<PAGE> 1
NASL SERIES TRUST
PRESIDENT'S MESSAGE
- --------------------------------------------------------------------------------
Dear Fellow Venture Owners:
It is my pleasure to report to Venture Annuity and Venture Life ("Venture")
contract owners the results of operations for 1995. The following audited
financial statements of NASL Series Trust (the "Trust"), the mutual fund in
which your contract values are invested, reflect the results of operations for
the year ended December 31, 1995. During 1995, total net assets of the Trust
grew from $3.81 billion at December 31, 1994 to $5.13 billion at December 31,
1995. This was a 35% increase in net assets for the year, reflecting the
continued success of NASL Series Trust.
In 1995 we announced the merger of our parent company, North American Life
Assurance Company, Toronto, and Manufacturers Life Insurance Company (Manulife
Financial), Toronto. The merger effective January 1, 1996, creates a stronger
capital position and establishes us as one of the largest life insurance
companies in North America, as well as one of the largest writers of variable
life and variable annuities in the U.S.
Nineteen ninety-five was also a year of spectacular returns for financial
markets. Lower interest rates coupled with extraordinary corporate earnings
fueled the market to record highs. The biggest surprise was the strength of
corporate earnings in the face of moderate economic growth. U.S. companies have
become very efficient and competitive in the global marketplace. The U.S.
investment environment (stocks and bonds) remains one of the world's most
attractive from both a fundamental and valuation perspective.
Wellington Management Company, manager of our Growth and Income, Investment
Quality Bond and Money Market portfolios, anticipates for 1996 a moderate
economic growth combined with benign inflation. While corporate earnings should
still be positive, the heady levels experienced in 1995 should slow. The pace of
economic growth may slow and even feel like a recession at times; however, this
should allow the Federal Reserve ("the Fed") to increase liquidity through lower
interest rates. The Fed's actions should be positive for both stocks and bonds.
On the following pages, you will find an analysis of each Trust's 1995
performance. Please take a few minutes to review this important information.
As with all long-term financial investments, it is important to focus on
achieving long-term goals instead of the short-term ups and downs of the
markets. Venture is designed to help you achieve your long-term investment goals
by promoting a diversified investment strategy with multiple investment
managers, offering you the power of choice when planning for your future.
The Venture investment management team stands out among others because all seven
of its investment managers have been chosen to manage portfolios compatible with
their special area of expertise. In this way, Venture investors enjoy
specialized, professional management in each individual portfolio. Our
impressive money management team consists of Goldman Sachs Asset Management,
Oechsle International Advisors, L.P., Salomon Brothers Asset Management Inc,
Fidelity Management Trust Company, Roger Engemann Management Co., Inc.,
Wellington Management Company and J.P. Morgan Investment Management Inc.
We are confident in knowing that our first-rate investment management combined
with our state-of-the-art contract benefits and options provide you with a solid
template for your financial future. We are also continually striving to
introduce innovative ways to provide our valuable customers with superior
service. Venture is the first variable annuity to provide updated performance
figures and unit value data via the World Wide Web. For those of you who have
access to the World Wide Web, our site is located at http://www.nasl.com.
If you have any questions regarding your Venture annuity, our Teleservices
Representatives await your call at 1-800-344-1029, Monday through Friday 8:00
a.m. to 8:00 p.m. Eastern Standard Time. To access account values, unit values
and fixed rate information 24 hours a day, seven days a week, call our automated
services number at 1-800-557-2223. For Venture Life contractholders, our
Teleservices Representatives await your call at 1-800-600-3814, Monday through
Friday 8:00 a.m. to 5:00 p.m. Eastern Standard Time.
We truly appreciate and thank you for entrusting Venture with your investment
needs and we look forward to serving you in the future.
Sincerely,
William J. Atherton
President
<PAGE> 2
<TABLE>
NASL SERIES TRUST
FINANCIAL STATEMENTS
--------------------------------------------------------------------------------------------------
<CAPTION>
Page
----
<S> <C>
Fund Performance and Portfolio Manager's Commentary......................... iii
Results of Special Meeting of Shareholders.................................. xvii
Report of Independent Accountants........................................... 1
Statements of Assets and Liabilities........................................ 2
Statements of Operations.................................................... 5
Statements of Changes in Net Assets......................................... 8
Financial Highlights........................................................ 12
Portfolio of Investments:
Global Equity Trust.................................................. 26
Pasadena Growth Trust................................................ 28
Equity Trust......................................................... 30
Value Equity Trust................................................... 35
Growth and Income Trust.............................................. 36
International Growth and Income Trust................................ 38
Strategic Bond Trust................................................. 43
Global Government Bond Trust......................................... 45
Investment Quality Bond Trust........................................ 46
U.S. Government Securities Trust..................................... 48
Money Market Trust................................................... 49
Aggressive, Moderate and Conservative Asset Allocation Trusts........ 51
Notes to Financial Statements............................................... 75
</TABLE>
ii
<PAGE> 3
NASL SERIES TRUST
FUND PERFORMANCE AND PORTFOLIO MANAGER'S COMMENTARY
-------------------------------------------------------------------------------
TRUST PERFORMANCE
In the following pages we have set forth information regarding the performance
of each portfolio of the NASL Series Trust (the "Trust"), excluding the Money
Market Trust. There are several ways to evaluate a portfolio's historical
performance. One can look at the total percentage change in value, the average
annual percentage change or the growth of a hypothetical $10,000 investment.
WITH RESPECT TO ALL PERFORMANCE INFORMATION PRESENTED, IT IS IMPORTANT TO
UNDERSTAND THAT PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. RETURN AND
PRINCIPAL FLUCTUATE, AND SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN
THEIR ORIGINAL COST.
PERFORMANCE TABLES
The Performance Tables show two types of total return information: CUMULATIVE
AND AVERAGE ANNUAL TOTAL RETURNS. A CUMULATIVE TOTAL RETURN is an expression of
a portfolio's total change in share value in percentage terms over a set period
of time -- one, five and ten years (or since the portfolio's inception if less
than the applicable period). An AVERAGE ANNUAL TOTAL RETURN takes the
portfolio's cumulative total return for a time period greater than one year and
shows what would have happened if the portfolio had performed at a constant rate
each year. In addition, for the five portfolios that were in existence prior to
the change in portfolio management assignments in December 1991, namely the
Equity, U.S. Government Securities, Aggressive Asset Allocation, Moderate Asset
Allocation and Conservative Asset Allocation Trusts, the tables show an average
annual total return for the period since the current portfolio manager assumed
responsibility. THE TABLES SHOW ALL CUMULATIVE AND AVERAGE ANNUAL TOTAL RETURNS,
NET OF FEES AND EXPENSES OF THE TRUST, BUT DO NOT REFLECT THE INSURANCE
(SEPARATE ACCOUNT) EXPENSES (INCLUDING A POSSIBLE CONTINGENT DEFERRED SALES
CHARGE) OF THE VARIABLE ANNUITY AND VARIABLE LIFE PRODUCTS THAT INVEST IN THE
TRUST.
GRAPH -- CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
The performance graph for each portfolio shows the change in value of a $10,000
investment over the life of each portfolio. Each portfolio's performance is
compared with the performance of one or more broad-based securities indices as a
"benchmark." All performance information includes the reinvestment of dividends
and capital gain distributions, as well as the deduction of ongoing management
fees and fund operating expenses. The benchmarks used for comparison are
unmanaged and include reinvestment of dividends and capital gain distributions,
if any, but do not reflect any fees or expenses. Portfolios that invest in
multiple asset classes are compared with a customized benchmark. This benchmark
is comprised of a set percentage allocation from each of the asset classes in
which the portfolio invests.
PORTFOLIO MANAGER'S COMMENTARY
Finally, we have provided a commentary by each portfolio manager regarding each
portfolio's performance during the fiscal year ended December 31, 1995.
iii
<PAGE> 4
<TABLE>
GLOBAL EQUITY TRUST
<S> <C>
INVESTMENT OBJECTIVE: To seek-long term capital appreciation, by investing primarily in a globally diversified
portfolio of common stocks and securities convertible into or exercisable for equity securities.
PORTFOLIO MANAGER: Oechsle International Advisors, L.P.
INCEPTION DATE: March 18, 1988
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
LOGO
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since
Periods Ending December 31, 1995 1 Year 5 Years Inception 5 Years Inception
<S> <C> <C> <C> <C> <C>
Morgan Stanley Capital International (MSCI) World
Index* 21.30% 12.34% 8.94% 78.91% 94.23%
Global Equity Trust (at net asset value) 7.68% 10.27% 8.07% 63.03% 83.01%
<FN>
* All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
</TABLE>
PORTFOLIO MANAGER'S COMMENTARY
This has been a roller coaster year for global equity markets. The level of
volatility in individual markets has been high and quite unusual. This has
masked some highly satisfying returns over the longer term.
The Global Equity Trust's largest weighting has been and continues to be Japan.
During 1995, equity markets experienced a reversal in sentiment. While the
portfolio benefited significantly from the outperformance of Japanese equities
in the prior year, the decline in this market limited performance of the
portfolio during the most recent twelve month period. The economic, political,
financial and currency concerns that caused the recent poor performance of this
market are now being seriously addressed by local authorities, and this is
having a positive impact on the stock market. We expect this trend to continue.
We have believed for the past year that consensus expectations for growth among
the major European economies were too optimistic and that they would have to be
downgraded as time passed. At this stage, we expect there will be more positive
government action to counter the slowdown, mainly in the form of lower short
term interest rates. We are not anticipating aggressive restimulation programs,
though, because of the concerns over budget deficits in most European countries
and the need to bring them down in line with European Monetary Unit
prerequisites. While the overall economic environment may appear lackluster,
there are many profitable investment opportunities. The portfolio continues to
be diversified on both a country and industry basis. The companies in the
portfolio represent solid fundamental values with above average earnings
potential over the next several years.
iv
<PAGE> 5
<TABLE>
PASADENA GROWTH TRUST
<S> <C>
INVESTMENT OBJECTIVE: To seek long-term growth of capital by emphasizing investments in companies with rapidly growing
earnings per share, some of which may be smaller emerging growth companies.
PORTFOLIO MANAGER: Roger Engemann Management Co., Inc.
INCEPTION DATE: December 11, 1992
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
LOGO
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since
Periods Ending December 31, 1995 1 Year Inception Inception
<S> <C> <C> <C>
S&P 500* 37.43% 15.26% 53.13%
Pasadena Growth Trust (at net asset value) 26.53% 4.70% 15.07%
<FN>
* All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
</TABLE>
PORTFOLIO MANAGER'S COMMENTARY
The Pasadena Growth Trust posted a good return for the year, with most of the
portfolio's core holdings performing well. Fear that the slowing economy would
cause companies to report earnings shortfalls led investors to steady growth
companies. Among the strong portfolio performers in this area were Philip
Morris, McDonald's, Pepsi, Coca Cola and Gillette. The portfolio also had sharp
gains in its healthcare holdings as fears of threatened regulatory efforts
subsided, and investors embraced this sector. Lower interest rates and
consolidation in banking enabled Wells Fargo, First Interstate, Fannie Mae, and
Freddie Mac to reach new highs. In the small cap portion of the Trust, strong
performers included Idexx Laboratories, Maxim Integrated Products and Stratacom.
Some of these gains were offset somewhat as several companies in this portion of
the portfolio proved to be disappointments, including Avid Technology and Best
Buy.
Two factors restrained the portfolio's progress in 1995. First, the portfolio
was negatively affected by its holdings in the retail sector. We believe the
retail environment will remain extremely competitive in the near term and have
sold under performing retailers, including Toys R Us, Brinker International and
Lowe's. Second, the portfolio was under represented in technology stocks for
most of the year, which was one of the market's strongest sectors last year.
Going into 1996, many of the attributes which contributed to 1995's strong
market are still in place. 1996 is expected to be the fifth consecutive year
with inflation below 3 percent. We believe that low inflation and a slowing
economy should provide impetus for the Federal Reserve to continue to lower
interest rates. Finally, while investor sentiment is leaning towards earnings
growth slowing for the average company in the S&P 500, we believe that the
earnings growth of the companies in the portfolio will remain consistent. As a
result, we are excited about 1996 because it is in this type of environment that
the steady growth companies found in the portfolio should shine.
v
<PAGE> 6
<TABLE>
EQUITY TRUST
<S> <C>
INVESTMENT OBJECTIVE: To seek growth of capital by investing primarily in common stocks of United States issuers and
securities convertible into or carrying the right to buy stocks.
PORTFOLIO MANAGER: Fidelity Management Trust Company
INCEPTION DATE: June 18, 1985*
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES.
LOGO
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since* Since
Periods Ending December 31, 1995 1 Year 5 Years 10 Years Inception December 13, 1991 5 Years 10 Years Inception
<S> <C> <C> <C> <C> <C> <C> <C> <C>
S&P 500** 37.43% 16.57% 14.84% 15.37% 16.06% 115.25% 299.09% 348.70%
Equity Trust (at net asset value) 42.79% 16.03% 13.73% 13.90% 15.98% 110.29% 262.12% 294.33%
<FN>
* Current portfolio manager assignment became effective 12/13/91.
** All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
</TABLE>
PORTFOLIO MANAGER'S COMMENTARY
In 1995, the Equity Trust finished the year with a 42.79% return, compared to
37.43% for the S&P 500 and 39.92% for the NASDAQ Composite. Although technology
holdings gave back some gains in the fourth quarter, they were strong
contributors to performance for the year. Financial, pharmaceutical and
telecommunications equipment positions were also among the portfolio's best
performing sectors. Over the intermediate term, we believe that interest rates
will be flat to down, and that companies with good earnings potential will do
well. The portfolio invests in companies with strong product cycles--companies
producing a product that customers want, when customers want it. Small changes
in interest rates do not profoundly affect the companies which the portfolio
owns. As always, earnings growth potential drives our selection process.
Valuations appear reasonable as long as the economy moves along at a slow,
steady pace.
vi
<PAGE> 7
<TABLE>
VALUE EQUITY TRUST
<S> <C>
INVESTMENT OBJECTIVE: To seek long-term growth of capital by investing primarily in common stocks and securities
convertible into or carrying the right to buy common stocks.
PORTFOLIO MANAGER: Goldman Sachs Asset Management
INCEPTION DATE: February 19, 1993
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
LOGO
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since
Periods Ending December 31, 1995 1 Year Inception Inception
<S> <C> <C> <C>
S&P 500* 37.43% 15.39% 50.00%
Value Equity Trust (at net asset value) 23.69% 12.75% 41.00%
<FN>
* All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
</TABLE>
PORTFOLIO MANAGER'S COMMENTARY
In 1995, the Value Equity Trust had a total return of 23.69%. This compares with
a total return of 37.43% for the S&P 500.
The Federal Reserve's current policy of neutrality which began at the end of
1994 helped propel the stock market to record highs. As corporate profit growth
accelerated in the beginning of the year and as inflation remained in check,
growth stocks took off. Even so, the portfolio underperformed the benchmark.
This underperformance is attributable to two primary factors. First, as the name
implies, the portfolio uses a value-oriented approach and value stocks did not
perform as well as growth stocks. Second, for most of the period, the portfolio
was heavily oriented towards cyclical stocks. The capital spending, basic
industry, and consumer cyclical sectors had represented as much as 36% of the
portfolio against a market weighting of 22%. Retailers and specialty retailers
were over-represented. Neither of these sectors performed well during 1995 due
to the resurfacing of recession fears.
As always, the portfolio remains a value driven portfolio in which we seek out
companies that are inexpensive relative to our estimates for future earnings.
Positive returns this year were aided by stock selection, specifically Citicorp
(which reached our target price and was sold), Philip Morris, J.C. Penney, and
AT&T.
During the fourth quarter, we completed a repositioning of the portfolio that
began during the third quarter. We believe that the portfolio is still well
positioned for a rebound in the consumer services sector and, more generally, a
stronger than expected U.S. economy over the coming months.
vii
<PAGE> 8
<TABLE>
GROWTH & INCOME TRUST
<S> <C>
INVESTMENT OBJECTIVE: To seek long-term growth of capital and income, consistent with prudent investment risk, by
investing primarily in a diversified portfolio of common stocks of United States issuers which
the portfolio manager believes are of high quality.
PORTFOLIO MANAGER: Wellington Management Company
INCEPTION DATE: April 23, 1991
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
LOGO
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total
Return Cumulative Total Return
Since Since
Periods Ending December 31, 1995 1 Year Inception Inception
<S> <C> <C> <C>
S&P 500* 37.43% 14.40% 87.37%
Growth & Income Trust (at net asset value) 29.20% 13.06% 77.90%
<FN>
* All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
</TABLE>
PORTFOLIO MANAGER'S COMMENTARY
The domestic stock market advanced strongly during 1995 as productivity-driven
earnings gains and declining interest rates sustained investor enthusiasm.
Within this environment of a rising market, there was considerable group
rotation. For example, electronics stocks led the market rise early in 1995,
only to correct sharply in the fourth quarter. Cyclical stocks, such as
industrials and chemicals, generally underperformed in the last part of the
year, as it became apparent the economy was decelerating. Financial stocks
retained a leadership position throughout most of the year buoyed by falling
interest rates and industry consolidation. Consumer staple and drug stocks also
attracted investors as the economy showed more signs of slowing. Finally,
Internet-related stocks skyrocketed during 1995 as speculative investors focused
on this rapidly growing phenomenon.
The Growth and Income Trust underperformed the market for the period with a net
asset value total return of 29.20% compared to 37.43% for the S&P 500 Index
Composite. Portfolio holdings in economically-sensitive areas, such as paper,
autos, and chemicals, were the primary source of relative underperformance. We
believe most of these stocks now reflect the weak near-term outlook and offer
the potential for improved performance with upward earnings revisions in 1996.
Similarly, an underweighting in consumer staples which benefit from a slowing
economic environment limited relative returns. Finally, a decline in
communications equipment stocks also limited comparative performance, while
portfolio investments in health care, financials, and technology tended to add
to overall results.
viii
<PAGE> 9
<TABLE>
INTERNATIONAL GROWTH AND INCOME TRUST
<S> <C>
INVESTMENT OBJECTIVE: To seek long-term growth of capital and income by investing, under normal circumstances, at
least 65% of its total assets in equity securities of foreign issuers. The portfolio may also
invest in debt securities of corporate or sovereign issuers rated A or higher by Moody's or S&P
or, if unrated, of equivalent credit quality as determined by J.P. Morgan. Under normal
circumstances, the portfolio will be invested approximately 85% in equity securities and 15% in
fixed income securities.
PORTFOLIO MANAGER: J.P. Morgan Investment Management, Inc.
INCEPTION DATE: January 9, 1995
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
LOGO
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Cumulative Total Return
Since
Periods Ending December 31, 1995 Inception
<S> <C>
Morgan Stanley Capital International (MSCI) EAFE* 11.55%
Salomon Brothers Non-US Dollar Bond Index* 21.38%
Customized Benchmark*+ 13.03%
International Growth and Income Trust (at net asset value) 6.98%
<FN>
* All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
+ Comprised of 85% of the return of the MSCI EAFE and 15% of the return of the
Salomon Brothers Non-US Dollar Bond Index.
</TABLE>
PORTFOLIO MANAGER'S COMMENTARY
Both international equity and fixed income markets began the year on a turbulent
note, with bonds coming off a difficult 1994 and equities confronting the
devaluation of the Mexican peso along with the prolonged recession in Japan.
However, as the year progressed, international equity and fixed income returns
improved on slowing economic growth, lower interest rates and benign inflation
levels. Despite the improvement, international equity market performance was
overshadowed this year by the impressive returns of U.S. stocks over the same
period. We have been moderately overweighted in Japan since inception, as
Japanese equities have appeared consistently undervalued over most of the past
year. Although this decision detracted from the International Growth and Income
Trust's equity performance in the first half, and for the year as a whole, the
portfolio's overweighting in Japan helped results in the second half of 1995 as
the yen weakened and the stock market rallied to post a 4% gain for the year.
1995 was a much better year than 1994 for international bond investors. The
portfolio's fixed income returns were slightly below the Salomon Brothers
Non-U.S. Dollar Bond Index, and were largely the result of underweighting
Japanese government bonds earlier in the year. However, positions in core
European bond markets provided a consistent yield advantage as European bonds
continued to rally and were helpful to the portfolio's overall results.
ix
<PAGE> 10
<TABLE>
STRATEGIC BOND TRUST
<S> <C>
INVESTMENT OBJECTIVE: To seek a high level of total return consistent with preservation of capital by giving its
portfolio manager broad discretion to deploy the Trust's assets among certain segments of the
fixed-income market as the portfolio manager believes will best contribute to achievement of the
Trust's investment objective.
PORTFOLIO MANAGER: Salomon Brothers Asset Management Inc
INCEPTION DATE: February 19, 1993
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
LOGO
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total
Return Cumulative Total Return
Since Since
Periods Ending December 31, 1995 1 Year Inception Inception
<S> <C> <C> <C>
Lehman Brothers Aggregate Bond Index* 18.48% 7.19% 21.73%
Strategic Bond Trust (at net asset value) 19.22% 7.17% 21.94%
<FN>
* All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
</TABLE>
PORTFOLIO MANAGER'S COMMENTARY
The U.S. fixed income markets staged an impressive rally during 1995, supported
by signs of economic weakness and an overall shift in investor sentiment that
the Federal Reserve's next move would be to ease short term interest rates.
During the year, the Strategic Bond Trust allocated its assets among U.S.
Investment Grade, International Government, U.S. High Yield and Emerging Markets
Debt sectors. The heaviest weighting was given to the U.S. High Yield sector as
improvement in credit fundamentals and near record flows into mutual funds
continued to provide strong support for this sector. The Strategic Bond Trust
also maintained approximately a 22% allocation to the emerging debt market
sector for most of the year. The emerging debt markets did trade off in the
early part of the year due to the reaction to the Mexican peso devaluation.
However, the market rebounded as the outlook for sovereign risk improved and
better technical factors ensued. During the year, Poland's debt was awarded an
investment grade rating marking a positive contribution to the portfolio. We
continue to believe that this sector offers attractive long term total return
opportunities. For the international investments, the portfolio maintained an
underweighting in Japanese government bonds and an overweighting in German
government bonds. The non-dollar positions continue to be hedged to minimize
currency risk. We believe that prospects for growth for both Japan and Europe
will be below trend over the next six months. In addition, we expect the German
Bundesbank to ease its rates in the next several months. Finally, the U.S.
Investment Grade sector also provided a positive contribution to the portfolio
as Treasuries rallied through out the year. Low inflation and declining interest
rates contributed to the overall positive returns for the fixed income markets.
On a net asset value basis, the portfolio posted a 19.22% return for the one
year period versus 18.48% for the Lehman Brothers Aggregate Bond Index.
x
<PAGE> 11
<TABLE>
GLOBAL GOVERNMENT BOND TRUST
<S> <C>
INVESTMENT OBJECTIVE: To seek a high level of total return by placing primary emphasis on high current income and the
preservation of capital, by investing primarily in a global portfolio of high-quality,
fixed-income securities of foreign and United States governmental entities and supranational
issuers.
PORTFOLIO MANAGER: Oechsle International Advisors, L.P.
INCEPTION DATE: March 18, 1988
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
LOGO
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since
Periods Ending December 31, 1995 1 Year 5 Years Inception 5 Years Inception
<S> <C> <C> <C> <C> <C>
Salomon World Government Bond Index* 19.04% 11.02% 9.46% 68.66% 101.41%
Global Government Bond Trust (at net asset value) 23.18% 10.36% 9.13% 63.69% 97.59%
<FN>
* All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
</TABLE>
PORTFOLIO MANAGER'S COMMENTARY
Financial markets will remember the year 1995 as the year of the Kobe
earthquake, nerve gas attacks on the Tokyo subway, the U.S. Dollar's
early-spring free fall and late-summer recovery, the soft landing in the U.S.,
the Japanese banking crisis, the Quebec Referendum, the 1995 U.S. budget deal
that didn't happen in 1995, strikes in France, and a spectacular year for
international bond investments.
In early 1995, market participants were too pessimistic when it came to bond
markets and inflation, but too optimistic with regards to economic growth. At
the end of December 1994, an upward shift in the yield curve was priced in, in
all major markets, however rates actually decreased rather than increased.
In 1995, market participants also believed in a strengthening U.S. Dollar. The
consensus as of mid-December 1994 expected the Deutsch Mark in a year's time to
be at 1.61, and the Japanese Yen to be at 104.50 in U.S. Dollars. The Deutsch
Mark dropped in March to 1.35, and staggered on to end the year at 1.43, far
from its expected consensus forecast. The Yen meanwhile, followed a similar
pattern early in the year, bottoming at around 80 in April. But heavy
interventions by the Bank of Japan (sometimes supported by the Federal Reserve
and the German Bundesbank) managed to support the Dollar so that it could end
the year versus the Yen at 102.92, close to its anticipated level.
The misassessment of inflation, economic growth and a strong Dollar provided
excellent opportunities for incremental returns for global bond investors. We
remain positive for global and international bonds as an asset class, and
believe that the bull market trend which began in the early 1990's is still
intact. If economies fail to grow at an above trend rate and if inflation is
kept under control the market might be pleasantly surprised as to how much
further rates could fall.
Therefore our strategy for now is to remain overweight in the Dollar-bloc and
European high yielding markets, and to hold no Japanese bonds at an unattractive
yield of 3.08% as of January 18, 1996.
xi
<PAGE> 12
<TABLE>
INVESTMENT QUALITY BOND TRUST
<S> <C>
INVESTMENT OBJECTIVE: To seek a high level of current income consistent with the maintenance of principal and
liquidity, by investing primarily in a diversified portfolio of investment grade corporate bonds
and U.S. Government bonds with intermediate to longer term maturities. Up to 20% of the Trust's
assets may be invested in below investment grade debt securities.
PORTFOLIO MANAGER: Wellington Management Company
INCEPTION DATE: April 23, 1991
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
LOGO
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since
Periods Ending December 31, 1995 1 Year Inception Inception
<S> <C> <C> <C>
Customized Benchmark*+ 20.27% 10.00% 56.01%
Lehman Brothers (LB) Aggregate Bond Index* 18.48% 9.29% 51.35%
Investment Quality Bond Trust (at net asset value) 19.49% 9.46% 52.86%
<FN>
* All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
+ Customized Benchmark is comprised of 50% of the return of the Lehman Brothers
Government Bond Index and 50% of the return of the Lehman Brothers Corporate
Bond Index.
</TABLE>
PORTFOLIO MANAGER'S COMMENTARY
The bond market was boosted in 1995 by the optimal combination of a weakening
economy, low inflation, and growing optimism regarding federal budgetary
restraint. The Federal Reserve began to reverse course from its tight policy in
1994 by easing twice during the year, and interest rates fell by more than 2.00
percentage points (200 basis points) across all maturities. In fact, for much of
the year, most Treasuries traded at yields below the prevailing overnight repo
rate, a strong indication that bond investors expect the weak economy to stay
weak and the Fed to have much easing work ahead of it. For the year, the
Investment Quality Bond Trust had a net asset value return of 19.49% compared to
18.48% for the Lehman Brothers Aggregate Bond Index. Portfolio performance
benefited during the year from the modestly longer average maturity or duration
of its bonds relative to the broad market index. Investment grade corporates,
despite starting off the year offering a very narrow yield advantage over
Treasuries, still managed to be the best performing sector (largely since they
have the longest duration of any sector), while mortgages, as one should expect
during a period of sharply falling interest rates, lagged as refinancing fears
resurfaced. The portfolio's modest exposure to high yield was uneventful as the
high yield sector performed in line with the Lehman Brothers Aggregate Bond
Index.
xii
<PAGE> 13
<TABLE>
U.S. GOVERNMENT SECURITIES TRUST
<S> <C>
INVESTMENT OBJECTIVE: To seek a high level of current income consistent with preservation of capital and maintenance
of liquidity by investing in debt obligations and mortgage-backed securities issued or
guaranteed by the U.S. Government, its agencies or instrumentalities and derivative securities
such as collateralized mortgage obligations backed by such securities.
PORTFOLIO MANAGER: Salomon Brothers Asset Management Inc
INCEPTION DATE: May 1, 1989*
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
LOGO
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since* Since
Periods Ending December 31, 1995 1 Year 5 Years Inception December 13, 1991 5 Years Inception
<S> <C> <C> <C> <C> <C> <C>
Merrill Lynch 1-10yr Gov't** 14.59% 8.23% 9.03% 7.48% 48.53% 77.94%
U.S. Gov't Securities Trust (at net asset
value) 15.57% 8.26% 8.54% 7.13% 48.74% 72.75%
<FN>
* Current portfolio manager assignment became effective 12/13/91.
** All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
</TABLE>
PORTFOLIO MANAGER'S COMMENTARY
The U.S. fixed income markets staged an impressive rally during 1995, supported
by signs of economic weakness and an overall shift in investor sentiment that
the Federal Reserve's next move would be to ease short term interest rates. As
the year began, we lengthened the U.S. Government Securities Trust's average
duration and concentrated maturities in the intermediate portion of the yield
curve (bullet structure) to participate in the rally. We also reduced the
exposure to mortgage securities to protect the fund from prepayments resulting
from increased refinancing activity. Moving into the second half of the year, we
shifted to a neutral duration position as economic indicators revealed that a
recession threat was subsiding. The portfolio decreased its holdings of CMOs and
agency debentures as spreads on those securities tightened. Proceeds from the
liquidations were invested into Treasury Bills and discount 15 year
pass-throughs. On a net asset value basis, the portfolio posted a 15.57% return
for the one year period versus 14.59% for the Merrill Lynch 1-10 Year Government
Index. We expect some steepening of the yield curve over the next several months
and continue to favor a bullet structure for the portfolio to take advantage of
this. We remain optimistic about further Fed easing over the next six months.
xiii
<PAGE> 14
<TABLE>
AGGRESSIVE ASSET ALLOCATION TRUST
<S> <C>
INVESTMENT OBJECTIVE: To seek the highest total return consistent with an aggressive level of risk tolerance. The
Trust attempts to limit the decline in portfolio value in very adverse market conditions to 15%
over any twelve month period.
PORTFOLIO MANAGER: Fidelity Management Trust Company
INCEPTION DATE: August 3, 1989*
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
LOGO
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since* Since
Periods Ending December 31, 1995 1 Year 5 Years Inception December 13, 1991 5 Years Inception
<S> <C> <C> <C> <C> <C> <C>
Wilshire 5000** 36.48% 17.29% 12.58% 16.04% 121.96% 113.85%
Morgan Stanley International EAFE Index** 11.55% 9.71% 3.86% 10.19% 58.91% 27.52%
Lehman Brothers (LB) Aggregate Bond
Index** 18.48% 9.48% 9.21% 8.51% 57.27% 75.97%
90 Day T-Bill** 5.81% 4.54% 5.33% 4.19% 24.84% 39.56%
Merrill Lynch High Yield Index** 19.91% 17.17% 12.02% 13.22% 120.84% 107.21%
Customized Benchmark**+ 23.79% 13.16% 11.39% 12.16% 85.58% 99.76%
Aggressive Asset Allocation Trust
(at net asset value) 22.77% 12.35% 8.02% 11.22% 78.98% 63.97%
<FN>
* Current portfolio manager assignment became effective 12/13/91.
** All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
+ Customized Benchmark is comprised of 47.5% of the return of the Wilshire
5000, 20% of the MSCI EAFE Index, 15% of the return of the Lehman Brothers
Aggregate Index, 10% of the return of the 90 Day T-Bill, and 7.5% of the
return of the Merrill Lynch High Yield Index.
</TABLE>
PORTFOLIO MANAGER'S COMMENTARY
1995 turned out to be an exceptional year for U.S. equity and bond markets.
Equity markets, led by financial, drug and technology sectors, returned 36.48%
(Wilshire 5000 Index). The bond market returned 18.48% (Lehman Brothers
Aggregate Bond Index), helped by a moderate pace of economic growth with low
inflation. Major slow downs in Western Europe and Japan contributed to the
relatively low return of 11.55% for international equities (EAFE Index).
Overall, the performance of the U.S. market in 1995 was opposite of 1994's
performance. The diversifying structure of the Aggressive Asset Allocation Trust
was successful in both minimizing the downside in 1994 and providing competitive
returns in 1995. The portfolio returned 22.77% for the year ended December 31,
1995. The portfolio's slight overweighing in international equities relative to
it's customized benchmark detracted slightly from the portfolio's relative
performance. In 1996, we believe that the U.S. economy, buoyed by low interest
rates, will continue to chug along at a positive, yet somewhat sluggish pace.
The presidential election and budget negotiations will add short term volatility
to both the equity and bond markets. The central banks in Germany and Japan
lowered interest rates very aggressively in 1995 to counter an economic slow
down. As a result, we think the condition of their respective economies will
improve in 1996. Overall, as of early 1996, international equities are very
competitively valued versus U.S. equities.
xiv
<PAGE> 15
<TABLE>
MODERATE ASSET ALLOCATION TRUST
<S> <C>
INVESTMENT OBJECTIVE: To seek the highest total return consistent with a conservative level of risk tolerance. This
Trust attempts to limit the decline in portfolio value in very adverse market conditions to 10%
over any twelve month period.
PORTFOLIO MANAGER: Fidelity Management Trust Company
INCEPTION DATE: August 3, 1989*
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
LOGO
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since* Since
Periods Ending December 31, 1995 1 Year 5 Years Inception December 13, 1991 5 Years Inception
<S> <C> <C> <C> <C> <C> <C>
Wilshire 5000** 36.48% 17.29% 12.58% 16.04% 121.96% 113.85%
Morgan Stanley International EAFE Index** 11.55% 9.71% 3.86% 10.19% 58.91% 27.52%
Lehman Brothers (LB) Aggregate Bond
Index** 18.48% 9.48% 9.21% 8.51% 57.27% 75.97%
90 Day T-Bill** 5.81% 4.54% 5.33% 4.19% 24.84% 39.56%
Merrill Lynch High Yield Index** 19.91% 17.17% 12.02% 13.22% 120.84% 107.21%
Customized Benchmark**+ 21.56% 11.90% 10.90% 10.88% 75.42% 94.18%
Moderate Asset Allocation Trust
(at net asset value) 20.68% 11.40% 7.75% 10.08% 71.57% 61.37%
<FN>
* Current portfolio manager assignment became effective 12/13/91.
** All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
+ Customized Benchmark comprised of 32.5% of the return of the Wilshire 5000,
10% of the return of the MSCI EAFE Index, 40% of the return of the Lehman
Brothers Aggregate Index, 10% of the return of the 90 Day T-Bill, and 7.5% of
the return of the Merrill Lynch High Yield Index.
</TABLE>
PORTFOLIO MANAGER'S COMMENTARY
1995 turned out to be an exceptional year for U.S. equity and bond markets.
Equity markets, led by financial, drug and technology sectors, returned 36.48%
(Wilshire 5000 Index). The bond market returned 18.48% (Lehman Brothers
Aggregate Bond Index), helped by a moderate pace of economic growth with low
inflation. Major slow downs in Western Europe and Japan contributed to the
relatively low return of 11.55% for international equities (EAFE Index).
Overall, the performance of the U.S. market in 1995 was opposite of 1994's
performance. The diversifying structure of the Moderate Asset Allocation Trust
was successful in both minimizing the downside in 1994 and providing competitive
returns in 1995. The portfolio returned 20.68% for the year ended December 31,
1995. The portfolio's slight overweighing in international equities relative to
its customized benchmark detracted slightly from the portfolio's relative
performance. In 1996, we believe that the U.S. economy, buoyed by low interest
rates, will continue to chug along at a positive, yet somewhat sluggish pace.
The presidential election and budget negotiations will add short term volatility
to both the equity and bond markets. The central banks in Germany and Japan
lowered interest rates very aggressively in 1995 to counter an economic slow
down. As a result, we think the condition of their respective economies will
improve in 1996. Overall, as of early 1996, international equities are very
competitively valued versus U.S. equities.
xv
<PAGE> 16
<TABLE>
CONSERVATIVE ASSET ALLOCATION TRUST
<S> <C>
INVESTMENT OBJECTIVE: To seek the highest total return consistent with a conservative level of risk tolerance. This
Trust attempts to limit the decline in portfolio value in very adverse market conditions to 5%
over any twelve month period.
PORTFOLIO MANAGER: Fidelity Management Trust Company
INCEPTION DATE: August 3, 1989*
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
LOGO
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since* Since
Periods Ending December 31, 1995 1 Year 5 Years Inception December 13, 1991 5 Years Inception
<S> <C> <C> <C> <C> <C> <C>
Wilshire 5000** 36.48% 17.29% 12.58% 16.04% 121.96% 113.85%
Morgan Stanley International EAFE Index** 11.55% 9.71% 3.86% 10.19% 58.91% 27.52%
Lehman Brothers (LB) Aggregate Bond
Index** 18.48% 9.48% 9.21% 8.51% 57.27% 75.97%
90 Day T-Bill** 5.81% 4.54% 5.33% 4.19% 24.84% 39.56%
Customized Benchmark**+ 18.22% 10.19% 10.03% 9.26% 62.46% 84.66%
Conservative Asset Allocation Trust
(at net asset value) 18.07% 10.01% 7.25% 8.63% 61.12% 56.64%
<FN>
* Current portfolio manager assignment became effective 12/13/91.
** All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
+ Customized Benchmark is comprised of 20% of the return of the Wilshire 5000,
5% of the return of the MSCI EAFE Index, 50% of the return of the Lehman
Brothers Aggregate Index, and 25% of the return of the 90 Day T-Bill.
</TABLE>
PORTFOLIO MANAGER'S COMMENTARY
1995 turned out to be an exceptional year for U.S. equity and bond markets.
Equity markets, led by financial, drug and technology sectors, returned 36.48%
(Wilshire 5000 Index). The bond market returned 18.48% (Lehman Brothers
Aggregate Bond Index), helped by a moderate pace of economic growth with low
inflation. Major slow downs in Western Europe and Japan contributed to the
relatively low return of 11.55% for international equities (EAFE Index).
Overall, the performance of the U.S. market in 1995 was opposite of 1994's
performance. The diversifying structure of the Conservative Asset Allocation
Trust was successful in both minimizing the downside in 1994 and providing
competitive returns in 1995. The portfolio returned 18.07% for the year ended
December 31, 1995. The portfolio's slight overweighing in international equities
relative to it's customized benchmark detracted slightly from the portfolio's
relative performance. In 1996, we believe that the U.S. economy, buoyed by low
interest rates, will continue to chug along at a positive, yet somewhat sluggish
pace. The presidential election and budget negotiations will add short term
volatility to both the equity and bond markets. The central banks in Germany and
Japan lowered interest rates very aggressively in 1995 to counter an economic
slow down. As a result, we think the condition of their respective economies
will improve in 1996. Overall, as of early 1996, international equities are very
competitively valued versus U.S. equities.
xvi
<PAGE> 17
RESULTS OF SPECIAL MEETING OF SHAREHOLDERS
- --------------------------------------------------------------------------------
<TABLE>
On December 5, 1995 a Special Meeting of Shareholders of the NASL Series
Trust was held for the purpose of considering and voting upon:
<CAPTION>
<S> <C>
Proposal 1 Election of Samuel Hoar as Trustee of the Trust;
- ----------
Proposal 2 Approval of a new investment advisory agreement between the
- ---------- Trust and NASL Financial Services, Inc., the Trust's investment
adviser (the "Adviser") on substantially identical terms as the
current agreement;
Proposal 3 Approval of new subadvisory agreements between the Adviser
- ---------- and each of the Subadvisers that perform subadvisory services for
the portfolios of the Trust, in each case on substantially
identical terms as the current agreement (shareholders of each
portfolio will vote on the subadvisory agreement applicable to
such portfolio);
Proposal 4 Approval of a new subadvisory consulting agreement for the
- ---------- Strategic Bond Trust between Salomon Brothers Asset Management Inc
and Salomon Brothers Asset Management Limited, on substantially
identical terms as the current agreement (only shareholders of the
Strategic Bond Trust will vote on this proposal);
Proposal 5 Approval of an amendment to the fundamental investment
- ---------- restriction of the Trust regarding borrowing to permit each
portfolio of the Trust to borrow (i) for temporary or emergency
purposes (not for leveraging) in an amount up to 33 1/3% of its
assets and (ii) in connection with reverse repurchase agreements,
mortgage dollar rolls and similar transactions;
Proposal 6 Approval of an amendment to the fundamental investment
- ---------- restriction of the Trust regarding lending to permit each
portfolio of the Trust to increase the amount of securities that
may be lent from 20% to 33 1/3% of the value of its total assets;
Proposal 7 Ratification of selection of the Trust's independent accountants
- ---------- (no change in the Trust's independent accountants is proposed).
</TABLE>
<TABLE>
At the meeting, all proposals were approved by shareholders of each portfolio.
The number of votes cast FOR or AGAINST or which ABSTAINED from voting is set
forth below for each proposal:
<CAPTION>
SHARES
----------- ----------------------------------
PORTFOLIO FOR VOTE WITHHELD
----------- --------------- ----------------
<S> <C> <C>
PROPOSAL 1
----------
All Series of the Trust 333,247,727 13,573,931
</TABLE>
<TABLE>
<CAPTION>
SHARES
----------- ----------------------------------------------------
PORTFOLIO FOR AGAINST ABSTAINED
----------- --------------- ---------------- ---------------
<S> <C> <C> C>
PROPOSAL 2
----------
Global Equity 37,138,442 915,501 1,839,535
Pasadena Growth 20,458,884 425,009 1,466,840
Equity 41,332,803 974,010 2,168,057
Value Equity 24,801,766 386,093 1,499,991
Growth and Income 35,638,064 579,910 1,970,982
International Growth and Income 5,443,395 128,970 263,344
Strategic Bond 9,462,758 169,225 463,305
Global Government Bond 15,559,493 254,682 754,345
Investment Quality Bond 10,391,629 217,706 498,375
U.S. Government Securities 15,478,545 399,646 684,907
Money Market 23,413,907 714,452 1,281,206
Aggressive Asset Allocation 15,484,103 306,231 1,080,328
Moderate Asset Allocation 49,047,648 1,204,834 2,783,380
Conservative Asset Allocation 18,243,539 212,384 1,283,434
</TABLE>
xvii
<PAGE> 18
RESULTS OF SPECIAL MEETING OF SHAREHOLDERS - CONTINUED
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES
----------- ----------------------------------------------------
PORTFOLIO FOR AGAINST ABSTAINED
----------- --------------- ---------------- ---------------
<S> <C> <C> <C>
PROPOSAL 3
----------
Global Equity 36,931,211 966,489 1,995,778
Pasadena Growth 20,318,086 498,933 1,533,714
Equity 41,140,760 1,009,079 2,325,031
Value Equity 24,718,113 447,382 1,522,355
Growth and Income 35,565,966 585,320 2,037,670
International Growth and Income 5,389,607 154,126 291,976
Strategic Bond 9,425,427 181,280 488,581
Global Government Bond 15,505,256 258,561 804,703
Investment Quality Bond 10,348,788 242,188 516,734
U.S. Government Securities 15,473,861 398,576 690,661
Money Market 23,336,943 738,984 1,333,638
Aggressive Asset Allocation 15,358,581 352,084 1,159,997
Moderate Asset Allocation 48,838,907 1,264,474 2,932,481
Conservative Asset Allocation 18,154,358 291,792 1,293,207
PROPOSAL 4
----------
Strategic Bond 9,381,009 200,461 513,818
PROPOSAL 5
----------
Global Equity 35,204,980 2,547,132 2,141,366
Pasadena Growth 19,674,510 1,150,039 1,526,184
Equity 39,531,388 2,557,211 2,386,271
Value Equity 23,866,743 1,347,041 1,474,066
Growth and Income 34,155,634 1,928,632 2,104,690
International Growth and Income 5,240,688 308,191 236,830
Strategic Bond 9,174,513 400,467 520,308
Global Government Bond 14,965,193 778,117 825,210
Investment Quality Bond 10,152,339 442,947 512,424
U.S. Government Securities 15,052,737 866,080 644,281
Money Market 22,514,897 1,606,357 1,288,311
Aggressive Asset Allocation 14,829,977 853,696 1,186,989
Moderate Asset Allocation 46,735,486 3,261,001 3,039,375
Conservative Asset Allocation 17,317,854 1,054,360 1,367,143
PROPOSAL 6
----------
Global Equity 35,405,916 2,408,551 2,079,011
Pasadena Growth 19,673,514 1,166,366 1,510,853
Equity 39,434,715 2,679,400 2,360,755
Value Equity 23,807,238 1,421,173 1,459,439
Growth and Income 34,195,365 1,895,017 2,098,574
International Growth and Income 5,312,786 282,479 240,444
Strategic Bond 9,187,037 409,391 498,860
Global Government Bond 14,954,618 796,747 817,155
Investment Quality Bond 10,183,839 416,278 507,593
U.S. Government Securities 15,003,593 913,338 646,167
Money Market 22,595,877 1,522,289 1,291,399
Aggressive Asset Allocation 14,885,882 832,458 1,152,322
Moderate Asset Allocation 46,896,029 3,113,828 3,026,005
Conservative Asset Allocation 17,351,022 972,821 1,415,514
PROPOSAL 7
----------
All Series of the Trust 326,341,602 3,928,178 16,551,878
</TABLE>
xviii
<PAGE> 19
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Board of Trustees and Shareholders of NASL Series Trust:
We have audited the accompanying statements of assets and liabilities of
NASL Series Trust (comprising, respectively, the Global Equity, Pasadena
Growth, Equity, Value Equity, Growth and Income, International Growth and
Income, Strategic Bond, Global Government Bond, Investment Quality Bond,
U.S. Government Securities, Money Market and Aggressive, Moderate and
Conservative Asset Allocation Trusts), including the portfolio of
investments, as of December 31, 1995, and the related statements of
operations, the statements of changes in net assets and the financial
highlights for each of the periods indicated therein. These financial
statements and financial highlights are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements and the financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audits to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
securities owned as of December 31, 1995 by correspondence with the
custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentations. We believe that
our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the Trusts comprising NASL Series Trust as of December 31, 1995, and
the results of their operations, the changes in their net assets and the
financial highlights for each of the periods indicated therein, in
conformity with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
February 15, 1996
1
<PAGE> 20
<TABLE>
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GLOBAL PASADENA VALUE GROWTH AND
EQUITY GROWTH EQUITY EQUITY INCOME
TRUST TRUST TRUST TRUST TRUST
------------ ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at value* (Includes repurchase
agreements of $100,188,000 and $43,932,000 in the
Equity and Value Equity Trusts, respectively) (See
accompanying portfolio of investments) ................ $641,380,864 $277,336,287 $976,065,248 $395,072,032 $671,637,979
Receivable for forward foreign currency contracts to sell
(Notes 2 and 8) ....................................... 61,469,216 -- -- -- --
Forward foreign currency contracts to buy, at value
(Cost: $695,035 and $754,098 in the Global Equity
and Equity Trusts, respectively) (Notes 2 and 8) ..... 691,930 -- 750,008 -- --
Cash .................................................... 720 523 436 979 80
Foreign currency (Cost: $3,360,167 and $12,691 in
the Global Equity and Growth and Income Trusts,
respectively) ........................................ 3,363,884 -- -- -- 12,446
Receivables:
Investments sold .................................. 179,026 -- 12,352,489 2,482,291 --
Fund shares sold .................................. 3,115,242 23,627 622,018 679,814 --
Dividends ......................................... 746,923 361,811 1,177,702 493,226 1,482,685
Interest .......................................... 3,043 8,810 41,745 21,051 290,650
Foreign tax withholding reclaims .................. 295,928 2,860 -- -- --
Deferred organization expenses (Note 2) ................. -- 3,901 -- 4,284 3,982
Other assets ............................................ 6,862 2,420 8,285 3,357 5,639
------------ ------------ ------------ ------------ ------------
Total assets ................................ 711,253,638 277,740,239 991,017,931 398,757,034 673,433,461
------------ ------------ ------------ ------------ ------------
LIABILITIES
Forward foreign currency contracts to sell, at value
(Cost: $61,469,216) (Notes 2 and 8) ................... 61,343,070 -- -- -- --
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 8) ................................. 695,035 -- 754,098 -- --
Investments purchased ............................. 691,930 22,266 1,327,519 1,878,666 --
Fund shares redeemed .............................. 113 37 199 118 3,936,441
Dividend and interest withholding tax ............. 48,554 4,741 5,389 -- 28,124
Custodian fee ..................................... 245,614 21,979 63,554 27,494 41,799
Due to custodian .................................. -- -- 8,744 -- --
Other accrued expenses ............................ 46,684 17,023 58,223 24,200 39,853
------------ ------------ ------------ ------------ ------------
Total liabilities ........................... 63,071,000 66,046 2,217,726 1,930,478 4,046,217
------------ ------------ ------------ ------------ ------------
NET ASSETS .............................................. $648,182,638 $277,674,193 $988,800,205 $396,826,556 $669,387,244
============ ============ ============ ============ ============
Net assets consist of:
Accumulated undistributed net investment income
(Note 2) ........................................ $ 11,144,253 $ 908,877 $ 4,695,040 $ 5,009,152 $ 11,667,389
Accumulated undistributed net realized gain
(loss) on investments ........................... (17,623,479) (10,560,793) 95,984,414 25,890,743 15,781,628
Unrealized appreciation (depreciation) on:
Investments .................................... 60,373,069 50,433,536 165,527,270 29,865,194 121,037,410
Foreign currency and forward foreign currency
contracts .................................... 131,742 -- (583) -- 585
Capital shares at par value of $.01 (Note 4) ...... 402,496 243,632 475,620 287,336 408,931
Additional paid-in capital ........................ 593,754,557 236,648,941 722,118,444 335,774,131 520,491,301
------------ ------------ ------------ ------------ ------------
Net assets .................................. $648,182,638 $277,674,193 $988,800,205 $396,826,556 $669,387,244
============ ============ ============ ============ ============
Capital shares outstanding (Note 4) ..................... 40,249,612 24,363,208 47,562,040 28,733,585 40,893,098
------------ ------------ ------------ ------------ ------------
Net asset value, offering price and redemption price
per share ......................................... $ 16.10 $ 11.40 $ 20.79 $ 13.81 $ 16.37
============ ============ ============ ============ ============
<FN>
*Investments in securities, at identified cost (Note 2) . $581,007,795 $226,902,751 $810,537,978 $365,206,838 $550,600,569
============ ============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE> 21
<TABLE>
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
INTERNATIONAL GLOBAL INVESTMENT U.S.
GROWTH AND STRATEGIC GOVERNMENT QUALITY GOVERNMENT
INCOME BOND BOND BOND SECURITIES
TRUST TRUST TRUST TRUST TRUST
------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at value* (Includes a repurchase
agreement of $44,490,000 in the U.S. Government
Securities Trust) (See accompanying portfolio of
investments) ........................................... $ 87,198,943 $124,924,833 $227,153,803 $142,715,378 $256,049,772
Receivable for forward foreign currency contracts to sell
(Notes 2 and 8) ........................................ 17,464,735 25,190,430 37,531,659 -- --
Forward foreign currency contracts to buy, at value
(Cost: $3,978,000, $12,176,927 and $27,021,808 in
the International Growth and Income, Strategic Bond
and Global Government Bond Trusts, respectively)
(Notes 2 and 8) ........................................ 3,894,573 12,240,348 26,955,123 -- --
Cash ..................................................... 586 2,778 438 809 183
Foreign currency (Cost: $1,313,615, $74,923 and
$980,292 in the International Growth and Income,
Strategic Bond and Global Government Bond Trusts,
respectively) .......................................... 1,309,544 68,838 981,243 -- --
Receivables:
Investments sold ................................... 155,214 289,844 -- -- 10,063,542
Fund shares sold ................................... 321,297 272,483 1,295,000 474,391 1,346,586
Dividends .......................................... 93,761 3,200 -- -- --
Interest ........................................... 146,235 2,661,951 5,418,631 2,466,906 3,027,603
Foreign tax withholding reclaims ................... 72,170 11,073 37,352 -- --
Deferred organization expenses (Note 2) .................. 9,531 6,427 -- -- --
Other assets ............................................. 1,477 1,041 2,355 1,227 2,075
------------ ------------ ------------ ------------ ------------
Total assets .................................. 110,668,066 165,673,246 299,375,604 145,658,711 270,489,761
------------ ------------ ------------ ------------ ------------
LIABILITIES
Forward foreign currency contracts to sell, at value
(Cost: $17,464,735, $25,190,430 and $37,531,659 in
the International Growth and Income, Strategic Bond
and Global Government Bond Trusts, respectively)
(Notes 2 and 8) ........................................ 17,104,645 25,352,278 36,899,027 -- --
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 8) .................................. 3,978,000 12,176,927 27,021,808 -- --
Investments purchased .............................. 830,745 5,381,312 -- 2,524,479 53,664,033
Fund shares redeemed ............................... -- 39 50 32 51
Dividend and interest withholding tax .............. 13,897 910 121,343 544 --
Custodian fee ...................................... 102,745 48,059 72,711 21,015 20,337
Other accrued expenses ............................. -- 8,180 17,731 10,037 16,921
Deferred mortgage dollar roll income ..................... -- 1,365 -- -- --
------------ ------------ ------------ ------------ ------------
Total liabilities ............................. 22,030,032 42,969,070 64,132,670 2,556,107 53,701,342
------------ ------------ ------------ ------------ ------------
NET ASSETS ............................................... $ 88,638,034 $122,704,176 $235,242,934 $143,102,604 $216,788,419
============ ============ ============ ============ ============
Net assets consist of :
Accumulated undistributed net investment
income (loss) (Note 2) ........................... ($70,205) $ 10,644,655 $ 20,496,692 $ 8,478,262 $ 12,847,931
Accumulated undistributed net realized gain (loss)
on investments ................................... (233,834) (3,633,638) (7,654,732) (4,660,721) (2,689,400)
Unrealized appreciation (depreciation) on:
Investments ................................... 2,485,964 2,064,219 11,626,147 8,108,959 4,786,681
Foreign currency and forward foreign currency
contracts ................................... 267,627 (103,335) 602,685 -- --
Capital shares at par value of $.01 (Note 4) ....... 84,621 108,985 161,601 116,180 158,806
Additional paid-in capital ......................... 86,103,861 113,623,290 210,010,541 131,059,924 201,684,401
------------ ------------ ------------ ------------ ------------
Net assets .................................... $ 88,638,034 $122,704,176 $235,242,934 $143,102,604 $216,788,419
============ ============ ============ ============ ============
Capital shares outstanding (Note 4) ...................... 8,462,125 10,898,515 16,160,125 11,618,055 15,880,625
------------ ------------ ------------ ------------ ------------
Net asset value, offering price and redemption price
per share .......................................... $ 10.47 $ 11.26 $ 14.56 $ 12.32 $ 13.65
============ ============ ============ ============ ============
<FN>
*Investments in securities, at identified cost (Note 2) .. $ 84,712,979 $122,860,614 $215,527,656 $134,606,419 $251,263,091
============ ============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE> 22
<TABLE>
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1995
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
MONEY ASSET ASSET ASSET
MARKET ALLOCATION ALLOCATION ALLOCATION
TRUST TRUST TRUST TRUST
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
ASSETS
Investments in securities at value* (Includes a repurchase
agreement of $28,289,000 in the Conservative Asset
Allocation Trust) (See accompanying portfolio of
investments) ........................................... $258,581,602 $211,255,251 $648,772,669 $224,247,646
Cash ..................................................... 701 45 19 666
Foreign currency (Cost: $668,359, $1,374,374 and
$173,662 in the Aggressive, Moderate and Conservative
Asset Allocation Trusts, respectively) ................. -- 670,983 1,380,451 174,353
Receivables:
Investments sold .................................... -- 5,676,891 13,635,978 2,792,279
Variation margin for open futures contracts ........ -- -- -- 274
Dividends .......................................... -- 224,167 465,505 91,168
Interest ........................................... 446,107 811,153 5,078,193 2,193,821
Foreign tax withholding reclaims ................... -- 33,216 62,604 10,128
Other assets ............................................. 2,865 2,058 6,508 2,247
------------ ------------ ------------ ------------
Total assets .............................. 259,031,275 218,673,764 669,401,927 229,512,582
------------ ------------ ------------ ------------
LIABILITIES
Payables:
Investments purchased .............................. -- 6,451,236 18,628,439 4,673,692
Variation margin for open futures contracts ........ -- 8,211 18,437 2,100
Fund shares redeemed ............................... 877,850 360,587 425,485 361,305
Dividend and interest withholding tax .............. -- 8,711 25,288 4,892
Custodian fee ...................................... 17,052 71,415 116,078 62,164
Other accrued expenses ............................. 19,410 16,652 52,063 18,429
------------ ------------ ------------ ------------
Total liabilities ......................... 914,312 6,916,812 19,265,790 5,122,582
------------ ------------ ------------ ------------
NET ASSETS ............................................... $258,116,963 $211,756,952 $650,136,137 $224,390,000
============ ============ ============ ============
Net assets consist of :
Accumulated undistributed net investment
income (Note 2) .................................. -- $ 5,427,633 $ 26,460,562 $ 10,622,367
Accumulated undistributed net realized gain
on investments ................................... -- 10,450,155 26,127,969 2,923,461
Unrealized appreciation on:
Investments ................................... -- 25,134,308 59,137,555 14,724,168
Futures contracts ............................. -- 182,187 369,218 61,996
Foreign currency and forward foreign currency
contracts ................................... -- 1,759 4,594 462
Capital shares at par value of $.01 (Note 4) ....... $ 258,117 164,844 524,617 193,632
Additional paid-in capital ......................... 257,858,846 170,396,066 537,511,622 195,863,914
------------ ------------ ------------ ------------
Net assets ......................................... $258,116,963 $211,756,952 $650,136,137 $224,390,000
============ ============ ============ ============
Capital shares outstanding (Note 4) ...................... 25,811,696 16,484,402 52,461,719 19,363,198
------------ ------------ ------------ ------------
Net asset value, offering price and redemption price
per share .......................................... $ 10.00 $ 12.85 $ 12.39 $ 11.59
============ ============ ============ ============
*Investments in securities, at identified cost (Note 2) .. $258,581,602 $186,120,943 $589,635,114 $209,523,478
============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE> 23
<TABLE>
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE YEAR ENDED DECEMBER 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GLOBAL PASADENA VALUE GROWTH AND
EQUITY GROWTH EQUITY EQUITY INCOME
TRUST TRUST TRUST TRUST TRUST
----------- ----------- ------------ ----------- -----------
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest (Net of $1,035 withholding tax in the
Equity Trust) ....................................... $ 891,167 $ 696,239 $ 2,722,339 $ 3,046,996 $ 1,545,025
Dividends (Net of $1,014,252, $25,871, $34,217,
$4,543 and $169,439 withholding tax in the Global
Equity, Pasadena Growth, Equity, Value Equity
and Growth and Income Trusts, respectively) ......... 9,309,807 2,328,072 8,022,622 4,568,101 14,278,070
----------- ----------- ------------ ----------- ------------
Total income ..................................... 10,200,974 3,024,311 10,744,961 7,615,097 15,823,095
----------- ----------- ------------ ----------- ------------
Expenses:
Investment adviser fee (Note 6) ....................... 5,513,312 2,115,434 5,643,363 2,459,247 3,922,671
Custodian fee ......................................... 785,264 74,896 252,762 86,085 129,943
Audit and legal fees .................................. 83,433 29,420 101,513 40,856 70,047
Amortization of deferred organization expenses
(Note 2) ............................................ -- 2,000 -- 2,000 14,983
Trustees fees and expenses (Note 7) ................... 21,687 7,971 27,892 11,364 19,050
Miscellaneous ......................................... 49,554 4,726 16,087 6,393 11,805
----------- ----------- ------------ ----------- ------------
Expenses before reimbursement by
subadviser (Note 6) ............................... 6,453,250 2,234,447 6,041,617 2,605,945 4,168,499
Reimbursement of expenses by subadviser ............. -- 119,013 -- -- --
----------- ----------- ------------ ----------- ------------
Net expenses ..................................... 6,453,250 2,115,434 6,041,617 2,605,945 4,168,499
----------- ----------- ------------ ----------- ------------
Net investment income ............................ 3,747,724 908,877 4,703,344 5,009,152 11,654,596
----------- ----------- ------------ ----------- ------------
Realized and unrealized gain (loss) on investments and
foreign currency:
Net realized gain (loss) on:
Investment transactions .......................... (14,280,171) (2,374,757) 103,448,333 25,890,743 15,108,131
Foreign currency and forward foreign
currency contracts ............................. 7,051,110 -- (319,018) -- 686,290
Change in unrealized appreciation (depreciation) on:
Investments ...................................... 48,700,520 49,321,341 142,487,931 29,918,641 103,848,140
Translation of foreign currency and
forward foreign currency contracts ............. 156,091 -- (1,045) -- 1,588
----------- ----------- ------------ ----------- ------------
Net gain on investments and
foreign currency .................................... 41,627,550 46,946,584 245,616,201 55,809,384 119,644,149
----------- ----------- ------------ ----------- ------------
Net increase in net assets resulting
from operations ................................ $45,375,274 $47,855,461 $250,319,545 $60,818,536 $131,298,745
=========== =========== ============ =========== ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE> 24
<TABLE>
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE YEAR ENDED DECEMBER 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
INTERNATIONAL GLOBAL INVESTMENT U.S.
GROWTH AND STRATEGIC GOVERNMENT QUALITY GOVERNMENT
INCOME BOND BOND BOND SECURITIES
TRUST * TRUST TRUST TRUST TRUST
------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest (Net of $2,498, $7,132, $219,802 and
$544 withholding tax in the International Growth
and Income, Strategic Bond, Global Government
Bond and Investment Quality Bond Trusts,
respectively) .................................... $ 344,831 $ 9,588,869 $17,051,448 $ 9,389,063 $14,251,650
Dividends (Net of $102,758 withholding tax in the
International Growth and Income Trust) ............. 689,974 -- -- -- --
---------- ----------- ----------- ----------- -----------
Total income .................................. 1,034,805 9,588,869 17,051,448 9,389,063 14,251,650
Expenses:
Investment adviser fee (Note 6) .................... 450,200 767,448 1,757,909 798,045 1,291,668
Custodian fee ...................................... 202,978 122,909 236,109 77,646 73,716
Audit and legal fees ............................... 9,464 13,950 32,342 18,173 30,850
Amortization of deferred organization expenses
(Note 2) ......................................... 3,100 3,000 -- -- --
Trustees fees and expenses (Note 7) ................ 3,478 3,585 7,854 4,698 7,431
Miscellaneous ...................................... 27,065 2,966 12,523 4,284 5,273
---------- ----------- ----------- ----------- -----------
Total expenses ................................ 696,285 913,858 2,046,737 902,846 1,408,938
---------- ----------- ----------- ----------- -----------
Net investment income ......................... 338,520 8,675,011 15,004,711 8,486,217 12,842,712
---------- ----------- ----------- ----------- -----------
Realized and unrealized gain (loss) on investments and
foreign currency:
Net realized gain (loss) on:
Investment transactions ....................... 1,781,900 653,754 3,183,386 934,173 6,615,440
Foreign currency and forward foreign
currency contracts .......................... (549,770) 827,091 5,204,326 -- --
Change in unrealized appreciation (depreciation) on:
Investments ................................... 2,485,964 7,494,670 21,692,894 12,443,229 9,054,850
Translation of foreign currency and
forward foreign currency contracts ......... 267,627 (60,522) 662,786 -- --
---------- ----------- ----------- ----------- -----------
Net gain on investments and
foreign currency ................................. 3,985,721 8,914,993 30,743,392 13,377,402 15,670,290
---------- ----------- ----------- ----------- -----------
Net increase in net assets resulting
from operations ............................. $4,324,241 $17,590,004 $45,748,103 $21,863,619 $28,513,002
========== =========== =========== =========== ===========
<FN>
* For the period January 9, 1995 (commencement of operations) to December 31,
1995.
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE> 25
<TABLE>
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE YEAR ENDED DECEMBER 31, 1995
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
MONEY ASSET ASSET ASSET
MARKET ALLOCATION ALLOCATION ALLOCATION
TRUST TRUST TRUST TRUST
----------- ----------- ------------ ------------
<S> <C> <C> <C> <C>
Investment Income:
Interest (Net of $1,020, $10,807 and $2,724
withholding tax in the Aggressive, Moderate and
Conservative Asset Allocation Trusts, respectively) $15,862,051 $ 4,557,825 $ 25,112,904 $11,016,349
Dividends (Net of $130,512, $283,361 and $39,594
withholding tax in the Aggressive, Moderate and
Conservative Asset Allocation Trusts, respectively) -- 2,609,671 5,596,929 1,117,122
----------- ----------- ------------ -----------
Total income ................................... 15,862,051 7,167,496 30,709,833 12,133,471
Expenses:
Investment adviser fee (Note 6) ..................... 1,318,573 1,463,421 4,667,061 1,639,903
Custodian fee ....................................... 52,444 269,362 434,383 213,781
Audit and legal fees ................................ 35,918 29,273 93,532 33,581
Trustees fees and expenses (Note 7) ................. 9,424 7,033 22,306 7,834
Miscellaneous ....................................... 7,222 5,486 17,954 6,235
----------- ----------- ------------ -----------
Total expenses ................................. 1,423,581 1,774,575 5,235,236 1,901,334
----------- ----------- ------------ -----------
Net investment income .......................... 14,438,470 5,392,921 25,474,597 10,232,137
----------- ----------- ------------ -----------
Realized and unrealized gain (loss) on investments and
foreign currency:
Net realized gain (loss) on:
Investment transactions ........................ -- 10,182,865 23,729,858 8,403,516
Futures contracts .............................. (1,726,285) (3,962,742) (658,525)
Foreign currency and forward foreign
currency contracts ........................... -- 1,938,306 7,845,216 727,483
Change in unrealized appreciation (depreciation) on:
Investments .................................... -- 23,406,053 62,959,219 17,450,440
Futures contracts .............................. 371,422 782,113 129,261
Translation of foreign currency and
forward foreign currency contracts ........... -- (10,764) (71,271) (34,355)
----------- ----------- ------------ -----------
Net gain on investments, futures and
foreign currency .................................. -- 34,161,597 91,282,393 26,017,820
----------- ----------- ------------ -----------
Net increase in net assets resulting
from operations .............................. $14,438,470 $39,554,518 $116,756,990 $36,249,957
=========== =========== ============ ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
7
<PAGE> 26
<TABLE>
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GLOBAL PASADENA VALUE
EQUITY TRUST GROWTH TRUST EQUITY TRUST EQUITY TRUST
------------------------- ------------------------- ------------------------- -------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
12/31/95 12/31/94 12/31/95 12/31/94 12/31/95 12/31/94 12/31/95 12/31/94
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income... $ 3,747,724 $ 2,412,913 $ 908,877 $ 834,112 $ 4,703,344 $ 4,079,883 $ 5,009,152 $ 1,721,862
Net realized gain
(loss) on:
Investment
transactions......... (14,280,171) 27,723,033 (2,374,757) (6,205,010) 103,448,333 (5,142,011) 25,890,743 2,091,517
Foreign currency and
forward foreign
currency contracts... 7,051,110 (3,297,130) -- -- (319,018) 12,970 -- --
Change in unrealized
appreciation
(depreciation) on:
Investments........... 48,700,520 (30,879,531) 49,321,341 (746,806) 142,487,931 (2,473,332) 29,918,641 (5,044,529)
Foreign currency and
forward foreign
currency contracts... 156,091 29,893 -- -- (1,045) 462 -- --
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in
net assets resulting from
operations.............. 45,375,274 (4,010,822) 47,855,461 (6,117,704) 250,319,545 (3,522,028) 60,818,536 (1,231,150)
Distribution to
shareholders from:
Net investment income... (2,969,604) (677,274) (834,112) (520,348) (4,092,853) (1,293,216) (1,721,862) (499,620)
Net realized gains on
investments and foreign
currency transactions.. (27,013,345) (7,076,483) -- -- -- (21,652,190) (2,091,517) (262,345)
Increase in net assets
from capital share
transactions (Note 4).... 16,652,433 250,031,306 78,926,143 53,398,858 208,011,562 173,187,168 117,986,065 137,356,061
------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------
Increase in net assets..... 32,044,758 238,266,727 125,947,492 46,760,806 454,238,254 146,719,734 174,991,222 135,362,946
Net assets at beginning
of period................ 616,137,880 377,871,153 151,726,702 104,965,896 534,561,951 387,842,217 221,835,334 86,472,388
Net assets at end
of period................ $648,182,638 $616,137,880 $277,674,194 $151,726,702 $988,800,205 $534,561,951 $396,826,556 $221,835,334
============ ============ ============ ============ ============ ============ ============ ============
Accumulated undistributed
net investment income.... $ 11,144,253 $ 2,412,913 $ 908,877 $ 834,112 $ 4,695,040 $ 4,079,883 $ 5,009,152 $ 1,721,862
============ ============ ============ ============ ============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
8
<PAGE> 27
<TABLE>
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL GLOBAL
GROWTH AND GROWTH AND STRATEGIC GOVERNMENT
INCOME TRUST INCOME TRUST BOND TRUST BOND TRUST
-------------------------- ------------ ------------------------ -------------------------
YEAR YEAR 01/09/95* YEAR YEAR YEAR YEAR
ENDED ENDED TO ENDED ENDED ENDED ENDED
12/31/95 12/31/94 12/31/95 12/31/95 12/31/94 12/31/95 12/31/94
------------ ------------ ----------- ------------ ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income.... $ 11,654,596 $ 8,554,134 $ 338,520 $ 8,675,011 $ 5,682,980 $ 15,004,711 $ 13,288,441
Net realized gain
(loss) on:
Investment
transactions.......... 15,108,131 4,449,869 1,781,900 653,754 (2,356,585) 3,183,386 (15,161,567)
Foreign currency and
forward foreign
currency contracts.... 686,290 (4,973) (549,770) 827,091 (2,128,445) 5,204,326 2,805,755
Change in unrealized
appreciation
(depreciation) on:
Investments............ 103,848,140 (4,089,736) 2,485,964 7,494,670 (5,649,435) 21,692,894 (14,313,961)
Foreign currency and
forward foreign
currency contracts.... 1,588 (1,002) 267,627 (60,522) (138,382) 662,786 (252,058)
------------ ------------ ----------- ------------ ----------- ------------ ------------
Net increase (decrease) in
net assets resulting from
operations............... 131,298,745 8,908,292 4,324,241 17,590,004 (4,589,867) 45,748,103 (13,633,390)
Distribution to
shareholders from:
Net investment income.... (8,549,161) (4,722,494) (998,757) (4,125,434) (1,838,642) (11,483,093) (4,984,315)
Net realized gains on
investments and foreign
currency transactions... (4,313,653) (4,429,956) (875,932) -- (291,974) -- (6,059,984)
Increase in net assets
from capital share
transactions (Note 4)..... 141,416,968 121,013,774 86,188,482 24,806,640 37,513,081 (7,534,746) 36,373,364
------------ ------------ ----------- ------------ ----------- ------------ ------------
Increase in net assets...... 259,852,899 120,769,616 88,638,034 38,271,210 30,792,598 26,730,264 11,695,675
Net assets at beginning
of period................. 409,534,345 288,764,729 -- 84,432,966 53,640,368 208,512,670 196,816,995
------------ ------------ ----------- ------------ ----------- ------------ ------------
Net assets at end
of period................. $669,387,244 $409,534,345 $88,638,034 $122,704,176 $84,432,966 $235,242,934 $208,512,670
============ ============ =========== ============ =========== ============ ============
Accumulated undistributed
net investment income
(loss)................... $ 11,667,389 $ 8,554,134 $(70,205) $ 10,644,655 $ 5,682,980 $ 20,496,692 $ 13,288,441
============ ============ =========== ============ =========== ============ ============
<FN>
- -------------------------
* Commencement of operations
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE> 28
<TABLE>
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT QUALITY U.S. GOVERNMENT MONEY MARKET
BOND TRUST SECURITIES TRUST TRUST
--------------------------- -------------------------- --------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
12/31/95 12/31/94 12/31/95 12/31/94 12/31/95 12/31/94
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income................... $ 8,486,217 $ 7,074,815 $ 12,842,712 $ 11,807,528 $ 14,438,470 $ 9,112,848
------------ ------------ ------------ ------------ ------------ ------------
Net realized gain (loss) on
investment transactions............... 934,173 (4,776,012) 6,615,440 (9,158,110) -- --
------------ ------------ ------------ ------------ ------------ ------------
Change in unrealized appreciation
(depreciation) on investments.......... 12,443,229 (7,428,247) 9,054,850 (5,645,645) -- --
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations................ 21,863,619 (5,129,444) 28,513,002 (2,996,227) 14,438,470 9,112,848
------------ ------------ ------------ ------------ ------------ ------------
Distribution to shareholders from:
Net investment income................... (7,077,320) (4,745,354) (11,856,226) (8,773,625) (14,438,470) (9,112,848)
------------ ------------ ------------ ------------ ------------ ------------
Net realized gains on investments....... -- -- -- (2,599,570) -- --
------------ ------------ ------------ ------------ ------------ ------------
Increase (decrease) in net assets from
capital share transactions (Note 4)...... 16,892,949 21,823,760 11,318,295 (18,888,972) (18,556,843) 144,399,345
------------ ------------ ------------ ------------ ------------ ------------
Increase (decrease) in net assets.......... 31,679,248 11,948,962 27,975,071 (33,258,394) (18,556,843) 144,399,345
------------ ------------ ------------ ------------ ------------ ------------
Net assets at beginning of period.......... 111,423,356 99,474,394 188,813,348 222,071,742 276,673,806 132,274,461
------------ ------------ ------------ ------------ ------------ ------------
Net assets at end of period................ $143,102,604 $111,423,356 $216,788,419 $188,813,348 $258,116,963 $276,673,806
============ ============ ============ ============ ============ ============
Accumulated undistributed
net investment income..................... $ 8,478,262 $ 7,074,815 $ 12,847,931 $ 11,807,528 -- --
============ ============ ============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE> 29
<TABLE>
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
AGGRESSIVE ASSET MODERATE ASSET CONSERVATIVE ASSET
ALLOCATION TRUST ALLOCATION TRUST ALLOCATION TRUST
--------------------------- -------------------------- ---------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
12/31/95 12/31/94 12/31/95 12/31/94 12/31/95 12/31/94
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income.................... $ 5,392,921 $ 5,235,271 $ 25,474,597 $ 25,570,598 $ 10,232,137 $ 11,588,833
Net realized gain (loss) on:
Investment transactions................ 10,182,865 6,569,414 23,729,858 5,151,440 8,403,516 (5,512,747)
Futures contracts...................... (1,726,285) (180,011) (3,962,742) (921,011) (658,525) 49,768
Foreign currency and forward
foreign currency contracts........... 1,938,306 17,865 7,845,216 (657,486) 727,483 (352,436)
Change in unrealized appreciation
(depreciation) on:
Investments............................ 23,406,053 (12,785,972) 62,959,219 (39,233,463) 17,450,440 (10,429,286)
Futures contracts...................... 371,422 (185,853) 782,113 (404,043) 129,261 (54,855)
Foreign currency and forward
foreign currency contracts........... (10,764) 12,523 (71,271) 75,865 (34,355) 34,817
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations................. 39,554,518 (1,316,763) 116,756,990 (10,418,100) 36,249,957 (4,675,906)
Distribution to shareholders from:
Net investment income.................... (5,166,253) (4,671,543) (24,223,191) (22,106,187) (10,860,847) (10,206,968)
Net realized gains on investments,
futures and foreign currency
transactions.......................... (6,299,483) (6,656,551) (5,181,586) (20,585,004) -- (5,487,838)
Increase (decrease) in net assets from
capital share transactions (Note 4)........ (993,645) 22,858,831 (41,707,151) 13,343,677 (17,714,850) (13,031,012)
------------ ------------ ------------ ------------ ------------ ------------
Increase (decrease) in net assets........... 27,095,137 10,213,974 45,645,062 (39,765,614) 7,674,260 (33,401,724)
Net assets at beginning of period........... 184,661,815 174,447,841 604,491,075 644,256,689 216,715,740 250,117,464
------------ ------------ ------------ ------------ ------------ ------------
Net assets at end of period................. $211,756,952 $184,661,815 $650,136,137 $604,491,075 $224,390,000 $216,715,740
============ ============ ============ ============ ============ ============
Accumulated undistributed
net investment income..................... $ 5,427,633 $ 5,235,271 $ 26,460,562 $ 25,570,598 $ 10,622,367 $ 11,588,833
============ ============ ============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE> 30
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GLOBAL EQUITY TRUST
----------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 3/18/88*
---------------------------------------------------------------------- TO
1995 1994 1993 1992 1991 1990 1989 12/31/88
-------- -------- -------- -------- ------- ------- ------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period.............................. $15.74 $15.73 $12.00 $12.24 $11.00 $12.57 $10.15 $10.03
Income from investment operations:
- ----------------------------------
Net investment income (loss) (B)...... 0.29 0.05 0.12 0.10 0.16 0.12 0.10 (0.05)
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions........ 0.84 0.22 3.79 (0.19) 1.23 (1.41) 2.32 0.17
------ ------ ------ ------ ------ ------ ------ ------
Total from investment operations 1.13 0.27 3.91 (0.09) 1.39 (1.29) 2.42 0.12
Less distributions:
- -------------------
Dividends from net investment income... (0.08) (0.02) (0.18) (0.15) (0.15) (0.04) ---- ----
Distributions from capital gains....... (0.69) (0.24) ---- ---- ---- (0.24) ---- ----
------ ------ ------ ------ ------ ------ ------ ------
Total distributions................ (0.77) (0.26) (0.18) (0.15) (0.15) (0.28) ---- ----
------ ------ ------ ------ ------ ------ ------ ------
Net asset value, end of period........... $16.10 $15.74 $15.73 $12.00 $12.24 $11.00 $12.57 $10.15
====== ====== ====== ====== ====== ====== ====== ======
Total return....................... 7.68% 1.74% 32.89% (0.72%) 12.80% (10.43%) 23.84% 1.20%
Net assets, end of period (000's)........ $648,183 $616,138 $377,871 $116,731 $89,003 $63,028 $26,223 $2,143
Ratio of operating expenses to
average net assets (C)................ 1.05% 1.08% 1.16% 1.16% 1.23% 1.28% 1.62% 3.98%(A)
Ratio of net investment income (loss) to
average net assets..................... 0.61% 0.44% 0.77% 1.12% 1.47% 1.97% 1.82% (1.71%)(A)
Portfolio turnover rate.................. 63% 52% 52% 69% 74% 67% 109% 81%(A)
- ---------------------------------
<FN>
* Commencement of operations.
(A) Annualized
(B) After expense reimbursement per share of $0.02 in 1988.
(C) The ratio of operating expenses, before reimbursement from the investment adviser, was 4.53% in 1988.
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE> 31
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
PASADENA GROWTH TRUST
--------------------------------------------------------------
YEARS ENDED DECEMBER 31, 12/11/92*
------------------------------------------ TO
1995 1994 1993 12/31/92
----------- ----------- ----------- --------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period....................... $ 9.05 $9.55 $9.93 $10.00
Income from investment operations:
- ---------------------------------
Net investment income (B)................................. 0.03 0.04 0.05 0.00
Net realized and unrealized gain
(loss) on investments.................................... 2.36 (0.50) (0.42) (0.07)
------ ----- ----- -----
Total from investment operations.................. 2.39 (0.46) (0.37) (0.07)
Less distributions:
- -------------------
Dividends from net investment income....................... (0.04) (0.04) (0.01) ----
------ ----- ----- -----
Total distributions............................... (0.04) (0.04) (0.01) ----
------ ----- ----- -----
Net asset value, end of period............................. $11.40 $9.05 $9.55 $9.93
====== ===== ===== =====
Total return...................................... 26.53% (4.80%) (3.80%) (0.70%)
Net assets, end of period (000's).......................... $277,674 $151,727 $104,966 $31,118
Ratio of operating expenses to
average net assets (C).................................. 0.975% 0.975% 0.975% 1.06%(A)
Ratio of net investment income to
average net assets....................................... 0.42% 0.65% 0.75% 1.04%(A)
Portfolio turnover rate.................................... 57% 33% 12% 0%(A)
- -----------------------------
<FN>
* Commencement of operations.
(A) Annualized
(B) After subadviser expense reimbursement per share of $0.004, $0.006 and $0.01 for the years ended December 31, 1995, 1994 and
1993, respectively.
(C) The ratio of operating expenses, before reimbursement from the subadviser, was 1.03%, 1.06% and 1.09% for the years ended
December 31, 1995, 1994 and 1993, respectively.
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE> 32
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
EQUITY TRUST
-------------------------------------------------------
YEARS ENDED DECEMBER 31,
-------------------------------------------------------
1995 1994 1993** 1992 1991 1990
--------- --------- --------- -------- -------- -------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period......................... $14.66 $15.57 $13.97 $13.12 $11.33 $19.14
Income from investment operations:
- ----------------------------------
Net investment income (B)......... 0.10 0.11 0.07 0.64 0.14 0.24
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions... 6.14 (0.18) 2.11 0.38 1.88 (1.95)
------ ------ ------ ------ ------ ------
Total from investment
operations................... 6.24 (0.07) 2.18 1.02 2.02 (1.71)
Less distributions:
-------------------
Dividends from net investment
income........................... (0.11) (0.05) (0.58) (0.17) (0.23) (0.29)
Distributions from capital gains.. ---- (0.79) ---- ---- ---- (5.81)
------ ------ ------ ------ ------ ------
Total distributions............ (0.11) (0.84) (0.58) (0.17) (0.23) (6.10)
------ ------ ------ ------ ------ ------
Net asset value, end of period...... $20.79 $14.66 $15.57 $13.97 $13.12 $11.33
====== ====== ====== ====== ====== ======
Total return.................. 42.79% (0.53%) 16.31% 7.93% 17.94% (11.79%)
Net assets, end of period (000's)...$988,800 $534,562 $387,842 $192,626 $88,235 $36,564
Ratio of operating expenses to
average net assets (C)............ 0.80% 0.84% 0.88% 0.95% 0.89% 0.97%
Ratio of net investment income to
average net assets................ 0.63% 0.88% 0.50% 7.31% 2.23% 2.74%
Portfolio turnover rate............. 88% 132% 173% 782% 172% 95%
</TABLE>
<TABLE>
<CAPTION>
EQUITY TRUST
-------------------------------------------
YEARS ENDED DECEMBER 31, 6/18/85*
---------------------------------- TO
1989 1988 1987 1986 12/31/85
-------- -------- ------- ------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period......................... $15.17 $12.57 $13.01 $11.39 $10.72
Income from investment operations:
- ----------------------------------
Net investment income (B)......... 0.29 0.15 0.19 0.27 0.12
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions. 3.87 2.45 0.97 1.80 0.55
------ ------ ------ ------ ------
Total from investment
operations................... 4.16 2.60 1.16 2.07 0.67
Less distributions:
-------------------
Dividends from net investment
income........................... (0.12) ---- (0.14) (0.24) ----
Distributions from capital gains.. (0.07) ---- (1.46) (0.21) ----
------ ------ ------ ------ ------
Total distributions............ (0.19) ---- (1.60) (0.45) ----
------ ------ ------ ------ ------
Net asset value, end of period...... $19.14 $15.17 $12.57 $13.01 $11.39
====== ====== ====== ====== ======
Total return.................. 27.70% 20.71% 6.87% 18.50% 6.20%
Net assets, end of period (000's)...$32,108 $133,852 $37,001 $1,408 $1,143
Ratio of operating expenses to
average net assets (C)............ 1.02% 1.08% 1.15% 1.41% 1.57%(A)
Ratio of net investment income to
average net assets................ 1.90% 1.80% 1.33% 1.19% 2.05%(A)
Portfolio turnover rate............. 111% 49% 64% 209% 214%(A)
- --------------------------
<FN>
* Commencement of operations.
** Net investment income per share was calculated using the average shares method for fiscal year 1993.
(A) Annualized
(B) After expense reimbursement per share of $0.02 , $0.53 and $0.14 in 1987, 1986 and 1985, respectively.
(C) The ratio of operating expenses, before reimbursement from the investment adviser, was 1.30%, 3.71% and 4.69% in 1987, 1986 and
1985, respectively.
</TABLE>
The accompanying notes are an integral part of the financial statements.
14
<PAGE> 33
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
VALUE EQUITY TRUST
------------------------------------------------------
YEARS ENDED DECEMBER 31, 02/19/93*
--------------------------------- TO
1995 1994** 12/31/93
----------- ------------- -------------
<S> <C> <C> <C>
Net asset value, beginning
of period.................................... $11.33 $11.31 $10.00
Income from investment operations:
- ----------------------------------
Net investment income.......................... 0.17 0.12 0.07
Net realized and unrealized gain
(loss) on investments........................ 2.49 (0.03) 1.24
------ ------ ------
Total from investment
operations....................... 2.66 0.09 1.31
Less distributions:
- -------------------
Dividends from net investment income........... (0.08) (0.05) ----
Distributions from capital gains............... (0.10) (0.02) ----
------ ------ ------
Total distributions................ (0.18) (0.07) ----
------ ------ ------
Net asset value, end of period................. $13.81 $11.33 $11.31
====== ====== ======
Total return....................... 23.69% 0.79% 13.10%
Net assets, end of period (000's).............. $396,827 $221,835 $86,472
Ratio of operating expenses to
average net assets........................... 0.85% 0.87% 0.94%(A)
Ratio of net investment income to
average net assets........................... 1.63% 1.08% 1.30%(A)
Portfolio turnover rate........................ 52% 26% 33%(A)
- -----------------------------
<FN>
* Commencement of operations.
** Net investment income per share was calculated using the average shares method for fiscal year 1994.
(A) Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE> 34
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH AND INCOME TRUST
-------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 4/23/91*
---------------------------------------------------- TO
1995 1994 1992 1993 12/31/91
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period.................................... $13.04 $13.05 $12.10 $11.08 $10.00
Income from investment operations:
- ---------------------------------
Net investment income....................... 0.27 0.25 0.17 0.20 0.13
Net realized and unrealized gain
on investments and foreign currency
transactions.............................. 3.45 0.11 0.98 0.92 0.95
------ ------ ------ ------ ------
Total from investment operations...... 3.72 0.36 1.15 1.12 1.08
Less distributions:
- ------------------
Dividends from net investment income........ (0.26) (0.19) (0.18) (0.10) ----
Distributions from capital gains............ (0.13) (0.18) (0.02) ---- ----
------ ------ ------ ------ ------
Total distributions................... (0.39) (0.37) (0.20) (0.10) ----
------ ------ ------ ------ ------
Net asset value, end of period................. $16.37 $13.04 $13.05 $12.10 $11.08
====== ====== ====== ====== ======
Total return......................... 29.20% 2.85% 9.62% 10.23% 10.80%
Net assets, end of period (000's).............. $669,387 $409,534 $288,765 $130,984 $57,404
Ratio of operating expenses to
average net assets........................... 0.80% 0.82% 0.85% 0.85% 0.98%(A)
Ratio of net investment income to
average net assets........................... 2.23% 2.40% 2.29% 2.78% 2.92%(A)
Portfolio turnover rate....................... 39% 42% 39% 44% 62%(A)
- ------------------
<FN>
* Commencement of operations.
(A) Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE> 35
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
INTERNATIONAL GROWTH AND
INCOME TRUST
------------------------
01/09/95*
TO
12/31/95
------------------------
<S> <C>
Net asset value, beginning
of period.................................... $10.00
Income from investment operations:
- ---------------------------------
Net investment income....................... 0.11
Net realized and unrealized loss
on investments and foreign currency
transactions.............................. 0.59
------
Total from investment
operations.......................... 0.70
Less distributions:
- ------------------
Dividends from net investment income......... (0.12)
Distributions from capital gains............. (0.11)
------
Total distributions................... (0.23)
------
Net asset value, end of period................. $10.47
======
Total return.......................... 6.98%
Net assets, end of period (000's).............. $88,638
Ratio of operating expenses to
average net assets........................... 1.47%(A)
Ratio of net investment income to
average net assets........................... 0.71%(A)
Portfolio turnover rate........................ 112%(A)
- -----------------------------
<FN>
* Commencement of operations.
(A) Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
17
<PAGE> 36
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
STRATEGIC BOND TRUST
---------------------------------------------------
YEARS ENDED DECEMBER 31, 02/19/93*
------------------------------- TO
1995 1994 12/31/93
------------ ------------- ------------
<S> <C> <C> <C>
Net asset value, beginning
of period.................................... $ 9.91 $10.88 $10.00
------ ------ ------
Income from investment operations:
- ---------------------------------
Net investment income....................... 0.78 0.57 0.33
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions.............................. 1.04 (1.22) 0.55
------ ------ ------
Total from investment
operations.......................... 1.82 (0.65) 0.88
Less distributions:
- ------------------
Dividends from net investment income........ (0.47) (0.28) ----
Distributions from capital gains............ ---- (0.04) ----
------ ------ ------
Total distributions................... (0.47) (0.32) ----
------ ------ ------
Net asset value, end of period................. $11.26 $ 9.91 $10.88
====== ====== ======
Total return.......................... 19.22% (5.99%) 8.80%
Net assets, end of period (000's).............. $122,704 $84,433 $53,640
Ratio of operating expenses to
average net assets........................... 0.92% 0.91% 1.00%(A)
Ratio of net investment income to
average net assets........................... 8.76% 7.49% 6.56%(A)
Portfolio turnover rate........................ 181% 197% 356%(A)
- -----------------------------
<FN>
* Commencement of operations.
(A) Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE> 37
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GLOBAL GOVERNMENT BOND TRUST
-----------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 3/18/88*
----------------------------------------------------------------------------- TO
1995 1994 1993 1992 1991 1990 1989 12/31/88
-------- -------- -------- ------- ------- ------- ------ --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period............................ $12.47 $13.93 $12.47 $12.88 $11.59 $10.50 $10.21 $10.03
Income from investment operations:
- ---------------------------------
Net investment income................ 1.16 0.74 0.59 0.42 0.55 0.25 0.45 0.14
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions...... 1.62 (1.54) 1.67 (0.16) 1.21 1.13 ---- 0.04
------ ------ ------ ------ ------ ------ ------ ------
Total from investment
operations.................. 2.78 (0.80) 2.26 0.26 1.76 1.38 0.45 0.18
Less distributions:
- ------------------
Dividends from net investment income. (0.69) (0.30) (0.70) (0.43) (0.46) (0.24) (0.09) ----
Distributions from capital gains..... ---- (0.36) (0.10) (0.24) (0.01) (0.05) (0.07) ----
------ ------ ------ ------ ------ ------ ------ ------
Total distributions........... (0.69) (0.66) (0.80) (0.67) (0.47) (0.29) (0.16) ----
------ ------ ------ ------ ------ ------ ------ ------
Net asset value, end of period......... $14.56 $12.47 $13.93 $12.47 $12.88 $11.59 $10.50 $10.21
====== ====== ====== ====== ====== ====== ====== ======
Total return................. 23.18% (5.75%) 18.99% 2.27% 15.86% 13.49% 4.49% 1.79%
Net assets, end of period (000's)......$235,243 $208,513 $196,817 $67,859 $28,251 $11,582 $4,065 $1,355
Ratio of operating expenses to
average net assets................... 0.93% 0.96% 1.06% 1.05% 1.14% 1.21% 1.50% 3.39%(A)
Ratio of net investment income to
average net assets................... 6.83% 6.10% 5.61% 6.71% 17.28% 6.62% 7.15% 3.74%(A)
Portfolio turnover rate................ 171% 157% 154% 132% 164% 142% 50% 234%(A)
- --------------------------
<FN>
* Commencement of operations.
(A) Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
19
<PAGE> 38
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
INVESTMENT QUALITY BOND TRUST
-------------------------------------------------------------
YEARS ENDED DECEMBER 31,
-------------------------------------------------------------
1995 1994 1993 1992 1991** 1990
--------- --------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period............................ $11.01 $12.12 $11.58 $11.33 $10.74 $12.37
Income from investment operations:
- ---------------------------------
Net investment income (B)........... 0.77 0.66 0.60 0.63 0.76 1.12
Net realized and unrealized gain
(loss) on investments.............. 1.28 (1.23) 0.53 0.15 0.85 (1.50)
------ ------ ------ ------ ------ ------
Total from investment
operations..................... 2.05 (0.57) 1.13 0.78 1.61 (0.38)
Less distributions:
- ------------------
Dividends from net investment income. (0.74) (0.54) (0.59) (0.53) (1.02) (1.25)
Distributions from capital gains..... ---- ---- ---- ---- ---- ----
------ ------ ------ ------ ------ ------
Total distributions.............. (0.74) (0.54) (0.59) (0.53) (1.02) (1.25)
------ ------ ------ ------ ------ ------
Net asset value, end of period......... $12.32 $11.01 $12.12 $11.58 $11.33 $10.74
====== ====== ====== ====== ====== ======
Total return.................... 19.49% (4.64%) 10.01% 7.21% 16.07% (2.73%)
Net assets, end of period (000's)...... $143,103 $111,423 $99,474 $60,185 $38,896 $20,472
Ratio of operating expenses to
average net assets (C).............. 0.74% 0.76% 0.77% 0.80% 0.85% 0.70%
Ratio of net investment income to
average net assets................... 6.91% 6.49% 6.03% 6.96% 7.47% 8.41%
Portfolio turnover rate................ 137% 140% 33% 59% 115% 120%
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT QUALITY BOND TRUST
---------------------------------------------------
YEARS ENDED DECEMBER 31, 6/18/85*
-------------------------------------- TO
1989 1988 1987 1986 12/31/85
--------- --------- -------- ------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period............................ $11.55 $10.79 $11.58 $11.18 $10.28
Income from investment operations:
- ---------------------------------
Net investment income (B)........... 0.75 0.57 0.81 1.02 0.55
Net realized and unrealized gain
(loss) on investments.............. 0.51 0.19 (0.50) 0.37 0.35
------ ------ ------ ------ ------
Total from investment
operations..................... 1.26 0.76 0.31 1.39 0.90
Less distributions:
- ------------------
Dividends from net investment income. (0.44) ---- (0.88) (0.69) ----
Distributions from capital gains..... ---- ---- (0.22) (0.30) ----
------ ------ ------ ------ ------
Total distributions.............. (0.44) ---- (1.10) (0.99) ----
------ ------ ------ ------ ------
Net asset value, end of period......... $12.37 $11.55 $10.79 $11.58 $11.18
====== ====== ====== ====== ======
Total return.................... 11.34% 7.09% 2.61% 13.25% 8.72%
Net assets, end of period (000's)...... $26,965 $114,221 $25,131 $1,295 $1,120
Ratio of operating expenses to
average net assets (C).............. 0.83% 0.89% 0.95% 1.16% 1.31%(A)
Ratio of net investment income to
average net assets................... 8.77% 7.97% 7.46% 8.11% 9.99%(A)
Portfolio turnover rate................ 351% 94% 201% 127% 165%(A)
- --------------------------
<FN>
* Commencement of operations.
** The Investment Quality Bond Trust is the successor to the Bond Trust effective April 23, 1991.
(A) Annualized
(B) After expense reimbursement per share of $0.02, $0.28 and $0.12 in 1987, 1986 and 1985, respectively.
(C) The ratio of operating expenses, before reimbursement from the investment adviser, was 1.14%, 3.38% and 3.55% in 1987, 1986 and
1985, respectively.
</TABLE>
The accompanying notes are an integral part of the financial statements.
20
<PAGE> 39
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
U.S. GOVERNMENT SECURITIES TRUST
---------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 3/18/88*
------------------------------------------------------------------------- TO
1995 1994 1993 1992 1991 1990 1989** 12/31/88
-------- -------- -------- -------- ------- ------- ------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period............................... $12.64 $13.48 $13.05 $12.85 $11.83 $10.98 $ 9.81 $10.03
Income from investment operations:
- ---------------------------------
Net investment income (B).............. 0.89 0.77 0.48 0.10 0.19 1.07 0.20 0.07
Net realized and unrealized gain
(loss) on investments................. 0.99 (0.95) 0.49 0.65 1.40 (0.13) 1.08 (0.29)
------ ------ ------ ------ ------ ------ ------ ------
Total from investment operations. 1.88 (0.18) 0.97 0.75 1.59 0.94 1.28 (0.22)
Less distributions:
- ------------------
Dividends from net investment income.... (0.87) (0.51) (0.46) (0.38) (0.53) (0.08) (0.11) ----
Distributions from capital gains........ ---- (0.15) (0.08) (0.17) (0.04) (0.01) ---- ----
------ ------ ------ ------ ------ ------ ------ ------
Total distributions.............. (0.87) (0.66) (0.54) (0.55) (0.57) (0.09) (0.11) ----
------ ------ ------ ------ ------ ------ ------ ------
Net asset value, end of period............ $13.65 $12.64 $13.48 $13.05 $12.85 $11.83 $10.98 $ 9.81
====== ====== ====== ====== ====== ====== ====== ======
Total return.................... 15.57% (1.25%) 7.64% 6.19% 14.01% 8.63% 13.16% (2.19%)
Net assets, end of period (000's)......... $216,788 $188,813 $222,072 $125,945 $29,246 $10,469 $5,905 $344
Ratio of operating expenses to
average net assets (C)................. 0.71% 0.73% 0.75% 0.76% 0.87% 1.04% 0.90% 5.16%(A)
Ratio of net investment income to
average net assets...................... 6.46% 5.68% 5.05% 6.12% 7.09% 7.70% 6.66% 1.16%(A)
Portfolio turnover rate................... 212% 387% 213% 141% 233% 284% 330% 156%(A)
- -----------------------------
<FN>
* Commencement of operations.
** The U.S. Government Securities Trust is the successor to the Convertible Securities Trust effective May 1, 1989.
(A) Annualized
(B) After expense reimbursement per share of $0.01 and $0.06 in 1989 and 1988, respectively.
(C) The ratio of operating expenses, before reimbursement from the investment adviser, was 1.62% and 6.16% in 1989 and 1988,
respectively.
</TABLE>
The accompanying notes are an integral part of the financial statements.
21
<PAGE> 40
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
MONEY MARKET TRUST
-------------------------------------------------------------
YEARS ENDED DECEMBER 31,
-------------------------------------------------------------
1995 1994 1993 1992 1991 1990
-------- --------- --------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period................................. $10.00 $10.00 $10.00 $10.00 $10.00 $10.00
Income from investment operations:
- ----------------------------------
Net investment income (B)................ 0.55 0.38 0.27 0.33 0.56 0.75
Less distributions:
- -------------------
Dividends from netinvestment income....... (0.55) (0.38) (0.27) (0.33) (0.56) (0.75)
------ ------ ------ ------ ------ ------
Net asset value, end of period.............. $10.00 $10.00 $10.00 $10.00 $10.00 $10.00
====== ====== ====== ====== ====== ======
Total return...................... 5.62% 3.78% 2.69% 3.36% 5.71% 7.76%
Net assets, end of period (000's)........... $258,117 $276,674 $132,274 $89,535 $79,069 $85,040
Ratio of operating expenses to
average net assets (C)................... 0.54% 0.57% 0.59% 0.60% 0.60% 0.57%
Ratio of net investment income to
average net assets........................ 5.48% 3.93% 2.66% 3.28% 5.65% 7.27%
</TABLE>
<TABLE>
<CAPTION>
MONEY MARKET TRUST
------------------------------------------------------
YEARS ENDED DECEMBER 31,
--------------------------------------- 6/18/85*
TO
1989 1988 1987 1986 12/31/85
-------- -------- ------- ------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period................................. $10.00 $10.00 $10.00 $10.00 $10.00
Income from investment operations:
- ----------------------------------
Net investment income (B)................ 0.72 0.57 0.60 0.56 0.36
Less distributions:
- -------------------
Dividends from net investment income...... (0.72) (0.57) (0.60) (0.56) (0.36)
------ ------ ------ ------ ------
Net asset value, end of period.............. $10.00 $10.00 $10.00 $10.00 $10.00
====== ====== ====== ====== ======
Total return...................... 8.56% 6.77% 6.13% 5.74% 3.61%
Net assets, end of period (000's)........... $19,403 $12,268 $7,147 $1,046 $1,001
Ratio of operating expenses to
average net assets (C)................... 0.79% 0.99% 0.78% 1.11% 1.21%(A)
Ratio of net investment income to
average net assets........................ 8.26% 6.68% 5.86% 6.84% 6.84%(A)
- ---------------------------------
<FN>
* Commencement of operations.
(A) Annualized
(B) After expense reimbursement per share of $0.08, $0.23 and $0.12 in 1987, 1986 and 1985, respectively.
(C) The ratio of operating expenses, before reimbursement from the investment adviser, was 1.57%, 3.43% and 3.50% in 1987,
1986 and 1985, respectively.
</TABLE>
The accompanying notes are an integral part of the financial statements.
22
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE ASSET ALLOCATION TRUST
---------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
------------------------------------------------------------------------- 8/03/89*
TO
1995 1994 1993 1992 1991 1990 12/31/89
--------- --------- --------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period............................. $11.17 $12.03 $11.25 $10.72 $ 9.08 $ 9.88 $10.00
Income from investment operations:
- ----------------------------------
Net investment income ................ 0.35 0.31 0.34 0.30 0.36 0.36 0.08
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions....... 2.07 (0.41) 0.79 0.55 1.69 (1.07) (0.20)
------ ------ ------ ------ ------ ------ ------
Total from investment
operations................... 2.42 (0.10) 1.13 0.85 2.05 (0.71) (0.12)
Less distributions:
- -------------------
Dividends from net investment income.. (0.33) (0.31) (0.30) (0.32) (0.41) (0.07) ----
Distributions from capital gains...... (0.41) (0.45) (0.05) ---- ---- (0.02) ----
------ ------ ------ ------ ------ ------ ------
Total distributions............... (0.74) (0.76) (0.35) (0.32) (0.41) (0.09) ----
------ ------ ------ ------ ------ ------ ------
Net asset value, end of period.......... $12.85 $11.17 $12.03 $11.25 $10.72 $ 9.08 $ 9.88
====== ====== ====== ====== ====== ====== ======
Total return..................... 22.77% (0.69%) 10.30% 8.24% 22.96% (7.27%) (1.20%)
Net assets, end of period (000's)....... $211,757 $184,662 $174,448 $151,627 $124,632 $91,581 $87,301
Ratio of operating expenses to
average net assets.................... 0.91% 0.89% 0.86% 0.89% 0.88% 0.78% 0.89%(A)
Ratio of net investment income to
average net assets.................... 2.76% 2.90% 2.96% 3.08% 3.63% 4.08% 3.32%(A)
Portfolio turnover rate................. 111% 136% 92% 123% 172% 82% 22%(A)
- -----------------------------
<FN>
* Commencement of operations.
(A) Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
23
<PAGE> 41
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
MODERATE ASSET ALLOCATION TRUST
---------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
------------------------------------------------------------------------ 8/03/89*
TO
1995 1994 1993 1992 1991 1990 12/31/89
--------- -------- --------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period................................ $10.79 $11.76 $11.14 $10.72 $ 9.29 $10.03 $10.00
Income from investment operations:
- ----------------------------------
Net investment income .................. 0.50 0.45 0.41 0.41 0.42 0.48 0.11
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions......... 1.65 (0.65) 0.67 0.43 1.50 (1.10) (0.08)
------ ------ ------ ------ ------ ------ ------
Total from investment operations. 2.15 (0.20) 1.08 0.84 1.92 (0.62) 0.03
Less distributions:
- -------------------
Dividends from net investment income.... (0.45) (0.40) (0.39) (0.42) (0.49) (0.10) ----
Distributions from capital gains........ (0.10) (0.37) (0.07) ---- ---- (0.02) ----
------ ------ ------ ------ ------ ------ ------
Total distributions................. (0.55) (0.77) (0.46) (0.42) (0.49) (0.12) ----
------ ------ ------ ------ ------ ------ ------
Net asset value, end of period............ $12.39 $10.79 $11.76 $11.14 $10.72 $ 9.29 $10.03
====== ====== ====== ====== ====== ====== ======
Total return....................... 20.68% (1.61%) 10.06% 8.30% 21.23% (6.23%) 0.30%
Net assets, end of period (000's)......... $650,136 $604,491 $644,257 $505,967 $420,074 $327,328 $318,439
Ratio of operating expenses to
average net assets...................... 0.84% 0.85% 0.84% 0.87% 0.86% 0.73% 0.79%(A)
Ratio of net investment income to
average net assets...................... 4.09% 4.01% 4.02% 4.21% 4.38% 5.10% 4.51%(A)
Portfolio turnover rate................... 129% 180% 135% 169% 168% 76% 41%(A)
<FN>
- -----------------------------
* Commencement of operations.
(A) Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
24
<PAGE> 42
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
CONSERVATIVE ASSET ALLOCATION TRUST
---------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
------------------------------------------------------------------------- 8/03/89*
TO
1995 1994 1993 1992 1991 1990 12/31/89
--------- --------- --------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period.............................. $10.34 $11.26 $10.78 $10.63 $ 9.56 $10.11 $10.00
Income from investment operations:
- ----------------------------------
Net investment income ................. 0.54 0.55 0.50 0.47 0.58 0.62 0.15
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions........ 1.26 (0.76) 0.44 0.26 1.15 (1.01) (0.04)
------ ------ ------ ------ ------ ------ ------
Total from investment
operations.................... 1.80 (0.21) 0.94 0.73 1.73 (0.39) 0.11
Less distributions:
- -------------------
Dividends from net investment income... (0.55) (0.46) (0.46) (0.58) (0.66) (0.13) ----
Distributions from capital gains....... ---- (0.25) ---- ---- ---- (0.03) ----
------ ------ ------ ------ ------ ------ ------
Total distributions................ (0.55) (0.71) (0.46) (0.58) (0.66) (0.16) ----
------ ------ ------ ------ ------ ------ ------
Net asset value, end of period........... $11.59 $10.34 $11.26 $10.78 $10.63 $ 9.56 $10.11
====== ====== ====== ====== ====== ====== ======
Total return...................... 18.07% (1.84%) 8.99% 7.36% 18.80% (3.84%) 1.10%
Net assets, end of period (000's)......... $224,390 $216,716 $250,117 $201,787 $165,167 $149,901 $141,191
Ratio of operating expenses to
average net assets...................... 0.87% 0.87% 0.86% 0.89% 0.88% 0.76% 0.82%(A)
Ratio of net investment income to
average net assets...................... 4.68% 4.86% 4.78% 4.99% 5.65% 6.68% 6.00%(A)
Portfolio turnover rate................... 110% 220% 170% 252% 211% 78% 85%(A)
<FN>
- -----------------------------
* Commencement of operations.
(A) Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
25
<PAGE> 43
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
GLOBAL EQUITY TRUST
Shares Value
------ -----
COMMON STOCK - 97.85%
AEROSPACE - 0.80%
British Aerospace 415,000 $ 5,129,091
-----------
ALUMINUM - 0.50%
Aluminum Company of America 60,800 3,214,800
---------
APPAREL & TEXTILES - 1.88%
Albany International 200,000 3,625,000
Corporation
Itochu Corporation 1,000,000 6,731,235
Oneida, Ltd. 95,000 1,674,375
----------
12,030,610
AUTO PARTS - 0.88%
Danaher Corporation 178,000 5,651,500
----------
AUTOMOBILES - 3.36%
Daimler Benz AG 18,177 9,148,689
Fiat SPA 2,962,798 9,626,470
Hayes Wheels International,
Incorporated 109,000 2,793,125
----------
21,568,284
BANKING - 6.12%
Bangkok Bank 280,200 3,403,779
Bankamerica Corporation 48,000 3,108,000
Hang Seng Bank 759,000 6,797,381
HSBC Holdings 461,400 7,205,120
Sakura Bank 260,000 3,298,789
Societe Generale 53,180 6,570,125
Sumitomo Bank 230,000 4,878,450
Sumitomo Trust & Banking 280,000 3,959,322
----------
39,220,966
BROADCASTING - 0.76%
Wolters Kluwer 51,640 4,884,995
---------
BUILDING CONSTRUCTION -1.03%
Fluor Corporation 100,000 6,600,000
---------
BUSINESS SERVICES - 4.05%
Eaux (Cie Generale) 51,400 5,131,603
Havas 52,030 4,127,763
Interpublic Group Companies,
Incorporated 100,000 4,337,500
Secom Company 178,000 12,378,111
----------
25,974,977
CHEMICALS - 4.93%
Dow Chemical Company 83,700 5,890,388
Imperial Chemical Industries
PLC, ADR 509,300 6,031,080
Sekisui Chemical 520,000 7,655,206
Sumitomo Chemical 1,200,000 5,985,472
Toray Industries,
Incorporated 920,000 6,059,080
----------
31,621,226
COMPUTERS & BUSINESS EQUIPMENT - 3.15%
International Business
Machines Corporation 15,400 1,412,950
Olivetti & C SPA* 22,175,000 17,774,908
Tandy Corporation 25,000 1,037,500
----------
20,225,358
CONGLOMERATES - 3.71%
Berjaya Sports 1,968,000 4,571,879
BTR PLC 1,425,100 7,259,401
Hutchison Whampoa 1,262,000 7,687,061
Renong BHD 2,908,000 4,305,264
----------
23,823,605
CONSTRUCTION MATERIALS -0.99%
Maeda Road Construction 342,000 6,326,586
----------
CONTAINERS & GLASS - 0.78%
Mark IV Industries,
Incorporated 254,822 5,032,734
----------
DOMESTIC OIL - 0.70%
Phillips Petroleum Company 132,400 4,518,150
----------
DRUGS & HEALTH CARE -5.45%
Astra AB, Series A 502,685 20,062,883
Astra AB, Series B 273,760 10,843,695
Bristol Myers Squibb Company 17,700 1,519,988
Isolyser Company,Incorporated* 180,000 2,520,000
----------
34,946,566
ELECTRICAL EQUIPMENT -2.32%
General Electric Company 126,600 9,115,200
NEC Corporation 470,000 5,735,593
----------
14,850,793
ELECTRONICS - 6.91%
AMP, Incorporated 152,200 5,840,675
Emulex Corporation* 138,600 1,420,650
Intel Corporation 53,600 3,041,800
Kyocera Corporation 43,000 3,194,286
Mitsumi Electric 615,000 14,831,477
Rohm Company 135,000 7,622,760
TDK Corporation 103,000 5,257,240
Tokyo Electron 80,000 3,099,274
----------
44,308,162
ENERGY SERVICES - 0.25%
Companhia Energetica
De Sao Paulo* 182,400 1,592,735
---------
FINANCIAL SERVICES - 2.07%
Daiwa Securities 600,000 9,181,598
Partner Re Holding 150,000 4,125,000
-----------
13,306,598
FOOD & BEVERAGES - 1.77%
Fraser & Neave 404,000 5,141,039
Universal Foods Corporation 155,000 6,219,375
----------
11,360,414
The accompanying notes are an integral part of the financial statements.
26
<PAGE> 44
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------ -----
GAS & PIPELINE UTILITIES- 1.29%
Osaka Gas Company 2,400,000 $ 8,298,305
-----------
GOLD - 1.40%
Placer Dome, Incorporated 371,300 8,957,613
---------
HOMEBUILDERS - 1.84%
Toyo Exterior Company 65,000 1,599,031
Yokogawa Bridge Company 676,000 10,213,656
----------
11,812,687
HOUSEHOLD APPLIANCES FURNISHING - 1.70%
Sharp Corporation 681,000 10,882,809
----------
HOTELS & RESTAURANTS - 1.80%
Equity Inns, Incorporated 100,200 1,152,300
HFS, Incorporated* 100,000 8,175,000
Morrison Restaurants,
Incorporated 157,700 2,207,800
----------
11,535,100
INDUSTRIAL MACHINERY - 6.26%
Ebara Corporation 456,000 6,668,862
Exedy Corporation 323,000 5,130,460
Keppel Corporation 752,000 6,698,621
Kolbenschmidt AG* 29,946 4,279,491
Mannesmann AG 26,758 8,518,912
Mitsubishi Heavy Industries 1,110,000 8,847,748
----------
40,144,094
INSURANCE - 0.80%
Tokio Marine & Fire Insurance
Company, Ltd. 390,000 5,099,274
----------
LEISURE TIME - 1.29%
Genting BHD 292,000 2,437,453
Resorts World BHD 1,091,000 5,842,265
----------
8,279,718
LIQUOR - 1.04%
LVMH Moet Hennessy 32,060 6,677,803
----------
MISCELLANEOUS - 0.41%
New World Infrastructure, Ltd 731 1,399
Warehouse Group 1,000,000 2,654,289
----------
2,655,688
MUTUAL FUNDS - 1.34%
India Gateway Fund* 78,000 1,364,220
Indian Opportunities Fund* 180,088 1,685,624
Korea Equity Fund,
Incorporated 319,000 2,631,750
R.O.C. Taiwan Fund* 280,100 2,941,050
----------
8,622,644
NEWSPAPERS - 0.77%
Gannett, Incorporated 80,000 4,910,000
----------
NON-FERROUS METALS - 3.09%
QNI, Ltd. 6,505,400 13,732,225
WMC, Ltd. 949,525 6,097,737
----------
19,829,962
PAPER - 0.53%
Schmalbach Lubeca 24,200 $ 3,404,364
-----------
PETROLEUM SERVICES - 1.24%
Schlumberger, Ltd. 114,700 7,942,975
---------
PHOTOGRAPHY - 0.65%
Minolta Camera Company* 711,000 4,152,378
---------
PUBLISHING - 0.90%
Ver Ned Uitgevers 42,210 5,794,767
---------
REAL ESTATE - 2.72%
Mitsubishi Estate 350,000 4,372,881
New World Development Company 439,000 1,913,262
Storage USA, Incorporated 30,000 978,750
Sun Hung Kai Properties 1,247,000 10,200,162
----------
17,465,055
RETAIL GROCERY - 0.74%
Hac-Kimisawa Company 298,000 4,733,366
----------
RETAIL TRADE - 4.53%
Carrefour 6,510 3,949,604
Friedmans, Incorporated,
Class A* 160,000 3,080,000
Wal Mart Stores, Incorporated 240,000 5,370,000
Walgreen Company 250,000 7,468,750
Xebio Company 260,000 9,191,283
----------
29,059,637
STEEL - 1.34%
Nippon Steel Corporation 2,500,000 8,571,429
---------
TELECOMMUNICATION SERVICES - 1.13%
Cable & Wireless 603,100 4,317,893
Seibu Electric & Machine 448,000 2,950,508
---------
7,268,401
TELEPHONE - 6.96%
British
Telecommunications PLC 1,086,400 5,955,881
DDI Corporation 1,378 10,676,998
Nippon Telegraph &
Telephone Corporation 1,295 10,469,646
Telefonica De Espana SA 738,230 10,224,455
Telephone & Data Systems,
Incorporated 30,000 1,185,000
VodaFone Group 1,709,500 6,132,854
----------
44,644,834
TIRES AND RUBBER - 0.57%
Michelin Company Generale
De Establishment, Class B 91,710 3,657,538
---------
TRUCKING & FREIGHT - 1.09%
Yamato Transport 588,000 7,004,746
---------
TOTAL COMMON STOCKS
(Cost: $566,710,109) $627,593,337
------------
The accompanying notes are an integral part of the financial statements.
27
<PAGE> 45
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------ -----
PREFERRED STOCK - 0.46%
AUTOMOBILES - 0.39%
Porsche AG* 4,803 $ 2,504,457
-----------
MUTUAL FUNDS - 0.07%
India Gateway Fund* 80,000 441,600
-------
TOTAL PREFERRED STOCKS
(Cost: $3,920,896) $ 2,946,057
-----------
WARRANTS - 0.55*
MISCELLANEOUS - 0.55%
Volkswagen International AG
(Expiration date 10/27/98;
strike price DEM 221) 39,800 3,537,470
TOTAL WARRANTS
(Cost: $3,072,790) $ 3,537,470
-----------
REPURCHASE AGREEMENT - 1.14%
Principal
Amount Value
- -------- -----
$7,304,000 Repurchase Agreement with
State Street Bank & Trust Company,
dated 12/29/95 at 5.00%, to be
repurchased at $7,308,058 on
01/02/96 collateralized by
$6,670,000 U.S. Treasury Notes,
7.50% due 05/15/02 (valued at
$7,513,147 including interest) $7,304,000
----------
TOTAL INVESTMENTS
(Global Equity Trust)
(Cost $581,007,795) $641,380,864
============
PASADENA GROWTH TRUST
Shares Value
------ -----
COMMON STOCK - 92.09%
AUTO PARTS - 1.15%
Autozone, Incorporated* 110,000 $ 3,176,250
-----------
BANKING - 4.83%
First Interstate
Bancorporation 15,000 2,047,500
Nationsbank Corporation 25,000 1,740,625
Roosevelt Financial Group,
Incorporated 50,000 968,750
Wells Fargo & Company 40,000 8,640,000
----------
13,396,875
BUSINESS SERVICES - 7.45%
Automatic Data Processing,
Incorporated 45,000 3,341,250
Comshare, Incorporated* 45,000 1,170,000
Electro Rent Corporation* 50,000 1,087,500
First Data Corporation 55,000 3,678,125
General Motors 55,000 2,860,000
Corporation, Class E
The Gymboree Corporation* 50,000 1,031,250
BUSINESS SERVICES - CONTINUED
Interpublic Group Companies,
Incorporated 34,000 1,474,750
Legato Systems,Incorporated* 25,000 775,000
Mail Boxes, Etc.* 80,000 1,000,000
Mecon, Incorporated* 7,000 111,125
Nokia Corporation, ADR 32,000 1,244,000
Polygram NV, ADR 20,000 1,050,000
StrataCom, Incorporated* 25,000 1,837,500
----------
20,660,500
COMPUTERS & BUSINESS EQUIPMENT - 5.82%
3Com Corporation* 29,000 1,352,125
Bay Networks,Incorporated* 30,000 1,233,750
Casino Data Systems* 75,000 1,875,000
Cisco Systems,Incorporated* 55,000 4,104,375
Compaq Computer Corporation* 34,000 1,632,000
DST Systems, Incorporated* 60,000 1,710,000
Hewlett-Packard Company 25,000 2,093,750
Saville Systems PLC, ADR* 70,000 997,500
Verifone, Incorporated* 40,000 1,145,000
-----------
16,143,500
COSMETICS & TOILETRIES -0.99%
Avon Products, Incorporated 20,000 1,507,500
International Flavours 26,000 1,248,000
---------
2,755,500
DRUGS & HEALTH CARE -10.64%
ARV Assisted Living* 20,000 235,000
Columbia/HCA-Healthcare
Corporation 50,000 2,537,500
Elan Corporation PLC, ADR* 30,000 1,458,750
IDEXX Laboratories,
Incorporated* 80,000 3,760,000
Johnson & Johnson 30,000 2,568,750
Luxottica Group SPA, ADR 30,000 1,755,000
Medtronic, Incorporated 65,000 3,631,875
Merck & Company,
Incorporated 65,000 4,273,750
Pfizer, Incorporated 100,000 6,300,000
Roche Holdings, Ltd., ADR* 38,000 2,997,250
---------
29,517,875
ELECTRICAL EQUIPMENT -1.71%
Alliance Semiconductor
Corporation* 30,000 348,750
ANADIGICS, Incorporated* 30,000 637,500
Duracell International,
Incorporated 45,000 2,328,750
General Electric Company 20,000 1,440,000
---------
4,755,000
ELECTRIC UTILITIES - 0.72%
Korea Electric Power
Corporation, ADR 75,000 2,006,250
---------
ELECTRONICS - 8.56%
Altera Corporation* 10,000 497,500
Burr-Brown Corporation* 23,400 596,700
DSC Communications Corporation* 20,000 737,500
Elantec Semiconductor,
Incorporated* 25,000 256,250
L.M. Ericsson Telephone
Company,Class B, ADR 123,500 2,408,250
ETEC Systems, Incorporated* 50,000 562,500
The accompanying notes are an integral part of the financial statements.
28
<PAGE> 46
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------ -----
ELECTRONICS - CONTINUED
Integrated Device Technology* 11,000 $ 141,625
Intel Corporation 75,000 4,256,250
KLA Instruments Corporation* 20,000 521,250
Linear Technology Corporation 55,000 2,158,750
LSI Logic Corporation* 62,000 2,030,500
Maxim Integrated
Products, Incorporated* 30,000 1,155,000
MicroCom, Incorporated* 35,000 910,000
Motorola, Incorporated 60,000 3,420,000
Photon Dynamics,Incorporated* 50,000 400,000
Silicon Graphics,Incorporated* 45,000 1,237,500
Tellabs, Incorporated* 40,000 1,480,000
VLSI Technology,Incorporated* 20,000 362,500
Xilinx, Incorporated* 20,000 610,000
---------
23,742,075
FINANCIAL SERVICES - 7.85%
American Express Company 75,000 3,103,125
Dean Witter Discover & Company 55,000 2,585,000
Federal Home Loan Mortgage
Corporation 80,000 6,680,000
Federal National Mortgage
Association 55,000 6,826,875
Imperial Credit Industries,
Incorporated* 100,000 2,175,000
Mercury Finance Corporation 30,000 397,500
-----------
21,767,500
FOOD & BEVERAGES - 5.04%
The Coca Cola Company 100,000 7,425,000
PepsiCo, Incorporated 75,000 4,190,625
WM Wrigley Jr. Company 45,000 2,362,500
----------
13,978,125
HOTELS & RESTAURANTS - 1.39%
McDonald's Corporation 70,000 3,158,750
Mirage Resorts, Incorporated* 20,000 690,000
----------
3,848,750
HOUSEHOLD APPLIANCES FURNISHING -0.45%
Aaron Rents,Incorporated,
Class B 70,000 1,260,000
---------
HOUSEHOLD PRODUCTS - 4.24%
Colgate Palmolive Company 40,000 2,810,000
Gillette Company 140,000 7,297,500
Procter & Gamble Company 20,000 1,660,000
----------
11,767,500
INDUSTRIAL MACHINERY -1.13%
Applied Materials,Incorporated* 35,000 1,378,125
MSC Industrial Direct,
Incorporated,Class A 50,000 1,375,000
Silicon Valley Group,
Incorporated* 15,000 378,750
----------
3,131,875
INVESTMENT COMPANIES - 0.70%
Invesco PLC, ADR 50,000 1,937,500
---------
LEISURE TIME - 5.69%
Anchor Gaming* 156,600 $ 3,562,650
Carnival Corporation 200,000 4,875,000
Circus Circus Enterprises,
Incorporated* 65,000 1,811,875
The Walt Disney Company 75,000 4,425,000
Regal Cinemas,Incorporated* 37,500 1,115,625
-----------
15,790,150
MUTUAL FUNDS - 2.21%
Asia Tigers Fund,Incorporated 125,000 1,390,625
Central European Equity
Fund,Incorporated 50,000 818,750
India Fund, Incorporated* 200,000 1,775,000
Korea Fund, Incorporated 55,759 1,226,698
Thai Fund, Incorporated 41,128 920,239
---------
6,131,312
NEWSPAPERS - 2.22%
News Corporation, Ltd.,ADR 93,000 1,790,250
Reuters Holdings PLC, ADR 79,000 4,354,875
---------
6,145,125
OFFICE FURNISHINGS & SUPPLIES - 0.99%
Staples, Incorporated* 75,000 1,828,125
Viking Office Products,
Incorporated* 20,000 930,000
---------
2,758,125
POLLUTION CONTROL - 1.08%
WMX Technologies,Incorporated 100,000 2,987,500
RETAIL GROCERY - 0.41%
Albertsons, Incorporated 35,000 1,150,625
RETAIL TRADE - 9.02%
Bed Bath & Beyond,Incorporated* 30,000 1,164,375
Circuit City Stores,Incorporated 50,000 1,381,250
Claire's Stores,Incorporated 50,000 881,250
Department 56,Incorporated* 20,000 767,500
Dollar General Corporation 110,000 2,282,500
Home Depot, Incorporated 105,000 5,026,875
Kohl's Corporation* 50,000 2,625,000
Leslie's Poolmart* 52,500 735,000
Office Depot,Incorporated* 85,000 1,678,750
Trend Lines, Incorporated* 67,500 675,000
Wal Mart Stores,Incorporated 225,000 5,034,375
Williams Sonoma,Incorporated* 150,000 2,775,000
-----------
25,026,875
SOFTWARE - 2.79%
Informix Corporation* 48,000 1,440,000
Insignia Solutions PLC, ADR* 40,000 470,000
Microsoft Corporation* 30,000 2,632,500
Oracle Systems Corporation* 64,000 2,712,000
Pinnacle Systems,Incorporated* 20,000 495,000
---------
7,749,500
The accompanying notes are an integral part of the financial statements.
29
<PAGE> 47
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------ -----
TELECOMMUNICATION SERVICES - 1.29%
CKS Group, Incorporated* 25,000 $ 975,000
MRV Communications,Incorporated* 15,000 380,625
Paging Network,Incorporated* 45,000 1,096,875
Spectrian Corporation* 20,000 445,000
Visioneer Communications,
Incorporated* 30,000 667,500
---------
3,565,000
TELEPHONE - 0.46%
PT Telekomunikasi
Indonesia, ADR* 50,000 1,262,500
---------
TOBACCO - 1.47%
Philip Morris Companies,
Incorporated 45,000 4,072,500
---------
TRUCKING & FREIGHT - 1.77%
Federal Express Corporation* 34,000 2,511,750
Harper Group, Incorporated 75,000 1,331,250
Smart & Final,Incorporated 50,000 1,062,500
---------
4,905,500
TOTAL COMMON STOCKS
(Cost: $204,631,642) $255,389,787
------------
WARRANTS - 0.29%
ELECTRONICS - 0.29%
Intel Corporation (Expiration
date 03/14/98; strike price
$38.75) 30,000 802,500
-------
TOTAL WARRANTS (Cost:$1,127,109) 802,500
----------
REPURCHASE AGREEMENT - 7.62%
Principal
Amount Value
- -------- -----
$21,144,000 Repurchase Agreement with State
Street Bank & Trust Company dated
12/29/95 at 5.00%, to be
repurchased at $21,155,747 on
01/02/96, collateralized by
$14,830,000 U.S. Treasury Bonds,
9.875% due 11/15/15
(valued at $21,756,996
including interest) $21,144,000
-----------
TOTAL INVESTMENTS
(Pasadena Growth Trust)
(Cost:$226,902,751) $277,336,287
============
EQUITY TRUST
Shares Value
------ -----
COMMON STOCK - 89.73%
AEROSPACE - 1.38%
Computer Sciences Corporation* 20,700 $ 1,454,175
Sun Microsystems,Incorporated* 83,100 3,791,437
U.S. Robotics Corporation* 94,200 8,266,050
----------
13,511,662
AGRICULTURAL MACHINERY -0.63%
Deere & Company 174,300 6,144,075
AIR TRAVEL - 1.25%
America West Airlines,
Incorporated, Class B* 73,400 1,247,800
AMR Corporation* 44,300 3,289,275
Atlantic Southeast
Airlines, Incorporated 12,600 270,900
Delta Air Lines,Incorporated 49,600 3,664,200
Midwest Express Holdings,
Incorporated* 800 22,200
Northwest Airlines
Corporation, Class A* 17,600 897,600
Southwest Airlines Company 65,400 1,520,550
Trans World Airlines,
Incorporated* 15,500 160,812
UAL Corporation * 6,100 1,088,850
----------
12,162,187
ALUMINUM - 0.84%
Aluminum Company of America 154,700 8,179,762
----------
APPAREL & TEXTILES - 1.26%
American Eagle Outfitters* 17,200 101,050
Cygne Designs,Incorporated* 24,300 22,781
Gucci Group NV* 3,400 132,175
Intimate Brands,Incorporated* 19,200 288,000
Just For Feet,Incorporated* 38,650 1,381,738
Kellwood Company 14,200 289,325
Mohawk Industrials,Incorporated* 9,800 153,125
Nautica Enterprises,Incorporated* 8,400 367,500
Nike, Incorporated, Class B 58,200 4,052,175
Reebok International, Ltd. 42,900 1,211,925
Talbots, Incorporated 65,800 1,891,750
Tommy Hilfiger Corporation* 57,800 2,449,275
----------
12,340,819
AUTOMOBILES - 3.66%
Chrysler Corporation 240,000 13,290,000
General Motors Corporation 166,900 8,824,837
General Motors Corporation,
Class E 175,200 9,110,400
General Motors Corporation,
Class H 86,100 4,229,662
Honda Motor Company 11,000 226,925
----------
35,681,824
AUTO PARTS - 0.53%
Autozone, Incorporated* 155,900 4,501,613
Dana Corporation 22,100 646,425
Lear Seating Corporation* 1,900 55,100
---------
5,203,138
BANKING - 3.60%
Banc One Corporation 16,400 619,100
Bank of New York,Incorporated 51,900 2,530,125
Bank of Boston Corporation 17,900 827,875
Chase Manhattan Corporation 31,000 1,879,375
Chemical Banking Corporation 71,400 4,194,750
Citicorp 149,500 10,053,875
First Interstate Bancorp 56,300 7,684,950
Nationsbank Corporation 105,000 7,310,625
----------
35,100,675
The accompanying notes are an integral part of the financial statements.
30
<PAGE> 48
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------ -----
BROADCASTING - 1.61%
American Radio Systems
Corporation* 7,100 $ 198,800
Belo (A.H.) Corporation 6,300 218,925
British Sky Broadcast Group,ADR* 1,300 48,913
Clear Channel Communications* 26,000 1,147,250
Comcast Corporation 42,000 763,875
Grupo Televisa S.A., ADR 29,700 668,250
Emmis Broadcasting Corporation* 8,100 251,100
Infinity Broadcasting
Corporation* 75,692 2,819,527
Viacom, Incorporated, Class A* 6,952 318,923
Viacom, Incorporated, Class B* 195,873 9,279,483
----------
15,715,046
BUSINESS SERVICES - 1.75%
America Online, Incorporated* 100,000 3,750,000
Automatic Data
Processing, Incorporate 51,500 3,823,875
Boca Research, Incorporated* 4,700 124,550
CUC International,
Incorporated* 158,025 5,392,603
Danka Business Systems, ADR 3,400 125,800
First Data Corporation 25,691 1,718,086
Nokia Corporation, ADR 30,600 1,189,575
Paychex, Incorporated 13,650 680,794
Spectrum Holobyte,Incorporated* 12,000 78,000
Stratacom, Incorporated* 3,300 242,550
----------
17,125,833
CHEMICALS - 0.92%
Airgas, Incorporated* 28,700 954,275
E.I. Du Pont De Nemours &
Company, Incorporated 54,500 3,808,187
First Mississippi Corporation 15,500 410,750
Guilford Pharmaceuticals,
Incorporated* 19,900 315,913
Monsanto Company 5,100 624,750
Rohm & Haas Company 1,800 115,875
Union Carbide Corporation 67,600 2,535,000
Wang Laboratories,Incorporated* 13,700 227,763
---------
8,992,513
COMPUTERS & BUSINESS EQUIPMENT -9.20%
3Com Corporation* 186,916 8,714,958
Bay Networks, Incorporated* 270,900 11,140,762
Cabletron Systems,Incorporated* 8,200 664,200
Ceridian Corporation* 43,800 1,806,750
Cisco Systems, Incorporated* 263,900 19,693,537
Compaq Computer Corporation* 357,300 17,150,400
Dell Computer Corporation* 170,000 5,886,250
Digital Equipment Corporation* 53,600 3,437,100
Digital Link Corporation* 12,900 182,213
DST Systems, Incorporated* 4,600 131,100
Hewlett-Packard Company 76,200 6,381,750
International Business
Machines Corporation 63,100 5,789,425
Komag, Incorporated* 28,100 1,296,112
Oak Technology* 21,300 899,925
Seagate Technology* 63,700 3,025,750
Stratus Computer,Incorporated* 11,300 391,263
Tech Data Corporation* 19,900 298,500
Xerox Corporation 20,800 2,849,600
Xircom, Incorporated* 4,300 53,213
----------
89,792,808
CONSTRUCTION & MINING EQUIPMENT -0.36%
Caterpillar, Incorporated 60,100 3,530,875
---------
CONSTRUCTION MATERIALS -0.07%
Armstrong World Industrials,
Incorporated 11,400 706,800
-------
CRUDE PETROLEUM AND NATURAL GAS -0.27%
Barrett Resources Corporation* 2,100 61,688
Burlington Resources,
Incorporated 23,200 910,600
Enron Oil and Gas Company 31,100 746,400
Union Pacific Resources
Group,Incorporated 36,100 916,037
---------
2,634,725
DOMESTIC OIL - 0.04%
Unocal Corporation 11,900 346,588
-------
DRUGS & HEALTH CARE -11.18%
Allergan, Incorporated 26,800 871,000
Alza Corporation* 45,900 1,136,025
American Home Products
Corporation 58,400 5,664,800
Amgen, Incorporated* 151,800 9,013,125
Baxter International,
Incorporated 35,000 1,465,625
Becton Dickinson & Company 43,000 3,225,000
Biogen, Incorporated* 81,500 5,012,250
Bristol Myers Squibb Company 77,700 6,672,487
Columbia/HCA-Healthcare
Corporation 114,480 5,809,860
Elan Corporation PLC, ADR* 12,350 600,519
Exogen, Incorporated* 10,500 202,125
General Nutrition
Companies, Incorporated* 138,300 3,180,900
Genetics Institute,Incorporated* 5,100 272,850
Grupo Casa Autrey, ADR 18,400 246,100
Guidant Corporation 9,400 397,150
Healthsouth Corporation 154,600 4,502,725
IVAX Corporation 7,800 222,300
Johnson & Johnson 188,500 16,140,312
Eli Lilly & Company 67,000 3,768,750
Lincare Holdings,Incorporated* 4,900 122,500
Medisense, Incorporated* 13,300 420,613
Medtronic, Incorporated 22,600 1,262,775
Merck & Company,Incorporated 182,300 11,986,225
National Surgery Centers,
Incorporated* 600 13,800
Pfizer, Incorporated 125,800 7,925,400
Rhone Poulenc Rorer,
Incorporated 20,100 1,070,325
Schering Plough Corporation 175,600 9,614,100
St. Jude Medical,Incorporated 29,550 1,270,650
The accompanying notes are an integral part of the financial statements.
31
<PAGE> 49
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------ -----
DRUGS & HEALTH CARE - CONTINUED
Therapeutic Discovery
Corporation* 3,000 $ 21,750
U.S. Healthcare, Incorporated 135,000 6,277,500
Vencor, Incorporated* 15,700 510,250
Watson Pharmaceuticals, Incorporated* 4,600 225,400
------------
109,125,191
EDUCATIONAL SERVICES - 0.01%
Apollo Group, Incorporated, Class A* 6,799 266,011
------------
ELECTRICAL EQUIPMENT - 3.61%
Atmel Corporation* 108,200 2,420,975
Boston Scientific Corporation* 20,200 989,800
General Electric Company 402,400 28,972,800
Hitachi 1,000 10,073
Micros Systems, Incorporated* 36,200 1,782,850
Millipore Corporation 8,200 337,225
Novellus Systems, Incorporated* 14,000 756,000
------------
35,269,723
ELECTRONICS - 6.54%
Adaptec, Incorporated 34,700 1,422,700
ADC Telecommunications, Incorporated* 25,000 912,500
Adflex Solutions, Incorporated* 8,700 232,725
Altera Corporation* 118,900 5,915,275
Analog Devices, Incorporated* 126,250 4,466,094
DSC Communications Corporation* 246,200 9,078,625
General Instrument Corporation* 4,900 114,538
Intel Corporation 108,000 6,129,000
Inter-Tel, Incorporated* 10,600 163,637
Iomega Corporation 1,500 72,938
Leitch Technology Corporation* 14,100 353,662
Linear Technology Corporation 144,000 5,652,000
LSI Logic Corporation* 129,300 4,234,575
Maxim Integrated Products,
Incorporated* 167,300 6,441,050
Microcom, Incorporated* 16,000 416,000
Newbridge Networks Corporation* 52,400 2,168,050
S 3, Incorporated* 95,300 1,679,661
Scientific Atlanta, Incorporated 53,000 795,000
SGS Thomson Microelectronics,
Incorporated* 38,900 1,565,725
Silicon Graphics, Incorporated* 197,970 5,444,175
Tencor Instruments* 42,900 1,045,688
Texas Instruments, Incorporated 19,000 983,250
Uniphase Corporation* 47,600 1,701,700
Xilinx, Incorporated* 93,300 2,845,650
------------
63,834,218
FINANCIAL SERVICES - 6.52%
Allmerica Financial Corporation* 1,700 45,900
Allstate Corporation 35,876 1,475,400
American Express Company 314,600 13,016,575
Beneficial Corporation 29,000 1,352,125
Case Corporation 54,900 2,511,675
FINANCIAL SERVICES - CONTINUED
Corporate Express, Incorporated* 47,000 1,415,875
Daiwa Securities 72,000 1,101,792
Federal Home Loan Mortgage Corporation 136,300 11,381,050
Federal National Mortgage Association 164,300 20,393,737
Green Tree Financial Corporation 79,800 2,104,725
Household International, Incorporated 700 41,388
Merrill Lynch & Company, Incorporated 105,500 5,380,500
Student Loan Marketing Association 13,100 862,963
Travelers Group, Incorporated 23,199 1,458,637
Yamaichi Securities Company 142,000 1,104,368
-----------
63,646,710
FOOD & BEVERAGES - 0.61%
Nabisco Holdings Corporation 49,400 1,611,675
Outback Steakhouse, Incorporated* 19,600 703,150
Panamerican Beverages, Incorporated* 14,900 476,800
PepsiCo, Incorporated 55,900 3,123,412
-----------
5,915,037
HOMEBUILDERS - 0.04%
Centex Corporation 10,600 368,353
-----------
HOTELS AND RESTAURANTS - 0.20%
Brinker International, Incorporated* 8,100 122,512
Bristol Hotel Company* 1,100 26,813
HFS, Incorporated* 10,100 825,675
La Quinta Inns, Incorporated 10,500 287,437
Mirage Resorts, Incorporated* 21,000 724,500
-----------
1,986,937
HOUSEHOLD APPLIANCES FURNISHING - 0.30%
Campo Electronics Appliances* 30,000 90,000
Leggett & Platt, Incorporated 29,800 722,650
Whirlpool Corporation 40,000 2,130,000
-----------
2,942,650
INDUSTRIAL MACHINERY - 0.38%
Applied Materials, Incorporated* 49,700 1,956,938
Integrated Process Equipment
Corporation* 24,000 564,000
Magna International, Incorporated 17,500 756,875
MSC Industrial Direct, Incorporated,
Class A* 3,500 96,250
Pall Corporation 3,600 96,750
Thermo Electron Corporation* 5,500 286,000
-----------
3,756,813
INTERNATIONAL OIL - 0.26%
British Petroleum PLC, ADR 25,214 2,574,980
-----------
INSURANCE - 0.52%
Aetna Life & Casualty Company 22,200 1,537,350
American International Group,
Incorporated 4,300 397,750
Chubb Corporation 5,100 493,425
The accompanying notes are an integral part of the financial statements.
32
<PAGE> 50
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------ -----
INSURANCE - CONTINUED
Cigna Corporation 16,200 $ 1,672,650
General Re Corporation 4,300 666,500
Prudential Reinsurance Holdings,
Incorporated* 11,500 268,813
-----------
5,036,488
INVESTMENT COMPANIES - 0.32%
Morgan Stanley Group, Incorporated 4,500 362,813
Nomura Securities 47,000 1,024,213
Charles Schwab Corporation 86,700 1,744,837
-----------
3,131,863
LEISURE TIME - 0.69%
Callaway Golf Company 46,300 1,047,537
Carnival Corporation 39,200 955,500
Cobra Golf, Incorporated* 31,100 1,107,937
The Walt Disney Company 48,500 2,861,500
Hollywood Entertainment Corporation* 61,900 518,413
International Game Technology 19,400 210,975
-----------
6,701,862
LIQUOR - 0.08%
Pete's Brewing Company* 600 8,400
Boston Beer Company, Incorporated,
Class A* 500 11,875
Seagram, Ltd. 23,300 806,762
-----------
827,037
MINING - 0.31%
Diamond Offshore Drilling,
Incorporated* 20,900 705,375
Inco, Ltd. 68,400 2,274,300
-----------
2,979,675
MISCELLANEOUS - 0.05%
Adidas AG* 6,900 365,082
ARV Assisted Living* 7,800 91,650
Mecon, Incorporated* 600 9,525
Spacetex IMC Corporation* 1,700 19,975
-----------
486,232
NEWSPAPERS - 0.58%
Dow Jones & Company, Incorporated 33,300 1,327,837
Gannett, Incorporated 30,300 1,859,662
News Corporation, Ltd., ADR 15,600 333,450
Knight Ridder, Incorporated 34,200 2,137,500
-----------
5,658,449
OFFICE FURNISHINGS & SUPPLIES - 1.47%
OfficeMax, Incorporated* 217,850 4,874,394
Staples, Incorporated* 338,175 8,243,016
U.S. Office Products Company* 1,900 43,225
Viking Office Products, Incorporated* 24,700 1,148,550
-----------
14,309,185
PAPER - 0.37%
Alco Standard Corporation 47,400 2,162,625
Champion International Corporation 35,600 1,495,200
-----------
3,657,825
PETROLEUM SERVICES - 0.83%
Dresser Industrials, Incorporated 15,400 375,375
McDermott International, Incorporated 6,900 151,800
Petroleum Geo-Services A/S, ADR* 13,300 332,500
Schlumberger, Ltd. 79,800 $ 5,526,150
Western Atlas, Incorporated* 33,500 1,691,750
-----------
8,077,575
PHOTOGRAPHY - 0.38%
Canon, Incorporated 91,000 1,648,136
Eastman Kodak Company 31,200 2,090,400
-----------
3,738,536
POLLUTION CONTROL - 0.43%
Sanifill, Incorporated* 6,300 210,263
WMX Technologies, Incorporated 132,800 3,967,400
-----------
4,177,663
PUBLISHING - 0.59%
Big Flower Press Holdings,
Incorporated* 30,700 475,850
Time Warner, Incorporated 138,700 5,253,262
-----------
5,729,112
RAILROADS & EQUIPMENT - 0.93%
Burlington Northern Santa Fe 6,900 538,200
Conrail, Incorporated 19,200 1,344,000
CSX Corporation 145,600 6,643,000
Swift Transportation Company,
Incorporated* 38,200 582,550
-----------
9,107,750
REAL ESTATE - 0.01%
Welcome Home, Incorporated* 18,000 51,750
-----------
RETAIL GROCERY - 0.09%
Starbucks Corporation* 41,000 861,000
-----------
RETAIL TRADE - 6.78%
Barnes & Noble, Incorporated* 16,200 469,800
Bed Bath & Beyond, Incorporated* 43,900 1,703,869
Circuit City Stores, Incorporated 57,600 1,591,200
CompUSA, Incorporated* 129,800 4,040,025
Dayton Hudson Corporation 125,700 9,427,500
Ellett Brothers, Incorporated 25,300 202,400
Federated Department Stores,
Incorporated* 35,000 962,500
GAP, Incorporated 81,600 3,427,200
Global Directmail Corporation* 7,600 209,000
Henry Schein, Incorporated* 5,400 159,300
Home Depot, Incorporated 141,700 6,783,887
Limited, Incorporated 212,300 3,688,713
Lowes Companies, Incorporated 431,900 14,468,650
Nine West Group, Incorporated* 2,700 101,250
Office Depot, Incorporated* 119,825 2,366,544
PeopleSoft, Incorporated* 38,800 1,668,400
Pep Boys (Manny Moe & Jack) 56,800 1,455,500
Petco Animal Supplies, Incorporated* 7,500 219,375
Price Costco, Incorporated* 10,500 160,125
Price Enterprises, Incorporated* 93,200 1,432,950
Sears Roebuck & Company 38,700 1,509,300
Sunglass Hut International,
Incorporated* 78,700 1,869,125
TJX Companies, Incorporated 94,400 1,781,800
The accompanying notes are an integral part of the financial statements.
33
<PAGE> 51
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------ -----
RETAIL TRADE - CONTINUED
ValueVision International,
Incorporated* 1,700 $ 9,456
Waban, Incorporated* 19,400 363,750
Wal Mart Stores, Incorporated 265,800 5,947,275
Woolworth Corporation* 15,600 202,800
-----------
66,221,694
SOFTWARE - 6.72%
A.D.A.M. Software, Incorporated* 6,500 42,250
Arbor Software Corporation* 300 14,175
Broderbund Software, Incorporated* 52,600 3,195,450
Business Objects SA, ADR* 2,400 116,100
Cadence Design Systems, Incorporated* 169,950 7,137,900
Cooper & Chyan Technology,
Incorporated* 1,200 18,900
Diamond Multimedia Systems,
Incorporated* 5,200 186,550
Discreet Logic, Incorporated* 19,200 480,000
Electronic Arts* 103,500 2,703,937
FTP Software, Incorporated* 21,800 632,200
Insignia Solutions PLC, ADR* 8,100 95,175
Madge Networks NV* 26,200 1,172,450
Mercury Interactive Corporation* 20,400 372,300
Micro Warehouse, Incorporated* 71,900 3,109,675
Microsoft Corporation* 153,500 13,469,625
Oracle Systems Corporation* 576,550 24,431,306
Parametric Technology Corporation* 93,200 6,197,800
Softkey International, Incorporated* 5,000 115,625
Sterling Software, Incorporated* 900 56,138
Structural Dynamics Research
Corporation* 30,000 881,250
Symantec Corporation* 39,300 913,725
Tivoli Systems, Incorporated* 6,300 212,625
Verity, Incorporated* 400 17,700
Visio Corporation* 700 19,775
-----------
65,592,631
STEEL - 0.09%
Nucor Corporation 15,300 874,012
-----------
TELECOMMUNICATION SERVICES - 2.65%
Ascend Communications, Incorporated* 82,900 6,725,262
Cascade Communications Corporation* 19,700 1,679,425
Hummingbird Communications, Ltd.* 7,700 311,850
K-III Communications Corporation* 30,700 372,238
NETCOM On-Line Communications* 18,800 676,800
Palmer Wireless, Incorporated* 7,900 173,800
SBC Communications, Incorporated 211,400 12,155,500
Tele-Communications, Incorporated,
Class A 55,000 1,093,125
Tele-Communications, Incorporated 13,750 369,531
Telular Corporation* 9,500 81,938
TeleCommun Brasil-Telebras, ADR* 36,000 1,705,500
Vanguard Cellular Systems,
Incorporated* 27,500 556,875
-----------
25,901,844
TELEPHONE - 6.22%
AirTouch Communications, Incorporated* 269,435 7,611,539
Ameritech Corporation 189,500 11,180,500
American Telephone & Telegraph
Corporation 163,700 10,599,575
Bell Atlantic Corporation 70,700 4,728,062
Bellsouth Corporation 333,200 14,494,200
Frontier Corporation 116,700 3,501,000
LCI International, Incorporated* 62,600 1,283,300
NYNEX Corporation 99,500 5,373,000
Telefonos De Mexico SA, ADR 25,300 806,438
Worldcom, Incorporated* 33,200 1,170,300
------------
60,747,914
TIRES & RUBBER - 0.08%
Goodyear Tire and Rubber 16,400 744,150
------------
TOBACCO - 2.31%
Philip Morris Companies, Incorporated 246,000 22,263,000
RJR Nabisco Holdings Corporation 10,360 319,865
------------
22,582,865
TRUCKING & FREIGHT - 0.18%
Airborne Freight Corporation 11,500 306,187
J.B. Hunt Transport Services, 15,300 256,275
Incorporated
PST Vans, Incorporated* 3,300 15,263
Landstar Systems, Incorporated* 44,900 1,201,075
------------
1,778,800
TOTAL COMMON STOCKS
(Cost: $710,326,341) $875,831,865
------------
PREFERRED STOCK - 0.01%
SOFTWARE - 0.01%
Sap AG 300 45,383
------------
TOTAL PREFERRED STOCKS
(Cost: $23,637) $ 45,383
------------
REPURCHASE AGREEMENT - 10.26%
Principal
Amount Value
- --------- -----
$100,188,000 Repurchase Agreement with State
Street Bank & Trust Company dated
12/29/95 at 5.00%, to be repurchased
at $100,243,660 on 01/02/96,
collateralized by $89,055,000
U.S. Treasury Bonds, 7.25% due
05/15/16 (valued at $102,998,896
including interest) $100,188,000
------------
TOTAL INVESTMENTS
(Equity Trust) (Cost: $810,537,978) $976,065,248
============
The accompanying notes are an integral part of the financial statements.
34
<PAGE> 52
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
VALUE EQUITY TRUST
Shares Value
------ -----
COMMON STOCK - 88.88%
AEROSPACE - 4.53%
McDonnell Douglas Corporation 86,600 $ 7,967,200
Northrop Grumman Corporation 155,400 9,945,600
-----------
17,912,800
AIR TRAVEL - 1.97%
AMR Corporation 104,600 7,766,550
-----------
AUTOMOBILES - 2.91%
Ford Motor Company 396,400 11,495,600
-----------
AUTO PARTS - 2.37%
Lear Seating Corporation* 323,300 9,375,700
-----------
BANKING - 2.79%
Nationsbank Corporation 158,300 11,021,637
-----------
CHEMICALS - 1.95%
Geon Company 316,800 7,722,000
-----------
COMPUTERS & BUSINESS EQUIPMENT - 1.11%
Compaq Computer Corporation* 91,200 4,377,600
-----------
CONTAINERS & GLASS - 0.62%
Owens-Illinois, Incorporated* 167,800 2,433,100
-----------
CONSTRUCTION & MINING EQUIPMENT - 1.60%
Harnischfeger Industries, Incorporated 189,800 6,310,850
-----------
DOMESTIC OIL - 1.06 %
Tenneco, Incorporated 84,300 4,183,388
-----------
DRUGS & HEALTH CARE - 5.78%
Beverly Enterprises, Incorporated* 46,500 494,063
Columbia/HCA Healthcare Corporation 115,400 5,856,550
Tambrands, Incorporated 60,100 2,869,775
Tenet Healthcare Corporation* 537,600 11,155,200
U.S. Healthcare, Incorporated 52,700 2,450,550
-----------
22,826,138
ELECTRICAL EQUIPMENT - 3.30%
Fisher Scientific International,
Incorporated 148,900 4,969,538
Millipore Corporation 196,000 8,060,500
-----------
13,030,038
ELECTRIC UTILITIES - 0.91%
Long Island Lighting Company 220,600 3,612,325
-----------
ELECTRONICS - 3.01%
Intel Corporation 71,800 4,074,650
National Semiconductor Corporation* 91,500 2,035,875
Perkin Elmer Corporation 93,200 3,518,300
Varian Associates, Incorporated 47,100 2,249,025
-----------
11,877,850
FINANCIAL SERVICES - 7.78%
Federal Home Loan Mortgage Corporation 7,900 659,650
Federal National Mortgage Association 65,900 8,179,838
First USA, Incorporated 183,600 8,147,250
Fleet Financial Group, Incorporated 96,179 3,919,294
Partner Re Holding 298,100 8,197,750
Salomon, Incorporated 46,200 1,640,100
-----------
30,743,882
FOOD & BEVERAGES - 0.44%
Chiquita Brands International,
Incorporated 126,100 1,733,875
-----------
FOREST PRODUCTS - 3.05%
Georgia Pacific Corporation 175,300 12,029,962
-----------
HOUSEHOLD PRODUCTS - 2.10%
Snap On, Incorporated 183,300 8,294,325
-----------
INDUSTRIAL MACHINERY - 3.04%
Keystone International, Incorporated 37,000 740,000
Pall Corporation 279,700 7,516,937
Silicon Valley Group, Incorporated* 149,400 3,772,350
-----------
12,029,287
INSURANCE - 1.37%
Integon Corporation 53,800 1,109,625
Lincoln National Corporation,
Incorporated 79,900 4,294,625
-----------
5,404,250
INTERNATIONAL OIL - 5.49%
Amoco Corporation 24,300 1,746,563
Chevron Corporation 27,800 1,459,500
Exxon Corporation 29,300 2,347,662
Mobil Corporation 32,200 3,606,400
Royal Dutch Petroleum Company 12,900 1,820,513
Texaco, Incorporated 136,300 10,699,550
-----------
21,680,188
INVESTMENT COMPANIES - 1.01%
Lehman Brothers Holdings, Incorporated 188,300 4,001,375
-----------
NEWSPAPERS - 0.61%
Knight Ridder, Incorporated 38,500 2,406,250
-----------
PAPER - 2.08%
Stone Container Corporation 572,800 8,234,000
-----------
PLASTICS - 0.82%
First Brands Corporation 67,900 3,233,737
-----------
RAILROADS & EQUIPMENT - 0.65%
Trinity Industries, Incorporated 81,400 2,564,100
-----------
The accompanying notes are an integral part of the financial statements.
35
<PAGE> 53
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------ -----
RETAIL TRADE - 9.90%
Charming Shoppes, Incorporated 864,300 $ 2,484,863
Dillard Department Stores,
Incorporated 362,100 10,319,850
Musicland Stores Corporation* 376,500 1,600,125
J.C. Penney Company, Incorporated 78,600 3,743,325
Sears Roebuck & Company 48,800 1,903,200
Service Merchandise Company,
Incorporated* 531,900 2,659,500
TJX Companies, Incorporated 399,300 7,536,788
Wal Mart Stores, Incorporated 395,300 8,844,837
------------
39,092,488
STEEL - 0.88%
Quanex Corporation 178,600 3,460,375
------------
TELECOMMUNICATION SERVICES - 4.76%
Tele-Communications, Incorporated* 484,400 9,627,450
Valassis Communications, Incorporated* 525,100 9,189,250
------------
18,816,700
TELEPHONE - 1.75%
American Telephone & Telegraph
Corporation 106,900 6,921,775
------------
TOBACCO - 5.38%
Philip Morris Companies,
Incorporated 108,800 9,846,400
RJR Nabisco Holdings Corporation 123,600 3,816,150
Universal Corporation 312,100 7,607,437
------------
21,269,987
TRUCKING & FREIGHT - 3.87%
Consolidated Freightways, Incorporated 423,100 11,212,150
Kirby Corporation* 250,200 4,065,750
------------
15,277,900
TOTAL COMMON STOCKS
(Cost: $321,274,838) $351,140,032
------------
REPURCHASE AGREEMENT - 11.12%
Principal
Amount Value
- --------- -----
$43,932,000 Repurchase Agreement with State
Street Bank & Trust Company dated
12/29/95 at 5.75%, to be repurchased
at $43,960,068 on 01/02/96,
collateralized by $28,310,000
U.S. Treasury Bonds, 12.00% due
08/15/13 (valued at $46,087,004
including interest) $ 43,932,000
------------
TOTAL INVESTMENTS
(Value Equity Trust) (Cost: $365,206,838) $395,072,032
============
GROWTH AND INCOME TRUST
Shares Value
------ -----
COMMON STOCK - 94.70%
AEROSPACE - 1.84%
Boeing Company 60,000 $ 4,702,500
Northrop Grumman Corporation 120,000 7,680,000
-----------
12,382,500
ALUMINUM - 1.16%
Alcan Aluminum, Ltd. 250,000 7,781,250
-----------
AUTOMOBILES - 2.56%
Chrysler Corporation 149,450 8,275,794
Ford Motor Company 306,436 8,886,638
-----------
17,162,432
BANKING - 4.44%
Citicorp 139,000 9,347,750
J.P. Morgan & Company, Incorporated 170,000 13,642,500
Republic New York Corporation 110,000 6,833,750
-----------
29,824,000
BROADCASTING - 2.12%
Viacom, Incorporated, Class B* 300,000 14,212,500
-----------
BUSINESS SERVICES - 1.85%
First Data Corporation 107,000 7,155,625
Nokia Corporation, ADR 135,000 5,248,125
-----------
12,403,750
CHEMICALS - 4.80%
Dow Chemical Company 120,900 8,508,338
Engelhard Corporation 270,000 5,872,500
Morton International, Incorporated 290,000 10,403,750
Zeneca Group PLC, ADR 127,500 7,442,812
-----------
32,227,400
COMPUTERS & BUSINESS EQUIPMENT - 4.47%
Hewlett Packard Company 115,000 9,631,250
International Business Machines
Corporation 145,000 13,303,750
Metatools, Incorporated 200 5,200
Xerox Corporation 51,600 7,069,200
-----------
30,009,400
CONSTRUCTION & MINING EQUIPMENT - 1.04%
Foster Wheeler Corporation 165,000 7,012,500
-----------
DOMESTIC OIL - 1.86%
Unocal Corporation 430,000 12,523,750
-----------
DRUGS & HEALTH CARE - 10.23%
Abbott Labs 220,000 9,185,000
Bristol Myers Squibb Company 90,000 7,728,750
Johnson & Johnson 97,000 8,305,625
McKesson Corporation 183,000 9,264,375
Pfizer, Incorporated 236,000 14,868,000
Rhone Poulenc Rorer, Incorporated 187,500 9,984,375
Sankyo Company 265,000 5,954,479
Warner Lambert Company 35,000 3,399,375
-----------
68,689,979
The accompanying notes are an integral part of the financial statements.
36
<PAGE> 54
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------ -----
ELECTRICAL EQUIPMENT - 2.51%
General Electric Company 125,000 $ 9,000,000
Hubbell, Incorporated, Class B 120,000 7,890,000
-----------
16,890,000
ELECTRIC UTILITIES - 4.12%
DPL, Incorporated 350,000 8,662,500
Pinnacle West Capital Corporation 275,000 7,906,250
Texas Utilities Company 270,000 11,103,750
-----------
27,672,500
ELECTRONICS - 2.42%
AMP, Incorporated 300,000 11,512,500
General Instrument Corporation 202,105 4,724,210
-----------
16,236,710
FINANCIAL SERVICES - 3.63%
Federal National Mortgage Association 60,000 7,447,500
Fleet Financial Group, Incorporated 238,000 9,698,500
State Street Boston Corporation 161,000 7,245,000
-----------
24,391,000
FOOD & BEVERAGES - 3.10%
General Mills, Incorporated 117,000 6,756,750
PepsiCo, Incorporated 115,000 6,425,625
Sara Lee Corporation 239,900 7,646,813
-----------
20,829,188
FOREST PRODUCTS - 0.78%
Georgia Pacific Corporation 76,200 5,229,225
-----------
HOUSEHOLD PRODUCTS - 2.61%
Colgate Palmolive Company 120,000 8,430,000
Procter & Gamble Company 109,900 9,121,700
-----------
17,551,700
INDUSTRIAL MACHINERY - 2.14%
Keystone International, Incorporated 356,000 7,120,000
York International Corporation 154,200 7,247,400
-----------
14,367,400
INSURANCE - 4.75%
Chubb Corporation 126,000 12,190,500
General Re Corporation 88,000 13,640,000
Marsh & McLennan Companies,
Incorporated 68,400 6,070,500
-----------
31,901,000
INTERNATIONAL OIL - 5.04%
Amoco Corporation 165,000 11,859,375
Chevron Corporation 208,500 10,946,250
Exxon Corporation 138,000 11,057,250
-----------
33,862,875
LIQUOR - 1.37%
Anheuser-Busch Companies, Incorporated 138,000 9,228,750
-----------
NEWSPAPERS - 1.69%
Gannett, Incorporated 185,000 11,354,375
-----------
PAPER - 5.24%
International Paper Company 300,000 11,362,500
Kimberly Clark Corporation 145,000 11,998,750
Minnesota Mining & Manufacturing
Company 179,000 11,858,750
------------
35,220,000
PETROLEUM SERVICES - 1.02%
Dresser Industries, Incorporated 280,000 6,825,000
------------
PHOTOGRAPHY - 0.52%
Eastman Kodak Company 51,900 3,477,300
------------
POLLUTION CONTROL - 1.12%
Browning Ferris Industries,
Incorporated 255,000 7,522,500
------------
PUBLISHING - 1.49%
Dun & Bradstreet Corporation 155,000 10,036,250
------------
REAL ESTATE - 0.53%
Storage USA, Incorporated 108,200 3,530,025
------------
RETAIL TRADE - 4.49%
May Department Stores Company 175,000 7,393,750
J.C. Penney Company, Incorporated 140,000 6,667,500
Rite Aid Corporation 255,000 8,733,750
Wal Mart Stores, Incorporated 330,000 7,383,750
------------
30,178,750
SOFTWARE - 0.99%
Policy Management Systems Corporation* 140,000 6,667,500
------------
TELEPHONE - 7.78%
American Telephone & Telegraph
Corporation 179,000 11,590,250
BCE, Incorporated 250,000 8,625,000
NYNEX Corporation 228,400 12,333,600
U.S. West, Incorporated 388,860 13,901,745
VodaFone Group PLC, ADR 165,000 5,816,250
------------
52,266,845
TIRES & RUBBER - 0.98%
Goodyear Tire and Rubber 145,000 6,579,375
------------
TOTAL COMMON STOCKS
(Cost: $516,858,855) $636,047,729
------------
PREFERRED STOCKS - 0.70%
COMPUTERS & BUSINESS EQUIPMENT - 0.70%
Ceridian Corporation 50,900 4,708,250
------------
TOTAL PREFERRED STOCKS
(Cost: $2,575,030) $ 4,708,250
------------
The accompanying notes are an integral part of the financial statements.
37
<PAGE> 55
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Principal
Amount Value
--------- -----
CONVERTIBLE BONDS - 3.25%
AMR Corporation, 6.125% due 11/01/24 $6,000,000 $ 6,210,000
Beverly Enterprises, Incorporated,
5.50% due 08/01/18 7,500,000 7,200,000
Noble Affiliates, Incorporated,
4.25% due 11/01/03 8,400,000 8,400,000
------------
TOTAL CONVERTIBLE BONDS
(Cost: $22,094,684) $ 21,810,000
------------
REPURCHASE AGREEMENT - 1.35%
Principal
Amount Value
- --------- -----
$9,072,000 Repurchase Agreement with Shearson
Lehman dated 12/29/95 at 5.93%, to
be repurchased at $9,077,977 on
01/02/96, collateralized by
$26,310,000 U.S. Treasury Strips,
5.59% due 02/15/13 (valued at
$9,657,068 including interest) $ 9,072,000
------------
TOTAL INVESTMENTS
(Growth & Income Trust)
(Cost: $550,600,569) $671,637,979
============
INTERNATIONAL GROWTH & INCOME TRUST
Shares Value
------ -----
COMMON STOCK - 83.30%
AIR TRAVEL - 0.11%
Singapore Airlines 10,000 $ 93,319
------------
AGRICULTURAL MACHINERY - 0.23%
Kvaerner AS 6,000 200,818
------------
ALUMINUM - 0.33%
Sankyo Aluminium 53,000 283,864
------------
APPAREL & TEXTILES - 1.13%
Christian Dior 2,925 315,377
Kurabo Industries 60,000 229,540
Tomen Corporation 120,000 442,809
------------
987,726
AUTO PARTS - 0.50%
Fuji Heavy Industries* 80,000 315,351
Nissan Diesel Motor* 25,000 116,465
------------
431,816
AUTOMOBILES - 3.81%
Cycle & Carriage 12,000 119,618
Daimler Benz AG 335 168,609
Honda Motor Company 20,000 412,591
Mitsubishi Motor Corporation 45,000 366,538
Nissan Motor Company, Ltd. 25,000 192,010
Regie Nationale Des Usines Renault 7,100 204,431
Rolls Royce PLC 73,000 213,139
Toyota Motor Corporation 60,000 1,272,639
Volkswagen AG 1,120 374,452
------------
3,324,027
BANKING - 12.87%
ABN AMRO Holdings NV 6,000 273,322
Asahi Bank, Ltd. 50,000 629,540
Barclays 26,000 297,997
Banco Intercontinental Espanol 1,580 153,702
Banco Popular Espanol SA 1,250 230,523
Credit Company France 5,800 295,981
Credit Local De France 2,070 165,701
CS Holdings AG 4,485 459,776
Dai Ichi Kangyo Bank 35,000 688,136
Daiwa Bank 120,000 970,460
Deutsche Bank AG 8,000 379,059
Development Bank Singapore 16,000 199,081
Dresdner Bank AG 5,000 133,496
Deutsche Pfandbrief & Hypobk 5,180 201,133
Fukui Bank 30,000 159,806
Generale De Banque 925 320,591
Hokkaido Takushoku Bank, Ltd. 90,000 266,731
HSBC Holdings - HKD 24,000 363,143
HSBC Holdings - <L106> 16,000 249,852
Hyakugo Bank 30,000 171,429
Juroku Bank 35,000 181,695
Lloyds TSB Group PLC 43,264 222,737
Nanto Bank 15,000 103,148
National Australia Bank, Ltd. 44,600 401,115
National Westminster 30,000 302,143
Nippon Credit Bank 40,000 182,857
Public Bank BHD 190,000 363,586
The Royal Bank of Scotland Group 29,000 263,923
Sakura Bank 50,000 634,383
Sanwa Bank 25,000 508,475
Schweizerische Bankgesellschaft 130 140,876
Schweizerischer Bankverein 715 291,951
Shiga Bank 16,000 94,528
Societe Generale 2,258 278,965
Standard Chartered Bank 18,000 153,191
Toyo Trust & Banking 12,000 105,995
United Overseas Bank 9,000 86,532
Yasuda Trust & Banking 50,000 295,884
-----------
11,221,443
BROADCASTING - 0.78%
Gakken Company* 10,000 65,860
News Corporation 35,000 186,785
Pearson 16,000 154,931
Television Broadcast 41,000 146,078
TV Francaise 1,210 129,722
-----------
683,376
The accompanying notes are an integral part of the financial statements.
38
<PAGE> 56
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------ -----
BUILDING CONSTRUCTION - 0.12%
SXL Corporation 10,000 $ 103,632
----------
BUSINESS SERVICES - 1.74%
Eaux (Cie Generale Des) 3,576 357,016
Havas 1,750 138,835
Inchcape 49,000 189,486
Kawasho Corporation* 40,000 167,361
Nichias Corporation 15,000 78,596
SGS Holdings 380 130,126
South West Water 32,000 257,928
Toppan Printing Company, Ltd. 15,000 197,579
----------
1,516,927
CHEMICALS - 4.21%
Air Liquide 1,466 242,787
Allied Colloids 83,000 171,440
Bayer AG 1,020 269,132
BOC Group 5,500 76,961
Ciba Geigy AG 590 519,159
Hoechst AG 540 146,434
Kumiai Chemical Industry Company 8,000 45,869
Kuraray Company 15,000 164,165
Mitsubishi Chemical Corporation 60,000 291,719
Mitsubishi Gas Chemical Company 30,000 135,109
Mitsui Petrochemical Industry 40,000 327,361
Mitsui Toatsu Chemicals 50,000 200,968
Nagase & Company 15,000 129,007
Nippon Zeon Company 30,000 161,259
Rhone-Poulenc SA, Class A 7,300 156,375
Showa Denko K.K.* 90,000 282,421
Solvay SA 335 181,842
UBE Industries 45,000 169,976
----------
3,671,984
COMPUTERS & BUSINESS EQUIPMENT - 0.16%
Ricoh Company 13,000 142,276
----------
CONGLOMERATES - 1.85%
Aker AS 6,000 72,939
Asatsu, Incorporated 3,000 126,102
BIC Corporation 750 76,271
BTR PLC 61,800 314,807
CSR, Ltd. 85,200 277,372
Grand Metropolitan 35,000 251,941
Hanson 42,600 127,026
Preussag AG 380 106,225
Tomkins 37,000 161,756
Tractebel International 245 101,147
----------
1,615,586
CONSTRUCTION MATERIALS - 0.66%
Holderbank Financier Glarus AG 110 84,395
Lafarge 1,470 94,708
Tarmac 104,000 166,361
Toyo Construction Company 40,000 233,220
----------
578,684
CONSTRUCTION & MINING EQUIPMENT - 0.43%
Daito Trust Construction 10,000 118,160
Ryobi 50,000 257,143
----------
375,303
CONTAINERS & GLASS - 0.56%
Caradon PLC 55,000 166,990
Central Glass Company* 10,000 33,801
Companie De Saint-Gobain 1,280 139,579
Nippon Sheet Glass 35,000 152,203
----------
492,573
CRUDE PETROLEUM AND NATURAL GAS - 0.37%
Societe Nationale Elf Aquitaine 4,347 320,277
----------
DRUGS & HEALTH CARE - 5.02%
Amersham International 12,300 169,438
Chugai Pharmaceutical Company 35,000 335,254
Daiichi Pharmaceutical Company 9,000 128,136
Essilor International 825 157,688
Glaxo Wellcome 50,900 723,303
Hafslund Nycomed, Class B 7,000 177,373
Kaken Pharmaceutical 25,000 225,182
Kissei Pharmaceutical Company 3,000 90,654
Kyowa Hakko Kogyo 8,000 75,467
Lion Corporation 30,000 176,949
Ono Pharmaceutical 7,000 269,153
Roche Holdings AG 57 450,910
Sandoz AG 550 503,511
Sanofi 3,805 243,902
Schering AG 1,540 102,019
SmithKline Beecham, Class A 33,000 363,876
Synthelabo 2,955 185,133
----------
4,377,948
ELECTRIC UTILITIES - 2.36%
Electrabel 1,280 304,451
Empresa Nacional De Electricidad SA 5,400 305,837
Fuerzas Electricas De Catalunal SA 30,600 218,211
Hong Kong Electric 73,000 239,321
RWE AG 300 108,749
Scottish Hydro Electric PLC 29,000 161,912
Shikoku Electric Power 11,700 269,695
Tohoku Electric Power 11,700 282,160
Tokyo Electric Power 6,300 168,407
----------
2,058,743
ELECTRICAL EQUIPMENT - 4.63%
Alcatel Alsthom Cie Generale D'Electric 3,237 279,081
BBC Brown Boveri AG 90 104,551
BICC Group PLC 25,700 109,761
Fuji Electric Company 60,000 305,085
General Electric Company 49,000 269,390
Hitachi, Ltd. 65,000 654,722
Japan Radio Company 15,000 159,806
Legrand 280 43,226
Mitsubishi Cable Industries 25,000 133,172
Mitsubishi Electric Corporation 35,000 251,864
The accompanying notes are an integral part of the financial statements.
39
<PAGE> 57
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------ -----
ELECTRICAL EQUIPMENT - CONTINUED
NEC Corporation 40,000 $ 488,136
Sanden Corporation 25,000 160,291
Siemens AG 975 533,548
Toenec Corporation 20,000 178,208
Yaskawa Electric Corporation* 50,000 235,835
Yorkshire Electricity Group 12,600 130,716
----------
4,037,392
ELECTRONICS - 1.16%
Alps Electric Company, Ltd. 20,000 230,508
Kyocera Corporation 2,000 148,571
Kyowa Exeo Corporation, Class A 10,000 89,782
National Grid Group PLC* 9,533 29,463
Nippon Densetsu 15,000 151,090
Racal Electronics 30,100 132,993
Shimadzu Corporation 40,000 232,058
----------
1,014,465
FINANCIAL SERVICES - 0.92%
Cetelem 1,400 262,732
Daiwa Securities 20,000 306,053
Internationale Nederlanden Groep NV 3,500 233,813
----------
802,598
FOOD & BEVERAGES - 3.97%
Dalgety 27,000 170,034
Danone 1,981 326,863
Guinness 27,500 202,225
Hillsdown Holdings 84,800 223,886
Itoham Foods, Incorporated 28,000 211,525
Japan Tobacco, Incorporated 15 130,024
Nestle SA 405 448,010
Nippon Flour Mills 20,000 104,600
Orkla 6,000 286,071
Reckitt & Colman PLC 8,500 94,056
Scottish & Newcastle Breweries 18,500 176,122
Snow Brand Milk Products
Company, Ltd. 30,000 191,768
Southcorp Holdings, Ltd. 143,600 334,078
Toyo Suisan Kaisha 10,000 123,971
United Biscuits PLC 35,500 140,864
Yamazaki Baking Company 16,000 297,530
----------
3,461,627
FOREST PRODUCTS - 0.35%
Sumitomo Forestry 20,000 306,053
----------
GAS & PIPELINE UTILITIES - 0.45%
British Gas PLC 43,000 169,623
Osaka Gas Company 65,000 224,746
----------
394,369
HOMEBUILDERS - 0.81%
Bilfinger & Berger
Bauaktiengesellschaft AG 465 176,016
Bouygues 2,305 232,195
Kinden Corporation 6,000 102,276
Sekisui House 15,000 191,768
----------
702,255
HOTELS & RESTAURANTS - 0.21%
Ladbroke Group 82,000 186,566
----------
HOUSEHOLD APPLIANCES FURNISHING - 1.73%
Matsushita Electric Industrial
Company, Ltd. 35,000 569,492
Sony Corporation 10,000 599,516
Thorn Emi PLC 8,000 188,414
Victor Company of Japan, Ltd.* 12,000 152,252
----------
1,509,674
HOUSEHOLD PRODUCTS - 0.91%
Eridania Beghin-Say SA 700 120,074
Uni Charm Corporation 5,000 125,908
Uniden Corporation 10,000 167,554
Unilever NV 2,700 379,417
----------
792,953
INDUSTRIAL MACHINERY - 3.58%
Daikin Industries 25,000 244,552
Ebara Corporation 15,000 219,370
Fischer AG 60 78,023
Glynwed International PLC 35,000 173,397
Ishikawajima-Harima Heavy Industries 90,000 379,177
Kawasaki Heavy Industries 15,000 69,007
Kitz Corporation 30,000 122,324
M.A.N. AG 890 240,725
Minebea Company 20,000 167,748
Mitsubishi Kakoki 15,000 141,065
NSK Corporation 20,000 145,278
Okamura Corporation 15,000 114,770
Sembawang Corporation, Ltd. 13,000 72,146
Sidel 800 249,295
Toshiba Corporation 25,000 195,884
Toyo Umpanki Company 5,000 22,518
Tsubakimoto Chain 40,000 240,581
Valeo 2,700 125,048
Vickers 31,000 122,286
----------
3,123,194
INSURANCE - 3.88%
Aegon NV 3,260 144,239
Allianz Holdings AG 246 479,481
AXA Company 6,030 406,351
Britannic Assurance 15,000 178,910
Chuo Trust & Banking 20,000 193,705
Compagnie Financiere Richemont 100 149,978
Fortis AG 1,100 133,622
Guardian Royal Exchange 63,500 272,185
Koa Fire & Marine 15,000 91,816
Munchener Ruckvers 234 508,944
Tokio Marine & Fire Insurance Company 40,000 523,002
Willis Corroon Group PLC 61,700 135,109
Zurich Versicherung 560 167,490
----------
3,384,832
The accompanying notes are an integral part of the financial statements.
40
<PAGE> 58
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------ -----
INTERNATIONAL OIL - 1.43%
The British Petroleum Company 42,000 $ 350,598
Cosmo Oil Company 60,000 327,748
Petrofina SA 520 159,198
Shell Transport & Trading Company 30,800 407,302
----------
1,244,846
INVESTMENT COMPANIES - 1.47%
Marubeni Corporation 75,000 406,053
Nomura Securities 40,000 871,671
----------
1,277,724
LEISURE TIME - 0.51%
Forte 28,000 143,718
Granada Group PLC 18,000 180,308
Japan Airport Terminal 10,000 121,065
----------
445,091
MINING - 0.67%
Dowa Mining Company 30,000 144,697
DSM NV 2,150 176,855
Mitsui Mining & Smelting Company* 65,000 260,630
----------
582,182
MISCELLANEOUS - 0.36%
Seita 5,000 181,233
SKW Trostberg AG 1,000 21,087
Yuasa Trading Company 20,000 108,475
----------
310,795
NON-FERROUS METALS - 0.88%
Fuji Denki Reiki 15,000 200,484
Mitsubishi Material 30,000 155,448
RTZ Corporation PLC 10,900 158,447
Western Mining Corporation Holdings 39,500 253,664
----------
768,043
PAPER - 0.67%
Koninklijke KNP BT NV 4,200 107,833
Nippon Paper Industries 45,000 312,494
Rexam PLC 30,000 164,932
----------
585,259
PETROLEUM SERVICES - 3.37%
Broken Hill Proprietary Company, Ltd. 24,540 346,559
Norsk Hydro AS 19,900 835,699
Repsol SA 6,610 216,610
Royal Dutch Petroleum Company 7,570 1,057,639
Total SA, "B" Shares 7,100 479,181
----------
2,935,688
PUBLISHING - 1.08%
Citic Pacific, Ltd. 96,000 328,380
Elsevier NV 13,600 181,367
Lagardere Groupe 6,600 121,299
Reuters Holdings 15,000 137,327
Singapore Press Holdings, Ltd. 10,000 176,741
----------
945,114
RAILROADS & EQUIPMENT - 1.31%
East Japan Railway Company 75 364,649
Hitachi Transport Systems 20,000 193,705
Nagoya Railroad Company 25,000 125,908
Tobu Railway Company 40,000 250,266
Zexel Corporation 30,000 203,971
----------
1,138,499
REAL ESTATE - 1.62%
Cheung Kong Holdings 97,000 590,844
Daiwa Kosho Lease 20,000 199,516
MEPC PLC 26,000 159,295
Mitsui Fudosan Company 15,000 184,504
Tokyu Land Corporation 50,000 217,918
United Overseas Land 33,000 62,757
----------
1,414,834
RETAIL GROCERY - 0.89%
Izumi Company 13,000 287,070
Maruetsu, Incorporated 30,000 244,068
J Sainsbury PLC 40,000 243,827
----------
774,965
RETAIL TRADE - 3.13%
Argos 19,000 175,718
Argyll Group 32,800 173,195
Ava Allgemeine Handles-Der Verbr AG 320 108,191
Carrefour 495 300,315
Castorama Dubois 560 91,713
Daiei, Incorporated 25,000 302,663
Douglas Holdings AG 2,300 81,129
Familymart Company 2,000 90,266
Izumiya Company 13,000 207,748
Kingfisher 31,000 260,941
Promodes 1,160 272,649
Sears PLC 142,000 229,352
Takashimaya Company, Ltd. 20,000 319,613
Tokyu Store Chain 15,000 115,061
----------
2,728,554
SOFTWARE - 0.11%
SAP AG 600 93,064
----------
STEEL - 2.05%
Arbed SA 1,000 113,150
Daido Steel Company 15,000 75,545
Nisshin Steel Company 60,000 242,325
NKK Corporation* 160,000 430,799
Sumitomo Metal Industry 200,000 606,295
Thyssen AG* 980 178,033
Usinor Sacilor* 10,800 142,802
----------
1,788,949
TELECOMMUNICATION SERVICES - 0.20%
Cable and Wireless 24,000 171,828
----------
TELEPHONE - 1.66%
British Telecommunications 79,000 433,095
Hong Kong Telecommunications, Ltd. 136,000 242,716
Royal PTT Nederland NV 3,300 119,892
Nippon Telegraph & Telephone Corporation 15 121,308
The accompanying notes are an integral part of the financial statements.
41
<PAGE> 59
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------ -----
TELEPHONE - CONTINUED
Telekom Malaysia 34,000 $ 265,071
VodaFone Group 74,000 265,476
-----------
1,447,558
TIRES & RUBBER - 0.28%
Yokohama Rubber Company 40,000 242,131
-----------
TOBACCO - 0.37%
B.A.T. Industries 37,000 325,812
-----------
TOYS, AMUSEMENTS & SPORTING GOODS - 0.35%
Mizuno Corporation 35,000 303,390
-----------
TRUCKING & FREIGHT - 1.05%
Kawasaki Kisen Kaisha, Ltd.* 60,000 190,605
Nippon Express Company 30,000 288,814
Nippon Road Company 30,000 252,785
Peninsular & Oriental Steam
Navigation Company 10,000 73,925
TNT, Ltd.* 81,000 107,165
-----------
913,294
TOTAL COMMON STOCKS
(Cost: $70,349,485) $72,633,920
-----------
PREFERRED STOCKS - 0.37%
ELECTRICAL EQUIPMENT - 0.09%
Legrand 805 80,549
-----------
FOOD & BEVERAGES - 0.22%
Henkel Kgaa 500 188,045
-----------
ELECTRIC UTILITIES - 0.06%
RWE AG 200 55,769
-----------
TOTAL PREFERRED STOCKS
(Cost: $327,210) $ 324,363
-----------
WARRANTS - 0.29%*
ELECTRICAL EQUIPMENT - 0.07%
Philips Electronics NV (Expiration
date 06/30/98; strike price NLG 34) 3,900 61,002
-----------
FINANCIAL SERVICES - 0.22%
Veba International Finance BV (Expiration
date 04/06/98; strike price DEM 375) 1,200 189,055
-----------
TOTAL WARRANTS
(Cost: $232,411) $ 250,057
-----------
Principal
Amount Value
--------- -----
CONVERTIBLE BONDS - 2.08%
Bot Cayman Finance,
4.25% due 03/31/49 $ 90,000,000 $1,202,906
Daido Hoxan, Incorporated,
1.60% due 03/29/02 10,000,000 110,896
Matsushita Electric Works,
2.70% due 05/31/02 20,000,000 236,707
Sandoz Capital, 1.25% due 10/23/02 265,000 259,601
----------
TOTAL CONVERTIBLE BONDS
(Cost: $1,741,695) $1,810,110
----------
CORPORATE BONDS - 1.11%
Swiss Re Finance Bermuda,
2.00% due 07/06/00 $ 180,000 214,200
Treuhandanstalt,
7.75% due 10/01/02 DEM 970,000 753,753
----------
TOTAL CORPORATE BONDS
(Cost: $941,887) $ 967,953
----------
FOREIGN GOVERNMENT OBLIGATIONS - 6.76%
GOVERNMENT OF CANADA - 0.70%
8.75% due 12/01/05 CAD 750,000 613,868
----------
KINGDOM OF DENMARK - 0.33%
7.00% due 12/15/04 DKK 400,000 71,751
8.00% due 11/15/01 1,100,000 212,076
----------
283,827
GOVERNMENT OF FRANCE - 0.83%
6.75% due 10/25/03 FRF 1,500,000 311,364
7.50% due 04/25/05 310,000 67,083
8.50% due 04/25/03 1,500,000 342,455
----------
720,902
FEDERAL REPUBLIC OF GERMANY - 0.87%
7.375% due 01/03/05 DEM 1,000,000 761,799
----------
GOVERNMENT OF GREAT BRITAIN - 1.18%
United Kingdom Treasury,
6.75% due 11/26/04 POUND 1200,000 297,309
United Kingdom Treasury,
7.00% due 11/06/01 470,000 730,839
----------
1,028,148
GOVERNMENT OF JAPAN - 1.89%
5.70% due 03/20/07 YEN 138,750,000 1,647,665
----------
GOVERNMENT OF NETHERLAND - 0.96%
6.75% due 11/15/05 NLG 1,280,000 840,331
----------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost: $5,804,291) $5,896,540
----------
The accompanying notes are an integral part of the financial statements.
42
<PAGE> 60
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Principal
Amount Value
- --------- -----
REPURCHASE AGREEMENT - 6.10%
$5,316,000 Repurchase Agreement with State
Street Bank & Trust Company, dated
12/29/95 at 5.00%, to be repurchased at
at $5,318,953 on 01/02/96, collateralized
by $4,855,000 U.S. Treasury Notes,
7.50% due 05/15/02 (valued at
$5,468,715 including interest) $ 5,316,000
-----------
TOTAL INVESTMENTS
(International Growth & Income Trust)
(Cost: $84,712,979) $87,198,943
===========
STRATEGIC BOND TRUST
Principal
Amount Value
--------- -----
CORPORATE BONDS - 42.64%
BUSINESS SERVICES - 2.18%
A Plus Network, Incorporated,
11.875% due 11/01/05 $ 750,000 $ 759,375
Borg-Warner Security Corporation,
9.125% due 05/01/03 1,000,000 900,000
Katz Corporation,
12.75% due 11/15/02 1,000,000 1,070,000
----------
2,729,375
COMMUNICATION - 3.10%
Adelphia Communications
Corporation, 12.50% due 05/15/02 1,250,000 1,225,000
In Flight Phone Corporation, Series B
Step up to 14.00% due 05/15/02 1,500,000 472,500
United International Holdings,
Incorporated, zero coupon
due 11/15/99 2,250,000 1,395,000
Wireless One, Incorporated,
13.00% due 10/15/03 750,000 783,750
----------
3,876,250
DRUGS & HEALTH CARE - 0.90%
Dade International, Incorporated, 1,000,000 1,120,000
13.00% due 02/01/05 ----------
ENERGY & UTILITIES - 1.80%
Petro PSC Properties,
12.50% due 06/01/02 1,500,000 1,410,000
Waters Corporation, Series B,
12.75% due 09/30/04 750,000 843,750
----------
2,253,750
FINANCE & BANKING - 8.32%
Empress River Casino Finance
Corporation, 10.75% due 04/01/02 1,000,000 1,032,500
Foamex Capital Corporation, 1,500,000 1,470,000
11.875% due 10/01/04
Paine Webber Group, Incorporated, 3,600,000 3,602,326
6.30% due 02/15/96
Trump Taj Mahal Funding, Incorporated,
zero coupon due 11/15/99 1,029,625 991,014
United States Banknote Corporation,
11.625% due 08/01/02 1,000,000 760,000
United States Leasing International,
8.45% due 01/25/05 1,500,000 1,696,875
Venture Holdings Trust,
9.75% due 04/01/04 1,000,000 835,000
-----------
10,387,715
FOOD STORES - 1.43%
Carr Gottstein Foods Company,
12.00% due 11/15/05 1,000,000 1,010,000
Penn Traffic Company,
9.625% due 04/15/05 1,000,000 780,000
-----------
1,790,000
HOUSEHOLD APPLIANCE FURNISHING - 1.98%
Decorative Home Accents,
Incorporated, 13.00% due 06/30/02 1,500,000 1,485,000
Selmer, Incorporated,
11.00% due 05/15/05 1,000,000 985,000
-----------
2,470,000
INDUSTRIALS - 14.57%
American Safety Razor Company,
Series B, 9.875% due 08/01/05 1,100,000 1,119,250
Bally's Grand, Incorporated,
10.375% due 12/15/03 1,000,000 1,020,000
Berry Plastics Corporation,
12.25% due 04/15/04 1,150,000 1,236,250
Comcast UK Cable Partners, Ltd.,
Step up to 11.20% due 11/15/07 1,200,000 708,000
Consolidated Cigar Corporation,
10.50% due 03/01/03 1,000,000 1,025,000
Harris Chemical, Incorporated,
Step up to 10.25% due 07/15/01 1,000,000 950,000
International Semi Tech Microelectronic,
Step up to 11.50% due 08/15/03 2,000,000 1,072,500
Jordan Industries, Incorporated,
Step up to 11.75% due 08/01/05 2,000,000 1,160,000
Jordan Industries, Incorporated,
10.375% due 08/01/03 306,000 272,340
Marcus Cable Company,
14.25% due 12/15/05 1,750,000 1,190,000
Norcal Waste Systems,
Incorporated, 12.50% due 11/15/05 1,000,000 1,010,000
Pathmark Stores, Incorporated,
9.625% due 05/01/03 1,500,000 1,458,750
RBX Corporation,
11.25% due 10/15/05 1,500,000 1,485,000
Renco Metals, Incorporated,
12.00% due 07/15/00 1,000,000 1,085,000
Revlon Worldwide Corporation,
Series B, zero coupon due 03/15/98 1,000,000 742,500
The accompanying notes are an integral part of the financial statements.
43
<PAGE> 61
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Principal
Amount Value
--------- -----
INDUSTRIALS - CONTINUED
SC International Services, Incorporated,
13.00% due 10/01/05 $1,000,000 $ 1,040,000
Specialty Equipment Companies,
Incorporated, 11.375% due 12/01/03 750,000 761,250
Terex Corporation,
13.75% due 05/15/02 1,000,000 867,500
-----------
18,203,340
LEATHER PRODUCTS - 0.38%
Samsonite Corporation,
11.125% due 07/15/05 500,000 480,000
-----------
LEISURE - 1.79%
Bally's Park Place Funding,
Incorporated, 9.25% due 03/15/04 750,000 763,125
Grand Casino, Incorporated,
10.125% due 12/01/03 750,000 786,560
Hollywood Casino, Incorporated,
12.75% due 11/01/03 750,000 690,000
-----------
2,239,685
METAL PRODUCTS - 0.80%
Cole National Group, Incorporated,
11.25% due 10/01/01 1,000,000 1,002,500
-----------
PRINTING & PUBLISHING - 0.42%
Williamhouse Regency, Incorporated,
13.00% due 11/15/05 500,000 518,750
-----------
OTHER - 2.17%
Hines Horticulture, Incorporated,
11.75% due 10/05/05 1,000,000 1,037,500
Outdoor Systems, Incorporated,
10.75% due 08/15/03 1,000,000 950,000
Specialty Foods Corporation,
11.125% due 10/01/02 750,000 727,500
-----------
2,715,000
RESTAURANTS - 0.34%
Family Restaurants, Incorporated,
9.75% due 02/01/02 750,000 420,000
-----------
RETAIL TRADE - 2.45%
Apparel Retailers, Incorporated, Series
B, Step up to 12.75% due 08/15/05 2,000,000 1,220,000
Crown Paper Company,
11.00% due 09/01/05 1,000,000 875,000
Finlay Fine Jewerly Corporation,
10.625% due 05/01/03 1,000,000 970,000
-----------
3,065,000
TOTAL CORPORATE BONDS
(Cost: $53,895,511) $53,271,365
-----------
Principal
Amount Value
--------- -----
U.S. TREASURY OBLIGATIONS - 6.38%
U.S. TREASURY BONDS - 0.77%
6.875% due 08/15/25 $ 850,000 $ 958,639
-----------
U.S. TREASURY NOTES - 5.61%
5.625% due 11/30/00 2,000,000 2,018,120
6.50% due 08/15/05 1,000,000 1,065,310
6.75% due 04/30/00 500,000 526,170
7.50% due 02/15/05 3,000,000 3,400,320
-----------
7,009,920
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $7,690,336) $ 7,968,559
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 10.14%
FEDERAL HOME LOAN BANK - 0.41%
5.94% due 06/13/00 500,000 507,736
-----------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 2.47%
759.5% due 07/15/06 IO 28,859 396,814
8.00% due 05/01/10 1,846,331 1,913,592
8.50% due 05/01/08 744,924 779,488
-----------
3,089,894
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 7.26%
6.50% TBA** 2,400,000 2,371,488
6.50% due 11/01/10 - 12/01/10 1,799,999 1,808,999
7.00% TBA** 3,000,000 3,024,360
7.52% due 08/26/05 1,800,000 1,868,035
-----------
9,072,882
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (Cost: $12,430,625) $12,670,512
-----------
FOREIGN GOVERNMENT OBLIGATIONS - 31.77%
REPUBLIC OF ARGENTINA - 3.31%
6.812% due 03/31/05 $ 5,800,000 4,132,500
-----------
KINGDOM OF BELGIUM - 0.39%
6.50% due 03/31/05 BEF 14,600,000 489,544
-----------
FEDERAL REPUBLIC OF BRAZIL - 6.98%
4.00% due 04/15/14 $ 2,653,025 1,518,857
4.25% due 04/15/24 6,500,000 3,432,819
6.00% due 09/15/13 1,250,000 693,750
6.687% due 01/01/01 2,375,000 2,045,469
6.812% due 04/15/06 1,500,000 1,033,125
-----------
8,724,020
NATIONAL REPUBLIC OF BULGARIA - 3.22%
2.00% due 07/28/12 $ 4,750,000 1,442,812
6.75% due 07/28/11 3,000,000 1,383,750
6.75% due 07/28/24 2,250,000 1,195,312
-----------
4,021,874
The accompanying notes are an integral part of the financial statements.
44
<PAGE> 62
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Principal
Amount Value
--------- -----
GOVERNMENT OF CANADA - 0.52%
6.25% due 02/01/98 CAD 275,000 $ 202,392
9.00% due 12/01/04 549,000 453,131
-----------
655,523
GOVERNMENT OF COSTA RICA - 0.31%
Series B, 6.25% due 05/21/15 $ 700,000 392,000
-----------
KINGDOM OF DENMARK - 0.26%
7.00% due 12/15/04 DKK 600,000 107,627
9.00% due 11/15/98 1,100,000 215,800
-----------
323,427
REPUBLIC OF ECUADOR - 1.44%
3.00% due 02/28/15 $ 2,553,715 855,495
3.00% due 02/27/15 2,809,070 941,038
-----------
1,796,533
FEDERAL REPUBLIC OF GERMANY - 4.08%
7.375% due 01/03/05 DEM 1,550,000 1,180,788
8.375% due 05/21/01 4,900,000 3,910,094
-----------
5,090,882
REPUBLIC OF ITALY - 1.02%
9.50% due 12/01/97 ITL 1,460,000,000 909,670
9.50% due 01/01/05 610,000,000 359,749
-----------
1,269,419
GOVERNMENT OF JAPAN - 1.18%
4.20% due 09/21/15 YEN 142,000,000 1,469,511
-----------
GOVERNMENT OF MEXICO - 2.74%
6.25% due 12/31/19 $ 4,000,000 2,605,000
6.25% due 12/31/19 1,250,000 814,062
Mexican United States Rights,
0% due 12/31/19 1,250,000 0
-----------
3,419,062
GOVERNMENT OF NETHERLANDS - 0.80%
6.25% due 07/15/98 NLG 850,000 554,854
7.00% due 06/15/05 660,000 439,877
-----------
994,731
REPUBLIC OF POLAND - 3.38%
3.25% due 10/27/14 $ 6,500,000 4,216,876
-----------
GOVERNMENT OF SPAIN - 0.37%
10.00% due 02/28/05 ESP 8,380,000 70,053
11.45% due 08/30/98 45,750,000 396,324
-----------
466,377
GOVERNMENT OF GREAT BRITIAN - 1.78%
United Kingdom Treasury,
7.00% due 11/06/01 POUND 1,430,000 2,223,618
-----------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost $37,543,142) $39,685,897
-----------
Shares Value
------ -----
COMMON STOCK - 0.01%
HOUSEHOLD APPLIANCES & FURNISHINGS - 0.01%
Decorative Home Accents, Incorporated 1,500 $15,000
-------
TOTAL COMMON STOCK (Cost: $0) $15,000
-------
WARRANTS - 0.01%
BPC Holdings Corporation due 04/15/04 1,000 12,500
In Flight Phone Corporation 1,500 0
-------
TOTAL WARRANTS (Cost: $0) $12,500
-------
REPURCHASE AGREEMENT - 9.05% ***
Principal
Amount Value
- --------- -----
$11,301,000 Repurchase Agreement with State
Street Bank & Trust Company dated
12/29/95 at 5.75%, to be
repurchased at $11,308,220 on
01/02/96, collateralized by
$11,465,000 U.S. Treasury Notes,
5.125% due 04/30/98 (valued at
$11,629,009 including interest) $ 11,301,000
------------
TOTAL INVESTMENTS
(Strategic Bond Trust) (Cost: $122,860,614) $124,924,833
============
GLOBAL GOVERNMENT BOND TRUST
Principal
Amount Value
--------- -----
U.S. GOVERNMENT AGENCY OBLIGATIONS - 12.03%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 7.55%
6.07% due 11/20/98 $ 5,000,000 $ 5,021,875
6.50% due 06/08/00 12,000,000 12,127,500
-----------
17,149,375
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 4.48%
6.25% due 10/28/98 5,000,000 5,044,550
6.85% due 05/26/00 5,000,000 5,133,600
-----------
10,178,150
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (Cost: $26,967,610) $27,327,525
-----------
FOREIGN GOVERNMENT OBLIGATIONS - 52.65%
COMMONWEALTH OF AUSTRALIA - 11.75%
New South Wales Treasury,
5.202% due 04/01/04 $ 7,000,000 4,784,079
New South Wales Treasury,
7.00% due 04/01/04 AUD 13,000,000 8,884,718
Queensland Treasury,
6.50% due 06/14/05 20,000,000 13,029,583
-----------
26,698,380
The accompanying notes are an integral part of the financial statements.
45
<PAGE> 63
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Principal
Amount Value
--------- -----
GOVERNMENT OF CANADA - 6.27%
8.00% due 06/01/23 CAD 15,000,000 $ 11,512,256
Province of Ontario,
zero coupon due 01/10/40 50,000,000 1,310,875
Province of Ontario,
zero coupon due 01/10/35 40,000,000 1,423,654
------------
14,246,785
GOVERNMENT OF FRANCE - 2.24%
6.00% due 10/25/25 FRF 30,000,000 5,084,746
------------
REPUBLIC OF ITALY - 15.59%
5.625% due 06/09/98 $ 12,000,000 12,045,000
8.50% due 08/01/04 ITL 20,000,000,000 11,111,216
10.00% due 08/01/03 20,000,000,000 12,258,481
------------
35,414,697
FEDERAL REPUBLIC OF GERMANY - 1.35%
5.625% due 09/20/16 DEM 5,000,000 3,062,042
------------
GOVERNMENT OF SPAIN - 11.89%
8.00% due 05/30/04 ESP 750,000,000 5,604,905
10.30% due 06/15/02 1,500,000,000 12,785,367
10.50% due 10/30/03 1,000,000,000 8,615,086
------------
27,005,358
KINGDOM OF SWEDEN - 3.56%
10.25% due 05/05/00 SEK 50,000,000 8,082,820
------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost: $111,062,945) $119,594,828
------------
SUPRANATIONAL ORGANIZATIONS - 8.74%
European Investment Bank,
8.00% due 06/10/03 GBP 4,000,000 6,390,744
International Bank for Reconstruction
and Development, 5.875%
due 11/10/03 DEM 10,000,000 7,001,046
International Bank for Reconstruction
and Development, 10.80%
due 05/19/03 ITL 10,000,000,000 6,462,023
------------
19,853,813
TOTAL SUPRANATIONAL ORGANIZATIONS
(Cost: $19,337,635) $ 19,853,813
------------
CORPORATE BONDS - 15.42%
BANKING & FINANCE - 12.02%
Credit Local de France,
zero coupon due 09/03/02 CAD 10,000,000 4,535,884
LKB Baden Wurtenberg,
6.50% due 09/15/08 DEM 15,000,000 10,399,094
Treuhandanstalt,
7.125% due 01/29/03 10,000,000 7,529,453
Unidec, 5.50%
due 11/25/02 FRF 25,000,000 4,839,697
------------
27,304,128
ELECTRIC SERVICES - 3.40%
Hydro-Quebec,
zero coupon due 08/15/20 CAD 85,000,000 7,725,009
------------
TOTAL CORPORATE BONDS
(Cost: $32,982,216) $ 35,029,137
------------
OTHER BONDS (FOREIGN GOVERNMENT - BACKED
OR GUARANTEED) - 5.28%
ELECTRIC SERVICES - 5.28%
Tokyo Gas Company,
5.50% due 07/21/98 $12,000,000 11,985,000
------------
TOTAL OTHER BONDS (FOREIGN
GOVERNMENT-BACKED OR
GUARANTEED) (Cost: $11,957,500) $ 11,985,000
------------
CONVERTIBLE BONDS - 1.82%
Hanson America, Incorporated,
2.39% due 03/01/01 5,000,000 4,137,500
------------
TOTAL CONVERTIBLE BONDS
(Cost: $3,993,750) $ 4,137,500
------------
REPURCHASE AGREEMENT - 4.06%
Principal
Amount Value
- --------- -----
$9,226,000 Repurchase Agreement with State
Street Bank & Trust Company dated
12/29/95 at 5.00%, to be
repurchased at $9,231,126 on
01/02/96, collateralized by
$8,425,000 U.S. Treasury Notes,
7.50% due 05/15/02 (valued at
$9,489,994 including interest) $ 9,226,000
------------
TOTAL INVESTMENTS
(Global Government Bond Trust)
(Cost: $215,527,656) $227,153,803
============
INVESTMENT QUALITY BOND TRUST
Principal
Amount Value
--------- -----
CORPORATE BONDS - 32.49%
DRUGS & HEALTH CARE -
0.28%
OrNda Healthcorp,
11.375% due 08/15/04 $ 350,000 $ 393,750
------------
The accompanying notes are an integral part of the financial statements.
46
<PAGE> 64
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Principal
Amount Value
--------- -----
ELECTRIC UTILITIES - 1.81%
Cincinnati Gas & Electric Company, $1,300,000 $ 1,402,908
6.90% due 06/01/25
Cleveland Electric Illuminating Company,
Series B, 9.50% due 05/15/05 125,000 129,375
Duke Power Company,
7.50% due 04/01/99 700,000 732,697
Virginia Electric & Power Company,
9.375% due 06/01/98 300,000 325,068
-----------
2,590,048
FINANCE & BANKING - 20.36%
American General Finance
Corporation, 8.00% due 02/15/05 1,270,000 1,367,206
Associates Corporation of North
America, 9.125% due 04/01/00 300,000 335,745
Associates Corporation of North
America, 6.95% due 08/01/02 2,325,000 2,442,505
BankAmerica Corporation,
9.625% due 02/13/01 1,475,000 1,707,961
Beneficial Corporation,
8.40% due 05/15/08 350,000 413,287
Beneficial Corporation,
8.90% due 06/06/01 470,000 533,276
Comerica, Incorporated,
7.125% due 12/01/13 1,325,000 1,333,454
Commercial Credit Group,
Incorporated, 10.00% due 05/01/99 290,000 326,671
Equitable Life Assurance Society of the
United States, 6.95% due 12/01/05 1,150,000 1,164,375
Exxon Capital Corporation,
6.625% due 08/15/02 2,000,000 2,074,980
First National Bank of Boston,
8.00% due 09/15/04 1,775,000 1,967,623
First Union Corporation,
7.50% due 04/15/35 2,000,000 2,214,700
General Motors Acceptance
Corporation, 7.00% due 09/15/02 1,400,000 1,452,710
General Motors Acceptance
Corporation, 6.00% due 01/11/99 950,000 957,220
International Lease Finance 1,500,000 1,574,055
Corporation, 7.50% due 03/01/99
National Westminster Bank PLC, 1,000,000 1,158,980
9.45% due 05/01/01
NBD Bancorp, 8.25% due 11/01/24 2,000,000 2,447,540
Norwest Corporation,
6.00% due 03/15/00 900,000 904,329
Sun Canada Financial Company, 1,500,000 1,522,275
7.25% due 12/15/15
Texaco Capital, Incorporated, 940,000 1,072,446
8.93% due 07/23/01
United Bankshares, Incorporated,
8.625% due 04/15/98 1,967,000 2,083,505
-----------
29,054,843
FOOD STORES - 0.07%
Big V Supermarkets, Incorporated,
Series B, 11.00% due 02/15/04 125,000 $ 101,875
----------
FOREST PRODUCTS - 1.33%
Boise Cascade Corporation,
9.85% due 06/15/02 1,620,000 1,893,164
------------
INDUSTRIALS - 3.36%
Armco, Incorporated,
9.375% due 11/01/00 450,000 445,500
Cablevision Industries Corporation,
Series B, 9.25% due 04/01/08 100,000 107,000
Cablevision Systems Corporation,
9.25% due 11/01/05 200,000 209,000
Cincinnati Milacron, Incorporated,
7.875% due 05/15/00 870,000 888,488
Container Corporation of America,
9.75% due 04/01/03 150,000 146,250
Fort Howard Corporation,
9.25% due 01/03/15 450,000 456,750
Interlake Corporation,
12.00% due 11/15/01 100,000 101,000
K & F Industries, Incorporated,
11.875% due 12/01/03 250,000 268,750
Repap New Brunswick, Incorporated,
9.875% due 07/15/00 250,000 247,500
Tele Communications, Incorporated,
9.80% due 02/01/12 1,600,000 1,918,672
----------
4,788,910
INTERNATIONAL OIL - 0.70%
Amoco Canada Petroleum Company, 900,000 998,622
7.95% due 10/01/22 ----------
NON-BANK FINANCE - 1.03%
KFW International Financial,
Incorporated, 8.85% due 06/15/99 1,340,000 1,474,429
----------
PUBLISHING - 1.58%
Time Warner, Incorporated,
9.125% due 01/15/13 2,000,000 2,253,900
----------
SOCIAL SERVICES - 0.26%
Kindercare Learning Centers,
Incorporated, 10.375% due 06/01/01 350,000 369,250
----------
TELECOMMUNICATION SERVICES - 0.26%
Comcast Corporation,
9.125% due 10/15/06 50,000 52,125
Heritage Media Services,
11.00% due 06/15/02 150,000 159,375
Videotron, Ltd., 10.25% due 10/15/02 150,000 158,250
----------
369,750
The accompanying notes are an integral part of the financial statements.
47
<PAGE> 65
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Principal
Amount Value
--------- -----
TELEPHONE - 1.07%
GTE Florida, Incorporated, Series A,
6.31% due 12/15/02 $ 1,400,000 $ 1,421,938
Paging Network, Incorporated,
10.125% due 08/01/07 100,000 108,250
-----------
1,530,188
TRANSPORTATION - 0.39%
Southern Railway Company,
8.75% due 10/15/03 470,000 549,524
-----------
TOTAL CORPORATE BONDS
(Cost: $43,205,275) $46,368,253
-----------
U.S. TREASURY OBLIGATIONS - 35.36%
U.S. TREASURY BONDS - 30.88%
8.875% due 02/15/19 3,800,000 5,122,286
10.75% due 02/15/03 9,400,000 12,265,496
12.00% due 08/15/13 17,320,000 26,686,310
-----------
44,074,092
U.S. TREASURY NOTES - 4.47%
8.875% due 11/15/97 6,000,000 6,386,220
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $46,601,862) $50,460,312
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 21.49%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 12.95%
6.50% due 08/17/11 - 08/1/25 4,472,639 4,436,833
6.50% due 06/25/19,
Series I5, Class H - REMIC 900,000 913,779
7.00% due 01/01/99 2,500,000 2,522,650
7.00% due 06/01/23 - 12/01/25 8,441,318 8,518,031
8.00% due 11/15/99, Series CL 2,000,000 2,093,740
-----------
18,485,033
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 0.70%
5.90% due 10/25/19 - REMIC 1,000,000 993,430
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 7.84%
6.50% due 07/15/08 - 05/15/09 242,482 244,679
7.00% due 09/15/23 - 02/15/24 1,636,328 1,655,751
7.50% due 12/15/99 - 10/15/25 4,661,564 4,795,537
8.20% due 12/06/15 50,250 52,103
8.50% due 09/15/16 - 04/15/22 4,206,812 4,434,262
9.50% due 09/10/15 1,746 1,872
-----------
11,184,204
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (Cost: $29,801,406) $30,662,667
-----------
Principal
Amount Value
--------- -----
FIXED INCOME - OTHER - 5.36%
MISCELLANEOUS ASSET BACKED SECURITIES - 5.36%
Advanta Credit Card Master
Trust, Series 1994, Class A,
6.217% due 10/01/01 $1,450,000 $ 1,453,625
American Express Master Trust, Series
1992, Class A, 6.60% due 05/15/00 1,500,000 1,544,055
Premier Auto Trust, Series 1993,
Class A2, 4.65% due 11/02/99 1,550,870 1,535,361
Premier Auto Trust, Series 1994,
Class A3, 6.35% due 05/02/00 1,500,000 1,512,180
World Omni Automobile Lease, Series
1995, Class A, 6.05% due 11/25/01 1,600,000 1,609,488
-----------
7,654,709
TOTAL FIXED INCOME - OTHER
(Cost: $7,595,100) $ 7,654,709
-----------
FOREIGN BONDS - 1.99%
CANADIAN - 1.76%
Hydro-Quebec, 8.05% due 07/07/24 2,200,000 2,511,872
-----------
GOVERNMENT OF NEW ZEALAND - 0.23%
10.625% due 11/15/05 250,000 334,565
-----------
TOTAL FOREIGN BONDS
(Cost: $2,679,776) $ 2,846,437
-----------
REPURCHASE AGREEMENT - 3.31%
Principal
Amount Value
- --------- -----
$4,723,000 Repurchase Agreement with Shearson
Lehman dated 12/29/95 at 5.93%, to
be repurchased at $4,726,112 on
01/02/96, collateralized by
$13,700,000 U.S. Treasury Strips,
5.59% due 02/15/13 (valued at
$5,027,044 including interest) $ 4,723,000
------------
TOTAL INVESTMENTS
(Investment Quality Bond Trust)
(Cost: $134,606,419) $142,715,378
============
U.S. GOVERNMENT SECURITIES TRUST
Principal
Amount Value
--------- -----
U.S. TREASURY OBLIGATIONS - 31.30%
U.S. TREASURY BONDS - 4.71%
8.875% due 08/15/17 $9,000,000 $ 12,054,330
------------
The accompanying notes are an integral part of the financial statements.
48
<PAGE> 66
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Principal
Amount Value
--------- -----
U.S. TREASURY NOTES - 26.60%
5.625% due 11/30/00 $10,000,000 $10,090,600
5.75% due 10/31/00 2,000,000 2,028,740
6.125% due 05/31/97 6,000,000 6,073,140
6.50% due 08/15/05 7,000,000 7,457,170
6.75% due 04/30/00 10,300,000 10,839,102
7.75% due 01/31/00 29,100,000 31,609,875
-----------
68,098,627
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $76,918,000) $80,152,957
-----------
U.S. GOVERNMENT AGENCY AND
MORTGAGE-BACKED OBLIGATIONS - 50.50%
FEDERAL HOME LOAN BANK - 6.57%
5.94% due 06/13/00 3,300,000 3,351,051
6.49% due 09/08/97 250,000 254,727
7.81% due 07/17/96 5,000,000 5,064,850
8.25% due 09/25/96 8,000,000 8,161,280
-----------
16,831,908
FEDERAL HOME LOAN MORTGAGE CORPORATION - 12.83%
6.00% due 09/01/10 - 11/01/10 32,765,674 32,407,218
6.50% due 07/01/06 39,782 39,570
7.00% due 12/01/04 167,992 170,226
8.25% due 07/01/06 224,424 233,587
-----------
32,850,601
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 19.93%
6.50% TBA** 17,500,000 17,292,100
6.50% due 10/01/05 249,744 251,635
7.00% TBA** 8,125,000 8,190,975
7.52% due 08/26/05 17,000,000 17,642,549
8.00% due 08/01/04-10/01/24 38,361 39,755
8.25% due 09/01/08 380,564 397,945
8.50% due 02/01/09 69,158 74,114
8.75% due 08/01/09 380,295 401,847
10.00% due 04/01/16 5,210 5,736
10.50% due 03/01/16 35,648 39,118
11.50% due 02/01/20 5,865,018 6,682,426
-----------
51,018,200
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 7.57%
7.00% TBA** 18,000,000 18,213,660
7.50% due 02/15/07 262,873 274,366
8.00% due 10/15/05 15,587 16,401
9.50% due 09/15/20 473,159 510,075
11.00% due 09/15/15 62,583 70,855
12.00% due 03/15/15 - 07/15/15 257,859 299,761
-----------
19,385,118
STUDENT LOAN MARKETING ASSOCIATION - 1.80%
7.50% due 03/08/00 4,300,000 4,606,375
-----------
OTHER U.S. GOVERNMENT AGENCY OBLIGATIONS - 1.80%
Tennessey Valley Authority,
8.25% due 11/15/96 4,500,000 4,604,580
Principal
Amount Value
--------- -----
TOTAL U.S. GOVERNMENT AGENCY
AND MORTGAGE- BACKED OBLIGATIONS
(Cost: $127,653,887) $129,296,782
------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.82%
Drexel Burnham Lambert,
9.30% due 06/01/17,
(Collateralized by GNMA 10.00%) $ 61,618 $ 62,735
Goldman Sachs Trust 7, Series C,
Class C2, 9.10% due 04/27/17,
(Collateralized by FNMA 9.50%) 19,505 19,462
Merrill Lynch Trust XXV, Class B,
8.75% due 03/20/19 (Collateralized
by FHLMC 10.00%) 47,341 47,252
Shearson Lehman, Incorporated,
7.50% due 06/01/18, (Collateralized
by GNMA 11.50%) 2,017,792 1,980,584
------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (Cost: $2,201,204) $ 2,110,033
------------
REPURCHASE AGREEMENT - 17.38% ***
Principal
Amount Value
- --------- -----
$44,490,000 Repurchase Agreement with State
Street Bank & Trust Company
dated 12/29/95 at 5.75%, to be
repurchased at $44,518,424 on
01/02/96, collateralized by
$45,120,000 U.S. Treasury Notes,
5.125% due 04/30/98 (valued at
$45,765,317 including interest) $ 44,490,000
------------
TOTAL INVESTMENTS
(U.S. Government Securities Trust)
(Cost: $251,263,091) $256,049,772
============
MONEY MARKET TRUST
Principal
Amount Value
--------- -----
U.S. GOVERNMENT AGENCY OBLIGATIONS - 6.92%
STUDENT LOAN MARKETING ASSOCIATION - 6.92%
5.24% due 09/28/98 $10,000,000 $ 10,000,000
5.25% due 02/22/99 7,900,000 7,900,807
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS $ 17,900,807
------------
COMMERCIAL PAPER - 92.56%
American Express Credit
Corporation, 5.61% due 03/15/96 9,000,000 8,896,215
American Home Products
Corporation, 5.72% due 02/09/96 2,000,000 1,987,607
The accompanying notes are an integral part of the financial statements.
49
<PAGE> 67
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Principal
Amount Value
--------- -----
COMMERCIAL PAPER - CONTINUED
Assets Securitization Cooperative
Corporation, 5.70% due 01/16/96 $5,500,000 $5,486,937
Associates Corporation of North
America, 5.68% due 02/09/96 8,000,000 7,950,773
Avco Financial Services,
Incorporated, 5.75% due 01/23/96 9,000,000 8,968,375
BankAmerica,
5.74% due 02/16/96 4,000,000 3,999,950
The Bank of New York,
5.52% due 05/22/96 4,000,000 3,998,781
Banque National de Paris,
5.51% due 05/21/96 6,500,000 6,359,725
Bayerische Hypotheken,
6.14% due 10/29/96 7,000,000 7,000,000
BCI Funding Corporation,
5.70% due 02/09/96 5,000,000 4,969,125
BCI Funding Corporation,
5.71% due 02/16/96 5,000,000 4,963,520
Bear Stearns Companies,
Incorporated, 5.77% due 01/16/96 8,000,000 7,980,767
Burlington Northern Santa Fe,
5.90% due 02/28/96 2,500,000 2,476,236
Cariplo Finance, Incorporated,
5.61% due 03/04/96 6,500,000 6,436,186
Chase Manhattan Corporation,
5.65% due 02/29/96 1,500,000 1,486,110
Chase Manhattan Corporation,
5.77% due 04/15/96 7,500,000 7,500,000
Chevron Transport Corporation,
5.60% due 03/14/96 1,000,000 988,644
Chevron UK Investment PLC,
5.72% due 01/30/96 8,000,000 7,963,138
CIT Group Holdings, Incorporated,
5.70% due 01/24/96 5,000,000 4,981,792
Corestates Capital Corporation,
5.68% due 02/16/96 3,000,000 2,978,227
Corestates Capital Corporation,
5.86% due 01/05/96 6,000,000 6,000,000
Delaware Funding Corporation,
5.71% due 01/08/96 500,000 499,445
Den Danske Corporation,
5.63% due 03/04/96 7,500,000 7,426,106
Dresdner U.S. Finance,
5.72% due 01/22/96 7,000,000 6,976,643
ESC Securitization, Incorporated,
5.72% due 02/02/96 9,000,000 8,954,240
ESC Securitization, Incorporated,
5.68% due 02/22/96 2,000,000 1,983,591
First Bank System,
FRN due 05/06/96 5,000,000 4,999,669
General Electric Capital Corporation,
5.59% due 03/01/96 7,000,000 6,934,783
General Electric Capital Services,
Incorporated, 5.70% due 02/09/96 2,000,000 1,987,650
General Motors Acceptance
Corporation, 5.58% due 04/15/96 8,000,000 7,869,800
Glaxo PLC, 5.57% due 03/11/96 4,000,000 3,956,678
Her Majesty In Right of Canada,
5.50% due 03/22/96 6,680,000 6,597,335
Hitachi America, Ltd.,
5.72% due 01/12/96 1,490,000 1,487,396
Household Finance Corporation,
5.70% due 01/31/96 3,000,000 2,985,750
Household International,
Incorporated, 5.73% due 02/08/96 3,000,000 2,981,855
Household International,
Incorporated, 5.65% due 03/08/96 3,000,000 2,968,454
KFW International Finance,
Incorporated, 5.68% due 02/08/96 9,000,000 8,946,040
Kreditbank North America,
5.70% due 03/01/96 7,500,000 7,428,750
National Westminister Bank of
Canada, 5.76% due 02/22/96 4,000,000 4,000,000
Norwest Financial, Incorporated,
5.69% due 02/28/96 4,000,000 3,963,331
PNC Funding Corporation,
5.75% due 02/05/96 700,000 696,087
PNC Funding Corporation,
5.76% due 02/05/96 5,965,000 5,931,596
PNC Funding Corporation,
5.77% due 02/05/96 600,000 596,634
Sears Roebuck Acceptance
Corporation, 5.70% due 02/22/96 8,000,000 7,934,133
SMM Trust, 5.925% due 11/15/96 8,000,000 8,000,000
Toshiba America,
5.65% due 01/12/96 7,000,000 6,987,915
Zeneca Wilmington Company,
5.70% due 01/19/96 2,875,000 2,866,806
------------
TOTAL COMMERCIAL PAPER $239,332,795
------------
REPURCHASE AGREEMENT - 0.52%
Principal
Amount Value
- --------- -----
$1,348,000 Repurchase Agreement with Aubrey
Lanston dated 12/29/95 at 5.90%, to
be repurchased at $1,348,884 on
01/02/96, collateralized by
$1,350,000 U.S Treasury Notes,
5.125% due 12/31/98 (valued at
$1,372,781 including interest) $ 1,348,000
------------
TOTAL INVESTMENTS
(Money Market Trust) $258,581,602
============
The accompanying notes are an integral part of the financial statements.
50
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
ASSET ALLOCATION TRUSTS
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
----------------------- ----------------------- -----------------------
Shares Value Shares Value Shares Value
---------- ---------- ---------- --------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS: 66.91% 42.99% 25.34%
AEROSPACE: 0.76% 0.46% 0.33%
Boeing Company ---- ---- 1,400 $ 109,725 700 $ 54,862
Lockheed Martin Corporation 1,800 $ 142,200 ---- ---- ---- ----
McDonnell Douglas Corporation 2,100 193,200 6,300 579,600 1,300 119,600
Northrop Grumman Corporation 3,300 211,200 4,200 268,800 900 57,600
Oerlikon Buhrle AG* 720 58,674 ---- ---- ---- ----
Rockwell International Corporation 3,100 163,913 7,500 396,563 2,800 148,050
Thiokol Corporation 3,400 115,175 5,300 179,537 900 30,488
Transtechnology Corporation 4,100 55,350 8,800 118,800 2,300 31,050
TRW, Incorporated 1,000 77,500 ---- ---- ---- ----
United Technologies Corporation 6,500 616,687 14,200 1,347,225 2,900 275,137
Watkins Johnson Company ---- ---- ---- ---- 700 30,625
---------- ---------- --------
1,633,899 3,000,250 747,412
AGRICULTURAL MACHINERY: 0.08% 0.06% 0.03%
Deere & Company 5,000 176,250 10,300 363,075 1,800 63,450
---------- ---------- --------
AIR TRAVEL: 0.74% 0.47% 0.28%
AMR Corporation* 1,200 89,100 2,700 200,475 600 44,550
Atlantic Southeast Airlines, Incorporated 2,900 62,350 5,800 124,700 2,100 45,150
British Airways 19,800 143,296 31,000 224,352 5,500 39,804
Delta Air Lines, Incorporated 11,000 812,625 23,400 1,728,675 4,800 354,600
Japan Air Lines Company* 38,000 252,107 62,000 411,332 11,000 72,978
KLM Royal Dutch Airlines* 5,700 200,925 9,700 341,925 1,900 66,975
Northwest Airlines Corporation* 400 20,400 700 35,700 ---- ----
---------- ---------- --------
1,580,803 3,067,159 624,057
ALUMINUM: 0.64% 0.44% 0.28%
Aluminum Company of America 26,000 1,374,750 54,000 2,855,250 11,700 618,637
---------- ---------- --------
APPAREL & TEXTILES: 0.33% 0.24% 0.15%
Kellwood Company 3,800 77,425 8,800 179,300 800 16,300
Pacific Sunwear of California* 5,100 45,900 11,600 104,400 2,600 23,400
Talbots, Incorporated 9,900 284,625 21,800 626,750 4,300 123,625
Urban Outfitters, Incorporated* 7,600 176,700 17,500 406,875 4,200 97,650
Warnaco Group, Incorporated, Class A 4,800 120,000 10,600 265,000 3,400 85,000
---------- ---------- --------
704,650 1,582,325 345,975
AUTO PARTS: 0.78% 0.57% 0.35%
Echlin, Incorporated 18,400 671,600 33,600 1,226,400 7,300 266,450
Gentex Corporation* 1,600 35,200 3,500 77,000 800 17,600
Genuine Parts Company 20,400 836,400 50,300 2,062,300 10,200 418,200
Monro Muffler Brake, Incorporated* 5,365 74,439 11,125 154,359 3,150 43,706
A.O. Smith Corporation 400 8,300 800 16,600 200 4,150
Spartan Motors, Incorporated* 5,300 58,300 11,900 130,900 2,900 31,900
---------- ---------- --------
1,684,239 3,667,559 782,006
AUTOMOBILES: 1.30% 0.74% 0.42%
Chrysler Corporation 6,000 332,250 12,500 692,187 2,700 149,513
Ford Motor Company 16,200 469,800 30,700 890,300 6,300 182,700
General Motors Corporation 13,300 703,237 24,000 1,269,000 4,900 259,087
</TABLE>
The accompanying notes are an integral part of the financial statements.
51
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
----------------------- ----------------------- -----------------------
Shares Value Shares Value Shares Value
---------- ---------- ---------- --------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
AUTOMOBILES - CONTINUED
Honda Motor Company 18,000 $ 371,332 26,000 $ 536,368 5,000 $103,148
Toyota Motor Corporation 29,000 615,109 47,000 996,901 8,000 169,685
Volvo AB, Series B 14,400 294,953 20,200 413,754 3,700 75,787
---------- ---------- --------
2,786,681 4,798,510 939,920
BANKING: 6.85% 4.01% 2.21%
Asahi Bank 22,000 276,998 26,000 327,361 4,000 50,363
Banc One Corporation 11,500 434,125 21,600 815,400 2,700 101,925
Bank of New York, Incorporated 27,700 1,350,375 62,900 3,066,375 13,500 658,125
Bank of Tokyo 17,000 298,015 26,000 455,787 5,000 87,651
Bank of Yokohama 9,000 73,656 24,000 196,416 ---- ----
Bankamerica Corporation 4,600 297,850 6,300 407,925 1,000 64,750
Banponce Corporation 12,200 472,750 26,100 1,011,375 6,300 244,125
Banco Bilbao Vizcaya SA 6,250 225,165 9,750 351,257 1,900 68,450
Barclays 2,965 33,978 4,738 54,304 857 9,817
Boatmens Bancshares, Incorporated 2,100 85,838 4,200 171,675 1,000 40,875
Banque National Paris 4,443 200,420 6,866 309,720 1,205 54,357
Chemical Banking Corporation 7,200 423,000 15,200 893,000 2,800 164,500
Christiania Bank O 63,800 149,072 99,900 233,422 20,200 47,199
Citicorp 3,800 255,550 3,300 221,925 600 40,350
Collective Bancorp, Incorporated 3,000 76,125 8,000 203,000 2,300 58,363
Comerica, Incorporated 1,900 76,238 4,000 160,500 800 32,100
Crestar Financial Corporation ---- ---- 1,300 76,863 300 17,737
CS Holding 3,235 331,633 5,625 576,642 1,200 123,017
Dai Ichi Kangyo Bank, Ltd. 19,000 373,559 32,000 629,153 6,000 117,966
Den Norske Bank 117,800 308,723 188,300 493,484 31,100 81,505
Deutsche Bank AG 8,050 381,428 12,650 599,387 2,300 108,979
Fifth Third Bancorp 1,100 80,575 2,300 168,475 400 29,300
First Bank System, Incorporated 2,900 143,913 ---- ---- 400 19,850
First Chicago Corporation 12,093 477,674 27,631 1,091,424 3,815 150,693
First Interstate Bancorp 2,900 395,850 6,700 914,550 1,100 150,150
Fokus Bank* 27,800 150,102 35,900 193,837 7,650 41,305
Fuji Bank 22,000 485,811 35,000 772,881 6,000 132,494
Generale De Banque 150 51,988 300 103,976 50 17,329
HSBC Holdings - HKD 6,700 102,285 68,000 1,028,904 1,800 27,479
HSBC Holdings -(pound) 43,400 656,683 10,500 160,297 12,200 184,597
Hubco, Incorporated 12,000 265,500 20,400 451,350 3,800 84,075
Istituto Nazionale delle Assicurazioni ---- ---- ---- ---- 16,800 22,268
Industrial Bank of Japan 15,000 454,722 21,000 636,610 5,000 151,574
Lloyds TSB Group, PLC 64,896 334,105 103,293 531,784 18,117 93,271
Mitsubishi Bank 6,000 141,211 9,000 211,816 2,000 47,070
Mitsubishi Trust & Banking Corporation 5,000 83,293 11,000 183,245 1,000 16,659
Mitsui Trust & Banking Corporation 26,000 284,552 35,000 383,051 9,000 98,499
Nationsbank Corporation 848 59,042 1,480 103,045 364 25,344
Overseas Union Bank 27,000 186,108 49,000 337,752 9,000 62,036
Public Bank BHD 36,000 68,890 50,000 95,681 10,000 19,136
Royal Bank of Scotland Group 21,949 199,753 34,321 312,348 6,102 55,533
Sakura Bank* 43,000 545,569 65,000 824,697 12,000 152,252
Schwiez Bankverein 475 193,953 770 314,408 170 69,415
Sparebanken NOR 8,000 206,504 12,600 325,240 2,500 64,532
Standard Chartered ---- ---- ---- ---- 106 898
Standard Federal Bancorporation 17,300 681,188 42,500 1,673,437 6,900 271,688
The Sumitomo Bank, Ltd. 23,000 487,845 27,000 572,688 5,000 106,053
</TABLE>
The accompanying notes are an integral part of the financial statements.
52
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
----------------------- ----------------------- -----------------------
Shares Value Shares Value Shares Value
---------- ---------- ---------- --------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
BANKING - CONTINUED
Sumitomo Trust & Banking 8,000 $ 113,123 19,000 $ 268,668 4,000 $ 56,562
The Tokai Bank, Ltd. 18,000 251,041 28,000 390,508 5,000 69,734
Unidanmark 4,300 212,967 6,950 344,214 1,175 58,195
United Overseas Bank 37,800 363,436 56,600 544,192 11,200 107,685
Westpac Banking Corporation 78,900 349,520 123,600 547,537 21,800 96,572
Zions Bancorp 7,100 569,775 15,500 1,243,875 3,800 304,950
----------- ----------- ----------
14,721,476 25,985,461 4,959,352
BROADCASTING: 1.00% 0.63% 0.36%
Canal Plus 1,400 262,446 2,525 473,341 475 89,044
Capital Cities/ABC, Incorporated 400 49,350 700 86,362 200 24,675
Peoples Choice TV Corporation* 7,000 133,000 20,100 381,900 2,100 39,900
TV 4 AB 11,800 204,377 18,500 320,421 3,600 62,352
TV Francaise 5,150 520,574 6,350 641,873 1,100 111,190
Viacom, Incorporated, Class A* ---- ---- ---- ---- 272 12,478
Viacom, Incorporated, Class B* 20,800 985,400 46,200 2,188,725 97,600 462,380
----------- ----------- ----------
2,155,147 4,092,622 802,019
BUILDING CONSTRUCTION: 0.32% 0.21% 0.13%
American Buildings Company* 800 18,000 ---- ---- 200 4,500
Fluor Corporation 5,600 369,600 14,800 976,800 3,400 224,400
Harsco Corporation 5,200 302,250 3,900 226,688 1,200 69,750
Kaneshita Construction ---- ---- 11,000 148,087 ---- ----
----------- ----------- ----------
689,850 1,351,575 298,650
BUSINESS SERVICES: 1.19% 0.84% 0.43%
ADVO, Incorporated ---- ---- 3,800 98,800 800 20,800
America On-Line, Incorporated* 5,500 206,250 11,600 435,000 3,000 112,500
Catalina Marketing Corporation* 3,900 244,729 8,400 527,100 1,900 119,225
EA Engineer Science and Technology,
Incorporated* 6,200 25,575 15,400 63,525 2,300 9,488
Eaux (Cie Generale) 1,150 114,812 1,720 171,719 420 41,931
Flightsafety International, Incorporated 4,400 221,100 8,100 407,025 800 40,200
Medaphis Corporation* 1,600 59,200 3,900 144,300 600 22,200
Microage, Incorporated* 9,600 78,000 24,400 198,250 5,500 44,688
North West Water 17,300 165,504 27,000 258,301 4,800 45,920
Ogden Corporation 2,000 42,750 1,600 34,200 500 10,687
Omnicom Group 5,200 193,700 21,800 812,050 2,200 81,950
PHH Corporation ---- ---- 600 28,050 ---- ----
Prosegur Compania 4,200 104,221 6,500 161,294 ---- ----
Securitas AB 2,000 94,884 7,000 332,093 1,300 61,674
Serv-Tech, Incorporated* 6,200 36,425 6,700 39,362 ---- ----
SunGuard Data Systems* 19,100 544,350 34,900 994,650 7,800 222,300
Syratech Corporation* 3,500 70,438 7,600 152,950 ---- ----
TETRA Technologies, Incorporated* 7,250 164,938 16,000 364,000 3,625 82,469
Tracor, Incorporated* 2,700 39,150 ---- ---- ---- ----
TRC Companies, Incorporated* 4,400 28,600 10,600 68,900 2,500 16,250
Yorkshire Water 12,600 115,648 19,700 180,815 3,500 32,125
----------- ----------- ----------
2,550,274 5,472,384 964,407
</TABLE>
The accompanying notes are an integral part of the financial statements.
53
<PAGE> 71
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
----------------------- ----------------------- ------------------------
Shares Value Shares Value Shares Value
--------- ---------- --------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
CHEMICALS: 1.72% 1.10% 0.59%
Akzo Nobel NV 2,500 $ 289,151 4,450 $ 514,688 700 $ 80,962
Ciba-Geigy AG 225 197,984 360 316,775 ---- ----
Cytec Industries, Incorporated* 1,200 74,850 1,900 118,513 600 37,425
E.I.Du Pont De Nemours & Company 16,200 1,131,975 33,700 2,354,788 7,200 503,100
W.R. Grace & Company 1,600 94,600 3,200 189,200 700 41,387
Great Lakes Chemical Corporation 1,800 129,600 2,500 180,000 300 21,600
Martek Biosciences Corporation* 2,700 68,175 14,700 371,175 1,600 40,400
Metacorp BHD 11,000 28,586 17,000 44,178 8,000 20,790
Metallgesellschaft* 6,800 148,846 14,600 319,582 3,000 65,667
Nippon Shokubai Company 30,000 293,462 50,000 489,104 9,000 88,039
Olin Corporation ---- ---- 800 59,400 200 14,850
Om Group, Incorporated 2,200 72,875 2,900 96,063 ---- ----
Riken Vinyl Industry Company 29,000 266,828 46,000 423,245 8,000 73,608
Sekisui Chemical 16,000 235,545 25,000 368,039 3,000 44,165
Shin Etsu Chemical Company 12,000 248,717 22,000 455,981 4,000 82,906
Special Devices, Incorporated* 2,100 27,300 ---- ---- ---- ----
Union Carbide Corporation 10,400 390,000 22,500 843,750 5,500 206,250
--------- ---------- ---------
3,698,494 7,144,481 1,321,149
COMPUTERS & BUSINESS EQUIPMENT: 2.35% 1.61% 1.03%
Bay Networks, Incorporated* 1,650 67,856 ---- ---- ---- ----
3Com Corporation ---- ---- 4,800 223,800 1,100 51,288
Cisco Systems, Incorporated* 11,600 865,650 21,500 1,604,437 4,500 335,813
Compaq Computer Corporation* 26,400 1,267,200 60,400 2,899,200 11,700 561,600
Digital Equipment Corporation* 5,600 359,100 6,300 403,988 2,500 160,313
Fujitsu 8,000 89,104 13,000 144,794 2,000 22,276
Hewlett-Packard Company 4,300 360,125 8,600 720,250 2,000 167,500
Hutchinson Technology, Incorporated* 1,100 46,475 ---- ---- ---- ----
International Business Machines Corporation 18,900 1,734,075 41,500 3,807,625 9,500 871,625
International Imaging Materials* 4,500 113,625 9,700 244,925 2,500 63,125
Natural Microsystems Corporation* 5,200 158,600 12,300 375,150 2,200 67,100
Tech Data Corporation* ---- ---- ---- ---- 1,000 15,000
--------- ---------- ---------
5,061,810 10,424,169 2,315,640
CONGLOMERATES: 1.14% 0.66% 0.34%
AlliedSignal, Incorporated 3,200 152,000 13,000 617,500 2,800 133,000
Berjaya Sports 33,000 76,663 83,000 192,818 10,000 23,231
BIC 4,700 477,966 6,975 709,322 1,225 124,576
BTR PLC 55,200 281,187 86,300 439,609 15,200 77,428
Corporacion Financiera Alba 2,500 153,957 3,650 224,777 600 36,950
First Pacific Company 119,089 132,449 189,734 211,020 20,185 22,449
Hutchison Whampoa 71,000 432,473 106,000 645,664 19,000 115,732
Jardine Matheson* 16,000 118,563 31,600 234,156 6,600 48,912
Nokia OY AB, Series A 6,100 239,826 15,350 607,026 1,600 62,905
Nokia OY AB, Series K 6,350 251,115 4,250 167,092 1,850 73,160
Tomkins 32,200 140,772 50,300 219,901 8,900 38,909
--------- ---------- ---------
2,456,971 4,268,885 757,252
</TABLE>
The accompanying notes are an integral part of the financial statements.
54
<PAGE> 72
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------ -------------------------
Shares Value Shares Value Shares Value
---------- ---------- --------- --------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
CONSTRUCTION MATERIALS: 0.65% 0.42% 0.23%
BPB Industries 26,600 $ 123,519 41,700 $ 193,637 7,400 $ 34,362
Lafarge Corporation 15,900 298,125 24,100 451,875 4,000 75,000
Medusa Corporation 6,100 161,650 16,150 427,975 3,800 100,700
RMC Group 4,400 67,719 6,900 106,195 1,200 18,469
Tostem Corporation 10,000 332,203 16,000 531,525 3,000 99,661
Vulcan Materials Company 7,000 403,375 17,700 1,019,962 3,100 178,638
---------- ---------- -------
1,386,591 2,731,169 506,830
CONSTRUCTION & MINING EQUIPMENT: 0.50% 0.36% 0.25%
Caterpillar, Incorporated 11,900 699,125 25,500 1,498,125 5,900 346,625
Harnischfeger Industries, Incorporated 10,791 358,801 24,534 815,756 6,691 222,476
Japan Foundation Engineer 700 13,763 ---- ---- ----
---------- ---------- ----------
----
1,071,689 2,313,881 569,101
COSMETICS & TOILETRIES: 0.35% 0.28% 0.17%
Alberto-Culver Company, Class A 10,900 332,450 26,000 793,000 5,000 152,500
Avon Products, Incorporated 2,200 165,825 7,600 572,850 1,600 120,600
CCA Industries, Incorporated* 12,500 15,625 28,400 35,500 6,300 7,875
Guest Supply, Incorporated* 10,500 237,562 19,050 431,006 4,500 101,813
---------- ---------- ---------
751,462 1,832,356 382,788
DOMESTIC OIL: 1.47% 1.10% 0.69
Amerada Hess Corporation 14,500 768,500 33,900 1,796,700 6,200 328,600
Atlantic Richfield Company 6,200 686,650 15,600 1,727,700 3,200 354,400
Exxon Corporation 8,700 697,087 16,100 1,290,013 2,800 224,350
Kerr-McGee Corporation 1,400 88,900 ---- ---- 900 57,150
Mobil Corporation 500 56,000 400 44,800 100 11,200
Unocal Corporation 29,400 856,275 77,700 2,263,012 19,300 562,113
---------- ---------- ----------
3,153,412 7,122,225 1,537,813
DRUGS & HEALTH CARE: 5.75% 3.78% 2.24%
Allergan, Incorporated 1,100 35,750 2,200 71,500 500 16,250
American Home Products Corporation 2,900 281,300 5,300 514,100 1,400 135,800
Amgen, Incorporated* 16,200 961,875 38,400 2,280,000 8,200 486,875
Baxter International, Incorporated 22,800 954,750 45,300 1,896,938 11,100 464,812
Biogen, Incorporated 500 30,750 900 55,350 ---- ----
Bristol-Myers Squibb Company 19,000 1,631,625 29,500 2,533,313 6,300 541,012
Columbia/HCA-Healthcare Corporation 15,900 806,925 39,200 1,989,400 8,000 406,000
Cor Therapeutics, Incorporated* 8,100 67,837 15,600 130,650 4,300 36,012
Gehe AG 750 381,666 1,187 604,050 187 95,162
Genentech, Incorporated* 6,500 344,500 17,900 948,700 3,900 206,700
Glaxo Wellcome PLC, ADR 21,400 304,100 33,445 475,263 6,077 86,356
Health Management Association, Class A* 750 19,594 1,600 41,800 550 14,369
Integrated Health Services, Incorporated 2,700 67,500 3,700 92,500 1,300 32,500
Johnson & Johnson 10,500 899,063 22,000 1,883,750 4,700 402,437
Merck & Company, Incorporated 30,000 1,972,500 57,900 3,806,925 11,600 762,700
Pfizer, Incorporated 5,100 321,300 11,000 693,000 2,400 151,200
Pharmacia & Upjohn, Incorporated* 10,320 399,900 22,600 875,750 4,455 172,631
Protein Design Laboratories, Incorporated* 7,900 182,687 15,700 363,063 3,200 74,000
Sankyo Company 7,000 157,288 11,000 247,167 2,000 44,939
Schering AG 4,650 308,044 7,650 506,783 1,300 86,120
Schering-Plough Corporation 6,100 333,975 12,700 695,325 2,700 147,825
</TABLE>
The accompanying notes are an integral part of the financial statements.
55
<PAGE> 73
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------ -------------------------
Shares Value Shares Value Shares Value
---------- ----------- ---------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
DRUGS & HEALTH CARE - CONTINUED
SmithKline Beecham 24,000 $ 264,637 38,100 $ 420,112 6,700 $ 73,878
SmithKline Beecham PLC, ADR 600 33,300 4,000 222,000 ---- ----
SmithKline BCH/BEC 29,400 320,528 45,900 500,416 8,100 88,309
Spacelabs, Incorporated* 2,800 80,500 6,100 175,375 1,900 54,625
St. Jude Medical, Incorporated 1,950 83,850 15,200 653,600 ---- ----
Takeda Chemical Industries 18,000 296,368 28,000 461,017 5,000 82,324
Thermedics, Incorporated* 8,100 224,775 15,300 424,575 3,900 108,225
Universal Health Services, Incorporated* 4,300 190,813 7,900 350,562 3,400 150,875
Yamanouchi Pharmaceutical 19,000 408,523 29,000 623,535 5,000 107,506
----------- ----------- ----------
12,366,223 24,536,519 5,029,442
ELECTRICAL EQUIPMENT: 1.76% 1.18% 0.68%
Alliance Semiconductor Corporation* ---- ---- 1,200 13,950 ---- ----
Austria Mikro Systeme International AG 360 58,402 672 109,016 156 25,307
Boston Scientific Corporation* 2,600 127,400 5,200 254,800 1,600 78,400
CAI Wireless Systems, Incorporated* 14,025 134,991 32,670 314,449 7,095 68,289
Exide Corporation 7,700 353,237 13,800 633,075 1,900 87,162
General Electric Company 20,000 1,440,000 51,100 3,679,200 10,700 770,400
Hitachi 28,000 282,034 44,000 443,196 8,000 80,581
Mitsubishi Electric Company 26,000 187,099 43,000 309,433 5,000 35,981
NEC Corporation 12,000 146,441 19,000 231,864 4,000 48,814
NTT Data Communications System 8 268,862 11 369,685 2 67,215
Omron Corporation 11,000 253,559 17,000 391,864 20,000 46,102
Sanmina Corporation* 4,300 223,063 8,200 425,375 2,100 108,937
Sumitomo Electric Industries 23,000 276,223 30,000 360,291 7,000 84,069
Thermo Voltek Corporation* 1,900 28,975 9,700 147,925 1,500 22,875
----------- ----------- ----------
3,780,286 7,684,123 1,524,132
ELECTRIC UTILITIES: 1.02% 0.65% 0.36%
Eastern Utilities Associates 10,500 248,063 21,800 515,025 4,700 111,037
Entergy Corporation 10,100 295,425 22,700 663,975 4,700 137,475
Hong Kong Electric Holdings, Ltd. 58,000 190,145 85,000 278,661 15,500 50,815
Kansai Electric Power ---- ---- 9,000 217,918 20,000 48,426
Nipsco Industries, Incorporated 7,600 290,700 16,100 615,825 3,500 133,875
Pinnacle West Capital Corporation 9,800 281,750 21,200 609,500 4,500 129,375
Scottish Power 38,800 222,954 60,500 347,647 7,800 44,821
Tohoku Electric Power, Incorporated 5,500 132,639 ---- ---- ---- ----
Tokyo Electric Power, Incorporated 10,100 269,985 20,700 553,337 2,900 77,521
VEBA AG 6,150 261,091 9,750 413,925 2,000 84,908
----------- ----------- ----------
2,192,752 4,215,813 818,253
ELECTRONICS: 2.05% 1.36% 0.77%
Adaptec, Incorporated* 5,700 233,700 5,200 213,200 ---- ----
Adflex Solutions, Incorporated* 2,100 56,175 4,800 128,400 2,200 58,850
AMP, Incorporated 3,000 115,125 8,000 307,000 3,000 115,125
Analog Devices, Incorporated* 10,300 364,363 26,700 944,512 2,000 70,750
DSC Communications Corporation* 8,000 295,000 17,000 626,875 3,700 136,438
L.M. Ericsson Telephone Company,
Class B, ADR 18,300 356,850 32,500 633,750 8,400 163,800
Fanuc 5,400 233,782 10,900 471,893 2,000 86,586
Glenayre Technologies, Incorporated* 8,400 522,900 10,300 641,175 4,100 255,225
Harris Corporation 1,200 65,550 3,400 185,725 ---- ----
</TABLE>
The accompanying notes are an integral part of the financial statements.
56
<PAGE> 74
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ----------------------- ------------------------
Shares Value Shares Value Shares Value
---------- ---------- --------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
ELECTRONICS - CONTINUED
Intel Corporation 13,200 $ 749,100 27,600 $ 1,566,300 5,900 $ 334,825
Kyocera Corporation 1,000 74,286 ---- ---- ---- ----
Liberty Technologies, Incorporated* ---- ---- 17,500 87,500 3,900 19,500
Linear Technology Corporation ---- ---- 17,500 686,875 ---- ----
Maxim Integrated Products, Incorporated* 2,200 84,700 4,700 180,950 1,000 38,500
Motorola, Incorporated 5,300 302,100 11,000 627,000 2,400 136,800
Murata Manufacting Company, Ltd ---- ---- 3,000 110,412 1,000 36,804
National Grid Group* 23,500 72,628 36,800 113,732 6,500 20,089
National Semiconductor Corporation* 2,000 44,500 4,100 91,225 1,000 22,250
Raytheon Company 3,400 160,650 10,200 481,950 ---- ----
Richey Electronics, Incorporated* 4,000 52,000 2,900 37,700 1,100 14,300
Rohm Company 3,000 169,395 5,000 282,324 1,000 56,465
Scientific-Atlanta, Incorporated 7,700 115,500 2,600 39,000 600 9,000
Sequa Corporation, Class A* 2,200 67,100 ---- ---- 1,300 39,650
SGS Thomson Microelectronics NV 2,800 107,208 5,100 195,273 900 34,460
SGS Thomson Microelectronics NV FRF 1,000 40,250 ---- ---- 1,000 40,250
Unitrode Corporation* 3,300 93,225 4,500 127,125 1,100 31,075
Xilinx, Incorporated* 1,100 33,550 2,300 70,150 500 15,250
---------- ----------- ----------
4,409,637 8,850,046 1,735,992
FINANCIAL SERVICES: 4.06% 2.61% 1.62%
Acom Company 5,700 238,489 8,000 334,722 1,400 58,576
Allstate Corporation 37,842 1,556,252 73,544 3,024,497 15,762 648,212
American Express Company 20,400 844,050 43,400 1,795,675 8,800 364,100
Astoria Financial Corporation* 7,200 328,500 16,500 752,813 4,200 191,625
Beneficial Corporation 5,500 256,438 5,300 247,113 900 41,962
BHC Financial, Incorporated 2,900 52,200 8,600 154,800 1,000 18,000
Daiwa Securities 23,000 351,961 36,000 550,896 6,000 91,816
Equitable Companies, Incorporated ---- ---- ---- ---- 1,000 24,000
Federal Home Loan Mortgage Corporation 11,800 985,300 26,400 2,204,400 5,500 459,250
Federal National Mortgage Association 17,000 2,110,125 35,800 4,443,675 8,000 993,000
Fleet Financial Group, Incorporated 10,398 423,719 21,545 877,959 5,060 206,189
Internationale Nederlanden Groep NV 2,967 198,198 6,169 412,112 828 55,314
Japan Associated Finance Company* 2,000 211,138 3,000 316,707 1,000 105,569
Jefferies Group, Incorporated 2,400 113,400 4,300 203,175 1,100 51,975
Legg Mason, Incorporated 10,700 294,250 16,200 445,500 3,000 82,500
Long Island Bancorp, Incorporated 3,000 79,125 500 13,187 300 7,912
Nikko Securities 21,000 270,508 29,000 373,559 4,000 51,525
Security Services 1,900 26,380 3,000 41,652 500 6,942
Tab Corporation Holdings, Ltd. 29,200 82,474 23,100 65,245 8,100 22,879
Travelers Group, Incorporated 4,933 310,162 10,733 674,837 2,233 140,400
---------- ----------- ----------
8,732,669 16,932,524 3,621,746
FOOD & BEVERAGES: 3.89% 2.48% 1.63%
Anheuser-Busch Companies, Incorporated 900 60,187 ---- ---- 1,300 86,938
Archer-Daniels-Midland Company 4,017 72,306 18,230 328,140 3,882 69,876
Bass 19,100 213,129 30,000 334,757 5,300 59,140
Cadbury Schweppes PLC 21,090 174,086 32,943 271,923 8,418 69,487
The Coca Cola Company 5,800 430,650 10,800 801,900 2,700 200,475
Dean Foods Company 10,800 297,000 20,300 558,250 4,700 129,250
Dekalb Genetics Corporation, Class B 6,300 284,287 12,700 573,087 2,500 112,813
Dole Food Company, Incorporated 7,500 262,500 12,800 448,000 2,900 101,500
General Mills, Incorporated 2,400 138,600 ---- ---- ---- ----
</TABLE>
The accompanying notes are an integral part of the financial statements.
57
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
----------------------- ------------------------ -----------------------
Shares Value Shares Value Shares Value
--------- ---------- --------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
FOOD & BEVERAGES - CONTINUED
Goodmark Foods, Incorporated 4,600 $ 81,650 10,800 $ 191,700 2,600 $ 46,150
Kellogg Company 10,400 803,400 20,700 1,599,075 4,600 355,350
Nabisco Holdings Corporation, Class A 5,800 189,225 6,000 195,750 6,100 199,013
Nestle SA 192 212,390 340 376,108 61 67,478
Nippon Meat Packer 10,000 145,278 15,000 217,918 3,000 43,584
PepsiCo, Incorporated 43,600 2,436,150 91,300 5,101,387 19,600 1,095,150
Pioneer Hi Bred International, Incorporated 3,700 205,812 6,800 378,250 1,600 89,000
Ralcorp Holdings, Incorporated* 15,266 370,200 34,100 826,925 7,800 189,150
Ralston Purina Company 16,500 1,029,188 36,600 2,282,925 7,200 449,100
Southcorp Holdings, Ltd. 98,300 228,690 154,500 359,436 28,000 65,140
Tabacalera SA 7,550 286,315 10,800 409,563 2,350 89,118
Tate & Lyle 20,700 151,738 32,400 237,503 5,700 41,783
Tyson Foods, Incorporated, Class A 11,300 295,212 22,000 574,750 3,300 86,212
---------- ----------- ----------
8,367,993 16,067,347 3,645,707
FOREST PRODUCTS: 0.08% 0.04% 0.03%
Georgia-Pacific Corporation 1,400 96,075 3,100 212,738 700 48,037
Weyerhaeuser Company 1,200 51,900 ---- ---- ---- ----
Wickes Lumber Company* 4,600 23,000 7,300 36,500 1,800 9,000
---------- ----------- ----------
170,975 249,238 57,037
GAS & PIPELINE UTILITIES: 0.91% 0.65% 0.38%
Eastern Enterprises 4,300 151,575 15,900 560,475 2,900 102,225
Enron Corporation 16,700 636,687 35,200 1,342,000 8,000 305,000
MCN Corporation 8,800 204,600 16,000 372,000 4,600 106,950
Pacific Enterprises 13,800 389,850 34,700 980,275 5,900 166,675
Piedmont National Gas, Incorporated 7,900 183,675 14,200 330,150 3,200 74,400
Questar Corporation 4,100 137,350 9,300 311,550 1,700 56,950
UGI Corporation 11,800 244,850 16,700 346,525 2,400 49,800
---------- ----------- ----------
1,948,587 4,242,975 862,000
GOLD: 0.56% 0.47% 0.23%
Barrick Gold Corporation 21,500 567,062 54,300 1,432,163 7,800 205,725
Newmont Mining Corporation 14,000 633,500 36,300 1,642,575 6,700 303,175
---------- ----------- ----------
1,200,562 3,074,738 508,900
HOMEBUILDERS: 0.20% 0.13% 0.09%
Beazer Homes USA, Incorporated* 3,500 72,187 ---- ---- ---- ----
Castle & Cooke, Incorporated * 2,500 41,875 4,267 71,467 967 16,192
Lennar Corporation 3,700 92,963 10,100 253,762 2,600 65,325
Pulte Corporation 6,700 225,287 14,500 487,562 3,800 127,775
---------- ----------- ----------
432,312 812,791 209,292
HOTELS & RESTAURANTS: 0.56% 0.31% 0.21%
La Quinta Inns, Incorporated 4,950 135,506 9,900 271,013 2,850 78,019
Marriot International, Incorporated 8,400 321,300 19,100 730,575 2,600 99,450
McDonald's Corporation 6,800 306,850 15,700 708,462 3,900 175,987
Mirage Resorts, Incorporated* 1,400 48,300 3,100 106,950 700 24,150
Promus Hotel Corporation* ---- ---- 1,550 34,487 350 7,788
Quick Restaurants 2,200 205,946 1,900 177,863 500 46,806
Yoshinoya D&C Company, Ltd. 11 191,768 ---- ---- 2 34,867
---------- ----------- ----------
1,209,670 2,029,350 467,067
</TABLE>
The accompanying notes are an integral part of the financial statements.
58
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- ------------------------ ------------------------
Shares Value Shares Value Shares Value
-------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
HOUSEHOLD APPLIANCES FURNISHING: 0.87% 0.47% 0.24%
Fedders USA, Incorporated 10,000 $ 57,500 23,800 $ 136,850 ---- ----
Industrie Natuzzi SPA, ADR 2,600 117,975 5,300 240,487 500 $ 22,687
Matsushita Electronic Industries 31,000 504,407 51,000 829,831 10,000 162,712
Philips Electronics 13,900 502,399 21,100 762,635 4,400 159,033
Sony Corporation 8,100 485,608 12,700 761,385 2,200 131,893
Thorn EMI PLC 8,900 209,611 14,000 329,725 2,500 58,879
---------- ---------- ----------
1,877,500 3,060,913 535,204
HOUSEHOLD PRODUCTS: 0.34% 0.20% 0.11%
Procter & Gamble Company 2,900 240,700 2,700 224,100 500 41,500
Stanhome, Incorporated 2,500 72,812 7,100 206,787 2,600 75,725
Unilever NV 2,000 281,049 4,550 639,387 700 98,367
Wickes 67,700 130,374 106,000 204,131 18,700 36,012
---------- ---------- ----------
724,935 1,274,405 251,604
INDUSTRIAL MACHINERY: 1.27% 0.82% 0.50%
AES Corporation* 44,500 1,062,437 91,900 2,194,112 19,600 467,950
Autoliv AB 1,500 87,655 2,700 157,778 500 29,218
Bearings, Incorporated ---- ---- ---- ---- 150 4,387
Bekaert SA 200 164,798 300 247,197 50 41,199
Goulds Pumps, Incorporated 6,500 162,500 13,700 342,500 3,600 90,000
Ingersoll Rand Company 6,000 210,750 13,400 470,675 3,100 108,887
Mannesmann AG 800 254,695 1,350 429,798 200 63,674
Memtec, Ltd., ADR* 4,000 66,500 3,400 56,525 1,400 23,275
Nacco Industries, Incorporated 3,200 177,600 8,600 477,300 1,600 88,800
NGK Spark Plug Company 11,000 138,499 18,000 226,634 6,000 37,772
Park Ohio Industries, Incorporated 3,600 58,050 5,600 90,300 1,000 16,125
T & N PLC 52,600 132,337 82,400 207,312 14,500 36,481
Tan Chong Motor Holdings BHD 74,000 73,135 108,000 106,737 22,000 21,743
Thermo Electron Corporation* 2,550 132,600 4,650 241,800 1,300 67,600
TSI, Incorporated ---- ---- 7,200 100,800 1,200 16,800
---------- ---------- ----------
2,721,556 5,349,468 1,113,911
INSURANCE: 2.40% 1.50% 0.87%
Alexander & Alexander Services, Incorporated ---- ---- 7,100 134,900 ---- ----
AXA 5,500 370,635 8,600 579,538 1,500 101,082
Baloise Holdings 80 166,450 125 260,078 35 72,822
W.R. Berkley Corporation 6,000 322,500 15,800 849,250 1,700 91,375
Chubb Corporation 4,300 416,025 9,200 890,100 2,600 251,550
Cincinnati Financial Corporation 855 55,789 1,825 119,081 420 27,405
Corporacion Mapfre 3,700 207,115 5,650 316,270 950 53,178
Dai Tokyo Fire & Marine 23,000 175,535 37,000 282,383 7,000 53,424
Equitable of Iowa Companies, Incorporated 2,500 80,313 ---- ---- ---- ---
Frontier Insurance Group, Incorporated 3,900 124,800 10,400 332,800 1,900 60,800
General Re Corporation 1,900 294,500 4,500 697,500 1,500 232,500
Gryphon Holdings, Incorporated* 3,300 63,525 7,100 136,675 1,500 28,875
Harleysville Group, Incorporated 3,500 113,313 7,300 236,337 2,000 64,750
Horace Mann Educators Corporation 8,700 271,875 18,300 571,875 3,900 121,875
MBIA, Incorporated 3,700 277,500 7,300 547,500 1,900 142,500
Mitsui Marine & Fire Insurance
Company, Ltd. 18,000 128,310 ---- ---- ---- ----
Providian Corporation 7,400 301,550 15,400 627,550 3,300 134,475
Prudential Corporation 40,577 261,208 65,532 421,851 11,900 76,604
</TABLE>
The accompanying notes are an integral part of the financial statements.
59
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
----------------------- ----------------------- ------------------------
Shares Value Shares Value Shares Value
-------- ---------- -------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
INSURANCE - CONTINUED
Royal Insurance 28,083 $ 166,386 44,039 $ 260,923 7,831 $ 46,399
Schweiz Ruckversicherungs 100 116,342 140 162,878 ---- ----
Selective Insurance Group, Incorporated 6,700 237,850 14,000 497,000 3,100 110,050
Skandia Foersaekrings AB 12,600 340,633 19,700 532,577 3,100 83,807
Sumitomo Marine & Fire 41,000 336,736 64,000 525,637 7,000 57,491
Tokio Marine & Fire 11,000 143,826 19,000 248,426 3,000 39,225
Triad Guaranty, Incorporated* 7,200 190,800 18,300 484,950 3,700 98,050
---------- ---------- ----------
5,163,516 9,716,079 1,948,237
INTERNATIONAL OIL: 0.45% 0.23% 0.13%
British Petroleum 61,500 513,376 96,100 802,201 17,000 141,909
British Petroleum Company PLC, ADR 4,500 459,563 6,800 694,450 1,400 142,975
---------- ---------- ----------
972,939 1,496,651 284,884
INVESTMENT COMPANIES: 0.49% 0.33% 0.17%
Brierley Investment, Ltd. 42,500 33,620 70,000 55,374 13,000 10,284
Inter-Regional Financial Group, Incorporated 5,400 136,350 8,100 204,525 1,950 49,238
McDonald Company Investments,
Incorporated 2,400 43,200 5,400 97,200 800 14,400
Morgan Keegan, Incorporated ---- ---- 17,050 215,256 1,800 22,725
Morgan Stanley Group, Incorporated 600 48,375 2,700 217,687 600 48,375
Nomura Securities Company, Ltd. 24,000 523,002 31,000 675,545 5,000 108,959
Piper Jaffray Companies, Incorporated 10,000 137,500 22,500 309,375 4,800 66,000
Waterhouse Investors Services, Incorporated 4,875 120,656 13,875 343,406 2,625 64,969
---------- ---------- ----------
1,042,703 2,118,368 384,950
LEISURE TIME: 0.57% 0.33% 0.18%
Children's Discovery Centers of America,
Incorporated* 3,700 18,962 9,200 47,150 2,100 10,762
The Walt Disney Company 7,300 430,700 9,800 578,200 2,600 153,400
Donnelly Corporation ---- ---- 3,700 54,575 700 10,325
Genting BHD 20,000 166,949 24,000 200,339 5,000 41,737
Kuoni Reisen Holding, Series B 220 352,839 340 545,297 75 120,286
Movie Gallery, Incorporated* 2,800 85,400 10,200 311,100 ---- ----
Resorts World BHD 13,000 69,615 37,000 198,134 6,000 32,130
Sodak Gaming, Incorporated* 4,800 99,000 9,400 193,875 2,100 43,312
---------- ---------- ----------
1,223,465 2,128,670 411,952
MINING: 0.11% 0.05% 0.03%
Addington Resource, Incorporated* 8,600 125,775 9,200 134,550 1,900 27,788
Cookson Group 23,700 112,261 37,000 175,260 6,500 30,789
---------- ---------- ----------
238,036 309,810 58,577
NEWSPAPERS: 0.26% 0.13% 0.07%
Independent News 53,444 330,345 83,737 517,584 14,795 91,448
The E.W. Scripps Company, Class A 5,700 224,437 8,500 334,687 1,600 63,000
---------- ------- ----------
554,782 852,271 154,448
NON-FERROUS METALS: 0.26% 0.14% 0.07%
Imco Recycling, Incorporated 7,100 173,950 10,200 249,900 2,000 49,000
IMI PLC 38,100 194,376 59,700 304,573 10,500 53,568
Inco, Ltd. ---- ---- 100 3,325 ---- ----
Sumitomo Sitix 10,000 182,082 18,000 327,748 3,000 54,625
---------- ---------- ----------
550,408 885,546 157,193
</TABLE>
The accompanying notes are an integral part of the financial statements.
60
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - continued
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------ ------------------------
Shares Value Shares Value Shares Value
----------- ---------- ---------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
OFFICE FURNISHINGS & SUPPLIES: 0.12% 0.08% 0.05%
Miller Herman, Incorporated 8,300 $ 249,000 17,300 $ 519,000 3,700 $ 111,000
---------- ---------- ----------
PAPER: 0.92% 0.64% 0.38%
Alco Standard Corporation 900 41,063 1,900 86,688 400 18,250
Champion International Corporation 1,500 63,000 3,100 130,200 700 29,400
Fort Howard Corporation ---- ---- 1,300 29,250 ---- ----
James River Corporation of Virginia 2,700 65,138 2,200 53,075 ---- ----
Kimberly Clark Corporation 21,400 1,770,850 44,900 3,715,475 9,500 786,125
Mosinee Paper Corporation ---- ---- 1,600 41,200 ---- ----
Wausau Paper Mills Company 1,600 43,600 ---- ---- ---- ----
Westvaco Corporation ---- ---- 2,350 65,213 ---- ----
Willamette Industries, Incorporated ---- ---- ---- ---- 400 22,500
---------- ---------- ----------
1,983,651 4,121,101 856,275
PETROLEUM AND NATURAL GAS: 0.37% 0.16% 0.12%
Ampolex, Ltd.* 37,944 82,916 82,399 180,060 10,167 22,217
Anadarko Petroleum Corporation 9,800 530,425 5,200 281,450 1,100 59,537
Burlington Resources, Incorporated 2,300 90,275 6,300 247,275 1,200 47,100
Chesapeake Energy Corporation* 2,700 89,775 5,700 189,525 1,200 39,900
Newfield Exploration Company* ---- ---- 600 16,200 ---- ----
Occidental Petroleum Corporation ---- ---- 7,000 149,625 4,900 104,738
---------- ---------- ----------
793,391 1,064,135 273,492
PETROLEUM SERVICES: 1.42% 0.93% 0.57%
Broken Hill Propriertary Company, Ltd. 8,140 114,955 13,991 197,584 2,266 32,001
Camco International, Incorporated 2,500 70,000 5,600 156,800 1,400 39,200
Halliburton Company 7,800 394,875 17,900 906,187 4,400 222,750
Schlumberger, Ltd. 21,900 1,516,575 45,300 3,137,025 9,800 678,650
Total SA B Shares 3,528 238,079 5,840 394,143 1,050 70,865
Total SA, ADR 9,100 309,400 25,500 867,000 4,900 166,600
Western Atlas, Incorporated* 7,000 353,500 7,900 398,950 1,500 75,750
---------- ---------- ----------
2,997,384 6,057,689 1,285,816
PHOTOGRAPHY: 0.45% 0.22% 0.12%
Canon, Incorporated 14,000 253,559 22,000 398,450 4,000 72,446
Fuji Photo Film Company 11,000 317,482 16,000 461,792 3,000 86,586
Konica Corporation 54,000 391,206 81,000 586,809 15,000 108,668
---------- ---------- ----------
962,247 1,447,051 267,700
POLLUTION CONTROL: 0.26% 0.22% 0.13%
Continental Waste Industries, Incorporated 20,167 234,438 24,000 279,000 4,333 50,375
Sanifill, Incorporated* 2,500 83,437 4,500 150,187 1,400 46,725
TETRA Technologies, Incorporated* 14,300 248,463 33,100 575,113 8,100 140,737
United Waste Systems, Incorporated* ---- ---- 10,800 402,300 1,300 48,425
---------- ---------- ----------
566,338 1,406,600 286,262
PUBLISHING: 0.55% 0.35% 0.20%
Meredith Corporation 13,700 573,687 28,600 1,197,625 5,600 234,500
Pulitzer Publishing Company 3,125 149,219 7,125 340,219 1,750 83,562
Reuters Holdings 26,400 241,696 41,400 379,023 7,300 66,833
Ver Ned Uitgevers 1,650 226,519 2,650 363,803 500 68,642
---------- ---------- ----------
1,191,121 2,280,670 453,537
</TABLE>
The accompanying notes are an integral part of the financial statements.
61
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - continued
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------ ------------------------
Shares Value Shares Value Shares Value
----------- ---------- ---------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
RAILROADS & EQUIPMENT: 0.67% 0.48% 0.33%
Burlington Northern Santa Fe 8,200 $ 639,600 15,200 $1,185,600 3,800 $ 296,400
CSX Corporation 17,600 803,000 39,600 1,806,750 9,800 447,125
Wisconsin Central Transportation Corporation ---- ---- 1,500 98,625 ---- ----
---------- ---------- ----------
1,442,600 3,090,975 743,525
REAL ESTATE: 0.36% 0.18% 0.09%
Cheung Kong Holdings 24,000 146,188 41,000 249,738 8,000 48,729
Lion Land BHD 90,000 89,302 98,000 97,240 14,000 13,891
Mitsubishi Estate 10,000 124,939 16,000 199,903 3,000 37,482
New World Development Company 40,000 174,329 65,000 283,285 7,000 30,508
Sun Hung Kai Properties 30,000 245,393 44,000 359,909 8,000 65,438
---------- ---------- ----------
780,151 1,190,075 196,048
RETAIL GROCERY: 0.20% 0.15% 0.07%
Giant Foods, Incorporated, Class A 6,900 217,350 20,500 645,750 2,900 91,350
Tesco 46,749 215,630 73,086 337,110 12,916 59,575
---------- ---------- ----------
432,980 982,860 150,925
RETAIL TRADE: 2.54% 1.66% 0.83%
Amway Japan, Ltd. 7,000 295,593 11,000 464,504 2,000 84,455
Argyll Group 32,800 173,195 51,300 270,881 9,100 48,051
Boots Company 21,900 198,287 34,200 309,654 6,000 54,325
Burton Group* 66,300 138,490 103,700 216,612 18,300 38,226
Chiyoda Company 8,000 185,956 12,500 290,557 2,200 51,138
Consolidated Stores Corporation* 7,400 160,950 16,000 348,000 4,400 95,700
Cygne Designs, Incorporated ---- ---- ---- ---- 900 844
D Ieteren Trading 1,400 118,213 3,400 287,088 400 33,775
Federated Department Stores, Incorporated* 4,200 115,500 7,300 200,750 800 22,000
Friedmans, Incorporated* 5,500 105,875 16,900 325,325 3,200 61,600
Haverty Furniture Companies, Incorporated 5,600 77,700 ---- ---- ---- ----
Home Depot, Incorporated 15,300 732,487 26,300 1,259,113 4,200 201,075
Ito Yokado Company 4,000 246,392 7,000 431,186 1,000 61,598
Karstadt AG 250 101,952 ---- ---- 50 20,390
Leslie's Poolmart 9,450 132,300 21,315 298,410 5,250 73,500
Lillian Vernon Corporation 4,500 60,187 10,500 140,438 2,500 33,438
Lowes Companies, Incorporated 15,900 532,650 32,700 1,095,450 8,300 278,050
Marks & Spencer 23,900 167,029 37,500 262,075 6,600 46,125
Marui Company 12,000 249,879 21,000 437,288 3,000 62,470
Mitsubishi Corporation 13,000 159,903 33,000 405,908 4,000 49,201
Nine West Group, Incorporated* 12,400 465,000 30,300 1,136,250 4,200 157,500
Old American Stores, Incorporated* 5,600 45,500 12,300 99,937 3,400 27,625
Sears Roebuck & Company 7,500 292,500 34,800 1,357,200 4,200 163,800
Shimachu Company 6,000 192,349 10,000 320,581 2,000 64,116
Storehouse 21,500 111,524 33,600 174,288 5,900 30,604
Strawbridge & Clothier 2,500 60,000 5,100 122,400 1,200 28,800
Takashimaya Company 15,000 239,709 23,000 367,554 4,000 63,922
Younkers, Incorporated* 3,700 93,887 5,500 139,563 500 12,688
---------- ---------- ----------
5,453,007 10,761,012 1,865,016
SAVINGS AND LOAN: 0.09% 0.10% 0.07%
Commercial Federal Corporation* 5,300 200,075 10,600 400,150 2,600 98,150
Peoples Heritage Financial Group ---- ---- 12,200 277,550 2,100 47,775
---------- ---------- ----------
200,075 677,700 145,925
</TABLE>
The accompanying notes are an integral part of the financial statements.
62
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
SHIPBUILDING: 0.08% 0.03% 0.03%
Anangel American Shipholdings, Ltd., ADR 5,000 $ 55,625 7,700 $ 85,662 2,700 $ 30,038
West Marine, Incorporated* 3,500 109,375 3,200 100,000 1,000 31,250
---------- ----------- ----------
165,000 185,662 61,288
SOFTWARE: 1.21% 0.74% 0.53%
FTP Software, Incorporated* 900 26,100 1,400 40,600 2,100 60,900
Mercury Interactive Corporation* 8,100 147,825 13,500 246,375 3,100 56,575
Micro Focus Group, Incorporated, ADR* 4,300 36,012 --- --- 10,400 87,100
Microsoft Corporation* 16,000 1,404,000 32,600 2,860,650 7,100 623,025
Oracle Systems Corporation* 20,000 847,500 39,700 1,682,288 8,650 366,544
Policy Management Systems Corporation* 3,100 147,637 ---- ----
---------- ----------- ----------
2,609,074 4,829,913 1,194,144
STEEL: 0.49% 0.27% 0.13%
Huntco, Incorporated, Class A 3,700 56,888 7,400 113,775 500 7,688
Kawasaki Steel Corporation 68,000 237,094 115,000 400,969 20,000 69,734
Kobe Steel* 68,000 210,092 107,000 330,586 20,000 61,792
Kurimoto 13,000 132,203 24,000 244,068 4,000 40,678
Nippon Steel Corporation 44,000 150,857 70,000 240,000 14,000 48,000
Sumitomo Metal Industry 86,000 260,707 140,000 424,407 24,000 72,755
---------- ----------- ----------
1,047,841 1,753,805 300,647
TELECOMMUNICATION SERVICES: 1.00% 0.76% 0.45%
Echostar Communications Corporation* 2,925 70,931 8,910 216,067 ---- ----
L.M. Ericsson Telephone Company 11,440 223,986 16,280 318,749 2,640 51,689
Micom Communications* ---- ---- 7,900 60,238 1,800 13,725
SBC Communications, Incorporated 30,300 1,742,250 67,800 3,898,500 14,200 816,500
Tele-Communications, Incorporated, Series A* 5,700 113,288 23,500 467,062 6,500 129,188
---------- ----------- ----------
2,150,455 4,960,616 1,011,102
TELEPHONE: 4.14% 2.63% 1.58%
AirTouch Communications, Incorporated* 39,200 1,107,400 67,100 1,895,575 16,100 454,825
Ameritech Corporation 25,600 1,510,400 57,500 3,392,500 10,900 643,100
American Telephone & Telegraph
Corporation 18,500 1,197,875 38,000 2,460,500 8,000 518,000
Bell Atlantic Corporation 7,900 528,313 12,400 829,250 2,900 193,938
Bellsouth Corporation 16,700 726,450 41,500 1,805,250 9,800 426,300
British Telecommunication 32,500 178,172 50,900 279,045 9,000 49,340
DDI Corporation 30 232,445 40 309,927 10 77,482
Koninklijke PTT Nederland NV 5,600 203,452 ---- ---- ---- ----
NYNEX Corporation 36,100 1,949,400 75,700 4,087,800 16,200 874,800
Pacific Telesis Group 1,700 57,163 4,100 137,862 ---- ----
STET 150,000 306,021 203,000 414,149 34,000 69,365
Tele Danmark AS, Series B 2,875 156,889 5,000 272,850 725 39,563
Telecom Italia SPA 133,000 162,636 217,500 265,965 38,000 46,467
Telecom Italia Mobile SPA 91,000 95,691 137,500 144,589 1,800 18,928
Telefonica de Espana SA 12,600 174,509 19,700 272,844 3,150 43,627
Telekom Malaysia 6,000 46,777 11,000 85,758 2,000 15,592
U.S. West, Incorporated 500 9,500 ---- ---- ---- ----
VodaFone Group 68,519 245,811 107,234 384,703 18,945 67,965
---------- ----------- ----------
8,888,904 17,038,567 3,539,292
</TABLE>
The accompanying notes are an integral part of the financial statements.
63
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------- --------------------------
Shares Value Shares Value Shares Value
----------- ------------ ---------- ----------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
TIRES AND RUBBER: 0.19% 0.10% 0.05%
Bandag, Incorporated 400 $ 21,650 900 $ 48,713 ---- ----
Bridgestone Corporation 25,000 397,094 39,000 619,467 7,000 $ 111,186
------------ ------------ -----------
418,744 668,180 111,186
TOBACCO: 1.43% 0.99% 0.60%
B.A.T. Industries PLC 10,600 93,341 16,600 146,175 2,900 25,537
Philip Morris Companies, Incorporated 32,200 2,914,100 67,300 6,090,650 14,400 1,303,200
RJR Nabisco Holdings Corporation 2,500 77,188 6,500 200,688 700 21,612
------------ ------------ -----------
3,084,629 6,437,513 1,350,349
TRUCKING & FREIGHT: 0.42% 0.23% 0.13%
Bergesen DY AS 12,300 244,676 12,700 252,633 2,600 51,720
Fukuyama Transport 19,000 178,499 30,000 281,840 5,000 46,973
J.B. Hunt Transport Services, Incorporated 5,400 90,450 20,000 335,000 2,100 35,175
ICB Shipping 24,000 206,033 30,800 264,410 4,500 38,631
Landstar Systems, Incorporated* 5,200 139,100 7,900 211,325 2,500 66,875
New World Infrastructure, Ltd.* 66 126 108 207 11 21
Pittston Services Group ---- ---- 3,000 94,125 1,800 56,475
TNT Freightways Corporation 2,000 40,250 3,000 60,375 ---- ----
------------ ------------ -----------
899,134 1,499,915 295,870
TOTAL COMMON STOCK (COST:
$120,484,430, $231,908,014 and
$47,115,143, respectively) $143,835,680 $278,934,020 $56,816,385
------------ ------------ -----------
PREFERRED STOCK: 0.28% 0.24% 0.01%
BANKING: 0.02% 0.01% 0.01%
Creditanstalt Bank 800 41,117 1,340 68,871 230 11,821
------------ ------------ -----------
BROADCASTING: 0.11% 0.11%
Cablevision Systems Corporation 2,200 227,700 6,600 683,100 ---- ----
------------ ------------
FINANCIAL SERVICES: 0.00% 0.00%
S D Warren Company 169 5,324 558 17,577 ---- ----
------------ ------------
TELECOMMUNICATION SERVICES: 0.15% 0.12%
Panamsat Corporation* 291 326,010 700 784,000 ---- ----
------------ ------------
TOTAL PREFERRED STOCK
(COST: $564,068, $1,457,480
and $12,712, respectively) $ 600,151 $ 1,553,548 $ 11,821
------------ ------------ -----------
WARRANTS: 0.00% 0.00% 0.00%
BUSINESS SERVICES: 0.00% 0.00% 0.00%
Protection One, Incorporated* 960 5,280 3,200 17,600 ---- ----
------------ ------------
INDUSTRIAL MACHINERY: 0.00% 0.00%
MVE Holding, Incorporated* 80 1,200 80 1,200 ---- ----
------------ ------------
MISCELLANEOUS: 0.00% 0.00%
SDW Holdings Corporation* 169 845 558 2,790 ---- ----
------------ ------------
TOTAL WARRANTS (COST:
$1,726 and $4,352, respectively) $ 7,325 $ 21,590
------------ ------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
64
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------- ---------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
---------- ----------- ---------- ------------ ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
U.S GOVERNMENT AGENCY AND
MORTGAGE-BACKED OBLIGATIONS: 6.15% 16.35% 7.04%
FEDERAL FARM CREDIT BANKS: 0.05% 0.22% 0.27%
6.20% due 09/23/02 $ 100,000 $ 102,859 $ 720,000 $ 740,585 $ 300,000 $ 308,577
6.40% due 10/03/02 ---- ---- 230,000 237,190 100,000 103,126
6.56% due 08/05/02 ---- ---- 440,000 457,613 190,000 197,606
---------- ----------- -----------
102,859 1,435,388 609,309
FEDERAL HOME LOAN BANKS: 0.11% 0.21% 0.24%
5.40% due 08/03/98 230,000 228,533 1,400,000 1,391,068 540,000 536,555
---------- ----------- -----------
FEDERAL HOME LOAN MORTGAGE CORPORATION: 0.08% 1.58% 2.52%
4.78% due 02/10/97 60,000 59,644 360,000 357,862 140,000 139,168
6.50% due 07/01/06 ---- ---- ---- ---- 91,179 90,692
7.50% due 06/01/07 55,431 56,152 ---- ---- ---- ----
8.00% due 04/01/23 - 08/01/24 ---- ---- 3,320,396 3,440,783 1,671,921 1,733,483
9.50% due 12/01/19 - 12/01/22 44,539 47,716 5,978,812 6,432,177 3,418,177 3,679,071
---------- ----------- -----------
163,512 10,230,822 5,642,414
FEDERAL NATIONAL MORTGAGE ASSOCIATION: 3.32% 8.14% 10.34%
5.45% due 10/10/03 165,000 161,365 1,110,000 1,085,547 560,000 547,663
6.00% TBA** 450,000 445,356 4,390,000 4,344,695 2,170,000 2,147,606
6.50% due 09/01/07 - 09/01/10 2,329,304 2,340,951 7,871,441 7,910,798 4,804,847 4,828,871
7.00% due 05/01/24 - 12/01/25 1,287,000 1,297,450 10,199,921 10,282,747 4,455,001 4,491,175
7.40% due 07/01/04 130,000 142,939 1,060,000 1,165,502 470,000 516,779
7.50% due 11/01/06 - 08/01/25 934,739 957,808 19,859,927 20,352,350 6,366,321 6,523,587
7.71% due 04/25/06 - REMIC 442,223 460,741 3,046,426 3,173,995 1,228,397 1,279,837
8.00% due 12/01/19 - 12/01/25 997,227 1,033,002 3,294,067 3,411,784 1,633,501 1,691,687
8.50% due 05/01/17 - 06/01/24 ---- ---- 1,054,968 1,107,801 1,102,888 1,154,618
8.75% due 08/01/09 270,210 285,523 ---- ---- ---- ----
9.00% due 10/01/05 2,795 2,943 ---- ----
---------- ----------- -----------
7,128,078 52,835,219 23,181,823
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION: 1.57% 3.85% 4.07%
6.50% due 11/15/23 - 12/15/23 794,210 787,753 5,158,557 5,116,618 899,563 892,250
7.50% due 10/15/22 - 10/15/23 1,514,615 1,559,979 5,215,569 5,371,840 2,545,939 2,622,673
8.50% due 06/15/16 - 12/15/21 177,922 188,280 1,823,638 1,918,841 582,652 617,303
9.00% due 12/15/99 - 10/15/25 451,685 478,896 10,549,870 11,191,591 4,716,311 5,003,461
9.50% due 07/15/17 - 09/15/21 324,229 349,674 1,261,292 1,361,303 ----
---------- ----------- -----------
3,364,582 24,960,193 9,135,687
RESOLUTION TRUST CORPORATION: 0.05% 0.14% 0.18%
6.90% due 02/25/27, Class C 100,000 99,219 900,000 892,969 400,000 396,875
---------- ----------- -----------
GUARANTEED: 1.00% 2.20% 2.76%
Financing Corporations,
8.60% due 09/26/19 80,000 101,300 600,000 759,750 260,000 329,225
Financing Corporations,
10.70% due 10/06/17 110,000 165,103 930,000 1,395,874 400,000 600,376
Government Backed Trust,
9.625% due 05/15/02 40,000 44,498 240,000 266,988 100,000 111,245
Government Loan Trust,
7.75% due 04/01/98 36,912 37,794 229,859 235,357 88,923 91,051
</TABLE>
The accompanying notes are an integral part of the financial statements.
65
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ --------------------------- -------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
---------- ---------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
GUARANTEED - CONTINUED
Government Loan Trust,
8.50% due 04/01/06 $ 310,000 $ 354,445 $ 1,810,000 $ 2,069,500 $ 720,000 $823,226
Government Trust Certificates,
9.25% due 11/15/01 296,000 328,826 1,973,000 2,191,806 945,000 1,049,800
Government Trust Certificates,
9.40% due 05/15/02 310,000 345,858 1,940,000 2,164,400 860,000 959,476
Guaranteed Export Trust,
5.20% due 10/15/04 28,000 27,421 254,400 249,138 112,800 110,467
Guaranteed Export Trust,
5.23% due 05/15/05 48,511 47,646 436,596 428,811 194,043 190,583
Guaranteed Export Trust,
6.28% due 06/15/04 110,000 111,917 930,000 946,210 410,000 417,146
Guaranteed Export Trust,
6.61% due 09/15/99 22,124 22,588 162,245 165,646 66,373 67,764
Guaranteed Export Trust,
8.187% due 12/15/04 424,106 460,210 2,629,458 2,853,301 1,102,676 1,196,546
Guaranteed Trade Trust,
7.02% due 09/01/04 72,000 74,515 423,000 437,778 171,000 176,974
Guaranteed Trade Trust,
7.39% due 06/26/06 17,500 19,451 122,500 136,158 52,500 58,353
----------- ------------ -----------
2,141,572 14,300,717 6,182,232
TOTAL U.S. GOVERNMENT AND
MORTGAGE-BACKED OBLIGATIONS
(Cost: $12,700,749, $98,990,064 and
$44,247,186, respectively) $13,228,355 $106,046,376 $45,684,895
----------- ------------ -----------
U.S. TREASURY OBLIGATIONS: 4.40% 12.78% 24.77%
U.S. TREASURY BONDS: 2.96% 8.66% 11.28%
8.125% due 08/15/19 480,000 603,523 4,430,000 5,570,016 3,010,000 3,784,593
8.75% due 05/15/20 340,000 455,386 4,300,000 5,759,291 1,330,000 1,781,362
8.875% due 02/15/19 1,660,000 2,237,630 10,200,000 13,749,294 4,540,000 6,119,784
9.00% due 11/15/18 930,000 1,266,688 6,490,000 8,839,575 2,870,000 3,909,026
11.75% due 02/15/10 540,000 770,008 4,630,000 6,602,102 2,140,000 3,051,512
12.00% due 08/15/13 640,000 986,099 7,850,000 12,095,123 2,770,000 4,267,961
12.75% due 11/15/10 ---- ---- ---- ---- 1,040,000 1,584,045
13.875% due 05/15/11 30,000 48,830 2,210,000 3,597,128 490,000 797,553
----------- ------------ -----------
6,368,164 56,212,529 25,295,836
U.S. TREASURY NOTES: 1.44% 4.12% 13.49%
5.875% due 11/15/05 30,000 30,675 230,000 235,175 100,000 102,250
6.25% due 08/31/96 **** 2,300,000 2,313,294 16,500,000 16,595,370 25,000,000 25,144,500
6.25% due 02/15/03 280,000 292,118 2,000,000 2,086,560 460,000 479,910
7.75% due 12/31/99 ---- ---- 1,110,000 1,204,527 480,000 520,877
8.50% due 05/15/97 270,000 281,559 1,200,000 1,251,372 90,000 93,853
9.125% due 05/15/99 64,000 71,420 707,000 788,969 345,000 384,999
9.25% due 01/15/96 ---- ---- 1,000,000 1,001,410 2,000,000 2,002,820
9.25% due 08/15/98 100,000 109,687 3,230,000 3,542,890 1,390,000 1,524,649
----------- ------------ -----------
3,098,753 26,706,273 30,253,858
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $8,814,336, $76,829,594 and
$52,615,596, respectively) $9,466,917 $82,918,802 $55,549,694
----------- ------------ -----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
66
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------ ------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
---------- ----------- ---------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
CORPORATE BONDS: 9.31% 13.61% 8.49%
AEROSPACE: 0.26% 0.21% 0.00%
Alliant Techsystems, Incorporated,
11.75% due 03/01/03 $300,000 $ 330,750 $ 760,000 $ 837,900 ---- ----
Rohr, Incorporated, 11.625% due 05/15/03 100,000 107,250 100,000 107,250 ---- ----
Tracor, Incorporated,
10.875% due 08/15/01 120,000 124,200 380,000 393,300 ---- ----
---------- ----------
562,200 1,338,450
APPAREL & ACCESSORY STORE: 0.05% 0.06% 0.00%
Mothers Work, Incorporated,
12.625% due 08/01/05 120,000 117,900 380,000 373,350 ---- ----
---------- ----------
BUSINESS SERVICES: 0.37% 0.62% 0.46%
Bell & Howell Holdings Company, Series B,
Step up to 11.50% due 03/01/05 430,000 283,800 1,420,000 937,200 ---- ----
Comdisco, Incorporated,
6.50% due 06/15/00 200,000 203,590 1,700,000 1,730,515 $750,000 $ 763,462
Comdisco, Incorporated,
7.25% due 04/15/98 60,000 61,781 540,000 556,027 270,000 278,014
Protection One Alarm, Incorporated,
Step up to 13.625% due 06/30/05 300,000 235,500 1,000,000 785,000 ----
---------- ---------- ----------
784,671 4,008,742 1,041,476
CHEMICAL PRODUCTS: 0.67% 0.85% 0.38%
Methanex Corporation,
8.875% due 11/15/01 240,000 266,002 1,780,000 1,972,845 760,000 842,338
NL Industries, Incorporated,
Step up to 13.00% due 10/15/05 130,000 99,775 400,000 307,000 ---- ----
NL Industries, Incorporated,
11.75% due 10/15/03 220,000 234,850 740,000 789,950 ---- ----
Revlon Consumer Products Corporation,
10.50% due 02/15/03 460,000 469,200 1,540,000 1,570,800 ---- ----
Revlon Worldwide Corporation,
zero coupon due 03/15/98 490,000 363,825 1,210,000 898,425 ---- ----
---------- ---------- ----------
1,433,652 5,539,020 842,338
CONSTRUCTION AND BUILDING MATERIALS: 0.86% 1.00% 0.18%
Building Material Corporation of America,
Series B, Step up to 11.75% due 07/01/04 470,000 324,300 1,190,000 821,100 ---- ----
Crown Packaging Holdings,
Step up to 12.25% due 11/01/03 490,000 218,050 1,510,000 671,950 ---- ----
G-I Holdings, Incorporated,
zero coupon due 10/01/98 405,000 313,875 1,165,000 902,875 ---- ----
Georgia-Pacific Corporation,
9.85% due 06/15/97 110,000 115,974 890,000 938,336 380,000 400,638
Greystone Homes, Incorporated,
10.75% due 03/01/04 230,000 212,750 770,000 712,250 ---- ----
Harvard Industries, Incorporated,
11.125% due 08/01/05 470,000 470,000 1,530,000 1,530,000 ---- ----
Stratosphere Corporation,
14.25% due 05/15/02 180,000 203,625 820,000 927,625 ---- ----
---------- ---------- ----------
1,858,574 6,504,136 400,638
</TABLE>
The accompanying notes are an integral part of the financial statements.
67
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
----------------------- ------------------------- -------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
---------- ---------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
ELECTRICAL EQUIPMENT: 0.20% 0.18% 0.00%
Dictaphone Corporation,
11.75% due 08/01/05 $110,000 $ 108,900 $ 330,000 $ 326,700 ---- ----
S C International Services, Incorporated,
13.00% due 10/01/05 300,000 310,500 800,000 832,000 ---- ----
---------- ----------
419,400 1,158,700
ELECTRIC UTILITIES: 0.56% 1.05% 1.20%
Berg Electrics, Incorporated,
11.375% due 05/01/03 230,000 258,750 770,000 866,250 ---- ----
Gulf States Utilities Company,
9.72% due 07/01/98 300,000 312,879 1,583,000 1,650,958 $652,000 $ 679,990
Long Island Lighting Company,
7.30% due 07/15/99 155,000 156,358 1,170,000 1,180,249 625,000 630,475
Long Island Lighting Company,
8.75% due 05/01/96 300,000 303,687 1,900,000 1,923,351 800,000 809,832
Public Service Company of New Hampshire,
8.875% due 05/15/96 170,000 171,858 1,150,000 1,162,569 560,000 566,121
---------- ---------- ----------
1,203,532 6,783,377 2,686,418
ELECTRONICS: 0.12% 0.12% 0.00%
Ivac Corporation, 9.25% due 12/01/02 250,000 258,750 750,000 776,250 ---- ----
---------- ---------- ----------
ENERGY: 0.64% 0.93% 0.61%
Chesapeake Energy Corporation,
10.50% due 06/01/02 240,000 252,600 760,000 799,900 ---- ----
Clark USA, Incorporated,
10.875% due 12/01/05 100,000 105,000 310,000 325,500 ---- ----
Enron Corporation, 10.00% due 06/01/98 60,000 65,625 300,000 328,128 150,000 164,064
Enron Corporation, 8.50% due 02/01/00 40,000 41,116 290,000 298,091 130,000 133,627
Occidental Petroleum Corporation,
5.85% due 11/09/98 50,000 50,123 300,000 300,738 130,000 130,320
Occidental Petroleum Corporation,
5.93% due 11/09/98 60,000 60,272 470,000 472,129 210,000 210,951
Plains Resources, Incorporated,
12.00% due 10/01/99 10,000 10,375 20,000 20,750 ---- ----
Southwest Gas Corporation,
9.75% due 06/15/02 40,000 46,996 290,000 340,724 130,000 152,738
Tenneco, Incorporated,
10.00% due 08/01/98 150,000 164,895 1,210,000 1,330,153 530,000 582,630
Transtexas Gas Corporation,
11.50% due 06/15/02 230,000 237,475 770,000 795,025 ---- ----
Transamerican Refining Corporation,
zero coupon due 02/15/02 380,000 239,400 1,180,000 743,400 ---- ----
Vintage Petroleum, Incorporated,
9.00% due 12/15/05 100,000 100,750 250,000 251,875 ----
---------- ---------- ----------
1,374,627 6,006,413 1,374,330
FINANCE & BANKING: 1.20% 2.93% 3.63%
Beal Financial Corporation,
12.75% due 08/15/00 120,000 121,200 380,000 383,800 ---- ----
Citicorp Bank Corporation,
6.062% due 01/30/97 140,000 139,699 950,000 947,957 510,000 508,903
Citicorp Bank Corporation,
8.80% due 02/01/00 80,000 82,588 580,000 598,763 240,000 247,764
</TABLE>
The accompanying notes are an integral part of the financial statements.
68
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
----------------------- ------------------------ -------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
---------- ---------- ----------- ---------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C>
FINANCE & BANKING - CONTINUED
Federal Agricultural Mortgage Corporation,
7.04% due 08/10/05 $100,000 $ 107,391 $ 700,000 $ 751,737 $ 300,000 $ 322,173
First Fidelity Bancorporation,
9.625% due 08/15/99 30,000 33,709 160,000 179,784 70,000 78,655
First Tennessee National Corporation,
6.75% due 11/15/05 40,000 40,818 350,000 357,161 150,000 153,069
First USA Bank, 5.75% due 01/15/99 180,000 179,473 1,240,000 1,236,367 660,000 658,066
Firstar Corporation, 7.15% due 09/01/00 100,000 102,918 820,000 843,928 360,000 370,505
Fleet Financial Group, Incorporated,
7.625% due 12/01/99 20,000 21,118 150,000 158,383 60,000 63,353
General Motors Acceptance Corporation,
8.375% due 01/19/99 230,000 246,790 1,730,000 1,856,290 1,000,000 1,073,000
Household Finance Corporation,
7.625% due 12/15/96 280,000 284,903 1,340,000 1,363,463 780,000 793,658
Manufacturers Hanover Corporation,
8.50% due 02/15/99 320,000 344,627 2,220,000 2,390,851 210,000 226,162
Private Export Funding Corporation,
5.80% due 02/01/04 20,000 20,100 120,000 120,598 50,000 50,249
Private Export Funding Corporation,
6.90% due 01/31/03 20,000 21,330 120,000 127,978 50,000 53,324
Private Export Funding Corporation,
8.75% due 06/30/03 180,000 211,397 1,280,000 1,503,270 540,000 634,192
Private Export Funding Corporation,
9.50% due 03/31/99 50,000 55,917 400,000 447,336 170,000 190,118
Provident Bank,
6.125% due 12/15/00 130,000 130,628 1,000,000 1,004,829 440,000 442,125
Secured Finance, 9.05% due 12/15/04 180,000 212,447 2,500,000 2,950,650 1,300,000 1,534,338
Shawmut National Corporation,
8.625% due 12/15/99 110,000 120,343 840,000 918,985 360,000 393,851
Union Planters Corporation,
6.75% due 11/01/05 100,000 101,752 850,000 864,892 350,000 356,132
---------- ----------- ----------
2,579,148 19,007,022 8,149,637
FOOD PRODUCTS: 0.33% 0.55% 0.18%
Chiquita Brands International,
Incorporated, 11.50% due 06/01/01 110,000 113,850 390,000 403,650 ---- ----
Quaker Oats Company,
7.30% due 08/29/05 40,000 42,634 300,000 319,755 130,000 138,560
Foodmaker, Incorporated,
9.25% due 03/01/99 130,000 124,800 1,370,000 1,315,200 ---- ----
RJR Nabisco, Incorporated,
6.25% due 01/31/97 110,000 108,780 680,000 672,459 270,000 267,006
Specialty Foods Corporation, Series B,
11.125% due 10/01/02 240,000 232,800 760,000 737,200 ---- ----
Specialty Foods Corporation, Series B,
11.25% due 08/15/03 100,000 90,000 100,000 90,000 ---- ----
---------- ----------- ----------
712,864 3,538,264 405,566
INDUSTRIALS: 0.96% 0.98% 0.00%
Harris Chemical North America,
Incorporated, step up to 10.25%
due 07/15/01 320,000 304,000 1,070,000 1,016,500 ---- ----
</TABLE>
The accompanying notes are an integral part of the financial statements.
69
<PAGE> 87
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------- -------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
INDUSTRIALS - CONTINUED
International Wire Group, Incorporated,
11.75% due 06/01/05 $230,000 $ 219,650 $ 770,000 $ 735,350 ---- ----
MVE, Incorporated, 12.50% due 02/15/02 80,000 79,200 80,000 79,200 ---- ----
Pioneer Americans Acquisition
Corporation, 13.625% due 04/01/05 490,000 514,500 1,510,000 1,585,500 ---- ----
RBX Corporation, 11.25% due 10/15/05 250,000 247,500 750,000 742,500 ---- ----
S D Warren Company,
12.00% due 12/15/04 350,000 385,875 1,150,000 1,267,875 ---- ----
Williamhouse-Regency, Incorporated,
13.00% due 11/15/05 150,000 155,625 440,000 456,500 ---- ----
UCAR Global Enterprises, Incorporated,
12.00% due 01/15/05 65,000 75,075 200,000 231,000 ---- ----
Venture Holdings Trust,
9.75% due 04/01/04 110,000 91,850 290,000 242,150 ---- ----
---------- ----------
2,073,275 6,356,575
INSURANCE: 0.52% 1.21% 1.33%
American Financial Corporation,
9.75% due 04/20/04 350,000 357,000 1,150,000 1,173,000 ---- ----
Metropolitan Life Insurance Company,
6.30% due 11/03/03 320,000 316,019 2,660,000 2,626,910 $1,025,000 $1,012,249
Nationwide Life Insurance Company,
6.50% due 02/15/04 350,000 348,999 3,410,000 3,400,247 1,630,000 1,625,338
New York Life Insurance Company,
6.40% due 12/15/03 90,000 90,772 650,000 655,577 340,000 342,917
---------- ---------- ----------
1,112,790 7,855,734 2,980,504
MEDIA & LEISURE: 0.44% 0.38% 0.00%
Casino America, Incorporated,
11.50% due 11/15/01 20,000 18,500 40,000 37,000 ---- ----
Grand Casino, Incorporated,
10.125% due 12/01/03 230,000 241,212 700,000 734,125 ---- ----
HMH Properties, Incorporated, Series B,
9.50% due 05/15/05 230,000 235,175 770,000 787,325 ---- ----
Marvel Parent Holdings, Incorporated,
zero coupon due 04/15/98 160,000 114,000 480,000 342,000 ---- ----
Players International, Incorporated,
10.875% due 04/15/05 240,000 225,600 470,000 441,800 ---- ----
President Riverboat Casinos,
Incorporated, 13.00% due 09/15/01 140,000 117,600 180,000 151,200 ---- ----
---------- ----------
952,087 2,493,450
METAL PRODUCTS: 0.17% 0.13% 0.00%
Howmet Corporation,
10.00% due 12/01/03 20,000 21,100 50,000 52,750 ---- ----
Republic Engineered Steels, Incorporated,
9.875% due 12/15/01 300,000 270,000 680,000 612,000 ---- ----
Wyman Gordon Company,
10.75% due 03/15/03 70,000 73,850 200,000 211,000 ---- ----
---------- ----------
364,950 875,750
</TABLE>
The accompanying notes are an integral part of the financial statements.
70
<PAGE> 88
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------- ---------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
---------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
MISCELLANEOUS: 0.31% 0.28% 0.00%
Mohegan Tribal Gaming Authority,
13.50% due 11/15/02 $400,000 $434,000 $1,100,000 $1,193,500 ---- ----
HMC Acquisition Properties, Incorporated,
9.00% due 12/15/07 220,000 222,200 600,000 606,000 ---- ----
-------- ----------
656,200 1,799,500
NON-BANK FINANCE: 0.02% 0.20% 0.25%
Ford Capital BV, 9.00% due 08/15/98 ---- ---- 920,000 992,910 $400,000 $431,700
Ford Capital BV, 9.375% due 01/01/98 40,000 42,838 300,000 321,288 130,000 139,225
-------- ---------- --------
42,838 1,314,198 570,925
PAPER PRODUCTS: 0.18% 0.15% 0.00%
Stone Container Corporation,
10.75% due 04/01/02 40,000 39,200 120,000 117,600 ---- ----
Stone Container Corporation,
10.75% due 10/01/02 60,000 61,950 140,000 144,550 ---- ----
Stone Container Corporation,
11.00% due 08/15/99 140,000 138,600 460,000 455,400 ---- ----
Stone Container Corporation,
11.50% due 09/01/99 100,000 100,500 200,000 201,000 ---- ----
Stone Container Corporation,
11.50% due 10/01/04 40,000 39,800 80,000 79,600 ---- ----
-------- ---------- --------
380,050 998,150
PRINTING, PUBLISHING: 0.22% 0.36% 0.27%
News America Holdings, Incorporated,
8.625% due 02/01/03 80,000 89,878 1,030,000 1,157,184 530,000 595,444
Sullivan Graphics, Incorporated,
12.75% due 08/01/05 370,000 377,400 1,130,000 1,152,600 ---- ----
-------- ----------
467,278 2,309,784 595,444
RETAIL AND WHOLESALE: 0.26% 0.25% 0.00%
Alliance Entertainment Corporation,
11.25% due 07/15/05 360,000 361,800 1,140,000 1,145,700 ---- ----
Pathmark Stores, Incorporated,
Step up to 10.75% due 11/01/03* 330,000 202,125 810,000 496,125 ---- ----
-------- ----------
563,925 1,641,825
TELEPHONE: 0.12% 0.28% 0.00%
Paging Network, Incorporated,
10.125% due 08/01/07 230,000 248,975 770,000 833,525 ---- ----
USA Mobil Communication, Incorporated
9.50% due 02/01/04 10,000 9,900 1,020,000 1,009,800 ---- ----
-------- ----------
258,875 1,843,325
TELEVISION SERVICES: 0.30% 0.35% 0.00%
Echostar Communications Corporation,
Step up to 12.875% due 06/01/04 650,000 422,500 1,980,000 1,287,000 ---- ----
People's Choice TV Corporation,
Step up to 13.125% due 06/01/04 220,000 128,150 1,570,000 914,525 ---- ----
Telemundo Group, Incorporated,
10.25% due 12/30/01 100,000 99,500 100,000 99,500 ---- ----
-------- ----------
650,150 2,301,025
TEXTILE MILL PRODUCTS: 0.03% 0.03% 0.00%
Interface, Incorporated,
9.50% due 11/15/05 70,000 71,750 190,000 194,750 ---- ----
-------- ----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
71
<PAGE> 89
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ----------------------- ---------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
--------- ---------- --------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
TRANSPORTATION: 0.29% 0.25% 0.00%
Transtar Holdings L.P.,
Step up to 13.375% due 12/15/03 $ 400,000 $ 266,000 $1,100,000 $ 731,500 ---- ----
U.S. Air, Incorporated,
9.625% due 02/01/01 190,000 165,300 490,000 426,300 ---- ----
U.S. Air, Incorporated,
10.00% due 07/01/03 210,000 182,700 555,000 482,850 ---- ----
----------- -----------
614,000 1,640,650
TRANSPORTATION EQUIPMENT: 0.23% 0.25% 0.00%
Aftermarket Technology Corporation,
Series B, 12.00% due 08/01/04 470,000 500,550 1,530,000 1,629,450 ---- ----
----------- -----------
TOTAL CORPORATE BONDS
(Cost: $19,651,016, $87,267,870
and $18,901,978, respectively) $20,014,036 $88,287,890 $19,047,276
----------- ----------- -----------
FIXED INCOME - OTHER: 3.89% 4.94% 6.23%
MISCELLANEOUS ASSET BACKED SECURITIES: 2.93% 2.98% 3.81%
Discover Card Master Trust, Series
1993 2, Class A, 5.40% due 11/16/01 1,000,000 996,870 ---- ---- ---- ----
Discover Card Trust, Series 1992,
Class B, 6.125% due 05/15/98 260,000 259,917 1,515,000 1,514,515 $ 600,000 $ 599,808
Discover Card Trust, 1992 B B,
7.50% due 06/16/00 150,000 155,625 1,330,000 1,379,875 580,000 601,750
Ford Credit Auto Loan Master Trust,
Series 92 2, 7.375% due 04/15/99 ---- ---- 650,000 664,826 775,000 792,678
Ford Credit Grantor Trust, 1995 B
Certificates, Class A, 5.90% due 10/15/00 ---- ---- 2,674,916 2,687,434 1,167,236 1,172,699
MBNA Master Card, Series 1992 1A,
7.25% due 06/15/99 ---- ---- ---- ---- 650,000 665,028
Premier Auto Trust, Series 933, Class A3,
4.90% due 12/15/98 227,162 225,813 1,436,468 1,427,935 574,587 571,174
Railcar Trust, 7.75% due 06/01/04 171,538 184,850 1,663,918 1,793,043 898,859 968,613
Standard Credit Card Master Trust,
5.50% due 09/07/98 140,000 139,562 990,000 986,901 525,000 523,357
Standard Credit Card Master Trust,
9.00% due 08/07/97 210,000 214,003 1,270,000 1,294,206 520,000 529,911
Standard Credit Card Master Trust,
Series 1991 3 Certificates, Class B,
9.25% due 09/07/99 380,000 411,586 2,260,000 2,447,851 920,000 996,470
Standard Credit Card Master Trust,
Series 1992 1 Certificates, Class B,
6.25% due 09/07/98 ---- ---- 5,075,000 5,113,063 1,120,000 1,128,400
----------- ----------- -----------
2,588,226 19,309,649 8,549,888
OTHER COLLATERIZED MORTGAGE OBLIGATIONS: 0.96% 1.96% 2.42%
American Housing Trust, Series IV,
9.552% due 09/25/20 700,000 721,000 4,300,000 4,429,000 1,740,000 1,792,200
Green Tree Securitized Net, Series 1994 A
Certificates, Series A, 6.90% due 02/15/04 140,696 141,291 1,025,072 1,029,404 535,985 538,251
Kearny Real Estate L.P.,Series 95-1,
Class B, 6.60% due 10/15/02 100,000 100,674 500,000 503,370 200,000 201,348
</TABLE>
The accompanying notes are an integral part of the financial statements.
72
<PAGE> 90
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ----------------------- ---------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
--------- ---------- --------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
OTHER COLLATERIZED MORTGAGE
OBLIGATIONS - CONTINUED
Lennar Partners, L.P., Series 1994 1,
Class C, 8.12% due 09/15/02 $197,000 $ 198,612 $1,100,000 $ 1,109,001 $ 450,000 $ 453,682
Meritor Mortgage Securities Corporation,
9.40% due 06/01/99 64,121 64,602 406,099 409,145 149,616 150,738
Nomura Asset Securities Corporation,
Series 1994, 7.240% due 07/07/03 156,067 155,067 1,092,469 1,085,471 546,235 542,735
Overseas Private Investment Corporation,
Series 1995, 6.08% due 08/15/04 100,000 101,278 830,000 840,607 360,000 364,601
Structured Asset Securities Corporation,
Series 95 C4, Class A 1A, 6.90%
due 06/25/26 100,000 100,550 690,000 693,792 300,000 301,649
Structured Asset Securities Corporation,
Series 95 C1, Class D, 7.375%
due 09/25/24 500,000 487,344 2,700,000 2,631,656 1,100,000 1,072,156
---------- ----------- -----------
2,070,418 12,731,446 5,417,360
TOTAL FIXED INCOME - OTHER
(Cost: $4,532,284, $34,687,639
and $13,689,815, respectively) $4,658,644 $32,041,095 $13,967,248
---------- ----------- -----------
FOREIGN BOND OBLIGATIONS: 0.90% 1.81% 2.18%
FOREIGN CORPORATE BONDS: 0.26% 0.40% 0.25%
Acetex Corporation, 9.75% due 10/01/03 60,000 62,700 180,000 188,100 ---- ----
British Columbia Hydro & Power,
12.50% due 01/15/14 60,000 73,256 460,000 561,632 200,000 244,188
Korea Development Bank,
9.29% due 03/13/98 50,000 53,664 430,000 461,515 190,000 203,925
Korea Development Bank,
9.48% due 04/02/01 30,000 34,568 220,000 253,497 90,000 103,703
Repap New Brunswick, Incorporated,
10.625% due 04/15/05 350,000 343,000 1,150,000 1,127,000 ---- ----
---------- ----------- -----------
567,188 2,591,744 551,816
FOREIGN GOVERNMENT BONDS: 0.63% 1.41% 1.93%
Israel State, Class 1C,
5.75% due 03/15/00 130,000 131,094 780,000 786,566 300,000 302,525
Israel Export Trust, Series 1994-1
Certificates, 6.88% due 01/26/03 61,765 63,926 494,118 511,412 211,765 219,176
Israel State, U.S. Government GTD Notes,
Class 3A, 6.00% due 02/15/99 ---- ---- ---- ---- 570,000 573,745
Israel State, U.S. Government GTD Notes,
Class 1D, 6.125% due 03/15/03 100,000 101,443 600,000 608,658 250,000 253,608
Israel State, U.S. Government GTD Notes,
Class 6B, 6.25% due 08/15/02 290,000 298,999 2,240,000 2,309,507 960,000 989,789
Israel State, U.S. Government GTD Notes,
7.125% due 08/15/99 110,000 115,131 900,000 941,985 390,000 408,193
Israel State, U.S. Government GTD Notes,
Class 5B, 8.00% due 11/15/01 580,000 646,362 3,570,000 3,978,476 1,420,000 1,582,475
---------- ----------- -----------
1,356,955 9,136,604 4,329,511
TOTAL FOREIGN BOND OBLIGATIONS
(Cost: $1,852,334, $11,249,101 and
$4,652,048, respectively) $1,924,143 $11,728,348 $ 4,881,327
---------- ----------- -----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
73
<PAGE> 91
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1995 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ----------------------- ---------------------------
Value Value Value
------------- ------------- -------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS: *** 8.15% 7.28% 12.62%
Repurchase Agreement with State Street
Bank & Trust Company dated 12/29/95 at
5.00%, to be repurchased at $17,529,733
on 01/02/96, collateralized by $15,575,000
U.S. Treasury Bonds, 7.25% due 05/15/16
(valued at $18,013,674 including interest) $ 17,520,000
------------
Repurchase Agreement with State Street
Bank & Trust Company dated 12/29/95 at
5.00%, to be repurchased at $47,267,245
on 01/02/96, collateralized by $41,995,000
U.S. Treasury Bonds, 7.25% due 05/15/16
(valued at $48,570,219 including interest) $ 47,241,000
------------
Repurchase Agreement with State Street
Bank & Trust Company dated 12/29/95 at
5.00%, to be repurchased at $28,304,716
on 01/02/96, collateralized by $25,150,000
U.S. Treasury Bonds, 7.25% due 05/15/16
(valued at $29,087,891 including interest) $ 28,289,000
------------
TOTAL INVESTMENTS (Aggressive,
Moderate and Conservative Asset Allocation
Trusts) (Cost: $186,120,943, $589,635,114
and $209,523,478, respectively) $211,255,251 $648,772,669 $224,247,646
------------ ------------ ------------
</TABLE>
Key to Currency Abbreviations
AUD - Australian Dollar
BEF - Belgian Franc
CAD - Canadian Dollar
DKK - Danish Krone
FRF - French Franc
DEM - German Deustche Mark
(pound) - Great British Pound
ITL - Italian Lira
(yen) - Japanese Yen
MYR - Malaysian Ringgit
NLG - Netherland Guilder
ESP - Spanish Peseta
SEK - Swedish Krone
CHF - Swiss Franc
Key to Security Abbreviations
ADR - American Depository Receipt
FRN - Floating Rate Note
GTD - Guaranteed
IO - Interest Only (Carries notional principal amount)
REMIC - Real Estate Mortgage Investment Conduit
TBA - To Be Announced
* - Non-Income producing
** - Purchased on a forward commitment (Note 2)
*** - At December 31, 1995 a portion of this security was pledged to
cover forward commitments purchased.
**** - At December 31, 1995 a portion of this security was pledged to
cover margin requirements for open futures contracts.
The accompanying notes are an integral part of the financial statements.
74
<PAGE> 92
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. ORGANIZATION OF THE TRUST. The NASL Series Trust (the "Trust") is a no-load,
open-end management investment company organized as a Massachusetts business
trust. It is a series company, which means that it has several portfolios, each
with a stated investment objective which it pursues through separate investment
policies. The Trust currently offers the following fourteen portfolios: The
Global Equity Trust ("Global Equity"), the Pasadena Growth Trust ("Pasadena
Growth"), the Equity Trust ("Equity"), the Value Equity Trust ("Value Equity"),
the Growth and Income Trust ("Growth and Income"), the International Growth and
Income Trust ("International Growth and Income"), the Strategic Bond Trust
("Strategic Bond"), the Global Government Bond Trust ("Global Government Bond"),
the Investment Quality Bond Trust ("Investment Quality Bond"), the U.S.
Government Securities Trust ("U.S. Government Securities"), the Money Market
Trust ("Money Market"), the Aggressive Asset Allocation Trust ("Aggressive Asset
Allocation"), the Moderate Asset Allocation Trust ("Moderate Asset Allocation")
and the Conservative Asset Allocation Trust ("Conservative Asset Allocation").
Each of the Trusts with the exception of Global Government Bond is diversified
for purposes of the Investment Company Act of 1940.
Shares of the Trust are presently offered only to the NASL Variable Account, the
NASL Group Variable Account and the NASL Variable Life Variable Account,
separate accounts of North American Security Life Insurance Company ("Security
Life") and to the FNAL Variable Account, a separate account of First North
American Life Assurance Company ("First North American"), which are available
for funding certain variable contracts issued by them. Security Life, a Delaware
corporation, is a wholly-owned subsidiary of North American Life Assurance
Company ("North American Life"), a mutual insurance company based in North York,
Canada. First North American, a New York corporation, is a wholly-owned
subsidiary of Security Life.
At December 31, 1995, Security Life owned seed money shares in Growth and
Income.
NASL Financial Services, Inc. ("NASL Financial"), a wholly-owned subsidiary of
Security Life, serves as investment adviser for the Trust (Note 6). NASL
Financial is also the principal underwriter of the variable contracts issued by
Security Life and First North American.
NEW PORTFOLIO. On January 9, 1995, International Growth and Income commenced
operations. The subadviser to this portfolio is J.P. Morgan Investment
Management Inc. Deferred organization costs of $12,631 were incurred and are
being amortized over five years.
2. SIGNIFICANT ACCOUNTING POLICIES. The policies described below are followed
by the Trust in the preparation of the financial statements for its portfolios
in conformity with generally accepted accounting principles ("GAAP").
SECURITY VALUATION. Securities held by Money Market and short term instruments
with remaining maturities of 60 days or less held by the other portfolios of the
Trust are valued on an amortized cost basis or at original cost plus accrued
interest, both of which approximate current market value. All other securities
held by the Trust are valued at the last sale price as of the close of business
on a principal securities exchange (domestic or foreign) or, lacking any sales,
at the closing bid prices. Securities traded only in the over-the-counter market
are valued at the last bid prices quoted by brokers making markets in the
securities at the close of trading on the Exchange.
Trust securities for which there are no such quotations, principally debt
securities, are valued on the basis of the valuation provided by a pricing
service which utilizes both dealer-supplied and electronic data processing
techniques. Other assets and securities for which no such quotations are readily
available are valued at their fair value as determined in good faith under
consistently applied procedures established by and under the general supervision
of the Board of Trustees.
FOREIGN CURRENCY TRANSLATIONS. The accounting records of the Trust are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars on the following basis:
(i) market value of securities, other assets and other liabilities at
the current rate of exchange of such currencies against U.S.
dollars;
(ii) purchases and sales of securities, income and expenses at the rate
of exchange quoted on the respective dates of such transactions.
Gains and losses that arise from changes in foreign exchange rates have been
segregated from gains and losses that arise from changes in the market prices of
investments. These gains and losses are included with gains and losses on
foreign currency and forward foreign currency contracts in the Statements of
Operations.
75
<PAGE> 93
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
SIGNIFICANT ACCOUNTING POLICIES, CONTINUED
FORWARD FOREIGN CURRENCY CONTRACTS. All portfolios with the exception of
Investment Quality Bond, U.S. Government Securities and Money Market may
purchase and sell forward foreign currency contracts in order to hedge a
specific transaction or portfolio position.
The net U.S. dollar value of foreign currency underlying all contractual
commitments held at the end of the period and the resulting net unrealized
appreciation (depreciation) and related net receivable or payable amount are
determined using forward foreign currency exchange rates supplied by a quotation
service. The Trust could be exposed to risks if the counterparties to the
contracts are unable to meet the terms of their contracts or if the value of the
foreign currency changes unfavorably.
Net realized gains (losses) on foreign currency and forward foreign currency
contracts shown in the Statements of Operations, include net gains or losses
realized by a portfolio on contracts which have matured or which the portfolio
has terminated by entering into an offsetting commitment with the same broker.
FUTURES. All portfolios other than Investment Quality Bond and Money Market may
purchase and sell financial futures contracts and options on those contracts.
The portfolios invest in contracts based on financial instruments such as U.S.
Treasury bonds or notes or on securities indices such as the S&P 500 Index, in
order to hedge against a decline in the value of securities owned by the
portfolios.
When a portfolio sells a futures contract based on a financial instrument, the
portfolio becomes obligated to deliver that kind of instrument at an agreed upon
date for a specified price. The portfolio realizes a gain or loss depending on
whether the price of an offsetting purchase is less or more than the price of
the initial sale or on whether the price of an offsetting sale is more or less
than the price of the initial purchase . The Trust could be exposed to risks if
it could not close out futures positions because of an illiquid secondary market
or the inability of counterparties to meet the terms of their contracts. Upon
entering into futures contracts, the Trust is required to deposit with a broker
an amount, initial margin, which represents 5% of the purchase price indicated
in the futures contract.
Payments to and from the broker, known as variation margin, are required to be
made on a daily basis as the price of the futures contract fluctuates, making
the long or short positions in the contract more or less valuable. If the
position is closed out by taking an opposite position prior to the settlement
date of the futures contract, a final determination of variation margin is made,
cash is required to be paid to or released by the broker, and the portfolio
realizes a gain or loss.
FORWARD COMMITMENTS. The portfolios of the Trust may purchase debt securities on
a when issued or forward delivery basis, which means that the obligations will
be delivered to the portfolios of the Trust at a future date, which may be a
month or more after the date of commitment. The price of the underlying
securities and the date when the securities will be delivered and paid for are
fixed at the time the transaction is negotiated. The value of the securities
underlying a forward commitment to purchase securities, and the subsequent
fluctuations in their value, is taken into account when determining the Trust's
net asset value starting on the day the Trust agrees to purchase the securities.
At December 31, 1995 forward commitments in Strategic Bond, U.S. Government
Securities, and Aggressive, Moderate and Conservative Asset Allocation were
valued at $5,395,848, $43,696,735, $445,356, $4,344,695 and $2,147,606,
respectively.
MORTGAGE DOLLAR ROLLS. Strategic Bond and U.S. Government Securities may enter
into mortgage dollar rolls in which they sell mortgage securities for delivery
in the current month and simultaneously contract to repurchase similar, but not
identical, securities at the same price on an agreed upon date. The Trusts
receive compensation as consideration for entering into the commitment to
repurchase. The compensation is recorded as deferred income and amortized to
income over the roll period. As the holder, the counterparty receives all
principal and interest payments, including prepayments, made with respect to the
similar security. Mortgage dollar rolls may be renewed with a new sale and
repurchase price with a cash settlement made at renewal without physical
delivery of the securities subject to the contract.
ORGANIZATION COSTS. Costs incurred by a portfolio in connection with its
organization, initial registration and public offering of shares are being
amortized on a straight-line basis for Pasadena Growth, Value Equity, Growth and
Income, International Growth and Income and Strategic Bond over a five-year
period beginning with the commencement of operations of each portfolio.
FEDERAL INCOME TAXES. The Trust's policy is to qualify as a "regulated
investment company" under Subchapter M of the Internal Revenue Code, as amended,
and to distribute all of its taxable income to its shareholders. Accordingly, no
federal income tax provision is required. Each portfolio of the Trust is treated
as a separate taxpayer for federal income tax purposes.
76
<PAGE> 94
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
SIGNIFICANT ACCOUNTING POLICIES, CONTINUED
DISTRIBUTION OF INCOME AND GAINS. All of the net investment income of Money
Market is declared as a dividend to shareholders of record as of the close of
business each day and is reinvested daily. During any particular year, net
realized gains from investment transactions of each portfolio, in excess of
available capital loss carryforwards of each portfolio would be taxable to such
portfolio if not distributed. Therefore, each portfolio of the Trust intends to
distribute all of its investment company taxable income and any net realized
capital gains in order to avoid federal income tax. Each portfolio of the Trust
is exempt from federal excise tax. Net investment income is reported in the
accompanying statements under GAAP. The Trust's distributions are based on
income amounts determined in accordance with federal income tax regulations.
Overdistributions of net investment income as determined in accordance with GAAP
have been presented in the financial statements as distributions in excess of
net investment income. Net investment income and net realized gains differ for
financial statement and tax purposes due to distributions in accordance with
income tax regulations which may differ from GAAP: marking-to-market of certain
financial instruments, the deferral of certain losses for tax purposes and the
treatment of currency gains or losses. As a result, the character of
distributions made during the year from net investment income may differ from
its ultimate characterization for tax purposes.
EXPENSE ALLOCATION. Expenses not directly attributable to a particular portfolio
are allocated based on the relative share of net assets of each portfolio for
the time during which the expense was incurred.
REPURCHASE AGREEMENTS. Each portfolio of the Trust may enter into repurchase
agreements. When a portfolio enters into a repurchase agreement through its
custodian, it receives delivery of the underlying securities, the amount of
which at the time of purchase and each subsequent business day is required to be
maintained at such a level that the market value is 102% of the repurchase
amount. Each portfolio will take constructive receipt of all securities
underlying the repurchase agreements it has entered into until such agreements
expire. If the seller defaults, a portfolio would suffer a loss to the extent
that proceeds from the sale of underlying securities were less than the
repurchase amount.
CAPITAL ACCOUNTS. The Trust reports the accumulated undistributed net investment
income (loss) and accumulated undistributed net realized gain (loss) accounts on
a basis approximating amounts available for future tax distributions (or to
offset future taxable realized gains when a capital loss carryforward is
available). Accordingly, each portfolio of the Trust may periodically make
reclassifications among certain capital accounts without impacting the net asset
value.
OTHER. Investment security transactions are accounted for on a trade date plus
one basis. Interest income is accrued as earned. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. All original
issue discounts are accreted for financial and tax reporting purposes. The Trust
uses the First In, First Out method for determining realized gain or loss on
investments for both financial and federal income tax reporting purposes. The
preparation of financial statements in conformity with GAAP requires management
to make estimates and assumptions that affect the reported amount of assets and
liabilities.
Actual results may differ from these estimates.
<TABLE>
3. CAPITAL LOSS CARRYFORWARDS. At December 31, 1995, capital loss carryforwards
available to offset future realized gains were approximately:
<CAPTION>
CAPITAL LOSS CARRYFORWARD
EXPIRATION YEAR
------------------------------------------------------------------------------------------
PORTFOLIO 1999 2000 2001 2002 2003
--------- ------- ----- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C>
Global Equity...................... -- -- -- -- $17,415,000
Pasadena Growth.................... -- -- $1,981,000 $6,191,000 2,371,000
Strategic Bond..................... -- -- -- 2,962,000 656,000
Global Government Bond............. -- -- -- 7,553,000 --
Investment Quality Bond............ $60,000 -- -- 4,412,000 --
U.S. Government Securities......... -- -- -- 2,625,000 --
</TABLE>
<TABLE>
4. CAPITAL SHARES. Share activity for the Trust for the year ended December 31, 1995, was as follows:
<CAPTION>
ADDITIONAL
SHARES PAR VALUE PAID-IN CAPITAL
-------------------- -------------------- --------------------
<S> <C> <C> <C>
GLOBAL EQUITY
Outstanding at December 31, 1994................. 39,140,838 $391,408 $577,113,212
Sold........................................... 6,207,847 62,079 95,785,329
Reinvestment of distributions.................. 2,048,016 20,480 29,962,469
Redeemed....................................... (7,147,089) (71,471) (109,106,453)
----------- -------- ------------
Net increase................................. 1,108,774 11,088 16,641,345
----------- -------- ------------
Outstanding at December 31, 1995................. 40,249,612 $402,496 $593,754,557
=========== ======== ============
</TABLE>
77
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
SIGNIFICANT ACCOUNTING POLICIES, CONTINUED
<TABLE>
CAPITAL SHARES, CONTINUED
<CAPTION>
ADDITIONAL
SHARES PAR VALUE PAID-IN CAPITAL
-------------------- -------------------- --------------------
<S> <C> <C> <C>
PASADENA GROWTH
Outstanding at December 31, 1994................. 16,757,839 $167,578 $157,798,853
Sold........................................... 10,076,574 100,766 103,544,741
Reinvestment of distributions.................. 85,550 856 833,257
Redeemed....................................... (2,556,755) (25,567) (25,527,910)
---------- -------- ------------
Net increase................................. 7,605,369 76,055 78,850,088
---------- -------- ------------
Outstanding at December 31, 1995................. 24,363,208 $243,632 $236,648,941
========== ======== ============
EQUITY
Outstanding at December 31, 1994................. 36,452,063 $364,521 $514,217,981
Sold........................................... 15,461,830 154,618 287,151,438
Reinvestment of distributions.................. 261,859 2,618 4,090,234
Redeemed....................................... (4,613,712) (46,137) (83,341,209)
---------- -------- ------------
Net increase................................. 11,109,977 111,099 207,900,463
---------- -------- ------------
Outstanding at December 31, 1995................. 47,562,040 $475,620 $722,118,444
========== ======== ============
VALUE EQUITY
Outstanding at December 31, 1994................. 19,575,533 $195,755 $217,879,647
Sold........................................... 10,319,618 103,196 132,779,380
Reinvestment of distributions.................. 314,376 3,144 3,810,235
Redeemed....................................... (1,475,942) (14,759) (18,695,131)
---------- -------- ------------
Net increase................................. 9,158,052 91,581 117,894,484
---------- -------- ------------
Outstanding at December 31, 1995................. 28,733,585 $287,336 $335,774,131
========== ======== ============
GROWTH AND INCOME
Outstanding at December 31, 1994................. 31,409,684 $314,097 $379,169,167
Sold........................................... 10,336,698 103,367 154,483,408
Reinvestment of distributions.................. 945,795 9,458 12,853,356
Redeemed....................................... (1,799,079) (17,991) (26,014,630)
---------- -------- ------------
Net increase................................. 9,483,414 94,834 141,322,134
---------- -------- ------------
Outstanding at December 31, 1995................. 40,893,098 $408,931 $520,491,301
========== ======== ============
INTERNATIONAL GROWTH AND INCOME
Outstanding at January 9, 1995 (commencement
of operations)................................... ----- ----- -----
Sold........................................... 12,066,223 $120,662 $122,853,036
Reinvestment of distributions.................. 179,396 1,794 1,872,895
Redeemed....................................... (3,783,494) (37,835) (38,622,070)
---------- -------- ------------
Net increase................................. 8,462,125 84,621 86,103,861
---------- -------- ------------
Outstanding at December 31, 1995................. 8,462,125 $ 84,621 $ 86,103,861
========== ======== ============
STRATEGIC BOND
Outstanding at December 31, 1994................. 8,519,256 $ 85,193 $ 88,840,442
Sold........................................... 3,611,326 36,113 37,537,011
Reinvestment of distributions.................. 431,080 4,311 4,121,123
Redeemed....................................... (1,663,147) (16,632) (16,875,286)
---------- -------- ------------
Net increase................................. 2,379,259 23,792 24,782,848
---------- -------- ------------
Outstanding at December 31, 1995................. 10,898,515 $108,985 $113,623,290
========== ======== ============
GLOBAL GOVERNMENT BOND
Outstanding at December 31, 1994................. 16,716,312 $167,163 $217,539,724
Sold........................................... 3,271,665 32,716 43,618,334
Reinvestment of distributions.................. 914,987 9,150 11,473,943
Redeemed....................................... (4,742,839) (47,428) (62,621,464)
---------- -------- ------------
Net decrease................................. (556,187) (5,562) (7,529,187)
---------- -------- ------------
Outstanding at December 31, 1995................. 16,160,125 $161,601 $210,010,541
========== ======== ============
INVESTMENT QUALITY BOND
Outstanding at December 31, 1994................. 10,123,550 $101,235 $114,181,920
Sold........................................... 4,829,840 48,298 55,677,616
Reinvestment of distributions.................. 651,687 6,517 7,070,803
Redeemed....................................... (3,987,022) (39,870) (45,870,415)
---------- -------- ------------
Net increase................................. 1,494,505 14,945 16,878,004
---------- -------- ------------
Outstanding at December 31, 1995................. 11,618,055 $116,180 $131,059,924
========== ======== ============
</TABLE>
78
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
SIGNIFICANT ACCOUNTING POLICIES, CONTINUED
<TABLE>
CAPITAL SHARES, CONTINUED
<CAPTION>
ADDITIONAL
SHARES PAR VALUE PAID-IN CAPITAL
-------------------- -------------------- --------------------
<S> <C> <C> <C>
U.S. GOVERNMENT SECURITIES
Outstanding at December 31,1994.................. 14,941,588 $149,416 $190,375,496
Sold........................................... 5,766,460 57,665 75,165,041
Reinvestment of distributions.................. 956,919 9,569 11,846,657
Redeemed....................................... (5,784,342) (57,844) (75,702,793)
---------- -------- ------------
Net increase................................. 939,037 9,390 11,308,905
---------- -------- ------------
Outstanding at December 31, 1995................. 15,880,625 $158,806 $201,684,401
========== ======== ============
MONEY MARKET
Outstanding at December 31, 1994................. 27,667,381 $276,674 $276,397,132
Sold........................................... 31,669,307 316,693 316,376,373
Reinvestment of distributions.................. 1,443,847 14,438 14,424,031
Redeemed....................................... (34,968,839) (349,688) (349,338,690)
---------- -------- ------------
Net decrease................................. (1,855,685) (18,557) (18,538,286)
---------- -------- ------------
Outstanding at December 31, 1995................. 25,811,696 $258,117 $257,858,846
========== ======== ============
AGGRESSIVE ASSET ALLOCATION
Outstanding at December 31, 1994................. 16,525,699 $165,257 $171,389,298
Sold........................................... 2,106,928 21,069 25,086,648
Reinvestment of distributions.................. 1,046,144 10,461 11,455,275
Redeemed....................................... (3,194,369) (31,944) (37,535,154)
---------- -------- ------------
Net decrease................................. (41,297) (413) (993,232)
---------- -------- ------------
Outstanding at December 31, 1995................. 16,484,402 $164,844 $170,396,066
========== ======== ============
MODERATE ASSET ALLOCATION
Outstanding at December 31, 1994................. 56,010,309 $560,103 $579,183,287
Sold........................................... 1,091,213 10,912 12,744,722
Reinvestment of distributions.................. 2,735,328 27,353 29,377,424
Redeemed....................................... (7,375,131) (73,751) (83,793,811)
---------- -------- ------------
Net decrease................................. (3,548,590) (35,486) (41,671,665)
---------- -------- ------------
Outstanding at December 31, 1995................. 52,461,719 $524,617 $537,511,622
========== ======== ============
CONSERVATIVE ASSET ALLOCATION
Outstanding at December 31, 1994................. 20,956,187 $209,562 $213,562,834
Sold........................................... 773,201 7,732 8,397,679
Reinvestment of distributions.................. 1,060,630 10,606 10,850,241
Redeemed....................................... (3,426,820) (34,268) (36,946,840)
---------- -------- ------------
Net decrease................................. (1,592,989) (15,930) (17,698,920)
---------- -------- ------------
Outstanding at December 31, 1995................. 19,363,198 $193,632 $195,863,914
========== ======== ============
</TABLE>
<TABLE>
5. PURCHASES AND SALES OF SECURITIES. The following summarizes the securities transactions (except for short-term
investments) for the portfolios (with the exception of Money Market) for the year ended December 31, 1995:
<CAPTION>
PURCHASES SALES
---------------------------------- ----------------------------------
U.S. U.S.
PORTFOLIO GOVERNMENT OTHER ISSUES GOVERNMENT OTHER ISSUES
--------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Global Equity....................... ----- $379,584,413 ----- $377,046,540
Pasadena Growth..................... ----- 186,751,186 ----- 116,996,713
Equity.............................. ----- 749,746,383 ----- 622,889,562
Value Equity........................ ----- 258,556,259 ----- 133,640,524
Growth and Income................... ----- 350,418,269 ----- 199,814,869
International Growth and Income*.... ----- 126,281,059 ----- 47,275,357
Strategic Bond...................... $ 83,632,008 142,505,422 $ 84,927,592 117,983,453
Global Government Bond.............. 43,927,820 305,566,986 24,487,366 335,144,653
Investment Quality Bond............. 137,842,069 43,382,904 131,107,656 33,131,331
U.S. Government Securities.......... 908,829,476 ----- 885,115,803 9,922,983
Aggressive Asset Allocation......... 69,569,151 130,687,830 82,311,958 133,626,087
Moderate Asset Allocation........... 432,659,879 326,832,997 466,386,128 376,597,180
Conservative Asset Allocation....... 168,207,799 57,717,939 194,002,297 74,266,633
<FN>
* For the period January 9, 1995 (commencement of operations) to December 31, 1995.
</TABLE>
79
<PAGE> 97
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
PURCHASES AND SALES OF SECURITIES, CONTINUED
<TABLE>
Purchases and sales (including maturities) for Money Market for the year ended
December 31, 1995 were $2,322,303,562 and $2,351,015,623, respectively. At
December 31, 1995, tax basis net unrealized appreciation (depreciation) was
equal to the aggregate gross unrealized appreciation for all securities in which
there was an excess of market value over tax cost and aggregate gross unrealized
depreciation for all securities in which there was an excess of tax cost over
market value as follows:
<CAPTION>
TAX BASIS NET
UNREALIZED TAX BASIS TAX BASIS
TAX BASIS APPRECIATION UNREALIZED UNREALIZED
PORTFOLIO COST (DEPRECIATION) APPRECIATION DEPRECIATION
--------- ------------ -------------- ------------ ------------
<S> <C> <C> <C> <C>
Global Equity........................... $581,493,444 $ 59,887,420 $ 82,381,252 $22,493,832
Pasadena Growth......................... 226,921,177 50,415,110 59,089,133 8,674,023
Equity.................................. 812,924,416 163,140,832 176,943,455 13,802,623
Value Equity............................ 365,220,110 29,851,922 46,173,302 16,321,380
Growth and Income....................... 550,600,569 121,037,410 126,549,451 5,512,041
International Growth and Income......... 84,946,812 2,252,131 4,396,761 2,144,630
Strategic Bond.......................... 122,876,684 2,048,149 5,221,879 3,173,730
Global Government Bond.................. 215,615,785 11,538,018 11,538,018 -----
Investment Quality Bond................. 134,795,576 7,919,802 7,977,989 58,187
U.S. Government Securities.............. 251,307,678 4,742,094 5,292,053 549,959
Aggressive Asset Allocation............. 186,269,731 24,985,520 27,144,161 2,158,641
Moderate Asset Allocation............... 589,957,010 58,815,659 63,150,948 4,335,289
Conservative Asset Allocation........... 209,617,332 14,630,314 15,826,122 1,195,808
</TABLE>
<TABLE>
The following is a summary of futures contracts activity during the year ended December 31, 1995:
<CAPTION>
SALES OF FUTURES CONTRACTS PURCHASES OF FUTURES CONTRACTS
------------------------------------------- --------------------------------------------
NUMBER OF AGGREGATE FACE UNREALIZED NUMBER OF AGGREGATE FACE UNREALIZED
CONTRACTS VALUE OF CONTRACTS GAIN CONTRACTS VALUE OF CONTRACTS GAIN (LOSS)
--------- ------------------ ---------- --------- ------------------ -----------
<S> <C> <C> <C> <C> <C> <C>
AGGRESSIVE ASSET ALLOCATION:
US TREASURY BOND FUTURES:
Outstanding, December 31, 1994....... -- -- -- --
Contracts opened.................... -- -- 25 $ 2,500,000
Contracts closed.................... -- -- (25) (2,500,000)
--- ----------
Outstanding, December 31, 1995....... -- -- -- --
=== =========== === ==========
S&P 500 FUTURES:
Outstanding, December 31, 1994....... 51 $12,750,000 -- --
Contracts opened.................... 166 41,500,000 -- --
Contracts closed.................... (198) (49,500,000) -- --
--- ------------
Outstanding, December 31, 1995....... 19 $ 4,750,000 $11,210 -- --
=== ============ ======= === ==========
CAC 40 FUTURES:
Outstanding, December 31, 1994....... -- -- -- --
Contracts opened.................... -- -- 38 FRF 304,000
Contracts closed.................... -- -- (25) (200,000)
--- ----------
Outstanding, December 31, 1995....... -- -- 13 FRF 104,000 $ 18,523
=== ============ === ========== ========
DAX 30 FUTURES:
Outstanding, December 31, 1994....... -- -- -- --
Contracts opened.................... -- -- 21 DEM 63,000
Contracts closed.................... -- -- (13) (39,000)
-- ----------
Outstanding, December 31, 1995....... -- -- 8 DEM 24,000 ($ 12,130)
=== ============ === ========== ========
FTSE 100 FUTURES:
Outstanding, December 31, 1994....... -- -- -- --
Contracts opened.................... -- -- 25 (pound) 62,500
Contracts closed.................... -- -- (16) (40,000)
-- ----------
Outstanding, December 31, 1995....... -- -- 9 (pound) 22,500 $ 6,635
=== ============ === ========== ========
NIKKEI 300 FUTURES:
Outstanding, December 31, 1994....... -- -- -- --
Contracts opened.................... -- -- 365 (yen) 3,650,000
Contracts closed.................... -- -- (262) (2,620,000)
-- ----------
Outstanding, December 31, 1995....... -- -- 103 (yen) 1,030,000 $157,949
=== ============ === ========== ========
</TABLE>
80
<PAGE> 98
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
<TABLE>
PURCHASES AND SALES OF SECURITIES, CONTINUED
<CAPTION>
SALES OF FUTURES CONTRACTS PURCHASES OF FUTURES CONTRACTS
------------------------------------------- --------------------------------------------
NUMBER OF AGGREGATE FACE UNREALIZED NUMBER OF AGGREGATE FACE UNREALIZED
CONTRACTS VALUE OF CONTRACTS GAIN CONTRACTS VALUE OF CONTRACTS GAIN (LOSS)
--------- ------------------ ---------- --------- ------------------ -----------
<S> <C> <C> <C> <C> <C> <C>
MODERATE ASSET ALLOCATION:
US TREASURY BOND FUTURES:
Outstanding, December 31, 1994....... -- -- -- --
Contracts opened.................... -- -- 48 $ 4,800,000
Contracts closed.................... -- -- (48) (4,800,000)
--- -----------
Outstanding, December 31, 1995....... -- -- -- --
=== ============ === ===========
S&P 500 FUTURES:
Outstanding, December 31, 1994....... 107 $ 26,750,000 -- --
Contracts opened.................... 363 90,750,000 -- --
Contracts closed.................... (429) (107,250,000) -- --
--- -----------
Outstanding, December 31, 1995....... 41 $ 10,250,000 $24,190 -- --
=== ============ ======= === ==========
CAC 40 FUTURES:
Outstanding, December 31, 1994....... -- -- -- --
Contracts opened.................... -- -- 75 FRF 600,000
Contracts closed.................... -- -- (47) (376,000)
--- ----------
Outstanding, December 31, 1995....... -- -- 28 FRF 224,000 $ 39,992
=== ============ === ========== ========
DAX 30 FUTURES:
Outstanding, December 31, 1994....... -- -- -- --
Contracts opened.................... -- -- 41 DEM 123,000
Contracts closed.................... -- -- (25) (75,000)
--- ----------
Outstanding, December 31, 1995....... -- -- 16 DEM 48,000 ($ 24,248)
=== ============ === ========== ========
FTSE 100 FUTURES:
Outstanding, December 31, 1994....... -- -- -- --
Contracts opened.................... -- -- 45 (pound) 112,500
Contracts closed.................... -- -- (28) (70,000)
--- ----------
Outstanding, December 31, 1995....... -- -- 17 (pound) 42,500 $ 12,549
=== ============ === ========== ========
NIKKEI 300 FUTURES:
Outstanding, December 31, 1994....... -- -- -- --
Contracts opened.................... -- -- 651 (yen) 6,510,000
Contracts closed.................... -- -- (442) (4,420,000)
--- ----------
Outstanding, December 31, 1995....... -- -- 209 (yen) 2,090,000 $316,735
=== ============ === ========== ========
CONSERVATIVE ASSET ALLOCATION:
US TREASURY BOND FUTURES:
Outstanding, December 31, 1994....... -- -- -- --
Contracts opened.................... -- -- 6 $ 600,000
Contracts closed.................... -- -- (6) (600,000)
--- ----------
Outstanding, December 31, 1995....... -- -- -- --
=== ============ === ==========
S&P 500 FUTURES:
Outstanding, December 31, 1994....... 19 $ 4,750,000 -- --
Contracts opened.................... 65 16,250,000 -- --
Contracts closed.................... (78) (19,500,000) -- --
--- ----------
Outstanding, December 31, 1995....... 6 $ 1,500,000 $ 3,540 -- --
=== ============ ======= === ==========
CAC 40 FUTURES:
Outstanding, December 31, 1994....... -- -- -- --
Contracts opened.................... -- -- 11 FRF 88,000
Contracts closed.................... -- -- (7) (56,000)
--- ----------
Outstanding, December 31, 1995....... -- -- 4 FRF 32,000 $ 2,450
=== ============ === ========== ========
DAX 30 FUTURES:
Outstanding, December 31, 1994....... -- -- -- --
Contracts opened.................... -- -- 6 DEM 18,000
Contracts closed.................... -- -- (4) (12,000)
--- ----------
Outstanding, December 31, 1995....... -- -- 2 DEM 6,000 ($ 3,043)
=== ============ === ========== ========
FTSE 100 FUTURES:
Outstanding, December 31, 1994....... -- -- -- --
Contracts opened.................... -- -- 8 (pound) 20,000
Contracts closed.................... -- -- (5) (12,500)
--- ----------
Outstanding, December 31, 1995....... -- -- 3 (pound) 7,500 $ 2,214
=== ============ === ========== ========
NIKKEI 300 FUTURES:
Outstanding, December 31, 1994....... -- -- -- --
Contracts opened.................... -- -- 109 (yen) 1,090,000
Contracts closed.................... -- -- (72) (720,000)
--- ----------
Outstanding, December 31, 1995....... -- -- 37 (yen) 370,000 $ 56,835
=== ============ === ========== ========
</TABLE>
81
<PAGE> 99
<TABLE>
6. INVESTMENT ADVISORY AGREEMENTS. Effective March 20, 1987, the Trust entered
into an Investment Advisory Agreement with NASL Financial (the "Adviser"), a
wholly-owned subsidiary of Security Life and the principal underwriter of the
variable annuity contracts issued by Security Life and First North American. The
Adviser is responsible for managing the corporate and business affairs of the
Trust and for selecting and compensating subadvisers to handle the investment
and reinvestment of the assets of each portfolio of the Trust, subject to the
supervision of the Trust's Board of Trustees. As compensation for its services,
NASL Financial receives an advisory fee from the Trust based on the average
annual net assets of each particular portfolio. Advisory fees charged to each
portfolio were as follows for the year ended December 31, 1995:
<CAPTION>
PORTFOLIO FEE
-------------- -------------
<S> <C>
Global Equity.............................................................. .90%
Pasadena Growth............................................................ .975%
Equity..................................................................... .75%
Value Equity............................................................... .80%
Growth and Income.......................................................... .75%
International Growth and Income............................................ .95%
Strategic Bond............................................................. .775%
Global Government Bond..................................................... .80%
Investment Quality Bond.................................................... .65%
U.S. Government Securities................................................. .65%
Money Market............................................................... .50%
Aggressive Asset Allocation................................................ .75%
Moderate Asset Allocation.................................................. .75%
Conservative Asset Allocation.............................................. .75%
</TABLE>
EXPENSE REIMBURSEMENT. Pursuant to the Advisory Agreement, NASL Financial
reimburses the Trust for expenses (excluding advisory fees, taxes, portfolio
brokerage commissions and interest) incurred in excess of 0.50% of the average
annual net assets of each portfolio, respectively, on an annualized basis in
Pasadena Growth, Equity, Value Equity, Growth and Income, Strategic Bond,
Investment Quality Bond, U.S. Government Securities, Money Market and
Aggressive, Moderate and Conservative Asset Allocation and 0.75% in Global
Equity, International Growth and Income and Global Government Bond. There were
no expenses reimbursed by NASL Financial for the year ended December 31, 1995.
The Subadviser to Pasadena Growth, Roger Engemann Management Co., Inc. has
agreed to reimburse "other expenses" of Pasadena Growth up to a maximum on an
annual basis of .15% of average annual net assets. For the year ended December
31, 1995, all "other expenses", .06%, were reimbursed by them.
7. TRUSTEES' FEES. The Trust pays each Trustee who is not an employee or a
director of the Adviser or its affiliates a fee of $4,750 plus travel expenses
for each Board of Trustees meeting attended. The Trust also pays each Trustee
who is not an employee of the Adviser or its affiliates an annual retainer of
$18,000.
<TABLE>
8. COMMITMENTS. At December 31, 1995, Global Equity, Equity, International
Growth and Income, Strategic Bond and Global Government Bond had entered into
forward foreign currency contracts which contractually obligate the portfolio to
deliver currencies at future dates. Open sale and purchase contracts at December
31, 1995 were as follows:
<CAPTION>
NET
UNREALIZED
CONTRACTS IN EXCHANGE SETTLEMENT APPRECIATION
TO DELIVER FOR DATE VALUE (DEPRECIATION)
------------- ----------- ---------- ------------ --------------
<S> <C> <C> <C> <C> <C>
GLOBAL EQUITY:
SALES
German Deutschemark........... 26,708,000 $18,786,753 3/21/96 $18,694,362 $ 92,391
French Franc.................. 155,670,000 31,659,549 3/21/96 31,831,330 (171,781)
Japanese Yen.................. 1,104,000,000 11,022,914 3/21/96 10,817,378 205,536
----------- ----------- ---------
$61,469,216 $61,343,070 $ 126,146
=========== =========== ---------
PURCHASES
$403,389 (yen) 41,432,050 1/04/96 $401,279 $ (2,110)
120,084 (yen) 12,306,238 1/05/96 119,189 (895)
171,562 (yen) 17,703,483 1/08/96 171,462 (100)
--------- --------- ---------
$695,035 $691,930 (3,105)
======== ======== ----------
$ 123,041
</TABLE>
82
<PAGE> 100
<TABLE>
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
COMMITMENTS, CONTINUED
NET
UNREALIZED
CONTRACTS IN EXCHANGE SETTLEMENT APPRECIATION
TO DELIVER FOR DATE VALUE (DEPRECIATION)
------------- ----------- ---------- ------- --------------
<S> <C> <C> <C> <C> <C>
EQUITY:
PURCHASES
$ 543,211(Y) 55,744,977 1/04/96 $539,903 $ (3,308)
210,887(Y) 21,693,396 1/05/96 210,105 (782)
------------- --------- ---------
$ 754,098 $750,008 $ (4,090)
============= ======== =========
INTERNATIONAL GROWTH
AND INCOME:
SALES
Japanese Yen.................. 1,739,182,683 $17,319,495 2/16/96 $16,962,456 $ 357,039
Norwegian Krone............... 900,193 145,240 2/16/96 142,189 3,051
----------- ----------- ---------
$17,464,735 $17,104,645 $ 360,090
=========== =========== ---------
PURCHASES
$ 3,978,000(Y) 399,315,618 2/16/96 $ 3,894,573 $ (83,427)
============== =========== ---------
$276,663
STRATEGIC BOND:
SALES
Belgian Franc................. 16,823,675 $ 564,584 1/22/96 $ 572,452 $ (7,868)
Canadian Dollar............... 851,000 621,713 1/22/96 623,188 (1,475)
German Deutschemark........... 17,315,606 12,047,535 1/22/96 12,087,076 (39,541)
Danish Krone.................. 1,862,047 333,781 1/22/96 335,559 (1,778)
Spanish Peseta................ 82,817,833 664,803 1/22/96 680,978 (16,175)
French Franc.................. 15,257,098 3,043,281 1/22/96 3,117,230 (73,949)
Great British Pound Sterling.. 2,076,583 3,238,413 1/22/96 3,223,092 15,321
Italian Lira................. 3,478,951,297 2,132,523 1/22/96 2,183,070 (50,547)
Japanese Yen.................. 157,884,383 1,567,868 1/22/96 1,534,682 33,186
Netherland Guilder............ 1,594,191 975,929 1/22/96 994,951 (19,022)
----------- ----------- ---------
$25,190,430 $25,352,278 $(161,848)
=========== =========== ---------
PURCHASES
$ 6,909,376 DEM 9,915,996 1/22/96 $ 6,921,813 $ 12,437
197,368 ESP 25,259,150 1/22/96 207,696 10,328
1,414,177 FRF 6,906,217 1/22/96 1,411,033 (3,144)
1,039,378(pound) 678,445 1/22/96 1,053,024 13,646
865,174 ITL 1,396,132,106 1/22/96 876,084 10,910
1,751,454 FRF 8,666,196 1/24/96 1,770,698 19,244
-------------- ----------- ---------
$ 12,176,927 $12,240,348 $ 63,421
============== =========== ---------
$ (98,427)
GLOBAL GOVERNMENT BOND:
SALES
German Deutschemark .......... 32,399,187 $ 22,531,659 2/09/96 $22,635,216 $(103,557)
Japanese Yen ................. 432,900,000 5,000,000 8/09/96 4,319,907 680,093
German Deutschemark........... 14,099,500 10,000,000 8/29/96 9,943,904 56,096
------------ ----------- ---------
$ 37,531,659 $36,899,027 $ 632,632
============ =========== ---------
PURCHASES
$ 22,140,211 DEM 32,399,187 2/09/96 $22,635,216 $ 495,005
4,881,597(Y) 432,900,000 8/09/96 4,319,907 (561,690)
-------------- ----------- ---------
$ 27,021,808 $26,955,123 $ (66,685)
============== =========== ---------
$ 565,947
</TABLE>
83
<PAGE> 101
9. SUBSEQUENT EVENT. On September 7, 1995, North American Life
announced plans to "amalgamate" with The Manufacturers Life Insurance Company
("MLI"). An amalgamation is the exclusive method of combining federally
chartered mutual life insurers under the applicable Insurance Companies
Act (Canada).
The amalgamation required and received the approval of the Superintendent of
Financial Institutions in Canada, certain US regulatory approvals and the
approval of the policyholders of both mutual companies. The amalgamation of
North American Life and MLI became effective as of January 1, 1996.
MLI is a Canadian federally chartered mutual life insurance company with $29.9
billion (US) in consolidated assets and $2.4 billion (US) in policyholder
surplus as of June 30, 1995. North American Life, also a Canadian federally
chartered mutual life insurance company, had $4.5 billion (US) in assets and
$0.6 billion (US) in policyholders surplus as of June 30, 1995.
The surviving company will conduct business under the name "The Manufacturers
Life Insurance Company".
Effective January 1, 1996, immediately following the amalgamation, Security Life
experienced a corporate restructuring which resulted in the formation of a newly
organized holding corporation, NAWL Holding Company, Inc. ("NAWL"). NAWL holds
all of the outstanding shares of Security Life and Wood Logan Associates, Inc.
("WLA"). WLA is a broker-dealer registered with the Securities and Exchange
Commission and is a member of the National Association of Securities Dealers,
Inc. WLA acts as the promotional agent for distribution of the Trust.
MLI owns all of the class A shares of NAWL, representing 85% of the voting
shares of NAWL. Certain employees of WLA own all of the class B shares, which
represent the remaining 15% voting interest in NAWL.
84
