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MFS[RegTM]/Sun Life Series Trust
SEMIANNUAL REPORT [bullet] June 30, 2000
Capital Appreciation Series
Emerging Growth Series
Global Growth Series
Managed Sectors Series
Massachusetts Investors Trust Series
Research Series
Total Return Series
Utilities Series
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MFS Original Research[RegTM]
Research has been central to investment management at MFS since 1932, when we
created one of the first in-house research departments in the mutual fund
industry. Original Research[SM] at MFS is more than just crunching numbers and
creating economic models: it's getting to know each security and each company
personally.
[MFS Logo](SM)
ORIGINAL RESEARCH [MAKES A DIFFERENCE]
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NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
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Letter from the President
Dear Contract Owners,
I'm sure you've noticed that whenever financial markets suffer a large decline,
as they did this past spring, there's a flurry of information on "how to deal
with market volatility" -- both in the popular press and from those of us in the
investment business. Our own thinking on this is that, first, for long-term
investors volatility is not necessarily something to be feared; occasional
volatility may in fact be healthy for the markets.
Second, our experience has been that when markets begin to fall, it's often too
late to act. The best response may be to do nothing -- if you're properly
prepared with a long-term plan, created with the help of your investment
professional. To help you create or update that plan and take market volatility
in stride, here are some points you may want to consider the next time you talk
with your investment professional.
1. Volatility can be a good thing
We would argue that the markets today are much healthier than they were before
the period of volatility this past spring, in the sense that stock prices have
returned to more reasonable levels and we have a stronger base for future
growth. Perhaps the worst of the market's wrath descended on companies with very
high stock prices, relative to their earnings, or with business concepts that
looked great in the euphoria of a booming market but in the end appeared to have
no fundamental backing. It has always been our view that one of the best
protections against market volatility is to invest in stocks and bonds of
fundamentally good companies selling at reasonable prices. When discussing
potential investments with your investment professional, you may want to ask how
they fared in previous periods of volatility, as well as in the good times.
2. Invest for the long term
You've heard that before, but we think it's still probably the most important
concept in investing. Time is one of an investor's greatest allies. Over nearly
all long-term periods -- 5, 10, 20 years, and more -- stock and bond returns, as
represented by most common indices, have been positive and have considerably
outpaced inflation. Investing is the best way we know of to make your money work
for you while you're doing something else.
Where investors can get into trouble is by confusing investing with trading. In
our view, traders who buy securities with the intention of selling them at a
profit in a matter of hours, days, or weeks are gambling. We believe this seldom
turns out to be a good strategy for increasing your wealth.
3. Invest regularly
Waiting for the "right time" to invest is almost always a poor strategy, because
only in retrospect do we know when that right time really was. Periods of
volatility are probably the worst times to make an investment decision. Faced
with turmoil in the markets, many investors have opted to simply stay on the
sidelines.
On the other hand, we think one of the best techniques for investing is through
automatic monthly or quarterly deductions from a checking or savings account.
This approach has at least three major benefits. First, you can formulate a
long-term plan -- how much to invest, how often, and into which portfolios -- in
a calm, rational manner, working with your investment professional. Second, with
this approach you invest regularly without agonizing over the decision each time
you buy units. And, third, if you invest equal amounts of money at regular
intervals, you'll be taking advantage of a strategy called dollar-cost
averaging: by investing a fixed amount while the unit cost fluctuates, you end
up with an average unit cost to you that is lower than the average unit price
over your investment period.(1) If all this sounds familiar, it's probably
because you're already taking advantage of dollar-cost averaging by investing
regularly for retirement through a 401(k) or similar account at work.
4. Diversify
One of the dangers of not having an investment plan is that you may be tempted
to simply chase performance, by moving money into whatever asset class appears
to be outperforming at the moment -- small, mid, or large cap; growth or value;
United States or international; stocks or bonds. The problem with this approach
is that by the time a particular area is generally recognized as "hot," you may
have already missed some of the best performance.
International investing offers a case in point. In the 1980s, international
investments, as represented by the Morgan Stanley Capital International (MSCI)
Europe, Australia, Far East (EAFE) Index, outperformed U.S. investments, as
represented by the Standard & Poor's 500 Composite Index (S&P 500), in 7 out of
10 years.(2) For the decade, the MSCI EAFE's average annual performance was 23%,
compared to 18% for the S&P 500. Going into the 1990s, then, an investor looking
only at recent performance might have favored international investments over
U.S. investments.
But the 1990s turned out to be virtually a mirror image of the '80s. Domestic
investments outperformed international investments in 7 out of 10 years, with
the S&P 500 returning an average of 18% annually for the decade and the MSCI
EAFE returning a 7% annual average. Looking ahead, however, we are optimistic
about international markets because we feel that many of the same forces that
propelled the current U.S. economic boom -- deregulation, restructuring, and
increased adoption of technology -- have taken root overseas.
The lesson to be learned is that nobody really knows what asset class will be
the next to outperform or how long that performance will be sustained. We would
suggest that one way to potentially profit from swings in the market -- to
potentially be invested in various asset classes before the market shifts in
their favor -- is with a diversified portfolio covering several asset classes.
If you haven't already done so, we encourage you to discuss these thoughts with
your investment professional and factor them into your long-range financial
planning. Hopefully, the next time the markets appear to be going wild, you'll
feel confident enough in your plan to view periods of volatility as a time of
potential opportunity -- or perhaps just a time to sit back and do nothing.
As always, we appreciate your confidence and welcome any questions or comments
you may have.
Respectfully,
/s/ C. James Prieur
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C. James Prieur
President of the MFS[RegTM]/Sun Life Series Trust
July 17, 2000
(1) The use of a systematic investing program does not guarantee a profit or
protect against a loss in declining markets. You should consider your
financial ability to continue to invest through periods of low prices.
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Letter from the President -- continued
(2) Source: Lipper Inc. Decade performance: '80s -- 12/31/79 - 12/31/89, '90s
-- 12/31/89 - 12/31/99. The MSCI EAFE Index is an unmanaged,
market-capitalization-weighted total return index that measures the
performance of the same developed-country global stock markets included in
the MSCI World Index but excludes the United States, Canada, and the South
African mining component. The S&P 500 is a popular, unmanaged index of
common stock total return performance. It is not possible to invest
directly in an index. Past performance is no guarantee of future results.
Investments in variable annuities will fluctuate and may be worth more or less
upon redemption.
Variable annuities are designed for long-term retirement investing; please see
your investment professional for more information.
The opinions expressed in this letter are those of C. James Prieur, and no
forecasts can be guaranteed.
Management Review and Outlook
Capital Appreciation Series
For the six months ended June 30, 2000, the series provided a total return of
6.28%, which compares to a 2.98% return for the average large-cap growth
portfolio tracked by Lipper Inc., an independent firm that reports performance.
The series' return also compares to a - 0.42% return over the same period for
the series' benchmark, the Standard & Poor's 500 Composite Index (the S&P 500).
The S&P 500 is a popular, unmanaged index of common stock total return
performance. The series performance includes the reinvestment of any
distributions but does not reflect any applicable contract or surrender charges.
During the period, technology continued to be our main focus. However, we
significantly changed the make-up of our technology investments. We shifted out
of some of the mainframe software companies that had populated the series at the
beginning of 2000, such as BMC Software, Microsoft, and Compuware. We also cut
back or eliminated some of our larger tech positions, including Oracle and Cisco
Systems, because we felt their stock prices had reached or approached full
value. Fortunately, a good deal of this selling, which significantly decreased
our tech exposure, came before the market and the technology sector suffered
from a serious correction in March and April. During the correction, we
increased our positions in fiber-optic equipment firms Nortel Networks and
Corning.
Much of our tech focus has been tied to the development of e-commerce, where a
significant amount of corporate spending is turning. VeriSign, for example, acts
as the custodian for online transactions, taking care of payments and
validations. Nortel Networks and Corning are fiber-optic equipment firms
benefiting from the explosive expansion of web communications, as more fiber
capacity is needed to carry data. We also increased the series' holdings in two
semiconductor manufacturers, Micron Technology and Intel because we anticipate a
fairly significant upturn in personal computer (PC) sales during the second half
of 2000 for two reasons. First, the holiday selling season typically is a good
time of year for PC sales. Second, since we are now well beyond the Year 2000
phenomenon and the computer bug fears it spawned, we think corporate spending on
computers will increase. We also anticipate continued growth in the server
market, an area where Intel, in particular, has made significant inroads. With
these trends in place, demand for all types of semiconductors, high-speed
processors, and memory chips should outpace very tight supply to help these
companies' prospects.
We also found opportunities in the utilities and communications sector. It's
important to point out that our largest investments here were dedicated to
companies involved with cellular communications. This segment performed much
better than the sector as a whole, based on the dynamic growth of wireless voice
and data communications. For example, you can now access the Internet with a
cellular phone. Two of our top holdings in this area were service providers
Sprint PCS and Vodafone AirTouch. We also invested in companies like Metromedia,
which are developing local fiber networks in metropolitan areas.
We also added to our energy weighting, particularly in the oil services segment,
including drillers like Transocean Offshore and Global Marine. In our view,
these companies have hit the sweet spot of their business cycle. With oil prices
up, more oil companies have sought to increase their drilling activity. A
limited supply of drilling rigs means the prices for these companies' services
have been driven higher.
Our financial services holdings were focused on brokerage stocks such as Merrill
Lynch and Morgan Stanley Dean Witter. These companies have done well due to
strong capital markets activity, and should be well positioned if interest rates
start to trend downward. In the retail sector, we have found our best
opportunities in supermarkets and drug stores, including Safeway, Wal-Mart, and
CVS. At the same time, we have been looking to add to our health care
investments in order to take advantage of the steady earnings growth that we
believe pharmaceutical firms offer, and as a way to balance the series' large
tech stake.
All in all, we've tended to concentrate the series more so than in the past. The
market has been very choppy, with some sectors performing very well and others
really struggling. Our research analysts have worked to identify global trends
in industry and business, so that we can try to either capitalize on them or
avoid them.
On the down side, the series' leisure investments lagged somewhat, including its
cable and radio holdings. The feeling in this sector was that -- with the
Olympics and the U.S. presidential election coming up -- conditions for these
companies could not improve over where they are in 2000. Revenue growth for a
lot of these companies hit record levels, and many investors apparently believed
any economic slowdown would spell nothing but bad news. However, we've remained
positive about these companies' long-term prospects. We felt their struggles
were a result of purely emotional market plays, rather than any deterioration in
their fundamentals. We believe, in the long run, that their continued strong
fundamentals will help their stock prices rebound.
Emerging Growth Series
For the six months ended June 30, 2000, the series provided a total return of
-1.66%, which compares to returns over the same period of 3.04% and -0.42%,
respectively, for the series' benchmarks, the Russell 2000 Total Return Index
(the Russell 2000) and the S&P 500. The Russell 2000 is an unmanaged index
comprised of 2,000 of the smallest U.S.-domiciled company common stocks (on the
basis of capitalization) that are traded in the United States on the New York
Stock Exchange, the American Stock Exchange, and NASDAQ. The series performance
includes the reinvestment of any distributions but does not reflect any
applicable contract or surrender charges.
A global correction in the high-growth segments of the market in which we invest
began late in the first quarter of 2000. Fueled by investor concerns over
further Federal Reserve Board (Fed)
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Management Review and Outlook -- continued
interest rate increases, this correction in the valuations of technology, media,
telecommunications, and biotechnology stocks continued into the first two months
of the second quarter.
In early June, we began to see some signs that the Fed's six interest rate
increases since last summer may have begun to slow the economy. Some key
economic indicators, including a modest rise in unemployment, a slowing in
housing starts, and lower-than-expected wage gains, gave us hope that there will
be fewer or no increases going forward. We also have seen more attractive
valuations in the high-growth areas of the market, and we believe we may have
seen the lows in the NASDAQ Composite Index (an unmanaged, market-weighted index
of all over-the-counter common stocks traded on the National Association of
Securities Dealers Automated Quotation System) following the correction earlier
this year. While we anticipate further market volatility as investors adjust to
the latest news on the economy and interest rates, we believe we may be entering
a more favorable investment environment.
One of our key strategies during the period was to upgrade the portfolio by
adding to our positions in those companies that we believe will emerge as the
true long-term leaders in their industries, capable of generating the strongest
relative earnings growth. In light of the rising interest rate environment we
had earlier this year, we also reduced our positions in some of our highest
valuation stocks that we felt had limited upside earnings potential, and added
selectively to more defensive names such as generic drug companies and
pharmaceutical companies and food and drug retailers.
We still expect to find our best investment ideas in technology,
telecommunications, and health care. Particularly in an environment where
interest rates stabilize or drop, these high-growth segments of the market could
continue to deliver strong revenue and earnings growth.
We continue to focus on technology as our core sector because we believe tech
companies offer the most attractive growth characteristics that we can identify
across a range of industries. Although we have shifted our tech weightings from
time to time, we are well positioned to take advantage of what we expect to be
much narrower leadership than we've seen in the past. We expect to see certain
core, high-quality tech companies emerge as leaders in their respective markets.
Among our tech holdings were several companies that enable e-commerce, both
business to business and business to consumer. We believe the most successful
will be those with the scale to meet the demands of corporations eagerly buying
the latest business technologies in order to stay competitive. Our tech holdings
include select Internet infrastructure and software companies such as VeriSign,
in addition to semiconductor companies such as Micron Technology and Intel.
With respect to telecommunications, we have reduced our holdings in telecom
service providers because of changes taking place in the industry. Most notably,
the cost of doing business, particularly in terms of licensing and capital
spending, is rising, thus making these companies less profitable in the long
run. Our largest telecom holdings were in telecom equipment companies such as
Nortel Networks, Corning, CIENA, and ADC Telecommunications.
In health care, we have targeted quality names such as the emerging
pharmaceutical company, Sepracor, and companies that make equipment used in
genetics research such as PE Biosystems. Among the thousands of health care
companies available, we're focusing on the biotechnology and emerging
pharmaceutical companies with the best intellectual property and product
pipelines, both of which should help them better meet shareholder expectations.
Finally, we're somewhat cautious on retail because rising interest rates tend to
dampen consumer confidence and slow the pace of consumer spending.
We are in a volatile period where we need to see how much further interest rates
must rise in order to cool off the economy. We remain optimistic on the
long-term outlook for growth stocks, and believe the market leadership will
continue to be in technology, telecommunications, and select parts of health
care. Within these sectors, we are working to build positions in companies that
can become leaders in their industries and deliver growth over long periods of
time, thus creating value for their shareholders.
Global Growth Series
For the six months ended June 30, 2000, the series provided a total return of
-0.78%, which compares to a -1.19% return for the average global portfolio
tracked by Lipper Inc. The series' return also compares to returns over the same
period for the series' benchmarks: -0.42% for the S&P 500; 3.04% for the Russell
2000 Total Return Index; and -2.56% for the Morgan Stanley Capital International
(MSCI) All Country World Index, an unmanaged index of developed-country and
emerging market equities. The series performance includes the reinvestment of
any distributions but does not reflect any applicable contract or surrender
charges.
The strong gains the series enjoyed during the first quarter of 2000 due to its
relatively large stake in the three industry groups that dominated the global
markets, namely technology, telecommunications, and media companies, were
essentially erased during the April and May selloff. Amid concerns about
valuations and interest rates, some of the series' largest technology holdings
experienced choppy performance. The share price of Oracle, which makes the
software that has become the foundation for many Web sites, e-commerce, and
corporate networks, produced a modest gain. Cisco, the leading maker of the
network devices that have become the backbone of the Internet, was essentially
unchanged during the period.
While many of our tech holdings, especially semiconductor manufacturers and
equipment companies, such as Altera, Applied Materials, Micron Technology, and
Analog Devices, performed well during the period, fueled by the growing demand
for all types of chips. Holdings such as Microsoft, BMC Software, and Softbank
were disappointments. The double whammy of lackluster earnings and the Justice
Department's call for a breakup of Microsoft led to a lower share price. BMC
Software also performed poorly after reporting disappointing earnings results.
Finally, the Japanese "incubator" Softbank suffered sizable losses because the
company's stock price buckled when investors grew skittish about the valuations
of dot.com-related stocks. Softbank is known as an incubator because it invests
in or acquires growing Internet companies and then helps nurse them along.
We committed a substantial portion of the series' assets to foreign
telecommunications companies because we believe many of them have transformed
themselves from old-line, slow-growth utilities into fast-growing, dynamic
companies -- through their wireless, Internet service, and data transmission
businesses. A good example is Canadian telecommunications equipment
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Management Review and Outlook -- continued
company Nortel Networks, which posted strong gains thanks to good growth in its
fiber-optic business. In the Netherlands, KPN benefited from its big push into
wireless communications with the acquisition of a German wireless operator,
which transformed the companies into a pan-European provider in the process.
Most of our emerging-market telecom companies also did well. China Telecom, for
example, rose substantially in response to rapid subscriber growth. Some
Brazilian companies -- particularly Telesp -- were winners as that country's
economy rebounded and investors sought out emerging-market telecom companies
that were cheaper alternatives to developed-market investments.
During the second quarter of 2000, we cut back the series' stake in tech
companies a bit to lock in gains and to search for more attractive values
elsewhere. We redeployed this money into a pretty eclectic group of stocks. We
added U.S. retailers such as grocery store chain Safeway and drug store chain
CVS, both of which enjoyed steady earnings growth. A few Japanese pharmaceutical
companies, such as Chugai Pharmaceutical, also caught our attention because we
felt they were trading at attractive levels compared to their U.S. counterparts.
In general, this strategy aided the series' performance.
In Asia, we increasingly turned our focus toward non-bank financial services
stocks. We believe the economic rebound in many Asian economies and the surge in
equity trading volume have made securities firms particularly attractive. We've
taken a similar approach in the United States, where we believe banks are
beginning to feel the pressure of lower-cost Internet competitors. That helps to
explain why we kept most of our financial services holdings in non-banks such as
Merrill Lynch, whose asset management and capital markets businesses continued
to do well.
Looking forward, we're encouraged by the fact that corporate earnings were quite
strong during the past six months. That said, we wouldn't be surprised if the
U.S. market remained volatile as investors try to decipher potentially
contradictory evidence about the direction of the economy and interest rates.
We're also expecting earnings gains in Europe, where we believe a number of
trends seem to be setting up a favorable backdrop. Corporations just recently
have begun to enjoy the benefits of restructuring and consolidation.
Furthermore, we feel Europe appears to be on the verge of a meaningful and
sustainable rebound. In some ways, the present situation in Europe reminds us of
the situation in the United States in the early 1990s. Back then, we believed
that cost cutting combined with an improving economy helped set the stage for
better earnings growth. We think that a similar set of circumstances could take
hold in Europe and buoy stocks there over the next several years. We're not as
confident about the Japanese economy, which continues to teeter on the verge of
a recession. So we plan to be very selective in Japan by using our MFS Original
Research[RegTM] to seek companies that we feel can grow earnings by
differentiating themselves from their competitors. Recovering emerging market
economies, we believe, may also yield some attractive opportunities. But, as
always, emerging markets carry unique risks, so we're likely to limit our
holdings in them.
We're likely to continue our emphasis on technology, telecommunications, and
media stocks as long as we feel that their fundamental growth rates remain
strong and that demand for the companies' goods and services stays firm. Many
companies in those sectors continue to surprise on the upside by growing at much
faster-than-expected rates. Wireless subscription growth rates across the globe
have accelerated much more quickly than originally forecast, while the growth in
data transmission is expanding far faster and to a much greater magnitude than
originally thought. Admittedly, the high valuations for some of these stocks are
unprecedented. Our approach is to be very selective by choosing companies that
we believe have meaningful franchises and legitimate business models that can be
sustained over the long term.
Managed Sectors Series
For the six months ended June 30, 2000, the series provided a total return of
-7.05%, which compares to returns over the same period of -0.42% and -1.54%,
respectively, for the series' benchmarks, the S&P 500 and the Lipper Capital
Appreciation Portfolio Index (the Lipper Index). The Lipper Index is an
unmanaged, net asset value-weighted measure of the largest qualifying portfolios
with capital appreciation as their investment objective. The series performance
includes the reinvestment of any distributions but does not reflect any
applicable contract or surrender charges.
A global correction in the high-growth segments of the market in which we invest
hampered our short-term performance earlier this year. Fueled by investor
concerns over further Federal Reserve Board (Fed) interest rate increases, the
correction in the valuations of technology, media, telecommunications, and
biotechnology stocks began in the second week of March and continued through the
first two months of the second quarter.
Recently, we have seen some signs that the Fed's six interest rate increases
since last summer may have begun to slow the economy. Some key economic
indicators in early June, including a modest rise in unemployment, a slowing in
housing starts, and lower-than-expected wage gains, gave us hope that there will
be fewer or no increases going forward. We also have seen more attractive
valuations in the high growth areas of the market and we believe we may have
seen the lows in the NASDAQ Composite Index following the correction earlier
this year. While we could certainly see further market volatility as investors
adjust to the latest news on the economy and interest rates, we believe we may
be entering a more favorable investment environment.
During the six-month period, we upgraded the portfolio by adding to our
positions in those companies that we believe will emerge as the true long-term
leaders in their industries, capable of generating the strongest relative
earnings growth. At the same time, in light of the rising interest rate
environment we had earlier this year, we reduced our positions in some of our
highest valuation stocks that we felt had limited upside earnings potential and
added selectively to more defensive holdings such as generic drug and
pharmaceutical companies, as well as food and drug retailers.
Our best investment ideas have continued to be in technology,
telecommunications, and health care. We believe that these high-growth segments
of the market could continue to deliver superior revenue and earnings growth,
particularly in a low or stabilizing interest rate environment.
Technology continues to be our core sector because we believe these companies
offer the most attractive growth characteristics that we can identify across a
range of industries. Although we have shifted our tech weighting from time to
time, we are well positioned to take advantage of what we expect to be much
narrower leadership than we've seen in the past. We think that certain core,
high-quality tech companies will become dominant in their respective markets.
Among them, those leaders first to market with new products and services are the
companies we want to own.
4
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Management Review and Outlook -- continued
Many of our technology holdings are companies that enable e-commerce, both
business to business and business to consumer. We believe the most successful
among them will be the companies with the scale to meet the demands of
corporations eagerly buying the latest business technologies in order to stay
competitive. Our tech holdings also include select Internet infrastructure and
software companies such as VeriSign and Check Point, in addition to
semiconductor companies such as Micron Technology and Intel.
In utilities and communications, we owned a number of emerging telecom service
providers last year. We reduced our holdings this year due to changes taking
place in the industry. Most notably, the cost of doing business, particularly in
terms of licensing and capital spending, is expected to go higher and make these
companies less profitable. Our largest telecom holdings were in telecom
equipment companies such as Nortel Networks, ADC Telecommunications, CIENA, and
Corning.
With respect to health care, we have targeted quality names like the emerging
pharmaceutical company, Sepracor, and companies that make equipment used in
genetics research, like PE Biosystems. Among the thousands of health care
companies available, we're focusing on the biotechnology and emerging
pharmaceutical companies with the best intellectual property and product
pipelines, both of which should help them better meet shareholder expectations.
Based on the positive outlook for oil and gas prices, we have added to our
holdings in the energy services area. We will, however, watch the supply and
demand of oil, given that the price of this commodity drives the prices of these
energy stocks. Finally, we're somewhat cautious on retail because rising
interest rates tend to dampen consumer confidence and slow the pace of consumer
spending.
We are in a volatile period where we need to see how much further interest rates
must rise in order to cool off the economy. Although we expect to see some
interim volatility, for the long term, we are optimistic on growth stocks,
especially in technology, telecommunications, and health care. Within these
sectors, we are working to build positions in companies that can become leaders
in their industries and deliver growth over long periods of time, thus creating
value for their shareholders.
Massachusetts Investors Trust Series
For the six months ended June 30, 2000, the series provided a total return of
0.72%, which compares to a -1.64% return for the average large-cap value
portfolio tracked by Lipper Inc. The series' return also compares to a -0.42%
return over the same period for the series' benchmark, the S&P 500. The series
performance includes the reinvestment of any distributions but does not reflect
any applicable contract or surrender charges.
During a difficult period for stocks, the series managed to outperform the S&P
500 primarily because we kept a close eye on valuations in the portfolio. As a
result, we were underweighted in technology stocks relative to the S&P 500,
which has been a big advantage in this volatile environment. At the same time,
we're not simply value investors; we also try to seek out growth at the right
price. Our broad stock selection expresses this philosophy and proved to be a
significant contributor to performance. Our well-diversified portfolio of
holdings, such as Hartford Financial Services, State Street Corp. Pharmacia,
Pfizer, Safeway, and BP Amoco, are all great examples of stocks that we believe
offer favorable growth opportunities at reasonable valuations and that have
provided strong performance.
Early in the year, we were buying pharmaceutical stocks when most investors
shunned that sector. There were several reasons why we were bullish on these
stocks. First, we believe many of the issues surrounding the industry's decline
in 1999 have subsided, including the threat of onerous government pricing
regulation and Medicare reform. Second, many drug stocks maintained strong
growth rates in 1999 and 2000, but were hurt last year by somewhat exaggerated
concerns about fading product pipelines. Today, we see plenty of new products in
the pipeline, and with quicker FDA approval rates, there is always the
possibility that a new blockbuster drug could be right around the corner.
Finally, health care and pharmaceutical stocks historically have held up well in
a weakening economy. If the Federal Reserve Board's rate hikes succeed in
slowing the economy, we believe traditionally stable, steady growers such as
health care stocks could outperform the overall market.
We think there are a lot of opportunities and the potential for large profits in
the technology sector. Some of the fastest-growing and innovative companies in
the world are the ones that create new technologies. However, we recently
decreased the portfolio's exposure to this sector because we could not ignore
their valuations. If stock prices get too far ahead, which we felt they did in
the first quarter of 2000, the stocks may tread water until the companies'
growth rates can catch up. We think very few industries can grow 30% per year
over the long term, but last year many technology stocks were up well over 100%,
and we felt that was just too far too fast. However, while the portfolio has
remained underweighted in tech versus the S&P 500, it was still the largest
sector weighting in the portfolio because we continued to see great
opportunities for long-term growth.
While the holdings and sector weightings of the portfolio will constantly shift
depending on where we find opportunities, we think it's important to emphasize
that our overall strategy remains the same. We continue to try to balance the
portfolio by taking advantage of what we think are the best growth and value
stocks to own at the right time. When growth stocks are in favor, our goal is to
keep pace with the market, and in a value environment, our goal is to
outperform.
Despite the recent selloff, some investors feel the market is still expensive.
From our standpoint, however, no matter what direction the market is headed, it
usually provides opportunities for investors who do their homework. While there
are pockets of the market that still appear pricey, we see strong potential for
the market to head higher given what we view as an environment of healthy
economic growth, reasonable interest rates, and a favorable outlook for
corporate earnings growth. We also have found that it's very difficult to
predict what the market will do in the short term. As a result, we continue to
focus on finding companies that we believe offer the best fundamental business
prospects and the potential for superior long-term performance.
Research Series
For the six months ended June 30, 2000, the series provided a total return of
6.57%, which compares to a -0.42% return for its benchmark, the S&P 500. The
series performance includes the reinvestment of any distributions but does not
reflect any applicable contract or surrender charges.
As we've seen during the past six months, investment trends and styles go in and
out of favor with investors. Consequently, we don't spend too much time trying
to determine when value or growth, small-cap or large-cap stocks will move in
and out of the spotlight. Instead, we focus on finding dominant business
5
<PAGE>
Management Review and Outlook -- continued
franchises with outstanding managements driving accelerating earnings growth.
It's a bottom-up approach that's based on intensive hands-on research and the
best ideas of our analysts. This approach has led us to some very rewarding
growth opportunities, and the series has held on to its favorable returns during
the six-month period despite the weakness we've seen in the market.
Beyond performance, however, we believe there are other factors that distinguish
this portfolio from its competitors. First and foremost, we believe the depth
and the talent of our equity analysts are big advantages. We have more than 35
equity research analysts at MFS, all contributing their best ideas to the
portfolio. As a result, there is a great deal of information sharing, starting
with our in-depth balance sheet and earnings analysis. At the same time, we all
spend a great deal of time on the road meeting with company managements, as well
as with employees, competitors, and suppliers. We also have a lot of flexibility
with the portfolio. We can look at any market capitalization, location, or
industry. Overall, we lean toward the more dynamic areas of the economy by
focusing on companies that we believe are at the forefront of innovation and are
benefiting from their competitive advantages.
We're finding opportunities in a wide range of areas, but some industries that
have recently performed well for the portfolio are energy, insurance, and
pharmaceuticals. In the energy sector, exploration and production companies,
such as Global Marine and Transocean, have rallied significantly due to the
rebound in oil and natural gas prices. Higher prices have spurred demand for
drilling services, thus resulting in strong revenue and earnings growth at many
energy services companies. Despite a fairly long stretch of weak performance
from insurance stocks, such as Hartford Financial, we held on to these companies
because we believed in their long-term prospects and the possibility of
consolidation in the industry. Recently, we've seen an increase in merger and
acquisition activity in this group that has boosted the performance of these
holdings. In the first quarter of 2000, we took advantage of weakness in
pharmaceutical stocks to increase our holdings in what we believe are top-notch
companies with strong track records, such as Pfizer, Pharmacia, American Home
Products, and Bristol-Myers Squibb. Some of these stocks have come back strongly
in the second quarter, and we believe they still offer attractive growth
prospects.
We've also increased the portfolio's exposure to wireless communications stocks
because we see tremendous growth opportunities for these companies. A few years
ago, roughly 3% of worldwide communications were handled over wireless networks.
Now we have found that percentage has grown to double digits, and we believe
similar growth lies ahead. We expect revenue growth for many wireless companies
to rise 25% to 50% per year, and international revenues could be even higher.
Given our outlook for dramatic growth in this industry, we like the risk/reward
profile of these stocks.
Despite what we think may be a somewhat less robust environment for consumer
spending, we also like companies such as CVS and Safeway because they're
noncyclical. People have to buy prescriptions, household products, and
groceries, regardless of the economic environment. We also happen to think these
are two of the best-run companies in their respective industries. Additionally,
we've increased our positions in Intel and EMC Corp. because we see demand for
their products and services accelerating, their fundamental business prospects
are strong, and we ultimately believe they can maintain their leadership
positions in their respective markets.
Total Return Series
For the six months ended June 30, 2000, the series provided a total return of
2.83%, which compares to a return of 1.34% for the average balanced portfolio
tracked by Lipper Inc. The series' return also compares to a 4.18% return over
the same period for the series' benchmark, 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 performance includes the reinvestment of any distributions but does
not reflect any applicable contract or surrender charges.
In our opinion, what makes this portfolio different from other balanced
portfolios is the fact that we remain committed to our disciplined approach to
asset allocation -- unlike managers of many balanced portfolios who often take
on additional risks by increasing their exposure to aggressive growth stocks. We
maintain a roughly 60% equity and 40% fixed-income and cash investment mix
because we believe this is what investors expect from a balanced portfolio. We
believe this strategy provides the right balance of growth and income potential.
Due to a steady rise in interest rates during the past year, it has been a
difficult environment for bonds. However, the portfolio's bond holdings posted
positive returns during the past six months and generally added stability to the
portfolio in a period marked by highly volatile equity markets. At the same
time, our equity stake was bolstered by our focus on value stocks, and strong
security selection in energy and insurance stocks that contributed positively to
the portfolio's total return.
Among energy stocks, oil services as well as exploration and production
companies provided an impressive boost to performance. These stocks -- typically
very sensitive to oil and natural gas price changes -- benefited immensely from
rising prices. We've anticipated this favorable business environment for some
time now and it has worked very well in recent months. In the insurance sector,
a few of the portfolio's holdings produced strong performance. The Dutch
financial services company ING Groep agreed to buy ReliaStar Financial Corp.,
which caused our position in ReliaStar to nearly double. This news sparked a
rally in the insurance industry, as investors began to recognize the strong
fundamental business outlooks and the potential for further consolidation among
insurance companies.
We also took advantage of some weakness in pharmaceutical stock prices in the
early part of the year to increase our positions in high-quality companies with
strong long-term track records. Stocks such as Pharmacia and Abbott
Laboratories, came back strong in the second quarter, and we think they still
offer attractive growth opportunities at compelling valuations.
While value stocks have rallied recently, it's difficult to predict whether this
trend will continue. But our feeling is that there is still plenty of upside for
more reasonably priced stocks with good fundamental growth prospects, especially
if interest rates and the economic backdrop remain uncertain. We think more
defensive stocks in noncyclical sectors of the economy, such as consumer
nondurables and health care stocks, have the potential to outperform aggressive
growth stocks in this environment.
6
<PAGE>
Management Review and Outlook -- continued
As corporate bonds and mortgage-backed securities recovered in the first quarter
of 2000, we decided to secure some profits and decrease our positions in these
sectors. At the same time, we shifted some assets into U.S. Treasuries as the
outlook for government securities appeared to brighten. We felt this strategy
worked well, especially following the government's announced plans to buy back
nearly $30 billion of longer-maturity Treasuries during the year. (Principal
value and interest on Treasury securities are guaranteed by the U.S. government
if held to maturity.) With corporate bonds, we also found ourselves in the right
areas of the market. Our positioning in various telecommunications and media
issues proved particularly beneficial.
Looking forward, while certain pockets of the market remain overvalued in our
view, we are still finding some quality companies at what we think are
attractive prices. In addition, we feel there is potential for strong corporate
earnings across a wide range of industries. However, we intend to proceed with
some caution given the Federal Reserve Board's determination to slow down the
economy. In light of the current economic uncertainty, the market is beginning
to behave as we would expect -- defensive, value-oriented stocks have been
rebounding, while growth stocks have suffered. Whether this current trend will
persist is difficult to determine. As a result, we believe it makes sense for
investors to maintain a well-diversified portfolio.
Utilities Series
For the six months ended June 30, 2000, the series provided a total return of
3.97%, which compares to a 1.60% return during this period for the average
utility portfolio tracked by Lipper Inc. The series' return also compares to a
15.33% return over the same period for the series' benchmark, the Standard &
Poor's Utility Index (the Utility Index), an unmanaged, market-
capitalization-weighted, total return index of all utility stocks in the S&P
500. The series performance includes the reinvestment of any distributions but
does not reflect any applicable contract or surrender charges.
The market has been extremely volatile over the past six months. In the first
quarter of 2000, stocks continued their incredible run, with the biggest gains
coming from technology and other high-growth sectors. But almost as soon as the
new year started, investors grew unsettled. We felt that part of the problem was
renewed concerns about rising interest rates. Also, technology stocks had
reached such high levels that we believe many investors were getting nervous
that they wouldn't be able to meet their earnings forecasts. Finally, in April
and May, growth stock prices declined.
However, utility stocks moved in the opposite direction of the market leaders.
During the first quarter of this year, utility stocks did poorly because their
earnings looked weak compared to the strength in high-growth tech names. But as
the market grew increasingly bumpy, utilities started looking more attractive.
Toward the end of the period, investors were moving into electric utility stocks
for defensive reasons, and their stock prices moved up nicely.
Our strategy is always to own the names we have confidence in -- usually
companies with good earnings growth prospects whose stock prices look
reasonable. A few years ago when we had the meltdown in Asian financial markets,
investors flew into electrics, again for defensive reasons. But they flew out
just as quickly. That was a good lesson. Sure, it would have been nice to have a
higher stake in these utilities when they started moving up. But we just don't
have a lot of confidence right now that the management teams at many of these
companies have the experience to run their businesses effectively in a
deregulated environment. We focused exclusively on companies like Pinnacle West
Capital that we think do seem to have the right skills. This is an Arizona-based
company focused on its nonregulated generation business that's not only well
managed but is operating in a territory with strong growth potential. We believe
that combination may give the company double-digit earnings growth down the
road.
AES and Calpine, two independent power producers, posted exceptionally strong
gains. AES has more of an international focus, whereas Calpine has most of its
power plants here in the United States. But the story is much the same. Both are
capitalizing on two trends in generation -- privatization and deregulation. To
be successful, we believe these companies have to run their plants efficiently
and understand the markets in which they operate.
Natural gas stocks also have been been strong performers and, fortunately, a
sizable focus for the series. We had built our stake in this area for a couple
of reasons. First, we recognized the overall strength in natural gas demand. Our
research shows that today only about 15% of existing electricity generation is
natural gas based, but 95% of the new plants being built are natural gas ones.
We believe the underlying demand for natural gas is going to go up. Second, many
of the natural gas pipeline companies trade in natural gas and electricity.
Basically, we feel they try to take advantage of price volatility by buying
excess capacity at low prices and then reselling it at higher prices to
companies that are running short. Finally, many natural gas pipeline companies,
including Dynegy and El Paso, have been getting into the deregulated power
generation business. We think they have the necessary risk management tools from
their trading experience, as well as an understanding of power generation, to be
very successful.
Williams, another natural gas pipeline stock and one of our largest investments,
was flat for the period. It spun off 15% of its telecommunications subsidiary
about a year ago. Unfortunately, the parent company's stock has moved more in
line with communications stocks than with energy stocks, and telecommunications
has done really badly this spring. The wireless companies and the new
competitive local exchange carriers got killed during the downturn of growth
investing. The story isn't much better with the service providers -- stocks such
as GTE and SBC Communications sunk as investors worried about whether they could
keep up in the rapidly changing telecommunications market. We held on because we
believe these companies will prove they can compete.
Consolidation also has helped the portfolio. We owned El Paso and Coastal,
energy-related companies that announced a merger in February. Both stocks took
pretty hard hits over concerns that the deal just didn't make sense. We knew the
companies well and thought the merger was a good move, especially given the fact
that the combined entity would create the biggest natural gas pipeline company
in the United States. We used the downturn as an opportunity to add to our
position and have since seen both stocks rebound nicely. We also benefited from
selling our stake in Mannesmann, a German wireless and wireline company,
following its announced buyout by Vodafone AirTouch, a British-based mobile
telecommunications provider.
7
<PAGE>
Management Review and Outlook -- continued
As long as the stock market remains volatile, we think utility stocks may
provide a safer haven for investors and, therefore, we believe they should do
well. We feel that natural gas stocks seem to have the strongest prospects and
electrics the weakest. But it is important to remember that since we buy
individual stocks, not whole sectors, that's largely irrelevant to our
investment strategy. We'll remain focused on utility companies that we believe
can sustain or improve earnings growth.
-----------------------------------
The opinions expressed in this report are those of the portfolio managers and
are current only through the end of the period of the report as stated on the
cover. The managers' views are subject to change at any time based on market and
other conditions, and no forecasts can be guaranteed.
It is not possible to invest directly in an index.
The portfolios are actively managed, and current holdings may be different.
8
<PAGE>
Performance Summary
Because MFS[RegTM]/Sun Life Series Trust is designed for investors with
long-term goals, we have provided cumulative results as well as the average
annual total returns for the applicable time periods. (See Notes to Performance
Summary.)
Total Rates of Return through June 30, 2000
Capital Appreciation Series
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cumulative Total Return +6.28% +30.16% +93.78% +204.82% +458.73%
--------------------------------------------------------------------------------------------
Average Annual Total Return -- +30.16% +24.67% +24.97% +18.77%
--------------------------------------------------------------------------------------------
</TABLE>
Emerging Growth Series(1)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years Life*
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cumulative Total Return -1.66% +54.37% +155.45% +300.02% +319.22%
--------------------------------------------------------------------------------------------
Average Annual Total Return -- +54.37% +36.70% 31.95% +31.99%
--------------------------------------------------------------------------------------------
</TABLE>
* For the period from the commencement of the series' investment operations,
May 1, 1995, through June 30, 2000.
Global Growth Series(2)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years Life*
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cumulative Total Return -0.78% +46.50% +92.29% +173.35% +214.86%
--------------------------------------------------------------------------------------------
Average Annual Total Return -- +46.50% +24.35% +22.28% +18.92%
--------------------------------------------------------------------------------------------
</TABLE>
* For the period from the commencement of the series' investment operations,
November 16, 1993, through June 30, 2000.
Managed Sectors Series(3)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cumulative Total Return -7.05% +48.82% +114.16% +209.83% +485.43%
--------------------------------------------------------------------------------------------
Average Annual Total Return -- +48.82% +28.90% +25.38% +19.33%
--------------------------------------------------------------------------------------------
</TABLE>
Massachusetts Investors Trust Series
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cumulative Total Return +0.72% +1.90% +48.28% +157.47% +334.35%
--------------------------------------------------------------------------------------------
Average Annual Total Return -- +1.90% +14.03% +20.82% +15.82%
--------------------------------------------------------------------------------------------
</TABLE>
Research Series
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years Life*
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cumulative Total Return +6.57% +21.33% +74.30% +188.37% +232.31%
--------------------------------------------------------------------------------------------
Average Annual Total Return -- +21.33% +20.35% +23.59% +23.71%
--------------------------------------------------------------------------------------------
</TABLE>
* For the period from the commencement of the series' investment operations,
November 7 1994, through June 30, 2000.
Total Return Series
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cumulative Total Return +2.83% +0.74% +28.50% +82.27% +204.65%
--------------------------------------------------------------------------------------------
Average Annual Total Return -- +0.74% +8.72% +12.76% +11.78%
--------------------------------------------------------------------------------------------
</TABLE>
Utilities Series(3)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years Life*
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cumulative Total Return +3.97% +24.12% +89.30% +201.89% +223.13%
--------------------------------------------------------------------------------------------
Average Annual Total Return -- +24.12% +23.70% +24.73% +19.39%
--------------------------------------------------------------------------------------------
</TABLE>
* For the period from the commencement of the series' investment operations,
November 16, 1993, through June 30, 2000.
Notes to Performance Summary
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. 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. More recent returns may be
more or less than those shown. Past performance is no guarantee of future
results.
Returns shown do not reflect the deduction of the mortality and expense risk
charges and administration fees. Please refer to the annuity product's annual
report for performance that reflects the deduction of the fees and charges
imposed by insurance company separate accounts.
(1) Investing in small or emerging growth companies involves greater risk than
is customarily associated with more-established companies. These risks may
increase unit price volatility. Please see the prospectus for details.
(2) 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.
Please see the prospectus for details.
(3) The series may focus its investments in certain sectors, thereby increasing
its vulnerability to any single economic, political, or regulatory
development. See the prospectus for details.
9
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Capital Appreciation Series
Stocks -- 96.9%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 84.0%
Aerospace -- 1.3%
Boeing Co. ............................................................. 663,200 $ 27,730,050
------------
Automotive -- 0.6%
Harley-Davidson, Inc. .................................................. 350,200 $ 13,482,700
------------
Banks and Credit Companies -- 0.2%
Wells Fargo Co. ........................................................ 137,300 $ 5,320,375
------------
Biotechnology -- 1.3%
Pharmacia Corp. ........................................................ 318,314 $ 16,452,855
Waters Corp.* .......................................................... 100,200 12,506,212
------------
$ 28,959,067
------------
Business Machines -- 0.7%
Seagate Technology, Inc.* .............................................. 91,800 $ 5,049,000
Sun Microsystems, Inc.* ................................................ 108,200 9,839,438
------------
$ 14,888,438
------------
Business Services -- 1.5%
Bea Systems, Inc.* ..................................................... 114,200 $ 5,645,763
Computer Sciences Corp.* ............................................... 247,400 18,477,687
Nextel Partners, Inc. .................................................. 94,030 3,061,852
Thermo Electron Corp.* ................................................. 268,800 5,661,600
------------
$ 32,846,902
------------
Cellular Telephones -- 1.8%
Sprint Corp. (PCS Group)* .............................................. 643,500 $ 38,288,250
------------
Computer Software -- Personal
Computers -- 2.1%
Mercury Interactive Corp.* ............................................. 56,300 $ 5,447,025
Microsoft Corp.* ....................................................... 503,000 40,240,000
------------
$ 45,687,025
------------
Computer Software -- Services -- 1.6%
EMC Corp.* ............................................................. 341,200 $ 26,251,075
Informatica Corp.* ..................................................... 3,000 245,813
TIBCO Software, Inc.* .................................................. 72,100 7,731,598
------------
$ 34,228,486
------------
Computer Software -- Systems -- 8.2%
Agile Software Corp.* .................................................. 10,400 $ 735,150
Ariba, Inc.* ........................................................... 41,700 4,088,555
BMC Software, Inc.* .................................................... 338,200 12,339,016
Cadence Design Systems, Inc.* .......................................... 645,000 13,141,875
Compuware Corp.* ....................................................... 530,500 5,503,937
Comverse Technology, Inc.* ............................................. 119,100 11,076,300
Digex, Inc.* ........................................................... 111,100 7,547,856
E.piphany, Inc.* ....................................................... 66,300 7,106,531
Foundry Networks, Inc.* ................................................ 4,550 500,500
I2 Technologies, Inc.* ................................................. 45,100 4,702,380
MMC Networks, Inc.* .................................................... 37,670 2,012,991
Oracle Corp.* .......................................................... 838,650 70,499,016
Rational Software Corp.* ............................................... 79,700 7,407,119
Siebel Systems, Inc.* .................................................. 40,200 6,575,212
StorageNetworks, Inc.* ................................................. 2,710 244,577
VERITAS Software Corp.* ................................................ 183,475 20,735,542
Vitria Technology, Inc.* ............................................... 61,550 3,762,244
------------
$177,978,801
------------
Conglomerates -- 1.4%
Tyco International Ltd. ................................................ 668,108 $ 31,651,616
------------
Consumer Goods and Services -- 0.6%
Colgate-Palmolive Co. .................................................. 230,400 $ 13,795,200
------------
Drugs & Health Care -- 0.1%
Celera Genomics Co.* ................................................... 30,400 $ 2,842,400
------------
Electrical Equipment
Capstone Turbine Corp.* ................................................ 1,170 $ 52,723
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Electronics -- 14.8%
Altera Corp.* .......................................................... 134,600 $ 13,720,787
Analog Devices, Inc.* .................................................. 318,124 24,177,424
DuPont Photomasks, Inc.* ............................................... 70,600 4,836,100
Fairchild Semiconductor
International Co.* ................................................... 74,000 2,997,000
Flextronics International Ltd.* ........................................ 309,500 21,258,781
Helix Technology Corp.* ................................................ 90,500 3,529,500
Intel Corp. ............................................................ 336,400 44,972,475
KLA-Tencor Corp.* ...................................................... 74,000 4,333,625
Lam Research Corp.* .................................................... 256,700 9,626,250
LSI Logic Corp.* ....................................................... 188,300 10,191,737
Micron Technology, Inc.* ............................................... 1,092,700 96,225,894
Novellus Systems, Inc.* ................................................ 274,400 15,520,750
Photronics, Inc.* ...................................................... 126,700 3,595,113
Sanmina Corp.* ......................................................... 113,600 9,712,800
SCI Systems, Inc.* ..................................................... 25,800 1,011,038
Solectron Corp.* ....................................................... 142,600 5,971,375
Tektronix, Inc. ........................................................ 222,500 16,465,000
Teradyne, Inc.* ........................................................ 107,800 7,923,300
Varian Semiconductor
Equipment Associates, Inc.* .......................................... 208,000 13,065,000
Veeco Instruments, Inc.* ............................................... 177,270 12,985,027
------------
$322,118,976
------------
Entertainment -- 4.4%
Clear Channel Communications,
Inc.* ................................................................ 403,585 $ 30,268,875
Infinity Broadcasting Corp., "A"* ...................................... 883,300 32,185,244
Time Warner, Inc. ...................................................... 235,000 17,860,000
Viacom, Inc., "B"* ..................................................... 228,392 15,573,479
------------
$ 95,887,598
------------
Financial Institutions -- 3.8%
Associates First Capital Corp., "A" .................................... 237,100 $ 5,290,294
Citigroup, Inc. ........................................................ 380,500 22,925,125
Donaldson, Lufkin & Jenrette, Inc. ..................................... 118,300 5,020,356
Federal National Mortgage Assn. ........................................ 162,400 8,475,250
Financial Federal Corp.* ............................................... 260,100 4,519,238
Goldman Sachs Group, Inc. .............................................. 59,300 5,626,087
Merrill Lynch & Co., Inc. .............................................. 133,400 15,341,000
Morgan Stanley Dean Witter & Co. ....................................... 200,700 16,708,275
------------
$ 83,905,625
------------
Insurance -- 2.7%
American International Group, Inc. ..................................... 119,400 $ 14,029,500
Gallagher (Arthur J.) & Co. ............................................ 235,500 9,891,000
Hartford Financial Services Group,
Inc. ................................................................. 375,900 21,026,906
Marsh & McLennan Cos., Inc. ............................................ 142,447 14,876,809
------------
$ 59,824,215
------------
Internet -- 3.1%
Allaire Corp.* ......................................................... 35,400 $ 1,300,950
Interwoven, Inc.* ...................................................... 13,400 1,473,791
Selectica, Inc.* ....................................................... 29,930 2,096,971
VeriSign, Inc.* ........................................................ 349,377 61,665,040
------------
$ 66,536,752
------------
Machinery -- 0.6%
Deere & Co., Inc. ...................................................... 329,800 $ 12,202,600
------------
Medical and Health Products -- 2.5%
American Home Products Corp. ........................................... 247,300 $ 14,528,875
Bristol-Myers Squibb Co. ............................................... 340,500 19,834,125
Pfizer, Inc. ........................................................... 423,775 20,341,200
------------
$ 54,704,200
------------
</TABLE>
10-CAS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Medical and Health Technology
and Services -- 0.9%
Health Management Associates,
Inc., "A"* ............................................................. 783,225 $ 10,230,877
PE Corp.-PE Biosystems Group ............................................. 154,200 10,157,925
------------
$ 20,388,802
------------
Oil Services -- 3.5%
Baker Hughes, Inc. ....................................................... 462,700 $ 14,806,400
Cooper Cameron Corp.* .................................................... 132,000 8,712,000
Global Marine, Inc.* ..................................................... 750,400 21,151,900
Halliburton Co. .......................................................... 343,500 16,208,906
Noble Drilling Corp.* .................................................... 240,900 9,922,069
Weatherford International, Inc.* ......................................... 119,700 4,765,556
------------
$ 75,566,831
------------
Oils -- 2.2%
Conoco, Inc., "A" ........................................................ 563,800 $ 12,403,600
EOG Resources, Inc. ...................................................... 160,400 5,373,400
Santa Fe International Corp. ............................................. 221,300 7,731,669
Transocean Sedco Forex, Inc. ............................................. 435,700 23,282,718
------------
$ 48,791,387
------------
Pharmaceuticals -- 0.1%
Sepracor, Inc.* .......................................................... 25,100 $ 3,027,688
------------
Restaurants and Lodging -- 0.3%
Cendant Corp.* ........................................................... 455,441 $ 6,376,174
------------
Retail -- 4.2%
Best Buy Co., Inc.* ...................................................... 79,600 $ 5,034,700
CVS Corp. ................................................................ 750,800 30,032,000
Home Depot, Inc. ......................................................... 91,200 4,554,300
Office Depot, Inc.* ...................................................... 479,450 2,996,563
RadioShack Corp. ......................................................... 390,500 18,499,937
Wal-Mart Stores, Inc. .................................................... 512,500 29,532,812
------------
$ 90,650,312
------------
Supermarkets -- 1.3%
Safeway, Inc.* ........................................................... 634,500 $ 28,631,813
------------
Telecommunications -- 15.3%
Allegiance Telecom, Inc.* ................................................ 143,450 $ 9,180,800
Amdocs Ltd.* ............................................................. 77,900 5,978,825
American Tower Corp., "A"* ............................................... 224,800 9,371,350
AT&T Corp. "A"* .......................................................... 735,200 17,828,600
Cabletron Systems, Inc.* ................................................. 567,000 14,316,750
Cisco Systems, Inc.* ..................................................... 1,092,400 69,435,675
Copper Mountain Networks, Inc.* .......................................... 40,100 3,533,813
Corning, Inc. ............................................................ 246,900 66,632,137
Cox Communications, Inc.* ................................................ 415,100 18,912,994
EchoStar Communications Corp.* ........................................... 75,600 2,503,069
Emulex Corp.* ............................................................ 51,700 3,396,044
Exfo Electro -- Optical Engineering,
Inc.* .................................................................. 8,520 373,815
Metromedia Fiber Network, Inc., "A"* 699,680 27,768,550
MGC Communications, Inc.* ................................................ 91,100 5,460,306
NEXTEL Communications, Inc.* ............................................. 262,500 16,061,719
Nextlink Communications, Inc., "A"* 222,600 8,444,887
NTL, Inc.* ............................................................... 155,375 9,303,078
Qwest Communications
International, Inc.* ................................................... 128,610 6,390,309
Spectrasite Holdings, Inc.* .............................................. 172,300 4,889,012
Stratos Lightwave, Inc.* ................................................. 1,140 31,778
Time Warner Telecom, Inc.* ............................................... 194,900 12,546,687
UnitedGlobalCom, Inc.* ................................................... 206,500 9,653,875
Williams Communications Group,
Inc.* .................................................................. 166,400 5,522,400
Winstar Communications, Inc.* ............................................ 150,450 5,096,494
------------
$332,632,967
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Telecommunications and Cable -- 1.3%
Comcast Corp., "A"* ...................................................... 675,500 $ 27,357,750
--------------
Utilities -- Electric -- 1.6%
AES Corp.* ............................................................... 762,200 $ 34,775,375
--------------
Total U.S. Stocks ..................................................................... $1,831,131,098
--------------
Foreign Stocks -- 12.9%
Bermuda -- 1.3%
FLAG Telecom Holdings Ltd.
(Telecommunications)* .................................................. 421,920 $ 6,276,060
Global Crossing Ltd.
(Telecommunications)* .................................................. 840,700 22,120,919
--------------
$ 28,396,979
--------------
Canada -- 2.8%
Nortel Networks Corp.
(Telecommunications) ................................................... 898,802 $ 61,343,236
--------------
Finland -- 0.4%
Sonera Oyj (Telecommunications) .......................................... 210,300 $ 9,585,928
--------------
France -- 0.1%
Business Objects S.A., ADR
(Computer Software -- Systems)* ....................................... 25,600 $ 2,256,000
--------------
Hong Kong -- 0.3%
China Telecom Ltd.
(Telecommunications) ................................................... 778,000 $ 6,861,770
--------------
Israel -- 0.6%
Check Point Software Technologies
Ltd. (Computer Software --
Services)* ............................................................ 52,800 $ 11,180,400
Partner Communications Co. Ltd.,
ADR (Cellular Telephones)* ............................................. 129,825 1,233,338
--------------
$ 12,413,738
--------------
Japan -- 1.0%
Daiwa Securities Group, Inc. (Banks
and Credit Cos.) ....................................................... 977,000 $ 12,894,042
NTT Mobile Communications
Network, Inc.
(Telecommunications) ................................................... 310 8,387,066
--------------
$ 21,281,108
--------------
Mexico -- 0.6%
Grupo Iusacell S.A. de C.V., ADR
(Telecommunications)* .................................................. 437,180 $ 6,830,938
Telefonos de Mexico S.A., ADR
(Utilities -- Telephone) ............................................... 97,210 5,553,121
--------------
$ 12,384,059
--------------
Netherlands -- 0.9%
ASM Lithography Holding N.V.
(Computer Software -- Systems)* ........................................ 131,700 $ 5,811,263
KPN N.V. (Telecommunications)* ........................................... 4,176 186,763
Libertel N.V. (Cellular
Telecommunications)* ................................................... 274,400 4,177,979
Versatel Telecommunications N.V.
(Telecommunications)* .................................................. 243,325 10,220,236
--------------
$ 20,396,241
--------------
Norway -- 0.2%
Schibsted ASA (Publishing) ............................................... 252,050 $ 4,671,946
--------------
Singapore -- 0.7%
Chartered Semiconductor
Manufacturing Co., ADR
(Electronics)* ......................................................... 168,650 $ 15,178,500
--------------
</TABLE>
11-CAS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
South Korea -- 1.1%
Samsung Electronics Co.
(Electronics) .............................................................. 123,300 $ 24,105,150
--------------
Sweden -- 0.4%
Ericsson LM, ADR
(Telecommunications) ....................................................... 421,800 $ 8,436,000
--------------
United Kingdom -- 2.5%
BP Amoco PLC, ADR (Oils) ..................................................... 428,300 $ 24,225,719
Vodafone AirTouch PLC
(Telecommunications)* ...................................................... 7,608,417 30,727,687
--------------
$ 54,953,406
--------------
Total Foreign Stocks .................................................................. $ 282,264,061
--------------
Total Stocks
(Identified Cost, $1,713,299,431) .................................................... $2,113,395,159
--------------
</TABLE>
Short-Term Obligations -- 1.5%
<TABLE>
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
American Express Credit Corp.,
due 7/03/00 ................................................................ $ 2,741 $ 27,394,526
Federal Home Loan Mortgage
Corp., due 7/05/00 ......................................................... 5,000 4,996,472
--------------
Total Short-Term Obligations, at Amortized Cost .................................... $ 32,390,998
--------------
Total Investments
(Identified Cost, $1,745,690,429) ................................................. $2,145,786,157
--------------
Other Assets,
Less Liabilities -- 1.6% 34,374,746
--------------
Net Assets -- 100.0% ............................................................... $2,180,160,903
==============
</TABLE>
See portfolio footnotes and notes to financial statements.
Portfolio of Investments (Unaudited) -- June 30, 2000
Emerging Growth Series
Stocks -- 98.2%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 87.4%
Banks and Credit Companies -- 0.4%
Comerica, Inc. ........................................................... 13,400 $ 601,325
First Tennessee National Corp. ........................................... 1,300 21,531
PNC Bank Corp. ........................................................... 56,600 2,653,125
Providian Financial Corp. ................................................ 27,800 2,502,000
--------------
$ 5,777,981
--------------
Biotechnology -- 1.4%
Abbott Laboratories, Inc. ................................................ 175,000 $ 7,798,438
Abgenix, Inc.* ........................................................... 7,800 934,903
Alkermes, Inc.* .......................................................... 3,200 150,800
Genentech, Inc.* ......................................................... 51,800 8,909,600
Pharmacia Corp. .......................................................... 30,400 1,571,300
Waters Corp.* ............................................................ 16,500 2,059,406
--------------
$ 21,424,447
--------------
Business Machines -- 1.6%
Seagate Technology, Inc.* ................................................ 37,100 $ 2,040,500
Sun Microsystems, Inc.* .................................................. 237,700 21,615,844
Texas Instruments, Inc. .................................................. 17,600 1,208,900
--------------
$ 24,865,244
--------------
Business Services -- 2.5%
Amgen, Inc.* ............................................................. 156,300 $ 10,980,075
Automatic Data Processing, Inc. .......................................... 194,100 10,396,481
BEA Systems, Inc.* ....................................................... 7,800 385,612
Computer Sciences Corp.* ................................................. 110,900 8,282,844
First Data Corp. ......................................................... 104,000 5,161,000
Fiserv, Inc.* ............................................................ 18,400 795,800
IMRglobal Corp.* ......................................................... 9,400 122,788
Insight Enterprises, Inc.* ............................................... 1,500 88,969
Learning Tree International, Inc.* ....................................... 59,400 3,638,250
Pegasus Systems, Inc.* ................................................... 1,800 19,575
--------------
$ 39,871,394
--------------
Cellular Telephones -- 2.3%
Motorola, Inc. ........................................................... 20,200 $ 587,063
Sprint Corp. (PCS Group)* ................................................ 287,700 17,118,150
Voicestream Wireless Corp.* .............................................. 159,900 18,595,870
--------------
$ 36,301,083
--------------
Computer Hardware -- Systems -- 0.5%
Compaq Computer Corp. .................................................... 81,900 $ 2,093,569
Dell Computer Corp.* ..................................................... 107,200 5,286,300
--------------
$ 7,379,869
--------------
Computer Software -- Personal
Computers -- 3.8%
Mercury Interactive Corp.* ............................................... 27,700 $ 2,679,975
Microsoft Corp.* ......................................................... 711,884 56,950,720
--------------
$ 59,630,695
--------------
Computer Software -- Services -- 1.8%
EMC Corp.* ............................................................... 364,200 $ 28,020,637
Internet Commerce Corp.* ................................................. 3,700 53,650
Lightspan, Inc.* ......................................................... 2,290 12,595
--------------
$ 28,086,882
--------------
Computer Software -- Systems -- 16.0%
Ariba, Inc.* ............................................................. 9,200 $ 902,031
BMC Software, Inc.* ...................................................... 309,077 11,276,481
Brocade Communications Systems,
Inc.* .................................................................. 21,400 3,926,566
Cadence Design Systems, Inc.* ............................................ 80,800 1,646,300
Computer Associates International,
Inc. ................................................................... 143,075 7,323,652
Comverse Technology, Inc.* ............................................... 44,700 4,157,100
E.piphany, Inc.* ......................................................... 9,900 1,061,156
Foundry Networks, Inc.* .................................................. 9,500 1,045,000
I2 Technologies, Inc.* ................................................... 20,800 2,168,725
</TABLE>
12-EGS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Computer Software -- Systems -- continued
Oracle Corp.* .......................................................... 2,197,650 $184,739,953
Redback Networks, Inc.* ................................................ 10,700 1,904,600
Siebel Systems, Inc.* .................................................. 57,100 9,339,419
StorageNetworks, Inc.* ................................................. 2,600 234,650
Sycamore Networks, Inc.* ............................................... 74,100 8,178,788
VERITAS Software Corp.* ................................................ 116,000 13,109,812
--------------
$251,014,233
--------------
Conglomerates -- 3.2%
Tyco International Ltd. ................................................ 1,075,358 $ 50,945,085
--------------
Consumer Goods and Services
Philip Morris Cos., Inc. ............................................... 19,800 $ 525,937
Carson, Inc., "A"* ..................................................... 53,800 242,100
--------------
$ 768,037
--------------
Electrical Equipment -- 0.7%
Capstone Turbine Corp.* ................................................ 1,700 $ 76,606
Emerson Electric Co. ................................................... 13,500 815,063
General Electric Co. ................................................... 157,500 8,347,500
Jabil Circuit, Inc.* ................................................... 19,300 957,762
Micrel, Inc.* .......................................................... 4,400 191,125
--------------
$ 10,388,056
--------------
Electronics -- 17.1%
Altera Corp.* .......................................................... 401,800 $ 40,958,487
Analog Devices, Inc.* .................................................. 302,800 23,012,800
Applied Materials, Inc.* ............................................... 57,500 5,210,937
Atmel Corp.* ........................................................... 87,700 3,233,938
ATMI, Inc.* ............................................................ 1,800 83,700
Burr-Brown Corp.* ...................................................... 2,550 221,053
Conductus, Inc.* ....................................................... 5,400 106,650
Credence Systems Corp.* ................................................ 3,800 209,713
Flextronics International Ltd.* ........................................ 129,260 8,878,546
Intel Corp. ............................................................ 348,400 46,576,725
Lam Research Corp.* .................................................... 119,000 4,462,500
Linear Technology Corp. ................................................ 143,100 9,149,456
LSI Logic Corp.* ....................................................... 192,000 10,392,000
LTX Corp.* ............................................................. 4,400 153,725
Marvell Technology Group Ltd.* ......................................... 1,400 79,800
Maxim Integrated Products, Inc.* ....................................... 2,200 149,463
Microchip Technology, Inc.* ............................................ 1,950 113,618
Micron Technology, Inc.* ............................................... 594,900 52,388,381
National Semiconductor Corp.* .......................................... 170,300 9,664,525
Novellus Systems, Inc.* ................................................ 16,600 938,938
Photronics, Inc.* ...................................................... 2,000 56,750
PMC-Sierra, Inc.* ...................................................... 23,800 4,228,962
Quanta Services, Inc.* ................................................. 2,700 148,500
Sanmina Corp.* ......................................................... 83,780 7,163,190
SDL, Inc.* ............................................................. 5,300 1,511,494
SIPEX Corp.* ........................................................... 9,800 271,338
Solectron Corp.* ....................................................... 108,600 4,547,625
Teradyne, Inc.* ........................................................ 88,800 6,526,800
Xilinx, Inc.* .......................................................... 337,400 27,856,587
--------------
$268,296,201
--------------
Energy -- 0.4%
Devon Energy Corp. ..................................................... 37,100 $ 2,084,556
Dynegy, Inc. ........................................................... 62,700 4,283,194
--------------
$ 6,367,750
--------------
Entertainment -- 1.0%
Clear Channel Communications, Inc.* .................................... 54,100 $ 4,057,500
International Speedway Corp. ........................................... 2,458 101,700
USA Networks, Inc.* .................................................... 134,600 2,910,725
Viacom, Inc., "B"* ..................................................... 131,600 8,973,475
--------------
$ 16,043,400
--------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Financial Institutions -- 1.8%
American Express Co. ................................................... 50,700 $ 2,642,738
Charter One Financial, Inc. ............................................ 32,100 738,300
Citigroup, Inc. ........................................................ 156,800 9,447,200
Golden West Financial Corp. ............................................ 66,400 2,709,950
Household International, Inc. .......................................... 55,700 2,315,031
Merrill Lynch & Co., Inc. .............................................. 79,700 9,165,500
State Street Corp. ..................................................... 8,100 859,106
Waddell & Reed Financial, Inc., "A" .................................... 2,700 88,594
--------------
$ 27,966,419
--------------
Financial Services -- 0.3%
AXA Financial, Inc. .................................................... 87,600 $ 2,978,400
Mellon Financial Corp. ................................................. 71,700 2,612,569
--------------
$ 5,590,969
--------------
Food and Beverage Products -- 0.4%
Anheuser-Busch Cos., Inc. .............................................. 38,900 $ 2,905,344
Coca-Cola Co. .......................................................... 57,600 3,308,400
--------------
$ 6,213,744
--------------
Insurance -- 0.5%
American International Group, Inc. ..................................... 46,200 $ 5,428,500
Hartford Financial Services Group,
Inc. ................................................................. 42,100 2,354,969
--------------
$ 7,783,469
--------------
Internet -- 2.2%
Art Technology Group, Inc.* ............................................ 4,300 $ 434,031
Juniper Networks, Inc.* ................................................ 53,400 7,773,038
VeriSign, Inc.* ........................................................ 150,202 26,510,653
--------------
$ 34,717,722
--------------
Medical and Health Products -- 2.1%
Allergan, Inc. ......................................................... 30,500 $ 2,272,250
Alza Corp.* ............................................................ 14,500 857,313
American Home Products Corp. ........................................... 30,100 1,768,375
Bausch & Lomb, Inc. .................................................... 38,200 2,955,725
Bristol-Myers Squibb Co. ............................................... 73,500 4,281,375
Immunex Corp.* ......................................................... 90,200 4,459,262
Pfizer, Inc. ........................................................... 328,550 15,770,400
--------------
$ 32,364,700
--------------
Medical and Health Technology
and Services -- 1.5%
Allscripts, Inc.* ...................................................... 2,675 $ 61,525
BioSource International, Inc.* ......................................... 17,100 380,475
BioSphere Medical, Inc.* ............................................... 6,100 85,400
Cardinal Health, Inc. .................................................. 53,000 3,922,000
Human Genome Sciences, Inc.* ........................................... 2,300 306,763
Medimmune, Inc.* ....................................................... 32,300 2,390,200
Merrill Lynch HOLDRs Trust* ............................................ 33,900 6,034,200
PE Corp.-PE Biosystems Group ........................................... 149,900 9,874,662
Quest Diagnostics, Inc.* ............................................... 11,300 844,675
--------------
$ 23,899,900
--------------
Office Equipment
United Stationers, Inc.* ............................................... 2,500 $ 80,938
--------------
Oil Services -- 1.0%
Baker Hughes, Inc. ..................................................... 186,500 $ 5,968,000
Global Marine, Inc.* ................................................... 89,700 2,528,419
Halliburton Co. ........................................................ 52,400 2,472,625
Noble Affiliates, Inc. ................................................. 17,400 648,150
Noble Drilling Corp.* .................................................. 92,400 3,805,725
Weatherford International, Inc.* ....................................... 3,400 135,362
--------------
$ 15,558,281
--------------
Oils -- 1.8%
Anadarko Petroleum Corp. ............................................... 80,500 $ 3,969,656
Apache Corp. ........................................................... 47,800 2,811,238
</TABLE>
13-EGS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Oils -- continued
Coastal Corp. .......................................................... 120,100 $ 7,311,087
EOG Resources, Inc. .................................................... 340,800 11,416,800
Grant Pride Co., Inc.* ................................................. 3,400 85,000
Transocean Sedco Forex, Inc. ........................................... 39,600 2,116,125
--------------
$ 27,709,906
--------------
Pharmaceuticals -- 1.5%
Andrx Corp.* ........................................................... 6,700 $ 428,277
Sepracor, Inc.* ........................................................ 168,100 20,277,062
Teva Pharmaceutical Industries Ltd. .................................... 50,800 2,816,225
--------------
$ 23,521,564
--------------
Restaurants and Lodging
Cendant Corp.* ......................................................... 43,986 $ 615,804
--------------
Retail -- 1.4%
CVS Corp. .............................................................. 108,000 $ 4,320,000
Kohl's Corp.* .......................................................... 14,500 806,562
RadioShack Corp. ....................................................... 137,600 6,518,800
Wal-Mart Stores, Inc. .................................................. 177,000 10,199,625
--------------
$ 21,844,987
--------------
Special Products and Services
Newport News Shipbuilding, Inc. ........................................ 300 $ 11,025
--------------
Supermarkets -- 1.5%
Albertsons, Inc. ....................................................... 92,200 $ 3,065,650
Kroger Co.* ............................................................ 73,000 1,610,563
Safeway, Inc.* ......................................................... 411,900 18,586,987
--------------
$ 23,263,200
--------------
Telecommunications -- 16.8%
ADC Telecommunications, Inc.* .......................................... 154,923 $ 12,994,167
Amdocs Ltd.* ........................................................... 4,200 322,350
AT&T Corp., "A"* ....................................................... 251,800 6,106,150
Cabletron Systems, Inc.* ............................................... 75,800 1,913,950
CIENA Corp.* ........................................................... 187,400 31,237,237
Cisco Systems, Inc.* ................................................... 1,571,552 99,891,774
Corning, Inc. .......................................................... 150,300 40,562,212
Emulex Corp.* .......................................................... 12,600 827,662
Intermedia Communications, Inc.* ....................................... 2,700 80,325
ITC Deltacom, Inc.* .................................................... 2,600 58,012
JDS Uniphase Corp.* .................................................... 87,554 10,495,536
Lucent Technologies, Inc. .............................................. 13,500 799,875
Metromedia Fiber Network, Inc., "A"* ................................... 496,180 19,692,144
MGC Communications, Inc.* .............................................. 24,000 1,438,500
MRV Communications, Inc.* .............................................. 13,300 894,425
New Focus, Inc.* ....................................................... 1,070 87,874
NEXTEL Communications, Inc.* ........................................... 62,700 3,836,456
Nextlink Communications, Inc., "A"* .................................... 8,400 318,675
ONI Systems Corp.* ..................................................... 2,180 255,503
Scientific-Atlanta, Inc. ............................................... 2,200 163,900
Sprint Corp. ........................................................... 111,600 5,691,600
Tellabs, Inc.* ......................................................... 176,500 12,079,219
WorldCom, Inc.* ........................................................ 299,459 13,737,682
--------------
$ 263,485,228
--------------
Utilities -- Electric -- 1.6%
AES Corp.* ............................................................. 119,400 $ 5,447,625
Calpine Corp.* ......................................................... 311,200 20,461,400
--------------
$ 25,909,025
--------------
Utilities -- Gas -- 0.3%
Enron Corp. ............................................................ 69,000 $ 4,450,500
--------------
Total U.S. Stocks ..................................................................... $1,372,147,738
--------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- 10.8%
Bermuda -- 0.3%
Global Crossing Ltd.
(Telecommunications)* ................................................ 176,500 $ 4,644,156
--------------
Canada -- 3.8%
Nortel Networks Corp.
(Telecommunications) ................................................. 872,600 $ 59,554,950
--------------
Finland -- 1.8%
Nokia Corp., ADR
(Telecommunications) ................................................. 447,400 $ 22,342,038
Sonera Oyj (Telecommunications) ........................................ 128,000 5,834,516
--------------
$ 28,176,554
--------------
France -- 1.1%
Alcatel Alsthom Compagnie, ADR
(Telecommunications) ................................................. 52,700 $ 3,504,550
Bouygues S.A.
(Telecommunications) ................................................. 19,330 12,916,695
--------------
$ 16,421,245
--------------
Germany
Medigene AG (Pharmaceuticals)* ......................................... 2,050 $ 133,071
SAP AG, ADR (Computer
Software -- Systems) ................................................. 6,700 314,481
--------------
$ 447,552
--------------
Israel -- 0.8%
Check Point Software Technologies
Ltd. (Computer
Software -- Services)* ............................................... 61,400 $ 13,001,450
--------------
Sweden -- 0.9%
Ericsson LM, ADR
(Telecommunications) ................................................. 741,500 $ 14,830,000
--------------
United Kingdom -- 2.1%
ARM Holdings PLC (Electronics)* ........................................ 96,000 $ 1,028,084
ARM Holdings PLC, ADR
(Electronics)* ....................................................... 537,100 17,657,163
Vodafone AirTouch PLC
(Telecommunications)* ................................................ 2,149,710 8,681,913
Vodafone AirTouch PLC, ADR
(Telecommunications) ................................................. 133,700 5,540,194
--------------
$ 32,907,354
--------------
Total Foreign Stocks .................................................................. $ 169,983,261
--------------
Total Stocks
(Identified Cost, $1,113,183,661) .................................................... $1,542,130,999
--------------
Warrant
Acclaim Entertainment, Inc.*
(Identified Cost, $0) ................................................ 1,028 $ 611
--------------
Short-Term Obligation -- 2.0%
Principal Amount
(000 Omitted)
Associates First Capital Corp.,
due 7/03/00, at Amortized Cost ....................................... $ 31,982 $ 31,969,740
--------------
Total Investments
(Identified Cost, $1,145,153,401) ................................................... $1,574,101,350
--------------
Other Assets,
Less Liabilities -- (0.2)%
(3,465,768)
--------------
Net Assets -- 100.0% .................................................................. $1,570,635,582
==============
</TABLE>
See portfolio footnotes and notes to financial statements.
14-EGS
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Global Growth Series
Stocks -- 99.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- 53.4%
Argentina
IMPSAT Fiber Networks, Inc.
(Telecommunications)* ........................................................ 3,500 $ 58,625
------------
Australia -- 1.0%
Australia & New Zealand Banking
Group Ltd. (Banks and Credit
Cos.)* ....................................................................... 294,070 $ 2,251,935
Cable & Wireless Optus Ltd.
(Telecommunications) ......................................................... 462,760 1,377,657
Telstra Corp. Ltd.
(Telecommunications) ......................................................... 207,580 841,339
------------
$ 4,470,931
------------
Belgium -- 0.1%
Lernout & Hauspie Speech
Products N.V. "B"
(Business Services)* ......................................................... 6,850 $ 292,837
Lernout & Hauspie Speech
Products N.V.
(Business Services)* ......................................................... 100 4,105
Lernout & Hauspie Speech
Products N.V., New Shares
(Business Services)* ......................................................... 2,000 84,005
------------
$ 380,947
------------
Bermuda -- 0.2%
FLAG Telecom Holdings Ltd.
(Telecommunications)* ........................................................ 16,260 $ 241,868
Global Crossing Ltd.
(Telecommunications)* ........................................................ 27,000 710,437
------------
$ 952,305
------------
Brazil -- 1.5%
Banco Itau S.A.
(Banks and Credit Cos.) ...................................................... 3,595,300 $ 316,059
Caemi Mineracao e Metalurgica
S.A. (Minerals) .............................................................. 1,227,500 151,821
Celular CRT Participacoes,
Preferred (Telecommunications) ............................................... 100 43,816
Cia Brasileira de Distribuicao Grupo
Pao de Acucar, ADR
(Supermarkets) ............................................................... 10,160 326,390
Companhia Cervejaria Brahma,
ADR (Beverages) .............................................................. 10,370 176,290
Embratel Participacoes S.A.
(Telecommunications) ......................................................... 16,690 394,301
Petroleo Brasileiro S.A. (Oils) ................................................ 10,330 312,085
Petroleo Brasileiro S.A., Preferred
(Oils) ....................................................................... 35,626 1,076,881
Tele Celular Sul Participacoes S.A.,
ADR (Telecommunications) ..................................................... 500 22,625
Tele Centro Oeste Celular
Participacoes S.A., ADR
(Telecommunications) ......................................................... 46,140 553,680
Tele Centro Sul Participacoes S.A.
(Telecommunications)* ........................................................ 6,513,612 167,609
Tele Centro Sul Participacoes S.A.,
ADR (Telecommunications)* .................................................... 2,500 182,656
Tele Centro Sul Participacoes S.A.,
Preferred (Telecommunications)* .............................................. 1,381,900 164,763
Tele Norte Celular Participacoes
S.A., ADR (Cellular
Telecommunications)* ......................................................... 7,700 390,775
Tele Sudeste Celular Participacoes
S.A. (Telecommunications) .................................................... 6,680 311,196
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Brazil -- continued
Telecomunicacoes de Sao Paulo
S.A. (Telecommunications)* ................................................... 65,190 $ 1,805,804
Telemig Celular Participacoes S.A.,
ADR (Telecommunications) ..................................................... 5,430 388,245
Telesp Participacoes S.A., Preferred
(Telecommunications)* ........................................................ 8,309 150,235
Uniao de Banco Brasiliero S.A.
(Banks and Credit Cos.) ...................................................... 8,506 244,548
-----------
$ 7,179,779
-----------
Canada -- 3.3%
AT&T Canada, Inc.
(Telecommunications)* ........................................................ 34,860 $ 1,156,916
BCE, Inc. (Telecommunications) ................................................. 83,280 1,983,105
Manitoba Telecom Services
(Telecommunications) ......................................................... 59,900 1,030,386
Nortel Networks Corp.
(Telecommunications) ......................................................... 166,029 11,331,479
-----------
$15,501,886
-----------
China -- 0.1%
China Telecom Hong Kong Ltd.
(Telecommunications)* ........................................................ 3,960 $ 704,137
-----------
Croatia
Pliva d.d. Co. (Medical and Health
Products) ........................... 4,800 $ 48,720
Pliva d.d. Co., GDR (Medical and
Health Products) .................... 12,230 124,135
-----------
$ 172,855
-----------
Czechoslovakia -- 0.1%
Cesky Telecom A.S.
(Telecommunications)* ........................................................ 15,840 $ 263,736
-----------
Denmark -- 0.2%
ISS International Service Systems
Co. (Business Services)* ..................................................... 14,260 $ 1,085,736
-----------
Egypt -- 0.1%
Al Ahram Beverage Co. S.A., GDR
(Beverages)* ................................................................. 10,630 $ 180,710
Egypt Mobile Phone
(Telecommunications)* ........................................................ 7,770 253,436
-----------
$ 434,146
-----------
Estonia -- 0.1%
AS Eesti Telekom, GDR
(Telecommunications) ......................................................... 12,730 $ 259,677
-----------
Finland -- 1.2%
Nokia Corp., ADR
(Telecommunications) ......................................................... 67,100 $ 3,350,807
Sonera Oyj (Telecommunications) ................................................ 30,820 1,404,842
Sonera Oyj, ADR
(Telecommunications) ......................................................... 4,900 225,400
Tieto Corp. (Computer
Software -- Systems) ......................................................... 15,903 530,576
-----------
$ 5,511,625
-----------
France -- 4.3%
Alcatel Alsthom Compagnie, ADR
(Telecommunications) ......................................................... 8,000 $ 532,000
Alcatel Co. (Telecommunications) ............................................... 32,260 2,115,644
Axa (Insurance) ................................................................ 15,200 2,394,137
Banque Nationale de Paris
(Banks and Credit Cos.) ...................................................... 18,400 1,770,516
Bouygues S.A.
(Telecommunications) ......................................................... 2,980 1,991,296
</TABLE>
15-GGS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
France -- continued
Business Objects S.A., ADR
(Computer Software -- Systems)* ...................................... 4,370 $ 385,106
Integra S.A. (Computer
Software -- Services)* ............................................... 14,240 128,595
Natexis Co. (Financial Services) ....................................... 5,420 387,528
Sanofi-Synthelabo S.A. (Medical
and Health Products)* ................................................ 24,900 1,186,100
Societe Television Francaise 1
(Entertainment) ...................................................... 17,710 1,234,136
STMicroelectronics N.V.
(Electronics) ........................................................ 28,195 1,776,387
Technip S.A. (Construction) ............................................ 19,570 2,366,949
Total S.A., "B" (Oils) ................................................. 19,600 3,004,852
Wavecom S.A., ADR (Electronics)* ....................................... 5,830 641,300
------------
$ 19,914,546
------------
Germany -- 1.4%
Freenet.de AG (Internet)* .............................................. 410 $ 33,659
Fresenius AG (Medical Supplies) ........................................ 5,720 1,321,396
Fresenius AG, Preferred
(Medical Supplies) ................................................... 8,960 374,631
GFT Technology AG (Computer
Software -- Services)* ............................................... 2,390 456,299
Henkel KGaA, Preferred
(Chemicals) .......................................................... 16,074 917,586
Medigene AG (Pharmaceuticals)* ......................................... 310 20,123
Poet Holdings, Inc. (Computer
Software -- Services)* ............................................... 3,730 142,070
Prosieben Media AG, Preferred
(Entertainment)* ..................................................... 15,720 1,954,572
SAP AG (Computer
Software -- Services) ................................................ 6,240 1,149,644
Tricom S.A., ADR
(Telecommunications)* ................................................ 3,270 50,072
------------
$ 6,420,052
------------
Greece -- 0.1%
Hellenic Telecommunication
Organization S.A., GDR
(Telecommunications) ................................................. 14,584 $ 357,487
STET Hellas Telecommunications
S.A., ADR (Telecommunications)* ...................................... 9,370 186,229
------------
$ 543,716
------------
Hong Kong -- 1.5%
China Telecom Ltd.
(Telecommunications) ................................................. 329,000 $ 2,901,700
Li & Fung Ltd. (Consumer Goods
and Services)* ....................................................... 680,000 3,402,181
PetroChina Co. Ltd. (Oils)* ............................................ 4,148,000 862,060
------------
$ 7,165,941
------------
Hungary -- 0.1%
Magyar Tavkozlesi Rt., ADR
(Telecommunications)* ................................................ 11,659 $ 401,507
------------
India -- 0.2%
Infosys Technologies Ltd., ADR
(Computer Software -- Services) ...................................... 1,100 $ 194,975
Mahanagar Telephone Nigam Ltd.,
GDR (Telecommunications)## ........................................... 18,170 181,700
Reliance Industries Ltd.
(Conglomerate)## ..................................................... 14,300 296,725
Videsh Sanchar Nigam Ltd., GDR
(Telecommunications)## ............................................... 20,230 308,507
------------
$ 981,907
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Ireland
Trintech Group PLC, ADR
(Computer Software -- Products)* ..................................... 10,010 $ 197,228
------------
Israel -- 0.8%
Teva Pharmaceutical Industries Ltd. .................................... 26,950 $ 1,494,041
Check Point Software
Technologies Ltd. (Computer
Software -- Services)* ............................................... 9,200 1,948,100
Partner Communications Co. Ltd.,
ADR (Cellular Telephones)* ........................................... 38,385 364,657
------------
$ 3,806,798
------------
Italy -- 0.6%
Banca Intesa S.p.A.
(Financial Services) ................................................. 339,000 $ 1,517,728
San Paolo -- Imi S.p.A.
(Banks and Credit Cos.) .............................................. 62,754 1,113,634
------------
$ 2,631,362
------------
Japan -- 9.1%
Canon, Inc. (Special Products
and Services) ........................................................ 58,000 $ 2,886,878
Chugai Pharmaceutical Co. Ltd.
(Pharmaceuticals) .................................................... 225,000 4,252,687
Daikin Industries Ltd. (Consumer
Goods and Services) .................................................. 74,000 1,719,551
Eisai Co. Ltd. (Medical and
Health Products) ..................................................... 48,000 1,538,462
Fast Retailing Co. (Retail) ............................................ 13,900 5,817,873
Fujitsu Ltd. (Computer
Hardware -- Systems) ................................................. 48,000 1,660,633
Hitachi Ltd. (Electronics) ............................................. 94,000 1,355,769
Keyence Corp. (Electronics) ............................................ 5,710 1,883,956
Meitec Corp. (Computer
Software -- Systems) ................................................. 26,200 1,037,330
Mimasu Semiconductor Industry Co.
Ltd. (Electronics) ................................................... 51,500 941,836
Mitsubishi Electric Corp.
(Electronics) ........................................................ 135,000 1,460,973
Murata Manufacturing Co. Ltd.
(Electronics) ........................................................ 10,000 1,434,766
Nintendo Co. (Entertainment) ........................................... 5,200 907,843
Nippon Telegraph & Telephone Co.
(Utilities -- Telephone) ............................................. 249 3,309,672
Nitto Denko Corp. (Industrial Goods
and Services) ........................................................ 24,000 925,339
NTT Mobile Communications
Network, Inc.
(Telecommunications) ................................................. 85 2,299,679
Pioneer Electronic Corp.
(Electronics) ........................................................ 29,000 1,129,054
Rohm Co. (Electronics) ................................................. 6,100 1,782,617
Secom Co. (Consumer Goods
and Services) ........................................................ 23,000 1,680,336
Softbank Corp. (Internet) .............................................. 5,100 692,308
Tokyo Gas Co. Ltd. (Gas) ............................................... 358,000 1,005,694
Ushio, Inc. (Electronics) .............................................. 49,000 1,348,793
Victor Company of Japan
(Telecommunications) ................................................. 130,000 1,145,833
Yahoo Japan Corp. (Internet) ........................................... 1 396,399
------------
$42,614,281
------------
Malaysia -- 0.2%
Malaysian Pacific Industries Berhad
(Electronics)+ ....................................................... 48,000 $ 492,645
Resorts World Berhad (Entertainment)+ .................................. 34,000 93,055
</TABLE>
16-GGS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Malaysia -- continued
Sime Darby Berhad
(Holding Company)+ ................................................... 74,000 $ 95,034
Telekom Malaysia Berhad
(Telecommunications)+ ................................................ 31,000 106,871
Unisem (M) Berhad (Electronics) ........................................ 20,000 142,109
------------
$ 929,714
------------
Mexico -- 1.2%
Cifra S.A. de C.V. (Retail)* ........................................... 83,217 $ 195,337
Fomento Economico Mexicano S.A.
(Food and Beverage Products) ......................................... 3,450 148,566
Grupo Continential S.A.
(Food and Beverage Products) ......................................... 79,360 80,642
Grupo Financiero Banorte S.A. de
C.V. (Finance)* ...................................................... 109,850 151,810
Grupo Iusacell S.A. de C.V., ADR
(Telecommunications)* ................................................ 28,880 451,250
Grupo Mexico S.A. (Metals) ............................................. 39,570 111,380
Grupo Modelo S.A. de C.V.
(Brewery) ............................................................ 110,420 256,386
Grupo Television S.A. de C.V., GDR
(Entertainment)* ..................................................... 6,550 451,541
Kimberly-Clark de Mexico S.A. de
C.V. (Forest and Paper Products) ..................................... 131,530 374,234
Organiz Soriana S.A., "B"
(General Merchandise)* ............................................... 90,830 361,806
Telefonos de Mexico S.A., ADR
(Utilities -- Telephone) ............................................. 51,180 2,923,658
Tubos de Acero de Mexico S.A.
(Steel) .............................................................. 5,560 77,145
Wal-Mart de Mexico S.A. de C.V.
(Retail)* ............................................................ 3,830 89,882
------------
$ 5,673,637
------------
Netherlands -- 5.0%
ABN Amro Holdings N.V. (Finance) ....................................... 19,700 $ 482,552
Akzo Nobel N.V. (Chemicals) ............................................ 40,120 1,704,286
Fugro N.V. (Engineering)* .............................................. 23,786 1,356,691
Hunter Douglas N.V., ADR
(Consumer Goods and Services)* ....................................... 42,178 1,141,460
ING Groep N.V. (Financial
Services)* ........................................................... 73,794 4,987,418
Jomed N.V. (Medical and Health
Products) ............................................................ 31,110 1,230,436
Koninklijke (Royal) Philips
Electronics N.V. (Electronics) ....................................... 43,950 2,072,561
Koninklijke Ahrend Groep N.V.
(Consumer Goods and Services)* ....................................... 56,261 719,671
KPN N.V. (Telecommunications)* ......................................... 89,466 4,001,189
Libertel N.V. (Cellular
Telecommunications)* ................................................. 58,200 886,146
Royal Dutch Petroleum Co. (Oils) ....................................... 57,990 3,603,758
Versatel Telecommunications N.V.
(Telecommunications)* ................................................ 34,950 1,467,984
------------
$23,654,152
------------
Peru
Telefonica del Peru S.A., ADR
(Telecommunications) ................................................. 19,090 $ 217,149
------------
Philippines -- 0.1%
Philippine Long Distance Telephone
Co. (Utilities -- Telephone) ......................................... 20,140 $ 357,485
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Poland -- 0.2%
Polski Koncern Naftowy Orlen S.A.,
GDR (Oils) ........................................................... 22,000 $ 205,700
Polski Koncern Naftowy Orlen S.A.,
GDR (Oils)*## ........................................................ 17,930 167,645
Telekomunikacja Polska S.A., GDR
(Telecommunications)* ................................................ 57,100 391,135
------------
$ 764,480
------------
Russia -- 0.2%
AO Tatneft, ADR (Oils) ................................................. 19,200 $ 188,400
Lukoil Oil Co., ADR (Oils) ............................................. 8,900 440,550
Surgutneftegaz, ADR (Oils and Gas) ..................................... 34,600 428,175
------------
$ 1,057,125
------------
Singapore -- 2.0%
Chartered Semiconductor
Manufacturing Co., ADR
(Electronics)* ....................................................... 33,895 $ 3,050,550
Datacraft Asia Ltd.
(Telecommunications) ................................................. 279,702 2,461,378
DBS Group Holdings Ltd.
(Financial Services) ................................................. 86,132 1,107,518
Natsteel Electronics Ltd.
(Electronics) ........................................................ 297,000 911,729
Overseas Union Bank Ltd.
(Banks and Credit Cos.) .............................................. 216,000 838,228
Singapore Press Holdings Ltd.
(Printing and Publishing) ............................................ 60,000 938,314
------------
$ 9,307,717
------------
South Africa -- 0.6%
De Beers Centenary AG
(Diamonds -- Precious Stones) ........................................ 13,321 $ 324,184
De Beers Consolidated Mines Ltd.
(Mining) ............................................................. 3,960 96,277
Dimension Data Holdings Ltd.
(Financial Institutions) ............................................. 89,870 743,614
Imperial Holdings Ltd.
(Conglomerate)* ...................................................... 33,700 274,372
Liberty Life Association of Africa
Ltd. (Insurance) ..................................................... 24,162 229,860
Nedcor Ltd.
(Banks and Credit Cos.)* ............................................. 16,256 341,424
Sasol Ltd. (Oils) ...................................................... 61,780 414,600
South African Breweries Ltd.
(Brewery) ............................................................ 43,240 322,706
South African Breweries Ltd., ADR
(Brewery) ............................................................ 37,100 270,907
------------
$ 3,017,944
------------
South Korea -- 2.0%
Housing & Commercial Bank of
Korea (Banks and Credit Cos.) ........................................ 9,400 $ 220,056
Hyundai Electronics Industries Co.
(Electronics) ........................................................ 62,221 1,227,789
Korea Telecom Corp.
(Telecommunications)* ................................................ 38,420 1,858,567
Mirae Corp. (Electronics)* ............................................. 85,900 350,180
Mirae Corp., ADR (Electronics)* ........................................ 3,590 27,823
Samsung Electro Mechanics Co.
Ltd. (Electronics) ................................................... 2,800 175,549
Samsung Electronics (Electronics) ...................................... 16,142 5,342,540
------------
$ 9,202,504
------------
</TABLE>
17-GGS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Spain -- 0.8%
Altadis S.A. (Tobacco)* ................................................ 88,490 $ 1,351,561
Cortefiel S.A. (Retail) ................................................ 54,690 1,186,145
Telefonica S.A.
(Telecommunications)* ................................................ 53,030 $ 1,139,005
------------
$ 3,676,711
------------
Sweden -- 1.9%
Allgon AB, "B" (Electronics) ........................................... 26,530 $ 316,013
Ericsson LM, ADR
(Telecommunications) ................................................. 111,100 2,222,000
Saab AB, "B" (Aerospace) ............................................... 299,798 2,516,739
Scandinavia Online Co. (Internet)* ..................................... 24,130 361,334
Skandia Forsakrings AB (Insurance) ..................................... 51,590 1,363,638
Tele1 Europe Holdings AB
(Telecommunications)* ................................................ 3,210 39,328
Telefonaktiebolaget LM Ericsson AB
(Telecommunications) ................................................. 106,960 2,117,359
------------
$ 8,936,411
------------
Switzerland -- 1.4%
Nestle S.A.
(Food and Beverage Products) ......................................... 816 $ 1,633,701
Novartis AG
(Medical and Health Products) ........................................ 2,070 3,279,912
Synthes-Stratec, Inc.
(Medical and Health Products)* ....................................... 3,530 1,606,150
------------
$ 6,519,763
------------
Taiwan -- 1.0%
Acer, Inc., GDR
(Computer Software -- Systems)* ...................................... 47,780 $ 439,576
Advanced Semiconducor, Inc., GDR
(Electronics) ........................................................ 29,200 489,100
Far Eastern Textile Ltd., GDR
(Textiles)* .......................................................... 9,940 122,759
Ritek Corp. (Computer -- Software
Systems)*## .......................................................... 20,489 159,814
Siliconware Precision Industries Co.,
ADR (Electronics) .................................................... 83,100 768,675
Taipei Fund (Finance)* ................................................. 179 1,702,469
Taiwan Semiconductor
Manufacturing Co. Ltd., ADR
(Electronics) ........................................................ 26,561 1,029,239
------------
$ 4,711,632
------------
Thailand -- 0.3%
Hana Microelectronics Public Co.
Ltd. (Electronics)* .................................................. 30,000 $ 222,222
Total Access Communications
Public Co. Ltd., ADR
(Telecommunications) ................................................. 242,000 972,840
------------
$ 1,195,062
------------
Turkey -- 0.2%
Turkiye Garanti Bankasi
(Banks and Credit Cos.)* ............................................. 43,699,120 $ 528,584
Vestel Electronic (Electronics)* ....................................... 1,264,400 382,355
------------
$ 910,939
------------
United Kingdom -- 10.3%
Anglo American PLC (Metals) ............................................ 6,945 $ 330,041
Anglo American PLC, ADR (Metals) ....................................... 1,603 75,742
Antofagasta Holdings PLC
(Minerals) ........................................................... 18,600 99,877
ARM Holdings PLC (Electronics)* ........................................ 15,000 160,638
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
United Kingdom -- continued
ARM Holdings PLC, ADR
(Electronics)* ....................................................... 82,500 $ 2,712,188
AstraZeneca Group PLC
(Medical and Health Products) ........................................ 57,420 2,679,432
BAE Systems PLC (Aerospace)* ........................................... 460,473 2,869,629
Boots Co. PLC (Retail)* ................................................ 120,250 914,908
BP Amoco PLC, ADR (Oils) ............................................... 79,748 4,510,746
British Telecommunications PLC
(Telecommunications)* ................................................ 106,121 1,370,830
Cable & Wireless Communications
PLC, ADR (Telecommunications)* ....................................... 125,460 2,123,536
Capital Radio PLC (Broadcasting) ....................................... 40,800 953,483
Carlton Communications PLC
(Broadcasting) ....................................................... 93,080 1,196,739
CGU PLC (Insurance)* ................................................... 163,656 2,723,008
Diageo PLC (Food and Beverage
Products)* ........................................................... 173,575 1,556,920
HSBC Holdings PLC
(Banks and Credit Cos.) .............................................. 325,700 3,722,001
HSBC Holdings PLC, HK REG
(Banks and Credit Cos.) .............................................. 204,400 2,340,308
Lloyds TSB Group PLC
(Banks and Credit Cos.)* ............................................. 108,699 1,025,969
Matalan PLC (Apparel and Textiles) ..................................... 108,420 854,420
Next PLC (Retail) ...................................................... 110,426 965,436
Reuters Group PLC
(Business Services) .................................................. 89,230 1,521,105
Royal Bank of Scotland PLC
(Banks and Credit Cos.)* ............................................. 61,820 1,034,209
United News & Media PLC
(Broadcasting) ....................................................... 218,830 3,144,523
Vodafone AirTouch PLC
(Telecommunications)* ................................................ 2,138,655 8,637,266
Vodafone AirTouch PLC, ADR
(Telecommunications) ................................................. 20,400 845,325
------------
$ 48,368,279
------------
Venezuela
Mavesa S.A. (Consumer
Goods and Services) .................................................. 14,440 $ 45,125
------------
Total Foreign Stocks .................................................................. $250,199,552
------------
U.S. Stocks -- 45.7%
Banks and Credit Companies -- 0.2%
First Tennessee National Corp. ......................................... 200 $ 3,313
PNC Bank Corp. ......................................................... 8,600 403,125
Providian Financial Corp. .............................................. 4,200 378,000
------------
$ 784,438
------------
Biotechnology -- 1.0%
Abbott Laboratories, Inc. .............................................. 26,600 $ 1,185,363
Abgenix, Inc.* ......................................................... 1,200 143,831
Alkermes, Inc.* ........................................................ 400 18,850
Genentech, Inc.* ....................................................... 7,800 1,341,600
Pharmacia Corp. ........................................................ 34,267 1,771,176
Waters Corp.* .......................................................... 2,500 312,031
------------
$ 4,772,851
------------
Business Machines -- 0.8%
Seagate Technology, Inc.* .............................................. 5,600 $ 308,000
Sun Microsystems, Inc.* ................................................ 36,000 3,273,750
Texas Instruments, Inc. ................................................ 2,600 178,587
------------
$ 3,760,337
------------
</TABLE>
18-GGS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Business Services -- 1.3%
Amgen, Inc.* ............................................................. 23,400 $ 1,643,850
Automatic Data Processing, Inc. .......................................... 29,600 1,585,450
BEA Systems, Inc.* ....................................................... 1,200 59,325
Computer Sciences Corp.* ................................................. 16,800 1,254,750
First Data Corp. ......................................................... 15,800 784,075
Fiserv, Inc.* ............................................................ 2,800 121,100
Insight Enterprises, Inc.* ............................................... 300 17,794
Learning Tree International, Inc.* ....................................... 9,100 557,375
Pegasus Systems, Inc.* ................................................... 300 3,262
-----------
$ 6,026,981
-----------
Cellular Telephones -- 1.2%
Motorola, Inc. ........................................................... 3,000 $ 87,188
Sprint Corp. (PCS Group)* ................................................ 43,100 2,564,450
Voicestream Wireless Corp.* .............................................. 24,432 2,841,365
-----------
$ 5,493,003
-----------
Computer Hardware -- Systems -- 0.2%
Compaq Computer Corp. .................................................... 12,700 $ 324,644
Dell Computer Corp.* ..................................................... 16,200 798,862
-----------
$ 1,123,506
-----------
Computer Software -- Personal
Computers -- 1.9%
Mercury Interactive Corp.* ............................................... 4,200 $ 406,350
Microsoft Corp.* ......................................................... 107,600 8,608,000
-----------
$ 9,014,350
-----------
Computer Software -- Services -- 0.9%
EMC Corp.* ............................................................... 55,100 $ 4,239,256
Internet Commerce Corp.* ................................................. 600 8,700
Lightspan, Inc.* ......................................................... 360 1,980
-----------
$ 4,249,936
-----------
Computer Software -- Systems -- 8.1%
Ariba, Inc.* ............................................................. 1,400 $ 137,266
BMC Software, Inc.* ...................................................... 46,702 1,703,893
Brocade Communications
Systems, Inc.* ......................................................... 3,200 587,150
Cadence Design Systems, Inc.* ............................................ 12,310 250,816
Computer Associates
International, Inc. .................................................... 21,650 1,108,209
Comverse Technology, Inc.* ............................................... 6,800 632,400
E.piphany, Inc.* ......................................................... 1,500 160,781
Foundry Networks, Inc.* .................................................. 1,400 154,000
I2 Technologies, Inc.* ................................................... 3,200 333,650
Oracle Corp.* ............................................................ 334,864 28,149,537
Redback Networks, Inc.* .................................................. 1,600 284,800
Siebel Systems, Inc.* .................................................... 8,600 1,406,637
StorageNetworks, Inc.* ................................................... 390 35,198
Sycamore Networks, Inc.* ................................................. 11,100 1,225,163
VERITAS Software Corp.* .................................................. 17,400 1,966,472
-----------
$38,135,972
-----------
Conglomerates -- 1.7%
Tyco International Ltd. .................................................. 164,400 $ 7,788,450
-----------
Consumer Goods and Services
Carson, Inc., "A"* ....................................................... 11,600 $ 52,200
Philip Morris Cos., Inc. ................................................. 3,100 82,344
-----------
$ 134,544
-----------
Electrical Equipment -- 0.3%
Capstone Turbine Corp.* .................................................. 250 $ 11,266
Emerson Electric Co. ..................................................... 2,100 126,788
General Electric Co. ..................................................... 23,800 1,261,400
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Electrical Equipment -- continued
Jabil Circuit, Inc.* ..................................................... 2,900 $ 143,912
Micrel, Inc.* ............................................................ 800 34,750
-----------
$ 1,578,116
-----------
Electronics -- 8.7%
Altera Corp.* ............................................................ 60,740 $ 6,191,684
Analog Devices, Inc.* .................................................... 45,800 3,480,800
Applied Materials, Inc.* ................................................. 8,700 788,437
Atmel Corp.* ............................................................. 13,400 494,125
ATMI, Inc.* .............................................................. 300 13,950
Burr-Brown Corp.* ........................................................ 450 39,009
Conductus, Inc.* ......................................................... 900 17,775
Credence Systems Corp.* .................................................. 600 33,113
Flextronics International Ltd.* .......................................... 19,700 1,353,144
Intel Corp. .............................................................. 52,300 6,991,856
Lam Research Corp.* ...................................................... 18,200 682,500
Linear Technology Corp. .................................................. 21,600 1,381,050
LSI Logic Corp.* ......................................................... 29,400 1,591,275
LTX Corp.* ............................................................... 800 27,950
Marvell Technology Group Ltd.* ........................................... 200 11,400
Maxim Integrated Products, Inc.* ......................................... 400 27,175
Microchip Technology, Inc.* .............................................. 300 17,480
Micron Technology, Inc.* ................................................. 90,000 7,925,625
National Semiconductor Corp.* ............................................ 26,000 1,475,500
Novellus Systems, Inc.* .................................................. 2,500 141,406
Photronics, Inc.* ........................................................ 400 11,350
PMC-Sierra, Inc.* ........................................................ 3,600 639,675
Quanta Services, Inc.* ................................................... 450 24,750
Sanmina Corp.* ........................................................... 12,780 1,092,690
SDL, Inc.* ............................................................... 800 228,150
SIPEX Corp.* ............................................................. 1,700 47,069
Solectron Corp.* ......................................................... 16,400 686,750
Teradyne, Inc.* .......................................................... 13,500 992,250
Xilinx, Inc.* ............................................................ 51,020 4,212,339
-----------
$40,620,277
-----------
Energy -- 0.2%
Devon Energy Corp. ....................................................... 5,700 $ 320,269
Dynegy, Inc. ............................................................. 9,500 648,968
-----------
$ 969,237
-----------
Entertainment -- 0.5%
Clear Channel Communications, Inc.* ...................................... 8,100 $ 607,500
International Speedway Corp. ............................................. 512 21,184
USA Networks, Inc.* ...................................................... 20,400 441,150
Viacom, Inc., "B"* ....................................................... 19,700 1,343,294
-----------
$ 2,413,128
-----------
Finance -- 0.3%
R.O.C. Taiwan Fund* ...................................................... 151,750 $ 1,318,328
-----------
Financial Institutions -- 0.9%
American Express Co. ..................................................... 7,700 $ 401,362
Charter One Financial, Inc. .............................................. 4,900 112,700
Citigroup, Inc. .......................................................... 24,000 1,446,000
Golden West Financial Corp. .............................................. 10,100 412,206
Household International, Inc. ............................................ 8,400 349,125
Merrill Lynch & Co., Inc. ................................................ 12,200 1,403,000
State Street Corp. ....................................................... 1,200 127,275
Waddell & Reed Financial, Inc., "A" ...................................... 450 14,766
-----------
$ 4,266,434
-----------
Financial Services -- 0.2%
AXA Financial, Inc. ...................................................... 13,300 $ 452,200
Mellon Financial Corp. ................................................... 11,000 400,812
-----------
$ 853,012
-----------
</TABLE>
19-GGS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Food and Beverage Products -- 0.2%
Anheuser-Busch Cos., Inc. .............................................. 5,900 $ 440,656
Coca-Cola Co. .......................................................... 8,800 505,450
------------
$ 946,106
------------
Insurance -- 0.3%
American International Group, Inc. ..................................... 7,000 $ 822,500
Hartford Financial Services Group,
Inc. ................................................................. 6,400 358,000
------------
$ 1,180,500
------------
Internet -- 1.2%
Art Technology Group, Inc.* ............................................ 600 $ 60,563
Juniper Networks, Inc.* ................................................ 8,000 1,164,500
Satyam Infoway Ltd.* ................................................... 3,580 79,655
VeriSign, Inc.* ........................................................ 22,535 3,977,427
VIA Net.Works, Inc.* ................................................... 15,120 233,415
------------
$ 5,515,560
------------
Medical and Health Products -- 1.0%
Allergan, Inc. ......................................................... 4,600 $ 342,700
Alza Corp.* ............................................................ 2,200 130,075
American Home Products Corp. ........................................... 4,500 264,375
Bausch & Lomb, Inc. .................................................... 5,800 448,775
Bristol-Myers Squibb Co. ............................................... 11,200 652,400
Immunex Corp.* ......................................................... 13,500 667,406
Pfizer, Inc. ........................................................... 50,100 2,404,800
------------
$ 4,910,531
------------
Medical and Health Technology
and Services -- 0.8%
Allscripts, Inc.* ...................................................... 475 $ 10,925
BioSource International, Inc.* ......................................... 2,600 57,850
BioSphere Medical, Inc.* ............................................... 900 12,600
Cardinal Health, Inc. .................................................. 8,100 599,400
Human Genome Sciences, Inc.* ........................................... 400 53,350
Medimmune, Inc.* ....................................................... 4,900 362,600
Merrill Lynch Biotech Holding
Company Depository Receipts* ......................................... 5,100 907,800
PE Corp.-PE Biosystems Group ........................................... 22,500 1,482,187
Quest Diagnostics, Inc.* ............................................... 1,700 127,075
------------
$ 3,613,787
------------
Office Equipment
United Stationers, Inc.* ............................................... 500 $ 16,188
------------
Oil Services -- 0.5%
Baker Hughes, Inc. ..................................................... 28,500 $ 912,000
Global Marine, Inc.* ................................................... 13,800 388,988
Halliburton Co. ........................................................ 8,000 377,500
Noble Affiliates, Inc. ................................................. 2,700 100,575
Noble Drilling Corp.* .................................................. 14,600 601,337
Weatherford International, Inc.* ....................................... 500 19,906
------------
$ 2,400,306
------------
Oils -- 1.2%
Anadarko Petroleum Corp. ............................................... 12,100 $ 596,681
Apache Corp. ........................................................... 7,300 429,331
Coastal Corp. .......................................................... 18,300 1,114,013
EOG Resources, Inc. .................................................... 50,300 1,685,050
Grant Pride Co., Inc.* ................................................. 500 12,500
Santa Fe International Corp. ........................................... 34,900 1,219,319
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Oils -- continued
Transocean Sedco Forex, Inc. ........................................... 6,400 $ 342,000
------------
$ 5,398,894
------------
Pharmaceuticals -- 0.7%
Andrx Corp.* ........................................................... 1,000 $ 63,922
Sepracor, Inc.* ........................................................ 25,400 3,063,875
------------
$ 3,127,797
------------
Retail -- 0.7%
CVS Corp. .............................................................. 19,700 $ 788,000
Kohl's Corp.* .......................................................... 2,200 122,375
RadioShack Corp. ....................................................... 20,900 990,137
Wal-Mart Stores, Inc. .................................................. 26,800 1,544,350
------------
$ 3,444,862
------------
Supermarkets -- 0.8%
Albertsons, Inc. ....................................................... 13,800 $ 458,850
Kroger Co.* ............................................................ 10,700 236,069
Safeway, Inc.* ......................................................... 62,800 2,833,850
------------
$ 3,528,769
------------
Telecommunications -- 9.0%
ADC Telecommunications, Inc. * ......................................... 23,220 $ 1,947,578
Amdocs Ltd.* ........................................................... 5,450 418,288
AT&T Corp., "A"* ....................................................... 37,700 914,225
Cabletron Systems, Inc.* ............................................... 11,800 297,950
CIENA Corp.* ........................................................... 28,300 4,717,256
Cisco Systems, Inc.* ................................................... 232,100 14,752,856
Corning, Inc. .......................................................... 22,500 6,072,188
Emulex Corp.* .......................................................... 1,900 124,806
Intermedia Communications, Inc.* ....................................... 400 11,900
ITC Deltacom, Inc.* .................................................... 500 11,156
JDS Uniphase Corp.* .................................................... 13,142 1,575,397
Lucent Technologies, Inc. .............................................. 2,000 118,500
Metromedia Fiber Network, Inc., "A"* ................................... 75,100 2,980,531
MGC Communications, Inc.* .............................................. 3,600 215,775
MRV Communications, Inc.* .............................................. 2,000 134,500
New Focus, Inc.* ....................................................... 160 13,140
NEXTEL Communications, Inc.* ........................................... 9,500 581,281
Nextlink Communications, Inc., "A"* 1,200 45,525
NTL, Inc.* ............................................................. 26,906 1,610,997
ONI Systems Corp.* ..................................................... 330 38,677
Scientific-Atlanta, Inc. ............................................... 300 22,350
Sprint Corp. ........................................................... 16,700 851,700
Tellabs, Inc.* ......................................................... 26,400 1,806,750
UnitedGlobalCom, Inc.* ................................................. 14,570 681,148
UTStarcom, Inc.* ....................................................... 760 23,085
WorldCom, Inc.* ........................................................ 44,800 2,055,200
------------
$ 42,022,759
------------
Utilities -- Electric -- 0.8%
AES Corp.* ............................................................. 18,000 $ 821,250
Calpine Corp.* ......................................................... 48,000 3,156,000
------------
$ 3,977,250
------------
Utilities -- Gas -- 0.1%
Enron Corp. ............................................................ 10,400 $ 670,800
------------
Total U.S. Stocks ..................................................................... $214,057,009
------------
Total Stocks
(Identified Cost, $385,535,795) ..................................................... $464,256,561
------------
</TABLE>
20-GGS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Warrant
Acclaim Entertainment, Inc.*
(Identified Cost, $0) ............ 771 $ 458
------------
Short-Term Obligation -- 0.4%
Principal Amount
(000 Omitted)
Associates First Capital Corp.,
due 7/03/00, at Amortized Cost ... $1,851 $ 1,850,290
------------
Total Investments
(Identified Cost, $387,386,085) ......... $466,107,309
------------
Other Assets,
Less Liabilities -- 0.5% 2,381,721
------------
Net Assets -- 100.0% ...................... $468,489,030
============
</TABLE>
See portfolio footnotes and notes to financial statements.
Portfolio of Investments (Unaudited) -- June 30, 2000
Managed Sectors Series
Stocks -- 92.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Consumer Goods and Services -- 0.7%
Anheuser-Busch Cos., Inc. .............................................. 12,900 $ 963,469
Coca-Cola Co. .......................................................... 30,800 1,769,075
Keebler Foods Co. ...................................................... 26,700 991,237
PepsiCo., Inc. ......................................................... 23,500 1,044,281
Philip Morris Cos., Inc. ............................................... 7,800 207,188
-----------
$ 4,975,250
-----------
Energy -- 5.0%
Anadarko Petroleum Corp. ............................................... 34,300 $ 1,691,419
Apache Corp. ........................................................... 20,000 1,176,250
Baker Hughes, Inc. ..................................................... 136,100 4,355,200
Devon Energy Corp. ..................................................... 30,400 1,708,100
EOG Resources, Inc. .................................................... 236,200 7,912,700
Global Marine, Inc.* ................................................... 93,600 2,638,350
Halliburton Co. ........................................................ 43,000 2,029,063
Kerr McGee Corp. ....................................................... 5,900 347,731
Noble Affiliates, Inc. ................................................. 7,100 264,475
Noble Drilling Corp.* .................................................. 119,400 4,917,787
Transocean Sedco Forex, Inc. ........................................... 42,200 2,255,062
Weatherford International, Inc.* ....................................... 99,100 3,945,419
-----------
$33,241,556
-----------
Financial Services -- 5.6%
American Express Co. ................................................... 21,700 $ 1,131,113
American International Group, Inc. ..................................... 81,100 9,529,250
AXA Financial, Inc. .................................................... 63,200 2,148,800
Charter One Financial, Inc. ............................................ 79,100 1,819,300
CIGNA Corp. ............................................................ 14,300 1,337,050
Citigroup, Inc. ........................................................ 68,900 4,151,225
Comerica, Inc. ......................................................... 52,100 2,337,987
First Data Corp. ....................................................... 53,300 2,645,012
Fiserv, Inc.* .......................................................... 7,000 302,750
Golden West Financial Corp. ............................................ 56,500 2,305,906
Hartford Financial Services
Group, Inc. .......................................................... 6,900 385,969
Household International, Inc. .......................................... 23,600 980,875
Mellon Financial Corp. ................................................. 46,800 1,705,275
Merrill Lynch & Co., Inc. .............................................. 48,600 5,589,000
PNC Bank Corp. ......................................................... 25,900 1,214,063
Providian Financial Corp. .............................................. 800 72,000
State Street Corp. ..................................................... 700 74,244
-----------
$37,729,819
-----------
Health Care -- 15.2%
Abbott Laboratories, Inc. .............................................. 103,300 $ 4,603,306
Abgenix, Inc.* ......................................................... 20,800 2,493,075
Affymetrix, Inc.* ...................................................... 5,500 908,188
Alkermes, Inc.* ........................................................ 12,400 584,350
Allergan, Inc. ......................................................... 31,700 2,361,650
Alza Corp.* ............................................................ 25,200 1,489,950
American Home Products Corp. ........................................... 600 35,250
Amgen, Inc.* ........................................................... 66,700 4,685,675
Amylin Pharmaceuticals, Inc.* .......................................... 41,500 630,281
Andrx Corp.* ........................................................... 59,400 3,796,959
Bausch & Lomb, Inc. .................................................... 23,100 1,787,363
BioSource International, Inc.* ......................................... 63,100 1,403,975
BioSphere Medical, Inc.* ............................................... 2,200 30,800
Bristol-Myers Squibb Co. ............................................... 18,900 1,100,925
Cardinal Health, Inc. .................................................. 12,300 910,200
Celgene Corp.* ......................................................... 25,100 1,477,763
CV Therapeutics, Inc.* ................................................. 9,600 665,400
Express Scripts, Inc.* ................................................. 40,500 2,516,063
Forest Laboratories, Inc.* ............................................. 13,200 1,333,200
Genentech, Inc.* ....................................................... 43,100 7,413,200
Human Genome Sciences, Inc.* ........................................... 31,800 4,241,325
Immunex Corp.* ......................................................... 107,900 5,334,306
IVAX Corp.* ............................................................ 36,100 1,498,150
</TABLE>
21-MSS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Health Care -- continued
Medarex, Inc.* ........................................................... 12,800 $ 1,081,600
Medigene AG (Germany)* ................................................... 1,100 71,404
Medimmune, Inc.* ......................................................... 64,900 4,802,600
Merrill Lynch Biotech Holding
Company Depository Receipts* ........................................... 19,000 3,382,000
Millennium Pharmaceuticals, Inc.* ........................................ 29,200 3,266,750
PE Corp.-PE Biosystems Group ............................................. 68,700 4,525,612
Pfizer, Inc. ............................................................. 269,450 12,933,600
Pharmacia Corp. .......................................................... 6,484 335,142
Protein Design Labs, Inc.* ............................................... 3,800 626,822
QIAGEN N.V. (Netherlands)* ............................................... 2,100 365,400
Quest Diagnostics, Inc.* ................................................. 40,300 3,012,425
Sepracor, Inc.* .......................................................... 77,300 9,324,312
St. Jude Medical, Inc.* .................................................. 45,000 2,064,375
Teva Pharmaceutical Industries Ltd.,
ADR (Israel) ........................................................... 81,300 4,507,069
------------
$101,600,465
------------
Industrial -- Goods and Services -- 1.5%
C & D Technologies, Inc. ................................................. 16,800 $ 949,200
Capstone Turbine Corp.* .................................................. 730 32,896
Emerson Electric Co. ..................................................... 1,100 66,413
Grant Pride Co., Inc.* ................................................... 59,100 1,477,500
Millipore Corp. .......................................................... 4,900 369,337
Power One, Inc.* ......................................................... 51,150 5,827,903
Tyco International Ltd. (Bermuda) ........................................ 23,500 1,113,312
------------
$ 9,836,561
------------
Leisure -- 1.1%
Clear Channel Communications,
Inc.* .................................................................. 13,900 $ 1,042,500
USA Networks, Inc.* ...................................................... 57,600 1,245,600
Viacom, Inc., "B"* ....................................................... 56,600 3,859,413
Victor Company of Japan (Japan) .......................................... 112,000 987,179
------------
$ 7,134,692
------------
Retail -- 0.5%
Albertsons, Inc. ......................................................... 9,800 $ 325,850
CVS Corp. ................................................................ 1,700 68,000
Kohl's Corp.* ............................................................ 1,200 66,750
Kroger Co.* .............................................................. 7,200 158,850
RadioShack Corp. ......................................................... 16,700 791,162
Safeway, Inc.* ........................................................... 48,200 2,175,025
Wal-Mart Stores, Inc. .................................................... 1,100 63,388
------------
$ 3,649,025
------------
Technology -- 40.5%
Akamai Technologies, Inc.* ............................................... 20,400 $ 2,422,181
Altera Corp.* ............................................................ 21,700 2,212,044
Amdocs Ltd.* ............................................................. 39,300 3,016,275
Analog Devices, Inc.* .................................................... 128,600 9,773,600
Applied Materials, Inc.* ................................................. 24,600 2,229,375
Ariba, Inc.* ............................................................. 12,500 1,225,586
ARM Holdings PLC, ADR (United
Kingdom)* .............................................................. 73,500 2,416,312
Art Technology Group, Inc.* .............................................. 9,300 938,719
Atmel Corp.* ............................................................. 38,500 1,419,688
AudioCodes Ltd. (Israel)* ................................................ 6,000 720,000
Automatic Data Processing, Inc. .......................................... 82,500 4,418,906
BEA Systems, Inc.* ....................................................... 2,100 103,819
Brocade Communications
Systems, Inc.* ......................................................... 13,900 2,550,433
Cabletron Systems, Inc.* ................................................. 3,500 88,375
Check Point Software Technologies
Ltd. (Israel)* ......................................................... 43,400 9,189,950
Cisco Systems, Inc.* ..................................................... 249,300 15,846,131
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Technology -- continued
Coherent, Inc.* .......................................................... 12,700 $ 1,065,213
Compaq Computer Corp. .................................................... 36,400 930,475
Computer Associates
International, Inc. .................................................... 1,000 51,188
Computer Sciences Corp.* ................................................. 7,300 545,219
Conductus, Inc.* ......................................................... 48,000 948,000
Dell Computer Corp.* ..................................................... 25,100 1,237,744
Digital Lightwave, Inc.* ................................................. 19,400 1,950,912
E.piphany, Inc.* ......................................................... 12,300 1,318,406
EMC Corp.* ............................................................... 155,400 11,956,087
Emulex Corp.* ............................................................ 16,200 1,064,138
Entrust Technologies, Inc.* .............................................. 22,800 1,886,700
Ericsson LM, ADR (Sweden) ................................................ 176,200 3,524,000
Extreme Networks, Inc.* .................................................. 9,800 1,033,900
Flextronics International Ltd.* .......................................... 58,300 4,004,481
Foundry Networks, Inc.* .................................................. 8,800 968,000
General Electric Co. ..................................................... 65,200 3,455,600
Global Crossing Ltd. (Bermuda)* .......................................... 77,500 2,039,219
Harris Corp. ............................................................. 11,300 370,075
I2 Technologies, Inc.* ................................................... 11,900 1,240,761
Integrated Device Technology, Inc.* ...................................... 15,500 928,063
Intel Corp. .............................................................. 145,000 19,384,687
Internet Commerce Corp.* ................................................. 12,700 184,150
Jabil Circuit, Inc.* ..................................................... 8,600 426,775
JDS Uniphase Corp.* ...................................................... 36,756 4,406,125
Juniper Networks, Inc.* .................................................. 41,100 5,982,619
Lam Research Corp.* ...................................................... 11,300 423,750
Lightspan, Inc.* ......................................................... 1,080 5,940
LSI Logic Corp.* ......................................................... 84,400 4,568,150
Lucent Technologies, Inc. ................................................ 5,700 337,725
Macromedia, Inc.* ........................................................ 6,600 638,138
Mercury Interactive Corp.* ............................................... 17,300 1,673,775
Metromedia Fiber Network, Inc., "A"*...................................... 214,560 8,515,350
Micron Technology, Inc.* ................................................. 265,400 23,371,787
Microsoft Corp.* ......................................................... 61,800 4,944,000
Mobility Electronics, Inc.* .............................................. 13,910 180,830
Motorola, Inc. ........................................................... 8,800 255,750
MRV Communications, Inc.* ................................................ 58,800 3,954,300
National Semiconductor Corp.* ............................................ 73,400 4,165,450
New Focus, Inc.* ......................................................... 470 38,599
Nokia Corp., ADR (Finland) ............................................... 70,900 3,540,569
Novellus Systems, Inc.* .................................................. 1,400 79,188
Oracle Corp.* ............................................................ 145,200 12,205,875
PMC-Sierra, Inc.* ........................................................ 17,500 3,109,531
Sanmina Corp.* ........................................................... 37,320 3,190,860
SAP AG, ADR (Germany) .................................................... 1,200 56,325
SDL, Inc.* ............................................................... 11,400 3,251,137
Seagate Technology, Inc.* ................................................ 16,700 918,500
Siebel Systems, Inc.* .................................................... 28,500 4,661,531
Solectron Corp.* ......................................................... 1,900 79,563
Stanford Microdevices, Inc.* ............................................. 8,900 386,594
StorageNetworks, Inc.* ................................................... 1,110 100,178
Sun Microsystems, Inc.* .................................................. 101,420 9,222,881
Sycamore Networks, Inc.* ................................................. 48,100 5,309,037
Tektronix, Inc. .......................................................... 5,000 370,000
Teradyne, Inc.* .......................................................... 20,900 1,536,150
Texas Instruments, Inc. .................................................. 7,500 515,156
TIBCO Software, Inc.* .................................................... 20,100 2,155,411
Tollgrade Communications, Inc.* .......................................... 10,000 1,325,000
VeriSign, Inc.* .......................................................... 77,077 13,604,090
VERITAS Software Corp.* .................................................. 66,600 7,526,841
Waters Corp.* ............................................................ 33,300 4,156,256
Xilinx, Inc.* ............................................................ 143,800 11,872,487
------------
$271,720,635
------------
</TABLE>
22-MSS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Utilities and Communications -- 22.0%
ADC Telecommunications, Inc.* .......................................... 116,214 $ 9,747,449
AES Corp.* ............................................................. 169,200 7,719,750
Aether Systems, Inc.* .................................................. 5,700 1,168,500
Alcatel Alsthom Compagnie, ADR
(France) ............................................................. 50,900 3,384,850
Allegiance Telecom, Inc.* .............................................. 11,400 729,600
AT&T Corp., "A"* ....................................................... 121,100 2,936,675
Calpine Corp.* ......................................................... 119,700 7,870,275
CIENA Corp.* ........................................................... 77,600 12,934,950
Coastal Corp. .......................................................... 61,900 3,768,163
Comverse Technology, Inc.* ............................................. 40,300 3,747,900
Corning, Inc. .......................................................... 71,600 19,323,050
Dynegy, Inc. ........................................................... 18,800 1,284,275
Enron Corp. ............................................................ 14,800 954,600
Intermedia Communications, Inc.* ....................................... 700 20,825
Linear Technology Corp. ................................................ 63,500 4,060,031
Marvell Technology Group Ltd.* ......................................... 600 34,200
McLeodUSA, Inc., "A"* .................................................. 13,700 283,419
MGC Communications, Inc.* .............................................. 19,900 1,192,756
NEXTEL Communications, Inc.* ........................................... 26,700 1,633,706
Nextlink Communications, Inc., "A"* .................................... 3,800 144,163
Nortel Networks Corp. (Canada) ......................................... 381,200 26,016,900
ONI Systems Corp.* ..................................................... 970 113,687
Quanta Services, Inc.* ................................................. 11,600 638,000
Rational Software Corp.* ............................................... 16,300 1,514,881
Redback Networks, Inc.* ................................................ 22,200 3,951,600
Scientific-Atlanta, Inc. ............................................... 27,600 2,056,200
Sonera Oyj (Finland) ................................................... 29,100 1,326,441
Sprint Corp. ........................................................... 11,000 561,000
Sprint Corp. (PCS Group)* .............................................. 123,100 7,324,450
Tellabs, Inc.* ......................................................... 75,500 5,167,031
Vodafone AirTouch PLC (United
Kingdom)* ............................................................ 919,759 3,714,579
Vodafone AirTouch PLC, ADR
(United Kingdom) ..................................................... 41,500 1,719,656
Voicestream Wireless Corp.* ............................................ 37,969 4,415,676
WorldCom, Inc.* ........................................................ 128,900 5,913,288
------------
$147,372,526
------------
Total Stocks
(Identified Cost, $561,524,572) .................................................... $617,260,529
------------
Warrant
Acclaim Entertainment, Inc.*
(Identified Cost, $0) ................................................ 7,918 $ 4,701
------------
Short-Term Obligations -- 8.5%
Principal Amount
(000 Omitted)
Federal Home Loan Bank,
due 7/03/00 .......................................................... $ 15 $ 14,995
General Electric Capital Corp.,
due 7/03/00 .......................................................... 25,000 24,990,347
Salomon Smith Barney Holdings,
Inc., due 7/03/00 .................................................... 31,775 31,762,996
------------
Total Short-Term Obligations, at Amortized Cost ...................................... $ 56,768,338
------------
Total Investments
(Identified Cost, $618,292,910) .................................................... $674,033,568
------------
Other Assets,
Less Liabilities -- (0.6)% (3,868,639)
------------
Net Assets -- 100.0% ................................................................. $670,164,929
------------
</TABLE>
See portfolio footnotes and notes to financial statements.
Portfolio of Investments (Unaudited) -- June 30, 2000
Massachusetts Investors Trust Series
Stocks -- 94.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 84.4%
Aerospace -- 3.4%
Boeing Co. ............................................................. 417,900 $17,473,444
General Dynamics Corp. ................................................. 168,200 8,788,450
TRW, Inc. .............................................................. 136,000 5,899,000
United Technologies Corp. .............................................. 726,300 42,760,912
--------------
$74,921,806
--------------
Automotive -- 0.2%
Delphi Automotive Systems Corp. ........................................ 271,600 $ 3,955,175
--------------
Banks and Credit Companies -- 2.0%
Bank of New York Co., Inc. ............................................. 84,700 $ 3,938,550
Capital One Financial Corp. ............................................ 123,900 5,529,037
Chase Manhattan Corp. .................................................. 57,900 2,667,019
Providian Financial Corp. .............................................. 42,500 3,825,000
U.S. Bancorp ........................................................... 650,653 12,525,070
Wells Fargo Co. ........................................................ 382,800 14,833,500
--------------
$43,318,176
--------------
Biotechnology -- 2.6%
Abbott Laboratories, Inc. .............................................. 138,600 $ 6,176,363
Pharmacia Corp. ........................................................ 971,781 50,228,930
--------------
$56,405,293
--------------
Business Machines -- 4.1%
Hewlett-Packard Co. .................................................... 403,600 $50,399,550
International Business Machines
Corp. ................................................................ 88,700 9,718,194
Sun Microsystems, Inc.* ................................................ 311,400 28,317,937
Texas Instruments, Inc. ................................................ 37,100 2,548,306
--------------
$90,983,987
--------------
Business Services -- 2.9%
Automatic Data Processing, Inc. ........................................ 473,800 $25,377,912
Computer Sciences Corp.* ............................................... 206,100 15,393,094
DST Systems, Inc.* ..................................................... 38,450 2,927,006
First Data Corp. ....................................................... 424,100 21,045,963
--------------
$64,743,975
--------------
Cellular Telephones -- 1.7%
Motorola, Inc. ......................................................... 831,786 $24,173,781
Sprint Corp. (PCS Group)* .............................................. 231,100 13,750,450
--------------
$37,924,231
--------------
Chemicals -- 1.0%
Air Products & Chemicals, Inc. ......................................... 284,700 $ 8,772,319
Dow Chemical Co. ....................................................... 29,100 878,456
E.I. du Pont de Nemours & Co., Inc. .................................... 57,400 2,511,250
Rohm & Haas Co. ........................................................ 313,100 10,801,950
--------------
$22,963,975
--------------
Computer Hardware -- Systems -- 1.1%
Compaq Computer Corp. .................................................. 246,100 $ 6,290,931
Dell Computer Corp.* ................................................... 368,700 18,181,519
--------------
$24,472,450
--------------
Computer Software -- Personal
Computers -- 2.6%
America Online, Inc.* .................................................. 42,400 $ 2,236,600
Microsoft Corp.* ....................................................... 677,200 54,176,000
--------------
$56,412,600
--------------
Computer Software -- Services -- 0.6%
EMC Corp.* ............................................................. 167,800 $12,910,113
--------------
Computer Software -- Systems -- 2.0%
BMC Software, Inc.* .................................................... 93,000 $ 3,393,047
Computer Associates
International, Inc. .................................................. 193,525 9,906,061
Oracle Corp.* .......................................................... 239,350 20,120,359
Rational Software Corp.* ............................................... 62,200 5,780,712
</TABLE>
23-MITS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Computer Software -- Systems -- continued
VERITAS Software Corp.* ................................................ 36,000 $ 4,068,563
--------------
$ 43,268,742
--------------
Conglomerates -- 1.0%
Tyco International Ltd. ................................................ 459,700 $ 21,778,288
--------------
Consumer Goods and Services -- 1.3%
Philip Morris Cos., Inc. ............................................... 149,120 $ 3,961,000
Cintas Corp. ........................................................... 69,250 2,540,609
Clorox Co. ............................................................. 75,500 3,383,344
Colgate-Palmolive Co. .................................................. 247,200 14,801,100
Gillette Co. ........................................................... 80,300 2,805,481
Procter & Gamble Co. ................................................... 23,800 1,362,550
--------------
$ 28,854,084
--------------
Electrical Equipment -- 4.2%
Emerson Electric Co. ................................................... 237,300 $ 14,326,987
General Electric Co. ................................................... 1,497,800 79,383,400
--------------
$ 93,710,387
--------------
Electronics -- 4.8%
Agilent Technologies, Inc.* ............................................ 26,545 $ 1,957,694
Analog Devices, Inc.* .................................................. 34,000 2,584,000
Flextronics International Ltd.* ........................................ 2,900 199,194
Intel Corp. ............................................................ 582,200 77,832,862
LSI Logic Corp.* ....................................................... 38,100 2,062,163
Micron Technology, Inc.* ............................................... 67,800 5,970,637
National Semiconductor Corp.* .......................................... 207,400 11,769,950
Solectron Corp.* ....................................................... 109,500 4,585,312
--------------
$106,961,812
--------------
Energy -- 0.4%
TXU Corp. .............................................................. 304,300 $ 8,976,850
--------------
Entertainment -- 1.8%
Infinity Broadcasting Corp., "A"* ...................................... 179,000 $ 6,522,312
Time Warner, Inc. ...................................................... 336,400 25,566,400
Viacom, Inc., "B"* ..................................................... 128,900 8,789,369
--------------
$ 40,878,081
--------------
Financial Institutions -- 4.6%
American Express Co. ................................................... 288,900 $ 15,058,913
Citigroup, Inc. ........................................................ 260,150 15,674,037
Federal National Mortgage Assn. ........................................ 206,400 10,771,500
Freddie Mac Corp. ...................................................... 624,100 25,276,050
Merrill Lynch & Co., Inc. .............................................. 14,300 1,644,500
State Street Corp. ..................................................... 310,100 32,889,981
--------------
$101,314,981
--------------
Financial Services -- 0.7%
AXA Financial, Inc. .................................................... 443,000 $ 15,062,000
--------------
Food and Beverage Products -- 2.4%
Anheuser-Busch Cos., Inc. .............................................. 220,800 $ 16,491,000
Coca-Cola Co. .......................................................... 264,100 15,169,244
PepsiCo., Inc. ......................................................... 82,700 3,674,981
Quaker Oats Co. ........................................................ 232,700 17,481,587
--------------
$ 52,816,812
--------------
Insurance -- 3.5%
American International Group, Inc. ..................................... 204,725 $ 24,055,187
CIGNA Corp. ............................................................ 103,200 9,649,200
Hartford Financial Services
Group, Inc. .......................................................... 561,300 31,397,719
Lincoln National Corp. ................................................. 66,300 2,395,088
Marsh & McLennan Cos., Inc. ............................................ 52,200 5,451,637
St. Paul Cos., Inc. .................................................... 117,100 3,996,038
--------------
$ 76,944,869
--------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Machinery -- 1.6%
Deere & Co., Inc. ...................................................... 587,800 $ 21,748,600
Ingersoll Rand Co. ..................................................... 228,200 9,185,050
W.W. Grainger, Inc. .................................................... 118,700 3,657,444
--------------
$ 34,591,094
--------------
Medical and Health Products -- 6.8%
American Home Products Corp. ........................................... 224,500 $ 13,189,375
Bausch & Lomb, Inc. .................................................... 130,300 10,081,962
Bristol-Myers Squibb Co. ............................................... 680,500 39,639,125
Johnson & Johnson Co. .................................................. 31,400 3,198,875
Pfizer, Inc. ........................................................... 1,579,225 75,802,800
Schering Plough Corp. .................................................. 165,300 8,347,650
--------------
$150,259,787
--------------
Medical and Health Technology
and Services -- 1.3%
Medtronic, Inc. ........................................................ 403,826 $ 20,115,583
PE Corp.-PE Biosystems Group ........................................... 26,400 1,739,100
UnitedHealth Group, Inc.* .............................................. 77,600 6,654,200
--------------
$ 28,508,883
--------------
Oil Services -- 0.7%
Baker Hughes, Inc. ..................................................... 416,400 $ 13,324,800
Global Marine, Inc.* ................................................... 114,600 3,230,288
--------------
$ 16,555,088
--------------
Oils -- 5.1%
Chevron Corp. .......................................................... 82,470 $ 6,994,487
Coastal Corp. .......................................................... 400,100 24,356,087
Conoco, Inc. ........................................................... 753,400 18,505,388
Exxon Mobil Corp. ...................................................... 681,942 53,532,447
Transocean Sedco Forex, Inc. ........................................... 156,000 8,336,250
--------------
$111,724,659
--------------
Printing and Publishing -- 2.1%
Gannett Co., Inc. ...................................................... 279,500 $ 16,717,594
New York Times Co. ..................................................... 436,200 17,229,900
Tribune Co. ............................................................ 325,700 11,399,500
--------------
$ 45,346,994
--------------
Restaurants and Lodging -- 0.2%
McDonald's Corp. ....................................................... 160,300 $ 5,279,881
--------------
Retail -- 2.7%
CVS Corp. .............................................................. 666,700 $ 26,668,000
Wal-Mart Stores, Inc. .................................................. 574,000 33,076,750
--------------
$ 59,744,750
--------------
Supermarkets -- 2.7%
Kroger Co.* ............................................................ 470,500 $ 10,380,406
Safeway, Inc.* ......................................................... 1,105,700 49,894,713
--------------
$ 60,275,119
--------------
Telecommunications -- 10.6%
Alltel Corp. ........................................................... 328,000 $ 20,315,500
Bell Atlantic Corp. .................................................... 665,500 33,815,719
BroadWing, Inc.* ....................................................... 239,500 6,212,031
Cabletron Systems, Inc.* ............................................... 313,200 7,908,300
Cisco Systems, Inc.* ................................................... 755,600 48,027,825
Comcast Corp., "A"* .................................................... 22,400 907,200
Corning, Inc. .......................................................... 177,100 47,794,862
Qwest Communications
International, Inc.* ................................................. 64,100 3,184,969
SBC Communications, Inc. ............................................... 428,594 18,536,691
Sprint Corp. ........................................................... 250,000 12,750,000
Tellabs, Inc.* ......................................................... 200,400 13,714,875
WorldCom, Inc.* ........................................................ 439,553 20,164,494
--------------
$233,332,466
--------------
</TABLE>
24-MITS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Utilities -- Electric -- 0.8%
Peco Energy Co. .......................................................... 381,700 $ 15,387,281
Unicom Corp. ............................................................. 89,400 3,458,663
--------------
$ 18,845,944
--------------
Utilities -- Gas -- 0.7%
Enron Corp. .............................................................. 82,700 $ 5,334,150
Williams Cos., Inc. ...................................................... 238,100 9,925,794
--------------
$ 15,259,944
--------------
Utilities -- Telephone -- 0.2%
BellSouth Corp. .......................................................... 111,500 $ 4,752,688
--------------
Total U.S. Stocks ........................................................................ $1,864,055,984
--------------
Foreign Stocks -- 10.3% Bermuda -- 0.4% Global Crossing Ltd.
(Telecommunications)* .................................................. 311,900 $ 8,206,869
--------------
Canada -- 2.4%
Canadian National Railway Co.
(Railroads) ............................................................ 160,600 $ 4,687,512
Nortel Networks Corp.
(Telecommunications) ................................................... 721,100 49,215,075
--------------
$ 53,902,587
--------------
Finland -- 0.4%
Nokia Corp., ADR
(Telecommunications) ................................................... 167,700 $ 8,374,519
--------------
Japan -- 0.6%
Fast Retailing Co. (Retail) .............................................. 15,200 $ 6,361,991
Nippon Telegraph & Telephone Co.
(Utilities -- Telephone) ............................................... 453 6,021,210
--------------
$ 12,383,201
--------------
Netherlands -- 1.9%
Akzo Nobel N.V. (Chemicals) .............................................. 172,800 $ 7,340,493
ING Groep N.V. (Financial
Services)* ............................................................. 77,600 5,244,650
KPN N.V. (Telecommunications)* ........................................... 136,176 6,090,202
Royal Dutch Petroleum Co. (Oils) ......................................... 387,100 24,056,125
--------------
$ 42,731,470
--------------
Switzerland -- 0.6%
Nestle S.A. (Food and Beverage
Products) .............................................................. 6,943 $ 13,900,475
--------------
United Kingdom -- 4.0%
AstraZeneca Group PLC (Medical
and Health Products) ................................................... 185,800 $ 8,670,121
BP Amoco PLC, ADR (Oils) ................................................. 1,032,722 58,413,338
HSBC Holdings PLC (Banks and
Credit Cos.) ........................................................... 369,900 4,227,106
Reuters Group PLC, ADR (Business
Services) .............................................................. 71,400 7,135,537
Vodafone AirTouch PLC
(Telecommunications)* .................................................. 2,370,376 9,573,105
--------------
$ 88,019,207
--------------
Total Foreign Stocks ..................................................................... $ 227,518,328
--------------
Total Stocks
(Identified Cost, $1,825,953,198) ...................................................... $2,091,574,312
--------------
Preferred Stock -- 0.1% Energy -- 0.1% TXU Corp.*
(Identified Cost, $1,995,309) .......................................... 48,200 $ 1,674,950
--------------
</TABLE>
<TABLE>
<CAPTION>
Convertible Preferred Stock -- 0.4%
Issuer Shares Value
<S> <C> <C>
Bermuda -- 0.4%
Global Crossing Ltd., 6.75%
(Telecommunications)
(Identified Cost, $9,175,000) .......................................... 36,700 $ 8,046,475
--------------
Convertible Bonds -- 0.3%
Principal Amount
(000 Omitted)
Financial Services -- 0.1%
Bell Atlantic Financial Services, Inc.,
4.25s, 2005## ....................... $ 2,721 $ 3,306,015
--------------
Oils -- 0.1%
Transocean Sedco Forex, Inc.,
0s, 2020 ............................ $ 2,310 $ 1,393,161
--------------
Telecommunications -- 0.1%
NTL, Inc., 5.75s, 2009s## ............. $ 4,256 $ 3,340,960
--------------
Total Convertible Bonds
(Identified Cost, $8,670,618) ....................................... $ 8,040,136
--------------
Short-Term Obligations -- 4.3%
American Express Credit Corp.,
due 7/03/00 ......................... $41,705 $ 41,689,059
Federal Home Loan Mortgage
Corp., due 7/05/00 .................. 20,000 19,985,889
Morgan Stanley Dean Witter,
due 7/05/00 ......................... 32,785 32,760,047
--------------
Total Short-Term Obligations,
at Amortized Cost ..................................................................... $ 94,434,995
--------------
Total Investments
(Identified Cost, $1,940,229,120) ..................................................... $2,203,770,868
--------------
Other Assets,
Less Liabilities -- 0.2% 4,485,625
--------------
Net Assets -- 100.0% .................................................................... $2,208,256,493
==============
</TABLE>
See portfolio footnotes and notes to financial statements.
25-MITS
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Research Series
Stocks -- 99.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 89.5%
Aerospace -- 1.8%
Boeing Co. ............................................................. 275,500 $11,519,344
General Dynamics Corp. ................................................. 60,800 3,176,800
United Technologies Corp. .............................................. 144,600 8,513,325
------------
$23,209,469
------------
Banks and Credit Companies -- 2.2%
Capital One Financial Corp. ............................................ 121,600 $ 5,426,400
Chase Manhattan Corp. .................................................. 180,688 8,322,941
PNC Bank Corp. ......................................................... 104,000 4,875,000
Providian Financial Corp. .............................................. 77,900 7,011,000
U.S. Bancorp ........................................................... 177,170 3,410,523
------------
$29,045,864
------------
Biotechnology -- 2.2%
Pharmacia Corp. ........................................................ 560,020 $28,946,034
------------
Business Machines -- 5.2%
Hewlett-Packard Co. .................................................... 113,300 $14,148,337
International Business Machines
Corp. ................................................................ 100,200 10,978,163
Seagate Technology, Inc.* .............................................. 141,600 7,788,000
Sun Microsystems, Inc.* ................................................ 387,100 35,201,906
------------
$68,116,406
------------
Business Services -- 2.5%
Automatic Data Processing, Inc. ........................................ 231,900 $12,421,144
BEA Systems, Inc.* ..................................................... 39,000 1,928,063
Computer Sciences Corp.* ............................................... 196,600 14,683,562
Digimarc Corp.* ........................................................ 6,990 269,115
Fiserv, Inc.* .......................................................... 89,877 3,887,180
------------
$33,189,064
------------
Cellular Telephones -- 2.3%
Motorola, Inc. ......................................................... 420,805 $12,229,645
Sprint Corp. (PCS Group)* .............................................. 305,200 18,159,400
------------
$30,389,045
------------
Chemicals -- 0.3%
Rohm & Haas Co. ........................................................ 124,500 $ 4,295,250
------------
Computer Hardware -- Systems -- 0.7%
Compaq Computer Corp. .................................................. 180,800 $ 4,621,700
Dell Computer Corp.* ................................................... 104,000 5,128,500
------------
$ 9,750,200
------------
Computer Software -- Personal
Computers -- 3.4%
America Online, Inc.* .................................................. 207,700 $10,956,175
Microsoft Corp.* ....................................................... 414,000 33,120,000
------------
$44,076,175
------------
Computer Software -- Services -- 2.6%
EMC Corp.* ............................................................. 437,600 $33,667,850
------------
Computer Software -- Systems -- 4.8%
BMC Software, Inc.* .................................................... 110,400 $ 4,027,875
Computer Associates
International, Inc. .................................................. 85,400 4,371,412
Comverse Technology, Inc.* ............................................. 117,600 10,936,800
E.piphany, Inc.* ....................................................... 18,400 1,972,250
I2 Technologies, Inc.* ................................................. 35,800 3,732,709
Liberate Technologies* ................................................. 46,150 1,352,772
Oracle Corp.* .......................................................... 259,174 21,786,814
Rational Software Corp.* ............................................... 30,500 2,834,594
Siebel Systems, Inc.* .................................................. 17,000 2,780,563
VERITAS Software Corp.* ................................................ 78,000 8,815,219
------------
$62,611,008
------------
Conglomerates -- 2.6%
Tyco International Ltd. ................................................ 723,024 $34,253,262
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Consumer Goods and Services -- 1.4%
Clorox Co. ............................................................. 179,500 $ 8,043,844
Colgate-Palmolive Co. .................................................. 170,100 10,184,737
------------
$ 18,228,581
------------
Containers -- 0.1%
Owens Illinois, Inc.* .................................................. 160,800 $ 1,879,350
------------
Electrical Equipment -- 2.7%
General Electric Co. ................................................... 657,900 $ 34,868,700
------------
Electronics -- 9.5%
Analog Devices, Inc.* .................................................. 93,566 $ 7,111,016
Atmel Corp.* ........................................................... 140,300 5,173,563
Fairchild Semiconductor
International Co.* ................................................... 69,800 2,826,900
Flextronics International Ltd.* ........................................ 133,733 9,185,785
Intel Corp. ............................................................ 404,100 54,023,119
Lam Research Corp.* .................................................... 174,400 6,540,000
LSI Logic Corp.* ....................................................... 100,500 5,439,563
Micron Technology, Inc.* ............................................... 213,000 18,757,312
SCI Systems, Inc.* ..................................................... 41,100 1,610,606
Solectron Corp.* ....................................................... 156,000 6,532,500
Teradyne, Inc.* ........................................................ 92,300 6,784,050
------------
$123,984,414
------------
Energy -- 0.2%
Devon Energy Corp. ..................................................... 47,900 $ 2,691,381
------------
Entertainment -- 3.0%
Infinity Broadcasting Corp., "A"* ...................................... 278,475 $ 10,146,933
Macromedia, Inc.* ...................................................... 50,900 4,921,394
Time Warner, Inc. ...................................................... 142,700 10,845,200
Viacom, Inc., "B"* ..................................................... 196,861 13,423,459
------------
$ 39,336,986
------------
Financial Institutions -- 4.0%
Associates First Capital Corp., "A" .................................... 421,506 $ 9,404,853
Citigroup, Inc. ........................................................ 276,500 16,659,125
Freddie Mac Corp. ...................................................... 244,300 9,894,150
Lehman Brothers Holdings, Inc. ......................................... 34,200 3,234,037
Merrill Lynch & Co., Inc. .............................................. 72,500 8,337,500
Morgan Stanley Dean Witter & Co. ....................................... 50,700 4,220,775
State Street Corp. ..................................................... 4,600 487,888
------------
$ 52,238,328
------------
Financial Services -- 0.5%
AXA Financial, Inc. .................................................... 200,700 $ 6,823,800
------------
Food and Beverage Products -- 1.3%
Anheuser-Busch Cos., Inc. .............................................. 142,000 $ 10,605,625
Quaker Oats Co. ........................................................ 88,700 6,663,588
------------
$ 17,269,213
------------
Forest and Paper Products -- 0.2%
Bowater, Inc. .......................................................... 66,600 $ 2,938,725
------------
Insurance -- 2.5%
American International Group, Inc. ..................................... 111,675 $ 13,121,812
Hartford Financial Services
Group, Inc. .......................................................... 127,900 7,154,406
Marsh & McLennan Cos., Inc. ............................................ 48,100 5,023,444
MetLife, Inc.* ......................................................... 225,130 4,741,801
St. Paul Cos., Inc. .................................................... 61,400 2,095,275
------------
$ 32,136,738
------------
Internet -- 1.0%
InterWorld Corp.* ...................................................... 11,800 $ 241,900
Selectica, Inc.* ....................................................... 11,060 774,891
VeriSign, Inc.* ........................................................ 64,600 11,401,900
------------
$ 12,418,691
------------
</TABLE>
26-RES
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Machinery -- 1.0%
Deere & Co., Inc. ...................................................... 197,000 $ 7,289,000
Ingersoll Rand Co. ..................................................... 146,900 5,912,725
--------------
$ 13,201,725
--------------
Medical and Health Products -- 4.3%
American Home Products Corp. ........................................... 181,900 $ 10,686,625
Bausch & Lomb, Inc. .................................................... 89,100 6,894,112
Bristol-Myers Squibb Co. ............................................... 404,000 23,533,000
Pfizer, Inc. ........................................................... 319,000 15,312,000
--------------
$ 56,425,737
--------------
Medical and Health Technology
and Services -- 0.8%
Medtronic, Inc. ........................................................ 203,700 $ 10,146,806
--------------
Metals and Minerals -- 0.2%
Alcoa, Inc. ............................................................ 96,400 $ 2,795,600
--------------
Oil Services -- 2.2%
Baker Hughes, Inc. ..................................................... 141,100 $ 4,515,200
Cooper Cameron Corp.* .................................................. 21,400 1,412,400
Global Marine, Inc.* ................................................... 397,300 11,198,894
Noble Drilling Corp.* .................................................. 165,400 6,812,412
Weatherford International, Inc.* ....................................... 138,000 5,494,125
--------------
$ 29,433,031
--------------
Oils -- 4.4%
Conoco, Inc. ........................................................... 594,200 $ 14,595,037
EOG Resources, Inc. .................................................... 172,900 5,792,150
Exxon Mobil Corp. ...................................................... 278,578 21,868,373
Santa Fe International Corp. ........................................... 133,700 4,671,144
Transocean Sedco Forex, Inc. ........................................... 207,800 11,104,313
--------------
$ 58,031,017
--------------
Printing and Publishing -- 0.4%
Tribune Co. ............................................................ 149,100 $ 5,218,500
--------------
Retail -- 3.6%
CVS Corp. .............................................................. 555,100 $ 22,204,000
Office Depot, Inc.* .................................................... 617,000 3,856,250
RadioShack Corp. ....................................................... 233,600 11,066,800
Wal-Mart Stores, Inc. .................................................. 173,900 10,020,987
--------------
$ 47,148,037
--------------
Special Products and Services -- 0.3%
SPX Corp.* ............................................................. 36,200 $ 4,377,938
--------------
Supermarkets -- 1.7%
Safeway, Inc.* ......................................................... 490,493 $ 22,133,497
--------------
Telecommunications -- 12.0%
Allegiance Telecom, Inc.* .............................................. 15,400 $ 985,600
Ancor Communications, Inc.* ............................................ 35,050 1,253,585
Bell Atlantic Corp. .................................................... 117,900 5,990,794
Cabletron Systems, Inc.* ............................................... 151,400 3,822,850
CIENA Corp.* ........................................................... 97,300 16,218,694
Cisco Systems, Inc.* ................................................... 678,500 43,127,156
Corning, Inc. .......................................................... 86,012 23,212,488
Intermedia Communications, Inc.* ....................................... 25,300 752,675
Level 3 Communications, Inc.* .......................................... 38,800 3,414,400
Metromedia Fiber Network, Inc., "A"* ................................... 383,200 15,208,250
Qwest Communications
International, Inc.* ................................................. 192,300 9,554,906
Sprint Corp. ........................................................... 263,600 13,443,600
Tellabs, Inc.* ......................................................... 58,600 4,010,438
Time Warner Telecom, Inc.* ............................................. 23,700 1,525,688
Winstar Communications, Inc.* .......................................... 22,200 752,025
WorldCom, Inc.* ........................................................ 310,096 14,225,654
--------------
$157,498,803
--------------
Telecommunications and Cable -- 0.5%
Comcast Corp., "A"* .................................................... 173,300 $ 7,018,650
--------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Utilities -- Electric -- 0.7%
AES Corp.* ............................................................. 208,200 $ 9,499,125
--------------
Utilities -- Gas -- 0.4%
Williams Cos., Inc. .................................................... 117,200 $ 4,885,775
--------------
Total U.S. Stocks ...................................................................... $1,174,178,775
--------------
Foreign Stocks -- 9.6%
Bermuda -- 1.2%
FLAG Telecom Holdings Ltd.
(Telecommunications)* ................................................ 199,820 $ 2,972,323
Global Crossing Ltd.
(Telecommunications)* ................................................ 476,800 12,545,800
--------------
$ 15,518,123
--------------
Canada -- 2.1%
Nortel Networks Corp.
(Telecommunications) ................................................. 404,000 $ 27,573,000
--------------
France -- 0.3%
Business Objects S.A., ADR
(Computer Software -- Systems)* ...................................... 10,300 $ 907,687
Total S.A., "B" (Oils) ................................................. 16,600 2,544,926
--------------
$ 3,452,613
--------------
Ireland -- 0.1%
Trintech Group PLC, ADR
(Computer Software -- Products)* ..................................... 73,000 $ 1,438,328
--------------
Japan -- 1.3%
AFLAC, Inc. (Insurance) ................................................ 55,100 $ 2,531,156
Fast Retailing Co. (Retail) ............................................ 9,300 3,892,534
Hitachi Ltd. (Electronics) ............................................. 241,000 3,475,962
Nippon Telegraph & Telephone Co.
(Utilities -- Telephone) ............................................. 576 7,656,108
--------------
$ 17,555,760
--------------
Netherlands -- 1.5%
KPN N.V. (Telecommunications)* ......................................... 172,346 $ 7,707,833
Royal Dutch Petroleum Co. (Oils) ....................................... 202,600 12,590,470
--------------
$ 20,298,303
--------------
United Kingdom -- 3.1%
AstraZeneca Group PLC (Medical
and Health Products) ................................................. 122,400 $ 5,711,641
BAE Systems PLC (Aerospace)* ........................................... 1,285,900 8,013,619
BP Amoco PLC, ADR (Oils) ............................................... 325,096 18,388,242
HSBC Holdings PLC (Banks and
Credit Cos.) ......................................................... 332,900 3,804,281
Lloyds TSB Group PLC (Banks and
Credit Cos.)* ........................................................ 1,304 12,308
Vodafone AirTouch PLC
(Telecommunications)* ................................................ 1,191,488 4,811,996
--------------
$ 40,742,087
--------------
Total Foreign Stocks ................................................................... $ 126,578,214
--------------
Total Stocks
(Identified Cost, $1,047,373,842) .................................................... $1,300,756,989
--------------
Short-Term Obligation -- 0.1%
Principal Amount
(000 Omitted)
Associates First Capital Corp.,
due 7/03/00, at Amortized Cost ....................................... $ 1,856 $ 1,855,289
--------------
Total Investments
(Identified Cost, $1,049,229,131) .................................................... $1,302,612,278
--------------
Other Assets,
Less Liabilities -- 0.8% 10,026,530
--------------
Net Assets -- 100.0% ................................................................... $1,312,638,808
==============
</TABLE>
See portfolio footnotes and notes to financial statements.
27-RES
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Total Return Series
Stocks -- 53.6%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 46.3%
Aerospace -- 2.0%
Boeing Co. ............................................................. 247,200 $10,336,050
Honeywell International, Inc. .......................................... 157,001 5,288,971
TRW, Inc. .............................................................. 230,300 9,989,263
United Technologies Corp. .............................................. 129,200 7,606,650
--------------
$33,220,934
--------------
Automotive -- 0.6%
Delphi Automotive Systems Corp. ........................................ 549,000 $ 7,994,813
Ford Motor Co. ......................................................... 65,589 2,820,327
Visteon Corp.* ......................................................... 8,587 104,117
--------------
$10,919,257
--------------
Banks and Credit Companies -- 1.4%
Bank America Corp. ..................................................... 205,800 $ 8,849,400
Bank of New York Co., Inc. ............................................. 97,312 4,525,008
Bank One Corp. ......................................................... 40,570 1,077,641
PNC Bank Corp. ......................................................... 217,100 10,176,562
--------------
$24,628,611
--------------
Biotechnology -- 1.7%
Abbott Laboratories, Inc. .............................................. 320,800 $14,295,650
Pharmacia Corp. ........................................................ 281,188 14,533,905
--------------
$28,829,555
--------------
Business Machines -- 0.4%
Hewlett-Packard Co. .................................................... 10,700 $ 1,336,162
International Business Machines
Corp. ................................................................ 20,700 2,267,944
Xerox Corp. ............................................................ 114,800 2,382,100
--------------
$ 5,986,206
--------------
Business Services -- 0.6%
Automatic Data Processing, Inc. ........................................ 144,600 $ 7,745,138
United Parcel Service, Inc. ............................................ 30,220 1,782,980
--------------
$ 9,528,118
--------------
Cellular Telephones -- 0.8%
Motorola, Inc. ......................................................... 231,100 $ 6,716,344
Telephone & Data Systems, Inc. ......................................... 73,900 7,408,475
--------------
$14,124,819
--------------
Chemicals -- 1.1%
Air Products & Chemicals, Inc. ......................................... 186,000 $ 5,731,125
Rohm & Haas Co. ........................................................ 378,500 13,058,250
--------------
$18,789,375
--------------
Computer Software -- Personal
Computers -- 0.3%
Microsoft Corp.* ....................................................... 55,000 $ 4,400,000
--------------
Conglomerates -- 0.4%
Eastern Enterprises Co. ................................................ 91,700 $ 5,777,100
Tyco International Ltd. ................................................ 24,144 1,143,822
--------------
$ 6,920,922
--------------
Consumer Goods and Services -- 0.4%
Fortune Brands, Inc. ................................................... 80,000 $ 1,845,000
Kimberly-Clark Corp. ................................................... 74,100 4,251,488
--------------
$ 6,096,488
--------------
Electrical Equipment -- 1.3%
Emerson Electric Co. ................................................... 355,400 $21,457,275
General Electric Co. ................................................... 12,400 657,200
--------------
$22,114,475
--------------
Electronics
Agilent Technologies, Inc.* ............................................ 4,080 $ 300,900
--------------
Energy -- 1.0%
Devon Energy Corp. ..................................................... 255,000 $14,327,812
Sierra Pacific Resources Co. ........................................... 205,920 2,586,870
--------------
$16,914,682
--------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Entertainment -- 1.1%
Disney (Walt) Co. ...................................................... 31,400 $ 1,218,713
Harrah's Entertainment, Inc.* .......................................... 281,000 5,883,437
Time Warner, Inc. ...................................................... 115,300 8,762,800
Viacom, Inc., "B"* ..................................................... 46,655 3,181,288
--------------
$19,046,238
--------------
Financial Institutions -- 1.8%
Citigroup, Inc. ........................................................ 201,800 $12,158,450
Edwards (A.G.), Inc. ................................................... 204,450 7,973,550
Freddie Mac Corp. ...................................................... 113,700 4,604,850
Merrill Lynch & Co., Inc. .............................................. 54,600 6,279,000
--------------
$31,015,850
--------------
Financial Services -- 1.7%
AXA Financial, Inc. .................................................... 422,530 $14,366,020
Mellon Financial Corp. ................................................. 418,600 15,252,737
--------------
$29,618,757
--------------
Food and Beverage Products -- 1.6%
Archer-Daniels-Midland Co. ............................................. 499,434 $ 4,900,696
General Mills, Inc. .................................................... 137,000 5,240,250
Hershey Foods Corp. .................................................... 54,500 2,643,250
McCormick & Co., Inc. .................................................. 70,100 2,278,250
Quaker Oats Co. ........................................................ 150,800 11,328,850
--------------
$26,391,296
--------------
Forest and Paper Products -- 0.2%
Bowater, Inc. .......................................................... 63,800 $ 2,815,175
--------------
Gas -- 0.3%
Sunoco, Inc. ........................................................... 195,200 $ 5,746,200
--------------
Health Care -- 0.2%
HCA Healthcare Co.* .................................................... 110,000 $ 3,341,250
--------------
Insurance -- 5.8%
Allstate Corp. ......................................................... 65,800 $ 1,464,050
American International Group, Inc. ..................................... 12,500 1,468,750
Chubb Corp. ............................................................ 78,900 4,852,350
CIGNA Corp. ............................................................ 68,600 6,414,100
Hartford Financial Services
Group, Inc. .......................................................... 431,900 24,159,406
Jefferson Pilot Corp. .................................................. 85,100 4,802,831
Lincoln National Corp. ................................................. 392,000 14,161,000
Marsh & McLennan Cos., Inc. ............................................ 136,600 14,266,163
MetLife, Inc.* ......................................................... 161,530 3,402,226
ReliaStar Financial Corp. .............................................. 146,300 7,671,606
St. Paul Cos., Inc. .................................................... 449,100 15,325,537
--------------
$97,988,019
--------------
Machinery -- 1.2%
Deere & Co., Inc. ...................................................... 334,400 $12,372,800
Ingersoll Rand Co. ..................................................... 147,200 5,924,800
W.W. Grainger, Inc. .................................................... 86,400 2,662,200
--------------
$20,959,800
--------------
Medical and Health Products -- 1.6%
American Home Products Corp. ........................................... 230,930 $13,567,137
Baxter International, Inc. ............................................. 32,300 2,271,094
Bristol-Myers Squibb Co. ............................................... 183,000 10,659,750
--------------
$26,497,981
--------------
Metals and Minerals -- 0.1%
Alcoa, Inc. ............................................................ 65,800 $ 1,908,200
--------------
Oil Services -- 2.7%
Halliburton Co. ........................................................ 430,500 $20,314,219
Noble Drilling Corp.* .................................................. 600,800 24,745,450
--------------
$45,059,669
--------------
</TABLE>
28-TRS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Oils -- 4.7%
Apache Corp. ........................................................... 135,900 $ 7,992,619
Chevron Corp. .......................................................... 36,400 3,087,175
Coastal Corp. .......................................................... 524,000 31,898,500
Conoco, Inc., "A" ...................................................... 395,400 8,698,800
Exxon Mobil Corp. ...................................................... 293,618 23,049,013
Transocean Sedco Forex, Inc. ........................................... 105,000 5,610,937
--------------
$ 80,337,044
--------------
Photographic Products
Eastman Kodak Co. ...................................................... 12,400 $ 737,800
--------------
Printing and Publishing -- 1.8%
Gannett Co., Inc. ...................................................... 215,300 $ 12,877,631
New York Times Co. ..................................................... 291,000 11,494,500
Tribune Co. ............................................................ 187,400 6,559,000
--------------
$ 30,931,131
--------------
Railroads -- 0.3%
Burlington Northern Santa Fe
Railway Co. .......................................................... 210,300 $ 4,823,756
--------------
Real Estate Investment Trusts -- 0.5%
Equity Residential Properties Trust .................................... 168,500 $ 7,751,000
--------------
Restaurants and Lodging -- 0.2%
McDonald's Corp. ....................................................... 86,200 $ 2,839,213
--------------
Supermarkets -- 1.1%
Kroger Co.* ............................................................ 402,700 $ 8,884,569
Safeway, Inc.* ......................................................... 223,700 10,094,462
--------------
$ 18,979,031
--------------
Telecommunications -- 3.3%
Alltel Corp. ........................................................... 66,700 $ 4,131,231
AT&T Corp. ............................................................. 99,400 3,143,525
Bell Atlantic Corp. .................................................... 31,600 1,605,675
GTE Corp. .............................................................. 434,600 27,053,850
SBC Communications, Inc. ............................................... 385,006 16,651,510
Sprint Corp. ........................................................... 61,000 3,111,000
--------------
$ 55,696,791
--------------
Telecommunications and Cable -- 0.3%
Comcast Corp., "A"* .................................................... 111,500 $ 4,515,750
--------------
Utilities -- Electric -- 1.6%
CMS Energy Corp. ....................................................... 94,700 $ 2,095,238
CP&L Energy, Inc.* ..................................................... 222,200 7,096,512
Duke Energy Corp. ...................................................... 169,000 9,527,375
Peco Energy Co. ........................................................ 65,000 2,620,312
Pinnacle West Capital Corp. ............................................ 164,000 5,555,500
--------------
$ 26,894,937
--------------
Utilities -- Gas -- 2.2%
Columbia Energy Group .................................................. 85,200 $ 5,591,250
El Paso Energy Corp. ................................................... 68,100 3,468,844
National Fuel Gas Co. .................................................. 239,000 11,651,250
Washington Gas Light Co. ............................................... 44,700 1,075,594
Williams Cos., Inc. .................................................... 393,300 16,395,693
--------------
$ 38,182,631
--------------
Total U.S. Stocks ...................................................................... $784,851,861
--------------
Foreign Stocks -- 7.3%
France -- 0.1%
Axa (Insurance) ........................................................ 12,600 $ 1,984,614
--------------
Japan -- 0.3%
Nippon Telegraph & Telephone
Corp., ADR
(Utilities -- Telephone) ............................................. 73,000 $ 4,991,375
--------------
Netherlands -- 3.5%
Akzo Nobel N.V. (Chemicals) ............................................ 478,780 $ 20,338,434
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
Foreign Stocks -- continued
Netherlands -- continued
<S> <C> <C>
ING Groep N.V.
(Financial Services)* ................................................ 266,644 $ 18,021,319
Royal Dutch Petroleum Co., ADR
(Oils) ............................................................... 328,600 20,229,438
--------------
$ 58,589,191
--------------
Switzerland -- 0.6%
Nestle S.A. (Food and Beverage
Products) ............................................................ 5,250 $ 10,510,946
--------------
United Kingdom -- 2.8%
BP Amoco PLC, ADR (Oils) ............................................... 457,920 $ 25,901,100
Diageo PLC (Food and Beverage
Products)* ........................................................... 1,157,539 10,382,803
HSBC Holdings PLC (Banks and
Credit Cos.) ......................................................... 683,500 7,810,832
SmithKline-Beecham PLC, ADR
(Medical and Health Products) ........................................ 49,200 3,207,225
--------------
$ 47,301,960
--------------
Total Foreign Stocks ................................................................... $123,378,086
--------------
Total Stocks
(Identified Cost, $850,942,252) ...................................................... $908,229,947
--------------
Bonds -- 40.3%
Principal Amount
(000 Omitted)
U.S. Bonds -- 40.1%
Airlines -- 0.2%
Jet Equipment Trust, 9.41s, 2010## ..................................... $ 982 $ 1,053,080
Jet Equipment Trust, 8.64s, 2012## ..................................... 883 864,458
Jet Equipment Trust, 11.44s, 2014## .................................... 1,200 1,327,680
Jet Equipment Trust, 10.69s, 2015## .................................... 1,000 1,086,960
--------------
$ 4,332,178
--------------
Automotive -- 2.5%
DaimlerChrysler, 6.63s, 2001 ........................................... $ 5,052 $ 5,017,950
DaimlerChrysler, 7.75s, 2003 ........................................... 2,690 2,711,762
DaimlerChrysler, 7.4s, 2005 ............................................ 4,893 4,854,296
Ford Credit Auto Owner Trust,
6.2s, 2002 ........................................................... 3,496 3,479,757
Ford Motor Co., 8.9s, 2032 ............................................. 2,140 2,340,218
Ford Motor Credit Co., 6.7s, 2004 ...................................... 11,486 11,128,326
Ford Motor Credit Co., 7.75s, 2007 ..................................... 5,108 5,064,378
Ford Motor Credit Co., 5.8s, 2009 ...................................... 1,786 1,553,802
Ford Motor Credit Co., 7.875s, 2010 5,463 5,462,016
General Motors Corp., 9.4s, 2021 ....................................... 1,187 1,352,646
--------------
$ 42,965,151
--------------
Banks and Credit Companies -- 1.7%
Beaver Valley Funding Corp. II,
9s, 2017 ............................................................. $ 7,404 $ 7,550,377
Capital One Financial Corp.,
7.25s, 2003 .......................................................... 1,500 1,464,576
Chase Manhattan Corp.,
6.75s, 2004 .......................................................... 3,798 3,699,936
Colonial Capital II, 8.92s, 2027 ....................................... 1,115 933,098
Fleet National Bank, 5.75s, 2009 ....................................... 1,360 1,175,339
Midamerican Funding LLC,
5.85s, 2001 .......................................................... 2,810 2,779,562
Midamerican Funding LLC,
6.927s, 2029 ......................................................... 3,553 2,957,023
Midland Cogeneration Venture
Corp., 10.33s, 2002 .................................................. 342 348,868
Midland Funding Corp.,
10.33s, 2002 ......................................................... 2,236 2,280,640
Midland Funding Corp. II, "A",
11.75s, 2005 ......................................................... 1,125 1,259,347
</TABLE>
29-TRS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Banks and Credit Companies -- continued
Riggs National Corp., 9.65s, 2009 ...................................... $ 850 $ 841,500
Socgen Real Estate Co.,
7.64s, 2049## ........................................................ 1,137 1,040,594
State Street Corp., 7.65s, 2010 ........................................ 896 894,423
Washington Mutual Capital I,
8.375s, 2027 ......................................................... 1,300 1,152,632
--------------
$28,377,915
--------------
Conglomerates -- 0.3%
Eaton Corp., 6.95s, 2004 ............................................... $ 1,267 $ 1,239,836
News America Holdings, Inc.,
6.625s, 2008 ......................................................... 234 214,554
News America Holdings, Inc.,
6.703s, 2034 ......................................................... 3,822 3,636,939
--------------
$ 5,091,329
--------------
Corporate Asset Backed -- 4.1%
American Airlines Pass-Through
Trust, 6.855s, 2009 .................................................. $ 1,708 $ 1,667,127
Banamex Credit Card Merchant
Voucher, 6.25s, 2003## ............................................... 1,464 1,430,590
BCF LLC, 7.75s, 2026## ................................................. 468 254,216
Bear Stearns Commercial Mortgage
Securities, Inc., 6.8s, 2008 ......................................... 3,388 3,317,755
Beneficial Home Equity Loan Trust,
6.731s, 2037 ......................................................... 4,498 4,475,143
Chase Commercial Mortgage
Securities Corp., 6.39s, 2008 ........................................ 2,480 2,317,871
Chase Commercial Mortgage
Securities Corp., 7.543s, 2009 ....................................... 977 976,980
Commerce 2000, 6.93s, 2011 ............................................. 3,125 3,125,000
Commerce 2000, 6.95s, 2011 ............................................. 2,087 2,088,766
Contimorgage Home Equity,
6.13s, 2013 .......................................................... 2,883 2,863,140
Continental Airlines Pass-Through
Trust, Inc., 9.5s, 2013 .............................................. 754 765,411
Continental Airlines Pass-Through
Trust, Inc., 6.648s, 2017 ............................................ 3,439 3,111,354
Continental Airlines Pass-Through
Trust, Inc., 6.545s, 2019 ............................................ 740 666,532
Continental Airlines Pass-Through
Trust, Inc., 7.256s, 2020 ............................................ 1,885 1,751,204
Criimi Mae Commercial Mortgage
Trust, 7s, 2011 ...................................................... 1,630 1,414,025
Criimi Mae Corp., 6.701s, 2008 ......................................... 1,272 1,139,632
CWMBS, Inc. Pass-Through Trust,
8s, 2030 ............................................................. 5,259 5,231,062
GS Mortgage Securities Corp. II,
6.06s, 2030 .......................................................... 5,316 5,083,333
Istar Receivables Trust, 6.87s, 2003 ................................... 1,687 1,688,339
Merrill Lynch Mortgage Investors,
Inc., 8.434s, 2022+ .................................................. 514 491,031
Morgan (JP) Commercial Mortgage
Finance Corp., 6.903s, 2010 .......................................... 1,795 1,796,193
Morgan (JP) Commercial Mortgage
Finance Corp., 6.613s, 2030 .......................................... 1,179 1,120,288
Northwest Airlines, Inc., 6.81s, 2020 ................................. 876 794,075
Residential Accredit Loans, Inc.,
6.75s, 2028 .......................................................... 6,300 5,931,828
Residential Accredit Loans, Inc.,
7s, 2028 ............................................................. 3,000 2,826,428
Time Warner Pass-Through Asset
Trust, 6.1s, 2001## .................................................. 13,202 12,949,974
--------------
$69,277,297
--------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Electrical Equipment -- 0.2%
American Tower Corp., 5s, 2010 ......................................... $ 2,870 $ 2,905,875
--------------
Entertainment -- 0.8%
Hearst Argyle Television, Inc.,
7.5s, 2027 ........................................................... $ 4,364 $ 3,681,427
Time Warner Entertainment Co. LP,
8.375s, 2033 ......................................................... 2,155 2,172,563
Time Warner, Inc., 10.15s, 2012 ........................................ 5,186 5,951,661
Time Warner, Inc., 9.15s, 2023 ......................................... 832 903,336
Time Warner, Inc., 6.625s, 2029 ........................................ 1,325 1,093,695
--------------
$13,802,682
--------------
Finance -- 0.1%
Countrywide Funding Corp.,
6.25s, 2009 .......................................................... $ 1,885 $ 1,644,550
--------------
Financial Institutions -- 3.6%
Associates Corp., 5.75s, 2003 .......................................... $ 3,774 $ 3,585,866
Associates Corp., 5.5s, 2004 ........................................... 9,995 9,280,657
AT&T Capital Corp., 6.25s, 2001 ........................................ 5,143 5,083,341
General Motors Acceptance Corp.,
6.75s, 2002 .......................................................... 3,642 3,580,050
General Motors Acceptance Corp.,
5.95s, 2003 .......................................................... 5,481 5,276,668
General Motors Acceptance Corp.,
7.625s, 2004 ......................................................... 6,125 6,137,924
Goldman Sachs Group LP,
5.9s, 2003 ........................................................... 3,400 3,272,194
GS Escrow Corp., 6.75s, 2001 ........................................... 5,982 5,811,423
Household Finance Corp.,
7.875s, 2007 ......................................................... 4,235 4,218,568
Merrill Lynch & Co., Inc.,
6.07s, 2004 .......................................................... 8,179 7,754,674
Salton Sea Funding Corp.,
7.37s, 2005 .......................................................... 1,199 1,152,669
Salton Sea Funding Corp.,
7.84s, 2010 .......................................................... 2,325 2,270,130
Salton Sea Funding Corp.,
8.3s, 2011 ........................................................... 627 630,185
Sunamerica Institutional,
5.75s, 2009 .......................................................... 2,804 2,445,621
United Companies Financial Corp.,
7.7s, 2004 ........................................................... 850 295,375
--------------
$60,795,345
--------------
Financial Services -- 2.1%
AIG Sunamerica Global Financing I,
7.4s, 2003 ........................................................... $ 4,233 $ 4,242,863
AIG Sunamerica Global Financing
II, 7.6s, 2005 ....................................................... 3,135 3,167,729
Bellsouth Capital Funding Corp.,
7.75s, 2010 .......................................................... 2,533 2,533,101
Deere (John) Capital Corp.,
7s, 2002 ............................................................. 1,816 1,804,069
General Electric Capital Corp.,
7.5s, 2005 ........................................................... 3,643 3,680,377
General Electric Capital Corp.,
8.7s, 2007 ........................................................... 2,250 2,420,091
General Electric Capital Corp.,
8.75s, 2007 .......................................................... 904 980,714
General Electric Capital Corp.,
8.85s, 2007 .......................................................... 1,325 1,441,613
General Electric Capital Corp.,
8.5s, 2008 ........................................................... 1,582 1,708,560
Morgan Stanley Group, Inc.,
7.125s, 2003 ......................................................... 3,170 3,149,680
</TABLE>
30-TRS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Financial Services -- continued
Sprint Capital Corp., 6.5s, 2001 ....................................... $4,994 $ 4,929,827
Sprint Capital Corp., 5.875s, 2004 ..................................... 6,453 6,057,883
Sprint Capital Corp., 6.9s, 2019 ....................................... 566 503,265
--------------
$36,619,772
--------------
Food and Beverage Products -- 0.8%
Nabisco, Inc., 6.375s, 2035 ............................................ $1,554 $ 1,389,416
Seagram (Joseph E) & Sons, Inc.,
5.79s, 2001 .......................................................... 3,668 3,616,465
Seagram (Joseph E) & Sons, Inc.,
6.4s, 2003 ........................................................... 5,950 5,694,983
Seagram (Joseph E) & Sons, Inc.,
7.5s, 2018 ........................................................... 3,171 3,033,315
--------------
$13,734,179
--------------
Forest and Paper Products -- 0.4%
Georgia-Pacific Corp., 9.95s, 2002 ..................................... $ 903 $ 934,930
Georgia-Pacific Corp., 9.875s, 2021 .................................... 2,825 2,964,329
Georgia-Pacific Corp., 9.5s, 2022 ...................................... 2,240 2,333,767
--------------
$ 6,233,026
--------------
Housing -- 0.1%
Residential Funding Mortgage
Securities, Inc., 7.66s, 2012 ........................................ $1,032 $ 1,029,662
--------------
Insurance -- 0.6%
Aflac, Inc., 6.5s, 2009 ................................................ $6,601 $ 5,973,707
Atlantic Mutual Insurance Co.,
8.15s, 2028 .......................................................... 3,331 2,625,527
Providian Capital I, 9.525s, 2027 ...................................... 2,706 2,123,182
--------------
$10,722,416
--------------
Oil Services -- 0.2%
Phillips Petroleum Co., 8.5s, 2005 ..................................... $1,968 $ 2,033,101
Ultramar Diamond Shamrock Corp.,
7.2s, 2017 ........................................................... 1,680 1,469,782
--------------
$ 3,502,883
--------------
Oils -- 0.1%
Occidental Petroleum Corp.,
6.4s, 2003 ........................................................... $2,700 $ 2,607,606
--------------
Printing and Publishing -- 0.1%
News America Holdings, Inc.,
7.3s, 2028 ........................................................... $2,340 $ 1,997,845
--------------
Railroads -- 0.2%
Union Pacific Corp., 5.78s, 2001 ....................................... $1,289 $ 1,259,159
Union Pacific Corp., 6.34s, 2003 ....................................... 1,896 1,817,923
--------------
$ 3,077,082
--------------
Retail -- 0.5%
Federated Department Stores, Inc.,
8.5s, 2003 ........................................................... $4,793 $ 4,836,952
Federated Department Stores, Inc.,
6.3s, 2009 ........................................................... 3,815 3,352,240
--------------
$ 8,189,192
--------------
Telecommunications -- 0.6%
TCI Communications Financing III,
9.65s, 2027 .......................................................... $5,766 $ 6,370,277
Telecomunicaciones de Puerto Rico,
Inc., 6.65s, 2006 .................................................... 1,716 1,623,840
WorldCom, Inc., 8.875s, 2006 ........................................... 1,600 1,658,976
--------------
$ 9,653,093
--------------
Telecommunications and Cable -- 0.1%
Belo Ah Corp., 7.75s, 2027 ............................................. $1,513 $ 1,282,222
--------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
U.S. Federal Agencies -- 5.9%
Federal Home Loan Bank -- 0.5%
Federal Home Loan Bank,
5.7s, 2009 ........................................................... $ 3,575 $ 3,256,611
Federal Home Loan Bank,
6.5s, 2028 ........................................................... 5,060 4,775,652
--------------
$ 8,032,263
--------------
Federal National Mortgage
Association -- 5.4%
FNMA, 5.722s, 2009 ..................................................... $ 5,090 $ 4,563,503
FNMA, 6.5s, 2027 - 2029 ................................................ 35,262 33,326,531
FNMA, 6.625s, 2009 ..................................................... 3,045 2,941,744
FNMA, 7s, 2029 - 2030 .................................................. 19,801 19,117,899
FNMA, 7.125s, 2010 ..................................................... 15,765 15,826,641
FNMA, 7.25s, 2010 ...................................................... 11,685 11,802,668
FNMA, 7.5s, 2028 ....................................................... 3,750 3,697,238
--------------
$ 91,276,224
--------------
Total U.S. Federal Agencies ........................................................ $ 99,308,487
--------------
U.S. Government Guaranteed -- 10.0%
Government National Mortgage
Association -- 4.2%
GNMA, 7s, 2027 - 2028 .................................................. $11,427 $ 11,109,991
GNMA, 7.5s, 2024 - 2028 ................................................ 31,057 30,844,814
GNMA, 8s, 2022 - 2030 .................................................. 28,514 28,852,020
--------------
$ 70,806,825
--------------
U.S. Treasury Obligations -- 5.8%
U.S. Treasury Bonds, 6.125s, 2029 ...................................... $28,476 $ 28,760,760
U.S. Treasury Bonds, 9.875s, 2015 ...................................... 28,456 38,584,629
U.S. Treasury Notes, 4.25s, 2010 ....................................... 18,824 19,094,998
U.S. Treasury Notes, 6.5s, 2010 ........................................ 12,630 13,062,198
--------------
$ 99,502,585
--------------
Total U.S. Government Guaranteed ................................................... $170,309,410
--------------
Utilities -- Electric -- 3.8%
CalEnergy Co., Inc., 7.23s, 2005 ....................................... $ 5 $ 4,862
CE Generation LLC, 7.416s, 2018 ........................................ 1,220 1,092,376
Cleveland Electric Illuminating Co.,
7.67s, 2004 .......................................................... 4,922 4,849,893
Cleveland Electric Illuminating Co.,
7.88s, 2017 .......................................................... 1,867 1,756,866
Cleveland Electric Illuminating Co.,
9s, 2023 ............................................................. 1,426 1,441,757
CMS Energy Corp., 8.375s, 2003 ......................................... 1,353 1,308,003
CMS Energy Corp., 8s, 2011 ............................................. 2,132 2,099,419
Commonwealth Edison Company,
8.5s, 2022 ........................................................... 3,821 3,801,284
Connecticut Light & Power Co.,
7.875s, 2001 ......................................................... 388 389,245
Connecticut Light & Power Co.,
8.59s, 2003 .......................................................... 3,000 2,979,120
Connecticut Light & Power Co.,
7.875s, 2024 ......................................................... 2,500 2,499,200
Entergy Mississippi, Inc., 6.2s, 2004 1,620 1,536,457
GGIB Funding Corp., 7.43s, 2011 ........................................ 1,100 1,045,663
Gulf States Utilities Co., 8.25s, 2004 ................................. 816 823,156
Illinois Power Special Purpose Trust,
5.26s, 2003 .......................................................... 1,149 1,135,623
Niagara Mohawk Power Corp.,
7.25s, 2002 .......................................................... 2,358 2,330,346
Niagara Mohawk Power Corp.,
7.375s, 2003 ......................................................... 542 534,428
Niagara Mohawk Power Corp.,
7.75s, 2006 .......................................................... 5,437 5,420,852
</TABLE>
31-TRS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Utilities -- Electric -- continued
Niagara Mohawk Power Corp.,
8.77s, 2018 .......................................................... $ 2,935 $ 3,023,226
Niagara Mohawk Power Corp.,
8.5s, 2023 ........................................................... 1,400 1,392,692
North Atlantic Energy, 9.05s, 2002 ..................................... 558 562,084
Northeast Utilities, 8.58s, 2006 ....................................... 2,065 2,075,932
NRG Energy South Central,
8.962s, 2016 ......................................................... 1,941 1,947,793
NRG Energy, Inc., 8.7s, 2005 ........................................... 1,340 1,341,829
NSTAR Co., 8s, 2010 .................................................... 1,715 1,723,318
PP&L, Inc., 6.125s, 2001 ............................................... 3,000 2,968,920
Texas Utilities Co., 5.94s, 2001 ....................................... 1,472 1,440,293
Toledo Edison Co., 9.5s, 2001 .......................................... 340 343,907
Toledo Edison Co., 7.875s, 2004 ........................................ 2,350 2,295,668
TXU Eastern Funding Co.,
6.15s, 2002 .......................................................... 1,094 1,059,987
Utilicorp United, Inc., 7s, 2004 ....................................... 1,012 966,591
Waterford 3 Funding Entergy Corp.,
8.09s, 2017 .......................................................... 3,201 3,039,762
Wisconsin Electric Power Co.,
6.625s, 2002 ......................................................... 6,105 6,003,352
--------------
$ 65,233,904
--------------
Utilities -- Gas -- 0.9%
Coastal Corp., 6.2s, 2004 .............................................. $ 4,446 $ 4,239,528
Coastal Corp., 7.75s, 2010 ............................................. 4,035 4,007,844
Enron Corp., 7.875s, 2003 .............................................. 1,404 1,412,522
Tennessee Gas Pipeline Co.,
7.625s, 2037 ......................................................... 2,882 2,690,520
Texas Gas Transmission Corp.,
7.25s, 2027 .......................................................... 1,700 1,562,506
Williams Gas Pipelines Central, Inc.,
7.375s, 2006 ......................................................... 1,087 1,058,216
--------------
$ 14,971,136
--------------
Utilities -- Telephone -- 0.2%
U. S. West Communications, Inc.,
7.625s, 2003 ......................................................... $ 3,029 $ 3,020,943
--------------
Total U.S. Bonds ................................................................... $680,685,180
--------------
Foreign Bonds -- 0.2%
Canada -- 0.2%
AT&T Canada, Inc., 0s to 2003,
9.95s to 2008,
(Telecommunications) ................................................. $ 639 $ 518,306
Gulf Canada Resources Ltd.,
9.25s, 2004 (Oils) ................................................... 2,445 2,455,244
--------------
$ 2,973,550
--------------
Norway
Union Bank of Norway, 7.35s, 2049
(Banks and Credit Cos.)## ............................................ $ 727 $ 708,745
--------------
Total Foreign Bonds ................................................................. $ 3,682,295
--------------
Total Bonds
(Identified Cost, $701,267,779) ................................................... $684,367,475
--------------
Convertible Preferred Stocks -- 1.4%
Shares
Containers -- 0.1%
Owens-Illinois, Inc., 4.75% ............................................ 49,600 $ 1,103,600
--------------
Insurance -- 0.4%
Lincoln National Corp., 7.75% .......................................... 322,000 $ 6,520,500
--------------
Utilities -- Electric -- 0.6%
CMS Energy Corp., 8.75% ................................................ 173,000 $ 4,844,000
NiSource, Inc., 7.75% .................................................. 56,000 2,215,500
TXU Corp., 9.25% ....................................................... 92,300 3,588,162
--------------
$ 10,647,662
--------------
</TABLE>
Convertible Preferred Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Utilities -- Gas -- 0.3%
El Paso Energy Capital Trust I,
4.75% ............................................................... 76,500 $ 4,924,689
--------------
Total Convertible Preferred Stocks
(Identified Cost, $27,857,558) ............ $ 23,196,451
--------------
Convertible Bonds -- 0.7%
Principal Amount
(000 Omitted)
Business Machines -- 0.1%
Xerox Corp., 0s, 2018 ................................................. $ 3,630 $ 1,887,600
--------------
Conglomerates -- 0.6%
Loews Corp., 3.125s, 2007 ............................................. $12,500 $ 10,406,250
--------------
Total Convertible Bonds
(Identified Cost, $12,958,973) ................................................... $ 12,293,850
--------------
Right -- 0.2%
Shares
CVS Corp.
(Identified Cost, $3,326,899) ....................................... 45,000 $ 3,186,562
--------------
Short-Term Obligations -- 3.5%
Principal Amount
(000 Omitted)
American Express Credit Corp.,
due 7/03/00 ......................................................... $30,825 $ 30,813,218
Federal Home Loan Mortgage
Corp., due 7/03/00 - 7/05/00 ........................................ 28,164 28,150,996
--------------
Total Short-Term Obligations,
at Amortized Cost ................................................................. $ 58,964,214
--------------
Total Investments
(Identified Cost,$1,655,317,675) .................................................. $1,690,238,499
--------------
Other Assets,
Less Liabilities -- 0.3% 5,430,962
--------------
Net Assets -- 100.0% ................................................................ $1,695,669,461
--------------
</TABLE>
See portfolio footnotes and notes to financial statements.
32-TRS
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Utilities Series
Stocks -- 73.3%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- 51.6%
Business Services -- 0.2%
Adelphia Business Solutions* ........................................... 52,000 $ 1,205,750
------------
Cellular Telephones -- 0.7%
Voicestream Wireless Corp.* ............................................ 29,200 $ 3,395,869
------------
Computer Software -- Systems -- 0.4%
Digex, Inc.* ........................................................... 26,300 $ 1,786,756
StorageNetworks, Inc.* ................................................. 950 85,738
------------
$ 1,872,494
------------
Electrical Equipment
Capstone Turbine Corp.* ................................................ 3,380 $ 152,311
------------
Electric and Gas Utility
Revenue -- 0.2%
SCANA Corp. ............................................................ 47,548 $ 1,147,095
------------
Energy -- 2.3%
Dynegy, Inc. ........................................................... 99,700 $ 6,810,756
NRG Energy, Inc.* ...................................................... 203,370 3,711,503
Sierra Pacific Resources Co. ........................................... 118,500 1,488,656
------------
$12,010,915
------------
Internet -- 0.1%
VIA Net.Works, Inc.* ................................................... 27,520 $ 424,840
------------
Metals and Minerals -- 0.1%
USEC, Inc. ............................................................. 83,200 $ 384,800
------------
Oils -- 2.8%
Coastal Corp. .......................................................... 231,400 $14,086,475
------------
Special Products and Services -- 0.8%
MCN Energy Group, Inc. ................................................. 186,900 $ 3,994,987
------------
Telecommunications -- 14.3%
Allegiance Telecom, Inc.* .............................................. 55,950 $ 3,580,800
Alltel Corp. ........................................................... 192,700 11,935,356
AT&T Corp. ............................................................. 91,040 2,537,740
BroadWing, Inc.* ....................................................... 178,767 4,636,769
Focal Communications Corp.* ............................................ 11,300 403,975
GTE Corp. .............................................................. 237,500 14,784,375
Intermedia Communications, Inc.* ....................................... 2,200 65,450
Metromedia Fiber Network, Inc.,
"A"* ................................................................. 104,184 4,134,802
MGC Communications, Inc.* .............................................. 5,344 320,306
Nextlink Communications, Inc., "A"* .................................... 41,800 1,585,788
NTL, Inc.* ............................................................. 78,270 4,686,416
Qwest Communications
International, Inc.* ................................................. 13,800 685,688
SBC Communications, Inc. ............................................... 328,757 14,218,740
Sprint Corp. ........................................................... 21,300 1,086,300
Time Warner Telecom, Inc.* ............................................. 28,000 1,802,500
UnitedGlobalCom, Inc.* ................................................. 38,000 1,776,500
Williams Communications
Group, Inc.* ......................................................... 87,600 2,907,225
Winstar Communications, Inc.* .......................................... 53,650 1,817,394
------------
$72,966,124
------------
Telecommunications and Cable -- 0.5%
Comcast Corp., "A"* .................................................... 65,200 $ 2,640,600
------------
Utilities -- Electric -- 17.4%
AES Corp.* ............................................................. 257,200 $11,734,750
Atmos Energy Corp. ..................................................... 81,800 1,431,500
Calpine Corp.* ......................................................... 25,200 1,656,900
CMS Energy Corp. ....................................................... 340,536 7,534,359
Constellation Energy Group, Inc. ....................................... 83,700 2,725,481
Duke Energy Corp. ...................................................... 159,700 9,003,088
El Paso Electric Co.* .................................................. 190,000 2,125,625
FPL Group, Inc. ........................................................ 42,900 2,123,550
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Utilities -- Electric -- continued
Keyspan Corp. .......................................................... 331,500 $ 10,193,625
Montana Power Co. ...................................................... 101,300 3,577,156
Northeast Utilities .................................................... 95,400 2,074,950
Peco Energy Co. ........................................................ 312,800 12,609,750
Pinnacle West Capital Corp. ............................................ 268,100 9,081,888
Public Service Enterprise Group ........................................ 76,200 2,638,425
Reliant Energy, Inc. ................................................... 202,500 5,986,406
Unicom Corp. ........................................................... 107,200 4,147,300
------------
$ 88,644,753
------------
Utilities -- Gas -- 11.8%
Columbia Energy Group .................................................. 145,850 $ 9,571,406
El Paso Energy Corp. ................................................... 220,200 11,216,438
Energen Corp. .......................................................... 103,100 2,248,869
Enron Corp. ............................................................ 139,500 8,997,750
Kinder Morgan, Inc. .................................................... 268,400 9,276,575
National Fuel Gas Co. .................................................. 29,700 1,447,875
NICOR, Inc. ............................................................ 74,400 2,427,300
Williams Cos., Inc. .................................................... 353,100 14,719,856
------------
$ 59,906,069
------------
Total U.S. Stocks ..................................................................... $262,833,082
------------
Foreign Stocks -- 21.7%
Argentina -- 0.1%
IMPSAT Fiber Networks, Inc.
(Telecommunications)* ................................................ 35,360 $ 592,280
------------
Australia -- 0.7%
Cable & Wireless Optus Ltd.
(Telecommunications) ................................................. 1,203,200 $ 3,581,980
------------
Bermuda -- 0.7%
FLAG Telecom Holdings Ltd.
(Telecommunications)* ................................................ 31,730 $ 471,984
Global Crossing Ltd.
(Telecommunications)* ................................................ 122,700 3,228,543
------------
$ 3,700,527
------------
Brazil -- 1.2%
Celular CRT Participacoes,
Preferred (Telecommunications) ....................................... 1,556 $ 681,819
Companhia Electricas est Rio de
Janeiro (Utilities -- Electric)* ..................................... 2,520,100 978,408
Companhia Riogrand
Telecomunicacoes, Preferred "A"
(Utilities -- Telephone) ............................................. 1,556 526,468
Espirito Santo Centrais Eletricas
S.A. (Utilities -- Electric) ......................................... 5,400 164,755
Tele Centro Oeste Celular
Participacoes S.A., ADR
(Telecommunications) ................................................. 42,500 510,000
Tele Centro Sul Participacoes S.A.,
ADR (Telecommunications)* ............................................ 11,600 847,525
Telecomunicacoes de Sao Paulo
S.A. (Telecommunications)* ........................................... 91,500 2,534,607
------------
$ 6,243,582
------------
Canada -- 3.8%
AT&T Canada, Inc.
(Telecommunications)* ................................................ 44,400 $ 1,473,525
BCE, Inc. (Telecommunications) ......................................... 115,800 2,757,488
Nortel Networks Corp.
(Telecommunications) ................................................. 181,849 12,411,194
Telesystem International Wireless,
Inc. (Telecommunications)* ........................................... 138,100 2,554,850
------------
$ 19,197,057
------------
</TABLE>
33-UTS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Finland -- 0.5%
Sonera Oyj (Telecommunications) .............................. 49,500 $ 2,256,317
------------
France -- 0.6%
Vivendi S.A. (Business Services) ............................. 36,400 $ 3,212,401
------------
Hong Kong -- 0.5%
China Telecom Ltd.
(Telecommunications) ....................................... 264,000 $ 2,328,416
------------
Hungary -- 0.7%
Magyar Tavkozlesi Rt., ADR
(Telecommunications)* ...................................... 98,600 $ 3,395,538
------------
Israel -- 0.4%
Partner Communications Co. Ltd.,
ADR (Cellular Telephones)* ................................. 207,950 $ 1,975,525
------------
Italy -- 0.6% Telecom Italia S.p.A.
(Telecommunications) ....................................... 236,100 $ 3,245,488
------------
Japan -- 1.6%
Nippon Telegraph & Telephone Co.
(Utilities -- Telephone) ................................... 216 $ 2,871,041
NTT Mobile Communications
Network, Inc.
(Telecommunications) ....................................... 99 2,678,450
Tokyo Gas Co. Ltd. (Gas) ..................................... 878,000 2,466,478
------------
$ 8,015,969
------------
Mexico -- 1.8%
Grupo Iusacell S.A. de C.V., ADR
(Telecommunications)* ...................................... 188,060 $ 2,938,438
Telefonos de Mexico S.A., ADR
(Utilities -- Telephone) ................................... 106,610 6,090,096
------------
$ 9,028,534
------------
Netherlands -- 1.9%
Completel Europe N.V.
(Telecommunications)* ...................................... 131,650 $ 1,633,750
Completel Europe N.V.
(Telecommunications)* ...................................... 36,880 368,800
KPNQwest N.V. (Internet)* .................................... 24,700 971,439
Libertel N.V. (Cellular
Telecommunications)* ....................................... 134,100 2,041,790
United Pan-Europe Communications
N.V. (Telecommunications and
Cable)* .................................................... 98,500 2,575,430
Versatel Telecommunications N.V.
(Telecommunications)* ...................................... 54,250 2,278,631
------------
$ 9,869,840
------------
Spain -- 3.4%
Endesa S.A., ADR
(Utilities -- Electric) .................................... 215,200 $ 4,168,174
Telefonica de Espana S.A., ADR
(Telecommunications) ....................................... 113,724 7,285,444
Telefonica S.A.
(Telecommunications)* ...................................... 72,400 1,555,043
Union Electrica Fenosa S.A.
(Utilities -- Electric) .................................... 225,800 4,084,648
------------
$17,093,309
------------
Sweden -- 0.3%
Tele1 Europe Holdings AB
(Telecommunications)* ...................................... 135,180 $ 1,656,204
Tele1 Europe Holdings AB, ADR
(Telecommunications)* ...................................... 6,800 82,025
------------
$ 1,738,229
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
United Kingdom -- 2.9%
Cable & Wireless Communications
PLC, ADR (Telecommunications)* 206,732 $ 3,499,146
Energis PLC (Telecommunications)* 73,300 2,747,449
Independent Energy Holdings PLC,
ADR (Utilities -- Electric) ................................ 60,200 500,412
Vodafone AirTouch PLC
(Telecommunications)* ...................................... 1,983,748 8,011,652
------------
$14,758,659
------------
Total Foreign Stocks ............................................................. $110,233,651
------------
Total Stocks (Identified Cost, $366,044,094) ..................................... $373,066,733
------------
Bonds -- 5.6%
Principal Amount
(000 Omitted)
U.S. Bonds -- 5.1%
Banks and Credit Companies -- 0.4%
Beaver Valley Funding Corp. II,
9s, 2017 ................................................... $ 250 $ 254,943
Midamerican Funding LLC,
5.85s, 2001 ................................................ 874 864,533
Midamerican Funding LLC,
6.927s, 2029 ............................................... 280 233,033
Midland Funding Corp.,
10.33s, 2002 ............................................... 409 417,391
------------
$ 1,769,900
------------
Energy -- 0.1%
Ocean Energy, Inc., 8.875s, 2007 ............................. 210 $ 208,950
------------
Financial Institutions -- 0.1%
Salton Sea Funding Corp.,
7.84s, 2010 ................................................ 500 $ 488,200
------------
Financial Services -- 0.3%
Bellsouth Capital Funding Corp.,
7.75s, 2010 ................................................ 396 $ 396,016
General Electric Capital Corp.,
7.375s, 2010 ............................................... 886 896,685
Sprint Capital Corp., 6.9s, 2019 ............................. 320 284,531
------------
$ 1,577,232
------------
Insurance
GE Global Insurance Holdings
Corp., 7.75s, 2030 ......................................... 179 $ 177,924
------------
Oil Services
Valero Energy Corp., 8.75s, 2030 ............................. 162 $ 165,450
------------
Telecommunications -- 0.6%
Intermedia Communications, Inc.,
12.25s, 2009 ............................................... 3,075 $ 1,814,250
Sprint Capital Corp., 7.625s, 2002 ........................... 350 349,752
Sprint Spectrum LP, 11s, 2006 ................................ 372 407,016
Telecomunicaciones de Puerto Rico,
Inc., 6.65s, 2006 .......................................... 72 68,133
Telecomunicaciones de Puerto Rico,
Inc., 6.8s, 2009 ........................................... 175 162,069
TXU Eastern Funding Co.,
6.75s, 2009 ................................................ 362 324,602
------------
$ 3,125,822
------------
U.S. Federal Agencies -- 0.3%
Federal Home Loan Mortgage Corporation
Federal Home Loan Mortgage
Corp., 5s, 2004 ............................................ 155 $ 145,191
------------
Federal National Mortgage
Association -- 0.3%
FNMA, 7s, 2029 ............................................... 504 $ 486,476
FNMA, 7.125s, 2010 ........................................... 507 508,982
</TABLE>
34-UTS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Federal National Mortgage
Association -- continued
FNMA, 7.25s, 2010 ...................................................... $ 454 $ 458,572
------------
$ 1,454,030
------------
Total U.S. Federal Agencies ......................................................... $ 1,599,221
------------
U.S. Government Guaranteed -- 2.9%
Government National Mortgage
Association -- 0.5%
GNMA, 7s, 2027 - 2028 .................................................. 394 $ 382,732
GNMA, 7.5s, 2025 - 2028 ................................................ 1,381 1,371,091
GNMA, 8s, 2025 - 2030 .................................................. 943 953,805
------------
$ 2,707,628
------------
U.S. Treasury Obligations -- 2.4%
U.S. Treasury Bonds, 0s, 2023 .......................................... 8,071 $ 2,041,801
U.S. Treasury Bonds, 6.125s, 2029 ...................................... 733 740,330
U.S. Treasury Bonds, 10.375s, 2009 7,860 9,000,958
U.S. Treasury Notes, 6.5s, 2010 ........................................ 239 247,179
------------
$12,030,268
------------
Total U.S. Government Guaranteed .................................................... $14,737,896
------------
Utilities -- Electric -- 0.7%
CMS Panhandle Holding Co.,
6.5s, 2009 ........................................................... 300 $ 271,008
Connecticut Light & Power Co.,
8.59s, 2003 .......................................................... 250 248,260
Detroit Edison Co., 7.5s, 2005 ......................................... 932 937,729
Illinois Power Special Purpose Trust,
5.26s, 2003 .......................................................... 412 407,680
Niagara Mohawk Power Corp.,
7.75s, 2006 .......................................................... 565 563,322
Niagara Mohawk Power Corp.,
8.77s, 2018 .......................................................... 356 356,000
NRG Energy South Central,
8.962s, 2016 ......................................................... 181 181,634
NSTAR Co., 8s, 2010 .................................................... 557 559,701
------------
$ 3,525,334
------------
Utilities -- Gas
Columbia Gas Systems, Inc.,
6.39s, 2000 .......................................................... 195 $ 193,978
------------
Total U.S. Bonds .................................................................... $27,569,907
------------
Foreign Bonds -- 0.2%
Canada -- 0.1%
Gulf Canada Resources Ltd.,
9.25s, 2004 (Oils) ........................................................... 250 $ 251,048
------------
Netherlands -- 0.1%
Completel Europe N.V., 0s to 2004,
14s to 2009 (Telecommunications) ............................................. 744 $ 357,120
Deutsche Telekom International
(Telecommunications), 8s, 2010 ............................................... 264 266,315
------------
$ 623,435
------------
Total Foreign Bonds ................................................................. $ 874,483
------------
Total Bonds (Identified Cost, $28,957,169)........................................... $28,444,390
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Convertible Preferred Stocks -- 9.5%
U.S. Stocks -- 7.8%
Oils -- 1.0%
Coastal Corp., 6.625% .................................................. 139,500 $ 4,882,500
------------
Telecommunications -- 3.7%
Cox Communications, Inc., 0.25% ........................................ 36,300 $ 2,130,810
Cox Communications, Inc., 7.00% ........................................ 39,000 2,396,062
Cox Communications, Inc., 7.75% ........................................ 36,700 4,041,771
DECS Trust VI, 6.25% ................................................... 27,700 1,900,913
MGC Communications, Inc., 7.25% ........................................ 59,700 3,160,518
Nextlink Communications, Inc.,
6.50% ................................................................ 7,100 1,220,313
UnitedGlobalCom, Inc., "C", 7.00% ...................................... 12,600 757,575
UnitedGlobalCom, Inc., "D", 7.00% ...................................... 28,710 1,277,595
UnitedGlobalCom, Inc., 7.00%## ......................................... 36,000 2,164,500
------------
$19,050,057
------------
Utilities -- Electric -- 3.1%
AES Trust III, 6.75% ................................................... 70,200 $ 5,071,950
AES Trust VII, 6.00% ................................................... 48,600 2,873,475
Calpine Capital Trust, 5.75%* .......................................... 35,000 4,178,125
CMS Energy Corp., 8.75% ................................................ 122,900 3,441,200
------------
$15,564,750
------------
Total U.S. Stocks .................................................................... $39,497,307
------------
Foreign Stocks -- 1.7%
Bermuda -- 1.7%
Global Crossing Ltd., 6.75%
(Telecommunications) ................................................. 14,000 $ 3,069,500
Global Crossing Ltd., 7.00%
(Telecommunications)## ............................................... 21,600 3,920,400
Global Crossing Ltd., 7.00%
(Telecommunications) ................................................. 9,900 1,764,675
------------
$ 8,754,575
------------
Total Foreign Stocks ................................................................. $ 8,754,575
------------
Total Convertible Preferred Stocks
(Identified Cost, $43,431,908)...................................................... $48,251,882
------------
Principal Amount
(000 Omitted)
Convertible Bonds -- 3.2%
U.S. Bonds -- 2.7%
Energy -- 0.3%
Alliant Energy Resources, Inc.,
7.25s to 2003, 0s to 2030 .............................................. $ 25 $ 1,704,300
------------
Financial Institutions -- 1.2%
ADT Operations, Inc., 0s, 2010* .......................................... 2,498 $ 6,282,470
------------
Financial Services -- 0.4%
Bell Atlantic Financial Services, Inc.,
4.25s, 2005## .......................................................... 1,520 $ 1,846,800
------------
Telecommunications -- 0.8%
Liberty Media Group, 4s, 2029## .......................................... 1,420 $ 2,044,800
NTL, Inc., 5.75s, 2009## ................................................. 2,510 1,970,350
------------
$ 4,015,150
------------
Total U.S. Bonds .................................................................... $13,848,720
------------
Foreign Bonds -- 0.5%
United Kingdom -- 0.5%
Telewest Finance Jersey Ltd.,
6s, 2005 (Entertainment)## ............................................. 2,591 $ 2,591,000
------------
Total Convertible Bonds
(Identified Cost, $15,342,478) .................................................... $16,439,720
------------
</TABLE>
35-UTS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Short-Term Obligations -- 7.0%
Associates First Capital Corp.,
due 7/03/00 ...................................................... $20,000 $ 19,992,334
Federal Home Loan Mortgage
Corp., due 7/03/00 ............................................... 4,528 4,526,347
Salomon Smith Barney Holdings,
Inc., due 7/03/00 ................................................ 11,259 11,254,715
------------
Total Short-Term Obligations, at Amortized Cost...................................... $ 35,773,396
------------
Total Investments
(Identified Cost, $489,549,045).................................................... $501,976,121
------------
Other Assets,
Less Liabilities -- 1.4% ............................................................ 6,958,389
------------
Net Assets -- 100.0% .................................................................. $508,934,510
------------
</TABLE>
See portfolio footnotes and notes to financial statements.
Portfolio Footnotes:
*Non-income producing security.
##SEC Rule 144A restriction.
+Restricted security.
36-UTS
<PAGE>
MFS/Sun Life Series Trust
Statements of Assets and Liabilities (Unaudited) -- June 30, 2000
<TABLE>
<CAPTION>
Capital
Appreciation
Assets: Series
Investments -- -------------------
<S> <C>
Unaffiliated issuers, at cost .......................................................... $ 1,745,690,429
Unrealized appreciation ................................................................ 400,095,728
---------------
Total investments, at value .......................................................... $ 2,145,786,157
Investments of cash collateral for securities loaned, at identified cost and value ...... --
Cash .................................................................................... --
Foreign currency, at value (identified cost, $88, $0, $1,283,122 and $0, respectively) .. 92
Receivable for investments sold ......................................................... 47,304,457
Receivable for series shares sold ....................................................... 1,301,127
Interest and dividends receivable ....................................................... 499,633
Other assets ............................................................................ 17,298
---------------
Total assets .......................................................................... $ 2,194,908,764
===============
Liabilities:
Payable to custodian .................................................................... $ 32,748
Payable for investments purchased ....................................................... 14,130,039
Payable for series shares reacquired .................................................... 393,790
Collateral for securities loaned, at value .............................................. --
Payable to affiliates --
Management fee ......................................................................... 41,505
Administrative fee ..................................................................... 1,105
Accrued expenses and other liabilities .................................................. 148,764
---------------
Total liabilities ..................................................................... $ 14,747,861
---------------
Net assets ........................................................................... $ 2,180,160,903
===============
Net assets consist of:
Paid-in capital ......................................................................... $ 1,298,679,358
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies ..................................................................... 400,097,576
Accumulated undistributed net realized gain on investments and foreign currency
transactions ........................................................................... 476,493,765
Accumulated undistributed net investment income (loss) .................................. 4,890,204
---------------
Total ................................................................................ $ 2,180,160,903
===============
Shares of beneficial interest outstanding ............................................... 43,736,903
===============
Net asset value, offering price and redemption price per share
(net assets [divided by] shares of beneficial interest outstanding) .................... $49.85
======
<CAPTION>
Emerging Global
Growth Growth
Assets: Series Series
Investments -- ----------------- -----------------
<S> <C> <C>
Unaffiliated issuers, at cost .......................................................... $1,145,153,401 $ 387,386,085
Unrealized appreciation ................................................................ 428,947,949 78,721,224
-------------- -------------
Total investments, at value .......................................................... $1,574,101,350 $ 466,107,309
Investments of cash collateral for securities loaned, at identified cost and value ...... -- 41,672,217
Cash .................................................................................... 440,619 69,745
Foreign currency, at value (identified cost, $88, $0, $1,283,122 and $0, respectively) .. -- 1,277,355
Receivable for investments sold ......................................................... 31,054,805 9,016,595
Receivable for series shares sold ....................................................... 1,637,446 688,209
Interest and dividends receivable ....................................................... 296,470 515,977
Other assets ............................................................................ 6,606 3,159
-------------- -------------
Total assets .......................................................................... $1,607,537,296 $ 519,350,566
============== =============
Liabilities:
Payable to custodian .................................................................... $ -- $ --
Payable for investments purchased ....................................................... 36,680,488 8,966,627
Payable for series shares reacquired .................................................... 85,774 116,528
Collateral for securities loaned, at value .............................................. -- 41,672,217
Payable to affiliates --
Management fee ......................................................................... 29,181 11,164
Administrative fee ..................................................................... 741 222
Accrued expenses and other liabilities .................................................. 105,530 94,778
--------------- -------------
Total liabilities ..................................................................... $ 36,901,714 $ 50,861,536
--------------- -------------
Net assets ........................................................................... $1,570,635,582 $ 468,489,030
=============== =============
Net assets consist of:
Paid-in capital ......................................................................... $ 901,284,072 $ 307,472,545
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies ..................................................................... 428,945,878 78,720,459
Accumulated undistributed net realized gain on investments and foreign currency
transactions ........................................................................... 241,704,818 79,210,473
Accumulated undistributed net investment income (loss) .................................. (1,299,186) 3,085,553
--------------- -------------
Total ................................................................................ $1,570,635,582 $ 468,489,030
=============== =============
Shares of beneficial interest outstanding ............................................... 44,076,930 22,204,409
=============== =============
Net asset value, offering price and redemption price per share
(net assets [divided by] shares of beneficial interest outstanding) .................... $35.63 $21.10
====== ======
<CAPTION>
Managed
Sectors
Assets: Series
Investments -- ---------------
<S> <C>
Unaffiliated issuers, at cost .......................................................... $618,292,910
Unrealized appreciation ................................................................ 55,740,658
------------
Total investments, at value .......................................................... $674,033,568
Investments of cash collateral for securities loaned, at identified cost and value ...... --
Cash .................................................................................... 2,305,830
Foreign currency, at value (identified cost, $88, $0, $1,283,122 and $0, respectively) .. --
Receivable for investments sold ......................................................... 28,377,132
Receivable for series shares sold ....................................................... 587,145
Interest and dividends receivable ....................................................... 184,550
Other assets ............................................................................ 4,170
------------
Total assets .......................................................................... $705,492,395
============
Liabilities:
Payable to custodian .................................................................... $ --
Payable for investments purchased ....................................................... 35,076,115
Payable for series shares reacquired .................................................... 159,370
Collateral for securities loaned, at value .............................................. --
Payable to affiliates --
Management fee ......................................................................... 12,908
Administrative fee ..................................................................... 319
Accrued expenses and other liabilities .................................................. 78,754
-------------
Total liabilities ..................................................................... $ 35,327,466
-------------
Net assets ........................................................................... $670,164,929
=============
Net assets consist of:
Paid-in capital ......................................................................... $468,127,320
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies ..................................................................... 55,741,153
Accumulated undistributed net realized gain on investments and foreign currency
transactions ........................................................................... 146,426,321
Accumulated undistributed net investment income (loss) .................................. (129,865)
-------------
Total ................................................................................ $670,164,929
=============
Shares of beneficial interest outstanding ............................................... 17,120,028
=============
Net asset value, offering price and redemption price per share
(net assets [divided by] shares of beneficial interest outstanding) .................... $39.15
======
</TABLE>
See notes to financial statements.
37
<PAGE>
MFS/Sun Life Series Trust
Statements of Assets and Liabilities (Unaudited) -- June 30, 2000 -- continued
<TABLE>
<CAPTION>
Massachusetts
Investors
Trust
Assets: Series
Investments -- -------------------
<S> <C>
Unaffiliated issuers, at cost .......................................................... $ 1,940,229,120
Unrealized appreciation ................................................................ 263,541,748
---------------
Total investments, at value .......................................................... $ 2,203,770,868
Investments of cash collateral for securities loaned, at identified cost and value ...... --
Cash .................................................................................... 40,781
Foreign currency, at value (identified cost, $2,407, $119, $0 and $0, respectively) ..... 2,411
Receivable for investments sold ......................................................... 14,452,020
Receivable for series shares sold ....................................................... 910,517
Interest and dividends receivable ....................................................... 1,919,967
Other assets ............................................................................ 17,231
---------------
Total assets .......................................................................... $ 2,221,113,795
===============
Liabilities:
Payable to custodian .................................................................... $ --
Payable for investments purchased ....................................................... 12,099,533
Payable for series shares reacquired .................................................... 615,871
Collateral for securities loaned, at value .............................................. --
Payable to affiliates --
Management fee ......................................................................... 33,095
Administrative fee ..................................................................... 1,030
Accrued expenses and other liabilities .................................................. 107,773
---------------
Total liabilities ..................................................................... $ 12,857,302
---------------
Net assets ........................................................................... $ 2,208,256,493
===============
Net assets consist of:
Paid-in capital ......................................................................... $ 1,810,664,627
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies ..................................................................... 263,543,055
Accumulated undistributed net realized gain on investments and foreign currency
transactions ........................................................................... 126,232,387
Accumulated undistributed net investment income ......................................... 7,816,424
---------------
Total ................................................................................ $ 2,208,256,493
===============
Shares of beneficial interest outstanding ............................................... 62,492,602
===============
Net asset value, offering price and redemption price per share
(net assets [divided by] shares of beneficial interest outstanding) .................... $35.34
======
<CAPTION>
Total
Research Return
Assets: Series Series
Investments -- ------------------- -------------------
<S> <C> <C>
Unaffiliated issuers, at cost .......................................................... $ 1,049,229,131 $ 1,655,317,675
Unrealized appreciation ................................................................ 253,383,147 34,920,824
--------------- ---------------
Total investments, at value .......................................................... $ 1,302,612,278 $ 1,690,238,499
Investments of cash collateral for securities loaned, at identified cost and value ...... 60,042,345 --
Cash .................................................................................... 7,676 409,332
Foreign currency, at value (identified cost, $2,407, $119, $0 and $0, respectively) ..... 112 --
Receivable for investments sold ......................................................... 16,286,573 9,717,434
Receivable for series shares sold ....................................................... 519,439 420,864
Interest and dividends receivable ....................................................... 434,335 11,749,737
Other assets ............................................................................ 9,517 22,768
--------------- ---------------
Total assets .......................................................................... $ 1,379,912,275 $ 1,712,558,634
=============== ===============
Liabilities:
Payable to custodian .................................................................... $ -- $ --
Payable for investments purchased ....................................................... 6,853,929 16,216,542
Payable for series shares reacquired .................................................... 264,359 516,396
Collateral for securities loaned, at value .............................................. 60,042,345 --
Payable to affiliates --
Management fee ......................................................................... 24,642 30,795
Administrative fee ..................................................................... 623 820
Accrued expenses and other liabilities .................................................. 87,569 124,620
--------------- ---------------
Total liabilities ..................................................................... $ 67,273,467 $ 16,889,173
--------------- ---------------
Net assets ........................................................................... $ 1,312,638,808 $ 1,695,669,461
=============== ===============
Net assets consist of:
Paid-in capital ......................................................................... $ 899,179,145 $ 1,601,951,732
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies...................................................................... 253,386,272 34,935,407
Accumulated undistributed net realized gain on investments and foreign currency
transactions ........................................................................... 159,818,535 26,531,729
Accumulated undistributed net investment income ......................................... 254,856 32,250,593
--------------- ---------------
Total ................................................................................ $ 1,312,638,808 $ 1,695,669,461
=============== ===============
Shares of beneficial interest outstanding ............................................... 49,942,260 97,803,602
=============== ===============
Net asset value, offering price and redemption price per share
(net assets [divided by] shares of beneficial interest outstanding) .................... $26.28 $17.34
====== ======
<CAPTION>
Utilities
Assets: Series
Investments -- -----------------
<S> <C>
Unaffiliated issuers, at cost .......................................................... $ 489,549,045
Unrealized appreciation ................................................................ 12,427,076
-------------
Total investments, at value .......................................................... $ 501,976,121
Investments of cash collateral for securities loaned, at identified cost and value ...... 43,577,167
Cash .................................................................................... --
Foreign currency, at value (identified cost, $2,407, $119, $0 and $0, respectively) ..... --
Receivable for investments sold ......................................................... 15,896,190
Receivable for series shares sold ....................................................... 377,947
Interest and dividends receivable ....................................................... 1,063,282
Other assets ............................................................................ 1,987
-------------
Total assets .......................................................................... $ 562,892,694
=============
Liabilities:
Payable to custodian .................................................................... $ 8,147
Payable for investments purchased ....................................................... 10,242,518
Payable for series shares reacquired .................................................... 66,141
Collateral for securities loaned, at value .............................................. 43,577,167
Payable to affiliates --
Management fee ......................................................................... 10,036
Administrative fee ..................................................................... 244
Accrued expenses and other liabilities .................................................. 53,931
-------------
Total liabilities ..................................................................... $ 53,958,184
-------------
Net assets ........................................................................... $ 508,934,510
=============
Net assets consist of:
Paid-in capital ......................................................................... $ 440,142,526
Unrealized appreciation on investments and translation of assets and liabilities in
foreign currencies ..................................................................... 12,429,634
Accumulated undistributed net realized gain on investments and foreign currency
transactions ........................................................................... 41,245,173
Accumulated undistributed net investment income ......................................... 15,117,177
-------------
Total ................................................................................ $ 508,934,510
=============
Shares of beneficial interest outstanding ............................................... 27,448,032
=============
Net asset value, offering price and redemption price per share
(net assets [divided by] shares of beneficial interest outstanding) .................... $18.54
======
</TABLE>
See notes to financial statements.
38
<PAGE>
MFS/Sun Life Series Trust
Statements of Operations (Unaudited) -- Six Months Ended June 30, 2000
<TABLE>
<CAPTION>
Capital
Appreciation
Net investment income (loss): Series
Income -- ------------------
<S> <C>
Interest ........................................................................... $ 1,085,007
Dividends .......................................................................... 11,810,635
Income on securities loaned ........................................................ --
Foreign taxes withheld ............................................................. (75,061)
--------------
Total investment income ........................................................... $ 12,820,581
--------------
Expenses --
Management fee ..................................................................... $ 7,433,528
Trustees' compensation ............................................................. 20,652
Administrative fee ................................................................. 162,712
Custodian fee ...................................................................... 337,414
Printing ........................................................................... 27,441
Auditing fees ...................................................................... 14,820
Legal fees ......................................................................... 1,275
Miscellaneous ...................................................................... 60,572
--------------
Total expenses .................................................................... $ 8,058,414
Fees paid indirectly ............................................................... (128,037)
--------------
Net expenses ...................................................................... $ 7,930,377
--------------
Net investment income (loss) ..................................................... $ 4,890,204
--------------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $ 478,835,626
Foreign currency transactions ...................................................... 71,140
--------------
Net realized gain on investments and foreign currency transactions ................ $ 478,906,766
--------------
Change in unrealized appreciation (depreciation) --
Investments ........................................................................ $ (355,362,822)
Translation of assets and liabilities in foreign currencies ........................ 1,330
--------------
Net unrealized loss on investments and foreign currency translation ............... $ (355,361,552)
--------------
Net realized and unrealized gain (loss) on investments and foreign currency ...... $ 123,545,214
--------------
Increase (decrease) in net asset from operations ................................ $ 128,435,418
==============
<CAPTION>
Emerging Global
Growth Growth
Net investment income (loss): Series Series
Income -- ------------------ -----------------
<S> <C> <C>
Interest ........................................................................... $ 3,153,634 $ 758,954
Dividends .......................................................................... 1,084,844 4,857,216
Income on securities loaned ........................................................ 223,925 --
Foreign taxes withheld ............................................................. (83,318) (207,662)
-------------- -------------
Total investment income ........................................................... $ 4,379,085 $ 5,408,508
-------------- -------------
Expenses --
Management fee ..................................................................... $ 5,286,102 $ 2,108,439
Trustees' compensation ............................................................. 14,102 4,405
Administrative fee ................................................................. 121,001 38,043
Custodian fee ...................................................................... 250,003 259,495
Printing ........................................................................... 20,843 7,361
Auditing fees ...................................................................... 15,050 20,000
Legal fees ......................................................................... -- 83
Miscellaneous ...................................................................... 11,906 850
-------------- -------------
Total expenses .................................................................... $ 5,719,007 $ 2,438,676
Fees paid indirectly ............................................................... (40,736) (6,225)
-------------- -------------
Net expenses ...................................................................... $ 5,678,271 $ 2,432,451
-------------- -------------
Net investment income (loss) ..................................................... $ (1,299,186) $ 2,976,057
-------------- -------------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $ 246,467,648 $ 81,058,279
Foreign currency transactions ...................................................... (137,115) (124,682)
-------------- -------------
Net realized gain on investments and foreign currency transactions ................ $ 246,330,533 $ 80,933,597
-------------- -------------
Change in unrealized appreciation (depreciation) --
Investments ........................................................................ $ (272,244,145) $ (88,303,091)
Translation of assets and liabilities in foreign currencies ........................ (8,061) 17,286
-------------- -------------
Net unrealized loss on investments and foreign currency translation ............... $ (272,252,206) $ (88,285,805)
-------------- -------------
Net realized and unrealized gain (loss) on investments and foreign currency ...... $ (25,921,673) $ (7,352,208)
-------------- -------------
Increase (decrease) in net asset from operations ................................ $ (27,220,859) $ (4,376,151)
============== =============
<CAPTION>
Managed
Sectors
Net investment income (loss): Series
Income -- ------------------
<S> <C>
Interest ........................................................................... $ 1,770,672
Dividends .......................................................................... 835,421
Income on securities loaned ........................................................ --
Foreign taxes withheld ............................................................. (30,100)
--------------
Total investment income ........................................................... $ 2,575,993
-------------
Expenses --
Management fee ..................................................................... $ 2,488,407
Trustees' compensation ............................................................. 6,694
Administrative fee ................................................................. 56,997
Custodian fee ...................................................................... 164,262
Printing ........................................................................... 9,420
Auditing fees ...................................................................... 14,750
Legal fees ......................................................................... 485
Miscellaneous ...................................................................... 25,718
--------------
Total expenses .................................................................... $ 2,766,733
Fees paid indirectly ............................................................... (60,875)
--------------
Net expenses ...................................................................... $ 2,705,858
--------------
Net investment income (loss) ..................................................... $ (129,865)
--------------
Realized and unrealized gain (loss) on investments and foreign currency transactions:
Realized gain (loss) (identified cost basis) --
Investment transactions ............................................................ $ 149,536,955
Foreign currency transactions ...................................................... 33,751
--------------
Net realized gain on investments and foreign currency transactions ................ $ 149,570,706
--------------
Change in unrealized appreciation (depreciation) --
Investments ........................................................................ $ (204,085,692)
Translation of assets and liabilities in foreign currencies ........................ (16,614)
--------------
Net unrealized loss on investments and foreign currency translation ............... $ (204,102,306)
--------------
Net realized and unrealized gain (loss) on investments and foreign currency ...... $ (54,531,600)
--------------
Increase (decrease) in net asset from operations ................................ $ (54,661,465)
==============
</TABLE>
See notes to financial statements.
39
<PAGE>
MFS/Sun Life Series Trust
Statements of Operations (Unaudited) -- Six Months Ended June 30, 2000 --
continued
<TABLE>
<CAPTION>
Massachusetts
Investors
Trust
Net investment income (loss): Series
Income -- ------------------
<S> <C>
Interest ....................................................................... $ 2,254,956
Dividends ...................................................................... 12,078,585
Foreign taxes withheld ......................................................... (164,510)
--------------
Total investment income ....................................................... $ 14,169,031
--------------
Expenses --
Management fee ................................................................. $ 5,947,099
Trustees' compensation ......................................................... 21,839
Administrative fee ............................................................. 165,958
Custodian fee .................................................................. 247,865
Printing ....................................................................... 32,624
Auditing fees .................................................................. 14,500
Legal fees ..................................................................... 988
Miscellaneous .................................................................. 25,502
--------------
Total expenses ................................................................ $ 6,456,375
Fees paid indirectly ........................................................... (104,560)
--------------
Net expenses .................................................................. $ 6,351,815
--------------
Net investment income ........................................................ $ 7,817,216
--------------
Realized and unrealized gain (loss) on investments:
Realized gain (loss) (identified cost basis) --
Investment transactions ........................................................ $ 127,818,731
Foreign currency transactions .................................................. (150,379)
--------------
Net realized gain on investments and foreign currency transactions ............ $ 127,668,352
--------------
Change in unrealized appreciation (depreciation) --
Investments .................................................................... $ (121,869,380)
Translation of assets and liabilities in foreign currencies .................... 3,969
--------------
Net unrealized loss on investments and foreign currency translation ........... $ (121,865,411)
--------------
Net realized and unrealized gain (loss) on investments and foreign currency .. $ 5,802,941
--------------
Increase in net assets from operations ...................................... $ 13,620,157
==============
<CAPTION>
Total
Research Return
Net investment income (loss): Series Series
Income -- ---------------- -----------------
<S> <C> <C>
Interest ....................................................................... $ 766,231 $ 27,613,036
Dividends ...................................................................... 4,266,998 10,637,192
Foreign taxes withheld ......................................................... (90,039) (162,447)
------------- -------------
Total investment income ....................................................... $ 4,943,190 $ 38,087,781
------------- -------------
Expenses --
Management fee ................................................................. $ 4,391,960 $ 5,700,279
Trustees' compensation ......................................................... 12,168 18,366
Administrative fee ............................................................. 101,604 136,612
Custodian fee .................................................................. 185,311 209,336
Printing ....................................................................... 17,164 27,077
Auditing fees .................................................................. 14,650 19,950
Legal fees ..................................................................... 936 1,279
Miscellaneous .................................................................. 12,651 28,052
------------- -------------
Total expenses ................................................................ $ 4,736,444 $ 6,140,951
Fees paid indirectly ........................................................... (31,963) (40,757)
------------- -------------
Net expenses .................................................................. $ 4,704,481 $ 6,100,194
------------- -------------
Net investment income ........................................................ $ 238,709 $ 31,987,587
------------- -------------
Realized and unrealized gain (loss) on investments:
Realized gain (loss) (identified cost basis) --
Investment transactions ........................................................ $ 161,602,324 $ 28,738,973
Foreign currency transactions .................................................. (54,133) 12,936
------------- -------------
Net realized gain on investments and foreign currency transactions ............ $ 161,548,191 $ 28,751,909
------------- -------------
Change in unrealized appreciation (depreciation) --
Investments .................................................................... $ (80,216,668) $ (17,838,833)
Translation of assets and liabilities in foreign currencies .................... 7,037 16,479
------------- -------------
Net unrealized loss on investments and foreign currency translation ........... $ (80,209,631) $ (17,822,354)
------------- -------------
Net realized and unrealized gain (loss) on investments and foreign currency .. $ 81,338,560 $ 10,929,555
------------- -------------
Increase in net assets from operations ...................................... $ 81,577,269 $ 42,917,142
============= =============
<CAPTION>
Utilities
Net investment income (loss): Series
Income -- -----------------
<S> <C>
Interest ....................................................................... $ 2,251,176
Dividends ...................................................................... 14,752,998
Foreign taxes withheld ......................................................... (62,182)
-------------
Total investment income ....................................................... $ 16,941,992
-------------
Expenses --
Management fee ................................................................. $ 1,712,223
Trustees' compensation ......................................................... 3,981
Administrative fee ............................................................. 38,635
Custodian fee .................................................................. 115,717
Printing ....................................................................... 7,291
Auditing fees .................................................................. 13,750
Legal fees ..................................................................... 1,185
Miscellaneous .................................................................. 10,376
-------------
Total expenses ................................................................ $ 1,903,158
Fees paid indirectly ........................................................... (9,368)
-------------
Net expenses .................................................................. $ 1,893,790
-------------
Net investment income ........................................................ $ 15,048,202
-------------
Realized and unrealized gain (loss) on investments:
Realized gain (loss) (identified cost basis) --
Investment transactions ........................................................ $ 42,214,311
Foreign currency transactions .................................................. (16,759)
-------------
Net realized gain on investments and foreign currency transactions ............ $ 42,197,552
-------------
Change in unrealized appreciation (depreciation) --
Investments .................................................................... $ (42,439,551)
Translation of assets and liabilities in foreign currencies .................... 1,539
-------------
Net unrealized loss on investments and foreign currency translation ........... $ (42,438,012)
-------------
Net realized and unrealized gain (loss) on investments and foreign currency .. $ (240,460)
-------------
Increase in net assets from operations ...................................... $ 14,807,742
=============
</TABLE>
See notes to financial statements.
40
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets (Unaudited) -- Six Months Ended June 30,
2000
<TABLE>
<CAPTION>
Capital
Appreciation
Increase (decrease) in net assets: Series
From operations -- -----------------
<S> <C>
Net investment income (loss) ............................................................ $ 4,890,204
Net realized gain on investments and foreign currency transactions ...................... 478,906,766
Net unrealized loss on investments and foreign currency translation ..................... (355,361,552)
--------------
Increase (decrease) in net assets from operations ...................................... $ 128,435,418
--------------
Distributions declared to shareholders --
From net investment income .............................................................. $ --
From net realized gain on investments and foreign currency transactions ................. (265,909,302)
---------------
Total distributions declared to shareholders ........................................... $ (265,909,302)
---------------
Net increase in net assets from series share transactions ................................ $ 196,060,273
---------------
Total increase (decrease) in net assets ................................................ $ 58,586,389
Net assets --
At beginning of period .................................................................. 2,121,574,514
---------------
At end of period ........................................................................ $2,180,160,903
===============
Accumulated undistributed net investment income (loss) included in net assets at end of
period ................................................................................. $ 4,890,204
===============
<CAPTION>
Emerging Global
Growth Growth
Increase (decrease) in net assets: Series Series
From operations -- ------------------ ----------------
<S> <C> <C>
Net investment income (loss) ............................................................ $ (1,299,186) $ 2,976,057
Net realized gain on investments and foreign currency transactions ...................... 246,330,533 80,933,597
Net unrealized loss on investments and foreign currency translation ..................... (272,252,206) (88,285,805)
-------------- -------------
Increase (decrease) in net assets from operations ...................................... $ (27,220,859) $ (4,376,151)
-------------- -------------
Distributions declared to shareholders --
From net investment income .............................................................. $ -- $ (192,135)
From net realized gain on investments and foreign currency transactions ................. (144,089,835) (68,467,541)
---------------- -------------
Total distributions declared to shareholders ........................................... $ (144,089,835) $ (68,659,676)
---------------- -------------
Net increase in net assets from series share transactions ................................ $ 297,736,609 $ 89,771,959
---------------- -------------
Total increase (decrease) in net assets ................................................ $ 126,425,915 $ 16,736,132
Net assets --
At beginning of period .................................................................. 1,444,209,667 451,752,898
---------------- -------------
At end of period ........................................................................ $1,570,635,582 $ 468,489,030
================ =============
Accumulated undistributed net investment income (loss) included in net assets at end of
period ................................................................................ $ (1,299,186) $ 3,085,553
=============== =============
<CAPTION>
Managed
Sectors
Increase (decrease) in net assets: Series
From operations -- -----------------
<S> <C>
Net investment income (loss) ............................................................ $ (129,865)
Net realized gain on investments and foreign currency transactions ...................... 149,570,706
Net unrealized loss on investments and foreign currency translation ..................... (204,102,306)
--------------
Increase (decrease) in net assets from operations ...................................... $ (54,661,465)
--------------
Distributions declared to shareholders --
From net investment income .............................................................. $ --
From net realized gain on investments and foreign currency transactions ................. (125,717,601)
---------------
Total distributions declared to shareholders ........................................... $ (125,717,601)
---------------
Net increase in net assets from series share transactions ................................ $ 164,736,436
---------------
Total increase (decrease) in net assets ................................................ $ (15,642,630)
Net assets --
At beginning of period .................................................................. 685,807,559
---------------
At end of period ........................................................................ $ 670,164,929
===============
Accumulated undistributed net investment income (loss) included in net assets at end of
period ................................................................................ $ (129,865)
===============
</TABLE>
<TABLE>
<CAPTION>
Massachusetts
Investors
Increase (decrease) in net assets: Trust Series
From operations -- -----------------
<S> <C>
Net investment income ................................................................... $ 7,817,216
Net realized gain on investments and foreign currency transactions ...................... 127,668,352
Net unrealized loss on investments and foreign currency translation ..................... (121,865,411)
--------------
Increase in net assets from operations ................................................. $ 13,620,157
--------------
Distributions declared to shareholders --
From net investment income .............................................................. $ (16,232,770)
From net realized gain on investments and foreign currency transactions ................. (145,331,882)
--------------
Total distributions declared to shareholders ........................................... $ (161,564,652)
--------------
Net increase (decrease) in net assets from series share transactions ..................... $ 120,417,811
--------------
Total increase (decrease) in net assets ............................................... $ (27,526,684)
Net assets --
At beginning of period .................................................................. 2,235,783,177
--------------
At end of period ........................................................................ $2,208,256,493
==============
Accumulated undistributed net investment income included in net assets at end of period .. $ 7,816,424
==============
<CAPTION>
Total
Research Return
Increase (decrease) in net assets: Series Series
From operations -- ------------------ ------------------
<S> <C> <C>
Net investment income ................................................................... $ 238,709 $ 31,987,587
Net realized gain on investments and foreign currency transactions ...................... 161,548,191 28,751,909
Net unrealized loss on investments and foreign currency translation ..................... (80,209,631) (17,822,354)
-------------- --------------
Increase in net assets from operations ................................................. $ 81,577,269 $ 42,917,142
-------------- --------------
Distributions declared to shareholders --
From net investment income .............................................................. $ (1,217,253) $ (63,884,528)
From net realized gain on investments and foreign currency transactions ................. (132,063,019) (109,493,705)
-------------- --------------
Total distributions declared to shareholders ........................................... $ (133,280,272) $ (173,378,233)
-------------- --------------
Net increase (decrease) in net assets from series share transactions ..................... $ 118,911,069 $ (53,815,022)
-------------- --------------
Total increase (decrease) in net assets ............................................... $ 67,208,066 $ (184,276,113)
Net assets --
At beginning of period .................................................................. 1,245,430,742 1,879,945,574
-------------- --------------
At end of period ........................................................................ $1,312,638,808 $1,695,669,461
============== ==============
Accumulated undistributed net investment income included in net assets at end of period .. $ 254,856 $ 32,250,593
============== ==============
<CAPTION>
Utilities
Increase (decrease) in net assets: Series
From operations -- ----------------
<S> <C>
Net investment income ................................................................... $ 15,048,202
Net realized gain on investments and foreign currency transactions ...................... 42,197,552
Net unrealized loss on investments and foreign currency translation ..................... (42,438,012)
-------------
Increase in net assets from operations ................................................. $ 14,807,742
-------------
Distributions declared to shareholders --
From net investment income .............................................................. $ (5,735,130)
From net realized gain on investments and foreign currency transactions ................. (42,384,961)
-------------
Total distributions declared to shareholders ........................................... $ (48,120,091)
-------------
Net increase (decrease) in net assets from series share transactions ..................... $ 133,345,987
-------------
Total increase (decrease) in net assets ............................................... $ 100,033,638
Net assets --
At beginning of period .................................................................. 408,900,872
-------------
At end of period ........................................................................ $ 508,934,510
=============
Accumulated undistributed net investment income included in net assets at end of period .. $ 15,117,176
=============
</TABLE>
See notes to financial statements.
41
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Year Ended December 31, 1999 -- continued
<TABLE>
<CAPTION>
Capital
Appreciation
Increase (decrease) in net assets: Series
From operations -- ------------------
<S> <C>
Net investment income (loss) ............................................................ $ (2,542,532)
Net realized gain on investments and foreign currency transactions ...................... 267,994,055
Net unrealized gain on investments and foreign currency translation ..................... 262,957,456
--------------
Increase in net assets from operations ................................................. $ 528,408,979
--------------
Distributions declared to shareholders --
From net investment income .............................................................. $ --
From net realized gain on investments and foreign currency transactions ................. (191,013,349)
----------------
Total distributions declared to shareholders ........................................... $ (191,013,349)
----------------
Net increase in net assets from series share transactions ................................ $ 59,023,917
----------------
Total increase in net assets .......................................................... $ 396,419,547
Net assets --
At beginning of period .................................................................. 1,725,154,967
----------------
At end of period ........................................................................ $2,121,574,514
================
Accumulated undistributed net investment income included in net assets at end of period .. $ --
================
<CAPTION>
Emerging Global
Growth Growth
Increase (decrease) in net assets: Series Series
From operations -- ------------------ -----------------
<S> <C> <C>
Net investment income (loss) ............................................................ $ (1,502,051) $ 487,756
Net realized gain on investments and foreign currency transactions ...................... 144,862,843 67,907,607
Net unrealized gain on investments and foreign currency translation ..................... 467,335,259 112,145,288
-------------- -------------
Increase in net assets from operations ................................................. $ 610,696,051 $ 180,540,651
-------------- -------------
Distributions declared to shareholders --
From net investment income .............................................................. $ -- $ (603,473)
From net realized gain on investments and foreign currency transactions ................. (12,679,477) (10,894,673)
--------------- -------------
Total distributions declared to shareholders ........................................... $ (12,679,477) $ (11,498,146)
--------------- -------------
Net increase in net assets from series share transactions ................................ $ 109,941,907 $ 5,191,416
--------------- -------------
Total increase in net assets .......................................................... $ 707,958,481 $ 174,233,921
Net assets --
At beginning of period .................................................................. 736,251,186 277,518,977
--------------- -------------
At end of period ........................................................................ $1,444,209,667 $ 451,752,898
=============== =============
Accumulated undistributed net investment income included in net assets at end of period .. $ -- $ 301,631
=============== =============
<CAPTION>
Managed
Sectors
Increase (decrease) in net assets: Series
From operations -- --------------
<S> <C>
Net investment income (loss) ............................................................ $ 192,323
Net realized gain on investments and foreign currency transactions ...................... 123,065,073
Net unrealized gain on investments and foreign currency translation ..................... 185,565,400
------------
Increase in net assets from operations ................................................. $308,822,796
------------
Distributions declared to shareholders --
From net investment income .............................................................. $ --
From net realized gain on investments and foreign currency transactions ................. --
-------------
Total distributions declared to shareholders ........................................... $ --
-------------
Net increase in net assets from series share transactions ................................ $ 12,193,687
-------------
Total increase in net assets .......................................................... $321,016,483
Net assets --
At beginning of period .................................................................. 364,791,076
-------------
At end of period ........................................................................ $685,807,559
=============
Accumulated undistributed net investment income included in net assets at end of period .. $ --
=============
</TABLE>
<TABLE>
<CAPTION>
Massachusetts
Investors
Increase (decrease) in net assets: Trust Series
From operations -- -----------------
<S> <C>
Net investment income ................................................................... $ 16,394,338
Net realized gain on investments and foreign currency transactions ...................... 144,613,393
Net unrealized gain (loss) on investments and foreign currency translation .............. (14,562,920)
--------------
Increase in net assets from operations ................................................. $ 146,444,811
--------------
Distributions declared to shareholders --
From net investment income .............................................................. $ (14,424,836)
From net realized gain on investments and foreign currency transactions ................. (138,450,704)
--------------
Total distributions declared to shareholders ........................................... $ (152,875,540)
--------------
Net increase in net assets from series share transactions ................................ $ 389,485,805
--------------
Total increase (decrease) in net assets ............................................... $ 383,055,076
Net assets --
At beginning of period .................................................................. 1,852,728,101
--------------
At end of period ........................................................................ $2,235,783,177
==============
Accumulated undistributed net investment income included in net assets at end of period .. $ 16,231,978
==============
<CAPTION>
Total
Research Return
Increase (decrease) in net assets: Series Series
From operations -- ----------------- -----------------
<S> <C> <C>
Net investment income ................................................................... $ 1,498,179 $ 64,150,578
Net realized gain on investments and foreign currency transactions ...................... 132,770,708 107,700,203
Net unrealized gain (loss) on investments and foreign currency translation .............. 107,888,193 (117,839,037)
-------------- --------------
Increase in net assets from operations ................................................. $ 242,157,080 $ 54,011,744
-------------- --------------
Distributions declared to shareholders --
From net investment income .............................................................. $ (3,057,687) $ (64,269,845)
From net realized gain on investments and foreign currency transactions ................. (32,300,619) (223,361,985)
-------------- --------------
Total distributions declared to shareholders ........................................... $ (35,358,306) $ (287,631,830)
-------------- --------------
Net increase in net assets from series share transactions ................................ $ 50,351,817 $ 171,454,987
-------------- --------------
Total increase (decrease) in net assets ............................................... $ 257,150,591 $ (62,165,099)
Net assets --
At beginning of period .................................................................. 988,280,151 1,942,110,673
-------------- --------------
At end of period ........................................................................ $1,245,430,742 $1,879,945,574
============== ==============
Accumulated undistributed net investment income included in net assets at end of period .. $ 1,233,400 $ 64,147,534
============== ==============
<CAPTION>
Utilities
Increase (decrease) in net assets: Series
From operations -- ----------------
<S> <C>
Net investment income ................................................................... $ 5,841,436
Net realized gain on investments and foreign currency transactions ...................... 42,325,203
Net unrealized gain (loss) on investments and foreign currency translation .............. 41,743,856
-------------
Increase in net assets from operations ................................................. $ 89,910,495
-------------
Distributions declared to shareholders --
From net investment income .............................................................. $ (4,367,404)
From net realized gain on investments and foreign currency transactions ................. (26,554,259)
-------------
Total distributions declared to shareholders ........................................... $ (30,921,663)
-------------
Net increase in net assets from series share transactions ................................ $ 123,620,168
-------------
Total increase (decrease) in net assets ............................................... $ 182,609,000
Net assets --
At beginning of period .................................................................. 226,291,872
-------------
At end of period ........................................................................ $ 408,900,872
=============
Accumulated undistributed net investment income included in net assets at end of period .. $ 5,804,105
=============
</TABLE>
See notes to financial statements.
42
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights
<TABLE>
<CAPTION>
Capital Appreciation Series
-----------------------------------
Six Months
Ended Year Ended
June 30, 2000 December 31,
(Unaudited) 1999
Per share data (for a share outstanding throughout each period): ------------------ ----------------
<S> <C> <C>
Net asset value -- beginning of period .................................. $ 54.1158 $ 45.9348
---------- -----------
Income (loss) from investment operations# --
Net investment income (loss) ........................................... $ 0.1222 $ (0.0659)
Net realized and unrealized gain on investments and foreign currency ... 2.5716 13.5257
---------- ----------
Total from investment operations ..................................... $ 2.6938 $ 13.4598
---------- ----------
Less distributions declared to shareholders --
From net investment income ............................................. $ -- $ --
From net realized gain on investments and foreign currency transactions (6.9624) (5.3788)
---------- ----------
Total distributions declared to shareholders ......................... $ (6.9624) $ (5.2788)
---------- ----------
Net asset value -- end of period ........................................ $ 49.8472 $ 54.1158
========== ==========
Total return++ .......................................................... 6.28%++ 32.64%
Ratios (to average net assets)/Supplemental data:
Expenses## ............................................................. 0.76%+ 0.76%
Net investment income (loss) ........................................... 0.46%+ (0.15)%
Portfolio turnover ...................................................... 71% 89%
Net assets at end of period (000 Omitted) ............................... $2,180,161 $2,121,575
<CAPTION>
Capital Appreciation Series
---------------------------------------------------
Year Ended December 31,
---------------------------------------------------
1998 1997 1996
Per share data (for a share outstanding throughout each period): ---------------- ---------------- ----------------
<S> <C> <C> <C>
Net asset value -- beginning of period .................................. $ 40.1392 $ 35.8316 $ 31.9878
---------- ---------- ----------
Income (loss) from investment operations# --
Net investment income (loss) ........................................... $ (0.0962) $ (0.0405) $ (0.0200)
Net realized and unrealized gain on investments and foreign currency ... 11.0414 7.8691 6.7422
---------- ---------- ----------
Total from investment operations ..................................... $ 10.9452 $ 7.8286 $ 6.7222
---------- ---------- ----------
Less distributions declared to shareholders --
From net investment income ............................................. $ -- $ -- $ (0.0322)
From net realized gain on investments and foreign currency transactions (5.1496) (3.5210) (2.8462)
---------- ----------- ----------
Total distributions declared to shareholders ......................... $ (5.1496) $ (3.5210) $ (2.8784)
---------- ----------- ----------
Net asset value -- end of period ........................................ $ 45.9348 $ 40.1392 $ 35.8316
========== =========== ==========
Total return++ .......................................................... 28.70% 23.14% 21.48%
Ratios (to average net assets)/Supplemental data:
Expenses## ............................................................. 0.77% 0.78% 0.80%
Net investment income (loss) ........................................... (0.23)% (0.10)% (0.05)%
Portfolio turnover ...................................................... 79% 68% 67%
Net assets at end of period (000 Omitted) ............................... $1,725,155 $1,326,240 $1,061,631
<CAPTION>
Capital
Appreciation
Series
-------------
Year Ended
December 31,
-------------
1995
Per share data (for a share outstanding throughout each period): -------------
<S> <C>
Net asset value -- beginning of period .................................. $24.4076
---------
Income (loss) from investment operations# --
Net investment income (loss) ........................................... $ 0.0933
Net realized and unrealized gain on investments and foreign currency ... 8.1619
---------
Total from investment operations ..................................... $ 8.2552
---------
Less distributions declared to shareholders --
From net investment income ............................................. $(0.0568)
From net realized gain on investments and foreign currency transactions (0.6182)
---------
Total distributions declared to shareholders ......................... $(0.6750)
---------
Net asset value -- end of period ........................................ $31.9878
=========
Total return++ .......................................................... 34.46%
Ratios (to average net assets)/Supplemental data:
Expenses## ............................................................. 0.83%
Net investment income (loss) ........................................... 0.32%
Portfolio turnover ...................................................... 89%
Net assets at end of period (000 Omitted) ............................... $797,102
</TABLE>
<TABLE>
<CAPTION>
Emerging Growth
Series
--------------------
Six Months
Ended June 30,
2000
(Unaudited)
Per share data (for a share outstanding throughout each period): --------------------
<S> <C>
Net asset value -- beginning of period ...................................... $ 40.2772
-----------
Income (loss) from investment operations# --
Net investment income (loss)[sec] .......................................... $ (0.0333)
Net realized and unrealized gain (loss) on investments and foreign currency (0.8811)
-----------
Total from investment operations ......................................... $ (0.9144)
-----------
Less distributions declared to shareholders --
From net investment income ................................................. $ --
From net realized gain on investments and foreign currency transactions .... ( 3.7288)
-------------
Total distributions declared to shareholders ............................. $ (3.7288)
-------------
Net asset value -- end of period ............................................ $ 35.6340
=============
Total return++ .............................................................. (1.66)%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ................................................................. 0.75%+
Net investment income (loss) ............................................... (0.17)%+
Portfolio turnover .......................................................... 101%
Net assets at end of period (000 Omitted) ................................... $1,570,636
<CAPTION>
Emerging Growth Series
---------------------------------------------------
Year Ended December 31,
--------------------------------------------------
1999 1998 1997
Per share data (for a share outstanding throughout each period): ---------------- ---------------- ----------------
<S> <C> <C> <C>
Net asset value -- beginning of period ...................................... $ 23.2757 $18.0032 $14.8305
---------- ---------- ---------
Income (loss) from investment operations# --
Net investment income (loss)[sec] .......................................... $ (0.0448) $(0.0530) $(0.0551)
Net realized and unrealized gain (loss) on investments and foreign currency 17.4370 6.0356 3.2968
---------- ---------- ---------
Total from investment operations ......................................... $ 17.3922 $ 5.9826 $ 3.2417
---------- ---------- ---------
Less distributions declared to shareholders --
From net investment income ................................................. $ -- $ -- $(0.0098)
From net realized gain on investments and foreign currency transactions .... (0.3907) (0.7101) (0.0592)
----------- ----------- ---------
Total distributions declared to shareholders ............................. $ (0.3907) $(0.7101) $(0.0690)
----------- ----------- ---------
Net asset value -- end of period ............................................ $ 40.2772 $23.2757 $18.0032
=========== ========== =========
Total return++ .............................................................. 75.81% 33.88% 21.93%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ................................................................. 0.75% 0.78% 0.81%
Net investment income (loss) ............................................... (0.17)% (0.27)% (0.33)%
Portfolio turnover .......................................................... 166% 80% 109%
Net assets at end of period (000 Omitted) ................................... $1,444,210 $736,251 $457,351
<CAPTION>
Emerging Growth Series
--------------------------------
Year Ended Period Ended
December 31, December 31,
-------------
1996 1995*
Per share data (for a share outstanding throughout each period): ------------- ------------------
<S> <C> <C>
Net asset value -- beginning of period ...................................... $12.6867 $ 10.0000
--------- -----------
Income (loss) from investment operations# --
Net investment income (loss)[sec] .......................................... $ 0.0175 $ 0.0788
Net realized and unrealized gain (loss) on investments and foreign currency 2.1506 2.6079
--------- -----------
Total from investment operations ......................................... $ 2.1681 $ 2.6867
--------- -----------
Less distributions declared to shareholders --
From net investment income ................................................. $(0.0243) $ --
From net realized gain on investments and foreign currency transactions .... -- --
--------- --------------
Total distributions declared to shareholders ............................. $(0.0243) $ --
--------- --------------
Net asset value -- end of period ............................................ $14.8305 $ 12.6867
========= ==============
Total return++ .............................................................. 17.15% 26.80%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ................................................................. 0.70% 0.24%+
Net investment income (loss) ............................................... 0.12% 1.13%+
Portfolio turnover .......................................................... 88% 28%
Net assets at end of period (000 Omitted) ................................... $250,826 $ 67,255
</TABLE>
<TABLE>
<CAPTION>
[sec] The investment adviser voluntarily waived all or a portion of its fee for the Emerging Growth Series for the periods
indicated. If the waiver had not been in place, the net investment income (loss) per share and the ratios would have been:
<S> <C> <C>
Net investment income (loss) .......................................................... $(0.0406) $0.0265
Ratios (to average net assets):
Expenses## ........................................................................... 0.84% 1.00%+
Net investment income (loss) ......................................................... (0.02)% 0.38%+
</TABLE>
* For the period from the commencement of the series' investment operations,
May 1, 1995, through December 31, 1995.
+ Annualized.
++ Not annualized.
# Per share data are based on average shares outstanding.
## Ratios do not reflect reductions from directed brokerage and certain expense
offset arrangements.
++ The total return information shown above does not reflect expenses that apply
to the separate accounts established by Sun Life of Canada (U.S.) and Sun
Life (N.Y.). Inclusion of these charges would reduce the total return figures
for all periods shown.
See notes to financial statements.
43
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
Global Growth Series
----------------------------------
Six Months Year Ended
Ended December 31,
June 30, 2000 -------------
(Unaudited) 1999
Per share data (for a share outstanding throughout each period): -------------------- -------------
<S> <C> <C>
Net asset value -- beginning of period ...................................... $ 25.1623 $ 15.6555
---------- ---------
Income (loss) from investment operations# --
Net investment income ...................................................... $ 0.1525 $ 0.0277
Net realized and unrealized gain (loss) on investments and foreign currency (0.5459) 10.1515
---------- ---------
Total from investment operations ......................................... $ (0.3934) $ 10.1792
---------- ---------
Less distributions declared to shareholders --
From net investment income ................................................. $ (0.0103) $ (0.0353)
From net realized gain on investments and foreign currency transactions .... (3.6597) (0.6371)
---------- ---------
Total distributions declared to shareholders ............................. $ (3.6700) $ (0.6724)
---------- ---------
Net asset value -- end of period ............................................ $ 21.0989 $ 25.1623
========== =========
Total return++ .............................................................. (0.78)%++ 67.25%
Ratios (to average net assets)/Supplemental data:
Expenses## ................................................................. 1.04%+ 1.01%
Net investment income ...................................................... 1.28%+ 0.16%
Portfolio turnover .......................................................... 88% 163%
Net assets at end of period (000 Omitted) ................................... $ 468,489 $ 451,753
<CAPTION>
Global Growth Series
------------------------------------------
Year Ended December 31,
------------------------------------------
1998 1997 1996
Per share data (for a share outstanding throughout each period): ------------- ------------- -------------
<S> <C> <C> <C>
Net asset value -- beginning of period ...................................... $ 14.6844 $ 13.0338 $ 12.3464
--------- --------- ---------
Income (loss) from investment operations# --
Net investment income ...................................................... $ 0.0466 $ 0.0446 $ 0.0232
Net realized and unrealized gain (loss) on investments and foreign currency 2.0973 1.9245 1.5878
--------- --------- ---------
Total from investment operations ......................................... $ 2.1439 $ 1.9691 $ 1.6110
--------- --------- ---------
Less distributions declared to shareholders --
From net investment income ................................................. $ (0.0565) $ (0.0626) $ (0.0886)
From net realized gain on investments and foreign currency transactions .... (1.1163) (0.2559) (0.8350)
--------- --------- ---------
Total distributions declared to shareholders ............................. $ (1.1728) $ (0.3185) $ (0.9236)
--------- --------- ---------
Net asset value -- end of period ............................................ $ 15.6555 $ 14.6844 $ 13.0338
========= ========= =========
Total return++ .............................................................. 14.61% 15.32% 13.02%
Ratios (to average net assets)/Supplemental data:
Expenses## ................................................................. 1.01% 1.02% 1.04%
Net investment income ...................................................... 0.31% 0.31% 0.18%
Portfolio turnover .......................................................... 92% 105% 81%
Net assets at end of period (000 Omitted) ................................... $ 277,519 $ 252,402 $ 203,106
<CAPTION>
Global Growth
Series
-------------
Year Ended
December 31,
-------------
1995
Per share data (for a share outstanding throughout each period): -------------
<S> <C>
Net asset value -- beginning of period ...................................... $ 10.9425
---------
Income (loss) from investment operations# --
Net investment income ...................................................... $ 0.0689
Net realized and unrealized gain (loss) on investments and foreign currency 1.6388
---------
Total from investment operations ......................................... $ 1.7077
---------
Less distributions declared to shareholders --
From net investment income ................................................. $ (0.1361)
From net realized gain on investments and foreign currency transactions .... (0.1677)
---------
Total distributions declared to shareholders ............................. $ (0.3038)
---------
Net asset value -- end of period ............................................ $ 12.3464
=========
Total return++ .............................................................. 16.06%
Ratios (to average net assets)/Supplemental data:
Expenses## ................................................................. 1.07%
Net investment income ...................................................... 0.60%
Portfolio turnover .......................................................... 162%
Net assets at end of period (000 Omitted) ................................... $ 146,388
</TABLE>
<TABLE>
<CAPTION>
Managed Sectors Series
----------------------------------
Six Months Year Ended
Ended December 31,
June 30, 2000 -------------
(Unaudited) 1999
Per share data (for a share outstanding throughout each period): -------------------- -------------
<S> <C> <C>
Net asset value -- beginning of period ......................................... $ 52.4214 $ 28.2448
---------- ----------
Income (loss) from investment operations# --
Net investment income (loss) .................................................. $ (0.0090) $ 0.0153
Net realized and unrealized gain (loss) on investments and foreign currency ... (4.0057) 24.1613
---------- ----------
Total from investment operations ............................................ $ (4.0147) $ 24.1766
---------- ----------
Less distributions declared to shareholders --
From net investment income .................................................... $ -- $ --
From net realized gain on investments and foreign currency transactions ....... (9.2553) --
In excess of net realized gain on investments and foreign currency transactions -- --
------------- -----------
Total distributions declared to shareholders ................................ $ (9.2553) $ --
------------- -----------
Net asset value -- end of period ............................................... $ 39.1514 $ 52.4214
============= ===========
Total return++ ................................................................. (7.05)%++ 85.62%
Ratios (to average net assets)/Supplemental data:
Expenses## .................................................................... 0.79%+ 0.79%
Net investment income (loss) .................................................. (0.04)%+ 0.05%
Portfolio turnover ............................................................. 272% 415%
Net assets at end of period (000 Omitted) ...................................... $ 670,165 $ 685,808
<CAPTION>
Managed Sectors Series
------------------------------------------------
Year Ended December 31,
------------------------------------------------
1998 1997 1996
Per share data (for a share outstanding throughout each period): ---------------- ---------------- -------------
<S> <C> <C> <C>
Net asset value -- beginning of period ......................................... $ 29.1601 $ 26.2503 $ 25.4468
--------- --------- ---------
Income (loss) from investment operations# --
Net investment income (loss) .................................................. $ (0.0544) $ (0.0597) $ 0.0200
Net realized and unrealized gain (loss) on investments and foreign currency ... 3.7082 6.2302 4.2817
--------- --------- ---------
Total from investment operations ............................................ $ 3.6538 $ 6.1705 $ 4.3017
--------- --------- ---------
Less distributions declared to shareholders --
From net investment income .................................................... $ -- $ (0.0201) $ (0.0758)
From net realized gain on investments and foreign currency transactions ....... (4.5668) (3.2406) (3.4224)
In excess of net realized gain on investments and foreign currency transactions (0.0023) -- --
----------- --------- ---------
Total distributions declared to shareholders ................................ $ (4.5691) $ (3.2607) $ (3.4982)
----------- --------- ---------
Net asset value -- end of period ............................................... $ 28.2448 $ 29.1601 $ 26.2503
=========== ========= =========
Total return++ ................................................................. 12.25% 25.63% 17.58%
Ratios (to average net assets)/Supplemental data:
Expenses## .................................................................... 0.80% 0.82% 0.82%
Net investment income (loss) .................................................. (0.20)% (0.21)% 0.09%
Portfolio turnover ............................................................. 161% 103% 121%
Net assets at end of period (000 Omitted) ...................................... $364,791 $340,627 $ 266,368
<CAPTION>
Managed
Sectors
Series
-------------
Year Ended
December 31,
-------------
1995
Per share data (for a share outstanding throughout each period): -------------
<S> <C>
Net asset value -- beginning of period ......................................... $ 19.8823
---------
Income (loss) from investment operations# --
Net investment income (loss) .................................................. $ 0.0979
Net realized and unrealized gain (loss) on investments and foreign currency ... 6.1880
---------
Total from investment operations ............................................ $ 6.2859
---------
Less distributions declared to shareholders --
From net investment income .................................................... $ (0.0542)
From net realized gain on investments and foreign currency transactions ....... (0.6672)
In excess of net realized gain on investments and foreign currency transactions --
---------
Total distributions declared to shareholders ................................ $ (0.7214)
---------
Net asset value -- end of period ............................................... $ 25.4468
=========
Total return++ ................................................................. 32.29%
Ratios (to average net assets)/Supplemental data:
Expenses## .................................................................... 0.84%
Net investment income (loss) .................................................. 0.42%
Portfolio turnover ............................................................. 113%
Net assets at end of period (000 Omitted) ...................................... $ 194,351
</TABLE>
+ Annualized.
++ Not annualized.
# Per share data are based on average shares outstanding.
## Ratios do not reflect expense reductions from directed brokerage and certain
expense offset arrangements. ++The total return information shown above does
not reflect expenses that apply to the separate accounts established by Sun
Life of Canada (U.S.) and Sun Life (N.Y.). Inclusion of these charges would
reduce the total return figures for all periods shown.
See notes to financial statements.
44
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
Massachusetts Investors Trust
Series
----------------------------------
Six Months Year Ended
Ended December 31,
June 30, 2000 ---------------
(Unaudited) 1999
Per share data (for a share outstanding throughout each period): ------------------ ---------------
<S> <C> <C>
Net asset value -- beginning of period .................................. $ 37.9486 $ 38.2476
----------- ---------
Income from investment operations# --
Net investment income .................................................. $ 0.1316 $ 0.2993
Net realized and unrealized gain on investments and foreign currency ... 0.0658 2.3798
----------- ---------
Total from investment operations ..................................... $ 0.1974 $ 2.6791
----------- ---------
Less distributions declared to shareholders --
From net investment income ............................................. $ (0.2823) $ (0.2810)
From net realized gain on investments and foreign currency transactions (2.5274) (2.6971)
----------- ---------
Total distributions declared to shareholders ......................... $ (2.8097) $ (2.9781)
----------- ---------
Net asset value -- end of period ........................................ $ 35.3363 $ 37.9486
=========== =========
Total return++ .......................................................... 0.72%++ 7.18%
Ratios (to average net assets)/Supplemental data:
Expenses## ............................................................. 0.60%+ 0.59%
Net investment income .................................................. 0.73%+ 0.81%
Portfolio turnover ...................................................... 46% 70%
Net assets at end of period (000 Omitted) ............................... $ 2,208,256 $2,235,783
<CAPTION>
Massachusetts Investors Trust Series
----------------------------------------------
Year Ended December 31,
----------------------------------------------
1998 1997 1996
Per share data (for a share outstanding throughout each period): --------------- --------------- -------------
<S> <C> <C> <C>
Net asset value -- beginning of period .................................. $ 33.1489 $ 26.4978 $ 22.0182
--------- --------- ---------
Income from investment operations# --
Net investment income .................................................. $ 0.3382 $ 0.3714 $ 0.4100
Net realized and unrealized gain on investments and foreign currency ... 7.3482 7.8153 5.0415
--------- --------- ---------
Total from investment operations ..................................... $ 7.6864 $ 8.1867 $ 5.4515
--------- --------- ---------
Less distributions declared to shareholders --
From net investment income ............................................. $ (0.2646) $ (0.2854) $ (0.2936)
From net realized gain on investments and foreign currency transactions (2.3231) (1.2502) (0.6783)
--------- --------- ---------
Total distributions declared to shareholders ......................... $ (2.5877) $ (1.5356) $ (0.9719)
--------- --------- ---------
Net asset value -- end of period ........................................ $ 38.2476 $ 33.1489 $ 26.4978
========= ========= =========
Total return++ .......................................................... 23.85% 31.94% 25.41%
Ratios (to average net assets)/Supplemental data:
Expenses## ............................................................. 0.59% 0.61% 0.61%
Net investment income .................................................. 0.96% 1.23% 1.71%
Portfolio turnover ...................................................... 61% 52% 51%
Net assets at end of period (000 Omitted) ............................... $1,852,728 $1,158,135 $ 571,008
<CAPTION>
Massachusetts
Investors
Trust
Series
-------------
Year Ended
December 31,
-------------
1995
Per share data (for a share outstanding throughout each period): -------------
<S> <C>
Net asset value -- beginning of period .................................. $ 16.4563
---------
Income from investment operations# --
Net investment income .................................................. $ 0.4318
Net realized and unrealized gain on investments and foreign currency ... 5.6172
---------
Total from investment operations ..................................... $ 6.0490
---------
Less distributions declared to shareholders --
From net investment income ............................................. $ (0.3037)
From net realized gain on investments and foreign currency transactions (0.1834)
---------
Total distributions declared to shareholders ......................... $ (0.4871)
---------
Net asset value -- end of period ........................................ $ 22.0182
=========
Total return++ .......................................................... 37.41%
Ratios (to average net assets)/Supplemental data:
Expenses## ............................................................. 0.64%
Net investment income .................................................. 2.25%
Portfolio turnover ...................................................... 60%
Net assets at end of period (000 Omitted) ............................... $ 302,024
</TABLE>
<TABLE>
<CAPTION>
Research Series
----------------------------------
Six Months Year Ended
Ended December 31,
June 30, 2000 ---------------
(Unaudited) 1999
Per share data (for a share outstanding throughout each period): ------------------ ---------------
<S> <C> <C>
Net asset value -- beginning of period .................................. $ 27.6135 $ 23.0231
----------- ---------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.0051 $ 0.0338
Net realized and unrealized gain on investments and foreign currency ... 1.6449 5.3711
----------- ---------
Total from investment operations ..................................... $ 1.6500 $ 5.4049
----------- ---------
Less distributions declared to shareholders --
From net investment income ............................................. $ (0.0272) $ (0.0704)
From net realized gain on investments and foreign currency transactions (2.9532) (0.7441)
----------- ---------
Total distributions declared to shareholders ......................... $ (2.9804) $ (0.8145)
----------- ---------
Net asset value -- end of period ........................................ $ 26.2831 $ 27.6135
=========== =========
Total return++ .......................................................... 6.57%++ 24.14%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................. 0.75%+ 0.75%
Net investment income .................................................. 0.04%+ 0.14%
Portfolio turnover ...................................................... 56% 94%
Net assets at end of period (000 Omitted) ............................... $ 1,312,639 $1,245,431
<CAPTION>
Research Series
--------------------------------------------------------
Year Ended December 31,
--------------------------------------------------------
1998 1997 1996 1995
Per share data (for a share outstanding throughout each period): ------------- ------------- ------------- --------------
<S> <C> <C> <C> <C>
Net asset value -- beginning of period .................................. $ 19.4313 $ 16.5735 $ 13.5777 $ 9.8761
--------- --------- --------- ---------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.0780 $ 0.0678 $ 0.0797 $ 0.1401
Net realized and unrealized gain on investments and foreign currency ... 4.4449 3.3159 3.1330 3.5651
--------- --------- --------- ---------
Total from investment operations ..................................... $ 4.5229 $ 3.3837 $ 3.2127 $ 3.7052
--------- --------- --------- ---------
Less distributions declared to shareholders --
From net investment income ............................................. $ (0.0477) $ (0.0387) $ (0.0328) $ (0.0036)
From net realized gain on investments and foreign currency transactions (0.8834) (0.4872) (0.1841) --
--------- --------- --------- ---------
Total distributions declared to shareholders ......................... $ (0.9311) $ (0.5259) $ (0.2169) $ (0.0036)
--------- --------- --------- ---------
Net asset value -- end of period ........................................ $ 23.0231 $ 19.4313 $ 16.5735 $ 13.5777
========= ========= ========= =========
Total return++ .......................................................... 23.61% 20.86% 23.76% 37.50%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................. 0.76% 0.79% 0.84% 0.58%
Net investment income .................................................. 0.37% 0.37% 0.52% 1.16%
Portfolio turnover ...................................................... 81% 79% 70% 81%
Net assets at end of period (000 Omitted) ............................... $ 988,280 $ 670,302 $ 325,389 $ 71,828
</TABLE>
[sec] For the period indicated below, the investment adviser voluntarily
waived a portion of its fee for the Research Series. If the waiver had
not been in place, the net investment income per share and the ratios
would have been:
<TABLE>
<S> <C>
Net investment income .......... $ 0.0954
Ratios (to average net assets):
Expenses## .................... 0.95%
Net investment income ......... 0.79%
</TABLE>
+ Annualized.
++ Not annualized.
# Per share data are based on average shares outstanding.
## Ratios do not reflect expense reductions from directed brokerage and or
certain expense offset arrangements.
++ The total return information shown above does not reflect expenses that apply
to the separate accounts established by Sun Life of Canada (U.S.) and Sun
Life (N.Y.). Inclusion of these charges would reduce the total return figures
for all periods shown.
See notes to financial statements.
45
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
Total Return Series
----------------------------------
Six Months Year Ended
Ended December 31,
June 30, 2000 ---------------
(Unaudited) 1999
Per share data (for a share outstanding throughout each period): ------------------ ---------------
<S> <C> <C>
Net asset value -- beginning of period .................................. $ 18.7593 $ 21.2635
----------- ---------
Income from investment operations# --
Net investment income .................................................. $ 0.3336 $ 0.6521
Net realized and unrealized gain on investments and foreign currency ... 0.1710 0.0373
----------- ---------
Total from investment operations ..................................... $ 0.5046 $ 0.6894
----------- ---------
Less distributions declared to shareholders --
From net investment income ............................................. $ (0.7098) $ (0.7136)
From net realized gain on investments and foreign currency transactions (1.2166) (2.4800)
----------- ---------
Total distributions declared to shareholders ......................... $ (1.9264) $ (3.1936)
----------- ---------
Net asset value -- end of period ........................................ $ 17.3375 $ 18.7593
=========== =========
Total return++ .......................................................... 2.83%++ 2.84%
Ratios (to average net assets)/Supplemental data:
Expenses## ............................................................. 0.71%+ 0.69%
Net investment income .................................................. 3.69%+ 3.30%
Portfolio turnover ...................................................... 43% 113%
Net assets at end of period (000 Omitted) ............................... $ 1,695,669 $1,879,946
<CAPTION>
Total Return Series
------------------------------------------------
Year Ended December 31,
------------------------------------------------
1998 1997 1996
Per share data (for a share outstanding throughout each period): --------------- --------------- ---------------
<S> <C> <C> <C>
Net asset value -- beginning of period .................................. $ 21.3173 $ 19.4397 $ 18.3848
--------- ---------- ----------
Income from investment operations# --
Net investment income .................................................. $ 0.7305 $ 0.7546 $ 0.7677
Net realized and unrealized gain on investments and foreign currency ... 1.6718 3.2409 1.6795
--------- ---------- ----------
Total from investment operations ..................................... $ 2.4023 $ 3.9955 $ 2.4472
--------- ---------- ----------
Less distributions declared to shareholders --
From net investment income ............................................. $ (0.6858) $ (0.7234) $ (0.7189)
From net realized gain on investments and foreign currency transactions (1.7703) (1.3945) (0.6734)
--------- ---------- ----------
Total distributions declared to shareholders ......................... $ (2.4561) $ (2.1179) $ (1.3923)
--------- ---------- ----------
Net asset value -- end of period ........................................ $ 21.2635 $ 21.3173 $ 19.4397
========= ========== ==========
Total return++ .......................................................... 11.71% 21.98% 14.10%
Ratios (to average net assets)/Supplemental data:
Expenses## ............................................................. 0.70% 0.71% 0.72%
Net investment income .................................................. 3.47% 3.72% 4.15%
Portfolio turnover ...................................................... 116% 113% 134%
Net assets at end of period (000 Omitted) ............................... $1,942,111 $1,696,108 $1,335,022
<CAPTION>
Total Return
Series
---------------
Year Ended
December 31,
---------------
1995
Per share data (for a share outstanding throughout each period): ---------------
<S> <C>
Net asset value -- beginning of period .................................. $ 15.0862
----------
Income from investment operations# --
Net investment income .................................................. $ 0.7824
Net realized and unrealized gain on investments and foreign currency ... 3.1527
----------
Total from investment operations ..................................... $ 3.9351
----------
Less distributions declared to shareholders --
From net investment income ............................................. $ (0.6365)
From net realized gain on investments and foreign currency transactions --
----------
Total distributions declared to shareholders ......................... $ (0.6365)
----------
Net asset value -- end of period ........................................ $ 18.3848
==========
Total return++ .......................................................... 26.71%
Ratios (to average net assets)/Supplemental data:
Expenses## ............................................................. 0.76%
Net investment income .................................................. 4.70%
Portfolio turnover ...................................................... 108%
Net assets at end of period (000 Omitted) ............................... $1,099,887
</TABLE>
<TABLE>
<CAPTION>
Utilities Series
--------------------------------
Six Months Year Ended
Ended December 31,
June 30, 2000 -------------
(Unaudited) 1999
Per share data (for a share outstanding throughout each period): ------------------ -------------
<S> <C> <C>
Net asset value -- beginning of period .................................. $ 19.8406 $ 17.0828
----------- ---------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.6414 $ 0.3452
Net realized and unrealized gain on investments and foreign currency ... 0.1138 4.5225
----------- ---------
Total from investment operations ..................................... $ 0.7552 $ 4.8677
----------- ---------
Less distributions declared to shareholders --
From net investment income ............................................. $ (0.2448) $ (0.2980)
From net realized gain on investments and foreign currency transactions (1.8093) (1.8119)
----------- ---------
Total distributions declared to shareholders ......................... $ (2.0541) $ (2.1099)
----------- ---------
Net asset value -- end of period ........................................ $ 18.5417 $ 19.8406
=========== =========
Total return++ .......................................................... 3.97%++ 31.30%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................. 0.81%+ 0.82%
Net investment income .................................................. 6.39%+ 2.01%
Portfolio turnover ...................................................... 62% 139%
Net assets at end of period (000 Omitted) ............................... $ 508,935 $ 408,901
<CAPTION>
Utilities Series
--------------------------------------------------------
Year Ended December 31,
--------------------------------------------------------
1998 1997 1996 1995
Per share data (for a share outstanding throughout each period): ------------- ------------- ------------- --------------
<S> <C> <C> <C> <C>
Net asset value -- beginning of period .................................. $ 16.4093 $ 13.9874 $ 12.2598 $ 9.5209
--------- --------- --------- ---------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.4394 $ 0.4576 $ 0.5322 $ 0.4918
Net realized and unrealized gain on investments and foreign currency ... 2.3048 3.6873 1.8548 2.5197
--------- --------- --------- ---------
Total from investment operations ..................................... $ 2.7442 $ 4.1449 $ 2.3870 $ 3.0115
--------- --------- --------- ---------
Less distributions declared to shareholders --
From net investment income ............................................. $ (0.3070) $ (0.4248) $ (0.3160) $ (0.2726)
From net realized gain on investments and foreign currency transactions (1.7637) (1.2982) (0.3434) --
--------- --------- --------- ---------
Total distributions declared to shareholders ......................... $ (2.0707) $ (1.7230) $ (0.6594) $ (0.2726)
--------- --------- --------- ---------
Net asset value -- end of period ........................................ $ 17.0828 $ 16.4093 $ 13.9874 $ 12.2598
========= ========= ========= =========
Total return++ .......................................................... 17.54% 32.71% 20.37% 32.36%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................. 0.86% 0.86% 0.88% 0.44%
Net investment income .................................................. 2.68% 3.15% 4.23% 4.62%
Portfolio turnover ...................................................... 148% 144% 131% 119%
Net assets at end of period (000 Omitted) ............................... $ 226,292 $ 123,008 $ 70,680 $ 43,134
</TABLE>
[sec] The investment adviser voluntarily waived a portion of its fee for
the Utilities Series for the period indicated below. If the waiver had
not been in place, the net investment income per share and the ratios
would have been:
<TABLE>
<S> <C>
Net investment income ....... $ 0.4375
Ratios (to average net assets):
Expenses## ................. 0.95%
Net investment income ...... 4.12%
</TABLE>
+ Annualized.
++ Not annualized.
# Per share data are based on average shares outstanding.
## Ratios do not reflect expense reductions from directed brokerage and certain
offset arrangements. ++The total return information shown above does not
reflect expenses that apply to the separate accounts established by Sun Life
of Canada (U.S.) and Sun Life (N.Y.). Inclusion of these charges would reduce
the total return figures for all periods shown.
See notes to financial statements.
46
<PAGE>
MFS/Sun Life Series Trust
Notes to Financial Statements (Unaudited)
(1) Business and Organization
The Trust is organized as a Massachusetts business trust and is registered under
the Investment Company Act of 1940, as amended, as an open-end management
investment company consisting of twenty-eight separate series (the series) of
shares: Bond Series, Capital Appreciation Series*, Capital Opportunities Series,
Emerging Growth Series*, Emerging Markets Series, Equity Income Series, Global
Asset Allocation Series, Global Government Series, Global Growth Series*, Global
Total Return Series, Government Securities Series, High Yield Series,
International Growth Series, International Growth and Income Series, Managed
Sectors Series*, Massachusetts Investors Growth Stock Series, Massachusetts
Investors Trust Series*, Money Market Series, New Discovery Series, Research
Series*, Research Growth and Income Series, Research International Series,
Strategic Growth Series, Strategic Income Series, Technology Series, Total
Return Series*, Utilities Series*, and Zero Coupon Series, 2000 Portfolio. All
of these series are diversified except for the Global Asset Allocation Series,
Global Government Series, Global Growth Series, Global Total Return Series, High
Yield Series, Managed Sectors Series, Strategic Income Series, and Utilities
Series, which are non-diversified as that term is defined in the Investment
Company Act of 1940, as amended. The shares of each series are sold only to
variable accounts established by Sun Life Assurance Company of Canada (U.S.) and
Sun Life Insurance and Annuity Company of New York to fund benefits under
variable contracts issued by such companies.
The series denoted with an asterisk above are included within these financial
statements.
(2) Significant Accounting Policies
General -- The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates. The series
can invest in foreign securities. 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. Securities for which there are no such quotations
or valuations are valued in good faith, at fair value, by the Trustees.
Foreign Currency Translation -- Investment valuations, other assets, and
liabilities initially expressed in foreign currencies are converted each
business day into U.S. dollars based upon current exchange rates. Purchases and
sales of foreign investments, income, and expenses are converted into U.S.
dollars based upon currency exchange rates prevailing on the respective dates of
such transactions. Gains and losses attributable to foreign currency exchange
rates on sales of securities are recorded for financial statement purposes as
net realized gains and losses on investments. Gains and losses attributable to
foreign exchange rate movements on income and expenses are recorded for
financial statement purposes as foreign currency transaction gains and losses.
That portion of both realized and unrealized gains and losses on investments
that results from fluctuations in foreign currency exchange rates is not
separately disclosed.
Security Loans -- State Street Bank and Trust Company ("State Street") and Chase
Manhattan Bank ("Chase"), as lending agents, may loan the securities of each
series, with the exception of the Capital Appreciation Series and Managed
Sectors Series, to certain qualified institutions (the "Borrowers") approved by
each series. The loans are collateralized at all times by cash and/or U.S.
Treasury securities in an amount at least equal to the market value of the
securities loaned. State Street and Chase provide the series with
indemnification against Borrower default. The series bears the risk of loss with
respect to the investment of cash collateral.
Cash collateral is invested in short-term securities. A portion of the income
generated upon investment of the collateral is remitted to the Borrowers, and
the remainder is allocated between the series and the lending agents. On loans
collateralized by U.S. Treasury securities, a fee is received from the Borrower,
and is allocated between the series and the lending agents. Income from
securities lending is included in interest income on the Statements of
Operations. The dividend and interest income earned on the securities loaned is
accounted for in the same manner as other dividend and interest income.
At June 30, 2000, the value of securities loaned and the collateral on these
loans were as follows:
<TABLE>
<CAPTION>
Emerging Global Massachusetts
Growth Growth Investors Trust
Series Series Series
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Value of securities loaned ......... $30,996,369 $43,881,448 $10,658,260
Collateralized by:
U.S. Treasury securities .......... 31,865,900 4,510,181 10,751,457
Cash .............................. -- 41,672,217 --
</TABLE>
47
<PAGE>
Notes to Financial Statements (Unaudited) -- continued
<TABLE>
<CAPTION>
Research Utilities
Series Series
--------------------------------------------------------------------------------
<S> <C> <C>
Value of Securities Loaned ......... $58,297,796 $42,034,426
Cash collateral .................... 60,042,345 43,577,167
</TABLE>
Cash collateral listed above was invested in the following short-term
obligations:
<TABLE>
<CAPTION>
Global Growth Series Research Series
--------------------------- ---------------------------
Identified Shares/ Amortized
Cost and Principal Cost and
Issuer Shares Value Amount Value
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Navigator Securities Lending Prime Portfolio . 41,672,217 $41,672,217 60,000,763 $60,000,763
Salomon Smith, Barney Inc., 6.85%, due 7/3/00 -- --
Salomon Smith, Barney Inc., 7.13%, due 7/3/00 41,582 41,582
-----------
Total amortized cost and value ............... $60,042,345
-----------
<CAPTION>
Utilities Series
----------------------------
Shares/ Amortized
Principal Cost and
Issuer Amount Value
--------------------------------------------------------------------------------
<S> <C> <C>
Navigator Securities Lending Prime Portfolio . 36,850,253 $36,580,253
Salomon Smith, Barney Inc., 6.85%, due 7/3/00 $ 3,000,000 3,000,000
Salomon Smith, Barney Inc., 7.13%, due 7/3/00 $ 3,996,914 3,996,914
-----------
Total amortized cost and value ............... $43,577,167
-----------
</TABLE>
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. The series may also use contracts in a manner
intended to protect foreign currency-denominated securities from declines in
value due to unfavorable exchange rate movements. For non-hedging purposes, the
series may enter into contracts with the intent of changing the relative
exposure of the series' portfolio of securities to different currencies to take
advantage of anticipated changes. The forward foreign currency exchange
contracts are adjusted by the daily exchange rate of the underlying currency and
any gains or losses are recorded as unrealized until the contract settlement
date. On contract settlement date, the gains or losses are recorded as realized
gains or losses on foreign currency transactions.
Investment Transactions and Income -- Investment transactions are recorded on
the trade date. Interest income is recorded on the accrual basis. All discount
is accreted for financial statement and tax reporting purposes as required by
federal income tax regulations. Dividends received in cash are recorded on the
ex-dividend date. Dividend and interest payments received in additional
securities are recorded on the ex-dividend or ex-interest date in an amount
equal to the value of the security on such date.
Fees Paid Indirectly -- Each series' custody fee is reduced according to an
arrangement that measures the value of cash deposited with the custodian by the
series. During the period, each series' custodian fees were reduced under this
arrangement as noted below. Each series has entered into a directed brokerage
agreement, under which the broker will credit the series a portion of the
commissions generated, to offset certain expenses of the series. During the
period, the series' custodian fees were reduced under this agreement as noted
below. These amounts are shown as a reduction of expenses on the Statements of
Operations.
<TABLE>
<CAPTION>
Capital Emerging Global Managed
Appreciation Growth Growth Sector
Series Series Series Series
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Balance credits .................... $ 37,618 $20,507 $5,669 $16,109
Directed brokerage credits ......... 90,419 20,229 556 44,766
-------- ------- ------ -------
Total .............................. $128,037 $40,736 $6,225 $60,875
-------- ------- ------ -------
</TABLE>
<TABLE>
<CAPTION>
Massachusetts
Investors Total
Trust Research Return Utilities
Series Series Series Series
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Balance credits .................... $ 3,924 $ 6,657 $37,635 $7,967
Directed brokerage credits ......... 100,636 25,306 3,122 1,401
-------- ------- ------- ------
Total .............................. $104,560 $31,963 $40,757 $9,368
-------- ------- ------- ------
</TABLE>
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 net taxable
income, including any net realized gain on investments. Accordingly, no
provision for federal income or excise tax is provided.
Distributions to shareholders are recorded on the ex-dividend date. The series
distinguishes between distributions on a tax basis and a financial reporting
basis and only distributions in excess of tax basis earnings and profits are
reported in the financial statements as distributions from paid-in capital.
Differences in the recognition or classification of income between the financial
statements and tax earnings and profits that result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or net realized gains.
48
<PAGE>
Notes to Financial Statements (Unaudited) -- continued
(3) Transactions with Affiliates
Investment Adviser -- Each series 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. The management fee
is computed daily and paid monthly at an annual rate based on a percentage of
each series' average daily net assets. The agreement also provides that each
series will be reimbursed for expenses in excess of the expense limitation
indicated below, based on average net assets of each series. Management fees and
expense limitations are as follows:
<TABLE>
<CAPTION>
Management Expense
Fees Limitations
---------------------------------------------------------------------------------------------------
<S> <C> <C>
Capital Appreciation Series .................. 0.75%* 1.25%
Emerging Growth Series ....................... 0.75%* N/A
Global Growth Series ......................... 0.90% N/A
Managed Sectors Series ....................... 0.75%* 1.25%
Massachusetts Investors Trust Series ......... 0.55% 1.25%
Research Series .............................. 0.75%* N/A
Total Return Series .......................... 0.75%* 1.25%
Utilities Series ............................. 0.75%* N/A
</TABLE>
*The management fee for Capital Appreciation Series is 0.75% of the first $1
billion of average net assets, 0.675% of the average net assets of the next $500
million and 0.65% of the average net assets in excess of $1.5 billion. The
management fee for the Emerging Growth Series, Managed Sectors Series, Research
Series, Total Return Series and Utilities Series is 0.75% of the first $300
million of average net assets and 0.675% of the average net assets in excess of
$300 million. The management fee for the Total Return Series is reduced to 0.60%
of the average net assets in excess of $1 billion.
The trust pays no compensation directly to its Trustees or officers who are
affiliated with MFS or Sun Life Assurance Company of Canada (U.S.), all of whom
receive remuneration for their services to the trust from MFS or Sun Life
Assurance Company of Canada. Certain officers and Trustees of the trust are
officers or directors of MFS or Sun Life Assurance Company of Canada.
Administrator -- The trust has an administrative services agreement with MFS to
provide each series with certain financial, legal, shareholder servicing,
compliance, and other administrative services. As a partial reimbursement for
the cost of providing these services, each series incurs an administrative fee
at the following annual percentages of the series' average daily net assets:
<TABLE>
<S> <C>
First $2 billion ................ 0.0175%
Next $2.5 billion ............... 0.0130%
Next $2.5 billion ............... 0.0005%
In excess of $7 billion ......... 0.0000%
</TABLE>
49
<PAGE>
Notes to Financial Statements (Unaudited) -- continued
(4) Portfolio Securities
Purchases and sales of investments, other than purchased option transactions and
short-term obligations, were as follows:
<TABLE>
<CAPTION>
Capital Emerging Global Managed
Appreciation Growth Growth Sectors
Series Series Series Series
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Purchases
U.S. government securities ........................... $ 16,022,883 $ -- $ -- $ 9,258,946
============== ============== ============ ==============
Investments (non-U.S. government securities) ......... $1,454,690,878 $1,563,255,685 $422,117,600 $1,730,630,213
============== ============== ============ ==============
Sales
U.S. government securities ........................... $ 5,364,625 $ -- $ -- $ 13,505,021
============== ============== ============ ==============
Investments (non-U.S. government securities) ......... $1,549,171,402 $1,438,034,573 $393,256,192 $1,736,703,222
============== ============== ============ ==============
</TABLE>
<TABLE>
<CAPTION>
Massachusetts Total
Investors Trust Research Return Utilities
Series Series Series Series
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Purchases
U.S. government securities ........................... $ 25,589,435 $ 3,848,686 $300,337,675 $ 25,561,533
============ ============ ============ ============
Investments (non-U.S. government securities) ......... $930,195,227 $690,044,331 $420,309,025 $327,201,952
============ ============ ============ ============
Sales
U.S. government securities ........................... $ -- $ 300,120 $314,841,877 $ 19,685,143
============ ============ ============ ============
Investments (non-U.S. government securities) ......... $965,095,063 $695,443,865 $616,864,178 $254,251,864
============ ============ ============ ============
</TABLE>
The cost and unrealized appreciation and depreciation in the value of the
investments owned by each series, as computed on a federal income tax basis, are
as follows:
<TABLE>
<CAPTION>
Capital Emerging Global Managed
Appreciation Growth Growth Sectors
Series Series Series Series
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aggregate cost ........................ $1,745,690,429 $1,145,153,401 $ 387,386,085 $ 618,292,910
============== ============== ============= =============
Gross unrealized appreciation ......... $ 521,698,106 $ 475,657,532 $ 105,850,804 $ 72,051,116
Gross unrealized depreciation ......... (121,602,378) (46,709,583) (27,129,580) (16,310,458)
-------------- -------------- ------------- -------------
Net unrealized appreciation .......... $ 400,095,728 $ 428,947,949 $ 78,721,224 $ 55,740,658
============== ============== ============= =============
</TABLE>
<TABLE>
<CAPTION>
Massachusetts Total
Investors Trust Research Return Utilities
Series Series Series Series
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Aggregate cost ........................ $1,940,229,120 $1,049,229,131 $1,655,317,675 $ 489,549,045
============== ============== ============== =============
Gross unrealized appreciation ......... $ 348,487,128 $ 304,413,971 $ 119,769,911 $ 52,995,173
Gross unrealized depreciation ......... (84,945,380) (51,030,824) (84,849,087) (40,568,097)
-------------- -------------- -------------- -------------
Net unrealized appreciation .......... $ 263,541,748 $ 253,383,147 $ 34,920,824 $ 12,427,076
============== ============== ============== =============
</TABLE>
(5) Shares of Beneficial Interest
The trust's 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
---------------------------------
Six Months Ended
June 30, 2000
---------------------------------
Shares Amount
---------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ................................................... 4,080,548 $ 217,855,292
Shares issued to shareholders in reinvestment of distributions 5,873,852 265,909,302
Shares reacquired ............................................. (5,421,870) (287,704,321)
---------- ---------------
Net increase ................................................. 4,532,530 $ 196,060,273
========== ===============
<CAPTION>
Capital Appreciation Series Emerging Growth Series
---------------------------------- -------------------------------
Year Ended Six Months Ended
December 31, 1999 June 30, 2000
---------------------------------- -------------------------------
Shares Amount Shares Amount
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 8,024,620 $ 358,451,759 6,083,259 $ 237,422,978
Shares issued to shareholders in reinvestment of distributions 4,546,854 191,013,349 4,316,652 144,089,835
Shares reacquired ............................................. (10,923,762) (490,441,191) (2,179,718) (83,776,204)
----------- --------------- ---------- -------------
Net increase ................................................. 1,647,712 $ 59,023,917 8,220,193 $ 297,736,609
=========== =============== ========== =============
<CAPTION>
Emerging Growth Series
---------------------------------
Year Ended
December 31, 1999
---------------------------------
Shares Amount
--------------- -----------------
<S> <C> <C>
Shares sold ................................................... 9,432,929 $ 248,645,971
Shares issued to shareholders in reinvestment of distributions 522,004 12,679,477
Shares reacquired ............................................. (5,729,940) (151,383,541)
---------- ---------------
Net increase ................................................. 4,224,993 $ 109,941,907
========== ===============
</TABLE>
<TABLE>
<CAPTION>
Global Growth Series
-----------------------------------------------------------------
Six Months Ended Year Ended
June 30, 2000 December 31, 1999
-------------------------------- --------------------------------
Shares Amount Shares Amount
--------------- ---------------- --------------- ----------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 2,450,132 $ 59,115,530 2,284,833 $ 41,021,343
Shares issued to shareholders in reinvestment of distributions 3,426,131 68,659,673 704,297 11,548,753
Shares reacquired ............................................. (1,625,424) (38,003,244) (2,762,363) (47,378,680)
---------- -------------- ---------- --------------
Net increase ................................................. 4,250,839 $ 89,771,959 226,767 $ 5,191,416
========== ============== ========== ==============
<CAPTION>
Managed Sectors Series
---------------------------------------------------------------
Six Months Ended Year Ended
June 30, 2000 December 31, 1999
------------------------------- -------------------------------
Shares Amount Shares Amount
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 2,146,637 $ 106,651,913 2,980,721 $ 104,644,010
Shares issued to shareholders in reinvestment of distributions 3,321,469 125,717,601 -- --
Shares reacquired ............................................. (1,430,658) (67,633,078) (2,813,473) (92,450,323)
---------- ------------- ---------- -------------
Net increase ................................................. 4,037,448 $ 164,736,436 167,248 $ 12,193,687
========== ============= ========== =============
</TABLE>
50
<PAGE>
Notes to Financial Statements (Unaudited) -- continued
<TABLE>
<CAPTION>
Massachusetts Investors Trust
Series
---------------------------------
Six Months Ended
June 30, 20000
---------------------------------
Shares Amount
--------------- -----------------
<S> <C> <C>
Shares sold ................................................... 4,672,940 $ 169,324,810
Shares issued to shareholders in reinvestment of distributions 4,689,830 161,564,652
Shares reacquired ............................................. (5,786,257) (210,471,651)
---------- ---------------
Net increase .................................................. 3,576,513 $ 120,417,811
========== ===============
<CAPTION>
Massachusetts Investors Trust
Series Research Series
--------------------------------- --------------------------------
Year Ended Six Months Ended
December 31, 1999 June 30, 2000
--------------------------------- --------------------------------
Shares Amount Shares Amount
--------------- ----------------- --------------- ----------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 13,463,473 $ 496,916,788 2,234,913 $ 60,606,745
Shares issued to shareholders in reinvestment of distributions 4,121,746 152,875,540 5,348,325 133,280,272
Shares reacquired ............................................. (7,109,457) (260,306,523) (2,743,206) (74,975,948)
---------- --------------- ---------- -------------
Net increase .................................................. 10,475,762 $ 389,485,805 4,840,032 $118,911,069
========== =============== ========== =============
<CAPTION>
Research Series
---------------------------------
Year Ended
December 31, 1999
---------------------------------
Shares Amount
--------------- -----------------
<S> <C> <C>
Shares sold ................................................... 6,272,326 $ 148,336,309
Shares issued to shareholders in reinvestment of distributions 1,522,097 35,358,306
Shares reacquired ............................................. (5,617,721) (133,342,798)
---------- ---------------
Net increase .................................................. 2,176,702 $ 50,351,817
========== ===============
</TABLE>
<TABLE>
<CAPTION>
Total Return Series
---------------------------------------------------
Year Ended
Six Months Ended December 31,
June 30, 20000 1999
---------------------------------- ----------------
Shares Amount Shares
---------------- ----------------- ----------------
<S> <C> <C> <C>
Shares sold ................................................... 3,983,434 $ 72,143,976 13,008,731
Shares issued to shareholders in reinvestment of distributions 10,127,233 173,378,233 14,903,204
Shares reacquired ............................................. (16,521,068) (299,337,231) (19,033,276)
----------- -------------- ------------
Net increase (decrease) ....................................... (2,410,401) $(53,815,022) 8,878,659
=========== ============== ============
<CAPTION>
Total Return
Series
-----------------
Year Ended
December 31, 1999
-----------------
Amount
-----------------
<S> <C>
Shares sold ................................................... $ 254,791,634
Shares issued to shareholders in reinvestment of distributions 287,631,830
Shares reacquired ............................................. (370,968,477)
---------------
Net increase (decrease) ....................................... $ 171,454,987
===============
<CAPTION>
Utilities Series
-------------------------------------------------------------
Six Months Ended Year Ended
June 30, 2000 December 31, 1999
----------------------------- -------------------------------
Shares Amount Shares Amount
------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Shares sold ................................................... 5,045,841 $ 102,072,642 7,687,866 $ 130,877,546
Shares issued to shareholders in reinvestment of distributions 2,638,163 48,120,091 1,909,924 30,921,663
Shares reacquired ............................................. (845,220) (16,846,746) (2,235,342) (38,179,041)
--------- ------------- ---------- -------------
Net increase (decrease) ....................................... 6,838,784 $ 133,345,987 7,362,448 $ 123,620,168
========= ============= ========== =============
</TABLE>
(6) Line of Credit
Each series and other affiliated funds participate in a $1.1 billion unsecured
line of credit provided by a syndication of banks under a line of credit
agreement. Borrowings may be made for temporary financing needs. 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 fee allocated to each series for the six
months ended June 30, 2000, were as follows:
<TABLE>
<CAPTION>
Commitment
Fee
-----------
<S> <C>
Capital Appreciation Series .................. $7,624
Emerging Growth Series ....................... 5,959
Global Growth Series ......................... 1,813
Managed Sectors Series ....................... 2,517
Massachusetts Investors Trust Series ......... 7,872
Research Series .............................. 4,579
Total Return Series .......................... 5,650
Utilities Series ............................. 1,718
</TABLE>
Each series had no significant borrowings during the period.
(7) Restricted Securities
Each series of the trust is restricted from investing more than a certain amount
in securities which are subject to legal or contractual restrictions on resale.
Such restrictions range from 0% to 15% of the series' net assets. At June 30,
2000, the Total Return Series owned the following restricted security, excluding
securities issued under Rule 144A, constituting 0.03% of net assets which may
not be publicly sold without registration under the Securities Act of 1933. Each
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, in good faith, at fair value, by the
Trustees.
<TABLE>
<CAPTION>
Date of Par
Description Acquisition Amount Cost Value
------------------------------------------------------ ------------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Merrill Lynch Mortgage Investors, Inc., 8.434s, 2022 6/22/94 $514,000 $356,266 $491,031
========
</TABLE>
----------------------------------------------
This MFS[RegTM]/Sun Life Series Trust Semiannual Report is prepared for the
general information of contract owners. It is authorized
for distribution to prospective investors only when preceded
or accompanied by the current prospectus.
51
<PAGE>
MFS[RegTM]/Sun Life Series Trust
500 Boylston Street, Boston, MA 02116-3741
Trustees
Samuel Adams, Trustee
Counsel, Kirkpatrick & Lockhart LLP,
Boston, Massachusetts
David D. Horn, Trustee
Former Senior Vice President and General Manager,
Sun Life Assurance Company of Canada,
New Vineyard, Maine
Garth Marston, Trustee Emeritus
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
Private investor and real estate consultant;
Vice Chairman, Capitol Entertainment Management Company,
Dallas, Texas
J. Kermit Birchfield,+ Trustee
Consultant; Chairman, Display Technology, Inc.;
Managing Director, Century Partners, Inc.,
Gloucester, Massachusetts
Officers
C. James Prieur,# President
Stephen E. Cavan,* Secretary and Clerk
James R. Bordewick, Jr.,* Assistant Secretary
James O. Yost,* Treasurer
Mark E. Bradley,* Assistant Treasurer
Ellen Moynihan,* Assistant Treasurer
Investment Adviser
Massachusetts Financial Services Company
500 Boylston Street, Boston, MA 02116-3741
Custodian and Dividend Disbursing Agent
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110-2875
Portfolio Managers*
Jean O. Alessandro
David A. Antonelli
John W. Ballen
Stephen C. Bryant
David M. Calabro
Mitchell D. Dynan
Joseph C. Flaherty, Jr.
Geoffrey L. Kurinsky
John D. Laupheimer, Jr.
David R. Mannheim
Paul M. McMahon
Steven E. Nothern
Lisa B. Nurme
Stephen Pesek
Bernard Scozzafava
David Sette-Ducati
Maura A. Shaughnessy
Toni Y. Shimura
Frederick J. Simmons
Brian E. Stack
+ Independent Trustee
# Sun Life Assurance Company of Canada
* MFS Investment Management[RegTM]
SUN-3B 08/00 280.6M
