<PAGE> 1
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DEAR ANCHOR SERIES TRUST INVESTOR:
We are pleased to present our semiannual report for the Anchor
Series Trust, the underlying investment portfolios for the ICAP
II Variable Annuity issued by Anchor National Life Insurance
Company and First SunAmerica Life Insurance Company.
The following information is from SunAmerica Asset Management
Corp. ("SAAMCo") and Wellington Management Company, LLP
("Wellington Management"), the respective investment adviser and
subadviser for the Anchor Series Trust portfolios. We believe
this information will provide you with insight into the
financial markets and how various market and economic conditions
have affected the performance of your investment portfolios over
the past six months.
FINANCIAL MARKET OVERVIEW
The Federal Reserve's tightening monetary policy (i.e., its
efforts to raise interest rates to limit the money supply and
keep inflation in check) has been a key source of volatility in
the U.S. equity market. The Standard & Poor's Composite Index of
500 Stocks ("S&P 500") was down 0.4% for the first half of the
year, although there were some areas of strength among U.S.
stocks, most notably the health care sector which was up over
24% since the beginning of the year.
In contrast, small-cap and mid-cap stocks delivered positive
results for the first six months of the year, with the small-cap
stock Russell 2000 Index gaining 3.0% and the Target Mid Cap 750
Index increasing by 7.6%. On the international front, France and
Canada were two of the few major equity markets to post gains
for the six months ended June 30, 2000. Despite a brief rally
during the first quarter, the Emerging Markets sector closed the
period down sharply (nearly 8.0% for the six-month period) due
largely to concerns of political instability in Mexico and
fiscal deficits in Argentina.
Within the fixed income markets, the U.S. Treasury bond market
rallied sharply during the first quarter and held onto those
gains through the second quarter as the yield on 30-year
government bonds fell from 6.5% to 5.9% during the six-month
period. Shrinking Treasury supplies and debt buybacks (or
repurchases by the federal government) are beginning to have a
pronounced effect on Treasury yields. This effect should
continue given the magnitude of debt reduction that is likely to
occur in the years ahead. From a cyclical standpoint, the end of
Federal Reserve tightening, slower U.S. growth, and receding
inflationary pressures should also provide a boost to the U.S.
bond market.
GLOBAL ECONOMIC OVERVIEW
Global growth appears to be moderating. Signs of slowing
growth are beginning to appear in the U.S.; for example,
consumer spending moderated during the second quarter, and
housing activity continued to lose momentum. We expect to see
additional signs of slowing in Europe during the second half of
2000. After a year of steady interest rate rises, the Federal
Reserve and the European Central Bank are likely to adopt a
wait-and-see attitude in the coming months.
In Japan, recession fears have faded as the economy recovers
gradually. The outcome of the recent general election in Japan
suggests that there will be no bold steps to promote economic
restructuring or to curb a fast-rising public debt. However,
increases in technology-investment, consumption, and exports
will likely continue to support growth.
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Meanwhile, in Asia, the emerging economies are expected to
continue growing, but at a less torrid pace, as consumer-led
recoveries have faded and exports are slowing. In Latin America,
growth rates generally lag those in Asia, but they have not yet
peaked and could continue to rise. Growth is expected to remain
strong in Central and Eastern Europe.
ECONOMIC OUTLOOK
Going forward, the key message is decelerating growth. We
expect real Gross Domestic Product in the U.S. to rise 5.0% in
2000 and 4.0% next year. At most, we expect the Federal Reserve
to increase rates another 0.25%. Higher energy prices continue
to boost inflation in the near term. Over the longer term, we
expect inflation (the Consumer Price Index) to average 3.0% this
year and 2.0% in 2001. Outside of the U.S., the global economy
is projected to expand at an estimated 4.2% in 2000 and 3.7% in
2001. In particular, the European economies are likely to show
solid growth of 3.0% or more -- bolstered by a competitive Euro
currency. However, we expect other Asia/ Pacific economies to
increase at growth rates of nearly 7.0% annually over the next
two years. In Latin America, Brazil and Mexico are expected to
continue growing next year -- at approximately 4.5%.
In light of the current market conditions and our economic
outlook, we have prepared the following investment commentary
for each of the nine Anchor Series Trust portfolios for the six
months ended June 30, 2000.
EQUITY PORTFOLIOS
The Growth and Income Portfolio seeks high current income and
long-term capital appreciation through investments in common
stocks. The portfolio returned 1.1% during the first half of
2000, outperforming the Lipper Growth and Income variable
annuity funds' average return of -1.1% and the S&P 500's return
of -0.4%. The portfolio benefited significantly from its
holdings in the health care and information technology sectors.
As of June 30, 2000, the portfolio's largest sector positions
were as follows: 30.8% in information technology, 15.3% in
health care, 12.3% in finance, and 8.8% in industrial and
commercial. The portfolio was 98.4% invested in stocks with a
market capitalization of $10 billion or more.
The Growth Portfolio seeks capital appreciation through
investments in large and medium-size companies that have
above-average growth records and continued prospects for solid
growth in the future. The portfolio posted a 7.5% return in the
first six months of 2000, well ahead of the Lipper Growth
variable annuity funds category, which on average returned 3.3%
over this period. The portfolio also outperformed the S&P 500's
return of -0.4% for the six-month period. Major sector
concentrations as of June 30, 2000 were as follows: 35.2% in
information technology, 14.3% in health care, 9.7% in finance,
and 8.4% in information and entertainment. The portfolio was
positioned with 8.0% of assets invested in stocks which are
below $3 billion in market capitalization, 16.7% in stocks
between $3 and $10 billion in market capitalization, 27.8% in
stocks between $10 and $50 billion in market capitalization, and
47.5% in stocks above $50 billion in market capitalization.
The Capital Appreciation Portfolio seeks long-term capital
appreciation through investments in growth equity securities
that are widely diversified by industry and company. These
securities will generally consist of a great proportion of
smaller companies that may be newer and less seasoned, or that
represent new or changing industries. The Capital Appreciation
Portfolio generated a return of 7.1% for the first six
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months of 2000, compared to the 3.2% average return of the
Lipper Capital Appreciation variable annuity funds, the -0.4%
return of the S&P 500 Index, and 3.0% return of the Russell 2000
Index. The health care and information technology sectors
contributed significantly to the portfolio's strong performance.
At the end of June, the portfolio's major investments were in
the following sectors: 27.7% in information technology, 23.8% in
information & entertainment, 12.9% in health care, and 7.8% in
utilities. In terms of market capitalization, more than half of
the portfolio's holdings was invested in stocks of above $10
billion.
The Natural Resources Portfolio seeks to outpace inflation
through investments in natural resource companies around the
world. The portfolio provided investors with an 8.3% return for
the first six months of 2000, trailing the Lipper Natural
Resources variable annuity funds' category average of 9.6%.
Longer-term returns remain ahead of this Lipper average. Among
the various portfolio sectors, the energy equipment and services
companies provided the best returns, while metals companies
performed the worst. The portfolio on June 30, 2000 was
comprised of 68.9% in energy stocks, 22.1% in metals and
minerals, 3.2% in precious metals, 3.0% in cash and cash
equivalents, and 2.8% in forest products and paper.
FIXED INCOME PORTFOLIOS
The Money Market Portfolio generated a 2.78% return in the
first half of 2000, slightly trailing the 2.80% average return
of the Lipper category of Money Market variable annuity funds.
The Federal Reserve responded to strong economic data in May by
aggressively raising short-term rates from 6.0% to 6.5%. This
was the sixth rate hike since June 1999, for a cumulative
increase of 1.75%. On the heels of this latest rate hike,
economic data began to show a moderation in activity, especially
in manufacturing, housing, and consumer spending. In this
environment, we feel comfortable with a longer average maturity
than we have maintained in the past. We will implement this
strategy by buying longer-term issues in order to lock in higher
yields. On June 30, 2000, the portfolio had a weighted average
maturity of 58 days and was comprised of 70.6% commercial paper,
15.2% bank product cash equivalents, 10.7% floating rate notes,
and 3.5% in other money market instruments.
The Government and Quality Bond Portfolio seeks to provide
relatively high current income, liquidity, and security of
principal. The portfolio posted a 3.7% return for the six months
ended June 30, 2000, trailing the Lipper category of General
U.S. Government variable annuity funds' average return of 4.3%.
In comparison, the Lehman Aggregate Index returned 4.0% over the
six-month period. At the end of June, the portfolio maintained a
longer duration stance of 5.2, relative to the 4.9 duration of
the Lehman Aggregate Index. As of June 30, 2000, the portfolio
was diversified in the following sectors: 39.9% in
mortgage-backed securities, 25.0% in investment grade corporate
bonds, 29.2% in U.S. government and agency securities, 4.9% in
cash equivalents, and 1.0% in asset-backed securities.
The High Yield Portfolio seeks to provide high current income
and capital appreciation by investing in corporate bonds rated
BBB/Baa or lower. The portfolio provided investors with a -2.0%
return for the first six months of 2000, trailing the Lehman
High Yield Index which returned -1.2% and the Lipper High Yield
variable annuity funds which returned -1.1% on average. The high
yield market showed a tentative bounce late in this six-month
period. Sentiment improved modestly following data that
indicated high yield mutual funds had experienced positive cash
inflows during the month of June. For the six months ended June
30, 2000, high yield mutual funds have suffered outflows of $6.5
billion. The recent inflows may reflect investors' belief that
the
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Federal Reserve may be near the end of its interest rate
tightening. Nevertheless, the market remains choppy. On June 30,
the portfolio's fixed income holdings were comprised of 2.8%
AAA - BBB rated securities, 19.5% BB rated securities, 68.3% B
rated securities, and 9.4% below B or unrated securities. In
terms of corporate sector weightings, the largest areas of
investment were 13.0% in technology, 12.7% in
telecommunications, 7.0% in communications and media, and 6.6%
in cable.
BALANCED PORTFOLIOS
The Multi-Asset Portfolio seeks to provide investors with
long-term total investment return consistent with moderate
investment risk. The portfolio currently invests approximately
60.4% of its assets in U.S. equities and 32.5% in U.S.
investment grade bonds. The portfolio returned 2.9% for the
first six months of 2000, outperforming the Lipper category of
Flexible variable annuity funds, which returned 1.9% on average
for the period. The portfolio's strong stock picks and its
relatively high exposure to stocks contributed to the positive
returns. The portfolio's asset class mix at the end of June was
60.4% equities, 33.3% fixed-income securities, and 6.3% cash
equivalents.
The Strategic Multi-Asset Portfolio seeks to obtain high total
returns through investments in core global stocks, aggressive
stocks, and global fixed income securities. The portfolio
generated a -0.6% return for the six months ended June 30, 2000.
These results trailed the average return of 0.0% for the Lipper
category of Global Flexible variable annuity funds -- although
on a longer-term basis, the portfolio's returns remain well
ahead of the Lipper average. Looking ahead, we believe that
strong earnings and global economic growth will continue to
create a positive environment for global equities. In addition,
we believe that investor expectations have shifted toward a more
benign interest rate environment supportive of equities. As a
result, the portfolio is currently positioned quite aggressively
in favor of equities. The portfolio's asset allocation mix at
the end of June was as follows: 44.1% core global equities,
28.3% global fixed income including high yield securities, 15.0%
aggressive equities, and 12.6% cash equivalents.
This concludes the overview from SAAMCo and Wellington
Management. We look forward to reporting to you once again in
six months, and we appreciate the confidence you place in us
with your retirement assets.
Sincerely,
/s/ ELI BROAD
Eli Broad
Chairman and Chief Executive Officer
Anchor National Life Insurance Company
First SunAmerica Life Insurance Company
August 18, 2000
-------------------------------
Note: All performance figures quoted are for the Anchor Series
Trust. They do not reflect fees and charges associated with the
variable annuity. Past performance is not a guarantee of future
results.
Investments in stocks and bonds are subject to risk, including
stock market and interest rate fluctuations. Investments in
non-U.S. stocks and bonds are subject to additional risks,
including fluctuations, political and social instability,
differing securities regulations and accounting standards, and
limited public information. High-yield bonds tend to experience
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. Investments
in securities related to gold or other precious metals and
minerals are considered speculative and are impacted by a host
of worldwide economic, financial, and political factors. Money
market instruments generally offer stability and income, but an
investment in these securities is not guaranteed by the U.S.
government or any other entity.
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ANCHOR SERIES TRUST
MONEY MARKET PORTFOLIO INVESTMENT PORTFOLIO -- JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 100.3% AMOUNT VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
ASSET-BACKED SECURITIES -- 2.3%
Strategic Money Market Trust 6.40% due 9/13/00 (1)
(cost $1,500,000)......................................... $1,500,000 $ 1,500,000
------------
BANK NOTES -- 12.9%
Bank of Scotland 5.73% due 7/03/00.......................... 1,000,000 999,998
Barclays Bank PLC 6.71% due 2/09/01......................... 1,500,000 1,499,564
Credit Agricole Indosuez New York 6.84% due 3/28/01......... 1,000,000 999,790
Deutsche Bank AG 6.75% due 2/22/01.......................... 1,000,000 999,693
Dresdner Bank 6.71% due 2/26/01............................. 1,000,000 999,727
Royal Bank of Canada 5.70% due 7/03/00...................... 1,000,000 999,997
Svenska Handelsbanken 6.75% due 3/16/01..................... 1,000,000 999,665
United States Bank NA MN 5.92% due 10/02/00................. 1,000,000 999,805
------------
TOTAL BANK NOTES (cost $10,084,623)......................... 8,498,239
------------
COMMERCIAL PAPER -- 70.6%
Aesop Funding Corp. 6.66% due 8/16/00....................... 1,600,000 1,586,384
Alcoa, Inc. 6.55% due 7/05/00............................... 1,000,000 999,272
APRECO, Inc. 6.59% due 7/31/00.............................. 1,600,000 1,591,213
AT&T Co. 6.55% due 8/23/00.................................. 1,600,000 1,584,571
Centric Capital Corp. 6.90% 7/07/00......................... 1,300,000 1,298,505
Coca Cola Co. 6.55% due 8/15/00............................. 1,800,000 1,785,263
Columbia University 6.58% due 8/16/00....................... 1,000,000 991,592
Delaware Funding Corp. 6.57% due 8/15/00.................... 1,600,000 1,586,860
Edison Asset Security 6.56% due 8/14/00..................... 1,600,000 1,587,172
Enterprise Capital Funding Corp. 6.58% due 8/15/00.......... 1,600,000 1,586,840
EW Scripps Co. 6.58% due 8/15/00............................ 1,600,000 1,586,840
Falcon Asset Securitization Corp. 6.56% 7/27/00............. 1,600,000 1,592,420
General Electric Capital Corp. 6.62% 7/31/00................ 1,700,000 1,690,622
General Motors Acceptance Corp. 6.60% due 7/26/00........... 1,200,000 1,194,500
Glaxo Wellcome PLC 6.60% due 8/15/00........................ 1,672,000 1,658,206
Goldman Sachs & Co. 6.65% due 7/07/00....................... 1,600,000 1,598,227
Illinois Tool Works, Inc. 6.53% due 7/28/00................. 1,600,000 1,592,164
Island Finance, Inc. 6.57% due 8/07/00...................... 1,600,000 1,589,196
Johnson & Johnson 6.54% due 8/01/00......................... 1,695,000 1,685,454
Kellogg Co. 6.55% due 8/14/00............................... 1,600,000 1,587,191
Kimberly-Clark Corp. 6.54% due 8/04/00...................... 1,600,000 1,590,117
Kitty Hawk Funding Corp. 6.53% 7/13/00...................... 1,716,000 1,712,265
Morgan Stanley Group, Inc. 6.56% 8/08/00.................... 1,600,000 1,588,921
National Rural Utilities 6.67% 7/12/00...................... 1,600,000 1,596,739
New York Times Co. 6.61% due 8/15/00........................ 1,600,000 1,586,780
Salomon Smith Barney Holdings, Inc. 6.55% due 8/11/00....... 1,600,000 1,588,064
Variable Funding Capital Corp. 6.67% due 7/06/00............ 1,600,000 1,598,545
Wal-Mart Stores, Inc. 6.57% due 8/15/00..................... 1,600,000 1,586,860
Woolwich 6.60% due 9/15/00.................................. 1,600,000 1,577,707
Yale University 6.65% due 7/05/00........................... 1,600,000 1,598,837
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TOTAL COMMERCIAL PAPER (cost $35,670,786)................... 46,397,327
------------
</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES (CONTINUED) AMOUNT VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 14.5%
Fleet Financial Group, Inc. 6.45% due 7/28/00 (1)........... $2,000,000 $ 2,000,122
International Business Machines Corp. 5.95% due 8/17/00..... 1,500,000 1,499,864
Key Bank 6.89% due 8/31/00 (1).............................. 2,000,000 2,000,000
Morgan (J.P.) & Co., Inc. 6.80% due 2/23/01................. 1,000,000 1,000,000
Peoples Security Life Insurance Co. 6.66% due 8/01/00 (1)... 2,000,000 2,000,000
SBC Communications, Inc. 6.68% due 5/15/01 (1).............. 1,000,000 1,000,000
------------
TOTAL CORPORATE SHORT-TERM NOTES (cost $18,640,143)......... 9,499,986
------------
TOTAL SHORT-TERM SECURITIES (cost $65,895,552).............. 65,895,552
------------
TOTAL INVESTMENTS --
(cost $65,895,552) 100.3% 65,895,552
Liabilities in excess of other assets -- (0.3) (229,662)
------ ------------
NET ASSETS -- 100.0% $65,665,890
====== ============
</TABLE>
-----------------------------
(1) Variable rate security -- the rate reflected is as of June 30,
2000; maturity date reflects next reset date.
See Notes to Financial Statements.
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ANCHOR SERIES TRUST
GOVERNMENT & QUALITY BOND
PORTFOLIO INVESTMENT PORTFOLIO -- JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 95.1% AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
ASSET-BACKED SECURITIES -- 1.0%
Toyota Auto Receivables Owner Trust 7.18% 2004.............. $ 5,000,000 $ 5,013,150
-------------
CONSUMER DISCRETIONARY -- 1.0%
Wal-Mart Stores, Inc. 6.75% 2023............................ 5,000,000 4,694,550
-------------
FINANCE -- 9.1%
Ace INA Holding, Inc. 8.30% 2006............................ 5,000,000 5,046,250
Associates Corp. North America 6.00% 2005................... 5,000,000 4,673,850
Citicorp. 6.75% 2007........................................ 5,000,000 4,867,900
CS First Boston Mortgage Securities Corp. 7.24% 2029........ 5,000,000 4,937,900
Ford Motor Credit Co. 7.20% 2007............................ 5,000,000 4,798,050
General Electric Capital Corp. 7.50% 2035................... 5,000,000 4,937,150
General Reinsurance Corp. 9.00% 2009........................ 5,000,000 5,278,300
Morgan (J.P.) & Co., Inc. 6.25% 2005........................ 5,000,000 4,722,150
Ohio National Life Insurance Co. 8.50% 2026*................ 200,000 194,176
Toyota Motor Credit Corp. 5.50% 2008........................ 5,000,000 4,305,150
United States Bancorp 7.50% 2026............................ 400,000 397,616
-------------
44,158,492
-------------
INDUSTRIAL & COMMERCIAL -- 8.0%
Diageo Capital PLC 6.13% 2005............................... 5,000,000 4,709,950
Hewlett Packard Co. 7.15% 2005.............................. 5,000,000 5,009,150
Lucent Technologies, Inc. 5.50% 2008........................ 5,950,000 5,296,452
Motorola, Inc. 5.80% 2008................................... 5,000,000 4,539,605
Postal Square L.P. 8.95% 2022............................... 4,604,550 5,382,857
SCL Terminal Aereo Santiago SA 6.95% 2012*.................. 5,000,000 4,603,250
Stanford University 6.88% 2024.............................. 5,000,000 4,597,215
United Technologies Corp. 6.63% 2004........................ 5,000,000 4,890,640
-------------
39,029,119
-------------
INFORMATION & ENTERTAINMENT -- 1.1%
Walt Disney Co. 5.80% 2008.................................. 6,000,000 5,444,460
-------------
INFORMATION TECHNOLOGY -- 1.0%
Pitney Bowes, Inc. 5.50% 2004............................... 5,000,000 4,737,100
-------------
TRANSPORTATION -- 3.6%
American Airlines 7.02% 2009................................ 3,225,000 3,036,112
Continental Airlines, Inc. 6.32% 2008....................... 5,000,000 4,516,900
FedEx Corp. 6.72% 2022...................................... 4,902,191 4,457,709
United Parcel Service of America, Inc. 8.38% 2020........... 5,000,000 5,364,100
-------------
17,374,821
-------------
</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 67.2%
Federal Home Loan Banks 5.13% 2003.......................... $34,785,000 $ 32,909,741
Federal Home Loan Mortgage Corp. 5.75% 2003................. 20,000,000 19,315,600
Federal Home Loan Mortgage Corp. 6.00% 2008 - 2013.......... 13,941,274 13,263,773
Federal Home Loan Mortgage Corp. 6.50% 2029................. 23,208,910 21,924,871
Federal Home Loan Mortgage Corp. 7.00% 2010 - 2011.......... 8,216,557 8,099,456
Federal Home Loan Mortgage Corp. 7.50% 2027................. 239,629 237,010
Federal Home Loan Mortgage Corp. 14.75% 2010................ 61,362 69,549
Federal National Mortgage Association 6.00% 2009 - 2028..... 20,424,498 19,552,698
Federal National Mortgage Association 6.50% 2012 - 2029..... 9,642,607 9,283,640
Federal National Mortgage Association 7.00% 2010 - 2011..... 3,377,619 3,330,093
Federal National Mortgage Association 8.00% 2099............ 10,000,000 10,042,200
Government National Mortgage Association 6.50% 2023 -
2029...................................................... 79,832,439 75,782,033
Government National Mortgage Association 7.00% 2009 -
2029...................................................... 16,860,767 16,498,381
Government National Mortgage Association 7.50% 2022 -
2023...................................................... 7,646,746 7,615,838
Government National Mortgage Association 10.00% 2013 -
2017...................................................... 830,542 874,506
Government National Mortgage Association 11.50% 2014........ 4,962 5,341
Government National Mortgage Association 12.00% 2016........ 5,212 5,721
Government National Mortgage Association 12.75% 2014........ 43,744 47,736
Government National Mortgage Association 13.50% 2014........ 4,636 5,270
United States Treasury Bonds 8.88% 2017..................... 25,000,000 31,867,250
United States Treasury Bonds 8.88% 2019..................... 27,250,000 35,071,567
United States Treasury Notes 5.50% 2001..................... 20,000,000 19,796,800
-------------
325,599,074
-------------
UTILITIES -- 3.1%
AT&T Corp. 6.00% 2009....................................... 5,000,000 4,446,050
Deutsche Telekom International 8.00% 2010................... 5,000,000 5,010,350
Hydro Quebec Electric 8.40% 2022............................ 5,000,000 5,384,550
-------------
14,840,950
-------------
TOTAL INVESTMENT SECURITIES (cost $476,101,455)............. 460,891,716
-------------
<CAPTION>
SHORT-TERM SECURITIES -- 0.0%
-----------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.0%
Federal Home Loan Participation 11.00% due 9/01/00.......... 148 149
Government National Mortgage Association 10.00% due
11/15/00.................................................. 1,188 1,194
-------------
TOTAL SHORT-TERM SECURITIES (cost $1,336)................... 1,343
-------------
<CAPTION>
REPURCHASE AGREEMENT -- 6.7%
-----------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account (see Note 3)
(cost $32,735,000)........................................ 32,735,000 32,735,000
-------------
TOTAL INVESTMENTS --
(cost $508,837,791) 101.8% 493,628,059
Liabilities in excess of other assets -- (1.8) (8,950,786)
------ -------------
NET ASSETS -- 100.0% $484,677,273
====== =============
</TABLE>
-----------------------------
* Resale restricted to qualified institutional buyers
See Notes to Financial Statements.
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ANCHOR SERIES TRUST
HIGH YIELD PORTFOLIO INVESTMENT PORTFOLIO -- JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 89.4% AMOUNT VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
AEROSPACE & MILITARY TECHNOLOGY -- 2.4%
Argo Tech Corp. 8.63% 2007.................................. $ 40,000 $ 28,000
Hexcel Corp. 9.75% 2009..................................... 45,000 40,050
L-3 Communications Corp. 8.50% 2008......................... 100,000 92,000
Level 3 Communications, Inc. 9.13% 2008..................... 50,000 44,875
Loral Space & Communications Ltd. 9.50% 2006................ 100,000 72,500
Moog, Inc., Series B 10.00% 2006............................ 150,000 149,250
------------
426,675
------------
AUTOMOTIVE -- 2.1%
Accuride Corp., Series B 9.25% 2008......................... 75,000 63,562
Exide Corp. 10.00% 2005..................................... 35,000 30,975
Federal Mogul Corp. 8.80% 2007.............................. 120,000 91,894
Key Plastics, Inc., Series B 10.25% 2007.................... 100,000 8,000
LDM Technologies, Inc. 10.75% 2007.......................... 115,000 91,425
Prestolite Electric, Inc. 9.63% 2008........................ 125,000 80,000
------------
365,856
------------
CABLE -- 6.6%
Adelphia Communications Corp. 9.38% 2009.................... 100,000 92,750
Adelphia Communications Corp., Series B 9.88% 2007.......... 250,000 240,000
Cablevision SA 13.75% 2009.................................. 75,000 68,250
Charter Communication Holdings 8.25% 2007*.................. 175,000 154,875
Classic Cable, Inc. 10.50% 2010............................. 100,000 92,250
CSC Holdings, Inc. 8.13% 2009............................... 75,000 72,905
Insight Midwest LP 9.75% 2009............................... 100,000 98,000
Multicanal SA 10.50% 2007*.................................. 100,000 84,500
NTL, Inc., Series B 10.00% 2007............................. 100,000 95,000
Rogers Communications, Inc. 8.88% 2007...................... 150,000 147,000
------------
1,145,530
------------
CHEMICALS -- 3.9%
Acetex Corp. 9.75% 2003..................................... 50,000 47,000
ARCO Chemical Co. 9.80% 2020................................ 150,000 133,500
Borden Chemicals & Plastics Operating 9.50% 2005............ 150,000 132,750
Geo Specialty Chemicals, Inc. 10.13% 2008................... 100,000 86,000
Lyondell Chemical Co. 10.88% 2009*.......................... 80,000 79,600
Philipp Brothers Chemicals, Inc. 9.88% 2008................. 150,000 82,500
Sovereign Specialty Chemicals 11.88% 2010*.................. 40,000 41,150
Sterling Chemicals, Inc. 11.25% 2007........................ 50,000 39,500
Sterling Chemicals, Inc. 11.75% 2006........................ 50,000 40,500
------------
682,500
------------
</TABLE>
---------------------
9
<PAGE> 10
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
COMMUNICATIONS & MEDIA -- 7.0%
Ackerley Group, Inc. 9.00% 2009............................. $150,000 $ 138,000
Carmike Cinemas, Inc. 9.38% 2009*........................... 150,000 81,000
Globo Comunicacoes E Participating 10.50% 2006*............. 150,000 127,500
Gray Communications Systems, Inc. 10.63% 2006............... 100,000 99,750
LIN Holdings Corp. zero coupon 2008 (1)..................... 100,000 65,000
LIN Television Corp. 8.38% 2008............................. 100,000 91,500
Loews Cineplex Entertainment Corp. 8.88% 2008............... 100,000 47,000
STC Broadcasting, Inc. 11.00% 2007.......................... 50,000 49,000
Sullivan Graphics, Inc. 12.75% 2005......................... 150,000 152,250
Sun Media Corp. 9.50% 2007.................................. 50,000 48,000
TV Azteca SA de CV 10.50% 2007.............................. 100,000 89,750
World Color Press, Inc. 8.38% 2008*......................... 150,000 144,937
Young Broadcasting, Inc. 9.00% 2006......................... 100,000 93,500
------------
1,227,187
------------
CONSUMER STAPLES -- 4.7%
Consumers Packaging, Inc. 9.75% 2007........................ 150,000 52,500
Corning Consumer Products Co. 9.63% 2008.................... 100,000 66,500
Doman Industries Ltd. 12.00% 2004........................... 100,000 100,000
Polaroid Corp. 11.50% 2006.................................. 50,000 52,000
Rayovac Corp. 10.25% 2006................................... 150,000 153,750
Simmons Co. 10.25% 2009*.................................... 65,000 58,175
True Temper Sports, Inc. 10.88% 2008........................ 150,000 142,688
Westpoint Stevens, Inc. 7.88% 2008.......................... 250,000 198,750
------------
824,363
------------
ENERGY -- 4.9%
Canadian Forest Oil Ltd. 8.75% 2007......................... 100,000 94,000
Clark Refining & Marketing, Inc. 8.63% 2008................. 100,000 78,500
Newpark Resources, Inc. 8.63% 2007.......................... 45,000 39,488
P&L Coal Holdings Corp. 9.63% 2008.......................... 100,000 92,750
P&L Coal Holdings Corp. 8.88% 2008.......................... 100,000 94,250
Pen Holdings, Inc. 9.88% 2008............................... 150,000 121,500
Pioneer Natural Resources Co. 9.63% 2010.................... 100,000 103,000
Plains Resources, Inc. 10.25% 2006.......................... 85,000 84,362
RAM Energy, Inc. 11.50% 2008................................ 175,000 85,969
RBF Finance Co. 11.00% 2006................................. 60,000 64,275
------------
858,094
------------
FINANCE -- 0.9%
Pindo Deli Finance Mauritius Ltd. 10.75% 2007............... 50,000 30,000
Western Financial Savings Bank 8.88% 2007................... 140,000 124,600
------------
154,600
------------
FOOD & LODGING -- 1.3%
Delaware Monte Foods Co. zero coupon 2007 (1)............... 125,000 92,813
Hammons (John Q.) Hotels L.P. 8.88% 2004.................... 150,000 130,500
------------
223,313
------------
GAMING -- 0.3%
Station Casinos, Inc. 8.88% 2008............................ 50,000 47,625
------------
GROCERY -- 1.6%
Stater Brothers Holdings, Inc. 10.75% 2006.................. 105,000 84,000
Homeland Stores, Inc. 10.00% 2003........................... 150,000 102,000
Pathmark Stores, Inc. 9.63% 2003............................ 100,000 71,000
Pathmark Stores, Inc. 11.63% 2002........................... 50,000 15,500
------------
272,500
------------
</TABLE>
---------------------
10
<PAGE> 11
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 3.7%
Alaris Medical Systems, Inc. 9.75% 2006..................... $ 75,000 $ 49,500
Alaris Medical, Inc. zero coupon 2008 (1)................... 100,000 15,250
Beverly Enterprises, Inc. 9.00% 2006........................ 150,000 123,750
DJ Orthopedics LLC 12.63% 2009*............................. 100,000 95,000
Mediq/Life Support Services, Inc. 11.00% 2008............... 150,000 15,000
Tenet Healthcare Corp. 8.13% 2008*.......................... 100,000 91,250
Triad Hospitals Holdings, Inc. 11.00% 2009*................. 105,000 107,363
Universal Hospital Services, Inc. 10.25% 2008............... 250,000 142,500
------------
639,613
------------
INDUSTRIAL & COMMERCIAL -- 6.8%
Allied Waste North America, Inc. 7.88% 2009................. 150,000 129,000
Allied Waste North America, Inc. 10.00% 2009................ 50,000 42,250
Anthony Crane Rental LP 10.38% 2008......................... 150,000 96,375
Grove Worldwide LLC 9.25% 2008.............................. 180,000 69,750
Henry Co. 10.00% 2008....................................... 130,000 84,500
International Wire Group, Inc. 11.75% 2005.................. 150,000 150,750
It Group, Inc. 11.25% 2009.................................. 150,000 134,250
Mastec, Inc. 7.75% 2008..................................... 50,000 46,000
Neenah Corp, Series B 11.13% 2007........................... 75,000 55,125
South Carolina G Holding Corp. 12.00% 2009.................. 65,000 69,387
Unitied Rentals, Inc. 9.00% 2009............................ 100,000 88,500
Waste Management, Inc. 7.65% 2011........................... 100,000 90,673
WESCO Distribution, Inc., Series B 9.13% 2008............... 150,000 137,250
------------
1,193,810
------------
INFORMATION TECHNOLOGY -- 13.0%
Advanced Micro Devices, Inc. 11.00% 2003.................... 135,000 138,375
Amkor Technology, Inc. 9.25% 2006*.......................... 150,000 147,938
Amkor Technology, Inc. 10.50% 2009.......................... 100,000 99,750
Cooperative Computing, Inc. 9.00% 2008...................... 145,000 52,200
Decision Holdings Corp. zero coupon 2008 (1)................ 500,000 3,750
Details Capital Corp. zero coupon 2007...................... 100,000 64,000
Exodus Communications, Inc. 11.25% 2008..................... 100,000 99,000
Exodus Communications, Inc. 11.63% 2010*.................... 100,000 100,250
Fairchild Semiconductor Corp. 10.13% 2007*.................. 50,000 50,375
Fairchild Semiconductor Corp. 10.38% 2007................... 100,000 101,750
Fisher Scientific International, Inc. 9.00% 2008............ 75,000 68,625
Flextronics International Ltd. 9.88% 2010*.................. 125,000 125,937
Intersil Corp. 13.25% 2009.................................. 140,000 159,950
Hadco Corp. 9.50% 2008...................................... 50,000 50,000
Mcms, Inc. 9.75% 2008*...................................... 225,000 135,000
Samsung Electronics America, Inc. 9.75% 2003*............... 150,000 155,437
Verio, Inc. 10.38% 2005..................................... 100,000 106,500
Verio, Inc. 11.25% 2008*.................................... 250,000 280,625
Viasystems Group, Inc. 9.75% 2007........................... 275,000 237,875
Zilog, Inc., Series B 9.50% 2005............................ 100,000 86,500
------------
2,263,837
------------
</TABLE>
---------------------
11
<PAGE> 12
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
METALS & MINERALS -- 4.5%
A.K. Steel Holding Corp. 9.13% 2006......................... $100,000 $ 95,750
Alaska Steel Corp. 7.88% 2009............................... 50,000 44,375
Algoma Steel, Inc 12.38% 2005............................... 50,000 43,500
Bayou Steel Corp. 9.50% 2008................................ 150,000 123,000
Bucyrus International, Inc. 9.75% 2007...................... 150,000 29,813
Bulong Operations Property Ltd. 12.50% 2008................. 65,000 31,037
Freeport-McMoRan Copper & Gold 7.50% 2006................... 100,000 67,000
Kaiser Aluminum & Chemical Corp. 9.88% 2002................. 20,000 19,200
LTV Corp. 11.75% 2009....................................... 150,000 126,000
Pillowtex Corp. 9.00% 2007.................................. 175,000 62,125
Weirton Steel Corp. 11.38% 2004............................. 150,000 147,000
------------
788,800
------------
PAPER PRODUCTS -- 6.1%
APP International Finance Co. 11.75% 2005................... 100,000 70,000
BWAY Corp. 10.25% 2007...................................... 75,000 71,062
Container Corp. of America 9.75% 2003....................... 150,000 149,250
Gaylord Container Corp. 9.88% 2008.......................... 200,000 130,000
Millar Western Forest Products Ltd. 9.88% 2008.............. 175,000 163,625
Pacifica Papers, Inc. 10.00% 2009........................... 50,000 49,750
Paperboard Industries International, Inc. 8.38% 2007........ 100,000 82,000
Repap New Brunswick, Inc. 9.00% 2004........................ 100,000 94,500
Repap New Brunswick, Inc. 10.63% 2005....................... 75,000 66,000
Silgan Holdings Corp. 9.00% 2009............................ 100,000 94,500
Silgan Holdings Corp. 13.25% 2006 (3)....................... 80,000 85,400
------------
1,056,087
------------
REAL ESTATE -- 3.1%
Beazer Homes USA, Inc. 8.88% 2008........................... 250,000 225,000
Dr. Horton, Inc. 8.00% 2009................................. 100,000 86,000
Ryland Group, Inc. 8.25% 2008............................... 100,000 82,000
Standard Pacific Corp. 8.50% 2009........................... 75,000 67,500
Webb Delaware Corp. 10.25% 2010............................. 100,000 86,750
------------
547,250
------------
TELECOMMUNICATIONS -- 12.7%
Callable Net Enterprises, Inc. 9.38% 2009................... 150,000 91,500
Echostar DBS Corp. 9.25% 2006............................... 50,000 48,250
Flag Ltd. 8.25% 2008........................................ 100,000 88,000
Flag Telecom Holdings Ltd. 11.63% 2010...................... 100,000 96,250
Global Crossing Holdings Ltd. 9.13% 2006.................... 150,000 144,000
Global Crossings Holdings Ltd. 9.63% 2008................... 50,000 48,750
GST Telecommunications, Inc. 12.75% 2007.................... 100,000 14,000
GT Group Telecom, Inc. zero coupon 2010*.................... 100,000 55,500
Hyperion Telecommunications, Inc. 12.25% 2004............... 130,000 131,950
Intermedia Communications, Inc. 8.60% 2008.................. 100,000 92,000
Intermedia Communications, Inc. 9.50% 2009.................. 50,000 47,500
Iridium LLC 10.88% 2005 (2)................................. 150,000 4,875
Iridium Capital Corp. 14.00% 2005 (2)....................... 100,000 3,250
McLeodUSA, Inc. 9.25% 2007.................................. 200,000 192,500
Metromedia Fiber Network, Inc. 10.00% 2009.................. 95,000 93,575
Millicom., Inc. Cellular SA zero coupon 2006 (1)............ 100,000 86,000
North Point Communications 12.88% 2010...................... 100,000 72,000
PSINet, Inc. 10.00% 2005.................................... 65,000 59,800
RCN Corp. 10.00% 2007....................................... 100,000 85,000
Rhythms Netconnections, Inc. 14.00% 2010*................... 100,000 70,500
Telewest Communication PLC 9.88% 2010*...................... 100,000 95,250
Teligent, Inc. 11.50% 2007.................................. 100,000 79,000
Time Warner Telecom, Inc. 9.75% 2008........................ 100,000 97,000
</TABLE>
---------------------
12
<PAGE> 13
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS (continued)
Viatel, Inc. 11.50% 2009*................................... $100,000 $ 76,000
Williams Communications Group 10.88% 2009................... 150,000 147,000
Winstar Communications, Inc. 12.50% 2008*................... 200,000 190,000
------------
2,209,450
------------
TRANSPORTATION -- 2.3%
TFM SA de CV 10.25% 2007.................................... 75,000 66,375
Atlas Air, Inc. 10.75% 2005................................. 150,000 151,500
Hermes Europe Railtel 11.50% 2007........................... 145,000 118,538
TFM SA de CV zero coupon 2009 (1)........................... 100,000 68,500
------------
404,913
------------
UTILITIES -- 1.5%
TNP Enterprises, Inc. 10.25% 2010*.......................... 100,000 102,500
CMS Energy Corp. 7.63% 2004................................. 175,000 165,358
------------
267,858
------------
TOTAL BONDS & NOTES (cost $18,087,057)...................... 15,599,861
------------
<CAPTION>
COMMON STOCK -- 0.0% SHARES
--------------------------------------------------------------------------------------
<S> <C> <C>
GAMING -- 0.0%
Fitzgeralds Gaming Corp. (4)(5)............................. 3,762 38
------------
MULTI-INDUSTRY -- 0.0%
Sinking Fund Holdings Group, Inc.* (4)...................... 62 6
------------
TOTAL COMMON STOCK (cost $279).............................. 44
------------
PREFERRED STOCK -- 3.2%
--------------------------------------------------------------------------------------
COMMUNICATIONS & MEDIA -- 0.4%
Granite Broadcasting Corp. 12.75% (2)....................... 75 64,500
------------
ENERGY -- 0.7%
R & B Falcon Corp. 13.88% (3)............................... 115 130,525
------------
INDUSTRIAL & COMMERCIAL -- 0.5%
Fairfield Manufacturing, Inc. 11.25% (2).................... 100 85,250
------------
MULTI-INDUSTRY -- 0.4%
Sinking Fund Holdings Group, Inc. Series B 13.75%* (2)(4)... 18 73,857
------------
TELECOMMUNICATIONS -- 1.2%
Nextlink Communications, Inc., Series B 13.50%.............. 212 209,085
------------
TOTAL PREFERRED STOCK (cost $558,747)....................... 563,217
------------
<CAPTION>
WARRANTS -- 0.4%+
--------------------------------------------------------------------------------------
<S> <C> <C>
COMMUNICATIONS & MEDIA -- 0.0%
Benedek Communications Corp.* (4)........................... 2,000 4,000
------------
TELECOMMUNICATIONS -- 0.4%
Concentric Network Corp. (4)................................ 130 61,100
------------
TOTAL WARRANTS (cost $13,800)............................... 65,100
------------
TOTAL INVESTMENT SECURITIES (cost $18,659,883).............. 16,228,222
------------
</TABLE>
---------------------
13
<PAGE> 14
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 0.8% AMOUNT VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.8%
ValuJet, Inc. 10.25% 4/15/01................................ $150,000 $ 135,750
------------
TOTAL SHORT-TERM SECURITIES (cost $144,862)................. 135,750
------------
REPURCHASE AGREEMENT -- 3.6%
--------------------------------------------------------------------------------------
Joint Repurchase Agreement Account (See Note 3)
(cost $625,000)........................................... 625,000 625,000
------------
TOTAL INVESTMENTS --
(cost $19,429,745) 97.4% 16,988,972
Other assets less liabilities -- 2.6 453,893
------ ------------
NET ASSETS -- 100.0% $17,442,865
====== ============
</TABLE>
-----------------------------
+ Non-income producing security.
* 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) Bond in default
(3) PIK ("Payment-in-Kind") payment made with additional security
in lieu of cash
(4) Fair valued security; See Note 2
(5) Restricted security -- Security is not registered under the
Securities act of 1933
See Notes to Financial Statements.
---------------------
14
<PAGE> 15
---------------------
ANCHOR SERIES TRUST
GROWTH AND INCOME
PORTFOLIO INVESTMENT PORTFOLIO -- JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 99.6% SHARES VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 3.9%
Retail -- 3.9%
Staples, Inc.+.............................................. 9,000 $ 138,375
Target Corp. ............................................... 6,300 365,400
Wal-Mart Stores, Inc. ...................................... 22,300 1,285,038
------------
1,788,813
------------
CONSUMER STAPLES -- 4.8%
Food, Beverage & Tobacco -- 2.6%
Anheuser-Busch Cos., Inc. .................................. 5,900 440,656
Coca-Cola Co. .............................................. 1,700 97,644
PepsiCo, Inc. .............................................. 14,300 635,457
Household Products -- 2.2%
Gillette Co. ............................................... 5,300 185,169
Kimberly-Clark Corp. ....................................... 7,500 430,312
Procter & Gamble Co. ....................................... 6,600 377,850
------------
2,167,088
------------
ENERGY -- 6.9%
Energy Services -- 1.5%
Schlumberger Ltd. .......................................... 9,400 701,475
Energy Sources -- 5.4%
Chevron Corp. .............................................. 5,100 432,544
Exxon Mobil Corp. .......................................... 15,300 1,201,050
Royal Dutch Petroleum Co. .................................. 9,500 584,844
Unocal Corp. ............................................... 6,400 212,000
------------
3,131,913
------------
FINANCE -- 12.3%
Banks -- 4.8%
Chase Manhattan Corp. ...................................... 5,850 269,466
Citigroup, Inc. ............................................ 17,925 1,079,981
U.S. Bancorp................................................ 20,800 400,400
Wachovia Corp. ............................................. 8,000 434,000
Financial Services -- 3.3%
Associates First Capital Corp., Class A..................... 21,500 479,719
Federal National Mortgage Association....................... 3,800 198,312
Goldman Sachs Group, Inc. .................................. 1,400 132,825
Merrill Lynch & Co., Inc. .................................. 5,900 678,500
Insurance -- 4.2%
American International Group, Inc.*......................... 7,750 910,625
Marsh & McLennan Cos., Inc. ................................ 9,500 992,156
------------
5,575,984
------------
</TABLE>
---------------------
15
<PAGE> 16
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 15.3%
Drugs -- 10.9%
American Home Products Corp. ............................... 15,800 $ 928,250
Bristol-Myers Squibb Co. ................................... 8,800 512,600
Johnson & Johnson........................................... 6,300 641,812
Merck & Co., Inc. .......................................... 9,000 689,625
Monsanto Co. ............................................... 5,600 253,400
Pfizer, Inc. ............................................... 22,100 1,060,800
Pharmacia Corp. ............................................ 16,880 872,485
Health Services -- 1.6%
Cardinal Health, Inc., Class A.............................. 5,900 436,600
HCA-The Healthcare Corp. ................................... 10,100 306,788
Medical Products -- 2.8%
Abbott Laboratories......................................... 16,000 713,000
Baxter International, Inc. ................................. 7,800 548,437
------------
6,963,797
------------
INDUSTRIAL & COMMERCIAL -- 8.8%
Aerospace & Military Technology -- 1.3%
General Motors Corp., Class H+.............................. 3,400 298,350
Honeywell International, Inc. .............................. 5,200 175,175
United Technologies Corp. .................................. 2,000 117,750
Business Services -- 0.5%
Waste Management, Inc. ..................................... 11,800 224,200
Electrical Equipment -- 4.0%
General Electric Co. ....................................... 33,800 1,791,400
Machinery -- 1.8%
Caterpillar, Inc. .......................................... 3,700 125,338
Corning, Inc. .............................................. 1,500 404,812
Illinois Tool Works, Inc. .................................. 3,300 188,100
Minnesota Mining & Manufacturing Co. ....................... 1,400 115,500
Multi-Industry -- 1.2%
Tyco International, Ltd. ................................... 11,700 554,288
------------
3,994,913
------------
INFORMATION & ENTERTAINMENT -- 6.5%
Broadcasting & Media -- 5.1%
AT&T Corp.-Liberty Media Group, Inc., Class A+.............. 21,800 528,650
Gannett, Inc. .............................................. 10,500 628,031
Sprint Corp. (PCS Group).................................... 8,200 487,900
Viacom, Inc. ............................................... 4,123 281,137
Walt Disney Co. ............................................ 9,900 384,244
Leisure & Tourism -- 1.4%
AMR Corp. .................................................. 8,200 216,787
McDonald's Corp. ........................................... 13,700 451,244
------------
2,977,993
------------
</TABLE>
---------------------
16
<PAGE> 17
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 30.8%
Communication Equipment -- 6.5%
Cisco Systems, Inc.+........................................ 27,300 $ 1,735,256
Lucent Technologies, Inc. .................................. 12,800 758,400
Motorola, Inc. ............................................. 15,000 435,938
Computers & Business Equipment -- 6.1%
Dell Computer Corp.+........................................ 9,200 453,675
EMC Corp.+.................................................. 8,200 630,888
Hewlett-Packard Co. ........................................ 3,900 487,013
International Business Machines Corp. ...................... 8,200 898,412
Verisign, Inc. ............................................. 1,813 319,906
Electronics -- 8.7%
Analog Devices, Inc.+....................................... 7,700 585,200
Intel Corp. ................................................ 12,100 1,617,619
Micron Technology, Inc. .................................... 10,000 880,625
Solectron Corp. ............................................ 6,000 251,250
Texas Instruments, Inc. .................................... 8,700 597,581
Software -- 9.5%
America Online, Inc.+....................................... 11,900 627,725
Automatic Data Processing, Inc. ............................ 9,300 498,131
Computer Sciences Corp.+.................................... 7,100 530,281
eBay, Inc.+................................................. 2,600 141,213
Electronic Data Systems Corp. .............................. 2,600 107,250
First Data Corp. ........................................... 9,700 481,362
Microsoft Corp.+............................................ 21,000 1,680,000
Oracle Corp. ............................................... 3,200 269,000
------------
13,986,725
------------
MATERIALS -- 2.7%
Chemicals -- 1.3%
Dow Chemical Co. ........................................... 5,100 153,956
E.I. du Pont de Nemours & Co. .............................. 9,500 415,625
Forest Products -- 0.5%
International Paper Co. .................................... 8,400 250,425
Metals & Minerals -- 0.9%
Alcoa, Inc. ................................................ 13,600 394,400
------------
1,214,406
------------
UTILITIES -- 7.6%
Electric Utilities -- 1.3%
Duke Energy Corp. .......................................... 8,000 451,000
Unicom Corp. ............................................... 4,100 158,619
Telephone -- 6.3%
AT&T Corp. ................................................. 13,800 436,425
Bell Atlantic Corp. ........................................ 13,900 706,294
SBC Communications, Inc. ................................... 20,000 865,000
WorldCom, Inc. ............................................. 18,650 855,568
------------
3,472,906
------------
TOTAL INVESTMENT SECURITIES (cost $29,274,893).............. 45,274,538
------------
</TABLE>
---------------------
17
<PAGE> 18
<TABLE>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 0.6% AMOUNT VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost $295,000)........................................... $295,000 $ 295,000
------------
TOTAL INVESTMENTS --
(cost $29,569,893) 100.2% 45,569,538
Liabilities in excess of other assets -- (0.2) (108,076)
------ ------------
NET ASSETS -- 100.0% $45,461,462
====== ============
</TABLE>
-----------------------------
+ Non-income producing security
* Security represents an investment in an affiliated company
See Notes to Financial Statements.
---------------------
18
<PAGE> 19
---------------------
ANCHOR SERIES TRUST
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 97.6% SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 5.0%
Retail -- 5.0%
CVS Corp. .................................................. 145,102 $ 5,804,080
Dollar General Corp. ....................................... 311,468 6,073,626
Family Dollar Stores, Inc. ................................. 87,900 1,719,544
Home Depot, Inc. ........................................... 198,500 9,912,594
Target Corp. ............................................... 146,400 8,491,200
Wal-Mart Stores, Inc. ...................................... 254,000 14,636,750
Whole Foods Market, Inc.+................................... 28,900 1,193,931
-------------
47,831,725
-------------
CONSUMER STAPLES -- 2.9%
Food, Beverage & Tobacco -- 1.8%
Beringer Wine Estates Holdings, Inc., Class B+.............. 51,000 1,800,937
Coca-Cola Co. .............................................. 82,400 4,732,850
Pepsi Bottling Group, Inc. ................................. 43,600 1,272,575
PepsiCo, Inc. .............................................. 217,200 9,651,825
Household Products -- 1.1%
Gillette Co. ............................................... 142,800 4,989,075
Procter & Gamble Co. ....................................... 98,000 5,610,500
-------------
28,057,762
-------------
ENERGY -- 4.8%
Energy Services -- 2.2%
R & B Falcon Corp. ......................................... 454,100 10,699,731
Schlumberger Ltd. .......................................... 142,000 10,596,750
Energy Sources -- 2.6%
Exxon Mobil Corp. .......................................... 201,400 15,809,900
Murphy Oil Corp. ........................................... 30,000 1,783,125
Royal Dutch Petroleum Co. .................................. 122,700 7,553,719
-------------
46,443,225
-------------
FINANCE -- 9.7%
Banks -- 3.0%
Citigroup, Inc. ............................................ 257,450 15,511,362
State Street Corp. ......................................... 78,200 8,294,087
U.S. Bancorp................................................ 199,600 3,842,300
WestAmerica Bancorp......................................... 26,700 697,538
Wilmington Trust Corp. ..................................... 19,100 816,525
Financial Services -- 2.9%
Associates First Capital Corp. ............................. 285,900 6,379,144
Goldman Sachs Group, Inc. .................................. 90,600 8,595,675
Investment Technology Group, Inc............................ 50,500 2,149,406
Merrill Lynch & Co., Inc. .................................. 93,500 10,752,500
Insurance -- 3.8%
Ace Ltd. ................................................... 228,700 6,403,600
American International Group, Inc.*......................... 115,768 13,602,740
Marsh & McLennan Cos., Inc. ................................ 129,150 13,488,103
Reinsurance Group America, Inc. ............................ 86,725 2,612,591
-------------
93,145,571
-------------
</TABLE>
---------------------
19
<PAGE> 20
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 14.3%
Drugs -- 8.4%
ALZA Corp.+................................................. 33,900 $ 2,004,338
American Home Products Corp. ............................... 217,500 12,778,125
Genzyme Corp.+.............................................. 166,000 9,866,625
Immunex Corp.+.............................................. 265,600 13,130,600
Johnson & Johnson........................................... 78,500 7,997,187
Merck & Co., Inc. .......................................... 139,900 10,719,837
Pfizer, Inc. ............................................... 257,400 12,355,200
Pharmacia Corp. ............................................ 230,939 11,936,660
Health Services -- 2.6%
Cardinal Health, Inc., Class A.............................. 96,900 7,170,600
IMS Health, Inc. ........................................... 75,700 1,362,600
Laboratory Corp. of America Holdings+....................... 83,500 6,439,937
Quest Diagnostics, Inc. .................................... 95,800 6,855,687
Shared Medical Systems Corp. ............................... 34,200 2,494,463
Trigon Healthcare, Inc. .................................... 19,200 990,000
Medical Products -- 3.3%
Abbott Laboratories......................................... 205,500 9,157,594
Bausch & Lomb, Inc. ........................................ 32,700 2,530,163
Baxter International, Inc. ................................. 105,300 7,403,906
Biomet, Inc. ............................................... 52,700 2,025,656
Waters Corp. ............................................... 82,400 10,284,550
-------------
137,503,728
-------------
INDUSTRIAL & COMMERCIAL -- 9.5%
Aerospace & Military Technology -- 1.2%
General Motors Corp. ....................................... 72,700 6,379,425
United Technologies Corp. .................................. 90,000 5,298,750
Broadcasting & Media -- 0.6%
Voicestream Wireless Corp. ................................. 48,900 5,686,917
Business Services -- 2.9%
G & K Services, Inc., Class A............................... 79,000 1,979,938
Herman Miller, Inc. ........................................ 88,700 2,295,112
Ionics, Inc.+............................................... 63,200 1,935,500
Iron Mountain, Inc.+ ....................................... 245,300 8,340,200
Manpower, Inc. ............................................. 179,000 5,728,000
Tetra Tech, Inc.+........................................... 52,543 1,201,921
United Rentals, Inc.+....................................... 122,522 2,098,189
Waste Management, Inc. ..................................... 232,600 4,419,400
Electrical Equipment -- 2.9%
General Electric Co. ....................................... 464,400 24,613,200
Littelfuse, Inc.+........................................... 61,000 2,989,000
Machinery -- 1.9%
Corning, Inc. .............................................. 29,200 7,880,350
Illinois Tool Works, Inc. .................................. 50,000 2,850,000
Nordson Corp. .............................................. 21,500 1,088,438
Tyco International Ltd. .................................... 143,100 6,779,363
-------------
91,563,703
-------------
</TABLE>
---------------------
20
<PAGE> 21
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 8.4%
Broadcasting & Media -- 6.9%
Acxiom Corp.+............................................... 74,200 $ 2,021,950
American Tower Corp., Class A............................... 326,300 13,602,631
AT&T Corp.-Liberty Media Group, Inc., Class A+.............. 510,800 12,386,900
Catalina Marketing Corp.+................................... 22,000 2,244,000
Gannett Co., Inc. .......................................... 110,000 6,579,375
Sprint Corp. (PCS Group).................................... 152,900 9,097,550
TMP Worldwide, Inc. ........................................ 29,000 2,140,563
Viacom, Inc. ............................................... 173,274 11,815,121
Walt Disney Co. ............................................ 176,900 6,865,931
Entertainment Products -- 0.2%
Speedway Motorsports, Inc.+................................. 77,900 1,791,700
Leisure & Tourism -- 1.3%
AMR Corp. .................................................. 113,300 2,995,369
McDonald's Corp. ........................................... 196,000 6,455,750
Ryanair Holdings PLC ADR+................................... 78,800 2,876,200
-------------
80,873,040
-------------
INFORMATION TECHNOLOGY -- 35.2%
Communication Equipment -- 7.1%
Cisco Systems, Inc.+........................................ 383,600 24,382,575
CommScope, Inc.+............................................ 53,600 2,197,600
Digital Microwave Corp.+.................................... 49,900 1,902,438
JDS Uniphase Corp.+ ........................................ 33,700 4,039,787
Lucent Technologies, Inc. .................................. 178,468 10,574,229
Motorola, Inc. ............................................. 231,900 6,739,594
Nokia Corp., Class A ADR.................................... 201,400 10,057,412
Nortel Networks Corp. ...................................... 56,200 3,835,650
Tellabs, Inc.+.............................................. 61,100 4,181,531
Computers & Business Equipment -- 3.7%
Affiliated Computer Services, Inc.+......................... 27,800 919,138
Dell Computer Corp.+........................................ 108,700 5,360,269
EMC Corp.+.................................................. 97,000 7,462,937
Hewlett-Packard Co. ........................................ 60,600 7,567,425
International Business Machines Corp. ...................... 112,500 12,325,781
Symbol Technologies, Inc. .................................. 33,375 1,802,250
Electronics -- 9.6%
Analog Devices, Inc.+....................................... 52,700 4,005,200
Applied Materials, Inc.+.................................... 92,400 8,373,750
Broadcom Corp., Class A+.................................... 31,700 6,940,319
Burr-Brown Corp.+........................................... 22,300 1,933,131
Dallas Semiconductor Corp. ................................. 55,200 2,249,400
Flextronics International Ltd.+............................. 123,300 8,469,169
Intel Corp. ................................................ 152,000 20,320,500
Intuit, Inc.+............................................... 158,400 6,553,800
Lattice Semiconductor Corp.+................................ 27,600 1,907,850
Micron Technology, Inc. .................................... 165,000 14,530,312
Novellus Systems, Inc. ..................................... 124,600 7,047,688
Solectron Corp. ............................................ 45,800 1,917,875
Texas Instruments, Inc. .................................... 118,800 8,160,075
</TABLE>
---------------------
21
<PAGE> 22
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Software -- 14.8%
America Online, Inc.+....................................... 238,800 $ 12,596,700
American Management Systems, Inc.+.......................... 59,700 1,959,839
Automatic Data Processing, Inc. ............................ 179,100 9,593,044
Ceridian Corp.+............................................. 297,900 7,168,219
Cognos, Inc.+............................................... 67,900 2,809,362
Computer Sciences Corp.+.................................... 90,000 6,721,875
DST Systems, Inc.+.......................................... 21,900 1,667,138
eBay, Inc.+................................................. 32,400 1,759,725
Electronic Data Systems Corp. .............................. 44,000 1,815,000
First Data Corp. ........................................... 130,000 6,451,250
Fiserv, Inc.+ .............................................. 28,000 1,211,000
Macromedia, Inc.+........................................... 129,000 12,472,687
Microsoft Corp.+............................................ 279,000 22,320,000
Nova Corp. ................................................. 72,100 2,014,294
Oracle Corp. ............................................... 45,000 3,782,812
Phone.com, Inc. ............................................ 22,700 1,478,338
Rational Software Corp.+.................................... 151,100 14,042,856
Sungard Data Systems, Inc. ................................. 33,400 1,035,400
Systems & Computer Technology Corp.+........................ 70,100 1,402,000
VeriSign, Inc. ............................................. 101,388 17,894,894
Verity, Inc. ............................................... 41,400 1,573,200
Vignette Corp. ............................................. 197,700 10,283,489
-------------
337,810,807
-------------
MATERIALS -- 1.3%
Chemicals -- 0.7%
E.I. du Pont de Nemours & Co. .............................. 109,300 4,781,875
Minerals Technologies, Inc. ................................ 33,900 1,559,400
Forest Products -- 0.6%
Bemis Co., Inc. ............................................ 63,000 2,118,375
Weyerhaeuser Co. ........................................... 95,100 4,089,300
-------------
12,548,950
-------------
UTILITIES -- 6.5%
Electric Utilities -- 0.2%
Montana Power Co. .......................................... 59,800 2,111,688
Telephone -- 6.3%
Allegiance Telecom, Inc.+................................... 75,500 4,832,000
AT&T Corp. ................................................. 193,900 6,132,087
Bell Atlantic Corp. ........................................ 158,800 8,069,025
Global Crossing Ltd. ....................................... 74,200 1,952,388
McLeodUSA, Inc.+............................................ 402,600 8,328,787
Nextel Partners Inc. ....................................... 6,000 195,375
SBC Communications, Inc. ................................... 226,800 9,809,100
TeleCorp PCS, Inc. ......................................... 201,500 8,122,969
WorldCom, Inc.+............................................. 275,200 12,624,800
-------------
62,178,219
-------------
TOTAL INVESTMENT SECURITIES (cost $604,820,880)............. 937,956,730
-------------
</TABLE>
---------------------
22
<PAGE> 23
<TABLE>
PRINCIPAL
REPURCHASE AGREEMENT -- 2.4% AMOUNT VALUE
-----------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost $23,425,000)........................................ $23,425,000 $ 23,425,000
TOTAL INVESTMENTS --
(cost $628,245,880) 100.0% 961,381,730
Other assets less liabilities -- 0.0 (468,888)
------ -------------
NET ASSETS -- 100.0% $960,912,842
====== =============
</TABLE>
-----------------------------
+ Non-income producing security
* Security represents an investment in an affiliated company
ADR--American Depository Receipt
See Notes to Financial Statements
---------------------
23
<PAGE> 24
---------------------
ANCHOR SERIES TRUST
CAPITAL APPRECIATION
PORTFOLIO INVESTMENT PORTFOLIO -- JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 87.3% SHARES VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 1.6%
Retail -- 1.6%
Bed Bath & Beyond, Inc.+.................................... 750,000 $ 27,187,500
Home Depot, Inc. ........................................... 182,500 9,113,594
---------------
36,301,094
---------------
CONSUMER STAPLES -- 2.2%
Food, Beverage & Tobacco -- 1.7%
McCormick & Co., Inc. ...................................... 122,500 3,981,250
PepsiCo, Inc. .............................................. 325,000 14,442,188
Sara Lee Corp. ............................................. 1,050,000 20,278,125
Household Products -- 0.5%
Kimberly-Clark Corp. ....................................... 175,000 10,040,625
---------------
48,742,188
---------------
ENERGY -- 0.7%
Energy Sources -- 0.7%
Transocean Sedco Forex, Inc. ............................... 285,000 15,229,688
---------------
FINANCE -- 2.1%
Banks -- 0.2%
Cullen/Frost Bankers, Inc. ................................. 209,700 5,517,731
Financial Services -- 0.7%
Associates First Capital Corp. ............................. 699,000 15,596,438
Insurance -- 1.2%
Ace Ltd..................................................... 674,900 18,897,200
American General Corp. ..................................... 115,000 7,015,000
---------------
47,026,369
---------------
HEALTHCARE -- 12.9%
Drugs -- 9.5%
AstraZeneca Group PLC....................................... 760,000 35,340,000
Forest Labs, Inc. .......................................... 179,800 18,159,800
Gene Logic.................................................. 100,000 3,568,750
Genset SA................................................... 360,000 8,325,000
Genzyme Corp.+.............................................. 711,800 42,307,612
Gilead Sciences, Inc.+...................................... 205,000 14,580,625
Human Genome Sciences, Inc.+................................ 124,800 16,645,200
Immunex Corp.+.............................................. 955,200 47,222,700
Millennium Pharmaceuticals, Inc.+........................... 113,600 12,709,000
Pharmacia Corp. ............................................ 297,500 15,377,031
Health Services -- 1.1%
IMS Health, Inc. ........................................... 800,000 14,400,000
Quest Diagnostics, Inc. .................................... 142,100 10,169,031
</TABLE>
---------------------
24
<PAGE> 25
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (continued)
Medical Products -- 2.3%
Aclara Biosciences, Inc.+ .................................. 139,200 $ 7,090,500
Baxter International, Inc. ................................. 305,000 21,445,313
Boston Scientific Corp.+.................................... 634,000 13,908,375
Varian Medical Systems, Inc. ............................... 290,000 11,346,250
---------------
292,595,187
---------------
INDUSTRIAL & COMMERCIAL -- 8.4%
Aerospace & Military Technology -- 1.3%
General Motors Corp., Class H .............................. 235,000 20,621,250
United Technologies Corp. .................................. 150,000 8,831,250
Business Services -- 2.8%
Iron Mountain, Inc.+........................................ 668,600 22,732,400
Manpower, Inc. ............................................. 325,000 10,400,000
NCO Group, Inc.+............................................ 368,800 8,528,500
Pegasus Systems, Inc. ...................................... 335,600 3,649,650
Waste Management, Inc. ..................................... 975,000 18,525,000
Machinery -- 3.6%
Corning, Inc. .............................................. 203,600 54,946,550
Illinois Tool Works, Inc. .................................. 191,300 10,904,100
Tyco International Ltd. .................................... 325,000 15,396,875
Transportation -- 0.7%
Atlas Air, Inc.+............................................ 280,000 10,045,000
Werner Enterprises, Inc. ................................... 475,000 5,492,187
---------------
190,072,762
---------------
INFORMATION & ENTERTAINMENT -- 22.9%
Broadcasting & Media -- 18.8%
Alamosa PCS Holdings, Inc.+................................. 89,500 1,868,313
American Tower Corp., Class A............................... 928,400 38,702,675
AMFM, Inc.+................................................. 264,280 18,235,320
AT&T Corp.-Liberty Media Group, Inc., Class A+.............. 3,013,000 73,065,250
Clear Channel Communications, Inc.+......................... 200,000 15,000,000
Crown Castle International Corp.+*.......................... 605,100 22,086,150
E.W. Scripps Co., Class A................................... 255,100 12,563,675
EchoStar Communications Corp., Class A+..................... 790,200 26,163,028
Promotora de Informaciones SA (Prisa)+...................... 51,015 1,183,508
Infinity Broadcasting Corp., Class A+....................... 650,000 23,684,375
Pegasus Communications Corp. ............................... 446,600 21,911,313
Primacom AG ADR............................................. 426,800 10,136,500
Rural Cellular Corp. ....................................... 204,100 15,626,406
Sprint Corp. (PCS Group).................................... 760,000 45,220,000
Telecom Italia Mobile SpA .................................. 1,472,400 15,041,000
TV Guide, Inc. ............................................. 409,600 14,028,800
UnitedGlobalCom+............................................ 361,400 16,895,450
Univision Communications, Inc., Class A+.................... 151,400 15,669,900
US Unwired, Inc. ........................................... 375,700 4,884,100
USA Networks, Inc. ......................................... 350,000 7,568,750
Voicestream Wireless Corp. ................................. 179,400 20,863,659
Westwood One, Inc. ......................................... 180,000 6,142,500
Electronics -- 1.2%
Newport Corp. .............................................. 245,100 26,317,612
Entertainment Products -- 1.6%
Koninklijke (Royal) Philips Electronics NV ADR+............. 770,000 36,575,000
</TABLE>
---------------------
25
<PAGE> 26
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (continued)
Leisure & Tourism -- 1.3%
AMR Corp. .................................................. 366,800 $ 9,697,275
Ryanair Holdings PLC ADR+................................... 546,800 19,958,200
---------------
519,088,759
---------------
INFORMATION TECHNOLOGY -- 27.7%
Communication Equipment -- 5.8%
3Com Corp.+................................................. 1,044,400 60,183,550
Cabletron Systems, Inc.+.................................... 479,400 12,104,850
Comverse Technology, Inc.+.................................. 100,000 9,300,000
Digital Microwave Corp.+.................................... 307,500 11,723,437
Flag Telecom Holdings Ltd. ................................. 301,300 4,481,838
Gilat Satellite Networks Ltd.+.............................. 125,000 8,671,875
Lucent Technologies, Inc. .................................. 162,250 9,613,313
Mobile Telesystems Sponsored ADR............................ 219,800 4,918,025
REMEC, Inc. ................................................ 243,300 10,188,187
Computers & Business Equipment -- 4.1%
Handspring, Inc.+........................................... 260,900 7,044,300
Tritel, Inc. ............................................... 285,000 8,460,938
VeriSign, Inc. ............................................. 434,315 76,656,597
Electronics -- 8.1%
Analog Devices, Inc.+....................................... 667,400 50,722,400
Brooks Automation, Inc.+.................................... 196,800 12,582,900
EMCORE Corp.+............................................... 45,200 5,424,000
Flextronics International Ltd.+............................. 266,700 18,318,956
International Rectifier Corp.+.............................. 352,800 19,756,800
Methode Electronics, Inc. .................................. 147,300 5,689,463
Solectron Corp. ............................................ 525,000 21,984,375
Teradyne, Inc. ............................................. 160,000 11,760,000
Texas Instruments, Inc. .................................... 550,000 37,778,125
Software -- 9.7%
America Online, Inc.+....................................... 210,000 11,077,500
Avant! Corp.+............................................... 558,400 10,461,275
BISYS Group, Inc.+.......................................... 325,700 20,030,550
BMC Software, Inc.+......................................... 625,000 22,802,734
Ceridian Corp.+............................................. 275,000 6,617,188
Computer Sciences Corp.+.................................... 150,000 11,203,125
eBay, Inc.+................................................. 248,800 13,512,950
First Data Corp. ........................................... 555,000 27,541,875
HomeStore.com, Inc.+........................................ 438,400 12,795,800
Macromedia, Inc.+........................................... 220,400 21,309,925
Rational Software Corp.+.................................... 545,000 50,650,938
Vignette Corp. ............................................. 250,000 13,003,906
---------------
628,371,695
---------------
MATERIALS -- 1.0%
Forest Products -- 0.3%
Smurfit Stone Container Corp. .............................. 575,000 7,403,125
Metals & Minerals -- 0.7%
Freeport-McMoRan Copper & Gold, Inc., Class A............... 600,000 5,475,000
Freeport-McMoRan Copper & Gold, Inc., Class B .............. 400,000 3,700,000
Stillwater Mining Co.+...................................... 235,000 6,550,625
---------------
23,128,750
---------------
</TABLE>
---------------------
26
<PAGE> 27
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 7.8%
Electric Utilities -- 0.3%
Kansas City Power & Light Co. .............................. 340,000 $ 7,650,000
Telephone -- 7.5%
Allegiance Telecom, Inc.+................................... 195,000 12,480,000
Broadwing, Inc. ............................................ 325,000 8,429,687
China Unicom Ltd.+.......................................... 385,800 8,198,250
COLT Telecom Group PLC+..................................... 600,000 19,972,916
Global Crossing Ltd. ....................................... 574,500 15,116,531
Intermedia Communications, Inc.+............................ 514,500 15,306,375
KPNQwest B V+............................................... 169,300 6,708,513
McLeodUSA, Inc.+............................................ 613,800 12,697,987
MGC Communications, Inc.+................................... 92,400 5,538,225
Nextel Partners, Inc. ...................................... 143,900 4,685,744
NTL, Inc.+.................................................. 515,500 30,865,562
TeleCorp PCS, Inc. ......................................... 383,100 15,443,719
Telewest Communications..................................... 661,500 2,282,087
WorldCom, Inc. ............................................. 247,500 11,354,062
---------------
176,729,658
---------------
TOTAL COMMON STOCK (cost $1,255,799,526).................... 1,977,286,150
---------------
<CAPTION>
PREFERRED STOCK -- 0.9%
--------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 0.9%
Broadcasting & Media -- 0.9%
News Corp. Ltd. ADR
(cost $13,360,979)........................................ 455,000 21,612,500
---------------
TOTAL INVESTMENT SECURITIES (cost $1,269,160,505)........... 1,998,898,650
---------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 9.5% AMOUNT
--------------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost $214,540,000)....................................... $214,540,000 214,540,000
---------------
TOTAL INVESTMENTS --
(cost $1,483,700,505) 97.7% 2,213,438,650
Other assets less liabilities -- 2.3 52,281,088
------ ---------------
NET ASSETS -- 100.0% $2,265,719,738
====== ===============
</TABLE>
-----------------------------
+ Non-income producing security
* Security represents an investment in an affiliated company
ADR -- American Depository Receipt
See Notes to Financial Statements
---------------------
27
<PAGE> 28
---------------------
ANCHOR SERIES TRUST
NATURAL RESOURCES
PORTFOLIO INVESTMENT PORTFOLIO -- JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 97.0% SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 68.9%
Energy Services -- 17.1%
Baker Hughes, Inc. ......................................... 43,700 $ 1,398,400
Grant Prideco, Inc. ........................................ 15,100 377,500
Halliburton Co. ............................................ 22,300 1,052,281
McDermott International, Inc. .............................. 80,500 709,406
Nabors Industries, Inc.+.................................... 24,400 1,014,125
Precision Drilling Corp. ................................... 32,700 1,263,811
Pride International, Inc. .................................. 41,500 1,027,125
R & B Falcon Corp. ......................................... 66,000 1,555,125
Rowan Cos., Inc.+........................................... 48,800 1,482,300
Transocean Sedco Forex, Inc. ............................... 16,300 871,031
Weatherford International, Inc.+............................ 26,500 1,055,032
Energy Sources -- 51.8%
Alberta Energy Co., Ltd. ................................... 31,600 1,276,811
Canadian Natural Resources Ltd. ADR+........................ 79,600 2,312,703
Canadian Occidental Petroleum Ltd. ......................... 53,700 1,456,794
Chevron Corp. .............................................. 16,700 1,416,369
Cross Timbers Oil Co. ...................................... 119,800 2,650,575
EOG Resources, Inc. ........................................ 86,150 2,886,025
Evergreen Resources, Inc.+.................................. 55,100 1,632,338
Exxon Mobil Corp. .......................................... 34,542 2,711,547
Gulf Canada Resource Ltd. .................................. 270,088 1,259,194
Imperial Oil Ltd. .......................................... 58,700 1,433,787
Kerr-McGee Corp. ........................................... 16,900 996,044
Norsk Hydro ASA ADR......................................... 44,500 1,871,781
Ocean Energy, Inc.+......................................... 70,600 1,001,637
Petro Canada................................................ 88,700 1,699,084
Renaissance Energy Ltd. .................................... 8,681 84,170
Repsol SA ADR............................................... 70,000 1,386,875
Shell Transport & Trading Co. PLC ADR....................... 30,500 1,523,094
Suncor Energy, Inc. ........................................ 103,300 2,387,068
Sunoco, Inc. ............................................... 31,300 921,394
Talisman Energy, Inc.+...................................... 51,000 1,690,236
Total SA ADR................................................ 17,600 1,351,900
Union Pacific Resources Group, Inc. ........................ 79,800 1,755,600
------------
47,511,162
------------
</TABLE>
---------------------
28
<PAGE> 29
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS -- 28.1%
Metals & Minerals -- 25.3%
Alcan Aluminum Ltd. ........................................ 23,100 $ 716,100
Alcoa, Inc. ................................................ 44,800 1,299,200
Barrick Gold Corp. ......................................... 66,100 1,202,194
Billiton PLC................................................ 180,700 735,492
Cleveland-Cliffs, Inc. ..................................... 108,200 2,792,913
Compania De Minas Buenaventura SA, Series B ADR............. 60,300 1,043,944
DeBeers Consolidated Mines Ltd. ADR......................... 88,000 2,139,500
Freeport-McMoRan Copper & Gold, Inc., Class A............... 323,700 2,953,762
Rio Tinto PLC............................................... 39,983 653,381
Stillwater Mining Co.+...................................... 88,725 2,473,209
UCAR International, Inc. ................................... 53,700 701,456
USX United States Steel Group............................... 35,100 651,544
Paper Products -- 2.8%
Smurfit Stone Container Corp. .............................. 80,000 1,030,000
Weyerhaeuser Co. ........................................... 21,700 933,100
------------
19,325,795
------------
TOTAL INVESTMENT SECURITIES (cost $57,016,276).............. 66,836,957
------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 3.5% AMOUNT
---------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost $2,435,000)......................................... $2,435,000 2,435,000
------------
TOTAL INVESTMENTS -- (cost $59,451,276) 100.5% 69,271,957
Liabilities in excess of other
assets -- (0.5) (338,135)
------ ------------
NET ASSETS -- 100.0% $68,933,822
====== ============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR -- American Depository Receipt
See Notes to Financial Statements.
---------------------
29
<PAGE> 30
---------------------
ANCHOR SERIES TRUST
MULTI-ASSET PORTFOLIO INVESTMENT PORTFOLIO -- JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 60.4% SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
CORE EQUITY -- 60.4%
Aerospace & Military Technology -- 0.6%
United Technologies Corp. .................................. 12,700 $ 747,713
Automotive -- 0.5%
General Motors Corp. ....................................... 7,000 614,250
Banks -- 2.4%
Chase Manhattan Corp. ...................................... 12,000 552,750
Citigroup, Inc. ............................................ 28,650 1,726,163
State Street Corp. ......................................... 5,900 625,769
Broadcasting & Media -- 4.1%
AT&T Corp. -- Liberty Media Group, Inc., Class A+........... 61,000 1,479,250
Gannett Co., Inc. .......................................... 18,400 1,100,550
Sprint Corp. (PCS Group).................................... 16,900 1,005,550
Viacom, Inc. ............................................... 19,742 1,346,157
Business Services -- 0.5%
Waste Management, Inc. ..................................... 31,300 594,700
Chemicals -- 0.7%
Dow Chemical Co............................................. 15,900 479,981
E.I. du Pont de Nemours & Co. .............................. 9,000 393,750
Communication Equipment -- 3.8%
Cisco Systems, Inc.+ ....................................... 45,400 2,885,738
Lucent Technologies, Inc. .................................. 21,700 1,285,725
Motorola, Inc. ............................................. 16,800 488,250
Computers & Business Equipment -- 2.8%
Dell Computer Corp.+ ....................................... 15,100 744,619
EMC Corp.+ ................................................. 8,400 646,275
Hewlett-Packard Co. ........................................ 4,900 611,887
International Business Machines Corp. ...................... 13,100 1,435,269
Drugs -- 6.1%
American Home Products Corp. ............................... 25,500 1,498,125
Bristol-Myers Squibb Co. ................................... 14,000 815,500
Johnson & Johnson........................................... 10,400 1,059,500
Merck & Co., Inc. .......................................... 14,000 1,072,750
Pfizer, Inc. ............................................... 37,800 1,814,400
Pharmacia Corp. ............................................ 22,012 1,137,745
Electric Utilities -- 0.6%
Duke Energy Corp. .......................................... 12,500 704,687
Electrical Equipment -- 2.4%
General Electric Co. ....................................... 53,700 2,846,100
Electronics -- 5.0%
Analog Devices, Inc.+ ...................................... 3,200 243,200
Intel Corp. ................................................ 17,700 2,366,268
Micron Technology, Inc. .................................... 11,200 986,300
Solectron Corp. ............................................ 19,400 812,375
Teradyne, Inc. ............................................. 8,600 632,100
Texas Instruments, Inc. .................................... 14,100 968,494
Energy Services -- 0.9%
Schlumberger Ltd. .......................................... 15,000 1,119,375
</TABLE>
---------------------
30
<PAGE> 31
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
CORE EQUITY (continued)
Energy Sources -- 3.2%
Conoco, Inc. ............................................... 27,900 $ 685,294
Exxon Mobil Corp. .......................................... 28,500 2,237,250
Texaco, Inc. ............................................... 17,200 915,900
Financial Services -- 1.9%
Associates First Capital Corp. ............................. 36,300 809,944
Goldman Sachs Group, Inc. .................................. 1,900 180,262
Merrill Lynch & Co., Inc. .................................. 11,400 1,311,000
Food, Beverage & Tobacco -- 1.6%
Anheuser-Busch Cos., Inc. .................................. 6,100 455,594
Coca-Cola Co. .............................................. 6,900 396,319
PepsiCo, Inc. .............................................. 24,000 1,066,500
Forest Products -- 0.5%
Weyerhaeuser Co. ........................................... 13,400 576,200
Health Services -- 0.6%
Cardinal Health, Inc., Class A.............................. 9,700 717,800
Household Products -- 1.5%
Gillette Co. ............................................... 12,000 419,250
Kimberly-Clark Corp. ....................................... 12,500 717,188
Procter & Gamble Co. ....................................... 11,200 641,200
Insurance -- 2.4%
American International Group, Inc.* ........................ 12,112 1,423,160
Marsh & McLennan Cos., Inc. ................................ 14,800 1,545,675
Leisure & Tourism -- 1.0%
AMR Corp. .................................................. 13,700 362,194
McDonald's Corp. ........................................... 25,600 843,200
Machinery -- 1.1%
Corning, Inc. .............................................. 3,300 890,587
Illinois Tool Works, Inc. .................................. 7,100 404,700
Medical Products -- 1.4%
Abbott Laboratories......................................... 25,900 1,154,169
Guidant Corp.+.............................................. 10,300 509,850
Metals & Minerals -- 0.6%
Alcoa, Inc. ................................................ 25,400 736,600
Multi-Industry -- 0.6%
Tyco International Ltd. .................................... 16,000 758,000
Retail -- 3.0%
Home Depot, Inc. ........................................... 17,850 891,384
Staples, Inc.+.............................................. 12,200 187,575
Target Corp. ............................................... 13,100 759,800
Wal-Mart Stores, Inc. ...................................... 31,800 1,832,475
Software -- 6.5%
America Online, Inc.+....................................... 19,100 1,007,525
Automatic Data Processing, Inc. ............................ 18,300 980,194
Computer Sciences Corp.+ ................................... 11,400 851,437
eBay, Inc.+................................................. 3,600 195,525
Electronic Data Systems Corp. .............................. 10,900 449,625
First Data Corp. ........................................... 9,600 476,400
Microsoft Corp.+............................................ 35,800 2,864,000
Oracle Corp. ............................................... 5,200 437,125
VeriSign, Inc. ............................................. 3,195 563,918
Telephone -- 3.9%
AT&T Corp. ................................................. 22,900 724,213
Bell Atlantic Corp. ........................................ 14,900 757,106
SBC Communications, Inc. ................................... 35,500 1,535,375
WorldCom, Inc. ............................................. 37,200 1,706,550
</TABLE>
---------------------
31
<PAGE> 32
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
CORE EQUITY (continued)
Transportation -- 0.2%
Caterpillar, Inc. .......................................... 8,700 $ 294,713
73,114,041
-------------
TOTAL COMMON STOCK (cost $46,821,349)....................... 73,114,041
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 33.3% AMOUNT
-----------------------------------------------------------------------------------------
<S> <C> <C>
CORE BOND -- 33.3%
AEROSPACE & MILITARY TECHNOLOGY -- 0.8%
Northrop Grumman Corp. 8.63% 2004........................... $ 1,000,000 1,030,340
ASSET-BACKED SECURITIES -- 0.9%
Aesop Funding II LLC 6.22% 2001#............................ 666,667 665,934
Chase Manhattan Auto Owner Trust 5.70% 2001................. 112,609 112,471
Honda Auto Receivables Grantor Trust 5.95% 2003............. 163,157 161,988
Nissan Auto Receivables Grantor 6.15% 2003.................. 119,137 118,392
CONSUMER STAPLES -- 0.5%
Coca-Cola Bottling Co. 6.38% 2009........................... 680,000 610,985
CONSUMER STAPLES -- 0.8%
Diageo Capital PLC 6.13% 2005............................... 1,000,000 941,990
ENERGY -- 0.8%
Husky Oil Ltd. 7.13% 2006................................... 1,000,000 944,530
FINANCE -- 6.3%
Ace Capital Trust II 9.70% 2030............................. 1,000,000 1,048,641
Bankers Trust Corp. 8.25% 2005.............................. 1,000,000 1,018,309
CIT Group, Inc. 5.50% 2004.................................. 1,000,000 925,585
First Financial Caribbean Corp. 7.84% 2006.................. 1,000,000 944,120
General Electric Capital Corp. 6.50% 2006................... 1,000,000 959,058
Lumbermans Mutual Casualty Co. 9.15% 2026#.................. 1,000,000 858,260
Security Benefit Life Co. 8.75% 2016#....................... 1,000,000 980,058
Sprint Capital Corp. 6.88% 2028............................. 1,000,000 869,270
INDUSTRIAL & COMMERCIAL -- 3.0%
CVS Corp. 5.50% 2004........................................ 1,000,000 942,708
Cummins Engine Co., Inc. 6.25% 2003......................... 1,000,000 957,607
FedEx Corp. 6.72% 2022...................................... 980,430 891,534
Tyco International Group SA 6.13% 2009...................... 1,000,000 884,200
MORTGAGE-RELATED SECURITIES -- 1.7%
CS First Boston Mortgage Securities Corp. 6.40% 2035........ 315,440 309,760
CS First Boston Mortgage Securities Corp. 7.24% 2029........ 1,000,000 987,580
Morgan Stanley Capital I, Inc. 6.25% 2007................... 740,624 716,616
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.8%
Quebec Province Canada 8.80% 2003........................... 1,000,000 1,040,640
U.S. GOVERNMENT & AGENCIES -- 13.7%
Federal Home Loan Mortgage Corp. 6.50% 2010 -- 2025......... 1,286,933 1,223,435
Federal National Mortgage Association 6.50% 2013 -- 2028.... 4,977,581 4,753,095
Government National Mortgage Association 6.50%
2023 -- 2029.............................................. 5,804,518 5,508,835
Government National Mortgage Association 7.00% 2029......... 1,922,857 1,868,767
United States Treasury Bonds 8.88% 2017 -- 2019............. 2,500,000 3,205,235
</TABLE>
---------------------
32
<PAGE> 33
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 4.0%
AT&T Corp. 5.63% 2004....................................... $ 850,000 $ 798,830
Coastal Corp. 7.75% 2010.................................... 1,000,000 988,670
Niagara Mohawk Power Corp. 5.88% 2002....................... 1,250,000 1,202,237
United States West Capital Funding, Inc. 6.38% 2008......... 1,000,000 904,839
WorldCom, Inc. 6.40% 2005................................... 1,000,000 947,875
-------------
40,322,394
-------------
TOTAL BONDS & NOTES (cost $41,815,168)...................... 40,322,394
-------------
TOTAL INVESTMENT SECURITIES (cost $88,636,517).............. 113,436,435
-------------
<CAPTION>
SHORT-TERM SECURITIES -- 0.6%
-----------------------------------------------------------------------------------------
<S> <C> <C>
United States Treasury Bills 5.84% due 8/3/00............... 775,000 763,873
-------------
TOTAL SHORT TERM SECURITIES (cost $763,873)................. 763,873
-------------
<CAPTION>
REPURCHASE AGREEMENT -- 4.3%
-----------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account@ (See Note 3) (cost
$5,160,000)............................................... 5,160,000 5,160,000
-------------
TOTAL INVESTMENTS --
(cost $94,560,390) 98.6% 119,360,308
Other assets less liabilities -- 1.4 1,745,546
------ -------------
NET ASSETS -- 100.0% $121,105,854
====== =============
</TABLE>
+ Non-Income producing security
* Security represents an investment in an affiliated company
# Resale restricted to qualified institutional buyers
@ The security or a portion thereof has been segregated as
collateral for the futures contracts
OPEN FUTURES CONTRACTS
------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION VALUE AT VALUE AS OF APPRECIATION/
CONTRACTS DESCRIPTION DATE TRADE DATE JUNE 30, 2000 (DEPRECIATION)
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
10 Long S&P 500..................... September 2000 $3,683,851 $3,670,250 $(13,601)
--------
Net Unrealized Depreciation.............................................. $(13,601)
========
</TABLE>
See Notes to Financial Statements.
---------------------
33
<PAGE> 34
---------------------
ANCHOR SERIES TRUST
STRATEGIC MULTI-ASSET
PORTFOLIO INVESTMENT PORTFOLIO -- JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 59.1% SHARES VALUE
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CAPITAL APPRECIATION -- 15.0%
Broadcasting & Media -- 2.1%
Clear Channel Communications, Inc.+......................... 800 $ 60,000
EchoStar Communications Corp., Class A+..................... 6,500 248,320
General Motors Corp. ....................................... 1,300 114,075
Rural Cellular Corp. ....................................... 2,600 199,063
E.W. Scripps Co., Class A................................... 3,000 147,750
Tritel, Inc. ............................................... 7,200 213,750
TV Guide, Inc. ............................................. 3,800 130,150
UnitedGlobalcom............................................. 6,500 303,875
USA Networks, Inc. ......................................... 5,000 108,125
Business Services -- 1.4%
Iron Mountain, Inc.+........................................ 10,120 344,080
Manpower, Inc. ............................................. 5,500 176,000
NCO Group, Inc.+............................................ 9,300 215,062
Pegasus Systems, Inc. ...................................... 6,740 59,160
Waste Management, Inc. ..................................... 13,000 247,000
Communication Equipment -- 1.1%
3Com Corp. ................................................. 6,300 363,037
American Tower Corp., Class A+.............................. 5,800 241,788
Cabletron Systems, Inc. .................................... 6,300 159,075
Storage Networks, Inc. ..................................... 100 9,025
Drugs -- 1.5%
Forest Labs, Inc. .......................................... 1,500 151,500
Genzyme Corp.+.............................................. 5,600 332,850
Gilead Sciences, Inc.+...................................... 3,200 227,600
Human Genome Sciences, Inc.+................................ 600 80,025
Immunex Corp.+.............................................. 6,100 286,738
Electric Utilities -- 0.2%
Kansas City Power & Light Co. .............................. 7,000 157,500
Electronics -- 1.4%
Brooks Automation, Inc. .................................... 2,000 191,812
Capstone Turbine Corp. ..................................... 500 22,531
Flextronics International Ltd.+............................. 2,400 164,850
International Rectifier Corp. .............................. 5,200 263,200
Methode Electronics, Inc. .................................. 2,000 77,250
Newport Corp. .............................................. 1,500 161,063
Texas Instruments, Inc. .................................... 2,300 157,981
Financial Services -- 0.2%
Associates First Capital Corp. ............................. 5,700 127,181
Food, Beverage & Tobacco -- 0.3%
Sara Lee Corp. ............................................. 13,000 251,062
Forest Products -- 0.2%
Smurfit Stone Container Corp. .............................. 11,700 150,638
Health Services -- 0.5%
IMS Health, Inc. ........................................... 11,100 199,800
Quest Diagnostics, Inc. .................................... 2,000 143,125
</TABLE>
---------------------
34
<PAGE> 35
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CAPITAL APPRECIATION (continued)
Information & Entertainment -- 0.3%
Primacom AG ADR (1)......................................... 10,500 $ 249,375
Leisure & Tourism -- 0.7%
AMR Corp. .................................................. 4,200 111,037
Ryanair Holdings PLC ADR+................................... 10,200 372,300
Metals & Minerals -- 0.5%
Freeport-McMoRan Copper & Gold, Inc., Class B............... 17,000 157,250
Stillwater Mining Co.+...................................... 6,400 178,400
Retail -- 0.2%
Bed Bath & Beyond, Inc.+.................................... 4,000 145,000
Software -- 1.6%
BMC Software, Inc.+......................................... 4,900 178,773
HomeStore.com, Inc. ........................................ 5,800 169,288
Macromedia, Inc. ........................................... 2,500 241,719
Rational Software Corp.+.................................... 2,300 213,756
VeriSign, Inc. ............................................. 1,175 207,387
Vignette Corp. ............................................. 2,800 145,644
Telecommunications -- 1.4%
Crown Castle International Corp.+........................... 7,400 270,100
Digital Microwave Corp...................................... 7,800 297,375
REMEC, Inc. ................................................ 5,100 213,562
Telecorp PCS, Inc. ......................................... 6,200 249,937
Telephone -- 0.7%
McLeodUSA, Inc. ............................................ 5,800 119,987
NTL, Inc.+.................................................. 3,100 185,613
Broadwing, Inc. ............................................ 4,500 116,719
Intermedia Communications, Inc.+............................ 2,000 59,500
Transportation -- 0.7%
Atlas Air, Inc.+............................................ 11,700 419,737
Werner Enterprises, Inc. ................................... 5,000 57,813
------------
10,846,313
------------
CORE EQUITY -- 17.7%
Aerospace & Military Technology -- 1.1%
Honeywell International, Inc. .............................. 7,200 242,550
United Technologies Corp. .................................. 8,900 523,988
Automotive -- 0.7%
Delphi Automotive Systems Corp. ............................ 24,397 355,281
TRW, Inc. .................................................. 4,200 182,175
Banks -- 0.8%
Citigroup, Inc. ............................................ 9,000 542,250
Broadcasting & Media -- 1.7%
AT&T Corp.-Liberty Media Group, Inc., Class A+.............. 27,300 662,025
Gannett Co., Inc. .......................................... 7,400 442,612
US Unwired, Inc. ........................................... 10,000 130,000
Communication Equipment -- 0.6%
Cisco Systems, Inc. ........................................ 6,600 419,513
Computers & Business Equipment -- 2.5%
Dell Computer Corp. ........................................ 8,000 394,500
EMC Corp. .................................................. 4,000 307,750
Hewlett-Packard Co. ........................................ 5,400 674,325
International Business Machines Corp. ...................... 4,200 460,162
Drugs -- 0.1%
Smithkline Beecham PLC...................................... 1,500 97,781
</TABLE>
---------------------
35
<PAGE> 36
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORE EQUITY (continued)
Electronics -- 1.6%
Analog Devices, Inc.+....................................... 7,800 $ 592,800
Micron Technology, Inc. .................................... 5,000 440,313
Teradyne, Inc. ............................................. 2,000 147,000
Energy Sources -- 1.0%
Chevron Corp. .............................................. 5,100 432,544
Royal Dutch Petroleum Co.................................... 1,300 80,031
Texaco, Inc. ............................................... 3,700 197,025
Financial Services -- 0.7%
Goldman Sachs Group, Inc. .................................. 1,400 132,825
Merrill Lynch & Co., Inc. .................................. 3,200 368,000
Food, Beverage & Tobacco -- 2.2%
Consumer Staples Select Sector SPDR......................... 34,000 857,969
PepsiCo, Inc. .............................................. 8,500 377,719
Philip Morris Cos., Inc. ................................... 13,900 369,219
Forest Products -- 0.4%
Weyerhaeuser Co. ........................................... 6,200 266,600
Gas & Pipeline Utilities -- 0.6%
El Paso Energy Corp......................................... 8,100 412,594
Health Services -- 1.1%
Cardinal Health, Inc., Class A.............................. 6,200 458,800
Tenet Healthcare Corp. ..................................... 13,000 351,000
Insurance -- 0.7%
Marsh & McLennan Cos., Inc. ................................ 5,100 532,631
Machinery -- 0.3%
Illinois Tool Works, Inc. .................................. 4,000 228,000
Software -- 0.8%
First Data Corp. ........................................... 11,100 550,838
Telephone -- 0.8%
China Unicom................................................ 7,700 163,625
WorldCom, Inc. ............................................. 8,100 371,587
------------
12,766,032
------------
GLOBAL CORE EQUITY -- 26.4%
AUSTRALIA -- 0.4%
News Corp., Ltd. ........................................... 5,400 294,300
BELGIUM -- 0.4%
Lernout & Hauspie Speech Products (Information
Technology)............................................... 6,600 290,812
CANADA -- 0.8%
Alcan Aluminum Ltd. (Materials)............................. 6,300 195,811
Nortel Networks Corp. Canadian Exchange (Information
Technology)............................................... 800 55,513
Nortel Networks Corp. U.S. Exchange (Information
Technology)............................................... 4,600 313,950
CHINA -- 0.3%
China Telecom (Hong Kong) Ltd. ADR (Information
Technology)............................................... 1,400 248,937
FINLAND -- 0.2%
Upm-Kymmene Corp. (Materials)............................... 6,887 170,951
FRANCE -- 3.0%
AXA SA de CV (Finance)...................................... 400 63,010
Air Liquide (Materials)..................................... 1,540 200,835
Banque Nationale de Paris+ (Finance)........................ 3,309 318,437
Canal Plus (Information & Entertainment).................... 268 45,031
Pin Printemps Redo (Consumer Discretionary)................. 900 199,943
</TABLE>
---------------------
36
<PAGE> 37
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
GLOBAL CORE EQUITY (continued)
FRANCE (continued)
Rhone-Poulenc SA (Healthcare)............................... 10,831 $ 790,521
Thomson Multimedia (Information & Entertainment)............ 730 47,252
Total Fina ELF SA, Class B (Energy)......................... 1,700 260,652
Vivendi SA (Utilities)...................................... 2,300 203,003
GERMANY -- 2.5%
BASF AG (Materials)......................................... 7,625 306,471
Bayerische Motoren Werke AG (Finance)....................... 5,700 172,233
Deutsche Bank AG (Finance).................................. 2,800 230,426
Infineon Technologies AG (Information Technology)........... 1,600 126,097
Sap AG (Information Technology)............................. 300 55,478
Siemens AG (Industrial & Commercial)........................ 5,993 904,000
HONG KONG -- 0.7%
Cheung Kong Holdings Ltd. (Industrial & Commercial)......... 30,000 329,998
Sun Hung Kai Properties Ltd.+ (Real Estate)................. 25,000 179,591
INDIA -- 0.3%
ICICI, Ltd. (Finance)....................................... 3,600 67,500
Videsh Sanchar Nigam Ltd. (Utilities)....................... 9,700 152,775
IRELAND -- 0.2%
Allied Irish Banks PLC (Finance)............................ 19,043 170,532
JAPAN -- 5.2%
Dai Nippon Printing (Information & Entertainment)........... 14,000 246,605
Fujisawa Pharmaceutical Co. (Healthcare).................... 10,000 404,316
Hoya Corp (Healthcare)...................................... 4,000 358,136
Matsumotokiyoshi (Consumer Discretionary)................... 3,900 408,727
Matsushita Communication Industrial Co. (Information
Technology)............................................... 1,000 116,677
Minebea Co. (Information Technology)........................ 9,000 112,813
Mitsubishi Electronics Corp. (Information Technology)....... 13,000 140,653
Murata Manufacturing Co. (Information Technology)........... 1,000 143,443
NEC Corp. (Information Technology).......................... 9,000 282,456
Nikko Securities (Finance).................................. 16,000 158,334
Nippon Telegraph & Telephone Corp. (Utilities).............. 20 265,774
Omron Corp. (Industrial & Commercial)....................... 11,000 298,572
Promise Co., Ltd. (Finance)................................. 1,500 118,467
Ricoh Co. (Information & Entertainment)..................... 3,000 63,475
Softbank Corp. (Finance).................................... 600 81,429
Sony Corp. (Information & Entertainment).................... 2,200 205,268
Tokyo Style Co., Ltd. (Consumer Discretionary).............. 23,000 216,767
Toshiba Corp. (Information Technology)...................... 14,000 157,938
KOREA -- 0.2%
Samsung Electronics (Information Technology)................ 400 132,374
LUXEMBOURG -- 0.1%
Audiofina (Information & Entertainment)..................... 300 38,665
MEXICO -- 0.4%
Cifra SA de CV (Consumer Discretionary)..................... 78,100 183,233
Grupo Financiero Banamex Accival, SA (Information
Technology)............................................... 2,000 8,409
Telefonos de Mexico SA ADR (Utilities)...................... 1,800 102,825
NETHERLANDS -- 2.3%
Aegon NV (Finance).......................................... 11,400 405,631
ING Groep NV (Finance)...................................... 4,700 317,686
Koninklijke (Royal) Philips Electronics NV (Information
Technology)............................................... 8,492 400,502
Royal Dutch Petroleum Co. (Energy).......................... 8,300 515,853
</TABLE>
---------------------
37
<PAGE> 38
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
GLOBAL CORE EQUITY (continued)
SINGAPORE -- 0.3%
Overseas Chinese Bank (Finance)............................. 11,550 $ 79,587
Overseas Union Bank (Finance)............................... 38,828 150,636
SPAIN -- 1.5%
Banco Popular Esp (Finance)................................. 5,100 157,755
Endesa SA (Utilities)....................................... 3,200 62,400
Endesa SA (Utilities)....................................... 15,950 308,965
Promotora de Informaciones SA (Information &
Entertainment)............................................ 761 17,654
Repsol SA (Energy).......................................... 16,500 328,441
Telefonica Ca (Utilities)................................... 8,089 173,758
Telefonica SA ADR (Utilities)............................... 16 1,025
SWEDEN -- 1.3%
Ericsson L.M. Tel (Information Technology).................. 26,320 520,730
Skandinaviska Ens (Finance)................................. 36,520 432,692
SWITZERLAND -- 1.2%
Holderbank Financiere Glarus AG (Materials)................. 130 159,382
Nestle SA+ (Consumer Staples)............................... 279 558,411
Novartis AG (Healthcare).................................... 80 126,721
THAILAND -- 0.2%
Siam Cement Co. (Materials)................................. 3,200 60,121
Thai Farmers Bank (Finance)................................. 85,900 72,360
TURKEY -- 0.2%
Haci Omer Sabanci (Finance)................................. 5,542,560 65,215
Yapi Ve Kredi Bank (Finance)................................ 7,524,000 83,679
UNITED KINGDOM -- 4.7%
3I Group (Finance).......................................... 8,200 168,617
BP Amoco (Energy)........................................... 56,800 544,885
British Airways PLC (Information & Entertainment)........... 64,327 369,866
British America Tobacco PLC+ (Consumer Staples)............. 10,700 71,399
Cable & Wireless (Utilities)................................ 12,707 215,150
Colt Telecom Group PLC+ (Utilities)......................... 6,760 225,028
Marconi PLC (Information Technology)........................ 11,900 154,850
Prudential Corp. PLC (Finance).............................. 19,600 287,077
Psion (Information Technology).............................. 3,300 31,907
Smith & Nephew PLC (Healthcare)............................. 104,600 386,179
SmithKline Beecham PLC (Healthcare)......................... 9,600 125,648
Standard Chartered PLC (Finance)............................ 20,640 257,026
Vodafone Group PLC (Information Technology)................. 54,071 218,444
Zeneca Group PLC (Healthcare)............................... 7,200 336,090
------------
19,030,785
------------
TOTAL COMMON STOCK (cost $37,777,632)....................... 42,643,130
------------
<CAPTION>
PREFERRED STOCK -- 0.0%
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
GERMANY -- 0.0%
ProSieben Media AG 2.86% (Information & Entertainment)...... 10 1,243
------------
TOTAL PREFERRED STOCK (cost $499)........................... 1,243
------------
</TABLE>
---------------------
38
<PAGE> 39
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 28.3% AMOUNT VALUE
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORE BOND -- 18.4%
AEROSPACE & MILITARY TECHNOLOGY -- 0.2%
Argo Tech Corp. 8.63% 2007.................................. $ 10,000 $ 7,000
K & F Industries, Inc., Series B 9.25% 2007................. 125,000 118,125
ASSET-BACKED SECURITIES -- 1.4%
Advanta Mortgage Loan Trust 6.99% 2029...................... 85,458 85,466
Aesop Funding II LLC 6.22% 2001 6.22% 2001*................. 66,667 66,593
Capital Auto Receivables Asset 6.25% 2003................... 65,000 64,492
Chase Manhattan Auto Trust 6.50% 2001....................... 50,000 49,797
Chase Manhattan Credit Card Master 7.04% 2005............... 125,000 124,765
Daimler Benz Vehicle Owner Trust 5.23% 2001................. 647 647
Daimlerchrysler Auto Trust 6.76% 2003....................... 100,000 99,687
Ford Credit Auto Owner Trust 6.20% 2002..................... 153,206 152,487
Honda Auto Lease Trust 6.65% 2005........................... 50,000 49,648
Money Store Trust 6.64% 2014................................ 100,399 99,960
Residential Funding Mortgage Securities I, Inc. 6.00%
2009...................................................... 9,293 9,203
SLM Student Loan Trust 6.34% 2008........................... 130,000 129,932
Sasco Floating Rate Commercial Mortgage 0.99% 2001.......... 45,451 45,495
USAA Auto Loan Grantor Trust 6.10% 2006..................... 33,255 32,834
World Omni Automobile Lease Trust 6.18% 2003................ 56,343 56,273
AUTOMOTIVE -- 0.6%
Accuride Corp., Series B 9.25% 2008......................... 65,000 55,088
Delco Remy International, Inc. 8.63% 2007................... 50,000 46,063
Delco Remy International, Inc. 10.63% 2006.................. 75,000 74,437
Dura Operating Corp. 9.00% 2009............................. 75,000 66,187
Federal Mogul Corp. 8.80% 2007.............................. 70,000 53,605
LDM Technologies, Inc. 10.75% 2007.......................... 40,000 31,800
Prestolite Electric, Inc. 9.63% 2008........................ 100,000 64,000
CABLE -- 0.6%
Adelphia Communications Corp. 7.88% 2009.................... 75,000 63,375
Century Communications Corp., Series B zero coupon
2008 (1).................................................. 250,000 101,250
Charter Communication Holding LLC 8.63% 2009................ 165,000 144,994
Frontiervision Holding LP zero coupon 2007 (1).............. 35,000 30,100
NTL Communications Corp. zero coupon 2008 (1)............... 175,000 114,625
CHEMICALS -- 0.5%
ARCO Chemical Co. 9.80% 2020................................ 85,000 75,650
Lyondell Chemical Co. 9.63% 2007............................ 50,000 49,500
Lyondell Chemical Co. 9.88% 2007............................ 120,000 118,500
Pioneer Americas Acquisition Corp. 9.25% 2007............... 15,000 9,900
Texas Petrochemicals Corp. 11.13% 2006...................... 100,000 85,000
COMMUNICATIONS & MEDIA -- 1.2%
AMC Entertainment, Inc. 9.50% 2009 - 2011................... 225,000 105,000
Allbritton Communications Co. 9.75% 2007.................... 50,000 47,500
American Media Operations, Inc. 10.25% 2009................. 50,000 49,000
Benedek Communications Corp. zero coupon 2006 (1)........... 100,000 78,000
Echostar DBS Corp. 9.38% 2009............................... 250,000 240,000
Fox Liberty Networks LLC zero coupon 2007 (1)............... 100,000 81,500
Granite Broadcasting Corp. 8.88% 2008....................... 15,000 12,675
LIN Holdings Corp. zero coupon 2008 (1)..................... 200,000 130,000
Sullivan Graphics, Inc. 12.75% 2005......................... 100,000 101,500
</TABLE>
---------------------
39
<PAGE> 40
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORE BOND (continued)
CONSUMER DISCRETIONARY -- 1.1%
Bell Sports, Inc. 11.00% 2008............................... $ 100,000 $ 99,500
Duane Reade, Inc. 9.25% 2008................................ 200,000 180,750
Federal Mogul Corp. 7.50% 2009.............................. 175,000 157,500
Lear Corp. 7.96% 2005....................................... 20,000 18,759
Lear Corp. 8.11% 2009....................................... 95,000 85,770
Mattress Discounters Corp. 12.63% 2007*..................... 50,000 45,500
Sealy Mattress Co. zero coupon 2007 (1)*.................... 25,000 18,000
Stater Brothers Holdings, Inc. 10.75% 2006.................. 75,000 60,000
True Temper Sports, Inc. 10.88% 2008........................ 80,000 76,100
Westpoint Stevens, Inc. 7.88% 2008.......................... 80,000 63,600
CONSUMER STAPLES -- 0.1%
BWay Corp. 10.25% 2007...................................... 100,000 94,750
ENERGY -- 1.1%
Costilla Energy, Inc. 10.25% 2006........................... 130,000 57,850
Ico, Inc. 10.38% 2007....................................... 80,000 77,200
Key Energy Services , Inc. 14.00% 2009...................... 40,000 45,000
P&L Coal Holdings Corp. 9.63% 2008.......................... 200,000 185,500
Pioneer Natural Resources Co. 9.63% 2010.................... 15,000 15,450
Plains Resources, Inc., Series D 10.25% 2006................ 50,000 50,375
Plains Resources, Inc., Series B 10.25% 2006................ 50,000 49,625
Pride International, Inc. 10.00% 2009....................... 75,000 76,875
RBF Finance Co. 11.38% 2009................................. 130,000 141,050
Tuboscope Vetco International, Inc. 7.50% 2008.............. 100,000 88,000
FINANCE -- 0.8%
American General Finance Corp. 6.88% 2001................... 60,000 59,542
Ford Credit Auto Owner Trust 5.47% 2001..................... 59,419 59,252
Ford Motor Credit Co. 6.70% 2004............................ 50,000 48,443
GS Mortgage Securities Corp. zero coupon 2004* (1).......... 60,000 60,009
Wells Fargo & Co. 7.01% 2001................................ 130,000 130,185
Western Financial Savings Bank 8.88% 2007................... 225,000 200,250
FOOD & LODGING -- 0.5%
Aurora Foods, Inc., Series B 8.75% 2008..................... 50,000 28,000
Aurora Foods, Inc., Series D 9.88% 2007..................... 25,000 14,500
B & G Foods Corp. 9.63% 2007................................ 100,000 70,000
Chiquita Brands International, Inc. 10.00% 2009............. 75,000 58,125
Delaware Monte Foods Co., Series B zero coupon 2007 (1)..... 165,000 122,513
Nash Finch Co. 8.50% 2008................................... 150,000 97,500
GAMING -- 0.2%
Aztar Corp. 8.88% 2007...................................... 25,000 23,563
Hollywood Casino Corp. 11.25% 2007.......................... 50,000 51,125
Station Casinos, Inc. 8.88% 2008............................ 100,000 95,250
HEALTHCARE -- 0.7%
Alaris Medical Systems, Inc. 9.75% 2006..................... 50,000 33,000
Alaris Medical, Inc. zero coupon 2008 (1)................... 100,000 15,250
Beverly Enterprises, Inc. 9.00% 2006........................ 70,000 57,750
Bio Rad Laboratories, Inc. 11.63% 2007*..................... 25,000 25,750
Conmed Corp. 9.00% 2008..................................... 65,000 59,312
Mediq Prn Life Support Services 11.00% 2008................. 80,000 8,000
Owens & Minor, Inc. 10.88% 2006............................. 50,000 51,500
Tenet Healthcare Corp. 8.13% 2008........................... 75,000 68,437
Triad Hospitals 11.00% 2009................................. 100,000 102,250
Universal Hospital Services, Inc. 10.25% 2008............... 100,000 57,000
Warner Chilcott, Inc. 12.63% 2008*.......................... 50,000 51,313
</TABLE>
---------------------
40
<PAGE> 41
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORE BOND (continued)
INDUSTRIAL & COMMERCIAL -- 0.5%
General Motors Corp. 6.88% 2004............................. $ 40,000 $ 60,666
Grove Worldwide LLC, Inc. 9.25% 2008........................ 70,000 27,125
Neenah Foundry Co. 11.13% 2007.............................. 20,000 14,700
Pierce Leahy Command Co. 8.13% 2008......................... 35,000 30,625
Roller Bearing Co. of America, Inc. 9.63% 2007.............. 20,000 18,300
WESCO Distribution, Inc., Series B 9.13% 2008............... 70,000 64,050
Waste Management, Inc. 6.88% 2009........................... 75,000 65,711
Werner Holding Delaware, Inc. 10.00% 2007................... 30,000 28,875
INFORMATION & ENTERTAINMENT -- 0.6%
Allbritton Communications Co. 8.88% 2008.................... 25,000 22,875
Classic Cable, Inc. 10.50% 2010............................. 105,000 96,862
Hammons (John Q.) Hotels L.P. 8.88% 2004.................... 75,000 65,250
Insight Midwest L.P. 9.75% 2009............................. 50,000 49,000
Loews Ciniplex Entertainment Corp. 8.88% 2008............... 150,000 70,500
Sun Media Corp. 9.50% 2007.................................. 75,000 72,000
Young Broadcasting, Inc. 8.75% 2007......................... 75,000 68,625
INFORMATION TECHNOLOGY -- 1.2%
Advanced Micro Devices, Inc. 11.00% 2003.................... 50,000 51,250
Covad Communications Group 12.00% 2010*..................... 45,000 35,100
DecisionOne Holdings Corp. 1.00% 2008....................... 150,000 1,125
Exodus Communications, Inc. 11.63% 2010*.................... 75,000 75,188
Fairchild Semiconductor Corp. 10.13% 2007................... 125,000 125,937
Fairchild Semiconductor Corp. 10.38% 2007................... 30,000 30,525
Fisher Scientific International, Inc. 9.00% 2008............ 50,000 45,750
GT Group Telecom, Inc. zero coupon 2010* (1)................ 100,000 55,500
Level 3 Communications, Inc. 11.25% 2010*................... 100,000 98,500
Level 3 Communications, Inc. 10.75% 2008.................... 25,000 22,913
Pierce Leahy Corp. 9.13% 2007............................... 20,000 18,800
SCG Holding Corp. 12.00% 2009............................... 58,000 61,915
Telecommunications Techniques 9.75% 2008.................... 140,000 126,000
WorldCom, Inc. 6.13% 2001................................... 125,000 123,245
MATERIALS -- 0.4%
Alaska Steel Corp. 7.88% 2009............................... 75,000 66,563
American Standard Cos., Inc. 8.25% 2009..................... 50,000 48,250
Avecia Group PLC 11.00% 2009................................ 75,000 73,500
Georgia Gulf Corp. 10.38% 2007.............................. 15,000 15,600
Nortek, Inc. 9.25% 2007..................................... 25,000 23,375
Sovereign Specialty Chemicals 11.88% 2010................... 40,000 41,150
Weirton Steel Corp. 11.38% 2004............................. 50,000 49,000
METALS & MINERALS -- 0.1%
LTV Corp. 11.75% 2009....................................... 115,000 96,600
MUNICIPAL BONDS -- 0.2%
Austin Texas Rental Car Special Facility Revenue 6.13%
2007...................................................... 50,000 46,115
Philadelphia Pennsylvania Authority For Industrial
Development Pension Funding 5.64% 2006.................... 40,000 37,011
Worcester MA 5.50% 2007..................................... 50,000 44,883
PAPER PRODUCTS -- 0.1%
Gaylord Container Corp. 9.38% 2007.......................... 75,000 58,500
Packaging Corp. of America 9.63% 2009....................... 40,000 39,700
PHILLIPINES -- 0.1%
Philippines Republic 10.63% 2025............................ 56,000 47,880
</TABLE>
---------------------
41
<PAGE> 42
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORE BOND (continued)
REAL ESTATE -- 0.4%
Avalon Bay Communitys, Inc. 6.50% 2003...................... $ 75,000 $ 72,111
Engle Homes, Inc., Series C 9.25% 2008...................... 45,000 37,913
Spieker Properties LP 6.80% 2004............................ 55,000 52,706
Toll Corp. 8.13% 2009....................................... 100,000 90,000
Webb Delaware Corp. 10.25% 2010............................. 75,000 65,062
TELECOMMUNICATIONS -- 3.2%
Alaska Communications Holdings, Inc. 9.38% 2009............. 50,000 46,125
BTI Telecommunications Corp. 10.50% 2007.................... 85,000 64,813
Concentric Network Corp. 12.75% 2007........................ 150,000 158,250
Covad Communications Group, Inc. 12.50% 2009................ 50,000 40,000
Crown Castle International Corp. zero coupon 2007 (1)@...... 50,000 37,000
E.Spire Communications, Inc. zero coupon 2008 (1)........... 150,000 48,000
GCI, Inc. 9.75% 2007........................................ 250,000 230,312
GST Telecommunications, Inc. 12.75% 2007(2)................. 60,000 8,400
Globalstar LP 10.75% 2004................................... 75,000 22,125
Hyperion Telecommunications, Inc. zero coupon 2003 (1)...... 90,000 82,800
Hyperion Telecommunications, Inc. 12.25% 2004............... 50,000 50,750
ITC DeltaCom, Inc. 9.75% 2008............................... 75,000 71,250
Intermedia Communications, Inc. 8.88% 2007.................. 125,000 117,500
KMC Telecom Holdings, Inc. zero coupon 2008 (1)............. 330,000 155,100
McLeodUSA, Inc. 8.13% 2009.................................. 75,000 67,500
McLeodUSA, Inc. 9.25% 2007.................................. 50,000 48,125
McLeodUSA, Inc. 9.50% 2008.................................. 85,000 82,450
McLeodUSA, Inc. 8.38% 2008.................................. 10,000 9,100
Nextel Communications, Inc. zero coupon 2007 (1)............ 450,000 337,500
Nextlink Communications, Inc. zero coupon 2008 (1).......... 150,000 93,750
PSINet, Inc. 10.00% 2005.................................... 125,000 115,000
PSINet, Inc. 11.50% 2008.................................... 50,000 47,000
RCN Corp. 11.00% 2008....................................... 125,000 69,687
Time Warner Telecom, Inc. 9.75% 2008........................ 50,000 48,500
Verio, Inc. 11.25% 2008..................................... 150,000 168,375
Viatel, Inc. 11.25% 2008.................................... 80,000 59,200
U.S. GOVERNMENT & AGENCIES -- 2.2%
Federal Home Loan Banks 5.63% 2003.......................... 75,000 110,742
Federal Home Loan Mortgage Corp. 7.00% 2029................. 74,993 72,463
Federal Home Loan Mortgage Corp. 7.48% 2029................. 241,925 247,544
Federal National Mortgage Association 7.78% 2010............ 129,807 130,334
Government National Mortgage Association 7.50% 2029......... 136,992 136,007
United States Treasury Bonds 5.50% 2028..................... 345,000 316,431
United States Treasury Bonds 6.13% 2027..................... 274,000 273,400
United States Treasury Bonds 6.25% 2023..................... 130,000 131,055
United States Treasury Bonds 7.25% 2016..................... 140,000 154,306
UTILITIES -- 0.3%
Azurix Corp. 10.75% 2010*................................... 45,000 43,313
Energy Corp. America 9.50% 2007............................. 200,000 135,000
Western Resources, Inc. 6.88% 2004.......................... 10,000 8,858
------------
13,227,522
------------
GLOBAL CORE BOND -- 9.9%
ARGENTINA -- 0.1%
Cablevision SA 13.75% 2009.................................. 40,000 36,400
AUSTRALIA -- 0.2%
National Australia Bank, Ltd. 6.72% 2002.................... 120,000 119,718
BERMUDA -- 0.1%
RSL Communications PLC 12.00% 2008.......................... 100,000 74,000
</TABLE>
---------------------
42
<PAGE> 43
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
GLOBAL CORE BOND (continued)
BRAZIL -- 0.0%
Companhia Vale do Rio Doce zero coupon 2009 (1)(3).......... BRL $ 2,000 $ 0
CANADA -- 0.5%
Acetex Corp. 9.75% 2003..................................... 75,000 70,500
Algoma Steel, Inc. 12.38% 2005.............................. 75,000 65,250
Clearnet Communications, Inc. zero coupon 2009 (1).......... 125,000 75,000
Consumers Packaging, Inc. 9.75% 2007........................ 55,000 19,250
Doman Industries Ltd. 12.00% 2004........................... 75,000 75,000
Repap New Brunswick, Inc. 9.00% 2004........................ 35,000 33,075
CHILE -- 0.1%
SCL Term Aereo Santiago SA 6.95% 2012*...................... 100,000 92,065
DENMARK -- 0.2%
Kingdom of Denmark 7.00% 2004............................... DKK 1,200,000 160,293
FINLAND -- 0.5%
Republic of Finland 5.75% 2011.............................. EUR 380,000 371,166
FRANCE -- 0.9%
Republic of France 3.50% 2004............................... EUR 630,000 567,028
Republic of France 5.50% 2010............................... EUR 90,000 86,636
GERMANY -- 1.1%
DaimlerChrysler NA Holding 6.41% 2002....................... EUR 75,000 74,987
Republic of Germany 6.00% 2006.............................. EUR 155,000 153,927
Republic of Germany 6.88% 2005.............................. EUR 150,000 153,774
Republic of Germany 6.25% 2024.............................. EUR 380,000 393,260
GREECE -- 0.4%
Republic of Greece 6.50% 2014............................... GRD 83,000,000 241,416
INDONESIA -- 0.1%
Pindo Deli Finance Mauritius Ltd. 10.75% 2007............... 100,000 60,000
ITALY -- 1.3%
Republic of Italy 4.00% 2004................................ EUR 580,000 528,174
Republic of Italy 4.75% 2005................................ EUR 390,000 362,504
Republic of Italy 6.50% 2027................................ EUR 36,151 37,088
JAPAN -- 1.1%
Government of Japan 2.90% 2005.............................. JPY 34,000,000 349,137
Government of Japan 1.90% 2009.............................. JPY 28,000,000 269,424
Government of Japan 1.40% 2009.............................. JPY 22,300,000 204,820
MEXICO -- 0.6%
Alestra S De R L De CV 12.13% 2006*......................... 125,000 115,000
Petroleos Mexicanos 8.85% 2007.............................. 250,000 243,125
Satelites Mexicanos SA De CV 10.13% 2004.................... 50,000 33,500
United Mexican States 10.38% 2009........................... 35,000 37,100
United Mexican States 9.88% 2010............................ 30,000 31,050
NORWAY -- 0.2%
Kingdom of Norway 5.50% 2009................................ NOK 1,150,000 127,726
SOUTH AFRICA -- 0.1%
South Africa Republic 13.00% 2010........................... ZAR 396,000 54,650
SOUTH KOREA -- 0.1%
Cho Hung Bank 11.50% 2010*.................................. KRW 65,000 62,562
SPAIN -- 0.9%
Kingdom of Spain 4.25% 2002................................. EUR 700,000 657,263
SUPRANATIONALS -- 0.7%
Euro Investment Bank 3.00% 2006............................. JPY 33,000,000 343,855
Euro Investment Bank 7.63% 2006............................. GBP 90,000 144,234
</TABLE>
---------------------
43
<PAGE> 44
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
GLOBAL CORE BOND (continued)
SWEDEN -- 0.1%
Kingdom of Sweden 9.00% 2009................................ SEK $ 700,000 $ 99,682
TRINIDAD & TOBAGO -- 0.1%
Trinidad & Tobago Republic 9.88% 2009*...................... 30,000 30,750
UNITED KINGDOM -- 0.7%
British Gas International Finance BV 5.38% 2009............. GBP 70,000 94,584
Dunlop Standard Aerospace Holdings PLC 11.88% 2009.......... 85,000 83,513
Royal Bank of Scotland Group 6.38% 2011..................... 75,000 66,287
United Kingdom Treasury 7.75% 2006.......................... GBP 100,000 168,075
Xerox Capital Europe PLC 5.75% 2002......................... 120,000 116,147
------------
7,182,995
------------
TOTAL BONDS & NOTES (cost $22,017,174)...................... 20,410,517
------------
<CAPTION>
WARRANTS -- 0.0%+ SHARES
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Banque Nationale de Paris 7/15/02 (Finance)................. 2,873 14,811
KMC Telecom Holdings, Inc. 4/15/08
(Telecommunications)(2)(3)................................ 330 825
Siam Commercial Bank 6/22/04 (Finance)...................... 1,567 172
Siam Commercial Bank 5/10/02 (Finance)...................... 216,100 25,375
------------
TOTAL WARRANTS (cost $912).................................. 41,183
------------
TOTAL INVESTMENT SECURITIES (cost $59,796,186).............. 63,096,073
------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 4.5% AMOUNT
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORPORATE SHORT TERM NOTES -- 3.1%
Province of Alberta 6.25% due 10/19/00...................... $ 50,000 48,820
Bayerische Vereinsbank AG 6.38% due 9/6/00.................. 300,000 299,475
British Telecommunications PLC 6.18% due 11/15/00........... 400,000 390,115
Canada Government 6.50% due 5/30/01......................... 100,000 99,640
Columbia University Trustees New York 5.89% due 12/15/00.... 100,000 99,501
Falcon Asset Securitization Corp. 6.63% due 8/25/00......... 250,000 247,468
General Electric Capital Corp. 7.38% due 5/23/01............ 125,000 125,191
Halifax PLC 6.60% due 9/6/00................................ 175,000 172,924
I.B.R.D. World Bank 6.00% due 8/22/00....................... 73,000 72,855
Inter-American Development Bank 6.38% due 8/1/00............ 100,000 99,912
KFW International 5.75% due 12/1/00......................... 100,000 99,331
Morgan Guaranty Trust 6.38% due 3/26/01..................... 75,000 74,624
NationsBank Corp. 5.75% due 3/15/01......................... 118,000 116,813
Svenska Handelsbanken 6.62% due 3/7/01...................... 125,000 124,577
Telstra Corp., Ltd. 6.57% due 8/31/00....................... 100,000 98,875
Turkey Treasury Bill zero coupon 2001(1).................... TRL 38,000,000,000 50,132
------------
Total Corporate Short Term Notes (cost $2,229,204).......... 2,220,253
------------
U.S. GOVERNMENT -- 1.4%
United States Treasury Bills 5.76% due 8/30/00#
(cost $1,019,588)..................................... 1,019,588
------------
TOTAL SHORT TERM SECURITIES (cost $3,248,792)............... 3,239,841
------------
</TABLE>
---------------------
44
<PAGE> 45
<TABLE>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 8.7% AMOUNT VALUE
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Joint Repurchase Agreement Account# (See Note 3)
(cost $6,255,000)......................................... $ 6,255,000 $ 6,255,000
------------
TOTAL INVESTMENTS --
(cost $69,299,978) 100.6% 72,590,914
Liabilities in excess of other assets -- (0.6) (403,172)
------ ------------
NET ASSETS -- 100.0% $72,187,742
====== ============
</TABLE>
-----------------------------
+ Non-Income producing security
* Resale restricted to qualified buyers.
@ Security represents an investment in an affiliated company
# The security or a portion thereof has been segregated as
collateral for futures and written option contracts.
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
(1) Represents a zero-coupon bond which will convert to an
interest-bearing security at a later date
(2) Bond in default
(3) Fair valued security; See Note 2
OPEN FUTURES CONTRACTS
------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION VALUE AT VALUE AS OF APPRECIATION/
CONTRACTS DESCRIPTION DATE TRADE DATE JUNE 30, 2000 DEPRECIATION
-------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
7 Long IBEX Plus Index Futures--
Meff Renta Variable Exchange......... July 2000 $ 720,603 $ 704,403 $(16,200)
4 Long SPI Index Futures--
Sydney Futures Exchange.............. September 2000 192,388 200,834 8,446
5 Long FTSE 100 Index Futures--
London Futures Exchange.............. September 2000 492,155 481,161 (10,994)
1 Long MIB 30 Index Futures--
Milan Stock Exchange................. September 2000 223,821 224,005 184
8 Long Japanese Government Bond Futures--
Singapore Exchange................... September 2000 999,839 1,003,733 3,894
10 Long TOPIX Index Futures--
Tokyo Stock Exchange................. September 2000 1,457,950 1,504,167 46,217
--------
Net Unrealized Appreciation....................................................... $ 31,547
========
</TABLE>
OPEN COVERED WRITTEN OPTIONS
------------------------------------------------------------------
<TABLE>
<CAPTION>
EXPIRATION STRIKE
OPTIONS CONTRACTS DATE PRICE VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. Treasury Bill (Call).................................. 345 10/00 99.6 $(647)
-----
TOTAL OPEN COVERED WRITTEN OPTIONS
(proceeds $3,234)......................................................................... $(647)
=====
</TABLE>
---------------------
45
<PAGE> 46
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
------------------------------------------------------------------
<TABLE>
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
DKK 1,282,300 USD 164,723 08/14/00 $ 318
*USD 611,269 EUR 680,700 07/10/00 39,024
*USD 12,700 EUR 14,000 07/10/00 674
*USD 442,665 EUR 488,000 07/10/00 23,535
*USD 210,226 EUR 221,000 07/10/00 901
*USD 41,562 EUR 44,000 07/17/00 491
*USD 91,242 EUR 96,000 07/17/00 512
*USD 418,289 EUR 441,000 07/17/00 3,206
EUR 539,000 USD 515,198 07/17/00 38
USD 343,161 EUR 373,500 07/18/00 13,843
USD 47,269 EUR 52,000 07/18/00 2,435
*EUR 78,000 USD 75,028 07/18/00 473
*EUR 165,000 USD 158,714 07/18/00 1,001
USD 2,954,211 EUR 3,124,000 07/21/00 32,398
USD 1,039,015 EUR 1,085,700 10/30/00 5,137
USD 637,785 HKD 4,976,000 02/22/02 652
*ILS 430,000 USD 104,237 09/22/00 120
*JPY 8,855,000 USD 86,771 07/11/00 3,141
*JPY 6,651,500 USD 65,247 07/11/00 2,428
*JPY 17,878,000 USD 172,734 07/11/00 3,888
*JPY 12,499,000 USD 118,804 07/11/00 759
JPY 87,394,000 USD 848,485 07/21/00 21,532
JPY 1,594,000 USD 15,255 08/09/00 121
JPY 6,250,000 USD 59,707 08/09/00 366
JPY 5,470,000 USD 52,147 08/09/00 211
JPY 50,127,500 USD 481,995 09/05/00 3,873
*USD 138,907 NZD 298,000 08/22/00 900
*USD 258,865 NZD 553,000 08/22/00 574
*SGD 246,000 USD 144,774 07/11/00 2,147
USD 129,951 EUR 135,000 09/05/00 552
--------
165,250
========
</TABLE>
---------------------
46
<PAGE> 47
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
------------------------------------------------------------------
<TABLE>
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE DEPRECIATION
--------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
USD 637,926 AUD 1,057,000 09/29/00 $ (4,780)
USD 119,386 AUD 198,000 09/29/00 (784)
USD 597,015 CAD 880,000 07/21/00 (2,098)
*EUR 183,000 USD 165,487 07/10/00 (9,338)
*EUR 135,000 USD 122,985 07/10/00 (5,984)
*EUR 1,085,700 USD 1,033,586 07/10/00 (3,614)
EUR 3,298,100 USD 3,007,010 07/17/00 (145,211)
EUR 57,000 USD 51,969 07/17/00 (2,510)
EUR 885,900 USD 802,891 07/17/00 (43,824)
EUR 50,000 USD 45,461 07/17/00 (2,327)
EUR 261,000 USD 243,505 07/17/00 (5,950)
GBP 386,600 USD 571,824 11/30/00 (14,948)
USD 63,546 ILS 255,200 09/22/00 (1,753)
USD 126,860 ILS 520,000 09/22/00 (951)
USD 70,286 ILS 290,000 09/22/00 (67)
*USD 477,232 JPY 50,127,500 07/11/00 (3,810)
*JPY 4,244,000 USD 39,536 07/11/00 (546)
NOK 1,104,350 USD 123,806 09/05/00 (4,892)
*NZD 574,300 USD 258,739 08/22/00 (10,693)
*NZD 276,700 USD 129,731 08/22/00 (83)
USD 44,715 SEK 385,000 07/19/00 (999)
SEK 1,293,500 USD 141,212 07/19/00 (5,665)
*USD 85,512 SGD 140,000 07/11/00 (4,342)
*USD 64,356 SGD 106,000 07/11/00 (2,899)
THB 4,640,000 USD 118,519 09/22/00 (173)
USD 129,315 NOK 1,104,350 09/05/00 (617)
---------
(278,858)
---------
Net Unrealized Depreciation $(113,608)
=========
</TABLE>
-----------------------------
* Represents open forward foreign currency contracts and
offsetting or partially offsetting open forward foreign currency
contracts that do not have additional market risk but have
continued counterparty settlement risk.
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
AUD -- Australian Dollar HKD -- Hong Kong Dollar SEK -- Swedish Krona
CAD -- Canadian Dollar ILS -- Israeli Shekel SGD -- Singapore Dollar
DKK -- Danish Krone JPY -- Japanese Yen THB -- Thailand Baht
EUR -- Euro Dollar NOK -- Norwegian Krone USD -- United States Dollar
GBP -- Pound Sterling NZD -- New Zealand Dollar
</TABLE>
See Notes to Financial Statements.
---------------------
47
<PAGE> 48
---------------------
ANCHOR SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT &
MONEY MARKET QUALITY BOND
PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS:
Investment securities, at value*............................ $ -- $460,891,716
Short-term securities*...................................... 65,895,552 1,343
Repurchase agreements (cost equals market).................. -- 32,735,000
Cash........................................................ 3,178 204,279
Foreign currency............................................ -- --
Receivables for --
Fund shares sold.......................................... 101,590 449,167
Dividends and accrued interest............................ 470,374 6,528,906
Sales of investments...................................... -- --
Variation margin on futures contracts..................... -- --
Foreign currency contracts................................ -- --
Prepaid expenses............................................ 107 1,038
Due from adviser............................................ -- --
Unrealized appreciation on forward foreign currency
contracts................................................. -- --
-----------------------------
66,470,801 500,811,449
-----------------------------
LIABILITIES:
Payables for --
Purchases of investments.................................. -- 14,974,256
Fund shares redeemed...................................... 726,040 813,307
Management fees........................................... 26,645 236,788
Foreign currency contracts................................ -- --
Other accrued expenses...................................... 52,226 109,825
Unrealized depreciation on forward foreign currency
contracts................................................. -- --
Due to custodian............................................ -- --
Written options, at value (proceeds of $3,234 on Strategic
Multi-Asset).............................................. -- --
-----------------------------
804,911 16,134,176
-----------------------------
NET ASSETS:................................................. $65,665,890 $484,677,273
-----------------------------
-----------------------------
Shares of beneficial interest outstanding (unlimited shares
authorized)............................................... 65,665,890 34,186,654
Net asset value per share................................... $ 1.00 $ 14.18
-----------------------------
-----------------------------
COMPOSITION OF NET ASSETS:
Capital paid in............................................. 65,665,890 467,200,173
Accumulated undistributed net investment income............. 1,225 38,167,652
Accumulated undistributed net realized gain (loss) on
investments, futures contracts and foreign currency....... (1,225) (5,480,820)
Unrealized appreciation (depreciation) of investments....... -- (15,209,732)
Unrealized foreign exchange gain (loss) on other assets and
liabilities............................................... -- --
Unrealized appreciation (depreciation) on futures and
options contracts......................................... -- --
-----------------------------
$65,665,890 $484,677,273
-----------------------------
-----------------------------
---------------
*Cost
Investment securities...................................... $ -- $476,101,455
-----------------------------
----------------------------
Short-term securities...................................... $65,895,552 $ 1,336
-----------------------------
-----------------------------
</TABLE>
See Notes to Financial Statements
---------------------
48
<PAGE> 49
<TABLE>
<CAPTION>
GROWTH AND CAPITAL NATURAL STRATEGIC
HIGH YIELD INCOME GROWTH APPRECIATION RESOURCES MULTI-ASSET MULTI-ASSET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$16,228,222 $45,274,538 $937,956,730 $1,998,898,650 $66,836,957 $113,436,435 $63,096,073
135,750 -- -- -- -- 763,873 3,239,841
625,000 295,000 23,425,000 214,540,000 2,435,000 5,160,000 6,255,000
2,604 1,128 14,173 -- 4,424 2,962 7,048
-- -- -- 49 5,043 -- 83,006
789 3,009 1,012,099 14,620,269 86,208 1,424 1,893
528,552 22,049 304,024 480,274 80,771 819,493 619,565
148,767 235,063 4,444,167 76,585,009 -- 1,083,363 1,133,270
-- -- -- -- -- 25,250 23,415
-- -- -- -- -- -- 686,766
86 59 2,604 2,049 24 74 81
-- -- -- -- -- -- 5,890
-- -- -- -- -- -- 165,250
----------------------------------------------------------------------------------------------------
17,669,770 45,830,846 967,158,797 2,305,126,300 69,448,427 121,292,874 75,317,098
----------------------------------------------------------------------------------------------------
149,200 188,296 4,728,835 35,637,681 -- -- 1,961,550
22,620 112,477 850,477 1,421,521 418,386 20,450 40,829
9,773 26,534 510,942 1,115,849 42,471 99,580 59,356
-- -- -- -- -- -- 688,373
45,312 42,077 155,701 231,482 53,748 66,990 99,743
-- -- -- -- -- -- 278,858
-- -- -- 1,000,029 -- -- --
-- -- -- -- -- -- 647
----------------------------------------------------------------------------------------------------
226,905 369,384 6,245,955 39,406,562 514,605 187,020 3,129,356
----------------------------------------------------------------------------------------------------
$17,442,865 $45,461,462 $960,912,842 $2,265,719,738 $68,933,822 $121,105,854 $72,187,742
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
2,907,638 2,142,514 23,204,218 37,110,465 3,923,752 9,349,399 6,168,569
$ 6.00 $ 21.22 $ 41.41 $ 61.05 $ 17.57 $ 12.95 $ 11.70
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
22,659,355 20,916,951 462,186,846 1,058,638,677 59,226,527 62,252,888 49,450,607
2,953,027 285,798 1,774,644 3,792,418 656,249 4,006,511 2,555,714
(5,728,744) 8,259,068 163,815,502 473,563,627 (769,789) 30,060,138 16,155,384
(2,440,773) 15,999,645 333,135,850 729,738,145 9,820,681 24,799,918 3,290,936
-- -- -- (13,129) 154 -- (144,040)
-- -- -- -- -- (13,601) 34,135
----------------------------------------------------------------------------------------------------
$17,442,865 $45,461,462 $960,912,842 $2,265,719,738 $68,933,822 $121,105,854 $72,187,742
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
$18,659,883 $29,274,893 $604,820,880 $1,269,160,505 $57,016,276 $ 88,636,517 $59,796,186
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
$ 144,862 $ -- $ -- $ -- $ -- $ 763,873 $ 3,248,792
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
</TABLE>
---------------------
49
<PAGE> 50
---------------------
ANCHOR SERIES TRUST
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT &
MONEY MARKET QUALITY BOND
PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------------------------
<S> <C> <C>
NET INVESTMENT INCOME:
Income:
Interest.................................................. $1,973,243 $15,418,993
Dividends................................................. -- --
----------------------------
Total income*...................................... 1,973,243 15,418,993
----------------------------
EXPENSES:
Investment management fees................................ 159,151 1,385,040
Custodian fees............................................ 28,903 120,560
Audit and tax consulting fees............................. 10,645 11,645
Reports to investors...................................... 455 20,475
Trustees' fees............................................ 439 9,250
Legal fees................................................ 2,025 2,025
Insurance expense......................................... 125 455
Other expenses............................................ 1,158 2,560
----------------------------
Total expenses before custody credits.............. 202,901 1,552,010
Custody credits earned on cash balances............ (1,853) (325)
----------------------------
Net expenses............................................ 201,048 1,551,685
----------------------------
Net investment income....................................... 1,772,195 13,867,308
----------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCIES:
Net realized gain (loss) on investments #................... (1,225) (3,567,373)
Net realized foreign exchange gain (loss) on other assets
and liabilities........................................... -- --
Net realized gain (loss) on futures contracts and options
contracts................................................. -- --
Change in unrealized appreciation/depreciation of
investments............................................... -- 6,504,330
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 (loss) on investments and
foreign currencies........................................ (1,225) 2,936,957
----------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $1,770,970 $16,804,265
----------------------------
----------------------------
---------------
* Net of foreign withholding taxes on interest and
dividends of.............................................. $ -- $ --
----------------------------
----------------------------
# Net of foreign withholding taxes on capital gains of...... $ -- $ --
----------------------------
----------------------------
</TABLE>
See Notes to Financial Statements
---------------------
50
<PAGE> 51
<TABLE>
<CAPTION>
GROWTH CAPITAL NATURAL STRATEGIC
HIGH YIELD AND INCOME GROWTH APPRECIATION RESOURCES MULTI-ASSET MULTI-ASSET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 959,737 $ 10,064 $ 875,267 $ 6,330,792 $ 28,332 $ 1,673,066 $ 1,108,101
5,625 251,112 2,622,736 2,663,632 421,264 317,352 302,381
----------------------------------------------------------------------------------------------------
965,362 261,176 3,498,003 8,994,424 449,596 1,990,418 1,410,482
----------------------------------------------------------------------------------------------------
61,020 162,583 2,964,645 6,669,110 217,005 616,294 377,474
31,601 27,909 132,097 335,414 38,355 34,340 73,015
11,145 10,395 -- -- 10,145 10,145 12,735
-- 1,365 29,575 55,395 1,365 1,160 --
813 1,026 15,175 27,711 1,040 2,765 557
2,025 1,820 2,275 5,915 1,820 2,025 1,820
63 76 885 1,472 89 260 96
973 1,065 3,257 5,215 1,093 1,332 1,819
----------------------------------------------------------------------------------------------------
107,640 206,239 3,147,909 7,100,232 270,912 668,321 467,516
(456) (154) (2,447) (13,739) (2,660) (715) (1,805)
----------------------------------------------------------------------------------------------------
107,184 206,085 3,145,462 7,086,493 268,252 667,606 465,711
----------------------------------------------------------------------------------------------------
858,178 55,091 352,541 1,907,931 181,344 1,322,812 944,771
----------------------------------------------------------------------------------------------------
(590,268) 1,808,141 66,822,231 240,668,926 3,681,813 7,869,790 7,900,736
-- -- -- (16,547) (3,582) -- (40,270)
-- -- -- -- -- 426,296 (56,215)
(588,149) (1,613,900) (1,873,581) (109,087,694) 631,654 (6,058,290) (9,081,034)
-- -- -- (2,177) (211) -- 82,914
-- -- -- -- -- 1,354 (127,469)
----------------------------------------------------------------------------------------------------
(1,178,417) 194,241 64,948,650 131,562,508 4,309,674 2,239,150 (1,334,895)
----------------------------------------------------------------------------------------------------
$ (320,239) $ 249,332 $65,301,191 $ 133,470,439 $4,491,018 $ 3,561,962 $ (390,124)
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
$ -- $ 1,268 $ 22,746 $ 162,341 $ 42,078 $ -- $ 34,771
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
$ -- $ -- $ -- $ -- $ -- $ -- $ 4,331
----------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------
</TABLE>
---------------------
51
<PAGE> 52
---------------------
ANCHOR SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT &
MONEY MARKET QUALITY BOND
PORTFOLIO PORTFOLIO
-----------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................................... $ 1,772,195 $ 13,867,308
Net realized gain (loss) on investments..................... (1,225) (3,567,373)
Net realized foreign exchange gain (loss) on other assets
and liabilities........................................... -- --
Net realized gain (loss) on futures contracts and options
contracts................................................. -- --
Change in unrealized appreciation/depreciation of
investments............................................... -- 6,504,330
Change in unrealized foreign exchange gain/loss on other
assets and liabilities.................................... -- --
Change in unrealized appreciation/depreciation on futures
contracts................................................. -- --
--------------------------------
Net increase (decrease) in net assets resulting from
operations................................................ 1,770,970 16,804,265
--------------------------------
DIVIDENDS AND DISTRIBUTIONS PAID TO SHAREHOLDERS:
Distributions from capital gains............................ -- --
Dividends from net investment income........................ (1,770,970) --
--------------------------------
Total dividends and distributions to shareholders........... (1,770,970) --
--------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold................................... 113,711,183 115,204,006
Proceeds from shares issued for reinvestment of dividends
and distributions......................................... 1,770,970 --
Cost of shares repurchased.................................. (113,038,577) (127,903,088)
--------------------------------
Net increase (decrease) in net assets resulting from capital
share transactions........................................ 2,443,576 (12,699,082)
--------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS..................... 2,443,576 4,105,183
--------------------------------
NET ASSETS:
Beginning of period......................................... 63,222,314 480,572,090
--------------------------------
End of period............................................... $ 65,665,890 $ 484,677,273
--------------------------------
--------------------------------
---------------
Accumulated undistributed net investment income............. $ 7,663 $ 38,167,652
--------------------------------
--------------------------------
Shares issued and repurchased:
Sold........................................................ 113,711,183 8,317,920
Issued in reinvestment of dividends and distributions....... 1,770,970 --
Repurchased................................................. (113,038,577) (9,251,566)
--------------------------------
Net increase (decrease)..................................... 2,443,576 (933,646)
--------------------------------
--------------------------------
</TABLE>
See Notes to Financial Statements
---------------------
52
<PAGE> 53
<TABLE>
<CAPTION>
GROWTH CAPITAL NATURAL STRATEGIC
HIGH YIELD AND INCOME GROWTH APPRECIATION RESOURCES MULTI-ASSET MULTI-ASSET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 858,178 $ 55,091 $ 352,541 $ 1,907,931 $ 181,344 $ 1,322,812 $ 944,771
(590,268) 1,808,141 66,822,231 240,668,926 3,681,813 7,869,790 7,900,736
-- -- -- (16,547) (3,582) -- (40,270)
-- -- -- -- -- 426,296 (56,215)
(588,149) (1,613,900) (1,873,581) (109,087,694) 631,654 (6,058,290) (9,081,034)
-- -- -- (2,177) (211) -- 82,914
-- -- -- -- -- 1,354 (127,469)
------------------------------------------------------------------------------------------------------------
(320,239) 249,332 65,301,191 133,470,439 4,491,018 3,561,962 (390,124)
------------------------------------------------------------------------------------------------------------
-- -- -- -- -- -- --
-- -- -- -- -- -- --
------------------------------------------------------------------------------------------------------------
-- -- -- -- -- -- --
------------------------------------------------------------------------------------------------------------
3,095,277 6,059,817 221,139,186 1,257,591,854 33,978,077 1,202,379 3,004,340
-- -- -- -- -- -- --
(5,409,113) (10,557,500) (194,292,555) (1,112,230,066) (23,926,181) (13,100,406) (9,710,170)
------------------------------------------------------------------------------------------------------------
(2,313,836) (4,497,683) 26,846,631 145,361,788 10,051,896 (11,898,027) (6,705,830)
------------------------------------------------------------------------------------------------------------
(2,634,075) (4,248,351) 92,147,822 278,832,227 14,542,914 (8,336,065) (7,082,397)
------------------------------------------------------------------------------------------------------------
20,076,940 49,709,813 868,765,020 1,986,887,511 54,390,908 129,441,919 79,270,139
------------------------------------------------------------------------------------------------------------
$17,442,865 $ 45,461,462 $ 960,912,842 $ 2,265,719,738 $ 68,933,822 $121,105,854 $72,187,742
------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------
$ 2,953,027 $ 285,798 $ 1,774,644 $ 3,792,418 $ 656,249 $ 4,006,511 $ 2,555,714
------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------
517,559 288,363 5,597,786 20,742,492 2,048,985 99,536 257,841
-- -- -- -- -- -- --
(891,339) (513,097) (4,947,669) (18,474,909) (1,477,536) (1,036,788) (826,146)
------------------------------------------------------------------------------------------------------------
(373,780) (224,734) 650,117 2,267,583 571,449 (937,252) (568,305)
------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------
</TABLE>
---------------------
53
<PAGE> 54
---------------------
ANCHOR SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
GOVERNMENT &
MONEY MARKET QUALITY BOND
PORTFOLIO PORTFOLIO
-----------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................................... $ 3,139,146 $ 24,139,970
Net realized gain (loss) on investments..................... 7,663 (1,655,132)
Net realized foreign exchange gain (loss) on other assets
and liabilities........................................... -- --
Net realized gain (loss) on futures contracts............... -- --
Change in unrealized appreciation/depreciation of
investments............................................... -- (28,579,504)
Change in unrealized foreign exchange gain/loss on other
assets and liabilities.................................... -- --
Change in unrealized appreciation/depreciation on futures
contracts................................................. -- --
--------------------------------
Net increase (decrease) in net assets resulting from
operations................................................ 3,146,809 (6,094,666)
--------------------------------
DIVIDENDS AND DISTRIBUTIONS PAID TO SHAREHOLDERS:
Distributions from capital gains............................ -- (6,865,000)
Dividends from net investment income........................ (3,146,809) (16,415,000)
--------------------------------
Total dividends and distributions to shareholders........... (3,146,809) (23,280,000)
--------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold................................... 179,814,249 339,390,559
Proceeds from shares issued for reinvestment of dividends
and distributions......................................... 3,146,809 23,280,000
Proceeds received from substitution (See Note 9)............ -- 14,298,099
Cost of shares repurchased.................................. (185,292,057) (242,689,277)
--------------------------------
Net increase (decrease) in net assets resulting from capital
share transactions........................................ (2,330,999) 134,279,381
--------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS..................... (2,330,999) 104,904,715
--------------------------------
NET ASSETS:
Beginning of period......................................... 65,553,313 375,667,375
--------------------------------
End of period............................................... $ 63,222,314 $ 480,572,090
--------------------------------
--------------------------------
---------------
Accumulated undistributed net investment income............. $ -- $ 24,300,344
--------------------------------
--------------------------------
Shares issued and repurchased:
Sold........................................................ 179,814,249 23,818,255
Issued in reinvestment of dividends and distributions....... 3,146,809 1,709,251
Received from substitution (See Note 9)..................... -- 1,006,200
Repurchased................................................. (185,292,057) (17,081,841)
--------------------------------
Net increase (decrease)..................................... (2,330,999) 9,451,865
--------------------------------
--------------------------------
</TABLE>
See Notes to Financial Statements
---------------------
54
<PAGE> 55
<TABLE>
<CAPTION>
GROWTH CAPITAL NATURAL STRATEGIC
HIGH YIELD AND INCOME GROWTH APPRECIATION RESOURCES MULTI-ASSET MULTI-ASSET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 2,085,138 $ 236,696 $ 1,745,601 $ 2,275,743 $ 484,404 $ 2,680,558 $ 1,426,461
(2,182,287) 6,458,624 96,726,357 243,607,186 (369,964) 22,104,039 9,163,556
-- -- -- (1,936) (1,166) -- (71,685)
-- -- -- -- -- (479,135) 328,500
1,519,578 759,336 81,579,374 519,981,745 15,443,502 (8,576,025) 5,644,669
-- -- -- (6,845) 354 -- (235,946)
-- -- -- -- -- 153,571 137,810
---------------------------------------------------------------------------------------------------------------
1,422,429 7,454,656 180,051,332 765,855,893 15,557,130 15,883,008 16,393,365
---------------------------------------------------------------------------------------------------------------
-- (6,790,000) (46,500,000) (60,660,000) -- (19,335,000) (8,025,000)
(2,865,000) (320,000) (2,155,000) (935,000) (660,000) (3,145,000) (1,065,000)
---------------------------------------------------------------------------------------------------------------
(2,865,000) (7,110,000) (48,655,000) (61,595,000) (660,000) (22,480,000) (9,090,000)
---------------------------------------------------------------------------------------------------------------
10,144,582 11,366,907 325,952,545 1,201,270,486 37,745,908 5,709,112 4,034,498
2,865,000 7,110,000 48,655,000 61,595,000 660,000 22,480,000 9,090,000
-- -- -- -- -- -- 26,895,440
(17,588,832) (21,301,389) (306,568,698) (1,080,884,798) (38,211,007) (38,862,170) (17,307,393)
---------------------------------------------------------------------------------------------------------------
(4,579,250) (2,824,482) 68,038,847 181,980,688 194,901 (10,673,058) 22,712,545
---------------------------------------------------------------------------------------------------------------
(6,021,821) (2,479,826) 199,435,179 886,241,581 15,092,031 (17,270,050) 30,015,910
---------------------------------------------------------------------------------------------------------------
26,098,761 52,189,639 669,329,841 1,100,645,930 39,298,877 146,711,969 49,254,229
---------------------------------------------------------------------------------------------------------------
$ 20,076,940 $ 49,709,813 $ 868,765,020 $ 1,986,887,511 $ 54,390,908 $129,441,919 $ 79,270,139
---------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------
$ 2,094,849 $ 230,707 $ 1,422,103 $ 1,884,487 $ 474,905 $ 2,683,699 $ 1,610,943
---------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------
1,507,875 520,129 9,411,183 28,555,128 2,562,721 419,596 364,726
478,297 358,006 1,455,429 1,450,659 41,147 1,892,256 880,813
-- -- -- -- -- -- 2,365,474
(2,544,489) (983,570) (8,893,880) (26,084,913) (2,643,067) (2,901,429) (1,580,847)
---------------------------------------------------------------------------------------------------------------
(558,317) (105,435) 1,972,732 3,920,874 (39,199) (589,577) 2,030,166
---------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------
</TABLE>
---------------------
55
<PAGE> 56
---------------------
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. Shares of the
portfolios are issued and redeemed only in connection with investments in and
payments under variable annuity contracts and variable life insurance policies.
The investment objectives for each portfolio are as follows:
The MONEY MARKET PORTFOLIO seeks current income consistent with stability of
principal through investment in a diversified portfolio of money market
instruments maturing in 397 days or less.
The GOVERNMENT & QUALITY BOND PORTFOLIO seeks relatively high current income,
liquidity and security of principal.
The HIGH YIELD PORTFOLIO seeks to produce high current income and secondarily
seeks capital appreciation by investing in high-yielding, high-risk, income
producing corporate bonds.
The GROWTH AND INCOME PORTFOLIO seeks to provide high current income and
long-term capital appreciation by investing primarily in securities that provide
the potential for growth and offer income, such as dividend-paying stocks and
securities convertible into common stock.
The GROWTH PORTFOLIO seeks capital appreciation primarily through investments in
growth equity securities.
The CAPITAL APPRECIATION PORTFOLIO seeks long-term capital appreciation by
investing in growth equity securities which are widely diversified by industry
and company.
The NATURAL RESOURCES PORTFOLIO seeks a total return through investment
primarily in equity securities of U.S. or foreign companies which are expected
to provide favorable returns in periods of rising inflation.
The MULTI-ASSET PORTFOLIO seeks long-term total investment return consistent
with moderate investment risk by investing in equity securities, convertible
securities, investment grade fixed income securities and money market
securities.
The STRATEGIC MULTI-ASSET PORTFOLIO seeks high long-term total investment return
by investing in equity securities, aggressive growth equity securities,
international equity securities, investment grade bonds, high-yield, high-risk
bonds and money market instruments.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES: 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. The 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.
Nonconvertible 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. If a security's price is available from more than one foreign
exchange, a portfolio uses the exchange that is the primary market for the
security. 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.
FOREIGN CURRENCY TRANSLATION: The books and records of the Trust are maintained
in U.S. dollars.
Market values of investment securities are translated into U.S. dollars at the
prevailing rate of exchange on the valuation date.
Assets and liabilities denominated in foreign currencies and commitments under
forward foreign currency contracts ("forward 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. Purchases and sales of portfolio securities, including
forward commitments on securities are translated at the rate of exchange
---------------------
56
<PAGE> 57
prevailing when such securities were acquired or sold. Income and expenses are
translated at rates of exchange prevailing when earned or incurred.
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. 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.
SECURITIES TRANSACTIONS, DIVIDENDS, INVESTMENT INCOME AND EXPENSES: Securities
transactions are accounted for as of the trade date. 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 Trust 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 with 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 portfolios based
upon relative net assets or other appropriate methods. In all other respects,
expenses are charged to each portfolio as incurred on a specific identification
basis.
The Trust records dividends and distributions to its shareholders on the
ex-dividend date.
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 are not affected.
For the year ended December 31, 1999, the reclassification arising from
book/tax differences resulted in increases (decreases) to the components of net
assets as follows:
<TABLE>
<CAPTION>
ACCUMULATED
UNDISTRIBUTED ACCUMULATED
NET REALIZED UNDISTRIBUTED PAID
INVESTMENT NET REALIZED IN
INCOME/LOSS GAIN/LOSS CAPITAL
<S> <C> <C> <C>
---------------------------------------------
Money Market Portfolio...................................... $ 8,874 $ (8,874) $ --
Government & Quality Bond Portfolio......................... 200,886 (250,571) 49,685
High Yield Portfolio........................................ 29,900 2,754,901 (2,784,801)
Growth and Income Portfolio................................. -- -- --
Growth Portfolio............................................ (288,116) 286,116 2,000
Capital Appreciation Portfolio.............................. (341,220) 341,220 --
Natural Resources Portfolio................................. (1,166) 6,242 (5,076)
Multi-Asset Portfolio....................................... 25,123 (25,123) --
Strategic Multi-Asset Portfolio............................. 226,325 (195,640) (30,685)
</TABLE>
Reclassifications are primarily due to differing book and tax treatments for
foreign currency transactions, market discount, paydowns, and expiring capital
loss carryovers.
NOTE 3. OPERATING POLICIES:
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.
At June 30, 2000, the Government & Quality Bond, High Yield, Growth and
Income, Growth, Capital Appreciation, Natural Resources, Multi-Asset and
Strategic Multi-Asset Portfolios had a 11.2%, 0.2%, 0.1%, 8.0%, 73.6%, 0.8%,
1.8% and 2.1%, respectively, undivided interest, representing $32,735,000,
$625,000, $295,000, $23,425,000, $214,540,000, $2,435,000, $5,160,000 and
$6,255,000, respectively, in principal amount, in a joint repurchase agreement
with Paribas Corp., which is dated June 30, 2000, bears interest at the rate of
6.6% per annum, has an aggregate principal amount of $291,420,000 and a
repurchase price of $291,580,281, matures on
---------------------
57
<PAGE> 58
July 3, 2000, and is collateralized by $85,396,000 of U.S. Treasury Notes, which
bear interest at a rate of 6.625% per annum, matures 4/30/2002, $77,181,000 of
U.S. Treasury Notes, which bear interest at a rate of 7.5% per annum, matures
11/15/2001, $60,000,000 of U.S. Treasury Bonds, which bear interest at a rate of
12.75% per annum, matures 11/15/2010, and $53,703,000 of U.S. Treasury Notes,
which bear interest at a rate of 4.5% per annum, matures 9/30/2000; and have an
aggregate value of $297,310,395.
FORWARD FOREIGN CURRENCY CONTRACTS: Certain portfolios may enter into forward
contracts to attempt to protect securities and related receivables and payables
against changes in future foreign exchange rates. A forward contract is an
agreement between two parties to buy or sell currency at a set price on a future
date. The market value of the contract will fluctuate with changes in currency
exchange rates. The contract is marked-to-market daily using the forward rate
and the change in market value is recorded by the portfolio as unrealized gain
or loss. Upon settlement date, the portfolio records either realized gains or
losses when the contract is closed 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.
Risks may arise upon entering into these contracts from the potential inability
of counterparties to meet the terms of their contracts and from unanticipated
movements in the value of a foreign currency relative to the U.S. dollar.
Forward contracts involve elements of risk in excess of the amount reflected in
the Statement of Assets and Liabilities. A portfolio bears the risk of an
unfavorable change in the foreign exchange rate underlying the forward contract.
FORWARD COMMITMENTS: Each portfolio may enter into contracts to purchase or
sell securities for a fixed price at a future date beyond customary settlement
time ("forward commitments"). The forward commitments are marked-to-market daily
using the market value of the underlying security that is purchased or sold
under the commitment. The change in market value is recorded by the portfolio as
unrealized gain or loss of investments. When a commitment is closed, the
portfolio records a realized gain or loss equal to the difference between the
value of the commitment at the time it was opened and the value at the time it
was closed. The realized gain/loss is included with the realized gain/loss on
investments in the Statement of Operations. The portfolio assumes the risk of
any change in market value of the security beginning on the date of the
agreement. Forward commitments may involve elements of risk in excess of the
amount reflected in the Statement of Assets and Liabilities.
FUTURES CONTRACTS: A futures contract is an agreement between two parties to
buy or sell a financial instrument 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.
NOTE 4. FEDERAL INCOME TAXES: It is each portfolio'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 June 30, 2000, the cost of investment securities for book purposes,
including short-term securities and aggregate gross unrealized gain (loss) for
each portfolio were as follows:
<TABLE>
<CAPTION>
AGGREGATE AGGREGATE
GROSS GROSS UNREALIZED
UNREALIZED UNREALIZED GAIN (LOSS) COST OF
GAIN LOSS NET INVESTMENTS
-----------------------------------------------------------
<S> <C> <C> <C> <C>
Money Market Portfolio...................................... $ -- $ -- $ -- $ 65,895,552
Government & Quality Bond Portfolio*........................ 2,223,239 (17,432,971) (15,209,732) 508,837,791
High Yield Portfolio*....................................... 337,130 (2,777,903) (2,440,773) 19,429,745
Growth and Income Portfolio................................. 17,937,413 (1,937,768) 15,999,645 29,569,893
Growth Portfolio............................................ 359,486,409 (26,350,559) 333,135,850 628,245,880
Capital Appreciation Portfolio**............................ 803,888,774 (74,150,629) 729,738,145 1,483,700,505
Natural Resources Portfolio................................. 13,484,120 (3,663,439) 9,820,681 59,451,276
Multi-Asset Portfolio....................................... 29,481,914 (4,681,996) 24,799,918 94,560,390
Strategic Multi-Asset Portfolio**........................... 7,376,305 (4,085,369) 3,290,936 69,299,978
</TABLE>
* Post 10/31 Capital Loss Deferrals: Government & Quality Bond $583,960 and
High Yield $344,811.
** Post 10/31 Foreign Exchange Loss Deferrals: Capital Appreciation $6,077 and
Strategic Multi-Asset $77,438.
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"), an indirect wholly owned
subsidiary of American International Group, Inc., with respect to each
portfolio. SAAMCo serves as manager for each of the portfolios. 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.
---------------------
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<PAGE> 59
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
PORTFOLIO NET ASSETS FEE
-------------------------------------------------------
<S> <C> <C>
Money Market $0-$150 million .500%
> $150 million .475%
> $250 million .450%
> $500 million .425%
Government & Quality
Bond $0-$200 million .625%
> $200 million .575%
> $500 million .500%
High Yield $0-$250 million .700%
> $250 million .575%
> $500 million .500%
Growth and Income $0-$100 million .700%
> $100 million .650%
> $250 million .600%
> $500 million .575%
</TABLE>
<TABLE>
<CAPTION>
AVERAGE DAILY MANAGEMENT
PORTFOLIO NET ASSETS FEE
-------------------------------------------------------
<S> <C> <C>
Growth $0-$250 million .750%
> $250 million .675%
> $500 million .600%
Capital Appreciation $0-$100 million .750%
> $100 million .675%
> $250 million .625%
> $500 million .600%
Natural Resources > $0 .750%
Strategic Multi-Asset/ $0-$200 million 1.000%
Multi-Asset > $200 million .875%
> $500 million .800%
</TABLE>
SAAMCo has entered into Subadvisory Agreements (the "Subadvisory Agreement")
with Wellington Management Company ("WMC") to manage the investments of each
portfolio.
The portion of the investment advisory fees received by SAAMCo which are paid
to WMC are as follows:
<TABLE>
<CAPTION>
AVERAGE DAILY WMC
PORTFOLIO NET ASSETS ALLOCATION
-------------------------------------------------------
<S> <C> <C>
Money Market $0-$500 million .075%
> $500 million .020%
Government & Quality
Bond $0-$ 50 million .225%
> $50 million .125%
> $100 million .100%
High Yield $0-$ 50 million .300%
> $ 50 million .225%
> $150 million .175%
> $500 million .150%
Growth/ $0-$ 50 million .325%
Growth and Income > $ 50 million .225%
> $150 million .200%
> $500 million .150%
Capital Appreciation $0-$ 50 million .375%
> $ 50 million .275%
> $150 million .200%
> $500 million .150%
</TABLE>
<TABLE>
<CAPTION>
AVERAGE DAILY WMC
PORTFOLIO NET ASSETS ALLOCATION
-------------------------------------------------------
<S> <C> <C>
Natural Resources $0-$ 50 million .350%
> $ 50 million .250%
> $150 million .200%
> $500 million .150%
Multi-Asset $0-$ 50 million .250%
> $ 50 million .175%
> $150 million .150%
Strategic Multi-Asset $0-$ 50 million .300%
> $ 50 million .200%
> $150 million .175%
> $500 million .150%
</TABLE>
For the six months ended June 30, 2000, SAAMCo received fees of $12,612,322
from the Trust, of which SAAMCo informed the Trust that $9,222,218 was retained
and $3,390,104 was allocated to WMC.
NOTE 6. SECURITIES TRANSACTIONS: The portfolios had the following purchases and
sales of long-term securities for the six months ended June 30, 2000:
<TABLE>
<CAPTION>
MONEY GOVERNMENT & GROWTH
MARKET QUALITY BOND HIGH YIELD AND INCOME
PORTFOLIO ` PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C>
--------------------------------------------------
Purchases of portfolio securities (excluding U.S. government
securities)............................................... $ -- $ 29,899,688 $ 5,155,128 $ 4,057,586
Sales of portfolio securities (excluding U.S. government
securities)............................................... -- 10,338,241 7,026,731 8,558,032
U.S. government securities excluded above were as follows:
Purchases of U.S. government securities..................... -- 52,280,428 -- --
Sales of U.S. government securities......................... -- 56,492,124 -- --
</TABLE>
---------------------
59
<PAGE> 60
<TABLE>
<CAPTION>
CAPITAL NATURAL STRATEGIC
GROWTH APPRECIATION RESOURCES MULTI-ASSET MULTI-ASSET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
---------------------------------------------------------------------
Purchases of portfolio securities (excluding U.S.
government securities)............................ $331,293,045 $812,638,256 $31,640,881 $20,685,247 $55,270,453
Sales of portfolio securities (excluding U.S.
government securities)............................ 300,724,437 684,507,687 23,102,445 27,376,433 60,316,801
U.S. government securities excluded above were as
follows:
Purchases of U.S. government securities............. -- -- -- 1,872,578 2,498,152
Sales of U.S. government securities................. -- -- -- 6,520,004 3,142,539
</TABLE>
NOTE 7. 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 June 30, 2000, the
Trust had accrued $224,763 for the Retirement Plan, which is included in accrued
expenses on the Statement of Assets and Liabilities and for the six months ended
June 30, 2000, expensed $24,625 for the Retirement Plan, which is included in
Trustee fees and expenses on the Statement of Operations.
NOTE 8. TRANSACTIONS WITH AFFILIATES: As disclosed in the investment
portfolios, certain Portfolios own common stock issued by American International
Group, Inc. ("AIG") or an affiliate thereof. Effective January 1, 1999, SAAMCo,
the investment adviser, became a wholly owned subsidiary of AIG. During the six
months ended June 30, 2000 the following portfolios recorded realized gains and
income on security transactions of AIG and subsidiaries of AIG as follows:
<TABLE>
<CAPTION>
REALIZED DIVIDEND
SECURITY GAIN/LOSS INCOME
-----------------------------------------------------------
<S> <C> <C> <C>
Growth and Income Portfolio............................. American International Group, Inc. $ 89,720 $ 16,000
Growth Portfolio........................................ American International Group, Inc. -- 115,768
Multi-Asset Portfolio................................... American International Group, Inc. 422,690 28,524
Capital Appreciation Portfolio.......................... Crown Castle International Corp. 274,860 --
Capital Appreciation Portfolio.......................... Transatlantic Holdings, Inc. 1,830,906 29,700
Strategic Multi-Asset Portfolio......................... Crown Castle International Corp. 136,890 --
</TABLE>
NOTE 9. SUBSTITUTION: On August 6, 1999, pursuant to a Substitution Order
granted by the Securities and Exchange Commission, the shares of the Fixed
Income Portfolio and the Foreign Securities Portfolio were replaced with shares
of the Government and Quality Bond Portfolio and Strategic Multi-Asset
Portfolio, respectively. As of the close of business on August 6, 1999, the
total net assets and unrealized appreciation (depreciation) of the Fixed Income
Portfolio and the Foreign Securities Portfolio were as follows:
<TABLE>
<CAPTION>
UNREALIZED
NET ASSETS APPRECIATION (DEPRECIATION)
<S> <C> <C>
------------------------------------------
Fixed Income Portfolio...................................... $14,298,099 580,483
Foreign Securities Portfolio................................ $26,895,440 (855,708)
</TABLE>
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<PAGE> 61
NOTE 10. SUBSEQUENT EVENT: Subsequent to shareholder approval, effective August
1, 2000, the investment advisory and subadvisory fees on the Capital
Appreciation Portfolio changed as follows:
<TABLE>
<S> <C>
ADVISORY FEE EFFECTIVE AUGUST 1, 2000 SUBADVISORY FEE EFFECTIVE AUGUST 1, 2000
0.750% on first $50 million 0.375% on first $50 million
0.725% on next $50 million 0.275% on next $100 million
0.700% thereafter 0.250% thereafter
</TABLE>
---------------------
61
<PAGE> 62
---------------------
ANCHOR SERIES TRUST
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET DIVIDENDS DIVIDENDS
REALIZED TOTAL DECLARED FROM NET NET
NET ASSET NET & UNREALIZED FROM FROM NET REALIZED NET ASSET ASSETS
VALUE INVEST- GAIN (LOSS) INVEST- INVEST- GAIN ON VALUE END OF
PERIOD BEGINNING MENT ON MENT MENT INVEST- END OF TOTAL PERIOD
ENDED OF PERIOD INCOME* INVESTMENTS OPERATIONS INCOME MENTS PERIOD RETURN** (000'S)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------------
Money Market Portfolio
12/31/95 $ 1.00 $0.05 $ -- $ 0.05 $(0.05) $ -- $ 1.00 5.6% $ 93,692
12/31/96 1.00 0.05 -- 0.05 (0.05) -- 1.00 5.0 74,001
12/31/97 1.00 0.05 -- 0.05 (0.05) -- 1.00 5.1 69,804
12/31/98 1.00 0.05 -- 0.05 (0.05) -- 1.00 5.1 65,553
12/31/99 1.00 0.05 -- 0.05 (0.05) -- 1.00 4.7 63,222
06/30/00# 1.00 0.03 -- 0.03 (0.03) -- 1.00 2.8 65,667
Government & Quality Bond Portfolio
12/31/95 12.86 0.90 1.55 2.45 (1.08) -- 14.23 19.4 225,579
12/31/96 14.23 0.87 (0.50) 0.37 (0.90) (0.03) 13.67 2.9 221,603
12/31/97 13.67 0.84 0.42 1.26 (0.92) (0.05) 13.96 9.5 234,623
12/31/98 13.96 0.79 0.48 1.27 (0.57) (0.02) 14.64 9.2 375,667
12/31/99 14.64 0.78 (1.02) (0.25) (0.51) (0.21) 13.68 (1.7) 480,572
06/30/00# 13.68 0.41 0.09 0.50 -- -- 14.18 3.7 484,677
High Yield Portfolio
12/31/95 7.87 0.77 0.67 1.44 (0.98) -- 8.33 18.8 46,817
12/31/96 8.33 0.74 0.19 0.93 (0.88) -- 8.38 11.7 45,687
12/31/97 8.38 0.75 0.18 0.93 (0.93) -- 8.38 11.4 40,193
12/31/98 8.38 0.71 (1.13) (0.42) (1.16) -- 6.80 (4.5) 26,099
12/31/99 6.80 0.62 (0.25) 0.37 (1.05) -- 6.12 5.7 20,077
06/30/00# 6.12 0.29 (0.41) (0.12) -- -- 6.00 (2.0) 17,443
Growth and Income Portfolio
12/31/95 11.56 0.61 1.29 1.90 (0.83) (0.62) 12.01 16.6 32,008
12/31/96++ 12.01 0.33 2.02 2.35 (0.77) -- 13.59 20.2 33,465
12/31/97 13.59 0.15 3.74 3.89 (0.34) -- 17.14 28.8 44,417
12/31/98 17.14 0.14 4.80 4.94 (0.17) (0.80) 21.11 30.2 52,190
12/31/99 21.11 0.10 3.06 3.16 (0.15) (3.12) 21.00 15.9 49,710
06/30/00# 21.00 0.02 0.20 0.22 -- -- 21.22 1.1 45,461
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES INCOME PORTFOLIO
PERIOD TO AVERAGE TO AVERAGE TURNOVER
ENDED NET ASSETS NET ASSETS RATE
<S> <C> <C> <C>
Money Market Portfolio
12/31/95 0.6% 5.5% --%
12/31/96 0.6 4.9 --
12/31/97 0.6 5.0 --
12/31/98 0.6 5.0 --
12/31/99 0.7 4.6 --
06/30/00# 0.6+ 5.6+ --
Government & Quality Bond Portfolio
12/31/95 0.7 6.5 135.2
12/31/96 0.7 6.3 106.7
12/31/97 0.7 6.1 75.7
12/31/98 0.7 5.5 150.2
12/31/99 0.7 5.5 31.1
06/30/00# 0.7+ 6.0+ 15.1
High Yield Portfolio
12/31/95 0.9 9.2 68.1
12/31/96 0.9 8.8 58.0
12/31/97 0.9 8.8 101.4
12/31/98 0.9 9.0 109.6
12/31/99 1.2 9.2 55.0
06/30/00# 1.2+ 9.8+ 30.3
Growth and Income Portfolio
12/31/95 0.9 5.2 88.8
12/31/96++ 0.9 2.5 108.5
12/31/97 0.8 1.0 49.4
12/31/98 0.8 0.7 41.0
12/31/99 0.9 0.5 20.4
06/30/00# 0.9+ 0.2+ 8.8
</TABLE>
---------------
* Selected data for a share of beneficial interest outstanding throughout each
period (calculated based upon average shares outstanding)
** Does not reflect expenses that apply to the separate accounts of the
insurance companies. If such expenses had been included, total return would
have been lower for each period presented.
++ Prior to March 1, 1996, the portfolio was invested primarily in convertible
debt securities. After that date, the portfolio primarily invests in common
stock.
# Unaudited.
+ Annualized.
---------------------
62
<PAGE> 63
---------------------
ANCHOR SERIES TRUST
FINANCIAL HIGHLIGHTS -- (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET DIVIDENDS DIVIDENDS
REALIZED TOTAL DECLARED FROM NET NET
NET ASSET NET & UNREALIZED FROM FROM NET REALIZED NET ASSET ASSETS
VALUE INVESTMENT GAIN (LOSS) INVEST- INVEST- GAIN ON VALUE END OF
PERIOD BEGINNING INCOME ON MENT MENT INVEST- END OF TOTAL PERIOD
ENDED OF PERIOD (LOSS)* INVESTMENTS OPERATIONS INCOME MENTS PERIOD RETURN** (000'S)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Growth Portfolio
12/31/95 $18.18 $0.11 $ 4.62 $ 4.73 $(0.05) $(3.38) $19.48 26.3% $ 307,857
12/31/96 19.48 0.20 4.57 4.77 (0.11) (0.95) 23.19 25.0 366,602
12/31/97 23.19 0.16 6.76 6.92 (0.20) (2.87) 27.04 30.4 485,528
12/31/98 27.04 0.11 7.19 7.30 (0.14) (1.68) 32.52 29.0 669,330
12/31/99 32.52 0.08 8.31 8.39 (0.10) (2.29) 38.52 26.9 868,765
06/30/00# 38.52 0.02 2.87 2.89 -- -- 41.41 7.5 960,913
Capital Appreciation Portfolio
12/31/95 17.51 0.06 6.00 6.06 (0.15) (0.20) 23.22 34.6 356,218
12/31/96 23.22 0.06 5.73 5.79 (0.06) (0.95) 28.00 25.1 567,672
12/31/97 28.00 0.02 7.05 7.07 (0.05) (2.81) 32.21 25.4 814,311
12/31/98 32.21 0.04 6.24 6.28 (0.02) (2.88) 35.59 22.2 1,100,646
12/31/99 35.59 0.08 23.40 23.48 (0.03) (2.02) 57.02 67.6 1,986,888
06/30/00# 57.02 0.05 3.98 4.03 -- -- 61.05 7.1 2,265,720
Natural Resources Portfolio
12/31/95 13.29 0.18 2.15 2.33 (0.21) (0.29) 15.12 17.5 28,941
12/31/96 15.12 0.22 1.89 2.11 (0.13) (0.23) 16.87 14.1 45,329
12/31/97 16.87 0.20 (1.49) (1.29) (0.17) (0.99) 14.42 (8.6) 50,054
12/31/98 14.42 0.21 (2.72) (2.51) (0.19) (0.13) 11.59 (17.3) 39,299
12/31/99 11.59 0.14 4.67 4.81 (0.18) -- 16.22 41.5 54,391
06/30/00# 16.22 0.05 1.30 1.35 -- -- 17.57 8.3 68,934
Multi-Asset Portfolio
12/31/95 11.71 0.40 2.47 2.87 (0.49) (1.05) 13.04 24.9 168,243
12/31/96 13.04 0.35 1.36 1.71 (0.49) (0.91) 13.35 13.9 150,619
12/31/97 13.35 0.34 2.36 2.70 (0.43) (2.10) 13.52 21.1 145,685
12/31/98 13.52 0.30 2.56 2.86 (0.40) (2.49) 13.49 24.5 146,712
12/31/99 13.49 0.26 1.28 1.54 (0.34) (2.11) 12.58 12.5 129,442
06/30/00# 12.58 0.14 0.23 0.37 -- -- 12.95 2.9 121,106
Strategic Multi-Asset Portfolio
12/31/95 11.29 0.32 2.18 2.50 (0.23) (1.78) 11.78 22.8 64,026
12/31/96 11.78 0.25 1.41 1.66 (0.40) (0.84) 12.20 14.8 57,744
12/31/97 12.20 0.23 1.48 1.71 (0.31) (2.32) 11.28 14.3 53,289
12/31/98 11.28 0.23 1.13 1.36 (0.26) (1.92) 10.46 15.2 49,254
12/31/99 10.46 0.24 2.50 2.74 (0.17) (1.26) 11.77 28.2 79,273
06/30/00# 11.77 0.15 (0.22) (0.07) -- -- 11.70 (0.6) 72,188
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES INCOME (LOSS) PORTFOLIO
PERIOD TO AVERAGE TO AVERAGE TURNOVER
ENDED NET ASSETS NET ASSETS RATE
---------------------------------------------------------
<S> <C> <C> <C>
Growth Portfolio
12/31/95 0.9% 0.6% 92.1%
12/31/96 0.8 0.9 51.7
12/31/97 0.8 0.6 32.2
12/31/98 0.8 0.4 27.1
12/31/99 0.7 0.2 39.9
06/30/00# 0.7+ 0.1+ 34.2
Capital Appreciation Portfolio
12/31/95 0.8 0.3 60.1
12/31/96 0.8 0.2 69.2
12/31/97 0.7 0.1 60.1
12/31/98 0.7 0.1 59.6
12/31/99 0.7 0.2 63.7
06/30/00# 0.7+ 0.2+ 34.9
Natural Resources Portfolio
12/31/95 1.0 1.3 32.0
12/31/96 0.9 1.3 52.5
12/31/97 0.9 1.2 27.9
12/31/98 0.9 1.6 51.2
12/31/99 1.0 1.0 86.7
06/30/00# 0.9+ 0.6+ 40.7
Multi-Asset Portfolio
12/31/95 1.1 3.2 85.9
12/31/96 1.1 2.6 64.1
12/31/97 1.1 2.4 56.5
12/31/98 1.1 2.2 51.1
12/31/99 1.1 2.0 40.9
06/30/00# 1.1+ 2.2+ 19.2
Strategic Multi-Asset Portfolio
12/31/95 1.3 2.7 36.9
12/31/96 1.4 2.0 51.3
12/31/97 1.4 1.8 59.7
12/31/98 1.5 2.0 157.1
12/31/99 1.5 2.4 158.9
06/30/00# 1.2+ 2.5+ 84.2
</TABLE>
---------------
* Selected data for a share of beneficial interest outstanding throughout each
period (calculated based upon average shares outstanding)
** Does not reflect expenses that apply to the separate accounts of the
insurance companies. If such expenses had been included, total return would
have been lower for each period presented.
# Unaudited.
+ Annualized.
---------------------
63
