTION>
Conservative Emerging
Growth Growth
Increase (decrease) in net assets: Series Series
From operations -- --------------- ---------------
<S> <C> <C>
Net investment income (loss) ............................................................ $ 4,669,721 $ (312,967)
Net realized gain (loss) on investments and foreign currency transactions ............ 50,156,134 3,770,835
Net unrealized gain on investments and foreign currency translation .................. 68,536,414 26,332,852
------------- --------------
Increase in net assets from operations ................................................ $ 123,362,269 $ 29,790,720
------------- --------------
Distributions declared to shareholders --
From net investment income ............................................................ $ (7,189,349) $ (188,684)
From net realized gain on investments and foreign currency transactions ............... (31,498,498) (1,150,020)
In excess of net investment income ................................................... -- (916)
------------- --------------
Total distributions declared to shareholders .......................................... $ (38,687,847) $ (1,339,620)
------------- --------------
Trust share transactions --
Net proceeds from sale of shares ...................................................... $ 183,035,456 $ 80,224,171
Net asset value of shares issued to shareholders in reinvestment of distributions ...... 38,687,847 1,339,620
Cost of shares reacquired ............................................................ (24,953,575) (22,169,033)
------------- --------------
Increase in net assets from Trust share transactions ................................. $ 196,769,728 $ 59,394,758
------------- --------------
Total increase In net assets ......................................................... $ 281,444,150 $ 87,845,858
Net assets:
At beginning of period .................................................................. 571,008,035 250,826,225
------------- --------------
At end of period ..................................................................... $ 852,452,185 $ 338,672,083
============= ==============
Accumulated undistributed (distributions in excess of) net investment income included in
net assets at end of period ........................................................... $ 4,668,463 $ (313,883)
============= ==============
<CAPTION>
MFS/Foreign &
Colonial
Emerging
Markets
Increase (decrease) in net assets: Equity Series
From operations -- ---------------
<S> <C>
Net investment income (loss) ............................................................ $ 166,246
Net realized gain (loss) on investments and foreign currency transactions ............ (95,776)
Net unrealized gain on investments and foreign currency translation .................. 1,934,540
-------------
Increase in net assets from operations ................................................ $ 2,005,010
-------------
Distributions declared to shareholders --
From net investment income ............................................................ $ (7,806)
From net realized gain on investments and foreign currency transactions ............... --
In excess of net investment income ................................................... --
-------------
Total distributions declared to shareholders .......................................... $ (7,806)
-------------
Trust share transactions --
Net proceeds from sale of shares ...................................................... $ 15,274,958
Net asset value of shares issued to shareholders in reinvestment of distributions ...... 7,806
Cost of shares reacquired ............................................................ (1,181,745)
-------------
Increase in net assets from Trust share transactions ................................. $ 14,101,019
-------------
Total increase In net assets ......................................................... $ 16,098,223
Net assets:
At beginning of period .................................................................. 3,271,437
-------------
At end of period ..................................................................... $ 19,369,660
=============
Accumulated undistributed (distributions in excess of) net investment income included in
net assets at end of period ........................................................... $ 161,182
=============
</TABLE>
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
International
Increase (decrease) in net assets: Growth Series
From operations -- ---------------
<S> <C>
Net investment income (loss) ......................................................... $ 151,338
Net realized gain (loss) on investments and foreign currency transactions ............ (195,666)
Net unrealized gain on investments and foreign currency translation .................. 770,200
-------------
Increase in net assets from operations ................................................ $ 725,872
-------------
Distributions declared to shareholders --
From net investment income ............................................................ $ (24,244)
From net realized gain on investments and foreign currency transactions ............... --
-------------
Total distributions declared to shareholders .......................................... $ (24,244)
-------------
Trust share transactions --
Net proceeds from sale of shares ...................................................... $ 12,616,649
Net asset value of shares issued to shareholders in reinvestment of distributions ...... 24,244
Cost of shares reacquired ............................................................... (1,598,548)
-------------
Increase in net assets from Trust share transactions ................................. $ 11,042,345
-------------
Total increase in net assets ......................................................... $ 11,743,973
Net assets:
At beginning of period ............................................................... 5,525,223
-------------
At end of period ..................................................................... $ 17,269,196
=============
Accumulated undistributed (distributions in excess of) net investment income included in
net assets at end of period ........................................................... $ 143,958
=============
<CAPTION>
Managed
Sectors Research
Increase (decrease) in net assets: Series Series
From operations -- --------------- ----------------
<S> <C> <C>
Net investment income (loss) ......................................................... $ (398,039) $ 840,330
Net realized gain (loss) on investments and foreign currency transactions ............ 24,760,249 15,378,978
Net unrealized gain on investments and foreign currency translation .................. 10,753,915 37,590,625
------------- -------------
Increase in net assets from operations ................................................ $ 35,116,125 $ 53,809,933
------------- -------------
Distributions declared to shareholders --
From net investment income ............................................................ $ (196,596) $ (954,883)
From net realized gain on investments and foreign currency transactions ............... (31,648,262) (12,012,838)
------------- -------------
Total distributions declared to shareholders .......................................... $(31,844,858) $ (12,967,721)
------------- -------------
Trust share transactions --
Net proceeds from sale of shares ...................................................... $ 28,304,281 $ 130,038,058
Net asset value of shares issued to shareholders in reinvestment of distributions ...... 31,844,858 12,967,721
Cost of shares reacquired ............................................................... (34,853,619) (6,448,569)
------------- -------------
Increase in net assets from Trust share transactions ................................. $ 25,295,520 $ 136,557,210
------------- -------------
Total increase in net assets ......................................................... $ 28,566,787 $ 177,399,422
Net assets:
At beginning of period ............................................................... 266,367,914 325,389,213
------------- -------------
At end of period ..................................................................... $294,934,701 $ 502,788,635
============= =============
Accumulated undistributed (distributions in excess of) net investment income included in
net assets at end of period ........................................................... $ (398,049) $ 839,192
============= =============
<CAPTION>
Research
Growth
and
Income
Increase (decrease) in net assets: Series*
From operations -- -------------
<S> <C>
Net investment income (loss) ......................................................... $ 1,045
Net realized gain (loss) on investments and foreign currency transactions ............ 1,126
Net unrealized gain on investments and foreign currency translation .................. 1,025
---------
Increase in net assets from operations ................................................ $ 3,196
---------
Distributions declared to shareholders --
From net investment income ............................................................ $ --
From net realized gain on investments and foreign currency transactions ............... --
---------
Total distributions declared to shareholders .......................................... $ --
---------
Trust share transactions --
Net proceeds from sale of shares ...................................................... $ 611,370
Net asset value of shares issued to shareholders in reinvestment of distributions ...... --
Cost of shares reacquired ............................................................... (308)
---------
Increase in net assets from Trust share transactions ................................. $ 611,062
---------
Total increase in net assets ......................................................... $ 614,258
Net assets:
At beginning of period ............................................................... --
---------
At end of period ..................................................................... $ 614,258
=========
Accumulated undistributed (distributions in excess of) net investment income included in
net assets at end of period ........................................................... $ 1,045
=========
</TABLE>
*From May 13, 1997 (commencement of investment operations) through June 30,
1997.
See notes to financial statements
45
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Six Months Ended June 30, 1997 --
continued
<TABLE>
<CAPTION>
Total
Return
Increase (decrease) in net assets: Series
From operations -- ------------------
<S> <C>
Net investment income .................................................................. $ 26,813,974
Net realized gain on investments and foreign currency transactions ..................... 69,934,242
Net unrealized gain on investments and foreign currency translation .................. 66,546,429
--------------
Increase in net assets from operations ................................................ $ 163,294,645
--------------
Distributions declared to shareholders --
From net investment income ............................................................ $ (49,958,857)
From net realized gain on investments and foreign currency transactions ............... (96,304,382)
--------------
Total distributions declared to shareholders .......................................... $ (146,263,239)
--------------
Trust share transactions --
Net proceeds from sale of shares ...................................................... $ 119,371,282
Net asset value of shares issued to shareholders in reinvestment of distributions ...... 146,263,239
Cost of shares reacquired ............................................................... (97,553,234)
--------------
Increase in net assets from Trust share transactions ................................. $ 168,081,287
--------------
Total increase in net assets ......................................................... $ 185,112,693
Net assets:
At beginning of period ............................................................... 1,335,022,163
--------------
At end of period ..................................................................... $1,520,134,856
==============
Accumulated undistributed net investment income included in net assets at end of period .. $ 26,935,235
==============
<CAPTION>
Utilities Value
Increase (decrease) in net assets: Series Series
From operations -- --------------- -------------
<S> <C> <C>
Net investment income .................................................................. $ 1,334,363 $ 252,390
Net realized gain on investments and foreign currency transactions ..................... 5,484,019 506,640
Net unrealized gain on investments and foreign currency translation .................. 2,645,614 3,282,553
------------- -----------
Increase in net assets from operations ................................................ $ 9,463,996 $ 4,041,583
------------- -----------
Distributions declared to shareholders --
From net investment income ............................................................ $ (2,296,378) $ (65,700)
From net realized gain on investments and foreign currency transactions ............... (7,017,680) (222,129)
------------- -----------
Total distributions declared to shareholders .......................................... $ (9,314,058) $ (287,829)
------------- -----------
Trust share transactions --
Net proceeds from sale of shares ...................................................... $ 11,760,917 $25,062,195
Net asset value of shares issued to shareholders in reinvestment of distributions ...... 9,314,058 287,829
Cost of shares reacquired ............................................................... (3,296,070) (933,496)
------------- -----------
Increase in net assets from Trust share transactions ................................. $ 17,778,905 $24,416,528
------------- -----------
Total increase in net assets ......................................................... $ 17,928,843 $28,170,282
Net assets:
At beginning of period ............................................................... 70,680,178 16,699,855
------------- -----------
At end of period ..................................................................... $ 88,609,021 $44,870,137
============= ===========
Accumulated undistributed net investment income included in net assets at end of period .. $ 1,348,295 $ 252,423
============= ===========
<CAPTION>
World
Growth
Increase (decrease) in net assets: Series
From operations -- ---------------
<S> <C>
Net investment income .................................................................. $ 849,437
Net realized gain on investments and foreign currency transactions ..................... 7,293,998
Net unrealized gain on investments and foreign currency translation .................. 21,291,368
---------------
Increase in net assets from operations ................................................ $ 29,434,803
---------------
Distributions declared to shareholders --
From net investment income ............................................................ $ (1,004,799)
From net realized gain on investments and foreign currency transactions ............... (4,111,083)
---------------
Total distributions declared to shareholders .......................................... $ (5,115,882)
---------------
Trust share transactions --
Net proceeds from sale of shares ...................................................... $ 36,930,313
Net asset value of shares issued to shareholders in reinvestment of distributions ...... 5,115,882
Cost of shares reacquired ............................................................... (21,867,329)
---------------
Increase in net assets from Trust share transactions ................................. $ 20,178,866
---------------
Total increase in net assets ......................................................... $ 44,497,787
Net assets:
At beginning of period ............................................................... 203,105,506
---------------
At end of period ..................................................................... $ 247,603,293
===============
Accumulated undistributed net investment income included in net assets at end of period .. $ 682,744
===============
</TABLE>
See notes to financial statements
46
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Year Ended December 31, 1996
<TABLE>
<CAPTION>
Capital
Appreciation
Increase (decrease) in net assets: Series
From operations -- ----------------
<S> <C>
Net investment income (loss) ......................................................... $ (494,702)
Net realized gain (loss) on investments and foreign currency transactions ............ 103,809,599
Net unrealized gain on investments and foreign currency translation .................. 78,680,700
--------------
Increase in net assets from operations ............................................. $ 181,995,597
--------------
Distributions declared to shareholders --
From net investment income ............................................................ $ (850,749)
From net realized gain on investments and foreign currency transactions ............... (75,199,375)
--------------
Total distributions declared to shareholders ....................................... $ (76,050,124)
--------------
Trust share transactions --
Net proceeds from sale of shares ...................................................... $ 385,162,405
Net asset value of shares issued to shareholders in reinvestment of distributions ...... 76,050,124
Cost of shares reacquired ............................................................ (302,628,263)
--------------
Increase in net assets from Trust share transactions ................................. $ 158,584,266
--------------
Total increase in net assets ......................................................... $ 264,529,739
Net assets:
At beginning of year .................................................................. 797,101,692
--------------
At end of year ........................................................................ $1,061,631,431
==============
Accumulated undistributed net investment income included in net assets at end of year ... $ --
==============
<CAPTION>
Conservative Emerging
Growth Growth
Increase (decrease) in net assets: Series Series
From operations -- ----------------- ----------------
<S> <C> <C>
Net investment income (loss) ......................................................... $ 7,196,530 $ 191,629
Net realized gain (loss) on investments and foreign currency transactions ............ 31,413,840 278,667
Net unrealized gain on investments and foreign currency translation .................. 58,920,592 16,792,021
------------- --------------
Increase in net assets from operations ............................................. $ 97,530,962 $ 17,262,317
------------- --------------
Distributions declared to shareholders --
From net investment income ............................................................ $ (4,723,151) $ (223,677)
From net realized gain on investments and foreign currency transactions ............... (10,911,137) --
------------- --------------
Total distributions declared to shareholders ....................................... $ (15,634,288) $ (223,677)
------------- --------------
Trust share transactions --
Net proceeds from sale of shares ...................................................... $ 190,035,383 $ 196,450,554
Net asset value of shares issued to shareholders in reinvestment of distributions ...... 15,634,288 223,677
Cost of shares reacquired ............................................................ (18,581,922) (30,141,433)
------------- --------------
Increase in net assets from Trust share transactions ................................. $ 187,087,749 $ 166,532,798
------------- --------------
Total increase in net assets ......................................................... $ 268,984,423 $ 183,571,438
Net assets:
At beginning of year .................................................................. 302,023,612 67,254,787
------------- --------------
At end of year ........................................................................ $ 571,008,035 $ 250,826,225
============= ==============
Accumulated undistributed net investment income included in net assets at end of year ... $ 7,188,091 $ 188,684
============= ==============
<CAPTION>
MFS/Foreign &
Colonial
Emerging
Markets
Increase (decrease) in net assets: Equity Series++
From operations -- ----------------
<S> <C>
Net investment income (loss) ......................................................... $ 7,100
Net realized gain (loss) on investments and foreign currency transactions ............ (9,654)
Net unrealized gain on investments and foreign currency translation .................. 44,230
----------
Increase in net assets from operations ............................................. $ 41,676
----------
Distributions declared to shareholders --
From net investment income ............................................................ $ --
From net realized gain on investments and foreign currency transactions ............... --
----------
Total distributions declared to shareholders ....................................... $ --
----------
Trust share transactions --
Net proceeds from sale of shares ...................................................... $3,745,777
Net asset value of shares issued to shareholders in reinvestment of distributions ...... --
Cost of shares reacquired ............................................................ (516,016)
----------
Increase in net assets from Trust share transactions ................................. $3,229,761
----------
Total increase in net assets ......................................................... $3,271,437
Net assets:
At beginning of year .................................................................. --
----------
At end of year ........................................................................ $3,271,437
==========
Accumulated undistributed net investment income included in net assets at end of year ... $ 2,742
==========
</TABLE>
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
International
Increase (decrease) in net assets: Growth Series+
From operations -- ----------------
<S> <C>
Net investment income ............................................................... $ 22,420
Net realized gain (loss) on investments and foreign currency transactions ......... (13,360)
Net unrealized gain (loss) on investments and foreign currency translation ......... (77,930)
-------------
Increase (decrease) in net assets from operations ................................. $ (68,870)
-------------
Distributions declared to shareholders --
From net investment income ......................................................... $ --
From net realized gain on investments and foreign currency transactions ............ --
-------------
Total distributions declared to shareholders ....................................... $ --
-------------
Trust share transactions --
Net proceeds from sale of shares ................................................... $ 7,169,348
Net asset value of shares issued to shareholders in reinvestment of distributions ... --
Cost of shares reacquired ............................................................ (1,575,255)
-------------
Increase in net assets from Trust share transactions .............................. $ 5,594,093
-------------
Total increase in net assets ...................................................... $ 5,525,223
Net assets:
At beginning of year ............................................................... --
-------------
At end of year ..................................................................... $ 5,525,223
=============
Accumulated undistributed net investment income included in net assets at end of year . $ 16,864
=============
<CAPTION>
Managed
Sectors Research
Increase (decrease) in net assets: Series Series
From operations -- -------------- --------------
<S> <C> <C>
Net investment income ............................................................... $ 206,805 $ 972,234
Net realized gain (loss) on investments and foreign currency transactions ......... 31,504,082 11,923,794
Net unrealized gain (loss) on investments and foreign currency translation ......... 6,002,049 25,455,574
------------- ------------
Increase (decrease) in net assets from operations ................................. $ 37,712,936 $ 38,351,602
------------- ------------
Distributions declared to shareholders --
From net investment income ......................................................... $ (637,050) $ (328,089)
From net realized gain on investments and foreign currency transactions ............ (28,755,283) (1,843,286)
------------- ------------
Total distributions declared to shareholders ....................................... $ (29,392,333) $ (2,171,375)
------------- ------------
Trust share transactions --
Net proceeds from sale of shares ................................................... $ 71,069,036 $220,770,984
Net asset value of shares issued to shareholders in reinvestment of distributions ... 29,392,333 2,171,375
Cost of shares reacquired ............................................................ (36,764,837) (5,561,486)
------------- ------------
Increase in net assets from Trust share transactions .............................. $ 63,696,532 $217,380,873
------------- ------------
Total increase in net assets ...................................................... $ 72,017,135 $253,561,100
Net assets:
At beginning of year ............................................................... 194,350,779 71,828,113
------------- ------------
At end of year ..................................................................... $ 266,367,914 $325,389,213
============= ============
Accumulated undistributed net investment income included in net assets at end of year . $ 196,586 $ 953,745
============= ============
</TABLE>
+From June 3, 1996 (commencement of investment operations) through
December 31, 1996.
++From June 5, 1996 (commencement of investment operations) through
December 31, 1996.
See notes to financial statements
47
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Six Months Ended June 30, 1997 --
continued
<TABLE>
<CAPTION>
Total
Return
Increase (decrease) in net assets: Series
From operations -- ----------------
<S> <C>
Net investment income ......................................................... $ 50,133,901
Net realized gain on investments and foreign currency transactions ............ 96,340,959
Net unrealized gain on investments and foreign currency translation ............ 15,773,783
--------------
Increase in net assets from operations .......................................... $ 162,248,643
--------------
Distributions declared to shareholders --
From net investment income ...................................................... $ (44,516,908)
From net realized gain on investments and foreign currency transactions ......... (41,696,365)
--------------
Total distributions declared to shareholders ................................. $ (86,213,273)
--------------
Trust share transactions --
Net proceeds from sale of shares ................................................ $ 164,902,813
Net asset value of shares issued to shareholders in reinvestment of distributions 86,213,273
Cost of shares reacquired ...................................................... (92,016,690)
--------------
Increase in net assets from Trust share transactions ........................... $ 159,099,396
--------------
Total increase in net assets ................................................... $ 235,134,766
Net assets:
At beginning of year ............................................................ 1,099,887,397
--------------
At end of year .................................................................. $1,335,022,163
==============
Accumulated undistributed net investment income included in net assets at
end of year ..................................................................... $ 50,080,118
==============
<CAPTION>
Utilities Value
Increase (decrease) in net assets: Series Series+
From operations -- --------------- ------------
<S> <C> <C>
Net investment income ......................................................... $ 2,361,477 $ 66,130
Net realized gain on investments and foreign currency transactions ............ 6,976,719 218,760
Net unrealized gain on investments and foreign currency translation ............ 1,890,721 474,019
------------- ------------
Increase in net assets from operations .......................................... $ 11,228,917 $ 758,909
------------- ------------
Distributions declared to shareholders --
From net investment income ...................................................... $ (1,325,715) $ --
From net realized gain on investments and foreign currency transactions ......... (1,440,891) --
------------- ------------
Total distributions declared to shareholders ................................. $ (2,766,606) $ --
------------- ------------
Trust share transactions --
Net proceeds from sale of shares ................................................ $ 23,567,505 $16,436,287
Net asset value of shares issued to shareholders in reinvestment of distributions 2,766,606 --
Cost of shares reacquired ...................................................... (7,250,604) (495,341)
------------- ------------
Increase in net assets from Trust share transactions ........................... $ 19,083,507 $15,940,946
------------- ------------
Total increase in net assets ................................................... $ 27,545,818 $16,699,855
Net assets:
At beginning of year ............................................................ 43,134,360 --
------------- ------------
At end of year .................................................................. $ 70,680,178 $16,699,855
============= ============
Accumulated undistributed net investment income included in net assets at
end of year ..................................................................... $ 2,310,310 $ 65,733
============= ============
<CAPTION>
World
Growth
Increase (decrease) in net assets: Series
From operations -- ---------------
<S> <C>
Net investment income ......................................................... $ 327,326
Net realized gain on investments and foreign currency transactions ............ 4,230,851
Net unrealized gain on investments and foreign currency translation ............ 15,684,144
-------------
Increase in net assets from operations .......................................... $ 20,242,321
-------------
Distributions declared to shareholders --
From net investment income ...................................................... $ (1,196,882)
From net realized gain on investments and foreign currency transactions ......... (11,275,915)
-------------
Total distributions declared to shareholders ................................. $ (12,472,797)
-------------
Trust share transactions --
Net proceeds from sale of shares ................................................ $ 81,483,550
Net asset value of shares issued to shareholders in reinvestment of distributions 12,472,797
Cost of shares reacquired ...................................................... (45,008,598)
-------------
Increase in net assets from Trust share transactions ........................... $ 48,947,749
-------------
Total increase in net assets ................................................... $ 56,717,273
Net assets:
At beginning of year ............................................................ 146,388,233
-------------
At end of year .................................................................. $ 203,105,506
=============
Accumulated undistributed net investment income included in net assets at
end of year ..................................................................... $ 838,106
=============
</TABLE>
+From June 3, 1996 (commencement of investment operations) through
December 31, 1996.
See notes to financial statements
48
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights
<TABLE>
<CAPTION>
Capital Appreciation Series
-----------------------------
Year Ended
Six Months December 31,
Ended --------------
June 30,
1997 1996
Per share data (for a share outstanding throughout each period): ------------ --------------
<S> <C> <C>
Net asset value -- beginning of period .................................... $ 35.8316 $ 31.9878
----------- ------------
Income from investment operations# --
Net investment income (loss) ............................................. $ (0.0169) $ (0.0200)
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................ 5.2924 6.7422
----------- ------------
Total from investment operations ....................................... $ 5.2755 $ 6.7222
----------- ------------
Less distributions --
From net investment income ............................................. $ -- $ (0.0322)
From net realized gain on investments and foreign currency transactions (3.5210) (2.8462)
----------- ------------
Total distributions ................................................... $ (3.5210) $ (2.8784)
----------- ------------
Net asset value -- end of period .......................................... $ 37.5861 $ 35.8316
=========== ============
Total return[dbldag] ...................................................... 15.28%++ 21.48%
Ratios (to average net assets)/Supplemental data:
Expenses## ............................................................... 0.79%+ 0.80%
Net investment income (loss) ............................................. (0.09)%+ (0.05)%
Portfolio turnover ...................................................... 32% 67%
Average commission rate### ................................................ $ 0.0381 $ 0.0463
Net assets, end of period (000 omitted) ................................. $1,231,714 $1,061,631
<CAPTION>
Year Ended December 31,
-------------------------------------------
1995 1994 1993
Per share data (for a share outstanding throughout each period): -------------- ------------- --------------
<S> <C> <C> <C>
Net asset value -- beginning of period .................................... $ 24.4076 $ 28.1892 $ 24.8989
---------- --------- ----------
Income from investment operations# --
Net investment income (loss) ............................................. $ 0.0933 $ 0.0523 $ 0.1036
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................ 8.1619 (1.1104) 4.2197
---------- --------- ----------
Total from investment operations ....................................... $ 8.2552 $ (1.0581) $ 4.3233
---------- --------- ----------
Less distributions --
From net investment income ............................................. $ (0.0568) $ (0.1306) $ (0.1095)
From net realized gain on investments and foreign currency transactions (0.6182) (2.5929) (0.9235)
---------- --------- ----------
Total distributions ................................................... $ (0.6750) $ (2.7235) $ (1.0330)
---------- --------- ----------
Net asset value -- end of period .......................................... $ 31.9878 $ 24.4076 $ 28.1892
========== ========= ==========
Total return[dbldag] ...................................................... 34.46% (3.60)% 18.00%
Ratios (to average net assets)/Supplemental data:
Expenses## ............................................................... 0.83% 0.83% 0.83%
Net investment income (loss) ............................................. 0.32% 0.24% 0.48%
Portfolio turnover ...................................................... 89% 52% 70%
Average commission rate### ................................................ -- -- --
Net assets, end of period (000 omitted) ................................. $797,102 $ 476,508 $ 420,552
<CAPTION>
1992
Per share data (for a share outstanding throughout each period): ------------
<S> <C>
Net asset value -- beginning of period .................................... $ 23.0886
----------
Income from investment operations# --
Net investment income (loss) ............................................. $ 0.0909
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................ 2.9238
----------
Total from investment operations ....................................... $ 3.0147
----------
Less distributions --
From net investment income ............................................. $ (0.1831)
From net realized gain on investments and foreign currency transactions (1.0213)
----------
Total distributions ................................................... $ (1.2044)
----------
Net asset value -- end of period .......................................... $ 24.8989
==========
Total return[dbldag] ...................................................... 13.61%
Ratios (to average net assets)/Supplemental data:
Expenses## ............................................................... 0.87%
Net investment income (loss) ............................................. 0.50%
Portfolio turnover ...................................................... 69%
Average commission rate### ................................................ --
Net assets, end of period (000 omitted) ................................. $ 262,645
</TABLE>
<TABLE>
<CAPTION>
Conservative Growth Series
------------------------------------------------------------
Six Months Year Ended December 31,
Ended -------------------------------------------
Per share data (for a share outstanding June 30,
throughout each period): 1997 1996 1995 1994
---------------- -------------- -------------- -------------
<S> <C> <C> <C> <C>
Net asset value -- beginning of period ............... $ 26.4978 $ 22.0182 $ 16.4563 $ 16.9289
----------- ---------- ---------- ---------
Income from investment operations# --
Net investment income (loss)[sec] ..................... $ 0.1901 $ 0.4100 $ 0.4318 $ 0.2942
Net realized and unrealized gain (loss) on investments
and foreign currency transactions .................. 4.7386 5.0415 5.6172 (0.4790)
----------- ---------- ---------- ---------
Total from investment operations .................. $ 4.9287 $ 5.4515 $ 6.0490 $ (0.1848)
----------- ---------- ---------- ---------
Less distributions --
From net investment income ........................... $ (0.2854) $ (0.2936) $ (0.3037) $ (0.1996)
From net realized gain on investments and foreign
currency transactions .............................. (1.2502) (0.6783) (0.1834) (0.0882)
----------- ---------- ---------- ---------
Total distributions ................................. $ (1.5356) $ (0.9719) $ (0.4871) $ (0.2878)
----------- ---------- ---------- ---------
Net asset value -- end of period ..................... $ 29.8909 $ 26.4978 $ 22.0182 $ 16.4563
=========== ========== ========== =========
Total return[dbldag] .................................... 18.97%++ 25.41% 37.41% (1.10)%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## .......................................... 0.61%+ 0.61% 0.64% 0.64%
Net investment income (loss) ........................ 1.37%+ 1.71% 2.25% 2.42%
Portfolio turnover .................................... 33% 51% 60% 146%
Average commission rate### ........................... $ 0.0540 $ 0.0502 -- --
Net assets, end of period (000 omitted) ............... $ 852,452 $ 571,008 $ 302,024 $ 150,318
<CAPTION>
Emerging Growth Series
-------------------------------
Six Months Year
Year Ended December 31, Ended Ended
Per share data (for a share outstanding ----------------------------- June 30, December 31,
throughout each period): 1993 1992 1997 1996
----------- ----------- ------------- ------------
<S> <C> <C> <C> <C>
Net asset value -- beginning of period ............... $ 16.0717 $ 16.8547 $ 14.8305 $ 12.6867
---------- ---------- ------------- ----------
Income from investment operations# --
Net investment income (loss)[sec] ..................... $ 0.2041 $ 0.1810 $ (0.0165) $ 0.0175
Net realized and unrealized gain (loss) on investments
and foreign currency transactions .................. 1.1280 0.6747 1.5685 2.1506
---------- ---------- ------------- ----------
Total from investment operations .................. $ 1.3321 $ 0.8557 $ 1.5520 $ 2.1681
---------- ---------- ------------- ----------
Less distributions --
From net investment income ........................... $ (0.1509) $ (0.1387) $ (0.0098) $ (0.0243)
From net realized gain on investments and foreign
currency transactions .............................. (0.3240) (1.5000) (0.0592) --
---------- ---------- ------------- ----------
Total distributions ................................. $ (0.4749) $ (1.6387) $ (0.0690) $(0.0243)
---------- ---------- ------------- ----------
Net asset value -- end of period ..................... $ 16.9289 $ 16.0717 $ 16.3135 $ 14.8305
========== ========== ============= =========
Total return[dbldag] ................................. 8.43% 5.71% 10.48%++ 17.15%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## .......................................... 0.66% 0.80% 0.81%+ 0.70%
Net investment income (loss) ........................ 2.05% 1.84% (0.22)%+ 0.12%
Portfolio turnover .................................... 19% 40% 67% 88%
Average commission rate### ........................... -- -- $ 0.0563 $ 0.0346
Net assets, end of period (000 omitted) ............... $ 95,770 $ 44,455 $ 338,672 $ 250,826
<CAPTION>
Period
Ended
Per share data (for a share outstanding December 31,
throughout each period): 1995*
-----------------
<S> <C>
Net asset value -- beginning of period ............... $ 10.0000**
------------
Income from investment operations# --
Net investment income (loss)[sec] ..................... $ 0.0788
Net realized and unrealized gain (loss) on investments
and foreign currency transactions .................. 2.6079
------------
Total from investment operations .................. $ 2.6867
------------
Less distributions --
From net investment income ........................... $ --
From net realized gain on investments and foreign
currency transactions .............................. --
------------
Total distributions ................................. $ --
------------
Net asset value -- end of period ..................... $ 12.6867
============
Total return[dbldag] ................................. 26.80%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## .......................................... 0.24%+
Net investment income (loss) ........................ 1.13%+
Portfolio turnover .................................... 28%
Average commission rate### ........................... --
Net assets, end of period (000 omitted) ............... $ 67,255
</TABLE>
*From May 1, 1995 (commencement of investment operations) through December 31,
1995.
**Net asset value on date of commencement of operations.
+Annualized.
++Not annualized.
#Per share data for the periods subsequent to December 31, 1992, are based on
average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are calculated
without reduction for fees paid indirectly.
###Average commission rate is calculated for Series with fiscal years beginning
on or after September 1, 1995.
[dbldag]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.
[sec]The investment adviser voluntarily waived all or a portion of its
advisory fee for the Emerging Growth Series for the periods indicated.
If the waiver had not been in place, the net investment income (loss)
per share and the ratios would have been:
<TABLE>
<CAPTION>
Emerging Growth Series
------------------------------
Year Period
Ended Ended
December 31, December 31,
1996 1995*
-------------- -------------
<S> <C> <C>
Net investment income (loss) ............. $(0.0406) $ 0.0265
Ratios (to average net assets):
Expenses## ............................... 0.84% 1.00%+
Net investment income (loss) ............. (0.02)% 0.38%+
</TABLE>
See notes to financial statements
49
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
MFS/Foreign
& Colonial
Emerging
Markets
Equity Series
---------------------------------
Six Months Period Ended
Ended December 31,
Per share data (for a share outstanding throughout each period): June 30, 1997 1996***
------------- ----------------
<S> <C> <C>
Net asset value -- beginning of period .................................... $ 10.0013 $ 10.0000****
----------- -------------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.1855 $ 0.0706
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................ 2.0128 (0.0693)
----------- -------------
Total from investment operations ....................................... $ 2.1983 $ 0.0013
----------- -------------
Less distributions from net investment income ........................... $ (0.0065) $ --
----------- -------------
Net asset value -- end of period .......................................... $ 12.1931 $ 10.0013
=========== =============
Total return[dbldag] ...................................................... 21.97%++ 0.00%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................... 0.28%+ 1.50%+
Net investment income ................................................... 3.42%+ 0.77%+
Portfolio turnover ...................................................... 14% 4%
Average commission rate### ................................................ $ 0.0019 $ 0.0011
Net assets, end of period (000 omitted) ................................. $ 19,370 $ 3,271
<CAPTION>
MFS/Foreign
& Colonial
International
Growth Series
-------------------------------------
Six Months Period Ended
Ended December 31,
June 30, 1997 1996*
Per share data (for a share outstanding throughout each period): -------------- ----------------------
<S> <C> <C>
Net asset value -- beginning of period .................................... $ 9.8213 $ 10.0000*****
----------- -------------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.1419 $ 0.0748
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................ 0.2284 (0.2535)
----------- -------------
Total from investment operations ....................................... $ 0.3703 $ (0.1787)
----------- -------------
Less distributions from net investment income ........................... $ (0.0187) $ --
----------- -------------
Net asset value -- end of period .......................................... $ 10.1729 $ 9.8213
=========== =============
Total return[dbldag] ...................................................... 3.86%++ (1.70)%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................... 0.74%+ 1.50%+
Net investment income ................................................... 3.00%+ 1.47%+
Portfolio turnover ...................................................... 19% 3%
Average commission rate### ................................................ $ 0.0175 $ 0.0252
Net assets, end of period (000 omitted) ................................. $ 17,269 $ 5,525
</TABLE>
<TABLE>
<CAPTION>
Managed Sectors Series
------------------------------
Year Ended
December 31,
Six Months --------------
Ended
June 30, 1997 1996
Per share data (for a share outstanding throughout each period): --------------- --------------
<S> <C> <C>
Net asset value -- beginning of period .................................... $ 26.2503 $ 25.4468
----------- ----------
Income from investment operations# --
Net investment income (loss) ............................................. $ (0.0386) $ 0.0200
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................ 3.4240 4.2817
----------- ----------
Total from investment operations ....................................... $ 3.3854 $ 4.3017
----------- ----------
Less distributions --
From net investment income ............................................. $ (0.0201) $ (0.0758)
From net realized gain on investments and foreign currency transactions ... (3.2406) (3.4224)
----------- ----------
Total distributions ................................................... $ (3.2607) $ (3.4982)
----------- ----------
Net asset value -- end of period .......................................... $ 26.3750 $ 26.2503
=========== ==========
Total return[dbldag] ...................................................... 13.61%++ 17.58%
Ratios (to average net assets)/Supplemental data:
Expenses## ............................................................... 0.82%+ 0.82%
Net investment income (loss) ............................................. (0.29)%+ 0.09%
Portfolio turnover ...................................................... 58% 121%
Average commission rate### ................................................ $ 0.0564 $ 0.0475
Net assets, end of period (000 omitted) ................................. $ 294,935 $ 266,368
<CAPTION>
Year Ended December 31,
-----------------------------------------
1995 1994 1993
Per share data (for a share outstanding throughout each period): -------------- ------------- ------------
<S> <C> <C> <C>
Net asset value -- beginning of period .................................... $ 19.8823 $ 23.2419 $ 22.3342
---------- ----------- ---------
Income from investment operations# --
Net investment income (loss) ............................................. $ 0.0979 $ 0.0982 $ 0.0027
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................ 6.1880 (0.6610) 0.9050
---------- ----------- ---------
Total from investment operations ....................................... $ 6.2859 $ (0.5628) $ 0.9077
---------- ----------- ---------
Less distributions --
From net investment income ............................................. $ (0.0542) $ (0.0239) $ --
From net realized gain on investments and foreign currency transactions ... (0.6672) (2.7729) --
---------- ----------- ---------
Total distributions ................................................... $ (0.7214) $ (2.7968) $ --
---------- ----------- ---------
Net asset value -- end of period .......................................... $ 25.4468 $ 19.8823 $ 23.2419
========== =========== =========
Total return[dbldag] ...................................................... 32.29% (1.94)% 4.08%
Ratios (to average net assets)/Supplemental data:
Expenses## ............................................................... 0.84% 0.87% 0.84%
Net investment income (loss) ............................................. 0.42% 0.53% 0.01%
Portfolio turnover ...................................................... 113% 103% 116%
Average commission rate### ................................................ -- -- --
Net assets, end of period (000 omitted) ................................. $ 194,351 $ 118,987 $ 104,964
<CAPTION>
1992
Per share data (for a share outstanding throughout each period): -------------
<S> <C>
Net asset value -- beginning of period .................................... $ 21.0115
----------
Income from investment operations# --
Net investment income (loss) ............................................. $ (0.0565)
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................ 1.4184
----------
Total from investment operations ....................................... $ 1.3619
----------
Less distributions --
From net investment income ............................................. $ (0.0392)
From net realized gain on investments and foreign currency transactions ... --
----------
Total distributions ................................................... $ (0.0392)
----------
Net asset value -- end of period .......................................... $ 22.3342
==========
Total return[dbldag] ...................................................... 6.48%
Ratios (to average net assets)/Supplemental data:
Expenses## ............................................................... 0.93%
Net investment income (loss) ............................................. (0.35)%
Portfolio turnover ...................................................... 22%
Average commission rate### ................................................ --
Net assets, end of period (000 omitted) ................................. $ 83,413
</TABLE>
*From June 3, 1996 (commencement of investment operations) through December
31, 1996.
***From June 5, 1996 (commencement of investment operations) through December
31, 1996.
****Net asset value on date of commencement of operations.
+Annualized.
++Not annualized.
#Per share data for the periods subsequent to December 31, 1992 are based on
average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are calculated
without reduction for fees paid indirectly.
###Average commission rate is calculated for Series with fiscal years
beginning on or after September 1, 1995.
[dbldag]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.
[sec]The investment adviser voluntarily agreed to maintain the expenses of
the MFS/Foreign & Colonial Emerging Markets Equity Series and MFS/
Foreign & Colonial International Growth Series at not more than 1.50%
of average daily net assets. In addition, the investment adviser
voluntarily waived all or a portion of its advisory fee for the periods
indicated. To the extent actual expenses were over these limitations,
the net investment income (loss) per share and the ratios would have
been:
<TABLE>
<CAPTION>
MFS/Foreign
& Colonial MFS/Foreign
Emerging & Colonial
Markets International
Equity Series Growth Series
--------------------------------- --------------------------------
Six Months Period Ended Six Months Period Ended
Ended June 30, December 31, Ended June 30, December 31,
1997 1996*** 1997 1996*
---------------- -------------- ---------------- -------------
<S> <C> <C> <C> <C>
Net investment income (loss) ...... $ 0.1193 $ (0.0975) $ 0.1175 $ 0.0265
Ratios (to average net assets):
Expenses## ........................ 1.50%+ 3.38%+ 1.25%+ 2.50%+
Net investment income (loss) ...... 2.20%+ (1.12)%+ 2.49%+ 0.46%+
</TABLE>
See notes to financial statements
50
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
Research Series
-----------------------------------------------------------------
Year Ended December 31,
Six Months ----------------------------- Period Ended
Per share data (for a share outstanding Ended June 30, December 31,
throughout each period): 1997 1996 1995 1994*
---------------- -------------- -------------- ------------------
<S> <C> <C> <C> <C>
Net asset value -- beginning of period . $ 16.5735 $ 13.5777 $ 9.8761 $ 10.0000**
----------- ---------- ---------- -----------
Income from investment operations# --
Net investment income[sec] ............... $ 0.0358 $ 0.0797 $ 0.1401 $ 0.0131
Net realized and unrealized gain (loss)
on investments and foreign
currency transactions .................. 2.1466 3.1330 3.5651 (0.1370)
----------- ---------- ---------- -----------
Total from investment operations $ 2.1824 $ 3.2127 $ 3.7052 $ (0.1239)
----------- ---------- ---------- -----------
Less distributions --
From net investment income ............... $ (0.0387) $ (0.0328) $ (0.0036) --
From net realized gain on investments
and foreign currency transactions ...... (0.4872) (0.1841) -- --
----------- ---------- ---------- -----------
Total distributions .................. $ (0.5259) $ (0.2169) $ (0.0036) $ --
----------- ---------- ---------- -----------
Net asset value -- end of period ......... $ 18.2300 $ 16.5735 $ 13.5777 $ 9.8761
=========== ========== ========== ===========
Total return[dbldag] ..................... 13.40%++ 23.76% 37.50% (1.20)%++
Ratios (to average net assets)/
Supplemental data[sec]:
Expenses## .............................. 0.81%+ 0.84% 0.58% 1.50%+
Net investment income .................. 0.42%+ 0.52% 1.16% 1.80%+
Portfolio turnover ........................ 45% 70% 81% 3%
Average commission rate### ............... $ 0.0394 $ 0.0280 -- --
Net assets, end of period
(000 omitted) ........................... $ 502,789 $ 325,389 $ 71,828 $ 3,869
<CAPTION>
Research Growth
and Income
Series Total Return Series
----------------- -----------------------------------------------------------
Year Ended December 31,
Period Ended Six Months -------------------------------------------
Per share data (for a share outstanding June 30, Ended June 30,
throughout each period): 1997*** 1997 1996 1995 1994
----------------- --------------- -------------- -------------- -------------
<S> <C> <C> <C> <C> <C>
Net asset value -- beginning of period . $ 10.0000** $ 19.4397 $ 18.3848 $ 15.0862 $ 16.0946
------------ ----------- ---------- ---------- -----------
Income from investment operations# --
Net investment income[sec] ............... $ 0.0423 $ 0.3756 $ 0.7677 $ 0.7824 $ 0.5639
Net realized and unrealized gain (loss)
on investments and foreign
currency transactions .................. 0.1545 1.9052 1.6795 3.1527 (0.9310)
------------ ----------- ---------- ---------- -----------
Total from investment operations $ 0.1968 $ 2.2808 $ 2.4472 $ 3.9351 $ (0.3671)
------------ ----------- ---------- ---------- -----------
Less distributions --
From net investment income ............... $ -- $ (0.7234) $ (0.7189) $ (0.6365) $ (0.4344)
From net realized gain on investments
and foreign currency transactions ...... -- (1.3945) (0.6734) -- (0.2069)
------------ ----------- ---------- ---------- -----------
Total distributions .................. $ -- $ (2.1179) $ (1.3923) $ (0.6365) $ (0.6413)
------------ ----------- ---------- ---------- -----------
Net asset value -- end of period ......... $ 10.1968 $ 19.6026 $ 19.4397 $ 18.3848 $ 15.0862
============ =========== ========== ========== ===========
Total return[dbldag] ..................... 2.00%++ 12.14%++ 14.10% 26.71% (2.22)%
Ratios (to average net assets)/
Supplemental data[sec]:
Expenses## .............................. 1.49%+ 0.72%+ 0.72% 0.76% 0.76%
Net investment income .................. 3.21%+ 3.83%+ 4.15% 4.70% 4.34%
Portfolio turnover ........................ 162% 66% 134% 108% 66%
Average commission rate### ............... $ 0.0600 $ 0.0582 $ 0.0539 -- --
Net assets, end of period
(000 omitted) ........................... $ 614 $1,520,135 $1,335,022 $1,099,887 $ 839,614
<CAPTION>
Per share data (for a share outstanding
throughout each period): 1993 1992
-------------- --------------
<S> <C> <C>
Net asset value -- beginning of period . $ 14.7219 $ 14.2209
---------- ----------
Income from investment operations# --
Net investment income[sec] ............... $ 0.4319 $ 0.5389
Net realized and unrealized gain (loss)
on investments and foreign
currency transactions .................. 1.5044 0.6247
---------- ----------
Total from investment operations $ 1.9363 $ 1.1636
---------- ----------
Less distributions --
From net investment income ............... $ (0.4798) $ (0.5673)
From net realized gain on investments
and foreign currency transactions ...... (0.0838) (0.0953)
---------- ----------
Total distributions .................. $ (0.5636) $ (0.6626)
---------- ----------
Net asset value -- end of period ......... $ 16.0946 $ 14.7219
========== ==========
Total return[dbldag] ..................... 13.37% 8.57%
Ratios (to average net assets)/
Supplemental data[sec]:
Expenses## .............................. 0.78% 0.85%
Net investment income .................. 4.06% 4.96%
Portfolio turnover ........................ 102% 71%
Average commission rate### ............... -- --
Net assets, end of period
(000 omitted) ........................... $ 696,496 $ 397,385
</TABLE>
*From November 7, 1994 (commencement of investment operations) through
December 31, 1994.
**Net asset value on date of commencement of operations.
***From May 13, 1997 (commencement of investment operations) through June 30,
1997.
+Annualized.
++Not annualized.
#Per share data for the periods subsequent to December 31, 1992 are based on
average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are calculated
without reduction for fees paid indirectly.
###Average commission rate is calculated for Series with fiscal years beginning
on or after September 1, 1995.
[dbldag]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.
[sec]The investment adviser voluntarily waived a portion of its advisory fee
for the Research Series and the Research Growth and Income Series for the
periods indicated. If the waiver had not been in place, the net investment
income (loss) per share and the ratios would have been:
<TABLE>
<CAPTION>
Research
Growth & Income
Research Series Series
----------------------------- ----------------
Year Ended Period Ended Period Ended
December 31, December 31, June 30,
1995 1994* 1997***
-------------- -------------- ----------------
<S> <C> <C> <C>
Net investment income (loss) ... $ 0.0954 $ (0.0145) $ (0.1620)
Ratios (to average net assets):
Expenses## ..................... 0.95% 3.49%+ 17.04%+
Net investment income (loss) ... 0.79% (0.19)%+ (12.28)%+
</TABLE>
See notes to financial statements
51
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
Utilities Series
------------------------------------------------------------
Year Ended December 31,
Six Months -------------------------------------------
Ended June 30,
Per share data (for a share outstanding 1997 1996 1995 1994
throughout each period): ---------------- -------------- -------------- -------------
<S> <C> <C> <C> <C>
Net asset value -- beginning of period ............ $ 13.9874 $ 12.2598 $ 9.5209 $ 10.0164
----------- ---------- ---------- -----------
Income from investment operations# --
Net investment income[sec] ..................... $ 0.2412 $ 0.5322 $ 0.4918 $ 0.2899
Net realized and unrealized gain (loss) on
investments and foreign currency transactions ... 1.4049 1.8548 2.5197 (0.7817)
----------- ---------- ---------- -----------
Total from investment operations ............... $ 1.6461 $ 2.3870 $ 3.0115 $ (0.4918)
----------- ---------- ---------- -----------
Less distributions --
From net investment income ..................... $ (0.4248) $ (0.3160) $ (0.2726) $ (0.0037)
From net realized gain on investments and foreign
currency transactions ........................... (1.2982) (0.3434) -- --
----------- ---------- ---------- -----------
Total distributions ........................... $ (1.7230) $ (0.6594) $ (0.2726) $ (0.0037)
----------- ---------- ---------- -----------
Net asset value -- end of period .................. $ 13.9105 $ 13.9874 $ 12.2598 $ 9.5209
=========== ========== ========== ===========
Total return[dbldag] .............................. 12.50%++ 20.37% 32.36% (4.96)%
Ratios (to average net assets)/
Supplemental data[sec]:
Expenses## ....................................... 0.87%+ 0.88% 0.44% 0.39%
Net investment income ........................... 3.48%+ 4.23% 4.62% 4.59%
Portfolio turnover .............................. 74% 131% 119% 103%
Average commission rate### ........................ $ 0.0365 $ 0.0435 -- --
Net assets, end of period (000 omitted) ......... $ 88,609 $ 70,680 $ 43,134 $ 21,448
<CAPTION>
Value Series
------------------------------------
Per share data (for a share outstanding Period Ended Six Months Period Ended
throughout each period): December 31, Ended June 30, December 31,
1993* 1997 1996***
------------------ ---------------- -------------------
<S> <C> <C> <C>
Net asset value -- beginning of period ............ $ 10.0000**** $ 11.0055 $ 10.0000****
------------- ----------- -------------
Income from investment operations# --
Net investment income[sec] ..................... $ 0.0128 $ 0.0974 $ 0.0916
Net realized and unrealized gain (loss) on
investments and foreign currency transactions ... 0.0036 1.2715 0.9139
------------- ----------- -------------
Total from investment operations ............... $ 0.0164 $ 1.3689 $ 1.0055
------------- ----------- -------------
Less distributions --
From net investment income ..................... $ -- $ (0.0221) $ --
From net realized gain on investments and foreign
currency transactions ........................... -- (0.0746) --
------------- ----------- -------------
Total distributions ........................... $ -- $ (0.0967) $ --
------------- ----------- -------------
Net asset value -- end of period .................. $ 10.0164 $ 12.2777 $ 11.0055
============= =========== =============
Total return[dbldag] .............................. 1.59%+ 12.46%++ 10.10%++
Ratios (to average net assets)/
Supplemental data[sec]:
Expenses## ....................................... 1.50%+ 0.46%+ 0.60%+
Net investment income ........................... 2.58%+ 1.73%+ 1.75%+
Portfolio turnover .............................. -- 68% 52%
Average commission rate### ........................ -- $ 0.0336 $ 0.0228
Net assets, end of period (000 omitted) ......... $ 2,798 $ 44,870 $ 16,700
</TABLE>
*From November 16, 1993 (commencement of investment operations) through
December 31, 1993.
***From June 3, 1996 (commencement of investment operations) through December
31, 1996.
****Net asset value on date of commencement of operations.
+Annualized.
++Not annualized.
#Per share data are based on average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are calculated
without reduction for fees paid indirectly.
###Average commission rate is calculated for Series with fiscal years beginning
on or after September 1, 1995.
[dbldag]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.
[sec]The investment adviser voluntarily waived all or a portion of its advisory
fee for the Utilities Series and Value Series for the periods indicated.
In addition, the investment adviser voluntarily agreed to maintain the
expenses of the Value Series at not more than 1.00% of average daily net
assets. If the waivers had not been in place and, with respect to the
Value Series, to the extent actual expenses were over these limitations,
the net investment income per share and the ratios would have been:
<TABLE>
<CAPTION>
Utilities Series Value Series
----------------------------------------- ------------------------------
Year Ended
December 31, Period Ended Six Months Period Ended
------------------------- December 31, Ended June 30, December 31,
1995 1994 1993* 1997 1996***
------------ ------------ -------------- ---------------- -------------
<S> <C> <C> <C> <C> <C>
Net investment income (loss) ...... $ 0.4375 $ 0.2412 $ (0.0407) $ 0.0737 $ 0.0537
Ratios (to average net assets):
Expenses## ........................ 0.95% 1.14% 9.71%+ 0.88%+ 1.35%+
Net investment income (loss) ...... 4.12% 3.84% (5.63)%+ 1.31%+ 1.02%+
</TABLE>
See notes to financial statements
52
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
World Growth Series
-------------------------------
Year Ended
Six Months December 31,
Ended June 30, --------------
Per share data (for a share outstanding throughout each period): 1997 1996
----------- ----------
<S> <C> <C>
Net asset value -- beginning of period ................................. $ 13.0338 $ 12.3464
----------- ----------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.0522 $ 0.0232
Net realized and unrealized gain on investments and foreign currency
transactions ......................................................... 1.7521 1.5878
----------- ----------
Total from investment operations .................................... $ 1.8043 $ 1.6110
----------- ----------
Less distributions --
From net investment income ............................................. $ (0.0626) $ (0.0886)
From net realized gain on investments and foreign currency transactions (0.2559) (0.8350)
----------- ----------
Total distributions ................................................... $ (0.3185) $ (0.9236)
----------- ----------
Net asset value -- end of period ....................................... $ 14.5196 $ 13.0338
=========== ==========
Total return[dbldag] ................................................... 14.07%++ 13.02%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................ 1.04%+ 1.04%
Net investment income ................................................ 0.79%+ 0.18%
Portfolio turnover ...................................................... 56% 81%
Average commission rate### ............................................. $ 0.0100 $ 0.0142
Net assets, end of period (000 omitted) ................................. $ 247,603 $ 203,106
<CAPTION>
Year Ended December 31, Period Ended
------------------------------- December 31,
Per share data (for a share outstanding throughout each period): 1995 1994 1993*
---------- -------------- ----------------
<S> <C> <C> <C>
Net asset value -- beginning of period ................................. $ 10.9425 $ 10.6366 $ 10.0000***
---------- -------------- ---------------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.0689 $ 0.1506 $ 0.0088
Net realized and unrealized gain on investments and foreign currency
transactions ......................................................... 1.6388 0.1590 0.6278
---------- -------------- ---------------
Total from investment operations .................................... $ 1.7077 $ 0.3096 $ 0.6366
---------- -------------- ---------------
Less distributions --
From net investment income ............................................. $ (0.1361) $ (0.0037) $ --
From net realized gain on investments and foreign currency transactions (0.1677) -- --
---------- -------------- ---------------
Total distributions ................................................... $ (0.3038) $ (0.0037) $ --
---------- --------------
--
---------------
Net asset value -- end of period ....................................... $ 12.3464 $ 10.9425 $ 10.6366
========== ============== ===============
Total return[dbldag] ................................................... 16.06% 2.86% 50.78%+
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................ 1.07% 0.47% 1.02%+
Net investment income ................................................ 0.60% 2.20% 1.23%+
Portfolio turnover ...................................................... 162% 231% 2%
Average commission rate### ............................................. -- -- --
Net assets, end of period (000 omitted) ................................. $ 146,388 $ 100,045 $ 18,879
</TABLE>
*From November 16, 1993 (commencement of investment operations) through
December 31, 1993.
***Net asset value on date of commencement of operations.
+Annualized.
++Not annualized.
#Per share data are based on average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are calculated
without reduction for fees paid indirectly.
###Average commission rate is calculated for Series with fiscal years beginning
on or after September 1, 1995.
[dbldag]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.
[sec]The investment adviser voluntarily waived all or a portion of its
advisory fee for the World Growth Series for the periods indicated. If
the waivers had not been in place, the net investment income per share
and the ratios would have been:
<TABLE>
<CAPTION>
World Growth Series
-----------------------------
Year Ended Period Ended
December 31, December 31,
1994 1993
------------ ------------
<S> <C> <C>
Net investment income ............................................................... $ 0.0989 $ 0.0022
Ratios (to average net assets):
Expenses## ........................................................................ 1.20% 1.92%+
Net investment income ............................................................... 1.47% 0.33%+
</TABLE>
See notes to financial statements
53
<PAGE>
MFS/Sun Life Series Trust
Notes to Financial Statements
1. Organization
The Trust is organized as a Massachusetts business trust and is registered
under the Investment Company Act of 1940, as amended, as an open-end,
management investment company consisting of twenty separate Series (the Series)
of shares: Capital Appreciation Series*, Conservative Growth Series*, Emerging
Growth Series*, Government Securities Series, High Yield Series, MFS/Foreign &
Colonial Emerging Markets Equity Series*, MFS/Foreign & Colonial International
Growth Series*, MFS/Foreign & Colonial International Growth and Income Series,
Managed Sectors Series*, Money Market Series, Research Series*, Research Growth
and Income Series*, Total Return Series*, Utilities Series*, Value Series*,
World Asset Allocation Series, World Governments Series, World Growth Series*,
World Total Return Series, and Zero Coupon Series, Portfolio 2000. The Managed
Sectors Series, Utilities Series, and World Growth 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 Trust benefits under variable contracts issued by such
companies.
The Series denoted with an asterisk above are included within these financial
statements.
2. Significant Accounting Policies
General - The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates. Investments
in foreign securities are vulnerable to the effects of changes in the relative
values of the local currency and the U.S. dollar and to the effects of changes
in each country's legal, political and economic environment.
Investment Valuations - Equity securities listed on securities exchanges or
reported through the NASDAQ system are valued at last sale prices. Unlisted
equity securities or listed equity securities for which last sale prices are
not available are valued at last quoted bid prices. Debt securities (other than
short-term obligations which mature in 60 days or less), including listed
issues and forward contracts, are valued on the basis of valuations furnished
by dealers or by a pricing service with consideration to factors such as
institutional-size trading in similar groups of securities, yield, quality,
coupon rate, maturity, type of issue, trading characteristics and other market
data, without exclusive reliance upon exchange or over-the-counter prices.
Short-term obligations, which mature in 60 days or less, are valued at
amortized cost, which approximates market value. Non-U.S. dollar denominated
short-term obligations are valued at amortized cost as calculated in the base
currency and translated into U.S. dollars at the closing daily exchange rate.
Futures contracts, options and options on futures contracts listed on
commodities exchanges are valued at closing settlement prices. Over-the-counter
options are valued by brokers through the use of a pricing model which takes
into account closing bond valuations, implied volatility, and short-term
repurchase rates. Securities for which there are no such quotations or
valuations are valued at fair value as determined in good faith by or at the
direction of the Trustees.
Repurchase Agreements - Certain Series of the Trust may enter into repurchase
agreements with institutions that the Trust's investment adviser has determined
are creditworthy. Each repurchase agreement is recorded at cost. Such Series
require that the securities purchased in a repurchase transaction be
transferred to the custodian in a manner sufficient to enable the Trust to
obtain those securities in the event of a default under the repurchase
agreement. The investment adviser monitors, on a daily basis, the value of the
securities transferred to ensure that the value, including accrued interest, of
the securities under each repurchase agreement is greater than amounts owed to
the Series under each such repurchase agreement. Certain Series of the Trust,
along with other affiliated entities of Massachusetts Financial Services
Company (MFS), may utilize a joint trading account for the purpose of entering
into one or more repurchase agreements.
Foreign Currency Translation - Investment valuations, other assets, and
liabilities initially expressed in foreign currencies are converted each
business day into U.S. dollars based upon current exchange rates. Purchases and
sales of foreign investments, income and expenses are converted into U.S.
dollars based upon currency exchange rates prevailing on the respective dates
of such transactions. Gains and losses attributable to foreign currency
exchange rates on sales of securities are recorded for financial statement
purposes as net realized gains and losses on investments. Gains and losses
attributable to foreign exchange rate movements on income and expenses are
recorded for financial statement purposes as foreign currency transaction gains
and losses. That portion of both realized and unrealized gains and losses on
investments that result from fluctuations in foreign currency exchange rates is
not separately disclosed.
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 into these contracts from the potential inability of
counterparties to meet the terms of their contracts and from unanticipated
movements in the value of a foreign currency relative to the U.S. dollar. The
Series will enter into forward contracts for hedging purposes as well as for
non-hedging purposes. For hedging purposes, the Series may enter into contracts
to deliver or receive foreign currency it will receive from or require for its
normal investment activities. It may also use contracts in a manner intended to
protect foreign currency-denominated securities from declines in value due to
unfavorable exchange rate movements. For non-hedging purposes, the Series may
enter into contracts with the intent of changing the relative exposure of the
Series' portfolio of securities to different currencies to take advantage of
anticipated changes. The forward foreign currency exchange contracts are
adjusted by the daily 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 financial statement
and tax reporting purposes as required by federal income tax
54
<PAGE>
Notes to Financial Statements -- continued
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.
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 of expenses 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)
applicable to regulated investment companies and to distribute to shareholders
all of its taxable income, including any net realized gain on investments.
Accordingly, no provision for federal income or excise tax is necessary.
Foreign taxes have been provided for on interest and dividend income earned on
foreign investments in accordance with the applicable country's tax rates and
to the extent unrecoverable are recorded as a reduction of investment income.
Distributions to shareholders are recorded on the ex-dividend date.
The Trust distinguishes between distributions on a tax basis and a financial
reporting basis and requires that only distributions in excess of tax basis
earnings and profits are reported in the financial statements as a return of
capital. Differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net realized
gains.
At December 31, 1996, the following Series had capital loss carryforwards for
federal income tax purposes which may be applied against any net taxable
realized gains of each succeeding year until the earlier of their utilization
or expiration.
<TABLE>
<CAPTION>
Portion Expiring December 31,
---------------------------------
Total Carryover 1997 1998
----------------- ------- -------
<S> <C> <C> <C>
MFS/Foreign & Colonial Emerging Markets Equity Series $5,296 $-- $--
======= ====== ======
MFS/Foreign & Colonial International Growth Series ... 7,804 -- --
======= ====== ======
<CAPTION>
1999 2000 2001 2002 2003 2004
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
MFS/Foreign & Colonial Emerging Markets Equity Series $-- $-- $-- $-- $-- $5,296
====== ====== ====== ====== ====== =======
MFS/Foreign & Colonial International Growth Series ... -- -- -- -- -- 7,804
====== ====== ====== ====== ====== =======
</TABLE>
3. Transactions with Affiliates
The Trust has investment advisory agreements with Massachusetts Financial
Services Company (MFS), a wholly-owned subsidiary of Sun Life Assurance Company
of Canada (U.S.), to provide overall investment advisory and administrative
services, and general office facilities. Investment advisory fees are computed
daily and paid monthly at an effective annual rate based on a percentage of each
Series' average daily net assets. The agreements also provide that each Series
will be reimbursed for expenses 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 Emerging Markets Equity Series ...... 1.25% 1.50%
MFS/Foreign & Colonial International Growth Series ......... 0.975%* 1.50%
Managed Sectors Series .................................... 0.75%* 1.25%
Research Series ............................................. 0.75%* 1.50%
Research Growth and Income Series ........................ 0.75% 1.50%
Total Return Series ....................................... 0.75%* 1.25%
Utilities Series .......................................... 0.75%* 1.00%
Value Series ................................................ 0.75%* 1.00%
World Growth Series ....................................... 0.90% 1.50%
</TABLE>
*The advisory fee for the Capital Appreciation Series is 0.75% of the first $1
billion of the average daily net assets and 0.675% of the average daily net
assets in excess of $1 billion. The advisory fee for the Emerging Growth
Series, Managed Sectors Series, Research Series, Total Return Series,
Utilities Series and Value Series is 0.75% of the first $300 million of
average daily net assets of each of the Series and 0.675% of the average daily
net assets of each Series in excess of $300 million. The advisory fee for the
Total Return Series is reduced to 0.60% of the average daily net assets in
excess of $1 billion. The advisory fee for the MFS/Foreign & Colonial
International Growth Series is reduced to 0.925% of the average daily net
assets in excess of $500 million.
The investment advisory agreements with respect to the MFS/Foreign & Colonial
Emerging Markets Equity Series, MFS/Foreign & Colonial International Growth
Series, and World Growth Series permit MFS to engage one or more sub-advisers
and MFS has engaged Foreign & Colonial Management Limited, an England and Wales
Company, and its subsidiary Foreign & Colonial Emerging Markets Limited to
assist in the performance of its services.
MFS has agreed to waive its advisory fee for an indefinite period for the
MFS/Foreign & Colonial Emerging Markets Equity Series, MFS/Foreign & Colonial
International Growth Series, and Value Series. The amount waived under this
agreement for the period ended June 30, 1997, was $59,334, $26,067 and $61,335,
respectively.
55
<PAGE>
Notes to Financial Statements -- continued
Effective March 1, 1997, each Series has an administrative services agreement
with MFS to provide the Series with certain financial, legal and other
administrative services. As a partial reimbursement for the cost of providing
these services, the Series pays MFS an administrative fee up to 0.015% per
annum of the Series' average daily net assets, provided that the administrative
fee is not assessed on Series assets that exceed $3 billion.
The Trust pays no compensation directly to its Trustees or officers who are
affiliated with MFS or Sun Life Assurance Company of Canada (U.S.), all of whom
receive remuneration for their services to the Trust from MFS or Sun Life
Assurance Company of Canada. Certain of the officers and Trustees of the Trust
are officers or directors of MFS or Sun Life Assurance Company of Canada.
4. Portfolio Securities
For the period ended June 30, 1997, purchases and sales of investments, other
than purchased option transactions and short-term obligations, were as follows:
<TABLE>
<CAPTION>
MFS/Foreign &
Capital Conservative Emerging Colonial
Appreciation Growth Growth Emerging Markets
Series Series Series Equity Series
-------------- -------------- -------------- -----------------
<S> <C> <C> <C> <C>
Purchases
U.S. government securities ........................ $ -- $ -- $ -- $ --
============= ============= ============= ============
Investments (non-U.S. government securities) ...... $348,497,109 $392,050,548 $255,180,482 $14,401,304
============= ============= ============= ============
Sales
U.S. government securities ........................ $ -- $ -- $ -- $ --
============= ============= ============= ============
Investments (non-U.S. government securities) ...... $400,067,664 $217,739,679 $178,682,725 $ 1,265,296
============= ============= ============= ============
</TABLE>
<TABLE>
<CAPTION>
MFS/Foreign & Research
Colonial Managed Growth
International Sectors Research and Income
Growth Series Series Series Series
---------------- ----------------- ----------------- -----------
<S> <C> <C> <C> <C>
Purchases
U.S. government securities ........................ $ -- $ -- $ -- $ --
============ ============= ============= =======
Investments (non-U.S. government securities) ...... $12,556,294 $155,830,692 $300,751,043 $9,125
============ ============= ============= =======
Sales
U.S. government securities ........................ $ -- $ -- $ -- $ --
============ ============= ============= =======
Investments (non-U.S. government securities) ...... $ 1,523,104 $164,405,046 $176,942,953 $6,551
============ ============= ============= =======
</TABLE>
<TABLE>
<CAPTION>
Total World
Return Utilities Value Growth
Series Series Series Series
-------------- ------------- ---------------- --------------
<S> <C> <C> <C> <C>
Purchases
U.S. government securities ........................ $313,694,468 $ 7,647,395 $ 6,428,802 $ --
============= ============ ============ =============
Investments (non-U.S. government securities) ...... $559,127,127 $60,768,726 $36,909,987 $131,443,185
============= ============ ============ =============
Sales
U.S. government securities ........................ $349,785,527 $ 9,459,969 $ -- $ --
============= ============ ============ =============
Investments (non-U.S. government securities) ...... $510,715,731 $47,257,176 $17,687,385 $114,493,892
============= ============ ============ =============
</TABLE>
56
<PAGE>
Notes to Financial Statements -- continued
At June 30, 1997, the cost and unrealized appreciation or depreciation in value
of the investment securities owned by each series of the Trust, as computed on
the federal income tax basis, are as follows:
<TABLE>
<CAPTION>
MFS/Foreign &
Capital Conservative Emerging Colonial
Appreciation Growth Growth Emerging Markets
Series Series Series Equity Series
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Aggregate cost ..................... $ 933,710,656 $ 670,609,469 $ 289,213,864 $ 18,268,684
============== ============= ============= ============
Gross unrealized appreciation ...... $ 318,760,017 $ 181,480,695 $ 52,284,700 $ 2,252,544
Gross unrealized depreciation ...... (26,962,662) (2,663,676) (3,472,489) (272,532)
-------------- ------------- ------------- ------------
Net unrealized appreciation ...... $ 291,797,355 $ 178,817,019 $ 48,812,211 $ 1,980,012
============== ============= ============= ============
</TABLE>
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial Managed Research
International Sectors Research Growth and
Growth Series Series Series Income Series
--------------- ----------------- ----------------- --------------
<S> <C> <C> <C> <C>
Aggregate cost ..................... $ 19,031,591 $ 260,613,995 $ 437,412,613 $506,886
============ ============== ============= =========
Gross unrealized appreciation ...... $ 1,049,326 $ 44,473,928 $ 76,250,718 $ 1,025
Gross unrealized depreciation ...... (433,327) (13,038,364) (6,311,907) --
------------ -------------- ------------- ---------
Net unrealized appreciation ...... $ 615,999 $ 31,435,564 $ 69,938,811 $ 1,025
============ ============== ============= =========
</TABLE>
<TABLE>
<CAPTION>
Total World
Return Utilities Value Growth
Series Series Series Series
------------------- ---------------- ---------------- -----------------
<S> <C> <C> <C> <C>
Aggregate cost ..................... $ 1,299,338,474 $ 79,398,127 $ 42,356,452 $ 204,601,526
=============== ============= ============ =============
Gross unrealized appreciation ...... $ 229,591,829 $ 10,357,247 $ 4,473,575 $ 45,789,522
Gross unrealized depreciation ...... (4,901,925) (1,191,769) (709,895) (4,279,080)
--------------- ------------- ------------ -------------
Net unrealized appreciation ...... $ 224,689,904 $ 9,165,478 $ 3,763,680 $ 41,510,442
=============== ============= ============ =============
</TABLE>
5. Shares of Beneficial Interest
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value).
Transactions in Trust shares during the period ended June 30, 1997, are
presented below and on the following page.
<TABLE>
<CAPTION>
Capital Conservative Emerging
Appreciation Growth Growth
Series Series Series
-------------- -------------- ----------------
<S> <C> <C> <C>
Shares sold ..................... 5,755,870 6,484,067 5,296,865
Shares issued to shareholders in
reinvestment of distributions ... 2,938,523 1,378,263 88,424
Shares reacquired ............... (5,552,266) (892,793) (1,537,944)
------------ ---------- ------------
Net increase .................. 3,142,127 6,969,537 3,847,345
============ ========== ============
<CAPTION>
MFS/Foreign MFS/Foreign
& Colonial & Colonial
Emerging International Managed
Markets Growth Sectors
Equity Series Series Series
--------------- --------------- ----------------
<S> <C> <C> <C>
Shares sold ..................... 1,369,640 1,299,166 1,070,796
Shares issued to shareholders in
reinvestment of distributions ... 685 2,469 1,278,910
Shares reacquired ............... (108,849) (166,642) (1,314,579)
---------- ---------- ------------
Net increase .................. 1,261,476 1,134,993 1,035,127
========== ========== ============
</TABLE>
<TABLE>
<CAPTION>
Research
Growth Total World
Research and Income Return Utilities Value Growth
Series Series Series Series Series Series
-------------- ------------ ---------------- -------------- ----------- ----------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold ..................... 7,577,375 60,270 6,058,402 841,114 2,196,638 2,750,043
Shares issued to shareholders in
reinvestment of distributions ... 757,459 -- 7,751,099 710,454 24,748 379,516
Shares reacquired ............... (387,617) (30) (4,936,915) (234,724) (84,170) (1,659,536)
---------- ------ ------------ ---------- --------- ------------
Net increase .................. 7,947,217 60,240 8,872,586 1,316,844 2,137,216 1,470,023
========== ====== ============ ========== ========= ============
</TABLE>
57
<PAGE>
Notes to Financial Statements -- continued
Transactions in Trust shares during the year ended December 31, 1996, are
presented below.
<TABLE>
<CAPTION>
Capital Conservative
Appreciation Growth
Series Series
-------------- --------------
<S> <C> <C>
Shares sold ......................................................... 11,443,621 7,921,733
Shares issued to shareholders in reinvestment of distributions ...... 2,235,453 677,102
Shares reacquired ................................................... (8,969,620) (766,565)
------------ ----------
Net increase ...................................................... 4,709,454 7,832,270
============ ==========
<CAPTION>
MFS/Foreign &
Emerging Colonial
Growth Emerging Markets
Series Equity Series
---------------- -----------------
<S> <C> <C>
Shares sold ......................................................... 13,818,601 379,243
Shares issued to shareholders in reinvestment of distributions ...... 15,052 --
Shares reacquired ................................................... (2,221,950) (52,143)
------------ ---------
Net increase ...................................................... 11,611,703 327,100
============ =========
</TABLE>
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial Managed
International Sectors Research
Growth Series Series Series
--------------- ---------------- -----------
<S> <C> <C> <C>
Shares sold ......................................................... 720,467 2,818,152 14,559,925
Shares issued to shareholders in reinvestment of distributions ...... -- 1,176,164 143,325
Shares reacquired ................................................... (157,890) (1,484,629) (360,295)
---------- ------------ ----------
Net increase ...................................................... 562,577 2,509,687 14,342,955
========== ============ ==========
</TABLE>
<TABLE>
<CAPTION>
Total World
Return Utilities Value Growth
Series Series Series Series
---------------- -------------- ----------- --------------
<S> <C> <C> <C> <C>
Shares sold ......................................................... 8,956,855 1,883,446 1,564,290 6,357,585
Shares issued to shareholders in reinvestment of distributions ...... 4,879,076 230,167 -- 961,665
Shares reacquired ................................................... (4,986,660) (578,846) (46,888) (3,593,022)
------------ ---------- --------- ------------
Net increase ...................................................... 8,849,271 1,534,767 1,517,402 3,726,228
============ ========== ========= ============
</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 forward foreign currency
exchange contracts.
The notional or contractual amounts of these instruments represent the
investment the series have in particular classes of financial instruments and
do not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered. A summary of
obligations under these financial instruments at June 30, 1997, is shown on the
following page.
58
<PAGE>
Notes to Financial Statements -- continued
Forward Foreign Currency Exchange Contracts
<TABLE>
<CAPTION>
Contracts to
Series Transaction Settlement Date Deliver/Receive
- ---------------------------- ------------- -------------------- -------------------
<S> <C> <C> <C> <C>
MFS/Foreign & Colonial Sales 10/14/97 DEM 300,000
International Growth Series 10/14/97 - 3/16/98 FRF 4,200,000
10/14/97 - 3/16/98 JPY 225,000,000
-----------------------------------------------------
Purchases 10/14/97 DEM 300,000
10/14/97 FRF 1,100,000
10/14/97 JPY 105,000,000
<CAPTION>
Net Unrealized
Contracts at Appreciation
Series In Exchange for Value (Depreciation)
- ---------------------------- ----------------- -------------- ---------------
<S> <C> <C> <C>
MFS/Foreign & Colonial $ 192,873 $ 173,326 $ 19,547
International Growth Series 748,492 725,521 22,971
2,041,819 2,018,625 23,194
----------- ----------- --------
$2,983,184 $2,917,472 $ 65,712
=========== =========== ========
----------------------------------------------
$ 174,247 $ 173,326 $ (921)
189,274 188,524 (750)
922,714 930,825 8,111
----------- ----------- --------
$1,286,235 $1,292,675 $ 6,440
=========== =========== ========
</TABLE>
<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 Growth Series Sales 9/30/97 JPY 378,561,320 $3,343,000 $3,349,132 $ (6,132)
=========== =========== =========
---------------------------------------------------------------------------------------------------
Purchases 9/30/97 JPY 378,561,320 $3,374,588 $3,349,132 $ (25,456)
=========== =========== =========
</TABLE>
At June 30, 1997, closed forward foreign currency exchange contracts for the
Emerging Growth Series amounted to a net payable of $104,665 with Goldman
Sachs.
At June 30, 1997, forward foreign currency exchange contract purchases and
sales under master netting arrangements and closed forward foreign currency
exchange contracts for the Value Series amounted to a net payable of $7,259
with Deutsche Bank.
7. Restricted Securities
Each Series of the Trust is restricted from investing more than a certain
amount in securities which are subject to legal or contractual restrictions on
resale. Such restrictions range from between 0% and 15% of the Series' net
assets. At June 30, 1997, the Capital Appreciation Series, Research Series,
Total Return Series and World Growth Series owned the following restricted
securities (consisting of 0.25%, 0.38%, 0.03% and 0.69%, of the net assets of
each Series, respectively) which may not be publicly sold without registration
under the Securities Act of 1933. The Trust does not have the right to demand
that such securities be registered. The value of these securities is determined
by valuations supplied by a pricing service or brokers or, if not available, in
good faith by or at the direction of the Trustees.
<TABLE>
<CAPTION>
Date of Shares/
Series Description Acquisition Par Amount Cost Value
- ----------------------------- ------------------------------------------ ------------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C>
Capital Appreciation Series Tel-Save Holdings, Inc. ............... 3/10/97 186,900 $3,083,850 $3,037,125
=========== ===========
Research Series Jarvis Hotels PLC ........................ 6/21/96 831,200 $2,239,384 $1,922,070
=========== ===========
Total Return Series Merrill Lynch Mortgage Investors, Inc.,
8.129s, 2023 ........................... 6/22/94 514,000 $ 356,266 $ 446,377
=========== ===========
World Growth Series Bank Handlowy Warszawie S.A. ............ 6/18/97 5,900 $ 63,779 $ 67,967
Hong Leong Finance Ltd. ............... 11/1/96 58,000 184,097 164,764
India Gateway Fund Ltd. ............... 6/02/94 34,925 286,668 154,019
India Gateway Fund, Ltd., Warrants ...... 6/02/94 4,000 -- --
International Business Communications
Systems, Inc. ........................ 8/29/95 12,600 124,992 88,200
Jarvis Hotels PLC ........................ 6/21/96 534,100 1,423,942 1,235,055
----------- -----------
$2,083,478 $1,710,005
=========== ===========
</TABLE>
59
<PAGE>
Independent Auditors' Report
To the Trustees and Shareholders of MFS/Sun Life Series Trust:
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of Capital Appreciation Series,
Conservative Growth Series, Emerging Growth Series, MFS/Foreign & Colonial
Emerging Markets Equity Series, MFS/Foreign & Colonial International Growth
Series, Managed Sectors Series, Research Series, Research Growth and Income
Series, Total Return Series, Utilities Series, Value Series, and World Growth
Series, (each a portfolio of MFS/Sun Life Series Trust) as of June 30, 1997,
the related statements of operations for the period then ended, the statements
of changes in net assets for the period then ended and the year ended December
31, 1996, and the financial highlights for the period ended June 30, 1997 and
each of the periods in the five-year period ended December 31, 1996. These
financial statements and financial highlights are the responsibility of the
Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of the securities owned at
June 30, 1997 by correspondence with the custodian and brokers; where replies
were not received from brokers, we performed other auditing procedures. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of the Trust at June
30, 1997, the results of its operations, the changes in its net assets, and its
financial highlights for the respective stated periods in conformity with
generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
August 8, 1997
--------------------------------------------
This MFS [RegTM]/Sun Life Series Trust Semiannual Report is prepared for the
general information of contract owners. It is authorized for distribution to
prospective investors only when preceded or accompanied by a current prospectus
and semiannual report for the product being offered.
60
<PAGE>
<PAGE>
MFS(R)/Sun Life Series Trust
500 Boylston Street, Boston, MA 02116-3741
Trustees
JOHN D. McNEIL*, Chairman and Trustee
Chairman, Sun Life Assurance Company of Canada,
Toronto, Ontario, Canada
SAMUEL ADAMS, Trustee
Partner, Warner & Stackpole,
Boston, Massachusetts
J. KERMIT BIRCHFIELD, Trustee
Chairman, DisplayTech, Inc. (manufacturer of
liquid crystal display technology)
Gloucester, Massachusetts
WILLIAM R. GUTOW
Vice Chairman, Capitol Entertainment
Management Company (Blockbuster Video franchise)
Dallas, Texas
DAVID D. HORN*, Trustee
Senior Vice President and General Manager,
Sun Life Assurance Company of Canada,
Wellesley Hills, Massachusetts
GARTH MARSTON, Trustee
Retired Chairman, The Provident Institution for Savings,
Boston, Massachusetts
DERWYN F. PHILLIPS, Trustee
Retired Vice Chairman, The Gillette Company,
Boston, Massachusetts
Officers+
W. THOMAS LONDON, Treasurer
MARK B. BRADLEY, Assistant Treasurer
ELLEN MOYNIHAN, Assistant Treasurer
JAMES O. YOST, Assistant Treasurer
STEPHEN E. CAVAN, Secretary and Clerk
JAMES R. BORDEWICK, JR., Assistant Secretary
Portfolio Managers+
JOHN W. BALLEN
ARNAB KUMAR BANERJI
JOHN F. BRENNAN, JR.
DAVID M. CALABRO
JEFF CHOWDHRY
MITCHELL D. DYNAN
KENNETH J. ENRIGHT
JOHN D. LAUPHEIMER, JR.
DAVID R. MANNHEIM
PAUL M. McMAHON
KEVIN R. PARKE
JUNE SCOTT
MAURA A. SHAUGHNESSY
TONI Y. SHIMURA
The Research Committee
IAN K. WRIGHT
Investment Adviser
Massachusetts Financial Services Company
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
Auditors
Deloitte & Touche LLP
125 Summer Street, Boston, MA 02110-1617
*Affiliated with the Sponsor.
+Affiliated with the Investment Adviser. Sun-3-A 8/97 184M
<PAGE>
MFS [Reg] /Sun Life Series Trust
SEMIANNUAL REPORT [bullet] June 30, 1997
MFS [Reg] /Foreign & Colonial International
Growth and Income Series
Government Securities Series
High Yield Series
Money Market Series
World Asset Allocation Series
World Governments Series
World Total Return Series
Zero Coupon Series, Portfolio 2000
<PAGE>
Dear Contract Owners:
An unprecedented combination of generally positive factors has helped the U.S.
economy enjoy a sustained period of relative stability and moderate growth in
which thousands of new jobs have been created every month, inflation remains
under control, and the investment climate -- at least until now -- has been
favorable. For example, the increased use of technology and other productivity
enhancements, as well as corporate restructuring and global competition, is
improving companies' balance sheets and helping control inflation. Meanwhile,
borrowing by corporations and governments continues to decline, while consumer
confidence is increasing, although consumer debt levels are still uncomfortably
high. While some lenders are beginning to tighten standards to address this
problem, consumer debt and personal bankruptcies continue to rise. Because of
this, plus slight declines in other indicators such as average hourly wages and
the corporate purchasing-managers index, we do not expect the rapid pace of
growth seen in the first quarter of 1997 to continue. While second-quarter
growth has slowed dramatically, we do expect the second half of the year to pick
up once again with real (inflation-adjusted) growth centering around 2-1/2%.
Global Outlook
Increased liquidity has continued to support international equity markets this
year, while disinflationary forces have continued despite somewhat stronger
world economic growth. While the strength of the U.S. dollar versus the Japanese
yen earlier this year resulted in stronger performance for Japanese exporters,
the value-added tax seems to have slowed the overall Japanese economy. In
Europe, meanwhile, uncertainty over European monetary union continues, although
stocks of some European companies have benefited from restructuring and the use
of technology to increase productivity. Perhaps the brightest international
story has been the performance of the emerging markets, all of which have seen
rapidly expanding economies and higher earnings, thanks in part to significant
shifts in their economic policies.
Bond Markets
In the fixed-income markets, we have been encouraged by the Federal Reserve
Board's decision to not raise short-term interest rates at its July meeting. But
we cannot rule out the possibility of future monetary tightening in the second
half of the year if, as we now expect, the economy strengthens in the second
half of 1997. Therefore, our risk/reward outlook for the fixed-income markets is
neutral, and we believe that fixed-income investors should think in terms of
earning the coupon income from their investments rather than seeking possible
gains from price appreciation.
Stock Market
We have been surprised by the strength of the U.S. equity market in the first
half of 1997. Much of this is the result of continuing gains in corporate
earnings. Even as the current recovery enters its seventh year, more and more
U.S. companies have been exceeding analysts' earnings estimates. In the first
quarter of 1997, for example, two-thirds of all companies met or exceeded
analysts' expectations, a trend that could be an important indicator of the
U.S. equity market's future direction. However, while the near-term outlook for
profits is generally favorable, we believe equity valuations have risen to a
point where a cautious investment approach seems warranted.
A discussion of the performance and current investment strategy for each of the
Series is presented here and on the following pages. The performance figures
provided in the discussion do not reflect the deduction of any separate account
charges. The results would have been lower had these charges been deducted. 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]
John D. McNeil
Chairman
July 14, 1997
MFS[Reg]/Foreign & Colonial International Growth
and Income Series
For the six months ended June 30, 1997, the Series, which invests in
international stock and bond markets, provided a total return of 5.96%. This
compares to a 13.98% return for the Lipper International Funds Index, a
stock-fund index, and to a 6.74% return for a blend (70% and 30%) of the
unmanaged Morgan Stanley Capital International (MSCI) Europe, Australia, Far
East (EAFE) Index and the J.P. Morgan Non-Dollar Bond Index (the Morgan Index).
The Lipper mutual fund indices are unmanaged indices of the largest qualifying
mutual funds within their respective investment objectives. The MSCI EAFE Index
is an index of international stocks, while the Morgan Index is an unmanaged
index of bonds issued from 13 countries with remaining maturities of at least
one year. The major feature in international markets this year has been the
strength of the dollar, particularly against the Japanese yen, the German mark,
and the French franc. In January, half the yen exposure and three-quarters of
the mark and franc exposures were hedged into dollars. Stronger growth in the
United States, weakness in the Japanese economy, and uncertainties in Europe
concerning European monetary union (EMU) supported a strong dollar, and we
expect this dollar strength to continue.
The performance of Japanese equities during this period was a good illustration
of the current three-tier market: the international "nifty fifty" blue chips
such as Canon and TDK, which outperformed the market; the heavily sold-off
cyclicals; and the underperforming financial services sector. Japanese
blue-chip stocks were the main beneficiaries of the weak Japanese currency,
with many reaching all-time highs. The Series held several of these stocks and
benefited from this upswing. Going forward, we expect the "nifty fifty" stocks
to continue to do well.
The U.K. market performed well, and sterling remained strong despite the
prospect of a left-wing victory in the general election. Economic growth was
strong, and the interest-rate cycle turned. However, companies with high
overseas earnings began to feel the effects of the strong currency, and profit
warnings started to come through. We expect the portfolio to benefit from the
mini-consumer boom likely to be generated by windfalls resulting from the
public offerings of several building societies (savings and loans). However,
the market is likely to experience some uncertainty following the Labor Party's
first budget in July.
Economic growth, and the equity markets in continental Europe, continued to be
affected by fiscal restraint as member states struggled to meet the Maastricht
criteria. In France, an unexpected general election was called for late
May/early June. This was a gamble by the French president, Jacques Chirac, in
the vain hope that a right-wing government would be returned with a sufficient
majority to push through the economic policies necessary for mon-
1
<PAGE>
etary union. In Germany, a row erupted between the government and the
Bundesbank over revaluation of gold reserves that might reduce the budget
deficit. This led to accusations of financial dishonesty and increased the
chance that some of the weaker European countries, such as Italy, would be
included in the first round of EMU. The outlook for Europe remains uncertain,
with political upheavals, high unemployment, and EMU concerns on the horizon.
Asian markets showed a mixed performance over the period. Hong Kong performed
well due to positive sentiment over the imminent handover to China. Other
markets, however, did not perform as well due to worries over high valuation
levels.
The fixed-income portion of the Series reflects a neutral weighting among
Europe, Japan, the United States, and the other dollar-bloc countries. U.S.
interest rates appear increasingly attractive from a global perspective. Hence,
we anticipate increasing the weighting in the dollar bloc relative to Europe
once the pickup in core European growth is confirmed and the U.S. market
adjusts to the Federal Reserve Board's tighter policy. In the meantime, we are
maintaining a defensive posture with respect to duration, or interest-rate
sensitivity, in both the dollar bloc and Europe.
The Series remains overweighted in Australian bonds because we believe current
yield spreads reflect undue fears of a rate hike. Within Europe, several
potential developments suggest possible opportunities: the return of the
single-currency theme to the market, which would help potential entrants such
as Ireland and Spain; the likelihood of interest-rate cuts in Italy, Spain, and
possibly Sweden; and a more attractive U.K. market following the election and
moderate interest-rate hikes. Despite extremely low absolute yields, the
Japanese bond market should be well supported by accommodative monetary policy
and domestic institutional flows. Although some of the forces pushing the
dollar up are waning, we believe it should remain firm due to capital inflows
induced by favorable interest rates and moderate growth.
Government Securities Series
For the six months ended June 30, 1997, the Series provided a total return of
2.55%. This compares to a 3.10% return for the Lehman Brothers
Government/Mortgage Index (the Lehman Index), an unmanaged index of U.S.
Treasury, government-agency, and mortgage-backed securities. The portfolio is
currently positioned for what we expect to be a period of stable interest rates
over the remainder of the year. The Series has an overweighting in
mortgage-backed pass-through securities and agency debentures, is underweighted
in U.S. Treasury securities, and has almost no exposure to cash.
The portfolio's duration, or measure of interest-rate sensitivity, is currently
4.1 years, versus a duration of 4.5 years for the Lehman Index. Thirty-five
percent of the portfolio is invested in U.S. Treasury issues, with an emphasis
on 3-year and 10- to 30-year maturity issues. The portfolio also contains a 21%
position in agency securities. These issues are a combination of agency
debentures and Small Business Association loans.
The greatest change in the portfolio has been the reduction in holdings of
mortgage-backed pass-through securities, from over 50% to the current 44%. This
change was made after a long period of superior risk-adjusted returns from the
mortgage sector. Current holdings focus on issues that are not sensitive to a
slowdown in prepayments and that will benefit from the continued strong
momentum in the U.S. housing market.
High Yield Series
For the six months ended June 30, 1997, the Series provided a total return of
6.13%. This compares to a 5.82% return for the Lehman Brothers High Yield
Index, an unmanaged index of publicly issued, noninvestment-grade debt, and to
a 5.66% return for the average fund in the Lipper High Yield Index as measured
by Lipper Analytical Services, Inc., an independent firm that reports mutual
fund performance. During the first half of 1997, the high-yield market remained
one of the best-performing fixed-income asset classes. The market's strength
was due in part to a strong economy and a subsequent low default rate, which
has averaged only 1.8% over the past 12 months. Demand for high-yield bonds has
been exceptionally strong, with net inflows into high-yield mutual funds over
the past year exceeding the levels recorded in any prior year. In addition,
managers of investment-grade accounts have been significant buyers of
high-yield bonds. Although new issuance of high-yield bonds is on track to
challenge the record level set in 1993, supply has not kept pace with demand.
At the end of the period, the yield on the Salomon Brothers High Yield Index
was 9.28%, versus 6.48% for U.S. Treasury notes of comparable maturities (the
principal value and interest on Treasury securities are guaranteed by the U.S.
government if held to maturity). Although the spread between these two yields
has narrowed to a record low 2.80% from 3.22% at the beginning of the year, we
believe the economic environment remains favorable for owning high-yield bonds
due to the general outlook for moderate economic growth and low inflation.
Given the tight level of yield spreads and the length of this economic
expansion, our investment strategy has focused on trying to avoid mistakes. We
have concentrated our holdings in the bonds of better-quality companies because
we do not think investors are adequately compensated for the risks associated
with lower-tier credits. Two industries of note in which we are overweighted
are consumer products and general industrials. In the consumer products sector,
we are invested in such name-brand companies as Westpoint Stevens and Sealy.
Our general industrial holdings are a diversified group of niche manufacturing
companies that are typically leaders in their fields. Such companies include
International Knife, a dominant manufacturer of industrial cutting blades, and
Hayes Wheels, a global supplier of automotive wheels. We reduced our weighting
in the energy sector because we felt that the relatively low yields currently
available in that sector were not appropriate compensation for the commodity
risk associated with these investments.
Money Market Series
For the six months ended June 30, 1997, the Series provided a total return of
2.44%. Interest rates on short-term (90-day) securities increased moderately
during the six months ended June 30, 1997. During this period, the Federal
Reserve Board (the Fed) raised short-term interest rates by 25 basis points
(0.25%), from 5.25% to 5.50%. At the present time, approximately 61% of the
Series is invested in U.S. government or government-guaranteed issues, with the
balance in corporate and bank issues. Investments in the Fund are neither
insured nor guaranteed by the U.S. government and there is no assurance that
the Fund will be able to maintain a stable net asset value. Furthermore, the
average maturity of the Series on June 30, 1997, was 42 days, versus 47 days on
December 31, 1996. We continue to limit the Series' investments to securities
issued or guaranteed by the U.S. Treasury or agencies or instrumentalities of
the U.S. government, as well as to the highest-quality corporate and bank
issues, in order to help provide maximum security against credit risk.
2
<PAGE>
Our market outlook over the next few months is neutral, and we expect to
maintain the average maturity in the 45-day range.
World Asset Allocation Series
For the six months ended June 30, 1997, the Series provided a total return of
9.04%. This compares to six-month returns for the following unmanaged indices:
20.60% for the Standard & Poor's 500 Composite Index (the S&P 500), a popular,
unmanaged index of common stock total return performance; 11.36% for the MSCI
EAFE Index; 2.90% for the Lehman Brothers Aggregate Bond Index, an index of
government and corporate bonds including Treasury, agency, and corporate bond
issues and mortgage-backed securities; and a -3.47% return for the J.P. Morgan
Non-Dollar Bond Index. Earlier this year, the Series had moved ahead of its
competition (according to Lipper Analytical Services, Inc., an independent firm
that reports mutual fund performance) as well as many key indices of
international financial performance. However, much of this lead evaporated as
the U.S. stock market again surged in late May and early June. The Series has
been carrying a high cash position relative to a neutral, or 0%, position and
has had a very low U.S. stock weighting. This defensive position resulted from
our belief that the U.S. stock market was fully valued. The Series' objective
is not to try and time the market, but rather to determine relative valuations
of different asset classes around the world. Because of this, we pared back our
U.S. holdings and remain cautious on the U.S. stock market. While this position
has negatively affected the performance of the Series in the short run, we
believe that, over the long term, there are better valuations in other asset
classes. Although the Series has underperformed during the recent surge in the
U.S. stock market, it did perform well during the sell-off in equity holdings
that occurred earlier in the year, and we believe that the risks of another,
similar sell-off are unacceptably high.
Stock-buying euphoria has been fed by a new consensus that the Fed may not
raise rates again and by new evidence that inflation is decidedly at bay. The
current allocations include a 50% weighting in international stocks, in which
our largest holding is PowerGen, the undervalued British electric utility. The
Series has a 10% allocation to U.S. stocks, with a mixture of large-capitalized
value companies and large growth companies. In bonds, we hold 10% in high-yield
(U.S. corporate) and 10% in emerging market bonds such as Brady bonds (U.S.
dollar-denominated restructured bank loans) in Brazil and Argentina, which are
close to being paid off. The rest of the Series (30%) is in cash, as we await a
more opportune moment to invest. As world stock values rise, we find it more
difficult to reinvest because most of the world's stock markets look expensive
relative to bonds and even to cash. We use a combination of quantitative
approaches and real-world common sense from our expert professionals to set our
world allocations, but our basic use of individual security selection and
original company research continues to underpin the strength of the Series.
World Governments Series
For the six months ended June 30, 1997, the Series provided a total return of
- -1.78%. This compares to a -1.23% return for the Salomon Brothers World
Governments Bond Index (the Salomon Index), an unmanaged index of complete
universes of government bonds with remaining maturities of at least five years.
The first six months of 1997 were quite contradictory for the global
fixed-income markets in that the United States, buoyed by a strong consumer
sector, and Japan, helped by strong exports, witnessed very robust economies
during the first quarter. By the second quarter, both economies had slowed
considerably. Meanwhile, the European countries were experiencing pretty much
the opposite; namely, weaker growth at the beginning of the year followed by
strength. However, one common trend throughout the world during this period was
a lack of inflation.
Against this background, most global bond markets rebounded significantly
during the second quarter. As measured in local currency terms by the Salomon
Index, the two best-performing markets year to date were the United Kingdom,
which advanced 6.05%, and Australia, which gained 5.85%. Most of the strength
from the United Kingdom was the result of the Labor Party's winning the
national election and immediately granting the Bank of England independence. In
Australia, the Reserve Bank became less concerned about future economic growth
and more focused on lowering inflation and dealing with higher unemployment.
Accordingly, the bank lowered interest rates. After a strong beginning of the
year, the Japanese bond market underperformed during the second quarter and
ended up the worst performer year to date, gaining just 2.11%. The portfolio
has benefited by being overweighted in the Australian sector, underweighted in
Japan, and moving toward an underweighted position in the United Kingdom after
its central bank's independence was announced.
While the Series' performance has benefited from bond selection during this
period, it was adversely impacted by its lower duration, or sensitivity to
interest rates, in most markets, as we did not anticipate such a significant
slowdown in the United States. Even though the portfolio was overweighted in
the stronger U.S. dollar for most of the period, nondollar currency positions
were largely responsible for the negative nominal returns.
Looking forward, we believe the portfolio will ultimately benefit from a
defensive bond posture. Presently, the U.S. bond market appears close to
reflecting an easing of monetary conditions that we believe will not happen. On
a relative basis, we feel the dollar-bloc countries, in particular Australia
and New Zealand, are the most attractive. In regard to Europe, the expected
interest-rate cuts in Italy and Spain occurred, and we see minimal further
narrowing of interest-rate spreads relative to Germany. Economic growth in
Japan continues at a strong pace, and we expect its central bank to tighten
monetary policy. Consequently, we continue to underweight this sector.
World Total Return Series
For the six months ended June 30, 1997, the Series provided a total return of
7.89%. This compares to that of a benchmark made up of a combination of the
MSCI World Index (60%) and the J.P. Morgan Global Government Bond Index (40%),
which returned 8.69% for the same period. The MSCI World Index is an unmanaged
index of global equities, while the J.P. Morgan Global Government Bond Index is
an aggregate of actively traded government bonds issued from 13 countries,
including the United States, with remaining maturities of at least one year.
Over the same period, the Lipper Global Flexible Fund Index returned 9.01%. In
general, the equity portion of the Series is managed on a "bottom-up," as
opposed to a "top-down," approach. In other words, investment decisions are
based primarily on a thorough analysis of individual companies and,
secondarily, on the macroeconomic analysis of different economies. We believe
this approach serves the Series well in periods of uncertainty, such as may lie
ahead, when the possibility of higher interest rates has increased.
During periods of rising stock prices, stocks often react very little when
companies' earnings are less than expected. However, this has not been the case
in the recent past. Rather, earnings disappointments have been greeted with
savage selling. In this
3
<PAGE>
environment, we believe our emphasis on companies that appear more likely to
keep growing during the uncertain period ahead should benefit the Series. The
equity portion of the Series has approximately half of its assets in five
economic sectors: financial services, utilities, energy, health care, and
consumer staples, all of which we expect to experience growth in earnings.
Furthermore, within each sector, there is broad geographic diversification,
with over 60% of equity assets overseas, representing 20 countries. For
example, the health care sector includes companies from the United States, the
United Kingdom, Switzerland, France, Sweden, and Japan. At the same time, we
believe the dividend yields on many of the stocks in the portfolio should help
buffer them from the vicissitudes of the market. Finally, as always, every
effort is made to avoid speculative securities.
The bond portion of the portfolio reflects a neutral weighting among Europe,
Japan, the United States, and the other dollar-bloc countries. U.S. interest
rates appear increasingly attractive from a global perspective. Hence, we
anticipate increasing the weighting in the United States and the other
dollar-bloc countries relative to Europe once the pickup in core European
growth is confirmed and the U.S. market adjusts to the Fed's tighter policy. In
the meantime, we are maintaining a defensive posture with respect to duration,
or interest-rate sensitivity, in both the dollar bloc and Europe.
The Series remains overweighted in Australian bonds because we believe current
yield spreads reflect undue fears of a rate hike. Within Europe, several
potential developments suggest possible opportunities, such as: the return of
the single-currency theme to the market, which would help potential entrants
such as Ireland and Spain; the likelihood of interest-rate cuts in Italy,
Spain, and possibly Sweden; and a more attractive U.K. market following the
election and moderate interest-rate hikes. Despite extremely low absolute
yields, the Japanese bond market should be well supported by accommodative
monetary policy and domestic institutional flows. Although some of the forces
pushing the dollar up are waning, we believe it should remain firm due to
capital inflows induced by favorable interest rates and moderate growth.
Zero Coupon Series, Portfolio 2000
The total return for the Series was 2.29% for the six months ended June 30,
1997, as intermediate-term U.S. Treasury notes moved higher during the period,
with yields on five-year Treasuries rising from 6.25% to 6.38%. The portfolio
consists of discounted coupon or principal payments that are stripped from U.S.
Treasury securities in order to provide a predictable and compounded rate of
return. With no interest payments prior to maturity, these portfolios are more
sensitive to interest-rate changes than are comparable bond funds with similar
maturities. While there will be fluctuations within the portfolio subject to
interest-rate moves, all portfolio holdings are guaranteed by the U.S. Treasury
at maturity. (While the guarantees do not apply to the individual units of the
Series, they assure a specified return to contract owners who hold their units
until the maturity of the Series.)
Performance Summary
The information below illustrates the performance of MFS[Reg]/Sun Life Series
Trust.
Average Annual and Cumulative Total Rates of Return as of June 30, 1997
MFS/Foreign & Colonial International Growth and
Income Series
<TABLE>
<CAPTION>
6 Months 1 Year Life of Series*
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Cumulative Total Return +5.96% +6.46% +12.53%
- -----------------------------------------------------------------------
Average Annual Total Return -- +6.46% + 7.00%
- -----------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
October 2, 1995, through June 30, 1997.
Government Securities Series
<TABLE>
<CAPTION>
6 Months 1 Year 5 Years 10 Years
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cumulative Total Return +2.55% +6.87% +36.69% +118.10%
- -----------------------------------------------------------------------
Average Annual Total Return -- +6.87% + 6.45% +8.11%
- -----------------------------------------------------------------------
</TABLE>
High Yield Series
<TABLE>
<CAPTION>
6 Months 1 Year 5 Years 10 Years
- ----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cumulative Total Return +6.13% +15.53% +68.28% +154.00%
- ----------------------------------------------------------------------
Average Annual Total Return -- +15.53% +10.97% + 9.77%
- ----------------------------------------------------------------------
</TABLE>
Money Market Series
<TABLE>
<CAPTION>
6 Months 1 Year 5 Years 10 Years
- ----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cumulative Total Return +2.44% +4.98% +22.31% +71.30%
- ----------------------------------------------------------------------
Average Annual Total Return -- +4.98% +4.11% + 5.53%
- ----------------------------------------------------------------------
</TABLE>
World Asset Allocation Series
<TABLE>
<CAPTION>
6 Months 1 Year Life of Series*
- ----------------------------------------------------------------------
<S> <C> <C> <C>
Cumulative Total Return +9.04% +14.96% +54.72%
- --------------------------------------------------------- ------------
Average Annual Total Return -- +14.96% +17.93%
- ----------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 7, 1994, through June 30, 1997.
World Governments Series
<TABLE>
<CAPTION>
6 Months 1 Year 5 Years 10 Years
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cumulative Total Return -1.78% +3.36% +33.57% +115.89%
- -----------------------------------------------------------------------
Average Annual Total Return -- +3.36% +5.96% + 8.00%
- -----------------------------------------------------------------------
</TABLE>
World Total Return Series
<TABLE>
<CAPTION>
6 Months 1 Year Life of Series*
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Cumulative Total Return +7.89% +17.06% +45.99%
- -----------------------------------------------------------------------
Average Annual Total Return -- +17.06% +15.37%
- -----------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 7, 1994, through June 30, 1997.
Zero Coupon Series, Portfolio 2000
<TABLE>
<CAPTION>
6 Months 1 Year 5 Years 10 Years
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cumulative Total Return +2.29% +6.62% +44.37% +149.18%
- -----------------------------------------------------------------------
Average Annual Total Return -- +6.62% +7.62% + 9.56%
- -----------------------------------------------------------------------
</TABLE>
All results are historical and, therefore, are not an indication of future
results. The investment return and principal value of an investment in the
product will vary with changes in market conditions, and shares, when redeemed,
may be worth more or less than their original cost.
Returns shown do not reflect the deduction of the mortality and expense risk
charges and administrative fees associated with variable annuity products. Had
these fees and charges been reflected, the results would have been lower.
4
<PAGE>
Portfolio of Investments -- June 30, 1997
MFS/Foreign & Colonial International
Growth and Income Series
Stocks -- 82.3%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Australia -- 2.1%
Capral Aluminum Ltd. (Metals) ............. 128,820 $ 469,948
Western Mining, ADS (Holding
Company)* ............................... 72,517 457,347
------------
$ 927,295
------------
Austria -- 1.4%
OMV AG (Oil and Gas) ...................... 4,800 $ 615,110
------------
Belgium -- 0.9%
Generale de Banque (Finance) .............. 1,020 $ 392,722
------------
France -- 8.3%
Accor (Lodging) ........................... 3,900 $ 584,170
Compagnie de St. Gobain
(Building Materials)* ................... 2,920 425,947
Dexia France (Finance) ................... 4,330 421,576
Eaux (Cie Generale)
(Utilities - Water)* .................... 2,160 276,848
Lafarge SA, Bearer Shares
(Building Materials) .................... 1,800 111,983
Lafarge SA, Bearer Shares
(Building Materials) .................... 3,120 194,104
Legrand, Preference Shares
(Electrical Equipment) .................. 1,820 228,313
Michelin, "B" (Tires)* .................... 6,640 398,852
Societe Nationale Elf Aquitaine (Oils) .... 3,920 423,026
TOTAL SA, "B" (Oils) ...................... 6,500 657,192
------------
$ 3,722,011
------------
Germany -- 7.4%
Bayer AG (Chemicals) ...................... 13,700 $ 526,476
Deutsche Bank AG (Banks) .................. 3,100 181,130
Deutsche Telekom AG
(Utilities - Telephone) ................. 22,045 530,900
Fresenius AG (Medical Supplies) ........... 1,560 354,220
Mannesmann AG (Diversified
Machinery) .............................. 800 356,422
Siemens AG (Electrical Equipment) ......... 7,940 471,438
VEBA AG (Oil and Gas) ..................... 7,090 398,406
Volkswagen AG (Automotive). ............... 640 490,642
------------
$ 3,309,634
------------
Hong Kong -- 5.8%
Cheung Kong Holdings Ltd.
(Real Estate) ........................... 62,000 $ 612,237
Hong Kong Electric Holdings Ltd.
(Utilities - Electric) .................. 61,500 247,683
HSBC Holdings PLC (Finance)* ............. 22,800 685,736
New World Development Co.
(Real Estate) ........................... 25,000 149,090
Swire Pacific "A" Diversified
Industries (Transportation) ............ 68,000 612,237
Wharf Holdings Ltd. (Real Estate) ......... 67,000 290,590
------------
$ 2,597,573
------------
Italy -- 2.6%
Industrie Natuzzi S.p.A., ADR
(Furniture) ............................. 17,500 $ 448,436
Telecom Italia Mobile S.p.A.
(Telecommunications) .................... 137,640 445,778
Telecom Italia S.p.A.
(Telecommunications) .................... 89,850 288,618
------------
$ 1,182,832
------------
Japan -- 17.4%
Canon, Inc. (Consumer Goods) .............. 27,000 $ 735,656
DDI Corp. (Telecommunications) ............ 82 605,816
Issuer Shares Value
Japan -- continued
Fuji Photo Film Co.
(Photographic Products) ................. 15,000 $ 603,877
Fujisawa Pharmaceuticals
(Pharmaceuticals).. ..................... 40,000 412,191
Hitachi (Electronics) ..................... 25,000 279,452
Hitachi Zosen (Machinery)* ............... 94,000 374,325
Ito-Yokado Co. Ltd. (Retail) .............. 9,000 522,662
Kyocera Corp. (Electronics) ............... 7,000 556,283
Marubeni Corp.
(Distribution/Wholesale) ................ 116,000 526,766
Matsushita Electric Industrial Co.
(Electrical Equipment) .................. 16,000 322,767
Mitsubishi Heavy Industries Ltd.
(Aerospace/Defense) ..................... 57,000 437,543
NKK Corp. (Steel) ......................... 172,000 369,505
Omron Corp. (Electronics) ................ 39,000 827,613
Ricoh Co. Ltd. (Office/Business
Equipment) .............................. 52,000 681,163
TDK Corp. (Electronics) ................... 6,000 440,660
Tokyo Broadcasting System
(Broadcasting) .......................... 3,000 61,567
------------
$ 7,757,846
------------
Malaysia -- 1.4%
Malaysian Industrial Development
Finance Berhad (Finance) ................ 170,000 $ 234,436
Petronas Gas Berhad
(Oil and Gas)## ......................... 103,000 375,510
------------
$ 609,946
------------
Netherlands -- 6.2%
ABN Amro Holdings N.V. (Finance)* ......... 25,760 $ 480,416
Akzo Nobel (Chemicals) .................... 4,060 556,505
Philips Electronics N.V.
(Manufacturing) ......................... 7,650 548,071
Royal Dutch Petroleum Co. (Oils)* ......... 1,600 83,975
Vendex International N.V. (Retail)* ....... 10,100 553,248
Verenigde Nederlandse Uitgeversbedrijven
Verenigd Bezit (Publishing) ............. 25,120 555,520
------------
$ 2,777,735
------------
Singapore -- 2.1%
City Developments Ltd. (Real Estate) 22,000 $ 215,505
Development Bank of Singapore
Ltd. (Banks) ............................ 42,000 528,968
Overseas-Chinese Banking Corp.
Ltd. (Finance) .......................... 19,320 200,067
------------
$ 944,540
------------
Spain -- 1.1%
Telefonica de Espana
(Utilities - Telephone) ................. 17,400 $ 503,184
------------
Sweden -- 3.8%
Ericsson LM, "B"
(Telecommunications) .................... 18,600 $ 733,735
Sparbanken Sverige AB
(Banks and Credit Cos.) ................. 24,200 539,241
Swedish Match AB (Tobacco) ................ 3,480 11,722
Volvo AB, "B" (Automobiles) ............... 14,580 390,991
------------
$ 1,675,689
------------
Switzerland -- 5.8%
Ciba Specialty Chemicals Holdings,
Inc. (Chemicals)* ....................... 4,070 $ 376,387
Nestle AG, Registered Shares
(Food and Beverage Products) ............ 430 567,325
Novartis AG (Pharmaceuticals) ............. 412 658,726
</TABLE>
5-G&I
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Switzerland -- continued
Roche Holdings AG (Pharmaceuticals) 70 $ 633,203
Winterthur (Insurance) .................. 400 352,377
-----------
$ 2,588,018
-----------
United Kingdom -- 16.0%
Allied Domecq PLC
(Food and Beverage Products)* ......... 47,400 $ 340,652
BAA PLC (Transportation)* ............... 50,960 469,241
British Petroleum PLC (Oil and Gas)*..... 35,800 444,890
British Telecommunications PLC
(Telecommunications) .................. 60,910 451,931
BTR PLC (Holding Company) ............... 86,740 296,538
Caradon PLC (Holding Company)*........... 42,840 143,250
Carlton Communicatons PLC
(Broadcasting) ........................ 47,960 405,713
General Accident PLC (Insurance)* ....... 19,890 289,529
Glaxo Wellcome PLC
(Pharmaceuticals)* .................. 22,060 455,985
Granada Group PLC (Leisure)* ............ 17,210 226,181
Grand Metropolitan PLC
(Food and Beverage Products)* ......... 46,000 442,318
Inchcape PLC (Commercial Services) 98,800 465,149
Land Securities PLC (Real Estate) ....... 14,130 199,807
Lloyds TSB Group PLC (Banks and
Credit Cos.)* ........................ 44,240 454,098
National Westminster (Finance)* ......... 25,200 338,526
Sainsbury (J.) PLC (Retail)* ............ 58,380 353,520
Smith (W.H.) Group PLC (Retail) ......... 61,900 371,746
Storehouse PLC (Retail) ................. 77,600 243,022
Tesco PLC (Retail)* ..................... 48,860 301,562
Unilever PLC (Consumer Goods) ........... 15,560 444,974
-----------
$ 7,138,632
-----------
Total Stocks
(Identified Cost, $32,678,657) ...... $36,742,767
-----------
</TABLE>
Bonds -- 10.0%
<TABLE>
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C> <C>
Foreign Bonds -- 10.0%
Australia -- 0.9%
Commonwealth of Australia, 9.75s,
2002 ................................... AUD 295 $ 252,894
Commonwealth of Australia, 10s, 2002 195 169,965
-----------
$ 422,859
-----------
Canada -- 0.8%
Government of Canada, 5.5s, 2002 .CAD 490 $ 350,010
-----------
Denmark -- 0.5%
Kingdom of Denmark, 8s, 2001 ............. DKK 20 $ 3,378
Kingdom of Denmark, 7s, 2007 ............. 644 101,817
Nykredit, 8s, 2026 ....................... 621 97,600
-----------
$ 202,795
-----------
France -- 0.6%
Government of France, 7s, 2000 ........... FRF 1,536 $ 284,454
-----------
Greece -- 0.4%
Hellenic Republic, 11.1s, 2003 ........... GRD 20,000 $ 75,010
Hellenic Republic, 12.6s, 2003 ........... 21,500 80,714
Hellenic Republic, 13.4s, 2003 ........... 10,000 37,541
-----------
$ 193,265
-----------
Italy -- 2.3%
Republic of Italy, 9.5s, 1999 - 2006 ..... ITL 1,580,000 $ 1,006,660
-----------
New Zealand -- 0.8%
Government of New Zealand, 8s,
2001 ................................... NZD 490 $ 346,783
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
(000 Omitted) Value
<S> <C> <C> <C>
Spain -- 1.6%
Government of Spain, 6.75s, 2000 ...... ESP 23,110 $ 163,296
Government of Spain, 8.4s, 2001 ...... 20,600 154,469
Government of Spain, 10.5s, 2003 ...... 19,220 161,722
Government of Spain, 7.35s, 2007 ...... 30,040 217,994
----------
$ 697,481
----------
Sweden -- 1.2%
Kingdom of Sweden, 10.25s, 2000 ....... SEK 1,300 $ 190,562
Kingdom of Sweden, 13s, 2001 ......... 1,100 179,586
Kingdom of Sweden, 5.5s, 2002 ......... 1,400 179,466
----------
$ 549,614
----------
United Kingdom -- 0.9%
United Kingdom Treasury, 7s, 2001 ..... GBP 250 $ 414,210
----------
Total Bonds
(Identified Cost, $4,564,824) ..................... $4,468,131
-----------
Warrants
Eaux (Cie General) (Utilities -
Water), (Identified Cost, $0)* ...... FRF 2,160 $ 1,294
----------
Short-Term Obligations -- 9.2%
Federal Farm Credit Bank, due 8/07/97 $ 500 $ 497,220
Federal Home Loan Bank, due 7/24/97 275 274,051
Federal National Mortgage Assn.,
due 7/09/97 - 7/21/97 ............... 1,450 1,446,438
Student Loan Marketing Assn.,
due 7/31/97 ........................ 1,900 1,891,482
----------
Total Short-Term Obligations,
at Amortized Cost .............................. $4,109,191
----------
Call Options Purchased
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
of Contracts
Issuer/Expiration Month/Strike Price (000 Omitted)
<S> <C> <C> <C>
Deutsche Marks / British Pounds/
July/2.7 ........................ DEM 637 $ 0
Japanese Government Bonds/
July/116.201/216.201 ............... JPY 74,000 130
July/114.635 ....................... JPY 34,000 102
September/115.498 ................. JPY 57,000 2,688
Swiss Francs/August/1.35 ............ CHF 1,058 432
-----------
Total Call Options Purchased
(Identified Cost, $18,517) ....................... $ 3,352
-----------
Total Investments
(Identified Cost, $41,371,189) ................... $45,324,735
-----------
Put Options Written
British Pounds/July/1.65 ............ GBP 439 $ (5,838)
Japanese Government Bonds/
July/114.635 ..................... JPY 34,000 (3,332)
September/115.498 ................. JPY 57,000 (4,218)
-----------
Total Put Options Written
(Premiums Received, $9,392)....................... $ (13,388)
-----------
Other Assets,
Less Liabilities -- (1.5)% (685,667)
-----------
Net Assets -- 100.0% ............................... $44,625,680
===========
</TABLE>
See portfolio footnotes and notes to financial statements
6-G&I
<PAGE>
Portfolio of Investments -- June 30, 1997
Government Securities Series
Bonds -- 98.4%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Government Guaranteed -- 61.2%
Government National Mortgage Association -- 22.8%
GNMA, 6.5s, 2024 .............................. $ 24 $ 22,912
GNMA, 7s, 2025 ................................. 6,651 6,528,812
GNMA, 7.5s, 2009 - 2025 ........................ 48,830 49,050,386
GNMA, 8s, 2022 - 2026 .......................... 23,866 24,418,873
GNMA, 9s, 2017 - 2019 .......................... 3,816 4,097,900
GNMA, 12.25s, 2015 ............................. 8 9,629
------------
$ 84,128,512
------------
Small Business Administration -- 3.7%
SBA, 8.2s, 2005 ................................ $ 1,572 $ 1,629,321
SBA, 8.4s, 2007 ................................ 562 586,549
SBA, 8.7s, 2009 ................................ 3,490 3,702,378
SBA, 9.05s, 2009 ............................... 565 602,224
SBA, 9.65s, 2007 - 2010 ........................ 1,765 1,919,460
SBA, 10.05s, 2009 .............................. 794 872,890
SBA, 10.1s, 2009 ............................... 4,092 4,476,793
------------
$ 13,789,615
------------
U.S. Treasury Obligations -- 34.7%
U.S. Treasury Bonds, 9.875s, 2015 .............. $ 5,020 $ 6,601,300
U.S. Treasury Bonds, 8.875s, 2017 .............. 5,250 6,394,342
U.S. Treasury Bonds, 8.125s, 2019 .............. 3,675 4,192,367
U.S. Treasury Notes, 5.75s, 1998 ............... 2,250 2,243,318
U.S. Treasury Notes, 6.5s,
2002 - 2006 ................................. 44,350 44,331,342
U.S. Treasury Notes, 6.625s, 2002 .............. 6,560 6,620,483
U.S. Treasury Notes, 6.75s,
1999 - 2000 ................................. 29,750 30,120,325
U.S. Treasury Notes, 8s, 2001 .................. 10,600 11,196,250
U.S. Treasury Notes, 9.125s, 1999 .............. 10,950 11,530,021
U.S. Treasury Notes, 9.25s, 1998 ............... 4,520 4,681,726
------------
$127,911,474
------------
Total U.S. Government Guaranteed
(Identified Cost, $133,404,220) ........................... $225,829,601
------------
U.S. Federal Agencies -- 37.2%
Aid to Israel, 8s, 2001 ........................ $ 5,000 $ 5,270,850
Aid to Israel, 5.625s, 2003 .................... 2,000 1,904,180
Federal Home Loan Mortgage
Corp., 8s, 2005 .............................. 9,043 9,167,760
Federal Home Loan Mortgage
Corp., 9s, 2020 .............................. 452 478,745
Federal Home Loan Mortgage
Corp., 6.5s, 2027 ............................ 5,423 4,449,402
Federal National Mortgage Assn.,
7s, 2027 .................................... 6,172 5,421,503
Federal National Mortgage Assn.,
7.172s, 2020 ................................. 1,169 1,174,102
Principal Amount
Issuer (000 Omitted) Value
U.S. Federal Agencies -- continued
Federal National Mortgage Assn.,
7.27s, 2005 .................................. $ 6,097 $ 6,237,707
Federal National Mortgage Assn.,
7.5s, 2000 - 2027 ............................ 28,117 28,362,252
Federal National Mortgage Assn.,
8s, 2005 - 2023 ............................. 21,555 13,408,665
Federal National Mortgage Assn.,
8.25s, 2001 .................................. 3,930 4,073,241
Federal National Mortgage Assn.,
9.5s, 2019 ................................... 4,957 1,505,817
Federal National Mortgage Assn.,
REMIC, 7.95s, 2019 ........................... 2,299 2,314,180
Financing Corp., 9.4s, 2018 .................... 4,845 6,050,194
Financing Corp., 9.8s, 2018 .................... 5,600 7,217,000
Private Export Funding Corp., 6.24s,
2002 ......................................... 8,000 7,889,280
Resolution Funding Corp., 8.875s,
2020 ......................................... 6,000 7,258,140
Tennessee Valley Authority, 0s,
2042 ......................................... 12,500 4,449,000
U.S. Department of Housing &
Urban Development, 6.83s, 2003 8,025 8,082,459
U.S. Department of Housing &
Urban Development, 6.92s, 2004 4,525 4,569,707
U.S. Department of Veterans Affairs,
7.5s, 2009 ................................... 6,812 6,943,982
U.S. Department of Veterans Affairs,
7.75s, 2014 .................................. 1,000 1,019,060
------------
Total U.S. Federal Agencies
(Identified Cost, $227,831,209) ............ $137,247,226
------------
Total Bonds (Identified Cost, $361,235,429) $363,076,827
------------
Repurchase Agreement -- 1.5%
Investments in repurchase
agreements with Goldman Sachs,
dated 6/30/97, due 7/01/97, total
to be received by the fund,
$5,702,927 (collateralized by
various U.S. Treasury and Federal
Agency obligations in a jointly
traded account), at Cost ..................... $ 5,702 $ 5,702,000
------------
Total Investments
(Identified Cost, $366,937,429) ............ $368,778,827
Other Assets,
Less Liabilities -- 0.1% 263,575
------------
Net Assets -- 100.0% ......................... $369,042,402
============
</TABLE>
See portfolio footnotes and notes to financial statements
7-GSS
<PAGE>
Portfolio of Investments -- June 30, 1997
High Yield Series
Non-Convertible Bonds -- 91.7%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- 85.4%
Aerospace -- 2.7%
Airplane Pass-Thru Trust, 10.875s,
2019 ................................. $ 700 $ 805,000
BE Aerospace, Inc., 9.875s, 2006 ........ 975 1,026,187
CHC Helicopter Corp., 11.5s, 2002 ....... 550 572,000
K & F Industries, Inc., 10.375s,
2004 ................................. 1,850 1,961,000
MOOG, Inc., 10s, 2006 .................. 1,700 1,768,000
------------
$ 6,132,187
------------
Building -- 1.4%
Building Materials Corp. of America,
0s to 1999, 11.75s to 2004 ............ $1,500 $ 1,361,250
Building Materials Corp. of America,
8.625s, 2006 .......................... 200 203,000
Nortek, Inc., 9.25s, 2007 ............... 875 888,125
Nortek, Inc., 9.875s, 2004 .............. 775 794,375
UDC Homes, Inc., 12.5s, 2000 ........... 7 3,644
------------
$ 3,250,394
------------
Chemicals -- 2.7%
Indspec Chemical Corp., 0s to
1998, 11.5s to 2003 .................. $ 800 $ 748,000
NL Industries, Inc., 11.75s, 2003 ...... 2,455 2,663,675
Sterling Chemicals, Inc., 11.75s,
2006 .................................. 1,100 1,188,000
Sterling Chemicals, Inc., 11.25s,
2007## ................................ 100 107,250
UCC Investors Holdings, Inc., 10.5s,
2002 .................................. 1,350 1,468,125
------------
$ 6,175,050
------------
Computer Software -- Systems -- 0.5%
Anacomp, Inc., 10.875s, 2004## .......... $ 675 $ 688,500
Verio, Inc., 13.5s, 2004## . ............ 375 376,875
------------
$ 1,065,375
------------
Consumer Goods and Services -- 7.3%
American Safety Razor Co., 9.875s,
2005 .................................. $1,000 $ 1,067,500
Consolidated Cigar Corp., 10.5s,
2003 .................................. 250 263,125
Dominion Textile - USA, 9.25s,
2006 .................................. 600 618,000
E & S Holdings Corp., 10.375s,
2006 .................................. 1,775 1,846,000
FoodBrands America, Inc., 10.75s,
2006 .................................. 1,300 1,524,016
Genmar Holdings, Inc., 13.5s, 2001 ...... 625 606,250
Kindercare Learning Center, Inc.,
9.5s, 2009 ........................... 1,450 1,410,125
Reeves Industries, Inc., 11s, 2002 ...... 580 435,000
Remington Arms, Inc., 9.5s, 2003 ........ 800 724,000
Remington Products LLC, 11s,
2006 ................................. 200 176,500
Revlon, Inc., 10.5s, 2003 ............... 1,780 1,895,700
Samsonite Corp., 11.125s, 2005 .......... 1,367 1,524,205
Sealy Corp., 10.25s, 2003 ............... 2,050 2,152,500
Westpoint Stevens, Inc., 9.375s,
2005 ................................. 2,475 2,586,375
------------
$ 16,829,296
------------
Containers -- 4.5%
Gaylord Container Corp., 12.75s,
2005 ................................. $2,525 $ 2,764,875
Gaylord Container Corp., 9.75s,
2007## ................................ 1,000 997,500
Owens-Illinois, Inc., 9.95s, 2004 ...... 800 846,000
Principal Amount
Issuer (000 Omitted) Value
Containers -- continued
Owens-Illinois, Inc., 8.1s, 2007 ........ $1,450 $ 1,478,695
Plastic Specialty & Technology
Corp., 11.25s, 2003 ................... 140 149,800
Silgan Holdings, Inc., 9s, 2009## ....... 2,000 2,020,000
U.S. Can Corp., 10.125s, 2006 ......... 2,000 2,125,000
------------
$ 10,381,870
------------
Corporate Asset Backed -- 0.2%
Merrill Lynch Mortgage Investors, Inc.,
8.155s, 2023+ ........................ $ 500 $ 434,219
------------
Electronics -- 0.4%
Amphenol Corp., 9.875s, 2007 ............ $ 75 $ 76,875
Clark Schwebel, Inc., 10.5s, 2006 ....... 800 864,000
------------
$ 940,875
------------
Entertainment -- 2.3%
AMC Entertainment, Inc., 9.5s,
2009## ................................ $2,050 $ 2,132,000
Cinemark USA, Inc., 9.625s, 2008 ........ 1,400 1,442,000
HorseShoe Gaming LLC, 9.375s,
2007## ................................ 425 430,313
Plitt Theatres, Inc., 10.875s, 2004 ..... 1,200 1,272,000
------------
$ 5,276,313
------------
Financial Institutions -- 0.4%
Integon Capital, Inc., 10.75s,
2027## ................................ $ 850 $ 1,035,938
------------
Food and Beverage Products -- 2.5%
Coca-Cola Bottling Group, Inc., 9s,
2003 .................................. $ 250 $ 258,125
Delta Beverage Group, Inc., 9.75s,
2003 .................................. 550 566,500
Keebler Corp., 10.75s, 2006 ............. 700 784,000
PMI Acquisition Corp., 10.25s,
2003 .................................. 1,250 1,306,250
Specialty Foods Corp., 10.25s,
2001 .................................. 1,550 1,530,625
Texas Bottling Group, Inc., 9s, 2003 1,250 1,271,875
------------
$ 5,717,375
------------
Forest and Paper Products -- 3.5%
Atlantis Group, Inc., 11s, 2003 ......... $ 900 $ 922,500
Calmar, Inc., 11.5s, 2005 ............... 1,800 1,948,500
Florida Coast Paper Co., 12.75s,
2003 .................................. 1,225 1,270,937
Fort Howard Corp., 9.25s, 2001 ......... 1,000 1,065,000
Pacific Lumber Co., 10.5s, 2003 ......... 1,400 1,442,000
Repap Wisconsin, Inc., 9.25s, 2002 ...... 450 454,500
Speciality Paperboard, Inc., 9.375s,
2006 ................................. 1,000 1,016,250
------------
$ 8,119,887
------------
Industrial -- 4.1%
AGCO Corp., 8.5s, 2006 .................. $ 925 $ 945,812
Exide Corp., 10s, 2005 .................. 2,100 2,173,500
Harvard Industries, Inc., 12s, 2004** 55 22,550
Harvard Industries, Inc., 11.125s,
2005** ................................ 95 38,238
Hayes Wheels International, Inc.,
11s, 2006## ........................... 1,050 1,155,000
Hayes Wheels International, Inc.,
9.125s, 2007## ........................ 1,200 1,200,000
Lear Corp., 9.5s, 2006 .................. 875 931,875
L3 Communications Corp., 10.375s,
2007## ................................ 625 664,062
Oxford Automotive, Inc., 10.125s,
2007## ................................ 525 525,000
</TABLE>
8-HY
<PAGE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Industrial -- continued
Titan Wheel International, Inc.,
8.75s, 2007 ........................... $ 150 $ 153,000
Venture Holdings Trust, 9.75s, 2004 ..... 775 759,500
Williams Scotsman, Inc., 9.875s,
2007## ................................ 850 858,500
-----------
$ 9,427,037
-----------
Information, Paging, and
Technology -- 1.4%
Iron Mountain, Inc., 10.125s, 2006 ...... $1,300 $ 1,391,000
Pierce Leahy Corp., 11.125s, 2006 ....... 1,450 1,580,500
Pierce Leahy Corp., 9.125s, 2007 ...... 400 400,000
-----------
$ 3,371,500
-----------
Media -- 7.9%
Allbritton Communications Co.,
9.75s, 2007 ........................... $ 950 $ 935,750
American Radio Systems Corp., 9s,
2006 ................................. 2,350 2,397,000
Cablevision Systems Corp., 9.25s,
2005 ................................. 1,900 1,957,000
Chancellor Radio Broadcasting
Corp., 8.75s, 2007## ............... 425 419,687
Charter Communications Southeast
LP, 11.25s, 2006 ..................... 1,400 1,512,000
Comcast Corp., 9.375s, 2005 ............ 1,400 1,470,000
Comcast Corp., 10.625s, 2012 ............ 200 236,000
Diamond Cable Communications
Corp., 11.75s, 2005 .................. 950 657,875
Diamond Cable Communications
Corp., 0s to 2002, 10.75s to
2007## ............................... 1,950 1,155,375
Falcon Holdings Group, Inc., 11s,
2003 .................................. 1,008 1,012,904
Granite Broadcasting Corp.,
10.375s, 2005 ......................... 1,850 1,868,500
Jones Intercable, Inc., 9.625s, 2002 .... 550 576,125
Jones Intercable, Inc., 8.875s, 2007 .... 1,000 1,020,000
Lenfest Communications, Inc.,
10.5s, 2006 ........................... 1,100 1,193,500
Marcus Cable Operating Co., 0s to
1999, 13.5s to 2004 .................. 875 761,250
Marvel Holdings, Inc., 0s, 1998** ....... 1,165 168,925
Peoples Choice TV Corp., 0s to
2000, 13.125s to 2004 ................. 2,100 777,000
-----------
$18,118,891
-----------
Medical and Health Technology and
Services -- 3.4%
Beverly Enterprises, Inc., 9s, 2006 ..... $1,900 $ 1,954,625
Genesis Health Ventures, Inc.,
9.75s, 2005 ........................... 1,500 1,552,500
Quorum Health Group, 8.75s, 2005 ........ 1,500 1,552,500
Tenet Healthcare Corp., 8s, 2005 ........ 2,800 2,807,000
-----------
$ 7,866,625
-----------
Metals and Minerals -- 1.8%
Haynes International, Inc., 11.625s,
2004 ................................. $1,700 $ 1,870,000
Kaiser Aluminum & Chemical Corp.,
9.875s, 2002 ........................ 1,400 1,435,000
Kaiser Aluminum & Chemical Corp.,
12.75s, 2003 ........................ 750 814,688
-----------
$ 4,119,688
-----------
Oil Services -- 2.7%
AmeriGas Partners LP, 10.125s,
2007 ................................. $1,600 $ 1,702,000
Principal Amount
Issuer (000 Omitted) Value
Oil Services -- continued
Clark Refining & Manufacturing,
Inc., 0s, 2000 ........................ $ 750 $ 568,125
Clark USA, Inc., 10.875s, 2005 ......... 750 797,812
Falcon Drilling, Inc., 8.875s, 2003 ..... 950 961,875
Ferrell Gas LP, 10s, 2001 ............... 1,200 1,275,000
Giant Industries, Inc., 9.75s, 2003 ..... 280 285,600
Mesa Operating Co., 10.625s, 2006 ........ 600 681,000
-----------
$ 6,271,412
-----------
Printing and Publishing -- 0.6%
Day International Group, Inc.,
11.125s, 2005 ........................ $ 900 $ 949,500
Golden Books Publishing, Inc.,
7.65s, 2002 ........................... 400 377,000
-----------
$ 1,326,500
-----------
Restaurants and Lodging -- 4.8%
Casino America, Inc., 12.5s, 2003 ...... $1,025 $ 1,058,312
Coast Hotels & Casinos, Inc., 13s,
2002 ................................. 600 669,000
Eldorado Resorts LLC, 10.5s, 2006 ....... 1,700 1,802,000
Four Seasons Hotels, Inc., 9.125s,
2000## .............................. 1,100 1,166,000
Grand Casinos, Inc., 10.125s, 2003 ...... 1,800 1,872,000
Griffin Gaming & Entertainment,
Inc., 0s, 2000** ..................... 300 309,000
Harrah's Jazz Co., 14.25s, 2001** ...... 650 250,250
Harveys Casinos Resorts, 10.625s,
2006 ................................. 650 702,000
Prime Hospitality Corp., 9.75s,
2007 ................................. 600 627,000
Red Roof Inns, Inc., 9.625s, 2003 ...... 1,700 1,759,500
Sam Houston Race Park, Inc., 11s,
2001** .............................. 178 76,346
Santa Fe Hotel, Inc., 11s, 2000 ......... 1,045 757,625
-----------
$11,049,033
-----------
Retail -- 2.1%
Finlay Fine Jewelry, 10.625s, 2003 ...... $1,750 $ 1,837,500
Jitney Jungle Stores of America, Inc.,
12s, 2006 ........................... 1,000 1,110,000
Parisian, Inc., 9.875s, 2003 ............ 1,900 1,995,000
-----------
$ 4,942,500
-----------
Special Products and Services -- 7.7%
AAF-Mcquay, Inc., 8.875s, 2003 ......... $1,400 $ 1,403,500
Buckeye Cellulose Corp., 8.5s,
2005 .................................. 1,350 1,363,500
Fairfield Manufacturing Corp.,
11.375s, 2001 ......................... 1,100 1,166,000
Howmet Corp., 10s, 2003 ................. 1,000 1,080,000
IMO Industries, Inc., 11.75s, 2006 ...... 1,585 1,894,075
Interlake Corp., 12s, 2001 ............ 600 660,000
Interlake Corp., 12.125s, 2002 ......... 1,950 2,047,500
Interlake Revolver, "B", 8.375s,
1997## ................................ 170 169,477
International Knife And Saw, Inc.,
11.375s, 2006 ......................... 1,000 1,072,500
Polymer Group, Inc., 12.25s, 2002 ...... 1,084 1,192,400
Polymer Group, Inc., 9s, 2007## ...... 2,350 2,312,189
Synthetic Industries, Inc., 9.25s,
2007## .............................. 1,850 1,877,750
Thermadyne Industries Holdings
Corp., 10.25s, 2002 .................. 350 367,500
Thermadyne Industries Holdings
Corp., 10.75s, 2003 .................. 800 838,000
-----------
$17,444,391
-----------
</TABLE>
9-HY
<PAGE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Steel -- 3.3%
Alaska Steel Corp., 9.125s, 2006 ...... $1,875 $ 1,912,500
Carbide/Graphite Group, Inc.,
11.5s, 2003 ........................ 250 273,125
Commonwealth Aluminum Corp.,
10.75s, 2006 ........................ 1,975 2,054,000
Jorgensen (Earle M.) Co., 10.75s,
2000 ................................. 1,025 1,025,000
Northwestern Steel & Wire Co.,
9.5s, 2001 ........................... 300 270,000
WCI Steel, Inc., 10s, 2004 ............ 2,000 2,075,000
------------
$ 7,609,625
------------
Supermarkets -- 3.8%
Brunos, Inc., 10.5s, 2005 ............ $ 450 $ 453,375
Carr-Gottstein Foods Co., 12s,
2005 ................................. 400 444,000
Dominick's Finer Foods Co.,
10.875s, 2005 ..................... 1,600 1,768,000
Pathmark Stores, Inc., 9.625s, 2003 .... 1,000 977,500
Ralph's Grocery Co., 10.45s, 2004 ...... 1,850 1,979,500
Shoppers Food Warehouse Corp.,
9.75s, 2004## ..................... 525 525,656
Smiths Food & Drug Centers,
11.25s, 2007 ........................ 1,275 1,491,750
Star Market, Inc., 13s, 2004 ......... 950 1,078,250
------------
$ 8,718,031
------------
Telecommunications -- 13.3%
Brooks Fiber Properties, Inc., 0s to
2001, 10.875s to 2006 ............... $1,200 $ 816,000
Brooks Fiber Properties, Inc.,
11.875s, 2006 ..................... 1,250 812,500
Brooks Fiber Properties, Inc.,
10s, 2007## ........................ 600 606,000
Comcast Cellular Holdings, Inc.,
9.5s, 2007## ........................ 1,200 1,206,000
Echostar Communications Corp.,
0s to 1999, 12.875s to 2004 ......... 700 592,375
Echostar DBS Corp., 12.5s, 2002## ...... 350 346,938
Echostar Satellite Broadcasting
Corp., 0s to 2000, 13.125s to 2004 2,325 1,674,000
Esat Holdings Ltd., 12.5s, 2007## ...... 550 332,750
GlobalStar Co., 11.375s, 2004## ...... 1,300 1,303,250
Hollinger International Publishing,
Inc., 9.25s, 2007 .................. 2,300 2,346,000
ICG Holdings, Inc., 0s to 2001,
12.5s to 2006 ..................... 2,700 1,809,000
Intercel, Inc., 11.125s, 2007## ...... 200 201,000
Intermedia Capital Partners IV, LP,
11.25s, 2006 ........................ 1,375 1,505,625
ITC Deltacom, Inc., 11s, 2007## ...... 500 510,000
McCaw International Ltd., 0s to
2002, 13s to 2007 .................. 850 412,250
Millicom International Cellular
Communications Corp., 0s to
2001, 13.5s to 2006 ............... 1,460 1,065,800
Mobile Telecommunication
Technologies Corp., 13.5s, 2002 550 588,500
Mobilemedia Communications, Inc.,
0s to 1998, 10.5s to 2003** ......... 275 35,750
NEXTEL Communications, Inc.,
0s to 1999, 9.75s to 2004 ......... 1,585 1,212,525
Orion Network Systems, Inc.,
11.25s, 2007 ........................ 1,000 1,025,000
Principal Amount
Issuer (000 Omitted) Value
Telecommunications -- continued
Orion Network Systems, Inc.,
12.5s, 2007 ........................ $ 700 $ 399,000
Outdoor Systems, Inc., 8.875s,
2007## .............................. 1,500 1,458,750
Paging Network, Inc., 8.875s, 2006 ..... 1,400 1,274,000
Qwest Communications
International, Inc., 10.875s,
2007## .............................. 950 1,030,750
Sprint Spectrum LP, 12.5s, 2006 ........ 2,650 1,934,500
Sprint Spectrum LP, 11s, 2006 ......... 950 1,052,125
Sygnet Wireless, Inc., 11.5s, 2006 ..... 1,250 1,275,000
Teleport Communications Group,
Inc., 11.25s, 2007 .................. 2,775 2,001,469
Telesystem International Wireless,
Inc., 13.25s, 2007## ................. 925 490,250
Western Wireless Corp., "A", 10.5s,
2007 ................................. 1,350 1,395,562
------------
$ 30,712,669
------------
Transportation -- 0.1%
Moran Transportation Co., 11.75s,
2004 ................................. $ 300 $ 333,750
------------
Total U.S. Bonds ..................... $196,670,231
------------
Foreign Bonds -- 6.3%
Canada -- 1.6%
Gulf Canada Resources Ltd.,
9.25s, 2004 .......................... $ 950 $ 995,125
Rogers Cantel, Inc., 9.375s, 2008 ..... 600 633,000
Rogers Cablesystems Ltd., 9.625s,
2002 ................................. 250 263,750
Rogers Cablesystems, Inc.,
10.125s, 2012 ........................ 1,750 1,855,000
------------
$ 3,746,875
------------
Indonesia -- 0.8%
APP Finance II Mauritius Ltd., 12s,
2049## ............................... $ 575 $ 589,375
Indah Kiat Finance Mauritius Ltd.,
10s, 2007## .......................... 1,150 1,142,491
------------
$ 1,731,866
------------
Panama -- 0.4%
CSN Iron SA, 9.125s, 2007## ............ $1,000 $ 972,500
------------
Poland -- 0.1%
PTC International Finance BV, 0s to
2002,10.75s to 2007## ............... $ 525 $ 318,938
------------
United Kingdom -- 3.4%
Bell Cablemedia PLS, 0s to 2000,
11.875s to 2005 ..................... $1,000 $ 835,000
Central Transport Rental Finance
Corp., 9.5s, 2003 .................... 700 679,281
Colt Telecom Group PLC, 0s to
2001, 12s to 2006 .................... 3,150 2,023,875
Newsquest Capital PLC, 11s, 2006 ....... 1,375 1,498,750
Telewest PLC, 9.625s, 2006 ............. 1,475 1,519,250
Videotron Holdings PLC, 11s, 2005 ...... 1,500 1,252,500
------------
$ 7,808,656
------------
Total Foreign Bonds .................. $ 14,578,835
------------
Total Non-Convertible Bonds
(Identified Cost, $204,871,484) .... $211,249,066
============
</TABLE>
10-HY
<PAGE>
Stocks -- 0.3%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 0.2%
Apparel and Textiles -- 0.2%
Ithaca Industries, Inc.* ............... 60,000 $ 480,000
------------
Building
Atlantic Gulf Communities Corp.+* ...... 30 $ 191
------------
Consumer Goods and Services
Ranger Industries, Inc.* ............... 8,952 $ 6,159
------------
Restaurants and Lodging
Sam Houston Race Park, Inc. ............ 45 $ 180
------------
Total U.S. Stocks ......................................... $ 486,530
------------
Foreign Stocks -- 0.1%
United Kingdom -- 0.1%
Central Transport Rental Group
PLC, ADR, (Transportation)* ......... 343,750 $ 118,164
------------
Total Stocks (Identified Cost, $1,396,684) ............... $ 604,694
------------
Preferred Stock -- 3.4%
Consumer Goods and Services -- 0.2%
Renaissance Cosmetics, Inc.,
14s+* .............................. 582 $ 512,160
------------
Entertainment -- 1.2%
Time-Warner, Inc., "K", 10.25s #,## .... 2,470 $ 2,744,170
------------
Media -- 1.1%
Cablevision Systems Corp.,
11.125s## ........................... 14,256 $ 1,432,728
Chancellor Radio Broadcasting
Corp., 12s ##* ..................... 10,000 1,140,000
------------
$ 2,572,728
------------
Special Products and Services -- 0.9%
K-III Communications Corp.,
"B", 11s ........................... 15,715 $ 1,697,216
K-III Communications Corp.,
"B", 10s#* ........................... 4,000 408,000
------------
$ 2,105,216
------------
Total Preferred Stock
(Identified Cost, $6,727,218) ........................... $ 7,934,274
------------
Warrants
Crystal Oil Co.* ..................... 36,780 $ 0
Crystal Oil Co.* ..................... 36,779 0
Esat Holdings Ltd.* .................. 550 11,000
ICO, Inc.,* ........................... 25,000 16,250
Renaissance Cosmetics, Inc.* ......... 525 52,500
------------
Total Warrants (Identified Cost, $64,249) ............... $ 79,750
------------
</TABLE>
Short-Term Obligations -- 3.4%
<TABLE>
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Home Loan Mortgage
Corp., due 7/01/97 ............ $2,730 $ 2,730,000
Federal National Mortgage Assn.,
due 7/1/97 - 7/11/97 ......... 3,890 3,886,362
General Electric Co., due 7/01/97 1,115 1,115,000
------------
Total Short-Term Obligations,
at Amortized Cost .............................. $ 7,731,362
------------
Total Investments
(Identified Cost, $220,790,997).................. $227,599,146
Other Assets,
Less Liabilities -- 1.2% 2,750,164
-------------
Net Assets -- 100.0% .............................. $230,349,310
=============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- June 30, 1997
Money Market Series
U.S. Government and Agency
Obligations -- 60.5%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Federal Farm Credit Bank, due
8/06/97 - 11/03/97 ............... $44,515 $ 44,062,726
Federal Home Loan Bank, due
7/17/97 - 10/03/97 ............... 51,520 51,206,889
Federal Home Loan Mortgage
Corp., due 7/14/97 - 9/19/97 ...... 48,200 47,874,206
Federal National Mortgage Assn.,
due 7/01/97 - 10/20/97 ............ 82,080 81,714,489
Student Loan Marketing Assn.,
due 9/30/97 ........................ 9,000 8,876,594
Tennessee Valley Authority, due
8/22/97 - 9/11/97 .................. 20,000 19,812,767
------------
Total U.S. Government and Agency Obligations,
at Amortized Cost .................................... $253,547,671
------------
Commercial Paper -- 32.5%
Abbott Labs, due 7/02/97 ............ $ 8,000 $ 7,998,778
Associates Corp. of North America,
due 7/07/97 ........................ 10,000 9,990,783
AT&T Corp., due 7/31/97 ............ 5,000 4,976,917
Bank of America, FSB, due 7/21/97 .... 10,000 9,969,000
BankAmerica Corp., due 8/11/97 ...... 5,000 4,968,567
Carolina Power & Light Co., due
7/08/97 ........................... 5,000 4,994,653
Coca-Cola Co., due 9/15/97 ......... 7,000 6,918,574
Dow Chemical Co., due 7/10/97 ...... 9,000 8,987,670
Ford Motor Credit Corp., due
9/18/97 ........................... 5,000 4,939,214
General Electric Capital Corp.,
due 7/16/97 ........................ 5,000 4,988,479
Goldman Sachs Group LP,
due 8/14/97 ........................ 5,200 5,164,600
Heinz (H.J.) Co., due 7/01/97 ...... 7,000 7,000,000
Hershey Foods Corp., due 7/28/97 ..... 6,500 6,473,187
Minnesota Mining & Manufacturing
Co., due 7/22/97 .................. 5,300 5,282,872
Nationsbank Corp., due 7/09/97 ...... 7,000 6,991,273
Pacific Gas & Electric Co., due
8/20/97 - 8/29/97 .................. 11,000 10,907,219
Pfizer, Inc., due 8/13/97 ............ 7,000 6,953,847
Procter & Gamble Co., due
8/15/97 - 8/28/97 .................. 12,000 11,903,823
Warner Lambert Co., due 9/04/97 ...... 7,000 6,930,486
--------------
Total Commercial Paper,
at Amortized Cost .................................... $136,339,942
--------------
Total Investments, at Amortized Cost .................. $389,887,613
Other Assets,
Less Liabilities -- 7.0% $ 29,467,054
------------
Net Assets -- 100.0% ................................. $419,354,667
============
</TABLE>
See portfolio footnotes and notes to financial statements
11-MMS
<PAGE>
Portfolio of Investments -- June 30, 1997
World Asset Allocation Series
Stocks -- 55.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 8.4%
Aerospace -- 0.2%
AlliedSignal, Inc. ..................... 2,000 $ 168,000
----------
Banks and Credit Companies
CCB Financial Corp. ..................... 100 $ 7,313
Wells Fargo & Co. ........................ 100 26,950
----------
$ 34,263
----------
Broadcasting -- 0.2%
LIN Television Corp.* .................. 5,300 $ 233,863
----------
Business Services -- 0.9%
ADT Ltd.* .............................. 22,500 $ 742,500
Computer Sciences Corp. ............... 900 64,912
CUC International, Inc. ............... 2,700 69,694
Ikon Office Solutions, Inc. ............ 2,400 59,850
----------
$ 936,956
----------
Cellular Telephones -- 0.1%
Telephone & Data Systems, Inc. ......... 2,600 $ 98,638
----------
Chemicals -- 0.2%
Air Products & Chemicals, Inc. ......... 700 $ 56,875
du Pont (E. I.) de Nemours & Co., Inc. 2,800 176,050
Hercules, Inc. ........................ 800 38,300
----------
$ 271,225
----------
Computer Software -- Personal
Computers -- 0.2%
First Data Corp. ........................ 2,900 $ 127,419
Microsoft Corp.* ........................ 1,100 139,012
----------
$ 266,431
----------
Computer Software -- Systems -- 0.6%
BMC Software, Inc.* ..................... 1,400 $ 77,525
Computer Associates International, Inc. 2,500 139,219
Oracle Systems Corp.* .................. 7,100 357,662
Sybase, Inc.* ........................... 6,100 90,738
----------
$ 665,144
----------
Construction Services
Champion International Corp. ............ 600 $ 33,150
----------
Consumer Goods and Services -- 0.8%
800-JR. Cigar, Inc. ..................... 100 $ 2,075
Colgate-Palmolive Co. .................. 2,600 169,650
Philip Morris Cos., Inc. ............... 6,900 306,187
Tyco International Ltd. ............... 5,600 389,550
UST, Inc. .............................. 1,700 47,175
----------
$ 914,637
----------
Containers -- 0.1%
Corning, Inc. ........................... 1,000 $ 55,625
Stone Container Corp. .................. 6,800 97,325
----------
$ 152,950
----------
Electrical Equipment -- 0.1%
Kulicke & Soffa Industries, Inc.* ...... 2,200 $ 71,431
----------
Electronics -- 0.2%
Analog Devices, Inc.* .................. 2,100 $ 55,781
Atmel Corp.* ........................... 1,800 50,400
Intel Corp. ........................... 600 85,088
----------
$ 191,269
----------
Entertainment -- 0.3%
Clear Channel Communications, Inc.*. 3,400 $ 209,100
Harrah's Entertainment, Inc.* ............ 6,000 109,500
----------
$ 318,600
----------
Financial Institutions -- 0.3%
American Express Co., Inc. ............ 1,300 $ 96,850
Federal Home Loan Mortgage Corp. 2,300 79,062
Union Planters Corp. .................. 2,600 134,875
----------
$ 310,787
----------
Issuer Shares Value
Food and Beverage Products
Archer-Daniels-Midland Co. ............ 1,400 $ 32,900
----------
Insurance -- 0.7%
Aetna Inc. .............................. 200 $ 20,475
Chubb Corp. .............................. 3,100 207,312
Cigna Corp. ............................. 800 142,000
Conseco, Inc.. ........................... 1,600 59,200
Hartford Financial Services
Group, Inc. ............................ 2,100 173,775
Lincoln National Corp. ................... 1,300 83,688
PennCorp Financial Group, Inc. .......... 2,900 111,650
----------
$ 798,100
----------
Machinery -- 0.1%
Stewart & Stevenson Services, Inc. ....... 2,900 $ 75,400
----------
Medical and Health Products -- 0.7%
American Home Products Corp. ............ 1,300 $ 99,450
Boston Scientific Corp.* ............... 1,300 79,869
Bristol-Myers Squibb Co. ............... 4,700 380,700
McKesson Corp. ........................ 800 62,000
Pfizer, Inc. ........................... 900 107,550
Schering-Plough Corp. .................. 1,100 52,662
----------
$ 782,231
----------
Medical and Health Technology
and Services -- 0.4%
AmeriSource Health Corp."A"* ............ 1,600 $ 79,800
Medtronic, Inc. ........................ 700 56,700
St. Jude Medical, Inc.* .................. 5,100 198,900
United Healthcare Corp. ............... 2,500 130,000
----------
$ 465,400
----------
Oils -- 0.3%
Mobil Corp. ........................... 2,600 $ 181,675
Texaco, Inc. ........................... 1,700 184,875
----------
$ 366,550
----------
Railroads -- 0.1%
Burlington Northern Santa Fe
Railway Co. ........................... 900 $ 80,888
Wisconsin Central Transportation Corp.*... 2,300 85,675
----------
$ 166,563
----------
Restaurants and Lodging -- 0.3%
Hilton Hotels Corp. ..................... 5,800 $ 154,062
Host Marriott Corp.* ..................... 2,800 49,875
Promus Hotel Corp.* ..................... 3,500 135,625
----------
$ 339,562
----------
Solid Waste -- 0.1%
Waste Management, Inc. .................. 4,800 $ 154,200
----------
Stores -- 0.8%
CVS Corp. .............................. 6,300 $ 322,875
Rite Aid Corp. ........................ 10,700 533,662
----------
$ 856,537
----------
Supermarkets
Safeway, Inc.* ........................... 732 $ 33,764
----------
Telecommunications -- 0.3%
3Com Corp.* .............................. 700 $ 31,500
Ascend Communications, Inc.* ............ 900 35,437
Bay Networks, Inc.* ..................... 1,800 47,812
Cisco Systems, Inc.* ..................... 1,000 67,125
Lucent Technologies, Inc. ............... 1,200 86,475
WorldCom, Inc.* ........................ 2,800 89,600
----------
$ 357,949
----------
Utilities -- Electric -- 0.1%
CMS Energy Corp. ........................ 2,200 $ 77,550
----------
</TABLE>
12-WAA
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Utilities -- Telephone -- 0.3%
Cellular Communications International 800 $ 26,800
MCI Communications Corp. ............ 5,800 222,031
Sprint Corp. ........................ 2,100 110,513
------------
$ 359,344
------------
Total U.S. Stocks .............................. $ 9,533,394
------------
Foreign Stocks -- 46.7%
Australia -- 1.7%
Q.B.E. Insurance Group Ltd.
(Insurance) ........................ 191,817 $ 1,159,035
Seven Network Ltd. (Entertainment) .... 153,000 665,169
------------
$ 1,824,204
------------
Canada -- 1.5%
Canadian National Railway Co.
(Railroads) ........................ 36,800 $ 1,610,000
------------
Chile -- 0.8%
Chilectra SA, ADR
(Utilities - Electric) ............ 31,000 $ 926,125
------------
Finland -- 1.0%
Huhtamaki Oy Group (Food Company) 11,200 $ 482,452
TT Tieto Oy (Computer
Software - Systems) ............... 7,600 659,150
------------
$ 1,141,602
------------
France -- 2.0%
Televison Francaise (Broadcasting) .... 7,300 $ 652,341
TOTAL SA, "B" (Oils) ............... 5,650 571,251
Union des Assurances Federales
SA (Insurance) ..................... 8,300 976,221
------------
$ 2,199,813
------------
Germany -- 1.7%
adidas AG (Apparel and Textiles) ...... 7,500 $ 829,989
Henkel Kgaa, Preferred (Consumer
Goods and Services) ............... 9,100 516,571
Volkswagen AG (Automotive) ............ 600 459,977
------------
$ 1,806,537
------------
Greece -- 0.4%
Ote Greek Telecom
(Telecommunications) ............... 18,000 $ 422,751
------------
Hong Kong -- 3.3%
Asia Satellite Telecommunications
Holdings (Telecommunications) ...... 17,000 $ 512,125
Asia Satellite Telecommunications
Holdings (Telecommunications) ...... 51,000 156,351
Hong Kong Electric Holdings Ltd.
(Utilities - Electric) ............ 94,000 378,572
Hongkong & Shanghai Hotel
(Restaurants and Lodgings) ......... 190,000 302,891
Li & Fung Ltd. (Wholesale) ............ 324,000 363,857
Liu Chong Hing Bank (Banks and
Credit Cos.) ........................ 272,000 716,252
Peregrine Investment Holdings
(Brokerage) ........................ 169,000 347,948
Wing Hang Bank Ltd. (Banks and
Credit Cos.) ........................ 130,000 785,336
------------
$ 3,563,332
------------
Indonesia -- 0.7%
PT Indonsat, ADR (Telecommunications) 10,500 $ 314,344
PT Indosat (Telecommunications) ...... 56,000 167,585
Semen Gresik (Building Materials) ... 133,000 298,170
------------
$ 780,099
------------
Issuer Shares Value
Ireland -- 0.1%
Elan Corp., PLC, ADR (Health
Products)* ........................ 1,700 $ 76,925
------------
Italy -- 0.9%
Instituto Nazionale delle
Assicurazioni (Insurance) ......... 127,000 $ 193,694
Telecom Italia Mobile S.p.A.
(Telecommunications) ............... 39,000 126,310
Telecom Italia Mobile S.p.A., Saving
Shares (Telecommunications) ......... 354,000 633,706
------------
$ 953,710
------------
Japan -- 9.6%
Bridgestone Corp. (Tire and Rubber) 30,000 $ 696,882
Canon, Inc. (Office Equipment) ...... 45,000 1,226,094
DDI Corp. (Telecommunications) ...... 181 1,337,228
Eisai Co., Ltd. (Pharmaceuticals) ... 26,000 492,708
Fuji Photo Film Co. (Photographic
Products) ........................... 16,000 644,136
Kinki Coca-Cola Bottling Co.
(Beverages) ........................ 15,000 205,659
Kirin Beverage Corp. (Beverages) ...... 34,000 593,835
Nitto Denko Corp.
(Industrial Goods and Services) ... 40,000 778,971
Osaka Sanso Kogyo Ltd. (Chemicals) . 85,000 250,153
Rohm Co. (Electronics) ............... 6,000 618,287
Sony Corp. (Electronics) ............ 13,000 1,134,137
Takeda Chemical Industries
(Pharmaceuticals) .................. 33,000 927,954
TDK Corp. (Electronics) ............... 12,000 881,320
Ushio, Inc. (Electronics) ............ 56,000 694,437
------------
$ 10,481,801
------------
Malaysia -- 0.8%
New Straits Times Press Berhad
(Printing and Publishing) ......... 34,500 $ 202,338
UMW Holdings Berhad (Automobiles) 141,000 664,910
------------
$ 867,248
------------
Netherlands -- 2.6%
Ahrend Groep N.V. (Furniture and
Home Appliances)* .................. 10,532 $ 711,078
Akzo Nobel (Chemicals) ............... 6,700 918,369
IHC Caland N.V.
(Machinery/Industrial) ............ 5,993 327,668
Royal Dutch Petroleum (Oils)* ......... 17,600 923,720
------------
$ 2,880,835
------------
Peru -- 0.4%
Telefonica del Peru SA, ADR
(Telecommunications) ............... 17,000 $ 445,187
------------
Philippines -- 0.1%
Alsons Cement Corp.
(Building Materials)## ............ 943,000 $ 141,361
------------
Portugal -- 1.3%
Banco Espirito Santo e Comercial
de Lisboa SA
(Banks and Credit Cos.) ............ 20,000 $ 453,553
Banco Totta E Acores
(Banks and Credit Cos.)## ......... 36,000 601,910
Telecel - Comunicacaoes Pessoais
SA (Telecommunications) ............ 4,700 390,108
------------
$ 1,445,571
------------
</TABLE>
13-WAA
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Singapore -- 0.9%
Hong Leong Finance Ltd. (Finance), + 60,000 $ 170,445
Mandarin Oriental International, Ltd.
(Restaurants and Lodgings)* ......... 313,690 407,797
Singapore Finance (Finance) ............ 252,000 361,461
------------
$ 939,703
------------
South Korea -- 0.5%
Korea Electric Power Corp.
(Utilities - Electric) ............... 8,200 $ 245,260
Korea Mobile Telecommunications
(Telecommunications) .................. 438 325,326
------------
$ 570,586
------------
Spain -- 1.3%
Acerinox SA (Iron and Steel) ............ 3,500 $ 655,997
Repsol SA (Oils) ..................... 17,500 740,106
------------
$ 1,396,103
------------
Sweden -- 1.9%
Astra AB (Pharmaceuticals) ............ 63,533 $ 1,123,494
Sparbanken Sverige AB,
(Banks and Credit Cos.) ............... 44,000 980,438
------------
$ 2,103,932
------------
Switzerland -- 1.4%
Ciba Specialty Chemicals Holdings,
Inc. (Chemicals)* ..................... 6,059 $ 560,327
Novartis AG (Pharmaceuticals) ......... 620 991,286
------------
$ 1,551,613
------------
United Kingdom -- 11.3%
ASDA Group PLC (Supermarkets) ......... 632,000 $ 1,303,730
British Aerospace PLC (Aerospace
and Defense)* ........................ 64,000 1,422,977
British Petroleum PLC (Oils)* ......... 73,016 907,377
British Petroleum PLC, ADR (Oils) ...... 1,764 132,079
Capital Radio PLC (Broadcasting) ...... 19,800 177,213
Carlton Communications PLC
(Broadcasting) ........................ 80,000 676,752
Corporate Services Group
(Business Services) .................. 54,400 169,235
Danka Business Systems, ADR
(Business Services) .................. 100 4,087
Grand Metropolitan PLC (Food and
Beverage Products),* .................. 133,000 1,278,876
Jarvis Hotels PLC (Restaurants and
Lodging)+ ........................... 163,000 376,922
Kwik-Fit Holdings PLC (Retail) ......... 113,000 505,685
Lloyds TSB Group PLC (Banks and
Credit Cos.)* ........................ 87,051 893,527
PowerGen PLC (Utilities - Electric)* . 240,544 2,857,207
Storehouse PLC (Retail)* ............... 228,442 715,418
Tomkins PLC (Diversified
Operations)* ........................ 211,000 912,651
------------
$ 12,333,736
------------
Venezuela -- 0.5%
Compania Anonima Nacional
Telefonos de Venezuela, ADR
(Telecommunications)* ............... 13,000 $ 560,625
------------
Total Foreign Stocks .............................. $ 51,023,399
------------
Total Stocks (Identified Cost, $52,465,152)......... $ 60,556,793
------------
Preferred Stock -- 0.3%
Issuer Shares Value
Entertainment -- 0.3%
Time-Warner, Inc., "K", 10.25s, # ##
(Identified Cost, $273,698)............ 269 $ 298,859
------------
Bonds -- 8.9%
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- 5.9%
Aerospace -- 0.2%
BE Aerospace, Inc., 9.875s, 2006 ... $ 250 $ 263,125
------------
Building -- 0.7%
American Standard, Inc., 1s, 2005 . $ 250 $ 245,625
Building Materials Corp. of America,
1s, 2004 ........................ 300 272,250
Nortek, Inc., 9.875s, 2004 ......... 200 205,000
Nortek, Inc., 9.25s, 2007 ............ 60 60,900
------------
$ 783,775
------------
Chemicals -- 0.3%
NL Industries, Inc., 11.75s, 2003 ... $ 250 $ 271,250
------------
Consumer Goods and Services -- 1.6%
E & S Holdings Corp., 10.375s,
2006 .............................. $ 200 $ 208,000
FoodBrands America, Inc., 10.75s,
2006 .............................. 400 468,928
Panamsat LP/Capital Corp., 1s,
2003 .............................. 250 243,535
Revlon, Inc., 10.5s, 2003 ............ 200 213,000
Sealy Corp., 10.25s, 2003 ............ 350 367,500
Westpoint Stevens, Inc., 9.375s,
2005 .............................. 250 261,250
------------
$ 1,762,213
------------
Entertainment -- 0.3%
AMC Entertainment, Inc., 9.5s,
2009## ........................... $ 50 $ 52,000
Cinemark USA, Inc., 9.625s, 2008 ... 250 257,500
------------
$ 309,500
------------
Industrial -- 0.2%
AGCO Corp., 8.5s, 2006 ............ $ 250 $ 255,625
------------
Medical and Health Technology and
Services -- 0.2%
Tenet Healthcare Corp., 10.125s,
2005 .............................. $ 140 $ 152,950
Tenet Healthcare Corp., 8.625s,
2007 .............................. 60 61,200
------------
$ 214,150
------------
Metals and Minerals -- 0.5%
Kaiser Aluminum & Chemical Corp.,
9.875s, 2002 ..................... $ 500 $ 512,500
------------
Oil Services -- 0.1%
Falcon Drilling, Inc., 8.875s, 2003 $ 150 $ 151,875
------------
Retail -- 0.3%
Jitney Jungle Stores of America,
Inc., 12s, 2006 .................. $ 250 $ 277,500
------------
Special Products and Services -- 0.8%
Howmet Corp., 10s, 2003 ............ $ 250 $ 270,000
IMO Industries, Inc., 11.75s, 2006 ... 250 298,750
Thermadyne Industries Holdings
Corp., 10.75s, 2003 ............... 300 314,250
------------
$ 883,000
------------
Steel -- 0.5%
Alaska Steel Corp., 9.125s, 2006 ... $ 250 $ 255,000
WCI Steel, Inc., 10s, 2004 ......... 250 259,375
------------
$ 514,375
------------
</TABLE>
14-WAA
<PAGE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Supermarkets -- 0.2%
Ralph's Grocery Co., 10.45s, 2004 .... $ 200 $ 214,000
------------
Total U.S. Bonds ....................................... $ 6,412,888
------------
Foreign Bonds -- 3.0%
Canada -- 0.5%
Gulf Canada Resources Ltd., 9.25s,
2004 .............................. $ 250 $ 261,875
Rogers Cantel, Inc., 9.375s, 2008 ... 250 263,750
------------
$ 525,625
------------
Dutch Antilles -- 0.4%
Voto Votorantim Overseas, 8.5s,
2005## ........................... $ 500 $ 497,500
------------
Greece -- 0.2%
Hellenic Republic, 11.1s, 2003 ...... GRD 30,000 $ 112,515
Hellenic Republic, 12.6s, 2003 ...... 32,000 120,133
Hellenic Republic, 13.4s, 2003 ...... 10,000 37,541
------------
$ 270,189
------------
Indonesia -- 1.7%
APP International Finance Co.,
10.25s, 2000 ..................... $ 500 $ 517,500
APP International Finance Co.,
11.75s, 2005 ..................... 500 551,250
Indah Kiat InH Finance Co., BV,
11.875s, 2002## .................. 250 275,625
PT Indah Kiat Pulp & Paper, 8.875s,
2000 .............................. 500 499,915
------------
$ 1,844,290
------------
Mexico -- 0.2%
United Mexican States, 7.875s,
2001## ........................... $ 250 $ 250,375
------------
Panama
Republic of Panama, 4s, 2016 ...... $ 21 $ 18,368
------------
Total Foreign Bonds .................................... $ 3,406,347
------------
Total Bonds (Identified Cost, $9,636,473) ............... $ 9,819,235
------------
Convertible Bonds -- 0.2%
Automotive -- 0.2%
Exide Corp., 2.9s, 2005##
(Identified Cost, $242,000)......... $ 400 $ 249,000
------------
Rights
Shares
Ote Greek Telecom
(Identified Cost, $0)* ............ GRD 13,200 $ 0
------------
Warrants
Finance
Peregrine Investment Holdings
(Identified Cost, $1,215)* ......... 9,800 $ 4,301
------------
</TABLE>
Short-Term Obligations -- 34.6%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Federal Home Loan Mortgage
Corp., due 7/07/97 .................. 5,585 $ 5,579,955
Federal Home Loan Mortgage
Corp., due 7/09/97 - 7/18/97 ......... 13,975 13,949,962
Federal National Mortgage Assn.,
due 7/01/97 - 7/18/97 ............... 14,580 14,555,852
General Electric Co., due 7/01/97 ...... 3,700 3,700,000
------------
Total Short-Term Obligations,
at Amortized Cost .............................. $ 37,785,769
------------
Call Options Purchased
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
of Contracts
Issuer/Expiration Month/Price (000 Omitted)
<S> <C> <C> <C>
Swiss Francs/August/1.35 ......... CHF 15,042 $ 6,137
Canadian Dollar/August/1.35 ...... CAD 8,912 9,046
Norwegian Krona/October/4.05 ...... NOK 32,464 10,291
------------
Total Call Options Purchased
(Premiums Paid, $284,846) ........................ $ 25,474
------------
Total Investments (Identified Cost, $100,689,153) $108,739,431
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C> <C>
Call Options Written
Swiss Francs/Deutsche Marks
March/.847 (Premiums Received,
$109,845)..................... CHF 15,752 $ (309,963)
-------------
Put Options Written
Japanese Yen
August/128.5 .................. JPY 611,583 $ (9)
Norwegian Krona/Deutsche Marks
October/4.25 .................. NOK 34,067 (39,281)
-------------
Total Put Options Written
(Premiums Received, $79,723) .................. $ (39,290)
-------------
Other Assets,
Less Liabilities -- 0.9% 930,037
-------------
Net Assets -- 100.0% ........................... $109,320,215
=============
</TABLE>
See portfolio footnotes and notes to financial statements
15-WAA
<PAGE>
Portfolio of Investments -- June 30, 1997
World Governments Series
Bonds -- 80.1%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C> <C>
U.S. Bonds -- 36.8%
U.S. Federal Agencies -- 22.1%
Federal Home Loan Mortgage
Corp., 7.5s, 2011 ..................... $ 27,059 $ 27,464,938
-------------
U.S. Treasury Obligations -- 14.7%
U.S. Treasury Notes, 6.625s, 2002 ......... $ 18,200 $ 18,367,804
-------------
Total U.S. Bonds ............................................. $ 45,832,742
-------------
Foreign Bonds -- 43.3%
Australia -- 6.9%
Commonwealth of Australia, 10s,
2002 .................................... AUD 4,110 $ 3,582,343
New South Wales Treasury Corp.,
8s, 2001 .............................. 6,185 4,956,495
-------------
$ 8,538,838
-------------
Denmark -- 3.9%
Kingdom of Denmark, 6s, 1999 ............ DKK 12,116 $ 1,901,122
Kingdom of Denmark, 8s, 2001 ............ 6,778 1,144,914
Nykredit, 8s, 2026 ........................ 11,856 1,863,361
-------------
$ 4,909,397
-------------
Greece -- 3.6%
Hellenic Republic, 12.6s, 2003 ............ GRD 1,195,000 $ 4,486,200
-------------
Italy -- 7.3%
Republic of Italy, 9.5s, 1999 - 2006 ...... ITL 14,075,000 $ 9,028,275
-----------
Japan -- 7.0%
International Bank of Reconstruction
and Development, 4.5s, 2003 ............ JPY 872,000 $ 8,646,896
-----------
New Zealand -- 4.9%
Government of New Zealand, 8s,
2001 .................................... NZD 8,620 $ 6,100,545
------------
Spain -- 7.9%
Government of Spain, 6.75s, 2000 ......... ESP 271,590 $ 1,919,069
Government of Spain, 8.4s, 2001 ......... 256,770 1,925,383
Government of Spain, 10.5s, 2003 ......... 239,810 2,017,816
Government of Spain, 7.35s, 2007 ......... 554,220 4,021,866
-----------
$ 9,884,134
-----------
Sweden -- 1.8%
Kingdom of Sweden, 11s, 1999 ............ SEK 16,000 $ 2,262,677
-----------
Total Foreign Bonds ....................................... $ 53,856,962
-----------
Total Bonds (Identified Cost, $100,228,045) .................. $ 99,689,704
-----------
Short-Term Obligations -- 14.9%
Federal Home Loan Bank, due
7/07/97 .............................. $ 4,000 $ 3,996,400
Federal National Mortgage Assn.,
due 7/01/97 - 7/08/97 .................. 14,500 14,494,182
------------
Total Short-Term Obligations, at Amortized Cost ............ $ 18,490,582
------------
Call Option Purchased
Principal Amount
of Contracts
Issuer/Expiration Month/Price (000 Omitted)
Deutsche Marks / British Pounds/
July/2.7 (Premium Paid, $69,969) DEM 11,363 $ 0
------------
Total Investments (Identified Cost, $118,788,596) ............ $118,180,286
------------
Other Assets, Less Liabilities -- 5.0% 6,268,284
------------
Net Assets -- 100.0% .......................................... $124,448,570
============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- June 30, 1997
World Total Return Series
Stocks -- 56.8%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- 35.7%
Australia -- 2.2%
Australia & New Zealand Banking
Group (Banks and Credit Cos.)* ...... 16,600 $ 124,126
Fosters Brewing Group (Beverages) 171,000 317,725
Q.B.E. Insurance Group Ltd.
(Insurance) ........................ 103,000 622,367
Seven Network Ltd. (Entertainment) .... 42,700 185,639
----------
$1,249,857
----------
Brazil -- 0.5%
Unibanco Uniao De Barncos
(Banks and Credit Cos.)* ............ 8,200 $ 304,425
----------
Canada -- 1.3%
Canadian National Railway Co.
(Railroads) ........................ 10,100 $ 441,875
Westcoast Energy, Inc.
(Utilities - Gas) .................. 15,850 288,272
----------
$ 730,147
----------
Chile -- 0.2%
Enersis SA, ADR
(Utilities - Electric) ............ 2,900 $ 103,131
----------
Finland -- 0.4%
Huhtamaki Oy Group
(Conglomerate) ..................... 3,700 $ 159,381
Oy Tamro AB (Pharmaceuticals)## ...... 8,900 61,752
----------
$ 221,133
----------
France -- 3.6%
Chargeurs (Consumer Goods and
Services) ........................ 3,000 $ 172,902
Pin Printemps Redo (Real Estate
Investment Trusts) ............... 860 413,385
Societe Nationale Elf Aquitaine
(Oils) .............................. 4,700 507,200
TOTAL SA, ADR (Oils) .................. 7,345 371,841
TV Francaise (Entertainment) ......... 3,660 327,064
Union des Assurances Federales
SA (Insurance) ..................... 2,600 305,804
----------
$2,098,196
----------
Germany -- 1.3%
Adidas AG (Apparel and Textiles) ...... 3,100 $ 343,062
Henkel Kgaa, Preferred (Consumer
Goods and Services) ............... 7,200 408,716
----------
$ 751,778
----------
Greece -- 0.3%
Hellenic Telecommunication
Organization SA
(Telecommunications)* ............... 7,800 $ 183,192
----------
Hong Kong -- 0.9%
Asia Satellite Telecommunications
Corp. (Telecommunications) ......... 1,900 $ 57,237
Hong Kong Electric Holdings Ltd.
(Utilities - Electric) ............ 46,000 185,259
Wharf Holdings Ltd. (Real Estate) ... 51,000 221,195
Wing Hang Bank Ltd. (Banks and
Credit Cos.) ........................ 13,000 78,534
----------
$ 542,225
----------
Italy -- 1.2%
Eni S.p.A. (Oils) ..................... 3,000 $ 170,625
Gucci Group Designs N.V.
(Apparel and Textiles) ............ 2,000 128,750
Instituto Nazionale delle
Assicurazioni (Insurance) ......... 59,400 90,594
</TABLE>
16-WGS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Italy -- continued
Telecom Italia S.p.A., Saving Shares
(Telecommunications) ............... 56,600 $ 101,321
Telecom Italia S.p.A.
(Telecommunications) ............... 97,000 192,206
-----------
$ 683,496
-----------
Japan -- 6.1%
Canon, Inc. (Consumer Goods) ......... 21,000 $ 572,177
DDI Corp. (Telecommunications) ...... 20 147,760
Eisai Co., Ltd. (Pharmaceuticals) ... 9,000 170,553
Fuji Photo Film Co. (Photographic
Products) ........................... 3,000 120,775
Hirose Electric Co. (Electronics) ... 3,300 226,513
Kirin Beverage Corp. (Beverages) ...... 25,000 436,643
Osaka Sanso Kogyo Ltd.
(Chemicals) ........................ 20,000 58,859
Rohm Co. (Electronics) ............... 2,000 206,096
Sony Corp. (Electronics) ............ 8,300 724,103
Takeda Chemical Industries
(Pharmaceuticals) .................. 14,000 393,677
Terumo Corp. (Computers) ............ 9,000 172,125
Toyota Motor Corp. (Automotive) ...... 7,000 206,620
Ushio, Inc. (Electronics) ............ 10,000 124,007
-----------
$ 3,559,908
-----------
Netherlands -- 2.3%
Akzo Nobel (Chemicals) ............... 2,575 $ 352,955
IHC Caland N.V.
(Transportation)* .................. 5,079 277,695
Wolters Kluwer (Publishing)* ......... 1,113 135,545
Koninklijke Ahold N.V., ADR
(Stores) ........................... 3,398 289,043
Royal Dutch Petroleum Co. (Oils) ... 5,000 271,875
-----------
$ 1,327,113
-----------
Peru -- 0.4%
Telefonica del Peru SA, ADR
(Utilities - Telephone) ............ 8,300 $ 217,356
-----------
Poland -- 0.1%
Bank Handlowy Warsza
(Banks and Credit Cos.)*+ ......... 3,000 $ 34,559
-----------
Portugal -- 0.3%
Telecel - Comunicacaoes Pessoais
SA (Cellular Telephones)* ......... 2,500 $ 207,504
-----------
Singapore -- 0.5%
Mandarin Oriental International, Ltd.
(Restaurants and Lodgings)* ......... 26,000 $ 33,800
Singapore Press Holdings Ltd.
(Publishing) ........................ 12,000 241,814
-----------
$ 275,614
-----------
South Korea -- 0.2%
Korea Electric Power Corp., ADR
(Utilities - Electric) ............ 5,890 $ 110,069
-----------
Spain -- 1.9%
Acerinox SA (Iron and Steel) ......... 1,300 $ 243,656
Repsol SA (Oils) ..................... 8,150 344,678
Iberdrola SA (Utilities - Electric) ... 39,100 493,694
-----------
$ 1,082,028
-----------
Sweden -- 1.8%
Astra AB (Pharmaceuticals) ......... 28,426 $ 502,675
Ericsson (L.M.) Telephone Co.
(Telecommunications) ............... 6,900 271,688
Hennes & Mauritz (Consumer
Goods and Services) ............... 2,525 88,975
Issuer Shares Value
Sweden -- continued
Skandia Foersaekrings AB,
(Insurance) ........................ 4,800 $ 177,225
-----------
$ 1,040,563
-----------
Switzerland -- 1.3%
Ciba Specialty Chemicals Holdings,
Inc. (Chemicals)* .................. 2,715 $ 251,079
Novartis AG (Pharmaceuticals) ......... 315 503,637
-----------
$ 754,716
-----------
United Kingdom -- 8.9%
ASDA Group PLC (Retail) ............... 212,200 $ 437,740
Avis Europe PLC (Auto Rental)*## ...... 85,000 192,312
Booker PLC (Food - Wholesale) ...... 23,900 109,738
British Aerospace PLC (Aerospace
and Defense)* ..................... 23,100 513,606
British Petroleum PLC, ADR (Oils) ... 8,526 638,384
Carlton Communications PLC
(Broadcasting) ..................... 19,900 168,342
Compass Group PLC
(Food - Catering)## ............... 36,500 408,048
Grand Metropolitan PLC (Food and
Beverage Products)* ............... 35,000 336,546
Kwik-Fit Holdings PLC (Retail) ...... 59,900 268,058
Lloyds TSB Group PLC (Banks and
Credit Cos.)* ..................... 42,203 433,189
PowerGen PLC
(Utilities - Electric)* ............ 45,000 534,515
Reuters Holdings, PLC, ADR
(Printing and Publishing) ......... 3,150 198,450
Storehouse PLC (Retail)* ............ 93,485 292,769
Tomkins PLC (Diversified Operations)* 140,206 606,441
-----------
$ 5,138,138
-----------
Total Foreign Stocks ............... $20,615,148
-----------
U.S. Stocks -- 21.1%
Aerospace -- 0.6%
General Dynamics Corp. ............... 2,100 $ 157,500
Lockheed-Martin Corp. ............... 1,713 177,403
-----------
$ 334,903
-----------
Banks and Credit Companies -- 1.5%
Barnett Banks, Inc. .................. 9,480 $ 497,700
Norwest Corp. ........................ 5,900 331,875
-----------
$ 829,575
-----------
Business Machines -- 0.8%
Digital Equipment Corp.* ............ 3,000 $ 106,313
International Business Machines
Corp. .............................. 4,050 365,259
-----------
$ 471,572
-----------
Chemicals -- 0.4%
Air Products & Chemicals, Inc. ...... 2,200 $ 178,750
Praxair, Inc. ........................ 1,300 72,800
-----------
$ 251,550
-----------
Construction Services -- 0.2%
Martin Marietta Materials, Inc. ...... 4,254 $ 137,723
-----------
Consumer Goods and Services -- 2.5%
Philip Morris Cos., Inc. ............ 16,670 $ 739,731
Tyco International Ltd. ............... 10,500 730,406
-----------
$ 1,470,137
-----------
Electrical Equipment -- 1.0%
General Electric Co. ............... 8,500 $ 555,688
-----------
</TABLE>
17-WTS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Financial Institutions -- 1.7%
American Express Co., Inc. ...... 9,500 $ 707,750
Federal Home Loan Mortgage Corp. 8,300 285,313
-----------
$ 993,063
-----------
Food and Beverage Products -- 0.3%
McCormick & Co., Inc. ............ 6,600 $ 166,650
-----------
Insurance -- 2.2%
Allstate Corp. .................. 6,600 $ 481,800
Cigna Corp. ..................... 3,300 585,750
Reliastar Financial Corp. ...... 2,900 212,062
-----------
$ 1,279,612
-----------
Machinery -- 0.8%
Deere & Co., Inc. ............... 8,500 $ 466,438
-----------
Medical and Health Products -- 3.0%
Bristol-Myers Squibb Co. ......... 4,900 $ 396,900
Lilly (Eli) & Co. ............... 2,496 272,844
Rhone-Poulenc Rorer, Inc. ...... 5,200 472,550
Schering-Plough Corp. ............ 7,200 344,700
Warner-Lambert Co. ............... 2,080 258,440
-----------
$ 1,745,434
-----------
Oils -- 1.9%
Exxon Corp. ..................... 5,500 $ 338,250
Mobil Corp. ..................... 4,700 328,412
USX-Marathon Group ............... 14,600 421,575
-----------
$ 1,088,237
-----------
Photographic Products -- 0.5%
Eastman Kodak Co. ............... 3,580 $ 274,765
-----------
Printing and Publishing -- 0.6%
Gannett Co., Inc. ............... 3,300 $ 325,875
-----------
Utilities -- Electric -- 0.5%
Portland General Corp. ......... 7,100 $ 281,781
-----------
Utilities -- Gas -- 1.4%
Coastal Corp. .................. 8,300 $ 441,456
Sierra Pacific Resources ......... 12,000 384,000
-----------
$ 825,456
-----------
Utilities -- Telephone -- 1.2%
Sprint Corp. ..................... 12,700 $ 668,338
-----------
Total U.S. Stocks ........................... $12,166,797
------------
Total Stocks (Identified Cost, $26,672,209) $32,781,945
------------
Bonds -- 20.8%
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C> <C>
Foreign Bonds -- 15.6%
Australia -- 2.0%
Commonwealth of Australia, 9.75s,
2002 .............................. AUD 855 $ 732,962
Commonwealth of Australia, 10s,
2002 .............................. 410 357,363
New South Wales Treasury Corp.,
8s, 2001 ........................... 75 60,103
-----------
1,150,428
-----------
Canada -- 1.2%
Government of Canada, 5.5s, 2002 .CAD 930 664,305
-----------
Denmark -- 0.7%
Kingdom of Denmark, 8s, 2001 ......... DKK 213 35,979
Kingdom of Denmark, 7s, 2007 ......... 1,089 172,171
Nykredit, 8s, 2026 .................. 1,049 164,867
-----------
373,017
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C> <C>
Greece -- 0.9%
Hellenic Republic, 11.1s, 2003 ......... GRD 50,000 $ 187,525
Hellenic Republic, 12.6s, 2003 ......... 79,000 296,577
Hellenic Republic, 13.4s, 2003 ......... 10,000 37,542
-----------
$ 521,644
-----------
Italy -- 3.5%
Republic of Italy, 9.5s, 1999 - 2006 .... ITL 3,200,000 $ 2,046,699
-----------
New Zealand -- 1.8%
Government of New Zealand, 8s,
2001 ................................. NZD 1,490 $ 1,054,503
-----------
Spain -- 2.4%
Government of Spain, 6.75s, 2000 ...... ESP 65,880 $ 465,511
Government of Spain, 8.4s, 2001 ......... 27,740 208,008
Government of Spain, 10.5s, 2003 ...... 25,910 218,013
Government of Spain, 7.35s, 2007 ...... 71,070 515,741
-----------
$ 1,407,273
-----------
Sweden -- 2.6%
Kingdom of Sweden, 10.25s, 2000 ......... SEK 1,800 $ 263,855
Kingdom of Sweden, 13s, 2001 ............ 3,700 604,060
Kingdom of Sweden, 5.5s, 2002 ......... 4,700 602,494
-----------
$ 1,470,409
-----------
United Kingdom -- 0.5%
United Kingdom Treasury, 7s, 2001 ....... GBP 180 $ 298,231
-----------
Total Foreign Bonds .................................... $ 8,986,509
-----------
U.S. Bonds -- 5.2%
U.S. Federal Agencies -- 3.0%
Federal National Mortgage Assn.,
7s, 2012 ........................... $ 1,485 $ 1,481,748
Federal National Mortgage Assn.,
8s, 2027 .............................. 231 235,894
-----------
Total U.S. Federal Agencies .............................. $ 1,717,642
-----------
U.S. Treasury Obligations -- 2.2%
U. S. Treasury Stripped Principal
Payments, 0s, 2015 .................. $ 1,850 $ 554,464
U.S. Treasury Notes, 5.875s, 1998 ...... 750 749,182
-----------
Total U.S. Treasury Obligations ........................ $ 1,303,646
-----------
Total U.S. Bonds ....................................... $ 3,021,288
-----------
Total Bonds (Identified Cost, $12,041,292) ............... $12,007,797
-----------
Warrants
Ote Greek Telecom,
(Identified Cost, $0)* ............... GRD 7,800 $ 0
-----------
Short-Term Obligations -- 22.1%
Federal Home Loan Bank, due
7/01/97 .............................. $ 3,500 $ 3,500,000
Federal Home Loan Mortgage
Corp., due 7/03/97 - 7/21/97 ......... 7,125 7,110,512
Federal National Mortgage Assn.,
due 7/18/97 ........................... 2,155 2,149,474
-----------
Total Short-Term Obligations,
at Amortized Cost .................................... $12,759,986
-----------
Call Options Purchased
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount
of Contracts
Issuer/Expiration Month/Price (000 Omitted)
<S> <C> <C> <C>
Deutsche Marks / British Pounds/
July/2.7 ..................... DEM 1,543 $ 0
Japanese Government Bonds/
July/116.201 .................. JPY 236,000 412
Japanese Government Bonds/
July/114.635 .................. JPY 68,000 203
</TABLE>
18-WTS
<PAGE>
Call Options Purchased -- continued
<TABLE>
<CAPTION>
Principal
Amount
of Contracts
Issuer/Expiration Month/Price (000 Omitted)
<S> <C> <C> <C>
Japanese Government Bonds/
September/115.498 ............ JPY 40,000 $ 1,886
Swiss Francs/August/1.35 ...... CHF 3,166 1,292
------------
Total Call Options Purchased
(Premiums Paid, $43,092) .................. $ 3,793
------------
Total Investments (Identified Cost, $ 57,553,522
$51,516,579)............................... ------------
Put Options Written
British Pounds
August/1.65 .................. GBP 1,110 $ (14,769)
Japanese Yen
July/114.635 .................. JPY 68,000 (6,639)
September/115.498 ............ JPY 40,000 (2,969)
------------
Total Put Options Written
(Premiums Received, $16,276)............... $ (24,377)
------------
Other Assets, Less Liabilities -- 0.3% 190,527
------------
Net Assets -- 100.0% ........................ $ 57,719,671
============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- June 30, 1997
Zero Coupon Series, Portfolio 2000
U.S. Government Guaranteed -- 99.9%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Treasury Investment Growth Receipts -- 4.3%
Series 18, due 2/15/01 ............ $ 97 $ 77,266
Series 12, due 5/15/01 ............ 22 17,240
Series 15, due 8/15/01 ............ 88 67,834
----------
Total Treasury Investment Growth Receipts
(Identified Cost, $146,005) ........................ $ 162,340
----------
U.S. Treasury Securities Stripped Interest Payments -- 95.6%
Generic Coupons, due 5/15/00 ...... $ 742 $ 622,382
Generic Coupons, due 8/15/00 ...... 115 94,827
Generic Coupons, due 11/15/00 ... 3,421 2,776,210
Generic Coupons, due 5/15/01 ...... 96 75,417
----------
Total U.S. Treasury Securities Stripped Interest
Payments (Identified Cost, $3,494,978) ............ $3,568,836
-----------
Total Investments (Identified Cost, $3,640,983) ...... $3,731,176
-----------
Other Assets,
Less Liabilities -- 0.1% 3,022
-----------
Net Assets -- 100.0% ................................. $3,734,198
===========
</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.
[dbldag]Security valued by or at the direction of the Trustees.
Abbreviations have been used throughout this report to indicate amounts shown
in currencies other than the U.S. Dollar. A list of abbreviations is shown
below.
AUD = Australian Dollars
CAD = Canadian Dollars
CHF = Swiss Francs
DEM = Deutsche Marks
DKK = Danish Kroner
ESP = Spanish Pesetas
FRF = French Francs
GBP = British Pounds
GRD = Greek Drachma
ITL = Italian Lire
JPY = Japanese Yen
NLG = Dutch Guilders
NOK = Norwegian Krona
NZD = New Zealand Dollars
SEK = Swedish Kronor
19-ZC
<PAGE>
MFS/Sun Life Series Trust
Statements of Assets and Liabilities -- June 30, 1997
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
International Government
Growth and Securities High Yield Money Market
Assets: Income Series Series Series Series
Investments -- ----------- ------------- ------------ ------------
<S> <C> <C> <C> <C>
Unaffiliated issuers, at cost ........................ $41,371,189 $366,937,429 $220,790,997 $389,887,613
Unrealized appreciation .............................. 3,953,546 1,841,398 6,808,149 --
----------- ------------ ------------ ------------
Total investments, at value ........................ $45,324,735 $368,778,827 $227,599,146 $389,887,613
Cash ................................................. 12,339 316 9,524 271,226
Net receivable for forward foreign currency exchange
contracts to purchase ................................ 21,499 -- -- --
Net receivable for forward foreign currency exchange
contracts to sell .................................... 336,674 -- -- --
Net receivable for foreign currency exchange contracts
closed or subject to master netting agreements ....... 101,354 -- -- --
Receivable for investments to sell .................... 391,445 5,237,966 2,217,389 --
Receivable for daily variation margin on open futures
contracts ............................................ -- 115,308 -- --
Receivable for Trust shares sold ...................... 80,587 281,576 813,303 29,582,276
Interest and dividends receivable ..................... 247,490 3,870,748 4,334,931 --
Other assets .......................................... 66,217 3,369 1,732 4,590
----------- ------------ ------------ ------------
Total assets ....................................... $46,582,340 $378,288,110 $234,976,025 $419,745,705
=========== ============ ============ ============
Liabilities:
Foreign currency overdraft ............................ $ 79,513 $ -- $ -- $ --
Payable for investments purchased ..................... 1,811,308 8,768,484 4,272,369 --
Payable for Trust shares reacquired ................... 5,197 386,198 288,706 302,214
Written options outstanding, at value (premiums
received, $9,392) .................................... 13,388 -- -- --
Payable to affiliates --
Management fee ....................................... 3,558 16,619 14,095 15,980
Administrative fee ................................... 55 453 282 479
Accrued expenses and other liabilities ................ 43,641 73,954 51,263 72,365
----------- ------------ ----------- ------------
Total liabilities .................................. $ 1,956,660 $ 9,245,708 $ 4,626,715 $ 391,038
----------- ------------ ----------- ------------
Net assets ........................................ $44,625,680 $369,042,402 $230,349,310 $419,354,667
=========== ============ ============ ============
Net assets consist of:
Paid-in capital ...................................... $41,542,198 $367,436,002 $221,385,005 $419,354,667
Unrealized appreciation on investments and translation
of assets and liabilities in foreign currencies ..... 4,409,999 1,730,625 6,808,149 --
Accumulated undistributed net realized loss on
investments and foreign currency transactions ........ (1,796,100) (12,479,367) (7,143,064) --
Accumulated undistributed net investment income ....... 469,583 12,355,142 9,299,220 --
----------- -------------- ------------- ------------
Net assets ........................................ $44,625,680 $369,042,402 $230,349,310 $419,354,667
=========== ============= ============= ============
Shares of beneficial interest outstanding ............. 4,014,339 29,991,664 25,306,773 419,354,667
=========== ============= ============= ============
Net asset value, offering price and redemption
price per share (net assets [divided by] shares of
beneficial interest outstanding) .................... $11.12 $12.30 $9.10 $1.00
====== ====== ===== =====
</TABLE>
See notes to financial statements
20
<PAGE>
MFS/Sun Life Series Trust
Statement of Assets and Liabilities -- June 30, 1997 -- continued
<TABLE>
<CAPTION>
Zero
World World Coupon
Asset World Total Series,
Allocation Governments Return Portfolio
Assets: Series Series Series 2000
Investments -- ------------ ------------- ----------- ----------
<S> <C> <C> <C> <C>
Unaffiliated issuers, at cost ..................... $100,689,153 $118,788,596 $51,516,579 $3,640,983
Unrealized appreciation (depreciation) ............ 8,050,278 (608,310) 6,036,942 90,193
------------- ------------ ----------- ----------
Total investments, at value ..................... $108,739,431 $118,180,286 $57,553,521 $3,731,176
Cash ............................................... 108,784 14,458 66,539 1,259
Net receivable for forward foreign currency exchange
contracts to sell ................................. 136,066 825,078 107,149 --
Receivable for investments sold .................... 3,078,162 5,125,093 4,562 --
Receivable for Trust shares sold ................... 181,799 121,711 342,473 --
Interest and dividends receivable .................. 429,435 1,991,854 380,166 --
Receivable from investment adviser ................. -- -- -- 8,597
Other assets ....................................... 31,584 1,249 27,160 38
------------ ------------ ----------- ----------
Total assets .................................... $112,705,261 $126,259,729 $58,481,570 $3,741,070
============ ============ =========== ==========
Liabilities:
Payable for investments purchased .................. $ 1,604,722 $ -- $ 555,132 $ --
Payable for Trust shares reacquired ................ 204 136,272 29 1,154
Written options outstanding, at value (premiums
received, $189,568 and $16,276, respectively)...... 349,253 -- 24,377 --
Net payable for forward foreign currency exchange
contracts to purchase ............................. 68,872 927,682 1,728 --
Net payable for foreign currency exchange contracts
closed or subject to master netting agreements .... 1,279,207 670,473 114,233 --
Payable to affiliates --
Management fee .................................... 6,684 7,640 3,515 76
Administrative fee ................................ 134 153 70 5
Accrued expenses and other liabilities ............. 75,970 68,939 62,815 5,637
----------- ------------- ----------- ----------
Total liabilities ............................... $ 3,385,046 $ 1,811,159 $ 761,899 $ 6,872
----------- ------------- ----------- ----------
Net assets ..................................... $109,320,215 $124,448,570 $57,719,671 $3,734,198
============ ============ =========== ==========
Net assets consist of:
Paid-in capital .................................... $ 97,187,672 $125,720,602 $50,536,895 $3,592,595
Unrealized appreciation (depreciation) on investments
and translation of assets and liabilities in foreign
currencies ........................................ 6,678,183 (1,409,557) 6,014,130 90,193
Accumulated undistributed net realized gain (loss) on
investments and foreign currency transactions ..... 3,862,145 (4,159,942) 339,952 (56,105)
Accumulated undistributed net investment income .... 1,592,215 4,297,467 828,694 107,515
------------ ------------ ----------- -----------
Net assets ..................................... $109,320,215 $124,448,570 $57,719,671 $3,734,198
============ ============ =========== ===========
Shares of beneficial interest outstanding .......... 7,646,523 11,716,113 4,134,823 438,353
============ ============ =========== ===========
Net asset value, offering price and redemption
price per share (net assets [divided by] shares of
beneficial interest outstanding) .................. $14.30 $10.62 $13.96 $8.52
====== ====== ====== =====
</TABLE>
See notes to financial statements
21
<PAGE>
MFS/Sun Life Series Trust
Statements of Operations -- Six Months Ended June 30, 1997
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
International
Growth and Government High Money
Income Securities Yield Market
Net investment income: Series Series Series Series
Income -- ----------- ------------- ------------ ------------
<S> <C> <C> <C> <C>
Interest ............................................. $ 304,437 $ 13,521,514 $ 10,058,174 $ 10,872,900
Dividends ............................................ 504,531 -- 171,502 --
Foreign taxes withheld ............................... (62,605) -- -- --
----------- ------------ ------------ ------------
Total investment income ............................. $ 746,363 $ 13,521,514 $ 10,229,676 $ 10,872,900
----------- ------------ ------------ ------------
Expenses --
Investment advisory fee .............................. $ 187,724 $ 1,024,077 $ 774,980 $ 993,706
Trustees' fee ........................................ 398 398 398 398
Administrative fee ................................... 2,032 18,798 10,602 20,479
Custodian fee ........................................ 33,238 82,133 43,936 85,666
Printing expense ..................................... 2,836 16,001 11,231 19,918
Auditing fee ......................................... 16,917 20,629 21,247 13,404
Legal fee ............................................ 490 588 387 --
Miscellaneous ........................................ 3,163 11,678 1,356 8,879
----------- ------------- ------------ ------------
Total expenses ...................................... $ 246,798 $ 1,174,302 $ 864,137 $ 1,142,450
Fees paid indirectly ................................. (2,305) (4,722) (7,794) (16,414)
----------- ------------- ------------ ------------
Net expenses ........................................ $ 244,493 $ 1,169,580 $ 856,343 $ 1,126,036
----------- ------------- ------------ ------------
Net investment income ........................... $ 501,870 $ 12,351,934 $ 9,373,333 $ 9,746,864
----------- ------------- ------------ ------------
Realized and unrealized gain (loss) on investments and
foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions .............................. $(1,730,518) $ (2,585,692) $ 1,792,840 $ --
Written option transactions ........................ (10,469) -- -- --
Foreign currency transactions ..................... (54,924) -- -- --
Futures contracts ................................. -- (149,758) -- --
----------- ------------ ------------ ------------
Net realized gain (loss) on investments and
foreign currency transactions .................... $(1,795,911) $ (2,735,450) $ 1,792,840 $ --
----------- ------------ ------------ ------------
Change in unrealized appreciation (depreciation) on --
Investments .......................................... $ 3,333,750 $ 139,498 $ 1,688,449 $ --
Written options .................................... 30,190 -- -- --
Futures contracts ................................. -- (110,773) -- --
Translation of assets and liabilities in foreign
currencies ........................................ 468,103 -- -- --
----------- ------------ ------------ ------------
Net unrealized gain on investments and foreign
currency translation .............................. $ 3,832,043 $ 28,725 $ 1,688,449 $ --
----------- ------------ ------------ ------------
Net realized and unrealized gain (loss) on
investments and foreign currency ................. $ 2,036,132 $ (2,706,725) $ 3,481,289 $ --
----------- ------------ ------------ ------------
Increase in net assets from operations ............ $ 2,538,002 $ 9,645,209 $ 12,854,622 $ 9,746,864
============ ============ ============ ============
</TABLE>
See notes to financial statements
22
<PAGE>
MFS/Sun Life Series Trust
Statement of Operations -- Six Months Ended June 30, 1997 -- continued
<TABLE>
<CAPTION>
Zero
World World Coupon
Asset World Total Series,
Allocation Governments Return Portfolio
Net investment income: Series Series Series 2000
Income -- ------------ ------------ ----------- ---------
<S> <C> <C> <C> <C>
Interest ............................................ $ 1,375,095 $ 4,225,621 $ 650,298 $ 117,208
Dividends ........................................... 635,019 -- 345,231 --
Foreign taxes withheld .............................. (66,561) -- (29,556) --
------------ ------------ ---------- ---------
Total investment income ............................ $ 1,943,553 $ 4,225,621 $ 965,973 $ 117,208
------------ ------------ ---------- ---------
Expenses --
Investment advisory fee ............................. $ 339,626 $ 481,183 $ 168,751 $ 4,744
Trustees' fee ....................................... 398 398 398 398
Administrative fee .................................. 4,846 6,372 2,437 187
Custodian fee ....................................... 45,470 78,035 40,525 5,395
Printing expense .................................... 3,864 7,860 2,751 85
Auditing fee ........................................ 23,267 15,493 28,069 3,824
Legal fee ........................................... 588 413 414 294
Miscellaneous ....................................... 3,644 7,059 7,575 --
------------ ------------ ---------- ---------
Total expenses ..................................... $ 421,703 $ 596,813 $ 250,920 $ 14,927
Preliminary assumption of expenses by investment
adviser ............................................ -- -- -- (4,496)
Fees paid indirectly ................................ (3,173) (7,512) (1,684) (757)
------------ ------------ ---------- ---------
Net expenses ....................................... $ 418,530 $ 589,301 $ 249,236 $ 9,674
------------ ------------ ---------- ---------
Net investment income ............................. $ 1,525,023 $ 3,636,320 $ 716,737 $ 107,534
------------ ------------ ---------- ---------
Realized and unrealized gain (loss) on investments and
foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ........................... $ 2,091,783 $ (2,968,878) $ 620,079 $ 5,857
Written option transactions ........................ 214,008 (1,035,556) (53,984) --
Foreign currency transactions ..................... 1,607,300 (85,529) (211,249) --
------------ ------------ ---------- ---------
Net realized gain (loss) on investments and
foreign currency transactions ..................... $ 3,913,091 $ (4,089,963) $ 354,846 $ 5,857
------------ ------------ ---------- ---------
Change in unrealized appreciation (depreciation) on --
Investments ....................................... $ 4,021,292 $ (3,766,289) $2,682,052 $ (25,908)
Written options .................................... (159,788) 1,281,395 89,120 --
Translation of assets and liabilities in foreign
currencies.......................................... (1,166,780) 342,020 131,608 --
------------ ------------ ---------- ---------
Net unrealized gain (loss) on investments and
foreign currency translation ..................... $ 2,694,724 $ (2,142,874) $2,902,780 $ (25,908)
------------ ------------ ---------- ---------
Net realized and unrealized gain (loss) on
investments and foreign currency.................. $ 6,607,815 $ (6,232,837) $3,257,626 $ (20,051)
------------ ------------ ---------- ---------
Increase (decrease) in net assets from
operations ..................................... $ 8,132,838 $ (2,596,517) $3,974,363 $ 87,483
============ ============ ========== =========
</TABLE>
See notes to financial statements
23
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Six Months Ended June 30, 1997
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
International Government High Money
Growth and Securities Yield Market
Increase (decrease) in net assets: Income Series Series Series Series
From operations -- ------------- ------------- ------------ -------------
<S> <C> <C> <C> <C>
Net investment income .................................... $ 501,870 $ 12,351,934 $ 9,373,333 $ 9,746,864
Net realized gain (loss) on investments and foreign
currency transactions ................................... (1,795,911) (2,735,450) 1,792,840 --
Net unrealized gain on investments and foreign
currency translation .................................... 3,832,043 28,725 1,688,449 --
----------- ------------ ------------ -------------
Increase in net assets from operations .................. $ 2,538,002 $ 9,645,209 $ 12,854,622 $ 9,746,864
----------- ------------ ------------ -------------
Distributions declared to shareholders --
From net investment income ............................... $ (423,484) $(25,293,515) $(15,079,993) $ (9,746,864)
From net realized gain on investments and foreign
currency transactions ................................... (95,794) -- -- --
----------- ------------ ------------- -------------
Total distributions declared to shareholders ........... $ (519,278) $(25,293,515) $(15,079,993) $ (9,746,864)
----------- ------------ ------------- -------------
Trust share transactions --
Net proceeds from sale of shares ......................... $11,263,816 $ 32,808,394 $ 88,889,967 $ 413,230,286
Net asset value of shares issued to shareholders in
reinvestment of distributions ........................... 519,278 25,293,515 15,079,993 9,746,864
Cost of shares reacquired ................................ (4,885,721) (56,518,111) (67,893,536) (412,787,809)
----------- ------------- ------------ -------------
Increase in net assets from Trust share transactions .... $ 6,897,373 $ 1,583,798 $ 36,076,424 $ 10,189,341
----------- ------------- ------------ -------------
Total increase (decrease) in net assets ................ $ 8,916,097 $(14,064,508) $ 33,851,053 $ 10,189,341
Net assets:
At beginning of period ................................... 35,709,583 383,106,910 196,498,257 409,165,326
----------- ------------ ------------ -------------
At end of period ......................................... $44,625,680 $369,042,402 $230,349,310 $ 419,354,667
=========== ============ ============ =============
Accumulated undistributed net investment income
included in net assets
at end of period ....................................... $ 469,583 $ 12,355,142 $ 9,299,220 $ --
=========== ============ ============ =============
</TABLE>
<TABLE>
<CAPTION>
Zero
World World Coupon
Asset World Total Series,
Allocation Governments Return Portfolio
Increase (decrease) in net assets: Series Series Series 2000
From operations -- ----------------- ---------------- --------------- --------------
<S> <C> <C> <C> <C>
Net investment income .............................. $ 1,525,023 $ 3,636,320 $ 716,737 $ 107,534
Net realized gain (loss) on investments and foreign
currency transactions .............................. 3,913,091 (4,089,963) 354,846 5,857
Net unrealized gain (loss) on investments and foreign
currency translation ................................. 2,694,724 (2,142,874) 2,902,780 (25,908)
------------- ------------ ----------- ----------
Increase (decrease) in net assets from operations ... $ 8,132,838 $ (2,596,517) $ 3,974,363 $ 87,483
------------- ------------ ----------- ----------
Distributions declared to shareholders --
From net investment income ........................... $ (1,525,728) $ (4,315,610) $ (657,055) $ (230,910)
From net realized gain on investments and foreign
currency transactions .............................. (3,242,392) (632,661) (624,021) --
In excess of net realized gain on investments and
foreign currency transactions ........................ -- (69,979) -- --
------------- ------------ ----------- ----------
Total distributions declared to shareholders ...... $ (4,768,120) $ (5,018,250) $(1,281,076) $ (230,910)
------------- ------------ ----------- ----------
Trust share transactions --
Net proceeds from sale of shares ..................... $ 28,059,425 $ 4,635,372 $17,322,446 $ 869,892
Net asset value of shares issued to shareholders in
reinvestment of distributions ........................ 4,768,120 5,018,251 1,281,076 230,910
Cost of shares reacquired ........................... (3,887,833) (19,354,718) (1,215,030) (1,560,219)
------------- ------------ ----------- ----------
Increase (decrease) in net assets from Trust share
transactions .......................................... $ 28,939,712 $ (9,701,095) $17,388,492 $ (459,417)
------------ ------------ ----------- ----------
Total increase (decrease) in net assets ............ $ 32,304,430 $(17,315,862) $20,081,779 $ (602,844)
Net assets:
At beginning of period .............................. 77,015,785 141,764,432 37,637,892 4,337,042
------------ ------------ ----------- ----------
At end of period .................................... $109,320,215 $124,448,570 $57,719,671 $3,734,198
============ ============ =========== ==========
Accumulated undistributed net investment income
included in net assets
at end of period .................................... $ 1,592,215 $ 4,297,467 $ 828,694 $ 107,515
============ ============ =========== ==========
</TABLE>
See notes to financial statements
24
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Year Ended December 31, 1996
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
International Government
Growth and Securities
Increase (decrease) in net assets: Income Series Series
From operations -- ------------- --------------
<S> <C> <C>
Net investment income .................................... $ 521,020 $ 25,438,222
Net realized gain (loss) on investments and foreign
currency transactions ................................... (34,218) (2,503,740)
Net unrealized gain (loss) on investments and foreign
currency translation .................................... 462,310 (16,642,829)
----------- -------------
Increase in net assets from operations .................. $ 949,112 $ 6,291,653
----------- -------------
Distributions declared to shareholders --
From net investment income ............................... $ -- $(22,253,356)
From net realized gain on investments and foreign
currency transactions ................................... -- --
----------- -------------
Total distributions declared to shareholders ........... $ -- $(22,253,356)
----------- -------------
Trust share transactions --
Net proceeds from sale of shares ......................... $33,877,812 $112,083,996
Issued in connection with the acquisition of the Sun
Growth Variable Annuity Fund ............................. -- --
Net asset value of shares issued to shareholders in
reinvestment of distributions ........................... -- 22,253,356
Cost of shares reacquired ................................ (6,296,169) (104,116,699)
----------- ------------
Increase in net assets from Trust share transactions .... $27,581,643 $ 30,220,653
----------- ------------
Total increase in net assets ........................... $28,530,755 $ 14,258,950
Net assets:
At beginning of year ..................................... 7,178,828 368,847,960
----------- ------------
At end of year ........................................... $35,709,583 $383,106,910
=========== ============
Accumulated undistributed net investment income
included in net assets at end of year .................... $ 391,197 $ 25,296,723
=========== ============
<CAPTION>
High Money
Yield Market
Increase (decrease) in net assets: Series Series
From operations -- ------------------ ------------------
<S> <C> <C>
Net investment income .................................... $ 15,046,156 $ 15,990,553
Net realized gain (loss) on investments and foreign
currency transactions ................................... 1,384,999 --
Net unrealized gain (loss) on investments and foreign
currency translation .................................... 3,497,778 --
-------------- --------------
Increase in net assets from operations .................. $ 19,928,933 $ 15,990,553
-------------- --------------
Distributions declared to shareholders --
From net investment income .............................. $ (12,135,750) $ (15,990,553)
From net realized gain on investments and foreign
currency transactions ................................... -- --
-------------- ----------------
Total distributions declared to shareholders ........... $ (12,135,750) $ (15,990,553)
-------------- ----------------
Trust share transactions --
Net proceeds from sale of shares ......................... $ 125,642,522 $ 753,646,599
Issued in connection with the acquisition of the Sun
Growth Variable Annuity Fund ............................. -- 666,549
Net asset value of shares issued to shareholders in
reinvestment of distributions ........................... 12,135,750 15,990,553
Cost of shares reacquired ............................... (102,873,353) (643,892,483)
------------- --------------
Increase in net assets from Trust share transactions $ 34,904,919 $ 126,411,218
------------- --------------
Total increase in net assets ........................... $ 42,698,102 $ 126,411,218
Net assets:
At beginning of year .................................... 153,800,155 282,754,108
-------------- --------------
At end of year .......................................... $ 196,498,257 $ 409,165,326
============== ==============
Accumulated undistributed net investment income
included in net assets at end of year .................... $ 15,005,880 $ --
============== ==============
</TABLE>
<TABLE>
<CAPTION>
Zero
World World Coupon
Asset World Total Series,
Allocation Governments Return Portfolio
Increase (decrease) in net assets: Series Series Series 2000
From operations -- --------------- ---------------- --------------- -------------
<S> <C> <C> <C> <C>
Net investment income ................................. $ 1,477,075 $ 8,742,832 $ 863,604 $ 230,919
Net realized gain (loss) on investments and foreign
currency transactions ............................... 3,345,414 (7,775,092) 514,043 (3,785)
Net unrealized gain (loss) on investments and foreign
currency translation ................................. 2,569,102 5,531,505 2,454,550 (145,491)
------------ ------------- ------------ ----------
Increase in net assets from operations ............... $ 7,391,591 $ 6,499,245 $ 3,832,197 $ 81,643
------------ ------------- ------------ ----------
Distributions declared to shareholders --
From net investment income ........................... $ (458,860) $ (20,261,198) $ (432,723) $ (168,674)
From net realized gain on investments and foreign
currency transactions ............................. (864,253) -- -- --
------------ ------------- ------------ ----------
Total distributions declared to shareholders ...... $ (1,323,113) $ (20,261,198) $ (432,723) $ (168,674)
------------ ------------- ------------ ----------
Trust share transactions --
Net proceeds from sale of shares ..................... $ 51,249,975 $ 13,862,543 $ 23,046,802 $ 188,206
Net asset value of shares issued to shareholders in
reinvestment of distributions ....................... 1,323,113 20,261,198 432,723 168,674
Cost of shares reacquired ........................... (7,489,174) (31,084,548) (3,027,045) (548,663)
------------ ------------- ------------ ----------
Increase (decrease) in net assets from Trust share
transactions ........................................ $ 45,083,914 $ 3,039,193 $ 20,452,480 $ (191,783)
------------ ------------- ------------ ----------
Total increase (decrease) in net assets ............ $ 51,152,392 $ (10,722,760) $ 23,851,954 $ (278,814)
Net assets:
At beginning of year ................................. 25,863,393 152,487,192 13,785,938 4,615,856
------------ ------------- ------------ ----------
At end of year ....................................... $ 77,015,785 $ 141,764,432 $ 37,637,892 $4,337,042
============ ============= ============ ==========
Accumulated undistributed net investment income
included in net assets at end of year ............... $ 1,592,920 $ 4,976,757 $ 769,012 $ 230,891
============ ============= ============ ==========
</TABLE>
See notes to financial statements
25
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights
<TABLE>
<CAPTION>
MFS/Foreign & Colonial
International Growth and
Income Series
---------------------------------------------------------------
Six Months Ended Year Ended Period Ended
June 30, 1997 December 31, 1996 December 31, 1995**
------------------ ------------------- --------------------
<S> <C> <C> <C>
Per share data (for a share outstanding throughout
each period):
Net asset value -- beginning of period ............... $ 10.6247 $ 10.1282 $ 10.0000****
----------- --------- -------------
Income from investment operations# --
Net investment income[sec] ........................... $ 0.1358 $ 0.2326 $ 0.0295
Net realized and unrealized gain (loss) on investments
and foreign currency transactions ..................... 0.4939 0.2639 0.0987
----------- --------- -------------
Total from investment operations .................. $ 0.6297 $ 0.4965 $ 0.1282
----------- --------- -------------
Less distributions --
From net investment income ........................... $ (0.1124) $ -- $ --
From net realized gain on investments and foreign
currency transactions ................................ (0.0254) -- --
----------- --------- -------------
Total distributions ................................. $ (0.1378) $ -- $ --
----------- --------- -------------
Net asset value -- end of period ..................... $ 11.1166 $ 10.6247 $ 10.1282
=========== ========= =============
Total return[dbldag] ................................. 5.96%++ 4.84% 1.30%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses ............................................. 1.27%+ 0.97% 1.50%+
Net investment income ................................. 2.58%+ 2.21% 1.64%+
Portfolio turnover .................................... 50% 51% --
Average commission rate### ........................... $ 0.0215 $ 0.0173 --
Net assets, end of period (000 omitted) ............... $ 44,626 $ 35,710 $ 7,179
</TABLE>
**For the period from the commencement of investment operations, October 2,
1995, through December 31, 1995.
****Net asset value on date of commencement of operations.
+Annualized.
++Not annualized.
#Per share data are based on average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are calculated
without reduction for fees paid indirectly.
###Average commission rate is calculated for Series with fiscal years
beginning on or after September 1, 1995.
[dbldag]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.
[sec]The investment adviser voluntarily waived all or a portion of its
advisory fee for the MFS/Foreign & Colonial International Growth and Income
Series for the periods indicated. If the waiver had not been in place, the net
investment income per share and the ratios would have been:
<TABLE>
<CAPTION>
Year Ended Period Ended
December 31, 1996 December 31, 1995**
------------------- --------------------
<S> <C> <C>
Net investment income ...... $ 0.2101 $ 0.0119
Ratios (to average net assets):
Expenses## .................. 1.16% 2.48%+
Net investment income ...... 2.02% 0.66%+
</TABLE>
See notes to financial statements
26
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
Government Securities Series
-------------------------------
Year Ended
December 31,
-------------
Six Months Ended
June 30, 1997 1996
----------------- -------------
<S> <C> <C>
Per share data (for a share outstanding throughout
each period):
Net asset value -- beginning of period ............... $ 12.8672 $ 13.3900
---------- ---------
Income from investment operations# --
Net investment income ................................. $ 0.4163 $ 0.8445
Net realized and unrealized gain (loss) on investments
and foreign currency transactions .................. (0.0922) (0.6620)
---------- ---------
Total from investment operations .................. $ 0.3241 $ 0.1825
---------- ---------
Less distributions --
From net investment income ........................... $ (0.8865) $ (0.7053)
From net realized gain on investments and foreign
currency transactions ................................ -- --
---------- ---------
Total distributions ................................. $ (0.8865) $ (0.7053)
---------- ---------
Net asset value -- end of period ..................... $ 12.3048 $ 12.8672
========== =========
Total return[dbldag] ................................. 2.55%++ 1.65%
Ratios (to average net assets)/Supplemental data:
Expenses## .......................................... 0.62%+ 0.63%
Net investment income ................................. 6.60%+ 6.60%
Portfolio turnover .................................... 126% 57%
Net assets, end of period (000 omitted) ............... $ 369,042 $ 383,107
<CAPTION>
Year Ended December 31,
----------------------------------------------------------
1995 1994 1993 1992
-------------- ------------- -------------- --------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding throughout
each period):
Net asset value -- beginning of period ............... $ 12.1219 $ 13.0951 $ 13.0059 $ 13.0369
---------- --------- ---------- ----------
Income from investment operations# --
Net investment income ................................. $ 0.8311 $ 0.6366 $ 0.5742 $ 0.7170
Net realized and unrealized gain (loss) on investments
and foreign currency transactions .................. 1.2183 (0.9238) 0.5220 0.0976
---------- --------- ---------- ----------
Total from investment operations .................. $ 2.0494 $ (0.2872) $ 1.0962 $ 0.8146
---------- --------- ---------- ----------
Less distributions --
From net investment income ........................... $ (0.7813) $ (0.4959) $ (0.6603) $ (0.8027)
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)
---------- --------- ---------- ----------
Net asset value -- end of period ..................... $ 13.3900 $ 12.1219 $ 13.0951 $ 13.0059
========== ========= ========== ==========
Total return[dbldag] ................................. 17.66% (2.21)% 8.70% 6.81%
Ratios (to average net assets)/Supplemental data:
Expenses## .......................................... 0.63% 0.62% 0.63% 0.66%
Net investment income ................................. 6.59% 6.01% 5.92% 6.56%
Portfolio turnover .................................... 80% 90% 96% 304%
Net assets, end of period (000 omitted) ............... $ 368,848 $ 347,150 $ 310,521 $ 203,739
</TABLE>
<TABLE>
<CAPTION>
High Yield Series
--------------------------------
Year Ended
December 31,
--------------
Six Months Ended
June 30, 1997 1996
----------------- --------------
<S> <C> <C>
Per share data (for a share outstanding throughout
each period):
Net asset value -- beginning of period ............... $ 9.2131 $ 8.9222
----------- ----------
Income from investment operations# --
Net investment income ................................. $ 0.4141 $ 0.8012
Net realized and unrealized gain (loss) on investments
and foreign currency transactions .................. 0.1299 0.2131
----------- ----------
Total from investment operations .................. $ 0.5440 $ 1.0143
----------- ----------
Less distributions from net investment income ......... $ (0.6548) $ (0.7234)
----------- ----------
Net asset value -- end of period ..................... $ 9.1023 $ 9.2131
=========== ==========
Total return[dbldag] ................................. 6.13%++ 12.12%
Ratios (to average net assets)/Supplemental data:
Expenses## .......................................... 0.83%+ 0.84%
Net investment income ................................. 9.03%+ 9.01%
Portfolio turnover .................................... 59% 88%
Net assets, end of period (000 omitted) ............... $ 230,349 $ 196,498
<CAPTION>
Year Ended December 31,
----------------------------------------------------------
1995 1994 1993 1992
-------------- ------------- -------------- --------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding throughout
each period):
Net asset value -- beginning of period ............... $ 8.1860 $ 9.1120 $ 8.3279 $ 8.1299
---------- --------- ---------- ----------
Income from investment operations# --
Net investment income ................................. $ 0.7891 $ 0.8226 $ 0.5915 $ 0.7314
Net realized and unrealized gain (loss) on investments
and foreign currency transactions .................. 0.5494 (1.0387) 0.8242 0.3823
---------- --------- ---------- ----------
Total from investment operations .................. $ 1.3385 $ (0.2161) $ 1.4157 $ 1.1137
---------- --------- ---------- ----------
Less distributions from net investment income ......... $ (0.6023) $ (0.7099) $ (0.6316) $ (0.9157)
---------- --------- ---------- ----------
Net asset value -- end of period ..................... $ 8.9222 $ 8.1860 $ 9.1120 $ 8.3279
========== ========= ========== ==========
Total return[dbldag] ................................. 16.93% (2.16)% 17.68% 14.99%
Ratios (to average net assets)/Supplemental data:
Expenses## .......................................... 0.87% 0.86% 0.88% 0.97%
Net investment income ................................. 9.17% 8.94% 8.76% 9.07%
Portfolio turnover .................................... 66% 82% 53% 73%
Net assets, end of period (000 omitted) ............... $ 153,800 $ 102,194 $ 97,884 $ 54,564
</TABLE>
+Annualized.
++Not annualized.
#Per share data for the periods subsequent to December 31, 1992, are based on
average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are calculated
without reduction for fees paid indirectly.
[dbldag]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.
See notes to financial statements
27
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
Money Market Series
--------------------------------
Year Ended
December 31,
--------------
Six Months Ended
June 30, 1997 1996
----------------- --------------
<S> <C> <C>
Per share data (for a share outstanding throughout
each period):
Net asset value -- beginning of period ............ $ 1.0000 $ 1.0000
----------- ----------
Income from investment operations# -- ............ $ 0.0241 $ 0.0483
----------- ----------
Less distributions from net investment income ...... $ (0.0241) $ (0.0483)
----------- ----------
Net asset value -- end of period .................. $ 1.0000 $ 1.0000
=========== ==========
Total return[dbldag] .............................. 2.44%++ 4.95%
Ratios (to average net assets)/Supplemental data:
Expenses## ....................................... 0.57%+ 0.56%
Net investment income ........................... 4.88%+ 4.82%
Net assets, end of period (000 omitted) ......... $ 419,355 $ 409,165
<CAPTION>
Year Ended December 31,
-----------------------------------------------------------
1995 1994 1993 1992
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding throughout
each period):
Net asset value -- beginning of period ............ $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
---------- ---------- ---------- ----------
Income from investment operations# -- ............ $ 0.0520 $ 0.0363 $ 0.0256 $ 0.0325
---------- ---------- ---------- ----------
Less distributions from net investment income ...... $ (0.0520) $ (0.0363) $ (0.0256) $ (0.0325)
---------- ---------- ---------- ----------
Net asset value -- end of period .................. $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========== ========== ========== ==========
Total return[dbldag] .............................. 5.44% 3.69% 2.59% 3.30%
Ratios (to average net assets)/Supplemental data:
Expenses## ....................................... 0.59% 0.58% 0.58% 0.60%
Net investment income ........................... 5.30% 3.74% 2.60% 3.29%
Net assets, end of period (000 omitted) ......... $ 282,754 $ 252,175 $ 142,464 $ 134,799
</TABLE>
<TABLE>
<CAPTION>
World Asset Allocation Series
---------------------------------------------------------------------
Year Ended December 31,
-----------------------------
Six Months Ended Period Ended
June 30, 1997 1996 1995 December 31, 1994**
------------------ -------------- -------------- --------------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding throughout
each period):
Net asset value -- beginning of period ............... $ 13.7794 $ 12.2250 $ 10.0579 $ 10.0000****
----------- ---------- ---------- -------------
Income from investment operations# --
Net investment income[sec] ........................... $ 0.2340 $ 0.3731 $ 0.4205 $ 0.0220
Net realized and unrealized gain (loss) on investments
and foreign currency transactions ..................... 0.9840 1.5563 1.7540 0.0359
----------- ---------- ---------- -------------
Total from investment operations .................. $ 1.2180 $ 1.9294 $ 2.1745 $ 0.0579
----------- ---------- ---------- -------------
Less distributions --
From net investment income ........................... $ (0.2242) $ (0.1300) $ (0.0074) $ --
From net realized gain on investments and foreign
currency transactions ................................. (0.4765) (0.2450) -- --
----------- ---------- ---------- -------------
Total distributions ................................. $ (0.7007) $ (0.3750) $ (0.0074) $ --
----------- ---------- ---------- -------------
Net asset value -- end of period ..................... $ 14.2967 $ 13.7794 $ 12.2250 $ 10.0579
=========== ========== ========== =============
Total return[dbldag] ................................. 9.04%++ 16.04% 21.56% 0.60%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## .......................................... 0.93%+ 0.94% 0.67% 1.50%+
Net investment income ................................. 3.36%+ 2.84% 3.70% 3.13%+
Portfolio turnover .................................... 116% 154% 146% 2%
Average commission rate### ........................... $ 0.0248 $ 0.0233 $ -- $ --
Net assets, end of period (000 omitted) ............... $ 109,320 $ 77,016 $ 25,863 $ 3,003
</TABLE>
**For the period from the commencement of the Series' investment operations,
November 7, 1994, through December 31, 1994.
****Net asset value on date of commencement of operations.
+Annualized.
++Not annualized.
#Per share data are based on average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are calculated
without reduction for fees paid indirectly.
###Average commission rate is calculated for Series with fiscal years beginning
on or after September 1, 1995.
[dbldag]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.
[sec]The investment adviser voluntarily waived all or a portion of its advisory
fee for the World Asset Allocation Series for the periods indicated. If the
waiver fees had not been in place, the net investment income per share and the
ratios would have been:
<TABLE>
<CAPTION>
Allocation Series
Year Ended Period Ended
December 31, 1995 December 31, 1994**
------------------- --------------------
<S> <C> <C>
Net investment income ...... $ 0.3716 $ 0.0041
Ratios (to average net assets):
Expenses## .................. 1.11% 4.05%+
Net investment income ...... 3.27% 0.58%+
</TABLE>
See notes to financial statements
28
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
World Governments Series
-------------------------------
Year Ended
December 31,
-------------
Six Months Ended
June 30, 1997 1996
----------------- -------------
<S> <C> <C>
Per share data (for a share outstanding throughout
each period):
Net asset value -- beginning of period ............... $ 11.2582 $ 12.4866
----------- ---------
Income from investment operations# --
Net investment income ................................. $ 0.3032 $ 0.6882
Net realized and unrealized gain (loss) on investments
and foreign currency transactions .................. (0.5043) (0.2081)
----------- ---------
Total from investment operations .................. $ (0.2011) $ 0.4801
----------- ---------
Less distributions --
From net investment income ........................... $ (0.3742) $ (1.7085)
From net realized gain on investments and foreign
currency transactions ................................ (0.0548) --
In excess of net realized gain on investments and
foreign currency transactions ....................... (0.0061) --
----------- ---------
Total distributions ................................. $ (0.4351) $ (1.7085)
----------- ---------
Net asset value -- end of period ..................... $ 10.6220 $ 11.2582
=========== =========
Total return[dbldag] ................................. (1.78)%++ 4.66%
Ratios (to average net assets)/Supplemental data:
Expenses## .......................................... 0.92%+ 0.90%
Net investment income ................................. 5.63%+ 6.00%
Portfolio turnover .................................... 194% 390%
Net assets, end of period (000 omitted) ............... $ 124,449 $ 141,764
<CAPTION>
Year Ended December 31,
---------------------------------------------------------
1995 1994 1993 1992
-------------- ------------- -------------- -------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding throughout
each period):
Net asset value -- beginning of period ............... $ 11.3769 $ 13.0212 $ 11.7966 $ 12.7397
---------- --------- ---------- ---------
Income from investment operations# --
Net investment income ................................. $ 0.8031 $ 0.6095 $ 0.5352 $ 0.6429
Net realized and unrealized gain (loss) on investments
and foreign currency transactions .................. 0.9511 (1.2295) 1.5819 (0.6141)
---------- --------- ---------- ---------
Total from investment operations .................. $ 1.7542 $ (0.6200) $ 2.1171 $ 0.0288
---------- --------- ---------- ---------
Less distributions --
From net investment income ........................... $ (0.0058) $ (0.8823) $ (0.8925) $ (0.6581)
From net realized gain on investments and foreign
currency transactions ................................. (0.6387) (0.1420) -- (0.3138)
In excess of net realized gain on investments and
foreign currency transactions ....................... -- -- -- --
---------- --------- ---------- ---------
Total distributions ................................. $ (0.6445) $ (1.0243) $ (0.8925) $ (0.9719)
---------- --------- ---------- ---------
Net asset value -- end of period ..................... $ 12.4866 $ 11.3769 $ 13.0212 $ 11.7966
========== ========= ========== =========
Total return[dbldag] ................................. 15.69% (4.46)% 18.84% 0.54%
Ratios (to average net assets)/Supplemental data:
Expenses## .......................................... 0.89% 0.90% 0.95% 1.03%
Net investment income ................................. 6.67% 6.06% 6.01% 7.02%
Portfolio turnover .................................... 329% 269% 173% 147%
Net assets, end of period (000 omitted) ............... $ 152,487 $ 139,155 $ 135,085 $ 73,540
</TABLE>
+Annualized.
++Not annualized.
#Per share data for the periods subsequent to December 31, 1992, are based on
average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are calculated
without reduction for fees paid indirectly.
[dbldag]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.
See notes to financial statements
29
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
World Total Return Series
---------------------------------------------------------------------
Year Ended December 31,
-----------------------------
Six Months Ended Period Ended
June 30, 1997 1996 1995 December 31, 1994**
------------------ -------------- -------------- --------------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding throughout
each period):
Net asset value -- beginning of period ............... $ 13.2657 $ 11.8346 $ 10.0405 $ 10.0000***
----------- ---------- ---------- -------------
Income from investment operations# --
Net investment income[sec] ........................... $ 0.2094 $ 0.4131 $ 0.4437 $ 0.0247
Net realized and unrealized gain on investments and
foreign currency transactions ........................ 0.8267 1.2480 1.3564 0.0158
----------- ---------- ---------- -------------
Total from investment operations .................. $ 1.0361 $ 1.6611 $ 1.8001 $ 0.0405
----------- ---------- ---------- -------------
Less distributions --
From net investment income ........................... $ (0.1756) $ (0.2300) $ (0.0060) $ --
From net realized gain on investments and foreign
currency transactions .............................. (0.1668) -- -- --
----------- ---------- ---------- -------------
Total distributions ................................. $ (0.3424) $ (0.2300) $ (0.0060) $ --
----------- ---------- ---------- -------------
Net asset value -- end of period ..................... $ 13.9594 $ 13.2657 $ 11.8346 $ 10.0405
=========== ========== ========== =============
Total return[dbldag] ................................. 7.89%++ 14.33% 17.89% 0.40%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## .......................................... 1.10%+ 0.96% 0.77% 1.50%+
Net investment income .............................. 3.18%+ 3.33% 4.01% 3.31%+
Portfolio turnover .................................... 73% 148% 146% 1%
Average commission rate### ........................... $ 0.0240 $ 0.0229 $ -- $ --
Net assets, end of period (000 omitted) ............... $ 57,720 $ 37,638 $ 13,786 $ 1,384
</TABLE>
**For the period from the commencement of the Series' investment operations,
November 7, 1994, through December 31, 1994.
***Net asset value on date of commencement of operations.
+Annualized.
++Not annualized.
#Per share data are based on average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are calculated
without reduction for fees paid indirectly.
###Average commission rate is calculated for Series with fiscal years beginning
on or after September 1, 1995.
[dbldag]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.
[sec]The investment adviser voluntarily waived all or a portion of its advisory
fee for the World Total Return Series for the periods indicated. If the waiver
had not been in place, the net investment income per share and the ratios would
have been:
<TABLE>
<CAPTION>
Year Ended Period Ended
December 31, 1995 December 31, 1994**
------------------ ---------------------
<S> <C> <C>
Net investment income (loss) ...... $ 0.3972 $ (0.0405)
Ratios (to average net assets):
Expenses## ........................ 1.19% 6.93%+
Net investment income (loss) ...... 3.59% (2.12)%+
</TABLE>
See notes to financial statements
30
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
Zero Coupon Series, Portfolio
2000
-------------------------------
Year Ended
December 31,
-------------
Six Months Ended
June 30, 1997 1996
----------------- -------------
<S> <C> <C>
Per share data (for a share outstanding throughout
each period):
Net asset value -- beginning of period ............... $ 8.8822 $ 9.0619
---------- ---------
Income from investment operations# --
Net investment income[sec] ........................... $ 0.2432 $ 0.2094
Net realized and unrealized gain (loss) on investments
and foreign currency transactions .................. (0.0496) (0.0528)
---------- ---------
Total from investment operations .................. $ 0.1936 $ 0.1566
---------- ---------
Less distributions --
From net investment income ........................... $ (0.5571) $ (0.3363)
From net realized gain on investments .................. -- --
---------- ---------
Total distributions ................................. $ (0.5571) $ (0.3363)
---------- ---------
Net asset value -- end of period ..................... $ 8.5187 $ 8.8822
========== =========
Total return[dbldag] ................................. 2.29%++ 1.91%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses ............................................. 0.50%+ 0.50%
Net investment income ................................. 5.62%+ 5.20%
Portfolio turnover .................................... 0% 2%
Net assets, end of period (000 omitted) ............... $ 3,734 $ 4,337
<CAPTION>
Zero Coupon Series, Portfolio 2000
-----------------------------------------------------------
Year Ended December 31,
-----------------------------------------------------------
1995 1994 1993 1992
-------------- ------------- -------------- ---------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding throughout
each period):
Net asset value -- beginning of period ............... $ 7.9573 $ 11.1167 $ 11.0966 $ 11.3060
---------- --------- ---------- --------------
Income from investment operations# --
Net investment income[sec] ........................... $ 0.4340 $ 0.3807 $ 0.6921 $ 0.8970
Net realized and unrealized gain (loss) on investments
and foreign currency transactions .................... 1.1038 (1.1094) 0.8997 (0.0904)*
---------- --------- ---------- --------------
Total from investment operations .................. $ 1.5378 $ (0.7287) $ 1.5918 $ 0.8066
---------- --------- ---------- --------------
Less distributions --
From net investment income ........................... $ (0.4332) $ (0.6250) $ (0.8915) $ (0.8539)
From net realized gain on investments .................. -- (1.8057) (0.6802) (0.1621)
---------- --------- ---------- --------------
Total distributions ................................. $ (0.4332) $ (2.4307) $ (1.5717) $ (1.0160)
---------- --------- ---------- --------------
Net asset value -- end of period ..................... $ 9.0619 $ 7.9573 $ 11.1167 $ 11.0966
========== ========= ========== ==============
Total return[dbldag] ................................. 19.88% (6.99)% 15.03% 8.18%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses ............................................. 0.50% 0.50% 0.50% 0.50%
Net investment income ................................. 5.16% 4.93% 5.48% 7.08%
Portfolio turnover .................................... 27% 12% 65% 16%
Net assets, end of period (000 omitted) ............... $ 4,616 $ 3,280 $ 3,547 $ 3,713
</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.
+Annualized.
++Not annualized.
#Per share data for the periods subsequent to December 31, 1992 are based on
average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are calculated
without the reduction for fees paid indirectly.
[dbldag]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.
[sec]The investment adviser voluntarily waived all or a portion of its advisory
fee for the Zero Coupon Series, Portfolio 2000 for the period indicated. If the
waiver had not been in place, the net investment income per share and the ratios
would have been:
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1997 December 31, 1996
----------------- -----------------
<S> <C> <C>
Net investment income ...... $ 0.2330 $ 0.2045
Ratios (to average net assets):
Expenses## .................. 0.78%+ 0.62%
Net investment income ...... 5.39%+ 5.08%
</TABLE>
See notes to financial statements
31
<PAGE>
MFS/Sun Life Series Trust
Notes to Financial Statements
1. Organization
The Trust is organized as a Massachusetts business trust and is registered
under the Investment Company Act of 1940, as amended, as an open-end,
management investment company consisting of twenty separate Series (the Series)
of shares: Capital Appreciation Series, Conservative Growth Series, Emerging
Growth Series, Government Securities Series*, High Yield Series*, Managed
Sectors Series, MFS/Foreign & Colonial Emerging Markets Equity Series,
MFS/Foreign & Colonial International Growth Series, MFS/Foreign & Colonial
International Growth and Income Series*, Money Market Series*, Research Series,
Research Growth and Income Series, Total Return Series, Utilities Series, Value
Series, World Asset Allocation Series*, World Governments Series*, World Growth
Series, World Total Return Series*, and Zero Coupon Series, Portfolio 2000*.
The High Yield Series, World Asset Allocation Series, World Governments 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.
The Series denoted with an asterisk above are included within these financial
statements.
2. Significant Accounting Policies
General - The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates. Investments
in foreign securities are vulnerable to the effects of changes in the relative
values of the local currency and the U.S. dollar and to the effects of changes
in each country's legal, political, and economic environment.
Investment Valuations - Equity securities listed on securities exchanges or
reported through the NASDAQ system are valued at last sale prices. Unlisted
equity securities or listed equity securities for which last sale prices are
not available are valued at last quoted bid prices. Debt securities (other than
short-term obligations which mature in 60 days or less), including listed
issues and forward contracts, are valued on the basis of valuations furnished
by dealers or by a pricing service with consideration to factors such as
institutional-size trading in similar groups of securities, yield, quality,
coupon rate, maturity, type of issue, trading characteristics, and other market
data, without exclusive reliance upon exchange or over-the-counter prices.
Short-term obligations, which mature in 60 days or less, are valued at
amortized cost, which approximates market value. Non-U.S. dollar denominated
short-term obligations are valued at amortized cost as calculated in the base
currency and translated into U.S. dollars at the closing daily exchange rate.
Money market instruments are valued at amortized cost, which the Trustees have
determined in good faith constitutes fair value. The Trust's use of amortized
cost is subject to the Trust's compliance with certain conditions as specified
under Rule 2a-7 of the Investment Company Act of 1940. Futures contracts,
options, and options on futures contracts listed on commodities exchanges are
valued at closing settlement prices. Over-the-counter options are valued by
brokers through the use of a pricing model which takes into account closing
bond valuations, implied volatility, and short-term repurchase rates.
Securities for which there are no such quotations or valuations are valued at
fair value as determined in good faith by or at the direction of the Trustees.
Repurchase Agreements - Certain Series of the Trust may enter into repurchase
agreements with institutions that the Trust's investment adviser has determined
are creditworthy. Each repurchase agreement is recorded at cost. Such Series
require that the securities purchased in a repurchase transaction be
transferred to the custodian in a manner sufficient to enable the Trust to
obtain those securities in the event of a default under the repurchase
agreement. The investment adviser monitors, on a daily basis, the value of the
securities transferred to ensure that the value, including accrued interest, of
the securities under each repurchase agreement is greater than amounts owed to
the Series under each such repurchase agreement. Certain Series of the Trust,
along with other affiliated entities of Massachusetts Financial Services
Company (MFS), may utilize a joint trading account for the purpose of entering
into one or more repurchase agreements.
Foreign Currency Translation - Investment valuations, other assets, and
liabilities initially expressed in foreign currencies are converted each
business day into U.S. dollars based upon current exchange rates. Purchases and
sales of foreign investments, income, and expenses are converted into U.S.
dollars based upon currency exchange rates prevailing on the respective dates
of such transactions. Gains and losses attributable to foreign currency
exchange rates on sales of securities are recorded for financial statement
purposes as net realized gains and losses on investments. Gains and losses
attributable to foreign exchange rate movements on income and expenses are
recorded for financial statement purposes as foreign currency transaction gains
and losses. That portion of both realized and unrealized gains and losses on
investments that result from fluctuations in foreign currency exchange rates is
not separately disclosed.
Written Options - Certain Series of the Trust may write covered call or put
options for which premiums are received and are recorded as liabilities, and
are subsequently adjusted to the current value of the options written. Premiums
received from writing options which expire are treated as realized gains.
Premiums received from writing options which are exercised or are closed are
offset against the proceeds or amount paid on the transaction to determine the
realized gain or loss. If a put option is exercised, the premium reduces the
cost basis of the security purchased. The Series, as writer of an option, may
have no control over whether the underlying securities may be sold (call) or
purchased (put) and, as a result, bears the market risk of an unfavorable
change in the price of the securities underlying the written option. In
general, written call options may serve as a partial hedge against decreases in
value in the underlying securities to the extent of the premium received.
Written options may also be used as part of an income-producing strategy
reflecting the view of the Series' management on the direction of interest
rates.
Futures Contracts - Certain Series of the Trust may enter into futures
contracts for the delayed delivery of securities, currency, or contracts based
on financial indices at a fixed price on a future date. Upon entering such
contracts, the Series are required to deposit either in cash or securities an
32
<PAGE>
Notes to Financial Statements -- continued
amount equal to a certain percentage of the contract amount. Subsequent
payments are made or received by the Series each day, depending on the daily
fluctuations in the value of the underlying security, and are recorded for
financial statement purposes as unrealized gains or losses by the Series. The
Series' investment in futures contracts is designed to hedge against
anticipated future changes in interest or exchange rates or securities prices.
Investments in interest rate futures for purposes other than hedging may be
made to modify the duration of the portfolio without incurring the additional
transaction costs involved in buying and selling the underlying securities.
Investments in currency futures for purposes other than hedging may be made to
change the Series' relative position in one or more currencies without buying
and selling portfolio assets. Investments in equity index contracts, or
contracts on related options, for purposes other than hedging may be made when
the Series has cash on hand and wishes to participate in anticipated market
appreciation while the cash is being invested. Should interest or exchange
rates or securities prices move unexpectedly, the Series may not achieve the
anticipated benefits of the futures contracts and may realize a loss.
Forward Foreign Currency Exchange Contracts - Certain Series of the Trust may
enter into forward 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 into these contracts from the potential inability of
counterparties to meet the terms of their contracts and from unanticipated
movements in the value of a foreign currency relative to the U.S. dollar. The
Series will enter into forward contracts for hedging purposes as well as for
non-hedging purposes. For hedging purposes, the Series may enter into contracts
to deliver or receive foreign currency it will receive from or require for its
normal investment activities. It may also use contracts in a manner intended to
protect foreign currency-denominated securities from declines in value due to
unfavorable exchange rate movements. For non-hedging purposes, the Series may
enter into contracts with the intent of changing the relative exposure of the
Series' portfolio of securities to different currencies to take advantage of
anticipated changes. The forward foreign currency exchange contracts are
adjusted by the daily 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 financial statement
and tax reporting purposes as required by federal income tax regulations.
Dividend income is recorded on the ex-dividend date for dividends received in
cash. Dividend and interest payments received in additional securities are
recorded on the ex-dividend or ex-interest date in an amount equal to the value
of the security on such date.
The High Yield Series can invest up to 100% of its portfolio in high-yield
securities rated below investment grade. Investments in high-yield securities
involve greater degrees of credit and market risk than investments in
higher-rated securities, and tend to be more sensitive to economic conditions.
As appropriate based on its investments, certain Series of the Trust use the
effective interest method for reporting interest income on payment-in-kind
(PIK) bonds, whereby interest income on PIK bonds is recorded ratably by the
Series at a constant yield to maturity. Legal fees and other related expenses
incurred to preserve and protect the value of a security owned are added to the
cost of the security; other legal fees are expensed. Capital infusions, which
are generally non-recurring, incurred to protect or enhance the value of
high-yield debt securities, are reported as an addition to the cost basis of
the security. Costs that are incurred to negotiate the terms or conditions of
capital infusions or that are expected to result in a plan of reorganization
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 of expenses 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)
applicable to regulated investment companies and to distribute to shareholders
all of its taxable income, including any net realized gain on investments.
Accordingly, no provision for federal income or excise tax is necessary.
Foreign taxes have been provided for on interest and dividend income earned on
foreign investments in accordance with the applicable country's tax rates and
to the extent unrecoverable are recorded as a reduction of investment income.
Distributions to shareholders are recorded on the ex-dividend date.
The Trust distinguishes between distributions on a tax basis and a financial
reporting basis and requires that only distributions in excess of tax basis
earnings and profits are reported in the financial statements as a return of
capital. Differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net realized
gains.
At December 31, 1996, the following Series had capital loss carryforwards for
federal income tax purposes which may be applied against any net taxable
realized gains of each succeeding year until the earlier of their utilization
or expiration.
<TABLE>
<CAPTION>
Portion Expiring December 31,
---------------------------------------------------------
Total Carryover 1997 1998 1999
----------------- ----------- ------------- -------------
<S> <C> <C> <C> <C>
Government Securities Series ...... $8,934,869 $ -- $ -- $ --
=========== ========== ============ ============
High Yield Series .................. 8,682,830 553,314 2,535,112 1,654,123
=========== ========== ============ ============
Zero Coupon Series, Portfolio 2000 46,129 -- -- --
=========== ========== ============ ============
<CAPTION>
2000 2001 2002 2003 2004
----------- ---------- ------------ ------------- -----------
<S> <C> <C> <C> <C> <C>
Government Securities Series ...... $ -- $ -- $7,137,094 $ 76,697 $1,721,078
========== ========= =========== ============ ===========
High Yield Series .................. 786,156 -- 960,740 2,193,385 --
========== ========= =========== ============ ===========
Zero Coupon Series, Portfolio 2000 -- -- 21,892 20,451 3,786
========== ========= =========== ============ ===========
</TABLE>
33
<PAGE>
Notes to Financial Statements -- continued
3. Transactions with Affiliates
The Trust has investment advisory agreements with Massachusetts Financial
Services Company (MFS), a subsidiary of Sun Life Assurance Company of Canada
(U.S.), to provide overall investment advisory and administrative services and
general office facilities. Investment advisory fees are computed daily and paid
monthly at an effective annual rate based on a percentage of each Series'
average daily net assets. The agreements also provide that each Series will be
reimbursed for expenses 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>
MFS/Foreign & Colonial International Growth and Income Series ... 0.975%* N/A
Government Securities Series .................................... 0.55% 1.25%
High Yield Series ................................................ 0.75% 1.25%
Money Market Series ............................................. 0.50% 0.60%
World Asset Allocation Series .................................... 0.75%* N/A
World Governments Series .......................................... 0.75%* 1.25%
World Total Return Series ....................................... 0.75%* N/A
Zero Coupon Series, Portfolio 2000 .............................. 0.25% 0.50%
</TABLE>
*The advisory fee for the 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
MFS/Foreign & Colonial International Growth and Income Series is reduced to
0.925% of the average daily net assets in excess of $500 million.
The investment advisory agreements with respect to the MFS/Foreign & Colonial
International Growth and Income Series permit MFS to engage one or more
sub-advisers and MFS has engaged Foreign & Colonial Management Limited, an
England and Wales Company, and its subsidiary Foreign & Colonial Emerging
Markets Limited, to assist in the performance of its services.
Under an expense limitation agreement, MFS has assumed expenses for the period
ended June 30, 1997, amounting to $4,496 for the Zero Coupon Series, Portfolio
2000.
Effective March 1, 1997, each Series has an administrative services agreement
with MFS to provide the Series with certain financial, legal, and other
administrative services. As a partial reimbursement for the cost of providing
these services, each Series pays MFS an administrative fee up to 0.015% per
annum of the Series' average daily net assets, provided that the administrative
fee is not assessed on Series' assets that exceed $3 billion.
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 renumeration for their services to the Trust from MFS or Sun Life
Assurance Company of Canada. Certain of the officers and Trustees of the Trust
are officers or directors of MFS or Sun Life Assurance Company of Canada.
4. Portfolio Securities
For the period ended June 30, 1997, purchases and sales of investments, other
than purchased option transactions and short-term obligations, were
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
International Government High Money
Growth and Securities Yield Market
Income Series Series Series Series+
--------------- ------------------- -------------- ---------------
<S> <C> <C> <C> <C>
Purchases
U.S. government securities ........................ $ -- $ 445,250,312 $ -- $7,207,644,263
============ =============== ============= ===============
Investments (non-U.S. government securities) ...... $24,467,390 $ -- $148,634,796 $ 615,348,192
============ =============== ============= ===============
Sales
U.S. government securities ........................ $ -- $ (445,742,555) $ -- $7,217,354,000
============ =============== ============= ===============
Investments (non-U.S. government securities) ...... $17,579,096 $ -- $116,609,804 $ 632,705,000
============ =============== ============= ===============
</TABLE>
+Purchases and sales of investments for the Money Market Series consist solely
of short-term obligations.
<TABLE>
<CAPTION>
Zero Coupon
World Asset World World Series,
Allocation Governments Total Return Portfolio
Series Series Series 2000
------------- -------------- -------------- ------------
<S> <C> <C> <C> <C>
Purchases
U.S. government securities ........................ $11,900,781 $ 92,270,424 $ 3,905,421 $ --
============ ============= ============ =========
Investments (non-U.S. government securities) ...... $67,505,726 $141,718,390 $31,046,937 $ --
============ ============= ============ =========
Sales
U.S. government securities ........................ $11,945,625 $ 72,256,812 $ 5,237,563 $693,618
============ ============= ============ =========
Investments (non-U.S. government securities) ...... $61,977,221 $192,427,893 $22,798,489 $ --
============ ============= ============ =========
</TABLE>
34
<PAGE>
Notes to Financial Statements -- continued
At June 30, 1997, the cost and unrealized appreciation or depreciation in value
of the investment securities owned by each series of the Trust, as computed on
the federal income tax basis, are as follows:
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
International Government High Money
Growth and Securities Yield Market
Income Series Series Series Series
--------------- ----------------- ----------------- -------------
<S> <C> <C> <C> <C>
Aggregate cost ..................... $ 41,371,189 $ 366,937,429 $ 220,790,997 $389,887,613
============ ============= ============= =============
Gross unrealized appreciation ...... $ 4,752,150 $ 3,985,877 $ 9,527,751 $ --
Gross unrealized depreciation ...... (798,604) (2,144,479) (2,719,602) --
------------ ------------- ------------- -------------
Net unrealized appreciation ...... $ 3,953,546 $ 1,841,398 $ 6,808,149 $ --
============ ============= ============= =============
</TABLE>
<TABLE>
<CAPTION>
World Zero Coupon
Asset World World Series,
Allocation Governments Total Return Portfolio
Series Series Series 2000
----------------- ----------------- -------------- ------------
<S> <C> <C> <C> <C>
Aggregate cost .................................... $ 100,689,153 $ 118,788,596 $51,516,579 $3,640,983
============= ============= ============ ===========
Gross unrealized appreciation ..................... $ 9,510,814 $ 922,473 $ 6,610,759 $ 90,193
Gross unrealized depreciation ..................... (1,460,536) (1,530,783) (573,817) --
------------- ------------- ------------ -----------
Net unrealized appreciation (depreciation) ...... $ 8,050,278 $ (608,310) $ 6,036,942 $ 90,193
============= ============= ============ ===========
</TABLE>
5. Shares of Beneficial Interest
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value).
Transactions in Trust shares during the period ended June 30, 1997, are
presented below.
<TABLE>
<CAPTION>
MFS/Foreign
& Colonial
International Government
Growth and Securities
Income Series Series
--------------- ----------------
<S> <C> <C>
Shares sold ......................................................... 1,070,778 2,575,274
Shares issued to shareholders in reinvestment of distributions ...... 48,440 2,083,485
Shares reacquired ................................................... (465,889) (4,441,060)
---------- ------------
Net increase ...................................................... 653,329 217,699
========== ============
<CAPTION>
High Money
Yield Market
Series Series
---------------- ------------------
<S> <C> <C>
Shares sold ......................................................... 9,610,194 413,230,286
Shares issued to shareholders in reinvestment of distributions ...... 1,705,882 9,746,864
Shares reacquired ................................................... (7,337,416) (412,787,809)
------------ --------------
Net increase ...................................................... 3,978,660 10,189,341
============ ==============
</TABLE>
<TABLE>
<CAPTION>
World Asset
Allocation
Series
-------------
<S> <C>
Shares sold ......................................................... 1,988,379
Shares issued to shareholders in reinvestment of distributions ...... 345,265
Shares reacquired ................................................... (276,330)
----------
Net increase (decrease) ............................................. 2,057,314
==========
<CAPTION>
Zero Coupon
World World Series,
Governments Total Return Portfolio
Series Series 2000
---------------- -------------- ------------
<S> <C> <C> <C>
Shares sold ......................................................... 429,561 1,292,588 100,015
Shares issued to shareholders in reinvestment of distributions ...... 477,929 95,674 27,424
Shares reacquired ................................................... (1,783,498) (90,670) (177,368)
------------ --------- ----------
Net increase (decrease) ............................................. (876,008) 1,297,592 (49,929)
============ ========= ==========
</TABLE>
Transactions in Trust shares during the year ended December 31, 1996, are
presented below.
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
International Government
Growth and Securities
Income Series Series
--------------- ----------------
<S> <C> <C>
Shares sold .............................................................................. 3,257,415 8,676,674
Shares issued in connection with the acquisition of the Sun Growth Variable Annuity Fund -- --
Shares issued to shareholders in reinvestment of distributions ........................... -- 1,815,119
Shares reacquired ........................................................................ (605,202) (8,264,354)
---------- ------------
Net increase ........................................................................... 2,652,213 2,227,439
========== ============
<CAPTION>
High Money
Yield Market
Series Series
----------------- ------------------
<S> <C> <C>
Shares sold .............................................................................. 14,159,075 753,646,599
Shares issued in connection with the acquisition of the Sun Growth Variable Annuity Fund -- 666,549
Shares issued to shareholders in reinvestment of distributions ........................... 1,441,300 15,990,553
Shares reacquired ........................................................................ (11,510,196) (643,892,483)
------------- --------------
Net increase ........................................................................... 4,090,179 126,411,218
============= ==============
</TABLE>
<TABLE>
<CAPTION>
Zero Coupon
World Asset World World Series,
Allocation Governments Total Return Portfolio
Series Series Series 2000
------------- ---------------- -------------- ------------
<S> <C> <C> <C> <C>
Shares sold ......................................................... 3,944,274 1,205,318 1,881,285 21,232
Shares issued to shareholders in reinvestment of distributions ...... 102,487 1,907,834 36,211 19,961
Shares reacquired ................................................... (573,164) (2,733,139) (245,154) (62,281)
---------- ------------ ---------- ---------
Net increase (decrease) .......................................... 3,473,597 380,013 1,672,342 (21,088)
========== ============ ========== =========
</TABLE>
35
<PAGE>
Notes to Financial Statements -- continued
6. Financial Instruments
Certain Series of the Trust may trade financial instruments with off-balance
sheet risk in the normal course of their investing activities and to assist in
managing exposure to market risks such as interest rates and foreign currency
exchange rates. These financial instruments include written options and forward
foreign currency exchange contracts.
The notional or contractual amounts of these instruments represent the
investment the series have in particular classes of financial instruments and
do not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered. A summary of
obligations under these financial instruments at June 30, 1997, is shown on the
following pages.
Written Option Transactions -- MFS/Sun Life Foreign & Colonial International
Growth and Income Series
<TABLE>
<CAPTION>
1997 Calls 1997 Puts
---------------------------------- ---------------------------------
Principal Amounts Principal Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
------------------- ------------ ------------------ ------------
<S> <C> <C> <C> <C>
Outstanding, beginning of period --
Deutsche Marks/British Pounds ............... 547 $ 2,097 566 $ 7,297
Japanese Government Bonds .................. -- -- 156,000 10,432
Swiss Francs/Deutsche Marks .................. 371 1,125 824 10,166
Options written --
Australian Dollars ........................... 174 1,175 -- --
British Pounds .............................. -- -- 439 3,313
Deutsche Marks/British Pounds ............... -- -- 1,217 2,041
Japanese Government Bonds .................. -- -- 231,000 13,241
Japanese Yen ................................. 215,193 18,932 -- --
Options terminated in closing transactions --
Australian Dollars ........................... (174) (1,175) -- --
Deutsche Marks/British Pounds ............... -- -- (1,783) (9,338)
Japanese Government Bonds .................. -- -- (296,000) (17,594)
Japanese Yen ................................. (215,193) (18,932) -- --
Swiss Francs/Deutsche Marks .................. -- -- (824) (10,166)
Options exercised --
Swiss Francs/Deutsche Marks .................. (371) (1,125) -- --
Options expired --
Deutsche Marks/British Pounds ............... (547) (2,097) -- --
--------- --------- --------- ---------
Outstanding, end of period .................. 0 $ 0 91,439 $ 9,392
========= ========= ========= =========
Options outstanding at end of period consist of:
British Pounds .............................. -- $ -- 439 $ 3,313
Japanese Government Bonds .................. -- -- 91,000 6,079
--------- --------- --------- ---------
Outstanding, end of period .................. 0 $ 0 91,439 $ 9,392
========= ========= ========= =========
</TABLE>
At June 30, 1997, the MFS/Foreign & Colonial International Growth and Income
Series had sufficient cash and/or securities at least equal to the value of the
written options.
36
<PAGE>
Notes to Financial Statements -- continued
Written Option Transactions -- World Asset Allocation Series
- ------------------------------------------------------------
<TABLE>
<CAPTION>
1997 Calls 1997 Puts
----------------------------------- ----------------------------------
Principal Amounts Principal Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
------------------- ------------- ------------------ -------------
<S> <C> <C> <C> <C>
Outstanding, beginning of period --
Japanese Government Bonds .................. -- $ -- 132,000 $ 12,640
Options written --
Australian Dollars ........................... 2,121 14,329 -- --
Deutsche Marks .............................. -- -- 14,907 24,990
Deutsche Marks/British Pounds ............... 14,930 47,718 -- --
Japanese Government Bonds .................. -- -- 35,000 3,357
Japanese Yen ................................. 1,612,693 120,834 611,583 33,316
Norwegian Krona/Deutsche Marks ............... -- -- 34,067 46,407
Swiss Francs/Deutsche Marks .................. 21,200 146,586 -- --
Options terminated in closing transactions --
Australian Dollars ........................... (2,121) (14,329) -- --
Deutsche Marks .............................. -- -- (14,907) (24,990)
Deutsche Marks/British Pounds ............... (14,930) (47,718) -- --
Japanese Government Bonds .................. -- -- (167,000) (15,997)
Japanese Yen ................................. (521,560) (76,908) -- --
Swiss Francs/Deutsche Marks .................. (5,448) (36,741) -- --
Options expired --
Japanese Yen ................................. (1,091,133) (43,926) -- --
----------- ---------- --------- ----------
Outstanding, end of period .................. 15,752 $ 109,845 645,650 $ 79,723
=========== ========== ========= ==========
Options outstanding at end of period consist of:
Japanese Yen ................................. -- $ -- 611,583 $ 33,316
Norwegian Krona/Deutsche Marks ............... -- -- 34,067 46,407
Swiss Francs/Deutsche Marks .................. 15,752 109,845 -- --
----------- ---------- --------- ----------
Outstanding, end of period .................. 15,752 $ 109,845 645,650 $ 79,723
=========== ========== ========= ==========
</TABLE>
At June 30, 1997, the World Asset Allocation Series had sufficient cash and/or
securities at least equal to the value of the written options.
Written Option Transactions -- World Governments Series
- -------------------------------------------------------
<TABLE>
<CAPTION>
1997 Calls 1997 Puts
----------------------------------- ----------------------------------
Principal Amounts Principal Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
------------------- ------------- ------------------ -------------
<S> <C> <C> <C> <C>
Outstanding, beginning of period --
Deutsche Marks/British Pounds ............ 18,724 $ 71,744 39,219 $ 608,589
Swiss Francs/Deutsche Marks ............... 12,776 38,771 28,241 348,689
Options written --
Australian Dollars ........................ 3,272 22,102 -- --
Deutsche Marks ........................... -- -- 22,975 38,516
Italian Lire .............................. 11,179,772 45,692 11,866,913 46,720
Japanese Yen .............................. 4,183,287 424,179 -- --
Options terminated in closing transactions --
Australian Dollars ........................ (3,272) (22,102) -- --
Deutsche Marks ........................... -- -- (22,975) (38,516)
Deutsche Marks/British Pounds ............ -- -- (39,219) (608,589)
Italian Lire .............................. (11,179,772) (45,692) (11,866,913) (46,720)
Japanese Yen .............................. (4,183,287) (424,179) -- --
Swiss Francs/Deutsche Marks ............... -- -- (28,241) (348,689)
Options expired --
Deutsche Marks/British Pounds ............ (18,724) (71,744) -- --
Swiss Francs/Deutsche Marks ............... (12,776) (38,771) -- --
------------ ---------- ------------ ----------
Outstanding, end of period ............... 0 $ 0 0 $ 0
============ ========== ============ ==========
</TABLE>
37
<PAGE>
Notes to Financial Statements -- continued
Written Option Transactions -- World Total Return Series
- --------------------------------------------------------
<TABLE>
<CAPTION>
1997 Calls 1997 Puts
---------------------------------- ---------------------------------
Principal Amounts Principal Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
------------------- ------------ ------------------ ------------
<S> <C> <C> <C> <C>
Outstanding, beginning of period --
Deutsche Marks/British Pounds ............... 1,747 $ 6,694 1,807 $ 23,292
Japanese Yen ................................. -- -- 118,000 9,006
Swiss Francs/Deutsche Marks .................. 1,194 3,623 2,639 32,577
Options written --
Australian Dollars ........................... 403 2,720 -- --
British Pounds .............................. -- -- 1,110 8,372
Deutsche Marks .............................. -- -- 2,851 4,779
Japanese Yen ................................. 386,457 38,982 437,000 30,955
Options terminated in closing transactions --
Australian Dollars ........................... (403) (2,720) -- --
Deutsche Marks .............................. -- -- (2,851) (4,779)
Deutsche Marks/British Pounds ............... -- -- (1,807) (23,292)
Japanese Yen ................................. (386,457) (38,982) (447,000) (32,057)
Swiss Francs/Deutsche Marks .................. -- -- (2,639) (32,577)
Options expired --
Swiss Francs/Deutsche Marks .................. (1,194) (3,623) -- --
Deutsche Marks/British Pounds ............... (1,747) (6,694) -- --
--------- --------- --------- ---------
Outstanding, end of period .................. 0 $ 0 109,110 $ 16,276
========= ========= ========= =========
Options outstanding at end of period consist of:
British Pounds .............................. -- $ -- 1,110 $ 8,372
Japanese Yen ................................. -- -- 108,000 7,904
--------- --------- --------- ---------
Outstanding, end of period .................. 0 $ 0 109,110 $ 16,276
========= ========= ========= =========
</TABLE>
At June 30, 1997, the World Total Return Series had sufficient cash and/or
securities at least equal to the value of the written options.
38
<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>
MFS/Foreign & Colonial Sales 8/26/97 AUD 477,173 $ 370,251 $ 360,585 $ 9,666
International Growth and 9/30/97-1/07/97 CAD 2,093,080 1,529,572 1,528,958 614
Income Series 8/26/97-1/07/98 CHF 1,060,527 750,365 737,193 13,172
8/26/97-9/30/97 DEM 4,396,511 2,588,670 2,532,071 56,599
8/26/97-1/07/98 ESP 40,202,522 276,933 273,367 3,566
10/14/97-3/16/98 FRF 22,900,000 4,100,986 3,953,605 147,380
10/14/97-3/16/98 JPY 1,026,000,000 9,297,167 9,191,490 105,677
------------ ------------ ----------
$18,913,944 $18,577,269 $ 336,674
============ ============ ==========
---------------------------------------------------------------------------------------------------
Purchases 9/30/97-1/07/98 CAD 2,105,881 $ 1,536,732 $ 1,536,078 $ (654)
8/26/97 CHF 1,561,291 1,074,931 1,076,512 1,581
8/26/97-1/07/98 DEM 2,143,958 1,261,687 1,239,782 (21,905)
8/16/97-1/07/98 ESP 54,029,950 374,222 367,258 (6,964)
1/7/98 GBP 148,081 245,328 244,919 (409)
8/26/97-10/14/97 JPY 590,246,136 5,153,114 5,229,744 76,630
8/26/97 NLG 1,359,163 717,100 695,228 (21,872)
10/14/97 FRF 7,200,000 1,238,880 1,233,972 (4,908)
------------ ------------ ----------
$11,601,994 $11,623,493 $ 21,499
============ ============ ==========
</TABLE>
At June 30, 1997, forward foreign currency exchange contract purchases and
sales under master netting arrangements for the MFS/Foreign & Colonial
International Growth and Income Series amounted to a net payable of $126,903
with Swiss Bank Corp., $19,836 with Merrill Lynch, and $10,827 with Banker's
Trust and a net receivable of $142,802 with SSBL, $89,866 with C.S. First
Boston, $14,965 with Deutschebank, and $4,532 with Chase Manhattan Bank at June
30, 1997. Closed forward foreign currency exchange contracts excluded above
amounted to a net receivable of $4,500 with Goldman Sachs and $2,255 with J.P.
Morgan at June 30, 1997.
<TABLE>
<CAPTION>
Contracts to
Series Transaction Settlement Date Deliver/Receive
- ------------------------------- ------------- --------------------- -------------------
<S> <C> <C> <C> <C>
World Asset Allocation Series Sales 1/07/98 CAD 2,677,624
8/26/97 - 1/07/98 DEM 29,107,726
1/07/98 FRF 10,921,628
8/26/97 JPY 524,484,702
-------------------------------------------------------
Purchases 9/30/97 CAD 2,677,624
8/26/97 - 1/07/98 CHF 16,373,020
8/26/97 - 1/07/98 ESP 368,050,138
<CAPTION>
Net Unrealized
Contracts at Appreciation
Series In Exchange for Value (Depreciation)
- ------------------------------- ----------------- -------------- ---------------
<S> <C> <C> <C>
World Asset Allocation Series $ 1,965,229 $ 1,960,918 $ 4,311
17,137,064 16,810,636 326,428
1,885,445 1,882,736 2,709
4,419,132 4,616,514 (197,382)
------------ ------------ ------------
$25,406,870 $25,270,804 $ 136,066
============ ============ ============
-------------------------------------------
$ 1,954,470 $ 1,950,625 $ (3,845)
11,361,391 11,336,957 (24,434)
2,543,886 2,503,293 (40,593)
------------ ------------ ------------
$15,859,747 $15,790,875 $ (68,872)
============ ============ ============
</TABLE>
At June 30, 1997, forward foreign currency exchange contract purchases and
sales under master netting arrangements for the World Asset Allocation Series
amounted to a net payable of $778,468 with Swiss Bank Corp., $409,927 with
Deutschebank, and $260,625 with Banker's Trust, and a net receivable of
$137,292 with C.S. First Boston, $74,103 with Merrill Lynch, and $14,167 with
Chase Manhattan Bank at June 30, 1997. Closed forward foreign currency exchange
contracts excluded above amounted to a net payable of $55,749 with Goldman
Sachs at June 30, 1997.
39
<PAGE>
Notes to Financial Statements -- continued
<TABLE>
<CAPTION>
Contracts to
Series Transaction Settlement Date Deliver/Receive
- -------------------------- ------------- --------------------- ---------------------
<S> <C> <C> <C> <C>
World Governments Series Sales 8/26/97 AUD 4,804,641
9/30/97 CAD 9,289,749
8/26/97 - 9/30/97 DEM 48,521,263
8/26/97 - 1/07/98 ESP 1,364,478,439
----------------------------------------------------------
Purchases 9/30/97 - 1/07/98 CAD 15,059,595
1/07/98 CHF 9,304,417
9/30/97 - 1/07/98 DEM 52,580,481
8/26/97 ECU 1,154,000
1/07/98 ESP 360,608,978
1/07/98 GBP 3,801,074
8/26/97 JPY 81,975,547
8/26/97 NLG 25,021,254
<CAPTION>
Net Unrealized
Contracts at Appreciation
Series In Exchange for Value (Depreciation)
- -------------------------- ----------------- -------------- ---------------
<S> <C> <C> <C>
World Governments Series $ 3,728,041 $ 3,630,733 $ 97,308
6,773,320 6,767,498 5,822
28,569,439 27,971,208 598,231
9,416,309 9,292,592 123,717
------------ ------------ ----------
$48,487,109 $47,662,031 $ 825,078
============ ============ ==========
-------------------------------------------
$11,001,949 $11,006,487 $ 4,538
6,591,862 6,519,968 (71,894)
30,916,813 30,462,738 (454,075)
1,325,946 1,302,773 (23,173)
2,480,680 2,456,108 (24,572)
6,297,277 6,286,782 (10,495)
666,912 721,549 54,637
13,201,320 12,798,672 (402,648)
------------ ------------ ----------
$72,482,759 $71,555,077 $ (927,682)
============ ============ ==========
</TABLE>
At June 30, 1997, forward foreign currency exchange contract purchases and
sales under master netting arrangements for the World Governments Series
amounted to a net payable of $609,898 with C.S. First Boston, of $368,160 with
Banker's Trust, of $357,077 with Swiss Bank Corp., and of $197,285 with
Deutschebank, and a net receivable of $495,935 with Merrill Lynch, and of
$176,130 with Chase Manhattan Bank at June 30, 1997. Closed forward foreign
currency exchange contracts excluded above amounted to a net receivable of
$163,549 with Goldman Sachs and $26,335 with Morgan Stanley at June 30, 1997.
<TABLE>
<CAPTION>
Contracts to
Series Transaction Settlement Date Deliver/Receive
- --------------------------- ------------- --------------------- -------------------
<S> <C> <C> <C> <C>
World Total Return Series Sales 8/26/97 AUD 937,892
1/07/98 CAD 1,229,592
8/26/97 - 1/07/98 CHF 2,303,984
8/26/97 DEM 3,749,393
--------------------------------------------------------
Purchases 9/30/97 - 1/07/98 CAD 1,019,590
1/07/98 DEM 3,866,471
8/26/97 - 1/07/98 ESP 92,242,675
1/07/98 GBP 389,079
8/26/97 JPY 111,810,656
8/26/97 NLG 3,239,009
<CAPTION>
Net Unrealized
Contracts at Appreciation
Series In Exchange for Value (Depreciation)
- --------------------------- ----------------- -------------- ---------------
<S> <C> <C> <C>
World Total Return Series $ 727,734 $ 708,739 $ 18,995
902,325 900,473 1,852
1,631,216 1,608,312 22,904
2,221,827 2,158,429 63,398
----------- ----------- -----------
$5,483,102 $5,375,953 $ 107,149
=========== =========== ===========
------------------------------------------
$ 746,507 $ 745,588 $ (919)
2,276,806 2,248,585 (28,221)
634,686 628,225 (6,461)
644,587 643,516 (1,071)
897,090 984,157 87,067
1,708,915 1,656,792 (52,123)
----------- ----------- -----------
$6,908,591 $6,906,863 $ (1,728)
=========== =========== ===========
</TABLE>
At June 30, 1997, forward foreign currency exchange contract purchases and
sales under master netting arrangements for the World Total Return Series
amounted to a net payable of $187,401 with Swiss Bank Corp., and of $71,703
with Banker's Trust, and a net receivable of $116,449 with C.S. First Boston,
of $9,696 with Deutschebank, of $5,505 with Chase Manhattan Bank, and of $2,093
with Merrill Lynch at June 30, 1997. Closed forward foreign currency exchange
contracts excluded above amounted to a net payable of $3,507 with Morgan
Stanley and a net receivable of $13,728 with Goldman Sachs at June 30, 1997.
At June 30, 1997, each Series had sufficient cash and/or securities to cover
any commitments under these contracts. See page 19 for an explanation of
abbreviations used to indicate amounts shown in currencies other than the U.S.
dollar.
40
<PAGE>
Notes to Financial Statements -- continued
Futures Contracts -- Government Securities Series
- --------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Description Expiration Contracts Position Depreciation
- --------------------- ---------------- ----------- ---------- -------------
<S> <C> <C> <C> <C>
U.S. Treasury Bonds September 1997 132 Long (212,501)
</TABLE>
At June 30, 1997, the Fund had sufficient cash and/or securities to cover
margin requirements on open futures contracts.
7. Restricted Securities
Each Series of the Trust is restricted from investing more than a certain
amount in securities which are subject to legal or contractual restrictions on
resale. Such restrictions range from between 0% and 15% of the Series' net
assets. At June 30, 1997, the High Yield Series, World Asset Allocation Series,
and World Total Return Series owned the following restricted securities
(consisting of 0.19%, 0.50%, 0.06%, of the net assets of each Series,
respectively) which may not be publicly sold without registration under the
Securities Act of 1933. The Trust does not have the right to demand that such
securities be registered. The value of these securities is determined by
valuations supplied by a pricing service or brokers or, if not available, in
good faith by or at the direction of the Trustees.
<TABLE>
<CAPTION>
Date of Shares/
Series Description Acquisition Par Amount Cost Value
- ------------------------------- ---------------------------------------- ------------- ------------ ---------- ---------
<S> <C> <C> <C> <C> <C>
High Yield Series Atlantic Gulf Communities Corp. 9/25/95 30 $ -- $ 191
Merrill Lynch Mortgage Investors, Inc. 6/22/94 500,000 346,563 434,219
--------- ---------
$346,563 $434,410
========= =========
World Asset Allocation Series Hong Leong Finance 11/1/96 60,000 $211,811 $170,445
Jarvis Hotels PLC 7/2/96 163,000 419,353 376,922
--------- ---------
$631,164 $547,367
========= =========
World Total Return Series Bank Handlowy Warsza 6/18/97 3,000 $ 32,430 $ 34,559
========= =========
</TABLE>
8. Acquisition
At the close of business on December 18, 1996, the Money Market Series acquired
all of the assets and liabilities of Sun Growth Variable Annuity Fund, Inc. The
acquisition was accomplished by a tax free exchange of 666,549 shares of the
Money Market Series (valued at $666,549) for 172,642 shares of Sun Growth
Variable Annuity Fund's net assets on that date ($666,549), which were combined
with those of the Money Market Series. The aggregate net assets of the Money
Market Series after the acquisition were $409,110,729.
41
<PAGE>
Independent Auditors' Report
To the Trustees of MFS/Sun Life Series Trust and Shareholders of The Portfolios
of MFS/Sun Life Series Trust:
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of MFS/Foreign & Colonial International Growth &
Income Series, Government Securities Series, High Yield Series, Money Market
Series, World Asset Allocation Series, World Governments Series, World Total
Return Series, and Zero Coupon Series, Portfolio 2000, (each a portfolio of
MFS/Sun Life Series Trust) as of June 30, 1997, the related statements of
operations for the period then ended, the statements of changes in net assets
for the period then ended and the year ended December 31, 1996, and the
financial highlights for the period ended June 30, 1997 and each of the periods
in the five-year period ended December 31, 1996. These financial statements and
financial highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of the securities owned at June
30, 1997 by correspondence with the custodian and brokers; where replies were
not received from brokers, we performed other auditing procedures. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of the Trust at June
30, 1997, the results of its operations, the changes in its net assets, and its
financial highlights for the respective stated periods in conformity with
generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
August 8, 1997
---------------------------------------------
This MFS/Sun Life Series Trust Semiannual Report is prepared for the general
information of contract owners. It is authorized for distribution to
prospective investors only when preceded or accompanied by the current
prospectus and semiannual report for the product being sold.
42
<PAGE>
MFS[RegTM]/Sun Life Series Trust
500 Boylston Street, Boston, MA 02116-3741
Trustees
JOHN D. McNEIL*, Chairman and Trustee
Chairman, Sun Life Assurance Company of Canada,
Toronto, Ontario, Canada
SAMUEL ADAMS, Trustee
Partner, Warner & Stackpole,
Boston, Massachusetts
J. KERMIT BIRCHFIELD, Trustee
Chairman, Display Tech, Inc. (manufacturer of
liquid crystal display technology)
Gloucester, Massachusetts
WILLIAM R. GUTOW, Trustee
Vice Chairman, Capitol Entertainment Management Company
(Blockbuster Video franchise)
Dallas, Texas
DAVID D. HORN*, Trustee
Senior Vice President and General Manager,
Sun Life Assurance Company of Canada,
Wellesley Hills, Massachusetts
GARTH MARSTON, Trustee
Retired Chairman, The Provident Institution for Savings,
Boston, Massachusetts
DERWYN F. PHILLIPS, Trustee
Retired Vice Chairman, The Gillette Company,
Boston, Massachusetts
Officers+
W. THOMAS LONDON, Treasurer
MARK E. BRADLEY, Assistant Treasurer
ELLEN MOYNIHAN, Assistant Treasurer
JAMES O. YOST, Assistant Treasurer
STEPHEN E. CAVAN, Secretary and Clerk
JAMES R. BORDEWICK, JR., Assistant Secretary
Portfolio Managers+
STEPHEN C. BRYANT
GEOFFREY L. KURINSKY
JUNE SCOTT
BERNARD SCOZZAFAVA
FREDERICK J. SIMMONS
D. RICHARD SMITH
JAMES T. SWANSON
(on behalf of the MFS World
Asset Allocation Committee)
IAN K. WRIGHT
Investment Adviser
Massachusetts Financial Services Company
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
Auditors
Deloitte & Touche LLP
125 Summer Street, Boston, MA 02110-1617
*Affiliated with the Sponsor.
+Affiliated with the Investment Adviser. SUN-3-B 8/97 184M
