Dear Investor:
In spite of the long-accumulating worries about year-end, positive influences in
1999 were plentiful - continued strong U. S. economic growth, low inflation,
recovering economies overseas and little if any market impact of anticipated Y2K
problems. Negatives were primarily limited to concerns about the effect our
strong economy might have on inflation rates. This led to an erratic decline in
bond prices that began early in the year and accelerated when the Federal
Reserve began raising short-term interest rates mid-year.
Throughout 1999, speculative activities spread within the stock market, focused
initially on public offerings of very small Internet-related companies. Many of
these stocks immediately moved to prices far above the offering price and well
beyond any reasonable valuation of the issuing companies' likely prospects.
This euphoria then spread to stocks of the more established current leaders in
the "new economy" of technology and communications, moving many of them up 100%
or more, and some up 1,000% and more in this single year.
At the same time and in the same markets, stocks of strong, established
industrial companies languished, and stocks of any such companies whose earning
stumbled for some reason were pummeled in the market, sometimes to a small
fraction of their prior stock price. In both the Standard & Poor's 500 Index of
large companies and the NASDAQ market of generally smaller companies,
approximately half of their stocks were actually down in price for the year.
In this extremely challenging environment of widely diverse fortunes, the Ultra
Series Fund's generally conservative, diversified approach to investing
performed essentially as expected. It did not capture the headline-making
returns of the IPO speculators, but it did succeed in providing investors with
another year of quite attractive returns that, once again, exceeded the returns
of most relevant market and peer group indexes.
- ----------------------------------------------- -------------------------------
Ultra Series Fund, Market Index and Peer Index 1999 Return
- ----------------------------------------------- ------------------------------
Money Market Fund 4.69%
Representative Market (90-Day Treasury Bill) 4.73%
Peer Group (Lipper Money Market Fund Index) 4.49%
- ----------------------------------------------- ------------------------------
Bond Fund 0.73%
Representative Market (Lehman Intermediate
Govt./Corp. Index) 0.39%
Peer Group (Lipper Intermediate Investment
Grade Bond Fund Index) -0.98%
- ----------------------------------------------- -------------------------------
Balanced Fund 14.49%
Representative Market (Synthetic Index*) 10.14%
Peer Group (Lipper Balanced Fund Index) 8.98%
- ----------------------------------------------- -------------------------------
Growth and Income Stock Fund 17.95%
Representative Market (Standard & Poor's
500 Index) 21.04%
Peer Group (Lipper Large Cap Value Fund
Index) 10.78%
- ----------------------------------------------- -------------------------------
Capital Appreciation Stock Fund 25.19%
Representative Market (Standard & Poor's
1500 SuperComposite Index) 20.25%
Peer Group (Lipper Multi-Cap Core Fund
Index) 20.77%
- ----------------------------------------------- -------------------------------
Mid-Cap Stock Fund 13.68%**
Representative Market (Standard & Poor's 400
Mid Cap Index) 13.58%**
Peer Group (Lipper Mid-Cap Value Fund Index) 6.49%**
- ----------------------------------------------- -------------------------------
* The Synthetic Index represents a combination of the S&P 500 Index (45%), the
Lehman Intermediate Government/Corporate Bond Index (40%), and 90-Day U. S.
Treasury Bills (15%).
** Returns shown are from May 1, 1999 through December 31, 1999. The Mid-Cap
Fund's inception date was May 1, 1999.
We are very pleased to have been able to provide such consistency of competitive
returns across the Ultra Series "family of funds" again in 1999. This
consistency allows investors to confidently change the mix of their investment
portfolios over time in response to their changing needs, knowing that, whatever
asset class type is called for, there is likely to be a solid-performing Ultra
Series Fund available to meet the need.
The year 2000 initially appears to present fewer and less ominous economic risks
to investors than 1999 did. Average stock prices, however, are beginning the
year significantly above early-1999 levels. So are interest rates, and they are
widely expected to rise further as the Federal Reserve seeks to slow the rate of
economic growth to lessen speculative excesses in the technology-related sectors
of the stock market and preempt a resurgence of inflation. This is sure to
create a volatile and challenging investment environment. However, there are
many quite reasonably valued areas of the stock market, and any Fed-induced
increase in short-term interest rates should lessen any inflationary pressures,
thereby helping to establish a more favorable environment for bond investors.
Therefore, we are entering the year with modest but favorable expectations for
all of the Ultra Series Funds in 2000.
Longer-term, we remain convinced that the "economic formula" developed over the
last fifty years in this nation is the most effective ever devised by mankind,
and that it will be modeled, adapted and successfully applied in more and more
nations worldwide over the coming years. This should provide many more years of
favorable returns to the providers of capital to this economic growth, including
the investors in the Ultra Series Fund.
We thank you for allowing us to serve your investment needs.
Sincerely,
/s/L.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 lace, 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 January 1, 1990, would have the following
value as of December 31, 1999.
Treasury 2000 Fund......................................$23,472
Lehman Intermediate Treasury Bond Index.................$22,732
Lipper Average..........................................$21,836
Consumer Price Index....................................$13,354
- --------------------------------------------------------------------------------
Average Annual Total Return Through December 31, 19991
- --------------------------------------------------------------------------------
- ------------------------------- ------------ ------------ ----------- ----------
One Three Five Ten
Year Years Years Years
- ------------------------------- ------------ ------------ ----------- ----------
- ------------------------------- ------------ ------------ ----------- ----------
Treasury 2000 Fund 3.04% 5.79% 7.90% 8.12%
Lehman Intermediate Treasury 0.41% 5.51% 6.90% 8.56%
Bond Index2
Lipper Average3 -3.89% 5.43% 7.40% 8.91%
Consumer Price Index4 2.70% 2.07% 2.38% 2.93%
- ------------------------------- ------------ ------------ ----------- ----------
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 1999 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 rose throughout the year ended December
31, 1999 with yields on 30-day Treasury bills rising from 4.40% to 5.12% and
yields on 30-year Treasury bonds rising from 5.10% to 6.48%. The across-the-
board rise in interest rates was driven by increasing concerns over inflationary
pressures. 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 three times during 1999. The impact on the economy
appears modest thus far and most economists expect that further rate hikes will
be forthcoming, particularly now that the Y2K transition has passed.
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, 20001, allowed the Fund to gain 3.04% in value, exceeding the flat
results experienced in the intermediate-term bond market and significantly
exceeding the average returns of similar funds:
Ultra Series Treasury 2000 Fund 3.04%
Lehman Intermediate Treasury Bond Index 0.41%
Lipper Average of Target Maturity Funds -3.89%
The key operating factor causing the favorable difference between the Treasury
2000 Fund's return and that of the index was the Fund's shorter maturity
structure. This factor was also the key reason behind the Fund's significant
performance advantage versus the Lipper Target Maturity universe. These funds
range in maturity from 2000-2010, with the Ultra Series Treasury 2000 Fund
having one of the shortest maturities. This worked to the Fund's advantage as
funds with longer maturities generally suffered meaningful declines during this
rising interest rate environment.
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). 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
1 On or within 12 months prior to the portfolio maturity date, the securities
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. Operation
of the new portfolio would be consistent with the operation of the Treasury
2000 portfolio. If, at the time of the portfolio maturity date for this Fund,
it appears not to be in the best interest of the Fund to purchase additional
Stripped Treasury Securities, the Fund will distribute its assets and cease
operations.
<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 1, 1990, would have the following value as of December 31, 1999.
Bond Fund...............................................$20,156
Lehman Intermediate Government/Corporate Bond Index.....$19,047
Lipper Average..........................................$17,256
Consumer Price Index....................................$13,354
- --------------------------------------------------------------------------------
Average Annual Total Return Through December 31, 1999(1)
- --------------------------------------------------------------------------------
- ------------------------------- ------------ ------------ ----------- ----------
One Three Five Ten
Year Years Years Years
- ------------------------------- ------------ ------------ ----------- ----------
- ------------------------------- ------------ ------------ ----------- ----------
Bond Fund 0.73% 4.75% 6.59% 6.66%
Lehman Intermediate
Govt./Corporate Bond 0.39% 5.50% 7.10% 7.26%
Index(2) 1.19% 4.44% 5.11% 5.61%
Lipper Average(3) 2.70% 2.07% 2.38% 2.93%
Consumer Price Index(4)
- ------------------------------- ------------ ------------ ----------- ----------
GRAPHIC: At this place, the shareholder report contains a pie chart showing a
portfolio mix of 25.5% in Mortgage Backed/Asset Backed Bonds, 48.0% in U.S.
Corporate Bonds, 14.5% in U.S. Government & Agency Bonds, 8.7% in Non-U.S.
Corporate Bonds, 1.7% in Short-term Investments, and 1.6% 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 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 1999 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: Last year turned out to be one of the worst for fixed
income investors in quite some time. The Lehman Aggregate Bond Index suffered a
negative return (-0.82%) for only the second time since it was created in 1973.
(The other negative year was 1994). A general across-the-board rise in interest
rates was the main culprit behind the decline in bond prices and poor returns.
Long Treasury bonds were hardest hit as yields rose from 5.10% to end the year
at 6.48%, resulting in a -14.8% total return. Interestingly, despite a modest
rise in default rates, corporate bonds outperformed Treasuries of a similar
maturity by about 1.5% as yield spreads on corporate bonds (versus Treasuries)
narrowed throughout the year.
The Ultra Series Bond Fund managed to post a positive total return in a very
difficult 1999 market environment. And, while a 0.73% return is quite modest by
historical standards, it compares very well with major bond market indexes and
peer funds for 1999. The Fund's shorter maturity structure and emphasis on
spread product (bonds other than Treasuries) contributed to performance.
Furthermore, an aggressive and active trading strategy to exploit anomalies in a
nervous and inefficient market paid off. The table below shows the performance
of the Ultra Series Bond Fund, key sectors of the fixed income markets, and the
Lipper index of similar funds.
Ultra Series Bond Fund 0.73%
Lehman Intermediate Govt/Corp Bond Index 0.39%
Lehman Treasury Bond Index -2.56%
Lehman Corporate Bond Index -1.96%
Lipper Intermediate Investment Grade Bond Fund Index -0.98%
Catalysts for rising interest rates during 1999 included a number of factors.
The strong US economy, in its tenth consecutive year of positive growth, surged
to over 5% real GDP growth in the latter half of the year. And, the rest of the
world rebounded from the global financial crisis of 1998. The resultant rising
credit demands and fears of inflation pushed interest rates higher. However,
actual domestic inflation rose only a modest 2.7% last year compared to a 1.6%
rise in 1998, and the increase was entirely due to rising oil prices that more
than doubled to $26 per barrel as OPEC restrained production. The core
inflation rate, which excludes the volatile food and energy components, was up
2.1% versus 2.4% the year before.
The Federal Reserve raised interest rates three times last year. The strong
economy, hot stock market, and tight labor markets raised concerns that
inflation would return despite strong technology led productivity growth. The
impact on the economy of these rate increases appears modest at best, and many
economists expect that further rate hikes will be necessary.
We are somewhat less pessimistic than most about the prospects for further
increases in interest rates. While cyclical pressures remain, bond valuations
are quite attractive when viewed against the expected level of inflation.
Furthermore, long corporate bonds at 8% would seem to offer competition for
stocks given the stock market's historical 10-11% long-term returns.
As of December 31, 1999, the Fund held 81 securities that are well diversified
across the major sectors and industries of the fixed income markets, with 57% in
corporate securities, 26% in mortgage-backed securities, and 14% in government
securities, and 3% invested in money market instruments and other assets less
liabilities. At December 31, 1999, the portfolio has an average maturity of 6
years, AA- average quality, and provides a 7.61% yield before fund expenses.
Looking forward we do not anticipate major changes although we expect to be more
equally weighted between corporate, mortgage-backed, and government securities.
We also expect the bond markets to remain volatile, allowing us to find many
opportunities to enhance Fund returns through active trading strategies of the
kinds employed in 1999.
We appreciate your continued support and confidence in what has been a very
trying year for bond investors. At times like this it is important to keep the
long term in mind and recognize that investments can be cyclical - moving up and
down. We remain confident, however, 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 1, 1990 would have the following value as of December 31,
1999.
Balanced Fund...........................................$53.232
S&P 500 Index...........................................$37,890
Synthetic Index.........................................$30,908
Lehrman Intermediate Government/Corporate Bond Index....$29,699
Lipper Average..........................................$20,156
90 Day U.S. Treasury Bill...............................$16,355
Consumer Price Index....................................$13,354
- --------------------------------------------------------------------------------
Average Annual Total Return Through December 31, 19991
- --------------------------------------------------------------------------------
- ------------------------------- ------------ ------------ ----------- ----------
One Three Five Ten
Year Years Years Years
- ------------------------------- ------------ ------------ ----------- ----------
- ------------------------------- ------------ ------------ ----------- ----------
Balanced Fund 14.49% 14.91% 15.50% 11.50%
S&P 500 Index2 21.04% 27.56% 28.55% 18.20%
Synthetic Index3 10.14% 15.26% 16.27% 11.95%
Lehman Intermediate 0.39% 5.50% 7.10% 7.26%
Govt./Corporate Bond
Index4 8.98% 12.86% 13.65% 14.25%
Lipper Average5 4.73% 4.98% 5.19% 5.04%
90 Day U.S. Treasury Bill6 2.70% 2.07% 2.38% 2.93%
Consumer Price Index7
- ------------------------------- ------------ ------------ ----------- ----------
GRAPHIC: At this place the shareholder report contains a pie chart showing a
portfolio mix of 50.6% in Domestic Common Stocks, 19.5% in U.S. Corporate Bonds,
8.9% in U.S. Government & Agency Bonds, 8.8% in Mortgage Backed/Asset Backed
Bonds, 4.2% in Short-term Investments, 3.7% in Foreign Common Stocks, 3.5% in
Non-U.S. Corporate Bonds, and 0.8% 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 1999 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 Stock 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 twelve months ended December 31, 1999, U.S.
stocks continued their ascent posting an unprecedented fifth straight annual
return in excess of 20%. The Standard & Poor's 500 Index gained 21.04%, led by
its heavy weighting in technology issues and large-company growth stocks.
Bond investors did not fare so well as 1999 turned out to be one of the worst
years for investment performance in quite some time. Interest rates rose
across-the-board with rates on the 30-year Treasury bond increasing from 5.10%
to 6.48% during the course of the year. The Lehman Intermediate
Government/Corporate Bond Index, a broad representation of investment grade
bonds with maturity dates averaging four-to-five years, provided a total return
of 0.39% during the period. Money market instruments, interest-bearing
investments with maturities of less than one year, also saw their yields rise
during the period. On average, 90 Day U.S. Treasury bills returned 4.73% during
1999.
The Ultra Series Balanced Fund provided a return of 14.49% for the twelve months
ended December 31, 1999. This substantially exceeded the 8.98% average balanced
fund as represented by the Lipper Balanced 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 10.14% gain as represented by
a hypothetical portfolio consisting of 45% S&P 500 Index, 40% Lehman
Intermediate Government/Corporate Bond Index and 15% 90 Day U.S. Treasury Bills.
Ultra Series Balanced Fund 14.49%
Synthetic Index * 10.14%
Lipper Index of Balanced Funds 8.98%
* 45% Standard & Poor's 500 Index, 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 teams. 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 54% of net assets
and bonds are roughly 41% of net assets, with the remaining approximately 5%
invested in money market instruments and other assets less liabilities.
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 1, 1990 would have the following value as
of December 31, 1999.
Growth and Income Stock Fund............................$53,232
S&P 500 Index...........................................$44,958
Lipper Average..........................................$44,322
Lipper Index of Large-Cap Value Funds...................$41,945
Consumer Price Index....................................$13,354
- --------------------------------------------------------------------------------
Average Annual Total Return Through December 31, 19991
- --------------------------------------------------------------------------------
- ------------------------------------------- ------------ ------------ ----------
One Three Five Ten
Year Years Years Years
- ------------------------------- ----------- ------------ ------------ ----------
- ------------------------------- ----------- ------------ ------------ ----------
Growth and Income Stock Fund 17.95% 22.28% 24.06% 16.22%
S&P 500 Index2 21.04% 27.56% 28.55% 18.20%
Lipper Average3 11.86% 14.95% 15.58% 16.05%
Lipper Index of Large-Cap Value 10.78% 18.94% 22.11% 15.42%
Funds4 2.70% 2.07% 2.38% 2.93%
Consumer Price Index5
- ------------------------------- ----------- ------------ ------------ ----------
GRAPHIC: At this place, the shareholder report contains a pie chart showing a
portfolio mix of 8.9% in Foreign Common Stocks, 2.3% in Short-term Investments,
0.2% in Other Assets & Liabilities, and 88.6% in Domestic Common Stocks.
TEN LARGEST EQUITY HOLDINGS (% of Portfolio)
Nortel Networks Corporation............4.1% Int'l Business Machines Corp.. 2.7%
EMC Corporation........................3.8% Kimberly-Clark Corporation.... 2.6%
Motorola, Inc..........................3.3% Hewlett-Packard Company....... 2.6%
Texas Instruments Incorporated.........3.3% Sprint Corporation............ 2.5%
Computer Associates International, Inc.2.8% Koninklijke (Royal) Philips Elec.
N.V. - ADR 2.4%
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 The Lipper Performance Summary Average for Growth and Income Stock Funds
represents the average annual total return of all the underlying Growth and
Income Stock Funds in Lipper Analytical Services Variable Insurance Products
Performance Analysis Service.
4 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.
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 1999 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 U.S. equity market posted its fifth-straight annual
return in excess of 20% for the year ended December 31, 1999. The Standard &
Poor's 500 Index gained 21.04% during this period, propelled by its heavy
weighting in technology issues. The technology sector comprised about 30% of the
index as of year-end and was by far the most dominant sector of the index as it
gained over 75% for the year.
The Ultra Series Growth and Income Stock Fund returned 17.95% during the year
ended December 31, 1999, trailing the S&P 500 Index return over this period.
Growth stocks dramatically outperformed value stocks during 1999. The difference
between the Russell 1000 Growth Index and the Russell 1000 Value Index was
25.8%, the largest performance divergence between growth and value on record.
The S&P 500 Index's heavy representation by growth stocks and technology issues
caused it to outperform more prudently managed value portfolios such as the
Growth and Income Stock Fund. Fund results did exceed those of the peer group
index by a significant margin as the new Lipper Large-Cap Value Index returned
10.78% for the year.
Ultra Series Growth and Income Stock Fund 17.95%
Standard & Poor's Mid Cap 400 Index (Middle
capitalization stocks) 14.72%
Russell 1000 Index (Large capitalization stocks) 20.91%
Standard & Poor's 500 Index (Large capitalization
stocks) 21.04%
Lipper Index of Large-Cap Value Funds 10.78%
Fund results during the year benefited from strong relative performance in the
technology, basic materials and communication services sectors, three of the
best performing sectors of the market. Nortel Networks, EMC Corp, Motorola and
Texas Instruments each more than doubled during the period, propelling the
Fund's technology sector to an eye-popping 94.9% gain for the year. The basic
materials sector benefited from strong performance in Georgia-Pacific and Dow
Chemical. Sprint and Vodafone Airtouch were the leading contributors to the
communications services sector results, though Vodafone Airtouch was eliminated
from the portfolio during recent months for valuation reasons.
Fund results were negatively impacted by a number of stocks experiencing
company-specific problems, particularly in the capital goods, healthcare and
finance sectors. In the capital goods sector, Waste Management under-performed
significantly as the company announced a series of disappointments. Healthcare
sector results lagged due to legal woes plaguing the stocks of both American
Home Products and Aetna. Results in the finance sector were negatively impacted
by weak performance from Allstate and Bank One.
At present, we are marginally over-weighted in the consumer staples, energy and
transportation sectors as we are seeing stocks in these areas that appear to
offer particularly attractive investment opportunities. Conversely, we are
under-weighted in the consumer cyclical, communication services and capital
goods sectors as we believe that many of the component stocks within those
sectors are fully valued at this time. All other sector weights approximate
those of the market. Our sector weights reflect the types of stocks we are
finding that appear most attractive; we do not attempt to make general judgments
about the relative investment prospects of various broad economic sectors.
We do, however, ensure that our portfolios remain diversified across economic
sectors.
We believe that the long-term outlook for U.S. stocks remains favorable.
However, we do not expect that future gains in the market will be generated by
continued strength in the narrow group of growth stocks and technology issue
which have been leading the market higher. Rather, we expect broader
participation by the rest of the market. The valuation gap between growth
stocks and the rest of the market has widened to what we believe is an
unsustainable level. Higher interest rates may cause valuations to moderate and
some of this valuation divergence to narrow. Should this occur, we believe that
the Growth and Income Stock Fund would be well-positioned.
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 date of January 3, 1994, would
have the following value as of December 31, 1999.
Capital Appreciation Stock Fund.........................$33,340
S&P 500 Index...........................................$35,558
Lipper Average..........................................$31,540
S&P 1500 SuperComposite Index...........................$30,167
Lipper Multi-Cap Core Index.............................$28,560
Consumer Price Index....................................$11,552
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 Through December 31, 19992
- --------------------------------------------------------------------------------
- ------------------------------- ---------- ---------- ----------- --------------
One Three Five Since
Year Years Years Inception
of Fund
- ------------------------------- ---------- ------------- ----------- -----------
- ------------------------------- ---------- ------------- ----------- -----------
Capital Appreciation Stock Fund 25.19% 25.81% 25.89% 22.23%
S&P 500 Index3 21.04% 27.56% 28.55% 23.54%
Lipper Average4 39.17% 27.32% 26.24% 21.10%
S&P 1500 SuperComposite Index5 20.25% 26.41% 25.62% 20.20%
Lipper Index of Multi-Cap Core 20.77% 21.87% 23.58% 19.11%
Funds6 2.70% 2.07% 2.38% 2.43%
Consumer Price Index7
- ------------------------------------------ ------------- ----------- -----------
GRAPHIC: At this place, the shareholder report contains a pie chart showing a
portfolio mix of 7.9% in Foreign Common Stocks, 2.1% Short-term Investments,
and 90.0% in Domestic Common Stocks.
TEN LARGEST EQUITY HOLDINGS (% of Portfolio)
EMC Corporation.....................4.4% MediaOne Group, Inc...............2.5%
Dayton Hudson Corporation...........3.5% Texas Instruments Incorporated....2.4%
Gateway, Inc........................3.5% Cox Communications, Inc...........2.4%
Citigroup Inc.......................2.8% Seagate Technology, Inc...........2.4%
Telefonos de Mexico SP ADR - CI L...2.7% Vodafone AirTouch PLC-SP ADR......2.3%
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 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.
4 The Lipper Performance Summary Average for Capital Appreciation Stock Funds
represents the average annual total return of all the underlying Capital
Appreciation Stock Funds in Lipper Analytical Services Variable Insurance
Products Performance Analysis Service.
5 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.
6 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.
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 1999 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 U.S. stock market improved upon 1998's
unprecedented performance of four consecutive years of 20%+ gains by extending
it to an unprecedented fifth year. And, it did so as oil prices hit both record
lows and highs during the year, the Fed began raising interest rates, the dollar
weakened as global economies began to firm, and uncertainty surrounded the Y2K
transition. These factors kept stocks in a trading range until late in the year
when the market took off, led by a narrow group of technology and communications
services stocks. This limited breadth rally propelled market indices sharply
higher heading into the close of the year with the NASDAQ Composite Index
finishing up nearly 86%. Despite the narrow market breadth, the Ultra Series
Capital Appreciation Stock Fund outperformed the small, middle and large
capitalization market indices as well as its peer group as represented by the
new Lipper Multi-Cap Core Index.
Ultra Series Capital Appreciation Stock Fund 25.19%
Russell 2000 Index (Small capitalization stocks) 21.26%
Standard & Poor's Mid Cap 400 Index (Middle
capitalization stocks) 14.72%
Standard & Poor's 500 Index (Large capitalization
stocks) 21.04%
Standard & Poor's 1500 SuperComposite Index (All
capitalization sizes) 20.25%
Lipper Index of Multi-Cap Core Funds 20.77%
Fund results during the year were driven by strong showings in the
communications services, technology, basic materials, consumer cyclical and
energy sectors, each of which outperformed the overall index as well as their
corresponding sector returns. Strong global demand for communications and
bandwidth led the Fund's communications services sector to a 119% return and the
technology sector to a gain of 78%. Stocks which drove this performance included
Sprint Corp PCS, Telmex, Gateway, EMC, Texas Instruments, and ADC Telecom. Fund
performance was negatively impacted by the capital goods, finance and healthcare
sectors where company specific issues and the threat of government regulation
clouded the investment horizon.
The Fund enters the new millennium modestly under-weighted in the healthcare and
capital goods sectors and slightly over-weighted in the basic materials and
consumer cyclical sectors. Although sector weightings may deviate from the
index weightings, the Fund remains well diversified at all times. The Fund
continues to employ a "multi-cap" approach, investing in companies across the
small, medium, and large capitalization segments of the market.
The market remains at a critical juncture as inflationary pressures are widely
feared, yet are not evident at this point. The Fed appears ready to start
actively "managing" interest rate levels again, now that Y2K has passed and the
economy shows no signs of slowing. The rocket-like flight of the technology
sector continues to demonstrate the significant impact that investors feel the
Internet will have on the economy. Technology-driven productivity enhancements
continue to keep inflation at bay, but valuations remain near the upper end of
historical ranges. Valuation levels appear more compelling for sectors other
than technology though this is mitigated by the significant rise in interest
rates combined with looming Fed restrictive actions that could dampen the
near-term earnings growth potential of most sectors.
Despite Y2K fears, people are finding that things appear much the same as they
had in 1999, and the market is no exception. Investors have welcomed the new
year with the same volatility that accompanied economic news last year.
Volatility will likely remain high and has the potential to unsettle investors'
long term accumulation programs. The need to maintain investment discipline
during these volatile times is critical, and we believe that long term investors
will be rewarded by accumulating a diversified portfolio of good quality,
reasonably priced securities like those we seek to provide in the Ultra Series
Capital Appreciation Stock 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 December 31, 1999.
Mid-Cap Stock Fund......................................$11,368
S&P 400 Stock Index.....................................$11,358
Lipper Average..........................................$10,649
Lipper Index of Mid-Cap Value Funds.....................$10,356
Consumer Price Index....................................$10,260
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 December 31, 19992,3
-----------------------------------------------------------------
Mid-Cap Stock Fund 13.68%
S&P 400 Stock Index4 13.58%
Lipper Average5 3.56%
Lipper Index of Mid-Cap Value Funds6 6.49%
Consumer Price Index7 2.60%
------------------------------------- ---------------------------
GRAPHIC: At this place, the shareholder report contains a pie chart showing a
portfolio mix of 3.0% in Foreign Common Stocks; 1.5% in Short-term Investments,
Other Assets & Liabilities; and 95.5% in Domestic Common Stocks.
TEN LARGEST EQUITY HOLDINGS (% of Portfolio)
Manpower Inc....................2.1% Chiron Corporation....................1.7%
MGIC Investment Corporation.....2.0% Tiffany & Co..........................1.7%
The Bear Stearns Companies Inc..1.8% A. H. Belo Corporation, Class A.......1.7%
Century Tel, Inc................1.8% Adelphia Communications Corp..........1.6%
Ambac Financial Group, Inc......1.8% Ethan Allen Interiors Inc.............1.6%
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 The Lipper Performance Summary Average for Mid-Cap Stock Funds represents the
average annual total return of all the underlying Mid-Cap Stock Funds in
Lipper Analytical Services Variable Insurance Products Performance Analysis
Service.
6 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.
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 1999 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 continued its hot streak during 1999.
The S&P 500 Index turned in its fifth consecutive year of returns above 20%,
posting a gain of 21.04%. The prior record for consecutive years above 20% was
two years in a row, last achieved during the 1950s. The S&P Mid Cap 400 Index
once again underperformed the larger stock S&P 500 Index, extending to six the
number of years it has lagged the larger index. The S&P Mid Cap 400 Index
returned 14.7% during 1999, while the S&P Small Cap 600 Index returned 12.4%.
As we have seen during the prior five years, the market capitalization weighted
S&P 500 Index performed far ahead of the equal-weighted S&P 500 Index,
reflecting the narrowness of the market.
The Ultra Series Mid-Cap Stock Fund was launched on May 1, 1999. During its
eight months of operations, it returned 13.68%. These results are in line with
the 13.58% return generated by the S&P Mid Cap 400 Index, and well ahead of the
9.47% return generated by the Russell Mid Cap Index for this eight month period.
Fund results also exceeded the 6.49% return generated by during this period as
measured by the Lipper Index of Mid-Cap Value Funds.
Ultra Series Mid-Cap Stock Fund* 13.68%
Standard & Poor's Mid Cap 400 Index (Middle
capitalization stocks)* 13.58%
Russell Mid Cap Value Index (Middle capitalization
value stocks)* -5.82%
Lipper Indices of Mid-Cap Value Funds ** 6.49%
* Returns on the graph are from inception, May 1, 1999.
** This return reflects the Lipper Mid-Cap Index from 5/1/99 through 8/30/99,
and the Lipper Mid-Cap Value Index from its 9/1/99 inception through
12/31/99.
During the year ended December 31, 1999, market performance was driven largely
by strong returns in the technology sector. The leading contributors to the
Fund's performance were also in technology and include stocks such as Red Hat,
Atmel, Teradyne, Varian Semiconductor, LSI Logic, and ADC Telecom. Other
leading contributors to performance came from other sectors and include Chiron,
Tiffany and Manpower. Red Hat was an IPO (initial public offering) purchased in
August due to its leading position in Linux software. The stock moved higher
very quickly, meeting our price target. We sold the position at a gain that
boosted the portfolio return by approximately 3%. The gain accounted for a
little over one-fifth of the Fund's 13.68% return during the eight months of
operation. We do not expect IPO's to play a significant role in the Fund's
future performance. Detractors from the Fund's performance were concentrated in
the consumer cyclical sector and include VF Corp, Host Marriott, and Sherwin
Williams. Other laggards include First Tennessee, Hubbell Inc., Tyson Foods,
and Flowers Industries.
A portion of your Mid-Cap Fund is invested in smaller stocks. Returns from the
universe of small stocks, as measured by the Russell 2000, were dominated by
growth stocks, especially stocks in the technology sector. The Russell 2000
Growth Index returned 43%, compared to a 1% decline in the Russell 2000 Value
Index. We see great opportunities in smaller stocks, especially among those
that are classified as value. We have invested in some small technology stocks,
primarily those concentrated in the software industry. These stocks were under
extreme pressure in 1999 as Y2K concerns slowed purchases. While we believe
technology will continue to offer some attractive investment opportunities, we
think some traditionally more defensive sectors, such as health care, offer
attractive return potential as well.
The Fund enters the new year over-weighted in the health care, diversified, and
consumer cyclical sectors and under-weighted in utilities, consumer staples, an
technology. All other sector weights approximate those of the market. 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, even more so that in
other market segments. Any one cross section of a market sector, as compiled by
a market index or peer group universe, 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.
Currently, we believe the mid-cap area offers an excellent combination of good
fundamentals and low valuations. While the S&P MidCap 400 Index has lagged the
large-cap S&P 500 Index for six years, its long-term record is superior and we
believe the next few years will offer better relative returns for this sector.
CIMCO Inc. Common Stock Portfolio Management Team
<TABLE>
<CAPTION>
MONEY MARKET FUND
Schedule of Investments
December 31, 1999
% Net Quality Rating Annualized Maturity Par/Shares
Assets (Unaudited)* Yield Date Amount Value
<S> <C> <C> <C> <C> <C> <C>
COMMERCIAL PAPER 38.3%
Bell South Telecom Inc. A-1+/P-1 5.842% 01/19/00 $ 2,000,000 $ 1,994,350
Bell South Telecom Inc. A-1+/P-1 5.858 01/27/00 1,000,000 995,905
CIT Group Inc. A-1/P-1 6.002 02/17/00 3,500,000 3,473,360
Coca-Cola Company A-1/P-1 5.865 02/15/00 2,000,000 1,985,850
General Mills Inc. A-1/P-1 5.981 01/05/00 4,000,000 3,997,391
General Motors Acceptance Corporation A-1/P-1 6.130 02/01/00 2,000,000 1,989,770
Goldman Sachs Group Inc. A-1+/P-1 6.028 02/22/00 3,300,000 3,272,305
Lucent Technologies A-1/P-1 5.995 02/28/00 3,500,000 3,467,295
Madison Gas & Electric A-1+/P-1 6.115 01/10/00 3,000,000 2,995,500
Merrill Lynch & Co Inc A-1+/P-1 6.146 01/31/00 1,000,000 995,034
Merrill Lynch & Co Inc A-1+/P-1 6.121 01/31/00 2,000,000 1,990,100
Procter & Gamble Co. A-1+/P-1 5.983 02/24/00 3,500,000 3,469,445
Walt Disney Company A-1/P-1 6.055 02/09/00 1,000,000 993,641
-----------
31,619,946
-----------
U.S. GOVERNMENT 4.8%
U.S. Treasury Bill 5.192 03/02/00 3,000,000 2,974,380
U.S. Treasury Note 5.374 07/31/00 1,000,000 1,000,000
-----------
3,974,380
-----------
QUASI-GOVERNMENT/
GOVERNMENT SPONSORED 52.4%
Federal Home Loan Bank Discount Note 5.671 01/24/00 3,000,000 2,989,497
Federal Home Loan Bank Discount Note 5.652 03/08/00 5,000,000 4,949,005
Federal Home Loan Bank Discount Note 5.683 03/13/00 3,000,000 2,966,940
Federal Home Loan Bank Discount Note 5.893 04/17/00 4,000,000 3,932,233
Federal Farm Credit Discount Notes 5.671 03/23/00 3,000,000 2,962,485
Federal Farm Credit Discount Notes 5.980 04/03/00 1,000,000 985,017
Federal Home Loan Mortgage Corp. Discount Notes 5.694 01/10/00 2,500,000 2,496,556
Federal Home Loan Mortgage Corp. Discount Notes 5.629 01/14/00 3,000,000 2,994,129
Federal Home Loan Mortgage Corp. Discount Notes 5.691 01/20/00 1,688,000 1,683,118
Federal Home Loan Mortgage Corp. Discount Notes 5.710 02/01/00 1,000,000 995,256
Federal Home Loan Mortgage Corp. Discount Notes 5.715 02/07/00 2,000,000 1,988,674
Federal Home Loan Mortgage Corp. Discount Notes 5.763 04/04/00 2,000,000 1,970,755
Federal National Mortgage Association Discount Notes 5.738 01/18/00 5,000,000 4,986,849
Federal National Mortgage Association Discount Notes 5.688 02/03/00 3,000,000 2,984,792
Federal National Mortgage Association Discount Notes 5.056 03/03/00 439,000 435,420
Federal National Mortgage Association 5.899 04/26/00 2,000,000 1,994,212
Federal Home Loan Bank 5.092 03/29/00 2,000,000 1,999,971
-----------
43,314,909
-----------
REGISTERED INVESTMENT COMPANY 3.8%
State Street Prime Money Market 5.440 3,165,212 3,165,212
----------
TOTAL INVESTMENTS, MONEY MARKET
FUND $ 82,074,447
===========
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.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
TREASURY 2000 FUND
Schedule of Investments
December 31, 1999
% 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 $1,730,799)* 100.0% 9.69% 11/15/00 $ 2,000,000 $ 1,901,538
===========
</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 December 31, 1999, the cost of securities for federal income tax
purposes was $1,730,799. The aggregate unrealized appreciation and
depreciation of investments in securities based on this cost were:
Gross unrealized appreciation....................................... $170,739
Gross unrealized depreciation....................................... -
---------
Net unrealized appreciation......................................... $170,739
=========
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
BOND FUND
Schedule of Investments
December 31, 1999
% Net Annualized
Assets Yield Shares Value
<S> <C> <C> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS:
REGISTERED INVESTMENT COMPANY 1.7%
State Street Prime Money Market 5.440% 4,290,761 $ 4,290,761
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST: $4,290,761) 4,290,761
-----------
Quality Rating Coupon Maturity Par
LONG-TERM INVESTMENTS: (Unaudited)* Rate Date Amount
U.S. GOVERNMENT & AGENCY BONDS: 40.0%
GOVERNMENT NOTES 12.0%
U.S. Treasury Note AAA 5.875% 10/31/01 $3,000,000 2,981,250
U.S. Treasury Note AAA 5.875 11/15/04 3,000,000 2,942,814
U.S. Treasury Note AAA 6.500 05/15/05 2,000,000 2,001,250
U.S. Treasury Note AAA 5.250 02/15/29 5,000,000 4,137,500
U.S. Treasury Note AAA 7.500 02/15/05 3,000,000 3,130,314
U.S. Treasury Note AAA 7.875 11/15/04 3,000,000 3,174,375
U.S. Treasury Note AAA 6.000 08/15/09 3,000,000 2,907,189
U.S. Treasury Note AAA 6.500 08/15/05 3,000,000 3,000,939
U.S. Treasury Note AAA 10.750 02/15/03 5,000,000 5,603,125
-----------
29,878,756
-----------
GOVERNMENT AGENCIES 28.0%
Federal Home Loan Bank Note-CPI Floating Rate AAA 6.142 02/20/07 2,000,000 1,897,400
Federal Home Loan Bank AAA 6.000 08/15/02 4,500,000 4,434,399
FHLMC (Gold) - Pool D92482 AAA 7.000 08/01/18 1,736,163 1,698,193
FHLMC (Gold) - Pool D92564 AAA 7.000 10/01/18 2,731,058 2,671,331
Federal Home Loan Mortgage Corp. AAA 6.625 09/15/09 3,000,000 2,911,362
Federal Home Loan Mortgage Corp. AAA 6.010 04/26/04 5,000,000 4,813,335
Federal Home Loan Mortgage Corp. AAA 6.250 10/15/02 3,000,000 2,970,861
Federal Home Loan Mortgage Corp.CMO Series 2062 BA AAA 6.500 07/15/24 3,241,878 3,167,040
Federal National Mortgage Association 96-M6 G AAA 7.750 09/17/23 1,000,000 991,195
Federal National Mortgage Association AAA 7.000 08/27/12 3,000,000 2,865,921
Federal National Mortgage Association AAA 5.960 02/23/04 2,000,000 1,930,060
Federal National Mortgage Association Pool 519049 AAA 8.000 09/01/29 4,935,515 4,970,064
Federal National Mortgage Association Pool 525277 AAA 7.500 11/01/14 2,380,235 2,398,159
Federal National Mortgage Association Pool 525281 AAA 7.500 10/01/14 2,858,744 2,878,699
Federal National Mortgage Association
CMO Series 1998-2 D AAA 6.500 04/18/25 2,497,472 2,429,679
Federal National Mortgage Association
CMO Series 1998-47 AB AAA 6.250 06/18/25 6,682,264 6,426,768
Government National Mortgage Assn. Pool 493966 AAA 7.000 06/15/29 4,946,826 4,783,482
Government National Mortgage Assn. Pool 2811 AAA 8.000 09/20/29 9,941,217 10,013,590
Government National Mortgage Assn. Pool 436306 AAA 7.500 07/15/26 3,093,233 3,067,002
Government National Mortgage Assn.
Pool CMO Series 1998-6 A AAA 6.250 07/20/21 3,021,270 2,927,596
-----------
70,246,136
-----------
TOTAL U.S. GOVERNMENT & AGENCY BONDS
(COST: $101,567,079) 100,124,892
-----------
U.S. CORPORATE BONDS: 48.0%
BASIC MATERIALS 5.9%
Chemicals 3.6%
Rohm & Haas Co. A-3/A- 6.950 07/15/04 2,334,000 2,309,397
Soultia Inc. BAA-2/BBB 6.500 10/15/02 4,000,000 3,873,000
Tosco Corp. BAA-1/BBB 8.250 05/15/03 3,000,000 3,053,004
-----------
9,235,401
-----------
Paper/Forest Products 1.5%
Chesapeake Corp. BA-1/BBB 7.200 03/15/05 1,000,000 922,262
Georgia-Pacific Corp. BAA-2/BBB- 7.750 11/15/29 3,000,000 2,867,019
-----------
3,789,281
-----------
Steel 0.8%
Commercial Metals BAA-1/BBB+ 7.200 07/15/05 2,000,000 1,934,992
-----------
</TABLE>
<TABLE>
<CAPTION>
BOND FUND
Schedule of Investments (Continued)
December 31, 1999
% Net Quality Rating Coupon Maturity Par
Assets (Unaudited)* Rate Date Amount Value
<S> <C> <C> <C> <C> <C> <C>
CAPITAL GOODS 8.3%
Aerospace/Defense 2.4%
Lockheed Martin Corp BAA-3/BBB- 8.200% 12/01/09 $3,000,000 $ 2,992,203
United Tech Corp. A-2/A+ 6.625 11/15/04 3,200,000 3,134,752
-----------
6,126,955
-----------
Containers 3.9%
Crown Cork & Seal BAA-2/BBB 7.125 09/01/02 2,200,000 2,175,538
Owens-Illinois Inc. BA-1/BB+ 7.150 05/15/05 2,800,000 2,602,292
Owens Corning BAA-3/BBB- 7.500 05/01/05 2,500,000 2,376,628
Temple-Inland Inc. BAA-2/BBB+ 6.750 03/01/09 3,000,000 2,761,173
-----------
9,915,631
-----------
Environmental 1.0%
Waste Management Inc., Step Coupon(A) BAA-3/BBB 7.700 10/01/02 2,500,000 2,396,042
-----------
Manufacturing-Diversified 1.0%
Giddings & Lewis BA1/BBB 7.500 10/01/05 2,500,000 2,440,065
-----------
COMMUNICATION SERVICES 4.9%
Telephone 3.3%
AT&T Corp. A-1/AA- 6.500 03/15/29 3,000,000 2,576,094
GTE Corp. BAA-1/A 6.840 04/15/18 3,000,000 2,745,009
Worldcom A-3/A- 6.400 08/15/05 3,000,000 2,885,544
-----------
8,206,647
-----------
Telephone - Long Distance 1.6%
Sprint Capital Corp. BAA-1/BBB+ 6.500 11/15/01 4,000,000 3,965,148
-----------
CONSUMER CYCLICAL 5.0%
Auto Manufacturers 3.0%
Daimler Chrysler NA Holdings A-1/A+ 6.460 12/07/01 5,000,000 4,956,950
Ford Motor Company A-1/A+ 6.375 02/01/29 3,000,000 2,531,052
-----------
7,488,002
-----------
Retail-General 0.9%
JC Penney Co Inc. A-3/BBB+ 7.950 04/01/17 2,500,000 2,229,455
-----------
Retail-Specialty 1.1%
Autozone Inc. BAA-1/A- 6.000 11/01/03 3,000,000 2,811,687
-----------
CONSUMER STAPLES 4.9%
Drug Stores 1.2%
Bergen Brunswig BAA-2/BBB- 7.375 12/15/03 3,250,000 3,127,858
-----------
Food Retailers 2.9%
Great Atlantic & Pacific Tea BA-1/BBB- 7.750 04/15/07 3,500,000 3,204,803
Supervalu Inc. BAA-1/BBB+ 7.625 09/15/04 4,000,000 3,963,004
-----------
7,167,807
-----------
Media-TV/Radio/Cable 0.8%
CSC Holdings Inc. BA-2/BB+ 7.875 12/15/07 2,000,000 1,980,000
-----------
ENERGY 4.3%
Oil-Domestic 1.1%
Ashland, Inc. BAA-2/BBB 6.860 05/01/09 3,000,000 2,787,648
-----------
Oil-International 0.8%
Chevron Corp. AA-2/AA 6.625 10/01/04 2,000,000 1,973,414
-----------
</TABLE>
<TABLE>
<CAPTION>
BOND FUND
Schedule of Investments (Continued)
December 31, 1999
% Net Quality Rating Coupon Maturity Par
Assets (Unaudited)* Rate Date Amount Value
<S> <C> <C> <C> <C> <C> <C>
Oil-Services 2.4%
Foster Wheeler Corp. BAA-3/BBB- 6.750% 11/15/05 $4,000,000 $ 3,362,384
Phillips Petroleum Co. A-3/A- 7.000 03/30/29 3,000,000 2,703,570
-----------
6,065,954
-----------
FINANCE 6.7%
Banks 2.4%
Citicorp A-1/A+ 6.375 01/15/06 3,000,000 2,840,112
Compass Bank A-1/A- 8.100 08/15/09 3,000,000 3,035,637
-----------
5,875,749
-----------
Financial Services 4.3%
Capital One Bank BAA-2/BBB- 6.760 07/23/02 3,000,000 2,942,784
General Electric Capital Corp. AAA/AAA 5.760 04/24/00 2,000,000 1,999,186
General Motors Acceptance Corp A-2/A 6.750 12/10/02 3,000,000 2,977,758
Heller Financial Inc., 144A (B) A-3/A- 7.375 11/01/09 3,000,000 2,921,592
-----------
10,841,320
-----------
HEALTHCARE 0.7%
Medical Services 0.7%
Columbia/HCA Healthcare Corporation BA-2/BB+ 6.125 12/15/00 1,800,000 1,763,399
-----------
TECHNOLOGY 1.6%
Computer Related 1.6%
Comdisco Inc. BAA-1/BBB+ 6.130 08/01/01 4,000,000 3,904,068
-----------
TRANSPORTATION 2.1%
Airlines 2.0%
American Airlines A-2/BBB 8.040 09/16/11 1,717,841 1,712,576
Delta Air Lines BAA-1/BBB 8.540 01/02/07 263,780 268,346
Southwest Airlines A-1/A 8.700 07/01/11 18,127 19,112
US Airways Inc., Pass Thru Cert.
Series 99-1 A-3/AA- 8.360 07/20/20 3,000,000 2,908,245
-----------
4,908,279
-----------
Railroads 0.1%
Union Pacific RR A-1/A- 6.540 07/01/15 401,389 364,054
-----------
UTILITIES 3.6%
Electric Power 3.6%
Alliant Energy Resources, 144A (B) A-3/A 7.375 11/09/09 1,500,000 1,460,272
Florida Power & Light A-2/A+ 7.375 06/01/09 2,700,000 2,656,460
MidAmerican Energy Holdings BAA-3/BBB- 6.960 09/15/03 3,000,000 2,940,513
Texas Utilities Co. BAA-2/BBB 6.375 02/01/04 2,000,000 1,916,262
-----------
8,973,507
-----------
TOTAL U.S. CORPORATE BONDS
(COST: $122,605,395) 120,272,363
-----------
NON-U.S. CORPORATE BONDS: 8.7%
FOREIGN ISSUES: 8.7%
Abbey National PLC AA-3/AA- 7.950 10/26/29 3,000,000 3,005,592
Barclays Bank PLC AA-3/AA- 7.400 12/15/09 2,000,000 1,968,322
Petro Geo-Services ASA, 144A (B) BAA-3/BBB 7.125 03/30/28 3,000,000 2,625,660
Pemex Finance LTD 144A (B) BAA-1/BBB 9.690 08/15/09 3,000,000 3,104,265
Teleglobe, Inc. BAA-1/BBB+ 7.200 07/20/09 3,000,000 2,810,097
Tyco International Group SA, 144A(B) BAA-1/A- 6.250 06/15/03 2,385,000 2,262,974
Tyco International Group SA, 144A(B) BAA-1/A- 6.875 09/05/02 3,000,000 2,954,613
YPF Sociedad Anonima BAA-1/BBB- 9.125 02/24/09 3,000,000 3,099,624
-----------
TOTAL NON-U.S. CORPORATE BONDS
(COST $21,981,212) 21,831,147
-----------
TOTAL INVESTMENTS, BOND FUND
(COST: $250,444,447)** $246,519,163
===========
</TABLE>
<PAGE>
BOND FUND
Schedule of Investments (Continued)
December 31, 1999
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 December 31, 1999, the cost of securities for federal income tax
purposes was $250,698,558. The aggregate unrealized appreciation and
depreciation of investments in securities based on this cost were:
Gross unrealized appreciation..................................$ 153,569
Gross unrealized depreciation...................................(4,332,964)
------------
Net unrealized depreciation....................................($4,179,395)
============
***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) Represents a security that had a coupon rate of 4.1% until October 1, 1994,
at which time the stated coupon rate became the effective rate.
(B) 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 December 31,
1999, the total market value of these investments was $15,329,376, or 6.12%
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>
<TABLE>
<CAPTION>
BALANCED FUND
Schedule of Investments
December 31, 1999
% Net Annualized
Assets Yield Shares Value
<S> <C> <C> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS:
REGISTERED INVESTMENT COMPANY 4.2%
State Street Prime Money Market 5.440% 25,039,170 $ 25,039,170
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST: $25,039,170) 25,039,170
-----------
Quality Rating Coupon Maturity Par
LONG-TERM INVESTMENTS: (Unaudited)* Rate Date Amount
BONDS: 40.7%
U.S. GOVERNMENT & AGENCY BONDS: 17.7%
GOVERNMENT NOTES 8.1%
U.S. Treasury Notes AAA 5.875% 10/31/01 $5,000,000 4,968,750
U.S. Treasury Notes AAA 5.875 11/15/04 6,000,000 5,885,628
U.S. Treasury Notes AAA 7.000 07/15/06 3,500,000 3,586,408
U.S. Treasury Notes AAA 5.250 02/15/29 5,000,000 4,137,500
U.S. Treasury Notes AAA 6.375 09/30/01 5,000,000 5,010,940
U.S. Treasury Notes AAA 6.000 08/15/09 9,000,000 8,721,567
U.S. Treasury Notes AAA 5.625 09/30/01 5,000,000 4,950,000
U.S. Treasury Notes AAA 6.500 08/15/05 2,000,000 2,000,626
U.S. Treasury Notes AAA 10.750 02/15/03 3,000,000 3,361,875
U.S. Treasury Notes AAA 4.250 11/15/03 7,000,000 6,503,441
-----------
49,126,735
-----------
GOVERNMENT AGENCIES 9.6%
Federal Home Loan Bank Note-CPI Floating Rate AAA 6.142 02/20/07 5,000,000 4,743,500
Federal Home Loan Mortgage Corp. AAA 6.625 09/15/09 2,700,000 2,620,226
Federal Home Loan Mortgage Corp. AAA 6.010 04/26/04 5,000,000 4,813,335
Federal Home Loan Mortgage Corp. AAA 6.250 10/15/02 3,000,000 2,970,861
Federal Home Loan Mortgage Corp. CMO Series 2134 H AAA 6.500 12/15/24 4,009,002 3,860,978
Federal Home Loan Mortgage Corp. CMO Series 2062 BA AAA 6.500 07/15/24 3,241,878 3,167,040
Federal National Mortgage Assn. AAA 7.000 08/27/12 3,000,000 2,865,921
Federal National Mortgage Assn. Pool 50564 AAA 7.500 04/01/22 2,137,611 2,123,696
Federal National Mortgage Assn. Pool 50665 AAA 7.500 12/01/22 2,866,141 2,847,483
Federal National Mortgage Assn. AAA 5.960 02/23/04 2,000,000 1,930,060
Federal National Mortgage Assn. Pool 519049 AAA 8.000 09/01/29 4,935,515 4,970,064
Federal National Mortgage Assn. - 96-M6 G AAA 7.750 09/17/23 4,000,000 3,964,780
Government National Mortgage Assn. Pool 2811 AAA 8.000 09/20/29 9,941,217 10,013,589
Government National Mortgage Assn. Pool 436306 AAA 7.500 07/15/26 3,026,949 3,001,281
Government National Mortgage Assn.
Pool CMO Series 1998-6 A AAA 6.250 07/20/21 3,776,588 3,659,495
-----------
57,552,309
-----------
TOTAL U.S. GOVERNMENT & AGENCY
BONDS (COST $108,372,946) 106,679,044
-----------
U.S. CORPORATE BONDS: 19.5%
BASIC MATERIALS 1.9%
Chemicals 1.6%
Rohm & Haas Co. A-3/A- 6.950 07/15/04 2,500,000 2,473,648
Soultia Inc. BAA-2/BBB 6.500 10/15/02 4,000,000 3,873,000
Tosco Corp. BAA-1/BBB 8.250 05/15/03 3,000,000 3,053,004
-----------
9,399,652
-----------
Steel 0.3%
Commercial Metals BAA-1/BBB+ 7.200 07/15/05 2,000,000 1,934,991
-----------
CAPITAL GOODS 3.1%
Aerospace/Defense 1.0%
Lockheed Martin Corp BAA-3/BBB- 8.200 12/01/09 3,000,000 2,992,203
United Tech Corp. A-2/A+ 6.625 11/15/04 3,200,000 3,134,752
-----------
6,126,955
-----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
BALANCED FUND
Schedule of Investments (Continued)
December 31, 1999
% Net Quality Rating Coupon Maturity Par
Assets (Unaudited)* Rate Date Amount Value
<S> <C> <C> <C> <C> <C> <C>
Containers 1.5%
Crown Cork & Seal BAA-2/BBB 7.125% 09/01/02 $2,000,000 $ 1,977,762
Owens-Illinois Inc. BA-1/BB+ 7.150 05/15/05 2,000,000 1,858,780
Owens Corning BAA-3/BBB- 7.500 05/01/05 2,500,000 2,376,628
Temple-Inland Inc. BAA-2/BBB+ 6.750 03/01/0 3,000,000 2,761,173
-----------
8,974,343
-----------
Environmental 0.5%
Waste Management Inc., Step Coupon(A) BAA-3/BBB 7.700 10/01/02 3,000,000 2,875,251
-----------
Manufacturing-Diversified 0.1%
Giddings & Lewis BA-1/BBB 7.500 10/01/05 500,000 488,013
-----------
COMMUNICATION SERVICES 2.1%
Telephone 1.3%
AT&T Corp. A-1/AA- 6.500 03/15/29 2,500,000 2,146,745
GTE Corp. BAA-1/A 6.840 04/15/18 3,000,000 2,745,009
Worldcom A-3/A- 6.400 08/15/05 3,000,000 2,885,544
-----------
7,777,298
-----------
Telephone - Long Distance 0.8%
Sprint Capital Corp. BAA-1/BBB+ 6.500 11/15/01 5,000,000 4,956,435
-----------
CONSUMER CYCLICAL 1.9%
Auto Manufacturers 1.2%
Daimler Chrysler NA Holdings A-1/A+ 6.460 12/07/01 7,000,000 6,939,729
-----------
Retail - General 0.3%
JC Penney Co Inc. A-3/BBB+ 7.950 04/01/17 2,000,000 1,783,564
-----------
Retail - Speciality 0.4%
Autozone Inc. BAA-1/A- 6.000 11/01/03 2,545,000 2,385,248
-----------
CONSUMER STAPLES 1.9%
Drug Stores 0.4%
Bergen Brunswig BAA-2/BBB- 7.375 01/15/03 2,000,000 1,924,836
Bergen Brunswig BAA-2/BBB- 7.250 06/01/05 500,000 460,303
-----------
2,385,139
-----------
Food Retailers 1.0%
Great Atlantic & Pacific Tea BA-1/BBB- 7.750 11/15/29 2,500,000 2,389,183
Supervalu Inc. BAA-1/BBB+ 7.625 09/15/04 4,000,000 3,963,004
-----------
6,352,187
-----------
Media-TV/Radio/Cable 0.5%
CSC Holdings Inc. BA-2/BB+ 7.875 12/15/07 3,000,000 2,970,000
-----------
ENERGY 1.6%
Oil-Domestic 0.5%
Ashland, Inc. BAA-2/BBB 6.860 05/01/09 3,000,000 2,787,648
-----------
Oil-International 0.3%
Chevron Corp. AA-2/AA 6.625 10/01/04 2,000,000 1,973,414
-----------
Oil-Services 0.8%
Foster Wheeler Corp. BAA-3/BBB- 6.750 11/15/05 2,520,000 2,118,302
Phillips Petroleum Co. A-3/A- 7.000 03/30/29 3,000,000 2,703,570
-----------
4,821,872
-----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
BALANCED FUND
Schedule of Investments (Continued)
December 31, 1999
% Net Quality Rating Coupon Maturity Par
Assets (Unaudited)* Rate Date Amount Value
<S> <C> <C> <C> <C> <C> <C>
FINANCE 4.0%
Banks 1.0%
Citicorp A-1/A+ 6.375% 01/15/06 $3,000,000 $ 2,840,112
Compass Bank A-1/A- 8.100 08/15/09 3,000,000 3,035,637
-----------
5,875,749
-----------
Financial Services 3.0%
Capital One Bank BAA-2/BBB- 6.760 07/23/02 4,000,000 3,923,712
Ford Motor Company A-1/A+ 6.375 02/01/29 3,200,000 2,699,789
General Electric Capital Corp. AAA/AAA 6.810 11/03/03 2,200,000 2,187,515
General Motors Acceptance Corp A-2/A 9.625 12/15/01 2,650,000 2,772,215
General Motors Acceptance Corp A-2/A 6.750 12/10/02 3,500,000 3,474,051
Heller Financial Inc., 144A (B) A-3/A- 7.375 11/01/09 3,000,000 2,921,592
-----------
17,978,874
-----------
HEALTHCARE 0.4%
Drugs 0.3%
Rite Aid B-1/BB 6.700 12/15/01 2,000,000 1,690,000
-----------
Medical Services 0.1%
Columbia/HCA Healthcare Corporation BA-2/BB+ 6.125 12/15/00 1,000,000 979,666
-----------
TECHNOLOGY 0.6%
Computer Related 0.6%
Comdisco Inc. BAA-1/BBB+ 6.130 08/01/01 4,000,000 3,904,068
-----------
TRANSPORTATION 0.9%
Airlines 0.8%
American Airlines -2/BBB 8.040 09/16/11 858,920 856,288
Delta Air Lines AA-1/BBB 8.540 01/02/07 1,333,419 1,356,498
US Airways Inc., Pass Thru Cert. Series 99-1 -3/AA- 8.360 07/20/20 3,000,000 2,908,245
-----------
5,121,031
-----------
Trucking & Shipping 0.1%
Federal Express A-3/BBB+ 7.890 09/23/08 421,894 416,311
-----------
UTILITIES 1.1%
Electric Power 1.1%
Alliant Energy Resources, 144A (B) A-3/A 7.375 11/09/09 1,000,000 973,515
Florida Power & Light A-2/A+ 7.375 06/01/09 3,000,000 2,951,622
MidAmerican Energy Holdings BAA-3/BBB- 6.960 09/15/03 3,000,000 2,940,513
-----------
6,865,650
-----------
TOTAL U.S. CORPORATE BONDS
(COST: $119,453,320) 117,763,088
-----------
NON-U.S. CORPORATE BONDS: 3.5%
FOREIGN ISSUES: 3.5%
Abbey National PLC AA-3/AA- 7.950 10/26/29 3,000,000 3,005,592
Barclays Bank PLC AA-3/AA- 7.400 12/15/09 2,000,000 1,968,322
Pemex Finance LTD, 144A (B) BAA-1/BBB 9.690 08/15/09 3,000,000 3,104,265
Petro Geo-services ASA, 144A (B) BAA-3/BBB 7.125 03/30/28 3,000,000 2,625,660
Teleglobe, Inc. BAA-1/BBB+ 7.200 07/20/09 4,000,000 3,746,796
Tyco International Group SA, 144A (B) BAA-1/A- 6.875 09/05/02 3,500,000 3,447,049
YPF Sociedad Anonima BAA-1/BBB- 9.125 02/24/09 3,000,000 3,099,624
-----------
TOTAL NON-U.S. CORPORATE BONDS
(COST: $21,186,669) 20,997,308
-----------
TOTAL BONDS (COST: $249,012,935) 245,439,440
-----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
BALANCED FUND
Schedule of Investments (Continued)
December 31, 1999
% Net
Assets Shares Value
<S> <C> <C> <C>
COMMON STOCKS: 54.3%
FOREIGN ISSUES: 3.7%
BP Amoco PLC/ADR 64,746 $ 3,840,247
Glaxo Wellcome PLC - ADR 46,150 2,578,631
Koninklijke (Royal) Philips Electronics N.V. - ADR 41,824 5,646,240
Telefonos de Mexico SP ADR - Cl L 39,000 4,387,500
Vodafone AirTouch PLC-SP ADR 114,625 5,673,938
-----------
TOTAL FOREIGN ISSUES (COST: $8,697,693) 22,126,556
-----------
DOMESTIC ISSUES: 50.6%
BASIC MATERIALS 2.2%
Chemicals 1.7%
The Dow Chemical Company 34,200 4,569,975
Praxair, Inc. 46,000 2,314,375
Rohm and Haas Company 78,300 3,185,831
-----------
10,070,181
-----------
Paper/Forest Products 0.5%
Willamette Industries, Inc. 63,200 2,934,850
-----------
CAPITAL GOODS 3.1%
Containers 0.5%
Owens-Illinois, Inc. *** 125,800 3,152,862
-----------
Electrical Equipment 0.9%
Honeywell International Inc. 56,250 3,244,922
Rockwell International Corporation 49,900 2,388,962
-----------
5,633,884
-----------
Environmental 0.2%
Waste Management, Inc. 77,327 1,329,058
-----------
Machinery/Equipment 0.4%
Pall Corporation 123,300 2,658,656
-----------
Manufacturing-Diversified 1.1%
Illinois Tool Works, Inc. 51,700 3,492,981
United Technologies Corporation 45,000 2,925,000
-----------
6,417,981
-----------
COMMUNICATION SERVICES 1.8%
Telephone - Long Distance 0.6%
AT & T Corp. 67,650 3,433,237
-----------
Telephone 1.2%
GTE Corporation 54,600 3,852,713
SBC Communications Inc. 69,748 3,400,215
-----------
7,252,928
-----------
CONSUMER CYCLICAL 5.0%
Commercial/Consumer 0.4%
IMS Health Incorporated 89,000 2,419,687
-----------
Printing/Publishing 0.6%
PRIMEDIA Inc.*** 215,200 3,550,800
-----------
Retail-Discount 0.7%
Wal-Mart Stores, Inc. 59,200 4,092,200
-----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
BALANCED FUND
Schedule of Investments (Continued)
December 31, 1999
% Net
Assets Shares Value
<S> <C> <C> <C>
Retail-General 2.1%
Dayton Hudson Corporation 137,900 $ 10,127,031
Sears, Roebuck & Co. 91,000 2,769,813
-----------
12,896,844
-----------
Retail-Specialty 1.2%
Tiffany & Co. 81,500 7,273,875
-----------
CONSUMER STAPLES 7.0%
Cosmetics/Toiletries 1.1%
Kimberly-Clark Corporation 99,100 6,466,275
-----------
Drug Stores 0.8%
CVS Corporation 126,852 5,066,152
-----------
Entertainment 0.6%
The Walt Disney Company 135,800 3,972,150
-----------
Food Producers 1.9%
General Mills, Inc. 71,000 2,538,250
Nabisco Holdings Corp. - Class A 115,700 3,659,013
Sara Lee Corporation 131,600 2,903,425
Tyson Foods, Inc. - Class A 141,125 2,293,281
-----------
11,393,969
-----------
Food Retailers 0.5%
Safeway Inc. 94,800 3,371,325
-----------
Media-TV/Radio/Cable 2.1%
Cox Communications, Inc.*** 109,800 5,654,700
MediaOne Group, Inc.*** 91,000 6,989,938
-----------
12,644,638
-----------
ENERGY 3.0%
Exploration/Drilling 0.7%
Kerr-McGee Corporation 55,100 3,416,200
Transocean Sedco Forex Inc. 15,062 507,401
-----------
3,923,601
-----------
Oil-Domestic 1.0%
Unocal Corporation 93,700 3,144,806
USX-Marathon Group 108,700 2,683,531
-----------
5,828,337
-----------
Oil-International 0.6%
Exxon Corporation 45,900 3,697,819
-----------
Oil-Services 0.7%
Schlumberger Limited 77,800 4,376,250
-----------
FINANCE 6.3%
Banks 2.2%
Bank One Corporation 98,890 3,170,661
Bank of America Corporation 99,798 5,008,612
Wells Fargo Company 121,400 4,909,112
-----------
13,088,385
-----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
BALANCED FUND
Schedule of Investments (Continued)
December 31, 1999
% Net
Assets Shares Value
<S> <C> <C> <C>
Financial Services 2.5%
Countrywide Credit Industries, Inc. 97,100 $ 2,451,775
Household International, Inc. 114,100 4,250,225
Morgan Stanley Dean Witter and Co. 32,600 4,653,650
MBIA, Inc. 65,200 3,443,375
-----------
14,799,025
-----------
Insurance Companies 1.6%
The Allstate Corporation 137,214 3,293,136
Citigroup Inc. 121,429 6,746,899
-----------
10,040,035
-----------
HEALTHCARE 4.0%
Drugs 2.4%
American Home Products Corporation 148,400 5,852,525
Bristol-Myers Squibb Company 96,200 6,174,838
Pharmacia & Upjohn, Inc. 61,200 2,754,000
-----------
14,781,363
-----------
Medical Products/Supply 0.9%
ALZA Corporation*** 76,100 2,634,963
Johnson & Johnson 30,108 2,803,807
-----------
5,438,770
-----------
Medical Services 0.7%
Aetna Inc. 72,600 4,051,988
-----------
TECHNOLOGY 15.5%
Communications Equipment 2.3%
ADC Telecommunications, Inc.*** 78,900 5,725,181
Motorola, Inc. 56,700 8,349,075
-----------
14,074,256
-----------
Computer Related 8.4%
3Com Corporation*** 131,900 6,199,300
EMC Corporation*** 125,300 13,689,025
Gateway, Inc.*** 130,200 9,382,538
Hewlett-Packard Company 58,800 6,699,525
International Business Machines Corporation 73,600 7,948,800
Seagate Technology, Inc.*** 39,500 6,495,468
-----------
50,414,656
-----------
Computer Software/Services 1.3%
Compuware Corporation*** 55,300 2,059,925
Gartner Group, Inc.*** 11,587 160,045
Keane, Inc.*** 175,900 5,584,825
-----------
7,804,795
-----------
Semiconductors 3.5%
Conexant Systems, Inc.*** 116,600 7,739,325
Micron Technology, Inc.*** 49,650 3,860,288
Texas Instruments Incorporated 96,600 9,358,125
-----------
20,957,738
-----------
TRANSPORTATION 1.1%
Airlines 0.4%
Delta Air Lines, Inc. 44,400 2,211,675
-----------
Railroads 0.2%
Norfolk Southern Corporation 66,800 1,369,400
-----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
BALANCED FUND
Schedule of Investments (Continued)
December 31, 1999
% Net
Assets Shares Value
<S> <C> <C> <C>
Trucking & Shipping 0.5%
FDX Corporation*** 79,400 $ 3,250,438
-----------
UTILITIES 1.0%
Electric Power 0.4%
PG&E Corporation 113,000 2,316,500
-----------
Natural Gas 0.6%
The Williams Companies, Inc. 113,500 3,468,844
-----------
MISCELLANEOUS 0.6%
Professional Services 0.6%
Interim Services Inc.*** 150,000 3,712,500
-----------
TOTAL DOMESTIC ISSUES
(COST: $198,608,337) 305,637,927
-----------
TOTAL COMMON STOCKS
(COST: $207,306,030) 327,764,483
-----------
TOTAL INVESTMENTS, BALANCED FUND
(COST: $481,358,135)** $598,243,093
===========
</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 December 31, 1999, the cost of securities for federal income tax
purposes was $481,643,731. The aggregate unrealized appreciation and
depreciation of investments in securities based on this cost were:
Gross unrealized appreciation.................................$135,401,913
Gross unrealized depreciation................................. (18,802,551)
-----------
Net unrealized appreciation...................................$116,599,362
===========
***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) Represents a security that had a coupon rate of 4.1% until October 1, 1994,
at which time the stated coupon rate became the effective rate.
(B) 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 December 31, 1999, the total market value of these investments was
$13,072,081 or 2.17% 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>
<TABLE>
<CAPTION>
GROWTH AND INCOME STOCK FUND
Schedule of Investments
December 31, 1999
% Net Annualized
Assets Yield Shares Value
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS:
REGISTERED INVESTMENT COMPANY 2.3%
State Street Prime Money Market 5.440% 25,405,252 $ 25,405,252
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST: $25,405,252) 25,405,252
-----------
LONG-TERM INVESTMENTS:
COMMON STOCKS: 97.5%
FOREIGN ISSUES: 8.9%
BP Amoco PLC- ADR 245,080 14,536,308
Glaxo Wellcome PLC - ADR 209,450 11,703,018
Koninklijke (Royal) Philips Electronics N.V. - ADR 194,544 26,263,440
Nortel Networks Corporation 448,000 45,248,000
-----------
TOTAL FOREIGN ISSUES
(COST: $41,266,990) 97,750,766
-----------
DOMESTIC ISSUES: 88.6%
BASIC MATERIALS 3.8%
Chemicals 2.7%
The Dow Chemical Company 111,550 14,905,869
PPG Industries, Inc. 234,400 14,664,650
-----------
29,570,519
-----------
Paper/Forest Products 1.1%
Georgia-Pacific Group 231,800 11,763,850
-----------
CAPITAL GOODS 6.6%
Electrical Equipment 4.1%
Emerson Electric Co. 170,000 9,753,750
Honeywell International Inc. 448,650 25,881,496
Rockwell International Corporation 198,800 9,517,550
-----------
45,152,796
-----------
Environmental 0.8%
Waste Management, Inc. 539,999 9,281,233
-----------
Manufacturing-Diversified 1.7%
United Technologies Corporation 280,000 18,200,000
-----------
COMMUNICATION SERVICES 6.9%
Telephone - Long Distance 3.4%
AT&T Corp. 191,752 9,731,414
Sprint Corporation 413,300 27,820,256
-----------
37,551,670
-----------
Telephone 3.5%
GTE Corporation 246,750 17,411,297
SBC Communications Inc. 423,883 20,664,296
-----------
38,075,593
-----------
CONSUMER CYCLICAL 3.7%
Auto Parts Manufacturers 0.8%
Dana Corporation 284,885 8,528,745
-----------
Retail-Discount 2.0%
Wal-Mart Stores, Inc. 324,900 22,458,713
-----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
GROWTH AND INCOME STOCK FUND
Schedule of Investments (Continued)
December 31, 1999
% Net
Assets Shares Value
<S> <C> <C> <C>
Retail-General 0.9%
Sears, Roebuck & Co. 315,100 $ 9,590,856
-----------
CONSUMER STAPLES 14.6%
Beverages 1.2%
PepsiCo, Inc. 377,600 13,310,400
-----------
Cosmetics/Toiletries 2.6%
Kimberly-Clark Corporation 442,900 28,899,225
-----------
Drug Stores 1.4%
CVS Corporation 392,806 15,687,690
-----------
Entertainment 2.2%
The Walt Disney Company 820,800 24,008,400
-----------
Food Producers 3.6%
ConAgra, Inc. 380,500 8,585,031
General Mills, Inc. 245,200 8,765,900
Nabisco Holdings Corp. - Class A 367,700 11,628,513
Sara Lee Corporation 494,700 10,914,319
-----------
39,893,763
-----------
Food Retailers 1.6%
The Kroger Co.*** 951,900 17,967,113
-----------
Media-TV/Radio/Cable 2.0%
MediaOne Group, Inc.*** 267,900 20,578,069
-----------
ENERGY 5.5%
Exploration/Drilling 0.2%
Transocean Sedco Forex Inc. 53,046 1,786,987
-----------
Oil-Domestic 1.8%
Unocal Corporation 271,450 9,110,541
USX-Marathon Group 422,850 10,439,109
-----------
19,549,650
-----------
Oil-International 2.1%
Exxon Corporation 155,100 12,495,244
Texaco Inc. 202,900 11,020,006
-----------
23,515,250
-----------
Oil-Services 1.4%
Schlumberger Limited 274,000 15,412,500
-----------
FINANCE 11.4%
Banks 4.5%
Bank of America Corporation 344,571 17,293,157
Bank One Corporation 408,540 13,098,814
First Union Corporation 246,800 8,098,125
Wachovia Corporation 152,100 10,342,800
-----------
48,832,896
-----------
Financial Services 3.3%
Household International, Inc. 524,700 19,545,075
Morgan Stanley Dean Witter and Co. 113,000 16,130,750
-----------
35,675,825
-----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
GROWTH AND INCOME STOCK FUND
Schedule of Investments (Continued)
December 31, 1999
% Net
Assets Shares Value
<S> <C> <C> <C>
Insurance Companies 3.6%
The Allstate Corporation 708,026 $ 16,992,624
Citigroup Inc. 431,486 23,974,441
-----------
40,967,065
-----------
HEALTHCARE 8.2%
Drugs 4.0%
American Home Products Corporation 543,500 21,434,281
Bristol-Myers Squibb Company 357,600 22,953,450
-----------
44,387,731
-----------
Medical Prods/Supply 3.0%
ALZA Corporation*** 283,200 9,805,800
Baxter International Inc. 193,100 12,129,094
Johnson & Johnson 121,000 11,268,125
-----------
33,203,019
-----------
Medical Services 1.2%
Aetna Inc. 237,700 13,266,631
-----------
TECHNOLOGY 22.4%
Communications Equipment 4.2%
Harris Corporation 370,900 9,898,394
Motorola, Inc. 248,200 36,547,450
-----------
46,445,844
-----------
Computer Related 9.1%
EMC Corporation*** 376,700 41,154,475
Hewlett-Packard Company 251,700 28,678,068
International Business Machines Corporation 276,200 29,829,600
-----------
99,662,143
-----------
Computer Software/Services 4.8%
Computer Associates International, Inc. 444,900 31,115,194
Computer Sciences Corporation*** 224,400 21,233,850
-----------
52,349,044
-----------
Office Equipment 1.0%
Lanier Worldwide Inc*** 370,900 1,437,238
Xerox Corporation 408,700 9,272,381
-----------
10,709,619
-----------
Semiconductors 3.3%
Texas Instruments Incorporated 376,200 36,444,375
-----------
TRANSPORTATION 1.6%
Airlines 0.7%
Delta Air Lines, Inc. 158,600 7,900,262
-----------
Railroads 0.9%
Burlington Northern Santa Fe Corporation 220,200 5,339,850
Norfolk Southern Corporation 227,700 4,667,850
-----------
10,007,700
-----------
UTILITIES 2.7%
Electric Power 1.5%
Duke Energy Corporation 180,000 9,022,500
PG&E Corporation 345,000 7,072,500
-----------
16,095,000
-----------
</TABLE>
<TABLE>
<CAPTION>
GROWTH AND INCOME STOCK FUND
Schedule of Investments (Continued)
December 31, 1999
% Net
Assets Shares Value
<S> <C> <C> <C>
Natural Gas 1.2%
The Williams Companies, Inc. 445,000 $ 13,600,313
-----------
MISCELLANEOUS 1.2%
Diversified 1.2%
Minnesota Mining and Manufacturing Company 131,400 12,860,775
-----------
TOTAL DOMESTIC ISSUES
(COST: $751,411,701) 973,191,264
-----------
TOTAL COMMON STOCKS
(COST: $792,678,691) 1,070,942,030
-------------
TOTAL INVESTMENTS, GROWTH AND INCOME
FUND (COST: $818,083,943)** $1,096,347,282
=============
</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 December 31, 1999, the cost of securities for federal income tax
purposes was $818,445,045. The aggregate unrealized appreciation and
depreciation of investments in securities based on this cost were:
Gross unrealized appreciation................................ $376,831,064
Gross unrealized depreciation................................ (98,928,827)
-----------
Net unrealized appreciation.................................. $277,902,237
===========
***This security is non-income producing.
ADR American Depository Receipt
PLC Public Limited Company
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
CAPITAL APPRECIATION STOCK FUND
Schedule of Investments
December 31, 1999
% Net Annualized
Assets Yield Shares Value
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS:
REGISTERED INVESTMENT COMPANY 2.1%
State Street Prime Money Market 5.440% 17,944,730 $ 17,944,730
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST: $17,944,730) 17,944,730
-----------
LONG-TERM INVESTMENTS:
COMMON STOCKS: 97.9%
FOREIGN ISSUES: 7.9%
Ace Limited 560,000 9,345,000
Elan Corp PLC - ADR *** 507,300 14,965,350
Telefonos de Mexico SP ADR - Cl L 200,000 22,500,000
Vodafone AirTouch PLC-SP ADR 391,500 19,379,250
-----------
TOTAL FOREIGN ISSUES
(COST: $41,761,515) 66,189,600
-----------
DOMESTIC ISSUES: 90.0%
BASIC MATERIALS 3.7%
Chemicals 2.6%
Praxair, Inc. 226,500 11,395,781
Rohm and Haas Company 270,000 10,985,625
-----------
22,381,406
-----------
Paper/Forest Products 1.1%
Willamette Industries, Inc. 193,000 8,962,438
-----------
CAPITAL GOODS 5.1%
Containers 1.7%
Owens-Illinois, Inc.*** 593,700 14,879,606
-----------
Machinery/Equipment 1.1%
Pall Corporation 410,000 8,840,625
-----------
Manufacturing-Diversified 2.3%
Illinois Tool Works, Inc. 282,800 19,106,675
-----------
COMMUNICATION SERVICES 2.2%
Telecom-Cel/Wireless 0.8%
Sprint PCS Group*** 70,000 7,175,000
-----------
Telephone 1.4%
CenturyTel, Inc. 240,100 11,374,738
-----------
CONSUMER CYCLICAL 11.9%
Commercial/Consumer 1.0%
IMS Health Incorporated 302,200 8,216,063
-----------
Printing/Publishing 1.6%
PRIMEDIA Inc.*** 820,600 13,539,900
-----------
Retail-General 3.6%
Dayton Hudson Corporation 405,600 29,786,250
-----------
Retail-Specialty 5.7%
Lowe's Companies, Inc 226,200 13,515,450
The Sherwin-Williams Company 440,200 9,244,200
The TJX Companies, Inc. 428,400 8,755,425
Tiffany & Co. 186,500 16,645,125
-----------
48,160,200
-----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CAPITAL APPRECIATION STOCK FUND
Schedule of Investments (Continued)
December 31, 1999
% Net
Assets Shares Value
<S> <C> <C> <C>
CONSUMER STAPLES 9.2%
Food Producers 2.7%
Nabisco Holdings Corp. - Class A 257,500 $ 8,143,438
Sara Lee Corporation 253,200 5,586,225
Tyson Foods, Inc. - Class A 542,700 8,818,875
-----------
22,548,538
-----------
Food Retailers 1.6%
Safeway Inc.*** 386,500 13,744,906
-----------
Media-TV/Radio/Cable 4.9%
Cox Communications, Inc.*** 393,100 20,244,650
MediaOne Group, Inc.*** 270,900 20,808,506
-----------
41,053,156
-----------
ENERGY 5.4%
Exploration/Drilling 1.1%
Kerr-McGee Corporation 148,700 9,219,400
-----------
Oil-Domestic 4.3%
Unocal Corporation 344,350 11,557,247
USX-Marathon Group 393,800 9,721,937
Weatherford International, Inc.*** 367,200 14,665,050
-----------
35,944,234
-----------
FINANCE 11.1%
Banks 4.2%
First Security Corporation 320,900 8,192,994
SunTrust Banks, Inc. 200,100 13,769,381
Wells Fargo Company 325,600 13,166,450
-----------
35,128,825
-----------
Financial Services 4.1%
Associates First Capital Corporation 448,600 12,308,463
Countrywide Credit Industries, Inc. 233,000 5,883,250
Freddie Mac 168,300 7,920,618
MBIA, Inc. 163,000 8,608,438
-----------
34,720,769
-----------
Insurance Companies 2.8%
Citigroup Inc. 420,198 23,347,251
-----------
HEALTHCARE 4.2%
Biotech-Spec. Pharmaceutical 0.0%
Crescendo Pharmaceuticals Corporation*** 6,260 114,441
-----------
Drugs 1.2%
Pharmacia & Upjohn, Inc. 216,400 9,738,000
-----------
Medical Prod/Supply 1.6%
Boston Scientific Corporation*** 628,200 13,741,875
-----------
Medical Services 1.4%
Aetna Inc. 213,500 11,915,969
-----------
TECHNOLOGY 30.7%
Communication Equipment 2.2%
ADC Telecommunications, Inc.*** 256,200 18,590,512
-----------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CAPITAL APPRECIATION STOCK FUND
Schedule of Investments (Continued)
December 31, 1999
% Net
Assets Shares Value
<S> <C> <C> <C>
Computer Related 12.3%
3Com Corporation*** 354,600 $ 16,666,200
EMC Corporation*** 336,900 36,806,325
Gateway, Inc.*** 410,500 29,581,656
Seagate Technology, Inc.*** 428,400 19,947,375
-----------
103,001,556
-----------
Computer Software/Services 8.3%
Autodesk, Inc. 426,500 14,394,375
Cadence Design Systems, Inc.*** 570,900 13,701,600
Compuware Corporation*** 193,100 7,192,975
Gartner Group, Inc.*** 31,586 436,282
Keane, Inc.*** 586,500 18,621,375
PeopleSoft, Inc. 727,400 15,502,712
-----------
69,849,319
-----------
Electronics 1.0%
W.W. Grainger, Inc. 168,000 8,032,500
-----------
Semiconductors 6.9%
Conexant Systems Inc.*** 271,798 18,040,592
Dallas Semiconductor Corporation 144,100 9,285,444
Micron Technology, Inc.*** 129,350 10,056,963
Texas Instruments Incorporated 211,600 20,498,750
-----------
57,881,749
-----------
TRANSPORTATION 1.9%
Airlines 0.6%
Midwest Express Holdings, Inc.*** 169,875 5,414,766
-----------
Trucking & Shipping 1.3%
FDX Corporation*** 261,100 10,688,781
-----------
UTILITIES 2.9%
Electric Power 1.0%
Midamerican Energy Holdings Co.*** 254,000 8,556,625
-----------
Natural Gas 1.9%
El Paso Energy Corporation 162,000 6,287,625
The Williams Companies, Inc. 306,600 9,370,463
-----------
15,658,088
-----------
MISCELLANEOUS 1.7%
Professional Services 1.7%
Interim Services Inc.*** 562,200 13,914,450
-----------
TOTAL DOMESTIC COMMON STOCK
(COST: $547,719,703) 755,228,611
-----------
TOTAL COMMON STOCKS
(COST: $589,481,218) 821,418,211
-----------
TOTAL INVESTMENTS, CAPITAL APPRECIATION
STOCK FUND (COST: $607,425,948)** $839,362,941
===========
</TABLE>
<PAGE>
CAPITAL APPRECIATION STOCK FUND
Schedule of Investments (Continued)
December 31, 1999
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 December 31, 1999, the cost of securities for federal income tax
purposes was $607,425,948. The aggregate unrealized appreciation and
depreciation of investments in securities based on this cost were:
Gross unrealized appreciation................................ $275,503,695
Gross unrealized depreciation................................ (43,566,702)
-----------
Net unrealized appreciation.................................. $231,936,993
===========
***This security is non-income producing.
ADR American Depository Receipt
PLC Public Limited Company
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
MID-CAP STOCK FUND
Schedule of Investments
December 31, 1999
% Net Annualized
Assets Yield Shares Value
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS:
REGISTERED INVESTMENT COMPANY 2.2%
State Street Prime Money Market 5.440% 588,653 $ 588,653
-------
TOTAL SHORT-TERM INVESTMENTS
(COST: $588,653) 588,653
-------
LONG-TERM INVESTMENTS:
COMMON STOCKS: 98.5%
FOREIGN ISSUES: 3.0%
Elan Corp - PLC ADR*** 14,400 424,800
London Pacific Group Limited - SP ADR 3,000 108,000
Newbridge Networks Corporation*** 9,600 216,600
Zindart Limited - ADR*** 6,500 44,688
-------
TOTAL FOREIGN ISSUES
(COST: $763,300) 794,088
-------
DOMESTIC ISSUES: 95.5%
BASIC MATERIALS 4.8%
Chemicals 0.8%
Air Prod & Chemicals, Inc. 6,000 201,375
-------
Chemicals-Specialty 1.9%
Albermale Corporation 5,500 105,531
Ecolab Inc. 7,500 293,437
Oil-Dri Corporation 7,500 107,812
-------
506,780
-------
Paper/Forest Products 1.5%
Bemis Company, Inc. 6,000 209,250
Westvaco Corporation 6,000 195,750
-------
405,000
-------
Steel 0.6%
Texas Industries, Inc. 3,500 148,968
-------
CAPITAL GOODS 8.3%
Aerospace/Defense 0.5%
The B.F. Goodrich Company 4,500 123,750
-------
Building Supplies 0.4%
Lafarge Corporation 3,500 96,688
-------
Construction 0.8%
Fluor Corporation 4,500 206,438
-------
Electrical Equipment 1.6%
Hubbell Incorporated - Class B 7,000 190,750
Molex Incorporated 4,400 249,425
-------
440,175
-------
Machinery/Equipment 2.2%
Ingersoll-Rand Company 7,000 385,438
Stewart & Stevenson Services, Inc. 9,500 112,516
Trinity Industries, Inc. 3,500 99,531
-------
597,485
-------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
MID-CAP STOCK FUND
Schedule of Investments (Continued)
December 31, 1999
% Net
Assets Shares Value
<S> <C> <C> <C>
Manufacturing-Diversified 2.1%
Eaton Corporation 5,500 $ 399,438
National Service Industries. Inc. 5,500 162,250
-------
561,688
-------
Office Supplies/Equipment 0.7%
Herman Miller, Inc. 8,000 184,000
-------
COMMUNICATION SERVICES 1.8%
Telephone 1.8%
CenturyTel, Inc. 10,000 473,750
-------
CONSUMER CYCLICAL 15.6%
Apparel/Textiles 1.4%
Saucony, Inc.*** 7,500 104,062
V.F. Corporation 4,500 135,000
Wolverine World Wide, Inc. 11,300 123,594
-------
362,656
-------
Auto Parts Manufacturing 0.4%
Cooper Tire & Rubber 6,400 99,600
-------
Commercial/Consumer 0.6%
Pittston Brink's Group 2,500 55,000
Spar Group*** 30,000 101,250
-------
156,250
-------
Furniture/Appliances 2.3%
Ethan Allen Interiors Inc. 13,400 429,638
Flexsteel Industries, Inc. 4,800 64,200
Steelcase Inc. 9,300 111,600
-------
605,438
-------
Homebuilding/Supplies 0.7%
M/I Schottenstein Homes, Inc. 6,000 93,375
U.S. Home Corporation*** 4,000 102,250
-------
195,625
-------
Leisure Time/Gaming 0.3%
K2 Inc.*** 10,000 76,250
-------
Lodging/Hotels 0.6%
Host Marriott Corp. 20,000 165,000
-------
Printing/Publishing 1.7%
A. H. Belo Corporation, Class A 23,400 446,062
-------
Retail-Discount 1.2%
Dollar General Corporation 12,150 276,412
Duckwall-ALCO Stores, Inc.*** 7,500 57,188
-------
333,600
-------
Retail-Specialty 6.4%
Borders Group, Inc.*** 9,600 154,200
Linens 'n Things, Inc.*** 12,500 370,312
OfficeMax, Inc.*** 17,100 94,050
Pier 1 Imports, Inc. 20,200 128,775
Ross Stores, Inc. 10,900 195,518
The Sherwin-Williams Company 11,000 231,000
Tiffany & Co. 5,000 446,250
Wilson, The Leather Experts Inc.*** 4,000 73,750
---------
1,693,855
---------
</TABLE>
<TABLE>
<CAPTION>
MID-CAP STOCK FUND
Schedule of Investments (Continued)
December 31, 1999
% Net
Assets Shares Value
<S> <C> <C> <C>
CONSUMER STAPLES 4.7%
Cosmetics/Toiletries 0.3%
Perrigo Company*** 10,000 $80,000
--------
Food Producers/Distributors 2.1%
Flowers Industries, Inc. 20,200 321,938
Tyson Foods, Inc. - Class A 14,100 229,125
--------
551,063
--------
Food Retailers 0.7%
Hannaford Brothers Co. 2,600 180,213
--------
Media-TV/Radio/Cable 1.6%
Adelphia Communications Corporation*** 6,700 439,688
--------
ENERGY 3.9%
Exploration/Drilling 3.7%
BJ Services Company*** 7,800 326,138
ENSCO International Incorporated 14,100 322,538
Smith International, Inc*** 6,500 322,968
--------
971,644
--------
Oil-Domestic 0.2%
Remington Oil & Gas Corporation*** 15,000 58,125
--------
FINANCE 11.7%
Banks 4.7%
Associated Banc-Corp 4,400 150,700
Bank United Corp. - Class A 3,100 84,475
Commercial Federal Corporation 12,000 213,750
First Security Corporation 7,300 186,378
First Tennessee National Corporation 6,400 182,400
Hibernia Corporation 10,600 112,625
Marshall & Ilsley Corporation 2,700 169,594
TCF Financial Corporation 5,600 139,300
---------
1,239,222
---------
Financial Services 1.8%
The Bear Stearns Companies Inc. 11,500 491,625
--------
Insurance Companies 4.9%
Ambac Financial Group, Inc. 9,000 469,687
American Medical Security Group, Inc.*** 10,000 60,000
Amerus Life Holdings, Inc. 5,800 133,400
The First American Financial Corporation 7,300 90,794
MGIC Investment Corporation 9,000 541,687
---------
1,295,568
---------
Real Estate Investment 0.3%
New Plan Excel Realty Trust 5600 88,550
--------
HEALTHCARE 11.5%
Biotech-Spec. Pharmaceutical 0.8%
IDEXX Laboratories, Inc.*** 12,700 204,788
--------
Drugs 4.6%
Chiron Corporation*** 10,900 461,888
Genzyme Corporation*** 8,100 364,500
ICN Pharmaceuticals, Inc. 13,500 341,719
Rexall Sundown, Inc.*** 4,500 46,406
---------
1,214,513
---------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
MID-CAP STOCK FUND
Schedule of Investments (Continued)
December 31, 1999
% Net
Assets Shares Value
<S> <C> <C> <C>
Medical Products/Supplies 5.1%
Biomet, Inc. 8,200 $328,000
Genzyme Surgical Products*** 590 3,429
OrthoLogic Corp.*** 32,000 82,000
St. Jude Medical, Inc.*** 9,500 291,531
Henry Schein, Inc. *** 2,500 33,281
STERIS Corporation*** 12,700 130,969
Sunrise Medical Inc.*** 17,500 108,281
Sybron International Corporation*** 15,100 372,781
---------
1,350,272
---------
Medical Services 1.0%
Chronimed Inc.*** 8,000 61,500
Humana Inc.*** 14,600 119,538
NABI*** 18,000 83,250
--------
264,288
--------
TECHNOLOGY 23.0%
Communication Equipment 2.4%
ADC Telecommunications, Inc.*** 4,500 326,531
Executone Information Systems, Inc. 35,000 190,313
Norstan Inc.*** 20,000 127,500
--------
644,344
--------
Computer Related 2.5%
Exabyte Corporation*** 20,000 150,000
NeoMagic Corporation*** 10,000 109,375
Quantum Corporation (DSSG)*** 15,300 231,412
Storage Technology Corporation*** 9,300 171,469
--------
662,256
--------
Computer Software/Services 6.1%
Autodesk, Inc. 5,100 172,125
Keane, Inc.*** 10,500 333,375
Indus International, Inc.*** 10,000 121,875
Rainbow Technologies, Inc.*** 3,000 69,750
Sterling Software, Inc.*** 6,700 211,050
SunGard Data Systems Inc.*** 10,700 254,125
Sybase, Inc.*** 7,000 119,000
Synopsys, Inc.*** 5,000 333,750
---------
1,615,050
---------
Electronics 5.4%
Arrow Electronics, Inc.*** 16,600 421,225
W. W. Grainger, Inc. 6,000 286,875
Tech-Sym Corporation*** 5,000 103,125
Teradyne, Inc.*** 6,000 396,000
Varian Medical Systems, Inc. 7,700 229,556
---------
1,436,781
---------
Photography/Imaging 0.3%
Polaroid Corporation 3,700 69,606
---------
Semiconductors 6.3%
Atmel Corporation*** 13,400 396,137
Dallas Semi-Conductors 5,000 322,188
Etec Systems, Inc.*** 5,000 224,375
LSI Logic Corporation*** 5,200 351,000
Quantum Corp (HDDS)*** 3,450 23,934
Varian Semiconductor Equipment Associates, Inc.*** 10,000 340,000
---------
1,657,634
---------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
MID-CAP STOCK FUND
Schedule of Investments (Continued)
December 31, 1999
% Net
Assets Shares Value
<S> <C> <C> <C>
TRANSPORTATION 2.0%
Airlines 1.0%
Midwest Express Holdings, Inc.*** 8,200 $ 261,375
---------
Transportation-Miscellaneous 0.6%
The Hertz Corporation, Class A 3,000 150,375
---------
Trucking & Shipping 0.4%
Airborne Freight Corporation 5,000 110,000
---------
UTILITIES 3.9%
Electric Power 3.5%
El Paso Electric Company*** 14,300 140,319
Florida Progress Corporation 6,500 275,031
Midamerican Energy Holdings Company*** 12,000 404,250
TECO Energy, Inc. 5,800 107,663
---------
927,263
---------
Natural Gas 0.4%
Southwestern Energy Company 15,000 98,438
---------
MISCELLANEOUS 4.3%
Professional Services 4.3%
Affiliated Computer Services, Inc.*** 5,400 248,400
Business Resource Group*** 20,000 106,250
EZCORP, Inc. 20,000 81,250
Manpower Inc. 15,000 564,375
Modis Professional Services, Inc.*** 10,000 142,500
---------
1,142,775
---------
TOTAL DOMESTIC ISSUES
(COST: $22,963,798) 25,285,889
----------
TOTAL COMMON STOCKS
(COST: $23,727,098) 26,079,977
----------
TOTAL INVESTMENTS, MID-CAP STOCK FUND
(COST: $24,315,751)** $26,668,630
==========
</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 December 31, 1999, the cost of securities for federal income tax
purposes was $24,316,762. The aggregate unrealized appreciation and
depreciation of investments in securities based on this cost were:
Gross unrealized appreciation................................ $4,073,960
Gross unrealized depreciation................................ (1,722,092)
__________
Net unrealized appreciation........................... ...... $2,351,868
==========
***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>
<TABLE>
<CAPTION>
ULTRA SERIES FUND
Statements of Assets and Liabilities
December 31, 1999
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* $82,074,447 $1,901,538 $246,519,163 $598,243,093 $1,096,347,282 $839,362,941 $26,668,630
Receivable for investment
securities sold - - - 2,799,103 3,160,766 3,218,982 -
Receivable for fund shares
sold 519,266 - 15,211 122,705 817,703 374,028 18,990
Accrued interest and
dividends receivable 83,600 - 3,968,013 4,434,879 1,501,987 457,956 24,424
----------- ----------- ----------- ----------- ------------- ------------ ------------
Total assets 82,677,313 1,901,538 250,602,387 605,599,780 1,101,827,738 843,413,907 26,712,044
----------- ----------- ----------- ----------- ------------- ------------ ------------
Liabilities:
Payable for investment
securities purchased - - - 2,109,286 2,948,333 3,728,761 211,616
Accrued management fees 31,012 398 116,329 352,734 545,577 548,544 20,900
Accrued other expenses 326 - 832 2,063 3,732 2,807 100
----------- ----------- ----------- ----------- ----------- ----------- -----------
Total liabilities 31,338 398 117,161 2,464,083 3,497,642 4,280,112 232,616
----------- ----------- ----------- ----------- ----------- ----------- -----------
Net assets applicable to
outstanding capital stock $82,645,975 $1,901,140 $250,485,226 $603,135,697 $1,098,330,096 $839,133,795 $26,479,428
=========== =========== =========== =========== ============= =========== ===========
Represented by:
Capital stock (par value $.01)
and additional paid-in
capital $82,645,975 $1,730,401 $262,280,366 $482,835,315 $816,115,948 $597,934,165 $24,092,961
Undistributed net investment
income - - 223,139 284,896 188,433 67,799 8,840
Accumulated net realized
gain (loss) on investments - - (8,092,995) 3,130,528 3,762,376 9,194,838 24,748
Unrealized appreciation
(depreciation) on investments - 170,739 (3,925,284) 116,884,958 278,263,339 231,936,993 2,352,879
----------- ----------- ----------- ----------- ------------ ----------- -----------
Total net assets - representing
net assets applicable to
outstanding capital stock $82,645,975 $1,901,140 $250,485,226 $603,135,697 $1,098,330,096 $839,133,795 $26,479,428
=========== =========== =========== =========== ============= =========== ===========
Number of Class Z Shares
issued and outstanding
(note 5) 82,645,975 185,786 24,923,230 29,509,549 32,710,130 32,791,492 2,375,783
=========== =========== =========== =========== =========== =========== ===========
Net asset value per share of
outstanding capital stock
(note 2) $1.00 $10.23 $10.05 $20.44 $33.58 $25.59 $11.15
----------- ----------- ----------- ----------- ----------- ----------- -----------
*Cost of Investments $82,074,447 $1,730,799 $250,444,447 $481,358,135 $818,083,943 $607,425,948 $24,315,751
----------- ----------- ----------- ------------ ------------ ----------- -----------
See accompanying notes to financial statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
ULTRA SERIES FUND
Statements of Operations
Year Ended December 31, 1999
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 $3,383,135 $114,237 $15,562,004 $15,302,197 $1,180,151 $833,638 $47,624
Dividend income - - - 3,451,969 14,589,000 5,586,205 135,064
----------- ---------- ----------- ------------ ----------- ----------- -----------
Total income 3,383,135 114,237 15,562,004 18,754,166 15,769,151 6,419,843 182,688
----------- ---------- ----------- ------------ ----------- ----------- -----------
Expenses (note 4):
Management fees 294,066 8,362 1,321,358 3,717,079 5,948,635 5,685,472 130,658
Trustees' fees 391 - 1,536 3,261 6,165 4,413 64
Audit fees 641 - 2,526 5,355 10,127 7,248 103
----------- ---------- ----------- ------------ ----------- ----------- -----------
Total expenses 295,098 8,362 1,325,420 3,725,695 5,964,927 5,697,133 130,825
----------- ---------- ----------- ------------ ----------- ----------- -----------
Net investment income 3,088,037 105,875 14,236,584 15,028,471 9,804,224 722,710 51,863
Realized and unrealized
gain (loss) on investments
(notes 2 and 3):
Net realized gain (loss)
on investments - - (8,092,995) 18,937,774 64,716,812 73,587,448 481,164
Net change in unrealized
appreciation (depreciation)
on investments - (49,993) (4,261,091) 37,197,027 81,136,793 91,564,086 2,352,878
----------- ---------- ----------- ------------ ----------- ----------- -----------
Net gain (loss) on investments - (49,993) (12,354,086) 56,134,801 145,853,605 165,151,534 2,834,042
----------- ---------- ----------- ------------ ----------- ----------- -----------
Net increase in net assets
resulting from operations $3,088,037 $ 55,882 $ 1,882,498 $71,163,272 $155,657,829 $165,874,244 $2,885,905
=========== ========== =========== =========== =========== =========== ===========
</TABLE>
*Commenced operations May 1, 1999.
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
ULTRA SERIES FUND
Statements of Changes in Net Assets
Years Ended December 31, 1999 and 1998
MONEY MARKET FUND TREASURY 2000 FUND BOND FUND
<S> <C> <C> <C> <C> <C> <C>
Operations: 1999 1998 1999 1998 1999 1998
Net investment income $3,088,037 $ 2,251,161 $ 105,875 $ 106,292 $14,236,584 $12,280,579
Net realized gain (loss) on
investments - - - - (8,092,995) 159,188
Net change in unrealized appreciation
or depreciation on investments - - (49,993) 21,682 (4,261,091) (85,864)
----------- ----------- --------- ----------- ----------- -----------
Change in net assets from
operations 3,088,037 2,251,161 55,882 127,974 1,882,498 12,353,903
----------- ----------- --------- ----------- ----------- -----------
Distributions to shareholders:
From net investment income (3,088,037) (2,251,161) - - (14,083,486) (12,272,877)
From realized gains on investments - - - - (3,484) (155,703)
----------- ----------- --------- ----------- ----------- -----------
Change in net assets from
distributions (3,088,037) (2,251,161) - - (14,086,970) (12,428,580)
----------- ----------- --------- ----------- ---------- -----------
Class Z Share transactions (note 5):
Proceeds from sale of shares 57,336,829 45,266,763 9,354 7,253 28,132,898 30,878,732
Net asset value of shares issued in
reinvestment of distributions 3,095,292 2,249,737 - - 14,086,970 12,428,580
----------- ----------- --------- ----------- ----------- -----------
60,432,121 47,516,500 9,354 7,253 42,219,868 43,307,312
Cost of shares repurchased (34,202,634) (32,270,164) - - (7,811,320 (3,791,053)
----------- ----------- --------- ----------- ----------- -----------
Change in net assets derived from
capital share transactions 26,229,487 15,246,336 9,354 7,253 34,408,548 39,516,259
----------- ----------- --------- ----------- ----------- -----------
Increase in net assets 26,229,487 15,246,336 65,236 135,227 22,204,076 39,441,582
Net assets:
Beginning of year 56,416,488 41,170,152 1,835,904 1,700,677 228,281,150 188,839,568
----------- ----------- ---------- ----------- ----------- -----------
End of year $82,645,975 $56,416,488 $1,901,140 $1,835,904 $250,485,226 $228,281,150
=========== =========== ========== =========== =========== ===========
Undistributed net investment
income included in net assets - - - - $223,139 $70,041
=========== =========== ========== =========== =========== ===========
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
ULTRA SERIES FUND
Statements of Changes in Net Assets (Continued)
Years Ended December 31, 1999 and 1998
GROWTH AND INCOME CAPITAL APPRECIATION
BALANCED FUND STOCK FUND STOCK FUND
<S> <C> <C> <C> <C> <C> <C>
Operations: 1999 1998 1999 1998 1999 1998
Net investment income $ 15,028,471 $12,088,130 $ 9,804,224 $8,354,361 $ 722,710 $ 1,650,475
Net realized gain (loss) on
investments 18,937,774 (2,476,442) 64,716,812 34,291,135 73,587,448 15,075,685
Net change in unrealized appreciation
or depreciation on investments 37,197,027 38,583,512 81,136,793 73,755,119 91,564,086 86,357,794
----------- ----------- ------------ ------------ ----------- -----------
Change in net assets from
operations 71,163,272 48,195,200 155,657,829 116,400,615 165,874,244 103,083,954
----------- ----------- ------------ ------------ ----------- -----------
Distributions to shareholders:
From net investment income (14,771,068) (12,093,642) (9,615,791) (8,355,956) (654,910) (1,663,199)
From realized gains on investments (13,330,805) (19,797) (64,716,574) (30,527,402) (64,764,832) (14,650,506)
----------- ----------- ------------ ----------- ----------- -----------
Change in net assets from
distributions (28,101,873) (12,113,439) (74,332,365) (38,883,358) (65,419,742) (16,313,705)
----------- ----------- ------------ ------------ ----------- -----------
Class Z Share transactions (note 5):
Proceeds from sale of shares 91,071,831 98,736,778 127,024,727 138,687,461 61,727,019 74,042,102
Net asset value of shares issued in
reinvestment of distributions 28,101,873 12,113,439 74,332,365 38,883,358 65,419,742 16,313,705
----------- ----------- ------------ ----------- ----------- -----------
119,173,704 110,850,217 201,357,092 177,570,819 127,146,761 90,355,807
Cost of shares repurchased (9,091,748) (6,743,348) (17,526,082) (12,049,887) (18,840,534) (2,947,225)
----------- ----------- ------------ ------------ ----------- -----------
Change in net assets derived from
capital share transactions 110,081,956 104,106,869 183,831,010 165,520,932 108,306,227 87,408,582
----------- ----------- ------------ ------------- ----------- -----------
Increase (decrease) in net assets 153,143,355 140,188,630 265,156,474 243,038,189 208,760,729 174,178,831
Net assets:
Beginning of year 449,992,342 309,803,712 833,173,622 590,135,433 630,373,066 456,194,235
----------- ----------- ------------ ------------ ----------- -----------
End of year $603,135,697 $449,992,342 $1,098,330,096 $833,173,622 $839,133,795 630,373,066
=========== =========== ============= ============ =========== ===========
Undistributed net investment
income included in net assets $284,896 $27,494 $188,433 - $67,799 -
=========== =========== =========== ============ =========== ===========
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
ULTRA SERIES FUND
Statements of Changes in Net Assets (Continued)
Years Ended December 31, 1999 and 1998
MID-CAP STOCK FUND*
<S> <C>
Operations: 1999
Net investment income $ 51,863
Net realized gain (loss) on
investments 481,164
Net change in unrealized appreciation
or depreciation on investments 2,352,878
-----------
Change in net assets from
operations 2,885,905
-----------
Distributions to shareholders:
From net investment income (43,023)
From realized gains on investments (456,416)
-----------
Change in net assets from
distributions (499,439)
-----------
Class Z Share transactions (note 5):
Proceeds from sale of shares 23,763,821
Net asset value of shares issued in
reinvestment of distributions 499,439
-----------
24,263,260
Cost of shares repurchased (170,298)
-----------
Change in net assets derived from
capital share transactions 24,092,962
-----------
Increase (decrease) in net assets 26,479,428
Net assets:
Beginning of year -
-----------
End of year $26,479,428
===========
Undistributed net investment
income included in net assets $ 8,840
===========
</TABLE>
*Commenced operations May 1, 1999.
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
MONEY MARKET FUND
Financial Highlights
Year Ended December 31
<S> <C> <C> <C> <C> <C>
(For a share outstanding throughout the period): 1999 1998 1997 1996 1995
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00
------- ------- ------- ------- -------
Income from Investment Operations
Net Investment Income*** 0.05 0.05 0.05 0.05 0.05
----------------------------------------------------------------
Distributions
Distributions from Net Investment Income (0.05) (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* 4.69% 4.61% 4.75% 5.17% 5.21%
====================================================================================================================
Ratio/Supplemental Data
Net Assets, End of Period (000s Omitted) $82,646 $56,416 $41,170 $21,011 $11,374
Ratio of Expenses to Average Net Assets** 0.45% 0.45% 0.50% 0.65% 0.65%
Ratio of Net Investment Income to Average
Net Assets 4.72% 4.99% 5.05% 4.74% 5.17%
====================================================================================================================
</TABLE>
For the Money Market Fund, the "seven-day average" yield for the seven days
ended December 31, 1999, was 5.24% and the "effective" yield for that period
was 5.38%(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
Year Ended December 31
<S> <C> <C> <C> <C> <C>
(For a share outstanding throughout the period) 1999 1998 1997 1996 1995
Net Asset Value, Beginning of Period $ 9.93 9.24 $ 8.64 $ 8.47 $ 7.00
------- ------ ------- ------- --------
Income from Investment Operations
Net Investment Income** 0.57 0.58 0.58 0.58 0.58
Net Realized and Unrealized Gain (Loss)
on Investments (0.27) 0.11 0.02 0.41) 0.89
------- ------ ------- ------- --------
Total from Investment Operations 0.30 0.69 0.60 0.17 1.47
------------------------------------------------------------------------
Distributions
Distributions from Net Investment Income - - - - -
Distributions from Realized Capital Gains - - - - -
------- ------ ------- ------- --------
Total Distributions - - - - -
------------------------------------------------------------------------
Net Asset Value, End of Period $10.23 $9.93 $9.24 $ 8.64 $ 8.47
=================================================================================================================
Total Return* 3.04% 7.52% 6.85% 2.10% 20.99%
=================================================================================================================
Ratio/Supplemental Data
Net Assets, End of Period (000s Omitted) $1,901 1,836 $1,701 $1,585 $1,545
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 5.70% 6.01% 6.56% 7.03% 7.40%
====================================================================================================================================
</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
Year Ended December 31
<S> <C> <C> <C> <C> <C>
(For a share outstanding throughout the period): 1999 1998 1997 1996 1995
Net Asset Value, Beginning of Period $ 10.57 $ 10.54 $ 10.33 $ 10.63 $ 9.67
------- ------ ------- ------- -------
Income from Investment Operations
Net Investment Income*** 0.62 0.63 0.54 0.65 0.60
Net Realized and Unrealized Gain (Loss)
on Investments (0.54) 0.02 0.20 0.28) 0.96
------- ------ ------- ------- -------
Total from Investment Operations 0.08 0.65 0.74 0.37 1.56
----------------------------------------------------------------------
Distributions
Distributions from Net Investment Income (0.60) (0.62) (0.51) (0.64) (0.59)
Distributions from Realized Capital Gains (0.00) (0.00) (0.02) (0.03) (0.01)
------- ------- ------- ------- -------
Total Distributions (0.60) (0.62) (0.53) (0.67) (0.60)
----------------------------------------------------------------------
Net Asset Value, End of Period $ 10.05 $ 10.57 $ 10.54 $ 10.33 $ 10.63
=================================================================================================================
Total Return* 0.73% 6.18% 7.45% 2.86% 16.37%
=================================================================================================================
Ratio/Supplemental Data
Net Assets, End of Period (000s Omitted) $250,485 $228,281 $188,840 $26,572 $13,725
Ratio of Expenses to Average Net Assets** 0.55% 0.55% 0.56% 0.65% 0.65%
Ratio of Net Investment Income to Average
Net Assets 5.92% 5.94% 6.50% 6.25% 6.08%
Portfolio Turnover Rate 713.52% 142.98% 30.71% 25.67% 14.74%
=================================================================================================================
</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
Year Ended December 31
<S> <C> <C> <C> <C> <C>
(For a share outstanding throughout the period): 1999 1998 1997 1996 1995
Net Asset Value, Beginning of Period $ 18.74 $ 17.02 $ 15.29 $ 14.63 $ 12.90
------ ------ ----- ------ ------
Income from Investment Operations
Net Investment Income*** 0.56 0.57 0.62 0.58 0.55
Net Realized and Unrealized Gain (Loss)
on Investments 2.14 1.72 1.93 0.98 2.29
------ ------ ----- ------ ------
Total from Investment Operations 2.70 2.29 2.55 1.56 2.84
----------------------------------------------------------------------
Distributions
Distributions from Net Investment Income (0.53) (0.57) (0.63) (0.58) (0.55)
Distributions from Realized Capital Gains (0.47) - (0.19) (0.32) (0.56)
------ ------ ------ ------ ------
Total Distributions (1.00) (0.57) (0.82) (0.90) (1.11)
----------------------------------------------------------------------
Net Asset Value, End of Period $20.44 $18.74 $17.02 $15.29 $14.63
=================================================================================================================
Total Return* 14.49% 13.40% 16.87% 10.79% 22.27%
=================================================================================================================
Ratio/Supplemental Data
Net Assets, End of Period (000s Omitted) $603,136 $449,992 $309,804 $194,725 $110,969
Ratio of Expenses to Average Net Assets** 0.70% 0.70% 0.68% 0.65% 0.65%
Ratio of Net Investment Income to Average
Net Assets 2.83% 3.20% 3.81% 3.91% 4.03%
Portfolio Turnover Rate 269.00% 78.71% 21.15% 33.48% 36.68%
=================================================================================================================
</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
Year Ended December 31
<S> <C> <C> <C> <C> <C>
(For a share outstanding throughout the period): 1999 1998 1997 1996 1995
Net Asset Value, Beginning of Period $30.56 $27.20 $21.32 $18.20 $15.06
------ ------ ------ ------ ------
Income from Investment Operations
Net Investment Income*** 0.34 0.34 0.31 0.34 0.37
Net Realized and Unrealized Gain (Loss)
on Investments 5.12 4.52 6.36 3.93 4.37
------ ------ ------ ------ ------
Total from Investment Operations 5.46 4.86 6.67 4.27 4.74
----------------------------------------------------------------------
Distributions
Distributions from Net Investment Income (0.32) (0.34) (0.32) (0.34) (0.37)
Distributions from Realized Capital Gains (2.12) (1.16) (0.47) (0.81) (1.23)
------ ------ ------ ------ ------
Total Distributions (2.44) (1.50) (0.79) (1.15) (1.60)
----------------------------------------------------------------------
Net Asset Value, End of Period $33.58 30.56 $27.20 $21.32 $18.20
=================================================================================================================
Total Return* 17.95% 17.92% 31.42% 22.02% 31.75%
=================================================================================================================
Ratio/Supplemental Data
Net Assets, End of Period (000s Omitted) $1,098,330 $833,174 $590,135 $232,841 $102,138
Ratio of Expenses to Average Net Assets** 0.60% 0.60% 0.61% 0.65% 0.65%
Ratio of Net Investment Income to Average
Net Assets 0.99% 1.17% 1.39% 1.78% 2.28%
Portfolio Turnover Rate 20.13% 17.69% 20.39% 40.55% 57.80%
=================================================================================================================
</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
Year Ended December 31
<S> <C> <C> <C> <C> <C>
(For a share outstanding throughout the period): 1999 1998 1997 1996 1995
Net Asset Value, Beginning of Period $22.19 $18.85 $14.60 $12.51 $9.97
------ ------ ------ ------ ------
Income from Investment Operations
Net Investment Income*** 0.02 0.06 0.07 0.13 0.14
Net Realized and Unrealized Gain (Loss)
on Investments 5.55 3.87 4.52 2.55 2.91
------ ------ ------ ------ ------
Total from Investment Operations 5.57 3.93 4.59 2.68 3.05
-----------------------------------------------------------------------
Distributions
Distributions from Net Investment Income (0.02) (0.06) (0.07) (0.13) (0.14)
Distributions from Realized Capital Gains (2.15) (0.53) (0.27) (0.46) (0.37)
------ ------ ------ ------ ------
Total Distributions (2.17) (0.59) (0.34) (0.59) (0.51)
-----------------------------------------------------------------------
Net Asset Value, End of Period $25.59 $22.19 $18.85 $14.60 $12.51
=================================================================================================================
Total Return* 25.19% 20.90% 31.57% 21.44% 30.75%
=================================================================================================================
Ratio/Supplemental Data
Net Assets, End of Period (000s Omitted) $839,134 $630,373 $456,194 $98,674 $38,117
Ratio of Expenses to Average Net Assets** 0.80% 0.80% 0.82% 0.65% 0.65%
Ratio of Net Investment Income to Average
Net Assets 0.10% 0.31% 0.70% 0.96% 1.37%
Portfolio Turnover Rate 38.38% 18.67% 17.06% 49.77% 61.32%
=================================================================================================================
</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
Period Ended December 31
(For a share outstanding throughout the period) 1999(1)
Net Asset Value, Beginning of Period $10.00
------
Income from Investment Operations
Net Investment Income**** 0.03
Net Realized and Unrealized Gain (Loss)
on Investments 1.34
------
Total from Investment Operations 1.37
-------------------------
Distributions
Distributions from Net Investment Income (0.02)
Distributions from Realized Capital Gains (0.20)
------
Total Distributions (0.22)
-------------------------
Net Asset Value, End of Period $11.15
==================================================================
Total Return* 13.68%**
==================================================================
Ratio/Supplemental Data
Net Assets, End of Period (000s Omitted) $26,479
Ratio of Expenses to Average Net Assets 1.00%***
Ratio of Net Investment Income to Average
Net Assets 0.39%***
Portfolio Turnover Rate 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.
1 Commenced 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 December 31, 1999, 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.
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 year
ended December 31, 1999, were as follows:
<TABLE>
<CAPTION>
U.S. Government Securities Other Investment Securities
Purchases Sales Purchases Sales
<S> <C> <C> <C> <C>
Bond $1,030,877,899 $1,051,193,309 $635,645,166 $584,851,515
Balanced 778,554,812 725,040,919 663,094,171 640,791,920
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 December 31, 1999, 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 year ended December 31, 1999, the Fund made
no direct payments to its officers and paid trustees' fees of approximately
$15,830 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 years ended December
31, 1999 and 1998, 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, 1997 41,170,152 184,138 17,909,312 18,199,350 21,692,803 24,200,359
Shares sold 45,266,764 732 2,875,932 5,517,500 4,697,780 3,603,822
Reinvestment dividend
shares2,249,736 - 1,167,465 676,936 1,286,801 750,154
Shares repurchased (32,270,164) - (353,989) (375,123) (413,009) (142,237)
__________ ________ _________ _________ _________ _________
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 shares3,095,292 - 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
========== ========== ========== ========== ========== ========== ==========
</TABLE>
*Commenced operations May 1, 1999.
<PAGE>
ULTRA SERIES FUND
Officers and Trustees
TRUSTEES
Gwendolyn M. Boeke Lawrence R. Halverson
Michael S. Daubs Keith S. Noah
Alfred L. Disrud Thomas C. Watt
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
<PAGE>
ULTRA SERIES FUND
Report of Independent Accountants
To the Board of Trustees and Shareholders
Ultra Series Fund, Inc.
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Money Market Fund, Treasury
2000 Fund, Bond Fund, Balanced Fund, Growth and Income Stock Fund, Capital
Appreciation Stock Fund and Mid-Cap Stock Fund (constituting the Ultra Series
Fund, Inc., hereafter referred to as the "Fund") at December 31, 1999, the
results of each of their operations, the changes in each of their net assets
and the financial highlights for the year then ended (since commencement of
operations May 1, 1999 for the Mid-Cap Stock Fund), in conformity accounting
principles generally accepted in the United States. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audit. We conducted our audit
of these financial statements in accordance with auditing standards generally
accepted in the United States, which require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation.
We believe that our audit, which included confirmation of securities at December
31, 1999 by correspondence with the custodian and brokers, provides a reasonable
basis for the opinion expressed above. The financial statements of the Fund for
the year ended December 31, 1998, including the financial highlights for each
of the four years in the period then ended, were audited by other independent
accountants whose report dated February 5, 1999 expressed an unqualified opinion
on those statements.
PricewaterhouseCoopers LLP
Milwaukee, Wisconsin
February 11, 2000
<PAGE>
Other Information
Change of Independent Accountants
On June 14, 1999, KPMG LLP resigned as independent accountants for the Ultra
Series Fund (the "Fund"), CUNA Mutual Life Variable Annuity Account and CUNA
Mutual Life Variable Account. KPMG's reports for the Fund, CUNA Mutual Life
Variable Annuity Account and CUNA Mutual Life Variable Account financial
statements for the past two years have not contained any adverse opinion or
disclaimer of opinion and have not been qualified as to uncertainty, audit
scope or accounting principles. In addition there have not been any
disagreements with KPMG during the two most recent fiscal years on any matter of
accounting principles or practices, financial statement disclosure, or
auditing scope or procedure which, if not resolved to the satisfaction of KPMG,
would have caused it to make a reference to the subject matter of the
disagreement in connection with its reports. The Fund's board of trustees,
upon the recommendation of the audit committee, appointed PricewaterhouseCoopers
LLP as independent accountants for the Fund on June 15, 1999, for the 1999
fiscal year. The board of directors of CUNA Mutual Life Insurance Company
appointed PricewaterhouseCoopers LLP as independent accountants for the CUNA
Mutual Life Variable Annuity Account and CUNA Mutual Life Variable Account
on May 13, 1999, pending KPMG's resignation, for the 1999 fiscal year.
