MFS [RegTM]/Sun Life Series Trust
ANNUAL REPORT [bullet] December 31, 1997
Capital Appreciation Series
Conservative Growth Series
Emerging Growth Series
International Growth Series
(formerly MFS[RegTM]/Foreign & Colonial International Growth Series)
Managed Sectors Series
MFS [RegTM]/Foreign & Colonial Emerging
Markets Equity Series
Research Series
Research Growth and Income Series
Total Return Series
Utilities Series
Value Series
World Growth Series
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NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
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MFS Mourns Chairman's Passing
It is with deep regret that we inform you of the death on February 2, 1998, of
A. Keith Brodkin, Chairman and Chief Executive Officer of MFS Investment
ManagementSM. Mr. Brodkin joined MFS in 1970 and made enormous contributions to
the organization, including helping to build the firm's investment staff, which
will continue to manage all of the MFS investment portfolios. His leadership,
friendship, and wise counsel will be sorely missed.
Dear Contract Owners:
Thanks to a sustained period of relative stability and moderate growth, the U.S.
economy has produced thousands of new jobs, inflation has remained under
control, and the investment climate has -- for the most part -- been favorable.
The increased use of technology and other productivity enhancements, as well as
corporate restructuring and global competition, is improving companies' balance
sheets and helping control inflation. The rapid pace of growth seen in the first
quarter slowed to an annual rate of 3.3% in the second quarter and 3.5% in the
third. We believe this economic momentum will carry well into the first quarter
of 1998, as long-term interest rates have declined and the money supply is
increasing at a rapid rate. While economic growth in the United States continues
to be impressive, this is being partially offset by events in the Pacific Rim.
Thus, markets will most likely continue to focus on activity by the Federal
Reserve Board (the Fed) and its response to both U.S. and world events.
Global Outlook
The second half of 1997 brought turmoil to the world's investment markets as
concerns about Asia mounted and as liquidity, which has been high for the past
few years, began to dry up. While markets in Europe, the United States, and even
Latin America performed reasonably well, the cumulative effect of large
current-account deficits, followed by the collapse of several large financial
institutions and corporations, created a situation in Asia that could remain
unstable for some time. Although the Asian crisis affected other emerging
markets, valuations in several of them have become more attractive, and we
believe the long-term case for emerging markets remains intact. In Europe, the
uncertainty over economic union appears to have diminished somewhat. Growth has
begun accelerating on the continent and may exceed U.S. growth in 1998.
Bond Markets
The U.S. government bond market has benefited from the deflationary events in
Asia, while the high-yield and emerging-debt markets have come under severe
pressure. Inflation remains under control, and the Fed will most likely take a
wait-and-see attitude toward raising interest rates. As a result, our near-term
outlook for high-grade markets is neutral to moderately positive. At the same
time, high-yield markets, having gone through a substantial correction, could
offer reasonable value but require careful selection. Overall, fixed-income
markets appear to be reasonably valued.
Stock Market
The extreme volatility seen in the U.S. equity market this fall was, we believe,
the consequence of overvaluations that had been evident for some months. As a
result, the stock market has been vulnerable to some type of correction and has
been impacted in the near term by chaotic market conditions in emerging markets
and the Pacific Rim. In the face of all this, however, the equity market
continues to exhibit surprising strength, much of it the result of continued
gains in corporate earnings, a trend that could be an important indicator of the
market's future direction. Certainly the situation throughout Asia bears close
scrutiny because it appears to be clearly deflationary and raises the prospect
of trade wars developing throughout the area. We are not convinced that U.S.
markets have escaped totally from October's volatility. Thus, not only is the
near-term outlook for profits under question due to the Asian crisis, we also
believe equity valuations have risen to a point where a cautious investment
approach seems warranted, with a need for particular attention to be paid to the
effect of Pacific Rim volatility on the earnings of U.S. companies.
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
January 12, 1998
Capital Appreciation Series
For the year ended December 31, 1997, the Series provided a total return of
23.14%, which compares to a 33.36% return for the Standard & Poor's 500
Composite Index (the S&P 500), an unmanaged index of common stock total return
performance. Although the Series underperformed its benchmark, the S&P 500 was
by far the best-performing index last year. The average growth fund (as measured
by Lipper Analytical Services, Inc., an independent firm that reports mutual
fund performance) returned 25.30%. The Series' performance was more favorable
through October, before its technology holdings were impacted by the Asian
economic and currency crisis. The Series' leisure, financial services, and
retailing holdings, however, helped performance.
The Series seeks growth of capital and focuses on companies exhibiting five key
characteristics. The first is good earnings growth. The second is quality
management. The third is positive secular trends, which for the Series means
staying with technology, which is well positioned for the long term. Fourth, we
look for companies that are in good financial shape; that is, that have good
balance sheets and are generating positive cash flows. Fifth, we try to invest
in companies during periods of valuation weakness.
The Series' largest holding is Tyco International, a company that has had strong
earnings growth of about 20% per year, quality management, a good balance sheet,
and positive secular trends in its businesses, such as fire safety, which
continues to see strong growth both in installation and service. The Series'
second-largest holding, HFS, has gone through a number of consolidations and
acquisitions. Most recently, it merged with CUC International, a consumer
membership club and Internet shopping company, and changed its name to Cendant
Corp. We believe the company's earnings growth should run 25% to 30% per year
over the next couple of years, while its price-to-earnings ratio is in the
mid-20s, so it still has good growth in relation to its value.
Going forward, we anticipate good continued economic growth, although it could
slow in the first half of 1998. That means interest rates should come down,
which should support current price-to-
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earnings ratios. However, the more moderate growth in the first half could lead
to some earnings disappointments. The key will be to focus on companies that can
deliver the earnings.
Conservative Growth Series
For the year ended December 31, 1997, the Series provided a total return of
31.94%, which compares to a 33.36% return for the S&P 500. The Series' slight
underperformance versus the S&P 500 can be attributed to underperformance in
some of the Series' industrial goods and services stocks, a sector in which we
were slightly overweighted. While a number of these companies, such as Cooper
Industries, United Technologies, and Lockheed Martin, underperformed, we believe
the long-term outlook for these companies is favorable and continue to hold
large positions in them. On the positive side, the Series benefited from a major
overweighting in financial services, which was one of the best-performing
sectors of the market. In the S&P 500, this sector returned 50%, while the
Series' financial services stocks returned 57%. Some of our major holdings in
this sector performed very well, including Norwest Bank, US Bancorp, Progressive
Corp., Allstate, and State Street Bank. Although the Series' technology
weighting was less than 6% of the portfolio, compared with a 12% weighting for
this sector in the S&P 500, our technology stocks gained over 40% for the year,
while the S&P technology sector was up only 27%.
The Series' health care weighting was increased during the year because we
regard this industry as a good, steady growth part of the economy, particularly
the pharmaceutical companies, as opposed to the health-maintenance or
managed-care companies. The flow of products coming out of the pharmaceutical
business has accelerated, in part because of a renewed focus by drug companies
on product development. Also, there seems to be a greater understanding by the
Food and Drug Administration that the approval process for these drugs has to be
faster in order for them to benefit the public. The growth rates of these
companies have been quite strong. The Series' largest holding is Bristol-Myers
Squibb; we also have holdings in Pfizer, Johnson & Johnson, and Novartis, a
Swiss drug company.
The turmoil in emerging markets, and particularly in Asia, has had no direct
effect on the Series because it had no holdings in those parts of the world.
However, we expect to see some effect on domestic companies with sales in those
regions. For example, the Series had a small holding in Oracle, a stock that
declined in December when the company announced that Japan was going to be a
difficult environment for it. We have begun analyzing what companies have
exposure in Asia and how much.
We see a continuation of the low-inflation environment for 1998. The turmoil in
emerging markets will probably have a positive effect on both interest rates and
inflation here in the United States. In 1998, the risk will not be valuations,
but earnings, and we're trying to be very careful that the companies in the
portfolio are capable of making their earnings estimates.
Emerging Growth Series
For the year ended December 31, 1997, the Series provided a total return of
21.93%. This compares to a 22.36% return for the Russell 2000 Total Return Index
(the Russell 2000) and to a 33.36% 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.
The performance of the Series and the Russell 2000 relative to the S&P 500 has
been hampered by the underperformance of small, rapidly growing companies, a
continuation of a trend that began in 1996. While this underperformance has
resulted in more attractive valuations and will, we believe, result in a rebound
for stocks of smaller companies, that rebound likely will have to wait for
concerns about Asia to ease.
Although we have increased the Series' average-company size as measured by
market capitalization, a move that has helped performance, many of the companies
we own are involved in the fastest-growing, most-dynamic segments of the economy
and, as a result, they've helped us maintain the Series' average earnings growth
rate at about 25%. There's been no change in that rate over the past four years.
Technology continues to be the Series' largest sector, which we do not expect to
change. Several stocks in this sector have provided good performance, including
Computer Associates, Compuware, SAP, Cisco Systems, Microsoft, and BMC Software.
The world's countries, including the United States, need technology in order to
lower costs and become more competitive. Even in Asia, where economies are
struggling, companies have to keep spending on technology to keep their
competitive edge.
So far, the turmoil in Asia has had little effect on the Series because many of
our companies are domestically focused, although some of the technology
companies are starting to see an impact. Still, corporate earnings in the United
States are very strong, and earnings in Europe are starting to accelerate, which
we believe will help offset much of the Asian impact.
Going forward, we expect to see more downsizing and restructuring, both in the
United States and abroad, and we're seeking companies that we believe can
capitalize on that. Because of the Series' bottom-up, stock-oriented approach,
we don't spend a lot of time looking at the economic environment. However, we
expect to see the overall trend of corporate earnings growth continue, though
perhaps at a slower pace. Corporate earnings in general have been growing at a
10% to 20% annual rate, and we anticipate earnings growth in the 8% to 10% range
for 1998.
International Growth Series
(formerly MFS[RegTM]/Foreign & Colonial International Growth Series)
For the year ended December 31, 1997, the Series provided a total return of
- -1.64%. This compares to a 2.06% return for the Morgan Stanley Capital
International (MSCI) Europe, Australia, Far East (EAFE) Index, a broad,
unmanaged index of non-U.S. equities, and to a 7.27% return for the Lipper
International Funds Index. The Lipper indices are unmanaged indices of the
largest qualifying mutual funds within their respective investment objectives,
adjusted for the reinvestment of capital gain distributions and income
dividends. Since early September, the Series has been managed in two parts.
Roughly 80% is invested in developed international markets and is managed by
MFS, while approximately 20% is invested in emerging markets and is managed by
the emerging markets team of Foreign & Colonial Management, Ltd. As of December
31, 1997, 78% of the Series' assets were invested in developed markets, 19% in
emerging markets, and 3% in cash.
In the developed markets, a bottom-up approach to stock selection is used, as
opposed to top-down country allocations. Therefore, the Series' developed-market
country weightings are a byproduct of where the companies we believe offer the
most attractive returns are headquartered. Emphasis is placed on high-quality
companies that are industry leaders and that we believe will generate
above-average earnings growth regardless of the state of the global economy.
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At the end of December, 64% of developed-market assets were invested in Europe,
28% in Asia/Pacific, and 8% in the Americas. This compares to the MSCI EAFE
Index which, as of October 31, 1997, allocated 64% to Europe, 36% to
Asia/Pacific, and 0% to the Americas. Our three largest individual country
exposures were the United Kingdom, with 15% of assets; Japan, with 13%; and the
Netherlands, with 6%.
The Series' three largest industry sector weightings are financial services,
with 18.4% of assets; utilities and communications, with 14.1%; and the
miscellaneous category, with 9.4%. While financial services is the largest
weighting, it is below the 24% weighting in the MSCI EAFE Index due to our lack
of exposure to Japanese financial services companies. Of the Series' 18.4%
weighting, banks account for 9%, insurance companies for 7%, and other financial
services companies for 2.4%. Within utilities and communications, our bias has
been toward cellular and smaller-market phone companies and away from the
traditional wire-line phone companies and established electric utilities. The
Series' technology weighting is almost exclusively within Japan, representing
over 40% of our holdings in that country and including names such as Sony,
Canon, and TDK.
In general, we believe that companies that can be characterized as steady
earners currently offer the most attractive growth prospects relative to their
valuation levels. Several of the Series' larger holdings that would fall into
this category include British Aerospace, an aerospace and defense contractor;
Henkel, a German consumer products company; Akzo Nobel, a Dutch pharmaceutical
and specialty chemical company; and QBE Insurance, an Australian insurance
company.
After a strong start in the emerging markets in 1997, the last six months of the
year saw extreme volatility, primarily due to the turmoil in Southeast Asia. The
portion of the Series dedicated to emerging markets has performed well relative
to the MSCI Emerging Markets Free (EMF) Index, a broad, unmanaged,
market-capitalization-weighted index of equities in emerging markets, due to
overweightings in Latin America and Eastern Europe and an underweighting in
Southeast Asia.
Foreign & Colonial continues to be positive on the Latin American region, which
represents 46% of its holdings. The largest individual country exposure remains
Brazil, at 13%. While recent interest-rate hikes and currency fears have led to
a market decline, the managers at Foreign & Colonial believe the accelerated
reforms taking place in Brazil and low valuation levels produce an attractive
medium-term outlook. The overall weighting in the Asia/Pacific region has been
cut almost in half, with exposure to only Hong Kong/China and India.
Incrementally, that money has been shifted into Eastern Europe, Africa, and the
Middle East, which combined now represent 38% of the Series' emerging market
holdings. Favored markets there are Hungary, Portugal, and Egypt.
Our overall outlook for 1998 is one of moderation. We expect global inflation to
remain low. The currency crisis in Southeast Asia will slow growth in that
region and result in excess capacity for the next two to three years, which will
have a spillover effect on the rest of the world. This means that inflation and
interest rates should stay low, supporting current valuation levels. While
earnings growth is likely to slow in most major markets, including the United
States, growth could actually accelerate in a number of continental European
countries. Given lower valuation levels in Europe, that has led us to find
incrementally better opportunities there. In Japan, while valuation levels have
come down (the market is now 20% cheaper than the United States based upon cash
flow and on a par with Europe), the problem remains a lack of growth. In the
emerging markets, it is difficult to predict an end to recent volatility.
However, with valuations back to levels last seen in 1994, there are a number of
individual markets that we believe should do well in 1998, and we feel the
long-term case for emerging markets remains intact.
Managed Sectors Series
For the year ended December 31, 1997, the Series provided a total return of
25.63%. This compares to a 33.36% return for the S&P 500 and to a 19.86% return
for the Lipper Capital Appreciation Fund Index. For most of the year, the Series
benefited from the performance of holdings in the technology and energy sectors,
particularly semiconductors in the technology area and oil services in the
energy sector. Some technology holdings were negatively impacted by events in
the Pacific Rim. The Series also benefited when a number of its holdings,
including Smith's Food and Drug, Equitable of Iowa, and ADT Ltd., were acquired
during the year. Finally, Tyco International, one of the Series' largest
holdings, was up over 70% during the past 12 months, and its prospects for
continued strong earnings growth have been bolstered by both strong internal
fundamentals and a number of acquisitions, including that of ADT, which have
added to earnings.
While the Series continues to be invested in the five sectors outlined last
year, as well as in the "other" category (consisting of additional sectors that
we feel have attractive prospects for the future), significant changes within
each sector have occurred. Specifically, the overall weighting in the energy
sector was reduced modestly through the sales of two oil services marine rental
companies, Tidewater and Seacor, on full valuation; a reduction in the Series'
Occidental Petroleum position; and the trimming of other oil services stocks on
the basis of price strength. The technology weighting was reduced from a year
ago, and there were numerous changes within the sector. In health care, both
wholesale and retail drug distribution companies were added, as we believe the
prospects for these segments of the industry are quite positive. Finally,
although gaming issues were sold due to weak fundamentals, the leisure category
was increased with the addition of a number of cellular telephone holdings and
full-service hotel stocks. The latter group is expected to continue to prosper
from strong demand and restricted supply for a number of years to come. In
addition, the "other" category was reduced by 5% of total assets, and the number
of holdings within that area was concentrated.
MFS[RegTM]/Foreign & Colonial Emerging Markets
Equity Series
For the year ended December 31, 1997, the Series provided a total return of
10.46%. This compares to a -10.24% return for the Lipper Emerging Markets Funds
Index and to a -13.21% return for the MSCI EMF Index. Following a strong start
in 1997, emerging markets experienced a roller-coaster ride in the last half of
the year, primarily due to volatility in Southeast Asia. The Series has
outperformed the MSCI EMF Index by having above-index weightings in most of
Latin America and Eastern Europe and below-index weightings in Southeast Asia
and South Africa. The Series has outperformed the Lipper Index primarily due to
the Series' higher weightings in Brazil, Mexico, Colombia, Russia, Egypt, and
Morocco and its lower weightings in South Korea, Malaysia, Indonesia, Thailand,
and the Philippines.
The Series remains well diversified at the country level, with major industry
weightings in telecommunications, banking, electric utilities, and food and
beverages. The largest country weightings
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are in Brazil, Mexico, India, Hong Kong, and Egypt. Within Asia, we have had
virtually no investments with the exception of Hong Kong/China, which we believe
continues to show long-term potential. We also remain positive on India due to
its improving domestic liquidity and falling interest rates. Elsewhere in Asia,
we remain cautious due to our concern that structural imbalances in the region's
economies may continue to have a negative impact on their stock markets.
We remain, on the whole, positive on other emerging market countries despite
recent volatility. Our largest position in Latin America remains Brazil, where
interest rates have been raised recently to protect the value of the Brazilian
real. The recent setback in the market has accelerated the reform process. Many
companies in Brazil are now selling at low single-digit price-to-earnings
multiples with what we regard as attractive medium-term outlooks. We also remain
positive on the smaller Latin American markets of Colombia and Peru. In
Colombia, political worries have overshadowed what we believe to be an improving
inflation environment and very attractive valuations. In Peru, economic growth
is among the best in the region, while valuations remain among the lowest.
In other emerging markets, Russia was among the best performing in the world in
1996 and was another star for most of 1997. Investors have taken profits in the
latter part of the year and, in our view, this has made the market very
attractive again given that Russian companies are severely undervalued compared
to similar ones in the West. The Egyptian economy is the strongest in the Middle
East region as a result of efforts by the current administration to introduce
large-scale privatization of state-run companies. Its stock market has also been
very resilient to volatility elsewhere due to low levels of foreign ownership
and strong macroeconomic and corporate fundamentals. Portugal has demonstrated
over the past two years that its management of its economy is among the best in
Western Europe. This has been vindicated by Morgan Stanley, which placed the
Portuguese stock market in its developed, rather than emerging, market index
series as of December 1997. The Portuguese market has been resilient to the
falls in security prices elsewhere, as investors have taken the view that
companies in this market are undervalued compared to competitors in the rest of
Europe.
Having been cautious on the South African stock market for most of the past
year, we are now seeing some value there following the sharp fall of the rand
and the likely peaking in inflation and interest rates. A gradual rebuilding of
positions has taken place over the past few months.
Looking forward, we believe the general climate for emerging market assets,
notwithstanding recent volatility, remains supportive, with valuations in many
markets back to 1994 levels. The situation in Southeast Asia remains difficult,
although value is beginning to emerge, especially in Hong Kong/China and India,
both of which we feel offer good value at current levels. We remain committed to
Latin America, given that economies in the region have fewer structural
imbalances than Asia's. We believe other emerging markets such as Russia,
Poland, Hungary, Egypt, Morocco, and South Africa should also do well in the
next 12 months.
Research Series
For the year ended December 31, 1997, the Series provided a total return of
20.86%. This compares to a 33.36% return for the S&P 500. The Series'
underperformance relative to the S&P 500 can be attributed in part to the
narrowness of the U.S. equity market and to the decline in value of several
foreign holdings within the portfolio. In addition, the Series was hurt by our
relative weightings in the following five sectors: technology, consumer staples,
autos, utilities and communications, and business services. Overall, the
companies that the analysts have chosen within these sectors have performed very
well and are leaders in their respective industries. Over the last six months of
the year, the Series did outperform the S&P 500 in the retailing, financial
services, energy, and basic materials sectors.
Sector weightings in the Series have not shifted dramatically, but the analysts'
continuous search for the best ideas has changed them slightly. For example, the
weighting was increased in the financial services sector, which has performed
exceptionally well. Within this sector, several stocks contributed to
performance, most notably PNC Bank, Corestates Financial, and Comerica, Inc.
These companies have developed solid competitive positions within an industry
that continues to benefit from an environment of slow-to-moderate growth, low
inflation, and rapid consolidation.
The Series has also increased its weighting in the technology sector by close to
1% and continues to be weighted almost seven percentage points higher than the
technology portion of the S&P 500. While a number of companies within the
technology sector dampened the Series' returns in the latter half of 1997, this
was seen as a result of the crisis in Southeast Asia, where uncertain demand and
negative currency positions have significantly affected certain stocks. We
remain cautious on the impact of Southeast Asian developments and, as a result,
there have been a number of changes in the Series, with an emphasis toward
companies that possess strong secular growth opportunities. Oracle is an example
of one company that has been affected by the "Asian flu." This resulted in a
disappointing earnings report in November, and we will be monitoring its
situation closely. Companies within the technology sector that finished the year
strongly were Computer Associates International, Compaq Computer, Compuware
Corp., and Cadence Design Systems.
While we have maintained a neutral weighting relative to the S&P 500 in the
transportation sector, the analysts continue to search for the best ideas in
this industry also. One example is Wisconsin Central Transportation, which
derives a great deal of its earnings from international acquisitions. The stock
has suffered due to a lack of acquisitions in 1997, a loss of focus by the
company on its core domestic business, and missed earnings estimates. However,
Wisconsin Central should benefit in 1998 from three positive factors. First, it
is the front-runner for three big Australian acquisitions in 1998 and 1999.
Second, its acquisition of British Rail over a year ago should result in profits
this year. Third, its domestic operations are back on track.
The Series remains overweighted in consumer staples and retailing, sectors in
which companies such as Earthgrains, Office Depot, and Safeway have enhanced
returns. Conversely, the analysts have reduced their weightings in autos and
housing and in basic materials because profits continue to be uncertain. In
addition, the Series remains underweighted in utilities and communications
relative to the S&P 500 because the analysts believe that deregulation and
increased competition will decelerate the earnings of the large players in the
industry. They are therefore focusing on the smaller companies that are likely
to be acquired in a consolidation environment.
Research Growth and Income Series
The Series commenced operations on May 13, 1997, and from that date through
December 31, 1997, provided a total return of 10.20%. The past year provided a
favorable environment for the companies in the Series. In general, corporate
profits, which
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exceeded inflation in a slow-growth economic environment, continue to drive
stock prices.
The Series is overweighted in the financial services, consumer staples, and
health care sectors. Given the current economic backdrop, the analysts believe
many of the companies in these sectors are well positioned for a slow-growth,
low-inflation environment. Companies such as Rite Aid, CVS, and Safeway have
benefited from improving margins, cost savings resulting from continued
consolidation, and volume growth resulting from a robust economy. Banking and
insurance companies have benefited from similar trends.
One of the Series' largest holdings is Coca-Cola. The company has an approximate
43% share of the U.S. soft drink market and a 49% share of the international
market, and the analysts believe its ability to increase prices, diversify
geographically, and leverage its global brand image should continue to drive
volume growth in the months ahead. Another top holding is British Petroleum, one
of the largest petroleum and petrochemical groups in the world. It appears to
have the most profitable growth profile among the integrated oil companies and a
superior management team that has successfully focused on cost controls and
long-term earnings growth.
The performance of another large holding, Tyco International, surpassed our
expectations. The company announced two acquisitions, including that of ADT
Ltd., and the analysts expect these acquisitions to result in cost and revenue
synergies that will contribute significant earning growth in the years ahead. As
a result, the company's stock price performed even better than expected.
Looking ahead, the short-term outlook appears to call for more modest returns
than we've seen in the recent past. In this environment, individual stock
picking, rather than a focus on the overall market, has become the key to
long-term investment performance. It appears that selected companies in the
technology, financial services, and health care industries still have reasonable
valuations and favorable opportunities for long-term growth and superior
investment returns.
Total Return Series
For the year ended December 31, 1997, the Series provided a total return of
21.98%, compared to returns of 33.36% for the S&P 500 and 9.76% for the Lehman
Brothers Government/ Corporate Bond Index, an unmanaged, market-value-weighted
index of U.S. Treasury and government-agency securities (excluding
mortgage-backed securities) and investment-grade domestic corporate debt.
Over the period, we maintained an equity weighting of between 54% and 59%.
Approximately 2% of the weighting consisted of preferred stocks, convertible
preferred stocks, and convertible bonds, which we include in our equity
calculations. We consider an equity allocation under 60% to be conservative for
a balanced fund.
Given our view than there are few cheap stocks on the market, we have
concentrated our equity positions in areas in which earnings are visible,
valuations are fair, and consolidation is taking place. As a result, we have
been overweighted in financial services, energy, and utility stocks. In
addition, we continue to find value in large, multinational, franchise-type
companies overseas, such as Henkel and SmithKline Beecham.
On the bond side, the Series is more heavily weighted in corporate bonds than in
U.S. Treasuries, with a duration (or measure of interest-rate sensitivity) that
is modestly above that of the Series' benchmark. (Principal value and interest
on Treasury securities are guaranteed by the U.S. government if held to
maturity.) Generally, we have positioned the bond portfolio for a flat to
slightly downward interest-rate environment.
We have positioned the Series in a relatively conservative manner. Should the
equity market produce a significant correction over the next several months, we
will look to shift more of our assets into stocks with better valuations.
Utilities Series
For the year ended December 31, 1997, the Series provided a total return of
32.71%. This compares to a 24.65% 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 33.36%. In 1997, the Series benefited from a number of good stock picks
in the telecommunications area, including Worldcom, MCI, and many of the
competitive local exchange companies. Also, the Series' position in Latin
American telecommunications and electric utility stocks performed well until the
end of October, when they got caught up in the emerging-market upheaval.
However, we have recently added to our Latin American exposure in places like
Mexico, Brazil, Argentina, and Chile because we are finding many companies
trading at very low valuations relative to their cash-flow growth rates.
Among the Series' larger U.S. electric utility positions are New Century
Energies, which is the old Public Service Company of Colorado; Cinergy, which
operates Cincinnati Gas & Electric; and Sierra Pacific Resources in northern
California and Nevada. Sierra Pacific, for example, has benefited from low
costs, lack of nuclear exposure, a growth rate that is twice the average for the
industry, and good relations with regulators.
While natural gas pipeline companies provided good returns in 1995 and 1996 due
to surprising earnings gains and expanding multiples, in the first half of 1997
warm weather and low price volatility caused several companies to report poor
earnings. However, on a positive note, we have seen several mergers take place
in this industry, as many companies attempt to position themselves for the
convergence of the gas and electric markets. Over the past 18 months, the
largest public deals have been Enron's buying Portland General, Duke Power's
buying Panenergy, and Shell's buying Tejas Gas. The Series had positions in all
three takeovers, which helped performance.
Real estate investment trusts, or REITs, make up about 1% of the Series. Because
we want the Series to have a current yield at least equal to that of the Lipper
Utility Index, and because we prefer not to chase higher-yielding, riskier
electrics, we have chosen to obtain the income from bonds, REITs, and
lower-yielding, higher-growth electrics.
We think there will be more mergers and acquisitions in the electric and gas
industries over the next six to 12 months. There was relatively little of this
in 1997, but as the effects of regulation on the state and local levels become
clearer, we expect merger and acquisition activity to pick up. This should
benefit multiples in all industries involved.
Value Series
For the year ended December 31, 1997, the Series provided a total return of
27.57%. This compares to a 33.36% return for the S&P 500. The Series'
underperformance relative to the benchmark can mainly be attributed to
underweightings in sectors that turned in better-than-expected performance in
1997. The oil services sector, for example, was up approximately 50%, and the
5
<PAGE>
Series had no exposure there. Technology was up approximately 27%, and the
Series was slightly underweighted there. In financial services, another
top-performing sector, the Series was slightly underweighted, particularly in
banking, although we were slightly overweighted in insurance. In banking, the
big story has been consolidation, which has driven stock prices, while insurance
has been helped by asset gatherers that have benefited from the growth in 401(k)
retirement plans as well as from strong equity market performance. Also,
property/casualty and life insurers have benefited from ongoing consolidation.
In health care, the Series is emphasizing two main areas. One is the
pharmaceutical sector, in which we own Bristol-Myers Squibb, Sanofi, and
Novartis. We think Bristol-Myers is going to see above-peer growth rates and,
because it trades at one of the lowest multiples in the industry, we think we
may see some relative valuation improvement there. Novartis is a cost-cutting
and consolidation story, and Sanofi is a relatively small company that's going
to roll out two new products over the next couple of years, one for the
treatment of hypertension and the other for stroke prevention. In the drug store
area, Rite Aid has performed well and its valuation has risen, but it is still
trading at a discount to other major chains, so it's relatively undervalued. The
company's consolidation of its acquisition of Thrifty Payless on the West Coast
is going well. Managed care is also helping these big chains. It hurts the
smaller, individually owned stores, but the chains benefit from the large volume
of sales.
In general, the overall business environment has been quite favorable. The U.S.
economy is growing at a sustainable rate, and inflation is low despite some
signs of wage pressures. U.S. productivity has been better than expected and is
relatively competitive with most developed countries. The wild card going into
1998 is the devaluation of Asian currencies and the potential impact that may
have on the competitive position of the United States versus some of the
emerging markets. While we believe it will slow economic growth in 1998, this
should help mitigate any wage-related inflation pressures and, hopefully, extend
the low-inflation, moderate-growth economic scenario we've experienced in the
United States over the past several years.
World Growth Series
For the year ended December 31, 1997, the Series provided a total return of
15.32%. This compares to a 16.23% return for the MSCI World Index, a broad,
unmanaged index of global equities. The Series continues to focus on what we
believe are the fastest-growing companies in the world, in what we consider the
three most attractive markets with the best long-term growth potential: U.S.
small-capitalization and emerging growth stocks; growth stocks in mature foreign
markets, primarily in Europe and Japan; and stocks in emerging markets. While
the S&P 500 was up 33.36%, Europe as a whole was up 38%, but about 14% of that
was lost in currency translation, so in dollar terms it was only up 24%. The
Pacific Rim was down significantly, about 25% in dollar terms, with Japan down
18%. Hong Kong, because of the turmoil in the Pacific Rim, was down 23%, even
though it was up for most of 1997. Australia was down 10% in dollar terms
because its currency was weak, while Malaysia was down 68% and Singapore was
down 30%. The Series was underweighted in Japan, which helped performance, but
we were overweighted in the other markets.
Looking at some of the major markets in which the Series is invested, we have
51% of equity assets in the Americas, 28% in Europe, and 15% in Asia/Pacific. Of
the 51% in the Americas, 40% of that is in the United States. That is by far the
Series' biggest market, but it's still underweighted compared to the MSCI's U.S.
weighting. This is just a result of company selection. We had less money in the
United States at the beginning of 1997, but we have since bought some technology
companies. We have nearly 1% in Canada, and the rest in Latin America.
In Europe, the biggest weighting is in the United Kingdom, which is at 6% and
down slightly from early in 1997 as we've sold some names in the past couple of
months. Our three largest British holdings have been in the Series for some time
and include British Aerospace, which we've had for about a year; ASDA, which
we've had for a number of years; and British Petroleum. The second-biggest
country weighting is in Germany at about 4% of the portfolio, while the
Netherlands is third at about 3%. After that, assets are spread among a number
of countries, including Sweden, Portugal, France, and Switzerland.
Looking ahead, we believe the Asian crisis could be a long-term macroeconomic
problem, with countries' balance sheets in disrepair and large current-account
deficits prevalent. Although we try to focus on companies and not markets, this
is an environment in which instability and earnings uncertainty have made it
difficult in most cases to pick stocks. However, in cases in which we feel
confident that a company's fundamentals will not be impacted by what's going on
around it, or not impacted to a significant degree, we may buy stocks in some of
these companies.
6
<PAGE>
Performance Summary
The information below and on the following pages illustrates the growth of a
hypothetical $10,000 investment for each Series during the period indicated.
Past performance is no guarantee of future results. These results do not reflect
the deduction of separate account charges. For returns that reflect the
deduction of separate account charges, please refer to the annual report for the
product being offered.
Capital Appreciation Series
For the 10-year period ended December 31, 1997
[Begin line chart]
Capital
S&P 500 Appreciation Consumer Price
Composite Index Series Index -- U.S.
--------------- ------ -------------
12/87 10,000 10,000 10,000
12/89 15,356 15,965 10,924
12/91 19,412 20,323 11,946
12/93 22,997 27,244 12,631
12/95 32,058 35,313 13,289
12/97 52,567 52,823 14,034
[End line chart]
Average Annual Total Returns
as of December 31, 1997
<TABLE>
<CAPTION>
1 Year 3 Years 5 Years 10 Years
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Capital Appreciation Series +23.14% +26.23% +18.00% +17.95%
Standard & Poor's 500 Composite Index* +33.36% +31.15% +20.27% +18.05%
Average growth fund+ +25.30% +25.11% +16.47% +15.93%
Consumer Price Index#* + 2.15% + 2.67% + 2.69% + 3.45%
</TABLE>
*Source: CDA/Wiesenberger.
#The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
+Source: Lipper Analytical Services, Inc.
Conservative Growth Series
For the 10-year period ended December 31, 1997
[Begin line chart]
Conservative
S&P 500 Growth Consumer Price
Composite Index Series Index -- U.S.
--------------- ------ -------------
12/87 10,000 10,000 10,000
12/89 15,356 14,889 10,924
12/91 19,412 19,651 11,946
12/93 22,997 22,524 12,631
12/95 32,058 30,611 13,289
12/97 52,567 50,651 14,034
[End line chart]
Average Annual Total Returns
as of December 31, 1997
<TABLE>
<CAPTION>
1 Year 3 Years 5 Years 10 Years
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Conservative Growth Series +31.94% +31.49% +19.51% +17.39%
Standard & Poor's 500 Composite Index* +33.36% +31.15% +20.27% +18.05%
Consumer Price Index#* + 2.15% + 2.67% + 2.69% + 3.45%
</TABLE>
*Source: CDA/Wiesenberger.
#The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
7
<PAGE>
Performance Summary -- continued
Emerging Growth Series
For the period from May 1, 1995, through
December 31, 1997
[Begin line chart]
Emerging Russell 2000
S&P 500 Growth Total Return Consumer Price
Composite Index Series Index Index -- U.S.
--------------- ------ ----- -------------
5/95 10,000 10,000 10,000 10,000
12/95 12,179 12,680 12,011 10,098
12/96 14,975 14,854 13,992 10,441
12/97 19,971 18,111 17,121 10,665
[End line chart]
Average Annual Total Returns
as of December 31, 1997
<TABLE>
<CAPTION>
1 Year Life of Series*
- -----------------------------------------------------------------------
<S> <C> <C>
Emerging Growth Series +21.93% +24.90%
Russell 2000 Total Return Index** +22.36% +22.30%
Standard & Poor's 500 Composite Index** +33.36% +29.56%
Consumer Price Index**# + 2.15% + 2.44%
</TABLE>
*For the period from the commencement of the Series' investment operations, May
1, 1995, through December 31, 1997.
**Source: CDA/Wiesenberger.
#The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
International Growth Series
For the period from June 1, 1996, through
December 31, 1997
[Begin line chart]
Lipper
International MSCI EAFE International
Funds Index Index Growth Series
----------- ---------- -------------
6/96 9,663 10,000 10,000
12/96 10,528 10,203 9,830
12/97 11,293 10,406 9,668
[End line chart]
Average Annual Total Returns
as of December 31, 1997
<TABLE>
<CAPTION>
1 Year Life of Series*
- -----------------------------------------------------------------
<S> <C> <C>
International Growth Series -1.64% -2.11%
Lipper International Funds Index** +7.27% +8.61%
MSCI EAFE Index+ +2.06% +2.70%
</TABLE>
*For the period from the commencement of the Series' investment operations,
June 3, 1996, through December 31, 1997.
**Source: Lipper Analytical Services, Inc.
+Source: CDA/Wiesenberger.
8
<PAGE>
Performance Summary -- continued
Managed Sectors Series
For the period from June 1, 1988, through
December 31, 1997
[Begin line chart]
Lipper
Managed Capital
S&P 500 Sectors Appreciation Consumer Price
Composite Index Series Fund Index Index -- U.S.
--------------- ------ ---------- -------------
6/88 10,000 10,000 10,000 10,000
12/89 14,246 15,225 13,557 10,732
12/91 18,010 22,097 17,197 11,736
12/93 21,335 24,489 21,410 12,408
12/95 29,741 31,769 27,483 13,055
12/97 48,769 46,930 37,865 13,787
[End line chart]
Average Annual Total Returns
as of December 31, 1997
<TABLE>
<CAPTION>
1 Year 3 Years 5 Years Life of Series*
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Managed Sectors Series +25.63% +25.02% +14.81% +17.45%
Lipper Capital Appreciation Fund Index +19.86% +21.94% +15.41% +15.09%
Standard & Poor's 500 Composite
Index** +33.36% +31.15% +20.27% +18.05%
Consumer Price Index**# + 2.15% + 2.67% + 2.69% + 3.44%
</TABLE>
*For the period from the commencement of the Series' investment operations, May
27, 1988, through December 31, 1997.
**Source: CDA/Wiesenberger.
#The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
MFS/Foreign & Colonial
Emerging Markets Equity Series
For the period from June 1, 1996, through
December 31, 1997
[Begin line chart]
MFS/F&C Lipper
Emerging Markets Emerging Markets MSCI EMF
Equity Series Funds Index Index
------------- ----------- -----
6/96 10,000 10,000 10,000
12/96 10,000 9,869 9,546
12/97 11,046 8,858 8,285
[End line chart]
Aerage Annual Total Returns
as of December 31, 1997
<TABLE>
<CAPTION>
1 Year Life of Series*
- ---------------------------------------------------------------------
<S> <C> <C>
MFS/Foreign & Colonial Emerging
Markets Equity Series +10.46% +6.53%
Lipper Emerging Markets Fund Index** -10.24% - 7.88%
MSCI EMF Index+ -13.21% -11.28%
</TABLE>
*For the period from the commencement of the Series' investment operations,
June 5, 1996, through December 31, 1997.
**Source: Lipper Analytical Services, Inc.
+Source: CDA/Wiesenberger.
9
<PAGE>
Performance Summary -- continued
Research Series
For the period from November 1, 1994, through
December 31, 1997
[Begin line chart]
S&P 500 Research Consumer Price
Composite Index Series Index -- U.S.
--------------- ------ -------------
11/94 10,000 10,000 10,000
12/95 13,454 13,584 10,261
12/96 16,542 16,812 10,609
12/97 22,061 20,320 10,836
[End line chart]
Average Annual Total Returns
as of December 31, 1997
<TABLE>
<CAPTION>
1 Year 3 Years Life of Series*
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
Research Series +20.86% +27.17% +25.24%
Standard & Poor's 500 Composite Index** +33.36% +31.15% +28.55%
Consumer Price Index**# + 2.15% + 2.67% + 2.58%
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 7, 1994, through December 31, 1997.
**Source: CDA/Wiesenberger.
#The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
Research Growth and Income Series
For the period from June 1, 1997, through
December 31, 1997
[Begin line chart]
Research Growth
S&P 500 and Income Consumer Price
Composite Index Series Index -- U.S.
--------------- ------ -------------
6/97 10,000 10,200 10,000
9/97 10,770
12/97 11,553 11,020 10,119
[End line chart]
Average Annual Total Returns
as of December 31, 1997
<TABLE>
<CAPTION>
Life of Series*
- --------------------------------------------------------
<S> <C>
Research Growth and Income Series +10.20%
Standard & Poor's 500 Composite Index** +22.57%
Consumer Price Index**# + 1.12%
</TABLE>
*For the period from the commencement of the Series' investment operations, May
13, 1997, through December 31, 1997.
**Source: CDA/Wiesenberger.
#The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
10
<PAGE>
Performance Summary -- continued
Total Return Series
For the period from June 1, 1988, through
December 31, 1997
[Begin line chart]
Lehman Brothers
Intermediate
Total Government/
S&P 500 Return Corporate Consumer Price
Composite Index Series Bond Index Index -- U.S.
--------------- ------ ---------- -------------
6/88 10,000 10,000 10,000 10,000
12/89 14,246 12,386 11,716 10,732
12/91 18,010 15,466 14,658 11,736
12/93 21,335 19,036 17,090 12,408
12/95 29,741 23,587 19,331 13,055
12/97 48,769 32,828 21,695 13,787
[End line chart]
Average Annual Total Returns
as of December 31, 1997
<TABLE>
<CAPTION>
1 Year 3 Years 5 Years Life of Series*
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Return Series +21.98% +20.82% +14.35% +13.12%
Lehman Brothers Govt/
Corp. Bond Index** + 9.76% +10.43% + 7.61% + 8.31%
Standard & Poor's 500
Composite Index** +33.36% +31.15% +20.27% +17.96%
Consumer Price Index**# + 2.15% + 2.67% + 2.69% + 3.42%
</TABLE>
*For the period from the commencement of the Series' investment operations, May
11, 1988, through December 31, 1997.
**Source: CDA/Wiesenberger.
#The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
Utilities Series
For the period from December 1, 1993, through
December 31, 1997
[Begin line chart]
Lehman Brothers
S&P Government/
S&P 500 Utilities Utility Corporate Consumer Price
Composite Index Series Index Bond Index Index -- U.S.
--------------- ------ ----- ---------- -------------
12/93 10,000 10,000 10,000 10,000 10,000
12/94 10,255 9,590 9,205 9,691 10,268
12/95 14,109 12,694 12,991 11,556 10,521
12/96 17,347 15,280 13,463 11,892 10,878
12/97 23,135 20,279 16,700 13,052 11,111
[End line chart]
Average Annual Total Returns
as of December 31, 1997
<TABLE>
<CAPTION>
1 Year 3 Years Life of Series*
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
Utilities Series +32.71% +28.35% +18.49%
Lehman Brothers Corp. Bond Utility Total
Return Index+ +11.39% +12.12% + 7.10%
Standard & Poor's Utility Index+ +24.65% +21.96% +13.24%
Standard & Poor's 500 Composite Index** +33.36% +31.15% +22.26%
Consumer Price Index**# + 2.15% + 2.67% + 2.60%
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 16, 1993, through December 31, 1997.
+Source: Lipper Analytical Services, Inc.
**Source: CDA/Wiesenberger.
#The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
11
<PAGE>
Performance Summary -- continued
Value Series
For the period from June 1, 1996, through
December 31, 1997
[Begin line chart]
S&P 500 Value Consumer Price
Composite Index Series Index -- U.S.
--------------- ------ -------------
6/96 10,000 10,000 10,000
12/96 11,211 11,010 10,135
12/97 14,951 14,045 10,352
[End line chart]
Average Annual Total Returns
as of December 31, 1997
<TABLE>
<CAPTION>
1 Year Life of Series*
- -----------------------------------------------------------------------
<S> <C> <C>
Value Series +27.57% +24.02%
Standard & Poor's 500 Composite Index** +33.36% +29.03%
Consumer Price Index**# + 2.15% + 2.22%
</TABLE>
*For the period from the commencement of the Series' investment operations,
June 3, 1996, through December 31, 1997.
**Source: CDA/Wiesenberger.
#The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
World Growth Series
For the period from December 1, 1993, through
December 31, 1997
[Begin line chart]
Russell
2000 MSCI
S&P 500 Total Return World World Growth Consumer Price
Composite Index Index Index Series Index -- U.S.
--------------- ----- ----- ---------- -------------
12/93 10,121 10,342 10,491 10,618 10,000
12/94 10,255 10,153 11,077 10,921 10,268
12/95 14,109 13,041 13,438 12,675 10,521
12/96 17,347 15,192 15,319 14,326 10,878
12/97 23,135 18,589 17,804 16,521 11,111
[End line chart]
Average Annual Total Returns
as of December 31, 1997
<TABLE>
<CAPTION>
1 Year 3 Years Life of Series*
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
World Growth Series +15.32% +14.79% +13.00%
MSCI World Index** +16.23% +17.14% +13.40%
Russell 2000 Total Return Index** +22.36% +22.33% +15.28%
Standard & Poor's 500 Composite Index** +33.36% +31.15% +22.26%
Consumer Price Index**# + 2.15% + 2.67% + 2.60%
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 16, 1993, through December 31, 1997.
**Source: CDA/Wiesenberger.
#The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
12
<PAGE>
Portfolio of Investments -- December 31, 1997
Capital Appreciation Series
Stocks -- 96.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 94.2%
Advertising -- 0.3%
Universal Outdoor Holdings, Inc.* ...................................... 68,600 $ 3,567,200
-------------
Aerospace -- 1.1%
United Technologies Corp. .............................................. 205,000 $ 14,926,563
-------------
Agricultural Products -- 0.8%
Case Corp. ............................................................. 178,800 $ 10,806,225
-------------
Banks and Credit Companies -- 1.2%
Bank of New York, Inc. ................................................. 158,000 $ 9,134,375
BankBoston Corp. ....................................................... 28,400 2,667,825
Fleet Financial Group, Inc. ............................................ 49,200 3,686,925
-------------
$ 15,489,125
-------------
Business Machines -- 0.2%
Affiliated Computer Services, Inc., "A"*. 109,100 $ 2,870,694
-------------
Business Services -- 10.1%
AccuStaff, Inc.* ....................................................... 457,100 $ 10,513,300
Cendant Corp.* ......................................................... 2,232,000 76,725,000
Concord EFS, Inc.* ..................................................... 44,500 1,106,938
DST Systems, Inc.* ..................................................... 223,100 9,523,581
First Data Corp. ....................................................... 467,300 13,668,525
Galileo International, Inc. ............................................ 262,300 7,246,037
Global Directmail Corp.* ............................................... 237,500 4,111,719
Ikon Office Solutions, Inc. ............................................ 371,400 10,445,625
-------------
$ 133,340,725
-------------
Chemicals -- 0.6%
Praxair, Inc. .......................................................... 189,100 $ 8,509,500
-------------
Computer Software -- Personal
Computers -- 4.9%
Compaq Computer Corp. .................................................. 153,450 $ 8,660,334
Microsoft Corp.* ....................................................... 439,500 56,805,375
-------------
$ 65,465,709
-------------
Computer Software -- Systems -- 8.8%
BMC Software, Inc.* .................................................... 249,300 $ 16,360,313
Cadence Design Systems, Inc.* .......................................... 1,132,400 27,743,800
Computer Associates International, Inc. 775,700 41,015,137
Oracle Corp.* .......................................................... 1,122,050 25,035,741
Synopsys, Inc.* ........................................................ 197,400 7,057,050
-------------
$ 117,212,041
-------------
Consumer Goods and Services -- 13.4%
Avis Rent A Car, Inc.* ................................................. 16,400 $ 523,775
Clorox Co. ............................................................. 89,300 7,060,281
Colgate-Palmolive Co. .................................................. 217,000 15,949,500
Dollar Thrifty Automotive Group* ....................................... 76,200 1,562,100
Gillette Co. ........................................................... 189,200 19,002,775
Philip Morris Cos., Inc. ............................................... 727,700 32,973,906
Service Corp. International ............................................ 104,500 3,859,969
Tyco International Ltd. ................................................ 2,140,854 96,472,234
-------------
$ 177,404,540
-------------
Containers -- 0.5%
Stone Container Corp. .................................................. 627,000 $ 6,544,313
-------------
Defense Electronics -- 1.9%
Loral Space & Communications Corp.* 1,151,300 $ 24,680,994
-------------
Electrical Equipment -- 1.2%
General Electric Co. ................................................... 223,800 $ 16,421,325
-------------
Electronics -- 6.3%
Altera Corp.* .......................................................... 276,600 $ 9,162,375
Analog Devices, Inc.* .................................................. 537,962 14,894,823
Intel Corp. ............................................................ 535,800 37,639,950
Microchip Technology, Inc.* ............................................ 263,000 7,890,000
Micron Technology, Inc.* ............................................... 281,600 7,321,600
Xilinx, Inc.* .......................................................... 203,300 7,128,206
-------------
$ 84,036,954
-------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Entertainment -- 5.5%
CBS Corp. .............................................................. 152,900 $ 4,500,994
Clear Channel Communications,
Inc.* ................................................................ 283,900 22,552,306
Hearst-Argyle Television, Inc.* ........................................ 67,500 2,008,125
Jacor Communications, Inc.* ............................................ 229,500 12,192,187
Mirage Resorts, Inc. * ................................................. 645,000 14,673,750
Time Warner, Inc. ...................................................... 88,100 5,462,200
Univision Communications, Inc.,
"A"* ................................................................. 58,400 4,077,050
Viacom, Inc., "B"* ..................................................... 169,300 7,015,369
-------------
$ 72,481,981
-------------
Financial Institutions -- 5.4%
Associates First Capital Corp., "A" .................................... 71,400 $ 5,078,325
CIT Group, Inc., "A"* .................................................. 35,100 1,131,975
Federal Home Loan Mortgage Corp. 484,400 20,314,525
Financial Federal Corp. * .............................................. 263,100 6,215,738
Finova Group, Inc. ..................................................... 310,000 15,403,125
Franklin Resources, Inc. ............................................... 163,850 14,244,709
Green Tree Financial Corp. ............................................. 212,300 5,559,606
Merrill Lynch & Co., Inc. .............................................. 45,600 3,325,950
-------------
$ 71,273,953
-------------
Financial Services -- 1.3%
SunAmerica Inc. ........................................................ 234,450 $ 10,022,738
Travelers Group, Inc. .................................................. 142,600 7,682,575
-------------
$ 17,705,313
-------------
Insurance -- 1.2%
Chubb Corp. ............................................................ 45,700 $ 3,456,062
Conseco, Inc. .......................................................... 282,800 12,849,725
-------------
$ 16,305,787
-------------
Machinery -- 0.2%
Lear Corp.* ............................................................ 53,400 $ 2,536,500
-------------
Medical and Health Products -- 1.8%
Bristol-Myers Squibb Co. ............................................... 227,900 $ 21,565,037
Omnicare, Inc. ......................................................... 65,200 2,021,200
-------------
$ 23,586,237
-------------
Medical and Health Technology
and Services -- 4.4%
Genesis Health Ventures, Inc.* ......................................... 106,800 $ 2,816,850
Health Management Associates,
Inc., "A"* ........................................................... 226,650 5,722,912
HEALTHSOUTH Corp.* ..................................................... 476,600 13,225,650
Lincare Holdings, Inc.* ................................................ 81,100 4,622,700
Medtronic, Inc. ........................................................ 83,400 4,362,863
Oxford Health Plans, Inc.* ............................................. 219,600 3,417,525
United Healthcare Corp. ................................................ 484,233 24,060,327
-------------
$ 58,228,827
-------------
Metals and Minerals -- 0.4%
Minerals Technologies, Inc. ............................................ 124,700 $ 5,666,056
-------------
Oils -- 0.8%
Mobil Corp. ............................................................ 45,200 $ 3,262,875
USX-Marathon Group ..................................................... 236,200 7,971,750
-------------
$ 11,234,625
-------------
Railroad -- 2.3%
Burlington Northern Santa Fe
Railway Co. .......................................................... 137,700 $ 12,797,494
Wisconsin Central Transportation
Corp.* ............................................................... 778,500 18,197,437
-------------
$ 30,994,931
-------------
Restaurants and Lodging -- 1.8%
Promus Hotel Corp.* .................................................... 558,048 $ 23,438,016
-------------
</TABLE>
13 - CAS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Stores -- 6.5%
Corporate Express, Inc.* .............. 422,050 $ 5,433,894
CVS Corp. ............................. 476,500 30,525,781
Linens 'N Things, Inc.* ............... 16,600 724,175
Micro Warehouse, Inc.* ................ 291,000 4,055,813
Office Depot, Inc.* ................... 799,500 19,138,031
PETsMART, Inc.* ....................... 552,100 4,002,725
Rite Aid Corp. ........................ 342,850 20,121,009
Staples, Inc.* ........................ 61,500 1,706,625
--------------
$ 85,708,053
--------------
Supermarkets -- 1.8%
Meyer (Fred), Inc.* ................... 76,500 $ 2,782,687
Safeway, Inc.* ........................ 334,400 21,150,800
--------------
$ 23,933,487
--------------
Telecommunications -- 7.9%
AT&T Corp. ............................ 210,400 $ 12,887,000
Ascend Communications, Inc.* .......... 133,000 3,258,500
Bay Networks, Inc. * .................. 291,800 7,459,137
Cisco Systems, Inc.* .................. 464,850 25,915,387
Glenayre Technologies, Inc.* .......... 410,500 4,053,688
Intermedia Communications, Inc.* ...... 47,000 2,855,250
Metromedia Fiber Network Inc., "A"* 10,300 171,238
Nextlink Communications, Inc., "A"* 7,600 161,975
Qwest Communications
International, Inc. * ............... 7,200 428,400
Tel-Save Holdings, Inc.* .............. 143,400 2,850,075
Tel-Save Holdings, Inc.*+[dbldag] ..... 186,900 3,714,638
Teleport Communications Group,
Inc., "A"* .......................... 213,400 11,710,325
Tellabs, Inc.* ........................ 59,200 3,130,200
3Com Corp. * .......................... 210,500 7,354,344
WorldCom, Inc.* ....................... 630,270 19,065,668
--------------
$ 105,015,825
--------------
Utilities -- Electric -- 1.6%
AES Corp.* ............................ 263,800 $ 12,299,675
CalEnergy Co., Inc.* .................. 288,500 8,294,375
--------------
$ 20,594,050
--------------
Total U.S. Stocks ................................ $1,249,979,549
--------------
Foreign Stocks -- 1.9%
Canada -- 0.5%
Canadian National Railway Co.
(Railroad) .......................... 130,800 $ 6,180,300
Microcell Telecommunications, "B"
(Telecommunications)* ............... 18,500 124,875
--------------
$ 6,305,175
--------------
Japan -- 0.2%
Canon, Inc. (Office Equipment) ........ 140,000 $ 3,272,336
--------------
Singapore -- 0.1%
Mandarin Oriental International Ltd.
(Restaurants and Lodgings)* ......... 1,534,530 $ 1,028,135
--------------
United Kingdom -- 1.1%
British Petroleum PLC, ADR (Oils) ..... 183,816 $ 14,647,837
--------------
Total Foreign Stocks ............................. $ 25,253,483
--------------
Total Stocks
(Identified Cost, $959,494,218) ............... $1,275,233,032
--------------
</TABLE>
Short-Term Obligations -- 3.2%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Federal Farm Credit Bank, due
1/13/98 - 2/11/98 .................... $ 868 $ 863,682
Federal Home Loan Bank, due
2/13/98 - 2/24/98 .................... 5,860 5,812,682
Federal Home Loan Mortgage
Corp., due 1/09/98 - 1/12/98 ......... 13,750 13,729,553
Federal National Mortgage Assn.,
due 1/13/98 - 1/16/98 ................ 9,100 9,082,258
Ford Motor Credit Corp., due 1/02/98 4,000 3,999,250
Tennessee Valley Authority, due
2/06/98 .............................. 8,800 8,750,896
--------------
Total Short-Term Obligations, at Amortized Cost ........ $ 42,238,321
--------------
Total Investments
(Identified Cost, $1,001,732,539) .................... $1,317,471,353
Other Assets,
Less Liabilities -- 0.7% ............................... 8,769,134
--------------
Net Assets -- 100.0% ................................... $1,326,240,487
==============
</TABLE>
See portfolio footnotes and notes to financial statements
14 - CAS
<PAGE>
Portfolio of Investments -- December 31, 1997
Conservative Growth Series
Stocks -- 95.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 88.2%
Aerospace -- 4.2%
Allied Signal, Inc. .................................................... 250,000 $ 9,734,375
General Dynamics Corp. ................................................. 39,200 3,388,350
Lockheed Martin Corp. .................................................. 163,188 16,074,018
Raytheon Co., "B" ...................................................... 44,700 2,257,350
United Technologies Corp. .............................................. 235,100 17,118,219
------------
$ 48,572,312
------------
Agricultural Products -- 0.5%
Case Corp. ............................................................. 103,700 $ 6,267,369
------------
Apparel and Textiles -- 0.8%
Reebok International Ltd.* ............................................. 37,900 $ 1,091,994
VF Corp. ............................................................... 183,600 8,434,125
------------
$ 9,526,119
------------
Automotive -- 0.6%
Ford Motor Co. ......................................................... 47,600 $ 2,317,525
Goodrich (B.F.) Co. .................................................... 102,900 4,263,919
------------
$ 6,581,444
------------
Banks and Credit Companies -- 9.6%
Bank of New York, Inc. ................................................. 27,400 $ 1,584,063
Chase Manhattan Corp. .................................................. 24,068 2,635,446
Comerica, Inc. ......................................................... 124,200 11,209,050
Firstar Corp. .......................................................... 175,600 7,452,025
Fleet Financial Group, Inc. ............................................ 9,610 720,149
National City Corp. .................................................... 138,700 9,119,525
Northern Trust Corp. ................................................... 84,500 5,893,875
Norwest Corp. .......................................................... 627,700 24,244,912
State Street Corp. ..................................................... 208,900 12,155,369
SunTrust Banks, Inc. ................................................... 95,000 6,780,625
US Bancorp Delaware .................................................... 203,051 22,729,021
Washington Mutual, Inc. ................................................ 96,800 6,177,050
------------
$110,701,110
------------
Building -- 0.7%
American Standard Cos., Inc.* .......................................... 19,800 $ 758,588
Sherwin Williams Co. ................................................... 247,700 6,873,675
------------
$ 7,632,263
------------
Business Machines -- 1.3%
International Business Machines
Corp. ................................................................ 120,600 $ 12,610,238
Sun Microsystems, Inc.* ................................................ 54,400 2,169,200
------------
$ 14,779,438
------------
Business Services -- 2.2%
Cendant Corp.* ......................................................... 171,100 $ 5,881,562
Computer Sciences Corp.* ............................................... 113,400 9,468,900
DST Systems, Inc.* ..................................................... 76,600 3,269,863
First Data Corp. ....................................................... 211,900 6,198,075
------------
$ 24,818,400
------------
Cellular Telephones -- 0.2%
AirTouch Communications, Inc.* ......................................... 44,900 $ 1,866,156
------------
Chemicals -- 3.1%
Air Products & Chemicals, Inc. ......................................... 218,400 $ 17,963,400
duPont (E. I.) de Nemours & Co., Inc. .................................. 195,800 11,760,237
Praxair, Inc. .......................................................... 145,400 6,543,000
------------
$ 36,266,637
------------
Computer Software -- Personal
Computers -- 1.3%
Compaq Computer Corp. .................................................. 52,200 $ 2,946,038
Microsoft Corp.* ....................................................... 97,700 12,627,725
------------
$ 15,573,763
------------
Computer Software --
Systems -- 1.7%
BMC Software, Inc.* .................................................... 42,400 $ 2,782,500
Computer Associates International, Inc. 266,825 14,108,372
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Computer Software --
Systems -- continued
Oracle Corp.* .......................................................... 137,050 $ 3,057,928
------------
$ 19,948,800
------------
Consumer Goods and
Services -- 7.4%
Clorox Co. ............................................................. 24,400 $ 1,929,125
Colgate-Palmolive Co. .................................................. 200,900 14,766,150
Gillette Co. ........................................................... 177,700 17,847,744
Philip Morris Cos., Inc. ............................................... 458,700 20,784,843
Procter & Gamble Co. ................................................... 101,900 8,132,894
Service Corp. International ............................................ 252,700 9,334,106
Tyco International Ltd. ................................................ 298,400 13,446,650
------------
$ 86,241,512
------------
Containers -- 0.1%
Corning, Inc. .......................................................... 38,000 $ 1,410,750
------------
Defense Electronics -- 0.1%
Loral Space & Communications
Corp.* ............................................................... 45,800 $ 981,838
------------
Electrical Equipment -- 3.4%
Cooper Industries, Inc. ................................................ 246,600 $ 12,083,400
General Electric Co. ................................................... 178,900 13,126,787
Honeywell, Inc. ........................................................ 205,800 14,097,300
------------
$ 39,307,487
------------
Electronics -- 0.2%
Intel Corp. ............................................................ 31,400 $ 2,205,850
------------
Entertainment -- 0.7%
Time Warner, Inc. ...................................................... 69,100 $ 4,284,200
Viacom, Inc., "B"* ..................................................... 66,200 2,743,162
------------
$ 7,027,362
------------
Financial Institutions -- 3.9%
American Express Co. ................................................... 47,700 $ 4,257,225
Beneficial Corp. ....................................................... 135,700 11,280,062
CIT Group, Inc., "A"* .................................................. 148,600 4,792,350
Federal Home Loan Mortgage Corp. 170,900 7,167,119
Household International, Inc. .......................................... 92,300 11,774,019
Merrill Lynch & Co., Inc. .............................................. 76,000 5,543,250
------------
$ 44,814,025
------------
Food and Beverage Products -- 3.7%
Archer-Daniels-Midland Co. ............................................. 128,307 $ 2,782,658
Coca-Cola Co. .......................................................... 38,900 2,591,713
CPC International, Inc. ................................................ 62,600 6,745,150
General Mills, Inc. .................................................... 40,400 2,893,650
Hershey Foods Corp. .................................................... 31,900 1,975,806
Interstate Bakeries Corp. .............................................. 67,200 2,511,600
McCormick & Co., Inc. .................................................. 66,800 1,870,400
Nabisco Holdings Corp. ................................................. 44,100 2,136,094
Pepsi Co., Inc. ........................................................ 131,000 4,773,312
Ralston-Ralston Purina Co. ............................................. 90,300 8,392,256
Tyson Foods, Inc. ...................................................... 107,150 2,196,575
Wrigley, (WM) Junior, Co. .............................................. 55,800 4,439,588
------------
$ 43,308,802
------------
Forest and Paper Products -- 1.5%
Kimberly-Clark Corp. ................................................... 270,596 $ 13,343,766
Weyerhaeuser Co. ....................................................... 72,100 3,537,406
------------
$ 16,881,172
------------
Insurance -- 10.0%
AFLAC, Inc. ............................................................ 86,600 $ 4,427,425
Allstate Corp. ......................................................... 169,500 15,403,312
Chubb Corp. ............................................................ 171,000 12,931,875
CIGNA Corp. ............................................................ 92,100 15,939,056
Conseco, Inc. .......................................................... 41,100 1,867,481
</TABLE>
15 - CGS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Insurance -- continued
Hartford Financial Services Group, Inc. 193,100 $ 18,066,919
Lincoln National Corp. ................................................... 57,500 4,492,188
MBIA, Inc. ............................................................... 54,400 3,634,600
Progressive Corp. ........................................................ 121,800 14,600,775
Torchmark Corp. .......................................................... 304,400 12,803,825
Transamerica Corp. ....................................................... 37,800 4,025,700
Travelers Group, Inc. .................................................... 148,350 7,992,356
--------------
$ 116,185,512
--------------
Machinery -- 0.8%
Deere & Co., Inc. ........................................................ 40,700 $ 2,373,319
Ingersoll Rand Co. ....................................................... 112,950 4,574,475
York International Corp. ................................................. 56,600 2,239,237
--------------
$ 9,187,031
--------------
Medical and Health Products -- 7.0%
American Home Products Corp. ............................................. 14,700 $ 1,124,550
Bristol-Myers Squibb Co. ................................................. 372,000 35,200,500
Eli Lilly & Co. .......................................................... 95,372 6,640,276
Johnson & Johnson ........................................................ 151,900 10,006,412
McKesson Corp. ........................................................... 38,000 4,111,125
Merck & Co., Inc. ........................................................ 35,400 3,761,250
Pfizer, Inc. ............................................................. 154,800 11,542,275
Pharmacia & Upjohn, Inc. ................................................. 34,600 1,267,225
Warner-Lambert Co. ....................................................... 59,500 7,378,000
--------------
$ 81,031,613
--------------
Medical and Health Technology
and Services -- 3.0%
Cardinal Health, Inc. .................................................... 28,000 $ 2,103,500
Columbia/HCA Healthcare Corp. ............................................ 103,100 3,054,338
HEALTHSOUTH Corp.* ....................................................... 119,900 3,327,225
Medtronic, Inc. .......................................................... 41,200 2,155,275
St. Jude Medical, Inc.* .................................................. 75,900 2,314,950
Tenet Healthcare Corp.* .................................................. 291,100 9,642,687
United Healthcare Corp. .................................................. 237,400 11,795,812
--------------
$ 34,393,787
--------------
Metals and Minerals -- 0.2%
Phelps Dodge Corp. ....................................................... 46,300 $ 2,882,175
--------------
Oils -- 3.5%
Chevron Corp. ............................................................ 82,500 $ 6,352,500
Exxon Corp. .............................................................. 199,700 12,219,144
Mobil Corp. .............................................................. 158,800 11,463,375
Texaco, Inc. ............................................................. 116,800 6,351,000
USX-Marathon Group ....................................................... 134,700 4,546,125
--------------
$ 40,932,144
--------------
Pollution Control -- 1.1%
Browning Ferris Industries, Inc. ......................................... 192,000 $ 7,104,000
Waste Management, Inc. ................................................... 214,900 5,909,750
--------------
$ 13,013,750
--------------
Printing and Publishing -- 1.6%
Gannett Co., Inc. ........................................................ 130,600 $ 8,072,713
Tribune Co. .............................................................. 173,700 10,812,825
--------------
$ 18,885,538
--------------
Railroads -- 1.5%
Burlington Northern Santa Fe
Railway Co. ............................................................ 148,100 $ 13,764,044
CSX Corp. ................................................................ 57,000 3,078,000
--------------
$ 16,842,044
--------------
Stores -- 3.8%
CVS Corp. ................................................................ 79,100 $ 5,067,344
Home Depot, Inc. ......................................................... 138,150 8,133,581
Liz Claiborne, Inc. ...................................................... 78,600 3,286,462
Office Depot, Inc.* ...................................................... 115,000 2,752,813
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Stores -- continued
Penney (J.C.), Inc. ...................................................... 218,500 $ 13,178,281
Rite Aid Corp. ........................................................... 120,800 7,089,450
Wal-Mart Stores, Inc. .................................................... 112,000 4,417,000
--------------
$ 43,924,931
--------------
Supermarkets -- 1.4%
Kroger Co.* .............................................................. 126,400 $ 4,668,900
Safeway, Inc.* ........................................................... 188,600 11,928,950
--------------
$ 16,597,850
--------------
Telecommunications -- 0.9%
AT&T Corp. ............................................................... 119,500 $ 7,319,375
Cisco Systems, Inc.* ..................................................... 52,500 2,926,875
--------------
$ 10,246,250
--------------
Utilities -- Electric -- 2.5%
Cinergy Corp. ............................................................ 140,200 $ 5,371,412
CMS Energy Corp. ......................................................... 38,800 1,709,625
DPL, Inc. ................................................................ 41,000 1,178,750
Duke Energy Corp. ........................................................ 53,610 2,968,654
Edison International ..................................................... 59,800 1,625,812
FPL Group, Inc. .......................................................... 83,200 4,924,400
New Century Energies, Inc. ............................................... 37,500 1,797,656
Pacificorp ............................................................... 289,200 7,898,775
Pinnacle West Capital Corp. .............................................. 36,500 1,546,688
--------------
$ 29,021,772
--------------
Utilities -- Gas -- 0.4%
Columbia Gas System, Inc. ................................................ 24,700 $ 1,940,494
KN Energy, Inc. .......................................................... 26,400 1,425,600
Pacific Enterprises ...................................................... 37,900 1,425,987
--------------
$ 4,792,081
--------------
Utilities -- Telephone -- 3.3%
BellSouth Corp. .......................................................... 91,600 $ 5,158,225
GTE Corp. ................................................................ 84,700 4,425,575
MCI Communications Corp. ................................................. 256,700 10,989,969
SBC Communications, Inc. ................................................. 78,900 5,779,425
Sprint Corp. ............................................................. 197,500 11,578,437
--------------
$ 37,931,631
--------------
Total U.S. Stocks ...................................................... $1,020,580,718
--------------
Foreign Stocks -- 6.9%
Canada -- 0.7%
Canadian National Railway Co.
(Railroad) ............................................................. 168,150 $ 7,945,088
--------------
France -- 0.6%
Alcatel Alsthom, ADR
(Telecommunications) ................................................... 155,000 $ 3,923,437
Sanofi (Medical and Health Products) 28,600 3,185,173
--------------
$ 7,108,610
--------------
Germany -- 0.3%
Henkel Kgaa (Chemicals) .................................................. 58,400 $ 3,688,592
--------------
Netherlands -- 1.0%
Akzo Nobel N.V. (Chemicals) .............................................. 49,500 $ 8,542,403
Royal Dutch Petroleum Co., ADR (Oils). 60,300 3,267,506
--------------
$ 11,809,909
--------------
Sweden -- 0.8%
Skandia Forsakrings AB (Insurance) 154,000 $ 7,272,761
Sparbanken Sverige AB, "A" (Banks
and Credit Cos.) ....................................................... 80,900 1,841,419
--------------
$ 9,114,180
--------------
Switzerland -- 1.0%
Novartis AG (Pharmaceuticals) ............................................ 6,986 $ 11,355,065
--------------
United Kingdom -- 2.5%
British Petroleum PLC, ADR (Oils) ........................................ 241,218 $ 19,222,059
</TABLE>
16 - CGS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
United Kingdom -- continued
Lloyds TSB Group PLC (Banks and
Credit Cos.) ............................ 405,764 $ 5,286,854
PowerGen PLC (Utilities-Electric) ......... 379,783 4,947,963
--------------
$ 29,456,876
--------------
Total Foreign Stocks .............................. $ 80,478,320
--------------
Total Stocks
(Identified Cost, $864,051,128) ................. $1,101,059,038
--------------
Convertible Preferred Stocks -- 0.5%
Houston Industries, Inc., 7%
(Entertainment)* ........................ 50,300 $ 2,870,244
Newell Financial Trust Co.*,
(Consumer Goods and
Services)## ............................. 56,700 2,955,488
--------------
Total Convertible Preferred Stocks
(Identified Cost, $5,199,050) ................... $ 5,825,732
--------------
</TABLE>
Convertible Bond -- 0.1%
<TABLE>
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Sandoz Capital BVI Ltd., 2s, 2002
(Chemicals) (Identified Cost
$911,200)## .......................... $ 670 $ 1,028,450
--------------
Short-Term Obligations -- 4.1%
Federal Farm Credit Bank, due
1/12/98 .............................. $ 5,300 $ 5,290,720
Federal Home Loan Mortgage
Corp., due 1/07/98 - 1/22/98 ......... 14,000 13,970,326
Federal National Mortgage Assn.,
due 1/14/98 - 1/30/98 ................ 20,600 20,536,519
Ford Motor Credit Corp., due
1/02/98 .............................. 7,900 7,898,519
--------------
Total Short-Term Obligations,
at Amortized Cost .................................... $ 47,696,084
--------------
Total Investments
(Identified Cost, $917,857,462) ...................... $1,155,609,304
Other Assets,
Less Liabilities -- 0.2% ............................... 2,525,868
--------------
Net Assets -- 100.0% ................................... $1,158,135,172
==============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- December 31, 1997
Emerging Growth Series
Stocks -- 96.0%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 93.2%
Advertising -- 0.2%
Lamar Advertising Co., "A"* ................ 5,500 $ 218,625
Outdoor Systems, Inc.* ..................... 19,100 732,963
------------
$ 951,588
------------
Aerospace -- 0.1%
Thiokol Corp. .............................. 5,100 $ 414,375
------------
Apparel and Textiles
Tefron Ltd.* ............................... 2,000 $ 46,000
------------
Banks and Credit Companies -- 0.7%
CCB Financial Corp. ........................ 1,700 $ 182,750
Compass Bancshares, Inc. ................... 6,400 280,000
First Security Corp. ....................... 5,700 238,687
First Virginia Banks, Inc. ................. 3,300 170,569
Firstar Corp. .............................. 5,000 212,188
Interra Financial, Inc. .................... 8,300 572,700
Provident Financial Group, Inc. ............ 5,100 247,350
Summit Bancorp ............................. 4,000 213,000
U.S. Trust Corp. ........................... 14,600 914,325
------------
$ 3,031,569
------------
Building -- 0.5%
Newport News Shipbuilding, Inc. ............ 97,300 $ 2,475,069
------------
Business Machines -- 0.7%
Affiliated Computer Services, Inc., "A"* 42,100 $ 1,107,756
Sun Microsystems, Inc.* .................... 49,500 1,973,813
------------
$ 3,081,569
------------
Business Services -- 12.9%
AccuStaff, Inc.* ........................... 134,600 $ 3,095,800
BISYS Group, Inc.* ......................... 37,200 1,236,900
C.H. Robinson Worldwide, Inc. .............. 2,200 49,225
Cendant Corp.* ............................. 1,174,004 40,356,387
Corestaff, Inc.* ........................... 47,400 1,256,100
DST Systems, Inc.* ......................... 11,300 482,369
Fine Host Corp.*[dbldag] ................... 4,400 33,000
First Data Corp. ........................... 93,100 2,723,175
Ikon Office Solutions, Inc. ................ 2,600 73,125
Ivex Packaging Corp.* ...................... 3,200 76,800
Learning Tree International, Inc.* ......... 162,800 4,700,850
Technology Solutions Co.* .................. 174,200 4,594,525
Transaction System
Architects, Inc., "A"* ................... 5,000 190,000
------------
$ 58,868,256
------------
Cellular Telephones -- 0.1%
Century Telephone Enterprises, Inc. 8,600 $ 428,388
------------
Computer Software -- Personal
Computers -- 3.6%
Autodesk, Inc. ............................. 29,585 $ 1,094,645
Compaq Computer Corp. ...................... 18,950 1,069,491
Microsoft Corp.* ........................... 111,800 14,450,150
------------
$ 16,614,286
------------
Computer Software --
Systems -- 17.4%
Adobe Systems, Inc. ........................ 3,100 $ 127,875
BMC Software, Inc.* ........................ 223,800 14,686,875
Cadence Design Systems, Inc.* .............. 473,300 11,595,850
Computer Associates
International, Inc. ...................... 459,325 24,286,809
Compuware Corp.* ........................... 420,200 13,446,400
Oracle Corp.* .............................. 625,850 13,964,278
Scopus Technology* ......................... 33,200 398,400
Security Dynamics Technologies, Inc.* 2,900 103,675
Synopsys, Inc.* ............................ 32,200 1,151,150
------------
$ 79,761,312
------------
</TABLE>
17 - EGS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Consumer Goods and Services -- 7.4%
Avis Rent A Car, Inc.* ................... 2,800 $ 89,425
Carson, Inc., "A"* ....................... 121,300 811,194
Dollar Thrifty Automotive Group* ......... 27,800 569,900
Service Corp. International .............. 13,600 502,350
Tyco International Ltd. .................. 707,078 31,862,702
United Rentals, Inc.* .................... 3,400 65,663
------------
$ 33,901,234
------------
Defense Electronics -- 0.2%
Loral Space & Communications
Corp.* ................................. 52,600 $ 1,127,612
------------
Electronics -- 0.6%
Altera Corp.* ............................ 67,700 $ 2,242,562
Xilinx, Inc.* ............................ 17,400 610,088
------------
$ 2,852,650
------------
Entertainment -- 8.8%
American Radio Systems Corp., "A"* 59,900 $ 3,193,419
CBS Corp. ................................ 92,200 2,714,137
Chancellor Media Corp.* .................. 33,400 2,492,475
Clear Channel Communications, Inc.* 89,400 7,101,712
Cox Radio, Inc., "A"* .................... 65,100 2,620,275
Emmis Broadcasting Corp., "A"* ........... 27,300 1,245,563
Gemstar International Group Ltd.* ........ 15,300 372,938
Harrah's Entertainment, Inc.* ............ 71,000 1,340,125
Hearst-Argyle Television, Inc.* .......... 23,500 699,125
Heftel Broadcasting Corp.* ............... 2,500 116,875
Jacor Communications, Inc.* .............. 93,000 4,940,625
LIN Television Corp.* .................... 79,800 4,349,100
SFX Broadcasting, Inc., "A"* ............. 32,100 2,576,025
Sinclair Broadcast Group, Inc., "A"* 39,700 1,851,012
Univision Communications, Inc., "A"* 33,900 2,366,644
Viacom, Inc., "B"* ....................... 54,700 2,266,631
------------
$ 40,246,681
------------
Financial Institutions -- 3.5%
Associates First Capital Corp., "A" ...... 27,500 $ 1,955,937
Charter One Financial, Inc. .............. 20,790 1,312,369
Conning Corp.* ........................... 1,200 20,100
Consolidated Capital Corp.* .............. 84,900 1,724,531
Donaldson Lufkin & Jenrette, Inc. ........ 11,500 914,250
Franklin Resources, Inc. ................. 59,200 5,146,700
Lehman Brothers Holdings, Inc. ........... 12,600 642,600
Linc Capital, Inc.* ...................... 1,700 33,363
Morgan Stanley, Dean Witter,
Discover & Co. ......................... 28,500 1,685,062
Peoples Heritage Financial Group ......... 10,300 473,800
Price (T Rowe) & Associates, Inc. ........ 27,200 1,710,200
Union Planters Corp. ..................... 3,700 251,369
------------
$ 15,870,281
------------
Food and Beverage Products -- 0.5%
Beringer Wine Estates Holdings,
Inc. "B"* .............................. 1,900 $ 72,200
Corn Products International, Inc.* ....... 3,100 92,419
McCormick & Co., Inc. .................... 18,100 506,800
Suiza Foods Corp.* ....................... 15,500 923,218
Tootsie Roll Industries, Inc. ............ 8,800 550,000
Whole Foods Market, Inc.* ................ 6,000 306,750
------------
$ 2,451,387
------------
Insurance -- 0.4%
ACE Ltd. ................................. 4,500 $ 434,250
Conseco, Inc. ............................ 22,200 1,008,713
ESG Re Ltd.* ............................. 3,200 75,200
Hartford Life, Inc., "A" ................. 2,900 131,406
------------
$ 1,649,569
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Machinery -- 0.1%
SI Handling Systems, Inc. ................ 23,500 $ 323,125
------------
Medical and Health Products -- 0.9%
Arterial Vascular Engineering, Inc.* ..... 26,700 $ 1,735,500
Gulf South Medical Supply, Inc. .......... 14,600 543,850
McKesson Corp. ........................... 8,900 962,869
Mentor Corp. ............................. 16,100 587,650
Pathogensis Corp.* ....................... 11,700 434,362
------------
$ 4,264,231
------------
Medical and Health Technology
and Services -- 7.2%
Columbia/HCA Healthcare Corp. ............ 32,100 $ 950,963
Cyberonics, Inc.* ........................ 112,800 1,720,200
Foundation Health Systems, Inc.* ......... 780 17,453
Guidant Corp. ............................ 84,800 5,278,800
Health Management Associates,
Inc., "A"* ............................. 9,300 234,825
HEALTHSOUTH Corp.* ....................... 124,400 3,452,100
Integrated Health Services, Inc. ......... 47,700 1,487,644
Mariner Health Group, Inc.* .............. 22,300 362,375
Medtronic, Inc. .......................... 11,200 585,900
Orthodontic Centers of America, Inc.* 75,100 1,248,537
Oxford Health Plans, Inc.* ............... 40,300 627,169
PacifiCare Health Systems, Inc., "B"* 41,500 2,173,562
Renal Treatment Centers, Inc.* ........... 41,500 1,499,187
St. Jude Medical, Inc.* .................. 3,200 97,600
United Healthcare Corp. .................. 256,700 12,754,781
VWR Scientific Products Corp.* ........... 7,700 217,525
Zonagen, Inc.* ........................... 16,500 300,094
------------
$ 33,008,715
------------
Oil Services -- 0.1%
Diamond Offshore Drilling, Inc. .......... 3,500 $ 168,438
Global Industries, Inc.* ................. 11,200 190,400
Input/Output, Inc. * ..................... 6,600 195,937
------------
$ 554,775
------------
Pollution Control -- 0.2%
Allied Waste Industries, Inc.* ........... 39,600 $ 923,175
------------
Printing and Publishing -- 0.1%
Applied Graphics Technologies, Inc.* 1,400 $ 74,550
Mail-Well, Inc.* ......................... 10,600 429,300
------------
$ 503,850
------------
Railroads -- 0.6%
Kansas City Southern Industries, Inc. 81,900 $ 2,600,325
------------
Real Estate Investment Trusts -- 0.1%
Starwood Lodging Trust ................... 8,000 $ 463,000
------------
Restaurants and Lodging -- 1.7%
Applebee's International, Inc. ........... 61,900 $ 1,118,069
ITT Corp. * .............................. 31,500 2,610,562
Promus Hotel Corp.* ...................... 88,813 3,730,146
Suburban Lodges of America, Inc.* 13,200 175,725
------------
$ 7,634,502
------------
Special Products and
Services -- 0.2%
Edutrek International, Inc., "A"* ........ 1,200 $ 31,200
Royal Caribbean Cruises Ltd. ............. 11,100 591,769
Veritas DGC, Inc.* ....................... 4,100 161,950
------------
$ 784,919
------------
Stores -- 11.8%
Consolidated Stores Corp.* ............... 65,850 $ 2,893,284
Corporate Express, Inc.* ................. 190,800 2,456,550
CVS Corp. ................................ 103,400 6,624,063
Dollar General Corp. ..................... 12,700 460,375
</TABLE>
18 - EGS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Stores -- continued
General Nutrition Cos., Inc.* ........ 52,200 $ 1,774,800
Home Depot, Inc. ..................... 75,850 4,465,669
Linens 'N Things, Inc.* .............. 18,000 785,250
Lowes Co., Inc. ...................... 8,800 419,650
Micro Warehouse, Inc.* ............... 105,600 1,471,800
Office Depot, Inc.* .................. 355,000 8,497,812
Pier 1 Imports, Inc. ................. 18,800 425,350
Republic Industries, Inc.* ........... 336,300 7,839,994
Rite Aid Corp. ....................... 156,600 9,190,462
Staples, Inc.* ....................... 74,700 2,072,925
U.S. Office Products Co.* ............ 221,250 4,342,031
Viking Office Products, Inc.* ........ 6,300 137,419
------------
$ 53,857,434
------------
Supermarkets -- 2.3%
Albertsons, Inc. ..................... 9,800 $ 464,275
Kroger Co.* .......................... 21,400 790,463
Meyer (Fred), Inc.* .................. 218,070 7,932,296
Safeway, Inc.* ....................... 21,800 1,378,850
------------
$ 10,565,884
------------
Telecommunications -- 8.2%
American Communications
Services, Inc.* .................... 21,400 $ 274,188
Aspect Telecommunications Corp.* ..... 14,200 296,425
Brooks Fiber Properties, Inc.* ....... 7,800 429,000
Cincinnati Bell, Inc. ................ 6,700 207,700
Cisco Systems, Inc.* ................. 355,200 19,802,400
Inter-Tel, Inc.* ..................... 3,500 67,813
Intermedia Communications, Inc.* ..... 94,900 5,765,175
LCI International, Inc.* ............. 43,400 1,334,550
Lucent Technologies, Inc. ............ 10,700 854,662
Nextlink Communications, Inc., "A"* 18,600 396,412
TCA Cable TV, Inc. ................... 6,200 285,200
Tel-Save Holdings, Inc.* ............. 10,800 214,650
Teleport Communications Group,
Inc., "A"* ......................... 8,600 471,925
WorldCom, Inc.* ...................... 229,600 6,945,400
------------
$ 37,345,500
------------
Utilities -- Telephone -- 2.1%
MCI Communications Corp. ............. 221,355 $ 9,476,761
------------
Total U.S. Stocks ............................. $426,078,022
------------
Foreign Stocks -- 2.8%
France
Dassault Systemes S.A., ADR
(Computer Software - Systems) ...... 3,700 $ 114,237
------------
Germany -- 2.2%
Sap AG, Preferred (Computer
Software - Systems) ................ 30,400 $ 9,955,704
------------
Netherlands -- 0.1%
Benckiser NV (Consumer Goods
and Services)* ..................... 10,100 $ 418,299
------------
United Kingdom -- 0.5%
Danka Business Systems, ADR
(Business Services) ................ 155,100 $ 2,471,906
------------
Total Foreign Stocks .......................... $ 12,960,146
------------
Total Stocks
(Identified Cost, $368,394,454) ............. $439,038,168
------------
</TABLE>
Short-Term Obligations -- 5.3%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Federal Home Loan Mortgage
Corp., due 1/07/98 - 1/09/98 ................... $13,350 $ 13,335,140
Federal National Mortgage Assn.,
due 1/05/98 .................................... 6,500 6,495,898
Ford Motor Credit Corp.,
due 1/02/98 .................................... 4,600 4,599,138
------------
Total Short-Term Obligations, at Amortized Cost .................. $ 24,430,176
------------
Total Investments
(Identified Cost, $392,824,630) ................................ $463,468,344
------------
Other Assets,
Less Liabilities -- (1.3)% ....................................... (6,116,926)
------------
Net Assets -- 100.0% ............................................. $457,351,418
============
</TABLE>
See portfolio footnotes and notes to financial statements
19 - EGS
<PAGE>
Portfolio of Investments -- December 31, 1997
International Growth Series
Stocks -- 90.6%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Argentina -- 1.1%
Banco de Galicia y Buenos Aires
S.A. de C.V., ADR (Banks and
Credit Cos.) ........................ 4,050 $ 104,287
Telecom S.A., ADR
(Telecommunications) ................ 4,000 143,000
-----------
$ 247,287
-----------
Australia -- 1.9%
QBE Insurance Group Ltd.
(Insurance) ......................... 96,500 $ 434,241
-----------
Austria -- 0.3%
Austria Tabak AG (Tobacco)* ........... 1,600 $ 70,948
-----------
Brazil -- 3.0%
Centrais Eletricas Brasile, ADR
(Utilities - Electric) .............. 5,700 $ 141,075
Petroleo Brasileiro S.A., Preferred
(Oils) .............................. 802,000 187,564
Telecomunicacoes Brasileiras S.A.,
ADR (Telecommunications) ............ 3,140 365,614
-----------
$ 694,253
-----------
Canada -- 3.0%
Canadian National Railway Co.
(Railroads) ......................... 12,900 $ 609,525
Legacy Hotel Real Estate
Investment Trust (Real Estate)*## 12,700 86,106
-----------
$ 695,631
-----------
Chile -- 1.3%
Chilectra S.A., ADR
(Utilities - Electric) .............. 11,500 $ 294,066
-----------
China -- 0.4%
Huaneng Power International, Inc.,
ADR (Utilities - Electric)* ......... 4,200 $ 97,387
-----------
Egypt -- 0.9%
Suez Cement Co., GDR
(Construction)## .................... 10,390 $ 208,319
-----------
Finland -- 1.7%
Huhtamaki Oy Group
(Conglomerate) ...................... 4,100 $ 169,512
TT Tieto Oy (Computer
Software - Systems) ................. 2,070 233,165
-----------
$ 402,677
-----------
France -- 4.6%
Elf Aquitaine S.A. (Oils) ............. 1,300 $ 151,263
TOTAL SA, "B" (Oils) * ................ 1,850 201,421
TV Francaise (Broadcasting) ........... 2,800 286,237
Union des Assurances Federales
S.A. (Insurance) .................... 3,300 433,345
-----------
$ 1,072,266
-----------
Germany -- 4.2%
adidas AG (Apparel and Textiles) ...... 1,550 $ 204,079
Henkel Kgaa (Chemicals) ............... 7,000 442,126
Volkswagen AG (Automotive) ............ 180 101,369
Wella AG (Cosmetics) .................. 320 243,072
-----------
$ 990,646
-----------
Greece -- 0.7%
Attica Enterprises S.A., GDR
(Transportation) .................... 10,800 $ 120,694
Hellenic Bottling (Beverages) ......... 1,220 28,343
National Bank of Greece, GDR
(Banks) ............................. 150 13,217
-----------
$ 162,254
-----------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Hong Kong -- 1.8%
China Resources Enterprises (Real
Estate Investment Trusts) ........... 24,000 $ 53,585
Li & Fung Ltd. (Wholesale) ............ 8,000 11,202
New World Development Co.
(Real Estate) ....................... 25,000 86,468
Peregrine Investment Holdings
(Finance) ........................... 49,000 34,781
Wharf Holdings Ltd. (Real Estate) ..... 13,000 28,522
Wing Hang Bank Ltd. (Banks and
Credit Cos.) ........................ 74,000 209,150
-----------
$ 423,708
-----------
Hungary -- 1.0%
Magyar Tavkozlesi Rt.
(Telecommunications)* ............... 6,000 $ 156,000
Richter Gedeon Rt.
(Pharmaceuticals) ................... 600 68,288
-----------
$ 224,288
-----------
India -- 1.1%
Mahanagar Telephone Nigam Ltd.
(Utilities - Telephone)*## .......... 6,000 $ 62,250
State Bank of India, GDR (Bank and
Credit Cos.)## ...................... 4,300 76,325
Videsh Sanchar Nigam Ltd., GDR
(Telecommunications)## .............. 8,290 113,573
-----------
$ 252,148
-----------
Indonesia -- 0.9%
Gulf Indonesia Resources Ltd.
(Oil Services)* ..................... 1,400 $ 30,800
PT Indosat (Telecommunications) ....... 36,000 67,376
PT Indosat, ADR
(Telecommunications) ................ 6,000 115,875
-----------
$ 214,051
-----------
Ireland -- 1.6%
Anglo Irish Bank Corp. PLC (Banks
and Credit Cos.)* ................... 192,000 $ 372,691
-----------
Israel -- 0.4%
Makhteshim Chemical Works Ltd.
(Chemicals) ......................... 13,500 $ 98,518
-----------
Italy -- 1.6%
ERG S.p.A. (Oils)* .................... 35,000 $ 130,396
Instituto Nazionale delle
Assicurazioni (Insurance) ........... 48,800 98,980
Telecom Italia Mobile S.p.A.
(Telecommunications) ................ 34,000 157,064
-----------
$ 386,440
-----------
Japan -- 13.3%
Canon, Inc. (Office Equipment) ........ 14,000 $ 327,234
Eisai Co. Ltd. (Pharmaceuticals) ...... 15,000 229,509
Fuji Photo Film Co. (Photographic
Products) ........................... 7,000 269,106
Kinki Coca-Cola Bottling Co.
(Beverages) ......................... 5,000 53,437
Kirin Beverage Corp. (Beverages) ...... 10,000 166,077
Nippon Broadcasting
(Broadcasting) ...................... 2,000 79,348
Nitto Denko Corp. (Industrial Goods
and Services) ....................... 14,000 242,196
NTT Data Communications Systems
Co. (Telecommunications) ............ 3 162,156
Osaka Sanso Kogyo Ltd.
(Chemicals) ......................... 25,000 26,911
Rohm Co. (Electronics) ................ 2,000 204,521
</TABLE>
20 - IGS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Japan -- continued
Sankyo Co. Ltd. (Pharmaceuticals) .......... 8,000 $ 181,455
Sony Corp. (Electronics) ................... 5,100 454,867
Takeda Chemical Industries
(Pharmaceuticals) ........................ 10,000 286,022
TDK Corp. (Electronics) .................... 2,000 151,315
Tokyo Broadcasting System, Inc.
(Broadcasting) ........................... 14,000 177,610
Ushio, Inc. (Electronics) .................. 15,000 100,223
-----------
$ 3,111,987
-----------
Malaysia -- 1.7%
New Straits Times Press Berhad
(Printing and Publishing) ................ 59,000 $ 73,389
Petronas Gas Berhad (Oil and
Gas) ## .................................. 23,000 52,529
Tanjong PLC (Entertainment) ................ 161,000 267,987
-----------
$ 393,905
-----------
Mauritius -- 0.4%
State Bank of Mauritius Ltd.
(Financial Instituition) ................. 166,000 $ 95,050
-----------
Mexico -- 2.9%
Gruma S.A. (Food Products) ................. 21,373 $ 84,845
Grupo Financiero Banamex, "B"
(Finance)* ............................... 80,000 239,672
Grupo Television S.A. de C.V., GDR
(Entertainment)* ......................... 3,300 127,669
Sanluis Corporacion S.A. de C.V.
(Conglomerate) ........................... 19,000 156,271
TV Azteca, S.A. de C.V., ADR
(Broadcasting)* .......................... 3,600 81,225
-----------
$ 689,682
-----------
Netherlands -- 6.0%
Akzo Nobel N.V. (Chemicals) ................ 3,200 $ 552,236
Benckiser NV (Consumer Goods
and Services)* ........................... 6,300 260,919
IHC Caland N.V. (Transportation) ........... 2,000 103,860
Koninklijke Ten Cate (Diversified
Operations) .............................. 7,450 234,261
Royal Dutch Petroleum Co. (Oils) ........... 4,400 241,742
-----------
$ 1,393,018
-----------
Pakistan -- 0.8%
Hub Power Co. Ltd., GDR
(Utilities - Electric)* .................. 4,000 $ 124,000
Pakistan Telecommunications Corp.,
GDR (Utilities - Telephone) .............. 800 58,400
-----------
$ 182,400
-----------
Peru -- 1.4%
Credicorp Ltd. Holdings Co. (Banks
and Credit Cos.) ......................... 7,365 $ 132,570
Luz del Sur S.A. (Utilities - Electric)..... 24,800 28,668
Telefonica del Peru S.A., ADR
(Telecommunications) ..................... 7,400 172,512
-----------
$ 333,750
-----------
Poland -- 0.8%
Bank Handlowy w Warszawie
(Banks and Credit Cos.)*+ ................ 2,261 $ 28,905
Bank Handlowy w Warszawie, GDR
(Banks and Credit Cos.)*## ............... 11,600 150,800
-----------
$ 179,705
-----------
Portugal -- 4.2%
Banco Espirito Santo e Comercial
de Lisboa S.A. (Banks and Credit
Cos.) .................................... 8,000 $ 238,325
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Portugal -- continued
Banco Totta e Acores (Banks and
Credit Cos.) ............................. 13,500 $ 265,374
Mota e Companhia S.A.
(Construction) ........................... 2,500 39,706
Portugal Telecom S.A.
(Utilities - Telephone) .................. 6,000 278,705
Telecel - Comunicacaoes Pessoais
S.A. (Telecommunications)* ............... 1,500 159,995
-----------
$ 982,105
-----------
Russia -- 0.7%
Lukoil Oil Co., ADR (Oils) ................. 970 $ 88,270
Unified Energy Systems, GDR
(Utilities - Electric)* .................. 2,528 75,840
-----------
$ 164,110
-----------
Singapore -- 1.1%
City Developments Ltd.
(Real Estate) ............................ 10,000 $ 46,429
Hong Leong Finance Ltd.
(Finance)+ ............................... 50,000 53,571
Mandarin Oriental International Ltd.
(Restaurants and Lodgings) ............... 86,000 57,620
Overseas Union Bank (Finance) .............. 29,000 111,339
-----------
$ 268,959
-----------
Spain -- 2.1%
Aceralia Corp. Side (Iron and
Steel)* .................................. 1,900 $ 23,360
Acerinox S.A. (Iron and Steel) ............. 1,500 222,584
Repsol S.A. (Oils) ......................... 5,800 247,863
-----------
$ 493,807
-----------
Sweden -- 3.8%
Astra AB (Pharmaceuticals) ................. 19,300 $ 324,912
Skandia Forsakrings AB (Insurance) 5,500 259,741
Sparbanken Sverige AB, "A" (Banks
and Credit Cos.) ......................... 13,000 295,902
-----------
$ 880,555
-----------
Switzerland -- 3.3%
Ciba Specialty AG (Chemicals)* ............. 3,942 $ 470,412
Novartis AG (Pharmaceuticals) .............. 190 308,827
-----------
$ 779,239
-----------
United Kingdom -- 15.3%
ASDA Group PLC (Supermarkets) .............. 140,000 $ 412,490
Avis Europe PLC (Auto Rental)## ............ 66,000 188,912
British Aerospace PLC (Aerospace
and Defense) ............................. 21,300 607,918
British Petroleum PLC (Oils) ............... 28,084 372,075
Carlton Communicatons PLC
(Broadcasting) ........................... 19,360 149,682
Corporate Services Group PLC
(Business Services) ...................... 49,000 171,688
Diageo PLC (Food and Beverages) 24,500 224,485
Kwik-Fit Holdings PLC (Automotive
Repair Centers) .......................... 41,000 238,081
Lloyds TSB Group PLC (Banks and
Credit Cos.) ............................. 26,240 341,891
Lucas Variety (Automotive) ................. 45,000 159,154
Pliva D D (Medical)## ...................... 6,500 113,100
PowerGen PLC (Utilities-Electric)* ......... 24,800 323,104
Tomkins PLC (Diversified
Operations) .............................. 61,200 289,941
-----------
$ 3,592,521
-----------
</TABLE>
21 - IGS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Venezuela -- 1.3%
Compania Anonima Nacional
Telefonos de Venezuela, ADR
(Telecommunications) ............ 7,560 $ 314,685
-----------
Total Stocks
(Identified Cost, $21,441,755) ......... $21,197,297
-----------
Short-Term Obligations -- 8.9%
Principal Amount
(000 Omitted)
Federal Home Loan Bank, due
1/02/98 ......................... $ 220 $ 219,970
Federal Home Loan Mortgage
Corp., due 1/02/98 - 1/14/98 .... 1,880 1,878,263
-----------
Total Short-Term Obligations,
at Amortized Cost ...................... $ 2,098,233
-----------
Total Investments
(Identified Cost, $23,539,988) ......... $23,295,530
Other Assets,
Less Liabilities -- 0.5% ................ 105,576
-----------
Net Assets--100.0% ....................... $23,401,106
===========
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- December 31, 1997
Managed Sectors Series
Stocks -- 93.0%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Energy -- 9.3%
Apache Corp. ........................................................... 98,900 $ 3,467,681
BJ Services Co. * ...................................................... 56,000 4,028,500
Camco International, Inc. .............................................. 59,500 3,789,406
Cooper Cameron Corp.* .................................................. 70,500 4,300,500
Noble Drilling Corp.* .................................................. 120,500 3,690,313
Occidental Petroleum Corp. ............................................. 172,430 5,054,354
Weatherford Enterra, Inc.* ............................................. 168,000 7,350,000
-----------
$31,680,754
-----------
Leisure -- 23.2%
Aerial Communications, Inc.* ........................................... 200,000 $ 1,425,000
AirTouch Communications, Inc.* ......................................... 100,000 4,156,250
Cendant Corp.* ......................................................... 424,251 14,583,628
Harrah's Entertainment, Inc.* .......................................... 437,500 8,257,812
Hearst-Argyle Television, Inc.* ........................................ 20,600 612,850
Hilton Hotels Corp. .................................................... 163,500 4,864,125
Host Marriott Corp.* ................................................... 108,000 2,119,500
MGM Grand, Inc.* ....................................................... 67,000 2,416,188
Mirage Resorts, Inc. * ................................................. 195,000 4,436,250
Promus Hotel Corp.* .................................................... 129,500 5,439,000
Sprint Corp. ........................................................... 66,000 3,869,250
Telephone & Data Systems, Inc. ......................................... 572,900 26,675,656
-----------
$78,855,509
-----------
Medical and Health Technology
and Services -- 16.9%
AmeriSource Health Corp.,"A"* .......................................... 80,200 $ 4,671,650
Bristol-Myers Squibb Co. ............................................... 95,000 8,989,375
CVS Corp. .............................................................. 58,500 3,747,656
Genesis Health Ventures, Inc.* ......................................... 185,000 4,879,375
McKesson Corp. ......................................................... 26,500 2,866,969
Medpartners, Inc.* ..................................................... 173,800 3,888,775
Meyer (Fred), Inc.* .................................................... 172,000 6,256,500
Rite Aid Corp. ......................................................... 97,500 5,722,031
Safeway, Inc.* ......................................................... 76,000 4,807,000
United Healthcare Corp. ................................................ 236,100 11,731,219
-----------
$57,560,550
-----------
Technology -- 29.1%
Alcatel Alsthom, ADR (France) .......................................... 97,000 $ 2,455,313
Analog Devices, Inc.* .................................................. 213,000 5,897,438
Aspect Telecommunications Corp.* ....................................... 167,000 3,486,125
Atmel Corp.* ........................................................... 270,000 5,011,875
Cisco Systems, Inc.* ................................................... 132,150 7,367,362
Compaq Computer Corp. .................................................. 214,600 12,111,487
Computer Associates International,
Inc. ................................................................. 204,750 10,826,156
Danka Business Systems, ADR
(United Kingdom) ..................................................... 180,700 2,879,906
First Data Corp. ....................................................... 106,200 3,106,350
Intel Corp. ............................................................ 47,000 3,301,750
International Business Machines Corp. 74,300 7,768,994
Loral Space & Communications Corp.* 330,200 7,078,663
Micron Technology, Inc.* ............................................... 139,700 3,632,200
Microprose, Inc.* ...................................................... 379,200 829,500
Microsoft Corp.* ....................................................... 45,000 5,816,250
Oracle Corp.* .......................................................... 190,000 4,239,375
Sun Microsystems, Inc.* ................................................ 178,000 7,097,750
Teradyne, Inc.* ........................................................ 193,800 6,201,600
-----------
$99,108,094
-----------
</TABLE>
22 - MSS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Other -- 14.5%
Green Tree Financial Corp. ......... 129,400 $ 3,388,663
Jefferson Smurfit Corp.* ........... 174,200 2,460,575
Office Depot, Inc.* ................ 129,700 3,104,694
Stone Container Corp. .............. 310,000 3,235,625
Tyco International Ltd. ............ 745,860 33,610,316
Wisconsin Central Transportation
Corp.* ........................... 159,300 3,723,637
------------
$ 49,523,510
------------
Total Stocks
(Identified Cost, $278,809,653) .......... $316,728,417
------------
</TABLE>
<TABLE>
<CAPTION>
Convertible Bond -- 0.1%
<S> <C> <C>
Principal Amount
(000 Omitted)
Spectrum Holobyte, Inc., 6.5s, 2002
(Identified Cost $270,000)## .......... $ 270 $ 202,163
------------
Short-Term Obligations -- 4.5%
Federal Home Loan Bank, due
1/21/98 ............................... $4,500 $ 4,486,250
Federal Home Loan Mortgage
Corp., due 1/07/98 - 1/09/98 .......... 8,000 7,990,768
Ford Motor Credit Corp., due 1/02/98..... 3,025 3,024,492
------------
Total Short-Term Obligations,
at Amortized Cost ......................................... $ 15,501,510
------------
Put Options Purchased -- 0.3%
Issuer/Expiration Month/Strike Price Contracts
S & P 500 Index/
December/850 (Premiums Paid,
$1,121,200) ........................... 400 $ 1,150,000
------------
Total Investments
(Identified Cost, $295,702,363) ........................... $333,582,090
------------
Call Options Written -- (1.0)%
Air Touch Communications, Inc./
January/35 ............................ 1,000 $ (625,000)
HFS, Inc./January/66 .................... 1,060 (1,828,500)
International Business Machines
Corp./January/120 ..................... 330 (4,125)
Loral Space & Communications
Corp./January/20 ...................... 1,700 (276,250)
Meyer (Fred), Inc./January/65 ........... 1,218 (654,675)
------------
Total Call Options Written
(Premiums Received, $744,818) ............................. $ (3,388,550)
------------
Other Assets,
Less Liabilities -- 3.1% .................................... 10,433,897
------------
Net Assets -- 100.0% ........................................ $340,627,437
============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- December 31, 1997
MFS/Foreign & Colonial Emerging Markets
Equity Series
Stocks -- 96.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Argentina -- 3.4%
Banco de Galicia y Buenos Aires
S.A. de C.V., ADR (Banks and
Credit Cos.) ................................ 3,550 $ 91,413
Banco Rio de La Plata S.A., ADR
(Banks and Credit Cos.)* .................... 3,000 42,000
Perez Companc S.A. (Oils) ..................... 16,828 120,176
Siderar S.A.I.C., ADR (Steel)## ............... 750 22,875
Telecom Argentina S.A., ADR
(Telecommunications) ........................ 1,500 53,625
Telefonica de Argentina, ADR
(Utilities - Telephone) ..................... 4,170 155,332
YPF Sociedad Anonima, ADR (Oils) 9,500 324,781
-----------
$ 810,202
-----------
Brazil -- 14.9%
Aracruz Celulose S.A. (Paper
Products) ................................... 42,000 $ 57,957
CEMIG (Utilities - Electric) .................. 4,080,000 177,275
Centrais Eletricas Brasileiras
S.A. - Eletrobras, Preferred, "B"
(Utilities - Electric) ...................... 13,339,000 681,293
Companhia Cervejaria Brahma,
Preferred (Beverages) ....................... 104,000 69,893
Companhia Energetica de Sao
Paulo, Preferred
(Utilities - Electric) ...................... 2,600,000 156,093
Companhia Paranaense de
Energia - COPEL, Preferred "B"
(Utilities - Electric) ...................... 12,599 171,035
Companhia Vale do Rio Doce,
Preferred (Mining) .......................... 10,500 211,223
Itausa Investimentos Itau S.A.
(Conglomerate) .............................. 155,000 120,833
ITC Ltd. (Conglomerate)## ..................... 3,200 62,400
ITC Ltd., GDR (Conglomerate) .................. 6,000 117,000
Petroleo Brasileiro S.A., Preferred
(Oils) ...................................... 2,399,000 561,056
Telecomunicacoes Brasileiras S.A.
(Telecommunications) ........................ 5,407,000 549,906
Telecomunicacoes Brasileiras S.A.,
ADR (Telecommunications)* ................... 5,820,000 663,876
-----------
$ 3,599,840
-----------
Canada -- 0.3%
Super Sol Ltd. (Supermarkets) ................. 23,500 $ 66,670
-----------
Chile -- 3.4%
Banco Santander Chile, ADR, "A"
(Banks and Credit Cos.) ..................... 9,230 $ 130,374
Chilgener S.A. (Utilities - Electric) ......... 3,260 79,870
Compania de Telecom de Chile,
ADR (Telecommunications) .................... 8,993 268,666
Distribucion Y Servicio D & S S.A.,
ADR (Supermarkets)* ......................... 3,695 68,588
Enersis S.A., ADR
(Utilities - Electric) ...................... 6,363 184,527
Laboratorio Chile S.A., ADR
(Medical and Health Technology
Services) ................................... 3,251 72,335
Santa Isabel S.A., ADR (Stores)+ .............. 818 14,315
-----------
$ 818,675
-----------
China -- 0.6%
Huaneng Power International, Inc.,
ADR (Utilities - Electric)* ................. 4,000 $ 92,750
</TABLE>
23 - FCE
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
China -- continued
Qingling Motors Co., "H"
(Automotive) ........................ 80,000 $ 39,233
-----------
$ 131,983
-----------
Colombia -- 3.5%
Banco Ganadero S.A., ADR, (Banks
and Credit Cos.) .................... 6,200 $ 270,475
Banco Industrial Colombiano, ADR
(Banks and Credit Cos.) ............. 23,300 326,200
Cementos Diamante S.A., GDR
(Construction) ...................... 16,600 190,900
Cementos Diamante S.A.,
(Construction) ## ................... 5,700 65,550
-----------
$ 853,125
-----------
Egypt -- 4.5%
Ahram Beverage Co., S.A.E., GDR
(Beverages)*## ...................... 8,381 $ 229,221
Commercial International Bank,
GDR (Banks and Credit Cos.)## ....... 20,586 426,130
Madinet Nasar City (Housing
Development) ........................ 300 19,440
North Cairo Mills (Food Products) ..... 4,000 114,286
South Cairo Flour Mills (Food
Products) ........................... 1,575 21,781
Suez Cement Co., GDR
(Construction)## .................... 12,198 244,570
Torah for Cement (Construction) ....... 1,100 25,269
-----------
$ 1,080,697
-----------
Hong Kong -- 5.3%
Beijing Enterprise Holdings Ltd.
(Diversified Operations) ............ 16,000 $ 41,092
Cheung Kong Holdings Ltd. (Real
Estate) ............................. 41,000 268,536
China Resources Enterprises Ltd.
(Real Estate Investment Trusts) ..... 54,000 120,565
Citic Pacific Ltd. (Conglomerate) ..... 27,000 107,324
Hong Kong & China Gas Co. Ltd.
(Gas) ............................... 54,000 104,536
HSBC Holdings PLC (Finance) ........... 5,273 129,979
Hysan Development Co. Ltd. (Real
Estate) ............................. 30,000 59,818
New World Development Co. (Real
Estate) ............................. 34,000 117,597
Swire Pacific Air Ltd., "A"
(Transportation) .................... 33,000 181,003
Wharf Holdings Ltd. (Real Estate) ..... 53,000 116,281
Zhenhai Refining and Chemical Co.,
Ltd. (Oils) ......................... 76,000 31,632
-----------
$ 1,278,363
-----------
Hungary -- 4.8%
Graboplast Rt. (Apparel and
Textiles) ........................... 2,500 $ 132,483
Magyar Tavkozlesi Rt.
(Telecommunications)* ............... 7,600 197,600
Mol Magyar Olaj Es Gazipari Rt.
(Oils)## ............................ 10,000 241,000
Pannonplast Rt. (Chemicals) ........... 2,245 118,430
Richter Gedeon Rt.
(Pharmaceuticals) ................... 4,140 471,184
-----------
$ 1,160,697
-----------
India -- 8.1%
Bajaj Auto Ltd (Automotive)## ......... 1,150 $ 23,000
Bajaj Auto Ltd., GDR (Automotive) ..... 700 14,000
EIH Ltd. (Restaurant and Lodging) ..... 6,450 84,624
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
India -- continued
EIH Ltd., GDR (Restaurant and
Lodging)## .......................... 1,250 $ 16,063
Formula System (1985) Ltd.
(Computer Software - Systems)* ...... 2,733 84,184
Gujarat Ambuja Cements Ltd, ADR
(Building Materials)## .............. 25,500 172,125
Industrial Credit & Investment Corp.
of India Ltd. (Finance)## ........... 22,200 277,500
Mahanagar Telephone Nigam Ltd.
(Utilities - Telephone)*## .......... 38,000 394,250
State Bank of India, GDR (Banks
and Credit Cos.)## .................. 18,950 336,362
State Bank of India (Banks and
Credit Companies) ................... 3,700 65,675
Steel Authority of India Ltd.
(Steel)## ........................... 18,600 55,800
Videsh Sanchar Nigam Ltd., GDR
(Telecommunications)## .............. 32,580 446,346
-----------
$ 1,969,929
-----------
Israel -- 1.6% ECI Telecom Ltd.
(Telecommunications) ................ 1,812 $ 46,206
Israel Chemical Ltd. (Chemicals) ...... 85,000 115,164
Makhteshim Chemical Works Ltd.
(Chemicals) ......................... 9,000 65,679
Tadiran Telecommunications Ltd.
(Telecommunications) ................ 3,950 54,806
Teva Pharmaceutical Industries Ltd.,
ADR (Pharmaceuticals) ............... 2,000 94,625
-----------
$ 376,480
-----------
Mauritius -- 4.2%
Mauritius Commercial Bank (Banks
and Credit Cos.) .................... 57,640 $ 249,479
New Mauritius Hotels Ltd.
(Restraurants and Lodging) .......... 82,360 156,699
Rogers & Co. Ltd. (Finance) ........... 54,000 265,374
State Bank of Mauritius Ltd. (Banks) 619,990 354,999
-----------
$ 1,026,551
-----------
Mexico -- 12.6%
Apasco S.A. (Building Materials) ...... 16,500 $ 114,626
Cemex S.A., "B" (Construction)* ....... 55,000 249,380
Cifra Sa De C.V. (Retail)* ............ 135,411 334,286
Corporacion GEO S.A. de C.V.
(Housing)*, ## ...................... 5,000 123,075
Desc S.A. de C.V., "B"
(Conglomerate) ...................... 18,000 172,162
Fomento Economico Mexicano S.A.,
"B" (Beverages) ..................... 15,000 120,022
Gruma S.A. (Food Products) ............ 18,360 72,884
Grupo Carso, "A1" (Conglomerate) ...... 46,000 308,151
Grupo Financiero Banamex, "B"
(Finance)* .......................... 50,000 149,795
Grupo Modelo S.A. de C.V.
(Brewery) ........................... 13,500 113,547
Grupo Televisa S.A., GDR
(Entertainment)* .................... 6,300 243,731
Hylsamex S.A. (Steel) ................. 24,700 145,547
Organiz Soriana (Real Estate) ......... 39,000 171,753
Sanluis Corporacion S.A. de C.V.
(Conglomerate) ...................... 12,600 103,632
Telefonos de Mexico S.A.
(Utilities - Telephone) ............. 222,000 626,535
-----------
$ 3,049,126
-----------
</TABLE>
24 - FCE
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Morocco -- 3.5%
Banque Marocaine du Commerce
(Banks and Credit Cos.) ................................................ 4,100 $ 244,254
Brasserica du Maroc (Consumer
Goods and Services) .................................................... 750 165,912
Credit Eqdom (Financial Institutions) 700 81,387
Omnium Nord Africain S.A
(Conglomerate) ......................................................... 1,975 171,306
Societe Nationale d' Investissement
(Conglomerate)* ........................................................ 200 17,183
Societe Nationale d'Investissement
(Conglomerate) ......................................................... 2,000 171,828
-----------
$ 851,870
-----------
Pakistan -- 0.6%
Hub Power Co. Ltd., GDR
(Utilities - Electric)* ................................................ 5,000 $ 155,000
-----------
Peru -- 3.4%
Alicorp S.A. (Food Products)* ............................................ 96,900 $ 87,832
Compania de Minas Buenaventura,
ADR (Mining) ........................................................... 7,100 113,600
Credicorp Holdings Ltd. (Banks and
Credit Cos.) ........................................................... 12,120 218,160
Telefonica del Peru S.A., ADR
(Telecommunications) ................................................... 17,150 399,810
-----------
$ 819,402
-----------
Poland -- 4.7%
Agros S.A. (Food Products) ............................................... 5,522 $ 114,519
Bank Handlowy w Warszawie
(Banks and Credit Cos.)*+ .............................................. 2,118 27,077
Bank Handlowy w Warszawie, GDR
(Banks and Credit Cos.)*## ............................................. 13,280 172,640
Bank Slaski S.A. w Katowicach
(Banks and Credit Cos.) ................................................ 2,935 162,592
Bydgoska Fabryka Kabli S.A.
(Electrical Equipment) ................................................. 14,000 114,545
Elektrim Spolka Akcyjna S.A.
(Electrical Equipment) ................................................. 16,106 156,027
Exbud S.A. (Construction)* ............................................... 18,290 171,469
KGHM Polska Miedz S.A., GDR
(Metals and Minerals)*## ............................................... 18,380 125,903
Zaklady Piwowarske w Zywcu S.A.
Zywiec (Beverages) ..................................................... 1,192 100,236
-----------
$ 1,145,008
-----------
Portugal -- 4.3%
Banco Espirito Santo e Comercial
de Lisboa S.A. (Banks and Credit
Cos.) .................................................................. 4,843 $ 144,276
Cimentos de Portugal S.A. (Building
Materials) ............................................................. 5,500 144,313
Mota e Companhia S.A.
(Construction) ......................................................... 3,000 47,647
Portugal Telecom S.A.
(Utilities - Telephone) ................................................ 12,778 593,550
Sonae Investimentos - Sociedade
Gestora de Participacoes Sociais,
S.A. (Conglomerate) .................................................... 2,800 113,371
-----------
$ 1,043,157
-----------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Russia -- 3.4%
Lukoil Oil Co., ADR (Oils) ............................................... 5,200 $ 473,200
Rostelecom
(Telecommunications)*## ................................................ 2 62,000
Rostelecom, RDC
(Telecommunications)* .................................................. 2 71,000
Unified Energy Systems, GDR
(Utilities - Electric)* ................................................ 7,087 212,610
-----------
$ 818,810
-----------
South Africa -- 7.0%
Dimension Data Holdings Ltd.
(Financial Institutions) ............................................... 43,489 $ 187,530
JD Group Ltd. (Stores)* .................................................. 13,400 81,858
Liberty Life Association of Africa
Ltd. (Insurance) ....................................................... 13,522 347,074
Nedcor Ltd. (Banks and Credit
Cos.) .................................................................. 17,035 377,778
Real Africa Holdings Ltd.
(Conglomerate) ......................................................... 39,500 82,731
Sasol Ltd. (Oils) ........................................................ 22,800 238,768
South African Breweries Ltd.
(Brewery) .............................................................. 15,400 379,466
-----------
$ 1,695,205
-----------
Turkey -- 2.0%
Ardem Pisirici ve Isitici Cihazlar
Sanayii A.S. (Conglomerates) ........................................... 495,400 $ 51,455
Cimsa Cimento Sanayi Ve Ticaret
A.S. (Construction Services) ........................................... 1,457,400 79,206
Haci Omer Sabanci Holdings A.S.,
ADR (Conglomerate)*## .................................................. 13,000 191,750
Yapi ve Kredi Bankasi A.S. (Banks
and Credit Cos.) ....................................................... 4,155,100 158,577
-----------
$ 480,988
-----------
Total Stocks
(Identified Cost, $24,504,801) ......................................................... $23,231,778
-----------
Rights
Brazil
Companhia Vale Rio Doce,
Preferred (Mining),
(Identified Cost, $0) .................................................. 4,600 $ 0
-----------
Short-Term Obligations -- 2.1%
Principal Amount
(000 omitted)
Federal Home Loan Mortgage
Corp., due 1/02/98, at Amortized
Cost ................................................................... $ 510 $ 509,933
-----------
Total Investments
(Identified Cost, $25,014,734) ......................................................... $23,741,711
Other Assets,
Less Liabilities -- 1.8% ................................................................. 439,740
-----------
Net Assets -- 100.0% ..................................................................... $24,181,451
===========
</TABLE>
See portfolio footnotes and notes to financial statements
25 - FCE
<PAGE>
Portfolio of Investments -- December 31, 1997
Research Series
Stocks -- 96.3%
<TABLE>
<CAPTION>
Issuers Shares Value
<S> <C> <C>
U.S. Stocks -- 88.2%
Aerospace -- 2.6%
Lockheed Martin Corp. .................................................. 57,800 $ 5,693,300
United Technologies Corp. .............................................. 165,100 12,021,344
------------
$ 17,714,644
------------
Apparel and Textiles -- 0.1%
Reebok International Ltd.* ............................................. 32,300 $ 930,644
------------
Banks and Credit Companies -- 5.8%
BankBoston Corp. ....................................................... 44,100 $ 4,142,644
Chase Manhattan Corp. .................................................. 63,912 6,998,364
Comerica, Inc. ......................................................... 75,500 6,813,875
Corestates Financial Corp. ............................................. 67,600 5,412,225
Fleet Financial Group, Inc. ............................................ 87,700 6,572,019
PNC Bank Corp. ......................................................... 81,000 4,622,062
Wells Fargo & Co. ...................................................... 12,800 4,344,800
------------
$ 38,905,989
------------
Building -- 1.4%
American Standard Cos., Inc.* .......................................... 86,000 $ 3,294,875
Newport News Shipbuilding, Inc. ........................................ 243,900 6,204,206
------------
$ 9,499,081
------------
Business Machines -- 0.5%
Sun Microsystems, Inc.* ................................................ 83,200 $ 3,317,600
------------
Business Services -- 3.2%
AccuStaff, Inc.* ....................................................... 113,400 $ 2,608,200
Cendant Corp.* ......................................................... 398,674 13,704,419
First Data Corp. ....................................................... 184,600 5,399,550
------------
$ 21,712,169
------------
Chemicals -- 2.7%
Air Products & Chemicals, Inc. ......................................... 56,200 $ 4,622,450
Cytec Industries, Inc.* ................................................ 142,500 6,688,593
DuPont (E.I.) de Nemours & Co.,
Inc. ................................................................. 56,300 3,381,519
Praxair, Inc. .......................................................... 75,500 3,397,500
------------
$ 18,090,062
------------
Computer Software -- Personal
Computers -- 4.8%
Compaq Computer Corp. .................................................. 195,650 $ 11,041,997
Electronic Arts, Inc.* ................................................. 142,700 5,395,844
Microsoft Corp.* ....................................................... 122,400 15,820,200
------------
$ 32,258,041
------------
Computer Software -- Systems -- 6.5%
Adobe Systems, Inc. .................................................... 103,100 $ 4,252,875
BMC Software, Inc.* .................................................... 96,200 6,313,125
Cadence Design Systems, Inc.* .......................................... 256,400 6,281,800
Computer Associates International,
Inc. ................................................................. 171,900 9,089,212
Compuware Corp.* ....................................................... 186,800 5,977,600
Oracle Corp.* .......................................................... 357,525 7,977,277
Sybase, Inc.* .......................................................... 85,600 1,139,550
Synopsys, Inc.* ........................................................ 80,100 2,863,575
------------
$ 43,895,014
------------
Consumer Goods and Services -- 11.9%
Clorox Co. ............................................................. 60,900 $ 4,814,906
Colgate-Palmolive Co. .................................................. 190,700 14,016,450
Dial Corp. ............................................................. 61,800 1,286,213
Gillette Co. ........................................................... 123,000 12,353,812
Philip Morris Cos., Inc. ............................................... 296,000 13,412,500
Procter & Gamble Co. ................................................... 144,700 11,548,869
Revlon, Inc., "A"* ..................................................... 85,300 3,012,156
Tyco International Ltd. ................................................ 419,612 18,908,766
------------
$ 79,353,672
------------
Containers -- 0.5%
Stone Container Corp. .................................................. 341,200 $ 3,561,275
------------
</TABLE>
<TABLE>
<CAPTION>
Issuers Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Electrical Equipment -- 0.8%
Cooper Industries, Inc. ................................................ 103,300 $ 5,061,700
------------
Electronics -- 2.0%
Analog Devices, Inc.* .................................................. 86,733 $ 2,401,420
Intel Corp. ............................................................ 119,200 8,373,800
Teradyne, Inc.* ........................................................ 82,800 2,649,600
------------
$ 13,424,820
------------
Entertainment -- 1.5%
Clear Channel Communications,
Inc.* ................................................................ 65,500 $ 5,203,156
Jacor Communications, Inc.* ............................................ 87,800 4,664,375
------------
$ 9,867,531
------------
Financial Institutions -- 3.9%
Advanta Corp., "B" ..................................................... 25,800 $ 654,675
American Express Co. ................................................... 32,300 2,882,775
Associates First Capital Corp., "A" .................................... 39,300 2,795,213
CIT Group, Inc., "A"* .................................................. 17,000 548,250
Federal National Mortgage Assn. ........................................ 108,100 6,168,456
Franklin Resources, Inc. ............................................... 32,400 2,816,775
Merrill Lynch & Co., Inc. .............................................. 54,800 3,996,975
Morgan Stanley, Dean Witter,
Discover & Co. ....................................................... 51,000 3,015,375
Union Planters Corp. ................................................... 50,110 3,404,348
------------
$ 26,282,842
------------
Food and Beverage Products -- 2.9%
Coca-Cola Co. .......................................................... 188,200 $ 12,538,825
Earthgrains Co. ........................................................ 64,100 3,012,700
McCormick & Co., Inc. .................................................. 139,800 3,914,400
------------
$ 19,465,925
------------
Forest and Paper Products -- 1.4%
Kimberly-Clark Corp. ................................................... 186,500 $ 9,196,781
------------
Insurance -- 8.6%
Allstate Corp. ......................................................... 60,300 $ 5,479,762
Chubb Corp. ............................................................ 66,700 5,044,188
CIGNA Corp. ............................................................ 51,600 8,930,025
Conseco, Inc. .......................................................... 246,000 11,177,625
FPIC Insurance Group, Inc.* ............................................ 20,800 605,800
Hartford Financial Services Group,
Inc. ................................................................. 75,300 7,045,256
Lincoln National Corp. ................................................. 59,900 4,679,688
PennCorp Financial Group, Inc. ......................................... 90,500 3,229,719
Reliastar Financial Corp. .............................................. 118,096 4,864,079
Travelers Group, Inc. .................................................. 118,100 6,362,637
------------
$ 57,418,779
------------
Medical and Health Products -- 3.7%
Boston Scientific Corp.* ............................................... 121,900 $ 5,592,163
Bristol-Myers Squibb Co. ............................................... 193,700 18,328,862
Uromed Corp.* .......................................................... 186,400 658,225
------------
$ 24,579,250
------------
Medical and Health Technology
and Services -- 5.2%
Cardinal Health, Inc. .................................................. 64,300 $ 4,830,537
HBO & Co. .............................................................. 177,300 8,510,400
HEALTHSOUTH Corp.* ..................................................... 190,881 5,296,948
Tenet Healthcare Corp.* ................................................ 132,100 4,375,813
United Healthcare Corp. ................................................ 234,300 11,641,781
------------
$ 34,655,479
------------
Oil Services -- 0.7%
Baker Hughes, Inc. ..................................................... 110,300 $ 4,811,837
------------
</TABLE>
26 - RS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuers Shares Value
<S> <C> <C>
U.S. Stocks - continued
Oils -- 1.5%
Chevron Corp. .......................................................... 47,100 $ 3,626,700
USX-Marathon Group ..................................................... 188,700 6,368,625
------------
$ 9,995,325
------------
Pollution Control -- 0.9%
Browning Ferris Industries, Inc. ....................................... 166,600 $ 6,164,200
------------
Railroads -- 1.7%
Burlington Northern Santa Fe
Railway Co. .......................................................... 67,600 $ 6,282,575
Wisconsin Central Transportation
Corp.* ............................................................... 221,100 5,168,212
------------
$ 11,450,787
------------
Restaurants and Lodging -- 1.0%
Hilton Hotels Corp. .................................................... 82,000 $ 2,439,500
Host Marriott Corp.* ................................................... 174,200 3,418,675
Promus Hotel Corp.* .................................................... 15,586 654,612
------------
$ 6,512,787
------------
Stores -- 4.9%
CVS Corp. .............................................................. 120,400 $ 7,713,125
Gymboree Corp.* ........................................................ 128,200 3,509,475
Home Depot, Inc. ....................................................... 161,050 9,481,819
Office Depot, Inc.* .................................................... 173,200 4,145,975
Rite Aid Corp. ......................................................... 140,800 8,263,200
------------
$ 33,113,594
------------
Supermarkets -- 2.0%
Meyer (Fred), Inc.* .................................................... 94,418 $ 3,434,455
Safeway, Inc.* ......................................................... 157,800 9,980,850
------------
$ 13,415,305
------------
Telecommunications -- 3.3%
Aspect Telecommunications Corp.* ....................................... 305,700 $ 6,381,488
Brooks Fiber Properties, Inc.* ......................................... 35,900 1,974,500
Cisco Systems, Inc.* ................................................... 119,550 6,664,912
Intermedia Communications, Inc.* ....................................... 43,400 2,636,550
WorldCom, Inc.* ........................................................ 140,700 4,256,175
------------
$ 21,913,625
------------
Utilities -- Electric -- 0.5%
CalEnergy Co., Inc.* ................................................... 105,200 $ 3,024,500
------------
Utilities -- Telephone -- 1.7%
MCI Communications Corp. ............................................... 94,300 $ 4,037,219
Sprint Corp. ........................................................... 123,400 7,234,325
------------
$ 11,271,544
------------
Total U.S. Stocks .............................................................. $590,864,802
------------
Foreign Stocks -- 8.1%
Brazil -- 0.5%
Companhia Cervejaria Brahma,
ADR (Beverages) ...................................................... 248,900 $ 3,531,269
------------
France -- 0.9%
Alcatel Alsthom, ADR
(Telecommunications) ................................................. 254,200 $ 6,434,438
------------
Japan -- 2.0%
Canon, Inc. (Office Equipment) ......................................... 232,000 $ 5,422,728
Sankyo Co. Ltd. (Pharmaceuticals) ...................................... 51,000 1,156,774
Sony Corp. (Electronics) ............................................... 74,100 6,608,949
------------
$ 13,188,451
------------
Sweden -- 0.8%
Skandia Forsakrings AB (Insurance) 111,500 $ 5,265,668
------------
Switzerland -- 1.7%
Novartis AG (Pharmaceuticals) .......................................... 7,026 $ 11,420,081
------------
</TABLE>
<TABLE>
<CAPTION>
Issuers Shares Value
<S> <C> <C>
Foreign Stocks -- continued
United Kingdom -- 2.2%
British Petroleum PLC, ADR (Oils) ...................................... 109,871 $ 8,755,345
Jarvis Hotels PLC (Restaurants and
Lodging)+ ............................................................ 908,300 2,241,229
Kwik-Fit Holdings PLC (Automotive
Repair Centers) ...................................................... 625,900 3,634,506
------------
$ 14,631,080
------------
Total Foreign Stocks ........................................................... $ 54,470,987
------------
Total Stocks
(Identified Cost, $558,517,027) .............................................. $645,335,789
------------
Short-Term Obligations -- 2.8%
Principal Amount
(000 Omitted)
Federal Home Loan Mortgage
Corp., due 1/14/98 ................................................... $ 6,000 $ 5,988,062
Federal National Mortgage Assn.,
due 1/05/98 - 1/14/98 ................................................ 8,700 8,683,461
Ford Motor Credit Corp.,
due 1/02/98 .......................................................... 4,200 4,199,213
------------
Total Short-Term Obligations,
at Amortized Cost ............................................................ $ 18,870,736
------------
Total Investments
(Identified Cost, $577,387,763 ) ............................................. $664,206,525
Other Assets,
Less Liabilities -- 0.9% ....................................................... 6,095,708
------------
Net Assets -- 100.0% ........................................................... $670,302,233
============
</TABLE>
See portfolio footnotes and notes to financial statements
27 - RS
<PAGE>
Portfolio of Investments -- December 31, 1997
Research Growth and Income Series
Stocks -- 94.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 87.6%
Aerospace -- 2.2%
Lockheed Martin Corp. .................................................. 530 $ 52,205
United Technologies Corp. .............................................. 1,265 92,108
------------
$ 144,313
------------
Agricultural Products -- 0.5%
Case Corp. ............................................................. 520 $ 31,428
------------
Apparel and Textiles -- 0.2%
Reebok International Ltd.* ............................................. 400 $ 11,525
------------
Banks and Credit Companies -- 6.9%
BankBoston Corp. ....................................................... 525 $ 49,317
Chase Manhattan Corp. .................................................. 530 58,035
Comerica, Inc. ......................................................... 750 67,688
Compass Bancshares, Inc. ............................................... 2,420 105,875
Corestates Financial Corp. ............................................. 310 24,819
Fleet Financial Group, Inc. ............................................ 845 63,322
PNC Bank Corp. ......................................................... 840 47,933
Wells Fargo & Co. ...................................................... 105 35,641
------------
$ 452,630
------------
Building -- 0.1%
Newport News Shipbuilding, Inc. ........................................ 300 $ 7,631
------------
Business Machines -- 0.9%
International Business Machines Corp. 415 $ 43,394
Sun Microsystems, Inc.* ................................................ 310 12,361
------------
$ 55,755
------------
Business Services -- 0.6%
First Data Corp. ....................................................... 1,380 $ 40,365
------------
Cellular Telephones -- 1.6%
Century Telephone Enterprises, Inc. 2,110 $ 105,104
------------
Chemicals -- 3.4%
Air Products & Chemicals, Inc. ......................................... 950 $ 78,137
Dow Chemical Co. ....................................................... 310 31,465
DuPont (E.I.) de Nemours &
Co., Inc. ............................................................ 1,000 60,063
Praxair, Inc. .......................................................... 1,160 52,200
------------
$ 221,865
------------
Computer Software -- Personal
Computers -- 2.9%
Compaq Computer Corp. .................................................. 1,150 $ 64,903
Microsoft Corp.* ....................................................... 945 122,141
------------
$ 187,044
------------
Computer Software -- Systems -- 0.2%
Oracle Corp.* .......................................................... 540 $ 12,049
------------
Consumer Goods and Services -- 10.2%
Clorox Co. ............................................................. 525 $ 41,508
Colgate-Palmolive Co. .................................................. 1,050 77,175
Gillette Co. ........................................................... 1,050 105,459
Philip Morris Cos., Inc. ............................................... 2,200 99,687
Procter & Gamble Co. ................................................... 840 67,043
Revlon, Inc., "A"* ..................................................... 730 25,778
RJR Nabisco Holdings Corp. ............................................. 1,900 71,250
Service Corp. International ............................................ 1,880 69,443
Tyco International Ltd. ................................................ 2,400 108,150
------------
$ 665,493
------------
Electrical Equipment -- 0.8%
Cooper Industries, Inc. ................................................ 1,060 $ 51,940
------------
Electronics -- 2.5%
Intel Corp. ............................................................ 1,370 $ 96,242
Sony Corp. ............................................................. 740 67,155
------------
$ 163,397
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Entertainment -- 1.2%
Clear Channel Communications,
Inc.* ................................................................ 525 $ 41,705
Jacor Communications, Inc.* ............................................ 730 38,781
------------
$ 80,486
------------
Financial Institutions -- 3.4%
Advanta Corp., "B" ..................................................... 500 $ 12,688
American Express Co. ................................................... 310 27,668
Associates First Capital Corp., "A" .................................... 420 29,872
CIT Group, Inc., "A"* .................................................. 1,070 34,507
Federal National Mortgage Assn. ........................................ 1,690 96,436
Merrill Lynch & Co., Inc. .............................................. 320 23,340
------------
$ 224,511
------------
Food and Beverage Products -- 4.8%
Coca-Cola Co. .......................................................... 3,470 $ 231,189
Wrigley, (WM) Junior, Co. .............................................. 1,050 83,540
------------
$ 314,729
------------
Forest and Paper Products -- 1.2%
Bowater, Inc. .......................................................... 170 $ 7,555
Champion International Corp. ........................................... 320 14,500
Kimberly-Clark Corp. ................................................... 1,050 51,778
Temple-Inland, Inc. .................................................... 100 5,231
------------
$ 79,064
------------
Insurance -- 8.1%
Allstate Corp. ......................................................... 840 $ 76,335
Chubb Corp. ............................................................ 1,045 79,028
CIGNA Corp. ............................................................ 400 69,225
Conseco, Inc. .......................................................... 1,050 47,709
Hartford Financial Services
Group, Inc. .......................................................... 425 39,764
Hartford Life, Inc., "A" ............................................... 100 4,531
Lincoln National Corp. ................................................. 300 23,438
Nationwide Financial Services,
Inc., "A" ............................................................ 1,050 37,931
Reliastar Financial Corp. .............................................. 840 34,597
Torchmark Corp. ........................................................ 530 22,293
Transamerica Corp. ..................................................... 105 11,183
Travelers Group, Inc. .................................................. 1,570 84,584
------------
$ 530,618
------------
Medical and Health Products -- 4.1%
Boston Scientific Corp.* ............................................... 1,050 $ 48,169
Bristol-Myers Squibb Co. ............................................... 1,470 139,098
Eli Lilly & Co. ........................................................ 1,150 80,069
------------
$ 267,336
------------
Medical and Health Technology
and Services -- 5.5%
Cardinal Health, Inc. .................................................. 1,260 $ 94,658
HEALTHSOUTH Corp.* ..................................................... 1,996 55,389
Medtronic, Inc. ........................................................ 2,100 109,856
United Healthcare Corp. ................................................ 2,000 99,375
------------
$ 359,278
------------
Metals and Minerals -- 0.4%
Aluminum Cos. of America ............................................... 420 $ 29,558
------------
Oil Services -- 1.2%
Baker Hughes, Inc. ..................................................... 720 $ 31,410
Burlington Resources, Inc. ............................................. 1,050 47,053
------------
$ 78,463
------------
Oils -- 3.7%
Chevron Corp. .......................................................... 700 $ 53,900
Texaco, Inc. ........................................................... 1,150 62,531
USX-Marathon Group ..................................................... 3,700 124,875
------------
$ 241,306
------------
</TABLE>
28 - RGI
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Pollution Control -- 0.8%
Browning Ferris Industries, Inc. ....................................... 1,050 $ 38,850
Waste Management, Inc. ................................................. 525 14,437
------------
$ 53,287
------------
Printing and Publishing -- 1.4%
Tribune Co. ............................................................ 1,475 $ 91,819
------------
Railroads -- 0.8%
Burlington Northern Santa Fe
Railway Co. .......................................................... 530 $ 49,257
------------
Real Estate Investment Trusts -- 4.9%
Arden Realty, Inc. ..................................................... 1,060 $ 32,595
Hospitality Properties Trust ........................................... 930 30,574
Innkeepers USA Trust ................................................... 4,125 63,937
Koger Equity, Inc. ..................................................... 960 21,060
Mid-America Apartment
Communities, Inc. .................................................... 1,790 51,127
Prime Group Reality Trust .............................................. 630 12,758
SL Green Reality Corp. ................................................. 425 11,023
Sovran Self Storage, Inc. .............................................. 1,360 44,115
TriNet Corporate Realty Trust, Inc. .................................... 1,360 52,615
------------
$ 319,804
------------
Restaurants and Lodging -- 1.5%
Hilton Hotels Corp. .................................................... 940 $ 27,965
ITT Corp. * ............................................................ 840 69,615
------------
$ 97,580
------------
Stores -- 3.5%
CVS Corp. .............................................................. 1,050 $ 67,266
Lowes Co., Inc. ........................................................ 740 35,289
Office Depot, Inc.* .................................................... 425 10,173
Penney (J.C.), Inc. .................................................... 520 31,363
Rite Aid Corp. ......................................................... 1,480 86,857
------------
$ 230,948
------------
Supermarkets -- 1.1%
Meyer (Fred), Inc.* .................................................... 325 $ 11,822
Safeway, Inc.* ......................................................... 950 60,087
------------
$ 71,909
------------
Telecommunications -- 2.0%
Cincinnati Bell, Inc. .................................................. 2,845 $ 88,195
Lucent Technologies, Inc. .............................................. 525 41,935
Nextlink Communications, Inc., "A"* 100 2,131
------------
$ 132,261
------------
Utilities -- Electric -- 2.8%
CMS Energy Corp. ....................................................... 1,060 $ 46,706
New Century Energies, Inc. ............................................. 430 20,613
Sierra Pacific Resources ............................................... 1,690 63,375
Unicom Corp. ........................................................... 1,685 51,814
------------
$ 182,508
------------
Utilities -- Telephone -- 2.2%
Sprint Corp. ........................................................... 2,420 $ 141,872
------------
Total U.S. Stocks ..................................................................... $ 5,727,133
------------
Foreign Stocks -- 6.5%
France -- 0.8%
Alcatel Alsthom, ADR
(Telecommunications) ................................................. 2,100 $ 53,156
------------
Italy -- 0.2%
Gucci Group NV (Apparel and
Textiles) ............................................................ 325 $ 13,609
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Sweden -- 1.2%
Skandia Forsakrings AB (Insurance) 900 $ 42,503
Sparbanken Sverige AB, "A"
(Banks and Credit Cos.) .............................................. 1,600 36,419
------------
$ 78,922
------------
Switzerland -- 0.4%
Novartis AG (Pharmaceuticals) .......................................... 16 $ 26,007
------------
United Kingdom -- 3.9%
British Aerospace PLC (Aerospace
and Defense) ......................................................... 1,680 $ 47,948
British Petroleum PLC, ADR (Oils) ...................................... 1,060 84,469
Diageo PLC (Food and Beverages) 4,100 37,567
Lloyds TSB Group PLC (Banks and
Credit Cos.)* ........................................................ 2,410 31,401
PowerGen PLC (Utilities - Electric) .................................... 4,100 53,416
------------
$ 254,801
------------
Total Foreign Stocks ................................................................. $ 426,495
------------
Total Stocks
(Identified Cost, $5,936,362) ...................................................... $ 6,153,628
------------
Short-Term Obligations -- 8.6%
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Home Loan Bank Corp.,
due 1/02/98, at Amortized Cost . $560 $ 559,927
------------
Total Investments
(Identified Cost, $6,496,289) .................. $ 6,713,555
Other Assets,
Less Liabilities -- (2.7)% ....................... (173,565)
------------
Net Assets -- 100.0% ............................. $ 6,539,990
============
</TABLE>
See portfolio footnotes and notes to financial statements
29 - RGI
<PAGE>
Portfolio of Investments -- December 31, 1997
Total Return Series
Stocks -- 54.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 47.5%
Aerospace -- 2.7%
Allied Signal, Inc. ...................................................... 377,000 $ 14,679,437
General Dynamics Corp. ................................................... 127,850 11,051,034
Lockheed Martin Corp. .................................................... 69,000 6,796,500
Raytheon Co., "A" ........................................................ 22,504 1,109,729
Raytheon Co., "B" ........................................................ 193,400 9,766,700
United Technologies Corp. ................................................ 43,600 3,174,625
------------
$ 46,578,025
------------
Automotive -- 1.5%
Ford Motor Co. ........................................................... 246,289 $ 11,991,196
General Motors Corp. ..................................................... 26,736 1,620,870
Goodrich (B.F.) Co. ...................................................... 274,100 11,358,019
------------
$ 24,970,085
------------
Banks and Credit Companies -- 5.9%
Bank of New York, Inc. ................................................... 228,760 $ 13,225,188
BankBoston Corp. ......................................................... 16,200 1,521,788
BB&T Corp. ............................................................... 70,100 4,490,781
Chase Manhattan Corp. .................................................... 50,832 5,566,104
Corestates Financial Corp. ............................................... 75,200 6,020,700
Fleet Financial Group, Inc. .............................................. 61,100 4,578,681
National City Corp. ...................................................... 268,200 17,634,150
NationsBank Corp. ........................................................ 163,300 9,930,681
Northern Trust Corp. ..................................................... 172,700 12,045,825
Norwest Corp. ............................................................ 272,600 10,529,175
PNC Bank Corp. ........................................................... 248,600 14,185,737
------------
$ 99,728,810
------------
Building -- 0.1%
Sherwin Williams Co. ..................................................... 58,500 $ 1,623,375
------------
Business Machines -- 0.8%
International Business Machines
Corp. .................................................................. 135,000 $ 14,115,938
------------
Cellular Telephones -- 0.2%
Telephone & Data Systems, Inc. ........................................... 76,900 $ 3,580,656
------------
Chemicals -- 0.7%
Air Products & Chemicals, Inc. ........................................... 108,000 $ 8,883,000
Dow Chemical Co. ......................................................... 27,700 2,811,550
------------
$ 11,694,550
------------
Computer Hardware --
Systems -- 0.3%
Digital Equipment Corp.* ................................................. 150,500 $ 5,568,500
------------
Conglomerates -- 0.1%
Eastern Enterprises ...................................................... 48,700 $ 2,191,500
------------
Consumer Goods and
Services -- 1.9%
Colgate-Palmolive Co. .................................................... 26,400 $ 1,940,400
Philip Morris Cos., Inc. ................................................. 401,000 18,170,312
Rubbermaid, Inc. ......................................................... 170,800 4,270,000
Service Corp. International .............................................. 34,833 1,286,644
Tyco International Ltd. .................................................. 129,200 5,822,075
------------
$ 31,489,431
------------
Electrical Equipment -- 1.5%
Cooper Industries, Inc. .................................................. 194,500 $ 9,530,500
General Electric Co. ..................................................... 228,000 16,729,500
------------
$ 26,260,000
------------
Entertainment -- 0.2%
Viacom, Inc., "B"* ....................................................... 78,600 $ 3,256,988
------------
Financial Institutions -- 3.2%
American Express Co. ..................................................... 187,800 $ 16,761,150
Beneficial Corp. ......................................................... 18,700 1,554,438
CIT Group, Inc., "A"* .................................................... 29,400 948,150
Edwards (A.G.), Inc. ..................................................... 168,150 6,683,962
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Financial Institutions -- continued
Federal Home Loan Mortgage Corp. ......................................... 128,500 $ 5,388,969
Federal National Mortgage Assn. .......................................... 227,900 13,004,544
Merrill Lynch & Co., Inc. ................................................ 43,000 3,136,312
Morgan Stanley, Dean Witter,
Discover & Co. ......................................................... 112,400 6,645,650
------------
$ 54,123,175
------------
Food and Beverage Products -- 0.5%
General Mills, Inc. ...................................................... 42,700 $ 3,058,387
McCormick & Co., Inc. .................................................... 66,100 1,850,800
Pepsi Co., Inc. .......................................................... 106,100 3,866,019
------------
$ 8,775,206
------------
Forest and Paper Products -- 0.8%
Champion International Corp. ............................................. 83,000 $ 3,760,938
Weyerhaeuser Co. ......................................................... 201,800 9,900,812
------------
$ 13,661,750
------------
Insurance -- 4.5%
Allstate Corp. ........................................................... 39,300 $ 3,571,388
Chubb Corp. .............................................................. 170,200 12,871,375
CIGNA Corp. .............................................................. 87,400 15,125,662
Equitable Cos., Inc. ..................................................... 52,525 2,613,119
Lincoln National Corp. ................................................... 149,100 11,648,437
St. Paul Cos., Inc. ...................................................... 115,400 9,470,013
Torchmark Corp. .......................................................... 301,000 12,660,812
Travelers Group, Inc. .................................................... 159,054 8,569,034
------------
$ 76,529,840
------------
Machinery -- 0.9%
Deere & Co., Inc. ........................................................ 127,200 $ 7,417,350
Lear Corp.* .............................................................. 125,440 5,958,400
York International Corp. ................................................. 54,300 2,148,244
------------
$ 15,523,994
------------
Medical and Health Products -- 2.3%
American Home Products Corp. ............................................. 160,700 $ 12,293,550
Baxter International, Inc. ............................................... 52,300 2,637,881
Bristol-Myers Squibb Co. ................................................. 246,800 23,353,450
------------
$ 38,284,881
------------
Medical and Health Technology
and Services -- 0.2%
United Healthcare Corp. .................................................. 84,300 $ 4,188,656
------------
Metals and Minerals -- 0.5%
Aluminum Cos. of America ................................................. 96,100 $ 6,763,038
Phelps Dodge Corp. ....................................................... 18,800 1,170,300
------------
$ 7,933,338
------------
Oil Services -- 0.3%
Baker Hughes, Inc. ....................................................... 90,000 $ 3,926,250
Tenneco, Inc. ............................................................ 36,000 1,422,000
------------
$ 5,348,250
------------
Oils -- 4.4%
Amoco Corp. .............................................................. 68,700 $ 5,848,088
Atlantic Richfield Co. ................................................... 118,800 9,518,850
Chevron Corp. ............................................................ 56,100 4,319,700
Exxon Corp. .............................................................. 180,600 11,050,462
Mobil Corp. .............................................................. 126,500 9,131,719
Occidental Petroleum Corp. ............................................... 194,000 5,686,625
Texaco, Inc. ............................................................. 274,300 14,915,062
Unocal Corp. ............................................................. 97,400 3,780,338
USX-Marathon Group ....................................................... 297,900 10,054,125
------------
$ 74,304,969
------------
Photographic Products -- 0.4%
Eastman Kodak Co. ........................................................ 119,000 $ 7,236,688
------------
Pollution Control -- 1.1%
Browning Ferris Industries, Inc. ......................................... 320,100 $ 11,843,700
Waste Management, Inc. ................................................... 275,300 7,570,750
------------
$ 19,414,450
------------
</TABLE>
30 - TRS
<PAGE>
Bonds -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Railroads -- 1.0%
Burlington Northern Santa Fe
Railway Co. ............................................................ 58,000 $ 5,390,375
Illinois Central Corp. ................................................... 235,600 8,025,125
Norfolk Southern Corp. ................................................... 121,100 3,731,394
------------
$ 17,146,894
------------
Real Estate -- 0.2%
Meditrust ................................................................ 84,005 $ 3,076,683
------------
Real Estate
Investment Trusts -- 1.1%
Arden Realty, Inc. ....................................................... 135,100 $ 4,154,325
Boston Properties, Inc. .................................................. 83,900 2,773,944
Hospitality Properties Trust ............................................. 100,000 3,287,500
National Health Investors, Inc. .......................................... 23,600 988,250
Prime Group Reality Trust ................................................ 100,100 2,027,025
Tower Reality Trust, Inc. ................................................ 44,600 1,098,275
TriNet Corporate Realty Trust, Inc. ...................................... 106,400 4,116,350
------------
$ 18,445,669
------------
Restaurants and Lodging
Tricon Global Restaurants, Inc.* ......................................... 15,550 $ 451,922
------------
Special Products and Services -- 0.1%
Stanley Works ............................................................ 23,900 $ 1,127,781
------------
Stores -- 1.7%
CVS Corp. ................................................................ 21,100 $ 1,351,719
May Department Stores Co. ................................................ 40,000 2,107,500
Penney (J.C.), Inc. ...................................................... 141,600 8,540,250
Rite Aid Corp. ........................................................... 249,690 14,653,682
Sears, Roebuck & Co. ..................................................... 61,000 2,760,250
------------
$ 29,413,401
------------
Supermarkets -- 0.1%
Meyer (Fred), Inc.* ...................................................... 23,100 $ 840,263
------------
Telecommunications -- 0.7%
AT&T Corp. ............................................................... 192,600 $ 11,796,750
------------
Utilities -- Electric -- 3.8%
Carolina Power & Light Co. ............................................... 148,000 $ 6,280,750
Cinergy Corp. ............................................................ 100,000 3,831,250
CMS Energy Corp. ......................................................... 115,000 5,067,188
DPL, Inc. ................................................................ 72,000 2,070,000
Duke Energy Corp. ........................................................ 139,935 7,748,901
FPL Group, Inc. .......................................................... 156,000 9,233,250
GPU, Inc. ................................................................ 157,900 6,651,537
New Century Energies, Inc. ............................................... 106,500 5,105,344
Pacificorp ............................................................... 240,800 6,576,850
Pinnacle West Capital Corp. .............................................. 201,000 8,517,375
Texas Utilities Co. ...................................................... 62,500 2,597,656
------------
$ 63,680,101
------------
Utilities -- Gas -- 1.6%
Coastal Corp. ............................................................ 207,000 $ 12,821,062
Keyspan Energy Corp. ..................................................... 39,200 1,443,050
Pacific Enterprises ...................................................... 60,000 2,257,500
UGI Corp. ................................................................ 80,000 2,345,000
Williams Cos., Inc. ...................................................... 265,400 7,530,725
------------
$ 26,397,337
------------
Utilities -- Telephone -- 2.3%
BellSouth Corp. .......................................................... 144,100 $ 8,114,631
GTE Corp. ................................................................ 292,600 15,288,350
SBC Communications, Inc. ................................................. 74,103 5,428,045
Sprint Corp. ............................................................. 177,200 10,388,350
------------
$ 39,219,376
------------
Total U.S. Stocks ....................................................................... $807,979,232
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- 6.6%
Canada -- 0.4%
Canadian National Railway Co.
(Railroads) ............................................................ 127,500 $ 6,024,375
------------
France -- 0.3%
Alcatel Alsthom, ADR
(Telecommunications) ................................................... 201,900 $ 5,110,594
------------
Germany -- 0.9%
Hoechst AG (Chemicals) ................................................... 96,500 $ 3,383,139
Henkel Kgaa (Chemicals) .................................................. 200,800 12,682,693
------------
$ 16,065,832
------------
Netherlands -- 1.6%
Akzo Nobel N.V. (Chemicals) .............................................. 80,600 $ 13,909,448
Royal Dutch Petroleum Co., ADR
(Oils) ................................................................. 244,600 13,254,262
------------
$ 27,163,710
------------
Spain -- 0.2%
Repsol S.A., ADR (Oil Services) .......................................... 82,800 $ 3,524,175
------------
Sweden -- 0.1%
Astra AB, "A", ADR (Medical and
Health Products) ....................................................... 1 $ 23
Volvo AB, ADR (Automotive) ............................................... 74,000 1,998,000
------------
$ 1,998,023
------------
Switzerland -- 0.6%
Novartis AG (Pharmaceuticals) ............................................ 6,332 $ 10,292,051
------------
United Kingdom -- 2.5%
British Petroleum PLC, ADR (Oils) ........................................ 279,690 $ 22,287,797
Diageo PLC (Food and Beverages) 452,800 4,148,846
SmithKline Beecham PLC, ADR
(Medical and Health Products) .......................................... 300,800 15,472,400
------------
$ 41,909,043
------------
Total Foreign Stocks ....................................................................
$112,087,803
------------
Total Stocks
(Identified Cost, $681,751,367) ....................................................... $920,067,035
------------
Convertible Preferred Stocks -- 1.1%
Principal Amount
(000 Omitted)
Aerospace -- 0.2%
Loral Space & Communications
Corp., 6% ## ........................................................... $ 43,600 $ 2,670,500
------------
Agricultural Products -- 0.1%
Case Corp., $4.50 ........................................................ $ 11,800 $ 1,715,425
------------
Banks and Credit Companies -- 0.2%
WBK Trust ................................................................ $ 99,200 $ 3,323,200
------------
Consumer Goods and
Services -- 0.3%
Newell Financial Trust Co.*,
(Industrial) ........................................................... $107,200 $ 5,587,800
------------
Metals and Minerals -- 0.1%
Timet Capital Trust I* ................................................... $ 27,600 $ 1,338,600
------------
Restaurants and Lodging -- 0.2%
Host Marriott Financial Trust, 6.75% ## $ 66,700 $ 4,035,350
------------
Total Convertible Preferred Stocks
(Identified Cost, $16,778,306) ........................................................ $ 18,670,875
------------
</TABLE>
31 - TRS
<PAGE>
Portfolio of Investments -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Preferred Stock -- 0.3%
Oils -- 0.1%
USX-Marathon Capital, LLC, 8.75% ......... $63,100 $ 1,601,162
--------------
Printing and Publishing -- 0.1%
NB Capital Corp., 8.35% *## .............. $ 1,700 $ 1,854,700
--------------
Utilities -- Electric -- 0.1%
Long Island Lighting Co. ................. $80,000 $ 2,090,000
--------------
Utilities -- Gas
El Paso Tennessee Pipeline Co.,
8.25% .................................. $16,000 $ 892,000
--------------
Total Preferred Stock
(Identified Cost, $6,033,100) .................. $ 6,437,862
--------------
Bonds -- 33.0%
U.S. Bonds -- 18.7%
Aerospace -- 0.1%
Northrup Grumman Corp., 9.375s,
2024 ................................... $ 1,145 $ 1,327,937
--------------
Airlines -- 0.8%
Continental Airlines Pass-Through
Trust, Inc., 7.461s, 2015 .............. $ 400 $ 423,388
Continental Airlines, Inc., 9.5s, 2001 2,375 2,493,750
Delta Air Lines, Inc., 8.5s, 2002 ........ 1,600 1,707,312
Jet Equipment Trust, 8.64s, 2012## 949 1,069,639
Jet Equipment Trust, 9.41s, 2010##........ 1,000 1,196,200
Jet Equipment Trust, 10.69s,
2015## ................................. 1,000 1,314,680
Jet Equipment Trust, 11.44s,
2014## ................................. 1,200 1,604,616
Northwest Airlines, Inc., 8.7s, 2007 ..... 400 424,752
United Airlines Pass-Through Trust,
7.27s, 2013 ............................ 3,768 3,911,495
--------------
$ 14,145,832
--------------
Apparel and Textiles -- 0.1%
Burlington Industries, Inc., 7.25s,
2027 ................................... $ 1,000 $ 1,051,190
--------------
Automotive -- 0.1%
Ford Motor Co., 7.7s, 2097 ............... $ 1,890 $ 2,076,751
--------------
Banks and Credit Companies -- 1.0%
BT Institutional Capital Trust,
7.75s, 2026## .......................... $ 1,600 $ 1,637,984
Capital One Financial Corp.,
7.25s, 2003 ............................ 1,500 1,513,260
Colonial Capital II, 8.92s, 2027 ......... 1,115 1,221,817
First Chicago NBD Institutional
Capital, 7.95s, 2026## ................. 850 889,551
MBNA Capital, 8.278s, 2026 ............... 3,700 3,870,348
Riggs National Corp., 8.5s, 2006 ......... 1,000 1,048,860
Socgen Real Estate Co., 7.64s,
2049## ................................. 3,300 3,381,906
State Street Bank & Trust l,
7.94s, 2026## .......................... 1,700 1,805,502
Washington Mutual Capital I,
8.375s, 2027 ........................... 1,750 1,929,165
--------------
$ 17,298,393
--------------
Building -- 0.1%
Owens Corning Fiberglass Corp.,
8.875s, 2002 ........................... $ 800 $ 870,504
Owens Corning Fiberglass Corp.,
9.9s, 2015## ........................... 766 860,945
--------------
$ 1,731,449
--------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Cellular Telephones -- 0.1%
U.S. Cellular Corp., 7.25s, 2007 ......... $ 1,620 $ 1,654,393
--------------
Chemicals -- 0.3%
Solutia Inc., 7.375s, 2027 ............... $ 4,490 $ 4,609,703
--------------
Construction Services -- 0.3%
Georgia Pacific Corp., 9.5s, 2022 ........ $ 2,240 $ 2,522,307
Georgia Pacific Corp., 9.875s, 2021 ...... 2,825 3,197,476
--------------
$ 5,719,783
--------------
Consumer Goods and Services -- 0.3%
Philip Morris Cos., Inc., 7.65s, 2008 $ 1,700 $ 1,803,989
Philip Morris Cos., Inc., 7.75s, 2027 2,692 2,907,198
--------------
$ 4,711,187
--------------
Corporate Asset Backed -- 3.0%
AT&T Universal Card Master Trust,
6.006s, 2003 ........................... $18,000 $ 17,988,660
AT&T Universal Card Master Trust,
5.965s, 2004 ........................... 6,000 5,998,080
BCF LLC, 7.75s, 2026## ................... 882 882,539
Benificial Home Equity Loan Trust,
6.089s, 2037 ........................... 14,809 14,780,718
Continental Airlines, Inc., 9.5s, 2013 833 969,250
Continental Airlines, Inc.,
10.22s, 2014 ........................... 2,771 3,361,729
Loewen Group, Inc. Pass-Through
Ctf., 6.7s, 1999## ..................... 3,022 3,006,497
MBNA Master Credit Card Trust II,
5.86s, 2005 ............................ 3,100 3,100,000
Merrill Lynch Mortgage Investors,
Inc., 8.171s, 2022+ .................... 514 490,950
--------------
$ 50,578,423
--------------
Entertainment -- 1.4%
Hearst Argyle Television, Inc.,
7.5s, 2027 ............................. $ 2,511 $ 2,586,832
News America Holdings, Inc.,
8s, 2016 ............................... 2,500 2,683,300
News America Holdings, Inc.,
7.75s, 2045 ............................ 4,200 4,348,848
Time Warner Pass-Through Asset
Trust, 6.1s, 2001## .................... 7,810 7,652,394
Time Warner, Inc., 9.125s, 2013 .......... 3,520 4,191,510
Time Warner, Inc., 9.15s, 2023 ........... 2,000 2,464,180
--------------
$ 23,927,064
--------------
Financial Institutions -- 1.9%
Dynex Capital, Inc., 7.875s, 2002 ........ $ 2,000 $ 2,024,780
First Empire Capital Trust I,
8.234s, 2027 ........................... 3,800 4,091,650
First Merchants Acceptance Corp.,
9.5s, 2006 ............................. 640 256,000
Greenpoint Capital Trust I, 9.1s, 2027 750 826,185
Lehman Brothers Holdings, Inc.,
6.4s, 1999 ............................. 3,000 3,011,400
Lehman Brothers, Inc., 7.125s, 2003 ...... 1,600 1,635,920
Lehman Brothers, Inc., 7.375s, 2004 ...... 250 258,808
Lehman Brothers, Inc., 7.5s, 2026 ........ 4,830 5,111,879
Leucadia Capital Trust, 8.65s, 2027 ...... 1,300 1,390,714
MBNA Corp., 6.963s, 2002## ............... 4,800 4,878,240
Nationwide Mutual Life Insurance
Co., 7.5s, 2024## ...................... 3,200 3,226,720
Salomon, Inc., 7.2s, 2004 ................ 860 892,293
Salton Sea Funding Corp.,
7.37s, 2005 ............................ 1,575 1,605,350
</TABLE>
32 - TRS
<PAGE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Financial Institutions -- continued
Salton Sea Funding Corp.,
7.84s, 2010 ........................... $ 1,575 $ 1,677,438
Salton Sea Funding Corp.,
8.3s, 2011 ............................ 800 868,024
United Cos. Financial Corp.,
7.7s, 2004 ............................ 850 855,593
------------
$ 32,610,994
------------
Financial Services -- 0.2%
Bear Stearns, Inc., 6.75s, 2007 ......... $ 2,055 $ 2,071,152
Contifinancial Corp., 7.5s, 2002 ........ 500 489,375
------------
$ 2,560,527
------------
Forest and Paper Products -- 0.4%
Boise Cascade Co., 7.35s, 2004 .......... $ 1,500 $ 1,566,150
Boise Cascade Co., 7.43s, 2005 .......... 1,280 1,341,005
Boise Cascade Co., 9.85s, 2002 .......... 2,440 2,754,589
Waterford 3 Funding Corp.,
8.09s, 2017 ........................... 1,500 1,568,010
------------
$ 7,229,754
------------
Insurance -- 1.1%
Conseco Finance Trust III,
8.796s, 2027 .......................... $ 995 $ 1,123,912
Equitable Life Assurance Society,
7.7s, 2015## .......................... 2,533 2,691,768
NGC Corp. Capital Trust I,
8.316s, 2027 .......................... 4,100 4,666,169
Providian Capital I, 9.525s, 2027## ..... 3,050 3,331,515
Safeco Capital Trust I, 8.072s, 2037 3,965 4,141,760
Travelers Capital II, 7.75s, 2036 ....... 3,250 3,370,348
------------
$ 19,325,472
------------
Medical and Health Technology
and Services -- 0.1%
Tenet Healthcare Corp., 8s, 2005 ........ $ 2,250 $ 2,289,375
------------
Oil Services -- 0.3%
Seacorp Smit, Inc., 7.2s, 2009 .......... $ 2,855 $ 2,912,100
Ultramar Diamond Shamrock Corp.,
7.2s, 2017 ............................ 1,680 1,725,242
------------
$ 4,637,342
------------
Oils -- 0.8%
Chesapeake Energy Corp., 7.875s,
2004## ................................ $ 1,195 $ 1,174,088
Enserch Exploration, Inc., 7.54s,
2009## ................................ 1,500 1,504,350
Gulf Canada, 9.25s, 2004 ................ 1,095 1,154,809
Lasmo USA, Inc., 7.3s, 2027 ............. 2,009 2,051,691
Louisiana Land & Exploration Co.,
7.65s, 2023 ........................... 2,400 2,607,600
Oryx Energy Co., 8.375s, 2004 ........... 2,300 2,480,389
Oryx Energy Co., 10s, 2001 .............. 900 988,713
Transocean Offshore, Inc., 8s, 2027 ..... 1,305 1,475,955
------------
$ 13,437,595
------------
Precious Metals and Minerals
Freeport McMoRan Copper & Gold,
Inc., 7.5s, 2006 ...................... $ 570 $ 484,648
------------
Restaurants and Lodging -- 0.7%
Circus Circus Enterprises, Inc., 7s,
2036 .................................. $ 3,495 $ 3,573,603
Circus Circus Enterprises, Inc.,
6.7s, 2096 ............................ 1,700 1,698,079
Hilton Hotels Corp., 7.95s, 2007 ........ 5,120 5,431,296
Mirage Resorts, Inc., 6.75s, 2007 ....... 760 757,652
------------
$ 11,460,630
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Telecommunications -- 1.4%
Continental Cablevision, Inc., 8.3s,
2006 .................................. $ 1,000 $ 1,091,410
Fox/Liberty Networks LLC, Inc.,
8.875s, 2007 ## ....................... 690 688,275
TCI Communications Financing III,
9.65s, 2027 ........................... 3,000 3,511,860
Tele-Communications, Inc., 7.38s,
2001 .................................. 750 767,723
Tele-Communications, Inc., 7.385s,
2001 .................................. 5,890 6,030,005
Tele-Communications, Inc., 7.49s,
2003 .................................. 3,400 3,503,972
Tele-Communications, Inc., 8.25s,
2003 .................................. 1,100 1,174,679
WorldCom, Inc., 7.75s, 2007 ............. 5,024 5,447,405
WorldCom, Inc., 8.875s, 2006 ............ 1,600 1,721,472
------------
$ 23,936,801
------------
Transportation -- 0.1%
Federal Express Corp., 7.65s, 2014 $ 1,200 $ 1,282,284
------------
U.S. Federal Agencies -- 2.9%
Federal National Mortgage
Association -- 2.9%
FNMA, 7.5s, 2011 ........................ $23,862 $ 24,481,134
FNMA, 7s, 2012 .......................... 23,805 24,154,149
------------
Total U.S. Federal Agency ....................... $ 48,635,283
------------
U.S. Government Guaranteed -- 10.4%
Government National Mortgage
Association -- 1.4%
GNMA, 7.5s, 2026 - 2027 ................. $16,318 $ 16,716,051
GNMA, 8s, 2025 .......................... 6,700 6,993,125
------------
$ 23,709,176
------------
U.S. Treasury Obligations -- 9.0%
U.S. Treasury Bonds, 6.125s, 2027 ....... $11,200 $ 11,509,792
U.S. Treasury Bonds, 6.375s, 2027 ....... 36,627 38,630,131
U.S. Treasury Bonds, 6.625s, 2027 ....... 3,478 3,775,786
U.S. Treasury Bonds, 9.875s, 2015 ....... 5,900 8,397,352
U.S. Treasury Bonds, 12.375s, 2004 ...... 1,900 2,560,839
U.S. Treasury Notes, 5.875s, 1999 ....... 24,500 24,576,440
U.S. Treasury Notes, 6.125s, 2007 ....... 10,601 10,894,224
U.S. Treasury Notes, 6.25s, 2002 ........ 9,465 9,658,749
U.S. Treasury Notes, 6.5s, 2006 ......... 11,921 12,481,645
U.S. Treasury Notes, 7.25s, 2004 ........ 6,538 7,055,940
U.S. Treasury Notes, 9.125s, 1999 ....... 17,950 18,754,878
U.S. Treasury Notes, 9.25s, 1998 ........ 3,900 3,984,708
------------
$152,280,484
------------
Total U.S. Government Guaranteed ................ $175,989,660
------------
Utilities -- Electric -- 3.4%
Beaver Valley II Funding Corp.,
8.25s, 2003 ........................... $ 2,775 $ 2,849,897
Beaver Valley II Funding Corp.,
8.625s, 2007 .......................... 1,132 1,204,980
Beaver Valley II Funding Corp., 9s,
2017 .................................. 1,750 1,945,580
CalEnergy Co., Inc., 7.63s, 2007 ........ 1,000 1,009,220
Cleveland Electric Illuminating Co.,
7.88s, 2017## ......................... 2,470 2,607,579
Cleveland Electric Illuminating Co.,
9s, 2023 .............................. 2,325 2,530,158
Comed Financing II, 8.5s, 2027## ........ 1,500 1,606,140
Commonwealth Edison Co., 6.4s,
2005 .................................. 1,600 1,566,944
</TABLE>
33 - TRS
<PAGE>
Portoflio of Investments -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Utilities -- Electric -- continued
Commonwealth Edison Co., 7.625s,
2007 ................................................................. $3,635 $ 3,836,306
Edison Mission Energy, 7.33s,
2008## ............................................................... 475 496,081
El Paso Electric Co., 8.9s, 2006 ....................................... 525 574,040
First PV Funding Corp., 10.3s, 2014 1,050 1,135,292
First PV Funding Corp., 10.15s,
2016 ................................................................. 1,392 1,506,798
Long Island Lighting Co., 7.5s, 2007 1,000 1,035,840
Long Island Lighting Co., 8.9s, 2019 3,740 3,979,697
Long Island Lighting Co., 9s, 2022 ..................................... 8,780 9,803,484
Long Island Lighting Co., 9.625s,
2024 ................................................................. 394 399,646
Midland Cogeneration Venture
Corp., 10.33s, 2002 .................................................. 565 607,485
Midland Funding Corp. II, "A",
11.75s, 2005 ......................................................... 1,125 1,351,519
Montana Power Co., 7.875s, 2026 ........................................ 200 223,870
Niagara Mohawk Power Corp.,
6.875s, 2001 ......................................................... 2,350 2,366,685
Niagara Mohawk Power Corp.,
6.875s, 2003 ......................................................... 1,300 1,296,243
Niagara Mohawk Power Corp.,
8.77s, 2018 .......................................................... 4,730 5,091,561
Niagara Mohawk Power Corp., 8.5s,
2023 ................................................................. 1,400 1,497,566
Niagara Mohawk Power Corp.,
7.875s, 2024 ......................................................... 1,175 1,187,714
North Atlantic Energy, 9.05s, 2002 ..................................... 500 513,820
Southern Co. Capital Trust, 8.19s,
2037## ............................................................... 1,142 1,207,254
Texas & New Mexico Power Co.,
12.5s, 1999 .......................................................... 500 528,090
Texas Utilities Electric Co., 7.17s,
2007 ................................................................. 1,900 1,976,722
Toledo Edison Co., 7.875s, 2004 ........................................ 1,175 1,227,487
------------
$ 57,163,698
------------
Utilities -- Gas -- 0.7%
California Energy, Inc., 10.25s, 2004 $1,450 $ 1,581,080
Louis Dreyfus Natural Gas Corp.,
6.875s, 2007## ....................................................... 1,800 1,800,000
Tennessee Gas Pipeline Co.,
7.625s, 2037 ......................................................... 2,126 2,294,804
Texas Gas Transmission Corp.,
7.25s, 2027 .......................................................... 1,700 1,768,799
Utilicorp United, Inc., 8.45s, 1999 .................................... 3,790 3,938,037
------------
$ 11,382,720
------------
Total U.S. Bonds .............................................................. $541,258,888
------------
Foreign Bonds -- 1.0%
Argentina -- 0.3%
Hidroelectrica Alicura, 8.375s,
1999## ............................................................... $4,296 $ 4,253,040
------------
Chile -- 0.1%
Empresa Nacional De Electric,
7.325s, 2037 ......................................................... $1,610 $ 1,625,842
Empresa Electrica Del Norts, 7.75s,
2006## ............................................................... 575 558,227
------------
$ 2,184,069
------------
Colombia -- 0.1%
Republic of Colombia, 8.75s, 1999 ...................................... $1,000 $ 1,029,820
------------
Finland -- 0.1%
UPM-Kymmene Oyj, 7.45s, 2027## ......................................... $2,000 $ 2,016,250
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Indonesia -- 0.1%
PT Polysindo Eka Perkasa, 13s,
2001 ................................................................. $1,663 $ 1,513,330
------------
Mexico -- 0.1%
Banco Commercial S.A., 8.25s, 2007## $1,190 $ 1,152,753
------------
Panama
Republic of Panama, 7.875s,
2002## ............................................................... $ 940 $ 910,625
------------
Thailand -- 0.2%
Jasmine Submarine Telecom Ltd.,
8.483s, 2011## ....................................................... $2,449 $ 2,075,519
LCI International, Inc., 7.25s, 2007 ................................... 1,000 1,036,300
------------
$ 3,111,819
------------
Total Foreign Bonds ........................................................... $ 16,171,706
------------
Total Bonds
(Identified Cost, $543,023,602) ............................................. $557,430,594
------------
Convertible Bonds -- 0.4%
Automotive -- 0.2%
Daimler Benz, 0s, 2017## ............................................... $6,670 $ 2,943,138
------------
Oil Services -- 0.2%
Diamond Offshore Drilling, Inc.,
3.75s, 2007 .......................................................... $2,120 $ 2,734,800
------------
Total Convertible Bonds
(Identified Cost, $4,969,306) ............................................... $ 5,677,938
------------
Short-Term Obligations -- 10.9%
</TABLE>
<TABLE>
<S> <C> <C>
Federal Farm Credit Bank, due
2/05/98 .................................. $4,700 $ 4,674,411
Federal Home Loan Bank, due
1/14/98 - 2/18/98 ........................ 47,690 47,423,750
Federal Home Loan Mortgage
Corp., due 1/07/98 - 1/28/98 ............. 63,340 63,179,073
Federal National Mortgage Assn.,
due 1/12/98 - 1/30/98 .................... 47,850 47,711,562
Ford Motor Credit Corp., due 1/02/98 ....... 11,500 11,497,844
Merrill Lynch & Co., Inc., due 1/26/98 ..... 10,490 10,447,239
--------------
Total Short-Term Obligations, at
Amortized Cost ................................... $ 184,933,879
--------------
Total Investments
(Identified Cost, $1,437,489,560) ................ $1,693,218,183
Other Assets,
Less Liabilities -- 0.2% ........................... 2,889,959
--------------
Net Assets -- 100.0% ............................... $1,696,108,142
==============
</TABLE>
See portfolio footnotes and notes to financial statements
34 - TRS
<PAGE>
Portfolio of Investments -- December 31, 1997
Utilities Series
Stocks -- 83.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 58.1%
Cellular Telephones -- 1.7%
Century Telephone Enterprises, Inc. 42,300 $ 2,107,069
------------
Conglomerates -- 0.6 %
Eastern Enterprises .................................................... 17,000 $ 765,000
------------
Consumer Goods and
Services -- 0.9 %
Philip Morris Cos., Inc. ............................................... 23,600 $ 1,069,375
------------
Oils -- 0.7 %
Enron Oil & Gas Co. .................................................... 40,200 $ 851,738
------------
Real Estate Investment
Trusts -- 8.9 %
American General Hospitality Corp. 15,700 $ 419,975
Boston Properties, Inc. ................................................ 1,500 49,594
Boykin Lodging Co. ..................................................... 23,700 626,569
FelCor Suite Hotels, Inc. .............................................. 30,300 1,075,650
Highwoods Properties, Inc. ............................................. 37,300 1,387,094
Hospitality Properties Trust ........................................... 29,800 979,675
Kilroy Realty Corp. .................................................... 42,600 1,224,750
Koger Equity, Inc. ..................................................... 12,600 276,412
Liberty Property Trust ................................................. 13,000 371,312
Mid-America Apartment
Communities, Inc. .................................................... 14,700 419,869
National Health Investors, Inc. ........................................ 12,600 527,625
Prime Group Realty Trust ............................................... 25,200 510,300
Sovran Self Storage, Inc. .............................................. 23,300 755,794
Storage Trust Realty ................................................... 28,800 757,800
Tower Realty Trust, Inc. ............................................... 28,800 709,200
TriNet Corporate Realty Trust, Inc. .................................... 23,400 905,287
------------
$ 10,996,906
------------
Telecommunications -- 8.5 %
Brooks Fiber Properties, Inc.* ......................................... 15,000 $ 825,000
Cellular Communications
International, Inc.* ................................................. 17,400 813,450
Cincinnati Bell, Inc. .................................................. 40,000 1,240,000
GTE Corp. .............................................................. 53,800 2,811,050
Intermedia Communications, Inc.* ....................................... 12,400 753,300
IXC Communications, Inc.* .............................................. 20,500 643,188
LCI International, Inc.* ............................................... 30,600 940,950
Nextlink Communications, Inc., "A"* 13,700 291,981
Teleport Communications Group,
Inc., "A"* ........................................................... 20,200 1,108,475
Winstar Communications, Inc.* .......................................... 6,600 164,588
WorldCom, Inc.* ........................................................ 27,530 832,782
------------
$ 10,424,764
------------
Utilities -- Electric -- 16.7%
AES Corp.* ............................................................. 12,000 $ 559,500
CalEnergy Co., Inc.* ................................................... 49,000 1,408,750
Carolina Power & Light Co. ............................................. 22,700 963,331
Central & South West Corp. ............................................. 22,000 595,375
Central Hudson Gas & Electric Corp. 19,700 864,338
Cinergy Corp. .......................................................... 35,500 1,360,094
CMS Energy Corp. ....................................................... 23,000 1,013,437
Florida Progress Corp. ................................................. 43,500 1,707,375
GPU, Inc. .............................................................. 37,900 1,596,537
Houston Industries, Inc. ............................................... 25,000 667,188
Illinova Corp. ......................................................... 5,000 134,688
Long Island Lighting Co. ............................................... 25,000 753,125
New Century Energies, Inc. ............................................. 47,300 2,267,444
Public Service Co. of New Mexico ....................................... 61,000 1,444,937
Sierra Pacific Resources ............................................... 47,500 1,781,250
Southern Co. ........................................................... 27,200 703,800
Texas Utilities Co. .................................................... 22,900 951,781
Unicom Corp. ........................................................... 57,500 1,768,125
------------
$ 20,541,075
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Utilities -- Gas -- 14.0 %
Coastal Corp. .......................................................... 28,900 $ 1,789,994
Columbia Gas System, Inc. .............................................. 46,700 3,668,869
El Paso Natural Gas Co. ................................................ 15,000 997,500
Energen Corp. .......................................................... 5,500 218,625
Enron Corp. ............................................................ 27,500 1,142,969
Keyspan Energy Corp. ................................................... 20,000 736,250
KN Energy, Inc. ........................................................ 26,100 1,409,400
National Fuel Gas Co. .................................................. 16,000 779,000
NGC Corp. .............................................................. 88,800 1,554,000
NICOR, Inc. ............................................................ 21,500 907,031
NUI Corp. .............................................................. 39,000 1,118,812
Oneok, Inc.* ........................................................... 19,000 767,125
Questar Corp. .......................................................... 29,100 1,298,587
Sonat, Inc. ............................................................ 17,800 814,350
------------
$ 17,202,512
------------
Utilities -- Telephone -- 6.1 %
Bell Atlantic Corp. .................................................... 11,878 $ 1,080,898
BellSouth Corp. ........................................................ 16,500 929,156
MCI Communications Corp. ............................................... 60,700 2,598,719
SBC Communications, Inc. ............................................... 18,068 1,323,481
Sprint Corp. ........................................................... 16,400 961,450
US West Communications Group ........................................... 12,600 568,575
------------
$ 7,462,279
------------
Total U.S. Stocks ......................................................................
$ 71,420,718
------------
Foreign Stocks -- 25.6%
Argentina -- 1.3 %
Telefonica de Argentina, ADR
(Utilities - Telephone) .............................................. 41,400 $ 1,542,150
------------
Brazil -- 4.6 %
Cent Elet Sta Cata, "B"
(Utilities - Electric) ............................................... 278,000 $ 346,254
Cia Electricas est Rio Janeiro
(Utilities - Electric) ............................................... 921,600 594,581
Cia Paranaense de
Energia - COPEL "B"
(Utilities - Electric) ............................................... 72,100 978,777
Cia Riograndense Telecom
(Utilities - Telephone)* ............................................. 1,340,600 1,651,725
Espirito Santo Centrais Electricas
S.A. (Utilities - Electric) .......................................... 5,400 677,419
Telecomunicacoes Brasileiras S.A.,
ADR (Utilities - Telephone) .......................................... 10,500 1,222,594
Telecomunicacoes de Sao Paulo
S.A. (Utilities - Telephone)* ........................................ 911,600 242,595
------------
$ 5,713,945
------------
Canada -- 1.8%
BCE, Inc. (Utilities - Telephone) ...................................... 40,400 $ 1,345,825
Bell Canada International, Inc.
(Telecommunications)* ................................................ 60,500 922,625
------------
$ 2,268,450
------------
Chile -- 2.9 %
Chilectra S.A., ADR
(Utilities - Electric) ............................................... 71,500 $ 1,828,326
Cia de Telecom de Chile, ADR
(Utilities - Telephone) .............................................. 30,500 911,188
Empresa Nacional de Electricidad
S.A., ADR (Utilities - Electric) ..................................... 43,500 769,406
------------
$ 3,508,920
------------
France -- 0.6 %
Alcatel Alsthom, ADR
(Telecommunications) ................................................. 30,500 $ 772,031
------------
</TABLE>
35 - US
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Greece -- 0.3%
Hellenic Telecommunication
Organization S.A., GDR
(Utilities - Telephone) .............................................. 18,600 $ 381,626
------------
Hungary -- 0.6%
Magyar Tavkozlesi Rt., ADR
(Telecommunications)* ................................................ 29,100 $ 756,600
------------
Italy -- 2.4% Telecom Italia S.p.A.
(Telecommunications)* ................................................ 143,475 $ 633,157
Telecom Italia S.p.A.
(Telecommunications)* ................................................ 182,100 1,164,204
Telecom Italia S.p.A., Saving Shares
(Telecommunications) ................................................. 396,100 1,127,232
------------
$ 2,924,593
------------
Japan -- 0.7%
Nippon Telephone & Telegraph Co.
(Utilities - Telephone) .............................................. 98 $ 843,918
------------
Mexico -- 1.1%
Grupo Iusacell S.A., ADR
(Telecommunications)* ................................................ 30,300 $ 657,131
Telefonos de Mexico S.A., ADR
(Utilities - Telephone) .............................................. 13,000 728,813
------------
$ 1,385,944
------------
New Zealand -- 0.3%
Telecom Corp. of New Zealand,
ADR (Utilities - Telephone) .......................................... 8,300 $ 321,625
------------
Peru -- 1.0%
Luz del Sur S.A. (Utilities - Electric) 425,300 $ 491,631
Telefonica del Peru S.A., ADR
(Telecommunications) ................................................. 29,950 698,210
------------
$ 1,189,841
------------
Portugal -- 2.2% Portugal Telecom S.A.
(Utilities - Telephone) .............................................. 13,200 $ 613,152
Portugal Telecom S.A., ADR
(Utilities - Telephone) .............................................. 18,800 883,600
Telecel - Comunicacaoes Pessoais
S.A. (Telecommunications)* ........................................... 11,700 1,247,958
------------
$ 2,744,710
------------
Spain -- 2.4%
Endesa S.A., ADR
(Utilities - Electric) ............................................... 47,000 $ 854,813
Iberdrola S.A. (Utilities - Electric) .................................. 118,700 1,564,717
Telefonica de Espana S.A., ADR
(Utilities - Telephone) .............................................. 6,500 591,906
------------
$ 3,011,436
------------
United Kingdom -- 3.3%
Cable & Wireless Communications
PLC (Telecommunications)* ............................................ 120,100 $ 521,570
Cable & Wireless Communications,
PLC, ADR (Telecommunications) ........................................ 50,700 1,378,406
Colt Telecom Group PLC, ADR
(Telecommunications)* ................................................ 10,300 439,037
National Grid Group PLC
(Utilities - Electric) ............................................... 90,000 427,864
National Power PLC
(Utilities - Electric) ............................................... 56,300 555,681
PowerGen PLC (Utilities - Electric)* ................................... 52,000 677,477
------------
$ 4,000,035
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Venezuela -- 0.1%
Cia Anonima Nacional Telefonos
de Venezuela, ADR
(Telecommunications) ................................................. 3,800 $ 158,175
------------
Total Foreign Stocks .................................................................. $ 31,523,999
------------
Total Stocks
(Identified Cost, $89,098,620) ...................................................... $102,944,717
------------
Bonds -- 12.3%
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
U.S. Bonds -- 11.8%
Airlines -- 0.2%
Delta Air Lines, Inc., 8.5s, 2002 ...................................... $ 250 $ 266,768
------------
Construction Services -- 0.5%
Georgia Pacific Corp., 9.5s, 2022 ...................................... $ 500 $ 563,015
------------
Electronics -- 1.1%
ADT Operations, Inc., 0s, 2010 ......................................... $1,145 $ 1,415,506
------------
Financial Institutions -- 0.3%
Salton Sea Funding Corp., 6.69s,
2000 ................................................................. $ 314 $ 314,938
------------
Forest and Paper Products -- 0.2%
Boise Cascade Co., 7.43s, 2005 ......................................... $ 225 $ 235,724
------------
Oils -- 0.2%
Oryx Energy Co., 10s, 2001 ............................................. $ 250 $ 274,642
------------
Telecommunications -- 0.5%
Tele-Communications, Inc., 10.125s,
2001 ................................................................. $ 600 $ 662,778
------------
U.S. Federal Agency -- 0.1%
Federal National Mortgage
Association, 7s, 2012 ................................................ $ 97 $ 98,722
------------
U.S. Government Guaranteed -- 5.4%
Government National Mortgage
Association -- 0.6%
GNMA, 7.5s, 2026 ....................................................... $ 581 $ 594,664
GNMA, 8s, 2025 ......................................................... 200 208,750
------------
$ 803,414
------------
U.S. Treasury Obligations -- 4.8%
U.S. Treasury Bonds, 9.875s, 2015 ...................................... $ 730 $ 1,038,994
U.S. Treasury Bonds, 6.375s, 2027 ...................................... 1,120 1,181,253
U.S. Treasury Bonds, 6.625s, 2027 ...................................... 174 188,898
U.S. Treasury Notes, 9.25s, 1998 ....................................... 400 408,688
U.S. Treasury Notes, 9.125s, 1999 ...................................... 2,570 2,685,239
U.S. Treasury Notes, 5.5s, 2000 ........................................ 350 348,029
------------
$ 5,851,101
------------
Total U.S. Government Guaranteed .................................................... $ 6,654,515
------------
Utilities -- Electric -- 1.5%
AEP Generating, 9.82s, 2022 ............................................ $ 596 $ 764,704
Commonwealth Edison Co., 7.625s,
2007 ................................................................. 225 237,461
First PV Funding Corp., 10.15s,
2016 ................................................................. 7 7,577
Long Island Lighting Co., 9s, 2022 ..................................... 440 491,291
Montana Power Co., 7.875s, 2026 ........................................ 250 279,838
Niagara Mohawk Power Corp., 8.5s,
2023 ................................................................. 60 64,181
Texas & New Mexico Power Co.,
12.5s, 1999 .......................................................... 50 52,809
------------
$ 1,897,861
------------
</TABLE>
36 - US
<PAGE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Utilities -- Gas -- 1.8%
NGC Corp. Capital Trust I, 8.316s,
2027 .................................... $ 830 $ 944,615
Tennessee Gas Pipeline Co.,
7.625s, 2037 ............................ 500 539,700
Texas Gas Transmission Corp.,
7.25s, 2027 ............................. 550 572,258
Utilicorp United, Inc., 8.45s, 1999 ....... 100 103,906
------------
$ 2,160,479
------------
Total U.S. Bonds ................................. $ 14,544,948
------------
Foreign Bonds -- 0.5%
Argentina
Hidroelectrica Alicura, 8.375s, 1999
(Utilities - Electric)## ................ $ 25 $ 24,750
------------
Chile -- 0.5%
Empresa Electric Guacolda S.A.,
7.6s, 2001 (Utilities - Electric)## ..... $ 250 $ 250,945
Empresa Electrica Del Norts, 7.75s,
2006 (Utilities - Electric)## ........... 300 291,249
------------
$ 542,194
------------
Total Foreign Bonds .............................. $ 566,944
------------
Total Bonds
(Identified Cost, $14,070,625) ................. $ 15,111,892
------------
Convertible Bond -- 0.3%
Huaneng Power International, Inc.,
1.75s, 2004 (Utilities - Electric)##
(Identified Cost $330,000) .............. $ 330 $ 323,400
------------
Convertible Preferred Stocks -- 0.2%
Shares
Cia Inversiones Telephone, 7%
(Utilities - Telephone)## (Identified
Cost, $202,450) ......................... 3,800 $ 264,100
------------
Preferred Stock -- 0.6%
Insurance -- 0.6%
Conseco, Inc.*
(Identified Cost, $765,000) ............. 15,300 $ 784,125
------------
Short-Term Obligation -- 2.4%
Principal Amount
(000 Omitted)
Ford Motor Credit Corp., due
1/02/98, at Amortized Cost .............. $3,000 $ 2,999,438
------------
Total Investments
(Identified Cost, $107,466,133) ........................... $122,427,672
------------
Other Assets,
Less Liabilities -- 0.5% .................................... 580,795
------------
Net Assets -- 100.0% ........................................ $123,008,467
============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- December 31, 1997
Value Series
Stocks -- 87.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 70.5%
Aerospace -- 4.3%
Allied Signal, Inc. .................................................... 9,751 $ 379,680
Howmet International, Inc.* ............................................ 41,600 624,000
Raytheon Co. ........................................................... 45,400 2,238,787
Thiokol Corp. .......................................................... 6,745 548,031
------------
$ 3,790,498
------------
Banks and Credit Companies -- 3.5%
Fleet/Norstar Financial Group, Inc. .................................... 15,669 $ 1,174,196
National City Corp. .................................................... 13,500 887,625
Wells Fargo & Co. ...................................................... 2,882 978,259
------------
$ 3,040,080
------------
Building -- 0.3%
Newport News Shipbuilding, Inc. ........................................ 8,827 $ 224,537
------------
Business Services -- 0.5%
Galileo International, Inc. ............................................ 16,300 $ 450,288
------------
Chemicals -- 0.8%
Cambrex Corp. .......................................................... 10,372 $ 477,112
Ferro Corp. ............................................................ 1 12
NL Industries, Inc.* ................................................... 16,074 219,008
------------
$ 696,132
------------
Computer Software -- Personal
Computers -- 1.5%
Compaq Computer Corp. .................................................. 23,716 $ 1,338,472
------------
Computer Software --
Systems -- 3.0%
Adobe Systems, Inc. .................................................... 22,400 $ 924,000
Computer Associates International,
Inc. ................................................................. 15,436 816,178
Synopsys, Inc.* ........................................................ 24,428 873,301
------------
$ 2,613,479
------------
Consumer Goods and
Services -- 11.8%
Dollar Thrifty Automotive Group* ....................................... 4,900 $ 100,450
Philip Morris Cos., Inc. ............................................... 27,389 1,241,064
Tyco International Ltd. ................................................ 199,806 9,003,758
------------
$ 10,345,272
------------
Containers -- 1.1%
Jefferson Smurfit Corp.* ............................................... 29,323 $ 414,187
Stone Container Corp. .................................................. 55,154 575,670
------------
$ 989,857
------------
Electronics -- 2.3%
Analog Devices, Inc.* .................................................. 30,280 $ 838,377
Teradyne, Inc.* ........................................................ 27,798 889,536
Xilinx, Inc.* .......................................................... 9,100 319,069
------------
$ 2,046,982
------------
Entertainment -- 6.9%
American Radio Systems Corp., "A" * .................................... 75,429 $ 4,021,309
Casino America, Inc.* .................................................. 9,000 21,937
Harrah's Entertainment, Inc.* .......................................... 68,164 1,286,595
Hearst-Argyle Television, Inc.* ........................................ 4,400 130,900
LIN Television Corp.* .................................................. 6,774 369,183
Telemundo Group, Inc.* ................................................. 5,065 207,032
------------
$ 6,036,956
------------
Financial Institutions -- 1.5%
Federal Home Loan Mortgage Corp. ....................................... 11,733 $ 492,053
First Union Corp. ...................................................... 16,100 825,125
------------
$ 1,317,178
------------
Forest and Paper Products -- 0.7%
Temple-Inland, Inc. .................................................... 11,565 $ 604,994
------------
Insurance -- 5.5%
CIGNA Corp. ............................................................ 4,481 $ 775,493
Hartford Financial Services Group, Inc.................................. 9,415 880,891
Lincoln National Corp. ................................................. 14,109 1,102,266
</TABLE>
37 - VS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Insurance -- continued
PennCorp Financial Group, Inc. ......................................... 26,752 $ 954,712
Reliastar Financial Corp. .............................................. 27,899 1,149,090
------------
$ 4,862,452
------------
Medical and Health Products -- 1.2%
Bristol-Myers Squibb Co. ............................................... 10,708 $ 1,013,244
------------
Medical and Health Technology and
Services -- 4.3%
AmeriSource Health Corp.,"A"* .......................................... 12,403 $ 722,475
Tenet Healthcare Corp.* ................................................ 31,640 1,048,075
United Healthcare Corp. ................................................ 40,823 2,028,393
------------
$ 3,798,943
------------
Oils -- 1.0%
Enron Oil & Gas Co. .................................................... 39,465 $ 836,165
------------
Pollution Control -- 0.9%
Waste Management, Inc. ................................................. 27,503 $ 756,333
------------
Railroads -- 0.6%
Wisconsin Central Transportation
Corp.* ............................................................... 22,630 $ 528,976
------------
Restaurants and Lodging -- 3.4%
Hilton Hotels Corp. .................................................... 13,688 $ 407,218
ITT Corp. * ............................................................ 12,293 1,018,782
Outback Steakhouse, Inc.* .............................................. 13,800 396,750
Promus Hotel Corp.* .................................................... 28,232 1,185,744
------------
$ 3,008,494
------------
Stores -- 2.5%
Gymboree Corp.* ........................................................ 5,100 $ 139,613
Office Depot, Inc.* .................................................... 18,700 447,631
Rite Aid Corp. ......................................................... 27,580 1,618,601
------------
$ 2,205,845
------------
Supermarkets -- 7.0%
Meyer (Fred), Inc.* .................................................... 131,700 $ 4,790,588
Safeway, Inc.* ......................................................... 21,537 1,362,215
------------
$ 6,152,803
------------
Telecommunications -- 5.4%
Ascend Communications, Inc.* ........................................... 8,200 $ 200,900
Cellular Communications International* 65,748 3,073,719
Granite Broadcasting Corp.* ............................................ 79,370 719,291
LCI International, Inc.* ............................................... 23,700 728,775
------------
$ 4,722,685
------------
Utilities -- Telephone -- 0.5%
Sprint Corp. ........................................................... 8,162 $ 478,497
------------
Total U.S. Stocks ..................................................................... $ 61,859,162
------------
Foreign Stocks -- 16.6%
Canada -- 2.0%
Canadian National Railway Co.
(Railroads) .......................................................... 36,266 $ 1,713,569
------------
Finland -- 0.7%
Nokia Corp., ADR
(Telecommunications) ................................................. 9,200 $ 644,000
------------
France -- 4.9%
Alcatel Alsthom Compagnie
(Telecommunications) ................................................. 12,277 $ 1,561,154
Alcatel Alsthom, ADR
(Telecommunications) ................................................. 14,504 367,133
Sanofi (Medical and Health Products) ................................... 21,100 2,349,900
------------
$ 4,278,187
------------
Germany -- 1.6%
Henkel Kgaa (Chemicals) ................................................ 15,443 $ 975,393
Wella AG (Cosmetics) ................................................... 511 388,155
------------
$ 1,363,548
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Hong Kong -- 0.7%
Cafe De Coral Holding Co.
(Restaurants) ........................................................ 532,000 $ 116,033
Dah Sing Financial Group (Banks
and Credit Cos.) ..................................................... 86,000 206,995
Liu Chong Hing Bank (Banks and
Credit Cos.) ......................................................... 107,000 156,043
Wing Hang Bank Ltd. (Banks and
Credit Cos.) ......................................................... 53,500 151,210
------------
$ 630,281
------------
Italy -- 1.1% Telecom Italia S.p.A.
(Telecommunications)* ................................................ 211,900 $ 935,117
------------
Malaysia -- 0.3%
New Straits Times Press Berhad
(Printing and Publishing) ............................................ 74,000 $ 92,046
Tanjong PLC (Entertainment) ............................................ 122,000 203,071
------------
$ 295,117
------------
Netherlands -- 1.5%
Akzo Nobel N.V. (Chemicals) ............................................ 4,663 $ 804,712
Benckiser NV (Consumer Goods
and Services)* ....................................................... 12,300 509,413
------------
$ 1,314,125
------------
Portugal -- 0.4%
Banco Totta E Acores (Banks and
Credit Cos.) ......................................................... 19,319 $ 379,760
------------
Singapore -- 0.1%
Mandarin Oriental International Ltd.
(Restaurants and Lodgings)* .......................................... 136,816 $ 91,667
------------
South Korea -- 0.5%
SK Telecommunications
(Telecommunications) ................................................. 430 $ 129,824
SK Telecom Ltd, ADR
(Telecommunications)* ................................................ 49,178 319,657
------------
$ 449,481
------------
Sweden -- 0.6%
Sparbanken Sverige AB, "A"
(Banks and Credit Cos.) .............................................. 21,452 $ 488,283
------------
Switzerland -- 1.0%
Novartis AG (Pharmaceuticals) .......................................... 560 $ 910,226
------------
United Kingdom -- 1.2%
British Petroleum PLC, ADR (Oils) ...................................... 12,142 $ 967,566
Corporate Services Group PLC
(Business Services) .................................................. 33,653 117,915
------------
$ 1,085,481
------------
Total Foreign Stocks .................................................................. $ 14,578,842
------------
Total Stocks
(Identified Cost, $69,378,473) ...................................................... $ 76,438,004
------------
Short-Term Obligations -- 13.4%
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Home Loan Mortgage
Corp., due 1/02/98 - 1/05/98 ................... $8,710 $ 8,705,520
Federal National Mortgage Assn.,
due 1/09/98 .................................... 3,000 2,998,173
-----------
Total Short-Term Obligations, at Amortized Cost .......... $11,703,693
-----------
Total Investments
(Identified Cost, $81,082,166) ......................... $88,141,697
Other Assets,
Less Liabilities -- (0.5)% (398,104)
-----------
Net Assets -- 100.0% ..................................... $87,743,593
===========
</TABLE>
See portfolio footnotes and notes to financial statements
38 - VS
<PAGE>
Portfolio of Investments -- December 31, 1997
World Growth Series
Stocks -- 95.6%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- 55.4%
Argentina -- 0.8%
Banco de Galicia y Buenos Aires
S.A. de C.V., ADR (Banks and
Credit Cos.) ............................. 6,222 $ 160,217
Banco Rio de La Plata S.A., ADR
(Banks and Credit Cos.)* ................. 31,800 445,200
Perez Companc S.A. (Oils) .................. 43,734 312,323
Siderar S.A.I.C., ADR (Steel)*## ........... 4,200 128,100
Telecom Argentina S.A., ADR
(Telecommunications) ..................... 6,860 245,245
Telefonica de Argentina, ADR
(Utilities -- Telephone) ................. 4,950 184,388
Transportadora de Gas del Sur S.A.,
ADR (Pipelines) .......................... 14,300 159,981
YPF Sociedad Anonima, ADR (Oils) 15,420 527,171
------------
$ 2,162,625
------------
Australia -- 0.6%
Q.B.E. Insurance Group Ltd.
(Insurance) .............................. 331,246 $ 1,490,578
------------
Austria -- 0.2%
Austria Tabak AG (Tobacco)* ................ 10,700 $ 474,464
------------
Brazil -- 3.5%
Aracruz Celulose S.A. (Paper
Products) ................................ 98,600 $ 136,061
Centrais Eletricas Brasile, ADR
(Utilities - Electric) ................... 53,300 1,319,175
Cia Cervejaria Brahma, ADR
(Beverages) .............................. 59,300 841,319
Cia Energetica de Minas Gerias
S.A., ADR (Utilities - Electric) ......... 7,500 303,750
Cia Energetica de Sao Paulo,
Preferred (Utilities - Electric)* ........ 6,000,000 360,215
Cia Paranaense de Energia - Copel,
Preferred "B" (Utilities - Electric) ..... 23,600 320,376
Cia Vale do Rio Doce, ADR (Steel) .......... 19,400 371,025
Itausa Investimentos Itau S.A.
(Conglomerate) ........................... 196,000 152,796
ITC Ltd., GDR (Conglomerate) ............... 20,000 390,000
Petroleo Brasileiro S.A., Preferred
(Oils) ................................... 3,467,000 810,831
Telecomunicacoes Brasileiras S.A.,
ADR (Telecommunications) ................. 30,445 3,544,940
Telecomunicacoes Sao Paulo,
Preferred (Telecommunications)* .......... 1,000,000 227,589
------------
$ 8,778,077
------------
Canada -- 0.9%
Canadian National Railway Co.
(Railroads) .............................. 32,660 $ 1,543,185
Legacy Hotel Real Estate
Investment Trust (Real Estate)*## 79,000 535,620
Super Sol Ltd. (Supermarkets) .............. 76,000 215,613
------------
$ 2,294,418
------------
Chile -- 1.0%
Banco Santander Chile, ADR, "A"
(Banks and Credit Cos.) .................. 19,495 $ 275,367
Chilectra S.A., ADR
(Utilities - Electric) ................... 32,935 842,181
Chilgener S.A., ADR
(Utilities - Electric) ................... 7,223 176,963
Cia de Telecom de Chile, ADR
(Utilities - Telephone) .................. 20,193 603,266
Distribucion y Servicio D&S S.A.,
ADR (Supermarkets)* ...................... 8,190 152,027
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Chile -- continued
Enersis S.A., ADR
(Utilities - Electric) ................... 13,960 $ 404,840
Laboratorio Chile S.A., ADR
(Pharmaceuticals) ........................ 7,268 161,713
Santa Isabel S.A., ADR (Stores)## .......... 1,812 31,710
------------
$ 2,648,067
------------
China -- 0.3%
Huaneng Power International, Inc.,
ADR (Utilities - Electric)* .............. 25,900 $ 600,556
Qingling Motors Co., "H"
(Automotive) ............................. 468,000 229,516
------------
$ 830,072
------------
Colombia -- 0.4%
Banco Ganadero S.A., ADR, (Banks
and Credit Cos.) ......................... 7,000 $ 305,375
Banco Industrial Colombiano, ADR
(Banks and Credit Cos.) .................. 26,400 369,600
Cementos Diamante S.A., "B", ADR,
(Construction)## ......................... 28,890 332,235
------------
$ 1,007,210
------------
Egypt -- 0.7%
Ahram Beverage Co., GDR
(Beverages)*## ........................... 13,119 $ 358,805
Commercial International Bank,
GDR (Banks and Credit Cos.)## ............ 27,890 577,323
Madinet Nasar City (Housing
Development) ............................. 2,425 157,143
North Cairo Mills (Food Products) .......... 3,210 91,714
South Cairo Flour Mills (Food
Products) ................................ 5,465 75,576
Suez Cement Co., GDR
(Construction)## ......................... 19,275 386,464
Torah for Cement (Construction) ............ 9,590 220,302
------------
$ 1,867,327
------------
Finland -- 0.5%
Huhtamaki Oy (Conglomerate) ................ 12,789 $ 528,753
TT Tieto Oy (Computer
Software - Systems) ...................... 5,857 659,734
------------
$ 1,188,487
------------
France -- 3.0%
Alcatel Alsthom Compagnie
(Computer Systems - Software) ............ 7,600 $ 966,423
Compagnie Generale de
Geophysique S.A., ADR
(Computer Software)* ..................... 41,457 1,062,336
Dassault Systemes S.A. (Computer
Software - Systems) ...................... 32,000 976,064
Dassault Systemes S.A., ADR
(Computer Software - Systems) ............ 1,100 33,962
Rhone-Poulenc S.A.
(Pharmaceuticals) * ...................... 34,238 1,534,336
Sanofi S.A. (Medical and Health
Products) ................................ 9,400 1,046,875
TV Francaise (Broadcasting) ................ 11,413 1,166,721
Union des Assurances Federales
S.A. (Insurance) ......................... 5,809 762,817
------------
$ 7,549,534
------------
Germany -- 3.0%
adidas AG (Apparel and Textiles) ........... 4,264 $ 561,415
DIS Deutscher Industrie Service AG
(Employment Services)* ................... 14,700 613,523
</TABLE>
39 - WGS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Germany -- continued
Henkel Kgaa (Consumer Goods and
Services) ........................... 34,753 $ 2,195,028
Phoenix AG (Auto Parts) ............... 43,983 770,987
SAP AG, Preferred (Computer
Software - Systems) ................. 10,642 3,485,151
------------
$ 7,626,104
------------
Greece -- 0.7%
Athens Medic Care, GDR, (Medical
Goods and Services) ................. 45,700 $ 540,519
Hellenic Telecommunication
Organization S.A., GDR
(Telecommunications) ................ 34,520 708,265
National Bank of Greece, GDR
(Banks and Credit Cos.) ............. 620 54,632
Papastratos Cigarettes S.A., GDR
(Consumer Goods and Services) ....... 19,260 366,650
------------
$ 1,670,066
------------
Hong Kong -- 2.6%
Beijing Enterprise Holdings Ltd.
(Diversified Operations) ............ 42,000 $ 107,866
Cheung Kong Holdings Ltd. (Real
Estate) ............................. 98,000 641,866
China Resources Enterprises (Real
Estate Investment Trusts) ........... 140,000 312,577
Citic Pacific Ltd. (Conglomerate) ..... 66,000 262,348
Guangdong Kelon Elec Holdings
(Consumer Goods) .................... 200,000 205,201
Hong Kong & China Gas Ltd. (Oil
and Gas) ............................ 146,000 282,635
Hong Kong Telecommunications
(Telecommunications)* ............... 67,000 137,917
Hong Kong Telecommunications,
ADR (Telecommunications) ............ 7,700 158,813
HSBC Holdings PLC (Finance)* .......... 18,000 443,699
Hutchison Whampoa (Real Estate) ....... 118,000 740,118
Hysan Development Co. (Real
Estate) ............................. 120,000 239,272
Li & Fung Ltd. (Toys) ................. 603,000 844,363
New World Development Co. (Real
Estate)* ............................ 139,000 480,764
Swire Pacific Air Ltd., "A"
(Transportation) .................... 117,000 641,737
Wharf Holdings Ltd. (Real Estate) ..... 139,000 304,962
Wing Hang Bank Ltd. (Banks and
Credit Cos.) ........................ 212,800 601,448
Zhenhai Refining and Chemical Co.,
Ltd., "H" (Oils) .................... 640,000 266,374
------------
$ 6,671,960
------------
Hungary -- 1.1%
Graboplast Rt. (Apparel and
Textiles) ........................... 3,750 $ 198,724
Magyar Olaj Es Gazipari KT. (Gas) ..... 14,500 352,184
Magyar Tavkozlesi Rt., ADR
(Telecommunications)* ............... 59,150 1,537,900
Pannonplast Rt. (Chemicals)* .......... 2,490 131,354
Richter Gedeon Rt.
(Pharmaceuticals) ................... 4,880 555,405
------------
$ 2,775,567
------------
India -- 1.5%
Bajaj Auto Ltd., GDR (Automotive) ..... 5,000 $ 100,000
EIH Ltd., GDR (Restaurant and
Lodging) ............................ 17,000 218,450
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
India -- continued
Formula System (1985) Ltd.
(Computer Software -- Systems)* 7,313 $ 225,261
Gujarat Ambuja Cements Ltd.
(Building Materials)## .............. 24,535 165,611
India Gateway Fund Ltd.
(Finance)+* ......................... 700 3,087
Indian Petrochemicals Corp. Ltd.
(Chemicals) ......................... 24,000 114,000
Industrial Credit & Investment Corp.
of India Ltd. (Finance) ............. 23,000 287,500
Mahanagar Telephone Nigam Ltd.
(Utilities-Telephone)*## ............ 38,000 394,250
Reliance Industries Ltd., GDR
(Chemicals)## ....................... 62,010 502,281
State Bank of India, GDR (Banks
and Credit Cos.)*## ................. 49,800 883,950
Tata Engineering & Locomotive Co.
Ltd. (Automotive) ................... 26,000 206,700
Videsh Sanchar Nigam Ltd., GDR
(Telecommunications)*## ............. 53,200 728,840
------------
$ 3,829,930
------------
Indonesia -- 0.3%
Bank International Indonesia
(Finance) ........................... 293,984 $ 17,531
Gulf Indonesia Resources Ltd. (Oil
Services)* .......................... 23,200 510,400
PT Indosat (Telecommunications) ....... 34,500 64,569
PT Indosat, ADR
(Telecommunications) ................ 13,555 261,781
------------
$ 854,281
------------
Ireland -- 1.1%
Allied Irish Banks (Banks and Credit
Cos.)* .............................. 142,981 $ 1,365,848
Anglo Irish Bank Corp. PLC (Banks
and Credit Cos.)* ................... 695,887 1,350,786
------------
$ 2,716,634
------------
Israel -- 0.4% ECI Telecom Ltd.
(Telecommunications) ................ 4,787 $ 122,068
ICL Israel Chemical (Chemicals) ....... 145,380 196,971
Makhteshim Chemical Works Ltd.
(Chemicals) ......................... 46,100 336,420
Tadiran Telecommunications Ltd.
(Telecommunications) ................ 7,278 100,982
Teva Pharmaceutical Industries Ltd.,
ADR (Pharmaceuticals) ............... 4,450 210,541
------------
$ 966,982
------------
Italy -- 2.1%
ERG S.p.A. (Oils)* .................... 152,100 $ 566,664
Gucci Group NV (Apparel and
Textiles) ........................... 13,452 563,302
Industrie Natuzzi S.p.A., ADR
(Consumer Goods and Services) ....... 45,067 929,507
Instituto Nazionale delle
Assicurazioni (Insurance) ........... 477,865 969,248
Telecom Italia S.p.A.
(Telecommunications)* ............... 145,800 932,130
Telecom Italia S.p.A., Saving Shares
(Telecommunications) ................ 445,138 1,266,786
------------
$ 5,227,637
------------
</TABLE>
40 - WGS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Japan -- 7.1%
Aeon Credit Service Co. Ltd.
(Financial Services) ................. 15,600 $ 761,648
Bridgestone Corp. (Tire and
Rubber) .............................. 36,000 783,331
Canon, Inc. (Office Equipment) ......... 36,000 841,458
Fuji Photo Film Co. (Photographic
Products) ............................ 24,000 922,651
Fujimi, Inc. (Electronics) ............. 15,700 669,960
Keyence Corp. (Electronics) ............ 8,410 1,247,986
Kinki Coca-Cola Bottling Co.
(Beverages) .......................... 39,600 423,220
Kirin Beverage Corp. (Beverages) ....... 62,000 1,029,679
Nippon Broadcasting System
(Broadcasting) ....................... 9,000 357,066
Nippon Telephone & Telegraph Co.
(Utilities - Telephone) .............. 74 637,244
NTT Data Communications Systems
Co. (Computer
Systems - Software) .................. 21 1,135,091
Osaka Sanso Kogyo Ltd.
(Chemicals) .......................... 182,000 195,910
Rohm Co. (Electronics) ................. 10,000 1,022,605
Sankyo Co. Ltd. (Pharmaceuticals) ...... 22,000 499,000
Secom Co. (Electronics) ................ 23,000 1,474,858
Sony Corp. (Electronics) ............... 17,500 1,560,818
Sony Corp. (Electronics) ............... 3,400 308,550
Takeda Chemical Industries
(Pharmaceuticals) .................... 55,000 1,573,120
TDK Corp. (Electronics) ................ 16,000 1,210,518
Terumo Corp. (Pharmaceuticals) ......... 48,000 708,596
Ushio, Inc. (Electronics) .............. 97,000 648,109
------------
$ 18,011,418
------------
Malaysia -- 0.2%
Tanjong PLC (Entertainment) ............ 247,000 $ 411,135
------------
Mexico -- 2.7%
Apasco S.A. (Building Materials) ....... 30,000 $ 208,411
Cemex S.A. de C.V. (Construction)*...... 112,687 510,943
Cifra S.A. de C.V. (Retail)* ........... 135,158 333,661
Corporacion GEO S.A. de C.V.
(Housing)##* ......................... 9,500 233,843
Desc S.A. de C.V. (Diversified
Operations) .......................... 190 1,791
Desc S.A. de C.V., "B" (Conglomerate) 36,000 344,325
Fomento Economico Mexicano S.A.,
"B" (Beverages) ...................... 27,000 216,040
Gruma S.A., "B" (Food Products) ........ 51,360 203,886
Grupo Carso S.A. de C.V., "A1"
(Conglomerates) ...................... 91,700 614,291
Grupo Financiero Banamex, "B"
(Finance)* ........................... 101,300 303,485
Grupo Modelo S.A. de C.V.
(Brewery) ............................ 26,900 226,252
Grupo Televisa S.A., GDR
(Entertainment)* ..................... 12,000 464,250
Hylsamex S.A. de C.V., "B" (Steel) ..... 48,000 282,843
Industrias Bachoco S.A., ADR
(Food Products)* ..................... 20,300 395,850
Organiz Soriana, "B" (Real Estate) ..... 78,000 343,506
Sanluis Corporacion S.A. de C.V.
(Conglomerate) ....................... 30,700 252,501
Telefonos de Mexico S.A.
(Utilities - Telephone) .............. 438,460 1,237,435
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Mexico -- continued
TV Azteca S.A. de C.V., ADR
(Broadcasting)* ...................... 25,500 $ 575,344
------------
$ 6,748,657
------------
Morocco -- 0.4%
Banque Marocaine du Commerce
(Banks and Credit Cos.) .............. 4,200 $ 250,211
Brasseries du Maroc (Consumer
Goods and Services)* ................. 850 188,034
Credit Eqdom (Financial
Institutions) ........................ 750 87,200
Omnium Nord Africain S.A.
(Conglomerate) ....................... 3,000 260,212
Societe Nationale d' Investissement
(Conglomerate)* ...................... 245 21,049
Societe Nationale d'Investissement
(Conglomerate) ....................... 2,450 210,490
------------
$ 1,017,196
------------
Netherlands -- 2.8%
Akzo Nobel N.V. (Chemicals) ............ 8,944 $ 1,543,500
Benckiser N.V., "B" (Consumer
Goods and Services)* ................. 34,400 1,424,701
Brunel International N.V. (Human
Resources)* .......................... 12,306 235,696
Fugro N.V. (Engineering)* .............. 2,600 79,317
Hunter Douglas N.V., ADR
(Consumer Goods and
Services)* ........................... 31,600 1,107,513
Koninklijke Ten Cate (Diversified
Operations)* ......................... 39,838 1,252,681
Philips Electronics N.V.
(Manufacturing) ...................... 6,662 399,891
Royal Dutch Petroleum Co. (Oils) ....... 17,912 984,108
------------
$ 7,027,407
------------
Pakistan -- 0.2%
Hub Power Co. Ltd., GDR
(Utilities - Electric)* .............. 17,800 $ 551,800
------------
Peru -- 1.0%
Alicorp S.A. (Consumer Goods and
Services)* ........................... 180,000 $ 163,156
Compania de Minas Buenaventura
S.A. (Mining) ........................ 37,500 223,073
CPT Telefonica del Peru S.A., "B"
(Utilities-Telephone) ................ 362,974 811,197
Credicorp Ltd. Holdings Co. (Banks
and Credit Cos.) ..................... 23,835 429,030
Telefonica del Peru S.A., ADR
(Telecommunications) ................. 33,876 789,734
------------
$ 2,416,190
------------
Philippines
Alsons Cement Corp. (Building
Materials)## ......................... 2,009,774 $ 100,489
------------
Poland -- 0.6%
Agros Holding S.A. (Food and
Beverages)* .......................... 10,000 $ 207,386
Bank Handlowy w Warszawie
(Banks and Credit Cos.)*+ ............ 5,069 64,803
Bank Handlowy w Warszawie, GDR
(Banks and Credit Cos.)*## ........... 12,990 168,870
Bank Slaski S.A. w Katowicach
(Banks and Credit Cos.) .............. 1,300 72,017
Bydgoska Fabryka Kabli S.A.
(Electrical Equipment) ............... 32,500 265,909
</TABLE>
41 - WGS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Poland -- continued
Elektrim Spolka Akcyjna S.A.
(Electrical Equipment) ............... 24,500 $ 237,344
Exbud S.A. (Construction)* ............. 15,700 147,187
KGHM Polska Miedz S.A., GDR
(Metals and Minerals)*## ............. 21,500 147,275
Zaklady Piwowarske w Zywcu
(Beverages) .......................... 2,220 186,682
------------
$ 1,497,473
------------
Portugal -- 2.7%
Banco Espirito Santo e Comercial
de Lisboa S.A. (Banks and Credit
Cos.) ................................ 46,925 $ 1,397,923
Banco Totta e Acores (Banks and
Credit Cos.) ......................... 54,310 1,067,590
Cimentos de Portugal S.A. (Building
Materials) ........................... 12,746 334,440
Inparsa-Industria e Participacoes,
SGPS, S.A. (Building Materials)* ..... 300 5,565
Inparsa-Industria e Participacoes,
SGPS, S.A. (Building Materials)* ..... 300 5,564
Inparsa-Industria e Participacoes,
SGPS, S.A. (Conglomerates)* .......... 1,200 22,257
Mota e Companhia S.A.
(Construction) ....................... 9,800 155,649
Portugal Telecom S.A.
(Utilities - Telephone) .............. 63,610 2,954,742
Sonae Investimentos-Sociedade
Gestora de Participacoes Sociais,
S.A. (Conglomerate) .................. 2,400 97,175
Telecel - Comunicacaoes Pessoais
S.A. (Telecommunications)* ........... 7,202 768,187
------------
$ 6,809,092
------------
Russia -- 1.1%
Lukoil Oil Co., ADR (Oils) ............. 12,720 $ 1,157,520
Rostelecom
(Telecommunications)*## .............. 9 279,000
Rostelecom, RDC
(Telecommunications)* ................ 7 248,500
Unified Energy Systems, GDR
(Utilities-Electric)* ................ 26,851 805,530
Vimpel-Communications
(Telecommunications)* ................ 5,682 202,421
------------
$ 2,692,971
------------
Singapore -- 0.6%
Hong Leong Finance Ltd.
(Finance)+ ........................... 96,000 $ 102,857
Mandarin Oriental International Ltd.
(Restaurants and Lodgings)* .......... 829,138 555,523
Overseas Union Bank (Finance) .......... 141,000 541,339
Singapore Land Ltd.
(Conglomerates) ...................... 127,000 279,702
------------
$ 1,479,421
------------
South Africa -- 1.3%
De Beers Centenary AG
(Diamonds - Precious Stones) ......... 11,800 $ 239,877
Dimension Data Holdings Ltd.
(Financial Institutions) ............. 65,188 281,098
JD Group Ltd. (Stores)* ................ 24,100 147,223
Liberty Life Association of Africa
Ltd. (Insurance) ..................... 25,125 644,892
Nedcor Ltd. (Banks and Credit
Cos.)* ............................... 27,000 598,768
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
South Africa -- continued
Real Africa Holdings Ltd.
(Conglomerate) ....................... 71,100 $ 148,916
Sasol Ltd. (Oils) ...................... 39,100 409,466
South African Breweries Ltd.
(Brewery) ............................ 32,400 798,357
------------
$ 3,268,597
------------
Spain -- 0.9%
Abengoa S.A. (Construction) ............ 11,448 $ 550,197
Aceralia Corp. Side (Iron and
Steel)* .............................. 39,500 485,634
Acerinox S.A. (Iron and Steel) ......... 7,685 1,140,371
------------
$ 2,176,202
------------
Sweden -- 0.9%
Skandia Forsakrings AB (Insurance) 29,977 $ 1,415,686
Sparbanken Sverige AB, "A" (Banks
and Credit Cos.) ..................... 35,709 812,796
------------
$ 2,228,482
------------
Switzerland -- 1.2%
Julius Baer Holdings (Bank) ............ 200 $ 371,716
Kuoni Reisen Holdings AG
(Transportation) ..................... 144 540,704
Novartis AG (Pharmaceuticals) .......... 1,273 2,069,138
------------
$ 2,981,558
------------
Turkey -- 0.6%
Ardem Pisirici ve Isitici Cihazlar
Sanayii A.S. (Conglomerates) ......... 1,222,100 $ 126,933
Cimsa Cimento Sanayi ve Ticaret
A.S. (Construction Services) ......... 2,710,500 147,310
Haci Omer Sabanci Holdings A.S.,
ADR (Conglomerate)*## ................ 30,800 454,300
Trakya Cam Sanayii A.S.
(Housewares) ......................... 5,396,087 312,817
Yapi ve Kredi Bankasi (Banks and
Credit Cos.) ......................... 10,773,600 411,166
------------
$ 1,452,526
------------
United Kingdom -- 6.0%
ASDA Group PLC (Supermarkets) .......... 171,599 $ 505,592
Bank of Scotland (Banks and Credit
Cos.)* ............................... 80,831 735,307
British Aerospace PLC (Aerospace
and Defense) ......................... 57,921 1,653,108
British Petroleum PLC (Oils) ........... 94,525 1,252,329
Corporate Services Group PLC
(Business Services) .................. 249,576 874,477
Danka Business Systems, ADR
(Business Services) .................. 42,400 675,750
Jarvis Hotels PLC (Restaurants and
Lodging)+ ............................ 573,491 1,415,088
JBA Holdings PLC (Computer
Systems- Software) ................... 37,859 644,578
Kwik-Fit Holdings PLC (Automotive
Repair Centers) ...................... 297,497 1,727,520
Lloyds TSB Group PLC (Banks and
Credit Cos.)* ........................ 112,910 1,471,147
Lucas Variety (Automotive) ............. 360,900 1,276,413
PowerGen PLC (Utilities-Electric) ...... 84,822 1,105,095
Tomkins PLC (Diversified
Operations) .......................... 194,414 921,055
Williams Holdings (Diversified
Operations) .......................... 167,759 932,756
------------
$ 15,190,215
------------
</TABLE>
42 - WGS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Venezuela -- 0.4%
Compania Anonima Nacional
Telefonos de Venezuela, ADR
(Telecommunications) ................................................. 26,023 $ 1,083,207
------------
Total Foreign Stocks .................................................................. $139,774,056
------------
U.S. Stocks -- 40.2%
Advertising -- 0.1%
Lamar Advertising Co.* ................................................. 1,300 $ 51,675
Outdoor Systems, Inc.* ................................................. 4,700 180,363
------------
$ 232,038
------------
Aerospace
Thiokol Corp. .......................................................... 1,400 $ 113,750
------------
Apparel and Textiles
Tefron Ltd.* ........................................................... 500 $ 11,500
------------
Automotive -- 0.1%
Avis Rent A Car, Inc.* ................................................. 4,200 $ 134,138
------------
Banks and Credit Companies -- 0.2%
Compass Bancshares, Inc. ............................................... 2,800 $ 122,500
First Security Corp. ................................................... 1,500 62,812
First Virginia Banks, Inc. ............................................. 900 46,519
Firstar Corp. .......................................................... 1,300 55,169
Interra Financial, Inc. ................................................ 500 34,500
Provident Financial Group, Inc. ........................................ 900 43,650
Summit Bancorp ......................................................... 1,100 58,575
U.S. Trust Corp. ....................................................... 1,500 93,937
------------
$ 517,662
------------
Biotechnology -- 0.4%
Guidant Corp. .......................................................... 16,300 $ 1,014,675
------------
Building -- 0.2%
Newport News Shipbuilding, Inc. ........................................ 24,000 $ 610,500
------------
Business Machines -- 0.3%
Affiliated Computer Services, Inc.,
"A"* ................................................................. 11,600 $ 305,225
Sun Microsystems, Inc.* ................................................ 10,300 410,712
------------
$ 715,937
------------
Business Services -- 5.8%
AccuStaff, Inc.* ....................................................... 29,000 $ 667,000
BISYS Group, Inc.* ..................................................... 8,700 289,275
Cendant Corp.* ......................................................... 282,903 9,724,791
Corestaff, Inc.* ....................................................... 8,700 230,550
DST Systems, Inc.* ..................................................... 3,100 132,331
Fine Host Corp.*[dbldag] ............................................... 700 5,250
First Data Corp. ....................................................... 20,802 608,458
Galileo International, Inc. ............................................ 2,200 60,775
Ikon Office Solutions, Inc. ............................................ 700 19,687
Learning Tree International, Inc.* ..................................... 59,550 1,719,506
Mail-Well, Inc.* ....................................................... 2,800 113,400
Technology Solutions Co.* .............................................. 40,450 1,066,869
Transaction System Architects, Inc.,
"A"* ................................................................. 1,600 60,800
United Rentals, Inc.* .................................................. 400 7,725
------------
$ 14,706,417
------------
Cellular Telephones -- 0.1%
Century Telephone Enterprises, Inc. 6,700 $ 333,744
------------
Computer Software --
Personal Computers -- 1.4%
Autodesk, Inc. ......................................................... 5,000 $ 185,000
Microsoft Corp.* ....................................................... 24,600 3,179,550
------------
$ 3,364,550
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Computer Software --
Systems -- 7.8%
Adobe Systems, Inc. .................................................... 1,000 $ 41,250
BMC Software, Inc.* .................................................... 50,200 3,294,375
Cadence Design Systems, Inc.* .......................................... 117,600 2,881,200
Compaq Computer Corp. .................................................. 5,000 282,188
Computer Associates International,
Inc. ................................................................. 112,350 5,940,506
Compuware Corp.* ....................................................... 100,000 3,200,000
Oracle Corp.* .......................................................... 162,125 3,617,414
Scopus Technology* ..................................................... 9,400 112,800
Security Dynamics Technologies, Inc.* 600 21,450
Synopsys, Inc.* ........................................................ 6,200 221,650
------------
$ 19,612,833
------------
Consumer Goods and Services -- 3.5%
Carson, Inc., "A"* ..................................................... 30,000 $ 200,625
Dollar Thrifty Automotive Group* ....................................... 6,200 127,100
Pier 1 Imports, Inc. ................................................... 2,000 45,250
Service Corp. International ............................................ 1,800 66,488
Tyco International Ltd. ................................................ 185,496 8,358,913
------------
$ 8,798,376
------------
Containers
Ivex Packaging Corp.* .................................................. 900 $ 21,600
------------
Defense Electronics -- 0.1%
Loral Space & Communications Corp.* 14,700 $ 315,131
------------
Electrical Equipment -- 0.2%
CBS Corp.* ............................................................. 20,900 $ 615,244
------------
Electronics -- 0.2%
Altera Corp.* .......................................................... 13,400 $ 443,875
Xilinx, Inc.* .......................................................... 4,300 150,769
------------
$ 594,644
------------
Entertainment -- 3.3%
American Radio Systems Corp., "A"* 7,500 $ 399,844
Chancellor Media Corp.* ................................................ 4,900 365,662
Clear Channel Communications, Inc.* 16,900 1,342,494
Cox Radio, Inc., "A"* .................................................. 26,000 1,046,500
Emmis Broadcasting Corp., "A"* ......................................... 6,600 301,125
Gemstar International Group Ltd.* ...................................... 5,900 143,813
Harrah's Entertainment, Inc.* .......................................... 14,700 277,462
Hearst-Argyle Television, Inc.* ........................................ 5,700 169,575
ITT Corp. * ............................................................ 700 58,013
Jacor Communications, Inc.* ............................................ 17,700 940,312
LIN Television Corp.* .................................................. 20,400 1,111,800
SFX Broadcasting, Inc., "A"* ........................................... 7,700 617,925
Sinclair Broadcast Group, Inc., "A"* 4,700 219,138
Univision Communications, Inc., "A"* 9,000 628,312
Viacom, Inc., "B"* ..................................................... 15,900 658,856
------------
$ 8,280,831
------------
Financial Institutions -- 1.6%
Associates First Capital Corp. ......................................... 6,200 $ 440,975
Charter One Financial, Inc. ............................................ 5,660 357,287
Conning Corp.* ......................................................... 300 5,025
Consolidated Capital Corp.* ............................................ 21,900 444,844
Donaldson Lufkin & Jenrette, Inc. ...................................... 3,000 238,500
Franklin Resources, Inc. ............................................... 16,900 1,469,244
Lehman Brothers Holdings, Inc. ......................................... 3,200 163,200
LINC Capital, Inc.* .................................................... 400 7,850
Morgan Stanley, Dean Witter,
Discover & Co. ....................................................... 7,300 431,612
Peoples Heritage Financial Group ....................................... 2,200 101,200
</TABLE>
43 - WGS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Financial Institutions -- continued
Price, T. Rowe & Associates, Inc. ...................................... 6,800 $ 427,550
Union Planters Corp. ................................................... 900 61,144
------------
$ 4,148,431
------------
Food and Beverage Products -- 0.2%
Beringer Wine Estates Holdings, "B"* 400 $ 15,200
Corn Products International, Inc.* ..................................... 1,000 29,813
McCormick & Co., Inc. .................................................. 2,000 56,000
Suiza Foods Corp.* ..................................................... 3,300 196,556
Tootsie Roll Industries, Inc. .......................................... 1,200 75,000
Whole Foods Market, Inc.* .............................................. 1,400 71,575
------------
$ 444,144
------------
Insurance -- 0.2%
ACE Ltd. ............................................................... 1,200 $ 115,800
Conseco, Inc. .......................................................... 5,000 227,188
Hartford Life, Inc., "A" ............................................... 800 36,250
------------
$ 379,238
------------
Machinery -- 0.1%
SI Handling Systems, Inc. .............................................. 13,300 $ 182,875
------------
Medical and Health Products -- 0.5%
Arterial Vascular Engineering, Inc.* ................................... 9,300 $ 604,500
McKesson Corp. ......................................................... 1,600 173,100
Mentor Corp. ........................................................... 2,100 76,650
Pathogensis Corp.* ..................................................... 3,100 115,087
Safeskin Corp.* ........................................................ 2,000 113,500
Zonagen, Inc.* ......................................................... 5,200 94,575
------------
$ 1,177,412
------------
Medical and Health Technology
and Services -- 2.6%
Columbia/HCA Healthcare Corp. .......................................... 400 $ 11,850
Cyberonics, Inc.* ...................................................... 29,100 443,775
Foundation Health Systems, Inc.* ....................................... 260 5,818
Health Management Associates,
Inc., "A"* ........................................................... 2,550 64,387
HEALTHSOUTH Corp.* ..................................................... 29,300 813,075
Integrated Health Services, Inc. ....................................... 3,600 112,275
Mariner Health Group, Inc.* ............................................ 5,200 84,500
Medtronic, Inc. ........................................................ 2,700 141,244
Orthodontic Centers of America, Inc.* 20,600 342,475
Oxford Health Plans, Inc.* ............................................. 9,200 143,175
PacifiCare Health Systems, Inc., "B"* 9,000 471,375
Renal Treatment Centers, Inc.* ......................................... 9,600 346,800
St. Jude Medical, Inc.* ................................................ 1,100 33,550
United Healthcare Corp. ................................................ 69,200 3,438,375
VWR Scientific Products Corp.* ......................................... 1,800 50,850
------------
$ 6,503,524
------------
Oil Services -- 0.4%
Cooper Cameron Corp.* .................................................. 3,500 $ 213,500
Diamond Offshore Drilling, Inc. ........................................ 3,900 187,688
Global Industries Ltd.* ................................................ 13,400 227,800
Input/Output, Inc. * ................................................... 2,300 68,281
Noble Drilling Corp.* .................................................. 7,200 220,500
------------
$ 917,769
------------
Oils -- 0.1%
Veritas DGC, Inc.* ..................................................... 1,300 $ 51,350
Weatherford Enterra, Inc.* ............................................. 2,500 109,375
------------
$ 160,725
------------
Pollution Control -- 0.1%
Allied Waste Industries, Inc.* ......................................... 8,400 $ 195,825
------------
Printing and Publishing
Applied Graphics Technologies, Inc.* 2,100 $ 111,825
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Railroads -- 0.2%
Kansas City Southern Industries, Inc. 18,900 $ 600,075
------------
Real Estate
Starwood Lodging Trust ................................................. 1,400 $ 81,025
------------
Real Estate Investment Trusts
ESG RE Ltd.* ........................................................... 700 $ 16,450
Lowes Co., Inc. ........................................................ 1,100 52,456
------------
$ 68,906
------------
Restaurants and Lodging -- 0.4%
Applebee's International, Inc. ......................................... 10,900 $ 196,881
Promus Hotel Corp.* .................................................... 17,245 724,290
Suburban Lodges of America, Inc.* 10,000 133,125
------------
$ 1,054,296
------------
Special Products and Services
EduTrek International, Inc., "A"* ...................................... 300 $ 7,800
Royal Caribbean Cruises Ltd. ........................................... 1,400 74,638
------------
$ 82,438
------------
Stores -- 4.7%
Consolidated Stores Corp.* ............................................. 14,850 $ 652,472
Corporate Express, Inc.* ............................................... 41,900 539,463
CVS Corp. .............................................................. 19,000 1,217,187
Dollar General Corp. ................................................... 1,700 61,625
General Nutrition Cos., Inc.* .......................................... 14,500 493,000
Home Depot, Inc. ....................................................... 17,350 1,021,481
Linens 'N Things, Inc.* ................................................ 2,100 91,613
Micro Warehouse, Inc.* ................................................. 24,200 337,288
Office Depot, Inc.* .................................................... 79,800 1,910,212
Republic Industries, Inc.* ............................................. 78,700 1,834,694
Rite Aid Corp. ......................................................... 37,200 2,183,175
Staples, Inc.* ......................................................... 14,200 394,050
U.S. Office Products Co.* .............................................. 53,900 1,057,787
------------
$ 11,794,047
------------
Supermarkets -- 0.8%
Albertsons, Inc. ....................................................... 1,300 $ 61,588
Kroger Co.* ............................................................ 2,400 88,650
Meyer (Fred), Inc.* .................................................... 50,150 1,824,206
Safeway, Inc.* ......................................................... 2,600 164,450
------------
$ 2,138,894
------------
Telecommunications -- 3.5%
American Communications
Services, Inc.* ...................................................... 5,700 $ 73,031
Aspect Telecommunications Corp.* ....................................... 3,900 81,413
Brooks Fiber Properties, Inc.* ......................................... 2,100 115,500
Cincinnati Bell, Inc. .................................................. 6,800 210,800
Cisco Systems, Inc.* ................................................... 82,250 4,585,437
Inter-Tel, Inc. ........................................................ 5,600 108,500
International Business
Communications Systems, Inc.*+[dbldag] ............................... 12,600 0
Intermedia Communications, Inc.* ....................................... 21,700 1,318,275
LCI International, Inc.* ............................................... 7,100 218,325
Lucent Technologies, Inc. .............................................. 2,900 231,637
Nextlink Communications, Inc., "A"* 4,900 104,431
TCA Cable TV, Inc. ..................................................... 1,400 64,400
Tel-Save Holdings, Inc.* ............................................... 3,000 59,625
Teleport Communications Group,
Inc., "A"* ........................................................... 1,900 104,263
WorldCom, Inc.* ........................................................ 51,200 1,548,800
------------
$ 8,824,437
------------
Utilities -- Telephone -- 1.1%
MCI Communications Corp. ............................................... 65,038 $ 2,784,439
------------
Total U.S. Stocks .................................................................... $101,643,895
------------
Total Stocks
(Identified Cost, $209,291,511) .................................................... $241,417,951
------------
</TABLE>
44 - WGS
<PAGE>
Preferred Stocks -- 0.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Germany -- 0.7%
Wella AG (Cosmetics) (Identified
Cost, $1,701,602) ................ 2,200 $ 1,671,118
------------
Short-Term Obligations -- 2.6%
Principal Amount
(000 Omitted)
Ford Motor Credit Corp., due
1/02/98, at Amortized Cost ....... $6,500 $ 6,498,781
------------
Total Investments
(Identified Cost, $217,491,894) ......... $249,587,850
Other Assets,
Less Liabilities -- 1.1% 2,814,153
------------
Net Assets -- 100.0% ...................... $252,402,003
============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio Footnotes:
*Non-income producing security.
##SEC Rule 144A restriction.
+Restricted security.
[dbldag]Security valued by or at the direction of the Trustees.
Abbreviations have been shown throughout this report to indicate amounts shown
in currencies other than the U.S. Dollar. A list of abbreviations is shown
below.
FRF = French Francs
JPY = Japanese Yen
45 - WGS
<PAGE>
MFS/Sun Life Series Trust
Statements of Assets and Liabilities -- December 31, 1997
<TABLE>
<CAPTION>
Capital Conservative
Appreciation Growth
Assets: Series Series
Investments -- ------------------- -------------------
<S> <C> <C>
Unaffiliated issuers, at cost .......................................................... $1,001,732,539 $ 917,857,462
Unrealized appreciation (depreciation) ................................................. 315,738,814 237,751,842
-------------- --------------
Total investments, at value .......................................................... $1,317,471,353 $1,155,609,304
Cash .................................................................................... 38,373 122,097
Foreign currency, at value (Identified cost, $3,862) .................................... -- --
Net receivable for forward foreign currency exchange contracts to sell .................. -- --
Receivable for investments sold ......................................................... 12,648,876 1,289,165
Receivable for Trust shares sold ........................................................ 1,141,758 1,983,692
Interest and dividends receivable ....................................................... 975,123 1,685,300
Other assets ............................................................................ 9,177 5,023
-------------- --------------
Total assets ......................................................................... $1,332,284,660 $1,160,694,581
-------------- --------------
Liabilities:
Payable for investments purchased ....................................................... $ 5,369,547 $ 2,293,624
Payable for Trust shares reacquired ..................................................... 513,733 107,986
Net payable for forward foreign currency exchange contracts to purchase ................. -- --
Payable to affiliates --
Investment advisory fee ................................................................ 26,505 17,357
Administrative fee ..................................................................... 521 463
Accrued expenses and other liabilities .................................................. 133,867 139,979
-------------- --------------
Total liabilities .................................................................... $ 6,044,173 $ 2,559,409
-------------- --------------
Net assets .......................................................................... $1,326,240,487 $1,158,135,172
============== ==============
Net assets consist of:
Paid-in capital ......................................................................... $ 861,307,319 $ 822,585,008
Unrealized appreciation (depreciation) on investments and translation of assets and
liabilities in foreign
currencies ............................................................................. 315,738,807 237,749,932
Accumulated undistributed net realized gain (loss) on investments and foreign currency 149,194,361 87,402,202
transactions
Accumulated undistributed net investment income ......................................... -- 10,398,030
-------------- --------------
Net assets .......................................................................... $1,326,240,487 $1,158,135,172
============== ==============
Shares of beneficial interest outstanding ............................................... 33,040,995 34,937,348
========== ==========
Net asset value, offering price, and redemption price per share (net assets
[divided by] shares of
beneficial interest outstanding) ....................................................... $40.14 $33.15
====== ======
<CAPTION>
Emerging International
Growth Growth
Assets: Series Series
Investments -- ----------------- --------------
<S> <C> <C>
Unaffiliated issuers, at cost .......................................................... $392,824,630 $23,539,988
Unrealized appreciation (depreciation) ................................................. 70,643,714 (244,458)
------------ -----------
Total investments, at value .......................................................... $463,468,344 $23,295,530
Cash .................................................................................... 59,887 9,596
Foreign currency, at value (Identified cost, $3,862) .................................... -- 3,775
Net receivable for forward foreign currency exchange contracts to sell .................. -- 189,003
Receivable for investments sold ......................................................... 1,408,976 79,532
Receivable for Trust shares sold ........................................................ 97,203 10,686
Interest and dividends receivable ....................................................... 93,815 31,937
Other assets ............................................................................ 2,202 4,281
------------ -----------
Total assets ......................................................................... $465,130,427 $23,624,340
------------ -----------
Liabilities:
Payable for investments purchased ....................................................... $ 7,593,626 $ 62,608
Payable for Trust shares reacquired ..................................................... 115,392 17,610
Net payable for forward foreign currency exchange contracts to purchase ................. -- 123,968
Payable to affiliates --
Investment advisory fee ................................................................ 9,018 630
Administrative fee ..................................................................... 187 10
Accrued expenses and other liabilities .................................................. 60,786 18,408
------------ -----------
Total liabilities .................................................................... $ 7,779,009 $ 223,234
------------ -----------
Net assets .......................................................................... $457,351,418 $23,401,106
============ ===========
Net assets consist of:
Paid-in capital ......................................................................... $370,688,156 $23,987,294
Unrealized appreciation (depreciation) on investments and translation of assets and
liabilities in foreign
currencies ............................................................................. 70,643,694 (180,373)
Accumulated undistributed net realized gain (loss) on investments and foreign currency 16,019,568 (529,992)
transactions
Accumulated undistributed net investment income ......................................... -- 124,177
------------ -----------
Net assets .......................................................................... $457,351,418 $23,401,106
============ ===========
Shares of beneficial interest outstanding ............................................... 25,403,837 2,425,493
========== =========
Net asset value, offering price, and redemption price per share (net assets
[divided by] shares of
beneficial interest outstanding) ....................................................... $18.00 $9.65
====== =====
</TABLE>
See notes to financial statements
46
<PAGE>
MFS/Sun Life Series Trust
Statements of Assets and Liabilities -- December 31, 1997 -- continued
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
Emerging
Managed Markets
Sectors Equity
Assets: Series Series
Investments -- ----------------- ---------------
<S> <C> <C>
Unaffiliated issuers, at cost .......................................................... $295,702,363 $25,014,734
Unrealized appreciation (depreciation) ................................................. 37,879,727 (1,273,023)
------------ -----------
Total investments, at value .......................................................... $333,582,090 $23,741,711
Cash .................................................................................... 38,942 36,329
Foreign currency, at value (identified cost, $331,618 and $607, respectively) ........... -- 330,681
Receivable for investments sold ......................................................... 10,177,436 48,508
Receivable for Trust shares sold ........................................................ 332,004 34,898
Interest and dividends receivable ....................................................... 186,812 25,183
Receivable from investment adviser ...................................................... -- --
------------ -----------
Other assets ............................................................................ 2,337 1,874
------------ -----------
Total assets ......................................................................... $344,319,621 $24,219,184
------------ -----------
Liabilities:
Payable for investments purchased ....................................................... $ 159,167 $ 9,935
Payable for Trust shares reacquired ..................................................... 81,985 9,524
Written options outstanding, at value (premiums received, $744,818) ..................... 3,388,550 --
Payable to affiliates --
Investment advisory fee ................................................................ 6,861 827
Administrative fee ..................................................................... 139 10
Accrued expenses and other liabilities .................................................. 55,482 17,437
------------ -----------
Total liabilities .................................................................... $ 3,692,184 $ 37,733
------------ -----------
Net assets .......................................................................... $340,627,437 $24,181,451
============ ===========
Net assets consist of:
Paid-in capital ......................................................................... $253,731,669 $24,938,566
Unrealized appreciation (depreciation) on investments and translation of assets and
liabilities in foreign
currencies ............................................................................. 35,235,995 (1,274,291)
Accumulated undistributed net realized gain on investments and foreign currency 51,659,773 215,066
transactions
Accumulated undistributed net investment income ......................................... -- 302,110
------------ -----------
Net assets .......................................................................... $340,627,437 $24,181,451
============ ===========
Shares of beneficial interest outstanding ............................................... 11,681,294 2,191,168
========== =========
Net asset value, offering price, and redemption price per share (net assets
[divided by] shares of beneficial
interest outstanding) .................................................................. $29.16 $11.04
====== ======
<CAPTION>
Research
Growth
and
Research Income
Assets: Series Series
Investments -- ----------------- ---------------
<S> <C> <C>
Unaffiliated issuers, at cost .......................................................... $577,387,763 $6,496,289
Unrealized appreciation (depreciation) ................................................. 86,818,762 217,266
------------ ----------
Total investments, at value .......................................................... $664,206,525 $6,713,555
Cash .................................................................................... 73,303 8,256
Foreign currency, at value (identified cost, $331,618 and $607, respectively) ........... -- 607
Receivable for investments sold ......................................................... 7,869,107 --
Receivable for Trust shares sold ........................................................ 583,722 85,640
Interest and dividends receivable ....................................................... 779,898 10,737
Receivable from investment adviser ...................................................... -- 5,017
------------ ----------
Other assets ............................................................................ 2,857 --
------------ ----------
Total assets ......................................................................... $673,515,412 $6,823,812
------------ ----------
Liabilities:
Payable for investments purchased ....................................................... $ 3,108,858 $ 276,735
Payable for Trust shares reacquired ..................................................... 442 --
Written options outstanding, at value (premiums received, $744,818) ..................... -- --
Payable to affiliates --
Investment advisory fee ................................................................ 12,946 131
Administrative fee ..................................................................... 274 --
Accrued expenses and other liabilities .................................................. 90,659 6,956
------------ ----------
Total liabilities .................................................................... $ 3,213,179 $ 283,822
------------ ----------
Net assets .......................................................................... $670,302,233 $6,539,990
============ ==========
Net assets consist of:
Paid-in capital ......................................................................... $549,887,544 $6,240,284
Unrealized appreciation (depreciation) on investments and translation of assets and
liabilities in foreign
currencies ............................................................................. 86,818,216 217,276
Accumulated undistributed net realized gain on investments and foreign currency 31,787,102 62,725
transactions
Accumulated undistributed net investment income ......................................... 1,809,371 19,705
------------ ----------
Net assets .......................................................................... $670,302,233 $6,539,990
============ ==========
Shares of beneficial interest outstanding ............................................... 34,495,930 593,421
========== =======
Net asset value, offering price, and redemption price per share (net assets
[divided by] shares of beneficial
interest outstanding) .................................................................. $19.43 $11.02
====== ======
</TABLE>
See notes to financial statements
47
<PAGE>
MFS/Sun Life Series Trust
Statements of Assets and Liabilities -- December 31, 1997 -- continued
<TABLE>
<CAPTION>
Total
Return Utilities
Assets: Series Series
Investments -- ------------------- -----------------
<S> <C> <C>
Unaffiliated issuers, at cost .......................................................... $1,437,489,560 $107,466,133
Unrealized appreciation ................................................................ 255,728,623 14,961,539
-------------- ------------
Total investments, at value .......................................................... $1,693,218,183 $122,427,672
Cash .................................................................................... 942,369 51,533
Foreign currency, at value (identified cost, $18 and $81,974, respectively) ............. -- 18
Net receivable for foreign currency exchange contracts closed or subject to master -- --
netting agreements
Receivable for investments sold ......................................................... 1,049,618 3,702,998
Receivable for Trust shares sold ........................................................ 1,013,194 260,681
Interest and dividends receivable ....................................................... 11,264,900 499,899
Other assets ............................................................................ 11,744 621
-------------- ------------
Total assets ......................................................................... $1,707,500,008 $126,943,422
-------------- ------------
Liabilities:
Cash overdraft .......................................................................... $ -- $ --
Payable for investments purchased ....................................................... 11,050,401 3,893,076
Payable for Trust shares reacquired ..................................................... 170,675 1,921
Payable to affiliates --
Investment advisory fee ................................................................ 30,463 2,515
Administrative fee ..................................................................... 647 50
Accrued expenses and other liabilities .................................................. 139,680 37,393
-------------- ------------
Total liabilities .................................................................... $ 11,391,866 $ 3,934,955
-------------- ------------
Net assets .......................................................................... $1,696,108,142 $123,008,467
============== ============
Net assets consist of:
Paid-in capital ......................................................................... $1,240,222,153 $ 89,591,020
Unrealized appreciation on investments and translation of assets and liabilities in 255,726,385 14,960,322
foreign currencies
Accumulated undistributed net realized gain on investments and foreign currency 143,867,943 15,608,372
transactions
Accumulated undistributed net investment income ......................................... 56,291,661 2,848,753
-------------- ------------
Net assets .......................................................................... $1,696,108,142 $123,008,467
============== ============
Shares of beneficial interest outstanding ............................................... 79,565,017 7,496,256
========== ========
Net asset value, offering price, and redemption price per share (net assets
[divided by] shares of beneficial
interest outstanding) .................................................................. $21.32 $16.41
====== ======
<CAPTION>
World
Value Growth
Assets: Series Series
Investments -- ---------------- -----------------
<S> <C> <C>
Unaffiliated issuers, at cost .......................................................... $81,082,166 $217,491,894
Unrealized appreciation ................................................................ 7,059,531 32,095,956
----------- ------------
Total investments, at value .......................................................... $88,141,697 $249,587,850
Cash .................................................................................... 10,267 --
Foreign currency, at value (identified cost, $18 and $81,974, respectively) ............. -- 81,704
Net receivable for foreign currency exchange contracts closed or subject to master 2,641 --
netting agreements
Receivable for investments sold ......................................................... 109,471 3,341,853
Receivable for Trust shares sold ........................................................ 464,851 63,987
Interest and dividends receivable ....................................................... 61,110 273,581
Other assets ............................................................................ 145 1,784
----------- ------------
Total assets ......................................................................... $88,790,182 $253,350,759
----------- ------------
Liabilities:
Cash overdraft .......................................................................... $ -- $ 323,103
Payable for investments purchased ....................................................... 1,008,060 521,470
Payable for Trust shares reacquired ..................................................... 26 7,402
Payable to affiliates --
Investment advisory fee ................................................................ 1,771 6,173
Administrative fee ..................................................................... 35 103
Accrued expenses and other liabilities .................................................. 36,697 90,505
----------- ------------
Total liabilities .................................................................... $ 1,046,589 $ 948,756
----------- ------------
Net assets .......................................................................... $87,743,593 $252,402,003
=========== ============
Net assets consist of:
Paid-in capital ......................................................................... $75,505,594 $201,325,550
Unrealized appreciation on investments and translation of assets and liabilities in 7,061,939 32,091,042
foreign currencies
Accumulated undistributed net realized gain on investments and foreign currency 4,644,850 18,469,953
transactions
Accumulated undistributed net investment income ......................................... 531,210 515,458
----------- ------------
Net assets .......................................................................... $87,743,593 $252,402,003
=========== ============
Shares of beneficial interest outstanding ............................................... 6,297,117 17,188,468
========= ==========
Net asset value, offering price, and redemption price per share (net assets
[divided by] shares of beneficial
interest outstanding) .................................................................. $13.93 $14.68
====== ======
</TABLE>
See notes to financial statements
48
<PAGE>
MFS/Sun Life Series Trust
Statements of Operations -- Year Ended December 31, 1997
<TABLE>
<CAPTION>
Capital Conservative
Appreciation Growth
Net investment income: Series Series
Income -- ------------------ ----------------
<S> <C> <C>
Interest ........................................................................... $ 1,701,357 $ 1,947,980
Dividends .......................................................................... 6,624,318 13,707,675
Foreign taxes withheld ............................................................. (59,747) (77,103)
------------ ------------
Total investment income ........................................................... $ 8,265,928 $ 15,578,552
------------ ------------
Expenses --
Investment advisory fees ........................................................... $ 8,924,179 $ 4,647,665
Trustees' fees ..................................................................... 6,563 6,563
Administrative fee ................................................................. 139,933 102,188
Custodian fee ...................................................................... 368,042 294,779
Printing expense ................................................................... 47,416 64,739
Auditing fee ....................................................................... 35,456 33,026
Legal fee .......................................................................... 1,633 1,456
Miscellaneous ...................................................................... 18,894 7,722
------------ ------------
Total expenses .................................................................... $ 9,542,116 $ 5,158,138
Waiver of expenses by investment adviser ........................................... -- --
Fees paid indirectly ............................................................... -- (21,395)
------------ ------------
Net expenses ...................................................................... $ 9,542,116 $ 5,136,743
------------ ------------
Net investment income (loss) ..................................................... $ (1,276,188) $ 10,441,809
------------ ------------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $150,397,627 $ 87,805,799
Foreign currency transactions ...................................................... (25,366) (42,521)
------------ ------------
Net realized gain (loss) on investments and foreign currency transactions ........ $150,372,261 $ 87,763,278
------------ ------------
Change in unrealized appreciation (depreciation) on --
Investments ........................................................................ $ 96,165,773 $127,469,506
Translation of assets and liabilities in foreign currencies ........................ (7) (1,734)
------------- ------------
Net unrealized gain (loss) on investments and foreign currency translation ........ $ 96,165,766 $127,467,772
------------- ------------
Net realized and unrealized gain (loss) on investments and foreign currency ...... $246,538,027 $215,231,050
------------- ------------
Increase (decrease) in net assets from operations ............................... $245,261,839 $225,672,859
============= ============
<CAPTION>
Emerging International
Growth Growth
Net investment income: Series Series
Income -- ---------------- --------------
<S> <C> <C>
Interest ........................................................................... $ 1,109,787 $ 155,535
Dividends .......................................................................... 580,872 229,786
Foreign taxes withheld ............................................................. (11,524) (26,225)
----------- ---------
Total investment income ........................................................... $ 1,679,135 $ 359,096
----------- ---------
Expenses --
Investment advisory fees ........................................................... $ 2,590,450 $ 152,802
Trustees' fees ..................................................................... 6,563 6,563
Administrative fee ................................................................. 42,251 1,997
Custodian fee ...................................................................... 137,967 24,267
Printing expense ................................................................... 28,815 3,325
Auditing fee ....................................................................... 48,196 10,706
Legal fee .......................................................................... 1,732 1,032
Miscellaneous ...................................................................... 4,260 --
----------- ---------
Total expenses .................................................................... 2,860,234 $ 200,692
Waiver of expenses by investment adviser ........................................... -- (26,067)
Fees paid indirectly ............................................................... (16,686) (8,293)
----------- ---------
Net expenses ...................................................................... $ 2,843,548 $ 166,332
----------- ---------
Net investment income (loss) ..................................................... $(1,164,413) $ 192,764
----------- ---------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $18,180,434 $(638,126)
Foreign currency transactions ...................................................... (106,491) 61,329
----------- ---------
Net realized gain (loss) on investments and foreign currency transactions ........ $18,073,943 $(576,797)
----------- ---------
Change in unrealized appreciation (depreciation) on --
Investments ........................................................................ $48,269,918 $(168,236)
Translation of assets and liabilities in foreign currencies ........................ (20) 65,793
----------- ---------
Net unrealized gain (loss) on investments and foreign currency translation ........ $48,269,898 $(102,443)
----------- ---------
Net realized and unrealized gain (loss) on investments and foreign currency ...... $66,343,841 $(679,240)
----------- ---------
Increase (decrease) in net assets from operations ............................... $65,179,428 $(486,476)
=========== =========
</TABLE>
See notes to financial statements
49
<PAGE>
MFS/Sun Life Series Trust
Statements of Operations -- Year Ended December 31, 1997 -- continued
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
Emerging
Managed Markets
Sectors Equity
Net investment income: Series Series
Income -- -------------- ------------------
<S> <C> <C>
Interest ........................................................................... $ 679,542 $ 92,618
Dividends .......................................................................... 1,171,569 328,545
Foreign taxes withheld ............................................................. (5,592) (10,893)
----------- -----------
Total investment income ........................................................... $ 1,845,519 $ 410,270
----------- -----------
Expenses --
Investment advisory fees ........................................................... $ 2,276,250 $ 214,650
Trustees' fees ..................................................................... 6,563 7,211
Administrative fees ................................................................ 36,252 2,262
Custodian fees ..................................................................... 124,665 21,634
Printing expenses .................................................................. 12,711 2,632
Auditing fees ...................................................................... 34,015 16,174
Legal fees ......................................................................... 2,357 3,353
Miscellaneous ...................................................................... 7,060 --
----------- -----------
Total expenses .................................................................... $ 2,499,873 $ 267,916
Waiver of expenses by investment adviser ........................................... -- (83,132)
Fees paid indirectly ............................................................... (5,630) (12,438)
----------- -----------
Net expenses ...................................................................... $ 2,494,243 $ 172,346
----------- -----------
Net investment income (loss) ..................................................... $ (648,724) $ 237,924
----------- -----------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $49,478,091 $ 303,994
Written option transactions ........................................................ 2,420,636 --
Foreign currency transactions ...................................................... (8,796) (14,382)
----------- -----------
Net realized gain on investments and foreign currency transactions ............... $51,889,931 $ 289,612
----------- -----------
Change in unrealized appreciation (depreciation) on --
Investments ........................................................................ $17,197,291 $(1,317,253)
Written options .................................................................... (2,643,732) --
Translation of assets and liabilities in foreign currencies ........................ -- (1,268)
----------- -----------
Net unrealized gain (loss) on investments and foreign currency translation ........ $14,553,559 $(1,318,521)
----------- -----------
Net realized and unrealized gain (loss) on investments and foreign currency ...... $66,443,490 $(1,028,909)
----------- -----------
Increase (decrease) in net assets from operations ............................... $65,794,766 $ (790,985)
=========== ===========
<CAPTION>
Research
Growth
and
Research Income
Net investment income: Series Series*
Income -- --------------- -----------
<S> <C> <C>
Interest ........................................................................... $ 932,942 $ 20,933
Dividends .......................................................................... 4,955,109 24,249
Foreign taxes withheld ............................................................. (89,972) (251)
----------- --------
Total investment income ........................................................... $ 5,798,079 $ 44,931
----------- --------
Expenses --
Investment advisory fees ........................................................... $ 3,593,814 $ 12,559
Trustees' fees ..................................................................... 6,563 6,563
Administrative fees ................................................................ 60,939 --
Custodian fees ..................................................................... 202,431 747
Printing expenses .................................................................. 37,974 1,154
Auditing fees ...................................................................... 50,085 8,150
Legal fees ......................................................................... 1,092 1,307
Miscellaneous ...................................................................... 3,039 279
----------- --------
Total expenses .................................................................... $ 3,955,937 $ 30,759
Waiver of expenses by investment adviser ........................................... -- (5,017)
Fees paid indirectly ............................................................... (7,335) (706)
----------- --------
Net expenses ...................................................................... $ 3,948,602 $ 25,036
----------- --------
Net investment income (loss) ..................................................... $ 1,849,477 $ 19,895
----------- --------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $31,914,733 $ 62,725
Written option transactions ........................................................ -- --
Foreign currency transactions ...................................................... (38,968) (190)
----------- --------
Net realized gain on investments and foreign currency transactions ............... $31,875,765 $ 62,535
----------- --------
Change in unrealized appreciation (depreciation) on --
Investments ........................................................................ $54,471,223 $217,266
Written options .................................................................... -- --
Translation of assets and liabilities in foreign currencies ........................ (323) 10
----------- --------
Net unrealized gain (loss) on investments and foreign currency translation ........ $54,470,900 $217,276
----------- --------
Net realized and unrealized gain (loss) on investments and foreign currency ...... $86,346,665 $279,811
----------- --------
Increase (decrease) in net assets from operations ............................... $88,196,142 $299,706
=========== ========
</TABLE>
*For the period from the commencement of the Series' investment operations, May
13, 1997, through December 31, 1997.
See notes to financial statements
50
<PAGE>
MFS/Sun Life Series Trust
Statements of Operations -- Year Ended December 31, 1997 -- continued
<TABLE>
<CAPTION>
Total World
Return Utilities Value Growth
Net investment income: Series Series Series Series
Income -- ------------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Interest ........................................................... $ 45,354,260 $ 1,066,074 $ 557,980 $ 637,906
Dividends .......................................................... 21,921,283 2,615,298 374,331 2,710,179
Foreign taxes withheld ............................................. (178,054) (82,796) (13,377) (193,782)
------------ ----------- ----------- -----------
Total investment income ........................................... $ 67,097,489 $ 3,598,576 $ 918,934 $ 3,154,303
------------ ----------- ----------- -----------
Expenses --
Investment advisory fees ........................................... $ 10,008,562 $ 669,213 $ 357,471 $ 2,124,944
Trustees' fee ...................................................... 6,563 6,563 6,563 6,563
Administrative fee ................................................. 168,648 10,639 5,923 28,218
Custodian fee ...................................................... 422,327 45,917 28,026 164,787
Printing expense ................................................... 44,469 6,792 7,720 16,551
Auditing fee ....................................................... 34,381 29,334 23,519 66,940
Legal fee .......................................................... 1,466 1,243 1,341 1,082
Miscellaneous ...................................................... 47,509 4,241 508 7,240
------------ ----------- ----------- -----------
Total expenses .................................................... $ 10,733,925 $ 773,942 $ 431,071 $ 2,416,325
Waiver of expenses by investment adviser ........................... -- -- (61,335) --
Fees paid indirectly ............................................... (42,377) (1,555) (2,672) (4,598)
------------ ----------- ----------- -----------
Net expenses ...................................................... $ 10,691,548 $ 772,387 $ 367,064 $ 2,411,727
------------ ----------- ----------- -----------
Net investment income ............................................ $ 56,405,941 $ 2,826,189 $ 551,870 $ 742,576
------------ ----------- ----------- -----------
Realized and unrealized gain (loss) on investments
and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................ $143,892,454 $15,687,254 $ 4,647,655 $19,381,091
Written option transactions ........................................ (10,888) -- -- --
Foreign currency transactions ...................................... (18,592) (4,796) (20,526) (190,803)
------------ ----------- ----------- -----------
Net realized gain on investments and foreign currency transactions. $143,862,974 $15,682,458 $ 4,627,129 $19,190,288
------------ ----------- ----------- -----------
Change in unrealized appreciation (depreciation) on --
Investments ........................................................ $ 97,588,861 $ 8,440,807 $ 6,585,529 $11,910,205
Translation of assets and liabilities in foreign currencies ........ (669) (1,556) 2,391 (3,989)
------------ ----------- ----------- -----------
Net unrealized gain on investments and foreign currency
translation $ 97,588,192 $ 8,439,251 $ 6,587,920 $11,906,216
------------ ----------- ----------- -----------
Net realized and unrealized gain on investments and
foreign currency ................................................ $241,451,166 $24,121,709 $11,215,049 $31,096,504
------------ ----------- ----------- -----------
Increase in net assets from operations .......................... $297,857,107 $26,947,898 $11,766,919 $31,839,080
============ =========== =========== ===========
</TABLE>
See notes to financial statements
51
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Year Ended December 31, 1997
<TABLE>
<CAPTION>
Capital Conservative Emerging
Appreciation Growth Growth International
Increase (decrease) in net assets: Series Series Series Growth Series
From operations -- -------------- -------------- ------------ -------------
<S> <C> <C> <C> <C>
Net investment income (loss) ................................ $ (1,276,188) $ 10,441,809 $ (1,164,413) $ 192,764
Net realized gain (loss) on investments and foreign
currency transactions ..................................... 150,372,261 87,763,278 18,073,943 (576,797)
Net unrealized gain (loss) on investments and foreign
currency translation ...................................... 96,165,766 127,467,772 48,269,898 (102,443)
-------------- -------------- ------------ -----------
Increase (decrease) in net assets from operations .......... $ 245,261,839 $ 225,672,859 $ 65,179,428 $ (486,476)
-------------- -------------- ------------ -----------
Distributions declared to shareholders --
From net investment income .................................. $ -- $ (7,189,349) $ (188,684) $ (24,244)
From net realized gain on investments and foreign
currency transactions ..................................... (104,376,322) (31,498,498) (1,150,020) --
In excess of net investment income .......................... -- -- (916) --
-------------- -------------- ------------ -----------
Total distributions declared to shareholders .............. $ (104,376,322) $ (38,687,847) $ (1,339,620) $ (24,244)
-------------- -------------- ------------ -----------
Net increase in net assets from Trust share transactions ..... $ 123,723,539 $ 400,142,125 $142,685,385 $18,386,603
-------------- -------------- ------------ -----------
Total increase In net assets .............................. $ 264,609,056 $ 587,127,137 $206,525,193 $17,875,883
Net assets:
At beginning of year ........................................ 1,061,631,431 571,008,035 250,826,225 5,525,223
-------------- -------------- ------------ -----------
At end of year .............................................. $1,326,240,487 $1,158,135,172 $457,351,418 $23,401,106
============== ============== ============ ===========
Accumulated undistributed net investment income included
in net assets at end of year .............................. $ -- $ 10,398,030 $ -- $ 124,177
============== ============== ============ ===========
</TABLE>
<TABLE>
<CAPTION>
MFS/Foreign & Research
Colonial Growth
Managed Emerging and
Sectors Markets Research Income
Increase (decrease) in net assets: Series Equity Series Series Series*
From operations -- ------------- ------------ ------------- ----------
<S> <C> <C> <C> <C>
Net investment income (loss) ............................... $ (648,724) $ 237,924 $ 1,849,477 $ 19,895
Net realized gain on investments and foreign currency
transactions ............................................. 51,889,931 289,612 31,875,765 62,535
Net unrealized gain (loss) on investments and foreign
currency translation ..................................... 14,553,559 (1,318,521) 54,470,900 217,276
------------- ------------ ------------- ----------
Increase (decrease) in net assets from operations ......... $ 65,794,766 $ (790,985) $ 88,196,142 $ 299,706
------------- ------------ ------------- ----------
Distributions declared to shareholders --
From net investment income ................................. $ (196,596) $ (7,806) $ (954,883) $ --
From net realized gain on investments and foreign
currency transactions .................................... (31,648,262) -- (12,012,838) --
------------- ------------ ------------- ----------
Total distributions declared to shareholders ............. $ (31,844,858) $ (7,806) $ (12,967,721) $ --
------------- ------------ ------------- ----------
Net increase in net assets from Trust share transactions .... $ 40,309,615 $ 21,708,805 $ 269,684,599 $6,240,284
------------- ------------ ------------- ----------
Total increase in net assets ............................. $ 74,259,523 $ 20,910,014 $ 344,913,020 $6,539,990
Net assets:
At beginning of year ....................................... 266,367,914 3,271,437 325,389,213 --
------------- ------------ ------------- ----------
At end of year ............................................. $ 340,627,437 $ 24,181,451 $ 670,302,233 $6,539,990
============= ============ ============= ==========
Accumulated undistributed net investment income included
in net assets at end of year ............................. $ -- $ 302,110 $ 1,809,371 $ 19,705
============= ============ ============= ==========
</TABLE>
*For the period from the commencement of the Series' investment operations, May
13, 1997, through December 31, 1997.
See notes to financial statements
52
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Year Ended December 31, 1997 -- continued
<TABLE>
<CAPTION>
Total World
Return Utilities Value Growth
Increase (decrease) in net assets: Series Series Series Series
From operations -- -------------- ------------ ----------- ------------
<S> <C> <C> <C> <C>
Net investment income ....................................... $ 56,405,941 $ 2,826,189 $ 551,870 $ 742,576
Net realized gain on investments and foreign
currency transactions ..................................... 143,862,974 15,682,458 4,627,129 19,190,288
Net unrealized gain on investments and foreign
currency translation ...................................... 97,588,192 8,439,251 6,587,920 11,906,216
-------------- ------------ ----------- ------------
Increase in net assets from operations ..................... $ 297,857,107 $ 26,947,898 $11,766,919 $ 31,839,080
-------------- ------------ ----------- ------------
Distributions declared to shareholders --
From net investment income .................................. $ (49,958,857) $ (2,296,378) $ (65,700) $ (1,004,799)
From net realized gain on investments and foreign
currency transactions ..................................... (96,304,382) (7,017,680) (222,129) (4,111,083)
-------------- ------------ ----------- ------------
Total distributions declared to shareholders .............. $ (146,263,239) $ (9,314,058) $ (287,829) $ (5,115,882)
-------------- ------------ ----------- ------------
Net increase in net assets from Trust share transactions ..... $ 209,492,111 $ 34,694,449 $59,564,648 $ 22,573,299
-------------- ------------ ----------- ------------
Total increase in net assets .............................. $ 361,085,979 $ 52,328,289 $71,043,738 $ 49,296,497
Net assets:
At beginning of year ........................................ 1,335,022,163 70,680,178 16,699,855 203,105,506
-------------- ------------ ----------- ------------
At end of year .............................................. $1,696,108,142 $123,008,467 $87,743,593 $252,402,003
============== ============ =========== ============
Accumulated undistributed net investment income
included in net assets at end of year ..................... $ 56,291,661 $ 2,848,753 $ 531,210 $ 515,458
============== ============ =========== ============
</TABLE>
See notes to financial statements
53
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Year Ended December 31, 1996
<TABLE>
<CAPTION>
Capital Conservative Emerging
Appreciation Growth Growth International
Increase (decrease) in net assets: Series Series Series Growth Series+
From operations -- --------------- ------------- ------------ --------------
<S> <C> <C> <C> <C>
Net investment income (loss) .............................. $ (494,702) $ 7,196,530 $ 191,629 $ 22,420
Net realized gain (loss) on investments and foreign
currency transactions ................................... 103,809,599 31,413,840 278,667 (13,360)
Net unrealized gain (loss) on investments and foreign
currency translation .................................... 78,680,700 58,920,592 16,792,021 (77,930)
-------------- ------------- ------------ ----------
Increase (decrease) in net assets from operations ........ $ 181,995,597 $ 97,530,962 $ 17,262,317 $ (68,870)
-------------- ------------- ------------ ----------
Distributions declared to shareholders --
From net investment income ................................ $ (850,749) $ (4,723,151) $ (223,677) $ --
From net realized gain on investments and foreign
currency transactions (75,199,375) (10,911,137) -- --
-------------- ------------- ------------ -----------
Total distributions declared to shareholders ............ $ (76,050,124) $ (15,634,288) $ (223,677) $ --
-------------- ------------- ------------ -----------
Net increase in net assets from Trust share transactions ... $ 158,584,266 $ 187,087,749 $166,532,798 $5,594,093
-------------- ------------- ------------ -----------
Total increase in net assets ............................ $ 264,529,739 $ 268,984,423 $183,571,438 $5,525,223
Net assets:
At beginning of year ...................................... 797,101,692 302,023,612 67,254,787 --
-------------- ------------- ------------ -----------
At end of year ............................................ $1,061,631,431 $ 571,008,035 $250,826,225 $5,525,223
============== ============= ============ ===========
Accumulated undistributed net investment income included
in net assets at end of year $ -- $ 7,188,091 $ 188,684 $ 16,864
============== ============= ============ ===========
</TABLE>
<TABLE>
<CAPTION>
MFS/Foreign &
Colonial
Managed Emerging
Sectors Markets Research
Increase (decrease) in net assets: Series Equity Series++ Series
From operations -- ------------- -------------- ------------
<S> <C> <C> <C>
Net investment income ...................................................... $ 206,805 $ 7,100 $ 972,234
Net realized gain (loss) on investments and foreign currency transactions .. 31,504,082 (9,654) 11,923,794
Net unrealized gain on investments and foreign currency translation ........ 6,002,049 44,230 25,455,574
------------- ---------- ------------
Increase in net assets from operations .................................... $ 37,712,936 $ 41,676 $ 38,351,602
------------- ---------- ------------
Distributions declared to shareholders --
From net investment income ................................................. $ (637,050) $ -- $ (328,089)
From net realized gain on investments and foreign currency transactions .... (28,755,283) -- (1,843,286)
------------- ---------- ------------
Total distributions declared to shareholders ............................. $ (29,392,333) $ -- $ (2,171,375)
------------- ---------- ------------
Net increase in net assets from Trust share transactions .................... $ 63,696,532 $3,229,761 $217,380,873
------------- ---------- ------------
Total increase in net assets ............................................. $ 72,017,135 $3,271,437 $253,561,100
------------- ---------- ------------
Net assets:
At beginning of year ....................................................... 194,350,779 -- 71,828,113
------------- ---------- ------------
At end of year ............................................................. $ 266,367,914 $3,271,437 $325,389,213
============= ========== ============
Accumulated undistributed net investment income included in net
assets at end of year .................................................... $ 196,586 $ 2,742 $ 953,745
============= ========== ============
</TABLE>
+For the period from the commencement of the Series' investment operations,
June 3, 1996, through December 31, 1996.
++For the period from the commencement of the Series' investment operations,
June 5, 1996, through December 31, 1996.
See notes to financial statements
54
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Year Ended December 31, 1996 -- continued
<TABLE>
<CAPTION>
Total World
Return Utilities Value Growth
Increase (decrease) in net assets: Series Series Series+ Series
From operations -- -------------- ------------ ----------- --------------
<S> <C> <C> <C> <C>
Net investment income ............................................... $ 50,133,901 $ 2,361,477 $ 66,130 $ 327,326
Net realized gain on investments and foreign currency transactions .. 96,340,959 6,976,719 218,760 4,230,851
Net unrealized gain on investments and foreign currency translation . 15,773,783 1,890,721 474,019 15,684,144
-------------- ------------ ----------- -------------
Increase in net assets from operations ............................. $ 162,248,643 $ 11,228,917 $ 758,909 $ 20,242,321
-------------- ------------ ----------- -------------
Distributions declared to shareholders --
From net investment income .......................................... $ (44,516,908) $ (1,325,715) $ -- $ (1,196,882)
From net realized gain on investments and foreign
currency transactions ............................................. (41,696,365) (1,440,891) -- (11,275,915)
-------------- ------------ ------------ -------------
Total distributions declared to shareholders ...................... $ (86,213,273) $ (2,766,606) $ -- $ (12,472,797)
-------------- ------------ ------------ -------------
Net increase in net assets from Trust share transactions ............. $ 159,099,396 $ 19,083,507 $15,940,946 $ 48,947,749
-------------- ------------ ------------ -------------
Total increase in net assets ...................................... $ 235,134,766 $ 27,545,818 $16,699,855 $ 56,717,273
Net assets:
At beginning of year ................................................ 1,099,887,397 43,134,360 -- 146,388,233
-------------- ------------ ------------ -------------
At end of year ...................................................... $1,335,022,163 $ 70,680,178 $16,699,855 $ 203,105,506
============== ============ ============ =============
Accumulated undistributed net investment income included
in net assets at end of year ....................................... $ 50,080,118 $ 2,310,310 $ 65,733 $ 838,106
============== ============ ============ =============
</TABLE>
For the period from the commencement of the Series' investment operations,
June 3, 1996, through December 31, 1996.
See notes to financial statements
55
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights
<TABLE>
<CAPTION>
Capital Appreciation Series
----------------------------------------------------------------
Year Ended December 31,
----------------------------------------------------------------
1997 1996 1995 1994 1993
Per share data (for a share outstanding throughout each year): ---------- ---------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value -- beginning of year ......................... $ 35.8316 $ 31.9878 $ 24.4076 $ 28.1892 $ 24.8989
---------- ---------- --------- --------- ---------
Income from investment operations# --
Net investment income (loss) ................................ $ (0.0405) $ (0.0200) $ 0.0933 $ 0.0523 $ 0.1036
Net realized and unrealized gain (loss) on investments
and foreign currency transactions ......................... 7.8691 6.7422
---------- ---------- 8.1619 (1.1104) 4.2197
Total from investment operations .......................... $ 7.8286 $ 6.7222 --------- --------- ---------
---------- ---------- $ 8.2552 $ (1.0581) $ 4.3233
Less distributions -- --------- --------- ---------
From net investment income .................................. $ -- $ (0.0322)
From net realized gain on investments and foreign $ (0.0568) $ (0.1306) $ (0.1095)
currency transactions ..................................... (3.5210) (2.8462) (0.6182) (2.5929) (0.9235)
---------- ---------- --------- --------- ---------
Total distributions ....................................... $ (3.5210) $ (2.8784) $ (0.6750) $ (2.7235) $ (1.0330)
---------- ---------- --------- --------- ---------
Net asset value -- end of year ............................... $ 40.1392 $ 35.8316 $ 31.9878 $ 24.4076 $ 28.1892
========= ========== ========= ========= =========
Total return[dbldag] ......................................... 23.14% 21.48% 34.46% (3.60)% 18.00%
Ratios (to average net assets)/Supplemental data:
Expenses## .................................................. 0.78% 0.80% 0.83% 0.83% 0.83%
Net investment income (loss) ................................ (0.10)% (0.05)% 0.32% 0.24% 0.48%
Portfolio turnover ........................................... 68% 67% 89% 52% 70%
Average commission rate### ................................... $ 0.0523 $ 0.0463 $ -- $ -- $ --
Net assets, end of year (000 omitted) ........................ $1,326,240 $1,061,631 $ 797,102 $476,508 $ 420,552
</TABLE>
<TABLE>
<CAPTION>
Conservative Growth Series
--------------------------------------------------------------------
Year Ended December 31,
--------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Per share data (for a share outstanding
throughout each year):
1997 1996 1995 1994 1993
--------- --------- --------- --------- ---------
Net asset value -- beginning of year ...................... $ 26.4978 $ 22.0182 $ 16.4563 $ 16.9289 $ 16.0717
--------- --------- --------- --------- ---------
Income from investment operations# --
Net investment income (loss)[sec] ........................ $ 0.3714 $ 0.4100 $ 0.4318 $ 0.2942 $ 0.2041
Net realized and unrealized gain (loss) on investments
and foreign currency transactions ....................... 7.8153 5.0415 5.6172 ( 0.4790) 1.1280
--------- --------- --------- --------- ---------
Total from investment operations ....................... $ 8.1867 $ 5.4515 $ 6.0490 $ (0.1848) $ 1.3321
--------- --------- --------- --------- ---------
Less distributions --
From net investment income ............................... $ (0.2854) $ (0.2936) $ (0.3037) $ (0.1996) $ (0.1509)
From net realized gain on investments and foreign
currency transactions ................................... (1.2502) (0.6783) (0.1834) (0.0882) (0.3240)
--------- --------- --------- --------- ---------
Total distributions .................................... $ (1.5356) $ (0.9719) $ (0.4871) $ (0.2878) $ (0.4749)
--------- --------- --------- --------- ---------
Net asset value -- end of year ............................ $ 33.1489 $ 26.4978 $ 22.0182 $ 16.4563 $ 16.9289
========= ========= ========= ========= =========
Total return[dbldag] ...................................... 31.94% 25.41% 37.41% (1.10)% 8.43%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................... 0.61% 0.61% 0.64% 0.64% 0.66%
Net investment income (loss) ............................. 1.23% 1.71% 2.25% 2.42% 2.05%
Portfolio turnover ........................................ 52% 51% 60% 146% 19%
Average commission rate### ................................ $ 0.0563 $ 0.0502 $ -- $ -- $ --
Net assets, end of year (000 omitted) ..................... $1,158,135 $ 571,008 $ 302,024 $ 150,318 $ 95,770
<CAPTION>
Emerging Growth Series
-------------------------------------
Year Ended December 31, Period
------------------------ Ended
Per share data (for a share outstanding December 31,
throughout each year): 1997 1996 1995*
-------- -------- --------
<S> <C> <C> <C>
Net asset value -- beginning of year ...................... $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 year ............................ $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%
Average commission rate### ................................ $ 0.0593 $ 0.0346 $ --
Net assets, end of year (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.
**Net asset value on date of commencement of operations.
+Annualized.
++Not annualized.
#Per share data are based on average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are
calculated without reduction for fees paid indirectly.
###Average commission rate is calculated for fiscal years beginning on or
after September 1, 1995.
[dbldag]The total return information shown above does not reflect expenses
that apply to the separate accounts established by Sun Life of Canada
(U.S.) and Sun Life (N.Y.). Inclusion of these charges would reduce the
total return figures for all periods shown.
[sec]The investment adviser voluntarily waived all or a portion of its
advisory fee for the Emerging Growth Series for the periods indicated.
If the waiver had not been in place, the net investment income (loss)
per share and the ratios would have been:
<TABLE>
<CAPTION>
Emerging Growth Series
---------------------------------------
Year Ended Period Ended
December 31, 1996 December 31, 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
56
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
International
Growth Series
--------------------------------
Year Ended Period Ended
December 31, December 31,
<S> <C> <C>
Per share data (for a share outstanding throughout each year): 1997 1996*
--------- --------
Net asset value -- beginning of year .............................................. $ 9.8213 $ 10.0000*****
--------- --------
Income from investment operations# --
Net investment income[sec] ....................................................... $ 0.1201 $ 0.0748
Net realized and unrealized loss on investments and foreign currency transactions (0.2747) (0.2535)
--------- --------
Total from investment operations ............................................... $(0.1546) $ (0.1787)
--------- --------
Less distributions from net investment income ..................................... $(0.0187) $ --
--------- --------
Net asset value -- end of year .................................................... $ 9.6480 $ 9.8213
========= ========
Total return[dbldag] .............................................................. 1.64)% (1.70)%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ....................................................................... 1.11% 1.50%+
Net investment income ............................................................ 1.23% 1.47%+
Portfolio turnover ................................................................ 261% 3%
Average commission rate### ........................................................ $ 0.0218 $ 0.0252
Net assets, end of year (000 omitted) ............................................. $ 23,401 $ 5,525
</TABLE>
<TABLE>
<CAPTION>
Managed Sectors Series
----------------------------------------------------------------
Year Ended December 31,
---------------------------------------------------------------
1997 1996 1995 1994 1993
Per share data (for a share outstanding throughout each year): --------- -------- -------- --------- --------
<S> <C> <C> <C> <C> <C>
Net asset value -- beginning of year .......................... $ 26.2503 $25.4468 $19.8823 $23.2419 $22.3342
--------- -------- -------- -------- --------
Income from investment operations# --
Net investment income (loss) ................................. $ (0.0597) $ 0.0200 $ 0.0979 $ 0.0982 $ 0.0027
Net realized and unrealized gain (loss) on investments
and foreign currency transactions .......................... 6.2302 4.2817
--------- -------- 6.1880 (0.6610) 0.9050
Total from investment operations ........................... $ 6.1705 $ 4.3017 -------- -------- --------
--------- -------- $ 6.2859 $(0.5628) $ 0.9077
Less distributions -- -------- -------- --------
From net investment income ................................... $ (0.0201) $(0.0758)
From net realized gain on investments and foreign $(0.0542) $(0.0239) $ --
currency transactions ...................................... (3.2406) (3.4224) (0.6672) (2.7729) --
--------- -------- -------- -------- ---------
Total distributions ........................................ $ (3.2607) $(3.4982) $(0.7214) $(2.7968) $ --
--------- -------- -------- -------- ---------
Net asset value -- end of year ................................ $ 29.1601 $26.2503 $25.4468 $19.8823 $23.2419
========= ======== ======== ======== =========
Total return[dbldag] .......................................... 25.63% 17.58% 32.29% (1.94)% 4.08%
Ratios (to average net assets)/Supplemental data:
Expenses## ................................................... 0.82% 0.82% 0.84% 0.87% 0.84%
Net investment income (loss) ................................. (0.21)% 0.09% 0.42% 0.53% 0.01%
Portfolio turnover ............................................ 103% 121% 113% 103% 116%
Average commission rate### .................................... $ 0.0561 $ 0.0475 $ -- $ -- $ --
Net assets, end of year (000 omitted) ......................... $ 340,627 $266,368 $194,351 $118,987 $104,964
<CAPTION>
MFS/Foreign & Colonial
Emerging Markets Equity Series
-------------------------------
Year Ended Period Ended
December 31, December 31,
1997 1996***
Per share data (for a share outstanding throughout each year): ----------- ------------
<S> <C> <C>
Net asset value -- beginning of year ....................................... $10.0013 $ 10.000****
-------- --------
Income from investment operations# --
Net investment income (loss) .............................................. $ 0.1638 $ 0.0706
Net realized and unrealized gain (loss) on investments and foreign
currency transactions .................................................... 0.8773 (0.0693)
-------- --------
Total from investment operations ........................................ $ 1.0411 $ 0.0013
-------- --------
Less distributions --
From net investment income ................................................ $(0.0065) $ --
From net realized gain on investments and foreign currency transactions ... -- --
-------- --------
Total distributions ..................................................... $(0.0065) $ --
-------- --------
Net asset value -- end of year ............................................. $11.0359 $10.0013
======== ========
Total return[dbldag] ....................................................... 10.46% 0.00%++
Ratios (to average net assets)/Supplemental data:
Expenses## ................................................................ 1.07% 1.50%+
Net investment income (loss) .............................................. 1.38% 0.77%+
Portfolio turnover ......................................................... 69% 4%
Average commission rate### ................................................. $ 0.0014 $ 0.0011
Net assets, end of year (000 omitted) ...................................... $ 24,181 $ 3,271
</TABLE>
*For the period from the commencement of the Series' investment
operations, June 3, 1996 through December 31, 1996.
***For the period from the commencement of the Series' investment
operations, June 5, 1996 through December 31, 1996.
****Net asset value on date of commencement of operations.
+Annualized.
++Not annualized.
#Per share data are based on average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are
calculated without reduction for fees paid indirectly.
###Average commission rate is calculated for fiscal years beginning on or
after September 1, 1995.
[dbldag]The total return information shown above does not reflect expenses
that apply to the separate accounts established by Sun Life of Canada
(U.S.) and Sun Life (N.Y.). Inclusion of these charges would reduce the
total return figures for all years shown.
[sec]The investment adviser voluntarily agreed to maintain the expenses of
the International Growth Series and MFS/Foreign & Colonial Emerging
Markets Equity Series at not more than 1.50% of average daily net
assets. In addition, the investment adviser voluntarily waived all or a
portion of its advisory fee for the periods indicated. To the extent
actual expenses were over these limitations, the net investment income
(loss) per share and the ratios would have been:
<TABLE>
<CAPTION>
International MFS/Foreign & Colonial
Growth Series Emerging Markets Equity Series
------------------------------- -----------------------------------
Year Ended Period Ended Year Ended Period Ended
December 31, December 31, December 31, December 31,
1997 1996* 1997 1996***
-------------- -------------- -------------- ------------------
<S> <C> <C> <C> <C>
Net investment income (loss) .......... $0.1036 $0.0265 $0.1552 $(0.0975)
Ratios (to average net assets):
Expenses## ........................... 1.28% 2.50%+ 1.55% 3.38%+
Net investment income (loss) ......... 1.06% 0.46%+ 0.90% (1.12)%+
</TABLE>
See notes to financial statements
57
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
Research Growth
and Income
Research Series Series
---------------------------------------------------- --------------
Year Ended December 31,
-------------------------------------- Period Ended Period Ended
Per share data (for a share outstanding December 31, December 31,
throughout each year): 1997 1996 1995 1994* 1997***
--------- --------- --------- --------- -------------
<S> <C> <C> <C> <C> <C>
Net asset value -- beginning of year ....... $ 16.5735 $ 13.5777 $ 9.8761 $10.0000** $10.0000**
--------- --------- --------- --------- --------
Income from investment operations# --
Net investment income[sec] ................ $ 0.0678 $ 0.0797 $ 0.1401 $ 0.0131 $ 0.0821
Net realized and unrealized gain (loss)
on investments and foreign
currency transactions .................... 3.3159 3.1330 3.5651 (0.1370) 0.9387
--------- --------- --------- --------- --------
Total from investment operations $ 3.3837 $ 3.2127 $ 3.7052 $(0.1239) $ 1.0208
--------- --------- --------- --------- --------
Less distributions --
From net investment income ................ $ (0.0387) $ (0.0328) $ (0.0036) $ -- $ --
From net realized gain on investments
and foreign currency transactions ........ (0.4872) (0.1841) -- -- --
--------- --------- --------- --------- --------
Total distributions ..................... $ (0.5259) $ (0.2169) $ (0.0036) $ -- $ --
--------- --------- --------- --------- --------
Net asset value -- end of year ............. $ 19.4313 $ 16.5735 $ 13.5777 $ 9.8761 $11.0208
========= ========= ========= ========= ========
Total return[dbldag] ....................... 20.86% 23.76% 37.50% (1.20)%++ 10.20%++
Ratios (to average net assets)/
Supplemental data[sec]:
Expenses## ................................ 0.79% 0.84% 0.58% 1.50%+ 1.50%+
Net investment income ..................... 0.37% 0.52% 1.16% 1.80%+ 1.19%+
Portfolio turnover ......................... 79% 70% 81% 3% 29%
Average commission rate### ................. $ 0.0458 $ 0.0280 $ -- $ -- $ 0.0450
Net assets, end of year
(000 omitted) ............................. $ 670,302 $ 325,389 $ 71,828 $ 3,869 $ 6,540
<CAPTION>
Total Return Series
----------------------------------------------------------------------------
Year Ended December 31,
----------------------------------------------------------------------------
Per share data (for a share outstanding
throughout each year): 1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C>
Net asset value -- beginning of year ....... $ 19.4397 $ 18.3848 $ 15.0862 $16.0946 $ 14.7219
---------- ---------- ---------- -------- ---------
Income from investment operations# --
Net investment income[sec] ................ $ 0.7546 $ 0.7677 $ 0.7824 $ 0.5639 $ 0.4319
Net realized and unrealized gain (loss)
on investments and foreign
currency transactions .................... 3.2409 1.6795 3.1527 (0.9310) 1.5044
---------- ---------- ---------- -------- ---------
Total from investment operations $ 3.9955 $ 2.4472 $ 3.9351 $(0.3671) $ 1.9363
---------- ---------- ---------- -------- ---------
Less distributions --
From net investment income ................ $ (0.7234) $ (0.7189) $ (0.6365) $(0.4344) $ (0.4798)
From net realized gain on investments
and foreign currency transactions ........ (1.3945) (0.6734) -- (0.2069) (0.0838)
---------- ---------- ---------- -------- ---------
Total distributions ..................... $ (2.1179) $ (1.3923) $ (0.6365) $(0.6413) $ (0.5636)
---------- ---------- ---------- -------- ---------
Net asset value -- end of year ............. $ 21.3173 $ 19.4397 $ 18.3848 $15.0862 $ 16.0946
---------- ---------- ---------- -------- ---------
Total return[dbldag] ....................... 21.98% 14.10% 26.71% 2.22)% 13.37%
Ratios (to average net assets)/
Supplemental data[sec]:
Expenses## ................................ 0.71% 0.72% 0.76% 0.76% 0.78%
Net investment income ..................... 3.72% 4.15% 4.70% 4.34% 4.06%
Portfolio turnover ......................... 113% 134% 108% 66% 102%
Average commission rate### ................. $ 0.0590 $ 0.0539 $ -- $ -- $ --
Net assets, end of year
(000 omitted) ............................. $1,696,108 $1,335,022 $1,099,887 $839,614 $696,496
</TABLE>
*For the period from the commencement of the Series' investment
operations, November 7, 1994, through December 31, 1994.
**Net asset value on date of commencement of operations.
***For the period from the commencement of the Series' investment
operations, May 13, 1997, through December 31, 1997.
+Annualized.
++Not annualized.
#Per share data are based on average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are
calculated without reduction for fees paid indirectly.
###Average commission rate is calculated for fiscal years beginning on
or after September 1, 1995.
[dbldag]The total return information shown above does not reflect expenses
that apply to the separate accounts established by Sun Life of Canada
(U.S.) and Sun Life (N.Y.). Inclusion of these charges would reduce
the total return figures for all periods shown.
[sec]The investment adviser voluntarily waived a portion of its advisory
fee for the Research Series for the periods indicated. In addition,
the investment adviser voluntarily agreed to maintain the expenses of
the Research Growth and Income Series at not more than 1.50% of
average daily net assets. If the waiver had not been in place and,
with respect to the Research Growth and Income Series, to the extent
actual expenses were over these limitations, the net investment income
(loss) per share and the ratios would have been:
<TABLE>
<CAPTION>
Research Growth
Research Series and Income Series
------------------------------- -----------------
Year Ended Period Ended Period Ended
December 31, December 31, December 31,
1995 1994* 1997***
------------- ------------- ---------------
<S> <C> <C> <C>
Net investment income (loss) .. $0.0954 $0.0145) $0.0614
Ratios (to average net assets):
Expenses## ................... 0.95% 3.49%+ 1.83%+
Net investment income (loss) . 0.79% (0.19)%+ 0.84%+
</TABLE>
See notes to financial statements
58
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
Utilities Series
----------------------------------------------------
Year Ended December 31,
----------------------------------------------------
Per share data (for a share outstanding 1997 1996 1995 1994
throughout each year): ---------- --------- --------- --------
<S> <C> <C> <C> <C>
Net asset value -- beginning of year ................. $13.9874 $12.2598 $ 9.5209 $10.0164
-------- -------- -------- --------
Income from investment operations# --
Net investment income[sec] .......................... $ 0.4576 $ 0.5322 $ 0.4918 $ 0.2899
Net realized and unrealized gain (loss) on
investments and foreign currency transactions ...... 3.6873 1.8548 2.5197 (0.7817)
-------- -------- -------- --------
Total from investment operations .................. $ 4.1449 $ 2.3870 $ 3.0115 $(0.4918)
-------- -------- -------- --------
Less distributions --
From net investment income .......................... $(0.4248) $(0.3160) $(0.2726) $(0.0037)
From net realized gain on investments and foreign
currency transactions .............................. (1.2982) 0.3434) -- --
-------- -------- -------- --------
Total distributions ............................... $(1.7230) $(0.6594) $(0.2726) $(0.0037)
-------- -------- -------- --------
Net asset value -- end of year ....................... $16.4093 $13.9874 $12.2598 $ 9.5209
======== ======== ======== ========
Total return[dbldag] ................................. 32.71% 20.37% 32.36% (4.96)%
Ratios (to average net assets)/
Supplemental data[sec]:
Expenses## .......................................... 0.86% 0.88% 0.44% 0.39%
Net investment income ............................... 3.15% 4.23% 4.62% 4.59%
Portfolio turnover ................................... 144% 131% 119% 103%
Average commission rate### ........................... $ 0.0324 $ 0.0435 $ -- $ --
Net assets, end of year (000 omitted) ................ $123,008 $ 70,680 $ 43,134 $ 21,448
<CAPTION>
Utilities Series Value Series
------------------ -----------------------------------
Per share data (for a share outstanding Period Ended Year Ended Period Ended
December 31, December 31, December 31,
1993* 1997 1996***
throughout each year): ------------------ -------------- --------------------
<S> <C> <C> <C>
Net asset value -- beginning of year ................. $10.0000**** $11.0055 $10.0000****
-------- -------- --------
Income from investment operations# --
Net investment income[sec] .......................... $ 0.0128 $ 0.1466 $ 0.0916
Net realized and unrealized gain (loss) on
investments and foreign currency transactions ...... 0.0036 2.8785 0.9139
-------- -------- ---------
Total from investment operations .................. $ 0.0164 $ 3.0251 $ 1.0055
-------- -------- --------
Less distributions --
From net investment income .......................... $ -- $(0.0221) $ --
From net realized gain on investments and foreign
currency transactions .............................. -- (0.0746) --
-------- -------- --------
Total distributions ............................... $ -- $(0.0967) $ --
-------- -------- --------
Net asset value -- end of year ....................... $10.0164 $13.9339 $11.0055
======== ======== ========
Total return[dbldag] ................................. 1.59%+ 27.57% 10.10%++
Ratios (to average net assets)/
Supplemental data[sec]:
Expenses## .......................................... 1.50%+ 0.77% 0.60%+
Net investment income ............................... 2.58%+ 1.15% 1.75%+
Portfolio turnover ................................... -- 129% 52%
Average commission rate### ........................... $ -- $ 0.0372 $ 0.0228
Net assets, end of year (000 omitted) ................ $ 2,798 $ 87,744 $ 16,700
</TABLE>
*For the period from the commencement of the Series' investment
operations, November 16, 1993, through December 31, 1993.
***For the period from the commencement of the Series' investment
operations, June 3, 1996, through December 31, 1996.
****Net asset value on date of commencement of operations.
+Annualized.
++Not annualized.
#Per share data are based on average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are calculated
without reduction for fees paid indirectly.
###Average commission rate is calculated for fiscal years beginning on or
after September 1, 1995.
[dbldag]The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.)
and Sun Life (N.Y.). Inclusion of these charges would reduce the total
return figures for all periods shown.
[sec]The investment adviser voluntarily waived all or a portion of its
advisory fee for the Utilities Series and Value Series for the periods
indicated. In addition, the investment adviser voluntarily agreed to
maintain the expenses of the Value Series at not more than 1.00% of
average daily net assets. If the waivers had not been in place and, with
respect to the Value Series, to the extent actual expenses were over
these limitations, the net investment income (loss) per share and the
ratios would have been:
<TABLE>
<CAPTION>
Utilities Series Value Series
---------------------------------------------- --------------------------------
Year Ended December 31, Period Ended Year Ended Period Ended
--------------------------- December 31, December 31, December 31,
1995 1994 1993* 1997 1996***
------------ ------------ ---------------- -------------- ---------------
<S> <C> <C> <C> <C> <C>
Net investment income (loss) .......... $0.4375 $0.2412 $(0.0407) $0.1296 $0.0537
Ratios (to average net assets):
Expenses## ........................... 0.95% 1.14% 9.71%+ 0.90% 1.35%+
Net investment income (loss) ......... 4.12% 3.84% (5.63)%+ 1.03% 1.02%+
</TABLE>
See notes to financial statements
59
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
World Growth Series
------------------------------------------------------------
Year Ended December 31, Period Ended
---------------------------------------------- December 31,
Per share data (for a share outstanding throughout each year): 1997 1996 1995 1994 1993*
--------- --------- -------- --------- --------
<S> <C> <C> <C> <C> <C>
Net asset value -- beginning of year ........................... $ 13.0338 $ 12.3464 $10.9425 $ 10.6366 $10.0000***
--------- --------- -------- --------- --------
Income from investment operations# --
Net investment income[sec] .................................... $ 0.0446 $ 0.0232 $ 0.0689 $ 0.1506 $ 0.0088
Net realized and unrealized gain on investments and
foreign currency transactions ................................ 1.9245 1.5878 1.6388 0.1590 0.6278
--------- --------- -------- --------- --------
Total from investment operations ............................ $ 1.9691 $ 1.6110 $ 1.7077 $ 0.3096 $ 0.6366
--------- --------- -------- --------- --------
Less distributions --
From net investment income .................................... $ (0.0626) $ (0.0886) $(0.1361) $ (0.0037) $ --
From net realized gain on investments and foreign
currency transactions (0.2559) (0.8350) (0.1677) -- --
--------- --------- -------- --------- --------
Total distributions .......................................... $ (0.3185) $ (0.9236) $(0.3038) $ (0.0037) $ --
--------- --------- -------- --------- --------
Net asset value -- end of year ................................. $ 14.6844 $ 13.0338 $12.3464 $ 10.9425 $10.6366
========= ========= ======== ========= ========
Total return[dbldag] ........................................... 15.32% 13.02% 16.06% 2.86% 50.78%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## .................................................... 1.02% 1.04% 1.07% 0.47% 1.02%+
Net investment income ......................................... 0.31% 0.18% 0.60% 2.20% 1.23%+
Portfolio turnover ............................................. 105% 81% 162% 231% 2%
Average commission rate### ..................................... $ 0.0109 $ 0.0142 $ -- $ -- $ --
Net assets, end of year (000 omitted) .......................... $ 252,402 $ 203,106 $146,388 $100,045 $ 18,879
</TABLE>
*For the period from the commencement of the Series' investment
operations, November 16, 1993, through December 31, 1993.
***Net asset value on date of commencement of operations.
+Annualized.
++Not annualized.
#Per share data are based on average shares outstanding.
##For fiscal years ending after September 1, 1995, expenses are calculated
without reduction for fees paid indirectly.
###Average commission rate is calculated for fiscal years beginning on or
after September 1, 1995.
[dbldag]The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.)
and Sun Life (N.Y.). Inclusion of these charges would reduce the total
return figures for all periods shown.
[sec]The investment adviser voluntarily waived all or a portion of its
advisory fee for the World Growth Series for the periods indicated. If
the waivers had not been in place, the net investment income per share
and the ratios would have been:
World Growth Series
------------------------------
Year Ended Period Ended
December 31, December 31,
1994 1993*
--------- ------------
Net investment income ....................... $0.0989 $0.0022
Ratios (to average net assets):
Expenses## ................................. 1.20% 1.92%+
Net investment income ...................... 1.47% 0.33%+
See notes to financial statements
60
<PAGE>
MFS/Sun Life Series Trust
Notes to Financial Statements
(1) Organization
The Trust is organized as a Massachusetts business trust and is registered under
the Investment Company Act of 1940, as amended, as an open-end, management
investment company consisting of twenty separate Series (the Series) of shares:
Capital Appreciation Series*, Conservative Growth Series*, Emerging Growth
Series*, Government Securities Series, High Yield Series, International Growth
Series*, International Growth and Income Series, Managed Sectors Series*,
MFS/Foreign & Colonial Emerging Markets Equity Series*, Money Market Series,
Research Series*, Research Growth and Income Series*, Total Return Series*,
Utilities Series*, Value Series*, World Asset Allocation Series, World
Governments Series, World Growth Series*, World Total Return Series, and Zero
Coupon Series, 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 base currency and translated into U.S. dollars at the closing
daily exchange rate. Futures contracts, options, and options on futures
contracts listed on commodities exchanges are reported at market value using
closing settlement prices. Over-the-counter options are valued by brokers
through the use of a pricing model which takes into account closing bond
valuations, implied volatility, and short-term repurchase rates. Securities for
which there are no such quotations or valuations are valued at fair value as
determined in good faith by or at the direction of the Trustees.
Repurchase Agreements - Certain Series of the Trust may enter into repurchase
agreements with institutions that the Trust's investment adviser has determined
are creditworthy. Each repurchase agreement is recorded at cost. Such Series
require that the securities purchased in a repurchase transaction be transferred
to the custodian in a manner sufficient to enable the Trust to obtain those
securities in the event of a default under the repurchase agreement. The Trust
monitors, on a daily basis, the value of the securities transferred to ensure
that the value, including accrued interest, of the securities under each
repurchase agreement is greater than amounts owed to the Series under each such
repurchase agreement. Certain Series of the Trust, along with other affiliated
entities of Massachusetts Financial Services Company (MFS), may utilize a joint
trading account for the purpose of entering into one or more repurchase
agreements.
Foreign Currency Translation - Investment valuations, other assets, and
liabilities initially expressed in foreign currencies are converted each
business day into U.S. dollars based upon current exchange rates. Purchases and
sales of foreign investments, income, and expenses are converted into U.S.
dollars based upon currency exchange rates prevailing on the respective dates of
such transactions. Gains and losses attributable to foreign currency exchange
rates on sales of securities are recorded for financial statement purposes as
net realized gains and losses on investments. Gains and losses attributable to
foreign exchange rate movements on income and expenses are recorded for
financial statement purposes as foreign currency transaction gains and losses.
That portion of both realized and unrealized gains and losses on investments
that result from fluctuations in foreign currency exchange rates is not
separately disclosed.
Written Options - Certain Series of the Trust may also 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
61
<PAGE>
Notes to Financial Statements -- continued
enter into contracts to deliver or receive foreign currency it will receive from
or require for its normal investment activities. It may also use contracts in a
manner intended to protect foreign-currency-denominated securities from declines
in value due to unfavorable exchange rate movements. For non-hedging purposes,
the Series may enter into contracts with the intent of changing the relative
exposure of the Series' portfolio of securities to different currencies to take
advantage of anticipated changes. The forward foreign currency exchange
contracts are adjusted by the daily exchange rate of the underlying currency and
any gains or losses are recorded for financial statement purposes as unrealized
until the contract settlement date. 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 - The Series' custody fee is calculated as a percentage of
the Series' average daily net assets. The fee is reduced according to an
arrangement that measures the value of cash deposited with the custodian by the
Series. This amount is shown as a reduction of expenses on the Statement of
Operations.
Tax Matters and Distributions - Each Series or portfolio of the Trust intends to
comply with the provisions of the Internal Revenue Code (the Code) applicable to
regulated investment companies and to distribute to shareholders all of its net
taxable income, including any net realized gain on investments. Accordingly, no
provision for federal income or excise tax is necessary. Foreign taxes have been
provided for on interest and dividend income earned on foreign investments in
accordance with the applicable country's tax rates and to the extent
unrecoverable are recorded as a reduction of investment income. The Trust 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 the Trust's 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 accumulated net realized
gains. For the year ended December 31, 1997, the following amounts were
reclassified due to permanent differences between book and tax accounting for
currency transactions. These changes had no effect on the net assets or net
asset value per share.
<TABLE>
<CAPTION>
Capital Conservative Emerging International Managed
Appreciation Growth Growth Growth Sectors
Series Series Series Series Series
-------------- ------------ ------------ ------------- -----------
<S> <C> <C> <C> <C> <C>
Increase (decrease):
Paid-in capital ................................... $ (1,301,564) $ -- $ -- $ 6,598 $ (657,523)
Accumulated undistributed net realized gain on
investments and foreign currency transactions .. 25,376 42,521 (1,165,329) 54,609 8,789
Accumulated undistributed net investment income ... 1,276,188 (42,521) 1,165,329 (61,207) 648,734
<CAPTION>
MFS/Foreign
& Colonial
Emerging
Markets Equity
Series
--------------
<S> <C>
Increase (decrease):
Paid-in capital ..................................... $ --
Accumulated undistributed net realized gain on
investments and foreign currency transactions ...... (69,250)
Accumulated undistributed net investment income ..... 69,250
</TABLE>
<TABLE>
<CAPTION>
Research
Growth and Total World
Research Income Return Utilities Value Growth
Series Series Series Series Series Series
---------- ---------- --------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease):
Paid-in capital ........................ $ -- $ -- $ -- $ -- $ -- $ 6,917
Accumulated undistributed net
realized gain on investments
and foreign currency transactions ..... 38,968 190 235,541 (8,632) 20,693 53,508
Accumulated undistributed net
investment income ..................... (38,968) (190) (235,541) 8,632 (20,693) (60,425)
</TABLE>
At December 31, 1997, the following Series had capital loss carryforwards for
federal income tax purposes which may be applied against any net taxable
realized gains of each succeeding year until the earlier of their utilization or
expiration.
<TABLE>
<CAPTION>
Portion Expiring December 31,
--------------------------------------------
Total Carryover 1998 1999 2000
----------------- -------- -------- --------
<S> <C> <C> <C> <C>
International Growth Series ......................... $523,753 $-- $-- $--
======== ======= ======= =======
MFS/Foreign & Colonial Emerging Markets Equity Series 5,296 -- -- --
======== ======= ======= =======
<CAPTION>
Portion Expiring December 31,
----------------------------------------------
2001 2002 2003 2004 2005
-------- -------- -------- --------- ---------
<S> <C> <C> <C> <C> <C>
International Growth Series ......................... $-- $-- $-- $7,804 $515,949
======= ======= ======= ====== ========
MFS/Foreign & Colonial Emerging Markets Equity Series -- -- -- 5,296 --
======= ======= ======= ====== ========
</TABLE>
(3) Transactions with Affiliates
The Trust has investment advisory agreements with Massachusetts Financial
Services Company (MFS), an indirect subsidiary of Sun Life Assurance Company of
Canada, to provide overall investment advisory and administrative services, and
general office facilities. Investment advisory fees are computed daily and paid
monthly at an effective annual rate based on a percentage of each Series'
average daily net assets. The agreements also provide that each Series will be
reimbursed for expenses in excess of the expense limitation indicated below,
calculated based on the average daily net assets of each Series for the fiscal
year. Investment advisory fees and expense limitations are as follows:
62
<PAGE>
Notes to Financial Statements -- continued
<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
International Growth Series ............................ 0.975%* N/A
Managed Sectors Series ................................. 0.75%* 1.25%
MFS/Foreign & Colonial Emerging Markets Equity Series .. 1.25% 1.50%
Research Series ........................................ 0.75%* N/A
Research Growth and Income Series ...................... 0.75% 1.50%
Total Return Series .................................... 0.75%* 1.25%
Utilities Series ....................................... 0.75%* N/A
Value Series ........................................... 0.75%* N/A
World Growth Series .................................... 0.90% N/A
</TABLE>
*The advisory fee for the Capital Appreciation Series is 0.75% of the first $1
billion of the average daily net assets, 0.675% of the average daily net assets
of the next $500 million and 0.65% of the average daily net assets in excess of
$1.5 billion. The advisory fee for the Emerging Growth Series, Managed Sectors
Series, Research Series, Total Return Series, Utilities Series, and Value Series
is 0.75% of the first $300 million of average daily net assets of each of the
Series and 0.675% of the average daily net assets of each Series in excess of
$300 million. The advisory fee for the Total Return Series is reduced to 0.60%
of the average daily net assets in excess of $1 billion. The advisory fee for
the International Growth Series is 0.975% of the first $500 million of the
average daily net assets and 0.925% of the average daily net assets in excess of
$500 million.
The advisory agreements with respect to the MFS/Foreign & Colonial Emerging
Markets Equity Series and World Growth Series permit MFS to engage one or more
sub-advisers and the adviser has engaged Foreign & Colonial Management Ltd., an
England and Wales Company, and its subsidiary Foreign & Colonial Emerging
Markets Limited to assist in the performance of its services.
MFS has assumed a portion of the fees for the MFS/Foreign & Colonial Emerging
Markets Equity Series, International Growth Series, Research Growth and Income
Series and Value Series. The amount assumed under these agreements for the year
ended December 31, 1997, was $83,132, $26,067, $5,017 and $61,335, respectively.
Administrator - Effective March 1, 1997, each Series has an administrative
services agreement with MFS to provide the 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 the Series'
average daily net assets, provided that the administrative fee is not assessed
on Series assets that exceed $3 billion:
First $1 billion................ 0.0150%
Next $1 billion................. 0.0125%
Next $1 billion................. 0.0100%
In excess of $3 billion......... 0.0000%
The Trust pays no compensation directly to its Trustees or officers who are
affiliated with MFS or Sun Life Assurance Company of Canada (U.S.), all of whom
receive remuneration for their services to the Trust from MFS or Sun Life
Assurance Company of Canada. Certain of the officers and Trustees of the Trust
are officers or directors of MFS or Sun Life Assurance Company of Canada.
(4) Portfolio Securities
For the year ended December 31, 1997, purchases and sales of investments, other
than purchased option transactions and short-term obligations, were
as follows:
<TABLE>
<CAPTION>
Capital Conservative Emerging
Appreciation Growth Growth International
Series Series Series Growth Series
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Purchases
U.S. government securities ........................... $ -- $ -- $ -- $ --
=============== =============== =============== ===========
Investments (non-U.S. government securities) ......... $733,822,140 $788,936,415 $513,693,209 $51,896,132
=============== =============== =============== ============
Sales
U.S. government securities ........................... $ -- $ -- $ -- $ --
=============== =============== =============== ============
Investments (non-U.S. government securities) ......... $741,813,023 $421,547,011 $363,053,455 $34,599,238
=============== =============== =============== ============
</TABLE>
<TABLE>
<CAPTION>
MFS/Foreign & Research
Managed Colonial Growth
Sectors Emerging Markets Research and Income
Series Equity Series Series Series
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Purchases
U.S. government securities ........................... $ -- $ -- $ -- $ 107,207
=============== ============== =============== ==========
Investments (non-U.S. government securities) ......... $307,594,914 $32,109,616 $623,419,602 $6,380,830
=============== ============== =============== ==========
Sales
U.S. government securities ........................... $ -- $ -- $ -- $ --
=============== ============== =============== ===========
Investments (non-U.S. government securities) ......... $315,763,868 $10,540,960 $380,210,659 $ 614,374
=============== ============== =============== ===========
</TABLE>
63
<PAGE>
Notes to Financial Statements -- continued
<TABLE>
<CAPTION>
Total World
Return Utilities Value Growth
Series Series Series Series
--------------- -------------- ------------- -------------
<S> <C> <C> <C> <C>
Purchases
U.S. government securities ...................... $629,910,906 $ 19,296,641 $ 8,130,766 $ --
============ ============ =========== =============
Investments (non-U.S. government securities) .... $948,655,697 $135,030,122 $98,720,608 $258,205,863
============ ============ =========== =============
Sales
U.S. government securities ...................... $625,073,970 $ 18,066,792 $ 9,211,351 $ --
============ ============ =========== =============
Investments (non-U.S. government securities) .... $925,496,896 $109,706,703 $45,807,984 $235,795,845
============ ============ =========== =============
</TABLE>
At December 31, 1997, the cost and unrealized appreciation or depreciation in
value of the investment securities owned by each series of the Trust, as
computed on the federal income tax basis, are as follows:
<TABLE>
<CAPTION>
Capital Conservative Emerging
Appreciation Growth Growth International
Series Series Series Growth Series
--------------- ---------------- --------------- --------------
<S> <C> <C> <C> <C>
Aggregate cost .................................. $1,002,191,162 $919,244,311 $ 393,942,310 $ 23,545,096
============== ============ ============= ============
Gross unrealized appreciation ................... $ 368,227,049 $245,454,682 $ 86,504,966 $ 1,322,452
Gross unrealized depreciation ................... (52,946,858) (9,089,689) (16,978,932) (1,572,018)
-------------- ------------ ------------- ------------
Net unrealized appreciation (depreciation) ..... $ 315,280,191 $236,364,993 $ 69,526,034 $ (249,566)
============== ============ ============= ============
</TABLE>
<TABLE>
<CAPTION>
MFS/Foreign &
Managed Colonial Research
Sectors Emerging Markets Research Growth and
Series Equity Series Series Income Series
--------------- ------------------ --------------- --------------
<S> <C> <C> <C> <C>
Aggregate cost .................................. $ 280,608,537 $ 25,039,429 $ 558,163,084 $6,496,421
============= ============ ============= ==========
Gross unrealized appreciation ................... $ 74,822,217 $ 1,556,059 $ 123,299,088 $ 374,795
Gross unrealized depreciation ................... (21,848,664) (2,853,777) (17,255,647) (157,661)
------------- ------------ ------------- ----------
Net unrealized appreciation (depreciation) ..... $ 52,973,553 $ (1,297,718) $ 106,043,441 $ 217,134
============= ============ ============= ==========
</TABLE>
<TABLE>
<CAPTION>
Total World
Return Utilities Value Growth
Series Series Series Series
-------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C>
Aggregate cost .................................. $1,437,606,134 $107,501,227 $ 81,218,482 $ 218,082,553
============== ============ ============ =============
Gross unrealized appreciation ................... $ 264,378,708 $ 16,395,441 $ 9,140,643 $ 46,085,145
Gross unrealized depreciation ................... (8,766,659) (1,468,996) (2,217,428) (14,579,848)
-------------- ------------ ------------ -------------
Net unrealized appreciation .................... $ 255,612,049 $ 14,926,445 $ 6,923,215 $ 31,505,297
============== ============ ============ =============
</TABLE>
(5) Shares of Beneficial Interest
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value).
Transactions in Trust shares during the years ended December 31, 1997 and
December 31, 1996 are presented below and on the following page.
<TABLE>
<CAPTION>
Capital Appreciation Series
----------------------------------------------------------------
Year Ended Year Ended
December 31, 1997 December 31, 1996
--------------------------------- ------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ........................ 10,434,973 $ 400,458,067 11,443,621 $ 385,162,405
Shares issued to shareholders in
reinvestment of distributions ..... 2,938,523 104,376,322 2,235,453 76,050,124
Shares reacquired .................. (9,960,873) (381,110,850) (8,969,620) (302,628,263)
---------- ------------- ---------- -------------
Net increase ...................... 3,412,623 $ 123,723,539 4,709,454 $ 158,584,266
========== ============= ========== =============
<CAPTION>
Conservative Growth Series
------------------------------------------------------------
Year Ended Year Ended
December 31, 1997 December 31, 1996
------------------------------- ----------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ........................ 13,737,227 $ 412,591,260 7,921,733 $ 190,035,383
Shares issued to shareholders in
reinvestment of distributions ..... 1,378,263 38,687,847 677,102 15,634,288
Shares reacquired .................. (1,727,397) (51,136,982) (766,565) (18,581,922)
---------- ------------- --------- -------------
Net increase ...................... 13,388,093 $ 400,142,125 7,832,270 $ 187,087,749
========== ============= ========= =============
</TABLE>
<TABLE>
<CAPTION>
Emerging Growth Series
--------------------------------------------------------------
Year Ended Year Ended
December 31, 1997 December 31, 1996
------------------------------- ------------------------------
Shares Amount Shares Amount
--------------- --------------- --------------- --------------
<S> <C> <C> <C> <C>
Shares sold .................... 10,946,183 $ 181,464,154 13,818,601 $ 196,450,554
Shares issued to shareholders in
reinvestment of distributions . 88,424 1,339,620 15,052 223,677
Shares reacquired .............. (2,543,688) (40,118,389) (2,221,950) (30,141,433)
---------- ------------- ---------- -------------
Net increase .................. 8,490,919 $ 142,685,385 11,611,703 $ 166,532,798
========== ============= ========== =============
<CAPTION>
International Growth Series
----------------------------------------------------------
Year Ended Period Ended
December 31, 1997 December 31, 1996+
---------------------------- -----------------------------
Shares Amount Shares Amount
------------- -------------- ------------- ---------------
<S> <C> <C> <C> <C>
Shares sold .................... 2,306,580 $ 22,635,372 720,467 $ 7,169,348
Shares issued to shareholders in
reinvestment of distributions . 2,469 24,244 -- --
Shares reacquired .............. (446,133) (4,273,013) (157,890) (1,575,255)
--------- ------------ -------- -----------
Net increase .................. 1,862,916 $ 18,386,603 562,577 $ 5,594,093
========= ============ ======== ===========
</TABLE>
64
<PAGE>
Notes to Financial Statements -- continued
<TABLE>
<CAPTION>
Managed Sectors Series
---------------------------------------------------------------
Year Ended Year Ended
December 31, 1997 December 31, 1996
-------------------------------- ------------------------------
Shares Amount Shares Amount
--------------- ---------------- --------------- --------------
<S> <C> <C> <C> <C>
Shares sold .................... 3,138,355 $ 89,274,597 2,818,152 $ 71,069,036
Shares issued to shareholders in
reinvestment of distributions .. 1,278,910 31,844,858 1,176,164 29,392,333
Shares reacquired .............. (2,883,189) (80,809,840) (1,484,629) (36,764,837)
---------- ------------ ---------- ------------
Net increase .................. 1,534,076 $ 40,309,615 2,509,687 $ 63,696,532
========== ============ ========== ============
<CAPTION>
MFS/Foreign & Colonial
Emerging Markets Equity Series
------------------------------------------------------
Year Ended Year Ended
December 31, 1997 December 31, 1996++
---------------------------- -------------------------
Shares Amount Shares Amount
------------- -------------- ------------ ------------
<S> <C> <C> <C> <C>
Shares sold .................... 2,597,554 $ 30,304,756 379,243 $3,745,777
Shares issued to shareholders in
reinvestment of distributions .. 685 7,806 -- --
Shares reacquired .............. (734,171) (8,603,757) (52,143) (516,016)
--------- ------------ ------- ----------
Net increase .................. 1,864,068 $ 21,708,805 327,100 $3,229,761
========= ============ ======= ==========
</TABLE>
<TABLE>
<CAPTION>
Research Series
-------------------------------------------------------------
Year Ended Year Ended
December 31, 1997 December 31, 1996
------------------------------ ------------------------------
Shares Amount Shares Amount
-------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C>
Shares sold .................... 14,881,373 $ 270,570,212 14,559,925 $220,770,984
Shares issued to shareholders in
reinvestment of distributions .. 757,459 12,967,721 143,325 2,171,375
Shares reacquired .............. (776,006) (13,853,334) (360,295) (5,561,486)
---------- ------------- ---------- ------------
Net increase .................. 14,862,826 $ 269,684,599 14,342,955 $217,380,873
========== ============= ========== ============
<CAPTION>
Research Growth and Income Series
---------------------------------
Period Ended
December 31, 1997+++
---------------------------------
Shares Amount
------------ -------------
<S> <C> <C>
Shares sold .................... 625,995 $6,579,170
Shares issued to shareholders in
reinvestment of distributions .. -- --
Shares reacquired .............. (32,574) (338,886)
------- ----------
Net increase .................. 593,421 $6,240,284
======= ==========
</TABLE>
<TABLE>
<CAPTION>
Total Return Series
------------------------------------------------------------------
Year Ended Year Ended
December 31, 1997 December 31, 1996
---------------------------------- -------------------------------
Shares Amount Shares Amount
---------------- ----------------- --------------- ---------------
<S> <C> <C> <C> <C>
Shares sold ........................ 13,207,717 $ 265,729,913 8,956,855 $164,902,813
Shares issued to shareholders in
reinvestment of distributions ...... 7,751,099 146,263,239 4,879,076 86,213,273
Shares acquired .................... (10,068,841) (202,501,041) (4,986,660) (92,016,690)
----------- ------------- ---------- ------------
Net increase ...................... 10,889,975 $ 209,492,111 8,849,271 $159,099,396
=========== ============= ========== ============
<CAPTION>
Utilities Series
---------------------------------------------------------
Year Ended Year Ended
December 31, 1997 December 31, 1996
---------------------------- ----------------------------
Shares Amount Shares Amount
------------- -------------- ------------- --------------
<S> <C> <C> <C> <C>
Shares sold ........................ 2,211,285 $ 32,370,633 1,883,446 $ 23,567,505
Shares issued to shareholders in
reinvestment of distributions ...... 710,454 9,314,058 230,167 2,766,606
Shares acquired .................... (478,597) (6,990,242) (578,846) (7,250,604)
--------- ------------ --------- ------------
Net increase ...................... 2,443,142 $ 34,694,449 1,534,767 $ 19,083,507
========= ============ ========= ============
</TABLE>
<TABLE>
<CAPTION>
Value Series
---------------------------------------------------------
Year Ended Period Ended
December 31, 1997 December 31, 1996+
---------------------------- ----------------------------
Shares Amount Shares Amount
------------- -------------- ------------- --------------
<S> <C> <C> <C> <C>
Shares sold .................... 4,923,312 $ 61,333,766 1,564,290 $16,436,287
Shares issued to shareholders in
reinvestment of distributions .. 24,748 287,829 -- --
Shares reacquired .............. (168,345) (2,056,947) (46,888) (495,341)
--------- ------------ --------- -----------
Net increase .................. 4,779,715 $ 59,564,648 1,517,402 $15,940,946
========= ============ ========= ===========
<CAPTION>
World Growth Series
----------------------------------------------------------------
Year Ended Year Ended
December 31, 1997 December 31, 1996
-------------------------------- -------------------------------
Shares Amount Shares Amount
--------------- ---------------- --------------- ---------------
<S> <C> <C> <C> <C>
Shares sold .................... 4,579,286 $ 64,323,747 6,357,585 $ 81,483,550
Shares issued to shareholders in
reinvestment of distributions .. 379,516 5,115,882 961,665 12,472,797
Shares reacquired .............. (3,353,346) (46,866,330) (3,593,022) (45,008,598)
---------- ------------ ---------- ------------
Net increase .................. 1,605,456 $ 22,573,299 3,726,228 $ 48,947,749
========== ============ ========== ============
</TABLE>
+For the period from June 3, 1996, commencement of investment operations,
through December 31, 1996.
++For the period from June 5, 1996, commencement of investment operations,
through December 31, 1996.
+++For the period from May 13, 1997, commencement of investment operations,
through December 31, 1997.
(6) Financial Instruments
Certain Series of the Trust may trade financial instruments with off-balance
sheet risk in the normal course of their investing activities and to assist in
managing exposure to market risks such as interest rates and foreign currency
exchange rates. These financial instruments include written options and forward
foreign currency exchange contracts.
The notional or contractual amounts of these instruments represent the
investment the Series have in particular classes of financial instruments and do
not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered. A summary of
obligations under these financial instruments at December 31, 1997, is shown on
the following page.
65
<PAGE>
Notes to Financial Statements -- continued
Written Option Transactions -- Managed Sector Series
<TABLE>
<CAPTION>
1997 Calls
-----------------------------
Contracts Premiums
----------- ---------------
<S> <C> <C>
Outstanding, beginning of year -- $ --
Options written .................................... 23,170 3,168,167
Options terminated in closing transactions ......... (5,880) (553,389)
Options expired .................................... (11,982) (1,869,960)
------- -----------
Outstanding, end of year ............................ 5,308 $ 744,818
------- ===========
</TABLE>
At December 31, 1997, the Fund had sufficient cash and/or securities at least
equal to the value of the written options.
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>
International Growth Series Sales 3/16/98 FRF 3,100,000 $ 539,008 $ 517,486 $ 21,522
3/16/98 JPY 120,000,000 1,100,241 932,760 167,481
---------- ---------- ----------
$1,639,249 $1,450,246 $ 189,003
========== ========== ==========
------------------------------------------------------------------------------------------------------
Purchases 3/16/98 FRF 3,100,000 $ 506,883 $ 517,486 $ 10,603
3/16/98 JPY 120,000,000 1,067,331 932,760 (134,571)
---------- ---------- ----------
$1,574,214 $1,450,246 $ (123,968)
========== ========== ==========
</TABLE>
At December 31, 1997, forward foreign currency exchange contract purchases and
sales under master netting arrangements and closed forward foreign currency
exchange contracts for the Value Series amounted to a net receivable of $2,641
with Deutsche Bank.
(7) Restricted Securities
Each Series of the Trust is restricted from investing more than a certain amount
in securities which are subject to legal or contractual restrictions on resale.
Such restrictions range from between 0% and 15% of the Series' net assets. At
December 31, 1997, the Capital Appreciation Series, International Growth Series,
MFS/Foreign & Colonial Emerging Markets Equity Series, Research Series, Total
Return Series, and World Growth Series owned the following restricted securities
(consisting of 0.28%, 0.35%, 0.11%, 0.33%, 0.03%, 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 supplied by a pricing service or brokers or, if not
available, in good faith by or at the direction of the Trustees.
<TABLE>
<CAPTION>
Date of Shares/
Series Description Acquisition Par Amount Cost Value
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Capital Appreciation Series Tel-Save Holdings, Inc. 3/10/97 186,900 $3,083,850 $3,714,638
========== ==========
International Growth Series Bank Handlowy w Warszawie 7/03/97 2,261 $ 28,302 $ 28,905
Hong Leong Finance Ltd. 9/11/97 50,000 102,261 53,571
---------- ----------
$ 130,563 $ 82,476
========== ==========
MFS/Foreign & Colonial Emerging
Markets Equity Series Bank Handlowy w Warszawie 7/09/97 2,118 $ 26,267 $ 27,077
========== ==========
Research Series Jarvis Hotels PLC 6/21/94 908,300 $2,430,302 $2,241,229
========== ==========
Total Return Series Merrill Lynch Mortgage 6/22/94 514,000 $ 356,266 $ 490,950
Investors, Inc., 8.171s, 2022 ========== ==========
World Growth Series Bank Handlowy w Warszawie 6/18/97 5,069 $ 63,503 $ 64,803
Hong Leong Finance Ltd. 11/01/96 96,000 289,369 102,857
India Gateway Fund Ltd. 6/02/94 700 3,367 3,087
International Business 8/29/95 12,600 124,992 --
Communications Systems, Inc. 6/21/96 573,491 1,515,971 1,415,088
Jarvis Hotels PLC ---------- ----------
$1,997,202 $1,585,835
========== ==========
</TABLE>
(8) Name Change
Effective September 30, 1997, MFS/Foreign & Colonial International Growth Series
terminated its investment subadvisory agreement with Foreign & Colonial
Management Limited and changed its name to International Growth Series.
66
<PAGE>
Independent Auditors' Report
To the Trustees and Shareholders of MFS/Sun Life Series Trust:
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of Capital Appreciation Series, Conservative
Growth Series, Emerging Growth Series, International Growth Series, Managed
Sectors Series, MFS/Foreign & Colonial Emerging Markets Equity Series, Research
Series, Research Growth and Income Series, Total Return Series, Utilities
Series, Value Series, and World Growth Series, (each a portfolio of MFS/Sun Life
Series Trust) as of December 31, 1997, the related statements of operations for
the year then ended, the statements of changes in net assets for the years ended
December 31, 1997 and 1996, and the financial highlights for each of the years
in the five-year period 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
December 31, 1997 by correspondence with the custodian and brokers; where
replies were not received from brokers, we performed other auditing procedures.
An audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of the Trust at
December 31, 1997, the results of its operations, the changes in its net assets,
and its financial highlights for the respective stated periods in conformity
with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 6, 1998
---------------------------------------------
This MFS(R)/Sun Life Series Trust Annual 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.
67
<PAGE>
Tax Form Summary
Dividends Received Deduction
For the year ended December 31, 1997, the amount of distributions from income
eligible for the 70% dividends received deduction for corporations were as
follows:
Dividends Received Deduction
-----------------------------
Capital Appreciation Series 11.9%
Conservative Growth Series 51.3%
Emerging Growth Series 34.9%
Managed Sectors Series 8.7%
Research Series 15.2%
Total Return Series 32.1%
Utilities Series 16.8%
Value Series 8.7%
World Growth Series 0.9%
Federal Income Tax Information on Distributions
The Series below have designated the following long-term capital gain
distributions:
Long-Term Capital Gains
------------------------
Capital Appreciation Series $63,007,960
Conservative Growth Series 24,215,428
Emerging Growth Series 1,150,020
Managed Sectors Series 17,188,340
Research Series 3,242,855
Total Return Series 92,782,904
Utilities Series 2,740,723
Value Series --
World Growth Series 1,682,216
Foreign Tax Credit
For the year ended December 31, 1997, interest and dividends from foreign
countries and taxes paid to foreign countries were as follows:
<TABLE>
<CAPTION>
Interest and Dividends Taxes
------------------------ ----------
<S> <C> <C>
International Growth Series $ 230,006 $ 23,938
MFS/Foreign & Colonial Emerging Markets Equity Series 328,730 10,788
World Growth Series 2,096,910 191,932
</TABLE>
68
<PAGE>
[BACK COVER]
MFS(R)/Sun Life Series Trust
500 Boylston Street, Boston, MA 02116-3741
Trustees
JOHN D. McNEIL*, Chairman and Trustee
Chairman, Sun Life Assurance Company of Canada,
Toronto, Ontario, Canada
SAMUEL ADAMS, Trustee
Partner, Warner & Stackpole,
Boston, Massachusetts
J. KERMIT BIRCHFIELD, Trustee
Consultant, Display Technology, Inc. (manufacturer of liquid-crystal
display technology), Gloucester, Massachusetts
WILLIAM R. GUTOW, Trustee
Vice Chairman, Capitol Entertainment Management Company
(Blockbuster Video franchise), Dallas, Texas
DAVID D. HORN*, Trustee
Former Senior Vice President and General Manager,
Sun Life Assurance Company of Canada,
Wellesley Hills, Massachusetts
GARTH MARSTON, Trustee
Former Chairman, Retired, The Provident Institution for Savings,
Boston, Massachusetts
DERWYN F. PHILLIPS, Trustee
Former Vice Chairman, Retired, The Gillette Company,
Marblehead, Massachusetts
Officers+
W. THOMAS LONDON, Treasurer
MARK E. BRADLEY, Assistant Treasurer
ELLEN MOYNIHAN, Assistant Treasurer
JAMES O. YOST, Assistant Treasurer
STEPHEN E. CAVAN, Secretary and Clerk
JAMES R. BORDEWICK, JR., Assistant Secretary
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. ALLESSANDRO
JOHN W. BALLEN
ARNAB KUMAR BANERJI
STEPHEN C. BRYANT
DAVID M. CALABRO
JAMES J. CALMAS
JEFFREY CHOWDHEY
MITCHELL D. DYNAN
KENNETH J. ENRIGHT
RICHARD O. HAWKINS
JOHN D. LAUPHEIMER, JR.
DAVID R. MANNHEIM
PAUL M. McMAHON
KEVIN R. PARKE
BERNARD SCOZZAFAVA
MAURA A. SHAUGHNESSY
TONI Y. SHIMURA
FREDERICK J. SIMMONS
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-2A 2/98 190
