MFS(R)/Sun Life Series Trust
SEMIANNUAL REPORT [bullet] June 30, 1998
Capital Appreciation Series
Conservative Growth Series
Emerging Growth Series
Managed Sectors Series
Research Series
Total Return Series
Utilities Series
World Growth Series
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NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
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Letter from the Chairman
Dear Contract Owners:
With the U.S. stock market well into its fourth year of record-breaking
advances, it is necessary to take a cautious outlook. By most commonly accepted
measures, equity valuations appear to have risen to a point at which the stock
market has become more vulnerable to changes in the investment environment such
as rising inflation and interest rates or a slowing economy. As a result, while
we continue to hold a favorable long-term outlook for the equity markets, we
also believe that a significant market correction is possible and that such a
correction would be a healthy near-term event.
Currently, equity investors seem to be primarily focused on interest rates,
which have been relatively stable for several months as inflation has remained
low. In an environment of low interest rates, stocks become more attractive than
most fixed-income investments, while low inflation helps control companies'
costs, such as for raw materials, wages, and benefits. The near-term outlook for
a continuation of this environment appears relatively favorable. However, this
year has seen a marked slowdown in corporate earnings. This means that as equity
prices continue to rise, price-to-earnings (P/E) ratios, or the amount an
investor pays for a stock in relation to the company's earnings per share, also
go up. A year ago, the average P/E ratio for stocks in the unmanaged Standard &
Poor's 500 Composite Index stood at approximately 22; this summer, the average
P/E ratio was 32% higher, at about 29. In some cases, such as with some of the
newer companies associated with the Internet, P/E ratios have soared to levels
that are unlikely to be sustained.
As long as interest rates remain low and the economy continues to grow, it is
possible that some of these valuations can be supported. We expect corporate
earnings to grow 4% to 6% this year. However, just as no one can predict market
cycles, so too no one can predict economic cycles -- except to say that these
cycles do exist and that an economic slowdown at some point is inevitable.
Internationally, the economic turmoil in Asia continues to be a concern to us,
and we believe the United States has yet to see the full impact of this crisis.
There have been brief periods when some Asian economies appeared to improve, but
the situation remains quite dynamic and could turn worse before getting better.
While the crisis has affected all countries in Asia, Japan was a major factor
behind the turmoil as excesses in its banking and real estate sectors have led
to severe currency problems. In the long run, Japan will be the engine that
drives the region's eventual recovery, thus it warrants closer investor
scrutiny. At the same time, the Asian turmoil has had the beneficial effect of
moderating U.S. growth and keeping inflation in check, which has helped
establish a favorable interest-rate environment.
Countering the situation in Asia has been the greater-than-expected strength of
European economies. As Europe moves toward economic union, these countries have
benefited from a convergence of interest rates to lower levels, a rapid
expansion of manufacturing and service businesses, and an increasingly strong
consumer sector. This has helped American exporters offset some of their Asian
losses, while providing numerous investment opportunities in developed and
emerging European markets.
Given the uncertainty arising from these conflicting developments, we believe it
is prudent to remind investors of the need to take a long-term view and to
diversify their investments across a range of asset classes. This includes
portfolios that focus on bonds and international investments as well as on the
U.S. stock market. The likelihood of an eventual market correction also makes it
important for us to use original, bottom-up research to find companies that we
think can keep growing or gain market share in the face of the occasional
downturn. To help achieve this, and to provide the broadest possible coverage of
industry sectors and individual companies, MFS continues to increase its number
of full-time research analysts. These analysts thoroughly investigate each
company's earnings potential and position in its industry as well as the overall
prospects for that industry.
MFS also uses active portfolio management on the fixed-income side, taking
advantage of our extensive research and credit analysis to help reduce the
potential for price declines and enhance the opportunity for appreciation. Every
year, both fixed-income and equity managers meet with thousands of credit
issuers and companies. They also attend many presentations, closely follow
sources of industry research, and keep track of competitors.
We believe that applying this discipline of thorough, bottom-up research to both
the equity and fixed-income markets is the best way to provide favorable
long-term performance for our shareholders -- regardless of changes in the
overall market environment.
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 those 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 13, 1998
Management Review and Outlook
Capital Appreciation Series
For the six months ended June 30, 1998, the Series provided a total return of
19.87%, which compares to a 17.71% return for the Standard & Poor's 500
Composite Index (the S&P 500), a popular, unmanaged index of common stock total
return performance.
The Series' investment philosophy is based on five elements. We seek steady
earnings growth because we believe that earnings drive stock prices. We take a
close look at the quality of a company's management because we feel that
management adds value to a company's prospects. In addition, we focus on
companies that take advantage of positive business trends that can lead to high
growth and expanded margins. We also like to see strong cash flow in our
companies, which can be used for stock buy-backs or acquisitions that can
enhance stock valuations. Finally, we often buy when we believe the price of a
stock is low and its underlying fundamentals are solid enough to make the
correction short term. We sell stocks when any of these elements are missing or
change substantially for the worse.
The portfolio was heavily invested in companies that were strong individual
performers in sectors that did quite well during the first half of the year.
For example, computer software, an area in which
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Management Review and Outlook -- continued
we are more heavily invested in comparison to the S&P 500 (19.1% versus 3.7%),
was up strongly in the first half. Holdings such as Microsoft and BMC Software
all performed quite well. Our investments in broadcast media stocks such as CBS
and Clear Channel also boosted the Series' return thanks to consolidation in the
industry and strong advertising rates. The miscellaneous sector, consisting of
conglomerates, is essentially comprised of Tyco International stock, which had a
very strong year. Tyco has all but perfected the art of buying and integrating
companies effectively. The stock was up about 40% for the first half of the
year.
Looking ahead, we expect continued growth from our technology holdings as
worldwide demand for technology products increases, spurred by the need for
Europe and Asia to make up for their historical lack of investment in the types
of technology that can often boost business productivity. The regions outside
the United States need to keep pace technologically if they wish to compete
effectively in the world economy.
We are equally optimistic about the leisure sector, specifically our broadcast
media investments, because those companies should be able to offer better
advertising packages to potential customers, again thanks to the consolidation
wave.
Some of the stocks that performed well in the first half of the year included
Colgate, which realized a 20% increase boosted by its new Total toothpaste. As
mentioned before, Clear Channel Communications is having an excellent year and
has grown its share price by 37% in the first part of 1998. The company is
benefiting from the consolidation wave but also has good cash flow generation,
strong earnings growth and, we believe, the best management in its industry.
This should be a very good long-term investment. Another impressive stock is
McDonald's, which is undertaking a corporate restructuring designed to improve
efficiency and boost product quality. So far the program has resulted in
increased revenue growth per store and a share price increase of 44% since the
end of 1997.
Even in a bull market, individual stocks can disappoint. Cendant, a hotel, real
estate, and consumer services company franchiser that was created by a merger of
HFS and CUC International, has been a major disappointment. Earlier this year
the company uncovered potential accounting fraud in the former CUC, and we're
closely monitoring the situation while the company reviews its accounting
practices and attempts to uncover the depth of the problem. IKON Office
Solutions, a provider of office products and computer and networking solutions,
also failed to meet its revenue and profitability targets and has performed
poorly as a result.
Regarding the impact of the Asian economic turmoil on the Series, we eliminated
or sharply reduced our holdings in companies that we felt had a large exposure
there. This is most apparent in our semiconductor holdings, in which we are now
underweighted in comparison to the S&P 500. Most prominently, we reduced our
Intel holding. As a result, we feel we have minimized the negative impact of the
Asian crisis on this portfolio.
The Series has little direct investment in European stocks. However, the
strength of the European economies and the easing of barriers to international
trade made possible by the upcoming implementation of a single European currency
could have a positive impact on U.S. stocks in our portfolio that have
significant European exposure. As their markets expand, their earnings growth
may increase as well.
Among the major changes in the portfolio, we eliminated Philip Morris from our
top holdings list. After meeting with corporate management earlier in the year,
we determined that there was little prospect for growth given the current
political situation surrounding tobacco companies. As mentioned previously,
Intel also was reduced in the portfolio. We feel that it's a very good company,
but now is not the time to be investing in its shares due to the potential
impact on the company of the Asian economic slowdown.
For the remainder of 1998, we'll continue to focus on earnings growth because we
believe earnings drive stock prices. At this time, we feel that stocks are at a
high valuation level, and we anticipate limited upside in the values of stocks.
In this type of market, in which earnings missteps are severely punished by Wall
Street, we need to have a high degree of confidence in our portfolio companies'
abilities to generate consistent earnings. We're anticipating moderate gross
domestic product (GDP) growth and moderate inflation. This scenario provides a
good backdrop for the stock market and should result in moderately positive
earnings growth.
Conservative Growth Series
For the six months ended June 30, 1998, the Series provided a total return of
16.89%, which compares to a 17.71% return for the S&P 500.
We feel the strength of this portfolio's long-term performance is the result of
our adherence to a strong investment discipline. We invest in
large-capitalization, high-quality companies, seek growth at a reasonable price,
strive for a dividend yield that is 90% that of the S&P 500, seek to keep
volatility lower than that of the S&P 500, and try to stay fully invested. Just
as important, MFS(R) Original Research(SM), our process of selecting stocks
through in-depth fundamental analysis of companies' earnings outlooks,
managements, business models, competitive strategies, market positions, and
growth prospects, sets us apart and has been a clear factor in our success.
In the financial services sector we're featuring investments in insurance
companies based on their fundamental strengths and as a means of leveraging the
growing trend toward consolidation in this industry. Consolidation will allow
companies to function more efficiently and produce cleaner, more profitable
balance sheets that positively impact share prices. Because consolidation in the
insurance industry is a newer phenomenon than it is in the banking business, we
are focusing less on banking and brokerage stocks. Some key holdings for the
sector include Hartford Financial Services, Chubb, and Allstate.
Air Products, an industrial gas company, is a new stock in the portfolio's top
10 that exemplifies the type of company we seek out. It locates its plants at
customer sites, and customers contract to take a certain amount of product or to
pay the difference for what they don't use. Any excess product that the plant
can make is sold to other customers, which helps keep plants running more
profitably. Also, the company has modified its management compensation plan to
focus on earnings growth. As a result, Air Products is more rigorously examining
its corporate investments, which has helped earnings growth more easily reach
the bottom line. The company has potential earnings growth in the mid teens, and
its stock sells for a reasonable price given its earnings prospects, so we get
growth at a good price.
One of the household names in the portfolio, and a long-term holding, is
Gillette. Its much-touted new razor product is an excellent example of the
strength of the company's business model. Unlike companies that rely on gaining
new customers or increasing consumption among existing customers, Gillette has
built a successful business by constantly improving its products and convincing
customers to pay more for them.
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Management Review and Outlook -- continued
Consolidation is a theme that has been prominent in many industries recently.
Among mergers that have had an impact on this portfolio is the one between
American Home Products (AHP) and Monsanto. This is a very strategic merger for
both companies. American Home Products, one of the world's largest
pharmaceutical and health care companies, produces products such as Advil and
Robitussin. Monsanto, in addition to producing well-known products like
NutraSweet and Round-Up, has cutting-edge agricultural products that should
thrive under AHP's management and strong financial discipline. We are optimistic
about the new company's growth prospects.
While the portfolio is allowed to invest up to 35% of assets in international
stocks, we'll probably never reach that level. Currently, we're only about 8%
invested in non-U.S. dollar stocks and feel that 10% to 15% is a reasonable
maximum. We only invest overseas if we find a company with quality and growth
potential equivalent to those of a U.S. company and whose stock is selling at a
discount sufficient to compensate for currency risk. As a result of this
investment strategy, the portfolio doesn't have much exposure to economies in
Asia such as Malaysia, Indonesia, and Singapore. Japan is a consumer economy,
and some of our holdings have a presence there. However, U.S. companies have had
a hard time selling products in Japan because of that country's trade barriers.
This has provided some protection that, combined with the strength of the
European and American economies, has limited the impact of Asian turmoil on
stocks in the portfolio.
Emerging Growth Series
For the six months ended June 30, 1998, the Series provided a total return of
21.17%. This compares to a 4.93% return for the Russell 2000 Total Return Index
(the Russell 2000) and to a 17.71% return for the S&P 500. 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.
Low inflation, low interest rates, and a robust U.S. economy created a positive
backdrop for emerging growth stocks in the first half of 1998. It was, however,
a volatile period. Although seemingly far away, the economic problems in Asia
were probably the most important factors affecting the U.S. market during this
period. Concerns relating to Asia drove liquidity premiums to very high levels
- -- in other words, investors were willing to pay much higher valuations for the
liquidity offered by larger-capitalization stocks. Consequently, the mid-cap and
larger-cap growth stocks in our portfolio tended to outperform the smaller
stocks during this period. Also, concerns about Asia affected companies with
significant exposure to the region, such as technology stocks, many of which
experienced a roller-coaster ride. Fortunately, the portfolio's technology
holdings were primarily in computer software and networking rather than in the
more volatile semiconductor stocks, which have a lot of business in Asia.
The Series continued to benefit from the solid performance of its technology
holdings, whose earnings were surprisingly strong despite issues relating to
Asia. Stocks that contributed to performance included Cisco Systems, Microsoft,
SAP, BMC Software, and Compuware -- all of whose products were in strong demand
by companies seeking increased productivity. Consolidation in the
telecommunications industry helped increase value in holdings such as WorldCom,
MCI, and Global Telesystems. Better-than-expected earnings and industry
consolidation also helped other companies, such as Tyco International and
AirTouch. One stock that did not do as well as we would have liked was Cendant,
the company created by the merger of HFS and CUC International. Earlier this
year the company uncovered potential accounting fraud in the former CUC, and
we're closely monitoring the situation while the company reviews its accounting
practices and attempts to uncover the depth of the problem.
Looking ahead, we see a number of things affecting our market. First, the
potential for interest rates to rise from currently very low levels is something
we're always on the lookout for, given the continued strength of the U.S.
economy and the tight labor market. If rates rise, the valuations of
interest-sensitive stocks such as financials and television and radio
broadcasters could come under pressure. So, to be on the cautious side, we have
trimmed some of our holdings in these areas.
Second, we believe we are at the beginning of a slowdown in profit growth for
both the economy and the S&P 500. We've already seen the early manifestations of
this in the first half of 1998, with earnings disappointments for quite a few
companies. We think this bodes well for emerging growth stocks because many of
them are expected to generate earnings growth far superior to that of the
broader market. As a result, technology continues to be an area of emphasis
since selected software and networking companies are generating some of the
strongest, most consistent earnings growth we have been able to identify.
Another area we believe offers great potential is the business and computer
services market, which includes information technology and outsourcing firms
that help other companies focus on their core businesses.
Telecommunications is another industry displaying opportunities due to increased
competition and global consolidation. In our view, the companies that can grow
the fastest will be well rewarded by the marketplace. Thus, we believe that our
strategy of searching out rapidly growing companies early in their developments
and growth stocks at reasonable prices should benefit investors in 1998.
Managed Sectors Series
For the six months ended June 30, 1998, the Series provided a total return of
11.66%, compared to a 17.71% return for the S&P 500.
The Series has had exposure to two sectors, energy and health care, that had
weak relative performance in the first half of this year. Also this year, oil
supplies increased while demand slackened, particularly in Asia, and stocks
suffered as a result. We continue to have a positive outlook for companies in
the oil services sector such as Cooper Cameron, EVI Weatherford, and Noble
Drilling because of their strong balance sheets and managements. We believe
these stocks will recover.
In health care, while the Series' drug company holdings and retailers such as
CVS and Rite Aid have done well, stocks of nursing homes, health maintenance
organizations (HMOs), and providers of outpatient services have been under
pressure and have thus acted as a drag on the Series' performance. We believe
the difficulties these stocks have had thus far in 1998 are the result of
confusion and concern regarding the regulatory landscape, and any potential
impact on pricing. In our view, the fundamental outlook for these companies is
still promising. The prices of these stocks is attractive given their relative
valuations. We will continue to own them in the absence of any fundamental
changes.
Another important sector in the Series is technology. We've focused most heavily
on software companies and believe their growth will continue to be driven by
worldwide demand due to
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Management Review and Outlook -- continued
the critical role software plays in improving corporate productivity and
efficiency. Some of our brightest performers here include Microsoft, EMC, Aspect
Telecommunications, Cisco Systems, and BMC Software.
The Series' largest holding is Tyco International, a conglomerate with an
excellent management team that is a leadership position in each of its four
major industry segments. The company has been an aggressive acquirer. Its strong
cash generation further boosts its expansion of operating efficiencies. It has
rewarded the Series with strong performance and, based on our expectations, we
believe the company remains attractive.
Major changes in the portfolio for the first half of the year include reductions
in companies' stocks that had too much exposure to Asian markets. Specifically,
we eliminated semiconductor holdings such as Atmel, Intel, and Micron. These
were replaced in the technology sector by those companies mentioned previously.
We've added to our financial services holdings, particularly in stocks of what
we call "new emerging financial intermediaries," which are secondary lenders,
insurance companies and asset gatherers like Associates First Capital, Morgan
Stanley, and Lincoln National. The portfolio does not have a major focus on big
banks. Individual stock performance in this sector has been boosted by the
continued prospects for consolidation in the industry.
In the first half of this year, we reduced our holdings in hotel and
investments, especially in low- to mid-tier companies, because we anticipate
less growth there due to a slowing U.S. economy and an expected increase in the
supply of hotel rooms. In gaming stocks, we saw no new jurisdictional openings,
and an increase in hotel room supply in Las Vegas resulted in an expectation of
weaker business performance.
For the balance of 1998, we believe the market will continue to feel the impact
of the Asian turmoil. We are optimistic that the better-positioned companies in
the health care industry will rebound, and that energy companies will recover
from a weak first half as supply and demand become more balanced. Technology
will continue to be a mainstay of the Series, and performance there may further
benefit from increased worldwide demand as Europe and Asia step up technology
purchases to keep pace in the global economy.
Research Series
For the six months ended June 30, 1998, the Series provided a total return of
18.62%, compared to a 17.71% return for the S&P 500.
The Series' favorable performance relative to the S&P 500 over the past six
months can be attributed to our relative overweightings in the technology
sector, in which our stocks have rebounded very nicely from a tumultuous fourth
quarter in 1997, and in the retailing and business services sectors, in both of
which our analysts continue to find exceptional performers. The Series is also
overweighted in financial services, which our analysts continue to see as an
attractive sector, and in transportation, in which we have focused on the
industry leaders.
During the first and second quarters of 1998 sector weightings in the portfolio
have not shifted a great deal, as our analysts have maintained their positions
in stocks they feel can be long-term achievers. The only significant changes
have come in the consumer staples and energy sectors. Regarding consumer
staples, we have decreased our position by more than 4% by selling Coca-Cola and
Philip Morris stock. Our food and beverage analyst was concerned that
Coca-Cola's significant Asian exposure could have negative volume and currency
implications for the company, and that the demise of the congressional tobacco
settlement would create further legislative uncertainty and difficulties for
Philip Morris.
In the energy sector, we have increased the portfolio's weighting by over 3%
because our analysts have noticed a compelling trend in oil-sensitive stocks. As
Asian economies fell in the latter part of 1997, a supply and demand
"disconnect" was created because these Asian countries comprise a key component
of global demand. Oil prices plummeted, and oil-sensitive stocks began to
underperform the market. However, our analysts have since picked up on various
signals that this "disconnect" should begin to correct and that oil companies
should benefit from an improvement in oil prices spurred by reduced production.
As a result, we have invested in blue-chip oil companies such as Chevron,
Texaco, and British Petroleum. The risk/reward trade-offs for these companies
have become very attractive recently, and all methods of valuation appear
favorable relative to the market.
Over the past six months our analysts have increased the portfolio's weighting
in health care. Within this sector, the portfolio is overweighted in medical
services and managed care companies such as United Healthcare, HBO & Co., and
Tenet Healthcare, as well as in pharmaceutical companies. In the managed care
industry, our analysts believe that after years of poor pricing the cycle has
finally turned and should translate into substantial margin expansion for these
companies over the next two to three years. Our pharmaceutical analyst continues
to look for companies that are focused on new product development, such as
Bristol-Myers Squibb and American Home Products. Both companies continue to
generate new products and have quite strong growth rates. All of these health
care companies performed very well over the first six months of 1998 and
contributed to the Series' performance.
The portfolio also remains significantly overweighted in the technology sector.
The concentration in this sector has shifted toward companies that participate
in the high-end product market, in which demand has remained strong and in which
we have found good growth opportunities. The Series has trimmed positions in
technology stocks that are more likely to be impacted by the continuing turmoil
in Southeast Asia. Microsoft continues to be the top holding in the portfolio
and has performed exceptionally well over the first two quarters of 1998, during
which the company introduced new products and posted strong earnings. Compuware,
BMC Software, and Cisco Systems are substantial holdings and strong performers.
The Series remains overweighted in retailing, a sector in which companies such
as Rite Aid, Home Depot, and Safeway have enhanced returns, and in the financial
services sector, in which companies continue to benefit from cost-cutting,
consolidation, and low inflation. Conversely, the Series remains underweighted
in utilities and communications relative to the S&P 500 because our analysts
believe that deregulation will decelerate the earnings of the large players in
this industry as competition increases. We are therefore focusing on the smaller
companies that are likely to be acquired in a consolidation environment.
The Series will continue to seek fundamentally strong companies to add in the
year ahead. The portfolio continues to be based upon the research analysts' best
ideas within their industries. Stocks are selected after careful, in-depth
fundamental analysis
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Management Review and Outlook -- continued
of companies' earnings outlooks. These companies typically demonstrate dominant
or growing market share, quality products, superior management teams, and strong
financial statements. Portfolio sector and industry weightings are a fallout of
the "best ideas" stock-selection process. However, the analysts revisit
weightings regularly to assure agreement within the changing economic landscape.
Total Return Series
For the six months ended June 30, 1998, the Series provided a total return of
8.71%, compared to returns of 17.71% for the S&P 500 and 4.11% for the Lehman
Brothers Government Corporate Bond Index (the Lehman Index), an unmanaged,
market-value-weighted index of U.S. Treasury and government-agency securities
(excluding mortgage-backed securities) and investment-grade domestic corporate
debt.
Given what we view as high valuations in the stock market, the Series has
maintained a fairly conservative weighting in equities. Currently, approximately
59% of assets are invested in common stocks, convertibles, and preferred
securities, which is below the allocation for the balanced-fund peer group.
As the year progresses, we believe it will become more difficult to make money
in the equity markets. As prices continue to rise, corporate earnings have
slowed and investors have become more selective. At the same time, the
interest-rate environment is favorable, and the perception that rates are going
to stay low, or even move lower, seems to be providing continued support for the
stock market.
In stocks, the Series' largest sector weighting is financial services, an
industry in which valuations are attractive and earnings growth is higher than
that of the average company. Many of the earnings growth rates of these
companies are in the double digits, and their yields are good. Also,
consolidation has made this sector more attractive because these companies are
able to cut costs. Holdings here include National City and PNC in banking and
Lincoln National in insurance.
Another large sector is utilities and communications, in which we see some
attractive valuations. On the electric side, we think growth is modest but
prices relative to anticipated earnings appear good compared to the S&P 500. In
telecommunications, we see not only good valuations but also ongoing
consolidation and growth, both of which we think could enhance capital
appreciation.
We continue to shy away from the technology sector. Given our objective to
provide consistent returns with low volatility, we have not seen much
opportunity within this sector.
Based on our outlook for interest rates remaining low, the duration, or
sensitivity to changes in interest rates, of the Series' bond allocation is
slightly longer than that of the Lehman Index. Most of this allocation is in the
corporate sector because we believe that as long as the economy remains sound
and inflation remains low, corporate bonds should continue to perform well.
About 20% of this allocation is in high-yield corporates. Healthy economic
growth has contributed to the high-yield market's performance as more companies
have posted improved operating results and have had little trouble making their
debt payments. The biggest high-yield sector is media and entertainment and
includes Time Warner, News Corp., and Telecommunications, Inc. This industry
continues to benefit from consolidation and cost-cutting resulting from the 1996
Telecommunications Act.
Utilities Series
For the six months ended June 30, 1998, the Series provided a total return of
11.56%. This compares to a 6.90% return for the Standard & Poor's Utility Index
(the Utility Index), an unmanaged, market-capitalization-weighted, total return
index of all utility stocks in the S&P 500. For the same period, the S&P 500
returned 17.71%.
This is a flexibly managed portfolio that seeks great investment ideas around
the world. The Series seeks to attain its goals of capital appreciation and
steady income by blending stock and bond investments. We invest at least 65% of
our assets in utility companies, while 35% of assets can be invested in foreign
securities. The portfolio is typically allocated 80% to stocks and 20% to bonds
and convertible securities, which has allowed it to achieve solid capital
appreciation and a steady income stream.
The strength of our research has been a key factor in the long-term success of
this portfolio. By gaining a real understanding of companies' fundamental
strengths, the abilities of their management teams, and the regulatory
environment in which utility companies operate, we believe we can pick stocks
that offer the greatest prospects for growth anywhere in the world. It's
important to stress that we don't buy securities on a sector-weighting or
regional-allocation basis. We buy individual companies that meet the portfolio's
criteria. As long as a company's regulatory environment and fundamental outlook
are sound, and we have faith in its management team, we are willing to buy. For
example, Chilectra, a Chilean electric power provider, is a well-run company
that has taken advantage of Chile's very rational industrial regulations to grow
a successful business. Now Chilectra is investing in distribution businesses in
Argentina, Peru, Brazil, and Colombia. We expect that Chilectra's management
strength and business model will help make these other operations successful as
well.
Another attractive stock in our portfolio is CalEnergy, an independent power
provider based in the United States. This is a great company that is making
inroads in both emerging markets like the Philippines, where it serves as a
power generator, and in developed markets such as the United States, the United
Kingdom, and Australia, where it provides both power generation and power
distribution services. We feel the stock represents a good value now and may be
a good partner for a bigger player in the industry.
Because the U.S. gas and electric industries are fairly mature, there is ample
room for cost savings through consolidation in many companies. This could result
in cleaner balance sheets and corresponding boosts in earnings growth and
valuations. Though we feel this would make good economic sense, the realization
of the scenario is hindered by the domestic regulatory environment, which makes
consolidation difficult. The Public Utility Holding Company Act is a roadblock
to consolidation and, until it is repealed, it's unlikely that there will be
much more activity. If the regulations change, we anticipate a flurry of
activity that would be beneficial to individual stocks.
In the telecommunications industry, a company's ability to handle data --
including Internet, fax, and wide-area network traffic -- is the key
differentiator in its ability to compete in the future. In fact, in some parts
of California, electronic data traffic already exceeds traditional telephone
transmissions, and the volume of fax communications there is greater than that
of telephone communications between the United States and Europe. The greatest
opportunities for telecommunications companies lie in bundling
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Management Review and Outlook -- continued
Internet and other enhanced services with phone service as a means of broadening
their offerings to customers, enhancing their sales opportunities, and creating
the perception of leadership.
Merger activity in the sector has been heavy and has aided stock performance.
The WorldCom and MCI union is one of the more prominent among these, and
WorldCom continues to be one of the biggest positions in the portfolio. We feel
that the merger will create the best-positioned large-cap telecommunications
company in the world. Both companies grew up with a highly entrepreneurial
attitude that they've used to successfully compete with monopolies in the United
States. They are now exporting that attitude and business model and are finding
success competing against the big telecommunications companies of Europe.
World Growth Series
For the six months ended June 30, 1998, the Series provided a total return of
13.00%. This compares to a 16.86% return for the MSCI World Index, a broad,
unmanaged index of global equities. The Series' performance has been helped by
its overweighting in U.S. technology and European stocks and an underweighting
in Japanese and other Southeast Asian companies. Overall, we've had strong
markets in many parts of the world, driven in part by low or declining interest
rates, very low inflation, and stronger-than-expected economic growth.
At the same time, Japanese stocks with a lot of exposure to the domestic
economy, such as Nippon Broadcasting and Secom, did not perform as well as
expected because the Japanese economy continued to be in the doldrums. In
emerging markets, Egypt suffered as a result of the massacre in Luxor, while
Russia underperformed because of political infighting over the appointment of a
new prime minister. We believe both problems will improve over time. Also, a
major disappointment has been Cendant, a hotel, real estate, and consumer
services company franchiser that was created by the merger of HFS and CUC
International. Earlier in the year the company uncovered potential accounting
fraud at CUC, so we're closely monitoring the situation while the company
reviews its accounting practices and attempts to uncover the depth of the
problem.
In general, the past six months have been a volatile period, but one that has
created opportunities. Concerns relating to Asia drove liquidity premiums to
very high levels -- in other words, investors were willing to pay much higher
valuations for the liquidity offered by the largest-capitalization stocks. So
the Series' large-cap stocks tended to outperform its small and mid-cap stocks.
Also, concerns about Asia affected companies with significant exposure to the
region, such as technology stocks, many, of which experienced a roller-coaster
ride. Fortunately, the Series' technology weightings were primarily in software
rather than the more volatile semiconductor stocks, which have a lot of business
in Asia. Issues surrounding Asia also dampened investors' enthusiasm for other
non-Asian emerging markets, which caused the emerging markets portion of the
Series to contribute less to overall performance. On a positive note, however,
slowing demand from Asia and much lower prices for Asian goods have helped
maintain inflation at unexpectedly low levels in all of the developed markets,
which has helped many of our holdings.
Of the three major markets in which the Series has investments, the United
States remains one of our favorites because of low inflation, low interest
rates, and a robust economy. Among all industries, technology continues to be an
area of emphasis since companies in this sector are generating some of the
strongest earnings growth we've been able to identify. Our holdings are
primarily in software, a sector in which we own leading database, design
automation, and mainframe software companies such as Cadence Design Systems, BMC
Software, Compuware, and Microsoft. These companies have strong new product
cycles, dominant positions, and products that are helping companies around the
world become more productive. Another area that we believe offers great
potential is the business and computer services market. We own, for example,
information technology and outsourcing firms that help other companies focus on
their core businesses.
In the developed foreign markets, our focus is on Europe, where inflation is
low, interest rates continue to decline, and economic growth is accelerating,
all of which is leading to generally positive earnings surprises. Among
companies that we think will benefit from this environment are financial
services companies in Europe that have consolidation and cost-cutting
opportunities similar to those U.S. banks enjoyed in the 1980s. Some of our
favorite companies are Banco Espirito Santo and Banco Pinto & Sotto Mayor in
Portugal and Irish banks such as Anglo Irish and Allied Irish Bank. These
financial services companies are benefiting from the higher valuations of their
counterparts in the United States, where merger and acquisition activity has
been intense. We also like a number of the consumer staples companies in Europe,
where stronger-than-expected consumer demand is leading to positive earnings
surprises. In Japan, we continue to like the blue-chip exporters such as Sony,
TDK, and Kirin Beverages, all of which have been helped by the weak Yen.
Finally, in emerging markets, our favorite regions are Eastern Europe, the
Middle East, and Africa, collectively known as EMEA. For example, in South
Africa valuations are attractive, interest rates are declining, and companies
are beginning to undertake Western-style corporate restructuring. Another
country we think offers opportunity is Egypt, a market with 16% earnings growth
and a 4.5% dividend yield selling only at 11 times next year's earnings. Morocco
is another interesting, surprisingly high-growth market that we view as being
full of many well-managed companies. From an industry perspective, our holdings
tend to be in telecommunications and banking. Growth is still quite healthy for
most telecommunications companies and their valuations are also quite
attractive, while banks are appealing because they are generally growing faster
than the local economy and are selling at below-average valuations.
We are happy to say that, prior to the Asian crisis, we had very little
invested in Southeast Asia. Currently, the only markets that we think are
interesting are South Korea, Malaysia, and, to a lesser extent, Hong
Kong/China. In South Korea, government authorities have undertaken structural
reforms, while Malaysia has managed to avoid significant foreign debt. In
general, though, we still are underweighted in the region because we think the
problems there could last for a while. While currencies have depreciated quite
significantly, as much as 60% to 70% in some cases, many companies are still
overleveraged with foreign debt and many of them are going bankrupt. As a
result, we are being very selective and are looking for companies with strong
balance sheets and good underlying asset quality.
----------------------------------------------
The opinions expressed in this report are those of the portfolio managers and
are only through the end of the period of the report as stated on the cover. The
managers' views are subject to change at any time based on market and other
conditions, and no forecasts can be guaranteed.
6
<PAGE>
Performance Summary
Because MFS(R)/Sun Life Series Trust is designed for investors with
long-term goals, we have provided cumulative results as well as the average
annual total returns for the applicable time periods.
Average Annual and Cumulative Total Rates of Return through June 30, 1998
Capital Appreciation Series
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years/Life
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cumulative Total Return +19.87% +28.04% +101.42% +149.56% +480.57%
- -------------------------------------------------------------------------------------------------
Average Annual Total Return -- +28.04% + 26.29% + 20.07% + 19.23%
- -------------------------------------------------------------------------------------------------
</TABLE>
Conservative Growth Series
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years/Life
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cumulative Total Return +16.89% +29.64% +125.12% +172.05% +444.61%
- -------------------------------------------------------------------------------------------------
Average Annual Total Return -- +29.64% + 31.06% + 22.16% + 18.47%
- -------------------------------------------------------------------------------------------------
</TABLE>
Emerging Growth Series(1)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 10 Years/Life*
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cumulative Total Return +21.17% +33.73% +109.42% +119.63%
- -------------------------------------------------------------------------------------------------
Average Annual Total Return -- +33.73% + 27.94% + 28.20%
- -------------------------------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations, May
1, 1995, through June 30, 1998.
Managed Sectors Series(2)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years/Life
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cumulative Total Return +11.66% +23.47% +78.61% +127.61% +419.85%
- -------------------------------------------------------------------------------------------------
Average Annual Total Return -- +23.47% +21.33% + 17.88% + 17.92%
- -------------------------------------------------------------------------------------------------
</TABLE>
Research Series
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 10 Years/Life*
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cumulative Total Return +18.62% +26.43% +109.17% +141.21%
- -------------------------------------------------------------------------------------------------
Average Annual Total Return -- +26.43% + 27.89% + 27.31%
- -------------------------------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 7, 1994, through June 30, 1998.
Total Return Series
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years/Life
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cumulative Total Return +8.71% +18.25% +67.75% +94.49% +250.74%
- -------------------------------------------------------------------------------------------------
Average Annual Total Return -- +18.25% +18.82% +14.23% + 13.37%
- -------------------------------------------------------------------------------------------------
</TABLE>
Utilities Series(2)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 10 Years/Life*
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cumulative Total Return +11.56% +31.61% +109.86% +124.75%
- -------------------------------------------------------------------------------------------------
Average Annual Total Return -- +31.61% + 28.03% + 19.15%
- -------------------------------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 16, 1993, through June 30, 1998.
World Growth Series(3)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 10 Years/Life*
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
Cumulative Total Return +13.00% +14.24% +62.39% +87.13%
- -------------------------------------------------------------------------------------------------
Average Annual Total Return -- +14.24% +17.54% +14.52%
- -------------------------------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 16, 1993, through June 30, 1998.
All results are historical and assume the reinvestment of dividends and capital
gains. Investment return and principal value will fluctuate, and shares, when
redeemed, may be worth more or less than their original cost. Past performance
is no guarantee of future results. Performance results reflect any applicable
expense subsidies and waivers, without which the results would have been less
favorable. Subsidies and waivers may be rescinded at any time. See the
prospectus for details.
Returns shown do not reflect the deduction of the mortality and expense risk
charges and administration fees. Please refer to the annuity product's annual
report for performance that reflects the deduction of the fees and charges
imposed by insurance company separate accounts.
(1) Investing in small or emerging growth companies involves greater risk than
is customarily associated with more established companies. These risks may
increase share price volatility.
(2) The Series may focus its investments in certain sectors, thereby increasing
its vulnerability to any single economic, political or regulatory
development.
(3) Investments in foreign and emerging market securities may provide superior
returns but also involve greater risk than U.S. investments. Investments in
foreign and emerging market securities may be favorably or unfavorably
affected by changes in interest rates and currency exchange rates, market
conditions, and the economic and political conditions of the countries where
investments are made. These risks may increase share price volatility.
7
<PAGE>
Portfolio of Investments -- June 30, 1998
Capital Appreciation Series
Stocks -- 96.8%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 94.9%
Aerospace -- 1.7%
United Technologies Corp. .............................................. 299,300 $ 27,685,250
------------
Automotive -- 0.5%
Federal Mogul Corp. .................................................... 122,200 $ 8,248,500
------------
Banks and Credit Companies -- 0.8%
Bank of New York, Inc. ................................................. 152,800 $ 9,273,050
BankBoston Corp. ....................................................... 56,200 3,126,125
------------
$ 12,399,175
------------
Business Machines -- 0.8%
Affiliated Computer Services, Inc., "A"* ............................... 148,000 $ 5,698,000
Xerox Corp. ............................................................ 76,100 7,733,663
------------
$ 13,431,663
------------
Business Services -- 3.4%
AccuStaff, Inc.* ....................................................... 447,500 $ 13,984,375
Computer Sciences Corp. ................................................ 249,900 15,993,600
DST Systems, Inc.* ..................................................... 192,500 10,780,000
Galileo International, Inc. ............................................ 287,300 12,946,456
Ikon Office Solutions, Inc. ............................................ 65,100 948,019
------------
$ 54,652,450
------------
Computer Hardware --
Systems -- 2.5%
Dell Computer Corp.* ................................................... 202,400 $ 18,785,250
EMC Corp.* ............................................................. 453,600 20,326,950
------------
$ 39,112,200
------------
Computer Software --
Personal Computers -- 6.3%
Microsoft Corp.* ....................................................... 923,000 $100,030,125
------------
Computer Software --
Systems -- 11.6%
BMC Software, Inc.* .................................................... 789,100 $ 40,983,881
Cadence Design Systems, Inc.* .......................................... 1,275,400 39,856,250
Computer Associates
International, Inc. .................................................. 872,200 48,461,613
Compuware Corp.* ....................................................... 169,200 8,650,350
Oracle Corp.* .......................................................... 1,303,150 32,008,622
Peoplesoft, Inc.* ...................................................... 53,600 2,519,200
Synopsys, Inc.* ........................................................ 251,900 11,524,425
------------
$184,004,341
------------
Consumer Goods and
Services -- 11.4%
Clorox Co. ............................................................. 86,000 $ 8,202,250
Colgate-Palmolive Co. .................................................. 336,200 29,585,600
Gillette Co. ........................................................... 363,800 20,622,912
Revlon, Inc., "A"* ..................................................... 174,200 8,949,525
Service Corp. International ............................................ 100,400 4,304,650
Tyco International Ltd. ................................................ 1,735,554 109,339,902
------------
$181,004,839
------------
Defense Electronics -- 1.6%
Loral Space & Communications
Corp.* ............................................................... 905,400 $ 25,577,550
------------
Electrical Equipment -- 1.2%
General Electric Co. ................................................... 215,400 $ 19,601,400
------------
Electronics -- 2.8%
AES Corp.* ............................................................. 321,900 $ 16,919,869
Altera Corp.* .......................................................... 247,800 7,325,588
Analog Devices, Inc.* .................................................. 242,062 5,945,648
Microchip Technology, Inc.* ............................................ 308,500 8,059,562
Xilinx, Inc.* .......................................................... 198,800 6,759,200
------------
$ 45,009,867
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Entertainment -- 7.2%
CBS Corp. .............................................................. 287,100 $ 9,115,425
Clear Channel Communications, Inc.* .................................... 217,062 23,686,891
Harrah's Entertainment, Inc.* .......................................... 134,800 3,134,100
Hearst-Argyle Television, Inc.* ........................................ 72,700 2,908,000
Heftel Broadcasting Corp., "A"* ........................................ 204,530 9,152,718
Jacor Communications, Inc.* ............................................ 243,300 14,354,700
Mirage Resorts, Inc.* .................................................. 424,900 9,055,681
Time Warner, Inc. ...................................................... 145,400 12,422,612
Univision Communications, Inc., "A"*.................................... 243,200 9,059,200
Viacom, Inc., "B"* ..................................................... 376,600 21,936,950
------------
$114,826,277
------------
Financial Institutions -- 6.5%
Associates First Capital Corp., "A" .................................... 316,000 $ 24,292,500
CIT Group, Inc., "A" ................................................... 226,200 8,482,500
Federal Home Loan
Mortgage Corp. ....................................................... 467,400 21,997,012
Financial Federal Corp.* ............................................... 263,100 7,054,369
Finova Group, Inc. ..................................................... 297,900 16,868,587
Franklin Resources, Inc. ............................................... 282,700 15,265,800
Morgan Stanley Dean Witter & Co. ....................................... 97,700 8,927,338
------------
$102,888,106
------------
Financial Services -- 0.7%
SunAmerica, Inc. ....................................................... 192,850 $ 11,076,822
------------
Insurance -- 0.6%
Annuity and Life Re Holdings Ltd.*...................................... 5,800 $ 128,325
Lincoln National Corp. ................................................. 93,900 8,580,113
------------
$ 8,708,438
------------
Machinery -- 0.2%
Lear Corp.* ............................................................ 74,000 $ 3,797,125
------------
Medical and Health Products -- 2.7%
Biomet, Inc. ........................................................... 133,800 $ 4,423,762
Boston Scientific Corp.* ............................................... 105,000 7,520,625
Bristol-Myers Squibb Co. ............................................... 271,700 31,228,519
------------
$ 43,172,906
------------
Medical and Health Technology
and Services -- 6.5%
Cardinal Health, Inc. .................................................. 105,700 $ 9,909,375
Columbia/HCA Healthcare Corp. .......................................... 420,300 12,241,237
Health Management Associates,
Inc., "A"* ........................................................... 218,350 7,301,078
HealthSouth Corp.* ..................................................... 644,500 17,200,094
Lincare Holdings, Inc.* ................................................ 116,400 4,896,075
Scherer R P Corp.* ..................................................... 42,500 3,766,563
Total Renal Care Holdings, Inc.* ....................................... 211,200 7,286,400
United Healthcare Corp. ................................................ 553,633 35,155,695
Wellpoint Health Networks, Inc., "A"*................................... 70,400 5,209,600
------------
$102,966,117
------------
Metals and Minerals -- 0.8%
Minerals Technologies, Inc. ............................................ 258,500 $ 13,151,188
------------
Oil Services -- 0.7%
Cooper Cameron Corp.* .................................................. 78,800 $ 4,018,800
Diamond Offshore Drilling, Inc. ........................................ 99,800 3,992,000
EVI Weatherford, Inc.* ................................................. 71,200 2,643,300
------------
$ 10,654,100
------------
Oils -- 1.0%
USX-Marathon Group ..................................................... 462,200 $ 15,859,237
------------
Pollution Control -- 0.6%
Waste Management, Inc. ................................................. 249,800 $ 8,743,000
------------
</TABLE>
8-CAS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Printing and Publishing -- 0.2%
Scripps (E.W.) Howard, Inc. ............................................ 56,100 $ 3,074,981
--------------
Railroads -- 0.1%
Wisconsin Central Transportation
Corp.* ............................................................... 67,200 $ 1,470,000
--------------
Restaurants and Lodging -- 6.2%
Cavanaughs Hospitality Corp.* .......................................... 5,700 $ 74,456
Cendant Corp.* ......................................................... 2,785,800 58,153,575
McDonalds Corp. ........................................................ 230,700 15,918,300
Promus Hotel Corp.* .................................................... 655,548 25,238,598
--------------
$ 99,384,929
--------------
Stores -- 7.0%
CompUSA, Inc.* ......................................................... 167,100 $ 3,018,244
Corporate Express, Inc.* ............................................... 229,150 2,907,341
CVS Corp. .............................................................. 1,207,200 47,005,350
Linens 'N Things, Inc.* ................................................ 33,200 1,014,675
Office Depot, Inc.* .................................................... 960,500 30,315,781
Rite Aid Corp. ......................................................... 648,000 24,340,500
Staples, Inc.* ......................................................... 88,650 2,565,309
--------------
$ 111,167,200
--------------
Supermarkets -- 2.1%
Meyer (Fred), Inc.* .................................................... 133,200 $ 5,661,000
Safeway, Inc.* ......................................................... 693,400 28,212,712
--------------
$ 33,873,712
--------------
Telecommunications -- 6.5%
Cisco Systems, Inc.* ................................................... 393,650 $ 36,240,403
Global TeleSystems Group, Inc.* ........................................ 314,200 15,317,250
Hyperion Telecommunications, Inc., "A"* ................................ 12,900 202,369
Intermedia Communications, Inc.* ....................................... 99,600 4,176,975
L-3 Communications Holding, Inc.*....................................... 2,800 91,525
Metromedia Fiber Network, Inc., "A"*.................................... 9,200 428,950
Nextlink Communications, Inc., "A"*..................................... 93,600 3,545,100
Qwest Communications
International, Inc.* ................................................. 228,555 7,970,856
Tel-Save Holdings, Inc.*## ............................................. 186,900 2,756,775
Tel-Save Holdings, Inc.* ............................................... 137,800 2,032,550
Tellabs, Inc.* ......................................................... 120,100 8,602,162
WorldCom, Inc.* ........................................................ 469,170 22,725,422
--------------
$ 104,090,337
--------------
Utilities -- Electric -- 0.7%
CalEnergy Co., Inc.* ................................................... 358,600 $ 10,780,413
--------------
Total U.S. Stocks ...................................................................... $1,510,442,248
--------------
Foreign Stocks -- 1.9%
Bermuda -- 0.5%
Ace Ltd. (Insurance) ................................................... 208,600 $ 8,135,400
--------------
Canada -- 0.4%
Canadian National Railway Co.
(Railroads) .......................................................... 126,000 $ 6,693,750
--------------
United Kingdom -- 1.0%
British Petroleum PLC, ADR (Oils) ...................................... 179,436 $ 15,835,227
--------------
Total Foreign Stocks ................................................................... $ 30,664,377
--------------
Total Stocks
(Identified Cost, $1,072,331,047) .................................................... $1,541,106,625
--------------
</TABLE>
Short-Term Obligations -- 2.6%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Federal Home Loan Mortgage
Corp., due 7/07/98 ............................ $ 7,500 $ 7,493,250
Federal National Mortgage Assn.,
due 7/06/98 - 8/14/98 ......................... 19,600 19,518,470
Ford Motor Credit Corp.,
due 7/01/98 ................................... 15,125 15,125,000
--------------
Total Short-Term Obligations, at Amortized Cost......................................... $ 42,136,720
--------------
Total Investments
(Identified Cost, $1,114,467,767) .................................................... $1,583,243,345
Other Assets,
Less Liabilities -- 0.6% 8,882,463
--------------
Net Assets -- 100.0% ................................................................... $1,592,125,808
==============
</TABLE>
See portfolio footnotes and notes to financial statements
9-CAS
<PAGE>
Portfolio of Investments -- June 30, 1998
Conservative Growth Series
Stocks -- 96.8%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 88.5%
Aerospace -- 4.6%
Allied Signal, Inc. .................................................... 301,000 $ 13,356,875
General Dynamics Corp. ................................................. 117,200 5,449,800
Goodrich (B.F.) Co. .................................................... 101,800 5,051,825
Lockheed Martin Corp. .................................................. 173,988 18,420,979
Raytheon Co., "A" ...................................................... 158,800 9,150,850
United Technologies Corp. .............................................. 239,400 22,144,500
------------
$ 73,574,829
------------
Agricultural Products -- 0.1%
Case Corp. ............................................................. 45,500 $ 2,195,375
------------
Airlines -- 0.1%
AMR Corp.* ............................................................. 20,400 $ 1,698,300
------------
Apparel and Textiles -- 0.3%
VF Corp. ............................................................... 80,600 $ 4,150,900
------------
Automotive -- 0.8
Federal-Mogul Corp. .................................................... 78,600 $ 5,305,500
Ford Motor Co. ......................................................... 61,600 3,634,400
TRW, Inc. .............................................................. 67,900 3,709,038
------------
$ 12,648,938
------------
Banks and Credit Companies -- 7.3%
Bank of New York, Inc. ................................................. 12,900 $ 782,869
Comerica, Inc. ......................................................... 189,950 12,584,187
Firstar Corp. .......................................................... 105,800 4,020,400
Fleet Financial Group, Inc. ............................................ 34,800 2,905,800
National City Corp. .................................................... 190,900 13,553,900
Northern Trust Corp. ................................................... 83,600 6,374,500
Norwest Corp. .......................................................... 585,200 21,871,850
State Street Corp. ..................................................... 161,600 11,231,200
SunTrust Banks, Inc. ................................................... 92,200 7,497,013
US Bancorp ............................................................. 597,753 25,703,379
Washington Mutual, Inc. ................................................ 248,300 10,785,531
------------
$117,310,629
------------
Building -- 0.7%
American Standard Cos., Inc.* .......................................... 124,100 $ 5,545,719
Sherwin Williams Co. ................................................... 174,400 5,777,000
------------
$ 11,322,719
------------
Business Machines -- 1.9%
Compaq Computer Corp. .................................................. 103,800 $ 2,945,325
International Business Machines
Corp. ................................................................ 158,800 18,232,225
Xerox Corp. ............................................................ 95,500 9,705,188
------------
$ 30,882,738
------------
Business Services -- 1.1%
Computer Sciences Corp. ................................................ 174,000 $ 11,136,000
DST Systems, Inc.* ..................................................... 102,100 5,717,600
------------
$ 16,853,600
------------
Cellular Telephones -- 0.1%
Century Telephone Enterprises, Inc...................................... 33,200 $ 1,523,050
------------
Chemicals -- 2.3%
Air Products & Chemicals, Inc. ......................................... 638,900 $ 25,556,000
DuPont (E. I.) de Nemours & Co.,
Inc. ................................................................. 49,600 3,701,400
Praxair, Inc. .......................................................... 176,500 8,262,406
------------
$ 37,519,806
------------
Computer Software -- Personal
Computers -- 1.4%
Microsoft Corp.* ....................................................... 213,300 $ 23,116,388
------------
Computer Software --
Systems -- 1.7%
BMC Software, Inc.* .................................................... 82,800 $ 4,300,425
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Computer Software -- Systems
-- continued
Computer Associates
International, Inc. .................................................. 297,825 $ 16,547,902
Oracle Corp.* .......................................................... 234,050 5,748,853
------------
$ 26,597,180
------------
Consumer Goods an
Services -- 8.4%
Black & Decker Corp. ................................................... 230,600 $ 14,066,600
Clorox Co. ............................................................. 55,100 5,255,163
Colgate-Palmolive Co. .................................................. 211,000 18,568,000
Gillette Co. ........................................................... 327,800 18,582,162
Kimberly-Clark Corp. ................................................... 405,796 18,615,891
Philip Morris Cos., Inc. ............................................... 344,500 13,564,688
Procter & Gamble Co. ................................................... 136,700 12,448,244
Service Corp. International ............................................ 310,000 13,291,250
Tyco International Ltd. ................................................ 320,500 20,191,500
------------
$134,583,498
------------
Electrical Equipment -- 2.8%
Cooper Industries, Inc. ................................................ 108,900 $ 5,982,694
General Electric Co. ................................................... 261,400 23,787,400
Honeywell, Inc. ........................................................ 179,000 14,957,687
------------
$ 44,727,781
------------
Entertainment -- 0.7%
CBS Corp. .............................................................. 41,000 $ 1,301,750
Time Warner, Inc. ...................................................... 63,200 5,399,650
Viacom, Inc., "B"* ..................................................... 64,800 3,774,600
------------
$ 10,476,000
------------
Financial Institutions -- 4.3%
Associates First Capital Corp., "A" .................................... 62,468 $ 4,802,227
Beneficial Corp. ....................................................... 161,900 24,801,056
CIT Group, Inc., "A" ................................................... 170,000 6,375,000
Federal Home Loan
Mortgage Corp. ....................................................... 221,500 10,424,344
Heller Financial, Inc., "A"* ........................................... 98,800 2,964,000
Household International, Inc. .......................................... 97,100 4,830,725
Merrill Lynch & Co., Inc. .............................................. 74,300 6,854,175
Morgan Stanley Dean Witter & Co. ....................................... 86,400 7,894,800
Waddell & Reed Financial, Inc., "A"..................................... 5,300 126,869
------------
$ 69,073,196
------------
Food and Beverage
Products -- 3.3%
Archer-Daniels-Midland Co. ............................................. 210,307 $ 4,074,698
Bestfoods Co. .......................................................... 159,700 9,272,582
Coca-Cola Co. .......................................................... 39,200 3,351,600
Corn Products International, Inc.* ..................................... 9,600 325,200
General Mills, Inc. .................................................... 39,600 2,707,650
Hershey Foods Corp. .................................................... 53,700 3,705,300
Interstate Bakeries Corp. .............................................. 152,300 5,054,456
McCormick & Co., Inc. .................................................. 64,800 2,314,575
Nabisco Holdings Corp., "A" ............................................ 92,100 3,321,356
Ralston-Ralston Purina Co. ............................................. 164,000 19,157,250
------------
$ 53,284,667
------------
Insurance -- 9.8%
AFLAC, Inc. ............................................................ 171,600 $ 5,201,625
Allstate Corp. ......................................................... 203,400 18,623,813
Chubb Corp. ............................................................ 271,900 21,853,962
CIGNA Corp. ............................................................ 242,800 16,753,200
Conseco, Inc. .......................................................... 24,500 1,145,375
Hartford Financial Services
Group, Inc. .......................................................... 203,200 23,241,000
Lincoln National Corp. ................................................. 130,800 11,951,850
MBIA, Inc. ............................................................. 58,600 4,387,675
</TABLE>
10-CGS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Insurance -- continued
Progressive Corp. ........................................................ 121,300 $ 17,103,300
Torchmark Corp. .......................................................... 372,500 17,041,875
Transamerica Corp. ....................................................... 90,000 10,361,250
Travelers Group, Inc. .................................................... 153,250 9,290,781
--------------
$ 156,955,706
--------------
Machinery -- 0.7%
Eaton Corp. .............................................................. 107,300 $ 8,342,575
York International Corp. ................................................. 55,300 2,409,006
--------------
$ 10,751,581
--------------
Medical and Health Products -- 8.5%
American Home Products Corp. ............................................. 462,500 $ 23,934,375
Bristol-Myers Squibb Co. ................................................. 367,100 42,193,556
Johnson & Johnson ........................................................ 183,100 13,503,625
McKesson Corp. ........................................................... 82,900 6,735,625
Merck & Co., Inc. ........................................................ 29,700 3,972,375
Pfizer, Inc. ............................................................. 165,500 17,987,781
Pharmacia & Upjohn, Inc. ................................................. 132,300 6,102,337
Schering Plough Corp. .................................................... 19,300 1,768,363
Warner-Lambert Co. ....................................................... 276,600 19,189,125
--------------
$ 135,387,162
--------------
Medical and Health Technology
and Services -- 3.4%
Columbia/HCA Healthcare Corp. ............................................ 322,000 $ 9,378,250
HEALTHSOUTH Corp.* ....................................................... 437,400 11,673,113
Medtronic, Inc. .......................................................... 77,000 4,908,750
Tenet Healthcare Corp.* .................................................. 345,500 10,796,875
United Healthcare Corp. .................................................. 288,200 18,300,700
--------------
$ 55,057,688
--------------
Metals and Minerals -- 0.2%
Phelps Dodge Corp. ....................................................... 54,300 $ 3,105,281
--------------
Oils -- 4.0%
Chevron Corp. ............................................................ 38,900 $ 3,231,131
Exxon Corp. .............................................................. 363,300 25,907,831
Mobil Corp. .............................................................. 165,900 12,712,088
Texaco, Inc. ............................................................. 221,100 13,196,906
USX-Marathon Group ....................................................... 236,800 8,125,200
--------------
$ 63,173,156
--------------
Photographic Products
Eastman Kodak Co. ........................................................ 6,500 $ 474,906
--------------
Pollution Control -- 0.8%
Browning Ferris Industries, Inc. ......................................... 55,200 $ 1,918,200
Waste Management, Inc. ................................................... 329,900 11,546,500
--------------
$ 13,464,700
--------------
Printing and Publishing -- 1.7%
Gannett Co., Inc. ........................................................ 219,200 $ 15,576,900
Tribune Co. .............................................................. 171,300 11,787,581
--------------
$ 27,364,481
--------------
Railroads -- 1.0%
Burlington Northern Santa Fe
Railway Co. ............................................................ 140,100 $ 13,756,069
CSX Corp. ................................................................ 55,200 2,511,600
--------------
$ 16,267,669
--------------
Restaurants and Lodging -- 0.6%
Cendant Corp.* ........................................................... 106,200 $ 2,216,925
McDonalds Corp. .......................................................... 105,000 7,245,000
--------------
$ 9,461,925
-------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Stores -- 6.1%
CVS Corp. ................................................................ 223,200 $ 8,690,850
Home Depot, Inc. ......................................................... 135,750 11,275,734
Liz Claiborne, Inc. ...................................................... 61,700 3,223,825
Nordstrom, Inc. .......................................................... 133,400 10,305,150
Office Depot, Inc.* ...................................................... 113,000 3,566,563
Penney (J.C.), Inc. ...................................................... 271,300 19,618,381
Rite Aid Corp. ........................................................... 405,300 15,224,081
Sears, Roebuck & Co. ..................................................... 297,400 18,159,988
Wal-Mart Stores, Inc. .................................................... 133,600 8,116,200
--------------
$ 98,180,772
--------------
Supermarkets -- 1.5%
Kroger Co.* .............................................................. 125,300 $ 5,372,238
Meyer (Fred), Inc. ....................................................... 47,600 2,023,000
Safeway, Inc.* ........................................................... 396,600 16,136,662
--------------
$ 23,531,900
--------------
Telecommunications -- 5.1%
AirTouch Communications, Inc.* ........................................... 44,800 $ 2,618,000
Alltel Corp. ............................................................. 129,700 6,031,050
Bell Atlantic Corp. ...................................................... 62,400 2,847,000
BellSouth Corp. .......................................................... 97,200 6,524,550
Cincinnati Bell, Inc. .................................................... 108,400 3,102,950
Cisco Systems, Inc.* ..................................................... 53,700 4,943,756
GTE Corp. ................................................................ 228,200 12,693,625
Lucent Technologies, Inc. ................................................ 55,500 4,616,906
MCI Communications Corp. ................................................. 193,000 11,218,125
SBC Communications, Inc. ................................................. 210,300 8,412,000
Sprint Corp. ............................................................. 199,200 14,043,600
WorldCom, Inc.* .......................................................... 104,000 5,037,500
--------------
$ 82,089,062
--------------
Utilities -- Electric -- 2.2%
Carolina Power & Light Co. ............................................... 42,300 $ 1,834,763
Cinergy Corp. ............................................................ 146,800 5,138,000
CMS Energy Corp., "G" .................................................... 99,900 4,395,600
FPL Group, Inc. .......................................................... 82,200 5,178,600
Illinova Corp. ........................................................... 63,200 1,896,000
New Century Energies, Inc. ............................................... 38,500 1,749,344
Pinnacle West Capital Corp. .............................................. 68,700 3,091,500
Texas Utilities Co. ...................................................... 166,000 6,909,750
Unicom Corp. ............................................................. 101,700 3,565,856
Wisconsin Energy Corp. ................................................... 60,600 1,840,725
--------------
$ 35,600,138
--------------
Utilities -- Gas -- 1.0%
Columbia Energy Group .................................................... 143,250 $ 7,968,282
KN Energy, Inc. .......................................................... 145,500 7,884,281
--------------
$ 15,852,563
--------------
Total U.S. Stocks ..................................................................... $1,418,258,284
--------------
Foreign Stocks -- 8.3%
Bermuda -- 1.1%
Ace Ltd. (Insurance) ..................................................... 153,200 $ 5,974,800
Exel Ltd. (Insurance) .................................................... 138,800 10,800,375
--------------
$ 16,775,175
--------------
Canada -- 0.7%
Canadian National Railway Co.
(Railroads) ............................................................ 208,550 $ 11,079,219
--------------
France -- 0.9%
Alcatel Alsthom Compagnie, ADR
(Telecommunications) ................................................... 268,700 $ 10,932,731
Sanofi S.A. (Medical and Health
Products) .............................................................. 28,300 3,323,363
--------------
$ 14,256,094
--------------
</TABLE>
11-CGS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Germany -- 0.5%
Henkel KGaA (Chemicals) ................................................ 83,400 $ 8,240,742
--------------
Japan -- 0.2%
Sony Corp. (Electronics) ............................................... 35,600 $ 3,078,961
--------------
Netherlands -- 1.3%
Akzo Nobel N.V. (Chemicals) ............................................ 56,300 $ 12,501,282
ING Groep N.V. (Financial Services)* ................................... 30,000 1,962,190
ING Groep N.V., ADR (Financial
Services) ............................................................ 91,947 6,011,035
--------------
$ 20,474,507
--------------
Sweden -- 0.9%
Mandamus Fastighet (Real Estate
Investment Trust)* ................................................... 3,890 $ 24,358
Securitas AB (Security Services) ....................................... 22,900 1,119,906
Skandia Forsakrings AB
(Insurance) .......................................................... 729,000 10,407,765
Sparbanken Sverige AB, "A" (Banks
and Credit Cos.) ..................................................... 77,800 2,338,384
--------------
$ 13,890,413
--------------
Switzerland -- 0.7%
Nestle AG (Food and Beverage
Products) ............................................................ 2,800 $ 5,995,251
Novartis AG (Pharmaceuticals) .......................................... 3,686 6,136,849
--------------
$ 12,132,100
--------------
United Kingdom -- 2.0%
British Petroleum PLC, ADR (Oils) ...................................... 271,281 $ 23,940,548
Lloyds TSB Group PLC (Banks and
Credit Cos.)* ........................................................ 257,572 3,602,451
PowerGen PLC (Utilities-Electric)* ..................................... 373,183 5,154,048
--------------
$ 32,697,047
--------------
Total Foreign Stocks ................................................................... $ 132,624,258
--------------
Total Stocks
(Identified Cost, $1,186,233,435) .................................................... $1,550,882,542
--------------
Convertible Preferred Stock -- 0.4%
Consumer Goods and Services -- 0.2%
Newell Financial Trust Co.,
5.25%* ## ............................................................ 54,700 $ 3,158,925
--------------
Entertainment -- 0.2%
Houston Industries, Inc., 7% ........................................... 48,900 $ 3,643,050
--------------
Total Convertible Preferred Stock
(Identified Cost, $5,033,251) ........................................................ $ 6,801,975
--------------
Short-Term Obligations -- 3.5%
<CAPTION>
Principal Amount
(000 Omitted)
Federal Home Loan Mortgage
Corp., due 7/10/98 - 8/05/98 ......................................... $ 49,350 $ 49,190,566
Federal National Mortgage Assn.,
due 8/14/98 .......................................................... 5,100 5,066,028
Ford Motor Credit Corp., due 7/01/98.................................... 940 940,000
--------------
Total Short-Term Obligations, at Amortized Cost ........................................... $ 55,196,594
--------------
Total Investments
(Identified Cost, $1,246,463,280) ....................................................... $1,612,881,111
Other Assets,
Less Liabilities -- (0.7)% (11,424,753)
--------------
Net Assets -- 100.0% ...................................................................... $1,601,456,358
==============
See portfolio footnotes and notes to financial statements
</TABLE>
Portfolio of Investments -- June 30, 1998
Emerging Growth Series
Stocks -- 97.5%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 91.7%
Advertising
Doubleclick, Inc.* ..................................................... 800 $ 39,750
--------------
Aerospace -- 0.5%
Gulfstream Aerospace Corp.* ............................................ 61,800 $ 2,873,700
--------------
Automotive
Federal-Mogul Corp. .................................................... 2,800 $ 189,000
Hayes Lemmerz International, Inc.*...................................... 200 7,950
--------------
$ 196,950
--------------
Biotechnology
Waters Corp.* .......................................................... 1,100 $ 64,831
--------------
Broadcasting
Citadel Communications Corp. ........................................... 5,700 $ 91,200
--------------
Business Machines -- 0.7%
Affiliated Computer Services, Inc., "A"* ............................... 54,800 $ 2,109,800
Compaq Computer Corp. .................................................. 37,500 1,064,063
Sun Microsystems, Inc.* ................................................ 25,100 1,090,281
--------------
$ 4,264,144
--------------
Business Services -- 6.4%
AccuStaff, Inc.* ....................................................... 275,800 $ 8,618,750
BISYS Group, Inc.* ..................................................... 40,800 1,672,800
Ceridian Corp.* ........................................................ 28,900 1,697,875
Computer Learning Centers, Inc.* ....................................... 48,200 1,198,975
Computer Sciences Corp. ................................................ 88,500 5,664,000
DA Consulting Group, Inc.* ............................................. 5,600 80,500
DST Systems, Inc.* ..................................................... 40,300 2,256,800
First Data Corp. ....................................................... 140,800 4,690,400
Fiserv, Inc. ........................................................... 1,400 59,456
Interim Services, Inc.* ................................................ 2,000 64,250
Learning Tree International, Inc.* ..................................... 162,800 3,276,350
Metamor Worldwide, Inc.* ............................................... 16,400 577,075
NOVA Corp.* ............................................................ 15,900 568,425
Policy Management Systems Corp.*........................................ 76,800 3,014,400
Professional Detailing, Inc.* .......................................... 1,300 32,337
Renaissance Worldwide, Inc.* ........................................... 92,300 2,007,525
Technology Solutions Co.* .............................................. 142,900 4,528,144
--------------
$ 40,008,062
--------------
Cellular Telephones -- 0.3%
Century Telephone Enterprises, Inc...................................... 35,500 $ 1,628,563
--------------
Computer Software -- Personal
Computers -- 4.8%
Autodesk, Inc. ......................................................... 20,485 $ 791,233
Microsoft Corp.* ....................................................... 271,500 29,423,812
--------------
$ 30,215,045
--------------
Computer Software -- Services -- 0.1%
International Integration, Inc.* ....................................... 1,400 $ 24,150
Mobius Management Systems, Inc.*........................................ 37,700 565,500
--------------
$ 589,650
--------------
Computer Software -- Systems -- 19.7%
Aspen Technology, Inc. ................................................. 1,300 $ 65,650
BMC Software, Inc.* .................................................... 502,500 26,098,594
Cadence Design Systems, Inc.* .......................................... 519,900 16,246,875
Computer Associates International, Inc. ................................ 532,225 29,571,751
Compuware Corp.* ....................................................... 445,400 22,771,075
Keane, Inc.* ........................................................... 1,200 67,200
Learning Co., Inc.* .................................................... 2,200 65,177
Oracle Corp.* .......................................................... 958,850 23,551,753
Siebel Systems, Inc.* .................................................. 20,000 645,000
SunGard Data Systems, Inc.* ............................................ 7,000 268,625
</TABLE>
12-EGS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Computer Software -- Systems
-- continued
Synopsys, Inc.* ........................................................ 99,000 $ 4,529,250
Whittman-Hart, Inc.* ................................................... 1,400 67,725
------------
$123,948,675
------------
Conglomerates
Sodexho Marriott Services, Inc.* ....................................... 2,100 $ 60,900
------------
Consumer Goods and
Services -- 7.4%
Carson, Inc., "A"* ..................................................... 119,500 $ 941,063
Rubbermaid, Inc. ....................................................... 34,600 1,148,288
Tyco International Ltd. ................................................ 707,078 44,545,914
------------
$ 46,635,265
------------
Defense Electronics -- 0.2%
Loral Space & Communications
Corp.* ............................................................... 52,600 $ 1,485,950
------------
Electrical Equipment
Cable Design Technologies Corp.*........................................ 4,700 $ 96,938
------------
Electronics -- 0.6%
Altera Corp.* .......................................................... 108,100 $ 3,195,706
Intel Corp. ............................................................ 4,400 326,150
Xilinx, Inc.* .......................................................... 16,700 567,800
------------
$ 4,089,656
------------
Entertainment -- 6.2%
CBS Corp. .............................................................. 116,900 $ 3,711,575
Clear Channel Communications,
Inc.* ................................................................ 50,400 5,499,900
Cox Radio, Inc., "A"* .................................................. 73,600 3,183,200
Gemstar International Group Ltd.* ...................................... 18,700 700,081
Harrah's Entertainment, Inc.* .......................................... 100,700 2,341,275
Hearst-Argyle Television, Inc.* ........................................ 25,100 1,004,000
Heftel Broadcasting Corp., "A"* ........................................ 29,200 1,306,700
Jacor Communications, Inc.* ............................................ 78,200 4,613,800
Premier Parks, Inc.* ................................................... 16,100 1,072,663
Time Warner, Inc. ...................................................... 77,200 6,595,775
Univision Communications,
Inc., "A"* ........................................................... 47,800 1,780,550
Viacom, Inc., "B"* ..................................................... 123,000 7,164,750
------------
$ 38,974,269
------------
Financial Institutions -- 2.2%
ARM Financial Group, Inc., "A" ......................................... 18,200 $ 402,675
Associates First Capital Corp., "A" .................................... 27,200 2,091,000
Consolidated Capital Corp.* ............................................ 72,300 1,625,620
Donaldson Lufkin & Jenrette, Inc. ...................................... 6,200 315,038
Franklin Resources, Inc. ............................................... 91,900 4,962,600
Morgan Stanley Dean Witter & Co. ....................................... 34,300 3,134,162
U.S. Trust Corp. ....................................................... 14,600 1,113,250
------------
$ 13,644,345
------------
Food and Beverage Products
Suiza Foods Corp.* ..................................................... 1,100 $ 65,656
------------
Insurance -- 0.3%
Annuity and Life Re Holdings Ltd.*...................................... 33,400 $ 738,975
Conseco, Inc. .......................................................... 5,600 261,800
Life Re Corp. .......................................................... 7,900 654,712
------------
$ 1,655,487
------------
Machinery
SI Handling Systems, Inc. .............................................. 23,300 $ 305,813
------------
Medical and Health Products -- 1.2%
Boston Scientific Corp.* ............................................... 36,000 $ 2,578,500
McKesson Corp. ......................................................... 36,000 2,925,000
PSS World Medical, Inc.* ............................................... 12,200 178,425
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Medical and Health
Products -- continued
U.S. Surgical Corp. .................................................... 35,500 $ 1,619,687
------------
$ 7,301,612
------------
Medical and Health Technology
and Services -- 7.3%
Cardinal Health, Inc. .................................................. 18,600 $ 1,743,750
Columbia/HCA Healthcare Corp. .......................................... 31,600 920,350
Guidant Corp. .......................................................... 17,500 1,247,969
HBO & Co. .............................................................. 173,600 6,119,400
Health Management Associates,
Inc., "A"* ........................................................... 9,100 304,281
HealthSouth Corp.* ..................................................... 176,900 4,721,019
Integrated Health Services, Inc. ....................................... 47,000 1,762,500
Medtronic, Inc. ........................................................ 24,300 1,549,125
Orthodontic Centers of America,
Inc.* ................................................................ 48,200 1,009,187
PacifiCare Health Systems,
Inc., "B"* ........................................................... 38,600 3,411,275
Province Healthcare Co.* ............................................... 1,200 33,225
Steris Corp.* .......................................................... 13,300 845,797
Total Renal Care Holdings, Inc.* ....................................... 91,302 3,149,919
United Healthcare Corp. ................................................ 258,800 16,433,800
Wellpoint Health Networks,
Inc., "A"* ........................................................... 35,400 2,619,600
------------
$ 45,871,197
------------
Pharmaceuticals
King Pharmaceuticals, Inc.* ............................................ 15,120 $ 211,680
------------
Pollution Control -- 0.3%
American Disposal Services, Inc. ....................................... 1,300 $ 60,938
U.S.A. Waste Services, Inc.* ........................................... 30,800 1,520,750
------------
$ 1,581,688
------------
Restaurants and Lodging -- 5.2%
Applebee's International, Inc. ......................................... 38,500 $ 861,438
Buffets, Inc.* ......................................................... 101,500 1,592,281
Cendant Corp.* ......................................................... 1,235,404 25,789,058
Outback Steakhouse, Inc.* .............................................. 1,700 66,300
Promus Hotel Corp.* .................................................... 110,913 4,270,151
Showbiz Pizza Time, Inc.* .............................................. 1,600 64,500
------------
$ 32,643,728
------------
Special Products and Services -- 0.5%
Central Parking Corp. .................................................. 5,900 $ 274,350
Newport News Shipbuilding, Inc. ........................................ 96,500 2,581,375
------------
$ 2,855,725
------------
Stores -- 10.7%
Borders Group, Inc.* ................................................... 1,700 $ 62,900
Consolidated Stores Corp.* ............................................. 14,450 523,813
Corporate Express, Inc.* ............................................... 178,400 2,263,450
CVS Corp. .............................................................. 134,400 5,233,200
Dollar General Corp. ................................................... 8,525 337,270
Duane Reade, Inc.* ..................................................... 2,000 60,000
General Nutrition Cos., Inc.* .......................................... 36,500 1,136,062
Home Depot, Inc. ....................................................... 130,350 10,827,197
Kohl's Corp. ........................................................... 20,600 1,068,625
Linens 'N Things, Inc.* ................................................ 16,900 516,506
Lowes Co., Inc. ........................................................ 138,400 5,613,850
Micro Warehouse, Inc.* ................................................. 143,400 2,222,700
Office Depot, Inc.* .................................................... 387,100 12,217,844
Proffitts, Inc.* ....................................................... 14,100 569,288
Republic Industries, Inc.* ............................................. 403,500 10,087,500
Rite Aid Corp. ......................................................... 271,000 10,179,437
Staples, Inc.* ......................................................... 155,650 4,504,122
Viking Office Products, Inc.* .......................................... 1,900 59,613
------------
$ 67,483,377
------------
</TABLE>
13-EGS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Supermarkets -- 1.8%
Meyer (Fred), Inc.* .................................................... 221,870 $ 9,429,475
Safeway, Inc.* ......................................................... 44,900 1,826,869
------------
$ 11,256,344
------------
Telecommunications -- 15.1%
AirTouch Communications, Inc.* ......................................... 44,700 $ 2,612,156
Amdocs Ltd.* ........................................................... 9,600 145,200
American Tower Corp., "A"* ............................................. 62,400 1,556,100
Aspect Telecommunications Corp.*........................................ 13,100 358,613
Cisco Systems, Inc.* ................................................... 393,000 36,180,562
Global TeleSystems Group, Inc.* ........................................ 150,300 7,327,125
Intermedia Communications, Inc.* ....................................... 214,300 8,987,206
L-3 Communications Holding, Inc.*....................................... 1,900 61,750
Lucent Technologies, Inc. .............................................. 74,500 6,197,469
MCI Communications Corp. ............................................... 227,855 13,244,072
Sprint Corp. ........................................................... 27,300 1,924,650
Tel-Save Holdings, Inc.* ............................................... 95,100 1,402,725
Tellabs, Inc.* ......................................................... 38,600 2,764,725
WorldCom, Inc.* ........................................................ 257,730 12,483,797
------------
$ 95,246,150
------------
Transportation -- 0.2%
Coach USA, Inc.* ....................................................... 29,100 $ 1,327,688
------------
Total U.S. Stocks ............................................................ $576,714,038
------------
Foreign Stocks -- 5.8%
Bermuda -- 0.1%
Ace Ltd. (Insurance) ................................................... 12,300 $ 479,700
------------
Finland -- 0.1%
TT Tieto Oy (Computer Software -
Systems) ............................................................. 5,400 $ 410,365
------------
Germany -- 4.0%
SAP AG, Preferred (Computer
Software - Systems) .................................................. 37,000 $ 25,089,953
------------
Netherlands -- 0.1%
Elsag Bailey Process Automation
N.V. (Machinery)* .................................................... 21,700 $ 522,156
------------
Sweden -- 0.4%
Saab AB, "B" (Aerospace) ............................................... 212,700 $ 2,237,546
Skandia Forsakrings AB
(Insurance) .......................................................... 33,000 471,133
------------
$ 2,708,679
------------
United Kingdom -- 1.1%
ARM Holdings PLC (Computer
Software - Systems)* ................................................. 1,450 $ 27,814
ARM Holdings PLC, ADR (Computer
Software - Systems)* ................................................. 23,000 1,408,750
CBT Group PLC, ADR (Computer
Software - Personal Computers) ....................................... 1,200 65,400
Danka Business Systems, ADR
(Business Services) .................................................. 180,700 2,134,519
ICON PLC, ADR (Biotechnology)* ......................................... 400 10,100
Sema Group PLC (Computer
Software - Systems) .................................................. 214,800 2,525,921
Taylor Nelson Sofres PLC (Market
Research) ............................................................ 552,900 1,134,352
------------
$ 7,306,856
------------
Total Foreign Stocks ................................................................... $ 36,517,709
------------
Total Stocks
(Identified Cost, $456,300,222) ...................................................... $613,231,747
------------
</TABLE>
Short-Term Obligations -- 2.9%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Duke Power Co., due 7/28/98 ............................................ $12,600 $ 12,548,025
------------
Federal National Mortgage Assn.,
due 7/17/98 .......................................................... 2,600 2,593,702
Ford Motor Credit Corp.,
due 7/01/98 .......................................................... 2,950 2,950,000
------------
Total Short-Term Obligations, at Amortized Cost ........................................ $ 18,091,727
------------
Total Investments
(Identified Cost, $474,391,949) ...................................................... $631,323,474
Other Assets,
Less Liabilities -- (0.4)% (2,528,724)
------------
Net Assets -- 100.0% ................................................................... $628,794,750
============
</TABLE>
See portfolio footnotes and notes to financial statements
14-EGS
<PAGE>
Portfolio of Investments -- June 30, 1998
Managed Sectors Series
Stocks -- 97.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Energy -- 9.1%
BJ Services Co.* ....................................................... 170,600 $ 4,958,063
Camco International, Inc. .............................................. 67,300 5,240,988
Cooper Cameron Corp.* .................................................. 142,300 7,257,300
EVI Weatherford, Inc.* ................................................. 152,800 5,672,700
Noble Drilling Corp.* .................................................. 313,000 7,531,562
Occidental Petroleum Corp. ............................................. 139,000 3,753,000
------------
$ 34,413,613
------------
Financial Institutions -- 10.8%
Ace Ltd. (Bermuda) ..................................................... 121,800 $ 4,750,200
Associates First Capital Corp., "A" .................................... 125,000 9,609,375
Beneficial Corp. ....................................................... 30,400 4,656,900
Federal Home Loan Mortgage Corp......................................... 49,900 2,348,419
Lincoln National Corp. ................................................. 62,500 5,710,937
Morgan Stanley Dean Witter, & Co........................................ 50,000 4,568,750
PNC Bank Corp. ......................................................... 66,500 3,578,531
ReliaStar Financial Corp. .............................................. 23,400 1,123,200
Transamerica Corp. ..................................................... 36,000 4,144,500
------------
$ 40,490,812
------------
Leisure -- 14.9%
Aerial Communications, Inc.* ........................................... 168,100 $ 1,050,625
Cellular Communications
International, Inc.* ................................................. 86,850 4,331,644
Cendant Corp.* ......................................................... 92,500 1,930,938
Century Telephone Enterprises, Inc. .................................... 72,900 3,344,287
Citadel Communications Corp. ........................................... 3,400 54,400
Gannett Co., Inc. ...................................................... 33,000 2,345,062
Harrah's Entertainment, Inc.* .......................................... 478,208 11,118,336
Hilton Hotels Corp. .................................................... 146,000 4,161,000
Promus Hotel Corp.* .................................................... 107,000 4,119,500
Qwest Communications
International, Inc.* ................................................. 108,000 3,766,500
Sprint Corp. ........................................................... 69,800 4,920,900
Telephone & Data Systems, Inc. ......................................... 383,200 15,088,500
------------
$ 56,231,692
------------
Medical and Health Technology
and Services -- 19.9%
American Home Products Corp. ........................................... 122,000 $ 6,313,500
Bristol-Myers Squibb Co. ............................................... 55,000 6,321,563
Columbia/HCA Healthcare Corp. .......................................... 153,000 4,456,125
CVS Corp. .............................................................. 131,000 5,100,813
Genesis Health Ventures, Inc.* ......................................... 241,000 6,025,000
HealthSouth Corp.* ..................................................... 277,800 7,413,787
MedPartners, Inc.* ..................................................... 619,000 4,952,000
Mid Atlantic Medical Services, Inc.*.................................... 240,000 2,760,000
Oxford Health Plans, Inc.* ............................................. 240,000 3,675,000
Rite Aid Corp. ......................................................... 255,000 9,578,437
United Healthcare Corp. ................................................ 199,000 12,636,500
Wellpoint Health Networks, Inc.* ....................................... 79,000 5,846,000
------------
$ 75,078,725
------------
Technology -- 22.5%
Analog Devices, Inc.* .................................................. 278,600 $ 6,843,113
Aspect Telecommunications Corp.*........................................ 167,000 4,571,625
BMC Software, Inc.* .................................................... 119,000 6,180,563
Cisco Systems, Inc.* ................................................... 84,500 7,779,281
Compaq Computer Corp. .................................................. 141,000 4,000,875
Computer Associates International, Inc. ................................ 247,500 13,751,719
Computer Sciences Corp. ................................................ 80,400 5,145,600
EMC Corp.* ............................................................. 108,000 4,839,750
Global TeleSystems Group, Inc.* ........................................ 28,700 1,399,125
International Business Machines Corp. .................................. 61,700 7,083,931
Microsoft Corp.* ....................................................... 74,900 8,117,287
Oracle Corp.* .......................................................... 496,000 12,183,000
Teradyne, Inc.* ........................................................ 110,200 2,947,850
------------
$ 84,843,719
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Other -- 20.5%
Gulfstream Aerospace Corp.* ............................................ 95,800 $ 4,454,700
Intermedia Communications, Inc.* ....................................... 103,200 4,327,950
Jefferson Smurfit Corp.* ............................................... 159,400 2,505,569
Meyer (Fred), Inc.* .................................................... 102,400 4,352,000
Safeway, Inc.* ......................................................... 152,000 6,184,500
Sears, Roebuck & Co. ................................................... 126,500 7,724,406
Stone Container Corp.* ................................................. 287,500 4,492,187
Tyco International Ltd. ................................................ 590,500 37,201,500
Union Pacific Corp. .................................................... 56,000 2,471,000
Wisconsin Central
Transportation Corp.* ................................................ 159,300 3,484,688
------------
$ 77,198,500
------------
Total Stocks
(Identified Cost, $315,485,128) ..................................................... $368,257,061
------------
Convertible Preferred Stock -- 0.6%
Union Pacific Capital Trust, 6.25%
(Transportation)*##
(Identified Cost, $2,285,000)......................................... 45,700 $ 2,136,475
------------
Short-Term Obligations -- 1.6%
<CAPTION>
Principal Amount
(000 Omitted)
General Electric Co., due 7/01/98,
at Amortized Cost .................................................... $ 6,145 $ 6,145,000
------------
Total Investments
(Identified Cost, $323,915,128) ..................................................... $376,538,536
Other Assets,
Less Liabilities -- 0.1%
242,623
------------
Net Assets -- 100.0% .................................................................. $376,781,159
============
</TABLE>
See portfolio footnotes and notes to financial statements
15-MSS
<PAGE>
Portfolio of Investments -- June 30, 1998
Research Series
Stocks -- 96.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 88.7%
Aerospace -- 2.8%
Lockheed-Martin Corp. .................................................. 68,300 $ 7,231,262
United Technologies Corp. .............................................. 194,700 18,009,750
------------
$ 25,241,012
------------
Airlines -- 0.7%
AMR Corp.* ............................................................. 37,400 $ 3,113,550
US Airways Group, Inc.* ................................................ 36,000 2,853,000
------------
$ 5,966,550
------------
Automotive -- 0.1%
Ford Motor Co. ......................................................... 11,500 $ 678,500
------------
Banks and Credit Companies -- 5.2%
BankBoston Corp. ....................................................... 103,600 $ 5,762,750
Chase Manhattan Corp. .................................................. 150,624 11,372,112
Comerica, Inc. ......................................................... 133,550 8,847,687
Fleet Financial Group, Inc. ............................................ 103,400 8,633,900
National City Corp. .................................................... 103,400 7,341,400
PNC Bank Corp. ......................................................... 95,400 5,133,713
------------
$ 47,091,562
------------
Building -- 0.5%
American Standard Cos., Inc.* .......................................... 101,300 $ 4,526,844
------------
Business Machines -- 1.4%
Sun Microsystems, Inc.* ................................................ 219,700 $ 9,543,219
Xerox Corp. ............................................................ 35,800 3,638,175
------------
$ 13,181,394
------------
Business Services -- 0.5%
AccuStaff, Inc.* ....................................................... 134,100 $ 4,190,625
------------
Chemicals -- 2.2%
Air Products & Chemicals, Inc. ......................................... 163,800 $ 6,552,000
Cambrex Corp. .......................................................... 70,200 1,842,750
Cytec Industries, Inc.* ................................................ 106,000 4,690,500
DuPont (E. I.) de Nemours & Co., Inc. 29,200 2,179,050
Sigma-Aldrich Corp. .................................................... 138,600 4,868,325
------------
$ 20,132,625
------------
Computer Hardware -
Systems -- 0.5%
EMC Corp.* ............................................................. 105,900 $ 4,745,644
------------
Computer Software -- Personal
Computers -- 4.6%
Electronic Arts, Inc.* ................................................. 128,300 $ 6,928,200
Microsoft Corp.* ....................................................... 320,300 34,712,512
------------
$ 41,640,712
------------
Computer Software --
Systems -- 6.5%
Adobe Systems, Inc. .................................................... 62,800 $ 2,665,075
BMC Software, Inc.* .................................................... 226,400 11,758,650
Cadence Design Systems, Inc.* .......................................... 324,800 10,150,000
Computer Associates
International, Inc. .................................................. 149,500 8,306,594
Compuware Corp.* ....................................................... 203,100 10,383,488
Oracle Corp.* .......................................................... 421,725 10,358,620
Synopsys, Inc.* ........................................................ 111,400 5,096,550
------------
$ 58,718,977
------------
Consumer Goods and
Services -- 10.7%
Black & Decker Corp. ................................................... 112,900 $ 6,886,900
Clorox Co. ............................................................. 71,800 6,847,925
Colgate-Palmolive Co. .................................................. 158,800 13,974,400
Dial Corp. ............................................................. 151,100 3,919,156
Gillette Co. ........................................................... 247,000 14,001,813
Kimberly-Clark Corp. ................................................... 232,600 10,670,525
Procter & Gamble Co. ................................................... 112,400 10,235,425
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Consumer Goods and
Services -- continued
Revlon, Inc., "A"* ..................................................... 95,200 $ 4,890,900
Tyco International Ltd. ................................................ 402,212 25,339,356
------------
$ 96,766,400
------------
Containers -- 0.7%
Stone Container Corp.* ................................................. 402,300 $ 6,285,938
------------
Electrical Equipment -- 1.5%
Cooper Industries, Inc. ................................................ 22,500 $ 1,236,094
General Electric Co. ................................................... 137,700 12,530,700
------------
$ 13,766,794
------------
Electronics -- 0.8%
Analog Devices, Inc.* .................................................. 102,133 $ 2,508,642
Teradyne, Inc.* ........................................................ 179,600 4,804,300
------------
$ 7,312,942
------------
Entertainment -- 1.2%
CBS Corp. .............................................................. 170,700 $ 5,419,725
Jacor Communications, Inc.* ............................................ 92,600 5,463,400
------------
$ 10,883,125
------------
Financial Institutions -- 4.4%
Associates First Capital Corp., "A" .................................... 61,053 $ 4,693,449
CIT Group, Inc., "A" ................................................... 45,500 1,706,250
Federal National Mortgage Assn. ........................................ 127,600 7,751,700
First Union Corp. ...................................................... 145,588 8,480,501
Green Tree Financial Corp. ............................................. 15,100 646,469
Merrill Lynch & Co., Inc. .............................................. 36,400 3,357,900
Morgan Stanley Dean Witter & Co. ....................................... 100,800 9,210,600
Union Planters Corp. ................................................... 67,510 3,970,432
------------
$ 39,817,301
------------
Food and Beverage Products -- 1.6%
Archer-Daniels-Midland Co. ............................................. 221,400 $ 4,289,625
Corn Products International, Inc.* ..................................... 124,400 4,214,050
McCormick & Co., Inc. .................................................. 145,600 5,200,650
Nabisco Holdings Corp., "A" ............................................ 29,000 1,045,812
------------
$ 14,750,137
------------
Insurance -- 8.0%
Allstate Corp. ......................................................... 71,000 $ 6,500,937
Chubb Corp. ............................................................ 73,900 5,939,713
CIGNA Corp. ............................................................ 128,000 8,832,000
Conseco, Inc. .......................................................... 294,400 13,763,200
FPIC Insurance Group, Inc.* ............................................ 24,700 830,538
Hartford Financial Services Group, Inc. ................................ 76,100 8,703,937
Life Re Corp. .......................................................... 24,000 1,989,000
Lincoln National Corp. ................................................. 123,300 11,266,537
Nationwide Financial Services, Inc., "A" ............................... 58,000 2,958,000
Reliastar Financial Corp. .............................................. 139,296 6,686,208
Travelers Group, Inc. .................................................. 77,800 4,716,625
------------
$ 72,186,695
------------
Machinery -- 0.6%
Eaton Corp. ............................................................ 24,400 $ 1,897,100
Lear Corp.* ............................................................ 62,500 3,207,031
------------
$ 5,104,131
------------
Medical and Health Products -- 5.2%
American Home Products Corp. ........................................... 274,400 $ 14,200,200
Boston Scientific Corp.* ............................................... 98,700 7,069,387
Bristol-Myers Squibb Co. ............................................... 228,000 26,205,750
------------
$ 47,475,337
------------
Medical and Health Technology
and Services -- 5.8%
Cardinal Health, Inc. .................................................. 46,900 $ 4,396,875
</TABLE>
16-RES
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Medical and Health Technology
and Services -- continued
Columbia/HCA Healthcare Corp. .......................................... 266,500 $ 7,761,813
HBO & Co. .............................................................. 418,000 14,734,500
HealthSouth Corp.* ..................................................... 322,681 8,611,549
United Healthcare Corp. ................................................ 275,900 17,519,650
------------
$ 53,024,387
------------
Metals and Minerals -- 0.4%
Minerals Technologies, Inc. ............................................ 64,200 $ 3,266,175
------------
Oil Services -- 1.3%
Cooper Cameron Corp.* .................................................. 67,600 $ 3,447,600
Diamond Offshore Drilling, Inc. ........................................ 91,500 3,660,000
EVI Weatherford, Inc.* ................................................. 120,345 4,467,808
------------
$ 11,575,408
------------
Oils -- 3.8%
Chevron Corp. .......................................................... 72,500 $ 6,022,031
Mobil Corp. ............................................................ 58,800 4,505,550
Texaco, Inc. ........................................................... 223,900 13,364,031
USX-Marathon Group ..................................................... 311,800 10,698,638
------------
$ 34,590,250
------------
Pollution Control -- 0.6%
Browning Ferris Industries, Inc. ....................................... 127,400 $ 4,427,150
Waste Management, Inc. ................................................. 42,600 1,491,000
------------
$ 5,918,150
------------
Railroads -- 0.5%
Wisconsin Central
Transportation Corp.* ................................................ 228,200 $ 4,991,875
------------
Restaurants and Lodging -- 1.9%
Cendant Corp.* ......................................................... 348,700 $ 7,279,112
CKE Restaurants, Inc. .................................................. 101,000 4,166,250
McDonalds Corp. ........................................................ 72,200 4,981,800
Promus Hotel Corp.* .................................................... 18,686 719,411
------------
$ 17,146,573
------------
Special Products and
Services -- 0.7%
Newport News Shipbuilding, Inc. ........................................ 243,900 $ 6,524,325
------------
Stores -- 5.1%
CVS Corp. .............................................................. 244,800 $ 9,531,900
Home Depot, Inc. ....................................................... 123,150 10,229,147
Nordstrom, Inc. ........................................................ 78,400 6,056,400
Office Depot, Inc.* .................................................... 151,900 4,794,344
Rite Aid Corp. ......................................................... 412,200 15,483,262
------------
$ 46,095,053
------------
Supermarkets -- 1.9%
Meyer (Fred), Inc.* .................................................... 122,518 $ 5,207,015
Safeway, Inc.* ......................................................... 307,000 12,491,062
------------
$ 17,698,077
------------
Telecommunications -- 5.5%
Aspect Telecommunications Corp.*........................................ 313,300 $ 8,576,588
Cisco Systems, Inc.* ................................................... 140,950 12,976,209
Intermedia Communications, Inc.* ....................................... 100,800 4,227,300
MCI Communications Corp. ............................................... 96,600 5,614,875
Sprint Corp. ........................................................... 92,900 6,549,450
WorldCom, Inc.* ........................................................ 243,460 11,792,594
------------
$ 49,737,016
------------
Utilities -- Electric -- 0.5%
CalEnergy Co., Inc.* ................................................... 144,400 $ 4,341,025
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Utilities -- Gas -- 1.0%
Columbia Gas System, Inc. .............................................. 39,300 $ 2,186,063
KN Energy, Inc. ........................................................ 119,600 6,480,825
------------
$ 8,666,888
------------
Total U.S. Stocks ............................................................ $804,038,447
------------
Foreign Stocks -- 8.0%
Bermuda -- 0.7%
Ace Ltd. (Insurance) ................................................... 110,400 $ 4,305,600
Exel Ltd. (Insurance) .................................................. 26,800 2,085,375
Mid Ocean Ltd. (Insurance) ............................................. 1,800 141,300
------------
$ 6,532,275
------------
Brazil -- 0.2%
Companhia Cervejaria Brahma,
ADR (Beverages) ...................................................... 139,500 $ 1,743,750
------------
France -- 1.4%
Alcatel Alsthom Compagnie, ADR
(Telecommunications) ................................................. 300,100 $ 12,210,319
------------
Germany -- 0.2%
Henkel KGaA (Chemicals) ................................................ 21,872 $ 2,161,169
------------
Hong Kong -- 0.4%
Hutchison Whampoa Ltd.
(Conglomerate) ....................................................... 644,000 $ 3,400,194
------------
Japan -- 0.8%
Sony Corp. (Electronics) ............................................... 87,300 $ 7,550,373
------------
Netherlands -- 1.4%
Akzo Nobel N.V. (Chemicals) ............................................ 13,300 $ 2,953,233
ING Groep N.V. (Financial
Services)* ........................................................... 149,930 9,806,372
------------
$ 12,759,605
------------
Sweden -- 1.0%
Skandia Forsakrings AB
(Insurance) .......................................................... 658,000 $ 9,394,114
------------
United Kingdom -- 1.9%
British Petroleum PLC, ADR (Oils) ...................................... 162,957 $ 14,380,955
Jarvis Hotels PLC (Restaurants and
Lodging)+ ............................................................ 908,300 2,605,878
------------
$ 16,986,833
------------
Total Foreign Stocks .................................................................. $ 72,738,632
------------
Total Stocks
(Identified Cost, $697,750,897) ..................................................... $876,777,079
------------
Short-Term Obligations -- 3.0%
<CAPTION>
Principal Amount
(000 Omitted)
Federal Home Loan Mortgage
Corp., due 7/14/98 ................................................... $ 5,900 $ 5,888,367
Federal National Mortgage Assn.,
due 7/08/98 .......................................................... 5,600 5,594,088
Ford Motor Credit Corp.,
due 7/01/98 .......................................................... 15,300 15,300,000
Tennessee Valley Authority,
due 7/24/98 .......................................................... 455 453,401
------------
Total Short-Term Obligations, at Amortized Cost ....................................... $ 27,235,856
------------
Total Investments
(Identified Cost, $724,986,753) ..................................................... $904,012,935
Other Assets,
Less Liabilities -- 0.3% 2,574,229
------------
Net Assets -- 100.0% .................................................................. $906,587,164
============
</TABLE>
See portfolio footnotes and notes to financial statements
17-RES
<PAGE>
Portfolio of Investments -- June 30, 1998
Total Return Series
Stocks -- 57.5%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 49.2%
Aerospace -- 3.2%
Allied Signal, Inc. .................................................... 509,000 $ 22,586,875
General Dynamics Corp. ................................................. 160,700 7,472,550
Goodrich (B.F.) Co. .................................................... 117,500 5,830,937
Lockheed-Martin Corp. .................................................. 105,000 11,116,875
Raytheon Co., "A" ...................................................... 65,404 3,768,906
Raytheon Co., "B" ...................................................... 146,400 8,655,900
United Technologies Corp. .............................................. 23,600 2,183,000
------------
$ 61,615,043
------------
Automotive -- 1.2%
Ford Motor Co. ......................................................... 125,289 $ 7,392,051
TRW, Inc. .............................................................. 279,100 15,245,837
------------
$ 22,637,888
------------
Banks and Credit Companies -- 4.3%
Bank of New York, Inc. ................................................. 201,506 $ 12,228,895
Fleet Financial Group, Inc. ............................................ 48,100 4,016,350
National City Corp. .................................................... 326,360 23,171,560
NationsBank Corp. ...................................................... 140,300 10,732,950
Northern Trust Corp. ................................................... 88,100 6,717,625
Norwest Corp. .......................................................... 219,000 8,185,125
PNC Bank Corp. ......................................................... 335,600 18,059,475
------------
$ 83,111,980
------------
Business Machines -- 1.2%
Compaq Computer Corp. .................................................. 45,549 $ 1,292,453
International Business
Machines Corp. ....................................................... 188,500 21,642,156
------------
$ 22,934,609
------------
Cellular Telephones -- 0.2%
Telephone & Data Systems, Inc. .......................................... 84,900 $ 3,342,938
------------
Chemicals -- 0.6%
Air Products & Chemicals, Inc. .......................................... 216,000 $ 8,640,000
Dow Chemical Co. ........................................................ 20,300 1,962,756
------------
$ 10,602,756
------------
Conglomerates -- 0.1%
Eastern Enterprises ..................................................... 48,700 $ 2,088,013
------------
Consumer Goods and
Services -- 2.0%
Colgate-Palmolive Co. ................................................... 16,400 $ 1,443,200
Kimberly-Clark Corp. .................................................... 133,400 6,119,725
Philip Morris Cos., Inc. ................................................ 290,000 11,418,750
Rubbermaid, Inc. ........................................................ 204,800 6,796,800
Service Corp. International ............................................. 129,833 5,566,590
Tyco International Ltd. ................................................. 104,200 6,564,600
------------
$ 37,909,665
------------
Electrical Equipment -- 2.2%
Cooper Industries, Inc. ................................................. 174,700 $ 9,597,581
General Electric Co. .................................................... 264,900 24,105,900
Hubbell, Inc. ........................................................... 182,000 7,575,750
------------
$ 41,279,231
------------
Electronics -- 0.1%
Analog Devices, Inc.* ................................................... 100,000 $ 2,456,250
------------
Entertainment -- 0.8%
Viacom, Inc., "B"* ...................................................... 246,900 $ 14,381,925
------------
Financial Institutions -- 3.0%
American Express Co. .................................................... 54,000 $ 6,156,000
Associates First Capital Corp., "A" ..................................... 93,403 7,180,355
Beneficial Corp. ........................................................ 20,300 3,109,706
Edwards (A.G.), Inc. .................................................... 117,550 5,017,916
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Financial Institutions -- continued
Federal Home Loan Mortgage Corp. ....................................... 215,200 $ 10,127,850
Federal National Mortgage Assn. ........................................ 104,400 6,342,300
Federated Investors, Inc., "A" ......................................... 10,300 190,550
First Union Corp. ...................................................... 111,324 6,484,623
Morgan (J.P.) & Co. .................................................... 44,900 5,258,913
Morgan Stanley Dean Witter & Co. ....................................... 80,400 7,346,550
------------
$ 57,214,763
------------
Food and Beverage
Products -- 1.1%
Archer-Daniels-Midland Co. ............................................. 576,600 $ 11,171,625
General Mills, Inc. .................................................... 78,700 5,381,113
McCormick & Co., Inc. .................................................. 115,100 4,111,228
------------
$ 20,663,966
------------
Forest and Paper Products -- 1.1%
Champion International Corp. ........................................... 193,000 $ 9,493,188
Weyerhaeuser Co. ....................................................... 243,800 11,260,512
------------
$ 20,753,700
------------
Insurance -- 5.8%
Chubb Corp. ............................................................ 241,200 $ 19,386,450
CIGNA Corp. ............................................................ 217,200 14,986,800
Equitable Cos., Inc. ................................................... 178,125 13,348,242
Jefferson Pilot Corp. .................................................. 179,200 10,382,400
Lincoln National Corp. ................................................. 237,100 21,665,013
Provident Cos., Inc. ................................................... 135,000 4,657,500
Torchmark Corp. ........................................................ 326,600 14,941,950
Transamerica Corp. ..................................................... 99,000 11,397,375
------------
$110,765,730
------------
Machinery -- 0.5%
Deere & Co., Inc. ...................................................... 66,200 $ 3,500,325
Lear Corp.* ............................................................ 77,840 3,994,165
York International Corp. ............................................... 54,300 2,365,444
------------
$ 9,859,934
------------
Medical and Health Products -- 2.7%
American Home Products Corp. ........................................... 307,730 $ 15,925,027
Baxter International, Inc. ............................................. 52,300 2,814,394
Bristol-Myers Squibb Co. ............................................... 286,800 32,964,075
------------
$ 51,703,496
------------
Medical and Health Technology
and Services -- 0.9%
Columbia/HCA Healthcare Corp. .......................................... 395,000 $ 11,504,375
United Healthcare Corp. ................................................ 103,300 6,559,550
------------
$ 18,063,925
------------
Metals and Minerals -- 0.4%
Aluminum Cos. of America ............................................... 120,100 $ 7,919,094
------------
Oil Services -- 0.3%
Baker Hughes, Inc. ..................................................... 83,000 $ 2,868,687
Schlumberger Ltd. ...................................................... 49,100 3,354,144
------------
$ 6,222,831
------------
Oils -- 3.8%
Amoco Corp. ............................................................ 123,600 $ 5,144,850
Atlantic Richfield Co. ................................................. 130,800 10,218,750
Exxon Corp. ............................................................ 156,600 11,167,537
Mobil Corp. ............................................................ 66,500 5,095,563
Occidental Petroleum Corp. ............................................. 217,000 5,859,000
Texaco, Inc. ........................................................... 256,600 15,315,812
Unocal Corp. ........................................................... 221,400 7,915,050
USX-Marathon Group ..................................................... 367,900 12,623,569
------------
$ 73,340,131
------------
</TABLE>
18-TRS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Photographic Products -- 0.2%
Eastman Kodak Co. ...................................................... 58,000 $ 4,237,625
--------------
Pollution Control -- 0.5%
Browning Ferris Industries, Inc. ....................................... 302,400 $ 10,508,400
--------------
Railroads -- 0.2%
Norfolk Southern Corp. ................................................. 146,100 $ 4,355,606
--------------
Real Estate Investment
Trusts -- 1.0%
Arden Realty, Inc. ..................................................... 140,100 $ 3,625,087
Boston Properties, Inc. ................................................ 102,900 3,550,050
Hospitality Properties Trust ........................................... 126,000 4,047,750
Prime Group Realty Trust ............................................... 150,100 2,570,463
TriNet Corporate Realty Trust, Inc. .................................... 136,400 4,637,600
--------------
$ 18,430,950
--------------
Stores -- 2.5%
Penney (J.C.), Inc. .................................................... 198,700 $ 14,368,494
Rite Aid Corp. ......................................................... 524,380 19,697,024
Sears, Roebuck & Co. ................................................... 234,200 14,300,837
--------------
$ 48,366,355
--------------
Supermarkets -- 0.4%
Meyer (Fred), Inc.* .................................................... 98,600 $ 4,190,500
Safeway, Inc.* ......................................................... 65,000 2,644,688
--------------
$ 6,835,188
--------------
Telecommunications -- 0.7%
Sprint Corp. ........................................................... 200,200 $ 14,114,100
--------------
Utilities -- Electric -- 3.3%
Carolina Power & Light Co. ............................................. 300,200 $ 13,021,175
Cinergy Corp. .......................................................... 197,000 6,895,000
CMS Energy Corp., "G" .................................................. 115,000 5,060,000
FPL Group, Inc. ........................................................ 45,200 2,847,600
GPU, Inc. .............................................................. 116,900 4,420,281
New Century Energies, Inc. ............................................. 176,500 8,019,719
Pacificorp ............................................................. 237,800 5,380,225
Pinnacle West Capital Corp. ............................................ 172,000 7,740,000
Southern Co. ........................................................... 337,800 9,352,837
--------------
$ 62,736,837
--------------
Utilities -- Gas -- 2.1%
Coastal Corp. .......................................................... 274,000 $ 19,128,625
Columbia Gas System, Inc. .............................................. 189,300 10,529,812
Marketspan Corp.* ...................................................... 175,000 5,239,063
UGI Corp. .............................................................. 110,000 2,736,250
Williams Cos., Inc. .................................................... 49,900 1,684,125
--------------
$ 39,317,875
--------------
Utilities -- Telephone -- 2.8%
AT&T Corp. ............................................................. 194,300 $ 11,099,387
Bell Atlantic Corp. .................................................... 172,000 7,847,500
BellSouth Corp. ........................................................ 27,500 1,845,938
GTE Corp. .............................................................. 379,600 21,115,250
SBC Communications, Inc. ............................................... 304,006 12,160,240
--------------
$ 54,068,315
--------------
Total U.S. Stocks ...................................................................... $ 941,839,119
--------------
Foreign Stocks -- 8.3%
Canada -- 0.3%
Canadian National Railway Co.
(Railroads) .......................................................... 106,100 $ 5,636,563
--------------
France -- 0.4%
Alcatel Alsthom Compagnie, ADR
(Telecommunications) ................................................. 178,000 $ 7,242,375
--------------
Germany -- 1.1%
Henkel KGaA (Chemicals) ................................................ 153,000 $ 15,117,907
Hoechst AG (Chemicals) ................................................. 138,500 6,957,584
--------------
$ 22,075,491
--------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Netherlands -- 2.4%
Akzo Nobel N.V. (Chemicals) ............................................ 94,100 $ 20,894,682
ING Groep N.V. (Financial
Services)* ........................................................... 245,300 16,044,174
Royal Dutch Petroleum Co., ADR
(Oils) ............................................................... 151,600 8,309,575
--------------
$ 45,248,431
--------------
Sweden -- 0.7%
Volvo AB, ADR (Automotive) ............................................. 432,500 $ 12,785,781
--------------
Switzerland -- 0.6%
Nestle AG (Food and Beverage
Products) ............................................................ 5,300 $ 11,348,153
--------------
United Kingdom -- 2.8%
British Petroleum PLC, ADR (Oils) ...................................... 382,346 $ 33,742,034
Diageo PLC (Food and Beverage
Products) ............................................................ 331,219 3,922,563
Glaxo Wellcome PLC, ADR (Medical
and Health Products) ................................................. 175,100 10,473,169
SmithKline-Beecham PLC, ADR
(Medical and Health Products) ........................................ 85,700 5,184,850
--------------
$ 53,322,616
--------------
Total Foreign Stocks ................................................................... $ 157,659,410
--------------
Total Stocks
(Identified Cost, $867,209,617) ...................................................... $1,099,498,529
--------------
Bonds -- 37.2%
<CAPTION>
Principal Amount
(000 Omitted)
U.S. Bonds -- 36.1%
Aerospace -- 0.2%
Northrup Grumman Corp.,
9.375s, 2024 ......................................................... $ 1,145 $ 1,401,205
Stellex Industries, Inc., 9.5s, 2007 ................................... 1,825 1,793,063
--------------
$ 3,194,268
--------------
Airlines -- 0.5%
Continental Airlines, Inc.,
9.5s, 2001 ........................................................... $ 4,675 $ 4,973,031
Northwest Airlines, Inc.,
7.625s, 2005 ......................................................... 2,943 2,954,507
Northwest Airlines, Inc., 8.7s, 2007.................................... 1,385 1,453,960
--------------
$ 9,381,498
--------------
Apparel and Textiles -- 0.1%
Burlington Industries, Inc.
7.25s, 2027 .......................................................... $ 1,000 $ 1,031,640
--------------
Automotive -- 0.4%
Federal - Mogul Corp., 7.5s, 2004 ...................................... $ 2,360 $ 2,355,256
Federal - Mogul Corp., 7.75s, 2006...................................... 815 814,707
Ford Motor Co., 8.9s, 2032 ............................................. 3,285 4,203,848
Ford Motor Credit Co.,
6.125s, 2003 ......................................................... 590 590,041
--------------
$ 7,963,852
--------------
Banks and Credit Companies -- 1.7%
Beaver Valley Funding Corp.,
9s, 2017 ............................................................. $ 5,221 $ 5,970,475
BT Institutional Capital Trust,
7.75s, 2026## ........................................................ 1,600 1,685,664
Capital One Financial Corp.,
7.25s, 2003 .......................................................... 1,500 1,518,765
Colonial Capital II, 8.92s, 2027 ....................................... 1,115 1,252,814
First Chicago NBD Institutional
Capital, 7.95s, 2026## ............................................... 850 922,700
</TABLE>
19-TRS
<PAGE>
Portfolio of Investments -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Banks and Credit Companies -- continued
Fleet Financial Group, Inc.,
6.375s, 2008 ......................................................... $ 5,500 $ 5,511,000
MBNA Capital, 8.278s, 2026 ............................................. 3,700 4,011,577
Providian National Bank, 6.7s, 2003..................................... 2,500 2,527,500
Riggs National Corp., 8.5s, 2006 ....................................... 1,000 1,047,210
Socgen Real Estate Co.,
7.64s, 2049## ........................................................ 3,300 3,320,163
State Street Bank & Trust,
7.94s, 2026## ........................................................ 1,700 1,878,687
Washington Mutual Capital I,
8.375s, 2027 ......................................................... 1,750 1,974,175
-----------
$31,620,730
-----------
Building -- 0.3%
American Standard, Inc.,
7.625s, 2010 ......................................................... $ 820 $ 803,600
McDermott, Inc., 9.375s, 2002 .......................................... 3,000 3,212,280
Owens Corning Fiberglass Corp.,
8.875s, 2002 ......................................................... 800 853,304
Owens Corning Fiberglass Corp.,
9.9s, 2015## ......................................................... 745 821,094
-----------
$ 5,690,278
-----------
Business Machines -- 0.2%
Xerox Corp., 0s, 2018 .................................................. $ 6,750 $ 3,847,500
-----------
Cellular Telephones -- 0.2%
AirTouch Communications, Inc.
6.65s, 2008 .......................................................... $ 3,570 $ 3,597,596
----------
Chemicals -- 0.2%
Solutia, Inc., 7.375s, 2027 ............................................ $ 4,490 $ 4,654,918
-----------
Conglomerates -- 0.3%
News America Holdings, Inc.,
6.625s, 2008 ......................................................... $ 1,630 $ 1,627,571
News America Holdings, Inc.,
7.75s, 2045 .......................................................... 855 917,595
News America Holdings, Inc.,
8s, 2016 ............................................................. 2,500 2,754,425
-----------
$ 5,299,591
-----------
Construction Services -- 0.3%
Georgia Pacific Corp., 9.5s, 2022 ...................................... $ 2,240 $ 2,612,131
Georgia Pacific Corp., 9.875s, 2021..................................... 2,825 3,184,453
-----------
$ 5,796,584
-----------
Consumer Goods and Services -- 0.5%
HealthSouth Corp., 6.875s, 2005 ........................................ $ 3,300 $ 3,301,221
Hilfiger (Tommy) USA, Inc.
6.5s, 2003 ........................................................... 2,370 2,367,915
Hilfiger (Tommy) USA, Inc.,
6.85s, 2008 .......................................................... 1,795 1,793,133
Revlon Consumer Products Corp.,
8.625s, 2008 ## ...................................................... 2,000 2,000,000
-----------
$ 9,462,269
-----------
Containers
Gaylord Container Corp.,
9.75s, 2007 .......................................................... $ 550 $ 541,750
-----------
Corporate Asset Backed -- 5.5%
AT&T Universal Card Master Trust,
5.788s, 2003 ......................................................... $18,000 $18,011,160
AT&T Universal Card Master Trust,
5.789s, 2004 ......................................................... 6,000 6,007,500
Banamex Credit Card Merchant
Voucher, 6.25s, 2003 ................................................. 2,000 1,999,375
BCF LLC, 7.75s, 2026## ................................................. 875 860,799
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Corporate Asset Backed -- continued
Beneficial Home Equity Loan Trust,
5.768s, 2037 ......................................................... $11,360 $ 11,349,776
Charming Shoppes Master Trust,
7s, 1999 ............................................................. 3,193 3,213,946
Contimortgage Home Equity,
6.13s, 2013 .......................................................... 5,000 5,006,250
Continental Airlines, Inc.,
9.5s, 2013 ........................................................... 817 955,402
Continental Airlines, Inc.,
10.22s, 2014 ......................................................... 2,704 3,294,007
Continental Airlines Pass-Through
Trust, 6.41s, 2007 ................................................... 650 650,650
Continental Airlines Pass-Throug
Trust, Inc., 6.648s, 2017 ............................................ 2,125 2,168,308
Continental Airlines Pass-Through
Trust, Inc., 7.461s, 2015 ............................................ 396 428,994
Criimi Mae Commercial Mortgage
Trust, 7s, 2011+ ..................................................... 1,630 1,597,909
Ford Credit Auto Owner Trust,
5.8s, 2000 ........................................................... 4,209 4,207,653
Jet Equipment Trust, 8.64s, 2012##...................................... 938 1,061,706
Jet Equipment Trust, 9.41s, 2010##...................................... 1,000 1,210,560
Jet Equipment Trust,
10.69s, 2015## ....................................................... 1,000 1,330,460
Jet Equipment Trust,
11.44s, 2014## ....................................................... 1,200 1,642,092
MBNA Master Credit Card Trust II,
5.766s, 2005 ......................................................... 3,100 3,101,922
Merrill Lynch Mortgage Investors,
Inc., 8.161s, 2022+ .................................................. 514 497,375
Partners First Credit Card Master,
Trust, 5.756s, 2027 .................................................. 14,000 14,000,000
Peoples Bank Credit Card Master
Trust, 5.776s, 2004 .................................................. 6,772 6,824,906
SLM Student Loan Trust, 7s, 2007 ....................................... 8,000 8,000,000
Time Warner Pass-Through Asset
Trust, 6.1s, 2001## .................................................. 4,210 4,189,455
United Airlines Pass-Through Trust,
7.27s, 2013 .......................................................... 3,673 3,837,277
------------
$105,447,482
------------
Electrical Equipment
Honeywell, Inc., 6.625s, 2028 .......................................... $ 800 $ 810,112
------------
Entertainment -- 1.5%
Circus Circus Enterprises, Inc.,
7s, 2036 ............................................................. $ 3,495 $ 3,383,789
Hearst Argyle Television, Inc.,
7s, 2018 ............................................................. 1,110 1,128,615
Hearst Argyle Television, Inc.,
7.5s, 2027 ........................................................... 2,511 2,674,817
Time Warner, Inc., 8.3s, 2036 .......................................... 9,400 3,058,478
Time Warner, Inc., 9.125s, 2013 ........................................ 6,372 7,755,043
Time Warner, Inc., 9.15s, 2023 ......................................... 5,165 6,511,825
Viacom, Inc., 6.75s, 2003 .............................................. 3,425 3,459,216
------------
$ 27,971,783
------------
Financial Institutions -- 2.4%
Bear Stearns Cos., Inc., 6.2s, 2003..................................... $ 3,650 $ 3,657,811
Capital One Bank, 6.7s, 2008 ........................................... 4,070 4,112,979
Donaldson Lufkin & Jenrette,
6.5s, 2008 ........................................................... 1,780 1,779,858
First Empire Capital Trust I
8.234s, 2027 ......................................................... 3,800 4,163,204
First Merchants Acceptance Corp.,
9.5s, 2006** ......................................................... 640 256,000
</TABLE>
20-TRS
<PAGE>
Portfolio of Investments -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Financial Institutions -- continued
Goldman Sachs Group LP,
5.9s, 2003 ........................................................... $3,400 $ 3,355,120
Greenpoint Capital Trust I,
9.1s, 2027 ........................................................... 750 846,982
Lehman Brothers, Inc., 6.5s, 2008 ...................................... 8,885 8,931,024
Lehman Brothers, Inc., 7.5s, 2026 ...................................... 2,890 3,223,102
Leucadia Capital Trust, 8.65s, 2027.................................... 1,300 1,429,675
Natexis Ambs Co. LLC, 8.44s, 2049....................................... 3,255 3,243,933
Paine Webber Group, Inc.,
6.55s, 2008 .......................................................... 1,080 1,072,818
Riggs Capital II, 8.875s, 2027 ......................................... 2,450 2,728,687
Salomon, Inc., 7.2s, 2004 .............................................. 860 902,200
Salton Sea Funding Corp.,
7.37s, 2005 .......................................................... 1,421 1,458,147
Salton Sea Funding Corp.,
7.84s, 2010 .......................................................... 2,325 2,530,553
Salton Sea Funding Corp.,
8.3s, 2011 ........................................................... 800 887,736
United Cos. Financial Corp.,
7.7s, 2004 ........................................................... 850 841,186
-----------
$45,421,015
-----------
Financial Services
Contifinancial Corp., 7.5s, 2002 ....................................... $ 500 $ 497,700
-----------
Food Products -- 0.1%
Nabisco, Inc., 6.375s, 2035 ............................................ $1,554 $ 1,544,008
-----------
Forest and Paper Products -- 0.4%
Boise Cascade Co., 7.43s, 2005 ......................................... $1,280 $ 1,310,541
Georgia Pacific Corp., 7.25s, 2028...................................... 3,390 3,457,529
Waterford 3 Funding Corp.,
8.09s, 2017 .......................................................... 2,340 2,425,503
-----------
$ 7,193,573
-----------
Industrial -- 0.9%
Hayes Wheels International, Inc.,
9.125s, 2007 ......................................................... $ 550 $ 574,750
Interace Inc., 7.3s, 2008 .............................................. 2,000 2,018,780
Lowes Cos., Inc., 6.875s, 2028 ......................................... 850 875,874
Owens Illinois, Inc., 7.35s, 2008 ...................................... 4,500 4,555,980
Owens Illinois, Inc., 7.5s, 2010 ....................................... 4,000 4,055,880
Owens Illinois, Inc., 7.8s, 2018 ....................................... 5,300 5,435,733
-----------
$17,516,997
-----------
Insurance -- 1.7%
Atlantic Mutual Insurance Co.,
8.15s, 2028 .......................................................... $4,983 $ 5,150,429
Conseco, Inc., 6.4s, 2001 .............................................. 2,875 2,873,160
Equitable Life Assurance Society,
7.7s, 2015## ......................................................... 2,533 2,794,355
Fairfax Financial Holdings Limited,
7.375s, 2018 ......................................................... 2,125 2,179,867
Nationwide Mutual Life Insurance
Co., 7.5s, 2024## .................................................... 3,200 3,317,632
NGC Corp. Capital Trust I,
8.316s, 2027 ......................................................... 4,100 4,843,166
Providian Capital I, 9.525s, 2027 ...................................... 3,050 3,520,462
Safeco Capital Trust I, 8.072s, 2037.................................... 3,965 4,237,039
Travelers Capital III, 7.75s, 2036 ..................................... 3,250 3,405,610
-----------
$32,321,720
-----------
Medical and Health Products -- 0.1%
Tenet Healthcare Corp.,
7.625s, 2008## ....................................................... $2,250 $ 2,275,312
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Medical and Health Technology
and Services -- 0.4%
Columbia/HCA Healthcare Corp.,
6.5s, 1999 ........................................................... $ 850 $ 845,869
Columbia/HCA Healthcare Corp.,
6.875s, 2001 ......................................................... 850 833,459
Columbia/HCA Healthcare Corp.,
6.91s, 2005 .......................................................... 1,635 1,588,026
Columbia/HCA Healthcare Corp.,
7.69s, 2025 .......................................................... 4,855 4,690,853
-----------
$ 7,958,207
-----------
Metals and Minerals -- 0.1%
Kaiser Aluminum & Chemical Corp.,
10.875s, 2006 ........................................................ $ 775 $ 833,125
-----------
Oil Services -- 0.2%
Clark Refining & Marketing, Inc.,
8.375s, 2007 ......................................................... $ 850 $ 854,250
KCS Energy, Inc., 8.875s, 2008 ......................................... 850 807,500
Ultramar Diamond Shamrock Corp.,
7.2s, 2017 ........................................................... 1,680 1,746,965
Vintage Petroleum, Inc.,
8.625s, 2009 ......................................................... 850 858,500
-----------
$ 4,267,215
-----------
Oils -- 0.7%
Belco Oil & Gas Corp.,
8.875s, 2007 ......................................................... $ 850 $ 820,250
Cliffs Drilling Co., 10.25s, 2003 ...................................... 850 909,500
Lasmo USA, Inc., 7.125s, 2003 ......................................... 801 820,024
Lasmo USA, Inc., 7.3s, 2027 ............................................ 2,009 2,002,993
Oryx Energy Co., 8.375s, 2004 .......................................... 2,645 2,851,654
Petroleum Geo Services A/S,
7.125s, 2028 ......................................................... 3,670 3,714,187
Synder Oil Corp., 8.75s, 2007 .......................................... 425 427,125
Transocean Offshore, Inc., 8s, 2027..................................... 1,305 1,480,809
Wiser Oil Co., 9.5s, 2007 .............................................. 850 799,000
-----------
$13,825,542
-----------
Restaurants and Lodging -- 0.1%
Circus Circus Enterprises, Inc.,
6.7s, 2096 ........................................................... $1,700 $ 1,649,034
Hilton Hotels Corp., 7.95s, 2007 ....................................... 990 1,034,619
-----------
$ 2,683,653
-----------
Retail
Cole National Group, Inc.,
8.625s, 2007 ......................................................... $ 250 $ 252,500
-----------
Special Products and
Services
Polymer Group, Inc., 9s, 2007 .......................................... $ 200 $ 203,500
-----------
Telecommunications -- 1.2%
Allbritton Communications Co.,
8.875s, 2008 ......................................................... $ 820 $ 885,600
Continental Cablevision, Inc.,
11s, 2007 ............................................................ 2,000 2,183,580
EchoStar Communications Corp.,
0s to 1999, 12.875s to 2004 .......................................... 550 534,875
Fox/Liberty Networks LLC, Inc.,
8.875s, 2007 ......................................................... 690 703,800
Intermedia Communications, Inc.,
0s to 2002, 11.25s to 2007 ........................................... 1,220 890,600
ITC Deltacom, Inc., 11s, 2007 .......................................... 260 291,200
Level 3 Commerce, Inc.,
9.125s, 2008## ....................................................... 525 510,563
</TABLE>
21-TRS
<PAGE>
Portfolio of Investments -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Telecommunications -- continued
LIN Television Corp.,
8.375s, 2008## ..................................................... $ 550 $ 561,000
Nextel Communications, Inc.,
0s to 1999, 9.75s, 2004 ............................................ 500 486,250
NTL, Inc., 0s to 2003,
9.75s to 2008## .................................................... 425 276,250
TCI Communications Financing III,
9.65s, 2027 ........................................................ 3,000 3,674,910
TCI Communications, Inc.,
6.375s, 2003 ....................................................... 125 125,919
TCI Communications, Inc., 8s, 2005.................................... 1,312 1,432,573
Tele-Communications, Inc.,
6.34s, 2002 ........................................................ 3,250 3,238,007
Tele-Communications, Inc.,
7.49s, 2003 ........................................................ 2,900 3,061,675
Turner Broadcasting Systems, Inc.,
8.375s, 2013 ....................................................... 523 599,452
Western Wireless Corp.,
10.5s, 2007 ........................................................ 1,825 1,961,875
WorldCom, Inc., 8.875s, 2006 ......................................... 1,600 1,740,592
------------
$ 23,158,721
------------
Transportation -- 0.1%
Federal Express Corp., 7.65s, 2014.................................... $ 1,182 $ 1,281,605
------------
U.S. Federal Agencies -- 1.5%
Federal National Mortgage
Association -- 1.5%
FNMA, 6.5s, 2013 ..................................................... $28,892 $ 29,054,812
------------
Total U.S. Federal Agencies ............................................................ $ 29,054,812
------------
U.S. Government Guaranteed -- 9.9%
Government National Mortgage
Association -- 2.6%
GNMA, 7s, 2027 - 2028 ................................................ $ 6,833 $ 6,942,335
GNMA, 7.5s, 2026 - 2027 .............................................. 14,649 15,055,879
GNMA, 8s, 2025 - 2027 ................................................ 26,259 27,176,636
------------
$ 49,174,850
------------
U.S. Treasury Obligations -- 7.3%
U.S. Treasury Bonds, 6.125s, 2027..................................... $31,382 $ 33,627,696
U.S. Treasury Bonds, 9.875s, 2015..................................... 5,900 8,593,704
U.S. Treasury Bonds,
12.375s, 2004 ...................................................... 1,900 2,541,554
U.S. Treasury Notes, 5.625s, 2008 .................................... 8,392 8,506,047
U.S. Treasury Notes, 6.25s, 2002 ..................................... 9,825 10,081,334
U.S. Treasury Notes, 6.5s, 2006 ...................................... 17,232 18,298,144
U.S. Treasury Notes, 6.625s, 2002 .................................... 1,600 1,657,248
U.S. Treasury Notes, 7.875s, 2004 .................................... 6,540 7,345,205
U.S. Treasury Notes, 8.5s, 2000 ...................................... 25,875 27,051,536
U.S. Treasury Notes, 9.125s, 1999 .................................... 21,850 22,512,274
------------
$140,214,742
------------
Total U.S. Government Guaranteed ............................................. $189,389,592
------------
Utilities -- Electric -- 3.6%
CalEnergy Co., Inc., 7.63s, 2007 ..................................... $ 1,000 $ 1,005,340
Cleveland Electric Illuminating Co.,
7.43s, 2009 ........................................................ 4,345 4,524,535
Cleveland Electric Illuminating Co.,
7.88s, 2017 ........................................................ 2,800 3,056,228
Cleveland Electric Illuminating Co.,
9s, 2023 ........................................................... 2,325 2,569,590
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Utilities -- Electric -- continued
Comed Financing II, 8.5s, 2027## ..................................... $ 1,500 $ 1,605,870
Commonwealth Edison Co.,
7.625s, 2007 ....................................................... 3,635 3,864,114
Connecticut Light & Power Co.,
8.59s, 2003 ........................................................ 3,000 3,033,750
Connecticut Light & Power Co.,
7.75s, 2002 ........................................................ 2,000 2,050,260
Connecticut Light & Power Co.,
7.875s, 2024 ....................................................... 2,500 2,550,750
Edison Mission Energy,
7.33s, 2008## ...................................................... 475 503,576
El Paso Electric Co., 8.9s, 2006 ..................................... 525 592,189
First PV Funding Corp.,
10.15s, 2016 ....................................................... 583 621,006
First PV Funding Corp.,
10.3s, 2014 ........................................................ 1,023 1,090,057
GGIB Funding Corp., 7.43s, 2011 ...................................... 6,702 6,733,696
Long Island Lighting Co.,
8.2s, 2023 ......................................................... 3,650 4,078,948
Long Island Lighting Co., 9s, 2022.................................... 1,740 1,984,627
Midland Cogeneration Venture
Corp., 10.33s, 2002 ................................................ 512 553,973
Midland Funding Corp. II, "A",
11.75s, 2005 ....................................................... 1,125 1,353,307
Montana Power Co., 7.875s, 2026 ...................................... 200 231,734
Niagara Mohawk Power Corp.,
7.75s, 2006 ........................................................ 3,952 4,228,166
Niagara Mohawk Power Corp.,
8.5s, 2023 ......................................................... 1,400 1,549,142
Niagara Mohawk Power Corp.,
8.75s, 2022 ........................................................ 1,675 1,842,400
Niagara Mohawk Power Corp.,
8.77s, 2018 ........................................................ 3,195 3,418,586
North Atlantic Energy, 9.05s, 2002 ................................... 1,137 1,168,711
Seabrook Station - Unit 1,
7.83s, 2019 ........................................................ 1,649 1,751,574
Texas & New Mexico Power Co.,
12.5s, 1999 ........................................................ 2,500 2,575,325
Texas Utilities Co., 6.375s, 2008 .................................... 3,000 2,939,850
Toledo Edison Co., 7.875s, 2004 ...................................... 2,350 2,476,571
United Illuminating Co., 6.25s, 2002.................................. 1,000 993,170
Utilicorp United, Inc., 8.45s, 1999 .................................. 3,790 3,906,846
------------
$ 68,853,891
------------
Utilities -- Gas -- 0.8%
Coastal Corp., 6.95s, 2028 ........................................... $ 4,240 $ 4,096,137
Coastal Corp., 7.42s, 2037 ........................................... 4,090 4,276,054
Consumers Energy Co.,
6.375s, 2008 ....................................................... 1,300 1,279,746
Louis Dreyfus Natural Gas Corp.,
6.875s, 2007 ....................................................... 1,800 1,810,062
Tennessee Gas Pipeline Co.,
7.625s, 2037 ....................................................... 2,126 2,301,119
Texas Gas Transmission Corp.,
7.25s, 2027 ........................................................ 1,700 1,768,935
------------
$ 15,532,053
------------
Total U.S. Bonds ....................................................................... $690,376,592
------------
Foreign Bonds -- 1.1%
Argentina -- 0.2%
Hidroelectrica Alicura, 8.375s, 1999
(Utilities - Electric)## ........................................... $ 4,296 $ 4,274,520
--------------
</TABLE>
22-TRS
<PAGE>
Portfolio of Investments -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Foreign Bonds -- continued
Canada -- 0.2%
Gulf Canada, 9.25s, 2004 (Oils) ...................................... $2,445 $ 2,555,685
Rogers Cantel, Inc., 9.375s, 2008
(Telecommunications) ............................................... 550 572,000
------------
$ 3,127,685
------------
Chile -- 0.1%
Empresa Nacional de Electric,
7.325s, 2037 (Utilities - Electric) ................................ $1,610 $ 1,573,051
------------
Colombia -- 0.1%
Republic of Colombia, 8.75s, 1999
(Government) ....................................................... $1,000 $ 1,020,000
------------
Finland -- 0.1%
Upm Kymmene Corp., 7.45s, 2027
(Forest and Paper Products) ........................................ $2,000 $ 2,118,140
------------
Mexico -- 0.1%
Banco Commercial S.A., 8.25s,
2007 (Financial Services) .......................................... $1,190 $ 1,174,768
Corporacion Andina de Fomento,
7.1s, 2003 (Banks and Credit
Companies) ......................................................... 1,140 1,168,956
Satelites Mexicanos S.A. de C.V.,
10.125s, 2004
(Telecommunications) ............................................... 550 537,625
------------
$ 2,881,349
------------
Panama -- 0.1%
Republic of Panama, 8.25s, 2008
(Government) ....................................................... $1,880 $ 1,833,000
------------
Thailand
Jasmine Submarine Telecom Ltd.,
8.483s, 2011 (Industrial) .......................................... $ 978 $ 878,296
------------
Venezuela -- 0.2%
Cerro Negro Finance Limited, 7.9s,
2020 (Financial Institutions) ..................................... $3,783 $ 3,707,340
------------
Total Foreign Bonds .................................................................... $ 21,413,381
------------
Total Bonds
(Identified Cost, $698,446,791) ...................................................... $711,789,973
------------
Convertible Bond -- 0.1%
Germany -- 0.1%
Daimler Benz, 0s, 2017
(Automotive) (Identified Cost,
$1,810,342) ........................................................ $3,680 $ 2,033,200
------------
Municipal Bond -- 0.2%
Utilities -- Electric -- 0.2%
Long Island Power Authority, New
York Electric, 5.125s, 2022
(Identified Cost, $2,851,773)...................................... $2,900 $ 2,858,443
------------
</TABLE>
Preferred Stock -- 0.3%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Banks and Credit Companies -- 0.1%
NB Capital Corp., 8.35%* ............................................ 1,700 $ 1,837,700
--------------
Media
Primedia, Inc., 8.625%* ............................................. 5,500 $ 533,500
--------------
Oils
USX-Marathon Capital, LLC, 8.75%..................................... 18,900 $ 471,319
--------------
Utilities -- Electric -- 0.1%
Marketspan Corp., 7.95% ............................................. 80,000 $ 2,140,000
--------------
Utilities -- Gas -- 0.1%
El Paso Tennessee Pipeline Co.,
8.25% ............................................................. 16,000 $ 889,000
--------------
Total Preferred Stock
(Identified Cost, $5,472,600) .............................................. $ 5,871,519
--------------
Convertible Preferred Stock -- 0.5%
Banks and Credit Companies
WBK Trust, 10% ...................................................... 14,200 $ 428,662
--------------
Consumer Goods and Services -- 0.5%
Newell Financial Trust Co., 5.25%* .................................. 174,200 $ 10,060,050
--------------
Total Convertible Preferred Stock
(Identified Cost, $9,591,422) ........................................................ $ 10,488,712
--------------
Rights -- 0.2%
Stores -- 0.2%
CVS Corp.*
(Identified Cost, $3,636,841)...................................... 51,200 $ 3,907,200
--------------
Short-Term Obligations -- 4.3%
<CAPTION>
Principal Amount
(000 Omitted)
Federal Home Loan Mortgage
Corp., due 7/09/98 - 8/05/98 ..................................... $51,750 $ 51,550,429
Federal National Mortgage Assn.,
due 7/02/98 - 7/16/98 ............................................ 24,450 24,418,600
Ford Motor Credit Corp.,
due 7/01/98 ...................................................... 6,740 6,740,000
--------------
Total Short-Term Obligations, at Amortized Cost ........................................ $ 82,709,029
--------------
Total Investments
(Identified Cost, $1,671,728,415) .................................................... $1,919,156,605
Other Assets,
Less Liabilities -- (0.3)% (5,967,050)
--------------
Net Assets -- 100.0% ................................................................... $1,913,189,555
==============
</TABLE>
See portfolio footnotes and notes to financial statements
23-TRS
<PAGE>
Portfolio of Investments -- June 30, 1998
Utilities Series
Stocks -- 83.8%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 62.9%
Conglomerates -- 1.1%
Eastern Enterprises .................................................... 45,400 $ 1,946,525
------------
Oils -- 0.6%
Enron Oil & Gas Co. .................................................... 51,600 $ 1,044,900
------------
Real Estate Investment Trusts -- 7.0%
Beacon Capital Partners, Inc.## ........................................ 66,000 $ 1,320,000
Camden Property Trust .................................................. 42,200 1,255,450
Carramerica Realty Corp. ............................................... 40,000 1,135,000
CBL & Associates Properties, Inc. ...................................... 15,500 375,875
Highwood Properties, Inc. .............................................. 31,600 1,021,075
Hospitality Properties Trust ........................................... 13,900 446,538
Kilroy Realty Corp. .................................................... 31,800 795,000
Mack California Realty Corp. ........................................... 8,200 281,875
National Health Investors, Inc. ........................................ 13,800 457,125
Patriot American Hospitality, Inc. ..................................... 38,900 931,169
Prime Group Realty Trust ............................................... 21,200 363,050
SL Green Realty Corp. .................................................. 67,500 1,518,750
Starwood Lodging Trust ................................................. 20,900 1,009,731
Storage Trust Realty ................................................... 23,400 546,975
TriNet Corporate Realty Trust, Inc. .................................... 23,400 795,600
------------
$ 12,253,213
------------
Special Products and Services -- 0.3%
MCN Energy Group, Inc. ................................................. 21,400 $ 532,325
------------
Telecommunications -- 11.0%
Allegiance Telecom, Inc. ............................................... 7,300 $ 109,500
Alltel Corp. ........................................................... 27,400 1,274,100
Cellular Communications
International* ....................................................... 26,200 1,306,725
Century Telephone Enterprises, Inc...................................... 33,550 1,539,106
Cincinnati Bell, Inc. .................................................. 44,800 1,282,400
Global TeleSystems Group, Inc.* ........................................ 39,400 1,920,750
Hyperion Telecommunications, Inc., "A"* ................................ 1,200 18,825
Intermedia Communications, Inc.* ....................................... 22,200 931,013
IXC Communications, Inc.* .............................................. 41,900 2,032,150
MCI Communications Corp. ............................................... 18,100 1,052,062
Nextlink Communications, Inc., "A"*..................................... 33,200 1,257,450
Qwest Communications
International, Inc.* ................................................. 62,658 2,185,198
WorldCom, Inc.* ........................................................ 92,230 4,467,391
------------
$ 19,376,670
------------
Utilities -- Electric -- 24.3%
AES Corp.* ............................................................. 32,700 $ 1,718,794
Atmos Energy Corp. ..................................................... 50,100 1,528,050
Baltimore Gas & Electric Co. ........................................... 25,400 788,988
CalEnergy Co., Inc.* ................................................... 120,000 3,607,500
Carolina Power & Light Co. ............................................. 58,700 2,546,112
Cinergy Corp. .......................................................... 58,700 2,054,500
CMS Energy Corp. ....................................................... 31,000 763,375
CMS Energy Corp., "G" .................................................. 52,100 2,292,400
El Paso Electric Co.* .................................................. 115,900 1,064,831
Florida Progress Corp. ................................................. 45,000 1,850,625
GPU, Inc. .............................................................. 47,800 1,807,437
Illinova Corp. ......................................................... 71,700 2,151,000
LG & E Energy Corp. .................................................... 16,800 454,650
New Century Energies, Inc. ............................................. 45,700 2,076,494
Niagara Mohawk Power Corp.* ............................................ 67,400 1,006,788
Nipsco Industries, Inc. ................................................ 77,300 2,164,400
Peco Energy Co. ........................................................ 39,900 1,164,581
Public Service Co. of New Mexico ....................................... 59,400 1,347,637
Public Service Enterprise Group ........................................ 51,700 1,780,419
Scana Corp. ............................................................ 44,200 1,317,712
Sempra Energy* ......................................................... 13,700 380,175
Sierra Pacific Resources ............................................... 64,700 2,349,419
Texas Utilities Co. .................................................... 82,200 3,421,575
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Utilities -- Electric -- continued
TNP Enterprises, Inc. .................................................. 35,800 $ 1,105,325
Unicom Corp. ........................................................... 54,800 1,921,425
------------
$ 42,664,212
------------
Utilities -- Gas -- 13.9%
Coastal Corp. .......................................................... 25,900 $ 1,808,144
Columbia Gas System, Inc. .............................................. 61,850 3,440,406
Consolidated Natural Gas Co.* .......................................... 23,300 1,371,788
Energen Corp. .......................................................... 28,500 573,563
Enron Corp. ............................................................ 52,600 2,843,687
KN Energy, Inc. ........................................................ 87,900 4,763,081
National Fuel Gas Co. .................................................. 65,900 2,870,769
NICOR, Inc. ............................................................ 48,900 1,962,112
NUI Corp. .............................................................. 60,100 1,528,794
ONEOK, Inc. ............................................................ 6,300 251,213
Questar Corp. .......................................................... 87,500 1,717,187
Washington Gas & Light Co. ............................................. 48,200 1,289,350
------------
$ 24,420,094
------------
Utilities -- Telephone -- 4.7%
Ameritech Corp. ........................................................ 35,100 $ 1,575,113
Bell Atlantic Corp. .................................................... 63,556 2,899,742
GTE Corp. .............................................................. 49,800 2,770,125
SBC Communications, Inc. ............................................... 25,836 1,033,440
------------
$ 8,278,420
------------
Total U.S. Stocks ....................................................................... $110,516,359
------------
Foreign Stocks -- 20.9%
Brazil -- 4.6%
CEMIG (Utilities - Electric) ........................................... 18,357,000 $ 571,424
Companhia Electricas est Rio de
Janeiro (Utilities - Electric)* ...................................... 2,238,100 1,103,084
Companhia Paranaense de Energia,
Preferred, "B" (Utilities -
Electric)* ........................................................... 145,600,000 1,359,689
Companhia Riogrand
Telecomunicacoes (Utilities -
Telephone) ........................................................... 1,501,600 1,637,283
Espirito Santo Centrais Eletricas
S.A. (Utilities - Electric) .......................................... 5,400 317,510
Espirito Santo Centrais Eletricas
S.A., Preferred (Utilities -
Electric) ............................................................ 485,700 369,577
Telecomunicacoes Brasileiras S.A.,
ADR (Telecommunications) ............................................. 20,000 2,183,750
Telecomunicacoes Sao Paulo
(Telecommunications) ................................................. 2,696,000 634,079
------------
$ 8,176,396
------------
Canada -- 1.1%
BCE, Inc. (Telecommunications) ......................................... 29,400 $ 1,255,012
Bell Canada International, Inc.
(Telecommunications)* ................................................ 31,300 731,638
------------
$ 1,986,650
------------
Chile -- 1.4%
Chilectra S.A., ADR (Utilities -
Electric) ............................................................ 75,200 $ 1,609,280
Empresa Nacional de Electricidad
S.A., ADR (Utilities - Electric) ..................................... 37,000 800,125
------------
$ 2,409,405
------------
Finland -- 0.1%
Helsingin Puhelin Oy
(Telecommunications) ................................................. 5,200 $ 241,649
------------
France -- 0.5%
Alcatel Alsthom Compagnie, ADR
(Telecommunications) ................................................. 19,600 $ 797,475
------------
</TABLE>
24-UTS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Germany -- 3.5%
Mannesmann AG (Conglomerate) ............... 42,300 $ 4,343,565
VEBA AG (Oil and Gas) ...................... 21,600 1,450,960
VEBA AG, ADR (Oil and Gas) ................. 4,700 309,319
------------
$ 6,103,844
------------
Greece -- 1.4%
Hellenic Telecommunication
Organization S.A., GDR
(Telecommunications) ..................... 97,999 $ 2,511,391
------------
Hong Kong -- 0.4%
Hutchison Whampoa Ltd.
(Conglomerate) ........................... 141,000 $ 744,452
------------
Hungary -- 0.4%
Magyar Tavkozlesi Rts. ADR
(Telecommunications) ..................... 26,500 $ 780,094
------------
Italy -- 1.6%
Telecom Italia Mobile Di Risp S.p.A.
(Telecommunications)* .................... 235,000 $ 1,728,485
Telecom Italia S.p.A.
(Telecommunications)* .................... 213,075 1,030,641
------------
$ 2,759,126
------------
Peru -- 0.1%
Luz del Sur S.A. (Utilities - Electric)..... 216,300 $ 160,140
------------
Portugal -- 2.7%
Electricidade de Portugal
(Utilities - Electric) ................... 92,500 $ 2,148,045
Portugal Telecom S.A. (Utilities -
Telephone) ............................... 13,200 698,870
Portugal Telecom S.A., ADR
(Utilities - Telephone) .................. 19,800 1,048,162
Telecel - Comunicacaoes Pessoais
S.A. (Telecommunications)* ............... 4,700 833,703
------------
$ 4,728,780
------------
Spain -- 2.4%
Endesa S.A., ADR (Utilities -
Electric) ................................ 10,300 $ 225,080
Iberdrola S.A. (Utilities - Electric) ...... 102,800 1,667,244
Telefonica de Espana S.A., ADR
(Telecommunications) ..................... 10,690 1,486,578
Union Electrica Fenosa, S.A.
(Utilities - Electric) ................... 60,100 773,123
------------
$ 4,152,025
------------
United Kingdom -- 0.7%
Cable & Wireless Communications
PLC (Telecommunications)* ................ 121,500 $ 1,230,159
------------
Total Foreign Stocks ................................ $ 36,781,586
------------
Total Stocks
(Identified Cost, $134,738,966) ................... $147,297,945
------------
Bonds -- 11.0%
<CAPTION>
Principal Amount
(000 Omitted)
U.S. Bonds -- 10.4%
Banks and Credit Companies -- 0.2%
Beaver Valley Funding Corp.,
9s, 2017 ................................. $ 250 $ 285,887
------------
Conglomerates -- 0.3%
News America Holdings, Inc.,
8.875s, 2023 ............................. $ 400 $ 476,576
------------
Construction Services -- 0.3%
Georgia Pacific Corp., 9.5s, 2022 .......... $ 500 $ 583,065
------------
</TABLE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Electric and Gas Utility Revenue -- 0.2%
Long Island Power Authority, New
York Electric, 5.25s, 2026 ........................................... $ 300 $ 295,683
------------
Entertainment -- 0.8%
Circus Circus Enterprises, Inc.,
6.45s, 2006 .......................................................... $ 400 $ 376,172
Hearst Argyle Television, Inc.,
7.5s, 2027 ........................................................... 400 426,096
Time Warner, Inc., 9.15s, 2023 ......................................... 500 630,380
------------
$ 1,432,648
------------
Financial Institutions -- 0.3%
Goldman Sachs Group LP,
5.9s, 2003 ........................................................... $ 500 $ 493,400
------------
Forest and Paper Products -- 0.1%
Boise Cascade Co., 7.43s, 2005 ......................................... $ 225 $ 230,369
------------
Industrial
Owens Illinois, Inc., 7.35s, 2008 ...................................... $ 6 $ 6,074
Owens Illinois, Inc., 7.5s, 2010 ....................................... 6 6,084
Owens Illinois, Inc., 7.8s, 2018 ....................................... 6 6,154
------------
$ 18,312
------------
Insurance -- 0.6%
NGC Corp. Capital Trust I,
8.316s, 2027 ......................................................... $ 830 $ 980,446
------------
Oils -- 0.7%
Oryx Energy Co., 8.375s, 2004 .......................................... $ 500 $ 539,065
Sun Co., Inc., 9s, 2024 ................................................ 500 621,195
------------
$ 1,160,260
------------
Telecommunications -- 1.2%
Cellular Communications
International, 6s, 2005 .............................................. $1,333 $ 1,044,306
Tele-Communications, Inc.,
10.125s, 2001 ........................................................ 600 665,478
WorldCom, Inc., 8.875s, 2006 ........................................... 400 435,148
------------
$ 2,144,932
------------
U.S. Government Agencies -- 0.3%
Federal National Mortgage
Association -- 0.3%
FNMA, 6.5s, 2013 ....................................................... $ 633 $ 636,957
------------
U.S. Government Guaranteed -- 0.8%
Government National Mortgage
Association -- 0.8%
GNMA, 7s, 2027 ......................................................... $ 181 $ 183,746
GNMA, 7.5s, 2025 - 2026 ................................................ 601 617,402
GNMA, 8s, 2025 - 2026 .................................................. 560 579,204
------------
Total U.S. Government Guaranteed ...................................................... $ 1,380,352
------------
Utilities -- Electric -- 3.6%
AEP Generating, 9.82s, 2022 ............................................ $ 596 $ 770,231
Commonwealth Edison Co.,
7.625s, 2007 ......................................................... 225 239,182
Connecticut Light & Power Co.,
8.59s, 2003 .......................................................... 500 505,625
First PV Funding Corp.,
10.15s, 2016 ......................................................... 3 3,196
Long Island Lighting Co.,
8.2s, 2023 ........................................................... 600 670,512
Long Island Lighting Co., 9s, 2022...................................... 110 125,465
Montana Power Co., 7.875s, 2026 ........................................ 250 289,667
Niagara Mohawk Power Corp.,
7.25s, 2002 .......................................................... 500 499,660
</TABLE>
25-UTS
<PAGE>
Portfolio of Investments -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Utilities -- Electric -- continued
Niagara Mohawk Power Corp.,
7.625s, 2005 ................................ $ 500 $ 502,120
Niagara Mohawk Power Corp.,
8.5s, 2023 .................................. 560 619,657
Salton Sea Funding Corp.,
6.69s, 2000 ................................. 235 236,033
Salton Sea Funding Corp.,
7.84s, 2010 ................................. 500 544,205
Seabrook Station - Unit 1,
7.83s, 2019 ................................. 366 389,238
Texas & New Mexico Power Co.,
12.5s, 1999 ................................. 250 257,532
Texas Utilities Co., 6.375s, 2008 ............. 600 587,970
Utilicorp United, Inc., 8.45s, 1999 ........... 100 103,083
------------
$ 6,343,376
------------
Utilities -- Gas -- 1.0%
Coastal Corp., 6.95s, 2028 .................... $ 260 $ 251,178
Coastal Corp., 7.42s, 2037 .................... 370 386,831
Tennessee Gas Pipeline Co.,
7.625s, 2037 ................................ 500 541,185
Texas Gas Transmission Corp.,
7.25s, 2027 ................................. 550 572,303
------------
$ 1,751,497
------------
Total U.S. Bonds ............................................. $ 18,213,760
------------
Foreign Bonds -- 0.6%
Argentina -- 0.2%
Hidroelectrica Alicura, 8375s, 1998
(Utilities - Electric)## .................... $ 425 $ 422,875
------------
Canada -- 0.1%
Gulf Canada, 9.25s, 2004 (Oils) ............... $ 250 $ 261,317
------------
Chile -- 0.2%
Empresa Electric Guacolda S.A.,
7.6s, 2001 (Utilities - Electric)## ......... $ 250 $ 251,903
------------
South Korea -- 0.1%
Republic of Korea, 8.875s, 2008
(Government) ................................ $ 160 $ 144,712
------------
Total Foreign Bonds .......................................... $ 1,080,807
------------
Total Bonds
(Identified Cost, $18,710,379) ............................. $ 19,294,567
------------
Convertible Bonds -- 2.3%
Financial Institutions -- 0.6%
ADT Operations, Inc., 0s, 2010 ................ $ 553 $ 932,496
------------
Telecommunications -- 1.7%
Cellular Commerce International,
Inc., 6s, 2005## ............................ $2,140 $ 3,038,800
------------
Total Convertible Bonds
(Identified Cost, $2,549,125) .............................. $ 3,971,296
------------
</TABLE>
Convertible Preferred Stocks -- 2.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Insurance -- 0.6%
Conseco, Inc., 7% .......................... 23,000 $ 1,048,800
------------
Telecommunications -- 1.1%
IXC Communications, Inc., 6.75%## .......... 42,000 $ 2,016,000
------------
Utilities -- Electric -- 1.0%
CalEnergy Capital Trust III, 6.5%* ......... 13,500 $ 611,719
CalEnergy Capital Trust III, 6.5%*## ....... 24,300 1,101,093
------------
$ 1,712,812
------------
Total Convertible Preferred Stock
(Identified Cost, $4,784,094) ..................... $ 4,777,612
------------
Rights
Telecomunicacoes de Sao Paulo
(Utilities - Telephone)
(Identified Cost, $0)*.................... 126,705 $ 100
------------
Short-Term Obligations -- 3.7%
<CAPTION>
Principal Amount
(000 Omitted)
Ford Motor Credit Corp., due
7/01/98, at Amortized Cost ............... $ 6,545 $ 6,545,000
------------
Total Investments
(Identified Cost, $167,327,564) ................... $181,886,520
Other Assets,
Less Liabilities -- (3.5)% (6,141,806)
------------
Net Assets -- 100.0% ................................ $175,744,714
============
</TABLE>
See portfolio footnotes and notes to financial statements
26-UTS
<PAGE>
Portfolio of Investments -- June 30, 1998
World Growth Series
Stocks -- 95.6%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- 52.9%
Argentina -- 0.5%
Banco de Galicia y Buenos Aires
S.A. de C.V., ADR (Banks and
Credit Cos.) ............................. 6,610 $ 120,632
Perez Companc S.A. (Oils) .................. 47,034 236,146
Siderca S.A. (Steel) ....................... 73,100 124,289
Telecom S.A., ADR
(Telecommunications) ..................... 2,610 77,811
Telefonica de Argentina, ADR
(Utilities - Telephone) .................. 10,850 351,947
YPF Sociedad Anonima, ADR (Oils)............ 19,220 577,801
------------
$ 1,488,626
------------
Australia -- 0.5%
QBE Insurance Group Ltd.
(Insurance) .............................. 326,191 $ 1,151,457
Tab Ltd. (Gaming)* ......................... 179,400 264,424
------------
$ 1,415,881
------------
Bermuda
Ace Ltd. (Insurance) ....................... 2,600 $ 101,400
------------
Brazil -- 2.5%
Centrais Eletricas Brasileiras S.A.,
ADR (Utilities - Electric) ............... 31,400 $ 458,754
Centrais Geradoras S.A., ADR
Preferred "B" (Utilities - Electric)*..... 3,140 22,765
Companhia Cervejaria Brahma,
ADR (Beverages) .......................... 25,700 321,250
Companhia Energetica de Sao Paulo
S.A., ADR (Utilities - Electric) ......... 5,262 166,069
Companhia Energetica de Sao
Paulo, Preferred (Utilities -
Electric) ................................ 2,351,000 65,255
Companhia Paranaense de Energia,
ADR (Utilities - Electric) ............... 111,300 1,029,525
Companhia Paranaense de Energia,
Preferred "B" (Utilities - Electric)*..... 8,120,000 75,829
Companhia Vale do Rio Doce, ADR
(Steel) .................................. 11,600 235,712
Itausa Investimentos Itau S.A.,
Preferred (Conglomerate) ................. 153,000 96,576
ITC Ltd., GDR (Conglomerate) ............... 20,000 345,000
Petroleo Brasileiro S.A., Preferred
(Oils) ................................... 2,594,000 482,239
Telecomunicacoes Brasileiras S.A.,
ADR (Telecommunications) ................. 32,415 3,539,313
Telecomunicacoes do Rio de
Janeiro S.A.
(Telecommunications) ..................... 2,409,000 181,222
Telecomunicacoes do Rio de
Janeiro S.A., Preferred "B"
(Telecommunications) ..................... 2,409,000 143,290
Unibanco (Banks and Credit Cos.) ........... 1,870,000 110,599
------------
$ 7,273,398
------------
Canada -- 0.9%
Canadian National Railway Co.
(Railroads) .............................. 32,660 $ 1,735,062
Legacy Hotel Real Estate
Investment Trust (Real Estate
Investment Trust)*## ..................... 43,200 252,720
Perigee, Inc. (Investment
Counseling)*## ........................... 5,400 70,550
T. Eaton Co., Ltd. (Consumer Goods
and Services)* ........................... 57,800 587,990
------------
$ 2,646,322
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Chile -- 0.4%
Chilectra S.A., ADR (Utilities -
Electric) ................................ 32,935 $ 704,809
Embotelladora Andina S.A.
(Consumer Goods and Services)............. 34,600 540,625
------------
$ 1,245,434
------------
China -- 0.2%
Huaneng Power International Inc.,
ADR (Utilities - Electric)* .............. 25,900 $ 348,031
Qingling Motors Co. (Automotive) ........... 468,000 129,891
------------
$ 477,922
------------
Colombia
Cementos Diamante S.A., ADR
(Construction)## ......................... 8,130 $ 71,707
------------
Egypt -- 0.7%
Ahram Beverage Co., GDR
(Beverages)*## ........................... 11,391 $ 356,538
Commercial International Bank,
GDR (Banks and Credit Cos.)## ............ 36,257 384,324
Egypt Gas (Utilities - Gas) ................ 2,000 192,147
Egyptian International
Pharmaceutical Industries Co.
(Pharmaceuticals) ........................ 3,900 249,875
Heliopolis Housing (Housing) ............... 880 88,194
Madinet Nasar City (Housing) ............... 2,425 116,350
North Cairo Mills (Food Products) .......... 3,210 54,417
South Cairo Flour Mills (Food
Products) ................................ 5,465 33,890
Suez Cement Co., GDR
(Construction)## ......................... 21,602 392,077
Torra for Cement (Construction) ............ 5,602 96,728
------------
$ 1,964,540
------------
Finland -- 0.6%
Helsingin Puhelin Oy
(Telecommunications) ..................... 15,900 $ 738,888
Pohjola Insurance Group
(Insurance) .............................. 10,200 507,463
TT Tieto Oy (Computer Software -
Systems) ................................. 7,671 582,947
------------
$ 1,829,298
------------
France -- 3.2%
Alcatel Alsthom Compagnie
(Telecommunications) ..................... 7,600 $ 1,545,231
Compagnie Generale de
Geophysique S.A., ADR (Oil
Services)* ............................... 76,157 2,237,112
Dassault Systemes S.A. (Computer
Software - Systems) ...................... 18,200 856,718
Sanofi S.A. (Medical and Health
Products) ................................ 9,400 1,103,873
Television Francaise
(Entertainment) .......................... 8,763 1,356,170
Thomson CSF (Electronics) .................. 15,700 596,416
Total S.A., "B" (Oils) ..................... 10,000 1,298,208
Union des Assurances Federales
S.A. (Insurance) ......................... 2,909 457,887
------------
$ 9,451,615
------------
Germany -- 4.8%
Adidas-Salomon AG (Apparel and
Textiles) ................................ 4,264 $ 742,335
Henkel KGaA (Chemicals) .................... 33,253 3,285,724
</TABLE>
27-WGO
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Germany -- continued
Mannesmann AG (Conglomerate) ........................................... 7,000 $ 718,793
SAP AG, Preferred (Computer
Software - Systems) .................................................. 9,982 6,768,863
Wella AG (Cosmetics)* .................................................. 2,100 2,348,187
------------
$ 13,863,902
------------
Greece -- 0.9%
Alpha Credit Banks (Banks and
Credit Cos.) ......................................................... 1,290 $ 104,537
Athens Medic Center, GDR
(Medical and Health Technology
and Services) ........................................................ 54,400 1,070,592
Hellenic Bottling (Beverages) .......................................... 2,000 61,767
Hellenic Telecommunication
Organization S.A., GDR
(Telecommunications) ................................................. 50,977 1,306,372
National Bank of Greece, GDR
(Banks and Credit Cos.)* ............................................. 444 56,877
------------
$ 2,600,145
------------
Hong Kong -- 1.3%
Cheung Kong Holdings Ltd.
(Real Estate) ........................................................ 60,000 $ 295,101
China Resources Enterprises
(Real Estate Investment Trust) ....................................... 84,000 86,749
Citic Pacific Ltd. (Conglomerate) ...................................... 66,000 116,724
Guangdong Kelon Electric Holdings
(Consumer Goods and Services)......................................... 200,000 157,491
Hong Kong Telecommunications
(Telecommunications)* ................................................ 170,000 319,306
Hutchison Whampoa Ltd.
(Conglomerate) ....................................................... 263,000 1,388,588
Li & Fung Ltd. (Wholesale) ............................................. 353,000 561,194
New World Development Co.
(Real Estate)* ....................................................... 79,000 152,972
Wharf Holdings Ltd. (Real Estate) ...................................... 109,000 107,642
Wing Hang Bank Ltd. (Banks and
Credit Cos.) ......................................................... 348,300 465,359
Zhenhai Refining and Chemical Co.,
Ltd. (Oils) .......................................................... 640,000 82,618
------------
$ 3,733,744
------------
Hungary -- 0.7%
Gedeon Richter Ltd.
(Pharmaceuticals)*## ................................................. 1,220 $ 96,380
Magyar Olaj Es Gazipari KT. (Gas)....................................... 23,532 633,736
Magyar Tavkozlesi Rt. ADR
(Telecommunications)* ................................................ 29,850 878,709
Otp Bank (Bank and Credit Cos.) ........................................ 5,859 287,494
Richter Gedeon Rt.
(Pharmaceuticals) .................................................... 3,396 272,821
------------
$ 2,169,140
------------
India -- 0.7%
Bajaj Auto Ltd. GDR
(Automotive)## ....................................................... 2,800 $ 36,540
Bajaj Auto Ltd., GDR (Automotive) ...................................... 5,000 65,250
EIH Ltd., GDR (Restaurants and
Lodging) ............................................................. 17,000 85,000
Formula System (1985) Ltd.
(Computer Software - Systems)*........................................ 7,313 256,009
Indian Petrochemicals Corp. Ltd.,
GDR (Textiles)## ..................................................... 24,000 69,600
Industrial Credit & Investment Corp.
of India Ltd. (Finance) .............................................. 23,000 227,125
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
India -- continued
Mahanagar Telephone Nigam Ltd.,
GDR (Telecommunications)*## .......................................... 28,200 $ 295,395
Reliance Industries Ltd., GDS
(Textiles)## ......................................................... 55,155 352,992
State Bank of India, GDR (Banks
and Credit Cos.)## ................................................... 37,000 425,500
Videsh Sanchar Nigam Ltd., GDR
(Telecommunications)## ............................................... 13,200 134,640
------------
$ 1,948,051
------------
Ireland -- 1.3%
Allied Irish Banks PLC (Banks and
Credit Cos.)* ........................................................ 98,069 $ 1,423,139
Anglo Irish Bank Corp. PLC (Banks
and Credit Cos.)* .................................................... 839,652 2,254,870
------------
$ 3,678,009
------------
Israel -- 0.5%
Bank Hapoalim (Banks and
Credit Cos.)* ........................................................ 147,762 $ 447,178
Discount Investment Corp.
(Financial Services) ................................................. 3,405 109,545
ECI Telecom Ltd.
(Telecommunications) ................................................. 11,584 438,744
Makhteshim-Agam Industries Ltd.
(Chemicals)* ......................................................... 149,006 474,505
Super Sol Ltd. (Supermarkets) .......................................... 36,248 119,483
------------
$ 1,589,455
------------
Italy -- 2.3%
Banca Carige S.p.A. (Banks and
Credit Cos.)* ........................................................ 116,500 $ 1,040,576
Banca Nazionale del Lavoro (Banks
and Credit Cos.)* .................................................... 22,400 591,793
ERG S.p.A. (Oils)* ..................................................... 195,200 781,239
Industrie Natuzzi S.p.A., ADR
(Consumer Goods and Services)......................................... 45,067 1,171,742
Mediaset S.p.A. (Broadcasting
Services) ............................................................ 144,900 924,053
Telecom Italia Mobile Di Risp S.p.A.
(Telecommunications)* ................................................ 211,200 1,553,430
Telecom Italia S.p.A., Saving Shares
(Telecommunications) ................................................. 205,838 694,226
------------
$ 6,757,059
------------
Japan -- 6.6%
Aeon Credit Service Co. Ltd.
(Financial Services) ................................................. 15,600 $ 614,200
Bridgestone Corp. (Tire and
Rubber) .............................................................. 36,000 854,599
Canon, Inc. (Office Equipment) ......................................... 36,000 820,728
Fujimi, Inc. (Electronics) ............................................. 17,270 634,954
Keyence Corp. (Electronics) ............................................ 8,410 919,093
Kinki Coca-Cola Bottling Co.
(Beverages) .......................................................... 39,600 481,494
Kirin Beverage Corp. (Beverages) ....................................... 62,000 1,168,922
Meitec Corp. (Computer Software -
Systems) ............................................................. 35,300 1,226,316
Nippon Broadcasting System
(Entertainment) ...................................................... 9,000 381,052
Nippon Telephone & Telegraph Co.
(Utilities - Telephone) .............................................. 74 615,908
NTT Data Corp.
(Telecommunications) ................................................. 21 761,453
Osaka Sanso Kogyo Ltd.
(Chemicals) .......................................................... 182,000 375,407
</TABLE>
28-WGO
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Japan -- continued
Rohm Co. (Electronics) ................. 10,000 $ 1,031,338
Secom Co. (Consumer Goods and
Services) ............................ 23,000 1,333,358
Sony Corp. (Electronics) ............... 17,500 1,513,534
Sony Corp., ADR (Electronics) .......... 6,800 585,225
Takeda Chemical Industries
(Pharmaceuticals) .................... 55,000 1,468,843
TDK Corp. (Special Products and
Services) ............................ 31,000 2,299,703
Terumo Corp. (Pharmaceuticals) ......... 80,000 1,273,793
Ushio, Inc. (Electronics) .............. 97,000 772,237
------------
$ 19,132,157
------------
Malaysia -- 0.2%
Malaysian Bank, Bonus Shares
(Banks and Credit Cos.)* ............. 51,000 $ 51,736
Petronas Gas Berhad (Oil and
Gas)*## .............................. 95,000 177,527
Tanjong PLC (Entertainment) ............ 249,000 347,470
------------
$ 576,733
------------
Mexico -- 1.1%
Cemex S.A. (Construction)* ............. 47,957 $ 180,300
Cifra S.A. de C.V. (Retail)* ........... 216,897 326,179
Corporacion GEO S.A. de C.V.
(Housing)* ........................... 9,500 203,224
Desc S.A. de C.V., "B"
(Conglomerate) ....................... 27,000 136,850
Fomento Economico Mexicano
(Beverages)* ......................... 8,800 277,200
Gruma S.A. (Food Products) ............. 52,216 113,890
Grupo Carso, "A1" (Conglomerate)........ 34,700 143,794
Grupo Financiero Banamex, "B"
(Finance)* ........................... 62,300 121,449
Grupo Modelo S.A. de C.V.
(Brewery) ............................ 13,900 118,143
Grupo Television S.A. de C.V., GDR
(Entertainment)* ..................... 10,300 387,538
Kimberly-Clark de Mexico S.A. de
C.V. (Forest and Paper Products)...... 79,000 279,408
Organiz Soriana, "B" (Real Estate) ..... 68,000 193,918
Telefonos de Mexico S.A. (Utilities -
Telephone) ........................... 261,460 627,655
------------
$ 3,109,548
------------
Morocco -- 0.7%
Banque Marocaine Commerce
(Banks and Credit Cos.) .............. 5,865 $ 436,900
Brasseries Maroc (Consumer Goods
and Services) ........................ 850 288,646
Credit Eqdom (Financial
Institutions) ........................ 750 110,968
Ona Omnium Nord Africain S.A.
(Conglomerate) ....................... 3,990 483,351
Societe Nationale d'Investissement
(Conglomerate)* ...................... 245 23,562
Societe Nationale d'Investissement
(Conglomerate) ....................... 3,450 331,795
Wafabank (Banks and Credit Cos.)........ 1,954 234,902
------------
$ 1,910,124
------------
Netherlands -- 4.3%
Akzo Nobel N.V. (Chemicals) ............ 10,544 $ 2,341,270
Benckiser N.V. "B" (Consumer
Goods and Services)* ................. 34,000 2,088,583
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Netherlands -- continued
Brunel International N.V. (Human
Resources)* .......................... 32,106 $ 1,332,166
Elsag Bailey Process Automation
N.V. (Machinery)* .................... 4,600 110,688
Fugro N.V. (Engineering)* .............. 2,600 103,413
Hunter Douglas N.V., ADR
(Consumer Goods and Services)*........ 24,400 1,323,938
IHC Caland N.V. (Marine
Equipment)* .......................... 9,500 534,127
ING Groep N.V. (Financial
Services)* ........................... 44,839 2,932,755
Koninklijke Ahold N.V.
(Supermarkets)* ...................... 14,400 461,733
Koninklijke Ahrend Groep N.V.*
(Consumer Goods and Services)*........ 40,536 1,321,675
------------
$ 12,550,348
------------
Pakistan
Hub Power Co. Ltd., GDR (Utilities -
Electric)* ........................... 17,800 $ 124,066
------------
Peru -- 0.5%
Alicorp S.A. (Consumer Goods
and Services)* ....................... 400,035 $ 90,079
Compania de Minas Buenaventura
S.A. (Mining) ........................ 37,500 209,826
CPT Telefonica del Peru S.A., "B"
(Utilities - Telephone) .............. 362,974 749,230
Credicorp Ltd. Holdings Co.
(Banks and Credit Cos.) .............. 26,218 385,077
------------
$ 1,434,212
------------
Poland -- 0.6%
Bank Handlowy w Warszawie
(Banks and Credit Cos.)+ ............. 5,069 $ 96,739
Bank Handlowy w Warszawie, GDR
(Banks and Credit Cos.)*## ........... 9,990 190,809
Bank Rozwoju Eksportu S.A.
(Banks and Credit Cos.) .............. 11,000 298,321
Bydgoska Fabryka Kabli S.A.
(Electrical Equipment)* .............. 46,000 264,026
Elektrim Spolka Akcyjna S.A.
(Electrical Equipment)* .............. 34,300 418,353
Exbud S.A. (Construction)* ............. 15,700 189,238
KGHM Polska Miedz S.A., GDR
(Metals and Minerals)*## ............. 21,500 173,613
Orbis (Restaurants and Lodging)* ....... 9,919 88,245
Polifarb Cieszyn (Consumer Goods
and Services)* ....................... 32,000 82,652
Zaklady Piwowarske w Zywcu
(Beverages) .......................... 75 9,040
------------
$ 1,811,036
------------
Portugal -- 1.6%
Banco Espirito Santo
e Comercial de Lisboa S.A.
(Banks and Credit Cos.) .............. 4,313 $ 129,383
Banco Pinto & Sotto Mayor, S.A.
(Banks and Credit Cos.)*[dbldag] ..... 93,136 1,921,836
BPI - Soc Gestora (Banks and
Credit Cos.) ......................... 32,100 1,034,818
Cimentos de Portugal S.A. (Building
Materials) ........................... 2,839 99,644
Mota & Companhia S.A.
(Construction) ....................... 2,865 48,341
Portugal Telecom S.A. (Utilities -
Telephone) ........................... 23,916 1,266,225
</TABLE>
29-WGO
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Portugal -- continued
Sonae Investimentos-Sociedade
Gestora de Participacoes Sociais
S.A. (Conglomerate) .................... 1,925 $ 105,031
------------
$ 4,605,278
------------
Russia -- 0.6%
Lukoil Oil Co., ADR (Oils) ............... 23,645 $ 794,472
Rostelecom, ADR
(Telecommunications) ................... 26,666 356,658
Rostelecom, GDR
(Telecommunications)* .................. 5,682 254,269
Unified Energy Systems, GDR
(Utilities-Electric)* .................. 26,851 346,378
------------
$ 1,751,777
------------
Singapore -- 0.3%
Hong Leong Finance Ltd.
(Finance)+ ............................. 96,000 $ 78,763
Mandarin Oriental International Ltd.
(Restaurants and Lodging) .............. 403,138 229,789
Overseas Union Bank (Finance) ............ 308,000 677,527
------------
$ 986,079
------------
South Africa -- 1.3%
Anglo American Corp. of South
Africa Ltd. (Mining) ................... 19,478 $ 649,267
DeBeers Centenary AG
(Diamonds - Precious Stones) ........... 3,661 63,579
Dimension Data Holdings Ltd.
(Financial Institutions) ............... 94,782 505,504
Imperial Holdings Ltd.
(Conglomerate)* ........................ 22,649 218,940
JD Group Ltd. (Stores)* .................. 24,294 161,555
Liberty Life Association of Africa
Ltd. (Insurance) ....................... 25,487 491,050
Nedcor Ltd. (Banks and
Credit Cos.)* .......................... 32,471 692,715
Real Africa Holdings Ltd.
(Conglomerate)* ........................ 91,438 313,937
Real Africa Holdings Ltd., ADR
(Conglomerate) ......................... 9,032 16,709
Sasol Ltd. (Oils) ........................ 23,840 136,484
South African Breweries Ltd.
(Brewery) .............................. 32,400 658,800
------------
$ 3,908,540
------------
South Korea -- 0.3%
Pohang Iron & Steel Co.
(Construction) ......................... 12,970 $ 433,444
Samsung Display Devices Co.
(Electronics) .......................... 4,681 128,129
Samsung Electronic (Electronics) ......... 8,126 252,084
SK Telecommunications
(Telecommunications) ................... 160 72,479
------------
$ 886,136
------------
Spain -- 0.7%
Acerinox S.A. (Iron and Steel) ........... 7,685 $ 1,022,130
Telefonica de Espana (Utilities -
Telephone) ............................. 19,900 918,980
------------
$ 1,941,110
------------
Sweden -- 2.1%
Saab AB, "B" (Aerospace) ................. 45,925 $ 483,118
Securitas AB (Special Products
and Services) .......................... 34,100 1,667,633
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Sweden -- continued
Skandia Forsakrings AB
(Insurance) ............................ 122,885 $ 1,754,401
Sparbanken Sverige AB, "A"
(Banks and Credit Cos.) ................ 19,009 571,341
Volvo AB (Automotive) .................... 59,500 1,769,725
------------
$ 6,246,218
------------
Switzerland -- 2.3%
Barry Callebaut AG (Food
Products)* ............................. 2,800 $ 603,958
Clariant AG (Chemicals) .................. 1,190 784,175
Hiestand Holding AG (Food
Products) .............................. 1,550 532,685
Julius Baer Holdings (Banks and
Credit Cos.) ........................... 435 1,361,527
Kuoni Reisen Holdings AG
(Transportation) ....................... 199 988,437
Nestle AG (Food and Beverage
Products) .............................. 590 1,263,285
Novartis AG (Pharmaceuticals) ............ 618 1,028,913
------------
$ 6,562,980
------------
Taiwan -- 0.3%
Taipei Fund (Finance)* ................... 101 $ 858,500
------------
Thailand -- 0.1%
Thai Farmers Bank (Banks and
Credit Cos.) ........................... 210,000 $ 186,250
------------
Turkey -- 0.7%
Akbank (Banks and Credit Cos.)* .......... 4,746,820 $ 153,348
Akbank, Bonus Shares (Banks and
Credit Cos.) ........................... 7,120,230 230,021
Arcelik A.S. (Consumer Goods and
Services) .............................. 3,708,020 174,112
Ardem Pisirici ve Isitici Cihazlar
Sanayii A.S. (Conglomerate) ............ 2,108,700 87,133
Cimsa Cimento Sanayi ve Ticaret
A.S. (Construction Services) ........... 2,710,500 137,454
Haci Omer Sabanci Holdings A.S.,
ADR (Conglomerate)*## .................. 12,707 197,911
Trakya Cam Sanayii (Housewares) .......... 3,795,662 156,840
Vestel Electronic (Electronics) .......... 2,384,100 317,928
Yapi ve Kredi Bankasi (Banks and
Credit Cos.) ........................... 12,826,100 327,627
Yapi ve Kredi Bankasi (Banks and
Credit Cos.)## ......................... 10,132,619 258,825
------------
$ 2,041,199
------------
United Kingdom -- 6.6%
ARM Holdings PLC (Computer
Software - Systems)* ................... 320 $ 6,138
ARM Holdings PLC, ADR (Computer
Software - Systems)* ................... 4,700 287,875
Bank of Scotland (Banks and Credit
Cos.)* ................................. 69,131 773,734
Booker PLC (Food - Wholesale) ............ 248,500 1,023,811
British Aerospace (Aerospace and
Defense)* .............................. 166,288 1,273,122
British Petroleum PLC (Oils)* ............ 152,431 2,222,189
CBT Group PLC, ADR (Computer
Software - Personal Computers) ......... 200 10,900
Danka Business Systems, ADR
(Business Services) .................... 33,750 398,672
HSBC Holdings PLC (Financial
Services)* ............................. 13,867 339,224
ICON PLC, ADR (Biotechnology)* ........... 100 2,525
</TABLE>
30-WGO
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
United Kingdom -- continued
Jarvis Hotels PLC (Restaurants and
Lodging)+ ............................................................ 573,491 $ 1,645,324
Kwik-Fit Holdings PLC (Automotive
Repair Centers) ...................................................... 140,997 1,142,990
Lloyds TSB Group PLC (Banks and
Credit Cos.)* ........................................................ 114,387 1,599,838
LucasVarity PLC (Automotive) ........................................... 559,100 2,219,539
Sema Group PLC (Computer
Software - Systems) .................................................. 170,100 2,000,275
Taylor Nelson Sofres PLC (Market
Research) ............................................................ 712,500 1,461,794
Thomson Travel Group PLC (Travel
Services)* ........................................................... 290,700 906,740
Tomkins PLC (Conglomerate) ............................................. 142,214 771,536
Williams PLC (Diversified
Manufacturing Operations) ............................................ 173,559 1,114,562
------------
$ 19,200,788
------------
Total Foreign Stocks ...................................................................... $154,128,727
------------
U.S. Stocks -- 42.7%
Advertising
Doubleclick, Inc.* ..................................................... 200 $ 9,938
------------
Aerospace -- 0.2%
Gulfstream Aerospace Corp.* ............................................ 12,670 $ 589,155
------------
Automotive
Federal Mogul Corp. .................................................... 600 $ 40,500
Hayes Lemmerz International, Inc.*...................................... 100 3,975
------------
$ 44,475
------------
Biotechnology
Waters Corp.* .......................................................... 200 $ 11,787
------------
Broadcasting
Citadel Communications Corp. ........................................... 2,300 $ 36,800
------------
Business Machines -- 0.3%
Affiliated Computer Services, Inc., "A"* 11,280 $ 434,280
Compaq Computer Corp. .................................................. 8,860 251,403
Sun Microsystems, Inc.* ................................................ 5,100 221,531
------------
$ 907,214
------------
Business Services -- 2.8%
AccuStaff, Inc.* ....................................................... 55,940 $ 1,748,125
BISYS Group, Inc.* ..................................................... 4,860 199,260
Ceridian Corp.* ........................................................ 6,100 358,375
Computer Learning Centers, Inc.* ....................................... 10,000 248,750
Computer Sciences Corp. ................................................ 18,700 1,196,800
DA Consulting Group, Inc.* ............................................. 1,200 17,250
DST Systems, Inc.* ..................................................... 7,000 392,000
First Data Corp. ....................................................... 29,730 990,381
Fiserv, Inc. ........................................................... 300 12,741
Interim Services, Inc.* ................................................ 400 12,850
Learning Tree International, Inc.* ..................................... 36,290 730,336
Metamor Worldwide, Inc.* ............................................... 4,100 144,269
NOVA Corp.* ............................................................ 3,300 117,975
Policy Management Systems Corp.*........................................ 19,560 767,730
Professional Detailing, Inc.* .......................................... 300 7,455
Renaissance Worldwide, Inc.* ........................................... 20,200 439,350
Technology Solutions Co.* .............................................. 20,950 663,853
------------
$ 8,047,500
------------
Computer Software --
Personal Computers -- 2.2%
Autodesk, Inc. ......................................................... 4,300 $ 166,088
Microsoft Corp.* ....................................................... 57,300 6,209,887
------------
$ 6,375,975
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Computer Software --
Services -- 0.1%
International Integration, Inc.* ....................................... 300 $ 5,175
Mobius Management Systems, Inc.*........................................ 7,800 117,000
Tecnomatix Technologies Ltd.* .......................................... 9,113 182,260
------------
$ 304,435
------------
Computer Software --
Systems -- 8.9%
Aspen Technology, Inc. ................................................. 300 $ 15,150
BMC Software, Inc.* .................................................... 106,300 5,520,956
Cadence Design Systems, Inc.* .......................................... 107,810 3,369,062
Computer Associates International, Inc. 118,250 6,570,266
Compuware Corp.* ....................................................... 94,200 4,815,975
Keane, Inc.* ........................................................... 200 11,200
Learning Co., Inc.* .................................................... 500 14,813
Oracle Corp.* .......................................................... 180,255 4,427,513
Siebel Systems, Inc.* .................................................. 4,200 135,450
SunGard Data Systems, Inc.* ............................................ 1,500 57,562
Synopsys, Inc.* ........................................................ 21,500 983,625
Whittman-Hart, Inc.* ................................................... 300 14,513
------------
$ 25,936,085
------------
Consumer Goods and
Services -- 3.8%
Carson, Inc., "A"* ..................................................... 29,300 $ 230,737
Rubbermaid, Inc. ....................................................... 7,200 238,950
Tyco International Ltd. ................................................ 169,596 10,684,548
------------
$ 11,154,235
------------
Defense Electronics -- 0.1%
Loral Space & Communications
Corp.* ............................................................... 13,050 $ 368,662
------------
Electronics -- 0.6%
Altera Corp.* .......................................................... 22,620 $ 668,704
Amkor Technology, Inc.* ................................................ 95,100 888,591
Intel Corp. ............................................................ 890 65,971
Xilinx, Inc.* .......................................................... 3,580 121,720
------------
$ 1,744,986
------------
Entertainment -- 3.0%
CBS Corp. .............................................................. 23,770 $ 754,697
Clear Channel
Communications, Inc.* ................................................ 10,480 1,143,630
Cox Radio, Inc., "A"* .................................................. 28,200 1,219,650
Gemstar International Group Ltd.* ...................................... 3,500 131,031
Harrah's Entertainment, Inc.* .......................................... 16,550 384,788
Hearst-Argyle Television, Inc.* ........................................ 5,900 236,000
Heftel Broadcasting Corp., "A"* ........................................ 5,700 255,075
Jacor Communications, Inc.* ............................................ 16,580 978,220
Premier Parks, Inc.* ................................................... 3,400 226,525
Time Warner, Inc. ...................................................... 15,900 1,358,456
Univision Communications, Inc., "A"*.................................... 12,000 447,000
Viacom, Inc., "B"* ..................................................... 26,340 1,534,305
------------
$ 8,669,377
------------
Financial Institutions -- 1.0%
ARM Financial Group, Inc., "A" ......................................... 3,700 $ 81,863
Associates First Capital Corp., "A" .................................... 5,490 422,044
Consolidated Capital Corp.* ............................................ 13,160 295,894
Donaldson Lufkin & Jenrette, Inc. ...................................... 5,400 274,387
Franklin Resources, Inc. ............................................... 19,380 1,046,520
Morgan Stanley Dean Witter & Co. ....................................... 7,290 666,124
U.S. Trust Corp. ....................................................... 1,400 106,750
------------
$ 2,893,582
------------
</TABLE>
31-WGO
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Food and Beverage Products
Suiza Foods Corp.* ..................................................... 200 $ 11,813
------------
Insurance -- 0.1%
Annuity and Life Re Holdings Ltd.*...................................... 6,800 $ 150,450
Conseco, Inc. .......................................................... 1,400 65,450
Life Re Corp. .......................................................... 1,600 132,600
------------
$ 348,500
------------
Machinery -- 0.1%
SI Handling Systems, Inc. .............................................. 11,800 $ 154,875
------------
Medical and Health Products -- 0.4%
Boston Scientific Corp.* ............................................... 7,890 $ 565,121
McKesson Corp. ......................................................... 7,600 617,500
PSS World Medical, Inc.* ............................................... 2,600 38,025
------------
$ 1,220,646
------------
Medical and Health Technology
and Services -- 3.3%
Cardinal Health, Inc. .................................................. 3,890 $ 364,688
Columbia/HCA Healthcare Corp. .......................................... 400 11,650
Guidant Corp. .......................................................... 3,700 263,856
HBO & Co. .............................................................. 34,400 1,212,600
Health Management Associates,
Inc., "A"* ........................................................... 2,250 75,234
HealthSouth Corp.* ..................................................... 36,700 979,431
Integrated Health Services, Inc. ....................................... 3,200 120,000
Medtronic, Inc. ........................................................ 5,100 325,125
Orthodontic Centers of America,
Inc.* ................................................................ 12,130 253,972
PacifiCare Health Systems, Inc., "B"*................................... 6,690 591,229
Province Healthcare Co.* ............................................... 300 8,306
Steris Corp.* .......................................................... 2,800 178,063
Total Renal Care Holdings, Inc.* ....................................... 19,296 665,712
United Healthcare Corp. ................................................ 66,400 4,216,400
Wellpoint Health Networks, Inc., "A"*................................... 5,580 412,920
------------
$ 9,679,186
------------
Pharmaceuticals
King Pharmaceuticals, Inc.* ............................................ 3,200 $ 44,800
------------
Pollution Control -- 0.1%
American Disposal Services, Inc. ....................................... 300 $ 14,062
U.S.A. Waste Services, Inc.* ........................................... 6,460 318,963
------------
$ 333,025
------------
Printing and Publishing
Workflow Management, Inc. .............................................. 1 $ 8
------------
Restaurants and Lodging -- 2.3%
Applebee's International, Inc. ......................................... 9,670 $ 216,366
Buffets, Inc.* ......................................................... 21,400 335,713
Cendant Corp.* ......................................................... 251,353 5,246,994
Outback Steakhouse, Inc.* .............................................. 300 11,700
Promus Hotel Corp.* .................................................... 22,345 860,282
Showbiz Pizza Time, Inc.* .............................................. 300 12,094
------------
$ 6,683,149
------------
Special Products and Services -- 0.2%
Central Parking Corp. .................................................. 1,200 $ 55,800
Newport News Shipbuilding, Inc. ........................................ 21,640 578,870
School Specialty, Inc. ................................................. 100 1,637
Sodexho Marriott Services, Inc. ........................................ 500 14,500
------------
$ 650,807
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Stores -- 4.8%
Borders Group, Inc.* ................................................... 400 $ 14,800
Consolidated Stores Corp.* ............................................. 3,450 125,063
Corporate Express, Inc.* ............................................... 32,290 409,679
CVS Corp. .............................................................. 27,940 1,087,914
Dollar General Corp. ................................................... 1,825 72,202
Duane Reade, Inc.* ..................................................... 400 12,000
General Nutrition Cos., Inc.* .......................................... 7,750 241,219
Home Depot, Inc. ....................................................... 31,350 2,604,009
Kohl's Corp. ........................................................... 4,300 223,063
Linens 'N Things, Inc.* ................................................ 3,700 113,081
Lowes Co., Inc. ........................................................ 30,200 1,224,987
Micro Warehouse, Inc.* ................................................. 30,500 472,750
Office Depot, Inc.* .................................................... 78,840 2,488,387
Proffitts, Inc.* ....................................................... 3,000 121,125
Republic Industries, Inc.* ............................................. 68,160 1,704,000
Rite Aid Corp. ......................................................... 58,080 2,181,630
Staples, Inc.* ......................................................... 28,350 820,378
Viking Office Products, Inc.* .......................................... 400 12,550
------------
$ 13,928,837
------------
Supermarkets -- 0.8%
Meyer (Fred), Inc.* .................................................... 46,750 $ 1,986,875
Safeway, Inc.* ......................................................... 9,400 382,462
------------
$ 2,369,337
------------
Telecommunications -- 7.5%
AirTouch Communications, Inc.* ......................................... 9,200 $ 537,625
Amdocs Ltd.* ........................................................... 2,000 30,250
American Tower Corp., "A"* ............................................. 7,400 184,538
Aspect Telecommunications Corp.*........................................ 3,400 93,075
Century Telephone Enterprises, Inc...................................... 14,270 654,636
Cisco Systems, Inc.* ................................................... 86,750 7,986,422
Global TeleSystems Group, Inc.* ........................................ 48,561 2,367,349
Intermedia Communications, Inc.* ....................................... 45,300 1,899,769
International Business
Communications Systems, Inc.*[dbldag]+ 12,600 0
L-3 Communications Holding, Inc.*....................................... 400 13,000
Lucent Technologies, Inc. .............................................. 15,800 1,314,362
MCI Communications Corp. ............................................... 47,900 2,784,187
Sprint Corp. ........................................................... 5,200 366,600
Tel-Save Holdings, Inc.* ............................................... 18,030 265,943
Tellabs, Inc.* ......................................................... 8,100 580,162
WorldCom, Inc.* ........................................................ 54,185 2,624,586
------------
$ 21,702,504
------------
Transportation -- 0.1%
Coach USA, Inc.* ....................................................... 2,820 $ 128,663
------------
Total U.S. Stocks ........................................................................... $124,350,356
------------
Total Stocks
(Identified Cost, $229,520,151) ........................................................... $278,479,083
------------
Rights
Bank Rozwoju Eksportu S.A. (Banks
and Credit Cos.)* .................................................... 11,000 $ 3,157
Telecomunicacoes do Rio de
Janeiro (Telecommunications)* ........................................ 21,727 0
------------
Total Rights (Identified Cost, $0) .......................................................... $ 3,157
------------
Warrants
Hong Kong & China Gas Co. Ltd.
(Utilities - Gas)* ................................................... 4,700 $ 0
Hysan Development (Real Estate)*........................................ 6,300 52
Wharf Holdings (Real Estate)* .......................................... 5,450 253
------------
Total Warrants (Identified Cost, $0) ........................................................ $ 305
------------
</TABLE>
32-WGO
<PAGE>
Portfolio of Investments -- continued
Short-Term Obligations -- 4.0%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Federal National Mortgage Assn.,
due 7/02/98 - 7/08/98 .......................... $10,500 $ 10,493,665
Ford Motor Credit Corp.,
due 7/01/98 .................................... 1,300 1,300,000
------------
Total Short-Term Obligations, at Amortized Cost ................. $ 11,793,665
------------
Total Investments
(Identified Cost, $241,313,816) ............................... $290,276,210
------------
Other Assets,
Less Liabilities -- 0.4% ........................................ 1,036,444
------------
Net Assets -- 100.0% ............................................ $291,312,654
============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio Footnotes:
*Non-income producing security.
**Non-income producing security - in default.
##SEC Rule 144A restriction.
+Restricted security.
[dbldag]Security valued by or at the direction of the Trustees.
33-WGO
<PAGE>
MFS/Sun Life Series Trust
Statements of Assets and Liabilities -- June 30, 1998
<TABLE>
<CAPTION>
Capital Conservative
Appreciation Growth
Assets: Series Series
Investments -- ----------------- -------------------
<S> <C> <C>
Unaffiliated issuers, at cost ................................................... $1,114,467,767 $ 1,246,463,280
Unrealized appreciation ......................................................... 468,775,578 366,417,831
-------------- ---------------
Total investments, at value ................................................... $1,583,243,345 $ 1,612,881,111
Cash ............................................................................. 26,716 900,480
Receivable for investments sold .................................................. 17,607,777 8,660,484
Receivable for Series shares sold ................................................ 946,317 2,085,288
Interest and dividends receivable ................................................ 379,086 2,154,726
Other assets ..................................................................... 8,550 7,596
-------------- ---------------
Total assets .................................................................. $1,602,211,791 $ 1,626,689,685
-------------- ---------------
Liabilities:
Payable for investments purchased ................................................ $ 9,502,496 $ 24,513,211
Payable for Series shares reacquired ............................................. 420,367 583,531
Payable to affiliates --
Investment advisory fee ......................................................... 94,366 72,123
Administrative fee .............................................................. 2,140 1,845
Accrued expenses and other liabilities ........................................... 66,614 62,617
-------------- ---------------
Total liabilities ............................................................. $ 10,085,983 $ 25,233,327
-------------- ---------------
Net assets ................................................................... $1,592,125,808 $ 1,601,456,358
============== ===============
Net assets consist of:
Paid-in capital .................................................................. $1,031,402,969 $ 1,157,418,357
Unrealized appreciation on investments and translation of assets
and liabilities in foreign currencies ........................................... 468,775,578 366,418,648
Accumulated undistributed net realized gain on investments and foreign
currency transactions ........................................................... 93,721,189 70,404,322
Accumulated undistributed net investment income (loss) ........................... (1,773,928) 7,215,031
-------------- ---------------
Total ........................................................................ $1,592,125,808 $ 1,601,456,358
============== ===============
Shares of beneficial interest outstanding ........................................ 37,220,825 44,363,836
============== ===============
Net asset value, offering price and redemption price per share (net assets
[divided by] shares of beneficial interest outstanding) ......................... $ 42.78 $ 36.10
============== ===============
<CAPTION>
Emerging Managed
Growth Sectors
Assets: Series Series
Investments -- --------------- ---------------
<S> <C> <C>
Unaffiliated issuers, at cost ................................................... $474,391,949 $323,915,128
Unrealized appreciation ......................................................... 156,931,525 52,623,408
------------ ------------
Total investments, at value ................................................... $631,323,474 $376,538,536
Cash ............................................................................. 677 3,433
Receivable for investments sold .................................................. 2,747,786 1,945,158
Receivable for Series shares sold ................................................ 512,412 236,844
Interest and dividends receivable ................................................ 87,995 192,580
Other assets ..................................................................... 3,005 2,233
------------ ------------
Total assets .................................................................. $634,675,349 $378,918,784
------------ ------------
Liabilities:
Payable for investments purchased ................................................ $ 5,789,378 $ 1,788,937
Payable for Series shares reacquired ............................................. 2,361 289,276
Payable to affiliates --
Investment advisory fee ......................................................... 36,501 22,782
Administrative fee .............................................................. 770 465
Accrued expenses and other liabilities ........................................... 51,589 36,165
------------ ------------
Total liabilities ............................................................. $ 5,880,599 $ 2,137,625
------------ ------------
Net assets ................................................................... $628,794,750 $376,781,159
============ ============
Net assets consist of:
Paid-in capital .................................................................. $459,907,841 $303,359,565
Unrealized appreciation on investments and translation of assets and liabilities 156,931,388 52,623,408
in foreign currencies
Accumulated undistributed net realized gain on investments and foreign currency 12,183,148 21,125,063
transactions
Accumulated undistributed net investment income (loss) ........................... (227,627) (326,877)
------------ ------------
Total ........................................................................ $628,794,750 $376,781,159
============ ============
Shares of beneficial interest outstanding ........................................ 29,847,696 13,413,262
============ ============
Net asset value, offering price and redemption price per share (net assets
[divided by] shares of beneficial interest outstanding) ......................... $ 21.07 $ 28.09
============ ============
</TABLE>
See notes to financial statements
34
<PAGE>
MFS/Sun Life Series Trust
Statements of Assets and Liabilities -- June 30, 1998 -- continued
<TABLE>
<CAPTION>
Total
Research Return
Assets: Series Series
Investments -- ----------------- -------------------
<S> <C> <C>
Unaffiliated issuers, at cost ................................................... $ 724,986,753 $ 1,671,728,415
Unrealized appreciation ......................................................... 179,026,182 247,428,190
------------- ---------------
Total investments, at value ................................................... $ 904,012,935 $ 1,919,156,605
Cash ............................................................................. 33,460 698,388
Foreign currency, at value (identified cost, $1,442 and $202,421, respectively)... -- --
Net receivable for forward foreign currency exchange contracts to purchase ....... -- --
Receivable for investments sold .................................................. 3,697,150 7,194,646
Receivable for Series shares sold ................................................ 1,002,837 906,992
Interest and dividends receivable ................................................ 746,366 12,220,460
Other assets ..................................................................... 4,398 11,136
------------- ---------------
Total assets .................................................................. $ 909,497,146 $ 1,940,188,227
------------- ---------------
Liabilities:
Payable for investments purchased ................................................ $ 2,788,995 $ 25,765,459
Payable for Series shares reacquired ............................................. 2,687 1,044,104
Net payable for forward foreign currency exchange contracts to sell .............. -- --
Payable to affiliates --
Investment advisory fee ......................................................... 51,792 102,383
Administrative fee .............................................................. 1,110 2,535
Accrued expenses and other liabilities ........................................... 65,398 84,191
------------- ---------------
Total liabilities ............................................................. $ 2,909,982 $ 26,998,672
------------- ---------------
Net assets ................................................................... $ 906,587,164 $ 1,913,189,555
============= ===============
Net assets consist of:
Paid-in capital .................................................................. $ 689,265,510 $ 1,507,312,919
Unrealized appreciation on investments and translation of assets and liabilities
in foreign currencies ........................................................... 179,026,123 247,423,653
Accumulated undistributed net realized gain on investments and foreign currency
transactions .................................................................... 36,890,204 126,353,771
Accumulated undistributed net investment income .................................. 1,405,327 32,099,212
------------- ---------------
Net assets ................................................................... $ 906,587,164 $ 1,913,189,555
============= ===============
Shares of beneficial interest outstanding ........................................ 41,036,755 92,476,608
============= ===============
Net asset value, offering price and redemption price per share (net assets
[divided by] shares of beneficial interest outstanding) ......................... $ 22.09 $ 20.69
============= ===============
<CAPTION>
World
Utilities Growth
Assets: Series Series
Investments -- ----------------- -----------------
<S> <C> <C>
Unaffiliated issuers, at cost ................................................... $ 167,327,564 $ 241,313,816
Unrealized appreciation ......................................................... 14,558,956 48,962,394
------------- -------------
Total investments, at value ................................................... $ 181,886,520 $ 290,276,210
Cash ............................................................................. 4,221 695,784
Foreign currency, at value (identified cost, $1,442 and $202,421, respectively)... 1,434 202,421
Net receivable for forward foreign currency exchange contracts to purchase ....... 12,044 --
Receivable for investments sold .................................................. 947,094 2,033,212
Receivable for Series shares sold ................................................ 463,247 33,412
Interest and dividends receivable ................................................ 775,824 521,185
Other assets ..................................................................... 806 1,657
------------- -------------
Total assets .................................................................. $ 184,091,190 $ 293,763,881
------------- -------------
Liabilities:
Payable for investments purchased ................................................ $ 8,313,051 $ 2,176,657
Payable for Series shares reacquired ............................................. 2,231 167,359
Net payable for forward foreign currency exchange contracts to sell .............. -- 1,170
Payable to affiliates --
Investment advisory fee ......................................................... 10,686 21,435
Administrative fee .............................................................. 214 418
Accrued expenses and other liabilities ........................................... 20,294 84,188
------------- -------------
Total liabilities ............................................................. $ 8,346,476 $ 2,451,227
------------- -------------
Net assets ................................................................... $ 175,744,714 $ 291,312,654
============= =============
Net assets consist of:
Paid-in capital .................................................................. $ 144,896,147 $ 228,035,845
Unrealized appreciation on investments and translation of assets and liabilities
in foreign currencies ........................................................... 14,567,587 48,950,898
Accumulated undistributed net realized gain on investments and foreign currency
transactions .................................................................... 14,077,304 13,883,365
Accumulated undistributed net investment income .................................. 2,203,676 442,546
------------- -------------
Net assets ................................................................... $ 175,744,714 $ 291,312,654
============= =============
Shares of beneficial interest outstanding ........................................ 10,841,172 18,869,314
============= =============
Net asset value, offering price and redemption price per share (net assets
[divided by] shares of beneficial interest outstanding) ......................... $ 16.21 $ 15.44
============= =============
</TABLE>
See notes to financial statements
35
<PAGE>
MFS/Sun Life Series Trust
Statements of Operations -- Six Months Ended June 30, 1998
<TABLE>
<CAPTION>
Capital Conservative
Appreciation Growth
Net investment income: Series Series
Income -- ---------------- ---------------
<S> <C> <C>
Interest ........................................................................... $ 1,105,813 $ 1,197,440
Dividends .......................................................................... 2,802,676 10,260,792
Foreign taxes withheld ............................................................. (10,492) (141,523)
------------ ------------
Total investment income ........................................................... $ 3,897,997 $ 11,316,709
------------ ------------
Expenses --
Investment advisory fees ........................................................... $ 5,363,878 $ 3,795,586
Trustees' fees ..................................................................... 3,473 3,473
Administrative fee ................................................................. 104,540 98,441
Custodian fee ...................................................................... 159,927 175,287
Auditing fee ....................................................................... 21,565 22,665
Legal fee .......................................................................... 321 314
Printing expense ................................................................... 32,397 11,842
Miscellaneous ...................................................................... 6,324 4,980
------------- ------------
Total expenses .................................................................... $ 5,692,425 $ 4,112,588
Fees paid indirectly ............................................................... (20,500) (12,070)
------------- ------------
Net expenses ...................................................................... $ 5,671,925 $ 4,100,518
------------- ------------
Net investment income (loss) ..................................................... $ (1,773,928) $ 7,216,191
------------- ------------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $113,908,310 $ 74,300,612
Foreign currency transactions ...................................................... (5,904) (4,744)
Written options transactions ....................................................... -- --
------------- ------------
Net realized gain on investments and foreign currency transactions ............... $113,902,406 $ 74,295,868
------------- ------------
Change in unrealized appreciation (depreciation) on --
Investments ........................................................................ $153,036,764 $128,665,989
Translation of assets and liabilities in foreign currencies ........................ 7 2,727
Written options .................................................................... -- --
------------- ------------
Net unrealized gain on investments and foreign currency translation ............... $153,036,771 $128,668,716
------------- ------------
Net realized and unrealized gain on investments and foreign currency ............. $266,939,177 $202,964,584
------------- ------------
Increase in net assets from operations .......................................... $265,165,249 $210,180,775
============= =============
<CAPTION>
Emerging Managed
Growth Sectors
Net investment income: Series Series
Income -- --------------- --------------
<S> <C> <C>
Interest ........................................................................... $ 548,854 $ 364,954
Dividends .......................................................................... 1,356,021 780,020
Foreign taxes withheld ............................................................. (10,498) (105)
------------ -----------
Total investment income ........................................................... $ 1,894,377 $ 1,144,869
------------ -----------
Expenses --
Investment advisory fees ........................................................... $ 1,947,011 $ 1,359,694
Trustees' fees ..................................................................... 3,473 3,473
Administrative fee ................................................................. 40,697 27,658
Custodian fee ...................................................................... 88,431 56,272
Auditing fee ....................................................................... 30,865 22,815
Legal fee .......................................................................... 218 --
Printing expense ................................................................... 19,524 13,431
Miscellaneous ...................................................................... 3,670 1
------------ -----------
Total expenses .................................................................... $ 2,133,889 $ 1,483,344
Fees paid indirectly ............................................................... (11,885) (11,598)
------------ -----------
Net expenses ...................................................................... $ 2,122,004 $ 1,471,746
------------ -----------
Net investment income (loss) ..................................................... $ (227,627) $ (326,877)
------------ -----------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $ 15,833,447 $22,515,689
Foreign currency transactions ...................................................... 1,556 --
Written options transactions ....................................................... -- 741,148
------------ -----------
Net realized gain on investments and foreign currency transactions ............... $ 15,835,003 $23,256,837
------------ -----------
Change in unrealized appreciation (depreciation) on --
Investments ........................................................................ $ 86,287,811 $14,743,681
Translation of assets and liabilities in foreign currencies ........................ (117) --
Written options .................................................................... -- 2,643,732
------------ -----------
Net unrealized gain on investments and foreign currency translation ............... $ 86,287,694 $17,387,413
------------ -----------
Net realized and unrealized gain on investments and foreign currency ............. $102,122,697 $40,644,250
------------ -----------
Increase in net assets from operations .......................................... $101,895,070 $40,317,373
============ ===========
</TABLE>
See notes to financial statements
36
<PAGE>
MFS/Sun Life Series Trust
Statements of Operations -- Six Months Ended June 30, 1998 -- continued
<TABLE>
<CAPTION>
Total
Research Return
Net investment income: Series Series
Income -- --------------- ----------------
<S> <C> <C>
Interest ........................................................................... $ 595,929 $ 26,465,742
Dividends .......................................................................... 3,897,297 11,858,051
Foreign taxes withheld ............................................................. (48,632) (194,944)
------------ ------------
Total investment income ........................................................... $ 4,444,594 $ 38,128,849
------------ ------------
Expenses --
Investment advisory fees ........................................................... $ 2,795,653 $ 5,912,228
Trustees' fees ..................................................................... 3,473 3,473
Administrative fee ................................................................. 59,515 125,134
Custodian fee ...................................................................... 125,969 197,579
Auditing fee ....................................................................... 28,815 25,015
Legal fee .......................................................................... 609 487
Printing expense ................................................................... 25,736 34,580
Interest expense ................................................................... -- 37,031
Miscellaneous ...................................................................... 7,768 23,341
------------ ------------
Total expenses .................................................................... $ 3,047,538 $ 6,358,868
Fees paid indirectly ............................................................... (8,757) (49,846)
------------ ------------
Net expenses ...................................................................... $ 3,038,781 $ 6,309,022
------------ ------------
Net investment income ............................................................ $ 1,405,813 $ 31,819,827
------------ ------------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $ 38,620,207 $127,093,530
Foreign currency transactions ...................................................... (19,400) (22,592)
------------ ------------
Net realized gain on investments and foreign currency transactions ............... $ 38,600,807 $127,070,938
------------ ------------
Change in unrealized appreciation (depreciation) on --
Investments ........................................................................ $ 92,207,419 $ (8,300,433)
Translation of assets and liabilities in foreign currencies ........................ 488 (2,299)
------------ ------------
Net unrealized gain (loss) on investments and foreign currency translation ........ $ 92,207,907 $ (8,302,732)
------------ ------------
Net realized and unrealized gain on investments and foreign currency ............. $130,808,714 $118,768,206
------------ ------------
Increase in net assets from operations .......................................... $132,214,527 $150,588,033
============ ============
See notes to financial statements
<CAPTION>
World
Utilities Growth
Net investment income: Series Series
Income -- --------------- ---------------
<S> <C> <C>
Interest ........................................................................... $ 773,692 $ 293,440
Dividends .......................................................................... 2,029,464 2,161,285
Foreign taxes withheld ............................................................. (79,594) (172,984)
----------- -----------
Total investment income ........................................................... $ 2,723,562 $ 2,281,741
----------- -----------
Expenses --
Investment advisory fees ........................................................... $ 556,434 $ 1,240,291
Trustees' fees ..................................................................... 3,473 3,473
Administrative fee ................................................................. 11,108 20,602
Custodian fee ...................................................................... 36,448 88,117
Auditing fee ....................................................................... -- 37,315
Legal fee .......................................................................... 409 816
Printing expense ................................................................... 6,467 2,193
Interest expense ................................................................... 26,413 --
Miscellaneous ...................................................................... -- --
----------- -----------
Total expenses .................................................................... $ 640,752 $ 1,392,807
Fees paid indirectly ............................................................... (8,492) (11,604)
----------- -----------
Net expenses ...................................................................... $ 632,260 $ 1,381,203
----------- -----------
Net investment income ............................................................ $ 2,091,302 $ 900,538
----------- -----------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $14,223,293 $14,744,340
Foreign currency transactions ...................................................... (32,196) (98,137)
----------- -----------
Net realized gain on investments and foreign currency transactions ............... $14,191,097 $14,646,203
----------- -----------
Change in unrealized appreciation (depreciation) on --
Investments ........................................................................ $ (402,583) $16,866,438
Translation of assets and liabilities in foreign currencies ........................ 9,848 (6,582)
----------- -----------
Net unrealized gain (loss) on investments and foreign currency translation ........ $ (392,735) $16,859,856
----------- -----------
Net realized and unrealized gain on investments and foreign currency ............. $13,798,362 $31,506,059
----------- -----------
Increase in net assets from operations .......................................... $15,889,664 $32,406,597
=========== ===========
See notes to financial statements
</TABLE>
37
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Six Months Ended June 30, 1998
<TABLE>
<CAPTION>
Capital Conservative
Appreciation Growth
Increase (decrease) in net assets: Series Series
From operations -- ------------------ -----------------
<S> <C> <C>
Net investment income (loss) ........................................................ $ (1,773,928) $ 7,216,191
Net realized gain on investments and foreign currency transactions .................. 113,902,406 74,295,868
Net unrealized gain on investments and foreign currency translation ................. 153,036,771 128,668,716
-------------- --------------
Increase in net assets from operations ............................................. $ 265,165,249 $ 210,180,775
-------------- --------------
Distributions declared to shareholders --
From net investment income .......................................................... $ -- $ (10,399,190)
From net realized gain on investments and foreign currency transactions ............. (169,375,578) (91,293,748)
-------------- --------------
Total distributions declared to shareholders ...................................... $ (169,375,578) $ (101,692,938)
-------------- --------------
Net increase in net assets from Series share transactions .......................... $ 170,095,650 $ 334,833,349
-------------- --------------
Total increase in net assets ...................................................... $ 265,885,321 $ 443,321,186
Net assets:
At beginning of period .............................................................. 1,326,240,487 1,158,135,172
-------------- --------------
At end of period .................................................................... $1,592,125,808 $1,601,456,358
============== ==============
Accumulated undistributed net investment income (loss) included in net assets $ (1,773,928) $ 7,215,031
at end of period =============== ==============
<CAPTION>
Emerging Managed
Growth Sectors
Increase (decrease) in net assets: Series Series
From operations -- ---------------- ----------------
<S> <C> <C>
Net investment income (loss) ........................................................ $ (227,627) $ (326,877)
Net realized gain on investments and foreign currency transactions .................. 15,835,003 23,256,837
Net unrealized gain on investments and foreign currency translation ................. 86,287,694 17,387,413
------------- -------------
Increase in net assets from operations ............................................. $ 101,895,070 $ 40,317,373
------------- -------------
Distributions declared to shareholders --
From net investment income .......................................................... $ -- $ --
From net realized gain on investments and foreign currency transactions ............. (19,671,423) (53,791,547)
-------------- --------------
Total distributions declared to shareholders ...................................... $ (19,671,423) $ (53,791,547)
-------------- --------------
Net increase in net assets from Series share transactions .......................... $ 89,219,685 $ 49,627,896
-------------- --------------
Total increase in net assets ...................................................... $ 171,443,332 $ 36,153,722
Net assets:
At beginning of period .............................................................. 457,351,418 340,627,437
-------------- --------------
At end of period .................................................................... $ 628,794,750 $ 376,781,159
============== ==============
Accumulated undistributed net investment income (loss) included in net assets $ (227,627) $ (326,877)
at end of period ============== ==============
</TABLE>
<TABLE>
<CAPTION>
Total
Research Return
Increase (decrease) in net assets: Series Series
From operations -- ----------------- ------------------
<S> <C> <C>
Net investment income ............................................................... $ 1,405,813 $ 31,819,827
Net realized gain on investments and foreign currency transactions .................. 38,600,807 127,070,938
Net unrealized gain (loss) on investments and foreign currency translation .......... 92,207,907 (8,302,732)
------------- --------------
Increase in net assets from operations ............................................. $ 132,214,527 $ 150,588,033
------------- --------------
Distributions declared to shareholders --
From net investment income .......................................................... $ (1,809,857) $ (56,012,276)
From net realized gain on investments and foreign currency transactions ............. (33,497,705) (144,585,110)
------------- --------------
Total distributions declared to shareholders ...................................... $ (35,307,562) $ (200,597,386)
------------- --------------
Net increase in net assets from Series share transactions .......................... $ 139,377,966 $ 267,090,766
------------- --------------
Total increase in net assets ...................................................... $ 236,284,931 $ 217,081,413
Net assets:
At beginning of period .............................................................. 670,302,233 1,696,108,142
------------- --------------
At end of period .................................................................... $ 906,587,164 $1,913,189,555
============= ==============
Accumulated undistributed net investment income included in net assets
at end of period ................................................................... $ 1,405,327 $ 32,099,212
============= ==============
<CAPTION>
World
Utilities Growth
Increase (decrease) in net assets: Series Series
From operations -- ----------------- -----------------
<S> <C> <C>
Net investment income ............................................................... $ 2,091,302 $ 900,538
Net realized gain on investments and foreign currency transactions .................. 14,191,097 14,646,203
Net unrealized gain (loss) on investments and foreign currency translation .......... (392,735) 16,859,856
------------- -------------
Increase in net assets from operations ............................................. $ 15,889,664 $ 32,406,597
------------- -------------
Distributions declared to shareholders --
From net investment income .......................................................... $ (2,736,379) $ (973,450)
From net realized gain on investments and foreign currency transactions ............. (15,722,165) (19,232,791)
------------- -------------
Total distributions declared to shareholders ...................................... $ (18,458,544) $ (20,206,241)
------------- -------------
Net increase in net assets from Series share transactions .......................... $ 55,305,127 $ 26,710,295
------------- -------------
Total increase in net assets ...................................................... $ 52,736,247 $ 38,910,651
Net assets:
At beginning of period .............................................................. 123,008,467 252,402,003
------------- -------------
At end of period .................................................................... $ 175,744,714 $ 291,312,654
============= =============
Accumulated undistributed net investment income included in net assets
at end of period .................................................................. $ 2,203,676 $ 442,546
============= =============
</TABLE>
See notes to financial statements
38
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Year Ended December 31, 1997
<TABLE>
<CAPTION>
Capital Conservative
Appreciation Growth
Increase (decrease) in net assets: Series Series
From operations -- ------------------ ------------------
<S> <C> <C>
Net investment income (loss) ........................................................ $ (1,276,188) $ 10,441,809
Net realized gain on investments and foreign currency transactions .................. 150,372,261 87,763,278
Net unrealized gain on investments and foreign currency translation ................. 96,165,766 127,467,772
-------------- --------------
Increase in net assets from operations ............................................. $ 245,261,839 $ 225,672,859
-------------- --------------
Distributions declared to shareholders --
From net investment income .......................................................... $ -- $ (7,189,349)
From net realized gain on investments and foreign currency transactions ............. (104,376,322) (31,498,498)
In excess of net investment income .................................................. -- --
--------------- --------------
Total distributions declared to shareholders ...................................... $ (104,376,322) $ (38,687,847)
--------------- --------------
Net increase in net assets from Series share transactions ........................... $ 123,723,539 $ 400,142,125
--------------- --------------
Total increase in net assets ...................................................... $ 264,609,056 $ 587,127,137
Net assets:
At beginning year ................................................................... 1,061,631,431 571,008,035
--------------- --------------
At end of year ...................................................................... $1,326,240,487 $1,158,135,172
=============== ==============
Accumulated undistributed net investment income included in net assets
at end of year ..................................................................... $ -- $ 10,398,030
=============== =============
<CAPTION>
Emerging Managed
Growth Sectors
Increase (decrease) in net assets: Series Series
From operations -- ---------------- ----------------
<S> <C> <C>
Net investment income (loss) ......................................................... $ (1,164,413) $ (648,724)
Net realized gain on investments and foreign currency transactions ................... 18,073,943 51,889,931
Net unrealized gain on investments and foreign currency translation .................. 48,269,898 14,553,559
------------ -------------
Increase in net assets from operations .............................................. $ 65,179,428 $ 65,794,766
------------ -------------
Distributions declared to shareholders --
From net investment income ........................................................... $ (188,684) $ (196,596)
From net realized gain on investments and foreign currency transactions .............. (1,150,020) (31,648,262)
In excess of net investment income ................................................... (916) --
------------ -------------
Total distributions declared to shareholders ....................................... $ (1,339,620) $ (31,844,858)
------------ -------------
Net increase in net assets from Series share transactions ............................ $142,685,385 $ 40,309,615
------------ -------------
Total increase in net assets ....................................................... $206,525,193 $ 74,259,523
Net assets:
At beginning year .................................................................... 250,826,225 266,367,914
------------ -------------
At end of year ....................................................................... $457,351,418 $ 340,627,437
============ =============
Accumulated undistributed net investment income included in net assets
at end of year ..................................................................... $ -- $ --
============ =============
</TABLE>
<TABLE>
<CAPTION>
Total
Research Return
Increase (decrease) in net assets: Series Series
From operations -- ----------------- -----------------
<S> <C> <C>
Net investment income ................................................................ $ 1,849,477 $ 56,405,941
Net realized gain on investments and foreign currency transactions ................... 31,875,765 143,862,974
Net unrealized gain on investments and foreign currency translation .................. 54,470,900 97,588,192
------------- --------------
Increase in net assets from operations .............................................. $ 88,196,142 $ 297,857,107
------------- --------------
Distributions declared to shareholders --
From net investment income ........................................................... $ (954,883) $ (49,958,857)
From net realized gain on investments and foreign currency transactions .............. (12,012,838) (96,304,382)
------------- --------------
Total distributions declared to shareholders ....................................... $ (12,967,721) $ (146,263,239)
------------- --------------
Net increase in net assets from Series share transactions ........................... $ 269,684,599 $ 209,492,111
------------- --------------
Total increase in net assets ....................................................... $ 344,913,020 $ 361,085,979
Net assets:
At beginning of year ................................................................. 325,389,213 1,335,022,163
------------- --------------
At end of year ....................................................................... $ 670,302,233 $1,696,108,142
============= ==============
Accumulated undistributed net investment income included in net assets at end of year . $ 1,809,371 $ 56,291,661
============= ==============
<CAPTION>
World
Utilities Growth
Increase (decrease) in net assets: Series Series
From operations -- ---------------- ----------------
<S> <C> <C>
Net investment income ................................................................ $ 2,826,189 $ 742,576
Net realized gain on investments and foreign currency transactions ................... 15,682,458 19,190,288
Net unrealized gain on investments and foreign currency translation .................. 8,439,251 11,906,216
------------ ------------
Increase in net assets from operations .............................................. $ 26,947,898 $ 31,839,080
------------ ------------
Distributions declared to shareholders --
From net investment income ........................................................... $ (2,296,378) $ (1,004,799)
From net realized gain on investments and foreign currency transactions .............. (7,017,680) (4,111,083)
------------ ------------
Total distributions declared to shareholders ....................................... $ (9,314,058) $ (5,115,882)
------------ ------------
Net increase in net assets from Series share transactions ........................... $ 34,694,449 $ 22,573,299
------------ ------------
Total increase in net assets ....................................................... $ 52,328,289 $ 49,296,497
Net assets:
At beginning of year ................................................................. 70,680,178 203,105,506
------------ ------------
At end of year ....................................................................... $123,008,467 $252,402,003
============ ============
Accumulated undistributed net investment income included in net assets at end of year . $ 2,848,753 $ 515,458
============ ============
</TABLE>
See notes to financial statements
39
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights
<TABLE>
<CAPTION>
Capital Appreciation Series
-----------------------------------
Six Months Year Ended
Ended December 31,
June 30, -----------------
1998 1997
Per share data (for a share outstanding throughout each period): ------------------ ----------------
<S> <C> <C>
Net asset value -- beginning of period ......................................... $ 40.1392 $ 35.8316
----------- ----------
Income from investment operations# --
Net investment income (loss) .................................................. $ (0.0517) $ (0.0405)
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ................................................................. 7.8372 7.8691
----------- ----------
Total from investment operations ............................................ $ 7.7855 $ 7.8286
----------- ----------
Less distributions --
From net investment income .................................................... $ -- $ --
From net realized gain on investments and foreign currency transactions ....... (5.1496) (3.5210)
----------- ----------
Total distributions ......................................................... $ (5.1496) $ (3.5210)
----------- ----------
Net asset value -- end of period ............................................... $ 42.7751 $ 40.1392
=========== ==========
Total return[dbldag] ........................................................... 19.87%++ 23.14%
Ratios (to average net assets)/Supplemental data:
Expenses## .................................................................... 0.77%+ 0.78%
Net investment income (loss) .................................................. (0.24)%+ (0.10)%
Portfolio turnover ............................................................. 43% 68%
Net assets at end of period (000 omitted) ...................................... $ 1,592,126 $1,326,240
<CAPTION>
Capital Appreciation Series
------------------------------------------------
Year Ended December 31,
------------------------------------------------
1996 1995 1994
Per share data (for a share outstanding throughout each period): ---------------- ------------- ----------------
<S> <C> <C> <C>
Net asset value -- beginning of period ......................................... $ 31.9878 $ 24.4076 $28.1892
---------- --------- --------
Income from investment operations# --
Net investment income (loss) .................................................. $ (0.0200) $ 0.0933 $ 0.0523
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ................................................................. 6.7422 8.1619 (1.1104)
---------- --------- --------
Total from investment operations ............................................ $ 6.7222 $ 8.2552 $(1.0581)
---------- --------- --------
Less distributions --
From net investment income .................................................... $ (0.0322) $ (0.0568) $(0.1306)
From net realized gain on investments and foreign currency transactions ....... (2.8462) (0.6182) (2.5929)
---------- --------- --------
Total distributions ......................................................... $ (2.8784) $ (0.6750) $(2.7235)
---------- --------- --------
Net asset value -- end of period ............................................... $ 35.8316 $ 31.9878 $24.4076
========== ========= ========
Total return[dbldag] ........................................................... 21.48% 34.46% (3.60)%
Ratios (to average net assets)/Supplemental data:
Expenses## .................................................................... 0.80% 0.83% 0.83%
Net investment income (loss) .................................................. (0.05)% 0.32% 0.24%
Portfolio turnover ............................................................. 67% 89% 52%
Net assets at end of period (000 omitted) ...................................... $1,061,631 $ 797,102 $476,508
<CAPTION>
Capital
Appreciation
Series
-------------
Year Ended
December 31,
-------------
1993
Per share data (for a share outstanding throughout each period): -------------
<S> <C>
Net asset value -- beginning of period ......................................... $ 24.8989
---------
Income from investment operations# --
Net investment income (loss) .................................................. $ 0.1036
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ................................................................. 4.2197
---------
Total from investment operations ............................................ $ 4.3233
---------
Less distributions --
From net investment income .................................................... $ (0.1095)
From net realized gain on investments and foreign currency transactions ....... (0.9235)
---------
Total distributions ......................................................... $ (1.0330)
---------
Net asset value -- end of period ............................................... $ 28.1892
=========
Total return[dbldag] ........................................................... 18.00%
Ratios (to average net assets)/Supplemental data:
Expenses## .................................................................... 0.83%
Net investment income (loss) .................................................. 0.48%
Portfolio turnover ............................................................. 70%
Net assets at end of period (000 omitted) ...................................... $ 420,552
</TABLE>
<TABLE>
<CAPTION>
Conservative Growth Series
------------------------------------------------
Six Months Year Ended December 31,
Ended -----------------------------
June 30,
1998 1997 1996
--------------- --------- ---------
<S> <C> <C> <C>
Per share data (for a share outstanding
throughout each period):
Net asset value -- beginning of period ............... $ 33.1489 $ 26.4978 $ 22.0182
---------- ---------- ---------
Income from investment operations# --
Net investment income (loss)[sec] ................... $ 0.1853 $ 0.3714 $ 0.4100
Net realized and unrealized gain (loss) on
investments and foreign currency transactions ...... 5.3517 7.8153 5.0415
---------- ---------- ---------
Total from investment operations .................. $ 5.5370 $ 8.1867 $ 5.4515
---------- ---------- ---------
Less distributions --
From net investment income .......................... $ (0.2646) $ (0.2854) $ (0.2936)
From net realized gain on investments and foreign
currency transactions .............................. (2.3231) (1.2502) (0.6783)
---------- ---------- ---------
Total distributions ............................... $ (2.5877) $ (1.5356) $ (0.9719)
---------- ---------- ---------
Net asset value -- end of period ..................... $ 36.0982 $ 33.1489 $ 26.4978
========== ========== =========
Total return[dbldag] ................................. 16.89%++ 31.94% 25.41%
Ratios (to average net assets)/Supplemental
data[sec]:
Expenses## .......................................... 0.60%+ 0.61% 0.61%
Net investment income (loss) ........................ 1.05%+ 1.23% 1.71%
Portfolio turnover ................................... 22% 52% 51%
Net assets at end of period (000 omitted) ............ $1,601,456 $1,158,135 $ 571,008
<CAPTION>
Emerging
Conservative Growth Series Growth Series
-------------------------------------------- -------------
Year Ended December 31, Six Months
-------------------------------------------- Ended
June 30,
1995 1994 1993 1998
--------- --------- --------- -------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding
throughout each period):
Net asset value -- beginning of period ............... $16.4563 $16.9289 $16.0717 $18.0032
-------- -------- -------- --------
Income from investment operations# --
Net investment income (loss)[sec] ................... $ 0.4318 $ 0.2942 $ 0.2041 $(0.0083)
Net realized and unrealized gain (loss) on
investments and foreign currency transactions ...... 5.6172 (0.4790) 1.1280 3.7820
-------- -------- -------- --------
Total from investment operations .................. $ 6.0490 $(0.1848) $ 1.3321 $ 3.7737
-------- -------- -------- --------
Less distributions --
From net investment income .......................... $(0.3037) $(0.1996) $(0.1509) $ --
From net realized gain on investments and foreign
currency transactions .............................. (0.1834) (0.0882) (0.3240) (0.7101)
-------- -------- -------- ----------
Total distributions ............................... $(0.4871) $(0.2878) $(0.4749) $(0.7101)
-------- -------- -------- ----------
Net asset value -- end of period ..................... $22.0182 $16.4563 $16.9289 $21.0668
======== ======== ======== ==========
Total return[dbldag] ................................. 37.41% (1.10)% 8.43% 21.17%++
Ratios (to average net assets)/Supplemental
data[sec]:
Expenses## .......................................... 0.64% 0.64% 0.66% 0.79%+
Net investment income (loss) ........................ 2.25% 2.42% 2.05% (0.08)%+
Portfolio turnover ................................... 60% 146% 19% 33%
Net assets at end of period (000 omitted) ............ $302,024 $150,318 $ 95,770 $628,795
<CAPTION>
Emerging Growth Series
-----------------------------------------
Year Ended December 31, Period
------------------------------ Ended
December 31,
1997 1996 1995*
--------- --------- ----------
<S> <C> <C> <C>
Per share data (for a share outstanding
throughout each period):
Net asset value -- beginning of period ............... $14.8305 $12.6867 $10.0000
-------- -------- --------
Income from investment operations# --
Net investment income (loss)[sec] ................... $(0.0551) $ 0.0175 $ 0.0788
Net realized and unrealized gain (loss) on
investments and foreign currency transactions ...... 3.2968 2.1506 2.6079
-------- -------- --------
Total from investment operations .................. $ 3.2417 $ 2.1681 $ 2.6867
-------- -------- --------
Less distributions --
From net investment income .......................... $(0.0098) $(0.0243) $ --
From net realized gain on investments and foreign
currency transactions .............................. (0.0592) -- --
-------- -------- --------
Total distributions ............................... $(0.0690) $(0.0243) $ --
-------- -------- --------
Net asset value -- end of period ..................... $18.0032 $14.8305 $12.6867
======== ======== ========
Total return[dbldag] ................................. 21.93% 17.15% 26.80%++
Ratios (to average net assets)/Supplemental
data[sec]:
Expenses## .......................................... 0.81% 0.70% 0.24%+
Net investment income (loss) ........................ (0.33)% 0.12% 1.13%+
Portfolio turnover ................................... 109% 88% 28%
Net assets at end of period (000 omitted) ............ $457,351 $250,826 $ 67,255
</TABLE>
*For the period from the commencement of the Series' investment operations, May
1, 1995, through December 31, 1995.
+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.
[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
40
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
Managed Sectors Series
-----------------------------------
Year Ended
Six Months December 31,
Ended -----------------
June 30, 1998 1997
Per share data (for a share outstanding throughout each period): ------------------ ----------------
<S> <C> <C>
Net asset value -- beginning of period ..................................... $29.1601 $26.2503
-------- --------
Income from investment operations# --
Net investment income (loss) .............................................. $(0.0266) $(0.0597)
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................. 3.5258 6.2302
-------- --------
Total from investment operations ........................................ $ 3.4992 $ 6.1705
-------- --------
Less distributions declared to shareholders --
From net investment income ................................................ $ -- $(0.0201)
From net realized gain on investments and foreign currency transactions ... (4.5691) (3.2406)
-------- --------
Total distributions declared to shareholders ............................ $(4.5691) $(3.2607)
-------- --------
Net asset value -- end of period ........................................... $28.0902 $29.1601
======== ========
Total return[dbldag] ....................................................... 11.66%++ 25.63%
Ratios (to average net assets)/Supplemental data:
Expenses## ................................................................ 0.80%+ 0.82%
Net investment income (loss) .............................................. (0.18)%+ (0.21)%
Portfolio turnover ......................................................... 59% 103%
Net assets at end of period (000 omitted) .................................. $376,781 $340,627
<CAPTION>
Managed Sectors Series
---------------------------------------------
Year Ended December 31,
---------------------------------------------
1996 1995 1994
Per share data (for a share outstanding throughout each period): ------------- ------------- ----------------
<S> <C> <C> <C>
Net asset value -- beginning of period ..................................... $25.4468 $19.8823 $23.2419
-------- -------- --------
Income from investment operations# --
Net investment income (loss) .............................................. $ 0.0200 $ 0.0979 $ 0.0982
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................. 4.2817 6.1880 (0.6610)
-------- -------- --------
Total from investment operations ........................................ $ 4.3017 $ 6.2859 $(0.5628)
-------- -------- --------
Less distributions declared to shareholders --
From net investment income ................................................ $(0.0758) $(0.0542) $(0.0239)
From net realized gain on investments and foreign currency transactions ... (3.4224) (0.6672) (2.7729)
-------- -------- --------
Total distributions declared to shareholders ............................ $(3.4982) $(0.7214) $(2.7968)
-------- -------- --------
Net asset value -- end of period ........................................... $26.2503 $25.4468 $19.8823
======== ======== ========
Total return[dbldag] ....................................................... 17.58% 32.29% (1.94)%
Ratios (to average net assets)/Supplemental data:
Expenses## ................................................................ 0.82% 0.84% 0.87%
Net investment income (loss) .............................................. 0.09% 0.42% 0.53%
Portfolio turnover ......................................................... 121% 113% 103%
Net assets at end of period (000 omitted) .................................. $266,368 $194,351 $118,987
<CAPTION>
Managed
Sectors
Series
-------------
Year Ended
December 31,
-------------
1993
Per share data (for a share outstanding throughout each period): -------------
<S> <C>
Net asset value -- beginning of period ..................................... $ 22.3342
----------
Income from investment operations# --
Net investment income (loss) .............................................. $ 0.0027
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................. 0.9050
----------
Total from investment operations ........................................ $ 0.9077
----------
Less distributions declared to shareholders --
From net investment income ................................................ $ --
From net realized gain on investments and foreign currency transactions ... --
-----------
Total distributions declared to shareholders ............................ $ --
-----------
Net asset value -- end of period ........................................... $ 23.2419
===========
Total return[dbldag] ....................................................... 4.08%
Ratios (to average net assets)/Supplemental data:
Expenses## ................................................................ 0.84%
Net investment income (loss) .............................................. 0.01%
Portfolio turnover ......................................................... 116%
Net assets at end of period (000 omitted) .................................. $ 104,964
</TABLE>
<TABLE>
<CAPTION>
Research Series
--------------------------------
Year Ended
Six Months December 31,
Ended -------------
June 30, 1998 1997
Per share data (for a share outstanding throughout each period): ------------------ -------------
<S> <C> <C>
Net asset value -- beginning of period ..................................... $ 19.4313 $ 16.5735
----------- ---------
Income from investment operations# --
Net investment income[sec] ................................................ $ 0.0375 $ 0.0678
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................. 3.5544 3.3159
----------- ---------
Total from investment operations ........................................ $ 3.5919 $ 3.3837
----------- ---------
Less distributions declared to shareholders --
From net investment income ................................................ $ (0.0477) $ (0.0387)
From net realized gain on investments and foreign currency transactions ... (0.8834) (0.4872)
----------- ---------
Total distributions declared to shareholders ............................ $ (0.9311) $ (0.5259)
----------- ---------
Net asset value -- end of period ........................................... $ 22.0921 $ 19.4313
=========== =========
Total return[dbldag] ....................................................... 18.62%++ 20.86%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ................................................................ 0.77%+ 0.79%
Net investment income ..................................................... 0.35%+ 0.37%
Portfolio turnover ......................................................... 35% 79%
Net assets at end of period (000 omitted) .................................. $ 906,587 $ 670,302
<CAPTION>
Research Series
---------------------------------------------
Year Ended December 31, Period Ended
--------------------------- December 31,
1996 1995 1994*
Per share data (for a share outstanding throughout each period): ------------- -------------- ------------
<S> <C> <C> <C>
Net asset value -- beginning of period ..................................... $ 13.5777 $ 9.8761 $10.0000
--------- --------- --------
Income from investment operations# --
Net investment income[sec] ................................................ $ 0.0797 $ 0.1401 $ 0.0131
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................. 3.1330 3.5651 (0.1370)
--------- --------- --------
Total from investment operations ........................................ $ 3.2127 $ 3.7052 $(0.1239)
--------- --------- --------
Less distributions declared to shareholders --
From net investment income ................................................ $ (0.0328) $ (0.0036) $ --
From net realized gain on investments and foreign currency transactions ... (0.1841) -- --
--------- --------- --------
Total distributions declared to shareholders ............................ $ (0.2169) $ (0.0036) $ --
--------- --------- --------
Net asset value -- end of period ........................................... $ 16.5735 $ 13.5777 $ 9.8761
========= ========= ========
Total return[dbldag] ....................................................... 23.76% 37.50% (1.20)%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ................................................................ 0.84% 0.58% 1.50%+
Net investment income ..................................................... 0.52% 1.16% 1.80%+
Portfolio turnover ......................................................... 70% 81% 3%
Net assets at end of period (000 omitted) .................................. $ 325,389 $ 71,828 $ 3,869
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 7, 1994, through December 31, 1994.
+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.
[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 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 Series
-----------------------------------
Year Ended Period Ended
December 31, December 31,
1995 1994*
-------------- ------------------
<S> <C> <C>
Net investment income (loss) .......... $ 0.0954 $ (0.0145)
Ratios (to average net assets):
Expenses## ........................... 0.95% 3.49%+
Net investment income (loss) ......... 0.79% (0.19)%+
</TABLE>
See notes to financial statements
41
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
Total Return Series
----------------------------------
Year Ended
Six Months December 31,
Ended ----------------
June 30, 1998 1997
Per share data (for a share outstanding throughout each period): ------------------ ---------------
<S> <C> <C>
Net asset value -- beginning of period ..................................... $ 21.3173 $ 19.4397
----------- ---------
Income from investment operations# --
Net investment income ..................................................... $ 0.3787 $ 0.7546
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................. 1.4485 3.2409
----------- ---------
Total from investment operations ........................................ $ 1.8272 $ 3.9955
----------- ---------
Less distributions declared to shareholders --
From net investment income ................................................ $ (0.6858) $ (0.7234)
From net realized gain on investments and foreign currency transactions ... (1.7703) (1.3945)
----------- ---------
Total distributions declared to shareholders ............................ $ (2.4561) $ (2.1179)
----------- ---------
Net asset value -- end of period ........................................... $ 20.6884 $ 21.3173
=========== =========
Total return[dbldag] ....................................................... 8.71%++ 21.98%
Ratios (to average net assets)/Supplemental data:
Expenses## ................................................................ 0.70%+ 0.71%
Net investment income ..................................................... 3.52%+ 3.72%
Portfolio turnover ......................................................... 60% 113%
Net assets at end of period (000 omitted) .................................. $ 1,913,190 $1,696,108
<CAPTION>
Total Return Series
-------------------------------------------------
Year Ended December 31,
-------------------------------------------------
1996 1995 1994
Per share data (for a share outstanding throughout each period): --------------- --------------- ----------------
<S> <C> <C> <C>
Net asset value -- beginning of period ..................................... $ 18.3848 $ 15.0862 $ 16.0946
--------- --------- ---------
Income from investment operations# --
Net investment income ..................................................... $ 0.7677 $ 0.7824 $ 0.5639
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................. 1.6795 3.1527 (0.9310)
--------- --------- ---------
Total from investment operations ........................................ $ 2.4472 $ 3.9351 $ (0.3671)
--------- --------- ---------
Less distributions declared to shareholders --
From net investment income ................................................ $ (0.7189) $ (0.6365) $ (0.4344)
From net realized gain on investments and foreign currency transactions ... (0.6734) -- (0.2069)
--------- --------- ---------
Total distributions declared to shareholders ............................ $ (1.3923) $ (0.6365) $ (0.6413)
--------- --------- ---------
Net asset value -- end of period ........................................... $ 19.4397 $ 18.3848 $ 15.0862
========= ========= =========
Total return[dbldag] ....................................................... 14.10% 26.71% (2.22)%
Ratios (to average net assets)/Supplemental data:
Expenses## ................................................................ 0.72% 0.76% 0.76%
Net investment income ..................................................... 4.15% 4.70% 4.34%
Portfolio turnover ......................................................... 134% 108% 66%
Net assets at end of period (000 omitted) .................................. $1,335,022 $1,099,887 $ 839,614
<CAPTION>
Total Return
Series
-------------
Year Ended
December 31,
-------------
1993
Per share data (for a share outstanding throughout each period): -------------
<S> <C>
Net asset value -- beginning of period ..................................... $ 14.7219
---------
Income from investment operations# --
Net investment income ..................................................... $ 0.4319
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................. 1.5044
---------
Total from investment operations ........................................ $ 1.9363
---------
Less distributions declared to shareholders --
From net investment income ................................................ $ (0.4798)
From net realized gain on investments and foreign currency transactions ... (0.0838)
---------
Total distributions declared to shareholders ............................ $ (0.5636)
---------
Net asset value -- end of period ........................................... $ 16.0946
=========
Total return[dbldag] ....................................................... 13.37%
Ratios (to average net assets)/Supplemental data:
Expenses## ................................................................ 0.78%
Net investment income ..................................................... 4.06%
Portfolio turnover ......................................................... 102%
Net assets at end of period (000 omitted) .................................. $ 696,496
</TABLE>
<TABLE>
<CAPTION>
Utilities Series
----------------------------------------------
Six Months Year Ended December 31,
Ended ---------------------------
June 30, 1998 1997 1996
Per share data (for a share outstanding throughout each period): ------------------ ------------- -------------
<S> <C> <C> <C>
Net asset value -- beginning of period ..................................... $ 16.4093 $ 13.9874 $ 12.2598
----------- --------- ---------
Income from investment operations# --
Net investment income[sec] ................................................ $ 0.2360 $ 0.4576 $ 0.5322
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................. 1.6363 3.6873 1.8548
----------- --------- ---------
Total from investment operations ........................................ $ 1.8723 $ 4.1449 $ 2.3870
----------- --------- ---------
Less distributions --
From net investment income ................................................ $ (0.3070) $ (0.4248) $ (0.3160)
From net realized gain on investments and foreign currency transactions ... (1.7637) (1.2982) (0.3434)
----------- --------- ---------
Total distributions ..................................................... $ (2.0707) $ (1.7230) $ (0.6594)
----------- --------- ---------
Net asset value -- end of period ........................................... $ 16.2109 $ 16.4093 $ 13.9874
=========== ========= =========
Total return[dbldag] ....................................................... 11.56%++ 32.71% 20.37%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ................................................................ 0.86%+ 0.86% 0.88%
Net investment income ..................................................... 2.82%+ 3.15% 4.23%
Portfolio turnover ......................................................... 67% 144% 131%
Net assets at end of period (000 omitted) .................................. $ 175,745 $ 123,008 $ 70,680
<CAPTION>
Utilities Series
------------------------------------------------
Period 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 ..................................... $ 9.5209 $ 10.0164 $10.0000
--------- --------- --------
Income from investment operations# --
Net investment income[sec] ................................................ $ 0.4918 $ 0.2899 $ 0.0128
Net realized and unrealized gain (loss) on investments and foreign currency
transactions ............................................................. 2.5197 (0.7817) 0.0036
--------- --------- --------
Total from investment operations ........................................ $ 3.0115 $ (0.4918) $ 0.0164
--------- --------- --------
Less distributions --
From net investment income ................................................ $ (0.2726) $ (0.0037) $ --
From net realized gain on investments and foreign currency transactions ... -- -- --
--------- --------- --------
Total distributions ..................................................... $ (0.2726) $ (0.0037) $ --
--------- --------- --------
Net asset value -- end of period ........................................... $ 12.2598 $ 9.5209 $10.0164
========= ========= ========
Total return[dbldag] ....................................................... 32.36% (4.96)% 1.59%+
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ................................................................ 0.44% 0.39% 1.50%+
Net investment income ..................................................... 4.62% 4.59% 2.58%+
Portfolio turnover ......................................................... 119% 103% --
Net assets at end of period (000 omitted) .................................. $ 43,134 $ 21,448 $ 2,798
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 16, 1993, through December 31, 1993.
+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.
[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 for the periods indicated. If the waivers had not
been in place, the net investment income (loss) per share and the ratios would
have been:
<TABLE>
<CAPTION>
Utilities Series
------------------------------------------------
Year Ended
December 31, Period Ended
--------------------------- December 31,
1995 1994 1993*
------------ ------------ ------------------
<S> <C> <C> <C>
Net investment income (loss) .......... $ 0.4375 $ 0.2412 $ (0.0407)
Ratios (to average net assets):
Expenses## ........................... 0.95% 1.14% 9.71%+
Net investment income (loss) ......... 4.12% 3.84% (5.63)%+
</TABLE>
See notes to financial statements
42
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
World Growth Series
--------------------------------
Year Ended
Six Months December 31,
Ended -------------
June 30, 1998 1997
Per share data (for a share outstanding throughout each period): ------------------ -------------
<S> <C> <C>
Net asset value -- beginning of period .................................. $ 14.6844 $ 13.0338
----------- ---------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.0511 $ 0.0446
Net realized and unrealized gain on investments and foreign currency
transactions .......................................................... 1.8756 1.9245
----------- ---------
Total from investment operations ..................................... $ 1.9267 $ 1.9691
----------- ---------
Less distributions --
From net investment income ............................................. $ (0.0565) $ (0.0626)
From net realized gain on investments and foreign currency transactions (1.1162) (0.2559)
----------- ---------
Total distributions ................................................... $ (1.1727) $ (0.3185)
----------- ---------
Net asset value -- end of period ........................................ $ 15.4384 $ 14.6844
=========== =========
Total return[dbldag] .................................................... 13.00%++ 15.32%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................. 1.01%+ 1.02%
Net investment income .................................................. 0.65%+ 0.31%
Portfolio turnover ...................................................... 42% 105%
Net assets at end of period (000 omitted) ............................... $ 291,313 $ 252,402
<CAPTION>
World Growth Series
------------------------------------------
Year Ended December 31,
-----------------------------------------
1996 1995 1994
Per share data (for a share outstanding throughout each period): ------------- ------------- -------------
<S> <C> <C> <C>
Net asset value -- beginning of period .................................. $ 12.3464 $ 10.9425 $ 10.6366
--------- --------- ---------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.0232 $ 0.0689 $ 0.1506
Net realized and unrealized gain on investments and foreign currency
transactions .......................................................... 1.5878 1.6388 0.1590
--------- --------- ---------
Total from investment operations ..................................... $ 1.6110 $ 1.7077 $ 0.3096
--------- --------- ---------
Less distributions --
From net investment income ............................................. $ (0.0886) $ (0.1361) $ (0.0037)
From net realized gain on investments and foreign currency transactions (0.8350) (0.1677) --
--------- --------- ---------
Total distributions ................................................... $ (0.9236) $ (0.3038) $ (0.0037)
--------- --------- ---------
Net asset value -- end of period ........................................ $ 13.0338 $ 12.3464 $ 10.9425
========= ========= =========
Total return[dbldag] .................................................... 13.02% 16.06% 2.86%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................. 1.04% 1.07% 0.47%
Net investment income .................................................. 0.18% .60% 2.20%
Portfolio turnover ...................................................... 81% 162% 231%
Net assets at end of period (000 omitted) ............................... $ 203,106 $ 146,388 $ 100,045
<CAPTION>
World Growth
Series
----------------
Period Ended
December 31,
1993*
Per share data (for a share outstanding throughout each period): ----------------
<S> <C>
Net asset value -- beginning of period .................................. $10.0000
--------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.0088
Net realized and unrealized gain on investments and foreign currency
transactions .......................................................... 0.6278
--------
Total from investment operations ..................................... $ 0.6366
--------
Less distributions --
From net investment income ............................................. $ --
From net realized gain on investments and foreign currency transactions --
--------
Total distributions ................................................... $ --
--------
Net asset value -- end of period ........................................ $10.6366
========
Total return[dbldag] .................................................... 50.78%+
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................. 1.02%+
Net investment income .................................................. 1.23%+
Portfolio turnover ...................................................... 2%
Net assets at end of period (000 omitted) ............................... $ 18,879
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 16, 1993, through December 31, 1993.
+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.
[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
43
<PAGE>
MFS/Sun Life Series Trust
Notes to Financial Statements
(1) Business and 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-six separate Series (the Series) of
shares: Bond Series, Capital Appreciation Series*, Capital Opportunities
Series, Conservative Growth Series*, Emerging Growth Series*, Equity Income
Series, Government Securities Series, High Yield Series, International Growth
Series, International Growth and Income Series, Managed Sectors Series*, Money
Market Series, Massachusetts Investors Growth Stock Series, MFS/Foreign &
Colonial Emerging Markets Series, New Discovery Series, Research Series*,
Research Growth and Income Series, Research International Series, Strategic
Income Series, Total Return Series*, Utilities Series*, World Asset Allocation
Series, World Governments Series, World Growth Series*, World Total Return
Series, and Zero Coupon Series, 2000 Portfolio. The 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 reported at market value using last sale
prices. Unlisted equity securities or listed equity securities for which last
sale prices are not available are reported at market value using 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 foreign currency and translated into U.S. dollars at the
closing daily exchange rate. Options listed on commodities exchanges are
reported at market value using closing settlement prices. Over-the-counter
options on securities are valued by brokers. 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 may enter into repurchase agreements
with institutions that the Series' investment adviser has determined are
creditworthy. Each repurchase agreement is recorded at cost. The Series
requires that the securities collateral in a repurchase transaction be
transferred to the custodian in a manner sufficient to enable the Series to
obtain those securities in the event of a default under the repurchase
agreement. The Series monitors, on a daily basis, the value of the collateral
to ensure that its value, including accrued interest, 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 results from fluctuations in foreign currency exchange rates
is not separately disclosed.
Written Options - Certain Series may write call or put options in exchange for
a premium. The premium is initially recorded as a liability which is
subsequently adjusted to the current value of the options contract. When a
written option expires, the Series realizes a gain equal to the amount of the
premium received. When a written call option is exercised or closed, the
premium received is offset against the proceeds to determine the realized gain
or loss. When a written put option is exercised, the premium reduces the cost
basis of the security purchased by the Series. 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.
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
nonhedging 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. Each Series may also use
44
<PAGE>
Notes to Financial Statements -- continued
contracts in a manner intended to protect foreign currency-denominated
securities from declines in value due to unfavorable exchange rate movements.
For nonhedging 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 as unrealized
until the contract settlement date. On contract settlement date, the gains or
losses are recorded as realized gains or losses on foreign currency
transactions.
Investment Transactions and Income - Investment transactions are recorded on
the trade date. Interest income is recorded on the accrual basis. All discount
is accreted for financial statement and tax reporting purposes as required by
federal income tax regulations. Dividends received in cash are recorded on the
ex-dividend date. 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 - Each Series' custody fee is calculated as a percentage
of each Series' month end net assets. The fee is reduced according to an
arrangement that measures the value of cash deposited with the custodian by
each Series. This amount is shown as a reduction of expenses on the Statement
of Operations.
Tax Matters and Distributions - Each Series 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 provided. 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. Each Series
files a tax return annually using tax accounting methods required under
provisions of the Code, which may differ from generally accepted accounting
principles, the basis on which these financial statements are prepared.
Accordingly, the amount of net investment income and net realized gain reported
on these financial statements may differ from that reported on each Series' tax
return.
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 tax 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 net realized gains.
(3) Transactions with Affiliates
Investment Adviser - The Trust has an investment advisory agreement with
Massachusetts Financial Services Company (MFS), an indirect 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. Investment advisory fees
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%* N/A
Managed Sectors Series .............. 0.75%* 1.25%
Research Series ..................... 0.75%* N/A
Total Return Series ................. 0.75%* 1.25%
Utilities Series .................... 0.75%* N/A
World Growth Series ................. 0.90% N/A
</TABLE>
*The investment advisory fee for the Capital Appreciation Series is 0.75% of the
first $1 billion of average net assets, 0.675% of the average net assets of the
next $500 million and 0.65% of the average net assets in excess of $1.5
billion. The advisory fee for the Emerging Growth Series, Managed Sectors
Series, Research Series, Total Return Series and Utilities Series is 0.75% of
the first $300 million of average net assets and 0.675% of the average net
assets in excess of $300 million. The advisory fee for the Total Return Series
is reduced to 0.60% of the average net assets in excess of $1 billion.
45
<PAGE>
Notes to Financial Statements -- continued
The advisory agreement with respect to the World Growth Series permits the
adviser to engage one or more sub-advisers and the adviser has engaged Foreign
& Colonial Management Ltd. and Foreign & Colonial Emerging Markets Ltd., each
an England and Wales Company, to assist in the performance of its services.
Administrator - Each Series has an administrative services agreement with MFS
to provide each Series with certain financial, legal, shareholder servicing,
compliance, and other administrative services. As a partial reimbursement for
the cost of providing these services, each Series pays MFS an administrative
fee at the following annual percentages of each Series' average daily net
assets:
<TABLE>
<S> <C>
First $1 billion................ 0.0150%
Next $1 billion................. 0.0125%
Next $1 billion................. 0.0100%
In excess of $3 billion......... 0.0000%
</TABLE>
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 officers and Trustees of the Trust are
officers or directors of MFS or Sun Life Assurance Company of Canada.
(4) Portfolio Securities
Purchases and sales of investments, other than purchased option transactions
and short-term obligations, were as follows:
<TABLE>
<CAPTION>
Capital Conservative Emerging Managed
Appreciation Growth Growth Sectors
Series Series Series Series
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Purchases
U.S. government securities ........................... $ -- $ 2,581,885 $ -- $ 2,212,032
=========== ============ =========== ============
Investments (non-U.S. government securities) ......... $622,697,511 $541,652,165 $247,103,317 $222,632,562
============ ============ ============ ============
Sales
U.S. government securities ........................... $ 764,194 $ 231,567 $ -- $ --
============ ============ ============ ============
Investments (non-U.S. government securities) ......... $630,229,171 $298,993,034 $175,021,423 $209,562,609
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
Total World
Research Return Utilities Growth
Series Series Series Series
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Purchases
U.S. government securities ........................... $ 1,199,694 $401,270,984 $ 4,373,468 $ --
============ ============ ============ ===========
Investments (non-U.S. government securities) ......... $370,339,352 $814,010,917 $138,241,745 $116,844,854
============ ============ ============ ============
Sales
U.S. government securities ........................... $ -- $404,826,464 $ 9,100,883 $ --
============ ============ ============ ============
Investments (non-U.S. government securities) ......... $270,912,499 $601,379,760 $ 91,459,257 $112,834,090
============ ============ ============ ============
</TABLE>
The cost and unrealized appreciation or depreciation in value of the
investments owned by each Series, as computed on a federal income tax basis,
are as follows:
<TABLE>
<CAPTION>
Capital Conservative Emerging Managed
Appreciation Growth Growth Sectors
Series Series Series Series
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aggregate cost ........................ $1,114,467,767 $1,246,463,280 $ 474,391,949 $ 323,915,128
============== ============== ============= =============
Gross unrealized appreciation ......... $ 482,222,344 $ 376,044,141 $ 172,622,903 $ 48,962,394
Gross unrealized depreciation ......... (13,446,766) (9,626,310) (15,691,378) (13,048,851)
-------------- -------------- ------------- -------------
Net unrealized appreciation .......... $ 468,775,578 $ 366,417,831 $ 156,931,525 $ 52,623,408
============== ============== ============= =============
</TABLE>
<TABLE>
<CAPTION>
Total World
Research Return Utilities Growth
Series Series Series Series
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aggregate cost ........................ $ 724,986,753 $1,671,728,415 $167,327,564 $ 241,313,816
============= ============== ============ =============
Gross unrealized appreciation ......... $ 195,636,093 $ 259,993,423 $ 18,394,392 $ 65,694,254
Gross unrealized depreciation ......... (16,609,911) (12,565,233) (3,835,436) (16,731,860)
------------- -------------- ------------ -------------
Net unrealized appreciation .......... $ 179,026,182 $ 247,428,190 $ 14,558,956 $ 48,962,394
============= ============== ============ =============
</TABLE>
46
<PAGE>
Notes to Financial Statements -- continued
(5) Shares of Beneficial Interest
The Fund's Declaration of Trust permits the Trustees to issue an unlimited
number of full and fractional shares of beneficial interest (without par
value). Transactions in Series shares were as follows:
<TABLE>
<CAPTION>
Capital Appreciation Series
-------------------------------------------------
Year Ended
Six Months Ended December 31,
June 30, 1998 1997
--------------------------------- ---------------
Shares Amount Shares
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Shares sold ................................................... 3,548,200 $ 152,558,463 10,434,973
Shares issued to shareholders in reinvestment of distributions 4,103,091 169,375,578 2,938,523
Shares reacquired ............................................. (3,471,461) (151,838,391) (9,960,873)
---------- --------------- ----------
Net increase ................................................. 4,179,830 $ 170,095,650 3,412,623
========== =============== ==========
<CAPTION>
Capital
Appreciation
Series
-----------------
Year Ended
December 31, 1997
-----------------
Amount
- ---------------------------------------------------------------------------------
<S> <C>
Shares sold ................................................... $ 400,458,067
Shares issued to shareholders in reinvestment of distributions 104,376,322
Shares reacquired ............................................. (381,110,850)
---------------
Net increase ................................................. $ 123,723,539
===============
<CAPTION>
Conservative Growth Series
-------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
----------------------------- -------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 7,262,844 $ 258,738,167 13,737,227 $ 412,591,260
Shares issued to shareholders in reinvestment of distributions 2,883,270 101,692,938 1,378,263 38,687,847
Shares reacquired ............................................. (719,626) (25,597,756) (1,727,397) (51,136,982)
--------- ------------- ---------- -------------
Net increase ................................................. 9,426,488 $ 334,833,349 13,388,093 $ 400,142,125
========= ============= ========== =============
</TABLE>
<TABLE>
<CAPTION>
Emerging Growth Series
--------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
------------------------------ -------------------------------
Shares Amount Shares Amount
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 4,428,679 $ 88,776,377 10,946,183 $ 181,464,154
Shares issued to shareholders in reinvestment of distributions 974,798 19,671,423 88,424 1,339,620
Shares reacquired ............................................. (959,618) (19,228,115) (2,543,688) (40,118,389)
--------- -------------- ---------- -------------
Net increase ................................................. 4,443,859 $ 89,219,685 8,490,919 $ 142,685,385
========= ============== ========== =============
<CAPTION>
Managed Sectors Series
-----------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
-------------------------------- --------------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 995,800 $ 30,041,064 3,138,355 $ 89,274,597
Shares issued to shareholders in reinvestment of distributions 1,872,965 53,791,547 1,278,910 31,844,858
Shares reacquired ............................................. (1,136,797) (34,204,715) (2,883,189) (80,809,840)
---------- -------------- ---------- --------------
Net increase ................................................. 1,731,968 $ 49,627,896 1,534,076 $ 40,309,615
========== ============== ========== ==============
</TABLE>
<TABLE>
<CAPTION>
Research Series
------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
----------------------------- ------------------------------
Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 5,564,187 $ 118,388,967 14,881,373 $ 270,570,212
Shares issued to shareholders in reinvestment of distributions 1,643,741 35,307,562 757,459 12,967,721
Shares reacquired ............................................. (667,103) (14,318,563) (776,006) (13,853,334)
--------- ------------- ---------- -------------
Net increase ................................................. 6,540,825 $ 139,377,966 14,862,826 $ 269,684,599
========= ============= ========== =============
<CAPTION>
Total Return Series
------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
------------------------------- ----------------------------------
Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 6,532,487 $ 141,324,516 13,207,717 $ 265,729,913
Shares issued to shareholders in reinvestment of distributions 9,818,758 200,597,386 7,751,099 146,263,239
Shares reacquired ............................................. (3,439,654) (74,831,136) (10,068,841) (202,501,041)
---------- ------------- ----------- ---------------
Net increase ................................................. 12,911,591 $ 267,090,766 10,889,975 $ 209,492,111
========== ============= =========== ===============
</TABLE>
<TABLE>
<CAPTION>
Utilities Series
---------------------------------------------------------
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
---------------------------- ----------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 2,421,226 $ 40,712,252 2,211,285 $ 32,370,633
Shares issued to shareholders in reinvestment of distributions 1,152,938 18,458,544 710,454 9,314,058
Shares reacquired ............................................. (229,248) (3,865,669) (478,597) (6,990,242)
--------- ------------ --------- ------------
Net increase ................................................. 3,344,916 $ 55,305,127 2,443,142 $ 34,694,449
========= ============ ========= ============
<CAPTION>
World Growth Series
-----------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1998 December 31, 1997
-------------------------------- --------------------------------
Shares Amount Shares Amount
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 1,842,860 $ 28,967,123 4,579,286 $ 64,323,747
Shares issued to shareholders in reinvestment of distributions 1,281,309 20,206,241 379,516 5,115,882
Shares reacquired ............................................. (1,443,323) (22,463,069) (3,353,346) (46,866,330)
---------- -------------- ---------- --------------
Net increase ................................................. 1,680,846 $ 26,710,295 1,605,456 $ 22,573,299
========== ============== ========== ==============
</TABLE>
(6) Financial Instruments
Certain Series of the Trust may trade financial instruments with
off-balance-sheet risk in the normal course of its investing activities in
order to manage 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 has in
particular classes of financial instruments and does 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, 1998 is shown below and on the following
page.
Written Option Transactions
- ---------------------------
<TABLE>
<CAPTION>
1998 Calls
---------------------------
Series Contracts Premiums
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Managed Sectors Series Outstanding, beginning of period ..................... 5,308 $744,818
Options terminated in closing transactions .......... (13) (22,884)
Options expired ..................................... (5,295) (721,934)
------ --------
Outstanding, end of period ........................... -- $ --
------ --------
</TABLE>
47
<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>
Utilities Series Purchase 9/25/98 ECU 832,525 $927,433 $915,389 $ 12,044
World Growth Series Sale 9/25/98 MYR 1,073,750 $250,000 $251,170 $ (1,170)
</TABLE>
At June 30, 1998, each Series had sufficient cash and/or securities to cover
any commitments under these 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, 1998, the Research Series, Total Return Series, and World
Growth Series owned the following restricted securities (constituting 0.29%,
0.11%, and 0.63% 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 furnished by dealers or
by a pricing service, or if not available, are valued at fair value as
determined in good faith by or at the direction of the Trustees.
<TABLE>
<CAPTION>
Date of Shares/
Series Description Acquisition Per Amount Cost Value
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Research Series Jarvis Hotels PLC ............................ 6/21/94 908,300 $2,430,302 $2,605,878
========== ==========
Total Return Series Criimi Mae Commercial Mortgage Trust, 7s, 2011 5/6/98 1,630,000 $1,582,373 $1,579,909
Merrill Lynch Mortgage Investors, Inc.
8.161s, 2022 ................................ 6/22/94 514,000 356,266 497,375
---------- ----------
$1,938,639 $2,077,284
========== ==========
World Growth Series Bank Handlowy w Warszawie .................... 7/8/97 - 7/10/97 5,069 $ 48,465 $ 96,739
Hong Leong Finance Ltd. ...................... 11/8/96 - 8/18/97 96,000 289,379 78,763
International Business Communications
Systems, Inc. ............................... 10/17/95 12,600 124,992 0
Jarvis Hotels PLC ............................ 11/8/96 - 8/13/97 573,491 1,515,961 1,645,324
---------- ----------
$1,978,797 $1,820,826
========== ==========
</TABLE>
(8) Line of Credit
The Trust and other affiliated funds participate in a $805 million unsecured
line of credit provided by a syndication of banks under a line of credit
agreement. Borrowings may be made to temporarily finance the repurchase of
Series shares. Interest is charged to each Series, based on its borrowings, at
a rate equal to the bank's base rate. In addition, a commitment fee, based on
the average daily unused portion of the line of credit, is allocated among the
participating funds at the end of each quarter.
48
<PAGE>
Independent Auditors' Report
To the Trustees and Contract Owners 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, Managed Sectors Series,
Research Series, Total Return Series, Utilities Series, and World Growth
Series, (each a portfolio of MFS/Sun Life Series Trust) as of June 30, 1998,
the related statements of operations for the six months then ended, the
statements of changes in net assets for the six months then ended and the year
ended December 31, 1997, and the financial highlights for the six months ended
June 30, 1998 and each of the years in the five-years ended December 31, 1997.
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, 1998 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, 1998, 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 7, 1998
---------------------------------------------
This MFS[R]/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.
<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 (attorneys),
Boston, Massachusetts
J. KERMIT BIRCHFIELD, Trustee
Consultant; Chairman, Display Technology, Inc. (manufacturer of liquid-crystal
display technology); Managing Director, Century Partners, Inc. (investments),
Gloucester, Massachusetts
WILLIAM R. GUTOW, Trustee
Vice Chairman, Capitol Entertainment Management Company; Real Estate
Consultant,
Dallas, Texas
DAVID D. HORN*, Trustee
Former Senior Vice President and General Manager,
Sun Life Assurance Company of Canada,
Boston, Massachusetts
GARTH MARSTON, Trustee
Former Chairman, The Provident Institution for Savings,
Boston, Massachusetts
DERWYN F. PHILLIPS, Trustee
Former Vice Chairman, The Gillette Company,
Marblehead, Massachusetts
Officers+
JAMES R. BORDEWICK, JR., Assistant Secretary
MARK E. BRADLEY, Assistant Treasurer
STEPHEN E. CAVAN, Secretary and Clerk
W. THOMAS LONDON, Treasurer
ELLEN MOYNIHAN, Assistant Treasurer
JAMES O. YOST, Assistant Treasurer
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
Portfolio Managers+
JEAN O. ALESSANDRO
JOHN W. BALLEN
ARNAB KUMAR BANERJI
JOHN F. BRENNAN, JR.
STEPHEN C. BRYANT
JOHN F. BRENNAN, JR.
DAVID M. CALABRO
JAMES J. CALMAS
JEFFREY CHOWDHRY
MITCHELL D. DYNAN
KENNETH J. ENRIGHT
RICHARD O. HAWKINS
GEOFFREY L. KURINSKY
JOHN D. LAUPHEIMER, JR.
DAVID R. MANNHEIM
PAUL M. McMAHON
LESLIE J. NANBURG
KEVIN R. PARKE
BERNARD A. SCOZZAFAVA
MAURA A. SHAUGHNESSY
TONI Y. SHIMURA
FREDERICK J. SIMMONS
D. RICHARD SMITH
JAMES T. SWANSON
(on behalf of the MFS World
Asset Allocation Committee)
The Research Committee
*Affiliated with the Sponsor.
+Affiliated with the Investment Adviser. SUN-3B 8/98 178.5M
