<PAGE>
MFS -REGISTERED TRADEMARK-/ SUN LIFE SERIES TRUST
SEMIANNUAL REPORT - JUNE 30, 1999
CAPITAL APPRECIATION SERIES
EMERGING GROWTH SERIES
GLOBAL GROWTH SERIES
(FORMERLY WORLD GROWTH SERIES)
MANAGED SECTORS SERIES
MASSACHUSETTS INVESTORS TRUST SERIES
(FORMERLY CONSERVATIVE GROWTH SERIES)
RESEARCH SERIES
TOTAL RETURN SERIES
UTILITIES SERIES
<PAGE>
<TABLE>
<S> <C>
MFS-Registered Trademark- ORIGINAL RESEARCH-SM-
RESEARCH HAS BEEN CENTRAL TO INVESTMENT MANAGEMENT
AT MFS SINCE 1932, WHEN WE CREATED ONE OF THE
FIRST IN-HOUSE RESEARCH DEPARTMENTS IN THE MUTUAL
FUND INDUSTRY. ORIGINAL RESEARCH-SM- AT MFS IS [LOGO]
MORE THAN JUST CRUNCHING NUMBERS AND CREATING
ECONOMIC MODELS: IT'S GETTING TO KNOW EACH
SECURITY AND EACH COMPANY PERSONALLY.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
<S> <C> <C>
</TABLE>
<PAGE>
LETTER FROM THE CHAIRMAN
DEAR CONTRACT OWNERS,
It has been almost two years since financial turmoil began to rock markets in
Asia, Russia, and Latin America. Even developed markets such as Europe and the
United States were not immune. In the U.S. equity market, for example, investors
focused on a narrow group of 50 of the largest-company growth stocks because
they seemed to offer less volatility in uncertain times. Fixed-income investors
also became more concerned about risk, moving money into U.S. Treasury
securities and out of corporate and municipal bonds and mortgage-backed
securities.
The narrowness of the market was just one of three broad issues that dominated
the U.S. equity market until recently. The other two were a slowdown in
corporate earnings growth and high valuations, with stocks of many companies
selling at extremely high prices relative to their earnings.
Although these have been challenging issues, we now see signs that we feel
demonstrate each one is changing for the better. Today, we believe the markets
are presenting more opportunities for investors to diversify, for our portfolio
managers to find good values, and for us to show the benefits of staying with
our long-term objectives and strategies. Investors seem to be regaining
confidence in a wider range of companies. Stocks of some small and mid-sized
companies, as well as some large industrial companies, have begun to perform
better in the past few months than they had for the previous year or so. These
companies appear to have benefited from early signs of stability in emerging
markets and a continuation of economic growth in the United States.
U.S. companies also have produced better earnings. Corporate earnings were, on
average, relatively flat in 1998. However, we expect earnings to grow 12% to 14%
this year because more companies have benefited from the strong economy and from
aggressive consolidation and cost-cutting measures they have taken over the past
several years.
Based on their earnings projections, our analysts estimate that the U.S. stock
market is still about 30% overvalued. While there has been some shift to a wider
group of stocks, many investors are still focusing on the large-company stocks.
As a result, most of the overvaluation is in the 50 largest stocks in the
Standard & Poor's 500 Composite Index (the S&P 500), a popular, unmanaged index
of common stock total return performance. That means about 450 stocks are
selling at more attractive prices, particularly given what we see as the
improved earnings outlooks for these and many small and mid-sized companies not
in the S&P 500. These companies also benefit from consolidation, cost cutting,
and global growth. Because they are smaller, they may be able to respond to
these changes more quickly, and thus they have the potential to grow faster than
the big companies.
The fixed-income markets, meanwhile, seem to be approaching the level of
relative stability they enjoyed before the Asian turmoil. Some credit for this
stability
goes to the Federal Reserve Board (the Fed), which has reassured investors that
it will act to prevent rapid economic growth from causing higher inflation and
reduced purchasing power. Also, once investors saw that the overseas turmoil had
little, if any, effect on the financial strength of most domestic bond issuers,
the major non-Treasury markets -- corporate, municipal, and mortgage -- began to
rebound. Our portfolio managers are now finding more opportunities to buy bonds
with relatively stable prices and attractive yields.
The past two years have challenged investors. However, we believe we are well
positioned for the current environment because our analysts and portfolio
managers continue to rely on MFS-Registered Trademark- Original Research-SM- to
help evaluate the long-term investment potential of each holding being
considered for our portfolios. Also, we believe our discipline of staying with
our clearly defined investment strategies can help us offer investment products
with the potential to sustain returns over a variety of market cycles.
We appreciate your confidence and welcome any questions or comments you may
have.
Respectfully,
/s/ JOHN D. MCNEIL
John D. McNeil
Chairman
Board of Trustees
July 15, 1999
MANAGEMENT REVIEW AND OUTLOOK
CAPITAL APPRECIATION SERIES
For the six months ended June 30, 1999, the Series provided a total return of
8.30%, which compares to a 12.23% return for the Standard & Poor's 500 Composite
Index (the S&P 500) for the same period. The S&P 500 is a popular, unmanaged
index of common stock total return performance.
We benefited from Microsoft, which held on to its position as the top holding in
the portfolio for the first half of the year. After suffering through declining
stock prices in the winter, the prices of BMC Software, a computer software
company, and Oracle, a database software developer and manufacturer, went up in
the second quarter and the portfolio benefited. Tyco International, an
industrial conglomerate and our second largest holding, continued to perform
well, given its strong earnings growth. MCI WorldCom, a data and
telecommunications company, and Cisco Systems, a computer network developer,
were consistently strong performers. MediaOne, a cable
1
<PAGE>
MANAGEMENT REVIEW AND OUTLOOK -- continued
broadcasting company that made a valuable contribution to the portfolio, was
trimmed after the announcement of an AT&T acquisition offer. We added Comcast,
another cable broadcaster, to our holdings because of what we believe to be
strong fundamentals for the company. Because it seemed overvalued, we reduced
our holdings in the drug company Pfizer. We bought American Home Products, which
develops and sells a wide range of drugs and agricultural products and had good
earnings growth and a reasonable price/earnings multiple.
The portfolio underperformed during the first half of the period and
outperformed during the second half. During the first three months, more
cyclically oriented stocks -- energy and specialty retailing, for example --
performed well, and we had relatively few such holdings. Our technology focus
was correct, but we were more concentrated in software stocks at a time when
semiconductor stocks performed strongly. But during the second half of the
period, software stock performance improved significantly.
Some holdings hurt performance during the period. Cadence Design Systems, a
developer of design software and software services, had disappointing earnings.
Compuware, a software products and professional services company, underperformed
due to concerns about a potential slowdown in sales. Rite Aid, the drug store
chain, experienced management and financing problems.
We have significant holdings in the leisure sector, which is focused on two
primary areas: cable operating companies and radio companies. The cable industry
is benefiting from the introduction of digital services, which expands the
breadth of its products offered through cable television. The industry gets an
added boost as a superior connection for Internet-related services. Our primary
cable holdings are Time Warner and Comcast. Radio stocks continued to have a
strong position in the portfolio because the industry benefited from
consolidation and a strong economy. Consolidation has allowed such companies as
Clear Channel Communications to offer more comprehensive advertising packages
that better cover local markets with a larger number of stations and more
professional programming. This has led to stronger demand for advertising time.
We continue to rely on our bottom-up MFS-Registered Trademark- Original
Research-SM- process. Our team of analysts and portfolio managers visits and
calls companies to identify which have the best growth prospects at today's
valuation levels. It does become more difficult to identify new ideas in today's
highly valued market. However, patience and continued hard work will enable us
to add new companies. During the period, we added to our positions in Wendy's
International and McDonald's Corp. as portfolio fundamentals began to improve
for the restaurant industry.
Looking ahead, the Federal Reserve Board's small interest rate increase would
indicate that it is satisfied with the current level of growth in the economy.
Inflation remains under good control, given recent government information about
inflation indices for consumer and wholesale prices. This paints a good overall
backdrop for the stock market, which is recognized by the current valuation
levels. In general, we think that more moderate upside movement should be
expected from the market than we have seen in the past few years of very strong
performance. We will strive to continue to add those companies that best meet
our objective of capital growth of the portfolio.
EMERGING GROWTH SERIES
For the six months ended June 30, 1999, the Series provided a total return of
12.00%, which compares to a 12.13% return for the average mid cap growth fund
tracked by Lipper Analytical Services, Inc. The Series' return also compares to
a 9.28% return for the Russell 2000 Total Return Index (the Russell 2000) and to
a 12.23% 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 Series' performance was impacted by three important factors. First, the
Series has holdings in small, mid-sized, and large companies. Until early April,
when the market began to broaden, its best-performing segment was made up of a
narrow group of about 50 of the largest-company growth stocks in the S&P 500, as
well as some Internet stocks. Prices of the large-company stocks, relative to
their earnings, reached excessive levels. Now, investors have moved into a
broader range of stocks that are selling at cheaper prices relative to their
earnings. We think the broadening of the market will continue, and that should
be a positive for the Series because it invests in companies of all market
capitalizations.
Second, the Series was affected by the fact that we have not invested in many of
the Internet stocks. While we have been generally reluctant to own Internet
companies that have unproven business models, we do own established companies
such as Cisco Systems, which provides systems to support Internet traffic, and
Oracle, which provides one of the leading enabling technologies for
e-commerce. Many of the Internet stocks, including new companies that have shown
no profit, performed very well in the early part of the year. However, when
investors became nervous over their valuations, they rushed out of them. Our
investments in stocks with proven business models helped to protect the
portfolio from a decline in Internet stock speculation.
The third factor has been our exposure to computer software companies. Many
software companies have faced uncertainty over the Year 2000 (Y2K) computer
issue. Earlier this year, it looked like many businesses
2
<PAGE>
MANAGEMENT REVIEW AND OUTLOOK -- continued
would reduce their spending on computer software and systems to give themselves
time to ensure their existing systems were Y2K ready. Although it now looks like
spending won't be cut as much as people feared, the stocks have already been
impacted. We think the Y2K issue will be behind us by next spring. At that time,
we think companies such as BMC Software and Computer Associates, which are
dominant in their markets, should be among the best positioned in what we expect
to be a very rapidly growing industry.
Technology continues to be the Series' largest sector. Companies are still
increasing earnings growth by aggressively downsizing, restructuring, and
outsourcing many business functions. Technology allows these companies to be
more productive without necessarily hiring more people. We believe these trends
will continue both domestically and internationally, and they should continue to
benefit such holdings as Microsoft.
Several of the Series' telecommunications and media holdings also have performed
well. MCI WorldCom is a dominant player in telecommunications and the backbone
of worldwide cellular traffic. MediaOne, which is being acquired by AT&T, has
been a big beneficiary of the growth of cable, both for entertainment and for
Internet access. Also, after several years of not being able to increase prices,
health maintenance organizations such as United HealthCare have been raising
their rates, which we feel should make them more profitable.
GLOBAL GROWTH SERIES
For the six months ended June 30, 1999, the Series provided a total return of
13.27%, which compares to a 6.23% return for the average global flexible fund
tracked by Lipper Analytical Services, Inc. The Series' return also compares to
returns of 12.23% for the S&P 500, 9.28% for the Russell 2000 Total Return
Index, and 10.21% for the Morgan Stanley Capital International (MSCI) All
Country Index, an unmanaged index of developed-country and emerging market
equities.
Investments in emerging markets have helped performance recently. Our emerging
market holdings previously had been hurt by the downturn in that market, which
began in 1997. However, since late 1998, stock prices in emerging markets have
rebounded strongly because investors have become more confident that political
and economic reforms in these countries eventually may result in strong economic
growth.
Several of the Series' U.S. technology and telecommunications holdings,
including Cisco Systems, Microsoft, and Oracle, have also helped performance.
Technology companies, particularly U.S. software companies, continue to help
corporations around the world become more productive. In general, these firms
have been insulated from a slowdown in the economy and continue to generate very
strong earnings growth. Similarly, the explosion in wireless communications and
data transmission has boosted revenues and earnings for telecommunications
companies around the world.
We also like European consumer staples and financial services companies. Stocks
of several consumer staples companies were hurt last year by their exposure to
emerging markets. However, we believe the recent economic improvement in Asia
and Latin America should enable these companies to rebound. Holdings in this
sector include Benckiser, a Dutch company that makes dishwasher detergent and
other household products, and Nestle, a Swiss food company. We also think stock
prices of European financial services companies are attractive in relation to
our earnings and growth outlooks for them. We continue to see opportunities for
consolidation in this sector, which we believe should drive costs down and
result in positive earnings for several years. One of our larger European
holdings in this sector is UBS, a Swiss bank whose stock has risen following its
merger last year with Swiss Bank Corp. The rapid growth of the European media
and communications industry also has helped such broadcast holdings as
Television Francaise 1 in France and Capital Radio in the United Kingdom.
Even though Japan has been one of the best-performing international markets this
year, those gains are largely in anticipation of potential corporate earnings
improvements rather than a reflection of any real change. The Japanese
government has taken positive steps toward reforming the banking sector. If
these reforms are carried out, we believe they will be positive for the Japanese
equity market. Our strategy in Japan is to focus on individual companies rather
than the market as a whole. We are looking for companies with the strongest
franchises that have the potential to increase earnings consistently over the
next few years. We have found a number of companies that we think fit these
criteria, such as NTT Mobile Communications, a telecommunications company;
Hitachi, a technology company; Takeda Chemical, a pharmaceutical company; and
Chugai Pharmaceutical.
Our positions in the European defense industry have hurt performance. Investors
reacted negatively to the British Aerospace purchase of General Electric Co.
PLC's Marconi defense business. However, we continue to believe that there will
be fewer companies in the industry over the long term and that these companies
should be more efficient and better able to compete globally. We have maintained
positions in British Aerospace as well as in Saab in Sweden, both of which
appear to us to be well positioned to benefit from this consolidation trend.
European economies are still lagging behind the U.S. economy. Interest rates in
Europe have declined and the euro has weakened, which may stimulate growth by
making exports cheaper. In addition, restructuring efforts that started in
earnest several years ago are beginning to show results, with companies cutting
costs and reducing redundant operations. We expect this restructuring to be
positive for corporate earnings growth. We think the
3
<PAGE>
MANAGEMENT REVIEW AND OUTLOOK -- continued
combination of low interest rates, improved earnings, and attractive valuations
on a global basis should support European equity markets.
Markets in Japan have had a strong run so far this year. In general, we believe
Japanese companies have tremendous potential to restructure their businesses to
improve profitability. The question remains whether these companies have the
will to carry out their restructuring plans. We see signs of restructuring
efforts in some companies, and their stock prices have responded favorably. To
move ahead, the Japanese market overall needs to show clear evidence of an
economic rebound and further progress on restructuring.
Finally, if emerging markets can avoid incurring too much debt and can continue
the economic reform process that started as a result of the turmoil in the
markets last year, we think these markets can do reasonably well. Some of them
fell 70% or more from their highs of 1997, so even though they have bounced back
somewhat, we are a long way from where we were before the crash.
MANAGED SECTORS SERIES
For the six months ended June 30, 1999, the Series provided a total return of
15.93%, which compares to returns of 12.23% for the S&P 500 and 14.97% for the
Lipper Capital Appreciation Fund Index (the Lipper Index). The Lipper Index is
an unmanaged, net-asset-value-weighted measure of the largest qualifying mutual
funds with capital appreciation as their investment objective.
The Series' performance in the first half of this year was helped by its
overweightings in the leisure sector, including telecommunications. Early on, we
recognized that we were likely to continue being in a very selective market, in
which only a few stocks would yield above-average rewards to investors. So our
job was to find the companies with the strongest relative earnings growth that
would benefit from the supportive global interest-rate environment.
Driving the performance of the Series was a shift to high-quality growth stocks
- -- companies with strong franchises in dynamically growing markets such as
technology, biotechnology, medical devices, and telecommunications. Some of
these companies included QUALCOMM, Tellabs, Sprint Corp., and Biogen.
We believe the telecommunications industry is one of the most attractive areas
we have been able to identify. Growth is being fueled by global deregulation,
the rapid increase in Internet traffic, and the demand for high-speed data
access. Recognizing these trends, we have identified a number of high-growth
telecom companies that are benefiting from global deregulation and improvements
in technology. These companies fall into two categories. The first is
alternative carriers, such as Global TeleSystems, which is benefiting from the
growth of high-speed data services. The second is cable television and related
telecom equipment companies, which are now viewed as an important part of the
infrastructure for delivering the Internet to the consumer. In this category, we
own companies such as Comcast, MediaOne, and Time Warner.
Searching for companies with strong franchises in high-growth markets has led us
to make a few changes in our holdings during the first half of the year. For
example, we've trimmed back our holdings in energy, basic industries, and
financial services. While we believe that the global economy is recovering, the
pace of that recovery may not be strong enough to support further appreciation
in commodity-based companies. Our concern about the potential for higher
interest rates has caused us to reduce our weighting in financial services, a
sector in which margins generally come under pressure when ratings move up.
While most of our major holdings helped performance, two that did not were Qwest
Communications and Sepracor. Qwest made bids for two other communications
companies. If successful, we believe the growth rate of the newly combined
company would slow significantly. Sepracor also fell sharply as an important
joint venture ran into difficulty. We are hopeful that the stock will deliver
future value to shareholders.
There are several things we are monitoring closely as we strategize for the rest
of the year. Inflation seems subdued; however, we believe the U.S. economy
remains quite robust. Meanwhile, the rest of the world is trying to recover from
recession or is experiencing a recovery. We believe this may be a precursor to
higher interest rates. In a market with high valuations, higher interest rates
do represent a potential risk. Also, in a market characterized by high
valuations, any earnings disappointments can be disastrous. So being on top of
company fundamentals is vital to avoiding earnings shortfalls and capitalizing
on positive earnings surprises. We believe that's where MFS' large team of
dedicated analysts may make the difference.
More than any year in recent memory, we believe that 1999 may be a
stock-picker's market. Why is this? First, in general, valuations are extremely
high, so we must be diligent in finding companies with catalysts for
accelerating growth. Second, the large gains enjoyed by the market over the past
six months need to be digested. We believe only the exceptional stock will beat
the market averages, and it is our job to try to find these exceptional stocks
for our shareholders.
MASSACHUSETTS INVESTORS TRUST SERIES
For the six months ended June 30, 1999, the Series provided a total return of
5.94%, which compares to returns of 10.93% for the average growth and income
fund tracked by Lipper Analytical Services, Inc. and 12.23% for the S&P 500.
4
<PAGE>
MANAGEMENT REVIEW AND OUTLOOK -- continued
The Series' underweightings in technology and cyclical stocks, combined with
some individual stocks that did not perform well, hurt performance. This Series
seeks a balance between risk and reward. Historically it has been underweighted
in technology because we felt that the sector's potential for risk was higher
than its potential for reward. Unfortunately, with the technology sector's
recent strong performance, this strategy has not worked out in the short term.
Similarly, the Series has been underweighted in cyclicals over the period,
including basic materials, industrial goods and services, and energy. Recently,
many cyclical stocks have performed well; therefore, our underweighting hurt
performance. Although these industries can sometimes offer pockets of strength,
price fluctuations in their stocks are usually volatile. We feel this
characteristic is not in line with the Series' long-term conservative growth
investment style.
The Series' performance also was hurt by several stocks that did not perform
well. An example is Rite Aid, a drug store chain. This year's market has had
wide differences in price-to-earnings ratios between stocks perceived to be
doing well and those perceived not to be doing well. When stocks fail to meet
their earnings projections -- as was the case with this stock -- their prices
tend to suffer precipitous drops. Therefore, we believe the cost of being wrong
is higher today.
Despite the fact that there were individual stocks that hurt performance, there
were some that worked out well for the portfolio. One example is Newell
Rubbermaid, which was added recently. Newell bought Rubbermaid in the first
quarter of this year, and we believe the combined company could have a near
monopoly on a range of consumer staples, including Rolodexes. It also sells home
products such as drapery, hardware, and kitchen accessories. Rubbermaid had a
broad product line that was very popular but its reputation for customer
satisfaction was poor, while Newell brings a strong customer orientation to the
table.
Another example of a good-performing company is Wells Fargo & Co., a
California-based bank. Last fall, it acquired Norwest Corp., a Minnesota-based
bank, bringing together two complementary financial services companies: one with
good cost controls and another with, in our opinion, growth potential.
Furthermore, we have large weightings in companies that we think have more
favorable price-to-earning ratios than those of the market as a whole, including
United Technologies, an aerospace, defense, and building equipment company;
Xerox, an office equipment company; and AlliedSignal, an aerospace, automotive,
and environmental controls company. We think these companies also have
sustainable long-term earnings growth potential.
Telecommunications companies have been positive performers for the Series. Our
holdings include Bell Atlantic, MCI WorldCom, and Sprint's long-distance
telephone group. Sales growth for these companies and for telecommunications
companies in general have been very strong. The Internet has driven demand for
telecommunications services, and both telecommunications equipment and service
companies have performed well as a result.
Although this has been a difficult market for the Series, we will continue to
blend investments in value and growth stocks while trying to manage risk.
Instead of following market trends, we will continue to buy what we think are
reasonably priced companies with promising futures. We believe the best thing we
can do for contract owners is to continue to stick to our investment discipline
- -- investing in high-quality, large-cap, blue-chip companies.
RESEARCH SERIES
For the six months ended June 30, 1999, the Series provided a total return of
9.04%, which compares to a 12.23% return for the S&P 500.
The Series relies on MFS-Registered Trademark- Original Research-SM- to
incorporate the best ideas of our more than 30 equity analysts, who cover
small-, mid-, and large-cap companies; therefore, the portfolio is broadly
diversified. However, the equity market has, until recently, been very narrow,
with 25 to 50 large-cap growth stocks outperforming the rest of the stocks in
the S&P 500. Because the Series is diversified across market capitalizations, it
is not likely to outperform in a market favoring a small group of stocks. As the
market continues to broaden, we expect the Series to benefit.
The Series is underweighted relative to the S&P 500 in stocks with a market
capitalization of $25 billion or more and is overweighted in stocks with all
other capitalizations. We believe stocks with the smaller capitalizations are
selling at more attractive valuations at this time. As the market broadens to
include those smaller capitalization stocks, we think the Series will benefit.
Two industry sectors that have helped performance are financial services and
technology. The Series' gains in financial services largely came from brokerage
and investment banking stocks. Specifically, the Series had a large holding in
Morgan Stanley Dean Witter, which we believe is well managed and experienced in
the markets it serves. Companies around the world are using firms like Morgan
Stanley to help arrange their mergers.
The leading contributors to technology performance were semiconductor companies
such as LSI Logic and Analog Devices. The semiconductor industry was hurt in
1998 by the Asian economic slowdown as well as by the fact that it had built up
its manufacturing capability to a point at which there was too much supply in
some market segments, so prices came down. Now, demand is beginning to catch up
with supply and Asia seems to be recovering, both of which helped semiconductor
companies.
5
<PAGE>
MANAGEMENT REVIEW AND OUTLOOK -- continued
The continuing strength of the U.S. economy has supported cyclical companies,
that is, companies whose businesses can benefit from strengthening economic
cycles. For example, the Series has benefited from paper holdings such as
Bowater, the number-two newsprint producer in the world. Bowater recently
acquired a competitor, Avenor, which should give Bowater greater market share as
well as the cost-savings benefits that can come from consolidation. Bowater is
global in scope and has benefited from a favorable supply/demand environment,
which may result in price increases.
A few of the Series' retailing holdings have underperformed. Although the
retailing environment has been very good and Dayton Hudson, the department store
chain, has performed well, the Series was hurt by two stocks, Rite Aid and
CompUSA. We have had a significant position in Rite Aid because we believe that
as the population ages people will use more prescription medicines. However,
Rite Aid opened too many stores in a short period of time and underestimated the
costs of closing old stores. The company also had inventory and accounting
problems. Over the long term, however, we believe Rite Aid will continue to
benefit from increasing prescription sales. CompUSA, meanwhile, is losing
computer and software sales to companies that sell over the telephone or on the
Internet. Also, some business customers, who tend to buy more expensive
equipment, are cutting orders to prepare for any Year 2000 (Y2K) computer
problems. By the end of this year, we think the Y2K issue will largely be
resolved, and we believe the company may perform better.
TOTAL RETURN SERIES
For the six months ended June 30, 1999, the Series provided a total return of
4.98%, which compares to a return of 5.57% for the average balanced fund tracked
by Lipper Analytical Services, Inc. The Series' return also compares to returns
of 12.23% for the S&P 500 and -2.28% for the Lehman Brothers
Government/Corporate Bond Index (the Lehman Index), an unmanaged, market-
value-weighted index of all debt obligations of the U.S. Treasury and U.S.
government agencies (excluding mortgage-backed securities) and investment-grade
U.S. corporate debt.
In the first three months of 1999, the Series was hurt by the continued
underperformance of value stocks compared to growth stocks. Prices of value
stocks reflect the underlying value of companies' assets and earnings, while
prices of growth stocks tend to reflect investors' earnings growth expectations.
Late in March, however, value stocks began to recover, due in part to second-
quarter concerns about inflation. Investors trying to anticipate the effects of
rising inflation and interest rates have bought value stocks and moved out of
growth companies, which have been trading at very high prices relative to their
earnings. Because interest rates help determine the value of future earnings,
any interest-rate increase lowers future earnings value. Therefore, stocks
trading at high prices relative to future earnings become less attractive.
Among industries, we think the energy sector looks particularly attractive. The
price of oil has gone from $12 per barrel to around $19. Also, the major oil
companies cut spending on drilling last year, so any increase in supply this
year should be modest, creating a good supply/demand picture. Two oil companies
we like are BP Amoco, which continues to be a big holding, and Mobil. We believe
these companies are benefiting from the consolidation of the industry. In
addition, the supply/ demand picture for natural gas appears to be quite
favorable. A company that we think may benefit from consolidation and rising gas
prices is Coastal Corp.
Another important sector is financial services. Life insurance companies such as
Lincoln National and Hartford Financial Services Group are benefiting from the
growing popularity of annuities. On the property/casualty side of the business,
premiums are beginning to increase after years of decline. We believe this
should benefit companies such as Chubb and St. Paul.
Companies that have performed well for the Series include AlliedSignal, a
diversified industrial company, and those in the paper industry. AlliedSignal
had some earnings problems last year, but with its planned acquisition of
Honeywell, another diversified industrial company, we believe its future appears
bright. Paper companies have reduced their excess supply and, because global
economies have strengthened, demand for paper has been better than expected. As
a result, we've seen higher prices for such holdings as Weyerhaeuser, Champion,
and International Paper.
In February, we began increasing the Series' stock allocation to around 60% of
assets because we felt prices of value stocks had become attractive, especially
given the big gains in growth stocks over the previous year or so. This increase
has helped the portfolio because the market began turning toward value stocks in
April and May. We also have increased the Series' holdings of bonds maturing in
less than two years. This shortening of duration is a more favorable position in
an environment of rising interest rates. However, we have not changed the basic
makeup of the bond portfolio, keeping about 45% of fixed-income assets in
investment-grade corporates and 30% in U.S. Treasuries to help limit price
volatility.
UTILITIES SERIES
For the six months ended June 30, 1999, the Series provided a total return of
9.99%, which compares to a 7.02% return for the average utility fund tracked by
Lipper Analytical Services, Inc. The Series' return also compares to a 1.17%
return for the Standard & Poor's Utility Index, an unmanaged,
market-capitalization-weighted, total return index of all utility stocks in the
S&P 500.
6
<PAGE>
MANAGEMENT REVIEW AND OUTLOOK -- continued
The Series has benefited from consolidation or attempted acquisitions among
several of its top holdings. For example, Frontier Corp., which was the former
Rochester Telephone, has a new management and a new strategy. The company is
focusing on the growth sectors of telecommunications. Two rival companies,
Global Crossing and Qwest Communications, engaged in a bidding war over
Frontier, and Frontier's stock price rose as a result. Another successful
telecommunications position has been MediaOne. Like many cable companies, it
faced difficult regulation and the consequences of overspending. Now, however,
the regulatory picture has improved, and MediaOne's spending is paying off. As a
result, MediaOne has been the object of multiple buyout offers, and its stock
price has risen based on its proposed acquisition by AT&T.
Although consolidation has benefited the Series' telecommunications holdings,
these stocks generally have been performing better than utility stocks for some
time. We believe this pattern will continue for the near future because demand
in this sector is continually increasing. We are being selective, however. We
bought Cincinnati Bell, a local telecommunications company which is branching
out, near the beginning of the year, and it has performed well due to strong
demand for its cellular and Internet services.
The Series' weighting has increased in the natural gas sector, another area that
has experienced consolidation. For example, El Paso Energy's takeover of Sonat
last spring created one of the country's largest natural gas pipeline companies.
The Series owns both Sonat and El Paso, and their stock prices have increased
since the deal was announced. Enron Corp., which is the biggest player in the
trading of both natural gas and electricity, also has benefited from its
leadership position in energy outsourcing and has performed well.
Another holding is Atmos Energy, a local distribution company (LDC). It is in
nine different states and is probably one of the best-run LDCs in our view. The
company has made some recent acquisitions that have nearly doubled its growth
rate. Peco Energy has helped us. Thanks to increased earnings, it is one of the
few electric utilities that had a good first quarter.
We believe the supply/demand outlook for natural gas will improve, perhaps by
this fall. The past two winters have been unseasonably warm, which has cut
demand. However, we believe a return to any sort of normal weather pattern
should help this industry. As companies begin to fill gas storage facilities, a
tight market could be created, which would benefit companies like Coastal Corp.,
a pipeline, exploration, and production company. A stronger natural gas market
also would benefit other companies in the Series, such as El Paso and Williams.
------------------------
The opinions expressed in this report are those of the portfolio managers and
are current only through the end of the period of the report as stated on the
cover. The managers' views are subject to change at any time based on market and
other conditions, and no forecasts can be guaranteed.
It is not possible to invest directly in an index.
The portfolios are actively managed, and current holdings may be different.
7
<PAGE>
PERFORMANCE SUMMARY
Because MFS-Registered Trademark-/Sun Life Series Trust is designed for
investors with long-term goals, we have provided cumulative results as well as
the average annual total returns for the applicable time periods. (See Notes to
Performance Summary for
more information.)
AVERAGE ANNUAL AND CUMULATIVE TOTAL RATES OF RETURN THROUGH JUNE 30, 1999
CAPITAL APPRECIATION SERIES
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------
Cumulative Total Return +8.30% +16.28% +85.33% +196.88% +432.60%
- -----------------------------------------------------------------------------------------------
Average Annual Total Return -- +16.28% +22.83% +24.31% +18.21%
- -----------------------------------------------------------------------------------------------
</TABLE>
EMERGING GROWTH SERIES(1)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Life*
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------
Cumulative Total Return +12.00% +23.74% +86.47% +171.58%
- -------------------------------------------------------------------------------------------------------
Average Annual Total Return -- +23.74% +23.08% +27.11%
- -------------------------------------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations, May
1, 1995 through June 30, 1999.
GLOBAL GROWTH SERIES(3)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years Life*
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Cumulative Total Return +13.27% +14.89% +50.87% +103.45% +114.92%
- ------------------------------------------------------------------------------------------------------------
Average Annual Total Return -- +14.89% +14.69% +15.26% +14.59%
- ------------------------------------------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 16, 1993, through June 30, 1999.
MANAGED SECTORS SERIES(2)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
Cumulative Total Return +15.93% +16.55% +78.38% +166.67% +356.28%
- --------------------------------------------------------------------------------------------------------------
Average Annual Total Return -- +16.55% +21.28% +21.67% +16.39%
- --------------------------------------------------------------------------------------------------------------
</TABLE>
MASSACHUSETTS INVESTORS TRUST SERIES
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
Cumulative Total Return +5.94% +12.25% +96.55% +199.96% +412.82%
- --------------------------------------------------------------------------------------------------------------
Average Annual Total Return -- +12.25% +25.26% +24.57% +17.76%
- --------------------------------------------------------------------------------------------------------------
</TABLE>
RESEARCH SERIES
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Life*
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------
Cumulative Total Return +9.04% +13.63% +78.76% +173.89%
- -----------------------------------------------------------------------------------------------
Average Annual Total Return -- +13.63% +21.36% +24.23%
- -----------------------------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 7, 1994, through June 30, 1999.
TOTAL RETURN SERIES
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
Cumulative Total Return +4.98% +7.87% +55.79% +108.47% +230.19%
- --------------------------------------------------------------------------------------------------------------
Average Annual Total Return -- +7.87% +15.92% +15.83% +12.69%
- --------------------------------------------------------------------------------------------------------------
</TABLE>
UTILITIES SERIES(2)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years Life*
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Cumulative Total Return +9.99% +15.89% +95.63% +178.64% +160.35%
- ------------------------------------------------------------------------------------------------------------
Average Annual Total Return -- +15.89% +25.07% +22.75% +18.56%
- ------------------------------------------------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 16, 1993, through June 30, 1999.
NOTES TO PERFORMANCE SUMMARY
All results are historical and assume the reinvestment of dividends and capital
gains. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND UNITS, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PAST PERFORMANCE
IS NO GUARANTEE OF FUTURE RESULTS. Performance results reflect any applicable
expense subsidies and waivers, without which the results would have been less
favorable. Subsidies and waivers may be rescinded at any time. See the
prospectus for details.
RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF THE MORTALITY AND EXPENSE RISK
CHARGES AND ADMINISTRATION FEES. PLEASE REFER TO THE ANNUITY PRODUCT'S ANNUAL
REPORT FOR PERFORMANCE THAT REFLECTS THE DEDUCTION OF THE FEES AND CHARGES
IMPOSED BY INSURANCE COMPANY SEPARATE ACCOUNTS.
(1) Investing in small or emerging growth companies involves greater risk than
is customarily associated with more established companies. These risks may
increase unit price volatility. See the prospectus for details.
(2) The Series may focus its investments in certain sectors, thereby increasing
its vulnerability to any single economic, political, or regulatory
development. See the prospectus for details.
(3) Investments in foreign and emerging market securities may provide superior
returns but also involve greater risk than U.S. investments. Investments in
foreign and emerging market securities may be favorably or unfavorably
affected by changes in interest rates and currency exchange rates, market
conditions and the economic and political conditions of the countries where
investments are made. These risks may increase unit price volatility. See
the prospectus for details.
8
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 1999
CAPITAL APPRECIATION SERIES
STOCKS -- 92.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 89.2%
ADVERTISING -- 0.6%
Young & Rubicam, Inc. .................. 234,500 $ 10,655,094
-----------------
AEROSPACE -- 1.3%
General Dynamics Corp. ................. 130,800 $ 8,959,800
United Technologies Corp. .............. 201,400 14,437,862
-----------------
$ 23,397,662
-----------------
AIRLINES -- 0.5%
AMR Corp.* ............................. 133,900 $ 9,138,675
-----------------
AUTOMOTIVE -- 0.1%
Federal-Mogul Corp. .................... 47,000 $ 2,444,000
-----------------
BANKS AND CREDIT COMPANIES -- 0.6%
Bank of New York Co., Inc. ............. 301,600 $ 11,064,950
-----------------
BROADCASTING -- 1.2%
Hispanic Broadcasting Corp.* ........... 4,730 $ 358,889
Infinity Broadcasting Corp.* ........... 676,400 20,122,900
Worldgate Communications, Inc. ......... 1,800 92,250
-----------------
$ 20,574,039
-----------------
BUSINESS SERVICES -- 2.0%
Concord EFS, Inc.* ..................... 56,700 $ 2,399,119
DST Systems, Inc.* ..................... 229,900 14,454,962
First Data Corp. ....................... 371,300 18,170,494
Policy Management Systems Corp.* ....... 29,630 888,900
-----------------
$ 35,913,475
-----------------
COMPUTER SOFTWARE --
PERSONAL COMPUTERS -- 6.7%
Microsoft Corp.* ....................... 1,320,000 $ 119,047,500
-----------------
COMPUTER SOFTWARE -- SERVICES -- 0.8%
EMC Corp.* ............................. 245,000 $ 13,475,000
Informatica Corp.* ..................... 1,500 53,438
USinternetworking, Inc. ................ 4,000 168,000
-----------------
$ 13,696,438
-----------------
COMPUTER SOFTWARE -- SYSTEMS -- 9.2%
Ariba, Inc.* ........................... 3,200 $ 311,200
BMC Software, Inc.* .................... 847,100 45,743,400
Cadence Design Systems, Inc.* .......... 1,407,200 17,941,800
Cambridge Technology Partners, Inc.* ... 185,800 3,263,113
Computer Associates International,
Inc. ................................. 383,300 21,081,500
Compuware Corp.* ....................... 454,200 14,449,237
Oracle Corp.* .......................... 1,354,475 50,284,884
Redback Networks, Inc.* ................ 1,100 138,119
Synopsys, Inc.* ........................ 182,900 10,093,794
-----------------
$ 163,307,047
-----------------
CONGLOMERATES -- 1.0%
Kansas City Southern Industries,
Inc. ................................. 135,000 $ 8,614,687
Sodexho Marriott Services, Inc.* ....... 436,600 8,377,263
-----------------
$ 16,991,950
-----------------
CONSUMER GOODS AND SERVICES -- 10.7%
Clorox Co. ............................. 71,400 $ 7,626,413
Colgate-Palmolive Co. .................. 192,400 18,999,500
Galileo International, Inc. ............ 369,700 19,755,844
Gillette Co. ........................... 501,400 20,557,400
Newell Rubbermaid, Inc. ................ 176,200 8,193,300
Tyco International Ltd. ................ 1,213,054 114,936,866
-----------------
$ 190,069,323
-----------------
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
ELECTRICAL EQUIPMENT -- 1.9%
General Electric Co. ................... 213,400 $ 24,114,200
Thomas & Betts Corp. ................... 189,900 8,972,775
-----------------
$ 33,086,975
-----------------
ELECTRONICS -- 1.7%
Altera Corp.* .......................... 149,200 $ 5,492,425
Analog Devices, Inc.* .................. 483,862 24,283,824
GlobeSpan, Inc.* ....................... 2,200 87,450
-----------------
$ 29,863,699
-----------------
ENTERTAINMENT -- 8.1%
CBS Corp.* ............................. 399,700 $ 17,361,969
Clear Channel Communications, Inc.* .... 494,085 34,060,985
Comcast Corp., "A" ..................... 471,800 18,134,812
MediaOne Group, Inc.* .................. 349,100 25,964,312
Time Warner, Inc. ...................... 589,600 43,335,600
Univision Communications, Inc., "A"* ... 88,700 5,854,200
-----------------
$ 144,711,878
-----------------
FINANCIAL INSTITUTIONS -- 4.4%
Associates First Capital Corp., "A" .... 699,900 $ 31,014,319
CIT Group, Inc., "A" ................... 158,600 4,579,575
Financial Federal Corp.* ............... 260,100 5,722,200
Finova Group, Inc. ..................... 369,400 19,439,675
Goldman Sachs Group, Inc.* ............. 16,300 1,177,675
Merrill Lynch & Co., Inc. .............. 79,400 6,347,037
Morgan Stanley Dean Witter & Co. ....... 89,200 9,143,000
-----------------
$ 77,423,481
-----------------
FOOD AND BEVERAGE PRODUCTS -- 1.1%
Keebler Foods Co.* ..................... 260,200 $ 7,903,575
Quaker Oats Co. ........................ 101,710 6,751,001
Ralston-Ralston Purina Co. ............. 149,300 4,544,319
-----------------
$ 19,198,895
-----------------
INSURANCE -- 2.5%
American International Group, Inc. ..... 183,191 $ 21,444,796
Equitable Cos., Inc. ................... 77,400 5,185,800
Lincoln National Corp. ................. 345,200 18,058,275
-----------------
$ 44,688,871
-----------------
INTERNET
Ask Jeeves, Inc.* ...................... 1,700 $ 23,800
-----------------
MANUFACTURING -- 0.2%
Danaher Corp. .......................... 62,000 $ 3,603,750
-----------------
MEDICAL AND HEALTH PRODUCTS -- 3.8%
American Home Products Corp. ........... 398,000 $ 22,885,000
Becton, Dickinson & Co. ................ 220,200 6,606,000
Boston Scientific Corp.* ............... 182,100 8,001,019
Pfizer, Inc. ........................... 158,000 17,340,500
Pharmacia & Upjohn, Inc. ............... 153,700 8,732,081
Schering Plough Corp. .................. 92,100 4,881,300
-----------------
$ 68,445,900
-----------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 5.1%
Cardinal Health, Inc. .................. 257,812 $ 16,532,194
Guidant Corp. .......................... 229,300 11,794,619
Health Management Associates, Inc.,
"A"* ................................. 980,825 11,034,281
HealthSouth Corp.* ..................... 887,800 13,261,513
United HealthCare Corp. ................ 604,033 37,827,567
-----------------
$ 90,450,174
-----------------
</TABLE>
9-CAS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
RESTAURANTS AND LODGING -- 3.4%
Cendant Corp.* ......................... 1,794,900 $ 36,795,450
McDonald's Corp. ....................... 351,100 14,504,819
Wendy's International, Inc. ............ 313,700 8,881,631
-----------------
$ 60,181,900
-----------------
STORES -- 6.7%
CVS Corp. .............................. 1,044,300 $ 52,998,225
Linens 'n Things, Inc.* ................ 33,200 1,452,500
Lowe's Cos., Inc. ...................... 111,300 6,309,319
Office Depot, Inc.* .................... 865,350 19,091,784
Rite Aid Corp. ......................... 908,200 22,364,425
TJX Cos., Inc. ......................... 509,100 16,959,394
-----------------
$ 119,175,647
-----------------
SUPERMARKETS -- 2.2%
Kroger Co.* ............................ 588,000 $ 16,427,250
Safeway, Inc.* ......................... 444,500 22,002,750
-----------------
$ 38,430,000
-----------------
TELECOMMUNICATIONS -- 11.8%
Adelphia Communications Corp. "A"* ..... 8,700 $ 553,538
American Tower Corp., "A"* ............. 267,100 6,410,400
AT&T Corp.* ............................ 118,600 4,358,550
CenturyTel, Inc. ....................... 348,400 13,848,900
Cisco Systems, Inc.* ................... 958,350 61,753,678
Global TeleSystems Group, Inc.* ........ 170,300 13,794,300
Intermedia Communications, Inc.* ....... 114,000 3,420,000
L-3 Communications Holding, Inc.* ...... 2,800 135,275
Lucent Technologies, Inc. .............. 228,600 15,416,212
MCI WorldCom, Inc.* .................... 465,970 40,102,543
Motorola, Inc. ......................... 121,200 11,483,700
Nextlink Communications, Inc., "A"* .... 50,100 3,726,188
Pinnicle Holdings, Inc.* ............... 45,900 1,124,550
Qwest Communications International,
Inc.* ................................ 238,810 7,895,656
Rhythms NetConnections, Inc.* .......... 47,000 2,743,625
Sprint Corp. (PCS Group) ............... 230,900 13,190,162
Tellabs, Inc.* ......................... 142,400 9,620,900
-----------------
$ 209,578,177
-----------------
UTILITIES -- ELECTRIC -- 1.1%
AES Corp.* ............................. 337,700 $ 19,628,812
-----------------
UTILITIES -- TELEPHONE -- 0.5%
Frontier Corp. ......................... 160,700 $ 9,481,300
-----------------
Total U.S. Stocks .................................... $ 1,584,273,412
-----------------
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- 2.9%
BERMUDA -- 0.4%
Ace Ltd. (Insurance) ................... 258,400 $ 7,299,800
-----------------
FINLAND -- 0.2%
Nokia Corp., ADR
(Telecommunications) ................. 48,700 $ 4,459,094
-----------------
GERMANY -- 0.7%
Mannesmann AG (Conglomerate) ........... 85,100 $ 12,715,851
-----------------
ITALY -- 0.5%
Telecom Italia Mobile S.p.A.
(Telecommunications) ................. 1,452,000 $ 8,663,494
-----------------
SWEDEN -- 0.7%
Ericsson LM, ADR
(Telecommunications) ................. 387,900 $ 12,776,456
-----------------
UNITED KINGDOM -- 0.4%
Reuters Group PLC (Business
Services) ............................ 522,600 $ 6,873,086
-----------------
Total Foreign Stocks ................................. $ 52,787,781
-----------------
Total Stocks
(Identified Cost, $1,108,402,522) .................. $ 1,637,061,193
-----------------
SHORT-TERM OBLIGATIONS -- 7.5%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
AT&T Corp., due 7/01/99 ................ $ 1,400 $ 1,400,000
Federal Agricultural Mortgage Corp., due
7/20/99 - 7/26/99 .................... 31,732 31,636,301
Federal Home Loan Bank, due 7/21/99 .... 15,800 15,757,120
Federal Home Loan Mortgage Corp., due
7/09/99 - 7/29/99 .................... 69,100 68,949,367
Federal National Mortgage Corp., due
7/22/99 .............................. 14,700 14,658,240
-----------------
Total Short-Term Obligations, at Amortized Cost ...... $ 132,401,028
-----------------
Total Investments
(Identified Cost, $1,240,803,550) .................. $ 1,769,462,221
-----------------
OTHER ASSETS,
LESS LIABILITIES -- 0.4% 7,105,402
-----------------
Net Assets -- 100.0% ................................. $ 1,776,567,623
-----------------
-----------------
See portfolio footnotes and notes to financial statements
</TABLE>
10-CAS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 1999
EMERGING GROWTH SERIES
STOCKS -- 92.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 86.5%
ADVERTISING -- 0.1%
Big Flower Holdings, Inc.* ............. 1,500 $ 47,813
Lamar Advertising Co., "A"* ............ 1,100 45,031
Omnicom Group, Inc. .................... 8,500 680,000
Outdoor Systems, Inc.* ................. 1,900 69,350
---------------
$ 842,194
---------------
AEROSPACE -- 0.4%
Allied Signal, Inc. .................... 19,600 $ 1,234,800
Gulfstream Aerospace Corp.* ............ 1,100 74,319
Raytheon Co., "B" ...................... 27,500 1,935,312
---------------
$ 3,244,431
---------------
AIRLINES
Airborne Freight Corp. ................. 1,300 $ 35,994
Atlas Air, Inc.* ....................... 1,800 58,050
Skywest, Inc. .......................... 1,400 34,912
---------------
$ 128,956
---------------
AGRICULTURAL PRODUCTS
Case Corp. ............................. 6,600 $ 317,625
---------------
AUTOMOTIVE -- 0.1%
AutoNation, Inc.* ...................... 5,600 $ 99,750
Dana Corp. ............................. 5,600 257,950
Dura Automotive Systems, Inc.* ......... 900 29,925
Group 1 Automotive, Inc.* .............. 1,800 38,025
---------------
$ 425,650
---------------
BANKS AND CREDIT COMPANIES
First Tennessee National Corp. ......... 1,300 $ 49,806
---------------
BIOTECHNOLOGY -- 0.1%
Waters Corp.* .......................... 9,400 $ 499,375
---------------
BROADCASTING -- 0.2%
Hispanic Broadcasting Corp.* ........... 1,300 $ 98,637
Infinity Broadcasting Corp.* ........... 60,100 1,787,975
Source Media, Inc.* .................... 2,100 35,700
Westwood One, Inc.* .................... 1,400 49,963
---------------
$ 1,972,275
---------------
BUILDING
Sherwin Williams Co. ................... 1,700 $ 47,175
---------------
BUSINESS MACHINES -- 1.7%
Affiliated Computer Services, Inc.,
"A"* ................................. 1,200 $ 60,750
Seagate Technology, Inc.* .............. 1,800 46,125
Texas Instruments, Inc. ................ 102,800 14,906,000
---------------
$ 15,012,875
---------------
BUSINESS SERVICES -- 1.5%
Abacus Direct Corp.* ................... 600 $ 54,900
Affiliated Managers Group, Inc.* ....... 1,500 45,281
BISYS Group, Inc.* ..................... 26,300 1,538,550
Building One Services Corp.* ........... 1,013 14,055
Ceridian Corp.* ........................ 6,700 219,006
Computer Horizons Corp.* ............... 5,400 74,587
Concord EFS, Inc.* ..................... 1,500 63,469
First Data Corp. ....................... 182,500 8,931,094
Fiserv, Inc.* .......................... 1,650 51,666
IMRglobal Corp.* ....................... 44,200 850,850
Insight Enterprises, Inc.* ............. 1,500 37,125
Interim Services, Inc.* ................ 2,400 49,500
Learning Tree International, Inc.* ..... 74,300 812,656
Metamor Worldwide, Inc.* ............... 2,600 62,563
Pegasus Systems, Inc.* ................. 1,200 44,925
Professional Detailing, Inc.* .......... 1,300 30,550
---------------
$ 12,880,777
---------------
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
COMPUTER HARDWARE -- SYSTEMS
Maxtor Corp.* .......................... 3,300 $ 16,603
---------------
COMPUTER SOFTWARE --
PERSONAL COMPUTERS -- 5.5%
Microsoft Corp.* ....................... 514,484 $ 46,400,026
Verity, Inc.* .......................... 26,800 1,452,225
---------------
$ 47,852,251
---------------
COMPUTER SOFTWARE -- SERVICES -- 0.8%
EMC Corp.* ............................. 15,200 $ 836,000
Informatica Corp.* ..................... 800 28,500
Internet Commerce Corp.* ............... 10,400 135,200
Sun Microsystems, Inc.* ................ 82,300 5,668,412
---------------
$ 6,668,112
---------------
COMPUTER SOFTWARE -- SYSTEMS -- 8.9%
ACT Networks, Inc.* .................... 2,500 $ 42,656
Adaptec, Inc.* ......................... 120,400 4,251,625
Adobe Systems, Inc. .................... 800 65,725
Ariba, Inc.* ........................... 1,600 155,600
Aspen Technology, Inc.* ................ 1,300 15,275
BMC Software, Inc.* .................... 92,777 5,009,958
Business Objects S.A.* ................. 1,600 58,400
Cadence Design Systems, Inc.* .......... 213,500 2,722,125
Checkfree Holdings Corp.* .............. 1,800 49,613
Clarify, Inc.* ......................... 2,000 82,500
Computer Associates International,
Inc. ................................. 162,575 8,941,625
Compuware Corp.* ....................... 236,600 7,526,837
CSG Systems International, Inc.* ....... 1,200 31,425
Etec Systems, Inc.* .................... 1,100 36,575
Inktomi Corp.* ......................... 10,000 1,315,000
Keane, Inc. ............................ 9,700 219,462
Manugistics Group, Inc.* ............... 13,300 192,850
NCR Corp.* ............................. 1,100 53,694
Oracle Corp.* .......................... 1,238,725 45,987,666
Redback Networks, Inc.* ................ 600 75,338
SunGard Data Systems, Inc.* ............ 12,800 441,600
Synopsys, Inc.* ........................ 1,400 77,262
Vantive Corp.* ......................... 6,800 77,775
---------------
$ 77,430,586
---------------
CONGLOMERATES -- 0.2%
Kansas City Southern Industries,
Inc. ................................. 22,600 $ 1,442,163
---------------
CONSTRUCTION SERVICES
Martin Marietta Materials, Inc. ........ 1,200 $ 70,800
---------------
CONSUMER GOODS AND SERVICES -- 6.4%
Atwood Oceanics, Inc.* ................. 1,600 $ 50,000
Callaway Golf Co. ...................... 3,700 54,113
Carson, Inc., "A"* ..................... 53,800 178,212
Dial Corp. ............................. 1,700 63,219
Galileo International, Inc. ............ 13,600 726,750
Sotheby's Holdings, Inc. ............... 1,800 68,625
The Mead Corp. ......................... 27,900 1,164,825
TV Guide, Inc.* ........................ 1,200 43,950
Tyco International Ltd. ................ 560,979 53,152,760
Whittaker Corp.* ....................... 2,200 61,600
---------------
$ 55,564,054
---------------
CONTAINERS
Owens Illinois, Inc.* .................. 2,500 $ 81,719
Sealed Air Corp.* ...................... 1,000 64,875
Smurfit-Stone Container Corp.* ......... 2,500 51,406
U.S. Can Corp.* ........................ 100 2,225
---------------
$ 200,225
---------------
</TABLE>
11-EGS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
U.S. STOCKS -- continued
<S> <C> <C>
ELECTRICAL EQUIPMENT -- 0.4%
Honeywell, Inc. ........................ 30,800 $ 3,568,950
Jabil Circuit, Inc.* ................... 1,200 54,150
Micrel, Inc.* .......................... 1,100 81,400
---------------
$ 3,704,500
---------------
ELECTRONICS -- 5.1%
Altera Corp.* .......................... 247,000 $ 9,092,687
Analog Devices, Inc.* .................. 123,600 6,203,175
Applied Materials, Inc.* ............... 89,700 6,626,587
Applied Micro Circuits Corp.* .......... 1,300 106,925
Atmel Corp.* ........................... 19,900 521,131
ATMI, Inc.* ............................ 1,800 53,550
Burr-Brown Corp.* ...................... 1,700 62,263
Conexant Systems, Inc.* ................ 1,300 75,481
Credence Systems Corp.* ................ 1,900 70,538
Flextronics International Ltd.* ........ 1,180 65,490
GlobeSpan, Inc.* ....................... 900 35,775
Level One Communications, Inc.* ........ 1,400 68,513
Linear Technology Corp. ................ 28,300 1,903,175
LSI Logic Corp.* ....................... 27,600 1,273,050
LTX Corp.* ............................. 4,400 58,575
Maxim Integrated Products, Inc.* ....... 1,100 73,150
Microchip Technology, Inc.* ............ 1,300 61,588
Micron Technology, Inc.* ............... 23,300 939,281
MIPS Technologies, Inc.* ............... 1,300 62,319
Optical Coating Laboratory, Inc. ....... 850 71,081
Parker-Hannifin Corp. .................. 1,700 77,775
Photronics, Inc.* ...................... 2,000 49,000
PMC-Sierra, Inc.* ...................... 2,200 129,662
Quanta Services, Inc.* ................. 1,800 79,200
Sanmina Corp.* ......................... 1,100 83,463
SCI Systems, Inc.* ..................... 820 38,950
SIPEX Corp.* ........................... 1,300 26,650
Solectron Corp.* ....................... 39,300 2,620,819
Teradyne, Inc.* ........................ 65,700 4,713,975
The DII Group, Inc.* ................... 2,100 78,356
Xilinx, Inc.* .......................... 151,900 8,696,275
---------------
$ 44,018,459
---------------
ENERGY
BJ Services Co.* ....................... 1,900 $ 55,931
Rowan Cos., Inc.* ...................... 3,700 68,219
---------------
$ 124,150
---------------
ENTERTAINMENT -- 8.8%
CBS Corp.* ............................. 96,300 $ 4,183,031
Clear Channel Communications, Inc.* .... 165,055 11,378,479
Comcast Corp., "A" ..................... 364,300 14,002,781
Cox Radio, Inc., "A"* .................. 73,200 3,971,100
Gemstar International Group Ltd.* ...... 26,300 1,716,075
Harrah's Entertainment, Inc.* .......... 2,300 50,600
Hearst-Argyle Television, Inc.* ........ 1,700 40,800
International Speedway Corp. ........... 1,000 47,500
MediaOne Group, Inc.* .................. 225,500 16,771,563
Premier Parks, Inc.* ................... 2,000 73,500
Readers Digest Association, Inc.,
"A" .................................. 1,300 51,675
Time Warner, Inc. ...................... 310,900 22,851,150
Univision Communications, Inc., "A"* ... 15,400 1,016,400
USA Networks, Inc.* .................... 2,500 100,313
---------------
$ 76,254,967
---------------
FINANCIAL INSTITUTIONS -- 0.1%
Hambrecht & Quist Group, Inc., * ....... 1,400 $ 51,975
CIT Group, Inc., "A" ................... 1,200 34,650
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
FINANCIAL INSTITUTIONS -- continued
Paine Webber Group, Inc. ............... 1,000 $ 46,750
U.S. Trust Corp. ....................... 2,500 231,250
Waddell & Reed Financial, Inc., "A" .... 1,800 49,388
---------------
$ 414,013
---------------
FINANCIAL SERVICES
FiNet.com, Inc.* ....................... 5,900 $ 32,819
---------------
FOREST AND PAPER PRODUCTS -- 1.0%
Bowater, Inc. .......................... 1,800 $ 85,050
International Paper Co. ................ 68,300 3,449,150
Weyerhaeuser Co. ....................... 70,100 4,819,375
---------------
$ 8,353,575
---------------
INTERNET
Ask Jeeves, Inc. ....................... 700 $ 9,800
GoTo.com, Inc.* ........................ 1,800 50,400
Software.com, Inc.* .................... 1,100 25,506
---------------
$ 85,706
---------------
LEISURE
Penske Motorsports, Inc.* .............. 1,400 $ 69,475
Speedway Motorsports, Inc.* ............ 1,200 47,175
---------------
$ 116,650
---------------
MACHINERY -- 0.6%
Caterpillar, Inc. ...................... 20,900 $ 1,254,000
Deere & Co., Inc. ...................... 6,300 249,637
Eaton Corp. ............................ 35,300 3,247,600
SI Handling Systems, Inc. .............. 25,350 266,175
---------------
$ 5,017,412
---------------
MEDICAL AND HEALTH PRODUCTS -- 0.4%
Biomatrix, Inc.* ....................... 1,400 $ 30,275
Boston Scientific Corp.* ............... 77,700 3,413,944
C.R. Bard, Inc. ........................ 800 38,250
King Pharmaceuticals, Inc.* ............ 4,500 116,437
Respironics, Inc.* ..................... 3,000 45,375
The Liposome, Inc.* .................... 3,700 70,763
---------------
$ 3,715,044
---------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 0.9%
Alpharma, Inc. ......................... 1,300 $ 46,231
Biogen, Inc.* .......................... 6,800 437,325
Cyberonics, Inc.* ...................... 200 2,500
Enzon, Inc.* ........................... 3,800 78,612
Gentex Corp.* .......................... 2,500 70,000
HealthSouth Corp.* ..................... 5,100 76,181
Henry Schein, Inc.* .................... 900 28,519
IDEXX Laboratories, Inc.* .............. 2,200 51,287
Imclone Systems, Inc.* ................. 1,300 32,988
LifePoint Hospitals, Inc.* ............. 2,226 29,912
Mid Atlantic Medical Services, Inc.* ... 4,500 44,438
PacifiCare Health Systems, Inc.,
"B"* ................................. 800 57,550
Province Healthcare Co.* ............... 1,200 23,400
Transkaryotic Therapies, Inc.* ......... 1,400 46,200
Triad Hospitals, Inc.* ................. 2,226 30,051
United HealthCare Corp. ................ 107,500 6,732,187
Wellpoint Health Networks, Inc.* ....... 500 42,438
---------------
$ 7,829,819
---------------
METAL FABRICATION
The Timken Co. ......................... 2,500 $ 48,750
---------------
</TABLE>
12-EGS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
MINING
Cyprus Amax Minerals Co. ............... 3,900 $ 59,231
---------------
OFFICE EQUIPMENT
United Stationers, Inc. ................ 2,500 $ 55,000
---------------
OIL SERVICES -- 1.7%
Baker Hughes, Inc. ..................... 42,200 $ 1,413,700
Cal Dive International, Inc.* .......... 1,800 53,775
Diamond Offshore Drilling, Inc. ........ 50,600 1,435,775
ENSCO International, Inc. .............. 51,300 1,022,794
Global Industries, Inc.* ............... 7,100 90,969
Global Marine, Inc.* ................... 20,800 321,100
Halliburton Co. ........................ 162,400 7,348,600
Nabors Industries, Inc.* ............... 3,200 78,200
Noble Drilling Corp.* .................. 96,300 1,895,906
Smith International, Inc.* ............. 12,400 538,625
Varco International, Inc.* ............. 3,800 41,562
---------------
$ 14,241,006
---------------
OILS -- 0.3%
Apache Corp. ........................... 45,800 $ 1,786,200
Santa Fe International Corp. ........... 30,000 690,000
---------------
$ 2,476,200
---------------
PHARMACEUTICALS -- 0.4%
Andrx Corp.* ........................... 1,200 $ 92,550
Millennium Pharmaceuticals, Inc.* ...... 2,100 75,600
Sepracor, Inc.* ........................ 43,200 3,510,000
---------------
$ 3,678,150
---------------
PRINTING AND PUBLISHING
Electronics for Imaging, Inc.* ......... 1,500 $ 77,063
---------------
RESTAURANTS AND LODGING -- 2.3%
Applebee's International, Inc. ......... 2,000 $ 60,250
Brinker International, Inc.* ........... 1,800 48,937
CEC Entertainment, Inc.* ............... 1,600 67,600
Cendant Corp.* ......................... 929,504 19,054,832
CKE Restaurants, Inc. .................. 1,210 19,663
Four Seasons Hotels, Inc. .............. 1,200 52,875
IHOP Corp.* ............................ 1,400 33,688
Papa John's International, Inc.* ....... 1,200 53,625
Promus Hotel Corp.* .................... 2,713 84,103
Starwood Hotels & Resorts .............. 1,400 42,787
---------------
$ 19,518,360
---------------
RETAIL -- 0.2%
bebe stores, inc.* ..................... 1,400 $ 47,600
Gap, Inc. .............................. 25,800 1,299,675
Intimate Brands, Inc. .................. 3,885 184,052
Lands End, Inc.* ....................... 2,400 116,400
Quiksilver, Inc. ....................... 1,800 46,912
Tommy Hilfiger Corp.* .................. 700 51,450
---------------
$ 1,746,089
---------------
SPECIAL PRODUCTS AND SERVICES
Harmonic Lightwaves, Inc.* ............. 1,200 $ 68,925
Millipore Corp. ........................ 1,400 56,787
Newport News Shipbuilding, Inc. ........ 300 8,850
SPX Corp.* ............................. 2,000 167,000
Veritas DGC, Inc.* ..................... 3,000 54,938
---------------
$ 356,500
---------------
STORES -- 1.9%
Abercrombie & Fitch Co.* ............... 18,800 $ 902,400
AnnTaylor Stores Corp.* ................ 1,300 58,500
Best Buy Co., Inc.* .................... 4,900 330,750
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
STORES -- continued
Boise Cascade Office Products Corp.* ... 2,400 $ 28,200
CompUSA, Inc.* ......................... 4,900 36,444
Consolidated Stores Corp.* ............. 1,350 36,450
Corporate Express, Inc.* ............... 7,900 55,300
Cost Plus, Inc. ........................ 1,200 54,600
CSK Auto Corp.* ........................ 1,400 37,800
General Nutrition Cos., Inc.* .......... 3,000 69,937
Linens 'n Things, Inc.* ................ 1,300 56,875
Micro Warehouse, Inc.* ................. 66,800 1,194,050
Office Depot, Inc.* .................... 572,750 12,636,297
Staples, Inc.* ......................... 31,175 964,477
Talbots, Inc. .......................... 1,700 64,812
Tiffany & Co. .......................... 1,000 96,500
---------------
$ 16,623,392
---------------
TECHNOLOGY
Galileo Technology Ltd.* ............... 3,600 $ 163,125
---------------
TELECOMMUNICATIONS -- 34.1%
ADC Telecommunications, Inc. * ......... 28,700 $ 1,307,644
Alltel Corp. ........................... 33,200 2,373,800
Amdocs Ltd.* ........................... 3,100 70,525
AT&T Corp.* ............................ 484,500 17,805,375
Aware, Inc.* ........................... 1,100 50,737
Cablevision Systems Corp.* ............. 36,700 2,569,000
Centinal Cellular Corp.* ............... 1,300 46,313
Century Communications Corp.* .......... 14,700 676,200
CenturyTel, Inc. ....................... 66,100 2,627,475
Cincinnati Bell, Inc. .................. 69,000 1,720,687
Cisco Systems, Inc.* ................... 849,926 54,767,107
CommNet Cellular, Inc.* ................ 2,500 65,625
CommScope, Inc.* ....................... 1,800 55,350
Copper Mountain Networks, Inc.* ........ 900 69,525
Covad Communications Group, Inc.* ...... 50,700 2,702,944
Cox Communications, Inc.* .............. 45,400 1,671,287
Critical Path, Inc.* ................... 200 11,063
DSP Communications, Inc.* .............. 14,500 418,687
EchoStar Communications, Corp.* ........ 500 76,719
Electro Scientific Industries, Inc.* ... 1,200 50,137
General Instrument Corp.* .............. 40,100 1,704,250
General Motors Corp. ................... 18,200 1,023,750
Global TeleSystems Group, Inc.* ........ 227,900 18,459,900
Hyperion Telecommunications, Inc.,
"A"* ................................. 3,800 71,487
Intermedia Communications, Inc.* ....... 35,400 1,062,000
ITC Deltacom, Inc.* .................... 2,600 72,800
Lucent Technologies, Inc. .............. 108,800 7,337,200
MCI WorldCom, Inc.* .................... 566,373 48,743,476
Metromedia Fiber Network, Inc., "A"* ... 78,700 2,828,281
Motorola, Inc. ......................... 158,700 15,036,825
NEXTEL Communications, Inc.* ........... 93,200 4,677,475
Nortel Networks Corp. .................. 156,200 13,560,112
Novell, Inc.* .......................... 1,900 50,350
NTL, Inc.* ............................. 54,500 4,697,219
Oak Industries, Inc. ................... 6,500 283,969
Omnipoint Corp.* ....................... 4,500 130,219
Powerwave Technologies, Inc.* .......... 1,800 58,050
Premiere Technologies, Inc.* ........... 3,700 42,550
QUALCOMM, Inc.* ........................ 167,600 24,050,600
Qwest Communications International,
Inc.* ................................ 475,900 15,734,444
</TABLE>
13-EGS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
U.S. STOCKS -- continued
<S> <C> <C>
TELECOMMUNICATIONS -- continued
RF Micro Devices, Inc.* ................ 840 $ 62,685
Rhythms NetConnections, Inc.* .......... 22,000 1,284,250
Scientific-Atlanta, Inc. ............... 34,800 1,252,800
Sprint Corp. ........................... 221,600 11,703,250
Sprint Corp. (PCS Group) ............... 224,200 12,807,425
Talk.com, Inc.*+ ....................... 32,600 366,750
TCA Cable TV, Inc. ..................... 1,510 83,805
Tellabs, Inc.* ......................... 208,700 14,100,294
Time Warner Telecom, Inc.* ............. 2,500 72,500
U.S. Satellite Broadcasting Co., Inc.,
"A"* ................................. 2,900 52,037
Uniphase Corp.* ........................ 21,300 3,535,800
Viatel, Inc.* .......................... 9,600 538,800
Voicestream Wireless Corp.* ............ 1,400 39,813
Western Wireless Corp.* ................ 1,400 37,800
Winstar Communications, Inc.* .......... 6,800 331,500
Tekelec Co.* ........................... 9,800 119,438
---------------
$ 295,150,104
---------------
TRANSPORTATION
Navistar International Corp. ........... 1,200 $ 60,000
---------------
UTILITIES -- ELECTRIC -- 0.3%
AES Corp.* ............................. 45,600 $ 2,650,500
Calpine Corp. .......................... 1,100 59,400
---------------
$ 2,709,900
---------------
UTILITIES -- GAS -- 0.8%
Williams Cos., Inc. .................... 171,200 $ 7,286,700
---------------
UTILITIES -- TELEPHONE -- 1.3%
Frontier Corp. ......................... 193,400 $ 11,410,600
---------------
Total U.S. Stocks .................................... $ 749,993,217
---------------
FOREIGN STOCKS -- 6.2%
BERMUDA
Ace Ltd. (Insurance) ................... 2,000 $ 56,500
---------------
BRAZIL
Telecomunicacoes Brasileiras S.A.
(Telecommunications) ................. 84,600 $ 5,288
---------------
CANADA
QLT Phototherapeutics (Medical and
Health Products)* .................... 1,200 $ 66,000
---------------
FINLAND -- 1.0%
Nokia Corp., ADR
(Telecommunications) ................. 96,900 $ 8,872,406
---------------
GERMANY -- 0.6%
Mannesmann AG (Conglomerate) ........... 35,600 $ 5,319,439
---------------
JAPAN -- 0.4%
Hitachi (Electronics) .................. 325,000 $ 3,050,571
---------------
MEXICO -- 0.1%
Grupo Television S.A. de C.V., GDR
(Entertainment)* ..................... 15,500 $ 694,594
---------------
NETHERLANDS -- 1.6%
ASM Lithography Holding N.V. (Computer
Software -- Systems)* ................ 22,100 $ 1,312,188
Equant N.V. (Computer Software --
Services)* ........................... 73,200 6,889,950
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
NETHERLANDS -- continued
Koninklijke Philips Electronics N.V.
(Electronics) ........................ 31,360 $ 3,163,440
New Holland N.V. (Agricultural
Products) ............................ 3,600 61,650
STMicroelectronics N.V. (Electronics) .. 35,500 2,462,812
---------------
$ 13,890,040
---------------
SOUTH KOREA -- 0.1%
SK Telecom Ltd., ADR
(Telecommunications)* ................ 20,500 $ 348,500
---------------
SPAIN
Telefonica Publicidad e Informacion S.A.
(Utilities -- Telephone) ............. 5,600 $ 111,665
---------------
SWEDEN -- 0.8%
Ericsson LM, ADR
(Telecommunications) ................. 212,700 $ 7,005,806
---------------
UNITED KINGDOM -- 1.6%
ARM Holdings PLC, ADR (Computer Software
- Systems)* .......................... 102,820 $ 3,585,847
ICON PLC, ADR (Biotechnology)* ......... 400 7,850
Vodafone Group PLC
(Telecommunications) ................. 52,500 10,342,500
---------------
$ 13,936,197
---------------
Total Foreign Stocks ................................. $ 53,357,006
---------------
Total Stocks
(Identified Cost, $561,582,754) .................... $ 803,350,223
---------------
SHORT-TERM OBLIGATIONS -- 8.7%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
AT&T Corp., due 7/01/99 ................ $ 25,000 $ 25,000,000
Federal Agricultural Mortgage Corp., due
7/14/99 .............................. 11,200 11,180,384
Federal Home Loan Mortgage Corp., due
7/09/99 .............................. 7,500 7,492,050
Federal National Mortgage Assn., due
7/15/99 .............................. 11,200 11,178,876
Goldman Sachs Group LP, due 7/01/99 .... 20,700 20,700,000
---------------
Total Short-Term Obligations, at Amortized Cost ...... $ 75,551,310
---------------
OTHER SHORT-TERM
OBLIGATIONS -- 12.2%
Shares
Navigator Securities Lending Prime
Portfolio (Identified Cost,
$106,151,586) ........................ 106,151,586 $ 106,151,586
---------------
Total Investments
(Identified Cost, $743,285,650) .................... $ 985,053,119
---------------
OTHER ASSETS,
LESS LIABILITIES -- (13.6)% (118,249,783)
---------------
Net Assets -- 100.0% ................................. $ 866,803,336
---------------
---------------
See portfolio footnotes and notes to financial statements
</TABLE>
14-EGS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 1999
GLOBAL GROWTH SERIES
STOCKS -- 96.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- 48.8%
ARGENTINA -- 0.4%
Banco de Galicia y Buenos Aires S.A. de
C.V., ADR (Banks and Credit Cos.) .... 3,779 $ 76,525
Irsa Inversiones y Representaciones
(Real Estate) ........................ 7,600 23,411
Perez Companc S.A. (Oils) .............. 25,734 147,991
Quilmes Industrial S.A., ADR
(Beverages) .......................... 55,820 690,772
Siderca S.A. (Steel) ................... 40,900 53,587
Telecom Argentina S.A., ADR
(Telecommunications) ................. 1,460 39,055
Telefonica de Argentina, ADR (Utilities
-- Telephone) ........................ 6,050 189,819
---------------
$ 1,221,160
---------------
AUSTRALIA -- 0.8%
Australia & New Zealand Banking Group
Ltd. (Banks and Credit Cos.)* ........ 84,210 $ 618,171
Cable & Wireless Optus
(Telecommunications)* ................ 597,710 1,358,686
QBE Insurance Group Ltd.
(Insurance)* ......................... 126,190 479,472
---------------
$ 2,456,329
---------------
BERMUDA -- 0.4%
Ace Ltd. (Insurance) ................... 400 $ 11,300
Dairy Farm International Holdings Ltd.
(Supermarkets) ....................... 911,000 1,093,200
---------------
$ 1,104,500
---------------
BRAZIL -- 1.7%
Banco Bradesco S.A., Preferred (Banks
and Credit Cos.) ..................... 35,574,000 $ 180,885
Banco Frances S.A. (Banks and Credit
Cos.) ................................ 2,300 43,700
Centrais Eletricas Brasileiras S.A., ADR
(Utilities -- Electric) .............. 51,500 509,850
Companhia Cervejaria Brahma, Preferred
(Beverages) .......................... 296,000 167,064
Companhia Energetica de Sao Paulo S.A.,
ADR (Utilities -- Electric) .......... 10,912 227,297
Companhia Energetica do Ceara,
Preferred, "A" (Utilities --
Electric) ............................ 10,900 29,559
Companhia Paranaense de Energia,
Preferred, "B" (Utilities --
Electric) ............................ 14,473 116,193
Companhia Vale do Rio Doce, ADR
(Steel) .............................. 18,500 368,150
Embratel Participacoes S.A.
(Telecommunications)* ................ 12,801,212 95,467
Embratel Participacoes S.A., Preferred
(Telecommunications)* ................ 10,976,776 152,559
Itausa Investimentos Itau S.A.,
Preferred (Conglomerate) ............. 313,000 166,226
Petroleo Brasileiro S.A. (Oils) ........ 16,800 249,900
Petroleo Brasileiro S.A., Preferred
(Oils) ............................... 3,320,000 515,819
Tele Centro Sul Participacoes S.A.
(Telecommunications)* ................ 17,075,212 90,200
Tele Centro Sul Participacoes S.A., ADR
(Telecommunications) ................. 900 49,950
Tele Centro Sul Participacoes S.A.,
Preferred (Telecommunications)* ...... 10,014,000 110,267
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
BRAZIL -- continued
Tele Norte Leste Participacoes S.A.
(Telecommunications)* ................ 12,132,212 $ 111,041
Tele Norte Leste Participacoes S.A., ADR
(Telecommunications) ................. 32,580 604,766
Tele Norte Leste Participacoes S.A.,
Preferred (Telecommunications)* ...... 9,605,000 174,735
Tele Sudeste Celular Participacoes S.A.,
Preferred (Telecommunications)* ...... 22,937,000 130,235
Telebras, ADR (Telecommunications)* .... 1,900,000 75
Telecomunicacoes Brasileiras S.A.
(Telecommunications) ................. 16,100 1,006
Telecomunicacoes Brasileiras S.A.,
Preferred (Telecommunications) ....... 2,134,000 189,408
Telesp Celular Participacoes S.A.
(Telecommunications)* ................ 12,925,212 69,373
Telesp Celular Participacoes S.A.,
Preferred (Telecommunications)* ...... 8,732 91,760
Telesp Participacoes S.A.
(Telecommunications)* ................ 14,840,212 191,078
Telesp Participacoes S.A., Preferred
(Telecommunications)* ................ 11,669 273,595
Unibanco S.A. (Banks and Credit
Cos.) ................................ 2,923,000 132,113
---------------
$ 5,042,271
---------------
CANADA -- 0.6%
Abitibi-Consolidated, Inc. (Forest and
Paper Products) ...................... 26,610 $ 302,689
Canadian National Railway Co.
(Railroads) .......................... 16,215 1,086,405
QLT Phototherapeutics (Medical and
Health Products)* .................... 220 12,100
The Toronto-Dominion Bank (Banks and
Credit Cos.) ......................... 10,230 465,465
---------------
$ 1,866,659
---------------
CHILE -- 0.3%
Administradora de Fondas de Pensiones
Provida (Financial Services) ......... 4,100 $ 90,200
Chilectra S.A., ADR (Utilities --
Electric) ............................ 2,700 57,038
Compania Cervecerias Unidas S.A., ADR
(Brewery) ............................ 2,340 66,983
Compania de Telecom de Chile, ADR
(Utilities -- Telephone) ............. 9,630 238,342
Distribucion y Servicio S.A., ADR
(Supermarkets) ....................... 7,190 134,812
Embotelladora Andina S.A. (Consumer
Goods and Services) .................. 1,700 25,925
Empresa Nacional de Electricidad, ADR
(Utilities -- Electric)* ............. 5,147 62,407
Enersis S.A., ADR (Utilities --
Electric) ............................ 3,730 85,324
---------------
$ 761,031
---------------
CHINA
Guangshen Railway Ltd., ADR
(Railroads) .......................... 3,100 $ 23,637
Huaneng Power International, Inc., ADR
(Utilities -- Electric)* ............. 3,600 61,650
---------------
$ 85,287
---------------
</TABLE>
15-GGS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
FOREIGN STOCKS -- continued
<S> <C> <C>
COLOMBIA
Bancolombia S.A. (Banks and Credit
Cos.) ................................ 6,400 $ 30,400
---------------
CZECH REPUBLIC
SPT Telecom AS (Telecommunications)* ... 1,600 $ 25,600
Tabak AS (Tobacco) ..................... 200 47,568
---------------
$ 73,168
---------------
DENMARK
H. Lundbeck A/S (Medical) .............. 3,400 $ 91,486
---------------
EGYPT -- 0.3%
Ahram Beverage Co., GDR
(Beverages)*## ....................... 1,000 $ 28,100
Arab International Construction
(Construction Services) .............. 4,100 27,093
Eastern Tobacco Co. (Tobacco) .......... 3,900 95,134
Egypt Mobile Phone
(Telecommunications) ................. 17,100 386,016
Egyptian International Pharmaceutical
Industries Co. (Pharmaceuticals) ..... 700 30,811
Madinet Nasar City (Housing) ........... 2,450 27,463
Mi Bank (Banks and Credit Cos.) ........ 3,390 67,653
Suez Cement Co., GDR
(Construction)## ..................... 6,802 96,928
---------------
$ 759,198
---------------
ESTONIA -- 0.1%
As Eesti Telekom, GDR
(Telecommunications) ................. 10,530 $ 206,388
As Eesti Telekom
(Telecommunications)* ................ 1,800 35,730
---------------
$ 242,118
---------------
FINLAND -- 1.1%
Helsingin Puhelin Oyj
(Telecommunications) ................. 23,224 $ 1,100,887
Nokia Corp., ADR
(Telecommunications) ................. 17,500 1,602,344
Perlos Corp. (Electronics)* ............ 10,400 152,184
Tieto Corp. (Computer Software --
Systems) ............................. 22,103 920,196
---------------
$ 3,775,611
---------------
FRANCE -- 2.6%
Axa (Insurance) ........................ 13,730 $ 1,673,798
Business Objects S.A., ADR (Computer
Software-Systems)* ................... 300 10,950
Castorama Dubois Investisse (Stores) ... 6,665 1,579,705
SEITA (Tobacco) ........................ 23,220 1,339,979
Television Francaise (Entertainment) ... 6,572 1,530,572
Total S.A., "B" (Oils)* ................ 8,620 1,111,252
Wavecom S.A., ADR (Electronics)* ....... 39,690 520,931
---------------
$ 7,767,187
---------------
GERMANY -- 2.8%
Fielmann AG (Retail) ................... 14,320 $ 529,767
Henkel KGaA, Preferred (Chemicals) ..... 25,224 1,720,758
HypoVereinsbank (Banks and Credit
Cos.) ................................ 32,580 2,115,142
Mannesmann AG (Conglomerate) ........... 19,412 2,900,589
Porsche AG (Automotive) ................ 230 540,394
VEBA AG (Oil and Gas) .................. 10,080 592,084
---------------
$ 8,398,734
---------------
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
GREECE -- 1.2%
Alpha Credit Bank S.A., GDR (Banks and
Credit Cos.) ......................... 4,970 $ 320,055
Alpha Credit Bank S.A., GDR (Banks and
Credit Cos.)*## ...................... 2,900 46,400
Antenna TV S.A., ADR (Broadcasting)* ... 8,600 118,250
Athens Medical Center, GDR (Medical and
Health Technology and Services) ...... 1,400 34,863
Attica Enterprises S.A., GDR
(Transportation) ..................... 5,480 62,583
Commercial Bank of Greece (Banks and
Credit Cos.) ......................... 2,750 196,503
Hellenic Bottling (Beverages) .......... 3,030 73,148
Hellenic Telecommunication Organization
S.A., GDR (Telecommunications) ....... 54,246 1,161,566
Intracom S.A. (Telecommunications) ..... 2,800 180,313
National Bank of Greece, GDR (Banks and
Credit Cos.) ......................... 6,921 452,281
Panafon S.A. (Telecommunications)* ..... 1,600 38,550
STET Hellas Telecommunications S.A., ADR
(Telecommunications)* ................ 35,930 803,934
Titan Cement Co., GDR (Building
Materials) ........................... 1,490 137,074
---------------
$ 3,625,520
---------------
HONG KONG -- 0.4%
Li & Fung Ltd. (Wholesale) ............. 530,000 $ 1,270,672
---------------
HUNGARY -- 0.4%
Gedeon Richter Ltd., GDR
(Pharmaceuticals) .................... 1,010 $ 43,935
Gedeon Richter Rt. (Pharmaceuticals) ... 1,010 43,930
Magyar Olaj Es Gazipari Rt. (Oils) ..... 10,977 264,468
Magyar Olaj Es Gazipari, GDR (Oils) .... 700 18,134
Magyar Tavkozlesi Rt., ADR
(Telecommunications)* ................ 24,089 662,448
OTP Bank (Banks and Credit Cos.) ....... 500 20,500
OTP Bank Rt. (Banks and Credit Cos.) ... 2,769 115,461
Synergon Information Systems Ltd., GDR
(Computer Hardware-Systems)## ........ 1,861 21,587
---------------
$ 1,190,463
---------------
INDIA -- 0.5%
Bajaj Auto Ltd., GDR (Automotive)## .... 7,000 $ 112,700
Formula System (1985) Ltd. (Computer
Software -- Systems)* ................ 2,402 73,036
Infosys Technologies Ltd., ADR (Computer
Software -- Services) ................ 3,230 187,340
ITC Ltd. (Conglomerate) ................ 3,000 83,700
ITC Ltd., GDR (Conglomerate)## ......... 5,900 164,610
Larsen & Toubro Ltd., GDR
(Conglomerate) ....................... 9,900 149,985
Mahanagar Telephone Nigam Ltd., GDR
(Telecommunications) ................. 10,000 98,000
Mahanagar Telephone Nigam Ltd., GDR
(Telecommunications)## ............... 10,300 104,545
Reliance Industries Ltd., GDR
(Conglomerate)## ..................... 18,555 185,550
</TABLE>
16-GGS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
FOREIGN STOCKS -- continued
<S> <C> <C>
INDIA -- continued
State Bank of India, GDR (Bank and
Credit Cos.)## ....................... 15,300 $ 185,895
State Bank of India, GDR (Banks and
Credit Cos.) ......................... 5,500 66,825
Videsh Sanchar Nigam Ltd., GDR
(Telecommunications)## ............... 5,000 63,125
---------------
$ 1,475,311
---------------
INDONESIA
Gulf Indonesia Resources Ltd. (Oil
Services)* ......................... 1,900 $ 21,850
---------------
IRELAND -- 1.0%
Anglo Irish Bank PLC (Banks and Credit
Cos.)* ............................... 607,156 $ 1,511,867
Bank Of Ireland (Banks and Credit
Cos.) ................................ 56,830 958,765
Elan Corp. PLC, ADR (Health
Products)* ........................... 20,300 563,325
---------------
$ 3,033,957
---------------
ISRAEL -- 0.4%
Bank Hapoalim (Banks and Credit
Cos.) ................................ 76,764 $ 197,270
Bezek Israeli Telecommunications Corp.
Ltd. (Telecommunications) ............ 60,119 242,504
Blue Square Israel Ltd. (Retail) ....... 1,600 25,400
Discount Investment Corp. (Financial
Services) ............................ 5,182 202,802
ECI Telecom Ltd.
(Telecommunications) ................. 6,489 215,354
Elbit Systems Ltd. (Aerospace) ......... 7,730 135,717
Koors Industries Ltd., ADR
(Conglomerate) ....................... 4,000 93,500
Teva Pharmaceutical Industries Ltd., ADR
(Pharmaceuticals) .................... 3,750 183,750
---------------
$ 1,296,297
---------------
ITALY -- 1.0%
Banca Carige S.p.A. (Banks and Credit
Cos.) ................................ 67,152 $ 588,201
Mediaset S.p.A. (Entertainment) ........ 107,676 956,476
San Paolo Imi S.p.A (Banks and Credit
Cos.)* ............................... 78,964 1,074,115
Telecom Italia Mobile S.p.A.
(Telecommunications) ................. 90,670 540,991
---------------
$ 3,159,783
---------------
JAPAN -- 7.9%
Aeon Credit Service Co. Ltd. (Financial
Services) ............................ 20,200 $ 1,921,105
Canon, Inc. (Special Products and
Services) ............................ 42,000 1,208,733
Chugai Pharmaceutical Co., Ltd.
(Pharmaceuticals) .................... 88,000 948,991
Don Quijote Co. Ltd. (Retail) .......... 9,800 2,467,830
Hitachi Ltd. (Electronics) ............. 134,000 1,257,774
Keyence Corp. (Electronics) ............ 7,710 1,350,461
Mikuni Coca-Cola Bottling Co., Ltd.
(Food and Beverage Products) ......... 47,000 956,169
Nippon Telephone & Telegraph Co.
(Utilities -- Telephone) ............. 162 1,889,018
NTT Mobile Communications Network, Inc.
(Telecommunications) ................. 32 434,006
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
JAPAN -- continued
NTT Mobile Communications Network, Inc.
(Telecommunications)* ................ 128 $ 1,714,853
Olympus Optical Co. (Conglomerate) ..... 47,000 695,361
Rock Field Co., Ltd. (Food Products) ... 17,400 628,829
Rohm Co. (Electronics) ................. 7,000 1,097,006
Sanyo Coca-Cola Bottling Co., Ltd. (Food
and Beverage Products) ............... 13,300 411,662
Softbank Corp. (Computer --
Software) ............................ 1,592 58,506
Takeda Chemical Industries Co.
(Pharmaceuticals) .................... 62,000 2,876,447
Terumo Corp. (Pharmaceuticals) ......... 71,000 1,582,410
The Sanwa Bank, Ltd. (Banks and Credit
Cos.) ................................ 43,000 423,528
The Sumitomo Bank, Ltd. (Banks and
Credit Cos.) ......................... 33,000 409,634
Ushio, Inc. (Electronics) .............. 111,000 1,422,842
---------------
$ 23,755,165
---------------
JORDAN -- 0.1%
Arab Bank Corp. (Banks and Credit
Cos.) ................................ 1,000 $ 284,203
---------------
LUXEMBOURG
Egypt Trust (Real Estate Investment
Trust)* .............................. 13,280 $ 126,160
---------------
MEXICO -- 1.5%
Cemex S.A. (Construction) .............. 47,957 $ 236,325
Cifra S.A. de C.V. (Retail)* ........... 191,897 382,735
Cifra S.A. de C.V., ADR (Retail)* ...... 8,400 155,400
Coca-Cola Femsa S.A., ADR
(Beverages) .......................... 3,300 63,938
Corporacion GEO S.A. de C.V.
(Housing)*## ......................... 4,500 74,925
Desc S.A. de C.V., "B"
(Conglomerate) ....................... 106,000 115,829
Fomento Economico Mexicano S.A.
(Beverages) .......................... 6,000 239,250
Grupo Carso, S.A. (Conglomerate) ....... 64,700 299,956
Grupo Continental S.A. (Beverages) ..... 17,000 26,656
Grupo Financiero Banamex (Finance)* .... 69,800 177,721
Grupo Financiero Bancomer (Finance)* ... 200,000 72,353
Grupo Mexico, S.A. (Metals) ............ 8,000 34,034
Grupo Modelo S.A. de C.V. (Brewery) .... 155,000 442,340
Grupo Television S.A. de C.V., GDR
(Entertainment)* ..................... 9,200 412,275
Kimberly-Clark de Mexico S.A. de C.V.
(Forest and Paper Products) .......... 84,900 349,472
Organiz Soriana S.A., "B" (Real
Estate) .............................. 53,300 250,498
Telefonos de Mexico S.A. (Utilities --
Telephone) ........................... 305,460 1,231,432
---------------
$ 4,565,139
---------------
MOROCCO
Banque Maracaine Commerce (Banks and
Credit Cos.) ......................... 1,800 $ 38,250
---------------
</TABLE>
17-GGS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
FOREIGN STOCKS -- continued
<S> <C> <C>
NETHERLANDS -- 4.5%
Akzo Nobel N.V. (Chemicals) ............ 17,830 $ 749,651
ASM Lithography Holding N.V. (Computer
Software -- Systems)* ................ 4,000 237,500
Benckiser N.V., B (Consumer Goods and
Services) ............................ 40,689 2,169,878
Equant N.V. (Computer Software --
Services)* ........................... 23,510 2,212,879
Fugro N.V. (Engineering)* .............. 29,538 840,114
Hunter Douglas N.V., ADR
(Consumer Goods and Services)* ....... 33,695 1,156,265
IHC Caland N.V. (Marine Equipment)* .... 12,861 503,624
ING Groep N.V. (Financial Services)* ... 32,422 1,754,070
Koninklijke Ahrend Groep N.V.
(Consumer Goods and Services)* ....... 49,382 857,465
Koninklijke Philips Electronics N.V.,
ADR (Electronics) .................... 5,707 575,693
Koninklijke Philips Electronics N.V.
(Electronics) ........................ 9,760 962,017
New Holland N.V. (Agricultural
Products) ............................ 700 11,988
STMicroelectronics N.V. (Electronics) .. 6,400 444,000
Van der Moolen Holding N.V. (Financial
Services)* ........................... 8,441 541,478
Wolters Kluwer N.V. (Publishing) ....... 13,400 533,016
---------------
$ 13,549,638
---------------
PERU -- 0.3%
Compania de Minas Buenaventura S.A.
(Mining) ............................. 23,300 $ 178,316
CPT Telefonica del Peru S.A., "B"
(Utilities -- Telephone) ............. 397,775 598,095
Credicorp Ltd. Holdings Co. (Banks and
Credit Cos.) ......................... 19,318 212,498
---------------
$ 988,909
---------------
PHILIPPINES -- 0.7%
Ayala Land, Inc. (Real Estate) ......... 326,500 $ 103,241
Bank of Philippine Islands (Banks and
Credit Cos.) ......................... 31,500 112,885
Manila Electric Co., "B" (Utilities --
Electric) ............................ 40,500 146,205
Metro Bank & Trust Co. (Banks and Credit
Cos.) ................................ 4,900 49,065
Philippine Long Distance Telephone Co.
(Utilities -- Telephone) ............. 39,040 1,176,080
Philippine Long Distance Telephone Co.,
ADR (Utilities -- Telephone) ......... 6,500 198,682
San Miguel Corp., "B" (Brewery) ........ 50,600 110,667
SM Prime Holding, Inc. (Real Estate) ... 488,000 110,588
---------------
$ 2,007,413
---------------
POLAND -- 0.6%
Agora S.A. (Entertainment)*## .......... 9,122 $ 106,271
Bank Handlowy w Warszawie, GDR (Banks
and Credit Cos.)## ................... 10,490 166,267
Bank Rozwoju Eksportu S.A. (Banks and
Credit Cos.) ......................... 4,590 144,461
Elektrim Spolka Akcyjna S.A. (Electrical
Equipment) ........................... 19,350 273,681
Orbis S.A. (Restaurants and
Lodging)* ............................ 14,792 127,413
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
POLAND -- continued
Telekomunikacja Polska S.A.
(Telecommunications)*## .............. 105,712 $ 739,984
Telekomunikacja Polska S.A., GDR
(Telecommunications)* ................ 14,800 103,600
WBK Wielkopolski S.A. (Consumer Goods
and Services) ........................ 16,100 94,368
---------------
$ 1,756,045
---------------
PORTUGAL -- 0.4%
Banco Pinto & Sotto Mayor S.A. (Banks
and Credit Cos.) ..................... 63,634 $ 1,129,199
BPI-SGPS S.A. (Finance) ................ 607 12,729
---------------
$ 1,141,928
---------------
RUSSIA -- 0.3%
JSC Surgutneftegaz Co., ADR (Oils) ..... 28,540 $ 228,320
Lukoil Oil Co., ADR (Oils) ............. 10,988 435,125
Rostelecom, GDR
(Telecommunications)* ................ 3,382 78,420
Unified Energy Systems, GDR (Utilities
-- Electric)* ........................ 8,818 77,157
---------------
$ 819,022
---------------
SINGAPORE -- 1.4%
Asia Pulp & Paper Co. Ltd., ADR
(Consumer Goods and Services) ........ 56,420 $ 543,043
City Developments Ltd. (Real Estate) ... 10,000 64,061
Datacraft Asia Ltd.
(Telecommunications) ................. 160,000 697,600
DBS Land Ltd. (Real Estate) ............ 87,000 173,847
Development Bank of Singapore Ltd.
(Banks and Credit Cos.) .............. 121,000 1,479,166
Hong Leong Finance Ltd. (Finance)+ ..... 14,000 32,089
Keppel Corp. Ltd. (Conglomerates) ...... 16,000 54,540
Natsteel Electronics Ltd.
(Electronics) ........................ 55,000 240,817
Overseas Union Bank Ltd. (Banks and
Credit Cos.) ......................... 32,800 158,072
Sembcorp Industries Ltd.
(Engineering) ........................ 36,000 57,126
Singapore Press Holdings Ltd. (Printing
and Publishing) ...................... 21,200 361,328
Singapore Telecommunications Ltd.
(Telecommunications) ................. 87,000 149,304
United Overseas Bank (Banks and Credit
Cos.) ................................ 16,000 111,901
---------------
$ 4,122,894
---------------
SOUTH AFRICA -- 1.2%
ABSA Group Ltd. (Financial
Services) .......................... 24,800 $ 140,416
Anglo American Platinum Corp. Ltd.
(Metals) ............................. 19,900 464,548
AngloGold Ltd. (Mining) ................ 4,200 181,049
De Beers Centenary AG (Diamonds --
Precious Stones) ..................... 18,061 432,997
De Beers Consolidated Mines Ltd.
(Mining) ............................. 2,200 52,525
Dimension Data Holdings Ltd. (Financial
Institutions) ........................ 67,304 297,939
FirstRand Ltd. (Financial Services) .... 226,300 258,886
Imperial Holdings Ltd.
(Conglomerate) ....................... 28,359 282,109
JD Group Ltd. (Stores)* ................ 30,935 189,257
</TABLE>
18-GGS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
FOREIGN STOCKS -- continued
<S> <C> <C>
SOUTH AFRICA -- continued
Liberty Life Association of Africa Ltd.
(Insurance) .......................... 14,982 $ 192,010
Nedcor Ltd. (Banks and Credit Cos.)* ... 15,825 358,401
Real Africa Holdings Ltd.
(Conglomerate) ....................... 55,561 110,542
Rembrandt Controlling Investments Ltd.
(Financial Services) ................. 20,900 174,297
Sanlam Ltd. (Insurance)* ............... 64,750 76,757
Sasol Ltd. (Oils) ...................... 32,240 230,114
South African Breweries Ltd.
(Brewery) ............................ 30,100 261,500
South African Breweries Ltd., ADR
(Brewery) ............................ 7,000 61,448
---------------
$ 3,764,795
---------------
SOUTH KOREA -- 2.3%
Daewoo Heavy Industries (Machinery) .... 20,500 $ 71,196
Honam Petrochemical Corp.
(Chemicals) .......................... 9,000 209,935
Housing & Commercial Bank of Korea
(Banks and Credit Cos.) .............. 13,200 416,242
Housing & Commercial Bank of Korea, GDR
(Banks and Credit Cos.)## ............ 1,900 58,235
Hyundai Merchant Marine
(Transportation) ..................... 6,700 87,404
Kookmin Bank (Banks and Credit Cos.) ... 18,500 375,594
Kookmin Bank, GDR (Banks and Credit
Cos.)## .............................. 6,900 138,690
Korea Electric Power Corp. (Utilities --
Electric) ............................ 22,200 922,523
Korea Telecom Corp.
(Telecommunications) ................. 38,060 1,522,400
LG Chemical Ltd. (Chemicals) ........... 6,000 163,283
Medison Co. (Medical and Health
Products) ............................ 15,200 241,624
Pohang Iron & Steel Co. Ltd.
(Construction) ....................... 6,710 802,128
Pohang Iron & Steel Co. Ltd., ADR
(Construction) ....................... 2,600 87,425
Samsung Display Devices Co.
(Electronics) ........................ 6,230 339,084
Samsung Electronics (Electronics) ...... 9,482 1,040,358
Samsung Fire & Marine Insurance
(Insurance) .......................... 200 140,821
Shinhan Bank (Banks and Credit Cos.) ... 1,800 40,050
SK Telecom Ltd. (Telecommunications) ... 44 58,920
SK Telecom Ltd., ADR
(Telecommunications)* ................ 7,400 125,800
---------------
$ 6,841,712
---------------
SPAIN -- 1.0%
Cortefiel S.A. (Retail) ................ 44,330 $ 1,164,892
Repsol S.A. (Oils) ..................... 24,500 499,896
Telefonica de Espana (Utilities --
Telephone) ........................... 24,021 1,156,242
Telefonica Publicidad e Informacion S.A.
(Utilities -- Telephone) ............. 10,000 199,402
---------------
$ 3,020,432
---------------
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
SWEDEN -- 2.5%
Celsius AB (Aerospace) ................. 70,200 $ 885,361
Ericsson LM, "B"
(Telecommunications) ................. 53,790 1,727,696
Ericsson LM, ADR
(Telecommunications) ................. 38,800 1,277,975
Saab AB, "B" (Aerospace) ............... 159,098 1,237,679
Skandia Forsakrings AB (Insurance) ..... 129,270 2,422,670
---------------
$ 7,551,381
---------------
SWITZERLAND -- 1.6%
Barry Callebaut AG (Food and Beverage
Products) ............................ 3,638 $ 556,956
Compagnie Financiere Richemont AG
(Conglomerate) ....................... 25 48,083
Julius Baer Holdings (Banks and Credit
Cos.) ................................ 305 869,131
Nestle S.A. (Food and Beverage
Products) ............................ 622 1,120,688
UBS AG (Banks and Credit Cos.)* ........ 7,350 2,193,748
---------------
$ 4,788,606
---------------
TAIWAN -- 0.4%
ASE Test Ltd. (Electronics) ............ 2,000 $ 43,000
Fubon Insurance Co., GDR (Insurance) ... 4,200 50,925
Taipei Fund (Finance) .................. 101 1,010,000
Taiwan Semiconductor Manufacturing Co.
Ltd., ADR (Electronics) .............. 1,700 57,800
---------------
$ 1,161,725
---------------
THAILAND -- 0.6%
Bangkok Expressway (Consumer Goods and
Services) ............................ 161,600 $ 120,597
BEC World Public Co. Ltd.
(Television) ......................... 17,000 106,106
Electricity Generating Public Co. Ltd.
(Utilties -- Electric) ............... 65,000 124,356
Krung Thai Bank PLC (Banks and Credit
Cos.) ................................ 59,800 39,758
PTT Exploration and Production Public
Co. Ltd., ADR (Oil Services) ......... 51,100 391,050
Siam Cement Public Co. Ltd. (Building
Materials) ........................... 8,100 246,187
TelecomAsia Corp. Ltd (Utilities --
Telephone)* .......................... 195,000 197,117
Thai Farmers Bank (Banks and Credit
Cos.) ................................ 174,000 538,290
---------------
$ 1,763,461
---------------
TURKEY -- 0.3%
Migros Turk T.A.S. (Retail) ............ 38,400 $ 47,794
Akbank (Banks and Credit Cos.) ......... 8,902,177 130,849
Haci Omer Sabanci Holdings A.S., ADR
(Conglomerate)## ..................... 5,823 31,590
Tupras Turkiye Petrol Rafinerileri A.S.
(Oils) ............................... 444,900 29,533
Turkiye Is Bankasi A.S. (Banks and
Credit Cos.) ......................... 11,499,888 204,474
Turkiye Is Bankasi A.S., GDR (Banks and
Credit Cos.)## ....................... 20,240 35,926
Yapi ve Kredi Bankasi (Banks and Credit
Cos.) ................................ 8,083,511 116,900
Yapi ve Kredi Bankasi (Banks and Credit
Cos.)## .............................. 17,228,408 249,148
</TABLE>
19-GGS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
FOREIGN STOCKS -- continued
<S> <C> <C>
TURKEY -- continued
Yapi ve Kredi Bankasi, GDR (Banks and
Credit Cos.) ......................... 3,600 $ 53,460
---------------
$ 899,674
---------------
UNITED KINGDOM -- 5.0%
Anglo American PLC (Metals) ............ 3,435 $ 160,602
Anglo American PLC, ADR (Metals)* ...... 1,083 51,713
ARM Holdings PLC, ADR (Computer Software
-- Systems)* ......................... 19,220 670,297
BP Amoco PLC (Oils)* ................... 122,189 2,187,593
British Aerospace PLC (Aerospace and
Defense)* ............................ 163,033 1,061,162
Cable & Wireless Communications PLC
(Telecommunications) ................. 93,810 901,851
Capital Radio PLC (Broadcasting) ....... 42,090 556,872
Coca-Cola Beverages PLC (Beverages)* ... 23,600 50,211
Computacenter PLC (Computer --
Services) ............................ 111,060 853,274
ICON PLC, ADR (Biotechnology)* ......... 100 1,962
Next PLC (Stores) ...................... 46,026 558,535
Reuters Group PLC (Business
Services) ............................ 77,150 1,014,655
Sema Group PLC (Computer Software --
Systems) ............................. 109,291 1,051,541
Vodafone Group PLC
(Telecommunications) ................. 14,605 2,877,185
Williams PLC (Conglomerate) ............ 155,662 1,027,904
Zeneca Group PLC (Medical and Health
Products) ............................ 49,650 1,919,433
---------------
$ 14,944,790
---------------
VENEZUELA -- 0.2%
Ca la Electricidad de Caracas, ADR
(Utilities -- Electric) .............. 29,350 $ 579,204
Mavesa S.A. (Consumer Goods and
Services) ............................ 10,100 32,825
---------------
$ 612,029
---------------
Total Foreign Stocks ................................. $ 147,252,363
---------------
U.S. STOCKS -- 47.9%
ADVERTISING -- 0.3%
Big Flower Holdings, Inc.* ............. 300 $ 9,562
Lamar Advertising Co., "A"* ............ 200 8,188
Omnicom Group, Inc. .................... 1,600 128,000
Outdoor Systems, Inc.* ................. 400 14,600
Young & Rubicam, Inc. .................. 14,330 651,119
---------------
$ 811,469
---------------
AEROSPACE -- 0.1%
Allied Signal, Inc. .................... 3,600 $ 226,800
Gulfstream Aerospace Corp.* ............ 200 13,513
---------------
$ 240,313
---------------
AIRLINES
Airborne Freight Corp. ................. 200 $ 5,538
Atlas Air, Inc.* ....................... 300 9,675
Skywest, Inc. .......................... 300 7,481
---------------
$ 22,694
---------------
AGRICULTURAL PRODUCTS
Case Corp. ............................. 1,200 $ 57,750
---------------
AUTOMOTIVE -- 0.4%
AutoNation, Inc.* ...................... 1,060 $ 18,881
Dana Corp. ............................. 1,000 46,062
Dura Automotive Systems, Inc.* ......... 200 6,650
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
AUTOMOTIVE -- continued
Federal-Mogul Corp. .................... 20,970 $ 1,090,440
Group 1 Automotive, Inc.* .............. 300 6,338
---------------
$ 1,168,371
---------------
BANKS AND CREDIT COMPANIES
First Tennessee National Corp. ......... 200 $ 7,663
---------------
BIOTECHNOLOGY
Waters Corp.* .......................... 1,800 $ 95,625
---------------
BROADCASTING -- 0.1%
Hispanic Broadcasting Corp.* ........... 200 $ 15,175
Infinity Broadcasting Corp.* ........... 10,900 324,275
Source Media, Inc.* .................... 400 6,800
Westwood One, Inc.* .................... 300 10,706
---------------
$ 356,956
---------------
BUILDING
Sherwin Williams Co. ................... 300 $ 8,325
---------------
BUSINESS MACHINES -- 0.9%
Affiliated Computer Services, Inc.,
"A"* ................................. 80 $ 4,050
Seagate Technology, Inc.* .............. 300 7,687
Texas Instruments, Inc. ................ 18,700 2,711,500
---------------
$ 2,723,237
---------------
BUSINESS SERVICES -- 0.8%
Abacus Direct Corp.* ................... 100 $ 9,150
Affiliated Managers Group, Inc.* ....... 300 9,056
BISYS Group, Inc.* ..................... 4,760 278,460
Building One Services Corp.* ........... 203 2,817
Ceridian Corp.* ........................ 1,200 39,225
Computer Horizons Corp.* ............... 1,000 13,812
Concord EFS, Inc.* ..................... 300 12,694
First Data Corp. ....................... 33,030 1,616,406
Fiserv, Inc.* .......................... 300 9,394
IMRglobal Corp.* ....................... 8,200 157,850
Insight Enterprises, Inc.* ............. 300 7,425
Interim Services, Inc.* ................ 400 8,250
Learning Tree International, Inc.* ..... 13,700 149,844
Metamor Worldwide, Inc.* ............... 500 12,031
Pegasus Systems, Inc.* ................. 200 7,487
Professional Detailing, Inc.* .......... 300 7,050
---------------
$ 2,340,951
---------------
COMPUTER HARDWARE -- SYSTEMS
Maxtor Corp.* .......................... 600 $ 3,019
---------------
COMPUTER SOFTWARE --
PERSONAL COMPUTERS -- 2.8%
Microsoft Corp.* ....................... 93,000 $ 8,387,437
Verity, Inc.* .......................... 200 10,838
---------------
$ 8,398,275
---------------
COMPUTER SOFTWARE -- SERVICES -- 0.4%
EMC Corp.* ............................. 2,800 $ 154,000
Informatica Corp.* ..................... 100 3,563
Internet Commerce Corp.* ............... 1,700 22,100
Sun Microsystems, Inc.* ................ 14,900 1,026,237
---------------
$ 1,205,900
---------------
COMPUTER SOFTWARE -- SYSTEMS -- 4.5%
ACT Networks, Inc.* .................... 500 $ 8,531
Adaptec, Inc.* ......................... 21,800 769,812
Adobe Systems, Inc. .................... 200 16,431
Ariba, Inc.* ........................... 300 29,175
Aspen Technology, Inc.* ................ 300 3,525
BMC Software, Inc.* .................... 17,002 918,108
</TABLE>
20-GGS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
U.S. STOCKS -- continued
<S> <C> <C>
COMPUTER SOFTWARE -- SYSTEMS -- continued
Cadence Design Systems, Inc.* .......... 40,510 $ 516,503
Checkfree Holdings Corp.* .............. 300 8,269
Clarify, Inc.* ......................... 400 16,500
Computer Associates International,
Inc. ................................. 20,350 1,119,250
Compuware Corp.* ....................... 44,700 1,422,019
CSG Systems International, Inc.* ....... 220 5,761
Etec Systems, Inc.* .................... 200 6,650
Inktomi Corp.* ......................... 1,800 236,700
Keane, Inc. ............................ 1,800 40,725
Manugistics Group, Inc.* ............... 2,400 34,800
NCR Corp.* ............................. 200 9,763
Oracle Corp.* .......................... 222,582 8,263,357
Redback Networks, Inc.* ................ 100 12,556
Scitex Corp. Ltd. ...................... 2,200 22,000
SunGard Data Systems, Inc.* ............ 2,400 82,800
Synopsys, Inc.* ........................ 300 16,556
Vantive Corp.* ......................... 1,300 14,869
---------------
$ 13,574,660
---------------
CONSTRUCTION SERVICES
Martin Marietta Materials, Inc. ........ 200 $ 11,800
---------------
CONSUMER GOODS AND SERVICES -- 3.5%
Atwood Oceanics, Inc.* ................. 300 $ 9,375
Callaway Golf Co. ...................... 700 10,238
Carson, Inc., "A"* ..................... 11,600 38,425
Dial Corp. ............................. 300 11,156
Galileo International, Inc. ............ 2,500 133,594
Sotheby's Holdings, Inc. ............... 300 11,437
The Mead Corp. ......................... 5,100 212,925
TV Guide, Inc.* ........................ 200 7,325
Tyco International Ltd. ................ 106,996 10,137,871
Whittaker Corp.* ....................... 400 11,200
---------------
$ 10,583,546
---------------
CONTAINERS
Owens Illinois, Inc.* .................. 500 $ 16,344
Sealed Air Corp.* ...................... 200 12,975
Smurfit-Stone Container Corp.* ......... 500 10,281
---------------
$ 39,600
---------------
ELECTRICAL EQUIPMENT -- 0.2%
Honeywell, Inc. ........................ 5,100 $ 590,962
Jabil Circuit, Inc.* ................... 200 9,025
Micrel, Inc.* .......................... 200 14,800
---------------
$ 614,787
---------------
ELECTRONICS -- 2.6%
Altera Corp.* .......................... 45,040 $ 1,658,035
Analog Devices, Inc.* .................. 20,900 1,048,919
Applied Materials, Inc.* ............... 16,200 1,196,775
Applied Micro Circuits Corp.* .......... 200 16,450
Atmel Corp.* ........................... 3,700 96,894
ATMI, Inc.* ............................ 300 8,925
Burr-Brown Corp.* ...................... 300 10,988
Conexant Systems, Inc.* ................ 200 11,612
Credence Systems Corp.* ................ 300 11,137
Electro Scientific Industries, Inc.* ... 200 8,356
Flextronics International Ltd.* ........ 200 11,100
GlobeSpan, Inc.* ....................... 200 7,950
Level One Communications, Inc.* ........ 300 14,681
Linear Technology Corp. ................ 5,100 342,975
LSI Logic Corp.* ....................... 5,000 230,625
LTX Corp.* ............................. 800 10,650
Maxim Integrated Products, Inc.* ....... 200 13,300
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
ELECTRONICS -- continued
Microchip Technology, Inc.* ............ 200 $ 9,475
Micron Technology, Inc.* ............... 4,200 169,312
MIPS Technologies, Inc.* ............... 200 9,588
Optical Coating Laboratory, Inc. ....... 200 16,725
Parker-Hannifin Corp. .................. 300 13,725
Photronics, Inc.* ...................... 400 9,800
PMC-Sierra, Inc.* ...................... 400 23,575
Quanta Services, Inc.* ................. 300 13,200
Sanmina Corp.* ......................... 200 15,175
SCI Systems, Inc.* ..................... 110 5,225
SIPEX Corp.* ........................... 200 4,100
Solectron Corp.* ....................... 7,200 480,150
Teradyne, Inc.* ........................ 11,900 853,825
The DII Group, Inc.* ................... 400 14,925
Xilinx, Inc.* .......................... 27,460 1,572,085
---------------
$ 7,910,257
---------------
ENERGY
BJ Services Co.* ....................... 400 $ 11,775
Rowan Cos., Inc.* ...................... 700 12,906
---------------
$ 24,681
---------------
ENTERTAINMENT -- 4.9%
CBS Corp.* ............................. 18,170 $ 789,259
Clear Channel Communications, Inc.* .... 30,392 2,095,149
Comcast Corp., "A" ..................... 66,200 2,544,562
Cox Radio, Inc., "A"* .................. 27,000 1,464,750
Gemstar International Group Ltd.* ...... 4,800 313,200
Harrah's Entertainment, Inc.* .......... 400 8,800
Hearst-Argyle Television, Inc.* ........ 300 7,200
International Speedway Corp. ........... 200 9,500
MediaOne Group, Inc.* .................. 43,700 3,250,187
Premier Parks, Inc.* ................... 400 14,700
Readers Digest Assn., Inc., "A" ........ 200 7,950
Time Warner, Inc. ...................... 56,500 4,152,750
Univision Communications, Inc., "A"* ... 3,100 204,600
USA Networks, Inc.* .................... 500 20,063
---------------
$ 14,882,670
---------------
FINANCIAL INSTITUTIONS -- 0.1%
CIT Group, Inc., "A" ................... 200 $ 5,775
Hambrecht & Quist Group, Inc.* ......... 300 11,138
Paine Webber Group, Inc. ............... 200 9,350
U.S. Trust Corp. ....................... 1,400 129,500
Waddell & Reed Financial, Inc., "A" .... 300 8,231
---------------
$ 163,994
---------------
FINANCIAL SERVICES
FiNet.com, Inc.* ....................... 1,100 $ 6,119
---------------
FOOD AND BEVERAGE PRODUCTS -- 0.5%
Panamerican Beverage ................... 55,890 $ 1,330,881
---------------
FOREST AND PAPER PRODUCTS -- 0.7%
Bowater, Inc. .......................... 300 $ 14,175
International Paper Co. ................ 12,400 626,200
Jefferson Smurfit Corp. ................ 262,860 621,401
Weyerhaeuser Co. ....................... 12,800 880,000
---------------
$ 2,141,776
---------------
INTERNET
Ask Jeeves, Inc. ....................... 200 $ 2,800
GoTo.com, Inc.* ........................ 400 11,200
Software.com, Inc.* .................... 200 4,638
</TABLE>
21-GGS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
U.S. STOCKS -- continued
<S> <C> <C>
INTERNET -- continued
Talk.com, Inc.*+ ....................... 2,000 $ 22,500
---------------
$ 41,138
---------------
LEISURE
Penske Motorsports, Inc.* .............. 300 $ 14,887
Speedway Motorsports, Inc.* ............ 200 7,863
---------------
$ 22,750
---------------
MACHINERY -- 0.3%
Caterpillar, Inc. ...................... 3,800 $ 228,000
Deere & Co., Inc. ...................... 1,100 43,587
Eaton Corp. ............................ 6,300 579,600
SI Handling Systems, Inc. .............. 11,100 116,550
---------------
$ 967,737
---------------
MEDICAL AND HEALTH PRODUCTS -- 0.7%
Biomatrix, Inc.* ....................... 200 $ 4,325
Boston Scientific Corp.* ............... 13,300 584,369
C.R. Bard, Inc. ........................ 200 9,563
King Pharmaceuticals, Inc.* ............ 800 20,700
Pharmacia & Upjohn, Inc. ............... 25,800 1,465,762
Respironics, Inc.* ..................... 500 7,563
The Liposome, Inc.* .................... 700 13,387
---------------
$ 2,105,669
---------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 0.6%
Alpharma, Inc. ......................... 280 $ 9,958
Biogen, Inc.* .......................... 1,200 77,175
Enzon, Inc.* ........................... 700 14,481
Gentex Corp.* .......................... 500 14,000
HealthSouth Corp.* ..................... 1,000 14,937
Henry Schein, Inc.* .................... 200 6,338
IDEXX Laboratories, Inc.* .............. 400 9,325
Imclone Systems, Inc.* ................. 200 5,075
LifePoint Hospitals, Inc.* ............. 421 5,657
Mid Atlantic Medical Services, Inc.* ... 800 7,900
PacifiCare Health Systems, Inc.,
"B"* ................................. 190 13,668
Province Healthcare Co.* ............... 200 3,900
Transkaryotic Therapies, Inc.* ......... 300 9,900
Triad Hospitals, Inc.* ................. 421 5,684
United Healthcare Corp. ................ 24,500 1,534,312
Wellpoint Health Networks, Inc.* ....... 100 8,488
---------------
$ 1,740,798
---------------
METAL FABRICATION
The Timken Co. ......................... 500 $ 9,750
---------------
MINING
Cyprus Amax Minerals Co. ............... 700 $ 10,631
---------------
OFFICE EQUIPMENT
Boise Cascade Office Products Corp.* ... 500 $ 5,875
Corporate Express, Inc.* ............... 1,400 9,800
United Stationers, Inc. ................ 500 11,000
---------------
$ 26,675
---------------
OIL SERVICES -- 0.9%
Baker Hughes, Inc. ..................... 7,600 $ 254,600
Cal Dive International, Inc.* .......... 300 8,963
Diamond Offshore Drilling, Inc. ........ 9,200 261,050
ENSCO International, Inc. .............. 9,400 187,412
Global Industries, Inc.* ............... 1,100 14,094
Global Marine, Inc.* ................... 3,800 58,662
Halliburton Co. ........................ 29,600 1,339,400
Nabors Industries, Inc.* ............... 600 14,663
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
OIL SERVICES -- continued
Noble Drilling Corp.* .................. 17,600 $ 346,500
Smith International, Inc.* ............. 2,200 95,562
Varco International, Inc.* ............. 700 7,656
---------------
$ 2,588,562
---------------
OILS -- 0.1%
Apache Corp. ........................... 8,300 $ 323,700
Santa Fe International Corp. ........... 3,700 85,100
---------------
$ 408,800
---------------
PHARMACEUTICALS -- 0.2%
Andrx Corp.* ........................... 200 $ 15,425
Millennium Pharmaceuticals, Inc.* ...... 400 14,400
Sepracor, Inc.* ........................ 7,800 633,750
---------------
$ 663,575
---------------
PRINTING AND PUBLISHING
Electronics for Imaging, Inc.* ......... 300 $ 15,413
---------------
RAILROADS
Kansas City Southern Industries,
Inc. ................................. 1,600 $ 102,100
---------------
REAL ESTATE INVESTMENT TRUSTS
Starwood Hotels & Resorts .............. 300 $ 9,169
---------------
RESTAURANTS AND LODGING -- 1.2%
Applebee's International, Inc. ......... 470 $ 14,159
Brinker International, Inc.* ........... 400 10,875
CEC Entertainment, Inc.* ............... 300 12,675
Cendant Corp.* ......................... 173,153 3,549,636
CKE Restaurants, Inc. .................. 220 3,575
Four Seasons Hotels, Inc. .............. 200 8,812
IHOP Corp.* ............................ 200 4,813
Papa John's International, Inc.* ....... 200 8,937
Promus Hotel Corp.* .................... 545 16,895
---------------
$ 3,630,377
---------------
RETAIL -- 0.1%
bebe stores, inc.* ..................... 300 $ 10,200
Gap, Inc. .............................. 3,900 196,462
Intimate Brands, Inc. .................. 735 34,821
Lands End, Inc.* ....................... 500 24,250
Quiksilver, Inc. ....................... 300 7,819
Tommy Hilfiger Corp.* .................. 100 7,350
---------------
$ 280,902
---------------
SPECIAL PRODUCTS AND SERVICES
Harmonic Lightwaves, Inc.* ............. 200 $ 11,487
Millipore Corp. ........................ 300 12,169
SPX Corp.* ............................. 400 33,400
Veritas DGC, Inc.* ..................... 600 10,988
---------------
$ 68,044
---------------
STORES -- 1.0%
Abercrombie & Fitch Co.* ............... 3,400 $ 163,200
AnnTaylor Stores Corp.* ................ 210 9,450
Best Buy Co., Inc.* .................... 900 60,750
CompUSA, Inc.* ......................... 900 6,694
Consolidated Stores Corp.* ............. 250 6,750
Cost Plus, Inc. ........................ 200 9,100
CSK Auto Corp.* ........................ 300 8,100
General Nutrition Cos., Inc.* .......... 650 15,153
Linens 'n Things, Inc.* ................ 200 8,750
Micro Warehouse, Inc.* ................. 13,100 234,163
Office Depot, Inc.* .................... 108,150 2,386,059
Staples, Inc.* ......................... 5,625 174,023
Talbots, Inc. .......................... 300 11,438
</TABLE>
22-GGS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
U.S. STOCKS -- continued
<S> <C> <C>
STORES -- continued
Tiffany & Co. .......................... 180 $ 17,370
---------------
$ 3,111,000
---------------
SUPERMARKETS
Super Sol Ltd. ......................... 1,500 $ 21,938
---------------
TECHNOLOGY
Galileo Technology Ltd.* ............... 700 $ 31,719
---------------
TELECOMMUNICATIONS -- 18.6%
ADC Telecommunications, Inc.* .......... 4,900 $ 223,256
Alltel Corp. ........................... 6,100 436,150
Amdocs Ltd.* ........................... 600 13,650
AT&T Corp.* ............................ 88,400 3,239,728
Aware, Inc.* ........................... 200 9,225
Cablevision Systems Corp.* ............. 6,800 476,000
Centinal Cellular Corp.* ............... 200 7,125
Century Communications Corp.* .......... 2,700 124,200
CenturyTel, Inc. ....................... 11,955 475,211
Cincinnati Bell, Inc. .................. 12,600 314,213
Cisco Systems, Inc.* ................... 155,250 10,003,922
CommNet Cellular, Inc.* ................ 500 13,125
CommScope, Inc.* ....................... 300 9,225
Copper Mountain Networks, Inc.* ........ 100 7,725
Covad Communications Group, Inc.* ...... 9,350 498,472
Cox Communications, Inc.* .............. 8,400 309,225
Critical Path, Inc.* ................... 100 5,531
DSP Communications, Inc.* .............. 2,700 77,963
EchoStar Communications, Corp.* ........ 100 15,344
General Instrument Corp.* .............. 7,300 310,250
General Motors Corp., "H" .............. 3,300 185,625
Global TeleSystems Group, Inc.* ........ 56,691 4,591,971
Hyperion Telecommunications, Inc.,
"A"* ................................. 800 15,050
Intermedia Communications, Inc.* ....... 11,100 333,000
International Business Communications
Systems, Inc.*+ ...................... 12,600 --
ITC Deltacom, Inc.* .................... 500 14,000
Lucent Technologies, Inc. .............. 19,700 1,328,519
MCI WorldCom, Inc.* .................... 114,350 9,841,247
Metromedia Fiber Network, Inc., "A"* ... 14,300 513,906
Motorola, Inc. ......................... 28,700 2,719,325
NEXTEL Communications, Inc.* ........... 16,500 828,094
Nortel Networks Corp. .................. 28,300 2,456,794
Novell, Inc.* .......................... 400 10,600
NTL, Inc.* ............................. 9,900 853,256
Oak Industries, Inc. ................... 1,200 52,425
Omnipoint Corp.* ....................... 800 23,150
Powerwave Technologies, Inc.* .......... 300 9,675
Premiere Technologies, Inc.* ........... 700 8,050
QUALCOMM, Inc.* ........................ 30,600 4,391,100
Qwest Communications International,
Inc.* ................................ 86,900 2,873,131
RF Micro Devices, Inc.* ................ 200 14,925
Rhythms NetConnections, Inc.* .......... 4,100 239,338
Scientific-Atlanta, Inc. ............... 6,000 216,000
Sprint Corp. ........................... 40,100 2,117,781
Sprint Corp. (PCS Group) ............... 40,900 2,336,412
TCA Cable TV, Inc. ..................... 300 16,650
Tekelec Co.* ........................... 1,800 21,937
Tellabs, Inc.* ......................... 37,800 2,553,862
Time Warner Telecom, Inc.* ............. 500 14,500
U.S. Satellite Broadcasting Co., Inc.,
"A"* ................................. 500 8,972
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
TELECOMMUNICATIONS -- continued
Uniphase Corp.* ........................ 3,700 $ 614,200
Viatel, Inc.* .......................... 1,700 95,413
Voicestream Wireless Corp.* ............ 300 8,531
Western Wireless Corp.* ................ 300 8,100
Winstar Communications, Inc.* .......... 1,300 63,375
---------------
$ 55,948,454
---------------
TRANSPORTATION
Navistar International Corp. ........... 200 $ 10,000
---------------
UTILITIES -- ELECTRIC -- 0.2%
AES Corp.* ............................. 8,300 $ 482,438
Calpine Corp. .......................... 200 10,800
---------------
$ 493,238
---------------
UTILITIES -- GAS -- 0.5%
Williams Cos., Inc. .................... 31,000 $ 1,319,437
---------------
UTILITIES -- TELEPHONE -- 0.7%
Frontier Corp. ......................... 35,200 $ 2,076,800
---------------
Total U.S. Stocks .................................... $ 144,429,995
---------------
Total Stocks
(Identified Cost, $230,487,758) .................... $ 291,682,358
---------------
CONVERTIBLE PREFERRED STOCK -- 0.1%
THAILAND -- 0.1%
Siam Commercial Bank Public Co. Ltd.,
5.25% (Banks and Credit Companies)*
(Identified Cost, $132,882) .......... 189,000 $ 269,267
---------------
RIGHTS
GREECE
Alpha Credit Bank S.A. (Banks and Credit
Cos.)## .............................. 75 $ 4,830
National Bank Of Greece (Banks and
Credit Cos.)## ....................... 388 25,355
---------------
$ 30,185
---------------
SOUTH KOREA
SK Telecom Ltd. (Telecommunications) ... 10 --
---------------
Total Rights
(Identified Cost, $17,252) ......................... $ 30,185
---------------
SHORT-TERM OBLIGATIONS -- 2.9%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Farm Credit Bank, due
7/19/99 .............................. $ 6,750 $ 6,733,598
Federal Home Loan Bank, due 7/01/99 .... 2,100 2,100,000
---------------
Total Short-Term Obligations, at Amortized Cost ...... $ 8,833,598
---------------
OTHER SHORT-TERM
OBLIGATIONS -- 11.4%
Shares
Navigator Securities Lending Prime
Portfolio (Identified Cost,
$34,292,749) ....................... 34,292,749 $ 34,292,749
---------------
Total Investments
(Identified Cost, $273,764,239) .................... $ 335,108,157
---------------
OTHER ASSETS,
LESS LIABILITIES -- (11.1)% (33,407,994)
---------------
Net Assets -- 100.0% ................................. $ 301,700,163
---------------
---------------
See portfolio footnotes and notes to financial statements
</TABLE>
23-GGS
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 1999
Managed Sectors Series
Stocks -- 95.5%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
ENERGY -- 5.8%
AES Corp.* ............................. 42,700 $ 2,481,938
Apache Corp. ........................... 21,600 842,400
Baker Hughes, Inc. ..................... 11,600 388,600
Coastal Corp. .......................... 27,000 1,080,000
Diamond Offshore Drilling, Inc. ........ 1,400 39,725
ENSCO International, Inc. .............. 61,200 1,220,175
Global Industries, Inc.* ............... 23,500 301,094
Global Marine, Inc.* ................... 49,700 767,244
Halliburton Co. ........................ 88,500 4,004,625
Honeywell, Inc. ........................ 35,100 4,067,212
Korea Electric Power Corp., ADR (South
Korea) ............................... 36,100 740,050
Nabors Industries, Inc.* ............... 26,800 654,925
Noble Drilling Corp.* .................. 110,000 2,165,625
Rowan Cos., Inc.* ...................... 16,300 300,531
Santa Fe International Corp. ........... 66,200 1,522,600
Smith International, Inc.* ............. 3,900 169,406
Williams Cos., Inc. .................... 68,100 2,898,506
----------------
$ 23,644,656
----------------
FINANCIAL INSTITUTIONS -- 1.0%
Bank Tokyo Mitsubishi Ltd, ADR
(Japan) .............................. 124,700 $ 1,815,944
FiNet.com, Inc.* ....................... 2,800 15,575
Morgan Stanley Dean Witter & Co. ....... 21,200 2,173,000
----------------
$ 4,004,519
----------------
LEISURE -- 51.2%
ADC Telecommunications, Inc. * ......... 13,200 $ 601,425
Alltel Corp. ........................... 22,500 1,608,750
AT&T Corp.* ............................ 263,600 9,687,300
Cablevision Systems Corp.* ............. 21,800 1,526,000
CBS Corp.* ............................. 48,100 2,089,344
Century Communications Corp.* .......... 7,400 340,400
CenturyTel, Inc. ....................... 31,050 1,234,238
Cincinnati Bell, Inc. .................. 91,300 2,276,794
Cisco Systems, Inc.* ................... 171,100 11,025,256
Clear Channel Communications, Inc.* .... 58,968 4,065,106
Colt Telecom Group PLC (United
Kingdom)* ............................ 19,600 1,692,950
Comcast Corp., "A" ..................... 174,500 6,707,344
CommScope, Inc.* ....................... 13,800 424,350
Compania Anonima Nacional Telefonos de
Venezuela, ADR (Venezuela) ........... 16,700 455,075
Corning, Inc. .......................... 25,500 1,788,188
Covad Communications Group, Inc.* ...... 34,000 1,812,625
Cox Communications, Inc.* .............. 34,800 1,281,075
Critical Path, Inc.* ................... 200 11,063
DSP Communications, Inc.* .............. 28,300 817,163
Ericsson LM, ADR (Sweden) .............. 136,100 4,482,794
Frontier Corp. ......................... 86,400 5,097,600
Gemstar International Group Ltd.* ...... 2,100 137,025
General Instrument Corp.* .............. 25,700 1,092,250
General Motors Corp. "H" ............... 8,800 495,000
Global TeleSystems Group, Inc.* ........ 109,800 8,893,800
Grupo Television S.A. de C.V., GDR
(Mexico)* ............................ 7,300 327,131
Hong Kong Telecommunicatios, ADR (Hong
Kong)* ............................... 43,500 1,171,781
Infinity Broadcasting Corp.* ........... 62,000 1,844,500
Intermedia Communications, Inc.* ....... 35,400 1,062,000
Koninklijke Philips Electronics N.V.
(Netherlands) ........................ 27,652 2,789,395
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
LEISURE -- continued
Korea Telecom Corp. (South Korea)* ..... 29,300 $ 1,172,000
Lucent Technologies, Inc. .............. 58,300 3,931,606
MCI WorldCom, Inc.* .................... 227,000 19,536,187
MediaOne Group, Inc.* .................. 119,500 8,887,812
Metromedia Fiber Network, Inc., "A"* ... 29,600 1,063,750
Motorola, Inc. ......................... 76,900 7,286,275
NEXTEL Communications, Inc.* ........... 82,000 4,115,375
Nippon Telephone & Telegraph Co.
(Japan) .............................. 105 1,224,363
Nokia Corp., ADR (Finland) ............. 59,600 5,457,125
Nortel Networks Corp. .................. 74,600 6,476,212
Novell, Inc.* .......................... 38,400 1,017,600
NTL, Inc.* ............................. 27,300 2,352,919
NTT Mobile Communications Network, Inc.
(Japan) .............................. 30 406,881
NTT Mobile Communications Network, Inc.
(Japan)* ............................. 120 1,607,675
Oak Industries, Inc. ................... 3,300 144,169
Omnipoint Corp.* ....................... 75,200 2,176,100
QUALCOMM, Inc.* ........................ 84,800 12,168,800
Qwest Communications International,
Inc.* ................................ 229,700 7,594,456
Rhythms NetConnections, Inc.* .......... 10,700 624,613
Scientific-Atlanta, Inc. ............... 21,800 784,800
SK Telecom Ltd., ADR (South Korea)* .... 10,100 171,700
Sprint Corp. ........................... 104,000 5,492,500
Sprint Corp. (PCS Group) ............... 122,600 7,003,525
STMicroelectronics N.V.
(Netherlands) ........................ 34,600 2,400,375
Telecomunicacoes Brasileiras S.A.
(Brazil) ............................. 49,300 3,081
Telefonica Publicidad e Informacion,
S.A. (Spain) ......................... 5,500 109,671
Tellabs, Inc.* ......................... 99,700 6,735,981
Time Warner, Inc. ...................... 149,400 10,980,900
Uniphase Corp.* ........................ 20,300 3,369,800
Viatel, Inc.* .......................... 19,400 1,088,825
Vodafone Group PLC (United Kingdom) .... 25,200 4,964,400
Western Wireless Corp.* ................ 28,500 769,500
Winstar Communications, Inc.* .......... 18,500 901,875
----------------
$ 208,858,573
----------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 1.5%
Biogen, Inc.* .......................... 32,200 $ 2,070,863
Boston Scientific Corp.* ............... 31,100 1,366,456
HealthSouth Corp.* ..................... 26,400 394,350
LifePoint Hospitals, Inc.* ............. 1,105 14,848
Optical Coating Laboratory, Inc. ....... 400 33,450
Sepracor, Inc.* ........................ 25,300 2,055,625
Triad Hospitals, Inc.* ................. 1,105 14,918
----------------
$ 5,950,510
----------------
RETAIL -- 2.8%
Abercrombie & Fitch Co.* ............... 24,600 $ 1,180,800
Best Buy Co., Inc.* .................... 17,100 1,154,250
Gap, Inc. .............................. 30,800 1,551,550
Home Depot, Inc. ....................... 31,900 2,055,556
The Mead Corp. ......................... 35,200 1,469,600
Tiffany & Co. .......................... 11,000 1,061,500
Wal-Mart Stores, Inc. .................. 60,700 2,928,775
----------------
$ 11,402,031
----------------
</TABLE>
24-MSS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
TECHNOLOGY -- 22.4%
Adaptec, Inc.* ......................... 100,200 $ 3,538,312
Altera Corp.* .......................... 25,700 946,081
Analog Devices, Inc.* .................. 96,200 4,828,037
Applied Materials, Inc.* ............... 63,100 4,661,512
Ariba, Inc.* ........................... 700 68,075
ARM Holdings PLC, (United Kingdom)* .... 171,500 1,994,695
ARM Holdings PLC, ADR (United
Kingdom)* ............................ 45,900 1,600,763
Ask Jeeves, Inc.* ...................... 200 2,800
ASM Lithography Holding N.V.
(Netherlands)* ....................... 45,400 2,695,625
Atmel Corp.* ........................... 27,500 720,156
EMC Corp.* ............................. 15,300 841,500
Equant N.V. (Netherlands)* ............. 36,900 3,473,212
Exodus Communications, Inc.* ........... 6,000 719,625
First Data Corp. ....................... 114,700 5,613,131
Fujitsu Ltd. (Japan) ................... 60,000 1,208,237
GlobeSpan, Inc.* ....................... 400 15,900
GoTo.com, Inc.* ........................ 700 19,600
Hitachi Ltd. (Japan) ................... 265,000 2,487,388
IMRglobal Corp.* ....................... 21,800 419,650
Informatica Corp.* ..................... 500 17,813
Inktomi Corp.* ......................... 18,700 2,459,050
International Business Machines
Corp. ................................ 43,500 5,622,375
Internet Commerce Corp.* ............... 14,400 187,200
JDA Software Group, Inc.* .............. 28,300 263,544
Keane, Inc. ............................ 4,400 99,550
Lexmark International Group, Inc.* ..... 5,400 356,738
Linear Technology Corp. ................ 17,800 1,197,050
LSI Logic Corp.* ....................... 78,420 3,617,122
Mannesmann AG (Germany) ................ 18,400 2,749,373
Manugistics Group, Inc.* ............... 84,500 1,225,250
Micron Technology, Inc.* ............... 9,400 378,938
Microsoft Corp.* ....................... 103,700 9,352,444
Oracle Corp.* .......................... 81,800 3,036,825
Peoplesoft, Inc.* ...................... 26,900 464,025
Plx Technology Inc. .................... 2,600 123,175
Redback Networks, Inc.* ................ 400 50,225
Sanmina Corp.* ......................... 7,900 599,413
Software.com, Inc.* .................... 500 11,594
Solectron Corp.* ....................... 44,000 2,934,250
Sun Microsystems, Inc.* ................ 38,100 2,624,137
SunGard Data Systems, Inc.* ............ 2,900 100,050
Teradyne, Inc.* ........................ 73,100 5,244,925
Texas Instruments, Inc. ................ 48,700 7,061,500
Textron, Inc. .......................... 4,700 386,869
Vantive Corp.* ......................... 35,300 403,744
Verity, Inc.* .......................... 12,100 655,669
Xilinx, Inc.* .......................... 78,000 4,465,500
----------------
$ 91,542,647
----------------
<CAPTION>
Issuer Shares Value
<S> <C> <C>
OTHER -- 10.8%
Allied Signal, Inc. .................... 9,600 $ 604,800
Case Corp. ............................. 44,300 2,131,937
Caterpillar, Inc. ...................... 19,800 1,188,000
Dana Corp. ............................. 2,600 119,763
Deere & Co., Inc. ...................... 10,200 404,175
Eaton Corp. ............................ 19,600 1,803,200
Georgia- Pacific Corp. ................. 29,800 1,411,775
Illinois Tool Works, Inc. .............. 25,800 2,115,600
International Paper Co. ................ 32,100 1,621,050
Omnicom Group, Inc. .................... 4,100 328,000
Outdoor Systems, Inc.* ................. 18,900 689,850
Sealed Air Corp.* ...................... 3,300 214,087
SPX Corp.* ............................. 5,900 492,650
TRW, Inc. .............................. 25,600 1,404,800
Tyco International Ltd. ................ 279,800 26,511,050
U.S. Can Corp.* ........................ 400 8,900
Weyerhaeuser Co. ....................... 44,900 3,086,875
----------------
$ 44,136,512
----------------
Total Stocks
(Identified Cost, $330,320,784) .................... $ 389,539,448
----------------
SHORT-TERM OBLIGATIONS -- 12.1%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Home Loan Bank, due 7/01/99 .... $ 11,085 $ 11,085,000
Federal Home Loan Mortgage Corp., due
7/19/99 .............................. 15,000 14,963,950
Federal National Mortgage Assn., due
7/15/99 - 7/20/99 .................... 23,590 23,535,880
----------------
Total Short-Term Obligations, at Amortized Cost ...... $ 49,584,830
----------------
Total Investments
(Identified Cost, $379,905,614 ) ................... $ 439,124,278
----------------
OTHER ASSETS,
LESS LIABILITIES -- (7.6)% (31,136,642)
----------------
Net Assets -- 100.0% ................................. $ 407,987,636
----------------
----------------
See portfolio footnotes and notes to financial statements
</TABLE>
25-MSS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 1999
MASSACHUSETTS INVESTORS TRUST SERIES
STOCKS -- 96.0%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 90.2%
AEROSPACE -- 4.4%
Allied Signal, Inc. .................... 396,100 $ 24,954,300
General Dynamics Corp. ................. 125,400 8,589,900
Lockheed-Martin Corp. .................. 85,500 3,184,875
Raytheon Co., "A" ...................... 179,500 12,363,062
United Technologies Corp. .............. 631,300 45,256,319
-----------------
$ 94,348,456
-----------------
AUTOMOTIVE -- 1.0%
Federal-Mogul Corp. .................... 185,000 $ 9,620,000
Ford Motor Co. ......................... 146,300 8,256,806
TRW, Inc. .............................. 71,800 3,940,025
-----------------
$ 21,816,831
-----------------
BANKS AND CREDIT COMPANIES -- 5.1%
Bank America Corp. ..................... 270,800 $ 19,853,025
Comerica, Inc. ......................... 74,550 4,431,066
Fleet Financial Group, Inc. ............ 58,200 2,582,625
National City Corp. .................... 69,900 4,578,450
Northern Trust Corp. ................... 128,100 12,425,700
PNC Bank Corp. ......................... 49,400 2,846,675
State Street Corp. ..................... 142,200 12,140,325
US Bancorp ............................. 504,653 17,158,202
Wells Fargo Co. ........................ 757,000 32,361,750
-----------------
$ 108,377,818
-----------------
BUSINESS MACHINES -- 2.7%
International Business Machines
Corp. ................................ 113,900 $ 14,721,575
Xerox Corp. ............................ 711,000 41,993,437
-----------------
$ 56,715,012
-----------------
BUSINESS SERVICES -- 1.7%
Computer Sciences Corp.* ............... 174,500 $ 12,073,219
DST Systems, Inc.* ..................... 176,200 11,078,575
First Data Corp. ....................... 263,200 12,880,350
-----------------
$ 36,032,144
-----------------
CHEMICALS -- 0.2%
E.I. du Pont de Nemours & Co., Inc. .... 29,200 $ 1,994,725
PPG Industries, Inc. ................... 30,200 1,783,687
Rohm & Haas Co. ........................ 29,700 1,273,388
-----------------
$ 5,051,800
-----------------
COMPUTER HARDWARE -- SYSTEMS -- 0.9%
Hewlett-Packard Co. .................... 197,600 $ 19,858,800
-----------------
COMPUTER SOFTWARE --
PERSONAL COMPUTERS -- 2.8%
Microsoft Corp.* ....................... 664,000 $ 59,884,500
-----------------
COMPUTER SOFTWARE -- SERVICES -- 0.5%
Sun Microsystems, Inc.* ................ 157,200 $ 10,827,150
-----------------
COMPUTER SOFTWARE -- SYSTEMS -- 2.1%
BMC Software, Inc.* .................... 148,200 $ 8,002,800
Computer Associates International,
Inc. ................................. 404,525 22,248,875
Oracle Corp.* .......................... 397,625 14,761,828
-----------------
$ 45,013,503
-----------------
CONSUMER GOODS AND SERVICES -- 6.5%
Clorox Co. ............................. 93,500 $ 9,986,969
Colgate-Palmolive Co. .................. 163,000 16,096,250
Gillette Co. ........................... 459,200 18,827,200
Newell Rubbermaid, Inc. ................ 446,700 20,771,550
Philip Morris Cos., Inc. ............... 271,400 10,906,887
Procter & Gamble Co. ................... 268,900 23,999,325
Tyco International Ltd. ................ 391,500 37,094,625
-----------------
$ 137,682,806
-----------------
ELECTRICAL EQUIPMENT -- 2.4%
Emerson Electric Co. ................... 246,800 $ 15,517,550
General Electric Co. ................... 276,600 31,255,800
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
ELECTRICAL EQUIPMENT -- continued
Honeywell, Inc. ........................ 42,500 $ 4,924,688
-----------------
$ 51,698,038
-----------------
ELECTRONICS -- 0.6%
Intel Corp. ............................ 216,600 $ 12,887,700
-----------------
ENTERTAINMENT -- 2.6%
Disney (Walt) Co. ...................... 405,000 $ 12,479,062
MediaOne Group, Inc.* .................. 183,400 13,640,375
Time Warner, Inc. ...................... 401,800 29,532,300
-----------------
$ 55,651,737
-----------------
FINANCIAL INSTITUTIONS -- 3.5%
American Express Co. ................... 69,200 $ 9,004,650
Associates First Capital Corp., "A" .... 370,536 16,419,376
Citigroup, Inc. ........................ 562,350 26,711,625
Federal Home Loan Mortgage Corp. ....... 345,600 20,044,800
Goldman Sachs Group, Inc.* ............. 19,100 1,379,975
-----------------
$ 73,560,426
-----------------
FOOD AND BEVERAGE PRODUCTS -- 4.3%
Anheuser-Busch Cos., Inc. .............. 457,000 $ 32,418,437
Bestfoods Co. .......................... 159,200 7,880,400
Coca-Cola Co. .......................... 143,500 8,968,750
Hershey Foods Corp. .................... 59,300 3,520,938
Interstate Bakeries Corp. .............. 140,700 3,156,956
Nabisco Holdings Corp., A .............. 77,500 3,351,875
PepsiCo., Inc. ......................... 78,700 3,044,706
Quaker Oats Co. ........................ 132,400 8,788,050
Ralston-Ralston Purina Co. ............. 679,480 20,681,673
-----------------
$ 91,811,785
-----------------
FOREST AND PAPER PRODUCTS -- 0.2%
International Paper Co. ................ 60,900 $ 3,075,450
-----------------
INSURANCE -- 7.9%
Allstate Corp. ......................... 447,300 $ 16,046,888
American International Group, Inc. ..... 155,300 18,179,806
Chubb Corp. ............................ 96,000 6,672,000
CIGNA Corp. ............................ 385,400 34,300,600
Equitable Cos., Inc. ................... 110,900 7,430,300
Hartford Financial Services Group,
Inc. ................................. 562,800 32,818,275
Lincoln National Corp. ................. 326,000 17,053,875
MBIA, Inc. ............................. 109,000 7,057,750
Progressive Corp. ...................... 144,300 20,923,500
Torchmark Corp. ........................ 189,400 6,463,275
-----------------
$ 166,946,269
-----------------
MANUFACTURING -- 0.8%
Danaher Corp. .......................... 110,700 $ 6,434,438
Illinois Tool Works, Inc. .............. 137,300 11,258,600
-----------------
$ 17,693,038
-----------------
MEDICAL AND HEALTH PRODUCTS -- 8.5%
American Home Products Corp. ........... 399,500 $ 22,971,250
Becton, Dickinson & Co. ................ 218,800 6,564,000
Bristol-Myers Squibb Co. ............... 450,500 31,732,094
Johnson & Johnson Co. .................. 252,200 24,715,600
Merck & Co., Inc. ...................... 189,100 13,993,400
Pfizer, Inc. ........................... 249,100 27,338,725
Pharmacia & Upjohn, Inc. ............... 378,400 21,497,850
Schering Plough Corp. .................. 247,000 13,091,000
Warner-Lambert Co. ..................... 255,400 17,718,375
-----------------
$ 179,622,294
-----------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 2.7%
Guidant Corp. .......................... 366,700 $ 18,862,131
HEALTHSOUTH Corp.* ..................... 271,600 4,057,025
Medtronic, Inc. ........................ 234,663 18,274,381
United HealthCare Corp. ................ 248,500 15,562,313
-----------------
$ 56,755,850
-----------------
</TABLE>
26-MIS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
OILS -- 2.9%
Chevron Corp. .......................... 93,070 $ 8,859,101
Exxon Corp. ............................ 368,800 28,443,700
Mobil Corp. ............................ 215,300 21,314,700
USX-Marathon Group ..................... 90,200 2,937,137
-----------------
$ 61,554,638
-----------------
PRINTING AND PUBLISHING -- 1.5%
Gannett Co., Inc. ...................... 163,400 $ 11,662,675
New York Times Co. ..................... 224,700 8,271,769
Tribune Co. ............................ 148,000 12,894,500
-----------------
$ 32,828,944
-----------------
RESTAURANTS AND LODGING -- 1.4%
McDonald's Corp. ....................... 704,500 $ 29,104,656
-----------------
SPECIAL PRODUCTS AND SERVICES -- 0.2%
Carnival Corp. ......................... 82,200 $ 3,986,700
-----------------
STORES -- 5.3%
CVS Corp. .............................. 464,600 $ 23,578,450
Dayton Hudson Corp. .................... 219,300 14,254,500
Home Depot, Inc. ....................... 193,700 12,481,544
Nordstrom, Inc. ........................ 182,500 6,113,750
Office Depot, Inc.* .................... 337,450 7,444,991
Rite Aid Corp. ......................... 248,300 6,114,387
TJX Cos., Inc. ......................... 540,900 18,018,731
Wal-Mart Stores, Inc. .................. 528,800 25,514,600
-----------------
$ 113,520,953
-----------------
SUPERMARKETS -- 3.3%
Albertsons, Inc. ....................... 341,217 $ 17,594,002
Kroger Co.* ............................ 894,000 24,976,125
Safeway, Inc.* ......................... 538,600 26,660,700
-----------------
$ 69,230,827
-----------------
TELECOMMUNICATIONS -- 9.4%
Alltel Corp. ........................... 361,900 $ 25,875,850
Ameritech Corp. ........................ 148,800 10,936,800
Bell Atlantic Corp. .................... 636,500 41,611,187
Cisco Systems, Inc.* ................... 232,600 14,988,163
MCI WorldCom, Inc.* .................... 410,302 35,311,616
Motorola, Inc. ......................... 216,100 20,475,475
Nortel Networks Corp. .................. 66,000 5,729,625
SBC Communications, Inc. ............... 453,900 26,326,200
Sprint Corp. ........................... 280,700 14,824,469
Sprint Corp. (PCS Group) ............... 62,250 3,556,031
-----------------
$ 199,635,416
-----------------
UTILITIES -- ELECTRIC -- 3.7%
CMS Energy Corp. ....................... 184,700 $ 7,734,312
Duke Energy Corp. ...................... 190,700 10,369,312
FirstEnergy Corp. ...................... 193,000 5,983,000
GPU, Inc. .............................. 149,300 6,298,594
New Century Energies, Inc. ............. 80,600 3,128,288
NiSource, Inc. ......................... 241,000 6,220,812
Peco Energy Co. ........................ 189,200 7,922,750
Pinnacle West Capital Corp. ............ 213,400 8,589,350
Texas Utilities Co. .................... 355,900 14,680,875
Unicom Corp. ........................... 172,300 6,644,319
-----------------
$ 77,571,612
-----------------
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
UTILITIES -- GAS -- 0.9%
Coastal Corp. .......................... 82,700 $ 3,308,000
Columbia Energy Group .................. 259,750 16,283,078
-----------------
$ 19,591,078
-----------------
UTILITIES -- TELEPHONE -- 0.2%
BellSouth Corp. ........................ 106,500 $ 4,992,188
-----------------
Total U.S. Stocks .................................... $ 1,917,328,419
-----------------
FOREIGN STOCKS -- 5.8%
CANADA -- 0.5%
Canadian National Railway Co.
(Railroads) .......................... 158,150 $ 10,596,050
-----------------
FRANCE -- 0.1%
Axa (Insurance) ........................ 28,200 $ 3,437,809
-----------------
GERMANY -- 0.9%
HypoVereinsbank (Banks and Credit
Cos.) ................................ 52,800 $ 3,427,854
Mannesmann AG (Conglomerate) ........... 105,600 15,779,012
-----------------
$ 19,206,866
-----------------
JAPAN -- 0.2%
AFLAC, Inc. (Insurance) ................ 87,900 $ 4,208,212
-----------------
NETHERLANDS -- 0.2%
Wolters Kluwer NV (Publishing) ......... 87,200 $ 3,468,579
-----------------
SWEDEN -- 0.4%
Ericsson LM, ADR
(Telecommunications) ................. 266,300 $ 8,771,256
-----------------
SWITZERLAND -- 0.3%
Nestle S.A. (Food and Beverage
Products) ............................ 3,700 $ 6,666,474
-----------------
UNITED KINGDOM -- 3.2%
AstraZeneca PLC, ADR (Medical and Health
Products) ............................ 173,300 $ 6,791,194
BP Amoco PLC, ADR (Oils) ............... 330,111 35,817,043
Rentokil Initial PLC (Environmental
Services) ............................ 790,800 3,065,899
Reuters Group PLC (Business
Services) ............................ 667,100 8,773,509
Reuters Group PLC, ADR (Business
Services) ............................ 77,200 6,258,025
Zeneca Group PLC (Medical and Health
Products) ............................ 174,800 6,757,640
-----------------
$ 67,463,310
-----------------
Total Foreign Stocks ................................. $ 123,818,556
-----------------
Total Stocks
(Identified Cost, $1,662,771,528) .................. $ 2,041,146,975
-----------------
CONVERTIBLE PREFERRED
STOCKS -- 0.3%
UTILITIES -- ELECTRIC -- 0.3%
Houston Industries, Inc., 7.00% ........ $ 37,200 $ 4,436,100
Texas Utilities Co., 3.315% ............ 46,200 2,038,575
-----------------
Total Convertible Preferred Stocks
(Identified Cost, $3,666,571) ...................... $ 6,474,675
-----------------
</TABLE>
27-MIS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
BONDS -- 4.4%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
CONVERTIBLE BONDS -- 0.1%
FINANCIAL SERVICES -- 0.1%
Bell Atlantic Financial Services, Inc.,
4.25s, 2005## (Identified Cost,
$2,920,842) .......................... $ 2,597 $ 2,655,432
-----------------
SHORT-TERM OBLIGATIONS -- 4.3%
Associates Corp. of North America, due
7/01/99 .............................. $ 7,700 $ 7,700,000
AT&T Corp., due 7/01/99 ................ 17,400 17,400,000
Federal Agricultural Mortgage Corp., due
7/23/99 .............................. 18,936 18,879,413
Federal Home Loan Mortgage Corp., due
7/19/99 - 7/29/99 .................... 34,800 34,692,209
Federal National Mortgage Assn., due
7/22/99 .............................. 12,200 12,165,342
-----------------
Total Short-Term Obligations, at Amortized Cost ...... $ 90,836,964
-----------------
Total Investments
(Identified Cost, $1,760,195,905 ) ................. $ 2,141,114,046
-----------------
OTHER ASSETS,
LESS LIABILITIES -- (0.7)% (14,693,919)
-----------------
Net Assets -- 100.0% ................................. $ 2,126,420,127
-----------------
-----------------
See portfolio footnotes and notes to financial statements
</TABLE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 1999
RESEARCH SERIES
STOCKS -- 98.9%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 92.9%
AEROSPACE -- 4.2%
Gulfstream Aerospace Corp.* ............ 169,200 $ 11,431,575
Raytheon Co., "B" ...................... 110,000 7,741,250
United Technologies Corp. .............. 371,600 26,639,075
-----------------
$ 45,811,900
-----------------
AUTOMOTIVE -- 0.9%
Federal-Mogul Corp. .................... 193,700 $ 10,072,400
-----------------
BANKS AND CREDIT COMPANIES -- 4.6%
Bank America Corp. ..................... 78,500 $ 5,755,031
Bank of New York Co., Inc. ............. 236,400 8,672,925
Chase Manhattan Corp. .................. 73,124 6,334,367
PNC Bank Corp. ......................... 191,600 11,040,950
US Bancorp ............................. 145,800 4,957,200
Wells Fargo Co. ........................ 306,800 13,115,700
-----------------
$ 49,876,173
-----------------
BROADCASTING -- 0.7%
Infinity Broadcasting Corp.* ........... 252,200 $ 7,502,950
-----------------
BUSINESS MACHINES -- 0.9%
Xerox Corp. ............................ 170,300 $ 10,058,344
-----------------
BUSINESS SERVICES -- 0.5%
First Data Corp. ....................... 115,400 $ 5,647,388
Modis Professional Services, Inc.* ..... 11,143 153,216
-----------------
$ 5,800,604
-----------------
CHEMICALS -- 0.2%
Cambrex Corp. .......................... 97,200 $ 2,551,500
-----------------
COMPUTER HARDWARE -- SYSTEMS -- 0.5%
Hewlett-Packard Co. .................... 56,700 $ 5,698,350
-----------------
COMPUTER SOFTWARE --
PERSONAL COMPUTERS -- 4.7%
Intuit, Inc.* .......................... 2,500 $ 225,312
Microsoft Corp.* ....................... 571,300 51,524,119
-----------------
$ 51,749,431
-----------------
COMPUTER SOFTWARE -- SERVICES -- 2.3%
EMC Corp.* ............................. 137,600 $ 7,568,000
Sun Microsystems, Inc.* ................ 250,700 17,266,962
-----------------
$ 24,834,962
-----------------
COMPUTER SOFTWARE -- SYSTEMS -- 6.3%
BMC Software, Inc.* .................... 284,600 $ 15,368,400
Cadence Design Systems, Inc.* .......... 373,600 4,763,400
Citrix Systems, Inc.* .................. 30,600 1,728,900
Computer Associates International,
Inc. ................................. 105,200 5,786,000
Compuware Corp.* ....................... 328,800 10,459,950
Oracle Corp.* .......................... 687,587 25,526,668
Synopsys, Inc.* ........................ 89,100 4,917,206
-----------------
$ 68,550,524
-----------------
CONSUMER GOODS AND SERVICES -- 8.4%
Clorox Co. ............................. 97,900 $ 10,456,943
Colgate-Palmolive Co. .................. 60,400 5,964,500
Dial Corp. ............................. 229,700 8,541,969
Gillette Co. ........................... 230,600 9,454,600
Newell Rubbermaid, Inc. ................ 182,700 8,495,550
Procter & Gamble Co. ................... 160,700 14,342,475
Tyco International Ltd. ................ 362,812 34,376,437
-----------------
$ 91,632,474
-----------------
CONTAINERS -- 0.7%
Owens Illinois, Inc.* .................. 162,400 $ 5,308,450
Smurfit-Stone Container Corp.* ......... 129,798 2,668,971
-----------------
$ 7,977,421
-----------------
ELECTRICAL EQUIPMENT -- 0.8%
Honeywell, Inc. ........................ 73,100 $ 8,470,463
-----------------
</TABLE>
28-RES
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
ELECTRONICS -- 4.1%
Analog Devices, Inc.* .................. 503,133 $ 25,250,987
LSI Logic Corp.* ....................... 424,800 19,593,900
-----------------
$ 44,844,887
-----------------
ENTERTAINMENT -- 4.3%
CBS Corp.* ............................. 138,300 $ 6,007,406
Comcast Corp., "A" ..................... 104,900 4,032,094
Disney (Walt) Co. ...................... 469,900 14,478,794
MediaOne Group, Inc.* .................. 77,400 5,756,625
Time Warner, Inc. ...................... 223,400 16,419,900
-----------------
$ 46,694,819
-----------------
FINANCIAL INSTITUTIONS -- 3.8%
Associates First Capital Corp., "A" .... 281,506 $ 12,474,235
CIT Group, Inc., "A" ................... 122,400 3,534,300
Citigroup, Inc. ........................ 296,400 14,079,000
Goldman Sachs Group, Inc.* ............. 10,300 744,175
Morgan Stanley Dean Witter & Co. ....... 55,700 5,709,250
Providian Financial Corp. .............. 26,200 2,449,700
Schwab (Charles) Corp. ................. 24,300 2,669,962
-----------------
$ 41,660,622
-----------------
FOOD AND BEVERAGE PRODUCTS -- 3.0%
Anheuser-Busch Cos., Inc. .............. 121,200 $ 8,597,625
Bestfoods Co. .......................... 23,900 1,183,050
Coca-Cola Co. .......................... 107,300 6,706,250
Nabisco Holdings Corp., "A" ............ 118,900 5,142,425
Ralston-Ralston Purina Co. ............. 376,323 11,454,331
-----------------
$ 33,083,681
-----------------
FOREST AND PAPER PRODUCTS -- 0.5%
Bowater, Inc. .......................... 108,500 $ 5,126,625
-----------------
INSURANCE -- 6.6%
American International Group, Inc. ..... 77,700 $ 9,095,756
CIGNA Corp. ............................ 171,100 15,227,900
Conseco, Inc. .......................... 137,339 4,180,256
Equitable Cos., Inc. ................... 161,300 10,807,100
Hartford Financial Services Group,
Inc. ................................. 169,800 9,901,463
Lincoln National Corp. ................. 222,800 11,655,225
Nationwide Financial Services, Inc.,
"A" .................................. 91,100 4,122,275
ReliaStar Financial Corp. .............. 164,996 7,218,575
-----------------
$ 72,208,550
-----------------
INTERNET
Phone.com, Inc.* ....................... 8,400 $ 470,400
Software.com, Inc.* .................... 1,400 32,463
-----------------
$ 502,863
-----------------
MANUFACTURING -- 1.0%
Danaher Corp. .......................... 196,200 $ 11,404,125
-----------------
MEDICAL AND HEALTH PRODUCTS -- 5.0%
American Home Products Corp. ........... 352,000 $ 20,240,000
Bristol-Myers Squibb Co. ............... 249,700 17,588,244
Pharmacia & Upjohn, Inc. ............... 293,000 16,646,062
-----------------
$ 54,474,306
-----------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 4.9%
Cardinal Health, Inc. .................. 158,100 $ 10,138,162
Guidant Corp. .......................... 263,700 13,564,069
HealthSouth Corp.* ..................... 560,381 8,370,691
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- continued
Medtronic, Inc. ........................ 126,100 $ 9,820,038
United HealthCare Corp. ................ 171,100 10,715,137
VISX, Inc.* ............................ 8,800 696,850
-----------------
$ 53,304,947
-----------------
OILS -- 2.1%
Atlantic Richfield Co. ................. 12,800 $ 1,069,600
Conoco, Inc., "A" ...................... 192,300 5,360,362
Mobil Corp. ............................ 166,100 16,443,900
-----------------
$ 22,873,862
-----------------
PRINTING AND PUBLISHING -- 0.5%
Gannett Co., Inc. ...................... 80,800 $ 5,767,100
-----------------
RESTAURANTS AND LODGING -- 1.5%
CKE Restaurants, Inc. .................. 1,500 $ 24,375
McDonald's Corp. ....................... 397,900 16,438,244
-----------------
$ 16,462,619
-----------------
SPECIAL PRODUCTS AND SERVICES -- 1.0%
Backweb Technologies Ltd.* ............. 4,400 $ 120,450
Carnival Corp. ......................... 126,100 6,115,850
Newport News Shipbuilding, Inc. ........ 15,871 468,195
SPX Corp.* ............................. 15,900 1,327,650
Verisign, Inc.* ........................ 28,000 2,415,000
-----------------
$ 10,447,145
-----------------
STORES -- 4.4%
CompUSA, Inc.* ......................... 219,200 $ 1,630,300
CVS Corp. .............................. 267,800 13,590,850
Dayton Hudson Corp. .................... 97,300 6,324,500
Office Depot, Inc.* .................... 255,000 5,625,938
Rite Aid Corp. ......................... 364,800 8,983,200
TJX Cos., Inc. ......................... 165,700 5,519,881
Wal-Mart Stores, Inc. .................. 131,900 6,364,175
-----------------
$ 48,038,844
-----------------
SUPERMARKETS -- 2.2%
Kroger Co.* ............................ 453,436 $ 12,667,868
Safeway, Inc.* ......................... 241,593 11,958,854
-----------------
$ 24,626,722
-----------------
TELECOMMUNICATIONS -- 10.9%
Bell Atlantic Corp. .................... 311,000 $ 20,331,625
Cisco Systems, Inc.* ................... 344,350 22,189,053
MCI WorldCom, Inc.* .................... 300,264 25,841,470
Motorola, Inc. ......................... 211,800 20,068,050
Sprint Corp. ........................... 172,000 9,083,750
Sprint Corp. (PCS Group) ............... 383,700 21,918,863
-----------------
$ 119,432,811
-----------------
UTILITIES -- ELECTRIC -- 1.0%
CMS Energy Corp. ....................... 125,700 $ 5,263,688
Midamerica Energy Holdings Co. ......... 160,300 5,550,387
-----------------
$ 10,814,075
-----------------
UTILITIES -- GAS -- 0.4%
Columbia Energy Group .................. 68,400 $ 4,287,825
-----------------
Total U.S. Stocks .................................... $ 1,016,643,924
-----------------
FOREIGN STOCKS -- 6.0%
CANADA -- 0.1%
Abitibi-Consolidated, Inc. (Forest and
Paper Products) ........................ 93,300 $ 1,061,287
-----------------
</TABLE>
29-RES
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
FRANCE -- 0.1%
TOTAL Fina S.A., ADR (Oils) ............ 20,750 $ 1,337,078
-----------------
GERMANY -- 0.8%
Mannesmann AG (Conglomerate) ........... 59,100 $ 8,830,867
-----------------
SPAIN -- 0.5%
Repsol S.A. (Oils) ..................... 274,600 $ 5,602,909
-----------------
SWEDEN -- 1.4%
Ericsson LM, B (Telecommunications) .... 412,600 $ 13,252,416
Ericsson LM, ADR
(Telecommunications) ................. 46,100 1,518,419
-----------------
$ 14,770,835
-----------------
SWITZERLAND -- 1.0%
UBS AG (Banks and Credit Cos.)* ........ 37,700 $ 11,252,284
-----------------
UNITED KINGDOM -- 2.1%
BP Amoco PLC, ADR (Oils) ............... 141,116 $ 15,311,086
British Aerospace PLC (Aerospace and
Defense)* ............................ 6,262 40,759
Zeneca Group PLC (Medical and Health
Products) ............................ 201,500 7,789,842
-----------------
$ 23,141,687
-----------------
Total Foreign Stocks ................................. $ 65,996,947
-----------------
Total Stocks
(Identified Cost, $840,639,227) .................... $ 1,082,640,871
-----------------
SHORT-TERM OBLIGATIONS -- 1.5%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
AT&T Corp., due 7/01/99 ................ $ 6,200 $ 6,200,000
Federal Home Loan Bank, due 7/21/99 .... 10,500 10,471,504
-----------------
Total Short-Term Obligations, at Amortized Cost ...... $ 16,671,504
-----------------
OTHER SHORT-TERM
OBLIGATIONS -- 6.1%
Shares
Navigator Securities Lending Prime
Portfolio (Identified Cost,
$66,767,907) ....................... 66,767,907 $ 66,767,907
-----------------
Total Investments
(Identified Cost, $924,078,638 ) ................... $ 1,166,080,282
-----------------
OTHER ASSETS,
LESS LIABILITIES -- (6.5)% (71,368,823)
-----------------
Net Assets -- 100.0% ................................. $ 1,094,711,459
-----------------
-----------------
See portfolio footnotes and notes to financial statements
</TABLE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 1999
TOTAL RETURN SERIES
STOCKS -- 55.4%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 49.9%
AEROSPACE -- 2.6%
Allied Signal, Inc. .................... 468,000 $ 29,484,000
Lockheed-Martin Corp. .................. 80,000 2,980,000
Raytheon Co., "A" ...................... 158,704 10,930,738
Raytheon Co., "B" ...................... 56,400 3,969,150
United Technologies Corp. .............. 53,200 3,813,775
-----------------
$ 51,177,663
-----------------
AUTOMOTIVE -- 1.5%
Delphi Automotive Systems Corp. ........ 321,600 $ 5,969,700
Ford Motor Co. ......................... 173,589 9,796,929
TRW, Inc. .............................. 263,300 14,448,588
-----------------
$ 30,215,217
-----------------
BANKS AND CREDIT COMPANIES -- 3.1%
Bank of New York Co., Inc. ............. 424,712 $ 15,581,621
Mellon Bank Corp. ...................... 408,600 14,862,825
National City Corp. .................... 25,460 1,667,630
PNC Bank Corp. ......................... 282,800 16,296,350
Washington Mutual, Inc. ................ 40,000 1,415,000
Wells Fargo Co. ........................ 306,400 13,098,600
-----------------
$ 62,922,026
-----------------
BUSINESS MACHINES -- 1.6%
International Business Machines
Corp. ................................ 113,200 $ 14,631,100
Xerox Corp. ............................ 293,800 17,352,562
-----------------
$ 31,983,662
-----------------
CELLULAR TELEPHONES -- 0.4%
Telephone & Data Systems, Inc. ......... 106,900 $ 7,810,381
-----------------
CHEMICALS -- 1.3%
Dow Chemical Co. ....................... 56,100 $ 7,117,688
Engelhard Corp. ........................ 336,300 7,608,787
Rohm & Haas Co. ........................ 250,500 10,740,187
-----------------
$ 25,466,662
-----------------
COAL -- 0.2%
CONSOL Energy, Inc.* ................... 301,700 $ 3,620,400
-----------------
COMPUTER HARDWARE -- SYSTEMS -- 0.7%
Hewlett-Packard Co. .................... 133,900 $ 13,456,950
-----------------
CONGLOMERATES -- 0.3%
Eastern Enterprises .................... 128,700 $ 5,115,825
-----------------
CONSUMER GOODS AND SERVICES -- 1.0%
Kimberly-Clark Corp. ................... 157,100 $ 8,954,700
Philip Morris Cos., Inc. ............... 127,400 5,119,887
Tyco International Ltd. ................ 55,572 5,265,447
-----------------
$ 19,340,034
-----------------
ELECTRICAL EQUIPMENT -- 1.0%
Emerson Electric Co. ................... 260,000 $ 16,347,500
General Electric Co. ................... 24,100 2,723,300
-----------------
$ 19,070,800
-----------------
ENTERTAINMENT -- 1.9%
Disney (Walt) Co. ...................... 186,300 $ 5,740,369
MediaOne Group, Inc.* .................. 148,000 11,007,500
Time Warner, Inc. ...................... 302,800 22,255,800
-----------------
$ 39,003,669
-----------------
FINANCIAL INSTITUTIONS -- 2.3%
American Express Co. ................... 115,400 $ 15,016,425
Citigroup, Inc. ........................ 289,800 13,765,500
Edwards (A.G.), Inc. ................... 273,550 8,821,987
Federal Home Loan Mortgage Corp. ....... 151,200 8,769,600
-----------------
$ 46,373,512
-----------------
</TABLE>
30-TRS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
FOOD AND BEVERAGE PRODUCTS -- 1.8%
Archer-Daniels-Midland Co. ............. 847,080 $ 13,076,797
General Mills, Inc. .................... 142,700 11,469,512
Hershey Foods Corp. .................... 51,900 3,081,563
McCormick & Co., Inc. .................. 129,100 4,074,719
Quaker Oats Co. ........................ 17,000 1,128,375
Seagram Limited* ....................... 63,400 3,166,038
-----------------
$ 35,997,004
-----------------
FOREST AND PAPER PRODUCTS -- 1.5%
Bowater, Inc. .......................... 181,800 $ 8,590,050
Champion International Corp. ........... 205,000 9,814,375
International Paper Co. ................ 82,400 4,161,200
Weyerhaeuser Co. ....................... 118,800 8,167,500
-----------------
$ 30,733,125
-----------------
INSURANCE -- 6.7%
Allstate Corp. ......................... 281,800 $ 10,109,575
American International Group, Inc. ..... 35,000 4,097,188
Chubb Corp. ............................ 247,900 17,229,050
CIGNA Corp. ............................ 185,500 16,509,500
Equitable Cos., Inc. ................... 333,865 22,368,955
Hartford Financial Services Group,
Inc. ................................. 310,900 18,129,356
Jefferson Pilot Corp. .................. 124,100 8,213,869
Lincoln National Corp. ................. 432,000 22,599,000
ReliaStar Financial Corp. .............. 146,300 6,400,625
St. Paul Cos., Inc. .................... 260,900 8,299,881
Torchmark Corp. ........................ 9,800 334,425
-----------------
$ 134,291,424
-----------------
MEDICAL AND HEALTH PRODUCTS -- 1.2%
American Home Products Corp. ........... 151,930 $ 8,735,975
Baxter International, Inc. ............. 52,300 3,170,687
Bristol-Myers Squibb Co. ............... 41,300 2,909,069
Pharmacia & Upjohn, Inc. ............... 150,000 8,521,875
-----------------
$ 23,337,606
-----------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 0.3%
Columbia/HCA Healthcare Corp. .......... 230,000 $ 5,246,875
-----------------
METALS AND MINERALS -- 0.3%
Alcoa, Inc. ............................ 85,700 $ 5,302,688
-----------------
OIL SERVICES -- 0.9%
Halliburton Co. ........................ 136,000 $ 6,154,000
Noble Drilling Corp.* .................. 625,800 12,320,438
-----------------
$ 18,474,438
-----------------
OILS -- 3.0%
Apache Corp. ........................... 61,900 $ 2,414,100
Chevron Corp. .......................... 93,000 8,852,437
Conoco, Inc., "A" ...................... 328,400 9,154,150
Exxon Corp. ............................ 75,100 5,792,088
Mobil Corp. ............................ 176,400 17,463,600
Texaco, Inc. ........................... 97,900 6,118,750
Unocal Corp. ........................... 243,600 9,652,650
-----------------
$ 59,447,775
-----------------
PHOTOGRAPHIC PRODUCTS
Eastman Kodak Co. ...................... 12,400 $ 840,100
-----------------
POLLUTION CONTROL
Browning Ferris Industries, Inc. ....... 19,000 $ 817,000
-----------------
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
PRINTING AND PUBLISHING -- 1.1%
Gannett Co., Inc. ...................... 197,500 $ 14,096,562
New York Times Co. ..................... 205,000 7,546,563
-----------------
$ 21,643,125
-----------------
RAILROADS -- 0.5%
Burlington Northern Santa Fe Railway
Co. .................................. 151,300 $ 4,690,300
Norfolk Southern Corp. ................. 201,100 6,058,138
-----------------
$ 10,748,438
-----------------
REAL ESTATE INVESTMENT TRUSTS -- 0.3%
Boston Properties, Inc. ................ 37,900 $ 1,359,663
TriNet Corporate Realty Trust, Inc. .... 179,500 4,969,906
-----------------
$ 6,329,569
-----------------
RESTAURANTS AND LODGING -- 1.2%
McDonald's Corp. ....................... 567,400 $ 23,440,712
-----------------
STORES -- 0.9%
Dayton Hudson Corp. .................... 276,600 $ 17,979,000
-----------------
SUPERMARKETS -- 0.5%
Albertsons, Inc. ....................... 184,779 $ 9,527,667
Kroger Co.* ............................ 24,600 687,263
-----------------
$ 10,214,930
-----------------
TELECOMMUNICATIONS -- 5.8%
AT&T Corp. ............................. 187,200 $ 10,448,100
Bell Atlantic Corp. .................... 106,300 6,949,363
GTE Corp. .............................. 521,600 39,511,200
Motorola, Inc. ......................... 212,200 20,105,950
SBC Communications, Inc. ............... 390,006 22,620,348
Sprint Corp. ........................... 294,200 15,537,437
-----------------
$ 115,172,398
-----------------
UTILITIES -- ELECTRIC -- 3.6%
Carolina Power & Light Co. ............. 292,200 $ 12,509,812
CMS Energy Corp. ....................... 188,700 7,901,813
Duke Energy Corp. ...................... 125,000 6,796,875
FirstEnergy Corp. ...................... 100,000 3,100,000
GPU, Inc. .............................. 216,400 9,129,375
Pinnacle West Capital Corp. ............ 268,000 10,787,000
Sempra Energy .......................... 152,200 3,443,525
Sierra Pacific Resources ............... 143,000 5,201,625
Southern Co. ........................... 332,800 8,819,200
Texas Utilities Co. .................... 124,000 5,115,000
-----------------
$ 72,804,225
-----------------
UTILITIES -- GAS -- 2.4%
Coastal Corp. .......................... 593,000 $ 23,720,000
Columbia Energy Group .................. 221,300 13,872,744
Sonat, Inc. ............................ 219,000 7,254,375
UGI Corp. .............................. 63,000 1,271,812
Washington Gas Light Co. ............... 44,700 1,162,200
-----------------
$ 47,281,131
-----------------
Total U.S. Stocks ..................................... $ 995,658,364
-----------------
FOREIGN STOCKS -- 5.5%
CANADA -- 0.2%
Canadian National Railway Co.
(Railroads) .......................... 55,100 $ 3,691,700
-----------------
FRANCE -- 0.1%
Axa (Insurance) ........................ 13,400 $ 1,633,569
-----------------
</TABLE>
31-TRS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
NETHERLANDS -- 2.0%
Akzo Nobel N.V. (Chemicals) ............ 286,400 $ 12,041,512
ING Groep N.V. (Financial Services)* ... 327,387 17,712,041
Royal Dutch Petroleum Co., ADR
(Oils) ............................... 170,000 10,242,500
-----------------
$ 39,996,053
-----------------
SWITZERLAND -- 0.7%
Nestle S.A. (Food and Beverage
Products) ............................ 8,050 $ 14,504,085
-----------------
UNITED KINGDOM -- 2.5%
BP Amoco PLC, ADR (Oils) ............... 365,960 $ 39,706,660
SmithKline-Beecham PLC, ADR (Medical and
Health Products) ..................... 175,600 11,600,575
-----------------
$ 51,307,235
-----------------
Total Foreign Stocks .................................. $ 111,132,642
-----------------
Total Stocks (Identified Cost, $936,487,288) .......... $ 1,106,791,006
-----------------
</TABLE>
<TABLE>
<CAPTION>
BONDS -- 36.4%
<S> <C> <C>
U.S. BONDS -- 36.1%
AIRLINES -- 0.7%
Principal Amount
(000 Omitted)
Delta Airlines, Inc., 6.65s, 2004 ...... $ 4,887 $ 4,792,241
Jet Equipment Trust, 9.41s, 2010## ..... 1,000 1,106,510
Jet Equipment Trust, 8.64s, 2012## ..... 912 965,449
Jet Equipment Trust, 11.44s, 2014## .... 1,200 1,459,044
Jet Equipment Trust, 10.69s, 2015## .... 1,000 1,183,060
Northwest Airlines, Inc., 8.52s,
2004 ................................. 1,416 1,361,484
Northwest Airlines, Inc., 7.625s,
2005 ................................. 2,943 2,692,639
Northwest Airlines, Inc., 8.7s, 2007 ... 1,385 1,320,971
-------------------
$ 14,881,398
-------------------
APPAREL AND TEXTILES -- 0.2%
Jones Apparel Group, Inc., 6.25s,
2001 ................................. $ 1,363 $ 1,357,807
Jones Apparel Group, Inc., 7.875s,
2006 ................................. 1,807 1,804,488
-------------------
$ 3,162,295
-------------------
AUTOMOTIVE -- 0.8%
Federal Mogul Corp., 7.5s, 2004 ........ $ 5,572 $ 5,251,710
Federal Mogul Corp., 7.75s, 2006 ....... 3,469 3,321,602
Ford Motor Co., 8.9s, 2032 ............. 2,140 2,504,720
Ford Motor Credit Co., 5.8s, 2009 ...... 2,300 2,101,970
General Motors Corp., 6.75s, 2028 ...... 1,498 1,368,378
TRW, Inc., 7.125s, 2009 ................ 1,869 1,815,173
-------------------
$ 16,363,553
-------------------
BANKS AND CREDIT COMPANIES -- 1.0%
Aristar, Inc., 5.85s, 2004 ............. $ 2,937 $ 2,839,110
Aristar, Inc., 7.25s, 2006 ............. 2,787 2,805,087
Beaver Valley Funding Corp. II, 9s,
2017 ................................. 5,221 5,729,003
Capital One Financial Corp., 7.25s,
2003 ................................. 1,500 1,487,220
Colonial Capital II, 8.92s, 2027 ....... 1,115 1,050,408
Midland Funding Corp. II, "A", 11.75s,
2005 ................................. 1,125 1,289,610
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. BONDS -- continued
BANKS AND CREDIT COMPANIES -- continued
Providian National Bank, 6.65s, 2004 ... $ 1,704 $ 1,647,308
Riggs National Corp., 8.5s, 2006 ....... 1,000 1,042,470
Riggs National Corp., 9.65s, 2009 ...... 850 905,990
Washington Mutual Capital I, 8.375s,
2027 ................................. 1,750 1,768,410
-----------------
$ 20,564,616
-----------------
CONSTRUCTION SERVICES -- 0.3%
Georgia Pacific Corp., 9.875s, 2021 .... $ 2,825 $ 3,050,124
Georgia Pacific Corp., 9.5s, 2022 ...... 2,240 2,474,976
-----------------
$ 5,525,100
-----------------
CONSUMER GOODS AND SERVICES -- 0.4%
Hilfiger (Tommy) USA, Inc., 6.5s,
2003 ................................. $ 2,370 $ 2,311,817
Hilfiger (Tommy) USA, Inc., 6.85s,
2008 ................................. 1,795 1,685,721
Protection One Alarm Monitoring, 7.375s,
2005 ................................. 3,820 3,702,917
-----------------
$ 7,700,455
-----------------
CORPORATE ASSET BACKED -- 2.6%
Banamex Credit Card Merchant Voucher,
6.25s, 2003## ........................ $ 1,827 $ 1,820,588
BCF LLC, 7.75s, 2026## ................. 859 690,776
Beneficial Home Equity Loan Trust,
5.038s, 2037 ......................... 7,029 7,002,568
Contimorgage Home Equity, 6.13s,
2013 ................................. 5,000 4,979,650
Continental Airlines Pass-Through Trust,
Inc., 6.648s, 2017 ................... 6,310 6,031,255
Continental Airlines Pass-Through Trust,
Inc., 7.256s, 2020 ................... 1,900 1,913,395
Continental Airlines, Inc., 9.5s,
2013 ................................. 791 839,031
Continental Airlines, Inc., 10.22s,
2014 ................................. 2,650 2,871,317
Criimi Mae Commercial Mortgage Trust,
7s, 2011 ............................. 1,630 1,434,209
Ford Credit Auto Owner Trust, 5.8s,
2000 ................................. 1,825 1,826,339
Merrill Lynch Mortgage Investors, Inc.,
8.372s, 2022+ ........................ 514 478,823
Northwest Airlines Pass Through Trust,
7.575s, 2019 ......................... 2,218 2,175,991
Residential Accredit Loans, Inc., 6.75s,
2028 ................................. 6,300 6,126,750
Residential Accredit Loans, Inc., 7s,
2028 ................................. 3,000 2,970,000
Time Warner Pass-Through Asset Trust,
6.1s, 2001## ......................... 11,251 11,203,633
-----------------
$ 52,364,325
-----------------
ENTERTAINMENT -- 1.0%
Hearst Argyle Television, Inc., 7.5s,
2027 ................................. $ 4,364 $ 4,102,553
News America Holdings, Inc., 6.703s,
2004 ................................. 3,822 3,743,573
Time Warner, Inc., 10.15s, 2012 ........ 2,615 3,215,875
Time Warner, Inc., 8.375s, 2023 ........ 7,233 7,834,568
Time Warner, Inc., 9.15s, 2023 ......... 500 573,405
-----------------
$ 19,469,974
-----------------
FINANCE -- 0.6%
Countrywide Funding Corp., 6.25s,
2009 ................................. $ 1,885 $ 1,735,199
Green Tree Financial Corp., 10.25s,
2002 ................................. 2,749 2,888,512
</TABLE>
32-TRS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
U.S. BONDS -- continued
<S> <C> <C>
FINANCE -- continued
Merrill Lynch & Company, Inc., 6.07s,
2004 ................................. $ 8,179 $ 7,946,226
-----------------
$ 12,569,937
-----------------
FINANCIAL INSTITUTIONS -- 3.4%
Ahold Finance, Inc., 6.25s, 2009 ....... $ 4,211 $ 3,966,257
Associates Corp., 5.75s, 2003 .......... 6,020 5,855,534
Associates Corp., 5.5s, 2004 ........... 7,749 7,383,402
AT&T Capital Corp., 6.25s, 2001 ........ 6,896 6,817,730
Finova Capital Corp., 6.125s, 2004 ..... 2,537 2,469,085
First Empire Capital Trust I, 8.234s,
2027 ................................. 2,120 2,042,917
General Motors Acceptance Corp., 5.95s,
2003 ................................. 3,432 3,356,643
General Motors Acceptance Corp., 6.15s,
2007 ................................. 3,221 3,067,133
Goldman Sachs Group LP, 5.9s, 2003 ..... 3,400 3,321,392
GS Escrow Corp., 6.75s, 2001 ........... 6,836 6,752,355
GS Escrow Corp., 7.125s, 2005 .......... 8,719 8,397,556
Household Finance Corp., 5.875s,
2004 ................................. 4,235 4,075,383
Providian National Bank, 6.7s, 2003 .... 2,500 2,442,275
Salton Sea Funding Corp., 7.37s,
2005 ................................. 1,236 1,233,807
Salton Sea Funding Corp., 7.84s,
2010 ................................. 2,325 2,427,742
Salton Sea Funding Corp., 8.3s, 2011 ... 726 739,570
Sunamerica Institutional, 5.75s,
2009 ................................. 2,804 2,592,466
United Cos. Financial Corp., 7.7s,
2004 ................................. 850 195,500
-----------------
$ 67,136,747
-----------------
FOOD AND BEVERAGE PRODUCTS -- 0.6%
Nabisco, Inc., 6.375s, 2035 ............ $ 1,554 $ 1,488,064
Seagram (Joseph E) & Sons, Inc., 5.79s,
2001 ................................. 3,668 3,600,655
Seagram (Joseph E) & Sons, Inc., 6.4s,
2003 ................................. 5,950 5,821,599
-----------------
$ 10,910,318
-----------------
FOREST AND PAPER PRODUCTS -- 0.1%
Georgia Pacific Corp., 7.25s, 2028 ..... $ 2,851 $ 2,670,247
-----------------
INDUSTRIAL
Lowes Cos., Inc., 6.875s, 2028 ......... $ 850 $ 793,900
-----------------
INSURANCE -- 0.9%
Aflac, Inc., 6.5s, 2009 ................ $ 9,429 $ 9,051,746
Atlantic Mutual Insurance Co., 8.15s,
2028 ................................. 3,331 2,888,777
Conseco, Inc., 6.4s, 2001 .............. 2,875 2,809,421
Providian Capital I, 9.525s, 2027 ...... 2,706 2,566,749
-----------------
$ 17,316,693
-----------------
MEDICAL AND HEALTH PRODUCTS -- 0.1%
Bausch & Lomb, Inc., 6.5s, 2005 ........ $ 1,560 $ 1,477,008
Merck & Company, Inc., 5.95s, 2028 ..... 1,135 997,937
-----------------
$ 2,474,945
-----------------
OIL SERVICES -- 0.3%
McDermott, Inc., 9.375s, 2002 .......... $ 4,780 $ 4,977,940
Ultramar Diamond Shamrock Corp., 7.2s,
2017 ................................. 1,680 1,584,878
-----------------
$ 6,562,818
-----------------
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. BONDS -- continued
OILS -- 0.5%
Husky Oil Ltd., 8.9s, 2028 ............. $ 2,768 $ 2,610,141
Lasmo USA, Inc., 7.125s, 2003 .......... 801 793,286
Occidental Petroleum Corp., 10.125s,
2001 ................................. 2,760 2,960,707
Oryx Energy Corp., 8.375s, 2004 ........ 2,645 2,773,336
Seagull Energy Corp., 7.5s, 2027 ....... 1,347 1,137,690
-----------------
$ 10,275,160
-----------------
RAILROADS
Union Pacific Corp., 6.34s, 2003 ....... $ 620 $ 610,514
-----------------
RESTAURANTS AND LODGING -- 0.1%
Circus Circus Enterprises, Inc., 6.7s,
2096 ................................. $ 1,700 $ 1,615,238
-----------------
STORES -- 1.5%
Dillards, Inc., 7.13s, 2018 ............ $ 1,560 $ 1,444,809
Federated Department Stores, Inc., 8.5s,
2003 ................................. 6,159 6,520,472
Federated Department Stores, Inc., 6.3s,
2009 ................................. 3,815 3,574,998
Rite Aid Corp., 6.5s, 2003 ............. 3,240 3,082,763
Saks, Inc., 7.25s, 2004 ................ 2,449 2,454,150
Saks, Inc., 8.25s, 2008 ................ 11,552 12,145,080
-----------------
$ 29,222,272
-----------------
TELECOMMUNICATIONS -- 1.8%
Cable & Wireless Communication, 6.625s,
2005 ................................. $ 4,035 $ 3,968,301
Lear Corp., 7.96s, 2005 ................ 2,776 2,692,665
Qwest Communications International,
Inc., 7.5s, 2008 ..................... 4,026 4,025,517
Sprint Capital Corp., 5.875s, 2004 ..... 2,810 2,692,907
Sprint Capital Corp., 6.375s, 2009 ..... 3,040 2,854,347
Sprint Capital Corp., 6.9s, 2019 ....... 8,123 7,521,736
TCI Communications Financing III, 9.65s,
2027 ................................. 4,505 5,097,948
Telecomunicaciones De Puerto, 6.65s,
2006 ................................. 1,716 1,656,506
WorldCom, Inc., 8.875s, 2006 ........... 1,600 1,703,392
WorldCom, Inc., 6.95s, 2028 ............ 3,300 3,128,235
-----------------
$ 35,341,554
-----------------
TRANSPORTATION
Amerco, 7.2s, 2002 ..................... $ 782 $ 770,434
-----------------
U.S. FEDERAL AGENCIES -- 3.2%
FEDERAL NATIONAL MORTGAGE
ASSOCIATION -- 1.8%
FNMA, 5.722s, 2009 ..................... $ 5,090 $ 4,701,887
FNMA, 6.5s, 2027 - 2029 ................ 12,156 11,726,296
FNMA, 7s, 2029 ......................... 18,652 18,436,443
-----------------
$ 34,864,626
-----------------
FEDERAL HOME LOAN BANK -- 1.4%
Federal Home Loan Bank, 5.7s, 2009 ..... $ 6,620 $ 6,212,456
Federal Home Loan Bank, 6.5s, 2029 ..... 22,845 22,052,313
-----------------
$ 28,264,769
-----------------
Total U.S. Federal Agencies .......................... $ 63,129,395
-----------------
</TABLE>
33-TRS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
U.S. BONDS -- continued
<S> <C> <C>
U.S. GOVERNMENT GUARANTEED -- 12.5%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 4.1%
GNMA, 6.5s, 2028 - 2029 ................ $ 20,927 $ 20,122,759
GNMA, 7s, 2027 - 2028 .................. 16,856 16,629,680
GNMA, 7.5s, 2024 - 2028 ................ 35,638 35,972,386
GNMA, 8s, 2025 - 2027 .................. 9,289 9,518,842
-----------------
$ 82,243,667
-----------------
U.S. TREASURY OBLIGATIONS -- 8.4%
U.S. Treasury Bonds, 5.25s, 2028 ....... $ 3,076 $ 2,726,597
U.S. Treasury Bonds, 5.5s, 2028 ........ 2,768 2,534,436
U.S. Treasury Bonds, 6.125s, 2027 ...... 4,132 4,104,233
U.S. Treasury Bonds, 9.875s, 2015 ...... 71,456 97,515,289
U.S. Treasury Bonds, 12.375s, 2004 ..... 1,900 2,417,161
U.S. Treasury Notes, 5.25s, 2001 ....... 46,000 45,784,260
U.S. Treasury Notes, 6.5s, 2005 ........ 12,785 13,178,522
-----------------
$ 168,260,498
-----------------
Total U.S. Government Guaranteed ..................... $ 250,504,165
-----------------
UTILITIES -- ELECTRIC -- 3.1%
CalEnergy Co., Inc., 7.23s, 2005 ....... $ 5 $ 4,961
CalEnergy Co., Inc., 7.52s, 2008 ....... 10 10,047
CalEnergy Co., Inc., 8.48s, 2028 ....... 3,388 3,615,606
Cleveland Electric Illuminating Co.,
7.88s, 2017 .......................... 2,800 2,852,276
Cleveland Electric Illuminating Co., 9s,
2023 ................................. 2,325 2,513,720
CMS Energy Corp., 8s, 2001 ............. 2,132 2,123,728
Comed Financing II, 8.5s, 2027## ....... 1,500 1,502,055
Connecticut Light & Power Co., 8.59s,
2003 ................................. 3,000 3,169,530
Connecticut Light & Power Co., 7.875s,
2024 ................................. 2,500 2,608,950
Edison Mission Energy, 7.33s, 2008## ... 475 473,499
Edison Mission Energy, 7.73s, 2009 ..... 923 934,445
El Paso Electric Co., 8.9s, 2006 ....... 1,490 1,617,708
Entergy Mississippi, Inc., 6.2s,
2004 ................................. 2,436 2,367,086
GGIB Funding Corp., 7.43s, 2011 ........ 1,701 1,658,192
Illinois Power Special Purpose Trust,
5.26s, 2003 .......................... 1,429 1,412,924
Long Island Lighting Co., 8.2s, 2023 ... 3,650 3,636,385
Midamerican Funding LLC, 5.85s, 2001 ... 2,810 2,791,308
Midamerican Funding LLC, 6.927s,
2029 ................................. 1,600 1,505,376
Midland Cogeneration Venture Corp.,
10.33s, 2002 ......................... 449 470,261
Niagara Mohawk Power Corp., 7.75s,
2006 ................................. 2,987 3,099,640
Niagara Mohawk Power Corp., 8.77s,
2018 ................................. 2,977 3,109,834
Niagara Mohawk Power Corp., 8.75s,
2022 ................................. 2,345 2,496,018
Niagara Mohawk Power Corp., 8.5s,
2023 ................................. 1,400 1,502,312
North Atlantic Energy, 9.05s, 2002 ..... 848 871,846
Northeast Utilities, 8.58s, 2006 ....... 1,002 996,924
PP&L, Inc., 6.125s, 2001 ............... 3,000 3,001,860
Seabrook Station, 7.83s, 2019 .......... 1,552 1,585,730
Toledo Edison Co., 9.5s, 2001 .......... 340 355,035
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. BONDS -- continued
UTILITIES -- ELECTRIC -- continued
Toledo Edison Co., 7.875s, 2004 ........ $ 2,350 $ 2,389,597
Utilicorp United, Inc., 8.45s, 1999 .... 3,790 3,823,996
Waterford 3 Funding Energy Corp., 8.09s,
2017 ................................. 3,452 3,473,400
-----------------
$ 61,974,249
-----------------
UTILITIES -- GAS -- 0.4%
Coastal Corp., 6.2s, 2004 .............. $ 4,446 $ 4,345,298
Tennessee Gas Pipeline Co., 7.625s,
2037 ................................. 1,382 1,373,100
Texas Gas Transmission Corp., 7.25s,
2027 ................................. 1,700 1,606,925
-----------------
$ 7,325,323
-----------------
Total U.S. Bonds ..................................... $ 721,235,625
-----------------
FOREIGN BONDS -- 0.3%
CANADA -- 0.1%
Gulf Canada Resources Ltd., 9.25s, 2004
(Oils) ............................... $ 2,445 $ 2,469,328
-----------------
FINLAND -- 0.1%
UPM Kymmene Corp., 7.45s, 2027 (Forest
and Paper Products)## ................ $ 2,000 $ 1,885,240
-----------------
NORWAY -- 0.1%
Union Bank Norway (Banks and Credit
Cos.), 7.35s, 2049## ................. $ 727 $ 721,787
-----------------
Total Foreign Bonds .................................. $ 5,076,355
-----------------
Total Bonds (Identified Cost, $743,958,704) .......... $ 726,311,980
-----------------
CONVERTIBLE PREFERRED
STOCKS -- 1.9%
Shares
CONSUMER GOODS AND SERVICES -- 0.7%
Newell Financial Trust I, 5.25% ........ 100,000 $ 5,606,250
Newell Financial Trust I, 5.25%*## ..... 144,200 8,084,213
-----------------
$ 13,690,463
-----------------
CONTAINERS -- 0.1%
Owens Illinois, Inc., 4.75% ............ 39,600 $ 1,732,500
-----------------
INSURANCE -- 0.4%
Lincoln National Corp., 7.75% .......... 322,000 $ 8,754,375
-----------------
OILS -- 0.1%
Apache Corp., 6.5%* .................... 34,650 $ 1,266,111
-----------------
UTILITIES -- ELECTRIC -- 0.3%
Texas Utilities Co., 9.25% ............. 112,000 $ 6,160,000
-----------------
UTILITIES -- GAS -- 0.3%
El Paso Energy Capital Trust I,
4.75% ................................ 106,500 $ 5,271,750
-----------------
Total Convertible Preferred Stocks (Identified Cost,
$34,729,947) ....................................... $ 36,875,199
-----------------
PREFERRED STOCKS -- 0.6%
BANKS AND CREDIT COMPANIES -- 0.1%
NB Capital Corp., 8.35% ................ 68,000 $ 1,708,500
-----------------
RAILROADS -- 0.5%
Union Pacific Capital Trust, 6.25% ..... 180,700 $ 9,306,050
-----------------
UTILITIES -- GAS
El Paso Tennessee Pipeline Co.,
8.25% ................................ 16,000 $ 868,000
-----------------
Total Preferred Stocks (Identified Cost,
$11,213,224) ....................................... $ 11,882,550
-----------------
</TABLE>
34-TRS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
CONVERTIBLE BONDS -- 1.4%
<S> <C> <C>
BUSINESS MACHINES -- 0.5%
Xerox Corp., 0s, 2018 .................. $ 7,480 $ 4,731,100
Xerox Corp., 0s, 2018## ................ 7,250 4,495,000
-----------------
$ 9,226,100
-----------------
CONGLOMERATES -- 0.2%
Loews Corp., 3.125s, 2007 .............. $ 4,000 $ 3,215,000
-----------------
FINANCIAL SERVICES -- 0.7%
Bell Atlantic Financial Services, Inc.,
4.25s, 2005## ........................ $ 12,940 $ 13,231,150
-----------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 0.1%
HealthSouth Corp., 3.25s, 2003 ......... $ 3,180 $ 2,663,250
-----------------
Total Convertible Bonds (Identified Cost,
$28,987,459) ....................................... $ 28,335,500
-----------------
SHORT-TERM OBLIGATIONS -- 3.6%
AT&T Corp., due 7/01/99 ................ $ 23,500 $ 23,500,000
Federal Home Loan Mortgage Corp., due
7/14/99 - 7/19/99 .................... 48,400 48,300,722
-----------------
Total Short-Term Obligations, at Amortized Cost ...... $ 71,800,722
-----------------
Total Investments
(Identified Cost, $1,827,177,344) .................. $ 1,981,996,957
-----------------
OTHER ASSETS,
LESS LIABILITIES -- 0.7% 14,665,463
-----------------
Net Assets -- 100.0% ................................. $ 1,996,662,420
-----------------
-----------------
See portfolio footnotes and notes to financial statements
</TABLE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 1999
UTILITIES SERIES
STOCKS -- 80.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 64.2%
CONGLOMERATES -- 1.0%
Eastern Enterprises .................... 76,300 $ 3,032,925
---------------
ENTERTAINMENT -- 3.0%
Comcast Corp., "A" ..................... 68,700 $ 2,640,656
MediaOne Group, Inc.* .................. 45,300 3,369,188
Time Warner, Inc. ...................... 36,300 2,668,050
---------------
$ 8,677,894
---------------
INTERNET
Ask Jeeves, Inc. ....................... 200 $ 2,800
Phone.Com, Inc.* ....................... 400 22,400
---------------
$ 25,200
---------------
REAL ESTATE INVESTMENT TRUSTS -- 2.6%
Camden Property Trust .................. 43,700 $ 1,212,675
CarrAmerica Realty Corp. ............... 45,800 1,145,000
Equity Residential Properties Trust .... 29,100 1,311,319
Kilroy Realty Corp. .................... 31,800 775,125
Mack-Cali Realty Corp. ................. 34,800 1,076,625
SL Green Realty Corp. .................. 47,300 966,694
TriNet Corporate Realty Trust, Inc. .... 42,600 1,179,487
---------------
$ 7,666,925
---------------
SPECIAL PRODUCTS AND SERVICES -- 2.0%
Azurix Corp. ........................... 61,700 $ 1,234,000
MCN Energy Group, Inc. ................. 165,500 3,434,125
USEC, Inc. ............................. 83,200 1,237,600
---------------
$ 5,905,725
---------------
TELECOMMUNICATIONS -- 20.6%
Alltel Corp. ........................... 23,800 $ 1,701,700
Ameritech Corp. ........................ 9,500 698,250
Bell Atlantic Corp. .................... 100,456 6,567,311
CenturyTel, Inc. ....................... 120,400 4,785,900
Cincinnati Bell, Inc. .................. 199,900 4,985,006
GTE Corp. .............................. 113,400 8,590,050
Intermedia Communications, Inc.* ....... 209,100 6,273,000
MCI WorldCom, Inc.* .................... 73,866 6,357,093
Motorola, Inc. ......................... 15,800 1,497,050
NEXTEL Communications, Inc.* ........... 59,400 2,981,137
Nortel Networks Corp. .................. 34,700 3,012,394
NTL, Inc.* ............................. 4,700 405,081
PSINet, Inc.* .......................... 1,900 83,125
Qwest Communications International,
Inc.* ................................ 38,700 1,279,519
SBC Communications, Inc. ............... 138,900 8,056,200
Sprint Corp. ........................... 33,900 1,790,344
Viatel, Inc.* .......................... 2,600 145,925
Winstar Communications, Inc.* .......... 19,100 931,125
---------------
$ 60,140,210
---------------
UTILITIES -- ELECTRIC -- 20.6%
AES Corp.* ............................. 45,900 $ 2,667,938
Allegheny Energy, Inc. ................. 47,300 1,516,556
Atmos Energy Corp. ..................... 142,100 3,552,500
BEC Energy ............................. 100,600 4,149,750
Calpine Corp. .......................... 30,400 1,641,600
Cinergy Corp. .......................... 4,600 147,200
CMS Energy Corp. ....................... 126,100 5,280,437
CMS Energy Corp., "G" .................. 55,300 1,299,550
DQE, Inc. .............................. 105,400 4,229,175
Duke Energy Corp. ...................... 135,900 7,389,562
El Paso Electric Co.* .................. 147,800 1,320,963
FirstEnergy Corp. ...................... 103,200 3,199,200
Midamerica Energy Holdings Co. ......... 130,700 4,525,487
</TABLE>
35-UTS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
U.S. STOCKS -- continued
<S> <C> <C>
UTILITIES -- ELECTRIC -- continued
Niagara Mohawk Holdings, Inc. .......... 48,300 $ 775,819
NiSource, Inc. ......................... 90,500 2,336,031
Peco Energy Co. ........................ 52,700 2,206,813
Pinnacle West Capital Corp. ............ 86,700 3,489,675
Public Service Co. of New Mexico ....... 56,100 1,114,988
Sierra Pacific Resources ............... 82,500 3,000,937
Texas Utilities Co. .................... 109,700 4,525,125
Unicom Corp. ........................... 50,400 1,943,550
---------------
$ 60,312,856
---------------
UTILITIES -- GAS -- 11.9%
Coastal Corp. .......................... 138,500 $ 5,540,000
Columbia Energy Group .................. 106,850 6,698,159
Connecticut Energy Group ............... 24,300 937,069
Consolidated Natural Gas Co. ........... 22,100 1,342,575
El Paso Energy Corp. ................... 85,300 3,001,494
Energen Corp. .......................... 71,100 1,324,238
Enron Corp. ............................ 24,200 1,978,350
KN Energy, Inc. ........................ 128,100 1,713,337
National Fuel Gas Co. .................. 55,400 2,686,900
NICOR, Inc. ............................ 49,000 1,865,062
NUI Corp. .............................. 29,100 727,500
ONEOK, Inc. ............................ 21,100 669,925
Sonat, Inc. ............................ 17,900 592,938
Washington Gas Light Co. ............... 30,800 800,800
Williams Cos., Inc. .................... 116,000 4,937,250
---------------
$ 34,815,597
---------------
UTILITIES -- TELEPHONE -- 2.5%
Frontier Corp. ......................... 121,200 $ 7,150,800
---------------
Total U.S. Stocks ..................................... $ 187,728,132
---------------
FOREIGN STOCKS -- 16.5%
ARGENTINA -- 0.5%
Telefonica de Argentina, ADR (Utilities
-- Telephone) ........................ 44,200 $ 1,386,775
---------------
AUSTRALIA -- 0.2%
Cable & Wireless Optus
(Telecommunications)* ................ 290,600 $ 660,578
---------------
BRAZIL -- 0.8%
Celular CRT Participacoes, Preferred
(Telecommunications) ................. 1,556 $ 208,359
Companhia Electricas est Rio de Janeiro
(Utilities -- Electric)* ............. 2,520,100 612,228
Companhia Energetica do Ceara,
Preferred, "A" (Utilities --
Electric) ............................ 187,700 509,017
Companhia Riogrand Telecomunicacoes,
Preferred, "A" (Utilities --
Telephone) ........................... 1,556 377,596
Espirito Santo Centrais Eletricas S.A.
(Utilities -- Electric) .............. 5,400 198,366
Espirito Santo Centrais Eletricas S.A.,
Preferred, "B" (Utilities --
Electric) ............................ 986 378,687
---------------
$ 2,284,253
---------------
CANADA -- 0.9%
AT & T Canada, Inc.
(Telecommunications) ................. 7,800 $ 499,688
BCE, Inc. (Telecommunications) ......... 42,500 2,095,781
---------------
$ 2,595,469
---------------
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
CHILE -- 0.5%
Chilectra S.A., ADR (Utilities --
Electric) ............................ 68,500 $ 1,447,062
---------------
FINLAND -- 0.4%
Helsingin Puhelin Oyj
(Telecommunications) ................. 18,800 $ 891,176
Telephone Cooperative HPY
(Telecommunications) ................. 155 400,277
---------------
$ 1,291,453
---------------
GERMANY -- 2.1%
Mannesmann AG (Conglomerate) ........... 33,800 $ 5,050,479
VEBA AG (Oil and Gas) .................. 20,400 1,198,265
---------------
$ 6,248,744
---------------
GREECE -- 0.9%
Hellenic Telecommunication Organization
S.A., GDR (Telecommunications) ....... 109,699 $ 2,348,978
STET Hellas Telecommunications S.A., ADR
(Telecommunications)* ................ 16,200 362,475
---------------
$ 2,711,453
---------------
HUNGARY -- 1.0%
Magyar Tavkozlesi Rt., ADR
(Telecommunications)* ................ 101,400 $ 2,788,500
---------------
ITALY -- 1.8%
Telecom Italia Mobile S.p.A.
(Telecommunications) ................. 435,500 $ 2,598,451
Telecom Italia Mobile S.p.A., Saving
Shares (Telecommunications)* ......... 87,100 320,431
Telecom Italia S.p.A.
(Telecommunications) ................. 220,700 2,292,507
---------------
$ 5,211,389
---------------
JAPAN -- 1.0%
Nippon Telephone & Telegraph Co.
(Utilities -- Telephone) ............. 125 $ 1,457,575
NTT Mobile Communications Network, Inc.
(Telecommunications) ................. 22 298,379
NTT Mobile Communications Network, Inc.
(Telecommunications)* ................ 88 1,178,962
---------------
$ 2,934,916
---------------
NETHERLANDS -- 1.2%
Equant N.V. (Computer Software --
Services)* ........................... 30,900 $ 2,908,463
Koninklijke KPN N.V.
(Telecommunications) ................. 10,500 492,321
United Pan -- Europe Com
(Telecommunications)* ................ 1,900 102,988
---------------
$ 3,503,772
---------------
PORTUGAL -- 0.2%
Telecel -- Comunicacoes Pessoais S.A.
(Telecommunications) ................. 4,800 $ 618,300
---------------
SPAIN -- 2.9%
Telefonica de Espana S.A., ADR
(Telecommunications) ................. 32,063 $ 4,717,269
Telefonica Publicidad e Informacion S.A.
(Utilities -- Telephone) ............. 27,200 542,372
Union Electrica Fenosa S.A. (Utilities
-- Electric) ......................... 236,000 3,083,750
---------------
$ 8,343,391
---------------
</TABLE>
36-UTS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
UNITED KINGDOM -- 2.1%
British Telecommunications PLC
(Telecommunications) ................. 90,700 $ 1,518,056
Cable & Wireless Communications PLC
(Telecommunications) ................. 23,200 223,035
Colt Telecom Group PLC
(Telecommunications)* ................ 14,400 1,243,800
Orange PLC (Telecommunications) ........ 185,400 2,720,292
Vodafone Group PLC
(Telecommunications) ................. 2,950 581,150
---------------
$ 6,286,333
---------------
Total Foreign Stocks .................................. $ 48,312,388
---------------
Total Stocks (Identified Cost, $218,645,157) .......... $ 236,040,520
---------------
BONDS -- 6.1%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
U.S. BONDS -- 5.8%
BANKS AND CREDIT COMPANIES -- 0.3%
Beaver Valley Funding Corp. II, 9s,
2017 ................................. $ 250 $ 274,325
Midland Funding Corp., 10.33s, 2002 .... 537 562,629
---------------
$ 836,954
---------------
CONSTRUCTION SERVICES -- 0.2%
Georgia Pacific Corp., 9.5s, 2022 ...... $ 500 $ 552,450
---------------
OILS -- 0.2%
Oryx Energy Corp., 8.375s, 2004 ........ $ 500 $ 524,260
---------------
TELECOMMUNICATIONS -- 0.6%
Intermedia Communications, Inc., 0s,
2009 ................................. $ 3,075 $ 1,745,062
Telecomunicaciones De Puerto, 6.65s,
2006 ................................. 72 69,504
---------------
$ 1,814,566
---------------
U.S. FEDERAL AGENCIES -- 0.1%
FEDERAL NATIONAL MORTGAGE
ASSOCIATION -- 0.1%
FNMA, 7s, 2029 ......................... $ 418 $ 412,748
---------------
U.S. GOVERNMENT GUARANTEED -- 2.2%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 0.8%
GNMA, 6.5s, 2029 ....................... $ 148 $ 142,564
GNMA, 7s, 2027 - 2028 .................. 414 407,998
GNMA, 7.5s, 2025 - 2028 ................ 1,554 1,568,069
GNMA, 8s, 2025 - 2026 .................. 300 307,191
---------------
$ 2,425,822
---------------
U.S. TREASURY OBLIGATIONS -- 1.4%
U.S. Treasury Bonds, 5.25s, 2028 ....... $ 200 $ 177,282
U.S. Treasury Bonds, 5.5s, 2028 ........ 600 549,372
U.S. Treasury Notes, 5s, 2001 .......... 775 768,459
U.S. Treasury Notes, 5.5s, 2009 ........ 2,500 2,442,175
U.S. Treasury Notes, 5.625s, 2008 ...... 100 97,953
---------------
$ 4,035,241
---------------
Total U.S. Government Guaranteed ...................... $ 6,461,063
---------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. BONDS -- continued
UTILITIES -- ELECTRIC -- 1.6%
AEP Generating, 9.82s, 2022 ............ $ 596 $ 731,719
CMS Energy Corp., 6.75s, 2004 .......... 500 478,335
CMS Panhandle Holding Co., 6.5s,
2009 ................................. 300 285,000
Connecticut Light & Power Co., 8.59s,
2003 ................................. 250 264,128
Edison Mission Energy, 7.73s, 2009 ..... 25 25,310
Illinois Power Special Purpose Trust,
5.26s, 2003 .......................... 513 507,229
Midamerican Funding LLC, 5.85s, 2001 ... 555 551,308
Midamerican Funding LLC, 6.927s,
2029 ................................. 280 263,441
Salton Sea Funding Corp., 6.69s,
2000 ................................. 108 108,562
Salton Sea Funding Corp., 7.84s,
2010 ................................. 500 522,095
Seabrook Station, 7.83s, 2019 .......... 345 352,384
TXU Eastern Funding Co., 6.75s, 2009 ... 362 341,999
Utilicorp United, Inc., 8.45s, 1999 .... 100 100,897
-----------------
$ 4,532,407
-----------------
UTILITIES -- GAS -- 0.6%
CE Generation LLC, 7.416s, 2018 ........ $ 140 $ 133,798
Columbia Gas Systems, Inc., 6.39s,
2000 ................................. 195 195,212
Coastal Corp., 6.375s, 2009 ............ 700 660,702
El Paso Energy Corp., 6.75s, 2009 ...... 904 868,292
-----------------
$ 1,858,004
-----------------
Total U.S. Bonds ..................................... $ 16,992,452
-----------------
FOREIGN BONDS -- 0.3%
CANADA -- 0.1%
Gulf Canada Resources Ltd., 9.25s, 2004
(Oils) ............................... $ 250 $ 252,488
-----------------
CHILE -- 0.2%
Empresa Electric Guacolda S.A., 7.6s,
2001 (Utilities -- Electric)## ....... $ 750 $ 712,522
-----------------
Total Foreign Bonds .................................. $ 965,010
-----------------
Total Bonds (Identified Cost, $18,359,591) ........... $ 17,957,462
-----------------
CONVERTIBLE PREFERRED
STOCKS -- 1.8%
Shares
TELECOMMUNICATIONS -- 1.4%
Global Telesystems Group, Inc.,
7.25%## .............................. 22,900 $ 1,508,537
PSINet, Inc., 6.75% .................... 24,000 1,158,000
UnitedGlobalCom, 7.00% ................. 30,100 1,516,237
-----------------
$ 4,182,824
-----------------
UTILITIES -- GAS -- 0.4%
KN Energy, Inc., 8.25% ................. 40,900 $ 1,058,288
-----------------
Total Convertible Preferred Stocks (Identified Cost,
$5,618,662) ........................................ $ 5,241,112
-----------------
</TABLE>
37-UTS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
CONVERTIBLE BONDS -- 3.2%
U.S. CONVERTIBLE BONDS -- 2.7%
FINANCIAL INSTITUTIONS -- 1.7%
ADT Operations, Inc., 0s, 2010 ......... $ 2,033 $ 5,082,500
-----------------
FINANCIAL SERVICES -- 0.5%
Bell Atlantic Financial Services, Inc.,
4.25s, 2005## ........................ $ 1,380 $ 1,411,050
-----------------
TELECOMMUNICATIONS -- 0.5%
Global Telesystems Group, Inc., 5.75s,
2010 ................................. $ 960 $ 1,516,800
-----------------
Total U.S. Convertible Bonds ......................... $ 8,010,350
-----------------
FOREIGN CONVERTIBLE BONDS -- 0.5%
MEXICO -- 0.2%
Telefonos de Mexico S.A., 4.25s, 2004
(Utilities -- Telephone) ............. $ 630 $ 651,262
-----------------
UNITED KINGDOM -- 0.3%
TeleWest Communications PLC, 5.25s, 2007
(Telecommunications) ................. $ 480 $ 781,444
-----------------
Total Foreign Convertible Bonds ...................... $ 1,432,706
-----------------
Total Convertible Bonds (Identified Cost,
$7,427,150) ........................................ $ 9,443,056
-----------------
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
SHORT-TERM OBLIGATIONS -- 7.1%
AT&T Corp., due 7/01/99 ................ $ 11,400 $ 11,400,000
Federal Home Loan Mortgage Corp., due
7/19/99 .............................. 9,400 9,377,158
-----------------
Total Short-Term Obligations, at Amortized Cost ...... $ 20,777,158
-----------------
OTHER SHORT-TERM
OBLIGATIONS -- 11.1%
Shares
Navigator Securities Lending Prime
Portfolio (Identified Cost
$32,512,811) ....................... 32,512,811 $ 32,512,811
-----------------
Total Investments (Identified Cost, $303,340,529) .... $ 321,972,119
-----------------
OTHER ASSETS,
LESS LIABILITIES-- (10.1)% (29,453,075)
-----------------
Net Assets -- 100.0% ................................. $ 292,519,044
-----------------
-----------------
See portfolio footnotes and notes to financial statements
</TABLE>
Portfolio Footnotes:
- ------------------------------------
* Non-income producing security.
** Non-income producing security -- in default.
## SEC Rule 144A restriction.
+ Restricted security.
38-UTS
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) -- June 30, 1999
<TABLE>
<CAPTION>
Capital Emerging Global Managed
Assets: Appreciation Growth Growth Sectors
Investments -- Series Series Series Series
-------------- -------------- ------------ ------------
<S> <C> <C> <C> <C>
Unaffiliated issuers, at
cost.................... $1,240,803,550 $ 743,285,650 $273,764,239 $379,905,614
Unrealized appreciation... 528,658,671 241,767,469 61,343,918 59,218,664
-------------- -------------- ------------ ------------
Total investments, at
value............... $1,769,462,221 $ 985,053,119 $335,108,157 $439,124,278
Cash........................ 51,788 48,754 125,858 470,059
Foreign currency, at value
(identified cost, $0, $0,
$1,101,893 and $10,
respectively)............. -- -- 1,121,637 9
Receivable for investments
sold...................... 8,139,181 14,628,038 5,248,688 18,978,008
Receivable for Series shares
sold...................... 517,403 1,868,437 19,030 280,258
Interest and dividends
receivable................ 439,398 203,463 493,170 145,678
Other assets................ 17,298 6,606 3,160 4,170
-------------- -------------- ------------ ------------
Total assets.......... $1,778,627,289 $1,001,808,417 $342,119,700 $459,002,460
-------------- -------------- ------------ ------------
-------------- -------------- ------------ ------------
Liabilities:
Payable for investments
purchased................. $ 1,603,485 $ 28,770,664 $ 6,058,212 $ 50,943,821
Payable for Series shares
reacquired................ 361,532 3,070 16,928 24,113
Collateral for securities
loaned, at value.......... -- 106,151,586 34,292,749 --
Payable to affiliates --
Management fee............ 34,452 16,495 7,395 8,076
Administrative fee........ 672 353 123 166
Accrued expenses and other
liabilities............... 59,525 62,913 44,130 38,648
-------------- -------------- ------------ ------------
Total liabilities..... $ 2,059,666 $ 135,005,081 $ 40,419,537 $ 51,014,824
-------------- -------------- ------------ ------------
Net assets.......... $1,776,567,623 $ 866,803,336 $301,700,163 $407,987,636
-------------- -------------- ------------ ------------
-------------- -------------- ------------ ------------
Net assets consist of:
Paid-in capital............. $1,148,124,582 $ 545,925,126 $212,306,992 $278,559,681
Unrealized appreciation on
investments and
translation of assets and
liabilities in foreign
currencies................ 528,657,629 241,768,256 61,346,093 59,221,629
Accumulated undistributed
net realized gain on
investments and foreign
currency transactions..... 100,561,501 79,776,390 27,311,321 70,126,037
Accumulated undistributed
net investment income
(loss).................... (776,089) (666,436) 735,757 80,289
-------------- -------------- ------------ ------------
Total............... $1,776,567,623 $ 866,803,336 $301,700,163 $407,987,636
-------------- -------------- ------------ ------------
-------------- -------------- ------------ ------------
Shares of beneficial interest
outstanding................. 40,199,250 33,774,682 17,706,087 12,458,142
-------------- -------------- ------------ ------------
-------------- -------------- ------------ ------------
Net asset value, offering
price and redemption price
per share
(net assets DIVIDED BY
shares of beneficial
interest outstanding)....... $44.19 $25.66 $17.04 $32.75
-------------- -------------- ------------ ------------
-------------- -------------- ------------ ------------
</TABLE>
See notes to financial statements
39
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) -- June 30, 1999 -- continued
<TABLE>
<CAPTION>
Massachusetts
Investors Total
Assets: Trust Research Return Utilities
Investments -- Series Series Series Series
-------------- -------------- -------------- ------------
<S> <C> <C> <C> <C>
Unaffiliated issuers, at
cost.................... $1,760,195,905 $ 924,078,638 $1,827,177,344 $303,340,529
Unrealized appreciation... 380,918,141 242,001,644 154,819,613 18,631,590
-------------- -------------- -------------- ------------
Total investments, at
value............... $2,141,114,046 $1,166,080,282 $1,981,996,957 $321,972,119
Cash........................ 107,663 1,656 43,485 100,580
Receivable for investments
sold...................... 16,221,286 9,685,179 10,273,204 9,070,172
Receivable for Series shares
sold...................... 549,328 96,573 1,274,776 365,378
Interest and dividends
receivable................ 1,766,395 473,774 11,590,468 856,415
Other assets................ 17,216 9,517 22,770 1,987
-------------- -------------- -------------- ------------
Total assets.......... $2,159,775,934 $1,176,346,981 $2,005,201,660 $332,366,651
-------------- -------------- -------------- ------------
-------------- -------------- -------------- ------------
Liabilities:
Payable for investments
purchased................. $ 33,069,916 $ 14,752,930 $ 8,088,183 $ 7,290,443
Payable for Series shares
reacquired................ 194,885 26,607 355,285 1,094
Collateral for securities
loaned, at value.......... -- 66,767,907 -- 32,512,811
Payable to affiliates --
Management fee............ 31,712 20,662 35,294 5,986
Administrative fee........ 789 440 846 120
Accrued expenses and other
liabilities............... 58,505 66,976 59,632 37,153
-------------- -------------- -------------- ------------
Total liabilities..... $ 33,355,807 $ 81,635,522 $ 8,539,240 $ 39,847,607
-------------- -------------- -------------- ------------
Net assets.......... $2,126,420,127 $1,094,711,459 $1,996,662,420 $292,519,044
-------------- -------------- -------------- ------------
-------------- -------------- -------------- ------------
Net assets consist of:
Paid-in capital............. $1,610,354,367 $ 781,136,251 $1,731,646,903 $255,033,612
Unrealized appreciation on
investments and
translation of assets and
liabilities in foreign
currencies................ 380,886,098 241,998,096 154,810,606 18,613,774
Accumulated undistributed
net realized gain on
investments and foreign
currency transactions..... 127,538,401 70,971,732 78,364,220 15,927,700
Accumulated undistributed
net investment income..... 7,641,261 605,380 31,840,691 2,943,958
-------------- -------------- -------------- ------------
Total............... $2,126,420,127 $1,094,711,459 $1,996,662,420 $292,519,044
-------------- -------------- -------------- ------------
-------------- -------------- -------------- ------------
Shares of beneficial interest
outstanding................. 56,690,248 45,127,008 104,287,359 17,594,053
-------------- -------------- -------------- ------------
-------------- -------------- -------------- ------------
Net asset value, offering
price and redemption price
per share
(net assets DIVIDED BY
shares of beneficial
interest outstanding)....... $37.51 $24.26 $19.15 $16.63
-------------- -------------- -------------- ------------
-------------- -------------- -------------- ------------
</TABLE>
See notes to financial statements
40
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF OPERATIONS (Unaudited) -- Six Months Ended June 30, 1999
<TABLE>
<CAPTION>
Capital Emerging Global Managed
Net investment income (loss): Appreciation Growth Growth Sectors
Income -- Series Series Series Series
------------ ----------- ----------- ------------
<S> <C> <C> <C> <C>
Interest.................. $ 2,453,764 $ 1,486,752 $ 385,169 $ 861,836
Dividends................. 3,161,307 837,377 1,978,149 756,722
Foreign taxes withheld.... (18,183) (15,578) (191,531) (16,792)
------------ ----------- ----------- ------------
Total investment
income................. $ 5,596,888 $ 2,308,551 $ 2,171,787 $ 1,601,766
------------ ----------- ----------- ------------
Expenses --
Management fee............ $ 6,051,860 $ 2,737,788 $ 1,267,142 $ 1,393,556
Trustees' compensation.... 21,903 9,360 3,524 4,636
Administrative fee........ 118,051 58,360 21,119 28,489
Custodian fee............. 152,034 114,614 123,091 72,695
Auditing fees............. 14,654 15,404 21,249 14,529
Legal fees................ 1,236 543 1,289 674
Printing.................. 20,498 14,057 -- 8,667
Miscellaneous............. -- 28,108 5,116 3,780
------------ ----------- ----------- ------------
Total expenses.......... $ 6,380,236 $ 2,978,234 $ 1,442,530 $ 1,527,026
Fees paid indirectly...... (7,259) (3,247) (5,155) (5,549)
------------ ----------- ----------- ------------
Net expenses............ $ 6,372,977 $ 2,974,987 $ 1,437,375 $ 1,521,477
------------ ----------- ----------- ------------
Net investment income
(loss)................ $ (776,089) $ (666,436) $ 734,412 $ 80,289
------------ ----------- ----------- ------------
Realized and unrealized gain
(loss) on investments:
Realized gain (loss)
(identified cost basis) --
Investment transactions... $102,531,504 $83,673,727 $28,767,952 $ 70,828,949
Foreign currency
transactions............. (14,781) (665) (124,444) (18,732)
------------ ----------- ----------- ------------
Net realized gain on
investments and foreign
currency
transactions........... $102,516,723 $83,673,062 $28,643,508 $ 70,810,217
------------ ----------- ----------- ------------
Change in unrealized
appreciation
(depreciation) on --
Investments............... $ 36,156,989 $ 7,904,641 $ 6,486,927 $(15,059,395)
Translation of assets and
liabilities in foreign
currencies............... (1,032) 790 (1,810) 2,965
------------ ----------- ----------- ------------
Net unrealized gain
(loss) on investments
and foreign currency
translation............ $ 36,155,957 $ 7,905,431 $ 6,485,117 $(15,056,430)
------------ ----------- ----------- ------------
Net realized and
unrealized gain on
investments and
foreign currency...... $138,672,680 $91,578,493 $35,128,625 $ 55,753,787
------------ ----------- ----------- ------------
Increase in net
assets from
operations......... $137,896,591 $90,912,057 $35,863,037 $ 55,834,076
------------ ----------- ----------- ------------
------------ ----------- ----------- ------------
</TABLE>
See notes to financial statements
41
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF OPERATIONS (Unaudited) -- Six Months Ended June 30,
1999 -- continued
<TABLE>
<CAPTION>
Massachusetts
Investors Total
Net investment income: Trust Research Return Utilities
Income -- Series Series Series Series
-------------- ------------ ------------- ------------
<S> <C> <C> <C> <C>
Interest.................. $ 1,555,118 $ 540,139 $ 26,506,378 $ 1,043,965
Dividends................. 11,933,691 3,916,596 11,866,192 2,879,321
Foreign taxes withheld.... (61,653) (48,384) (199,748) (42,843)
-------------- ------------ ------------- ------------
Total investment
income................. $ 13,427,156 $ 4,408,351 $ 38,172,822 $ 3,880,443
-------------- ------------ ------------- ------------
Expenses --
Management fee............ $ 5,349,377 $ 3,516,790 $ 6,310,362 $ 932,156
Trustees' compensation.... 23,550 12,550 24,673 2,873
Administrative fee........ 133,974 75,458 133,690 18,643
Custodian fee............. 211,643 148,254 167,326 51,631
Auditing fees............. 16,404 15,254 18,934 15,750
Legal fees................ 2,825 773 1,989 1,563
Printing.................. 29,928 16,706 11,358 6,841
Miscellaneous............. 3,416 23,627 7,064 1,899
-------------- ------------ ------------- ------------
Total expenses.......... $ 5,771,117 $ 3,809,412 $ 6,675,396 $ 1,031,356
Fees paid indirectly...... (8,106) (6,541) (20,027) (12,267)
-------------- ------------ ------------- ------------
Net expenses............ $ 5,763,011 $ 3,802,871 $ 6,655,369 $ 1,019,089
-------------- ------------ ------------- ------------
Net investment
income................ $ 7,664,145 $ 605,480 $ 31,517,453 $ 2,861,354
-------------- ------------ ------------- ------------
Realized and unrealized gain
(loss) on investments:
Realized gain (loss)
(identified cost basis) --
Investment transactions... $ 128,420,025 $ 73,732,929 $ 79,050,673 $ 16,944,106
Foreign currency
transactions............. (24,671) (59,173) 484 112,554
Futures contracts......... -- -- -- (116,285)
-------------- ------------ ------------- ------------
Net realized gain on
investments and foreign
currency
transactions........... $ 128,395,354 $ 73,673,756 $ 79,051,157 $ 16,940,375
-------------- ------------ ------------- ------------
Change in unrealized
appreciation
(depreciation) on --
Investments............... $ (19,048,935) $ 16,306,412 $ (15,777,671) $ 5,513,068
Translation of assets and
liabilities in foreign
currencies............... (36,353) (16,026) (8,521) (23,084)
-------------- ------------ ------------- ------------
Net unrealized gain
(loss) on investments
and foreign currency
translation............ $ (19,085,288) $ 16,290,386 $ (15,786,192) $ 5,489,984
-------------- ------------ ------------- ------------
Net realized and
unrealized gain on
investments and
foreign currency...... $ 109,310,066 $ 89,964,142 $ 63,264,965 $ 22,430,359
-------------- ------------ ------------- ------------
Increase in net
assets from
operations......... $ 116,974,211 $ 90,569,622 $ 94,782,418 $ 25,291,713
-------------- ------------ ------------- ------------
-------------- ------------ ------------- ------------
</TABLE>
See notes to financial statements
42
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) -- Six Months Ended June 30,
1999
<TABLE>
<CAPTION>
Increase (decrease) in net Capital Emerging Global Managed
assets: Appreciation Growth Growth Sectors
From operations -- Series Series Series Series
-------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Net investment income
(loss).................... $ (776,089) $ (666,436) $ 734,412 $ 80,289
Net realized gain on
investments and foreign
currency transactions..... 102,516,723 83,673,062 28,643,508 70,810,217
Net unrealized gain (loss)
on investments and foreign
currency translation...... 36,155,957 7,905,431 6,485,117 (15,056,430)
-------------- ------------ ------------ ------------
Increase in net assets
from operations.......... $ 137,896,591 $ 90,912,057 $ 35,863,037 $ 55,834,076
-------------- ------------ ------------ ------------
Distributions declared to
shareholders --
From net investment
income.................... $ -- $ -- $ (603,474) $ --
From net realized gain on
investments and foreign
currency transactions..... (191,013,349) (12,679,477) (10,894,673) --
-------------- ------------ ------------ ------------
Total distributions
declared to
shareholders............. $ (191,013,349) $(12,679,477) $(11,498,147) $ --
-------------- ------------ ------------ ------------
Net increase (decrease) in net
assets from Series share
transactions................ $ 104,529,414 $ 52,319,570 $ (183,704) $(12,637,516)
-------------- ------------ ------------ ------------
Total increase in net
assets................ $ 51,412,656 $130,552,150 $ 24,181,186 $ 43,196,560
Net assets --
At beginning of period...... 1,725,154,967 736,251,186 277,518,977 364,791,076
-------------- ------------ ------------ ------------
At end of period............ $1,776,567,623 $866,803,336 $301,700,163 $407,987,636
-------------- ------------ ------------ ------------
-------------- ------------ ------------ ------------
Accumulated undistributed
net investment income
(loss) included in net
assets at end of period... $ (776,089) $ (666,436) $ 735,757 $ 80,289
-------------- ------------ ------------ ------------
-------------- ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
Massachusetts
Increase (decrease) in net Investors Total
assets: Trust Research Return Utilities
From operations -- Series Series Series Series
-------------- -------------- -------------- ------------
<S> <C> <C> <C> <C>
Net investment income....... $ 7,664,145 $ 605,480 $ 31,517,453 $ 2,861,354
Net realized gain on
investments and foreign
currency transactions..... 128,395,354 73,673,756 79,051,157 16,940,375
Net unrealized gain (loss)
on investments and foreign
currency translation...... (19,085,288) 16,290,386 (15,786,192) 5,489,984
-------------- -------------- -------------- ------------
Increase in net assets
from operations.......... $ 116,974,211 $ 90,569,622 $ 94,782,418 $ 25,291,713
-------------- -------------- -------------- ------------
Distributions declared to
shareholders --
From net investment
income.................... $ (14,424,836) $ (3,057,687) $ (64,269,845) $ (4,367,404)
From net realized gain on
investments and foreign
currency transactions..... (138,450,705) (32,300,619) (223,361,985) (26,554,259)
-------------- -------------- -------------- ------------
Total distributions
declared to
shareholders............. $ (152,875,541) $ (35,358,306) $ (287,631,830) $(30,921,663)
-------------- -------------- -------------- ------------
Net increase in net assets
from Series share
transactions.............. $ 309,593,356 $ 51,219,992 $ 247,401,159 $ 71,857,122
-------------- -------------- -------------- ------------
Total increase in net
assets................ $ 273,692,026 $ 106,431,308 $ 54,551,747 $ 66,227,172
Net assets --
At beginning of period...... 1,852,728,101 988,280,151 1,942,110,673 226,291,872
-------------- -------------- -------------- ------------
At end of period............ $2,126,420,127 $1,094,711,459 $1,996,662,420 $292,519,044
-------------- -------------- -------------- ------------
-------------- -------------- -------------- ------------
Accumulated undistributed net
investment income included
in net assets at end of
period...................... $ 7,641,261 $ 605,380 $ 31,840,691 $ 2,943,958
-------------- -------------- -------------- ------------
-------------- -------------- -------------- ------------
</TABLE>
See notes to financial statements
43
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Year Ended December 31, 1998
<TABLE>
<CAPTION>
Increase (decrease) in net Capital Emerging Global Managed
assets: Appreciation Growth Growth Sectors
From operations -- Series Series Series Series
-------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Net investment income
(loss).................... $ (3,434,925) $ (1,538,350) $ 831,575 $ (689,424)
Net realized gain on
investments and foreign
currency transactions..... 213,975,823 12,407,941 10,538,464 2,104,108
Net unrealized gain on
investments and foreign
currency translation...... 176,762,865 163,219,131 22,769,934 39,042,064
-------------- ------------ ------------ ------------
Increase in net assets
from operations.......... $ 387,303,763 $174,088,722 $ 34,139,973 $ 40,456,748
-------------- ------------ ------------ ------------
Distributions declared to
shareholders --
From net investment
income.................... $ -- $ -- $ (973,450) $ --
From net realized gain on
investments and foreign
currency transactions..... (169,375,578) (19,671,422) (19,232,791) (53,763,881)
In excess of net realized
gain on investments and
foreign currency
transactions.............. -- -- -- (27,666)
-------------- ------------ ------------ ------------
Total distributions
declared to
shareholders............. $ (169,375,578) $(19,671,422) $(20,206,241) $(53,791,547)
-------------- ------------ ------------ ------------
Net increase in net assets
from Series share
transactions.............. $ 180,986,295 $124,482,468 $ 11,183,242 $ 37,498,438
-------------- ------------ ------------ ------------
Total increase in net
assets................ $ 398,914,480 $278,899,768 $ 25,116,974 $ 24,163,639
Net assets --
At beginning of period...... 1,326,240,487 457,351,418 252,402,003 340,627,437
-------------- ------------ ------------ ------------
At end of period............ $1,725,154,967 $736,251,186 $277,518,977 $364,791,076
-------------- ------------ ------------ ------------
-------------- ------------ ------------ ------------
Accumulated undistributed net
investment income included
in net assets at end of
period...................... $ -- $ -- $ 604,819 $ --
-------------- ------------ ------------ ------------
-------------- ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
Massachusetts
Increase (decrease) in net Investors Total
assets: Trust Research Return Utilities
From operations -- Series Series Series Series
-------------- ------------ -------------- ------------
<S> <C> <C> <C> <C>
Net investment income....... $ 14,417,538 $ 3,097,824 $ 64,029,971 $ 4,552,068
Net realized gain on
investments and foreign
currency transactions..... 141,470,873 31,269,447 223,399,643 25,475,223
Net unrealized gain (loss)
on investments and foreign
currency translation...... 162,221,454 138,889,494 (85,129,587) (1,836,532)
-------------- ------------ -------------- ------------
Increase in net assets
from operations.......... $ 318,109,865 $173,256,765 $ 202,300,027 $ 28,190,759
-------------- ------------ -------------- ------------
Distributions declared to
shareholders --
From net investment
income.................... $ (10,399,191) $ (1,809,857) $ (56,012,276) $ (2,736,379)
From net realized gain on
investments and foreign
currency transactions..... (91,293,748) (33,497,705) (144,585,110) (15,722,165)
-------------- ------------ -------------- ------------
Total distributions
declared to
shareholders............. $ (101,692,939) $(35,307,562) $ (200,597,386) $(18,458,544)
-------------- ------------ -------------- ------------
Net increase in net assets
from Series share
transactions................ $ 478,176,003 $180,028,715 $ 244,299,890 $ 93,551,190
-------------- ------------ -------------- ------------
Total increase in net
assets................ $ 694,592,929 $317,977,918 $ 246,002,531 $103,283,405
Net assets --
At beginning of period...... 1,158,135,172 670,302,233 1,696,108,142 123,008,467
-------------- ------------ -------------- ------------
At end of period............ $1,852,728,101 $988,280,151 $1,942,110,673 $226,291,872
-------------- ------------ -------------- ------------
-------------- ------------ -------------- ------------
Accumulated undistributed net
investment income included
in net assets at end of
period...................... $ 14,401,952 $ 3,057,587 $ 64,593,083 $ 4,450,008
-------------- ------------ -------------- ------------
-------------- ------------ -------------- ------------
</TABLE>
See notes to financial statements
44
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Capital Appreciation Series
------------------------------------------------------------------
Six Months
Ended
Per share data (for a June 30, Year Ended December 31,
share outstanding 1999 ------------------------------------------------------
throughout each period): (Unaudited) 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $ 45.9348 $ 40.1392 $ 35.8316 $ 31.9878 $24.4076 $28.1892
---------- ---------- ---------- ---------- -------- --------
Income (loss) from
investment operations#
--
Net investment income
(loss)............... $ (0.0206 ) $ (0.0962 ) $ (0.0405 ) $ (0.0200 ) $0.0933 $0.0523
Net realized and
unrealized gain
(loss) on investments
and foreign
currency............. 3.5586 11.0414 7.8691 6.7422 8.1619 (1.1104 )
---------- ---------- ---------- ---------- -------- --------
Total from
investment
operations....... $ 3.5380 $ 10.9452 $ 7.8286 $ 6.7222 $8.2552 $(1.0581)
---------- ---------- ---------- ---------- -------- --------
Less distributions
declared to
shareholders --
From net investment
income............... $ -- $ -- $ -- $ (0.0322 ) $(0.0568) $(0.1306)
From net realized gain
on investments and
foreign currency
transactions......... (5.2788 ) (5.1496 ) (3.5210 ) (2.8462 ) (0.6182 ) (2.5929 )
---------- ---------- ---------- ---------- -------- --------
Total distributions
declared to
shareholders..... $ (5.2788 ) $ (5.1496 ) $ (3.5210 ) $ (2.8784 ) $(0.6750) $(2.7235)
---------- ---------- ---------- ---------- -------- --------
Net asset value -- end of
period................. $ 44.1940 $ 45.9348 $ 40.1392 $ 35.8316 $31.9878 $24.4076
---------- ---------- ---------- ---------- -------- --------
---------- ---------- ---------- ---------- -------- --------
Total return++........... 8.30% ++ 28.70% 23.14% 21.48% 34.46% (3.60)%
Ratios (to average net
assets)/Supplemental
data:
Expenses##............. 0.73% + 0.77% 0.78% 0.80% 0.83% 0.83%
Net investment income
(loss)............... (0.09)% + (0.23)% (0.10)% (0.05)% 0.32% 0.24%
Portfolio turnover....... 25% 79% 68% 67% 89% 52%
Net assets at end of
period (000 omitted)... $1,776,568 $1,725,155 $1,326,240 $1,061,631 $797,102 $476,508
</TABLE>
<TABLE>
<CAPTION>
Emerging Growth Series
------------------------------------------------------------------
Six Months
Ended
Per share data (for a June 30, Year Ended December 31, Period Ended
share outstanding 1999 --------------------------------- December 31,
throughout each period): (Unaudited) 1998 1997 1996 1995*
----------- --------- --------- --------- ----------------
<S> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $23.2757 $18.0032 $14.8305 $12.6867 $10.0000
----------- --------- --------- --------- -------
Income from investment
operations# --
Net investment income
(loss)Section........ $(0.0205) $(0.0530) $(0.0551) $ 0.0175 $ 0.0788
Net realized and
unrealized gain on
investments and
foreign currency..... 2.7998 6.0356 3.2968 2.1506 2.6079
----------- --------- --------- --------- -------
Total from
investment
operations........ $ 2.7793 $ 5.9826 $ 3.2417 $ 2.1681 $ 2.6867
----------- --------- --------- --------- -------
Less distributions
declared to
shareholders--
From net investment
income............... $ -- $ -- $(0.0098) $(0.0243) $--
From net realized gain
on investments and
foreign currency
transactions......... (0.3907) (0.7101) (0.0592) -- --
----------- --------- --------- --------- -------
Total distributions
declared to
shareholders...... $(0.3907) $(0.7101) $(0.0690) $(0.0243) $--
----------- --------- --------- --------- -------
Net asset value -- end of
period................. $25.6643 $23.2757 $18.0032 $14.8305 $12.6867
----------- --------- --------- --------- -------
----------- --------- --------- --------- -------
Total return++........... 12.00%++ 33.88% 21.93% 17.15% 26.80%++
Ratios (to average net
assets) / Supplemental
dataSection:
Expenses##............. 0.77%+ 0.78% 0.81% 0.70% 0.24%+
Net investment income
(loss)............... (0.17)%+ (0.27)% (0.33)% 0.12% 1.13%+
Portfolio turnover....... 77% 80% 109% 88% 28%
Net assets at end of
period (000 omitted)... $866,803 $736,251 $457,351 $250,826 $ 67,255
</TABLE>
Section The investment adviser voluntarily waived all or a portion of its
advisory fee for the Emerging Growth Series for the periods indicated. If
this fee had been incurred by the Series, the net investment income (loss)
per share and the ratios would have been:
<TABLE>
<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>
* For the period from the commencement of the Series' investment operations,
May 1, 1995, through December 31, 1995.
+ Annualized.
++ Not annualized.
# Per share data are based on average shares outstanding.
## The Series has an expense offset arrangement which reduces the Series'
custodian fee based upon the amount of cash maintained by the Series with
its custodian and dividend disbursing agent. For fiscal years ending after
September 1, 1995, the Series' expenses are calculated without reduction
for this expense offset arrangement.
++ 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.
See notes to financial statements
45
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Global Growth Series
------------------------------------------------------------------------------------
Six Months
Per share data (for a Ended Year Ended December 31,
share outstanding June 30, 1999 -------------------------------------------------------------------
throughout each period): (Unaudited) 1998 1997 1996 1995 1994
-------------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $15.6555 $14.6844 $13.0338 $12.3464 $10.9425 $10.6366
------- ----------- ----------- ----------- ----------- -----------
Income from investment
operations# --
Net investment
incomeSection........ $ 0.0419 $ 0.0466 $ 0.0446 $ 0.0232 $ 0.0689 $ 0.1506
Net realized and
unrealized gain on
investments and
foreign currency..... 2.0143 2.0973 1.9245 1.5878 1.6388 0.1590
------- ----------- ----------- ----------- ----------- -----------
Total from
investment
operations....... $ 2.0562 $ 2.1439 $ 1.9691 $ 1.6110 $ 1.7077 $ 0.3096
------- ----------- ----------- ----------- ----------- -----------
Less distributions
declared to
shareholders --
From net investment
income............... $(0.0353) $(0.0565) $(0.0626) $(0.0886) $(0.1361) $(0.0037)
From net realized gain
on investments and
foreign currency
transactions......... (0.6371) (1.1163) (0.2559) (0.8350) (0.1677) --
------- ----------- ----------- ----------- ----------- -----------
Total distributions
declared to
shareholders..... $(0.6724) $(1.1728) $(0.3185) $(0.9236) $(0.3038) $(0.0037)
------- ----------- ----------- ----------- ----------- -----------
Net asset value -- end of
period................. $17.0393 $15.6555 $14.6844 $13.0338 $12.3464 $10.9425
------- ----------- ----------- ----------- ----------- -----------
------- ----------- ----------- ----------- ----------- -----------
Total return++........... 13.27%++ 14.61% 15.32% 13.02% 16.06% 2.86%
Ratios (to average net
assets)/Supplemental
dataSection:
Expenses##............. 1.02%+ 1.01% 1.02% 1.04% 1.07% 0.47%
Net investment
income............... 0.52%+ 0.31% 0.31% 0.18% 0.60% 2.20%
Portfolio turnover....... 72% 92% 105% 81% 162% 231%
Net assets at end of
period (000 omitted)... $301,700 $277,516 $252,402 $203,106 $146,388 $100,045
</TABLE>
Section The investment adviser voluntarily waived all or a portion of its
advisory fee for the period indicated. If this fee had been incurred by the
Series, the net investment income per share and the ratios would have been:
<TABLE>
<S> <C>
Net investment income............................. $0.0989
Ratios (to average net assets):
Expenses##...................................... 1.20%
Net investment income........................... 1.47%
</TABLE>
+ Annualized.
++ Not annualized.
# Per share data are based on average shares outstanding.
## The Series has an expense offset arrangement which reduces the Series'
custodian fee based upon the amount of cash maintained by the Series with
its custodian and dividend disbursing agent. For fiscal years ending after
September 1, 1995, the Series' expenses are calculated without reduction
for this offset arrangement.
++ The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
See notes to financial statements
46
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Managed Sectors Series
------------------------------------------------------------------------------------
Six Months
Per share data (for a Ended Year Ended December 31,
share outstanding June 30, 1999 -------------------------------------------------------------------
throughout each period): (Unaudited) 1998 1997 1996 1995 1994
-------------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $28.2448 $29.1601 $26.2503 $25.4468 $19.8823 $23.2419
------- ----------- ----------- ----------- ----------- -----------
Income (loss) from
investment operations#
--
Net investment income
(loss)............... $ 0.0064 $(0.0544) $(0.0597) $ 0.0200 $ 0.0979 $ 0.0982
Net realized and
unrealized gain
(loss) on investments
and foreign
currency............. 4.4975 3.7082 6.2302 4.2817 6.1880 (0.6610)
------- ----------- ----------- ----------- ----------- -----------
Total from
investment
operations....... $ 4.5039 $ 3.6538 $ 6.1705 $ 4.3017 $ 6.2859 $(0.5628)
------- ----------- ----------- ----------- ----------- -----------
Less distributions
declared to
shareholders --
From net investment
income............... $-- $ -- $(0.0201) $(0.0758) $(0.0542) $(0.0239)
From net realized gain
on investments and
foreign currency
transactions......... -- (4.5668) (3.2406) (3.4224) (0.6672) (2.7729)
In excess of net
realized gain on
investments and
foreign currency
transactions......... -- (0.0023) -- -- -- --
------- ----------- ----------- ----------- ----------- -----------
Total distributions
declared to
shareholders..... $-- $(4.5691) $(3.2607) $(3.4982) $(0.7214) $(2.7968)
------- ----------- ----------- ----------- ----------- -----------
Net asset value -- end of
period................. $32.7487 $28.2448 $29.1601 $26.2503 $25.4468 $19.8823
------- ----------- ----------- ----------- ----------- -----------
------- ----------- ----------- ----------- ----------- -----------
Total return++........... 15.93%++ 12.25% 25.63% 17.58% 32.29% (1.94)%
Ratios (to average net
assets)/Supplemental
data:
Expenses##............. 0.80%+ 0.80% 0.82% 0.82% 0.84% 0.87%
Net investment income
(loss)............... 0.04%+ (0.20)% (0.21)% 0.09% 0.42% 0.53%
Portfolio turnover....... 177% 161% 103% 121% 113% 103%
Net assets at end of
period (000 omitted)... $407,988 $364,791 $340,627 $266,368 $194,351 $118,987
</TABLE>
+ Annualized.
++ Not annualized.
# Per share data are based on average shares outstanding.
## The Series has an expense offset arrangement which reduces the Series'
custodian fee based upon the amount of cash maintained by the Series with
its custodian and dividend disbursing agent. For fiscal years ending after
September 1, 1995, the Series' expenses are calculated without reduction
for this expense offset arrangement.
++ The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
See notes to financial statements
47
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Massachusetts Investors Trust Series
-----------------------------------------------------------------------------------
Six Months
Per share data (for a Ended Year Ended December 31,
share outstanding June 30, 1999 ------------------------------------------------------------------
throughout each period): (Unaudited) 1998 1997 1996 1995 1994
-------------- ------------ ------------ ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $ 38.2476 $ 33.1489 $ 26.4978 $22.0182 $16.4563 $16.9289
-------------- ------------ ------------ ---------- ---------- ----------
Income (loss) from
investment operations#
--
Net investment
income............... $ 0.1481 $ 0.3382 $ 0.3714 $ 0.4100 $ 0.4318 $ 0.2942
Net realized and
unrealized gain
(loss) on investments
and foreign
currency............. 2.0919 7.3482 7.8153 5.0415 5.6172 (0.4790)
-------------- ------------ ------------ ---------- ---------- ----------
Total from
investment
operations....... $ 2.2400 $ 7.6864 $ 8.1867 $ 5.4515 $ 6.0490 $(0.1848)
-------------- ------------ ------------ ---------- ---------- ----------
Less distributions
declared to
shareholders --
From net investment
income............... $ (0.2810) $ (0.2646) $ (0.2854) $(0.2936) $(0.3037) $(0.1996)
From net realized gain
on investments and
foreign currency
transactions......... (2.6971) (2.3231) (1.2502) (0.6783) (0.1834) (0.0882)
-------------- ------------ ------------ ---------- ---------- ----------
Total distributions
declared to
shareholders..... $ (2.9781) $ (2.5877) $ (1.5356) $(0.9719) $(0.4871) $(0.2878)
-------------- ------------ ------------ ---------- ---------- ----------
Net asset value -- end of
period................. $ 37.5095 $ 38.2476 $ 33.1489 $26.4978 $22.0182 $16.4563
-------------- ------------ ------------ ---------- ---------- ----------
-------------- ------------ ------------ ---------- ---------- ----------
Total return++........... 5.94%++ 23.85% 31.94% 25.41% 37.41% (1.10)%
Ratios (to average net
assets) / Supplemental
data:
Expenses##............. 0.59%+ 0.59% 0.61% 0.61% 0.64% 0.64%
Net investment
income............... 0.79%+ 0.96% 1.23% 1.71% 2.25% 2.42%
Portfolio turnover....... 36% 61% 52% 51% 60% 146%
Net assets at end of
period (000 omitted)... $2,126,420 $1,852,728 $1,158,135 $571,008 $302,024 $150,318
</TABLE>
+ Annualized.
++ Not annualized.
# Per share data are based on average shares outstanding.
## The Series has an expense offset arrangement which reduces the Series'
custodian fee based upon the amount of cash maintained by the Series with
its custodian and dividend disbursing agent. For fiscal years ending after
September 1, 1995, the Series' expenses are calculated without reduction
for this expense offset arrangement.
++ The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
See notes to financial statements
48
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Research Series
-------------------------------------------------------------------------------------
Six Months
Per share data (for a Ended Year Ended December 31, Period Ended
share outstanding June 30, 1999 ------------------------------------------------- December 31,
throughout each period): (Unaudited) 1998 1997 1996 1995 1994*
-------------- ---------- ---------- ---------- ---------- ----------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $ 23.0231 $19.4313 $16.5735 $13.5777 $ 9.8761 $10.0000
-------------- ---------- ---------- ---------- ---------- -------
Income (loss) from
investment operations#
--
Net investment
incomeSection........ $ 0.0139 $ 0.0780 $ 0.0678 $ 0.0797 $ 0.1401 $ 0.0131
Net realized and
unrealized gain
(loss) on investments
and foreign
currency............. 2.0360 4.4449 3.3159 3.1330 3.5651 (0.1370)
-------------- ---------- ---------- ---------- ---------- -------
Total from
investment
operations....... $ 2.0499 $ 4.5229 $ 3.3837 $ 3.2127 $ 3.7052 $(0.1239)
-------------- ---------- ---------- ---------- ---------- -------
Less distributions
declared to
shareholders --
From net investment
income............... $ (0.0704) $(0.0477) $(0.0387) $(0.0328) $(0.0036) $--
From net realized gain
on investments and
foreign currency
transactions......... (0.7441) (0.8834) (0.4872) (0.1841) -- --
-------------- ---------- ---------- ---------- ---------- -------
Total distributions
declared to
shareholders..... $ (0.8145) $(0.9311) $(0.5259) $(0.2169) $(0.0036) $--
-------------- ---------- ---------- ---------- ---------- -------
Net asset value -- end of
period................. $ 24.2585 $23.0231 $19.4313 $16.5735 $13.5777 $ 9.8761
-------------- ---------- ---------- ---------- ---------- -------
-------------- ---------- ---------- ---------- ---------- -------
Total return++........... 9.04%++ 23.61% 20.86% 23.76% 37.50% (1.20)%++
Ratios (to average net
assets) / Supplemental
dataSection:
Expenses##............. 0.76%+ 0.76% 0.79% 0.84% 0.58% 1.50%+
Net investment
income............... 0.12%+ 0.37% 0.37% 0.52% 1.16% 1.80%+
Portfolio turnover....... 51% 81% 79% 70% 81% 3%
Net assets at end of
period (000 omitted)... $1,094,711 $988,280 $670,302 $325,389 $ 71,828 $ 3,869
</TABLE>
Section For the period ended December 31, 1994, the investment adviser agreed to
maintain the expenses of the Series at not more than 1.50% of average daily
net assets. In addition, for the periods indicated, the investment adviser
voluntarily waived all or a portion of its advisory fee. To the extent
actual expenses were over this limitation and/or the waiver had not been in
place, the net investment income (loss) per share and the ratios would have
been:
<TABLE>
<S> <C> <C>
Net investment income (loss)............ $0.0954 $(0.0145)
Ratios (to average net assets):
Expenses##............................ 0.95% 3.49 %+
Net investment income (loss).......... 0.79% (0.19 )%+
</TABLE>
* For the period from the commencement of the Series' investment operations,
November 7, 1994, through December 31, 1994.
+ Annualized.
++ Not annualized.
# Per share data are based on average shares outstanding.
## The Series has an expense offset arrangement which reduces the Series'
custodian fee based upon the amount of cash maintained by the Series with
its custodian and dividend disbursing agent. For fiscal years ending after
September 1, 1995, the Series' expenses are calculated without reduction
for this expense offset arrangement.
++ The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
See notes to financial statements
49
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Total Return Series
-----------------------------------------------------------------------------------------------
Per share data (for a Six Months Ended Year Ended December 31,
share outstanding June 30, 1999 ---------------------------------------------------------------------------
throughout each period): (Unaudited) 1998 1997 1996 1995 1994
----------------- ------------- ------------- ------------- ------------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $ 21.2635 $ 21.3173 $ 19.4397 $ 18.3848 $ 15.0862 $16.0946
----------------- ------------- ------------- ------------- ------------- -----------
Income (loss) from
investment operations#
--
Net investment
income............... $ 0.3322 $ 0.7305 $ 0.7546 $ 0.7677 $ 0.7824 $ 0.5639
Net realized and
unrealized gain
(loss) on investments
and foreign
currency............. 0.7513 1.6718 3.2409 1.6795 3.1527 (0.9310)
----------------- ------------- ------------- ------------- ------------- -----------
Total from
investment
operations....... $ 1.0835 $ 2.4023 $ 3.9955 $ 2.4472 $ 3.9351 $(0.3671)
----------------- ------------- ------------- ------------- ------------- -----------
Less distributions
declared to
shareholders --
From net investment
income............... $ (0.7136) $ (0.6858) $ (0.7234) $ (0.7189) $ (0.6365) $(0.4344)
From net realized gain
on investments and
foreign currency
transactions......... (2.4799) (1.7703) (1.3945) (0.6734) -- (0.2069)
----------------- ------------- ------------- ------------- ------------- -----------
Total distributions
declared to
shareholders..... $ (3.1935) $ (2.4561) $ (2.1179) $ (1.3923) $ (0.6365) $(0.6413)
----------------- ------------- ------------- ------------- ------------- -----------
Net asset value -- end of
period................. $ 19.1535 $ 21.2635 $ 21.3173 $ 19.4397 $ 18.3848 $15.0862
----------------- ------------- ------------- ------------- ------------- -----------
----------------- ------------- ------------- ------------- ------------- -----------
Total return++........... 4.98%++ 11.71% 21.98% 14.10% 26.71% (2.22)%
Ratios (to average net
assets) / Supplemental
data:
Expenses##............. 0.69%+ 0.70% 0.71% 0.72% 0.76% 0.76%
Net investment
income............... 3.25%+ 3.47% 3.72% 4.15% 4.70% 4.34%
Portfolio turnover....... 69% 116% 113% 134% 108% 66%
Net assets at end of
period (000 omitted)... $1,996,662 $1,942,111 $1,696,108 $1,335,022 $1,099,887 $839,614
</TABLE>
<TABLE>
<CAPTION>
Utilities Series
---------------------------------------------------------------------------------------------------------
Per share data (for a Six Months Ended Year Ended December 31,
share outstanding June 30, 1999 -----------------------------------------------------------------------------
throughout each period): (Unaudited) 1998 1997 1996 1995
------------------------- ----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $ 17.0828 $ 16.4093 $ 13.9874 $ 12.2598 $ 9.5209
---------- ----------------- ----------------- ----------------- -----------------
Income (loss) from
investment operations#
--
Net investment
incomeSection........ $ 0.1927 $ 0.4394 $ 0.4576 $ 0.5322 $ 0.4918
Net realized and
unrealized gain
(loss) on investments
and foreign
currency............. 1.4672 2.3048 3.6873 1.8548 2.5197
---------- ----------------- ----------------- ----------------- -----------------
Total from
investment
operations....... $ 1.6599 $ 2.7442 $ 4.1449 $ 2.3870 $ 3.0115
---------- ----------------- ----------------- ----------------- -----------------
Less distributions
declared to
shareholders --
From net investment
income............... $ (0.2980) $ (0.3070) $ (0.4248) $ (0.3160) $ (0.2726)
From net realized gain
on investments and
foreign currency
transactions......... (1.8119) (1.7637) (1.2982) (0.3434) --
---------- ----------------- ----------------- ----------------- -----------------
Total distributions
declared to
shareholders..... $ (2.1099) $ (2.0707) $ (1.7230) $ (0.6594) $ (0.2726)
---------- ----------------- ----------------- ----------------- -----------------
Net asset value -- end of
period................. $ 16.6328 $ 17.0828 $ 16.4093 $ 13.9874 $ 12.2598
---------- ----------------- ----------------- ----------------- -----------------
---------- ----------------- ----------------- ----------------- -----------------
Total return++........... 9.99%++ 17.54% 32.71% 20.37% 32.36%
Ratios (to average net
assets) / Supplemental
dataSection:
Expenses##............. 0.83%+ 0.86% 0.86% 0.88% 0.44%
Net investment
income............... 2.30%+ 2.68% 3.15% 4.23% 4.62%
Portfolio turnover....... 84% 148% 144% 131% 119%
Net assets at end of
period (000 omitted)... $ 292,519 $ 226,292 $ 123,008 $ 70,680 $ 43,134
<CAPTION>
Per share data (for a
share outstanding
throughout each period): 1994
---------------
<S> <C>
Net asset value --
beginning of period.... $10.0164
-------
Income (loss) from
investment operations#
--
Net investment
incomeSection........ $ 0.2899
Net realized and
unrealized gain
(loss) on investments
and foreign
currency............. (0.7817)
-------
Total from
investment
operations....... $(0.4918)
-------
Less distributions
declared to
shareholders --
From net investment
income............... $(0.0037)
From net realized gain
on investments and
foreign currency
transactions......... --
-------
Total distributions
declared to
shareholders..... $(0.0037)
-------
Net asset value -- end of
period................. $ 9.5209
-------
-------
Total return++........... (4.96)%
Ratios (to average net
assets) / Supplemental
dataSection:
Expenses##............. 0.39%
Net investment
income............... 4.59%
Portfolio turnover....... 103%
Net assets at end of
period (000 omitted)... $ 21,448
</TABLE>
Section The investment adviser voluntarily waived all or a portion of its
advisory fee for the Utilities Series for the periods indicated. If this
fee had been incurred by the Series, the net investment income per share
and the ratios would have been:
<TABLE>
<S> <C> <C>
Net investment income................... $0.4375 $0.2412
Ratios (to average net assets):
Expenses##............................ 0.95% 1.14%
Net investment income................. 4.12% 3.84%
</TABLE>
+ Annualized.
++ Not annualized.
# Per share data are based on average shares outstanding.
## The Series has an expense offset arrangement which reduces the Series'
custodian fee based upon the amount of cash maintained by the Series with
its custodian and dividend disbursing agent. For fiscal year ending after
September 1, 1995, the Series' expenses are calculated without reduction
for this offset arrangement.
++ The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
See notes to financial statements
50
<PAGE>
MFS/SUN LIFE SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
(1) Business and Organization
The Trust is organized as a Massachusetts business trust and is registered under
the Investment Company Act of 1940, as amended, as an open-end management
investment company consisting of twenty-six separate Series (the Series) of
shares: Bond Series, Capital Appreciation Series*, Capital Opportunities Series,
Emerging Growth Series*, Equity Income Series, Global Asset Allocation Series,
Global Government Series, Global Growth Series*, Global Total Return Series,
Government Securities Series, High Yield Series, International Growth Series,
International Growth and Income Series, Managed Sectors Series*, Massachusetts
Investors Growth Stock Series, Massachusetts Investors Trust Series*,
MFS/Foreign & Colonial Emerging Markets Equity Series, Money Market Series, New
Discovery Series, Research Series*, Research Growth and Income Series, Research
International Series, Strategic Income Series, Total Return Series*, Utilities
Series*, and Zero Coupon Series 2000 Portfolio. The Global Growth Series,
Managed Sectors Series, and Utilities 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. Effective
May 1, 1999, the World Growth Series and Conservative Growth Series changed
their names to the Global Growth Series and Massachusetts Investors Trust
Series, respectively.
The Series denoted with an asterisk above are included within these financial
statements.
(2) Significant Accounting Policies
General - The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates. Investments
in foreign securities are vulnerable to the effects of changes in the relative
values of the local currency and the U.S. dollar and to the effects of changes
in each country's legal, political, and economic environment.
Investment Valuations - Equity securities listed on securities exchanges or
reported through the NASDAQ system are reported at market value using last sale
prices. Unlisted equity securities or listed equity securities for which last
sale prices are not available are reported at market value using last quoted bid
prices. Debt securities (other than short-term obligations which mature in 60
days or less), including listed issues, and forward contracts, are valued on the
basis of valuations furnished by dealers or by a pricing service with
consideration to factors such as institutional-size trading in similar groups of
securities, yield, quality, coupon rate, maturity, type of issue, trading
characteristics, and other market data, without exclusive reliance upon exchange
or over-the-counter prices. Short-term obligations, which mature in 60 days or
less, are valued at amortized cost, which approximates market value. Non-U.S.
dollar denominated short-term obligations are valued at amortized cost as
calculated in the foreign currency and translated into U.S. dollars at the
closing daily exchange rate. Futures contracts listed on commodities exchanges
are reported at market value using closing settlement prices. Over-the-counter
currency options are valued through the use of a pricing model which takes into
account foreign currency exchange spot and forward rates, 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
the Trustees.
Futures Contracts - Certain Series of the Trust may enter into futures contracts
for the delayed delivery of securities of currency, or contracts based on
financial indices at a fixed price on a future date. In entering such contracts,
the Series are required to deposit with the broker either in cash or securities
an amount equal to a certain percentage of the contract amount. Subsequent
payments are made or received by the Series each day, depending on the daily
fluctuations in the value of the contract, and are recorded for financial
statement purposes as unrealized gains or losses by the Series. The Series'
investment in futures contracts is designed to hedge against anticipated future
changes in interest or exchange rates or securities prices. Certain Series of
the Trust may enter into futures contracts for non-hedging purposes. Investments
in interest rate futures for purposes other than hedging may be made to modify
the duration of the portfolio without incurring the additional transaction costs
involved in buying and selling the underlying securities. Investments in
currency futures for purposes other than hedging may be made to change the
Series' relative position in one or more currencies without buying and selling
portfolio assets. Investment in equity index contracts or contracts on related
options for purposes other than hedging, may be made when the Series has cash on
hand and wishes to participate in anticipated market appreciation while the cash
is being invested. Should interest or exchange rates or securities prices move
unexpectedly, the Series may not achieve the anticipated benefits of the futures
contracts and may realize a loss.
Foreign Currency Translation - Investment valuations, other assets, and
liabilities initially expressed in foreign currencies are converted each
business day into U.S. dollars based upon current exchange rates. Purchases and
sales of foreign investments, income, and expenses are converted into U.S.
dollars based upon currency exchange rates prevailing on the respective dates of
such transactions. Gains and losses attributable to foreign currency exchange
rates on sales of securities are recorded for financial statement purposes as
net realized gains and losses on investments. Gains and losses attributable to
foreign exchange rate movements on income and expenses are recorded for
financial statement purposes as foreign currency transaction gains and losses.
That portion of both realized and unrealized gains and losses on investments
that results from fluctuations in foreign currency exchange rates is not
separately disclosed.
Security Loans - Certain Series of the Trust may lend their securities to member
banks of the Federal Reserve System and to member firms of the New York Stock
Exchange or subsidiaries thereof. State Street Bank and Trust Company ("State
Street"), as agent, loans the securities to certain brokers (the "Borrowers")
approved by the Series. The loans are collateralized at all times by cash and/or
U.S. Treasury securities in an amount at least equal to
51
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited) -- continued
the market value of the securities loaned. State Street provides the Series with
indemnification against Borrower default. The Series bears the risk of loss with
respect to the investment of cash collateral.
At June 30, 1999, the value of securities loaned, U.S. Treasuries held as
collateral, and cash held as collateral were as follows:
<TABLE>
<CAPTION>
U.S.
Series Value Treasury
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
Emerging Growth Series.................................................................... $ 105,388,115 $ 217,014
Global Growth Series...................................................................... 33,522,700 30,000
Massachusetts Investors Trust Series...................................................... 2,972,724 4,300,620
Research Series........................................................................... 65,563,432 --
Total Return Series....................................................................... 3,107,448 3,215,267
Utilities Series.......................................................................... 32,069,592 --
<CAPTION>
Series Cash
<S> <C>
- ------------------------------------------------------------------------------------------
Emerging Growth Series.................................................................... $ 106,151,586
Global Growth Series...................................................................... 34,292,749
Massachusetts Investors Trust Series...................................................... --
Research Series........................................................................... 66,767,907
Total Return Series....................................................................... --
Utilities Series.......................................................................... 32,512,811
</TABLE>
Cash collateral is invested in short-term securities, which are included in the
Portfolio of Investments. A portion of the income generated upon investment of
the collateral is remitted to the Borrowers, and the remainder is allocated
between the Series and State Street in its capacity as lending agent. On loans
collateralized by U.S. Treasury securities, a fee is received from the Borrower,
and is allocated between the Series and State Street. Income from securities
lending is included in interest income on the Statements of Operations. The
dividend and interest income earned on the securities loaned is accounted for in
the same manner as other dividend and interest income.
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 may enter into forward contracts for hedging purposes as well as for
non-hedging purposes. For hedging purposes, the Series may enter into contracts
to deliver or receive foreign currency it will receive from or require for its
normal investment activities. Each Series 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 as unrealized until the contract settlement
date. On contract settlement date, the gains or losses are recorded as realized
gains or losses on foreign currency transactions.
Investment Transactions and Income - Investment transactions are recorded on the
trade date. Interest income is recorded on the accrual basis. All discount is
accreted for financial statement and tax reporting purposes as required by
federal income tax regulations. Dividends received in cash are recorded on the
ex-dividend date. Dividend and interest payments received in additional
securities are recorded on the ex-dividend or ex-interest date in an amount
equal to the value of the security on such date.
Fees Paid Indirectly - Each Series' custody fee is calculated as a percentage of
the Series' month end 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 Statements of Operations.
Tax Matters and Distributions - Each Series' policy is 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 income,
including any net realized gain on investments. Accordingly, no provision for
federal income or excise tax is provided.
Distributions to shareholders are recorded on the ex-dividend date. The Series
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 distributions from paid-in
capital. Differences in the recognition or classification of income between the
financial statements and tax earnings and profits, which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or net realized gains. At
December 31, 1998, the Managed Sectors Series, for federal income tax purposes,
had a capital loss carry forward of $475,355 which may be applied against any
net taxable realized gains of each succeeding year until the earlier of its
utilization or expiration on December 31, 2006.
(3) Transactions with Affiliates
Investment Adviser - The Trust has an investment advisory agreement with
Massachusetts Financial Services Company (MFS), an indirect subsidiary of Sun
Life Assurance Company of Canada (U.S.), to provide overall investment advisory
and administrative services, and general office facilities. Investment advisory
fees are computed daily and paid monthly at an annual rate based on a percentage
of each Series' average daily net assets.
52
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited) -- continued
The agreement also provides that each Series will be reimbursed for expenses in
excess of the expense limitation indicated below, based on average net assets of
each Series. Management fees and expense limitations are as follows:
<TABLE>
<CAPTION>
Management
Fees
<S> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Capital Appreciation Series..................................................................................... 0.75%*
Emerging Growth Series.......................................................................................... 0.75%*
Global Growth Series............................................................................................ 0.90%
Managed Sectors Series.......................................................................................... 0.75%*
Massachusetts Investors Trust Series............................................................................ 0.55%
Research Series................................................................................................. 0.75%*
Total Return Series............................................................................................. 0.75%*
Utilities Series................................................................................................ 0.75%*
<CAPTION>
Expense
Limitations
<S> <C>
- ----------------------------------------------------------------------------------------------------------------
Capital Appreciation Series..................................................................................... 1.25%
Emerging Growth Series.......................................................................................... N/A
Global Growth Series............................................................................................ N/A
Managed Sectors Series.......................................................................................... 1.25%
Massachusetts Investors Trust Series............................................................................ 1.25%
Research Series................................................................................................. N/A
Total Return Series............................................................................................. 1.25%
Utilities Series................................................................................................ N/A
</TABLE>
*The Management fee for the Capital Appreciation Series is 0.75% of the first $1
billion of average net assets, 0.675% of the average net assets of the next
$500 million and 0.65% of the average net assets in excess of $1.5 billion. The
Management fee for the Emerging Growth Series, Managed Sectors Series, Research
Series, Total Return Series and Utilities Series is 0.75% of the first $300
million of average net assets and 0.675% of the average net assets in excess of
$300 million. The Management fee for the Total Return Series is reduced to
0.60% of the average net assets in excess of $1 billion.
The advisory agreement with respect to the Global Growth Series permits the
adviser to engage one or more sub-advisers and the adviser has engaged Foreign &
Colonial Management Ltd. and Foreign & Colonial Emerging Markets Ltd., each an
England and Wales Company, to assist in the performance of its services.
The Trust pays no compensation directly to its Trustees or officers who are
affiliated with MFS or Sun Life Assurance Company of Canada (U.S.), all of whom
receive remuneration for their services to the Trust from MFS or Sun Life
Assurance Company of Canada. Certain officers and Trustees of the Trust are
officers or directors of MFS or Sun Life Assurance Company of Canada.
Administrator - The Trust has an administrative services agreement with MFS to
provide each Series with certain financial, legal, shareholder servicing,
compliance, and other administrative services. As a partial reimbursement for
the cost of providing these services, each Series pays MFS an administrative fee
at the following annual percentages of the Series' average daily net assets:
<TABLE>
<S> <C>
First $1 billion.................................................................................. 0.0150%
Next $1 billion................................................................................... 0.0125%
Next $1 billion................................................................................... 0.0100%
In excess of $3 billion........................................................................... 0.0000%
</TABLE>
(4) Portfolio Securities
Purchases and sales of investments, other than purchased option transactions and
short-term obligations, were as follows:
<TABLE>
<CAPTION>
Capital Emerging
Appreciation Growth
Series Series
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
Purchases
Investments (non-U.S. government securities).................................................... $ 469,528,083 $ 564,686,356
------------- -------------
------------- -------------
Sales
U.S. government securities...................................................................... $ 39,150,712 $ --
------------- -------------
------------- -------------
Investments (non-U.S. government securities).................................................... $ 562,572,782 $ 581,512,929
------------- -------------
------------- -------------
<CAPTION>
Global Managed
Growth Sectors
Series Series
<S> <C> <C>
- ------------------------------------------------------------------------------------------------
Purchases
Investments (non-U.S. government securities).................................................... $ 193,189,925 $ 626,390,691
------------- -------------
------------- -------------
Sales
U.S. government securities...................................................................... $ -- $ --
------------- -------------
------------- -------------
Investments (non-U.S. government securities).................................................... $ 207,585,544 $ 648,422,870
------------- -------------
------------- -------------
</TABLE>
<TABLE>
<CAPTION>
Massachusetts
Investors
Trust Research
Series Series
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
Purchases
U.S. government securities...................................................................... $ 6,231,569 $ 6,359,822
------------- -------------
------------- -------------
Investments (non-U.S. government securities).................................................... $ 812,106,975 $ 525,529,835
------------- -------------
------------- -------------
Sales
U.S. government securities...................................................................... $ 7,952,018 $ 25,457,268
------------- -------------
------------- -------------
Investments (non-U.S. government securities).................................................... $ 679,102,759 $ 483,641,515
------------- -------------
------------- -------------
<CAPTION>
Total
Return Utilities
Series Series
<S> <C> <C>
- ------------------------------------------------------------------------------------------------
Purchases
U.S. government securities...................................................................... $ 519,075,467 $ 10,822,119
------------- -------------
------------- -------------
Investments (non-U.S. government securities).................................................... $ 765,709,817 $ 209,165,640
------------- -------------
------------- -------------
Sales
U.S. government securities...................................................................... $ 456,986,085 $ 10,536,144
------------- -------------
------------- -------------
Investments (non-U.S. government securities).................................................... $ 849,125,106 $ 190,195,666
------------- -------------
------------- -------------
</TABLE>
53
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited) -- continued
The cost and unrealized appreciation and depreciation in the value of the
investments owned by each Series, as computed on a federal income tax basis, are
as follows:
<TABLE>
<CAPTION>
Capital Emerging
Appreciation Growth
Series Series
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Aggregate cost............................................................................... $ 1,240,803,550 $ 743,285,650
--------------- -------------
--------------- -------------
Gross unrealized appreciation................................................................ $ 551,888,862 $ 257,952,990
Gross unrealized depreciation................................................................ (23,230,191) (16,185,521)
--------------- -------------
Net unrealized appreciation.............................................................. $ 528,658,671 $ 241,767,469
--------------- -------------
--------------- -------------
<CAPTION>
Global Managed
Growth Sectors
Series Series
<S> <C> <C>
- ---------------------------------------------------------------------------------------------
Aggregate cost............................................................................... $ 273,764,239 $ 379,905,614
--------------- -------------
--------------- -------------
Gross unrealized appreciation................................................................ $ 70,774,043 $ 62,453,100
Gross unrealized depreciation................................................................ (9,430,125) (3,234,436)
--------------- -------------
Net unrealized appreciation.............................................................. $ 61,343,918 $ 59,218,664
--------------- -------------
--------------- -------------
</TABLE>
<TABLE>
<CAPTION>
Massachusetts
Investors
Trust Research
Series Series
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Aggregate cost............................................................................... $ 1,760,195,905 $ 924,078,638
--------------- -------------
--------------- -------------
Gross unrealized appreciation................................................................ $ 406,489,146 $ 257,296,547
Gross unrealized depreciation................................................................ (25,571,005) (15,294,903)
--------------- -------------
Net unrealized appreciation.............................................................. $ 380,918,141 $ 242,001,644
--------------- -------------
--------------- -------------
<CAPTION>
Total
Return Utilities
Series Series
<S> <C> <C>
- ---------------------------------------------------------------------------------------------
Aggregate cost............................................................................... $ 1,827,177,344 $ 303,340,529
--------------- -------------
--------------- -------------
Gross unrealized appreciation................................................................ $ 191,510,144 $ 29,600,392
Gross unrealized depreciation................................................................ (36,690,531) (10,968,802)
--------------- -------------
Net unrealized appreciation.............................................................. $ 154,819,613 $ 18,631,590
--------------- -------------
--------------- -------------
</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. Transactions in Series shares
were as follows:
<TABLE>
<CAPTION>
Capital Appreciation Series Emerging Growth Series
------------------------------------------------------- --------------------------
Six Months Ended Year Ended Six Months Ended
June 30, 1999 December 31, 1998 June 30, 1999
-------------------------- --------------------------- --------------------------
Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold............................. 3,308,728 $ 149,283,062 8,063,847 $ 327,203,188 4,428,949 $ 107,859,450
Shares issued to shareholders in
reinvestment of distributions......... 4,546,855 191,013,349 4,103,091 169,375,578 522,004 12,679,477
Shares reacquired....................... (5,212,971) (235,766,997) (7,651,295) (315,592,471) (2,808,015) (68,219,357)
---------- -------------- ----------- -------------- ---------- --------------
Net increase.......................... 2,642,612 $ 104,529,414 4,515,643 $ 180,986,295 2,142,938 $ 52,319,570
---------- -------------- ----------- -------------- ---------- --------------
---------- -------------- ----------- -------------- ---------- --------------
<CAPTION>
Year Ended
December 31, 1998
-------------------------
Shares Amount
<S> <C> <C>
- ----------------------------------------
Shares sold............................. 9,109,956 $ 179,855,917
Shares issued to shareholders in
reinvestment of distributions......... 974,798 19,671,422
Shares reacquired....................... (3,856,847) (75,044,871)
---------- -------------
Net increase.......................... 6,227,907 $ 124,482,468
---------- -------------
---------- -------------
</TABLE>
<TABLE>
<CAPTION>
Global Growth Series Managed Sectors Series
------------------------------------------------------- --------------------------
Six Months Ended Year Ended Six Months Ended
June 30, 1999 December 31, 1998 June 30, 1999
-------------------------- --------------------------- --------------------------
Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold............................. 773,320 $ 12,541,448 2,851,168 $ 43,338,836 1,083,336 $ 34,258,185
Shares issued to shareholders in
reinvestment of distributions......... 704,297 11,548,753 1,281,309 20,206,241 -- --
Shares reacquired....................... (1,498,333) (24,273,905) (3,594,142) (52,361,835) (1,540,526) (46,895,701)
---------- -------------- ----------- -------------- ---------- --------------
Net increase (decrease)............... (20,716) $ (183,704) 538,335 $ 11,183,242 (457,190) $ (12,637,516)
---------- -------------- ----------- -------------- ---------- --------------
---------- -------------- ----------- -------------- ---------- --------------
<CAPTION>
Year Ended
December 31, 1998
-------------------------
Shares Amount
<S> <C> <C>
- ----------------------------------------
Shares sold............................. 2,160,575 $ 59,341,560
Shares issued to shareholders in
reinvestment of distributions......... 1,872,964 53,791,547
Shares reacquired....................... (2,799,501) (75,634,669)
---------- -------------
Net increase (decrease)............... 1,234,038 $ 37,498,438
---------- -------------
---------- -------------
</TABLE>
<TABLE>
<CAPTION>
Massachusetts Investors Trust Series Research Series
------------------------------------------------------- --------------------------
Six Months Ended Year Ended Six Months Ended
June 30, 1999 December 31, 1998 June 30, 1999
-------------------------- --------------------------- --------------------------
Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Shares sold............................. 6,520,310 $ 246,947,885 13,386,792 $ 471,198,051 3,345,157 $ 77,871,890
Shares issued to shareholders in
reinvestment of distributions......... 4,121,745 152,875,540 2,883,270 101,692,939 1,522,097 35,358,306
Shares reacquired....................... (2,392,134) (90,230,069) (2,767,083) (94,714,987) (2,665,772) (62,010,204)
---------- -------------- ----------- -------------- ---------- --------------
Net increase.......................... 8,249,921 $ 309,593,356 13,502,979 $ 478,176,003 2,201,482 $ 51,219,992
---------- -------------- ----------- -------------- ---------- --------------
---------- -------------- ----------- -------------- ---------- --------------
<CAPTION>
Year Ended
December 31, 1998
-------------------------
Shares Amount
<S> <C> <C>
- ----------------------------------------
Shares sold............................. 9,806,685 $ 205,506,332
Shares issued to shareholders in
reinvestment of distributions......... 1,643,741 35,307,562
Shares reacquired....................... (3,020,830) (60,785,179)
---------- -------------
Net increase.......................... 8,429,596 $ 180,028,715
---------- -------------
---------- -------------
</TABLE>
<TABLE>
<CAPTION>
Total Return Series Utilities Series
-------------------------------------------------------- --------------------------
Six Months Ended Year Ended Six Months Ended
June 30, 1999 December 31, 1998 June 30, 1999
--------------------------- --------------------------- --------------------------
Shares Amount Shares Amount Shares Amount
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
Shares sold........................... 6,158,669 $ 126,530,710 12,042,006 $ 252,709,674 3,311,253 $ 55,783,222
Shares issued to shareholders in
reinvestment of distributions....... 14,903,203 287,631,830 9,818,758 200,597,386 1,909,923 30,921,663
Shares reacquired..................... (8,109,857) (166,761,381) (10,090,437) (209,007,170) (873,923) (14,847,763)
----------- -------------- ----------- -------------- ---------- --------------
Net increase........................ 12,952,015 $ 247,401,159 11,770,327 $ 244,299,890 4,347,253 $ 71,857,122
----------- -------------- ----------- -------------- ---------- --------------
----------- -------------- ----------- -------------- ---------- --------------
<CAPTION>
Year Ended
December 31, 1998
-------------------------
Shares Amount
<S> <C> <C>
- --------------------------------------
Shares sold........................... 5,319,794 $ 86,783,548
Shares issued to shareholders in
reinvestment of distributions....... 1,152,938 18,458,544
Shares reacquired..................... (722,188) (11,690,902)
---------- -------------
Net increase........................ 5,750,544 $ 93,551,190
---------- -------------
---------- -------------
</TABLE>
54
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited) -- continued
(6) Line of Credit
Each Series and other affiliated funds participate in an $820 million unsecured
line of credit provided by a syndication of banks under a line of credit
agreement. Borrowings may be made to temporarily finance the repurchase of
Series shares. Interest is charged to each Series, based on its borrowings, at a
rate equal to the bank's base rate. In addition, a commitment fee, based on the
average daily unused portion of the line of credit, is allocated among the
participating funds at the end of each quarter. The commitment fees allocated to
each Series for the six months ended June 30, 1999, are as follows:
<TABLE>
<CAPTION>
Commitment
Fee
<S> <C>
- ------------------------------------------------
Capital Appreciation Series............. $6,116
Emerging Growth Series.................. 154
Global Growth Series.................... 1,024
Managed Sectors Series.................. 1,388
Massachusetts Investors Trust Series.... 7,199
Research Series......................... 3,908
Total Return Series..................... 6,869
Utilities Series........................ 888
</TABLE>
Each Series and other affiliated funds also participate in a $20 million
uncommitted, unsecured line of credit provided by "the custodian" or "a
custodian bank" under a line of credit agreement. Borrowings may be made to
temporarily finance the purchase of securities, the redemption of shares, or
emergency expenses.
Each Series had no significant borrowings during the period.
(7) Financial Instruments
Certain Series of the Trust may trade financial instruments with
off-balance-sheet risk in the normal course of their investing activities in
order to manage exposure to market risks such as interest rates and foreign
currency exchange rates. These financial instruments include futures contracts.
The notional or contractual amounts of these instruments represent the
investment the Series has in particular classes of financial instruments and
does not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered. As of June 30,
1999, none of the Series had outstanding futures contracts.
(8) Restricted Securities
Each Series of the Trust is restricted from investing more than a certain amount
in securities which are subject to legal or contractual restrictions on resale.
Such restrictions range from between 0% and 15% of the Series' net assets. At
June 30, 1999, the Emerging Growth Series, Global Growth Series and Total Return
Series owned the following restricted securities (constituting 0.04%, 0.01% and
0.02% of the net assets of each Series, respectively) which may not be publicly
sold without registration under the Securities Act of 1933. The Series does not
have the right to demand that such securities be registered. The value of these
securities is determined by valuations furnished by dealers or by a pricing
service, or if not available, are valued at fair value as determined in good
faith by the Trustees.
<TABLE>
<CAPTION>
Date of Shares/Par
Series Description Acquisition Amount
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
Emerging Growth Series Talk.com, Inc. 9/20/95 32,600
Hong Leong Finance Ltd. 7/23/97 14,000
8/12/97
Global Growth Series International Business Communications Systems, Inc. 10/17/1995 12,600
Talk.com, Inc. 1/28/98 2,000
Total Return Series Merrill Lynch Mortgage Investors, Inc., 8.372s, 2002 6/22/94 514,000
<CAPTION>
Series Cost Value
<S> <C> <C>
- -------------------------------
Emerging Growth Series $ 814,230 $ 366,750
$ 38,464 $ 32,089
Global Growth Series 124,992 --
47,620 22,500
---------
$ 54,589
---------
---------
Total Return Series $ 356,266 $ 478,823
</TABLE>
----------------------------------------------------------------
THIS MFS-REGISTERED TRADEMARK-/SUN LIFE SERIES TRUST SEMIANNUAL REPORT IS
PREPARED FOR THE GENERAL INFORMATION OF CONTRACT OWNERS. IT IS AUTHORIZED FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS ONLY WHEN PRECEDED OR ACCOMPANIED BY THE
CURRENT PROSPECTUS.
55
<PAGE>
MFS' YEAR 2000 READINESS DISCLOSURE
MFS Investment Management-Registered Trademark-, as an investment
adviser and on behalf of the MFS portfolios, is committed to the
effective use of technology in managing our portfolio investments,
delivering high-quality service to MFS shareholders and contract
owners, retirement plan participants, and MFS' institutional
clients, and supporting the financial advisers who sell our
products. With that in mind, we created a separately funded Year
2000 Program Management Office in 1996 composed of a specialized
staff reporting directly to MFS senior management.
The Year 2000 (Y2K) problem arises because calendar-year fields in
computers and software applications traditionally have used
two-digit codes so that, for example, the year 1998 is coded as
"98," with the "19" being implied. In the year 2000, unless
necessary corrections have been made, computer applications may
assume "00" refers to 1900 rather than 2000, thus resulting in
systems failures or miscalculations. To address this issue, our
team of dedicated business and technology managers, working with
outside experts, is taking steps to ascertain the Y2K readiness of
MFS' internal systems and is working with our external systems
vendors to determine whether they expect their systems to be
ready.
MFS recognizes that fund shareholders, contract owners and
institutional clients also are concerned about whether the
companies whose securities are held in their portfolios are
addressing Y2K issues. As part of the MFS-Registered Trademark-
Original Research-SM- process of evaluating portfolio investments,
one of the many relevant factors that MFS' portfolio managers and
research analysts may consider is a company's Y2K readiness. Each
year, MFS' research analysts and portfolio managers conduct more
than 1,000 on-site meetings with companies whose securities are,
or may be, held in fund and client portfolios, and host an
additional 1,500 meetings at MFS' headquarters. When assessing the
Y2K readiness of these companies, MFS' research analysts and
portfolio managers may rely upon discussions at these meetings as
well as SEC disclosure documents and third-party reports.
Y2K readiness is an enormously complex, worldwide issue. No
company or institution can guarantee that it will be unaffected by
the Y2K issue. While MFS is taking significant steps to protect
the integrity of its internal systems, there can be no assurance
that these steps will be sufficient to avoid any adverse impact on
MFS, shareholders of MFS funds, participants in retirement plans
administered by MFS, or MFS' institutional clients.
If you have further questions regarding MFS' Year 2000 Readiness
Program, please visit our Web site at www.mfs.com or contact the
MFS Year 2000 Program Management Office by e-mail at [email protected]
or by letter at 500 Boylston Street, Boston, MA 02116-3741.
56
<PAGE>
YEAR 2000 READINESS DISCLOSURE
[LOGO]
The potential hazard of computers having difficulty dealing with
the year 2000 has been widely reported in the media. Essentially,
the "Y2K" problem stems from some computer software being written
in a way that will handle only two digits of a year rather than
the full four digits. This becomes a problem when 2000 is
perceived as simply "00", with the result that the computer
software interprets the date as 1900 rather than 2000.
Sun Life began working on this problem in 1995 when a Company
strategy for dealing with the issue was approved by systems
management. It was apparent that effective support from senior
management was a key component to successfully correcting Sun
Life's systems. For this reason, in early 1996 Sun Life's Chairman
and CEO delivered a clear mandate to make Y2K a top priority.
Since that time project teams have inventoried and assessed nearly
2000 systems around the Company.
The vast majority of Sun Life's systems have already been tested,
and, based on these tests, have been certified as compliant. The
relatively few remaining systems will be certified compliant
during the course of 1999. Even though relatively few Y2K bugs
were actually found during analysis, it has been Sun Life's policy
to test every system before it can be certified as compliant. The
price tag for this massive project has been steep -- over $100
million (Cdn). However, we consider the money well spent when it
means that Sun Life can move into the year 2000 and beyond
confident that our systems will support Sun Life's position as a
leader in the financial services industry.
THE PRECEDING IS A YEAR 2000 READINESS DISCLOSURE PURSUANT TO THE
YEAR 2000 READINESS DISCLOSURE ACT ENACTED BY THE UNITED STATES
CONGRESS ON OCTOBER 19, 1998.
<PAGE>
MFS-REGISTERED TRADEMARK-/SUN LIFE SERIES TRUST
500 Boylston Street, Boston, MA 02116-3741
TRUSTEES
JOHN D. McNEIL*, Chairman, President and Trustee
FORMER CHAIRMAN, Sun Life Assurance Company of Canada,
Toronto, Ontario, Canada
SAMUEL ADAMS, Trustee
PARTNER, Warner & Stackpole,
Boston, Massachusetts
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, The Provident Institution for Savings,
Boston, Massachusetts
DERWYN F. PHILLIPS, Trustee
FORMER VICE CHAIRMAN, The Gillette Company,
Marblehead, Massachusetts
WILLIAM R. GUTOW, Trustee
VICE CHAIRMAN, Capitol Entertainment Management Company;
PRIVATE INVESTOR AND REAL ESTATE CONSULTANT,
Dallas, Texas
J. KERMIT BIRCHFIELD, Trustee
CONSULTANT; CHAIRMAN, Display Technology, Inc.;
MANAGING DIRECTOR, Century Partners, Inc.,
Gloucester, Massachusetts
OFFICERS+
JAMES R. BORDEWICK, Jr., ASSISTANT SECRETARY
MARK E. BRADLEY, ASSISTANT TREASURER
STEPHEN E. CAVAN, SECRETARY AND CLERK
W. THOMAS LONDON, TREASURER
ELLEN MOYNIHAN, ASSISTANT TREASURER
JAMES O. YOST, ASSISTANT TREASURER
INVESTMENT ADVISER
Massachusetts Financial Services Company
500 Boylston Street, Boston, MA 02116-3741
CUSTODIAN AND DIVIDEND DISBURSING AGENT
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110-2875
PORTFOLIO MANAGERS+
JEAN ALESSANDRO
DAVID A. ANTONELLI
JOHN W. BALLEN
ARNAB KUMAR BANERJI
STEPHEN C. BRYANT
DAVID M. CALABRO
JEFFREY CHOWDHRY
MITCHELL D. DYNAN
JOSEPH C. FLAHERTY, JR.
GEOFFREY L. KURINSKY
JOHN D. LAUPHEIMER, JR.
DAVID R. MANNHEIM
PAUL M. McMAHON
STEVEN E. NOTHERN
LISA B. NURME
STEPHEN PESEK
BERNARD A. SCOZZAFAVA
MAURA A. SHAUGHNESSY
TONI Y. SHIMURA
FREDERICK J. SIMMONS
BRIAN E. STACK
*Affiliated with the Sponsor.
+Affiliated with the Investment Adviser. SUN-3B 8/99 188M
