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Previous: GENZYME CORP, 425, 2000-08-11 |
Next: BELL ATLANTIC CORP, 13F-HR, 2000-08-11 |
Dear Investor,
The six months ended June 30, 2000 brought a further increase in stock market
volatility. It also, however, brought a rotation of stock market leadership out
of large-capitalization growth stocks into smaller-capitalization and some value
stocks, and favorable performance in the bond market. Neither of these market
attributes had been seen in some time. Investors were further challenged by
extreme sector rotation in both stocks and bonds as the various categories of
securities and issuers took turns leading the way, then falling away.
Throughout this period, the Federal Reserve Board voiced continuing concern
about the pace of the economy and its potential impact on inflation, and
illustrated that concern by gradually increasing upward pressure on interest
rate levels. Finally, with its 0.50% increase in the Federal Funds and discount
rates in late-May, signs of a slowing economy began to emerge. Seeing this, with
no signs that inflation was spreading beyond oil and wages, stock and bond
investors felt quite positive as the first half ended and both markets were
heading higher.
This six-month period of wide swings in market direction provided many
opportunities for the Ultra Series Funds to illustrate their ability to
participate in favorable markets, and to provide some downside protection in
falling markets. As discussed in the following pages, all of the stock funds
outperformed their representative market or peer group indexes over this
six-month period. In most cases, this performance edge was achieved primarily by
not losing as much of previous gains during the period's significant market
declines.
This relative stability in difficult markets is a hallmark of our investment
management style and philosophy. We manage all of the core portfolio funds -
Money Market, Bond, Balanced, Growth and Income Stock, and Capital Appreciation
Stock - with the dual objectives of competitive returns and moderated risk. This
dual emphasis cannot eliminate the chances of significant declines in the funds'
share values. It does, however, usually moderate the fluctuations, making it
less difficult (though it's never easy!) for investors to start, and to stay
with, their long-term, systematic investment accumulation programs in spite of
the always-challenging investment markets. As a result, we expect our investors
to realize greater long-term success with their investment programs than those
investors who are attempting to invest "at just the right times" in more
volatile funds.
Looking ahead, there is still the distinct possibility of more Fed-induced
increases in interest rates in the months ahead. The recent pace of corporate
earnings gains should also be expected to ease. However, the underlying economic
foundation in the U. S. remains very sound, and the continuing recovery of most
international economies will further support U. S. economic growth. The Fed's
goal is to temper the rate of U. S. economic growth, not reverse it.
We believe this careful balance can be achieved, and that our investment markets
will continue their advance as attainment of this objective by the Fed becomes
more visible. If so, the rest of this year should be a favorable time to be
adding to long-term investment portfolios, and funds like those in the Ultra
Series family that are managed with an eye on risk should be ideal investment
vehicles.
All of us at CIMCO thank you for your continued confidence in the Ultra Series
Fund.
Sincerely,
/s/ Lawrence R. Halverson
Lawrence R. Halverson, CFA
Vice President
Ultra Series Fund
<PAGE>
TREASURY 2000 FUND
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
GRAPHIC: At this place, the shareholder report shows a graphic representation of
how the Treasury 2000 Fund compared to several indices. Ten thousand dollars
invested on the inception date of July 28, 1988, would have the following
value as of June 30, 2000.
Treasury 2000 Fund.............................................$22,448
Lipper Average.................................................$24,458
Lehman Intermediate Treasury Bond Index........................$23,555
Consumer Price Index...........................................$13,434
Average Annual Total Return
Since Since Since Since
12-31-99 12-31-96 12-31-94 Inception
of Fund
Treasury 2000 Fund 2.80% 5.77% 7.70% 8.01%
Lehman Intermediate Treasury 3.62% 5.77% 6.94% 8.50%
Bond Index2
Lipper Average3 4.20% 5.88% 7.51% 8.89%
Consumer Price Index4 0.60% 1.94% 2.27% 2.85%
1 Fund returns are calculated after mutual fund level expenses have been
subtracted, but do not include any separate account fees, charges or expenses
imposed by the variable annuity and life insurance contracts that use the
Treasury 2000 Fund, as described in the prospectus. Market indexes are not
actual investment alternatives; the returns shown reflect just the income from
and changes in value of the securities in the index and do not reflect any
deduction for the transaction costs, bid/asked spreads, management fees or
operating expenses that would be incurred in an actual indexed or managed
fund.
2 Lehman Intermediate Treasury Bond Index represents an index of the market
values of U.S. Treasury debt instruments having intermediate-term maturities.
3 The Lipper Performance Summary Average for Target Maturity Funds represents
the average annual total return of all the underlying Target Maturity Funds in
Lipper Analytical Services Variable Insurance Products Performance Analysis
Service.
4 Consumer Price Index represents a gauge of inflation that measures changes in
the prices specific consumer goods and services purchased in urban areas.
Figures for more than one year reflect a steady compounded rate. Actual returns
fluctuated year by year. Because principal value and investment return
fluctuate, there may be a gain or loss on withdrawal. Past performance is not
predictive of future results. This material must be preceded or accompanied by a
current prospectus. Current prospectuses are mailed to existing policyholders.
<PAGE>
Management's Discussion of First Half 2000 Performance
Treasury 2000 Fund
Investment Objective: Seeks safety of capital and a relatively predictable
payout upon portfolio maturity, primarily by investing in stripped Treasury
securities.
Management's Discussion: Interest rates in the short-term end of the yield curve
generally rose during six months ended June 30, 2000, with yields on 90-day
Treasury bills rising from 5.33% on December 31, 1999, to 5.85% at the end of
the period. With the continued strength in the U.S. economy, firming global
economies, a surging stock market and tight labor markets, the Federal Reserve
raised interest rates six times during 1999 and 2000, ending with a 0.50%
increase in May. These rate increases do seem to be having the desired effect,
however, so any further increases should be modest.
The Treasury 2000 Fund's investment approach of staying invested exclusively in
U.S. Treasury strips or similar zero coupon securities with a maturity date of
November 15, 2000, allowed the Fund to gain 2.80% in value, comparable to the
results experienced in the intermediate-term bond market and to the returns of
similar funds:
Ultra Series Treasury 2000 Fund 2.80%
Lehman Intermediate Government/Credit Bond Index 3.22%
Lipper Short U. S. Government Mutual Fund Index 2.91%
As is always the case with target maturity funds like Treasury 2000, the
risk/return nature of the fund changes quite dramatically as the maturity date
of the fund approaches. It performs more and more like a money market mutual
fund. Its month-to-month variability of returns decreases, as does its overall
level of returns (barring an extreme change in interest rate levels). Investors
who selected this fund for its attractive returns relative to the certainty of
its value at maturity may be better served by either the Money Market Fund (for
investors seeking high stability of principal and "savings-type" returns), or
the Bond Fund (for investors willing to accept moderate variability in principal
values in the pursuit of higher yields). If you do nothing before the November
15, 2000 maturity date of the Fund's investments, your balances in this Fund
will automatically be transferred to the Money Market Fund. We encourage you to
discuss these alternatives with your representative or call the CUNA Mutual Life
Insurance Company offices at 1-800-798-5500.
CIMCO Inc. Bond Portfolio Management Team
<PAGE>
BOND FUND
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
GRAPHIC: At this place, the shareholder report shows a graphic representation of
how the Bond Fund compared to several indices. Ten thousand dollars invested on
January 3, 1985, would have the following value as of June 30, 2000.
Bond Fund......................................................$19,538
Lehman Intermediate Government/Corporate Bond Index............$20,803
Lipper Average.................................................$17,762
Consumer Price Index...........................................$13,434
Average Annual Total Return
Since Since Since Since Inception
12-31-99 12-31-96 12-31-94 of Fund
Bond Fund 2.58% 4.82% 6.47% 6.59%
Lehman Intermediate Govt./
Corporate Bond Index2 3.21% 5.64% 7.04% 7.23%
Lipper Average3 2.93% 4.66% 5.18% 5.62%
Consumer Price Index4 0.60% 1.94% 2.27% 2.85%
GRAPHIC: At this place, the shareholder report contains a pie chart showing a
portfolio mix of 26.9% in Mortgage Backed/Asset Backed Bonds, 42.7% in U.S.
Corporate Bonds, 21.1% in U.S. Government & Agency Bonds, 6.1% in Non-U.S.
Corporate Bonds, and 3.2% in Short-term Investments.
1 Fund returns are calculated after mutual fund level expenses have been
subtracted, but do not include any separate account fees, charges or expenses
imposed by the variable annuity and life insurance contracts that use the Bond
Fund, as described in the prospectus. Market indexes are not actual investment
alternatives; the returns shown reflect just the income from and changes in
value of the securities in the index and do not reflect any deduction for the
transaction costs, bid/asked spreads, management fees or operating expenses
that would be incurred in an actual indexed or managed fund.
2 Lehman Intermediate Government/Corporate Bond Index represents an index of the
market values of high quality corporate and government debt instruments having
intermediate-term maturities.
3 The Lipper Performance Summary Average for Short/Intermediate Investment Grade
Funds represents the average annual total return of all the underlying
Short/Intermediate Investment Grade Funds in Lipper Analytical Services
Variable Insurance Products Performance Analysis Service.
4 Consumer Price Index represents a gauge of inflation that measures changes in
the prices specific consumer goods and services purchased in urban areas.
Figures for more than one year reflect a steady compounded rate. Actual returns
fluctuated year by year. Because principal value and investment return
fluctuate, there may be a gain or loss on withdrawal. Past performance is not
predictive of future results. This material must be preceded or accompanied by a
current prospectus. Current prospectuses are mailed to existing policyholders.
<PAGE>
Management's Discussion of First Half 2000 Performance
Bond Fund
Investment Objective: Seeks a high level of current income consistent with the
prudent limitation of investment risk through investment in a diversified
portfolio of fixed income securities. The Fund emphasizes short to
intermediate-term, investment grade bonds.
Management's Discussion: The first six months of 2000 saw continuing increases
in short-term interest rates by the Federal Reserve Board, along with declining
yields on long-term U. S. Treasury bonds as fiscal surpluses were used by the
government to purchase some of these bonds. The resulting inversion of the yield
curve, a situation where short-term interest rates exceed longer-term rates,
created a challenging but generally rewarding environment for bond investors.
For the period December 31, 1999 through June 30, 2000, the Lehman Intermediate
Government/Credit Bond Index, an index heavily weighted with Treasury and agency
securities, managed a return of 3.22%. This is equivalent to an annual rate of
approximately 6.54%. The six month return compares with a loss during the same
period of -0.42% for common stocks as measured by the Standard & Poor's 500
Index - the first time in many years that bond returns have exceeded stock
returns.
In this environment, the Bond Fund returned 2.58%, slightly lagging the market
index and its peer group of similar mutual funds.
Ultra Series Bond Fund 2.58%
Lehman Intermediate Govt/Corp Bond Index 3.22%
Lehman Treasury Bond Index 5.37%
Lehman U. S. Credit Corporate Bond Index 2.68%
Lehman U. S. Corporate High Yield Index -1.21%
Lipper Intermediate Investment Grade Bond Fund Index 3.30%
These bond market returns are all quite favorable given the Federal Reserve's
continuing efforts to slow the economy by steadily raising the target federal
funds rate and discount rate, including a 0.50% increase in mid-May. Such moves
led to under-performance of corporate bonds in general versus government
securities, and especially dampened returns on high yield bonds. Investors in
these securities worried about increasing credit problems among bond issuers due
to higher interest costs and the slowing economy. Even with these rate increases
and increasing instances of credit problems with certain bond issuers, however,
bond investors were generally positive by the end of the period, believing that
economic growth has moderated and inflation will remain low. This should allow
the Federal Reserve to end its rate increases before seriously impacting the
most interest rate sensitive companies and sectors of our economy.
We appreciate your continued support and confidence, and are pleased that bonds
have been able in recent months to illustrate their value in a diversified
portfolio. Although the months ahead will certainly contain at least the usual
number of surprises for investors, we remain confident that a patient,
diversified, investment strategy will be successful over the long run.
CIMCO Inc. Bond Portfolio Management Team
<PAGE>
BALANCED FUND
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
GRAPHIC: At this place, the shareholder report shows a graphic representation of
how the Balanced Fund compared to several indices. Ten thousand dollars invested
on January 3, 1985, would have the following value as of June 30, 2000.
Balanced Fund..................................................$30,590
S&P 500 Index..................................................$53,014
Lipper Average.................................................$38,549
Synthetic Index................................................$31,418
Lehman Intermediate Government/Corporate Bond Index............$20,803
90 Day U.S. Treasury Bill......................................$16,813
Consumer Price Index...........................................$13,434
Average Annual Total Return
Since Since Since Since Inception
12-31-99 12-31-96 12-31-94 of Fund
Balanced Fund 3.00% 13.61% 14.61% 11.24%
S&P 500 Index2 -0.41% 23.06% 25.55% 17.22%
Synthetic Index3 1.65% 13.48% 15.03% 11.52%
Lehman Intermediate Govt./ 3.21% 5.64% 7.04% 7.23%
Corporate Bond Index4
Lipper Average5 1.74% 10.93% 12.34% 13.53%
90 Day U.S. Treasury Bill6 2.80% 4.25% 4.70% 4.80%
Consumer Price Index7 0.60% 1.94% 2.27% 2.85%
GRAPHIC: At this place the shareholder report contains a pie chart showing a
portfolio mix of 49.5% in Domestic Common Stocks, 16.9% in U.S. Corporate Bonds,
10.5% in U.S. Government & Agency Bonds, 10.9% in Mortgage Backed/Asset Backed
Bonds, 4.8% in Short-term Investments, 4.3% in Foreign Common Stocks, 2.9% in
Non-U.S. Corporate Bonds, and 0.2% in Other Assets & Liabilities.
1 Fund returns are calculated after mutual fund level expenses have been
subtracted, but do not include any separate account fees, charges or expenses
imposed by the variable annuity and life insurance contracts that use the
Balanced Fund, as described in the prospectus. Market indexes are not actual
investment alternatives; the returns shown reflect just the income from and
changes in value of the securities in the index and do not reflect any
deduction for the transaction costs, bid/asked spreads, management fees or
operating expenses that would be incurred in an actual indexed or managed
fund.
2 The S&P 500 Index, a large company stock index, tracks the value of 500 stocks
chosen for market size, liquidity, and industry group representation, with
each stock weighted in proportion to its market value.
3 The Synthetic Index represents the average annual total returns of a portfolio
which was annually readjusted to 45% Standard and Poor's 500 Index, 40% Lehman
Intermediate Government/Corporate Bond Index, and 15% 90 Day U.S. Treasury
Bills.
4 Lehman Intermediate Government/Corporate Bond Index represents an index of the
market values of high quality corporate and government debt instruments having
intermediate-term maturities.
5 The Lipper Performance Summary Average for Balanced Funds represents the
average annual total return of all the underlying Balanced Funds in Lipper
Analytical Services Variable Insurance Products Performance Analysis Service.
6 90 Day U.S. Treasury Bill represents the total return provided by successive
investments over the period specified in 90 Day U.S. Treasury Bills.
7 Consumer Price Index represents a gauge of inflation that measures changes in
the prices specific consumer goods and services purchased in urban areas.
Figures for more than one year reflect a steady compounded rate. Actual returns
fluctuated year by year. Because principal value and investment return
fluctuate, there may be a gain or loss on withdrawal. Past performance is not
predictive of future results. This material must be preceded or accompanied by a
current prospectus. Current prospectuses are mailed to existing policyholders.
<PAGE>
Management's Discussion of First Half 2000 Performance
Balanced Fund
Investment Objective: Seeks a high total return through the combination of
income and capital growth by investing in common stocks of the type owned in the
Growth and Income and Capital Appreciation Stock Funds, bonds of the type owned
in the Bond Fund and money market instruments of the type owned in the Money
Market Fund.
Management's Discussion: During the six months ended June 30, 2000, U.S. stocks
fluctuated violently as investors questioned the prospects for interest rates,
inflation and corporate earnings. The Standard & Poor's 500 index struggled to a
small loss, -0.42%, significantly lagging (for the first time in a few years)
the performance of mid- and small-capitalization stocks.
Bond investors enjoyed the rare pleasure of outperforming large-capitalization
stocks as the Lehman Intermediate Government/Credit Bond Index returned 3.22%.
Interest rates rose in the short end of the yield curve as the Federal Reserve
Board continued to ratchet rates higher, but long bonds actually declined in
yield as long Treasuries were retired with funds from the unexpectedly high
budget surpluses, and credit conditions remained generally favorable.
The Ultra Series Balanced Fund provided a return of 3.01% for the six months
ended June 30, 2000. This exceeded the 1.74% recorded by similar funds as
represented by the Lipper Balanced Mutual Fund Index over the same time frame.
This is despite the fact that many balanced funds take a more aggressive posture
than the Ultra Series Balanced Fund in their investment allocations and in the
specific selections of stocks, bonds, and money market instruments. The Balanced
Fund's return was also higher than the benchmark's 1.65% gain as represented by
a hypothetical portfolio consisting of 45% S&P 500 index, 40% Lehman Brothers
Intermediate Government/Credit Bond Index and 15% 90-day U.S. Treasury bills.
Ultra Series Balanced Fund 3.01%
Synthetic Index * 1.65%
Lipper Index of Balanced Funds 1.74%
* 45% Standard & Poor's 500, 40% Lehman Intermediate Government/Corporate
Bond Index and 15% 90-day U.S. Treasury Bills
Because the stocks and bonds owned in the Ultra Series Balanced Fund are largely
the same as the securities comprising Ultra Series Capital Appreciation Stock,
Growth and Income Stock, and Bond Funds, please see the information provided for
those funds elsewhere in this report for a more complete description of the
Balanced Fund's portfolio positioning and component results.
Looking ahead, the Fund will continue to be managed as a diversified portfolio
of the most attractive stocks, bonds, and money market investments identified by
the CIMCO portfolio management team. The normal range of asset allocation
exposures is from 40% to 60% stocks, 40% to 60% bonds, and up to 20% money
market instruments. Currently, stocks comprise approximately 55% of net assets
and bonds are roughly 42% of net assets, with the remaining approximately 3%
invested in money market instruments and other assets.
These proportions vary over time in reaction to the pace at which the management
team is finding attractive individual stocks and bonds. For example, as
attractively priced stocks become more plentiful, the stock portion of the
portfolio will grow. The management team uses this "bottom up" asset allocation
approach instead of the more commonly used "top down" tactics because we have
observed that such top-down "market-timing" is rarely successful over the long
term.
The Balanced Fund, through its diversification and flexibility, may be the most
"investment efficient" of all the Ultra Series Funds. It is specifically
designed to help investors harvest broad U.S. securities market returns within
long-term investment programs, and most importantly, to weather difficult
markets with the help of the risk reduction effects of its broad
diversification.
CIMCO Inc. Balanced Portfolio Management Team
<PAGE>
GROWTH AND INCOME STOCK FUND
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
GRAPHIC: At this place, the shareholder report shows a graphic representation of
how the Growth and Income Stock Fund compared to several indices. Ten thousand
dollars invested on January 3, 1985, would have the following value as of June
30, 2000.
Growth and Income Stock Fund...................................$45,999
S&P 500 Index..................................................$53,027
Lipper Index of Large-Cap Value Funds..........................$41,110
Consumer Price Index...........................................$13,434
Average Annual Total Return
Since Since Since Since Inception
12-31-99 12-31-96 12-31-94 of Fund
Growth and Income Stock Fund -2.29% 19.58% 22.16% 15.64%
S&P 500 Index2 -0.41% 23.07% 25.56% 17.22%
Lipper Index of Large-Cap
Value Funds3 -1.99% 15.37% 19.47% 14.41%
Consumer Price Index4 0.60% 1.94% 2.27% 2.85%
TEN LARGEST EQUITY HOLDINGS (% of Portfolio)
EMC Corporation.....................4.4% American Home Products
Nortel Networks Corporation.........4.1% Corporation.....................2.8%
Koninklijke (Royal) Philips Elec. The Walt Disney Company...........2.7%
N.V.-ADR..........................3.3% Hewlett-Packard Company...........2.7%
Texas Instruments Incorporated......3.0% Baxter International Inc..........2.4%
Int'l Business Machines Corp........2.8% Kimberly-Clark Corporation........2.3%
GRAPHIC: At this place, the shareholder report contains a pie chart showing a
portfolio mix of 9.6% in Foreign Common Stocks, 3.3% in Short-term Investments,
0.8% in Other Assets & Liabilities, and 86.3% in Domestic Common Stocks.
1 Fund returns are calculated after mutual fund level expenses have been
subtracted, but do not include any separate account fees, charges or expenses
imposed by the variable annuity and life insurance contracts that use the
Growth and Income Stock Fund, as described in the prospectus. Market indexes
are not actual investment alternatives; the returns shown reflect just the
income from and changes in value of the securities in the index and do not
reflect any deduction for the transaction costs, bid/asked spreads, management
fees or operating expenses that would be incurred in an actual indexed or
managed fund.
2 The S&P 500 Index, a large company stock index, tracks the value of 500 stocks
chosen for market size, liquidity, and industry group representation, with
each stock weighted in proportion to its market value.
3 Lipper Index of Large-Cap Value Funds represents an index of 30 large mutual
funds that invest primarily in large capitalization companies. These funds
normally have below-average price-to-earnings ratios, price-to-book ratios and
three-year earnings growth rates.
4 Consumer Price Index represents a gauge of inflation that measures changes in
the prices specific consumer goods and services purchased in urban areas.
Figures for more than one year reflect a steady compounded rate. Actual returns
fluctuated year by year. Because principal value and investment return
fluctuate, there may be a gain or loss on withdrawal. Past performance is not
predictive of future results. This material must be preceded or accompanied by a
current prospectus. Current prospectuses are mailed to existing policyholders.
<PAGE>
Management's Discussion of First Half 2000 Performance
Growth and Income Stock Fund
Investment Objective: Seeks long-term growth of capital, with income as a
secondary consideration, by investing primarily in common stocks of companies
with financial and market strengths and long-term records of performance.
Management's Discussion: The first half of 2000 saw mixed results for the
various stock market indexes. In general, growth outperformed value, and small-
and mid-capitalization stocks outperformed large-capitalization stocks. During
the period, the market remained in a volatile trading range leaving many of the
broader market indexes essentially unchanged on a year-to-date basis. Returns
ranged widely from an 8.97% gain for the S&P MidCap Index to a loss of -8.44%
for the Dow Jones Industrial Average. Market volatility has remained at near
record levels as investors debate how the economy and corporate profits will
ultimately be impacted by the six interest rate increases implemented by the
Federal Reserve over the past twelve months.
The Ultra Series Growth and Income Stock Fund returned 2.28% during the six
months ended June 30, 2000, outpacing the S&P 500's slight loss (-0.42%) over
this period. The Fund's focus on broadly diversified, reasonably valued stocks
has served investors well by providing greater stability during this period of
above-average volatility. Fund results also outperformed its peer group index,
exceeding the -1.99% loss of the Lipper Large-Cap Value Mutual Fund Index by 427
basis points.
Ultra Series Growth and Income Stock Fund 2.28%
Standard & Poor's Mid Cap 400 Index (Middle capitalization stocks) 8.97%
Russell 1000 Index (Large capitalization stocks) 0.78%
Standard & Poor's 500 Index (Large capitalization stocks) -0.42%
Lipper Large-Cap Value Funds Index -1.99%
Fund results during the first half of the year benefited from strong relative
performance in the technology, consumer staples, consumer cyclical and utilities
sectors. The Fund's technology sector continued to generate strong results,
despite the downward revaluation experienced by many names in that sector.
Holdings such as Texas Instruments, EMC Corp. and Hewlett-Packard each gained
over 40% during the period, contributing to the sector's strong relative
performance. In the consumer staples sector, Nabisco Holdings led the group by
advancing nearly 68% as the company agreed to be acquired by Philip Morris in a
cash deal. The consumer cyclical and utilities sectors both benefited from
strong stock selection.
Fund results were negatively impacted by relative sector under-performance in
the capital goods, healthcare and basic materials sectors. In the capital goods
sector, Honeywell International under-performed significantly as the company
announced disappointing earnings. Healthcare sector results lagged the
corresponding S&P sector return as Bristol Myers-Squibb announced that a key new
product would face unanticipated delays. Basic materials results suffered from
general weakness in stocks such as Georgia-Pacific and Dow Chemical.
We are presently over-weighted in the consumer staples, energy and utilities
sectors while being under-weighted in the consumer cyclical, finance, capital
goods and communication services sectors. All other sectors approximate
benchmark weights. While our sector weightings are determined by the number of
attractive stocks that we identify through bottom-up fundamental analysis, the
degree to which sectors are over-weighted or under-weighted is generally limited
in the Growth and Income Fund to a range of one-half to one-and-one-half times
the benchmark index weight as a risk reduction technique.
Market leadership appears to be broadening beyond the narrow group of stocks
that have dominated investment performance in recent years. After a multi-year
period of under-performance, the small- and mid-capitalization tiers of the
equity market have begun to outperform their large-cap counterparts. Technology
stocks, which have been leading the stock market higher since the latter part of
1998, have begun to falter. If market leadership continues to broaden, we
believe that investors will be well served by a owning shares of a
well-diversified fund with representation across various industries, such as the
Growth & Income Stock Fund.
CIMCO Inc. Common Stock Portfolio Management Team
<PAGE>
CAPITAL APPRECIATION STOCK FUND1
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
GRAPHIC: At this place, the shareholder report shows a graphic representation of
how the Capital Appreciation Stock Fund compared to several indices. Ten
thousand dollars invested on the inception of January 3, 1994, would have the
following value as of June 30, 2000.
Capital Appreciation Stock Fund................................$34,429
S&P 1500 SuperComposite Index..................................$30,291
Lipper Multi-Cap Core Index....................................$29,708
Consumer Price Index...........................................$11,621
The scale on this chart is different from the scale on the other charts in this
report because the fund's inception date is January 3, 1994.
Average Annual Total Return
Since Since Since Since Inception
12-31-99 12-31-96 12-31-94 of Fund
Capital Appreciation Stock Fund -3.26% 22.87% 24.01% 20.95%
S&P 1500 SuperComposite Index3 0.41% 22.39% 23.14% 18.59%
Lipper Index of Multi-Cap Core
Funds4 4.02% 19.82% 22.10% 18.24%
Consumer Price Index5 0.60% 1.94% 2.27% 2.34%
TEN LARGEST EQUITY HOLDINGS (% of Portfolio)
ADC Telecommunications, Inc......4.6% Citigroup Inc.....................2.7%
EMC Corporation..................4.6% Target Corporation................2.7%
Texas Instruments Incorporated...3.1% Micron Technology, Inc............2.4%
Gateway, Inc.....................2.9% 3Com Corporation..................2.3%
Elan Corp PLC - ADR..............2.8% Telefonos de Mexico SP ADR-CI L...2.3%
GRAPHIC: At this place, the shareholder report contains a pie chart showing a
portfolio mix of 9.9% in Foreign Common Stocks, 3.1% in Short-term Investments,
0.5% in Other Assets & Liabilities, and 86.5% in Domestic Common Stocks.
1 Returns on the graph are from inception, January 3, 1994.
2 Fund returns are calculated after mutual fund level expenses have been
subtracted, but do not include any separate account fees, charges or expenses
imposed by the variable annuity and life insurance contracts that use the
Capital Appreciation Stock Fund, as described in the prospectus. Market
indexes are not actual investment alternatives; the returns shown reflect just
the income from and changes in value of the securities in the index and do not
reflect any deduction for the transaction costs, bid/asked spreads, management
fees or operating expenses that would be incurred in an actual indexed or
managed fund.
3.The Capital Appreciation Stock Fund commenced operations January 3, 1994. The
S&P 1500 SuperComposite Index was not established until December 31, 1994. The
above graph shows the performance of the S&P 400 Mid-Cap Index for the period
from fund inception to December 31, 1994, and the performance of the S&P 1500
Index for the period January 1, 1995, to the present.
4 Lipper Index of Multi-Cap Core Funds represents an index of 30 large mutual
funds that invest in stocks of a variety of market capitalization ranges
without concentrating their assets in any one market capitalization size
range. The investments in these funds normally have average price-to-earnings
ratios, price-to-book ratios and three-year earnings growth rates.
5 Consumer Price Index represents a gauge of inflation that measures changes in
the prices specific consumer goods and services purchased in urban areas.
Figures for more than one year reflect a steady compounded rate. Actual returns
fluctuated year by year. Because principal value and investment return
fluctuate, there may be a gain or loss on withdrawal. Past performance is not
predictive of future results. This material must be preceded or accompanied by a
current prospectus. Current prospectuses are mailed to existing policyholders.
<PAGE>
Management's Discussion of First Half 2000 Performance
Capital Appreciation Stock Fund
Investment Objective: Seeks a high level of long term growth of capital by
investing in common stocks, including those of smaller companies and companies
undergoing significant change.
Management's Discussion: The Federal Reserve's interest rate increases took some
wind out of the sails of the large capitalization stocks, and helped push mid-
and small-capitalization stocks higher. The improved market breadth came at the
expense of increased volatility. Daily moves on the NASDAQ of more than three
percent became commonplace. The S&P 400 MidCap Index led the way with a return
of 8.97%, while the Russell 2000 Small Cap Index increased 3.04%. This caused
the S&P 1500 SuperComposite Index's return of 0.42% to outpace the "mirror
image" -0.42% return posted by the S&P 500. The Ultra Series Capital
Appreciation Stock Fund returned 3.27% for the period. This exceeded the
SuperComposite market index by 285 basis points, but slightly lagged the 4.02%
recorded by the Lipper Capital Appreciation Mutual Funds Index.
Ultra Series Capital Appreciation Stock Fund 3.27%
Russell 2000 Index (Small capitalization stocks) 3.04%
Standard and Poor's 400 Index (Middle capitalization stocks)
8.97% Russell 1000 Index (Large capitalization stocks) 0.78%
Standard & Poor's 500 Index (Large capitalization stocks) -0.42%
Standard & Poor's 1500 SuperComposite Index (Large, middle,
and small capitalization stocks) 0.42%
Lipper Capital Appreciation Mutual Funds Index 4.02%
Market performance during the period was driven by the healthcare, utilities,
energy, technology and consumer staples sectors. The same was true in the Fund
as each of these sectors outperformed the overall index as well as their
respective industry groups. The capital goods and basic materials sectors had a
negative impact on fund performance. Significant contributors to the Fund's
strong performance were Elan ADS and Alza in healthcare; El Paso Energy and
Williams Companies in the utilities sector; and Weatherford International in the
energy sector. ADC Telecom, EMC, and Micron Technology drove the technology
sector's return and Nabisco fueled the consumer staples sector performance.
The Fund enters the second half of the year with modestly over-weighted
positions in the basic materials, technology and transportation sectors. The
Fund is slightly under-weighted in the capital goods, finance and healthcare
sectors. Sector weights are a function of our "bottom up" analysis and reflect
the relative attractiveness of individual stocks, not macro-economic assessments
of the broad sectors.
The market's modest overall performance from the beginning to the end of the
period is not representative of the tumultuous activity that beckoned investors
almost throughout this six-month period to deviate from their long-term
investment discipline. The market became unsettled as the Federal Reserve's
interest rate actions began to slow the economy to a more sustainable growth
rate.
The extreme market volatility will likely persist as questions concerning the
ability of the Federal Reserve Board to "soft land" the economy continue to be
debated. Investors have scrambled to reassess the growth and profitability
assumptions for the stocks that they own, resulting in repeated significant
fluctuations in stock prices and valuations. This continuing volatility may test
investors' nerves, but a likely benefit will be the continued improvement in
market breadth as investors discover the value in companies outside the dot-com
world. Volatility always has the potential to disrupt investors' long-term
investment strategies, but during these turbulent times, it is more important
than ever not to attempt to "time" the market. We believe that long term
investors will be rewarded by accumulating a diversified portfolio of quality,
reasonably priced securities like those we seek to provide in the Ultra Series
Capital Appreciation Fund.
CIMCO Inc. Common Stock Portfolio Management Team
<PAGE>
MID-CAP STOCK FUND1
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT
GRAPHIC: At this place, the shareholder report shows a graphic representation of
how the Mid-Cap Stock Fund compared to several indices. Ten thousand dollars
invested on May 1, 1999 would have the following value as of June 30, 2000.
Mid-Cap Stock Fund.............................................$12,114
S&P 400 Stock Index............................................$12,377
Lipper Index of Mid-Cap Value Funds............................$10,858
Consumer Price Index...........................................$10,322
The scale on this chart is different from the scale on the other charts in this
report because the fund's inception date is May 1, 1999.
Total Return From May 1, 1999 Through June 30, 2000 2,3
Mid-Cap Stock Fund 17.86%
S&P 400 Stock Index4 20.05%
Lipper Index of Mid-Cap Value Funds5 7.31%
Consumer Price Index6 2.75%
TEN LARGEST EQUITY HOLDINGS (% of Portfolio)
Elan Corp - PLC ADR................2.2% Handspring, Inc...................2.0%
Ambac Financial Group, Inc.........2.1% MGIC Investment Corporation.......1.9%
Century Tel, Inc...................2.1% Manpower Inc......................1.8%
Charter Communications, Inc........2.1% Genzyme Surgical Products.........1.7%
The Bear Stearns Companies, Inc....2.0% Varian Semiconductor Equipment
Assoc., Inc....................1.7%
GRAPHIC: At this place, the shareholder report contains a pie chart showing a
portfolio mix of 4.1% in Foreign Common Stocks; 3.8% in Short-term Investments,
and 92.1% in Domestic Common Stocks.
1 Returns on the graph are from inception, May 1, 1999.
2 Fund returns are calculated after mutual fund level expenses have been
subtracted, but do not include any separate account fees, charges or expenses
imposed by the variable annuity and life insurance contracts that use the
Mid-Cap Stock Fund, as described in the prospectus. Market indexes are not
actual investment alternatives; the returns shown reflect just the income from
and changes in value of the securities in the index and do not reflect any
deduction for the transaction costs, bid/asked spreads, management fees or
operating expenses that would be incurred in an actual indexed or managed
fund.
3 Not annualized.
4 The S&P 400 Mid-Cap Index tracks the value of 400 domestic stocks chosen for
market size, liquidity and industry group representation, with each stock
weighted in proportion to its market value.
5 Lipper Index of Mid-Cap Value Funds represents an index of 30 large mutual
funds that invest in middle capitalization companies. These funds normally
have below-average price-to-earnings ratios, price-to-book ratios and
three-year earnings growth rates.
6 Consumer Price Index represents a gauge of inflation that measures changes in
the prices specific consumer goods and services purchased in urban areas.
Figures for more than one year reflect a steady compounded rate. Actual returns
fluctuated year by year. Because principal value and investment return
fluctuate, there may be a gain or loss on withdrawal. Past performance is not
predictive of future results. This material must be preceded or accompanied by a
current prospectus. Current prospectuses are mailed to existing policyholders.
<PAGE>
Management's Discussion of First Half 2000 Performance
Mid-Cap Stock Fund
Investment Objective: Seeks long-term capital appreciation by investing in
common stocks of midsize and small companies.
Management's Discussion: The stock market cooled off during the first six months
of 2000. Following its unprecedented fifth consecutive calendar year of returns
above 20%, the S&P 500 returned -0.42% during the first half. The S&P 400 MidCap
index outperformed the larger stock S&P 500 index, returning a solid 8.97%. This
MidCap index had lagged the larger stock index in each of the last six calendar
years. The S&P 600 SmallCap index also did better than large stocks, returning
6.89%. In this environment of out-performance by smaller stocks, the Mid-Cap
Stock Fund significantly out-performed the S&P 500 Index and its Mid-Cap Value
mutual fund peer group, but somewhat lagged the MidCap and SmallCap indexes.
Ultra Series Mid-Cap Stock Fund 6.56%
Standard & Poor's MidCap 400 Index (Middle capitalization stocks) 8.97%
Russell Midcap Index (Middle capitalization stocks) 5.12%
Standard & Poor's SmallCap 600 Index (Small capitalization stocks) 6.89%
Russell 2000 Index (Small capitalization stocks) 3.04%
Lipper Mid-Cap Value Mutual Fund Index 1.96%
The Mid-Cap Stock Fund's performance was driven largely by its technology
investments. The technology sector was 23% of the Fund's investments, versus 24%
for the S&P MidCap index. While we have slightly less invested in technology
than the index, our technology stocks gained almost 30% during the first half,
nearly twice as much as the 15% return of the S&P MidCap technology sector. Our
leading contributors in this area were ADC Telecom, LSI Logic, and Varian
Semiconductor. Our smaller investment in energy stocks, 5% of the Fund versus 8%
of the S&P MidCap index, was our highest returning sector, rising 60% led by
Ensco, BJ Services, and Smith International. The Fund's weakest sectors were
also our smallest positions. Transportation was about 1.5% of the Fund, and
declined 39% due to holdings in Hertz and MidWest Express. Communication
services was approximately 2% of the Fund and declined 37% due largely to
CenturyTel.
The Fund enters the second half of 2000 overweight in the capital goods,
finance, and miscellaneous sectors. The Fund is underweight in utilities and
energy. Sector weights are a function of our "bottom-up" analysis and reflect
the relative attractiveness of individual stocks, not macro-economic assessments
of the broad sectors.
It is important for investors in the mid-cap segment to expect a wide range of
returns among the various market and peer group measures. This is true to some
degree in all market segments. Any one cross section of a market sector, as
compiled for a market index or as accumulated in a mutual fund, can be quite
different from another sampling of the sector. This is particularly true in the
mid-cap market sector (generally defined as stocks of companies with market
capitalizations - the total market value of their outstanding shares of common
stock - between $1 billion and $10 billion) because this size category is so
diverse in terms of individual company characteristics.
A portion of your Mid-Cap Stock Fund is invested in smaller stocks - typically
from 15% to 30% of total Fund assets. Returns during the first half of 2000 from
the universe of small stocks, as measured by the Russell 2000, were led higher
by value stocks, especially energy issues. In this period, the Russell 2000
Value Index returned 5.9%, compared to 1.2% for the Russell 2000 Growth Index.
This is a reversal from the second half of 1999, when the Russell 2000 Value
Index's 1% loss markedly lagged the Russell 2000 Growth Index's 43% rise. We see
great opportunity in smaller stocks, especially those that are classified as
value. The Fund holds numerous financial and consumer cyclical issues in the
small stock universe.
Currently, we believe the mid-cap area offers an excellent combination of good
fundamentals and low valuations. While the S&P 400 MidCap Index has lagged the
large-cap S&P 500 for the last six calendar years, its long-term record is
superior and we believe the next few years can offer better relative returns for
this sector. The first half of 2000 may mark the beginning of such a turn.
CIMCO Inc. Common Stock Portfolio Management Team
<PAGE>
MONEY MARKET FUND
Schedule of Investments
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Quality Rating Annualized Maturity Par/Shares
Assets (Unaudited)* Yield Date Amount Value
------ ------------ ----- ---- ------ -----
<S> <C> <C> <C> <C> <C> <C>
COMMERCIAL PAPER 66.6%
American Express Credit Corp. A-1/P-1 6.660% 07/06/00 $1,300,000 $ 1,298,817
American Express Credit Corp. A-1/P-1 6.827 10/12/00 1,500,000 1,471,675
AT&T Corp. A-1+/P-1 6.708 07/17/00 4,000,000 3,988,338
Bell South Telecom Inc. A-1+/P-1 6.622 07/06/00 3,000,000 2,997,300
Coco-Cola Company A-1/P-1 6.673 07/27/00 2,030,000 2,020,441
Emerson Electric Co. A-1+/P-1 6.659 07/05/00 4,000,000 3,997,102
GE Capital Corp. A-1+/P-1 6.763 07/17/00 1,073,000 1,069,829
General Motors Acceptance Corporation A-1/P-1 6.530 07/11/00 3,750,000 3,743,375
Goldman Sachs Group Inc. A-1+/P-1 6.730 08/09/00 4,000,000 3,971,487
IBM Credit Corp A-1/P-1 6.629 07/14/00 4,000,000 3,990,611
John Deere Capital Corp. A-1/P-1 6.717 07/26/00 3,000,000 2,986,334
McGraw Hill Companies A-1/P-1 6.725 07/31/00 3,000,000 2,983,625
Merrill Lynch & Co Inc A-1+/P-1 6.647 07/12/00 4,000,000 3,992,019
Motorola Credit Corp. A-1/P-1 6.743 07/25/00 1,600,000 1,592,939
Pharmacia Corp. A-1+/P-1 6.779 07/24/00 4,000,000 3,983,082
Procter & Gamble Co. A-1+/P-1 6.636 07/13/00 1,312,000 1,309,157
SBC Communications, Inc. A-1+/P-1 6.718 07/20/00 4,000,000 3,986,151
Wal-Mart Stores Inc. A-1+/P-1 6.656 08/01/00 4,000,000 3,977,611
Walt Disney Company A-1/P-1 6.645 07/10/00 4,000,000 3,993,470
----------
57,353,363
----------
U.S. GOVERNMENT 1.2%
U.S. Treasury Note 5.374 07/31/00 1,000,000 1,000,000
----------
QUASI-GOVERNMENT/
GOVERNMENT SPONSORED 27.7%
Federal Home Loan Bank Discount Note 6.058 11/03/00 5,000,000 4,996,014
Federal Home Loan Bank Discount Note 6.162 08/18/00 5,000,000 4,960,533
Federal Farm Credit Discount Notes 6.560 08/21/00 4,000,000 3,963,677
Federal National Mortgage Association
Discount Notes 6.698 10/16/00 5,000,000 4,903,997
Federal Home Loan Bank 7.050 05/17/01 5,000,000 5,000,000
----------
23,824,221
----------
REGISTERED INVESTMENT COMPANY 4.4%
State Street Prime Money Market 6.580 3,786,731 3,786,731
----------
TOTAL INVESTMENTS, MONEY MARKET
FUND $85,964,315
==========
</TABLE>
Values of investment securities are determined as described in Note 2 of the
financial statements.
*Moody's/Standard & Poors' quality ratings (unaudited). See the current
Prospectus and Statement of Additional Information for a complete description of
these ratings.
See accompanying notes to financial statements.
<PAGE>
TREASURY 2000 FUND
Schedule of Investments
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% of Interest Maturity Principal
Net Assets Rate Date Amount Value
---------- ---- ---- ------ -----
<S> <C> <C> <C> <C> <C>
GOVERNMENT GUARANTEED - U.S.:
U.S. Treasury Strip (Cost $1,787,761)* 100.2% 9.69% 11/15/00 $2,000,000 $1,959,038
=========
</TABLE>
Values of investment securities are determined as described in Note 2 of the
financial statements.
Interest rate on stripped Treasury Security represents annualized yield to
maturity at date of purchase.
*At June 30 2000, the cost of securities for federal income tax purposes was
$1,787,761. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
Gross unrealized appreciation............................... $171,277
Gross unrealized depreciation............................... --
--------
Net unrealized appreciation................................. $171,277
========
See accompanying notes to financial statements.
<PAGE>
BOND FUND
Schedule of Investments
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Annualized
Assets Yield Shares Value
------ ----- ------ -----
SHORT-TERM INVESTMENTS:
<S> <C> <C> <C> <C> <C> <C>
REGISTERED INVESTMENT COMPANY 3.4%
State Street Prime Money Market 6.580% 9,471,259 $9,471,259
---------
TOTAL SHORT-TERM INVESTMENTS
(COST: $9,471,259) 9,471,259
---------
Quality Rating Coupon Maturity Par
LONG-TERM INVESTMENTS: (Unaudited)* Rate Date Amount
------------ ---- ---- ------
U.S. GOVERNMENT & AGENCY BONDS: 46.3%
GOVERNMENT NOTES 15.3%
U.S. Treasury Note AAA 5.875% 11/15/04 $4,000,000 3,940,000
U.S. Treasury Note AAA 11.125 08/15/03 5,000,000 5,657,815
U.S. Treasury Note AAA 10.750 08/15/05 3,000,000 3,575,625
U.S. Treasury Note AAA 6.750 05/15/05 2,000,000 2,046,876
U.S. Treasury Note AAA 8.125 05/15/21 3,000,000 3,652,500
U.S. Treasury Note AAA 6.625 05/15/07 3,500,000 3,572,188
U.S. Treasury Note AAA 6.000 08/15/09 5,000,000 4,959,375
U.S. Treasury Note AAA 10.750 08/15/05 4,600,000 4,648,875
U.S. Treasury Note AAA 10.750 02/15/03 10,000,000 11,025,000
----------
43,078,254
----------
GOVERNMENT AGENCIES 31.0%
Federal Home Loan Mortgage Corp. Gold
Pool C01005 AAA 8.000 06/01/30 10,000,000 10,056,600
Federal Home Loan Bank Note-CPI Floating Rate AAA 5.902 02/20/07 2,000,000 1,911,440
Federal Home Loan Bank AAA 7.000 04/09/18 1,000,000 912,736
Federal Home Loan Mortgage Corp. AAA 6.600 11/19/13 1,350,000 1,227,545
Federal National Mortgage Assn. Convential Loan
Pool 541215 AAA 7.500 06/01/30 4,000,000 3,942,200
Federal National Mortgage Assn. Convential Loan
Pool 253356 AAA 8.000 06/01/30 4,999,500 5,021,548
Federal National Mortgage Assn. Convential Loan
Pool 537433 AAA 8.000 05/01/30 4,700,000 4,720,728
Federal National Mortgage Association 96-M6 G AAA 7.750 09/17/23 772,442 777,994
Federal National Mortgage Association AAA 7.000 08/27/12 3,000,000 2,859,810
Federal National Mortgage Association Pool 519049 AAA 8.000 09/01/29 4,741,890 4,771,717
Federal National Mortgage Association AAA 6.290 01/22/08 2,591,000 2,427,466
Federal National Mortgage Association Pool 537367 AAA 7.000 06/01/30 2,000,026 1,930,285
Federal National Mortgage Association Pool 523482 AAA 7.000 06/01/30 3,000,000 2,895,390
Federal Home Loan Mortgage Corp. AAA 7.000 03/15/10 2,000,000 1,983,150
Government National Mortgage Assoc. Multiple Issuer
Pool 2935 AAA 8.000 06/20/30 8,000,000 8,038,320
Government National Mortgage Assoc. Multiple Issuer
Pool 2921 AAA 7.500 05/20/30 10,929,831 10,789,383
Government National Mortgage Assoc. Multiple Issuer
Pool 2934 AAA 7.500 06/22/30 2,500,000 2,467,875
Government National Mortgage Assoc. Multiple Issuer
Pool 2909 AAA 8.000 04/20/30 11,482,547 11,537,549
Government National Mortgage Assoc. Multiple Issuer
Pool 2922 AAA 8.000 05/20/30 3,994,613 4,013,747
Small Business Administration Pool 504476 AAA 7.000 04/05/24 4,823,303 4,908,657
-----------
87,194,140
-----------
TOTAL U.S. GOVERNMENT & AGENCY BONDS 127,985,152 130,272,394
(COST: $129,519,477) -----------
U.S. CORPORATE BONDS: 44.4%
BASIC MATERIALS 4.3%
Chemicals 1.1%
---------
ICI Wilmington BAA-1/A- 9.500 11/15/00 3,000,000 3,016,722
---------
Paper/Forest Products 2.5%
---------------------
Chesapeake Corp. BA-2/BB+ 7.200 03/15/05 1,000,000 931,789
International Paper BAA-1/BBB+ 6.875 04/15/29 2,000,000 1,671,662
International Paper, 144A (A) BAA-1/BBB+ 8.125 07/08/05 2,700,000 2,723,819
Weyerhaeuser Co. A-3/A 6.950 08/01/17 2,000,000 1,774,376
---------
7,101,646
---------
Steel 0.7%
-----
Commercial Metals BAA-1/BBB+ 7.200 07/15/05 2,000,000 1,949,160
--------
</TABLE>
<PAGE>
BOND FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Quality Rating Coupon Maturity Par
Assets (Unaudited)* Rate Date Amount Value
------ ------------ ---- ---- ------ -----
<S> <C> <C> <C> <C> <C> <C>
CAPITAL GOODS 3.2%
Building Products. 1.4%
-----------------
Owens Corning BAA-3/BB+ 7.700% 05/01/08 $3,000,000 $1,912,722
Owens Corning BAA-3/BB+ 7.500 05/01/05 2,977,000 2,065,294
---------
3,978,016
---------
Engineering/Consulting 0.9%
----------------------
Foster Wheeler Corp. BAA-3/BBB- 6.750 11/15/05 3,000,000 2,509,410
---------
Manufacturing-Diversified 0.9%
-------------------------
Giddings & Lewis BA1/BBB 7.500 10/01/05 2,500,000 2,457,275
---------
COMMUNICATION SERVICES 2.6%
Telephone 2.6%
---------
AT&T Corp. A-1/AA- 6.000 03/15/09 3,000,000 2,674,917
Worldcom A-3 8.250 05/15/10 2,000,000 2,047,112
Vodafone Airtouch PLC A-2/A- 7.500 07/15/06 2,500,000 2,481,493
---------
7,203,522
---------
CONSUMER CYCLICAL 7.9%
Auto Manufacturers 3.9%
------------------
Borg-Warner Automotive BAA-2/BBB+ 7.125 02/15/29 3,000,000 2,476,941
Cummins Engine BAA-1/BBB+ 6.450 03/01/05 3,000,000 2,782,605
Meritor Automotive Inc. BAA-2/BBB 6.800 02/15/09 3,000,000 2,569,449
TRW Inc. BAA-1/BBB 8.750 05/15/06 3,000,000 3,056,154
---------
10,885,149
---------
Funeral Services 0.4%
----------------
Service Corp. International BA3/BB+ 7.200 06/01/06 2,000,000 1,090,000
---------
Retail-General 1.9%
--------------
Dollar General Corp. 144A (A) BAA-2/BBB+ 8.625 06/15/10 3,500,000 3,479,252
Saks Incorporated BAA-3/BB+ 7.250 12/01/04 2,000,000 1,796,826
---------
5,276,078
---------
Retail-Specialty 1.7%
----------------
Lowe's Companies, Inc. A-2/A 8.250 06/01/10 2,000,000 2,043,584
Whirlpool Corp. BAA-1/BBB+ 8.600 05/01/10 2,750,000 2,858,562
---------
4,902,146
---------
CONSUMER STAPLES 3.3%
Food Retailers 1.6%
--------------
Conagra Inc. BAA-1/BBB+ 6.700 08/01/27 3,000,000 2,766,657
Great Atlantic & Pacific Tea BA-1/BBB- 7.750 04/15/07 2,000,000 1,807,310
---------
4,573,967
---------
Media-TV/Radio/Cable 1.7%
--------------------
Clear Channel Communications BAA-3/BBB- 7.875 06/15/05 3,000,000 3,014,517
Liberty Media Group BAA-3/BBB- 8.250 02/01/30 2,000,000 1,836,526
---------
4,851,043
---------
ENERGY 6.0%
Refining 1.6%
--------
Valero Energy Corp. BAA-3/BBB- 7.375 03/15/06 3,000,000 2,896,344
Valero Energy Corp. BAA-3/BBB- 8.375 06/15/05 1,500,000 1,523,411
---------
4,419,755
---------
</TABLE>
<PAGE>
BOND FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Quality Rating Coupon Maturity Par
Assets (Unaudited)* Rate Date Amount Value
------ ------------ ---- ---- ------ -----
<S> <C> <C> <C> <C> <C> <C>
Oil-Domestic 4.4%
------------
Amerada Hess Corp. BAA-1/BBB 7.875% 10/01/29 $2,500,000 $2,453,325
Ashland , Inc. BAA-2/BBB 6.625 02/15/08 4,000,000 3,641,068
Phillips Petroleum Co. BAA-/BBB 8.500 05/25/05 3,500,000 3,621,996
Union Oil Company of California BBB+ 6.500 05/01/08 3,000,000 2,772,414
---------
12,488,803
---------
FINANCE 4.2%
Banks 2.1%
-----
Compass Bank A-1/A- 8.100 08/15/09 3,000,000 2,979,837
Wells Fargo Company AA-2/A+ 6.400 04/26/02 3,000,000 3,000,723
---------
5,980,560
---------
Brokerage 0.7%
---------
Merrill Lynch & Co. Series B MTN AA-3/AA- 7.850 05/30/03 2,000,000 2,016,364
---------
Insurance 1.4%
---------
American General Capital II A 8.500 07/01/30 2,000,000 2,002,980
GE Global Insurance AA-1/AA 7.500 06/15/10 2,000,000 1,982,956
---------
3,985,936
---------
HEALTHCARE 1.3%
Medical Services 1.3%
----------------
Columbia/HCA Healthcare Corporation BA-2/BB+ 6.125 12/15/00 1,000,000 990,132
Tenet Healthcare 144A (A) BA-1/BB+ 9.250 09/01/10 2,600,000 2,619,500
---------
3,609,632
---------
INDUSTRIAL 1.1%
Electronics 1.1%
-----------
Avnet Inc. A-3/A- 7.875 02/15/05 3,000,000 3,039,078
---------
TRANSPORTATION 4.4%
Airlines 1.3%
--------
American Airlines A-2/BBB 8.040 09/16/11 1,705,001 1,691,719
Delta Air Lines BAA-1/BBB 8.540 01/02/07 247,457 251,113
Delta Air Lines BAA-1/BBB 8.300 12/15/29 2,000,000 1,754,106
Southwest Airlines A-1/A 8.700 07/01/11 17,925 18,763
---------
3,715,701
---------
Leasing 2.0%
-------
Amerco BA-1/BBB 8.800 02/04/05 3,000,000 2,870,763
Amerco BA-1/BBB 7.200 04/01/02 3,000,000 2,868,993
---------
5,739,756
---------
Railroads 1.1%
---------
Norfolk Southern Corp. BAA-1/BBB 8.625 05/15/10 2,600,000 2,714,421
Union Pacific RR A-1/A- 6.540 07/01/15 401,389 365,906
---------
3,080,327
---------
UTILITIES 4.4%
Electric Power 3.6%
--------------
DPL Inc 144A (A) BAA-1/BBB 8.250 03/01/07 3,200,000 3,189,910
Key Span Gas East A-3/A 7.875 02/01/10 2,000,000 2,004,786
MidAmerican Energy Holdings BAA-3/BBB- 6.960 09/15/03 3,000,000 2,938,146
Texas Utilities Co. BAA-2/BBB 6.375 02/01/04 2,000,000 1,929,666
---------
10,062,508
---------
Gas Pipeline 0.8%
------------
El Paso Natural Gas BAA-1/BBB+ 7.500 11/15/26 2,500,000 2,317,030
---------
</TABLE>
<PAGE>
BOND FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Quality Rating Coupon Maturity Par
Assets (Unaudited)* Rate Date Amount Value
------ ------------ ---- ---- ------ -----
<S> <C> <C> <C> <C> <C> <C>
MISCELLANEOUS 1.7%
Asset Backed/Commercial Backed 1.7%
------------------------------
Captec Franchise Trust Series 2000-1
Class A1 144A (A) AAA 7.892% 10/15/10 $4,881,189 $4,918,188
----------
TOTAL U.S. CORPORATE BONDS
(COST: $126,121,022) 125,167,772
----------
NON-U.S. CORPORATE BONDS: 6.1%
FOREIGN ISSUES: 6.1%
Abbey National PLC AA-3/A+ 8.963 12/29/49 2,000,000 1,986,144
ABN-Amro Bank, N.V. Series B AA-3/AA- 7.750 05/15/23 2,000,000 1,944,388
Deutsche Telekom, Int Fin AA-2/AA- 8.250 06/15/30 3,500,000 3,554,534
HSBC Capital Funding LP 144A (A) A-1 10.176 12/29/49 2,000,000 2,140,578
Petro Geo-Services ASA BAA-3/BBB 7.125 03/30/28 3,000,000 2,481,873
Teleglobe, Inc. BAA-1/BBB+ 7.700 07/20/29 3,000,000 2,834,820
YPF Sociedad Anonima BAA-1/BBB- 9.125 02/24/09 2,000,000 2,027,500
YPF Sociedad Anonima BAA-1/BBB- 7.500 02/24/09 176,634 177,076
-----------
TOTAL NON-U.S. CORPORATE BONDS
(COST $16,726,601) 17,146,913
-----------
TOTAL INVESTMENTS, BOND FUND
(COST: $281,838,359)** $282,058,338
===========
</TABLE>
Values of investment securities are determined as described in Note 2 of the
financial statements.
*Moody's/Standard & Poors' quality ratings (unaudited). See the current
Prospectus and Statement of Additional Information for a complete description of
these ratings.
**At June 30, 2000, the estimated cost of securities for federal income tax
purposes was $281,996,814. The aggregate unrealized appreciation and
depreciation of investments in securities based on this cost were:
Gross unrealized appreciation................................. $2,891,679
Gross unrealized depreciation................................. (2,830,155)
---------
Net unrealized depreciation................................... $ 61,524
=========
***If applicable, this security provides a claim on the interest component of
the underlying mortgages, but not on their principal component. That is, the
security's cash flows depend on the amount of principal outstanding at the
payment date. If prepayments on the underlying mortgages are higher than
expected, the yield on the security may be adversely affected.
(A) Restricted security sold within the terms of a private placement memorandum
exempt from registration under section 144A of the Securities Act of 1933,
as amended, and may be sold only to dealers in that program or other
"qualified institutional investors." On June 30, 2000, the total market
value of these investments was $19,071,247, or 6.78% of total net assets.
ABS Asset Backed Security
CMO Collateralized Mortgage Obligation
CPI Consumer Price Index
IO Interest Only
MTN Medium Term Note
PLC Public Limited Company
See accompanying notes to financial statements.
<PAGE>
BALANCED FUND
Schedule of Investments
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Annualized
Assets Yield Shares Value
------ ----- ------ -----
SHORT-TERM INVESTMENTS:
<S> <C> <C> <C> <C> <C> <C>
REGISTERED INVESTMENT COMPANY 4.8%
State Street Prime Money Market 6.580% 31,008,080 $31,008,080
----------
TOTAL SHORT-TERM INVESTMENTS
(COST: $31,008,079) 31,008,080
----------
Quality Rating Coupon Maturity Par
LONG-TERM INVESTMENTS: (Unaudited)* Rate Date Amount
------------ ---- ---- ------
BONDS: 41.2%
U.S. GOVERNMENT & AGENCY BONDS: 20.6%
GOVERNMENT NOTES 6.9%
U.S. Treasury Notes AAA 5.875% 11/15/04 $6,000,000 5,910,000
U.S. Treasury Notes AAA 11.125 08/15/03 5,000,000 5,657,815
U.S. Treasury Notes AAA 10.750 08/15/05 3,000,000 3,575,625
U.S. Treasury Notes AAA 6.250 02/15/07 5,000,000 5,004,690
U.S. Treasury Notes AAA 6.750 05/15/05 3,000,000 3,070,314
U.S. Treasury Notes AAA 8.125 05/15/21 3,000,000 3,652,500
U.S. Treasury Notes AAA 9.125 05/15/09 6,000,000 6,528,750
U.S. Treasury Notes AAA 10.750 02/15/03 10,000,000 11,025,000
----------
44,424,694
----------
GOVERNMENT AGENCIES 13.7%
Federal Home Loan Bank Note-CPI Floating Rate AAA 5.902 02/20/07 5,000,000 4,778,600
Federal Home Loan Mortgage Corp. Gold Pool C01005 AAA 8.000 06/01/30 8,000,000 8,045,280
Federal Home Loan Mortgage Corp. AAA 6.875 01/15/05 5,000,000 4,969,210
Federal National Mortgage Assn. Convential Loan
Pool 541215 AAA 7.500 06/01/30 5,000,000 4,927,750
Federal National Mortgage Assn. Convential Loan
Pool 253356 AAA 8.000 06/01/30 4,999,500 5,021,548
Federal National Mortgage Assn. Pool 533977 AAA 8.000 03/01/30 1,983,692 1,992,441
Federal National Mortgage Assn. AAA 7.000 08/27/12 3,000,000 2,859,810
Federal National Mortgage Assn. Pool 50564 AAA 7.500 04/01/22 2,031,392 2,015,629
Federal National Mortgage Assn. Pool 50665 AAA 7.500 12/01/22 2,698,092 2,677,155
Federal National Mortgage Assn. Pool 519049 AAA 8.000 09/01/29 4,741,890 4,771,717
Federal National Mortgage Assn. - 96-M6 G AAA 7.750 09/17/23 3,089,768 3,111,975
Federal Home Loan Mortgage Corp. AAA 7.000 04/28/14 2,000,000 1,858,876
Federal Home Loan Mortgage Corp. AAA 7.000 03/04/14 1,000,000 930,161
Federal Home Loan Mortgage Corp. AAA 7.000 03/15/10 3,500,000 3,470,512
Government National Mortgage Assoc. Multiple Issuer
Pool 2935 AAA 8.000 06/20/30 6,200,000 6,229,698
Government National Mortgage Assoc. Multiple Issuer
Pool 2921 AAA 7.500 05/20/30 9,992,342 9,863,940
Government National Mortgage Assoc. Multiple Issuer
Pool 2908 AAA 7.500 04/20/30 4,985,649 4,921,584
Government National Mortgage Assoc. Multiple Issuer
Pool 2934 AAA 7.500 06/22/30 2,500,000 2,467,875
Government National Mortgage Assoc. Multiple Issuer
Pool 2909 AAA 8.000 04/20/30 8,999,997 9,043,108
Small Business Admistration Pool 504476 AAA 7.000 04/25/24 3,858,643 3,926,925
----------
87,883,794
----------
TOTAL U.S. GOVERNMENT & AGENCY
BONDS (COST $131,950,847) 132,308,488
-----------
U.S. CORPORATE BONDS: 17.7%
BASIC MATERIALS 1.4%
Paper/Forest Products 0.9%
---------------------
International Paper Co. BAA-1/BBB+ 6.875 04/15/29 2,000,000 1,671,662
International Paper Co. 144A (A) BAA-1/BBB+ 8.125 07/08/05 2,000,000 2,017,644
Weyerhaeuser Co. A-3/A 6.950 08/17/17 2,000,000 1,774,376
---------
5,463,682
---------
Steel 0.5%
-----
Commercial Metals BAA-1/BBB+ 7.200 07/15/05 3,500,000 3,411,030
---------
CAPITAL GOODS 0.8%
Building Products 0.3%
-----------------
Owens Corning BAA-3/BB+ 7.700 05/01/08 3,500,000 2,231,509
---------
</TABLE>
<PAGE>
BALANCED FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Quality Rating Coupon Maturity Par
Assets (Unaudited)* Rate Date Amount Value
------ ------------ ---- ---- ------ -----
<S> <C> <C> <C> <C> <C> <C>
Engineering/Consulting 0.4%
----------------------
Foster Wheeler Corp. BAA-3/BBB- 6.750% 11/15/05 $3,000,000 $2,509,410
---------
Manufacturing-Diversified 0.1%
-------------------------
Giddings & Lewis BA-1/BBB 7.500 10/01/05 500,000 491,455
---------
COMMUNICATION SERVICES 1.2%
Telephone 1.2%
---------
AT&T Corp. A-1/AA- 6.000 03/15/09 3,800,000 3,388,228
Worldcom A-3 8.250 05/15/10 2,000,000 2,047,112
Vodafone Airtouch PLC A-2/A- 7.500 07/15/06 2,500,000 2,481,493
---------
7,916,833
---------
CONSUMER CYCLICAL 3.7%
Auto Manufacturers 2.3%
------------------
Borg-Warner Automotive BAA-2/BBB+ 7.125 02/15/29 4,500,000 3,715,412
Cummins Engine BAA-1/BBB+ 6.450 03/01/05 3,000,000 2,782,605
Cummins Engine Co. Inc. BAA-1/BBB+ 7.125 03/01/05 3,000,000 2,529,018
Meritor Automotive Inc. BAA-2/BBB 6.800 02/15/09 3,000,000 2,569,449
TRW Inc. BAA-1/BBB 8.750 05/15/06 3,000,000 3,056,154
---------
14,652,638
---------
Funeral Services 0.2%
----------------
Service Corp International BA-3/BB+ 7.200 06/01/06 2,000,000 1,090,000
---------
Retail - General 0.9%
----------------
Dollar General Corp 144A (A) BAA-2/BBB+ 8.625 06/15/10 4,000,000 3,976,288
Saks Incorporated BAA-3/BB+ 7.250 12/01/04 2,000,000 1,796,826
---------
5,773,114
---------
Retail - Speciality 0.3%
-------------------
Lowe's Companies Inc. A-2/A 8.250 06/01/10 2,000,000 2,043,584
---------
CONSUMER STAPLES 1.5%
Food Retailers 0.7%
--------------
Conagra Inc. BAA1/BBB+ 6.700 08/01/27 3,000,000 2,766,657
Great Atlantic & Pacific Tea BA-1/BBB- 7.750 11/15/29 2,000,000 1,807,310
---------
4,573,967
---------
Media-TV/Radio/Cable 0.8%
--------------------
Clear Channel Communications BAA-3/BB+ 7.875 06/15/05 3,000,000 3,014,517
Liberty Media Group BAA-3/BBB- 8.250 02/01/30 2,000,000 1,836,526
---------
4,851,043
---------
ENERGY 2.4%
Refining 0.5%
--------
Valero Energy Corp. BAA-3/BBB- 7.375 03/15/06 3,000,000 2,896,344
---------
Oil-Domestic 1.9%
------------
Amerada Hess Corp. BAA-1/BBB 7.588 10/01/29 2,500,000 2,453,325
Ashland, Inc. BAA-2/BBB 6.625 02/15/08 4,000,000 3,641,068
Phillips Petroleum Co. BAA-2/BBB 8.500 05/25/25 3,000,000 3,104,568
Union Oil Company of California BAA-1/BBB+ 7.350 06/15/09 3,000,000 2,913,741
---------
12,112,702
---------
FINANCE 2.0%
Banks 0.9%
-----
Compass Bank A-1/A- 8.100 08/15/09 3,000,000 2,979,837
Wells Fargo Company AA-2/A+ 6.400 04/26/02 3,000,000 3,000,723
---------
5,980,560
---------
</TABLE>
<PAGE>
BALANCED FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Quality Rating Coupon Maturity Par
Assets (Unaudited)* Rate Date Amount Value
------ ------------ ---- ---- ------ -----
<S> <C> <C> <C> <C> <C> <C>
Brokerage 0.3%
---------
Merrill Lynch & Co. Series B MTN AA-3/AA- 7.850% 05/30/03 $2,000,000 $2,016,364
---------
Insurance 0.8%
---------
American General Capital II A 8.500 07/01/30 2,000,000 2,002,980
GE Global Insurance AA-1/AA 7.500 06/15/10 3,000,000 2,974,434
---------
4,977,414
---------
HEALTHCARE 0.2%
Medical Services 0.2%
----------------
Columbia/HCA Healthcare Corporation BA-2/BB+ 6.125 12/15/00 1,000,000 990,132
---------
INDUSTRIAL 0.6%
Electronics 0.6%
-----------
Avnet Inc. A-3/A- 7.875 02/15/05 4,000,000 4,052,104
---------
TRANSPORTATION 1.5%
Airlines 0.6%
--------
American Airlines A-2/BBB 8.040 09/16/11 852,500 845,860
Delta Air Lines BAA-1/BBB 8.540 01/02/07 1,251,414 1,269,897
Delta Air Lines BAA-3/BBB- 8.300 12/15/29 2,000,000 1,754,106
---------
3,869,863
---------
Leasing 0.4%
-------
Amerco BA-1/BBB 8.800 02/04/05 3,000,000 2,870,763
---------
Railroad 0.4%
--------
Norfolk Southern Corp. BAA-1/BBB 8.625 05/15/10 2,600,000 2,714,421
---------
Trucking & Shipping 0.1%
-------------------
Federal Express A-3/BBB+ 7.890 09/23/08 396,531 388,406
---------
UTILITIES 1.6%
Electric Power 1.2%
--------------
DPL Inc 144A (A) BAA-1/BBB 8.250 03/01/07 3,000,000 2,990,541
Key Span Gas East A-1/A 7.875 02/01/10 2,000,000 2,004,786
MidAmerican Energy Holdings BAA-3/BBB- 6.960 09/15/03 3,000,000 2,938,146
---------
7,933,473
---------
Gas Pipeline 0.4%
------------
El Paso Natural Gas BAA-1/BBB+ 7.500 11/15/26 3,000,000 2,780,436
---------
MISCELLANEOUS 0.8%
Asset Backed/Commercial Backed 0.8%
------------------------------
Captec Franchise Trust Series 2000-1
Class A1 144A (A) AAA 7.892 10/15/10 4,881,189 4,918,188
---------
TOTAL U.S. CORPORATE BONDS
(COST: $114,069,889) 113,509,435
-----------
NON-U.S. CORPORATE BONDS: 2.9%
FOREIGN ISSUES: 2.9%
ABN-Amro Bank. N. V. Series B AA-3/AA- 7.750 05/15/23 2,000,000 1,944,388
Abbey National PLC AA-3/A+ 8.963 12/29/49 2,000,000 1,986,144
Deutsche Telekom Int Fin AA-2/AA- 8.250 06/15/30 3,500,000 3,554,534
HSBC Capital Funding LP 144A (A) A-1 10.176 12/29/49 2,000,000 2,140,578
Petro Geo-services ASA BAA-3/BBB 7.125 03/30/28 3,000,000 2,481,873
Teleglobe, Inc. BAA-1/BBB+ 7.200 07/20/09 2,000,000 1,920,026
Teleglobe, Inc. BAA-1/BBB+ 7.700 07/20/29 3,000,000 2,834,820
YPF Sociedad Anonima BAA-1/BBB- 9.125 02/24/09 1,500,000 1,520,625
---------
TOTAL NON-U.S. CORPORATE BONDS
(COST: $18,018,305) 18,382,988
----------
TOTAL BONDS (COST: $264,039,041) 264,200,911
-----------
</TABLE>
<PAGE>
BALANCED FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net
Assets Shares Value
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS: 53.8%
FOREIGN ISSUES: 4.3%
BP Amoco PLC/ADR 64,746 $3,662,196
Glaxo Wellcome PLC - ADR 46,150 2,668,047
Koninklijke (Royal) Philips Electronics N.V. - ADR 181,596 8,625,810
Telefonos de Mexico SP ADR - Cl L 75,000 4,284,375
Tyco International Ltd 76,400 3,619,450
Vodafone AirTouch PLC-SP ADR 114,625 4,749,773
---------
TOTAL FOREIGN ISSUES (COST: $12,834,176) 27,609,651
---------
DOMESTIC ISSUES: 49.5%
BASIC MATERIALS 1.2%
Chemicals 0.9%
---------
The Dow Chemical Company 102,600 3,097,238
Rohm and Haas Company 78,300 2,701,350
---------
5,798,588
---------
Paper/Forest Products 0.3%
---------------------
Willamette Industries, Inc. 68,000 1,853,000
---------
CAPITAL GOODS 2.8%
Electrical Equipment 1.0%
--------------------
Emerson Electric Co. 62,700 3,785,512
Honeywell International Inc. 69,000 2,324,438
---------
6,109,950
---------
Machinery/Equipment 0.7%
-------------------
Dover Corporation 50,000 2,028,125
Pall Corporation 130,000 2,405,000
---------
4,433,125
---------
Manufacturing-Diversified 1.1%
-------------------------
Illinois Tool Works, Inc. 58,000 3,306,000
United Technologies Corporation 59,600 3,508,950
---------
6,814,950
---------
COMMUNICATION SERVICES 1.9%
Telephone - Long Distance 1.4%
-------------------------
AT & T Corp. 149,555 4,729,677
Sprint Corporation 83,100 4,238,100
---------
8,967,777
---------
Telephone 0.5%
---------
GTE Corporation 54,600 3,398,850
---------
CONSUMER CYCLICAL 4.0%
Commercial/Consumer 0.2%
-------------------
IMS Health Incorporated 89,000 1,602,000
---------
Printing/Publishing 0.7%
-------------------
PRIMEDIA Inc. *** 195,200 4,440,800
---------
Retail-Discount 0.5%
---------------
Wal-Mart Stores, Inc. 59,200 3,411,400
---------
Retail-General 1.5%
--------------
Target Corporation 168,300 9,761,400
---------
</TABLE>
<PAGE>
BALANCED FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net
Assets Shares Value
<S> <C> <C> <C> <C> <C> <C>
Retail-Specialty 1.1%
----------------
Lowe's Companies, Inc. 52,800 $2,168,100
Tiffany & Co. 72,500 4,893,750
---------
7,061,850
---------
CONSUMER STAPLES 6.2%
Cosmetics/Toiletries 1.0%
--------------------
Kimberly-Clark Corporation 108,300 6,213,713
---------
Drug Stores 0.8%
-----------
CVS Corporation 134,452 5,378,080
---------
Entertainment 0.8%
-------------
The Walt Disney Company 135,800 5,270,737
---------
Restaurants 0.7%
-----------
McDonald's Corporation 140,800 4,637,600
---------
Food Producers 1.4%
--------------
General Mills, Inc. 71,000 2,715,750
Nabisco Holdings Corp. - Class A 71,100 3,732,750
Sara Lee Corporation 147,200 2,842,800
---------
9,291,300
---------
Food Retailers 0.7%
--------------
Safeway Inc. *** 94,800 4,277,850
---------
Media-TV/Radio/Cable 0.8%
--------------------
Cox Communications, Inc. *** 109,800 5,002,762
---------
ENERGY 3.1%
Exploration/Drilling 0.6%
--------------------
Kerr-McGee Corporation 55,100 3,247,456
Transocean Sedco Forex Inc. 15,062 804,876
---------
4,052,332
---------
Oil-Domestic 1.0%
------------
Unocal Corporation 93,700 3,103,812
USX-Marathon Group 132,300 3,315,769
---------
6,419,581
---------
Oil-International 0.5%
-----------------
Exxon Corporation 42,100 3,304,850
---------
Oil-Services 1.0%
------------
Schlumberger Limited 82,200 6,134,175
---------
FINANCE 5.8%
Banks 1.7%
-----
Bank One Corporation 110,090 2,924,266
Bank of America Corporation 83,098 3,573,214
Wells Fargo Company 121,400 4,704,250
---------
11,201,730
---------
Financial Services 2.5%
------------------
Countrywide Credit Industries, Inc. 97,100 2,943,344
Household International, Inc. 114,100 4,742,281
Morgan Stanley Dean Witter and Co. 60,000 4,995,000
MBIA, Inc. 65,200 3,141,825
---------
15,822,450
---------
</TABLE>
<PAGE>
BALANCED FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net
Assets Shares Value
<S> <C> <C> <C> <C> <C> <C>
Insurance Companies 1.6%
-------------------
The Allstate Corporation 137,214 $3,053,012
Citigroup Inc. 121,429 7,316,097
---------
10,369,109
---------
HEALTHCARE 5.5%
Drugs 2.8%
-----
American Home Products Corporation 148,400 8,718,500
Bristol-Myers Squibb Company 96,200 5,603,650
Pharmacia & Upjohn, Inc. 67,028 3,464,510
---------
17,786,660
---------
Medical Products/Supply 2.1%
-----------------------
ALZA Corporation *** 77,600 4,588,100
Baxter International Inc. 55,700 3,916,406
Johnson & Johnson 51,408 5,237,190
---------
13,741,696
---------
Medical Services 0.6%
----------------
Aetna Inc. 62,600 4,018,137
---------
TECHNOLOGY 16.2%
Communications Equipment 2.8%
------------------------
ADC Telecommunications, Inc. *** 159,200 13,352,900
Motorola, Inc. 170,100 4,943,531
---------
18,296,431
---------
Computer Related 8.4%
----------------
3Com Corporation 124,200 7,157,025
EMC Corporation *** 204,500 15,733,719
Gateway, Inc. *** 151,900 8,620,325
Hewlett-Packard Company 61,100 7,629,862
International Business Machines Corporation 80,800 8,852,650
Seagate Technology, Inc. *** 105,400 5,797,000
---------
53,790,581
---------
Computer Software/Services 1.1%
--------------------------
Compuware Corporation *** 122,000 1,265,750
Keane, Inc. *** 259,600 5,613,850
---------
6,879,600
---------
Electronics 0.3%
-----------
Agilent Technologies, Inc. *** 23,303 1,718,596
---------
Semiconductors 3.6%
--------------
Conexant Systems, Inc. *** 107,000 5,202,875
Micron Technology, Inc. *** 84,700 7,458,894
Texas Instruments Incorporated 154,100 10,584,744
---------
23,246,513
---------
TRANSPORTATION 0.8%
Airlines 0.3%
--------
Delta Air Lines, Inc. 44,400 2,244,975
---------
Trucking & Shipping 0.5%
-------------------
FedEx Corporation *** 79,400 3,017,200
---------
UTILITIES 1.2%
Electric Power 0.4%
--------------
PG&E Corporation 100,000 2,462,500
---------
</TABLE>
<PAGE>
BALANCED FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net
Assets Shares Value
<S> <C> <C> <C> <C> <C> <C>
Natural Gas 0.8%
-----------
The Williams Companies, Inc. 118,000 $4,919,125
---------
MISCELLANEOUS 0.8%
Diversified 0.4%
-----------
Minnesota Mining and Manufacturing Company *** 30,200 2,491,500
---------
Professional Services 0.4%
---------------------
Interim Services Inc. *** 150,000 2,662,500
---------
TOTAL DOMESTIC ISSUES
(COST: $210,882,878) 318,305,973
-----------
TOTAL COMMON STOCKS
(COST: $223,717,054) 345,915,624
-----------
TOTAL INVESTMENTS, BALANCED FUND
(COST: $518,764,174)** $641,124,615
===========
</TABLE>
Values of investment securities are determined as described in Note 2 of the
financial statements.
*Moody's/Standard & Poors' quality ratings (unaudited). See the current
Prospectus and Statement of Additional Information for a complete description of
these ratings.
**At June 30, 2000, the estimated cost of securities for federal income tax
purposes was $518,922,377. The aggregate unrealized appreciation and
depreciation of investments in securities based on this cost were:
Gross unrealized appreciation $144,141,281
Gross unrealized depreciation (21,939,043)
----------
Net unrealized appreciation $122,202,238
===========
***This security is non-income producing.
****If applicable, this security provides a claim on the interest component of
the underlying mortgages, but not on their principal component. That is, the
security's cash flows depend on the amount of principal outstanding at the
payment date. If prepayments on the underlying mortgages are higher than
expected, the yield on the security may be adversely affected. (A) Restricted
security sold within the terms of a private placement memorandum exempt from
registration under section 144A of the Securities Act of 1933, as amended, and
maybe sold only to dealers in that program or other "qualified institutional
investors." On June 30, 2000, the total market value of these investments was
$16,043,239 or 2.50% of total net assets.
ABS Asset Backed Security
ADR American Depository Receipt
CMO Collateralized Mortgage Obligation
CPI Consumer Price Index
IO Interest Only
MTN Medium Term Note
PLC Pubic Limited Company
See accompanying notes to financial statements.
<PAGE>
GROWTH AND INCOME STOCK FUND
Schedule of Investments
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Annualized
Assets Yield Shares Value
------ ----- ------ -----
SHORT-TERM INVESTMENTS:
<S> <C> <C> <C> <C>
REGISTERED INVESTMENT COMPANY 3.3%
State Street Prime Money Market 6.580% 38,549,889 $38,549,889
----------
TOTAL SHORT-TERM INVESTMENTS
(COST: $38,549,889) 38,549,889
----------
LONG-TERM INVESTMENTS:
COMMON STOCKS: 95.9%
FOREIGN ISSUES: 9.6%
BP Amoco PLC- ADR 243,180 13,754,869
Glaxo Wellcome PLC - ADR 209,450 12,108,828
Koninklijke (Royal) Philips Electronics N.V. - ADR 803,376 38,160,360
Nortel Networks Corporation 695,000 47,433,750
----------
TOTAL FOREIGN ISSUES (COST: $38,600,344) 111,457,807
----------
DOMESTIC ISSUES: 86.3%
BASIC MATERIALS 2.3%
Chemicals 1.8%
---------
The Dow Chemical Company 334,650 10,102,247
PPG Industries, Inc. 234,400 10,386,850
----------
20,489,097
----------
Paper/Forest Products 0.5%
---------------------
Georgia-Pacific Group 231,800 6,084,750
----------
CAPITAL GOODS 5.2%
Electrical Equipment 3.6%
--------------------
Emerson Electric Co 413,200 24,946,950
Honeywell International Inc. 497,700 16,766,269
----------
41,713,219
----------
Manufacturing-Diversified 1.6%
-------------------------
United Technologies Corporation 320,600 18,875,325
----------
COMMUNICATION SERVICES 6.1%
Telephone - Long Distance 3.4%
-------------------------
AT&T Corp. 521,042 16,477,953
Sprint Corporation 452,300 23,067,300
----------
39,545,253
----------
Telephone 2.7%
---------
ALLTEL Corporation 260,000 16,103,750
GTE Corporation 246,750 15,360,188
----------
31,463,938
----------
CONSUMER CYCLICAL 2.9%
Auto Parts Manufacturers 0.5%
------------------------
Dana Corporation 284,885 6,036,001
----------
Retail-Discount 1.5%
---------------
Wal-Mart Stores, Inc. 307,800 17,736,975
----------
Retail-General 0.9%
--------------
Sears, Roebuck & Co. 315,100 10,280,137
----------
CONSUMER STAPLES 15.1%
Beverages 1.4%
---------
PepsiCo, Inc. 353,400 15,704,212
----------
</TABLE>
<PAGE>
GROWTH AND INCOME STOCK FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Annualized
Assets Yield Shares Value
------ ----- ------ -----
<S> <C> <C> <C> <C>
Cosmetics/Toiletries 2.3%
--------------------
Kimberly-Clark Corporation 468,300 $26,868,712
----------
Drug Stores 2.1%
-----------
CVS Corporation 602,706 24,108,240
----------
Entertainment 2.7%
-------------
The Walt Disney Company 820,800 31,857,300
----------
Food Producers 3.1%
--------------
General Mills, Inc. 245,200 9,378,900
Nabisco Holdings Corp. - Class A 293,700 15,419,250
Sara Lee Corporation 568,700 10,983,019
----------
35,781,169
----------
Food Retailers 2.0%
--------------
The Kroger Co. *** 1,045,400 23,064,137
----------
Restaurants 1.5%
-----------
McDonald's Corporation 514,900 16,959,519
----------
ENERGY 5.6%
Exploration\Drilling 0.2%
--------------------
Transocean Sedco Forex Inc. 53,046 2,834,646
----------
Oil-Domestic 1.7%
------------
Unocal Corporation 271,450 8,991,781
USX-Marathon Group 422,850 10,597,678
----------
19,589,459
----------
Oil-International 1.9%
-----------------
Exxon Corporation 140,900 11,060,650
Texaco Inc. 202,900 10,804,425
----------
21,865,075
----------
Oil-Services 1.8%
------------
Schlumberger Limited 274,000 20,447,250
----------
FINANCE 9.8%
Banks 3.2%
-----
Bank of America Corporation 269,871 11,604,453
Bank One Corporation 408,540 10,851,844
First Union Corporation 246,800 6,123,725
Wachovia Corporation 152,100 8,251,425
----------
36,831,447
----------
Financial Services 3.0%
------------------
Household International, Inc. 434,000 18,038,125
Morgan Stanley Dean Witter and Co. 201,000 16,733,250
----------
34,771,375
----------
Insurance Companies 3.6%
-------------------
The Allstate Corporation 891,026 19,825,328
Citigroup Inc. 372,686 22,454,332
----------
42,279,660
----------
HEALTHCARE 9.0%
Drugs 4.8%
-----
American Home Products Corporation 543,500 31,930,625
Bristol-Myers Squibb Company 379,000 22,076,750
Edwards Lifesciences Corporation *** 67,040 1,282,140
----------
55,289,515
----------
</TABLE>
<PAGE>
GROWTH AND INCOME STOCK FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Annualized
Assets Yield Shares Value
------ ----- ------ -----
<S> <C> <C> <C> <C>
Medical Prods/Supply 4.2%
--------------------
Baxter International Inc. 403,500 $28,371,094
Johnson & Johnson 197,700 20,140,687
----------
48,511,781
----------
TECHNOLOGY 24.8%
Communications Equipment 3.1%
------------------------
Harris Corporation 399,000 13,067,250
Motorola, Inc. 775,500 22,537,969
----------
35,605,219
----------
Computer Related 10.6%
----------------
Compaq Computer Corporation 292,600 7,479,587
EMC Corporation *** 665,000 51,163,437
Hewlett-Packard Company 251,700 31,431,038
International Business Machines Corporation 298,600 32,715,363
----------
122,789,425
----------
Computer Software/Services 5.9%
--------------------------
Automatic Data Processing, Inc. 372,100 19,930,606
Computer Associates International, Inc. 474,600 24,293,588
Computer Sciences Corporation *** 319,800 23,885,063
----------
68,109,256
----------
Electronics 0.6%
-----------
Agilent Technologies, Inc. *** 95,998 7,079,852
----------
Office Equipment 0.8%
----------------
Lanier Worldwide Inc *** 370,900 370,900
Xerox Corporation 408,700 8,480,525
----------
8,851,425
----------
Semiconductors 3.8%
--------------
Intel Corporation 69,800 9,331,387
Texas Instruments Incorporated 503,400 34,577,288
----------
43,908,675
----------
TRANSPORTATION 1.1%
Airlines 0.7%
--------
Delta Air Lines, Inc. 158,600 8,019,213
----------
Railroads 0.4%
---------
Burlington Northern Santa Fe Corporation 220,200 5,050,838
----------
UTILITIES 3.2%
Electric Power 1.6%
--------------
Duke Energy Corporation 210,000 11,838,750
PG&E Corporation 260,000 6,402,500
----------
18,241,250
----------
Natural Gas 1.6%
-----------
The Williams Companies, Inc. 455,000 18,967,813
----------
MISCELLANEOUS 1.2%
Diversified 1.2%
-----------
Minnesota Mining and Manufacturing Company 169,400 13,975,500
----------
TOTAL DOMESTIC ISSUES
(COST: $787,145,886) 999,586,658
------------
</TABLE>
<PAGE>
GROWTH AND INCOME STOCK FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Annualized
Assets Yield Shares Value
------ ----- ------ -----
<S> <C> <C> <C> <C>
TOTAL COMMON STOCKS
(COST: $825,746,230) $1,111,044,465
------------
TOTAL INVESTMENTS, GROWTH AND INCOME
FUND (COST: $864,296,119)** $1,149,594,354
============
</TABLE>
Values of investment securities are determined as described in Note 2 of the
financial statements.
*Moody's/Standard & Poors' quality ratings, if applicable, (unaudited). See
the current Prospectus and Statement of Additional Information for a complete
description of these ratings.
**At June 30, 2000, the cost of securities for federal income tax purposes was
$864,451,393. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
Gross unrealized appreciation............................... $367,674,797
Gross unrealized depreciation............................... (82,531,836)
-----------
Net unrealized appreciation................................. $285,142,961
===========
***This security is non-income producing.
ADR American Depository Receipt
PLC Public Limited Company
See accompanying notes to financial statements.
<PAGE>
CAPITAL APPRECIATION STOCK FUND
Schedule of Investments
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Annualized
Assets Yield Shares Value
------ ----- ------ -----
SHORT-TERM INVESTMENTS:
<S> <C> <C> <C> <C>
REGISTERED INVESTMENT COMPANY 3.1%
State Street Prime Money Market 6.580% 26,848,421 $26,848,421
----------
TOTAL SHORT-TERM INVESTMENTS
(COST: $26,848,421) 26,848,421
----------
LONG-TERM INVESTMENTS:
COMMON STOCKS: 96.1%
FOREIGN ISSUES: 9.9%
Ace Limited 560,000 15,680,000
Elan Corp PLC - ADR *** 507,300 24,572,344
Telefonos de Mexico SP ADR - Cl L 348,900 19,930,912
Tyco International Ltd 224,600 10,640,425
Vodafone AirTouch PLC-SP ADR 391,500 16,222,781
----------
TOTAL FOREIGN ISSUES
(COST: $50,649,498) 87,046,462
----------
DOMESTIC ISSUES: 86.2%
BASIC MATERIALS 3.7%
Chemicals 2.0%
---------
Praxair, Inc. 226,500 8,479,594
Rohm and Haas Company 270,000 9,315,000
----------
17,794,594
----------
Paper/Forest Products 0.6%
---------------------
Willamette Industries, Inc. 193,000 5,259,250
----------
Steel 1.1%
-----
Grant Prideco, Inc. *** 387,600 9,690,000
----------
CAPITAL GOODS 4.5%
Machinery/Equipment 2.7%
-------------------
Dover Corporation 387,200 15,705,800
Pall Corporation 417,000 7,714,500
----------
23,420,300
----------
Manufacturing-Diversified 1.8%
-------------------------
Illinois Tool Works, Inc. 282,800 16,119,600
----------
COMMUNICATION SERVICES 3.0%
Telecom-Cel/Wireless 1.3%
--------------------
AT&T Wireless Group *** 110,900 3,091,338
Sprint PCS Group *** 140,000 8,330,000
----------
11,421,338
----------
Telecomm - Long Distance 0.7%
------------------------
AT&T Corp 203,585 6,438,376
----------
Telephone 1.0%
---------
CenturyTel, Inc. 316,300 9,093,625
----------
CONSUMER CYCLICAL 9.9%
Commercial/Consumer 0.6%
-------------------
IMS Health Incorporated 302,200 5,439,600
----------
Printing/Publishing 2.0%
-------------------
PRIMEDIA Inc. *** 790,600 17,986,150
----------
</TABLE>
<PAGE>
CAPITAL APPRECIATION STOCK FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net
Assets Shares Value
<S> <C> <C> <C> <C>
Retail-General 2.7%
--------------
Target Corporation 405,600 $23,524,800
----------
Retail-Specialty 4.6%
----------------
Lowe's Companies, Inc 259,700 10,663,931
The Sherwin-Williams Company 440,200 9,326,738
The TJX Companies, Inc. 428,400 8,032,500
Tiffany & Co. 181,200 12,231,000
----------
40,254,169
----------
CONSUMER STAPLES 6.5%
Restaurants 1.2%
-----------
Brinker International, Inc. *** 356,000 10,413,000
----------
Food Producers 1.3%
--------------
Nabisco Holdings Corp. - Class A 220,400 11,571,000
----------
Food Retailers 2.0%
--------------
Safeway Inc. *** 386,500 17,440,812
----------
Media-TV/Radio/Cable 2.0%
--------------------
Cox Communications, Inc. *** 393,100 17,910,619
----------
ENERGY 5.5%
Exploration/Drilling 1.2%
--------------------
Kerr-McGee Corporation 177,300 10,449,619
----------
Oil-Domestic 4.3%
------------
Unocal Corporation 344,350 11,406,594
USX-Marathon Group 426,400 10,686,650
Weatherford International, Inc. 387,600 15,431,325
----------
37,524,569
----------
FINANCE 9.1%
Banks 2.7%
-----
First Security Corporation 320,900 4,352,206
SunTrust Banks, Inc. 200,100 9,142,069
Wells Fargo Company 269,600 10,447,000
----------
23,941,275
----------
Financial Services 3.7%
------------------
Associates First Capital Corporation 490,900 10,953,206
Countrywide Credit Industries, Inc. 233,000 7,062,812
Freddie Mac 168,300 6,816,150.00
MBIA, Inc. 163,000 7,854,563
----------
32,686,731
----------
Insurance Companies 2.7%
-------------------
Citigroup Inc. 391,398 23,581,729
----------
HEALTHCARE 6.0%
Biotech-Spec. Pharmaceutical 1.5%
----------------------------
Pharmacia Corporation 257,516 13,310,358
----------
Medical Prod/Supply 3.4%
-------------------
ALZA Corporation *** 268,700 15,886,887
Boston Scientific Corporation *** 628,200 13,781,138
----------
29,668,025
----------
Medical Services 1.1%
----------------
Aetna Inc. 155,700 9,993,994
----------
</TABLE>
<PAGE>
CAPITAL APPRECIATION STOCK FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net
Assets Shares Value
<S> <C> <C> <C> <C>
TECHNOLOGY 32.8%
Communication Equipment 4.6%
-----------------------
ADC Telecommunications, Inc. *** 486,200 $40,780,025
----------
Computer Related 11.6%
----------------
3Com Corporation *** 354,600 20,433,825
EMC Corporation *** 519,900 39,999,806
Gateway, Inc. *** 441,700 25,066,475
Seagate Technology, Inc. *** 292,900 16,109,500
----------
101,609,606
----------
Computer Software/Services 7.8%
--------------------------
Autodesk, Inc. 540,100 18,734,719
Cadence Design Systems, Inc. *** 706,900 14,403,087
Compuware Corporation *** 434,400 4,506,900
Keane, Inc. *** 689,000 14,899,625
PeopleSoft, Inc.*** 939,600 15,738,300
----------
68,282,631
----------
Electronics 0.6%
-----------
W.W. Grainger, Inc. 181,000 5,577,063
----------
Semiconductors 8.2%
--------------
Conexant Systems Inc. *** 273,898 13,318,290
Dallas Semiconductor Corporation 269,200 10,969,900
Micron Technology, Inc. *** 237,100 20,879,619
Texas Instruments Incorporated 394,400 27,090,350
----------
72,258,159
----------
TRANSPORTATION 1.5%
Airlines 0.4%
--------
Midwest Express Holdings, Inc. *** 169,875 3,652,312
----------
Trucking & Shipping 1.1%
-------------------
FedEx Corporation *** 261,100 9,921,800
----------
UTILITIES 2.6%
Natural Gas 2.6%
-----------
El Paso Energy Corporation 174,000 8,863,125
The Williams Companies, Inc. 334,000 13,923,625
----------
22,786,750
----------
MISCELLANEOUS 1.1%
Professional Services 1.1%
---------------------
Interim Services Inc. *** 562,200 9,979,050
----------
TOTAL DOMESTIC COMMON STOCK
(COST: $556,237,120) 759,780,929
-----------
TOTAL COMMON STOCKS
(COST: $606,886,618) 846,827,391
-----------
TOTAL INVESTMENTS, CAPITAL APPRECIATION
STOCK FUND (COST: $633,735,039)** $873,675,812
===========
</TABLE>
<PAGE>
CAPITAL APPRECIATION STOCK FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
Values of investment securities are determined as described in Note 2 of the
financial statements.
*Moody's/Standard & Poors' quality ratings, if applicable, (unaudited). See
the current Prospectus and Statement of Additional Information for a complete
description of these ratings.
**At June 30, 2000, the cost of securities for federal income tax purposes was
$633,735,039. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
Gross unrealized appreciation................................$305,952,746
Gross unrealized depreciation.................................(66,011,973)
-----------
Net unrealized appreciation..................................$239,940,773
===========
***This security is non-income producing.
ADR American Depository Receipt
PLC Public Limited Company
See accompanying notes to financial statements.
<PAGE>
MID-CAP STOCK FUND
Schedule of Investments
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Annualized
Assets Yield Shares Value
------ ----- ------ -----
SHORT-TERM INVESTMENTS:
<S> <C> <C> <C> <C>
REGISTERED INVESTMENT COMPANY 4.3%
State Street Prime Money Market 6.580% 1,738,387 $1,738,387
---------
TOTAL SHORT-TERM INVESTMENTS
(COST: $1,738,387) 1,738,387
---------
LONG-TERM INVESTMENTS:
COMMON STOCKS: 96.0%
FOREIGN ISSUES: 4.1%
Alcatel SA-ADR *** 3,729 247,978
Annuity and Life Re Holdings, Inc. 2,000 49,000
Celestica Inc. *** 8,700 431,738
Elan Corp - PLC ADR *** 18,500 896,094
Numac Energy Inc. *** 20,000 66,250
--------
TOTAL FOREIGN ISSUES
(COST: $1,091,006) 1,691,060
--------
DOMESTIC ISSUES: 91.9%
BASIC MATERIALS 5.3%
Agricultural 0.3%
------------
Universal Corporation 5,600 118,300
--------
Chemicals 1.0%
---------
Air Products & Chemicals, Inc. 10,000 308,125
Chemed Corporation 3,200 90,200
--------
398,325
--------
Chemicals-Specialty 2.2%
-------------------
Ecolab Inc. 11,000 429,687
Engelhard Corporation 8,300 141,619
Sigma-Aldrich Corporation 11,000 321,750
--------
893,056
--------
Paper/Forest Products 1.8%
---------------------
Bemis Company, Inc. 10,000 336,250
Caraustar Industries, Inc. 7,700 116,463
Westvaco Corporation 12,000 297,750
--------
750,463
--------
CAPITAL GOODS 9.4%
Building Supplies 0.6%
-----------------
Lafarge Corporation 3,400 71,400
Simpson Manufacturing Co., Inc. *** 3,700 176,906
--------
248,306
--------
Construction 0.5%
------------
Carlisle Companies Incorporated 2,100 94,500
Granite Construction Incorporated 4,700 115,150
--------
209,650
--------
Containers 0.2%
----------
Liqui-Box Corporation 2,000 99,000
--------
Electrical Equipment 0.9%
--------------------
Franklin Electric Co., Inc. 800 54,200
Molex Incorporated 6,900 332,063
--------
386,263
--------
</TABLE>
<PAGE>
MID-CAP STOCK FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Annualized
Assets Yield Shares Value
------ ----- ------ -----
<S> <C> <C> <C> <C>
Machinery/Equipment 3.7%
-------------------
Danaher Corporation 10,000 $ 494,375
Graco Inc. 2,700 87,750
Ingersoll-Rand Company 13,000 523,250
Parker-Hannifin Corporation 10,000 342,500
Trinity Industries, Inc. 4,400 81,400
--------
1,529,275
--------
Manufacturing-Diversified 1.5%
-------------------------
Eaton Corporation 9,000 603,000
--------
Manufacturing-Specialty 0.2%
-----------------------
Teleflex Incorporated 2,500 92,656
--------
Office Supplies/Equipment 1.8%
-------------------------
Avery Dennison Corporation 9,000 604,125
CompX International Inc. 7,500 152,344
--------
756,469
--------
COMMUNICATION SERVICES 2.1%
Telephone 2.1%
---------
CenturyTel, Inc. 30,000 862,500
--------
CONSUMER CYCLICAL 11.4%
Apparel/Textiles 0.1%
----------------
Wolverine World Wide, Inc. 5,500 54,312
--------
Auto Parts Manufacturing 0.4%
------------------------
Cooper Tire & Rubber Company 9,000 100,125
Gentex Corporation 2,000 50,250
--------
150,375
--------
Commercial\Consumer 0.2%
-------------------
Wallace Computer Services, Inc. 8,300 81,962
--------
Furniture/Appliances 1.9%
--------------------
Ethan Allen Interiors Inc. 25,200 604,800
Steelcase Inc. 9,500 161,500
--------
766,300
--------
Leisure Time/Gaming 0.5%
-------------------
National R.V. Holdings, Inc. *** 7,200 75,600
The Topps Company, Inc. *** 10,000 115,000
--------
190,600
--------
Printing/Publishing 1.4%
-------------------
A. H. Belo Corporation, Class A 33,700 583,431
--------
Retail-Discount 1.7%
---------------
Dollar General Corporation 27,437 535,022
ShopKo Stores, Inc. *** 11,000 169,125
--------
704,147
--------
Retail - General 0.4%
----------------
Tractor Supply Company *** 9,800 162,312
--------
</TABLE>
<PAGE>
MID-CAP STOCK FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Annualized
Assets Yield Shares Value
------ ----- ------ -----
<S> <C> <C> <C> <C>
Retail-Specialty 4.8%
----------------
Chico's FAS, Inc. *** 4,900 $ 98,000
Guitar Center Inc *** 6,600 69,300
Linens 'n Things, Inc. *** 15,700 425,862
O'Reilly Automotive, Inc. *** 10,200 141,525
Ross Stores, Inc. 17,500 298,594
The Sherwin-Williams Company 15,000 317,813
Tiffany & Co. 8,300 560,250
Wilson, The Leather Experts Inc. *** 4,950 72,703
--------
1,984,047
--------
CONSUMER STAPLES 6.3%
Restaurants 2.0%
-----------
Applebee's International, Inc. 2,400 72,750
IHOP Corp *** 6,300 105,525
Outback Steakhouse, Inc. *** 21,200 620,100
--------
798,375
--------
Food Producers/Distributors 1.3%
---------------------------
Flowers Industries, Inc. 23,000 458,562
Riviana Foods Inc 3,700 64,519
--------
523,081
--------
Media-TV/Radio/Cable 3.0%
--------------------
Adelphia Communications Corporation *** 8,600 403,125
Charter Communications, Inc. *** 51,200 841,600
--------
1,244,725
--------
ENERGY 5.0%
Exploration/Drilling 4.6%
--------------------
BJ Services Company *** 9,300 581,250
ENSCO International Incorporated 18,900 676,856
Smith International, Inc *** 8,800 640,750
--------
1,898,856
--------
Oil-Domestic 0.4%
------------
Remington Oil & Gas Corporation *** 20,000 150,000
--------
FINANCE 11.9%
Banks 3.1%
-----
Associated Banc-Corp 4,840 105,572
Cullen/Frost Bankers, Inc. 3,800 99,988
First Security Corporation 8,600 116,637
First Tennessee National Corporation 7,800 129,187
Hibernia Corporation 10,600 115,275
Marshall & Ilsley Corporation 4,200 174,300
Mercantile Bankshares Corporation 3,200 95,400
Pacific Century Financial Corporation 8,500 124,313
TCF Financial Corporation 5,600 143,850
Texas Regional Bankshares, Inc. 6,500 164,938
--------
1,269,460
--------
Financial Services 2.9%
------------------
American Capital Strategies, Ltd. 4,200 100,275
The Bear Stearns Companies Inc. 20,000 832,500
Heller Financial, Inc. 6,600 135,300
Tucker Anthony Sutro Corporation 5,500 99,000
--------
1,167,075
--------
</TABLE>
<PAGE>
MID-CAP STOCK FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Annualized
Assets Yield Shares Value
------ ----- ------ -----
<S> <C> <C> <C> <C>
Insurance Companies 4.5%
-------------------
Ambac Financial Group, Inc. 16,000 $ 877,000
MGIC Investment Corporation 17,000 773,500
Radian Group Inc. 2,200 113,850
Reinsurance Group of America, Incorporated 2,300 69,288
--------
1,833,638
--------
Real Estate Investment 1.4%
----------------------
AMB Property Corporation 3,900 88,969
Boston Properties, Inc. 1,600 61,800
Kimco Realty Corporation 1,500 61,500
Liberty Property Trust 3,500 90,781
Reckson Associates Realty Corporation *** 4,100 104,294
Sun Communities, Inc. *** 2,800 93,625
Urban Shopping Centers, Inc. 1,800 60,637
--------
561,606
--------
HEALTHCARE 9.8%
Biotech-Spec. Pharmaceutical 0.9%
----------------------------
IDEXX Laboratories, Inc. *** 15,300 349,988
--------
Drugs 4.4%
-----
Chiron Corporation *** 10,900 517,750
Genzyme Corporation *** 12,000 713,250
ICN Pharmaceuticals, Inc. 17,900 497,844
NBTY, Inc. *** 9,700 61,837
--------
1,790,681
--------
Medical Products/Supplies 4.3%
-------------------------
ALZA Corporation *** 10,300 608,987
Biomet, Inc. 12,200 468,937
Genzyme Surgical Products *** 590 5,863
St. Jude Medical, Inc. *** 7,900 362,413
Sybron International Corporation *** 15,100 299,169
--------
1,745,369
--------
Medical Services 0.2%
----------------
Trigon Healthcare, Inc. *** 1,700 87,656
--------
TECHNOLOGY 22.0%
Communication Equipment 1.7%
-----------------------
ADC Telecommunications, Inc. *** 8,200 687,775
--------
Computer Related 3.7%
----------------
Electronics Boutique Holdings Corp. *** 7,300 119,537
Handspring, Inc. *** 30,000 810,000
Plantronics Inc. *** 1,200 138,600
Quantum Corporation (DSSG) *** 21,900 212,156
Storage Technology Corporation *** 14,200 155,313
StorageNetworks, Inc. *** 700 63,175
--------
1,498,781
--------
Computer Software/Services 5.9%
--------------------------
ANSYS, Inc. *** 11,200 127,400
Black Box Corporation *** 800 63,337
Concord EFS, Inc. *** 15,400 400,400
Inter-Tel Incorporated 7,900 126,894
Investment Technology Group, Inc. *** 4,000 170,250
Keane, Inc. *** 27,300 590,363
New England Business Service, Inc. 5,400 87,750
SunGard Data Systems Inc. *** 14,400 446,400
Synopsys, Inc. *** 12,000 414,750
--------
2,427,544
--------
</TABLE>
<PAGE>
MID-CAP STOCK FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Annualized
Assets Yield Shares Value
------ ----- ------ -----
<S> <C> <C> <C> <C>
Electronics 4.4%
-----------
Arrow Electronics, Inc. *** 12,100 $ 375,100
Cable Design Technologies Corporation *** 2,100 70,350
W. W. Grainger, Inc. 13,000 400,562
Micros Systems, Inc. *** 5,700 105,806
Teradyne, Inc. *** 6,000 441,000
Varian Medical Systems, Inc. *** 10,100 395,163
--------
1,787,981
--------
Semiconductors 6.3%
--------------
Atmel Corporation *** 11,800 435,125
ATMI, Inc. *** 9,600 446,400
Dallas Semiconductor Corporation 11,800 480,850
LSI Logic Corporation *** 9,200 497,950
Quantum Corp (HDDS) *** 3,450 38,166
Varian Semiconductor Equipment Associates, Inc. *** 11,000 690,937
--------
2,589,428
--------
TRANSPORTATION 1.1%
Airlines 0.2%
--------
Midwest Express Holdings, Inc. *** 4,700 101,050
--------
Transportation-Miscellaneous 0.2%
----------------------------
The Hertz Corporation, Class A 3,000 84,188
--------
Trucking & Shipping 0.7%
-------------------
Airborne Freight Corporation 5,900 111,731
USFreightways Corporation 5,200 127,725
Werner Enterprises, Inc. 5,600 64,750
--------
304,206
--------
UTILITIES 4.4%
Electric Power 3.9%
--------------
Cleco Corporation 9,200 308,200
Constellation Energy Group 14,000 455,875
Florida Progress Corporation 10,000 468,750
Sierra Pacific Resources *** 4,100 51,506
UtiliCorp United Inc. 16,400 325,950
--------
1,610,281
--------
Natural Gas 0.5%
-----------
MDU Resources Group, Inc. 2,800 60,550
Peoples Energy Corporation 1,900 61,513
Questar Corporation 5,000 96,875
--------
218,938
--------
MISCELLANEOUS 3.2%
Diversified 0.2%
-----------
Astec Industries, Inc. *** 3,700 93,888
--------
Professional Services 3.0%
---------------------
Affiliated Computer Services, Inc. *** 13,400 443,038
Manpower Inc. 23,000 736,000
NCO Group, Inc. *** 2,600 60,125
--------
1,239,163
--------
TOTAL DOMESTIC ISSUES
(COST: $34,714,532) 37,688,482
----------
</TABLE>
<PAGE>
MID-CAP STOCK FUND
Schedule of Investments (Continued)
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
% Net Annualized
Assets Yield Shares Value
------ ----- ------ -----
<S> <C> <C> <C> <C>
TOTAL COMMON STOCKS
(COST: $35,805,538) $39,379,542
----------
TOTAL INVESTMENTS, MID-CAP STOCK FUND
(COST: $37,543,925)** $41,117,929
==========
</TABLE>
Values of investment securities are determined as described in Note 2 of the
financial statements.
*Moody's/Standard & Poors' quality ratings, if applicable, (unaudited). See
the current Prospectus and Statement of Additional Information for a complete
description of these ratings.
**At June 30, 2000, the cost of securities for federal income tax purposes was
$37,544,936. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
Gross unrealized appreciation..................................$6,763,630
Gross unrealized depreciation..................................(3,190,637)
----------
Net unrealized appreciation....................................$3,572,993
==========
***This security is non-income producing.
ADR American Depository Receipt
PLC Public Limited Company
REIT Real Estate Investment Trust
See accompanying notes to financial statements.
<PAGE>
ULTRA SERIES FUND
Statements of Assets and Liabilities
June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Money Treasury Growth and Capital Mid-Cap
Market 2000 Bond Balanced Income Appreciation Stock
Assets: Fund Fund Fund Fund Stock Fund Stock Fund Fund
---- ---- ---- ---- ---------- ---------- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Investments in securities,
at value (note 2) - see
accompanying schedule* $85,964,315 $1,959,038 $282,058,338 $641,124,615 $1,149,594,354 $873,675,812 $41,117,929
Receivable for investment
securities sold -- -- 3,078,597 3,420,108 9,803,919 8,649,650 --
Receivable for fund shares sold -- -- -- -- -- -- --
Accrued interest and
dividends receivable 136,653 -- 4,240,168 4,789,361 1,693,708 582,787 38,251
----------- ----------- ----------- ----------- ------------ ------------ -----------
Total assets 86,100,968 1,959,038 289,377,103 649,334,084 1,161,091,981 882,908,249 41,156,180
----------- ----------- ----------- ----------- ------------ ------------ -----------
Liabilities:
Payable for investment
securities purchased -- -- 7,631,117 6,471,825 1,763,009 3,649,677 202,424
Accrued management fees 31,044 4,706 126,224 370,017 584,093 579,365 32,842
Accrued other expenses 15,627 -- 2,723 6,615 12,018 9,138 300
----------- ----------- ----------- ----------- ----------- ------------ -----------
Total liabilities 46,671 4,706 7,760,064 6,848,457 2,359,120 4,238,180 235,566
----------- ----------- ----------- ----------- ----------- ------------ -----------
Net assets applicable to
outstanding capital stock $86,054,297 $1,954,332 $281,617,039 $642,485,627 $1,158,732,861 $878,670,069 $40,920,614
=========== =========== =========== =========== ============ ============ ===========
Represented by:
Capital stock (par value $.01)
and additional paid-in
capital $86,054,297 $1,730,401 $291,078,562 $512,426,574 $858,295,111 $619,371,652 $36,509,846
Undistributed net investment
income -- 52,654 4,956,970 5,290,591 2,739,234 187,852 15,712
Accumulated net realized
gain (loss) on investments -- -- (14,638,472) 2,408,021 12,400,281 19,169,792 821,052
Unrealized appreciation
(depreciation) on investments -- 171,277 219,979 122,360,441 285,298,235 239,940,773 3,574,004
----------- ----------- ----------- ----------- ------------ ----------- -----------
Total net assets - representing
net assets applicable to
outstanding capital stock $86,054,297 $1,954,332 $281,617,039 $642,485,627 $1,158,732,861 $878,670,069 $40,920,614
=========== =========== =========== =========== ============ =========== ===========
Number of Class Z Shares
issued and outstanding
(note 5) 86,054,297 185,786 27,782,091 30,930,929 33,938,315 33,600,093 3,449,078
=========== =========== =========== =========== ============ =========== ===========
Net asset value per share of
outstanding capital stock
(note 2) $1.00 $10.52 $10.14 $20.77 $34.14 $26.15 $11.86
=========== =========== =========== =========== ============ =========== ===========
*Cost of Investments $85,964,315 $1,787,761 $281,838,359 $518,764,174$ 864,296,119 $633,735,039 $37,543,925
----------- ----------- ----------- ----------- ------------ ----------- -----------
</TABLE>
See accompanying notes to financial statements.
<PAGE>
ULTRA SERIES FUND
Statements of Operations
Six Months Ended June 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
Money Treasury Growth and Capital Mid-Cap
Market 2000 Bond Balanced Income Appreciation Stock
Fund Fund Fund Fund Stock Fund Stock Fund Fund*
---- ---- ---- ---- ---------- ---------- -----
<S> <C> <C> <C> <C> <C> <C> <C>
Investment income (note 2):
Interest income $2,391,936 $56,962 $10,062,861 $10,431,805 $1,057,845 $550,751 $35,692
Dividend income -- -- -- 1,883,559 7,936,401 3,097,158 155,222
----------- ---------- ------------ ------------ ----------- ----------- ----------
Total income 2,391,936 56,962 10,062,861 12,315,364 8,994,246 3,647,909 190,914
----------- ---------- ------------ ------------ ----------- ----------- ----------
Expenses (note 4):
Management fees 178,005 4,308 731,061 2,152,238 3,376,179 3,370,631 166,344
Trustees' fees 226 -- 688 1,654 3,014 2,302 73
Audit fees 394 -- 1,204 2,896 5,273 4,030 128
----------- ---------- ------------ ------------ ----------- ----------- ----------
Total expenses 178,625 4,308 732,953 2,156,788 3,384,466 3,376,963 166,545
----------- ---------- ------------ ------------ ----------- ----------- ----------
Net investment income 2,213,311 52,654 9,329,908 10,158,576 5,609,780 270,946 24,369
Realized and unrealized gain (loss) on investments (notes 2 and 3):
Net realized gain (loss)
on investments -- -- (6,545,477) 2,693,617 12,761,383 19,169,792 822,062
Net change in unrealized
appreciation (depreciation)
on investments -- 538 4,145,264 5,475,483 7,034,896 8,003,781 1,221,126
----------- ---------- ------------ ------------ ----------- ----------- ----------
Net gain (loss) on investments -- 538 (2,400,213) 8,169,100 19,796,279 27,173,573 2,043,188
----------- ---------- ------------ ------------ ----------- ----------- ----------
Net increase in net assets
resulting from operations $2,213,311 $53,192 $6,929,695 $18,327,676 $25,406,059 $27,444,519 $2,067,557
=========== ========== ============ ============ =========== =========== ==========
</TABLE>
*Commenced operations May 1, 1999.
See accompanying notes to financial statements.
<PAGE>
ULTRA SERIES FUND
Statements of Changes in Net Assets
Six Months Ended June 30, 2000 and the Year Ended December 31, 1999
(Unaudited)
<TABLE>
<CAPTION>
MONEY MARKET FUND TREASURY 2000 FUND BOND FUND
Operations: 2000 1999 2000 1999 2000 1999
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net investment income $2,213,311 $3,088,037 $52,654 $105,875 $9,329,908 $4,236,584
Net realized gain (loss) on
investments -- -- -- -- (6,545,477) (8,092,995)
Net change in unrealized appreciation
or depreciation on investments -- -- 538 (49,993) 4,145,264 (4,261,091)
----------- ----------- ----------- ----------- ----------- -----------
Change in net assets from
operations 2,213,311 3,088,037 53,192 55,882 6,929,695 1,882,498
----------- ----------- ----------- ----------- ----------- -----------
Distributions to shareholders:
From net investment income (2,213,311) (3,088,037) -- -- (4,596,078) (14,083,486)
From realized gains on investments -- -- -- -- -- (3,484)
----------- ----------- ----------- ----------- ----------- -----------
Change in net assets from
distributions (2,213,311) (3,088,037) -- -- (4,596,078) (14,086,970)
----------- ----------- ----------- ----------- ----------- -----------
Class Z Share transactions (note 5):
Proceeds from sale of shares 30,843,334 57,336,829 -- 9,354 30,454,019 28,132,898
Net asset value of shares issued in
reinvestment of distributions 2,198,550 3,095,292 -- -- 4,596,078 14,086,970
----------- ----------- ----------- ----------- ----------- -----------
33,041,884 60,432,121 -- 9,354 35,050,097 42,219,868
Cost of shares repurchased (29,633,562) (34,202,634) -- -- (6,251,901) (7,811,320)
----------- ----------- ----------- ----------- ----------- -----------
Change in net assets derived from
capital share transactions 3,408,322 26,229,487 -- 9,354 28,798,196 34,408,548
----------- ----------- ----------- ----------- ----------- -----------
Increase in net assets 3,408,322 26,229,487 53,192 65,236 31,131,813 22,204,076
Net assets:
Beginning of year 82,645,975 56,416,488 1,901,140 1,835,904 250,485,226 228,281,150
----------- ----------- ----------- ----------- ----------- -----------
End of year $86,054,297 $82,645,975 $1,954,332 $1,901,140 $281,617,039 $250,485,226
=========== =========== =========== =========== =========== ===========
Undistributed net investment
income included in net assets -- -- $52,654 -- $4,956,970 $223,139
=========== =========== =========== =========== =========== ===========
</TABLE>
See accompanying notes to financial statements.
<PAGE>
ULTRA SERIES FUND
Statements of Changes in Net Assets (Continued)
Six Months Ended June 30, 2000 and the Year Ended December 31, 1999
(Unaudited)
<TABLE>
<CAPTION>
GROWTH AND INCOME CAPITAL APPRECIATION
BALANCED FUND STOCK FUND STOCK FUND
Operations: 2000 1999 2000 1999 2000 1999
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net investment income $10,158,576 $15,028,471 $5,609,780 $9,804,224 $270,946 $722,710
Net realized gain (loss) on
investments 2,693,617 18,937,774 12,761,383 64,716,812 19,169,792 73,587,448
Net change in unrealized appreciation
or depreciation on investments 5,475,483 37,197,027 7,034,896 81,136,793 8,003,781 91,564,086
----------- ----------- ------------ ------------ ----------- -----------
Change in net assets from
operations 18,327,676 71,163,272 25,406,059 155,657,829 27,444,519 165,874,244
----------- ----------- ------------ ------------ ----------- -----------
Distributions to shareholders:
From net investment income (5,152,881) (14,771,068) (3,058,979) (9,615,791) (150,893) (654,910)
From realized gains on
investments (3,416,124) (13,330,805) (4,123,478) (64,716,574) (9,194,838) (64,764,832)
----------- ----------- ------------ ------------ ----------- -----------
Change in net assets from
distributions (8,569,005) (28,101,873) (7,182,457) (74,332,365) (9,345,731) (65,419,742)
----------- ----------- ------------ ------------ ----------- -----------
Class Z Share transactions (note 5):
Proceeds from sale of shares 30,345,096 91,071,831 43,611,271 127,024,727 43,198,245 61,727,019
Net asset value of shares issued in
reinvestment of distributions 8,569,005 28,101,873 7,182,457 74,332,365 9,345,731 65,419,742
----------- ----------- ------------ ------------ ----------- -----------
38,914,101 119,173,704 50,793,728 201,357,092 52,543,976 127,146,761
Cost of shares repurchased (9,322,842) (9,091,748) (8,614,565) (17,526,082) (31,106,490) (18,840,534)
----------- ----------- ------------ ------------ ----------- -----------
Change in net assets derived from
capital share transactions 29,591,259 110,081,956 42,179,163 183,831,010 21,437,486 108,306,227
----------- ----------- ------------ ------------ ----------- -----------
Increase (decrease) in net assets 39,349,930 153,143,355 60,402,765 265,156,474 39,536,274 208,760,729
Net assets:
Beginning of year 603,135,697 449,992,342 1,098,330,096 833,173,622 839,133,795 630,373,066
----------- ----------- ------------ ------------ ----------- -----------
End of year $642,485,627 $603,135,697 $1,158,732,861 $1,098,330,096 $878,670,069 $839,133,795
=========== =========== ============ ============ =========== ===========
Undistributed net investment
income included in net assets $5,290,591 $284,896 $2,739,234 $188,433 $187,852 $67,799
=========== =========== ============ ============ =========== ===========
</TABLE>
See accompanying notes to financial statements.
<PAGE>
ULTRA SERIES FUND
Statements of Changes in Net Assets (Continued)
Six Months Ended June 30, 2000 and the Year Ended December 31, 1999
(Unaudited)
MID-CAP STOCK FUND*
Operations: 2000 1999
-----------------------------------------------
Net investment income $24,369 $51,863
Net realized gain (loss) on
investments 822,062 481,164
Net change in unrealized appreciation
or depreciation on investments 1,221,126 2,352,878
---------- ----------
Change in net assets from
operations 2,067,557 2,885,905
---------- ----------
Distributions to shareholders:
From net investment income (17,497) (43,023)
From realized gains on
investments (25,758) (456,416)
---------- ----------
Change in net assets from
Distributions (43,255) (499,439)
---------- ----------
Class Z Share transactions (note 5):
Proceeds from sale of shares 14,233,126 23,763,821
Net asset value of shares issued in
reinvestment of distributions 43,255 499,439
---------- ----------
14,276,381 24,263,260
Cost of shares repurchased (1,859,497) (170,298)
---------- ----------
Change in net assets derived from
capital share transactions 12,416,884 24,092,962
---------- ----------
Increase (decrease) in net assets 14,441,186 26,479,428
Net assets:
Beginning of year 26,479,428 --
---------- ----------
End of year $40,920,614 $26,479,428
========== ==========
Undistributed net investment
income included in net assets $15,712 $8,840
========== ==========
*Commenced operations May 1, 1999.
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
MONEY MARKET FUND
Financial Highlights
Six Months Ended June 30, 2000 and the Year Ended December 31
(Unaudited)
<S> <C> <C> <C> <C> <C>
(For a share outstanding throughout the period): 2000 1999 1998 1997 1996
------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00
------ ------ ------ ------ ------
Income from Investment Operations
Net Investment Income*** 0.03 0.05 0.05 0.05 0.05
------------------------------------------------------------------------------------
Distributions
Distributions from Net Investment Income (0.03) (0.05) (0.05) (0.05) (0.05)
------------------------------------------------------------------------------------
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $1.00
====================================================================================================================================
Total Return* 2.78% 4.69% 5.00% 5.01% 4.72%
====================================================================================================================================
Ratio/Supplemental Data
Net Assets, End of Period (000s Omitted) $86,054 $82,646 $56,416 $41,170 $21,011
Ratio of Expenses to Average Net Assets** 0.45% 0.45% 0.45% 0.50% 0.65%
Ratio of Net Investment Income to Average
Net Assets 5.56% 4.72% 4.99% 5.05% 4.74%
====================================================================================================================================
</TABLE>
For the Money Market Fund, the "seven-day average" yield for the seven days
ended June 30, 2000, was 6.18% and the "effective" yield for that period was
6.37% (unaudited).
*These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted.
**During the periods shown, prior to May 1, 1997, CUNA Mutual Life Insurance
Company and its affiliates absorbed certain expenses under the terms of an
Expense Reimbursement Agreement between the Ultra Series Fund and CUNA
Mutual Life Insurance Company. If the Expense Reimbursement Agreement had
not been in effect and if the full expenses allowable under the Investment
Advisory Agreement between the Ultra Series Fund and the Investment Adviser
had been charged, the resulting ratio of expenses to average net assets
would have been 0.51%, 0.67% and 0.73% for 1997, 1996 and 1995,
respectively.
***Based on average shares outstanding during year.
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
TREASURY 2000 FUND
Financial Highlights
Six Months Ended June 30, 2000 and the Year Ended December 31
(Unaudited)
<S> <C> <C> <C> <C> <C>
(For a share outstanding throughout the period) 2000 1999 1998 1997 1996
------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $10.23 $9.93 $9.24 $8.64 $8.47
------ ------ ------ ------ ------
Income from Investment Operations
Net Investment Income** 0.29 0.57 0.58 0.58 0.58
Net Realized and Unrealized Gain (Loss)
on Investments (0.00) (0.27) 0.11 0.02 (0.41)
------ ------ ------ ------ ------
Total from Investment Operations 0.29 0.30 0.69 0.60 0.17
------------------------------------------------------------------------------------
Distributions
Distributions from Net Investment Income -- -- -- -- --
Distributions from Realized Capital Gains -- -- -- -- --
------ ------ ------ ------ ------
Total Distributions -- -- -- -- --
------------------------------------------------------------------------------------
Net Asset Value, End of Period $10.52 $10.23 $9.93 $9.24 $8.64
====================================================================================================================================
Total Return* 2.80% 3.04% 7.52% 6.85% 2.10%
====================================================================================================================================
Ratio/Supplemental Data
Net Assets, End of Period (000s Omitted) $1,954 $1,901 $1,836 $1,701 $1,585
Ratio of Expenses to Average Net Assets 0.45% 0.45% 0.45% 0.45% 0.45%
Ratio of Net Investment Income to Average
Net Assets 5.47% 5.70% 6.01% 6.56% 7.03%
====================================================================================================================================
</TABLE>
*These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate account
level because charges made at the separate account level have not been
subtracted.
**Based on average shares outstanding during year.
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
BOND FUND
Financial Highlights
Six Months Ended June 30, 2000 and the Year Ended December 31
(Unaudited)
<S> <C> <C> <C> <C> <C>
(For a share outstanding throughout the period): 2000 1999 1998 1997 1996
------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $10.05 $10.57 $10.54 $10.33 $10.63
------ ------ ------ ------ ------
Income from Investment Operations
Net Investment Income*** 0.35 0.62 0.63 0.54 0.65
Net Realized and Unrealized Gain (Loss)
on Investments (0.10) (0.54) 0.02 0.20 (0.28)
------ ------ ------ ------ ------
Total from Investment Operations 0.25 0.08 0.65 0.74 0.37
------------------------------------------------------------------------------------
Distributions
Distributions from Net Investment Income (0.16) (0.60) (0.62) (0.51) (0.64)
Distributions from Realized Capital Gains (0.00) (0.00) (0.00) (0.02) (0.03)
------ ------ ------ ------ ------
Total Distributions (0.16) (0.60) (0.62) (0.53) (0.67)
------------------------------------------------------------------------------------
Net Asset Value, End of Period $10.14 $10.05 $10.57 $10.54 $10.33
====================================================================================================================================
Total Return* 2.58% 0.73% 6.18% 7.45% 2.86%
====================================================================================================================================
Ratio/Supplemental Data
Net Assets, End of Period (000s Omitted) $281,617 $250,485 $228,281 $188,840 $26,572
Ratio of Expenses to Average Net Assets** 0.55% 0.55% 0.55% 0.56% 0.65%
Ratio of Net Investment Income to Average
Net Assets 6.98% 5.92% 5.94% 6.50% 6.25%
Portfolio Turnover Rate 331.77% 713.52% 142.98% 30.71% 25.67%
====================================================================================================================================
</TABLE>
*These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted.
**During the periods shown, prior to May 1, 1997, CUNA Mutual Life Insurance
Company and its affiliates absorbed certain expenses under the terms of an
Expense Reimbursement Agreement between the Ultra Series Fund and CUNA
Mutual Life Insurance Company. If the Expense Reimbursement Agreement had
not been in effect and if the full expenses allowable under the Investment
Advisory Agreement between the Ultra Series Fund and the Investment Adviser
had been charged, the resulting ratio of expenses to average net assets
would have been 0.57%, 0.67% and 0.68% for 1997, 1996 and 1995,
respectively.
***Based on average shares outstanding during year.
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
BALANCED FUND
Financial Highlights
Six Months Ended June 30, 2000 and the Year Ended December 31
(Unaudited)
<S> <C> <C> <C> <C> <C>
(For a share outstanding throughout the period): 2000 1999 1998 1997 1996
-------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $20.44 $18.74 $17.02 $15.29 $14.63
------ ------ ------ ------ ------
Income from Investment Operations
Net Investment Income*** 0.34 0.56 0.57 0.62 0.58
Net Realized and Unrealized Gain (Loss)
on Investments 0.27 2.14 1.72 1.93 0.98
------ ------ ------ ------ ------
Total from Investment Operations 0.61 2.70 2.29 2.55 1.56
-------------------------------------------------------------------------------------
Distributions
Distributions from Net Investment Income (0.17) (0.53) (0.57) (0.63) (0.58)
Distributions from Realized Capital Gains (0.11) (0.47) -- (0.19) (0.32)
------ ------ ------ ------ ------
Total Distributions (0.28) (1.00) (0.57) (0.82) (0.90)
-------------------------------------------------------------------------------------
Net Asset Value, End of Period $20.77 $20.44 $18.74 $17.02 $15.29
====================================================================================================================================
Total Return* 3.00% 14.49% 13.40% 16.87% 10.79%
====================================================================================================================================
Ratio/Supplemental Data
Net Assets, End of Period (000s Omitted) $642,486 $603,136 $449,992 $309,804 $194,725
Ratio of Expenses to Average Net Assets** 0.70% 0.70% 0.70% 0.68% 0.65%
Ratio of Net Investment Income to Average
Net Assets 3.28% 2.83% 3.20% 3.81% 3.91%
Portfolio Turnover Rate 141.38% 269.00% 78.71% 21.15% 33.48%
====================================================================================================================================
</TABLE>
*These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted.
**During the periods shown, prior to May 1, 1997, CUNA Mutual Life Insurance
Company and its affiliates absorbed certain expenses under the terms of an
Expense Reimbursement Agreement between the Ultra Series Fund and CUNA
Mutual Life Insurance Company. If the Expense Reimbursement Agreement had
not been in effect and if the full expenses allowable under the Investment
Advisory Agreement between the Ultra Series Fund and the Investment Adviser
had been charged, the resulting ratio of expenses to average net assets
would have been 0.69%, 0.65% and 0.68% for 1997, 1996 and 1995,
respectively.
***Based on average shares outstanding during year.
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
GROWTH AND INCOME STOCK FUND
Financial Highlights
Six Months Ended June 30, 2000 and the Year Ended December 31
(Unaudited)
<S> <C> <C> <C> <C> <C>
(For a share outstanding throughout the period): 2000 1999 1998 1997 1996
-------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $33.58 $30.56 $27.20 $21.32 $18.20
------ ------ ------ ------ ------
Income from Investment Operations
Net Investment Income*** 0.17 0.34 0.34 0.31 0.34
Net Realized and Unrealized Gain (Loss)
on Investments 0.60 5.12 4.52 6.36 3.93
------ ------ ------ ------ ------
Total from Investment Operations 0.77 5.46 4.86 6.67 4.27
-------------------------------------------------------------------------------------
Distributions
Distributions from Net Investment Income (0.09) (0.32) (0.34) (0.32) (0.34)
Distributions from Realized Capital Gains (0.12) (2.12) (1.16) (0.47) (0.81)
------ ------ ------ ------ ------
Total Distributions (0.21) (2.44) (1.50) (0.79) (1.15)
-------------------------------------------------------------------------------------
Net Asset Value, End of Period $34.14 $33.58 $30.56 $27.20 $21.32
====================================================================================================================================
Total Return* 2.29% 17.95% 17.92% 31.42% 22.02%
====================================================================================================================================
Ratio/Supplemental Data
Net Assets, End of Period (000s Omitted) $1,158,733 $1,098,330 $833,174 $590,135 $232,841
Ratio of Expenses to Average Net Assets** 0.60% 0.60% 0.60% 0.61% 0.65%
Ratio of Net Investment Income to Average
Net Assets 0.99% 0.99% 1.17% 1.39% 1.78%
Portfolio Turnover Rate 11.87% 20.13% 17.69% 20.39% 40.55%
====================================================================================================================================
</TABLE>
*These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted.
**During the periods shown, prior to May 1, 1997, CUNA Mutual Life Insurance
Company and its affiliates absorbed certain expenses under the terms of an
Expense Reimbursement Agreement between the Ultra Series Fund and CUNA
Mutual Life Insurance Company. If the Expense Reimbursement Agreement had
not been in effect and if the full expenses allowable under the Investment
Advisory Agreement between the Ultra Series Fund and the Investment Adviser
had been charged, the resulting ratio of expenses to average net assets
would have been 0.61%, 0.65% and 0.69% for 1997, 1996 and 1995,
respectively.
***Based on average shares outstanding during year.
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
CAPITAL APPRECIATION STOCK FUND
Financial Highlights
Six Months Ended June 30, 2000 and the Year Ended December 31
(Unaudited)
<S> <C> <C> <C> <C> <C>
(For a share outstanding throughout the period): 2000 1999 1998 1997 1996
-------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period $25.59 $22.19 $18.85 $14.60 $12.51
------ ------ ------ ------ ------
Income from Investment Operations
Net Investment Income*** 0.01 0.02 0.06 0.07 0.13
Net Realized and Unrealized Gain (Loss)
on Investments 0.83 5.55 3.87 4.52 2.55
------ ------ ------ ------ ------
Total from Investment Operations 0.84 5.57 3.93 4.59 2.68
-------------------------------------------------------------------------------------
Distributions
Distributions from Net Investment Income (0.00) (0.02) (0.06) (0.07) (0.13)
Distributions from Realized Capital Gains (0.28) (2.15) (0.53) (0.27) (0.46)
------ ------ ------ ------ ------
Total Distributions (0.28) (2.17) (0.59) (0.34) (0.59)
-------------------------------------------------------------------------------------
Net Asset Value, End of Period $26.15 $25.59 $22.19 $18.85 $14.60
====================================================================================================================================
Total Return* 3.26% 25.19% 20.90% 31.57% 21.44%
====================================================================================================================================
Ratio/Supplemental Data
Net Assets, End of Period (000s Omitted) $878,670 $839,134 $630,373 $456,194 $98,674
Ratio of Expenses to Average Net Assets** 0.80% 0.80% 0.80% 0.82% 0.65%
Ratio of Net Investment Income to Average
Net Assets 0.06% 0.10% 0.31% 0.70% 0.96%
Portfolio Turnover Rate 9.32% 38.38% 18.67% 17.06% 49.77%
====================================================================================================================================
</TABLE>
*These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted.
**During the periods shown, prior to May 1, 1997, CUNA Mutual Life Insurance
Company and its affiliates absorbed certain expenses under the terms of an
Expense Reimbursement Agreement between the Ultra Series Fund and CUNA
Mutual Life Insurance Company. If the Expense Reimbursement Agreement had
not been in effect and if the full expenses allowable under the Investment
Advisory Agreement between the Ultra Series Fund and the Investment Adviser
had been charged, the resulting ratio of expenses to average net assets
would have been 0.83%, 0.66% and 0.75% for 1997, 1996 and 1995,
respectively.
***Based on average shares outstanding during year.
See accompanying notes to financial statements.
<PAGE>
MID-CAP STOCK FUND
Financial Highlights
Six Months Ended June 30, 2000 and the Period Ended December 31
(Unaudited)
(For a share outstanding throughout the period) 2000 19991
---------------------------------
Net Asset Value, Beginning of Period $11.15 $10.00
------ ------
Income from Investment Operations
Net Investment Income**** 0.01 0.03
Net Realized and Unrealized Gain (Loss)
on Investments 0.72 1.34
------ ------
Total from Investment Operations 0.73 1.37
---------------------------------
Distributions
Distributions from Net Investment Income (0.01) (0.02)
Distributions from Realized Capital Gains (0.01) (0.20)
------ ------
Total Distributions (0.02) (0.22)
---------------------------------
Net Asset Value, End of Period $11.86 $11.15
================================================================================
Total Return* 6.56% 13.68%**
================================================================================
Ratio/Supplemental Data
Net Assets, End of Period (000s Omitted) $40,921 $26,479
Ratio of Expenses to Average Net Assets 0.78% 1.00%***
Ratio of Net Investment Income to Average
Net Assets 0.11% 0.39%***
Portfolio Turnover Rate 35.04% 35.55%
================================================================================
*These returns are after all charges at the mutual fund level have been
subtracted. These returns are higher than the returns at the separate
account level because charges made at the separate account level have not
been subtracted.
**Not annualized.
***Annualized.
****Based on average shares outstanding during period.
1Commenced operations May 1, 1999.
See accompanying notes to financial statements.
<PAGE>
ULTRA SERIES FUND
Notes to Financial Statements
(1) Description of the Fund
The Ultra Series Fund (the "Fund"), a Massachusetts Business Trust, is
registered under the Investment Company Act of 1940 (the "1940 Act"), as
amended, as a diversified, open-end management investment company. The Fund
is a series fund with seven investment portfolios (the "funds"), each with
different investment objectives and policies and each having available two
separate classes of common stock with a par value of $.01 per share. Fund
shares are sold and redeemed at a price equal to the shares' net asset
value. The assets of each fund are held separate from the assets of the
other funds. The Mid-Cap Stock Fund commenced operations May 1, 1999. On or
within 12 months prior to the portfolio maturity date, the securities of
the Treasury 2000 Fund will be liquidated. Once the Treasury 2000 Fund has
liquidated its portfolio, additional Stripped Treasury Securities with a
portfolio maturity date selected at that time may be purchased and the Fund
may continue, with liquidation and subsequent refunding occurring from time
to time.
Effective May 1, 1997, the shares of each fund were divided into Class Z
and Class C Shares. Class Z Shares are offered to all insurance company
separate accounts issued by, and all qualified retirement plans sponsored
by, CUNA Mutual Life Insurance Company or its affiliates ("CUNA Mutual
Life"). Class C Shares are offered to separate accounts of insurance
companies other than CUNA Mutual Life, and to qualified retirement plans of
companies not affiliated with the Fund or CUNA Mutual Life. Both classes of
shares are identical in all respects except that: Class C Shares may be
subject to a distribution fee (note 4); each class will have exclusive
voting rights with respect to matters that affect just that class; and each
class will bear a different name or designation. All income earned and
expenses incurred by the Fund are borne on a pro-rata basis by each
outstanding share of each class based on the daily net asset value of
shares of that class. As of June 30, 2000, no Class C Shares have been
issued.
(2) Significant Accounting Policies
(a) Valuation of Investment Securities
Portfolio securities for which market quotations are readily available
are valued at current market value. If market quotations or valuations
are not available, or if such quotations or valuations are believed to
be inaccurate, unreliable or not reflective of market value, portfolio
securities are valued according to procedures adopted by the funds'
board of trustees in good faith at fair value.
Pricing services value domestic and foreign equity securities (and
occasionally fixed-income securities) traded on a securities exchange
or Nasdaq at the last reported sale price, up to the time of valuation.
If there are no reported sales of a security on the valuation date, it
is valued at the mean between the published bid and asked prices
reported by the exchange or Nasdaq. If there are no sales and no
published bid and asked quotations for a security on the valuation date
or the security is not traded on an exchange or Nasdaq, the pricing
service may obtain market quotations directly from broker-dealers.
Fixed-income securities are valued at prices obtained from a pricing
service, when such prices are available. In circumstances where prices
are not available from the fund's pricing service, securities may be
valued using market quotations obtained from one or more dealers or a
quotation system. Short-term securities with maturities of 60 days or
less and the Money Market Fund securities are valued at amortized cost,
which approximates market value.
(b) Share Valuation and Dividends to Shareholders
The net asset value of the shares of each fund is determined daily
based on the valuation of the net assets of the funds divided by the
number of shares of the fund outstanding. Expenses, including the
investment advisory, advisory/administrative, and distribution fees
(note 4), are accrued daily and reduce the net asset value per share.
Dividends on the Money Market Fund are declared and reinvested daily in
additional full and fractional shares of the Money Market Fund.
Dividends of net investment income from the Mid-Cap Stock Fund, Capital
Appreciation Stock Fund, Growth and Income Stock Fund, Bond Fund, and
Balanced Fund are declared and reinvested quarterly in additional full
and fractional shares of the respective funds. Distributions of net
realized capital gains of these funds, if any, will be declared and
reinvested at least annually. The Treasury 2000 Fund will utilize an
annual consent dividend procedure which provides the fund with the
deduction for dividends constructively paid to shareholders.
(c) Federal Income Taxes
Each fund intends to distribute all of its taxable income and to comply
with the other requirements of the Internal Revenue Code applicable to
regulated investment companies. Accordingly, no provision for income or
excise taxes is required.
Generally accepted accounting principals require that permanent
financial reporting and tax differences be reclassified in the capital
accounts.
<PAGE>
For federal income tax purposes, at December 31, 1998, the Balanced
fund had a capital loss carryover of $2,476,442 that was offset by
capital gains in 1999. At December 31, 1999, the Bond Fund had a
capital loss carryover of $7,838,884 that will expire in the year 2007
if not offset by subsequent capital gains. To the extent the Bond Fund
realizes future net capital gains, taxable distributions will be
reduced by any unused capital loss carryover.
(d) Security Transactions and Investment Income
Security transactions are recorded on the trade date. Realized gains
and losses from security transactions are reported on the identified
cost basis. Interest, including amortization of premium and discount,
is accrued daily and dividend income is recorded on the ex-dividend
date.
(e) Use of Estimates
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the
date of the financial statements and the reported amounts of increase
and decrease in net assets from operations during the period. Actual
results could differ from those estimates.
(3) Purchase and Sales of Investment Securities
The cost of securities purchased and the proceeds from securities sold
(including maturities, excluding short-term) for each fund during the
six-month period ended June 30, 2000, were as follows:
<TABLE>
<CAPTION>
U.S. Government Securities Other Investment Securities
Purchases Sales Purchases Sales
<S> <C> <C> <C> <C>
Bond $590,213,674 $560,261,384 $1,076,309,390 $1,075,783,440
Balanced 549,050,722 519,500,763 892,598,260 846,332,075
Growth and Income Stock 0 0 310,188,724 193,744,371
Capital Appreciation Stock 0 0 306,070,627 266,165,035
Mid-Cap Stock 0 0 30,154,053 6,928,419
</TABLE>
(4) Transactions with Affiliates
Fees and Expenses
The Fund has entered into an investment advisory agreement with CIMCO Inc.
(the "Investment Adviser"), an affiliated company. The fees under the
agreement, paid monthly, are calculated as a percentage of the average
daily net assets for each fund at the following annual rates:
Money Market 0.45%
Treasury 2000 0.45%
Bond 0.55%
Balanced 0.70%
Growth and Income Stock 0.60%
Capital Appreciation Stock 0.80%
Mid-Cap Stock 1.00%
Under this unified fee structure, the Investment Adviser is responsible for
providing or obtaining services and paying certain expenses including
custodian fees, transfer agent fees, pricing costs, and accounting and
legal fees as indicated in the investment advisory agreement.
The Investment Advisor has entered into a Subadvisor Agreement for the
management of a portion of the investments in the Mid-Cap Stock Fund. The
Investment Advisor is solely responsible for the payment of all fees to the
Subadvisor. The Subadvisor for this Fund is Heartland Advisors, Inc.
In addition to the unified investment advisory fee and Subadvisor
Agreement, each fund also pays certain expenses including trustees fees,
brokerage commissions, interest expense, audit fees, and other
extraordinary expenses.
All capital shares outstanding at June 30, 2000, are owned by separate
investment accounts of CUNA Mutual Life.
Certain officers and trustees of the Fund are also officers of CUNA Mutual
Life or CIMCO Inc. During the six-month period ended June 30, 2000, the
Fund made no direct payments to its officers and paid trustees' fees of
approximately $7,957 to its unaffiliated trustees.
<PAGE>
Distribution Plan
All shares are distributed through CUNA Brokerage Service, Inc. ("CBSI"),
an affiliated company, or other registered broker-dealers authorized by
CBSI. Class C Shares may also be subject to an asset-based distribution fee
pursuant to Rule 12b-1 under the 1940 Act, equal to not more than 0.25%, on
an annual basis, of the average value of the daily net assets of each
series of the Fund attributable to Class C Shares on an annual basis.
(5) Share Activity
Transactions in Class Z Shares of each fund for the year ended December 31,
1999 and for the six-month period ended June 30, 2000, were as follows:
<TABLE>
<CAPTION>
Money Treasury Growth and Capital Mid-Cap
Market 2000 Bond Balanced Income Stock Appreciation Stock
Fund Fund Fund Fund Fund Stock Fund Fund*
---- ---- ---- ---- ---- ---------- -----
<S> <C> <C> <C> <C> <C> <C> <C>
Shares outstanding at
December 31, 1998 56,416,488 184,870 21,598,720 24,018,663 27,264,375 28,412,098 --
---------- -------- --------- --------- --------- --------- --------
Shares sold 57,336,829 916 2,689,111 4,567,002 3,735,034 2,570,088 2,349,783
Reinvestment dividend
shares 3,095,292 -- 1,378,627 1,376,385 2,218,655 2,576,478 42,297
Shares repurchased (34,202,634) -- (743,228) (452,501) (507,934) (767,172) (16,297)
---------- -------- --------- --------- --------- --------- --------
Shares outstanding at
December 31, 1999 82,645,975 185,786 24,923,230 29,509,549 32,710,130 32,791,492 2,375,783
---------- -------- --------- --------- --------- --------- --------
Shares sold 30,843,334 -- 3,023,096 1,467,506 1,280,141 1,675,972 1,224,040
Reinvestment dividend shares2,198,550 -- 456,931 406,568 201,224 346,539 3,535
Shares repurchased (29,633,562) -- (621,166) (452,694) (253,180) (1,213,910) (154,280)
---------- -------- --------- --------- --------- --------- --------
Shares outstanding at
June 30, 2000 86,054,297 185,786 27,782,091 30,930,929 33,938,315 33,600,093 3,449,078
========== ======== ========= ========= ========= ========= ========
</TABLE>
*Commenced operations May 1, 1999.
<PAGE>
ULTRA SERIES FUND
Officers and Trustees
TRUSTEES
Gwendolyn M. Boeke Lawrence R. Halverson
Michael S. Daubs Thomas C. Watt
Alfred L. Disrud
OFFICERS
Name Office
Michael S. Daubs President
Lawrence R. Halverson Vice President
Thomas J. Merfeld Secretary
Mary E. Hoffmann Treasurer
Michael G. Joneson Assistant Secretary
Robert M. Buckingham Assistant Secretary
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