[MFS LOGO] MFS [RegTM]/Sun Life Series Trust
ANNUAL REPORT o December 31, 1998
Capital Appreciation Series
Conservative Growth Series
Emerging Growth Series
Managed Sectors Series
Research Series
Total Return Series
Utilities Series
World Growth Series
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MFS Celebrates its Diamond Anniversary!
March 21, 1999, marks the 75th anniversary of
MFS' invention of the mutual fund. The mutual
fund industry has brought the power of investing
to every American, offering them the opportunity
for college degrees, home ownership, and
comfortable retirement. Imagine today's world
without mutual funds. We [MFS75 years Logo]
couldn't. And while the years
ahead will bring a number
of challenges, our 75 years
of experience will help
guide a new generation of
investors into the future.
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NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
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Letter from the Chairman
Dear Contract Owners,
In 1999, MFS celebrates its 75th anniversary. The nation's first mutual fund --
our Massachusetts Investors Trust (MIT) -- was introduced to the public on
March 21, 1924. Since then, MFS Investment Management[RegTM], the company that
grew out of that original fund, has helped guide investors through many
economic and investment cycles, primarily by focusing on the long-term
opportunities created by an expanding global economy. As of December 31, 1998,
MFS manages nearly $100 billion, and the firm's 2,000 people serve almost four
million investors and their financial advisers worldwide.
One of the elements in the success of MIT did not exist before our founders
invented it in 1924. That is daily redemption. This feature, through which new
shares were created when people invested in MIT and were redeemed when people
sold, was an important change. As a result, the price of a mutual fund's shares
wasn't determined by supply and demand, but by the value of the securities
owned by the portfolio.
Another factor in our growth was the development of one of the industry's first
internal research departments in 1932. Unlike companies that rely on Wall
Street research reports, which can be used by many investors at the same time,
MIT's managers built its long-term track record by visiting companies, talking
to managers and competitors, and "kicking the tires" so they could judge the
quality and potential of each company's products and services for themselves.
Today, MFS has more than 100 full-time portfolio managers, stock analysts, and
credit analysts who track the equity and bond markets. That number includes
over 35 equity analysts who specialize in industries such as aviation, media,
technology, automobiles, and utilities.
While MIT introduced the daily redemption feature, that was not our only
invention. We also established the nation's first global bond fund, the first
high-yield municipal bond fund, and the first high-yield municipal closed-end
bond fund. MFS also was among the leaders in the mutual fund industry in
introducing variable annuity accounts.
We are proud of the record of MIT and of all the products offered by MFS, but
we are also proud of our long-standing relationship with financial advisers.
Not only do we believe investors can benefit from the advice of these experts
but, as was shown during the market volatility of 1998, people who work with
financial advisers are less likely to abandon their carefully designed, long-
term investment strategies.
Our ability to service your investment and information needs is also extremely
important to us. The Sun Life Annuity Service Center handles millions of
transactions and phone calls every year. Supporting the work of financial
advisers, promptly sending out statements and confirmations, and answering
hundreds of investors' questions every day are crucial elements in maintaining
long-term relationships with our contract owners.
If there is a common thread running through these milestones, it is our
unswerving commitment to providing you with the best possible investment
management and contract owner service, just as we have done for the past 75
years.
As we celebrate this anniversary, it is also a time for MFS to look ahead and
build on our 75 years of innovation and experience to help meet your investment
needs in the next century. We appreciate your confidence and welcome any
questions or comments you may have.
On behalf of the Board of Trustees,
/s/ John D. McNeil
John D. McNeil
Chairman
Board of Trustees
January 15, 1999
Management Review and Outlook
Capital Appreciation Series
For the 12 months ended December 31, 1998, the Series provided a total return
of 28.70%, which compares to a 28.58% 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.
The Series' strong performance can be attributed to some of our major
weightings performing very well, particularly technology sector holdings such
as Microsoft, Cisco, Intel, and EMC. These companies have been able to leverage
the worldwide drive toward higher productivity and lower cost structures that
are predominantly enabled by technology. This trend is apparent in industries
around the world and is a result of the current low-inflation scenario.
Companies are compensating for the inability to boost revenues through price
increases by turning to cost reduction and productivity enhancement as a means
of keeping earnings healthy. In Cisco's case, the company provides much of the
communications equipment that is the backbone of the Internet, and it has
benefited from the explosion of interest in the 'Net.
Additionally, holdings in our leisure sector such as Time Warner and Viacom
performed well, driven by their ability to fill the need for cable programming
and operations services as that medium expands. Radio broadcasters such as
Jacor, Clear Channel, and Heftel also performed well in the wake of major
consolidation in the industry. Consolidation has enabled broadcasters to offer
comprehensive packages to potential advertisers that are more compelling than
several small individual advertising buys covering one market. Additionally,
advertisers are aware that radio allows them to reach more consumers than other
electronic media thanks to that medium's high rate of out-of-home usage.
Retailers such as CVS and Rite Aid have performed well, buoyed both by
consolidation in the industry and favorable demographics that have resulted in
increased prescription volume as the population ages.
Even in a strong year, individual stocks can disappoint. Among our large
holdings that did not perform up to our expectations was Cendant, which had
difficulty due to accounting fraud in a company that it acquired. Though the
stock has rallied somewhat, it is still down for the year. We still like the
company's business model, however, and look forward to an increased share price
in the near future. Computer Associates missed its earnings estimates earlier
in the year and suffered as a result, though we feel the company is
fundamentally sound and is worthy of our confidence long term. Gillette was
working its way through a product transition from its old shaving system to its
new triple-blade shaving product. As it was clearing old inventory, the Asian
economic crisis came to a head and hurt the company's earnings as a result of
reduced demand from those nations.
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Management Review and Outlook -- continued
With regard to the turmoil in Asian markets during the year, the portfolio
didn't have a lot of direct Asian exposure. During the U.S. market correction
in September and October, some of which was the result of weakness in the Asian
economies, we took the opportunity to add to technology holdings that still
displayed solid fundamentals, that could take advantage of the world's
increased reliance on technology, and that we felt would rebound once the worst
was over. Some of these names included Compuware, DST Systems, Galileo
International, and Oracle.
We lightened the portfolio's exposure to industrial goods and basic materials
because we felt those industries were in the process of a minirecession of
their own and were not as resilient as technology stocks in the current
environment. We also increased our health care holdings and added some of the
major pharmaceutical stocks because, though expensive, they offer strong
fundamentals and good earnings growth prospects.
We like to look at the current environment in the same way that we look at a
potential investment. This entails factors such as earnings growth, management
quality, secular economic trends, cash flow generation, and valuations. In
light of those factors, we think that gross domestic product (GDP) may grow on
the order of 2.5%, while inflation will remain low, at about 1.5%. Therefore,
we expect to see moderate growth. Many American companies that are global
leaders should continue to grow revenues and earnings as they consolidate their
leadership positions and leverage secular trends. One concern here is that
valuations in the market are fairly high as the result of significant amounts
of liquidity that were pumped into the economy from interest-rate cuts around
the world and a flight from international markets to U.S. equities. However, we
think we're closer to achieving stability in the next few months, which means
that valuations may level off as investors pay closer attention to earnings
growth. In general, we think investors should expect more moderate performance
from the stock market in the future. For our part, we will continue to focus on
companies that we believe can deliver the best earnings growth at the best
prices and generate strong cash flow.
Conservative Growth Series
For the 12 months ended December 31, 1998, the Series provided a total return
of 23.85%, which compares to a 28.58% return for the S&P 500.
The past year has been quite a wild one in the equity market, with a strong
first half followed by a warning correction in the late summer and early fall
and, finally, a strong fourth quarter. Through that volatility, the Series has
done well.
In the course of the year, we reduced a large overweighting in financial
services by about 10% because we believe that the credit trends, cost cutting,
and consolidation that have made many of those stocks attractive have run their
course. In the current low inflation, low interest rate economic environment,
we view stocks' valuations as less important than companies' abilities to
deliver consistent and reliable earnings. Therefore, the assets taken from the
financial services reductions were used to boost our holdings in technology and
health care stocks that we feel offer the type of earnings reliability this
market requires. Examples of these stocks include Microsoft and IBM in
technology and Pfizer and American Home Products in health care and
pharmaceuticals.
We believe that our research-focused investment discipline has helped us in
discerning which companies' earnings are intact and growing consistently. An
interesting example of our investment style can be found in our IBM holding.
IBM is a company that is known primarily as a hardware company but, in reality,
about 50% of its income comes from services and software. That's important
because hardware is a high-volatility, low-margin business that often carries a
high price-to-earnings ratio. Software and services represent the opposite type
of business -- low volatility, high margin -- and can generate steadier revenue
streams. When we started buying IBM earlier this year, its mid-teens multiple
reflected a hardware company, not a full-service technology provider. In
addition, the company had very solid cash flow and good earnings, and it was
engaged in a major stock buyback program, which we believe is good for
investors. In all, IBM is a perfect stock for the portfolio. It is a large-cap,
blue-chip company with shareholder-friendly management, it has a stock price
that we deem a value because it reflects only a portion of its business, and it
has been paying a dividend. A further boost to IBM's attractiveness is that the
company is at the beginning of a major hardware product cycle. Our investment
here has paid off handsomely thus far.
Looking ahead, we are predicting slower earnings growth for domestic equities
in 1999, as well as low inflation and low interest rates. The environment
dictates that we pay close attention to earnings consistency and reliability,
so we do not intend to modify our fundamental method for selecting stocks. Our
discipline and our research focus have proved to be sound, and we believe our
approach will continue to work in the future.
Emerging Growth Series
For the 12 months ended December 31, 1998, the Series provided a total return
of 33.88%. This compares to a -2.55% return for the Russell 2000 Total Return
Index (the Russell 2000) and to a 28.58% 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 past year was a volatile one. While the U.S. economy appeared to be in good
shape, helped by nonexistent inflation and several easings of interest rates by
the Federal Reserve Board (the Fed), the rest of the world continued to be hurt
by the Asian contagion of slow growth and devaluation. The uncertainty in
global markets and the prospect for a deceleration in U.S. economic growth thus
increased the appeal of liquidity and of companies whose businesses were less
subject to the vagaries of international economies. As a result, the
mid-capitalization companies in the Series performed better than the
portfolio's larger holdings, as did companies that had little overseas
exposure.
The Series continued to benefit from strong performance in technology, its
largest sector and one in which earnings were surprisingly robust despite
issues relating to Asia. Stocks that contributed to performance included
Compuware, Cisco Systems, Microsoft, Oracle, and Sun Microsystems, all of whose
products were in solid demand by corporations seeking enhanced productivity.
Deregulation and the rapid growth of data services in the telecommunications
industry boosted the value of holdings such as MCI WorldCom and Global
Telesystems, and consumer demand was more vibrant than expected. This helped
successful specialty retailers such as Staples and Office Depot and also
provided a positive backdrop for food and drug retailing companies such as Rite
Aid and Fred Meyer, holdings whose strong pharmacy sales helped storewide
performance.
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Management Review and Outlook -- continued
There were a few areas that did not do as well as we had hoped. Cendant, the
company created by the merger of HFS and CUC International, suffered because of
accounting irregularities at the former CUC. We think that a major
restructuring and refocusing of core businesses scheduled for 1999, combined
with a multimillion-dollar share buyback program, should help that company
improve its performance. Health maintenance organizations also disappointed due
to an imbalance between costs and pricing. We believe improved pricing and the
reduction of unprofitable businesses should help these companies in 1999.
Looking forward, we believe the fundamental outlook for emerging growth stocks
remains positive. We continue to think that we are at the beginning of a
slowdown in profit growth for many of the large-cap multinational companies
that make up the broad market averages. This is a positive for emerging growth
stocks, as we feel they should be able to grow faster than the overall economy.
Moreover, inflation and interest rates are both low, which provides a favorable
backdrop for valuations of emerging growth stocks.
Given this outlook, technology continues to be a key area of emphasis for the
Series since we think that software, networking, and telecommunications
equipment companies are likely to generate some of the strongest earnings
growth in the market. Another area that offers great promise is
telecommunications services, a sector in which mergers and the strong growth of
data transmissions are enhancing valuations. In our view, the companies that
can grow the fastest will be well rewarded by the marketplace. Thus, we believe
our strategy of searching out rapidly growing companies at reasonable prices
should benefit investors in 1999.
Managed Sectors Series
For the 12 months ended December 31, 1998, the Series provided a total return
of 12.25%, compared to a return of 28.58% for the S&P 500 and a 19.98% return
for the Lipper Capital Appreciation Fund Index. (The Lipper Mutual Fund indices
are unmanaged, net-asset-value weighted indices of the largest qualifying
mutual funds within their respective investment objectives, adjusted for the
reinvestment of capital gain distributions and income dividends.)
The past year was a volatile one in which performance was very selective. While
the U.S. economy appeared to be in good shape, helped by nonexistent inflation
and several easings of interest rates by the Fed, the rest of the world
continued to be hurt by the Asian contagion of slowing growth and devaluation.
The uncertainty in global markets and the prospect for a deceleration of U.S.
economic growth thus increased the appeal of liquidity, of companies with good
earnings growth, and of companies less subject to the vagaries of international
economies. As a result, larger-capitalization, consistent-growth companies and
those with little exposure to foreign economies contributed to performance. In
contrast, our small- and mid-cap holdings, as well as companies that depend on
global economic expansion, detracted from results.
More specifically, our holdings in energy and health care held back
performance. Energy stocks lagged because of softness in commodity prices.
Health care services were under pressure due to regulatory concerns and pricing
pressure from health maintenance organizations (HMOs). On a brighter note, our
specialty retail holdings in the food and drug industry performed well thanks
to continued industry consolidation and strong sales trends driven by solid
pharmaceutical sales. In addition, our holdings in technology, primarily
software, helped significantly, with strong appreciation in many of the leading
companies such as Microsoft, EMC, and Cisco Systems. Tyco International, the
Series' largest holding, was also a solid contributor as a result of
better-than-expected earnings results and good acquisitions.
We believe the coming year is likely to be one of change, much as 1998 was.
There are numerous questions. Will the U.S. and global economies go into
recession or accelerate as a result of the strong support on interest rates
provided by the Fed and the world's central banks? After several years of
above-average earnings growth, will unit growth be hard for companies to
achieve? Will deflation become a problem? All things considered, we believe
strong growth will be highly valued by investors in a world in which growth is
potentially scarcer. Thus, we have repositioned the portfolio with a focus on
finding companies that we believe can deliver superior relative earnings
growth. One way we can do this is by searching out companies with strong
franchises in high growth markets. As a result, technology is a key focus for
the Series. We are invested in software, networking, electronics, and
telecommunications service companies that are benefiting from the growth of the
Internet and the demand for more and faster communications. In health care, our
emphasis has shifted to companies that we believe can deliver technology-driven
unit growth -- both in devices and in the emerging pharmaceutical/biotechnology
fields. Successful specialty retailers that can find strategies that work well
and build on them will also have a place in the Series in 1999.
Looking forward, we believe the fundamental outlook for rapidly growing
companies remains positive. We continue to think that we are at the beginning
of a slowdown in profit growth for many of the large-cap multinational
companies. We think this is a positive for many of the smaller, rapidly growing
companies that should be able to grow faster than the broad market. Moreover,
inflation and interest rates are both low, a scenario that favors valuations of
rapidly growing companies.
Research Series
For the 12 months ended December 31, 1998, the Series provided a total return
of 23.61%, compared to a 28.58% return for the S&P 500.
Regarding the underperformance of the Series in comparison to the S&P 500, it
pays to bear in mind that this portfolio is truly a "best ideas" portfolio that
invests in what we feel are strong stocks regardless of their market
capitalizations or industry sectors. The roller-coaster ride that the market
has been on in the past few months has been driven by a narrow band of large-
capitalization, multinational companies, while the portfolio has significant
holdings in small- and mid-cap stocks. As a result, this portfolio does not
move in lock-step with the S&P 500, and we feel this flexibility will better
position the portfolio for long-term growth as the valuation gap between large
and small companies closes. We manage the portfolio through MFS[RegTM] Original
Research(SM), whereby we select companies that we feel can demonstrate earnings
growth in a variety of market conditions. This approach is very important in a
market such as this one in which we see few companies with the ability to raise
prices on their products.
While volatility bothers some investors, we believe it has created some
compelling bargains for what we feel are fundamentally sound companies. We
tried to take advantage of these during the market's downturn and added to
positions that had shown
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Management Review and Outlook -- continued
weaker stock prices, but still demonstrated a sound fundamental outlook. Now,
with share prices rebounding across market capitalizations, we are paying
additional attention to companies' valuations. If we find instances of
valuations that are not supported by stocks' fundamentals, we will pare back
our positions in order to preserve gains for investors.
Two of our best ideas are MCI WorldCom and Lucent Technologies, both of which
are benefiting from the growth in demand for data communications products. We
believe MCI WorldCom has achieved the best strategic position in the industry
by focusing on the business market, which is the fastest-growing and most-
profitable segment of the data communications and Internet arena. It is also
expanding internationally and has been successfully taking market share from
larger, more-entrenched European telecommunications companies, many of which
were formerly nationalized industries. MCI is following the same
entrepreneurial model in Europe that it did in the United States, where it had
similar success in competition with AT&T. Finally, we feel the stock's current
valuation, or the ratio of its share price to its projected earnings, is
attractive at 22 times 1999 earnings estimates. Lucent Technologies is the
leading telecommunications equipment supplier in the United States. It
continues to benefit from increased capital spending, as telecommunications
companies such as MCI WorldCom and AT&T spend to accommodate the growth in data
and Internet traffic. Lucent is also increasing its market share overseas.
Though the stock is not inexpensive at 40 times its estimated 1999 earnings
growth, we believe that its strong growth justifies its valuation.
We continue to be overweighted in growth areas such as technology, health care,
and consumer staples. In technology the Series features Microsoft, our largest
holding, Cisco, Intel, and Oracle. We see positive prospects for continued
earnings growth in these companies as the world's corporations continue to
leverage all types of technology to reduce costs and boost productivity. In
health care, our weightings have changed little from one year ago and include
major pharmaceutical companies such as Pfizer, American Home Products, and
Bristol-Myers Squibb, all of which have strong product pipelines and should
benefit from the worldwide trend toward increased prescription volume. We also
have large holdings in consumer staples companies such as Colgate Palmolive and
Clorox, both of which we see as benefiting from continued consumer confidence
in a growing economy.
On the flip side, we are underweighted in a number of cyclical and
commodity-driven industries such as oil, chemical, and paper and forest
products. We see these industries suffering from pricing pressures that have
hurt their ability to generate consistent earnings growth.
MFS' commitment to research has not wavered since the company's inception in
1924. However, it's fair to say that the process has evolved. In 1924, MFS had
virtually no dedicated analysts. Portfolio managers did their own research and
made the investment decisions, and that heritage of informed stock selection is
deeply ingrained in our corporate culture. We started our internal research
department in 1932, and today we have a large global team of analysts who
examine individual companies firsthand by meeting with company managements,
interviewing customers, quizzing suppliers, and evaluating new products. This
experience is important in building our track record, as seasoned MFS
investment professionals pass along their knowledge and the corporate culture
to new analysts.
Total Return Series
For the 12 months ended December 31, 1998, the Series provided a total return of
11.71%, compared to returns of 28.58% for the S&P 500 and 9.49% 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.
The Series benefited from both a strong equity and bond market in 1998, despite
some volatility. Equity returns varied widely based on "style." For example,
the unmanaged Russell 1000 Large-Capitalization Value Index increased 15.6%,
while the Russell 1000 Large-Capitalization Growth Index appreciated 38.7%. As
"value" managers, we focus more on financial services, basic industry, and
energy and utilities companies, while growth managers are more focused on
technology and health care companies. Although we had many stocks appreciate
dramatically in 1998, it was the technology and health care sectors that led
the market to new heights, groups that we have historically underweighted.
On the fixed-income side, U.S. Treasuries performed much better than corporate
debt. As economic and political turmoil spread throughout the Far East and
Latin America during 1998, there was a "flight to safety" that pushed up prices
on U.S. Treasuries. At the same time, bonds issued by U.S. corporations did not
keep pace because investors feared that corporate earnings would be hampered by
these global problems. As the Series tends to hold more corporate bonds than
Treasuries, our returns on the fixed-income side were strong but did not match
the returns of an "all-Treasuries" portfolio.
At the end of the year, the Series' allocation consisted of 58% in equities
(including convertible securities), 36% in bonds, and 6% in cash. This
allocation is consistent with prior years and is somewhat conservative. We
continue to have difficulty finding value in the equity markets because
price-to-earnings ratios are very high and dividend yields are at historical
lows. However, we do believe the insurance and the utilities and communications
sectors offer good risk/reward ratios, and we have major allocations in those
sectors.
Our goal for the coming year is to follow through with our value-oriented
style. We believe that our conservative stance offers the potential for good
returns should the equity and bond markets rise, while our balanced approach
can offer support should these markets undergo a correction.
Utilities Series
For the 12 months ended December 31, 1998, the Series provided a total return
of 17.54%. This compares to a 14.77% return for the Standard & Poor's Utilities
Index, an unmanaged, market-capitalization-weighted, total return index of all
utility stocks in the S&P 500.
Because of the market's volatility in 1998, there was a huge defensive move
into the utility sector, predominantly into large-cap, traditional electric
utility stocks, which are perceived to be high-quality investments. Investors,
many of whom probably had never owned utility stocks before, flooded the market
for large-cap electric utilities. In a twist on utility stocks' traditional
reputation as staid, surefooted investments, the sector became almost a
momentum play during the late summer as investors rushed to take advantage of
its surging performance. Among large-cap electric utilities, valuations were
stretched to unsupportable levels, which we believe reflected a lack of
critical analysis of the
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Management Review and Outlook -- continued
stocks' fundamentals and more of a reaction based on fear. We believe this
surge may be running its course, and we are moving some of our electric
utilities assets into telecommunications stocks that we feel can support
stronger earnings growth.
At the same time, natural gas stocks underperformed, for a couple of reasons.
First, the unseasonably warm winter and spring of the past year depressed
demand and, second, low natural gas liquids commodity prices, coupled with
static processing, hurt earnings. However, this portfolio's focus is
predominantly on mid-cap stocks diversified across the utility spectrum. So
while we may not have benefited from the full surge in electric utilities, we
feel we have a broad portfolio of quality companies with high-quality
management teams and healthy earnings outlooks that have the ability to perform
well over the long term.
During the past year we have seen good performance from several of our
holdings. Mannesmann, a German telecommunications company, has performed well
thanks to its leadership position in the European wireless communications
market. The company, along with Olivetti, is part of an acquisition bid for
Cellular Communications International (CCIL), an American cellular phone
operator with substantial assets in Italy. CCIL's stock has been a strong
performer too, and we believe the combined entity will be a leader in the
rapidly expanding Italian telecommunications market.
PECO Energy, an electric utility based in Philadelphia, is also up strongly
this year thanks to good earnings growth and its ongoing successful transition
from a traditional regional electric utility to a national wholesale power
distributor. Endesa SA, a Spanish electric utility, has performed well as a
result of extensive restructuring in the Spanish electric industry and lower
interest rates in Europe.
Consolidation, particularly among the gas and electric utilities, has been an
underlying theme in the utilities market. At the moment, however, that frontier
is quiet, and we've been disappointed in the small number of deals announced in
1998. We've seen a few nice ones, such as an interesting gas/electric
combination between CMS Energy, an electric utility, and Duke Energy, which
sold its gas pipelines to CMS. But we haven't seen the big pairings that we saw
a couple of years ago, for two reasons. First, deregulation and restructuring
at the state level are still ongoing, and companies are waiting for the effects
of those trends to fully shake out before linking with other utilities. Second,
the Public Utility Holding Company Act is still a stumbling block to
consolidation. Interestingly, we have also seen some international deals that
have not come to fruition due to regulatory, economic, and cultural issues.
Looking ahead at the global utility market in 1999, we still see a number of
opportunities in Latin America that are relatively well insulated from the
region's macroeconomic problems. The Series has currently invested roughly 6%
of assets in Latin American utilities. In Asia, stock valuations are just not
attractive now. In Europe, utility stocks in northern Europe are getting
expensive, but we're seeing lots of opportunities in southern Europe,
especially in Italian and Greek telecommunications stocks and in Spanish
electric utilities. In the United States, we're finding the best values in
natural gas companies. We think their ability to snap back to robust earnings
growth in 1999 will be key to their share price performance in the future.
World Growth Series
For the 12 months ended December 31, 1998, the Series provided a total return
of 14.61%, compared to a 21.72% return for the Morgan Stanley Capital
International (MSCI) All Country World Index, a broad, unmanaged index of
global equities; a -2.55% return for the Russell 2000 Total Return Index (the
Russell 2000), an unmanaged index comprised of 2,000 of the smallest U.S.-
domiciled company common stocks that are traded on the New York Stock Exchange,
the American Stock Exchange, and NASDAQ; and a 28.58% return for the S&P 500.
The Series' performance was helped by its overweightings in U.S. technology and
European stocks and an underweighting in Japanese companies. However, this
performance was offset by an overweighting in the emerging markets, which were
abysmal performers across the board. Without a doubt, the disruption created by
Asia's economic problems was the single most important factor affecting global
markets during this period. Concerns surrounding Asia spread swiftly to Russia,
Latin America, and emerging Europe, resulting in widespread currency
devaluations, high interest rates, and slowing local economies. This, in turn,
dampened the profit outlook for some of our technology and large-cap
multinational companies with exposure to Asia and Russia. On a more positive
note, the United States and Europe have embarked on what appears to be the
beginning of a concerted effort to reduce interest rates. This should help
sustain growth in the United States and Europe, which in turn should fuel a
recovery in the emerging markets.
The United States remains one of the Series' primary markets because of low
inflation, low and declining interest rates, reasonably good economic growth,
and high corporate profits. We continue to emphasize U.S. technology, primarily
software, a sector in which the leading database, design automation, and
mainframe software companies such as BMC Software and Compuware are helping
corporations worldwide increase productivity. Another area we believe offers
solid potential is food and drug retailing, a sector in which companies are
benefiting from industry consolidation and strong pharmaceutical drug trends.
We also own a number of companies in the emerging telecommunications area, such
as MCI WorldCom and Global Telesystems, both of which are positioned to benefit
from global deregulation and increasing competition. We continue to add to our
positions in oil services and exploration. If global growth picks up in late
1999 or early 2000, we believe these stocks could perform well.
Meanwhile, we believe Europe offers the most opportunity of the developed
markets. European monetary union, which goes into effect in 1999, should be a
real positive for the region, which broadly speaking is at an earlier stage in
the economic cycle than the United States. Favorite countries include the
Netherlands, Italy, and Sweden. Compared to a year ago, the allocation to
Europe has increased because we've found companies there with more compelling
valuations than those in the United States. We're also finding more attractive
ideas in Japan. In general, we're looking for companies that we feel can
generate 15% or better annual growth at reasonable valuations. We've found
quite a few of these among consumer staples companies in Europe and the
export-oriented technology companies in Japan.
Some of the Series' better-performing holdings include software and networking
companies such as Compuware, BMC Software, and Cisco, all of which held up well
despite weakness among Asian customers. In Europe, financial stocks such as
Allied Irish Banks and Anglo Irish Bank contributed handsomely thanks to
earnings driven by strong local economies and a favorable interest-rate
environment.
We see better times ahead. Global markets should be helped by the concerted
action of the Fed and the Group of Seven major
5
<PAGE>
Management Review and Outlook -- continued
industrialized nations, or the G7, to lower interest rates and keep the United
States and Europe on a growth track. We believe this should help the emerging
markets move toward recovery. We think there will be many fits and starts to
this recovery, so our strategy in the emerging markets is to invest in
companies and countries that we feel are positioned to come out of recession
quickly. In the United States, our focus is on companies that can generate
high-quality visible growth and those likely to benefit from a recovery in
overseas markets. In Europe and Japan, we will continue to focus on companies
generating 15% growth trading at what we view as attractive valuations.
----------------------------------------------
The opinions expressed in this report are those of the portfolio managers and
are only through the end of the period of the report as stated on the cover.
The managers' views are subject to change at any time based on market and other
conditions, and no forecasts can be guaranteed.
These portfolios are actively managed, and current holdings may be different.
6
<PAGE>
Performance Summary
The information below and on the following pages illustrates the growth of a
hypothetical $10,000 investment for each Series during the period indicated.
Benchmark comparisons are unmanaged and do not reflect any fees or expenses.
It is not possible to invest directly in an index. Series results do not
reflect the deduction of separate account charges. (See Notes to Performance
Summary for more information.)
Capital Appreciation Series
(For the 10-year period ended December 31, 1998)
[LINE CHART]
<TABLE>
<CAPTION>
Capital S&P 500 Consumer
Appreciation Composite Price
Series Index Index--U.S.
<S> <C> <C> <C>
12/88 10000 10000 10000
12/90 13268 12760 11104
12/92 21246 17915 11772
12/94 24167 19982 12423
12/96 39475 33802 13162
12/98 62556 57961 13627
</TABLE>
Average Annual Total Returns
as of December 31, 1998
<TABLE>
<CAPTION>
1 Year 3 Years 5 Years 10 Years/Life
-------- --------- --------- -------------
<S> <C> <C> <C> <C>
Capital Appreciation Series +28.70% +24.40% +20.07% +20.12%
Average growth fund* +22.86% +22.23% +18.63% +19.22%
S&P 500+ +28.58% +28.23% +24.06% +19.21%
Consumer Price Index+# + 1.80% + 2.30% + 2.41% + 3.14%
</TABLE>
*Source: Lipper Analytical Services, Inc.
+Source: CDA/Wiesenberger, Inc.
#The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
Conservative Growth Series
(For the 10-year period ended December 31, 1998)
[LINE CHART]
<TABLE>
<CAPTION>
S&P Conservative Consumer
Composite Growth Price
Index Series Index--U.S.
<S> <C> <C> <C>
1/89 10000 10000 10000
12/90 12760 13597 11104
12/92 17915 17945 11772
12/94 19982 20568 12423
12/96 33802 35057 13162
12/98 57961 57284 13627
</TABLE>
Average Annual Total Returns
as of December 31, 1998
<TABLE>
<CAPTION>
1 Year 3 Years 5 Years 10 Years/Life
-------- --------- --------- -------------
<S> <C> <C> <C> <C>
Conservative Growth Series +23.85% +27.02% +22.73% +19.07%
S&P 500* +28.58% +28.23% +24.06% +19.21%
Consumer Price Index*+ + 1.80% + 2.30% + 2.41% + 3.14%
</TABLE>
*Source: CDA/Wiesenberger.
+The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
7
<PAGE>
Performance Summary -- continued
Emerging Growth Series(1)
(For the period from May 1, 1995,
through December 31, 1998)
[LINE CHART]
<TABLE>
<CAPTION>
Emerging Russell 2000 Consumer
S&P Growth Total Return Price
500 Series Index Index--U.S.
<S> <C> <C> <C> <C>
5/95 10000 10000 10000 10000
12/96 14975 14854 13992 10441
12/97 19971 18112 17121 10619
12/98 25677 24249 16685 10810
</TABLE>
Average Annual Total Returns
as of December 31, 1998
<TABLE>
<CAPTION>
1 Year 3 Years 10 Years/Life
--------- --------- -------------
<S> <C> <C> <C>
Emerging Growth Series* +33.88% +24.12% +27.31%
Russell 2000 Total Return Index** - 2.55% +11.58% +14.96%
S&P 500** +28.58% +28.23% +29.29%
Consumer Price Index**+ + 1.80% + 2.30% + 2.14%
</TABLE>
*For the period from the commencement of the Series' investment operations,
May 1, 1995, through December 31, 1998.
**Source: CDA/Wiesenberger. "Life" refers to the period from May 1, 1995,
through December 31, 1998.
+The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
Managed Sectors Series(2)
(For the 10-year period ended December 31, 1998)
[LINE CHART]
<TABLE>
<CAPTION>
Managed Lipper Capital Consumer
S&P Sectors Appreciation Price
500 Series Funds Index Index--U.S.
<S> <C> <C> <C> <C>
12/88 10000 10000 10000 10000
12/90 12760 13005 11831 11104
12/92 17915 22455 17505 11772
12/94 19982 22917 19765 12423
12/96 33802 35647 29899 13162
12/98 57961 50272 43037 13627
</TABLE>
Average Annual Total Returns
as of December 31, 1998
<TABLE>
<CAPTION>
1 Year 3 Years 5 Years 10 Years/Life
-------- --------- --------- -------------
<S> <C> <C> <C> <C>
Managed Sectors Series +12.25% +18.36% +16.56% +17.53%
Lipper Capital Appreciation
Fund Index* +19.98% +18.28% +16.26% +15.71%
S&P 500** +28.58% +28.23% +24.06% +19.21%
Consumer Price Index**+ + 1.80% + 2.30% + 2.41% + 3.14%
</TABLE>
*Source: Lipper Analytical Services, Inc.
**Source: CDA/Wiesenberger.
+The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
8
<PAGE>
Performance Summary -- continued
Research Series
(For the period from December 1, 1994,
through December 31, 1998)
[LINE CHART]
<TABLE>
<CAPTION>
Consumer
S&P Research Price
500 Series Index--U.S.
<S> <C> <C> <C>
11/94 10000 10000 10000
12/95 13454 13585 10261
12/96 16542 16813 10609
12/97 22061 20320 10789
12/98 29437 25119 10983
</TABLE>
Average Annual Total Returns
as of December 31, 1998
<TABLE>
<CAPTION>
1 Year 3 Years 10 Years/Life
-------- --------- -------------
<S> <C> <C> <C>
Research Series* +23.61% +22.74% +24.86%
S&P 500** +28.58% +28.23% +30.25%
Consumer Price Index**+ + 1.80% + 2.30% + 2.28%
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 7, 1994, through December 31, 1998.
**Source: CDA/Wiesenberger. "Life" refers to the period from December 1, 1994,
through December 31, 1998.
+The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
Total Return Series
(For the 10-year period ended December 31, 1998)
[LINE CHART]
<TABLE>
<CAPTION>
Total Lehman Brothers Consumer
S&P Return Government/Corporate Price
500 Series Bond Index Index--U.S.
<S> <C> <C> <C> <C>
1/89 10000 10000 10000 10000
12/90 12760 12065 12370 11104
12/92 17915 15928 15453 11772
12/94 19982 17657 16556 12423
12/96 33802 25528 20315 13162
12/98 57961 34785 24413 13627
</TABLE>
Average Annual Total Returns
as of December 31, 1998
<TABLE>
<CAPTION>
1 Year 3 Years 5 Years 10 Years/Life
-------- --------- --------- -------------
<S> <C> <C> <C> <C>
Total Return Series +11.71% +15.85% +14.01% +13.28%
Lehman Brothers Government/
Corporate Bond Index* + 9.49% + 7.34% + 7.31% + 9.34%
S&P 500* +28.58% +28.23% +24.06% +19.21%
Consumer Price Index*+ + 1.80% + 2.30% + 2.41% + 3.14%
</TABLE>
*Source: CDA/Wiesenberger.
+The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
9
<PAGE>
Performance Summary -- continued
Utilities Series(2)
(For the period from December 1, 1993,
through December 31, 1998)
[LINE CHART]
<TABLE>
<CAPTION>
Lehman Brothers
Standard & Poor's Corporate Bond Consumer
S&P Utilities Utilities Total Return Price
500 Series Index Utility Index Index--U.S.
<S> <C> <C> <C> <C> <C>
12/93 10000 10000 10000 10000 10000
12/94 10255 9524 9205 9527 10268
12/95 14109 12606 12992 11701 10521
12/96 17347 15174 13398 12055 10878
12/97 23135 20138 16699 13429 11063
12/98 29745 23670 19166 14696 11262
</TABLE>
Average Annual Total Returns
as of December 31, 1998
<TABLE>
<CAPTION>
1 Year 3 Years 5 Years 10 Years/Life
-------- --------- --------- -------------
<S> <C> <C> <C> <C>
Utilities Series* +17.54% +23.37% +18.76% +18.32%
Lehman Brothers Corporate
Bond Utility Total Return
Index**++ + 9.44% + 7.89% + 8.00% + 7.97%
S&P 500**++ +28.58% +28.23% +24.06% +23.91%
Standard & Poor's Utility Index+ +14.77% +13.84% +13.90% +13.90%
Consumer Price Index**# + 1.80% + 2.30% + 2.41% + 2.37%
</TABLE>
*For the period from the commencement of the Series' investment operations,
December 1, 1993, through December 31, 1998.
**Source: CDA/Wiesenberger. "Life" refers to the period from December 1, 1993,
through December 31, 1998.
++Effective immediately, the Lehman Brothers Corporate Bond Utility Total
Return Index and the Standard & Poor's 500 Composite Index will no longer be
used as benchmarks because we believe the Standard & Poor's Utilities Index
better reflects the Series' investment policies and objectives.
+Source: Lipper Analytical Services, Inc. "Life" refers to the period from
December 1, 1993, through December 31, 1998.
#The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
World Growth Series(3)
(For the period from December 1, 1993,
through December 31, 1998)
[LINE CHART]
<TABLE>
<CAPTION>
MSCI MSCI All World Russell 2000 Consumer
S&P World Country Growth Total Return Price
500 Index World Index Series Index Index--U.S.
<S> <C> <C> <C> <C> <C> <C>
12/93 10000 10000 10664 10000 10000 10000
12/94 10255 11077 10536 10944 10153 10268
12/95 14109 13438 12458 12701 13041 10521
12/96 17347 15319 14088 14355 15192 10878
12/97 23135 17804 16155 16555 18589 11063
12/98 29745 22219 19664 18973 18115 11262
</TABLE>
Average Annual Total Returns
as of December 31, 1998
<TABLE>
<CAPTION>
1 Year 3 Years 5 Years 10 Years/Life
-------- --------- --------- -------------
<S> <C> <C> <C> <C>
World Growth Series* +14.61% +14.31% +12.26% +13.32%
MSCI World Index**+ +24.80% +18.25% +16.19% +17.00%
Russell 200 Total Return Index** - 2.55% +11.58% +11.86% +12.39%
S&P 500** +28.58% +28.23% +24.06% +23.91%
Average global flexible fund# +14.46% +14.70% +11.98% +13.44%
MSCI All Country World Index# +21.72% +16.43% +14.48% +15.52%
Consumer Price Index**+ + 1.80% + 2.30% + 2.41% + 2.37%
</TABLE>
*For the period from the commencement of the Series' investment operations,
December 1, 1993, through December 31, 1998.
**Source: CDA/Wiesenberger. "Life" refers to the period from December 1, 1993,
through December 31, 1998.
+Effective immediately, the MSCI World Index will no longer be used as a
benchmark because we believe the MSCI All Country World Index better reflects
the Series' investment policies and objectives.
#Source: Lipper Analytical Services, Inc. "Life" refers to the period from
December 1, 1993, through December 31, 1998.
+The Consumer Price Index is published by the U.S. Bureau of Labor Statistics
and measures the cost of living (inflation).
(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.
(2) The Series may focus its investments in certain sectors, thereby increasing
its vulnerability to any single economic, political, or regulatory
development.
(3) Investments in foreign and emerging market securities may provide superior
returns but also involve greater risk than U.S. investments. Investments in
foreign and emerging market securities may be favorably or unfavorably
affected by changes in interest rates and currency exchange rates, market
conditions, and the economic and political conditions of the countries where
investments are made. These risks may increase unit price volatility.
10
<PAGE>
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.
11
<PAGE>
Portfolio of Investments -- December 31, 1998
Capital Appreciation Series
Stocks -- 94.2%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 92.6%
Advertising -- 0.1%
Outdoor Systems, Inc.* ................................................. 70,800 $ 2,124,000
------------
Aerospace -- 0.4%
United Technologies Corp. .............................................. 61,300 $ 6,666,375
------------
Automotive -- 0.5%
Federal-Mogul Corp. .................................................... 143,900 $ 8,562,050
------------
Banks and Credit Companies -- 0.7%
Bank of New York, Inc. ................................................. 301,600 $ 12,139,400
------------
Broadcasting -- 0.2%
Infinity Broadcasting Corp.* ........................................... 109,600 $ 3,000,300
------------
Business Services -- 2.6%
DST Systems, Inc.* ..................................................... 301,000 $ 17,175,812
Galileo International, Inc. ............................................ 363,900 15,829,650
Modis Professional Services, Inc.* ..................................... 556,400 8,067,800
Policy Management Systems Corp.*........................................ 64,400 3,252,200
------------
$ 44,325,462
------------
Computer Software --
Personal Computers -- 6.6%
Microsoft Corp.* ....................................................... 822,800 $114,112,075
------------
Computer Software --
Services -- 0.5%
EMC Corp.* ............................................................. 104,500 $ 8,882,500
------------
Computer Software --
Systems -- 12.2%
BMC Software, Inc.* .................................................... 933,200 $ 41,585,725
Cadence Design Systems, Inc.* .......................................... 1,346,400 40,055,400
Cambridge Technology Partners,
Inc.* ................................................................ 134,000 2,964,750
Computer Associates International,
Inc. ................................................................. 1,370,600 58,421,825
Compuware Corp.* ....................................................... 271,200 21,187,500
Oracle Corp.* .......................................................... 772,850 33,329,156
Synopsys, Inc.* ........................................................ 224,200 12,162,850
------------
$209,707,206
------------
Consumer Goods and
Services -- 9.8%
Clorox Co. ............................................................. 134,400 $ 15,699,600
Colgate-Palmolive Co. .................................................. 191,700 17,804,138
Gillette Co. ........................................................... 482,100 23,291,456
Tyco International Ltd. ................................................ 1,476,154 111,357,367
------------
$168,152,561
------------
Defense Electronics -- 0.8%
Loral Space & Communications
Corp.* ............................................................... 811,800 $ 14,460,188
------------
Electrical Equipment -- 1.3%
General Electric Co. ................................................... 213,400 $ 21,780,137
------------
Electronics -- 2.0%
Analog Devices, Inc.* .................................................. 310,762 $ 9,750,158
Intel Corp. ............................................................ 207,300 24,578,006
------------
$ 34,328,164
------------
Entertainment -- 8.8%
CBS Corp. .............................................................. 571,400 $ 18,713,350
Clear Channel Communications,
Inc.* ................................................................ 240,424 13,103,108
Heftel Broadcasting Corp., "A"* ........................................ 202,530 9,974,603
Jacor Communications, Inc.* ............................................ 357,000 22,981,875
MediaOne Group, Inc.* .................................................. 715,600 33,633,200
Time Warner, Inc. ...................................................... 343,000 21,287,437
Univision Communications, Inc.,
"A"* ................................................................. 173,100 6,264,056
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Entertainment -- continued
Viacom, Inc., "B"* ..................................................... 352,800 $ 26,107,200
------------
$152,064,829
------------
Financial Institutions -- 7.0%
Associates First Capital Corp., "A" .................................... 699,900 $ 29,658,262
CIT Group, Inc., "A" ................................................... 279,800 8,901,138
Federal Home Loan Mortgage
Corp. ................................................................ 586,200 37,773,262
Federal National Mortgage Assn. ........................................ 104,500 7,733,000
Financial Federal Corp. * .............................................. 260,100 6,437,475
Finova Group, Inc. ..................................................... 369,400 19,924,513
Franklin Resources, Inc. ............................................... 96,600 3,091,200
Morgan Stanley Dean Witter & Co. ....................................... 111,100 7,888,100
------------
$121,406,950
------------
Financial Services -- 0.8%
SunAmerica, Inc. ....................................................... 170,750 $ 13,852,094
------------
Insurance -- 1.1%
Equitable Cos., Inc. ................................................... 77,400 $ 4,479,525
Lincoln National Corp. ................................................. 172,600 14,120,838
MONY Group, Inc.* ...................................................... 100 3,131
------------
$ 18,603,494
------------
Medical and Health Products -- 5.1%
Boston Scientific Corp.* ............................................... 433,100 $ 11,612,494
Eli Lilly & Co. ........................................................ 163,300 14,513,287
McKesson Corp. ......................................................... 133,200 10,531,125
Pfizer, Inc. ........................................................... 283,600 35,574,075
Schering Plough Corp. .................................................. 298,500 16,492,125
------------
$ 88,723,106
------------
Medical and Health Technology
and Services -- 5.0%
Cardinal Health, Inc. .................................................. 257,812 $ 19,561,485
HBO & Co. .............................................................. 394,700 11,322,956
Health Management Associates,
Inc., "A"* ........................................................... 625,825 13,533,466
HealthSouth Corp.* ..................................................... 1,029,300 15,889,819
Total Renal Care Holdings, Inc.* ....................................... 60,700 1,794,444
United Healthcare Corp. ................................................ 547,633 23,582,446
------------
$ 85,684,616
------------
Metals and Minerals -- 0.6%
Minerals Technologies, Inc. ............................................ 248,900 $ 10,189,344
------------
Oils -- 0.2%
Conoco, Inc., "A"* ..................................................... 187,200 $ 3,907,800
------------
Railroads -- 0.3%
Kansas City Southern Industries,
Inc. ................................................................. 120,400 $ 5,922,175
------------
Restaurants and Lodging -- 4.6%
Cendant Corp.* ......................................................... 2,391,900 $ 45,595,594
McDonalds Corp. ........................................................ 180,000 13,792,500
Promus Hotel Corp.* .................................................... 611,348 19,792,391
------------
$ 79,180,485
------------
Special Products and
Services -- 0.5%
USEC, Inc. ............................................................. 626,900 $ 8,698,238
------------
Stores -- 9.1%
CompUSA, Inc.* ......................................................... 808,100 $ 10,555,806
CVS Corp. .............................................................. 1,116,700 61,418,500
Linens 'n Things, Inc.* ................................................ 33,200 1,315,550
Office Depot, Inc.* .................................................... 893,600 33,007,350
Rite Aid Corp. ......................................................... 710,500 35,214,156
TJX Cos., Inc. ......................................................... 509,100 14,763,900
------------
$156,275,262
------------
</TABLE>
12-CAS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Supermarkets -- 2.6%
Meyer (Fred), Inc.* ..................................................... 294,000 $ 17,713,500
Safeway, Inc.* .......................................................... 444,500 27,086,719
--------------
$ 44,800,219
--------------
Telecommunications -- 7.8%
3Com Corp.* ............................................................. 374,100 $ 16,764,356
American Tower Corp., "A"* .............................................. 118,800 3,512,025
Cisco Systems, Inc.* .................................................... 473,675 43,962,961
Global TeleSystems Group, Inc.* ......................................... 308,300 17,187,725
Intermedia Communications, Inc.* ........................................ 98,600 1,700,850
L-3 Communications Holding, Inc.*........................................ 2,800 130,375
Lucent Technologies, Inc. ............................................... 114,300 12,573,000
MCI WorldCom, Inc.* ..................................................... 415,770 29,831,498
Nextlink Communications, Inc., "A"*...................................... 132,000 3,745,500
Qwest Communications
International, Inc.* .................................................. 51,955 2,597,750
Tel-Save Holdings, Inc.*## .............................................. 186,900 3,130,575
--------------
$ 135,136,615
--------------
Utilities -- Electric -- 1.4%
AES Corp.* .............................................................. 266,700 $ 12,634,912
CalEnergy Co., Inc.* .................................................... 354,600 12,300,188
--------------
$ 24,935,100
--------------
Total U.S. Stocks ..................................................... $1,597,620,745
--------------
Foreign Stocks -- 1.6%
Bermuda -- 0.6%
Ace Ltd. (Insurance) .................................................... 258,400 $ 8,898,650
Global Crossing Ltd.
(Telecommunications)* ................................................. 13,700 618,213
--------------
$ 9,516,863
--------------
Brazil -- 0.2%
Tele Sudeste Celular Participacoes
S.A. (Telecommunications)* ............................................ 54,300 $ 1,123,331
Telesp Celular Participacoes S.A.
(Telecommunications)* ................................................ 96,300 1,685,250
--------------
$ 2,808,581
--------------
United Kingdom -- 0.8%
British Petroleum PLC, ADR (Oils) ....................................... 84,279 $ 8,006,505
Reuters Group PLC (Business
Services) ............................................................. 378,000 3,981,858
Taylor Nelson Sofres PLC (Market
Research) ............................................................. 2,014,900 2,557,027
--------------
$ 14,545,390
--------------
Total Foreign Stocks .................................................. $ 26,870,834
--------------
Total Stocks
(Identified Cost, $1,132,761,234) ................................... $1,624,491,579
--------------
</TABLE>
Convertible Preferred Stock -- 0.3%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Entertainment -- 0.3%
MediaOne Group, Inc., 6.25%
(Identified Cost, $5,353,313).......................................... 92,100 $ 6,124,650
--------------
Short-Term Obligations -- 3.3%
Principal Amount
(000 Omitted)
Federal Home Loan Bank, due
1/15/99-1/20/99 ....................................................... $20,500 $ 20,451,975
Federal National Mortgage Assn.,
due 1/07/99 ........................................................... 15,200 15,187,105
General Electric Capital Corp., due
1/04/99 ............................................................... 15,200 15,193,641
Metropolitan Life Funding, Inc., due
1/22/99 ............................................................... 6,100 6,080,963
--------------
Total Short-Term Obligations, at Amortized Cost ....................... $ 56,913,684
--------------
Total Investments
(Identified Cost, $1,195,028,231) ................................... $1,687,529,913
Other Assets,
Less Liabilities -- 2.2% 37,625,054
--------------
Net Assets -- 100.0% .................................................. $1,725,154,967
==============
</TABLE>
See portfolio footnotes and notes to financial statements
13-CAS
<PAGE>
Portfolio of Investments -- December 31, 1998
Conservative Growth Series
Stocks -- 97.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 91.9%
Aerospace -- 3.5%
Allied Signal, Inc. .................................................... 414,400 $ 18,363,100
General Dynamics Corp. ................................................. 160,800 9,426,900
Lockheed-Martin Corp. .................................................. 67,688 5,736,558
United Technologies Corp. .............................................. 286,700 31,178,625
------------
$ 64,705,183
------------
Automotive -- 0.7%
Federal-Mogul Corp. .................................................... 212,000 $ 12,614,000
------------
Banks and Credit Companies -- 5.8%
Bankers Trust Corp. .................................................... 69,700 $ 5,954,994
Comerica, Inc. ......................................................... 80,350 5,478,866
Firstar Corp. .......................................................... 84,840 7,911,330
Fleet Financial Group, Inc. ............................................ 62,500 2,792,969
National City Corp. .................................................... 207,300 15,029,250
Northern Trust Corp. ................................................... 100,200 8,748,712
State Street Corp. ..................................................... 198,300 13,794,244
US Bancorp ............................................................. 427,553 15,178,131
Washington Mutual, Inc. ................................................ 236,100 9,016,069
Wells Fargo Co.* ....................................................... 589,900 23,559,131
------------
$107,463,696
------------
Broadcasting -- 0.1%
Infinity Broadcasting Corp.* ........................................... 40,200 $ 1,100,475
------------
Business Machines -- 3.8%
International Business Machines Corp. 168,300 $ 31,093,425
Sun Microsystems, Inc.* ................................................ 104,900 8,982,062
Xerox Corp. ............................................................ 262,500 30,975,000
------------
$ 71,050,487
------------
Business Services -- 0.5%
Computer Sciences Corp. ................................................ 37,700 $ 2,429,294
DST Systems, Inc.* ..................................................... 130,000 7,418,125
------------
$ 9,847,419
------------
Chemicals -- 0.5%
Air Products & Chemicals, Inc. ......................................... 196,100 $ 7,844,000
E. I. du Pont de Nemours & Co. ......................................... 33,500 1,777,594
------------
$ 9,621,594
------------
Computer Software --
Personal Computers -- 2.1%
Microsoft Corp.* ....................................................... 283,800 $ 39,359,512
------------
Computer Software --
Services -- 0.2%
EMC Corp.* ............................................................. 37,700 $ 3,204,500
------------
Computer Software --
Systems -- 1.7%
BMC Software, Inc.* .................................................... 124,800 $ 5,561,400
Computer Associates International,
Inc. ................................................................. 262,825 11,202,916
Oracle Corp.* .......................................................... 324,250 13,983,281
------------
$ 30,747,597
------------
Consumer Goods and
Services -- 10.2%
Black & Decker Corp. ................................................... 261,800 $ 14,677,163
Clorox Co. ............................................................. 66,400 7,756,350
Colgate-Palmolive Co. .................................................. 98,500 9,148,188
Gillette Co. ........................................................... 377,100 18,218,644
Kimberly-Clark Corp. ................................................... 376,896 20,540,832
Newell Co. ............................................................. 332,800 13,728,000
Philip Morris Cos., Inc. ............................................... 680,800 36,422,800
Procter & Gamble Co. ................................................... 236,200 21,568,012
Service Corp. International ............................................ 510,100 19,415,681
Tyco International Ltd. ................................................ 367,500 27,723,281
------------
$189,198,951
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Electrical Equipment -- 2.8%
Emerson Electric Co. ................................................... 220,700 $ 13,352,350
General Electric Co. ................................................... 303,300 30,955,556
Honeywell, Inc. ........................................................ 105,100 7,915,344
------------
$ 52,223,250
------------
Electronics -- 1.2%
Intel Corp. ............................................................ 192,200 $ 22,787,712
------------
Entertainment -- 2.1%
Disney (Walt) Co. ...................................................... 416,000 $ 12,480,000
MediaOne Group, Inc.* .................................................. 188,100 8,840,700
Time Warner, Inc. ...................................................... 287,900 17,867,794
------------
$ 39,188,494
------------
Financial Institutions -- 2.4%
Associates First Capital Corp., "A" .................................... 472,936 $ 20,040,663
Federal Home Loan Mortgage Corp......................................... 384,200 24,756,887
------------
$ 44,797,550
------------
Food and Beverage Products -- 3.8%
Anheuser Busch Cos., Inc. .............................................. 190,400 $ 12,495,000
Bestfoods Co. .......................................................... 129,500 6,895,875
Coca-Cola Co. .......................................................... 34,400 2,300,500
Hershey Foods Corp. .................................................... 378,900 23,562,844
Interstate Bakeries Corp. .............................................. 196,800 5,202,900
PepsiCo., Inc. ......................................................... 81,000 3,315,938
Ralston-Ralston Purina Co. ............................................. 528,500 17,110,187
------------
$ 70,883,244
------------
Insurance -- 8.7%
Allstate Corp. ......................................................... 411,800 $ 15,905,775
American International Group, Inc. ..................................... 94,700 9,150,388
Chubb Corp. ............................................................ 84,900 5,507,888
CIGNA Corp. ............................................................ 263,600 20,379,575
Equitable Cos., Inc. ................................................... 112,200 6,493,575
Hartford Financial Services Group,
Inc. ................................................................. 421,400 23,124,325
Lincoln National Corp. ................................................. 190,000 15,544,375
MBIA, Inc. ............................................................. 106,800 7,002,075
Progressive Corp. ...................................................... 171,700 29,081,687
Torchmark Corp. ........................................................ 410,200 14,485,187
Transamerica Corp. ..................................................... 131,400 15,176,700
------------
$161,851,550
------------
Manufacturing -- 0.5%
Illinois Tool Works, Inc. .............................................. 146,800 $ 8,514,400
------------
Medical and Health Products -- 11.3%
American Home Products Corp. ........................................... 592,100 $ 33,342,631
Arterial Vascular Engineering, Inc.*.................................... 49,600 2,604,000
Bristol-Myers Squibb Co. ............................................... 253,900 33,974,994
Eli Lilly & Co. ........................................................ 70,900 6,301,238
Johnson & Johnson ...................................................... 298,000 24,994,750
McKesson Corp. ......................................................... 244,700 19,346,594
Merck & Co., Inc. ...................................................... 19,700 2,909,444
Pfizer, Inc. ........................................................... 345,800 43,376,287
Pharmacia & Upjohn, Inc. ............................................... 265,900 15,056,587
Schering Plough Corp. .................................................. 165,200 9,127,300
Warner-Lambert Co. ..................................................... 254,300 19,120,181
------------
$210,154,006
------------
Medical and Health Technology
and Services -- 3.1%
Guidant Corp. .......................................................... 164,700 $ 18,158,175
HealthSouth Corp.* ..................................................... 311,900 4,814,956
Medtronic, Inc. ........................................................ 129,000 9,578,250
Tenet Healthcare Corp.* ................................................ 454,100 11,920,125
United Healthcare Corp. ................................................ 281,400 12,117,788
------------
$ 56,589,294
------------
</TABLE>
14-CGS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Oils -- 3.7%
Chevron Corp. ............................................................ 33,200 $ 2,753,525
Conoco, Inc., "A"* ....................................................... 159,700 3,333,738
Exxon Corp. .............................................................. 391,900 28,657,687
Mobil Corp. .............................................................. 238,400 20,770,600
Texaco, Inc. ............................................................. 192,500 10,178,437
USX-Marathon Group ....................................................... 86,300 2,599,788
--------------
$ 68,293,775
--------------
Photographic Products -- 0.6%
Eastman Kodak Co. ........................................................ 150,400 $ 10,828,800
--------------
Pollution Control -- 0.4%
Waste Management, Inc. ................................................... 163,377 $ 7,617,453
--------------
Printing and Publishing -- 1.2%
Gannett Co., Inc. ........................................................ 155,200 $ 10,010,400
Tribune Co. .............................................................. 169,500 11,187,000
--------------
$ 21,197,400
--------------
Railroads -- 0.2%
Burlington Northern Santa Fe
Railway Co. ............................................................ 88,000 $ 2,970,000
--------------
Restaurants and Lodging -- 0.3%
McDonalds Corp. .......................................................... 58,800 $ 4,505,550
--------------
Stores -- 5.7%
American Stores Co. ...................................................... 87,500 $ 3,232,031
CVS Corp. ................................................................ 231,300 12,721,500
Dayton Hudson Corp. ...................................................... 180,300 9,781,275
Home Depot, Inc. ......................................................... 221,900 13,577,506
Nordstrom, Inc. .......................................................... 208,500 7,232,344
Office Depot, Inc.* ...................................................... 239,900 8,861,306
Rite Aid Corp. ........................................................... 518,500 25,698,157
TJX Cos., Inc. ........................................................... 536,600 15,561,400
Wal-Mart Stores, Inc. .................................................... 118,400 9,642,200
--------------
$ 106,307,719
--------------
Supermarkets -- 3.1%
Albertsons, Inc. ......................................................... 126,700 $ 8,069,206
Kroger Co.* .............................................................. 161,500 9,770,750
Meyer (Fred), Inc.* ...................................................... 171,100 10,308,775
Safeway, Inc.* ........................................................... 486,000 29,615,625
--------------
$ 57,764,356
--------------
Telecommunications -- 7.1%
Alltel Corp. ............................................................. 384,000 $ 22,968,000
Ameritech Corp. .......................................................... 49,100 3,111,713
Bell Atlantic Corp. ...................................................... 221,400 11,734,200
Cisco Systems, Inc.* ..................................................... 69,800 6,478,313
Lucent Technologies, Inc. ................................................ 123,200 13,552,000
MCI WorldCom, Inc.* ...................................................... 378,902 27,186,218
SBC Communications, Inc. ................................................. 471,900 25,305,637
Sprint Corp. ............................................................. 230,800 19,416,050
Sprint PCS* .............................................................. 71,750 1,659,219
--------------
$ 131,411,350
--------------
Utilities -- Electric -- 3.1%
CMS Energy Corp. ......................................................... 133,900 $ 6,485,781
FirstEnergy Corp. ........................................................ 220,700 7,186,544
GPU, Inc. ................................................................ 130,400 5,762,050
New Century Energies, Inc. ............................................... 92,700 4,519,125
Peco Energy Co. .......................................................... 216,400 9,007,650
Pinnacle West Capital Corp. .............................................. 125,300 5,309,587
Texas Utilities Co. ...................................................... 267,700 12,498,244
Unicom Corp. ............................................................. 149,900 5,780,519
--------------
$ 56,549,500
--------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Utilities -- Gas -- 0.9%
Columbia Energy Group .................................................... 224,650 $ 12,973,537
KN Energy, Inc. .......................................................... 117,000 4,255,875
--------------
$ 17,229,412
--------------
Utilities -- Telephone -- 0.6%
BellSouth Corp. .......................................................... 234,000 $ 11,670,750
--------------
Total U.S. Stocks ...................................................... $1,702,248,979
--------------
Foreign Stocks -- 5.2%
Bermuda -- 0.7%
Ace Ltd. (Insurance) ..................................................... 74,300 $ 2,558,706
EXEL Ltd., "A" (Insurance) ............................................... 134,700 10,102,500
--------------
$ 12,661,206
--------------
Canada -- 0.6%
Canadian National Railway Co.
(Railroads) ............................................................ 220,350 $ 11,430,656
--------------
France -- 0.2%
Alcatel Alsthom Compagnie, ADR
(Telecommunications) ................................................... 134,100 $ 3,277,069
--------------
Italy -- 0.3%
San Paolo Imi S.p.A. (Banks and
Credit Cos.) ........................................................... 357,727 $ 6,325,317
--------------
Japan -- 0.4%
AFLAC, Inc. (Insurance) .................................................. 149,500 $ 6,578,000
--------------
Switzerland -- 0.4%
Nestle S.A. (Food and Beverage
Products) .............................................................. 3,200 $ 6,966,145
--------------
United Kingdom -- 2.6%
British Petroleum PLC, ADR (Oils) ........................................ 287,862 $ 27,346,890
Rentokil Initial PLC (Environmental
Services) .............................................................. 909,000 6,861,129
Reuters Group PLC (Business
Services) .............................................................. 764,200 8,050,095
Reuters Group PLC, ADR (Business
Services) .............................................................. 107,600 6,819,150
--------------
$ 49,077,264
--------------
Total Foreign Stocks ................................................... $ 96,315,657
--------------
Total Stocks
(Identified Cost, $1,401,910,464) .................................... $1,798,564,636
--------------
Convertible Preferred Stocks -- 0.6%
Agriculture -- 0.1%
Monsanto Co., 6.50%* ..................................................... 33,000 $ 1,617,000
--------------
Consumer Goods and Services -- 0.1%
Newell Financial Trust Co.,
5.25%*## ............................................................... 42,500 $ 2,241,875
--------------
Utilities -- Electric -- 0.4%
Houston Industries, Inc., 7.00% .......................................... 42,500 $ 4,520,938
Texas Utilities Co., 3.315% .............................................. 55,500 2,677,875
--------------
$ 7,198,813
--------------
Total Convertible Preferred Stocks
(Identified Cost, $7,744,784) ........................................ $ 11,057,688
--------------
</TABLE>
15-CGS
<PAGE>
Portfolio of Investments -- continued
Short-Term Obligations -- 2.3%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Federal Home Loan Mortgage
Corp., due 1/13/99-1/27/99 ......................... $18,270 $ 18,226,000
Federal National Mortgage Assn.,
due 1/07/99 ........................................ 7,900 7,893,298
General Electric Capital Corp., due
1/04/99 ............................................ 17,300 17,292,763
--------------
Total Short-Term Obligations, at Amortized Cost ...................... $ 43,412,061
--------------
Total Investments
(Identified Cost, $1,453,067,309) .................................. $1,853,034,385
Other Assets,
Less Liabilities -- 0.0% (306,284)
--------------
Net Assets -- 100.0% ................................................. $1,852,728,101
==============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- December 31, 1998
Emerging Growth Series
Stocks -- 99.0%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 96.9%
Advertising
Lamar Advertising Co., "A"* ............................................ 1,100 $ 40,975
Outdoor Systems, Inc.* ................................................. 1,900 57,000
------------
$ 97,975
------------
Aerospace -- 0.2%
Gulfstream Aerospace Corp.* ............................................ 30,000 $ 1,597,500
------------
Airlines
Atlas Air, Inc.* ....................................................... 1,200 $ 58,725
------------
Automotive
Dura Automotive Systems, Inc.* ......................................... 900 $ 30,713
------------
Banks and Credit Companies -- 0.2%
Capital One Financial Corp. ............................................ 12,100 $ 1,391,500
------------
Biotechnology -- 0.2%
IDEXX Laboratories, Inc.* .............................................. 37,900 $ 1,019,747
Waters Corp.* .......................................................... 4,800 418,800
------------
$ 1,438,547
------------
Broadcasting -- 0.1%
Infinity Broadcasting Corp.* ........................................... 30,400 $ 832,200
------------
Business Machines -- 1.0%
Affiliated Computer Services, Inc., "A"* 23,300 $ 1,048,500
Sun Microsystems, Inc.* ................................................ 74,800 6,404,750
------------
$ 7,453,250
------------
Business Services -- 2.7%
Affiliated Managers Group, Inc.* ....................................... 1,500 $ 44,813
Amgen, Inc.* ........................................................... 11,600 1,212,925
BISYS Group, Inc.* ..................................................... 44,600 2,302,475
Building One Services Corp.* ........................................... 2,500 52,188
Ceridian Corp.* ........................................................ 24,100 1,682,481
Computer Sciences Corp. ................................................ 14,900 960,119
DST Systems, Inc.* ..................................................... 28,000 1,597,750
First Data Corp. ....................................................... 7,400 234,487
Fiserv, Inc.* .......................................................... 1,400 72,012
Galileo International, Inc. ............................................ 40,700 1,770,450
Global Directmail Corp.* ............................................... 2,600 60,775
Insight Enterprises, Inc.* ............................................. 1,000 50,875
Interim Services, Inc.* ................................................ 2,000 46,750
Learning Tree International, Inc.* ..................................... 122,000 1,105,625
Metamor Worldwide, Inc.* ............................................... 1,400 35,000
Modis Professional Services, Inc.* ..................................... 206,600 2,995,700
National Data Corp. .................................................... 900 43,819
Policy Management Systems Corp.*........................................ 103,800 5,241,900
Professional Detailing, Inc.* .......................................... 1,300 36,725
Renaissance Worldwide, Inc.* ........................................... 14,700 90,037
Technology Solutions Co.* .............................................. 41,500 444,828
------------
$ 20,081,734
------------
Computer Hardware -- Systems -- 0.1%
Compaq Computer Corp. .................................................. 24,200 $ 1,014,887
------------
Computer Software -- Personal
Computers -- 5.3%
Autodesk, Inc. ......................................................... 1,285 $ 54,853
Intuit, Inc.* .......................................................... 700 50,750
Microsoft Corp.* ....................................................... 279,800 38,804,763
Verio, Inc.* ........................................................... 1,800 40,275
------------
$ 38,950,641
------------
Computer Software -- Services -- 1.8%
EMC Corp.* ............................................................. 147,500 $ 12,537,500
Ingram Micro, Inc.* .................................................... 1,000 34,875
Mobius Management Systems, Inc.*........................................ 35,200 523,600
------------
$ 13,095,975
------------
</TABLE>
16-EGS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Computer Software -- Systems -- 21.0%
Advantage Learning Systems, Inc.*....................................... 700 $ 46,025
Aspen Technology, Inc.* ................................................ 1,300 18,850
BMC Software, Inc.* .................................................... 504,100 22,463,956
Boole & Babbage, Inc.* ................................................. 1,300 38,269
Cadence Design Systems, Inc.* .......................................... 520,500 15,484,875
Cambridge Technology Partners, Inc.* 41,300 913,762
Clarify, Inc.* ......................................................... 2,000 48,875
Computer Associates International, Inc. 616,325 26,270,853
Compuware Corp.* ....................................................... 506,800 39,593,750
CSG Systems International, Inc.* ....................................... 600 47,400
Learning Co., Inc.* .................................................... 1,700 44,094
Network Associates, Inc.* .............................................. 80,600 5,339,750
New Era of Networks, Inc.* ............................................. 1,200 52,800
Oracle Corp.* .......................................................... 949,750 40,957,969
Rational Software Corp.* ............................................... 1,800 47,700
Siebel Systems, Inc.* .................................................. 1,300 44,119
SunGard Data Systems, Inc.* ............................................ 22,700 900,906
Synopsys, Inc.* ........................................................ 36,200 1,963,850
------------
$154,277,803
------------
Consumer Goods and
Services -- 6.8%
Carson, Inc., "A"* ..................................................... 117,000 $ 468,000
Dial Corp. ............................................................. 1,700 49,088
First Brands Corp. ..................................................... 1,130 44,564
Sotheby's Holdings, Inc. ............................................... 1,800 57,600
Sportsline USA, Inc.* .................................................. 56,500 879,281
Tyco International Ltd. ................................................ 637,079 48,059,647
------------
$ 49,558,180
------------
Electrical Equipment
Jabil Circuit, Inc.* ................................................... 600 $ 44,775
Micrel, Inc.* .......................................................... 1,100 60,500
------------
$ 105,275
------------
Electronics -- 4.3%
Altera Corp.* .......................................................... 94,100 $ 5,728,337
Analog Devices, Inc.* .................................................. 107,100 3,360,262
Applied Micro Circuits Corp.* .......................................... 1,300 44,159
Burr-Brown Corp.* ...................................................... 1,700 39,844
Cable Design Technologies Corp.*........................................ 500 9,250
Flextronics International Ltd.* ........................................ 590 50,519
Intel Corp. ............................................................ 110,700 13,124,869
Lattice Semiconductor Corp.* ........................................... 66,700 3,061,947
Level One Communications, Inc.* ........................................ 1,400 49,700
Linear Technology Corp. ................................................ 15,100 1,352,394
Maxim Integrated Products, Inc.* ....................................... 1,100 48,056
Microchip Technology, Inc.* ............................................ 1,300 48,100
MIPS Technologies, Inc.* ............................................... 1,800 57,600
Photronics, Inc.* ...................................................... 2,000 47,938
PMC-Sierra, Inc.* ...................................................... 1,100 69,437
Sanmina Corp.* ......................................................... 750 46,875
SCI Systems, Inc.* ..................................................... 820 47,355
SIPEX Corp.* ........................................................... 1,300 45,663
Teradyne, Inc.* ........................................................ 1,900 80,512
The DII Group, Inc.* ................................................... 2,100 48,300
Xilinx, Inc.* .......................................................... 67,200 4,376,400
------------
$ 31,737,517
------------
Entertainment -- 5.8%
CBS Corp. .............................................................. 43,100 $ 1,411,525
Clear Channel Communications,
Inc.* ................................................................ 121,850 6,640,825
Comcast Corp., "A" ..................................................... 86,750 5,091,141
Cox Radio, Inc., "A"* .................................................. 73,200 3,092,700
Gemstar International Group Ltd.* ...................................... 15,500 887,375
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Entertainment -- continued
Hearst-Argyle Television, Inc.* ........................................ 1,700 $ 56,100
Jacor Communications, Inc.* ............................................ 62,700 4,036,312
Macromedia, Inc.* ...................................................... 14,800 498,575
MediaOne Group, Inc.* .................................................. 69,200 3,252,400
Premier Parks, Inc.* ................................................... 2,000 60,500
Time Warner, Inc. ...................................................... 278,000 17,253,375
Univision Communications, Inc., "A"* 15,400 557,287
USA Networks, Inc.* .................................................... 2,500 82,813
------------
$ 42,920,928
------------
Financial Institutions -- 1.4%
Associates First Capital Corp., "A" .................................... 72,800 $ 3,084,900
Bear Stearns Cos., Inc. ................................................ 47,200 1,764,100
CIT Group, Inc., "A" ................................................... 1,200 38,175
Franklin Resources, Inc. ............................................... 62,900 2,012,800
Morgan Stanley Dean Witter & Co. ....................................... 43,400 3,081,400
Paine Webber Group, Inc. ............................................... 1,000 38,625
U.S. Trust Corp. ....................................................... 2,500 190,000
Waddell & Reed Financial, Inc., "A"..................................... 1,800 42,637
------------
$ 10,252,637
------------
Food and Beverage Products -- 0.1%
Coors Adolph Co. ....................................................... 6,800 $ 383,775
Keebler Foods Co.* ..................................................... 1,300 48,913
Smithfield Foods, Inc.* ................................................ 1,400 47,425
------------
$ 480,113
------------
Machinery -- 0.1%
SI Handling Systems, Inc. .............................................. 25,350 $ 354,900
------------
Medical and Health Products -- 2.1%
Agouron Pharmaceuticals, Inc.* ......................................... 900 $ 52,875
Allegiance Corp. ....................................................... 104,100 4,853,662
Allergan, Inc. ......................................................... 29,200 1,890,700
AmeriSource Health Corp.,"A"* .......................................... 600 39,000
Arterial Vascular Engineering, Inc.*.................................... 800 42,000
Bausch & Lomb, Inc. .................................................... 1,200 72,000
Biomet, Inc. ........................................................... 1,800 72,450
Boston Scientific Corp.* ............................................... 1,900 50,944
Chattem, Inc. .......................................................... 1,100 52,663
Haemonetics Corp.* ..................................................... 3,000 68,250
IDEC Pharmaceuticals Corp.* ............................................ 22,700 1,066,900
Immunex Corp.* ......................................................... 71 8,933
King Pharmaceuticals, Inc.* ............................................ 4,500 118,687
McKesson Corp. ......................................................... 71,200 5,629,250
PSS World Medical, Inc.* ............................................... 45,300 1,041,900
------------
$ 15,060,214
------------
Medical and Health Technology
and Services -- 4.5%
Alpharma, Inc. ......................................................... 1,300 $ 45,906
Biogen, Inc.* .......................................................... 8,200 680,600
Cardinal Health, Inc. .................................................. 50,550 3,835,481
Cyberonics, Inc.* ...................................................... 200 2,700
Express Scripts, Inc.* ................................................. 800 53,700
Gentex Corp.* .......................................................... 2,500 50,000
Genzyme Corp.* ......................................................... 1,100 54,725
Guidant Corp. .......................................................... 87,300 9,624,825
Health Management Associates,
Inc., "A"* ........................................................... 3,150 68,119
HealthSouth Corp.* ..................................................... 5,200 80,275
Medtronic, Inc. ........................................................ 116,300 8,635,275
Mid Atlantic Medical Services, Inc.*.................................... 4,500 44,156
Orthodontic Centers of America,
Inc.* ................................................................ 2,200 42,763
PacifiCare Health Systems, Inc., "B"*................................... 800 63,600
Province Healthcare Co.* ............................................... 1,300 46,637
</TABLE>
17-EGS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Medical and Health Technology
and Services -- continued
Schein (Henry), Inc.* .................................................. 900 $ 40,275
Steris Corp.* .......................................................... 1,700 48,344
Total Renal Care Holdings, Inc.* ....................................... 1,402 41,447
United Healthcare Corp. ................................................ 226,300 9,745,044
Wellpoint Health Networks, Inc., "A"*................................... 500 43,500
------------
$ 33,247,372
------------
Oil Services
Global Industries, Inc.* ............................................... 7,100 $ 43,488
------------
Pharmaceuticals -- 1.4%
Bergen Brunswig Corp. .................................................. 9,200 $ 320,850
Sepracor, Inc.* ........................................................ 104,200 9,182,625
Watson Pharmaceuticals, Inc.* .......................................... 16,300 1,024,862
------------
$ 10,528,337
------------
Printing and Publishing
Electronics for Imaging, Inc.* ......................................... 1,500 $ 60,281
Mail-Well, Inc.* ....................................................... 1,000 11,438
------------
$ 71,719
------------
Railroads -- 0.2%
Kansas City Southern Industries, Inc. 29,200 $ 1,436,275
------------
Restaurants and Lodging -- 3.1%
Applebee's International, Inc. ......................................... 2,000 $ 41,250
Brinker International, Inc.* ........................................... 1,800 51,975
Buffets, Inc.* ......................................................... 5,200 62,075
CEC Entertainment, Inc.* ............................................... 1,600 44,400
Cendant Corp.* ......................................................... 1,146,304 21,851,420
CKE Restaurants, Inc. .................................................. 1,210 35,619
IHOP Corp.* ............................................................ 700 27,956
Outback Steakhouse, Inc.* .............................................. 1,700 67,788
Papa John's International, Inc.* ....................................... 1,200 52,950
Promus Hotel Corp.* .................................................... 10,313 333,883
------------
$ 22,569,316
------------
Special Products and Services -- 0.5%
Newport News Shipbuilding, Inc. ........................................ 96,500 $ 3,226,719
Rayovac Corp.* ......................................................... 3,100 82,731
Verisign, Inc.* ........................................................ 800 47,300
------------
$ 3,356,750
------------
Stores -- 9.2%
Abercrombie & Fitch Co.* ............................................... 700 $ 49,525
AnnTaylor Stores Corp.* ................................................ 1,300 51,269
Boise Cascade Office Products Corp.* 2,400 32,400
Borders Group, Inc.* ................................................... 1,700 42,394
CompUSA, Inc.* ......................................................... 21,800 284,762
Consolidated Stores Corp.* ............................................. 1,350 27,253
Corporate Express, Inc.* ............................................... 96,300 499,556
CSK Auto Corp.* ........................................................ 1,400 37,363
CVS Corp. .............................................................. 221,152 12,163,360
Duane Reade, Inc.* ..................................................... 1,100 42,350
General Nutrition Cos., Inc.* .......................................... 3,000 48,750
Gymboree Corp.* ........................................................ 27,900 177,863
Home Depot, Inc. ....................................................... 87,000 5,323,312
Linens 'n Things, Inc.* ................................................ 1,300 51,513
Micro Warehouse, Inc.* ................................................. 157,300 5,318,706
Office Depot, Inc.* .................................................... 453,800 16,762,237
Republic Industries, Inc.* ............................................. 15,100 222,725
Rite Aid Corp. ......................................................... 269,100 13,337,269
Staples, Inc.* ......................................................... 284,050 12,409,434
TJX Cos., Inc. ......................................................... 39,700 1,151,300
------------
$ 68,033,341
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Supermarkets -- 3.1%
Kroger Co.* ............................................................ 46,000 $ 2,783,000
Meyer (Fred), Inc.* .................................................... 235,170 14,168,993
Safeway, Inc.* ......................................................... 97,900 5,965,781
------------
$ 22,917,774
------------
Technology
Galileo Technology Ltd.* ............................................... 3,600 $ 97,200
------------
Telecommunications -- 21.5%
3Com Corp.* ............................................................ 75,200 $ 3,369,900
Alltel Corp. ........................................................... 47,300 2,829,131
Amdocs Ltd.* ........................................................... 3,100 53,088
American Tower Corp., "A"* ............................................. 19,900 588,294
Ascend Communications, Inc.* ........................................... 122,000 8,021,500
Aspect Telecommunications Corp.*........................................ 2,400 41,400
Century Telephone Enterprises, Inc...................................... 114,900 7,755,750
Cisco Systems, Inc.* ................................................... 516,563 47,943,503
DSP Communications, Inc.* .............................................. 3,100 47,469
EchoStar Communications, Corp., *....................................... 1,200 58,050
Gilat Satellite Networks Ltd.* ......................................... 820 45,203
Global TeleSystems Group, Inc.* ........................................ 219,800 12,253,850
Hyperion Telecommunications, Inc.,
"A"* ................................................................. 3,800 57,475
Iridium World Communications Co.*....................................... 16,400 648,825
Lucent Technologies, Inc. .............................................. 122,000 13,420,000
MCI WorldCom, Inc.* .................................................... 577,073 41,404,988
Metromedia Fiber Network, Inc.,
"A"* ................................................................. 1,600 53,600
Qwest Communications
International, Inc.* ................................................. 140,100 7,005,000
Sprint Corp. ........................................................... 111,900 9,413,587
TCA Cable TV, Inc. ..................................................... 1,510 53,888
Tel-Save.com, Inc.* .................................................... 74,500 1,247,875
Tele-Communications, Inc.* ............................................. 16,100 741,606
Tellabs, Inc.* ......................................................... 21,200 1,453,525
------------
$158,507,507
------------
Transportation -- 0.2%
FDX Corp.* ............................................................. 17,000 $ 1,513,000
------------
Total U.S. Stocks .................................................... $713,113,293
------------
Foreign Stocks -- 2.1%
Bermuda -- 0.1%
Ace Ltd. (Insurance) ................................................... 2,000 $ 68,875
Global Crossing Ltd.
(Telecommunications)* ................................................ 3,200 144,400
------------
$ 213,275
------------
Canada
Loewen Group, Inc. (Business
Services) ............................................................ 3,700 $ 31,219
------------
Finland -- 0.5%
Nokia Corp., ADR
(Telecommunications) ................................................. 26,500 $ 3,191,594
Tieto Corp. (Computer
Software - Systems) .................................................. 10,800 481,036
------------
$ 3,672,630
------------
France -- 0.1%
Alcatel Alsthom Compagnie, ADR
(Telecommunications) ................................................. 37,500 $ 916,406
------------
Germany
SAP AG, Preferred (Computer
Software - Systems) .................................................. 110 $ 52,441
------------
Ireland -- 0.3%
Elan Corp. PLC, ADR (Health
Products)* ........................................................... 31,900 $ 2,219,044
------------
</TABLE>
18-EGS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Netherlands -- 0.4%
Elsag Bailey Process Automation
N.V. (Machinery)* .................. 21,700 $ 849,012
Equant N.V. (Computer Software -
Services)* ......................... 35,900 2,434,469
------------
$ 3,283,481
United Kingdom -- 0.7%
ARM Holdings PLC, ADR (Computer
Software - Systems)* ............... 24,580 $ 1,480,945
CBT Group PLC, ADR (Computer
Software - Personal Computers)*..... 43,260 643,493
ICON PLC, ADR (Biotechnology)* ....... 400 13,400
Sema Group PLC (Computer
Software - Systems) ................ 214,800 2,113,047
Taylor Nelson Sofres PLC (Market
Research) .......................... 674,900 856,488
------------
$ 5,107,373
------------
Total Foreign Stocks .......................... $ 15,495,869
------------
Total Stocks
(Identified Cost, $494,746,334) ............. $728,609,162
------------
Short-Term Obligation -- 0.5%
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Home Loan Mortgage
Corp., due 1/14/99,
at Amortized Cost ................ $3,800 $ 3,793,016
------------
Total Investments
(Identified Cost, $498,539,350) .............. $732,402,178
Other Assets,
Less Liabilities -- 0.5% 3,849,008
------------
Net Assets -- 100.0% ........................... $736,251,186
============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- December 31, 1998
Managed Sectors Series
Stocks -- 97.6%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Financial Institutions -- 0.9%
Associates First Capital Corp., "A" ..... 19,800 $ 839,025
Schwab (Charles) Corp. .................. 40,500 2,275,594
------------
$ 3,114,619
------------
Leisure -- 17.3%
Ascend Communications, Inc.* ............ 64,800 $ 4,260,600
CBS Corp. ............................... 22,200 727,050
Century Telephone Enterprises, Inc....... 54,300 3,665,250
Colt Telecom Group (United
Kingdom) .............................. 72,000 1,086,911
Comcast Corp., "A" ...................... 60,200 3,532,987
Gemstar International Group Ltd.* ....... 6,200 354,950
Infinity Broadcasting Corp.* ............ 15,100 413,363
Jacor Communications, Inc.* ............. 70,600 4,544,875
MCI WorldCom, Inc.* ..................... 306,100 21,962,675
MediaOne Group, Inc.* ................... 17,800 836,600
Nokia Corp., ADR (Finland) .............. 34,100 4,106,919
Qwest Communications
International, Inc.* .................. 77,700 3,885,000
Sprint Corp. ............................ 63,200 5,316,700
Time Warner, Inc. ....................... 138,200 8,577,037
------------
$ 63,270,917
------------
Medical and Health Technology
and Services -- 13.3%
Amgen, Inc.* ............................ 27,000 $ 2,823,187
Bausch & Lomb, Inc. ..................... 18,400 1,104,000
Bergen Brunswig Corp. ................... 22,200 774,225
Biogen, Inc.* ........................... 18,100 1,502,300
Biomet, Inc. ............................ 17,500 704,375
Cardinal Health, Inc. ................... 50,450 3,827,894
CVS Corp. ............................... 123,100 6,770,500
Guidant Corp. ........................... 50,400 5,556,600
HealthSouth Corp.* ...................... 88,300 1,363,131
Idec Pharmaceuticals Corp.* ............. 10,800 507,600
McKesson Corp. .......................... 20,300 1,604,969
Medtronic, Inc. ......................... 71,200 5,286,600
Pfizer, Inc. ............................ 18,500 2,320,594
Rite Aid Corp. .......................... 123,400 6,116,012
Schering Plough Corp. ................... 40,800 2,254,200
Sepracor, Inc.* ......................... 54,600 4,811,625
United Healthcare Corp. ................. 7,900 340,194
Warner-Lambert Co. ...................... 10,100 759,394
------------
$ 48,427,400
------------
Technology -- 44.6%
3Com Corp.* ............................. 90,200 $ 4,042,087
Alltel Corp. ............................ 35,900 2,147,269
Altera Corp.* ........................... 36,300 2,209,762
Analog Devices, Inc.* ................... 77,200 2,422,150
ARM Holdings PLC
(United Kingdom) ...................... 43,300 933,795
BMC Software, Inc.* ..................... 104,700 4,665,694
Cisco Systems, Inc.* .................... 270,400 25,096,500
Compaq Computer Corp. ................... 32,600 1,367,163
Computer Associates International, Inc. 161,800 6,896,725
Computer Sciences Corp. ................. 12,400 799,025
Compuware Corp.* ........................ 233,000 18,203,125
EMC Corp.* .............................. 81,600 6,936,000
Equant N.V. (Netherlands)* .............. 13,700 929,031
Global Crossing Ltd. (Bermuda)* ......... 16,500 744,563
Global TeleSystems Group, Inc.* ......... 109,400 6,099,050
Intel Corp. ............................. 59,700 7,078,181
International Business Machines
Corp. ................................. 17,100 3,159,225
Lattice Semiconductor Corp.* ............ 6,700 307,572
Lexmark International Group, Inc.* ...... 11,100 1,115,550
</TABLE>
19-MSS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Technology -- continued
Linear Technology Corp. ................. 12,600 $ 1,128,488
Lucent Technologies, Inc. ............... 72,600 7,986,000
Micro Warehouse, Inc.* .................. 29,100 983,944
Microsoft Corp.* ........................ 163,500 22,675,406
Network Associates, Inc.* ............... 42,300 2,802,375
Oracle Corp.* ........................... 443,600 19,130,250
Sun Microsystems, Inc.* ................. 46,000 3,938,750
TeleCommunications, Inc.* ............... 60,100 2,768,356
Tellabs, Inc.* .......................... 22,500 1,542,656
Vodafone Group PLC (United
Kingdom)* ............................. 92,200 1,495,857
Xerox Corp. ............................. 6,000 708,000
Xilinx, Inc.* ........................... 33,600 2,188,200
------------
$162,500,749
------------
Other -- 21.5%
Albertsons, Inc. ........................ 10,900 $ 694,194
Anheuser Busch Cos., Inc. ............... 36,400 2,388,750
FDX Corp.* .............................. 36,200 3,221,800
Galileo International, Inc.* ............ 20,200 878,700
Gulfstream Aerospace Corp.* ............. 13,400 713,550
Home Depot, Inc. ........................ 45,600 2,790,150
Meyer (Fred), Inc.* ..................... 149,500 9,007,375
Office Depot, Inc.* ..................... 205,400 7,586,962
Philip Morris Cos., Inc. ................ 52,600 2,814,100
Safeway, Inc.* .......................... 65,900 4,015,781
Staples, Inc.* .......................... 149,400 6,526,913
Tyco International Ltd. ................. 421,200 31,774,275
Wal-Mart Stores, Inc. ................... 75,600 6,156,675
------------
$ 78,569,225
------------
Total Stocks
(Identified Cost, $281,604,851) ................ $355,882,910
------------
Short-Term Obligations -- 2.8%
Principal Amount
(000 Omitted)
Federal National Mortgage Assn.,
due 1/13/99 ........................... $ 5,030 $ 5,021,415
Ford Motor Credit Corp.,
due 1/04/99 ........................... 5,260 5,257,800
------------
Total Short-Term Obligations, at Amortized Cost . $ 10,279,215
------------
Total Investments
(Identified Cost, $291,884,066) ................ $366,162,125
Other Assets,
Less Liabilities -- (0.4)% (1,371,049)
------------
Net Assets -- 100.0% ............................. $364,791,076
============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- December 31, 1998
Research Series
Stocks -- 98.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 92.2%
Aerospace -- 2.8%
Lockheed-Martin Corp. ...................... 67,400 $ 5,712,150
United Technologies Corp. .................. 204,900 22,282,875
------------
$ 27,995,025
------------
Automotive -- 0.5%
Federal-Mogul Corp. ........................ 81,100 $ 4,825,450
------------
Banks and Credit Companies -- 2.3%
Bank of New York, Inc. ..................... 215,600 $ 8,677,900
Chase Manhattan Corp. ...................... 111,424 7,583,796
Wells Fargo Co.* ........................... 169,500 6,769,406
------------
$ 23,031,102
------------
Business Machines -- 2.0%
Sun Microsystems, Inc.* .................... 125,000 $ 10,703,125
Xerox Corp. ................................ 80,500 9,499,000
------------
$ 20,202,125
------------
Business Services -- 0.2%
Modis Professional Services, Inc.* ......... 141,000 $ 2,044,500
------------
Chemicals -- 0.5%
Cambrex Corp. .............................. 92,400 $ 2,217,600
E. I. du Pont de Nemours & Co. ............. 59,100 3,135,994
------------
$ 5,353,594
------------
Computer Software -- Personal
Computers -- 4.7%
Microsoft Corp.* ........................... 337,200 $ 46,765,425
------------
Computer Software --
Services -- 0.8%
EMC Corp.* ................................. 88,400 $ 7,514,000
------------
Computer Software --
Systems -- 8.2%
BMC Software, Inc.* ........................ 254,900 $ 11,358,981
Cadence Design Systems, Inc.* .............. 355,700 10,582,075
Computer Associates International, Inc. 255,600 10,894,950
Compuware Corp.* ........................... 230,500 18,007,812
Oracle Corp.* .............................. 518,725 22,370,016
Synopsys, Inc.* ............................ 135,800 7,367,150
------------
$ 80,580,984
------------
Consumer Goods and
Services -- 11.2%
Monsanto Co. ............................... 172,800 $ 8,208,000
Black & Decker Corp. ....................... 53,000 2,971,313
Clorox Co. ................................. 75,700 8,842,706
Colgate-Palmolive Co. ...................... 101,000 9,380,375
Dial Corp. ................................. 267,600 7,726,950
Gillette Co. ............................... 217,800 10,522,463
Newell Co. ................................. 108,000 4,455,000
Philip Morris Cos., Inc. ................... 258,175 13,812,362
Procter & Gamble Co. ....................... 150,900 13,779,056
Tyco International Ltd. .................... 411,512 31,043,436
------------
$110,741,661
------------
Containers -- 0.6%
Smurfit Stone Container Corp.* ............. 386,798 $ 6,116,243
------------
Electrical Equipment -- 1.4%
Emerson Electric Co. ....................... 234,200 $ 14,169,100
------------
Electronics -- 3.0%
Analog Devices, Inc.* ...................... 341,133 $ 10,703,048
Intel Corp. ................................ 140,200 16,622,462
Lattice Semiconductor Corp.* ............... 52,900 2,428,441
------------
$ 29,753,951
------------
</TABLE>
20-RES
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Entertainment -- 4.2%
CBS Corp. .............................................................. 326,800 $ 10,702,700
Disney (Walt) Co. ...................................................... 383,900 11,517,000
Jacor Communications, Inc.* ............................................ 14,400 927,000
MediaOne Group, Inc.* .................................................. 153,400 7,209,800
Time Warner, Inc. ...................................................... 180,000 11,171,250
------------
$ 41,527,750
------------
Financial Institutions -- 6.8%
American Express Co. ................................................... 51,500 $ 5,265,875
Associates First Capital Corp., "A" .................................... 244,306 10,352,467
Bear Stearns Cos., Inc. ................................................ 134,500 5,026,938
CIT Group, Inc., "A" ................................................... 131,600 4,186,525
Citigroup, Inc. ........................................................ 113,000 5,593,500
Federal Home Loan Mortgage
Corp. ................................................................ 180,700 11,643,856
Federal National Mortgage Assn. ........................................ 134,400 9,945,600
First Union Corp. ...................................................... 153,188 9,315,745
Morgan Stanley Dean Witter & Co. ....................................... 75,300 5,346,300
------------
$ 66,676,806
------------
Food and Beverage Products -- 3.0%
Archer-Daniels-Midland Co. ............................................. 244,840 $ 4,208,188
Dean Foods Co. ......................................................... 77,700 3,171,131
Hershey Foods Corp. .................................................... 133,500 8,302,031
Hormel Foods Corp. ..................................................... 82,200 2,692,050
McCormick & Co., Inc. .................................................. 99,455 3,362,822
Ralston-Ralston Purina Co. ............................................. 242,500 7,850,938
------------
$ 29,587,160
------------
Insurance -- 6.3%
Allstate Corp. ......................................................... 88,000 $ 3,399,000
CIGNA Corp. ............................................................ 126,200 9,756,837
Conseco, Inc. .......................................................... 192,039 5,869,192
Equitable Cos., Inc. ................................................... 183,400 10,614,275
Hartford Financial Services Group, Inc. 160,300 8,796,462
Lincoln National Corp. ................................................. 146,000 11,944,625
Nationwide Financial Services, Inc., "A" 99,600 5,148,075
ReliaStar Financial Corp. .............................................. 146,796 6,770,966
------------
$ 62,299,432
------------
Machinery -- 0.2%
Federal Signal Corp. ................................................... 81,100 $ 2,220,113
------------
Manufacturing -- 0.2%
Illinois Tool Works, Inc. .............................................. 32,400 $ 1,879,200
------------
Medical and Health Products -- 5.3%
American Home Products Corp. ........................................... 376,700 $ 21,212,918
Bristol-Myers Squibb Co. ............................................... 89,900 12,029,744
Pfizer, Inc. ........................................................... 151,600 19,016,325
------------
$ 52,258,987
------------
Medical and Health Technology
and Services -- 6.0%
Cardinal Health, Inc. .................................................. 74,200 $ 5,629,925
Guidant Corp. .......................................................... 129,800 14,310,450
HBO & Co. .............................................................. 616,400 17,682,975
HealthSouth Corp.* ..................................................... 576,981 8,907,144
United Healthcare Corp. ................................................ 290,100 12,492,431
------------
$ 59,022,925
------------
Oil Services -- 0.2%
Cooper Cameron Corp.* .................................................. 63,300 $ 1,550,850
------------
Oils -- 0.2%
Mobil Corp. ............................................................ 25,600 $ 2,230,400
------------
Pollution Control -- 0.4%
Browning Ferris Industries, Inc. ....................................... 134,200 $ 3,816,313
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Restaurants and Lodging -- 2.0%
Cendant Corp.* ......................................................... 237,000 $ 4,517,813
CKE Restaurants, Inc. .................................................. 191,290 5,631,099
McDonalds Corp. ........................................................ 122,900 9,417,212
------------
$ 19,566,124
------------
Special Products and
Services -- 0.9%
Newport News Shipbuilding, Inc. ........................................ 256,900 $ 8,590,094
------------
Stores -- 6.5%
American Stores Co. .................................................... 79,600 $ 2,940,225
CompUSA, Inc.* ......................................................... 208,200 2,719,613
CVS Corp. .............................................................. 251,500 13,832,500
Dayton Hudson Corp. .................................................... 171,600 9,309,300
Home Depot, Inc. ....................................................... 125,700 7,691,269
Office Depot, Inc.* .................................................... 160,300 5,921,081
Rite Aid Corp. ......................................................... 406,200 20,132,287
TJX Cos., Inc. ......................................................... 73,000 2,117,000
------------
$ 64,663,275
------------
Supermarkets -- 3.0%
Albertsons, Inc. ....................................................... 47,300 $ 3,012,419
Meyer (Fred), Inc.* .................................................... 214,018 12,894,585
Safeway, Inc.* ......................................................... 219,993 13,405,823
------------
$ 29,312,827
------------
Telecommunications -- 7.4%
3Com Corp.* ............................................................ 158,100 $ 7,084,856
Aspect Telecommunications Corp.*........................................ 146,300 2,523,675
Cisco Systems, Inc.* ................................................... 149,975 13,919,555
Intermedia Communications, Inc.* ....................................... 106,000 1,828,500
Lucent Technologies, Inc. .............................................. 98,800 10,868,000
MCI WorldCom, Inc.* .................................................... 382,864 27,470,492
Sprint Corp. ........................................................... 97,800 8,227,425
Sprint PCS* ............................................................ 48,850 1,129,656
------------
$ 73,052,159
------------
Utilities -- Electric -- 0.5%
CalEnergy Co., Inc.* ................................................... 152,000 $ 5,272,500
------------
Utilities -- Gas -- 0.9%
Columbia Energy Group .................................................. 65,100 $ 3,759,525
KN Energy, Inc. ........................................................ 127,500 4,637,813
------------
$ 8,397,338
------------
Total U.S. Stocks .................................................................... $911,017,413
------------
Foreign Stocks -- 5.9%
Bermuda -- 0.8%
Ace Ltd. (Insurance) ................................................... 139,000 $ 4,786,813
EXEL Ltd., "A" (Insurance) ............................................. 38,238 2,867,850
------------
$ 7,654,663
------------
France -- 0.7%
Alcatel Alsthom Compagnie, ADR
(Telecommunications) ................................................. 292,300 $ 7,143,081
------------
Italy -- 0.8%
San Paolo Imi S.p.A (Banks and
Credit Cos.) ......................................................... 431,040 $ 7,621,635
------------
Netherlands -- 1.0%
ING Groep N.V. (Financial
Services)* ........................................................... 157,930 $ 9,621,168
------------
Switzerland
Amoco Corp. (Oils) ..................................................... 11,200 $ 660,800
------------
</TABLE>
21-RES
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
United Kingdom -- 2.6%
British Aerospace PLC (Aerospace
and Defense)* .................................. 626,292 $ 5,329,844
British Petroleum PLC, ADR (Oils) ................ 176,095 16,729,025
Jarvis Hotels PLC (Restaurants and
Lodging)+ ...................................... 907,200 1,760,797
LucasVarity PLC (Automotive) ..................... 681,500 2,272,386
------------
$ 26,092,052
------------
Total Foreign Stocks ...................................... $ 58,793,399
------------
Total Stocks
(Identified Cost, $744,115,581) ......................... $969,810,812
------------
Short-Term Obligations -- 2.7%
Principal Amount
(000 Omitted)
Federal Home Loan Mortgage
Corp., due 1/14/99 ............................. $ 8,900 $ 8,883,641
General Electric Capital Corp.,
due 1/04/99 .................................... 17,700 17,692,596
------------
Total Short-Term Obligations, at Amortized Cost ........... $ 26,576,237
------------
Total Investments
(Identified Cost, $770,691,817) ......................... $996,387,049
Other Assets,
Less Liabilities -- (0.8)% (8,106,898)
------------
Net Assets -- 100.0% ...................................... $988,280,151
============
</TABLE>
See portfolio footnotes and notes to financial statements
Portfolio of Investments -- December 31, 1998
Total Return Series
Stocks -- 55.3%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 48.3%
Aerospace -- 2.4%
Allied Signal, Inc. ......................... 535,000 $ 23,707,187
General Dynamics Corp. ...................... 145,700 8,541,663
Raytheon Co., "A" ........................... 133,404 6,895,319
Raytheon Co., "B" ........................... 101,400 5,399,550
United Technologies Corp. ................... 17,600 1,914,000
------------
$ 46,457,719
------------
Automotive -- 0.7%
Ford Motor Co. .............................. 40,289 $ 2,364,461
TRW, Inc. ................................... 202,300 11,366,731
------------
$ 13,731,192
------------
Banks and Credit Companies -- 2.6%
Bank of New York, Inc. ...................... 57,812 $ 2,326,933
Mellon Bank Corp. ........................... 122,800 8,442,500
National City Corp. ......................... 248,360 18,006,100
PNC Bank Corp. .............................. 70,400 3,810,400
US Bancorp .................................. 117,100 4,157,050
Washington Mutual, Inc. ..................... 62,600 2,390,538
Wells Fargo Co.* ............................ 301,400 12,037,162
------------
$ 51,170,683
------------
Business Machines -- 1.5%
International Business Machines
Corp. ..................................... 148,000 $ 27,343,000
Xerox Corp. ................................. 14,000 1,652,000
------------
$ 28,995,000
------------
Cellular Telephones -- 0.2%
Telephone & Data Systems, Inc. .............. 84,900 $ 3,815,194
------------
Chemicals -- 0.2%
E. I. du Pont de Nemours & Co. .............. 83,500 $ 4,430,719
------------
Conglomerates -- 0.2%
Eastern Enterprises ......................... 108,700 $ 4,755,625
------------
Consumer Goods and
Services -- 2.5%
Gillette Co. ................................ 63,200 $ 3,053,350
Kimberly-Clark Corp. ........................ 261,100 14,229,950
Philip Morris Cos., Inc. .................... 379,400 20,297,900
Rubbermaid, Inc. ............................ 216,600 6,809,362
Tyco International Ltd. ..................... 46,200 3,485,213
------------
$ 47,875,775
------------
Electrical Equipment -- 0.8%
Emerson Electric Co. ........................ 192,000 $ 11,616,000
General Electric Co. ........................ 38,100 3,888,581
------------
$ 15,504,581
------------
Electronics -- 0.3%
AMP, Inc. ................................... 91,586 $ 4,768,196
Analog Devices, Inc.* ....................... 50,000 1,568,750
------------
$ 6,336,946
------------
Entertainment -- 1.9%
Disney (Walt) Co. ........................... 158,100 $ 4,743,000
Time Warner, Inc. ........................... 296,800 18,420,150
Viacom, Inc., "B"* .......................... 191,900 14,200,600
------------
$ 37,363,750
------------
Financial Institutions -- 3.1%
American Express Co. ........................ 175,500 $ 17,944,875
Associates First Capital Corp., "A" ......... 349,806 14,823,029
Edwards (A.G.), Inc. ........................ 273,550 10,189,738
Federal Home Loan Mortgage
Corp. ..................................... 254,200 16,380,012
------------
$ 59,337,654
------------
</TABLE>
22-TRS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Food and Beverage Products -- 2.2%
Archer-Daniels-Midland Co. ............................................... 847,080 $ 14,559,187
General Mills, Inc. ...................................................... 118,700 9,228,925
Hershey Foods Corp. ...................................................... 151,900 9,446,281
Hubbell, Inc. ............................................................ 112,000 4,256,000
McCormick & Co., Inc. .................................................... 129,100 4,365,194
------------
$ 41,855,587
------------
Forest and Paper Products -- 1.3%
Bowater, Inc. ............................................................ 108,800 $ 4,508,400
Champion International Corp. ............................................. 198,000 8,019,000
Weyerhaeuser Co. ......................................................... 253,800 12,896,212
------------
$ 25,423,612
------------
Insurance -- 5.0%
Allstate Corp. ........................................................... 65,900 $ 2,545,388
Chubb Corp. .............................................................. 241,900 15,693,262
CIGNA Corp. .............................................................. 28,500 2,203,406
Equitable Cos., Inc. ..................................................... 429,665 24,866,862
Jefferson Pilot Corp. .................................................... 134,100 10,057,500
Lincoln National Corp. ................................................... 242,900 19,872,256
Torchmark Corp. .......................................................... 165,800 5,854,813
Transamerica Corp. ....................................................... 145,500 16,805,250
------------
$ 97,898,737
------------
Machinery -- 0.1%
Lear Corp.* .............................................................. 40,340 $ 1,553,090
------------
Manufacturing -- 0.3%
Illinois Tool Works, Inc. ................................................ 85,400 $ 4,953,200
------------
Medical and Health Products -- 1.6%
American Home Products Corp. ............................................. 229,530 $ 12,925,408
Baxter International, Inc. ............................................... 52,300 3,363,544
Bristol-Myers Squibb Co. ................................................. 116,200 15,549,012
------------
$ 31,837,964
------------
Medical and Health Technology
and Services -- 1.1%
Columbia/HCA Healthcare Corp. ............................................ 660,000 $ 16,335,000
United Healthcare Corp. .................................................. 128,300 5,524,919
------------
$ 21,859,919
------------
Metals and Minerals -- 0.4%
Aluminum Co. of America .................................................. 113,100 $ 8,433,019
------------
Oil Services -- 0.4%
Schlumberger Ltd. ........................................................ 148,300 $ 6,840,338
------------
Oils -- 2.3%
Conoco, Inc., "A"* ....................................................... 265,200 $ 5,536,050
Exxon Corp. .............................................................. 88,100 6,442,313
Mobil Corp. .............................................................. 139,100 12,119,087
Texaco, Inc. ............................................................. 239,600 12,668,850
Unocal Corp. ............................................................. 260,400 7,600,425
------------
$ 44,366,725
------------
Photographic Products -- 0.7%
Eastman Kodak Co. ........................................................ 183,400 $ 13,204,800
------------
Pollution Control -- 0.5%
Browning Ferris Industries, Inc. ......................................... 322,400 $ 9,168,250
------------
Printing and Publishing -- 0.9%
Gannett Co., Inc. ........................................................ 134,600 $ 8,681,700
New York Times Co. ....................................................... 225,000 7,804,687
------------
$ 16,486,387
------------
Railroads -- 0.4%
Norfolk Southern Corp. ................................................... 234,100 $ 7,418,044
------------
Real Estate Investment Trusts -- 0.6%
Arden Realty, Inc. ....................................................... 81,100 $ 1,880,506
Boston Properties, Inc. .................................................. 62,900 1,918,450
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Real Estate Investment Trusts -- continued
Hospitality Properties Trust ............................................. 43,000 $ 1,037,375
Prime Group Realty Trust ................................................. 115,100 1,740,888
TriNet Corporate Realty Trust, Inc. ...................................... 200,400 5,360,700
------------
$ 11,937,919
------------
Restaurants and Lodging -- 0.8%
McDonalds Corp. .......................................................... 202,900 $ 15,547,213
------------
Stores -- 1.7%
American Stores Co. ...................................................... 202,300 $ 7,472,456
Dayton Hudson Corp. ...................................................... 262,600 14,246,050
Rite Aid Corp. ........................................................... 196,580 9,742,996
Sears, Roebuck & Co. ..................................................... 20,700 879,750
------------
$ 32,341,252
------------
Supermarkets -- 1.0%
Albertsons, Inc. ......................................................... 69,200 $ 4,407,175
Meyer (Fred), Inc.* ...................................................... 214,800 12,941,700
Safeway, Inc.* ........................................................... 47,000 2,864,062
------------
$ 20,212,937
------------
Telecommunications -- 4.2%
AT&T Corp. ............................................................... 190,300 $ 14,320,075
Bell Atlantic Corp. ...................................................... 112,300 5,951,900
GTE Corp. ................................................................ 407,600 26,494,000
SBC Communications, Inc. ................................................. 355,006 19,037,197
Sprint Corp. ............................................................. 192,200 16,168,825
------------
$ 81,971,997
------------
Utilities -- Electric -- 4.3%
Carolina Power & Light Co. ............................................... 322,200 $ 15,163,537
CMS Energy Corp. ......................................................... 131,700 6,379,219
DPL, Inc. ................................................................ 218,000 4,714,250
GPU, Inc. ................................................................ 216,400 9,562,175
New Century Energies, Inc. ............................................... 82,500 4,021,875
Pacificorp ............................................................... 237,800 5,008,663
Pinnacle West Capital Corp. .............................................. 268,000 11,356,500
Sempra Energy ............................................................ 267,200 6,780,200
Sierra Pacific Resources ................................................. 143,000 5,434,000
Southern Co. ............................................................. 332,800 9,672,000
Texas Utilities Co. ...................................................... 114,000 5,322,375
------------
$ 83,414,794
------------
Utilities -- Gas -- 2.1%
Coastal Corp. ............................................................ 578,000 $ 20,193,875
Columbia Energy Group .................................................... 216,300 12,491,325
National Fuel Gas Co. .................................................... 62,300 2,815,181
UGI Corp. ................................................................ 130,000 3,087,500
Washington Gas Light Co. ................................................. 44,700 1,212,488
Williams Cos., Inc. ...................................................... 49,900 1,556,256
------------
$ 41,356,625
------------
Total U.S. Stocks ...................................................................... $937,857,247
------------
Foreign Stocks -- 7.0%
Canada -- 0.3%
Canadian National Railway Co.
(Railroads) ............................................................ 125,100 $ 6,489,563
------------
France -- 0.1%
Alcatel Alsthom Compagnie, ADR
(Telecommunications) ................................................... 122,000 $ 2,981,375
------------
Netherlands -- 1.9%
Akzo Nobel N.V. (Chemicals) .............................................. 286,400 $ 13,028,571
ING Groep N.V. (Financial
Services)* ............................................................. 327,387 19,944,566
Royal Dutch Petroleum Co., ADR
(Oils) ................................................................. 64,300 3,078,363
------------
$ 36,051,500
------------
</TABLE>
23-TRS
<PAGE>
Portfolio of Investments -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Sweden -- 0.6%
Volvo AB, ADR (Automotive) ............ 497,500 $ 11,597,969
--------------
Switzerland -- 1.4%
Amoco Corp. (Oils) .................... 156,600 $ 9,239,400
Nestle S.A. (Food and Beverage
Products) ........................... 7,850 17,088,824
--------------
$ 26,328,224
--------------
United Kingdom -- 2.7%
British Petroleum PLC, ADR (Oils) ..... 220,044 $ 20,904,180
Diageo PLC (Food and Beverage
Products) ........................... 91,219 1,010,082
Glaxo Wellcome PLC, ADR (Medical
and Health Products) ................ 249,100 17,312,450
SmithKline-Beecham PLC, ADR
(Medical and Health Products) ....... 204,600 14,219,700
--------------
$ 53,446,412
--------------
Total Foreign Stocks ........................... $ 136,895,043
--------------
Total Stocks
(Identified Cost, $914,024,982) .............. $1,074,752,290
--------------
Convertible Preferred Stocks -- 1.8%
Consumer Goods and
Services -- 0.5%
Newell Financial Trust Co.,
5.25%*## ............................ 144,200 $ 7,606,550
Newell Financial Trust I 5.25%* ....... 42,000 2,215,500
--------------
$ 9,822,050
--------------
Entertainment -- 0.4%
MediaOne Group, Inc., 6.25% ........... 117,200 $ 7,793,800
--------------
Financial Institutions -- 0.2%
Mckesson Financing Trust, 5% .......... 38,000 $ 4,123,000
--------------
Insurance -- 0.4%
Lincoln National Corp., 7.75% ......... 312,000 $ 7,351,500
--------------
Utilities -- Electric -- 0.3%
Texas Utilities Co., 9.25% ............ 112,000 $ 6,314,000
--------------
Total Convertible Preferred Stocks
(Identified Cost, $34,341,981) ................ $ 35,404,350
--------------
Preferred Stocks --
0.1%
Banks and Credit Companies -- 0.1%
NB Capital Corp. ...................... 68,000 $ 1,772,250
--------------
Utilities -- Gas
El Paso Tennessee Pipeline Co.,
8.25% ............................... 16,000 $ 868,000
--------------
Total Preferred Stocks
(Identified Cost, $2,500,000) ................. $ 2,640,250
--------------
Bonds -- 37.8%
Principal Amount
(000 Omitted)
U.S. Bonds -- 37.1%
Aerospace -- 0.2%
Northrup Grumman Corp., 9.375s,
2024 ................................ $ 1,145 $ 1,307,086
Raytheon Co., 6.4s, 2018## ............ 1,585 1,573,113
--------------
$ 2,880,199
--------------
Airlines -- 0.9%
Continental Airlines, Inc., 9.5s,
2001 ................................ $ 4,675 $ 4,897,062
Jet Equipment Trust, 9.41s, 2010##..... 1,000 1,208,860
Jet Equipment Trust, 8.64s, 2012##..... 924 1,028,667
</TABLE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Airlines -- continued
Jet Equipment Trust, 11.44s,
2014## ................................ $ 1,200 $ 1,541,856
Jet Equipment Trust, 10.69s,
2015## ................................ 1,000 1,230,000
Northwest Airlines, Inc., 7.625s,
2005 .................................. 2,943 2,789,846
Northwest Airlines, Inc., 8.7s, 2007..... 1,385 1,364,918
United Airlines Pass-Through Trust,
7.27s, 2013+ .......................... 3,673 3,715,191
------------
$ 17,776,400
------------
Apparel and Textiles -- 0.1%
Jones Apparel, 6.25s, 2001## ............ $ 2,725 $ 2,711,866
------------
Automotive -- 0.3%
Federal-Mogul Corp., 7.5s, 2004 ......... $ 2,360 $ 2,382,774
Federal-Mogul Corp., 7.75s, 2006 ........ 815 827,584
Ford Motor Co., 8.9s, 2032 .............. 2,140 2,852,213
------------
$ 6,062,571
------------
Banks and Credit Companies -- 0.9%
Beaver Valley Funding Corp., 9s,
2017 .................................. $ 5,221 $ 6,024,042
Capital One Financial Corp., 7.25s,
2003 .................................. 1,500 1,478,535
Colonial Capital II, 8.92s, 2027 ........ 1,115 1,195,893
First Chicago NBD Institutional
Capital, 7.95s, 2026## ................ 850 932,493
MBNA Capital, 8.278s, 2026 .............. 3,700 3,796,052
Riggs National Corp., 8.5s, 2006 ........ 1,000 1,040,840
State Street Bank & Trust I, 7.94s,
2026## ................................ 1,700 1,908,148
Washington Mutual Capital I,
8.375s, 2027 .......................... 1,750 1,919,452
------------
$ 18,295,455
------------
Beverages -- 0.3%
Seagram (Joseph E) & Sons, Inc.,
6.4s, 2003 ............................ $ 5,950 $ 5,924,891
------------
Building -- 0.3%
Mcdermott, Inc., 9.375s, 2002 ........... $ 4,780 $ 4,973,638
Owens Corning Fiberglass Corp.,
9.9s, 2015## .......................... 723 780,647
------------
$ 5,754,285
------------
Business Machines -- 0.1%
Xerox Corp., 0s, 2018 ................... $ 4,280 $ 2,648,250
------------
Chemicals -- 0.2%
Solutia, Inc., 7.375s, 2027 ............. $ 4,490 $ 4,401,592
------------
Construction Services -- 0.3%
Georgia Pacific Corp., 9.875s, 2021...... $ 2,825 $ 3,192,674
Georgia Pacific Corp., 9.5s, 2022 ....... 2,240 2,524,569
------------
$ 5,717,243
------------
Consumer Goods and
Services -- 0.4%
Hilfiger (Tommy) USA, Inc., 6.5s,
2003 .................................. $ 2,370 $ 2,335,801
Hilfiger (Tommy) USA, Inc., 6.85s,
2008 .................................. 1,795 1,728,818
Protection One Alarm Monit Inc.,
7.375s, 2005## ........................ 3,820 3,842,385
------------
$ 7,907,004
------------
</TABLE>
24-TRS
<PAGE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Corporate Asset Backed -- 5.5%
AT&T Universal Card Master Trust,
5.319s, 2003 ....................................................... $ 18,000 $ 17,938,080
AT&T Universal Card Master Trust,
5.492s, 2004 ....................................................... 6,000 5,979,360
Banamex Credit Card Merchant
Voucher, 6.25s, 2003## ............................................. 2,000 2,001,875
BCF LLC, 7.75s, 2026## ............................................... 867 771,010
Beneficial Home Equity Loan Trust,
5.168s, 2037 ....................................................... 8,744 8,664,842
Charming Shoppes Master Trust,
7s, 1999 ........................................................... 3,193 3,203,952
Contimorgage Home Equity, 6.13s,
2013 ............................................................... 5,000 5,010,900
Continental Airlines Pass-Through
Trust, Inc., 6.41s, 2007 ........................................... 650 636,376
Continental Airlines Pass-Through
Trust, Inc., 7.461s, 2015 .......................................... 395 409,401
Continental Airlines Pass-Through
Trust, Inc., 6.648s, 2017 .......................................... 1,375 1,353,165
Continental Airlines, Inc., 9.5s,
2013 ............................................................... 811 915,000
Continental Airlines, Inc., 10.22s,
2014 ............................................................... 2,704 3,199,163
Criimi Mae Commercial Mortgage
Trust, 7s, 2011 .................................................... 1,630 1,529,908
First Chicago Master Trust, 5.816s,
2003 ............................................................... 5,054 5,046,103
Ford Credit Auto Owner Trust, 5.8s,
2000 ............................................................... 4,129 4,137,187
MBNA Master Credit Card Trust II,
5.458s, 2005 ....................................................... 3,100 3,083,508
Merrill Lynch Mortgage Investors,
Inc., 8.333s, 2022+ ................................................ 514 485,971
Partners First Credit Card Master
Trust, 5.635s, 2027 ................................................ 14,000 13,960,625
Peoples Bank Credit Card Master
Trust, 5.655s, 2004 ................................................ 6,772 6,762,993
Residential Accredit Lns, Inc., 7s,
2028 ............................................................... 3,000 3,045,000
SLM Student Loan Trust, 5.541s,
2007 ............................................................... 7,578 7,462,285
Time Warner Pass-Through Asset
Trust, 6.1s, 2001## ................................................ 11,780 11,969,776
------------
$107,566,480
------------
Entertainment -- 1.5%
Circus Circus Enterprises, Inc., 7s,
2036 ............................................................... $ 1,548 $ 1,414,114
Disney (Walt) Co., 5.125s, 2003 ...................................... 3,515 3,485,087
Hearst Argyle Television, Inc., 7s,
2018 ............................................................... 1,110 1,108,812
Hearst Argyle Television, Inc., 7.5s,
2027 ............................................................... 2,511 2,619,902
News America Holdings, Inc., 8s,
2016 ............................................................... 4,130 4,549,236
News America Holdings, Inc.,
8.875s, 2023 ....................................................... 1,540 1,866,727
News America Holdings, Inc., 9.5s,
2024 ............................................................... 1,750 2,253,405
News America Holdings, Inc., 7.75s,
2045 ............................................................... 600 635,400
Time Warner, Inc., 7.57s, 2024 ....................................... 1,540 1,743,049
Viacom, Inc., 6.75s, 2003 ............................................ 9,325 9,594,026
------------
$ 29,269,758
------------
</TABLE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Financial Institutions -- 2.4%
Associates Corp., 5.75s, 2003 ........................................ $ 6,020 $ 6,069,665
Capital One Bank, 6.7s, 2008 ......................................... 4,070 3,935,771
Contifinancial Corp., 7.5s, 2002 ..................................... 500 359,535
Donaldson Lufkin & Jenrette, 6.5s,
2008 ............................................................... 810 832,883
First Empire Capital Trust I, 8.234s,
2027 ............................................................... 3,800 4,200,292
First Merchants Acceptance Corp.,
9.5s, 2006** ....................................................... 640 256,000
Goldman Sachs Group LP, 5.9s,
2003 ............................................................... 3,400 3,438,284
GS Escrow Corp., 6.75s, 2001## ....................................... 9,130 8,916,084
GS Escrow Corp., 7.125s, 2005## ...................................... 6,425 6,330,681
Leucadia Capital Trust, 8.65s, 2027................................... 1,300 1,395,069
Natexis Ambs Co. LLC, 8.44s,
2049## ............................................................. 1,625 1,495,000
Providian National Bank, 6.7s, 2003................................... 2,500 2,528,425
Riggs Capital II, 8.875s, 2027 ....................................... 1,150 1,224,244
Salton Sea Funding Corp., 7.37s,
2005 ............................................................... 1,267 1,318,381
Salton Sea Funding Corp., 7.84s,
2010 ............................................................... 2,325 2,672,564
Salton Sea Funding Corp., 8.3s,
2011 ............................................................... 800 888,720
United Cos. Financial Corp., 7.7s,
2004 ............................................................... 850 597,941
------------
$ 46,459,539
------------
Food Products -- 0.1%
Nabisco, Inc., 6.375s, 2035 .......................................... $ 1,554 $ 1,504,552
------------
Forest and Paper Products -- 0.2%
Boise Cascade Co., 7.43s, 2005 ....................................... $ 717 $ 708,360
Georgia Pacific Corp., 7.25s, 2028.................................... 3,390 3,415,154
------------
$ 4,123,514
------------
Industrial -- 0.8%
Lowes Cos., Inc., 6.875s, 2028 ....................................... $ 850 $ 892,254
Owens Illinois, Inc., 7.35s, 2008 .................................... 4,500 4,590,900
Owens Illinois, Inc., 7.5s, 2010 ..................................... 4,000 4,076,080
Owens Illinois, Inc., 7.8s, 2018 ..................................... 5,300 5,287,492
------------
$ 14,846,726
------------
Insurance -- 1.2%
Atlantic Mutual Insurance Co.,
8.15s, 2028## ...................................................... $ 4,983 $ 5,014,443
Conseco, Inc., 6.4s, 2001 ............................................ 2,875 2,769,717
Fairfax Financial Holdings Ltd.,
7.375s, 2018 ....................................................... 2,125 2,057,489
NGC Corp. Capital Trust I, 8.316s,
2027 ............................................................... 5,580 5,655,051
Providian Capital I, 9.525s, 2027##................................... 3,050 3,089,497
Safeco Capital Trust I, 8.072s, 2037.................................. 3,965 4,418,081
------------
$ 23,004,278
------------
Medical and Health Products -- 0.2%
Bausch & Lomb, Inc., 6.5s, 2005 ...................................... $ 1,560 $ 1,517,240
Bausch & Lomb, Inc., 7.125s, 2028..................................... 1,560 1,457,212
Merck & Company, Inc., 5.95s,
2028 ............................................................... 1,135 1,133,014
------------
$ 4,107,466
------------
Medical and Health Technology
and Services -- 0.4%
Columbia/HCA Healthcare Corp.,
6.5s, 1999 ......................................................... $ 850 $ 849,031
Columbia/HCA Healthcare Corp.,
6.875s, 2001 ....................................................... 850 843,574
</TABLE>
25-TRS
<PAGE>
Portfolio of Investments -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Medical and Health Technology
and Services -- continued
Columbia/HCA Healthcare Corp.,
7.69s, 2025 ........................................................ $ 3,035 $ 2,750,560
Tenet Healthcare Corp., 7.625s,
2008## ............................................................. 2,250 2,283,750
------------
$ 6,726,915
------------
Oil Services -- 0.1%
KCS Energy, Inc., 8.875s, 2008 ....................................... $ 850 $ 595,000
Ultramar Diamond Shamrock Corp.,
7.2s, 2017 ......................................................... 1,680 1,672,541
------------
$ 2,267,541
------------
Oils -- 1.0%
Husky Oil Ltd., 8.9s, 2028 ........................................... $ 3,850 $ 3,974,663
Lasmo USA, Inc., 7.125s, 2003 ........................................ 801 804,260
Lasmo USA, Inc., 6.75s, 2007 ......................................... 2,680 2,697,768
Occidental Petroleum Corp.,
10.125s, 2001 ...................................................... 2,760 3,017,674
Oryx Energy Co., 8.375s, 2004 ........................................ 2,645 2,827,743
Petroleum Geo Services, 7.125s,
2028 ............................................................... 3,670 3,429,211
Seagull Energy Corp., 7.5s, 2027 ..................................... 2,009 1,799,401
------------
$ 18,550,720
------------
Railroads -- 0.1%
Union Pacific Corp., 6.34s, 2003 ..................................... $ 1,510 $ 1,518,154
------------
Restaurants and Lodging -- 0.1%
Circus Circus Enterprises, Inc.,
6.7s, 2096 ......................................................... $ 1,700 $ 1,593,886
------------
Stores -- 0.4%
Dillards, Inc., 7.13s, 2018 .......................................... $ 1,560 $ 1,595,537
Saks, Inc., 8.25s, 2008 .............................................. 6,195 6,606,162
------------
$ 8,201,699
------------
Telecommunications -- 1.3%
Continental Cablevision, Inc., 11s,
2007 ............................................................... $ 1,350 $ 1,450,035
MCI Worldcom, Inc., 7.55s, 2004 ...................................... 770 839,670
Qwest Communications
International, Inc., 7.5s, 2008## .................................. 2,210 2,295,637
TCI Communications Financing III,
9.65s, 2027 ........................................................ 4,505 5,562,954
TCI Communications, Inc., 8s, 2005.................................... 1,312 1,477,036
TCI Communications, Inc., 7.125s,
2028 ............................................................... 1,570 1,710,908
Tele-Communications, Inc, 7.375s,
2000 ............................................................... 7,000 7,152,250
Tele-Communications, Inc., 7.875s,
2013 ............................................................... 2,110 2,472,013
Turner Broadcasting Systems, Inc.,
8.375s, 2013 ....................................................... 523 625,131
WorldCom, Inc., 8.875s, 2006 ......................................... 1,600 1,748,752
------------
$ 25,334,386
------------
Transportation -- 0.1%
Federal Express Corp., 7.65s, 2014.................................... $ 1,182 $ 1,230,488
------------
U.S. Federal Agencies -- 2.0%
Federal National Mortgage
Association -- 2.0%
FNMA, 6s, 2013 ....................................................... $26,517 $ 26,583,470
FNMA, 6.5s, 2027 -- 2029 ............................................. 13,068 13,153,737
------------
Total U.S. Federal Agencies ..................................................... $ 39,737,207
------------
</TABLE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
U.S. Government Guaranteed -- 11.3%
U.S. Treasury Obligations -- 6.6%
U.S. Treasury Bonds, 12.375s,
2004 ............................................................... $ 1,900 $ 2,579,250
U.S. Treasury Bonds, 9.875s, 2015..................................... 5,900 8,873,954
U.S. Treasury Bonds, 6.375s, 2027..................................... 23,595 27,119,385
U.S. Treasury Bonds, 6.125s, 2027..................................... 39,177 43,853,559
U.S. Treasury Bonds, 5.25s, 2028 ..................................... 14,655 15,003,056
U.S. Treasury Notes, 6.625s, 2002 .................................... 1,600 1,691,248
U.S. Treasury Notes, 6.5s, 2005 ...................................... 3,185 3,500,506
U.S. Treasury Notes, 4.75s, 2008 ..................................... 24,937 25,131,758
------------
$127,752,716
------------
Government National Mortgage
Association -- 4.7%
GNMA, 6.5s, 2028 -- 2028 ............................................. $14,746 $ 14,893,459
GNMA, 7s, 2027 -- 2028 ............................................... 10,051 10,283,030
GNMA, 7.5s, 2024 -- 2028 ............................................. 43,063 44,394,950
GNMA, 8s, 2025 -- 2027 ............................................... 20,704 21,454,820
------------
$ 91,026,259
------------
Total U.S. Government Guaranteed............................................. $218,778,975
------------
Utilities -- Electric -- 3.7%
CalEnergy Co., Inc., 7.23s, 2005 ..................................... $ 1,505 $ 1,532,948
CalEnergy Co., Inc., 7.63s, 2007 ..................................... 1,000 1,071,100
CalEnergy Co., Inc., 7.52s, 2008 ..................................... 2,255 2,360,489
Cleveland Electric Illuminating Co.,
7.88s, 2017 ........................................................ 2,800 2,893,856
Cleveland Electric Illuminating Co.,
9s, 2023 ........................................................... 2,325 2,559,244
Comed Financing II, 8.5s, 2027 ....................................... 1,500 1,715,040
Commonwealth Edison Co., 7.625s,
2007 ............................................................... 1,635 1,806,397
Commonwealth Edison Co., 6.95s,
2018 ............................................................... 3,295 3,413,653
Connecticut Light & Power Co.,
8.59s, 2003 ........................................................ 3,000 3,112,500
Connecticut Light & Power Co.,
7.875s, 2024 ....................................................... 2,500 2,593,500
Edison Mission Energy, 7.33s,
2008## ............................................................. 475 503,940
El Paso Electric Co., 8.9s, 2006 ..................................... 1,490 1,652,052
GGIB Funding Corp., 7.43s, 2011 ...................................... 7,335 7,623,756
Illinois Power Special Purpose Trust,
5.26s, 2003 ........................................................ 1,429 1,428,500
Long Island Lighting Co., 8.2s,
2023 ............................................................... 3,650 3,959,775
Midland Cogeneration Venture
Corp., 10.33s, 2002 ................................................ 457 487,186
Midland Funding Corp. II, "A",
11.75s, 2005 ....................................................... 1,125 1,304,888
Niagara Mohawk Power Corp.,
7.75s, 2006 ........................................................ 2,987 3,279,696
Niagara Mohawk Power Corp.,
8.77s, 2018 ........................................................ 3,015 3,429,351
Niagara Mohawk Power Corp.,
8.75s, 2022 ........................................................ 2,345 2,557,223
Niagara Mohawk Power Corp., 8.5s,
2023 ............................................................... 1,400 1,491,602
North Atlantic Energy, 9.05s, 2002 ................................... 1,137 1,181,332
Northeast Utilities, 8.58s, 2006 ..................................... 1,002 1,070,135
PP&L, Inc., 6.125s, 2001 ............................................. 3,000 3,044,610
Seabrook Station -- Unit 1, 7.83s,
2019 ............................................................... 1,649 1,867,602
Texas & New Mexico Power Co.,
12.5s, 1999 ........................................................ 2,500 2,504,075
</TABLE>
26-TRS
<PAGE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Utilities -- Electric -- continued
Texas Utilities Co., 6.375s, 2008 .................................... $3,000 $ 2,948,040
Toledo Edison Co., 7.875s, 2004 ...................................... 2,350 2,450,650
Utilicorp United, Inc., 8.45s, 1999 .................................. 3,790 3,873,115
Waterford 3 Funding Energy Corp.,
8.09s, 2017 ........................................................ 2,340 2,536,911
------------
$ 72,253,166
------------
Utilities -- Gas -- 0.7%
Coastal Corp., 6.5s, 2008 ............................................ $2,070 $ 2,121,854
Coastal Corp., 7.75s, 2035 ........................................... 1,495 1,645,397
Coastal Corp., 7.42s, 2037 ........................................... 2,595 2,741,254
Louis Dreyfus Natural Gas Corp.,
6.875s, 2007 ....................................................... 1,800 1,594,818
Tennessee Gas Pipeline Co., 7s,
2028 ............................................................... 880 897,890
Tennessee Gas Pipeline Co.,
7.625s, 2037 ....................................................... 2,126 2,337,941
Texas Gas Transmission Corp.,
7.25s, 2027 ........................................................ 1,700 1,743,180
------------
$ 13,082,334
------------
Total U.S. Bonds ..................................................................... $720,237,540
------------
Foreign Bonds -- 0.7%
Argentina -- 0.2%
Hidroelectrica Alicura, 8.375s, 1999
(Utilities -- Electric)## .......................................... $4,296 $ 4,188,600
------------
Canada -- 0.1%
Gulf Canada Resources, 9.25s,
2004 (Oils) ........................................................ $2,445 $ 2,505,343
------------
Chile -- 0.1%
Empresa Nacional de Electric,
7.325s, 2037 (Utilities -- Electric)................................ $1,610 $ 1,419,199
------------
Colombia -- 0.1%
Republic of Colombia, 8.75s, 1999
(Government) ....................................................... $1,000 $ 1,007,500
------------
Finland -- 0.1%
UPM Kymmene Corp., 7.45s, 2027
(Forest and Paper Products)## ...................................... $2,000 $ 2,001,640
------------
Mexico
Corporacion Andina de Fomento,
7.1s, 2003 (Banks and Credit
Cos.) .............................................................. $ 390 $ 384,189
------------
Netherlands -- 0.1%
Daimler Benz, 0s,
2017(Automotive)## ................................................. $1,850 $ 1,093,812
------------
Norway
Union Bank Norway, 7.35s, 2049
(Banks and Credit Cos.)## .......................................... $ 727 $ 724,928
------------
Thailand
Jasmine Submarine Telecom Ltd.,
8.483s, 2011 (Industrial)## ........................................ $ 750 $ 622,523
------------
Total Foreign Bonds .................................................................. $ 13,947,734
------------
Total Bonds
(Identified Cost, $727,537,253) .................................................... $734,185,274
------------
Convertible Bonds -- 0.6%
Business Machines -- 0.2%
Xerox Corp., 0s, 2018## .............................................. $7,250 $ 4,485,937
------------
Financial Services -- 0.2%
Bell Atlantic Financial Services, Inc.,
4.25s, 2005## ...................................................... $4,170 $ 4,274,250
------------
</TABLE>
Convertible Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Medical and Health Technology
and Services -- 0.2%
HealthSouth Corp., 3.25s, 2003 ....................................... $3,180 $ 2,699,025
------------
Total Convertible Bonds
(Identified Cost, $11,222,517) ........................................... $ 11,459,212
------------
Municipal Bonds -- 0.2%
Electric and Gas Utility
Revenue -- 0.2%
Long Island, NY, 5.125s, 2022
(Identified Cost $2,851,773)........................................ $2,900 $ 2,922,417
------------
Rights -- 0.4%
Shares
CVS Corp.* (Identified Cost,
$4,990,547)........................................................ 66,900 $ 6,702,544
--------------
Short-Term Obligations -- 3.0%
Principal Amount
(000 Omitted)
Federal Home Loan Mortgage
Corp., due 1/14/99 -- 2/04/99 ..................................... $28,900 $ 28,808,388
Federal National Mortgage Assn.,
due 1/07/99 ....................................................... 17,240 17,225,375
General Electric Capital Corp.,
due 1/04/99 ....................................................... 2,900 2,898,787
Merrill Lynch & Co., Inc.,
due 1/12/99 ....................................................... 8,800 8,785,426
--------------
Total Short-Term Obligations, at Amortized Cost ............ $ 57,717,976
--------------
Total Investments
(Identified Cost, $1,755,187,029) ........................ $1,925,784,313
Other Assets,
Less Liabilities -- 0.8% 16,326,360
--------------
Net Assets -- 100.0% ....................................... $1,942,110,673
==============
</TABLE>
See portfolio footnotes and notes to financial statements
27-TRS
<PAGE>
Portfolio of Investments -- December 31, 1998
Utilities Series
Stocks -- 81.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 59.2%
Conglomerates -- 1.5%
Eastern Enterprises .................................................... 78,400 $ 3,430,000
------------
Entertainment -- 0.7%
MediaOne Group, Inc.* .................................................. 33,200 $ 1,560,400
------------
Real Estate Investment Trusts -- 6.1%
Beacon Capital Partners, Inc.*## ....................................... 66,000 $ 1,047,750
Camden Property Trust .................................................. 52,900 1,375,400
CarrAmerica Realty Corp. ............................................... 45,800 1,099,200
CBL & Associates Properties, Inc. ...................................... 27,800 717,588
Equity Office Properties Trust ......................................... 35,300 847,200
Equity Residential Properties Trust .................................... 16,300 659,131
First Industrial Realty Trust, Inc. .................................... 32,700 876,769
Highwoods Properties, Inc. ............................................. 52,500 1,351,875
Kilroy Realty Corp. .................................................... 31,800 731,400
Koger Equity, Inc. ..................................................... 44,100 757,969
Mack-Cali Realty Corp. ................................................. 28,800 889,200
Meditrust Cos. ......................................................... 86,400 1,306,800
SL Green Realty Corp. .................................................. 47,300 1,022,862
TriNet Corporate Realty Trust, Inc. .................................... 47,200 1,262,600
------------
$ 13,945,744
------------
Special Products and Services -- 2.2%
MCN Energy Group, Inc. ................................................. 182,100 $ 3,471,281
USEC, Inc. ............................................................. 104,600 1,451,325
------------
$ 4,922,606
------------
Telecommunications -- 13.7%
AirTouch Communications, Inc.* ......................................... 7,300 $ 526,513
Allegiance Telecom, Inc.* .............................................. 30,600 371,025
Alltel Corp. ........................................................... 77,500 4,635,469
Ameritech Corp. ........................................................ 67,700 4,290,487
Bell Atlantic Corp. .................................................... 33,956 1,799,668
Cellular Communications
International, Inc.* ................................................. 1,300 88,400
Century Telephone Enterprises, Inc...................................... 27,350 1,846,125
Cincinnati Bell, Inc. .................................................. 54,100 2,045,656
Cincinnati Bell, Inc.* ................................................. 34,500 586,500
GTE Corp. .............................................................. 52,100 3,386,500
Intermedia Communications, Inc.* ....................................... 206,000 3,553,500
IXC Communications, Inc.* .............................................. 32,300 1,086,088
MCI WorldCom, Inc.* .................................................... 32,866 2,358,135
Qwest Communications
International, Inc.* ................................................. 14,000 700,000
SBC Communications, Inc. ............................................... 42,036 2,254,181
Tele-Communications, Inc.* ............................................. 25,700 1,421,531
------------
$ 30,949,778
------------
Utilities -- Electric -- 24.0%
AES Corp.* ............................................................. 27,700 $ 1,312,288
Atmos Energy Corp. ..................................................... 92,400 2,979,900
BEC Energy ............................................................. 12,200 502,488
CalEnergy Co., Inc.* ................................................... 150,300 5,213,531
Cinergy Corp. .......................................................... 35,600 1,223,750
CMS Energy Corp. ....................................................... 80,000 3,875,000
CMS Energy Corp., "G" .................................................. 51,700 1,305,425
DQE, Inc. .............................................................. 38,700 1,700,381
Edison International ................................................... 63,300 1,764,487
El Paso Electric Co.* .................................................. 155,300 1,358,875
FirstEnergy Corp. ...................................................... 107,700 3,506,981
GPU, Inc. .............................................................. 101,600 4,489,450
Illinova Corp. ......................................................... 72,400 1,810,000
Niagara Mohawk Power Corp.* ............................................ 152,300 2,455,837
NIPSCO Industries, Inc. ................................................ 30,200 919,213
Northern States Power Co. .............................................. 13,900 385,725
Peco Energy Co. ........................................................ 99,200 4,129,200
Pinnacle West Capital Corp. ............................................ 104,300 4,419,712
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Utilities -- Electric -- continued
Public Service Co. of New Mexico ....................................... 28,000 $ 572,250
Public Service Enterprise Group ........................................ 31,400 1,256,000
Sierra Pacific Resources ............................................... 85,700 3,256,600
Texas Utilities Co. .................................................... 90,800 4,239,225
Unicom Corp. ........................................................... 42,600 1,642,763
------------
$ 54,319,081
------------
Utilities -- Gas -- 11.0%
Coastal Corp. .......................................................... 72,700 $ 2,539,956
Columbia Energy Group .................................................. 80,450 4,645,987
Connecticut Energy Group ............................................... 17,700 539,850
Consolidated Natural Gas Co. ........................................... 9,100 491,400
El Paso Energy Corp. ................................................... 124,000 4,316,750
Energen Corp. .......................................................... 57,800 1,127,100
KN Energy, Inc. ........................................................ 89,400 3,251,925
National Fuel Gas Co. .................................................. 32,900 1,486,669
NICOR, Inc. ............................................................ 51,800 2,188,550
NUI Corp. .............................................................. 39,400 1,056,413
ONEOK, Inc. ............................................................ 46,300 1,672,587
Washington Gas Light Co. ............................................... 59,200 1,605,800
------------
$ 24,922,987
------------
Total U.S. Stocks ...................................................................... $134,050,596
------------
Foreign Stocks -- 22.5%
Argentina -- 0.8%
Telecom Argentina S.A., ADR
(Telecommunications) ................................................. 14,300 $ 393,250
Telefonica de Argentina, ADR
(Utilities -- Telephone) ............................................. 53,800 1,503,038
------------
$ 1,896,288
------------
Bermuda -- 0.6%
Global Crossing Ltd.
(Telecommunications)* ................................................ 28,100 $ 1,268,013
------------
Brazil -- 2.9%
Companhia Electricas est Rio de
Janeiro (Utilities -- Electric)* ..................................... 2,520,100 $ 834,470
Companhia Energetica do Ceara,
Preferred, "A" (Utilities --
Electric) ............................................................ 102,000 253,311
Companhia Paranaense de Energia,
ADR (Utilities -- Electric) .......................................... 135,600 966,150
Companhia Paranaense de Energia,
Preferred, "B" (Utilities -- Electric)*............................... 125,482 903,720
Companhia Riogrand
Telecomunicacoes
(Utilities -- Telephone) ............................................. 1,556 560,351
Espirito Santo Centrais Eletricas
S.A. (Utilities -- Electric) ......................................... 5,400 357,571
Espirito Santo Centrais Eletricas S.A.,
Preferred, "B" (Utilities -- Electric)................................ 986 440,628
Light Servicos de Electricidade S.A.
(Utilities -- Electric) .............................................. 1,283 156,127
Telecomunicacoes Brasileiras S.A.,
ADR (Telecommunications) ............................................. 17,100 1,242,956
Telesp Participacoes S.A.
(Telecommunications)* ................................................ 36,179 823,611
------------
$ 6,538,895
------------
Canada -- 2.0%
BCE, Inc. (Telecommunications) ......................................... 29,900 $ 1,134,331
Bell Canada International, Inc.
(Telecommunications)* ................................................ 74,100 833,625
Northern Telecom Ltd.
(Telecommunications) ................................................. 49,200 2,466,150
------------
$ 4,434,106
------------
</TABLE>
28-UTS
<PAGE>
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Chile -- 0.9%
Chilectra S.A., ADR
(Utilities -- Electric) .............................................. 92,800 $ 2,056,448
------------
China
China Telecom Hong Kong Ltd.
(Telecommunications) ................................................. 2,800 $ 97,300
------------
Denmark -- 0.4%
Tele Danmark, ADR
(Telecommunications) ................................................. 11,900 $ 807,713
------------
Finland -- 0.2%
Helsingin Puhelin Oyj
(Telecommunications) ................................................. 8,600 $ 511,292
------------
France -- 1.0%
Alcatel Alsthom Compagnie, ADR
(Telecommunications) ................................................. 46,800 $ 1,143,675
France Telecom S.A.
(Telecommunications) ................................................. 14,300 1,134,900
------------
$ 2,278,575
------------
Germany -- 1.9%
Mannesmann AG (Conglomerate) ........................................... 26,200 $ 3,000,120
VEBA AG, ADR (Oil and Gas) ............................................. 22,000 1,317,250
------------
$ 4,317,370
------------
Greece -- 1.3%
Hellenic Telecommunication
Organization S.A., GDR
(Telecommunications) ................................................. 112,799 $ 2,999,652
------------
Hungary -- 1.1%
Magyar Tavkozlesi Rt., ADR
(Telecommunications)* ................................................ 79,200 $ 2,361,150
------------
Italy -- 2.3%
Telecom Italia Di Risp S.p.A.
(Telecommunications)* ................................................ 470,775 $ 2,964,793
Telecom Italia S.p.A.
(Telecommunications)* ................................................ 270,400 2,308,732
------------
$ 5,273,525
------------
Peru -- 0.5%
Telefonica del Peru S.A., ADR
(Telecommunications) ................................................. 89,700 $ 1,138,069
------------
Spain -- 4.9%
Endesa S.A., ADR (Utilities --
Electric) ............................................................ 128,200 $ 3,461,400
Iberdrola S.A. (Utilities -- Electric) ................................. 181,900 3,403,174
Telefonica de Espana S.A., ADR
(Telecommunications) ................................................. 11,413 1,545,035
Union Electrica Fenosa S.A.
(Utilities -- Electric) .............................................. 155,700 2,693,563
------------
$ 11,103,172
------------
Switzerland -- 0.6%
Swisscom AG
(Telecommunications)* ................................................ 3,200 $ 1,339,643
------------
United Kingdom -- 1.1%
Orange PLC (Telecommunications)......................................... 113,300 $ 1,296,878
PowerGen PLC (Utilities -- Electric).................................... 93,700 1,227,968
------------
$ 2,524,846
------------
Total Foreign Stocks ................................................................... $ 50,946,057
------------
Total Stocks
(Identified Cost, $174,473,474) ...................................................... $184,996,653
------------
</TABLE>
Convertible Preferred Stocks -- 2.3%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Entertainment -- 0.8%
MediaOne Group, Inc., 6.25% ............................................ 28,200 $ 1,875,300
------------
Telecommunications -- 1.0%
IXC Communications, Inc., 6.75% ........................................ 20,600 $ 630,875
Qwest Trends Trust, 5.75%*## ........................................... 34,100 1,585,650
------------
$ 2,216,525
------------
Utilities -- Electric -- 0.5%
CalEnergy Capital Trust III, 6.5% ...................................... 8,300 $ 421,225
CalEnergy Capital Trust III, 6.5%*##.................................... 16,100 817,075
------------
$ 1,238,300
------------
Total Convertible Preferred Stocks
(Identified Cost, $5,182,621) ....................................................... $ 5,330,125
------------
Preferred Stocks -- 1.5%
U.S. Stocks -- 1.0%
Utilities -- Gas -- 1.0%
KN Energy, Inc.* ....................................................... 59,400 $ 2,231,213
------------
Foreign Stocks -- 0.5%
France -- 0.5%
France Telecom S.A.
(Telecommunications) ................................................. 1,160 $ 1,146,080
------------
Total Preferred Stocks
(Identified Cost, $3,627,494) ....................................................... $ 3,377,293
------------
Bonds -- 11.8%
Principal Amount
(000 Omitted)
U.S. Bonds -- 11.2%
Banks and Credit Companies -- 0.4%
Beaver Valley Funding Corp.,
9s, 2017 ............................................................. $ 250 $ 288,453
Midland Funding Corp. I,
10.33s, 2002 ......................................................... 546 582,878
------------
$ 871,331
------------
Construction Services -- 0.3%
Georgia Pacific Corp., 9.5s, 2022 ...................................... $ 500 $ 563,520
------------
Corporate Asset Backed -- 0.1%
Time Warner Pass-Through Asset
Trust, 6.1s, 2001## .................................................. $ 305 $ 309,914
------------
Electric and Gas Utility Revenue
Long Island Power Authority, New
York Electric, 5.25s, 2026 ........................................... $ 100 $ 100,296
------------
Entertainment -- 0.4%
Hearst Argyle Television, Inc.,
7.5s, 2027 ........................................................... $ 400 $ 417,348
News America Holdings, Inc.,
8.875s, 2023 ......................................................... 400 484,864
------------
$ 902,212
------------
Forest and Paper Products
Boise Cascade Co., 7.43s, 2005 ......................................... $ 88 $ 86,940
------------
Insurance -- 0.4%
NGC Corp. Capital Trust I,
8.316s, 2027 ......................................................... $ 830 $ 841,163
------------
Oils -- 0.5%
Oryx Energy Co., 8.375s, 2004 .......................................... $ 500 $ 534,545
Sun Co., Inc., 9s, 2024 ................................................ 500 557,585
------------
$ 1,092,130
------------
</TABLE>
29-UTS
<PAGE>
Portfolio of Investments -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Telecommunications -- 1.1%
Cellular Communications
International, Inc., 2005 ............................................ $1,333 $ 1,288,987
Tele-Communications, Inc.,
7.875s, 2013 ......................................................... 1,000 1,171,570
------------
$ 2,460,557
------------
U.S. Government Agencies -- 0.3%
Federal National Mortgage
Association -- 0.3%
FNMA, 6s, 2013 ......................................................... $ 589 $ 590,524
------------
U.S. Government Guaranteed -- 2.8%
U.S. Treasury Obligations -- 1.6%
U.S. Treasury Bonds, 6.625s, 2027....................................... $3,000 $ 3,555,000
------------
Government National Mortgage
Association -- 1.2%
GNMA, 7s, 2027 ......................................................... $ 175 $ 178,600
GNMA, 7.5s, 2025 -- 2028 ............................................... 1,829 1,885,987
GNMA, 8s, 2025 -- 2027 ................................................. 669 693,618
------------
$ 2,758,205
------------
Total U.S. Government Guaranteed .................................................... $ 6,313,205
------------
Utilities -- Electric -- 4.2%
AEP Generating, 9.82s, 2022 ............................................ $ 596 $ 775,008
CalEnergy Co., Inc., 6.96s, 2003 ....................................... 500 505,440
CalEnergy Co., Inc., 7.63s, 2007 ....................................... 500 535,550
California Infrastructure, 6.17s, 2003.................................. 944 955,652
Commonwealth Edison Co.,
6.95s, 2018 .......................................................... 125 129,501
Commonwealth Edison Co.,
7.625s, 2007 ......................................................... 100 110,483
Connecticut Light & Power Co.,
8.59s, 2003 .......................................................... 500 518,750
Illinois Power Special Purpose Trust,
5.26s, 2003 .......................................................... 513 512,820
Long Island Lighting Co., 8.2s, 2023.................................... 600 650,922
National Rural Utilities Cooperative
Finance, 5.75s, 2008 ................................................. 916 936,637
Niagara Mohawk Power Corp.,
7.25s, 2002 .......................................................... 500 505,620
Niagara Mohawk Power Corp.,
8.5s, 2023 ........................................................... 560 596,641
PP&L, Inc., 6.125s, 2001 ............................................... 750 761,152
Salton Sea Funding Corp.,
6.69s, 2000 .......................................................... 156 157,980
Salton Sea Funding Corp.,
7.84s, 2010 .......................................................... 500 574,745
Seabrook Station -- Unit 1,
7.83s, 2019 .......................................................... 366 415,023
Texas & New Mexico Power Co.,
12.5s, 1999 .......................................................... 250 250,408
Texas Utilities Co., 6.375s, 2008 ...................................... 600 589,608
Utilicorp United, Inc., 8.45s, 1999 .................................... 100 102,193
------------
$ 9,584,133
------------
Utilities -- Gas -- 0.7%
Coastal Corp., 7.42s, 2037 ............................................. $ 230 $ 242,963
Coastal Corp., 7.75s, 2035 ............................................. 140 154,084
Tennessee Gas Pipeline Co.,
7.625s, 2037 ......................................................... 500 549,845
Texas Gas Transmission Corp.,
7.25s, 2027 .......................................................... 550 563,970
------------
$ 1,510,862
------------
Total U.S. Bonds .................................................................... $ 25,226,787
------------
</TABLE>
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Foreign Bonds -- 0.6%
Argentina -- 0.2%
Hidroelectrica Alicura, 8.375s, 1999
(Utilities -- Electric)## ............................................ $ 425 $ 414,375
------------
Canada -- 0.1%
Gulf Canada Resources Ltd.,
9.25s, 2004 (Oils) ................................................... $ 250 $ 256,170
------------
Chile -- 0.3%
Empresa Electric Guacolda S.A.,
7.6s, 2001 (Utilities -- Electric)##.................................. $ 750 $ 716,677
------------
Total Foreign Bonds ................................................. $ 1,387,222
------------
Total Bonds
(Identified Cost, $25,997,554) ...................................................... $ 26,614,009
------------
Convertible Bonds -- 2.9%
Financial Institutions -- 0.7%
ADT Operations, Inc., 0s, 2010 ......................................... $ 723 $ 1,472,209
------------
Telecommunications -- 2.2%
Cellular Commerce International,
Inc., 6s, 2005## ..................................................... $1,570 $ 2,637,600
Global Telesystems Group, Inc.,
5.75s, 2010 .......................................................... 2,190 2,447,325
------------
$ 5,084,925
------------
Total Convertible Bonds
(Identified Cost, $4,475,549) ........................................................ $ 6,557,134
------------
Total Investments
(Identified Cost, $213,756,692) ...................................................... $226,875,214
Other Assets,
Less Liabilities -- (0.2)%
(583,342)
------------
Net Assets -- 100.0% ................................................................... $226,291,872
============
</TABLE>
See portfolio footnotes and notes to financial statements
30-UTS
<PAGE>
Portfolio of Investments -- December 31, 1998
World Growth Series
Stocks -- 97.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 50.4%
Advertising
Lamar Advertising Co., "A"* ............................................ 200 $ 7,450
Outdoor Systems, Inc.* ................................................. 400 12,000
------------
$ 19,450
------------
Aerospace -- 0.1%
Gulfstream Aerospace Corp.* ............................................ 4,970 $ 264,652
------------
Airlines
Atlas Air, Inc.* ....................................................... 200 $ 9,788
------------
Automotive -- 0.4%
Dura Automotive Systems, Inc.* ......................................... 200 $ 6,825
Federal-Mogul Corp. .................................................... 18,200 1,082,900
------------
$ 1,089,725
------------
Banks and Credit Companies -- 0.1%
Capital One Financial Corp. ............................................ 2,300 $ 264,500
------------
Biotechnology -- 0.1%
IDEXX Laboratories, Inc.* .............................................. 7,300 $ 196,416
Waters Corp.* .......................................................... 900 78,525
------------
$ 274,941
------------
Broadcasting
Infinity Broadcasting Corp.* ........................................... 5,600 $ 153,300
------------
Business Machines -- 0.5%
Affiliated Computer Services, Inc., "A"* 4,580 $ 206,100
Sun Microsystems, Inc.* ................................................ 12,700 1,087,437
------------
$ 1,293,537
------------
Business Services -- 1.2%
Affiliated Managers Group, Inc.* ....................................... 300 $ 8,963
Amgen, Inc.* ........................................................... 2,200 230,037
BISYS Group, Inc.* ..................................................... 8,560 441,910
Building One Services Corp.* ........................................... 500 10,438
Ceridian Corp.* ........................................................ 4,700 328,119
Computer Sciences Corp. ................................................ 2,800 180,425
DST Systems, Inc.* ..................................................... 6,800 388,025
First Data Corp. ....................................................... 430 13,626
Fiserv, Inc.* .......................................................... 300 15,431
Global Directmail Corp.* ............................................... 500 11,687
Insight Enterprises, Inc.* ............................................. 200 10,175
Interim Services, Inc.* ................................................ 400 9,350
Learning Tree International, Inc.* ..................................... 22,000 199,375
Metamor Worldwide, Inc.* ............................................... 300 7,500
Modis Professional Services, Inc.* ..................................... 23,140 335,530
National Data Corp. .................................................... 200 9,738
Policy Management Systems Corp.*........................................ 21,260 1,073,630
Professional Detailing, Inc.* .......................................... 300 8,475
Renaissance Worldwide, Inc.* ........................................... 2,900 17,762
Technology Solutions Co.* .............................................. 7,700 82,534
------------
$ 3,382,730
------------
Computer Hardware -- Systems -- 0.1%
Compaq Computer Corp. .................................................. 4,500 $ 188,719
------------
Computer Software --
Personal Computers -- 2.9%
Autodesk, Inc. ......................................................... 300 $ 12,806
Intuit, Inc.* .......................................................... 100 7,250
Microsoft Corp.* ....................................................... 57,600 7,988,400
Verio, Inc.* ........................................................... 400 8,950
------------
$ 8,017,406
------------
Computer Software -- Services -- 0.8%
EMC Corp.* ............................................................. 25,500 $ 2,167,500
Ingram Micro, Inc.* .................................................... 200 6,975
Mobius Management Systems, Inc.*........................................ 6,900 102,637
------------
$ 2,277,112
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Computer Software --
Systems -- 10.6%
Advantage Learning Systems, Inc.*....................................... 100 $ 6,575
Aspen Technology, Inc.* ................................................ 300 4,350
BMC Software, Inc.* .................................................... 94,300 4,202,244
Boole & Babbage, Inc.* ................................................. 300 8,831
Cadence Design Systems, Inc.* .......................................... 107,910 3,210,323
Cambridge Technology Partners, Inc.* 7,900 174,788
Clarify, Inc.* ......................................................... 400 9,775
Computer Associates International, Inc. 110,550 4,712,194
Compuware Corp.* ....................................................... 95,300 7,445,312
CSG Systems International, Inc.* ....................................... 110 8,690
Learning Co., Inc.* .................................................... 300 7,781
Network Associates, Inc.* .............................................. 13,900 920,875
New Era of Networks, Inc.* ............................................. 200 8,800
Oracle Corp.* .......................................................... 185,555 8,002,059
Rational Software Corp.* ............................................... 300 7,950
Siebel Systems, Inc.* .................................................. 300 10,181
SunGard Data Systems, Inc.* ............................................ 4,300 170,656
Synopsys, Inc.* ........................................................ 7,100 385,175
------------
$ 29,296,559
------------
Consumer Goods and
Services -- 3.8%
Carson, Inc., "A"* ..................................................... 27,900 $ 111,600
Dial Corp. ............................................................. 300 8,662
First Brands Corp. ..................................................... 200 7,888
Galileo International, Inc. * .......................................... 7,700 334,950
Sotheby's Holdings, Inc. ............................................... 300 9,600
Sportsline USA, Inc.* .................................................. 10,800 168,075
Tyco International Ltd. ................................................ 132,996 10,032,886
------------
$ 10,673,661
------------
Electrical Equipment
Jabil Circuit, Inc.* ................................................... 100 $ 7,463
Micrel, Inc.* .......................................................... 200 11,000
------------
$ 18,463
------------
Electronics -- 2.4%
Altera Corp.* .......................................................... 18,120 $ 1,103,055
Amkor Technology, Inc.* ................................................ 105,067 1,136,037
Analog Devices, Inc.* .................................................. 14,400 451,800
Applied Micro Circuits Corp.* .......................................... 200 6,794
Burr-Brown Corp.* ...................................................... 300 7,031
Flextronics International Ltd.* ........................................ 100 8,563
Intel Corp. ............................................................ 19,090 2,263,358
Lattice Semiconductor Corp.* ........................................... 12,800 587,600
Level One Communications, Inc.* ........................................ 300 10,650
Linear Technology Corp. ................................................ 2,800 250,775
Maxim Integrated Products, Inc.* ....................................... 200 8,738
Microchip Technology, Inc.* ............................................ 200 7,400
MIPS Technologies, Inc.* ............................................... 300 9,600
Photronics, Inc.* ...................................................... 400 9,587
PMC-Sierra, Inc.* ...................................................... 200 12,625
Sanmina Corp.* ......................................................... 100 6,250
SCI Systems, Inc.* ..................................................... 110 6,353
SIPEX Corp.* ........................................................... 200 7,025
Teradyne, Inc.* ........................................................ 300 12,712
The DII Group, Inc.* ................................................... 400 9,200
Xilinx, Inc.* .......................................................... 12,580 819,272
------------
$ 6,734,425
------------
Entertainment -- 2.9%
CBS Corp. .............................................................. 3,970 $ 130,018
Clear Channel Communications, Inc.* 16,060 875,270
Comcast Corp., "A" ..................................................... 16,200 950,737
Cox Radio, Inc., "A"* .................................................. 27,000 1,140,750
</TABLE>
31-WGS
<PAGE>
Portfolio of Investments -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Entertainment -- continued
Gemstar International Group Ltd.* ...................................... 3,300 $ 188,925
Hearst-Argyle Television, Inc.* ........................................ 300 9,900
Jacor Communications, Inc.* ............................................ 12,180 784,087
Macromedia, Inc.* ...................................................... 2,800 94,325
MediaOne Group, Inc.* .................................................. 12,500 587,500
Premier Parks, Inc.* ................................................... 400 12,100
Time Warner, Inc. ...................................................... 50,800 3,152,775
Univision Communications, Inc., "A"*.................................... 3,100 112,181
USA Networks, Inc.* .................................................... 500 16,563
------------
$ 8,055,131
------------
Financial Institutions -- 0.5%
Associates First Capital Corp., "A" .................................... 8,380 $ 355,102
Bear Stearns Cos., Inc. ................................................ 8,400 313,950
CIT Group, Inc., "A" ................................................... 200 6,363
Franklin Resources, Inc. ............................................... 3,280 104,960
Morgan Stanley Dean Witter & Co. ....................................... 6,800 482,800
Paine Webber Group, Inc. ............................................... 200 7,725
U.S. Trust Corp. ....................................................... 1,400 106,400
Waddell & Reed Financial, Inc., "A"..................................... 300 7,106
------------
$ 1,384,406
------------
Food and Beverage Products
Coors Adolph Co. ....................................................... 900 $ 50,794
Keebler Foods Co.* ..................................................... 300 11,287
Smithfield Foods, Inc.* ................................................ 300 10,163
------------
$ 72,244
------------
Machinery -- 0.1%
SI Handling Systems, Inc. .............................................. 11,100 $ 155,400
------------
Medical and Health Products -- 0.9%
Agouron Pharmaceuticals, Inc. .......................................... 150 $ 8,813
Allegiance Corp. ....................................................... 20,300 946,487
Allergan, Inc. ......................................................... 4,300 278,425
AmeriSource Health Corp.,"A"* .......................................... 100 6,500
Arterial Vascular Engineering, Inc.*.................................... 200 10,500
Bausch & Lomb, Inc. .................................................... 200 12,000
Biomet, Inc. ........................................................... 300 12,075
Boston Scientific Corp.* ............................................... 400 10,725
Chattem, Inc. .......................................................... 200 9,575
Haemonetics Corp.* ..................................................... 500 11,375
IDEC Pharmaceuticals Corp.* ............................................ 4,280 201,160
Immunex Corp.* ......................................................... 100 12,581
King Pharmaceuticals, Inc.* ............................................ 800 21,100
McKesson Corp. ......................................................... 8,800 695,750
PSS World Medical, Inc.* ............................................... 8,700 200,100
------------
$ 2,437,166
------------
Medical and Health Technology
and Services -- 2.4%
Alpharma, Inc. ......................................................... 280 $ 9,888
Biogen, Inc.* .......................................................... 1,500 124,500
Cardinal Health, Inc. .................................................. 9,485 719,674
Express Scripts, Inc.* ................................................. 100 6,713
Gentex Corp.* .......................................................... 500 10,000
Genzyme Corp.* ......................................................... 200 9,950
Guidant Corp. .......................................................... 19,400 2,138,850
Health Management Associates,
Inc., "A"* ........................................................... 575 12,434
HealthSouth Corp.* ..................................................... 1,000 15,437
Medtronic, Inc. ........................................................ 19,800 1,470,150
Mid Atlantic Medical Services, Inc.*.................................... 800 7,850
Orthodontic Centers of America, Inc.* 530 10,302
PacifiCare Health Systems, Inc., "B"*................................... 190 15,105
Province Healthcare Co.* ............................................... 300 10,763
Schein (Henry), Inc.* .................................................. 200 8,950
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Medical and Health Technology
and Services -- continued
Steris Corp.* .......................................................... 300 $ 8,531
Total Renal Care Holdings, Inc.* ....................................... 296 8,751
United Healthcare Corp. ................................................ 45,800 1,972,262
Wellpoint Health Networks, Inc., "A"*................................... 100 8,700
------------
$ 6,568,810
------------
Oil Services
Global Industries, Inc.* ............................................... 1,100 $ 6,738
------------
Pharmaceuticals -- 0.7%
Bergen Brunswig Corp. .................................................. 1,000 $ 34,875
Sepracor, Inc.* ........................................................ 19,700 1,736,062
Watson Pharmaceuticals, Inc.* .......................................... 3,200 201,200
------------
$ 1,972,137
------------
Printing and Publishing
Electronics for Imaging, Inc.* ......................................... 300 $ 12,056
Mail-Well, Inc.* ....................................................... 200 2,288
------------
$ 14,344
------------
Railroads
Kansas City Southern Industries, Inc. 1,600 $ 78,700
------------
Restaurants and Lodging -- 1.5%
Applebee's International, Inc. ......................................... 470 $ 9,694
Brinker International, Inc.* ........................................... 400 11,550
Buffets, Inc.* ......................................................... 500 5,969
CEC Entertainment, Inc.* ............................................... 300 8,325
Cendant Corp.* ......................................................... 216,153 4,120,417
CKE Restaurants, Inc. .................................................. 220 6,476
IHOP Corp.* ............................................................ 100 3,994
Outback Steakhouse, Inc.* .............................................. 300 11,962
Papa John's International, Inc.* ....................................... 200 8,825
Promus Hotel Corp.* .................................................... 1,945 62,969
------------
$ 4,250,181
------------
Special Products and
Services -- 4.6%
Cisco Systems, Inc.* ................................................... 129,225 $ 11,993,695
Newport News Shipbuilding, Inc. ........................................ 20,540 686,806
Rayovac Corp.* ......................................................... 600 16,013
Verisign, Inc.* ........................................................ 170 10,051
------------
$ 12,705,565
------------
Stores -- 4.4%
Abercrombie & Fitch Co.* ............................................... 100 $ 7,075
AnnTaylor Stores Corp.* ................................................ 210 8,282
Boise Cascade Office Products
Corp.* ............................................................... 500 6,750
Borders Group, Inc.* ................................................... 400 9,975
CompUSA, Inc.* ......................................................... 4,100 53,556
Consolidated Stores Corp.* ............................................. 250 5,047
Corporate Express, Inc.* ............................................... 2,490 12,917
CSK Auto Corp.* ........................................................ 300 8,006
CVS Corp. .............................................................. 42,040 2,312,200
Duane Reade, Inc.* ..................................................... 200 7,700
General Nutrition Cos., Inc.* .......................................... 650 10,563
Gymboree Corp.* ........................................................ 5,300 33,787
Home Depot, Inc. ....................................................... 12,400 758,725
Linens 'n Things, Inc.* ................................................ 200 7,925
Micro Warehouse, Inc.* ................................................. 29,200 987,325
Office Depot, Inc.* .................................................... 79,940 2,952,784
Republic Industries, Inc.* ............................................. 2,760 40,710
Rite Aid Corp. ......................................................... 47,480 2,353,227
Staples, Inc.* ......................................................... 53,350 2,330,728
TJX Cos., Inc. ......................................................... 7,500 217,500
------------
$ 12,124,782
------------
</TABLE>
32-WGS
<PAGE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Supermarkets -- 1.4%
Kroger Co.* ............................. 6,800 $ 411,400
Meyer (Fred), Inc.* ..................... 42,750 2,575,687
Safeway, Inc.* .......................... 16,500 1,005,469
------------
$ 3,992,556
------------
Technology
Galileo Technology Ltd.* ................ 700 $ 18,900
------------
Telecommunications -- 7.8%
3Com Corp.* ............................. 11,100 $ 497,419
Alltel Corp. ............................ 7,200 430,650
Amdocs Ltd.* ............................ 600 10,275
American Tower Corp., "A"* .............. 4,100 121,206
Ascend Communications, Inc.* ............ 20,800 1,367,600
Aspect Telecommunications Corp.*......... 400 6,900
Cellular Communications
International, Inc.* .................. 6,700 455,600
Century Telephone Enterprises, Inc. 21,470 1,449,225
DSP Communications, Inc.* ............... 600 9,188
EchoStar Communications, Corp., *........ 200 9,675
Gilat Satellite Networks Ltd.* .......... 200 11,025
Global TeleSystems Group, Inc.* ......... 62,561 3,487,776
Hyperion Telecommunications, Inc., "A"* 800 12,100
International Business
Communications Systems,
Inc.*+++ .............................. 12,600 0
Iridium World Communications Co.*........ 3,200 126,600
Lucent Technologies, Inc. ............... 16,100 1,771,000
MCI WorldCom, Inc.* ..................... 120,050 8,613,587
Metromedia Fiber Network, Inc., "A"*..... 200 6,700
Qwest Communications
International, Inc.* .................. 18,000 900,000
Sprint Corp. ............................ 20,000 1,682,500
TCA Cable TV, Inc. ...................... 300 10,706
Tel-Save.com, Inc.* ..................... 12,000 201,000
Tele-Communications, Inc.* .............. 3,000 138,188
Tellabs, Inc.* .......................... 3,900 267,394
------------
$ 21,586,314
------------
Transportation
FDX Corp.* .............................. 1,600 $ 142,400
Telekomunikacja Polska S.A.## ........... 91,120 464,712
------------
$ 607,112
------------
Total U.S. Stocks ....................................... $139,990,454
------------
Foreign Stocks -- 47.3%
Argentina -- 0.7%
Banco de Galicia y Buenos Aires
S.A. de C.V., ADR (Banks and
Credit Cos.) .......................... 4,479 $ 78,942
Perez Companc S.A. (Oils) ............... 65,034 275,356
Siderca S.A. (Steel) .................... 73,100 83,413
Telecom Argentina S.A., ADR
(Telecommunications) .................. 2,610 71,775
Telefonica de Argentina, ADR
(Utilities -- Telephone) .............. 27,950 780,853
YPF Sociedad Anonima, ADR (Oils)......... 24,970 697,600
------------
$ 1,987,939
------------
Australia -- 0.7%
Cable & Wireless Optus
(Telecommunications)* ................. 168,000 $ 352,140
QBE Insurance Group Ltd.
(Insurance)* .......................... 380,270 1,568,586
------------
$ 1,920,726
------------
Bermuda -- 0.4%
Ace Ltd. (Insurance) .................... 400 $ 13,775
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Bermuda -- continued
Dairy Farm International Holdings
Ltd. (Consumer Goods and
Services) ............................. 855,000 $ 983,250
Global Crossing Ltd.
(Telecommunications)* ................. 1,600 72,200
------------
$ 1,069,225
------------
Brazil -- 1.5%
Banco Bradesco S.A., Preferred
(Banks and Credit Cos.) ............... 13,434,000 $ 74,510
Centrais Eletricas Brasileiras S.A.,
ADR (Utilities -- Electric) ........... 41,900 397,212
Companhia Cervejaria Brahma,
Preferred (Beverages) ................. 259,000 113,205
Companhia Energetica de Sao Paulo
S.A., ADR (Utilities -- Electric) ..... 10,212 194,436
Companhia Paranaense de Energia,
Preferred, "B"
(Utilities -- Electric)* .............. 11,962 86,150
Companhia Vale do Rio Doce, ADR
(Steel) ............................... 18,500 237,355
Embratel Participacoes S.A.
(Telecommunications)* ................. 10,042,212 87,287
Itausa Investimentos Itau S.A.,
Preferred (Conglomerate) .............. 198,000 109,818
Petroleo Brasileiro S.A., Preferred
(Oils) ................................ 2,258,000 256,081
Tele Centro Sul Participacoes S.A.
(Telecommunications)* ................. 10,042,212 66,505
Tele Norte Lests Participacoes S.A.
(Telecommunications)* ................. 10,042,212 82,300
Tele Sudeste Celular Participacoes
S.A. (Telecommunications)* ............ 10,042,212 28,265
Telebras Telecomunicacoes
Brasileiras S.A.
(Telecommunications)* ................. 7,486,000 334,639
Telebras Telecomunicacoes
Brasileiras S.A., Preferred
(Telecommunications)* ................. 3,100,000 227,368
Telecomunicacoes Brasileiras S.A.,
ADR (Telecommunications) .............. 6,885 500,453
Telecomunicacoes do Rio de
Janeiro S.A.
(Telecommunications) .................. 1,344,000 36,715
Telecomunicacoes do Rio de
Janeiro S.A., Preferred, "B"
(Telecommunications)* ................. 1,510 35,625
Telesp Celular Participacoes S.A.
(Telecommunications)* ................. 10,042,212 43,228
Telesp Celular Participacoes S.A.,
ADR (Telecommunications)* ............. 28,400 497,000
Telesp Participacoes S.A., ADR
(Telecommunications) .................. 23,300 515,513
Telesp Participacoes S.A.
(Telecommunications)* ................. 11,842,212 151,949
Unibanco S.A. (Banks and
Credit Cos.) .......................... 3,287,000 114,283
------------
$ 4,189,897
------------
Canada -- 0.7%
Canadian National Railway Co.
(Railroads) ........................... 35,815 $ 1,857,903
Loewen Group, Inc. (Business
Services) ............................. 700 5,906
------------
$ 1,863,809
------------
</TABLE>
33-WGS
<PAGE>
Portfolio of Investments -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Chile -- 0.3%
Embotelladora Andina S.A.
(Consumer Goods and Services)........... 53,904 $ 700,752
------------
China -- 0.3%
Huaneng Power International, Inc.,
ADR (Utilities -- Electric)* ........... 42,700 $ 619,150
Qingling Motors Co. (Automotive) ......... 1,030,000 180,818
------------
$ 799,968
------------
Colombia
Cementos Diamante S.A., ADR
(Construction)## ....................... 8,130 $ 46,829
------------
Egypt -- 0.2%
Egypt Gas (Utilities -- Gas) ............. 1,500 $ 111,454
Industrial & Engineering Enterprises
Co. (Building) ......................... 3,000 42,511
Madinet Nasar City (Housing) ............. 2,425 73,313
Mi Bank (Banks and Credit Cos.) .......... 1,200 23,313
Misr Elgadida for Housing and
Recreation (Housing) ................... 880 69,283
National Societe Generale Bank
(Banks and Credit Cos.) ................ 3,050 55,715
Suez Cement Co., GDR
(Construction)## ....................... 14,102 201,658
------------
$ 577,247
------------
Finland -- 1.4%
AO Mosenergo (Conglomerate) .............. 12,338 $ 23,134
Helsingin Puhelin Oyj
(Telecommunications) ................... 21,604 1,284,413
Nokia Corp., ADR
(Telecommunications) ................... 4,900 590,144
Pohjola Insurance Group
(Insurance) ............................ 14,594 796,062
Rapala Normark Corp. (Consumer
Goods and Services)* ................... 38,400 331,522
Tieto Corp. (Computer
Software -- Systems) ................... 17,353 772,909
------------
$ 3,798,184
------------
France -- 2.9%
Alcatel Alsthom Compagnie
(Telecommunications) ................... 8,054 $ 984,706
Alcatel Alsthom Compagnie, ADR
(Telecommunications) ................... 7,200 175,950
Sanofi S.A. (Medical and Health
Products) .............................. 10,700 1,759,585
SEITA (Tobacco) .......................... 18,500 1,157,387
Societe Industrielle de Transports
Automobiles S.A. (Hazardous
Waste) ................................. 4,448 1,164,772
Television Francaise (Entertainment) ..... 7,832 1,392,947
Thomson CSF (Aerospace and
Defense) ............................... 35,728 1,532,705
------------
$ 8,168,052
------------
Germany -- 1.3%
Henkel KGaA (Chemicals) .................. 28,614 $ 2,556,047
Mannesmann AG (Conglomerate) ............. 9,942 1,138,442
SAP AG, Preferred (Computer
Software -- Systems) ................... 40 19,070
------------
$ 3,713,559
------------
Greece -- 1.6%
Alpha Credit Bank (Banking) .............. 3,690 $ 384,872
Athens Medic Center, GDR (Medical and
Health Technology and Services) ........ 36,900 723,775
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Greece -- continued
Attica Enterprises S.A., GDR
(Transportation) ....................... 4,100 $ 36,734
Hellenic Telecommunication
Organization S.A., GDR
(Telecommunications) ................... 55,826 1,484,575
Intracom S.A. (Telecommunications)........ 2,600 118,329
National Bank of Greece, GDR
(Banks and Credit Cos.)* ............... 1,434 322,477
Panafon S.A.
(Telecommunications)* .................. 26,540 710,512
Stet Hellas Telecommunications S.A.
(Telecommunications)* .................. 18,800 608,650
Titan Cement Co., GDR (Building
Materials) ............................. 1,450 111,280
------------
$ 4,501,204
------------
Hong Kong -- 0.2%
Guangdong Kelon Electric Holdings
(Consumer Goods and Services)........... 356,000 $ 317,078
Zhenhai Refining and Chemical Co.,
Ltd. (Oils) ............................ 1,134,000 174,191
------------
$ 491,269
------------
Hungary -- 0.6%
Magyar Olaj Es Gazipari KT (Gas) ......... 23,532 $ 642,722
Magyar Tavkozlesi Rt., ADR
(Telecommunications)* .................. 27,389 816,535
OTP Bank Rt. (Banks and
Credit Cos.) ........................... 4,819 240,504
------------
$ 1,699,761
------------
India -- 0.6%
Bajaj Auto Ltd., GDR (Automotive) ........ 5,000 $ 77,500
Bajaj Auto Ltd., GDR
(Automotive)## ......................... 2,800 43,400
EIH Ltd., GDR (Restaurant and
Lodging) ............................... 12,400 65,100
Formula System (1985) Ltd.
(Computer Software -- Systems)*......... 7,313 181,298
Industrial Credit & Investment Corp.
of India Ltd. (Finance) ................ 23,000 150,650
ITC Ltd., GDR (Conglomerate) ............. 10,500 231,000
Larsen & Toubro Ltd., GDR
(Conglomerate) ......................... 17,000 129,200
Mahanagar Telephone Nigam Ltd.,
GDR (Telecommunications)## ............. 18,600 226,920
Reliance Industries Ltd., GDR
(Conglomerate)## ....................... 27,155 152,068
State Bank of India, GDR (Banks
and Credit Cos.)## ..................... 31,000 254,200
Videsh Sanchar Nigam Ltd., GDR
(Telecommunications)## ................. 9,100 109,200
------------
$ 1,620,536
------------
Ireland -- 1.8%
Allied Irish Banks PLC (Banks and
Credit Cos.) ........................... 144,469 $ 2,569,152
Anglo Irish Bank PLC (Banks and
Credit Cos.)* .......................... 722,052 2,060,237
Elan Corp. PLC, ADR (Health
Products)* ............................. 3,800 264,337
------------
$ 4,893,726
------------
Israel -- 0.4%
Bank Hapoalim (Banks and Credit Cos.) 147,762 $ 267,805
Bezek Israeli Telecommunications
Corp. Ltd. (Telecommunications)......... 50,400 157,580
</TABLE>
34-WGS
<PAGE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Israel -- continued
Discount Investment Corp.
(Financial Services) .................. 3,405 $ 90,561
ECI Telecom Ltd.
(Telecommunications) .................. 8,988 320,197
Makhteshim -- Agan Industries Ltd.
(Chemicals)* .......................... 70,579 152,890
Super Sol Ltd. (Supermarkets) ........... 36,248 90,125
Teva Pharmaceutical Industries Ltd.,
ADR (Pharmaceuticals) ................. 3,602 146,556
------------
$ 1,225,714
------------
Italy -- 3.2%
Banca Carige S.p.A. (Banks and
Credit Cos.) .......................... 62,472 $ 615,868
ERG S.p.A. (Oils) ....................... 221,118 764,554
Industrie Natuzzi S.p.A., ADR
(Consumer Goods and Services).......... 35,457 881,993
Mediaset S.p.A. (Entertainment) ......... 185,486 1,505,094
San Paolo Imi S.p.A (Banks and
Credit Cos.) .......................... 133,964 2,368,747
Telecom Italia Mobile S.p.A.
(Telecommunications) .................. 42,700 315,453
Telecom Italia Mobile S.p.A., Saving
Shares (Telecommunications) ........... 233,446 1,099,800
Telecom Italia S.p.A.
(Telecommunications)* ................. 159,036 1,357,883
------------
$ 8,909,392
------------
Japan -- 7.6%
Aeon Credit Service Co. Ltd.
(Financial Services) .................. 17,800 $ 1,224,123
Bridgestone Corp. (Tire and
Rubber) ............................... 40,000 904,602
Canon, Inc. (Special Products
and Services) ......................... 40,000 851,702
Fujimi, Inc. (Electronics) .............. 18,600 642,850
Itoen Ltd. (Conglomerate) ............... 7,600 390,654
Keyence Corp. (Electronics) ............. 9,410 1,153,227
Kinki Coca-Cola Bottling Co.
(Beverages) ........................... 18,600 245,824
Kirin Beverage Corp. (Beverages) ........ 40,000 786,457
Meitec Corp. (Computer
Software -- Systems) .................. 39,900 992,047
Mikuni Coca-Cola Bottling Co.
(Beverages) ........................... 38,000 809,116
Nippon Broadcasting System Co.
(Broadcasting) ........................ 6,000 239,111
Nippon Telephone & Telegraph Co.
(Utilities -- Telephone) .............. 137 1,053,289
NTT Data Corp.
(Telecommunications) .................. 220 1,088,168
Olympus Optical Co.
(Conglomerate) ........................ 83,000 950,600
Osaka Sanso Kogyo Ltd.
(Chemicals) ........................... 190,000 363,516
Rohm Co. (Electronics) .................. 12,000 1,088,697
Secom Co. (Consumer Goods
and Services) ......................... 35,000 2,888,380
Softbank Corp.
(Computer -- Software) ................ 7,000 185,500
Takeda Chemical Industries Co.
(Pharmaceuticals) ..................... 60,000 2,301,181
Terumo Corp. (Pharmaceuticals) .......... 87,000 2,040,381
Ushio, Inc. (Electronics) ............... 111,000 969,855
------------
$ 21,169,280
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Jordan -- 0.1%
Arab Bank Corp. (Banks and Credit
Cos.) ................................. 1,250 $ 377,292
------------
Luxembourg -- 0.1%
Egypt Trust (Real Estate Investment
Trust)* ............................... 42,380 $ 411,086
------------
Mexico -- 0.9%
Cemex S.A. (Construction)* .............. 47,957 $ 103,391
Cifra S.A. de C.V. (Retail)* ............ 159,897 193,756
Corporacion GEO S.A. de C.V.
(Housing)*## .......................... 9,500 105,545
Desc S.A. de C.V., "B"
(Conglomerate) ........................ 106,000 90,769
Fomento Economico Mexicano S.A.
(Beverages) ........................... 5,200 138,450
Grupo Carso S.A., "A1"
(Conglomerate) ........................ 64,700 219,848
Grupo Financiero Banamex, "B"
(Finance)* ............................ 69,800 91,629
Grupo Financiero Bancomer, "B"
(Finance) ............................. 200,000 42,815
Grupo Modelo S.A. de C.V.
(Brewery) ............................. 119,600 253,620
Grupo Television S.A. de C.V., GDR
(Entertainment)* ...................... 6,400 158,000
Kimberly-Clark de Mexico S.A. de
C.V. (Forest and Paper Products)....... 61,000 194,648
Organiz Soriana S.A., "B" (Real
Estate) ............................... 32,000 103,403
Telefonos de Mexico S.A.
(Utilities -- Telephone) .............. 293,460 723,056
------------
$ 2,418,930
------------
Morocco -- 0.3%
Banque Marocaine Commerce
(Banks and Credit Cos.) ............... 3,000 $ 223,922
Brasseries Maroc (Consumer Goods
and Services) ......................... 601 170,334
Ona Omnium Nord Africain S.A.
(Conglomerate) ........................ 1,000 116,612
Societe Nationale d'Investissement
(Conglomerate) ........................ 1,500 160,477
Wafabank (Banks and Credit Cos.)......... 1,404 176,178
------------
$ 847,523
------------
Netherlands -- 3.8%
Akzo Nobel N.V. (Chemicals) ............. 24,920 $ 1,133,631
Benckiser N.V., "B" (Consumer
Goods and Services) ................... 38,763 2,536,764
Elsag Bailey Process Automation
N.V. (Machinery)* ..................... 4,400 172,150
Equant N.V. (Computer
Software -- Services)* ................ 6,700 454,344
Fugro N.V. (Engineering)* ............... 26,310 615,930
Hunter Douglas N.V., ADR
(Consumer Goods and Services)*......... 27,695 916,536
IHC Caland N.V. (Marine
Equipment)* ........................... 11,063 459,119
ING Groep N.V. (Financial Services)*..... 27,462 1,672,998
Koninklijke Ahold N.V.
(Supermarkets)* ....................... 21,510 794,251
Koninklijke Ahrend Groep N.V.
(Consumer Goods and Services)*......... 45,942 1,048,636
Van der Moolen Holding N.V.
(Financial Services)* ................. 11,401 733,983
------------
$ 10,538,342
------------
</TABLE>
35-WGS
<PAGE>
Portfolio of Investments -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Peru -- 0.5%
Alicorp S.A. (Consumer Goods
and Services)* ......................... 154,035 $ 24,415
Compania de Minas Buenaventura
S.A. (Mining) .......................... 32,700 196,957
CPT Telefonica del Peru S.A., "B"
(Utilities-Telephone) .................. 345,974 435,415
Credicorp Ltd. Holdings Co. (Banks
and Credit Cos.) ....................... 15,918 143,262
Telefonica del Peru S.A., ADR
(Telecommunications) ................... 35,200 446,600
------------
$ 1,246,649
------------
Poland -- 0.4%
Bank Handlowy w Warszawie, GDR
(Banks and Credit Cos.)*## ............. 9,990 $ 129,370
Bank Rozwoju Eksportu S.A. (Banks
and Credit Cos.) ....................... 6,700 154,836
BIG Bank Gdanski S.A. (Banks and
Credit Cos.) ........................... 9,691 131,313
Elektrim Spolka Akcyjna S.A.
(Electrical Equipment) ................. 25,800 279,715
Orbis S.A. (Restaurants and Lodging)* 19,600 154,340
WBK Wielkopolski S.A. (Consumer
Goods and Services) .................... 19,500 122,953
------------
$ 972,527
------------
Portugal -- 1.1%
Banco Pinto & Sotto Mayor S.A.
(Banks and Credit Cos.) ................ 98,564 $ 1,865,908
BPI -- Soc Gestora S.p.A. (Banks
and Credit Cos.) ....................... 36,538 1,238,091
------------
$ 3,103,999
------------
Russia -- 0.2%
JSC Surgutneftegaz Co., ADR (Oils)........ 30,240 $ 102,060
Lukoil Oil Co., ADR (Oils) ............... 15,238 246,855
Rostelecom, GDR
(Telecommunications)* .................. 5,682 73,511
Unified Energy Systems, GDR
(Utilities -- Electric)* ............... 14,218 43,365
------------
$ 465,791
------------
Singapore -- 0.6%
City Developments Ltd. (Real Estate) 18,000 $ 78,024
DBS Land Ltd. (Real Estate) .............. 56,000 82,498
Development Bank of Singapore
Ltd. (Banks and Credit Cos.) ........... 12,500 112,913
Natsteel Electronics Ltd.
(Electronics) .......................... 259,000 659,472
Overseas Union Bank Ltd. (Banks
and Credit Cos.) ....................... 33,000 144,044
Singapore Press Holdings Ltd.
(Printing and Publishing) .............. 36,400 397,211
Singapore Telecommunications Ltd.
(Telecommunications) ................... 109,000 166,523
------------
$ 1,640,685
------------
South Africa -- 0.9%
Anglo American Corp. of South
Africa Ltd. (Mining) ................... 15,135 $ 426,367
DeBeers Centenary AG
(Diamonds -- Precious Stones) .......... 3,661 46,653
Dimension Data Holdings Ltd.
(Financial Institutions) ............... 72,804 309,252
Imperial Holdings Ltd.
(Conglomerate) ......................... 23,048 140,978
JD Group Ltd. (Stores)* .................. 24,586 108,612
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
South Africa -- continued
Liberty Life Association of Africa
Ltd. (Insurance) ....................... 16,057 $ 220,987
Nedcor Ltd. (Banks and Credit Cos.)* 17,261 293,280
Real Africa Holdings Ltd.
(Conglomerate) ......................... 118,361 309,703
Sanlam Ltd. (Insurance) .................. 64,750 64,359
Sasol Ltd. (Oils) ........................ 23,840 90,127
South African Breweries Ltd. (Brewery) 32,400 546,101
------------
$ 2,556,419
------------
South Korea -- 0.9%
Korea Electric Power Corp.
(Utilities -- Electric) ................ 22,000 $ 546,334
Medison Co. (Medical and
Health Products) ....................... 15,200 177,333
Pohang Iron & Steel Co.
(Construction) ......................... 17,870 1,133,405
Samsung Electronics (Electronics) ........ 8,908 599,063
SK Telecom Ltd.
(Telecommunications) ................... 160 116,653
------------
$ 2,572,788
------------
Spain -- 0.4%
Cortefiel S.A. (Retail) .................. 10,200 $ 268,818
Telefonica de Espana
(Utilities -- Telephone) ............... 16,598 738,027
------------
$ 1,006,845
------------
Sweden -- 1.2%
Celsius AB (Aerospace) ................... 60,600 $ 820,936
Saab AB, "B" (Aerospace)* ................ 146,038 1,528,723
Volvo AB (Automotive) .................... 46,773 1,071,401
------------
$ 3,421,060
------------
Switzerland -- 2.0%
Barry Callebaut AG (Food and
Beverage Products) ..................... 3,151 $ 715,771
Hiestand Holding AG (Food
Products)* ............................. 1,781 466,807
Julius Baer Holdings (Banks and
Credit Cos.) ........................... 345 1,146,651
Kuoni Reisen Holdings AG
(Transportation) ....................... 203 805,497
Nestle S.A. (Food and Beverage
Products) .............................. 602 1,310,506
UBS AG (Banks and Credit Cos.)* .......... 3,400 1,044,631
------------
$ 5,489,863
------------
Taiwan -- 0.3%
Taipei Fund (Finance)* ................... 101 $ 868,600
------------
Thailand -- 0.3%
Bangkok Expressway Public Company
Ltd. (Toll Road and Transit) ........... 123,000 $ 122,321
Electricity Generating Public Co.
Ltd. (Utilties -- Electric) ............ 90,000 244,890
PTT Exploration and Production
Public Co. Ltd., ADR (Oil Services)..... 44,850 317,171
Thai Farmers Bank (Banks and
Credit Cos.) ........................... 83,000 146,740
------------
$ 831,122
------------
Turkey -- 0.5%
Akbank (Banks and Credit Cos.)* .......... 9,530,989 $ 193,553
Arcelik A.S. (Consumer Goods and
Services) .............................. 5,967,511 172,313
Cimsa Cimento Sanayi ve Ticaret
A.S. (Construction Services) ........... 5,629,728 133,977
Haci Omer Sabanci Holdings A.S.,
ADR (Conglomerate)*## .................. 29,423 110,336
</TABLE>
36-WGS
<PAGE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Turkey -- continued
Turkiye Is Bankasi (Banks and
Credit Cos.) ........................................................... 9,908,040 $ 257,801
Vestel Electronic (Electronics)* ......................................... 2,384,100 196,689
Yapi ve Kredi Bankasi (Banks and
Credit Cos.) ........................................................... 28,468,811 329,720
------------
$ 1,394,389
------------
United Kingdom -- 6.4%
ARM Holdings PLC, ADR (Computer
Software -- Systems)* .................................................. 4,805 $ 289,501
British Aerospace PLC (Aerospace
and Defense)* .......................................................... 214,162 1,822,553
British Petroleum PLC (Oils)* ............................................ 155,652 2,313,572
Capital Radio PLC (Broadcasting) ......................................... 77,000 747,252
CBT Group PLC, ADR (Computer
Software -- Personal Computers)*. 8,900 132,387
Glaxo Wellcome PLC
(Pharmaceuticals)* ..................................................... 62,400 2,144,839
ICON PLC, ADR (Biotechnology)* ........................................... 100 3,350
Jarvis Hotels PLC (Restaurants and
Lodging)+ .............................................................. 606,991 1,178,117
Kwik-Fit Holdings PLC (Automotive
Repair Centers) ........................................................ 139,853 1,119,410
LucasVarity PLC (Automotive) ............................................. 470,845 1,569,981
Next PLC (Stores) ........................................................ 97,616 798,341
Reuters Group PLC (Business
Services) .............................................................. 112,600 1,186,130
Sema Group PLC (Computer
Software -- Systems) ................................................... 186,801 1,837,613
Taylor Nelson Sofres PLC (Market
Research) .............................................................. 969,820 1,230,758
Williams PLC (Conglomerate) .............................................. 234,952 1,340,781
------------
$ 17,714,585
------------
Total Foreign Stocks ...................................................................... $131,225,564
------------
Total Stocks
(Identified Cost, $216,361,890) ......................................................... $271,216,018
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Rights
Banco Bradesco S.A. (Banks and
Credit Cos.)* .......................................................... 556,827 $ 2,812
Telefonica S.A.
(Telecommunications)* .................................................. 16,598 14,737
------------
Total Rights
(Identified Cost, $14,686) ........................................... $ 17,549
------------
Short-Term Obligation -- 1.9%
Principal Amount
(000 Omitted)
Federal Home Loan Mortgage
Corp., due 1/04/99,
at Amortized Cost ...................................................... $ 5,200 $ 5,198,050
------------
Total Investments
(Identified Cost, $221,574,626) ...................................... $276,431,617
Other Assets,
Less Liabilities -- 0.4%
1,087,360
------------
Net Assets -- 100.0% ................................................... $277,518,977
============
</TABLE>
See portfolio footnotes and notes to financial statements.
Portfolio Footnotes:
*Non-income producing security.
**Non-income producing security -- in default.
##SEC Rule 144A restriction.
+Restricted security.
++Security valued by or at the direction of the Trustees.
37-WGS
<PAGE>
MFS/Sun Life Series Trust
Statements of Assets and Liabilities -- December 31, 1998
<TABLE>
<CAPTION>
Capital
Appreciation
Assets: Series
Investments -- ---------------
<S> <C>
Unaffiliated issuers, at cost .......................................................... $ 1,195,028,231
Unrealized appreciation ................................................................ 492,501,682
---------------
Total investments, at value .......................................................... $ 1,687,529,913
Cash .................................................................................... 77,991
Receivable for investments sold ......................................................... 42,505,136
Receivable for Series shares sold ....................................................... 1,279,529
Interest and dividends receivable ....................................................... 402,677
Other assets ............................................................................ 8,550
---------------
Total assets ......................................................................... $ 1,731,803,796
===============
Liabilities:
Payable for investments purchased ....................................................... $ 6,188,936
Payable for Series shares reacquired .................................................... 280,062
Payable to affiliate for investment advisory fee ........................................ 33,549
Accrued expenses and other liabilities .................................................. 146,282
---------------
Total liabilities .................................................................... $ 6,648,829
---------------
Net assets .......................................................................... $ 1,725,154,967
===============
Net assets consist of:
Paid-in capital ......................................................................... $ 1,043,595,168
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies 492,501,672
Accumulated undistributed net realized gain on investments and foreign currency
transactions 189,058,127
Accumulated undistributed net investment income ......................................... --
---------------
Total ............................................................................... $ 1,725,154,967
===============
Shares of beneficial interest outstanding ............................................... 37,556,638
===============
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of beneficial interest outstanding) ............................................ $45.93
======
<CAPTION>
Conservative Emerging
Growth Growth
Assets: Series Series
Investments -- --------------- -------------
<S> <C> <C>
Unaffiliated issuers, at cost .......................................................... $ 1,453,067,309 $ 498,539,350
Unrealized appreciation ................................................................ 399,967,076 233,862,828
--------------- -------------
Total investments, at value .......................................................... $ 1,853,034,385 $ 732,402,178
Cash .................................................................................... 87,333 72,253
Receivable for investments sold ......................................................... 1,320,591 13,049,335
Receivable for Series shares sold ....................................................... 1,199,566 400,537
Interest and dividends receivable ....................................................... 2,076,418 86,686
Other assets ............................................................................ 7,596 3,005
--------------- -------------
Total assets ......................................................................... $ 1,857,725,889 $ 746,013,994
=============== =============
Liabilities:
Payable for investments purchased ....................................................... $ 2,740,790 $ 8,865,541
Payable for Series shares reacquired .................................................... 2,135,787 817,992
Payable to affiliate for investment advisory fee ........................................ 27,859 14,150
Accrued expenses and other liabilities .................................................. 93,352 65,125
--------------- -------------
Total liabilities .................................................................... $ 4,997,788 $ 9,762,808
--------------- -------------
Net assets .......................................................................... $ 1,852,728,101 $ 736,251,186
=============== =============
Net assets consist of:
Paid-in capital ......................................................................... $ 1,300,761,011 $ 493,605,556
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies 399,971,386 233,862,825
Accumulated undistributed net realized gain on investments and foreign currency
transactions 137,593,752 8,782,805
Accumulated undistributed net investment income ......................................... 14,401,952 --
--------------- -------------
Total ............................................................................... $ 1,852,728,101 $ 736,251,186
=============== =============
Shares of beneficial interest outstanding ............................................... 48,440,327 31,631,744
=============== =============
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of beneficial interest outstanding) ............................................ $38.25 $23.28
====== ======
<CAPTION>
Managed
Sectors
Assets: Series
Investments -- ------------
<S> <C>
Unaffiliated issuers, at cost .......................................................... $291,884,066
Unrealized appreciation ................................................................ 74,278,059
------------
Total investments, at value .......................................................... $366,162,125
Cash .................................................................................... 6,601
Receivable for investments sold ......................................................... 387,234
Receivable for Series shares sold ....................................................... 236,004
Interest and dividends receivable ....................................................... 50,267
Other assets ............................................................................ 2,234
------------
Total assets ......................................................................... $366,844,465
============
Liabilities:
Payable for investments purchased ....................................................... $ 1,661,389
Payable for Series shares reacquired .................................................... 346,953
Payable to affiliate for investment advisory fee ........................................ 7,326
Accrued expenses and other liabilities .................................................. 37,721
------------
Total liabilities .................................................................... $ 2,053,389
------------
Net assets .......................................................................... $364,791,076
============
Net assets consist of:
Paid-in capital ......................................................................... $291,197,197
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies 74,278,059
Accumulated undistributed net realized gain on investments and foreign currency
transactions (684,180)
Accumulated undistributed net investment income ......................................... --
------------
Total ............................................................................... $364,791,076
============
Shares of beneficial interest outstanding ............................................... 12,915,332
============
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of beneficial interest outstanding) ............................................. $28.24
======
</TABLE>
See notes to financial statements
38
<PAGE>
MFS/Sun Life Series Trust
Statements of Assets and Liabilities -- December 31, 1998 -- continued
<TABLE>
<CAPTION>
Research
Assets: Series
Investments -- ---------------
<S> <C>
Unaffiliated issuers, at cost .......................................................... $ 770,691,817
Unrealized appreciation ................................................................ 225,695,232
---------------
Total investments, at value .......................................................... $ 996,387,049
Cash .................................................................................... 17,405
Foreign currency, at value (identified cost, $372,912)................................... --
Net receivable for foreign currency exchange contracts closed or subject to master
netting agreements --
Receivable for investments sold ......................................................... 5,646,297
Receivable for Series shares sold ....................................................... 519,188
Interest and dividends receivable ....................................................... 585,593
Other assets ............................................................................ 4,399
---------------
Total assets ......................................................................... $ 1,003,159,931
===============
Liabilities:
Payable to custodian .................................................................... $ --
Payable for investments purchased ....................................................... 14,707,027
Payable for Series shares reacquired .................................................... 71,698
Net payable for foreign currency exchange contracts closed or subject to master netting
agreements --
Payable to affiliate for investment advisory fee ........................................ 18,766
Accrued expenses and other liabilities .................................................. 82,289
---------------
Total liabilities .................................................................... $ 14,879,780
---------------
Net assets .......................................................................... $ 988,280,151
===============
Net assets consist of:
Paid-in capital ......................................................................... $ 729,916,259
Unrealized appreciation on investments and translation of assets and liabilities in 225,707,710
foreign currencies
Accumulated undistributed net realized gain on investments and foreign currency 29,598,595
transactions
Accumulated undistributed net investment income ......................................... 3,057,587
---------------
Net assets .......................................................................... $ 988,280,151
===============
Shares of beneficial interest outstanding ............................................... 42,925,526
===============
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of beneficial interest outstanding) ............................................. $23.02
======
<CAPTION>
Total
Return Utilities
Assets: Series Series
Investments -- --------------- -------------
<S> <C> <C>
Unaffiliated issuers, at cost .......................................................... $ 1,755,187,029 $ 213,756,692
Unrealized appreciation ................................................................ 170,597,284 13,118,522
--------------- -------------
Total investments, at value .......................................................... $ 1,925,784,313 $ 226,875,214
Cash .................................................................................... 257,963 42,467
Foreign currency, at value (identified cost, $372,912)................................... -- --
Net receivable for foreign currency exchange contracts closed or subject to master
netting agreements -- 5,086
Receivable for investments sold ......................................................... 30,414,222 6,855,216
Receivable for Series shares sold ....................................................... 1,494,435 179,724
Interest and dividends receivable ....................................................... 11,737,578 976,837
Other assets ............................................................................ 11,136 806
--------------- -------------
Total assets ......................................................................... $ 1,969,699,647 $ 234,935,350
=============== =============
Liabilities:
Payable to custodian .................................................................... $ -- $ 1,653,534
Payable for investments purchased ....................................................... 26,042,110 6,923,382
Payable for Series shares reacquired .................................................... 1,349,423 248
Net payable for foreign currency exchange contracts closed or subject to master netting
agreements 1,156 --
Payable to affiliate for investment advisory fee ........................................ 34,505 4,599
Accrued expenses and other liabilities .................................................. 161,780 61,715
--------------- -------------
Total liabilities .................................................................... $ 27,588,974 $ 8,643,478
--------------- -------------
Net assets .......................................................................... $ 1,942,110,673 $ 226,291,872
=============== =============
Net assets consist of:
Paid-in capital ......................................................................... $ 1,484,245,744 $ 183,176,490
Unrealized appreciation on investments and translation of assets and liabilities in 170,596,798 13,123,790
foreign currencies
Accumulated undistributed net realized gain on investments and foreign currency 222,675,048 25,541,584
transactions
Accumulated undistributed net investment income ......................................... 64,593,083 4,450,008
--------------- -------------
Net assets .......................................................................... $ 1,942,110,673 $ 226,291,872
=============== =============
Shares of beneficial interest outstanding ............................................... 91,335,344 13,246,800
=============== =============
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of beneficial interest outstanding) ........................................... $21.26 $17.08
====== ======
<CAPTION>
World
Growth
Assets: Series
Investments -- -------------
<S> <C>
Unaffiliated issuers, at cost .......................................................... $ 221,574,626
Unrealized appreciation ................................................................ 54,856,991
-------------
Total investments, at value .......................................................... $ 276,431,617
Cash .................................................................................... 123,967
Foreign currency, at value (identified cost, $372,912)................................... 375,772
Net receivable for foreign currency exchange contracts closed or subject to master
netting agreements --
Receivable for investments sold ......................................................... 525,326
Receivable for Series shares sold ....................................................... 142,781
Interest and dividends receivable ....................................................... 241,430
Other assets ............................................................................ 1,657
-------------
Total assets ......................................................................... $ 277,842,550
=============
Liabilities:
Payable to custodian .................................................................... $ --
Payable for investments purchased ....................................................... 225,214
Payable for Series shares reacquired .................................................... 19,324
Net payable for foreign currency exchange contracts closed or subject to master netting
agreements --
Payable to affiliate for investment advisory fee ........................................ 6,796
Accrued expenses and other liabilities .................................................. 72,239
-------------
Total liabilities .................................................................... $ 323,573
-------------
Net assets .......................................................................... $ 277,518,977
=============
Net assets consist of:
Paid-in capital ......................................................................... $ 212,490,696
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies 54,860,976
Accumulated undistributed net realized gain on investments and foreign currency
transactions 9,562,486
Accumulated undistributed net investment income ......................................... 604,819
-------------
Net assets .......................................................................... $ 277,518,977
=============
Shares of beneficial interest outstanding ............................................... 17,726,803
=============
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of beneficial interest outstanding) .............................................. $15.66
======
</TABLE>
See notes to financial statements
39
<PAGE>
MFS/Sun Life Series Trust
Statements of Operations -- Year Ended December 31, 1998
<TABLE>
<CAPTION>
Capital
Appreciation
Net investment income (loss): Series
Income -- ------------
<S> <C>
Dividends .......................................................................... $ 5,729,922
Interest ........................................................................... 2,329,917
Foreign taxes withheld ............................................................. (34,312)
------------
Total investment income ........................................................... $ 8,025,527
------------
Expenses --
Investment advisory fees ........................................................... $10,821,120
Trustees' fees ..................................................................... 6,300
Administrative fees ................................................................ 174,654
Custodian fees ..................................................................... 327,919
Auditing fees ...................................................................... 40,693
Legal fees ......................................................................... 976
Printing expenses .................................................................. 45,590
Miscellaneous ...................................................................... 70,489
------------
Total expenses .................................................................... $11,487,741
Fees paid indirectly ............................................................... (27,289)
------------
Net expenses ...................................................................... $11,460,452
------------
Net investment income (loss) ..................................................... $(3,434,925)
------------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $213,981,367
Foreign currency transactions ...................................................... (5,544)
Written options transactions ....................................................... --
------------
Net realized gain on investments and foreign currency transactions ................ $213,975,823
------------
Change in unrealized appreciation (depreciation) --
Investments ........................................................................ $176,762,868
Translation of assets and liabilities in foreign currencies ........................ (3)
Written options .................................................................... --
-------------
Net unrealized gain on investments and foreign currency translation ............... $176,762,865
-------------
Net realized and unrealized gain on investments and foreign currency ............. $390,738,688
-------------
Increase in net assets from operations .......................................... $387,303,763
=============
<CAPTION>
Conservative Emerging
Growth Growth
Net investment income (loss): Series Series
Income -- ------------ ------------
<S> <C> <C>
Dividends .......................................................................... $ 20,830,391 $ 1,717,004
Interest ........................................................................... 2,645,900 1,216,227
Foreign taxes withheld ............................................................. (183,909) (12,094)
------------ ------------
Total investment income ........................................................... $ 23,292,382 $ 2,921,137
------------ ------------
Expenses --
Investment advisory fees ........................................................... $ 8,273,315 $ 4,127,054
Trustees' fees ..................................................................... 6,300 6,300
Administrative fees ................................................................ 173,048 70,356
Custodian fees ..................................................................... 360,423 186,214
Auditing fees ...................................................................... 39,543 56,993
Legal fees ......................................................................... 729 1,304
Printing expenses .................................................................. 20,792 26,973
Miscellaneous ...................................................................... 24,657 7,841
------------ ------------
Total expenses .................................................................... $ 8,898,807 $ 4,483,035
Fees paid indirectly ............................................................... (23,963) (23,548)
------------ ------------
Net expenses ...................................................................... $ 8,874,844 $ 4,459,487
------------ ------------
Net investment income (loss) ..................................................... $ 14,417,538 $ (1,538,350)
------------ ------------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $141,485,298 $ 12,434,659
Foreign currency transactions ...................................................... (14,425) (26,718)
Written options transactions ....................................................... -- --
------------ ------------
Net realized gain on investments and foreign currency transactions ................ $141,470,873 $ 12,407,941
------------ ------------
Change in unrealized appreciation (depreciation) --
Investments ........................................................................ $162,215,224 $163,219,114
Translation of assets and liabilities in foreign currencies ........................ 6,230 17
Written options .................................................................... -- --
------------ ------------
Net unrealized gain on investments and foreign currency translation ............... $162,221,454 $163,219,131
------------ ------------
Net realized and unrealized gain on investments and foreign currency ............. $303,692,327 $175,627,072
------------ ------------
Increase in net assets from operations .......................................... $318,109,865 $174,088,722
============ ============
<CAPTION>
Managed
Sectors
Net investment income (loss): Series
Income -- -----------
<S> <C>
Dividends .......................................................................... $ 1,436,913
Interest ........................................................................... 680,030
Foreign taxes withheld ............................................................. --
-----------
Total investment income ........................................................... $ 2,116,943
-----------
Expenses --
Investment advisory fees ........................................................... $ 2,604,753
Trustees' fees ..................................................................... 6,300
Administrative fees ................................................................ 44,335
Custodian fees ..................................................................... 105,080
Auditing fees ...................................................................... 43,072
Legal fees ......................................................................... 484
Printing expenses .................................................................. 15,609
Miscellaneous ...................................................................... 2,904
-----------
Total expenses .................................................................... $ 2,822,537
Fees paid indirectly ............................................................... (16,170)
-----------
Net expenses ...................................................................... $ 2,806,367
-----------
Net investment income (loss) ..................................................... $ (689,424)
-----------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $ 1,363,346
Foreign currency transactions ...................................................... (386)
Written options transactions ....................................................... 741,148
-----------
Net realized gain on investments and foreign currency transactions ................ $ 2,104,108
-----------
Change in unrealized appreciation (depreciation) --
Investments ........................................................................ $36,398,332
Translation of assets and liabilities in foreign currencies ........................ --
Written options .................................................................... 2,643,732
-----------
Net unrealized gain on investments and foreign currency translation ............... $39,042,064
-----------
Net realized and unrealized gain on investments and foreign currency ............. $41,146,172
-----------
Increase in net assets from operations .......................................... $40,456,748
===========
</TABLE>
See notes to financial statements
40
<PAGE>
MFS/Sun Life Series Trust
Statements of Operations -- Year Ended December 31, 1998 -- continued
<TABLE>
<CAPTION>
Research
Net investment income: Series
Income -- -------------
<S> <C>
Dividends .......................................................................... $ 8,171,113
Interest ........................................................................... 1,389,435
Foreign taxes withheld ............................................................. (144,782)
------------
Total investment income ........................................................... $ 9,415,766
------------
Expenses --
Investment advisory fees ........................................................... $ 5,864,116
Trustees' fees ..................................................................... 6,300
Administrative fees ................................................................ 102,617
Custodian fees ..................................................................... 253,008
Auditing fees ...................................................................... 55,593
Legal fees ......................................................................... 1,145
Printing expenses .................................................................. 35,448
Miscellaneous ...................................................................... 13,591
------------
Total expenses .................................................................... $ 6,331,818
Fees paid indirectly ............................................................... (13,876)
------------
Net expenses ...................................................................... $ 6,317,942
------------
Net investment income ............................................................ $ 3,097,824
------------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $ 31,309,198
Foreign currency transactions ...................................................... (39,751)
------------
Net realized gain on investments and foreign currency transactions ................ $ 31,269,447
------------
Change in unrealized appreciation (depreciation) on --
Investments ........................................................................ $138,876,470
Translation of assets and liabilities in foreign currencies ........................ 13,024
------------
Net unrealized gain (loss) on investments and foreign currency translation ........ $138,889,494
------------
Net realized and unrealized gain on investments and foreign currency ............. $170,158,941
------------
Increase in net assets from operations .......................................... $173,256,765
============
<CAPTION>
Total
Return Utilities
Net investment income: Series Series
Income -- ------------- ------------
<S> <C> <C>
Dividends .......................................................................... $ 23,366,801 $ 4,386,013
Interest ........................................................................... 53,681,977 1,751,541
Foreign taxes withheld ............................................................. (202,470) (132,710)
------------- ------------
Total investment income ........................................................... $ 76,846,308 $ 6,004,844
------------- ------------
Expenses --
Investment advisory fees ........................................................... $ 12,047,998 $ 1,273,825
Trustees' fees ..................................................................... 6,300 6,300
Administrative fees ................................................................ 212,371 20,222
Custodian fees ..................................................................... 404,203 75,998
Auditing fees ...................................................................... 44,893 35,036
Legal fees ......................................................................... 922 1,067
Printing expenses .................................................................. 48,070 7,432
Miscellaneous ...................................................................... 120,584 46,716
------------- ------------
Total expenses .................................................................... $ 12,885,341 $ 1,466,596
Fees paid indirectly ............................................................... (69,004) (13,820)
------------- ------------
Net expenses ...................................................................... $ 12,816,337 $ 1,452,776
------------- ------------
Net investment income ............................................................ $ 64,029,971 $ 4,552,068
------------- ------------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $ 223,532,925 $ 25,577,388
Foreign currency transactions ...................................................... (133,282) (102,165)
------------- ------------
Net realized gain on investments and foreign currency transactions ................ $ 223,399,643 $ 25,475,223
------------- ------------
Change in unrealized appreciation (depreciation) on --
Investments ........................................................................ $ (85,131,339) $ (1,843,017)
Translation of assets and liabilities in foreign currencies ........................ 1,752 6,485
------------- ------------
Net unrealized gain (loss) on investments and foreign currency translation ........ $ (85,129,587) $ (1,836,532)
------------- ------------
Net realized and unrealized gain on investments and foreign currency ............. $ 138,270,056 $ 23,638,691
------------- ------------
Increase in net assets from operations .......................................... $ 202,300,027 $ 28,190,759
============= ============
<CAPTION>
World
Growth
Net investment income: Series
Income -- -----------
<S> <C>
Dividends .......................................................................... $ 3,159,696
Interest ........................................................................... 622,726
Foreign taxes withheld ............................................................. (253,870)
-----------
Total investment income ........................................................... $ 3,528,552
-----------
Expenses --
Investment advisory fees ........................................................... $ 2,410,105
Trustees' fees ..................................................................... 6,300
Administrative fees ................................................................ 33,728
Custodian fees ..................................................................... 175,498
Auditing fees ...................................................................... 71,693
Legal fees ......................................................................... 1,990
Printing expenses .................................................................. 16,803
Miscellaneous ...................................................................... 377
-----------
Total expenses .................................................................... $ 2,716,494
Fees paid indirectly ............................................................... (19,517)
-----------
Net expenses ...................................................................... $ 2,696,977
-----------
Net investment income ............................................................ $ 831,575
-----------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $10,745,457
Foreign currency transactions ...................................................... (206,993)
-----------
Net realized gain on investments and foreign currency transactions ................ $10,538,464
-----------
Change in unrealized appreciation (depreciation) on --
Investments ........................................................................ $22,761,035
Translation of assets and liabilities in foreign currencies ........................ 8,899
-----------
Net unrealized gain (loss) on investments and foreign currency translation ........ $22,769,934
-----------
Net realized and unrealized gain on investments and foreign currency ............. $33,308,398
-----------
Increase in net assets from operations .......................................... $34,139,973
===========
</TABLE>
See notes to financial statements
41
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Year Ended December 31, 1998
<TABLE>
<CAPTION>
Capital
Appreciation
Increase (decrease) in net assets: Series
From operations -- --------------
<S> <C>
Net investment income (loss) ............................................................ $ (3,434,925)
Net realized gain on investments and foreign currency transactions ...................... 213,975,823
Net unrealized gain on investments and foreign currency translation ..................... 176,762,865
--------------
Increase in net assets from operations ................................................. $ 387,303,763
--------------
Distributions declared to shareholders --
From net investment income .............................................................. $ --
From net realized gain on investments and foreign currency transactions ................. (169,375,578)
In excess of net realized gain on investments and foreign currency transactions ......... --
--------------
Total distributions declared to shareholders ........................................... $ (169,375,578)
--------------
Net increase in net assets from Series share transactions ................................ $ 180,986,295
--------------
Total increase in net assets .......................................................... $ 398,914,480
Net assets:
At beginning of year .................................................................... 1,326,240,487
--------------
At end of year .......................................................................... $1,725,154,967
==============
Accumulated undistributed net investment income included in net assets at end of year .... $ --
==============
<CAPTION>
Conservative Emerging
Growth Growth
Increase (decrease) in net assets: Series Series
From operations -- -------------- -------------
<S> <C> <C>
Net investment income (loss) ............................................................ $ 14,417,538 $ (1,538,350)
Net realized gain on investments and foreign currency transactions ...................... 141,470,873 12,407,941
Net unrealized gain on investments and foreign currency translation ..................... 162,221,454 163,219,131
-------------- ------------
Increase in net assets from operations ................................................. $ 318,109,865 $174,088,722
-------------- ------------
Distributions declared to shareholders --
From net investment income .............................................................. $ (10,399,191) $ --
From net realized gain on investments and foreign currency transactions ................. (91,293,748) (19,671,422)
In excess of net realized gain on investments and foreign currency transactions ......... -- --
-------------- ------------
Total distributions declared to shareholders ........................................... $ (101,692,939) $(19,671,422)
-------------- ------------
Net increase in net assets from Series share transactions ................................ $ 478,176,003 $124,482,468
-------------- ------------
Total increase in net assets .......................................................... $ 694,592,929 $278,899,768
Net assets:
At beginning of year .................................................................... 1,158,135,172 457,351,418
-------------- ------------
At end of year .......................................................................... $1,852,728,101 $736,251,186
============== ============
Accumulated undistributed net investment income included in net assets at end of year .... $ 14,401,952 $ --
============== ============
<CAPTION>
Managed
Sectors
Increase (decrease) in net assets: Series
From operations -- ------------
<S> <C>
Net investment income (loss) ............................................................ $ (689,424)
Net realized gain on investments and foreign currency transactions ...................... 2,104,108
Net unrealized gain on investments and foreign currency translation ..................... 39,042,064
------------
Increase in net assets from operations ................................................. $ 40,456,748
------------
Distributions declared to shareholders --
From net investment income .............................................................. $ --
From net realized gain on investments and foreign currency transactions ................. (53,763,881)
In excess of net realized gain on investments and foreign currency transactions ......... (27,666)
------------
Total distributions declared to shareholders ........................................... $(53,791,547)
------------
Net increase in net assets from Series share transactions ................................ $ 37,498,438
------------
Total increase in net assets .......................................................... $ 24,163,639
Net assets:
At beginning of year .................................................................... 340,627,437
------------
At end of year .......................................................................... $364,791,076
============
Accumulated undistributed net investment income included in net assets at end of year .... $ --
============
</TABLE>
<TABLE>
<CAPTION>
Research
Increase (decrease) in net assets: Series
From operations -- -------------
<S> <C>
Net investment income ................................................................... $ 3,097,824
Net realized gain on investments and foreign currency transactions ...................... 31,269,447
Net unrealized gain (loss) on investments and foreign currency translation .............. 138,889,494
-------------
Increase in net assets from operations ................................................. $ 173,256,765
-------------
Distributions declared to shareholders --
From net investment income .............................................................. $ (1,809,857)
From net realized gain on investments and foreign currency transactions ................. (33,497,705)
-------------
Total distributions declared to shareholders ........................................... $ (35,307,562)
-------------
Net increase in net assets from Series share transactions ................................ $ 180,028,715
-------------
Total increase in net assets .......................................................... $ 317,977,918
Net assets:
At beginning of year .................................................................... 670,302,233
-------------
At end of year .......................................................................... $ 988,280,151
=============
Accumulated undistributed net investment income included in net assets at end of year .... $ 3,057,587
=============
<CAPTION>
Total
Return Utilities
Increase (decrease) in net assets: Series Series
From operations -- -------------- -------------
<S> <C> <C>
Net investment income ................................................................... $ 64,029,971 $ 4,552,068
Net realized gain on investments and foreign currency transactions ...................... 223,399,643 25,475,223
Net unrealized gain (loss) on investments and foreign currency translation .............. (85,129,587) (1,836,532)
-------------- -------------
Increase in net assets from operations ................................................. $ 202,300,027 $ 28,190,759
-------------- -------------
Distributions declared to shareholders --
From net investment income .............................................................. $ (56,012,276) $ (2,736,379)
From net realized gain on investments and foreign currency transactions ................. (144,585,110) (15,722,165)
-------------- -------------
Total distributions declared to shareholders ........................................... $ (200,597,386) $ (18,458,544)
-------------- -------------
Net increase in net assets from Series share transactions ................................ $ 244,299,890 $ 93,551,190
-------------- -------------
Total increase in net assets .......................................................... $ 246,002,531 $ 103,283,405
Net assets:
At beginning of year .................................................................... 1,696,108,142 123,008,467
-------------- -------------
At end of year .......................................................................... $1,942,110,673 $ 226,291,872
============== =============
Accumulated undistributed net investment income included in net assets at end of year .... $ 64,593,083 $ 4,450,008
============== =============
<CAPTION>
World
Growth
Increase (decrease) in net assets: Series
From operations -- -------------
<S> <C>
Net investment income ................................................................... $ 831,575
Net realized gain on investments and foreign currency transactions ...................... 10,538,464
Net unrealized gain (loss) on investments and foreign currency translation .............. 22,769,934
-------------
Increase in net assets from operations ................................................. $ 34,139,973
-------------
Distributions declared to shareholders --
From net investment income .............................................................. $ (973,450)
From net realized gain on investments and foreign currency transactions ................. (19,232,791)
-------------
Total distributions declared to shareholders ........................................... $ (20,206,241)
-------------
Net increase in net assets from Series share transactions ................................ $ 11,183,242
-------------
Total increase in net assets .......................................................... $ 25,116,974
Net assets:
At beginning of year .................................................................... 252,402,003
-------------
At end of year .......................................................................... $ 277,518,977
=============
Accumulated undistributed net investment income included in net assets at end of year .... $ 604,819
=============
</TABLE>
See notes to financial statements
42
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Year Ended December 31, 1997
<TABLE>
<CAPTION>
Capital
Appreciation
Increase (decrease) in net assets: Series
From operations -- --------------
<S> <C>
Net investment income (loss) ............................................................ $ (1,276,188)
Net realized gain on investments and foreign currency transactions ...................... 150,372,261
Net unrealized gain on investments and foreign currency translation ..................... 96,165,766
--------------
Increase in net assets from operations ................................................. $ 245,261,839
--------------
Distributions declared to shareholders --
From net investment income .............................................................. $ --
From net realized gain on investments and foreign currency transactions ................. (104,376,322)
In excess of net investment income ...................................................... --
--------------
Total distributions declared to shareholders ........................................... $ (104,376,322)
---------------
Net increase in net assets from Series share transactions ................................ $ 123,723,539
--------------
Total increase in net assets .......................................................... $ 264,609,056
Net assets:
At beginning year ....................................................................... 1,061,631,431
--------------
At end of year .......................................................................... $1,326,240,487
==============
Accumulated undistributed net investment income included in net assets at end of year .... $ --
==============
<CAPTION>
Conservative Emerging
Growth Growth
Increase (decrease) in net assets: Series Series
From operations -- -------------- ------------
<S> <C> <C>
Net investment income (loss) ............................................................ $ 10,441,809 $ (1,164,413)
Net realized gain on investments and foreign currency transactions ...................... 87,763,278 18,073,943
Net unrealized gain on investments and foreign currency translation ..................... 127,467,772 48,269,898
-------------- ------------
Increase in net assets from operations ................................................. $ 225,672,859 $ 65,179,428
-------------- ------------
Distributions declared to shareholders --
From net investment income .............................................................. $ (7,189,349) $ (188,684)
From net realized gain on investments and foreign currency transactions ................. (31,498,498) (1,150,020)
In excess of net investment income ...................................................... -- (916)
-------------- ------------
Total distributions declared to shareholders ........................................... $ (38,687,847) $ (1,339,620)
-------------- ------------
Net increase in net assets from Series share transactions ................................ $ 400,142,125 $142,685,385
-------------- ------------
Total increase in net assets .......................................................... $ 587,127,137 $206,525,193
Net assets:
At beginning year ....................................................................... 571,008,035 250,826,225
-------------- ------------
At end of year .......................................................................... $1,158,135,172 $457,351,418
============== ============
Accumulated undistributed net investment income included in net assets at end of year .... $ 10,398,030 $ --
============== ============
<CAPTION>
Managed
Sectors
Increase (decrease) in net assets: Series
From operations -- -------------
<S> <C>
Net investment income (loss) ............................................................ $ (648,724)
Net realized gain on investments and foreign currency transactions ...................... 51,889,931
Net unrealized gain on investments and foreign currency translation ..................... 14,553,559
-------------
Increase in net assets from operations ................................................. $ 65,794,766
-------------
Distributions declared to shareholders --
From net investment income .............................................................. $ (196,596)
From net realized gain on investments and foreign currency transactions ................. (31,648,262)
In excess of net investment income ...................................................... --
-------------
Total distributions declared to shareholders ........................................... $ (31,844,858)
-------------
Net increase in net assets from Series share transactions ................................ $ 40,309,615
-------------
Total increase in net assets .......................................................... $ 74,259,523
Net assets:
At beginning year ....................................................................... 266,367,914
-------------
At end of year .......................................................................... $ 340,627,437
=============
Accumulated undistributed net investment income included in net assets at end of year .... $ --
=============
</TABLE>
<TABLE>
<CAPTION>
Research
Increase (decrease) in net assets: Series
From operations -- -------------
<S> <C>
Net investment income ................................................................... $ 1,849,477
Net realized gain on investments and foreign currency transactions ...................... 31,875,765
Net unrealized gain on investments and foreign currency translation ..................... 54,470,900
-------------
Increase in net assets from operations ................................................. $ 88,196,142
-------------
Distributions declared to shareholders --
From net investment income .............................................................. $ (954,883)
From net realized gain on investments and foreign currency transactions ................. (12,012,838)
-------------
Total distributions declared to shareholders ........................................... $ (12,967,721)
-------------
Net increase in net assets from Series share transactions ................................ $ 269,684,599
-------------
Total increase in net assets .......................................................... $ 344,913,020
Net assets:
At beginning of year .................................................................... 325,389,213
-------------
At end of year .......................................................................... $ 670,302,233
=============
Accumulated undistributed net investment income included in net assets at end of year .... $ 1,809,371
=============
<CAPTION>
Total
Return Utilities
Increase (decrease) in net assets: Series Series
From operations -- -------------- ------------
<S> <C> <C>
Net investment income ................................................................... $ 56,405,941 $ 2,826,189
Net realized gain on investments and foreign currency transactions ...................... 143,862,974 15,682,458
Net unrealized gain on investments and foreign currency translation ..................... 97,588,192 8,439,251
-------------- ------------
Increase in net assets from operations ................................................. $ 297,857,107 $ 26,947,898
-------------- ------------
Distributions declared to shareholders --
From net investment income .............................................................. $ (49,958,857) $ (2,296,378)
From net realized gain on investments and foreign currency transactions ................. (96,304,382) (7,017,680)
-------------- ------------
Total distributions declared to shareholders ........................................... $ (146,263,239) $ (9,314,058)
-------------- ------------
Net increase in net assets from Series share transactions ................................ $ 209,492,111 $ 34,694,449
-------------- ------------
Total increase in net assets .......................................................... $ 361,085,979 $ 52,328,289
Net assets:
At beginning of year .................................................................... 1,335,022,163 70,680,178
-------------- ------------
At end of year .......................................................................... $1,696,108,142 $123,008,467
============== ============
Accumulated undistributed net investment income included in net assets at end of year .... $ 56,291,661 $ 2,848,753
============== ============
<CAPTION>
World
Growth
Increase (decrease) in net assets: Series
From operations -- ------------
<S> <C>
Net investment income ................................................................... $ 742,576
Net realized gain on investments and foreign currency transactions ...................... 19,190,288
Net unrealized gain on investments and foreign currency translation ..................... 11,906,216
------------
Increase in net assets from operations ................................................. $ 31,839,080
------------
Distributions declared to shareholders --
From net investment income .............................................................. $ (1,004,799)
From net realized gain on investments and foreign currency transactions ................. (4,111,083)
------------
Total distributions declared to shareholders ........................................... $ (5,115,882)
------------
Net increase in net assets from Series share transactions ................................ $ 22,573,299
------------
Total increase in net assets .......................................................... $ 49,296,497
Net assets:
At beginning of year .................................................................... 203,105,506
------------
At end of year .......................................................................... $252,402,003
============
Accumulated undistributed net investment income included in net assets at end of year .... $ 515,458
============
</TABLE>
See notes to financial statements
43
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights
<TABLE>
<CAPTION>
Capital Appreciation Series
---------------------------
Year Ended December 31,
---------------------------
1998 1997
Per share data (for a share outstanding throughout each year): ---------- ----------------
<S> <C> <C>
Net asset value -- beginning of year ........................................ $ 40.1392 $ 35.8316
--------- ---------
Income (loss) from investment operations# --
Net investment income (loss) ............................................... $ (0.0962) $ (0.0405)
Net realized and unrealized gain (loss) on investments and foreign currency 11.0414 7.8691
--------- ---------
Total from investment operations ......................................... $ 10.9452 $ 7.8286
--------- ---------
Less distributions declared to shareholders --
From net investment income ................................................. $ -- $ --
From net realized gain on investments and foreign currency transactions .... ( 5.1496) ( 3.5210)
--------- ---------
Total distributions declared to shareholders ............................. $ (5.1496) $ (3.5210)
--------- ---------
Net asset value -- end of year .............................................. $ 45.9348 $ 40.1392
========= =========
Total return@ ............................................................... 28.70% 23.14%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ................................................................. 0.77% 0.78%
Net investment income (loss) ............................................... (0.23)% (0.10)%
Portfolio turnover .......................................................... 79% 68%
Net assets at end of year (000 omitted) ..................................... $1,725,155 $1,326,240
<CAPTION>
Capital Appreciation Series
---------------------------------------
Year Ended December 31,
---------------------------------------
1996 1995 1994
Per share data (for a share outstanding throughout each year): ---------- -------- --------
<S> <C> <C> <C>
Net asset value -- beginning of year ........................................ $ 31.9878 $24.4076 $28.1892
---------- -------- --------
Income (loss) from investment operations# --
Net investment income (loss) ............................................... $ (0.0200) $ 0.0933 $ 0.0523
Net realized and unrealized gain (loss) on investments and foreign currency 6.7422 8.1619 (1.1104)
---------- -------- --------
Total from investment operations ......................................... $ 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 .... ( 2.8462) 0.6182) ( 2.5929)
---------- -------- --------
Total distributions declared to shareholders ............................. $ (2.8784) $(0.6750) $(2.7235)
---------- -------- --------
Net asset value -- end of year .............................................. $ 35.8316 $31.9878 $24.4076
========== ======== ========
Total return@ ............................................................... 21.48% 34.46% (3.60)%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ................................................................. 0.80% 0.83% 0.83%
Net investment income (loss) ............................................... (0.05)% 0.32% 0.24%
Portfolio turnover .......................................................... 67% 89% 52%
Net assets at end of year (000 omitted) ..................................... $1,061,631 $797,102 $476,508
</TABLE>
<TABLE>
<CAPTION>
Conservative Growth Series
-----------------------------------------------------
Year Ended December 31,
-----------------------------------------------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding
throughout each year):
1998 1997 1996 1995
---------- ---------- -------- --------
Net asset value -- beginning of year ................. $ 33.1489 $ 26.4978 $22.0182 $16.4563
---------- ---------- -------- --------
Income (loss) from investment operations# --
Net investment income (loss)[sec] ................... $ 0.3382 $ 0.3714 $ 0.4100 $ 0.4318
Net realized and unrealized gain (loss) on
investments and foreign currency ................... 7.3482 7.8153 5.0415 5.6172
---------- ---------- -------- --------
Total from investment operations .................. $ 7.6864 $ 8.1867 $ 5.4515 $ 6.0490
---------- ---------- -------- --------
Less distributions declared to shareholders --
From net investment income .......................... $ (0.2646) $ (0.2854) $(0.2936) $(0.3037)
From net realized gain on investments and foreign
currency transactions .............................. ( 2.3231) ( 1.2502) 0.6783) 0.1834)
---------- ---------- -------- --------
Total distributions declared to shareholders ...... $ (2.5877) $ (1.5356) $(0.9719) $(0.4871)
---------- ---------- -------- --------
Net asset value -- end of year ....................... $ 38.2476 $ 33.1489 $26.4978 $22.0182
========== ========== ======== ========
Total return@ ........................................ 23.85% 31.94% 25.41% 37.41%
Ratios (to average net assets)/
Supplemental data[sec]:
Expenses## .......................................... 0.59% 0.61% 0.61% 0.64%
Net investment income (loss) ........................ 0.96% 1.23% 1.71% 2.25%
Portfolio turnover ................................... 61% 52% 51% 60%
Net assets at end of year (000 omitted) .............. $1,852,728 $1,158,135 $571,008 $302,024
<CAPTION>
Conservative
Growth Series
-------------
Year Ended
December 31,
-------------
<S> <C>
Per share data (for a share outstanding
throughout each year):
1994
--------
Net asset value -- beginning of year ................. $16.9289
--------
Income (loss) from investment operations# --
Net investment income (loss)[sec] ................... $ 0.2942
Net realized and unrealized gain (loss) on
investments and foreign currency ................... (0.4790)
--------
Total from investment operations .................. $(0.1848)
--------
Less distributions declared to shareholders --
From net investment income .......................... $(0.1996)
From net realized gain on investments and foreign
currency transactions .............................. ( 0.0882)
--------
Total distributions declared to shareholders ...... $(0.2878)
--------
Net asset value -- end of year ....................... $16.4563
========
Total return@ ........................................ (1.10)%
Ratios (to average net assets)/
Supplemental data[sec]:
Expenses## .......................................... 0.64%
Net investment income (loss) ........................ 2.42%
Portfolio turnover ................................... 146%
Net assets at end of year (000 omitted) .............. $150,318
<CAPTION>
Emerging Growth Series
-------------------------------------------------------
Year Ended December 31,
-------------------------------------- Period Ended
Per share data (for a share outstanding December 31,
throughout each year): 1998 1997 1996 1995*
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Net asset value -- beginning of year ................. $18.0032 $14.8305 $12.6867 $10.0000
-------- -------- -------- --------
Income (loss) from investment operations# --
Net investment income (loss)[sec] ................... $(0.0530) $(0.0551) $ 0.0175 $ 0.0788
Net realized and unrealized gain (loss) on
investments and foreign currency ................... 6.0356 3.2968 2.1506 2.6079
-------- -------- -------- --------
Total from investment operations .................. $ 5.9825 $ 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 .............................. (0.7101) (0.0592) -- --
-------- -------- -------- --------
Total distributions declared to shareholders ...... $(0.7100) $(0.0690) $(0.0243) $ --
-------- -------- -------- --------
Net asset value -- end of year ....................... $23.2757 $18.0032 $14.8305 $12.6867
======== ======== ======== ========
Total return@ ........................................ 33.88% 21.93% 17.15% 26.80%++
Ratios (to average net assets)/
Supplemental data[sec]:
Expenses## .......................................... 0.78% 0.81% 0.70% 0.24%+
Net investment income (loss) ........................ (0.27)% (0.33)% 0.12% 1.13%+
Portfolio turnover ................................... 80% 109% 88% 28%
Net assets at end of year (000 omitted) .............. $736,251 $457,351 $250,826 $ 67,255
</TABLE>
*For the period from the commencement of the Series' investment operations,
May 1, 1995, through December 31, 1995.
+Annualized.
++Not annualized.
#Per share data are based on average shares outstanding.
##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.
[sec]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>
<CAPTION>
Emerging Growth Series
------------------------------
Year Ended Period Ended
December 31, December 31,
1996 1995*
------------ ------------
<S> <C> <C>
Net investment income (loss) .......... $(0.0406) $0.0265
Ratios (to average net assets):
Expenses## ........................... 0.84% 1.00%+
Net investment income (loss) ......... (0.02)% 0.38%+
</TABLE>
See notes to financial statements
44
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
Managed Sectors Series
------------------------
Year Ended December 31,
------------------------
1998 1997
Per share data (for a share outstanding throughout each year): -------- --------
<S> <C> <C>
Net asset value -- beginning of year ........................................... $29.1601 $26.2503
-------- --------
Income (loss) from investment operations# --
Net investment income (loss) .................................................. $(0.0544) $(0.0597)
Net realized and unrealized gain (loss) on investments and foreign currency ... 3.7082 6.2302
-------- --------
Total from investment operations ............................................ $ 3.6538 $ 6.1705
-------- --------
Less distributions declared to shareholders --
From net investment income .................................................... $ -- $(0.0201)
From net realized gain on investments and foreign currency transactions ....... (4.5668) (3.2406)
In excess of net realized gain on investments and foreign currency transactions (0.0023) --
-------- --------
Total distributions declared to shareholders ................................ $(4.5691) $(3.2607)
-------- --------
Net asset value -- end of year ................................................. $28.2448 $29.1601
======== ========
Total return@ .................................................................. 12.25% 25.63%
Ratios (to average net assets)/Supplemental data:
Expenses## .................................................................... 0.80% 0.82%
Net investment income (loss) .................................................. (0.20)% (0.21)%
Portfolio turnover ............................................................. 161% 103%
Net assets at end of year (000 omitted) ........................................ $364,791 $340,627
<CAPTION>
Managed Sectors Series
----------------------------------
Year Ended December 31,
----------------------------------
1996 1995 1994
Per share data (for a share outstanding throughout each year): -------- -------- --------
<S> <C> <C> <C>
Net asset value -- beginning of year ........................................... $25.4468 $19.8823 $23.2419
-------- -------- --------
Income (loss) from investment operations# --
Net investment income (loss) .................................................. $ 0.0200 $ 0.0979 $ 0.0982
Net realized and unrealized gain (loss) on investments and foreign currency ... 4.2817 6.1880 (0.6610)
-------- -------- --------
Total from investment operations ............................................ $ 4.3017 $ 6.2859 $(0.5628)
-------- -------- --------
Less distributions declared to shareholders --
From net investment income .................................................... $(0.0758) $(0.0542) $(0.0239)
From net realized gain on investments and foreign currency transactions ....... (3.4224) (0.6672) (2.7729)
In excess of net realized gain on investments and foreign currency transactions -- -- --
-------- -------- --------
Total distributions declared to shareholders ................................ $(3.4982) $(0.7214) $(2.7968)
-------- -------- --------
Net asset value -- end of year ................................................. $26.2503 $25.4468 $19.8823
======== ======== ========
Total return@ .................................................................. 17.58% 32.29% (1.94)%
Ratios (to average net assets)/Supplemental data:
Expenses## .................................................................... 0.82% 0.84% 0.87%
Net investment income (loss) .................................................. 0.09% 0.42% 0.53%
Portfolio turnover ............................................................. 121% 113% 103%
Net assets at end of year (000 omitted) ........................................ $266,368 $194,351 $118,987
</TABLE>
<TABLE>
<CAPTION>
Research Series
---------------------
Year Ended December 31,
---------------------
1998 1997
Per share data (for a share outstanding throughout each year): -------- --------
<S> <C> <C>
Net asset value -- beginning of year ........................................ $19.4313 $16.5735
-------- --------
Income (loss) from investment operations# --
Net investment income[sec] ................................................. $ 0.0780 $ 0.0678
Net realized and unrealized gain (loss) on investments and foreign currency 4.4449 3.3159
-------- --------
Total from investment operations ......................................... $ 4.5229 $ 3.3837
-------- --------
Less distributions declared to shareholders --
From net investment income ................................................. $(0.0477) $(0.0387)
From net realized gain on investments and foreign currency transactions .... (0.8834) (0.4872)
-------- --------
Total distributions declared to shareholders ............................. $(0.9311) $(0.5259)
-------- --------
Net asset value -- end of year .............................................. $23.0231 $19.4313
======== ========
Total return@ ............................................................... 23.61% 20.86%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ................................................................. 0.76% 0.79%
Net investment income ...................................................... 0.37% 0.37%
Portfolio turnover .......................................................... 81% 79%
Net assets at end of year (000 omitted) ..................................... $988,280 $670,302
<CAPTION>
Research Series
-------------------------------------------------
Period Ended
December 31,
1996 1995 1994*
Per share data (for a share outstanding throughout each year): -------- -------- --------
<S> <C> <C> <C>
Net asset value -- beginning of year ........................................ $13.5777 $ 9.8761 $10.0000
-------- -------- --------
Income (loss) from investment operations# --
Net investment income[sec] ................................................. $ 0.0797 $ 0.1401 0.0131
Net realized and unrealized gain (loss) on investments and foreign currency 3.1330 3.5651 (0.1370)
-------- -------- --------
Total from investment operations ......................................... $ 3.2127 $ 3.7052 (0.1239)
-------- -------- ---------
Less distributions declared to shareholders --
From net investment income ................................................. $(0.0328) $(0.0036) --
From net realized gain on investments and foreign currency transactions .... (0.1841) -- --
-------- -------- --------
Total distributions declared to shareholders ............................. $(0.2169) $(0.0036) --
-------- -------- --------
Net asset value -- end of year .............................................. $16.5735 $13.5777 9.8761
======== ======== ========
Total return@ ............................................................... 23.76% 37.50% (1.20)%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ................................................................. 0.84% 0.58% 1.50%+
Net investment income ...................................................... 0.52% 1.16% 1.80%+
Portfolio turnover .......................................................... 70% 81% 3%
Net assets at end of year (000 omitted) ..................................... $325,389 $ 71,828 $ 3,869
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 7, 1994, through December 31, 1994.
+Annualized.
++Not annualized.
#Per share data are based on average shares outstanding.
##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. 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.
[sec]For the period ended December 31, 1994, the investment adviser agreed to
maintain the expenses of the Research Series, exclusive of investment
advisory fees, at not more than 1.50% of average daily net assets. In
addition, for both periods indicated below, the investment adviser
voluntarily waived all or a portion of its advisory fee for the Research
Series. 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>
<CAPTION>
Research Series
----------------------------
Year Ended Period Ended
December 31, December 31,
1995 1994*
------------ ------------
<S> <C> <C>
Net investment income (loss) .......... $0.0954 $(0.0145)
Ratios (to average net assets):
Expenses## ........................... 0.95% 3.49%+
Net investment income (loss) ......... 0.79% (0.19)%+
</TABLE>
See notes to financial statements
45
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
Total Return Series
--------------------------
Year Ended December 31,
--------------------------
1998 1997
Per share data (for a share outstanding throughout each year): ---------- ----------
<S> <C> <C>
Net asset value -- beginning of year ........................................ $ 21.3173 $ 19.4397
---------- ----------
Income (loss) from investment operations# --
Net investment income ...................................................... $ 0.7305 $ 0.7546
Net realized and unrealized gain (loss) on investments and foreign currency 1.6718 3.2409
---------- ----------
Total from investment operations ......................................... $ 2.4023 $ 3.9955
---------- ----------
Less distributions declared to shareholders --
From net investment income ................................................. $ (0.6858) $ (0.7234)
From net realized gain on investments and foreign currency transactions .... (1.7703) (1.3945)
---------- ----------
Total distributions declared to shareholders ............................. $ (2.4561) $ (2.1179)
---------- ----------
Net asset value -- end of year .............................................. $ 21.2635 $ 21.3173
========== ==========
Total return@ ............................................................... 11.71% 21.98%
Ratios (to average net assets)/Supplemental data:
Expenses## ................................................................. 0.70% 0.71%
Net investment income ...................................................... 3.47% 3.72%
Portfolio turnover .......................................................... 116% 113%
Net assets at end of year (000 omitted) ..................................... $1,942,111 $1,696,108
<CAPTION>
Total Return Series
------------------------------------------
Year Ended December 31,
------------------------------------------
1996 1995 1994
Per share data (for a share outstanding throughout each year): ---------- ---------- --------
<S> <C> <C> <C>
Net asset value -- beginning of year ........................................ $ 18.3848 $ 15.0862 $16.0946
---------- ---------- --------
Income (loss) from investment operations# --
Net investment income ...................................................... $ 0.7677 $ 0.7824 $ 0.5639
Net realized and unrealized gain (loss) on investments and foreign currency 1.6795 3.1527 (0.9310)
---------- ---------- --------
Total from investment operations ......................................... $ 2.4472 $ 3.9351 $(0.3671)
---------- ---------- --------
Less distributions declared to shareholders --
From net investment income ................................................. $ (0.7189) $ (0.6365) $(0.4344)
From net realized gain on investments and foreign currency transactions .... (0.6734) -- (0.2069)
---------- ---------- --------
Total distributions declared to shareholders ............................. $ (1.3923) $ (0.6365) $(0.6413)
---------- ---------- --------
Net asset value -- end of year .............................................. $ 19.4397 $ 18.3848 $15.0862
========== ========== ========
Total return@ ............................................................... 14.10% 26.71% (2.22)%
Ratios (to average net assets)/Supplemental data:
Expenses## ................................................................. 0.72% 0.76% 0.76%
Net investment income ...................................................... 4.15% 4.70% 4.34%
Portfolio turnover .......................................................... 134% 108% 66%
Net assets at end of year (000 omitted) ..................................... $1,335,022 $1,099,887 $839,614
</TABLE>
<TABLE>
<CAPTION>
Utilities Series
---------------------
Year Ended December 31,
---------------------
1998 1997
Per share data (for a share outstanding throughout each year): -------- --------
<S> <C> <C>
Net asset value -- beginning of year ........................................ $16.4093 $13.9874
-------- --------
Income (loss) from investment operations# --
Net investment income[sec] ................................................. $ 0.4394 $ 0.4576
Net realized and unrealized gain (loss) on investments and foreign currency 2.3048 3.6873
-------- --------
Total from investment operations ......................................... $ 2.7442 $ 4.1449
-------- --------
Less distributions declared to shareholders --
From net investment income ................................................. $(0.3070) $(0.4248)
From net realized gain on investments and foreign currency transactions .... (1.7637) (1.2982)
-------- --------
Total distributions declared to shareholders -- .......................... $(2.0707) $(1.7230)
-------- --------
Net asset value -- end of year .............................................. $17.0828 $16.4093
======== ========
Total return@ ............................................................... 17.54% 32.71%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ................................................................. 0.86% 0.86%
Net investment income ...................................................... 2.68% 3.15%
Portfolio turnover .......................................................... 148% 144%
Net assets at end of year (000 omitted) ..................................... $226,292 $123,008
<CAPTION>
Utilities Series
----------------------------------
Year Ended December 31,
----------------------------------
1996 1995 1994
Per share data (for a share outstanding throughout each year): -------- -------- --------
<S> <C> <C> <C>
Net asset value -- beginning of year ........................................ $12.2598 $ 9.5209 $10.0164
-------- -------- --------
Income (loss) from investment operations# --
Net investment income[sec] ................................................. $ 0.5322 $ 0.4918 $ 0.2899
Net realized and unrealized gain (loss) on investments and foreign currency 1.8548 2.5197 (0.7817)
-------- -------- --------
Total from investment operations ......................................... $ 2.3870 $ 3.0115 $(0.4918)
-------- -------- --------
Less distributions declared to shareholders --
From net investment income ................................................. $(0.3160) $(0.2726) $(0.0037)
From net realized gain on investments and foreign currency transactions .... (0.3434) -- --
-------- -------- --------
Total distributions declared to shareholders -- .......................... $(0.6594) $(0.2726) $(0.0037)
-------- -------- --------
Net asset value -- end of year .............................................. $13.9874 $12.2598 $ 9.5209
======== ======== ========
Total return@ ............................................................... 20.37% 32.36% (4.96)%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ................................................................. 0.88% 0.44% 0.39%
Net investment income ...................................................... 4.23% 4.62% 4.59%
Portfolio turnover .......................................................... 131% 119% 103%
Net assets at end of year (000 omitted) ..................................... $ 70,680 $ 43,134 $ 21,448
</TABLE>
#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. 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.
[sec]The investment adviser voluntarily waived all or a portion of its
advisory fee for the Utilities Series for certain of 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>
<CAPTION>
Utilities Series
---------------------------
Year Ended December 31,
---------------------------
1995 1994
------------ ------------
<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>
See notes to financial statements
46
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
World Growth Series
-----------------------
Year Ended December 31,
-----------------------
1998 1997
Per share data (for a share outstanding throughout each year): -------- --------
<S> <C> <C>
Net asset value -- beginning of year .................................... $14.6844 $13.0338
-------- --------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.0466 $ 0.0446
Net realized and unrealized gain on investments and foreign currency ... 2.0973 1.9245
-------- --------
Total from investment operations ..................................... $ 2.1439 $ 1.9691
-------- --------
Less distributions declared to shareholders --
From net investment income ............................................. $(0.0565) $(0.0626)
From net realized gain on investments and foreign currency transactions (1.1163) (0.2559)
-------- --------
Total distributions declared to shareholders ......................... $(1.1728) $(0.3185)
-------- --------
Net asset value -- end of year .......................................... $15.6555 $14.6844
======== ========
Total return@ ........................................................... 14.61% 15.32%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................. 1.01% 1.02%
Net investment income .................................................. 0.31% 0.31%
Portfolio turnover ...................................................... 92% 105%
Net assets at end of year (000 omitted) ................................. $277,519 $252,402
<CAPTION>
World Growth Series
----------------------------------
Year Ended December 31,
----------------------------------
1996 1995 1994
Per share data (for a share outstanding throughout each year): -------- -------- --------
<S> <C> <C> <C>
Net asset value -- beginning of year .................................... $12.3464 $10.9425 $10.6366
-------- -------- --------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.0232 $ 0.0689 $ 0.1506
Net realized and unrealized gain on investments and foreign currency ... 1.5878 1.6388 0.1590
-------- -------- --------
Total from investment operations ..................................... $ 1.6110 $ 1.7077 $ 0.3096
-------- -------- --------
Less distributions declared to shareholders --
From net investment income ............................................. $(0.0886) $(0.1361) $(0.0037)
From net realized gain on investments and foreign currency transactions (0.8350) (0.1677) --
-------- -------- --------
Total distributions declared to shareholders ......................... $(0.9236) $(0.3038) $(0.0037)
-------- -------- --------
Net asset value -- end of year .......................................... $13.0338 $12.3464 $10.9425
======== ======== ========
Total return@ ........................................................... 13.02% 16.06% 2.86%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................. 1.04% 1.07% 0.47%
Net investment income .................................................. 0.18% 0.60% 2.20%
Portfolio turnover ...................................................... 81% 162% 231%
Net assets at end of year (000 omitted) ................................. $203,106 $146,388 $100,045
</TABLE>
#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. 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.
[sec]The investment adviser voluntarily waived all or a portion of its
advisory fee for the World Growth Series 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>
<CAPTION>
World Growth Series
--------------------
Year Ended
December 31, 1994
--------------------
<S> <C>
Net investment income ....... $ 0.0989
Ratios (to average net assets):
Expenses## ................. 1.20%
Net investment income ...... 1.47%
</TABLE>
See notes to financial statements
47
<PAGE>
MFS/Sun Life Series Trust
Notes to Financial Statements
(1) Business and Organization
The Trust is organized as a Massachusetts business trust and is registered
under the Investment Company Act of 1940, as amended, as an open-end management
investment company consisting of twenty-six separate Series (the Series) of
shares: Bond Series, Capital Appreciation Series*, Capital Opportunities Series
(formerly Value Series), Conservative Growth Series*, Emerging Growth Series*,
Equity Income Series, Government Securities Series, High Yield Series,
International Growth Series, International Growth and Income Series, Managed
Sectors Series*, Money Market Series, Massachusetts Investors Growth Stock
Series, MFS/Foreign & Colonial Emerging Markets Series, New Discovery Series,
Research Series*, Research Growth and Income Series, Research International
Series, Strategic Income Series, Total Return Series*, Utilities Series*, World
Asset Allocation Series, World Governments Series, World Growth Series*, World
Total Return Series, and Zero Coupon Series 2000 Portfolio. The Managed Sectors
Series, Utilities Series, and World Growth Series are non-diversified as that
term is defined in the Investment company Act of 1940, as amended. The shares
of each Series are sold only to variable accounts established by Sun Life
Assurance company of Canada (U.S.) and Sun Life Insurance and Annuity Company
of New York to Trust benefits under variable contracts issued by such
companies.
The Series denoted with an asterisk above are included within these financial
Statements.
(2) Significant Accounting Policies
General - The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates. Investments
in foreign securities are vulnerable to the effects of changes in the relative
values of the local currency and the U.S. dollar and to the effects of changes
in each country's legal, political, and economic environment.
Investment Valuations - Equity securities listed on securities exchanges or
reported through the NASDAQ system are reported at market value using last sale
prices. Unlisted equity securities or listed equity securities for which last
sale prices are not available are reported at market value using last quoted
bid prices. Debt securities (other than short-term obligations which mature in
60 days or less), including listed issues, and forward contracts, are valued on
the basis of valuations furnished by dealers or by a pricing service with
consideration to factors such as institutional-size trading in similar groups
of securities, yield, quality, coupon rate, maturity, type of issue, trading
characteristics, and other market data, without exclusive reliance upon
exchange or over-the-counter prices. Short-term obligations, which mature in 60
days or less, are valued at amortized cost, which approximates market value.
Non-U.S. dollar denominated short-term obligations are valued at amortized cost
as calculated in the foreign currency and translated into U.S. dollars at the
closing daily exchange rate. Options listed on commodities exchanges are
reported at market value using closing settlement prices. Over-the-counter
options on securities are valued by brokers. Securities for which there are no
such quotations or valuations are valued at fair value as determined in good
faith by or at the direction of the Trustees.
Repurchase Agreements - Certain Series may enter into repurchase agreements
with institutions that the Series' investment adviser has determined are
creditworthy. Each repurchase agreement is recorded at cost. The Series
requires that the securities collateral in a repurchase transaction be
transferred to the custodian in a manner sufficient to enable the Series to
obtain those securities in the event of a default under the repurchase
agreement. The Series monitors, on a daily basis, the value of the collateral
to ensure that its value, including accrued interest, is greater than amounts
owed to the Series under each such repurchase agreement. Certain Series of the
Trust, along with other affiliated entities of Massachusetts Financial Services
Company (MFS), may utilize a joint trading account for the purpose of entering
into one or more repurchase agreements.
Foreign Currency Translation - Investment valuations, other assets, and
liabilities initially expressed in foreign currencies are converted each
business day into U.S. dollars based upon current exchange rates. Purchases and
sales of foreign investments, income, and expenses are converted into U.S.
dollars based upon currency exchange rates prevailing on the respective dates
of such transactions. Gains and losses attributable to foreign currency
exchange rates on sales of securities are recorded for financial statement
purposes as net realized gains and losses on investments. Gains and losses
attributable to foreign exchange rate movements on income and expenses are
recorded for financial statement purposes as foreign currency transaction gains
and losses. That portion of both realized and unrealized gains and losses on
investments that results from fluctuations in foreign currency exchange rates
is not separately disclosed.
Written Options - Certain Series may write call or put options in exchange for
a premium. The premium is initially recorded as a liability which is
subsequently adjusted to the current value of the options contract. When a
written option expires, the Series realizes a gain equal to the amount of the
premium received. When a written call option is exercised or closed, the
premium received is offset against the proceeds to determine the realized gain
or loss. When a written put option is exercised, the premium reduces the cost
basis of the security purchased by the Series. The Series, as writer of an
option, may have no control over whether the underlying securities may be sold
(call) or purchased (put) and, as a result, bears the market risk of an
unfavorable change in the price of the securities underlying the written
option. In general, written call options may serve as a partial hedge against
decreases in value in the underlying securities to the extent of the premium
received. Written options may also be used as part of an income producing
strategy reflecting the view of the Fund's management on the direction of
interest rates.
Forward Foreign Currency Exchange Contracts - Certain Series of the Trust may
enter into forward foreign currency exchange contracts for the purchase or sale
of a specific foreign currency at a fixed price on a future date. Risks may
arise upon entering into these contracts from the potential inability of
counterparties to meet the terms of their contracts and from unanticipated
movements in the value of a foreign currency relative to the U.S. dollar. The
Series 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
48
<PAGE>
Notes to Financial Statements -- continued
contracts in a manner intended to protect foreign currency-denominated
securities from declines in value due to unfavorable exchange rate movements.
For 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 each Series' month end net assets. The fee is reduced according to an
arrangement that measures the value of cash deposited with the custodian by
each Series. This amount is shown as a reduction of expenses on the 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.
Each Series files a tax return annually using tax accounting methods required
under provisions of the Code, which may differ from generally accepted
accounting principles, the basis on which these financial statements are
prepared. Accordingly, the amount of net investment income and net realized
gain reported on these financial statements may differ from that reported on
the Series' tax return.
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 a tax return of capital.
Differences in the recognition or classification of income between the
financial statements and tax earnings and profits, which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or net realized gains. During
the year ended December 31, 1998, the following amounts were reclassified due
to differences between book and tax accounting for currency transactions and
net operating losses. This change had no effect on the net assets or net asset
values per share.
<TABLE>
<CAPTION>
Capital Conservative Emerging Managed
Appreciation Growth Growth Sectors
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease):
Paid-in capital ................................ $ 1,301,554 $ -- $(1,565,068) $ (32,910)
Accumulated undistributed net realized gain on
investments and foreign currency transactions . (4,736,479) 14,425 26,718 (656,514)
Accumulated undistributed net investment income 3,434,925 (14,425) 1,538,350 689,424
</TABLE>
<TABLE>
<CAPTION>
Total World
Research Return Utilities Growth
Series Series Series Series
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Increase (decrease):
Paid-in capital ................................ $ -- $ (276,299) $ 34,280 $ (18,096)
Accumulated undistributed net realized gain on
investments and foreign currency transactions . 39,751 (7,428) 180,154 (213,140)
Accumulated undistributed net investment income (39,751) 283,727 (214,434) 231,236
</TABLE>
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. The agreements also
provide that each Series will be reimbursed for expenses in excess of the
expense limitation indicated below, based on average net assets of each Series.
Investment advisory fees and expense limitations are as follows:
<TABLE>
<CAPTION>
Investment Expense
Advisory Fees Limitations
----------------------------------------------------------------------
<S> <C> <C>
Capital Appreciation Series ......... 0.75%* 1.25%
Conservative Growth Series .......... 0.55% 1.25%
Emerging Growth Series .............. 0.75%* N/A
Managed Sectors Series .............. 0.75%* 1.25%
Research Series ..................... 0.75%* N/A
Total Return Series ................. 0.75%* 1.25%
Utilities Series .................... 0.75%* N/A
World Growth Series ................. 0.90% N/A
</TABLE>
*The investment advisory fee for the Capital Appreciation Series is 0.75% of
the first $1 billion of average net assets, 0.675% of the average net assets of
the next $500 million and 0.65% of the average net assets in excess of $1.5
billion. The investment advisory fee for the Emerging Growth Series, Managed
Sectors Series, Research Series, Total Return Series and Utilities Series is
0.75% of the first $300 million of average net assets and 0.675% of the average
net assets in excess of $300 million. The advisory fee for the Total Return
Series is reduced to 0.60% of the average net assets in excess of $1 billion.
49
<PAGE>
Notes to Financial Statements -- continued
The advisory agreement with respect to the World Growth Series permits the
adviser to engage one or more sub-advisers and the adviser has engaged Foreign
& Colonial Management Ltd. and Foreign & Colonial Emerging Markets Ltd., each
an England and Wales Company, to assist in the performance of its services.
Administrator - 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 each Series' average daily net
assets:
<TABLE>
<S> <C>
First $1 billion................ 0.0150%
Next $1 billion................. 0.0125%
Next $1 billion................. 0.0100%
In excess of $3 billion......... 0.0000%
</TABLE>
The Trust pays no compensation directly to its Trustees or officers who are
affiliated with MFS or Sun Life Assurance Company of Canada (U.S.), all of whom
receive remuneration for their services to the Trust from MFS or Sun Life
Assurance Company of Canada. Certain officers and Trustees of the Trust are
officers or directors of MFS or Sun Life Assurance Company of Canada.
(4) Portfolio Securities
Purchases and sales of investments, other than U.S. government securities,
purchased option transactions, and short-term obligations, were as follows:
<TABLE>
<CAPTION>
Capital Conservative Emerging Managed
Appreciation Growth Growth Sectors
Series Series Series Series
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Purchases
U.S. government securities ........................... $ -- $ 10,903,085 $ -- $ 7,410,907
============== ============== ============ ============
Investments (non-U.S. government securities) ......... $1,141,960,493 $1,277,955,201 $562,815,560 $540,418,778
============== ============== ============ ============
Sales
U.S. government securities ........................... $ 979,607 $ 244,292 $ -- $ 8,731,589
============== ============== ============ ============
Investments (non-U.S. government securities) ......... $1,182,555,478 $ 890,587,627 $448,888,154 $537,939,630
============== ============== ============ ============
</TABLE>
<TABLE>
<CAPTION>
Total World
Research Return Utilities Growth
Series Series Series Series
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Purchases
U.S. government securities ........................... $ 10,308,859 $ 742,340,219 $ 19,093,224 $ --
============ ============== ============ ============
Investments (non-U.S. government securities) ......... $799,899,655 $1,472,713,968 $314,626,005 $236,761,322
============ ============== ============ ============
Sales
U.S. government securities ........................... $ -- $ 713,170,697 $ 18,649,626 $ --
============ ============== ============ ============
Investments (non-U.S. government securities) ......... $655,905,138 $1,281,029,151 $231,462,894 $242,020,277
=============== ============== ============ ============
</TABLE>
The cost and unrealized appreciation or depreciation in value of the
investments owned by each Series, as computed on a federal income tax basis,
are as follows:
<TABLE>
<CAPTION>
Capital Conservative Emerging Managed
Appreciation Growth Growth Sectors
Series Series Series Series
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aggregate cost ........................ $1,196,982,475 $1,453,923,977 $504,379,059 $292,092,891
============== ============== ============ ============
Gross unrealized appreciation ......... $ 527,105,354 $ 420,731,251 $246,079,745 $ 74,275,646
Gross unrealized depreciation ......... (36,557,916) (21,620,843) (18,056,626) (206,412)
-------------- -------------- ------------ ------------
Net unrealized appreciation .......... $ 490,547,438 $ 399,110,408 $228,023,119 $ 74,069,234
============== ============== ============ ============
</TABLE>
<TABLE>
<CAPTION>
Total World
Research Return Utilities Growth
Series Series Series Series
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aggregate cost ........................ $ 774,157,836 $1,755,732,797 $214,955,968 $223,624,141
============== ============== ============ ============
Gross unrealized appreciation ......... $ 244,491,172 $ 202,071,233 $ 21,843,680 $ 68,343,700
Gross unrealized depreciation ......... (22,261,959) (32,019,717) (9,924,434) (15,536,224)
-------------- -------------- ------------ ------------
Net unrealized appreciation .......... $ 222,229,213 $ 170,051,516 $ 11,919,246 $ 52,807,476
============== ============== ============ ============
</TABLE>
50
<PAGE>
Notes to Financial Statements -- continued
(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
----------------------------------------------
Year Ended
Year Ended December 31,
December 31, 1998 1997
--------------------------------------------
Shares Amount Shares
--------------------------------------------
<S> <C> <C> <C>
Shares sold ................................................... 8,063,847 $ 327,203,188 10,434,973
Shares issued to shareholders in reinvestment of distributions 4,103,091 169,375,578 2,938,523
Shares reacquired ............................................. (7,651,295) (315,592,471) (9,960,873)
---------- ------------- ----------
Net increase ................................................. 4,515,643 $ 180,986,295 3,412,623
========== ============= ==========
<CAPTION>
Capital
Appreciation
Series
-----------------
Year Ended
December 31, 1997
-----------------
Amount
-----------------
<S> <C>
Shares sold ................................................... $ 400,458,067
Shares issued to shareholders in reinvestment of distributions 104,376,322
Shares reacquired ............................................. (381,110,850)
-------------
Net increase ................................................. $ 123,723,539
=============
<CAPTION>
Conservative Growth Series
----------------------------------------------------------
Year Ended Year Ended
December 31, 1998 December 31, 1997
----------------------------------------------------------
Shares Amount Shares Amount
--------------- ------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 13,386,792 $471,198,051 13,737,227 $412,591,260
Shares issued to shareholders in reinvestment of distributions 2,883,270 101,692,939 1,378,263 38,687,847
Shares reacquired ............................................. (2,767,083) (94,714,987) (1,727,397) (51,136,982)
---------- ------------ ---------- ------------
Net increase ................................................. 13,502,979 $478,176,003 13,388,093 $400,142,125
========== ============ ========== ============
</TABLE>
<TABLE>
<CAPTION>
Emerging Growth Series
---------------------------------------------------------
Year Ended Year Ended
December 31, 1998 December 31, 1997
---------------------------------------------------------
Shares Amount Shares Amount
--------------- -----------------------------------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 9,109,956 $179,855,917 10,946,183 $181,464,154
Shares issued to shareholders in reinvestment of distributions 974,798 19,671,422 88,424 1,339,620
Shares reacquired ............................................. (3,856,847) (75,044,871) (2,543,688) (40,118,389)
---------- ------------ ---------- ------------
Net increase ................................................. 6,227,907 $124,482,468 8,490,919 $142,685,385
========== ============= ========== ============
<CAPTION>
Managed Sectors Series
---------------------------------------------------------
Year Ended Year Ended
December 31, 1998 December 31, 1997
---------------------------------------------------------
Shares Amount Shares Amount
---------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 2,160,575 $ 59,341,560 3,138,355 $ 89,274,597
Shares issued to shareholders in reinvestment of distributions 1,872,964 53,791,547 1,278,910 31,844,858
Shares reacquired ............................................. (2,799,501) (75,634,669) (2,883,189) (80,809,840)
---------- ------------ ---------- ------------
Net increase ................................................. 1,234,038 $ 37,498,438 1,534,076 $ 40,309,615
========== ============ ========== ============
</TABLE>
<TABLE>
<CAPTION>
Research Series
--------------------------------------------------------
Year Ended Year Ended
December 31, 1998 December 31, 1997
--------------------------------------------------------
Shares Amount Shares Amount
---------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 9,806,685 $205,506,332 14,881,373 $270,570,212
Shares issued to shareholders in reinvestment of distributions 1,643,741 35,307,562 757,459 12,967,721
Shares reacquired ............................................. (3,020,830) (60,785,179) (776,006) (13,853,334)
---------- ------------ ---------- ------------
Net increase ................................................. 8,429,596 $180,028,715 14,862,826 $269,684,599
========== ============ ========== ============
<CAPTION>
Total Return Series
-------------------------------------------------
Year Ended Year Ended
December 31, 1998 December 31, 1997
-------------------------------------------------
Shares Amount Shares
-------------------------------------------------
<S> <C> <C> <C>
Shares sold ................................................... 12,042,006 $ 252,709,674 13,207,717
Shares issued to shareholders in reinvestment of distributions 9,818,758 200,597,386 7,751,099
Shares reacquired ............................................. (10,090,437) (209,007,170) (10,068,841)
----------- ------------- -----------
Net increase ................................................. 11,770,327 $ 244,299,890 10,889,975
=========== ============= ===========
<CAPTION>
Total Return
Series
-----------------
Year Ended
December 31, 1997
-----------------
Amount
-----------------
<S> <C>
Shares sold ................................................... $ 265,729,913
Shares issued to shareholders in reinvestment of distributions 146,263,239
Shares reacquired ............................................. (202,501,041)
-------------
Net increase ................................................. $ 209,492,111
=============
</TABLE>
<TABLE>
<CAPTION>
Utilities Series
--------------------------------------------------------
Year Ended Year Ended
December 31, 1998 December 31, 1997
--------------------------------------------------------
Shares Amount Shares Amount
--------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 5,319,794 $ 86,783,548 2,211,285 $ 32,370,633
Shares issued to shareholders in reinvestment of distributions 1,152,938 18,458,544 710,454 9,314,058
Shares reacquired ............................................. (722,188) (11,690,902) (478,597) (6,990,242)
--------- ------------ --------- ------------
Net increase ................................................. 5,750,544 $ 93,551,190 2,443,142 $ 34,694,449
========= ============ ========= ============
<CAPTION>
World Growth Series
---------------------------------------------------------
Year Ended Year Ended
December 31, 1998 December 31, 1997
---------------------------------------------------------
Shares Amount Shares Amount
---------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 2,851,168 $ 43,338,836 4,579,286 $ 64,323,747
Shares issued to shareholders in reinvestment of distributions 1,281,309 20,206,241 379,516 5,115,882
Shares reacquired ............................................. (3,594,142) (52,361,835) (3,353,346) (46,866,330)
---------- ------------ ---------- ------------
Net increase ................................................. 538,335 $ 11,183,242 1,605,456 $ 22,573,299
========== ============ ========== ============
</TABLE>
(6) Line of Credit
Each Series and other affiliated funds participate in an $805 million unsecured
line of credit provided by a syndication of banks under a line of credit
agreement. Borrowings may be made to temporarily finance the repurchase of
Series shares. Interest is charged to each Series, based on its borrowings, at
a rate equal to the bank's base rate. In addition, a commitment fee, based on
the average daily unused portion of the line of credit, is allocated among the
participating funds at the end of each quarter. The commitment fees allocated
to each Series for the year ended December 31, 1998, are as follows.
<TABLE>
<CAPTION>
Commitment
Fee
---------------------------------------------------
<S> <C>
Capital Appreciation Series ......... $2,823
Conservative Growth Series .......... 6,191
Emerging Growth Series .............. 2,362
Managed Sectors Series .............. 618
Research Series ..................... 3,296
Total Return Series ................. 7,484
Utilities Series .................... 750
World Growth Series ................. 964
</TABLE>
Each Series and other affiliated funds also participate in a $20 million
uncommitted, unsecured line of credit provided by State Street Bank and Trust
Company under a line of credit agreement. Borrowings may be made to temporarily
finance the purchase of securities, the redemption of shares, or emergency
expenses. At December 31, 1998, the amount outstanding for the Utilities Series
was $1,653,534.
51
<PAGE>
Notes to Financial Statements -- continued
(7) Financial Instruments
Certain Series of the Trust may trade financial instruments with
off-balance-sheet risk in the normal course of its investing activities in
order to manage exposure to market risks such as interest rates and foreign
currency exchange rates. These financial instruments include written options
and forward foreign currency exchange contracts. The notional or contractual
amounts of these instruments represent the investment the Series has in
particular classes of financial instruments and does not necessarily represent
the amounts potentially subject to risk. The measurement of the risks
associated with these instruments is meaningful only when all related and
offsetting transactions are considered.
Written Option Transactions
<TABLE>
<CAPTION>
1998 Calls
------------------------
Series Contracts Premiums
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Managed Sectors Series Outstanding, beginning of period ..................... 5,308 $744,818
Options terminated in closing transactions .......... (13) (22,884)
Options expired ..................................... (5,295) (721,934)
------ -----------
Outstanding, end of period ........................... -- $ --
------ -----------
</TABLE>
Forward Foreign Currency Exchange Contracts
Forward foreign currency purchases and sales under master netting agreements
for the Utilities Series amounted to a net receivable of $5,086 with Merrill
Lynch at December 31, 1998. Forward foreign currency purchases and sales under
master netting agreements for the Total Return Series amounted to a net payable
of $1,156 with Merrill Lynch at December 31, 1998. At December 31, 1998, the
Utilities Series and the Total Return Series had sufficient cash and/or
securities to cover any commitments under these 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 December 31, 1998, the Research Series, Total Return Series, and
World Growth Series owned the following restricted securities (constituting
0.18%, 0.22%, and 0.42%, 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 or at the direction of the Trustees.
<TABLE>
<CAPTION>
Date of Shares/
Series Description Acquisition Par Amount Cost Value
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Research Series Jarvis Hotels PLC ..................... 6/21/1996-11/25/1997 907,200 $2,427,222 $1,760,797
==========
Total Return Series Merrill Lynch Mortgage Series
Investors, Inc. 8.333s, 2022 .......... 6/22/1994 514,000 $ 356,266 $ 485,971
United Airlines Pass-Through
Trust, 7.27s, 2013 .................... 7/14/1997 3,672,879 3,665,827 3,715,191
----------
$4,201,162
==========
World Growth Series International Business
Communications Systems, Inc. .......... 10/17/1995 12,600 $ 124,992 $ 0
Jarvis Hotels PLC ..................... 11/08/1996-8/13/1997 606,991 1,579,655 1,178,117
----------
$1,178,117
==========
</TABLE>
52
<PAGE>
Independent Auditors' Report
To the Trustees and Shareholders of MFS/Sun Life Series Trust:
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of Capital Appreciation Series,
Conservative Growth Series, Emerging Growth Series, Managed Sectors Series,
Research Series, Total Return Series, Utilities Series, and World Growth Series
(each a portfolio of MFS/Sun Life Series Trust) (the "Trust") as of December
31, 1998, the related statements of operations for the year then ended, the
statements of changes in net assets for the years ended December 31, 1998 and
1997, and the financial highlights for each of the years in the five-year
period ended December 31, 1998. These financial statements and financial
highlights are the responsibility of the Trust's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of the securities owned at
December 31, 1998 by correspondence with the custodian and brokers; where
replies were not received from brokers, we performed other auditing procedures.
An audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of each of the
respective portfolios of the MFS/Sun Life Series Trust at December 31, 1998,
the results of their operations, the changes in their net assets, and their
financial highlights for the respective stated periods in conformity with
generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 4, 1999
53
<PAGE>
Federal Tax Information
The following Series have designated capital gain dividends.
Capital Appreciation Series $161,706,724
Conservative Growth Series 76,964,306
Emerging Growth Series 14,324,774
Managed Sectors Series 30,836,298
Research Series 16,739,183
Total Return Series 113,134,957
Utilities Series 3,988,818
World Growth Series 12,415,272
Dividends Received Deduction
For the year ended December 31, 1998, the amount of distributions from income
eligible for the 70% dividends received deduction for corporations were as
follows.
<TABLE>
<CAPTION>
Dividends Received
Deduction
------------------
<S> <C>
Capital Appreciation Series ......... 76.7%
Conservative Growth Series .......... 51.4%
Emerging Growth Series .............. 8.5%
Managed Sectors Series .............. 4.9%
Research Series ..................... 21.7%
Total Return Series ................. 21.3%
Utilities Series .................... 8.8%
World Growth Series ................. 1.7%
</TABLE>
Foreign Source Income and Foreign Tax Credit
For the year ended December 31, 1998, income from foreign sources was
$2,791,258 and foreign taxes withheld were $259,302 for the World Growth
Series.
54
<PAGE>
MFS Prepares for the Year 2000
[Year 2000 Logo]
MFS Investment Management(R) is committed to the effective use of technology in
managing investments, delivering high-quality service to our fund shareholders,
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 arose because date fields in computers and software
applications have traditionally used two-digit codes. Since the dawn of the
computer age, the implied first two digits have been "1" and "9." In the year
2000, that can no longer be the case because computer applications may assume
"00" refers to 1900. Our team of dedicated business and technology managers,
working with outside experts, is taking reasonable steps to ascertain the Y2K
compliance of MFS' internal systems. We are also working with our vendors to
seek reasonable assurances that their systems are or will be compliant.
MFS realizes that investors are also concerned about whether the companies in
the Funds' portfolios are addressing their internal Y2K issues. As MFS'
portfolio managers and research analysts meet with the managements of portfolio
companies as part of the MFS(R) Original Research(SM) process, one of the many
factors they may consider is a company's Y2K preparedness.
Year 2000 compliance is an enormously complex, worldwide issue. No company or
institution can guarantee that it will be unaffected by the Y2K phenomenon.
While MFS is making an effort to ensure the integrity of its internal systems,
there are significant systems interdependencies in the domestic and foreign
securities markets, external vendor systems, and the internal business
environments of its portfolio companies. There can be no assurance that the
steps MFS has taken will be sufficient to avoid any adverse impact on the Funds.
However, MFS will continue to review and test its internal systems.
<PAGE>
Year 2000 and Beyond
[SUN LIFE LOGO] Sun Life
Assurance Company
of Canada (U.S.)
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 our 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 we 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 current target date for
completion of Sun Life's certification program is the end of the first quarter
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>
[Back Cover]
MFS[RegTM]/Sun Life Series Trust
500 Boylston Street, Boston, MA 02116-3741
Trustees
JOHN D. McNEIL*, Chairman and Trustee
Chairman, Sun Life Assurance Company of Canada,
Toronto, Ontario, Canada
SAMUEL ADAMS, Trustee
Partner, Warner & Stackpole (attorneys),
Boston, Massachusetts
DAVID D. HORN*, Trustee
Former Senior Vice President and General Manager,
Sun Life Assurance Company of Canada,
Boston, Massachusetts
GARTH MARSTON, Trustee
Former Chairman, The Provident Institution for Savings,
Boston, Massachusetts
DERWYN F. PHILLIPS, Trustee
Former Vice Chairman, The Gillette Company,
Marblehead, Massachusetts
WILLIAM R. GUTOW, Trustee
Vice Chairman, Capitol Entertainment Management Company; Real Estate
Consultant,
Dallas, Texas
J. KERMIT BIRCHFIELD, Trustee
Consultant; Chairman, Display Technology, Inc. (manufacturer of liquid-crystal
display technology); Managing Director, Century Partners, Inc. (investments),
Gloucester, Massachusetts
Officers+
JAMES R. BORDEWICK, Assistant Secretary
MARK E. BRADLEY, Assistant Treasurer
STEPHEN E. CAVAN, Secretary and Clerk
W. THOMAS LONDON, Treasurer
ELLEN MOYNIHAN, Assistant Treasurer
JAMES O. YOST, Assistant Treasurer
Investment Adviser
Massachusetts Financial Services Company
500 Boylston Street, Boston, MA 02116-3741
Custodian and Dividend Disbursing Agent
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110-2875
Auditors
Deloitte & Touche LLP
125 Summer Street, Boston, MA 02110-1617
Portfolio Managers+
JEAN O. ALESSANDRO
DAVID A. ANTONELLI
ARNAB KUMAR BANERJI
JOHN F. BRENNAN, JR.
STEPHEN C. BRYANT
DAVID M. CALABRO
JEFFREY CHOWDHRY
CHRISTIAN A. FELIPE
GEOFFREY L. KURINSKY
JOHN D. LAUPHEIMER, JR.
DAVID R. MANNHEIM
PAUL M. McMAHON
STEVEN E. NOTHERN
LISA B. NURME
BERNARD A. SCOZZAFAVA
MAURA A. SHAUGHNESSY
TONI Y. SHIMURA
FREDERICK J. SIMMONS
BRIAN E. STACK
JAMES T. SWANSON
(on behalf of the MFS World
Asset Allocation Committee)
*Affiliated with the Sponsor.
+Affiliated with the Investment Adviser. SUN-2B 2/99 192M
