<PAGE> 1
ANCHOR
SERIES
TRUST
ANNUAL
REPORT
DECEMBER 31, 1995
<PAGE> 2
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DEAR ANCHOR SERIES TRUST INVESTOR:
This report contains the annual financial information for
the twelve portfolios in the Anchor Series Trust that underlie
the ICAP II Variable Annuity from Anchor National Life Insurance
Company and First SunAmerica Life Insurance Company.
As most of you are aware, 1995 was a year of extremely
strong performance in the U.S. stock market, with a return of
37.6% as represented by the S&P 500 Composite Index. Smaller
capitalization stocks also had a positive showing, as evidenced
by a 28.4% return for the Russell 2000, a small cap stock index.
These equity returns were followed by a very strong bond market
with investment grade bonds returning 18.5% (as measured by the
Lehman Bros. Aggregate Index) and high yield bonds returning
19.2% (Lehman Bros. High Yield Index).
Fueling these returns were a number of economic and market
factors, including a low and stable rate of inflation, slow
economic growth, continued strong corporate earnings, two
Federal Reserve short-term interest rate cuts, and relatively
low interest rates. These factors provide an economic setting
that was and continues to be positive for investors.
Non-U.S. equity markets were generally positive for the
year as represented by the Morgan Stanley Capital International
Europe, Australia, and Far East (EAFE) Index (GDP-weighted) gain
of 11.6%. Like the U.S., many other countries have also been
impacted by slow economic growth and have begun taking steps to
cut interest rates and provide tax cuts and other stimuli. We
are seeing some positive signs that these steps are working.
This is particularly true in Japan, which has been in a
recession for several years and seems to be turning a corner.
In short, 1995 was an unusually good year in the stock and
bond markets, and the Anchor Series Trust portfolios
participated in these gains. Following is a more in-depth review
of the major capital markets from Wellington Management Company,
the investment adviser for these portfolios.
EQUITY MARKETS
The fourth quarter brought a continuation of strongly
positive market trends. 1995 saw the best total return for the
U.S. stock market in almost 40 years. Much of the fundamental
backdrop that fueled this rise is still in place: moderate
growth, moderate inflation, and falling interest rates. A key
difference is corporate profits, where the outlook is still
positive but the absolute gains are expected to be more subdued.
Therefore, positive but less spectacular results are expected in
1996.
In terms of the U.S. economic outlook, fourth quarter
activity was sluggish, as consumers continued to be cautious and
manufacturers shed excess inventory. Real GDP grew at an
approximate 1.0% annual rate. A similarly slow growth rate in
the first quarter should follow, as the inventory adjustment
ends. The Federal Reserve is midway through a trend of lower
rates, with additional rate cuts anticipated. This sets the
stage for improving economic activity later in the year. On a
fourth-quarter to fourth-quarter basis, real GDP growth is
expected to improve gradually from 2.2% in 1995 to 2.5% in 1996.
In the context of this benign growth, inflation should remain
subdued.
FIXED INCOME MARKETS
As had been true for much of the year, the bond market was
supported in the fourth quarter of 1995 by a weak economy, low
inflation, and optimism regarding the appearance of progress,
however erratic, on the Federal budget deficit. The Federal
Reserve recognized weak fundamentals and a lack of pricing
pressure, by easing the Fed Funds rate a modest 25 basis points
in December for the first time since early July. The level of
interest rates declined across all maturities by roughly 50
basis points during last year's final quarter, fueling a strong
rally.
During 1995, mortgage-backed securities lagged Treasury
bonds and corporate bonds due to the increased risk of
prepayments in a declining rate environment. In 1995, high-yield
bonds modestly outperformed investment grade bonds overall.
Despite the fact that intermediate and long-term Treasury rates
fell in 1995 by 250 and 200 basis points, respectively, economic
fundamentals continue to favor bonds. After last year's sharp
bond market rally, current yield
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levels offer less opportunity for capital gains in 1996.
Therefore, income will play a more significant role in total
bond returns in 1996 than in 1995.
INTERNATIONAL MARKETS
Slow or slowing growth and low inflation currently prevail
in the world's major economies. These results have been
associated with budget deficit cuts not fully offset by an ease
in monetary policies, except in the case of Japan. In addition,
consumer caution and soft export demand were widespread. Among
the major industrialized economies in 1995, capital investment
was strong only in the U.S., with Germany and the U.K.
exhibiting weak growth and Japanese investment declining.
Inflation at or below 3% prevailed worldwide with the exception
of the U.K. Slowing growth and low inflation spurred many
central banks to cut interest rates throughout the latter part
of 1995. In Japan, the four-year-long recession is slowly coming
to an end with no inflation or mild deflation prevailing. To
stimulate recovery, the Bank of Japan has maintained its
official discount rate at 0.5%, a post-World War II low. In
summary, one may expect about 2% growth and inflation in the
major industrialized economies (the U.S., the U.K., Germany, and
France) in 1996. One exception to this forecast is Japan, where
an inflation rate closer to 0% is expected. In other Pacific
Basin countries, high growth with some inflation is the likely
result.
Although the major financial markets experienced an
extremely positive year in 1995, the investment adviser is quite
optimistic about the prospects for further positive returns in
1996. Absolute results may be less robust than the record
returns seen in 1995, but they expect to continue to find many
interesting investment opportunities.
To help investors gain perspective about the Anchor Series
Trust portfolios, the adviser has added comparative fund
averages as compiled by Lipper Analytical Services to our report
this year. These Lipper averages represent all variable annuity
funds with similar objectives and are included in each portfolio
discussion to the extent that a comparable Lipper category
exists. The Lipper returns shown include all fund expenses but
exclude insurance company expenses associated with the variable
annuities. The adviser believes these averages may be helpful to
shareholders in evaluating the Anchor Series Trust portfolios,
since an average of comparable funds is often a truer comparison
than an unmanaged index of securities such as the S&P 500 (which
is not actively managed and which is reported "gross" of all
expenses and transaction costs). Nevertheless, in addition to
the Lipper averages, major market indices such as the S&P 500
and the Lehman Bros. Aggregate are also included as an
additional point of reference.
As we are now well into the first quarter of a new year,
the economic prospects look bright. Of course, while years like
the one just past are always welcome, investors would do well to
remember that financial markets can -- and do -- move in both
directions. Regardless of market conditions, our investment
adviser remains committed to helping you achieve your long-term
goals by striving to uncover promising investment opportunities
as they arise. We look forward to reporting to you again at
mid-year 1996.
Sincerely,
Eli Broad
Chairman and Chief Executive Officer,
Anchor National Life Insurance Company
February 16, 1996
Please refer to page 63 for investment comments and performance
graphs regarding the 12 Anchor Series Trust Portfolios.
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ANCHOR SERIES TRUST
MONEY MARKET PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 96.4% AMOUNT VALUE
<S> <C> <C>
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<CAPTION>
<S> <C> <C>
BANK NOTES -- 12.8%
Bank of New York Co., Inc. 5.52% due 5/22/96........................ $ 3,000,000 $ 2,999,086
Chase Manhattan Corp. 5.77% due 4/15/96............................. 3,000,000 3,000,000
First Bank of SD, (N.A.) 5.91% due 1/17/96(1)....................... 3,000,000 2,999,801
First National Bank of Maryland 5.75% due 5/01/96................... 3,000,000 3,000,430
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TOTAL BANK NOTES (cost: $11,999,317)................................ 11,999,317
------------
CORPORATE SHORT-TERM NOTES -- 69.7%
American General Finance Corp. 5.70% due 1/18/96.................... 1,600,000 1,595,693
American Home Products Corp. 5.66% due 3/07/96...................... 3,000,000 2,968,870
Asset Securitization Cooperative Corp. 5.70% due 1/23/96............ 3,000,000 2,989,550
Associates Corp. of North America 5.70% due 1/19/96................. 3,000,000 2,991,450
BCI Funding Corp. 5.71% due 2/16/96................................. 3,000,000 2,978,112
BHF Finance (DE), Inc. 5.64% due 3/04/96............................ 2,000,000 1,980,260
Burlington Northern Santa Fe Corp. 5.90% due 2/28/96................ 1,000,000 990,494
CIT Group Holdings, Inc. 5.70% due 1/24/96.......................... 3,000,000 2,989,075
Commerzbank U.S. Finance, Inc. 5.70% due 1/12/96.................... 1,305,000 1,302,727
CoreStates Capital Corp. 5.86% due 1/05/96(1)....................... 4,000,000 4,000,000
ESC Securitization, Inc. 5.68% due 2/22/96.......................... 3,000,000 2,975,387
Ford Motor Credit Co. 5.68% due 1/25/96............................. 3,000,000 2,988,640
General Electric Capital Corp. 5.60% due 4/03/96.................... 3,000,000 2,956,600
General Motors Acceptance Corp. 5.78% due 2/12/96................... 3,000,000 2,979,770
Hitachi America Ltd. 5.72% due 1/12/96.............................. 1,260,000 1,257,798
Household International, Inc. 5.65% due 3/08/96..................... 3,000,000 2,968,454
Kredietbank N.A. Finance Corp. 5.70% due 3/01/96.................... 3,000,000 2,971,500
McKenna Triangle National Corp. 5.74% due 1/11/96................... 3,000,000 2,995,217
PNC Funding Corp. 5.75% due 2/05/96................................. 2,885,000 2,868,872
Preferred Receivables Funding Corp. 5.87% due 1/18/96............... 985,000 982,269
Riverwoods Funding Corp. 5.68% due 2/15/96.......................... 3,000,000 2,978,700
Sears Roebuck Acceptance Corp. 5.70% due 2/22/96.................... 3,000,000 2,975,300
Toshiba America, Inc. 5.65% due 1/12/96............................. 3,000,000 2,994,821
Transamerica Finance Corp. 5.71% due 1/11/96........................ 2,670,000 2,665,765
Westpac Banking Corp. 5.53% due 4/30/96............................. 3,000,000 2,944,700
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TOTAL CORPORATE SHORT-TERM NOTES (cost: $65,290,024)................ 65,290,024
------------
FEDERAL AGENCY OBLIGATIONS -- 10.7%
Student Loan Marketing Association 5.24% due 1/02/96(1)
(cost: $10,000,000)............................................... 10,000,000 10,000,000
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</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES (continued) AMOUNT VALUE
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
MISCELLANEOUS -- 3.2%
SMM Trust 5.99% due 1/03/96 (cost: $3,000,000)*(1).................. $ 3,000,000 $ 3,000,000
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TOTAL SHORT-TERM SECURITIES (cost: $90,289,341)..................... 90,289,341
-----------
TOTAL INVESTMENTS --
(cost: $90,289,341) 96.4% 90,289,341
Other assets less liabilities -- 3.6 3,402,342
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NET ASSETS -- 100.0% $93,691,683
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</TABLE>
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* Resale restricted to qualified institutional buyers
(1) Variable rate security - the rate reflected is as of December
31, 1995; maturity date reflects next reset date
See Notes to Financial Statements
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ANCHOR SERIES TRUST
GOVERNMENT & QUALITY BOND
PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 89.5% AMOUNT VALUE
<S> <C> <C>
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<CAPTION>
<S> <C> <C>
AUTOMOTIVE -- 2.1%
Daimler-Benz Vehicle Trust 5.95% 2000............................... $ 2,203,228 $ 2,206,068
Premier Auto Trust 4.65% 1999....................................... 2,584,781 2,554,537
-------------
4,760,605
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FINANCE -- 11.6%
Beneficial Corp. 5.20% 1999(1)...................................... 5,000,000 4,929,700
Ford Motor Credit 5.37% 1999(1)..................................... 5,000,000 4,969,995
General Reinsurance Corp. 9.00% 2009................................ 5,000,000 6,186,250
Morgan (J.P.) & Co., Inc. 6.25% 2005................................ 5,000,000 4,990,850
Stanford University 6.88% 2024...................................... 5,000,000 5,103,500
-------------
26,180,295
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RETAIL -- 3.7%
McDonald's Corp. 7.05% 2025......................................... 3,300,000 3,380,335
Wal-Mart Stores, Inc. 6.75% 2023.................................... 5,000,000 5,063,700
-------------
8,444,035
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TRANSPORTATION -- 2.7%
United Parcel Service of America, Inc. 8.38% 2020................... 5,000,000 6,037,500
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U.S. GOVERNMENT & AGENCIES -- 62.3%
Federal Home Loan Mortgage Corp. 6.00% 2008 - 2011.................. 9,900,005 9,791,698
Federal Home Loan Mortgage Corp. 6.50% TBA.......................... 15,000,000 15,079,650
Federal Home Loan Mortgage Corp. 7.29% 2004......................... 20,000,000 20,343,800
Federal Home Loan Mortgage Corp. 14.75% 2010........................ 195,888 232,249
Federal National Mortgage Association 7.50% 2023 - 2025............. 4,814,259 4,933,074
Federal National Mortgage Association 8.00% 2023.................... 14,116,652 14,619,487
Government National Mortgage Association 6.50% 2023 - 2024.......... 24,755,913 24,554,647
Government National Mortgage Association 7.50% 2022................. 8,921,467 9,198,478
Government National Mortgage Association 9.50% 2016 - 2017.......... 3,352,675 3,629,001
Government National Mortgage Association 10.00% 2013 - 2017......... 3,282,793 3,572,505
Government National Mortgage Association 11.50% 2014................ 24,321 27,605
Government National Mortgage Association 12.00% 1999 - 2016......... 204,685 217,750
Government National Mortgage Association 12.75% 2014................ 81,050 93,816
Government National Mortgage Association 13.25% 1999 - 2014......... 21,697 24,733
Government National Mortgage Association 13.50% 2014................ 11,874 14,115
Government National Mortgage Association 13.75% 2014................ 2,640 3,056
United States Treasury Bonds 10.38% 2012............................ 16,500,000 22,811,250
United States Treasury Notes 7.50% 2005............................. 10,000,000 11,334,400
-------------
140,481,314
-------------
UTILITIES -- 2.6%
Hydro Quebec Electric 8.40% 2022.................................... 5,000,000 5,781,050
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</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
------------------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES: ELECTRIC, GAS & TELEPHONE -- 4.5%
Southern California Edison Co. 9.25% 2020........................... $ 5,000,000 $ 5,205,850
US West Communications, Inc. 6.88% 2033............................. 5,000,000 4,905,100
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10,110,950
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TOTAL INVESTMENT SECURITIES (cost: $194,935,330).................... 201,795,749
-------------
<CAPTION>
REPURCHASE AGREEMENT -- 16.2%
------------------------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost: $36,575,000)............................................... 36,575,000 36,575,000
------------
TOTAL INVESTMENTS --
(cost: $231,510,330) 105.7% 238,370,749
Liabilities in excess of other assets -- (5.7) (12,792,021)
----- ------------
NET ASSETS -- 100.0% $225,578,728
----- ============
</TABLE>
-----------------------------
(1) Variable rate security - the rate reflected is as of December
31, 1995; maturity date reflects next reset date
TBA - Securities purchased on a forward commitment basis with an
approximate principal amount and no definitive maturity
date. The actual principal amount and maturity date will be
determined upon settlement.
See Notes to Financial Statements
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ANCHOR SERIES TRUST
FIXED INCOME PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 97.7% AMOUNT VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
ASSET-BACKED SECURITIES -- 1.5%
Discover Card Trust Series A 5.50% 1998............................. $ 416,667 $ 415,754
------------
FINANCE -- 28.1%
Abbey National First Capital 8.20% 2004............................. 500,000 567,060
Ahmanson (H.F.) & Co. 8.25% 2002.................................... 500,000 553,390
Bank of New York, Inc. 7.63% 2002................................... 500,000 540,280
Beneficial Finance Co. 9.40% 1997................................... 225,000 236,516
Chemical Banking Corp. 6.63% 1998................................... 750,000 764,467
Citicorp 8.63% 2002................................................. 1,000,000 1,137,960
First Bank Systems, Inc. 8.00% 2004................................. 500,000 557,885
First National Bank of Boston 8.00% 2004............................ 1,000,000 1,108,520
First Union Bancorp. 7.50% 2035..................................... 400,000 442,940
General Motors Acceptance Corp. 8.50% 2003.......................... 500,000 564,670
Norwest Corp. Bank 7.65% 2005....................................... 500,000 553,745
Sun Canada Financial Co. 7.25% 2015................................. 300,000 302,522
Transamerica Financial Group, Inc. 9.25% 1998....................... 500,000 535,255
------------
7,865,210
------------
INDUSTRIAL & COMMERCIAL -- 14.3%
British Petroleum America Inc. 9.88% 2004........................... 500,000 623,770
Cablevision Systems Corp. 9.25% 2005................................ 25,000 25,969
Coastal Corp. 8.75% 1999............................................ 500,000 539,510
Columbia University Trustees 8.62% 2001............................. 500,000 561,540
Comcast Corp. 9.13% 2006............................................ 50,000 52,000
Container Corp. 9.75% 2003.......................................... 50,000 48,750
du Pont E.I. de Nemours & Co. 6.75% 2002............................ 493,000 515,249
Ford Motor Co. 9.00% 2001........................................... 500,000 565,760
Rockwell International Corp. 7.88% 2005............................. 500,000 564,120
Time Warner, Inc. 9.13% 2013........................................ 450,000 507,127
------------
4,003,795
------------
RETAIL -- 1.8%
Wal-Mart Stores, Inc. 5.88% 2005.................................... 500,000 492,675
------------
TRANSPORTATION -- 2.0%
CSX Corp. 9.50% 2000................................................ 500,000 569,485
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</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 40.4%
Federal Home Loan Mortgage Corp. 6.50% 2025......................... $ 496,767 $ 491,333
Federal Home Loan Mortgage Corp. 7.00% 2025......................... 992,383 1,001,374
Federal Home Loan Mortgage Corp. 6.50% TBA.......................... 1,000,000 994,370
Federal Home Loan Mortgage Corp. 7.00% TBA.......................... 500,000 509,685
Federal Home Loan Participation 7.50% 2007.......................... 826,333 837,083
Federal Home Loan Participation 9.75% 2002.......................... 500,053 551,618
Federal Home Loan Participation 11.00% 2000......................... 12,962 13,602
Government National Mortgage Association 7.50% 2023 - 2025.......... 970,371 998,269
Government National Mortgage Association 10.00% 2000................ 35,278 37,230
Government National Mortgage Association 11.25% 1998................ 9,010 9,421
Government National Mortgage Association 13.25% 1999................ 1,948 2,041
Government National Mortgage Association 7.50% TBA.................. 1,000,000 1,028,750
United States Treasury Bonds 7.25% 2016............................. 1,600,000 1,826,992
United States Treasury Bonds 10.75% 2003............................ 700,000 913,388
United States Treasury Bonds 12.00% 2013............................ 1,350,000 2,080,053
------------
11,295,209
------------
UTILITIES -- 9.6%
BellSouth Telecommunications 6.25% 2003............................. 500,000 508,065
Hydro Quebec 8.05% 2024............................................. 450,000 513,792
Niagara Mohawk Power Corp. 5.88% 2002............................... 750,000 727,882
Southern California Edison Co. 7.50% 1999........................... 500,000 524,370
Tele Communications, Inc. 9.80% 2012................................ 350,000 419,710
------------
2,693,819
------------
TOTAL INVESTMENT SECURITIES (cost: $25,724,672)..................... 27,335,947
------------
<CAPTION>
REPURCHASE AGREEMENT -- 0.5%
----------------------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost: $145,000).................................................. 145,000 145,000
-----------
TOTAL INVESTMENTS --
(cost: $25,869,672) 98.2% 27,480,947
Other assets less liabilities -- 1.8 493,855
----- -----------
NET ASSETS -- 100.0% $27,974,802
===== ===========
</TABLE>
-----------------------------
TBA - Securities purchased on a forward commitment basis with an
approximate principal amount and no definitive maturity
date. The actual principal amount and maturity date will be
determined upon settlement.
See Notes to Financial Statements
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ANCHOR SERIES TRUST
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1995
<TABLE>
<CAPTION>
COMMON STOCK -- 99.1% SHARES VALUE
<S> <C> <C>
------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY -- 10.1%
Apparel & Textiles -- 0.5%
Nine West Group, Inc. .............................................. 40,000 $ 1,500,000
Retail -- 9.6%
Arbor Drugs, Inc. .................................................. 75,000 1,575,000
AutoZone, Inc.+..................................................... 100,000 2,887,500
Barnes & Noble, Inc.+............................................... 70,000 2,030,000
Gymboree Corp.+..................................................... 64,000 1,320,000
Home Depot, Inc. ................................................... 120,000 5,745,000
May Department Stores Co. .......................................... 140,000 5,915,000
MSC Industrial Direct, Inc., Class A................................ 25,100 690,250
Rite Aid Corp....................................................... 100,000 3,425,000
Sports Authority, Inc.+............................................. 90,800 1,850,050
Talbots, Inc. ...................................................... 57,000 1,638,750
Wal-Mart Stores, Inc. .............................................. 110,000 2,461,250
-------------
31,037,800
-------------
CONSUMER STAPLES -- 7.5%
Food, Beverage & Tobacco -- 3.7%
Canandaigua Wine, Inc., Class A+.................................... 40,000 1,305,000
Mondavi (Robert) Corp., Class A..................................... 24,400 674,050
PepsiCo, Inc. ...................................................... 110,000 6,146,250
Sara Lee Corp. ..................................................... 100,600 3,206,625
Household Products -- 3.8%
Armor All Products Corp. ........................................... 45,000 815,625
Bush Boake Allen, Inc.+............................................. 59,000 1,615,125
Kimberly-Clark Corp. ............................................... 37,800 3,127,950
Procter & Gamble Co. ............................................... 75,000 6,225,000
-------------
23,115,625
-------------
ENERGY -- 6.6%
Energy Services -- 0.5%
Input/Output, Inc.+................................................. 30,000 1,732,500
Energy Sources -- 6.1%
Amoco Corp. ........................................................ 100,000 7,187,500
Barrett Resources Corp.+............................................ 70,000 2,056,250
Burlington Resources, Inc. ......................................... 64,000 2,512,000
Unocal Corp. ....................................................... 185,000 5,388,125
Vastar Resources, Inc. ............................................. 50,000 1,587,500
-------------
20,463,875
-------------
FINANCE -- 13.8%
Banks -- 5.1%
Associated Banc Corp. .............................................. 30,000 1,228,125
Bancorp Hawaii, Inc. ............................................... 40,000 1,435,000
First Bank System, Inc. ............................................ 70,000 3,473,750
First Commercial Corp. ............................................. 37,450 1,235,850
Morgan (J.P.) & Co., Inc. .......................................... 36,000 2,889,000
State Street Boston Corp. .......................................... 123,900 5,575,500
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
------------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Financial Services -- 5.0%
American Express Co. ............................................... 90,000 $ 3,723,750
Federal National Mortgage Association............................... 75,000 9,309,375
Morgan Stanley Group, Inc. ......................................... 28,000 2,257,500
Insurance -- 3.7%
American International Group, Inc. ................................. 52,500 4,856,250
American Reinsurance Corp. ......................................... 30,000 1,226,250
Frontier Insurance Group, Inc. ..................................... 37,000 1,184,000
General Re Corp. ................................................... 26,000 4,030,000
-------------
42,424,350
-------------
HEALTHCARE -- 9.2%
Drugs -- 5.4%
Alza Corp. ......................................................... 28,000 693,000
Pfizer, Inc. ....................................................... 70,000 4,410,000
Rhone Poulenc Rorer, Inc. .......................................... 130,000 6,922,500
Zeneca Group PLC ADR................................................ 80,000 4,670,000
Health Services -- 1.2%
American Medical Response, Inc.+.................................... 45,000 1,462,500
Beverly Enterprises, Inc.+.......................................... 195,000 2,071,875
Medical Products -- 2.6%
Abbott Laboratories................................................. 100,000 4,175,000
Biomet, Inc.+....................................................... 91,400 1,633,775
Datascope Corp. .................................................... 55,000 1,320,000
Life Technologies, Inc. ............................................ 35,000 953,750
-------------
28,312,400
-------------
INDUSTRIAL & COMMERCIAL -- 8.5%
Business Services -- 2.1%
Dames & Moore, Inc. ................................................ 75,000 909,375
G & K Services, Inc., Class A....................................... 65,000 1,657,500
Sysco Corp. ........................................................ 110,000 3,575,000
Tetra Tech, Inc. ................................................... 15,000 341,250
Electrical Equipment -- 2.2%
Hubbell, Inc. ...................................................... 57,000 3,747,750
Juno Lighting, Inc. ................................................ 80,000 1,280,000
Littelfuse, Inc. ................................................... 52,000 1,911,000
Machinery -- 3.1%
Donaldson Co., Inc. ................................................ 73,000 1,834,125
MFS Communications, Inc.+........................................... 75,000 3,993,750
Minnesota Mining & Manufacturing Co. ............................... 55,000 3,643,750
Transportation -- 1.1%
Air Express International Corp. .................................... 60,000 1,380,000
Airborne Freight Corp. ............................................. 45,000 1,198,125
Werner Enterprises, Inc. ........................................... 40,000 810,000
-------------
26,281,625
-------------
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
------------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 12.5%
Broadcasting & Media -- 7.9%
Advo, Inc. ......................................................... 53,000 $ 1,378,000
Comcast Corp., Special Class A...................................... 125,000 2,273,438
Dun & Bradstreet Corp. ............................................. 41,000 2,654,750
Gannett Co., Inc. .................................................. 70,000 4,296,250
Houghton Mifflin Co. ............................................... 44,000 1,892,000
Viacom, Inc., Class B+.............................................. 171,537 8,126,565
Vodafone Group PLC ADR.............................................. 100,000 3,525,000
Entertainment Products -- 1.5%
Coleman Company, Inc. .............................................. 44,000 1,545,500
Harley-Davidson, Inc.+.............................................. 56,000 1,610,000
Speedway Motorsports, Inc. ......................................... 52,000 1,560,000
Leisure & Tourism -- 3.1%
Landry's Seafood Restaurants, Inc. ................................. 55,000 938,437
McDonald's Corp. ................................................... 115,000 5,189,375
Southwest Airlines Co. ............................................. 150,000 3,487,500
-------------
38,476,815
-------------
INFORMATION TECHNOLOGY -- 20.1%
Communication Equipment -- 3.8%
Cisco Systems, Inc.+................................................ 80,000 5,970,000
General Instrument Corp.+........................................... 140,000 3,272,500
Nokia Corp. ADR..................................................... 63,400 2,464,675
Computers & Business Equipment -- 5.0%
Compaq Computer Corp.+.............................................. 130,000 6,240,000
Hewlett-Packard Co. ................................................ 91,600 7,671,500
Sensormatic Electronics Corp. ...................................... 80,000 1,390,000
Electronics -- 2.0%
AMP, Inc. .......................................................... 100,000 3,837,500
Dallas Semiconductor Corp. ......................................... 69,000 1,431,750
Silicon Valley Group, Inc. ......................................... 34,000 858,500
Software -- 9.3%
American Management Systems, Inc. .................................. 63,000 1,890,000
Automatic Data Processing, Inc. .................................... 61,000 4,529,250
BISYS Group, Inc.+.................................................. 60,000 1,845,000
BMC Software, Inc.+................................................. 125,000 5,343,750
Cognos, Inc. ....................................................... 70,000 3,123,750
DST Systems, Inc.+.................................................. 49,400 1,407,900
First Data Corp. ................................................... 35,000 2,340,625
Microsoft Corp.+.................................................... 40,000 3,510,000
Policy Management Systems Corp.+.................................... 70,000 3,333,750
Systems & Computer Technology Corp.+................................ 66,000 1,311,750
-------------
61,772,200
-------------
MATERIALS -- 6.3%
Chemicals -- 4.8%
Air Products & Chemicals, Inc. ..................................... 60,000 3,165,000
Engelhard Corp. .................................................... 149,925 3,260,869
Morton International, Inc. ......................................... 110,000 3,946,250
Nalco Chemical Co. ................................................. 80,000 2,410,000
Schulman A., Inc. .................................................. 91,000 2,047,500
Paper Products -- 1.5%
Bemis Co., Inc. .................................................... 60,000 1,537,500
International Paper Co. ............................................ 80,000 3,030,000
-------------
19,397,119
-------------
</TABLE>
---------------------
11
<PAGE> 13
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
------------------------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE -- 0.6%
Real Estate Companies -- 0.6%
Doubletree Corp.+................................................... 70,000 $ 1,837,500
-------------
UTILITIES -- 3.9%
Telephone -- 3.9%
AT & T Corp. ....................................................... 90,000 5,827,500
Century Telephone Enterprises, Inc. ................................ 46,000 1,460,500
MCI Communications Corp. ........................................... 180,000 4,702,500
-------------
11,990,500
-------------
TOTAL INVESTMENT SECURITIES (cost: $250,040,267).................... 305,109,809
-------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 1.1% AMOUNT
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost: $3,325,000)................................................ $ 3,325,000 3,325,000
-------------
TOTAL INVESTMENTS --
(cost: $253,365,267) 100.2% 308,434,809
Liabilities in excess of other assets -- (0.2) (577,365)
------ -------------
NET ASSETS -- 100.0% $307,857,444
===== ==============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR - American Depositary Receipts
See Notes to Financial Statements.
- ---------------------
12
<PAGE> 14
- ---------------------
ANCHOR SERIES TRUST
HIGH-YIELD PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 91.5% AMOUNT VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CABLE -- 5.6%
Cablevision Systems Corp. 9.25% 2005................................ $ 350,000 $ 363,563
Comcast Corp. 9.38% 2005............................................ 350,000 370,125
Continental Cablevision, Inc. 11.00% 2007........................... 500,000 558,750
Marcus Cable Operating Co. L.P. zero coupon 2004(1)................. 350,000 263,375
Tele-Communications, Inc. 9.25% 2023................................ 500,000 545,790
Videotron Ltd. 10.25% 2002.......................................... 500,000 525,000
------------
2,626,603
------------
CHEMICALS -- 5.4%
Agriculture Minerals & Chemicals 10.75% 2003........................ 500,000 552,500
Arcadian Partners L.P. 10.75% 2005.................................. 500,000 552,500
General Chemical Corp. 9.25% 2003................................... 250,000 251,250
PMI Acquisition Corp. 10.25% 2003................................... 500,000 513,750
Rexene Corp. 11.75% 2004............................................ 100,000 104,750
Sherritt Gordon, Ltd. 10.50% 2014................................... 500,000 540,000
------------
2,514,750
------------
COMMUNICATIONS & MEDIA -- 9.6%
EZ Communications, Inc. 9.75% 2005.................................. 500,000 504,375
Granite Broadcasting Corp. 10.38% 2005.............................. 250,000 256,250
Granite Broadcasting Corp. 12.75% 2002.............................. 350,000 388,500
Heritage Media Services, Inc. 11.00% 2002........................... 375,000 398,437
Mobilemedia Corp. 9.38% 2007........................................ 350,000 360,500
Paging Network, Inc. 10.13% 2007.................................... 200,000 216,500
SFX Broadcasting, Inc. 11.38% 2000.................................. 250,000 262,500
Turner Broadcasting Systems, Inc. 8.40% 2024........................ 500,000 500,060
World Color Press, Inc. 9.13% 2003.................................. 750,000 772,500
Young Broadcasting, Inc. 11.75% 2004................................ 750,000 840,000
------------
4,499,622
------------
CONSUMER STAPLES -- 4.1%
American Safety Razor Co. 9.88% 2005................................ 250,000 254,375
Gruma SA de CV 9.75% 1998*.......................................... 250,000 243,438
Jordan Industries, Inc. 10.38% 2003................................. 350,000 311,500
Sweetheart Cup, Inc. 10.50% 2003.................................... 600,000 604,500
Westpoint Stevens, Inc. 8.75% 2001.................................. 500,000 500,000
------------
1,913,813
------------
ENERGY -- 5.7%
Energy Ventures, Inc. 10.25% 2004................................... 500,000 527,500
Oryx Energy Co. 8.13% 2005.......................................... 350,000 358,096
Plains Resources, Inc. 12.00% 1999.................................. 250,000 259,375
Santa Fe Energy Resources, Inc. 11.00% 2004......................... 500,000 547,500
Seagull Energy Corp. 8.63% 2005..................................... 500,000 485,000
YPF Sociedad Anonima 8.00% 2004..................................... 500,000 470,000
------------
2,647,471
------------
FINANCE -- 2.5%
Anchor Bancorp, Inc. 8.94% 2003..................................... 250,000 258,750
Dime Bancorp, Inc. 10.50% 2005...................................... 500,000 550,000
Imperial Credit Industries, Inc. 9.75% 2004......................... 400,000 368,000
------------
1,176,750
------------
</TABLE>
---------------------
13
<PAGE> 15
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
FOOD & LODGING -- 2.7%
Hammons (John Q.) Hotels L.P. 8.88% 2004............................ $ 250,000 $ 247,500
La Quinta Inns, Inc. 9.25% 2003..................................... 500,000 530,000
Red Roof Inns, Inc. 9.63% 2003...................................... 150,000 147,000
Specialty Equipment Cos., Inc. 11.38% 2003.......................... 350,000 355,250
------------
1,279,750
------------
GAMING -- 0.5%
GB Property Funding Corp. 10.88% 2004............................... 250,000 219,375
------------
GROCERY -- 1.4%
Big V Supermarkets, Inc. 11.00% 2004................................ 500,000 405,000
Dominicks Finer Foods, Inc. 10.88% 2005............................. 225,000 239,063
------------
644,063
------------
HEALTHCARE -- 2.9%
OrNda Healthcorp 11.38% 2004........................................ 500,000 562,500
Quorum Health Group, Inc. 8.75% 2005................................ 175,000 180,906
Tenet Healthcare Corp. 9.63% 2002................................... 325,000 357,500
Tenet Healthcare Corp. 10.13% 2005.................................. 225,000 250,313
------------
1,351,219
------------
INDUSTRIAL & COMMERCIAL -- 21.6%
American Standard, Inc. zero coupon 2005(1)......................... 750,000 643,125
Bell & Howell Co. zero coupon 2005(1)............................... 1,000,000 630,000
Bell & Howell Co. 9.25% 2000........................................ 250,000 256,875
Calmar, Inc. 11.50% 2005............................................ 400,000 406,000
Coltec Industries, Inc. 9.75% 2000.................................. 375,000 386,250
Day International Group, Inc. 11.13% 2005........................... 250,000 251,250
Digital Equipment Corp. 7.75% 2023.................................. 500,000 497,225
Dominion Textile USA, Inc. 8.88% 2003............................... 150,000 145,500
EnviroSource, Inc. 9.75% 2003....................................... 500,000 440,000
Essex Group, Inc. 10.00% 2003....................................... 500,000 490,000
Exide Corp. 10.75% 2002............................................. 50,000 54,250
Graphic Controls Corp. 12.00% 2005(2)............................... 225,000 232,875
Great Lakes Carbon Corp. 10.00% 2006(2)............................. 500,000 512,500
Howmet Corp. 10.00% 2003............................................ 500,000 523,750
Interlake Corp. 12.13% 2002......................................... 500,000 475,000
K & F Co. 11.88% 2003............................................... 150,000 161,250
K & F Industries, Inc. 13.75% 2001.................................. 407,000 422,262
Lear Seating Corp. 8.25% 2002....................................... 250,000 245,000
Overhead Door Corp. 12.25% 2000(2).................................. 500,000 485,000
Portola Packaging, Inc. 10.75% 2005................................. 150,000 155,250
Rohr, Inc. 11.63% 2003.............................................. 500,000 536,250
Silgan Corp. 11.75% 2002............................................ 150,000 160,500
Silgan Holdings, Inc. zero coupon 2002(1)........................... 250,000 238,125
UCAR Global Enterprises, Inc. 12.00% 2005........................... 200,000 231,000
Walbro Corp. 9.88% 2005............................................. 350,000 349,125
Westinghouse Electric Corp. 8.38% 2002.............................. 200,000 206,280
Westinghouse Electric Corp. 8.88% 2001.............................. 200,000 211,640
Wyman-Gordon Co. 10.75% 2003........................................ 750,000 787,500
------------
10,133,782
------------
</TABLE>
- ---------------------
14
<PAGE> 16
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
METALS & MINERALS -- 7.6%
A.K. Steel Corp. 10.75% 2004........................................ $ 350,000 $ 388,500
Armco, Inc. 9.38% 2000.............................................. 750,000 742,500
Bethlehem Steel Corp. 10.38% 2003................................... 500,000 527,500
GS Technologies, Inc. 12.25% 2005................................... 150,000 149,438
Haynes International, Inc. 13.50% 1999.............................. 250,000 156,250
Magma Copper Co. 12.00% 2001........................................ 250,000 278,437
South Dakota Warren Co. 12.00% 2004................................. 275,000 303,187
Weirton Steel Corp. 10.88% 1999..................................... 300,000 300,000
Wheeling Pittsburgh Corp. 9.38% 2003................................ 750,000 708,750
------------
3,554,562
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 1.9%
Republic of Argentina 8.38% 2003.................................... 750,000 631,875
Republic of Brazil 6.00% 2013....................................... 500,000 280,000
------------
911,875
------------
PAPER PRODUCTS -- 8.7%
Container Corp. America 9.75% 2003.................................. 500,000 487,500
Container Corp. America 11.25% 2004................................. 450,000 463,500
Domtar, Inc. 11.75% 1999............................................ 500,000 560,000
Fort Howard Corp. 9.25% 2001........................................ 750,000 761,250
Rainy River Forest Products, Inc. 10.75% 2001....................... 500,000 550,000
Repap New Brunswick, Inc. 9.88% 2000................................ 500,000 501,250
Repap Wisconsin, Inc. 9.25% 2002.................................... 250,000 237,500
Stone Container Corp. 11.88% 1998................................... 500,000 521,250
------------
4,082,250
------------
REAL ESTATE -- 1.9%
Continental Homes 12.00% 1999....................................... 500,000 540,000
Webb (Del) Corp. 9.00% 2006......................................... 350,000 332,500
------------
872,500
------------
RETAIL -- 0.4%
Payless Cashways, Inc. 9.13% 2003................................... 250,000 192,500
------------
SERVICES -- 1.3%
Penda Corp. 10.75% 2004(2).......................................... 750,000 622,500
------------
TRANSPORTATION -- 1.0%
USAir, Inc. 10.38% 2013............................................. 500,000 465,000
------------
UTILITIES -- 6.7%
Cabot Safety Acquisition Corp. 12.50% 2005*......................... 350,000 371,875
Cleveland Electric Illuminating Co. 9.50% 2005...................... 500,000 517,500
First PV Funding Corp. 10.15% 2016.................................. 500,000 511,250
Niagara Mohawk Power Corp. 6.63% 2005............................... 500,000 447,845
Telefonica de Argentina SA 11.88% 2004.............................. 500,000 505,000
Texas-New Mexico Power Co. 10.75% 2003.............................. 500,000 545,710
Transportadora De Gas Delaware 7.75% 1998*.......................... 250,000 240,000
------------
3,139,180
------------
TOTAL BONDS & NOTES (cost: $41,538,638)............................. 42,847,565
------------
</TABLE>
---------------------
15
<PAGE> 17
<TABLE>
<CAPTION>
COMMON STOCK -- 0.1% SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 0.1%
Triangle Wire and Cable, Inc.+(2)(3) (cost: $330,000)............... 31,667 $ 47,500
------------
<CAPTION>
PREFERRED STOCK -- 1.0%
----------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 0.6%
California Federal Bank Los Angeles 10.63%.......................... 2,500 271,250
------------
<CAPTION>
<S> <C> <C>
MATERIALS -- 0.4%
BCP Essex Holdings, Preferred Series B.............................. 8,000 202,000
------------
TOTAL PREFERRED STOCK (cost: $455,392).............................. 473,250
------------
TOTAL INVESTMENT SECURITIES (cost: $42,324,030)..................... 43,368,315
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 5.0% AMOUNT
<S> <C> <C>
-----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost: $2,340,000)................................................ $ 2,340,000 2,340,000
------------
TOTAL INVESTMENTS --
(cost: $44,664,030) 97.6% 45,708,315
Other assets less liabilities -- 2.4 1,108,423
----- ------------
NET ASSETS -- 100.0% $46,816,738
===== =============
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
(1) Represents a zero-coupon bond which will convert to an
interest-bearing security at a later date
(2) Fair valued security; see Note 2
(3) At December 31, 1995 the Portfolio held restricted securities
amounting to 0.1% of net assets. The Portfolio will not bear
any costs, including those involved in registration under the
Securities Act of 1933, in connection with the disposition of
the security:
<TABLE>
<CAPTION>
VALUATION
DATE OF UNIT AS OF
DESCRIPTION ACQUISITION SHARES COST 12/31/95
<S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------
Triangle Wire and Cable, Inc. 3/21/94 10,556 $ 10.72 1.50
Triangle Wire and Cable, Inc. 3/24/94 21,111 10.27 1.50
</TABLE>
See Notes to Financial Statements
- ---------------------
16
<PAGE> 18
- ---------------------
ANCHOR SERIES TRUST
STRATEGIC MULTI-ASSET
PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1995
<TABLE>
<CAPTION>
COMMON STOCK -- 38.0% SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CAPITAL APPRECIATION -- 11.2%
Apparel & Textiles -- 0.2%
Fila Holding S.p.A., ADR............................................ 1,000 $ 45,500
Tommy Hilfiger Corp.+............................................... 1,700 72,037
Broadcasting & Media -- 3.2%
American Radio Systems Corp., Class A+.............................. 2,000 56,000
Central European Media Enterprises, Ltd., Class A+.................. 5,000 102,500
E-Z Communications, Inc.+........................................... 8,000 144,000
Emmis Broadcasting Corp., Class A+.................................. 3,100 96,100
Evergreen Media Corp.+.............................................. 7,840 250,880
Gaylord Entertainment Co., Class A.................................. 1,365 37,879
International Cabletel, Inc.+....................................... 4,000 98,000
Jacor Communications, Inc.+......................................... 10,500 183,750
LodgeNet Entertainment Corp.+....................................... 8,000 76,000
Saga Communications, Inc., Class A+................................. 8,875 144,218
Scholastic Corp.+................................................... 1,200 93,300
Scripps (E.W.) Co., Class A......................................... 2,000 78,750
SFX Broadcasting, Inc.+............................................. 7,000 211,750
Valuevision International, Inc., Class A+........................... 5,500 30,594
Viacom, Inc. Class A+............................................... 320 14,680
Viacom, Inc. Class B+............................................... 2,424 114,837
Vodafone Group PLC ADR.............................................. 1,500 52,875
Westwood One, Inc.+................................................. 8,000 113,000
Young Broadcasting, Inc.+........................................... 5,000 141,250
Business Services -- 0.1%
DST Systems, Inc.+.................................................. 2,400 68,400
Communication Equipment -- 0.6%
California Microwave, Inc.+......................................... 2,000 33,250
Cisco Systems, Inc.+................................................ 500 37,313
General Instrument Corp.+........................................... 1,000 23,375
MobileMedia Corp., Class A+......................................... 4,500 100,125
Nokia Corp. ADR..................................................... 2,500 97,187
Shiva Corp.+........................................................ 1,000 72,750
Computers & Business Equipment -- 0.1%
Business Objects SA ADR+............................................ 900 43,537
Plaintree Systems, Inc.+............................................ 5,000 30,000
Sensormatic Electronics Corp. ...................................... 1,500 26,063
Drugs -- 1.0%
Alpharma, Inc., Class A............................................. 5,500 143,687
Genetics Institute, Inc.+........................................... 1,000 53,500
Hafslund Nycomed, Series B ADR...................................... 1,200 31,500
Immunex Corp.+...................................................... 9,000 148,500
Rhone - Poulenc Rorer, Inc. ........................................ 3,000 159,750
Zeneca Group PLC ADR................................................ 4,500 87,044
Electrical Equipment -- 0.2%
York International Corp. ........................................... 3,000 141,000
</TABLE>
---------------------
17
<PAGE> 19
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
CAPITAL APPRECIATION (continued)
Electronics -- 0.1%
Cyrix Corp.+........................................................ 3,000 $ 69,000
Energy Services -- 0.2%
ENSCO International, Inc.+.......................................... 2,000 46,000
Input/Output, Inc.+................................................. 2,000 115,500
Energy Sources -- 0.7%
Barrett Resources Corp.+............................................ 3,000 88,125
Noble Affiliates, Inc. ............................................. 3,000 89,625
Union Pacific Resources Group, Inc. ................................ 1,800 45,675
Unocal Corp. ....................................................... 4,000 116,500
Vastar Resources, Inc. ............................................. 3,000 95,250
Entertainment Products -- 0.1%
Philips Electronics N.V., ADR....................................... 1,500 53,813
Financial Services -- 0.2%
Imperial Credit Industries, Inc.+................................... 5,000 108,750
Food, Beverage & Tobacco -- 0.2%
Canandaigua Wine Co., Inc., Class A+................................ 1,000 32,625
Pete's Brewing Co.+................................................. 5,400 75,600
Health Services -- 0.5%
American Medical Response, Inc.+.................................... 3,000 97,500
Beverly Enterprises, Inc.+.......................................... 3,000 31,875
FHP International Corp.+............................................ 1,300 37,050
Grancare, Inc.+..................................................... 5,000 72,500
IDX Systems Corp.+.................................................. 3,000 104,250
Insurance -- 0.6%
Allstate Corp. ..................................................... 2,500 102,812
American Reinsurance Corp. ......................................... 2,000 81,750
Amerin Corp.+....................................................... 2,800 74,900
Home State Holdings, Inc.+.......................................... 4,800 44,550
Transatlantic Holdings, Inc. ....................................... 900 66,038
Leisure & Tourism -- 0.4%
America West Airlines, Inc., Class B+............................... 4,000 68,000
Royal Caribbean Cruises Ltd. ....................................... 4,000 88,000
Tabcorp Holdings Ltd. ADR*.......................................... 1,800 50,880
Trans World Airlines, Inc.+......................................... 7,300 75,738
Machinery -- 0.1%
Precision Castparts Corp. .......................................... 2,200 87,450
Medical Products -- 0.1%
Haemonetics Corp. Massachusetts+.................................... 4,500 79,875
Metals & Minerals -- 0.0%
Usinor Sacilor...................................................... 2,400 31,734
Retail -- 0.4%
Bed Bath & Beyond, Inc.+............................................ 1,000 38,813
Gymboree Corp.+..................................................... 3,000 61,875
Mercantile Stores Co., Inc. ........................................ 1,300 60,125
Sports Authority, Inc.+............................................. 3,700 75,387
</TABLE>
- ---------------------
18
<PAGE> 20
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
CAPITAL APPRECIATION (continued)
Software -- 1.7%
BISYS Group, Inc.+.................................................. 4,500 $ 138,375
BMC Software, Inc.+................................................. 5,000 213,750
Boole & Babbage, Inc. .............................................. 1,500 36,750
Cheyenne Software, Inc.+............................................ 3,500 91,437
Cognos, Inc. ....................................................... 2,500 111,562
CompuWare Corp.+.................................................... 3,000 55,500
Cooper & Chyan Technology, Inc.+.................................... 6,000 94,500
FTP Software, Inc.+................................................. 4,500 130,500
Parametric Technology Corp.+........................................ 1,000 66,500
Policy Management Systems Corp.+.................................... 1,500 71,438
Softkey International, Inc.+........................................ 1,500 34,688
Spectrum Holobyte, Inc.+............................................ 5,000 32,500
Systems & Computer Technology Corp.+................................ 1,000 19,875
Transportation -- 0.5%
AMR Corp.+.......................................................... 1,500 111,375
Continental Airlines, Inc., Class B+................................ 2,800 121,800
Werner Enterprises, Inc. ........................................... 3,000 60,750
------------
7,213,746
------------
CORE EQUITY -- 26.8%
Banks -- 1.9%
Crestar Financial Corp. ............................................ 5,000 295,625
First Bank System, Inc. ............................................ 6,000 297,750
Fleet Financial Group, Inc. ........................................ 6,500 264,875
Republic New York Corp. ............................................ 6,000 372,750
Broadcasting & Media -- 3.3%
Capital Cities/ABC, Inc. ........................................... 2,500 308,437
Comcast Corp., Special Class A...................................... 12,500 227,344
Gannett Co., Inc. .................................................. 5,000 306,875
Gaylord Entertainment Co., Class A.................................. 7,870 218,393
Scholastic Corp.+................................................... 4,500 349,875
U.S. West Media Group............................................... 8,000 152,000
Viacom, Inc. Class B+............................................... 6,800 322,150
Vodafone Group PLC ADR.............................................. 7,000 246,750
Business Services -- 0.4%
Sysco Corp. ........................................................ 8,000 260,000
Chemicals -- 1.7%
Air Products & Chemicals, Inc. ..................................... 5,500 290,125
Engelhard Corp. .................................................... 15,000 326,250
Loctite Corp. ...................................................... 4,000 190,000
Minerals Technologies, Inc. ........................................ 7,500 273,750
Communication Equipment -- 0.4%
General Instrument Corp.+........................................... 10,000 233,750
Computers & Business Equipment -- 0.4%
Hewlett-Packard Co. ................................................ 3,000 251,250
Drugs -- 2.9%
Genetics Institute, Inc.+........................................... 7,000 374,500
Perrigo Co.+........................................................ 20,000 237,500
Pfizer, Inc. ....................................................... 9,000 567,000
Warner-Lambert Co. ................................................. 2,300 223,388
Zeneca Group PLC ADR................................................ 7,500 437,812
</TABLE>
---------------------
19
<PAGE> 21
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
CORE EQUITY (continued)
Electrical Equipment -- 0.9%
Emerson Electric Co. ............................................... 3,000 $ 245,250
York International Corp. ........................................... 7,000 329,000
Electronics -- 0.3%
AMP, Inc. .......................................................... 5,500 211,063
Energy Services -- 1.0%
Dresser Industries, Inc. ........................................... 18,000 438,750
Schlumberger Ltd. ADR............................................... 3,000 207,750
Energy Sources -- 2.1%
Amoco Corp. ........................................................ 5,000 359,375
Exxon Corp. ........................................................ 7,000 560,875
Unocal Corp. ....................................................... 15,000 436,875
Financial Services -- 1.0%
American Express Co. ............................................... 6,000 248,250
Federal National Mortgage Association............................... 3,000 372,375
Forest Products -- 0.5%
International Paper Co. ............................................ 8,000 303,000
Household Products -- 1.6%
Colgate-Palmolive Co. .............................................. 4,000 281,000
Gillette Co. ....................................................... 5,000 260,625
Kimberly-Clark Corp. ............................................... 6,000 496,500
Insurance -- 1.7%
ACE Ltd. ........................................................... 7,000 278,250
American International Group, Inc. ................................. 4,500 416,250
American Reinsurance Corp. ......................................... 9,000 367,875
Machinery -- 1.1%
Illinois Tool Works, Inc. .......................................... 4,000 236,000
Ingersoll-Rand Co. ................................................. 4,000 140,500
Minnesota Mining & Manufacturing Co. ............................... 5,000 331,250
Medical Products -- 0.6%
Abbott Laboratories................................................. 9,000 375,750
Retail -- 1.8%
Home Depot, Inc. ................................................... 6,000 287,250
May Department Stores Co. .......................................... 8,000 338,000
Talbots, Inc. ...................................................... 8,000 230,000
Wal-Mart Stores, Inc. .............................................. 14,000 313,250
Software -- 1.2%
Automatic Data Processing, Inc. .................................... 5,000 371,250
BMC Software, Inc.+................................................. 5,000 213,750
Microsoft Corp.+.................................................... 2,000 175,500
Telephone -- 1.0%
AT&T Corp. ......................................................... 5,600 362,600
U.S. West, Inc. .................................................... 8,000 286,000
Transportation -- 1.0%
AMR Corp.+.......................................................... 3,000 222,750
Canadian Pacific Ltd. .............................................. 17,000 308,125
Werner Enterprises, Inc. ........................................... 5,600 113,400
------------
17,146,587
------------
TOTAL COMMON STOCK (cost: $17,319,776).............................. 24,360,333
------------
</TABLE>
- ---------------------
20
<PAGE> 22
<TABLE>
<CAPTION>
PREFERRED STOCK -- 0.1% SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
CAPITAL APPRECIATION -- 0.1%
Broadcasting & Media -- 0.1%
News Corp., Ltd. ADR (cost: $34,729)................................ 2,000 $ 38,500
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 28.6% AMOUNT
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER STAPLES -- 0.3%
Sweetheart Cup, Inc. 10.50% 2003.................................... $ 200,000 201,500
------------
ENERGY -- 1.0%
Phillips Petroleum Co. 9.18% 2021................................... 250,000 292,755
Santa Fe Energy Resources, Inc. 11.00% 2004......................... 150,000 164,250
YPF Sociedad Anonima 8.00% 2004..................................... 200,000 188,000
------------
645,005
------------
FINANCE -- 0.2%
Dime Bancorp 10.50% 2005............................................ 100,000 110,000
------------
HEALTHCARE -- 0.3%
OrNda Healthcorp 11.38% 2004........................................ 150,000 168,750
------------
INDUSTRIAL & COMMERCIAL -- 1.2%
American Standard, Inc. zero coupon 2005(1)......................... 150,000 128,625
Cabot Safety Acquisition Corp. 12.50% 2005.......................... 100,000 106,250
Exide Corp. 10.75% 2002............................................. 100,000 108,500
Graphic Controls Corp. 12.00% 2005(2)............................... 50,000 51,750
K & F Industries, Inc. 13.75% 2001.................................. 129,000 133,837
Rohr, Inc. 11.63% 2003.............................................. 125,000 134,062
Ucar Global Enterprises, Inc. 12.00% 2005........................... 55,000 63,525
USAir, Inc. 10.38% 2013............................................. 60,000 55,800
------------
782,349
------------
INFORMATION & ENTERTAINMENT -- 0.8%
Cablevision Systems Corp. 9.25% 2005................................ 150,000 155,812
Granite Broadcasting Corp. 10.38% 2005.............................. 100,000 102,500
MCI Communications Corp. 7.13% 2000................................. 90,000 93,771
Paging Network, Inc. 10.13% 2007.................................... 25,000 27,063
Young Broadcasting, Inc. 11.75% 2004................................ 100,000 112,000
------------
491,146
------------
INFORMATION TECHNOLOGY -- 0.2%
Digital Equipment Corp. 7.75% 2023.................................. 150,000 149,168
------------
MATERIALS -- 2.6%
A.K. Steel Corp. 10.75% 2004........................................ 100,000 111,000
Arcadian Partners L.P. 10.75% 2005.................................. 250,000 276,250
Armco, Inc. 9.38% 2000.............................................. 275,000 272,250
Container Corp. of America 10.75% 2002.............................. 225,000 228,375
Domtar, Inc. 11.75% 1999............................................ 100,000 112,000
Fort Howard Corp. 9.25% 2001........................................ 150,000 152,250
GS Technologies, Inc. 12.25% 2005................................... 50,000 49,813
Magma Copper Co. 12.00% 2001........................................ 50,000 55,687
Rexene Corp. 11.75% 2004............................................ 31,000 32,472
South Dakota Warren Co. 12.00% 2004................................. 100,000 110,250
Stone Container Corp. 9.88% 2001.................................... 75,000 72,938
Wheeling Pittsburgh Corp. 9.38% 2003................................ 175,000 165,375
------------
1,638,660
------------
</TABLE>
---------------------
21
<PAGE> 23
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.2%
Republic of Argentina 8.38% 2003.................................... $ 150,000 126,375
------------
REAL ESTATE -- 0.2%
Webb (Del) Corp. 9.00% 2006......................................... 150,000 142,500
------------
U.S. GOVERNMENT & AGENCIES -- 21.6%
Government National Mortgage Association 6.00% 2009................. 208,085 206,589
Government National Mortgage Association 6.50% 2008................. 1,097,485 1,107,428
Government National Mortgage Association 6.50% 2009................. 213,215 215,147
Government National Mortgage Association 6.50% 2009................. 28,920 29,182
Government National Mortgage Association 7.00% 2024................. 250,045 253,013
Government National Mortgage Association 7.50% 2022................. 468,990 483,552
Government National Mortgage Association 7.50% 2023................. 456,510 469,635
Government National Mortgage Association 7.50% 2024................. 467,172 480,603
Government National Mortgage Association 8.50% 2024................. 889,802 934,292
United States Treasury Bonds 6.25% 2023............................. 1,000,000 1,028,910
United States Treasury Bonds 9.25% 2016............................. 800,000 1,099,624
United States Treasury Notes 5.63% 1998............................. 1,250,000 1,260,350
United States Treasury Notes 5.63% 2000............................. 250,000 252,265
United States Treasury Notes 5.88% 2005............................. 750,000 766,875
United States Treasury Notes 6.25% 2003............................. 750,000 782,460
United States Treasury Notes 7.25% 2004............................. 250,000 278,007
United States Treasury Notes 7.50% 2001............................. 1,000,000 1,101,410
United States Treasury Notes 7.75% 1999............................. 500,000 541,795
United States Treasury Notes 7.88% 1999............................. 500,000 543,595
United States Treasury Notes 7.88% 2004............................. 1,000,000 1,157,500
United States Treasury Notes 8.50% 2000............................. 750,000 835,778
------------
13,828,010
------------
TOTAL BONDS & NOTES (cost: $16,659,425)............................. 18,283,463
------------
<CAPTION>
FOREIGN SECURITIES -- 29.6% SHARES
----------------------------------------------------------------------------------------------------
<S> <C> <C>
ARGENTINA -- 0.2%
Buenos Aires Embotelladora SA ADR (Consumer Staples)+............... 3,000 61,875
Telefonica de Argentina SA ADR (Utilities).......................... 1,500 40,875
------------
102,750
------------
AUSTRALIA -- 1.4%
Advance Bank (Australia) (Finance).................................. 7,783 62,361
Amcor Ltd. (Materials).............................................. 25,446 179,677
Australia & New Zealand Bank Group (Finance)........................ 53,772 252,194
Broken Hill Proprietary Ltd. ADR (Materials)........................ 19,162 270,609
National Australia Bank Ltd. (Finance).............................. 9,424 84,756
Qantas Airways Ltd. ADR (Information & Entertainment)*.............. 3,200 53,320
------------
902,917
------------
AUSTRIA -- 0.3%
Evn Energie-Versorgung Niederoesterreich AG (Utilities)............. 1,300 178,648
------------
BELGIUM -- 0.2%
Delhaize Le Lion SA (Consumer Discretionary)........................ 2,800 116,072
------------
</TABLE>
- ---------------------
22
<PAGE> 24
<TABLE>
<CAPTION>
FOREIGN SECURITIES (continued) SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
BRAZIL -- 0.2%
Centrais Eletricas Brasileiras SA - ELETROBRAS ADR (Utilities)...... 5,500 $ 74,414
Usinas Siderurgicas de Minas Gerais SA - USIMINAS ADR (Materials)... 4,000 32,512
------------
106,926
------------
CANADA -- 0.5%
Canadian Pacific Ltd. (Industrial & Commercial)..................... 17,000 308,125
------------
CHILE -- 0.1%
Compania De Telefonos Chile SA ADR (Utilities)...................... 1,000 82,875
------------
DENMARK -- 0.6%
Tele Danmark A/S ADR (Utilities).................................... 12,500 345,312
Unidanmark A/S (Finance)............................................ 1,250 61,909
------------
407,221
------------
FINLAND -- 0.4%
Metsa-Serla Oy (Materials).......................................... 2,700 83,184
Nokia Corp. ADR (Information Technology)............................ 2,000 77,750
Unitas Ltd. (Finance)............................................... 40,000 101,163
------------
262,097
------------
FRANCE -- 2.2%
Banque Nationale de Paris (Finance)................................. 3,000 135,328
Canal Plus SA (Information & Entertainment)......................... 329 61,675
Cie de St. Gobain (Materials)....................................... 1,681 183,307
Euro RSCG Worldwide SA (Information & Entertainment)................ 1,101 89,932
Peugeot SA (Consumer Discretionary)................................. 400 52,767
Renault SA (Consumer Discretionary)................................. 4,550 131,009
Rhone Poulenc SA (Health Care)...................................... 8,000 171,370
Societe Generale (Finance).......................................... 1,382 170,739
Societe Nationale Elf Aquitaine (Energy)............................ 1,200 88,414
Technip SA (Industrial & Commercial)................................ 1,150 79,140
Total SA, Series B (Energy)......................................... 3,790 255,788
------------
1,419,469
------------
GERMANY -- 1.5%
Bayer AG (Health Care).............................................. 750 197,891
Beiersdorf AG (Consumer Staples).................................... 100 70,059
Daimler-Benz AG (Consumer Discretionary)............................ 100 50,331
Degussa AG (Industrial & Commercial)................................ 300 99,965
Deutsche Bank AG (Finance).......................................... 2,500 118,456
Karstadt AG (Consumer Discretionary)................................ 250 101,952
Mannesmann AG (Industrial & Commercial)............................. 537 170,964
Veba AG (Utilities)................................................. 4,000 169,816
------------
979,434
------------
HONG KONG -- 1.2%
China Light & Power Co., Ltd. (Utilities)........................... 30,000 138,118
Hong Kong Telecommunications, Ltd. (Utilities)...................... 65,051 116,095
Hutchison Whampoa Ltd. (Real Estate)................................ 21,000 127,915
Sun Hung Kai Properties (Real Estate)............................... 18,000 147,236
Swire Pacific Ltd., Class A (Real Estate)........................... 34,000 263,821
------------
793,185
------------
INDONESIA -- 0.1%
PT Jaya Real Property (Real Estate)*................................ 29,000 78,636
PT Semen Gresik (Materials)*........................................ 6,000 16,794
------------
95,430
------------
</TABLE>
---------------------
23
<PAGE> 25
<TABLE>
<CAPTION>
FOREIGN SECURITIES (continued) SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
ITALY -- 0.9%
Banca Commerciale Italiana S.p.A. (Finance)......................... 60,000 $ 128,076
De Rigo S.p.A. ADR (Health Care).................................... 2,400 54,600
Gucci Group N V (Consumer Discretionary)............................ 600 23,325
STET (Utilities).................................................... 122,000 344,922
------------
550,923
------------
JAPAN -- 8.2%
Chichibu Onoda Cement Co., Ltd. (Materials)......................... 30,000 160,097
Chugai Pharmaceutical Co., Ltd. (Health Care)....................... 5,000 47,893
Dai Nippon Printing Co., Ltd. (Industrial & Commercial)............. 11,000 186,441
Home Wide Corp. (Consumer Discretionary)............................ 3,000 35,448
Ito-Yokado Co. (Consumer Discretionary)............................. 2,000 123,196
Kajima Corp. (Industrial & Commercial).............................. 25,000 246,973
Kawasaki Heavy Industries Ltd. (Industrial & Commercial)............ 20,000 92,010
Keio Teito Electric Railway Co., Ltd. (Consumer Discretionary)...... 12,000 69,850
Kyocera Corp. (Information Technology).............................. 1,000 74,286
Kyoritsu Air Technology (Industrial & Commercial)................... 3,000 32,542
Matsushita Electric Industrial Co., Ltd. (Information &
Entertainment).................................................... 10,000 162,712
Minebea Co., Ltd. (Information Technology).......................... 19,000 159,361
Mitsubishi Bank Ltd. (Finance)...................................... 7,000 164,746
Mitsubishi Corp. (Industrial & Commercial).......................... 14,000 172,203
Murata Manufacturing Co. (Information Technology)................... 2,000 73,608
Nihon Jumbo Co., Ltd. (Materials)................................... 2,000 69,927
Nippon Express Co., Ltd. (Information & Entertainment).............. 14,000 134,779
Nippon Telegraph & Telecommunications Corp. (Information &
Entertainment).................................................... 10 80,872
NKK Corp. (Materials)............................................... 89,000 239,632
Nomura Securities International, Inc. (Finance)..................... 8,000 174,334
Orix Corp. (Industrial & Commercial)................................ 5,000 205,811
Riso Kagaku Corp. (Information Technology).......................... 1,000 84,358
Sakura Bank Ltd. (Finance).......................................... 13,000 164,939
Sanyo Shinpan Finance Co. (Finance)................................. 2,000 164,649
Sankyo Co., Ltd. (Health Care)...................................... 13,000 292,107
Sanwa Bank Ltd. (Finance)........................................... 3,000 61,017
Secom Co. (Industrial & Commercial)................................. 3,000 208,620
Sekisui Chemical Co., Ltd. (Consumer Discretionary)................. 1,000 14,722
Seven-Eleven Japan Co., Ltd. (Consumer Discretionary)............... 4,000 282,034
Shimamura Co. (Consumer Discretionary).............................. 3,000 115,932
Showa Corp. (Consumer Discretionary)................................ 18,000 137,898
Sony Corp. (Information & Entertainment)............................ 3,000 179,855
Sumitomo Marine & Fire Insurance Co., Ltd. (Finance)................ 20,000 164,262
Sumitomo Realty & Development Co., Ltd. (Real Estate)............... 25,000 176,755
Sumitomo Trust & Banking Co., Ltd. (Finance)........................ 6,000 84,843
Toda Construction Co.. (Industrial & Commercial).................... 6,000 52,010
Tohoku Electric Power Co., Inc. (Utilities)......................... 2,000 48,232
Tokio Marine & Fire Insurance Co., Ltd. (Finance)................... 20,000 261,501
Tsutsumi Jewelry Co. (Consumer Discretionary)....................... 500 25,036
------------
5,225,491
------------
</TABLE>
- ---------------------
24
<PAGE> 26
<TABLE>
<CAPTION>
FOREIGN SECURITIES (continued) SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
MALAYSIA -- 0.3%
Resorts World Bhd (Information & Entertainment)..................... 34,000 $ 182,069
------------
MEXICO -- 0.4%
Cemex SA (Materials)................................................ 15,000 49,579
Fomento Economico Mexicano SA de CV (Consumer Staples).............. 17,000 38,208
Grupo Carso SA de CV (Consumer Staples)............................. 9,500 51,225
Kimberly-Clark Corp. (Materials).................................... 4,000 60,350
Transportacion Maritima Mexicana SA de CV ADR (Industrial &
Commercial)....................................................... 4,900 36,750
------------
236,112
------------
NETHERLANDS -- 1.1%
Elsevier NV (Information & Entertainment)........................... 15,000 200,037
Internationale Nederlanden Groep NV (Finance)....................... 4,253 284,117
Vendex International NV (Consumer Discretionary).................... 5,000 148,626
Ver Ned Uitgevers (Information & Entertainment)..................... 700 96,099
------------
728,879
------------
NEW ZEALAND -- 0.5%
Air New Zealand Ltd. (Information & Entertainment).................. 18,027 61,284
Brierley Investments Ltd. (Finance)................................. 151,000 119,450
Carter Holt Harvey Ltd. (Materials)................................. 65,000 140,233
------------
320,967
------------
NORWAY -- 1.3%
Christiania Bank Og Kreditkasse (Finance)*.......................... 18,400 42,992
Hafslund Nycomed, Series A ADR (Health Care)........................ 5,615 146,711
Kvaerner AS (Industrial & Commercial)............................... 5,500 194,503
Orkla AS (Consumer Staples)......................................... 5,000 248,654
Saga Petroleum (Energy)............................................. 14,000 186,767
------------
819,627
------------
PHILIPPINES -- 0.3%
Philippine National Bank (Finance).................................. 4,000 44,224
Pilipino Telephone (Utilities)...................................... 160,900 162,556
------------
206,780
------------
PORTUGAL -- 0.2%
Portugal Telecom SA ADR (Utilities)................................. 6,300 119,700
------------
SINGAPORE -- 1.2%
Development Bank of Singapore (Finance)............................. 27,500 342,171
Keppel Corp. Ltd. (Industrial & Commercial)......................... 33,000 293,955
Overseas Chinese Banking Corp. Ltd. (Finance)....................... 4,000 50,053
United Overseas Bank Ltd. (Finance)................................. 9,000 86,532
------------
772,711
------------
SPAIN -- 1.4%
Acerinox SA (Materials)............................................. 1,250 126,443
Banco Bilbao Vizcaya (Finance)...................................... 9,500 342,250
Repsol SA ADR (Energy).............................................. 10,000 328,750
Telefonica de Espana SA (Utilities)................................. 7,500 103,875
------------
901,318
------------
SWEDEN -- 0.6%
Astra AB, Series A (Health Care).................................... 4,000 159,646
Avesta Sheffield (Materials)........................................ 7,500 66,080
BT Industries AB (Industrial & Commercial)*......................... 7,900 86,856
Stora Kopparbergs (Materials)....................................... 7,000 82,232
------------
394,814
------------
</TABLE>
---------------------
25
<PAGE> 27
<TABLE>
<CAPTION>
FOREIGN SECURITIES (continued) SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
SWITZERLAND -- 1.2%
Ciba-Geigy AG (Health Care)......................................... 300 $ 263,979
Nestle SA (Consumer Staples)........................................ 340 376,108
Sulzer AG (Health Care)............................................. 200 106,632
------------
746,719
------------
THAILAND -- 0.1%
Bangkok Bank Public Co., Ltd. (Finance)............................. 3,500 42,517
Bangkok Metropolitan Bank PCL (Finance)............................. 57,000 53,176
------------
95,693
------------
UNITED KINGDOM -- 3.0%
Bass PLC (Consumer Staples)......................................... 21,000 234,330
BET PLC (Industrial & Commercial)................................... 167,000 329,384
Body Shop International PLC (The) (Consumer Staples)................ 17,400 41,345
British Steel PLC (Materials)....................................... 50,000 126,378
British Telecommunications PLC (Utilities).......................... 38,000 208,325
Northern Foods PLC (Consumer Staples)............................... 13,000 34,928
PowerGen PLC (Utilities)............................................ 15,183 125,444
Rank Organisation PLC (Information & Entertainment)................. 25,000 180,929
Royal Insurance Holdings PLC (Finance).............................. 35,000 207,369
Tomkins PLC (Consumer Staples)...................................... 52,000 227,333
Vodafone Group PLC ADR (Information & Entertainment)................ 50,000 179,375
------------
1,895,140
------------
TOTAL FOREIGN SECURITIES (cost: $16,395,500)........................ 18,952,092
------------
TOTAL INVESTMENT SECURITIES (cost: $50,409,430)..................... 61,634,388
------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 3.3% AMOUNT
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Joint Repurchase Agreement (See Note 3)
(cost: $2,135,000)................................................ $2,135,000 2,135,000
------------
TOTAL INVESTMENTS --
(cost: $52,544,430) 99.6% 63,769,388
Other assets less liabilities -- 0.4 256,472
----- ------------
NET ASSETS -- 100.0% $64,025,860
===== =============
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR - American Depositary Receipts
(1) Represents a zero coupon bond which will convert to an
interest bearing security at a later date
(2) Fair valued security; see Note 2
<TABLE>
<CAPTION>
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT DECEMBER 31, 1995
----------------------------------------------------------------------------------------------------
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE DEPRECIATION
<S> <C> <C> <C>
------------------------------------------------------------------
FRF 1,956,160 USD 400,000 5/10/96 $ (142)
==============
FRF -- French Franc
USD -- United States Dollar
</TABLE>
See Notes to Financial Statements
- ---------------------
26
<PAGE> 28
- ---------------------
ANCHOR SERIES TRUST
MULTI-ASSET PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1995
<TABLE>
<CAPTION>
COMMON STOCK -- 57.7% SHARES VALUE
<S> <C> <C>
------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY -- 4.9%
Automotive -- 0.9%
Ford Motor Co. ..................................................... 48,981 $ 1,420,449
Retail -- 4.0%
Home Depot, Inc. ................................................... 30,000 1,436,250
May Department Stores Co. .......................................... 50,000 2,112,500
Talbots, Inc. ...................................................... 50,000 1,437,500
Wal-Mart Stores, Inc. .............................................. 80,000 1,790,000
-------------
8,196,699
-------------
CONSUMER STAPLES -- 3.5%
Household Products -- 3.5%
Colgate-Palmolive Co. .............................................. 22,000 1,545,500
Gillette Co. ....................................................... 24,000 1,251,000
Kimberly-Clark Corp. ............................................... 38,000 3,144,500
-------------
5,941,000
-------------
ENERGY -- 6.7%
Energy Services -- 5.4%
Amoco Corp. ........................................................ 30,000 2,156,250
Dresser Industries, Inc. ........................................... 105,000 2,559,375
Exxon Corp. ........................................................ 38,000 3,044,750
Schlumberger Ltd. .................................................. 20,000 1,385,000
Energy Sources -- 1.3%
Unocal Corp. ....................................................... 75,000 2,184,375
-------------
11,329,750
-------------
FINANCE -- 8.8%
Banks -- 4.0%
Crestar Financial Corp. ............................................ 32,000 1,892,000
First Union Corp. .................................................. 20,000 1,112,500
Fleet Financial Group, Inc. ........................................ 37,000 1,507,750
Republic New York Corp. ............................................ 36,206 2,249,298
Financial Services -- 1.6%
American Express Co. ............................................... 40,000 1,655,000
Bancorp Hawaii, Inc. ............................................... 30,000 1,076,250
Insurance -- 3.2%
ACE Ltd. ........................................................... 30,000 1,192,500
American International Group, Inc. ................................. 22,500 2,081,250
American Reinsurance Corp.+......................................... 50,000 2,043,750
-------------
14,810,298
-------------
HEALTHCARE -- 7.6%
Drugs -- 5.5%
Johnson & Johnson Co. .............................................. 24,000 2,055,000
Pfizer, Inc. ....................................................... 50,000 3,150,000
Warner-Lambert Co. ................................................. 15,000 1,456,875
Zeneca Group PLC ADR................................................ 45,100 2,632,712
</TABLE>
---------------------
27
<PAGE> 29
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
------------------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (continued)
Medical Products -- 2.1%
Abbott Laboratories................................................. 55,000 $ 2,296,250
Perrigo Co.+........................................................ 100,000 1,187,500
-------------
12,778,337
-------------
INDUSTRIAL & COMMERCIAL -- 5.9%
Business Services -- 0.8%
Sysco Corp. ........................................................ 40,000 1,300,000
Electrical Equipment -- 2.2%
Emerson Electric Co. ............................................... 20,000 1,635,000
York International Corp. ........................................... 45,000 2,115,000
Machinery -- 1.8%
Illinois Tool Works, Inc. .......................................... 17,000 1,003,000
Minnesota Mining & Manufacturing Co. ............................... 30,000 1,987,500
Transportation -- 1.1%
Canadian Pacific Ltd. .............................................. 65,000 1,178,125
Werner Enterprises, Inc. ........................................... 37,700 763,425
-------------
9,982,050
-------------
INFORMATION & ENTERTAINMENT -- 6.7%
Broadcasting & Media -- 4.7%
Capital Cities/ABC, Inc. ........................................... 13,000 1,603,875
Comcast Corp., Class A.............................................. 75,000 1,364,062
Gannett Co., Inc. .................................................. 30,000 1,841,250
Gaylord Entertainment Co., Class A.................................. 45,225 1,254,994
Viacom, Inc.+....................................................... 40,000 1,895,000
Entertainment Products -- 1.4%
Scholastic Corp.+................................................... 30,000 2,332,500
Leisure & Tourism -- 0.6%
AMR Corp.+.......................................................... 14,000 1,039,500
-------------
11,331,181
-------------
INFORMATION TECHNOLOGY -- 5.1%
Communication Equipment -- 0.7%
General Instrument Corp.+........................................... 50,000 1,168,750
Computers & Business Equipment -- 0.9%
Hewlett-Packard Co. ................................................ 18,000 1,507,500
Electronics -- 0.7%
AMP, Inc. .......................................................... 30,000 1,151,250
Software -- 2.8%
Automatic Data Processing, Inc. .................................... 30,000 2,227,500
BMC Software, Inc. ................................................. 35,000 1,496,250
Microsoft Corp.+.................................................... 12,000 1,053,000
-------------
8,604,250
-------------
MATERIALS -- 4.8%
Chemicals -- 3.6%
Air Products & Chemicals, Inc. ..................................... 34,000 1,793,500
Engelhard Corp. .................................................... 83,000 1,805,250
Loctite Corp. ...................................................... 24,000 1,140,000
Minerals Technologies, Inc. ........................................ 36,600 1,335,900
</TABLE>
- ---------------------
28
<PAGE> 30
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
------------------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (continued)
Forest Products -- 1.2%
International Paper Co. ............................................ 50,000 $ 1,893,750
-------------
7,968,400
-------------
U.S. GOVERNMENT & AGENCIES -- 1.3%
U.S. Government & Agencies -- 1.3%
Federal National Mortgage Association............................... 17,000 2,110,125
-------------
UTILITIES -- 2.4%
Telephone -- 2.4%
AT & T Corp. ....................................................... 33,000 2,136,750
SBC Communications, Inc. ........................................... 33,000 1,897,500
-------------
4,034,250
-------------
TOTAL COMMON STOCK (cost: $67,399,463).............................. 97,086,340
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 33.5% AMOUNT
------------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 7.2%
Bank Of Boston Corp. 6.63% 2004..................................... $ 1,500,000 1,523,340
BankAmerica Corp. 6.06% 1996(1)..................................... 1,000,000 1,002,231
Bankers Trust New York Corp. 8.25% 2005............................. 1,500,000 1,683,684
Beneficial Corp. 5.20% 1996(1)...................................... 1,500,000 1,478,910
Citicorp 6.75% 2005................................................. 1,500,000 1,518,405
Daimler-Benz Vehicle Trust 5.95% 2000............................... 660,968 661,820
Discover Card Trust, Series D 5.50% 1996(1)......................... 416,667 415,754
Fleet Mortgage Group, Inc. 6.50% 2000............................... 1,500,000 1,529,850
IBM Credit Receivables Lease Asset Master Trust 4.55% 2000.......... 715,842 710,323
Nissan Auto Receivables Grantor Trust 6.45% 1999.................... 773,534 780,472
Premier Auto Trust 4.65% 1999....................................... 775,435 766,361
-------------
12,071,150
-------------
INDUSTRIAL & COMMERCIAL -- 1.7%
Mobil Oil Corp. 9.17% 2000.......................................... 634,625 683,231
Niagara Mohawk Power Corp. 5.88% 2002............................... 1,250,000 1,213,138
Penney (J.C.), Inc. 7.38% 2004...................................... 1,000,000 1,081,470
-------------
2,977,839
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 1.9%
Quebec Province Canada 8.80% 2003................................... 1,500,000 1,717,515
Republic of Italy 6.88% 2023........................................ 1,500,000 1,464,825
-------------
3,182,340
-------------
U.S. GOVERNMENT & AGENCIES -- 22.7%
Federal Home Loan Mortgage Corp. 8.50% 2001......................... 1,500,000 1,550,834
Federal Home Loan Mortgage Corp. 6.50% TBA.......................... 5,000,000 5,026,550
Federal National Mortgage Association 7.50% 2022 - 2025............. 1,915,552 1,964,008
Government National Mortgage Association 6.50% 2023 - 2024.......... 10,862,972 10,774,656
United States Treasury Bonds 10.38% 2012............................ 11,200,000 15,484,000
United States Treasury Notes 7.50% 2005............................. 3,000,000 3,400,320
-------------
38,200,368
-------------
TOTAL BONDS & NOTES (cost: $54,373,690)............................. 56,431,697
-------------
</TABLE>
---------------------
29
<PAGE> 31
<TABLE>
<CAPTION>
PRINCIPAL
CONVERTIBLE SECURITIES -- 1.8% AMOUNT VALUE
<S> <C> <C>
------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONVERTIBLE BONDS -- 0.7%
Leisure & Tourism -- 0.2%
AMR Corp. 6.13% 2024................................................ $ 400,000 $ 414,000
Medical Products -- 0.5%
McKesson Corp. 4.50% 2004........................................... 800,000 753,000
-------------
1,167,000
-------------
<CAPTION>
SHARES
------------------------------------------------------------------------------------------------------
<S> <C> <C>
CONVERTIBLE PREFERRED STOCK -- 1.1%
Energy Sources -- 0.2%
Unocal Corp. $3.50*................................................. 6,000 320,250
Real Estate Companies -- 0.9%
Security Capital Pacific Trust Series A $1.75....................... 60,000 1,470,000
-------------
1,790,250
-------------
TOTAL CONVERTIBLE SECURITIES (cost: $2,928,441)..................... 2,957,250
-------------
TOTAL INVESTMENT SECURITIES (cost: $124,701,594).................... 156,475,287
-------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 9.7% AMOUNT
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost: $16,315,000)............................................... $16,315,000 16,315,000
-------------
TOTAL INVESTMENTS --
(cost: $141,016,594) 102.7% 172,790,287
Liabilities in excess of other assets -- (2.7) (4,547,479)
------ -------------
NET ASSETS -- 100.0 $168,242,808
====== ==============
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR - American Depositary Receipts
(1) Variable rate security - the rate reflected is as of December
31, 1995; maturity date reflects next reset date
TBA - Securities purchased on a forward commitment basis with an
approximately principal amount and no definitive maturity
date. The actual principal amount and maturity date will be
determined upon settlement.
See Notes to Financial Statements
- ---------------------
30
<PAGE> 32
- ---------------------
ANCHOR SERIES TRUST
CAPITAL APPRECIATION
PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1995
<TABLE>
<CAPTION>
COMMON STOCK -- 92.1% SHARES VALUE
<S> <C> <C>
-----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY -- 7.2%
Apparel & Textiles -- 2.7%
Fila Holding S.p.A., ADR............................................ 120,000 $ 5,460,000
Gucci Group N.V.+................................................... 20,600 800,825
Tommy Hilfiger Corp.+............................................... 78,100 3,309,487
Retail -- 4.5%
Bed Bath & Beyond, Inc.+............................................ 70,000 2,716,875
Gymboree Corp.+..................................................... 265,000 5,465,625
Mercantile Stores Co., Inc. ........................................ 90,000 4,162,500
Sports Authority, Inc.+............................................. 190,000 3,871,250
-------------
25,786,562
-------------
CONSUMER STAPLES -- 1.5%
Food, Beverage & Tobacco -- 1.5%
Canandaigua Wine Co., Inc., Class A+................................ 85,000 2,773,125
Pete's Brewing Co.+................................................. 168,300 2,356,200
-------------
5,129,325
-------------
ENERGY -- 7.6%
Energy Services -- 1.4%
Input/Output, Inc.+................................................. 90,000 5,197,500
Energy Sources -- 6.2%
ENSCO International, Inc.+.......................................... 100,000 2,300,000
Noble Affiliates, Inc. ............................................. 160,000 4,780,000
Union Pacific Resources Group, Inc.+................................ 83,000 2,106,125
Unocal Corp. ....................................................... 115,000 3,349,375
Vastar Resources, Inc. ............................................. 157,600 5,003,800
Barrett Resources Corp.+............................................ 150,000 4,406,250
-------------
27,143,050
-------------
FINANCE -- 5.6%
Financial Services -- 0.8%
Imperial Credit Industries, Inc.+................................... 130,000 2,827,500
Insurance -- 4.8%
Allstate Corp. ..................................................... 170,000 6,991,250
American Reinsurance Corp.+......................................... 80,000 3,270,000
Amerin Corp.+....................................................... 113,000 3,022,750
Home State Holdings, Inc.+.......................................... 107,100 994,022
Transatlantic Holdings, Inc. ....................................... 38,900 2,854,287
-------------
19,959,809
-------------
HEALTHCARE -- 14.8%
Drugs -- 7.7%
Alpharma, Inc., Class A............................................. 125,700 3,283,913
Genetics Institute, Inc.+........................................... 109,700 5,868,950
Hafslund Nycomed, Series B ADR...................................... 137,318 3,604,597
Immunex Corp.+...................................................... 200,000 3,300,000
Rhone-Poulenc Rorer, Inc. .......................................... 160,000 8,520,000
Zeneca Group PLC ADR................................................ 150,000 2,901,460
</TABLE>
---------------------
31
<PAGE> 33
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (continued)
Health Services -- 5.6%
American Medical Response, Inc.+.................................... 130,000 $ 4,225,000
Beverly Enterprises, Inc.+.......................................... 225,000 2,390,625
De Rigo S.p.A. ADR+................................................. 93,000 2,115,750
FHP International Corp.+............................................ 64,300 1,832,550
GranCare, Inc.+..................................................... 141,000 2,044,500
IDX Systems Corp.+.................................................. 125,300 4,354,175
Vencor, Inc.+....................................................... 85,000 2,762,500
Medical Products -- 1.5%
Biomet, Inc.+....................................................... 100,000 1,787,500
Haemonetics Corp. .................................................. 200,000 3,550,000
-------------
52,541,520
-------------
INDUSTRIAL & COMMERCIAL -- 9.1%
Business Services -- 0.7%
DST Systems, Inc.+.................................................. 81,500 2,322,750
Electrical Equipment -- 1.1%
York International Corp. ........................................... 85,000 3,995,000
Machinery -- 1.0%
Precision Castparts Corp. .......................................... 91,000 3,617,250
Metals -- 0.3%
Usinor Sacilor+..................................................... 80,200 1,060,435
Transportation -- 6.0%
America West Airlines, Inc., Class B+............................... 150,000 2,550,000
AMR Corp.+.......................................................... 95,000 7,053,750
Continental Airlines, Inc., Class B+................................ 110,400 4,802,400
Swift Transportation Co., Inc. ..................................... 109,500 1,669,875
Trans World Airlines, Inc.+......................................... 351,800 3,649,925
Werner Enterprises, Inc. ........................................... 85,000 1,721,250
-------------
32,442,635
-------------
INFORMATION & ENTERTAINMENT -- 23.6%
Broadcasting & Media -- 20.1%
American Radio Systems Corp., Class A............................... 140,000 3,920,000
Central European Media Entertainment Light, Ltd., Class A........... 170,000 3,485,000
E-Z Communications, Inc.+........................................... 145,000 2,610,000
Emmis Broadcasting Corp., Class A+.................................. 108,600 3,366,600
Evergreen Media Corp.+.............................................. 268,200 8,582,400
Gaylord Entertainment Co., Class A.................................. 138,285 3,837,409
International Cabletel, Inc.+....................................... 146,666 3,593,317
Jacor Communications, Inc.+......................................... 169,500 2,966,250
LodgeNet Entertainment Corp.+....................................... 150,000 1,425,000
News Corp., Ltd. ADR................................................ 220,000 4,235,000
Renaissance Communications Corp.+................................... 120,000 2,655,000
Saga Communications, Inc., Class A+................................. 156,250 2,539,063
Scholastic Corp.+................................................... 35,000 2,721,250
Scripps (E.W.) Co., Class A......................................... 85,000 3,346,875
SFX Broadcasting, Inc., Class A+.................................... 190,000 5,747,500
Valuevision International, Inc., Class A+........................... 200,000 1,112,500
Viacom, Inc. Class A+............................................... 11,200 513,800
Viacom, Inc., Class B+.............................................. 94,861 4,494,040
Vodafone Group PLC ADR.............................................. 75,000 2,643,750
Westwood One, Inc.+................................................. 205,000 2,895,625
Young Broadcasting, Inc., Class A+.................................. 175,000 4,943,750
</TABLE>
- ---------------------
32
<PAGE> 34
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (continued)
Entertainment Products -- 1.2%
Philips Electronics N.V. ADR........................................ 115,000 $ 4,125,625
Leisure & Tourism -- 2.3%
Royal Caribbean Cruises Ltd. ....................................... 135,000 2,970,000
Starbucks Corp.+.................................................... 161,600 3,393,600
Tabcorp Holdings Ltd. ADR*.......................................... 70,830 2,002,145
-------------
84,125,499
-------------
INFORMATION TECHNOLOGY -- 22.7%
Communication Equipment -- 7.5%
BroadBand Technologies, Inc.+....................................... 70,000 1,137,500
California Microwave, Inc.+......................................... 100,000 1,662,500
Cisco Systems, Inc.+................................................ 75,000 5,596,875
General Instrument Corp.+........................................... 140,000 3,272,500
MobileMedia Corp. .................................................. 249,300 5,546,925
Nokia Corp. ADR..................................................... 130,000 5,053,750
Shiva Corp. ........................................................ 60,000 4,365,000
Computers & Business Equipment -- 1.1%
Business Objects SA ADR+............................................ 39,400 1,905,975
Plaintree Systems, Inc.+............................................ 125,000 750,000
Sensormatic Electronics Corp. ...................................... 85,000 1,476,875
Electronics -- 0.8%
Cyrix Corp.+........................................................ 120,000 2,760,000
Software -- 13.3%
BISYS Group, Inc.+.................................................. 200,000 6,150,000
BMC Software, Inc.+................................................. 155,100 6,630,525
Cheyenne Software, Inc.+............................................ 185,000 4,833,125
Cognos, Inc. ....................................................... 125,000 5,578,125
Compuware Corp.+.................................................... 125,000 2,312,500
Cooper & Chyan Technology, Inc.+.................................... 50,000 787,500
FTP Software, Inc.+................................................. 225,000 6,525,000
Parametric Technology Corp.+........................................ 75,000 4,987,500
Policy Management Systems Corp.+.................................... 75,000 3,571,875
Softkey International, Inc.+........................................ 70,000 1,618,750
Spectrum Holobyte, Inc.+............................................ 270,000 1,755,000
Systems & Computer Technology Corp.+................................ 130,000 2,583,750
-------------
80,861,550
-------------
TOTAL INVESTMENT SECURITIES (cost: $259,666,326).................... 327,989,950
-------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 0.2% AMOUNT
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCIES -- 0.2%
United States Treasury Bills 5.53% due 3/21/96 (cost: $790,560)..... $ 800,000 790,925
-------------
</TABLE>
---------------------
33
<PAGE> 35
<TABLE>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 8.9% AMOUNT VALUE
<S> <C> <C>
-------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost: $31,635,000)............................................... $ 31,635,000 $ 31,635,000
-------------
TOTAL INVESTMENTS --
(cost: $292,091,886) 101.2% 360,415,875
Liabilities in excess of other assets -- (1.2) (4,197,836)
------ -------------
NET ASSETS -- 100.0% $356,218,039
===== =============
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR - American Depositary Receipts
See Notes to Financial Statements
- ---------------------
34
<PAGE> 36
- ---------------------
ANCHOR SERIES TRUST
CONVERTIBLE SECURITIES
PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
CONVERTIBLE BONDS -- 61.4% AMOUNT VALUE
<S> <C> <C>
-----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY -- 2.5%
Retail -- 2.5%
Rite Aid zero coupon 2006(1)........................................ $ 1,500,000 $ 798,750
------------
ENERGY -- 2.9%
Energy Sources -- 2.9%
Pennzoil Co. 6.50% 2003............................................. 750,000 941,250
------------
FINANCE -- 14.9%
Banks -- 4.7%
Fifth Third Bancorp. 4.25% 1998..................................... 1,000,000 1,170,000
J.G. Summit, Inc. 3.50% 2003*....................................... 470,000 345,450
Financial Services -- 3.9%
Legg Mason, Inc. 5.25% 2003......................................... 800,000 919,000
MBL International Finance Bermuda Trust 3.00% 2002.................. 268,000 314,900
Insurance -- 6.3%
Nac Reinsurance Corp. 5.25% 2002.................................... 1,000,000 975,000
Royal Insurance Holding Corp. 7.25% 2007............................ 500,000 1,015,297
Swiss Refinance Bermaud Ltd. 2.00% 2000*............................ 35,000 41,497
------------
4,781,144
------------
HEALTHCARE -- 13.3%
Drugs -- 5.2%
Alza Corp. zero coupon 2014(1)...................................... 1,500,000 611,250
Sandoz Capital BVI Ltd. 2.00% 2002*................................. 1,110,000 1,048,950
Health Services -- 4.9%
Beverly Enterprises Inc. 5.50% 2018................................. 800,000 756,000
Pharmaceutical Marketing Services 6.25% 2003*....................... 880,000 809,600
Medical Products -- 3.2%
McKesson Corp. 4.50% 2004........................................... 1,100,000 1,035,375
------------
4,261,175
------------
INDUSTRIAL & COMMERCIAL -- 3.3%
Business Services -- 3.3%
Fisher Scientific International Co., Inc. 4.75% 2003(2)............. 1,000,000 1,065,000
------------
INFORMATION & ENTERTAINMENT -- 6.6%
Broadcasting & Media -- 6.6%
Comcast Corp. 1.13% 2007............................................ 1,000,000 507,500
International Cabletel, Inc. 7.25% 2005*............................ 225,000 241,875
LDDS Communications, Inc. 5.00% 2003................................ 600,000 633,000
Scandinavian Broadcasting Systems 7.25% 2005........................ 700,000 715,750
------------
2,098,125
------------
</TABLE>
---------------------
35
<PAGE> 37
<TABLE>
<CAPTION>
PRINCIPAL
CONVERTIBLE BONDS (continued) AMOUNT VALUE
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 6.3%
Communication Equipment -- 2.7%
General Instrument Corp. 5.00% 2000................................. $ 800,000 $ 879,000
Software -- 3.6%
First Financial Management Corp. 5.00% 1999......................... 450,000 718,650
Spectrum Holobyte, Inc. 6.50% 2002*................................. 575,000 418,313
------------
2,015,963
------------
MATERIALS -- 4.3%
Chemicals -- 2.7%
RPM, Inc. zero coupon 2012.......................................... 2,000,000 857,500
Forest Products -- 1.6%
Cemex SA 4.25% 1997*................................................ 600,000 505,500
------------
1,363,000
------------
REAL ESTATE -- 3.9%
Real Estate Companies -- 2.4%
Hong Kong Land Co. 4.00% 2001....................................... 500,000 421,250
Liberty Property Ltd. 8.00% 2001.................................... 350,000 359,625
Real Estate Investment Trusts -- 1.5%
IRT Property Co. 7.30% 2003......................................... 500,000 475,000
------------
1,255,875
------------
SERVICES -- 3.4%
Transportation -- 3.4%
AMR Corp. 6.13% 2024................................................ 1,050,000 1,086,750
------------
TOTAL CONVERTIBLE BONDS (cost: $19,660,377)......................... 19,667,032
------------
<CAPTION>
CONVERTIBLE PREFERRED STOCK -- 35.5% SHARES
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 2.7%
Automotive -- 2.7%
General Motors Corp., Series C $3.25................................ 12,000 879,000
------------
CONSUMER STAPLES -- 1.0%
Food, Beverage & Tobacco -- 1.0%
RJR Nabisco Holdings, Series C 9.25%................................ 50,000 318,750
------------
ENERGY -- 8.6%
Energy Services -- 2.5%
Occidental Petroleum Corp. $3.88*................................... 15,000 817,500
Energy Sources -- 6.1%
Ashland Oil Co. $3.13............................................... 17,600 1,036,200
Unocal Corp. 7.00%*................................................. 17,000 907,375
------------
2,761,075
------------
FINANCE -- 14.2%
Banks -- 3.7%
Ahmanson (H.F.) & Co. 6.00%......................................... 20,000 1,182,500
</TABLE>
- ---------------------
36
<PAGE> 38
<TABLE>
<CAPTION>
CONVERTIBLE PREFERRED STOCK (continued) SHARES VALUE
<S> <C> <C>
-----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
FINANCE (continued)
Insurance -- 10.5%
Allstate Corp. 6.76%................................................ 20,000 $ 820,000
Conseco, Inc. 6.50%................................................. 10,000 530,000
Jefferson Pilot Corp. 7.25%......................................... 13,000 950,625
Kemper Corp., Series E 5.75%*....................................... 20,000 1,052,500
------------
4,535,625
------------
HEALTHCARE -- 1.2%
Medical Products -- 1.2%
US Surgical Corp. 9.76%............................................. 15,000 378,750
------------
INDUSTRIAL & COMMERCIAL -- 1.5%
Transportation -- 1.5%
Continental Airlines Finance Trust 8.50%(3)*........................ 9,000 481,500
------------
INFORMATION & ENTERTAINMENT -- 2.6%
Broadcasting & Media -- 2.6%
Cablevision Systems Corp., Series I 8.50%........................... 30,000 817,500
------------
REAL ESTATE -- 3.7%
Real Estate Investment Trusts -- 3.7%
Security Capital Pacific Trust, Series A 7.00%...................... 48,000 1,176,000
------------
TOTAL CONVERTIBLE PREFERRED STOCK (cost: $10,798,080)............... 11,348,200
------------
TOTAL INVESTMENT SECURITIES (cost: $30,458,457)..................... 31,015,232
------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 5.2% AMOUNT
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost: $1,665,000)................................................ $ 1,665,000 1,665,000
------------
TOTAL INVESTMENTS --
(cost: $32,123,457) 102.1% 32,680,232
Liabilities in excess of other assets -- (2.1) (671,959)
------ ------------
NET ASSETS -- 100.0% $32,008,273
====== =============
</TABLE>
-----------------------------
* Resale restricted to qualified institutional buyers
(1) Represents a zero coupon bond which will convert to an
interest bearing security at a later date
(2) Security will convert to 6.75% beginning 3/01/96
(3) Fair Valued Security; see Note 2
See Notes to Financial Statements.
---------------------
37
<PAGE> 39
- ---------------------
ANCHOR SERIES TRUST
FOREIGN SECURITIES
PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1995
<TABLE>
<CAPTION>
COMMON STOCK -- 90.2% SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
ARGENTINA -- 0.4%
Buenos Aires Embotelladora SA ADR (Consumer Staples)+............... 6,000 $ 123,750
Telefonica de Argentina SA ADR (Utilities).......................... 4,000 109,000
------------
232,750
------------
AUSTRALIA -- 4.4%
Advance Bank (Australia) (Finance).................................. 21,807 174,728
Amcor Ltd. (Materials).............................................. 93,964 663,489
Australia & New Zealand Bank Group (Finance)........................ 81,693 383,145
Broken Hill Proprietary Ltd. ADR (Materials)........................ 46,600 658,094
National Australia Bank Ltd. (Finance).............................. 45,183 406,358
Qantas Airways Ltd. ADR (Information & Entertainment)*.............. 5,600 93,310
------------
2,379,124
------------
AUSTRIA -- 0.8%
EVN Energie-Versorgung Niederoesterreich AG (Utilities)............. 2,900 398,522
------------
BELGIUM -- 0.7%
Delhaize Le Lion SA (Consumer Discretionary)........................ 9,000 373,089
------------
BRAZIL -- 0.2%
Centrais Eletricas Brasileiras SA - ELETROBRAS ADR (Utilities)...... 9,000 121,768
------------
CANADA -- 1.5%
Canadian Pacific Ltd. (Industrial & Commercial)*.................... 45,000 815,625
------------
CHILE -- 0.3%
Compania de Telefonos Chile SA ADR (Utilities)...................... 2,000 165,750
------------
DENMARK -- 1.6%
Tele Danmark A/S ADR (Utilities).................................... 26,000 718,250
Unidanmark A/S (Finance)............................................ 2,500 123,818
------------
842,068
------------
FINLAND -- 1.2%
Metsa-Serla Oy (Materials).......................................... 5,000 154,044
Nokia Corp. ADR (Information Technology)............................ 9,000 349,875
Unitas Ltd. (Finance)............................................... 58,600 148,205
------------
652,124
------------
FRANCE -- 6.2%
Banque Nationale de Paris (Finance)................................. 3,000 135,328
Canal Plus SA (Information & Entertainment)......................... 400 74,985
Cie de St. Gobain (Materials)....................................... 4,797 523,095
Euro RSCG Worldwide SA (Information & Entertainment)................ 3,470 283,439
Groupe Danone (Consumer Staples).................................... 2,033 335,443
Renault SA (Consumer Discretionary)................................. 16,600 477,966
Rhone Poulenc SA, Series A (Healthcare)............................. 6,000 128,528
</TABLE>
- ---------------------
38
<PAGE> 40
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
FRANCE (continued)
Societe Generale (Finance).......................................... 3,240 $ 400,286
Technip SA (Industrial & Commercial)................................ 4,100 282,152
Total SA, Series B (Energy)......................................... 9,782 660,190
------------
3,301,412
------------
GERMANY -- 3.9%
Bayer AG (Healthcare)............................................... 2,600 686,023
Daimler-Benz AG (Consumer Discretionary)............................ 300 150,993
Degussa AG (Industrial & Commercial)................................ 200 66,644
Deutsche Bank AG (Finance).......................................... 6,500 307,985
Mannesmann AG (Industrial & Commercial)............................. 1,300 413,880
VEBA AG (Utilities)................................................. 11,000 466,992
------------
2,092,517
------------
HONG KONG -- 4.0%
Hong Kong Telecommunications, Ltd. (Utilities)...................... 240,362 428,968
Hutchison Whampoa Ltd. (Real Estate)................................ 130,000 791,852
Sun Hung Kai Properties Ltd. (Real Estate).......................... 20,000 163,595
Swire Pacific Ltd., Class A (Real Estate)........................... 100,000 775,946
------------
2,160,361
------------
INDIA -- 0.4%
ITC Ltd. GDR (Consumer Staples)*.................................... 20,000 142,758
Reliance Industries GDS (Materials)*................................ 5,000 70,000
------------
212,758
------------
INDONESIA -- 0.4%
PT Jaya Real Property (Real Estate)*................................ 57,000 154,559
PT Semen Gresik (Materials)*........................................ 19,000 53,182
------------
207,741
------------
ITALY -- 1.6%
Banca Commerciale Italiana S.p.A. (Finance)......................... 110,000 234,805
STET (Utilities).................................................... 224,000 633,300
------------
868,105
------------
JAPAN -- 25.7%
Chichibu Onoda Cement Co., Ltd. (Materials)......................... 120,000 640,387
Chugai Pharmaceutical Co., Ltd. (Healthcare)........................ 12,000 114,944
Dai Nippon Printing Co., Ltd. (Industrial & Commercial)............. 30,000 508,475
Home Wide Corp. (Consumer Discretionary)............................ 11,000 129,976
Ito-Yokado Co., Ltd. (Consumer Discretionary)....................... 10,000 615,981
Kawasaki Heavy Industries Ltd. (Industrial & Commercial)............ 82,000 377,240
Keio Teito Electric Railway Co., Ltd. (Consumer Discretionary)...... 19,000 110,596
Kyocera Corp. (Information Technology).............................. 3,000 222,857
Kyoritsu Air Technology (Industrial & Commercial)................... 7,000 75,932
Mabuchi Motor Co., Ltd. (Industrial & Commercial)................... 6,000 373,075
Minebea Co., Ltd. (Information Technology).......................... 52,000 436,145
Mitsubishi Bank Ltd. (Finance)...................................... 13,000 305,956
Mitsubishi Corp. (Industrial & Commercial).......................... 48,000 590,412
Mitsui Petrochemical (Materials).................................... 40,000 327,361
Murata Manufacturing Co. (Information Technology)................... 8,000 294,431
Nihon Jumbo Co., Ltd. (Materials)................................... 6,000 209,782
Nippon Express Co., Ltd. (Industrial & Commercial).................. 20,000 192,542
Nippon Telegraph & Telecommunications Corp. (Information &
Entertainment).................................................... 51 412,446
NKK Corp. (Materials)............................................... 89,000 239,632
Nomura Securities International, Inc. (Finance)..................... 29,000 631,961
Orix Corp. (Industrial & Commercial)................................ 10,000 411,622
</TABLE>
---------------------
39
<PAGE> 41
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN (continued)
Riso Kagaku Corp. (Information Technology).......................... 2,000 $ 168,717
Sakura Bank Ltd. (Finance).......................................... 30,000 380,630
Sankyo Co., Ltd. (Healthcare)....................................... 33,000 741,501
Sanwa Bank Ltd. (Finance)........................................... 8,000 162,712
Sanyo Shinpan Finance Co. (Finance)................................. 8,500 699,758
Secom Co. (Industrial & Commercial)................................. 10,000 695,400
Seven-Eleven Japan Co., Ltd. (Consumer Discretionary)............... 7,000 493,559
Shimamura Co. (Consumer Discretionary).............................. 17,000 656,949
Shohkoh Fund & Co. (Finance)........................................ 1,000 187,894
Showa Corp. (Consumer Discretionary)................................ 21,000 160,881
Sony Corp. (Information & Entertainment)............................ 9,000 539,564
Sumitomo Realty & Development Co., Ltd. (Real Estate)............... 88,000 622,179
Sumitomo Trust & Banking Co., Ltd. (Finance)........................ 10,000 141,404
Toda Construction Co. (Industrial & Commercial)..................... 12,000 104,019
Tokio Marine & Fire Insurance Co., Ltd. (Finance)................... 50,000 653,753
Tsutsumi Jewelry Co. (Consumer Discretionary)....................... 2,400 120,174
------------
13,750,847
------------
MALAYSIA -- 1.7%
Resorts World Bhd (Information & Entertainment)..................... 73,000 390,913
Sime Darby Bhd (Industrial & Commercial)............................ 198,000 526,243
------------
917,156
------------
MEXICO -- 0.9%
Cemex SA (Materials)................................................ 10,000 33,053
Fomento Economico Mexicano SA de CV, Series B (Consumer Staples).... 19,000 42,704
Grupo Carso SA de CV, Series A (Consumer Staples)................... 22,000 118,626
Kimberly-Clark Corp., Series A (Materials).......................... 15,000 226,312
Transportacion Maritima Mexicana SA de CV ADR (Industrial &
Commercial)....................................................... 10,900 81,750
------------
502,445
------------
NETHERLANDS -- 4.9%
Elsevier NV (Information & Entertainment)........................... 35,000 466,754
Internationale Nederlanden Groep NV (Finance)....................... 13,906 928,973
Unilever NV (Consumer Staples)...................................... 5,200 730,728
Vendex International NV (Consumer Discretionary).................... 16,000 475,603
------------
2,602,058
------------
NEW ZEALAND -- 1.9%
Air New Zealand Ltd. (Information & Entertainment).................. 36,053 122,565
Brierley Investments Ltd. (Finance)................................. 643,000 508,649
Carter Holt Harvey Ltd. (Materials)................................. 189,000 407,754
------------
1,038,968
------------
NORWAY -- 3.7%
Christiania Bank Og Kreditkasse (Finance)*.......................... 96,800 226,179
Kvaerner AS (Industrial & Commercial)............................... 15,000 530,462
Orkla AS (Consumer Staples)......................................... 12,000 596,770
Saga Petroleum (Energy)............................................. 47,000 627,003
------------
1,980,414
------------
PHILIPPINES -- 0.4%
Philippine National Bank (Finance).................................. 18,460 204,095
------------
PORTUGAL -- 0.7%
Portugal Telecom SA ADR (Utilities)................................. 19,800 376,200
------------
</TABLE>
- ---------------------
40
<PAGE> 42
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
SINGAPORE -- 3.5%
Development Bank of Singapore (Finance)............................. 46,250 $ 575,469
Keppel Corp. Ltd. (Industrial & Commercial)......................... 76,000 676,988
Overseas Chinese Banking Corp. Ltd. (Finance)....................... 35,000 437,964
United Overseas Bank Ltd. (Finance)................................. 20,000 192,294
------------
1,882,715
------------
SPAIN -- 4.8%
Acerinox SA (Materials)............................................. 1,250 126,443
Banco Bilbao Vizcaya (Finance)...................................... 21,000 756,554
Empresa Nacional de Electricidad ADR (Utilities).................... 4,500 257,625
Iberdrola SA (Utilities)............................................ 70,000 640,560
Repsol SA ADR (Energy).............................................. 20,000 657,500
Telefonica de Espana SA (Utilities)................................. 10,000 138,500
------------
2,577,182
------------
SWEDEN -- 1.2%
Avesta Sheffield (Materials)........................................ 26,700 235,244
BT Industries AB (Industrial & Commercial)*......................... 19,100 209,995
Stora Kopparbergs, Series A (Materials)............................. 18,000 211,455
------------
656,694
------------
SWITZERLAND -- 3.8%
Ciba-Geigy AG (Healthcare).......................................... 850 747,941
Nestle SA (Consumer Staples)........................................ 1,050 1,161,508
Sulzer AG (Healthcare).............................................. 280 149,285
------------
2,058,734
------------
THAILAND -- 0.6%
Bangkok Bank Public Co., Ltd. (Finance)............................. 6,000 72,886
Bangkok Metropolitan Bank PCL (Finance)............................. 103,000 96,090
Siam Commercial Bank Public Co., Ltd. (Finance)..................... 10,000 131,798
------------
300,774
------------
UNITED KINGDOM -- 8.8%
Bass PLC (Consumer Staples)......................................... 39,500 440,763
BET PLC (Industrial & Commercial)................................... 513,000 1,011,819
Body Shop International PLC (The) (Consumer Staples)................ 58,000 137,816
British Steel PLC (Materials)....................................... 135,000 341,221
British Telecommunications PLC (Utilities).......................... 102,000 559,186
Northern Foods PLC (Consumer Staples)............................... 38,000 102,097
PowerGen PLC (Utilities)............................................ 24,293 200,712
Rank Organisation PLC (Information & Entertainment)................. 80,000 578,972
Royal Insurance Holdings PLC (Finance).............................. 80,000 473,987
Tomkins PLC (Consumer Staples)...................................... 80,000 349,744
Vodafone Group PLC (Information & Entertainment).................... 140,000 502,252
------------
4,698,569
------------
TOTAL COMMON STOCK (cost: $44,213,711).............................. 48,370,565
------------
<CAPTION>
PREFERRED STOCK -- 0.3%
----------------------------------------------------------------------------------------------------
<S> <C> <C>
BRAZIL -- 0.3%
Brasmotor SA (Consumer Discretionary)............................... 240,000 47,654
Centrais Eletricas Brasileiras SA-Electrobras, Series B
(Utilities)....................................................... 350,000 94,702
------------
TOTAL PREFERRED STOCK (cost: $145,329).............................. 142,356
------------
TOTAL INVESTMENT SECURITIES (cost: $44,359,040)..................... 48,512,921
------------
</TABLE>
---------------------
41
<PAGE> 43
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 0.9% AMOUNT VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
United States Treasury Bills 5.18% due 3/21/96 @ (cost: $494,244)... $ 500,000 $ 494,328
------------
<CAPTION>
REPURCHASE AGREEMENT -- 8.3%
----------------------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement @ (See Note 3)
(cost: $4,450,000)................................................ 4,450,000 4,450,000
------------
TOTAL INVESTMENTS --
(cost: $49,303,284) 99.7% 53,457,249
Other assets less liabilities -- 0.3 152,214
------ ------------
NET ASSETS -- 100.0% $53,609,463
====== =============
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR - American Depositary Receipts
GDR - Global Depositary Receipts
GDS - Global Depositary Shares
@ The security or a portion thereof represents collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<S> <C> <C>
----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION VALUE AS OF APPRECIATION/
CONTRACTS DESCRIPTION DATE DECEMBER 31, 1995 (DEPRECIATION)
<C> <S> <C> <C> <C>
----------------------------------------------------------------------------------------------------
3 Long Deutsche Terminboerse Dax Stock Index
Future.............................. March 1996 $ 477,573 $ (972)
8 Long Hang Seng Index Future -- Hong Kong
Futures............................. January 1996 524,558 10,657
47 Long IBEX 35 Future -- Mercado de Opciones
y Futures Financieras............... January 1996 141,099 3,874
50 Long IBEX 35 Future -- Mercado de Opciones
y Futures Financieras............... January 1996 150,105 4,039
50 Long IBEX 35 Future -- Mercado de Opciones
y Futures Financieras............... January 1996 150,105 3,998
4 Long Tokyo Stock Exchange Topix Future..... March 1996 610,334 13,380
4 Long Ft-Se 100 Stock Index Future -- London
International Financial Futures &
Options Exchange.................... March 1996 574,928 6,639
10 Long Marche A Terme International de France
CAC 40 Stock Index Future........... March 1996 773,131 5,214
7 Long All ordinaries share price Stock Index
Future -- Sydney Futures Exchange... March 1996 290,567 (1,094)
3 Long Toronto 35 Index Future -- Toronto
Futures Exchange.................... March 1996 275,277 (1,509)
-------------
Net Unrealized Appreciation............................................ $44,226
==============
</TABLE>
- ---------------------
42
<PAGE> 44
<TABLE>
<CAPTION>
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT DECEMBER 31, 1995
----------------------------------------------------------------
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
<S> <C> <C> <C>
---------------------------------------------------------------------------
USD 290,000 AUD 395,149 3/29/96 $ 2,426
USD 270,000 CAD 369,846 3/29/96 800
USD 470,000 DEM 679,338 3/29/96 5,710
USD 420,000 ESP 52,416,000 3/29/96 8,253
USD 730,000 FRF 3,645,401 3/29/96 15,504
USD 560,000 GBP 368,227 3/29/96 10,638
----------------
43,331
----------------
</TABLE>
<TABLE>
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
<S> <C> <C> <C>
---------------------------------------------------------------------------
FRF 4,890,400 USD 1,000,000 5/10/96 $ (355)
USD 600,000 JPY 59,814,000 3/29/96 (13,171)
NLG 962,070 USD 600,000 3/27/96 (2,590)
CHF 918,560 USD 800,000 3/27/96 (3,704)
----------------
(19,820)
----------------
Net Appreciation............................. $ 23,511
==============
AUD -- Australian Dollar
CAD -- Canadian Dollar
CHF -- Swiss Franc
DEM -- Deutsche Mark
ESP -- Spanish Peseta
FRF -- French Franc
GBP -- Pound Sterling
JPY -- Japanese Yen
NLG -- Netherlands Guilder
USD -- United States Dollar
</TABLE>
See Notes to Financial Statements
---------------------
43
<PAGE> 45
- ---------------------
ANCHOR SERIES TRUST
NATURAL RESOURCES
PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1995
<TABLE>
<CAPTION>
COMMON STOCK -- 95.6% SHARES VALUE
<S> <C> <C>
-----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
ENERGY -- 26.1%
Energy Sources -- 26.1%
Amerada Hess Corp. ................................................. 17,390 $ 921,670
Amoco Corp. ........................................................ 9,000 646,875
Anadarko Petroleum Corp. ........................................... 10,000 541,250
Anderson Exploration Ltd. .......................................... 32,844 336,738
Barrett Resources Corp.+............................................ 20,000 587,500
Canadian Natural Resources Ltd. ADR................................. 30,000 436,653
Enron Oil And Gas Co. .............................................. 9,600 230,400
Exxon Corp. ........................................................ 10,000 801,250
Northstar Energy Corp. ............................................. 30,000 310,326
PanCanadian Petroleum Ltd. ADR...................................... 20,000 768,949
Poco Petroleum Ltd. ADR+............................................ 40,000 296,595
Santa Fe Energy Resources, Inc. .................................... 30,000 288,750
Talisman Energy, Inc. .............................................. 27,000 546,228
Unocal Corp. ....................................................... 29,020 845,208
------------
7,558,392
------------
INDUSTRIAL & COMMERCIAL -- 1.9%
Transportation -- 1.9%
Canadian Pacific Ltd. ADR........................................... 30,000 543,750
------------
MATERIALS -- 67.6%
Forest Products -- 18.4%
Boise Cascade Corp. ................................................ 28,500 986,812
Bowater, Inc. ...................................................... 7,000 248,500
International Paper Co. ............................................ 20,000 757,500
Longview Fibre Co. ................................................. 30,000 487,500
Rayonier, Inc. ..................................................... 10,000 333,750
Temple-Inland, Inc. ................................................ 14,500 639,813
Weyerhaeuser Co. ................................................... 30,000 1,297,500
Willamette Industries, Inc. ........................................ 10,000 562,500
Metals & Minerals -- 49.2%
Agnico Eagle Mines Ltd. ............................................ 16,000 202,000
Alcan Aluminum Ltd. ................................................ 20,000 622,500
Alcan Australia..................................................... 144,000 353,204
Algoma Steel, Inc. ................................................. 170,000 637,500
Alumax, Inc.+....................................................... 9,200 281,750
Aluminum Co. of America............................................. 13,600 719,100
Barrick Gold Corp. ................................................. 29,800 785,975
Carbide/Graphite Group, Inc.+....................................... 21,100 303,313
Commonwealth Aluminum Corp. ........................................ 3,550 55,025
Dominion Mining Ltd. ADR............................................ 698,400 142,753
Easco, Inc. ........................................................ 59,000 508,875
Freeport McMoRan Copper & Gold, Inc. ............................... 36,700 1,027,600
Hecla Mining Co. ................................................... 17,300 118,938
Homestake Mining Co. ............................................... 19,685 307,578
J & L Specialty Steel, Inc. ........................................ 23,600 442,500
</TABLE>
- ---------------------
44
<PAGE> 46
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (continued)
Metals & Minerals (continued)
Newcrest Mining Ltd. ADR............................................ 93,148 $ 391,867
Newmont Gold Co. ................................................... 22,600 988,750
Newmont Mining Corp. ............................................... 10,150 459,287
Noranda, Inc. ...................................................... 30,000 615,159
North Flinders Mines Ltd. .......................................... 66,400 370,644
Pegasus Gold, Inc. ................................................. 10,000 138,750
Phelps Dodge Corp. ................................................. 12,000 747,000
Placer Dome, Inc. .................................................. 20,000 482,500
Poseidon Gold Ltd. ADR.............................................. 157,405 313,546
RTZ Corp. PLC....................................................... 20,000 290,728
Santa Fe Pacific Gold Corp. ........................................ 64,000 776,000
Sons of Gwalia Ltd. ADR............................................. 133,000 731,530
Usinor Sacilor...................................................... 31,100 411,216
Western Mining Corp. Holdings Ltd. ADS.............................. 160,000 1,027,501
------------
19,566,964
------------
TOTAL INVESTMENT SECURITIES (cost: $23,834,314)..................... 27,669,106
------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 7.9% AMOUNT
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost: $2,275,000)................................................ $ 2,275,000 2,275,000
------------
TOTAL INVESTMENTS --
(cost: $26,109,314) 103.5% 29,944,106
Liabilities in excess of other assets -- (3.5) (1,002,735)
----- ------------
NET ASSETS -- 100.0% $28,941,371
===== =============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR - American Depositary Receipts
ADS - American Depositary Shares
See Notes to Financial Statements
---------------------
45
<PAGE> 47
- ---------------------
ANCHOR SERIES TRUST
TARGET '98 PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 98.2% AMOUNT VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
FINANCE -- 13.6%
American General Corp. 9.70% 1998................................... $ 250,000 $ 269,535
Household Finance Corp. 9.80% 1998.................................. 250,000 271,127
International Lease Finance Corp. 7.50% 1999........................ 250,000 262,343
Japan Financial Corp. 9.25% 1998.................................... 300,000 327,054
Morgan (J.P.) & Co., Inc. zero coupon 1998.......................... 450,000 396,040
United Virginia Bankshares, Inc. 8.63% 1998......................... 200,000 211,846
------------
1,737,945
------------
SUPRANATIONALS -- 3.8%
International Bank for Reconstruction & Development zero coupon
1998.............................................................. 550,000 485,239
------------
U.S. GOVERNMENT & AGENCIES -- 74.8%
Federal Judiciary Office Building zero coupon 1998.................. 1,000,000 870,160
Federal National Mortgage Association zero coupon 1998.............. 2,000,000 1,737,298
Government Trust Certificates Series 3D zero coupon 1998............ 1,500,000 1,287,525
Government Trust Certificates Series T zero coupon 1998............. 2,600,000 2,231,710
Tennessee Valley Authority zero coupon 1998......................... 1,000,000 846,960
Treasury Investment Growth Receipts zero coupon 1998................ 1,000,000 861,040
United States Treasury Note Strip zero coupon 1998.................. 500,000 430,880
United States Treasury Note Strip Prior zero coupon 1998............ 1,500,000 1,292,460
------------
9,558,033
------------
UTILITIES -- 6.0%
Michigan Bell Telephone Co. 9.25% 1998.............................. 300,000 328,476
Quebec Hydroelectric 9.55% 1998..................................... 100,000 106,867
Virginia Electric & Power Co. 9.38% 1998............................ 300,000 325,068
------------
760,411
------------
TOTAL INVESTMENT SECURITIES (cost: $11,855,719)..................... 12,541,628
------------
<CAPTION>
REPURCHASE AGREEMENT -- 1.7%
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost: $225,000).................................................. 225,000 225,000
------------
TOTAL INVESTMENTS --
(cost: $12,080,719) 99.9% 12,766,628
Other assets less liabilities -- 0.1 7,557
------ ------------
NET ASSETS -- 100.0% $12,774,185
======= =============
</TABLE>
See Notes to Financial Statements
- ---------------------
46
<PAGE> 48
(INTENTIONALLY LEFT BLANK)
<PAGE> 49
- ---------------------
ANCHOR SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
MONEY GOVERNMENT & FIXED
MARKET QUALITY BOND INCOME GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investment securities at value*............................. $ -- $201,795,749 $27,335,947 $305,109,809
Short-term securities*...................................... 90,289,341 -- -- --
Repurchase agreements*...................................... -- 36,575,000 145,000 3,325,000
Cash........................................................ 1,745 2,034 4,149 --
Foreign currency............................................ -- -- -- --
Receivables for --
Sales of investments...................................... 3,047,073 -- 2,504,538 607,171
Fund shares sold.......................................... 483,735 298,309 18,364 59,977
Dividends and interest.................................... 121,994 2,266,766 518,310 359,079
Variation margin on future contracts...................... -- -- -- --
Receivable for foreign currency contracts sold.............. -- -- -- --
Prepaid expenses............................................ 17,817 39,845 8,231 36,607
Unrealized appreciation of foreign currency contracts....... -- -- -- --
--------------------------------------------------------
Total assets....................................... 93,961,705 240,977,703 30,534,539 309,497,643
--------------------------------------------------------
LIABILITIES:
Payables for --
Purchases of investments.................................. -- 15,046,042 2,501,302 844,335
Fund shares redeemed...................................... 183,824 126,389 22,292 223,889
Management fees........................................... 40,317 118,448 14,717 190,721
Foreign currency contracts................................ -- -- -- --
Due to custodian bank..................................... -- -- -- 236,579
Other accrued expenses...................................... 45,881 108,096 21,426 144,675
Unrealized depreciation of foreign currency contracts....... -- -- -- --
--------------------------------------------------------
Total liabilities.................................. 270,022 15,398,975 2,559,737 1,640,199
--------------------------------------------------------
NET ASSETS:................................................. $93,691,683 $225,578,728 $27,974,802 $307,857,444
========================================================
Shares of beneficial interest outstanding (unlimited shares
authorized)............................................... 93,691,683 15,853,025 1,976,278 15,804,750
Net asset value per share................................... $ 1.00 $ 14.23 $ 14.16 $ 19.48
========================================================
COMPOSITION OF NET ASSETS:
Capital paid in............................................. $93,691,683 $204,166,066 $27,090,425 $237,393,719
Accumulated undistributed net investment income (loss)...... 721 14,101,885 1,886,024 1,525,191
Accumulated undistributed net realized gain (loss) on
investments, futures contracts and options contracts...... (721) 450,358 (2,612,922) 13,868,992
Unrealized appreciation of investments and short-term
securities................................................ -- 6,860,419 1,611,275 55,069,542
Unrealized foreign exchange gain (loss) on other assets and
liabilities............................................... -- -- -- --
Unrealized appreciation on futures contracts................ -- -- -- --
-------------------------------------------------------
$93,691,683 $225,578,728 $27,974,802 $307,857,444
=======================================================
---------------
*Cost
Investment securities...................................... $ -- $194,935,330 $25,724,672 $250,040,267
=======================================================
Short-term securities and repurchase agreements............ $90,289,341 $36,575,000 $ 145,000 $ 3,325,000
=======================================================
</TABLE>
See Notes to Financial Statements
- ---------------------
47
<PAGE> 50
<TABLE>
<CAPTION>
STRATEGIC CAPITAL CONVERTIBLE FOREIGN NATURAL
HIGH YIELD MULTI-ASSET MULTI-ASSET APPRECIATION SECURITIES SECURITIES RESOURCES TARGET '98
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$43,368,315 $61,634,388 $156,475,287 $327,989,950 $31,015,232 $48,512,921 $27,669,106 $12,541,628
-- -- -- 790,925 -- 494,328 -- --
2,340,000 2,135,000 16,315,000 31,635,000 1,665,000 4,450,000 2,275,000 225,000
184 1,689 936 -- 3,256 1,131 2,724 4,736
-- 730 -- -- -- 23 -- --
129,270 67,268 -- -- -- 97,162 -- --
254 3,120 15,024 220,264 1,228 45,827 33,598 734
1,048,127 390,043 739,347 72,627 308,086 225,338 33,634 32,126
-- -- -- -- -- 3,400 -- --
-- 135,908 -- 1,059,813 -- 154,966 401,392 --
8,578 13,165 27,170 8,233 3,079 3,602 1,538 674
-- -- -- -- -- 43,331 -- --
----------------------------------------------------------------------------------------------------------------
46,894,728 64,381,311 173,572,764 361,776,812 32,995,881 54,032,029 30,416,992 12,804,898
----------------------------------------------------------------------------------------------------------------
-- 95,357 5,015,347 3,224,337 894,442 58,395 998,066 --
16,636 14,417 102,490 859,051 47,103 85,031 32,380 6,954
27,775 54,332 142,913 204,116 19,311 40,644 18,184 6,770
-- 135,825 -- 1,058,157 -- 155,523 400,393 --
-- -- -- 53,512 -- -- -- --
33,579 55,378 69,206 159,600 26,752 63,153 26,598 16,989
-- 142 -- -- -- 19,820 -- --
----------------------------------------------------------------------------------------------------------------
77,990 355,451 5,329,956 5,558,773 987,608 422,566 1,475,621 30,713
----------------------------------------------------------------------------------------------------------------
$46,816,738 $64,025,860 $168,242,808 $356,218,039 $32,008,273 $53,609,463 $28,941,371 $12,774,185
======================================================================================================================
5,618,366 5,435,876 12,901,232 15,340,737 2,665,182 4,537,636 1,914,023 1,010,380
$ 8.33 $ 11.78 $ 13.04 $ 23.22 $ 12.01 $ 11.81 $ 15.12 $ 12.64
======================================================================================================================
$55,823,789 $47,268,718 $121,349,884 $270,779,204 $31,187,505 $50,930,931 $24,446,526 $11,139,562
4,658,768 1,761,777 5,315,320 918,755 1,734,211 738,683 325,546 1,203,164
(14,710,104) 3,768,451 9,803,919 16,195,459 (1,470,237) (2,288,863) 334,238 (254,450)
1,044,285 11,224,958 31,773,693 68,323,989 556,775 4,153,965 3,834,792 685,909
-- 1,956 (8) 632 19 30,521 269 --
-- -- -- -- -- 44,226 -- --
----------------------------------------------------------------------------------------------------------------
$46,816,738 $64,025,860 $168,242,808 $356,218,039 $32,008,273 $53,609,463 $28,941,371 $12,774,185
======================================================================================================================
$42,324,030 $50,409,430 $124,701,594 $259,666,326 $30,458,457 $44,359,040 $23,834,314 $11,855,719
======================================================================================================================
$ 2,340,000 $2,135,000 $16,315,000 $32,425,560 $1,665,000 $4,944,244 $2,275,000 $ 225,000
======================================================================================================================
</TABLE>
---------------------
48
<PAGE> 51
- ---------------------
ANCHOR SERIES TRUST
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
GOVERNMENT
&
MONEY QUALITY FIXED
MARKET BOND INCOME GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NET INVESTMENT INCOME:
Income:
Interest..................................................... $6,871,195 $15,722,556 $2,043,953 $ 681,522
Dividends*................................................... -- -- -- 3,196,331
---------------------------------------------------
Total income.......................................... 6,871,195 15,722,556 2,043,953 3,877,853
---------------------------------------------------
Expenses:
Investment management fees................................... 569,193 1,346,394 174,815 2,044,069
Custodian fees............................................... 41,865 99,995 31,520 112,190
Audit and tax consulting fees................................ 22,695 45,840 12,090 61,440
Reports to Investors......................................... 5,340 65,125 1,070 87,955
Trustees' fees............................................... 9,544 17,844 1,239 20,300
Insurance expense............................................ 2,951 5,882 766 6,640
Legal fees................................................... 1,175 3,020 -- 4,325
Other expenses............................................... 4,363 6,344 1,870 6,388
---------------------------------------------------
Total expenses........................................ 657,126 1,590,444 223,370 2,343,307
---------------------------------------------------
Net Investment income.......................................... 6,214,069 14,132,112 1,820,583 1,534,546
---------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN
CURRENCIES:
Net realized gain (loss) on investments........................ -- 8,288,042 450,299 13,885,804
Net realized foreign exchange gain (loss) on other assets and
liabilities.................................................. -- -- -- 1,682
Net realized loss on futures contracts......................... -- -- -- --
Change in unrealized appreciation/depreciation of
investments.................................................. -- 16,257,191 2,644,460 48,038,490
Change in unrealized foreign exchange gain (loss) on other
assets and liabilities....................................... -- -- -- --
Change in unrealized appreciation/depreciation on futures
contracts.................................................... -- -- -- --
---------------------------------------------------
Net realized and unrealized gain on investments and
foreign currencies........................................... -- 24,545,233 3,094,759 61,925,976
---------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........... $6,214,069 $38,677,345 $4,915,342 $63,460,522
======================================================
</TABLE>
- ---------------
* Net of foreign withholding taxes of $46,220; $64,926; $14,210; $77,691;
$185,443; and $13,460 on Growth, Strategic Multi-Asset, Multi-Asset,
Capital Appreciation, Foreign Securities and Natural Resources,
respectively.
See Notes to Financial Statements
- ---------------------
49
<PAGE> 52
<TABLE>
<CAPTION>
STRATEGIC CAPITAL CONVERTIBLE FOREIGN NATURAL
HIGH YIELD MULTI-ASSET MULTI-ASSET APPRECIATION SECURITIES SECURITIES RESOURCES TARGET '98
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$4,933,551 $1,766,450 $5,153,507 $1,954,396 $1,088,553 $ 181,384 $ 105,518 $1,194,014
44,509 764,239 1,932,926 1,242,798 886,033 1,236,785 484,777 --
--------------------------------------------------------------------------------------------------------
4,978,060 2,530,689 7,086,433 3,197,194 1,974,586 1,418,169 590,295 1,194,014
---------------------------------------------------------------------------------------------------------
346,773 640,025 1,671,735 1,992,705 229,671 525,490 195,327 98,847
47,710 130,500 69,005 114,510 29,665 155,500 38,565 23,025
15,640 18,360 36,570 70,015 12,695 16,380 12,575 9,540
1,605 2,490 6,585 104,535 1,605 3,025 8,650 535
3,881 4,999 13,338 20,914 1,400 4,757 1,551 1,188
1,219 1,703 4,334 5,948 949 1,965 596 456
-- 640 2,045 3,825 -- 961 -- --
666 2,634 4,892 4,934 2,003 2,640 1,587 1,605
---------------------------------------------------------------------------------------------------------
417,494 801,351 1,808,504 2,317,386 277,988 710,718 258,851 135,196
---------------------------------------------------------------------------------------------------------
4,560,566 1,729,338 5,277,929 879,808 1,696,598 707,451 331,444 1,058,818
--------------------------------------------------------------------------------------------------------
(574,848) 3,804,739 9,801,363 16,341,623 (605,935) 3,192,282 765,009 (73,496)
-- 62,813 54,742 45,778 (843) 177,598 (594) --
-- -- -- (49,594) -- -- -- --
4,437,941 7,569,691 22,147,546 63,564,898 3,911,087 2,451,554 3,011,630 1,322,217
-- (45,810) 12 639 32 (113,395) 342 --
-- -- -- 96,925 -- 44,226 -- --
---------------------------------------------------------------------------------------------------------
3,863,093 11,391,433 32,003,663 80,000,269 3,304,341 5,752,265 3,776,387 1,248,721
--------------------------------------------------------------------------------------------------------
$8,423,659 $13,120,771 $37,281,592 $80,880,077 $5,000,939 $6,459,716 $4,107,831 $2,307,539
=========================================================================================================
</TABLE>
---------------------
50
<PAGE> 53
- ---------------------
ANCHOR SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
GOVERNMENT & FIXED
MONEY MARKET QUALITY BOND INCOME GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income.................................. $ 6,214,069 $ 14,132,112 $1,820,583 $ 1,534,546
Net realized gain (loss) on investments................ -- 8,288,042 450,299 13,885,804
Net realized foreign exchange gain (loss) on other
assets and liabilities............................... -- -- -- 1,682
Net realized loss on futures contracts................. -- -- -- --
Change in unrealized appreciation/depreciation of
investments.......................................... -- 16,257,191 2,644,460 48,038,490
Change in unrealized foreign exchange gain (loss) on
other assets and liabilities......................... -- -- -- --
Change in unrealized appreciation/depreciation on
futures contracts.................................... -- -- -- --
-----------------------------------------------------------
Net increase in net assets resulting from operations... 6,214,069 38,677,345 4,915,342 63,460,522
-----------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS PAID TO SHAREHOLDERS:
Dividends from net investment income................... (6,214,069) (15,800,000) (2,175,000) (600,000)
Distributions from net realized gains on investments... -- -- -- (45,075,000)
-----------------------------------------------------------
Total Dividends........................................ (6,214,069) (15,800,000) (2,175,000) (45,675,000)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold.............................. 174,371,348 82,378,525 3,593,837 134,319,676
Proceeds from shares issued for reinvestment of
dividends and distributions.......................... 6,214,069 15,800,000 2,175,000 45,675,000
Cost of shares repurchased............................. (212,898,151) (128,007,378) (9,116,475) (136,071,781)
-----------------------------------------------------------
Net increase (decrease) in net assets resulting from
capital share transactions........................... (32,312,734) (29,828,853) (3,347,638) 43,922,895
-----------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS................ (32,312,734) (6,951,508) (607,296) 61,708,417
NET ASSETS:
Beginning of period.................................... 126,004,417 232,530,236 28,582,098 246,149,027
-----------------------------------------------------------
End of period.......................................... $ 93,691,683 $225,578,728 $27,974,802 $307,857,444
===============================================================
---------------
Undistributed net investment income.................... $ 721 $ 14,101,885 $1,886,024 $ 1,525,191
===============================================================
Shares issued and repurchased:
Sold................................................... 174,371,348 5,911,036 260,087 6,859,732
Issued in reinvestment of dividends and
distributions........................................ 6,214,069 1,159,208 160,992 2,382,629
Repurchased............................................ (212,898,151) (9,292,985) (660,807) (6,977,008)
-----------------------------------------------------------
Net increase (decrease)................................ (32,312,734) (2,222,741) (239,728) 2,265,353
===============================================================
</TABLE>
See Notes to Financial Statements
- ---------------------
51
<PAGE> 54
<TABLE>
<CAPTION>
STRATEGIC CAPITAL CONVERTIBLE FOREIGN NATURAL
HIGH YIELD MULTI-ASSET MULTI-ASSET APPRECIATION SECURITIES SECURITIES RESOURCES TARGET '98
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 4,560,566 $ 1,729,338 $ 5,277,929 $ 879,808 $ 1,696,598 $ 707,451 $ 331,444 $1,058,818
(574,848) 3,804,739 9,801,363 16,341,623 (605,935) 3,192,282 765,009 (73,496)
-- 62,813 54,742 45,778 (843) 177,598 (594) --
-- -- -- (49,594) -- -- -- --
4,437,941 7,569,691 22,147,546 63,564,898 3,911,087 2,451,554 3,011,630 1,322,217
-- (45,810) 12 639 32 (113,395) 342 --
-- -- -- 96,925 -- 44,226 -- --
---------------------------------------------------------------------------------------------------------------------
8,423,659 13,120,771 37,281,592 80,880,077 5,000,939 6,459,716 4,107,831 2,307,539
---------------------------------------------------------------------------------------------------------------------
(5,345,000) (1,125,000) (5,910,000) (2,145,000) (2,059,675) (279,273) (365,000) (1,285,000)
-- (8,585,000) (12,550,000) (2,960,000) (1,515,325) (55,727) (510,000) --
---------------------------------------------------------------------------------------------------------------------
(5,345,000) (9,710,000) (18,460,000) (5,105,000) (3,575,000) (335,000) (875,000) (1,285,000)
29,986,515 4,822,892 20,218,971 288,502,705 4,402,376 31,832,730 27,421,662 1,032,164
5,345,000 9,710,000 18,460,000 5,105,000 3,575,000 335,000 875,000 1,285,000
(39,650,684) (19,275,150) (53,417,004) (242,708,947) (12,390,422) (53,323,700) (23,817,885) (9,759,706)
---------------------------------------------------------------------------------------------------------------------
(4,319,169) (4,742,258) (14,738,033) 50,898,758 (4,413,046) (21,155,970) 4,478,777 (7,442,542)
---------------------------------------------------------------------------------------------------------------------
(1,240,510) (1,331,487) 4,083,559 126,673,835 (2,987,107) (15,031,254) 7,711,608 (6,420,003)
48,057,248 65,357,347 164,159,249 229,544,204 34,995,380 68,640,717 21,229,763 19,194,188
---------------------------------------------------------------------------------------------------------------------
$46,816,738 $64,025,860 $168,242,808 $356,218,039 $32,008,273 $53,609,463 $28,941,371 $12,774,185
============================================================================================================================
$ 4,658,768 $ 1,761,777 $ 5,315,320 $ 918,755 $ 1,734,211 $ 738,683 $ 325,546 $1,203,164
============================================================================================================================
3,623,914 408,481 1,590,143 13,911,588 362,321 2,954,097 1,917,837 80,359
669,800 853,251 1,463,918 213,867 302,453 29,698 56,379 104,727
(4,777,982) (1,615,387) (4,174,813) (11,890,507) (1,026,033) (4,950,332) (1,657,363) (748,356)
---------------------------------------------------------------------------------------------------------------------
(484,268) (353,655) (1,120,752) 2,234,948 (361,259) (1,966,537) 316,853 (563,270)
============================================================================================================================
</TABLE>
---------------------
52
<PAGE> 55
- ---------------------
ANCHOR SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1994
<TABLE>
<CAPTION>
GOVERNMENT &
MONEY MARKET QUALITY BOND FIXED INCOME GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)............................. $ 5,053,075 $ 16,092,101 $ 2,210,718 $ 589,312
Net realized gain (loss) on investments.................. -- (7,986,242) (1,301,569) 45,029,897
Net realized foreign exchange gain (loss) on other assets
and liabilities........................................ -- -- -- (2,613)
Net realized loss on futures contracts................... -- -- -- (60,773)
Change in unrealized appreciation/depreciation of
investments............................................ -- (16,641,129) (2,198,588) (59,903,478)
Change in unrealized foreign exchange gain (loss) on
other assets and liabilities........................... -- -- -- --
Change in unrealized appreciation/depreciation on futures
contracts.............................................. -- -- -- 109,200
------------------------------------------------------------
Net increase (decrease) in net assets resulting from
operations............................................. 5,053,075 (8,535,270) (1,289,439) (14,238,455)
------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS PAID TO SHAREHOLDERS:
Dividends from net investment income..................... (5,053,075) (13,100,000) (2,700,000) (651,000)
Distributions from net realized gains on investments..... -- (3,391,923) -- (37,838,174)
------------------------------------------------------------
Total dividends and distributions paid to shareholders... (5,053,075) (16,491,923) (2,700,000) (38,489,174)
------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold................................ 322,223,508 129,783,476 7,041,126 114,004,262
Proceeds from shares issued for reinvestment of dividends
and distributions...................................... 5,053,075 16,491,923 2,700,000 38,489,174
Cost of shares repurchased............................... (300,580,693) (153,377,529) (18,285,252) (164,666,850)
------------------------------------------------------------
Net increase (decrease) in net assets resulting from
capital share transactions............................. 26,695,890 (7,102,130) (8,544,126) (12,173,414)
------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS.................. 26,695,890 (32,129,323) (12,533,565) (64,901,043)
NET ASSETS:
Beginning of period...................................... 99,308,527 264,659,559 41,115,663 311,050,070
------------------------------------------------------------
End of period............................................ $ 126,004,417 $ 232,530,236 $ 28,582,098 $246,149,027
===========================================================
---------------
Undistributed Net Investment Income...................... $ -- $ 15,789,649 $ 2,166,226 $ 588,113
===========================================================
Shares issued and repurchased:
Sold..................................................... 322,223,508 9,507,500 499,156 5,504,059
Issued in reinvestment of dividends and distributions.... 5,053,075 1,289,439 209,465 2,070,424
Repurchased.............................................. (300,580,693) (11,332,089) (1,320,604) (7,970,971)
------------------------------------------------------------
Net increase (decrease).................................. 26,695,890 (535,150) (611,983) (396,488)
============================================================
</TABLE>
See Notes to Financial Statements
- ---------------------
53
<PAGE> 56
<TABLE>
<CAPTION>
STRATEGIC CAPITAL CONVERTIBLE FOREIGN NATURAL
HIGH YIELD MULTI-ASSET MULTI-ASSET APPRECIATION SECURITIES SECURITIES RESOURCES TARGET '98
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------------------
$ 5,240,121 $ 1,306,606 $ 5,471,540 $ (204,197) $ 2,001,673 $ 795,683 $ 359,570 $1,320,838
(1,823,863) 8,365,992 13,105,843 5,912,034 748,435 6,316,998 340,375 33,190
-- (23,792) (113,378) (30,358) 690 648,570 (23,942) --
-- (14,492) (18,332) (672,334) -- -- -- --
(6,331,551) (11,630,124) (22,083,098) (12,793,677) (6,810,303) (11,076,911) (1,087,698) (2,240,674)
-- 64,785 364 (7) 283 172,636 (95) --
-- 150 450 (7,350) -- -- -- --
-------------------------------------------------------------------------------------------------------------------
(2,915,293) (1,930,875) (3,636,611) (7,795,889) (4,059,222) (3,143,024) (411,790) (886,646)
-------------------------------------------------------------------------------------------------------------------
(6,300,000) (976,000) (6,102,000) -- (1,537,000) (212,000) (175,000) (1,650,000)
-- (11,425,149) (19,208,777) (22,323,210) (3,502,058) -- (166,804) (110,379)
-------------------------------------------------------------------------------------------------------------------
(6,300,000) (12,401,149) (25,310,777) (22,323,210) (5,039,058) (212,000) (341,804) (1,760,379)
-------------------------------------------------------------------------------------------------------------------
67,332,548 9,928,946 20,436,178 278,365,698 13,449,452 77,332,563 27,993,570 5,380,948
6,300,000 12,401,149 25,310,777 22,323,210 5,039,058 212,000 341,804 1,760,379
(95,663,040) (19,107,059) (61,540,644) (223,541,035) (15,949,592) (78,128,558) (24,606,646) (5,800,361)
-------------------------------------------------------------------------------------------------------------------
(22,030,492) 3,223,036 (15,793,689) 77,147,873 2,538,918 (583,995) 3,728,728 1,340,966
-------------------------------------------------------------------------------------------------------------------
(31,245,785) (11,108,988) (44,741,077) 47,028,774 (6,559,362) (3,939,019) 2,975,134 (1,306,059)
79,303,033 76,466,335 208,900,326 182,515,430 41,554,742 72,579,736 18,254,629 20,500,247
-------------------------------------------------------------------------------------------------------------------
$ 48,057,248 $ 65,357,347 $164,159,249 $ 229,544,204 $ 34,995,380 $ 68,640,717 $ 21,229,763 $19,194,188
===================================================================================================================
$ 5,338,966 $ 1,069,869 $ 5,902,500 $ -- $ 2,089,605 $ 188,634 $ 358,400 $1,278,815
===================================================================================================================
7,532,098 756,391 1,559,801 14,852,505 953,509 7,099,164 2,029,112 396,096
793,451 1,067,225 2,137,735 1,248,502 408,021 19,099 24,088 142,772
(10,628,944) (1,472,803) (4,727,375) (11,993,003) (1,185,606) (7,256,217) (1,825,654) (435,632)
-------------------------------------------------------------------------------------------------------------------
(2,303,395) 350,813 (1,029,839) 4,108,004 175,924 (137,954) 227,546 103,236
==================================================================================================================
</TABLE>
---------------------
54
<PAGE> 57
- ---------------------
ANCHOR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
NOTE 1. ORGANIZATION: Anchor Series Trust (the "Trust") was organized as a
business trust under the laws of the Commonwealth of Massachusetts on August 26,
1983. The Trust is registered under the Investment Company Act of 1940, as
amended, as an open-end diversified management investment company. Effective
December 1, 1992, the Aggressive Growth Portfolio and Aggressive Multi-Asset
Portfolio changed their names to the Capital Appreciation Portfolio and the
Strategic Multi-Asset Portfolio, respectively.
Prior to January 18, 1990, all of the shares of the Trust were owned by
certain separate accounts of Integrated Resources Life Insurance Company ("IR
Life"), The Capitol Life Insurance Company ("Capitol Life"), and Presidential
Life Insurance Company. On that date, Anchor National Life Insurance Company
("Anchor National") acquired, on an assumption reinsurance basis, all of the
variable annuity and variable life insurance contracts issued by IR Life,
including certain variable annuity contracts which had been assumed previously
by IR Life from Capitol Life. In connection with these transactions, all of the
separate accounts of IR Life and Capitol Life that previously owned shares of
the Trust were transferred to Anchor National. Anchor National is an indirect
wholly owned subsidiary of SunAmerica Inc. ("SunAmerica"). Phoenix Mutual Life
Insurance Company ("Phoenix") subsequently acquired on an assumption reinsurance
basis, all of Anchor National's variable life contracts and, accordingly,
certain separate accounts of Anchor National owning shares of the Trust were
transferred to Phoenix. On September 3, 1992, First SunAmerica Life Insurance
Company ("First SunAmerica"), an indirect wholly owned subsidiary of SunAmerica
Inc., commenced sales of variable annuity contracts funded through the Trust.
Therefore, certain shares of the Trust are owned by a First SunAmerica separate
account.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES: Following is a summary of significant
accounting policies consistently followed by the Trust in the preparation of its
financial statements.
SECURITY VALUATIONS: Stocks are stated at value based upon closing sales prices
reported on recognized securities exchanges or, for listed securities having no
sales reported and for unlisted securities, upon last-reported bid prices.
Bonds, debentures, and other long-term debt securities are valued at prices
obtained for the day of valuation from a bond pricing service of a major dealer
in bonds when such prices are available; however, in circumstances where the
investment adviser deems it appropriate to do so, an over-the-counter or
exchange quotation at the mean of representative bid or asked prices may be
used. Securities traded primarily on securities exchanges outside the United
States are valued at the last sale price on such exchanges on the day of
valuation, or if there is no sale on the day of valuation, at the last reported
bid price. Except for the Money Market Portfolio, short-term securities with
original or remaining maturities in excess of 60 days are valued at the mean of
their quoted bid and ask prices. Discounts or premiums on short-term securities
with 60 days or less to maturity are amortized to maturity. Discounts and
premiums are determined based upon the cost of the securities to the Trust if
acquired within 60 days of maturity or, if already held by the Trust on the 60th
day, are amortized to maturity based on the value determined on the 61st day.
Securities for which quotations are not readily available are valued at fair
value as determined in good faith under the direction of the Trust's Trustees.
For the Money Market Portfolio, securities are valued at amortized cost, which
approximates market value. The amortized cost method involves valuing a security
at its cost on the date of purchase and thereafter assuming a constant
amortization to maturity of any discount or premium.
REPURCHASE AGREEMENTS: The Trust's custodian takes possession of the collateral
pledged for investments in repurchase agreements. The underlying collateral is
valued daily on a mark-to-market basis to assure that the value, including
accrued interest, is at least 102% of the repurchase price. In the event of
default of the obligation to repurchase, the Trust has the right to liquidate
the collateral and apply the proceeds in satisfaction of the obligation. If the
seller defaults and the value of the collateral declines or if bankruptcy
proceedings are commenced with respect to the seller of the security,
realization of the collateral by the Trust may be delayed or limited.
FOREIGN CURRENCY TRANSLATION: The books and records of the Trust are maintained
in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at
published rates on the following basis:
(i) market value of investment securities, other assets and liabilities at the
prevailing rate of exchange on the valuation date.
(ii) purchases and sales of investment securities, income and expenses at the
rate of exchange prevailing on the respective dates of such transactions.
Assets and liabilities denominated in foreign currencies and commitments under
forward foreign currency contracts are translated into U.S. dollars at the mean
of the quoted bid and asked prices of such currencies against the U.S. dollar.
- ---------------------
55
<PAGE> 58
The Trust does not isolate that portion of the results of operations arising
as a result of changes in the foreign exchange rates from the changes in the
market prices of securities held at fiscal year-end. The Trust does not isolate
the effect of changes in foreign exchange rates from the changes in the market
prices of portfolio securities sold during the year.
Realized foreign exchange gain (loss) on other assets and liabilities and
change in unrealized foreign exchange gain (loss) on other assets and
liabilities include realized foreign exchange gains and losses from currency
gains or losses realized between the trade and settlement dates of securities
transactions, the difference between the amounts of interest, dividends,
discount and foreign withholding taxes recorded on the Trust's books and the
U.S. dollar equivalent amounts actually received or paid and changes in the
unrealized foreign exchange gains and losses relating to other assets and
liabilities arising as a result of changes in the exchange rate.
FUTURES CONTRACTS: A futures contract is an agreement between two parties to
buy and sell a security at a set price on a future date. Upon entering into such
a contract the Trust is required to pledge to the broker an amount of cash or
U.S. government securities equal to the minimum "initial margin" requirements of
the exchange on which the futures contract is traded. The contract amount
reflects the extent of a portfolio's exposure in these financial instruments. A
portfolio's participation in the futures markets involves certain risks,
including imperfect correlation between movements in the price of futures
contracts and movements in the price of the securities hedged or used for cover.
The Trust's activities in futures contracts are conducted through regulated
exchanges which do not result in counterparty credit risks. Pursuant to a
contract the portfolios agree to receive from or pay to the broker an amount of
cash equal to the daily fluctuation in value of the contract. Such receipts or
payments are known as "variation margin" and are recorded by the portfolios as
unrealized appreciation or depreciation. When a contract is closed, the
portfolios record 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.
SECURITIES TRANSACTIONS, DIVIDENDS, INVESTMENT INCOME AND EXPENSES: As is
customary in the mutual fund industry, securities transactions are accounted for
on the date the securities are purchased or sold. Interest income is accrued
daily except when collection is not expected. Dividend income is recorded on the
ex-dividend date except for certain dividends from foreign securities which are
recorded as soon as the Fund is informed after the ex-dividend date. The Trust
does not amortize premiums or accrete discounts on fixed income securities,
other than short-term securities, except those original issue discounts for
which amortization is required for federal income tax purposes; gains and losses
realized upon the sale of such securities are based on their identified cost.
Portfolios which earn foreign income and capital gains may be subject to
foreign withholding taxes at various rates.
Common expenses incurred by the Trust are allocated among the series based
upon relative net assets. In all other respects, expenses are charged to each
series as incurred on a specific identification basis.
The Trust records dividends and distributions to its shareholders on the
ex-dividend date.
USE OF ESTIMATES IN FINANCIAL STATEMENT PREPARATION: The preparation of
financial statements in accordance with generally accepted accounting principles
requires management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates.
STATEMENT OF POSITION 93-2: The Trust follows Statement of Position 93-2
Determination, Disclosure, and Financial Statement Presentation of Income,
Capital Gain, and Return of Capital Distributions by Investment Companies.
Accordingly, the amount of dividends and distributions from net investment
income and net realized capital gains are determined and presented in accordance
with federal income tax regulations, which may differ from generally accepted
accounting principles. These "book/tax" differences are either considered
temporary or permanent in nature. To the extent these differences are permanent
in nature, such amounts are reclassified within the capital accounts based on
their federal tax-basis treatment; temporary differences do not require
reclassification. Dividends and distributions which exceed net investment income
and net realized capital gains for financial reporting purposes but not for tax
purposes are reported as dividends in excess of net investment income or
distributions in excess of net realized capital gains. To the extent
distributions exceed current and accumulated earnings and profits for federal
income tax purposes, they are reported as distributions of paid-in capital. Net
investment income/loss, net realized gain/loss, and net assets were not
affected.
---------------------
56
<PAGE> 59
For the year ended December 31, 1995, the reclassification arising from
book/tax differences resulted in increases (decreases) to the components of net
assets as follows:
<TABLE>
<CAPTION>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED UNDISTRIBUTED PAID
NET REALIZED NET REALIZED IN
INCOME/LOSS GAIN/LOSS CAPITAL
<S> <C> <C> <C>
---------------------------------------------
Money Market Portfolio........................................................ $ 721 $ (721) $ --
Government & Quality Bond Portfolio........................................... (19,876) 19,876 --
Fixed Income Portfolio........................................................ 74,215 (44,792) (29,423)
Growth Portfolio.............................................................. 2,532 (19,630) 17,098
High Yield Portfolio.......................................................... 104,236 (104,236) --
Strategic Multi-Asset Portfolio............................................... 87,570 (87,570) --
Multi-Asset Portfolio......................................................... 44,891 (44,891) --
Capital Appreciation Portfolio................................................ 2,183,947 (2,183,947) --
Convertible Securities Portfolio.............................................. 7,683 (7,683) --
Foreign Securities Portfolio.................................................. 121,871 (121,871) --
Natural Resources Portfolio................................................... 702 (702) --
Target '98 Portfolio.......................................................... 150,531 (150,531) --
</TABLE>
NOTE 3. JOINT REPURCHASE AGREEMENT ACCOUNT: The Trust transfers uninvested cash
balances into a single joint account, the daily aggregate balance of which is
invested in one or more repurchase agreements collateralized by U.S. Treasury or
federal agency obligations. As of December 31, 1995, the undivided interest in a
repurchase agreement in the joint account of each portfolio of the Trust was as
follows: Money Market Portfolio, 0.0%; Government and Quality Bond Portfolio,
36.2%; Fixed Income Portfolio, 0.1%; Growth Portfolio, 3.3%; High Yield
Portfolio, 2.3%; Strategic Multi-Asset Portfolio, 2.1%; Multi-Asset Portfolio,
16.1%; Capital Appreciation Portfolio, 31.3%; Convertible Securities Portfolio,
1.7%; Foreign Securities Portfolio, 4.4%; Natural Resources Portfolio, 2.3% and
Target '98 Portfolio, 0.2%. The undivided interest for the Trust represented
$101,085,000 in principal amount. As of such date the repurchase agreement in
the joint account and the collateral therefore was as follows:
Lehman Brothers Repurchase Agreement, 5.93% dated 12/29/95, in the principal
amount of $101,085,000 repurchase price $101,151,604 due 1/2/96 collateralized
by $96,140,000 U.S. Treasury Strip due 2/15/08, $14,405,000 U.S. Treasury Strip
due 2/15/98 and $164,595,000 U.S. Treasury Strip due 8/15/17, approximate
aggregate value $103,656,969.
NOTE 4. FEDERAL INCOME TAXES: It is the Trust's policy to meet the requirements
of the Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable net income to shareholders. Therefore, no federal
income tax provision is required. Each portfolio is considered a separate entity
for tax purposes.
At December 31, 1995, the cost of investments for federal income tax purposes
and aggregate gross unrealized gains and losses for each portfolio were as
follows:
<TABLE>
<CAPTION>
AGGREGATE AGGREGATE
GROSS GROSS UNREALIZED CAPITAL
UNREALIZED UNREALIZED GAIN (LOSS) COST OF LOSS
GAIN LOSS NET INVESTMENTS CARRYOVER EXPIRATION
<S> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------
Money Market Portfolio............ $ -- $ -- $ -- $ 90,289,341 $ -- --*
Government & Quality Bond
Portfolio....................... 7,095,847 (235,428) 6,860,419 231,510,330 -- --
Fixed Income Portfolio............ 1,620,086 (8,811) 1,611,275 25,869,672 2,616,922 1996-2002
Growth Portfolio.................. 60,652,359 (5,633,319) 55,019,040 253,415,769 -- --
High Yield Portfolio.............. 1,798,659 (767,811) 1,030,848 44,677,467 14,696,667 1997-2003
Strategic Multi-Asset Portfolio... 12,148,039 (925,349) 11,222,690 52,546,698 -- --
Multi-Asset Portfolio............. 32,803,803 (1,030,110) 31,773,693 141,016,594 -- --
Capital Appreciation Portfolio.... 83,370,473 (15,109,971) 68,260,502 292,155,373 -- --
Convertible Securities
Portfolio....................... 1,733,826 (1,177,051) 556,775 32,123,457 1,470,924 2003
Foreign Securities Portfolio...... 6,239,243 (2,098,702) 4,140,541 49,316,708 2,275,439 2000-2001
Natural Resources Portfolio....... 4,411,160 (808,511) 3,602,649 26,341,457 -- --*
Target '98 Portfolio.............. 725,285 (39,376) 685,909 12,080,719 254,450 2002-2003
</TABLE>
The Government & Quality Bond, Fixed Income and Foreign Securities utilized
capital loss carryover of $6,177,631, $183,473 and $3,191,390, respectively, to
partially offset the portfolios' net taxable gains realized and recognized in
the year ended December 31, 1995.
* Post 10/31 Capital Loss Deferrals: Money Market $721 and Natural Resources
$386.
NOTE 5. INVESTMENT MANAGEMENT AGREEMENTS: The Trust has entered into an
Investment Advisory and Management Agreement (the "Management Agreement") with
SunAmerica Asset Management Corp. ("SAAMCo") with respect to each portfolio.
SAAMCo serves as manager for each of the portfolios. SAAMCo has entered into
Subadvisory Agreements (the "Subadvisory Agreement") with Wellington Management
Company ("WMC") to manage the investments of each portfolio.
- ---------------------
57
<PAGE> 60
The Trust pays SAAMCo a monthly fee calculated daily at the following annual
percentages of each portfolio's average daily net assets:
<TABLE>
<CAPTION>
AVERAGE DAILY MANAGEMENT AVERAGE DAILY MANAGEMENT
PORTFOLIO NET ASSETS FEE PORTFOLIO NET ASSETS FEE
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------- --------------------------------------------------------
Money Market $0-$150 million .500% Capital Appreciation $0-$100 million .750%
> $150 million .475% > $100 million .675%
> $250 million .450% > $250 million .625%
> $500 million .425% > $500 million .600%
Government & Quality
Bond/ $0-$200 million .625% Convertible Securities $0-$100 million .700%
Fixed Income > $200 million .575% > $100 million .650%
> $500 million .500% > $250 million .600%
Growth $0-$250 million .750% > $500 million .575%
> $250 million .675% Foreign Securities $0-$100 million .900%
> $500 million .600% > $100 million .825%
High Yield $0-$250 million .700% > $250 million .750%
> $250 million .575% > $500 million .700%
> $500 million .500% Natural Resources > $ 0 .750%
Strategic Multi-Asset/ $0-$200 million 1.000% Target '98 $0-$100 million .625%
Multi-Asset > $200 million .875% > $100 million .570%
> $500 million .800% > $250 million .525%
> $500 million .500%
</TABLE>
The portion of the investment advisory fees received by SAAMCo which are paid
to WMC are as follows:
<TABLE>
<CAPTION>
AVERAGE DAILY WMC AVERAGE DAILY WMC
PORTFOLIO NET ASSETS ALLOCATION PORTFOLIO NET ASSETS ALLOCATION
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------- --------------------------------------------------------
Money Market $0-$500 million .075% Multi-Asset $0-$ 50 million .250%
> $500 million .020% > $ 50 million .175%
Government & Quality
Bond/ $0-$ 50 million .225% > $150 million .150%
Fixed Income > $ 50 million .125% Capital Appreciation $0-$ 50 million .375%
> $100 million .100% > $ 50 million .275%
Growth/ $0-$ 50 million .325% > $150 million .200%
Convertible Securities > $ 50 million .225% > $500 million .150%
> $150 million .200% Foreign Securities $0-$ 50 million .400%
> $500 million .150% > $ 50 million .275%
High Yield $0-$ 50 million .300% > $150 million .200%
> $ 50 million .225% > $500 million .150%
> $150 million .175% Natural Resources $0-$ 50 million .350%
> $500 million .150% > $ 50 million .250%
Strategic Multi-Asset $0-$ 50 million .300% > $150 million .200%
> $ 50 million .200% > $500 million .150%
> $150 million .175% Target '98 $0-$ 50 million .225%
> $500 million .150% > $ 50 million .150%
> $100 million .100%
> $500 million .050%
</TABLE>
The Management Agreements provide that SAAMCo shall act as investment adviser
to the Trust; manage the Trust's investments; administer its business affairs;
furnish offices, necessary facilities and equipment; provide clerical,
bookkeeping and administrative services; and permit any of its officers or
employees to serve, without compensation, as trustees or officers of the Trust,
if duly elected to such positions.
SAAMCo has agreed that, in the event the expenses of one or more of the
portfolios exceeds applicable state law expense limitations, it will waive its
fees under the Management Agreements to the extent necessary to reduce the
expenses of the affected portfolio(s) so as not to exceed such limitation(s). No
such waiver shall result in the obligation (contingent or otherwise) of the
affected portfolio(s) to repay SAAMCo in any fiscal year any such amounts waived
in previous fiscal years. Such agreements with respect to expense limitations do
not require SAAMCo to additionally reimburse any portfolio in the event the
waivers are insufficient to reduce such portfolio's expenses to the applicable
limitations. For the year ended December 31, 1995, no such waiver was required.
For the year ended December 31, 1995, SAAMCo received fees of $9,835,044 from
the Trust, of which SAAMCo informed the Trust that $6,911,838 was retained and
$2,923,206 was allocated to WMC.
---------------------
58
<PAGE> 61
NOTE 6. SECURITIES TRANSACTIONS: The portfolios had the following purchases and
sales of long-term securities for the year ended December 31, 1995:
<TABLE>
<CAPTION>
GOVERNMENT
&
MONEY QUALITY FIXED STRATEGIC
MARKET BOND INCOME GROWTH HIGH YIELD MULTI-ASSET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------
Purchases............................... $ -- $280,032,787 $20,860,594 $262,173,263 $30,599,223 $22,851,783
Sales................................... -- 319,238,312 23,327,396 244,236,382 33,330,959 34,094,940
U.S. Government Securities included
above were as follows:
Purchases of U.S. Government
Securities............................ -- 263,098,087 11,564,048 -- -- 4,101,742
Sales of U.S. Government Securities..... -- 299,853,282 11,726,301 -- -- 3,828,801
<CAPTION>
CAPITAL CONVERTIBLE FOREIGN NATURAL
MULTI-ASSET APPRECIATION SECURITIES SECURITIES RESOURCES TARGET '98
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Purchases.............................. $139,974,072 $211,172,139 $26,873,342 $18,097,416 $11,845,411 $ 5,922,737
Sales.................................. 171,221,554 155,259,628 30,571,746 40,402,804 7,777,269 14,366,747
U.S. Government Securities included
above were as follows:
Purchases of U.S. Government
Securities............................ 112,921,487 -- -- -- -- 5,470,722
Sales of U.S. Government Securities..... 124,978,381 -- -- -- -- 12,257,075
</TABLE>
NOTE 7. TRANSACTIONS WITH AFFILIATES: The Trust has executed purchases and
sales of securities through Royal Alliance Associates, Inc. ("Royal"), a
broker/dealer which is affiliated with SAAMCo. For the year ended December 31,
1995, the following portfolios of the Trust paid brokerage commissions to Royal
of:
<TABLE>
<CAPTION>
AMOUNT
--------
<S> <C>
Growth Portfolio.............................................................. $ 49,609
Strategic Multi-Asset Portfolio............................................... 3,341
Multi-Asset Portfolio......................................................... 6,145
Capital Appreciation Portfolio................................................ 35,445
Natural Resources Portfolio................................................... 21,897
--------
$116,437
=========
</TABLE>
NOTE 8. FINANCIAL INVESTMENTS WITH OFF-BALANCE SHEET RISK: At December 31, 1995,
the Strategic Multi-Asset, Capital Appreciation, Foreign Securities and Natural
Resources Portfolios had outstanding forward foreign currency exchange contracts
("forward contracts") as a hedge against changes in future foreign exchange
rates. Forward contracts involve elements of market risk in excess of the amount
reflected in the Statement of Assets and Liabilities. The Trust bears the risk
of an unfavorable change in the foreign exchange rate underlying the forward
contract.
NOTE 9. TRUSTEES RETIREMENT PLAN: The Trustees (and Directors) of the
SunAmerica Family of Mutual Funds have adopted the SunAmerica Disinterested
Trustees' and Directors' Retirement Plan (the "Retirement Plan") effective
January 1, 1993 for the unaffiliated Trustees. The Retirement Plan provides
generally that if an unaffiliated Trustee who has at least 10 years of
consecutive service as a Disinterested Trustee of any of the SunAmerica mutual
funds (an "Eligible Trustee") retires after reaching age 60 but before age 70 or
dies while a Trustee, such person will be eligible to receive a retirement or
death benefit from each SunAmerica mutual fund with respect to which he or she
is an Eligible Trustee. As of each birthday, prior to the 70th birthday, but in
no event for a period greater than 10 years, each Eligible Trustee will be
credited with an amount equal to 50% of his or her regular fees (excluding
committee fees) for services as a Disinterested Trustee of each SunAmerica
mutual fund for the calendar year in which such birthday occurs. In addition, an
amount equal to 8.5% of any amounts credited under the preceding clause during
prior years, is added to each Eligible Trustee's account until such Eligible
Trustee reaches his or her 70th birthday. An Eligible Trustee may receive
benefits payable under the Retirement Plan, at his or her election, either in
one lump sum or in up to fifteen annual installments. As of December 31, 1995,
the Trust had accrued $51,696 for the Retirement Plan, which is included in
accrued expenses on the Statement of Assets and Liabilities and for the year
ended December 31, 1995, expensed $31,701 for the Retirement Plan, which is
included in Trustee fees and expenses on the Statement of Operations.
- ---------------------
59
<PAGE> 62
- ---------------------
ANCHOR SERIES TRUST
FINANCIAL HIGHLIGHTS*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET
REALIZED
& DIVIDENDS DIVIDENDS
UNREALIZED TOTAL DECLARED FROM NET
NET ASSET NET GAIN FROM FROM NET REALIZED NET ASSET
VALUE INVEST- (LOSS) INVEST- INVEST- GAIN ON VALUE
PERIOD BEGINNING MENT ON MENT MENT INVEST- END OF TOTAL
ENDED OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME MENTS PERIOD RETURN
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------
Money Market Portfolio
12/31/91 $ 1.00 $ 0.06 $ -- $ 0.06 $ (0.06) $ -- $ 1.00 5.6%
12/31/92 1.00 0.03 -- 0.03 (0.03) -- 1.00 3.4
12/31/93 1.00 0.02 -- 0.02 (0.02) -- 1.00 2.0
12/31/94 1.00 0.04 -- 0.04 (0.04) -- 1.00 3.8
12/31/95 1.00 0.05 -- 0.05 (0.05) -- 1.00 5.6
Government & Quality Bond Portfolio
12/31/91 12.06 1.00 1.08 2.08 (0.11) -- 14.03 17.3
12/31/92 14.03 1.02 (0.05) 0.97 (1.07) -- 13.93 6.9
12/31/93 13.93 0.90 0.25 1.15 (0.86) -- 14.22 8.3
12/31/94 14.22 0.86 (1.30) (0.44) (0.73) (0.19) 12.86 (3.1)
12/31/95 12.86 0.90 1.55 2.45 (1.08) -- 14.23 19.4
Fixed Income Portfolio
12/31/91 12.57 0.96 0.95 1.91 (0.05) -- 14.43 15.2
12/31/92 14.43 0.98 (0.04) 0.94 (1.06) -- 14.31 6.5
12/31/93 14.31 0.95 0.19 1.14 (0.91) -- 14.54 8.0
12/31/94 14.54 0.89 (1.36) (0.47) (1.17) -- 12.90 (3.2)
12/31/95 12.90 0.90 1.52 2.42 (1.16) -- 14.16 19.2
Growth Portfolio
12/31/91 15.46 0.22 6.05 6.27 (0.12) (0.21) 21.40 40.8
12/31/92 21.40 0.09 0.99 1.08 (0.19) (0.62) 21.67 5.4
12/31/93 21.67 0.05 1.60 1.65 (0.08) (0.92) 22.32 7.8
12/31/94 22.32 0.05 (1.03) (0.98) (0.05) (3.11) 18.18 (4.7)
12/31/95 18.18 0.11 4.62 4.73 (0.05) (3.38) 19.48 26.3
High Yield Portfolio
12/31/91 5.96 0.81 1.16 1.97 (0.05) -- 7.88 33.1
12/31/92 7.88 0.81 0.28 1.09 (0.58) -- 8.39 13.9
12/31/93 8.39 0.79 0.79 1.58 (0.54) -- 9.43 19.1
12/31/94 9.43 0.15 (0.56) (0.41) (1.15) -- 7.87 (4.5)
12/31/95 7.87 0.77 0.67 1.44 (0.98) -- 8.33 18.8
Strategic Multi-Asset Portfolio
12/31/91 10.17 0.26 2.20 2.46 -- -- 12.63 24.2
12/31/92 12.63 0.23 0.25 0.48 (0.34) (0.32) 12.45 3.9
12/31/93 12.45 0.21 1.68 1.89 (0.28) -- 14.06 15.3
12/31/94 14.06 0.24 (0.53) (0.29) (0.20) (2.28) 11.29 (2.6)
12/31/95 11.29 0.32 2.18 2.50 (0.23) (1.78) 11.78 22.8
<CAPTION>
RATIO OF
NET
RATIO OF INVESTMENT
NET EXPENSES INCOME
ASSETS TO TO
END OF AVERAGE AVERAGE PORTFOLIO
PERIOD PERIOD NET NET TURNOVER
ENDED (000'S) ASSETS ASSETS RATE
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------
Money Market Portfolio
12/31/91 $ 119,855 0.7% 5.7% --%
12/31/92 127,262 0.6 3.3 --
12/31/93 99,309 0.6 2.7 --
12/31/94 126,004 0.6 3.8 --
12/31/95 93,692 0.6 5.5 --
Government & Quality Bond Portfolio
12/31/91 197,463 0.8 7.8 87.5
12/31/92 207,860 0.8 7.3 76.4
12/31/93 264,660 0.7 6.2 93.2
12/31/94 232,530 0.7 6.4 117.6
12/31/95 225,579 0.7 6.5 135.2
Fixed Income Portfolio
12/31/91 37,887 0.9 7.2 55.3
12/31/92 40,001 0.8 6.8 31.8
12/31/93 41,116 0.8 6.3 45.9
12/31/94 28,582 0.8 6.5 56.5
12/31/95 27,975 0.8 6.5 76.7
Growth Portfolio
12/31/91 231,857 0.9 1.2 36.9
12/31/92 279,291 0.9 0.5 37.9
12/31/93 311,050 0.9 0.2 66.3
12/31/94 246,149 0.8 0.2 74.8
12/31/95 307,857 0.9 0.6 92.1
High Yield Portfolio
12/31/91 33,046 1.0 11.3 54.9
12/31/92 47,140 0.9 9.7 134.9
12/31/93 79,303 0.9 8.5 121.1
12/31/94 48,057 0.9 9.0 97.9
12/31/95 46,817 0.9 9.2 68.1
Strategic Multi-Asset Portfolio
12/31/91 88,585 1.3 2.3 42.0
12/31/92 79,621 1.3 1.8 57.5
12/31/93 76,466 1.3 1.2 73.9
12/31/94 65,357 1.3 1.8 63.7
12/31/95 64,026 1.3 2.7 36.9
</TABLE>
- ---------------
* Selected data for a share of beneficial interest outstanding throughout each
period (calculated based upon average shares outstanding)
---------------------
60
<PAGE> 63
- ---------------------
ANCHOR SERIES TRUST
FINANCIAL HIGHLIGHTS*
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET
REALIZED
& DIVIDENDS DIVIDENDS
UNREALIZED TOTAL DECLARED FROM NET
NET ASSET NET GAIN FROM FROM NET REALIZED NET ASSET
VALUE INVEST- (LOSS) INVEST- INVEST- GAIN ON VALUE
PERIOD BEGINNING MENT ON MENT MENT INVEST- END OF TOTAL
ENDED OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME MENTS PERIOD RETURN
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------
Multi-Asset Portfolio
12/31/91 $ 10.69 $ 0.45 $ 2.45 $ 2.90 $ (0.06) $ -- $ 13.53 27.3%
12/31/92 13.53 0.41 0.67 1.08 (0.47) (0.35) 13.79 8.2
12/31/93 13.79 0.36 0.63 0.99 (0.44) (0.46) 13.88 7.3
12/31/94 13.88 0.39 (0.60) (0.21) (0.47) (1.49) 11.71 (1.7)
12/31/95 11.71 0.40 2.47 2.87 (0.49) (1.05) 13.04 24.9
Capital Appreciation Portfolio
12/31/91 9.81 0.09 5.41 5.50 (0.01) (0.07) 15.23 56.1
12/31/92 15.23 0.01 3.70 3.71 (0.07) (1.12) 17.75 25.9
12/31/93 17.75 (0.03) 3.73 3.70 (0.01) (1.16) 20.28 21.1
12/31/94 20.28 (0.02) (0.71) (0.73) -- (2.04) 17.51 (3.8)
12/31/95 17.51 0.06 6.00 6.06 (0.15) (0.20) 23.22 34.6
Convertible Securities Portfolio
12/31/91 8.76 0.64 1.70 2.34 (0.12) -- 10.98 26.8
12/31/92 10.98 0.65 1.50 2.15 (0.64) -- 12.49 20.1
12/31/93 12.49 0.61 2.11 2.72 (0.55) (0.08) 14.58 22.0
12/31/94 14.58 0.66 (1.96) (1.30) (0.52) (1.20) 11.56 (9.7)
12/31/95 11.56 0.61 1.29 1.90 (0.83) (0.62) 12.01 16.6
Foreign Securities Portfolio
12/31/91 10.25 0.07 (0.09) (0.02) (0.12) -- 10.11 (0.3)
12/31/92 10.11 0.13 (1.43) (1.30) (0.06) (0.28) 8.47 (13.1)
12/31/93 8.47 0.05 2.50 2.55 (0.09) -- 10.93 30.2
12/31/94 10.93 0.11 (0.46) (0.35) (0.03) -- 10.55 (3.2)
12/31/95 10.55 0.13 1.19 1.32 (0.05) (0.01) 11.81 12.6
Natural Resources Portfolio
12/31/91 9.72 0.26 0.21 0.47 (0.13) -- 10.06 4.9
12/31/92 10.06 0.21 0.05 0.26 (0.39) -- 9.93 2.5
12/31/93 9.93 0.15 3.42 3.57 (0.17) -- 13.33 36.2
12/31/94 13.33 0.23 (0.09) 0.14 (0.09) (0.09) 13.29 1.0
12/31/95 13.29 0.18 2.15 2.33 (0.21) (0.29) 15.12 17.5
Target '98 Portfolio
12/31/91 11.47 0.83 1.33 2.16 -- -- 13.63 18.9
12/31/92 13.63 0.82 0.16 0.98 (0.79) (0.25) 13.57 7.2
12/31/93 13.57 0.82 0.71 1.53 (0.93) (0.23) 13.94 11.2
12/31/94 13.94 0.83 (1.39) (0.56) (1.11) (0.07) 12.20 (4.1)
12/31/95 12.20 0.86 0.88 1.74 (1.30) -- 12.64 14.6
<CAPTION>
RATIO OF NET
INVESTMENT
RATIO OF INCOME
NET EXPENSES (LOSS)
ASSETS TO TO
END OF AVERAGE AVERAGE PORTFOLIO
PERIOD PERIOD NET NET TURNOVER
ENDED (000'S) ASSETS ASSETS RATE
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------
Multi-Asset Portfolio
12/31/91 $ 177,429 1.2% 3.8% 50.7%
12/31/92 207,533 1.1 3.1 38.6
12/31/93 208,900 1.1 2.6 48.2
12/31/94 164,159 1.1 3.0 82.5
12/31/95 168,243 1.1 3.2 85.9
Capital Appreciation Portfolio
12/31/91 45,976 1.0 0.7 72.9
12/31/92 83,414 0.9 0.1 92.9
12/31/93 182,515 0.9 (0.2) 111.2
12/31/94 229,544 0.8 (0.1) 64.0
12/31/95 356,218 0.8 0.3 60.1
Convertible Securities Portfolo
12/31/91 14,551 1.1 6.4 109.0
12/31/92 23,723 1.0 5.6 86.5
12/31/93 41,555 0.9 4.4 86.2
12/31/94 34,995 0.9 4.9 50.7
12/31/95 32,008 0.9 5.2 88.8
Foreign Securities Portfolio
12/31/91 30,823 1.4 0.7 64.2
12/31/92 29,204 1.3 1.4 144.2
12/31/93 72,579 1.3 0.5 47.7
12/31/94 68,641 1.2 1.0 73.9
12/31/95 53,609 1.2 1.2 33.0
Natural Resources Portfolio
12/31/91 9,407 1.2 2.5 2.6
12/31/92 8,796 1.3 2.1 18.7
12/31/93 18,255 1.1 1.3 34.5
12/31/94 21,230 1.0 1.7 36.0
12/31/95 28,941 1.0 1.3 32.0
Target '98 Portfolio
12/31/91 12,553 1.0 6.9 14.4
12/31/92 19,227 0.9 6.0 37.3
12/31/93 20,500 0.9 5.7 20.8
12/31/94 19,194 0.8 6.5 9.2
12/31/95 12,774 0.9 6.7 38.6
</TABLE>
- ---------------
* Selected data for a share of beneficial interest outstanding throughout each
period (calculated based upon average shares outstanding)
- ---------------------
61
<PAGE> 64
- ---------------------
ANCHOR SERIES TRUST
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of Anchor Series Trust
In our opinion, the accompanying statements of assets and liabilities, including
the investment portfolios, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Money Market Portfolio, the
Government & Quality Bond Portfolio, the Fixed Income Portfolio, the Growth
Portfolio, the High Yield Portfolio, the Strategic Multi-Asset Portfolio, the
Multi-Asset Portfolio, the Capital Appreciation Portfolio, the Convertible
Securities Portfolio, the Foreign Securities Portfolio, the Natural Resources
Portfolio and the Target '98 Portfolio (constituting Anchor Series Trust,
hereafter referred to as the "Trust") at December 31, 1995, the results of each
of their operations for the year then ended, the changes in each of 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 generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Trust's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 1995 by
correspondence with the custodian and brokers and the application of alternative
auditing procedures where confirmations from brokers were not received, provide
a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
February 15, 1996
1177 Avenue of the Americas
New York, New York 10036
---------------------
62
<PAGE> 65
- ---------------------
COMPARISONS: PORTFOLIOS VS. STOCKS
Wellington Management Company is pleased to provide the following
investment comments regarding the 12 Anchor Series Trust
portfolios for the fiscal year ended December 31, 1995. The
accompanying graphs compare the performance of a $10,000
investment in each portfolio to a $10,000 investment in a
comparable securities index since the portfolio's inception.
To help investors gain perspective about the Anchor Series Trust
Portfolios, we have added comparative fund averages as compiled by
Lipper Analytical Services in our report this year. These Lipper
averages represent all variable annuity funds with similar
objectives and are included in each portfolio discussion to the
extent that a comparable Lipper category exists. The Lipper
returns shown include all fund expenses but exclude insurance
company expenses associated with the variable annuities. We
believe these averages may be helpful to shareholders in
evaluating the Anchor Series Trust Portfolios, since an average of
comparable funds is often a truer comparison than an unmanaged
index of securities such as the S&P 500 (which is not actively
managed and which is reported "gross" of all expenses and
transaction costs). In addition to the Lipper averages, major
market indices such as the S&P 500 and the Lehman Bros. Aggregate
are included as an additional point of reference.
THE FOLLOWING GRAPHS AND TABLES SHOW THE PERFORMANCE OF THE
PORTFOLIOS AT THE ANCHOR SERIES TRUST LEVEL AND INCLUDE ALL TRUST
EXPENSES, BUT NO INSURANCE COMPANY EXPENSES ASSOCIATED WITH THE
VARIABLE ANNUITY AND NO CONTINGENT DEFERRED SALES CHARGE. NO
EXPENSES ARE DEDUCTED FROM THE PERFORMANCE OF THE INDEXES. ALL
DIVIDENDS ARE ASSUMED TO BE REINVESTED.
Investments in stocks and bonds are subject to risk, including
stock market and interest-rate fluctuations. Investments in
non-U.S. stocks are subject to additional risks, including
political and social instability, differing securities regulations
and accounting standards, and limited public information.
High-yield bonds tend to be subject to greater price swings than
higher-rated bonds and, of course, payment of interest and
principal is not assured. Mortgage-backed securities are subject
to prepayment, which can result in reinvestment of principal at
lower yields. Money market instruments generally offer stability
and income, but an investment in these securities, like
investments in other portfolios, is not guaranteed by the U.S.
government or any other entity.
- ---------------------
Money Market Portfolio
The Money Market portfolio met its objectives of current income
and stability of principal in fiscal year 1995, providing a 5.6%
return for the year and a constant share value of $1.00. In
anticipation of further Federal Reserve rate decreases in 1996,
the portfolio remains positioned with a longer average maturity in
order to lock in prevailing yields.
- ---------------------
63
<PAGE> 66
FIXED-INCOME PORTFOLIOS (CONTINUED)
Fixed-Income Portfolio
[PEAK AND VALLEY CHART REFLECTING THE FOLLOWING DATA]
<TABLE>
<CAPTION>
Lipper VA
Fixed Lehman Corp Debt
Income Brothers BBB-Rated
Portfolio Aggregate* Average (UF)*
<S> <C> <C> <C>
10000 10000 10000
12/86 11358 11532 11431
12/87 11451 11853 11484
12/88 12266 12787 12383
12/89 13835 14644 13974
12/90 14891 15955 14958
12/91 17159 18508 17436
12/92 18275 19878 18711
12/93 19729 21816 20780
12/94 19092 21179 19976
12/95 22753 25092 23793
</TABLE>
Fixed Income Portfolio
Average Annual Total Returns as of 12/31/95
1-year 19.18%
5-year 8.85%
10-year 8.57%
*The Lehman Brothers Aggregate Index combines several Lehman
Brothers fixed-income indexes to give a broad view of the bond
market--69% reflects the Government/Corporate Bond Index, 29%
reflects the Mortgage-Backed Securities Index and 2% reflects the
Asset-Backed Securities Index. The Lipper V.A. Corp. Debt.
BBB-Rated Average invests at least 65% of assets in corporate and
government debt issues rated in the top four grades.
THE FIXED INCOME PORTFOLIO returned 19.2% for the fiscal year,
outperforming the bond market as measured by the Lehman Bros.
Aggregate Index, which returned 18.5% in 1995. It also modestly
out-performed the Lipper Variable Annuity Corporate
Bond--BBB-Rated category, which returned 19.1%. A sizable
weighting in corporate bonds and a longer duration added to the
Portfolio's return in 1995. In August of this year, Portfolio
Manager Tom Pappas elected to move into a small weighting of high-
yield securities (less than 5%), which we believe will enhance
long term returns.
The graph represents past performance, which is not indicative of
future results.
---------------------
64
<PAGE> 67
Fixed-Income Portfolios (continued)
Government and Quality Bond Portfolio
[PEAK AND VALLEY CHART REFLECTING THE FOLLOWING DATA]
<TABLE>
<CAPTION>
Government and Lehman Lipper VA
Quality Bond Brothers Corp Debt
Portfolio Aggregate* A-Rated
Average (UF)*
<S> <C> <C> <C>
10000 10000 10000
"12/86" 11028 11532 11513
"12/87" 11201 11853 11662
"12/88" 12182 12787 12526
"12/89" 14084 14644 14098
"12/90" 15181 15955 15189
"12/91" 17807 18508 17707
"12/92" 19035 19878 19030
"12/93" 20610 21816 21068
"12/94" 19977 21179 20162
"12/95" 23838 25092 24055
</TABLE>
Government and Quality Bond Portfolio
Average Annual Total Returns as of 12/31/95
1-year 19.42%
5-year 9.46%
10-year 9.08%
*The Lehman Brothers Aggregate Index combines several Lehman
Brothers fixed-income indexes to give a broad view of the bond
market--69% reflects the Government/Corporate Bond Index, 29%
reflects the Mortgage-Backed Securities Index and 2% reflects the
Asset-Backed Securities Index. The Lipper V.A. Corp. Debt. A-Rated
Average invests at least 65% or more of assets in corporate debt
issues rated "A" or better, or government issues.
FIXED-INCOME PORTFOLIOS (CONTINUED)
THE GOVERNMENT AND QUALITY BOND PORTFOLIO returned 19.4% in 1995,
outperforming the bond market as measured by the Lehman Bros.
Aggregate Index, which returned 18.5%. The portfolio's returns
matched the return of the Lipper Variable Annuity Corporate
Bond--A-Rated average for the fiscal year. There were two factors
enhancing returns: the portfolio's relatively longer duration
(effective duration of 5.1 or 10.8 years to maturity) and its
overweighting in corporate bonds relative to the Lehman index. The
portfolio's fixed holdings as of December 31, 1995 were invested
70% in treasury and agency securities, 23% in corporate
securities, and 8% in asset-backed and other securities. The yield
to maturity as of December 31, 1995 was 6.6%.
The graph represents past performance, which is not indicative of
future results.
- ---------------------
65
<PAGE> 68
FIXED-INCOME PORTFOLIOS (CONTINUED)
High Yield Portfolio
[PEAK AND VALLEY CHART REFLECTING THE FOLLOWING DATA]
<TABLE>
<CAPTION>
Lehman Lipper VA
High Yield Brothers High Current
Portfolio Aggregate* Yield Average*
<S> <C> <C> <C>
10000 10000 10000
"12/86" 10505 10000 10000
"12/87" 10682 10278 10307
"12/88" 12209 11088 11703
"12/89" 11863 12699 11960
"12/90" 10588 13836 11248
"12/91" 14088 16049 15147
"12/92" 16047 17237 17602
"12/93" 19109 18917 20859
"12/94" 18253 18365 20223
"12/95" 21681 21759 23960
</TABLE>
High Yield Portfolio
Average Annual Total Returns as of 12/31/95
1-year 18.78%
5-year 15.41%
10-year 8.05%
*The Lehman Brothers Aggregate Index combines several Lehman
Brothers fixed-income indexes to give a broad view of the bond
market--69% reflects the Government/Corporate Bond Index, 29%
reflects the Mortgage-Backed Securities Index and 2% reflects the
Asset-Backed Securities Index. The Lipper V.A. High Current Yield
Average aims at high relative current yield from fixed income
securities without any quality or maturity restrictions, and tends
to invest in lower grade debt issues.
THE HIGH-YIELD PORTFOLIO returned 18.8% in 1995, outperforming the
Lipper Variable Annuity High Current Yield average and the Lehman
Bros. Aggregate Index, both of which returned 18.5%. The
portfolio's returns were aided by beneficial credit selection
including favorable industry selection. For instance, the
portfolio had a beneficial allocation to the aerospace and
broadcasting sectors, which aided performance in 1995.
The graph represents past performance, which is not indicative of
future results.
---------------------
66
<PAGE> 69
FIXED-INCOME PORTFOLIOS (CONTINUED)
Target '98 Portfolio
[PEAK AND VALLEY CHART REFLECTING THE FOLLOWING DATA]
<TABLE>
<CAPTION>
Lehman
Target '98 Brothers
Portfolio Aggregate*
<S> <C> <C>
10000 10000
"12/88" 10794 10454
"12/89" 12656 11973
"12/90" 12875 13045
"12/91" 15301 15132
"12/92" 16396 16251
"12/93" 18238 17836
"12/94" 17493 17315
"12/95" 20040 20515
</TABLE>
Target '98 Portfolio
Average Annual Total Returns as of 12/31/95
1-year 14.56%
5-year 9.25%
Since Inception (5/2/88 ) 9.49%
*The Lehman Brothers Aggregate Index combines several Lehman
Brothers fixed-income indexes to give a broad view of the bond
market--69% reflects the Government/Corporate Bond Index, 29%
reflects the Mortgage Backed Securities Index and 2% reflects the
Asset-Backed Securities Index.
THE TARGET '98 PORTFOLIO provided a 14.6% return in 1995, due to a
bond market rally that saw the yield curve steepen and overall
interest rates decline. Because the index has a much longer
duration than this portfolio, the Target '98 Portfolio returned
below the overall bond market return of 18.5%, as measured by the
Lehman Bros. Aggregate Index. With three years left to maturity,
the portfolio outperformed a similar duration three-year Treasury
bond.
The graph represents past performance, which is not indicative of
future results.
- ---------------------
67
<PAGE> 70
BALANCED PORTFOLIOS
Multi-Asset Portfolio
[PEAK AND VALLEY CHART REFLECTING THE FOLLOWING DATA]
<TABLE>
<CAPTION>
Lipper VA
Flexible
Multi-Asset Portfolios
Portfolio Average (UF)* S&P 500*
<S> <C> <C> <C>
10000 10000 10000
"12/87" 9508 9286 8681
"12/88" 10420 10330 10123
"12/89" 12472 12458 13330
"12/90" 12674 12587 12917
"12/91" 16132 15763 16852
"12/92" 17457 16966 18136
"12/93" 18733 19012 19965
"12/94" 18418 18643 20228
"12/95" 23011 23158 27830
</TABLE>
Multi-Asset Portfolio
Average Annual Total Returns as of 12/31/95
1-year 24.94%
5-year 12.67%
Since Inception (3/23/87) 9.99%
*The S&P 500 Composite Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic stocks
traded publicly in the United States. Because it is
market-weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies. The Lipper
V.A. Flexible Portfolios Average allocates its investments across
various asset classes, including domestic common stocks, bonds,
and money market instruments, with a focus on total return.
THE MULTI-ASSET PORTFOLIO returned 24.9% in 1995, placing it
between the returns of the stock market (37.6%, as measured by the
S&P 500) and that of the bond market (18.5%, as measured by the
Lehman Bros. Aggregate Index). This is to be expected, given the
portfolio's mix of 60% stocks and 40% bonds. The portfolio
modestly outperformed the Lipper Variable Annuity Flexible
category, which gained 24.2% in 1995.
The fixed income component of the portfolio showed strong
performance throughout the year, enhancing overall portfolio
returns. The portfolio's relative returns were somewhat held back
by returns of its U.S. equity component, which mostly lagged the
strong U.S. equity market in 1995 (as represented by the S&P 500
Composite). Specifically, returns were limited by an
underweighting in some of the market's strongest performing
sectors--such as financial services companies--and by investments
in retail companies, basic industry, and energy stocks. The asset
allocation calls were neutral to the portfolio's returns.
The graph represents past performance, which is not indicative of
future results.
---------------------
68
<PAGE> 71
BALANCED PORTFOLIOS (CONTINUED)
Strategic Multi-Asset Portfolio
[PEAK AND VALLEY CHART REFLECTING THE FOLLOWING DATA]
<TABLE>
<CAPTION>
Lipper VA
Strategic Global
Multi-Asset Flexible
Portfolio S&P 500* Average*
<S> <C> <C> <C>
10000 10000 10000
"12/87" 9225 9284 9524
"12/88" 10601 10826 10598
"12/89" 12699 14256 12685
"12/90" 11737 13814 12313
"12/91" 14577 18023 15338
"12/92" 15150 19396 16347
"12/93" 17469 21351 19878
"12/94" 17018 21633 19279
"12/95" 20893 29763 23538
</TABLE>
Strategic Multi-Asset Portfolio
Average Annual Total Returns as of 12/31/95
1-year 22.77%
5-year 12.22%
Since Inception (3/23/87) 8.76%
*The S&P 500 Composite Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic stocks
traded publicly in the United States. Because it is
market-weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies. The Lipper
V.A. Global Flexible Average allocates its investments across
various asset classes, including both domestic and foreign stocks,
bonds, and money market instruments, with a focus on total return.
At least 25% of its portfolio is invested in securities traded
outside the U.S.
THE STRATEGIC MULTI-ASSET PORTFOLIO returned 22.8% in fiscal 1995,
below the S&P 500 annual return of 37.6%, but outperforming the
Lipper Variable Annuity Global Flexible category return of 22.1%.
This return was due to outperformance by the aggressive stock (11%
of the portfolio), international stock (30%), and fixed income
components (29%) of the portfolio. Returns in the U.S. equity
component (27% of the portfolio) were impacted by the same issues
described in the Multi-Asset Portfolio. At a "normal" 70%
weighting in global equities and 30% commitment to fixed income
and cash, the portfolio should be expected to provide a
risk/return profile lower than that of the U.S. equity market as
measured by the S&P 500, which is how the portfolio performed in
1995.
The graph represents past performance, which is not indicative of
future results.
- ---------------------
69
<PAGE> 72
EQUITY PORTFOLIOS
Convertible Securities Portfolio
[PEAK AND VALLEY CHART REFLECTING THE FOLLOWING DATA]
<TABLE>
<CAPTION>
Convertible
Securities
Portfolio S&P 500*
<S> <C> <C>
10000 10000
"12/87" 8740 9284
"12/88" 10006 10826
"12/89" 11478 14256
"12/90" 11036 13814
"12/91" 13994 18023
"12/92" 16807 19396
"12/93" 20508 21351
"12/94" 18525 21633
"12/95" 21563 29763
</TABLE>
Convertible Securities Portfolio
Average Annual Total Returns as of 12/31/95
1-year 16.60%
5-year 14.37%
Since Inception (3/23/87) 8.93%
*The S&P 500 Composite Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic stocks
traded publicly in the United States. Because it is
market-weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies.
THE CONVERTIBLE SECURITIES PORTFOLIO returned 16.6% in fiscal
1995. Enhancing performance returns were investments in the
automotive and retail sectors. The portfolio returned below the
S&P 500, at 37.6%, which was attributable to investments in
foreign convertible securities. One such investment was in Cemex,
the largest cement manufacturer in Mexico. Although this security
rebounded at year-end, it was especially negative early in the
year. The portfolio continues to hold this position since the
Cemex convertible security has an extremely short maturity and a
yield to maturity of 14.5%. Additionally, we strongly believe
Cemex has the source of earnings, both in Mexico and abroad, to
meet its debt obligations. Investments in the Philippines also
hurt returns during the year. As of December 31, 1995, the
portfolio's total commitment to international convertible
securities was 13.5%.
The graph represents past performance, which is not indicative of
future results.
---------------------
70
<PAGE> 73
EQUITY PORTFOLIOS (CONTINUED)
Foreign Securities Portfolio
<TABLE>
<CAPTION>
Foreign Foreign
Foreign Lipper VA Securities Securities
Securities International (MSCI EAFE - (MSCI EAFE -
Portfolio Funds* GDP weighted)* Cap- weighted)*
<S> <C> <C> <C> <C>
10000 10000 10000 10000
"12/87" 8686 9046 9434 10128
"12/88" 10596 10170 12005 13024
"12/89" 13677 13047 14543 14430
"12/90" 11934 11751 12040 11082
"12/91" 11903 12954 13404 12468
"12/92" 10344 12045 12177 10990
"12/93" 13471 16081 16331 14610
"12/94" 13035 16136 17672 15788
"12/95" 14676 17758 19725 17612
</TABLE>
Foreign Securities Portfolio
Average Annual Total Returns as of 12/31/95
1-year 12.58%
5-year 4.22%
Since Inception (3/23/87) 4.48%
*The MSCI EAFE Index is the Morgan Stanley Capital International
Europe, Australia and Far East Index and reflects the return
realized by a U.S. dollar-based investor. The Lipper V.A.
International Funds Average invests its assets in securities whose
primary trading markets are outside of the U.S.
THE FOREIGN SECURITIES PORTFOLIO returned 12.6% in fiscal 1995, a
return which was higher than the MSCI EAFE Index (GDP-weighted)
return of 11.6%, the MSCI EAFE Index (Cap-weighted) return of
11.6%, and the Lipper Variable Annuity International average of
10.1%. The MSCI EAFE Index is available based on either the size
of a country's economy (GDP-weighted), or the size of its stock
market (capitalization-weighted). Since stock market performance
may alter the capitalization-weighted index, we believe the
GDP-weighted index we've added this year is a more stable
benchmark over time.
Several areas contributed to strong investment returns. First,
investments in Japan, Australia, the Netherlands, and Sweden were
helpful in 1995, as investors in those markets began to see an
improvement in their respective economic settings. Second,
relative overweight positions in France and Spain, in addition to
the portfolio's avoidance of Latin American securities, also aided
returns when compared to the Lipper average. Finally, the
portfolio benefited from good stock selection in Canada and Spain.
The graph represents past performance, which is not indicative of
future results.
- ---------------------
71
<PAGE> 74
EQUITY PORTFOLIOS (CONTINUED)
Growth Portfolio
<TABLE>
<CAPTION>
Lipper VA
Growth Growth
Portfolio Average (UF)* S&P 500*
<S> <C> <C> <C>
10000 10000 10000
"12/86" 10931 11887 11862
"12/87" 10994 12152 12492
"12/88" 12398 13940 14567
"12/89" 16128 18009 19182
"12/90" 15874 17150 18587
"12/91" 22353 23546 24250
"12/92" 23567 25550 26098
"12/93" 25394 28685 28729
"12/94" 24195 28390 29108
"12/95" 30563 37608 40047
</TABLE>
Growth Portfolio
Average Annual Total Returns as of 12/31/95
1-year 26.32%
5-year 14.00%
10-year 11.82%
*The S&P 500 Composite Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic stocks
traded publicly in the United States. Because it is
market-weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies. The Lipper
V.A. Growth Average invests in companies whose long-term earnings
are expected to grow significantly faster than the earnings of the
stocks represented in the major unmanaged stock indices.
THE GROWTH PORTFOLIO returned 26.3% in fiscal 1995, aided by
investments in finance, healthcare and select technology issues.
While strongly positive, the portfolio's returns were below that
of the S&P 500, at 37.6%, and the Lipper Variable Annuity Growth
average, which returned 32.5%. Three factors were significant
contributors to this return pattern. First, smaller capitalization
stocks underperformed larger stocks in the first half of 1995, a
period when the portfolio had a large commitment in that area. The
S&P 500 Composite is a large-cap index, therefore it outperformed
the portfolio in 1995. Second, the portfolio's investments in
technology stocks, while significant at a 18%-24% weighting
throughout the year, were still less than many growth funds. Due
to strong gains in the technology sector during 1995, other growth
portfolios with a more aggressive technology focus outperformed.
Third, the portfolio was relatively underweighted in Consumer
Staples--a strong performing sector in 1995.
In order to improve returns going forward, the portfolio underwent
a change in the management team last August. Since that time, the
Growth Portfolio has been managed by a team of specialists, the
"Growth Investment Team," comprised of Matthew E. Megargel
(large-capitalization specialist), Frank V. Wisneski (mid- to
smaller-capitalization specialist), and John J. Harrington (risk
analysis specialist). Since August, the portfolio's returns have
paralleled those of the Lipper Variable Annuity Growth average
more closely, outperforming this index in the closing months of
1995.
The graph represents past performance, which is not indicative of
future results.
---------------------
72
<PAGE> 75
EQUITY PORTFOLIOS (CONTINUED)
Capital Appreciation Portfolio
[PEAK AND VALLEY CHART REFLECTING THE FOLLOWING DATA]
<TABLE>
<CAPTION>
Lipper VA
Capital Capital
Appreciation Appreciation
Portfolio Average (UF)* S&P 500*
<S> <C> <C> <C>
10000 10000 10000
"12/87" 8351 8502 8681
"12/88" 10116 9585 10123
"12/89" 12647 12202 13330
"12/90" 10601 11441 12917
"12/91" 16552 16598 16852
"12/92" 20846 18286 18136
"12/93" 25238 21182 19965
"12/94" 24279 20873 20228
"12/95" 32671 27507 27830
</TABLE>
Capital Appreciation Portfolio
Average Annual Total Returns as of 12/31/95
1-year 34.56%
5-year 25.25%
Since Inception (3/23/87) 14.49%
*The S&P 500 Composite Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic stocks
traded publicly in the United States. Because it is
market-weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies. The Lipper
V.A. Capital Appreciation Average aims at maximum capital
appreciation by means of 100% or more portfolio turnover,
leveraging, purchasing unregistered securities, purchasing
options, etc.; may take large cash positions.
THE CAPITAL APPRECIATION PORTFOLIO returned 34.6% in fiscal 1995.
Areas of investments enhancing returns were consumer discretionary
stocks, information and entertainment companies, and energy
securities. Smaller capitalization stocks underperformed large cap
stocks for much of the year, which accounts for the portfolio's
relative performance vs. the S&P 500, which returned 37.6%.
However, consistent with its long-term performance history, this
portfolio outperformed the Lipper Variable Annuity Capital
Appreciation average, which returned 31.8% in 1995.
The graph represents past performance, which is not indicative of
future results.
- ---------------------
73
<PAGE> 76
EQUITY PORTFOLIOS (CONTINUED)
Natural Resources Portfolio
<TABLE>
<CAPTION>
Lipper VA
Natural Natural
Resources Resources
Portfolio S&P 500* Average (UF)*
<S> <C> <C> <C>
10000 10000 10000
"12/88" 11172 10000 10000
"12/89" 13219 13168 12458
"12/90" 11233 12760 10886
"12/91" 11780 16648 11130
"12/92" 12077 17916 10925
"12/93" 16442 19722 15263
"12/94" 16607 19983 14904
"12/95" 19507 27492 16693
</TABLE>
Natural Resources Portfolio
Average Annual Total Returns as of 12/31/95
1-year 17.46%
5-year 11.67%
Since Inception (1/1/88) 8.71%
*The S&P 500 Composite Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic stocks
traded publicly in the United States. Because it is
market-weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies. The Lipper
V.A. Natural Resources Average invests more than 65% of its equity
commitment in natural resource stocks.
THE NATURAL RESOURCES PORTFOLIO provided a 17.5% return in 1995,
outperforming the Lipper Variable Annuity Natural Resource
Average, which provided a 12.0% return. The natural resource
sectors of the S&P 500 Composite were less positive than other
market sectors, such as healthcare, finance, and technology, due
to investors' fears that slow growth would threaten the
economically sensitive materials, energy, and precious metals
stocks. Therefore, the Natural Resource Portfolio (and the Lipper
Natural Resources average) did not keep up with the market index
return of 37.6%, as represented by the S&P 500 Composite. The last
few months of the year saw a moderate rebound in materials
stock--particularly natural gas and oil--which were aided by low
inventory levels and the arrival of a colder winter than was
experienced last year. The diversified strategy of the portfolio,
with investments in gold, energy, metals, and paper companies,
helped relative performance vs. the Lipper group.
The graph represents past performance, which is not indicative of
future results.
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