<PAGE>
American General
Series Portfolio
Company
Annual Report
May 31, 2000
AMERICAN
GENERAL
FINANCIAL GROUP
<PAGE>
AMERICAN GENERAL SERIES PORTFOLIO COMPANY - ANNUAL REPORT MAY 31, 2000
TABLE OF CONTENTS
<TABLE>
<S> <C>
President's Letter.......................................................... 1
Schedules of Investments:
Stock Index Fund........................................................... 3
MidCap Index Fund.......................................................... 11
Small Cap Index Fund....................................................... 18
International Equities Fund................................................ 35
Growth Fund................................................................ 41
Growth & Income Fund....................................................... 44
Science & Technology Fund.................................................. 48
Social Awareness Fund...................................................... 51
Asset Allocation Fund...................................................... 56
Capital Conservation Fund.................................................. 65
Government Securities Fund................................................. 68
International Government Bond Fund......................................... 70
Money Market Fund.......................................................... 74
Statements of Assets and Liabilities........................................ 77
Statements of Operations.................................................... 79
Statements of Changes in Net Assets......................................... 81
Notes to Financial Statements............................................... 84
Financial Highlights........................................................ 88
Report of Independent Auditors.............................................. 95
</TABLE>
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<PAGE>
PRESIDENT'S LETTER 1
Dear Valued Customer,
Welcome to the new and improved American General Series Portfolio Company
(AGSPC) Annual Report. To better assist you in achieving your financial goals,
we have revised the format to make the report easier to read and to give you
important performance information for each portfolio. In addition to this
performance update, we welcome this opportunity to present the investment
viewpoints of our fund sub-advisors, the day-to-day fund managers. We hope you
like the new "look."
May 31, 2000, marks the end of the fiscal year for AGSPC. The 13 Funds that
make up AGSPC are key options in building a diversified portfolio. The Funds
that you choose need to work together in order to build an investment strategy
appropriate for your individual financial time-horizons. Through your variable
insurance product, you are permitted to invest in one or more of these Funds.
Disciplined investment management is critical when building a diversified
portfolio, and our commitment to providing consistent performance is reflected
in the returns for these Funds. The Fund-specific returns are presented in
chart format following this letter.
MARKET CONDITIONS
Since our last report late in 1999, domestic interest rates continued to rise
in response to actual and expected economic growth and its associated inflation
risk. This resulted in lower prices for bonds and generally lower levels of
returns for domestic stocks. On May 16, the Federal Reserve abandoned its
gradualist approach and voted to raise both its discount rate and the target
rate for the Federal funds rate by 50 basis points. This was the sixth
tightening since last June, bringing the total increase to 175 basis points.
The U.S. stock market, which had climbed so rapidly during much of the past
five years, moved up only modestly during this period of rate hikes.
In the U.S., mid cap stocks performed better than small and large cap stocks,
and growth stocks continued to outperform value stocks. Technology stocks had
the lowest returns in recent memory, generating a total return as measured by
the NASDAQ Index of about 2.0%, adjusted for dividends. The Russell 2000 Index
gained 5.5%, adjusted for dividends, for the six months, while the S&P 500
trailed, for a change, with a gain of 2.9%, adjusted for dividends. The Russell
1000 Growth Index, adjusted for dividends, returned 6.8%, while the Russell
1000 Value Index lagged with a negative 0.3% return, adjusted for dividends.
Internationally, the past six months contrasted sharply with the past twelve
months. Over the six months ended May 31, 2000, many international equity
markets were lower in value with returns below U.S. levels. EAFE, a widely
followed international index, had a return of 0.6%, adjusted for dividends. For
the twelve months ended May 31, 2000, most foreign markets had very positive
returns and were comfortably ahead of most U.S. indices. Throughout 1999 and
into the early months of 2000, the telecommunication, media, and technology
stocks staged extremely powerful rallies. Starting in late March of 2000, high
flying stocks were subjected to heavy profit taking and investor reevaluation
of profitability. While the growth stocks were rallying, emerging nations
staged unexpectedly sharp economic recoveries. Investors sought the high return
in these markets and allocated money to them. As the high flyers fell,
investors shifted their focus to the high risk in emerging markets and pulled
back from Asia and Latin America.
One constant for the past six and twelve months has been the strength of the
U.S. Dollar. This has come particularly at the expense of the Euro, which fell
7.0% in the six months ended May 31, 2000. U.S. economic growth and excellent
mix of fiscal and monetary policies has led to significant foreign direct
investment into the U.S.
Thank you for your continued confidence in our ability to help you invest your
assets wisely.
Sincerely,
/s/ Alice T. Kane
Alice T. Kane, President
American General Series Portfolio Company
[CHART APPEARS HERE]
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<PAGE>
2 PRESIDENT'S LETTER
FUND RETURNS AND TRACKING DIFFERENCES
For the Fiscal Year Ended May 31, 2000
<TABLE>
<CAPTION>
(3) (4)
Fund Total
Performance Index
Before Return
(1) (2) Subtracting Including Tracking
AGSPC Fund/Relevant Fund Fund Expenses Reinvested Differences
Market Index Return(a) Expenses (1) + (2) Dividends (3) - (4)
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Indexed Funds:
Stock Index Fund / S&P 500 Index...... 10.10% 0.31% 10.41% 10.48% (0.07)
MidCap Index Fund /
S&P Mid Cap 400 Index................. 21.36 0.36 21.72 21.46 0.26
Small Cap Index Fund / Russell
2000 Index............................ 10.22 0.40 10.62 9.91 0.71
International Equities Fund / EAFE.... 18.01 0.41 18.42 17.14 1.28
Managed Funds:
Growth Fund / S&P 500 Index........... 0.96 0.85 1.81 10.48 (8.67)
Growth & Income Fund /
S&P 500 Index......................... 9.67 0.80 10.47 10.48 (0.01)
Science & Technology Fund / S&P 500
Index................................. 52.65 0.96 53.61 10.48 43.13
Social Awareness Fund /
S&P 500 Index......................... 7.49 0.55 8.04 10.48 (2.44)
Asset Allocation Fund / Benchmark(b).. 6.65 0.55 7.20 7.15 0.05
Capital Conservation Fund / Merrill
Lynch Corporate Master Bond........... 0.13 0.55 0.68 (0.38) 1.06
Government Securities Fund / Lehman
Brothers U.S. Treasury Composite...... 1.74 0.55 2.29 3.32 (1.03)
International Government Bond Fund /
Salomon Brothers Non-U.S. Dollar World
Government Bond....................... (4.43) 0.52 (3.91) (2.74) (1.17)
Money Market Fund / 30 Day Certificate
of Deposit Primary Offering Rate by
New York City Banks (NYC 30 Day CD
Rate)................................. 5.21 0.56 5.77 4.64 1.13
</TABLE>
---------
(a) Fund level returns are net of investment management fees and other fund
expenses, but do not reflect charges specified in annuity contracts for
mortality and expense guarantees, administrative fees, or surrender
charges.
(b) Benchmark consists of 55% S&P 500 Index, 35% Merrill Lynch Corporate and
Government Master Index, and 10% NYC 30 Day CD Rate.
SUMMARY OF NET ASSET VALUES PER SHARE
AND PER SHARE DISTRIBUTIONS
<TABLE>
<CAPTION>
Distributions from Net
Investment Income and
Net Realized Gains on
Net Asset Values (per share) Securities (per share)
---------------------------- ------------------------
(unaudited)
May 31, November 30, May 31, 6/1/99 to 12/1/99 to
Fund 1999 1999 2000 11/30/99 5/31/00
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Stock Index Fund
(emulate
S&P 500 Index).......... $39.73 $42.37 $42.98 $ 0.20 $ 0.55
MidCap Index Fund
(emulate
S&P Mid Cap 400 Index).. 25.64 27.29 23.73 0.11 6.51
Small Cap Index Fund
(emulate
Russell 2000 Index)..... 15.84 16.44 15.66 0.09 1.70
International Equities
Fund (emulate
EAFE Index)............. 11.32 13.27 12.55 0.06 0.76
Growth Fund (long-term
growth
of capital)............. 24.12 22.69 23.31 - 1.01
Growth & Income Fund
(long-term growth of
capital and current
income)................. 21.53 23.11 21.04 0.06 2.54
Science & Technology
Fund (long-term growth
of capital)............. 29.95 44.07 41.14 - 5.07
Social Awareness Fund
(social criteria growth
stocks)................. 24.11 25.56 24.77 0.09 1.06
Asset Allocation Fund
(asset allocation)...... 14.43 14.88 14.68 0.20 0.50
Capital Conservation
Fund (quality corporate
bonds).................. 9.39 9.08 8.78 0.31 0.31
Government Securities
Fund (intermediate and
long-term government
bonds).................. 9.90 9.63 9.51 0.27 0.28
International Government
Bond Fund
(high quality foreign
government
debt securities)........ 11.62 11.55 10.88 0.16 0.08
Money Market Fund (money
market instruments)..... 1.00 1.00 1.00 0.02 0.03
</TABLE>
The change in net asset value of the funds will not be the same as the change
in the accumulation unit value of your annuity contract because (1) the change
in net asset value does not reflect the reinvestment of income and capital
gain distributions and (2) the mortality and expense charges described in your
annuity contract are not included.
-------------------------------------------------------------------------------
<PAGE>
May 31, 2000 STOCK INDEX FUND 3
Average Annual Total Return--Fund
1 Year 5 Year 10 Year
------------------------------------------------------------
10.10% 23.49% 16.86%
GROWTH OF $10,000 INVESTMENT
Fiscal Year Ended May 31
Balanced Fund S&P 500
------------- -------
5/91 10,998 11,179
5/92 11,941 12,281
5/93 13,343 13,706
5/94 13,782 14,290
5/95 16,536 17,175
5/96 21,194 22,058
5/97 27,390 28,549
5/98 35,689 37,307
5/99 43,132 45,156
5/00 47,489 49,888
Past performance is not predictive of future performance.
The Fund returns reflect investment management fees and other Fund expenses. The
Fund returns do not reflect charges included in the annuity contract or variable
life policy for mortality and expense guarantees, administrative fees or
surrender charges.
Portfolio at a Glance
Total assets: $5,382,446,562
NAV on 05/31/00: $42.98
One year total return: 10.10%
Net expense ratio: 0.31%
Inception date: 04/20/87
MANAGEMENT OVERVIEW
A discussion with portfolio manager
Magali Azema-Barac, PhD
Describe the benchmark the Fund expects to echo.
The Stock Index Fund seeks to replicate the performance of the S&P 500 Index.
The S&P 500 Index consists of 500 of the largest domestic stocks chosen for
market size, liquidity, and industry group representation. It is a market-value
weighted index (stock price times number of shares outstanding), with each
stock's weight in the Index proportionate to its market value.
How did the Fund perform relative to its benchmark?
The large cap market as measured by the S&P 500 Index returned 10.48% for the
fiscal year ending May 31, 2000 vs. 10.10% for the Fund.
What were the dominant sectors in the S&P 500 Index?
Technology was the best performing sector in the S&P 500 for the year ending
May 31, 2000 with a return of 47.03% followed by Capitol Goods at a distant
21.21%. Transportation was the weakest sector in the S&P 500 for the year
ending May 31, 2000 with a negative return of 33.2%, while Commercial Services
fared somewhat better but still checked in at a disappointing negative 9.55%.
Top 10 Holdings
<TABLE>
<C> <S> <C>
1. General Electric Co. .... 4.22%
2. Intel Corp. ............. 3.39%
3. Cisco Systems, Inc. ..... 3.18%
4. Microsoft Corp. ......... 2.65%
5. Exxon Mobil Corp. ....... 2.34%
6. Wal-Mart Stores, Inc. ... 2.09%
7. Citigroup, Inc. ......... 1.71%
8. Oracle Corp. ............ 1.65%
9. International Business
Machines................. 1.58%
10. Lucent Technologies,
Inc. .................... 1.49%
</TABLE>
Portfolio holdings are subject to change.
What do you see ahead in the market for the next fiscal period?
The markets continue to be volatile as we enter the 18th year of this current
bull market; demographics continue to favor the stock market as a long-term
investment, as more and more baby boomers plan their retirement.
/s/ Magali Azema-Barac
Magali Azema-Barac, PhD
Portfolio Manager
--------------------------------------------------------------------------------
<PAGE>
4 STOCK INDEX FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 98.85%
ADVERTISING - 0.25%
122,900 Interpublic Group Corp. ........................ $ 5,277,019
77,600 Omnicom Group, Inc. ............................ 6,513,550
30,400 Young & Rubicam, Inc. .......................... 1,451,600
--------------
13,242,169
--------------
AEROSPACE/DEFENSE - 1.26%
48,200 B.F. Goodrich Co. .............................. 1,711,100
380,300 Boeing Co. ..................................... 14,855,469
28,800 Crane Co. ...................................... 759,600
87,900 General Dynamics Corp. ......................... 5,191,594
346,600 Honeywell International, Inc. .................. 18,954,688
173,300 Lockheed Martin Corp. .......................... 4,245,850
30,300 Northrop Grumman Corp. ......................... 2,321,738
20,900 Perkinelmer, Inc. .............................. 1,097,250
148,100 Raytheon Co., Class B........................... 3,471,095
53,200 TRW, Inc. ...................................... 2,580,200
208,000 United Technologies Corp. ...................... 12,571,000
--------------
67,759,584
--------------
AIRLINES - 0.19%
64,800 AMR Corp. ...................................... 1,846,800
56,400 Delta Air Lines, Inc. .......................... 2,901,075
220,800 Southwest Airlines Co. ......................... 4,236,600
31,200 * US Airways Group, Inc. ......................... 1,326,000
--------------
10,310,475
--------------
APPAREL & PRODUCTS - 0.02%
25,900 Liz Claiborne, Inc. ............................ 1,018,194
--------------
APPLIANCES/FURNISHINGS - 0.09%
85,900 Leggett & Platt, Inc. .......................... 1,723,369
36,900 Maytag Corp. ................................... 1,208,475
32,500 Whirlpool Corp. ................................ 1,842,344
--------------
4,774,188
--------------
AUTO - CARS - 0.97%
247,300 Delphi Automotive Systems Corp. ................ 4,466,857
528,800 Ford Motor Co. ................................. 25,679,850
242,300 General Motors Corp. ........................... 17,112,438
132,400 Harley-Davidson, Inc. .......................... 4,931,900
--------------
52,191,045
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
AUTO - ORIGINAL EQUIPMENT - 0.06%
62,300 Danaher Corp. .................................. $ 3,002,081
--------------
AUTO - REPLACEMENT PARTS - 0.11%
60,400 * AutoZone, Inc. ................................. 1,691,200
33,100 Cooper Tire & Rubber Co. ....................... 399,269
77,800 Genuine Parts Co. .............................. 1,857,475
68,400 Goodyear Tire & Rubber Co. ..................... 1,701,450
--------------
5,649,394
--------------
BANKS - NEW YORK CITY - 1.99%
322,400 Bank of New York Co., Inc. ..................... 15,132,650
1,476,300 Citigroup, Inc. ................................ 91,807,406
--------------
106,940,056
--------------
BANKS - OTHER - 2.35%
747,400 Bank of America Corp. .......................... 41,527,413
432,500 First Union Corp. .............................. 15,218,595
400,800 FleetBoston Financial Corp. .................... 15,155,250
222,700 Mellon Financial Corp. ......................... 8,587,869
269,900 National City Corp. ............................ 5,398,000
62,100 Providian Financial Corp. ...................... 5,523,020
61,700 Union Planters Corp. ........................... 1,928,125
722,800 Wells Fargo Co. ................................ 32,706,700
--------------
126,044,972
--------------
BANKS - REGIONAL - 2.52%
171,200 AmSouth Bancorporation.......................... 3,092,300
502,100 BankOne Corp. .................................. 16,600,681
152,100 BBT Corp. ...................................... 4,458,431
361,100 Chase Manhattan Corp. .......................... 26,969,656
68,500 Comerica, Inc. ................................. 3,467,813
135,100 Fifth Third Bancorp............................. 9,186,800
429,100 Firstar Corp. .................................. 10,968,869
100,100 Huntington Bancshares,
Inc. ........................................... 1,939,438
195,800 KeyCorp......................................... 4,111,800
97,500 Northern Trust Corp. ........................... 6,416,719
58,000 Old Kent Financial Corp. ....................... 1,928,500
128,600 PNC Financial Services Group.................... 6,478,225
95,700 Regions Financial Corp. ........................ 2,165,213
73,400 SouthTrust Corp. ............................... 1,986,388
70,000 State Street Corp. ............................. 7,805,000
76,500 Summit Bancorp. ................................ 2,194,595
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
BANKS - REGIONAL - Continued
140,100 SunTrust Banks, Inc. ........................... $ 8,370,975
122,500 Synovus Financial Corp. ........................ 2,450,000
329,800 U.S. Bancorp, Inc. ............................. 8,574,800
88,700 Wachovia Corp. ................................. 6,131,389
--------------
135,297,592
--------------
BEVERAGE - BREWERS/DISTRIBUTORS - 0.51%
203,700 Anheuser-Busch Companies, Inc. ................. 15,786,750
29,900 Brown-Forman Corp., Class B..................... 1,736,069
16,100 Coors Adolph Co., Class B....................... 905,625
189,800 Seagram Co., Ltd. .............................. 9,051,088
--------------
27,479,532
--------------
BEVERAGE - SOFT DRINKS - 1.62%
1,081,500 Coca-Cola Co. .................................. 57,725,063
186,200 Coca-Cola Enterprises, Inc. .................... 3,188,675
637,300 PepsiCo, Inc. .................................. 25,930,144
--------------
86,843,882
--------------
BROADCASTING - 1.89%
148,200 * Clear Channel Communications, Inc. ............. 11,096,475
405,700 * Comcast Corp., Class A.......................... 15,365,888
267,900 * Media One Group, Inc. .......................... 17,899,070
221,200 U.S. WEST, Inc. ................................ 15,926,400
667,273 * Viacom, Inc., Class B........................... 41,370,926
--------------
101,658,759
--------------
BUILDING MATERIALS - 0.29%
17,500 Armstrong Holdings, Inc. ....................... 300,781
167,400 Lowe's Companies, Inc. ......................... 7,794,563
195,700 Masco Corp. .................................... 3,852,844
72,500 Sherwin-Williams Co. ........................... 1,685,625
43,700 Vulcan Materials Co. ........................... 2,042,975
--------------
15,676,788
--------------
CHEMICAL - MAJOR - 0.81%
96,000 Dow Chemical Co. ............................... 10,278,000
457,300 E.I. du Pont de Nemours and Co. ................ 22,407,700
46,500 Hercules, Inc. ................................. 770,156
76,000 PPG Industries, Inc. ........................... 3,766,750
95,800 Rohm and Haas Co. .............................. 3,269,175
58,500 Union Carbide Corp. ............................ 3,199,220
--------------
43,691,001
--------------
</TABLE>
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<PAGE>
May 31, 2000 STOCK INDEX FUND 5
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
CHEMICAL - MISCELLANEOUS - 0.28%
100,300 Air Products and Chemicals, Inc. ............... $ 3,472,888
34,200 Eastman Chemical Co. ........................... 1,558,239
56,600 Ecolab, Inc. ................................... 2,164,950
13,400 * FMC Corp. ...................................... 814,050
23,900 Great Lakes Chemical Corp. ..................... 663,225
19,800 Millipore Corp. ................................ 1,433,025
69,600 Praxair, Inc. .................................. 2,923,200
44,100 Sigma Aldrich Corp. ............................ 1,471,838
31,400 * W.R. Grace & Co. ............................... 394,463
--------------
14,895,878
--------------
COAL - 0.00%
3,500 NACCO Industries, Inc., Class A................. 132,125
--------------
CONGLOMERATES - 0.81%
38,500 ITT Industries, Inc. ........................... 1,330,656
46,400 Loews Corp. .................................... 3,056,600
65,100 Textron, Inc. .................................. 4,085,025
740,400 Tyco International, Ltd. ....................... 34,845,075
--------------
43,317,356
--------------
CONSUMER FINANCE - 0.29%
86,200 Capital One Financial Corp. .................... 4,072,950
61,900 Equifax, Inc. .................................. 1,713,857
351,100 MBNA Corp. ..................................... 9,786,913
--------------
15,573,720
--------------
CONTAINERS - METAL/GLASS - 0.48%
13,200 Ball Corp. ..................................... 391,875
120,800 Corning, Inc. .................................. 23,367,250
56,500 Crown Cork & Seal Co., Inc. .................... 967,563
24,000 Owens Corning................................... 370,500
65,700 * Owens-Illinois, Inc. ........................... 739,125
--------------
25,836,313
--------------
CONTAINERS - PAPER - 0.09%
22,900 Bemis Co., Inc. ................................ 787,189
75,000 * Pactiv Corp. ................................... 670,313
36,500 * Sealed Air Corp. ............................... 2,044,000
24,400 Temple-Inland, Inc. ............................ 1,212,375
--------------
4,713,877
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
COSMETICS/TOILETRIES - 0.41%
24,400 Alberto-Culver Co., Class B..................... $ 642,025
106,000 Avon Products, Inc. ............................ 4,379,125
469,600 Gillette Co. ................................... 15,672,900
45,900 International Flavors &
Fragrances, Inc. ............................... 1,560,600
--------------
22,254,650
--------------
DRUGS - 7.71%
57,500 Allergan, Inc. ................................. 3,949,531
44,600 * ALZA Corp. ..................................... 2,266,238
571,700 American Home Products Corp. ................... 30,800,338
447,300 * Amgen, Inc. .................................... 28,459,463
23,000 Bausch & Lomb, Inc. ............................ 1,598,500
65,800 * Biogen, Inc. ................................... 3,586,100
868,500 Bristol Myers Squibb Co. ....................... 47,821,781
477,500 Eli Lilly and Co. .............................. 36,349,689
1,023,400 Merck & Co., Inc. .............................. 76,371,225
1,695,000 Pfizer, Inc. ................................... 75,533,438
547,934 Pharmacia Corp. ................................ 28,458,322
643,200 Schering-Plough Corp. .......................... 31,114,800
375,900 Warner-Lambert Co. ............................. 45,906,788
42,000 * Watson Pharmaceuticals, Inc. ................... 1,853,250
--------------
414,069,463
--------------
ELECTRONIC EQUIPMENT - 4.76%
86,800 * American Power Conversion Corp. ................ 3,075,975
79,800 * Cabletron Systems, Inc. ........................ 1,830,413
188,700 Emerson Electric Co. ........................... 11,133,300
4,309,500 General Electric Co. ........................... 226,787,438
85,800 Molex, Inc. .................................... 4,188,113
17,700 National Service Industries, Inc. .............. 384,975
74,800 * Teradyne, Inc. ................................. 6,432,800
25,300 Thomas & Betts Corp. ........................... 717,888
40,900 W. W. Grainger, Inc. ........................... 1,633,444
--------------
256,184,346
--------------
ELECTRONIC INSTRUMENTS - 0.04%
20,600 Tektronix, Inc. ................................ 1,102,100
69,300 * Thermo Electron Corp. .......................... 1,286,381
--------------
2,388,481
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
ENTERTAINMENT - 1.77%
270,100 Carnival Corp., Class A......................... $ 7,326,464
56,200 * Harrah's Entertainment, Inc. ................... 1,109,950
77,100 Hasbro, Inc. ................................... 1,262,513
184,100 Mattel, Inc. ................................... 2,496,856
563,200 Time Warner, Inc. .............................. 44,457,600
906,300 Walt Disney Co. ................................ 38,234,531
--------------
94,887,914
--------------
FINANCE COMPANIES - 0.34%
318,800 Associates First Capital Corp. ................. 8,747,075
205,800 Household International, Inc. .................. 9,672,600
--------------
18,419,675
--------------
FINANCIAL SERVICES - 0.81%
588,000 American Express Co. ........................... 31,641,750
108,200 American General Corp. ......................... 6,931,563
49,600 Countrywide Credit Industries, Inc. ............ 1,525,200
43,000 H & R Block, Inc. .............................. 1,327,625
52,400 T. Rowe Price Associates, Inc. ................. 2,001,025
--------------
43,427,163
--------------
FOODS - 1.17%
265,800 Archer Daniels Midland Co. ..................... 3,172,989
122,100 BestFoods....................................... 7,875,450
186,600 Campbell Soup Co. .............................. 5,784,600
215,500 ConAgra, Inc. .................................. 4,969,969
131,800 General Mills, Inc. ............................ 5,230,813
155,200 H J Heinz Co. .................................. 6,081,900
60,500 Hershey Foods Corp. ............................ 3,138,438
177,500 Kellogg Co. .................................... 5,391,563
142,700 Nabisco Group Holdings Corp. ................... 3,112,644
58,500 Quaker Oats Co. ................................ 4,303,406
132,100 Ralston Purina Co. ............................. 2,452,106
397,800 Sara Lee Corp. ................................. 7,160,400
50,600 Wm. Wrigley Jr. Co. ............................ 4,051,163
--------------
62,725,441
--------------
FOOTWEAR - 0.10%
120,800 NIKE, Inc., Class B............................. 5,179,300
24,600 * Reebok International, Ltd. ..................... 341,325
--------------
5,520,625
--------------
</TABLE>
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<PAGE>
6 STOCK INDEX FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
FREIGHT - 0.09%
126,900 * FDX Corp. ...................................... $ 4,489,088
26,000 Ryder System, Inc. ............................. 498,875
--------------
4,987,963
--------------
GOLD MINING - 0.09%
172,600 Barrick Gold Corp. ............................. 3,117,588
113,900 Homestake Mining Co. ........................... 768,825
142,500 Placer Dome, Inc. .............................. 1,175,625
--------------
5,062,038
--------------
GOVERNMENT SPONSORED - 0.80%
304,300 Federal Home Loan Mortgage Corp. ............... 13,541,350
448,800 Federal National
Mortgage Association............................ 26,984,100
69,700 SLM Holding Corp. .............................. 2,348,019
--------------
42,873,469
--------------
HARDWARE & TOOLS - 0.06%
38,000 Black & Decker Corp. ........................... 1,387,000
25,600 Snap-on, Inc. .................................. 657,600
39,100 Stanley Works................................... 1,050,813
--------------
3,095,413
--------------
HEALTHCARE - 0.42%
123,100 Cardinal Health, Inc. .......................... 7,986,113
45,000 * HCR Manor Care, Inc. ........................... 317,813
169,000 * HealthSouth Corp. .............................. 1,087,938
73,300 * Humana, Inc. ................................... 412,313
134,800 IMS Health, Inc. ............................... 2,224,200
123,300 McKesson HBOC, Inc. ............................ 2,026,744
50,300 * Quintiles Transnational Corp. .................. 741,925
74,300 UnitedHealth Group, Inc. ....................... 5,539,994
27,900 * Wellpoint Health Networks, Inc. ................ 2,026,238
--------------
22,363,278
--------------
HEAVY DUTY TRUCKS/PARTS - 0.13%
18,100 Cummins Engine Co., Inc. ....................... 589,381
71,900 Dana Corp. ..................................... 1,855,919
32,200 Eaton Corp. .................................... 2,336,513
27,700 * Navistar International Corp. ................... 889,864
34,200 PACCAR, Inc. ................................... 1,432,125
--------------
7,103,802
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
HOME BUILDERS - 0.02%
26,000 Centex Corp. ................................... $ 539,500
20,800 Kaufman & Broad Home Corp. ..................... 360,100
18,900 Pulte Corp. .................................... 419,344
--------------
1,318,944
--------------
HOSPITAL MANAGEMENT - 0.21%
246,600 HCA-The Healthcare Corp. ....................... 6,658,200
11,800 Shared Medical Systems Corp. ................... 856,975
136,600 Tenet Healthcare Corp. ......................... 3,500,375
--------------
11,015,550
--------------
HOSPITAL SUPPLIES - 2.42%
673,100 Abbott Laboratories............................. 27,386,756
127,300 Baxter International, Inc. ..................... 8,465,450
110,100 Becton, Dickinson and Co. ...................... 3,213,544
49,400 Biomet, Inc. ................................... 1,781,489
181,600 * Boston Scientific Corp. ........................ 4,653,500
22,400 C.R. Bard, Inc. ................................ 1,022,000
609,200 Johnson & Johnson............................... 54,523,400
29,900 Mallinckrodt, Inc. ............................. 865,231
522,900 Medtronic, Inc. ................................ 26,994,713
36,800 * St. Jude Medical, Inc. ......................... 1,322,500
--------------
130,228,583
--------------
<PAGE>
HOUSEHOLD PRODUCTS - 1.67%
61,400 * Bed Bath & Beyond, Inc. ........................ 2,260,288
103,500 Clorox Co. ..................................... 4,101,188
255,000 Colgate-Palmolive Co. .......................... 13,419,375
174,600 Minnesota Mining &
Manufacturing Co. (3M).......................... 14,971,950
123,500 Newell Rubbermaid, Inc. ........................ 3,241,875
576,100 Procter & Gamble Co. ........................... 38,310,650
25,200 Tupperware Corp. ............................... 555,975
250,200 Unilever NV..................................... 12,713,287
--------------
89,574,588
--------------
INFORMATION PROCESSING - 0.14%
66,800 * Comverse Technology, Inc. ...................... 6,103,850
120,300 * Parametric Technology Corp. .................... 1,278,188
--------------
7,382,038
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 4.86%
106,900 * BMC Software, Inc. ............................. $ 4,703,600
78,400 * Citrix Systems, Inc. ........................... 4,125,800
2,279,000 * Microsoft Corp. ................................ 142,579,938
1,235,400 * Oracle Corp. ................................... 88,794,375
117,500 * Peoplesoft, Inc. ............................... 1,622,969
167,900 * Veritas Software Corp. ......................... 19,560,350
--------------
261,387,032
--------------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 2.59%
45,400 * Adaptec, Inc. .................................. 893,813
70,700 * Apple Computer, Inc. ........................... 5,938,800
741,700 Compaq Computer Corp. .......................... 19,469,625
1,123,100 * Dell Computer Corp. ............................ 48,433,688
138,600 * Gateway, Inc. .................................. 6,860,700
55,900 * Lexmark International Group, Inc. .............. 3,899,025
80,600 * Silicon Graphics, Inc. ......................... 533,975
691,100 * Sun Microsystems, Inc. ......................... 52,955,538
--------------
138,985,164
--------------
INFORMATION PROCESSING -
COMPUTER SERVICES - 1.84%
999,100 * America Online, Inc. ........................... 52,952,300
275,900 Automatic Data Processing, Inc. ................ 15,157,256
63,300 * Ceridian Corp. ................................. 1,527,113
206,100 Electronic Data Systems Corp. .................. 13,254,806
183,400 First Data Corp. ............................... 10,281,863
162,300 Paychex, Inc. .................................. 5,680,500
--------------
98,853,838
--------------
INFORMATION PROCESSING -
DATA SERVICES - 5.63%
51,900 Adobe Systems, Inc. ............................ 5,841,994
27,000 Autodesk, Inc. ................................. 1,004,063
309,100 * Cendant Corp. .................................. 4,095,575
257,900 Computer Associates
International, Inc. ............................ 13,281,850
73,200 * Computer Sciences Corp. ........................ 7,022,625
157,800 * Compuware Corp. ................................ 1,607,588
445,500 * EMC Corp. ...................................... 51,817,219
440,000 Hewlett Packard Co. ............................ 52,855,000
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 STOCK INDEX FUND 7
<TABLE>
<CAPTION>
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--------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - Continued
789,200 International Business Machines................. $ 84,691,025
42,200 * NCR Corp. ...................................... 1,780,313
133,400 * Network Appliance, Inc. ........................ 8,612,638
142,900 * Novell, Inc. ................................... 1,187,856
116,100 Pitney Bowes, Inc. ............................. 5,050,350
25,600 * Sapient Corp. .................................. 2,558,400
99,500 * Seagate Technology, Inc. ....................... 5,771,000
81,300 * Siebel Systems, Inc. ........................... 9,512,100
259,400 * Solectron Corp. ................................ 8,576,413
136,000 * Unisys Corp. ................................... 3,689,000
290,800 Xerox Corp. .................................... 7,887,950
230,500 * Yahoo!, Inc. ................................... 26,060,906
--------------
302,903,865
--------------
INFORMATION PROCESSING -
NETWORKING - 3.29%
149,900 * 3Com Corp. ..................................... 6,267,694
2,995,900 * Cisco Systems, Inc. ............................ 170,766,300
--------------
177,033,994
--------------
INSURANCE - CASUALTY - 0.25%
77,000 Chubb Corp. .................................... 5,390,000
31,900 Progressive Corp. .............................. 2,994,613
56,800 SAFECO Corp. ................................... 1,395,150
99,400 St. Paul Companies, Inc. ....................... 3,727,500
--------------
13,507,263
--------------
INSURANCE - LIFE - 0.24%
62,600 Aetna, Inc. .................................... 4,178,550
143,100 Conseco, Inc. .................................. 894,375
45,800 Jefferson-Pilot Corp. .......................... 3,143,025
85,500 Lincoln National Corp. ......................... 3,313,125
57,500 Torchmark Corp. ................................ 1,563,281
--------------
13,092,356
--------------
INSURANCE - MISCELLANEOUS - 0.09%
43,500 MBIA, Inc. ..................................... 2,514,844
46,200 MGIC Investment Corp. .......................... 2,289,788
--------------
4,804,632
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INSURANCE - MULTILINE - 2.34%
116,400 AFLAC, Inc. .................................... $ 6,016,425
352,600 Allstate Corp. ................................. 9,343,900
677,800 American International Group, Inc. ............. 76,294,863
112,400 Aon Corp. ...................................... 3,948,050
73,700 CIGNA Corp. .................................... 6,545,481
71,800 Cincinnati Financial Corp. ..................... 2,882,097
97,000 Hartford Financial Services Group, Inc. ........ 5,735,125
116,700 Marsh & McLennan Companies, Inc. ............... 12,844,294
105,000 UnumProvident Corp. ............................ 2,382,188
--------------
125,992,423
--------------
LEISURE TIME - 0.08%
40,200 Brunswick Corp. ................................ 773,850
84,500 * Mirage Resorts, Inc. ........................... 1,769,219
56,600 Sabre Holdings Corp. ........................... 1,627,250
--------------
4,170,319
--------------
LODGING - 0.10%
161,400 Hilton Hotels Corp. ............................ 1,371,900
108,900 Marriott International, Inc. ................... 3,947,625
--------------
5,319,525
--------------
MACHINE TOOLS - 0.00%
16,100 Milacron, Inc. ................................. 254,581
--------------
MACHINERY - AGRICULTURE - 0.08%
102,400 Deere & Co. .................................... 4,256,000
--------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.13%
155,600 Caterpillar, Inc. .............................. 5,951,700
33,200 Fluor Corp. .................................... 1,079,000
--------------
7,030,700
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 0.42%
10,000 Briggs & Stratton Corp. ........................ 400,000
41,200 Cooper Industries, Inc. ........................ 1,380,200
89,100 Dover Corp. .................................... 4,143,150
131,500 Illinois Tool Works, Inc. ...................... 7,635,219
71,500 Ingersoll-Rand Co. ............................. 3,257,719
37,400 Johnson Controls, Inc. ......................... 2,129,463
54,300 Pall Corp. ..................................... 1,140,300
49,000 Parker Hannifin Corp. .......................... 2,042,688
27,100 Timken Co. ..................................... 511,513
--------------
22,640,252
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MEDICAL TECHNOLOGY - 0.22%
134,500 * Guidant Corp. .................................. $ 6,809,063
90,200 PE Corp. - PE Biosystems Group.................. 5,006,100
--------------
11,815,163
--------------
MERCHANDISE - DRUG - 0.39%
171,500 CVS Corp. ...................................... 7,460,250
17,200 Longs Drug Stores Corp. ........................ 347,225
113,300 Rite Aid Corp. ................................. 786,019
440,500 Walgreen Co. ................................... 12,499,188
--------------
21,092,682
--------------
MERCHANDISE - SPECIALTY - 2.05%
28,200 American Greetings Corp., Class A............... 525,225
89,400 * Best Buy Co., Inc. ............................. 5,721,600
89,000 Circuit City Stores, Inc. ...................... 4,433,313
48,500 * Consolidated Stores Corp. ...................... 630,500
194,700 * Costco Wholesale Corp. ......................... 6,218,231
144,625 Dollar General Corp. ........................... 2,530,938
71,800 Fortune Brands, Inc. ........................... 1,911,675
372,500 Gap, Inc. ...................................... 13,060,781
1,008,100 Home Depot, Inc. ............................... 49,207,881
65,600 Ikon Office Solutions, Inc. .................... 328,000
142,600 * Kohls Corp. .................................... 7,379,550
188,000 Limited, Inc. .................................. 4,535,500
58,900 Nordstrom, Inc. ................................ 1,479,863
144,100 * Office Depot, Inc. ............................. 1,017,706
205,700 * Staples, Inc. .................................. 3,034,075
84,500 Radioshack Corp. ............................... 3,585,969
135,700 TJX Companies, Inc. ............................ 2,934,513
105,000 * Toys "R" Us, Inc. .............................. 1,653,750
--------------
110,189,070
--------------
MERCHANDISING -
DEPARTMENT - 0.38%
45,900 Dillards, Inc., Class A......................... 685,631
91,900 * Federated Department Stores, Inc. .............. 3,538,150
145,500 May Department Stores Co. ...................... 4,374,094
191,800 Target Corp. ................................... 12,023,463
--------------
20,621,338
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
8 STOCK INDEX FUND May 31, 2000
<TABLE>
<CAPTION>
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OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MERCHANDISING - FOOD - 0.61%
185,400 Albertsons, Inc. ............................... $ 6,790,275
16,700 Great Atlantic & Pacific Tea Co., Inc. ......... 306,863
365,300 * Kroger Co. ..................................... 7,260,338
222,800 * Safeway, Inc. .................................. 10,276,650
61,100 Supervalu, Inc. ................................ 1,271,644
144,400 SYSCO Corp. .................................... 6,055,775
64,000 Winn-Dixie Stores, Inc. ........................ 1,012,000
--------------
32,973,545
--------------
MERCHANDISING - MASS - 2.28%
113,900 J.C. Penney Co., Inc. .......................... 2,064,438
213,100 * KMart Corp. .................................... 1,811,350
165,500 Sears Roebuck and Co. .......................... 6,113,156
1,950,000 Wal-Mart Stores, Inc. .......................... 112,368,750
--------------
122,357,694
--------------
METALS - ALUMINUM - 0.27%
95,900 Alcan Aluminium, Ltd. .......................... 3,146,719
190,462 Alcoa, Inc. .................................... 11,130,123
--------------
14,276,842
--------------
METALS - COPPER - 0.06%
73,300 Newmont Mining Corp. ........................... 1,690,481
35,400 Phelps Dodge Corp. ............................. 1,588,575
--------------
3,279,056
--------------
METALS - MISCELLANEOUS - 0.06%
55,100 Engelhard Corp. ................................ 960,806
71,500 * Freeport-McMoRan Copper &
Gold, Inc., Class B ............................ 656,906
84,000 * Inco, Ltd. ..................................... 1,365,000
--------------
2,982,712
--------------
METALS - STEEL - 0.07%
36,600 Allegheny Technologies, Inc. ................... 825,788
57,300 * Bethlehem Steel Corp. .......................... 222,038
38,200 Nucor Corp. .................................... 1,485,025
38,700 USX-US Steel Group, Inc. ....................... 873,169
39,100 Worthington Industries, Inc. ................... 474,088
--------------
3,880,108
--------------
MULTIMEDIA - 0.01%
22,500 Meredith Corp. ................................. 684,844
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
NATURAL GAS - DIVERSIFIED - 0.22%
93,500 Coastal Corp. .................................. $ 5,738,563
11,800 Eastern Enterprises............................. 727,913
99,900 El Paso Energy Corp. ........................... 5,144,850
--------------
11,611,326
--------------
OIL - INTEGRATED DOMESTIC - 0.68%
39,700 Amerada Hess Corp. ............................. 2,635,088
31,000 Ashland Oil, Inc. .............................. 1,083,063
95,200 Burlington Resources, Inc. ..................... 4,355,400
274,200 Conoco, Inc., Class B........................... 7,814,700
41,800 Kerr-McGee Corp. ............................... 2,494,938
160,900 Occidental Petroleum Corp. ..................... 3,811,319
110,900 Phillips Petroleum Co. ......................... 6,349,025
106,100 Unocal Corp. ................................... 4,078,219
136,000 USX-Marathon Group.............................. 3,697,500
--------------
36,319,252
--------------
OIL - INTEGRATED
INTERNATIONAL - 4.19%
287,300 Chevron Corp. .................................. 26,557,294
1,512,100 Exxon Mobil Corp. .............................. 125,976,831
938,900 Royal Dutch Petroleum Co. ...................... 58,622,569
242,100 Texaco, Inc. ................................... 13,905,619
--------------
225,062,313
--------------
OIL - SERVICES - 0.64%
144,100 Baker Hughes, Inc. ............................. 5,223,625
193,400 Halliburton Co. ................................ 9,863,400
26,100 McDermott International, Inc. .................. 261,000
40,400 * Rowan Companies, Inc. .......................... 1,254,925
240,700 Schlumberger, Ltd. ............................. 17,706,494
--------------
34,309,444
--------------
OIL/GAS PRODUCERS - 0.27%
55,800 Anadarko Petroleum Corp. ....................... 2,960,888
49,900 Apache Corp. ................................... 3,037,663
39,500 Sunoco, Inc. ................................... 1,276,344
91,500 Transocean Sedco Forex, Inc. ................... 4,500,656
110,300 Union Pacific Resources
Group, Inc. .................................... 2,612,731
--------------
14,388,282
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS - 0.80%
49,300 Avery Dennison Corp. ........................... $ 3,019,625
25,000 Boise Cascade Corp. ............................ 728,125
42,100 Champion International Corp. ................... 3,073,300
94,700 Fort James Corp. ............................... 2,142,588
74,800 Georgia-Pacific Corp. .......................... 2,449,700
181,300 International Paper Co. ........................ 6,311,506
243,200 Kimberly-Clark Corp. ........................... 14,713,600
46,500 Louisiana Pacific Corp. ........................ 523,125
44,900 Mead Corp. ..................................... 1,383,481
12,700 Potlatch Corp. ................................. 481,013
43,800 Westvaco Corp. ................................. 1,319,475
102,800 Weyerhaeuser Co. ............................... 5,101,450
48,800 Willamette Industries, Inc. .................... 1,586,000
--------------
42,832,988
--------------
PHOTOGRAPHY - 0.16%
138,200 Eastman Kodak Co. .............................. 8,257,450
19,400 Polaroid Corp. ................................. 372,238
--------------
8,629,688
--------------
POLLUTION CONTROL - 0.12%
82,700 * Allied Waste Industries, Inc. .................. 842,506
271,200 Waste Management, Inc. ......................... 5,525,700
--------------
6,368,206
--------------
PUBLISHING - NEWS - 0.41%
39,300 Dow Jones & Co., Inc. .......................... 2,672,400
122,000 Gannett Co., Inc. .............................. 7,899,500
33,700 Knight-Ridder, Inc. ............................ 1,786,100
74,900 New York Times Co., Class A..................... 2,874,288
26,300 Times Mirror Co. ............................... 2,537,950
104,000 Tribune Co. .................................... 4,004,000
--------------
21,774,238
--------------
PUBLISHING/PRINTING - 0.19%
32,100 Deluxe Corp. ................................... 792,469
70,300 Dun & Bradstreet Corp. ......................... 2,161,725
31,100 Harcourt General, Inc. ......................... 1,228,450
85,800 McGraw-Hill, Inc. .............................. 4,413,338
55,400 R. R. Donnelley and Sons Co. ................... 1,367,688
--------------
9,963,670
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 STOCK INDEX FUND 9
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
RAILROAD - 0.33%
200,000 Burlington Northern Santa Fe Corp. ............. $ 4,725,000
95,600 CSX Corp. ...................................... 2,079,300
48,300 Kansas City Southern Industries, Inc. .......... 3,248,175
167,200 Norfolk Southern Corp. ......................... 2,978,250
108,800 Union Pacific Corp. ............................ 4,603,600
--------------
17,634,325
--------------
RESTAURANTS - 0.47%
56,100 Darden Restaurants, Inc. ....................... 964,219
592,800 McDonald's Corp. ............................... 21,229,650
66,100 * Tricon Global Restaurants, Inc. ................ 1,937,556
52,300 Wendy's International, Inc. .................... 1,023,119
--------------
25,154,544
--------------
SAVINGS & LOAN - 0.19%
70,700 Golden West Financial Corp. .................... 2,951,725
252,800 Washington Mutual, Inc. ........................ 7,268,000
--------------
10,219,725
--------------
SECURITIES RELATED - 1.68%
49,600 Bear Stearns Co., Inc. ......................... 1,953,000
580,300 Charles Schwab Corp. ........................... 16,683,625
108,800 Franklin Resources, Inc. ....................... 3,264,000
75,800 J. P. Morgan & Co., Inc. ....................... 9,759,250
52,500 Lehman Brothers Holdings, Inc. ................. 4,052,344
162,300 Merrill Lynch & Co., Inc. ...................... 16,006,838
498,600 Morgan Stanley Dean Witter & Co. ............... 35,868,038
62,400 Paine Webber Group, Inc. ....................... 2,804,100
--------------
90,391,195
--------------
SEMICONDUCTOR EQUIPMENT - 0.59%
335,100 * Applied Materials, Inc. ........................ 27,980,850
80,400 * KLA-Tencor Corp. ............................... 3,984,825
--------------
31,965,675
--------------
SEMICONDUCTORS - 6.47%
64,400 * Advanced Micro Devices, Inc. ................... 5,244,575
83,670 * Altera Corp. ................................... 7,185,161
153,100 * Analog Devices, Inc. ........................... 11,788,700
94,000 * Conexant Systems, Inc. ......................... 3,536,750
1,462,900 Intel Corp. .................................... 182,313,913
134,000 Linear Technology Corp. ........................ 7,914,375
130,200 * LSI Logic Corp. ................................ 6,859,913
125,400 * Maxim Integrated Products, Inc. ................ 7,955,063
236,600 * Micron Technology, Inc. ........................ 16,547,213
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SEMICONDUCTORS - Continued
310,400 Motorola, Inc. ................................. $ 29,100,000
75,000 * National Semiconductor Corp. ................... 4,031,250
83,100 Rockwell International Corp. ................... 3,407,100
711,800 Texas Instruments, Inc. ........................ 51,427,550
140,700 * Xilinx, Inc. ................................... 10,710,788
--------------
348,022,351
--------------
TELECOMMUNICATIONS - 6.05%
131,400 * ADC Communications, Inc. ....................... 8,828,438
137,400 Alltel Corp. ................................... 8,991,113
35,200 * Andrew Corp. ................................... 1,236,400
1,399,000 AT&T Corp. ..................................... 48,527,813
61,100 CenturyTel, Inc. ............................... 1,649,700
341,100 * Global Crossing, Ltd. .......................... 8,548,819
1,395,600 Lucent Technologies, Inc. ...................... 80,072,550
159,500 * Nextel Communications, Inc., Class A............ 14,773,688
1,264,200 Nortel Networks Corp. .......................... 68,661,863
323,100 * QUALCOMM, Inc. ................................. 21,445,763
69,300 Scientific-Atlanta, Inc. ....................... 3,906,788
176,100 * Tellabs, Inc. .................................. 11,435,494
1,242,700 * Worldcom, Inc. ................................. 46,756,588
--------------
324,835,017
--------------
TEXTILE - PRODUCTS - 0.04%
14,400 Russell Corp.................................... 320,400
7,800 Springs Industries, Inc., Class A............... 370,500
51,700 V. F. Corp. .................................... 1,483,144
--------------
2,174,044
--------------
TOBACCO - 0.53%
1,036,000 Philip Morris Companies, Inc. .................. 27,065,500
74,800 UST, Inc. ...................................... 1,243,550
--------------
28,309,050
--------------
UTILITIES - COMMUNICATION - 3.92%
679,800 Bell Atlantic Corp. ............................ 35,944,425
824,100 BellSouth Corp. ................................ 38,475,169
425,400 GTE Corp. ...................................... 26,906,550
1,493,600 SBC Communications, Inc. ....................... 65,251,650
381,500 Sprint Corp.--FON Group......................... 23,080,750
377,400 * Sprint Corp.--PCS Group......................... 20,945,700
--------------
210,604,244
--------------
UTILITIES - ELECTRIC - 1.81%
95,000 * AES Corp. ...................................... 8,288,750
60,000 Ameren Corp. ................................... 2,201,250
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
UTILITIES - ELECTRIC - Continued
84,900 American Electric Power, Inc. ................... $ 3,019,256
69,900 Carolina Power & Light Co. ...................... 2,402,813
93,100 Central & South West Corp. ...................... 1,937,644
69,600 Cinergy Corp. ................................... 1,853,100
50,700 CMS Energy Corp. ................................ 1,153,425
96,800 Consolidated Edison, Inc. ....................... 3,158,100
65,400 Constellation Energy Group, Inc. ................ 2,244,038
104,100 Dominion Resources, Inc. ........................ 4,762,575
63,500 DTE Energy Co. .................................. 2,194,719
160,100 Duke Energy Corp. ............................... 9,325,825
152,000 Edison International, Inc. ...................... 3,249,000
108,000 Entergy Corp. ................................... 3,132,000
102,000 FirstEnergy Corp. ............................... 2,562,750
42,900 Florida Progress Corp. .......................... 2,128,913
78,400 FPL Group, Inc. ................................. 3,880,800
54,000 GPU, Inc. ....................................... 1,525,500
50,600 New Century Energies, Inc. ...................... 1,701,425
77,600 * Niagara Mohawk Holdings, Inc. ................... 1,139,750
67,800 Northern States Power Co. ....................... 1,500,075
168,100 PG&E Corp. ...................................... 4,360,094
81,300 Peco Energy Co. ................................. 3,572,119
37,100 Pinnacle West Capital Corp. ..................... 1,326,325
62,900 PPL Corp. ....................................... 1,486,013
95,700 Public Service Enterprise Group, Inc. ........... 3,564,825
129,400 Reliant Energy, Inc. ............................ 3,687,900
294,700 Southern Co. .................................... 7,643,781
121,000 TXU Corp. ....................................... 4,325,750
95,200 Unicom Corp. .................................... 3,968,650
--------------
97,297,165
--------------
UTILITIES -
GAS, DISTRIBUTION - 0.05%
20,500 NICOR, Inc. ..................................... 752,094
63,000 Tosco Corp. ..................................... 1,929,375
--------------
2,681,469
--------------
UTILITIES - GAS, PIPELINE - 0.66%
35,500 Columbia Energy Group............................ 2,296,406
313,300 Enron Corp. ..................................... 22,831,738
13,500 ONEOK, Inc. ..................................... 393,188
15,500 Peoples Energy Corp. ............................ 526,031
89,400 Sempra Energy.................................... 1,681,838
190,300 Williams Companies, Inc. ........................ 7,909,344
--------------
35,638,545
--------------
TOTAL COMMON STOCK
(Cost $2,571,121,647)............................ 5,311,504,159
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
10 STOCK INDEX FUND May 31, 2000
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
CORPORATE SHORT-TERM -
COMMERCIAL PAPER - 1.10%
BANKS - NEW YORK CITY - 0.15%
$ 8,194,000 CitiCorp.,
6.45% due 06/01/00................................ $ 8,194,000
--------------
HEALTHCARE - 0.27%
6,300,000 Baxter International, Inc.,
6.70% due 06/05/00................................ 6,295,309
8,000,000 Cardinal Health, Inc.,
6.50% due 06/02/00................................ 7,998,554
--------------
14,293,863
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 0.26%
14,177,000 Cooper Industries, Inc.,
6.85% due 06/01/00................................ 14,177,000
--------------
OIL/GAS PRODUCERS - 0.23%
12,450,000 Duke Capital Corp.,
6.81% due 06/01/00................................ 12,450,000
--------------
UTILITIES - ELECTRIC - 0.19%
10,000,000 Appalachian Power Co.,
6.83% due 06/06/00................................ 9,990,501
--------------
TOTAL CORPORATE SHORT-TERM -
COMMERCIAL PAPER
(Cost $59,105,364)................................ 59,105,364
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
UNITED STATES GOVERNMENT - SHORT-TERM - 0.07%
U. S. TREASURY BILLS - 0.07%
United States Treasury Bills:
$ 100,000 5.62% due 06/01/00................................ $ 100,000
225,000 5.58% due 06/08/00................................ 224,754
900,000 5.55% due 06/08/00................................ 899,022
950,000 5.53% due 06/22/00................................ 946,917
175,000 5.50% due 06/15/00................................ 174,623
200,000 5.49% due 06/22/00................................ 199,356
200,000 5.44% due 06/29/00................................ 199,150
75,000 5.40% due 06/22/00................................ 74,762
100,000 5.35% due 07/20/00................................ 99,272
700,000 5.34% due 07/20/00................................ 694,908
--------------
3,612,764
--------------
TOTAL UNITED STATES GOVERNMENT - SHORT-TERM
(Cost $3,612,764)................................. 3,612,764
--------------
TOTAL INVESTMENTS
(Cost $2,633,839,775) - 100.02%................... $5,374,222,287
--------------
* Non-income producing
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
<S> <C> <C>
-------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 05/31/00)
158(2) S&P 500 Index Futures (June/$1,422.20)................. $ (394,675)
----------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately $3,613,000 were
maintained in a segregated account with a portion placed as collateral for
futures contracts.
(2) Per 250.
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 MIDCAP INDEX FUND 11
Average Annual Total Return--Fund
1 Year 5 Year Since Inception*
------------------------------------------------------------------
21.36% 21.51% 17.36%
* October 1, 1991
Growth of $10,000 Investment
Fiscal Year Ended May 31
Balanced Fund S&P 500
------------- -------
5/92 10,988 11,143
5/93 12,879 13,215
5/94 13,332 13,747
5/95 15,100 15,603
5/96 19,342 20,043
5/97 22,724 23,693
5/98 29,454 30,772
5/99 32,961 34,438
5/00 40,002 41,828
Past performance is not predictive of future performance. The Fund returns
reflect investment management fees and other Fund expenses. The Fund returns do
not reflect charges included in the annuity contract or variable life policy for
mortality and expense guarantees, administrative fees or surrender charges.
Portfolio at a Glance
Total assets: $927,401,524
NAV on 05/31/00: $23.73
One year total return: 21.36%
Net expense ratio: 0.36%
Inception date: 10/01/91
MANAGEMENT OVERVIEW
A discussion with portfolio manager
Magali Azema-Barac, PhD
Describe the benchmark the Fund expects to echo.
The MidCap Index Fund seeks to replicate the performance of the S&P Mid Cap 400
Index. The S&P Mid Cap 400 Index consists of 400 mid-sized domestic stocks
chosen for market size, liquidity, and industry group representation. It is
also a market-value weighted index.
How did the Fund perform relative to its benchmark?
The mid cap market as measured by the S&P Mid Cap 400 returned 21.46% for the
fiscal year ending May 31, 2000 vs. 21.36% for the Fund.
Top 10 Holdings
<TABLE>
<C> <S> <C>
1. Dynegy, Inc. ............ 1.28%
2. Medimmune, Inc. ......... 1.14%
3. Univision Communications,
Inc. .................... 1.14%
4. Atmel Corp. ............. 0.92%
5. Sanmina Corp. ........... 0.89%
6. Vitesse Semiconductor
Corp. ................... 0.87%
7. Forest Laboratories,
Inc. .................... 0.82%
8. Cintas Corp. ............ 0.81%
Millennium
9. Pharmaceuticals, Inc. ... 0.80%
10. Stryker Corp. ........... 0.80%
</TABLE>
Portfolio holdings are subject to change.
What were the dominant sectors in the S&P Mid Cap 400 Index?
Technology was the best performing sector in the S&P 400 for the year ending
May 31, 2000 with a return of 87.90%; Energy was close behind posting a very
strong 77.57%. The Financial sector was the weakest sector in the S&P 400 for
the year ending May 31, 2000 with a negative return of 23.40%; Transportation
posted a disappointing negative 15.45%.
What do you see ahead in the market for the next fiscal period?
The markets continue to be volatile as we enter the 18th year of this current
bull market; demographics continue to favor the stock market as a long-term
investment, as more and more baby boomers plan their retirement.
/s/ Magali Azema-Barac
Magali Azema-Barac, PhD
Portfolio Manager
--------------------------------------------------------------------------------
<PAGE>
12 MIDCAP INDEX FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 94.86%
ADVERTISING - 0.58%
68,500 Harte-Hanks, Inc. .............................. $ 1,691,094
110,900 * Westwood One, Inc. ............................. 3,680,494
--------------
5,371,588
--------------
AEROSPACE/DEFENSE - 1.11%
145,600 * SCI Systems, Inc. .............................. 6,552,000
10,300 * Sequa Corp., Class A............................ 491,181
37,840 Teleflex, Inc. ................................. 1,340,955
51,700 * Titan Corp. .................................... 1,854,738
--------------
10,238,874
--------------
AIRLINES - 0.09%
26,442 * Alaska Air Group, Inc. ......................... 823,007
--------------
APPAREL & PRODUCTS - 1.45%
102,600 * Abercrombie and Fitch Co. ...................... 1,006,763
46,500 * American Eagle Outfitters, Inc. ................ 764,344
168,300 Cintas Corp. ................................... 7,405,200
50,842 Claire's Stores, Inc. .......................... 1,029,551
30,400 * Land's End, Inc. ............................... 934,800
89,100 Ross Stores, Inc. .............................. 1,882,238
55,500 Warnaco Group, Inc., Class A.................... 374,625
--------------
13,397,521
--------------
APPLIANCES/FURNISHINGS - 0.42%
49,500 * Furniture Brands International, Inc. ........... 788,906
79,500 Herman Miller, Inc. ............................ 2,146,500
39,900 Lancaster Colony Corp. ......................... 945,131
--------------
3,880,537
--------------
AUTO - CARS - 0.08%
62,800 Meritor Automotive, Inc. ....................... 781,075
--------------
AUTO - ORIGINAL EQUIPMENT - 0.80%
25,850 Arvin Industries, Inc. ......................... 465,300
30,400 Carlisle Companies, Inc. ....................... 1,263,500
45,972 Donaldson Co., Inc. ............................ 1,051,610
73,640 Federal - Mogul Corp. .......................... 731,798
67,000 * Lear Corp. ..................................... 1,570,313
44,600 Mark IV Industries, Inc. ....................... 947,750
29,500 Modine Manufacturing Co. ....................... 593,688
26,700 Superior Industries International, Inc. 745,931
--------------
7,369,890
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
AUTO - REPLACEMENT PARTS - 0.44%
30,784 Kaydon Corp. ................................... $ 717,652
31,300 * SPX Corp. ...................................... 3,296,281
--------------
4,013,933
--------------
BANKS - OTHER - 0.45%
130,108 First Tennessee National Corp. ................. 2,667,214
220,600 Sovereign Bancorp, Inc. ........................ 1,516,625
--------------
4,183,839
--------------
BANKS - REGIONAL - 4.82%
70,070 Associated Banc-Corp. .......................... 1,783,500
40,500 CCB Financial Corp. ............................ 1,863,000
47,900 City National Corp. ............................ 1,868,100
114,300 Compass Bancshares, Inc. ....................... 2,314,575
196,900 First Security Corp. ........................... 3,064,256
49,624 First Virginia Banks, Inc. ..................... 1,969,453
89,600 FirstMerit Corp. ............................... 1,696,800
107,400 GreenPoint Financial Corp. ..................... 2,241,975
161,300 Hibernia Corp., Class A......................... 2,076,738
107,200 Marshall & Ilsley Corp. ........................ 5,199,200
68,668 Mercantile Bankshares Corp. .................... 2,274,628
109,000 National Commerce Bancorp. ..................... 2,071,000
177,300 North Fork Bancorporation, Inc. ................ 2,936,531
80,236 Pacific Century Financial Corp. ................ 1,805,310
48,300 Provident Financial Group, Inc. ................ 1,346,363
82,600 TCF Financial Corp. ............................ 2,163,088
45,200 Webster Financial Corp. ........................ 1,042,425
37,400 Westamerica Bankcorporation..................... 1,068,238
32,456 Wilmington Trust Corp. ......................... 1,647,142
85,500 Zions Bancorporation............................ 3,986,438
--------------
44,418,760
--------------
BEVERAGE - SOFT DRINKS - 0.18%
142,000 Whitman Corp. .................................. 1,677,375
--------------
BROADCASTING - 2.01%
119,200 A.H. Belo Corp. ................................ 1,914,650
34,616 * Chris-Craft Industries, Inc. ................... 2,107,249
54,200 * Hispanic Broadcasting Corp., Class A............ 4,105,650
101,500 * Univision Communications, Inc. ................. 10,454,500
--------------
18,582,049
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
BUILDING MATERIALS - 1.22%
37,900 Fastenal Co. ...................................... $ 2,392,438
60,400 Hon Industries, Inc. .............................. 1,506,225
46,600 Martin Marietta Materials, Inc. ................... 2,280,488
107,200 RPM, Inc. ......................................... 1,045,200
35,900 Southdown, Inc. ................................... 2,203,363
49,600 USG Corp. ......................................... 1,869,300
--------------
11,297,014
--------------
CHEMICAL - MAJOR - 0.37%
46,690 Albemarle Corp. ................................... 1,027,180
27,000 Borg Warner, Inc. ................................. 1,073,250
109,900 Solutia, Inc. ..................................... 1,332,538
--------------
3,432,968
--------------
CHEMICAL - MISCELLANEOUS - 1.38%
31,000 A. Schulman, Inc. ................................. 366,188
70,000 * Airgas, Inc. ...................................... 376,250
119,600 CK Witco Corp. .................................... 1,450,150
42,100 * Cytec Industries, Inc. ............................ 1,141,963
23,136 Dexter Corp. ...................................... 1,000,632
83,200 Ethyl Corp. ....................................... 213,200
35,240 Ferro Corp. ....................................... 779,685
30,966 Georgia Gulf Corp. ................................ 774,150
13,828 H.B. Fuller Co. ................................... 536,699
54,438 Lubrizol Corp. .................................... 1,258,879
118,300 Lyondell Chemical Co. ............................. 1,974,131
48,972 M.A. Hanna Co. .................................... 572,360
21,100 Minerals Technologies, Inc. ....................... 975,875
5,500 NCH Corp. ......................................... 220,000
45,084 Olin Corp. ........................................ 704,438
30,250 Rollins, Inc. ..................................... 359,219
--------------
12,703,819
--------------
COMMERCIAL SERVICES - 0.02%
41,700 * Navigant Consulting Co. ........................... 192,863
--------------
CONGLOMERATES - 0.82%
43,196 Alexander & Baldwin, Inc. ......................... 998,908
105,200 Dial Corp. ........................................ 1,499,100
45,500 * Litton Industries, Inc. ........................... 1,953,656
7,000 * MAXXAM, Inc. ...................................... 178,500
49,600 Ogden Corp. ....................................... 427,800
94,600 Viad Corp. ........................................ 2,489,163
--------------
7,547,127
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 MIDCAP INDEX FUND 13
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
CONTAINERS - PAPER - 0.31%
17,600 Chesapeake Corp. ............................... $ 575,300
101,658 Sonoco Products Co. ............................ 2,242,830
--------------
2,818,130
--------------
DRUGS - 5.27%
135,200 Bergen Brunswig Corp., Class A.................. 701,350
44,892 Carter-Wallace, Inc. ........................... 897,840
182,800 * Chiron Corp. ................................... 6,934,975
57,300 * Covance, Inc. .................................. 408,263
85,000 * Forest Laboratories, Inc. ...................... 7,522,500
83,884 Genzyme Corp. .................................. 4,765,660
78,200 ICN Pharmaceuticals, Inc. ...................... 2,722,338
28,500 * Incyte Pharmaceuticals, Inc. ................... 1,503,375
159,200 * IVAX Corp. ..................................... 5,989,900
87,700 * Millennium Pharmaceuticals, Inc. ............... 7,333,913
130,200 Mylan Laboratories, Inc. ....................... 3,490,988
66,100 * Sepracor, Inc. ................................. 6,320,812
--------------
48,591,914
--------------
ELECTRIC PRODUCTS -
MISCELLANEOUS - 0.10%
32,232 Cmp Group, Inc. ................................ 934,728
--------------
ELECTRICAL EQUIPMENT - 0.20%
36,700 * Antec Corp. .................................... 1,844,175
--------------
ELECTRONIC EQUIPMENT - 0.32%
32,162 AMETEK, Inc. ................................... 669,372
64,540 Hubbell, Inc., Class B.......................... 1,702,243
45,000 * UCAR International, Inc. ....................... 551,250
--------------
2,922,865
--------------
ELECTRONIC INSTRUMENTS - 3.73%
95,604 * Arrow Electronics, Inc. ........................ 3,352,115
51,200 * Commscope, Inc. ................................ 1,977,600
206,900 * Concord EFS, Inc. .............................. 5,017,325
36,400 * Imation Corp. .................................. 1,030,575
23,500 * MagnaTek, Inc. ................................. 198,281
49,900 Pittston Brink's Group.......................... 757,856
42,500 * Sawtek, Inc. ................................... 2,733,280
77,200 * Sensormatic Electronics Corp. .................. 1,211,075
133,850 Symbol Technologies, Inc. ...................... 5,897,765
90,082 * Vishay Intertechnology, Inc. ................... 6,373,302
62,200 * Waters Corp. ................................... 5,877,900
--------------
34,427,074
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
ENTERTAINMENT - 0.54%
35,000 * GTECH Holdings Corp. ........................... $ 772,188
53,100 International Speedway Corp. ................... 2,273,344
90,350 * Mandalay Resort Group........................... 1,914,291
--------------
4,959,823
--------------
FERTILIZERS - 0.19%
115,200 IMC Global, Inc. ............................... 1,771,200
--------------
FINANCE COMPANIES - 0.19%
61,000 Finova Group, Inc. ............................. 728,188
48,800 Keystone Financial, Inc. ....................... 1,040,050
--------------
1,768,238
--------------
FINANCIAL SERVICES - 1.52%
54,100 Allamerica Financial Corp. ..................... 3,120,894
153,600 * Convergys Corp. ................................ 6,902,400
31,000 * Investment Technology Group, Inc. .............. 1,046,250
25,400 * NCO Group, Inc. ................................ 606,425
85,300 Waddell & Reed Financial, Inc. ................. 2,340,418
--------------
14,016,387
--------------
FOODS - 1.99%
36,864 Dean Foods Co. ................................. 1,119,744
55,718 Dole Food Co., Inc. ............................ 975,065
27,572 Dreyer's Grand Ice Cream, Inc. ................. 584,182
99,908 Flowers Industries, Inc. ....................... 1,804,588
143,600 Hormel Foods Corp. ............................. 2,486,075
107,200 IBP, Inc. ...................................... 1,768,800
18,724 International Multifoods Corp. ................. 260,966
68,800 Interstate Bakeries Corp. ...................... 997,600
28,942 J.M Smucker Co., Class A........................ 511,912
30,042 Lance, Inc. .................................... 292,910
70,456 McCormick & Co., Inc. .......................... 2,289,820
29,100 * Suiza Foods Corp. .............................. 1,305,863
39,600 Trinity Industries, Inc. ....................... 873,675
227,700 Tyson Foods, Inc., Class A...................... 2,248,537
50,100 Universal Foods Corp. .......................... 864,225
--------------
18,383,962
--------------
FOOTWEAR - 0.12%
22,700 * Payless ShoeSource, Inc. ....................... 1,146,350
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
FREIGHT - 0.45%
48,692 Airborne Freight Corp. ......................... $ 982,970
41,500 C. H. Robinson Worldwide, Inc. ................. 1,864,906
35,700 J.B. Hunt Transport Services, Inc. ............. 571,200
33,542 Overseas Shipholding Group, Inc. ............... 777,755
--------------
4,196,831
--------------
FUNERAL SERVICES - 0.05%
106,800 Stewart Enterprises, Inc. ...................... 427,200
--------------
HEALTHCARE - 2.55%
51,700 * Apria Healthcare Group, Inc. ................... 743,188
61,200 * Edwards Lifesciences Corp. ..................... 1,243,125
49,044 * First Health Group Corp. ....................... 1,716,540
123,000 * Foundation Health
Systems, Inc., Class A.......................... 1,476,000
242,400 * Health Management Associates, Inc. ............. 2,863,350
53,900 * Lincare Holdings, Inc. ......................... 1,563,100
91,000 Omnicare, Inc. ................................. 1,501,500
81,300 * Oxford Health Plans, Inc. ...................... 1,727,625
43,548 * PacifiCare Health
Systems, Inc., Class A.......................... 2,822,455
70,400 * Quorum Health Group, Inc. ...................... 679,800
67,500 * Steris Corp. ................................... 611,718
104,700 * Sybron International Corp. ..................... 3,317,680
39,200 * Trigon Healthcare, Inc. ........................ 1,960,000
64,200 * VISX, Inc. ..................................... 1,263,938
--------------
23,490,019
--------------
HEAVY DUTY TRUCKS/PARTS - 0.16%
22,000 Bandag, Inc. ................................... 545,875
46,008 Federal Signal Corp. ........................... 888,529
--------------
1,434,404
--------------
HOME BUILDERS - 0.13%
139,762 Clayton Homes, Inc. ............................ 1,240,388
--------------
HOSPITAL MANAGEMENT - 0.03%
102,300 * Beverly Enterprises, Inc. ...................... 306,900
--------------
HOSPITAL SUPPLIES - 1.87%
26,770 * Acuson Corp. ................................... 327,933
29,066 Beckman Coulter, Inc. .......................... 1,747,593
52,700 DENTSPLY International, Inc. ................... 1,617,231
63,400 Hillenbrand Industries, Inc. ................... 1,945,587
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
14 MIDCAP INDEX FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
HOSPITAL SUPPLIES - Continued
31,200 * MiniMed, Inc. .................................. $ 3,728,400
70,500 * PSS World Medical, Inc. ........................ 594,844
193,528 Stryker Corp. .................................. 7,317,777
--------------
17,279,365
--------------
HOUSEHOLD PRODUCTS - 0.08%
38,656 Church & Dwight Co., Inc. ...................... 703,056
--------------
HUMAN RESOURCES - 1.06%
35,906 Kelly Services, Inc., Class A................... 825,838
75,500 Manpower, Inc. ................................. 2,670,813
95,600 * Modis Professional Services, Inc. .............. 979,900
89,500 * Robert Half International, Inc. ................ 5,314,063
--------------
9,790,614
--------------
INFORMATION PROCESSING - 1.27%
87,100 * Acxiom Corp. ................................... 2,547,675
43,300 * CDW Computer Centers, Inc. ..................... 5,065,422
39,800 * Micrel, Inc. ................................... 2,537,250
82,100 * Sybase, Inc. ................................... 1,565,030
--------------
11,715,377
--------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 0.73%
63,200 * DST Systems, Inc. .............................. 4,743,950
270,900 * Informix Corp. ................................. 1,964,025
--------------
6,707,975
--------------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 0.87%
174,900 * Jabil Circut, Inc. ............................. 6,383,850
161,600 Quantum Corp. - DLT & Storage Systems........... 1,676,600
--------------
8,060,450
--------------
INFORMATION PROCESSING -
COMPUTER SERVICES - 1.61%
60,400 * Cambridge Technology Partners, Inc. ............ 486,975
59,600 * Checkfree Holdings Corp. ....................... 2,492,025
89,000 * Gartner Group, Inc., Class B.................... 984,562
89,200 * Rationale Software Corp. ....................... 6,539,475
128,000 * SunGard Data Systems, Inc. ..................... 4,344,000
--------------
14,847,037
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 1.55%
196,400 * Intuit, Inc. ................................... $ 7,119,500
51,300 * Macromedia, Inc. ............................... 4,110,412
140,000 * Networks Associates, Inc. ...................... 3,062,500
--------------
14,292,412
--------------
INFORMATION PROCESSING -
DATA SERVICES - 4.52%
57,646 * A.C. Nielson.................................... 1,279,021
49,400 * Affiliated Computer Services, Inc., Class A..... 1,682,688
153,232 Comdisco, Inc. ................................. 3,926,570
52,100 * CSG Systems International, Inc. ................ 2,591,975
68,702 Diebold, Inc. .................................. 2,082,529
64,700 * Electronic Arts, Inc. .......................... 4,132,713
123,400 * Fiserv, Inc. ................................... 5,768,950
71,500 * Keane, Inc. .................................... 1,917,093
84,800 * Legato Systems, Inc. ........................... 922,200
64,214 * Mentor Graphics Corp. .......................... 1,099,665
73,400 * NOVA Corp. ..................................... 2,156,125
30,900 * Nvidia Corp. ................................... 3,526,463
35,672 * Policy Management Systems Corp. ................ 363,408
76,800 Reynolds and Reynolds Co., Class A.............. 1,680,000
100,800 * Storage Technology Corp. ....................... 1,127,700
35,790 * Structural Dynamic Research Corp. .............. 407,111
42,400 * Sykes Enterprises, Inc. ........................ 818,850
59,700 * Symantec Corp. ................................. 3,925,275
51,700 * Tech Data Corp. ................................ 1,941,980
32,400 * Transaction Systems Architects, Inc., Class A... 392,850
--------------
41,743,166
--------------
INSURANCE - CASUALTY - 0.35%
58,266 American Financial Group, Inc. ................. 1,627,806
46,900 Everest Reinsurance Group, Ltd. ................ 1,594,600
--------------
3,222,406
--------------
INSURANCE - LIFE - 0.19%
64,300 Protective Life Corp. .......................... 1,768,250
--------------
INSURANCE - MISCELLANEOUS - 0.80%
69,800 Ambac Financial Group, Inc. .................... 3,516,175
29,098 HSB Group, Inc. ................................ 845,661
60,000 Ohio Casualty Corp. ............................ 716,250
44,500 PMI Group, Inc. ................................ 2,258,375
--------------
7,336,461
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INSURANCE - MULTILINE - 1.06%
41,000 Horace Mann Educators Corp. .................... $ 697,000
127,000 Old Republic International Corp. ............... 2,230,437
88,400 Reliastar Financial Corp. ...................... 4,552,600
71,300 Unitrin, Inc. .................................. 2,286,056
--------------
9,766,093
--------------
LEISURE TIME - 0.57%
75,800 Callaway Golf Co. .............................. 1,373,875
75,400 * International Game Technology .................. 2,045,225
78,100 * Premier Parks, Inc. ............................ 1,859,755
--------------
5,278,855
--------------
LODGING - 0.42%
306,600 * Park Place Entertainment Corp. ................. 3,870,825
--------------
MACHINE TOOLS - 0.26%
43,700 * Gilead Sciences, Inc. .......................... 2,389,844
--------------
MACHINERY - AGRICULTURE - 0.08%
59,300 AGCO Corp. ..................................... 741,250
--------------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.89%
62,500 * Calpine Corp. .................................. 6,621,094
27,112 Granite Construction, Inc. ..................... 706,607
25,936 * Jacobs Engineering Group, Inc. ................. 862,372
--------------
8,190,073
--------------
MACHINERY - INDUSTRIAL/SPECIALTY - 1.04%
30,532 * Albany International Corp., Class A............. 436,989
70,600 * American Standard Companies, Inc. .............. 3,260,838
37,336 Flowserve Corp. ................................ 597,376
30,900 Newport News Shipbuilding, Inc. ................ 1,021,630
16,600 Nordson Corp. .................................. 805,100
28,066 Stewart & Stevenson Services, Inc. ............. 392,923
19,800 Tecumseh Products Co., Class A.................. 894,713
55,484 Tidewater, Inc. ................................ 2,156,941
--------------
9,566,510
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 MIDCAP INDEX FUND 15
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MERCHANDISE - DRUG - 1.40%
38,300 * Express Scripts, Inc., Class A.................. $ 2,053,838
67,300 * Medimmune, Inc. ................................ 10,456,738
73,100 * Perrigo Co. .................................... 438,600
--------------
12,949,176
--------------
MERCHANDISE - SPECIALTY - 1.24%
69,100 * Barnes & Noble, Inc. ........................... 1,308,581
73,644 * BJ's Wholesale Club, Inc. ...................... 2,282,964
114,900 * OfficeMax, Inc. ................................ 624,769
58,622 Sotheby's Holdings, Inc., Class A............... 956,271
72,800 Tiffany & Co. .................................. 4,436,250
56,700 * Williams-Sonoma, Inc. .......................... 1,817,944
--------------
11,426,779
--------------
MERCHANDISING - DEPARTMENT - 0.58%
48,300 Blyth Industries, Inc. ......................... 1,310,138
77,700 * Borders Group, Inc. ............................ 1,092,655
49,000 * Neiman Marcus Group, Inc., Class A.............. 1,286,250
144,600 * Saks, Inc. ..................................... 1,671,938
--------------
5,360,981
--------------
MERCHANDISING - FOOD - 0.40%
42,300 Hannaford Bros. Co. ............................ 3,056,175
46,400 Ruddick Corp. .................................. 643,800
--------------
3,699,975
--------------
MERCHANDISING - MASS - 0.81%
67,800 * Dollar Tree Stores, Inc. ....................... 4,034,100
173,800 Family Dollar Stores, Inc. ..................... 3,432,550
--------------
7,466,650
--------------
METALS - MISCELLANEOUS - 0.22%
30,112 Kennametal, Inc. ............................... 794,203
24,500 Precision Castparts Corp. ...................... 1,194,375
--------------
1,988,578
--------------
METALS - STEEL - 0.34%
111,700 AK Steel Holding Corp. ......................... 1,082,094
21,920 Carpenter Technology Corp. ..................... 453,470
11,014 Cleveland-Cliffs, Inc. ......................... 280,169
40,084 Harsco Corp. ................................... 1,077,257
1,300 Oregon Steel Mills, Inc. ....................... 2,844
24,900 Ryerson Tull, Inc. ............................. 245,888
--------------
3,141,722
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MISCELLANEOUS - 0.58%
137,300 * MarchFirst, Inc. ............................... $ 2,591,538
32,600 * Polycom, Inc. .................................. 2,740,438
--------------
5,331,976
--------------
MULTIMEDIA - 0.78%
244,900 * Cadence Design Systems, Inc. ................... 3,918,400
69,900 * Synopsys, Inc. ................................. 3,307,143
--------------
7,225,543
--------------
NATURAL GAS - DIVERSIFIED - 0.76%
28,700 * Hanover Compressor Co. ......................... 1,684,330
113,200 Kinder Morgan, Inc. ............................ 3,693,150
82,272 Questar Corp. .................................. 1,671,150
--------------
7,048,630
--------------
OIL - INTEGRATED DOMESTIC - 0.09%
77,750 Pennzoil-Quaker State Co. ...................... 855,250
--------------
OIL - INTEGRATED
INTERNATIONAL - 0.32%
44,892 Murphy Oil Corp. ............................... 2,912,369
--------------
OIL - SERVICE - PRODUCTS - 4.09%
86,300 * BJ Services Co. ................................ 6,181,238
152,800 Dynegy, Inc. ................................... 11,784,700
108,800 * Grant Prideco, Inc. ............................ 2,529,600
132,300 * Noble Drilling Corp. ........................... 5,738,513
167,800 * Ocean Energy, Inc. ............................. 2,517,000
185,500 * Santa Fe Snyder Corp. .......................... 2,341,938
89,743 * Varco International, Inc. ...................... 1,951,924
108,800 Weatherford International, Inc. ................ 4,685,200
--------------
37,730,113
--------------
OIL - SERVICES - 2.80%
85,600 Devon Energy Corp. ............................. 5,119,950
138,100 ENSCO International, Inc. ...................... 4,824,869
175,400 * Global Marine, Inc. ............................ 4,966,012
139,500 * Nabors Industries, Inc. ........................ 5,998,500
48,992 * Smith International, Inc. ...................... 3,873,430
38,700 York International Corp. ....................... 1,011,038
--------------
25,793,799
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
OIL/GAS PRODUCERS - 1.22%
67,500 Cabot Corp. .................................... $ 1,759,219
50,000 Helmerich & Payne, Inc. ........................ 1,862,500
56,770 Noble Affiliates, Inc. ......................... 2,231,771
99,900 * Pioneer Natural Resources Corp. ................ 1,492,256
86,560 Ultramar Diamond Shamrock Corp. ................ 2,245,150
55,782 Valero Energy Corp. ............................ 1,631,624
--------------
11,222,520
--------------
PAPER/FOREST PRODUCTS - 1.40%
51,378 Bowater, Inc. .................................. 2,655,600
90,640 Consolidated Papers, Inc. ...................... 3,387,670
82,500 Georgia-Pacific Corp. - Timber Group............ 1,907,813
51,378 Longview Fibre Co. ............................. 616,536
42,100 P.H Glatfelter Co. ............................. 497,306
48,152 Pentair, Inc. .................................. 1,889,965
27,400 Rayonier, Inc. ................................. 1,102,850
27,840 Standard Register Co. .......................... 377,580
51,222 Wausau-Mosinee Paper Corp. ..................... 473,804
--------------
12,909,124
--------------
PUBLISHING - NEWS - 1.16%
44,500 Lee Enterprises, Inc. .......................... 973,438
26,536 Media General, Inc., Class A.................... 1,346,702
107,300 Reader's Digest Association,
Inc., Class A................................... 3,634,788
9,422 Washington Post Co., Class B.................... 4,715,711
--------------
10,670,639
--------------
PUBLISHING/PRINTING - 0.53%
25,172 Banta Corp. .................................... 465,682
31,064 Houghton Mifflin Co. ........................... 1,242,560
16,600 * Scholastic Corp. ............................... 882,913
56,500 * Valassis Communications, Inc. .................. 1,864,500
41,956 Wallace Computer Services, Inc. ................ 419,560
--------------
4,875,215
--------------
RAILROAD - 0.25%
49,248 GATX Corp. ..................................... 1,659,041
51,100 * Wisconsin Central
Transportation Corp. ........................... 664,300
--------------
2,323,341
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
16 MIDCAP INDEX FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
RESTAURANTS - 1.44%
38,600 Bob Evans Farms, Inc. .......................... $ 525,925
65,500 * Brinker International, Inc. .................... 1,854,469
41,964 * Buffets, Inc. .................................. 487,832
58,532 CBRL Group, Inc. ............................... 848,714
26,200 Lone Star Steakhouse &
Saloon, Inc. ................................... 276,738
74,500 * Outback Steakhouse, Inc. ....................... 2,258,281
30,600 * Papa Johns International, Inc. ................. 766,913
184,700 * Starbucks Corp. ................................ 6,279,800
--------------
13,298,672
--------------
SAVINGS & LOAN - 0.91%
54,300 Astoria Financial Corp. ........................ 1,479,675
213,500 Charter One Financial, Inc. .................... 4,857,125
110,700 Dime Bancorp, Inc. ............................. 2,020,275
--------------
8,357,075
--------------
SCHOOLS - 0.50%
76,200 * Apollo Group, Inc., Class A..................... 2,214,563
69,000 * DeVry, Inc. .................................... 1,927,687
42,200 * Sylvan Learning Systems, Inc. .................. 474,750
--------------
4,617,000
--------------
SECURITIES RELATED - 1.13%
89,700 A.G. Edwards, Inc. ............................. 3,133,894
290,800 * E*Trade Group, Inc. ............................ 4,525,575
63,100 Legg Mason, Inc. ............................... 2,784,288
--------------
10,443,757
--------------
SEMICONDUCTOR EQUIPMENT - 1.53%
77,100 * Microchip Technology, Inc. ..................... 4,376,630
126,500 * Novellus Systems, Inc. ......................... 6,095,719
73,800 * QLogic Corp. ................................... 3,625,425
--------------
14,097,774
--------------
SEMICONDUCTORS - 4.42%
221,400 * Atmel Corp. .................................... 8,454,713
44,200 Avnet, Inc. .................................... 3,058,088
55,100 * Burr Brown Corp. ............................... 3,137,256
66,300 * Cirrus Logic, Inc. ............................. 1,151,963
110,000 * Cypress Semiconductor Corp. .................... 4,626,875
104,700 * Energizer Holdings, Inc. ....................... 1,779,900
94,000 * Integrated Device Technology, Inc. ............. 4,459,125
39,400 * TranSwitch Corp. ............................... 2,467,425
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SEMICONDUCTORS - Continued
38,100 * Triquint Semiconductor, Inc. ................... $ 3,595,687
158,300 * Vitesse Semiconductor Corp. .................... 8,013,938
--------------
40,744,970
--------------
TELECOMMUNICATIONS - 2.06%
39,400 * Adtran, Inc. ................................... 2,428,025
53,004 COMSAT Corp. ................................... 1,298,598
68,800 Harris Corp. ................................... 2,102,700
32,300 * L-3 Communications Holdings, Inc. .............. 1,808,800
59,400 * Powerwave Technologies, Inc. ................... 3,218,738
128,000 * Sanmina Corp. .................................. 8,144,000
--------------
19,000,861
--------------
TEXTILE - PRODUCTS - 0.93%
52,300 * Burlington Industries, Inc. .................... 173,244
123,300 * Jones Apparel Group, Inc. ...................... 3,305,981
54,700 * Mohawk Industries, Inc. ........................ 1,302,544
134,500 Shaw Industries, Inc. .......................... 1,874,594
59,158 * Unifi, Inc. .................................... 754,265
33,868 Wellman, Inc. .................................. 666,775
53,300 WestPoint Stevens, Inc., Class A................ 542,994
--------------
8,620,397
--------------
TOBACCO - 0.40%
109,300 R.J. Reynolds Tobacco Holdings, Inc. ........... 3,033,075
28,600 Universal Corp. ................................ 663,163
--------------
3,696,238
--------------
TRUCKERS - 0.27%
24,628 Arnold Industries, Inc. ........................ 281,683
48,500 CNF Transportation, Inc. ....................... 1,276,156
64,200 * Swift Transportation Co., Inc. ................. 902,813
--------------
2,460,652
--------------
UTILITIES - COMMUNICATION - 1.27%
217,500 Broadwing, Inc. ................................ 5,179,219
61,682 Telephone and Data Systems, Inc. ............... 6,538,292
--------------
11,717,511
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
UTILITIES - ELECTRIC - 6.39%
110,228 Allegheny Energy, Inc. ........................... $ 3,410,178
78,432 Alliant Energy Corp. ............................. 2,171,585
21,500 Black Hills Corp. ................................ 514,656
22,618 Cleco Corp. ...................................... 774,667
92,756 Conectiv, Inc. ................................... 1,547,866
134,400 DPL, Inc. ........................................ 3,150,000
74,900 DQE, Inc. ........................................ 3,164,525
124,600 Energy East Corp. ................................ 2,663,325
32,132 Hawaiian Electric Industries, Inc. ............... 1,134,661
37,446 Idacorp, Inc. .................................... 1,312,950
85,556 IPALCO Enterprises, Inc. ......................... 1,700,425
61,838 Kansas City Power & Light Co. .................... 1,464,787
130,500 LG&E Energy Corp. ................................ 3,091,219
73,272 Minnesota Power, Inc. ............................ 1,350,953
110,128 Montana Power Co. ................................ 4,164,215
125,800 Nisource, Inc. ................................... 2,272,262
143,800 Northeast Utilities............................... 3,181,575
60,000 Nstar............................................. 2,583,750
77,684 OGE Energy Corp. ................................. 1,514,838
118,328 Potomac Electric Power Co. ....................... 3,069,133
40,674 Public Service Co. of New Mexico.................. 678,747
84,324 Puget Sound Energy, Inc. ......................... 1,944,722
103,376 Scana Corp. ...................................... 2,674,853
78,216 Sierra Pacific Resources.......................... 1,129,244
130,300 TECO Energy, Inc. ................................ 2,793,306
92,664 UtiliCorp United, Inc. ........................... 1,818,531
46,348 Washington Gas Light Co. ......................... 1,234,016
117,704 Wisconsin Energy Corp. ........................... 2,486,496
--------------
58,997,485
--------------
UTILITIES - GAS, DISTRIBUTION - 1.09%
56,572 AGL Resources, Inc. .............................. 940,510
134,600 Keyspan Corp. .................................... 4,105,300
85,536 MCN Energy Group, Inc. ........................... 1,951,290
38,456 National Fuel Gas Co. ............................ 1,992,501
58,756 Vectren Corp. .................................... 1,101,675
--------------
10,091,276
--------------
WATER SERVICES - 0.24%
96,700 American Water Works Co., Inc. ................... 2,260,363
--------------
TOTAL COMMON STOCK
(Cost $787,064,482)............................... 875,199,257
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 MIDCAP INDEX FUND 17
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
CORPORATE SHORT-TERM -
COMMERCIAL PAPER - 4.47%
BANKS - NEW YORK CITY - 1.10%
$10,155,000 CitiCorp.,
6.45% due 06/01/00................................ $ 10,155,000
--------------
HEALTHCARE - 0.87%
8,000,000 Cardinal Health, Inc.,
6.50% due 06/02/00................................ 7,998,554
--------------
MACHINERY - INDUSTRIAL/SPECIALTY - 1.96%
18,079,000 Cooper Industries, Inc.,
6.85% due 06/01/00................................ 18,079,000
--------------
UTILITIES - ELECTRIC - 0.54%
5,000,000 Appalachian Power Co.,
6.83% due 06/06/00................................ 4,995,251
--------------
TOTAL CORPORATE SHORT-TERM -
COMMERCIAL PAPER
(Cost $41,227,805)................................ 41,227,805
--------------
UNITED STATES GOVERNMENT -
SHORT-TERM - 0.32%
U.S. TREASURY BILLS - 0.32%
United States Treasury Bills:
650,000 5.69% due 07/06/00................................ 646,392
600,000 5.66% due 07/06/00................................ 596,688
75,000 5.62% due 06/01/00................................ 75,000
525,000 5.61% due 06/01/00................................ 525,000
200,000 5.53% due 06/22/00................................ 199,351
550,000 5.50% due 06/15/00................................ 548,816
100,000 5.49% due 06/22/00................................ 99,678
300,000 5.44% due 06/29/00................................ 298,725
--------------
2,989,650
--------------
TOTAL UNITED STATES GOVERNMENT -
SHORT-TERM
(Cost $2,989,650)................................. 2,989,650
--------------
TOTAL INVESTMENTS
(Cost $831,281,937) - 99.65%...................... $ 919,416,712
--------------
* Non-income producing
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
<C> <S> <C>
--------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 05/31/00)
29(2) Mid Cap 400 Index Futures
(June/$477.80)....................................... $ 112,625
99(3) S&P 500 Index Futures
(June/$1,422.20)..................................... 194,550
----------
$ 307,175
----------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately $2,990,000 were
maintained in a segregated account with a portion placed as collateral for
futures contracts.
(2) Per 500.
(3) Per 250.
--------------------------------------------------------------------------------
<PAGE>
18 SMALL CAP INDEX FUND May 31, 2000
Average Annual Total Return--Fund
1 Year 5 Year Since Inception*
--------------------------------------------------------------------
10.22% 13.53% 12.32%
* May 1, 1992
Growth of $10,000 Investment
Fiscal Year Ended May 31
Balanced Fund S&P 500
------------- -------
5/92 9,950 10,133
5/93 11,606 12,089
5/94 12,324 13,139
5/95 13,554 14,494
5/96 18,230 19,696
5/97 19,599 21,068
5/98 23,780 25,544
5/99 23,196 24,858
5/00 25,567 27,322
Past performance is not predictive of future performance.
The Fund returns reflect investment management fees and other Fund expenses. The
Fund returns do not reflect charges included in the annuity contract or variable
life policy for mortality and expense guarantees, administrative fees or
surrender charges.
Portfolio at a Glance
Total assets: $229,006,179
NAV on 05/31/00: $15.66
One year total return: 10.22%
Net expense ratio: 0.40%
Inception date: 05/01/92
MANAGEMENT OVERVIEW
A discussion with portfolio manager
Magali Azema-Barac, PhD
Describe the benchmark the Fund expects to echo.
The Small Cap Index Fund seeks to replicate the performance of the Russell 2000
Index (the lower 2000 stocks of the top 3000 capitalized companies, in effect
all of the major smaller stocks).
How did the Fund perform relative to its benchmark?
The small cap market as measured by the Russell 2000 returned 9.91% for the
fiscal year ending May 31, 2000 vs. 10.22% for the Fund.
What were the dominant sectors in the Russell 2000 Index?
Technology was the best performing sector in the Russell 2000 for the year
ending May 31, 2000 with a return of 69.00%; Energy posted a solid 52.49% for
the same period. Consumer Discretionary was the weakest sector in the Russell
2000 for the year ending May 31, 2000 with a negative return of 16.25%;
Financial Services did not fare much better at a negative 14.70%.
Top 10 Holdings
<TABLE>
<C> <S> <C>
1. Mercury Interactive
Corp. ................... 0.73%
2. Millennium
Pharmaceuticals, Inc. ... 0.68%
3. BroadVision, Inc. ....... 0.65%
4. Cypress Semiconductor
Corp. ................... 0.44%
5. Human Genome Sciences,
Inc. .................... 0.42%
6. Integrated Device
Technology, Inc. ........ 0.41%
7. LAM Research Corp. ...... 0.41%
8. AMKOR Technologies,
Inc. .................... 0.38%
9. Advanced Fibre
Communications, Inc. .... 0.35%
10. Andrew Corp. ............ 0.35%
</TABLE>
Portfolio holdings are subject to change.
What do you see ahead in the market for the next fiscal period?
The markets continue to be volatile as we enter the 18th year of this current
bull market; demographics continue to favor the stock market as a long-term
investment, as more and more baby boomers plan their retirement.
/s/ Magali Azema-Barac
Magali Azema-Barac, PhD
Portfolio Manager
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 SMALL CAP INDEX FUND 19
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 95.43%
ADVERTISING - 0.81%
6,625 * ADVO, Inc. ..................................... $ 212,828
4,800 * Direct Focus, Inc. ............................. 153,600
1,164 * Doubleclick, Inc. .............................. 49,179
7,000 * E4L, Inc. ...................................... 6,563
6,400 * Getty Images, Inc. ............................. 210,800
300 Grey Advertising, Inc. ......................... 141,150
10,387 * HA-LO Industries, Inc. ......................... 57,778
4,017 Interpublic Group Corp. ........................ 172,480
3,100 * Marketing Services Group, Inc. ................. 15,984
3,600 * Modem Media . Poppe Tyson, Inc. ................ 43,425
2,800 Penton Media, Inc. ............................. 78,400
8,700 True North Communications, Inc. ................ 380,081
9,800 * Westwood One, Inc. ............................. 325,238
146 * Zap.Com Corp. .................................. 438
--------------
1,847,944
--------------
AEROSPACE/DEFENSE - 0.84%
2,465 * Alliant Techsystems, Inc. ...................... 170,085
7,100 * Aviall, Inc. ................................... 38,163
6,300 * Be Aerospace, Inc. ............................. 42,525
2,100 Cubic Corp. .................................... 42,000
5,402 Fairchild Corp., Class A........................ 25,660
8,100 Gencorp, Inc. .................................. 79,481
2,500 HEICO Corp. .................................... 32,813
2,700 * Moog, Inc. ..................................... 57,713
7,700 * Orbital Sciences Corp. ......................... 94,325
9,400 Perkinelmer, Inc. .............................. 493,500
5,100 * Remec, Inc. .................................... 173,081
1,700 * Sequa Corp., Class A............................ 81,069
9,100 * Titan Corp. .................................... 326,463
6,100 * Trimble Navigation, Ltd. ....................... 269,544
--------------
1,926,422
--------------
AIRLINES - 0.51%
14,000 * Airtran Holdings, Inc. ......................... 57,750
6,000 * Alaska Air Group, Inc. ......................... 186,750
7,800 * American West Holdings
Corp., Class B.................................. 138,938
2,300 * Amtran, Inc. ................................... 32,488
3,100 * Atlantic Coast Airlines Holdings, Inc. ......... 94,356
4,150 * Atlas Air, Inc. ................................ 134,356
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
AIRLINES - Continued
5,700 Circle International Group, Inc. ............... $ 107,588
2,200 * Frontier Airlines, Inc. ........................ 29,013
6,500 * Mesa Airlines, Inc. ............................ 39,000
1,850 * Mesaba Holdings, Inc. .......................... 21,275
4,350 * Midwest Express Holdings, Inc. ................. 90,534
5,200 SkyWest, Inc. .................................. 198,250
15,400 * Transport World Airlines, Inc. ................. 37,538
--------------
1,167,836
--------------
APPAREL & PRODUCTS - 0.95%
4,400 * Ann Taylor Stores Corp. ........................ 114,400
1,900 * Bebe Stores, Inc. .............................. 16,863
5,500 Brown Shoe Company, Inc. ....................... 65,656
2,100 * Buckle, Inc. ................................... 28,481
4,300 * Children's Place, Inc. ......................... 82,238
4,400 * Columbia Sportswear Co. ........................ 115,500
7,400 * Donna Karan International, Inc. ................ 52,263
5,100 * Dress Barn, Inc. ............................... 109,013
4,800 * Footstar, Inc. ................................. 172,200
7,600 * Goodys Family Clothing, Inc. ................... 41,325
5,000 * Guess?, Inc. ................................... 76,250
8,700 * Gymboree Corp. ................................. 24,469
4,900 * Jo-ann Stores, Inc. ............................ 46,550
5,550 Kellwood Co. ................................... 93,656
3,200 * Land's End, Inc. ............................... 98,400
5,969 * Mens Wearhouse, Inc. ........................... 119,007
7,900 * Nautica Enterprises, Inc. ...................... 97,763
7,300 * Oakley, Inc. ................................... 70,719
4,900 OshKosh B'Gosh, Inc., Class A................... 82,688
1,500 Oxford Industries, Inc. ........................ 23,156
6,537 * Pacific Sunwear of California, Inc. ............ 105,001
6,000 Phillips-Van Heusen Corp. ...................... 52,125
5,150 * Quicksilver, Inc. .............................. 70,169
4,600 * Shoe Carnival, Inc. ............................ 33,638
3,500 * Shop At Home, Inc. ............................. 14,656
4,100 Talbots, Inc. .................................. 234,213
2,800 UniFirst Corp. ................................. 22,925
2,500 * Urban Outfitters, Inc. ......................... 22,500
3,600 * Value City Department Stores, Inc. ............. 35,775
3,900 * Wet Seal, Inc. ................................. 44,606
--------------
2,166,205
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
APPLIANCES/FURNISHINGS - 0.80%
6,400 Aaron Rents, Inc. .............................. $ 83,200
6,500 * Applica, Inc. .................................. 95,875
3,850 Bassett Furniture Industries, Inc. ............. 47,163
8,800 Ethan Allen Interiors, Inc. .................... 204,600
10,300 * Furniture Brands International, Inc. ........... 164,156
8,797 * Griffon Corp. .................................. 53,332
7,400 Haverty Furniture Companies, Inc. .............. 83,250
15,200 Heilig-Meyers Co. .............................. 25,650
12,400 Hussmann International, Inc. ................... 358,050
7,600 Kimball International, Inc., Class B............ 122,550
12,800 La-Z-Boy Chair Co. ............................. 205,600
13,185 * Metromedia International
Group, Inc. .................................... 56,860
3,500 National Presto Industries, Inc. ............... 108,719
4,650 Oneida, Ltd. ................................... 88,641
800 * Salton, Inc. ................................... 25,350
3,750 SLI, Inc. ...................................... 48,750
17,600 * Sunbeam Corp. .................................. 55,000
--------------
1,826,746
--------------
AUTO - CARS - 0.17%
5,400 * Avis Group Holdings, Inc. ...................... 103,950
6,500 * Budget Group, Inc. ............................. 24,781
3,700 * Group 1 Automotive, Inc. ....................... 42,550
4,000 * Lithia Motors, Inc. ............................ 48,500
1,050 Oshkosh Truck Corp., Class B.................... 32,025
4,700 * Rent-A-Center, Inc. ............................ 94,588
4,000 * United Auto Group, Inc. ........................ 35,750
--------------
382,144
--------------
AUTO - ORIGINAL EQUIPMENT - 0.55%
10,600 * Allen Telecom, Inc. ............................ 169,600
5,700 Arvin Industries, Inc. ......................... 102,600
9,700 Donaldson Co., Inc. ............................ 221,888
6,000 * Hayes Lemmerz International, Inc. .............. 86,625
12,000 Mark IV Industries, Inc. ....................... 255,000
14,550 * Miller Industries, Inc. ........................ 33,647
5,400 Modine Manufacturing Co. ....................... 108,675
4,800 Superior Industries International, Inc. ........ 134,100
9,800 * Tower Automotive, Inc. ......................... 135,975
--------------
1,248,110
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
20 SMALL CAP INDEX FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
AUTO - REPLACEMENT PARTS - 0.55%
5,100 A. O. Smith Corp. .............................. $ 107,100
5,100 * Aftermarket Technology Corp. ................... 30,600
15,100 * Collins & Aikman Corp. ......................... 89,656
3,800 * CSK Auto Corp. ................................. 57,000
4,700 * Discount Auto Parts, Inc. ...................... 47,000
2,400 * Dura Automotive Systems, Inc. .................. 28,650
7,500 Gentek, Inc. ................................... 101,250
7,800 Kaydon Corp. ................................... 181,838
4,200 Midas, Inc. .................................... 108,938
5,122 Myers Industries, Inc. ......................... 69,787
6,000 * O'Reilly Automotive, Inc. ...................... 81,750
11,300 Pep Boys-Manny, Moe & Jack...................... 80,513
4,850 Simpson Industries, Inc. ....................... 42,438
3,100 Standard Motor Products, Inc. .................. 30,031
8,100 * Valance Technology, Inc. ....................... 118,463
5,568 Wynn's International, Inc. ..................... 75,168
--------------
1,250,182
--------------
BANKS - OTHER - 0.58%
1,600 Alabama National Bancorp........................ 30,400
6,400 First Bancorp. ................................. 116,000
3,200 First Merchants Corp. .......................... 68,400
4,143 First Union Corp. .............................. 145,782
14,580 Hudson United Bancorp........................... 354,476
3,000 Irwin Financial Corp. .......................... 43,313
4,400 * Net.B@nk, Inc. ................................. 46,475
11,200 Republic Security Financial Co. ................ 45,500
20,097 Sky Financial Group, Inc. ...................... 310,247
5,800 Sterling Bancshares, Inc. ...................... 64,163
10,600 W Holding Company, Inc. ........................ 96,725
--------------
1,321,481
--------------
BANKS - REGIONAL - 4.42%
5,280 1st Source Corp. ............................... 93,720
6,850 AMCORE Financial, Inc. ......................... 132,719
7,700 Anchor BanCorp Wisconsin, Inc. ................. 118,388
1,900 Area Bancshares Corp. .......................... 37,288
34 BancFirst Corp. ................................ 1,088
10,800 BancorpSouth, Inc. ............................. 166,050
10,600 BancWest Corp. ................................. 198,088
1,350 Bank Atlantic Bancorp, Inc., Class A............ 5,147
9,000 Bank Atlantic Bancorp, Inc., Class B............ 51,188
2,931 Bank of Granite Corp. .......................... 57,155
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
BANKS - REGIONAL - Continued
7,000 Bank United Corp. .............................. $ 251,125
10,220 Banknorth Group, Inc. .......................... 142,441
4,987 BBT Corp. ...................................... 146,181
2,663 * BOK Financial Corp. ............................ 43,440
2,000 Brenton Banks, Inc. ............................ 20,000
1,500 BSB Bancorp, Inc. .............................. 28,594
3,360 BT Financial Corp. ............................. 57,330
1,350 Capital City Bank Group, Inc. .................. 25,313
2,300 Cathay Bancorp, Inc. ........................... 105,656
4,297 Centura Banks, Inc. ............................ 185,845
3,713 Chemical Financial Corp. ....................... 103,036
10,037 Citizens Banking Corp. ......................... 184,430
2,388 City Holding Co. ............................... 23,880
7,900 Commerce Bancorp, Inc. ......................... 362,413
7,900 Commonwealth Bancorp, Inc. ..................... 90,850
11,500 Community First Bankshares, Inc. ............... 189,750
3,031 Community Trust Bancorp, Inc. .................. 43,950
2,450 Corus Bankshares, Inc. ......................... 60,331
5,605 F&M National Corp. ............................. 132,768
2,500 Farmers Capital Bank Corp. ..................... 75,000
12,958 First American Corp., Class A................... 215,427
2,300 First Charter Corp. ............................ 36,800
1,750 First Citizens BancShares, Inc., Class A........ 105,000
4,100 First Commerce Bancshares, Inc., Class B........ 147,600
10,472 First Commonwealth Financial Corp. ............. 102,102
7,829 First Financial Bancorp. ....................... 138,965
2,200 First Financial Bankshares, Inc. ............... 64,350
2,131 First Financial Corp. .......................... 68,192
9,252 First Midwest Bancorp, Inc. .................... 231,300
5,800 First United Bancshares, Inc. .................. 97,875
5,019 FNB Corp. ...................................... 92,224
7,900 * Friedman, Billings, Ramsey Group, Inc., Class A. 50,363
3,700 Frontier Financial Corp. ....................... 62,900
5,015 GBC Bancorp..................................... 143,241
4,500 Greater Bay Bancorp............................. 205,594
5,700 Harbor Florida Bancshares, Inc. ................ 60,563
2,673 Harleysville National Corp. .................... 79,188
4,500 Harris Financial, Inc. ......................... 28,406
10,871 * Imperial Bancorp................................ 192,960
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
BANKS - REGIONAL - Continued
18,600 Independence Community Bank Corp. .............. $ 248,775
4,779 Integra Bank Corp. ............................. 95,580
2,825 International Bancshares Corp. ................. 124,300
3,900 InterWest Bancorp, Inc. ........................ 59,475
800 Merchants New York Bancorp, Inc. ............... 13,600
412 Midamerica Bancorp.............................. 9,631
4,500 Midwest Banc Holdings, Inc. .................... 61,313
2,400 Mississippi Valley Bancshares, Inc. ............ 54,600
4,000 National Bancorp of Alaska, Inc. ............... 161,500
3,754 National Penn Bancshares, Inc. ................. 82,588
6,084 NBT Bancorp, Inc. .............................. 60,460
12,500 North Fork Bancorporation, Inc. ................ 207,031
2,400 Omega Financial Corp. .......................... 54,750
8,458 One Valley Bancorp, Inc. ....................... 314,003
5,200 Pacific Capital Bancorp......................... 142,350
2,100 Park National Corp. ............................ 184,275
3,600 Peoples Holding Co. ............................ 73,800
6,300 PFF Bancorp, Inc. .............................. 86,625
12,136 Republic Bancorp, Inc. ......................... 118,326
6,000 Republic Bancorp, Inc., Class A................. 39,188
3,000 * Republic Bancshares, Inc. ...................... 29,250
6,200 Riggs National Corp. ........................... 89,900
6,580 S&T Bancorp, Inc. .............................. 118,440
5,940 Santander Bancorp............................... 77,220
9,800 * Silicon Valley Bancshares....................... 321,563
5,400 South Financial Group, Inc. .................... 68,175
7,600 * Southwest Bancorporation of Texas, Inc. ........ 150,100
1,875 Sterling Financial Corp. ....................... 28,594
8,918 Susquehanna Bancshares, Inc. ................... 120,950
5,400 Texas Regional Bancshares, Inc., Class A........ 145,463
1,800 * Three Rivers Bancorp............................ 14,400
5,700 Trust Company of New Jersey..................... 104,381
16,780 TrustCo Bank Corp. NY........................... 205,555
6,586 U.S. Bancorp, Inc. ............................. 171,236
3,600 U.S. Bancorp, Inc.-Pennsylvania ................ 16,425
6,636 U.S.B. Holding Co., Inc. ....................... 82,950
4,171 UMB Financial Corp. ............................ 154,327
10,600 United Bankshares, Inc. ........................ 201,400
8,800 Webster Financial Corp. ........................ 202,950
7,590 West Coast Bancorp.............................. 82,541
6,794 Westcorp........................................ 73,885
5,800 Whitney Holding Corp. .......................... 225,838
--------------
10,133,927
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 SMALL CAP INDEX FUND 21
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
BEVERAGE - BREWERS/DISTRIBUTORS - 0.19%
4,400 * Beringer Wine Estates Holdings, Inc., Class B .. $ 167,200
3,900 * Canandaigua Brands, Inc., Class A............... 204,263
2,000 * Robert Mondavi Corp., Class A................... 62,750
--------------
434,213
--------------
BEVERAGE - SOFT DRINKS - 0.03%
1,400 Coca-Cola Bottling Co. ......................... 68,250
--------------
BROADCASTING - 0.58%
5,400 Ackerley Group, Inc. ........................... 65,475
6,900 * ACTV, Inc. ..................................... 84,094
1,400 * Adelphia Business Solutions..................... 59,325
3,800 * Citadel Communications Corp. ................... 152,238
2,900 * Cumulus Media, Inc. ............................ 32,988
3,000 * Data Broadcasting Corp. ........................ 13,781
7,800 * Emmis Communications Corp., Class A............. 266,175
3,600 * Entercom Communications Corp. .................. 163,800
7,400 * Paxson Communications Corp. .................... 57,350
4,000 * Sinclair Broadcast Group, Inc. ................. 33,000
3,500 * Sirius Satellite Radio, Inc. ................... 132,563
5,500 * Source Media, Inc. ............................. 29,734
1,300 United Television, Inc. ........................ 174,200
2,300 * Young Broadcasting, Inc., Class A............... 52,900
--------------
1,317,623
--------------
BUILDING MATERIALS - 0.65%
7,200 Apogee Enterprises, Inc. ....................... 29,700
1,450 Butler Manufacturing Co. ....................... 32,353
3,000 Centex Construction Products, Inc. ............. 90,000
9,500 * Comfort Systems USA, Inc. ...................... 57,594
5,000 Cooper Companies, Inc. ......................... 172,500
12,800 * Dal-Tile International, Inc. ................... 116,000
5,025 Elcor Corp. .................................... 95,789
16,300 Fedders Corp. .................................. 98,819
4,600 Florida Rock Industries, Inc. .................. 181,988
11,900 Interface, Inc., Class A........................ 51,319
2,948 Lennox International, Inc. ..................... 34,639
3,800 Matthews International Corp., Class A........... 95,000
3,800 Mestek, Inc. ................................... 63,175
5,100 * NCI Building Systems, Inc. ..................... 87,019
900 * Simpson Manufacturing Co. ...................... 42,863
5,100 Texas Industries, Inc. ......................... 146,306
6,000 Watsco, Inc. ................................... 88,875
--------------
1,483,939
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
CHEMICAL - MAJOR - 0.21%
6,200 Albemarle Corp. ................................ $ 136,400
2,400 Chemed Corp. ................................... 72,750
6,009 * Hexcel Corp. ................................... 46,570
2,900 * Invitrogen Corp. ............................... 115,638
6,900 Polymer Group, Inc. ............................ 50,456
1,900 Spartech Corp. ................................. 56,288
--------------
478,102
--------------
CHEMICAL - MISCELLANEOUS - 1.87%
7,500 A. Schulman, Inc. .............................. 88,594
9,200 * Agribiotech, Inc. .............................. 230
15,100 * Airgas, Inc. ................................... 81,163
3,200 Arch Chemicals, Inc. ........................... 55,200
5,050 Brady Corp. .................................... 152,131
5,600 Cambrex Corp. .................................. 235,900
5,300 ChemFirst, Inc. ................................ 110,638
42,487 CK Witco Corp. ................................. 515,155
12,200 * Cytec Industries, Inc. ......................... 330,925
5,600 Dexter Corp. ................................... 242,200
8,200 Ethyl Corp. .................................... 21,013
8,500 Ferro Corp. .................................... 188,063
9,800 * Fisher Scientific International, Inc. .......... 338,100
5,100 Geon Co. ....................................... 109,650
7,500 Georgia Gulf Corp. ............................. 187,500
3,200 H.B. Fuller Co. ................................ 124,200
11,700 M.A. Hanna Co. ................................. 136,744
3,700 MacDermid, Inc. ................................ 75,850
4,700 Minerals Technologies, Inc. .................... 217,375
1,200 NCH Corp. ...................................... 48,000
5,600 NL Industries, Inc. ............................ 97,300
6,600 Olin Corp. ..................................... 103,125
5,800 OM Group, Inc. ................................. 283,475
8,100 Omnova Solutions, Inc. ......................... 57,713
9,300 Procurenet, Inc. ............................... 1,395
6,200 Rollins, Inc. .................................. 73,625
2,000 Stepan Co. ..................................... 43,750
18,800 * W.R. Grace & Co. ............................... 236,175
5,800 WD-40 Co. ...................................... 112,738
--------------
4,267,927
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
COAL - 0.04%
4,400 Arch Coal, Inc. ................................ $ 33,000
1,634 NACCO Industries, Inc., Class A................. 61,684
--------------
94,684
--------------
COMMERCIAL SERVICES - 0.37%
12,900 * Billing Concepts Corp. ......................... 60,066
3,950 Central Parking Corp. .......................... 103,934
14,100 * Century Business Services, Inc. ................ 37,013
10,700 * Elot, Inc. ..................................... 28,756
6,500 * Integrated Electrical Services, Inc. ........... 32,094
5,900 * Iron Mountain, Inc. ............................ 215,350
2,600 * IT Group, Inc. ................................. 15,113
3,800 * Lason, Inc. .................................... 9,975
3,100 * MemberWorks, Inc. .............................. 99,975
8,400 * Navigant Consulting Co. ........................ 38,850
700 * NBC Internet, Inc., Class A..................... 13,913
4,700 * Prepaid Legal Services, Inc. ................... 141,881
3,600 * Wackenhut Corp., Class A........................ 47,925
--------------
844,845
--------------
CONGLOMERATES - 0.16%
10,700 Alexander & Baldwin, Inc. ...................... 247,438
1,200 * MAXXAM, Inc. ................................... 30,600
9,100 Ogden Corp. .................................... 78,488
--------------
356,526
--------------
CONSUMER FINANCE - 0.56%
15,400 * AmeriCredit Corp. .............................. 283,938
6,874 Chittenden Corp. ............................... 190,324
7,400 Eaton Vance Corp. .............................. 321,900
9,594 Metris Companies, Inc. ......................... 354,978
5,350 WesBanco, Inc. ................................. 124,388
--------------
1,275,528
--------------
CONTAINERS - METAL/GLASS - 0.41%
3,300 * Alltrista Corp. ................................ 81,056
7,600 AptarGroup, Inc. ............................... 201,875
6,250 Clarcor, Inc. .................................. 110,547
1,653 Corning, Inc. .................................. 319,752
1,800 * CSS Industries, Inc. ........................... 36,000
5,000 Greif Brothers Corp., Class A................... 155,000
3,500 * Silgan Holdings, Inc. .......................... 32,813
--------------
937,043
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
22 SMALL CAP INDEX FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
CONTAINERS - PAPER - 0.13%
5,100 Chesapeake Corp. ............................... $ 166,706
13,400 * Gaylord Container Corp., Class A................ 53,600
3,200 * Ivex Packaging Corp. ........................... 28,800
4,790 Rock-Tenn Co., Class A.......................... 45,803
--------------
294,909
--------------
COSMETICS/TOILETRIES - 0.06%
2,400 * Chattem, Inc. .................................. 28,500
8,400 * Playtex Products, Inc. ......................... 97,650
--------------
126,150
--------------
DRUGS - 4.72%
5,400 * Abgenix, Inc. .................................. 426,600
3,000 * Algos Pharmaceuticals Corp. .................... 37,313
11,200 * Alkermes, Inc. ................................. 410,200
4,700 ALPharma Inc., Class A.......................... 232,650
10,600 * AmeriSource Health Corp., Class A............... 258,375
4,700 * Applied Analytical Industries, Inc. ............ 36,131
2,300 * Barr Laboratories, Inc. ........................ 124,487
8,499 Bindley Western Industries, Inc. ............... 162,011
6,500 Carter-Wallace, Inc. ........................... 130,000
10,500 * Celgene Corp. .................................. 385,875
3,500 * Cell Pathways, Inc. ............................ 70,219
6,600 * Cephalon, Inc. ................................. 341,550
2,200 * Chirex, Inc. ................................... 38,088
8,700 * Columbia Laboratories, Inc. .................... 82,650
5,400 * COR Therapeutics, Inc. ......................... 342,225
1,900 * Corixa Corp. ................................... 60,563
4,300 * Coulter Pharmaceutical, Inc. ................... 79,819
14,500 * Covance, Inc. .................................. 103,313
2,400 * Cygnus, Inc. ................................... 19,350
10,600 * Dura Pharmaceuticals, Inc. ..................... 123,888
3,619 * Elan Corp., Plc. - ADR.......................... 144,081
5,000 * GelTex Pharmaceuticals, Inc. ................... 98,125
5,000 * Guilford Pharmaceuticals, Inc. ................. 70,000
3,200 Herbalife International, Inc., Class A.......... 27,800
11,000 * Human Genome Sciences, Inc. .................... 965,250
10,600 * IDEC Pharmaceuticals Corp. ..................... 676,412
5,800 * Incyte Pharmaceuticals, Inc. ................... 305,950
4,100 * Inhale Therapeutic Systems, Inc. ............... 298,275
7,900 * Isis Pharmaceuticals, Inc. ..................... 73,075
13,275 Jones Pharma, Inc. ............................. 483,707
6,900 * King Pharmaceuticals, Inc. ..................... 369,150
11,058 * Ligand Pharmaceuticals, Inc., Class B........... 118,182
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
DRUGS - Continued
6,900 * Medicis Pharmaceutical Corp., Class A........... $ 322,575
18,600 * Millennium Pharmaceuticals, Inc. ............... 1,555,425
7,130 Natures Sunshine Products, Inc. ................ 53,920
3,100 * Neurogen Corp. ................................. 72,850
15,600 * P-Com, Inc. .................................... 114,562
6,200 * Parexel International Corp. .................... 55,800
4,400 * Pathogenesis Corp. ............................. 66,275
2,400 * Pharmacyclics, Inc. ............................ 101,400
4,900 * Regeneron Pharmaceuticals, Inc. ................ 99,838
3,200 * SafeScience, Inc. .............................. 26,800
5,200 * SangStat Medical Corp. ......................... 138,450
2,400 * Schein Pharmaceutical, Inc. .................... 49,050
5,928 * Shire Pharmaceuticals Group, Plc. - ADR......... 258,609
27,500 * Sicor, Inc. .................................... 235,468
2,500 * SuperGen, Inc. ................................. 59,063
6,300 * Triangle Pharmaceuticals, Inc. ................. 39,375
6,100 * Vertex Pharmaceuticals, Inc. ................... 450,638
--------------
10,795,412
--------------
ELECTRIC PRODUCTS -
MISCELLANEOUS - 0.13%
7,900 CMP Group, Inc. ................................ 229,100
5,300 Harmon Industries, Inc. ........................ 70,225
--------------
299,325
--------------
ELECTRICAL EQUIPMENT - 0.97%
2,200 * Aeroflex, Inc. ................................. 79,475
19,400 * AMKOR Technologies, Inc. ....................... 868,150
6,000 * Antec Corp. .................................... 301,500
9,000 Avista Corp. ................................... 201,375
2,600 * Benchmark Electronics, Inc. .................... 88,400
2,100 C & D Technologies, Inc. ....................... 152,250
3,600 * Global Imaging Systems, Inc. ................... 32,400
10,900 * Intergraph Corp. ............................... 60,630
3,600 * NeoMagic Corp. ................................. 11,138
1,900 * Northeast Optic Network, Inc. .................. 64,956
2,100 * Power-One, Inc. ................................ 184,012
5,200 * Power Integrations, Inc. ....................... 120,900
200 * Tweeter Home Entertainment Group, Inc. ......... 5,825
4,500 * WESCO International, Inc. ...................... 43,594
--------------
2,214,605
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT - 1.97%
7,900 AMETEK, Inc. ................................... $ 164,419
7,800 * Amphenol Corp., Class A......................... 358,800
5,900 Belden, Inc. ................................... 161,513
4,400 * C-COR Electronics, Inc. ........................ 96,800
6,800 * Cable Design Technologies Corp. ................ 188,275
15,500 * Digital Microwave Corp. ........................ 433,031
6,450 * Electro Rent Corp. ............................. 69,741
6,400 * Electro Scientific Industries, Inc. ............ 302,400
6,500 * Esterline Technologies Corp. ................... 88,563
10,100 General Cable Corp. ............................ 83,956
1,335 General Electric Co. ........................... 70,254
7,000 * GenRad, Inc. ................................... 51,188
8,700 * Identix, Inc. .................................. 112,013
9,300 * Kemet Corp. .................................... 624,843
7,100 * Kent Electronics Corp. ......................... 197,025
5,100 * Littelfuse, Inc. ............................... 204,637
9,700 * Mail-Well, Inc. ................................ 90,938
4,900 * Pinnacle Holdings, Inc. ........................ 240,100
3,900 * Plexus Corp. ................................... 325,650
4,200 Standex International Corp. .................... 70,613
1,200 * Thermo Ecotek Corp. ............................ 9,375
5,850 Thomas Industries, Inc. ........................ 117,000
4,700 * Triumph Group, Inc. ............................ 131,600
11,100 * UCAR International, Inc. ....................... 135,975
6,800 * Vicor Corp. .................................... 179,775
--------------
4,508,484
--------------
ELECTRONIC INSTRUMENTS - 3.83%
7,000 * Alpha Industries, Inc. ......................... 322,438
15,900 * Ampex Corp., Class A............................ 27,825
1,650 Analogic Corp. ................................. 59,606
4,300 * Arguss Communications, Inc. .................... 70,950
9,600 BMC Industries, Inc. ........................... 36,600
5,000 * BriteSmile, Inc. ............................... 37,188
9,100 * Checkpoint Systems, Inc. ....................... 72,231
13,000 * Commscope, Inc. ................................ 502,125
6,800 CTS Corp. ...................................... 375,275
5,400 * Dionex Corp. ................................... 189,675
7,600 * DSP Group, Inc. ................................ 340,100
12,075 Flextronics International, Ltd. ................ 657,332
6,500 Gerber Scientific, Inc. ........................ 78,000
3,400 * Hadco Corp. .................................... 300,050
3,975 Harman International Industries, Inc. .......... 230,052
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 SMALL CAP INDEX FUND 23
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
ELECTRONIC INSTRUMENTS - Continued
12,461 * Harmonic, Inc. ................................. $ 556,851
9,400 * Imation Corp. .................................. 266,138
12,300 * InterDigital Communications Corp. .............. 197,569
11,000 * Lattice Semiconductor Corp. .................... 652,438
7,700 * LTX Corp. ...................................... 201,163
7,700 * MagnaTek, Inc. ................................. 64,969
8,550 Methode Electronics, Inc., Class A.............. 306,731
4,430 * Metromedia Fiber Network, Inc. ................. 137,053
9,400 * Mettler-Toledo International, Inc. ............. 368,363
1,400 * Molecular Devices Corp. ........................ 74,725
2,200 * Optical Cable Corp. ............................ 52,388
2,600 Park Electrochemical Corp. ..................... 65,163
4,700 * Performance Food Group Co. ..................... 148,638
6,937 Pioneer-Standard Electronics, Inc. ............. 83,244
11,672 Pittston Brink's Group.......................... 177,269
12,600 * Read-Rite Corp. ................................ 25,200
5,400 * Sawtek, Inc. ................................... 347,288
7,600 * Semtech Corp. .................................. 423,700
16,900 * Sensormatic Electronics Corp. .................. 265,119
3,500 Technitrol, Inc. ............................... 241,500
10,800 Tektronix, Inc. ................................ 577,800
9,000 * Thermedics, Inc. ............................... 75,938
4,600 * Varian, Inc. ................................... 162,437
--------------
8,771,131
--------------
ENTERTAINMENT - 0.63%
3,600 * AMC Entertainment, Inc. ........................ 17,100
7,300 * Argosy Gaming Co. .............................. 115,431
7,500 * Ascent Entertainment Group, Inc. ............... 114,375
10,600 * Aztar Corp. .................................... 135,150
2,400 * Carmike Cinemas, Inc., Class A.................. 12,750
7,000 * Florida Panthers Holdings, Inc. ................ 60,375
4,300 Gaylord Entertainment Co. ...................... 97,288
1,900 * GC Companies, Inc. ............................. 50,231
9,200 * GTECH Holdings Corp. ........................... 202,975
8,400 * Hollywood Entertainment Corp. .................. 57,750
5,900 * Marvel Enterprises, Inc. ....................... 25,444
6,946 * Midway Games, Inc. ............................. 45,583
5,600 * Pegasus Communications Corp. ................... 229,600
4,800 * Playboy Enterprises, Inc. ...................... 63,000
6,000 * THQ, Inc. ...................................... 57,750
10,600 * Trans World Entertainment Corp. ................ 106,000
2,200 * Trendwest Resorts, Inc. ........................ 51,425
--------------
1,442,227
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
FERTILIZERS - 0.11%
9,400 Delta & Pine Land Co. .......................... $ 202,100
6,604 Mississippi Chemical Corp. ..................... 38,385
8,400 * Terra Industries, Inc. ......................... 17,850
--------------
258,335
--------------
FINANCE COMPANIES - 0.25%
10,100 * Associates First Capital Corp. ................. 455
7,700 * Contifinancial Corp. ........................... 193
11,500 * Credit Acceptance Corp. ........................ 63,250
8,000 Doral Financial Corp. .......................... 89,000
8,034 * Imperial Credit Industries, Inc. ............... 27,617
2,200 * Next Card, Inc. ................................ 21,313
2,766 Oriental Financial Group, Inc. ................. 38,378
12,900 Phoenix Investment Partners, Ltd. .............. 108,038
106 * Search Financial Services, Inc. ................ -
1,100 Siebert Financial Corp. ........................ 8,181
3,900 * SierraCities, Inc. ............................. 15,600
2,400 Student Loan Corp. ............................. 91,650
2,400 * Triad Guaranty, Inc. ........................... 44,400
17,800 * UniCapital Corp. ............................... 12,238
2,800 WFS Financial, Inc. ............................ 44,100
--------------
564,413
--------------
FINANCIAL SERVICES - 0.68%
4,700 Advanta Corp. .................................. 79,019
4,400 Advest Group, Inc. ............................. 84,150
5,300 * Affiliated Managers Group, Inc. ................ 177,550
3,800 * Charles River Associates, Inc. ................. 67,925
5,100 * Coinstar, Inc................................... 47,175
5,100 Jefferies Group, Inc. .......................... 102,955
8,000 Leucadia National Corp. ........................ 208,500
5,200 Medallion Financial Corp. ...................... 73,125
3,400 * NCO Group, Inc. ................................ 81,175
4,500 * New Century Financial Corp. .................... 42,750
5,600 Resource America, Inc. ......................... 38,850
6,200 Richmond Count Financial Corp. ................. 116,250
3,520 Southwest Securities Group, Inc. ............... 102,080
2,900 * TheStreet.com, Inc. ............................ 17,355
10,500 * Track Data Corp. ............................... 12,469
13,100 United Asset Management Corp. .................. 242,350
2,100 Value Line, Inc. ............................... 69,300
--------------
1,562,978
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
FOODS - 1.26%
2,700 * Agribrands International, Inc. ................. $ 111,881
4,400 * American Italian Pasta Co., Class A............. 108,075
15,600 Chiquita Brands International, Inc. ............ 61,425
9,200 Corn Products International, Inc. .............. 225,975
9,700 * Del Monte Foods Co. ............................ 82,450
6,400 Dreyer's Grand Ice Cream, Inc. ................. 135,600
10,500 Earthgrains Co. ................................ 173,250
3,900 * Grand Union Co. ................................ 3,413
2,100 * Hain Celestial Group, Inc. ..................... 61,950
3,800 * International Home Foods, Inc. ................. 64,600
4,400 International Multifoods Corp. ................. 61,325
3,600 Interpool, Inc. ................................ 28,800
4,100 * J & J Snack Foods Corp. ........................ 60,987
6,200 J.M. Smucker Co., Class A....................... 109,663
6,000 Lance, Inc. .................................... 58,500
3,800 Michael Foods, Inc. ............................ 87,400
15,600 * NBTY, Inc. ..................................... 248,625
1,600 Pilgrim's Pride Corp., Class A.................. 9,500
3,200 Pilgrim's Pride Corp., Class B ................. 25,600
7,840 * Ralcorp Holdings, Inc. ......................... 99,960
4,200 Riviana Foods, Inc. ............................ 69,300
300 Seaboard Corp. ................................. 55,200
8,200 * Suiza Foods Corp. .............................. 367,975
12,000 Trinity Industries, Inc. ....................... 264,750
4,100 * United Natural Foods, Inc. ..................... 62,013
11,600 Universal Foods Corp. .......................... 200,100
7,300 * Vlasic Foods International, Inc. ............... 15,969
4,050 * Wild Oats Markets, Inc. ........................ 37,463
--------------
2,891,749
--------------
FOOTWEAR - 0.35%
6,200 * Genesco, Inc. .................................. 95,713
11,850 * Just For Feet, Inc. ............................ 356
4,200 Justin Industries, Inc. ........................ 73,238
2,550 * Kenneth Cole Productions, Inc., Class A......... 85,266
8,600 * Reebok International, Ltd. ..................... 119,325
12,100 Stride Rite Corp. .............................. 79,406
3,200 * Timberland Co., Class A......................... 236,400
10,400 Wolverine World Wide, Inc. ..................... 117,000
--------------
806,704
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
24 SMALL CAP INDEX FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
FREIGHT - 0.70%
10,400 Airborne Freight Corp. ......................... $ 209,950
6,700 AMCOL International Corp. ...................... 111,388
10,000 C. H. Robinson Worldwide, Inc. ................. 449,375
4,200 * Egl, Inc. ...................................... 101,063
7,800 J.B. Hunt Transport Services, Inc. ............. 124,800
8,412 * Kirby Corp. .................................... 186,116
14,000 OMI Corp. ...................................... 58,625
7,300 Overseas Shipholding Group, Inc. ............... 169,269
2,900 * SEACOR SMIT, Inc. .............................. 185,963
--------------
1,596,549
--------------
GOLD MINING - 0.03%
32,600 * Battle Mountain Gold Co. ....................... 63,163
--------------
HARDWARE & TOOLS - 0.05%
3,900 Barnes Group, Inc. ............................. 65,081
1,900 Lawson Products, Inc. .......................... 45,481
--------------
110,562
--------------
HEALTHCARE - 1.89%
3,450 * Accredo Health, Inc. ........................... 82,800
4,600 * Advance Paradigm, Inc. ......................... 71,300
5,400 * Alterra Healthcare Corp. ....................... 10,463
12,700 * Apria Healthcare Group, Inc. ................... 182,563
3,619 Block Drug Co., Inc., Class A................... 100,427
44,500 * Caremark Rx, Inc. .............................. 269,781
3,500 * CareMatrix Corp. ............................... 2,516
10,300 * First Health Group Corp. ....................... 360,500
4,225 * Gentiva Health Services, Inc. .................. 36,969
4,700 * Hanger Orthopedic Group, Inc. .................. 22,619
5,900 * Henry Schein, Inc. ............................. 103,987
10,600 Hooper Holmes, Inc. ............................ 108,650
6,100 * ImClone Systems, Inc. .......................... 430,813
9,600 * Integrated Health Services, Inc. ............... 1,728
8,300 Invacare Corp. ................................. 205,425
1,900 * Laboratory Corp. of America Holdings............ 136,563
3,700 * LCA-Vision, Inc. ............................... 10,175
580 * LTC Healthcare, Inc. ........................... 580
1,500 * MAXIMUS, Inc. .................................. 31,125
9,500 * Medquist, Inc. ................................. 393,063
6,200 Mentor Corp. ................................... 148,800
8,800 * NCS HealthCare, Inc., Class A................... 7,700
5,800 * Onhealth Network Co. ........................... 14,138
5,875 * Patterson Dental Co. ........................... 299,257
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
HEALTHCARE - Continued
4,699 * Pharmaceutical Product Development, Inc. ....... $ 77,534
15,700 * PhyCor, Inc. ................................... 7,359
2,304 * Priority Healthcare Corp. ...................... 117,504
2,000 * Professional Detailing, Inc. ................... 53,500
3,100 * Province Healthcare Co. ........................ 87,188
17,700 * Quorum Health Group, Inc. ...................... 170,916
10,875 * Renal Care Group, Inc. ......................... 259,641
8,196 * Respironics, Inc. .............................. 131,648
6,800 * Sierra Health Services, Inc. ................... 28,475
15,000 * Steris Corp. ................................... 135,938
11,088 * Sun Healthcare Group, Inc. ..................... 665
8,300 * Sunrise Medical, Inc. .......................... 36,831
2,400 * Superior Consultant Holdings Corp. ............. 18,900
16,600 * Total Renal Care Holdings, Inc. ................ 65,363
13,300 * US Oncology, Inc. .............................. 63,175
1,600 Vital Signs, Inc. .............................. 33,800
--------------
4,320,379
--------------
HEAVY DUTY TRUCKS/PARTS - 0.26%
5,400 Bandag, Inc. ................................... 133,987
2,200 Detroit Diesel Corp. ........................... 34,650
11,200 Federal Signal Corp. ........................... 216,300
4,700 * Terex Corp. .................................... 74,906
8,200 Titan International, Inc. ...................... 48,688
5,850 Wabash National Corp. .......................... 74,953
--------------
583,484
--------------
HOME BUILDERS - 0.58%
12,205 D. R. Horton, Inc. ............................. 159,428
5,400 * Del Webb Corp. ................................. 82,350
10,800 * Fairfield Communities, Inc. .................... 91,125
11,700 Kaufman & Broad Home Corp. ..................... 202,556
5,600 M.D.C. Holdings, Inc. .......................... 108,150
2,400 * NVR, Inc. ...................................... 132,000
4,781 * Palm Harbor Homes, Inc. ........................ 71,715
6,900 Pulte Corp. .................................... 153,094
4,800 Ryland Group, Inc. ............................. 106,500
8,200 Standard Pacific Corp. ......................... 93,275
6,200 * Toll Brothers, Inc. ............................ 120,125
--------------
1,320,318
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
HOSPITAL MANAGEMENT - 0.42%
18,400 * Beverly Enterprises, Inc. ...................... $ 55,200
14,400 * Coventry Health Care, Inc. ..................... 171,000
6,600 * Eclipsys Corp. ................................. 46,200
1,498 * Healtheon/WebMD Corp. .......................... 21,908
4,100 * Lifepoint Hospitals, Inc. ...................... 87,893
7,900 * Magellan Health Services, Inc. ................. 16,788
9,800 * Orthodontic Centers of America, Inc. ........... 224,788
3,900 * Pediatrix Medical Group, Inc. .................. 27,788
648 * Simione Central Holdings, Inc. ................. 1,943
3,600 * Sunquest Information Systems, Inc. ............. 26,213
4,100 * Sunrise Assisted Living, Inc. .................. 74,569
3,500 * Triad Hospitals, Inc. .......................... 75,031
13,300 * Ventas, Inc. ................................... 50,706
5,300 * Veterinary Centers of America, Inc. ............ 71,881
--------------
951,908
--------------
HOSPITAL SUPPLIES - 1.11%
2,430 Abbott Laboratories............................. 98,871
5,700 * Acuson Corp. ................................... 69,825
3,400 Arrow International, Inc. ...................... 112,200
12,500 * Bio-Technology General Corp. ................... 131,250
2,500 * Closure Medical Corp. .......................... 42,188
6,000 * Coherent, Inc. ................................. 339,000
3,800 * CONMED Corp. ................................... 91,675
4,700 Datascope Corp. ................................ 176,837
2,900 Diagnostic Products Corp. ...................... 90,263
1,900 Landauer, Inc. ................................. 35,150
6,326 Medtronic, Inc. ................................ 326,580
8,350 Owens & Minor, Inc. ............................ 90,284
17,075 * PSS World Medical, Inc. ........................ 144,070
6,800 * Scott Technologies, Inc. ....................... 124,313
10,500 * Summit Technology, Inc. ........................ 194,906
4,800 * TECHE Corp. .................................... 383,700
9,800 * Theragenics Corp. .............................. 87,588
--------------
2,538,700
--------------
HOUSEHOLD PRODUCTS - 0.36%
700 Bush Industries, Inc. .......................... 11,944
9,600 Church & Dwight Co., Inc. ...................... 174,600
3,600 * Cost Plus, Inc. ................................ 105,075
6,000 Libbey, Inc. ................................... 181,500
16,300 Tupperware Corp. ............................... 359,619
--------------
832,738
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 SMALL CAP INDEX FUND 25
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
HUMAN RESOURCES - 0.56%
1,199 Adecco SA - ADR................................. $ 119,226
2,500 * Administaff, Inc. .............................. 129,844
1,900 * AHL Services, Inc. ............................. 14,488
4,500 * Careerbuilder, Inc. ............................ 10,406
4,500 * Cornell Companies, Inc. ........................ 32,625
16,380 * Interim Services, Inc. ......................... 329,647
2,600 Kelly Services, Inc., Class A................... 59,800
7,500 * Kforce.com, Inc. ............................... 96,094
2,600 * Korn/Ferry International........................ 56,225
8,550 * Labor Ready, Inc. .............................. 80,156
8,100 * Metamor Worldwide, Inc. ........................ 184,275
7,700 * Personnel Group of America, Inc. ............... 30,800
2,200 * Probusiness Services, Inc. ..................... 58,575
6,900 * Staff Leasing, Inc. ............................ 24,797
10,300 * Staffmark, Inc. ................................ 51,500
--------------
1,278,458
--------------
INFORMATION PROCESSING - 1.78%
5,700 * Advent Software, Inc. .......................... 214,463
12,300 * American Management Systems, Inc. .............. 460,481
5,500 * Ashton Technology Group, Inc. .................. 17,531
5,000 * CACI International, Inc. ....................... 98,750
4,200 * CAIS Internet, Inc. ............................ 58,800
8,513 * ChoicePoint, Inc. .............................. 344,224
17,550 * CHS Electronics, Inc. .......................... 176
4,000 * Complete Business Solutions, Inc. .............. 90,000
2,500 * Earthweb, Inc. ................................. 25,155
1,400 * F.Y.I., Inc. ................................... 45,675
3,600 * Fidelity Holdings, Inc. ........................ 9,000
256 * Global Sources, Ltd. ........................... 6,976
5,000 * Go2Net, Inc..................................... 228,125
4,800 * InfoUSA, Inc., Class B.......................... 24,300
4,700 * Intraware, Inc. ................................ 52,581
2,592 * JDS Uniphase Corp. ............................. 228,096
3,500 * Juno Online Services, Inc. ..................... 28,219
700 * Launch Media, Inc. ............................. 6,081
11,400 * Learn2.com, Inc. ............................... 21,375
4,000 * Mapquest.com, Inc. ............................. 65,250
4,000 * Maxwell Technologies, Inc. ..................... 55,500
6,800 * Micrel, Inc. ................................... 433,500
4,600 * Pegasystems, Inc. .............................. 27,888
8,400 * Quanta Services, Inc. .......................... 411,600
7,200 * Rare Medium Group, Inc. ........................ 98,100
8,284 * S1 Corp. ....................................... 278,550
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INFORMATION PROCESSING - Continued
5,900 * Sipex Corp. .................................... $ 129,155
5,200 * Spyglass, Inc. ................................. 161,200
20,200 * Sybase, Inc. ................................... 385,062
9,100 * Systemax, Inc. ................................. 61,994
--------------
4,067,807
--------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 2.83%
2,300 * 24/7 Media, Inc. ............................... 32,775
5,000 * Actuate Software Corp. ......................... 115,938
4,400 * Allaire Corp. .................................. 182,875
4,300 * Appliedtheory Corp. ............................ 74,175
11,800 * Aspect Development, Inc. ....................... 690,300
6,400 * Aspen Technology, Inc. ......................... 132,000
8,700 * AXENT Technologies, Inc. ....................... 161,222
2,918 * Baan Co. NV..................................... 8,025
4,100 * Beyond.Com Corp. ............................... 6,534
5,800 * Bindview Development Corp. ..................... 40,238
2,600 * Bottomline Technologies, Inc. .................. 79,463
3,700 * Brio Technology, Inc. .......................... 52,263
6,000 * Cerner Corp. ................................... 136,875
8,900 * Ciber, Inc. .................................... 144,069
2,100 * Concur Technologies, Inc. ...................... 10,763
3,900 * Echelon Corp. .................................. 209,137
4,200 * Engineering Animation, Inc. .................... 40,163
6,300 * Epicor Software Corp. .......................... 22,444
4,800 * Exchange Applications, Inc. .................... 66,000
4,100 * First Consulting Group, Inc. ................... 31,775
2,500 * Great Plains Software, Inc. .................... 103,750
7,900 * Harbinger Corp. ................................ 118,006
6,200 * HNC Software, Inc. ............................. 254,200
6,500 * Infocure Corp. ................................. 28,438
2,600 * Informatica Corp. .............................. 104,650
68,150 * Informix Corp. ................................. 494,088
5,000 * ISS Group, Inc. ................................ 370,000
2,324 * Kana Communications, Inc. ...................... 104,144
8,000 * Macrovision Corp. .............................. 559,000
4,600 * Mediconsult.com, Inc. .......................... 7,188
4,600 * Mercator Software, Inc. ........................ 136,850
4,100 * Metro Information Services, Inc. ............... 40,872
4,400 * Micromuse, Inc. ................................ 438,075
1,680 * Microsoft Corp. ................................ 105,105
18,700 * Microstrategy, Inc. ............................ 356,469
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - Continued
1,300 * Multex.com, Inc. ............................... $ 17,794
5,300 * Navarre Corp. .................................. 9,441
1,500 * Net Perceptions, Inc. .......................... 22,313
6,000 * Onyx Software Corp. ............................ 102,000
1,700 * Pcorder.Com, Inc. .............................. 13,175
6,117 * Peoplesoft, Inc. ............................... 84,491
12,000 * Peregrine Systems, Inc. ........................ 249,000
2,600 * Pervasive Software, Inc. ....................... 13,163
5,500 * Private Business, Inc. ......................... 10,484
3,400 * Proxicom, Inc. ................................. 155,975
7,400 * Quadramed Corp. ................................ 16,650
7,100 * SAGA Systems, Inc. ............................. 104,280
3,000 * Sanchez Computer Associates, Inc. .............. 50,625
6,500 * SS&C Technologies, Inc. ........................ 31,688
2,400 * Unigraphics Solutions, Inc. .................... 55,800
1,800 * Webtrend Corp. ................................. 46,125
1,200 * Zomax, Inc. .................................... 21,375
--------------
6,462,248
--------------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 0.68%
2,400 * Anacomp, Inc. .................................. 6,600
8,094 * Artesyn Technologies, Inc. ..................... 178,068
15,800 * Concurrent Computer Corp. ...................... 134,300
1,200 * Cybex Computer Products Corp. .................. 40,200
3,700 * Egghead.com, Inc. .............................. 12,488
3,000 * Electronics Boutique Holdings Corp. ............ 41,813
3,100 * Eshare Technologies, Inc. ...................... 18,600
5,000 * Hutchinson Technology, Inc. .................... 58,750
65,900 * Iomega Corp. ................................... 214,175
13,700 * Komag, Inc. .................................... 29,113
9,400 * Maxtor Corp. ................................... 98,113
7,000 * MEMC Electronic Materials, Inc. ................ 107,188
3,000 * Mercury Computer Systems, Inc. ................. 94,125
32,300 * Merisel, Inc. .................................. 26,243
12,400 * Micron Electronics, Inc. ....................... 115,475
3,400 * MIPS Technologies, Inc., Class A................ 85,425
2,600 * Netopia, Inc. .................................. 87,425
7,400 * PubliCARD, Inc. ................................ 29,138
6,300 * Radiant Systems, Inc. .......................... 98,438
18,400 * Western Digitial Corp. ......................... 86,250
--------------
1,561,927
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
26 SMALL CAP INDEX FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INFORMATION PROCESSING -
COMPUTER SERVICES - 1.19%
5,400 * Answerthink Consulting Group, Inc. ............. $ 95,513
10,200 * Cambridge Technology Partners, Inc. ............ 82,238
3,300 * Catapult Communications Corp. .................. 26,194
1,136 * CMGI, Inc. ..................................... 54,315
1,000 * Cognizant Technology Solutions Corp. ........... 56,000
8,425 * Computer Horizons Corp. ........................ 94,781
5,900 Computer Task Group, Inc. ...................... 42,406
7,700 * Cotelligent, Inc. .............................. 35,131
4,500 Creative Computers, Inc. ....................... 20,250
6,100 * Datastream Systems, Inc. ....................... 61,000
3,000 * Digital River, Inc. ............................ 34,875
10,025 * Eloyalty Corp. ................................. 150,375
4,800 Factset Research Systems, Inc. ................. 123,600
3,400 * Forrester Research, Inc. ....................... 203,787
6,000 * Globix Corp. ................................... 135,750
8,500 * Igate Capital Corp. ............................ 133,344
2,500 * IVillage, Inc. ................................. 19,688
3,700 * Latitude Communications, Inc. .................. 43,244
1,700 * Media Metrix, Inc. ............................. 47,388
5,100 * Messagemedia, Inc. ............................. 15,300
2,800 * ONEMAIN.COM..................................... 19,950
3,150 * Pegasus Solutions, Inc. ........................ 43,903
6,400 * Presstek, Inc. ................................. 121,600
6,500 * Sagent Technology, Inc. ........................ 51,594
4,000 * Source Information Management Co. .............. 55,000
2,700 * Startek, Inc. .................................. 171,113
2,200 * SVI Holdings, Inc. ............................. 16,913
4,200 * Syntel, Inc. ................................... 50,925
7,350 * USinternetworking, Inc. ........................ 131,841
15,800 * Verticalnet, Inc. .............................. 506,588
3,300 * Zixit Corp. .................................... 86,006
--------------
2,730,612
--------------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 1.02%
41,400 * BroadVision, Inc. .............................. 1,482,636
8,000 * Caprock Communications Corp. ................... 160,000
3,900 * Imrglobal Corp. ................................ 64,350
7,000 * MTI Technology Corp. ........................... 49,438
7,300 * Open Market, Inc. .............................. 77,563
3,100 * SCM Microsystems, Inc. ......................... 213,513
2,600 * Tenfold Corp. .................................. 45,338
6,000 * Verity, Inc. ................................... 202,500
1,800 * Worldgate Communication, Inc. .................. 26,325
--------------
2,321,663
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - 5.00%
3,300 * Activision, Inc. ............................... $ 20,419
7,600 * Advanced Digital Information Corp. ............. 96,900
5,500 Analysts International Corp. ................... 44,688
7,800 * Anixter International, Inc. .................... 220,350
6,220 * Applied Graphics Technology, Inc. .............. 21,381
1,932 * At Home Corp. .................................. 35,742
3,400 * Auspex Systems, Inc. ........................... 16,150
8,408 * Avant! Corp. ................................... 132,426
2,850 * Barra, Inc. .................................... 125,577
3,600 * Bell & Howell Co. .............................. 77,175
4,400 * Black Box Corp. ................................ 345,400
700 * Brooktrout Technology, Inc. .................... 15,794
6,200 * CCC Information Services Group, Inc. ........... 60,644
6,900 * Computer Network Technology Corp. .............. 85,819
1,649 * Computer Sciences Corp. ........................ 158,201
6,000 * Cybercash, Inc. ................................ 26,250
5,100 * Documentum, Inc. ............................... 280,819
2,343 * EMC Corp. ...................................... 272,520
4,600 * Excalibur Technologies Corp. ................... 132,250
2,600 Fair Issac & Co., Inc. ......................... 109,525
8,800 * FileNet Corp. .................................. 184,800
9,200 * GT Interactive Software Corp. .................. 19,550
7,410 * Hyperion Solutions Corp. ....................... 232,489
4,700 * IDX Systems Corp. .............................. 69,325
3,900 * In Focus Systems, Inc. ......................... 108,956
7,400 * Information Resources, Inc. .................... 37,000
6,300 Innovex, Inc. .................................. 54,338
2,900 * INSpire Insurance Solutions, Inc. .............. 9,969
6,500 Jack Henry & Associates, Inc. .................. 282,648
6,150 * JDA Software Group, Inc. ....................... 94,556
3,050 * Kronos, Inc. ................................... 90,738
5,700 * Learning Tree International, Inc. .............. 299,963
6,600 * Manugistics Group, Inc. ........................ 192,225
8,600 * Mapics, Inc. ................................... 44,075
15,800 * Mentor Graphics Corp. .......................... 270,575
19,600 * Mercury Interactive Corp. ...................... 1,661,100
3,900 * MICROS Systems, Inc. ........................... 123,338
6,000 MTS Systems Corp. .............................. 43,688
7,800 National Computer Systems, Inc. ................ 354,412
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - Continued
5,775 * National Instruments Corp. ..................... $ 210,066
2,100 * Network Peripherals, Inc. ...................... 36,881
6,000 * Nvidia Corp. ................................... 684,750
10,645 * Paxar Corp. .................................... 107,115
9,100 * Phoenix Technologies, Ltd. ..................... 163,800
7,500 * Physician Computer Network, Inc. ............... 75
7,200 * Pinnacle Systems, Inc. ......................... 172,800
7,300 * Policy Management Systems Corp. ................ 74,369
5,285 * Primark Corp. .................................. 137,410
6,350 * Profit Recovery Group International, Inc. ...... 115,094
10,100 * Progress Software Corp. ........................ 152,763
4,600 * Project Software & Development, Inc. ........... 100,050
6,800 * ProxyMed, Inc. ................................. 9,350
3,036 * PsiNet, Inc. ................................... 79,131
2,550 * QRS Corp. ...................................... 70,125
700 * Radisys Corp. .................................. 27,300
4,020 * Renaissance Worldwide, Inc. .................... 9,045
12,600 * S3, Inc. ....................................... 201,600
11,000 * Sandisk Corp. .................................. 639,375
8,000 * Santa Cruz Operation, Inc. ..................... 33,500
5,634 * Solectron Corp. ................................ 186,274
8,600 * Structural Dynamic Research Corp. .............. 97,825
4,200 * Sykes Enterprises, Inc. ........................ 81,113
9,100 * Systems & Computer Technology Corp. ............ 171,762
10,025 Technology Solutions Co. ....................... 49,185
3,900 * Telescan, Inc. ................................. 27,788
7,500 * Transaction Systems Architects, Inc., Class A .. 90,938
2,500 * Volt Information Sciences, Inc. ................ 72,188
9,700 * Wave Systems Corp. ............................. 140,650
14,515 * Wind River Systems, Inc. ....................... 526,169
5,900 * Xircom, Inc. ................................... 243,375
5,900 * Zebra Technologies Corp., Class A............... 283,200
--------------
11,446,841
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 SMALL CAP INDEX FUND 27
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INFORMATION PROCESSING -
NETWORKING - 1.18%
3,900 * ACT Networks, Inc. ............................. $ 45,338
3,200 * Advanced Radio Telecom Corp. ................... 32,800
1,131 * Akamai Technologies, Inc. ...................... 76,413
4,500 * Apex, Inc. ..................................... 163,688
7,400 * Banyan Systems, Inc. ........................... 61,050
10,800 * Concentric Network Corp. ....................... 483,300
3,200 * Concord Communications, Inc. ................... 79,600
7,400 * Emulex Corp. ................................... 336,700
2,900 * Entrust Technologies, Inc. ..................... 141,375
6,200 * Hypercom Corp. ................................. 77,500
3,200 * International FiberCom, Inc. ................... 45,800
10,200 * Picturetel Corp. ............................... 31,875
5,700 * Remedy Corp. ................................... 236,550
8,900 * RSA Security, Inc. ............................. 512,306
5,000 * RWD Technologies, Inc. ......................... 21,250
3,300 * Softnet Systems, Inc. .......................... 35,269
4,900 * Visual Networking, Inc. ........................ 243,163
4,200 * YouthStream Media Networks, Inc. ............... 23,363
4,600 * Ziff-Davis, Inc. ............................... 38,813
--------------
2,686,153
--------------
INSURANCE - CASUALTY - 0.50%
4,000 * Acceptance Insurance Co., Inc. ................. 20,500
5,900 * Arch Capital Group, Ltd. ....................... 88,500
2,900 Baldwin & Lyons, Inc., Class B.................. 53,650
6,200 Commerce Group, Inc. ........................... 168,175
3,100 E.W. Blanch Holdings, Inc. ..................... 79,631
2,100 * FPIC Insurance Group, Inc. ..................... 27,038
8,217 Frontier Insurance Group, Inc. ................. 9,758
9,800 HCC Insurance Holdings, Inc. ................... 167,212
2,700 Midland Co. .................................... 67,500
4,400 * PICO Holdings, Inc. ............................ 48,125
1,300 PMA Capital Corp. .............................. 24,538
9,200 Reliance Group Holdings, Inc. .................. 21,275
2,100 RLI Corp. ...................................... 76,388
9,700 Selective Insurance Group, Inc. ................ 178,844
2,900 Stewart Information Services Corp. ............. 36,613
2,600 * Superior National Insurance Group, Inc. ........ 208
3,350 Trenwick Group, Inc. ........................... 50,250
1,805 United Fire & Casualty Co. ..................... 31,249
--------------
1,149,454
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INSURANCE - LIFE - 0.39%
1,600 Kansas City Life Insurance Co. ................. $ 47,600
13,700 Mony Group, Inc. ............................... 507,756
500 * National Western Life Insurance Co., Class A.... 36,844
6,000 Presidential Life Corp. ........................ 87,750
1,500 StanCorp Financial Group, Inc. ................. 47,813
9,300 * UICI............................................ 45,338
5,350 W. R. Berkley Corp. ............................ 118,034
--------------
891,135
--------------
INSURANCE - MISCELLANEOUS - 0.99%
3,640 Ace, Ltd. ...................................... 97,598
3,687 Brown & Brown, Inc. ............................ 171,905
9,000 Crawford & Co., Class B......................... 105,750
6,750 Fidelity National Financial, Inc. .............. 104,625
8,600 Gallagher, Arthur J & Co. ...................... 332,713
3,200 Harleysville Group, Inc. ....................... 54,000
8,950 HSB Group, Inc. ................................ 260,109
2,747 Liberty Corp. .................................. 96,488
13,200 * Mid Atlantic Medical Services, Inc. ............ 163,350
15,200 Ohio Casualty Corp. ............................ 181,450
7,499 Radian Group, Inc. ............................. 412,445
2,900 SCPIE Holdings, Inc. ........................... 70,506
1,050 White Mountains Insurance Group, Inc. .......... 148,247
2,400 Zenith National Insurance Corp. ................ 57,000
--------------
2,256,186
--------------
INSURANCE - MULTILINE - 0.63%
6,950 Alfa Corp. ..................................... 118,150
700 * Alleghany Corp. ................................ 116,375
5,263 Allstate Corp. ................................. 139,470
3,578 American Annuity Group, Inc. ................... 61,050
4,353 AmerUs Life Holdings, Inc. ..................... 86,788
4,400 Argonaut Group, Inc. ........................... 78,650
4,300 CNA Surety Corp. ............................... 53,750
3,707 * Delphi Financial Group, Inc., Class A........... 124,185
6,600 FBL Financial Group, Inc., Class A.............. 96,525
4,100 * HealthAxis, Inc. ............................... 21,525
10,400 Horace Mann Educators Corp. .................... 176,800
4,100 LandAmerica Financial Group, Inc. .............. 75,594
1,050 * Markel Corp. ................................... 151,133
5,817 * Medical Assurance, Inc. ........................ 66,168
4,180 * Professionals Group, Inc. ...................... 69,231
--------------
1,435,394
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
LEISURE TIME - 0.84%
13,100 * Acclaim Entertainment, Inc. .................... $ 31,113
3,700 * Action Performance Co., Inc. ................... 29,600
15,500 AMF Bowling, Inc. .............................. 14,531
2,100 * Anchor Gaming................................... 93,844
5,700 * Bally Total Fitness Holding Corp. .............. 131,456
9,200 * Boyd Gaming Corp. .............................. 45,425
18,500 Callaway Golf Co. .............................. 335,313
1,600 Churchill Downs, Inc. .......................... 36,200
4,500 * Dollar Thrifty Automotive Group, Inc. .......... 81,000
5,600 * Family Golf Centers, Inc. ...................... 1,400
8,500 * Handleman Co. .................................. 82,875
4,350 * JAKKS Pacific, Inc. ............................ 63,075
5,900 * Pinnacle Entertainment, Inc. ................... 112,468
6,000 Polaris Industries, Inc. ....................... 180,375
4,500 * Scotts Co. ..................................... 169,313
5,100 * Station Casinos, Inc. .......................... 138,338
7,150 * Sunterra Corp. ................................. 2,458
4,500 * Travelocity.co, Inc. ........................... 79,594
6,800 * Vail Resorts, Inc. ............................. 108,800
5,800 Winnebago Industries, Inc. ..................... 81,200
8,000 * WMS Industries, Inc. ........................... 99,000
--------------
1,917,378
--------------
LODGING - 0.41%
11,000 * Choice Hotels International, Inc. .............. 133,375
4,100 Deltic Timber Corp. ............................ 87,638
17,500 * Extended Stay America, Inc. .................... 157,500
6,039 Marcus Corp. ................................... 66,052
11,680 Meristar Hospitality Corp. ..................... 221,920
12,800 * Prime Hospitality Corp. ........................ 110,400
2,473 Starwood Hotels & Resorts Worldwide, Inc. ...... 73,108
40,800 Wyndham International, Inc. .................... 76,500
--------------
926,493
--------------
MACHINE TOOLS - 0.53%
10,677 * Gilead Sciences, Inc. .......................... 583,898
8,900 Milacron, Inc. ................................. 140,731
4,400 * PRI Automation, Inc. ........................... 226,118
7,400 Roper Industries, Inc. ......................... 260,850
--------------
1,211,597
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
28 SMALL CAP INDEX FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MACHINERY - AGRICULTURE - 0.15%
12,000 AGCO Corp. ..................................... $ 150,000
3,800 Lindsay Manufacturing Co. ...................... 71,250
3,500 Toro Co. ....................................... 110,250
--------------
331,500
--------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.56%
3,600 * Astec Industries, Inc. ......................... 93,150
3,400 * CDI Corp. ...................................... 73,313
9,100 CMI Corp., Class A.............................. 32,419
3,000 Columbus McKinnon Corp. ........................ 41,250
13,800 Foster Wheeler Corp. ........................... 116,438
4,750 Granite Construction, Inc. ..................... 123,796
23,500 * Harnischfeger Industries, Inc. ................. 10,810
7,300 * Insituform Technologies, Inc., Class A.......... 252,306
5,300 * Jacobs Engineering Group, Inc. ................. 176,225
5,900 Kaman Corp., Class A............................ 59,000
11,500 Lennar Corp. ................................... 217,062
5,822 * Morrison Knudsen Corp. ......................... 45,121
5,400 Sauer, Inc. .................................... 46,575
2,300 Stone & Webster, Inc. .......................... 2,156
--------------
1,289,621
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 2.00%
6,650 AAR Corp. ...................................... 92,269
4,730 * Albany International Corp., Class A............. 67,698
5,575 Applied Industrial Technologies, Inc. .......... 97,214
9,580 Applied Power, Inc., Class A.................... 265,246
6,000 * Asyst Technologies, Inc. ....................... 242,250
6,873 Baldor Electric Co. ............................ 128,868
278 Blount International, Inc. ..................... 3,805
5,680 Burlington Coat Factory Warehouse Corp. ........ 72,065
4,800 Exide Corp. .................................... 40,800
9,000 Flowserve Corp. ................................ 144,000
1,100 Franklin Electric Co., Inc. .................... 77,000
5,200 * Gardner Denver, Inc. ........................... 91,000
1,275 General Binding Corp. .......................... 9,403
5,150 Graco, Inc. .................................... 165,122
4,500 Helix Technology Corp. ......................... 153,280
5,700 Hughes Supply, Inc. ............................ 108,300
7,150 IDEX Corp. ..................................... 238,631
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MACHINERY -
INDUSTRIAL/SPECIALTY - Continued
4,100 * Ionics, Inc. ................................... $ 117,875
10,600 JLG Industries, Inc. ........................... 103,350
5,800 * Kulicke & Soffa Industries, Inc. ............... 291,812
5,850 Lilly Industries, Inc., Class A................. 84,459
9,100 Lincoln Electric Holdings, Inc. ................ 135,363
6,362 Manitowoc Co., Inc. ............................ 207,958
8,200 Newport News Shipbuilding, Inc. ................ 271,113
3,400 Nordson Corp. .................................. 164,900
1,590 Parker Hannifin Corp. .......................... 66,283
5,300 Regal-Beloit Corp. ............................. 88,775
2,100 Robbins & Myers, Inc. .......................... 45,413
4,400 * Specialty Equipment Companies, Inc. ............ 92,950
6,937 * Speedfam-ipec, Inc. ............................ 91,482
3,100 * SPS Technologies, Inc. ......................... 108,887
7,100 Stewart & Stevenson Services, Inc. ............. 99,400
8,450 * Stillwater Mining Co. .......................... 237,128
2,300 Tennant Co. .................................... 81,650
12,300 Timken Co. ..................................... 232,163
5,600 Watts Industries, Inc., Class A................. 63,700
--------------
4,581,612
--------------
MEDICAL TECHNOLOGY - 2.48%
3,900 * Affymetrix, Inc. ............................... 463,125
9,800 * Alaris Medical, Inc. ........................... 14,088
3,300 * Albany Molecular Research, Inc. ................ 171,805
3,700 * Aviron.......................................... 89,494
2,300 * Bio-Rad Laboratories, Inc., Class A............. 53,331
4,600 * Biomatrix, Inc. ................................ 85,387
11,400 * Celera Genomics................................. 634,125
6,000 * Cyberonics, Inc. ............................... 106,500
9,400 * Cytyc Corp. .................................... 471,763
6,600 * Dendrite International, Inc. ................... 166,238
6,500 * Eclipse Surgical Technologies, Inc. ............ 23,156
2,100 * Entremed, Inc. ................................. 45,675
6,175 * Enzo Biochem, Inc. ............................. 217,669
7,900 * Enzon, Inc. .................................... 231,075
4,000 * Gliatech, Inc. ................................. 75,000
6,700 * Haemonetics Corp. .............................. 143,631
9,400 * IDEXX Laboratories, Inc. ....................... 233,237
2,500 * IGEN International, Inc. ....................... 32,968
4,700 * Laser Vision Centers, Inc. ..................... 22,325
5,600 * LaserSight, Inc. ............................... 28,700
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MEDICAL TECHNOLOGY - Continued
400 * Novoste Corp. .................................. $ 15,125
5,600 * On Assignment, Inc. ............................ 145,600
8,318 * Organogenesis, Inc. ............................ 73,822
2,300 * Osteotech, Inc. ................................ 20,700
8,233 * Per-Se Technologies, Inc. ...................... 53,515
5,700 * Protein Design Labs, Inc. ...................... 607,762
6,900 * Quest Diagnostics, Inc. ........................ 461,438
7,400 * ResMed, Inc. ................................... 177,600
2,800 * Sabratek Corp. ................................. 98
8,275 * Serologicals Corp. ............................. 33,617
9,100 * Sunrise Technologies, Inc. ..................... 79,625
1,300 * Syncor International Corp. ..................... 64,025
4,200 * Thermo Cardiosystems, Inc. ..................... 41,213
4,100 * Transkaryotic Therapies, Inc. .................. 102,500
8,200 * Trex Medical Corp. ............................. 15,375
5,900 * Varian Medical Systems, Inc. ................... 243,744
3,400 * Ventana Medical Systems, Inc. .................. 127,713
2,200 * Vical, Inc. .................................... 41,800
3,474 West Pharmaceutical Services, Inc. ............. 81,638
--------------
5,696,202
--------------
MERCHANDISE - DRUG - 0.18%
3,800 * Duane Reade, Inc. .............................. 113,762
1,240 * Medimmune, Inc. ................................ 192,665
16,900 * Perrigo Co. .................................... 101,400
--------------
407,827
--------------
MERCHANDISE - SPECIALTY - 1.84%
1,700 * Advanced Energy Industries, Inc. ............... 62,900
6,100 * Ames Department Stores, Inc. ................... 72,438
5,018 Arctic Cat, Inc. ............................... 53,943
5,800 * Avid Technology, Inc. .......................... 58,363
3,900 * Barnesandnoble.com, Inc. ....................... 36,319
13,200 * Boyds Collection, Ltd. ......................... 125,400
1,600 * Bush Boake Allen, Inc. ......................... 52,200
12,900 Caseys General Stores, Inc. .................... 152,380
9,767 Cash America International, Inc. ............... 100,112
7,500 * Central Garden & Pet Co. ....................... 85,313
23,800 * Charming Shoppes, Inc. ......................... 139,825
20,400 * Compucom Systems, Inc. ......................... 49,088
9,000 * Copart, Inc. ................................... 159,750
7,200 * Daisytek International Corp. ................... 72,450
4,500 * Department 56, Inc. ............................ 40,219
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 SMALL CAP INDEX FUND 29
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MERCHANDISE - SPECIALTY - Continued
7,000 * Earthshell Corp. ............................... $ 28,438
4,500 Enesco Group, Inc. ............................. 18,000
2,400 * Fatbrain.com, Inc. ............................. 15,750
5,700 * Finish Line, Inc. .............................. 39,900
4,575 * Fossil, Inc. ................................... 92,072
11,200 * Franklin Covey Co. ............................. 86,800
5,200 * Guitar Center, Inc. ............................ 66,950
2,305 Hancock Holding Co. ............................ 72,608
21,900 * Hanover Direct, Inc. ........................... 34,218
15,100 * Homebase, Inc. ................................. 28,312
10,468 * Inacom Corp. ................................... 1,780
4,500 * JLK Direct Distribution, Inc. .................. 31,219
4,400 * Keystone Automotive Industries, Inc. ........... 32,313
4,700 * Mannatech, Inc. ................................ 11,603
3,600 * Mechanical Technology, Inc. .................... 35,100
6,300 * Michaels Stores, Inc. .......................... 269,718
4,200 Movado Group, Inc. ............................. 40,163
1,000 * MSC Industrial Direct Co. ...................... 23,063
7,700 * Musicland Stores Corp. ......................... 56,788
27,400 * OfficeMax, Inc. ................................ 148,988
5,400 * Petco Animal Supplies, Inc. .................... 102,262
28,700 * Petsmart, Inc. ................................. 86,100
5,200 * Racing Champions Corp. ......................... 8,775
6,600 * Rayovac Corp. .................................. 117,150
6,300 * Rent-Way, Inc. ................................. 168,130
11,300 * Rexall Sundown, Inc. ........................... 269,080
2,700 Russ Berrie and Co., Inc. ...................... 51,131
6,500 * Seitel, Inc. ................................... 55,250
2,700 * Sitel Corp. .................................... 15,694
8,500 * Sola International, Inc. ....................... 42,500
1,914 South Jersey Industries, Inc. .................. 49,884
7,400 Spiegel, Inc., Class A.......................... 55,500
4,500 * SportsLine.com, Inc. ........................... 51,468
9,800 Sturm, Ruger & Co., Inc. ....................... 98,000
10,300 * Sunglass Hut International, Inc. ............... 61,800
2,500 * Tropical Sportswear
International Corp. ............................ 57,188
9,700 * Twinlab Corp. .................................. 69,113
7,800 * United Stationers, Inc. ........................ 249,600
14,800 * US Office Products, Co. ........................ 14,800
4,100 * Wesley Jessen VisionCare, Inc. ................. 151,443
4,500 * West Marine, Inc. .............................. 36,281
--------------
4,205,632
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MERCHANDISING -
DEPARTMENT - 0.27%
1,333 * 99 Cents Only Stores............................ $ 47,905
1,000 * Alexander's, Inc. .............................. 67,438
16,700 * Borders Group, Inc. ............................ 234,843
16 May Department Stores Co. ...................... 481
23,600 Pier 1 Imports, Inc. ........................... 200,600
7,500 * Stein Mart, Inc. ............................... 58,593
--------------
609,860
--------------
MERCHANDISING - FOOD - 0.47%
175 Farmer Brothers Co. ............................ 29,225
9,800 Fleming Companies, Inc. ........................ 137,812
4,200 Great Atlantic & Pacific Tea Co., Inc. ......... 77,175
5,900 * IHOP Corp. ..................................... 103,988
7,800 Ingles Markets, Inc., Class A................... 76,538
7,300 Ruddick Corp. .................................. 101,287
4,700 Sanderson Farms, Inc. .......................... 31,431
6,500 * Smart & Final, Inc. ............................ 53,219
9,800 * Smithfield Foods, Inc. ......................... 242,550
106 Supervalu, Inc. ................................ 2,206
5,500 * Whole Foods Market, Inc. ....................... 191,125
7,300 Zapata Corp. ................................... 27,375
--------------
1,073,931
--------------
MERCHANDISING - MASS - 0.24%
2,700 * Coldwater Creek, Inc. .......................... 61,931
4,000 * Factory 2-U Stores, Inc. ....................... 140,250
4,950 * Insight Enterprises, Inc. ...................... 224,605
6,400 * ShopKo Stores, Inc. ............................ 117,600
--------------
544,386
--------------
METALS - ALUMINUM - 0.12%
5,600 Graphic Packing International Corp. ............ 19,250
4,400 IMCO Recycling, Inc. ........................... 29,425
6,700 * Kaiser Aluminum Corp. .......................... 29,731
7,500 Tredegar Corp. ................................. 191,250
--------------
269,656
--------------
METALS - COPPER - 0.11%
2,631 Phelps Dodge Corp. ............................. 118,066
3,600 Southern Peru Copper Corp. ..................... 45,000
4,800 * Wolverine Tube, Inc. ........................... 79,200
--------------
242,266
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
METALS - MISCELLANEOUS - 0.37%
3,137 A.M. Castle & Co. .............................. $ 39,016
4,200 Brush Engineered Materials, Inc. ............... 73,238
2,800 CIRCOR International, Inc. ..................... 29,575
4,033 Commercial Metals Co. .......................... 106,117
5,300 Kennametal, Inc. ............................... 139,787
5,900 Precision Castparts Corp. ...................... 287,625
3,900 * RTI International Metals, Inc. ................. 50,700
10,300 * Steel Dynamics, Inc. ........................... 95,919
5,900 Titanium Metals Corp. .......................... 25,813
--------------
847,790
--------------
METALS - STEEL - 0.76%
9,610 AK Steel Holding Corp. ......................... 93,096
31,895 * Bethlehem Steel Corp. .......................... 123,593
4,600 Carpenter Technology Corp. ..................... 95,163
2,900 Cleveland-Cliffs, Inc. ......................... 73,769
2,000 Gibraltar Steel Corp. .......................... 31,750
12,400 Harsco Corp. ................................... 333,250
5,900 Intermet Corp. ................................. 40,563
24,100 LTV Corp. ...................................... 63,263
8,600 Metals USA, Inc. ............................... 45,150
10,300 * Mueller Industries, Inc. ....................... 302,562
5,600 National Steel Corp., Class B................... 29,400
6,500 Oregon Steel Mills, Inc. ....................... 14,219
4,000 Quanex Corp. ................................... 58,500
3,750 Reliance Steel & Aluminium Co. ................. 78,515
5,894 Ryerson Tull, Inc. ............................. 58,203
5,500 Valmont Industries, Inc. ....................... 108,280
14,600 Worthington Industries, Inc. ................... 177,025
--------------
1,726,301
--------------
MISCELLANEOUS - 0.79%
7,780 * 7-eleven, Inc. ................................. 130,315
2,300 * AMERCO, Inc. ................................... 39,530
2,500 * Aviation Sales Co. ............................. 16,719
1,300 * Bacou U.S.A., Inc. ............................. 25,675
13,350 * Brightpoint, Inc. .............................. 156,028
4,700 * Burns International Services Corp. ............. 54,638
6,900 * Cadiz, Inc. .................................... 46,575
11,800 * Catalytica, Inc. ............................... 112,100
5,284 * CDnow, Inc. .................................... 15,522
1,400 * Coorstek, Inc. ................................. 44,800
3,332 * Gemstar Group, Ltd. ............................ 141,402
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
30 SMALL CAP INDEX FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MISCELLANEOUS - Continued
1,040 * Internet Capital Group, Inc. ................... $ 28,015
2,600 * Kroll-O'Gara Co. ............................... 13,975
5,100 * Polycom, Inc. .................................. 428,719
7,900 * Protection One, Inc. ........................... 14,813
6,850 Regis Corp. .................................... 82,628
23,400 USEC, Inc. ..................................... 108,225
5,800 * Veritas DGC, Inc. .............................. 160,225
9,454 Wabtec Corp. ................................... 106,357
2,700 * Wackenhut Corrections Corp. .................... 17,550
2,200 Woodward Governor Co. .......................... 53,625
--------------
1,797,436
--------------
MOBILE HOMES - 0.25%
10,152 * Champion Enterprises, Inc. ..................... 57,740
4,300 Coachmen Industries, Inc. ...................... 51,330
6,600 Fleetwood Enterprises, Inc. .................... 94,050
5,400 McGrath Rentcorp................................ 84,206
4,350 * Monaco Coach Corp. ............................. 62,531
3,800 * National R.V. Holdings, Inc. ................... 42,988
15,300 Oakwood Homes Corp. ............................ 43,988
3,200 Skyline Corp. .................................. 66,000
3,175 Thor Industries, Inc. .......................... 74,216
--------------
577,049
--------------
NATURAL GAS - DIVERSIFIED - 0.76%
7,450 Atmos Energy Corp. ............................. 136,428
5,500 Eastern Enterprises............................. 339,281
7,000 * Hanover Compressor Co. ......................... 410,812
4,300 Laclede Gas Co. ................................ 84,656
4,300 New Jersey Resources Corp. ..................... 166,625
9,008 * Southern Union Co. ............................. 155,387
7,200 Southwest Gas Corp. ............................ 138,150
7,700 UGI Corp. ...................................... 170,363
6,100 Western Gas Resources, Inc. .................... 138,394
--------------
1,740,096
--------------
OIL - INTEGRATED DOMESTIC - 0.20%
2,400 * Belco Oil and Gas Corp. ........................ 18,750
9,075 Cross Timbers Oil Co. .......................... 184,336
16,200 Pennzoil-Quaker State Co. ...................... 178,200
8,500 * Tesoro Petroleum Corp. ......................... 87,125
--------------
468,411
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
OIL - SERVICE - PRODUCTS - 0.77%
6,850 * Barrett Resources Corp. ........................ $ 271,002
2,400 * Drill-Quip, Inc. ............................... 103,500
12,800 * Global Industries, Inc. ........................ 225,600
5,900 * Lone Star Technologies, Inc. ................... 312,700
3,900 * Maverick Tube Corp. ............................ 137,231
16,700 * Parker Drilling Co. ............................ 101,243
12,800 * Pride International, Inc. ...................... 325,600
3,100 * Syntroleum Corp. ............................... 55,800
6,600 * TransMontaigne, Inc. ........................... 44,550
11,900 * Varco International, Inc. ...................... 184,412
--------------
1,761,638
--------------
OIL - SERVICES - 0.80%
9,175 * Friede Goldman Halter, Inc. .................... 77,414
18,300 * Key Energy Services, Inc. ...................... 199,013
14,000 * Marine Drilling Companies, Inc. ................ 402,500
8,900 Mascotech, Inc. ................................ 114,588
6,000 * McMoRan Exploration Co. ........................ 93,375
5,535 * Nabors Industries, Inc. ........................ 238,005
6,500 * Oceaneering International, Inc. ................ 126,750
5,700 * Offshore Logistics, Inc. ....................... 80,513
9,900 * Tuboscope, Inc. ................................ 215,325
9,300 * Unova, Inc. .................................... 128,456
3,400 * UTI Energy Corp. ............................... 145,350
--------------
1,821,289
--------------
OIL/GAS PRODUCERS - 2.19%
2,700 * Atwood Oceanics, Inc. .......................... 147,655
4,600 Berry Petroleum Co., Class A.................... 72,163
7,200 * Brown, Tom, Inc. ............................... 157,500
7,000 Cabot Oil & Gas Corp., Class A.................. 174,562
20,016 * Chesapeake Energy Corp. ........................ 115,092
14,000 * EEX Corp. ...................................... 71,750
10,200 Equitable Resources, Inc. ...................... 507,450
7,400 * Forest Oil Corp. ............................... 117,938
42,400 * Grey Wolf, Inc. ................................ 212,000
34,000 * Harken Energy Corp. ............................ 25,500
12,500 Helmerich & Payne, Inc. ........................ 465,625
4,000 * Houston Exploration Co. ........................ 100,000
12,300 * Input/Output, Inc. ............................. 96,863
4,800 * Louis Dreyfus Natural Gas Corp. ................ 154,200
5,200 Mitchell Energy & Development Corp., Class A.... 151,125
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
OIL/GAS PRODUCERS - Continued
8,800 * Newfield Exploration Co. ....................... $ 368,500
6,700 * Nuevo Energy Co. ............................... 129,394
8,100 * Patterson Energy, Inc. ......................... 195,413
22,700 * Pioneer Natural Resources Corp. ................ 339,080
5,100 * Plains Resources, Inc. ......................... 77,775
9,700 Pogo Producing Co. ............................. 232,800
3,400 St. Mary Land & Exploration Co. ................ 122,400
4,300 * Stone Energy Corp. ............................. 264,719
5,610 * Swift Energy Co. ............................... 144,106
10,400 Valero Energy Corp. ............................ 304,200
10,800 Vintage Petroleum, Inc. ........................ 256,500
--------------
5,004,310
--------------
PAPER/FOREST PRODUCTS - 0.73%
6,500 * Buckeye Technologies, Inc. ..................... 123,906
6,100 Caraustar Industries, Inc. ..................... 101,031
5,148 Kimberly-Clark Corp. ........................... 311,454
12,500 Longview Fibre Co. ............................. 150,000
6,600 P.H. Glatfelter Co. ............................ 77,963
6,400 Potlatch Corp. ................................. 242,400
8,600 Rayonier, Inc. ................................. 346,150
4,000 Schweitzer-Mauduit, Inc. ....................... 55,000
3,700 Standard Register Co. .......................... 50,181
7,500 * Thermo Fibertek, Inc. .......................... 45,938
3,700 Universal Forest Products, Inc. ................ 48,563
12,634 Wausau-Mosinee Paper Corp. ..................... 116,865
--------------
1,669,451
--------------
PHOTOGRAPHY - 0.22%
2,420 CPI Corp. ...................................... 53,995
5,200 * Photronics, Inc. ............................... 124,800
12,400 Polaroid Corp. ................................. 237,925
5,400 * Ultratech Stepper, Inc. ........................ 75,600
--------------
492,320
--------------
POLLUTION CONTROL - 0.27%
560 Arcadis N.V. ................................... 3,990
8,700 Calgon Carbon Corp. ............................ 57,093
6,150 * Cuno, Inc. ..................................... 172,200
2,475 Mine Safety Appliances Co. ..................... 57,544
16,900 * Newpark Resources, Inc. ........................ 141,538
8,087 * Tetra Tech, Inc. ............................... 177,914
--------------
610,279
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 SMALL CAP INDEX FUND 31
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
PROFESSIONAL SPORTS - 0.02%
2,500 * Championship Auto Racing Teams, Inc. .............. $ 48,906
--------------
PUBLISHING - NEWS - 0.18%
2,900 * IDG Books Worldwide, Inc., Class A................. 26,100
13,800 Lee Enterprises, Inc. ............................. 301,875
7,100 * Network Equipment Technologies, Inc. .............. 75,881
--------------
403,856
--------------
PUBLISHING/PRINTING - 0.67%
6,550 Banta Corp. ....................................... 121,175
4,200 * Berlitz International, Inc. ....................... 46,725
9,400 Bowne & Co., Inc. ................................. 94,587
2,800 * Consolidated Graphics, Inc. ....................... 29,050
7,500 John H. Harland Co. ............................... 115,312
9,400 * Journal Register Co. .............................. 122,200
4,000 New England Business Service, Inc. ................ 59,000
11,923 Quebecor Printing, Inc. ........................... 278,700
4,700 * R.H. Donnelley Corp. .............................. 86,950
3,300 * Scholastic Corp. .................................. 175,519
2,800 * Scientific Games Holdings Corp. ................... 67,550
6,200 * Topps Co., Inc. ................................... 64,713
6,300 * ValueVision International, Inc., Class A........... 182,306
9,400 Wallace Computer Services, Inc. ................... 94,000
--------------
1,537,787
--------------
RAILROAD - 0.20%
6,200 Florida East Coast Industries, Inc. ............... 297,600
12,300 * Wisconsin Central Transportation Corp. ............ 159,900
--------------
457,500
--------------
REAL ESTATE - 0.45%
8,100 Brandywine Realty Trust............................ 143,269
3,330 * Castle & Cooke, Inc. .............................. 62,021
5,300 * CB Richard Ellis Services, Inc. ................... 53,331
5,875 Cousins Properties, Inc. .......................... 225,085
4,000 Forest City Enterprises, Inc., Class A............. 118,500
5,800 Getty Realty Corp. ................................ 64,888
5,200 * Insignia Financial Group, Inc. .................... 58,825
7,100 LNR Property Corp. ................................ 137,563
3,300 SL Green Realty Corp. ............................. 80,025
3,300 Tejon Ranch Co. ................................... 75,075
--------------
1,018,582
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - 4.64%
2,600 Alexandria Real Estate Equities, Inc. .......... $ 87,913
12,900 Allied Capital Corp. ........................... 220,106
5,200 Amli Residential Properties Trust............... 118,625
4,500 Associated Estates Realty Corp. ................ 29,250
3,800 Bedford Property Investors, Inc. ............... 67,688
4,300 Boykin Lodging Co. ............................. 59,663
6,073 Bradley Real Estate, Inc. ...................... 130,570
10,830 BRE Properties, Inc., Class A................... 291,732
8,100 Burnham Pacific Properties, Inc. ............... 52,144
6,500 Cabot Industrial Trust.......................... 125,938
11,141 Camden Property Trust........................... 312,644
5,500 Capital Automotive REIT......................... 78,375
7,825 Capstead Mortgage Corp. ........................ 62,111
5,400 CBL & Associates Properties, Inc. .............. 130,950
4,600 CenterPoint Properties Corp. ................... 168,762
5,100 Chateau Communities, Inc. ...................... 138,338
3,800 Chelsea GCA Realty, Inc. ....................... 128,488
6,300 Colonial Properties Trust....................... 164,194
9,200 Commercial Net Lease Realty..................... 98,900
9,900 Cornerstone Realty Income Trust, Inc. .......... 99,619
2,100 * Crestline Capital Corp. ........................ 37,800
6,100 Crown American Realty Trust..................... 32,788
14,800 Developers Diversified Realty Corp. ............ 213,675
4,200 EastGroup Properties, Inc. ..................... 90,300
12,400 Equity Inns, Inc. .............................. 82,925
3,800 Essex Property Trust, Inc. ..................... 151,288
9,900 Federal Realty Investment Trust................. 217,181
9,300 First Industrial Realty Trust, Inc. ............ 270,281
6,300 Gables Residential Trust........................ 155,138
7,600 Glenborough Realty Trust, Inc. ................. 117,800
6,100 Glimcher Realty Trust........................... 82,350
1,400 Great Lakes REIT, Inc. ......................... 23,538
12,124 Health Care Property Investors, Inc. ........... 323,559
6,800 Health Care REIT, Inc. ......................... 110,500
9,725 Healthcare Realty Trust, Inc. .................. 161,678
4,500 Home Properties of New York, Inc. .............. 128,250
9,600 Hospitality Properties Trust.................... 220,800
18,100 Indymac Mortgage Holdings, Inc. ................ 236,430
4,600 Innkeepers USA Trust............................ 41,400
9,400 IRT Property Co. ............................... 75,788
8,100 JDN Realty Corp. ............................... 86,569
8,000 * Jones Lang Lasalle, Inc. ....................... 123,500
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS -
Continued
3,300 JP Realty, Inc. ................................ $ 59,606
6,700 Kilroy Realty Corp. ............................ 153,263
1,692 Kimco Realty Corp., Class D..................... 42,829
6,800 Koger Equity, Inc. ............................. 121,550
5,800 LTC Properties, Inc. ........................... 35,888
7,300 Macerich Co. ................................... 159,231
5,300 Manufactured Home Communities, Inc. ............ 127,863
3,500 MGI Properties, Inc. ........................... 8,094
4,900 Mid-America Apartment Communities, Inc. ........ 114,844
5,500 Mills Corp. .................................... 97,281
4,300 National Golf Properties, Inc. ................. 87,075
5,600 National Health Investors, Inc. ................ 57,750
11,300 Nationwide Health Properties, Inc. ............. 155,375
7,886 Omega Healthcare Investors, Inc. ............... 37,951
4,500 Pacific Gulf Properties, Inc. .................. 104,062
2,500 Parkway Properties, Inc. ....................... 75,313
4,500 Pennsylvania Real Estate Investment Trust....... 78,469
9,100 Prentiss Properties Trust....................... 218,400
10,923 Prime Retail, Inc. ............................. 17,067
3,400 PS Business Parks, Inc. ........................ 81,175
6,500 Realty Income Corp. ............................ 153,563
9,900 Reckson Associates Realty Corp. ................ 217,181
4,900 Redwood Trust, Inc. ............................ 66,456
8,600 Regency Realty Corp. ........................... 181,138
8,400 RFS Hotel Investors, Inc. ...................... 100,800
9,300 * Security Capital Group, Inc. ................... 154,613
7,000 Shurgard Storage Centers, Inc., Class A......... 160,563
4,500 Smith Charles E Realty, Inc. ................... 170,156
3,100 Sovran Self Storage, Inc. ...................... 64,325
6,095 Starwood Financial, Inc. ....................... 119,614
6,400 Storage USA, Inc. .............................. 192,400
5,600 Summit Properties, Inc. ........................ 119,000
4,200 Sun Communities, Inc. .......................... 135,975
8,800 Taubman Centers, Inc. .......................... 95,700
5,500 Thornburg Mortgage, Inc. ....................... 43,656
7,100 Town & Country Trust............................ 116,262
6,200 * Trammell Crow Co. .............................. 77,888
3,200 U.S. Restaurant Properties, Inc. ............... 32,000
33,800 United Dominion Realty Trust, Inc. ............. 363,350
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
32 SMALL CAP INDEX FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS -
Continued
3,500 Urban Shopping Centers, Inc. .................. $ 117,250
8,600 Washington Real Estate Investment Trust........ 145,125
6,500 Weingarten Realty Investors.................... 264,468
5,300 * Wellsford Real Properties, Inc. ............... 42,400
4,400 Western Properties Trust....................... 48,400
4,100 Westfield America, Inc. ....................... 60,988
--------------
10,625,905
--------------
RESTAURANTS - 1.00%
6,900 * Advantica Restaurant Corp. .................... 5,175
6,350 Applebees International, Inc. ................. 203,597
10,662 AVADO Brands, Inc. ............................ 15,660
9,600 Bob Evans Farms, Inc. ......................... 130,800
11,180 * Buffets, Inc. ................................. 129,968
11,900 CBRL Group, Inc. .............................. 172,550
6,600 * CEC Entertainment, Inc. ....................... 151,800
4,200 * Cheesecake Factory, Inc. ...................... 167,212
10,200 CKE Restaurants, Inc. ......................... 33,788
9,405 * Consolidated Products, Inc. ................... 93,462
10,000 * Jack in the Box, Inc. ......................... 248,125
11,100 Landry's Seafood Restaurants, Inc. ............ 86,719
9,200 Lone Star Steakhouse & Saloon, Inc. ........... 97,175
5,700 Luby's, Inc. .................................. 50,231
5,400 * NPC International, Inc. ....................... 50,288
2,400 * O'Charley's, Inc. ............................. 33,450
5,425 * Papa Johns International, Inc. ................ 135,963
15,600 Ruby Tuesday, Inc. ............................ 154,050
10,300 * Ryan's Family Steak Houses, Inc. .............. 92,700
4,525 * Sonic Corp. ................................... 125,286
5,050 * Triarc Companies, Inc., Class A................ 104,788
--------------
2,282,787
--------------
RETIREMENT/AGED CARE - 0.01%
6,100 * Capital Senior Living Corp. ................... 14,488
--------------
SAVINGS & LOAN - 1.04%
8,294 Bay View Capital Corp. ........................ 83,977
18,600 Capitol Federal Financial...................... 203,438
9,575 Charter One Financial, Inc. ................... 217,831
5,200 * Coast Federal Litigation Contingent Payment
Rights Trust................................... 7,313
5,100 Dime Community Bancshares...................... 83,194
5,155 Downey Financial Corp. ........................ 153,361
16,200 * Finet.com, Inc. ............................... 10,631
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
SAVINGS & LOAN - Continued
3,400 First Financial Holdings, Inc. ................ $ 53,125
4,000 First Indiana Corp. ........................... 70,500
8,113 First Sentinel Bancorp, Inc. .................. 63,129
5,400 * FirstFed Financial Corp. ...................... 72,563
5,300 * Local Financial Corp. ......................... 45,381
9,898 MAF Bancorp, Inc. ............................. 194,866
11,900 Northwest Bancorp, Inc. ....................... 89,994
3,600 OceanFirst Financial Corp. .................... 60,975
10,401 Provident Bankshares Corp. .................... 153,415
6,922 Queens County Bancorp, Inc. ................... 136,710
14,200 Seacoast Financial Services Co. ............... 124,250
9,800 Staten Island Bancorp, Inc. ................... 165,988
5,000 United Community Financial Co. ................ 29,375
17,500 Washington Federal, Inc. ...................... 357,656
--------------
2,377,672
--------------
SCHOOLS - 0.10%
2,300 * Advantage Learning Systems, Inc. .............. 29,900
6,900 * Education Management Corp. .................... 114,605
5,175 * ITT Educational Services, Inc. ................ 86,034
--------------
230,539
--------------
SECURITIES RELATED - 0.55%
3,000 Dain Rauscher Corp. ........................... 178,875
4,450 * E*Trade Group, Inc. ........................... 69,253
6,500 Enhance Financial Services Group, Inc. ........ 89,375
3,398 Investors Financial Services Corp. ............ 274,441
1,200 Liberty Financial Companies, Inc. ............. 28,275
7,250 Morgan Keegan, Inc. ........................... 116,906
3,000 * National Discount Brokers Group, Inc. ......... 75,000
6,600 * Pioneer Group, Inc. ........................... 275,138
8,000 Raymond James Financial, Inc. ................. 157,000
--------------
1,264,263
--------------
SEMICONDUCTOR EQUIPMENT - 1.11%
6,879 * Applied Materials, Inc. ....................... 574,397
3,200 * ATMI, Inc. .................................... 122,800
1,400 * Brooks Automation, Inc. ....................... 55,650
8,300 * Cognex Corp. .................................. 448,719
1,200 * HI/FN, Inc. ................................... 34,725
29,100 * LAM Research Corp. ............................ 934,838
5,700 * Varian Semiconductor Equipment Associates,
Inc. .......................................... 271,819
2,300 * Veeco Instruments, Inc. ....................... 103,500
--------------
2,546,448
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SEMICONDUCTORS - 4.60%
5,300 * Actel Corp. .................................... $ 154,363
8,300 * Alliance Semiconductor Corp. ................... 205,943
2,900 * American Xtal Technology, Inc. ................. 100,413
5,400 * Anadigics, Inc. ................................ 187,312
1,421 Avnet, Inc. .................................... 98,315
9,300 * Burr Brown Corp. ............................... 529,518
10,800 C-Cube Microsystems, Inc. ...................... 185,625
14,500 * Cirrus Logic, Inc. ............................. 251,938
6,600 Cohu, Inc. ..................................... 231,825
1,518 * Conexant Systems, Inc. ......................... 57,115
10,500 * Credence Systems Corp. ......................... 574,219
5,300 * Cree, Inc. ..................................... 643,867
6,700 * Cymer, Inc. .................................... 211,469
24,000 * Cypress Semiconductor Corp. .................... 1,009,500
16,200 Dallas Semiconductor Corp. ..................... 648,000
5,900 * Electroglas, Inc. .............................. 156,350
3,200 * Emcore Corp. ................................... 207,200
8,500 * ESS Technology, Inc. ........................... 112,093
5,400 * Exar Corp. ..................................... 371,250
9,000 * FSI International, Inc. ........................ 129,938
19,900 * Integrated Device Technology, Inc. ............. 944,006
14,900 * International Rectifier Corp. .................. 614,625
6,500 * Kopin Corp. .................................... 461,094
11,800 * MRV Communications, Inc. ....................... 314,175
2,100 * PLX Technology, Inc. ........................... 53,156
9,500 * Silicon Valley Group, Inc. ..................... 252,937
3,900 * Siliconix, Inc. ................................ 240,825
5,936 Texas Instruments, Inc. ........................ 428,875
8,400 * TranSwitch Corp. ............................... 526,050
6,600 * Triquint Semiconductor, Inc. ................... 622,875
--------------
10,524,871
--------------
TELECOMMUNICATIONS - 5.89%
4,500 ABM Industries, Inc. ........................... 104,344
9,400 * Adaptive Broadband Corp. ....................... 249,100
4,800 * Adtran, Inc. ................................... 295,800
17,400 * Advanced Fibre Communications, Inc. ............ 800,400
3,500 * Aerial Communications, Inc. .................... 173,687
2,304 * Amdocs, Ltd. ................................... 142,704
6,400 * Ancor Communications, Inc. ..................... 168,800
22,700 * Andrew Corp. ................................... 797,337
2,900 * Anicom, Inc. ................................... 14,319
11,800 * Aspect Communications, Inc. .................... 473,475
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 SMALL CAP INDEX FUND 33
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
TELECOMMUNICATIONS - Continued
8,200 * AVT Corp. ...................................... $ 74,313
3,400 * Aware, Inc. .................................... 150,450
1,900 * Carrier Access Corp. ........................... 70,330
10,900 * CellNet Data Systems, Inc. ..................... 872
8,400 * CellStar Corp. ................................. 23,625
3,100 * COM21, Inc. .................................... 61,225
4,300 * CoreComm, Ltd. ................................. 84,656
2,600 CT Communications, Inc. ........................ 83,200
4,650 * CTC Communications Group, Inc. ................. 115,087
4,200 * Diamond Tech Partners, Inc. .................... 264,600
8,250 * Dycom Industries, Inc. ......................... 399,608
14,800 * E. Spire Communication, Inc. ................... 56,425
4,600 * Electric Lightwave, Inc. ....................... 80,931
13,000 * General Communication, Inc. .................... 63,375
15,700 * Glenayre Technologies, Inc. .................... 128,543
11,300 * ICG Communications, Inc. ....................... 212,581
4,800 * IDT Corp. ...................................... 156,300
2,900 * Inet Technologies, Inc. ........................ 116,000
5,300 Inter-Tel, Inc. ................................ 75,856
10,300 * Intermedia Communications, Inc. ................ 257,500
5,000 * InterVoice-Brite, Inc. ......................... 71,250
2,300 * IPC Information Systems, Inc. .................. 310,500
11,700 * ITC (Delta symbol) Deltacom, Inc. .............. 212,793
4,400 * Leap Wireless International, Inc. .............. 193,600
1,339 Lucent Technologies, Inc. ...................... 76,825
4,550 * MasTec, Inc. ................................... 311,105
3,300 * Metricom, Inc. ................................. 73,425
3,600 * MGC Communications, Inc. ....................... 147,600
2,794 * Millicom International Cellular S.A. ........... 118,745
7,400 * MMC Networks, Inc. ............................. 241,425
4,600 * Motient Corp. .................................. 41,688
13,260 Nortel Networks Corp. .......................... 720,183
2,000 North Pittsburgh Systems, Inc. ................. 25,000
2,700 * Pacific Gateway Exchange, Inc. ................. 8,606
17,200 * Paging Network, Inc. ........................... 11,288
15,900 * Pairgain Technologies, Inc. .................... 456,130
4,100 * Plantronics, Inc. .............................. 350,037
5,600 * Powertel, Inc. ................................. 469,350
10,800 * Powerwave Technologies, Inc. ................... 585,225
8,800 * Price Communications Co. ....................... 200,750
5,400 * Primus Telecommunications Group, Inc. .......... 141,075
3,200 * Proxim, Inc. ................................... 279,400
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
TELECOMMUNICATIONS - Continued
11,400 * PTEK Holdings, Inc. ............................ $ 39,187
5,574 * Razorfish, Inc. ................................ 87,094
4,706 * Spectrasite Holdings, Inc. ..................... 79,708
8,600 * STAR Telecommunications, Inc. .................. 18,813
2,600 Superior TeleCom, Inc. ......................... 28,275
12,200 * Talk.com, Inc. ................................. 84,255
8,900 * Tekelec......................................... 293,700
1,800 * TeleTech Holdings, Inc. ........................ 58,950
7,000 * Terayon Communication Systems, Inc. ............ 388,500
2,000 * Tut Systems, Inc. .............................. 103,500
2,000 * US LEC Corp. ................................... 38,000
9,900 * USN Communications, Inc. ....................... 347
4,436 * Viatel, Inc. ................................... 110,622
5,720 * Voicestream Wireless Corp. ..................... 654,940
12,800 * Weblink Wireless, Inc. ......................... 81,600
6,000 * West Teleservices Corp. ........................ 157,875
7,300 * Westell Technologies, Inc., Class A............. 119,993
8,900 * World Access, Inc. ............................. 93,450
5,427 * Worldcom, Inc. ................................. 204,190
5,200 * Worldpages.com, Inc. ........................... 36,400
4,200 * Xceed, Inc. .................................... 52,763
--------------
13,473,605
--------------
TEXTILE - PRODUCTS - 0.39%
14,200 * Burlington Industries, Inc. .................... 47,037
4,600 * Dan River, Inc., Class A........................ 23,000
4,650 G & K Services, Inc., Class A................... 116,250
8,750 Guilford Mills, Inc. ........................... 57,422
6,400 * Lydall, Inc. ................................... 66,800
6,800 Russell Corp. .................................. 151,300
2,700 Springs Industries, Inc., Class A............... 128,250
12,300 * Unifi, Inc. .................................... 156,825
7,800 Wellman, Inc. .................................. 153,562
--------------
900,446
--------------
TOBACCO - 0.09%
11,400 DIMON, Inc. .................................... 25,650
8,100 Universal Corp. ................................ 187,818
--------------
213,468
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
TRUCKERS - 0.66%
5,500 * American Freightways Corp. ..................... $ 81,812
5,150 Arnold Industries, Inc. ........................ 58,903
7,600 * Consolidated Freightways Corp. ................. 34,200
7,932 * Heartland Express, Inc. ........................ 145,255
1,900 * Hub Group, Inc., Class A........................ 24,225
4,350 * Knight Transportation, Inc. .................... 65,522
3,200 * Landstar System, Inc. .......................... 170,400
2,300 * M.S. Carriers, Inc. ............................ 44,275
4,200 Roadway Express, Inc. .......................... 89,775
11,262 Rollins Truck Leasing Corp. .................... 106,285
8,950 * Swift Transportation Co., Inc. ................. 125,858
7,700 USFreightways Corp. ............................ 211,269
7,387 Werner Enterprises, Inc. ....................... 89,567
3,200 * Xtra Corp. ..................................... 144,200
6,500 * Yellow Corp. ................................... 106,437
--------------
1,497,983
--------------
UTILITIES - COMMUNICATION - 0.23%
4,100 * Alpine Group, Inc. ............................. 27,163
5,983 Broadwing, Inc. ................................ 142,470
3,300 CFW Communications Co. ......................... 126,895
3,766 * Commonwealth Telephone Enterprises, Inc. ....... 173,470
4,378 PXRE Group, Ltd. ............................... 65,123
--------------
535,121
--------------
UTILITIES - ELECTRIC - 1.40%
1,300 * American Superconductor Corp. .................. 34,450
5,300 Black Hills Corp. .............................. 126,869
5,500 Cleco Corp. .................................... 188,375
14,500 * El Paso Electric Co. ........................... 172,188
4,200 Empire District Electric Co. ................... 99,225
4,732 Energy East Corp. .............................. 101,147
7,900 Hawaiian Electric Industries, Inc. ............. 278,969
9,200 Idacorp, Inc. .................................. 322,575
4,025 Madison Gas & Electric Co. ..................... 75,217
5,600 Northwestern Corp. ............................. 130,200
4,830 Nstar........................................... 207,991
5,750 Otter Tail Power Co. ........................... 120,750
8,700 Public Service Co. of New Mexico................ 145,180
9,100 RGS Energy Group, Inc. ......................... 218,400
6,050 Scana Corp. .................................... 156,544
16,486 Sierra Pacific Resources........................ 238,017
8,020 UniSource Energy Corp. ......................... 123,308
3,500 United Illuminating Co. ........................ 165,813
11,400 Washington Gas Light Co. ....................... 303,525
--------------
3,208,743
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
34 SMALL CAP INDEX FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<S> <C> <C>
-------------------------------------------------------------------------------
UTILITIES -
GAS, DISTRIBUTION - 0.61%
14,100 AGL Resources, Inc. ............................ $ 234,413
6,700 Energen Corp. .................................. 148,238
10,000 * National - Oilwell, Inc. ....................... 260,000
6,100 Northwest Natural Gas Co. ...................... 132,675
1,700 NUI Corp. ...................................... 47,600
7,600 Piedmont Natural Gas Co., Inc. ................. 226,100
6,500 Southwestern Energy Co. ........................ 60,125
14,830 Vectren Corp. .................................. 278,063
--------------
1,387,214
--------------
UTILITIES - GAS, PIPELINE - 0.10%
7,800 ONEOK, Inc. .................................... 227,175
--------------
UTILITIES - MISCELLANEOUS - 0.41%
4,100 CH Energy Group, Inc. .......................... 131,968
8,451 * Encompass Services Corp. ....................... 49,650
12,675 MDU Resources Group, Inc. ...................... 289,148
6,300 * Stericycle, Inc. ............................... 127,575
10,400 Walter Industries, Inc. ........................ 112,450
1,400 * Waste Connections, Inc. ........................ 27,475
6,500 WPS Resources Corp. ............................ 203,125
--------------
941,391
--------------
WATER SERVICES - 0.28%
2,900 California Water Service Group.................. 67,606
2,000 E'Town Corp. ................................... 132,625
8,600 Philadelphia Suburban Corp. .................... 212,850
6,800 United Water Resources, Inc. ................... 237,150
--------------
650,231
--------------
TOTAL COMMON STOCK
(Cost $205,307,418)............................. 218,165,090
--------------
PREFERRED STOCK - 0.05%
APPLIANCES/FURNISHINGS - 0.00%
6,400 * O'Sullivan Industries Holdings, Inc. ........... 3,100
--------------
REAL ESTATE INVESTMENT TRUSTS - 0.04%
5,900 Prime Enterprises, Inc., Class A................ 82,968
778 Prime Retail, Inc., Class B..................... 3,793
--------------
86,761
--------------
TELECOMMUNICATIONS - 0.01%
689 * Superior Trust I................................ 19,249
--------------
TOTAL PREFERRED STOCK
(Cost $125,053)................................. 109,110
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
RIGHTS - 0.00%
DRUGS - 0.00%
9,400 * Elan Corp.,
Contingent Value Right......................... $ 4,700
--------------
TOTAL RIGHTS
(Cost $0)...................................... 4,700
--------------
<CAPTION>
PAR
VALUE
-----------
<C> <S> <C>
CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT - 4.18%
BANKS - OTHER - 4.18%
$ 9,546,000 State Street Bank Repurchase Agreement, 6.30%,
dated 05/31/00, to be repurchased at $9,547,671
on 06/01/00, collateralized by U.S. Treasury
Bond, 5.25%, 02/15/29,
with a par value of $11,025,000
(Cost $9,546,000).............................. 9,546,000
--------------
TOTAL CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT
(Cost $9,546,000).............................. 9,546,000
--------------
UNITED STATES GOVERNMENT -
SHORT-TERM - 0.34%
U. S. TREASURY BILLS - 0.34%
United States Treasury Bills:
25,000 5.58% due 07/06/00............................. 24,864
200,000 5.53% due 06/22/00............................. 199,351
200,000 5.49% due 06/22/00............................. 199,356
350,000 5.41% due 06/22/00............................. 348,891
--------------
772,462
--------------
TOTAL UNITED STATES GOVERNMENT - SHORT-TERM
(Cost $772,462)................................ 772,462
--------------
TOTAL INVESTMENTS
(Cost $215,750,933) - 100.00%.................. $ 228,597,362
--------------
*Non-income producing
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
<S> <C>
-------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 05/31/00)
25(2) Russell 2000 Index Futures
(June/$475.50)............................................ $(1,223,950)
12(3) S&P 500 index Futures
(June/$1,422.20).......................................... (201,400)
-----------
$(1,425,350)
-----------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately $772,000 were
maintained in a segregated account with a portion placed as collateral for
futures contracts.
(2) Per 500.
(3) Per 250.
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 INTERNATIONAL EQUITIES FUND 35
Average Annual Total Return--Fund
1 Year 5 Year 10 Year
----------------------------------------------------------------------
18.01% 10.16% 7.38%
Growth of $10,000 Investment
Fiscal Year Ended May 31
Balanced Fund EAFE
------------- ----
5/91 9,629 9,464
5/92 9,177 9,145
5/93 10,478 10,644
5/94 11,977 12,089
5/95 12,566 12,685
5/96 13,966 14,039
5/97 15,047 15,097
5/98 16,539 16,774
5/99 17,272 17,506
5/00 20,382 20,508
Past performance is not predictive of future performance.
The Fund returns reflect investment management fees and other Fund expenses. The
Fund returns do not reflect charges included in the annuity contract or variable
life policy for mortality and expense guarantees, administrative fees or
surrender charges.
Portfolio at a Glance
Total assets: $172,062,979
NAV on 05/31/00: $12.55
One year total return: 18.01%
Net expense ratio: 0.41%
Inception date: 10/02/89
MANAGEMENT OVERVIEW
A discussion with portfolio manager
William Trimbur, Jr., CFA, CPA
Describe the benchmark the Fund expects to echo.
The Fund uses the Morgan Stanley Capital International EAFE (Europe Australia,
Far East) Index as its benchmark. EAFE is concentrated in the developed
markets and includes 967 listed companies in 20 countries.
How did the Fund perform relative to its benchmark?
The fund moderately outperformed EAFE via having a total return, after fees
and expenses, of 18.01% vs. the benchmark 17.14%.
How did the international equity market perform over the past fiscal year?
The international large and mid cap sectors had one of their most competitive
years in the past five as returns were positive in almost every nation
included in EAFE.
What were the dominant sectors in the EAFE Index that enhanced the Fund's
performance?
Three industries -- telecommunication, media, and technology -- had
extraordinarily high returns as innovation, growth, and "new economy"
excitement led to very widespread investor interest.
Top 10 Holdings
<TABLE>
<C> <S> <C>
1. Nokia Ab Oy.............. 2.84%
2. Toyota Motor Corp. ...... 2.20%
3. BP Amoco, Plc. - ADR..... 1.90%
4. Deutsche Telekom......... 1.89%
5. Nippon Tel + Tel Cp...... 1.84%
6. Vodafone Airtouch........ 1.83%
7. France Telecom........... 1.81%
8. Glaxo Welcome, Plc. - ADR 1.39%
9. Roche Holdings AG........ 1.37%
10. Novartis Ag.............. 1.32%
</TABLE>
Portfolio holdings are subject to change.
Which industry sectors were disappointing for the Fund?
Industries that were previously thought of as stable earners such as Electric
Utilities and Supermarkets, and old economy growth stories such as
Pharmaceuticals were shunned by investors. Compared to the high flying
Telecommunication, Media, and Technology names, many disparaged these
companies as yesterday's news and lacking high growth.
What do you see ahead in the market for the next fiscal period?
The markets are likely to remain volatile until investors reach a comfort
level with high economic growth rotating from the U.S. to Euroland, the
prospects of a weaker Dollar, and the likelihood that Asian growth may slow if
Japan cannot stage a meaningful recovery.
/s/ William Trimbur, Jr.
William Trimbur, Jr., CFA, CPA
Portfolio Manager
-------------------------------------------------------------------------------
<PAGE>
36 INTERNATIONAL EQUITIES FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 98.26%
ADVERTISING - 0.15%
20,000 Wpp Group, Plc. ................................ $ 243,388
--------------
AIRLINES - 0.33%
30,000 Alitalia Linee.................................. 58,496
40,000 Japan Air Lines Co., Ltd. ...................... 120,700
60,000 Malay Airline System Berhad..................... 56,210
35,000 Singapore Airlines.............................. 304,901
--------------
540,307
--------------
APPAREL & PRODUCTS - 0.44%
12,000 Bulgari Spa..................................... 150,019
20,000 Onward Kashiyama Co., Ltd. ..................... 267,397
250 Swatch Group.................................... 305,835
--------------
723,251
--------------
APPLIANCES/FURNISHINGS - 1.15%
39,175 Dixons Group New................................ 185,593
5,000 Matsushita Electric Industrial Co., Ltd. ....... 118,147
4,200 Matsushita Electric Industrial Co., Ltd. - ADR.. 982,800
33,000 Sanyo Electric Co., Ltd. ....................... 243,888
3,400 Sanyo Electric Co., Ltd. - ADR.................. 123,675
12,000 * Sharp Corp. .................................... 216,146
--------------
1,870,249
--------------
AUTO - CARS - 2.45%
2,656 Bayerische Motoren Werke Ag..................... 80,780
5,000 Daimlerchrysler Ag.............................. 271,955
500 Peugeot Citroen SA.............................. 102,624
78,000 Toyota Motor Corp. ............................. 3,541,340
--------------
3,996,699
--------------
AUTO - ORIGINAL EQUIPMENT - 0.52%
25,000 Calsonic Corp. ................................. 53,387
25,000 Continental Ag.................................. 461,810
12,000 Gkn............................................. 165,611
7,000 * Pininfarina S.p.A. ............................. 112,523
956 * Valeo........................................... 48,430
--------------
841,761
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
AUTO - REPLACEMENT PARTS - 0.49%
1,000 Bridgestone Corp. .............................. $ 22,840
5,550 Denso Corp. - ADR............................... 504,100
8,191 Michelin (CGDE), Class B........................ 271,284
--------------
798,224
--------------
BANKS - OTHER - 10.61%
15,297 Allied Irish Banks.............................. 141,287
60,000 AMMB Holdings BHD............................... 247,895
50,000 Asahi Bank, Ltd. ............................... 222,367
3,190 Asahi Bank, Ltd. - ADR.......................... 141,909
106,000 Bank of Tokyo - Mitsubishi...................... 1,328,629
68,000 Bank of Yokohama, Ltd. ......................... 290,424
2,296 Bank of Yokohama, Ltd. - ADA.................... 98,088
43,709 Barclays, Plc................................... 1,137,754
42,370 Bca Intesa S.p.A. .............................. 167,209
57,001 Bco Bilbao Vizcaya.............................. 797,687
59,885 Bco Com Portugues............................... 294,433
4,000 Bco Espir Santo................................. 93,856
84,496 Bco Sant Cent Hisp.............................. 828,509
6,068 Bqe Natl Paris.................................. 547,716
1,500 Cobepa Cie Belge................................ 83,546
108,000 Commerce Asset Holding.......................... 309,789
50,000 Credito Italiano................................ 221,109
15,119 Dbs Group Holdings.............................. 150,898
4,928 Dbs Group Holdings, Ltd. - ADR.................. 196,765
1,300 Den Danske Bank AF 1871 - ADR................... 150,177
2,500 * Deutsche Bank Ag................................ 192,771
1,739 Dresdner Bank Ag................................ 71,387
17,000 Dresdner Bank AG - ADR.......................... 688,967
15,000 ForeningsSparbanken AB (Swedbank), Class B...... 223,732
30,000 Fuji Bank, Ltd. ................................ 232,023
25,900 Hang Seng Bank.................................. 217,710
7,080 Hsbc Holdings, Plc. - ADR....................... 393,384
15,000 Industrial Bank of Japan, Ltd. ................. 116,987
48,000 Joyo Bank....................................... 186,733
148,342 Lloyds TSB Group, Plc........................... 1,607,610
35,404 National Australia Bank, Ltd. .................. 527,609
9,319 National Australia Bank, Ltd. - ADR............. 693,101
10,995 Royal Bank Scot Group........................... 181,036
98,000 Sakura Bank, Ltd. .............................. 725,186
21,160 San Paolo Imi S.p.A. - ADR...................... 630,832
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
BANKS - Continued
25,000 Sao Paolo Imi S.p.A. ........................... $ 366,184
30,000 Shizuoka Bank................................... 283,552
54,000 Sumitomo Bank................................... 707,935
26,000 Tokai Bank...................................... 126,736
2,225 Tokai Bank - ADR................................ 216,972
7,306 * Ubs Ag.......................................... 985,748
13,300 Westpac Banking Corp. Ltd. - ADR................ 454,694
--------------
17,280,936
--------------
BANKS - REGIONAL - 0.76%
3,000 Almanij Algem Maa............................... 122,310
3,000 Bayer Hypo Vereins.............................. 195,611
30,000 * Bipop Carire.................................... 272,328
258 * Dexia Ex Dexia Bel.............................. 17,493
15,000 * Halifax Group................................... 147,627
73,812 * Nordic Baltic Holding........................... 478,432
--------------
1,233,801
--------------
BEVERAGE -
BREWERS/DISTRIBUTORS - 0.83%
15,000 Asahi Breweries................................. 186,203
34,642 Bass............................................ 379,052
63,354 * Diageo.......................................... 542,435
4,000 Heineken NV..................................... 205,436
3,000 Yakult Honsha Co. .............................. 32,589
--------------
1,345,715
--------------
BEVERAGE - SOFT DRINKS - 0.32%
45,491 Cadbury Schweppes............................... 303,014
7,858 Cadbury Schweppes, Plc. - ADR................... 211,184
--------------
514,198
--------------
BROADCASTING - 0.74%
3,056 * Canal Plus...................................... 581,623
40,000 Mediaset........................................ 619,479
--------------
1,201,102
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 INTERNATIONAL EQUITIES FUND 37
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
BUILDING MATERIALS - 1.83%
20,000 Asahi Glass Co., Ltd. .......................... $ 185,507
1,223 Cie De St Gobain ............................... 170,579
31,746 CRH, Plc. ...................................... 550,884
2,505 Fletcher Challenge Building Division - ADR...... 24,424
2,700 Glaverbel SA.................................... 196,101
525 Holderbank Finance Glarus....................... 615,506
40,000 Inax Corp. ..................................... 228,402
5,551 Lafarge SA...................................... 429,841
24,381 Rexam........................................... 85,762
15,000 Tostem Corp. ................................... 247,203
150,000 * Ytl Corp. ...................................... 238,816
--------------
2,973,025
--------------
CHEMICAL - MAJOR - 0.90%
17,150 BASF AG......................................... 701,604
10,000 Bayer AG........................................ 386,241
10,000 Bayer AG - ADR.................................. 383,481
--------------
1,471,326
--------------
CHEMICAL - MISCELLANEOUS - 1.02%
10,200 Akzo Nobel NV - ADR............................. 395,250
23,420 BOC Group, Plc.................................. 329,528
6,000 Imperial Chemical Industries, Plc. - ADR........ 187,500
200 * Lonza Group Ag.................................. 101,303
13,100 Shin Etsu Chemical Co. ......................... 642,199
--------------
1,655,780
--------------
CONGLOMERATES - 2.51%
533 * Bouygues........................................ 330,120
6,890 Broken Hill Proprietary Co., Ltd. - ADR......... 139,523
20 D/S 1912........................................ 218,698
33,000 Hutchinson Whampoa.............................. 380,089
35,000 * Ifil Ist Fin Ital............................... 266,124
3,300 Itochu Corp. - ADR.............................. 133,318
26,875 Keppel Corp., Ltd. - ADR........................ 102,345
9,800 Kvaerner Asa.................................... 113,066
8,157 Lagardere Groupe................................ 570,756
22,000 Mitsubishi Corp. ............................... 182,610
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
CONGLOMERATES - Continued
64,000 Mitsui & Co. ................................... $ 449,821
11,185 Vivendi......................................... 1,200,030
--------------
4,086,500
--------------
CONSUMER FINANCE - 0.20%
37,000 Nippon Shinpan Co. ............................. 75,920
3,000 Promise Co. .................................... 252,078
--------------
327,998
--------------
COSMETICS/TOILETRIES - 1.33%
1,100 Loreal Co. ..................................... 757,882
2,900 Loreal Co. - ADR................................ 397,234
2,000 Lvmh Moet Hennessy.............................. 815,771
14,490 Shiseido, Ltd. - ADR............................ 199,435
--------------
2,170,322
--------------
DRUGS - 6.83%
10,000 Astrazeneca..................................... 421,812
10,900 Astrazeneca, Plc. - ADR......................... 458,481
39,900 Glaxo Wellcome, Plc. - ADR...................... 2,246,869
1,446 Novartis Ag..................................... 2,133,021
5,000 Ono Pharmaceutical.............................. 181,050
4,029 Rhodia.......................................... 66,908
1,644 * Rhone Poulenc Sa................................ 106,904
210 Roche Holdings AG............................... 2,214,455
109,523 Smithkline Beecham.............................. 1,400,042
25,000 Takeda Chemical Industries, Ltd. ............... 1,706,049
4,000 Yamanouchi Pharmaceuticals Co., Ltd. ........... 182,350
--------------
11,117,941
--------------
ELECTRICAL EQUIPMENT - 3.05%
2,000 Advantest....................................... 421,522
1,000 * Barco........................................... 111,487
5,000 Fanuc........................................... 435,913
7,000 Murata Manufacturing Co. ....................... 1,208,858
12,000 Nikon Corp. .................................... 330,904
23,900 * Koninklijke (Royal) Philips Electronics N.V. ... 1,067,158
15,000 * Stmicroelectronics.............................. 894,232
3,400 Sumitomo Electric Industries, Ltd. - ADR........ 495,751
--------------
4,965,825
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
ELECTRONIC INSTRUMENTS - 1.21%
50,000 Hitachi, Ltd. .................................. $ 619,284
2,000 Kyocera Corp. .................................. 331,277
50,000 Racal Electronics, Plc.......................... 333,049
7,110 Schneider SA.................................... 473,616
25,000 Yokogawa Electric............................... 208,904
--------------
1,966,130
--------------
ENTERTAINMENT - 1.30%
23,400 Sony Corp. ..................................... 2,118,286
--------------
FINANCE COMPANIES - 2.74%
30,000 Abbey National.................................. 399,434
46,030 ABN Amro Holdings NV............................ 1,052,120
38,879 Allied Zurich................................... 436,470
9,907 Allied Zurich, Plc. - ADR....................... 222,565
22,804 ING Groep NV.................................... 1,363,940
15,936 * Soc Generale.................................... 919,554
126 Zurich Allied Ag................................ 61,955
--------------
4,456,038
--------------
FOODS - 2.38%
25,000 Ajinomoto, Inc. ................................ 302,446
10,000 Daiei, Inc. .................................... 30,453
11,500 Daiei, Inc. - ADR............................... 63,250
1,000 Groupe Danone................................... 234,264
1,133 Laurus NV....................................... 11,522
50 Nestle SA....................................... 95,379
20,000 Nestle SA - ADR................................. 1,899,716
30,750 Tate & Lyle, Plc................................ 115,300
104,199 Tesco........................................... 315,060
10,196 Unilever........................................ 67,343
14,642 Unilever NV..................................... 743,997
--------------
3,878,730
--------------
FREIGHT - 0.71%
40,000 Nippon Yusen Kabushiki Kaish.................... 172,322
8,570 Nippon Yusen Kabushiki Kaish - ADR.............. 369,304
42,322 P & O Steam Navigation.......................... 444,081
7,000 * Yamato Transport................................ 163,456
--------------
1,149,163
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
38 INTERNATIONAL EQUITIES FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
HARDWARE & TOOLS - 0.11%
10,000 SKF AB, Class B................................. $ 183,103
--------------
HOME BUILDERS - 0.40%
214 Sekisui Homes, Ltd. - ADR....................... 20,829
30,000 Sekisui House, Ltd. ............................ 291,908
9,000 Skanska Ab, Class B............................. 334,595
--------------
647,332
--------------
HOUSEHOLD PRODUCTS - 0.56%
5,000 * Karstadt Ag..................................... 168,397
7,000 Katokichi Co. .................................. 175,479
8,460 Kingfisher...................................... 78,260
1,500 * Pin Printemps Redo.............................. 322,847
50,000 Woolworths, Ltd. ............................... 165,590
--------------
910,573
--------------
HUMAN RESOURCES - 0.58%
250 Adecco SA....................................... 197,275
14,000 Konami Co. ..................................... 740,913
--------------
938,188
--------------
INFORMATION PROCESSING - 1.00%
1,200 Cap Gemini...................................... 224,915
35,000 Fujitsu, Ltd. .................................. 991,133
1,000 SAP AG.......................................... 415,163
--------------
1,631,211
--------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 0.11%
1,098 Bae Systems, Plc. - ADR......................... 27,450
7,000 * Capita Group ................................... 156,645
--------------
184,095
--------------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 0.43%
3,000 Tokyo Electron.................................. 409,452
30,000 Toshiba Corp. .................................. 289,680
--------------
699,132
--------------
INFORMATION PROCESSING -
DATA SERVICES - 0.19%
2,800 Oce NV.......................................... 39,707
5,000 Toyo Information................................ 269,718
--------------
309,425
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INFORMATION PROCESSING -
NETWORKING - 1.10%
10,400 Marcon, Plc. - ADR.............................. $ 128,700
44,301 Marconi......................................... 533,811
3,200 * Softbank Corp New............................... 479,829
4,200 Softbank Corp. ................................. 643,424
--------------
1,785,764
--------------
INSURANCE - CASUALTY - 0.36%
25,000 Mitsui Marine & Fire............................ 132,538
50,000 Nippon Fire & Marine Insurance.................. 138,805
25,000 Sumitomo Marine & Fire.......................... 156,678
15,000 Tokio Marine & Fire Insurance Co. .............. 163,641
--------------
591,662
--------------
INSURANCE - LIFE - 1.30%
15,000 Mediolanum...................................... 229,506
8,740 Prudential, Plc. - ADR.......................... 656,614
48,110 Skandia Forsakring.............................. 1,231,667
--------------
2,117,787
--------------
INSURANCE -
MISCELLANEOUS - 0.10%
6,585 CGNU............................................ 161,651
--------------
INSURANCE - MULTILINE - 3.66%
10,144 Aegon NV........................................ 365,304
3,088 Allianz AG...................................... 1,105,132
27,313 Assic Generali.................................. 823,058
11,571 AXA............................................. 1,705,636
4,120 Munchener Ruckvers.............................. 1,195,830
400 Swiss Reinsurance AG............................ 769,431
--------------
5,964,391
--------------
LEISURE TIME - 1.40%
10,000 Canon, Inc. - ADR............................... 463,750
15,000 Fuji Photo...................................... 523,653
103 Granada Group................................... 914
105,322 Ladbroke Group, Plc. ........................... 389,398
2,300 Nintendo Co. ................................... 341,674
4,234 Preussag Ag..................................... 149,512
25,000 Tab Corporation Holdings, Ltd. ................. 132,757
100,000 * Tanjong......................................... 281,579
--------------
2,283,237
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
LODGING - 0.13%
297,916 Hong Kong & Shanghai Hotels..................... $ 137,636
80,000 Hotel Properties................................ 73,384
--------------
211,020
--------------
MACHINE TOOLS - 0.46%
35,000 Amada Co., Ltd. ................................ 302,214
16,000 Makita Corp. - ADR.............................. 145,000
25,000 Minebea Co., Ltd. .............................. 295,483
--------------
742,697
--------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.33%
2,000 Groupe Gtm...................................... 167,931
52,000 Kajima Corp. ................................... 129,390
2,340 Kajima Corp., ADR............................... 58,242
80,000 Kumagai Gumi Co. ............................... 11,601
70,000 Shimizu Corp. .................................. 165,731
--------------
532,895
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 2.48%
11,428 Atlas Copco AB, Class A......................... 254,408
3,084 Atlas Copco AB, Class B......................... 66,252
125 Bobst SA........................................ 178,466
103,285 British Aerospace............................... 648,556
8,000 Ebara Corp. .................................... 82,447
2,530 Ebara Corp. - ADR............................... 260,812
100,000 Halma, Plc. .................................... 136,213
50,000 Kawasaki Heavy Industries....................... 65,457
70,000 Kubota Corp. ................................... 246,971
1,350 Kubota Corp. - ADR.............................. 98,550
7,500 Man Ag.......................................... 258,894
565 Rolls Royce..................................... 2,080
123,745 Siebe, Plc. .................................... 426,024
8,989 Siemens Ag...................................... 1,318,408
--------------
4,043,538
--------------
MEDICAL TECHNOLOGY - 0.16%
3,000 Fresenius Medical............................... 251,477
20,000 * Instrumentation Laboratory S.p.A. - ADR......... 15,000
--------------
266,477
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 INTERNATIONAL EQUITIES FUND 39
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MERCHANDISE - SPECIALTY - 0.89%
10,000 Esselte AB, Class B............................. $ 60,663
20,000 Great Universal Stores, Plc. ................... 124,388
40,000 Hennes & Mauritz AB (H&M), Class B.............. 1,010,686
1,500 * Herlitz AG...................................... 16,163
7,300 Metro Ag........................................ 238,369
--------------
1,450,269
--------------
MERCHANDISING - DEPARTMENT - 0.37%
15,481 Marks & Spencer, Plc. .......................... 57,700
5,033 Marks & Spencer, Plc. - ADR..................... 112,053
16,000 Marui Co., Ltd. ................................ 293,394
36,000 Mitsukoshi, Ltd. ............................... 134,033
200 Mitsukoshi, Ltd. - ADR.......................... 7,448
--------------
604,628
--------------
MERCHANDISING - FOOD - 0.37%
16,893 Ahold Kon NV.................................... 477,537
15,000 * Melco International Development, Ltd. .......... 2,445
10,000 Uny Co., Ltd. .................................. 123,300
--------------
603,282
--------------
MERCHANDISING - MASS - 1.16%
19,454 Carrefour....................................... 1,376,648
4,356 Familymart Co. ................................. 173,504
2,000 Ito-Yokado Co., Ltd. ........................... 118,657
8,666 Jeronimo Martins Sgps........................... 136,716
20,000 * Seiyu, Ltd. .................................... 81,519
--------------
1,887,044
--------------
METALS - ALUMINUM - 0.02%
15,000 * Pasminco, Ltd. ................................. 7,794
680 * Pechiney........................................ 27,977
--------------
35,771
--------------
METALS - MISCELLANEOUS - 1.16%
200 Alusuisse Lonza Holdings........................ 126,540
7,816 * Boliden, Ltd. .................................. 10,440
10,000 Nitto Denko Corp. .............................. 422,450
3,062 Rio Tinto, Ltd. - ADR........................... 174,923
6,432 Rio Tinto, Plc. ................................ 95,026
6,700 Rio Tinto, Plc. - ADR........................... 411,631
3,600 Shimamura Co. .................................. 376,027
67,410 Western Mining.................................. 276,636
--------------
1,893,673
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
METALS - STEEL - 0.58%
5,000 * Bekaert Sa...................................... $ 258,894
36,700 * Corus Group..................................... 53,836
2,000 Corus Group, Plc. - ADR......................... 30,000
100,000 Kawasaki Steel.................................. 151,339
50,000 Sumitomo Metal Mining........................... 211,225
10,000 Thyssen Krupp Ag................................ 170,730
2,000 Vallourec Usin.................................. 72,770
--------------
948,794
--------------
MISCELLANEOUS - 0.94%
5,000 * Abb Ag.......................................... 620,557
10,000 Cardo Ab........................................ 174,755
15,000 Daito Trust Const. ............................. 285,502
18,360 Tnt Post Groep NV............................... 442,955
--------------
1,523,769
--------------
OIL - INTEGRATED INTERNATIONAL - 5.88%
52,046 Bp Amoco........................................ 474,052
56,178 Bp Amoco, Plc. - ADR............................ 3,054,679
240,000 Eni S.p.A. ..................................... 1,294,188
30,000 Repsol SA - ADR................................. 631,875
25,392 Royal Dutch Pete Co. ........................... 1,585,413
12,610 Shell Transport & Trading....................... 104,427
10,067 Total........................................... 1,586,310
10,757 Total Fina Sa - ADR............................. 849,131
--------------
9,580,075
--------------
OIL - SERVICES - 0.15%
50,000 Saipem.......................................... 250,031
--------------
PAPER/FOREST PRODUCTS - 0.60%
5,000 Mayr Melnhof Karto.............................. 237,902
666 Metso Oyj....................................... 8,699
22,000 Oji Paper Co., Ltd. ............................ 141,757
300 Oji Paper Co., Ltd. - ADR....................... 19,336
60,000 Nippon Paper Industries......................... 394,968
7,000 UPM - Kymmene Corp. ............................ 177,634
--------------
980,296
--------------
POLLUTION CONTROL - 0.10%
1,000 Lyonnaise Des Eaux SA........................... 167,931
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
PUBLISHING - NEWS - 0.93%
52,881 Independent Newspapers, Plc. ................... $ 414,417
50,000 * New Straits Times............................... 150,000
15,000 News Corp Ltd. - ADR............................ 683,437
21,379 United News & Media, Plc. ...................... 269,930
--------------
1,517,784
--------------
PUBLISHING/PRINTING - 0.18%
2,000 Arn Mondadori Edit.............................. 45,994
8,709 Elsevier NV..................................... 81,738
3,500 Publishing & Broadcasting, Ltd. ................ 25,781
20,000 Trelleborg AB, Class B.......................... 133,571
--------------
287,084
--------------
RAILROAD - 0.34%
50 * East Japan Railway.............................. 285,038
60,000 Tokyu Corp. .................................... 264,054
--------------
549,092
--------------
REAL ESTATE - 1.11%
6,000 Asticus Ab...................................... 78,139
67,320 Beni Stabili S.p.A. ............................ 33,727
9,000 Drott AB, Class B............................... 94,668
35,000 Great Portland Est. ............................ 116,567
42,102 Hammerson, Plc. ................................ 259,014
1,523 Lend Lease Corp. ............................... 17,306
43,000 Mitsubishi Estate Co., Ltd. .................... 505,835
27,575 New World Development Co. ...................... 27,249
44,498 Sun Hung Kai Properties, Ltd. .................. 270,680
52,500 Swire Pacific, Ltd., Class A.................... 302,512
56,582 Wharf (Holdings), Ltd. ......................... 101,658
--------------
1,807,355
--------------
SECURITIES RELATED - 0.91%
25,000 Daiwa Securities Co., Ltd. ..................... 304,071
2,137 Garban.......................................... 6,046
15,000 Nikko Securities Co., Ltd. ..................... 138,991
7,000 Nomura Securities Co., Ltd. .................... 160,531
3,800 Nomura Securities Co., Ltd. - ADR............... 871,697
6,000 * Yamaichi Securities Co., Ltd. - ADR............. --
--------------
1,481,336
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
40 INTERNATIONAL EQUITIES FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
SEMICONDUCTOR EQUIPMENT - 0.22%
2,000 * Hoya Corp. .................................... $ 185,506
1,000 Kao Corp. ..................................... 30,361
1,000 Tdk Corp. ..................................... 123,114
--------------
338,981
--------------
SEMICONDUCTORS - 0.82%
4,500 * Asm Lithography Holding N.V. .................. 165,664
2,000 Rohm Co. ...................................... 623,926
8,000 Secom Co. ..................................... 542,222
--------------
1,331,812
--------------
TELECOMMUNICATIONS - 18.34%
15,000 * Alcatel........................................ 829,859
43,434 British Telecommunications, Plc. .............. 629,987
11,379 British Telecommunications, Plc. - ADR......... 1,658,489
151 Cable & Wireless, Plc. ........................ 2,520
49,081 Deutsche Telekom............................... 3,045,042
20,000 * Europolitan Holdings........................... 320,570
25,000 Fortum Oyj..................................... 93,295
20,000 France Telecom................................. 2,920,133
8,984 Kon Kpn NV..................................... 811,341
5,000 Netcom Asa..................................... 198,264
250 Nippon Tel+Tel Cp. ............................ 2,971,078
87,920 * Nokia Ab Oy.................................... 4,576,992
7,500 Sonera Yhtyma Oyj.............................. 379,944
1,000 Swisscom Ag. .................................. 351,303
3,000 Tele Danmark A/S............................... 211,825
6,000 Telecom Corp. of New Zealand, Ltd. ............ 21,089
2,600 Telecom Corp. of New Zealand, Ltd. - ADR....... 72,475
117,819 Telecom Italia Mobile.......................... 1,227,798
10,000 Telefonaktiebolaget LM Ericsson AB, Class B.... 203,139
84,600 Telefonaktiebolaget LM Ericsson AB, Class B -
ADR............................................ 1,734,300
50,529 * Telefonica Ca.................................. 1,037,102
15,149 * Telefonica de Espana - ADR..................... 922,214
115,000 Telekom Malaysia Berhad........................ 420,658
100,000 Telstra Corp. ................................. 388,280
646,584 Vodafone Airtouch.............................. 2,951,908
41,000 Vodafone Group, Plc. - ADR..................... 1,878,312
--------------
29,857,917
--------------
TEXTILE - PRODUCTS - 0.10%
20,000 Courtaulds Textiles, Plc. ..................... 41,912
15,000 Wacoal Corp. .................................. 125,760
--------------
167,672
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
TOBACCO - 0.41%
15,000 Altadis, SA.................................... $ 219,990
38,879 British America Tobacco........................ 227,546
9,908 British America Tobacco, Plc. - ADR............ 120,134
32,000 * Swedish Match AB............................... 99,377
--------------
667,047
--------------
UTILITIES - COMMUNICATION - 0.15%
15,000 * Telecel Comuni Pes............................. 243,500
--------------
UTILITIES - ELECTRIC - 1.88%
10,000 Endesa SA - ADR................................ 210,625
30,000 Iberdrola SA................................... 383,442
16,600 Kansai Electric Power Co., Inc. ............... 286,056
62,265 National Power................................. 342,515
2,000 Oesterreichisch Elektrizitatswirt Schafts
AG, Class A.................................... 207,115
10,000 RWE AG - ADR................................... 365,397
48,488 Scot Power..................................... 384,670
25,200 Tokyo Electric Power........................... 629,386
5,000 VEBA AG........................................ 252,829
--------------
3,062,035
--------------
UTILITIES -
GAS, DISTRIBUTION - 0.14%
39,215 Bg Group....................................... 235,383
--------------
UTILITIES - GAS, PIPELINE - 0.25%
90,000 * Enel........................................... 401,355
--------------
WATER SERVICES - 0.60%
576 * Hyder.......................................... 2,414
3,000 * Suez Lyonnaise des Eaux SA..................... 250,091
25,041 Thames Water................................... 300,611
45,183 United Utilities, Plc. ........................ 426,759
--------------
979,875
--------------
TOTAL COMMON STOCK
(Cost $119,297,119)............................ 159,984,664
--------------
PREFERRED STOCK - 0.64%
AUTO - CARS - 0.32%
200 Porsche AG..................................... 523,572
--------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 0.32%
1,000 Sap A.......................................... 515,921
--------------
TOTAL PREFERRED STOCK
(Cost $1,094,767).............................. 1,039,493
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
WARRANTS - 0.02%
BANKS - OTHER - 0.02%
11,250 Commerce Asset Holdings,
Expiring 03/16/02............................... $ 12,079
50,000 DCB Holdings BHD,
Expiring 12/27/04............................... 28,158
--------------
40,237
--------------
INSURANCE - MULTILINE - 0.00%
60 Munchener Ruckvers,
Expiring 06/03/02............................... 4,506
--------------
WATER SERVICES - 0.00%
251 Eaux (Cie Generale),
Expiring 05/02/01............................... 1,227
--------------
TOTAL WARRANTS
(Cost $18,674)................................... 45,970
--------------
<CAPTION>
PAR
VALUE
-----------
<C> <S> <C>
CORPORATE BONDS - 0.02%
LEISURE TIME - 0.00%
$ 8,000 Preussag Ag,
2.13% due 06/17/04............................... 6,794
--------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.01%
12,749 British Aerospace,
7.45% due 11/29/03.............................. 18,511
--------------
UTILITIES - GAS, PIPELINE - 0.01%
Bg Transco Holdings:
5,000 7.06% due 12/14/09.............................. 7,566
5,000 7.00% due 12/16/24.............................. 7,336
5,000 4.19% due 12/14/22.............................. 7,242
--------------
22,144
--------------
TOTAL CORPORATE BONDS
(Cost $36,963)................................... 47,449
--------------
TOTAL INVESTMENTS
(Cost $120,447,523) - 98.94%..................... $ 161,117,576
--------------
</TABLE>
* Non-income producing
FORWARD CURRENCY CONTRACTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Settlement Face Market Unrealized
Long/Short Date(s) Value Value Depreciation
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
581,900 EUR/544,542 USD 06/02/00 $544,542 $542,883 $(1,659)
60,000 GBP/ 89,910 USD 06/02/00 89,910 89,811 (99)
35,700,000 JPY/332,000 USD 06/01/00 332,000 331,461 (539)
----------------------------
$966,452 $964,155 $(2,297)
----------------------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 GROWTH FUND 41
Average Annual Total Return--Fund
1 Year 5 Year Since Inception*
-------------------------------------------------------------------
0.96% 18.75% 17.80%
* April 29, 1994
Growth of $10,000 Investment
Fiscal Year Ended May 31
Balanced Fund S&P 500
------------- -------
5/94 9,881 10,173
5/95 11,486 12,227
5/96 16,938 15,702
5/97 18,462 20,324
5/98 23,523 26,558
5/99 26,863 32,146
5/00 27,121 35,514
Past performance is not predictive of future performance.
The Fund returns reflect investment management fees and other Fund expenses. The
Fund returns to not reflect charges included in the annuity contract or variable
life policy for mortality and expense guarantees, administrative fees or
surrender charges.
Portfolio at a Glance
Total assets: $1,139,537,748
NAV on 05/31/00: $23.31
One year total return: 0.96%
Net expense ratio: 0.85%
Inception date: 04/29/94
MANAGEMENT OVERVIEW
A discussion with portfolio manager
Maya K. Bittar, CFA
How did the Fund perform?
Wellington Management assumed portfolio management responsibilities for the
AGSPC Growth Fund on September 1, 1999. September was a month of transition for
the Fund as we repositioned it according to our investment strategy. Over this
time period (9/1/99-5/31/00), the portfolio outperformed the S&P 500 Index by
120 basis points returning 9.8% compared to 8.6% for the S&P 500 Index. If one
looks more closely and reviews performance after the Fund was repositioned,
from October 1, 1999 through May 31, 2000 the Fund outperformed the S&P 500 by
440 basis points returning 16.0% vs. 11.6% for the S&P 500 Index.
What were the dominant portfolio themes?
Themes are a prominent part of our long-term investment strategy. We identify
trends in demographics, technological change, and political and social
developments in the U.S. and abroad and develop investment themes around these
secular trends. Since September, the dominant themes used in the Fund have been
the aging U.S. population and technology. In the United States, aging baby
boomers are playing a key role in driving the U.S. economy, particularly in
healthcare and financial services. We believe U.S. pharmaceutical and financial
services companies will benefit from this trend for years to come. Another
important driver of pharmaceutical company growth is the use of biotechnology
and genomics to advance discovery and new treatments for the many costly
illnesses such as cancer, heart disease, and diabetes. Networking the Nation,
our technology theme, also stood out in the portfolio during the last nine
months. We believe that technology will continue to change the way that we
live, work, and play for the foreseeable future. Increased Internet usage and
the demand for broadband services are driving technological development to
facilitate access and delivery of these services. Therefore, technology will
remain an important investment theme for the foreseeable future.
Which portfolio holdings most enhanced the Fund's performance?
Technology stocks were the key contributors to the portfolio's out-performance.
Oracle Corp., Cisco Systems, Corning Inc., Broadcom Corp. and Micron Technology
were the strongest performers. These companies are benefiting from the
increasing usage of the Internet and the demand for broadband networks.
Top 10 Holdings
<TABLE>
<C> <S> <C>
1. General Electric Co. .... 3.51%
2. Cisco Systems, Inc. ..... 3.32%
3. Exxon Mobil Corp. ....... 3.26%
4. Intel Corp. ............. 3.05%
5. Microsoft Corp. ......... 2.71%
6. Worldcom, Inc. .......... 2.32%
7. Marsh & McLennan
Companies, Inc. ......... 2.28%
8. American Home Products
Corp. ................... 2.18%
9. Citigroup, Inc. ......... 2.10%
10. Pfizer, Inc. ............ 2.05%
</TABLE>
Portfolio holdings are subject to change.
Were there any disappointments in the portfolio?
Microsoft, Worldcom, Global Crossing, and America Online were our most
disappointing holdings. Microsoft has been weak, as a result of the Justice
Department's desire to breakup the company. However, fundamentals remain strong
with the introduction of Windows 2000, and we believe that Microsoft will
continue to be a company with which to reckon, whether it exists as one company
or two. In the telecom area, competition has increased and been a source of
concern for investors. Both Worldcom and Global Crossing are building global
communication networks, which we believe other telecom companies will attempt
to emulate. Finally, both Worldcom and America Online have been disappointing
due to the uncertainty surrounding their respective deals, Worldcom's desire to
merge with Sprint and America Online with Time Warner. We continue to like the
strategies and prospects for both companies and continue to own them in the
Fund.
What is your outlook for the next fiscal period?
It appears that the Federal Reserve has nearly completed their increase of
short-term interest rates. We have recently seen evidence that the U.S. economy
is beginning to slow and that the Fed may have successfully engineered a "soft-
landing' with no severe consequences for most sectors of the market.
/s/ Maya K. Bittar
Maya K. Bittar, CFA
Portfolio Manager
--------------------------------------------------------------------------------
<PAGE>
42 GROWTH FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 96.66%
AEROSPACE/DEFENSE - 1.93%
130,200 * General Motors Corp., Class H................... $ 12,816,563
150,700 United Technologies Corp. ...................... 9,107,931
--------------
21,924,494
--------------
AIRLINES - 0.41%
165,200 AMR Corp. ...................................... 4,708,200
--------------
BANKS - NEW YORK CITY - 2.11%
384,800 Citigroup, Inc. ................................ 23,929,750
--------------
BANKS - REGIONAL - 1.39%
141,800 State Street Corp. ............................. 15,810,700
--------------
BEVERAGE - SOFT DRINKS - 2.21%
99,300 Coca-Cola Co. .................................. 5,300,138
486,200 PepsiCo, Inc. .................................. 19,782,262
--------------
25,082,400
--------------
BROADCASTING - 1.64%
299,894 * Viacom, Inc., Class B........................... 18,593,427
--------------
CHEMICAL - MAJOR - 0.97%
103,300 Dow Chemical Co. ............................... 11,059,556
--------------
CHEMICAL -
MISCELLANEOUS - 0.85%
229,100 Praxair, Inc. .................................. 9,622,200
--------------
CONGLOMERATES - 1.46%
352,900 Tyco International, Ltd. ....................... 16,608,356
--------------
COSMETICS/TOILETRIES - 0.94%
321,300 Gillette Co. ................................... 10,723,388
--------------
DRUGS - 11.03%
460,600 American Home Products Corp. ................... 24,814,825
209,600 Bristol Myers Squibb Co. ....................... 11,541,100
217,700 * Immunex Corp. .................................. 5,632,987
205,300 Johnson & Johnson............................... 18,374,350
204,200 Merck & Co., Inc. .............................. 15,238,425
523,200 Pfizer, Inc. ................................... 23,315,100
344,100 Pharmacia Corp. ................................ 17,871,693
68,000 Warner-Lambert Co. ............................. 8,304,500
--------------
125,092,980
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT - 4.77%
758,800 General Electric Co. .......................... $ 39,931,850
165,300 * Teradyne, Inc. ................................ 14,215,800
--------------
54,147,650
--------------
FINANCE COMPANIES - 1.44%
597,700 Associates First Capital Corp. ................ 16,399,394
--------------
HEALTHCARE - 1.55%
271,900 Cardinal Health, Inc. ......................... 17,639,513
--------------
HOSPITAL SUPPLIES - 1.07%
297,900 Abbott Laboratories............................ 12,120,805
--------------
HOUSEHOLD PRODUCTS - 1.09%
186,400 Procter & Gamble Co. .......................... 12,395,600
--------------
INFORMATION PROCESSING - BUSINESS SOFTWARE -
2.72%
492,700 * Microsoft Corp. ............................... 30,824,544
--------------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 6.13%
89,900 * EMC Corp. ..................................... 10,456,493
135,200 Hewlett Packard Co. ........................... 16,240,900
184,300 International Business Machines................ 19,777,694
243,900 * Dell Computer Corp. ........................... 10,518,188
378,200 * Solectron Corp. ............................... 12,504,237
--------------
69,497,512
--------------
INFORMATION PROCESSING - COMPUTER SERVICES -
2.41%
279,600 Automatic Data Processing, Inc. ............... 15,360,525
187,200 Electronic Data Systems Corp. ................. 12,039,300
--------------
27,399,825
--------------
INFORMATION PROCESSING -
DATA SERVICES - 1.10%
129,700 * Computer Sciences Corp. ....................... 12,443,094
--------------
INFORMATION PROCESSING - NETWORKING - 3.33%
664,100 * Cisco Systems, Inc. ........................... 37,853,700
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INSURANCE - MULTILINE - 3.94%
166,100 American International Group, Inc. ............ $ 18,696,631
236,100 Marsh & McLennan Companies, Inc. .............. 25,985,755
--------------
44,682,386
--------------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.48%
141,200 Caterpillar, Inc. ............................. 5,400,900
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 0.75%
146,700 Illinois Tool Works, Inc. ..................... 8,517,769
--------------
MEDICAL TECHNOLOGY - 1.00%
223,100 * Guidant Corp. ................................. 11,294,438
--------------
MERCHANDISE - DRUG - 0.63%
165,000 CVS Corp. ..................................... 7,177,500
--------------
MERCHANDISE - SPECIALTY - 1.37%
317,900 Home Depot, Inc. .............................. 15,517,494
--------------
MERCHANDISING - FOOD - 1.70%
418,500 * Safeway, Inc. ................................. 19,303,313
--------------
MERCHANDISING MASS - 2.05%
402,900 Wal-Mart Stores, Inc. ......................... 23,217,113
--------------
METALS ALUMINUM - 1.20%
232,300 Alcoa, Inc. ................................... 13,575,031
--------------
MULTIMEDIA - 2.88%
253,500 America Online, Inc. .......................... 13,435,500
435,600 * AT&T Corp. - Liberty Media Group, Class A...... 19,302,525
--------------
32,738,025
--------------
NATURAL GAS - DIVERSIFIED - 0.66%
145,300 El Paso Energy Corp. .......................... 7,482,950
--------------
OIL - INTEGRATED DOMESTIC - 1.19%
475,500 Conoco, Inc., Class B.......................... 13,551,750
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 GROWTH FUND 43
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
OIL - INTEGRATED INTERNATIONAL - 4.92%
445,400 Exxon Mobil Corp. ............................. $ 37,107,387
326,600 Texaco, Inc. .................................. 18,759,088
--------------
55,866,475
--------------
OIL - SERVICES - 1.50%
231,900 Schlumberger, Ltd. ............................ 17,059,144
--------------
PAPER/FOREST PRODUCTS - 1.82%
201,700 Kimberly-Clark Corp. .......................... 12,202,850
171,300 Weyerhaeuser Co. .............................. 8,500,763
--------------
20,703,613
--------------
PUBLISHING - NEWS - 1.65%
289,900 Gannett Co., Inc. ............................. 18,771,025
--------------
RESTAURANTS - 1.68%
532,900 McDonald's Corp. .............................. 19,084,481
--------------
SECURITIES RELATED - 1.43%
81,400 Goldman Sachs Group, Inc. ..................... 5,987,988
103,300 Merrill Lynch & Co., Inc. ..................... 10,187,963
--------------
16,175,951
--------------
SEMICONDUCTORS - 5.26%
278,600 Intel Corp. ................................... 34,720,525
184,700 * Micron Technology, Inc. ....................... 12,917,456
166,600 Texas Instruments, Inc. ....................... 12,036,850
--------------
59,674,831
--------------
TELECOMMUNICATIONS - 4.56%
325,800 Lucent Technologies, Inc. ..................... 18,692,775
69,800 Motorola, Inc. ................................ 6,543,750
703,550 * Worldcom, Inc. ................................ 26,471,069
--------------
51,707,594
--------------
UTILITIES - COMMUNICATION - 5.44%
286,600 AT&T Corp. .................................... 9,941,438
284,100 Bell Atlantic Corp. ........................... 15,021,788
341,800 * Global Crossing, Ltd. ......................... 8,566,363
431,900 SBC Communications, Inc. ...................... 18,868,631
169,000 * Sprint Corp. - PCS Group....................... 9,379,500
--------------
61,777,720
--------------
TOTAL COMMON STOCK
(Cost $1,021,458,543).......................... 1,097,156,591
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
CORPORATE SHORT-TERM
REPURCHASE AGREEMENT - 3.65%
FINANCIAL SERVICES - 3.65%
$41,459,000 Lehman Repurchase Agreement,
6.38%, dated 05/31/00, to be repurchased at
$41,466,347 on 06/01/00, collateralized by U.S.
Treasury Note, zero coupon, 6/30/00, with a par
value of $42,450,000 (Cost $41,459,000).......... $ 41,459,000
--------------
TOTAL CORPORATE SHORT-TERM REPURCHASE AGREEMENT
(Cost $41,459,000)............................... 41,459,000
--------------
TOTAL INVESTMENTS
(Cost $1,062,917,543) - 100.31%.................. $1,138,615,591
--------------
</TABLE>
* Non-income producing
--------------------------------------------------------------------------------
<PAGE>
44 GROWTH & INCOME FUND May 31, 2000
Average Annual Total Return--Fund
1 Year 5 Year Since Inception*
------------------------------------------------------------------------
9.67% 19.40% 17.86%
* April 29, 1994
Growth of $10,000 Investment
Fiscal Year Ended May 31
Balanced Fund S&P 500
------------- -------
5/94 9,889 10,173
5/95 11,209 12,227
5/96 15,115 15,702
5/97 17,697 20,324
5/98 21,214 26,558
5/99 24,804 32,146
5/00 27,202 35,514
Past performance is not predictive of future performance.
The Fund returns reflect investment management fees and other Fund expenses. The
Fund returns do not reflect charges included in the annuity contract or variable
life policy for mortality and expense guarantees, administrative fees or
surrender charges.
Portfolio at a Glance
Total assets: $330,379,065
NAV on 05/31/00: $21.04
One year total return: 9.67%
Net expense ratio: 0.80%
Inception date: 04/29/94
MANAGEMENT OVERVIEW
A discussion with portfolio manager
Magali Azema-Barac, PhD
How did the Fund perform?
The Growth & Income Fund posted a 9.67% return for the year ending May 31, 2000
lagging the S&P's 500 Index return of 10.48%.
How did the large cap market perform over the last fiscal year?
Large capitalization stocks continued to display volatility throughout the
year, as shown by the dispersion of returns across both stocks and sectors. The
first five months of 2000 saw the Technology stocks underperforming their peers
by about 10% while the Energy sector posted large positive returns. Overall,
the large cap market as measured by the S&P 500 Index advanced 10.48% for the
year ending May 31, 2000.
What were the dominant portfolio themes?
The Growth & Income portfolio aims to provide both capital growth & income.
Following this, the investing theme is to identify companies that will generate
attractive growth as well as stable companies that will provide consistent
income and return.
Top 10 Holdings
<TABLE>
<C> <S> <C>
1. General Electric Co. .... 4.55%
2. Intel Corp. ............. 4.12%
3. Cisco Systems, Inc. ..... 3.04%
4. Wal-Mart Stores, Inc. ... 2.52%
5. Microsoft Corp. ......... 2.09%
6. Oracle Corp. ............ 1.85%
7. American International
Group, Inc. ............. 1.83%
8. International Business
Machines................. 1.76%
9. Lucent Technologies,
Inc. .................... 1.75%
10. Lehman Brothers Holdings,
Inc. .................... 1.74%
</TABLE>
Portfolio holdings are subject to change.
Which portfolio holdings most enhanced the Fund's performance?
The Fund's holdings in both Technology and Consumer sectors helped the
performance. Even though the Technology sector had a large negative return over
the beginning of 2000, the Fund's holdings in the Technology sector performed
remarkably well. Advanced Micro Devices, for example, was a strong performer.
The Fund's holdings in the Consumer sector also did extremely well.
Were there any disappointments in the portfolio?
The relatively large position of the Fund in Basic Materials stocks was a
detriment to performance, especially at the beginning of 2000. We are reducing
our weighting in this sector by focusing our attention on the sector's top
quality names.
What is your outlook for the next fiscal period?
Return volatility seems to have become a characteristic of today's markets. We
expect this to continue and are positioning the Fund accordingly by focusing on
large, well established companies that provide both income and the prospect for
capital appreciation.
/s/ Magali Azema-Barac
Magali Azema-Barac, PhD
Portfolio Manager
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 GROWTH & INCOME FUND 45
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 98.22%
AEROSPACE/DEFENSE - 1.20%
51,500 Lockheed Martin Corp. .......................... $ 1,261,750
35,000 Northrop Grumman Corp. ......................... 2,681,875
--------------
3,943,625
--------------
AIRLINES - 0.69%
30,000 AMR Corp. ...................................... 855,000
27,500 Delta Air Lines, Inc. .......................... 1,414,530
--------------
2,269,530
--------------
AUTO - CARS - 2.90%
80,500 Ford Motor Co. ................................. 3,909,281
80,000 General Motors Corp. ........................... 5,650,000
--------------
9,559,281
--------------
AUTO - ORIGINAL EQUIPMENT - 0.23%
35,000 Mark IV Industries, Inc. ....................... 743,750
--------------
AUTO - REPLACEMENT PARTS - 0.23%
30,000 Goodyear Tire & Rubber Co. ..................... 746,250
--------------
BANKS - NEW YORK CITY - 1.32%
70,000 Citigroup, Inc. ................................ 4,353,125
--------------
BANKS - OTHER - 1.78%
54,000 Bank of America Corp. .......................... 3,000,375
63,000 Wells Fargo Co. ................................ 2,850,750
--------------
5,851,125
--------------
BANKS - REGIONAL - 1.16%
51,000 Chase Manhattan Corp. .......................... 3,809,063
--------------
BEVERAGE - SOFT DRINKS - 1.43%
77,500 Coca-Cola Co. .................................. 4,136,563
14,000 PepsiCo, Inc. .................................. 569,625
--------------
4,706,188
--------------
BROADCASTING - 0.34%
30,000 * Comcast Corp., Class A.......................... 1,136,250
--------------
CHEMICAL - MAJOR - 0.45%
30,000 PPG Industries, Inc. ........................... 1,486,875
--------------
CHEMICAL - MISCELLANEOUS - 0.42%
30,500 * Cytec Industries, Inc. ......................... 827,312
6,500 Lubrizol Corp. ................................. 150,313
25,000 Olin Corp. ..................................... 390,625
--------------
1,368,250
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
CONGLOMERATES - 0.27%
38,500 Alexander & Baldwin, Inc. ...................... $ 890,313
--------------
COSMETICS/TOILETRIES - 0.19%
19,000 Gillette Co. ................................... 634,125
--------------
DRUGS - 7.44%
24,000 American Home Products Corp. ................... 1,293,000
30,000 * Amgen, Inc. .................................... 1,908,750
55,000 Bristol-Myers Squibb Co. ....................... 3,028,438
32,000 Eli Lilly and Co. .............................. 2,436,000
65,000 Merck & Co., Inc. .............................. 4,850,625
110,000 Pfizer, Inc. ................................... 4,901,875
47,500 Schering-Plough Corp. .......................... 2,297,813
31,400 Warner-Lambert Co. ............................. 3,834,725
--------------
24,551,226
--------------
ELECTRONIC EQUIPMENT - 4.82%
285,000 General Electric Co. ........................... 14,998,125
26,000 National Service Industries, Inc. .............. 565,500
25,800 * UCAR International, Inc. ....................... 316,050
--------------
15,879,675
--------------
ELECTRONIC INSTRUMENTS - 0.17%
20,000 * Imation Corp. .................................. 566,250
--------------
ENTERTAINMENT - 0.37%
27,000 Gaylord Entertainment Co. ...................... 610,875
14,500 Walt Disney Co. ................................ 611,718
--------------
1,222,593
--------------
FINANCIAL SERVICES - 2.05%
30,000 Allamerica Financial Corp. ..................... 1,730,625
58,500 American Express Co. ........................... 3,148,031
35,000 Leucadia National Corp. ........................ 912,188
53,000 United Asset Management Corp. .................. 980,500
--------------
6,771,344
--------------
FOODS - 1.02%
150,000 Archer-Daniels-Midland Co. ..................... 1,790,625
27,000 IBP, Inc. ...................................... 445,500
60,000 Ralston Purina Co. ............................. 1,113,750
--------------
3,349,875
--------------
GOVERNMENT SPONSORED - 0.15%
8,000 Federal National Mortgage Association........... 481,000
--------------
HARDWARE & TOOLS - 0.25%
31,000 Stanley Works................................... 833,125
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
HEALTHCARE - 0.24%
55,000 * Apria Healthcare Group, Inc. .................. $ 790,625
--------------
HEAVY DUTY TRUCKS/PARTS - 0.69%
31,500 Eaton Corp. ................................... 2,285,719
--------------
HOSPITAL SUPPLIES - 2.27%
37,500 Abbott Laboratories............................ 1,525,781
21,000 C. R. Bard, Inc. .............................. 958,125
56,000 Johnson & Johnson.............................. 5,012,000
--------------
7,495,906
--------------
HOUSEHOLD PRODUCTS - 0.52%
7,000 Colgate-Palmolive Co. ......................... 368,375
10,000 Procter & Gamble Co. .......................... 665,000
30,500 Tupperware Corp. .............................. 672,905
--------------
1,706,280
--------------
INFORMATION PROCESSING - 0.27%
10,000 * JDS Uniphase Corp. ............................ 880,000
--------------
INFORMATION PROCESSING - BUSINESS SOFTWARE - 4.34%
110,000 * Microsoft Corp. ............................... 6,881,875
85,000 * Oracle Corp. .................................. 6,109,375
11,250 * Veritas Software Corp. ........................ 1,310,625
--------------
14,301,875
--------------
INFORMATION PROCESSING - COMPUTER HARDWARE
SYSTEMS - 2.51%
6,800 * Apple Computer, Inc. .......................... 571,200
26,500 Compaq Computer Corp. ......................... 695,625
36,500 * Dell Computer Corp. ........................... 1,574,063
8,500 * Gateway, Inc. ................................. 420,750
40,000 * Silicon Graphics, Inc. ........................ 265,000
62,000 * Sun Microsystems, Inc. ........................ 4,750,750
--------------
8,277,388
--------------
INFORMATION PROCESSING - COMPUTER SERVICES - 1.30%
42,000 * America Online, Inc. .......................... 2,226,000
8,000 Automatic Data Processing, Inc. ............... 439,500
25,000 Electronic Data Systems Corp. ................. 1,607,812
--------------
4,273,312
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
46 GROWTH & INCOME FUND May 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
INFORMATION PROCESSING - DATA SERVICES - 5.71%
4,300 Adobe Systems, Inc. ............................ $ 484,019
17,000 Computer Associates International, Inc. ........ 875,500
20,000 * EMC Corp. ...................................... 2,326,250
34,500 Hewlett Packard Co. ............................ 4,144,313
54,000 International Business Machines................. 5,794,875
50,000 * Seagate Technology Inc. ........................ 2,900,000
6,000 * Siebel Systems, Inc. ........................... 702,000
14,000 * Yahoo!, Inc. ................................... 1,582,875
--------------
18,809,832
--------------
INFORMATION PROCESSING - NETWORKING - 3.04%
176,000 * Cisco Systems, Inc. ............................ 10,032,000
--------------
INSURANCE - CASUALTY - 0.42%
50,000 American Financial Group, Inc. ................. 1,396,875
--------------
INSURANCE - MULTILINE - 2.87%
130,000 Allstate Corp. ................................. 3,445,000
53,500 American International Group, Inc. ............. 6,022,093
--------------
9,467,093
--------------
LEISURE TIME - 0.15%
17,343 Sabre Holdings Corp. ........................... 498,611
--------------
MACHINERY - INDUSTRIAL/SPECIALTY - 0.38%
24,000 Cooper Industries, Inc. ........................ 804,000
10,000 Tecumseh Products Co., Class A.................. 451,875
--------------
1,255,875
--------------
MERCHANDISE - SPECIALTY - 1.42%
7,000 * Best Buy Co., Inc. ............................. 448,000
14,000 Gap, Inc. ...................................... 490,875
70,000 Home Depot, Inc. ............................... 3,416,875
44,000 Spiegel, Inc., Class A.......................... 330,000
--------------
4,685,750
--------------
MERCHANDISING - FOOD - 0.46%
27,000 Great Atlantic & Pacific Tea Co., Inc. ......... 496,125
49,500 Supervalu, Inc. ................................ 1,030,218
--------------
1,526,343
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
MERCHANDISING - MASS - 3.70%
60,000 * KMart Corp. ................................... $ 510,000
55,000 Sears, Roebuck and Co. ........................ 2,031,563
124,500 * Venator Group, Inc. ........................... 1,346,156
144,000 Wal-Mart Stores, Inc. ......................... 8,298,000
--------------
12,185,719
--------------
METALS - ALUMINUM - 1.33%
90,000 Alcan Aluminium, Ltd. ......................... 2,953,125
24,380 Alcoa, Inc. ................................... 1,424,706
--------------
4,377,831
--------------
METALS - MISCELLANEOUS - 0.22%
80,300 * Freeport-McMoRan Copper & Gold, Inc., Class B.. 737,756
--------------
METALS - STEEL - 1.10%
41,000 Nucor Corp. ................................... 1,593,875
90,000 USX-US Steel Group, Inc. ...................... 2,030,625
--------------
3,624,500
--------------
MISCELLANEOUS - 0.22%
14,000 UAL Corp. ..................................... 721,000
--------------
OIL - INTEGRATED DOMESTIC - 5.40%
20,000 Amerada Hess Corp. ............................ 1,327,500
47,500 EOG Resources, Inc. ........................... 1,543,750
160,000 Occidental Petroleum Corp. .................... 3,790,000
87,500 Phillips Petroleum Co. ........................ 5,009,375
69,500 Unocal Corp. .................................. 2,671,406
42,600 Vastar Resources, Inc. ........................ 3,469,238
--------------
17,811,269
--------------
OIL - SERVICE - PRODUCTS - 0.40%
104,000 * Santa Fe Snyder Corp. ......................... 1,313,000
--------------
OIL/GAS PRODUCERS - 1.06%
147,100 Union Pacific Resources Group, Inc. ........... 3,484,431
--------------
PAPER/FOREST PRODUCTS - 1.74%
10,000 Champion International Corp. .................. 730,000
67,000 Georgia-Pacific Corp. ......................... 2,194,250
30,000 Longview Fibre Co. ............................ 360,000
60,000 Mead Corp. .................................... 1,848,750
15,500 Potlatch Corp. ................................ 587,062
--------------
5,720,062
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
PHOTOGRAPHY - 1.15%
63,500 Eastman Kodak Co. .............................. $ 3,794,125
--------------
PUBLISHING/PRINTING - 0.79%
65,500 Dun & Bradstreet Corp. ......................... 2,014,125
23,500 R. R. Donnelley & Sons Co. ..................... 580,156
--------------
2,594,281
--------------
RAILROAD - 0.68%
56,400 CSX Corp. ...................................... 1,226,700
30,000 GATX Corp. ..................................... 1,010,625
--------------
2,237,325
--------------
RESTAURANTS - 0.62%
85,500 Darden Restaurants, Inc. ....................... 1,469,530
20,000 * Tricon Global Restaurants, Inc. ................ 586,250
--------------
2,055,780
--------------
SAVINGS & LOAN - 0.40%
72,500 Dime Bancorp, Inc. ............................. 1,323,125
--------------
SECURITIES RELATED - 3.01%
10,000 J. P. Morgan & Co., Inc. ....................... 1,287,500
74,500 Lehman Brothers Holdings, Inc. ................. 5,750,469
40,000 Morgan Stanley Dean Witter & Co. ............... 2,877,500
--------------
9,915,469
--------------
SEMICONDUCTOR EQUIPMENT - 0.56%
22,000 * Applied Materials, Inc. ........................ 1,837,000
--------------
SEMICONDUCTORS - 7.05%
30,000 * Advanced Micro Devices, Inc. ................... 2,443,125
109,000 Intel Corp. .................................... 13,584,125
16,000 * Micron Technology, Inc. ........................ 1,119,000
22,500 Motorola, Inc. ................................. 2,109,375
55,000 Texas Instruments, Inc. ........................ 3,973,750
--------------
23,229,375
--------------
TELECOMMUNICATIONS - 5.36%
10,000 Alltel Corp. ................................... 654,375
97,500 AT&T Corp. ..................................... 3,382,031
11,500 * AT&T Corp. - Liberty Media Group, Class A....... 509,594
26,500 * Global Crossing, Ltd. .......................... 664,156
1,733 * Intermedia Communications, Inc. ................ 43,325
100,500 Lucent Technologies, Inc. ...................... 5,766,188
14,500 * Nextel Communications, Inc., Class A............ 1,343,063
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 GROWTH & INCOME FUND 47
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
TELECOMMUNICATIONS - Continued
50,000 Nortel Networks Corp. ......................... $ 2,715,625
21,000 * QUALCOMM, Inc. ................................ 1,393,875
26,000 Vodafone Airtouch, Plc. - ADR.................. 1,191,125
--------------
17,663,357
--------------
TEXTILE - PRODUCTS - 0.13%
15,000 V. F. Corp. ................................... 430,313
--------------
TOBACCO - 0.34%
43,000 Philip Morris Companies, Inc. ................. 1,123,375
--------------
UTILITIES - COMMUNICATION - 4.24%
49,500 Bell Atlantic Corp. ........................... 2,617,313
50,500 BellSouth Corp. ............................... 2,357,719
19,500 GTE Corp. ..................................... 1,233,375
92,190 SBC Communications, Inc. ...................... 4,027,551
21,500 Sprint Corp. - FON Group ...................... 1,300,750
44,000 * Sprint Corp. (PCS Group)....................... 2,442,000
--------------
13,978,708
--------------
UTILITIES - ELECTRIC - 3.25%
103,000 Edison International, Inc. .................... 2,201,625
93,500 Energy East Corp. ............................. 1,998,563
90,000 FPL Group, Inc. ............................... 4,455,000
59,000 GPU, Inc. ..................................... 1,666,750
27,000 * Niagara Mohawk Holdings, Inc. ................. 396,563
--------------
10,718,501
--------------
TOTAL COMMON STOCK
(Cost $276,821,611)............................ 323,712,624
--------------
<CAPTION>
PAR
VALUE
------------
CORPORATE SHORT-TERM COMMERCIAL PAPER - 1.73%
MACHINERY -
INDUSTRIAL/SPECIALTY - 1.73%
$5,710,000 Cooper Industries, Inc.,
6.85% due 06/01/00............................. 5,710,000
--------------
TOTAL CORPORATE SHORT-TERM
COMMERCIAL PAPER
(Cost $5,710,000).............................. 5,710,000
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
UNITED STATES GOVERNMENT - SHORT-TERM - 0.12%
U. S. TREASURY BILLS - 0.12%
United States Treasury Bills:
$350,000 5.66% due 07/06/00............................... $ 348,068
50,000 5.44% due 06/29/00............................... 49,788
--------------
397,856
--------------
TOTAL UNITED STATES GOVERNMENT -
SHORT-TERM
(Cost $397,856).................................. 397,856
--------------
TOTAL INVESTMENTS
(Cost $282,929,467) - 100.07%.................... $ 329,820,480
--------------
</TABLE>
* Non-income producing
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
<C> <S> <C>
--------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 05/31/00)
16(2) S&P 500 Index Futures
(June/$1,422.20)............................... $ (173,875)
-------------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately $398,000 were
maintained in a segregated account with a portion placed as collateral for
futures contracts.
(2) Per 250.
-------------------------------------------------------------------------------
<PAGE>
48 SCIENCE & TECHNOLOGY FUND May 31, 2000
Average Annual Total Return--Fund
1 Year 5 Year Since Inception*
-----------------------------------------------------------------------
52.65% 32.24% 33.88%
* April 29, 1994
Growth of $10,000 Investment
Fiscal Year Ended May 31
Balanced Fund S&P 500
------------- -------
5/94 9,834 10,173
5/95 14,615 12,227
5/96 23,132 15,702
5/97 23,551 20,324
5/98 26,106 26,558
5/99 38,725 32,146
5/00 59,112 35,514
Past performance is not predictive of future performance.
The Fund returns reflect investment management fees and other Fund expenses. The
Fund returns do not reflect charges included in the annuity contract or variable
life policy for mortality and expense guarantees, administrative fees or
surrender charges.
Portfolio at a Glance
Total assets: $3,342,944,085
NAV on 05/31/00: $41.14
One year total return: 52.65%
Net expense ratio: 0.96%
Inception date: 04/29/94
MANAGEMENT OVERVIEW
A discussion with portfolio manager
Charles A. Morris, CFA
How did the Fund perform relative to its market and its benchmark?
The Science & Technology Fund (STF) lagged Lipper STF Index appreciably during
the past 12 months, although the Fund handily beat the S&P 500 Index, returning
52.65% vs. the Index's 10.48%. Relatively conservative posture and very limited
exposure to newly public, internet-centric companies were the primary factors.
This same posture did help returns during the NASDAQ collapse in the fiscal
quarter ending May 31, 2000.
How did the technology market perform over the past fiscal year?
Technology stocks significantly outperformed the broad market during much of
the fiscal year. In fact, through February 2000 virtually all stock market
gains came from technology-related companies.
What were some of the dominant themes in the portfolio?
Internet Infrastructure -- both hardware and software
Communications-- including Data, Optical, Wireless,
Semiconductor, and e-Commerce
Top 10 Holdings
<TABLE>
<C> <S> <C>
1. Oracle Corp. ............ 5.10%
2. Analog Devices, Inc. .... 4.85%
3. Cisco Systems, Inc. ..... 4.52%
4. Nokia Corp., Class A -
ADR...................... 4.09%
5. Maxim Integrated
Products, Inc. .......... 4.00%
6. Xilinx, Inc. ............ 3.90%
7. BMC Software, Inc. ...... 3.46%
8. Texas Instruments,
Inc. .................... 3.42%
9. Altera Corp. ............ 3.40%
10. Sun Microsystems, Inc. .. 3.06%
</TABLE>
Portfolio holdings are subject to change.
Which portfolio holdings most enhanced the Fund's performance?
Communications-oriented semiconductor companies -- Analog Devices, Xilinx,
Altera, Maxim Integrated Products, and Texas Instruments -- were all the Top 10
performers. Strong growth in communications equipment, combined with favorable
industry pricing, lead to strong revenue and profit gains. The market rewarded
these companies with record valuation levels.
Benefiting from continued build out of the core internet and wireless networks
around the world, Nokia and Cisco were also Top 10 performers. Oracle also
finished among the Top 10 as modest revenue growth was leveraged by severe
expense control and improved industry acceptance.
Were there any disappoints in the Fund's portfolio?
While the Fund always has its share of losers, the greatest mistakes were of
omission. For much of the period, we ignored the mania occurring around us.
Accordingly, we did not own, or in many cases were far too quick to sell, what
we believed to be extremely overpriced stocks. Many of the stocks continued to
get more and more expensive until the early spring correction. Finally, given
our relatively conservative posture, we were a bit disappointed that the Fund
did not fare better during the fiscal quarter ending May 31, 2000.
What do you see ahead in the markets for the next fiscal period?
Fundamentals are very strong, but valuations remain quite high. Sentiment
hinges on global growth and the Federal Reserve. We continue to believe that
the recovery in technology stocks which began in the Fall 1998 will extend
through 2001. Obviously, absolute performance is unlikely to match the 50% plus
returns for the fiscal year ended May 31, 2000, but we do believe stock prices
will be higher in 18 months than they are today. The key is to let earnings
grow into the sector's current valuation.
/s/ Charles A. Morris
Charles A. Morris, CFA
Portfolio Manager
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 SCIENCE & TECHNOLOGY FUND 49
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 98.44%
ADVERTISING - 1.29%
1,015,000 * Doubleclick, Inc. .............................. $ 42,883,750
--------------
AEROSPACE/DEFENSE - 0.90%
660,000 * SCI Systems, Inc. .............................. 29,700,000
--------------
ELECTRONIC INSTRUMENTS - 1.08%
655,000 Flextronics International, Ltd. ................ 35,656,563
--------------
INFORMATION PROCESSING - 0.98%
370,000 * JDS Uniphase Corp. ............................. 32,560,000
--------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 11.80%
2,625,000 * BMC Software, Inc. ............................. 115,500,000
210,000 * ISS Group, Inc. ................................ 15,540,000
474,860 * NetIQ Corp. .................................... 16,085,881
2,365,000 * Oracle Corp. ................................... 169,984,375
590,000 * Veritas Software Corp. ......................... 68,735,000
200,000 * Webtrend Corp. ................................. 5,125,000
--------------
390,970,256
--------------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 6.45%
1,315,000 * Dell Computer Corp. ............................ 56,709,375
660,000 * Electronics for Imaging, Inc. .................. 24,296,250
130,000 * E-Tek Dynamics, Inc. ........................... 23,895,625
260,000 * MIPS Technologies, Inc., Class A................ 6,532,500
10,000 Oni Systems Corp. .............................. 250,000
1,331,100 * Sun Microsystems, Inc. ......................... 101,995,538
--------------
213,679,288
--------------
INFORMATION PROCESSING -
COMPUTER SERVICES - 4.45%
1,392,500 * Ariba, Inc. .................................... 72,584,062
695,000 * Commerce One, Inc. ............................. 24,867,969
785,000 * USinternetworking, Inc. ........................ 14,080,938
265,000 * VeriSign, Inc. ................................. 35,874,375
--------------
147,407,344
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 3.39%
2,100,000 * Intuit, Inc. ................................... $ 76,125,000
530,000 * Liberate Technologies, Inc. .................... 12,355,625
655,000 * Realnetworks, Inc. ............................. 23,784,688
--------------
112,265,313
--------------
INFORMATION PROCESSING -
DATA SERVICES - 8.42%
130,000 * Brocade Communications Systems, Inc. ........... 15,331,875
1,050,000 * Electronic Arts, Inc. .......................... 67,068,750
395,000 * EMC Corp. ...................................... 45,943,438
195,000 * Network Solutions, Inc. ........................ 28,689,375
1,835,000 * PsiNet, Inc. ................................... 47,824,687
1,580,000 * Solectron Corp. ................................ 52,238,750
535,000 * Xircom, Inc. ................................... 22,068,750
--------------
279,165,625
--------------
INFORMATION PROCESSING -
NETWORKING - 7.38%
2,645,000 * Cisco Systems, Inc. ............................ 150,765,000
490,000 * Exodus Communications, Inc. .................... 34,575,625
386,500 Softbank Corp. ................................. 59,226,840
--------------
244,567,465
--------------
MISCELLANEOUS - 0.43%
525,000 * Internet Capital Group, Inc. ................... 14,142,188
--------------
MULTIMEDIA - 0.94%
660,000 * Synopsys, Inc. ................................. 31,226,250
--------------
SEMICONDUCTOR EQUIPMENT - 5.72%
1,050,000 * Applied Materials, Inc. ........................ 87,675,000
920,000 * ASM Lithography Holding N.V. ................... 32,717,500
680,000 * Cognex Corp. ................................... 36,762,500
655,000 * KLA-Tencor Corp. ............................... 32,463,437
--------------
189,618,437
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SEMICONDUCTORS - 21.39%
1,320,000 * Altera Corp. ................................... $ 113,355,000
2,100,000 * Analog Devices, Inc. ........................... 161,700,000
385,000 * Applied Micro Circuits Corp. ................... 38,211,250
2,100,000 * Maxim Integrated Products, Inc. ................ 133,218,750
80,000 * SDL, Inc. ...................................... 18,125,000
1,580,000 Texas Instruments, Inc. ........................ 114,155,000
1,710,000 * Xilinx, Inc. ................................... 130,173,750
--------------
708,938,750
--------------
TELECOMMUNICATIONS - 22.68%
790,000 * CIENA Corp. .................................... 94,553,125
1,315,000 Colt TelecomGroup, Plc. ........................ 46,140,829
530,000 * Covad Communications Group, Inc. ............... 12,521,250
2,660,000 Ericsson LMTEL Co., Class B - ADR............... 54,530,000
790,000 * NEXTLINK Communications, Inc. .................. 55,349,375
2,620,000 Nokia Corp., Class A - ADR...................... 136,240,000
1,835,000 Nortel Networks Corp. .......................... 99,663,438
790,000 * QUALCOMM, Inc. ................................. 52,436,250
653,500 * Rhythms Netconnections, Inc. ................... 10,782,750
540,000 * Sanmina Corp. .................................. 34,357,500
2,105,000 Vodafone Airtouch, Plc. - ADR................... 96,435,312
1,570,000 * Worldcom, Inc. ................................. 59,071,250
--------------
752,081,079
--------------
UTILITIES - COMMUNICATION - 1.14%
8,255,044 Vodafone Group, Plc. ........................... 37,664,231
--------------
TOTAL COMMON STOCK
(Cost $2,734,083,853)........................... 3,262,526,539
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
50 SCIENCE & TECHNOLOGY FUND May 31, 2000
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
CORPORATE SHORT-TERM
COMMERCIAL PAPER - 2.16%
HEALTHCARE - 0.27%
$ 9,000,000 Cardinal Health, Inc.,
6.50% due 06/02/00............................ $ 8,998,373
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 1.18%
39,000,000 Cooper Industries, Inc.,
6.81% due 06/01/00............................ 39,000,000
--------------
OIL/GAS PRODUCERS - 0.36%
11,830,000 Duke Capital Corp.,
6.81% due 06/01/00............................ 11,830,000
--------------
UTILITIES - ELECTRIC - 0.35%
11,651,000 Conectiv, Inc.,
6.97% due 06/01/00............................ 11,651,000
--------------
TOTAL CORPORATE SHORT-TERM
COMMERCIAL PAPER
(Cost $71,479,373)............................ 71,479,373
--------------
TOTAL INVESTMENTS
(Cost $2,805,563,226) - 100.60%............... $3,334,005,912
--------------
</TABLE>
* Non-income producing
FORWARD CURRENCY CONTRACTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Settlement Face Market Unrealized
Long/Short Date(s) Value Value Depreciation
--------------------------------------------------------------------------
<S> <C> <C> <C> <C>
2,424,409 GBP/3,580,853 USD 06/01/00 $3,580,853 $3,570,186 $(10,667)
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 SOCIAL AWARENESS FUND 51
Average Annual Total Return--Fund
1 Year 5 Year 10 Year
---------------------------------------------------------------------
7.49% 23.11% 15.89%
Growth of $10,000 Investment
Fiscal Year Ended May 31
Balanced Fund S&P 500
------------- -------
5/91 10,791 11,179
5/92 11,339 12,281
5/93 12,823 13,706
5/94 13,075 14,290
5/95 15,454 17,175
5/96 19,912 22,058
5/97 25,982 28,549
5/98 33,865 37,307
5/99 40,655 45,156
5/00 43,699 49,888
Past performance is not predictive of future performance.
The Fund returns reflect investment management fees and other Fund expenses. The
Fund returns do not reflect charges included in the annuity contract or variable
life policy for mortality and expense guarantees, administrative fees or
surrender charges.
Portfolio at a Glance
Total assets: $583,145,622
NAV on 05/31/00: $24.77
One year total return: 7.49%
Net expense ratio: 0.55%
Inception date: 10/02/89
MANAGEMENT OVERVIEW
A discussion with portfolio manager
Magali Azema-Barac, PhD
How did the Fund perform?
On a net basis, the Social Awareness Fund posted a 7.49% return for the year
ending May 31, 2000 vs. a 10.48% return for the S&P 500 Index.
How did the large cap market perform over the last fiscal year?
Large capitalization stocks continued to display volatility throughout the
year, with some stocks delivering stellar performance while others lagged
behind. In addition to this, the Energy sector posted large positive returns,
well above the overall market. The Fund performance (7.49%) was hurt by its
underweight in the Energy sector. Indeed the Social Awareness Fund holds few
stocks in the Energy sector because of its social nature. Large cap performance
as measured by the S&P 500 Index was 10.48% for the year ending May 31, 2000.
What were the dominant portfolio themes?
The Social Awareness portfolio aims to provide growth while investing in
socially responsible companies. The investing theme is first, to identify
socially responsible companies (for example, companies that are not significant
polluters) and second, to determine which companies are most likely to provide
attractive growth.
Top 10 Holdings
<TABLE>
<C> <S> <C>
1. Intel Corp. ............. 3.49%
2. Cisco Systems, Inc. ..... 3.37%
3. Microsoft Corp. ......... 2.78%
4. Wal-Mart Stores, Inc. ... 2.42%
5. Citigroup, Inc. ......... 2.18%
6. International Business
Machines................. 1.93%
7. Merck & Co., Inc. ....... 1.85%
8. Oracle Corp. ............ 1.77%
9. Lucent Technologies,
Inc. .................... 1.61%
10. American International
Group, Inc. ............. 1.55%
</TABLE>
Portfolio holdings are subject to change.
Which portfolio holdings most enhanced the Fund's performance?
The Fund's holdings in both the Technology and Utilities sectors helped
performance. Even though the Technology sector had a large negative return over
the beginning of 2000, the Fund's holdings in the Technology sector performed
remarkably well. Texas Instrument, for example, was a strong performer.
Furthermore, the Fund's holdings in the Utilities sector did extremely well.
Were there any disappointments in the portfolio?
The relatively large underweight position of the Fund in Energy stocks was a
detriment to performance, especially at the beginning of 2000. This underweight
is implicit because of the social nature of the Fund. We are dampening the
impact of that underweight by investing in socially responsible companies with
revenues linked to the Energy sector.
What is your outlook for the next fiscal period?
Volatility seems to have become a characteristic of today's markets, and we
expect this to continue. The Fund focuses on the social aspect of companies and
invests in well established socially responsible companies that will help
protect the Fund against excessive volatility while delivering growth.
/s/ Magali Azema-Barac
Magali Azema-Barac, PhD
Portfolio Manager
--------------------------------------------------------------------------------
<PAGE>
52 May 31, 2000
SOCIAL AWARENESS FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 95.26%
ADVERTISING - 0.17%
12,000 Omnicom Group, Inc. ............................ $ 1,007,250
--------------
AIRLINES - 0.13%
15,000 Delta Air Lines, Inc. .......................... 771,563
--------------
AUTO - CARS - 0.21%
21,500 Delphi Automotive Systems Corp. ................ 388,344
23,000 Harley-Davidson, Inc. .......................... 856,750
--------------
1,245,094
--------------
BANKS - NEW YORK CITY - 2.50%
39,500 Bank of New York Co., Inc. ..................... 1,854,031
203,919 Citigroup, Inc. ................................ 12,681,213
--------------
14,535,244
--------------
BANKS - OTHER - 2.94%
120,000 Bank of America Corp. .......................... 6,667,500
67,600 First Union Corp. .............................. 2,378,675
72,500 FleetBoston Financial Corp. .................... 2,741,406
11,100 Providian Financial Corp. ...................... 987,206
95,500 Wells Fargo Co. ................................ 4,321,375
--------------
17,096,162
--------------
BANKS - REGIONAL - 2.69%
56,500 BankOne Corp. .................................. 1,868,031
85,928 Chase Manhattan Corp. .......................... 6,417,748
11,999 Fifth Third Bancorp............................. 815,933
32,524 Firstar Corp. .................................. 831,395
33,000 PNC Financial Services Group.................... 1,662,375
9,000 State Street Corp. ............................. 1,003,500
30,881 SunTrust Banks, Inc. ........................... 1,845,140
17,963 Wachovia Corp. ................................. 1,241,692
--------------
15,685,814
--------------
BEVERAGE - SOFT DRINKS - 1.99%
129,500 Coca-Cola Co. .................................. 6,912,063
114,300 PepsiCo, Inc. .................................. 4,650,581
--------------
11,562,644
--------------
BROADCASTING - 2.20%
9,500 * Clear Channel Communications, Inc. ............. 711,313
45,000 * Comcast Corp., Class A.......................... 1,704,375
41,500 * Media One Group, Inc. .......................... 2,772,720
30,000 US WEST, Inc. .................................. 2,160,000
87,985 * Viacom, Inc., Class B........................... 5,455,070
--------------
12,803,478
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
BUILDING MATERIALS - 0.25%
23,266 Lowe's Companies, Inc. ......................... $ 1,083,323
20,000 Masco Corp. .................................... 393,750
--------------
1,477,073
--------------
CHEMICAL - MAJOR - 0.38%
31,800 PPG Industries, Inc. ........................... 1,576,088
19,496 Rohm and Haas Co. .............................. 665,301
--------------
2,241,389
--------------
CHEMICAL - MISCELLANEOUS - 0.13%
18,428 Praxair, Inc. .................................. 773,976
--------------
CONGLOMERATES - 0.76%
94,173 Tyco International, Ltd. ....................... 4,432,028
--------------
CONSUMER FINANCE - 0.34%
71,500 MBNA Corp. ..................................... 1,993,063
--------------
CONTAINERS - METAL/GLASS - 0.63%
18,976 Corning, Inc. .................................. 3,670,670
--------------
COSMETICS/TOILETRIES - 0.35%
61,600 Gillette Co. ................................... 2,055,900
--------------
DRUGS - 6.25%
90,500 American Home Products Corp. ................... 4,875,688
61,500 * Amgen, Inc. .................................... 3,912,938
126,300 Bristol Myers Squibb Co. ....................... 6,954,394
72,218 Eli Lilly and Co. .............................. 5,497,595
144,500 Merck & Co., Inc. .............................. 10,783,314
92,000 Schering-Plough Corp. .......................... 4,450,500
--------------
36,474,429
--------------
ELECTRONIC EQUIPMENT - 0.68%
37,000 Emerson Electric Co. ........................... 2,183,000
20,701 Molex, Inc. .................................... 1,010,469
8,600 * Teradyne, Inc. ................................. 739,600
--------------
3,933,069
--------------
ELECTRONIC INSTRUMENTS - 0.13%
21,500 * Sensormatic Electronics Corp. .................. 337,281
5,600 * Vishay Intertechnology, Inc. ................... 396,200
--------------
733,481
--------------
ENTERTAINMENT - 2.19%
41,025 Carnival Corp., Class A......................... 1,112,803
74,816 Time Warner, Inc. .............................. 5,905,789
136,000 Walt Disney Co. ................................ 5,737,500
--------------
12,756,092
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
FINANCE COMPANIES - 0.52%
38,500 Associates First Capital Corp. ................... $ 1,056,345
41,886 Household International, Inc. .................... 1,968,642
--------------
3,024,987
--------------
FINANCIAL SERVICES - 0.94%
101,700 American Express Co. ............................. 5,472,731
--------------
FOODS - 1.69%
24,239 BestFoods......................................... 1,563,416
35,500 Campbell Soup Co. ................................ 1,100,500
62,500 ConAgra, Inc. .................................... 1,441,406
19,800 Hershey Foods Corp. .............................. 1,027,125
29,500 Kellogg Co. ...................................... 896,063
13,700 Quaker Oats Co. .................................. 1,007,806
60,600 Ralston Purina Co. ............................... 1,124,888
43,000 Sara Lee Corp. ................................... 774,000
11,500 Wm. Wrigley Jr. Co. .............................. 920,719
--------------
9,855,923
--------------
FOOTWEAR - 0.15%
20,503 NIKE, Inc., Class B............................... 879,066
--------------
GOLD MINING - 0.16%
50,000 Barrick Gold Corp. ............................... 903,125
--------------
GOVERNMENT SPONSORED - 1.19%
55,000 Federal Home Loan Mortgage Corp. ................. 2,447,500
75,000 Federal National Mortgage Association............. 4,509,375
--------------
6,956,875
--------------
HOSPITAL MANAGEMENT - 0.43%
58,200 HCA-The Healthcare Corp. ......................... 1,571,400
36,200 Tenet Healthcare Corp. ........................... 927,625
--------------
2,499,025
--------------
HOSPITAL SUPPLIES - 3.17%
109,600 Abbott Laboratories............................... 4,459,350
22,800 Baxter International, Inc. ....................... 1,516,200
100,500 Johnson & Johnson................................. 8,994,750
67,500 Medtronic, Inc. .................................. 3,484,688
--------------
18,454,988
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 53
SOCIAL AWARENESS FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.83%
46,000 Colgate-Palmolive Co. .......................... $ 2,420,750
86,000 Procter & Gamble Co. ........................... 5,719,000
49,500 Unilever NV..................................... 2,515,219
--------------
10,654,969
--------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 4.83%
3,000 * DST Systems, Inc. .............................. 225,188
258,500 * Microsoft Corp. ................................ 16,172,406
143,600 * Oracle Corp. ................................... 10,321,250
12,200 * Veritas Software Corp. ......................... 1,421,300
--------------
28,140,144
--------------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 2.89%
15,500 * Apple Computer, Inc. ........................... 1,302,000
85,000 Compaq Computer Corp. .......................... 2,231,250
121,800 * Dell Computer Corp. ............................ 5,252,625
14,740 * Gateway, Inc. .................................. 729,630
9,200 * Lexmark International Group, Inc. .............. 641,700
87,182 * Sun Microsystems, Inc. ......................... 6,680,321
--------------
16,837,526
--------------
INFORMATION PROCESSING -
COMPUTER SERVICES - 2.60%
112,100 * America Online, Inc. ........................... 5,941,300
36,800 Automatic Data Processing, Inc. ................ 2,021,700
49,400 Electronic Data Systems Corp. .................. 3,177,038
51,000 First Data Corp. ............................... 2,859,188
32,250 Paychex, Inc. .................................. 1,128,750
--------------
15,127,976
--------------
INFORMATION PROCESSING -
DATA SERVICES - 5.76%
31,500 Computer Associates International, Inc. ........ 1,622,250
48,900 * EMC Corp. ...................................... 5,687,681
57,000 Hewlett Packard Co. ............................ 6,847,125
104,900 International Business Machines................. 11,257,081
10,000 * Network Appliance, Inc. ........................ 645,625
31,000 Pitney Bowes, Inc. ............................. 1,348,500
22,401 * Seagate Technology, Inc. ....................... 1,299,258
24,200 * Solectron Corp. ................................ 800,113
1,000 * Symantec Corp. ................................. 65,750
37,400 Xerox Corp. .................................... 1,014,475
26,254 * Yahoo!, Inc. ................................... 2,968,343
--------------
33,556,201
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INFORMATION PROCESSING -
NETWORKING - 3.37%
344,100 * Cisco Systems, Inc. ............................ $ 19,613,700
--------------
INSURANCE - CASUALTY - 0.18%
15,000 Chubb Corp. .................................... 1,050,000
--------------
INSURANCE - MULTILINE - 2.47%
20,000 AFLAC, Inc. .................................... 1,033,750
23,500 Allstate Corp. ................................. 622,750
80,000 American International Group, Inc. ............. 9,004,999
13,000 CIGNA Corp. .................................... 1,154,563
14,300 Hartford Financial Services Group, Inc. ........ 845,488
15,500 Marsh & McLennan Companies, Inc. ............... 1,705,969
--------------
14,367,519
--------------
MACHINERY - AGRICULTURE- 0.16%
22,200 Deere & Co. .................................... 922,688
--------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.21%
30,700 Caterpillar, Inc. .............................. 1,174,275
1,500 Fluor Corp. .................................... 48,750
--------------
1,223,025
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 1.12%
20,900 Cooper Industries, Inc. ........................ 700,150
52,060 Dover Corp. .................................... 2,420,790
11,717 Illinois Tool Works, Inc. ...................... 680,318
48,500 Tidewater, Inc. ................................ 1,885,438
43,400 Timken Co. ..................................... 819,175
--------------
6,505,871
--------------
MEDICAL TECHNOLOGY - 0.10%
12,000 * Guidant Corp. .................................. 607,500
--------------
MERCHANDISE - DRUG - 0.31%
10,700 CVS Corp. ...................................... 465,450
48,000 Walgreen Co. ................................... 1,362,000
--------------
1,827,450
--------------
MERCHANDISE - SPECIALTY - 1.78%
9,400 * Best Buy Co., Inc. ............................. 601,600
4,900 Circuit City Stores, Inc. ...................... 244,081
22,500 * Costco Wholesale Corp. ......................... 718,594
46,594 Gap, Inc. ...................................... 1,633,693
128,500 Home Depot, Inc. ............................... 6,272,406
7,700 Limited, Inc. .................................. 185,763
20,000 * Staples, Inc. .................................. 295,000
9,904 Radioshack Corp. ............................... 420,301
--------------
10,371,438
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MERCHANDISING -
DEPARTMENT - 0.33%
5,000 * Federated Deptartment Stores, Inc. ............. $ 192,500
27,500 Target Corp. ................................... 1,723,906
--------------
1,916,406
--------------
MERCHANDISING - FOOD - 0.31%
16,500 * Safeway, Inc. .................................. 761,063
24,500 SYSCO Corp. .................................... 1,027,469
--------------
1,788,532
--------------
MERCHANDISING - MASS - 2.56%
22,728 Sears Roebuck and Co. .......................... 839,516
244,000 Wal-Mart Stores, Inc. .......................... 14,060,500
--------------
14,900,016
--------------
METALS - ALUMINUM - 0.30%
52,400 Alcan Aluminium, Ltd. .......................... 1,719,375
--------------
METALS - STEEL - 0.18%
47,600 USX-US Steel Group, Inc. ....................... 1,073,975
--------------
NATURAL GAS - DIVERSIFIED - 0.21%
23,306 El Paso Energy Corp. ........................... 1,200,259
--------------
OIL - INTEGRATED DOMESTIC - 0.28%
46,466 Ashland Oil, Inc. .............................. 1,623,406
--------------
OIL - SERVICE - PRODUCTS - 0.16%
13,500 * Cooper Cameron Corp. ........................... 941,625
--------------
OIL - SERVICES - 1.14%
37,800 Baker Hughes, Inc. ............................. 1,370,250
43,916 Halliburton Co. ................................ 2,239,716
27,778 * Rowan Companies, Inc. .......................... 862,854
29,400 Schlumberger, Ltd. ............................. 2,162,738
--------------
6,635,558
--------------
OIL/GAS PRODUCERS - 0.73%
72,958 Helmerich & Payne, Inc. ........................ 2,717,686
31,500 Transocean Sedco Forex, Inc. ................... 1,549,406
--------------
4,267,092
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
54 May 31, 2000
SOCIAL AWARENESS FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS - 0.91%
16,000 Avery Dennison Corp. ........................... $ 980,000
10,000 Georgia-Pacific Corp. - Timber Group............ 231,250
55,500 Kimberly-Clark Corp. ........................... 3,357,750
18,300 Rayonier, Inc. ................................. 736,575
--------------
5,305,575
--------------
PUBLISHING - NEWS - 0.46%
19,300 Dow Jones & Co., Inc. .......................... 1,312,400
21,400 Gannett Co., Inc. .............................. 1,385,650
--------------
2,698,050
--------------
PUBLISHING/PRINTING - 0.46%
56,862 Dun & Bradstreet Corp. ......................... 1,748,507
18,500 McGraw-Hill, Inc. .............................. 951,594
--------------
2,700,101
--------------
RAILROAD - 0.47%
51,000 Burlington Northern Santa Fe Corp. ............. 1,204,875
36,300 Union Pacific Corp. ............................ 1,535,944
--------------
2,740,819
--------------
RESTAURANTS - 0.61%
98,500 McDonald's Corp. ............................... 3,527,531
--------------
SECURITIES RELATED - 2.64%
53,700 Charles Schwab Corp. ........................... 1,543,875
31,700 J. P. Morgan & Co., Inc. ....................... 4,081,375
13,504 Lehman Brothers Holdings, Inc. ................. 1,042,340
27,500 Merrill Lynch & Co., Inc. ...................... 2,712,188
72,000 Morgan Stanley Dean Witter & Co. ............... 5,179,507
18,600 Paine Webber Group, Inc. ....................... 835,838
--------------
15,395,123
--------------
SEMICONDUCTOR EQUIPMENT - 0.67%
41,106 * Applied Materials, Inc. ........................ 3,432,351
9,400 * KLA-Tencor Corp. ............................... 465,888
--------------
3,898,239
--------------
SEMICONDUCTORS - 6.97%
15,000 * Advanced Micro Devices, Inc. ................... 1,221,563
20,403 * Analog Devices, Inc. ........................... 1,571,031
3,500 * Cypress Semiconductor Corp. .................... 147,219
7,000 * Integrated Device Technology, Inc. ............. 332,063
163,000 Intel Corp. .................................... 20,313,875
16,000 * LSI Logic Corp. ................................ 843,000
28,692 * Micron Technology, Inc. ........................ 2,006,647
43,855 Motorola, Inc. ................................. 4,111,406
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SEMICONDUCTORS - Continued
18,601 * National Semiconductor Corp. ................... $ 999,804
25,700 Rockwell International Corp. ................... 1,053,700
100,336 Texas Instruments, Inc. ........................ 7,249,276
9,400 * Xilinx, Inc. ................................... 715,575
--------------
40,565,159
--------------
TELECOMMUNICATIONS - 6.08%
13,300 Alltel Corp. ................................... 870,319
183,200 AT&T Corp. ..................................... 6,354,750
34,000 * Global Crossing, Ltd. .......................... 852,125
163,652 Lucent Technologies, Inc. ...................... 9,389,534
14,703 * Nextel Communications, Inc., Class A............ 1,361,865
143,800 Nortel Networks Corp. .......................... 7,810,138
35,700 * QUALCOMM, Inc. ................................. 2,369,588
17,500 * Tellabs, Inc. .................................. 1,136,406
140,500 * Worldcom, Inc. ................................. 5,286,313
--------------
35,431,038
--------------
TEXTILE - PRODUCTS - 0.04%
8,000 V. F. Corp. .................................... 229,500
--------------
UTILITIES - COMMUNICATION - 4.98%
89,800 Bell Atlantic Corp. ............................ 4,748,175
127,400 BellSouth Corp. ................................ 5,947,988
73,500 GTE Corp. ...................................... 4,648,875
191,000 SBC Communications, Inc. ....................... 8,344,313
70,500 Sprint Corp.-FON Group.......................... 4,265,250
18,999 * Sprint Corp.-PCS Group.......................... 1,054,445
--------------
29,009,046
--------------
UTILITIES - ELECTRIC - 1.54%
50,100 Allegheny Energy, Inc. ......................... 1,549,969
60,360 DPL, Inc. ...................................... 1,414,688
49,000 New Century Energies, Inc. ..................... 1,647,625
53,000 OGE Energy Corp. ............................... 1,033,500
44,000 Potomac Electric Power Co. ..................... 1,141,250
51,800 Puget Sound Energy, Inc. ....................... 1,194,638
30,499 Scottish Power, Plc. - ADR...................... 977,874
--------------
8,959,544
--------------
UTILITIES -
GAS, DISTRIBUTION - 1.70%
222,500 AGL Resources, Inc. ............................ 3,699,063
29,500 MCN Energy Group, Inc. ......................... 672,969
69,000 National Fuel Gas Co. .......................... 3,575,063
24,100 NICOR, Inc. .................................... 884,169
56,000 Vectren Corp. .................................. 1,050,000
--------------
9,881,264
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
UTILITIES -
GAS, PIPELINE - 0.75%
77,251 ONEOK, Inc. ...................................... $ 2,249,935
61,877 Peoples Energy Corp. ............................. 2,099,951
--------------
4,349,886
--------------
TOTAL COMMON STOCK
(Cost $432,849,476)............................... 554,858,265
--------------
<CAPTION>
PAR
VALUE
-----------
<C> <S> <C>
CORPORATE SHORT-TERM -
COMMERCIAL PAPER - 4.40%
HEALTHCARE - 2.57%
$15,000,000 Baxter International, Inc.,
6.70% due 06/05/00................................ 14,974,905
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 1.83%
10,644,000 Cooper Industries, Inc.,
6.85% due 06/01/00................................ 10,644,000
--------------
TOTAL CORPORATE SHORT-TERM -
COMMERCIAL PAPER
(Cost $25,618,905)................................ 25,618,905
--------------
UNITED STATES GOVERNMENT -
SHORT-TERM - 0.28%
U.S. TREASURY BILLS - 0.28%
United States Treasury Bills:
10,000 5.69% due 07/06/00................................ 9,945
100,000 5.66% due 07/06/00................................ 99,448
500,000 5.44% due 06/29/00................................ 497,875
1,000,000 5.41% due 06/22/00................................ 996,831
--------------
1,604,099
--------------
TOTAL UNITED STATES GOVERNMENT -
SHORT-TERM
(Cost $1,604,099)................................. 1,604,099
--------------
TOTAL INVESTMENTS
(Cost $460,072,480) - 99.94%...................... $ 582,081,269
--------------
* Non-income producing
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 55
SOCIAL AWARENESS FUND
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
<C> <S> <C>
--------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 05/31/00)
75(2) S&P 500 Index Futures
(June/$1,422.20)..................................... $ (327,625)
----------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately $1,604,000 were
maintained in a segregated account with a portion placed as collateral for
futures contracts.
(2) Per 250.
--------------------------------------------------------------------------------
<PAGE>
56 May 31, 2000
ASSET ALLOCATION FUND
Average Annual Total Return--Fund
<TABLE>
<S> <C> <C>
--------------------------------------------------------------------------------
1 Year 5 Year 10 Year*
--------------------------------------------------------------------------------
6.65% 14.80% 10.69%
--------------------------------------------------------------------------------
</TABLE>
* Beginning September 1, 1992, we began to use the Bankers Trust Tactical Asset
Allocation Model to manage this Fund. We began using a different version of
that model June 10, 1999. The performance of the Fund may be compared to a
benchmark comprised of a weighted average of three market sectors in which
the Fund invests. The benchmark consists of 55% S&P 500 Index, 35% Merrill
Lynch Corporate and Government Master Index, and 10% NYC 30 Day CD Rate.
GROWTH OF $10,000 INVESTMENT
Fiscal Year ended May 31
Balanced Fund Blended Benchmark
------------- -----------------
5/91 10,975 11,177
5/92 11,071 12,336
5/93 12,086 13,696
5/94 12,311 14,118
5/95 13,841 16,312
5/96 16,319 19,094
5/97 18,912 22,746
5/98 23,061 27,573
5/99 25,881 31,387
5/00 27,601 33,633
Past performance is not predictive of future performance.
The Fund returns reflect investment management fees and other Fund expenses.
The Fund returns do not reflect charges included in the annuity contract or
variable life policy for mortality and expense guarantees, administrative fees
or surrender charges.
--------------------------------------------------------------------------------
Portfolio at a Glance
--------------------------------------------------------------------------------
Total assets: $247,242,153
NAV on 05/31/00: $14.68
One year total return: 6.65%
Net expense ratio: 0.55%
Inception date: 09/06/83
--------------------------------------------------------------------------------
MANAGEMENT OVERVIEW
A discussion with portfolio managers
Magali Azema-Barac, PhD, Robert Kase, CFA, Teresa Moro
Describe the model and its allocations.
The Asset Allocation Fund actively allocates assets across the equity, fixed
income, and cash markets to provide excess return. The underlying model is a
multi-factor model that attempts to identify the functional relationship
between the returns of stocks, bonds, and cash. It then uses the relationship
to allocate optimally between asset classes.
How did the fund perform relative to the three benchmarks?
The one-year performance for the Fund, on a net-of-fee basis, was 6.65%
compared to a blended index return of 7.15%.
--------------------------------------------------------------------------------
Top 10 Holdings
--------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
1. Federal Home Loan Mortgage Corp.,
6.63% due 09/15/09.......................................... 5.68%
2. Federal National Mortgage Association,
6.63% due 09/15/09.......................................... 2.50%
3. General Electric Co. ......................................... 2.27%
4. Intel Corp. .................................................. 1.82%
5. Cisco Systems, Inc. .......................................... 1.71%
6. Microsoft Corp. .............................................. 1.43%
7. Exxon Mobil Corp. ............................................ 1.26%
8. Federal National Mortgage Association,
6.50% due 06/01/29.......................................... 1.23%
9. Wal-Mart Stores, Inc. ........................................ 1.13%
10. Federal National Mortgage Association,
6.65% due 11/07/07.......................................... 1.05%
</TABLE>
Portfolio holdings are subject to change.
--------------------------------------------------------------------------------
How did the three market sectors perform over the past fiscal year?
The equity sector continued to display volatility throughout the year. The
equity market, as measured by the S&P 500 Index, was 10.48% for the year ending
May 31, 2000. The bond sector did not perform very well over this time period
as fear of continued Federal Reserve rate increases to slow economic growth
caused all interest rates to rise. The Merrill Lynch Corporate and Government
Master Index was 1.99% over this time period. The greatest influence in the
Money Market arena over the past year was the incremental tightening policy
executed by the Federal Reserve. The Federal Reserve raised the Fed Funds rate
from 4.75% to 6.50%.
What market sector or sectors enhanced the Fund's performance?
The equity sector had the most positive influence on the Fund's performance
over the past year. Within the S&P 500, Technology was the best performing
sector for the year ending May 31, 2000 with a return of 57.2%.
What market sector or sectors were disappointing for the Fund?
The bond sector was the most disappointing due to the fear of future Federal
Reserve rate increases. Within the bond sector, corporate bonds had a
disappointing year, while government securities posted modest positive returns.
What do you see ahead in the market for the next fiscal period?
Volatility both in the equity and the fixed income markets seems to have become
a characteristic of today's markets. This is expected to continue throughout
the next fiscal period. The Fund is positioned to take advantage of the shift
in interest rates while maintaining a quasi-neutral exposure to the equity
market.
/s/ Magali Azema-Barac /s/ Robert Kase
Magali Azema-Barac, PhD Robert Kase, CFA
Portfolio Manager Portfolio Manager
/s/ Teresa Moro
Teresa Moro,
Portfolio Manager
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 57
ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 54.81%
ADVERTISING - 0.14%
3,000 Interpublic Group Corp. ........................ $ 128,813
1,900 Omnicom Group, Inc. ............................ 159,481
700 Young & Rubicam, Inc. .......................... 33,425
--------------
321,719
--------------
AEROSPACE/DEFENSE - 0.70%
1,200 B.F. Goodrich Co. .............................. 42,600
9,300 Boeing Co. ..................................... 363,281
700 Crane Co. ...................................... 18,463
2,200 General Dynamics Corp. ......................... 129,938
8,500 Honeywell International, Inc. .................. 464,844
4,200 Lockheed Martin Corp. .......................... 102,900
700 Northrop Grumman Corp. ......................... 53,638
500 Perkinelmer, Inc. .............................. 26,250
3,600 Raytheon Co., Class B........................... 84,375
1,300 TRW, Inc. ...................................... 63,050
5,100 United Technologies Corp. ...................... 308,230
--------------
1,657,569
--------------
AIRLINES - 0.11%
1,600 AMR Corp. ...................................... 45,600
1,400 Delta Air Lines, Inc. .......................... 72,013
5,400 Southwest Airlines Co. ......................... 103,613
800 US Airways Group, Inc. ......................... 34,000
--------------
255,226
--------------
APPAREL & PRODUCTS - 0.01%
600 * Liz Claiborne, Inc. ............................ 23,588
--------------
APPLIANCES/FURNISHINGS - 0.05%
2,100 Leggett & Platt, Inc. .......................... 42,131
900 Maytag Corp. ................................... 29,475
800 Whirlpool Corp. ................................ 45,350
--------------
116,956
--------------
AUTO - CARS - 0.54%
6,000 Delphi Automotive Systems Corp. ................ 108,375
12,900 Ford Motor Co. ................................. 626,455
6,000 General Motors Corp. ........................... 423,750
3,200 Harley-Davidson, Inc. .......................... 119,200
--------------
1,277,780
--------------
AUTO - ORIGINAL EQUIPMENT - 0.03%
1,500 Danaher Corp. .................................. 72,281
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
AUTO - REPLACEMENT PARTS - 0.06%
1,500 * AutoZone, Inc. ................................. $ 42,000
800 Cooper Tire & Rubber Co. ....................... 9,650
1,900 Genuine Parts Co. .............................. 45,363
1,700 Goodyear Tire & Rubber Co. ..................... 42,288
--------------
139,301
--------------
BANKS - NEW YORK CITY - 1.10%
7,900 Bank of New York Co., Inc. ..................... 370,806
36,100 Citigroup, Inc. ................................ 2,244,968
--------------
2,615,774
--------------
BANKS - OTHER - 1.30%
18,300 Bank of America Corp. .......................... 1,016,794
10,600 First Union Corp. .............................. 372,988
9,800 FleetBoston Financial Corp. .................... 370,563
5,400 Mellon Financial Corp. ......................... 208,238
6,600 National City Corp. ............................ 132,000
1,500 Providian Financial Corp. ...................... 133,406
1,500 Union Planters Corp. ........................... 46,875
17,700 Wells Fargo Co. ................................ 800,925
--------------
3,081,789
--------------
BANKS - REGIONAL - 1.40%
4,200 AmSouth Bancorporation.......................... 75,863
12,299 BankOne Corp. .................................. 406,635
3,700 BBT Corp. ...................................... 108,456
8,800 Chase Manhattan Corp. .......................... 657,250
1,700 Comerica, Inc. ................................. 86,063
3,300 Fifth Third Bancorp............................. 224,400
10,500 Firstar Corp. .................................. 268,406
2,400 Huntington Bancshares, Inc. .................... 46,500
4,800 KeyCorp......................................... 100,800
2,400 Northern Trust Corp. ........................... 157,950
1,400 Old Kent Financial Corp. ....................... 46,550
3,100 PNC Financial Services Group.................... 156,163
2,300 Regions Financial Corp. ........................ 52,038
1,800 SouthTrust Corp. ............................... 48,713
1,700 State Street Corp. ............................. 189,550
1,900 Summit Bancorp. ................................ 54,506
3,400 SunTrust Banks, Inc. ........................... 203,150
3,000 Synovus Financial Corp. ........................ 60,000
8,100 U.S. Bancorp, Inc. ............................. 210,600
2,200 Wachovia Corp. ................................. 152,075
--------------
3,305,668
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
BEVERAGE -
BREWERS/DISTRIBUTORS - 0.28%
5,000 Anheuser-Busch Companies, Inc. ................. $ 387,500
700 Brown-Forman Corp., Class B..................... 40,643
400 Coors Adolph Co., Class B....................... 22,500
4,600 Seagram Co., Ltd. .............................. 219,363
--------------
670,006
--------------
BEVERAGE - SOFT DRINKS - 0.90%
26,400 Coca-Cola Co. .................................. 1,409,100
4,600 Coca-Cola Enterprises, Inc. .................... 78,775
15,600 PepsiCo, Inc. .................................. 634,725
--------------
2,122,600
--------------
BROADCASTING - 1.05%
3,600 * Clear Channel Communications, Inc. ............. 269,550
9,900 * Comcast Corp., Class A.......................... 374,963
6,500 * Media One Group, Inc. .......................... 434,281
5,400 US WEST, Inc. .................................. 388,800
16,397 * Viacom, Inc., Class B........................... 1,016,614
--------------
2,484,208
--------------
BUILDING MATERIALS - 0.16%
400 Armstrong Holdings, Inc. ....................... 6,875
4,100 Lowe's Companies, Inc. ......................... 190,906
4,800 Masco Corp. .................................... 94,500
1,800 Sherwin-Williams Co. ........................... 41,850
1,100 Vulcan Materials Co. ........................... 51,424
--------------
385,555
--------------
CHEMICAL - MAJOR - 0.45%
2,300 Dow Chemical Co. ............................... 246,243
11,200 E.I. du Pont de Nemours and Co. ................ 548,800
1,100 Hercules, Inc. ................................. 18,219
1,900 PPG Industries, Inc. ........................... 94,169
2,300 Rohm and Haas Co. .............................. 78,488
1,400 Union Carbide Corp. ............................ 76,563
--------------
1,062,482
--------------
CHEMICAL - MISCELLANEOUS - 0.15%
2,500 Air Products and Chemicals, Inc. ............... 86,563
800 Eastman Chemical Co. ........................... 36,450
1,400 Ecolab, Inc. ................................... 53,550
300 * FMC Corp. ...................................... 18,225
600 Great Lakes Chemical Corp. ..................... 16,650
500 Millipore Corp. ................................ 36,188
1,700 Praxair, Inc. .................................. 71,400
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
58 May 31, 2000
ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
CHEMICAL - MISCELLANEOUS -
Continued
1,100 Sigma Aldrich Corp. ............................ $ 36,712
800 * W.R. Grace & Co. ............................... 10,050
--------------
365,788
--------------
COAL - 0.00%
100 NACCO Industries, Inc., Class A................. 3,775
--------------
CONGLOMERATES - 0.45%
900 ITT Industries, Inc. ........................... 31,106
1,100 Loews Corp. .................................... 72,463
1,600 Textron, Inc. .................................. 100,400
18,100 Tyco International, Ltd. ....................... 851,831
--------------
1,055,800
--------------
CONSUMER FINANCE - 0.16%
2,100 Capital One Financial Corp. .................... 99,225
1,500 Equifax, Inc. .................................. 41,531
8,600 MBNA Corp. ..................................... 239,725
--------------
380,481
--------------
CONTAINERS - METAL/GLASS - 0.27%
300 Ball Corp. ..................................... 8,906
3,000 Corning, Inc. .................................. 580,312
1,400 Crown Cork & Seal Co., Inc. .................... 23,975
600 Owens Corning................................... 9,263
1,600 * Owens-Illinois, Inc. ........................... 18,000
--------------
640,456
--------------
CONTAINERS - PAPER - 0.05%
600 Bemis Co., Inc. ................................ 20,625
1,800 * Pactiv Corp. ................................... 16,088
900 * Sealed Air Corp. ............................... 50,400
600 Temple-Inland, Inc. ............................ 29,813
--------------
116,926
--------------
COSMETICS/TOILETRIES - 0.23%
599 Alberto-Culver Co., Class B..................... 15,761
2,600 Avon Products, Inc. ............................ 107,413
11,500 Gillette Co. ................................... 383,813
1,100 International Flavors & Fragrances, Inc. ....... 37,400
--------------
544,387
--------------
DRUGS - 4.27%
1,400 Allergan, Inc. ................................. 96,163
1,100 * ALZA Corp. ..................................... 55,894
14,000 American Home Products Corp. ................... 754,250
10,900 * Amgen, Inc. .................................... 693,513
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
DRUGS - Continued
500 Bausch & Lomb, Inc. ............................ $ 34,750
1,600 * Biogen, Inc. ................................... 87,200
21,200 Bristol Myers Squibb Co. ....................... 1,167,325
11,700 Eli Lilly and Co. .............................. 890,663
25,000 Merck & Co., Inc. .............................. 1,865,625
41,400 Pfizer, Inc. ................................... 1,844,888
13,345 Pharmacia Corp. ................................ 693,106
15,700 Schering-Plough Corp. .......................... 759,487
9,200 Warner-Lambert Co. ............................. 1,123,550
1,000 * Watson Pharmaceuticals, Inc. ................... 44,125
--------------
10,110,539
--------------
ELECTRONIC EQUIPMENT - 2.65%
2,100 * American Power Conversion Corp. ................ 74,419
2,000 * Cabletron Systems, Inc. ........................ 45,875
4,600 Emerson Electric Co. ........................... 271,400
105,300 General Electric Co. ........................... 5,541,411
2,100 Molex, Inc. .................................... 102,506
400 National Service Industries, Inc. .............. 8,700
1,800 * Teradyne, Inc. ................................. 154,800
600 Thomas & Betts Corp. ........................... 17,025
1,000 W. W. Grainger, Inc. ........................... 39,938
--------------
6,256,074
--------------
ELECTRONIC INSTRUMENTS - 0.02%
500 Tektronix, Inc. ................................ 26,750
1,700 * Thermo Electron Corp. .......................... 31,555
--------------
58,305
--------------
ENTERTAINMENT - 0.98%
6,600 Carnival Corp., Class A......................... 179,025
1,400 * Harrah's Entertainment, Inc. ................... 27,650
1,900 Hasbro, Inc. ................................... 31,113
4,500 Mattel, Inc. ................................... 61,031
13,800 Time Warner, Inc. .............................. 1,089,338
22,100 Walt Disney..................................... 932,344
--------------
2,320,501
--------------
FINANCE COMPANIES - 0.19%
7,800 Associates First Capital Corp. ................. 214,013
5,000 Household International, Inc. .................. 235,000
--------------
449,013
--------------
FINANCIAL SERVICES - 0.45%
14,400 American Express Co. ........................... 774,900
2,600 American General Corp. ......................... 166,563
1,200 Countrywide Credit Industries, Inc. ............ 36,900
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
FINANCIAL SERVICES - Continued
1,100 H & R Block, Inc. .............................. $ 33,963
1,300 T. Rowe Price Associates, Inc. ................. 49,644
--------------
1,061,970
--------------
FOODS - 0.65%
6,500 Archer Daniels Midland Co. ..................... 77,594
3,000 BestFoods....................................... 193,500
4,600 Campbell Soup Co. .............................. 142,600
5,300 ConAgra, Inc. .................................. 122,231
3,200 General Mills, Inc. ............................ 127,000
3,800 H J Heinz Co. .................................. 148,912
1,500 Hershey Foods Corp. ............................ 77,813
4,300 Kellogg Co. .................................... 130,613
3,500 Nabisco Group Holdings Corp. ................... 76,344
1,400 Quaker Oats Co. ................................ 102,988
3,200 Ralston Purina Co. ............................. 59,400
9,700 Sara Lee Corp. ................................. 174,600
1,200 Wm. Wrigley Jr. Co. ............................ 96,075
--------------
1,529,670
--------------
FOOTWEAR - 0.06%
3,000 NIKE, Inc., Class B............................. 128,625
600 * Reebok International, Ltd. ..................... 8,325
--------------
136,950
--------------
FREIGHT - 0.05%
3,100 * FDX Corp. ...................................... 109,663
600 Ryder System, Inc. ............................. 11,513
--------------
121,176
--------------
GOLD MINING - 0.05%
4,200 Barrick Gold Corp. ............................. 75,863
2,800 Homestake Mining Co. ........................... 18,900
3,500 Placer Dome, Inc. .............................. 28,874
--------------
123,637
--------------
GOVERNMENT SPONSORED - 0.44%
7,400 Federal Home Loan Mortgage Corp. ............... 329,300
11,000 Federal National
Mortgage Association............................ 661,375
1,700 SLM Holding Corp. .............................. 57,269
--------------
1,047,944
--------------
HARDWARE & TOOLS - 0.03%
900 Black & Decker Corp. ........................... 32,850
600 Snap-on, Inc. .................................. 15,413
1,000 Stanley Works................................... 26,874
--------------
75,137
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 59
ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
HEALTHCARE - 0.23%
3,000 Cardinal Health, Inc. .......................... $ 194,625
1,100 * HCR Manor Care, Inc. ........................... 7,769
4,100 * HealthSouth Corp. .............................. 26,394
1,800 * Humana, Inc. ................................... 10,125
3,300 IMS Health, Inc. ............................... 54,450
3,000 Mckesson HBOC, Inc. ............................ 49,313
1,200 * Quintiles Transnational Corp. .................. 17,700
1,800 UnitedHealth Group, Inc. ....................... 134,213
700 * Wellpoint Health Networks, Inc. ................ 50,838
--------------
545,427
--------------
HEAVY DUTY TRUCKS/PARTS - 0.07%
400 Cummins Engine Co., Inc. ....................... 13,025
1,800 Dana Corp. ..................................... 46,462
800 Eaton Corp. .................................... 58,050
700 * Navistar International Corp. ................... 22,487
800 PACCAR, Inc. ................................... 33,500
--------------
173,524
--------------
HOME BUILDERS - 0.01%
600 Centex Corp. ................................... 12,450
500 Kaufman & Broad Home Corp. ..................... 8,656
500 Pulte Corp. .................................... 11,093
--------------
32,199
--------------
HOSPITAL MANAGEMENT - 0.11%
6,000 HCA-The Healthcare Corp. ....................... 162,000
300 Shared Medical Systems Corp. ................... 21,788
3,300 Tenet Healthcare Corp. ......................... 84,563
--------------
268,351
--------------
HOSPITAL SUPPLIES - 1.35%
16,400 Abbott Laboratories............................. 667,275
3,100 Baxter International, Inc. ..................... 206,150
2,700 Becton, Dickinson and Co. ...................... 78,805
1,200 Biomet, Inc. ................................... 43,275
4,400 * Boston Scientific Corp. ........................ 112,750
500 C. R. Bard, Inc. ............................... 22,813
14,900 Johnson & Johnson............................... 1,333,550
700 Mallinckrodt, Inc. ............................. 20,256
12,800 Medtronic, Inc. ................................ 660,800
900 * St. Jude Medical, Inc. ......................... 32,344
--------------
3,178,018
--------------
HOUSEHOLD PRODUCTS - 0.92%
1,500 * Bed Bath & Beyond, Inc. ........................ 55,219
2,500 Clorox Co. ..................................... 99,063
6,200 Colgate-Palmolive Co. .......................... 326,275
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - Continued
4,300 Minnesota Mining and
Manufacturing Co. (3M).......................... $ 368,725
3,000 Newell Rubbermaid, Inc. ........................ 78,750
14,100 Procter & Gamble Co. ........................... 937,650
600 Tupperware Corp. ............................... 13,238
6,100 Unilever NV..................................... 309,956
--------------
2,188,876
--------------
INFORMATION PROCESSING - 0.07%
1,600 * Comverse Technology, Inc. ...................... 146,200
2,900 * Parametric Technology Corp. .................... 30,813
--------------
177,013
--------------
<PAGE>
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 2.70%
2,600 * BMC Software, Inc. ............................. 114,400
1,900 * Citrix Systems, Inc. ........................... 99,988
55,700 * Microsoft Corp. ................................ 3,484,730
30,200 * Oracle Corp. ................................... 2,170,625
2,900 * Peoplesoft, Inc. ............................... 40,055
4,100 * Veritas Software Corp. ......................... 477,650
--------------
6,387,448
--------------
INFORMATION PROCESSING -
COMPUTER HARDWARE - 1.44%
1,100 * Adaptec, Inc. .................................. 21,656
1,700 * Apple Computer, Inc. ........................... 142,800
18,099 Compaq Computer Corp. .......................... 475,099
27,400 * Dell Computer Corp. ............................ 1,181,625
3,400 * Gateway, Inc. .................................. 168,300
1,400 * Lexmark International Group, Inc. .............. 97,650
2,000 * Silicon Graphics, Inc. ......................... 13,250
16,900 * Sun Microsystems, Inc. ......................... 1,294,963
--------------
3,395,343
--------------
INFORMATION PROCESSING -
COMPUTER SERVICES - 1.02%
24,400 * America Online, Inc. ........................... 1,293,200
6,700 Automatic Data Processing, Inc. ................ 368,080
1,500 * Ceridian Corp. ................................. 36,188
5,000 Electronic Data Systems Corp. .................. 321,563
4,500 First Data Corp. ............................... 252,280
3,900 Paychex, Inc. .................................. 136,500
--------------
2,407,811
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - 3.14%
1,300 Adobe Systems, Inc. ............................ $ 146,331
700 Autodesk, Inc. ................................. 26,031
7,600 * Cendant Corp. .................................. 100,700
6,300 Computer Associates International, Inc. ........ 324,450
1,800 * Computer Sciences Corp. ........................ 172,688
3,900 * Compuware Corp. ................................ 39,731
10,900 * EMC Corp. ...................................... 1,267,805
10,800 Hewlett Packard Co. ............................ 1,297,350
19,300 International Business Machines................. 2,071,130
1,000 * NCR Corp. ...................................... 42,188
3,200 * Network Appliance, Inc. ........................ 206,600
3,500 * Novell, Inc. ................................... 29,094
2,800 Pitney Bowes, Inc. ............................. 121,800
600 * Sapient Corp. .................................. 59,963
2,400 * Seagate Technology, Inc. ....................... 139,200
2,000 * Siebel Systems, Inc. ........................... 234,000
6,300 * Solectron Corp. ................................ 208,293
3,300 * Unisys Corp. ................................... 89,513
7,100 Xerox Corp. .................................... 192,588
5,600 * Yahoo!, Inc. ................................... 633,150
--------------
7,402,605
--------------
INFORMATION PROCESSING -
NETWORKING - 1.83%
3,700 * 3Com Corp. ..................................... 154,706
73,200 * Cisco Systems, Inc. ............................ 4,172,400
--------------
4,327,106
--------------
INSURANCE - CASUALTY - 0.14%
1,900 Chubb Corp. .................................... 133,000
800 Progressive Corp. .............................. 75,100
1,400 SAFECO Corp. ................................... 34,388
2,400 St. Paul Companies, Inc. ....................... 90,000
--------------
332,488
--------------
INSURANCE - LIFE - 0.13%
1,500 Aetna, Inc. .................................... 100,125
3,500 Conseco, Inc. .................................. 21,875
1,100 Jefferson-Pilot Corp. .......................... 75,487
2,100 Lincoln National Corp. ......................... 81,375
1,400 Torchmark Corp. ................................ 38,063
--------------
316,925
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
60 May 31, 2000
ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
INSURANCE - MISCELLANEOUS - 0.05%
1,100 MBIA, Inc. ..................................... $ 63,594
1,100 MGIC Investment Corp. .......................... 54,519
--------------
118,113
--------------
INSURANCE - MULTILINE - 1.30%
2,800 AFLAC, Inc. .................................... 144,725
8,600 Allstate Corp. ................................. 227,900
16,600 American International Group, Inc. ............. 1,868,537
2,700 Aon Corp. ...................................... 94,838
1,800 CIGNA Corp ..................................... 159,863
1,800 Cincinnati Financial Corp. ..................... 72,253
2,400 Hartford Financial Services Group, Inc. ........ 141,900
2,900 Marsh & McLennan Companies, Inc. ............... 319,181
2,600 UnumProvident Corp. ............................ 58,988
--------------
3,088,185
--------------
LEISURE TIME - 0.04%
1,000 Brunswick Corp. ................................ 19,250
2,100 * Mirage Resorts, Inc. ........................... 43,969
1,399 Sabre Holdings Corp. ........................... 40,221
--------------
103,440
--------------
LODGING - 0.06%
3,900 Hilton Hotels Corp. ............................ 33,150
2,700 Marriott International, Inc. ................... 97,875
--------------
131,025
--------------
MACHINE TOOLS - 0.00%
400 Milacron, Inc. ................................. 6,325
--------------
MACHINERY - AGRICULTURE - 0.04%
2,500 Deere & Co. .................................... 103,906
--------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.07%
3,800 Caterpillar, Inc. .............................. 145,350
800 Fluor Corp. .................................... 26,000
--------------
171,350
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MACHINERY - INDUSTRIAL/SPECIALTY - 0.23%
200 Briggs & Stratton Corp. ........................ $ 8,000
1,000 Cooper Industries, Inc. ........................ 33,500
2,200 Dover Corp. .................................... 102,300
3,200 Illinois Tool Works, Inc. ...................... 185,800
1,800 Ingersoll-Rand Co. ............................. 82,013
900 Johnson Controls, Inc. ......................... 51,244
1,300 Pall Corp. ..................................... 27,300
1,200 Parker Hannifin Corp. .......................... 50,025
700 Timken Co. ..................................... 13,213
--------------
553,395
--------------
MEDICAL TECHNOLOGY - 0.12%
3,300 * Guidant Corp. .................................. 167,062
2,200 PE Corp. - PE Biosystems Group.................. 122,100
--------------
289,162
--------------
MERCHANDISE - DRUG - 0.22%
4,200 CVS Corp. ...................................... 182,700
400 Longs Drug Stores Corp. ........................ 8,075
2,800 Rite Aid Corp. ................................. 19,425
10,800 Walgreen Co. ................................... 306,450
--------------
516,650
--------------
MERCHANDISE - SPECIALTY - 1.15%
700 American Greetings Corp., Class A............... 13,038
2,200 * Best Buy Co., Inc. ............................. 140,800
2,200 Circuit City Stores, Inc. ...................... 109,588
1,200 * Consolidated Stores Corp. ...................... 15,600
4,800 * Costco Wholesale Corp. ......................... 153,300
3,500 Dollar General Corp. ........................... 61,250
1,800 Fortune Brands, Inc. ........................... 47,925
9,100 Gap, Inc. ...................................... 319,069
24,600 Home Depot, Inc. ............................... 1,200,787
1,600 Ikon Office Solutions, Inc. .................... 8,000
3,400 * Kohls Corp. .................................... 175,950
4,600 Limited, Inc. .................................. 110,975
1,400 Nordstrom, Inc. ................................ 35,175
3,500 * Office Depot, Inc. ............................. 24,719
5,000 * Staples, Inc. .................................. 73,750
2,100 Radioshack Corp. ............................... 89,119
3,300 TJX Companies, Inc. ............................ 71,362
2,600 * Toys "R" Us, Inc. .............................. 40,950
--------------
2,691,357
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MERCHANDISING -
DEPARTMENT - 0.21%
1,100 Dillards, Inc., Class A......................... $ 16,431
2,200 * Federated Department Stores, Inc. .............. 84,700
3,600 May Department Stores Co. ...................... 108,225
4,700 Target Corp. ................................... 294,630
--------------
503,986
--------------
MERCHANDISING - FOOD - 0.34%
4,500 Albertsons, Inc. ............................... 164,813
400 Great Atlantic & Pacific Tea Co, Inc. .......... 7,350
8,900 * Kroger Co. ..................................... 176,887
5,400 * Safeway, Inc. .................................. 249,075
1,500 Supervalu, Inc. ................................ 31,218
3,500 SYSCO Corp. .................................... 146,780
1,600 Winn-Dixie Stores, Inc. ........................ 25,300
--------------
801,423
--------------
MERCHANDISING - MASS - 1.26%
2,800 J.C. Penney Co., Inc. .......................... 50,750
5,200 * KMart Corp. .................................... 44,200
4,000 Sears Roebuck and Co. .......................... 147,750
47,700 Wal-Mart Stores, Inc. .......................... 2,748,711
--------------
2,991,411
--------------
METALS - ALUMINUM - 0.15%
2,300 Alcan Aluminium, Ltd. .......................... 75,469
4,642 Alcoa, Inc. .................................... 271,266
--------------
346,735
--------------
METALS - COPPER - 0.03%
1,800 Newmont Mining Corp. ........................... 41,513
900 Phelps Dodge Corp. ............................. 40,388
--------------
81,901
--------------
METALS - MISCELLANEOUS - 0.03%
1,300 Engelhard Corp. ................................ 22,669
1,700 * Freeport-McMoRan Copper &
Gold, Inc., Class B............................. 15,619
2,100 * Inco Limited.................................... 34,125
--------------
72,413
--------------
METALS - STEEL - 0.04%
900 Allegheny Technologies, Inc. ................... 20,306
1,400 * Bethlehem Steel Corp. .......................... 5,425
900 Nucor Corp. .................................... 34,988
900 USX-US Steel Group, Inc. ....................... 20,305
1,000 Worthington Industries, Inc. ................... 12,125
--------------
93,149
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 61
ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MULTIMEDIA - 0.01%
600 Meredith Corp. ................................. $ 18,263
--------------
NATURAL GAS - DIVERSIFIED - 0.12%
2,300 Coastal Corp. .................................. 141,163
300 Eastern Enterprises ............................ 18,506
2,400 El Paso Energy Corp. ........................... 123,600
--------------
283,269
--------------
OIL - INTEGRATED DOMESTIC - 0.37%
1,000 Amerada Hess Corp. ............................. 66,375
800 Ashland Oil, Inc. .............................. 27,950
2,300 Burlington Resources, Inc. ..................... 105,225
6,700 Conoco, Inc., Class B........................... 190,950
1,000 Kerr-McGee Corp. ............................... 59,688
3,900 Occidental Petroleum Corp. ..................... 92,381
2,700 Phillips Petroleum Co. ......................... 154,575
2,600 Unocal Corp. ................................... 99,937
3,300 USX-Marathon Group.............................. 89,719
--------------
886,800
--------------
OIL - INTEGRATED INTERNATIONAL - 2.32%
7,000 Chevron Corp. .................................. 647,063
37,000 Exxon Mobil Corp. .............................. 3,082,562
22,900 Royal Dutch Petroleum Co. ...................... 1,429,819
5,900 Texaco, Inc. ................................... 338,880
--------------
5,498,324
--------------
OIL - SERVICES - 0.35%
3,500 Baker Hughes, Inc. ............................. 126,875
4,700 Halliburton Co. ................................ 239,700
600 McDermott International, Inc. .................. 6,000
1,000 * Rowan Companies, Inc. .......................... 31,063
5,900 Schlumberger, Ltd. ............................. 434,018
--------------
837,656
--------------
OIL/GAS PRODUCERS - 0.15%
1,400 Anadarko Petroleum Corp. ....................... 74,288
1,200 Apache Corp. ................................... 73,050
1,000 Sunoco, Inc. ................................... 32,313
2,200 Transocean Sedco Forex, Inc. ................... 108,212
2,700 Union Pacific Resources Group, Inc. ............ 63,956
--------------
351,819
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS - 0.44%
1,200 Avery Dennison Corp. ........................... $ 73,500
600 Boise Cascade Corp. ............................ 17,475
1,000 Champion International Corp. ................... 73,000
2,300 Fort James Corp. ............................... 52,037
1,800 Georgia-Pacific Corp. .......................... 58,950
4,400 International Paper Co. ........................ 153,175
5,900 Kimberly-Clark Corp. ........................... 356,950
1,100 Louisiana Pacific Corp. ........................ 12,375
1,100 Mead Corp. ..................................... 33,894
300 Potlatch Corp. ................................. 11,363
1,100 Westvaco Corp. ................................. 33,138
2,500 Weyerhaeuser Co. ............................... 124,063
1,200 Willamette Industries, Inc. .................... 39,000
--------------
1,038,920
--------------
PHOTOGRAPHY - 0.09%
3,400 Eastman Kodak Co. .............................. 203,150
500 Polaroid Corp. ................................. 9,594
--------------
212,744
--------------
POLLUTION CONTROL - 0.07%
2,000 * Allied Waste Industries, Inc. .................. 20,375
6,600 Waste Management, Inc. ......................... 134,475
--------------
154,850
--------------
PUBLISHING - NEWS - 0.22%
1,000 Dow Jones & Co., Inc. .......................... 68,000
3,000 Gannett Co., Inc. .............................. 194,250
800 Knight-Ridder, Inc. ............................ 42,400
1,800 New York Times Co., Class A..................... 69,075
600 Times Mirror Co. ............................... 57,900
2,500 Tribune Co. .................................... 96,250
--------------
527,875
--------------
PUBLISHING/PRINTING - 0.10%
800 Deluxe Corp. ................................... 19,750
1,700 Dun & Bradstreet Corp. ......................... 52,275
800 Harcourt General, Inc. ......................... 31,600
2,100 McGraw-Hill, Inc. .............................. 108,019
1,400 R. R. Donnelley and Sons Co. ................... 34,563
--------------
246,207
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
RAILROAD - 0.18%
4,899 Burlington Northern
Santa Fe Corp. ................................. $ 115,739
2,300 CSX Corp. ...................................... 50,025
1,200 Kansas City Southern Industries, Inc. .......... 80,700
4,100 Norfolk Southern Corp. ......................... 73,031
2,700 Union Pacific Corp. ............................ 114,244
--------------
433,739
--------------
RESTAURANTS - 0.26%
1,400 Darden Restaurants, Inc. ....................... 24,063
14,500 McDonald's Corp. ............................... 519,280
1,600 * Tricon Global Restaurants, Inc. ................ 46,900
1,300 Wendy's International, Inc. .................... 25,431
--------------
615,674
--------------
SAVINGS & LOAN - 0.11%
1,700 Golden West Financial Corp. .................... 70,975
6,200 Washington Mutual, Inc. ........................ 178,250
--------------
249,225
--------------
SECURITIES RELATED - 0.94%
1,200 Bear Stearns Co., Inc. ......................... 47,250
14,200 Charles Schwab Corp. ........................... 408,250
2,700 Franklin Resources, Inc. ....................... 81,000
1,900 J. P. Morgan & Co., Inc. ....................... 244,625
1,300 Lehman Brothers Holdings, Inc. ................. 100,343
4,000 Merrill Lynch & Co., Inc. ...................... 394,500
12,200 Morgan Stanley Dean Witter & Co. ............... 877,638
1,500 Paine Webber Group, Inc. ....................... 67,405
--------------
2,221,011
--------------
SEMICONDUCTOR EQUIPMENT - 0.33%
8,200 * Applied Materials, Inc. ........................ 684,700
2,000 * KLA-Tencor Corp. ............................... 99,125
--------------
783,825
--------------
SEMICONDUCTORS - 3.59%
1,600 * Advanced Micro Devices, Inc. ................... 130,300
2,044 * Altera Corp. ................................... 175,529
3,700 * Analog Devices, Inc. ........................... 284,900
2,300 * Conexant Systems, Inc. ......................... 86,538
35,700 Intel Corp. .................................... 4,449,113
3,300 Linear Technology Corp. ........................ 194,906
3,200 * LSI Logic Corp. ................................ 168,600
3,100 * Maxim Integrated Products, Inc. ................ 196,656
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
62 May 31, 2000
ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SEMICONDUCTORS - Continued
5,800 * Micron Technology, Inc. ........................ $ 405,637
7,600 Motorola, Inc. ................................. 712,500
1,800 * National Semiconductor Corp. ................... 96,750
2,000 Rockwell International Corp. ................... 82,000
17,400 Texas Instruments, Inc. ........................ 1,257,150
3,400 * Xilinx, Inc. ................................... 258,825
--------------
8,499,404
--------------
TELECOMMUNICATIONS - 3.35%
3,200 * ADC Communications, Inc. ....................... 215,000
3,400 Alltel Corp. ................................... 222,487
900 * Andrew Corp. ................................... 31,613
34,200 AT&T Corp. ..................................... 1,186,312
1,500 CenturyTel, Inc. ............................... 40,500
8,300 * Global Crossing, Ltd. .......................... 208,019
34,100 Lucent Technologies, Inc. ...................... 1,956,487
3,900 * Nextel Communications, Inc., Class A............ 361,237
30,800 Nortel Networks Corp. .......................... 1,672,825
7,900 * QUALCOMM, Inc. ................................. 524,363
1,600 Scientific-Atlanta, Inc. ....................... 90,200
4,300 * Tellabs, Inc. .................................. 279,230
30,400 * Worldcom, Inc. ................................. 1,143,800
--------------
7,932,073
--------------
TEXTILE - PRODUCTS - 0.02%
400 Russell Corp. .................................. 8,900
200 Springs Industries, Inc., Class A............... 9,500
1,300 V. F. Corp. .................................... 37,293
--------------
55,693
--------------
TOBACCO - 0.29%
25,300 Philip Morris Companies, Inc. .................. 660,963
1,800 UST, Inc. ...................................... 29,925
--------------
690,888
--------------
UTILITIES - COMMUNICATION - 2.17%
16,600 Bell Atlantic Corp. ............................ 877,725
20,100 BellSouth Corp. ................................ 938,418
10,400 GTE Corp. ...................................... 657,800
36,500 SBC Communications, Inc. ....................... 1,594,594
9,300 Sprint Corp. - FON Group........................ 562,650
9,200 * Sprint Corp. - PCS Group........................ 510,600
--------------
5,141,787
--------------
UTILITIES - ELECTRIC - 1.00%
2,300 * AES Corp. ...................................... 200,675
1,500 Ameren Corp. ................................... 55,031
2,100 American Electric Power, Inc. .................. 74,681
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
UTILITIES - ELECTRIC - Continued
1,700 Carolina Power & Light Co. ..................... $ 58,438
2,300 Central & South West Corp. ..................... 47,869
1,700 Cinergy Corp. .................................. 45,263
1,200 CMS Energy Corp. ............................... 27,300
2,399 Consolidated Edison, Inc. ...................... 78,267
1,600 Constellation Energy Group, Inc. ............... 54,900
2,500 Dominion Resources, Inc. ....................... 114,375
1,600 DTE Energy Co. ................................. 55,300
3,900 Duke Energy Corp. .............................. 227,175
3,700 Edison International, Inc. ..................... 79,088
2,600 Entergy Corp. .................................. 75,400
2,500 FirstEnergy Corp. .............................. 62,813
1,100 Florida Progress Corp. ......................... 54,588
1,900 FPL Group, Inc. ................................ 94,050
1,300 GPU, Inc. ...................................... 36,725
1,200 New Century Energies, Inc. ..................... 40,350
1,900 * Niagara Mohawk Holdings, Inc. .................. 27,906
1,700 Northern States Power Co. ...................... 37,613
4,100 P G & E Corp. .................................. 106,343
2,000 Peco Energy Co. ................................ 87,875
900 Pinnacle West Capital Corp. .................... 32,175
1,500 PPL Corp. ...................................... 35,438
2,300 Public Service Enterprise
Group, Inc. .................................... 85,675
3,200 Reliant Energy, Inc. ........................... 91,200
7,200 Southern Co. ................................... 186,750
3,000 TXU Corp. ...................................... 107,250
2,300 Unicom Corp. ................................... 95,880
--------------
2,376,393
--------------
UTILITIES -
GAS, DISTRIBUTION - 0.03%
500 NICOR, Inc. .................................... 18,344
1,500 Tosco Corp. .................................... 45,938
--------------
64,282
--------------
UTILITIES - GAS, PIPELINE - 0.37%
900 Columbia Energy Group........................... 58,219
7,700 Enron Corp. .................................... 561,137
300 ONEOK, Inc. .................................... 8,738
400 Peoples Energy Corp. ........................... 13,575
2,200 Sempra Energy................................... 41,387
4,700 Williams Companies, Inc. ....................... 195,343
--------------
878,399
--------------
TOTAL COMMON STOCK
(Cost $77,875,285).............................. 129,787,211
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR VALUE MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
CORPORATE BONDS - 12.77%
AUTO - CARS - 0.77%
$1,000,000 Daimler Chrysler NA Holding Corp.,
7.13% due 04/10/03.......................... $ 984,660
865,000 General Motors Acceptance Corp.,
7.75% due 01/19/10.......................... 842,328
--------------
1,826,988
--------------
BANKS - OTHER - 0.57%
945,000 Bank of America Corp.,
7.80% due 02/15/10.......................... 922,084
445,000 First Union Corp.,
6.95% due 11/01/04.......................... 428,477
--------------
1,350,561
--------------
BANKS - REGIONAL - 0.44%
1,065,000 First Union National Bank,
7.88% due 02/15/10.......................... 1,038,151
--------------
BEVERAGE - SOFT DRINKS - 0.22%
600,000 Coca Cola Enterprises, Inc.,
5.75% due 11/01/08.......................... 516,402
--------------
CHEMICAL - MAJOR - 0.17%
425,000 Dow Chemical Co.,
7.38% due 11/01/29.......................... 394,604
--------------
CONGLOMERATES - 0.35%
840,000(1) Tyco International Group S.A.,
6.88% due 09/05/02.......................... 821,654
--------------
CONSUMER FINANCE - 0.42%
1,160,000 Associates Corp. of North America,
6.95% due 11/01/18.......................... 1,005,581
--------------
CONTAINERS - METAL/GLASS - 0.31%
865,000 Owens Corning,
7.70% due 05/01/08.......................... 733,053
--------------
FINANCE COMPANIES - 1.34%
Finova Capital Corp.:
200,000 7.25% due 07/12/06.......................... 160,000
300,000 6.25% due 11/01/02.......................... 260,424
Ford Motor Credit Co.:
810,000 7.50% due 03/15/05.......................... 793,849
600,000 6.70% due 07/16/04.......................... 574,008
1,430,000 Goldman Sachs Group, Inc.,
7.80% due 01/28/10.......................... 1,374,776
--------------
3,163,057
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 63
ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
PAR VALUE MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
FINANCIAL SERVICES - 1.87%
$430,000 Countrywide Home Loans, Inc.,
6.25% due 04/15/09......................... $ 365,930
400,000 General Electric Capital Corp.,
7.25% due 05/03/04......................... 396,556
Heller Financial, Inc.:
1,000,000 7.88% due 05/15/03......................... 998,180
600,000 7.38% due 11/01/09......................... 562,944
Household Finance Corp.:
1,000,000 8.00% due 05/09/05......................... 994,330
470,000 7.88% due 03/01/07......................... 456,436
665,000(1) Potomac Capital Investment Corp., MTND,
7.55% due 11/19/01......................... 662,079
--------------
4,436,455
--------------
FOODS - 0.35%
865,000 IBP, Inc.,
7.95% due 02/01/10......................... 839,252
--------------
MERCHANDISE - DRUG - 0.17%
925,000 Rite Aid Corp.,
6.50% due 12/15/05......................... 407,000
--------------
MERCHANDISING -
DEPARTMENT - 0.13%
300,000 May Department Stores Co.,
8.50% due 06/01/19......................... 299,418
--------------
OIL - INTEGRATED DOMESTIC - 0.07%
150,000 Pennzoil Co.,
10.25% due 11/01/05........................ 157,187
--------------
SECURITIES RELATED - 0.76%
1,425,000 Lehman Brothers Holdings, Inc.,
7.75% due 01/15/05......................... 1,385,975
435,000 Morgan Stanley Dean
Witter & Co., MTN,
5.63% due 01/20/04......................... 406,046
--------------
1,792,021
--------------
TELECOMMUNICATIONS - 1.77%
885,000 AT&T Corp.,
6.50% due 03/15/29......................... 731,196
915,000 Bell Atlantic Pennsylvania, Inc.,
6.00% due 12/01/28......................... 689,581
Bellsouth Capital Funding:
660,000 7.88% due 02/15/30......................... 628,544
660,000 7.75% due 02/15/10......................... 645,744
</TABLE>
<TABLE>
<CAPTION>
PAR VALUE MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
TELECOMMUNICATIONS - Continued
$500,000 Northwestern Bell Telephone,
7.75% due 05/01/30.............................. $ 482,580
1,000,000 Worldcom, Inc.,
8.25% due 05/15/10.............................. 1,003,680
--------------
4,181,325
--------------
UTILITIES - ELECTRIC - 1.97%
715,000 Appalachian Power Co., MTN,
8.00% due 06/01/25.............................. 712,526
1,015,000 Arizona Public Service Co.,
5.88% due 02/15/04.............................. 933,293
715,000 Edison International, Inc.,
6.88% due 09/15/04.............................. 697,904
470,000 National Rural Utilities Cooperative Finance
Corp.,
7.38% due 02/10/03.............................. 465,991
1,000,000 Pennsylvania Electric Co., Series C,
6.63% due 04/01/19.............................. 866,360
1,023,222 Texas Utilities Electric,
6.62% due 07/01/01.............................. 1,021,700
--------------
4,697,774
--------------
UTILITIES - GAS, PIPELINE - 1.09%
1,000,000 Enron Corp.,
6.75% due 09/01/04.............................. 951,170
1,000,000 Peco Energy Transition Trust,
6.13% due 03/01/09.............................. 896,450
795,000 Williams Companies, Inc.,
7.63% due 07/15/19.............................. 727,632
--------------
2,575,252
--------------
TOTAL CORPORATE BONDS
(Cost $31,873,023)............................... 30,235,735
--------------
UNITED STATES GOVERNMENT -
LONG-TERM - 14.67%
FEDERAL AGENCIES - 0.62%
1,500,000 Government National Mortgage Association,
7.50% due 06/01/30.............................. 1,472,580
--------------
GOVERNMENT SPONSORED - 13.82%
Federal Home Loan Bank:
700,000 7.22% due 02/25/03.............................. 699,237
170,000 6.01% due 12/03/08.............................. 152,017
</TABLE>
<TABLE>
<CAPTION>
PAR VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
GOVERNMENT SPONSORED - Continued
Federal Home Loan Mortgage Corp.:
$ 675,000 8.00% due 06/01/30............................... $ 670,991
14,770,000 6.63% due 09/15/09............................... 13,881,437
Federal National Mortgage Association:
350,000 7.50% due 06/01/15............................... 345,079
1,000,000 7.25% due 01/15/10............................... 982,660
569,919 7.00% due 04/01/28............................... 541,958
2,700,000 7.00% due 06/01/29............................... 2,562,462
925,000 6.65% due 11/07/07............................... 882,940
6,480,000 6.63% due 09/15/09............................... 6,094,246
1,200,000 6.50% due 06/01/15............................... 1,139,340
3,250,000 6.50% due 06/01/29............................... 3,008,297
885,000 6.37% due 01/30/08............................... 829,272
1,000,000 6.28% due 02/12/08............................... 932,500
--------------
32,722,436
--------------
U. S. TREASURY NOTES - 0.23%
565,000 United States Treasury Notes,
6.00% due 08/15/09............................... 550,609
--------------
TOTAL UNITED STATES GOVERNMENT -
LONG-TERM
(Cost $35,238,938)................................ 34,745,625
--------------
FOREIGN CORPORATE BONDS - 2.97%
BANKS - OTHER - 0.21%
500,000 Asian Development Bank,
6.50% due 10/21/02............................... 490,320
--------------
FINANCE COMPANIES - 1.00%
2,400,000 KFW International Finance,
7.13% due 02/15/05............................... 2,379,264
--------------
INSURANCE - MULTILINE - 0.64%
Fairfax Financial Holdings, Ltd.:
740,000 8.25% due 10/01/15............................... 660,850
1,000,000 7.38% due 03/15/06............................... 852,963
--------------
1,513,813
--------------
SUPRANATIONAL - 0.68%
600,000 Corp Andina De Fomento,
8.88% due 06/01/05............................... 600,750
1,010,000 International Finance Corp.,
7.13% due 04/06/05............................... 990,537
--------------
1,591,287
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
64 May 31, 2000
ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
TELECOMMUNICATIONS - 0.44%
$985,000 MetroNet Communications Corp.,
zero coupon due 06/15/08.................... $ 786,286
280,000(1) Vodafone Airtouch, Plc.,
7.88% due 02/15/30.......................... 260,268
--------------
1,046,554
--------------
TOTAL FOREIGN CORPORATE BONDS
(Cost $7,314,140)........................... 7,021,238
--------------
FOREIGN GOVERNMENT
BONDS - 0.60%
CANADA - 0.60%
1,440,000 Canada Mortgage & Housing CP,
7.20% due 02/01/05.......................... 1,423,688
--------------
TOTAL FOREIGN GOVERNMENT BONDS
(Cost $1,439,880)........................... 1,423,688
--------------
CORPORATE SHORT-TERM
COMMERCIAL PAPER - 17.23%
FOODS - 3.11%
7,378,000 Safeway, Inc.,
6.69% due 06/14/00.......................... 7,360,106
--------------
HEALTHCARE - 1.69%
4,000,000 Baxter International, Inc.,
6.70% due 06/05/00.......................... 3,997,021
--------------
INSURANCE - MULTILINE - 1.59%
3,770,000 Marsh & McLennan Companies, Inc.,
6.45% due 06/01/00.......................... 3,770,000
--------------
OIL/GAS PRODUCERS - 3.25%
7,697,000 Duke Capital Corp.,
6.83% due 06/01/00.......................... 7,697,000
--------------
UTILITIES - ELECTRIC - 7.59%
5,000,000 Appalachian Power Co.,
6.83% due 06/06/00.......................... 4,995,251
7,000,000 Conectiv, Inc.,
6.75% due 06/14/00.......................... 6,982,889
6,000,000 Metro Edison,
6.48% due 06/02/00.......................... 5,998,919
--------------
17,977,059
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
TOTAL CORPORATE SHORT-TERM
COMMERCIAL PAPER -
(Cost $40,801,186)................................ $ 40,801,186
--------------
UNITED STATES GOVERNMENT -
SHORT-TERM - 0.07%
U.S. TREASURY BILLS - 0.07%
United States Treasury Bills:
$100,000 5.53% due 06/22/00................................ 99,676
75,000 5.40% due 06/22/00................................ 74,763
--------------
174,439
--------------
TOTAL UNITED STATES GOVERNMENT -
SHORT-TERM
(Cost $174,439)................................... 174,439
--------------
TOTAL INVESTMENTS
(Cost $194,716,891) - 103.12%..................... $ 244,189,122
--------------
* Non-income producing
</TABLE>
----
(1) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At May 31, 2000,
the aggregate value of these securities was $1,744,001, representing 0.74%
of total net assets.
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 CAPITAL CONSERVATION FUND 65
Average Annual Total Return--Fund
<TABLE>
<S> <C> <C>
--------------------------------------------------------------------------------
1 Year 5 Year 10 Year
--------------------------------------------------------------------------------
0.13% 4.99% 6.74%
--------------------------------------------------------------------------------
</TABLE>
GROWTH OF $10,000 INVESTMENT
Fiscal Year Ended May 31
Balanced Fund ML Corp Master
------------- --------------
5/91 10,540 11,290
5/92 11,986 12,845
5/93 13,615 14,544
5/94 13,461 14,774
5/95 15,050 16,750
5/96 15,563 17,515
5/97 16,770 19,064
5/98 18,574 21,419
5/99 19,178 22,106
5/00 19,203 22,021
Past performance is not predictive of future performance.
The Fund returns reflect investment management fees and other Fund expenses.
The Fund returns do not reflect changes included in the annuity contract or
variable life policy for mortality and expense guarantee, administrative fees
or surrender charges.
--------------------------------------------------------------------------------
Portfolio at a Glance
--------------------------------------------------------------------------------
Total assets: $59,317,982
NAV on 05/31/00: $8.78
One year total return: 0.13%
Net expense ratio: 0.55%
Inception date: 01/16/86
--------------------------------------------------------------------------------
MANAGEMENT OVERVIEW
A discussion with portfolio manager
Robert Kase, CFA
How did the Fund perform relative to its benchmark?
The Fund's net return for the annual period ending May 31, 2000 was 0.13% vs.
a negative 0.38% for the index.
How did bonds in this category perform over the past fiscal year?
Corporate bonds as an asset class did not perform very well over this time
period as fear of Federal Reserve rate increases to slow economic growth
caused a lowering of bond prices. This is reflected in the index's negative
return of 0.38% for the year.
--------------------------------------------------------------------------------
Top 10 Holdings
--------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
1. Federal National Mortgage Association,
6.50% due 06/01/29................................................. 5.23%
2. Federated Department Stores, Inc.,
6.79% due 07/15/27................................................. 4.14%
3. KFW International Finance,
7.13% due 02/15/05................................................. 3.97%
4. Enron Corp.,
7.63% due 09/10/04................................................. 3.42%
5. Pohang Iron & Steel Co., Ltd.,
7.50% due 08/01/02................................................. 3.39%
6. Airtouch Communications, Inc.,
7.50% due 07/15/06................................................. 3.38%
7. Akzo Nobel, Inc.,
6.00% due 11/15/03................................................. 3.27%
8. CSR America, Inc.,
6.88% due 07/21/05................................................. 3.24%
9. News America Holdings, Inc.,
8.25% due 08/10/18................................................. 3.17%
10. Federal National Mortgage Association,
7.00% due 06/01/29................................................. 2.81%
</TABLE>
Portfolio holdings are subject to change.
--------------------------------------------------------------------------------
What were the major developments in the fixed income market that enhanced the
Fund's performance?
The Fund outperformed its index over the past 12 months because of the
addition of some Government Agency bonds to increase the quality of the
portfolio. High quality bonds performed better than low quality bonds during
this period.
What events were disappointing for the Fund?
The biggest disappointment for the Fund was the Federal Reserve rate
increases. As rates increased, the price of bonds fell.
What do you see ahead in this segment of the fixed income market for the next
fiscal period?
The outlook for fixed income securities is brighter as it seems the economy
maybe slowing enough to limit the amount of rate increases by the Federal
Reserve. This should give a boost to fixed income securities and the potential
for greater returns over the next 12 months.
/s/ Robert Kase, CFA
Robert Kase, CFA
Portfolio Manager
-------------------------------------------------------------------------------
<PAGE>
66 CAPITAL CONSERVATION FUND May 31, 2000
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORPORATE BONDS - 70.47%
AIRLINES - 5.42%
$1,500,000 Delta Air Lines, Inc.,
9.75% due 05/15/21................................. $ 1,458,660
1,470,187 U.S. Airways, Inc.,
6.85% due 01/30/18................................. 1,278,019
--------------
2,736,679
--------------
AUTO - CARS - 1.68%
860,000 Daimler Chrysler NA Holding Corp.,
7.13% due 04/10/03................................. 846,808
--------------
BANKS - OTHER - 1.81%
935,000 Bank of America Corp.,
7.80% due 02/15/10................................. 912,326
--------------
BANKS - REGIONAL - 9.16%
1,500,000 BankBoston Corp.,
8.25% due 12/15/26................................. 1,337,760
1,500,000 Barnett Capital Trust I,
8.06% due 12/01/26................................. 1,336,635
990,000 First Union National Bank,
7.88% due 02/15/10................................. 965,042
1,000,000 SouthTrust Corp.,
7.63% due 05/01/04................................. 986,180
--------------
4,625,617
--------------
BEVERAGE - SOFT DRINKS - 0.87%
510,000 Coca Cola Enterprises, Inc.,
5.75% due 11/01/08................................. 438,942
--------------
BUILDING MATERIALS - 3.69%
2,000,000 CSR America, Inc.,
6.88% due 07/21/05................................. 1,862,660
--------------
CONSUMER FINANCE - 1.97%
1,150,000 Associates Corp. of North America,
6.95% due 11/01/18................................. 996,912
--------------
DRUGS - 3.72%
2,000,000 Akzo Nobel, Inc.,
6.00% due 11/15/03................................. 1,880,200
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
FINANCE COMPANIES - 5.22%
$1,000,000 C.I.T. Group Holdings, Inc.,
8.38% due 11/01/01................................. $ 1,010,020
Finova Capital Corp.:
170,000 7.25% due 07/12/06................................. 136,000
255,000 6.25% due 11/01/02................................. 221,360
Ford Motor Credit Co.:
790,000 7.50% due 03/15/05................................. 774,246
520,000 6.70% due 07/16/04................................. 497,474
--------------
2,639,100
--------------
FINANCIAL SERVICES - 6.14%
130,000 Conseco, Inc.,
6.40% due 06/15/01................................. 94,250
345,000 General Electric Capital Corp.,
7.25% due 05/03/04................................. 342,030
Heller Financial, Inc.:
865,000 7.88% due 05/15/03................................. 863,426
520,000 7.38% due 11/01/09................................. 487,885
Household Finance Corp.:
865,000 8.00% due 05/09/05................................. 860,095
470,000 7.88% due 03/01/07................................. 456,436
--------------
3,104,122
--------------
MERCHANDISE - DRUG - 0.92%
500,000 Imcera Group,
6.00% due 10/15/03................................. 463,100
--------------
MERCHANDISING -
DEPARTMENT - 5.21%
2,500,000 Federated Deptartment Stores, Inc.,
6.79% due 07/15/27................................. 2,378,350
255,000 May Department Stores Co.,
8.50% due 06/01/19................................. 254,505
--------------
2,632,855
--------------
METALS - STEEL - 3.86%
2,000,000 Pohang Iron & Steel Co., Ltd.,
7.50% due 08/01/02................................. 1,951,340
--------------
OIL - INTEGRATED DOMESTIC- 0.27%
130,000 Pennzoil Co.,
10.25% due 11/01/05................................ 136,228
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
POLLUTION CONTROL - 0.15%
$ 325,000 Laidlaw, Inc.,
6.50% due 05/01/05............................... $ 78,000
--------------
PUBLISHING - NEWS - 3.61%
2,000,000 News America Holdings, Inc.,
8.25% due 08/10/18............................... 1,823,500
--------------
TELECOMMUNICATIONS - 8.76%
2,000,000 Airtouch Communications, Inc.,
7.50% due 07/15/06............................... 1,946,120
440,000 AT&T Corp.,
6.50% due 03/15/29............................... 363,532
Bellsouth Capital Funding:
655,000 7.88% due 02/15/30............................... 623,783
655,000 7.75% due 02/15/10............................... 640,852
850,000 Worldcom, Inc.,
8.25% due 05/15/10............................... 853,128
--------------
4,427,415
--------------
UTILITIES - ELECTRIC - 0.92%
470,000 National Rural Utilities Cooperative Finance Corp.,
7.38% due 02/10/03............................... 465,991
--------------
UTILITIES -
GAS, DISTRIBUTION - 2.03%
1,000,000 Tosco Corp.,
9.63% due 03/15/02............................... 1,026,470
--------------
UTILITIES - GAS, PIPELINE - 5.06%
2,000,000 Enron Corp.,
7.63% due 09/10/04............................... 1,964,000
650,000 Williams Companies, Inc.,
7.63% due 07/15/19............................... 594,919
--------------
2,558,919
--------------
TOTAL CORPORATE BONDS
(Cost $37,687,881)............................... 35,607,184
--------------
FOREIGN CORPORATE BONDS - 8.03%
FINANCE COMPANIES - 4.51%
2,300,000 KFW International Finance,
7.13% due 02/15/05............................... 2,280,128
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 CAPITAL CONSERVATION FUND 67
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
SUPRANATIONAL - 1.01%
$ 510,000 Corp Andina De Fomento,
8.88% due 06/01/05.......................... $ 510,638
--------------
TELECOMMUNICATIONS - 2.51%
1,000,000 Cable & Wireless
Communications, Plc.,
6.75% due 12/01/08.......................... 1,006,080
280,000(1) Vodafone Airtouch, Plc.,
7.88% due 02/15/30.......................... 260,268
--------------
1,266,348
--------------
TOTAL FOREIGN CORPORATE BONDS
(Cost $4,053,163)........................... 4,057,114
--------------
UNITED STATES GOVERNMENT -
LONG-TERM - 19.63%
FEDERAL AGENCIES - 2.38%
1,225,000 Government National Mortgage Association,
7.50% due 06/01/30.......................... 1,202,607
--------------
GOVERNMENT SPONSORED - 17.25%
Federal Home Loan Bank:
640,000 7.22% due 02/25/03.......................... 639,302
160,000 6.01% due 12/03/08.......................... 143,075
223,384 5.75% due 12/15/16.......................... 222,337
Federal Home Loan Mortgage Corp.:
675,000 8.00% due 06/01/30.......................... 670,991
1,500,000 6.63% due 09/15/09.......................... 1,409,760
Federal National Mortgage Association:
350,000 7.50% due 06/01/15.......................... 345,079
1,700,000 7.00% due 06/01/29.......................... 1,613,402
3,250,000 6.50% due 06/01/29.......................... 3,008,298
700,000 6.50% due 06/01/15.......................... 664,615
--------------
8,716,859
--------------
TOTAL UNITED STATES GOVERNMENT -
LONG-TERM
(Cost $9,887,100)........................... 9,919,466
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
CORPORATE SHORT-TERM -
COMMERCIAL PAPER - 7.90%
UTILITIES - COMMUNICATION - 3.95%
$ 2,000,000 GTE Corp.,
6.53% due 06/14/00............................... $ 1,995,272
--------------
UTILITIES-ELECTRIC - 3.95%
2,000,000 Conectiv, Inc.,
6.75% due 06/14/00............................... 1,995,111
--------------
TOTAL CORPORATE SHORT-TERM -
COMMERCIAL PAPER
(Cost $3,990,383)................................ 3,990,383
--------------
CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT - 7.78%
BANKS - OTHER - 7.78%
3,930,000 State Street Bank Repurchase Agreement,
6.30%, dated 05/31/00, to be repurchased at
$3,930,688 on 06/01/00, collateralized by U.S.
Treasury Bond, 5.25%, 02/15/29, with a par value
of $4,540,000 (Cost $3,930,000).................. 3,930,000
--------------
TOTAL CORPORATE SHORT-TERM -
REPURCHASE AGREEMENT
(Cost $3,930,000)................................ 3,930,000
--------------
TOTAL INVESTMENTS
(Cost $59,548,527) - 113.81%..................... $ 57,504,147
--------------
</TABLE>
----
(1) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At May 31, 2000,
the aggregate value of these securities was $260,268, representing 0.52% of
total net assets.
--------------------------------------------------------------------------------
<PAGE>
68 May 31, 2000
GOVERNMENT SECURITIES FUND
Average Annual Total Return--Fund
<TABLE>
<S> <C> <C>
1 Year 5 Year 10 Year
--------------------------------------------------------------------------------
1.74% 5.19% 6.94%
</TABLE>
Growth of $10,000 Investment
Fiscal Year Ended May 31
Balanced Fund S&P 500
------------- -------
5/91 10,928 11,190
5/92 12,305 12,534
5/93 13,851 14,057
5/94 13,759 14,235
5/95 15,193 15,776
5/96 15,698 16,405
5/97 16,787 17,617
5/98 18,567 19,593
5/99 19,231 20,436
5/00 19,566 21,115
Past performance is not predictive of future performance.
The Fund returns reflect investment management fees and other Fund expenses. The
Fund returns do not reflect charges included in the annuity contract or variable
life policy for mortality and expense guarantees, administrative fees or
surrender charges.
Portfolio at a Glance
Total assets: $116,024,189
NAV on 05/31/00: $9.51
One year total return: 1.74%
Net expense ratio: 0.55%
Inception date: 01/16/86
MANAGEMENT OVERVIEW
A discussion with portfolio manager
Robert Kase, CFA
How did the Fund perform relative to its benchmark?
The Fund underperformed its index over the 12 months ending May 31, 2000 as
Agency securities held back returns. The Fund net return was 1.74% vs. 3.32%
for the index.
How did bonds in this category perform over the past fiscal year?
While Government bonds as a whole posted positive returns, Government Agency
prices were weak. Their status as "riskless" was questioned by some government
officials. This caused them to underperform vs. Treasuries.
Top 10 Holdings
<TABLE>
<C> <S> <C>
1. Government National
Mortgage Association,
6.50% due 06/01/29....... 4.90%
2. United States Treasury
Bonds,
8.75% due 08/15/20....... 4.41%
3. KFW International
Finance,
7.13% due 02/15/05....... 3.96%
4. Federal Home Loan Bank,
6.12% due 08/26/08....... 3.95%
5. Federal National Mortgage
Association,
6.25% due 12/13/02....... 3.41%
6. United States Treasury
Bonds,
7.25% due 08/15/22....... 3.38%
7. Federal Home Loan
Mortgage Corp.,
6.63% due 09/15/09....... 3.27%
8. United States Treasury
Bonds,
8.50% due 02/15/20....... 3.23%
9. Federal National Mortgage
Association,
6.50% due 08/15/04....... 2.95%
10. Federal Home Loan
Mortgage Corp.,
6.71% due 11/09/05....... 2.92%
</TABLE>
Portfolio holdings are subject to change.
What were the major developments in the fixed income market that enhanced the
Fund's performance?
The major development in the fixed income markets was the rate increases by the
Federal Reserve. This inverted yield curve, holdings in the long end of the
curve benefited the Fund and Long Treasuries enjoyed the best relative
performance amongst the government and agency markets.
What events were disappointing for the Fund?
The biggest disappointment for the Fund was the Government Agency bonds
underperforming Treasuries, despite the extra yield of these bonds.
What do you see ahead in this segment of the fixed income market for the next
fiscal period?
The outlook for fixed income securities is brighter as it seems the economy
maybe slowing enough to limit the amount of rate increases by the Federal
Reserve. This should give a boost to fixed income securities and the potential
for greater returns over the next 12 months.
/s/ Robert Kase
Robert Kase, CFA
Portfolio Manager
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 GOVERNMENT SECURITIES FUND 69
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
FOREIGN BONDS - 4.51%
FINANCE COMPANIES - 4.51%
$ 4,575,000 KFW International Finance,
7.13% due 02/15/05............................... $ 4,535,472
--------------
TOTAL FOREIGN BONDS
(Cost $4,563,368)................................. 4,535,472
--------------
UNITED STATES GOVERNMENT -
LONG-TERM - 93.30%
FEDERAL AGENCIES - 5.58%
6,000,000 Government National Mortgage
Association,
6.50% due 06/01/29............................... 5,611,860
--------------
GOVERNMENT SPONSORED - 71.93%
Federal Farm Credit Bank:
1,150,000 7.10% due 11/12/02, MTN.......................... 1,142,629
1,500,000 6.92% due 05/13/02, MTN.......................... 1,488,045
1,000,000 5.80% due 06/17/05, MTN.......................... 930,780
Federal Home Loan Bank:
500,000 7.50% due 03/14/05............................... 495,935
1,210,000 7.22% due 02/25/03............................... 1,208,681
1,500,000 6.61% due 06/09/04............................... 1,449,840
2,000,000 6.38% due 12/20/00............................... 1,993,440
5,000,000 6.12% due 08/26/08............................... 4,525,800
3,000,000 6.11% due 06/19/03............................... 2,887,980
300,000 6.01% due 12/03/08............................... 268,266
3,000,000 5.91% due 03/27/08............................... 2,699,520
2,000,000 5.63% due 03/19/01............................... 1,978,120
160,473 5.50% due 02/25/19............................... 157,012
510,000 5.13% due 09/15/03............................... 476,452
Federal Home Loan Mortgage Corp.:
6,769 8.25% due 04/01/17............................... 6,830
1,500,000 8.00% due 06/01/30............................... 1,491,090
1,000,000 7.50% due 06/01/15............................... 986,250
1,700,000 6.89% due 10/03/05............................... 1,634,125
3,500,000 6.71% due 11/09/05............................... 3,342,500
3,985,000 6.63% due 09/15/09............................... 3,745,262
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
GOVERNMENT SPONSORED - Continued
Federal National Mortgage Association:
$ 2,708 14.50% due 11/15/14.............................. $ 3,113
7,134 13.00% due 11/15/15.............................. 8,055
3,827 12.50% due 09/20/15.............................. 4,282
1,722 12.00% due 01/15/16.............................. 1,910
6,807 11.50% due 09/01/19.............................. 7,484
3,000,000 7.50% due 06/01/29............................... 2,913,750
2,150,000 7.13% due 02/15/05............................... 2,125,468
3,000,000 7.00% due 08/27/12............................... 2,764,680
3,000,000 7.00% due 06/01/29............................... 2,847,180
2,000,000 6.85% due 09/12/05............................... 1,921,560
3,000,000 6.63% due 09/15/09............................... 2,821,410
3,500,000 6.50% due 08/15/04............................... 3,383,520
,500,000 6.50% due 06/01/15............................... ,424,175
4,000,000 6.25% due 12/13/02............................... 3,909,360
1,500,000 5.88% due 04/23/04............................... 1,420,785
2,000,000 5.81% due 03/02/04............................... 1,900,000
2,500,000 5.50% due 09/29/03............................... 2,368,750
500,000 Student Loan Marketing Association,
6.30% due 08/24/01, MTN.......................... 495,155
Tennessee Valley Authority:
2,500,000 6.75% due 11/01/25............................... 2,380,875
2,000,000 6.38% due 06/15/05............................... 1,909,380
3,000,000 6.00% due 03/15/13............................... 2,713,590
2,500,000 5.38% due 11/13/08............................... 2,162,900
--------------
72,395,939
--------------
UNITED STATES BONDS - 15.79%
United States Treasury Bonds:
1,800,000 9.00% due 11/15/18............................... 2,297,538
4,000,000 8.75% due 08/15/20............................... 5,056,240
3,000,000 8.50% due 02/15/20............................... 3,696,570
3,500,000 7.25% due 08/15/22............................... 3,866,940
1,000,000 6.13% due 11/15/27............................... 979,530
--------------
15,896,818
--------------
TOTAL UNITED STATES GOVERNMENT -
LONG-TERM
(Cost $96,161,385)................................ 93,904,617
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
CORPORATE SHORT-TERM -
COMMERCIAL PAPER - 7.93%
UTILITIES - COMMUNICATION - 3.97%
$ 4,000,000 GTE Corp.,
6.53% due 06/14/00.............................. $ 3,990,544
--------------
UTILITIES - ELECTRIC - 3.96%
4,000,000 Conectiv, Inc.,
6.75% due 06/14/00.............................. 3,990,223
--------------
TOTAL CORPORATE SHORT-TERM -
COMMERCIAL PAPER
(Cost $7,980,767)................................ 7,980,767
--------------
CORPORATE SHORT-TERM
REPURCHASE AGREEMENT - 8.08%
BANKS - OTHER - 8.08%
8,134,000 State Street Bank Repurchase Agreement,
6.30%, dated 05/31/00, to be repurchased at
$8,135,423 on 06/01/00, collateralized by U.S.
Treasury Bond, 5.25%, 02/15/29, with a par value
of $9,395,000 (Cost $8,134,000)................. 8,134,000
--------------
TOTAL CORPORATE SHORT-TERM
REPURCHASE AGREEMENT
(Cost $8,134,000)................................ 8,134,000
--------------
TOTAL INVESTMENTS
(Cost $116,839,520) - 113.82%.................... $ 114,554,856
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
70 May 31, 2000
INTERNATIONAL GOVERNMENT BOND FUND
Average Annual Total Return--Fund
<TABLE>
<S> <C> <C>
1 Year 5 Year Since Inception*
-------------------------------------------------------------------------------
(4.43)% 0.70% 6.00%
</TABLE>
* October 1, 1991
Growth of $10,000 Investment
Fiscal Year Ended May 31
Balanced Fund Salomon Bros
5/92 10,918 11,042
5/93 12,501 12,810
5/94 12,985 13,398
5/95 16,002 16,705
5/96 15,697 16,370
5/97 15,875 16,575
5/98 16,295 16,970
5/99 17,337 18,146
5/00 16,568 17,649
Past performance is not predictive of future performance.
The Fund returns reflect investment management fees and other Fund expenses. The
Fund returns do not reflect charges included in the annuity contract or variable
life policy for mortality and expense guarantees, administrative fees or
surrender charges.
Portfolio at a Glance
Total assets: $131,148,839
NAV on 05/31/00: $10.88
One year total return: (4.43)%
Net expense ratio: 0.52%
Inception date: 10/01/91
MANAGEMENT OVERVIEW
A discussion with portfolio manager
William Trimbur, Jr., CFA, CPA
How did the Fund perform relative to its benchmark?
The Fund moderately underperformed versus its Salomon Non-U.S. Dollar World
Government Bond Index benchmark, returning a negative 4.43% after fees and
expenses vs. the index return of a negative 2.74%.
How did bonds in this category perform over the past fiscal year?
Bonds generally had low but positive local market total returns. The Dollar had
another year of strength against most major currencies, and the Dollar's
strength overwhelmed unhedged bond positions.
What were the major developments in the fixed income market that enhanced the
Fund's performance?
The fund moved to a long duration position in many European nations, and this
worked well as reduced government issuance led to attractive performance from
long maturity bonds in the past six months.
Top 10 Holdings
<TABLE>
<C> <S> <C>
1. Government of Japan,
5.50% due 03/20/02....... 3.04%
2. Government of Japan,
3.00% due 09/20/05....... 2.10%
3. Government of Japan,
6.60% due 06/20/01....... 2.03%
4. Government of Japan,
4.20% due 09/21/15....... 1.97%
5. Government of Japan,
1.10% due 10/22/01....... 1.94%
6. Government of Japan,
3.20% due 03/20/06....... 1.69%
7. Government of Japan,
4.80% due 10/20/02....... 1.69%
8. Government of Japan,
1.40% due 11/20/03....... 1.56%
9. General Electric Capital
Corp.,
4.50% due 12/28/01....... 1.55%
10. Republic of Italy,
10.00% due 08/01/03...... 1.53%
</TABLE>
Portfolio holdings are subject to change.
What events were disappointing for the Fund?
The Fund remained underexposed to Japan from both currency and duration
standpoints. Japanese bonds performed unexpectedly well despite warnings from
Bank of Japan officials that zero short term interest rates and 1.7% long term
rates were both abnormal.
What do you see ahead in this segment of the fixed income market for the next
fiscal period?
Rising short term interest rates and reduced government bond issuance should
lead to yield curve reshaping. Successful anticipation of where the reshaping
takes place combined with allocation to strong currencies should distinguish
high from mid-pack performance.
/s/ William Trimbur, Jr.
William Trimbur, Jr., CFA, CPA
Portfolio Manager
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 INTERNATIONAL GOVERNMENT BOND FUND 71
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
GOVERNMENT BONDS - 83.64%
AUSTRALIA - 0.88%
Commonwealth:
A$ 500,000 7.50% due 07/15/05............................. $ 301,102
A$ 500,000 7.50% due 09/15/09............................. 310,053
A$ 1,000,000 Queensland Tys Cp,
6.00% due 06/14/11.............................. 540,863
--------------
1,152,018
--------------
AUSTRIA - 2.83%
Republic of Austria:
DM 1,000,000 7.25% due 05/03/07............................. 518,438
(Euro)145,346 7.13% due 07/12/04............................. 143,737
(Euro)145,346 7.00% due 05/16/05............................. 144,211
(Euro)145,346 6.50% due 11/17/05............................. 141,567
(Euro)436,038 6.25% due 05/31/06............................. 422,463
(Euro)218,019 5.63% due 07/15/07............................. 204,723
(Euro)322,285 5.50% due 01/18/04............................. 301,728
(Yen) 100MM 4.75% due 12/20/04............................. 1,084,119
(Yen) 50MM 4.50% due 09/28/05............................. 546,237
(Euro)218,019 4.38% due 02/28/02............................. 200,940
--------------
3,708,163
--------------
BELGIUM - 3.59%
Kingdom of Belgium:
(Euro)247,893 8.75% due 06/25/02............................. 247,299
(Euro)247,893 8.00% due 12/24/12............................. 279,978
(Euro)247,893 8.00% due 03/28/15............................. 284,927
(Euro)619,733 7.75% due 10/15/04............................. 630,794
(Euro)495,786 7.50% due 07/29/08............................. 519,899
(Euro)371,840 7.00% due 05/15/06............................. 373,724
(Euro)495,786 6.50% due 03/31/05............................. 484,098
(Euro)495,787 6.25% due 03/28/07............................. 482,064
(Euro)500,000 5.50% due 03/28/28............................. 448,516
(Euro)495,787 5.00% due 03/28/01............................. 463,562
(Euro)600,000 3.75% due 03/28/09............................. 490,638
--------------
4,705,429
--------------
CANADA - 4.11%
Government of Canada:
C$ 550,000 9.50% due 06/01/10............................. 459,376
C$ 500,000 9.00% due 06/01/25............................. 460,201
C$ 1,000,000 8.75% due 12/01/05............................. 744,556
C$ 1,000,000 8.50% due 04/01/02............................. 692,449
C$ 1,000,000 8.00% due 06/01/23............................. 832,692
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
CANADA - Continued
Government of Canada:
C$ 1,000,000 7.25% due 06/01/03........................... $ 685,039
C$ 1,000,000 7.00% due 12/01/06........................... 695,661
C$ 500,000 6.50% due 06/01/09........................... 336,558
C$ 750,000 5.50% due 06/01/09........................... 481,895
--------------
5,388,427
--------------
DENMARK - 2.54%
Kingdom of Denmark:
DK 2,500,000 8.00% due 05/15/03........................... 331,015
DK 3,000,000 8.00% due 03/15/06........................... 415,439
DK 5,500,000 7.00% due 12/15/04........................... 720,879
DK 1,250,000 7.00% due 11/10/24........................... 179,645
DK 5,000,000 6.00% due 11/15/02........................... 627,976
DK 2,500,000 6.00% due 11/15/09........................... 318,206
(Pounds)500,000 5.88% due 06/28/04........................... 729,548
--------------
3,322,708
--------------
FINLAND - 2.23%
Republic of Finland:
(Euro) 504,562 9.50% due 03/15/04........................... 538,093
(Euro) 504,563 7.25% due 04/18/06........................... 514,886
(Euro)5,000,000 7.00% due 06/15/04........................... 749,680
(Euro) 168,187 6.00% due 04/25/08........................... 163,124
(Euro)1,000,000 5.75% due 02/23/11........................... 954,594
--------------
2,920,337
--------------
FRANCE - 3.70%
Government of France:
(Euro) 228,673 8.50% due 12/26/12........................... 273,289
(Euro) 304,898 6.50% due 10/25/06........................... 301,835
(Euro)1,295,816 6.00% due 10/25/25........................... 1,259,706
(Euro) 304,898 5.50% due 04/25/04........................... 288,721
(Euro) 609,796 5.50% due 04/25/07........................... 576,021
(Euro)1,000,000 5.50% due 04/25/10........................... 942,279
(Euro) 457,347 5.50% due 04/25/29........................... 424,762
(Euro) 304,898 5.25% due 04/25/08........................... 281,610
(Euro) 600,000 4.00% due 10/25/09........................... 503,513
--------------
4,851,736
--------------
GERMANY - 7.88%
Federal Republic of Germany:
(Euro)1,022,583 7.50% due 09/09/04........................... 1,035,778
(Euro) 533,875 6.50% due 07/15/03........................... 517,055
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
GERMANY - Continued
Federal Republic of Germany:
(Euro)1,533,875 6.50% due 10/14/05........................... $ 1,515,030
(Euro) 511,291 6.25% due 04/26/06........................... 501,289
(Euro)1,022,583 6.25% due 01/04/24........................... 1,041,788
(Euro) 511,291 6.00% due 01/05/06........................... 494,420
(Euro)1,533,875 6.00% due 01/04/07........................... 1,488,269
(Euro)1,022,583 6.00% due 06/20/16........................... 1,023,185
(Euro) 600,000 5.38% due 01/04/10........................... 565,256
(Euro)1,511,291 4.75% due 07/04/28........................... 1,267,553
(Euro)1,000,000 Kreditanst Fur Wie,
3.50% due 07/15/04........................... 870,582
--------------
10,320,205
--------------
IRELAND - 0.81%
Republic of Ireland:
(Euro) 126,973 8.25% due 08/18/15........................... 151,546
(Euro) 126,973 8.00% due 08/18/06........................... 134,025
(Euro) 190,460 6.50% due 10/18/01........................... 181,297
(Euro) 190,460 6.25% due 10/18/04........................... 182,576
(Euro) 500,000 4.00% due 04/18/10........................... 413,763
--------------
1,063,207
--------------
ITALY - 8.73%
Republic of Italy:
(Euro) 516,456 12.00% due 01/01/02.......................... 529,673
(Euro) 258,228 10.50% due 04/01/05.......................... 291,771
(Euro) 258,228 10.50% due 09/01/05.......................... 295,673
(Euro)1,755,950 10.00% due 08/01/03.......................... 1,858,389
(Euro) 258,228 9.50% due 01/01/05........................... 280,664
(Euro) 258,228 9.50% due 02/01/06........................... 287,820
(Euro)1,032,912 9.00% due 11/01/23........................... 1,339,481
(Euro) 516,456 8.50% due 04/01/04........................... 533,046
(Euro) 774,684 8.50% due 08/01/04........................... 804,050
(Euro) 774,684 6.75% due 02/01/07........................... 773,261
(Euro) 258,228 6.25% due 03/01/02........................... 245,371
(Euro)1,032,912 5.75% due 09/15/02........................... 975,026
(Euro)1,350,000 5.25% due 11/01/29........................... 1,158,976
(Euro) 500,000 5.00% due 02/15/03........................... 463,489
(Euro)1,032,912 5.00% due 05/01/08........................... 934,801
(Euro) 758,228 4.50% due 05/01/09........................... 656,527
--------------
11,428,018
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
72 May 31, 2000
INTERNATIONAL GOVERNMENT BOND FUND
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
JAPAN - 27.22%
Government of Japan:
(Yen) 250MM 6.60% due 06/20/01............................. $ 2,469,245
(Yen) 365MM 5.50% due 03/20/02............................. 3,702,460
(Yen) 120MM 5.00% due 12/20/02............................. 1,238,271
(Yen) 100MM 5.00% due 09/21/09............................. 1,196,927
(Yen) 100MM 5.00% due 03/20/15............................. 1,289,058
(Yen) 200MM 4.80% due 12/20/02............................. 2,053,201
(Yen) 127MM 4.50% due 06/20/03............................. 1,312,272
(Yen) 75MM 4.50% due 12/20/04............................. 806,696
(Yen) 150MM 4.40% due 09/22/03............................. 1,555,917
(Yen) 200MM 4.20% due 09/21/15............................. 2,395,952
(Yen) 150MM 4.10% due 06/21/04............................. 1,573,952
(Yen) 100MM 3.90% due 06/21/04............................. 1,038,578
(Yen) 100MM 3.80% due 09/20/16............................. 1,157,319
(Yen) 100MM 3.30% due 06/20/06............................. 1,034,957
(Yen) 200MM 3.20% due 03/20/06............................. 2,056,729
(Yen) 250MM 3.00% due 09/20/05............................. 2,550,299
(Yen) 150MM 2.90% due 12/20/05............................. 1,525,974
(Yen) 100MM 2.70% due 03/20/07............................. 1,003,574
(Yen) 150MM 2.00% due 12/20/07............................. 1,432,106
(Yen) 200MM 1.40% due 11/20/03............................. 1,897,219
(Yen) 250MM 1.10% due 10/22/01............................. 2,364,560
--------------
35,655,266
--------------
NETHERLANDS - 4.09%
Government of the Netherlands:
(Euro)680,670 7.75% due 03/01/05............................. 700,439
(Euro)340,335 7.50% due 01/15/23............................. 394,513
(Euro)907,560 6.50% due 04/15/03............................. 875,919
(Euro)680,670 6.00% due 01/15/06............................. 656,940
(Euro)907,560 5.75% due 01/15/04............................. 862,795
(Euro)488,794 5.75% due 02/15/07............................. 466,737
(Euro)275,144 5.50% due 07/15/10............................. 259,314
(Euro)275,000 5.50% due 01/15/28............................. 255,535
(Euro)500,000 3.75% due 07/15/09............................. 413,530
(Euro)517,803 3.00% due 02/15/02............................. 467,626
--------------
5,353,348
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
PORTUGAL - 2.14%
Republic of Portugal:
(Euro) 457,347 6.63% due 05/13/08........................... $ 451,109
(Euro) 374,098 5.38% due 06/23/08........................... 346,048
(Euro) 374,098 4.81% due 04/23/03........................... 345,001
(Euro)2,000,000 3.95% due 07/15/09........................... 1,655,053
--------------
2,797,211
--------------
SPAIN - 4.51%
Government of Spain:
(Euro)2,000,000 6.50% due 06/20/01........................... 288,565
(Euro)1,416,705 6.00% due 01/31/08........................... 1,363,811
(Euro) 601,012 6.00% due 01/31/29........................... 582,330
(Euro) 559,782 5.15% due 07/30/09........................... 506,581
(Euro) 977,606 5.00% due 01/31/01........................... 913,061
(Euro) 989,385 4.50% due 07/30/04........................... 897,109
(Euro) 400,000 4.00% due 01/31/10........................... 332,615
(Euro) 425,000 3.25% due 01/31/05........................... 363,396
(Euro) 750,000 3.00% due 01/31/03........................... 663,397
--------------
5,910,865
--------------
SWEDEN - 1.83%
Kingdom of Sweden:
SK 3,000,000 9.00% due 04/20/09........................... 422,919
SK 5,000,000 6.75% due 05/05/14........................... 640,750
SK 2,000,000 6.50% due 10/25/06........................... 236,912
SK 3,500,000 6.50% due 05/05/08........................... 420,280
SK 3,000,000 6.00% due 02/09/05........................... 343,711
SK 3,000,000 5.50% due 04/12/02........................... 336,719
--------------
2,401,291
--------------
SWITZERLAND - 0.67%
Government of Switzerland:
Chf 500,000 4.50% due 07/08/02........................... 300,059
Chf 500,000 4.50% due 04/08/06........................... 304,354
Chf 500,000 4.00% due 04/08/28........................... 272,512
--------------
876,925
--------------
UNITED KINGDOM - 4.47%
Government of United Kingdom:
(Pounds)400,000 9.00% due 10/13/08........................... 740,342
(Pounds)250,000 9.00% due 07/12/11........................... 491,041
(Pounds)500,000 8.00% due 12/07/15........................... 993,908
(Pounds)500,000 8.00% due 06/07/21........................... 1,074,363
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
UNITED KINGDOM - Continued
Government of United Kingdom:
(Pounds)1,000,000 7.50% due 12/07/06......................... $ 1,646,534
(Pounds) 584,250 5.75% due 12/07/09......................... 912,138
--------------
5,858,326
--------------
UNITED STATES - 1.41%
Federal National Mortgage Association:
(Pounds) 750,000 6.88% due 06/07/02......................... 1,126,342
(Pounds) 500,000 5.50% due 12/07/03......................... 720,508
--------------
1,846,850
--------------
TOTAL GOVERNMENT BONDS
(Cost $119,594,367)......................... 109,560,370
--------------
SUPRANATIONAL - 2.31%
Ff 1,600,000 Eurofima,
9.25% due 12/18/03......................... 253,938
European Investment Bank:
Lit 1,100MM 10.50% due 02/07/02........................ 573,948
Ff 2,000,000 6.13% due 10/08/04......................... 291,239
(Yen) 100MM 3.00% due 09/20/06......................... 1,029,015
International Bank for
Reconstruction & Development:
Lit 150MM 10.80% due 11/13/01........................ 77,799
Lit 200MM 9.45% due 08/11/03......................... 107,226
(Pounds) 400,000 9.25% due 07/20/07......................... 688,760
--------------
TOTAL SUPRANATIONAL
(Cost $3,275,541)........................... 3,021,925
--------------
CORPORATE BONDS - 6.94%
FRANCE - 4.46%
Credit Local de France:
Lit 1,000MM 9.00% due 06/14/01......................... 500,061
Ff 5,000,000 8.88% due 06/10/02......................... 757,396
Ff 8,000,000 6.25% due 09/27/05......................... 1,163,192
Ff 4,000,000 6.00% due 11/15/01......................... 574,172
Ff 10,000,000 Elf Aquitaine SA,
7.13% due 08/11/03......................... 1,484,355
Ff 3,000,000 Toyota Motor Credit,
6.25% due 04/11/02......................... 432,549
(Yen) 100MM 1.00% due 12/20/04......................... 925,212
--------------
5,836,937
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 INTERNATIONAL GOVERNMENT BOND FUND 73
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
UNITED STATES - 2.48%
General Electric Capital Corp.:
(Pounds)1,000,000 5.25% due 12/07/28......................... $ 1,365,614
DM 4,000,000 4.50% due 12/28/01......................... 1,885,047
--------------
3,250,661
--------------
TOTAL CORPORATE BONDS
(Cost $11,043,339).......................... 9,087,598
--------------
TOTAL INVESTMENTS
(Cost $133,913,247) - 92.89%................ $ 121,669,893
--------------
</TABLE>
<TABLE>
<CAPTION>
Currency Legend
---------------
<C> <S>
A$ Australian Dollar
C$ Canadian Dollar
DK Danish Krone
(Euro) Euro Dollar
Ff French Franc
DM German Deutschemark
Lit Italian Lira
(Yen) Japanese Yen
SK Swedish Krona
Chf Swiss Franc
(Pounds) United Kingdom Pound
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
74 MONEY MARKET FUND May 31, 2000
Average Annual Total Return--Fund
<TABLE>
<S> <C> <C>
1 Year 5 Year 10 Year
-------------------------------------------------------------------------------
5.21% 5.12% 4.77%
</TABLE>
Growth of $10,000 Investment
Fiscal Year Ended May 31
Balanced Fund NYC 30-day CD
------------- -------------
5/91 10,711 10,724
5/92 11,190 11,188
5/93 11,509 11,501
5/94 11,834 11,816
5/95 12,414 12,340
5/96 13,067 12,922
5/97 13,723 13,519
5/98 14,443 14,169
5/99 15,142 14,801
5/00 15,931 15,488
Past performance is not predictive of future performance.
The Fund returns reflect investment management fees and other Fund expenses. The
Fund returns do not reflect charges included in the annuity contract or variable
life policy for mortality and expense guarantees, administrative fees or
surrender charges.
Portfolio at a Glance
Total assets: $488,126,050
NAV on 05/31/00: $1.00
One year total return: 5.21%
Net expense ratio: 0.56%
Inception date: 01/16/86
MANAGEMENT OVERVIEW
A discussion with portfolio manager
Teresa Moro
How did the Fund perform relative to its benchmark?
Over the one year period ending May 31, 2000, the Fund return was 5.21%,
outperforming its benchmark, 30 Day Certificate of Deposit Primary Offering
Rate by New York City Banks, by 0.56%.
How did mutual funds in this category perform over the past fiscal year?
The return for the Fund for the one-year period ending May 31, 2000 was 5.21%
net of fees and expenses. The average return for the Fund's Lipper peer group
was 5.22%.
What were the major developments in the short term fixed income market that
enhanced the Fund's performance?
The greatest influence in the money market arena over the past year was the
incremental tightening policy executed by the Federal Reserve. The Federal
Reserve raised the Fed Funds rate from 4.75% to 6.50% or 175 basis points
during the year. The portfolio maintained a short-weighted average maturity
over this period.
Top 10 Holdings
<TABLE>
<C> <S> <C>
1. Bellsouth
Telecommunications, Inc.,
6.50% due 07/05/00....... 2.93%
2. Fortune Brands, Inc.,
6.53% due 08/01/00....... 2.33%
3. Cooper Industries, Inc.,
6.85% due 06/01/00....... 2.31%
4. Countrywide Home Loans,
Inc.,
6.83% due 08/08/00....... 2.29%
5. Ford Credit Europe, Plc.,
6.49% due 06/21/00....... 2.29%
6. IBM Credit Corp.,
6.43% due 06/08/00....... 2.23%
7. Colgate-Palmolive Co.,
6.48% due 06/19/00....... 2.18%
8. Salomon Smith Barney
Holdings,
6.05% due 06/12/00....... 2.07%
9. Cardinal Health, Inc.,
6.51% due 06/16/00....... 2.07%
10. BankOne,
6.54% due 07/11/00....... 2.06%
</TABLE>
Portfolio holdings are subject to change.
What events were disappointing for the Fund?
Anticipating a volatile century transition period, the Fund maintained a larger
cash position over the calendar year end than was necessary. Due to high cash
balances across the industry and very little product, repo traded as low as 1%
during the last week of the year. Those low yields impacted returns.
What do you see ahead in this segment of the fixed income market for the next
fiscal period?
As the higher interest rates make their way through the economy, the economy
will gradually show signs of slower growth with minor inflation pressures,
prompting a reversal in the interest rate policy.
/s/ Teresa Moro
Teresa Moro
Portfolio Manager
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 MONEY MARKET FUND 75
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORPORATE SHORT-TERM - COMMERCIAL PAPER - 99.42%
BANKS - NEW YORK CITY - 2.03%
CitiCorp.:
$4,900,000 6.53% due 07/06/00................................ $ 4,868,835
5,000,000 6.40% due 06/05/00................................ 4,996,432
--------------
9,865,267
--------------
BANKS - OTHER - 3.28%
Bank of America Corp.:
2,000,000 9.70% due 08/01/00................................ 2,008,460
5,000,000 6.03% due 08/14/00................................ 4,936,905
7,000,000 5.90% due 06/13/00................................ 6,985,985
2,000,000 5.70% due 02/12/01................................ 1,984,729
--------------
15,916,079
--------------
BANKS - REGIONAL - 3.89%
Bank One:
6,000,000 6.61% due 07/17/00................................ 5,949,267
10,000,000 6.54% due 07/11/00................................ 9,927,201
3,000,000 6.08% due 06/13/00................................ 2,993,856
--------------
18,870,324
--------------
BEVERAGE - SOFT DRINKS - 4.00%
9,338,000 Coca-Cola Co.,
6.09% due 06/01/00................................ 9,338,000
Coca-Cola Enterprises, Inc.:
7,300,000 6.37% due 06/06/00................................ 7,293,514
2,804,000 6.08% due 07/05/00................................ 2,787,748
--------------
19,419,262
--------------
CHEMICAL - MAJOR - 2.88%
E.I. du Pont de Nemours and Co.:
6,015,000 6.45% due 06/20/00................................ 5,994,473
1,600,000 6.10% due 07/07/00................................ 1,590,148
6,400,000 PPG Industries, Inc.,
6.48% due 06/30/00................................ 6,366,580
--------------
13,951,201
--------------
CONGLOMERATES - 3.74%
Fortune Brands, Inc.:
7,000,000 6.55% due 07/26/00................................ 6,929,773
11,337,000 6.53% due 08/01/00................................ 11,211,033
--------------
18,140,806
--------------
CONSUMER FINANCE - 4.11%
Countrywide Home Loans, Inc.:
11,050,000 6.83% due 08/08/00................................ 11,054,158
4,000,000 6.46% due 07/27/00................................ 4,000,000
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
CONSUMER FINANCE - (Continued)
$4,900,000 Sears Roebuck Acceptance Corp.,
6.00% due 06/05/00................................ $ 4,896,685
--------------
19,950,843
--------------
ENTERTAINMENT - 0.44%
2,149,000 Walt Disney Co.,
5.79% due 06/02/00................................ 2,148,647
--------------
FINANCE COMPANIES - 15.38%
3,677,000 Caterpillar Financial Services Corp.,
5.97% due 07/18/00................................ 3,647,834
8,000,000 Ciesco L. P.,
6.03% due 06/09/00................................ 7,989,188
Ford Credit Europe, Plc.:
11,337,000 6.49% due 06/21/00................................ 11,019,020
4,237,000 6.49% due 06/23/00................................ 4,221,701
General Electric Capital Services, Inc.:
6,800,000 6.55% due 07/07/00................................ 6,755,354
8,823,000 6.36% due 06/07/00................................ 8,813,608
4,000,000 5.91% due 06/06/00................................ 3,996,669
2,000,000 General Motors Acceptance Corp.,
6.38% due 06/06/00................................ 2,000,250
10,766,000 IBM Credit Corp.,
6.43% due 06/08/00................................ 10,752,518
5,430,000 International Lease Finance Corp.,
6.03% due 06/09/00................................. 5,422,664
10,000,000 Salomon Smith Barney Holdings,
6.05% due 06/12/00................................. 9,981,351
--------------
74,600,157
--------------
FINANCIAL SERVICES - 0.62%
3,000,000 Household Finance Corp.,
6.93% due 07/17/00................................. 2,999,944
--------------
FOODS - 1.44%
2,350,000 Archer Daniels Midland Co.,
5.90% due 06/06/00................................. 2,348,046
4,640,000 Kellogg Co.,
6.06% due 06/05/00................................. 4,636,853
--------------
6,984,899
--------------
GOVERNMENT SPONSORED - 4.92%
1,936,000 Federal Farm Credit Bank,
5.70% due 07/12/00................................. 1,923,142
Federal National Mortgage Association:
1,100,000 8.25% due 12/18/00................................. 1,109,767
8,000,000 5.72% due 08/03/00................................. 7,963,522
6,000,000 5.70% due 08/03/00................................. 5,938,940
2,000,000 4.95% due 12/04/00................................. 1,986,123
5,000,000 Province of British Columbia,
6.00% due 08/09/00................................. 4,941,476
--------------
23,862,970
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
-------------------------------------------------------------------------------
HARDWARE & TOOLS - 2.77%
Snap-on, Inc.:
$ 6,500,000 6.54% due 07/07/00............................... $ 6,457,381
7,000,000 6.07% due 06/02/00............................... 6,998,808
--------------
13,456,189
--------------
HEALTHCARE - 7.65%
Baxter International, Inc.:
1,400,000 6.61% due 07/05/00............................... 1,391,250
5,150,000 6.53% due 06/20/00............................... 5,132,219
7,900,000 6.52% due 06/15/00............................... 7,879,911
1,910,000 6.12% due 06/12/00............................... 1,906,401
2,800,000 6.05% due 06/12/00............................... 2,794,780
Cardinal Health, Inc.:
10,000,000 6.51% due 06/16/00............................... 9,972,801
8,041,000 6.11% due 06/21/00............................... 8,013,429
--------------
37,090,791
--------------
HOSPITAL SUPPLIES - 1.44%
7,000,000 Abbott Laboratories,
6.45% due 06/29/00............................... 6,964,833
--------------
HOUSEHOLD PRODUCTS - 2.17%
10,540,000 Colgate-Palmolive Co.,
6.48% due 06/19/00............................... 10,505,758
--------------
INSURANCE - LIFE - 2.42%
Jefferson-Pilot Corp.:
5,000,000 6.19% due 10/31/00............................... 4,868,080
7,000,000 6.12% due 09/07/00............................... 6,881,605
--------------
11,749,685
--------------
INSURANCE - MULTILINE - 3.22%
Aon Corp.:
2,000,000 6.65% due 07/07/00............................... 1,986,698
8,000,000 6.57% due 06/13/00............................... 7,982,438
4,600,000 6.11% due 06/12/00............................... 4,591,337
1,044,000 Marsh & McLennan Companies, Inc.,
6.47% due 06/21/00............................... 1,040,243
--------------
15,600,716
--------------
MACHINERY -
INDUSTRIAL/ SPECIALTY - 5.89%
Cooper Industries, Inc.:
11,143,000 6.85% due 06/01/00............................... 11,143,000
5,000,000 6.42% due 06/30/00............................... 4,974,003
Dover Corp.:
8,600,000 6.85% due 02/28/01............................... 8,600,000
3,800,000 6.43% due 06/08/00............................... 3,795,232
--------------
28,512,235
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
76 MONEY MARKET FUND May 31, 2000
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
MERCHANDISING - FOOD - 2.94%
Albertson's, Inc.:
$ 9,304,000 6.50% due 06/22/00............................... $ 9,268,659
5,000,000 6.50% due 07/14/00............................... 4,999,155
--------------
14,267,814
--------------
MERCHANDISING - MASS - 1.95%
9,515,000 Wal-Mart Stores, Inc.,
6.47% due 06/27/00............................... 9,470,434
--------------
MISCELLANEOUS - 0.97%
4,700,000 CVS Corp.,
6.35% due 06/22/00............................... 4,682,495
--------------
PHOTOGRAPHY - 2.04%
Eastman Kodak Co.:
2,200,000 6.18% due 07/14/00............................... 2,183,657
7,700,000 6.01% due 06/07/00............................... 7,692,186
--------------
9,875,843
--------------
SECURITIES RELATED - 8.06%
Bear Stearns Co., Inc.:
5,000,000 6.67% due 02/09/01............................... 5,000,000
3,000,000 6.46% due 06/12/00............................... 3,000,000
Merrill Lynch & Co.:
5,000,000 6.55% due 07/06/00............................... 4,968,148
3,100,000 6.49% due 06/23/00............................... 3,087,670
4,973,000 6.19% due 06/05/00............................... 4,969,561
1,130,000 6.10% due 06/26/00............................... 1,125,183
295,000 5.95% due 06/12/00............................... 294,455
4,500,000 5.80% due 06/15/00............................... 4,489,566
Morgan Stanley Dean Witter Co.:
7,000,000 6.54% due 07/18/00............................... 6,940,079
5,170,000 6.50% due 06/16/00............................... 5,155,960
--------------
39,030,622
--------------
UTILITIES - COMMUNICATION - 7.96%
5,000,000 Bell Atlantic Corp.,
6.30% due 06/27/00............................... 4,977,126
14,200,000 Bellsouth Telecommunications, Inc.,
6.50% due 07/05/00............................... 14,112,591
GTE Corp.:
8,600,000 6.53% due 06/19/00............................... 8,571,839
1,565,000 6.46% due 06/14/00............................... 1,561,335
4,400,000 6.43% due 06/07/00............................... 4,395,264
5,000,000 6.16% due 12/11/00............................... 4,997,942
--------------
38,616,097
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
--------------------------------------------------------------------------------
UTILITIES - ELECTRIC - 3.21%
$ 4,900,000 Conectiv, Inc.,
6.80% due 06/14/00............................... $ 4,887,950
8,000,000 Pacific Gas & Electric Co.,
6.47% due 06/09/00............................... 7,988,485
2,697,000 Southern California Edison Co.,
6.12% due 06/22/00............................... 2,687,311
--------------
15,563,746
--------------
TOTAL CORPORATE SHORT-TERM COMMERCIAL PAPER
(Cost $482,097,657).............................. 482,097,657
--------------
TOTAL INVESTMENTS
(Cost $482,097,657) - 99.42%..................... $ 482,097,657
--------------
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
May 31, 2000 STATEMENTS OF ASSETS AND LIABILITIES 77
<TABLE>
<CAPTION>
STOCK MIDCAP SMALL CAP INTERNATIONAL GROWTH & SCIENCE &
INDEX INDEX INDEX EQUITIES GROWTH INCOME TECHNOLOGY
FUND FUND FUND FUND FUND FUND FUND
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at
cost............. $2,633,839,775 $ 831,281,937 $ 215,750,933 $ 120,447,523 $1,062,917,543 $ 282,929,467 $2,805,563,226
-------------- -------------- -------------- -------------- -------------- -------------- --------------
Investments, at
market........... $5,374,222,287 $ 919,416,712 $ 228,597,362 $ 161,117,576 $1,138,615,591 $ 329,820,480 $3,334,005,912
Cash............. 151,283 4,151 809 10,283,024 937 344 2,203
Receivable for:
Investments
sold............ - 6,864,120 227,900 - - - 5,506,615
Fund shares
sold............ 1,054,193 114,115 - 3,235 - 3,959 3,408,784
Dividends and
interest........ 6,933,502 988,672 178,942 465,876 919,224 553,651 14,921
Other assets..... 85,297 13,754 1,166 193,268 1,996 631 5,650
-------------- -------------- -------------- -------------- -------------- -------------- --------------
TOTAL ASSETS..... 5,382,446,562 927,401,524 229,006,179 172,062,979 1,139,537,748 330,379,065 3,342,944,085
-------------- -------------- -------------- -------------- -------------- -------------- --------------
LIABILITIES:
Payable for:
Investments
purchased....... 4,278,561 3,520,232 - 1,016,201 2,201,714 - 22,841,003
Capital stock
reacquired...... 1,087,769 343,534 140,398 8,009,847 367,980 252,714 -
Directors
retirement
plan............ 422,432 72,677 1,701 13,816 114,123 28,239 146,621
Daily variation
margin on
futures
contracts....... 202,410 113,030 74,375 - - 20,316 -
Payable to
affiliates:
Advisory fees... 2,337,637 464,967 138,407 96,634 1,555,117 420,819 5,195,796
Accounting
services........ 409,629 66,813 18,951 24,126 89,500 26,096 280,525
Accrued expenses
and other
liabilities...... 516,604 141,387 30,097 61,903 126,363 42,847 428,557
-------------- -------------- -------------- -------------- -------------- -------------- --------------
TOTAL
LIABILITIES...... 9,255,042 4,722,640 403,929 9,222,527 4,454,797 791,031 28,892,502
-------------- -------------- -------------- -------------- -------------- -------------- --------------
NET ASSETS....... $5,373,191,520 $ 922,678,884 $ 228,602,250 $ 162,840,452 $1,135,082,951 $ 329,588,034 $3,314,051,583
-------------- -------------- -------------- -------------- -------------- -------------- --------------
-------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
REPRESENTED BY:
Capital stock ... $ 1,250,033 $ 388,886 $ 145,964 $ 129,802 $ 486,853 $ 156,649 $ 805,644
Additional paid
in capital....... 2,490,922,681 615,828,314 188,076,967 105,912,493 730,006,467 227,738,892 2,151,266,875
Undistributed net
realized gain on
securities....... 139,571,518 217,895,811 28,958,240 15,765,548 328,694,482 54,898,586 633,515,118
Undistributed net
investment income
(accumulated
loss)............ 1,459,451 123,923 - 361,889 197,101 76,769 -
Unrealized
appreciation
(depreciation)
of:
Investments..... 2,740,382,512 88,134,775 12,846,429 40,670,053 75,698,048 46,891,013 528,442,686
Futures
contracts....... (394,675) 307,175 (1,425,350) - - (173,875) -
Forward currency
contracts....... - - - (2,297) - - (10,667)
Foreign currency
translation..... - - - 2,964 - - 31,927
-------------- -------------- -------------- -------------- -------------- -------------- --------------
NET ASSETS
APPLICABLE
TO SHARES
OUTSTANDING..... $5,373,191,520 $ 922,678,884 $ 228,602,250 $ 162,840,452 $1,135,082,951 $ 329,588,034 $3,314,051,583
-------------- -------------- -------------- -------------- -------------- -------------- --------------
-------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARES:
Authorized (par
value $0.01 per
share).......... 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000
Outstanding..... 125,003,335 38,888,582 14,596,368 12,980,233 48,685,316 15,664,913 80,564,415
NET ASSET VALUE,
OFFERING AND
REDEMPTION PRICE
PER SHARE....... $ 42.98 $ 23.73 $ 15.66 $ 12.55 $ 23.31 $ 21.04 $ 41.14
SEE NOTES TO FINANCIAL STATEMENTS.
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
78 May 31, 2000
STATEMENTS OF ASSETS AND LIABILITIES - CONTINUED
<TABLE>
<CAPTION>
SOCIAL ASSET CAPITAL GOVERNMENT INTERNATIONAL MONEY
AWARENESS ALLOCATION CONSERVATION SECURITIES GOVERNMENT MARKET
FUND FUND FUND FUND BOND FUND FUND
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at cost.... $ 460,072,480 $ 194,716,891 $ 59,548,527 $ 116,839,520 $ 133,913,247 $ 482,097,657
-------------- -------------- -------------- -------------- -------------- --------------
Investments, at market.. $ 582,081,269 $ 244,189,122 $ 57,504,147 $ 114,554,856 $ 121,669,893 $ 482,097,657
Cash (overdraft)........ 338 793 889 204 (580,584) 643
Receivable for:
Investments sold....... - 1,756,964 967,534 2,027 - -
Fund shares sold....... 400,955 - - 5,251 7,311,225 5,591,550
Dividends and
interest............... 659,954 1,280,067 841,480 1,459,523 2,706,121 430,394
Other assets............ 3,106 15,207 3,932 2,328 42,184 5,806
-------------- -------------- -------------- -------------- -------------- --------------
TOTAL ASSETS............ 583,145,622 247,242,153 59,317,982 116,024,189 131,148,839 488,126,050
-------------- -------------- -------------- -------------- -------------- --------------
LIABILITIES:
Payable for:
Investments purchased.. - 10,132,755 8,214,819 15,179,698 - 2,073,666
Capital stock
reacquired............. - 36,798 517,608 81,234 - 591,230
Directors retirement
plan................... 46,998 22,844 6,016 10,245 14,967 30,432
Daily variation margin
on futures contracts... 94,066 - - - - -
Payable to affiliates:
Advisory fees.......... 491,959 201,251 43,198 84,964 106,277 407,206
Accounting services.... 44,924 18,522 4,206 8,047 17,851 37,026
Accrued expenses and
other liabilities....... 64,682 26,360 6,905 11,856 31,532 52,137
-------------- -------------- -------------- -------------- -------------- --------------
TOTAL LIABILITIES....... 742,629 10,438,530 8,792,752 15,376,044 170,627 3,191,697
-------------- -------------- -------------- -------------- -------------- --------------
NET ASSETS.............. $ 582,402,993 $ 236,803,623 $ 50,525,230 $ 100,648,145 $ 130,978,212 $ 484,934,353
-------------- -------------- -------------- -------------- -------------- --------------
-----------------------------------------------------------------------------------------------------------------------
NET ASSETS REPRESENTED
BY:
Capital stock .......... $ 235,094 $ 161,350 $ 57,561 $ 105,812 $ 120,436 $ 4,849,344
Additional paid in
capital................. 448,503,157 169,074,019 55,482,025 105,746,215 142,714,336 480,085,009
Undistributed net
realized gain
(accumulated loss) on
securities.............. 11,815,836 17,982,808 (2,979,084) (2,940,750) 440,981 -
Undistributed net
investment income....... 167,742 113,215 9,108 21,532 54,326 -
Unrealized appreciation
(depreciation) of:
Investments............ 122,008,789 49,472,231 (2,044,380) (2,284,664) (12,243,354) -
Futures contracts...... (327,625) - - - - -
Forward currency
contracts.............. - - - - - -
Foreign currency
translation............ - - - - (108,513) -
-------------- -------------- -------------- -------------- -------------- --------------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.. $ 582,402,993 $ 236,803,623 $ 50,525,230 $ 100,648,145 $ 130,978,212 $ 484,934,353
-------------- -------------- -------------- -------------- -------------- --------------
-----------------------------------------------------------------------------------------------------------------------
CAPITAL SHARES:
Authorized (par value
$0.01 per share)....... 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000 1,000,000,000
Outstanding............ 23,509,444 16,135,008 5,756,134 10,581,206 12,043,565 484,934,353
NET ASSET VALUE,
OFFERING AND REDEMPTION
PRICE PER SHARE........ $ 24.77 $ 14.68 $ 8.78 $ 9.51 $ 10.88 $ 1.00
SEE NOTES TO FINANCIAL STATEMENTS.
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
For the Fiscal Year Ended May 31, 2000 79
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
STOCK MIDCAP SMALL CAP INTERNATIONAL GROWTH & SCIENCE &
INDEX INDEX INDEX EQUITIES GROWTH INCOME TECHNOLOGY
FUND FUND FUND FUND FUND FUND FUND
<S> <C> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends (net of
foreign withholding
taxes of $368,015 for
the International
Equities Fund).......... $ 62,465,248 $ 9,923,474 $ 3,011,930 $ 2,529,203 $ 8,667,889 $ 4,388,786 $ 2,533,717
Interest................ 3,170,968 954,569 488,320 79,098 1,747,417 483,051 13,387,201
------------ ------------ ----------- ----------- ------------ ----------- ------------
Total investment
income................. 65,636,216 10,878,043 3,500,250 2,608,301 10,415,306 4,871,837 15,920,918
------------ ------------ ----------- ----------- ------------ ----------- ------------
EXPENSES:
Advisory fees........... 13,283,779 2,636,451 805,325 570,981 9,575,104 2,428,870 25,760,947
Custodian fees.......... 379,151 55,255 16,385 24,151 80,886 22,547 176,043
Registration and filing
fees.................... 8,338 44,229 2,450 4,798 7,697 9,402 78,923
Audit fees and tax
services................ 71,431 8,364 3,188 5,162 14,578 4,585 66,388
Accounting services..... 1,534,054 256,374 69,028 50,347 359,066 97,155 858,698
Directors' fees and
expenses................ 96,487 20,578 5,493 2,922 30,434 1,968 48,116
Miscellaneous........... 673,956 107,620 25,142 7,272 150,440 39,643 352,623
------------ ------------ ----------- ----------- ------------ ----------- ------------
Total expenses......... 16,047,196 3,128,871 927,011 665,633 10,218,205 2,604,170 27,341,738
------------ ------------ ----------- ----------- ------------ ----------- ------------
NET INVESTMENT INCOME
(LOSS).................. 49,589,020 7,749,172 2,573,239 1,942,668 197,101 2,267,667 (11,420,820)
------------ ------------ ----------- ----------- ------------ ----------- ------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
SECURITIES AND FOREIGN
CURRENCIES:
Net realized gain (loss)
on securities and
foreign currencies:
Investments............ 135,075,363 217,689,716 29,336,425 16,318,251 328,698,935 56,526,100 668,446,755
Futures contracts...... 4,008,733 1,808,914 (210,517) - - (1,059,571) -
Foreign currency
transaction............ - - - 117,365 - - (698,244)
------------ ------------ ----------- ----------- ------------ ----------- ------------
139,084,096 219,498,630 29,125,908 16,435,616 328,698,935 55,466,529 667,748,511
------------ ------------ ----------- ----------- ------------ ----------- ------------
Net unrealized
appreciation
(depreciation) of
securities and foreign
currencies during the
year:
Investments............ 292,762,446 (60,554,985) (9,868,605) 7,566,868 (318,289,400) (29,261,797) 228,389,060
Futures contracts...... 986,555 249,565 (1,416,525) - - (122,125) -
Forward currency
contracts.............. - - - 17,533 - - (10,667)
Foreign currency
translation............ - - - 12,290 - - 31,927
------------ ------------ ----------- ----------- ------------ ----------- ------------
293,749,001 (60,305,420) (11,285,130) 7,596,691 (381,289,400) (29,383,922) 228,410,320
------------ ------------ ----------- ----------- ------------ ----------- ------------
Net realized and
unrealized gain on
securities and foreign
currencies during the
year.................. 432,833,097 159,193,210 17,840,778 24,032,307 10,409,535 26,082,607 896,158,831
------------ ------------ ----------- ----------- ------------ ----------- ------------
INCREASE IN NET ASSETS
RESULTING FROM
OPERATIONS............. $482,422,117 $166,942,382 $20,414,017 $25,974,975 $ 10,606,636 $28,350,274 $884,738,011
------------ ------------ ----------- ----------- ------------ ----------- ------------
SEE NOTES TO FINANCIAL STATEMENTS.
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
80 For the Fiscal Year Ended May 31, 2000
STATEMENTS OF OPERATIONS - CONTINUED
<TABLE>
<CAPTION>
SOCIAL ASSET CAPITAL GOVERNMENT INTERNATIONAL MONEY
AWARENESS ALLOCATION CONSERVATION SECURITIES GOVERNMENT MARKET
FUND FUND FUND FUND BOND FUND FUND
<S> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends............... $ 7,182,192 $ 1,724,715 $ - $ - $ - $ -
Interest (net of foreign
withholding taxes of
$140,392 for the
International Government
Bond Fund).............. 560,441 7,122,355 4,180,469 6,383,932 6,729,067 25,885,580
----------- ----------- ----------- ----------- ------------ -----------
Total investment
income................. 7,742,633 8,847,070 4,180,469 6,383,932 6,729,067 25,885,580
----------- ----------- ----------- ----------- ------------ -----------
EXPENSES:
Advisory fees........... 2,883,456 1,254,274 287,542 509,656 703,610 2,266,773
Custodian fees.......... 34,826 17,246 5,898 7,468 11,606 27,225
Registration and filing
fees.................... 4,103 489 994 1,153 3,441 7,170
Audit fees and tax
services................ 8,175 3,133 507 866 435 7,173
Accounting services..... 173,007 75,256 17,253 30,579 43,870 150,983
Directors' fees and
expenses................ 13,590 6,040 1,384 2,355 2,776 9,969
Miscellaneous........... 70,771 27,876 2,082 7,570 - 63,417
----------- ----------- ----------- ----------- ------------ -----------
Total expenses......... 3,187,928 1,384,314 315,660 559,647 765,738 2,532,710
----------- ----------- ----------- ----------- ------------ -----------
NET INVESTMENT INCOME... 4,554,705 7,462,756 3,864,809 5,824,285 5,963,329 23,352,870
----------- ----------- ----------- ----------- ------------ -----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
SECURITIES AND FOREIGN
CURRENCIES:
Net realized gain (loss)
on securities and
foreign currencies:
Investments............ 11,527,150 18,095,370 (2,363,714) (1,759,608) (3,117,764) -
Futures contracts...... 2,207,716 163,461 - (8,428) (150,289) -
Foreign currency
transaction............ - - - - (227,815) -
----------- ----------- ----------- ----------- ------------ -----------
13,734,866 18,258,831 (2,363,714) (1,768,036) (3,495,868) -
----------- ----------- ----------- ----------- ------------ -----------
Net unrealized
appreciation
(depreciation) of
securities and foreign
currencies during the
year:
Investments............ 23,203,501 (9,382,943) (1,447,721) (2,149,350) (8,078,138) -
Futures contracts...... (327,625) - - - - -
Forward currency
contracts.............. - - - - - -
Foreign currency
translation............ - - - - (150,318) -
----------- ----------- ----------- ----------- ------------ -----------
22,875,876 (9,382,943) (1,447,721) (2,149,350) (8,228,456) -
----------- ----------- ----------- ----------- ------------ -----------
Net realized and
unrealized gain (loss)
on securities and
foreign currencies
during the year....... 36,610,742 8,875,888 (3,811,435) (3,917,386) (11,724,324) -
----------- ----------- ----------- ----------- ------------ -----------
INCREASE (DECREASE) IN
NET ASSETS RESULTING
FROM OPERATIONS........ $41,165,447 $16,338,644 $ 53,374 $ 1,906,899 $ (5,760,995) $23,352,870
----------- ----------- ----------- ----------- ------------ -----------
SEE NOTES TO FINANCIAL STATEMENTS.
-----------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS 81
<TABLE>
<CAPTION>
STOCK INDEX FUND MIDCAP INDEX FUND SMALL CAP INDEX FUND
------------------------------ --------------------------- ---------------------------
For the For the For the For the For the For the
Fiscal Year Fiscal Year Fiscal Year Fiscal Year Fiscal Year Fiscal Year
Ended Ended Ended Ended Ended Ended
May 31, 2000 May 31, 1999 May 31, 2000 May 31, 1999 May 31, 2000 May 31, 1999
<S> <C> <C> <C> <C> <C> <C>
------------------------------ -------------------------- --------------------------
OPERATIONS:
Net investment
income (loss).... $ 49,589,020 $ 44,641,864 $ 7,749,172 $ 7,074,485 $ 2,573,239 $ 2,587,749
Net realized gain
on securities and
foreign
currencies....... 139,084,096 44,850,173 219,498,630 195,964,405 29,125,908 20,753,231
Net unrealized
appreciation
(depreciation) of
securities and
foreign
currencies
during the year.. 293,749,001 659,949,205 (60,305,420) (116,073,386) (11,285,130) (30,909,483)
-------------- -------------- ------------ ------------ ------------ ------------
Increase
(decrease) in
net assets
resulting from
operations...... 482,422,117 749,441,242 166,942,382 86,965,504 20,414,017 (7,568,503)
-------------- -------------- ------------ ------------ ------------ ------------
DISTRIBUTIONS TO
SHAREHOLDERS
FROM:
Net investment
income........... (47,947,890) (45,201,454) (7,551,892) (7,190,189) (2,541,104) (2,617,126)
Net realized gain
on securities.... (43,559,970) (16,018,507) (195,806,166) (69,496,818) (21,011,129) (18,436,501)
-------------- -------------- ------------ ------------ ------------ ------------
Decrease in net
assets resulting
from
distributions to
shareholders.... (91,507,860) (61,219,961) (203,358,058) (76,687,007) (23,552,233) (21,053,627)
-------------- -------------- ------------ ------------ ------------ ------------
CAPITAL STOCK
TRANSACTIONS:
Proceeds from
capital stock
sold............. 627,978,834 554,346,043 62,149,312 28,483,907 62,630,198 30,591,343
Proceeds from
capital stock
issued for
distributions
reinvested....... 91,507,860 61,219,961 203,358,058 76,687,007 23,552,233 21,053,627
-------------- -------------- ------------ ------------ ------------ ------------
719,486,694 615,566,004 265,507,370 105,170,914 86,182,431 51,644,970
Cost of capital
stock
reacquired....... (374,837,270) (148,814,269) (123,985,843) (102,194,007) (74,443,490) (50,203,873)
-------------- -------------- ------------ ------------ ------------ ------------
Increase
(decrease) in
net assets
resulting from
capital stock
transactions.... 344,649,424 466,751,735 141,521,527 2,976,907 11,738,941 1,441,097
-------------- -------------- ------------ ------------ ------------ ------------
TOTAL INCREASE
(DECREASE) IN NET
ASSETS........... 735,563,681 1,154,973,016 105,105,851 13,255,404 8,600,725 (27,181,033)
NET ASSETS:
Beginning of
year............. 4,637,627,839 3,482,654,823 817,573,033 804,317,629 220,001,525 247,182,558
-------------- -------------- ------------ ------------ ------------ ------------
End of year...... $5,373,191,520 $4,637,627,839 $922,678,884 $817,573,033 $228,602,250 $220,001,525
-------------- -------------- ------------ ------------ ------------ ------------
Undistributed net
investment income
(accumulated
loss) included in
net
assets at the end
of the year...... $ 1,459,451 $ (181,679) $ 123,923 $ (73,357) $ - $ 2,522
-------------- -------------- ------------ ------------ ------------ ------------
CHANGE IN SHARES
OUTSTANDING:
Shares of capital
stock sold....... 14,851,304 14,885,043 2,542,226 1,168,332 3,643,821 1,985,030
Shares issued for
distributions
reinvested....... 2,149,172 1,671,194 9,482,966 3,146,767 1,496,207 1,409,310
Shares of capital
stock
reacquired....... (8,727,728) (4,159,197) (5,022,682) (4,258,920) (4,433,493) (3,281,424)
-------------- -------------- ------------ ------------ ------------ ------------
Increase
(decrease) in
shares
outstanding..... 8,272,748 12,397,040 7,002,510 56,179 706,535 112,916
Shares
outstanding:
Beginning of
year............ 116,730,587 104,333,547 31,886,072 31,829,893 13,889,833 13,776,917
-------------- -------------- ------------ ------------ ------------ ------------
End of year..... 125,003,335 116,730,587 38,888,582 31,886,072 14,596,368 13,889,833
-------------- -------------- ------------ ------------ ------------ ------------
<CAPTION>
INTERNATIONAL
EQUITIES FUND GROWTH FUND
---------------------------- -------------------------------
For the For the For the For the
Fiscal Year Fiscal Year Fiscal Year Fiscal Year
Ended Ended Ended Ended
May 31, 2000 May 31, 1999 May 31, 2000 May 31, 1999
<S> <C> <C> <C> <C>
---------------------------- -------------------------------
OPERATIONS:
Net investment
income (loss).... $ 1,942,668 $ 2,740,455 $ 197,101 $ (4,164,880)
Net realized gain
on securities and
foreign
currencies....... 16,435,616 8,109,504 328,698,935 52,401,254
Net unrealized
appreciation
(depreciation) of
securities and
foreign
currencies
during the year.. 7,596,691 (4,445,463) (318,289,400) 113,817,130
------------- -------------- --------------- ---------------
Increase
(decrease) in
net assets
resulting from
operations...... 25,974,975 6,404,496 10,606,636 162,053,504
------------- -------------- --------------- ---------------
DISTRIBUTIONS TO
SHAREHOLDERS
FROM:
Net investment
income........... (1,830,605) (3,076,811) - -
Net realized gain
on securities.... (8,225,201) (11,030,196) (51,434,185) (52,627,247)
------------- -------------- --------------- ---------------
Decrease in net
assets resulting
from
distributions to
shareholders.... (10,055,806) (14,107,007) (51,434,185) (52,627,247)
------------- -------------- --------------- ---------------
CAPITAL STOCK
TRANSACTIONS:
Proceeds from
capital stock
sold............. 183,497,436 82,990,722 29,028,582 82,766,079
Proceeds from
capital stock
issued for
distributions
reinvested....... 10,055,806 14,107,007 51,434,185 52,627,247
------------- -------------- --------------- ---------------
193,553,242 97,097,729 80,462,767 135,393,326
Cost of capital
stock
reacquired....... (188,739,585) (102,756,759) (175,586,242) (73,922,671)
------------- -------------- --------------- ---------------
Increase
(decrease) in
net assets
resulting from
capital stock
transactions.... 4,813,657 (5,659,030) (95,123,475) 61,470,655
------------- -------------- --------------- ---------------
TOTAL INCREASE
(DECREASE) IN NET
ASSETS........... 20,732,826 (13,361,541) (135,951,024) 170,896,912
NET ASSETS:
Beginning of
year............. 142,107,626 155,469,167 1,271,033,975 1,100,137,063
------------- -------------- --------------- ---------------
End of year...... $162,840,452 $142,107,626 $1,135,082,951 $1,271,033,975
------------- -------------- --------------- ---------------
Undistributed net
investment income
(accumulated
loss) included in
net
assets at the end
of the year...... $ 361,889 $ 132,461 $ 197,101 $ (1,115,782)
------------- -------------- --------------- ---------------
CHANGE IN SHARES
OUTSTANDING:
Shares of capital
stock sold....... 14,374,839 7,190,824 1,261,523 3,800,046
Shares issued for
distributions
reinvested....... 772,245 1,245,781 2,259,850 2,359,966
Shares of capital
stock
reacquired....... (14,725,995) (8,886,737) (7,525,944) (3,302,384)
------------- -------------- --------------- ---------------
Increase
(decrease) in
shares
outstanding..... 421,089 (450,132) (4,004,571) 2,857,628
Shares
outstanding:
Beginning of
year............ 12,559,144 13,009,276 52,689,887 49,832,259
------------- -------------- --------------- ---------------
End of year..... 12,980,233 12,559,144 48,685,316 52,689,887
------------- -------------- --------------- ---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
--------------------------------------------------------------------------------
<PAGE>
82 STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED
<TABLE>
<CAPTION>
GROWTH & INCOME SCIENCE & TECHNOLOGY SOCIAL AWARENESS
FUND FUND FUND
-------------------------- ------------------------------ --------------------------
For the For the For the For the For the For the
Fiscal Year Fiscal Year Fiscal Year Fiscal Year Fiscal Year Fiscal Year
Ended Ended Ended Ended Ended Ended
May 31, 2000 May 31, 1999 May 31, 2000 May 31, 1999 May 31, 2000 May 31, 1999
<S> <C> <C> <C> <C> <C> <C>
-------------------------- ------------------------------ --------------------------
OPERATIONS:
Net investment
income (loss)... $ 2,267,667 $ 794,158 $ (11,420,820) $ (5,771,991) $ 4,554,705 $ 3,836,206
Net realized gain
(loss) on
securities and
foreign currencies.. 55,466,529 33,533,982 667,748,511 330,754,699 13,734,866 22,017,924
Net unrealized
appreciation
(depreciation)
of securities
and foreign
currencies
during the
year............ (29,383,922) 8,860,720 228,410,320 189,456,126 22,875,876 50,690,174
------------ ------------ -------------- -------------- ------------ ------------
Increase in net
assets
resulting
from operations.. 28,350,274 43,188,860 884,738,011 514,438,834 41,165,447 76,544,304
------------ ------------ -------------- -------------- ------------ ------------
DISTRIBUTIONS TO
SHAREHOLDERS
FROM:
Net investment
income.......... (2,142,107) (1,016,358) - - (4,345,390) (4,053,286)
Net realized gain
on securities... (33,787,657) (20,275,426) (328,749,980) (113,616,462) (22,440,992) (37,006,972)
------------ ------------ -------------- -------------- ------------ ------------
Decrease in net
assets
resulting from
distributions
to
shareholders... (35,929,764) (21,291,784) (328,749,980) (113,616,462) (26,786,382) (41,060,258)
------------ ------------ -------------- -------------- ------------ ------------
CAPITAL STOCK
TRANSACTIONS:
Proceeds from
capital stock
sold............ 48,304,152 12,125,509 829,604,815 221,258,442 56,630,341 118,062,922
Proceeds from
capital stock
issued for
distributions
reinvested...... 35,929,764 21,291,784 328,749,980 113,616,462 26,786,382 41,060,258
------------ ------------ -------------- -------------- ------------ ------------
84,233,916 33,417,293 1,158,354,795 334,874,904 83,416,723 159,123,180
Cost of capital
stock
reacquired...... (43,951,570) (29,588,189) (83,875,998) (75,253,459) (37,357,352) (6,810,019)
------------ ------------ -------------- -------------- ------------ ------------
Increase
(decrease) in
net assets
resulting
from capital
stock
transactions... 40,282,346 3,829,104 1,074,478,797 259,621,445 46,059,371 152,313,161
------------ ------------ -------------- -------------- ------------ ------------
TOTAL INCREASE
(DECREASE) IN
NET ASSETS...... 32,702,856 25,726,180 1,630,466,828 660,443,817 60,438,436 187,797,207
NET ASSETS:
Beginning of
year............ 296,885,178 271,158,998 1,683,584,755 1,023,140,938 521,964,557 334,167,350
------------ ------------ -------------- -------------- ------------ ------------
End of year...... $329,588,034 $296,885,178 $3,314,051,583 $1,683,584,755 $582,402,993 $521,964,557
------------ ------------ -------------- -------------- ------------ ------------
Undistributed net
investment
income
(accumulated
loss) included
in net
assets at the
end of the
year............ $ 76,769 $ (48,791) $ - $ (5,771,991) $ 167,742 $ (41,573)
------------ ------------ -------------- -------------- ------------ ------------
CHANGE IN SHARES
OUTSTANDING:
Shares of capital
stock sold...... 2,227,700 601,285 19,166,158 8,585,468 2,283,621 5,074,114
Shares issued for
distributions
reinvested...... 1,676,910 1,071,553 7,233,223 4,443,350 1,066,337 1,800,031
Shares of capital
stock
reacquired...... (2,029,889) (1,501,205) (2,045,636) (3,173,308) (1,486,637) (308,485)
------------ ------------ -------------- -------------- ------------ ------------
Increase
(decrease) in
shares
outstanding.... 1,874,721 171,633 24,353,745 9,855,510 1,863,321 6,565,660
Shares
outstanding:
Beginning of
year........... 13,790,192 13,618,559 56,210,670 46,355,160 21,646,123 15,080,463
------------ ------------ -------------- -------------- ------------ ------------
End of year..... 15,664,913 13,790,192 80,564,415 56,210,670 23,509,444 21,646,123
------------ ------------ -------------- -------------- ------------ ------------
<CAPTION>
ASSET ALLOCATION CAPITAL CONSERVATION
FUND FUND
--------------------------- ---------------------------
For the For the For the For the
Fiscal Year Fiscal Year Fiscal Year Fiscal Year
Ended Ended Ended Ended
May 31, 2000 May 31, 1999 May 31, 2000 May 31, 1999
<S> <C> <C> <C> <C>
--------------------------- ---------------------------
OPERATIONS:
Net investment
income (loss)... $ 7,462,756 $ 6,215,127 $ 3,864,809 $ 4,074,661
Net realized gain
(loss) on
securities and
foreign currencies.. 18,258,831 4,442,130 (2,363,714) (100,001)
Net unrealized
appreciation
(depreciation)
of securities
and foreign
currencies
during the
year............ (9,382,943) 14,745,732 (1,447,721) (1,841,039)
------------- ------------- ------------- -------------
Increase in net
assets
resulting
from operations.. 16,338,644 25,402,989 53,374 2,133,621
------------- ------------- ------------- -------------
DISTRIBUTIONS TO
SHAREHOLDERS
FROM:
Net investment
income.......... (7,449,473) (6,223,150) (3,887,204) (4,075,946)
Net realized gain
on securities... (4,419,555) (12,942,384) - -
------------- ------------- ------------- -------------
Decrease in net
assets
resulting from
distributions
to
shareholders... (11,869,028) (19,165,534) (3,887,204) (4,075,946)
------------- ------------- ------------- -------------
CAPITAL STOCK
TRANSACTIONS:
Proceeds from
capital stock
sold............ 9,419,901 29,740,452 5,097,193 10,972,502
Proceeds from
capital stock
issued for
distributions
reinvested...... 11,869,028 19,165,534 3,887,204 4,075,946
------------- ------------- ------------- -------------
21,288,929 48,905,986 8,984,397 15,048,448
Cost of capital
stock
reacquired...... (37,428,119) (6,769,056) (17,755,842) (13,629,170)
------------- ------------- ------------- -------------
Increase
(decrease) in
net assets
resulting
from capital
stock
transactions... (16,139,190) 42,136,930 (8,771,445) 1,419,278
------------- ------------- ------------- -------------
TOTAL INCREASE
(DECREASE) IN
NET ASSETS...... (11,669,574) 48,374,385 (12,605,275) (523,047)
NET ASSETS:
Beginning of
year............ 248,473,197 200,098,812 63,130,505 63,653,552
------------- ------------- ------------- -------------
End of year...... $236,803,623 $248,473,197 $50,525,230 $63,130,505
------------- ------------- ------------- -------------
Undistributed net
investment
income
(accumulated
loss) included
in net
assets at the
end of the
year............ $ 113,215 $ 43,773 $ 9,108 $ 33,319
------------- ------------- ------------- -------------
CHANGE IN SHARES
OUTSTANDING:
Shares of capital
stock sold...... 644,299 2,076,208 560,786 1,136,484
Shares issued for
distributions
reinvested...... 804,071 1,352,667 428,701 424,316
Shares of capital
stock
reacquired...... (2,535,579) (476,138) (1,953,568) (1,417,596)
------------- ------------- ------------- -------------
Increase
(decrease) in
shares
outstanding.... (1,087,209) 2,952,737 (964,081) 143,204
Shares
outstanding:
Beginning of
year........... 17,222,217 14,269,480 6,720,215 6,577,011
------------- ------------- ------------- -------------
End of year..... 16,135,008 17,222,217 5,756,134 6,720,215
------------- ------------- ------------- -------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
--------------------------------------------------------------------------------
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS - CONTINUED 83
<TABLE>
<CAPTION>
INTERNATIONAL GOVERNMENT
GOVERNMENT SECURITIES FUND BOND FUND MONEY MARKET FUND
--------------------------- --------------------------- ---------------------------
For the For the For the For the For the For the
Fiscal Year Fiscal Year Fiscal Year Fiscal Year Fiscal Year Fiscal Year
Ended Ended Ended Ended Ended Ended
May 31, 2000 May 31, 1999 May 31, 2000 May 31, 1999 May 31, 2000 May 31, 1999
<S> <C> <C> <C> <C> <C> <C>
-------------------------- -------------------------- --------------------------
OPERATIONS:
Net investment income... $ 5,824,285 $ 5,822,015 $ 5,963,329 $ 6,875,709 $ 23,352,870 $ 12,156,853
Net realized gain (loss)
on securities and
foreign currencies...... (1,768,036) 561,716 (3,495,868) 399,978 - -
Net unrealized
appreciation
(depreciation) of
securities and foreign
currencies during the
year.................... (2,149,350) (3,151,203) (8,228,456) 2,241,457 - -
------------ ------------ ------------ ------------ ------------ ------------
Increase (decrease) in
net assets
resulting from
operations............. 1,906,899 3,232,528 (5,760,995) 9,517,144 23,352,870 12,156,853
------------ ------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income... (5,856,877) (5,815,587) (2,972,492) (6,419,995) (23,352,870) (12,156,853)
Net realized gain on
securities.............. - - (103,421) (872,765) - -
------------ ------------ ------------ ------------ ------------ ------------
Decrease in net assets
resulting from
distributions to
shareholders........... (5,856,877) (5,815,587) (3,075,913) (7,292,760) (23,352,870) (12,156,853)
------------ ------------ ------------ ------------ ------------ ------------
CAPITAL STOCK
TRANSACTIONS:
Proceeds from capital
stock sold.............. 33,785,442 65,762,148 134,466,087 85,397,013 798,469,538 456,114,092
Proceeds from capital
stock issued for
distributions
reinvested.............. 5,856,877 5,815,587 3,075,913 7,292,760 23,321,928 12,202,772
------------ ------------ ------------ ------------ ------------ ------------
39,642,319 71,577,735 137,542,000 92,689,773 821,791,466 468,316,864
Cost of capital stock
reacquired.............. (42,469,071) (53,690,018) (156,236,142) (92,187,778) (684,250,994) (311,898,433)
------------ ------------ ------------ ------------ ------------ ------------
Increase (decrease) in
net assets resulting
from capital stock
transactions........... (2,826,752) 17,887,717 (18,694,142) 501,995 137,540,472 156,418,431
------------ ------------ ------------ ------------ ------------ ------------
TOTAL INCREASE
(DECREASE) IN NET
ASSETS.................. (6,776,730) 15,304,658 (27,531,050) 2,726,379 137,540,472 156,418,431
NET ASSETS:
Beginning of year....... 107,424,875 92,120,217 158,509,262 155,782,883 347,393,881 190,975,450
------------ ------------ ------------ ------------ ------------ ------------
End of year............. $100,648,145 $107,424,875 $130,978,212 $158,509,262 $484,934,353 $347,393,881
------------ ------------ ------------ ------------ ------------ ------------
Undistributed net
investment income
included
in net assets at the end
of the year............. $ 21,532 $ 53,901 $ 54,326 $ 917,843 $ - $ -
------------ ------------ ------------ ------------ ------------ ------------
CHANGE IN SHARES
OUTSTANDING:
Shares of capital stock
sold.................... 3,510,310 6,399,271 11,952,410 6,993,303 798,469,538 456,114,092
Shares issued for
distributions
reinvested.............. 609,550 569,433 268,203 596,194 23,321,928 12,202,772
Shares of capital stock
reacquired.............. (4,391,605) (5,245,250) (13,823,665) (7,588,479) (684,250,994) (311,898,433)
------------ ------------ ------------ ------------ ------------ ------------
Increase (decrease) in
shares outstanding..... (271,745) 1,723,454 (1,603,052) 1,018 137,540,472 156,418,431
Shares outstanding:
Beginning of year...... 10,852,951 9,129,497 13,646,617 13,645,599 347,393,881 190,975,450
------------ ------------ ------------ ------------ ------------ ------------
End of year............ 10,581,206 10,852,951 12,043,565 13,646,617 484,934,353 347,393,881
------------ ------------ ------------ ------------ ------------ ------------
SEE NOTES TO FINANCIAL STATEMENTS.
--------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
84
NOTES TO FINANCIAL STATEMENTS
Note 1 -- Organization
American General Series Portfolio Company (the "Series" or "AGSPC") was
incorporated under the laws of Maryland on December 7, 1984, by The Variable
Annuity Life Insurance Company ("VALIC" or the "Adviser"). The Series is
registered under the Investment Company Act of 1940 as amended (the "1940
Act"), as an open-end, management investment company. The Series consists of
13 separate mutual funds (the "Funds") each of which issues its own separate
class of shares of common stock:
Stock Index Fund Social Awareness Fund
MidCap Index Fund Asset Allocation Fund
Small Cap Index Fund Capital Conservation Fund
International Equities Fund Government Securities Fund
Growth Fund International Government Bond Fund
Growth & Income Fund Money Market Fund
Science & Technology Fund
Each Fund is diversified with the exception of International Government Bond
Fund which is non-diversified as defined by the 1940 Act.
Note 2 -- Significant Accounting Policies
The financial statements have been prepared in accordance with U.S. generally
accepted accounting principles ("GAAP"). GAAP requires accruals which
occasionally are based upon management estimates. The following is a summary of
significant accounting policies consistently followed by each Fund in the
preparation of its financial statements.
A. Investment Valuation
Securities listed or traded on a national exchange are valued daily at their
last reported sale price. In the absence of any exchange sales on that day and
for unlisted issues, securities are valued at the last sale price on the NASDAQ
National Market System. In the absence of any National Market System sales on
that day, securities are valued at the last reported bid price. However,
options written for which other over-the-counter market quotations are readily
available are valued at the last reported asked price, in the absence of any
National Market System sales on that day. Futures contracts, options thereon,
and options on stock indexes are valued at the amount which would be received
upon a current disposition of such investments (i.e., their fair market value),
in the absence of any sales on that day. Short term debt securities for which
market quotations are readily available are valued at the last reported bid
price. However, any short term security with a remaining maturity of 60 days or
less and all investments of the Money Market Fund are valued by the amortized
cost method which approximates fair market value. Investments for which market
quotations are not readily available are valued at fair value as determined in
good faith by, or under authority delegated by, the Series' Board of Directors.
B. Options, Futures, and Forward Currency Contracts
Call and Put Options. When a Fund writes a call or a put option, an amount
equal to the premium received is recorded as a liability. The liability is
"marked to market" daily to reflect the current market value of the option
written. When a written option expires, the Fund realizes a gain in the amount
of the premium originally received. If the Fund enters into a closing purchase
transaction, the Fund realizes a gain or loss in the amount of the original
premium less the cost of the closing transaction. If a written call option is
exercised, the Fund realizes a gain or loss from the sale of the underlying
security, and the proceeds from such sale are increased by the premium
originally received. If a written put option is exercised, the amount of the
premium originally received reduces the cost of the security which the Fund
purchases upon exercise of the option.
Purchased options are recorded as investments. If a purchased option expires,
the Fund realizes a loss in the amount of the cost of the option. If the Fund
enters into a closing transaction, it realizes a gain (or loss), to the extent
that the proceeds from the sale are greater (or less) than the cost of the
option. If the Fund exercises a put option, it realizes a gain or loss from the
sale of the underlying security by adjusting the proceeds from such sale by the
amount of the premium originally paid. If the Fund exercises a call option, the
cost of the security purchased upon exercise is increased by the premium
originally paid.
Futures Contracts. The initial margin deposit made upon entering into a
futures contract is held by the custodian bank, in a segregated account, in the
name of the broker (the Fund's agent in acquiring the futures position). During
the period the futures contract is open, changes in the value of the contract
are recognized as unrealized gains or losses by "marking to market" on a daily
basis to reflect the market value of the contract at the end of each day's
trading. Variation margin payments are received or made daily, as unrealized
gains or losses are incurred. When the contract is closed, the Fund realizes a
gain or loss in the amount of the cost of or proceeds from the closing
transaction less the Fund's basis in the contract.
Forward Currency Contracts. Certain Funds may engage in forward currency
contracts, which are agreements between two parties to buy and sell currencies
at a set price on a future date. The U.S. dollar value of forward currency
contracts is determined using current forward currency exchange rates supplied
by a quotation service. The market value of the contract will fluctuate with
changes in currency exchange rates. During the period the forward currency
contract is open, the contract is "marked to market" daily and the change in
market value is recorded as an unrealized gain or loss. When the contract is
closed, the Fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed. The Fund could be exposed to risk if the value of the
currency changes unfavorably, if the counterparties to the contracts are unable
to meet the terms of their contracts, or if the Fund is unable to enter into a
closing position.
C. Repurchase Agreements
A Fund may acquire securities subject to repurchase agreements. Under a
typical repurchase agreement, a Fund would acquire a debt security for a
relatively short period (usually for one day and not more than one week)
subject to an obligation of the seller to repurchase and of the Fund to resell
the debt security at an agreed-upon higher price, thereby establishing a fixed
investment return during the Fund's holding period. Under each repurchase
agreement, the Fund receives, as collateral, securities whose market value is
at least equal to the repurchase price.
D. Foreign Currency Translation
The accounting records of each Fund are maintained in U.S. dollars. Investment
securities and other assets and liabilities denominated in foreign currencies
("local currencies") are translated into U.S. dollars at prevailing exchange
rates at period end.
Net realized gains or losses on foreign currency transactions include exchange
rate gains and losses from disposition of foreign currencies, currency gains
and losses realized between trade and settlement dates of security
transactions, and currency gains and losses realized on settlement of other
assets and liabilities settled in local currencies.
In determining realized and unrealized gains or losses on foreign securities
for the period, the Funds do not isolate exchange rate fluctuations from local
security price fluctuations. Foreign currencies and other assets and
liabilities denominated in local currencies are marked-to-market daily to
reflect fluctuations in foreign exchange rates.
E. Restricted Securities
Each Fund may purchase securities which, while privately placed, are eligible
for purchase and sale pursuant to Rule 144A under the securities Act of 1933
(the "1933 Act"). This Rule permits certain institutional buyers, such as the
Funds, to trade in privately placed securities even though such securities are
not registered under the 1933 Act. Each Fund may invest in 144A securities (in
--------------------------------------------------------------------------------
<PAGE>
85
NOTES TO FINANCIAL STATEMENTS - CONTINUED
accordance with each Fund's investment restrictions as listed in the
prospectus) that have been determined to be liquid. In making this
determination the Fund will consider the trading markets for the specific
security, taking into account the unregistered nature of a Rule 144A security.
In addition, the Fund could consider frequency of trading and available quotes,
number of dealers and potential purchasers, dealer undertakings to make a
market, and the potential limitations on the transfer of ownership.
F. Federal Income Taxes
Each Fund intends to qualify as a "regulated investment company" under
Subchapter M of the Internal Revenue Code and to distribute all of its taxable
net investment income and taxable net realized capital gains, in excess of any
available capital loss carryovers. Therefore, no Federal income tax provision
is required.
G. Investment Transactions and Related Investment Income
Investment transactions are accounted for on the trade date. Realized gains
and losses on securities sold are determined on the basis of identified cost.
Dividend income and capital gain distributions received are recorded on the ex-
dividend date. Dividend income on certain foreign securities is recorded when
the Fund becomes aware of the dividend. Interest income on investments is
accrued daily.
H. Distributions to Shareholders
Distributions to shareholders are recorded on the record date. The Funds
declare distributions from net investment income monthly, except for the Money
Market Fund, which declares daily. Capital gains distributions are declared
annually.
Investment income and capital gains and losses are recognized in accordance
with generally accepted accounting principles ("book"). Distributions from net
investment income and realized capital gains are based on earnings as
determined in accordance with federal tax regulations ("tax") which may differ
from book basis earnings. These differences are primarily due to differing
treatments for capital loss carryforwards, deferral of wash sales, post-October
capital losses, net operating losses, mortgage-backed securities, and foreign
currency transactions.
At the end of the year, offsetting adjustments to undistributed net investment
income and undistributed net realized gains (losses) are made to eliminate
permanent book/tax differences arising in the current year.
Note 3 -- Advisory Fees and Other Transactions with Affiliates
VALIC serves as investment adviser to the Series and is an indirect wholly-
owned subsidiary of American General Corporation, Houston, Texas. The Adviser
has entered into sub-advisory agreements with the following:
Bankers Trust Company -- prior to October 1, 1999, was sub-adviser for the
Stock Index Fund, the MidCap Index Fund, and the Small Cap Index Fund.
Effective October 1, 1999, the Adviser assumed management for each Fund
previously managed by Bankers Trust Company, who served as investment sub-
adviser from May 1, 1992, to September 30, 1999.
T. Rowe Price Associates, Inc. -- On February 24, 1994 (amended February 2,
1998), the Adviser entered into a sub-advisory agreement with T. Rowe Price
Associates, Inc. to serve as investment sub-adviser to the Growth Fund and
the Science & Technology Fund. Effective September 1, 1999, the agreement
was terminated with respect to the Growth Fund.
Wellington Management Company, LLP -- The Adviser entered into a sub-
advisory agreement with Wellington Management Company, LLP, effective
September 1, 1999, to serve as investment sub-adviser to the Growth Fund.
Sub-advisers are compensated for their services by the Adviser.
The Adviser receives from the Series a monthly fee based on each Fund's
average daily net asset value at the following annual rates:
<TABLE>
<S> <C>
Stock Index Fund 0.35% on the first $500 million
MidCap Index Fund 0.25% on assets more than $500 million
Small Cap Index Fund
International
Equities Fund
------------------------------------------------------------------------------
Growth Fund 0.80%
------------------------------------------------------------------------------
Growth & Income
Fund 0.75%
------------------------------------------------------------------------------
Science &
Technology Fund 0.90%
------------------------------------------------------------------------------
Social Awareness Fund 0.50%
Asset Allocation Fund
Capital Conservation Fund
Government Securities Fund
International Government Bond Fund
Money Market Fund
</TABLE>
To the extent that any Fund's accrued expenses for a given month exceed, on an
annualized basis, 2% of the Fund's average daily net assets, the Adviser will
voluntarily reduce expenses of any such Fund by the amount of the excess. The
Adviser may withdraw this voluntary undertaking upon 30 days written notice to
the Series.
On October 31, 1996, the Series entered into an Accounting Services Agreement
with VALIC which appointed VALIC as Accounting Services Agent. Under the
agreement VALIC will provide certain accounting and administrative services to
the Series. VALIC receives from each Fund an annual fee of 0.03% based on the
average daily net asset value of the Fund. During the year ended May 31, 2000,
the Series paid VALIC approximately $3,600,000 for such services.
Effective May 1, 1999, American General Distributors, Inc. ("AGD"), replaced
The Variable Annuity Marketing Company ("VAMCO"), as the Distributor for the
Series. AGD and VAMCO are indirect wholly-owned subsidiaries of American
General Corporation. AGD currently receives no compensation for distribution
services performed on behalf of the Series.
During the fiscal year ended May 31, 2000, the following security transactions
were affected among the AGSPC Funds or with American General Series Portfolio
Company 2 Funds , for which VALIC is the investment adviser, at the then
current market price with no brokerage commissions incurred:
<TABLE>
<CAPTION> Net gain (loss)
Seller Purchaser Cost to Purchaser to Seller
----------------- -------------------- ------------------- --------------
<S> <C> <C> <C>
MidCap Index Fund Asset Allocation Fund $ 2,413,866 $ 1,544,864
MidCap Index Fund Stock Index Fund 138,353,975 82,797,816
Stock Index Fund MidCap Index Fund 891,726 180,373
MidCap Index Fund Stock Index Fund 2 394,213 223,020
Asset Allocation Fund Stock Index Fund 2 4,330,998 2,402,530
Stock Index Fund 2 Asset Allocation Fund 1,192,351 (18,914)
MidCap Index Fund 2 Asset Allocation Fund 74,515 33,268
Stock Index Fund MidCap Index Fund 2 10,625 4,344
Stock Index Fund 2 MidCap Index Fund 2,125 (868)
Asset Allocation Fund MidCap Index Fund 12,750 (1,518)
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
86 NOTES TO FINANCIAL STATEMENTS - CONTINUED
At May 31, 2000, VALIC, American General Annuity Insurance Company ("AGA"),
and American General Life Insurance Company ("AGL"), through their insurance
company separate accounts owned over five percent of the outstanding shares of
the following Funds:
<TABLE>
<CAPTION>
VALIC AGA AGL
------ ----- ----
<S> <C> <C> <C>
Stock Index Fund........................................... 95.44% * *
MidCap Index Fund.......................................... 97.38% * *
Small Cap Index Fund....................................... 100.00% * *
International Equities Fund................................ 95.15% * *
Growth Fund................................................ 97.64% * *
Growth & Income Fund....................................... 91.91% 8.09% *
Science & Technology Fund.................................. 100.00% * *
Social Awareness Fund...................................... 99.99% * *
Asset Allocation Fund...................................... 99.95% * *
Capital Conservation Fund.................................. 100.00% * *
Government Securities Fund................................. 81.28% 18.71% *
International Government Bond Fund......................... 100.00% * *
Money Market Fund.......................................... 89.42% * 9.47%
</TABLE>
----
*Less than 5% ownership.
On December 22, 1999, American General Annuity Insurance Company ("AGA"), on
behalf of its A.G. Separate Account A, purchased shares of certain Funds in
exchange for securities and/or cash received upon the liquidation of AGA
Series Trust, a registered investment company for which AGA served as
investment adviser. Pursuant to an exemptive order approved by the Securities
and Exchange Commission, certain funds received securities valued at the then
current fair market value, in exchange for shares issued at the net asset of
the Fund as of the close of business on December 22, 1999 as follows:
<TABLE>
<CAPTION>
Cash Fair Market Value of Value of Number of NAV
Received Securities Received* Shares Issued Shares Issued per Share
----------- -------------------- ------------- ------------- ---------
<S> <C> <C> <C> <C> <C>
Money Market Fund....... $ 3,675,507 $ 1,409,131 $ 5,084,638 5,084,638 $ 1.00
Stock Index Fund........ 22,431,010 - 22,431,010 516,011 43.47
Growth & Income Fund.... 26,175,269 1,320,688 27,495,957 1,279,477 21.49
International Equities
Fund.................... 30,008 6,566,384 6,596,392 496,343 13.29
Government Securities
Fund.................... 189,877 18,669,080 18,858,957 1,970,633 9.57
</TABLE>
----
*The cost basis of securities received for both financial reporting and
Federal income tax reporting purposes was equal to the fair market value of
securities received on December 22, 1999, the purchase date.
The Series provides a retirement plan for its independent directors who are
not officers, directors or employees of VALIC, or an affiliate of VALIC. The
Series is responsible for the payment of the retirement benefits, as well as
all expenses of administration of the plan. Benefits vested under the plan are
payable for a ten-year period upon retirement and are based upon each
director's years of service. At May 31, 2000, the Series had a retirement plan
liability to its independent directors totaling $931,111. During the period, a
total of $13,625 was paid to a retired director.
Certain officers and directors of the Series are officers and directors of
VALIC or affiliates of VALIC.
Note 4 -- Investment Activity
The information in the following table is presented on the basis of cost for
Federal income tax purposes at May 31, 2000.
<TABLE>
<CAPTION>
Identified
Cost of Gross Gross Net Unrealized
Investments Unrealized Unrealized Appreciation
Owned Appreciation Depreciation (Depreciation)
-------------- -------------- ------------ --------------
<S> <C> <C> <C> <C>
Stock Index Fund............ $2,635,362,562 $2,893,682,748 $155,217,698 $2,738,465,050
MidCap Index Fund........... 836,647,665 209,399,335 126,323,113 83,076,222
Small Cap Index Fund........ 215,992,195 64,848,815 53,668,998 11,179,817
International Equities
Fund........................ 121,226,546 57,851,825 17,960,795 39,891,030
Growth Fund................. 1,063,995,068 166,981,044 92,360,521 74,620,523
Growth & Income Fund........ 283,279,253 67,293,483 20,926,131 46,367,352
Science & Technology Fund... 2,826,984,845 918,469,056 411,447,989 507,021,067
Social Awareness Fund....... 460,621,353 150,609,526 29,477,235 121,132,291
Asset Allocation Fund....... 194,964,761 57,619,475 8,395,114 49,224,361
Capital Conservation Fund... 59,557,217 145,660 2,198,730 (2,053,070)
Government Securities Fund.. 116,847,427 1,167,967 3,460,538 (2,292,571)
International Government
Bond Fund................... 133,913,247 4,165,824 16,409,178 (12,243,354)
Money Market Fund........... 482,097,657 - - -
</TABLE>
The following net realized capital loss carryforwards at May 31, 2000, may be
utilized to offset future capital gains.
<TABLE>
<CAPTION>
Capital Loss Carryforward Expiration through
------------------------- ------------------
<S> <C> <C>
Capital Conservation Fund.......... $ 356,364 May 31, 2008
Government Securities Fund......... 1,480,300 May 31, 2008
Money Market Fund.................. 1,445 May 31, 2001
</TABLE>
During the fiscal year ended May 31, 2000, the cost of purchases and proceeds
from sales of securities, excluding short term securities were:
<TABLE>
<CAPTION>
Proceeds from
Cost of Securities
Securities Sold or
Purchased Matured
-------------- --------------
<S> <C> <C>
Stock Index Fund................................. $ 595,792,417 $ 277,935,357
MidCap Index Fund................................ 341,281,874 427,692,130
Small Cap Index Fund............................. 79,589,954 100,011,356
International Equities Fund...................... 40,822,014 43,837,922
Growth Fund...................................... 1,556,660,151 1,719,298,682
Growth & Income Fund............................. 287,803,726 280,473,828
Science & Technology Fund........................ 4,258,989,422 3,450,955,802
Social Awareness Fund............................ 229,461,773 224,545,112
Asset Allocation Fund............................ 332,740,648 357,891,717
Capital Conservation Fund........................ 80,672,051 88,900,047
Government Securities Fund....................... 132,849,326 134,904,218
International Government Bond Fund............... 21,110,447 42,720,682
</TABLE>
Included in the cost of purchases and proceeds from sales amounts were
purchases and sales of U.S. government and government agency obligations of
the following:
<TABLE>
<CAPTION>
Cost of Proceeds from
Securities Securities Sold
Purchased or Matured
------------ ---------------
<S> <C> <C>
Asset Allocation Fund.............................. $205,504,986 $205,317,550
Capital Conservation Fund.......................... 49,508,513 43,924,535
Government Securities Fund......................... 127,537,659 134,155,200
</TABLE>
-------------------------------------------------------------------------------
<PAGE>
NOTES TO FINANCIAL STATEMENTS - CONTINUED 87
Note 5 - Portfolio Securities Loaned
To realize additional income, a Fund may lend portfolio securities with a
value of up to 30% (33 1/3% in the case of Growth Fund and Science &
Technology Fund) of its total assets. Any such loans will be continuously
secured by collateral consisting of cash or U.S. Government securities
maintained in a segregated account in an amount at least equal to the market
value of the securities loaned. The risks in lending portfolio securities, as
with other extensions of secured credit, consist of possible delays in
receiving additional collateral or in the recovery of the securities or
possible loss of rights in the collateral should the borrower fail
financially. Loans by a Fund will only be made to broker-dealers deemed by the
Custodian to be creditworthy and will not be made unless, in the judgment of
the Adviser, the consideration to be earned from such loans would justify the
risk. Each Fund receives income earned on the securities loaned during the
lending period and a portion of the interest or rebate earned on the
collateral received.
Portfolio securities on loan at May 31, 2000 are summarized as follows:
<TABLE>
<CAPTION>
Market Value Collateral Value
------------ ----------------
<S> <C> <C>
Stock Index Fund.................................. $ 46,114,939 $ 47,765,442
MidCap Index Fund................................. 9,838,843 10,128,984
Small Cap Index Fund.............................. 5,952,450 6,388,780
International Equities Fund....................... 8,538,956 8,802,179
Growth Fund....................................... 7,525,800 7,729,200
Growth & Income Fund.............................. 9,237,312 9,523,000
Science & Technology Fund......................... 126,201,990 130,289,058
Social Awareness Fund............................. 2,030,260 2,099,476
Asset Allocation Fund............................. 2,359,383 2,415,924
------------------------------
Total........................................... $217,799,933 $225,142,043
------------------------------
</TABLE>
Note 6 - Investment Concentration
A significant portion of the Government Securities Fund's investments may be
in U.S. Government sponsored securities. No assurance can be given that the
U.S. Government will provide support to such U.S. Government sponsored
agencies or instrumentalities in the future since it is not required to do so
by law. As a result of the Fund's concentration in such investments, it may be
subject to risks associated with U.S. Government sponsored securities. At May
31, 2000, the Government Securities Fund had 71.93% of its net assets invested
in such securities.
At May 31, 2000, the International Government Bond Fund had 27.22% of its net
assets invested in securities issued by the Government of Japan and an
additional 2.74% in issues of companies located in Japan and/or denominated in
Japanese Yen. Future economic and political developments in a foreign country
could adversely affect the liquidity and value of foreign securities or the
currency exchange rates from which foreign currencies are translated.
Note 7 - Investment Holdings by Country
The following represent investment holdings by country held by the
International Equities Fund as of May 31, 2000:
<TABLE>
<CAPTION>
Percent of Market
Country: Net Assets Value
------------------------
<S> <C> <C>
Australia.............................................. 2.26% $ 3,687,430
Austria................................................ 0.27 445,017
Belgium................................................ 0.63 1,022,429
Denmark................................................ 0.51 825,987
Finland................................................ 3.23 5,236,564
France................................................. 11.79 19,190,176
Germany................................................ 8.25 13,436,742
Hong Kong.............................................. 0.89 1,451,581
Ireland................................................ 0.59 965,301
Italy.................................................. 4.41 7,184,956
Japan.................................................. 25.85 42,094,106
Malaysia............................................... 1.07 1,745,184
Netherlands............................................ 5.41 8,809,081
New Zealand............................................ 0.07 117,987
Norway................................................. 0.19 311,330
Portugal............................................... 0.47 768,504
Singapore.............................................. 0.51 828,293
Spain.................................................. 3.09 5,031,443
Sweden................................................. 3.96 6,447,209
Switzerland............................................ 6.54 10,656,491
United Kingdom......................................... 18.95 30,861,765
------------------------
Total value of investments............................. 98.94 161,117,576
Other assets and liabilities........................... 1.06 1,722,876
------------------------
Net assets............................................. 100.00% $162,840,452
------------------------
</TABLE>
-------------------------------------------------------------------------------
<PAGE>
88 FINANCIAL HIGHLIGHTS
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date.
STOCK INDEX FUND
<TABLE>
<CAPTION>
Fiscal Year Ended May 31,
----------------------------------------------------------
2000 1999 1998 1997 1996
----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $39.73 $33.38 $26.09 $20.69 $16.81
-------------------------------------------------------------
Income from investment
operations:
Net investment income.. 0.41 0.40 0.40 0.39 0.39
Net realized and
unrealized
gain on securities..... 3.59 6.51 7.44 5.57 4.26
-------------------------------------------------------------
Total income from
investment operations.. 4.00 6.91 7.84 5.96 4.65
-------------------------------------------------------------
Distributions from:
Net investment income.. (0.39) (0.41) (0.40) (0.39) (0.38)
Net realized gain
on securities.......... (0.36) (0.15) (0.15) (0.17) (0.39)
-------------------------------------------------------------
Total distributions.... (0.75) (0.56) (0.55) (0.56) (0.77)
-------------------------------------------------------------
Net asset value at end
of period............... $42.98 $39.73 $33.38 $26.09 $20.69
-------------------------------------------------------------
TOTAL RETURN............ 10.10% 20.85% 30.30% 29.24% 28.17%
-------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.31% 0.32% 0.31% 0.34% 0.35%
Ratio of net investment
income to
average net assets...... 0.97% 1.13% 1.33% 1.76% 2.05%
Portfolio turnover
rate.................... 6% 2% 3% 3% 3%
Number of shares
outstanding
at end of period
(000's)................. 125,003 116,731 104,334 93,687 85,117
Net assets at end of
period (000's).......... $5,373,192 $4,637,628 $3,482,655 $2,444,200 $1,760,786
</TABLE>
MIDCAP INDEX FUND
<TABLE>
<CAPTION>
Fiscal Year Ended May 31,
---------------------------------------------------------
2000 1999 1998 1997 1996
---------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $25.64 $25.27 $20.83 $19.09 $15.68
------------------------------------------------------------
Income from investment
operations:
Net investment income.. 0.22 0.23 0.23 0.24 0.24
Net realized and
unrealized
gain on securities..... 4.49 2.54 5.80 2.95 4.06
------------------------------------------------------------
Total income from
investment operations.. 4.71 2.77 6.03 3.19 4.30
------------------------------------------------------------
Distributions from:
Net investment income.. (0.22) (0.23) (0.23) (0.24) (0.24)
Net realized gain
on securities.......... (6.40) (2.17) (1.36) (1.21) (0.65)
------------------------------------------------------------
Total distributions.... (6.62) (2.40) (1.59) (1.45) (0.89)
------------------------------------------------------------
Net asset value at end
of period............... $23.73 $25.64 $25.27 $20.83 $19.09
------------------------------------------------------------
TOTAL RETURN............ 21.36% 11.91% 29.62% 17.48% 28.10%
------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.36% 0.38% 0.36% 0.40% 0.41%
Ratio of net investment
income to
average net assets...... 0.90% 0.92% 0.95% 1.24% 1.36%
Portfolio turnover
rate.................... 41% 41% 26% 19% 21%
Number of shares
outstanding
at end of period
(000's)................. 38,889 31,886 31,830 29,137 28,322
Net assets at end of
period (000's).......... $922,679 $817,573 $804,318 $607,061 $540,688
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
FINANCIAL HIGHLIGHTS - CONTINUED 89
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date.
SMALL CAP INDEX FUND
<TABLE>
<CAPTION>
Fiscal Year Ended May 31,
----------------------------------------------------------
2000 1999 1998 1997 1996
----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $15.84 $17.94 $16.18 $16.25 $12.49
-------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income.. 0.18 0.19 0.19 0.19 0.20
Net realized and
unrealized gain (loss)
on securities.......... 1.43 (0.74) 3.17 0.93 4.04
-------------------------------------------------------------
Total income (loss)
from investment
operations............. 1.61 (0.55) 3.36 1.12 4.24
-------------------------------------------------------------
Distributions from:
Net investment income.. (0.18) (0.19) (0.19) (0.19) (0.20)
Net realized gain
on securities.......... (1.61) (1.36) (1.41) (1.00) (0.28)
-------------------------------------------------------------
Total distributions.... (1.79) (1.55) (1.60) (1.19) (0.48)
-------------------------------------------------------------
Net asset value at end
of period............... $15.66 $15.84 $17.94 $16.18 $16.25
-------------------------------------------------------------
TOTAL RETURN............ 10.22% (2.45)% 21.34% 7.51% 34.50%
-------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.40% 0.41% 0.39% 0.41% 0.41%
Ratio of net investment
income to average net
assets.................. 1.12% 1.20% 1.05% 1.34% 1.36%
Portfolio turnover
rate.................... 35% 36% 36% 42% 31%
Number of shares
outstanding at end of
period (000's).......... 14,596 13,890 13,777 11,893 11,129
Net assets at end of
period (000's).......... $228,602 $220,002 $247,183 $192,459 $180,785
</TABLE>
INTERNATIONAL EQUITIES FUND
<TABLE>
<CAPTION>
Fiscal Year Ended May 31,
---------------------------------------------------------
2000 1999 1998 1997 1996
---------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $11.32 $11.95 $11.44 $11.15 $10.42
-------------------------------------------------------------
Income from investment
operations:
Net investment income.. 0.15 0.22 0.23 0.20 0.17
Net realized and
unrealized gain on
securities............. 1.90 0.30 0.85 0.63 0.97
-------------------------------------------------------------
Total income from
investment operations.. 2.05 0.52 1.08 0.83 1.14
-------------------------------------------------------------
Distributions from:
Net investment income.. (0.14) (0.25) (0.24) (0.19) (0.17)
Net realized gain
on securities.......... (0.68) (0.90) (0.33) (0.35) (0.24)
-------------------------------------------------------------
Total distributions.... (0.82) (1.15) (0.57) (0.54) (0.41)
-------------------------------------------------------------
Net asset value at end
of period............... $12.55 $11.32 $11.95 $11.44 $11.15
-------------------------------------------------------------
TOTAL RETURN............ 18.01% 4.43% 9.92% 7.74% 11.14%
-------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.41% 0.43% 0.40% 0.42% 0.42%
Ratio of net investment
income to
average net assets...... 1.20% 1.89% 1.92% 1.75% 1.65%
Portfolio turnover
rate.................... 25% 8% 9% 12% 20%
Number of shares
outstanding
at end of period
(000's)................. 12,980 12,559 13,009 15,857 18,497
Net assets at end of
period (000's).......... $162,840 $142,108 $155,469 $181,437 $206,259
</TABLE>
--------------------------------------------------------------------------------
<PAGE>
90 FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date.
GROWTH FUND
<TABLE>
<CAPTION>
Fiscal Year Ended May 31,
-------------------------------------------------------------
2000 1999 1998 1997 1996
------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period........... $ 24.12 $ 22.08 $ 17.62 $ 16.49 $ 11.43
------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income
(loss)....................... - (0.08) (0.02) 0.02 0.11
Net realized and unrealized
gain (loss) on securities.... 0.20 3.13 4.82 1.45 5.27
------------------------------------------------------------
Total income (loss) from
investment operations........ 0.20 3.05 4.80 1.47 5.38
------------------------------------------------------------
Distributions from:
Net investment income........ - - (0.01) (0.01) (0.09)
Net realized gain
on securities................ (1.01) (1.01) (0.33) (0.33) (0.23)
------------------------------------------------------------
Total distributions.......... (1.01) (1.01) (0.34) (0.34) (0.32)
------------------------------------------------------------
Net asset value at end of
period........................ $ 23.31 $ 24.12 $ 22.08 $ 17.62 $ 16.49
------------------------------------------------------------
TOTAL RETURN.................. 0.96% 14.20% 27.41% 9.00% 47.46%
------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets............ 0.85% 0.86% 0.84% 0.86% 0.83%
Ratio of net investment income
(loss) to
average net assets............ 0.02% (0.36)% (0.11)% 0.09% 0.89%
Portfolio turnover rate....... 134% 42% 43% 40% 36%
Number of shares outstanding
at end of period (000's)...... 48,685 52,690 49,832 42,422 25,836
Net assets at end of period
(000's)....................... $1,135,083 $1,271,034 $1,100,137 $ 747,654 $425,787
</TABLE>
GROWTH & INCOME FUND
<TABLE>
<CAPTION>
Fiscal Year Ended May 31,
------------------------------------------------------------
2000 1999 1998 1997 1996
------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $ 21.53 $ 19.91 $ 16.87 $ 14.78 $ 11.09
------------------------------------------------------------
Income from investment
operations:
Net investment income.. 0.15 0.06 0.08 0.10 0.08
Net realized and
unrealized
gain on securities..... 1.96 3.17 3.25 2.38 3.77
------------------------------------------------------------
Total income from
investment operations.. 2.11 3.23 3.33 2.48 3.85
------------------------------------------------------------
Distributions from:
Net investment income.. (0.14) (0.08) (0.08) (0.10) (0.07)
Net realized gain
on securities.......... (2.46) (1.53) (0.21) (0.29) (0.09)
------------------------------------------------------------
Total distributions.... (2.60) (1.61) (0.29) (0.39) (0.16)
------------------------------------------------------------
Net asset value at end
of period............... $ 21.04 $ 21.53 $ 19.91 $16.87 $ 14.78
------------------------------------------------------------
TOTAL RETURN............ 9.67% 16.92% 19.87% 17.08% 34.85%
------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.80% 0.82% 0.80% 0.81% 0.79%
Ratio of net investment
income to
average net assets...... 0.70% 0.29% 0.43% 0.70% 0.63%
Portfolio turnover
rate.................... 89% 102% 78% 45% 64%
Number of shares
outstanding
at end of period
(000's)................. 15,665 13,790 13,619 12,422 7,685
Net assets at end of
period (000's).......... $ 329,588 $ 296,885 $ 271,159 $209,545 $113,546
------------------------------------------------------------
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS - CONTINUED 91
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date.
SCIENCE & TECHNOLOGY FUND
<TABLE>
<CAPTION>
Fiscal Year Ended May 31,
--------------------------------------------------------------
2000 1999 1998 1997 1996
--------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $ 29.95 $ 22.07 $ 19.88 $ 20.48 $ 14.43
--------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income
(loss)................. (0.11) (0.10) (0.09) - -
Net realized and
unrealized
gain on securities..... 16.37 10.36 2.28 0.33 8.08
--------------------------------------------------------------
Total income from
investment operations.. 16.26 10.26 2.19 0.33 8.08
--------------------------------------------------------------
Distributions from:
Net investment income.. - - - - -
Net realized gain
on securities.......... (5.07) (2.38) - (0.93) (2.03)
--------------------------------------------------------------
Total distributions.... (5.07) (2.38) - (0.93) (2.03)
--------------------------------------------------------------
Net asset value at end
of period............... $ 41.14 $ 29.95 $ 22.07 $ 19.88 $ 20.48
--------------------------------------------------------------
TOTAL RETURN............ 52.65% 48.34% 10.85% 1.81% 58.28%
--------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.96% 0.96% 0.95% 0.96% 0.94%
Ratio of net investment
income (loss) to
average net assets...... (0.40)% (0.46)% (0.46)% (0.29)% (0.07)%
Portfolio turnover
rate.................... 130% 149% 128% 122% 116%
Number of shares
outstanding
at end of period
(000's)................. 80,564 56,211 46,355 40,484 27,696
Net assets at end of
period (000's).......... $3,314,052 $1,683,585 $1,023,141 $804,982 $567,187
</TABLE>
SOCIAL AWARENESS FUND
<TABLE>
<CAPTION>
Fiscal Year Ended May 31,
--------------------------------------------------------------
2000 1999 1998 1997 1996
--------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $ 24.11 $ 22.16 $ 17.90 $ 15.49 $ 13.02
--------------------------------------------------------------
Income from investment
operations:
Net investment income.. 0.20 0.21 0.23 0.24 0.26
Net realized and
unrealized
gain on securities..... 1.61 4.08 5.07 4.19 3.37
--------------------------------------------------------------
Total income from
investment operations.. 1.81 4.29 5.30 4.43 3.63
--------------------------------------------------------------
Distributions from:
Net investment income.. (0.18) (0.22) (0.23) (0.24) (0.25)
Net realized gain
on securities.......... (0.97) (2.12) (0.81) (1.78) (0.91)
--------------------------------------------------------------
Total distributions.... (1.15) (2.34) (1.04) (2.02) (1.16)
--------------------------------------------------------------
Net asset value at end
of period............... $ 24.77 $ 24.11 $ 22.16 $ 17.90 $ 15.49
--------------------------------------------------------------
TOTAL RETURN............ 7.49% 20.05% 30.34% 30.48% 28.85%
--------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.55% 0.57% 0.54% 0.56% 0.56%
Ratio of net investment
income to
average net assets...... 0.79% 0.93% 1.17% 1.53% 1.80%
Portfolio turnover
rate.................... 40% 49% 120% 109% 117%
Number of shares
outstanding
at end of period
(000's)................. 23,509 21,646 15,080 8,677 5,220
Net assets at end of
period (000's).......... $582,403 $521,965 $334,167 $155,349 $80,887
--------------------------------------------------------------
</TABLE>
<PAGE>
92 FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date.
ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
Fiscal Year Ended May 31,
--------------------------------------------------------
2000 1999 1998 1997 1996
--------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $ 14.43 $ 14.02 $ 12.57 $ 12.55 $ 11.24
--------------------------------------------------------
Income from investment
operations:
Net investment income.. 0.44 0.40 0.41 0.77 0.44
Net realized and
unrealized
gain on securities..... 0.51 1.26 2.24 1.44 1.53
--------------------------------------------------------
Total income from
investment operations.. 0.95 1.66 2.65 2.21 1.97
--------------------------------------------------------
Distributions from:
Net investment income.. (0.44) (0.40) (0.41) (0.78) (0.44)
Net realized gain
on securities.......... (0.26) (0.85) (0.79) (1.41) (0.22)
--------------------------------------------------------
Total distributions.... (0.70) (1.25) (1.20) (2.19) (0.66)
--------------------------------------------------------
Net asset value at end
of period............... $ 14.68 $ 14.43 $ 14.02 $ 12.57 $ 12.55
--------------------------------------------------------
TOTAL RETURN............ 6.65% 12.23% 21.94% 15.89% 17.90%
--------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.55% 0.57% 0.54% 0.57% 0.57%
Ratio of net investment
income to
average net assets...... 2.98% 2.81% 3.02% 3.26% 3.62%
Portfolio turnover
rate.................... 162% 160% 24% 103% 119%
Number of shares
outstanding
at end of period
(000's)................. 16,135 17,222 14,269 14,107 15,142
Net assets at end of
period (000's).......... $236,804 $248,473 $200,099 $177,347 $190,024
</TABLE>
CAPITAL CONSERVATION FUND
<TABLE>
<CAPTION>
Fiscal Year Ended May 31,
-------------------------------------------------------
2000 1999 1998 1997 1996
-------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $ 9.39 $ 9.68 $ 9.31 $ 9.23 $ 9.52
-------------------------------------------------------
Income (loss) from
investment operations:
Net investment income.. 0.62 0.60 0.61 0.62 0.62
Net realized and
unrealized
gain (loss) on
securities............. (0.61) (0.29) 0.37 0.08 (0.29)
-------------------------------------------------------
Total income from
investment operations.. 0.01 0.31 0.98 0.70 0.33
-------------------------------------------------------
Distributions from:
Net investment income.. (0.62) (0.60) (0.61) (0.62) (0.62)
Net realized gain
on securities.......... - - - - -
-------------------------------------------------------
Total distributions.... (0.62) (0.60) (0.61) (0.62) (0.62)
-------------------------------------------------------
Net asset value at end
of period............... $ 8.78 $ 9.39 $ 9.68 $ 9.31 $ 9.23
-------------------------------------------------------
TOTAL RETURN............ 0.13% 3.25% 10.76% 7.75% 3.41%
-------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.55% 0.60% 0.54% 0.57% 0.57%
Ratio of net investment
income to
average net assets...... 6.73% 6.24% 6.32% 6.59% 6.47%
Portfolio turnover
rate.................... 144% 41% 14% 45% 80%
Number of shares
outstanding
at end of period
(000's)................. 5,756 6,720 6,577 7,168 7,604
Net assets at end of
period (000's).......... $50,525 $63,131 $63,654 $66,747 $70,212
-------------------------------------------------------
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS - CONTINUED 93
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date.
GOVERNMENT SECURITIES FUND
<TABLE>
<CAPTION>
Fiscal Year Ended May 31,
---------------------------------------------------------
2000 1999 1998 1997 1996
---------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $9.90 $10.09 $9.67 $9.61 $9.89
---------------------------------------------------------
Income (loss) from
investment operations:
Net investment income.. 0.55 0.55 0.58 0.59 0.61
Net realized and
unrealized gain
(loss) on securities... (0.39) (0.19) 0.42 0.06 (0.28)
---------------------------------------------------------
Total income from
investment operations.. 0.16 0.36 1.00 0.65 0.33
---------------------------------------------------------
Distributions from:
Net investment income.. (0.55) (0.55) (0.58) (0.59) (0.61)
Net realized gain
on securities.......... - - - - -
---------------------------------------------------------
Total distributions.... (0.55) (0.55) (0.58) (0.59) (0.61)
---------------------------------------------------------
Net asset value at end
of period............... $9.51 $9.90 $10.09 $9.67 $9.61
---------------------------------------------------------
TOTAL RETURN............ 1.74% 3.58% 10.60% 6.94% 3.32%
---------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses
to average net assets... 0.55% 0.59% 0.54% 0.56% 0.56%
Ratio of net investment
income to average net
assets.................. 5.68% 5.46% 5.82% 6.11% 6.21%
Portfolio turnover
rate.................... 132% 39% 24% 38% 36%
Number of shares
outstanding at end of
period (000's).......... 10,581 10,853 9,129 8,672 8,164
Net assets at end of
period (000's).......... $100,648 $107,425 $92,120 $83,827 $78,423
</TABLE>
INTERNATIONAL GOVERNMENT BOND FUND
<TABLE>
<CAPTION>
Fiscal Year Ended May 31,
-----------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $11.62 $11.42 $11.33 $11.79 $12.72
-----------------------------------------------------------
Income (loss) from
investment operations:
Net investment income.. 0.48 0.51 0.56 0.63 0.65
Net realized and
unrealized gain (loss)
on securities.......... (0.98) 0.24 (0.26) (0.49) (0.89)
-----------------------------------------------------------
Total income (loss)
from investment
operations............. (0.50) 0.75 0.30 0.14 (0.24)
-----------------------------------------------------------
Distributions from:
Net investment income.. (0.23) (0.48) (0.20) (0.58) (0.68)
Net realized gain
on securities.......... (0.01) (0.07) (0.01) (0.02) (0.01)
-----------------------------------------------------------
Total distributions.... (0.24) (0.55) (0.21) (0.60) (0.69)
-----------------------------------------------------------
Net asset value at end
of period............... $10.88 $11.62 $11.42 $11.33 $11.79
-----------------------------------------------------------
TOTAL RETURN............ (4.43)% 6.40% 2.65% 1.13% (1.91)%
-----------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.52% 0.57% 0.55% 0.56% 0.56%
Ratio of net investment
income to average net
assets.................. 4.07% 4.27% 4.70% 5.13% 5.45%
Portfolio turnover
rate.................... 15% 22% 17% 4% 11%
Number of shares
outstanding at end of
period (000's).......... 12,044 13,647 13,646 15,680 12,073
Net assets at end of
period (000's).......... $130,978 $158,509 $155,783 $177,709 $142,383
-------------------------------------------------------------------------------------
</TABLE>
<PAGE>
94 FINANCIAL HIGHLIGHTS - CONTINUED
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date.
MONEY MARKET FUND
<TABLE>
<CAPTION>
Fiscal Year Ended May 31,
--------------------------------------------------------
2000 1999 1998 1997 1996
---------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $1.00 $1.00 $1.00 $1.00 $1.00
---------------------------------------------------------
Income from investment
operations:
Net investment income.. 0.05 0.05 0.05 0.05 0.05
---------------------------------------------------------
Distributions from:
Net investment income.. (0.05) (0.05) (0.05) (0.05) (0.05)
---------------------------------------------------------
Net asset value at end
of period............... $1.00 $1.00 $1.00 $1.00 $1.00
---------------------------------------------------------
TOTAL RETURN............ 5.21% 4.84% 5.25% 5.02% 5.26%
---------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.56% 0.57% 0.54% 0.57% 0.57%
Ratio of net investment
income to average net
assets.................. 5.13% 4.66% 5.14% 4.95% 5.14%
Number of shares
outstanding at end of
period (000's).......... 484,934 347,394 190,975 128,125 83,618
Net assets at end of
period (000's).......... $484,934 $347,394 $190,975 $128,125 $83,618
-----------------------------------------------------------------------------------
</TABLE>
<PAGE>
REPORT OF INDEPENDENT AUDITORS 95
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
AMERICAN GENERAL SERIES PORTFOLIO COMPANY
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of American General Series Portfolio
Company (comprising, respectively, the Stock Index Fund, MidCap Index Fund,
Small Cap Index Fund, International Equities Fund, Growth Fund, Growth & Income
Fund, Science & Technology Fund, Social Awareness Fund, Asset Allocation Fund,
Capital Conservation Fund, Government Securities Fund, International Government
Bond Fund, and Money Market Fund) as of May 31, 2000, and the related
statements of operations for the year then ended, the statements of changes in
net assets for each of the two years in the period then ended, and the
financial highlights for each of the five years in the period then ended. These
financial statements and financial highlights are the responsibility of the
Company's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
and financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of May 31, 2000, by correspondence with the
custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective Funds comprising the American General Series Portfolio
Company at May 31, 2000, the results of their operations for the year then
ended, the changes in their net assets for each of the two years in the period
then ended, and the financial highlights for each of the five years in the
period then ended, in conformity with accounting principles generally accepted
in the United States.
ERNST & YOUNG LLP
Houston, Texas
July 12, 2000
--------------------------------------------------------------------------------
<PAGE>
96 AMERICAN GENERAL SERIES PORTFOLIO COMPANY
BOARD OF DIRECTORS OFFICERS
Kent E. Barrett Alice T. Kane,
Judith L. Craven Chairman and President
Timothy J. Ebner Kent E. Barrett,
Gustavo E. Gonzales, Jr. Executive Vice President
Norman Hackerman Peter V. Tuters,
Alice T. Kane Vice President and Senior Investment
John W. Lancaster Officer
Ben H. Love Teresa S. Moro,
John E. Maupin, Jr. Vice President and Investment Officer
F. Robert Paulsen Leon A. Olver,
Vice President and Investment Officer
DISTRIBUTOR William Trimbur, Jr.,
American General Distributors, Inc. Vice President and Investment Officer
2929 Allen Parkway Nori L. Gabert,
Houston, Texas 77019 Vice President and Secretary
Pauletta P. Cohn,
CUSTODIAN Vice President
State Street Bank and Trust Company Charles H. Clines
225 Franklin Street Vice President and Tax Officer
Boston, Massachusetts 02110 Gregory R. Seward,
Treasurer
INVESTMENT ADVISER Todd L. Spillane,
The Variable Annuity Life Chief Compliance Officer
Insurance Company (VALIC) Jaime M. Sepulveda,
2929 Allen Parkway Assistant Treasurer
Houston, Texas 77019 Gregory R. Kingston,
Controller
INVESTMENT SUB-ADVISERS Kathryn A. Pearce,
T. Rowe Price Associates, Inc. Assistant Controller
100 East Pratt Street Donald H. Guire
Baltimore, Maryland 21202 Assistant Controller
Heriberto R. Valdez,
Wellington Management Company, LLP Assistant Controller
75 State Street
Boston, Massachusetts 02109
INDEPENDENT AUDITORS
Ernst & Young LLP
1221 McKinney
Houston, Texas 77010
SHAREHOLDER SERVICE AGENT
The Variable Annuity Life
Insurance Company (VALIC)
2929 Allen Parkway
Houston, Texas 77019
TO INSURANCE PRODUCT OWNERS:
This report contains detailed financial information to help you understand
your variable insurance product's past performance and shows the performance
for the funds that you invested in through your variable insurance contract.
The performance does not reflect account charges under your insurance product.
These charges would otherwise lower the performance information shown.
This report is for the information of the shareholders and variable insurance
product owners participating in the American General Series Portfolio Company.
It is authorized for distribution to other persons only when preceded or
accompanied by an effective prospectus which contains information on how to
purchase shares and other pertinent information.
If you would like further information about the material or products issued
by VALIC, American General Annuity Insurance Company or American General Life
Insurance Company, please contact your account representative.
"Standard & Poor's(R)", "Standard & Poor's Mid Cap 400 Index" and "S&P
500(R)" are trademarks of Standard & Poor's Corporation. The Stock Index Fund
and MidCap Index Fund are not sponsored, endorsed, sold or promoted by S&P,
and S&P makes no representation regarding the advisability of investing in the
funds. The Russell 2000(R) Index is a trademark/service mark of the Frank
Russell Company. Russell(TM) is a trademark of the Frank Russell Company.
American General Financial Group is the marketing name for American General
Corporation and its subsidiaries.
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AMERICAN GENERAL SERIES PORTFOLIO COMPANY
P.O. Box 3206
Houston, Texas 77253-3206
AMERICAN
GENERAL
FINANCIAL GROUP
American General Financial Group is the marketing
name and service mark owned and used by
American General Corporation and its subsidiaries.
VA 4873 VER 05/00
