<PAGE> 1
NASL SERIES TRUST
116 Huntington Avenue Boston, Massachusetts 02116
NASL Series Trust (the "Trust") is a no-load, open-end management
investment company, commonly known as a mutual fund. Shares of the Trust are not
offered directly to the public but are sold only to insurance companies and
their separate accounts as the underlying investment medium for variable
contracts ("contracts"). The Trust provides a range of investment objectives
through sixteen separate investment portfolios, each of which issues its own
series of shares of beneficial interest.
The SMALL/MID CAP TRUST seeks long-term capital appreciation by
investing at least 65% of its assets in companies that at the time of purchase
have total market capitalization between $500 million and $5 billion
The INTERNATIONAL SMALL CAP TRUST seeks long term capital appreciation
by investing primarily in securities issued by foreign companies which have
total market capitalization or annual revenue of $1 billion or less.
THE GLOBAL EQUITY TRUST seeks long-term capital appreciation, by
investing primarily in a globally diversified portfolio of common stocks and
securities convertible into or exercisable for common stocks.
THE PASADENA GROWTH TRUST seeks to achieve 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.
THE EQUITY TRUST seeks growth of capital, by investing primarily in
common stocks of United States issuers and securities convertible into or
carrying the right to buy common stocks.
THE VALUE EQUITY TRUST seeks long-term growth of capital by investing
primarily in common stocks and securities convertible into or carrying the right
to buy common stocks.
THE GROWTH AND INCOME TRUST seeks 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
Subadviser believes are of high quality.
THE INTERNATIONAL GROWTH AND INCOME TRUST seeks long-term growth of
capital and income by investing primarily in a portfolio of securities of
foreign issuers.
THE STRATEGIC BOND TRUST seeks a high level of total return consistent
with preservation of capital by giving its Subadviser broad discretion to deploy
the portfolio's assets among certain segments of the fixed-income market as the
Subadviser believes will best contribute to achievement of the portfolio's
investment objective.
THE GLOBAL GOVERNMENT BOND TRUST seeks 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.
THE INVESTMENT QUALITY BOND TRUST seeks 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 portfolio's assets may be invested in below investment grade debt
securities.
THE U.S. GOVERNMENT SECURITIES TRUST seeks 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.
THE MONEY MARKET TRUST seeks maximum current income consistent with
preservation of principal and liquidity, by investing in high quality money
market instruments with maturities of 397 days or less issued primarily by
United States entities.
THE AUTOMATIC ASSET ALLOCATION TRUSTS seek the highest potential total
return consistent with a specified level of risk tolerance -- conservative,
moderate or aggressive -- by investing primarily in the kinds of securities in
which the Equity, Investment Quality Bond, U.S. Government Securities and Money
Market Trusts may invest.
* THE AGGRESSIVE ASSET ALLOCATION TRUST seeks the highest total return
consistent with an aggressive level of risk tolerance. This Trust attempts to
limit the decline in portfolio value in very adverse market conditions to 15%
over any twelve month period.
* THE MODERATE ASSET ALLOCATION TRUST seeks the highest total return
consistent with a moderate 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.
* THE CONSERVATIVE ASSET ALLOCATION TRUST seeks 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. THERE CAN BE NO ASSURANCE THAT
THE LIMITS IN PORTFOLIO DECLINE SET FORTH ABOVE FOR THE AUTOMATIC ASSET
ALLOCATION TRUSTS WILL NOT BE EXCEEDED.
In pursuing their investment objectives, the Strategic Bond Trust reserves the
right to invest without limitation, and the Investment Quality Bond Trust may
invest up to 20% of its assets, in high yield (high risk) securities, commonly
known as "junk bonds" which also present a high degree of risk. High-yielding,
lower-quality securities involve comparatively greater risks, including price
volatility and risk of default in the timely payment of interest and principal,
than higher-quality securities. Although the Strategic Bond Trust's Subadviser
has the ability to invest up to 100% of the portfolio's assets in lower-rated
securities, the portfolio's Subadviser does not anticipate investing in excess
of 75% of the portfolio's assets in such securities. Purchasers should carefully
assess the risks associated with an investment in the Strategic Bond Trust. See
"RISK FACTORS -- High Yield (High Risk) Securities." AN INVESTMENT IN THE MONEY
MARKET TRUST IS NEITHER INSURED NOR GUARANTEED BY THE U.S. GOVERNMENT, AND THERE
CAN BE NO ASSURANCE THAT THE MONEY MARKET TRUST WILL BE ABLE TO MAINTAIN A
STABLE NET ASSET VALUE OF $10.00 PER SHARE. This Prospectus sets forth concisely
the information about the Trust that a prospective purchaser of a contract
should know before purchasing such a contract. PLEASE READ THIS PROSPECTUS AND
RETAIN IT FOR FUTURE REFERENCE. Additional information about the Trust has been
filed with the Securities and Exchange Commission and is available upon request
and without charge by writing the Trust at the above address or calling (617)
266-6008 and requesting the "Statement of Additional Information for NASL Series
Trust" dated the date of this Prospectus (hereinafter "Statement of Additional
Information"). The Statement of Additional Information is incorporated by
reference into this Prospectus. SHARES OF THE TRUST ARE NOT DEPOSITS OR
OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, ANY BANK, AND THE SHARES ARE NOT
FEDERALLY INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL
RESERVE BOARD, OR ANY OTHER AGENCY. THESE SECURITIES HAVE NOT BEEN APPROVED OR
DISAPPROVED BY THE SECURITIES AND EXCHANGE COMMISSION NOR HAS THE COMMISSION
PASSED UPON THE ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO
THE CONTRARY IS A CRIMINAL OFFENSE.
The date of this Prospectus is February 12, 1996.
<PAGE> 2
NASL SERIES TRUST
TABLE OF CONTENTS
<TABLE>
<S> <C>
SYNOPSIS .......................................................................................................... 3
FINANCIAL HIGHLIGHTS .............................................................................................. 4
INVESTMENT OBJECTIVES AND POLICIES................................................................................. 18
Small/Mid Cap Trust......................................................................................... 18
International Small Cap Trust............................................................................... 19
Global Equity Trust ........................................................................................ 20
Pasadena Growth Trust ...................................................................................... 21
Equity Trust ............................................................................................... 22
Value Equity Trust ......................................................................................... 22
Growth and Income Trust .................................................................................... 22
International Growth and Income Trust ...................................................................... 23
Strategic Bond Trust ....................................................................................... 24
Global Government Bond Trust ............................................................................... 26
Investment Quality Bond Trust .............................................................................. 27
U.S. Government Securities Trust ........................................................................... 28
Money Market Trust ......................................................................................... 29
Automatic Asset Allocation Trusts .......................................................................... 30
RISK FACTORS ...................................................................................................... 32
Investment Restrictions Generally .......................................................................... 32
Additional Investment Restrictions on Borrowing and Foreign Investing ...................................... 33
High Yield Securities....................................................................................... 33
Corporate Debt Securities................................................................................... 34
Foreign Securities.......................................................................................... 35
Warrants.................................................................................................... 36
Lending Securities.......................................................................................... 36
When-Issued Securities ..................................................................................... 36
Repurchase Agreements and Reverse Repurchase Agreements..................................................... 37
Mortgage Dollar Rolls....................................................................................... 37
Hedging and Other Strategic Transactions.................................................................... 37
Illiquid Securities ........................................................................................ 38
MANAGEMENT OF THE TRUST ........................................................................................... 38
Advisory Arrangements....................................................................................... 39
Subadvisory Arrangements.................................................................................... 40
Expenses ................................................................................................... 45
Performance Data ........................................................................................... 45
GENERAL INFORMATION ............................................................................................... 46
Shares of the Trust ........................................................................................ 46
Taxes ...................................................................................................... 46
Dividends .................................................................................................. 47
Purchase and Redemption of Shares .......................................................................... 47
Custodian .................................................................................................. 48
Appendix I - Debt Security Ratings ................................................................................ 48
Appendix II - Strategic Bond Trust Debt Ratings.................................................................... 50
</TABLE>
NO DEALER, SALESPERSON OR OTHER PERSON HAS BEEN AUTHORIZED TO GIVE ANY
INFORMATION OR TO MAKE ANY REPRESENTATIONS, OTHER THAN THOSE CONTAINED IN THIS
PROSPECTUS, IN CONNECTION WITH THE OFFER CONTAINED IN THIS PROSPECTUS, AND, IF
GIVEN OR MADE, SUCH OTHER INFORMATION OR REPRESENTATIONS MUST NOT BE RELIED UPON
AS HAVING BEEN AUTHORIZED BY THE TRUST, THE ADVISER, THE SUBADVISERS OR THE
PRINCIPAL UNDERWRITER OF THE CONTRACTS. THIS PROSPECTUS DOES NOT CONSTITUTE AN
OFFERING IN ANY STATE IN WHICH SUCH OFFERING MAY NOT LAWFULLY BE MADE.
2
<PAGE> 3
SYNOPSIS
NASL Series Trust (the "Trust") is a series trust, which means that it
has several portfolios, each with a stated investment objective which it pursues
through separate investment policies. Currently, there are sixteen such
portfolios: the Small/Mid Cap Trust, the International Small Cap Trust, the
Global Equity Trust, the Pasadena Growth Trust, the Equity Trust, the Value
Equity Trust, the Growth and Income Trust, the International Growth and Income
Trust, the Strategic Bond Trust, the Global Government Bond Trust, the
Investment Quality Bond Trust, the U.S. Government Securities Trust, the Money
Market Trust, the Aggressive Asset Allocation Trust, the Moderate Asset
Allocation Trust and the Conservative Asset Allocation Trust. (The Aggressive,
Moderate and Conservative Asset Allocation Trusts are referred to collectively
as the "Automatic Asset Allocation Trusts.") The Small/Mid Cap Trust and the
International Small Cap Trust will be available for sale effective March 4,
1996. The investment objective of each of the sixteen portfolios is as described
on the cover page of this Prospectus.
In addition to the risks inherent in any investment in securities,
certain portfolios of the Trust are subject to particular risks associated with
investing in foreign securities, lending portfolio securities, investing in
when-issued securities and hedging techniques employed through the use of
futures contracts, options on futures contracts, forward currency contracts and
various options. See "Investment Restrictions."
The investment adviser of the Trust is NASL Financial Services, Inc.
("NASL Financial" or the "Adviser"). The Trust currently has nine Subadvisers.
Fred Alger Management, Inc. ("Alger") serves as Subadviser to the Small/Mid Cap
Trust. Founders Asset Management, Inc. ("Founders") serves as Subadviser to the
International Small Cap Trust. Oechsle International Advisors, L.P. ("Oechsle
International") serves as Subadviser to the Global Equity and Global Government
Bond Trusts. Roger Engemann Management Co., Inc. ("REMC") serves as Subadviser
to the Pasadena Growth Trust. Fidelity Management Trust Company ("FMTC") serves
as Subadviser to the Equity, and the three Automatic Asset Allocation Trusts.
Goldman Sachs Asset Management ("GSAM") serves as Subadviser to the Value Equity
Trust. Wellington Management Company ("Wellington Management") serves as
Subadviser to the Growth and Income, Investment Quality Bond and Money Market
Trusts. Salomon Brothers Asset Management ("SBAM") serves as Subadviser to the
U.S. Government Securities and Strategic Bond Trusts. J.P. Morgan Investment
Management Inc. ("J.P. Morgan") serves as Subadviser to the International Growth
and Income Trust. The Adviser receives a fee from the Trust computed separately
for each portfolio as indicated in the expense table below. The Subadviser of
each portfolio receives a fee from the Adviser computed separately for each
portfolio, which fee is paid out of the advisory fee and is not an additional
charge to the portfolio or its shareholders. See "Management of the Trust."
The Trust currently serves as the underlying investment medium for sums
invested in annuity and variable life contracts issued by North American
Security Life Insurance Company ("Security Life"), First North American Life
Assurance Company ("FNAL") and The Manufacturers Life Insurance Company of
America ("Manulife America"). The portfolios that are available for investment
by Manulife America contractholders are as follows: the Equity, Value Equity,
Growth and Income, U.S. Government, Aggressive Asset Allocation, Moderate Asset
Allocation and Conservative Asset Allocation Trusts. The Trust may, however, be
used for other purposes in the future, such as funding annuity contracts issued
by other insurance companies. Security Life is controlled by The Manufacturers
Life Insurance Company ("Manulife"), a mutual life insurance company based in
Toronto, Canada. FNAL is a wholly-owned subsidiary of Security Life and Manulife
America is a wholly owned subsidiary of Manulife. Currently, the Trust has three
shareholders, Security Life, FNAL and Manulife America. Trust shares are not
offered directly to and may not be purchased directly by members of the public.
Consequently, as of the date of this Prospectus, the terms "shareholder" and
"shareholders" in this Prospectus refer to Security Life , Manulife America and
FNAL.
Certain contract values will vary with the investment performance of
the portfolios of the Trust. Because contract owners will allocate their
investments among the portfolios, prospective purchasers should carefully
consider the information about the Trust and its portfolios presented in this
Prospectus before purchasing such a contract.
The Trust is a no-load, open-end management investment company
registered with the Securities and Exchange Commission under the Investment
Company Act of 1940, and each of the portfolios, except the Global Government
Bond Trust, is diversified for purposes of the Investment Company Act of 1940.
See "Global Government Bond Trust."
Information about the performance of each portfolio of the Trust is
contained in the Trust's annual report to shareholders which may be obtained
without charge.
3
<PAGE> 4
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL EQUITY TRUST
----------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
SIX MONTHS ---------------------------------------------------
ENDED 3/18/88*
06/30/95 TO
(UNAUDITED) 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) ....... 0.05 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 ........................... ---- 0.22 3.79 (0.19) 1.23 (1.41) 2.32 0.17
-------- -------- -------- -------- ------- ------- ------- ------
Total from investment operations .. 0.05 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 ........... $ 15.02 $ 15.74 $ 15.73 $ 12.00 $ 12.24 $ 11.00 $ 12.57 $10.15
======== ======== ======== ======== ======= ======= ======= ======
Total return ......................... 0.32% 1.74% 32.89% (0.72%) 12.80% (10.43%) 23.84% 1.20%
Net assets, end of period (000's) ........ $589,326 $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%(A) 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 ....................... 0.70%(A) 0.44% 0.77% 1.12% 1.47% 1.97% 1.82% (1.71%)(A)
Portfolio turnover rate .................. 40%(A) 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>
4
<PAGE> 5
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PASADENA GROWTH TRUST
----------------------------------------------------
SIX MONTHS 12/11/92*
ENDED YEARS ENDED DECEMBER 31, TO
06/30/95 -------------------------
(UNAUDITED) 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) ............. 0.02 0.04 0.05 0.00
Net realized and unrealized gain
(loss) on investments .................. 1.53 (0.50) (0.42) (0.07)
-------- -------- -------- -------
Total from investment operations .. 1.55 (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 ......... $ 10.56 $ 9.05 $ 9.55 $ 9.93
======== ======== ======== =======
Total return ...................... 17.20% (4.80%) (3.80%) (0.70%)
Net assets, end of period (000's) ...... $217,984 $151,727 $104,966 $31,118
Ratio of operating expenses to
average net assets (C) ................ 0.975%(A) 0.975% 0.975% 1.06%(A)
Ratio of net investment income to
average net assets ..................... 0.50%(A) 0.65% 0.75% 1.04%(A)
Portfolio turnover rate ................ 54%(A) 33% 12% 0%(A)
<FN>
_____________________________
* Commencement of operations.
(A) Annualized
(B) After subadviser expense reimbursement per share of $0.002, $0.006 and $0.01 for the six months
ended June 30, 1995 and the years ended December 31, 1994 and 1993, respectively.
(C) The ratio of operating expenses, before reimbursement from the subadviser, was 1.04%, 1.06% and
1.09% for the six months ended June 30, 1995 and the years ended December 31, 1994 and 1993,
respectively.
</TABLE>
5
<PAGE> 6
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY TRUST
-------------------------------------------------------------------------------------------------
SIX MONTHS YEARS ENDED DECEMBER 31,
ENDED ------------------------------------------------------------------------ 6/18/85*
06/30/95 TO
(UNAUDITED) 1994 1993** 1992 1991 1990 1989 1988 1987 1986 12/31/85
----------- ---- ------ ---- ---- ---- ---- ---- ---- ---- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .......................... $ 14.66 $ 15.57 $ 13.97 $ 13.12 $ 11.33 $ 19.14 $ 15.17 $ 12.57 $ 13.01 $11.39 $10.72
Income from investment operations:
- ----------------------------------
Net investment income (B) ........ 0.04 0.11 0.07 0.64 0.14 0.24 0.29 0.15 0.19 0.27 0.12
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ... 3.69 (0.18) 2.11 0.38 1.88 (1.95) 3.87 2.45 0.97 1.80 0.55
-------- -------- -------- -------- -------- ------- ------- -------- ------- ------ ------
Total from investment
operations ..................... 3.73 (0.07) 2.18 1.02 2.02 (1.71) 4.16 2.60 1.16 2.07 0.67
Less distributions:
- -------------------
Dividends from net investment income (0.11) (0.05) (0.58) (0.17) (0.23) (0.29) (0.12) ---- (0.14) (0.24) ----
Distributions from capital gains .. ---- (0.79) ---- ---- ---- (5.81) (0.07) ---- (1.46) (0.21) ----
-------- -------- -------- -------- -------- ------- ------- -------- ------- ------ ------
Total distributions ............. (0.11) (0.84) (0.58) (0.17) (0.23) (6.10) (0.19) ---- (1.60) (0.45) ----
-------- -------- -------- -------- -------- ------- ------- -------- ------- ------ ------
Net asset value, end of period ..... $ 18.28 $ 14.66 $ 15.57 $ 13.97 $ 13.12 $ 11.33 $ 19.14 $ 15.17 $ 12.57 $13.01 $11.39
======== ======== ======== ======== ======== ======= ======= ======== ======= ====== ======
Total return ................... 25.52% (0.53%) 16.31% 7.93% 17.94% (11.79%) 27.70% 20.71% 6.87% 18.50% 6.20%
Net assets, end of period (000's) .. $748,903 $534,562 $387,842 $192,626 $88,235 $36,564 $32,108 $133,852 $37,001 $1,408 $1,143
Ratio of operating expenses to
average net assets (C) ............ 0.82%(A) 0.84% 0.88% 0.95% 0.89% 0.97% 1.02% 1.08% 1.15% 1.41% 1.57%(A)
Ratio of net investment income to
average net assets ................. 0.59%(A) 0.88% 0.50% 7.31% 2.23% 2.74% 1.90% 1.80% 1.33% 1.19% 2.05%(A)
Portfolio turnover rate ............ 100%(A) 132% 173% 782% 172% 95% 111% 49% 64% 209% 214%(A)
<FN>
__________________________
* Commencement of operations.
** Net investment income per share has been 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>
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NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE EQUITY TRUST
-----------------------------------
SIX MONTHS
ENDED YEAR 02/19/93*
06/30/95 ENDED TO
(UNAUDITED) 12/31/94** 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 ................. 0.08 0.12 0.07
Net realized and unrealized gain
(loss) on investments ................. 1.78 (0.03) 1.24
-------- -------- --------
Total from investment
operations ................... 1.86 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 ........ $ 13.01 $ 11.33 $ 11.31
======== ======== ========
Total return ................. 16.51% 0.79% 13.10%
Net assets, end of period (000's) ..... $308,012 $221,835 $86,472
Ratio of operating expenses to
average net assets .................... 0.86%(A) 0.87% 0.94%(A)
Ratio of net investment income to
average net assets .................... 1.59%(A) 1.08% 1.30%(A)
Portfolio turnover rate ............... 36%(A) 26% 33%(A)
<FN>
_____________________________
* Commencement of operations.
** Net investment income per share has been calculated using the average shares method for fiscal year 1994.
(A) Annualized
</TABLE>
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<PAGE> 8
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH AND INCOME TRUST
------------------------------------------------------
SIX MONTHS 4/23/91*
ENDED YEARS ENDED DECEMBER 31, TO
06/30/95 --------------------------------
(UNAUDITED) 1994 1993 1992 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 .................. 0.15 0.25 0.17 0.20 0.13
Net realized and unrealized gain
on investments and foreign currency
transactions .......................... 1.89 0.11 0.98 0.92 0.95
-------- -------- -------- -------- -------
Total from investment operations .. 2.04 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 ........... $ 14.69 $ 13.04 $ 13.05 $ 12.10 $ 11.08
======== ======== ======== ======== =======
Total return .................... 15.86% 2.85% 9.62% 10.23% 10.80%
Net assets, end of period (000's) ........ $517,531 $409,534 $288,765 $130,984 $57,404
Ratio of operating expenses to
average net assets ...................... 0.81%(A) 0.82% 0.85% 0.85% 0.98%(A)
Ratio of net investment income to
average net assets ...................... 2.51%(A) 2.40% 2.29% 2.78% 2.92%(A)
Portfolio turnover rate 43%(A) 42% 39% 44% 62%(A)
<FN>
__________________
* Commencement of operations.
(A) Annualized
</TABLE>
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NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL GROWTH AND
INCOME TRUST
------------------------
01/09/95*
TO
06/30/95
(UNAUDITED)
------------
<S> <C>
Net asset value, beginning
of period ........................... $ 10.00
Income from investment operations:
----------------------------------
Net investment income .............. 0.04
Net realized and unrealized loss
on investments and foreign
currency transactions............. (0.03)
-------
Total from investment
operations ................... 0.01
Net asset value, end of period ...... $ 10.01
=======
Total return .................. 0.10%
Net assets, end of period (000's) ... $60,018
Ratio of operating expenses to
average net assets ................ 1.11%(A)
Ratio of net investment income to
average net assets ................ 2.14%(A)
Portfolio turnover rate ............. 63%(A)
<FN>
_____________________________
* Commencement of operations.
(A) Annualized
</TABLE>
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<PAGE> 10
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STRATEGIC BOND TRUST
------------------------------------
SIX MONTHS
ENDED YEAR 02/19/93*
06/30/95 ENDED TO
(UNAUDITED) 2/31/94 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 ................. 0.40 0.57 0.33
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................ 0.58 (1.22) 0.55
------- ------- -------
Total from investment
operations ..................... 0.98 (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 ......... $ 10.42 $ 9.91 $ 10.88
======= ======= =======
Total return .................... 10.16% (5.99%) 8.80%
Net assets, end of period (000's) ...... $98,708 $84,433 $53,640
Ratio of operating expenses to
average net assets ..................... 0.93%(A) 0.91% 1.00%(A)
Ratio of net investment income to
average net assets ..................... 8.84%(A) 7.49% 6.56%(A)
Portfolio turnover rate ................ 189%(A) 197% 356%(A)
<FN>
_____________________________
* Commencement of operations.
(A) Annualized
</TABLE>
10
<PAGE> 11
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL GOVERNMENT BOND TRUST
---------------------------------------------------------------------------------
SIX MONTHS YEARS ENDED DECEMBER 31,
ENDED -------------------------------------------------------- 3/18/88*
06/30/95 TO
(UNAUDITED) 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 .................. 0.42 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 ......... 0.95 (1.54) 1.67 (0.16) 1.21 1.13 ---- 0.04
-------- -------- -------- ------- ------- ------- ------ ------
Total from investment operations .. 1.37 (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 .......... $ 13.15 $ 12.47 $ 13.93 $ 12.47 $ 12.88 $ 11.59 $10.50 $10.21
======== ======== ======== ======= ======= ======= ====== ======
Total return ..................... 11.13% (5.75%) 18.99% 2.27% 15.86% 13.49% 4.49% 1.79%
Net assets, end of period (000's) ....... $217,435 $208,513 $196,817 $67,859 $28,251 $11,582 $4,065 $1,355
Ratio of operating expenses to
average net assets ...................... 0.95%(A) 0.96% 1.06% 1.05% 1.14% 1.21% 1.50% 3.39%(A)
Ratio of net investment income to
average net assets ...................... 6.42%(A) 6.10% 5.61% 6.71% 17.28% 6.62% 7.15% 3.74%(A)
Portfolio turnover rate ................. 168%(A) 157% 154% 132% 164% 142% 50% 234%(A)
<FN>
__________________________
* Commencement of operations.
(A) Annualized
</TABLE>
11
<PAGE> 12
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTMENT QUALITY BOND TRUST
-----------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
SIX MONTHS -----------------------------------------------------------------------
ENDED
06/30/95
(UNAUDITED) 1994 1993 1992 1991** 1990 1989 1988 1987 1986
----------- -------- ------- ------- ------- ------- ------- -------- ------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .............................. $ 11.01 $ 12.12 $ 11.58 $ 11.33 $ 10.74 $ 12.37 $ 11.55 $ 10.79 $ 11.58 $11.18
Income from investment operations:
- ----------------------------------
Net investment income (B) ............ 0.43 0.66 0.60 0.63 0.76 1.12 0.75 0.57 0.81 1.02
Net realized and unrealized gain
(loss) on investments ................ 0.81 (1.23) 0.53 0.15 0.85 (1.50) 0.51 0.19 (0.50) 0.37
-------- -------- ------- ------- ------- ------- ------- -------- ------- ------
Total from investment
operations ........................ 1.24 (0.57) 1.13 0.78 1.61 (0.38) 1.26 0.76 0.31 1.39
Less distributions:
- -------------------
Dividends from net investment income .. (0.74) (0.54) (0.59) (0.53) (1.02) (1.25) (0.44) ---- (0.88) (0.69)
Distributions from capital gains ...... ---- ---- ---- ---- ---- ---- ---- ---- (0.22) (0.30)
-------- -------- ------- ------- ------- ------- ------- -------- ------- ------
Total distributions ................ (0.74) (0.54) (0.59) (0.53) (1.02) (1.25) (0.44) ---- (1.10) (0.99)
-------- -------- ------- ------- ------- ------- ------- -------- ------- ------
Net asset value, end of period ......... $ 11.51 $ 11.01 $ 12.12 $ 11.58 $ 11.33 $ 10.74 $ 12.37 $ 11.55 $ 10.79 $11.58
======== ======== ======= ======= ======= ======= ======= ======== ======= ======
Total return ...................... 11.56% (4.64%) 10.01% 7.21% 16.07% (2.73%) 11.34% 7.09% 2.61% 13.25%
Net assets, end of period (000's) ...... $119,433 $111,423 $99,474 $60,185 $38,896 $20,472 $26,965 $114,221 $25,131 $1,295
Ratio of operating expenses to
average net assets (C) ................ 0.75%(A) 0.76% 0.77% 0.80% 0.85% 0.70% 0.83% 0.89% 0.95% 1.16%
Ratio of net investment income to
average net assets ..................... 6.98%(A) 6.49% 6.03% 6.96% 7.47% 8.41% 8.77% 7.97% 7.46% 8.11%
Portfolio turnover rate ................ 213%(A) 140% 33% 59% 115% 120% 351% 94% 201% 127%
</TABLE>
<TABLE>
Caption>
INVESTMENT QUALITY BOND TRUST
-----------------------------
6/18/85*
TO
12/31/85
---------
<S> <C>
Net asset value, beginning
of period .............................. $10.28
Income from investment operations:
- ----------------------------------
Net investment income (B) ............ 0.55
Net realized and unrealized gain
(loss) on investments ................ 0.35
------
Total from investment
operations ........................ 0.90
Less distributions:
- -------------------
Dividends from net investment income .. ----
Distributions from capital gains ...... ----
------
Total distributions ................ ----
------
Net asset value, end of period ......... $11.18
======
Total return ...................... 8.72%
Net assets, end of period (000's) ...... $1,120
Ratio of operating expenses to
average net assets (C) ................ 1.31%(A)
Ratio of net investment income to
average net assets ..................... 9.99%(A)
Portfolio turnover rate ................ 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>
12
<PAGE> 13
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES TRUST
------------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
SIX MONTHS ----------------------------------------------------------------
ENDED 3/18/88*
06/30/95 TO
(UNAUDITED) 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) ............. 0.52 0.77 0.48 0.10 0.19 1.07 0.20 0.07
Net realized and unrealized gain
(loss) on investments ................. 0.72 (0.95) 0.49 0.65 1.40 (0.13) 1.08 (0.29)
-------- -------- -------- -------- ------- ------- ------ ------
Total from investment operations .. 1.24 (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 .......... $ 13.01 $ 12.64 $ 13.48 $ 13.05 $ 12.85 $ 11.83 $10.98 $ 9.81
======== ======== ======== ======== ======= ======= ====== ======
Total return ..................... 10.10% (1.25%) 7.64% 6.19% 14.01% 8.63% 13.16% (2.19%)
Net assets, end of period (000's) ....... $189,250 $188,813 $222,072 $125,945 $29,246 $10,469 $5,905 $344
Ratio of operating expenses to
average net assets (C) ................. 0.73%(A) 0.73% 0.75% 0.76% 0.87% 1.04% 0.90% 5.16%(A)
Ratio of net investment income to
average net assets ...................... 6.86%(A) 5.68% 5.05% 6.12% 7.09% 7.70% 6.66% 1.16%(A)
Portfolio turnover rate ................. 459%(A) 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>
13
<PAGE> 14
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET TRUST
------------------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
SIX MONTHS ---------------------------------------------------------------------------
ENDED 6/18/85*
06/30/95 TO
(UNAUDITED) 1994 1993 1992 1991 1990 1989 1988 1987 1986 12/31/85
--------- -------- -------- -------- -------- -------- ------- ------- ------- ------ -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .......................... $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $10.00 $10.00 $10.00 $10.00
Income from investment operations:
- ----------------------------------
Net investment income (B) ........ 0.28 0.38 0.27 0.33 0.56 0.75 0.72 0.57 0.60 0.56 0.36
Less distributions:
- -------------------
Dividends from net
investment income ................ (0.28) (0.38) (0.27) (0.33) (0.56) (0.75) (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 $ 10.00 $ 10.00 $ 10.00 $10.00 $10.00 $10.00
======== ======== ======== ======= ======= ======= ======= ======= ====== ====== ======
Total return ................ 2.81% 3.78% 2.69% 3.36% 5.71% 7.76% 8.56% 6.77% 6.13% 5.74% 3.61%
Net assets, end of period (000's) .. $266,521 $276,674 $132,274 $89,535 $79,069 $85,040 $19,403 $12,268 $7,147 $1,046 $1,001
Ratio of operating expenses to
average net assets (C) ............ 0.56%(A) 0.57% 0.59% 0.60% 0.60% 0.57% 0.79% 0.99% 0.78% 1.11% 1.21%(A)
Ratio of net investment income to
average net assets ................. 5.55%(A) 3.93% 2.66% 3.28% 5.65% 7.27% 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>
14
<PAGE> 15
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE ASSET ALLOCATION TRUST
-----------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
SIX MONTHS -------------------------------------------------------
ENDED 8/03/89*
06/30/95 TO
(UNAUDITED) 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 .................. 0.18 0.31 0.34 0.30 0.36 0.36 0.08
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ......... 1.05 (0.41) 0.79 0.55 1.69 (1.07) (0.20)
-------- -------- -------- -------- -------- ------- -------
Total from investment operations .. 1.23 (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 .......... $ 11.66 $ 11.17 $ 12.03 $ 11.25 $ 10.72 $ 9.08 $ 9.88
======== ======== ======== ======== ======== ======= =======
Total return ....................... 11.25% (0.69%) 10.30% 8.24% 22.96% (7.27%) (1.20%)
Net assets, end of period (000's) ....... $191,499 $184,662 $174,448 $151,627 $124,632 $91,581 $87,301
Ratio of operating expenses to
average net assets ...................... 0.92%(A) 0.89% 0.86% 0.89% 0.88% 0.78% 0.89%(A)
Ratio of net investment income to
average net assets ...................... 2.84%(A) 2.90% 2.96% 3.08% 3.63% 4.08% 3.32%(A)
Portfolio turnover rate ................. 119%(A) 136% 92% 123% 172% 82% 22%(A)
<FN>
_____________________________
* Commencement of operations.
(A) Annualized
</TABLE>
15
<PAGE> 16
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MODERATE ASSET ALLOCATION TRUST
---------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
SIX MONTHS ---------------------------------------------------------
ENDED 8/03/89*
06/30/95 TO
(UNAUDITED) 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 .................. 0.24 0.45 0.41 0.41 0.42 0.48 0.11
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ......... 0.91 (0.65) 0.67 0.43 1.50 (1.10) (0.08)
-------- -------- -------- -------- -------- -------- --------
Total from investment operations .. 1.15 (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 .......... $ 11.39 $ 10.79 $ 11.76 $ 11.14 $ 10.72 $ 9.29 $ 10.03
======== ======== ======== ======== ======== ======== ========
Total return ....................... 10.84% (1.61%) 10.06% 8.30% 21.23% (6.23%) 0.30%
Net assets, end of period (000's) ....... $626,524 $604,491 $644,257 $505,967 $420,074 $327,328 $318,439
Ratio of operating expenses to
average net assets ...................... 0.86%(A) 0.85% 0.84% 0.87% 0.86% 0.73% 0.79%(A)
Ratio of net investment income to
average net assets ...................... 4.00%(A) 4.01% 4.02% 4.21% 4.38% 5.10% 4.51%(A)
Portfolio turnover rate ................. 147%(A) 180% 135% 169% 168% 76% 41%(A)
<FN>
_____________________________
* Commencement of operations.
(A) Annualized
</TABLE>
16
<PAGE> 17
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CONSERVATIVE ASSET ALLOCATION TRUST
----------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
SIX MONTHS ---------------------------------------------------------
ENDED 8/03/89*
06/30/95 TO
(UNAUDITED) 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 .................. 0.28 0.55 0.50 0.47 0.58 0.62 0.15
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ......... 0.73 (0.76) 0.44 0.26 1.15 (1.01) (0.04)
-------- -------- -------- -------- -------- -------- --------
Total from investment operations .. 1.01 (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 .......... $ 10.80 $ 10.34 $ 11.26 $ 10.78 $ 10.63 $ 9.56 $ 10.11
======== ======== ======== ======== ======== ======== ========
Total return ....................... 9.96% (1.84%) 8.99% 7.36% 18.80% (3.84%) 1.10%
Net assets, end of period (000's) ....... $220,939 $216,716 $250,117 $201,787 $165,167 $149,901 $141,191
Ratio of operating expenses to
average net assets ...................... 0.89%(A) 0.87% 0.86% 0.89% 0.88% 0.76% 0.82%(A)
Ratio of net investment income to
average net assets ...................... 4.74%(A) 4.86% 4.78% 4.99% 5.65% 6.68% 6.00%(A)
Portfolio turnover rate ................. 126%(A) 220% 170% 252% 211% 78% 85%(A)
<FN>
_____________________________
* Commencement of operations.
(A) Annualized
</TABLE>
17
<PAGE> 18
INVESTMENT OBJECTIVES AND POLICIES
Each portfolio has a stated investment objective which it pursues
through separate investment policies. The differences in objectives and policies
among the portfolios can be expected to affect the return of each portfolio and
the degree of market and financial risk to which each portfolio is subject.
The investment objectives of each portfolio represent fundamental
policies of each such portfolio and may not be changed without the approval of
the holders of a majority of the outstanding shares of the portfolio. Except for
certain investment restrictions, the policies by which a portfolio seeks to
achieve its investment objectives may be changed by the Trustees of the Trust
without the approval of the shareholders.
The following is a description of the investment objectives and
policies of each portfolio. More complete descriptions of the money market
instruments in which the Trust may invest and of the options, futures, currency
and other derivative transactions that certain portfolios may engage in are set
forth in the Statement of Additional Information. A more complete description of
the debt security ratings used by the Trust assigned by Moody's Investors
Service, Inc. ("Moody's") or Standard and Poor's Corporation ("S&P") is included
in Appendix I to this Prospectus.
SMALL/MID CAP TRUST
The investment objective of the Small/Mid Cap Trust is to seek long
term capital appreciation. Alger manages the Small/Mid Cap Trust and will pursue
this objective by investing at least 65% of the portfolios total assets (except
during temporary defensive periods) in small/mid cap equity securities. As used
in this Prospectus, small/mid cap equity securities are equity securities of
companies that, at the time of purchase, have "total market capitalization" --
present market value per share multiplied by the total number of shares
outstanding -- between $500 million and $5 billion. The portfolio may invest up
to 35% of its total assets in equity securities of companies that, at the time
of purchase, have total market capitalization of $5 billion or greater and in
excess of that amount (up to 100% of its assets ) during temporary defensive
periods.
The Small/Mid Cap Trust seeks to achieve its investment objective by
investing in equity securities, such as common or preferred stocks, or
securities convertible into or exchangeable for equity securities, including
warrants and rights. The portfolio will invest primarily in companies whose
securities are traded on domestic stock exchanges or in the over-the-counter
market.
The Small/Mid Cap Trust may invest a significant portion of its assets
in the securities of small companies. Small companies are those which are still
in the developing stages of their life cycles and will attempt to achieve rapid
growth in both sales and earnings. Investments in small companies involve
greater risk than is customarily associated with more established companies.
These companies often have sales and earnings growth rates which exceed those of
large companies. Such growth rates may be reflected in more rapid share price
appreciation. However, smaller companies often have limited operating histories,
product lines, markets or financial resources, and they may be dependent upon
one-person management. These companies may be subject to intense competition
from larger entities, and the securities of such companies may have limited
marketability and may be subject to more abrupt or erratic movements in price
than securities of larger companies or the market averages in general.
Therefore, the net asset values of the Small/Mid Cap Trust may fluctuate more
widely than the popular market averages. Accordingly, an investment in the
portfolio may not be appropriate for all investors.
In order to afford the portfolio the flexibility to take advantage of
new opportunities for investments in accordance with its investment objectives,
it may hold up to 15% of its net assets (up to 100% of their assets during
temporary defensive periods) in money market instruments, bank and thrift
obligations, obligations issued or guaranteed by the U.S. Government or by its
agencies or instrumentalities, foreign bank obligations and obligations of
foreign branches or domestic banks, variable rate master demand notes and
repurchase agreements. When the portfolio is in a defensive position, the
opportunity to achieve capital growth will be limited, and, to the extent that
this assessment of market conditions is incorrect, the portfolio will be
foregoing the opportunity to benefit from capital growth resulting from
increases in the value of its investments and may not achieve its investment
objective.
Foreign Securities. The portfolio may invest up to 20% of its total
assets in foreign securities and will be subject to certain risks as a result of
these investments. These risks are described under the caption "RISK FACTORS --
Foreign Securities" in this Prospectus. Moreover, substantial investments in
foreign securities may have adverse tax implications as described under "GENERAL
INFORMATION - Taxes" in this Prospectus. The portfolio may also purchase
American Depository Receipts ("ADRs") or U.S. dollar-deonominated securities of
foreign issuers that are not included in the 20% foreign securities limitation.
See "RISK FACTORS - Foreign Securities" in this Prospectus for a description of
ADRs.
18
<PAGE> 19
Use of Hedging and Other Strategic Transactions. The Small/Mid Cap
Trust is currently authorized to use all of the various investment strategies
referred to under "RISK FACTORS -- Hedging and Other Strategic Transactions".
The Statement of Additional Information contains a description of these
strategies and of certain risks associated therewith.
INTERNATIONAL SMALL CAP TRUST
The investment objective of the International Small Cap Trust is to
seek long term capital appreciation. Founder manages the International Small Cap
Trust and will pursue this objective by investing primarily in securities issued
by foreign companies which have total market capitalizations (present market
value per share multiplied by the total number of shares outstanding) or annual
revenues of $1 billion or less. These securities may represent companies in both
established and emerging economies throughout the world.
At least 65% of the portfolio's total assets will normally be invested
in foreign securities representing a minimum of three countries (other than the
United States). The portfolio may invest in larger foreign companies or in U.S.
based companies if, in Founders' opinion, they represent better prospects for
appreciation.
The International Small Cap Trust may invest a significant portion of
its assets in the securities of small companies. Small companies are those which
are still in the developing stages of their life cycles and are attempting to
achieve rapid growth in both sales and earnings. Investments in small companies
involve greater risk than is customarily associated with more established
companies. These companies often have sales and earnings growth rates which
exceed those of large companies. Such growth rates may be reflected in more
rapid share price appreciation. However, smaller companies often have limited
operating histories, product lines, markets or financial resources, and they may
be dependent upon one-person management. These companies may be subject to
intense competition from larger entities, and the securities of such companies
may have limited marketability and may be subject to more abrupt or erratic
movements in price than securities of larger companies or the market averages in
general. Therefore, the net asset values of the International Small Cap Trust
may fluctuate more widely than the popular market averages. Accordingly, an
investment in the portfolio may not be appropriate for all investors.
The International Small Cap Trust will invest primarily in equity
securities but may also invest in convertible securities, preferred stocks,
bonds, debentures and other corporate obligations when Founders believes that
these investments offer opportunities for capital appreciation. Current income
will not be a substantial factor in the selection of these securities. The
portfolio will only invest in bonds, debentures and corporate obligations--other
than convertible securities and preferred stock--rated investment-grade (BBB or
higher by Moody's or Baa or higher by S&P) at the time of purchase or , if
unrated, of comparable quality in the opinion of Founders. Convertible
securities and preferred stocks purchased by the Portfolio may be rated in
medium and lower categories by Moody's or S&P (Ba or lower by Moody's and BB or
lower by S&P) but will not be rated lower than B. The portfolio may also invest
in unrated convertible securities and preferred stocks in instances in which
Founders believes that the financial condition of the issuer or the protection
afforded by the terms of the securities limits risk to a level similar to that
of securities rated in categories no lower than B. The portfolio is not required
to dispose of debt securities whose ratings are down-graded below these ratings
subsequent to the portfolio's purchase of the securities. See "RISK FACTORS -
High Yield (High Risk) Securities." A description of the ratings used by Moody's
and S & P is set forth in Appendix I to the Prospectus.
The International Small Cap Trust may invest temporarily in the
following securities if Founders determines that it is appropriate for purposes
of enhancing liquidity or preserving capital in light of prevailing market or
economic conditions: cash, cash equivalents, U.S. government obligations,
commercial paper, bank obligations, repurchase agreements, and negotiable U.S.
dollar-denominated obligations of domestic and foreign branches of U.S.
depository institutions, U.S. branches of foreign depository institutions, and
foreign depository institutions. When the portfolio is in a defensive position,
the opportunity to achieve capital growth will be limited, and, to the exent
that this assessment of market conditions is incorrect, the portfolio will be
foregoing the opportunity to benefit from capital growth resulting from
increases in the value of equity investments and may not achieve its investment
objective.
Foreign Securities. The portfolio may invest up to 100% of its total
assets in foreign securities and will be subject to special risks as a result of
these investments. These risks are described under the caption "RISK FACTORS --
Foreign Securities" in this Prospectus. Moreover, substantial investments in
foreign securities may have adverse tax implications as described under "GENERAL
INFORMATION - Taxes" in this Prospectus. In order to comply with limitations
imposed by the State of California Insurance Department, the International Small
Cap Trust will comply with the restrictions regarding foreign investments set
forth under "Risk Factors - Additional Investment Restrictions on Borrowing and
Foreign Investing."
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Foreign investments of the International Small Cap Trust may include
securities issued by companies located in countries not considered to be major
industrialized nations. Such countries are subject to more economic, political
and business risk than major industrialized nations, and the securities they
issue and of issuers located in such countries are expected to be more volatile
and more uncertain as to payments of interest and principal. The secondary
market for such securities is expected to be less liquid than for securities of
major industrialized nations. Such countries may include (but are not limited
to) Argentina, Bolivia, Brazil, Chile, China, Colombia, Costa Rica, Czech
Republic, Ecuador, Egypt, Greece, Hong Kong, Hungary, India, Indonesia, Ireland,
Israel, Jordan, Malaysia, Mexico, New Zealand, Nigeria, North Korea, Pakistan,
Paraguay, Peru, Philippines, Poland, Portugal, Singapore, Slovak Republic. South
Africa, South Korea, Spain, Sri Lanka, Taiwan, Thailand, Turkey, Uruaguay,
Venezuela, Vietnam and the countries of the former Soviet Union. Investments of
the Portfolio may include securities created through the Brady Plan, a program
under which heavily indebted countries have restructured their bank debt into
bonds. See "OTHER INSTRUMENTS--High Yield Foreign Sovereign Debt Securities" in
the Statement of Additional Information.
Use of Hedging and Other Strategic Transactions. The International
Small Cap Trust is currently authorized to use all of the various investment
strategies referred to under "RISK FACTORS -- Hedging and Other Strategic
Transactions." The Statement of Additional Information contains a description of
these strategies and of certain risks associated therewith.
GLOBAL EQUITY TRUST
The investment objective of the Global Equity Trust is long-term
capital appreciation. Oechsle International manages the Global Equity Trust and
intends to pursue this objective by investing primarily in a globally
diversified portfolio of common stocks and securities convertible into or
exercisable for common stocks.
At least 65% of the assets of the Global Equity Trust will generally be
invested in a globally diversified portfolio of equity securities (e.g., common
and preferred stocks). Up to 35% of the assets of the Global Equity Trust may be
invested in securities convertible into or exercisable for common stocks and in
fixed income securities. Fixed income securities are discussed in the
description of the Global Government Bond Trust below. Under normal
circumstances, at least 65% of the Global Equity Trust's assets will be invested
in securities of at least three different countries. However, the Global Equity
Trust may for temporary defensive purposes choose to invest substantially all of
its assets in U.S. securities or cash and cash items. Cash is an actively
managed portfolio asset. The Global Equity Trust's cash position will reflect
Oechsle International's overall measure of optimism in the global equity
markets. If Oechsle International foresees unusual market risks, cash reserves
will be increased to reduce portfolio volatility. Cash reserves are generally
held in U.S. short-term government instruments, although non-U.S. government
securities may be held for this purpose from time to time.
Oechsle International seeks to achieve the Global Equity Trust's
investment objective of long-term capital appreciation by making investment
decisions based on a two-pronged approach of (i) choosing a limited group of
countries with strong and stable national financial markets, generally with
total capitalization in excess of $5 billion, and (ii) identifying a select
group of companies in such countries with attractive investment potential and
typical capitalization of $200 million or more. The following is a brief
description of the Oechsle International two-pronged investment approach.
Country Selection. The Global Equity Trust will seek to maximize
returns by significantly overweighing markets identified as attractive, while
reducing overall portfolio risk through broad diversification of investments
across a limited group of national markets. Broad diversification provides a
prudent method of reducing volatility while allowing the Global Equity Trust to
take advantage of the different movements of major equity markets to maximize
returns. Opportunities for global investing have broadened in recent years. For
example, in 1980 the U.S. stock market capitalization represented approximately
70% of the total world stock market capitalization and by 1990 such share had
fallen to approximately 30%.
Generally, investments will be limited to companies in countries where
total market capitalization exceeds $5 billion. The Global Equity Trust's focus
will normally be on the largest, most liquid international equity markets
including, but not limited to, the United States, Japan, the United Kingdom, the
Federal Republic of Germany, Canada, France and Italy.
Security Selection. Investments will generally be made in companies
with market capitalizations of at least $200 million. Oechsle International
focuses its research effort on exchange listed U.S. companies and a universe of
approximately 1,000 non-U.S. companies, most of which are included in either the
Morgan Stanley Capital International Europe, Australia and Far East Index or
other major international indices. The Global Equity Trust intends to purchase
and hold securities for long-term capital appreciation and does not expect to
trade for short-term gain.
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Use of Hedging and Other Strategic Transactions
The Global Equity Trust is currently authorized to use all of the
various investment strategies referred to under "Hedging and Other Strategic
Transactions." With the exception of currency transactions, however, it is not
presently anticipated that any of these strategies will be used to a significant
degree by the portfolio. The Statement of Additional Information contains a
description of these strategies and of certain risks associated therewith. The
Global Equity Trust will be subject to special risks as a result of its ability
to invest up to 100% of its assets in foreign securities. These risks are
described under the caption "Foreign Securities" in this Prospectus. In order to
comply with limitations imposed by the State of California Insurance Department,
the Global Equity Trust will comply with the restrictions regarding foreign
investments set forth under "Risk Factors - Additional Investment Restrictions
on Borrowing and Foreign Investing."
Moreover, substantial investments in foreign securities may have
adverse tax implications as described under "Taxes" in this Prospectus. The
ability to diversify its investments among the equity markets in different
countries may, however, reduce the overall level of market risk to the extent it
may reduce the Global Equity Trust's exposure to a single market.
PASADENA GROWTH TRUST
The principal investment objective of the Pasadena Growth Trust is
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.
The Pasadena Growth Trust emphasizes the purchase of common stocks of
domestic corporations with rapidly growing earnings per share. Some of the
companies in the portfolio may be unseasoned, although most are generally
well-known and established. The Pasadena Growth Trust also invests in stocks of
companies with a market capitalization of less than $500 million and companies
that, although not growing rapidly, are undervalued by other criteria of their
fundamental net worth in the opinion of its Subadviser. The volatility of its
investment portfolio is likely to be greater than that of the Standard & Poor's
500 Stock Index and greater than that of the Value Equity or Equity Trust. For
this reason, the net asset value per share of the Pasadena Growth Trust may
fluctuate substantially and the portfolio may not be appropriate for short-term
investments. Dividend and interest income received from portfolio securities is
largely incidental.
The Pasadena Growth Trust's investments may also include preferred
stocks, warrants, convertible debt obligations and other debt obligations that,
in the Subadviser's opinion, offer the possibility of capital appreciation over
the course of approximately two or more years because of the timing of such
investments. In addition to the interest received from such debt instruments, if
interest rates fall, these instruments are likely to increase in value.
Conversely, if interest rates rise, a decrease in value can be expected. The
Pasadena Growth Trust does not, however, anticipate investing a significant
portion of its total assets in such instruments.
The debt obligations which may be acquired by the Pasadena Growth Trust
include direct and indirect obligations of the U.S. Government and its agencies,
states and municipalities and their agencies, or corporate issuers. Any
corporate debt obligations in which the Pasadena Growth Trust may invest must be
rated at least BBB or Baa or better by national agencies, or, if unrated, are,
in the Subadviser's opinion, of equivalent investment quality. Securities which
are rated "BBB" or "Baa" are generally regarded as having an adequate capacity
to pay interest and repay principal in accordance with the terms of the
obligation, but may have some speculative characteristics. In addition, such
securities are generally more sensitive to changes in economic conditions than
securities rated in the higher categories, which tend to be more sensitive to
interest rate changes. In the event that the rating for any security held in the
Pasadena Growth Trust's portfolio drops below "BBB" or "Baa" such change will be
considered by the Trust's Subadviser in evaluating the overall composition of
the Trust's portfolio.
From time to time, depending on the Subadviser's analysis of market and
other considerations, all or part of the assets of the portfolio may be held in
cash and short-term money market instruments, including obligations of the U.S.
Government, high quality commercial paper, certificates of deposit, bankers'
acceptances, bank interest bearing demand accounts, and repurchase agreements
secured by U.S. Government securities. All such investments will be made for
temporary defensive purposes to protect against the erosion of capital and
pending investment in other securities.
As a matter of operating policy, the Trust may invest in securities of
unseasoned companies. The Subadviser regards a company as unseasoned when, for
example, it is relatively new to or not yet well established in its primary line
of business. Such companies generally are smaller and younger than companies
whose shares are traded on the major stock exchanges. Accordingly, their shares
are often traded over-the-counter and their share prices may be more volatile
than those of larger, exchange-listed companies. In order to avoid undue risks,
the portfolio normally will not purchase securities of any company with a record
of fewer than three years' continuous operation (including that of
predecessors).
The Pasadena Growth Trust does not intend to engage in the purchase of
securities on a when-issued or delayed delivery basis or engage in any hedging
or other transactions described in the Statement of Additional Information under
the caption "Hedging and Other Strategic Transactions." The Pasadena Growth
Trust will be subject to certain risks as a result of its ability to invest up
to 20% of its assets in
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foreign securities. These risks are described under the caption "Foreign
Securities" in this Prospectus. Moreover, substantial investments in foreign
securities may have adverse tax implications as described under "Taxes" in this
Prospectus.
EQUITY TRUST
The principal investment objective of the Equity Trust is growth of
capital. Current income is a secondary consideration although growth of income
may accompany growth of capital.
FMTC manages the Equity Trust and seeks to attain the foregoing
objective by investing primarily in common stocks of United States issuers or
securities convertible into or which carry the right to buy common stocks. It
may also invest to a limited degree, normally not in excess of 15% of the value
of the Equity Trust's total assets, in non-convertible preferred stocks and debt
securities. Portfolio securities may be selected with a view toward either
short-term or long-term capital growth. When in FMTC's opinion market or
economic conditions warrant a defensive posture, the Equity Trust may place any
portion of its assets in investment grade debt securities (i.e., the four
highest bond ratings assigned by Moody's or S&P), preferred stocks, Government
securities or cash. The fourth highest category of investment grade bonds has
some speculative characteristics and instruments with such ratings are subject
to greater fluctuations in value than more highly rated instruments as economic
conditions change. The Equity Trust is not required to dispose of such
instruments in the event they are downgraded. It may also maintain amounts in
cash or short-term debt securities pending selection of investments in
accordance with its policies.
The Equity Trust will invest primarily in securities listed on national
securities exchanges, but from time to time it may also purchase securities
traded in the "over the counter" market. The Equity Trust will be subject to
certain risks as a result of its ability to invest up to 20% of its assets in
foreign securities. These risks are described under the caption "Foreign
Securities" in this Prospectus. Moreover, substantial investments in foreign
securities may have adverse tax implications as described under "Taxes" in this
Prospectus.
Use of Hedging and Other Strategic Transactions
The Equity Trust is currently authorized to use all of the various
investment strategies referred to under "RISK FACTORS -- Hedging and Other
Strategic Transactions." However, it is not presently anticipated that any of
these strategies will be used to a significant degree by the portfolio. The
Statement of Additional Information contains a description of these strategies
and of certain risks associated therewith.
VALUE EQUITY TRUST
The principal investment objective of the Value Equity Trust is
long-term growth of capital. GSAM manages the Value Equity Trust and will seek
to attain its objective by investing under normal circumstances at least 65% of
its total assets in equity securities, consisting of common or preferred stocks,
including options and warrants.
The Value Equity Trust will invest primarily in securities listed on
national securities exchanges and securities traded in the "over-the-counter"
market. Under normal market conditions the Value Equity Trust may invest up to
35% of its total assets in preferred stocks, government securities, short-term
debt securities, money market instruments, cash or investment grade bonds (i.e.,
the four highest bond ratings assigned by Moody's or S&P or determined to be of
comparable quality by GSAM.) When in GSAM's opinion market or economic
conditions warrant a temporary defensive posture, the Value Equity Trust may
place any portion of its assets in these types of non-equity securities. The
fourth highest category of investment grade bonds has some speculative
characteristics and instruments with such ratings are subject to greater
fluctuations in value than more highly rated instruments as economic conditions
change. The Value Equity Trust is not required to dispose of such instruments in
the event they are downgraded.
The Value Equity Trust will be subject to special risks as a result of
its ability to invest up to 20% of its assets in foreign securities. These risks
are described under the caption "Foreign Securities" in this Prospectus.
Moreover, substantial investments in foreign securities may have adverse tax
implications as described under "Taxes" in this Prospectus.
Use of Hedging and Other Strategic Transactions
The Value Equity Trust is currently authorized to use all of the
various investment strategies referred to under "Hedging and Other Strategic
Transactions." The Statement of Additional Information contains a description of
these strategies and of certain risks associated therewith.
GROWTH AND INCOME TRUST
The investment objective of the Growth and Income Trust is to provide
long-term growth of capital and income consistent with prudent investment risk.
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Wellington Management manages the Growth and Income Trust and seeks to
achieve the Trust's objective by investing primarily in a diversified portfolio
of common stocks of U.S. issuers which Wellington Management believes are of
high quality. Wellington Management believes that high quality is evidenced by a
leadership position within an industry, a strong or improving balance sheet,
relatively high return on equity, steady or increasing dividend payout and
strong management skills. The Trust's investments will primarily emphasize
dividends paying stocks of larger companies. The Trust may also invest in
securities convertible into or which carry the right to buy common stocks,
including those convertible securities issued in the Euromarket, preferred
stocks and debt securities. When market or financial conditions warrant a
temporary defensive posture, the Trust may, in order to reduce risk and achieve
attractive total investment return, invest up to 100% of its assets in
securities which are authorized for purchase by the Investment Quality Bond
Trust (excluding non-investment grade securities) or the Money Market Trust. The
Subadviser expects that under normal market conditions the Growth and Income
Trust will consist primarily of equity securities.
Investments will be selected on the basis of fundamental analysis to
identify those securities that, in Wellington Management's judgment, provide the
potential for long-term growth of capital and income. Fundamental analysis
involves assessing a company and its business environment, management, balance
sheet, income statement, anticipated earnings and dividends and other related
measures of value. When selecting securities of issuers domiciled outside of the
United States, Wellington Management will also monitor and evaluate the economic
and political climate and the principal securities markets of the country in
which each company is located.
The Growth and Income Trust will invest primarily in securities listed
on national securities exchanges, but from time to time it may also purchase
securities traded in the "over the counter" market.
The Growth and Income Trust will be subject to certain risks as a
result of its ability to invest up to 20% of its assets in foreign securities.
These risks are described under the caption "Foreign Securities" in this
Prospectus. Moreover, substantial investments in foreign securities may have
adverse tax implications as described under "Taxes" in this Prospectus.
Use of Hedging and Other Strategic Transactions
The Growth and Income Trust is currently authorized to use all of the
various investment strategies referred to under "Hedging and Other Strategic
Transactions." However, it is not presently anticipated that any of these
strategies will be used to a significant degree by the portfolio. The Statement
of Additional Information contains a description of these strategies and of
certain risks associated therewith.
INTERNATIONAL GROWTH AND INCOME TRUST
The investment objective of the International Growth and Income Trust
is to seek long-term growth of capital and income. The portfolio is designed for
investors with a long-term investment horizon who want to take advantage of
investment opportunities outside the United States.
J.P. Morgan manages the International Growth and Income Trust and will
seek to achieve the portfolio's objective by investing, under normal
circumstances, at least 65% of its total assets in equity securities of foreign
issuers, consisting of common stocks and other securities with equity
characteristics such as preferred stock, warrants, rights and convertible
securities. The portfolio will focus primarily on the common stock of
established companies based in developed countries outside the United States.
Such investments will be made in at least three foreign countries. The portfolio
invests in securities listed on foreign or domestic securities exchanges and
securities traded in foreign or domestic over-the-counter markets, and may
invest in certain restricted or unlisted securities. See "RISK FACTORS --
Foreign Securities." Under normal circumstances, the International Growth and
Income Trust expects to invest primarily in equity securities. However, the
portfolio may invest up to 35% of its assets in debt obligations of corporate or
sovereign or supranational organizations rated A or higher by Moody's or S&P, or
if unrated, of equivalent credit quality as determined by the Subadviser. See
"Global Government Bond Trust" for further information on supranational
organizations. Under normal circumstances, the portfolio will be invested
approximately 85% in equity securities and 15% in these fixed income securities.
This allocation, however, may change over time. J.P. Morgan may allocate the
portfolio's investment in these asset classes in a manner consistent with the
portfolio's investment objective and current market conditions. Using a variety
of analytical tools, J.P. Morgan assesses the relative attractiveness of each
asset class and determines an optimal allocation between them. Yields on
non-U.S. equity securities tend to be lower than those on equity securities of
U.S. issuers. Therefore, current income from the portfolio may not be as high as
that available from a portfolio of U.S. equity securities.
In pursuing the International Growth and Income Trust's objective, J.P.
Morgan will actively manage the assets of the portfolio through country
allocation and stock valuation and selection. Based on fundamental research,
quantitative valuation techniques and experienced judgment, J.P. Morgan uses a
structured decision-making process to allocate the portfolio primarily across
the developed countries of the world outside the United States. This universe is
typically represented by the Morgan Stanley Europe, Australia and Far East Index
(the "EAFE Index").
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Using a dividend discount model and based on analysts' industry
expertise, securities within each country are ranked within economic sectors
according to their relative value. Based on this valuation, J.P. Morgan selects
the securities which appear the most attractive for the portfolio. J.P. Morgan
believes that under normal market conditions, economic sector weightings
generally will be similar to those of the relevant equity index.
Finally, J.P. Morgan actively manages currency exposure, in conjunction
with country and stock allocation, in an attempt to protect and possibly enhance
the International Growth and Income Trust's market value. Through the use of
forward currency exchange contracts, J.P. Morgan will adjust the portfolio's
foreign currency weightings to reduce its exposure to currencies that the
Subadviser deems unattractive and, in certain circumstances, increase exposure
to currencies deemed attractive, as market conditions warrant, based on
fundamental research, technical factors and the judgment of a team of
experienced currency managers.
The International Growth and Income Trust intends to manage its
investment portfolio actively in pursuit of its investment objective. The
portfolio does not expect to trade in securities for short-term profits;
however, when circumstances warrant, securities may be sold without regard to
the length of time held. See "GENERAL INFORMATION -- Taxes." To the extent the
portfolio engages in short-term trading, it may incur increased transaction
costs.
The International Growth and Income Trust may also invest in securities
on a when-issued or delayed delivery basis, enter into repurchase agreements,
loan its portfolio securities and purchase certain privately placed securities.
See "RISK FACTORS."
The International Growth and Income Trust may make money market
investments pending other investments or settlement or for liquidity purposes.
In addition, when J.P. Morgan believes that investing for defensive purposes is
appropriate, such as during periods of unusual or unfavorable market or
economics conditions, up to 100% of the portfolio's assets may be temporarily
invested in money market instruments. The money market investments permitted for
the portfolio include obligations of the U.S. Government and its agencies and
instrumentalities, other debt securities, commercial paper, bank obligations and
repurchase agreements, as described below under "Money Market Trust."
The International Growth and Income Trust will be subject to special
risks as a result of its ability to invest up to 100% of its assets in foreign
securities. These risks are described under the captions "RISK FACTORS --
Foreign Securities" in this Prospectus. Moreover, substantial investments in
foreign securities may have adverse tax implications as described under "GENERAL
INFORMATION -- Taxes" in this Prospectus. The ability to diversify its
investments among the equity markets of different countries may, however, reduce
the overall level of market risk to the extent it may reduce the portfolio's
exposure to a single market. In order to comply with limitations imposed by the
State of California Insurance Department, the International Growth and Income
Trust will comply with the restrictions regarding foreign investments set forth
under "Risk Factors - Additional Investment Restrictions on Borrowing and
Foreign Investing."
Use of Hedging and Other Strategic Transactions
The International Growth and Income Trust is currently authorized to
use all of the various investment strategies referred to under "RISK FACTORS --
Hedging and Other Strategic Transactions." With the exception of currency
transactions, however, it is not presently anticipated that any of these
strategies will be used to a significant degree by the portfolio. The Statement
of Additional Information contains a description of these strategies and of
certain risks associated therewith.
STRATEGIC BOND TRUST
The investment objective of the Strategic Bond Trust is to seek a high
level of total return consistent with preservation of capital.
The Strategic Bond Trust seeks to achieve its objective by giving its
Subadviser, SBAM, broad discretion to deploy the Strategic Bond Trust's assets
among certain segments of the fixed-income market as SBAM believes will best
contribute to the achievement of the portfolio's objective. At any point in
time, the Subadviser will deploy the portfolio's assets based on the
Subadviser's analysis of current economic and market conditions and the relative
risks and opportunities present in the following market segments: U.S.
Government obligations, investment grade domestic corporate debt, high yield
(high risk) corporate debt securities, mortgage backed securities and investment
grade and high yield international debt securities. The Subadviser is an
affiliate of Salomon Brothers Inc ("SBI"), and in making investment decisions is
able to draw on the research and market expertise of SBI with respect to
fixed-income securities.
In pursuing its investment objective, the Strategic Bond Trust may
invest without limitation in high yield (high risk) securities. High yield
securities, commonly known as "junk bonds", also present a high degree of risk.
High-yielding, lower-quality securities involve comparatively greater risks,
including price volatility and the risk of default in the timely payment of
interest and principal, than higher-quality securities. Due to the risks
inherent in certain of the securities in which the Strategic Bond Trust may
invest, an investment in the portfolio should not be considered as a complete
investment program and may not be appropriate for all investors. See "Risk
Factors--High Yield (High Risk) Securities."
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The Subadviser will determine the amount of assets to be allocated to
each type of security in which it invests based on its assessment of the maximum
level of total return that can be achieved from a portfolio which is invested in
these securities without incurring undue risks to principal value. In making
this determination, the Subadviser will rely in part on quantitative analytical
techniques that measure relative risks and opportunities of each type of
security based on current and historical economic, market, political and
technical data for each type of security, as well as on its own assessment of
economic and market conditions both on a global and local (country) basis. In
performing quantitative analysis, the Subadviser will employ prepayment analysis
and option adjusted spread technology to evaluate mortgage securities, mean
variance optimization models to evaluate international debt securities, and
total rate of return analysis to measure relative risks and opportunities in
other fixed-income markets. Economic factors considered will include current and
projected levels of growth and inflation, balance of payment status and monetary
policy. The allocation of assets to international debt securities will further
be influenced by current and expected currency relationships and political and
sovereign factors. The portfolio's assets may not always be allocated to the
highest yielding securities if the Subadviser feels that such investments would
impair the portfolio's ability to preserve shareholder capital. The Subadviser
will continuously review this allocation of assets and make such adjustments as
it deems appropriate. The portfolio does not plan to establish a minimum or a
maximum percentage of the assets which it will invest in any particular type of
fixed-income security.
In addition, the Subadviser will have discretion to select the range of
maturities of the various fixed-income securities in which the portfolio
invests. Such maturities may vary substantially from time to time depending on
economic and market conditions.
The types and characteristics of the U.S. Government obligations,
mortgage-backed securities, investment grade corporate debt securities and
investment grade international debt securities to be purchased are set forth in
the discussion of investment objectives and policies for the Investment Quality
Bond, U.S. Government Securities and Global Government Bond Trusts, and in the
section entitled "Other Investments" in the Statement of Additional Information;
and the types and characteristics of the money market securities to be purchased
are set forth in the discussion of investment objectives of the Money Market
Trust. Potential investors should review the discussion therein in considering
an investment in shares of the Strategic Bond Trust. As described below, the
Strategic Bond Trust may also invest in high yield domestic and foreign debt
securities.
The Strategic Bond Trust will be subject to special risks as a result
of its ability to invest up to 100% of its assets in foreign securities. These
risks are described under the captions "Risk Factors--High (High Risk) Yield
Securities" and "Foreign Securities" in this Prospectus. Moreover, substantial
investments in foreign securities may have adverse tax implications as described
under "Taxes" in this Prospectus. The ability to spread its investments among
the fixed-income markets in a number of different countries may, however, reduce
the overall level of market risk to the extent it may reduce the Strategic Bond
Trust's exposure to a single market. In order to comply with limitations imposed
by the State of California Insurance Department, the Strategic Bond Trust will
comply with the restrictions regarding foreign investments set forth under "Risk
Factors - Additional Investment Restrictions on Borrowing and Foreign
Investing."
The Strategic Bond Trust currently intends to invest substantially all
of its assets in fixed-income securities. In order to maintain liquidity,
however, the Strategic Bond Trust may invest up to 20% of its assets in
high-quality short-term money market instruments. If at some future date, in the
opinion of the Subadviser, adverse conditions prevail in the market for
fixed-income securities, the Strategic Bond Trust for temporary defensive
purposes may invest its assets without limit in high-quality short-term money
market instruments.
As discussed above, the Strategic Bond Trust may invest in U.S.
dollar-denominated securities issued by domestic issuers that are rated below
investment grade or of comparable quality. Although the Subadviser does not
anticipate investing in excess of 75% of the portfolio's assets in domestic and
developing country debt securities that are rated below investment grade, the
portfolio may invest a greater percentage in such securities when, in the
opinion of the Subadviser, the yield available from such securities outweighs
their additional risks. By investing a portion of the portfolio's assets in
securities rated below investment grade, as well as through investments in
mortgage securities and international debt securities, as described below, the
Subadviser expects to provide investors with a higher yield than a high- quality
domestic corporate bond fund while at the same time presenting less risk than a
fund that invests principally in securities rated below investment grade.
Certain of the debt securities in which the portfolio may invest may have, or be
considered comparable to securities having, the lowest ratings for
non-subordinated debt instruments assigned by Moody's or S&P (i.e., rated C by
Moody's or CCC or lower by S&P). See "Risk Factors--High Yield (High Risk)
Securities--General."
In light of the risks associated with high yield corporate and
sovereign debt securities, the Subadviser will take various factors into
consideration in evaluating the credit worthiness of an issue. For corporate
debt securities, these will typically include the issuer's financial resources,
its sensitivity to economic conditions and trends, the operating history of the
issuer, and the experience and track record of the issuer's management. For
sovereign debt instruments, these will typically include the economic and
political conditions within the issuer's country, the issuer's overall and
external debt levels and debt service ratios, the issuer's access to capital
markets and other sources of funding, and the issuer's debt service payment
history. The Subadviser will also review the ratings, if any, assigned to the
security by any recognized rating agencies, although the Subadviser's judgment
as to the quality of a debt security may differ from that suggested by the
rating published
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by a rating service. The Strategic Bond Trust's ability to achieve its
investment objective may be more dependent on the Subadviser's credit analysis
than would be the case if it invested in higher quality debt securities.
A description of the ratings used by Moody's and S&P is set forth in
Appendix I to this Prospectus.
In addition to the types of international debt securities as set forth
in the discussion of investment objectives and policies of the Global Government
Bond Trust, the Strategic Bond Trust may also invest in international debt
securities that are below investment grade.
The high yield sovereign debt securities in which the Strategic Bond
Trust may invest are U.S. dollar-denominated and non-dollar-denominated debt
securities issued or guaranteed by governments or governmental entities of
developing and emerging countries. The Subadviser expects that these countries
will consist primarily of those which have issued or have announced plans to
issue Brady Bonds, but the portfolio is not limited to investing in the debt of
such countries. Brady Bonds are debt securities issued under the framework of
the Brady Plan, an initiative announced by U.S. Treasury Secretary Nicholas F.
Brady in 1989 as a mechanism for debtor nations to restructure their outstanding
external indebtedness. The Subadviser anticipates that the portfolio's initial
investments in sovereign debt will be concentrated in Latin American countries,
including Mexico and Central and South American and Caribbean countries. The
Subadviser expects to take advantage of additional opportunities for investment
in the debt of North African countries, such as Nigeria and Morocco, Eastern
European countries, such as Poland and Hungary, and Southeast Asian countries,
such as the Philippines. Sovereign governments may include national, provincial,
state, municipal or other foreign governments with taxing authority.
Governmental entities may include the agencies and instrumentalities of such
governments, as well as state-owned enterprises.
Use of Hedging and Other Strategic Transactions
The Strategic Bond Trust is currently authorized to use all of the
various investment strategies referred to under "Hedging and Other Strategic
Transactions." With the exception of currency transactions, however, it is not
presently anticipated that any of these strategies will be used to a significant
degree by the portfolio. The Statement of Additional Information contains a
description of these strategies and of certain risks associated therewith.
GLOBAL GOVERNMENT BOND TRUST
The investment objective of the Global Government Bond Trust is to seek
a high level of total return by placing primary emphasis on high current income
and the preservation of capital. Oechsle International manages the Global
Government Bond Trust and intends to pursue this objective by investing
primarily in a selected global portfolio of high-quality, fixed-income
securities of foreign and U.S. governmental entities and supranational issuers.
Oechsle International will select the Global Government Bond Trust's
assets from among countries and in currency denominations where opportunities
for total return are expected to be the most attractive. Fundamental economic
strength, credit quality, and currency and interest rate trends will be the
principal determinants of the various country and sector weightings within the
Global Government Bond Trust. The Global Government Bond Trust may substantially
invest in one or more countries but intends to have represented in its portfolio
securities from a number of different countries, although there is no limit on
the value of the portfolio's assets that may be invested in any one country or
in assets denominated in any one country's currency. Moreover, the Global
Government Bond Trust may for temporary defensive purposes choose to invest
substantially all its assets in U.S. securities or cash and cash items.
The Global Government Bond Trust, unlike the other portfolios of the
Trust, is non-diversified for purposes of the Investment Company Act of 1940.
Due to its status as non-diversified, the Global Government Bond Trust is not
subject to the general limitation under the Investment Company Act of 1940 that
it not invest more than 5% of its total assets in the securities of a single
issuer. The Global Government Bond Trust has elected non-diversified status so
that it may invest more than 5% of its assets in the obligations of a foreign
government and this practice may expose the Global Government Bond Trust to
increased financial and market risks. While non-diversified for purposes of the
Investment Company Act of 1940, the Global Government Bond Trust remains subject
to certain diversification requirements imposed under the Internal Revenue Code
which are described under the caption "Taxes" in this Prospectus.
The Global Government Bond Trust will generally invest at least 65% of
its assets in the following investments: (i) debt obligations issued or
guaranteed by the U.S. government or one of its agencies or political
subdivisions; (ii) debt obligations issued or guaranteed by a foreign sovereign
government or one of its agencies or political subdivisions; (iii) debt
obligations issued or guaranteed by supranational organizations. Supranational
entities include international organizations designated or supported by
governmental entities to promote economic reconstruction or development and
international banking institutions and related government agencies. Examples
include the International Bank for Reconstruction and Development (the "World
Bank"), the European Coal and Steel Community, the Asian Development Bank and
the Inter-American Development Bank. Such supranational issued instruments may
be denominated in multi- national currency units. Investments in multi-currency,
debt securities will be limited to those assigned within the four highest bond
ratings by Moody's or S&P or, if not rated, that are of equivalent investment
quality as determined by Oechsle International. The Global Government Bond Trust
may also invest up to 35% of its assets in (i) corporate debt securities
assigned within the three highest bond ratings
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by Moody's or S&P or, if not rated, that are of equivalent investment quality as
determined by Oechsle International, (ii) preferred stocks and (iii) securities
convertible into or exercisable for common stocks. In addition, the Global
Government Bond Trust will hold short-term cash reserves (money market
instruments maturing in a period of thirteen months or less) as Oechsle
International believes is advisable to maintain liquidity or for temporary
defensive purposes. Reserves may be held in any currency deemed attractive by
Oechsle International.
Oechsle International intends to invest in fixed-income securities in
countries where the combination of fixed-income market returns and exchange rate
movements is judged to be attractive. Oechsle International will actively manage
the Global Government Bond Trust's maturity structure according to its interest
rate outlook for each foreign economy. In response to rising interest rates and
falling prices, the Global Government Bond Trust may invest in securities with
shorter maturities to protect its principal value. Conversely, when certain
interest rates are falling and prices are rising, the Global Government Bond
Trust may invest in securities with longer maturities to take advantage of
higher yields and to seek capital appreciation. The Global Government Bond Trust
will seek to invest in countries having favorable currency and interest rate
trends. Investments in countries where the currency trend is unfavorable may be
made when the currency risk can be minimized through hedging. The Global
Government Bond Trust does not intend to invest in longer-term fixed income
securities in countries where the fixed income market is fundamentally
unattractive, regardless of the currency trend, but may invest in short- term
fixed income securities in such countries.
Use of Hedging and Other Strategic Transactions
The Global Government Bond Trust is currently authorized to use all of
the various investment strategies referred to under "Hedging and Other Strategic
Transactions." With the exception of currency transactions, however, it is not
presently anticipated that any of these strategies will be used to a significant
degree by the portfolio. The Statement of Additional Information contains a
description of these strategies and of certain risks associated therewith. The
Global Government Bond Trust will be subject to special risks as a result of its
ability to invest up to 100% of its assets in foreign securities. These risks
are described under the caption "Foreign Securities" in this Prospectus.
Moreover, substantial investments in foreign securities may have adverse tax
implications as described under "Taxes" in this Prospectus. The ability to
spread its investments among the fixed-income markets in a number of different
countries may, however, reduce the overall level of market risk to the extent it
may reduce the Global Government Bond Trust's exposure to a single market. In
order to comply with limitations imposed by the State of California Insurance
Department, the Global Government Bond Trust will comply with the restrictions
regarding foreign investments set forth under "Risk Factors - Additional
Investment Restrictions on Borrowing and Foreign Investing."
INVESTMENT QUALITY BOND TRUST
The investment objective of the Investment Quality Bond Trust is to
provide a high level of current income consistent with the maintenance of
principal and liquidity.
Wellington Management manages the Investment Quality Bond Trust and
seeks to achieve the Trust's objective by investing primarily in a diversified
portfolio of investment grade corporate bonds and U.S. Government bonds with
intermediate to longer term maturities. Investment management will emphasize
sector analysis, which focuses on relative value and yield spreads among
security types and among quality, issuer, and industry sectors, call protection
and credit research. Credit research on corporate bonds is based on both
quantitative and qualitative criteria established by Wellington Management, such
as an issuer's industry, operating and financial profiles, business strategy,
management quality, and projected financial and business conditions. Wellington
Management will attempt to maintain a high, steady and possibly growing income
stream.
At least 65% of the Investment Quality Bond Trust's assets will be
invested in:
(1) marketable debt securities of domestic issuers and of foreign issuers
(payable in U.S. dollars) rated at the time of purchase "A" or better by Moody's
or S&P or, if unrated, of comparable quality as determined by Wellington
Management;
(2) securities issued or guaranteed as to principal or interest by the U.S.
Government or its agencies or instrumentalities, including mortgage backed
securities (described below under U.S. Government Securities Trust); and
(3) cash and cash equivalent securities which are authorized for purchase
by the Money Market Trust.
The balance of the Investment Quality Bond Trust's investments may
include: domestic and foreign debt securities rated below "A" by Moody's and S&P
(and unrated securities of comparable quality as determined by Wellington
Management), preferred stocks, convertible securities (including those issued in
the Euromarket) and securities carrying warrants to purchase equity securities,
privately placed debt securities, asset-backed securities and privately issued
mortgage securities. At least 65% of the Investment Quality Bond Trust's assets
will be invested in bonds and debentures.
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In pursuing its investment objective, the Investment Quality Bond Trust
may invest up to 20% of its assets in domestic and foreign high yield (high
risk) corporate and government debt securities, commonly known as "junk bonds"
(i.e., rated "Ba" or below by Moody's or "BB" or below by S&P, or if unrated, of
comparable quality as determined by Wellington Management). The high yield
sovereign debt securities in which the portfolio will invest are described above
under "Strategic Bond Trust." No minimum rating standard is required for a
purchase by the Portfolio. Domestic and foreign high yield debt securities
involve comparatively greater risks, including price volatility and risk of
default in the payment of interest and principal, than higher-quality
securities. See "RISK FACTORS -- High Yield (High Risk) Securities and "Foreign
Sovereign Debt Securities."
The Investment Quality Bond Trust may also invest in debt securities
carrying the fourth highest quality rating ("Baa" by Moody's or "BBB" by S&P)
and unrated securities of comparable quality as determined by Wellington
Management. While such securities are considered as investment grade and are
viewed to have adequate capacity for payment of principal and interest,
investments in such securities involve a higher degree of risk than that
associated with investments in debt securities in the higher rating categories
and such bonds lack outstanding investment characteristics and in fact have
speculative characteristics as well. For example, changes in economic conditions
or other circumstances are more likely to lead to a weakened capacity to make
principal and interest payments than is the case with higher grade bonds. While
the Investment Quality Bond Trust may only invest up to 20% of its assets in
bonds rated below "Baa" by Moody's or "BBB" by S&P (or, if unrated, of
comparable quality as determined by Wellington Management) at the time of
investment, it is not required to dispose of bonds owned that may be downgraded
causing the portfolio to exceed this 20% maximum.
Use of Hedging and Other Strategic Transactions
The Investment Quality Bond Trust is currently authorized to use all of
the various investment strategies referred to under "Hedging and Other Strategic
Transactions." The Statement of Additional Information contains a description of
these strategies and of certain risks associated therewith . The Investment
Quality Bond Trust will be subject to certain risks as a result of its ability
to invest up to 20% of its assets in foreign securities. These risks are
described under the caption "Foreign Securities" in this Prospectus. Moreover,
substantial investments in foreign securities may have adverse tax implications
as described under "Taxes" in this Prospectus.
U.S. GOVERNMENT SECURITIES TRUST
The investment objective of the U.S. Government Securities Trust is to
obtain a high level of current income consistent with preservation of capital
and maintenance of liquidity. SBAM manages the U.S. Government Securities Trust
and seeks to attain its objective by investing a substantial portion of its
assets 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. The portfolio may also invest a portion of its assets in the types
of securities in which the Investment Quality Bond Trust may invest.
At least 80% of the total assets of the U.S. Government Securities
Trust will be invested in:
(1) mortgage backed securities guaranteed by the Government National
Mortgage Association that are supported by the full faith and credit of
the U.S. Government and which are the "modified pass-through" type of
mortgage backed security ("GNMA Certificates"). Such securities entitle
the holder to receive all interest and principal payments due whether
or not payments are actually made on the underlying mortgages;
(2) U.S. Treasury obligations;
(3) obligations issued or guaranteed by agencies or instrumentalities of
the U.S. Government which are backed by their own credit and may not be
backed by the full faith and credit of the U.S. Government;
(4) mortgage backed securities guaranteed by agencies or instrumentalities
of the U.S. Government which are supported by their own credit but not
the full faith and credit of the U.S. Government, such as the Federal
Home Loan Mortgage Corporation and the Federal National Mortgage
Association; and
(5) collateralized mortgage obligations issued by private issuers for which
the underlying mortgage backed securities serving as collateral are
backed (i) by the credit alone of the U.S. Government agency or
instrumentality which issues or guarantees the mortgage backed
securities, or (ii) by the full faith and credit of the U.S.
Government.
The mortgage backed securities in which the U.S. Government Securities
Trust invests represent participating interests in pools of residential mortgage
loans which are guaranteed by the U.S. Government, its agencies or
instrumentalities. However, the guarantee of these types of securities runs only
to the principal and interest payments and not to the market value of such
securities. In addition, the guarantee only runs to the portfolio securities
held by the U.S. Government Securities Trust and not the purchase of shares of
the portfolio.
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Mortgage backed securities are issued by lenders such as mortgage
bankers, commercial banks, and savings and loan associations. Such securities
differ from conventional debt securities which provide for periodic payment of
interest in fixed amounts (usually semiannually) with principal payments at
maturity or specified call dates. Mortgage backed securities provide monthly
payments which are, in effect, a "pass-through" of the monthly interest and
principal payments (including any prepayments) made by the individual borrowers
on the pooled mortgage loans. Principal prepayments result from the sale of the
underlying property or the refinancing or foreclosure of underlying mortgages.
The yield of mortgage-backed securities is based on the average life of
the underlying pool of mortgage loans, which is computed on the basis of the
maturities of the underlying instruments. The actual life of any particular pool
may be shortened by unscheduled or early payments of principal and interest. The
occurrence of prepayments is affected by a wide range of economic, demographic
and social factors and, accordingly, it is not possible to accurately predict
the average life of a particular pool. For pools of fixed rate 30-year
mortgages, it has been common practice to assume that prepayments will result in
a 12-year average life. The actual prepayment experience of a pool of mortgage
loans may cause the yield realized by the U.S. Government Securities Trust to
differ from the yield calculated on the basis of the average life of the pool.
In addition, if any of these mortgage backed securities are purchased at a
premium, the premium may be lost in the event of early prepayment which may
result in a loss to the portfolio.
Prepayments tend to increase during periods of falling interest rates,
while during periods of rising interest rates prepayments will most likely
decline. Reinvestment by the U.S. Government Securities Trust of scheduled
principal payments and unscheduled prepayments may occur at higher or lower
rates than the original investment, thus affecting the yield of this portfolio.
Monthly interest payments received by the portfolio have a compounding effect
which will increase the yield to shareholders as compared to debt obligations
that pay interest semiannually. Because of the reinvestment of prepayments of
principal at current rates, mortgage-backed securities may be less effective
than Treasury bonds of similar maturity at maintaining yields during periods of
declining interest rates. Also, although the value of debt securities may
increase as interest rates decline, the value of these pass-through type of
securities may not increase as much due to the prepayment feature.
The U.S. Government Securities Trust must comply with diversification
requirements established pursuant to the Internal Revenue Code for investments
of separate accounts funding contracts. Under these requirements, no more than
55% of the value of the assets of a portfolio may be represented by any one
investment; no more than 70% by any two investments; no more than 80% by any
three investments; and no more than 90% by any four investments. For these
purposes, all securities of the same issuer are treated as a single investment
and each United States government agency or instrumentality is treated as a
separate issuer. As a result of these requirements, the U.S. Government
Securities Trust may not invest more than 55% of the value of its assets in GNMA
Certificates or in securities issued or guaranteed by any other single United
States government agency or instrumentality. See the discussion under "Taxes"
below for additional information.
Use of Hedging and Other Strategic Transactions
The U.S. Government Securities Trust is currently authorized to use
only certain of the various investment strategies referred to under "Hedging and
Other Strategic Transactions." Specifically, the U.S. Government Securities
Trust may write covered call options and put options on securities and purchase
call and put options on securities, write covered call and put options on
securities indices and purchase call and put options on securities indices, and,
may enter into futures contracts on financial instruments and indices and write
and purchase put and call options on such futures contracts. It is not presently
anticipated that any of these strategies will be used to a significant degree by
the portfolio. The Statement of Additional Information contains a description of
these strategies and of certain risks associated therewith.
MONEY MARKET TRUST
The investment objective of the Money Market Trust is to obtain maximum
current income consistent with preservation of principal and liquidity.
Wellington Management manages the Money Market Trust and seeks to achieve this
objective by investing in high quality, U.S. dollar denominated money market
instruments of the following types:
(1) obligations issued or guaranteed as to principal and interest by the
United States Government, or any agency or authority controlled or
supervised by and acting as an instrumentality of the U.S. Government
pursuant to authority granted by Congress (hereinafter "U.S. Government
securities"), or obligations of foreign governments including those
issued or guaranteed as to principal or interest by the Government of
Canada, the government of any province of Canada, or any Canadian or
provincial Crown agency (any foreign obligation acquired by the Trust
will be payable in U.S. dollars);
(2) certificates of deposit, bank notes, time deposits, Eurodollars, Yankee
obligations and bankers' acceptances of U.S. banks, foreign branches of
U.S. banks, foreign banks and U.S. savings and loan associations which
at the date of investment have capital, surplus and undivided profits
as of the date of their most recent published financial statements in
excess of $100,000,000 (or less than $100,000 if the principal amount
of such bank obligations is insured by the Federal Deposit Insurance
Corporation or the Saving Association Insurance Fund);
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(3) commercial paper which at the date of investment is rated (or
guaranteed by a company whose commercial paper is rated) within the two
highest rating categories by any nationally recognized statistical
rating organization ("NRSRO") (such as "P-1" or "P-2" by Moody's or
"A-1" or "A-2" by S&P) or, if not rated,is issued by a company which
Wellington Management acting pursuant to guidelines established by the
Trustees, has determined to be of minimal credit risk and comparable
quality;
(4) corporate obligations maturing in 397 days or less which at the date of
investment are rated within the two highest rating categories by any
NRSRO (such as "Aa" or higher by Moody's or "AA" or higher by S&P); and
(5) short-term obligations issued by state and local governmental issuers;
(6) securities that have been structured to be eligible money market
instruments such as participation interests in special purpose trusts
that meet the quality and maturity requirements in whole or in part due
to arrangements for credit enhancement or for shortening effective
maturity; and
(7) repurchase agreements with respect to any of the foregoing obligations.
Commerical paper may include variable amount master demand notes, which
are obligations that permit investment of fluctuating amounts at varying rates
of interest. Such notes are direct lending arrangements between the Money Market
Trust and the note issuer, and Wellington Management will monitor the
creditworthiness of the issuer and its earning power and cash flow, and will
also consider situations in which all holders of such notes would redeem at the
same time. Variable amount master demand notes are redeemable on demand.
All of the Money Market Trust's investments will mature in 397 days or
less and the portfolio will maintain a dollar-weighted average portfolio
maturity of 90 days or less. By limiting the maturity of its investments, the
Money Market Trust seeks to lessen the changes in the value of its assets caused
by fluctuations in short-term interest rates. In addition, the Money Market
Trust will invest only in securities the Trustees determine to present minimal
credit risks and which at the time of purchase are "eligible securities" as
defined by Rule 2a-7 under the Investment Company Act of 1940. The Money Market
Trust also intends to maintain, to the extent practicable, a constant per share
net asset value of $10.00, but there is no assurance that it will be able to do
so.
The Money Market Fund will be subject to certain risks as a result of
its ability to invest up to 20% of its assets in foreign securities. These risks
are described under "RISK FACTORS - Foreign Securities."
Use of Hedging and Other Strategic Transactions
The Money Market Trust is not authorized to use any of the various
investment strategies referred to under "Hedging and Other Strategic
Transactions."
AUTOMATIC ASSET ALLOCATION TRUSTS
There are three Automatic Asset Allocation Trusts - Aggressive,
Moderate and Conservative. The investment objective of each of the Automatic
Asset Allocation Trusts is to obtain the highest potential total return
consistent with a specified level of risk tolerance -- aggressive, moderate and
conservative. The Automatic Asset Allocation Trusts are designed for:
* The investor who wants to maximize total return potential, but lacks
the time, temperament or expertise to do so effectively;
* The investor who does not want to monitor the financial markets in
order to make periodic exchanges among portfolios;
* The investor who wants the opportunity to improve on the return of an
income-oriented investment program, but wants to take advantage of the
risk management features of an asset allocation program; and
* Retirement program fiduciaries who have a responsibility to limit risk
in a meaningful way, while seeking the highest potential total return.
Each of the Automatic Asset Allocation Trusts may invest in a
combination of equity, fixed-income and money market securities. The amount of
each portfolio's assets invested in each category of securities is dependent
upon the judgment of FMTC as to what percentages of each portfolio's assets in
each category will contribute to the limitation of risk and the achievement of
its investment objective. Unlike many asset allocation and timing services
offered by competitors, the Automatic Asset Allocation Trusts permit FMTC to
reallocate each portfolio's assets among the categories of securities
"automatically," without a delay for a request or response by the shareholder,
whenever, in the subadviser's judgment, market or economic changes warrant such
a reallocation. FMTC reserves complete discretion to determine the allocations
among the categories of securities.
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The investor chooses an Automatic Asset Allocation Trust by determining
which risk tolerance level most closely corresponds to the investor's individual
planning needs, objectives and comfort. Generally, the higher the portfolio's
level of risk tolerance, the higher is the expected total return for the
portfolio over the long-term and under favorable market conditions. Over the
long-term, it is expected that the total return of the Aggressive Asset
Allocation Trust will exceed that of the Moderate Asset Allocation Trust and
that the total return of the Moderate Asset Allocation Trust will exceed that of
the Conservative Asset Allocation Trust, although there is no assurance that
this will be the case. Moreover, as a general matter, the higher the risk
tolerance of a portfolio, the greater is the expected volatility of the
portfolio. In adverse market conditions, it is expected that the losses will be
greater in the Aggressive Asset Allocation Trust than in the Moderate Asset
Allocation Trust and greater in the Moderate Asset Allocation Trust than in the
Conservative Asset Allocation Trust, although again there is no assurance that
this will be the case.
FMTC attempts to limit the maximum amount of decline in value each
portfolio incurs under very adverse market conditions, to define the level of
risk tolerance -- aggressive, moderate or conservative. Very adverse market
conditions are defined as a substantial increase in long-term interest rates
accompanied by a similarly substantial decline in one or more commonly-followed
stock market indices over a twelve month period. Of course, FMTC cannot predict
with certainty when adverse market conditions will arise. Consequently, FMTC
must manage each of the Automatic Asset Allocation Trusts under all market
conditions with a view toward limiting risk and portfolio decline should very
adverse market conditions arise. For example, since the Conservative Asset
Allocation Trust has the lowest risk tolerance level, its assets under all
market conditions will be invested less aggressively (i.e., with greater
emphasis on fixed-income securities and money market instruments) than those of
the other Automatic Asset Allocation Trusts. In addition, when market conditions
deteriorate (the probability of very adverse market conditions rises), FMTC will
give greater emphasis to fixed-income securities and money market instruments in
an effort to limit overall declines in portfolio value.
An investor should select an Automatic Asset Allocation Trust depending
on his or her objective in terms of balancing the potential long-term total
returns of a portfolio against limiting risk and portfolio declines in very
adverse market conditions. There can be no assurance that actual declines in
portfolio value will not exceed the percentage limitations set forth below in
the description of each portfolio.
THE AGGRESSIVE ASSET ALLOCATION TRUST
The investment objective of the Aggressive Asset Allocation Trust is to
seek the highest total return consistent with an aggressive level of risk
tolerance. This Trust attempts to limit the decline in portfolio value in very
adverse market conditions to 15% in any twelve month period. This Trust will
tend to invest a greater portion of its assets in equity and foreign securities
than the Moderate and Conservative Asset Allocation Trusts and a lower
percentage of its assets in fixed-income securities and money market instruments
than such Trusts. FMTC will invest the Aggressive Asset Allocation Trust's
assets to attempt to produce a total return competitive with that of equity
funds, while at the same time exposing the Trust's assets to less risk than the
typical aggressive equity fund by allocating a portion of the portfolio's assets
to fixed-income securities and money market instruments. There can be no
assurance that FMTC will be able to attain this objective.
THE MODERATE ASSET ALLOCATION TRUST
The investment objective of the Moderate Asset Allocation Trust is to
seek the highest total return consistent with a moderate 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. The amount of the
Moderate Asset Allocation Trust's assets invested in each category of securities
will depend on the judgment of FMTC as to what relative portions of the
portfolio's assets in each category will contribute to the achievement of its
objective. Generally, it will place greater emphasis on equity and foreign
securities than the Conservative Asset Allocation Trust but more emphasis on
fixed-income securities and money market instruments than the Aggressive Asset
Allocation Trust. FMTC will invest the Moderate Asset Allocation Trust's assets
to attempt to give the portfolio a substantial participation in favorable equity
and bond markets, although the expected total return will not necessarily exceed
the best returns available from either of those markets.
THE CONSERVATIVE ASSET ALLOCATION TRUST
The investment objective of the Conservative Asset Allocation Trust is
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. This Trust will
tend to invest a greater portion of its assets in fixed-income securities and
money market instruments than the Moderate and Aggressive Asset Allocation
Trusts and a lower percentage of its assets in equity and foreign securities
than such Trusts. FMTC will attempt to invest the Conservative Asset Allocation
Trust's assets in order to produce a higher total return than that which is
available from a bond or a money market portfolio alone, although there can be
no assurance that FMTC will be able to attain this objective.
The types and characteristics of equity securities to be purchased by
the Automatic Asset Allocation Trusts are set forth above in the discussion of
investment objectives and policies for the Equity Trust; the types and
characteristics of the fixed-income securities to be purchased are set forth in
the discussion of investment objectives and policies for the Investment Quality
Bond (the Automatic Asset Allocation Trusts may not invest in below investment
grade securities except as noted below) and U.S. Government Securities Trusts;
and
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the types and characteristics of the money market securities to be purchased are
set forth in the discussion of investment objectives of the Money Market Trust.
Potential investors should review the discussion therein in considering an
investment in shares of the Automatic Asset Allocation Trusts.
The Aggressive Asset Allocation Trust and the Moderate Asset Allocation
Trust may each invest up to 10% of their assets in domestic and foreign high
yield corporate and government debt securities, commonly known as "junk bonds"
(i.e., rated "Ba" or below by Moody's or "BB" or below by S & P, or if unrated,
of comparable quality as determied by FMTC. Domestic and foreign high yield debt
securities involve comparatively greater risks, including price volatility and
risk of default in the payment of interest and principal, than higher quality
securities. See "RISK FACTORS -- High Yield (High Risk) Securities" for further
information.
Use of Hedging and Other Strategic Transactions
The Automatic Asset Allocation Trusts are currently authorized to use
all of the various investment strategies referred to under "Hedging and Other
Strategic Transactions." The Statement of Additional Information contains a
description of these strategies and of certain risks associated therewith. The
Aggressive Asset Allocation Trust may invest up to 35% of its assets, the
Moderate Asset Allocation Trust may invest up to 25% of its assets and the
Conservative Allocation Trust may invest up to 15% of its assets in securities
issued by foreign entities and/or denominated in foreign currencies. The
Automatic Asset Allocation Trusts will be subject to certain risks as a result
of their ability to invest in foreign securities. These risks are described
under the caption "Foreign Securities" in this Prospectus. Moreover, substantial
investments in foreign securities may have adverse tax implications as described
under "Taxes" in this Prospectus. In order to comply with limitations imposed by
the State of California Insurance Department, the Aggressive and Moderate Asset
Allocation Trusts will comply with the restrictions regarding foreign
investments set forth under "Risk Factors - Additional Investment Restrictions
on Borrowing and Foreign Investing."
The portfolio turnover rate of each of the Trust's portfolios may vary
from year to year, as well as within a year. Higher portfolio turnover rates can
result in corresponding increases in portfolio transaction costs for a
portfolio. See "Portfolio Turnover" in the Statement of Additional Information.
RISK FACTORS
INVESTMENT RESTRICTIONS GENERALLY
The Trust is subject to a number of restrictions in pursuing its
investment objectives and policies. The following is a brief summary of certain
restrictions that may be of interest to contract owners. Some of these
restrictions are subject to exceptions not stated here. Such exceptions and a
complete list of the investment restrictions applicable to the individual
portfolios and to the Trust are set forth in the Statement of Additional
Information under the caption "Investment Restrictions."
Except for the restrictions specifically identified as fundamental, all
investment restrictions described in this Prospectus and in the Statement of
Additional Information are not fundamental, so that the Trustees of the Trust
may change them without shareholder approval. Fundamental policies may not be
changed without the affirmative vote of a majority of the outstanding voting
securities.
Fundamental policies applicable to all portfolios include prohibitions
on (i) investing more than 25% of the total assets of any portfolio in the
securities of issuers having their principal activities in any particular
industry (with exceptions for U.S. Government securities and certain other
obligations) and (ii) borrowing money, except for temporary or emergency
purposes (but not for leveraging)and then not in excess of 33 1/3% of the value
of the total assets of the portfolio at the time the borrowing is made. In
addition, each portfolio may borrow in connection with reverse repurchase
agreements, mortgage dollar rolls and other similar transactions. Reverse
repurchase agreements and mortgage dollar rolls may be considered a form of
borrowing and will be treated as a borrowing for purposes of the restriction on
borrowing in excess of 33 1/3% of the value of the total assets of a portfolio.
A portfolio will not purchase securities while borrowings (other than reverse
repurchase agreements, mortgage dollar rolls and similiar transactions) exceed
5% of total assets. In addition, each of the portfolios except the Global
Government Bond Trust is prohibited from purchasing securities of any issuer if
the purchase would cause more than 5% of the value of a portfolio's total assets
to be invested in the securities of any one issuer (excluding U.S. Government
securities and bank obligations) or cause more than 10% of the voting securities
of the issuer to be held by a portfolio, except that up to 25% of the value of
each portfolio's total assets (except the Money Market Trust) may be invested
without regard to this restriction.
Restrictions that apply to all portfolios and that are not fundamental
include prohibitions on (i) knowingly investing more than 15% of the net assets
of any portfolio in "illiquid" securities (including repurchase agreements
maturing in more than seven days but excluding master demand notes), (ii)
pledging, hypothecating, mortgaging or transferring more than 10% of the total
assets of any portfolio as security for indebtedness, and (iii) purchasing
securities of other investment companies, other than in connection with a
merger, consolidation or reorganization, if the purchase would cause more than
10% of the value of a portfolio's total assets to be invested in investment
company securities. The percentage restriction in clause (i) of the preceding
sentence, however, is 10% in the case of the Money Market Trust.
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Finally, the Money Market Trust is subject to certain restrictions
required by Rule 2a-7 under the Investment Company Act of 1940. In order to
comply with such restrictions, the Money Market Trust will, inter alia, not
purchase the securities of any issuer if it would cause (i) more than 5% of its
total assets to be invested in the securities of any one issuer (excluding U.S.
Government securities and repurchase agreements fully collateralized by U.S.
Government securities), except as permitted by the Rule for certain securities
for a period of up to three business days after purchase, (ii) more than 5% of
its total assets to be invested in "second tier securities," as defined by the
Rule, or (iii) more than the greater of $1 million or 1% of its total net assets
to be invested in the second tier securities of that issuer.
There are also diversification and other requirements for all of the
portfolios imposed by the federal tax laws, as described under "Taxes" in this
Prospectus.
The following is a description of certain investment policies subject
to investment restrictions that may be of particular interest to contract
owners.
ADDITIONAL INVESTMENT RESTRICTIONS ON BORROWING AND FOREIGN INVESTING
In order to comply with limitations imposed by the State of California
Insurance Department, each Trust will comply with the following restrictions on
borrowing and each Trust that invests in foreign securities will comply with the
following restrictions regarding foreign investments. These restrictions are
nonfundamental and may be changed without shareholder approval.
Borrowing. Each portfolio of the Trust will not borrow money except
that each portfolio may borrow in an amount (i) up to 25% of the portfolio's net
assets for temporary purposes to facilitate redemptions (not for leveraging) and
(ii) up to 10% of the portfolio's net assets in connection with reverse
repurchase agreements, mortgage dollar rolls and other similar transactions.
This limitation is more restrictive than the Trust's fundamental restriction on
borrowing.
Foreign Securities. Each portfolio of the Trust that invests in foreign
securities will comply with the following restrictions:
(i) A portfolio will be invested in a minimum of five different foreign
countries at all times. However, this minimum is reduced to four when foreign
country investments comprise less than 80% of the portfolio's net asset value;
to three when less than 60% of such value; to two when less than 40%; and to one
when less than 20%.
(ii) Except as set forth in items (iii) and (iv) below, a portfolio will have no
more than 20% of its net asset value invested in securities of issuers located
in any one country.
(iii) A portfolio may have an additional 15% of its net asset value invested in
securities of issuers located in any one of the following countries (to the
extent such investment is consistent with the investment policies of the
portfolio): Australia, Canada, France, Japan, the United Kingdom or West
Germany.
(iv) A portfolio's investments in United States issuers are not subject to these
foreign country diversification restrictions.
HIGH YIELD (HIGH RISK) SECURITIES
GENERAL. The Strategic Bond Trust may invest without limitation, and
the Investment Quality Bond Trust may invest up to 20% of its assets, in "high
yield" (high risk) securities. The International Small Cap Trust may also invest
in "high yield" (high risk) securities to the extent described above under the
description of the portfolio. Securities rated below investment grade and
comparable unrated securities offer yields that fluctuate over time, but
generally are superior to the yields offered by higher rated securities.
However, securities rated below investment grade also involve greater risks than
higher rated securities. Under rating agency guidelines, medium- and lower-rated
securities and comparable unrated securities will likely have some quality and
protective characteristics that are outweighed by large uncertainties or major
risk exposures to adverse conditions. Certain of the debt securities in which
the portfolios may invest may have, or be considered comparable to securities
having, the lowest ratings for non-subordinated debt instruments assigned by
Moody's or S&P (i.e., rated C by Moody's or CCC or lower by S&P). These
securities are considered to have extremely poor prospects of ever attaining any
real investment standing, to have a current identifiable vulnerability to
default, to be unlikely to have the capacity to pay interest and repay principal
when due in the event of adverse business, financial or economic conditions,
and/or to be in default or not current in the payment of interest or principal.
Such securities are considered speculative with respect to the issuer's capacity
to pay interest and repay principal in accordance with the terms of the
obligations. Accordingly, it is possible that these types of factors could, in
certain instances, reduce the value of
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securities held by the portfolio with a commensurate effect on the value of the
portfolio's shares. Because the Strategic Bond Trust may invest without
limitation in high yield debt securities, an investment in that portfolio should
not be considered as a complete investment program for all investors.
Because the Strategic Bond and Investment Quality Bond Trusts will
invest primarily in fixed-income securities, the net asset value of each
portfolio's shares can be expected to change as general levels of interest rates
fluctuate, although the market values of securities rated below investment grade
and comparable unrated securities tend to react less to fluctuations in interest
rate levels than do those of higher- rated securities. Except to the extent that
values are affected independently by other factors such as developments relating
to a specific issuer, when interest rates decline, the value of a fixed-income
portfolio can generally be expected to rise. Conversely, when interest rates
rise, the value of a fixed-income portfolio can generally be expected to
decline.
The secondary markets for high yield corporate and sovereign debt
securities are not as liquid as the secondary markets for higher rated
securities. The secondary markets for high yield debt securities are
concentrated in relatively few market makers and participants in the market are
mostly institutional investors, including insurance companies, banks, other
financial institutions and mutual funds. In addition, the trading volume for
high yield debt securities is generally lower than that for higher-rated
securities and the secondary markets could contract under adverse market or
economic conditions independent of any specific adverse changes in the condition
of a particular issuer. These factors may have an adverse effect on the
Strategic Bond and Investment Quality Bond Trusts' ability to dispose of
particular portfolio investments and may limit the ability of those portfolios
to obtain accurate market quotations for purposes of valuing securities and
calculating net asset value. If the Strategic Bond Trust or the Investment
Quality Bond Trust is not able to obtain precise or accurate market quotations
for a particular security, it will become more difficult for the Board of
Trustees to value that portfolio's investment portfolio and the Trustees may
have to use a greater degree of judgment in making such valuations. Less liquid
secondary markets may also affect a portfolio's ability to sell securities at
their fair value. In addition, each portfolio may invest up to 15% (10% in the
case of the Money Market Trust) of its net assets, measured at the time of
investment, in illiquid securities, which may be more difficult to value and to
sell at fair value. If the secondary markets for high yield debt securities are
affected by adverse economic conditions, the proportion of a portfolio's assets
invested in illiquid securities may increase.
CORPORATE DEBT SECURITIES. While the market values of securities rated
below investment grade and comparable unrated securities tend to react less to
fluctuations in interest rate levels than do those of higher-rated securities,
the market values of certain of these securities also tend to be more sensitive
to individual corporate developments and changes in economic conditions than
higher-rated securities. In addition, such securities generally present a higher
degree of credit risk. Issuers of these securities are often highly leveraged
and may not have more traditional methods of financing available to them, so
that their ability to service their debt obligations during an economic downturn
or during sustained periods of rising interest rates may be impaired. The risk
of loss due to default by such issuers is significantly greater than with
investment grade securities because such securities generally are unsecured and
frequently are subordinated to the prior payment of senior indebtedness.
FOREIGN SOVEREIGN DEBT SECURITIES. Investing in foreign sovereign debt
securities will expose the Strategic Bond and Investment Quality Bond Trusts to
the direct or indirect consequences of political, social or economic changes in
the developing and emerging countries that issue the securities. The ability and
willingness of sovereign obligors in developing and emerging countries or the
governmental authorities that control repayment of their external debt to pay
principal and interest on such debt when due may depend on general economic and
political conditions within the relevant country. Countries such as those in
which these portfolios may invest have historically experienced, and may
continue to experience, high rates of inflation, high interest rates, exchange
rate trade difficulties and extreme poverty and unemployment. Many of these
countries are also characterized by political uncertainty or instability.
Additional factors which may influence the ability or willingness to service
debt include, but are not limited to, a country's cash flow situation, the
availability of sufficient foreign exchange on the date a payment is due, the
relative size of its debt service burden to the economy as a whole, and its
government's policy towards the International Monetary Fund, the World Bank and
other international agencies.
The ability of a foreign sovereign obligor to make timely payments on
its external debt obligations will also be strongly influenced by the obligor's
balance of payments, including export performance, its access to international
credits and investments, fluctuations in interest rates and the extent of its
foreign reserves. A country whose exports are concentrated in a few commodities
or whose economy depends on certain strategic imports could be vulnerable to
fluctuations in international prices of these commodities or imports. To the
extent that a country receives payment for its exports in currencies other than
dollars, its ability to make debt payments denominated in dollars could be
adversely affected. If a foreign sovereign obligor cannot generate sufficient
earnings form foreign trade to service its external debt, it may need to depend
on continuing loans and aid from foreign governments, commercial banks, and
multilateral organizations, and inflows of foreign investment. The commitment on
the part of these foreign governments, multilateral organizations and others to
make such disbursements may be conditioned on the government's implementation of
economic reforms and/or economic performance and the timely service of its
obligations. Failure to implement such reforms, achieve such levels of economic
performance or repay principal or interest when due may result in the
cancellation of such third parties' commitments to lend funds, which may further
impair the obligor's ability or willingness to timely service its debts. The
cost of servicing external debt will also generally be adversely affected by
rising international interest rates, because many external debt obligations bear
interest at rates which are adjusted based upon international interest rates.
The ability to service external debt will also depend on the level of the
relevant government's international currency reserves and its access to
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foreign exchange. Currency devaluations may affect the ability of a sovereign
obligor to obtain sufficient foreign exchange to service its external debt.
As a result of the foregoing, a governmental obligor may default on its
obligations. If such an event occurs, the Strategic Bond or Investment Quality
Bond Trust may have limited legal recourse against the issuer and/or guarantor.
Remedies must, in some cases, be pursued in the courts of the defaulting party
itself, and the ability of the holder of foreign sovereign debt securities to
obtain recourse may be subject to the political climate in the relevant country.
In addition, no assurance can be given that the holders of commercial bank debt
will not contest payments to the holders of other foreign sovereign debt
obligations in the event of default under their commercial bank loan agreements.
Sovereign obligors in developing and emerging countries are among the
world's largest debtors to commercial banks, other governments, international
financial organizations and other financial institutions. These obligors have in
the past experienced substantial difficulties in servicing their external debt
obligations, which led to defaults on certain obligations and the restructuring
of certain indebtedness. Restructuring arrangements have included, among other
things, reducing and rescheduling interest and principal payments by negotiating
new or amended credit agreements or converting outstanding principal and unpaid
interest to Brady Bonds, and obtaining new credit to finance interest payments.
Holders of certain foreign sovereign debt securities may be requested to
participate in the restructuring of such obligations and to extend further loans
to their issuers. There can be no assurance that the Brady Bonds and other
foreign sovereign debt securities in which the portfolios may invest will not be
subject to similar restructuring arrangements or to requests for new credit
which may adversely affect the portfolio's holdings. Furthermore, certain
participants in the secondary market for such debt may be directly involved in
negotiating the terms of these arrangements and may therefore have access to
information not available to other market participants.
In addition to high yield foreign sovereign debt securities, the
Strategic Bond and Investment Quality Bond Trusts may also invest in investment
grade foreign securities. For a discussion of such securities and their
associated risks, see "Foreign Securities" below.
FOREIGN SECURITIES
Each of the portfolios, other than the U.S. Government Securities
Trust, may invest in securities of foreign issuers. Such foreign securities may
be denominated in foreign currencies, except with respect to the Money Market
Trust which may only invest in U.S. dollar- denominated securities of foreign
issuers. The International Small Cap, Global Equity, Global Government Bond,
International Growth and Income and Strategic Bond Trusts may each, without
limitation, invest up to 100% of its assets in securities issued by foreign
entities and/or denominated in foreign currencies. The Aggressive Asset
Allocation Trust may invest up to 35% of its assets, the Moderate Asset
Allocation Trust up to 25% of its assets, the Conservative Asset Allocation
Trust up to 15% of its assets, and each of the other portfolios other than the
U.S. Government Securities Trust up to 20% of its assets in such securities. (In
the case of the Small/Mid Cap Trust, ADRs and U.S. dollar denominated securities
are not included in this 20% limitation.)
Securities of foreign issuers include obligations of foreign branches
of U.S. banks and of foreign banks, common and preferred stocks, debt securities
issued by foreign governments, corporations and supranational organizations, and
American Depository Receipts, European Depository Receipts and Global Depository
Receipts ("ADRs", "EDRs" and "GDRs"). ADRs are U.S. dollar-denominated
securities backed by foreign securities deposited in a U.S. securities
depository. ADRs are created for trading in the U.S. markets. The value of an
ADR will fluctuate with the value of the underlying security, reflect any
changes in exchange rates and otherwise involve risks associated with investing
in foreign securities. ADRs in which the portfolios may invest may be sponsored
or unsponsored. There may be less information available about foreign issuers of
unsponsored ADRs. Each of the portfolios, except for the International Small
Cap, Global Equity, International Growth and Income, Global Government Bond and
Strategic Bond Trusts, anticipates that its foreign investments will consist
primarily of ADRs that are regularly traded on recognized U.S. exchanges or in
the U.S. "over-the-counter" market.
Securities of foreign issuers also include EDRs and GDRs, which are
receipts evidencing an arrangement with a non-U.S. bank similar to that for ADRs
and are designed for use in non-U.S. securities markets. EDRs and GDRs are not
necessarily quoted in the same currency as the underlying security.
Foreign securities may be subject to foreign government taxes which
reduce their attractiveness. See "Taxes." In addition, investing in securities
denominated in foreign currencies and in the securities of foreign issuers,
particularly non-governmental issuers, involves risks which are not ordinarily
associated with investing in domestic issuers. These risks include political or
economic instability in the country involved and the possibility of imposition
of currency controls. Since certain portfolios may invest in securities
denominated or quoted in currencies other than the United States dollar, changes
in foreign currency exchange rates may affect the value of investments in the
portfolio and the unrealized appreciation or depreciation of investments insofar
as United States investors are concerned. Foreign currency exchange rates are
determined by forces of supply and demand on the foreign exchange markets. These
forces are, in turn, affected by the international balance of payments and other
economic and financial conditions, government intervention, speculation and
other factors. The portfolios may incur transaction charges in exchanging
foreign currencies.
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There may be less publicly available information about a foreign issuer
than about a domestic issuer. Foreign issuers, including foreign branches of
U.S. banks, are subject to different accounting and reporting requirements which
are generally less extensive than the requirements applicable to domestic
issuers. Foreign stock markets (other than Japan) have substantially less volume
than the United States exchanges and securities of foreign issuers are generally
less liquid and more volatile than those of comparable domestic issuers. There
is frequently less governmental regulation of exchanges, broker-dealers and
issuers than in the United States, and brokerage costs may be higher. In
addition, investments in foreign companies may be subject to the possibility of
nationalization, withholding of dividends at the source, expropriation or
confiscatory taxation, currency blockage, political or economic instability or
diplomatic developments that could adversely affect the value of those
investments. Finally, in the event of a default on any foreign obligation, it
may be difficult for the Trust to obtain or to enforce a judgment against the
issuer.
Foreign markets, especially emerging markets, may have different
clearance and settlement procedures, and in certain markets there have been
times when settlements have been unable to keep pace with the volume of
securities transactions, making it difficult to conduct such transactions.
Delays in settlement could result in temporary periods when a portion of the
assets of a portfolio is uninvested and no return is earned thereon. The
inability of a portfolio to make intended security purchases due to settlement
problems could cause the portfolio to miss attractive investment opportunities.
Inability to dispose of portfolio securities due to settlement problems could
result in losses to a portfolio due to subsequent declines in values of the
portfolio securities or, if the portfolio has entered into a contract to sell
the security, possible liability to the purchaser. Certain foreign markets,
especially emerging markets, may require governmental approval for the
repatriation of investment income, capital or the proceeds of sales of
securities by foreign investors. A portfolio could be adversely affected by
delays in, or a refusal to grant, any required governmental approval for
repatriation of capital, as well as by the application to the portfolio of any
restrictions on investments.
In addition to the foreign securities listed above, the Strategic Bond
and Investment Quality Bond Trusts may also invest in foreign sovereign debt
securities, which involve certain additional risks. See "Risk Factors--High
Yield (High Yield) Securities--Foreign Sovereign Debt Securities" above.
WARRANTS
Subject to certain restrictions, each of the Portfolios except the
Money Market Trust may purchase warrants, including warrants traded
independently of the underlying securities.
LENDING SECURITIES
Each portfolio may lend its securities so long as such loans do not
represent in excess of 33 1/3% of a portfolio's total assets. This is a
fundamental policy. The procedure for lending securities is for the borrower to
give the lending portfolio collateral consisting of cash, cash equivalents or
securities issued or guaranteed by the U.S. government or its agencies or
instrumentalities. The lending portfolio may invest the cash collateral and earn
additional income or receive an agreed upon fee from a borrower which has
delivered cash equivalent collateral. The Trust anticipates that its securities
will be loaned only under the following conditions: (1) the borrower must
furnish collateral equal at all times to the market value of the securities
loaned and the borrower must agree to increase the collateral on a daily basis
if the securities increase in value; (2) the loan will be made in accordance
with New York Stock Exchange rules, which presently require the borrower, after
notice, to redeliver the securities within five business days; and (3) the
portfolio making the loan may pay reasonable service, placement, custodian or
other fees in connection with loans of securities and share a portion of the
interest from these investments with the borrower of the securities. As with
other extensions of credit there are risks of delay in recovery or even loss of
rights in the collateral should the borrower of the securities fail financially.
WHEN-ISSUED SECURITIES ("FORWARD COMMITMENTS")
In order to help ensure the availability of suitable securities, each
of the portfolios may purchase debt securities on a "when-issued" or on a
"forward delivery" basis, which means that the obligations will be delivered to
the portfolio at a future date, which may be a month or more after the date of
commitment (referred to as "forward commitments"). It is expected that, under
normal circumstances, a portfolio purchasing securities on a when-issued or
forward delivery basis will take delivery of the securities, but the portfolio
may sell the securities before the settlement date, if such action is deemed
advisable. In general, a portfolio does not pay for the securities or start
earning interest on them until the obligations are scheduled to be settled, but
it does, in the meantime, record the transaction and reflect the value each day
of the securities in determining its net asset value. At the time delivery is
made, the value of when-issued or forward delivery securities may be more or
less than the transaction price, and the yields then available in the market may
be higher than those obtained in the transaction. While awaiting delivery of the
obligations purchased on such bases, a portfolio will establish a segregated
account consisting of cash or high quality debt securities equal to the amount
of the commitments to purchase when-issued or forward delivery securities. The
availability of liquid assets for this purpose and the effect of asset
segregation on a portfolio's ability to meet its current obligations, to honor
requests for redemption and to have its investment portfolio managed properly
will limit the extent to which the portfolio may purchase when-issued or forward
delivery securities. Except as may be imposed by these factors, there is no
limit on the percent of a portfolio's total assets that may be committed to such
transactions.
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REPURCHASE AGREEMENTS AND REVERSE REPURCHASE AGREEMENTS
Each of the Trust's portfolios may enter into repurchase agreements and
reverse repurchase agreements. Repurchase agreements involve the acquisition by
a portfolio of debt securities subject to an agreement to resell them at an
agreed-upon price. Under a repurchase agreement, at the time the portfolio
acquires a security, it agrees to resell it to the original seller (a financial
institution or broker/dealer which meets the guidelines established by the
Trustees) and must deliver the security (and/or securities that may be added to
or substituted for it under the repurchase agreement) to the original seller on
an agreed-upon date in the future. The repurchase price is in excess of the
purchase price. The arrangement is in economic effect a loan collateralized by
securities.
The Trustees have adopted procedures that establish certain
creditworthiness, asset and collateralization requirements for the
counterparties to a portfolio's repurchase agreements. The Trustees will
regularly monitor the use of repurchase agreements and the Subadvisers will,
pursuant to procedures adopted by the Trustees, continuously monitor the amount
of collateral held with respect to a repurchase transaction so that it equals or
exceeds the amount of the obligation.
A portfolio's risk in a repurchase transaction is limited to the
ability of the seller to pay the agreed-upon sum on the delivery date. In the
event of bankruptcy or other default by the seller, there may be possible delays
and expenses in liquidating the instrument purchased, decline in its value and
loss of interest. Securities subject to repurchase agreements will be valued
every business day and additional collateral will be requested if necessary so
that the value of the collateral is at least equal to the value of the
repurchase obligation, including the interest accrued thereon.
Each portfolio of the Trust may enter into "reverse" repurchase
agreements. Under a reverse repurchase agreement, a portfolio may sell a debt
security and agree to repurchase it at an agreed upon time and at an agreed upon
price. The portfolio retains record ownership of the security and the right to
receive interest and principal payments thereon. At an agreed upon future date,
the portfolio repurchases the security by remitting the proceeds previously
received, plus interest. The difference between the amount the portfolio
receives for the security and the amount it pays on repurchase is deemed to be
payment of interest. The portfolio will maintain in a segregated custodial
account cash, Treasury bills or other U.S. Government securities having an
aggregate value equal to the amount of such commitment to repurchase including
accrued interest, until payment is made. In certain types of agreements, there
is no agreed-upon repurchase date and interest payments are calculated daily,
often based on the prevailing overnight repurchase rate. While a reverse
repurchase agreement may be considered a form of leveraging and may, therefore,
increase fluctuations in a portfolio's net asset value per share, each portfolio
will cover the transaction as described above.
MORTGAGE DOLLAR ROLLS
Each portfolio of the Trust (except the Money Market Trust) may enter
into mortgage dollar rolls. Under a mortgage dollar roll, a portfolio sells
mortgage-backed securities for delivery in the future (generally within 30 days)
and simultaneously contracts to repurchase substantially similar (same type,
coupon and maturity) securities on a specified future date. During the roll
period, the portfolio forgoes principal and interest paid on the mortgage-backed
securities. A portfolio is compensated by the difference between the current
sale price and the lower forward price for the future purchase (often referred
to as the "drop") as well as by the interest earned on the cash proceeds of the
initial sale. A portfolio may also be compensated by receipt of a commitment
fee. A portfolio may only enter into covered rolls. A "covered roll" is a
specific type of dollar roll for which there is an offsetting cash or cash
equivalent security position which matures on or before the forward settlement
date of the dollar roll transaction. Dollar roll transactions involve the risk
that the market value of the securities sold by the portfolio may decline below
the repurchase price of those securities. While a mortgage dollar roll may be
considered a form of leveraging, and may, therefore, increase fluctuations in a
portfolio's net asset value per share, each portfolio will cover the transaction
as described above.
HEDGING AND OTHER STRATEGIC TRANSACTIONS
Individual portfolios may be authorized to use a variety of investment
strategies described below for hedging purposes only, including hedging various
market risks (such as interest rates, currency exchange rates and broad or
specific market movements) and managing the effective maturity or duration of
debt instruments held by the portfolio. The description in this Prospectus of
each portfolio indicates which, if any, of these types of transactions may be
used by the portfolio. Although these strategies are regularly used by some
investment companies and other institutional investors, it is not presently
anticipated that any of these strategies will be used to a significant
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degree by any portfolio unless otherwise specifically indicated in the
description of the portfolio contained in this Prospectus. Limitations on the
portion of a portfolio's assets that may be used in connection with the
investment strategies described below are set out in the Statement of Additional
Information.
Subject to the constraints described above, an individual portfolio may
(if and to the extent so authorized) purchase and sell (or write)
exchange-listed and over-the-counter put and call options on securities,
financial futures contracts and fixed income indices and other financial
instruments, enter into financial futures contracts, enter into interest rate
transactions, and enter into currency transactions (collectively, these
transactions are referred to in this Prospectus as "Hedging and Other Strategic
Transactions"). A portfolio's interest rate transactions may take the form of
swaps, caps, floors and collars, and a portfolio's currency transactions may
take the form of currency forward contracts, currency futures contracts,
currency swaps and options on currencies or currency futures contracts.
Hedging and Other Strategic Transactions may be used to attempt to
protect against possible changes in the market value of securities held or to be
purchased by a portfolio resulting from securities markets or currency exchange
rate fluctuations, to protect a portfolio's unrealized gains in the value of its
securities, to facilitate the sale of those securities for investment purposes,
to manage the effective maturity or duration of a portfolio's securities or to
establish a position in the derivatives markets as a temporary substitute for
purchasing or selling particular securities. A portfolio may use any or all
types of Hedging and Other Strategic Transactions which it is authorized to use
at any time; no particular strategy will dictate the use of one type of
transaction rather than another, as use of any authorized Hedging and Other
Strategic Transaction will be a function of numerous variables, including market
conditions. The ability of a portfolio to utilize Hedging and Other Strategic
Transactions successfully will depend on, in addition to the factors described
above, the subadviser's ability to predict pertinent market movements, which
cannot be assured. These skills are different from those needed to select a
portfolio's securities. None of the portfolios is a "commodity pool" (i.e., a
pooled investment vehicle which trades in commodity futures contracts and
options thereon and the operator of which is registered with the Commodity
Futures Trading Commission (the "CFTC")) and Hedging and Other Strategic
Transactions involving futures contracts and options on futures contracts will
be purchased, sold or entered into only for bona fide hedging, risk management
or appropriate portfolio management purposes and not for speculative purposes.
The use of certain Hedging and Other Strategic Transactions will require that a
portfolio segregate cash, liquid high grade debt obligations or other assets to
the extent a portfolio's obligations are not otherwise "covered" through
ownership of the underlying security, financial instrument or currency. Risks
associated with Hedging and Other Strategic Transactions are described in
"Hedging and Other Strategic Transactions -- Risk Factors" in the Statement of
Additional Information. A detailed discussion of various Hedging and Other
Strategic Transactions, including applicable regulations of the CFTC and the
requirement to segregate assets with respect to these transactions, also appears
in the Statement of Additional Information.
ILLIQUID SECURITIES
Each of the portfolios is precluded from investing in excess of 15% of
its net assets in securities that are not readily marketable, except that the
Money Market Trust may not invest in excess of 10% of its net assets in such
securities. Excluded from the 10% and 15% limitation are securities that are
restricted as to resale but for which a ready market is available pursuant to
exemption provided by Rule 144A adopted pursuant to the Securities Act of 1933
("1933 Act") or other exemptions from the registration requirements of the 1933
Act. Whether securities sold pursuant to Rule 144A are readily marketable for
purposes of the Trust's investment restriction is a determination to be made by
the Subadvisers subject to the Trustees' oversight and for which the Trustees
are ultimately responsible. The Subadvisers will also monitor the liquidity of
Rule 144A securities held by the portfolios for which they are responsible. To
the extent Rule 144A securities held by a portfolio should become illiquid
because of a lack of interest on the part of qualified institutional investors,
the overall liquidity of the portfolio could be adversely affected. In addition,
the Money Market Trust may invest in commercial paper issued in reliance on the
exemption from registration afforded by Section 4(2) of the 1933 Act. Section
4(2) commercial paper is restricted as to the disposition under federal
securities law, and is generally sold to institutional investors, such as the
Trust, who agree that they are purchasing the paper for investment purposes and
not with a view to public distribution. Any resale by the purchaser must be made
in an exempt transaction. Section 4(2) commercial paper is normally resold to
other institutional investors like the Money Market Trust through or with the
assistance of the issuer or investment dealers who make a market in Section 4(2)
commercial paper, thus providing liquidity. The Money Market Trust's subadviser
believes that Section 4(2) commercial paper meets its criteria for liquidity and
is quite liquid. The Money Market Trust intends, therefore, to treat Section
4(2) commercial paper as liquid and not subject to the investment limitation
applicable to illiquid securities. The Money Market Trust's subadviser will
monitor the liquidity of 4(2) commercial paper held by the Money Market Trust,
subject to the Trustees' oversight and for which the Trustees are ultimately
responsible.
MANAGEMENT OF THE TRUST
Under Massachusetts law and the Trust's Declaration of Trust and
By-Laws, the management of the business and affairs of the Trust is the
responsibility of its Trustees. The Trust was originally organized on August 3,
1984 as "NASL Series Fund, Inc." (the "Fund"), a Maryland corporation. Pursuant
to an Agreement and Plan of Reorganization and Liquidation approved at the
Special Meeting of Shareholders held on December 2, 1988, the Fund was
reorganized as a Massachusetts business trust established pursuant to an
Agreement and Declaration of Trust dated September 29, 1988 (the "Declaration of
Trust"). The reorganization became effective on December 31, 1988. At that time,
the assets and liabilities of each of the Fund's separate investment portfolios
were assumed by the corresponding portfolios
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<PAGE> 39
of the Trust and the Trust carried on the business and operations of the Fund
with the same investment management arrangements as were in effect for the Fund
immediately prior to such reorganization.
ADVISORY ARRANGEMENTS
NASL Financial Services, Inc. ("NASL Financial" or, in its capacity as
investment adviser to the Trust the "Adviser"), a Massachusetts corporation
whose principal offices are located at 116 Huntington Avenue, Boston,
Massachusetts 02116, is a wholly-owned subsidiary of Security Life the
controlling ultimate parent of which is The Manufacturers Life Insurance Company
("Manulife"), a Canadian mutual life insurance company based in Toronto, Canada.
Prior to January 1, 1996, Security Life was a wholly owned subsidiary of North
American Life Assurance Company ("NAL"), a Canadian mutual life insurance
company. On January 1, 1996 NAL and Manulife merged with the combined company
retaining the name Manulife. NASL Financial is registered as an investment
adviser under the Investment Advisers Act of 1940 and as a broker-dealer under
the Securities Exchange Act of 1934, and it is a member of the National
Association of Securities Dealers, Inc. ("NASD"). In addition, NASL Financial
serves as principal underwriter of certain contracts issued by Security Life and
as investment adviser to one other investment company, North American Funds.
Under the terms of the Advisory Agreement, the Adviser administers the
business and affairs of the Trust. The Adviser is responsible for performing or
paying for various administrative services for the Trust, including providing at
the Adviser's expense, (i) office space and all necessary office facilities and
equipment, (ii) necessary executive and other personnel for managing the affairs
of the Trust and for performing certain clerical, accounting and other office
functions, and (iii) all other information and services, other than services of
counsel, independent accountants or investment subadvisory services provided by
any subadviser under a subadvisory agreement, required in connection with the
preparation of all tax returns and documents required to comply with the federal
securities laws. The Adviser pays the cost of (i) any advertising or sales
literature relating solely to the Trust, (ii) the cost of printing and mailing
prospectuses to persons other than current holders of Trust shares or of
variable contracts funded by Trust shares and (iii) the compensation of the
Trust's officers and Trustees that are officers, directors or employees of the
Adviser or its affiliates. In addition, advisory fees are reduced or the Adviser
reimburses the Trust if the total of all expenses (excluding advisory fees,
taxes, portfolio brokerage commissions, interest, litigation and indemnification
expenses and other extraordinary expenses not incurred in the ordinary course of
the Trust's business) applicable to a portfolio exceeds an annual rate of .75%
in the case of the International Small Cap, Global Equity, Global Government
Bond and International Growth and Income Trusts or .50% in the case of all other
portfolios of the average annual net assets of such portfolio. The expense
limitations will continue in effect from year to year unless otherwise
terminated at any year end by the Adviser on 30 days' notice to the Trust. For
the prior fiscal year, the Adviser did not reimburse the Trust for any expenses
since expenses were below the expense limitations. However, if expenses were to
increase above the expense limits and the reimbursements were terminated, Trust
expenses would increase.
In addition to providing the services and expense limitations described
above, the Adviser selects, contracts with and compensates subadvisers to manage
the investment and reinvestment of the assets of the portfolios of the Trust.
The Adviser monitors the compliance of such subadvisers with the investment
objectives and related policies of each portfolio and reviews the performance of
such subadvisers and reports periodically on such performance to the Trustees of
the Trust.
As compensation for its services, the Adviser receives a fee from the
Trust computed separately for each portfolio. The fee for each portfolio is
stated as an annual percentage of the current value of the net assets of the
portfolio. The fee, which is accrued daily and payable monthly, is calculated
for each day by multiplying the daily equivalent of the annual percentage
prescribed for a portfolio by the value of the net assets of the portfolio at
the close of business on the previous business day of the Trust. The following
is a schedule of the management fees each portfolio currently is obligated to
pay the Adviser:
<TABLE>
<CAPTION>
PORTFOLIO
------------------------------------------------------------------------
<S> <C>
Small/Mid Cap Trust........................................... 1.000%
International Small Cap Trust................................. 1.100%
Global Equity Trust........................................... .900%
Pasadena Growth Trust......................................... .975%
Equity Trust.................................................. .750%
Value Equity Trust............................................ .800%
Growth and Income Trust....................................... .750%
International Growth and Income Trust......................... .950%
Strategic Bond Trust.......................................... .775%
Global Government Bond Trust ................................. .800%
Investment Quality Bond Trust................................. .650%
U.S. Government Securities Trust ............................. .650%
Money Market Trust............................................ .500%
</TABLE>
39
<PAGE> 40
<TABLE>
<CAPTION>
PORTFOLIO
------------------------------------------------------------------------
<S> <C>
Aggressive Asset Allocation Trust............................. .750%
Moderate Asset Allocation Trust............................... .750%
Conservative Asset Allocation Trust........................... .750%
</TABLE>
The fees shown above, other than those paid by the Investment Quality Bond and
U.S. Government Securities Trusts and the Money Market Trust, are higher than
those paid by most funds to their advisers, but are not higher than the fees
paid by many funds with similar investment objectives and policies.
For the year ended December 31, 1994 the aggregate investment advisory
fees paid by the Trust was $27,076,438, allocated among the portfolios as
follows: $ 4,916,694-- Global Equity Trust, $1,255,314-- Pasadena Growth Trust,
$3,483,279-- Equity Trust, $1,274,807-- Value Equity, $2,670,229-- Growth and
Income Trust, $588,051-- Strategic Bond Trust, $1,742,811-- Global Government
Bond Trust, $709,069--Investment Quality Bond Trust, $1,350,850-- U.S.
Government Securities Trust, $1,158,400-- Money Market Trust, $1,354,682--
Aggressive Asset Allocation Trust, $4,783,431-- Moderate Asset Allocation Trust
and $1,788,821-- Conservative Asset Allocation Trust.
For the year ended December 31, 1995 the aggregate investment advisory
fees paid by the Trust was $33,808,255, allocated among the portfolios as
follows: $5,513,312-- Global Equity Trust, $2,115,434-- Pasadena Growth Trust,
$5,643,363-- Equity Trust, $2,459,247-- Value Equity, $3,922,671-- Growth and
Income Trust, $450,200-- International Growth and Income Trust (January 9, 1995,
commencement of operations, to December 31, 1995), $767,448 - Strategic Bond
Trust, $1,757,909-- Global Government Bond Trust, $798,045-- Investment Quality
Bond Trust, $1,291,668-- U.S. Government Securities Trust, $1,318,573-- Money
Market Trust, $1,463,421-- Aggressive Asset Allocation Trust, $4,667,061--
Moderate Asset Allocation Trust and $1,639,903-- Conservative Asset Allocation
Trust.
SUBADVISORY ARRANGEMENTS
Each of the Trust's subadvisers, except Fidelity Management Trust
Company, is registered as an investment adviser under the Investment Advisers
Act of 1940.
Fidelity Management Trust Company ("FMTC"), the subadviser to the
Equity and Automatic Asset Allocation Trusts, founded in 1946, is located at 82
Devonshire Street, Boston, Massachusetts 02109. FMTC is part of Fidelity
Investments, a group of companies that provides investment management and other
financial services. FMTC is a wholly-owned subsidiary of FMR Corp., the parent
company of the Fidelity companies. Founded in 1981, FMTC serves as investment
manager to institutional clients, managing assets for insurance companies,
tax-exempt retirement funds, endowments, foundations and other institutional
investors. As of December 31, 1995 FMTC had investment management responsibility
for approximately $31.8 billion of assets. Fidelity Investments, founded by
Edward C. Johnson 2d, the father of the current chairman, Edward C. Johnson 3d,
is the country's largest privately-owned investment management organization and
as of December 31, 1995 had assets under management exceeding $547.5 billion.
Fidelity Investments maintains a staff of over 100 in- house research analysts
and follows some 7000 companies worldwide.
Robert Stansky has been primarily responsible for the day-to-day
management of the Equity Trust since December 1991. Scott D. Stewart and Boyce
I. Greer have been primarily responsible for the day-to-day management of the
three Asset Allocation Trusts since December 1991.
Robert Stansky is presently the Portfolio Manager of the Fidelity
Growth Company Fund and the Fidelity Advisor Equity Portfolio: Growth. In
addition, Mr. Stansky has worked as an assistant on the Magellan Fund, managed
both the Emerging Growth Fund and the Fidelity Select Defense and Aerospace
Fund. Mr. Stansky has worked for Fidelity since 1983.
Scott Stewart joined Fidelity in 1987, and is Senior Vice President,
Portfolio Manager and head of the Structured Equity Group.
Boyce Greer is the Group Leader and Senior Vice President of FMTC and
Vice President of FMR in the Fixed Income Group. He joined Fidelity in 1987 as a
Portfolio Manager responsible for portfolio risk analysis.
Oechsle International Advisors, L.P. ("Oechsle International"), the
subadviser to the Global Equity and Global Government Bond Trusts, founded in
1986, is a Delaware limited partnership whose principal offices are located at
One International Place, Boston, Massachusetts 02110. Oechsle International,
which also has offices in London, England, Frankfurt, Germany and Tokyo, Japan,
as of December 31, 1995 manages approximately $7.8 billion for institutional and
private investors. Oechsle International is a money manager providing management
and advisory services with respect to all primary international securities
markets. Each year Oechsle International's investment professionals concentrate
on 25 different countries, averaging 600 visits to companies annually.
Steven H. Schaefer has been primarily responsible for the day-to-day
management of the Global Equity Trust since March 1988 and since 1991 Stephen J.
Butters has shared this responsibility. Astrid Vogler has been primarily
responsible for the day-to-day
40
<PAGE> 41
management of the Global Government Bond Trust since March 1988. Messrs.
Schaefer and Butters are also portfolio managers to North American Funds'
Global Growth Fund.
Mr. Schaefer has been a General Partner and Portfolio Manager at
Oechsle International and Managing Director for the firm's London subsidiary
since 1986.
Mr. Butters works in the U.S. Equity management sector of Oechsle
International. Prior to joining Oechsle International in 1991, Mr. Butters
worked at the Putnam Management Company as Senior Vice President and Portfolio
Manager from 1982 to 1988. He also founded his own firm, Butters Lyons, in 1988
where he provided investment management services to individuals and small
business corporations.
Ms. Vogler has been a Fixed Income Portfolio Manager at Oechsle
International in Frankfurt, West Germany since 1988.
Roger Engemann Management Co., Inc. ("REMC") is the subadviser for the
Pasadena Growth Trust. The business address of REMC is 600 North Rosemead
Boulevard, Pasadena, California 91107-2138. Roger Engemann & Associates, Inc.
("RE&A"), which is a wholly-owned subsidiary of Pasadena Capital Corporation,
owns 93.5% of REMC's capital stock. Roger Engemann, controlling shareholder of
Pasadena Capital Corporation, is the Chairman of the Board and President of RE&A
and REMC. RE&A has been engaged in the business of investment management since
1969, and provides investment counseling services to retirement plans, colleges,
corporations, trusts and individuals. REMC has been in business since 1985 and
manages The Pasadena Group of Mutual Funds. The portfolio managers, research
analysts and supporting staff are substantially the same for both REMC and RE&A.
The combined assets under management of REMC and RE&A as of December 31, 1995
are approximately $4.3 billion.
Roger Engemann, James E. Mair and John S. Tilson are primarily
responsible for the day-to-day management of the Pasadena Growth Trust, and have
been since its inception.
Mr. Engemann has been the president of the Subadviser, REMC, since its
organization in 1985, and has been President of its parent, REA, since its
organization in 1969. Messrs. Mair and Tilson are both Executive Vice Presidents
and Managing Directors of portfolio management of REMC and REA, and both have
been with REMC since its inception and with REA since 1983.
Goldman Sachs Asset Management ("GSAM"), the subadviser to the Value
Equity Trust, is a separate operating division of Goldman, Sachs & Co., located
at 85 Broad Street, New York, New York 10004. The main business address of GSAM
is One New York Plaza, New York, New York 10004. GSAM also has offices in
London, Tokyo, Hong Kong and Sydney. Goldman, Sachs & Co. was registered as an
investment adviser in 1981 and together with its affiliates currently acts as an
investment adviser, administrator or distributor to 80 mutual fund portfolios.
As of December 27, 1995, GSAM and its affiliates managed a total of
approximately $55.3 billion of assets; approximately $36.8 billion in mutual
fund assets and approximately $18.4 billion in assets for various individual and
institutional accounts including 9 of the 50 largest U.S. Pension funds and
three central banks. Goldman, Sachs & Co. was founded in 1869, has 32 offices
world wide, employs over 8900 individuals, and is one of the leading worldwide
investment banking and brokerage organizations and provides a broad range of
financing and investing services both in the U.S. and abroad. GSAM has access to
the resources of Goldman Sachs & Co., including its highly regarded staff of
over 375 research professionals that cover more than 1,600 companies in over 60
industries.
Mitch Cantor and Paul Farrell have been primarily responsible for the
day-to-day management of the Value Equity Trust since February 1993. Messrs.
Cantor and Farrell are senior portfolio managers for the Value Equity Trust as
well as North American Funds' Growth Fund.
Mitch Cantor is also a senior equity portfolio manager for the North
American Funds' Asset Allocation Fund. Mr. Cantor joined Goldman Sachs Asset
Management in 1991. Before joining GSAM, he was a senior partner at Sanford C.
Bernstein & Co. where he served as Research Director for the Investment
Management Division. Mr. Cantor was at Sanford C. Bernstein & Co. from August
1983 to October 1991.
Before joining GSAM in 1991, Paul Farrell served as a managing director
at Plaza Investments, the investment subsidiary of GEICO Corp., a major
insurance company, from February 1991 to August 1991. Mr. Farrell was previously
employed in the Investment Research Department at Goldman Sachs from June 1986
to February 1991. Mr. Farrell is a Certified Financial Analyst as well.
Wellington Management Company ("Wellington Management"), the subadviser
to the Growth and Income, Investment Quality Bond and Money Market Trusts,
founded in 1933, is a Massachusetts partnership whose principal business address
is 75 State Street, Boston, Massachusetts 02109. Wellington Management is a
professional investment counseling firm which provides investment services to
investment companies, employee benefit plans, endowments, foundations and other
institutions and individuals. As of December 31, 1995, Wellington Management had
investment management authority with respect to approximately $104.6 billion of
client assets. The managing partners of Wellington Management are Robert W.
Doran, Duncan M. McFarland and John R. Ryan.
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<PAGE> 42
Matthew E. Megargel, Senior Vice President of Wellington Management,
has served as portfolio manager to the Growth and Income Trust since February
1992. Mr. Megargel also serves as the portfolio manager for the North American
Funds' Growth and Income Fund. Mr. Megargel joined Wellington Management in 1983
as a research analyst and took on additional responsibilities as a portfolio
manager in 1988. In 1991, he became solely a portfolio manager with Wellington
Management.
Thomas L. Pappas, Vice President of Wellington Management, has served
as portfolio manager to the Investment Quality Bond Trust since March 1994. Mr.
Pappas also serves as portfolio manager to the North American Funds' Investment
Quality Bond Fund. Mr. Pappas has been a portfolio manager with Wellington
Management since 1987.
John C. Keogh, Senior Vice President of Wellington Management, serves
as portfolio manager to the Money Market Trust. He has served as portfolio
manager to the Money Market Trust since December 1991, when Wellington
Management became subadviser to the Money Market Trust. Mr. Keogh also serves as
the portfolio manager for the North American Funds' Money Market Fund. Mr. Keogh
has been a portfolio manager with Wellington Management since 1983.
J.P. Morgan Investment Management, Inc. ("J.P. Morgan") is the
Subadviser to the International Growth and Income Trust. J.P. Morgan, with
principal offices at 522 Fifth Avenue, New York 10036, is a wholly-owned
subsidiary of J.P. Morgan & Co. Incorporated ("J.P. Morgan & Co."), a bank
holding company organized under the laws of Delaware which is located at 60 Wall
Street, New York, New York 10260. Through offices in New York City and abroad,
J.P. Morgan & Co., through J.P. Morgan and other subsidiaries, offers a wide
range of services to governmental, institutional, corporate and individual
customers and acts as investment adviser to individual and institutional clients
with combined assets under management of approximately $179 billion (of which
J.P. Morgan advises over $5 billion) as of December 31, 1995. J.P. Morgan has
managed international securities for institutional investors since 1974. As of
December 31, 1995, the non-U.S. securities under J.P. Morgan's management was
approximately $42 billion. J.P. Morgan provides investment advice and portfolio
management services to the portfolio. Subject to the supervision of the
Trustees, J.P. Morgan makes the portfolio's day-to-day investment decisions,
arranges for the execution of portfolio transactions and generally manages the
Portfolio's investments.
J.P. Morgan uses a sophisticated, disciplined, collaborative process
for managing the portfolio. The following persons are primarily responsible for
the day-to-day management of the portfolio (their business experience for the
past five years is indicated parenthetically): Paul A. Quinsee, Vice President
(employed by J.P. Morgan since February 1992, previously Vice President,
Citibank) and Gareth A. Fielding, Assistant Vice President (employed by J.P.
Morgan since February 1992, previously he received his MBA from Imperial College
at London University, while he was a self -employed trader on the London
International Financial Futures Exchange.
Mr. Quinsee is primarily responsible for the day-to-day management of
eleven other institutional and investment company accounts that invest in
international securities constituting approximately $2.6 billion of assets.
Since July 1994, Mr. Fielding has been responsible for the day-to-day management
(in some cases with another person) of 11 institutional and investment company
portfolios that invest primarily in international fixed income securities,
constituting approximately $1 billion of assets. Mr. Fielding is a specialist in
mortgage and asset- backed securities. Prior to July 1994, Mr. Fielding traded
global fixed income products on J.P. Morgan's London trading desk.
Salomon Brothers Asset Management Inc ("SBAM"), the subadviser to the
U.S. Government Securities and Strategic Bond Trusts, is an indirect,
wholly-owned subsidiary of Salomon Inc ("SI") incorporated in 1987. The business
address of SBAM is 7 World Trade Center, New York, New York 10048. Through its
office in New York and affiliates in London, Frankfurt and Tokyo, SBAM provides
a full range of fixed income and equity investment advisory services for its
individual and institutional clients around the world, including European and
Far East central banks, pension funds, endowments, insurance companies, and
various investment companies (including portfolios thereof). As of December 31,
1995, SBAM Limited, SBAM and their advisory affiliates had investment advisory
responsibility for approximately $13.3 billion of assets. SBAM has access to
SI's more than 400 economists, mortgage, bond, sovereign and equity analysts.
In connection with SBAM's service as subadviser to the Strategic Bond
Trust, SBAM's London based affiliate, Salomon Brothers Asset Management Limited
("SBAM Limited"), whose business address is Victoria Plaza, 111 Buckingham
Palace Road, London SW1W OSB, England, provides certain advisory services to
SBAM relating to currency transactions and investments in non-dollar denominated
debt securities for the benefit of the Strategic Bond Trust. SBAM Limited is
compensated by SBAM at no additional expense to the Trust. SBAM Limited was
formed to acquire the asset management division of a sister company, Salomon
Brothers International Limited, which currently has approximately $2 billion
under management. Like SBAM, SBAM Limited is an indirect, wholly-owned
subsidiary of Salomon Inc. SBAM Limited is a member of the Investment Management
Regulatory Organization Limited in the United Kingdom and is registered as an
investment adviser in the United States pursuant to the Investment Advisers Act
of 1940.
Steven Guterman has been primarily responsible for the day-to-day
management of the mortgage-backed securities and U.S. government securities
portions of the U.S. Government Securities Trust since December 1991 and the
Strategic Bond Trust since February
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<PAGE> 43
1993. Mr. Guterman is assisted in the management of the two foregoing Trusts by
Roger Lavan. Peter J. Wilby has been primarily responsible for the day-to-day
management of the high yield and sovereign debt portions of the Strategic Bond
Trust since February 1993. Mr. David Scott is primarily responsible for the
international portion of the Strategic Bond Trust.
Mr. Guterman, who joined SBAM in 1990, is a Managing Director of
Salomon Brothers Inc. and a Senior Portfolio Manager, responsible for the SBAM's
investment company and institutional portfolios which invest primarily in
mortgage-backed securities and U.S. government issues. Mr. Guterman also serves
as portfolio manager for North American Funds' U.S. Government Securities and
Strategic Income Funds, Salomon Brothers Mortgage Investment Fund, and Salomon
Brothers Mortgage Arbitrage Finance Limited. In addition, Mr. Guterman serves as
portfolio manager for a number of SBAM's institutional clients. Mr. Guterman
joined Salomon Brothers, Inc. in 1983. He initially worked in the mortgage
research group where he became a Research Director and later traded derivative
mortgage-backed securities for Salomon Brothers, Inc.
Mr. Lavan has assisted Mr. Guterman with the day to day management of
the mortgage-backed securities portions of the U.S. Government Securities Trust
since December 1991 and the Strategic Bond Trust since February 1993. Mr. Lavan
joined SBAM in 1990 and is a Portfolio Manager and Quantitative Fixed Income
Analyst for SBAM where he is responsible for working with senior portfolio
managers to monitor and analyze market relationships and identify and implement
relative value transactions in SBAM's investment company and institutional
portfolios which invest in mortgage-backed securities and U.S. Government
Securities. Mr. Lavan also assists Mr. Guterman with the day to day management
of the mortgage-backed securities portions of the North American Funds' U.S.
Government Securities and Strategic Income Funds. Prior to joining SBAM, Mr.
Lavan spent four years analyzing portfolios for Salomon's Fixed Income Sales
Group and Product Support Divisions.
Mr. Wilby, who joined SBAM in 1989, is a Managing Director of Salomon
Brothers Inc. and a Senior Portfolio Manager, responsible for SBAM's investment
company and institutional portfolios which invest in high yield U.S. corporate
debt securities and high yield foreign sovereign debt securities. Mr. Wilby is
also primarily responsible for the day-to-day management of the high yield and
sovereign debt portions of North American Fund's Strategic Income Fund, Salomon
Brothers High Income Fund, Inc, The Emerging Markets Income Fund, Inc, The
Emerging Markets Income Fund, Inc and the Latin America Investment Fund, Inc.
(with respect to the Fund's investment in Latin American sovereign debt). From
1984 to 1989, Mr. Wilby was employed by Prudential Capital Management Group
("Prudential"). He served as director of Prudential's credit research unit and
as a corporate and sovereign credit analyst with Prudential. Mr. Wilby later
managed high yield bonds and leveraged equities in the mutual funds and
institutional portfolios at Prudential.
David Scott is a senior fixed-income portfolio manager with SBAM
Limited in London. His primary responsibility is managing long term global bond
portfolios. He also takes an integral role in developing investment strategy.
Prior to joining Salomon Brothers in April 1994, Mr. Scott worked at J.P. Morgan
Investment Management ("J.P. Morgan") from October 1990 to March 1994 where he
had responsibility for global and non-dollar portfolios. Clients included
government departments, pension funds and insurance companies. Before joining
J.P. Morgan, Mr. Scott worked for Mercury Asset Management from January 1987 to
October 1990 where he had responsibility for captive insurance portfolios and
product. Mr. Scott is a Fellow of the Institute of Actuaries and worked for the
Wyatt Company from November 1984 to January 1987 as a consultant advising
companies on pension and employee related benefit issues. He received a BSc in
Mathematics and Economics from Nottingham University.
Investment decisions for the Small/Mid Cap Trust are made by its
Subadviser, Fred Alger Management, Inc. ("Alger"). Alger, located at 75 Maiden
Lane, New York, New York 10038, has been in the business of providing investment
advisory services since 1964 and as of December 31, 1995 had approximately $4.8
billion under management, including $3 billion in mutual fund accounts and $ 1.8
billion in other advisory accounts. Alger Management is wholly owned by Fred
Alger & Company, Incorporated which in turn is wholly owned by Alger Associates,
Inc., a financial services holding company. Fred M. Alger, III and his brother,
David D. Alger, are the majority shareholders of Alger Associates, Inc. and may
be deemed to control that company and its subsidiaries.
David D. Alger, President of Alger Management, is primarily responsible
for the day-to-day management of the Small/Mid CAP Trust. He has been employed
by Alger as Executive Vice President and Director of Research since 1971 and as
President since 1995 and he serves as portfolio manager for other mutual funds
and investment accounts managed by Alger Management. Also participating in the
management of the Small/Mid Cap Trust are Ronald Tartaro and Seilai Khoo. Mr.
Tartaro has been employed by Alger Management since 1990 and he serves as a
Senior Vice President. Prior to 1990, he was a member of the technical staff at
AT&T Bell Laboratories. Ms. Khoo has been employed by Alger Management since
1989 and she serves as a Senior Vice President.
Investment decisions for the International Small Cap Trust are made by
its Subadviser, Founders Asset Management, Inc., ("Founders") located at 2930
East Third Avenue, Denver, Colorado 80206, a registered investment adviser first
established as an asset manager in 1938. Bjorn K. Borgen, Chief Investment
Officer and Chairman of Founders, owns 100% of the voting stock of
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<PAGE> 44
Founders. As of December 31, 1995, Founders had approximatelly $3 billion of
assets under management, including $2.5 billion in mutual fund accounts and $.5
billion in other advisory accounts.
To facilitate the day-to-day investment management of the International
Small Cap Trust, Founders employs a unique team-and- lead-manager system. The
management team is composed of several members of the Investment Department,
including Founders' chief Investment Officer, lead portfolio managers, assistant
portfolio managers, portfolio traders and research analysts. Team members share
responsibility for providing ideas, information, knowledge and expertise in the
management of the portfolios. Each team member has one or more areas of
expertise that is applied to the management of the Portfolio. Daily decisions on
portfolio selection for the Portfolio rests with a lead portfolio manager
assigned to the Portfolio.
Michael W. Gerding, Vice President of Investments, is the lead
portfolio manager for the International Small Cap Trust. Mr. Gerding is a
chartered financial analyst who has been part of Founders' investment department
for five years. Mr. Gerding is the lead portfolio manager of the International
Small Cap Trust. Prior to joining Founders, Mr. Gerding served as a portfolio
manager and research analyst with NCNB Texas for several years. Mr. Gerding
earned a BBA in finance and an MBA from Texas Christian University.
Under the terms of each of the Subadvisory Agreements, the subadviser
manages the investment and reinvestment of the assets of the assigned
portfolios, subject to the supervision of the Trustees of the Trust. The
subadviser formulates a continuous investment program for each such portfolio
consistent with its investment objectives and policies outlined in this
Prospectus. Each subadviser implements such programs by purchases and sales of
securities and regularly reports to the Adviser and the Trustees of the Trust
with respect to the implementation of such programs. In addition, the subadviser
to the Pasadena Growth Trust has agreed to reimburse the Pasadena Growth Trust
for its "Other Expenses," as defined in the Subadvisory Agreement and set forth
in the Statement of Additional Information, to a maximum on an annual basis of
.15% of the average net assets of the Pasadena Growth Trust.
As compensation for their services, the subadvisers receive fees from
the Adviser computed separately for each portfolio. The fee for each portfolio
is stated as an annual percentage of the current value of the net assets of such
portfolio. The fees are calculated on the basis of the average of all valuations
of net assets of each portfolio made at the close of business on each business
day of the Trust during the period for which such fees are paid. Once the
average net assets of a portfolio exceed specified amounts, the fee is reduced
with respect to such excess. The following is a schedule of the management fees
the Adviser currently is obligated to pay the subadvisers out of the advisory
fee it receives from each portfolio as specified above:
<TABLE>
<CAPTION>
BETWEEN BETWEEN
$50,000,000 $200,000,000
FIRST AND AND EXCESS OVER
PORTFOLIO $50,000,000 $200,000,000 $500,000,000 $500,000,000
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Small/Mid Cap Trust................. .525% .500% .475% .450%
International Small Cap Trust....... .650% .600% .500% .400%
Global Equity Trust................. .500% .450% .375% .325%
Pasadena Growth Trust............... .550% .500% .450% .375%
Equity Trust ....................... .325% .275% .225% .150%
Value Equity Trust.................. .400% .300% .200% .200%
Growth and Income Trust............. .325% .275% .225% .150%
International Growth and
Income Trust..................... .500% .450% .400% .350%
Strategic Bond Trust*............... .350% .300% .250% .200%
Global Government Bond Trust........ .375% .350% .300% .250%
Investment Quality Bond Trust....... .225% .225% .150% .100%
U.S. Government Securities Trust.... .225% .225% .150% .100%
Money Market Trust ................. .075% .075% .075% .020%
Aggressive Asset Allocation Trust... .325% .275% .225% .150%
Moderate Asset Allocation Trust..... .325% .275% .225% .150%
Conservative Asset Allocation
Trust............................ .325% .275% .225% .150%
</TABLE>
* In connection with the subadvisory consulting agreement between SBAM
and SBAM Limited, SBAM will pay SBAM Limited, as full compensation for all
services provided under the subadvisory consulting agreement, a portion of its
subadvisory fee, such amount being an amount equal to the fee payable under
SBAM's subadvisory agreement multiplied by the current value of the net assets
of the portion of the
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<PAGE> 45
assets of the Strategic Bond Trust that SBAM Limited has been delegated to
manage divided by the current value of the net assets of the portfolio.
Above are brief summaries of the advisory agreement with NASL Financial
("Advisory Agreement") and the subadvisory agreements with the subadvisers
("Subadvisory Agreements"). A more comprehensive statement of the terms of such
agreements appears in the Statement of Additional Information under the caption
"Investment Management Arrangements".
All or a portion of Trust brokerage commissions may be paid to
affiliates of Salomon, J.P. Morgan, Goldman, Alger, Fidelity and Oechsle.
Information on the amount of these commissions is set forth in the Statement of
Additional Information under "Portfolio Brokerage."
EXPENSES
Subject to the expense limitations discussed above, the Trust is
responsible for the payment of all expenses of its organization, operations and
business, except for those expenses the Adviser or subadvisers have agreed to
pay pursuant to the Advisory or Subadvisory Agreements. Among the expenses to be
borne by the Trust are charges and expenses of the custodian, independent
accountants and transfer, bookkeeping and dividend disbursing agents appointed
by the Trust; brokers' commissions and issue and transfer taxes on securities
transactions to which the Trust is a party; taxes payable by the Trust; and
legal fees and expenses in connection with the affairs of the Trust, including
registering and qualifying its shares with regulatory authorities and in
connection with any litigation.
For the year ended December 31, 1994, the expenses, including the
Adviser's fee but excluding portfolio brokerage commissions, expressed as a
percentage of average net assets, for each of the Trust's portfolios was as
follows: 1.08% -- Global Equity Trust, .975% -- Pasadena Growth Trust, 0.84% --
Equity Trust, 0.87% -- Value Equity Trust, 0.82% -- Growth and Income Trust,
0.91% -- Strategic Bond Trust, 0.96% -- Global Government Bond Trust, 0.76% --
Investment Quality Bond Trust, 0.73% -- U.S. Government Securities Trust, 0.57%
- -- Money Market Trust, 0.89% -- Aggressive Asset Allocation Trust, 0.85% --
Moderate Asset Allocation Trust and 0.87% -- Conservative Asset Allocation
Trust. For the year ended December 31, 1995, the expenses, including the
Adviser's fee but excluding portfolio brokerage commissions, expressed as a
percentage of average net assets, for each of the Trust's portfolios was as
follows: 1.05% -- Global Equity Trust, .975% -- Pasadena Growth Trust, .80% --
Equity Trust .85% -- Value Equity Trust, .80% -- Growth and Income Trust 1.47%
(annualized) -- International Growth and Income Trust, .92% - Strategic Bond
Trust, .93% -- Global Government Bond Trust, .74% - - Investment Quality Bond
Trust, .71% -- U.S. Government Securities Trust, .54% -- Money Market Trust,
.91% -- Aggressive Asset Allocation Trust, .84% -- Moderate Asset Allocation
Trust and .87% -- Conservative Asset Allocation Trust.
For the year ended December 31, 1994, the expenses, excluding the
Adviser's fee and portfolio brokerage commissions, expressed as a percentage of
average net assets, for each of the Trust's portfolios was as follows: .18% --
Global Equity Trust, 0% -- Pasadena Growth Trust, .09% -- Equity Trust, .07% --
Value Equity Trust, .07% -- Growth and Income Trust, .14% -- Strategic Bond
Trust, .16% -- Global Government Bond Trust, .11% -- Investment Quality Bond
Trust, .08% -- U.S. Government Securities Trust, .07% -- Money Market Trust,
.14% -- Aggressive Asset Allocation Trust, .10% -- Moderate Asset Allocation
Trust and .12% -- Conservative Asset Allocation Trust. For the year ended
December 31, 1995, the expenses, excluding the Adviser's fee and portfolio
brokerage commissions, expressed as a percentage of average net assets, for each
of the Trust's portfolios was as follows: .15% -- Global Equity Trust, 0% --
Pasadena Growth Trust, .05% -- Equity Trust .05% -- Value Equity Trust, .05% --
Growth and Income Trust .52% (annualized) -- International Growth and Income
Trust, .15% - Strategic Bond Trust, .13% -- Global Government Bond Trust, .09%
- -- Investment Quality Bond Trust, .06% -- U.S. Government Securities Trust, .04%
- -- Money Market Trust, .16% -- Aggressive Asset Allocation Trust, .09% --
Moderate Asset Allocation Trust and .12% -- Conservative Asset Allocation Trust.
Each of the portfolios, except the Global Equity, Pasadena Growth,
Equity, Value Equity and Growth and Income porfolios, anticipate that their
annual portfolionturnover rates will exceed 100%. A high portfolio turnover rate
generally involves correspondingly greater brokerage commission expenses, which
must be borne directly by the portfolio.
PERFORMANCE DATA
From time to time the Trust may publish advertisements containing
performance data relating to its portfolios. Performance data will consist of
total return quotations which will always include quotations for recent one-year
and, when applicable, five-year and ten-year periods and where less than five or
ten years, for the period since the date the portfolio, including its
predecessor prior to the reorganization of the Fund on December 31, 1988, became
available for investment. Such quotations for such periods will be the average
annual rates of return required for an initial investment of $1,000 to equal the
market value of such investment on the last day of the period, after reflection
of all Trust charges and expenses and assuming reinvestment of all dividends and
distributions. Performance figures used by the Trust are based on the actual
historical performance of its portfolios for specified periods, and the figures
are not intended to indicate future performance. Moreover, the Trust's
performance figures are not comparable to those for public mutual funds. Trust
shares are only available
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<PAGE> 46
as the underlying investment medium for contracts which provide for certain
charges, as described in the accompanying contract Prospectus. The impact of
such charges is not reflected in the Trust's performance figures. More detailed
information on the computations is set forth in the Statement of Additional
Information. The Trust's annual report, which is available without charge upon
request, contains further discussions of Fund performance.
The Trust may also from time to time advertise the performance of
certain portfolios relative to that of unmanaged indices, including but not
limited to the Dow Jones Industrial Average, the Lehman Brothers Bond,
Government Corporate, Corporate and Aggregate Indices, the Standard and Poor's
500, the Value Line Composite and the Morgan Stanley Capital International
Europe, Australia and Far East ("EAFE") and World Indices. The Trust may also
advertise the performance rankings assigned certain portfolios or their
investment subadvisers by various statistical services, including but not
limited to SEI, Lipper Analytical Services, Inc.'s Mutual Fund Performance
Analysis and Variable Insurance Products Performance Analysis, Variable Annuity
Research and Data Service, Intersec Research Survey of Non-U.S. Equity Fund
Returns and Frank Russell International Universe, and any other data which may
be presented from time to time by such analysts as Dow Jones, Morning Star,
Chase International Performance, Wilson Associates, Stanger, CDA Investment
Technology, the Consumer Price Index ("CPI"), The Bank Rate Monitor National
Index, IBC/Donaghue's Average U.S. Government and Agency, or as they appear in
various publications, including The Wall Street Journal, New York Times, Forbes,
Barrons, Fortune, Money Magazine, Financial World and Financial Services Week.
GENERAL INFORMATION
SHARES OF THE TRUST
The Trust's Declaration of Trust authorizes the Trustees to issue an
unlimited number of full and fractional shares of beneficial interest having a
par value of $.01 per share, to divide such shares into an unlimited number of
series of shares and to designate the relative rights and preferences thereof,
all without shareholder approval. In addition, the Trustees are authorized to
divide any series of shares into separate classes, also without shareholder
approval. The Trust currently has sixteen series of shares, one for each
portfolio. Shares of each portfolio have equal rights with regard to
redemptions, dividends, distributions and liquidations with respect to that
portfolio. When issued, shares are fully paid and non-assessable and do not have
preemptive or conversion rights or cumulative voting rights. All shares are
entitled to one vote and are voted by series, except that when voting for the
election of Trustees and when otherwise permitted by the Investment Company Act
of 1940, shares are voted in the aggregate. Only shares of a particular
portfolio are entitled to vote on matters determined by the Trustees to affect
only the interests of that portfolio.
The Trust currently has three shareholders, Security Life, Manulife
America and FNAL. Security Life provided the Fund with its initial capital.
Currently, Security Life owns Trust shares attributable to the initial
capitalization of the Growth and Income Trust. Each shareholder owns the Trust
shares attributable to contracts participating in its separate accounts and will
vote such shares and, in the case of Security Life, Trust shares owned
beneficially by Security Life, in accordance with instructions received from
contract owners.
TAXES
TAX STATUS. The Trust believes that each portfolio will qualify as a
regulated investment company under Subchapter M, Chapter 1, Subtitle A of the
Internal Revenue Code (the "Code"), and the Trust intends to take the steps
necessary to so qualify each portfolio. As a result of qualifying as a regulated
investment company, each portfolio will not be subject to Federal income tax to
the extent that the portfolio distributes its net income, including its net
realized capital gains, to its shareholders. Accordingly, each portfolio intends
to distribute substantially all of its net income, including all of its net
realized capital gains, to its shareholders. Under current law, net income,
including net realized capital gain, is not taxed to a life insurance company to
the extent that it is applied to increase the reserves for the company's
variable annuity and life insurance contracts.
SOURCES OF GROSS INCOME. To qualify for treatment as a regulated
investment company, a portfolio must, among other things, derive its income from
certain sources. Specifically, in each taxable year a portfolio must derive at
least 90% of its gross income from dividends, interest, payments with respect to
securities loans, gains from the sale or other disposition of stock, securities
or foreign currencies, or other income (including, but not limited to, gains
from options, futures or forward contracts) derived with respect to its business
of investing in stock, securities, or currencies. A portfolio must also derive
less than 30% of its gross income from the sale or other disposition of any of
the following which was held for less than three months: (1) stock or
securities, (2) options, futures, or forward contracts (other than options,
futures, or forward contracts on foreign currencies), or (3) foreign currencies
(or options, futures, or forward contracts on foreign currencies) but only if
such currencies (or options, futures, or forward contracts) are not directly
related to the portfolio's principal business of investing in stock or
securities (or options and futures with respect to stocks or securities). For
purposes of these tests, gross income generally is determined without regard to
losses from the sale or other disposition of stock or securities or other
portfolio assets. Compliance with these requirements may prevent a portfolio
from utilizing options, futures, and forward contracts as much as the subadviser
might otherwise believe to be desirable.
46
<PAGE> 47
DIVERSIFICATION OF ASSETS. To qualify for treatment as a regulated
investment company, a portfolio must also satisfy certain requirements with
respect to the diversification of its assets. A portfolio must have, at the
close of each quarter of the taxable year, at least 50% of the value of its
total assets represented by cash, cash items, United States Government
securities, securities of other regulated investment companies, and other
securities which, in respect of any one issuer, do not represent more than 5% of
the value of the assets of the portfolio nor more than 10% of the voting
securities of that issuer. In addition, at those times not more than 25% of the
value of the portfolio's assets may be invested in securities (other than United
States Government securities or the securities of other regulated investment
companies) of any one issuer, or of two or more issuers which the portfolio
controls and which are engaged in the same or similar trades or businesses or
related trades or businesses.
Because the Trust is established as an investment medium for insurance
company separate accounts, regulations under Subchapter L of the Code impose
additional diversification requirements on each portfolio. These requirements
generally are that no more than 55% of the value of the assets of a portfolio
may be represented by any one investment; no more than 70% by any two
investments; no more than 80% by any three investments; and no more than 90% by
any four investments. For these purposes, all securities of the same issuer are
treated as a single investment and each United States government agency or
instrumentality is treated as a separate issuer.
FOREIGN INVESTMENTS. Portfolios investing in foreign securities or
currencies may be required to pay withholding or other taxes to foreign
governments. Foreign tax withholding from dividends and interest, if any, is
generally at a rate between 10% and 35%. The investment yield of any portfolio
that invests in foreign securities or currencies will be reduced by these
foreign taxes. Shareholders will bear the cost of any foreign tax withholding,
but may not be able to claim a foreign tax credit or deduction for these foreign
taxes. Portfolios investing in securities of passive foreign investment
companies may be subject to U.S. federal income taxes and interest charges (and
investment yield of the portfolios making such investments will be reduced by
these taxes and interest charges). Shareholders will bear the cost of these
taxes and interest charges, but will not be able to claim a deduction for these
amounts.
ADDITIONAL TAX CONSIDERATIONS. If a portfolio failed to qualify as a
regulated investment company, owners of contracts based on the portfolio (1)
might be taxed currently on the investment earnings under their contracts and
thereby lose the benefit of tax deferral, and (2) the portfolio might incur
additional taxes. In addition, if a portfolio failed to comply with the
diversification requirements of the regulations under Subchapter L of the Code,
owners of contracts based on the portfolio would be taxed on the investment
earnings under their contracts and thereby lose the benefit of tax deferral.
Accordingly, compliance with the above rules is carefully monitored by the
Adviser and the Subadvisers and it is intended that the portfolios will comply
with these rules as they exist or as they may be modified from time to time.
Compliance with the tax requirements described above may result in a reduction
in the return under a portfolio, since, to comply with the above rules, the
investments utilized (and the time at which such investments are entered into
and closed out) may be different from that Subadvisers might otherwise believe
to be desirable.
OTHER INFORMATION. For more information regarding the tax implications
for the purchaser of a variable annuity or life insurance contracts who
allocates investments to the Trust, please refer to the prospectus for the
contract.
The foregoing is a general and abbreviated summary of the applicable
provisions of the Code and Treasury Regulations currently in effect. It is not
intended to be a complete explanation or a substitute for consultation with
individual tax advisors. For the complete provisions, reference should be made
to the pertinent Code sections and the Treasury Regulations promulgated
thereunder. The Code and Regulations are subject to change.
DIVIDENDS
The Trust intends to declare as dividends substantially all of the net
investment income, if any, of each portfolio. For dividend purposes, net
investment income of each portfolio except the Money Market Trust will consist
of all payments of dividends (other than stock dividends) or interest received
by such portfolio less the estimated expenses of such portfolio (including fees
payable to the Adviser) and for the Money Market Trust it will consist of the
interest income earned on investments, plus or minus amortized purchase discount
or premium, plus or minus realized gains and losses, less estimated expenses.
Dividends from the net investment income and the net realized short-term and
long-term capital gains, if any, for each portfolio except the Money Market
Trust will be declared not less frequently than annually and reinvested in
additional full and fractional shares of that portfolio or paid in cash.
Dividends from net investment income and net realized short-term and long-term
capital gains, if any, for the Money Market Trust will be declared and
reinvested, or paid in cash, daily.
PURCHASE AND REDEMPTION OF SHARES
Shares of the Trust are offered continuously, without sales charge, at
prices equal to the respective net asset values of the portfolio. The Trust
sells its shares directly without the use of any underwriter. Shares of the
Trust are sold and redeemed at their net asset value next computed after a
purchase payment or redemption request is received by Security Life from the
contract owner or after any other purchase or redemption order is received by
the Trust. Depending upon the net asset values at that time, the amount paid
upon redemption may be more or less than the cost of the shares redeemed.
Payment for shares redeemed will be made as soon as possible, but in any event
within seven days after receipt of a request for redemption.
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<PAGE> 48
The net asset value of the shares of each portfolio is determined once
daily as of the close of regularly scheduled trading of the New York Stock
Exchange, Monday through Friday, except that no determination is required on (i)
days on which changes in the value of such portfolio's portfolio securities will
not materially affect the current net asset value of the shares of the
portfolio, (ii) days during which no shares of such portfolio are tendered for
redemption and no order to purchase or sell such shares is received by the
Trust, or (iii) the following business holidays or the days on which such
holidays are observed by the New York Stock Exchange: New Year's Day,
Presidents' Day, Good Friday, Memorial Day, Independence Day, Labor Day,
Thanksgiving Day and Christmas Day. Generally, trading in non-U.S. securities,
as well as U.S. Government securities and money market instruments, is
substantially completed each day at various times prior to the close of
regularly scheduled trading of the New York Stock Exchange. The values of such
securities used in computing the net asset value of a portfolio's shares are
generally determined as of such times. Occasionally, events which affect the
values of such securities may occur between the times at which they are
generally determined and the close of the New York Stock Exchange and would
therefore not be reflected in the computation of a portfolio's net asset value.
If events materially affecting the value of such securities occur during such
period, then these securities will be valued at their fair value as determined
in good faith by the subadvisers under procedures established and regularly
reviewed by the Trustees.
The net asset values per share of all portfolios other than the Money
Market Trust are computed by adding the sum of the value of the securities held
by each portfolio plus any cash or other assets it holds, subtracting all its
liabilities, and dividing the result by the total number of shares outstanding
of that portfolio at such time. Securities held by each of the portfolios other
than the Money Market Trust, except for money market instruments with remaining
maturities of 60 days or less, are valued at their market value if market
quotations are readily available. Otherwise, such securities are valued at fair
value as determined in good faith by the Trustees although the actual
calculations may be made by persons acting pursuant to the direction of the
Trustees.
All instruments held by the Money Market Trust and money market
instruments with a remaining maturity of 60 days or less held by the other
portfolios are valued on an amortized cost basis.
CUSTODIAN
State Street Bank and Trust Company, ("State Street") 225 Franklin
Street, Boston, Massachusetts 02110, currently acts as custodian and bookkeeping
agent of all the Trust assets. State Street has selected various banks and trust
companies in foreign countries to maintain custody of certain foreign
securities. State Street is authorized to use the facilities of the Depository
Trust Company, the Participants Trust Company and the book-entry system of the
Federal Reserve Banks.
APPENDIX I
DEBT SECURITY RATINGS
STANDARD & POOR'S RATINGS GROUP ("S&P")
Commercial Paper:
A-1 The rating A-1 is the highest rating assigned by S&P to
commercial paper. This designation indicates that the degree of
safety regarding timely payment is either overwhelming or very
strong. Those issues determined to possess overwhelming safety
characteristics are denoted with a plus (+) sign designation.
A-2 Capacity for timely payment on issues with this designation is
strong. However, the relative degree of safety is not as high
for issuers designated "A-1".
Bonds:
AAA Debt rated AAA has the highest rating assigned by S&P. Capacity
to pay interest and repay principal is extremely strong.
AA Debt rated AA has a very strong capacity to pay interest and
repay principal and differs from the higher rated issues only in
small degree.
A Debt rated A has a strong capacity to pay interest and repay
principal although it is somewhat more susceptible to the
adverse effects of changes in circumstances and economic
conditions than debt in higher rated categories.
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<PAGE> 49
BBB Debt rated BBB is regarded as having an adequate capacity to
pay interest and repay principal. Whereas it normally exhibits
adequate protection parameters, adverse economic conditions or
changing circumstances are more likely to lead to a weakened
capacity to pay interest and repay principal for debt in this
category than in higher rated categories.
BB-B-CCC-CC Bonds rated BB, B, CCC and CC are regarded, on balance, as
predominantly speculative with respect to the issuer's
capacity to pay interest and repay principal in accordance
with the terms of the obligations. BB indicates the lowest
degree of speculation and CC the highest degree of
speculation. While such bonds will likely have some quality
and protective characteristics, these are outweighed by large
uncertainties or major risk exposures to adverse conditions.
D Bonds rated D are in default. The D category is used when
interest payments or principal payments are not made on the
date due even if the applicable grace period has not expired.
The D rating is also used upon the filing of a bankruptcy
petition if debt service payments are jeopardized.
The ratings set forth above may be modified by the addition of a plus or minus
to show relative standing within the major rating categories.
MOODY'S INVESTORS SERVICE, INC. ("MOODY'S")
Commercial Paper:
P-1 The rating P-1 is the highest commercial paper rating assigned
by Moody's. Issuers rated P-1 (or related supporting
institutions) have a superior capacity for repayment of
short-term promissory obligations. P-1 repayment capacity will
normally be evidenced by the following characteristics: (1)
leading market positions in established industries; (2) high
rates of return on funds employed; (3) conservative
capitalization structures with moderate reliance on debt and
ample asset protection; (4) broad margins in earnings coverage
of fixed financial charges and high internal cash generation;
and (5) well established access to a range of financial
markets and assured sources of alternate liquidity.
P-2 Issuers rated P-2 (or related supporting institutions) have a
strong capacity for repayment of short-term promissory
obligations. This will normally be evidenced by many of the
characteristics cited above but to a lesser degree. Earnings
trends and coverage ratios, while sound, will be more subject
to variation. Capitalization characteristics, while still
appropriate, may be more affected by external conditions.
Ample alternative liquidity is maintained.
Bonds:
Aaa Bonds which are rated Aaa by Moody's are judged to be of the
best quality. They carry the smallest degree of investment
risk and are generally referred to as "gilt edge". Interest
payments are protected by a large or by an exceptionally
stable margin and principal is secure. While the various
protective elements are likely to change, such changes as can
be visualized are most unlikely to impair the fundamentally
strong position of such issues.
Aa Bonds which are rated Aa by Moody's are judged to be of high
quality by all standards. Together with the Aaa group, they
comprise what are generally known as high grade bonds. They
are rated lower than the best bonds because margins of
protection may not be as large as in Aaa securities or
fluctuation of protective elements may be of greater amplitude
or there may be other elements present which make the long
term risks appear somewhat larger than in Aaa securities.
A Bonds which are rated A by Moody's possess many favorable
investment attributes and are to be considered as upper medium
grade obligations. Factors giving security to principal and
interest are considered adequate but elements may be present
which suggest a susceptibility to impairment sometime in the
future.
Baa Bonds which are rated Baa by Moody's are considered as medium
grade obligations, that is, they are neither highly protected
nor poorly secured. Interest payments and principal security
appear adequate for the present but certain protective
elements may be lacking or may be characteristically
unreliable over any great length of time. Such bonds lack
outstanding investment characteristics and in fact have
speculative characteristics as well.
B Bonds which are rated B generally lack characteristics of a
desirable investment. Assurance of interest and principal
payments or of maintenance and other terms of the contract
over any long period of time may be small.
Caa Bonds which are rated Caa are of poor standing. Such issues
may be in default or there may be present elements of danger
with respect to principal or interest.
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<PAGE> 50
Ca Bonds which are rated Ca represent obligations which are
speculative in high degree. Such issues are often in default
or have other marked shortcomings.
C Bonds which are rated C are the lowest rated class of bonds
and issues so rated can be regarded as having extremely poor
prospects of ever attaining any real investment standing.
Moody's applies numerical modifiers "1", "2" and "3" to certain of its
rating classifications. The modifier "1" indicates that the security ranks in
the higher end of its generic rating category; the modifier "2" indicates a
mid-range ranking; and the modifier "3" indicates that the issue ranks in the
lower end of its generic rating category.
APPENDIX II
STRATEGIC BOND TRUST DEBT RATING
The average distribution of investments in corporate and government
bonds by ratings for the fiscal year ended December 31, 1994,
calculated monthly on a dollar-weighted basis, for the Strategic Bond
Trust, are as follows:
<TABLE>
<CAPTION>
UNRATED BUT OF
MOODY'S STANDARD & POOR'S COMPARABLE QUALITY PERCENTAGE*
- ----------------------------------------------------------------------
<S> <C> <C> <C>
Aaa AAA 16% 0%
Aa AA 0% 0%
A A 0% 0%
Baa BBB 0% 4%
Ba BB 7% 5%
B B 6% 33%
Caa CCC 0% 2%
Ca CC 0% 0%
C C 0% 0%
D 0% 0%
Unrated as a Group 29%
U.S. Government Securities* 27%
---
100%
</TABLE>
The actual distribution of the Strategic Bond Trust's corporate and
government bond investments by ratings on any given date will vary. In addition,
the distribution of the Trust's investments by ratings as set forth above should
not be considered as representative of the Trust's future portfolio composition.
*Obligations issued or guaranteed by the U.S. Government or its agencies,
authorities or instrumentalities.
The average distribution of investments in corporate and government
bonds by ratings for the fiscal year ended December 31, 1995,
calculated monthly on a dollar-weighted basis, for the Strategic Bond
Trust, are as follows:
<TABLE>
<CAPTION>
UNRATED BUT OF
MOODY'S STANDARD & POOR'S COMPARABLE QUALITY PERCENTAGE*
- ----------------------------------------------------------------------
<S> <C> <C> <C>
Aaa AAA 11% 0%
Aa AA 0% 0%
A A 0% 2%
Baa BBB 0% 3%
Ba BB 23% 4%
B B 0% 33%
Caa CCC 0% 2%
Ca CC 0% 0%
C C 0% 0%
D 0% 0%
Unrated as a Group 34%
</TABLE>
50
<PAGE> 51
<TABLE>
<CAPTION>
UNRATED BUT OF
MOODY'S STANDARD & POOR'S COMPARABLE QUALITY PERCENTAGE*
- ----------------------------------------------------------------------
<S> <C>
U.S. Government Securities* 22%
---
100%
</TABLE>
The actual distribution of the Strategic Bond Trust's corporate and
government bond investments by ratings on any given date will vary. In addition,
the distribution of the Trust's investments by ratings as set forth above should
not be considered as representative of the Trust's future portfolio composition.
*Obligations issued or guaranteed by the U.S. Government or its agencies,
authorities or instrumentalities.
INVESTMENT QUALITY BOND TRUST DEBT RATINGS
The average distribution of investments in corporate and government
bonds by ratings for the fiscal year ended December 31, 1995,
calculated monthly on a dollar-weighted basis, for the Investment
Quality Bond Trust, are as follows:
<TABLE>
<CAPTION>
UNRATED BUT OF
MOODY'S STANDARD & POOR'S COMPARABLE QUALITY PERCENTAGE*
- ----------------------------------------------------------------------
<S> <C> <C> <C>
Aaa AAA 0% 9%
Aa AA 0% 5%
A A 0% 19%
Baa BBB 0% 5%
Ba BB 0% 2%
B B 0% 1%
Caa CCC 0% 0%
Ca CC 0% 0%
C C 0% 0%
D 0% 0%
Unrated as a Group 0%
U.S. Government Securities* 59%
---
100%
</TABLE>
The actual distribution of the Investment Quality Bond Trust's
corporate and government bond investments by ratings on any given date will
vary. In addition, the distribution of the Trust's investments by ratings as set
forth above should not be considered as representative of the Trust's future
portfolio composition.
*Obligations issued or guaranteed by the U.S. Government or its agencies,
authorities or instrumentalities.
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<PAGE> 52
- --------------------------------------------------------------------------------
STATEMENT OF ADDITIONAL INFORMATION
- --------------------------------------------------------------------------------
NASL SERIES TRUST
(the "Trust")
This Statement of Additional Information is not a prospectus but should
be read in conjunction with the Trust's Prospectus dated February 12, 1996 which
may be obtained from NASL Series Trust, 116 Huntington Avenue, Boston,
Massachusetts, 02116.
The date of this Statement of Additional Information is February 12, 1996.
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<PAGE> 53
TABLE OF CONTENTS
<TABLE>
<S> <C>
INVESTMENT POLICIES ................................................................................... 3
Money Market Instruments ........................................................................ 4
Other Instruments ............................................................................... 4
HEDGING AND OTHER STRATEGIC TRANSACTIONS .............................................................. 9
General Characteristics of Options .............................................................. 9
General Characteristics of Futures Contracts and Options on Futures Contracts ................... 11
Options on Securities Indices and Other Financial Indices........................................ 11
Currency Transactions............................................................................ 11
Combined Transactions............................................................................ 12
Swaps, Caps, Floors and Collars.................................................................. 12
Eurodollar Instruments........................................................................... 13
Risk Factors..................................................................................... 13
Risks of Hedging and Other Strategic Transactions Outside the United States...................... 14
Use of Segregated and Other Special Accounts..................................................... 14
Other Limitations................................................................................ 15
INVESTMENT RESTRICTIONS ............................................................................... 15
Fundamental...................................................................................... 15
Nonfundamental................................................................................... 16
PORTFOLIO TURNOVER .................................................................................... 17
MANAGEMENT OF THE TRUST ............................................................................... 18
Compensation of Trustees ........................................................................ 19
INVESTMENT MANAGEMENT ARRANGEMENTS .................................................................... 19
The Advisory Agreement .......................................................................... 20
The Subadvisory Agreements ...................................................................... 21
Agreement With Prior Subadviser.................................................................. 24
PORTFOLIO BROKERAGE ................................................................................... 24
PURCHASE AND REDEMPTION OF SHARES ..................................................................... 28
DETERMINATION OF NET ASSET VALUE ...................................................................... 28
PERFORMANCE DATA ...................................................................................... 29
ORGANIZATION OF THE TRUST ............................................................................. 30
Shares of the Trust ............................................................................. 30
Principal Holders of Securities ................................................................. 31
REPORTS TO SHAREHOLDERS ............................................................................... 32
INDEPENDENT ACCOUNTANTS ............................................................................... 32
LEGAL COUNSEL ......................................................................................... 32
FINANCIAL STATEMENTS .................................................................................. 33
</TABLE>
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<PAGE> 54
INVESTMENT POLICIES
The following discussion supplements the Trust's "Investment Objectives
and Policies" set forth in the Prospectus.
MONEY MARKET INSTRUMENTS
The Money Market Trust will be invested in the types of money market
instruments described below. Certain of the instruments listed below may also be
purchased by the other portfolios in accordance with their investment policies
and all portfolios may purchase such instruments to invest otherwise idle cash
or for defensive purposes, except that the U.S. Government Securities Trust may
not invest in the instruments described in 2. below.
1. U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS. Government
obligations are debt securities issued or guaranteed as to principal or interest
by the U.S. Treasury. These securities include treasury bills, notes and bonds.
U.S. Government agency obligations are debt securities issued or guaranteed as
to principal or interest by an agency or instrumentality of the U.S. Government
pursuant to authority granted by Congress. U.S. Government agency obligations
include, but are not limited to, the Student Loan Marketing Association, Federal
Home Loan Banks, Federal Intermediate Credit Banks and the Federal National
Mortgage Association. U.S. instrumentality obligations include, but are not
limited to, the Export-Import Bank and Farmers Home Administration. Some
obligations issued or guaranteed by U.S. Government agencies or
instrumentalities are supported by the right of the issuer to borrow from the
U.S. Treasury or the Federal Reserve Banks, such as those issued by Federal
Intermediate Credit Banks; others, such as those issued by the Federal National
Mortgage Association, by discretionary authority of the U.S. Government to
purchase certain obligations of the agency or instrumentality; and others, such
as those issued by the Student Loan Marketing Association, only by the credit of
the agency or instrumentality. There are also separately traded interest
components of securities issued or guaranteed by the United States Treasury. No
assurance can be given that the U.S. Government will provide financial support
to such U.S. Government sponsored agencies or instrumentalities in the future,
since it is not obligated to do so by law. The foregoing types of instruments
are hereafter collectively referred to as "U.S. Government securities."
2. CANADIAN AND PROVINCIAL GOVERNMENT AND CROWN AGENCY Obligations.
Canadian Government obligations are debt securities issued or guaranteed as to
principal or interest by the Government of Canada pursuant to authority granted
by the Parliament of Canada and approved by the Governor in Council, where
necessary. These securities include treasury bills, notes, bonds, debentures and
marketable Government of Canada loans. Canadian Crown agency obligations are
debt securities issued or guaranteed by a Crown corporation, company or agency
("Crown agencies") pursuant to authority granted by the Parliament of Canada and
approved by the Governor in Council, where necessary. Certain Crown agencies are
by statute agents of Her Majesty in right of Canada, and their obligations, when
properly authorized, constitute direct obligations of the Government of Canada.
Such obligations include, but are not limited to, those issued or guaranteed by
the Export Development Corporation, Farm Credit Corporation, Federal Business
Development Bank and Canada Post Corporation. In addition, certain Crown
agencies which are not by law agents of Her Majesty may issue obligations which
by statute the Governor in Council may authorize the Minister of Finance to
guarantee on behalf of the Government of Canada. Other Crown agencies which are
not by law agents of Her Majesty may issue or guarantee obligations not entitled
to be guaranteed by the Government of Canada. No assurance can be given that the
Government of Canada will support the obligations of Crown agencies which are
not agents of Her Majesty, which it has not guaranteed, since it is not
obligated to do so by law.
Provincial Government obligations are debt securities issued or
guaranteed as to principal or interest by the government of any province of
Canada pursuant to authority granted by the Legislature of any such province and
approved by the Lieutenant Governor in Council of any such province, where
necessary. These securities include treasury bills, notes, bonds and debentures.
Provincial Crown agency obligations are debt securities issued or guaranteed by
a provincial Crown corporation, company or agency ("provincial Crown agencies")
pursuant to authority granted by a provincial Legislature and approved by the
Lieutenant Governor in Council of such province, where necessary. Certain
provincial Crown agencies are by statute agents of Her Majesty in right of a
particular province of Canada, and their obligations, when properly authorized,
constitute direct obligations of such province. Other provincial Crown agencies
which are not by law agents of Her Majesty in right of a particular province of
Canada may issue obligations which by statute the Lieutenant Governor in Council
of such province may guarantee, or may authorize the Treasurer thereof to
guarantee, on behalf of the government of such province. Finally, other
provincial Crown agencies which are not by law agencies of Her Majesty may issue
or guarantee obligations not entitled to be guaranteed by a provincial
government. No assurance can be given that the government of any province of
Canada will support the obligations of provincial Crown agencies which are not
agents of Her Majesty, which it has not guaranteed, as it is not obligated to do
so by law. Provincial Crown agency obligations described above include, but are
not limited to, those issued or guaranteed by a provincial railway corporation,
a provincial hydroelectric or power commission or authority, a provincial
municipal financing corporation or agency and a provincial telephone commission
or authority.
Any Canadian obligation acquired by the Money Market Trust will be
payable in U.S. dollars.
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<PAGE> 55
3. CERTIFICATES OF DEPOSIT AND BANKERS' ACCEPTANCES. Certificates of
deposit are certificates issued against funds deposited in a bank or a savings
and loan. They are for a definite period of time and earn a specified rate of
return. Bankers' acceptances are short-term credit instruments evidencing the
obligation of a bank to pay a draft which has been drawn on it by a customer.
These instruments reflect the obligation both of the bank and of the drawer to
pay the face amount of the instrument upon maturity. They are primarily used to
finance the import, export, transfer or storage of goods. They are termed
"accepted" when a bank guarantees their payment at maturity.
Trust portfolios may acquire obligations of foreign banks and foreign
branches of U.S. banks. These obligations are not insured by the Federal Deposit
Insurance Corporation.
4. COMMERCIAL PAPER. Commercial paper consists of unsecured promissory
notes issued by corporations to finance short-term credit needs. Commercial
paper is issued in bearer form with maturities generally not exceeding nine
months. Commercial paper obligations may include variable amount master demand
notes. Variable amount master demand notes are obligations that permit the
investment of fluctuating amounts at varying rates of interest pursuant to
direct arrangements between a portfolio, as lender, and the borrower. These
notes permit daily changes in the amounts borrowed. The portfolio has the right
to increase the amount under the note at any time up to the full amount provided
by the note agreement, or to decrease the amount, and the borrower may prepay up
to the full amount of the note without penalty. Because variable amount master
demand notes are direct lending arrangements between the lender and borrower, it
is not generally contemplated that such instruments will be traded, and there is
no secondary market for these notes, although they are redeemable (and thus
immediately repayable by the borrower) at face value, plus accrued interest, at
any time. A portfolio will only invest in variable amount master demand notes
issued by companies which at the date of investment have an outstanding debt
issue rated "Aaa" or "Aa" by Moody's or "AAA" or "AA" by S&P and which the
applicable Subadviser has determined present minimal risk of loss to the
portfolio. A Subadviser will look generally at the financial strength of the
issuing company as "backing" for the note and not to any security interest or
supplemental source such as a bank letter of credit. A master demand note will
be valued each day a portfolio's net asset value is determined, which value will
generally be equal to the face value of the note plus accrued interest unless
the financial position of the issuer is such that its ability to repay the note
when due is in question.
5. CORPORATE OBLIGATIONS. Corporate obligations include bonds and notes
issued by corporations to finance long-term credit needs.
6. REPURCHASE AGREEMENTS. Repurchase agreements are arrangements
involving the purchase of obligations by a portfolio and the simultaneous
agreement to resell the same obligations on demand or at a specified future date
and at an agreed upon price. A repurchase agreement can be viewed as a loan made
by a portfolio to the seller of the obligation with such obligation serving as
collateral for the seller's agreement to repay the amount borrowed with
interest. Such transactions afford an opportunity for a portfolio to earn a
return on cash which is only temporarily available. Repurchase agreements
entered into by the portfolio will be with banks, brokers or dealers. However, a
portfolio will enter into a repurchase agreement with a broker or dealer only if
the broker or dealer agrees to deposit additional collateral should the value of
the obligation purchased by the portfolio decrease below the resale price.
In selecting sellers with whom the portfolio will enter into repurchase
transactions, the Trustees have adopted procedures that establish certain credit
worthiness, asset and collateralization requirements and limit the
counterparties to repurchase transactions to those financial institutions which
are members of the Federal Reserve System and for a primary government
securities dealer reporting to the Federal Reserve Bank of New York's Market
Reports Division or a broker/dealer which meet certain credit worthiness
criteria or which report U.S. Government securities positions to the Federal
Reserve Board. However, the Trustees reserve the right to change the criteria
used to select such financial institutions and broker/dealers. The Trustees will
regularly monitor the use of repurchase agreements and the Subadviser will,
pursuant to procedures adopted by the Trustees, continuously monitor that the
collateral held with respect to a repurchase transaction equals or exceeds the
amount of the obligations.
Should an issuer of a repurchase agreement fail to repurchase the
underlying obligation, the loss to the portfolio, if any, would be the
difference between the repurchase price and the underlying obligation's market
value. A portfolio might also incur certain costs in liquidating the underlying
obligation. Moreover, if bankruptcy or other insolvency proceedings should be
commenced with respect to the seller, realization upon the underlying obligation
by the Trust might be delayed or limited. Generally, repurchase agreements are
of a short duration, often less than one week but on occasion for longer
periods.
OTHER INSTRUMENTS
The following provides a more detailed explanation of some of the other
instruments in which the International Small Cap, Value Equity, Strategic Bond,
International Growth and Income, U.S. Government Securities, Investment Quality
Bond and Automatic Asset Allocation Trusts may invest.
4
<PAGE> 56
1. MORTGAGE SECURITIES
Mortgage securities differ from conventional bonds in that principal is
paid over the life of the securities rather than at maturity. As a result, a
portfolio receives monthly scheduled payments of principal and interest, and may
receive unscheduled principal payments representing prepayments on the
underlying mortgages. When a portfolio reinvests the payments and any
unscheduled prepayments of principal it receives, it may receive a rate of
interest which is higher or lower than the rate on the existing mortgage
securities. For this reason, mortgage securities may be less effective than
other types of debt securities as a means of locking in long term interest
rates.
In addition, because the underlying mortgage loans and assets may be
prepaid at any time, if a portfolio purchases mortgage securities at a premium,
a prepayment rate that is faster than expected will reduce yield to maturity,
while a prepayment rate that is slower than expected will have the opposite
effect of increasing yield to maturity. Conversely, if a portfolio purchases
these securities at a discount, faster than expected prepayments will increase,
while slower than expected payments will reduce, yield to maturity.
Adjustable rate mortgage securities, are similar to the mortgage
securities discussed above, except that unlike fixed rate mortgage securities,
adjustable rate mortgage securities are collateralized by or represent interests
in mortgage loans with variable rates of interest. These variable rates of
interest reset periodically to align themselves with market rates. Most
adjustable rate mortgage securities provide for an initial mortgage rate that is
in effect for a fixed period, typically ranging from three to twelve months.
Thereafter, the mortgage interest rate will reset periodically in accordance
with movements in a specified published interest rate index. The amount of
interest due to an adjustable rate mortgage holder is determined in accordance
with movements in a specified published interest rate index by adding a
pre-determined increment or "margin" to the specified interest rate index. Many
adjustable rate mortgage securities reset their interest rates based on changes
in the one-year, three-year and five-year constant maturity Treasury rates, the
three-month or six-month Treasury Bill rate, the 11th District Federal Home Loan
Bank Cost of Funds, the National Median Cost of Funds, the one-month,
three-month, six-month or one-year London Interbank Offered Rate ("LIBOR") and
other market rates.
A portfolio will not benefit from increases in interest rates to the
extent that interest rates rise to the point where they cause the current coupon
of adjustable rate mortgages held as investments to exceed any maximum allowable
annual or lifetime reset limits (or "cap rates") for a particular mortgage. In
this event, the value of the mortgage securities in a portfolio would likely
decrease. Also, the portfolio's net asset value could vary to the extent that
current yields on adjustable rate mortgage securities are different than market
yields during interim periods between coupon reset dates. During periods of
declining interest rates, income to a portfolio derived from adjustable rate
mortgages which remain in a mortgage pool will decrease in contrast to the
income on fixed rate mortgages, which will remain constant. Adjustable rate
mortgages also have less potential for appreciation in value as interest rates
decline than do fixed rate investments.
Privately-Issued Mortgage Securities. Privately-issued pass through
securities provide for the monthly principal and interest payments made by
individual borrowers to pass through to investors on a corporate basis, and in
privately issued collateralized mortgage obligations, as further described
below. Privately-issued mortgage securities are issued by private originators
of, or investors in, mortgage loans, including mortgage bankers, commercial
banks, investment banks, savings and loan associations and special purpose
subsidiaries of the foregoing. Since privately-issued mortgage certificates are
not guaranteed by an entity having the credit status of GNMA or FHLMC, such
securities generally are structured with one or more types of credit
enhancement. For a description of the types of credit enhancements that may
accompany privately-issued mortgage securities, see "Types of Credit Support"
below. A portfolio will not limit its investments to asset-backed securities
with credit enhancements.
Collateralized Mortgage Obligations ("CMOs"). CMOs generally are bonds
or certificates issued in multiple classes that are collateralized by or
represent an interest in mortgages. CMOs may be issued by single-purpose,
stand-alone finance subsidiaries or trusts of financial institutions, government
agencies, investment banks or other similar institutions. Each class of CMOs,
often referred to as a "tranche", may be issued with a specific fixed coupon
rate (which may be zero) or a floating coupon rate, and has a stated maturity or
final distribution date. Principal prepayments on the underlying mortgages may
cause the CMOs to be retired substantially earlier than their stated maturities
or final distribution dates. Interest is paid or accrued on CMOs on a monthly,
quarterly or semiannual basis. The principal of and interest on the underlying
mortgages may be allocated among the several classes of a series of a CMO in
many ways. The general goal sought to be achieved in allocating cash flows on
the underlying mortgages to the various classes of a series of CMOs is to create
tranches on which the expected cash flows have a higher degree of predictability
than the underlying mortgages. As a general matter, the more predictable the
cash flow is on a CMO tranche, the lower the anticipated yield will be on that
tranche at the time of issuance. As part of the process of creating more
predictable cash flows on most of the tranches in a series of CMOs, one or more
tranches generally must be created that absorb most of the volatility in the
cash flows on the underlying mortgages. The yields on these tranches are
relatively higher than on tranches with more predictable cash flows. Because of
the uncertainty of the cash flows on these tranches, and the sensitivity thereof
to changes in prepayment rates on the underlying mortgages, the market prices of
and yield on these tranches tend to be highly volatile.
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<PAGE> 57
CMOs purchased may be:
(1) collateralized by pools of mortgages in which each mortgage is
guaranteed as to payment of principal and interest by an agency or
instrumentality of the U.S. Government;
(2) collateralized by pools of mortgages in which payment of principal
and interest is guaranteed by the issuer and the guarantee is
collateralized by U.S. Government securities; or
(3) securities for which the proceeds of the issuance are invested in
mortgage securities and payment of the principal and interest is
supported by the credit of an agency or instrumentality of the U.S.
Government.
STRIPS. In addition to the U.S. Government securities discussed above,
certain portfolios may invest in separately traded interest components of
securities issued or guaranteed by the United States Treasury. The interest
components of selected securities are traded independently under the Separate
Trading of Registered Interest and Principal of Securities program ("STRIPS").
Under the STRIPS program, the interest components are individually numbered and
separately issued by the United States Treasury at the request of depository
financial institutions, which then trade the component parts independently.
Stripped Mortgage Securities. Stripped mortgage securities are
derivative multiclass mortgage securities. Stripped mortgage securities may be
issued by agencies or instrumentalities of the U.S. Government, or by private
issuers, including savings and loan associations, mortgage banks, commercial
banks, investment banks and special purpose subsidiaries of the foregoing.
Stripped mortgage securities have greater volatility than other types of
mortgage securities in which the portfolio invests. Although stripped mortgage
securities are purchased and sold by institutional investors through several
investment banking firms acting as brokers or dealers, the market for such
securities has not yet been fully developed. Accordingly, stripped mortgage
securities are generally illiquid and to such extent, together with any other
illiquid investments, will not exceed 15% of a portfolio's net assets.
Stripped mortgage securities are usually structured with two classes
that receive different proportions of the interest and principal distributions
on a pool of mortgage assets. A common type of stripped mortgage security will
have one class receiving some of the interest and most of the principal from the
mortgage assets, while the other class will receive most of the interest and the
remainder of the principal. In the most extreme case, one class will receive all
of the interest (the interest-only or "IO" class), while the other class will
receive all of the principal (the principal-only or "PO" class). The yield to
maturity on an IO class is extremely sensitive not only to changes in prevailing
interest rates but also the rate of principal payments (including prepayments)
on the related underlying mortgage assets, and a rapid rate of principal
payments may have a material adverse effect on the portfolio's yield to
maturity. If the underlying mortgage assets experience greater than anticipated
prepayments of principal, the portfolio may fail to fully recoup its initial
investment in these securities even if the securities are rated AAA by S&P.
As interest rates rise and fall, the value of IOs tends to move in the
same direction as interest rates. The value of the other mortgage securities
described in this Prospectus, like other debt instruments, will tend to move in
the opposite direction to interest rates. Accordingly, the Trust believes that
investing in IOs, in conjunction with the other mortgage securities described
herein, will contribute to a portfolio's relatively stable net asset value.
In addition to the stripped mortgage securities described above, the
Strategic Bond Trust may invest in similar securities such as Super POs and
Levered IOs which are more volatile than POs IOs and IOettes. Risks associated
with instruments such as Super POs are similar in nature to those risks related
to investments in POs. Risks connected with Levered IOs and IOettes are similar
in nature to those associated with IOs. The Strategic Bond Trust may also invest
in other similar instruments developed in the future that are deemed consistent
with the investment objectives, policies and restrictions of the portfolio.
Under the Internal Revenue Code of 1986, as amended (the "Code"), POs
may generate taxable income from the current accrual of original issue discount,
without a corresponding distribution of cash to the portfolio. See "Additional
Information Concerning Taxes."
Inverse Floaters. The Strategic Bond Trust may invest in inverse
floaters which are also derivative mortgage securities. Inverse floaters may be
issued by agencies or instrumentalities of the U.S. Government, or by private
issuers, including savings and loan associations, mortgage banks, commercial
banks, investment banks and special purpose subsidiaries of the foregoing.
Inverse floaters have greater volatility than other types of mortgage securities
in which the portfolio invests (with the exception of stripped mortgage
securities). Although inverse floaters are purchased and sold by institutional
investors through several investment banking firms acting as brokers or dealers,
the market for such securities has not yet been fully developed. Accordingly,
inverse floaters are generally illiquid and to such extent, together with any
other illiquid investments, will not exceed 15% of a portfolio's net assets.
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<PAGE> 58
Inverse floaters are structured as a class of security that receives
distributions on a pool of mortgage assets and whose yields move in the opposite
direction of short-term interest rates and at an accelerated rate. Inverse
floaters may be volatile and there is a risk that their market value will vary
from their amortized cost.
2. ASSET-BACKED SECURITIES
The securitization techniques used to develop mortgage securities are
also being applied to a broad range of other assets. Through the use of trusts
and special purpose corporations, automobile and credit card receivables are
being securitized in pass-through structures similar to mortgage pass-through
structures or in a pay-through structure similar to the CMO structure. Generally
the issuers of asset-backed bonds, notes or pass-through certificates are
special purpose entities and do not have any significant assets other than the
receivables securing such obligations. In general, the collateral supporting
asset-backed securities is of shorter maturity than mortgage loans. As a result,
investment in these securities should result in greater price stability for the
portfolio's shares. Instruments backed by pools of receivables are similar to
mortgage-backed securities in that they are subject to unscheduled prepayments
of principal prior to maturity. When the obligations are prepaid, the portfolio
must reinvest the prepaid amounts in securities the yields of which reflect
interest rates prevailing at the time. Therefore, a portfolio's ability to
maintain a portfolio which includes high-yielding asset-backed securities will
be adversely affected to the extent that prepayments of principal must be
reinvested in securities which have lower yields than the prepaid obligations.
Moreover, prepayments of securities purchased at a premium could result in a
realized loss. A portfolio will only invest in asset- backed securities rated,
at the time of purchase, AA or better by S&P or Aa or better by Moody's or
which, in the opinion of the investment subadviser, are of comparable quality.
As with mortgage securities, asset-backed securities are often backed
by a pool of assets representing the obligation of a number of different parties
and use similar credit enhancement techniques. For a description of the types of
credit enhancement that may accompany privately-issued mortgage securities, see
"Types of Credit Support" below. A portfolio will not limit its investments to
asset-backed securities with credit enhancements. Although asset-backed
securities are not generally traded on a national securities exchange, such
securities are widely traded by brokers and dealers, and to such extent will not
be considered illiquid securities for the purposes of the investment restriction
under "Investment Restrictions" below.
TYPES OF CREDIT SUPPORT. Mortgage securities and asset-backed
securities are often backed by a pool of assets representing the obligations of
a number of different parties. To lessen the effect of failure by obligors on
underlying assets to make payments, such securities may contain elements of
credit support. Such credit support falls into two categories: (i) liquidity
protection and (ii) protection against losses resulting from ultimate default by
an obligor on the underlying assets. Liquidity protection refers to the
provision of advances, generally by the entity administering the pool of assets,
to ensure that the pass-through of payments due on the underlying pool occurs in
a timely fashion. Protection against losses resulting from ultimate default
enhances the likelihood of ultimate payment of the obligations on at least a
portion of the assets in the pool. Such protection may be provided through
guarantees, insurance policies or letters of credit obtained by the issuer or
sponsor from third parties, through various means of structuring the transaction
or through a combination of such approaches. The Fund will not pay any
additional fees for such credit support, although the existence of credit
support may increase the price of a security.
The ratings of mortgage securities and asset-backed securities for
which third-party credit enhancement provides liquidity protection or protection
against losses from default are generally dependent upon the continued
creditworthiness of the provider of the credit enhancement. The ratings of such
securities could be subject to reduction in the event of deterioration in the
creditworthiness of the credit enhancement provider even in cases where the
delinquency and loss experience on the underlying pool of assets is better than
expected.
Examples of credit support arising out of the structure of the
transaction include "senior-subordinated securities" (multiple class securities
with one or more classes subordinate to other classes as to the payment of
principal thereof and interest thereon, with the result that defaults on the
underlying assets are borne first by the holders of the subordinated class),
creation of "reserve funds" (where cash or investments sometimes funded from a
portion of the payments on the underlying assets, are held in reserve against
future losses) and "over-collateralization" (where the scheduled payments on, or
the principal amount of, the underlying assets exceed those required to make
payment of the securities and pay any servicing or other fees). The degree of
credit support provided for each issue is generally based on historical
information with respect to the level of credit risk associated with the
underlying assets. Delinquency or loss in excess of that which is anticipated
could adversely affect the return on an investment in such security.
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3. ZERO COUPON SECURITIES AND PAY-IN-KIND BONDS
Zero coupon securities and pay-in-kind bonds involve special risk
considerations. Zero coupon securities are debt securities that pay no cash
income but are sold at substantial discounts from their value at maturity. When
a zero coupon security is held to maturity, its entire return, which consists of
the amortization of discount, comes from the difference between its purchase
price and its maturity value. This difference is known at the time of purchase,
so that investors holding zero coupon securities until maturity know at the time
of their investment what the return on their investment will be. Certain zero
coupon securities also are sold at substantial discounts from their maturity
value and provide for the commencement of regular interest payments at a
deferred date. The portfolios also may purchase pay-in-kind bonds. Pay-in-kind
bonds are bonds that pay all or a portion of their interest in the form of debt
or equity securities.
Zero coupon securities and pay-in-kind bonds tend to be subject to
greater price fluctuations in response to changes in interest rates than are
ordinary interest-paying debt securities with similar maturities. The value of
zero coupon securities appreciates more during periods of declining interest
rates and depreciates more during periods of rising interest rates.
Zero coupon securities and pay-in-kind bonds may be issued by a wide
variety of corporate and governmental issuers. Although zero coupon securities
and pay-in-kind bonds are generally not traded on a national securities
exchange, such securities are widely traded by brokers and dealers and, to such
extent, will not be considered illiquid for the purposes of the investment
restriction under "Investment Restrictions" below.
Current federal income tax law requires the holder of a zero coupon
security or certain pay-in-kind bonds to accrue income with respect to these
securities prior to the receipt of cash payments. To maintain its qualification
as a regulated investment company and avoid liability for federal income and
excise taxes, a portfolio may be required to distribute income accrued with
respect to these securities and may have to dispose of portfolio securities
under disadvantageous circumstances in order to generate cash to satisfy these
distribution requirements. See "Taxes--Pay-in-kind Bonds and Zero Coupon Bonds"
below.
4. HIGH YIELD (HIGH RISK) DOMESTIC CORPORATE DEBT SECURITIES
The market for high yield U.S. corporate debt securities has undergone
significant changes in the past decade. Issuers in the U.S. high yield market
originally consisted primarily of growing small capitalization companies and
larger capitalization companies whose credit quality had declined from
investment grade. During the mid-1980's, participants in the U.S. high yield
market issued high yield securities principally in connection with leveraged
buyouts and other leveraged recapitalizations. In late 1989 and 1990, the volume
of new issues of high yield U.S. corporate debt declined significantly and
liquidity in the market decreased. Since early 1991, the volume of new issues of
high yield U.S. corporate debt securities has increased substantially and
secondary market liquidity has improved. During the same periods, the U.S. high
yield debt market exhibited strong returns, and it continues to be an attractive
market in terms of yield and yield spread over U.S. Treasury securities.
Currently, most new offerings of U.S. high yield securities are being issued to
refinance higher coupon debt and to raise funds for general corporate purposes.
High yield U.S. corporate debt securities in which the portfolios may
invest include bonds, debentures, notes and commercial paper and will generally
be unsecured. Most of these debt securities will bear interest at fixed rates.
However, the portfolios may also invest in debt securities with variable rates
of interest or which involve equity features, such as contingent interest or
participations based on revenues, sales or profits (i.e., interest or other
payments, often in addition to a fixed rate of return, that are based on the
borrower's attainment of specified levels of revenues, sales or profits and thus
enable the holder of the security to share in the potential success of the
venture).
5. HIGH YIELD FOREIGN SOVEREIGN DEBT SECURITIES
The International Small Cap, Strategic Bond and Investment Quality Bond
Trusts expect that a significant portion of their emerging market governmental
debt obligations will consist of "Brady Bonds." In addition, the Moderate and
Aggressive Asset Allocation Trusts may also invest in Brady Bonds. Brady Bonds
are debt securities issued under the framework of the "Brady Plan," an
initiative announced by former U.S. Treasury Secretary Nicholas F. Brady in 1989
as a mechanism for debtor nations to restructure their outstanding external
commercial bank indebtedness. The Brady Plan framework, as it has developed,
contemplates the exchange of external commercial bank debt for newly issued
bonds (Brady Bonds). Brady Bonds may also be issued in respect of new money
being advanced by existing lenders in connection with the debt restructuring.
Investors should recognize that Brady Bonds have been issued only recently, and
accordingly do not have a long payment history. Brady Bonds issued to date
generally have maturities of between 15 and 30 years from the date of issuance
and have traded at a deep discount from their face value. The Trusts may invest
in Brady Bonds of emerging market countries that have been issued to date, as
well as those which may be issued in the future. In addition to Brady Bonds, the
Trusts may invest in emerging market governmental obligations issued as a result
of debt restructuring agreements outside of the scope of the Brady Plan.
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Agreements implemented under the Brady Plan to date are designed to
achieve debt and debt-service reduction through specific options negotiated by a
debtor nation with its creditors. As a result, the financial packages offered by
each country differ. The types of options have included the exchange of
outstanding commercial bank debt for bonds issued at 100% of face value of such
debt which carry a below-market stated rate of interest (generally known as par
bonds), bonds issued at a discount from face value of such debt (generally known
as discount bonds), bonds bearing an interest rate which increases over time and
bonds issued in exchange for the advancement of new money by existing lenders.
Discount bonds issued to date under the framework of the Brady Plan have
generally borne interest computed semi-annually at a rate equal to 13/16 of one
percent above the current six month LIBOR rate. Regardless of the stated face
amount and stated interest rate of the various types of Brady Bonds, the Trusts
will purchase Brady Bonds in secondary markets, as described below, in which the
price and yield to the investor reflect market conditions at the time of
purchase. Brady Bonds issued to date have traded at a deep discount from their
face value. Certain sovereign bonds are entitled to "value recovery payments" in
certain circumstances, which in effect constitute supplemental interest payments
but generally are not collateralized. Certain Brady Bonds have been
collateralized as to principal due at maturity (typically 15 to 30 years from
the date of issuance) by U.S. Treasury zero coupon bonds with a maturity equal
to the final maturity of such Brady Bonds, although the collateral is not
available to investors until the final maturity of the Brady Bonds. Collateral
purchases are financed by the International Monetary Fund (the "IMF"), the World
Bank and the debtor nations' reserves. In addition, interest payments on certain
types of Brady Bonds may be collateralized by cash or high-grade securities in
amounts that typically represent between 12 and 18 months of interest accruals
on these instruments with the balance of the interest accruals being
uncollateralized. The Trusts may purchase Brady Bonds with no or limited
collateralization, and will be relying for payment of interest and (except in
the case of principal collateralized Brady Bonds) principal primarily on the
willingness and ability of the foreign government to make payment in accordance
with the terms of the Brady Bonds. Brady Bonds issued to date are purchased and
sold in secondary markets through U.S. securities dealers and other financial
institutions and are generally maintained through European transactional
securities depositories. A substantial portion of the Brady Bonds and other
sovereign debt securities in which the portfolios invest are likely to be
acquired at a discount.
HEDGING AND OTHER STRATEGIC TRANSACTIONS
As described in the Prospectus under "Hedging and Other Strategic
Transactions", an individual portfolio may be authorized to use a variety of
investment strategies. These strategies will be used for hedging purposes only,
including hedging various market risks (such as interest rates, currency
exchange rates and broad or specific market movements), and managing the
effective maturity or duration of debt instruments held by the portfolio (such
investment strategies and transactions are referred to herein as "Hedging and
Other Strategic Transactions"). The description in this Prospectus of each
portfolio indicates which, if any, of these types of transactions may be used by
the portfolio.
A detailed discussion of Hedging and Other Strategic Transactions
follows below. No portfolio which is authorized to use any of these investment
strategies will be obligated, however, to pursue any of such strategies and no
portfolio makes any representation as to the availability of these techniques at
this time or at any time in the future. In addition, a portfolio's ability to
pursue certain of these strategies may be limited by the Commodity Exchange Act,
as amended, applicable rules and regulations of the CFTC thereunder and the
federal income tax requirements applicable to regulated investment companies
which are not operated as commodity pools.
GENERAL CHARACTERISTICS OF OPTIONS
Put options and call options typically have similar structural
characteristics and operational mechanics regardless of the underlying
instrument on which they are purchased or sold. Thus, the following general
discussion relates to each of the particular types of options discussed in
greater detail below. In addition, many Hedging and Other Strategic Transactions
involving options require segregation of portfolio assets in special accounts,
as described below under "Use of Segregated and Other Special Accounts."
A put option gives the purchaser of the option, upon payment of a
premium, the right to sell, and the writer the obligation to buy, the underlying
security, commodity, index, currency or other instrument at the exercise price.
A portfolio's purchase of a put option on a security, for example, might be
designed to protect its holdings in the underlying instrument (or, in some
cases, a similar instrument) against a substantial decline in the market value
of such instrument by giving the portfolio the right to sell the instrument at
the option exercise price. A call option, upon payment of a premium, gives the
purchaser of the option the right to buy, and the seller the obligation to sell,
the underlying instrument at the exercise price. A portfolio's purchase of a
call option on a security, financial futures contract, index, currency or other
instrument might be intended to protect the portfolio against an increase in the
price of the underlying instrument that it intends to purchase in the future by
fixing the price at which it may purchase the instrument. An "American" style
put or call option may be exercised at any time during the option period,
whereas a "European" style put or call option may be exercised only upon
expiration or during a fixed period prior to expiration. Exchange-listed options
are issued by a regulated intermediary such as the Options Clearing Corporation
("OCC"), which guarantees the performance of the obligations of the parties to
the options. The discussion below uses the OCC as an example, but is also
applicable to other similar financial intermediaries.
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OCC-issued and exchange-listed options, with certain exceptions,
generally settle by physical delivery of the underlying security or currency,
although in the future, cash settlement may become available. Index options and
Eurodollar instruments (which are described below under "Eurodollar
Instruments") are cash settled for the net amount, if any, by which the option
is "in-the-money" (that is, the amount by which the value of the underlying
instrument exceeds, in the case of a call option, or is less than, in the case
of a put option, the exercise price of the option) at the time the option is
exercised. Frequently, rather than taking or making delivery of the underlying
instrument through the process of exercising the option, listed options are
closed by entering into offsetting purchase or sale transactions that do not
result in ownership of the new option.
A portfolio's ability to close out its position as a purchaser or
seller of an OCC-issued or exchange-listed put or call option is dependent, in
part, upon the liquidity of the particular option market. Among the possible
reasons for the absence of a liquid option market on an exchange are: (1)
insufficient trading interest in certain options, (2) restrictions on
transactions imposed by an exchange, (3) trading halts, suspensions or other
restrictions imposed with respect to particular classes or series of options or
underlying securities, including reaching daily price limits, (4) interruption
of the normal operations of the OCC or an exchange, (5) inadequacy of the
facilities of an exchange or the OCC to handle current trading volume or (6) a
decision by one or more exchanges to discontinue the trading of options (or a
particular class or series of options), in which event the relevant market for
that option on that exchange would cease to exist, although any such outstanding
options on that exchange would continue to be exercisable in accordance with
their terms.
The hours of trading for listed options may not coincide with the hours
during which the underlying financial instruments are traded. To the extent that
the option markets close before the markets for the underlying financial
instruments, significant price and rate movements can take place in the
underlying markets that would not be reflected in the corresponding option
markets.
Over-the-counter ("OTC") options are purchased from or sold to
securities dealers, financial institutions or other parties (collectively
referred to as "Counterparties" and individually referred to as a
"Counterparty") through direct bilateral agreement with the Counterparty. In
contrast to exchange-listed options, which generally have standardized terms and
performance mechanics, all of the terms of an OTC option, including such terms
as method of settlement, term, exercise price, premium, guaranties and security,
are determined by negotiation of the parties. It is anticipated that any
portfolio authorized to use OTC options will generally only enter into OTC
options that have cash settlement provisions, although it will not be required
to do so.
Unless the parties provide for it, no central clearing or guaranty
function is involved in an OTC option. As a result, if a Counterparty fails to
make or take delivery of the security, currency or other instrument underlying
an OTC option it has entered into with a portfolio or fails to make a cash
settlement payment due in accordance with the terms of that option, the
portfolio will lose any premium it paid for the option as well as any
anticipated benefit of the transaction. Thus, the subadviser must assess the
creditworthiness of each such Counterparty or any guarantor or credit
enhancement of the Counterparty's credit to determine the likelihood that the
terms of the OTC option will be met. A portfolio will enter into OTC option
transactions only with U.S. Government securities dealers recognized by the
Federal Reserve Bank of New York as "primary dealers," or broker-dealers,
domestic or foreign banks, or other financial institutions that are deemed
creditworthy by the subadviser. In the absence of a change in the current
position of the staff of the Commission, OTC options purchased by a portfolio
and the amount of the portfolio's obligation pursuant to an OTC option sold by
the portfolio (the cost of the sell-back plus the in-the-money amount, if any)
or the value of the assets held to cover such options will be deemed illiquid.
If a portfolio sells a call option, the premium that it receives may
serve as a partial hedge, to the extent of the option premium, against a
decrease in the value of the underlying securities or instruments held by the
portfolio or will increase the portfolio's income. Similarly, the sale of put
options can also provide portfolio gains.
If and to the extent authorized to do so, a portfolio may purchase and
sell call options on securities and on Eurodollar instruments that are traded on
U.S. and foreign securities exchanges and in the OTC markets, and on securities
indices, currencies and futures contracts. All calls sold by a portfolio must be
"covered" (that is, the portfolio must own the securities or futures contract
subject to the call) or must otherwise meet the asset segregation requirements
described below for so long as the call is outstanding. Even though a portfolio
will receive the option premium to help protect it against loss, a call sold by
the portfolio will expose the portfolio during the term of the option to
possible loss of opportunity to realize appreciation in the market price of the
underlying security or instrument and may require the portfolio to hold a
security or instrument that it might otherwise have sold.
Each portfolio reserves the right to invest in options on instruments
and indices which may be developed in the future to the extent consistent with
applicable law, the portfolio's investment objective and the restrictions set
forth herein.
If and to the extent authorized to do so, a portfolio may purchase and
sell put options on securities (whether or not it holds the securities in its
portfolio) and on securities indices, currencies and futures contracts. A
portfolio will not sell put options if, as a result, more than 50% of the
portfolio's assets would be required to be segregated to cover its potential
obligations under put options other than those with
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respect to futures contracts. In selling put options, a portfolio faces the
risk that it may be required to buy the underlying security at a disadvantageous
price above the market price.
GENERAL CHARACTERISTICS OF FUTURES CONTRACTS AND OPTIONS ON FUTURES CONTRACTS
If and to the extent authorized to do so, a portfolio may trade
financial futures contracts or purchase or sell put and call options on those
contracts as a hedge against anticipated interest rate, currency or market
changes, for duration management and for risk management purposes. Futures
contracts are generally bought and sold on the commodities exchanges on which
they are listed with payment of initial and variation margin as described below.
The sale of a futures contract creates a firm obligation by a portfolio, as
seller, to deliver to the buyer the specific type of financial instrument called
for in the contract at a specific future time for a specified price (or, with
respect to certain instruments, the net cash amount). Options on futures
contracts are similar to options on securities except that an option on a
futures contract gives the purchaser the right, in return for the premium paid,
to assume a position in a futures contract and obligates the seller to deliver
that position.
A portfolio's use of financial futures contracts and options thereon
will in all cases be consistent with applicable regulatory requirements and in
particular the rules and regulations of the CFTC and will be entered into only
for bona fide hedging, risk management (including duration management) or other
appropriate portfolio management purposes. Maintaining a futures contract or
selling an option on a futures contract will typically require a portfolio to
deposit with a financial intermediary, as security for its obligations, an
amount of cash or other specified assets ("initial margin") that initially is
from 1% to 10% of the face amount of the contract (but may be higher in some
circumstances). Additional cash or assets ("variation margin") may be required
to be deposited thereafter daily as the mark-to-market value of the futures
contract fluctuates. The purchase of an option on a financial futures contract
involves payment of a premium for the option without any further obligation on
the part of a portfolio. If a portfolio exercises an option on a futures
contract it will be obligated to post initial margin (and potentially variation
margin) for the resulting futures position just as it would for any futures
position. Futures contracts and options thereon are generally settled by
entering into an offsetting transaction, but no assurance can be given that a
position can be offset prior to settlement or that delivery will occur.
No portfolio will enter into a futures contract or option thereon if,
immediately thereafter, the sum of the amount of its initial margin and premiums
on open futures contracts and options thereon would exceed 5% of the current
fair market value of the portfolio's total assets; however, in the case of an
option that is in-the-money at the time of the purchase, the in-the-money amount
may be excluded in calculating the 5% limitation. The value of all futures
contracts sold by a portfolio (adjusted for the historical volatility
relationship between such portfolio and the contracts) will not exceed the total
market value of the portfolio's securities. The segregation requirements with
respect to futures contracts and options thereon are described below under "Use
of Segregated and Other Special Accounts".
OPTIONS ON SECURITIES INDICES AND OTHER FINANCIAL INDICES
If and to the extent authorized to do so, a portfolio may purchase and
sell call and put options on securities indices and other financial indices. In
so doing, the portfolio can achieve many of the same objectives it would achieve
through the sale or purchase of options on individual securities or other
instruments. Options on securities indices and other financial indices are
similar to options on a security or other instrument except that, rather than
settling by physical delivery of the underlying instrument, options on indices
settle by cash settlement; that is, an option on an index gives the holder the
right to receive, upon exercise of the option, an amount of cash if the closing
level of the index upon which the option is based exceeds, in the case of a
call, or is less than, in the case of a put, the exercise price of the option
(except if, in the case of an OTC option, physical delivery is specified). This
amount of cash is equal to the excess of the closing price of the index over the
exercise price of the option, which also may be multiplied by a formula value.
The seller of the option is obligated, in return for the premium received, to
make delivery of this amount. The gain or loss on an option on an index depends
on price movements in the instruments comprising the market, market segment,
industry or other composite on which the underlying index is based, rather than
price movements in individual securities, as is the case with respect to options
on securities.
CURRENCY TRANSACTIONS
If and to the extent authorized to do so, a portfolio may engage in
currency transactions with Counterparties to hedge the value of portfolio
securities denominated in particular currencies against fluctuations in relative
value. Currency transactions include currency forward contracts, exchange-listed
currency futures contracts and options thereon, exchange-listed and OTC options
on currencies, and currency swaps. A forward currency contract involves a
privately negotiated obligation to purchase or sell (with delivery generally
required) a specific currency at a future date, which may be any fixed number of
days from the date of the contract agreed upon by the parties, at a price set at
the time of the contract. A currency swap is an agreement to exchange cash flows
based on the notional difference among two or more currencies and operates
similarly to an interest rate swap, which is described below under "Swaps, Caps,
Floors and Collars". A portfolio may enter into currency transactions only with
Counterparties that are deemed creditworthy by the subadviser.
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A portfolio's dealings in forward currency contracts and other currency
transactions such as futures contracts, options, options on futures contracts
and swaps will be limited to hedging and other non-speculative purposes,
including transaction hedging and position hedging. Transaction hedging is
entering into a currency transaction with respect to specific assets or
liabilities of a portfolio, which will generally arise in connection with the
purchase or sale of the portfolio's portfolio securities or the receipt of
income from them. Position hedging is entering into a currency transaction with
respect to portfolio securities positions denominated or generally quoted in
that currency. A portfolio will not enter into a transaction to hedge currency
exposure to an extent greater, after netting all transactions intended wholly or
partially to offset other transactions, than the aggregate market value (at the
time of entering into the transaction) of the securities held by the portfolio
that are denominated or generally quoted in or currently convertible into the
currency, other than with respect to proxy hedging as described below.
A portfolio may cross-hedge currencies by entering into transactions to
purchase or sell one or more currencies that are expected to increase or decline
in value relative to other currencies to which the portfolio has or in which the
portfolio expects to have exposure. To reduce the effect of currency
fluctuations on the value of existing or anticipated holdings of its securities,
a portfolio may also engage in proxy hedging. Proxy hedging is often used when
the currency to which a portfolio's holdings is exposed is difficult to hedge
generally or difficult to hedge against the dollar. Proxy hedging entails
entering into a forward contract to sell a currency, the changes in the value of
which are generally considered to be linked to a currency or currencies in which
some or all of a portfolio's securities are or are expected to be denominated,
and to buy dollars. The amount of the contract would not exceed the market value
of the portfolio's securities denominated in linked currencies.
Currency transactions are subject to risks different from other
portfolio transactions, as discussed below under "Risk Factors". If a portfolio
enters into a currency hedging transaction, the portfolio will comply with the
asset segregation requirements described below under "Use of Segregated and
Other Special Accounts".
COMBINED TRANSACTIONS
If and to the extent authorized to do so, a portfolio may enter into
multiple transactions, including multiple options transactions, multiple futures
transactions, multiple currency transactions (including forward currency
contracts), multiple interest rate transactions and any combination of futures,
options, currency and interest rate transactions, instead of a single Hedging
and Other Strategic Transaction, as part of a single or combined strategy when,
in the judgment of the subadviser, it is in the best interests of the portfolio
to do so. A combined transaction will usually contain elements of risk that are
present in each of its component transactions. Although combined transactions
will normally be entered into by a portfolio based on the subadviser's judgment
that the combined strategies will reduce risk or otherwise more effectively
achieve the desired portfolio management goal, it is possible that the
combination will instead increase the risks or hinder achievement of the
portfolio management objective.
SWAPS, CAPS, FLOORS AND COLLARS
Among the Hedging and Other Strategic Transactions into which a
portfolio may be authorized to enter are interest rate, currency and index
swaps, the purchase or sale of related caps, floors and collars and other
derivatives. A portfolio will enter into these transactions primarily to seek to
preserve a return or spread on a particular investment or portion of its
portfolio, to protect against currency fluctuations, as a duration management
technique or to protect against any increase in the price of securities a
portfolio anticipates purchasing at a later date. A portfolio will use these
transactions for non-speculative purposes and will not sell interest rate caps
or floors if it does not own securities or other instruments providing the
income the portfolio may be obligated to pay. Interest rate swaps involve the
exchange by a portfolio with another party of their respective commitments to
pay or receive interest (for example, an exchange of floating rate payments for
fixed rate payments with respect to a notional amount of principal). A currency
swap is an agreement to exchange cash flows on a notional amount based on
changes in the values of the reference indices. The purchase of a cap entitles
the purchaser to receive payments on a notional principal amount from the party
selling the cap to the extent that a specified index exceeds a predetermined
interest rate. The purchase of an interest rate floor entitles the purchaser to
receive payments of interest on a notional principal amount from the party
selling the interest rate floor to the extent that a specified index falls below
a predetermined interest rate or amount. The purchase of a floor entitles the
purchaser to receive payments on a notional principal amount from the party
selling the floor to the extent that a specific index falls below a
predetermined interest rate or amount. A collar is a combination of a cap and a
floor that preserves a certain return with a predetermined range of interest
rates or values.
A portfolio will usually enter into interest rate swaps on a net basis,
that is, two payment streams are netted out in a cash settlement on the payment
date or dates specified in the instrument, with the portfolio receiving or
paying, as the case may be, only the net amount of the two payments. Inasmuch as
these swaps, caps, floors, collars and other similar derivatives are entered
into for good faith hedging or other non-speculative purposes, they do not
constitute senior securities under the Investment Company Act of 1940, as
amended, and, thus, will not be treated as being subject to the portfolio's
borrowing restrictions. A portfolio will not enter into any swap, cap, floor,
collar or other derivative transaction unless the Counterparty is deemed
creditworthy by the subadviser. If a Counterparty defaults, a portfolio may have
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contractual remedies pursuant to the agreements related to the transaction. The
swap market has grown substantially in recent years with a large number of banks
and investment banking firms acting both as principals and as agents utilizing
standardized swap documentation. As a result, the swap market has become
relatively liquid. Caps, floors and collars are more recent innovations for
which standardized documentation has not yet been fully developed and, for that
reason, they are less liquid than swaps.
The liquidity of swap agreements will be determined by a Subadviser
based on various factors, including (1) the frequency of trades and quotations,
(2) the number of dealers and prospective purchasers in the marketplace, (3)
dealer undertakings to make a market, (4) the nature of the security (including
any demand or tender features), and (5) the nature of the marketplace for trades
(including the ability to assign or offset a portfolio's rights and obligations
relating to the investment). Such determination will govern whether a swap will
be deemed to be within the 15% restriction on investments in securities that are
not readily marketable.
Each portfolio will maintain cash and appropriate liquid assets in a
segregated custodial account to cover its current obligations under swap
agreements. If a portfolio enters into a swap agreement on a net basis, it will
segregate assets with a daily value at least equal to the excess, if any, of the
portfolio's accrued obligations under the swap agreement over the accrued amount
the portfolio is entitled to receive under the agreement. If a portfolio enters
into a swap agreement on other than a net basis, it will segregate assets with a
value equal to the full amount of the portfolio's accrued obligations under the
agreement. See also, "Use of Segregated and Other Special Accounts."
EURODOLLAR INSTRUMENTS
If and to the extent authorized to do so, a portfolio may make
investments in Eurodollar instruments, which are typically dollar-denominated
futures contracts or options on those contracts that are linked to the London
Interbank Offered Rate ("LIBOR"), although foreign currency denominated
instruments are available from time to time. Eurodollar futures contracts enable
purchasers to obtain a fixed rate for the lending of funds and sellers to obtain
a fixed rate for borrowings. A portfolio might use Eurodollar futures contracts
and options thereon to hedge against changes in LIBOR, to which many interest
rate swaps and fixed income instruments are linked.
RISK FACTORS
Hedging and Other Strategic Transactions have special risks associated
with them, including possible default by the Counterparty to the transaction,
illiquidity and, to the extent the subadviser's view as to certain market
movements is incorrect, the risk that the use of the Hedging and Other Strategic
Transactions could result in losses greater than if they had not been used. Use
of put and call options could result in losses to a portfolio, force the sale or
purchase of portfolio securities at inopportune times or for prices higher than
(in the case of put options) or lower than (in the case of call options) current
market values, or cause a portfolio to hold a security it might otherwise sell.
The use of futures and options transactions entails certain special
risks. In particular, the variable degree of correlation between price movements
of futures contracts and price movements in the related securities position of a
portfolio could create the possibility that losses on the hedging instrument are
greater than gains in the value of the portfolio's position. In addition,
futures and options markets could be illiquid in some circumstances and certain
over-the-counter options could have no markets. As a result, in certain markets,
a portfolio might not be able to close out a transaction without incurring
substantial losses. Although a portfolio's use of futures and options
transactions for hedging should tend to minimize the risk of loss due to a
decline in the value of the hedged position, at the same time it will tend to
limit any potential gain to a portfolio that might result from an increase in
value of the position. Finally, the daily variation margin requirements for
futures contracts create a greater ongoing potential financial risk than would
purchases of options, in which case the exposure is limited to the cost of the
initial premium.
Currency hedging involves some of the same risks and considerations as
other transactions with similar instruments. Currency transactions can result in
losses to a portfolio if the currency being hedged fluctuates in value to a
degree or in a direction that is not anticipated. Further, the risk exists that
the perceived linkage between various currencies may not be present or may not
be present during the particular time that a portfolio is engaging in proxy
hedging. Currency transactions are also subject to risks different from those of
other portfolio transactions. Because currency control is of great importance to
the issuing governments and influences economic planning and policy, purchases
and sales of currency and related instruments can be adversely affected by
government exchange controls, limitations or restrictions on repatriation of
currency, and manipulations or exchange restrictions imposed by governments.
These forms of governmental actions can result in losses to a portfolio if it is
unable to deliver or receive currency or monies in settlement of obligations and
could also cause hedges it has entered into to be rendered useless, resulting in
full currency exposure as well as incurring transaction costs. Buyers and
sellers of currency futures contracts are subject to the same risks that apply
to the use of futures contracts generally. Further, settlement of a currency
futures contract for the purchase of most currencies must occur at a bank based
in the issuing nation. Trading options on currency futures contracts is
relatively new, and the ability to establish and close out positions on these
options is subject to the maintenance of a liquid market that may not always be
available. Currency exchange rates may fluctuate based on factors extrinsic to
that country's economy.
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Losses resulting from the use of Hedging and Other Strategic
Transactions will reduce a portfolio's net asset value, and possibly income, and
the losses can be greater than if Hedging and Other Strategic Transactions had
not been used.
RISKS OF HEDGING AND OTHER STRATEGIC TRANSACTIONS OUTSIDE THE UNITED STATES
When conducted outside the United States, Hedging and Other Strategic
Transactions may not be regulated as rigorously as in the United States, may not
involve a clearing mechanism and related guarantees, and will be subject to the
risk of governmental actions affecting trading in, or the prices of, foreign
securities, currencies and other instruments. The value of positions taken as
part of non-U.S. Hedging and Other Strategic Transactions also could be
adversely affected by: (1) other complex foreign political, legal and economic
factors, (2) lesser availability of data on which to make trading decisions than
in the United States, (3) delays in a portfolio's ability to act upon economic
events occurring in foreign markets during non-business hours in the United
States, (4) the imposition of different exercise and settlement terms and
procedures and margin requirements than in the United States and (5) lower
trading volume and liquidity.
USE OF SEGREGATED AND OTHER SPECIAL ACCOUNTS
Use of many Hedging and Other Strategic Transactions by a portfolio
will require, among other things, that the portfolio segregate cash, liquid high
grade debt obligations or other assets with its custodian, or a designated
sub-custodian, to the extent the portfolio's obligations are not otherwise
"covered" through ownership of the underlying security, financial instrument or
currency. In general, either the full amount of any obligation by a portfolio to
pay or deliver securities or assets must be covered at all times by the
securities, instruments or currency required to be delivered, or, subject to any
regulatory restrictions, an amount of cash or liquid high grade debt obligations
at least equal to the current amount of the obligation must be segregated with
the custodian or sub-custodian. The segregated assets cannot be sold or
transferred unless equivalent assets are substituted in their place or it is no
longer necessary to segregate them. A call option on securities written by a
portfolio, for example, will require the portfolio to hold the securities
subject to the call (or securities convertible into the needed securities
without additional consideration) or to segregate liquid high grade debt
obligations sufficient to purchase and deliver the securities if the call is
exercised. A call option sold by a portfolio on an index will require the
portfolio to own portfolio securities that correlate with the index or to
segregate liquid high grade debt obligations equal to the excess of the index
value over the exercise price on a current basis. A put option on securities
written by a portfolio will require the portfolio to segregate liquid high grade
debt obligations equal to the exercise price. Except when a portfolio enters
into a forward contract in connection with the purchase or sale of a security
denominated in a foreign currency or for other non-speculative purposes, which
requires no segregation, a currency contract that obligates the portfolio to buy
or sell a foreign currency will generally require the portfolio to hold an
amount of that currency or liquid securities denominated in that currency equal
to a portfolio's obligations or to segregate liquid high grade debt obligations
equal to the amount of the portfolio's obligations.
OTC options entered into by a portfolio, including those on securities,
currency, financial instruments or indices, and OCC-issued and exchange-listed
index options will generally provide for cash settlement, although a portfolio
will not be required to do so. As a result, when a portfolio sells these
instruments it will segregate an amount of assets equal to its obligations under
the options. OCC-issued and exchange-listed options sold by a portfolio other
than those described above generally settle with physical delivery, and the
portfolio will segregate an amount of assets equal to the full value of the
option. OTC options settling with physical delivery or with an election of
either physical delivery or cash settlement will be treated the same as other
options settling with physical delivery.
In the case of a futures contract or an option on a futures contract, a
portfolio must deposit initial margin and, in some instances, daily variation
margin in addition to segregating assets sufficient to meet its obligations to
purchase or provide securities or currencies, or to pay the amount owed at the
expiration of an index-based futures contract. These assets may consist of cash,
cash equivalents, liquid debt or equity securities or other acceptable assets. A
portfolio will accrue the net amount of the excess, if any, of its obligations
relating to swaps over its entitlements with respect to each swap on a daily
basis and will segregate with its custodian, or designated sub-custodian, an
amount of cash or liquid high grade debt obligations having an aggregate value
equal to at least the accrued excess. Caps, floors and collars require
segregation of assets with a value equal to a portfolio's net obligation, if
any.
Hedging and Other Strategic Transactions may be covered by means other
than those described above when consistent with applicable regulatory policies.
A portfolio may also enter into offsetting transactions so that its combined
position, coupled with any segregated assets, equals its net outstanding
obligation in related options and Hedging and Other Strategic Transactions. A
portfolio could purchase a put option, for example, if the strike price of that
option is the same or higher than the strike price of a put option sold by the
portfolio. Moreover, instead of segregating assets if it holds a futures
contracts or forward contract, a portfolio could purchase a put option on the
same futures contract or forward contract with a strike price as high or higher
than the price of the contract held. Other Hedging and Other Strategic
Transactions may also be offset in combinations. If the offsetting transaction
terminates at the time of or after the primary transaction, no segregation is
required, but if it terminates prior to that time, assets equal to any remaining
obligation would need to be segregated.
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<PAGE> 66
OTHER LIMITATIONS
No portfolio will maintain open short positions in futures contracts,
call options written on futures contracts, and call options written on
securities indices if, in the aggregate, the current market value of the open
positions exceeds the current market value of that portion of its securities
portfolio being hedged by those futures and options plus or minus the unrealized
gain or loss on those open positions, adjusted for the historical volatility
relationship between that portion of the portfolio and the contracts (e.g., the
Beta volatility factor). For purposes of the limitation stated in the
immediately preceding sentence, to the extent the portfolio has written call
options on specific securities in that portion of its portfolio, the value of
those securities will be deducted from the current market value of that portion
of the securities portfolio. If this limitation should be exceeded at any time,
the portfolio will take prompt action to close out the appropriate number of
open short positions to bring its open futures and options positions within this
limitation.
The degree to which a portfolio may utilize Hedging and Other Strategic
Transactions may also be affected by certain provisions of the Internal Revenue
Code of 1986, as amended.
INVESTMENT RESTRICTIONS
There are two classes of investment restrictions to which the Trust is
subject in implementing the investment policies of the portfolios: fundamental
and nonfundamental. Nonfundamental restrictions are subject to change by the
Trustees of the Trust without shareholder approval. Fundamental restrictions may
only be changed by a vote of the lesser of (i) 67% or more of the shares
represented at a meeting at which more than 50% of the outstanding shares are
represented or (ii) more than 50% of the outstanding shares.
With respect to the submission of a change in an investment restriction
to the holders of the Trust's outstanding voting securities, the matter shall be
deemed to have been effectively acted upon with respect to a particular
portfolio if a majority of the outstanding voting securities of the portfolio
vote for the approval of the matter, notwithstanding (1) that the matter has not
been approved by the holders of a majority of the outstanding voting securities
of any other portfolio affected by the matter, and (2) that the matter has not
been approved by the vote of a majority of the outstanding voting securities of
the Trust.
All of the restrictions through restriction 8. are fundamental.
Restrictions 9. through 15. are nonfundamental.
FUNDAMENTAL
The Trust may not issue senior securities, except to the extent that
the borrowing of money in accordance with restriction 3. may constitute the
issuance of a senior security. (For purposes of this restriction, purchasing
securities on a when-issued or delayed delivery basis and engaging in Hedging
and Other Strategic Transactions will not be deemed to constitute the issuance
of a senior security.) In addition, unless a portfolio is specifically excepted
by the terms of a restriction, each portfolio will not:
(1) Invest more than 25% of the value of its total assets in securities of
issuers having their principal activities in any particular industry,
excluding United States Government securities and obligations of
domestic branches of U.S. banks and savings and loan associations. [The
Trust has determined to forego the exclusion from the above policy of
obligations of domestic branches of U.S. savings and loan associations
and to limit the exclusion of obligations of domestic branches of U.S.
banks to the Money Market Trust.] For purposes of this restriction,
neither finance companies as a group nor utility companies as a group
are considered to be a single industry. Such companies will be grouped
instead according to their services; for example, gas, electric and
telephone utilities will each be considered a separate industry. Also
for purposes of this restriction, foreign government issuers and
supranational issuers are not considered members of any industry.
(2) Purchase the securities of any issuer if the purchase would cause more
than 5% of the value of the portfolio's total assets to be invested in
the securities of any one issuer (excluding United States Government
securities) or cause more than 10% of the voting securities of the
issuer to be held by the portfolio, except that up to 25% of the value
of each portfolio's total assets may be invested without regard to
these restrictions. The Global Government Bond Trust is not subject to
this restriction.
(3) Borrow money, except that each portfolio may borrow (i) for temporary
or emergency purposes (not for leveraging) up to 33 1/3% of the value
of the portfolio's total assets (including amounts borrowed) less
liabilities (other than borrowings) and (ii) in connection with reverse
repurchase agreements, mortgage dollar rolls and other similar
transactions.
(4) Underwrite securities of other issuers except insofar as the Trust may
be considered an underwriter under the Securities Act of 1933 in
selling portfolio securities.
15
<PAGE> 67
(5) Purchase or sell real estate, except that each portfolio may invest in
securities issued by companies which invest in real estate or interests
therein and each of the portfolios other than the Money Market Trust
may invest in mortgages and mortgage backed securities.
(6) Purchase or sell commodities or commodity contracts except that each
portfolio other than the Money Market Trust may purchase and sell
futures contracts on financial instruments and indices and options on
such futures contracts and each portfolio other than the Money Market
Trust and U.S. Government Securities Trust may purchase and sell
futures contracts on foreign currencies and options on such futures
contracts.
(7) Lend money to other persons except by the purchase of obligations in
which the portfolio is authorized to invest and by entering into
repurchase agreements. For purposes of this restriction, collateral
arrangements with respect to options, forward currency and futures
transactions will not be deemed to involve the lending of money.
(8) Lend securities in excess of 33 1/3% of the value of its total assets.
For purposes of this restriction, collateral arrangements with respect
to options, forward currency and futures transactions will not be
deemed to involve loans of securities.
NONFUNDAMENTAL
(9) Knowingly invest more than 15% of the value of its net assets in
securities or other investments, including repurchase agreements
maturing in more than seven days but excluding master demand notes,
that are not readily marketable, except that the Money Market Trust may
not invest in excess of 10% of its net assets in such securities or
other investments.
(10) Sell securities short or purchase securities on margin except that it
may obtain such short-term credits as may be required to clear
transactions. For purposes of this restriction, collateral arrangements
with respect to Hedging and Other Strategic Transactions will not be
deemed to involve the use of margin.
(11) Write or purchase options on securities, financial indices or
currencies except to the extent a portfolio is specifically authorized
to engage in Hedging and Other Strategic Transactions.
(12) Purchase securities for the purpose of exercising control or
management.
(13) Purchase securities of other investment companies if the purchase would
cause more than 10% of the value of the portfolio's total assets to be
invested in investment company securities, provided that (i) no
investment will be made in the securities of any one investment company
if immediately after such investment more than 3% of the outstanding
voting securities of such company would be owned by the portfolio or
more than 5% of the value of the portfolio's total assets would be
invested in such company and (ii) no restrictions shall apply to a
purchase of investment company securities in connection with a merger,
consolidation or reorganization. For purposes of this restriction,
privately issued collateralized mortgage obligations will not be
treated as investment company securities if issued by "Exemptive
Issuers". Exemptive Issuers are defined as unmanaged, fixed-asset
issuers that (a) invest primarily in mortgage-backed securities, (b) do
not issue redeemable securities as defined in section 2(a)(32) of the
Investment Company Act of 1940, (c) operate under general exemptive
orders exempting them from "all provisions of the Investment Company
Act of 1940," and (d) are not registered or regulated under the
Investment Company Act of 1940 as investment companies.
(14) Pledge, hypothecate, mortgage or transfer (except as provided in
restriction 8.) as security for indebtedness any securities held by the
portfolio except in an amount of not more than 10% of the value of the
portfolio's total assets and then only to secure borrowings permitted
by restrictions 3. and 10. For purposes of this restriction, collateral
arrangements with respect to Hedging and Other Strategic Transactions
will not be deemed to involve a pledge of assets.
(15) Purchase securities of foreign issuers, except that (A) the Aggressive
Asset Allocation Trust may invest up to 35% of its assets in such
securities; (B) the Moderate Asset Allocation Trust may invest up to
25% of its assets in such securities; (C) the Conservative Asset
Allocation Trust may invest up to 15% of its assets in such securities;
(D) each other portfolio other than the U.S. Government Securities
Trust may invest up to 20% of its total assets in such securities (in
the case of the Small/Mid Cap Trust, ADRs and U.S. dollar-denominated
securities are not included in the 20% limit); and (E) this restriction
shall not apply to the International Small Cap, Global Equity, Global
Government Bond, International Growth and Income and Strategic Bond
Trusts.
In addition to the above policies, the Money Market Trust is subject to
certain restrictions required by Rule 2a-7 under the Investment Company Act of
1940. In order to comply with such restrictions, the Money Market Trust will,
inter alia, not purchase the securities of any issuer if it would cause (i) more
than 5% of its total assets to be invested in the securities of any one issuer
(excluding U.S.
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<PAGE> 68
Government securities and repurchase agreements fully collateralized by U.S.
Government securities), except as permitted by Rule 2a-7 (ii) more than 5% of
its total assets to be invested in "second tier securities," as defined by Rule,
or (iii) more than the greater of $1 million or 1% of its total assets to be
invested in the second tier securities of that issuer.
If a percentage restriction is adhered to at the time of an investment,
a later increase or decrease in the investment's percentage of the value of a
portfolio's total assets resulting from a change in such values or assets will
not constitute a violation of the percentage restriction, except in the case of
the Money Market Trust where the percentage limitation of restriction 9. must be
met at all times.
PORTFOLIO TURNOVER
The annual rate of portfolio turnover will normally differ for each
portfolio and may vary from year to year. Portfolio turnover is calculated by
dividing the lesser of purchases or sales of portfolio securities during the
fiscal year by the monthly average of the value of the portfolio's securities
(excluding from the computation all securities, including options, with
maturities at the time of acquisition of one year or less). A high rate of
portfolio turnover generally involves correspondingly greater brokerage
commission expenses, which must be borne directly by the portfolio. No portfolio
turnover rate can be calculated for the Money Market Trust due to the short
maturities of the instruments purchased. The portfolio turnover rate may vary
from year to year, as well as within a year. The Small/Mid Cap and the
International Small Cap Trusts anticipate that their turnover rates generally
will not exceed 120%, and 100%, respectively. High portfolio turnover rates
(100% or more) can result in corresponding increases in brokerage commissions
for the portfolio. The portfolio turnover rates for the other portfolios of the
Trust for the years ended December 31, 1995, 1994 and 1993 were as follows:
<TABLE>
<CAPTION>
1993 1994 1995
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Global Equity Trust . . . . . . 52% 52% 63%
Pasadena Growth Trust . . . . . 12% 33% 57%
Equity Trust . . . . . . . . . 173% 132% 88%
Value Equity Trust . . . . . . 33%* 26% 52%
Growth and Income Trust . . . . 39% 42% 39%
International Growth and Income NA NA 112%*
Strategic Bond Trust . . . . . 356%* 197% 181%
Global Government Bond Trust . 154% 57% 171%
Investment Quality Bond Trust . 33% 140% 137%
U.S. Government Securities Trust 213% 387% 212%
Aggressive Asset Allocation Trust 92% 136% 111%
Moderate Asset Allocation Trust 135% 180% 129%
Conservative Asset Allocation Trust 170% 220% 110%
</TABLE>
*Annualized
Prior rates of portfolio turnover do not provide an accurate guide as
to what the rate will be in any future year, and prior rates and estimated rates
are not a limiting factor when it is deemed appropriate to purchase or sell
securities for a portfolio. Each portfolio of the Trust intends to comply with
the various requirements of the Internal Revenue Code so as to qualify as a
"regulated investment company" thereunder. One such requirement is that a
portfolio must derive less than 30% of its gross income from the sale or other
disposition of stock or securities held for less than three months. Accordingly,
the ability of a particular portfolio to effect certain portfolio transactions
may be limited.
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<PAGE> 69
MANAGEMENT OF THE TRUST
The Trustees and officers of the Trust, together with information as to
their principal occupations during the past five years, are listed below:
<TABLE>
<CAPTION>
================================================================================================
POSITION WITH THE PRINCIPAL OCCUPATION
NAME, ADDRESS AND AGE TRUST DURING PAST FIVE YEARS
------------------------------------------------------------------------------------------------
<S> <C> <C>
Don B. Allen Trustee Senior Lecturer, William E.
136 Knickerbocker Road Simon Graduate School of
Pittsford, NY 14534 Business Administration,
Age: 67 University of Rochester
William J. Atherton* President President and Director, North
116 Huntington Avenue American Security Life
Boston, MA 02116 Insurance Company
Age: 56
Charles L. Bardelis Trustee President and Executive
297 Dillingham Ave. Officer, Island Commuter
Falmouth, MA 02540 Corp.(Marine Transport)
Age: 54
Samuel Hoar** Trustee Senior Mediator, Judicial
73 Tremont Street Arbitration Mediation Services
Boston, MA 02109 "JAMS/Endispute," June 1, 1994
Age: 67 to date; Partner, Goodwin,
Proctor and Hoar, prior to June
1, 1994
Brian L. Moore* Chairman of Trustees Executive Vice President,
5650 Yonge Street Canadian Insurance Operations,
North York, Ontario, Canada, M2M 4G4 The Manufacturers Life
Age: 51 Insurance Company, January 1,
1996 to date; Chief Executive
Officer, The North American
Group, Oct. 1993 to December
31, 1995; Executive Vice
President and Chief Financial
Officer, Sept. 1988 to Oct.
1993, North American Life
Assurance Company
Robert J. Myers Trustee Consulting Actuary (self-
9610 Wire Avenue employed), April 1983 to date;
Silver Springs, MD 20921 Chairman, Commission on
Age: 82 Railroad Retirement Reform,
1988 to 1990.
John G. Vrysen Vice President Vice President, Chief Financial
116 Huntington Avenue Officer, U.S. Operations, of
Boston, MA 02116 Manulife, January 1995 to date;
Age: 40 Vice President and Actuary,
January 1986 to date, North
American Life Insurance
Company.
================================================================================================
</TABLE>
18
<PAGE> 70
<TABLE>
=================================================================================================
<S> <C> <C>
James D. Gallagher Secretary Vice President, Legal Services,
116 Huntington Avenue of Manulife, January 1995 to
Boston, MA 02116 date; Vice President, Secretary
Age: 41 and General Counsel, June 1994
to date, North American Security
Life Insurance Company; Vice
President and Associate General
Counsel, 1990 to 1994, The
Prudential Insurance Company of
America.
Richard C. Hirtle Vice President Vice President, Chief Financial
116 Huntington Avenue and Treasurer Officer, Annuities, of
Boston, MA 02116 Manulife, January 1995 to date;
Age: 39 Vice President, Treasurer and
Chief Financial Officer, November
1988 to date, North American
Security Life Insurance Company.
=================================================================================================
</TABLE>
*Trustee who is an "interested person", as defined in the Investment Company Act
of 1940.
**Trustee who is an "interested person" of the Trust but not the Adviser.
COMPENSATION OF TRUSTEES
The Trust does not pay any remuneration to its Trustees who are
officers or employees of the Adviser or its affiliates. Trustees not so
affiliated receive an annual retainer of $14,000, a fee of $4,750 for each
meeting of the Trustees that they attend in person and a fee of $200 for each
such meeting conducted by telephone. Trustees are reimbursed for travel and
other out-of-pocket expenses. The officers listed above are furnished to the
Trust pursuant to the Advisory Agreement described below and receive no
compensation from the Trust. These officers spend only a portion of their time
on the affairs of the Trust.
<TABLE>
<CAPTION>
========================================================================================================
AGGREGATE COMPENSATION FROM TRUST TOTAL COMPENSATION FROM TRUST
NAMES OF PERSON, POSTION FOR PRIOR FISCAL YEAR* COMPLEX FOR PRIOR FISCAL YEAR*#
--------------------------------------------------------------------------------------------------------
<S> <C> <C>
Don B. Allen, Trustee $35,000 $42,500
Charles L. Bardelis, Trustee $35,000 $42,500
Samuel Hoar, Trustee $35,000 $42,500
Robert J. Myers, Trustee $35,000 $42,500
========================================================================================================
</TABLE>
*Compensation received for services as Trustee.
#Trust Complex includes all portfolios of the Trust as well as all portfolios of
North American Funds of which Security Life is the investment advisor.
INVESTMENT MANAGEMENT ARRANGEMENTS
The following information supplements the material appearing in the
Prospectus under the caption "Management of the Trust." Copies of the Advisory
and Subadvisory Agreements discussed below have been filed with and are
available from the Securities and Exchange Commission.
The Trust, formerly a Maryland corporation known as "NASL Series Fund,
Inc." (the "Fund"), was reorganized as a Massachusetts business trust effective
December 31, 1988. Pursuant to such reorganization, the Trust assumed all the
assets and liabilities of the Fund and
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<PAGE> 71
carried on its business and operations with the same investment management
arrangements as were in effect for the Fund at the time of the reorganization.
The assets and liabilities of each of the Fund's separate portfolios were
assumed by the corresponding portfolios of the Trust.
NASL Financial (the "Adviser") is a Massachusetts corporation whose
principal offices are located at 116 Huntington Avenue, Boston, Massachusetts
02116. NASL Financial is registered as an investment adviser under the
Investment Advisers Act of 1940 and as a broker-dealer under the Securities
Exchange Act of 1934. It is a member of the National Association of Securities
Dealers, Inc. (the "NASD"). In addition, NASL Financial serves as principal
underwriter of certain contracts issued by Security Life.
The Advisory Agreement, each Subadvisory Agreement (except the Founders
Asset Management, Inc. Subadvisory Agreement and the Fred Alger Management, Inc.
Subadvisory Agreement) and the Salomon Brothers Asset Management Limited
Consulting Agreement were approved by the Trustees on September 28, 1995 and by
the shareholders of the portfolios on December 5, 1995. These approvals occurred
in connection with the change of control of NASL Financials as a result of the
merger of North American Life Assurance Company, the ultimate controlling parent
of NASL Financial, with The Manufacturers Life Insurance Company on January 1,
1996.
On December 15, 1995, the Trustees appointed Fred Alger Management,
Inc. ("Alger") pursuant to a new Subadvisory Agreement with Alger ("Alger
Subadvisory Agreement") to manage the Small/Mid Cap Trust. The Alger Subadvisory
Agreement and an amendment to the Advisory Agreement, both to provide for the
management of the Small/Mid Cap Trust, were approved by the Trustees, including
a majority of the Trustees who are not parties to the agreements or interested
persons of any party to such agreements. The Alger Subadvisory Agreement and the
related amendment to the Advisory Agreement will be approved by the sole
shareholder of the Small/Mid Cap Trust.
On December 15, 1995, the Trustees appointed Founders Asset Management,
Inc ("Founders") pursuant to a new Subadvisory Agreement with Founders
("Founders Subadvisory Agreement") to manage the International Small Cap Trust.
The Founders Subadvisory Agreement and an amendment to the Advisory Agreement,
both to provide for the management of the International Small Cap Trust, were
approved by the Trustees, including a majority of the Trustees who are not
parties to the agreements or interested persons of any party to such agreements.
The Founders Subadvisory Agreement and the related amendment to the Advisory
Agreement will be approved by the sole shareholder of the International Small
Cap Trust.
THE ADVISORY AGREEMENT
Under the terms of the Advisory Agreement, the Adviser administers the
business and affairs of the Trust. The Adviser is responsible for performing or
paying for various administrative services for the Trust, including providing at
the Adviser's expense (i) office space and all necessary office facilities and
equipment, (ii) necessary executive and other personnel for managing the affairs
of the Trust and for performing certain clerical, accounting and other office
functions, and (iii) all other information and services, other than services of
counsel, independent accountants or investment subadvisory services provided by
any subadviser under a subadvisory agreement, required in connection with the
preparation of all tax returns and documents required to comply with the federal
securities laws. The Adviser pays the cost of any advertising or sales
literature relating solely to the Trust, the cost of printing and mailing
Prospectuses to persons other than current holders of Trust shares or of
variable contracts funded by Trust shares and the compensation of the Trust's
officers and Trustees that are officers, directors or employees of the Adviser
or its affiliates. In addition, advisory fees are reduced or the Adviser
reimburses the Trust if the total of all expenses (excluding advisory fees,
taxes, portfolio brokerage commissions, interest, litigation and indemnification
expenses and other extraordinary expenses not incurred in the ordinary course of
the Trust's business) applicable to a portfolio exceeds an annual rate of .75%
in the case of the two global and two international portfolios or .50% in the
case of all other portfolios of the average net asset value of such portfolio.
The expense limitation will continue in effect from year to year unless
otherwise terminated at any year end by the Adviser on 30 days' notice to the
Trust.
In addition to providing the services and expense limitation described
above, the Adviser selects, contracts with and compensates subadvisers to manage
the investment and reinvestment of the assets of the Trust portfolios. The
Adviser monitors the compliance of such subadvisers with the investment
objectives and related policies of each portfolio and reviews the performance of
such subadvisers and reports periodically on such performance to the Trustees of
the Trust.
As compensation for its services, the Adviser receives a fee from the
Trust computed separately for each portfolio. The fee for each portfolio is
stated as an annual percentage of the current value of the net assets of such
portfolio. The fee, which is accrued daily and payable monthly, is calculated
for each day by multiplying the daily equivalent of the annual percentage
prescribed for a portfolio by the value of its net assets at the close of
business on the previous business day of the Trust. The following is a schedule
of the management fees each portfolio currently is obligated to pay the Adviser:
20
<PAGE> 72
<TABLE>
<CAPTION>
PORTFOLIO
- --------------------------------------------------------------------------------
<S> <C>
Small/Mid Cap Trust . . . . . . . . . . . 1.000%
International Small Cap Trust . . . . . . 1.100%
Global Equity Trust . . . . . . . . . . . .900%
Pasadena Growth Trust . . . . . . . . . . .975%
Equity Trust . . . . . . . . . . . . . . .750%
Value Equity Trust . . . . . . . . . . . .800%
Growth and Income Trust . . . . . . . . . .750%
International Growth and Income Trust . . .950%
Strategic Bond Trust . . . . . . . . . . .775%
Global Government Bond Trust . . . . . . .800%
Investment Quality Bond Trust . . . . . . .650%
U.S. Government Securities Trust . . . . .650%
Money Market Trust . . . . . . . . . . . .500%
Aggressive Asset Allocation Trust . . .750%
Moderate Asset Allocation Trust . . .750%
Conservative Asset Allocation Trust . . .750%
</TABLE>
The fees shown above, other than those paid by the Investment Quality
Bond and U.S. Government Securities Trusts and the Money Market Trust, are
higher than those paid by most funds to their advisers, but are not higher than
the fees paid by many funds with similar investment objectives and policies. For
the years ended December 31, 1995, 1994, 1993 and 1992 the aggregate investment
advisory fee payable by the Trust under the fee schedule then in effect, absent
the expense limitation provision, was $33,808,255, $27,076,438, $16,988,737 and
$9,982,812 allocated among the portfolios as follows:
<TABLE>
<CAPTION>
PORTFOLIO 1995 1994 1993 1992
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Global Equity . . . . . . . . . $5,513,312 $4,916,694 $1,813,650 $ 924,713
Pasadena Growth . . . . . . . . $2,115,434 $1,255,314 $ 675,183 $ 13,590
Equity . . . . . . . . . . . . $5,643,363 $3,483,279 $1,953,233 $ 928,437
Value Equity . . . . . . . . . $2,459,247 $1,274,807 $ 308,485 N/A
Growth and Income . . . . . . . $3,922,671 $2,670,229 $1,544,607 $ 665,716
International Growth & Income . $ 450,200* N/A N/A N/A
Strategic Bond . . . . . . . . $ 767,448 $ 588,051 $ 189,565 N/A
Global Government Bond . . . . $1,757,909 $ 1,742,81 $ 947,963 $ 371,965
Investment Quality Bond . . . . $ 798,045 $ 709,069 $ 529,433 $ 318,052
U.S. Government Securities . . $1,291,668 $1,350,850 $1,153,241 $ 545,695
Money Market Trust . . . . . . $1,318,573 $1,158,400 $ 606,603 $ 450,869
Aggressive Asset Allocation . . $1,463,421 $1,354,682 $1,226,006 $1,027,614
Moderate Asset Allocation . . . $4,667,061 $4,783,431 $4,341,909 $3,389,309
Conservative Asset Allocation . $1,639,903 $1,788,821 $1,698,859 $1,346,852
</TABLE>
*For period January 9, 1995 (commencement of operations) to December 31, 1995
Prior to April 23, 1991, the investment advisory fees paid by the Trust
were generally lower than the fees set forth above and were subject to a
different expense limitation. Pursuant to the Advisory Agreement, no advisory
fee was charged to the Growth and Income Trust until the portfolio reached
$10,000,000 in net assets, which occurred on June 21, 1991.
THE SUBADVISORY AGREEMENTS
Under the terms of each of the current subadvisory agreements,
including the SBAM Limited Consulting Agreement (collectively "Subadvisory
Agreements"), the Subadviser manages the investment and reinvestment of the
assets of the assigned portfolios, subject to the supervision of the Trust's
Trustees. The Subadviser formulates a continuous investment program for each
such portfolio consistent with its investment objectives and policies outlined
in the Prospectus. Each Subadviser implements such programs by purchases and
sales of securities and regularly reports to the Adviser and the Trustees of the
Trust with respect to the implementation of such programs. Each Subadviser, at
its expense, furnishes all necessary investment and management facilities,
including salaries of personnel required for it to execute its duties, as well
as administrative facilities, including bookkeeping, clerical personnel, and
equipment necessary for the conduct of the investment affairs of the assigned
portfolios. With regards to the Pasadena Growth Trust subadvisory agreement, the
subadviser shall
21
<PAGE> 73
reimburse the Pasadena Growth Trust for its "Other Expenses" to a maximum on an
annual basis of .15% of the average net assets of the portfolio. For purposes of
this provision, "Other Expenses" means all the expenses of the portfolio
excluding: (1) taxes, (ii) portfolio brokerage commissions, (iii) interest, (iv)
litigation and indemnification expenses and other extraordinary expenses not
incurred in the ordinary course of the portfolio's business, (v) advisory fees,
and (vi) expenses for services assumed by the Adviser under the Advisory
Agreement. The Adviser shall be entitled to deduct such reimbursement from the
amount of subadviser's subadvisory fees payable pursuant to the subadvisory
agreement.
As compensation for their services, the Subadvisers receive fees from
the Adviser computed separately for each portfolio. The fee for each portfolio
is stated as an annual percentage of the current value of the net assets of the
portfolio. The fees are calculated on the basis of the average of all valuations
of net assets of each portfolio made at the close of business on each business
day of the Trust during the period for which such fees are paid. Once the
average net assets of a portfolio exceed specified amounts, the fee is reduced
with respect to such excess. The following is a schedule of the management fees
the Adviser currently is obligated to pay the Subadvisers out of the advisory
fee it receives from each portfolio as specified above:
<TABLE>
<CAPTION>
BETWEEN BETWEEN
$50,000,000 $200,000,000
FIRST AND AND EXCESS OVER
PORTFOLIO $50,000,000 $200,000,000 $500,000,000 $500,000,000
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Small/Mid Cap Trust . . . . . . . . . .525% .500% .475% .450%
International Small Cap Trust . . . . .650% .600% .500% .400%
Global Equity Trust . . . . . . . . . .500% .450% .375% .325%
Pasadena Growth Trust . . . . . . . . .550% .500% .450% .375%
Equity Trust . . . . . . . . . . . . .325% .275% .225% .150%
Value Equity Trust . . . . . . . . . .400% .300% .200% .200%
Growth and Income Trust . . . . . . .325% .275% .225% .150%
International Growth and
Income Trust . . . . . . . . . . . .500% .450% .400% .350%
Strategic Bond Trust . . . . . . . . .350% .300% .250% .200%
Global Government Bond Trust . . . . .375% .350% .300% .250%
Investment Quality Bond Trust .225% .225% .150% .100%
U.S. Government Securities Trust . . . .225% .225% .150% .100%
Money Market Trust . . . . . . . . . .075% .075% .075% .020%
Aggressive Asset Allocation Trust . . .325% .275% .225% .150%
Moderate Asset Allocation Trust . . . .325% .275% .225% .150%
Conservative Asset Allocation
Trust. . . . . . . . . . . . . . . .325% .275% .225% .150%
</TABLE>
*The prospectus refers to a subadvisory consulting agreement between
SBAM and Salomon Brothers Asset Management Limited ("SBAM Limited") which is
subject to certain conditions as set forth in the prospectus. Under that
agreement SBAM Limited provides certain investment advisory services to SBAM
relating to currency transactions and investments in non-dollar denominated debt
securities for the benefit of the Strategic Bond Trust. SBAM pays SBAM Limited,
as full compensation for all services provided under the subadvisory consulting
agreement, a portion of its subadvisory fee, such amount being an amount equal
to the fee payable under SBAM's subadvisory agreement multiplied by the current
value of the net assets of the portion of the assets of the Strategic Bond Trust
that SBAM Limited has been delegated to manage divided by the current value of
the net assets of the portfolio. The Trust will not incur any expenses in
connection with SBAM Limited's services. SBAM Limited is a wholly owned
subsidiary of Salomon Brothers Europe Limited ("SBEL"). Salomon (International)
Finance A G ("SIF") owns 100% of SBEL's Convertible Redeemable Preference Shares
and 36.8% of SBEL's Ordinary Shares, while the remaining 63.2% of SBEL's
Ordinary Shares are owned by Salomon Brothers Holding Company Inc ("SBH"). SIF
is wholly owned by SBH, which is in turn, a wholly owned subsidiary of Salomon
Inc.
For the years ended December 31, 1995, 1994, 1993 and 1992, the Adviser
paid aggregate subadvisory fees of $12,007,940 $9,905,072, $6,285,555 and
$3,729,537, respectively, allocated among the portfolios as follows:
22
<PAGE> 74
<TABLE>
<CAPTION>
PORTFOLIO 1995 1994 1993 1992
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Global Equity . . . . . . . . . . . . . . $2,415,918 $2,192,713 $905,318 $487,357
Pasadena Growth . . . . . . . . . . . . . $978,146 $558,057 $280,422 $5,575
Equity . . . . . . . . . . . . . . . . . $1,628,673 $1,166,032 $710,703 $365,427
Value Equity . . . . . . . . . . . . . . $864,812 $525,739 $148,581 N/A
Growth and Income . . . . . . . . . . . . $1,267,236 $926,068 $579,977 $269,096
Intern'l Growth & Income . . . . . . . . $232,320* N/A N/A N/A
Strategic Bond . . . . . . . . . . . . . $322,077 $252,633 $85,576 N/A
Global Government Bond . . . . . . . . . $771,716 $766,324 $427,234 $173,156
Investment Quality Bond . . . . . . . . . $276,246 $245,447 $183,265 $110,095
U.S. Government Securities . . . . . . . $442,603 $458,245 $395,910 $188,894
Money Market Trust . . . . . . . . . . . $197,786 $173,760 $90,990 $67,630
Aggressive Asset Allocation . . . . . . . $560,019 $521,717 $474,535 $401,792
Moderate Asset Allocation . . . . . . . . $1,433,417 $456,691 $1,368,386 $1,141,697
Conservative Asset Allocation . . . . . . $616,971 $661,646 $634,658 $518,818
</TABLE>
*For period January 9, 1995 (commencement of operations) to December 31, 1995.
Subject to the expense limitations discussed above, the Trust is
responsible for the payment of all expenses of its organization, operations and
business, except those which the Adviser or Subadvisers have agreed to pay
pursuant to the Advisory or Subadvisory Agreements. Expenses borne by the Trust
include charges and expenses of the custodian, independent accountants and
transfer, bookkeeping and dividend disbursing agent appointed by the Trust;
brokers' commissions and issue and transfer taxes on securities transactions to
which the Trust is a party; taxes and fees payable by the Trust; and legal fees
and expenses in connection with the affairs of the Trust, including registering
and qualifying its shares with regulatory authorities and in connection with any
litigation.
The Advisory Agreement and each Subadvisory Agreement will continue in
effect as to a portfolio for a period no more than two years from the date of
its execution or the execution of an amendment making the agreement applicable
to that portfolio only so long as such continuance is specifically approved at
least annually either by the Trustees or by the vote of a majority of the
outstanding voting securities of the Trust, provided that in either event such
continuance shall also be approved by the vote of the majority of the Trustees
who are not interested persons of any party to the Agreements, cast in person at
a meeting called for the purpose of voting on such approval. The required
shareholder approval of any continuance of any of the Agreements shall be
effective with respect to any portfolio if a majority of the outstanding voting
securities of the series of shares of beneficial interest of that portfolio vote
to approve such continuance, notwithstanding that such continuance may not have
been approved by a majority of the outstanding voting securities of (i) any
other portfolio affected by the Agreement or (ii) all of the portfolios of the
Trust.
If the holders of any series of shares of beneficial interest of any
portfolio fail to approve any continuance of the Advisory Agreement or the
Subadvisory Agreement, the Adviser or Subadviser (including SBAM Limited) will
continue to act as investment adviser or subadviser with respect to such
portfolio pending the required approval of the continuance of such Agreement, of
a new contract with the Adviser or Subadviser or different adviser or
subadviser, or other definitive action. In the case of the Adviser, or Oechsle
International, the compensation received by the Adviser or Subadviser in respect
of such a portfolio during such period will be no more than its actual costs
incurred in furnishing investment advisory and management services to such
portfolio or the amount it would have received under the Advisory Agreement or
Subadvisory Agreement in respect of such portfolio, whichever is less. In the
case of Alger, Founders, J.P. Morgan, Wellington Management, FMTC, SBAM, GSAM or
REMC, the compensation received by it in respect of such a portfolio during such
period will be no more than that permitted by Rule 15a-4 under the Investment
Company Act of 1940. With respect to REMC, in the event the subadvisory
agreement with REMC is terminated the Adviser has agreed to take any action
necessary to cause the Trust to discontinue the use of the name "Pasadena" in
any portfolio. The Adviser has further agreed that it will use such name in
connection with any portfolio of the Trust only so long as REMC serves as the
subadviser to such portfolio.
The Advisory Agreement and the Subadvisory Agreements may be terminated
at any time without the payment of any penalty on 60 days' written notice to the
other party or parties to the Agreements, and to the Trust in the case of the
Subadvisory Agreements, (i) by the Trustees of the Trust; (ii) by the vote of a
majority of the outstanding voting securities of the Trust, or with respect to
any portfolio, by the vote of a majority of the outstanding voting securities of
the series of shares of beneficial interest of such portfolio; and (iii) by the
Adviser, and in the case of the Subadvisory Agreements, by the respective
Subadvisers. The Agreements will automatically terminate in the event of their
assignment.
The Advisory Agreement may be amended by the Trust and the Adviser and
the Subadvisory Agreements by the Adviser and respective Subadvisers provided
such amendment is specifically approved by the vote of a majority of the
outstanding voting securities of the
23
<PAGE> 75
Trust and by the vote of a majority of the Trustees of the Trust who are not
interested persons of the Trust, the Adviser or the applicable Subadviser
(including SBAM Limited) cast in person at a meeting called for the purpose of
voting on such approval. The required shareholder approval of any amendment
shall be effective with respect to any portfolio if a majority of the
outstanding voting securities of that portfolio vote to approve the amendment,
notwithstanding that the amendment may not have been approved by a majority of
the outstanding voting securities of (i) any other portfolio affected by the
amendment or (ii) all the portfolios of the Trust.
AGREEMENT WITH PRIOR SUBADVISER
The Conservative, Moderate and Aggressive Asset Allocation Trusts for
which Sass Investors acted as Subadviser up until December 13, 1991, and the
Bond Trust (now Investment Quality Bond Trust) for which Sass Investors acted as
Subadviser up until April 23, 1991, acquired certain taxable revenue bonds, the
value of which has declined substantially due to the default of the bonds caused
by the Conservatorship of Executive Life Insurance Company. The Trust retained
legal counsel to advise it as to any potential claims it may have arising out of
its purchase of such bonds. On the basis of the advice received and, to avoid
any prejudice resulting from the passage of time, the Trust has sought to obtain
agreements from certain persons which would toll the running of statutes of
limitations that might in time bar the assertion of any claims related to its
purchase of the bonds. In February 1991 the Trust entered into an agreement with
Sass Investors, its principals and affiliated companies concerning any claims
the Trust may have arising out of Sass Investors' performance under the Sass
Subadvisory Agreement in connection with the purchase or sale of the
aforementioned bonds. The parties agreed that the running of time under any
statute of limitations or by way of laches with respect to any claims or
defenses arising out of such purchase or sale would be tolled until thirty days
after termination of the agreement by either party giving written notice to the
other.
PORTFOLIO BROKERAGE
Pursuant to the Subadvisory Agreements, the Subadvisers are responsible
for placing all orders for the purchase and sale of portfolio securities of the
Trust. The Subadvisers have no formula for the distribution of the Trust's
brokerage business, their intention being to place orders for the purchase and
sale of securities with the primary objective of obtaining the most favorable
overall results for the Trust. The cost of securities transactions for each
portfolio will consist primarily of brokerage commissions or dealer or
underwriter spreads. Bonds and money market instruments are generally traded on
a net basis and do not normally involve either brokerage commissions or transfer
taxes.
Occasionally, securities may be purchased directly from the issuer. For
securities traded primarily in the over-the-counter market, the Subadvisers
will, where possible, deal directly with dealers who make a market in the
securities unless better prices and execution are available elsewhere. Such
dealers usually act as principals for their own account.
In selecting brokers or dealers through whom to effect transactions,
the Subadvisers will give consideration to a number of factors, including price,
dealer spread or commission, if any, the reliability, integrity and financial
condition of the broker-dealer, size of the transaction and difficulty of
execution. Consideration of these factors by a Subadviser, either in terms of a
particular transaction or the Subadviser's overall responsibilities with respect
to the Trust and any other accounts managed by the Subadviser, could result in
the Trust paying a commission or spread on a transaction that is in excess of
the amount of commission or spread another broker-dealer might have charged for
executing the same transaction. In selecting brokers and dealers, the
Subadvisers will also give consideration to the value and quality of any
research, statistical, quotation or valuation services provided by the broker or
dealer. In placing a purchase or sale order, a Subadviser may use a broker whose
commission in effecting the transaction is higher than that of some other broker
if the Subadviser determines in good faith that the amount of the higher
commission is reasonable in relation to the value of the brokerage and research
services provided by such broker, viewed in terms of either the particular
transaction or the Subadviser's overall responsibilities with respect to the
Trust and any other accounts managed by the Subadviser. Brokerage and research
services provided by brokers and dealers include advice, either directly or
through publications or writings, as to the value of securities, the
advisability of purchasing or selling securities, the availability of securities
or purchasers or sellers of securities, and analyses and reports concerning
issuers, industries, securities, economic factors and trends and portfolio
strategy. Consistent with the foregoing considerations and the Rules of Fair
Practice of the NASD, sales of contracts for which the broker-dealer or an
affiliate thereof is responsible may be considered as a factor in the selection
of such brokers or dealers. A higher cost broker-dealer will not be selected,
however, solely on the basis of sales volume but will be selected in accordance
with the criteria set forth above.
To the extent research services are used by the Subadvisers in
rendering investment advice to the Trust, such services would tend to reduce the
Subadvisers' expenses. However, the Subadvisers do not believe that an exact
dollar value can be assigned to these services. Research services received by
the Subadvisers from brokers or dealers executing transactions for the Trust
will be available also for the benefit of other portfolios managed by the
Subadvisers.
The Subadvisers manage a number of accounts other than the Trust's
portfolios. Although investment recommendations or determinations for the
Trust's portfolios will be made by the Subadvisers independently from the
investment recommendations and determinations made by them for any other
account, investments deemed appropriate for the Trust's portfolios by the
Subadvisers may also be
24
<PAGE> 76
deemed appropriate by them for other accounts, so that the same security may be
purchased or sold at or about the same time for both the Trust's portfolios and
other accounts. In such circumstances, the Subadvisers may determine that orders
for the purchase or sale of the same security for the Trust's portfolios and one
or more other accounts should be combined, in which event the transactions will
be priced and allocated in a manner deemed by the Subadvisers to be equitable
and in the best interests of the Trust Portfolios and such other accounts. While
in some instances combined orders could adversely affect the price or volume of
a security, the Trust believes that its participation in such transactions on
balance will produce better overall results for the Trust.
For the years ended December 31, 1995, 1994, 1993 and 1992, the Trust
paid brokerage commissions in connection with portfolio transactions of
$6,609,957, $5,510,656, $2,877,317 and $2,388,527, respectively, allocated among
the portfolios as follows:
<TABLE>
<CAPTION>
PORTFOLIO 1995 1994 1993 1992
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Global Equity . . . . . . . . . . . . . . $2,684,254 $2,358,799 $1,196,630 $526,093
Pasadena Growth . . . . . . . . . . . . . $388,904 $187,089 $114,811 $33,900
Equity . . . . . . . . . . . . . . . . . $861,497 $1,011,437 $600,555 $1,262,231
Value Equity . . . . . . . . . . . . . . $606,918 $383,033 $181,956 -
Growth and Income . . . . . . . . . . . . $697,618 $487,223 $308,818 $127,882
International Growth and Income . . . . . $374,962* NA NA NA
Aggressive Asset Allocation . . . . . . . $286,517 $280,679 $122,305 $119,673
Moderate Asset Allocation . . . . . . . . $604,766 $682,814 $292,232 $259,005
Conservative Asset Allocation . . . . . . $104,521 $119,582 $60,010 $59,743
</TABLE>
*For the period January 9, 1995 (commencement of operations) to December 31,
1995.
For the years ended December 31, 1995, 1994, 1993 and 1992, brokerage
commissions were paid to GOLDMAN, SACHS & CO. by the portfolios as follows:
YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
% OF AGGREGATE
% OF TRUST'S BROKERAGE $ AMOUNT OF
COMMISSIONS REPRESENTED TRANSACTIONS
PORTFOLIO COMMISSIONS FOR THE PERIOD FOR THEPERIOD
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Global Equity . . . . . . . . . . . . . . $6,951 0.26% 0.08%
Pasadena Growth . . . . . . . . . . . . . $24,855 6.39% 0.52%
Equity . . . . . . . . . . . . . . . . . $13,799 1.60% 0.62%
Value Equity . . . . . . . . . . . . . . $63,836 10.52% 0.19%
Growth and Income . . . . . . . . . . . . $33,000 4.73% 0.46%
International Growth and Income . . . . . $6,651* 1.77% 1.05%
Agressive Asset Allocation . . . . . . . $7,202 2.51% 0.43%
Moderate Asset Allocaton . . . . . . . . $11,975 1.98% 0.69%
Conservative Asset Allocation . . . . . . $2,080 1.99% 0.80%
</TABLE>
YEAR ENDED DECEMBER 31, 1994
<TABLE>
<CAPTION>
% OF AGGREGATE
% OF TRUST'S BROKERAGE $ AMOUNT OF
COMMISSIONS REPRESENTED TRANSACTIONS
PORTFOLIO COMMISSIONS FOR THE PERIOD FOR THEPERIOD
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Pasadena Growth . . . . . . . . . . . . . $6,376 3.41% 5.71%
Equity . . . . . . . . . . . . . . . . . $8,032 0.79% 0.03%
Value Equity . . . . . . . . . . . . . . $20,741 5.41% 3.98%
Growth and Income . . . . . . . . . . . . $12,612 2.59% 1.14%
Agressive Asset Allocation . . . . . . . $10,644 3.79% 0.53%
Moderate Asset Allocaton . . . . . . . . $25,501 3.73% 3.21%
Conservative Asset Allocation . . . . . . $676 0.57% 0.08%
</TABLE>
25
<PAGE> 77
YEAR ENDED DECEMBER 31, 1993
<TABLE>
<CAPTION>
% OF AGGREGATE
% OF TRUST'S BROKERAGE $ AMOUNT OF
COMMISSIONS REPRESENTED TRANSACTIONS
PORTFOLIO COMMISSIONS FOR THE PERIOD FOR THEPERIOD
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Global Equity . . . . . . . . . . . . . . $15,566 1.30% 1.95%
Pasadena Growth . . . . . . . . . . . . . $4,500 3.92% 9.33%
Equity . . . . . . . . . . . . . . . . . $5,755 0.96% 1.71%
Value Equity . . . . . . . . . . . . . . $27,565 15.15% 16.68%
Growth and Income . . . . . . . . . . . . $9,480 3.07% 3.73%
</TABLE>
YEAR ENDED DECEMBER 31, 1992
<TABLE>
<CAPTION>
% OF AGGREGATE
% OF TRUST'S BROKERAGE $ AMOUNT OF
COMMISSIONS REPRESENTED TRANSACTIONS
PORTFOLIO COMMISSIONS FOR THE PERIOD FOR THEPERIOD
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Global Equity . . . . . . . . . . . . . . $7,546 1.43% 1.85%
Pasadena Growth . . . . . . . . . . . . . $2,040 6.02% 1.83%
Equity . . . . . . . . . . . . . . . . . $925 0.07% 0.77%
Aggressive Asset Allocation . . . . . . . $888 0.74% 6.83%
Moderate Asset Allocation . . . . . . . . $2,064 0.80% 3.34%
Conservative Asset Allocation . . . . . . $438 0.73% 2.95%
</TABLE>
For the years ended December 31, 1995, 1994, 1993 and 1992, brokerage
commissions were paid to SALOMON BROTHERS INC by the portfolios as follows:
YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
% OF AGGREGATE
% OF TRUST'S BROKERAGE $ AMOUNT OF
COMMISSIONS REPRESENTED TRANSACTIONS
PORTFOLIO COMMISSIONS FOR THE PERIOD FOR THEPERIOD
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Global Equity . . . . . . . . . . . . . . $34,352 1.28% 0.19%
Pasadena . . . . . . . . . . . . . . . . $16,380 4.21% 0.26%
Equity . . . . . . . . . . . . . . . . . $13,968 1.62% 0.14%
Value Equity . . . . . . . . . . . . . . $35,568 5.86% 0.14%
Growth and Income . . . . . . . . . . . . $128,844 18.47% 1.45%
Aggressive Asset Allocation . . . . . . . $3,072 1.07% 0.88%
Moderate Asset Allocation . . . . . . . . $3,967 0.66% 1.42%
Conservative Asset Allocaton . . . . . . $999 0.96% 1.87%
</TABLE>
YEAR ENDED DECEMBER 31, 1994
<TABLE>
<CAPTION>
% OF AGGREGATE
% OF TRUST'S BROKERAGE $ AMOUNT OF
COMMISSIONS REPRESENTED TRANSACTIONS
PORTFOLIO COMMISSIONS FOR THE PERIOD FOR THEPERIOD
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Global Equity . . . . . . . . . . . . . . $17,818 0.76% 0.43%
Pasadena . . . . . . . . . . . . . . . . $4,200 2.24% 2.08%
Equity . . . . . . . . . . . . . . . . . $24,110 2.38% 2.59%
Value Equity . . . . . . . . . . . . . . $17,052 4.45% 4.09%
Growth and Income . . . . . . . . . . . . $46,848 9.62% 3.08%
Aggressive Asset Allocation . . . . . . . $1,063 0.38% 4.74%
Moderate Asset Allocation . . . . . . . . $2,641 0.39% 6.03%
Conservative Asset Allocaton . . . . . . $607 0.51% 2.07%
</TABLE>
26
<PAGE> 78
YEAR ENDED DECEMBER 31, 1993
<TABLE>
<CAPTION>
% OF AGGREGATE
% OF TRUST'S BROKERAGE $ AMOUNT OF
COMMISSIONS REPRESENTED TRANSACTIONS
PORTFOLIO COMMISSIONS FOR THE PERIOD FOR THEPERIOD
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Global Equity . . . . . . . . . . . . . . $14,144 1.18% 0.71%
Equity . . . . . . . . . . . . . . . . . $15,426 2.57% 1.58%
Value Equity . . . . . . . . . . . . . . $8,748 4.81% 3.34%
Growth and Income . . . . . . . . . . . . $23,534 7.62% 6.93%
</TABLE>
YEAR ENDED DECEMBER 31, 1992
<TABLE>
<CAPTION>
% OF AGGREGATE
% OF TRUST'S BROKERAGE $ AMOUNT OF
COMMISSIONS REPRESENTED TRANSACTIONS
PORTFOLIO COMMISSIONS FOR THE PERIOD FOR THEPERIOD
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Global Equity . . . . . . . . . . . . . . $10,194 1.94% 1.17%
Pasadena Growth . . . . . . . . . . . . . $2,100 6.19% 0.86%
Equity . . . . . . . . . . . . . . . . . $3,862 0.31% 0.34%
Moderate Asset Allocation . . . . . . . . $95 0.04% 8.63%
</TABLE>
For the years ended December 31, 1995, brokerage commissions were paid to J.P.
Morgan Securities by the portfolios as follows:
YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
% OF AGGREGATE
% OF TRUST'S BROKERAGE $ AMOUNT OF
COMMISSIONS REPRESENTED TRANSACTIONS
PORTFOLIO COMMISSIONS FOR THE PERIOD FOR THEPERIOD
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Global Equity . . . . . . . . . . . . . . $15,349 0.57% 0.90%
Pasadena . . . . . . . . . . . . . . . . $2,482 0.64% 0.03%
Equity . . . . . . . . . . . . . . . . . $8,890 1.03% 0.06%
Value Equity . . . . . . . . . . . . . . $40,124 6.61% 0.20%
Growth and Income . . . . . . . . . . . . $12,798 1.83% 0.30%
International Growth and Income . . . . . $554* 0.15% 0.41%
Aggressive Asset Allocation . . . . . . . $721 0.25% 0.24%
Moderate Asset Allocation . . . . . . . . $1,680 0.28% 0.31%
Conservative Asset Allocaton . . . . . . $397 0.38% 0.14%
</TABLE>
*For period January 9, 1995 (commencement of operations) to December 31, 1995.
27
<PAGE> 79
PURCHASE AND REDEMPTION OF SHARES
The Trust will redeem all full and fractional portfolio shares for cash
at the net asset value per share of each portfolio. Payment for shares redeemed
will generally be made within seven days after receipt of a proper notice of
redemption. However, the Trust may suspend the right of redemption or postpone
the date of payment beyond seven days during any period when (a) trading on the
New York Stock Exchange is restricted, as determined by the Securities and
Exchange Commission, or such Exchange is closed for other than weekends and
holidays; (b) an emergency exists, as determined by the Commission, as a result
of which disposal by the Trust of securities owned by it is not reasonably
practicable or it is not reasonably practicable for the Trust fairly to
determine the value of its net assets; or (c) the Commission by order so permits
for the protection of security holders of the Trust.
DETERMINATION OF NET ASSET VALUE
The following supplements the discussion of the valuation of portfolio
assets set forth in the Prospectus under the caption "Purchase and Redemption of
Shares."
Securities held by the portfolios except for debt instruments with
remaining maturities of 60 days or less and all debt instruments held by the
Money Market Trust will be valued as follows: securities which are traded on
stock exchanges (including securities traded in both the over-the-counter market
and on an exchange) are valued at the last sales price as of the close of the
regularly scheduled trading of the New York Stock Exchange on the day the
securities are being valued, 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 that make markets in the securities at the close of
trading on the New York Stock Exchange. Securities and assets for which market
quotations are not readily available are valued at fair value as determined in
good faith by or under the direction of the Trustees.
Generally, trading in non-U.S. securities, as well as U.S. Government
securities and money market instruments, is substantially completed each day at
various times prior to the close of the regularly scheduled trading of the New
York Stock Exchange. The values of such securities used in computing the net
asset value of a portfolio's shares are generally determined as of such times.
Occasionally, events which affect the values of such securities may occur
between the times at which they are generally determined and the close of the
New York Stock Exchange and would therefore not be reflected in the computation
of a portfolio's net asset value. If events materially affecting the value of
such securities occur during such period, then these securities will be valued
at their fair value as determined in good faith by the Subadvisers under
procedures established and regularly reviewed by the Trustees.
Debt instruments with a remaining maturity of 60 days or less held by
each of the portfolios other than the Money Market Trust, and all instruments
held by the Money Market Trust, will be valued on an amortized cost basis. Under
this method of valuation, the instrument is initially valued at cost (or in the
case of instruments initially valued at market value, at the market value on the
day before its remaining maturity is such that it qualifies for amortized cost
valuation); thereafter, the Trust assumes a constant proportionate amortization
in value until maturity of any discount or premium, regardless of the impact of
fluctuating interest rates on the market value of the instrument. While this
method provides certainty in valuation, it may result in periods during which
value, as determined by amortized cost, is higher or lower than the price that
would be received upon sale of the instrument.
The Money Market Trust uses the amortized cost valuation method in
reliance upon Rule 2a-7 under the Investment Company Act of 1940. As required by
the Rule, the Money Market Trust will maintain a dollar weighted average
maturity of 90 days or less. In addition, the Money Market Trust is permitted to
purchase only securities that the Trustees determine to present minimal credit
risks and which are at the time of purchase "eligible securities," as defined by
the Rule. Generally, eligible securities must be rated by a nationally
recognized statistical rating organization in one of the two highest rating
categories for short-term debt obligations or be of comparable quality. The
Money Market Trust will invest only in obligations that have remaining
maturities of thirteen months or less.
The Trustees have established procedures designed to stabilize, to the
extent reasonably possible, the Money Market Trust's price per share as computed
for the purpose of sales and redemptions at $10.00. Such procedures include a
direction to the Adviser to establish procedures which will allow for the
monitoring of the propriety of the continued use of amortized cost valuation to
maintain a constant net asset value of $10.00 per share. Such procedures include
a directive to the Adviser that requires that on determining net asset value per
share based upon available market quotations, the Money Market Trust shall value
weekly (a) all portfolio instruments for which market quotations are readily
available at market, and (b) all portfolio instruments for which market
quotations are not readily available or are not obtainable from a pricing
service, at their fair value as determined in good faith by the Trustees,
although the actual calculations may be made by persons acting pursuant to the
direction of the Trustees. If the fair value of a security needs to be
determined, the Subadviser will provide determinations, in accordance with
procedures and methods established by the Trustees of the Trust, of the fair
value of securities held by the Money Market Trust for which market quotations
are not readily available for purposes of enabling the Money Market Trust's
Custodian to calculate net asset value. The Adviser, with the Subadviser's
assistance, periodically (but no less frequently than annually) shall prepare a
written report to the Trustees verifying the accuracy of the pricing system or
estimate. A non-negotiable security which is not treated as an
28
<PAGE> 80
illiquid security because it may be redeemed with the issuer, subject to a
penalty for early redemption, shall be assigned a value that takes into account
the reduced amount that would be received if it were currently liquidated. In
the event that the deviation from the amortized cost exceeds .50 of 1% or more
or a difference of $.05 per share in net asset value, the Adviser shall promptly
call a special meeting of the Trustees to determine what, if any, action should
be initiated. Where the Trustees believe the extent of any deviation from the
Money Market Trust's amortized cost price per share may result in material
dilution or other unfair results to investors or existing shareholders, they
shall take such action as they deem appropriate to eliminate or reduce to the
extent reasonably practical such dilution or unfair results. The actions that
may be taken by the Trustees include, but are not limited to: (a) redeeming
shares in kind; (b) selling portfolio instruments prior to maturity to realize
capital gains or losses or to shorten the average portfolio maturity of the
Money Market Trust; (c) withholding or reducing dividends;(d) utilizing a net
asset value per share based on available market quotations; (e)investing all
cash in instruments with a maturity on the next business day. The Money Market
Trust may also reduce the number of shares outstanding by redeeming
proportionately from shareholders, without the payment of any monetary
compensation, such number of full and fractional shares as is necessary to
maintain the net asset value at $10.00 per share. Any such redemption will be
treated as a negative dividend for purposes of the Net Investment Factor under
the contracts issued by North American Security Life Insurance Company.
PERFORMANCE DATA
Each of the portfolios may quote total return figures in its
advertising and sales materials. Such figures will always include the average
annual total return for recent one year and, when applicable, five and ten year
periods and where less than five or ten years, the period since the portfolio,
including its predecessor prior to the reorganization of the Fund on December
31, 1988, became available for investment. Where the period since inception is
less than one year, the total return quoted will be the aggregate return for the
period. The average annual total return is the average annual compounded rate of
return that equates the initial amount invested to the market value of such
investment on the last day of the period for which such return is calculated.
For purposes of the calculation it is assumed that an initial payment of $1,000
is made on the first day of the period for which the return is calculated and
that all dividends and distributions are reinvested at the net asset value on
the reinvestment dates during the period. All recurring fees such as advisory
fees charged to the Trust and all Trust expenses are reflected in the
calculations. There are no non-recurring fees such as sales loads, surrender
charges or account fees charged by the Trust. If the period since inception is
less than one year, the figures will be based on an aggregate total return
rather than an average annual total return. Because the Investment Quality Bond
Trust changed its investment objective and investment subadviser effective April
23, 1991, the Trust has elected to quote performance for that portfolio only
since the date of the change in order to quote returns representative of its
current objectives and/or produced by its current portfolio manager. For the
same reasons, the Trust may elect to quote performance for the Equity, U.S.
Government Securities, Money Market, and the three Asset Allocation Trusts only
since December 13, 1991 when such portfolios changed portfolio managers.
29
<PAGE> 81
TOTAL ANNUALIZED RETURN
<TABLE>
<CAPTION>
===================================================================================================================
Trust One Year Ended Five Years Ended Since Inception Date first Available
12/31/95 12/31/95 through 12/31/95
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Global Equity 7.68% 10.27% 8.07% 03/18/88
Pasadena Growth 26.53% N/A 4.70% 12/11/92
Equity 42.79% 16.03% 13.90% 06/18/85
Value Equity 23.69% N/A 12.75% 02/19/93
Growth and Income 29.20% N/A 13.06% 04/23/91
International Growth 6.98%* N/A N/A 01/9/95
and Income
Strategic Bond 19.22% N/A 7.17% 02/19/93
Global Government 23.18% 10.36% 9.13% 03/18/88
Bond
Investment Quality 19.49% N/A 9.46% 04/23/91
Bond
U.S. Government 15.57% 8.26% 8.54% 05/01/89
Securities
Money Market 5.62% 4.23% 5.66% 06/18/85
Cons. Asset 18.07% 10.01% 7.25% 08/03/89
Allocation
Mod. Asset 20.68% 11.40% 7.75% 08/03/89
Allocation
Aggr. Asset 22.77% 12.35% 8.02% 08/03/89
Allocation
===================================================================================================================
</TABLE>
*Aggregate total return from January 9. 1995 (inception date).
The Trust may also from time to time include in advertising and sales
literature the following: 1) information regarding its portfolio subadvisers,
such as information regarding a subadvisers specific investment expertise,
client base, assets under management or other relevant information; 2)
quotations about the Trust, its portfolios or its investment subadvisers that
appear in various publications and media; and 3) general discussions of economic
theories, including but not limited to discussions of how demographics and
political trends may effect future financial markets, as well as market or other
relevant information.
ORGANIZATION OF THE TRUST
SHARES OF THE TRUST
The Declaration of Trust authorizes the Trustees of the Trust to issue
an unlimited number of full and fractional shares of beneficial interest having
a par value of $.01 per share, to divide such shares into an unlimited number of
series of shares and to designate the relative rights and preferences thereof,
all without shareholder approval. The Trust currently has sixteen series of
shares: the Small/Mid Cap, the International Small Cap, the Global Equity Trust,
the Pasadena Growth Trust, the Equity Trust, the Value Equity Trust, the Growth
and Income Trust, the International Growth and Income Trust, the Strategic Bond
Trust, the Global Government Bond Trust, the Investment Quality Bond Trust, the
Money Market Trust, the U.S. Government Securities Trust, the Conservative Asset
Allocation Trust, the Moderate Asset Allocation Trust and the Aggressive Asset
Allocation Trust. The shares of each portfolio, when issued and paid for, will
be fully paid and non-assessable and will have no preemptive or conversion
rights. Holders of shares of any portfolio are entitled to redeem their shares
as
30
<PAGE> 82
set forth under "Purchase and Redemption of Shares." The Trust reserves the
right to later issue additional series of shares or separate classes of existing
series of shares without the consent of outstanding shareholders.
Each issued and outstanding share is entitled to participate equally in
dividends and distributions declared by the respective portfolio and upon
liquidation in the net assets of such portfolio remaining after satisfaction of
outstanding liabilities. For these purposes and for purposes of determining the
sale and redemption prices of shares, any assets which are not clearly allocable
to a particular portfolio will be allocated in the manner determined by the
Trustees. Accrued liabilities which are not clearly allocable to one or more
portfolios will also be allocated among the portfolios in the manner determined
by the Trustees.
Shareholders of each portfolio of the Trust are entitled to one vote
for each full share held (and fractional votes for fractional shares held)
irrespective of the relative net asset values of the shares of the portfolio.
All shares entitled to vote are voted by series, except that when voting for the
election of Trustees and when otherwise permitted by the Investment Company Act
of 1940, shares are voted in the aggregate and not by series. Only shares of a
particular portfolio are entitled to vote on matters determined by the Trustees
to affect only the interests of that portfolio. Pursuant to the Investment
Company Act of 1940 and the rules and regulations thereunder, certain matters
approved by a vote of a majority of all the shareholders of the Trust may not be
binding on a portfolio whose shareholders have not approved such matter. There
will normally be no meetings of shareholders for the purpose of electing
Trustees unless and until less than a majority of the Trustees holding office
has been elected by shareholders, at which time the Trustees then in office will
call a shareholders' meeting for the election of Trustees. Holders of not less
than two-thirds of the outstanding shares of the Trust may remove a Trustee by a
vote cast in person or by proxy at a meeting called for such purpose. Shares of
the Trust do not have cumulative voting rights, which means that the holders of
more than 50% of the Trust's shares voting for the election of Trustees can
elect all of the Trustees if they so choose. In such event, the holders of the
remaining shares would not be able to elect any Trustees. Shares held in
Security Life's registered separate account are voted in accordance with
instructions from variable contract owners.
Under Massachusetts law, shareholders of the Trust could, under certain
circumstances, be held personally liable for the obligations of the Trust. The
Declaration of Trust contains an express disclaimer of shareholder liability for
acts or obligations of the Trust and requires that notice of such disclaimer be
given in each agreement, obligation, or instrument entered into or executed by
the Trustees or any officer of the Trust. The Declaration of Trust provides for
indemnification out of the property of a Trust portfolio for all losses and
expenses of any shareholder held personally liable for the obligations of such
portfolio. The Declaration of Trust also provides that the Trust shall, upon
request, assume the defense of any claim made against any shareholder for any
act or obligation of the Trust and satisfy any judgment thereon, but only out of
the property of a particular portfolio. Thus, the risk of a shareholder
incurring financial loss on account of shareholder liability is limited to
circumstances in which a particular portfolio would be unable to meet its
obligations.
PRINCIPAL HOLDERS OF SECURITIES
Security Life, a Delaware corporation and a wholly-owned subsidiary of
North American Life, provided the initial capital for the Fund, the Trust's
corporate predecessor, by purchasing for its general account 100,000 shares of
the Equity Portfolio, 100,000 shares of the Bond Portfolio and 100,000 shares of
the Money Market Portfolio, each at a price of $10.00 per share. On March 20,
1987, North American Life purchased all of Security Life's shares from Security
Life at a price equal to the net asset value of the shares at the close of
business on March 20, 1987. On December 23, 1987, the Fund redeemed all of the
shares of the Equity and Bond Portfolios owned by North American Life. On
February 12, 1988 North American Life provided the initial capital to the Global
Equity, Global Government Bond and Convertible Securities Portfolios (now the
U.S. Government Securities Trust) by purchasing 25,000 shares of each such
portfolio at a price of $10.00 per share. On April 1, 1991 Security Life
provided the initial capital to the Growth and Income Trust by purchasing 10,000
shares at the price of $10.00 per share. On January 6, 1995 and January 9, 1995,
Security Life provided the initial capital to the International Growth and
Income Trust by purchasing one share and 500,000 shares, respectively, at 10.00
per share.
The Trust currently has three shareholders: The Manufacturers Life
Insurance Company of America ("Manulife America"), Security Life and First North
American Life Assurance Company ("FNAL"). Each shareholder holds Trust shares
attributable to variable and variable life contracts in their separate accounts
registered under the Investment Company Act of 1940. Each shareholder will
solicit voting instructions from such variable and variable life contract owners
and vote all shares held in proportion to the instructions received.
Reflecting the conditions of section 817(h) and other provisions of the
Internal Revenue Code and regulations thereunder, the By-laws of the Trust
provide that shares of the Trust may be purchased only by the following eligible
shareholders: (a) separate accounts of Security Life or of other insurance
companies; (b) Security Life; (c) NASL Financial; (d) any corporation related in
a manner specified in section 267(b) of the Internal Revenue Code to Security
Life or to NASL Financial, including North American Life; and (e) any Trustee of
a qualified pension of retirement plan. As a matter of operating policy, shares
of the Trust may be purchased only by the eligible shareholders of categories
(a), (b) and (d).
31
<PAGE> 83
REPORTS TO SHAREHOLDERS
Annual and semi-annual reports containing financial statements of the
Trust will be sent to contract owners.
INDEPENDENT ACCOUNTANTS
The audited financial statements of the Trust at December 31, 1994
included in this Statement of Additional Information and the Supplementary
Information for the period from the commencement of operations of the Trust's
corporate predecessor through December 31, 1994 included in the Prospectus have
been audited by Coopers & Lybrand, L.L.P., independent public accountants, as
indicated in their report in this Statement of Additional Information and are
included herein in reliance upon such report and upon the authority of such firm
as experts in accounting and auditing.
LEGAL COUNSEL
Messrs. Jones & Blouch L.L.P., 1025 Thomas Jefferson Street, N.W.,
N.W., Washington, DC 20007, have passed upon certain legal matters relating to
the federal securities laws.
32
<PAGE> 84
NASL SERIES TRUST
FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Page
----
<S> <C>
Statements of Assets and Liabilities.................................. 1
Statements of Operations.............................................. 4
Statements of Changes in Net Assets................................... 7
Financial Highlights.................................................. 11
Portfolio of Investments:
Global Equity Trust.............................................. 25
Pasadena Growth Trust............................................ 27
Equity Trust..................................................... 29
Value Equity Trust............................................... 32
Growth and Income Trust.......................................... 33
Strategic Bond Trust............................................. 35
Global Government Bond Trust..................................... 37
International Growth and Income Trust............................ 38
Investment Quality Bond Trust.................................... 41
U.S. Government Securities Trust................................. 43
Money Market Trust............................................... 44
Aggressive, Moderate and Conservative Asset Allocation Trusts.... 45
Notes to Financial Statements......................................... 65
</TABLE>
i
<PAGE> 85
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - JUNE 30, 1995 - (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Global Pasadena
Equity Growth Equity
Trust Trust Trust
------------ ------------ ------------
<S> <C> <C> <C>
ASSETS
Investment in securities, at value* (Including a repurchase agreement
of $69,585,000 in the Value Equity Trust)
(See accompanying schedules) .......................................... $581,593,593 $215,305,937 $746,480,000
Receivable for forward foreign currency contracts to sell
(Notes 2 and 8) ....................................................... 100,443,999 -- --
Cash .................................................................... 54,127 254 436
Foreign currency (Cost: $392,985, $1,454 and $89 in the Global Equity
Equity and Growth and Income Trusts, respectively) .................... 393,238 -- 1,471
Receivables:
Investments sold .................................................... 9,157,434 6,087,139 2,306,055
Dividends ........................................................... 1,918,889 222,125 706,906
Interest ............................................................ 1,729 890 5,688
Foreign tax withholding reclaim ..................................... 439,789 -- 330
Deferred organization expenses (Note 2) ................................ -- 4,909 --
Other assets ............................................................ 6,337 1,909 6,070
------------ ------------ ------------
Total assets .................................................... 694,009,135 221,623,163 749,506,956
------------ ------------ ------------
LIABILITIES
Forward foreign currency contracts to sell, at value (Cost: $103,369,989)
(Notes 2 and 8) ....................................................... 104,240,637 -- --
Payables:
Investments purchased ............................................... -- 3,600,573 473,913
Dividend withholding tax ............................................ 257,525 -- 3,392
Custodian fee ....................................................... 42,768 3,558 8,357
Other accrued expenses .............................................. 142,078 35,435 118,032
------------ ------------ ------------
Total liabilities ............................................... 104,683,008 3,639,566 603,694
------------ ------------ ------------
NET ASSETS .............................................................. $589,326,127 $217,983,597 $748,903,262
============ ============ ============
Net assets consist of:
Undistributed net investment income.................................. $ 2,075,673 $ 458,936 $ 1,800,400
Accumulated net realized gains (losses) on investments .............. (20,935,097) (7,757,262) 15,225,854
Unrealized appreciation (depreciation) on:
Investments ..................................................... 33,612,007 29,950,007 144,807,366
Foreign currency and forward foreign currency contracts ......... (717,087) -- 25
Capital shares at par value of $.01 (Note 4) ....................... 392,477 206,494 409,625
Additional paid-in capital .......................................... 574,898,154 195,125,422 586,659,992
------------ ------------ ------------
Net assets ...................................................... $589,326,127 $217,983,597 $748,903,262
============ ============ ============
Capital shares outstanding (Note 4) .................................... 39,247,645 20,649,436 40,962,514
------------ ------------ ------------
Net asset value, offering price and redemption price per share .......... $ 15.02 $ 10.56 $ 18.28
============ ============ ============
*Investment in securities, at identified cost (Note 2) ................. $547,981,586 $185,355,930 $601,672,634
============ ============ ============
<CAPTION>
Growth
Value and
Equity Income
Trust Trust
------------ ------------
<S> <C> <C>
ASSETS
Investment in securities, at value* (Including a repurchase agreement
of $69,585,000 in the Value Equity Trust)
(See accompanying schedules) .......................................... $305,960,025 $516,102,592
Receivable for forward foreign currency contracts to sell
(Notes 2 and 8) ....................................................... -- --
Cash .................................................................... 117 371
Foreign currency (Cost: $392,985, $1,454 and $89 in the Global Equity
Equity and Growth and Income Trusts, respectively) .................... -- 98
Receivables:
Investments sold .................................................... 1,920,000 430,549
Dividends ........................................................... 166,751 1,748,690
Interest ............................................................ 11,597 59,664
Foreign tax withholding reclaim ..................................... -- --
Deferred organization expenses (Note 2) ................................ 5,292 11,535
Other assets ............................................................ 2,625 4,588
------------ ------------
Total assets .................................................... 308,066,407 518,358,087
------------ ------------
LIABILITIES
Forward foreign currency contracts to sell, at value (Cost: $103,369,989)
(Notes 2 and 8) ....................................................... -- --
Payables:
Investments purchased ............................................... -- 684,250
Dividend withholding tax ............................................ -- 45,607
Custodian fee ....................................................... 3,373 5,452
Other accrued expenses .............................................. 51,078 92,005
------------ ------------
Total liabilities ............................................... 54,451 827,314
------------ ------------
NET ASSETS .............................................................. $308,011,956 $517,530,773
============ ============
Net assets consist of:
Undistributed net investment income.................................. $ 2,048,662 $ 5,699,875
Accumulated net realized gains (losses) on investments .............. 5,888,891 3,518,947
Unrealized appreciation (depreciation) on:
Investments ..................................................... 32,246,798 75,738,297
Foreign currency and forward foreign currency contracts ......... -- 654
Capital shares at par value of $.01 (Note 4) ....................... 236,707 352,342
Additional paid-in capital .......................................... 267,590,898 432,220,659
------------ ------------
Net assets ...................................................... $308,011,956 $517,530,773
============ ============
Capital shares outstanding (Note 4) .................................... 23,670,651 35,234,170
------------ ------------
Net asset value, offering price and redemption price per share .......... $ 13.01 $ 14.69
============ ============
*Investment in securities, at identified cost (Note 2) ................. $273,713,227 $440,364,295
============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
1
<PAGE> 86
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - JUNE 30, 1995 - (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Global International
Strategic Government Growth and
Bond Bond Income
Trust Trust Trust
------------- ------------- -------------
<S> <C> <C> <C>
ASSETS
Investment in securities, at value* (See accompanying schedules) ...... $ 98,743,769 $ 211,794,774 $ 53,419,702
Receivable for forward foreign currency contracts to sell
(Notes 2 and 8) ...................................................... 13,274,264 68,956,929 3,365,776
Forward foreign currency contracts to buy, at value (Cost: $2,107,151,
$56,331,066 and $236,602 in the Strategic Bond, Global Government
Bond and International Growth and Income Trusts, respectively)
(Notes 2 and 8) ...................................................... 2,136,259 57,550,106 235,974
Cash ................................................................... 337 -- 4,983,259
Foreign currency (Cost: $1,922,963 and $4,121,145 in the International
Growth and Income and Global Government Bond Trusts,
respectively) ........................................................ -- 4,104,904 1,938,903
Receivables:
Investments sold ................................................... 32,609 9,400,552 2,637,696
Dividends .......................................................... -- -- 161,121
Interest ........................................................... 2,119,069 4,550,563 174,753
Foreign tax withholding reclaim .................................... 10,623 -- 51,504
Deferred organization expenses (Note 2) ............................... 7,939 -- 11,828
Other assets ........................................................... 866 2,217 201
------------- ------------- ------------
Total assets ................................................... 116,325,735 356,360,045 66,980,717
------------- ------------- ------------
LIABILITIES
Forward foreign currency contracts to sell, at value (Cost: $13,274,264,
$69,763,094 and $3,364,287 in the Strategic Bond, Global Government
Bond and International Growth and Income Trusts, respectively)
(Notes 2 and 8) ...................................................... 13,375,731 71,573,747 3,358,641
Payables:
Forward foreign currency contracts to buy (Notes 2 and 8) ......... -- 56,331,066 --
Investments purchased .............................................. 4,199,643 10,803,763 3,572,777
Dividend withholding tax ........................................... -- -- 27,796
Interest withholding tax ........................................... 5,516 135,447 3,652
Custodian fee ...................................................... 17,547 35,041 --
Other accrued expenses ............................................. 19,042 45,718 50
------------- ------------- ------------
Total liabilities .............................................. 17,617,479 138,924,782 6,962,916
------------- ------------- ------------
NET ASSETS ............................................................. $ 98,708,256 $ 217,435,263 $ 60,017,801
============= ============= ============
Net assets consist of:
Undistributed net investment income ................................ $ 3,952,956 $ 6,961,314 $ 253,050
Accumulated net realized gains (losses) on investments ............. (3,618,317) (8,094,506) (120,437)
Unrealized appreciation (depreciation) on:
Investments .................................................... 213,637 3,801,618 (785,808)
Foreign currency and forward foreign currency contracts ........ (71,398) (420,053) 34,275
Capital shares at par value of $.01 (Note 4) ...................... 94,728 165,293 59,955
Additional paid-in capital ......................................... 98,136,650 215,021,599 60,576,766
------------- ------------- ------------
Net assets ..................................................... $ 98,708,256 $ 217,435,263 $ 60,017,801
============= ============= ============
Capital shares outstanding (Note 4) ................................... 9,472,814 16,529,226 5,995,479
------------- ------------- ------------
Net asset value, offering price and redemption price per share ......... $ 10.42 $ 13.15 $ 10.01
============= ============= ============
*Investment in securities, at identified cost (Note 2) ................ $ 98,530,132 $ 207,993,156 $ 54,205,510
============= ============= ============
<CAPTION>
Investment U.S.
Quality Government
Bond Securities
Trust Trust
------------- -------------
<S> <C> <C>
ASSETS
Investment in securities, at value* (See accompanying schedules) ...... $ 120,076,431 $ 203,462,158
Receivable for forward foreign currency contracts to sell
(Notes 2 and 8) ...................................................... -- --
Forward foreign currency contracts to buy, at value (Cost: $2,107,151,
$56,331,066 and $236,602 in the Strategic Bond, Global Government
Bond and International Growth and Income Trusts, respectively)
(Notes 2 and 8) ...................................................... -- --
Cash ................................................................... 931 2,933
Foreign currency (Cost: $1,922,963 and $4,121,145 in the International
Growth and Income and Global Government Bond Trusts,
respectively) ........................................................ -- --
Receivables:
Investments sold ................................................... -- --
Dividends .......................................................... -- --
Interest ........................................................... 2,119,913 2,797,794
Foreign tax withholding reclaim .................................... -- --
Deferred organization expenses (Note 2) ............................... -- --
Other assets ........................................................... 1,089 1,835
------------- -------------
Total assets ................................................... 122,198,364 206,264,720
------------- -------------
LIABILITIES
Forward foreign currency contracts to sell, at value (Cost: $13,274,264,
$69,763,094 and $3,364,287 in the Strategic Bond, Global Government
Bond and International Growth and Income Trusts, respectively)
(Notes 2 and 8) ...................................................... -- --
Payables:
Forward foreign currency contracts to buy (Notes 2 and 8) ......... -- --
Investments purchased .............................................. 2,740,152 16,973,602
Dividend withholding tax ........................................... -- --
Interest withholding tax ........................................... 689 --
Custodian fee ...................................................... 2,142 3,918
Other accrued expenses ............................................. 22,677 36,940
------------- -------------
Total liabilities .............................................. 2,765,660 17,014,460
------------- -------------
NET ASSETS ............................................................. $ 119,432,704 $ 189,250,260
============= =============
Net assets consist of:
Undistributed net investment income ................................ $ 4,054,108 $ 6,283,947
Accumulated net realized gains (losses) on investments ............. (6,048,933) (7,035,800)
Unrealized appreciation (depreciation) on:
Investments .................................................... 4,908,996 5,381,455
Foreign currency and forward foreign currency contracts ........ -- --
Capital shares at par value of $.01 (Note 4) ...................... 03,801 145,482
Additional paid-in capital ......................................... 116,414,732 184,475,176
------------- -------------
Net assets ..................................................... $ 119,432,704 $ 189,250,260
============= =============
Capital shares outstanding (Note 4) ................................... 10,380,088 14,548,168
------------- -------------
Net asset value, offering price and redemption price per share ......... $ 11.51 $ 13.01
============= =============
*Investment in securities, at identified cost (Note 2) ................ $ 115,167,435 $ 198,080,703
============= =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE> 87
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - JUNE 30, 1995 - (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Aggressive Moderate Conservative
Money Asset Asset Asset
Market Allocation Allocation Allocation
Trust Trust Trust Trust
------------ ------------ ------------ -------------
<S> <C> <C> <C> <C>
ASSETS
Investment in securities, at value* (See accompanying schedules) .. $266,510,093 $193,649,085 $646,683,175 $ 227,471,352
Forward foreign currency contracts to buy, at value (Cost: $485,041,
$757,078 and $174,933 in the Aggressive, Moderate and Conservative
Asset Allocation Trusts, respectively) (Notes 2 and 8) ......... -- 485,128 757,118 174,964
Cash ............................................................... 194 106,938 586 488
Foreign currency (Cost: $645,784, $1,347,840 and $158,601 in the
Aggressive, Moderate and Conservative Asset Allocation Trusts,
respectively) (Notes 2 and 8) ................................... -- 650,353 1,351,060 159,751
Receivables:
Investments sold ............................................... -- 761,699 2,834,969 788,624
Dividends ...................................................... -- 391,801 890,783 157,110
Interest ....................................................... 119,287 632,202 4,221,018 2,125,516
Foreign tax withholding reclaim ................................ -- 41,146 86,855 13,094
Other assets ....................................................... 2,814 1,763 5,925 2,075
------------ ------------ ------------ -------------
Total assets ............................................ 266,632,388 196,720,115 656,831,489 230,892,974
------------ ------------ ------------ -------------
LIABILITIES
Payables:
Forward foreign currency contracts to buy (Notes 2 and 8) ..... -- 485,041 757,078 174,933
Investments purchased .......................................... -- 4,645,391 29,318,474 9,697,837
Dividend withholding tax ....................................... 40,515 35,772 80,771 11,392
Custodian fee .................................................. 7,623 16,412 21,835 23,489
Other accrued expenses ......................................... 63,566 38,921 129,620 46,134
------------ ------------ ------------ -------------
Total liabilities ....................................... 111,704 5,221,537 30,307,778 9,953,785
------------ ------------ ------------ -------------
NET ASSETS ......................................................... $266,520,684 $191,498,578 $626,523,711 $ 220,939,189
============ ============ ============ =============
Net assets consist of:
Undistributed net investment income ............................ -- $ 2,609,735 $ 12,141,264 $ 5,101,989
Accumulated net realized gains (losses) on investments ......... -- 2,287,734 5,544,272 (2,918,684)
Unrealized appreciation on:
Investments ............................................. -- 16,556,243 40,771,495 10,627,041
Foreign currency and forward foreign currency contracts.. -- 14,461 28,559 4,434
Capital shares at par value of $.01 (Note 4) .................. $ 266,521 164,238 550,095 204,496
Additional paid-in capital ..................................... 266,254,163 169,866,167 567,488,026 207,919,913
------------ ------------ ------------ -------------
Net assets .............................................. $266,520,684 $191,498,578 $626,523,711 $ 220,939,189
============ ============ ============ =============
Capital shares outstanding (Note 4) ............................... 26,652,068 16,423,795 55,009,464 20,449,605
------------ ------------ ------------ -------------
Net asset value, offering price and redemption price per share ..... $ 10.00 $ 11.66 $ 11.39 $ 10.80
============ ============ ============ =============
*Investment in securities, at identified cost (Note 2) ............ $266,510,093 $177,092,842 $605,911,680 $ 216,844,311
============ ============ ============ =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE> 88
NASL SERIES TRUST
STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Global Pasadena
Equity Growth Equity
Trust Trust Trust
------------ ----------- ------------
<S> <C> <C> <C>
Investment Income:
Interest ......................................................... $ 377,702 $ 327,085 $ 1,032,661
Dividends (Net of $563,960, $14,730, $21,842 and $95,251
withholding tax in the Global Equity, Pasadena Growth, Equity and
Growth and Income Trusts, respectively) ........................ 4,847,674 1,028,018 3,285,191
------------ ----------- ------------
Total income ................................................. 5,225,376 1,355,103 4,314,852
------------ ----------- ------------
Expenses:
Investment adviser fees (Note 6) ................................ 2,676,089 896,167 2,288,353
Custodian fees ................................................... 367,256 36,864 133,884
Audit and legal fees ............................................. 40,496 11,606 38,422
Registration and filing fees ..................................... 37,428 10,665 35,391
Amortization of deferred organization expenses (Note 2) ......... -- 992 --
Trustees fees and expenses (Note 7) ............................. 10,995 3,168 10,521
Miscellaneous .................................................... 8,807 2,277 7,881
------------ ----------- ------------
Expenses before waiver or reimbursement by
subadviser (Note 6) ........................................ 3,141,071 961,739 2,514,452
Reimbursement of expenses by subadviser ....................... -- 65,572 --
------------ ----------- ------------
Total expenses ............................................... 3,141,071 896,167 2,514,452
------------ ----------- ------------
Net investment income ........................................ 2,084,305 458,936 1,800,400
------------ ----------- ------------
Realized and unrealized gain on investments and foreign currency:
Net realized gain (loss) on:
Investment transactions ...................................... (20,140,230) 428,774 22,516,172
Foreign currency and forward foreign currency contracts ...... (792,128) -- (137,113)
Change in unrealized appreciation (depreciation) on:
Investments .................................................. 21,939,458 28,837,812 121,768,027
Translation of foreign currency and
forward foreign currency contracts ......................... (692,738) -- (437)
------------ ----------- ------------
Net gain on investments and foreign currency ..................... 314,362 29,266,586 144,146,649
------------ ----------- ------------
Net increase in net assets resulting
from operations ............................................ $ 2,398,667 $29,725,522 $145,947,049
============ =========== ============
<CAPTION>
Growth
Value and
Equity Income
Trust Trust
----------- -----------
<S> <C> <C>
Investment Income:
Interest ......................................................... $ 1,602,585 $ 727,178
Dividends (Net of $563,960, $14,730, $21,842 and $95,251
withholding tax in the Global Equity, Pasadena Growth, Equity and
Growth and Income Trusts, respectively) ........................ 1,552,952 6,811,883
----------- -----------
Total income ................................................. 3,155,537 7,539,061
----------- -----------
Expenses:
Investment adviser fees (Note 6) ................................ 1,025,525 1,691,068
Custodian fees ................................................... 41,973 71,076
Audit and legal fees ............................................. 16,149 29,020
Registration and filing fees ..................................... 14,853 26,736
Amortization of deferred organization expenses (Note 2) ......... 992 7,430
Trustees fees and expenses (Note 7) ............................. 4,421 7,906
Miscellaneous .................................................... 2,962 5,950
----------- -----------
Expenses before waiver or reimbursement by
subadviser (Note 6) ........................................ 1,106,875 1,839,186
Reimbursement of expenses by subadviser ....................... -- --
----------- -----------
Total expenses ............................................... 1,106,875 1,839,186
----------- -----------
Net investment income ........................................ 2,048,662 5,699,875
----------- -----------
Realized and unrealized gain on investments and foreign currency:
Net realized gain (loss) on:
Investment transactions ...................................... 5,888,891 2,836,635
Foreign currency and forward foreign currency contracts ...... -- 682,312
Change in unrealized appreciation (depreciation) on:
Investments .................................................. 32,300,245 58,549,027
Translation of foreign currency and
forward foreign currency contracts ......................... -- 1,656
----------- -----------
Net gain on investments and foreign currency ..................... 38,189,136 62,069,630
----------- -----------
Net increase in net assets resulting
from operations ............................................ $40,237,798 $67,769,505
=========== ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE> 89
NASL SERIES TRUST
STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1995
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Global International
Strategic Government Growth and
Bond Bond Income
Trust Trust Trust
----------- ----------- -------------
<S> <C> <C> <C>
Investment Income:
Interest (Net of $172,750, $131,160, $15,506, $689 and $297
withholding tax in the Strategic Bond, Global Government Bond,
International Growth and Income, Investment Quality Bond and
U.S. Government Securities Trusts, respectively) ................... $ 4,348,928 $ 7,908,703 $ 93,431
Dividends (Net of $46,849 withholding tax in the International Growth
and Income Trust) ................................................. -- -- 291,653
----------- ------------ ---------
Total income .................................................... 4,348,928 7,908,703 385,084
----------- ------------ ---------
Expenses:
Investment adviser fees (Note 5) ................................... 342,319 851,986 112,575
Custodian fees ...................................................... 55,687 130,951 16,659
Audit and legal fees ................................................ 5,810 14,369 879
Registration and filing fees ........................................ 5,365 13,240 809
Amortization of deferred organization expenses (Note 2) ............ 1,488 -- 803
Trustees fees and expenses (Note 7) ................................ 1,589 3,902 234
Miscellaneous ....................................................... 1,245 3,376 97
----------- ------------ ---------
Total expenses .................................................. 413,503 1,017,824 132,034
----------- ------------ ---------
Net investment income ........................................... 3,935,425 6,890,879 253,050
----------- ------------ ---------
Realized and unrealized gain (loss) on investments and foreign currency:
Net realized gain (loss) on:
Investment transactions ......................................... (1,311,209) (761,709) 259,755
Foreign currency and forward foreign currency contracts ......... 721,009 3,288,102 (380,192)
Change in unrealized appreciation (depreciation) on:
Investments ..................................................... 5,644,088 13,868,365 (785,808)
Translation of foreign currency and
forward foreign currency contracts ............................ (28,585) (359,954) 34,275
----------- ------------ ---------
Net gain (loss) on investments and foreign currency ................. 5,025,303 16,034,804 (871,970)
----------- ------------ ---------
Net increase (decrease) in net assets resulting
from operations ............................................... $ 8,960,728 $ 22,925,683 $(618,920)
=========== ============ =========
<CAPTION>
Investment U.S.
Quality Government
Bond Securities
Trust Trust
------------ -----------
<S> <C> <C>
Investment Income:
Interest (Net of $172,750, $131,160, $15,506, $689 and $297
withholding tax in the Strategic Bond, Global Government Bond,
International Growth and Income, Investment Quality Bond and
U.S. Government Securities Trusts, respectively) ................... $ 4,488,667 $ 7,096,649
Dividends (Net of $46,849 withholding tax in the International Growth
and Income Trust) ................................................. -- --
------------ -----------
Total income .................................................... 4,488,667 7,096,649
Expenses:
Investment adviser fees (Note 5) ................................... 374,266 602,829
Custodian fees ...................................................... 41,371 44,966
Audit and legal fees ................................................ 7,677 12,486
Registration and filing fees ........................................ 7,109 11,566
Amortization of deferred organization expenses (Note 2) ............ -- --
Trustees fees and expenses (Note 7) ................................ 2,144 3,460
Miscellaneous ....................................................... 1,992 3,020
------------ -----------
Total expenses .................................................. 434,559 678,327
------------ -----------
Net investment income ........................................... 4,054,108 6,418,322
------------ -----------
Realized and unrealized gain (loss) on investments and foreign currency:
Net realized gain (loss) on:
Investment transactions ......................................... (446,084) 2,129,446
Foreign currency and forward foreign currency contracts ......... -- --
Change in unrealized appreciation (depreciation) on:
Investments ..................................................... 9,243,266 9,649,624
Translation of foreign currency and
forward foreign currency contracts ............................ -- --
------------ -----------
Net gain (loss) on investments and foreign currency ................. 8,797,182 11,779,070
------------ -----------
Net increase (decrease) in net assets resulting
from operations ............................................... $ 12,851,290 $18,197,392
============ ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE> 90
NASL SERIES TRUST
STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<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 $699 and $2,345 withholding tax in the Aggressive
and Moderate Asset Allocation Trusts, respectively) ............ $8,054,691 $ 2,026,174 $ 11,557,335 $ 5,459,153
Dividends (Net of $92,777, $225,912 and $29,457 withholding tax
in the Aggressive, Moderate and Conservative Asset
Allocation Trusts, respectively) ............................... -- 1,444,240 3,257,671 634,047
---------- ------------ ------------ ------------
Total income ................................................ 8,054,691 3,470,414 14,815,006 6,093,200
---------- ------------ ------------ ------------
Expenses:
Investment adviser fees (Note 6) ................................ 653,559 685,394 2,269,508 805,646
Custodian fees ................................................... 44,032 136,893 243,419 117,840
Audit and legal fees ............................................. 18,218 12,228 40,861 14,594
Registration and filing fees ..................................... 16,827 11,302 37,749 13,489
Trustees fees and expenses (Note 7) ............................. 4,936 3,342 11,156 3,983
Miscellaneous .................................................... 3,668 3,156 9,667 3,617
---------- ------------ ------------ ------------
Total expenses .............................................. 741,240 852,315 2,612,360 959,169
---------- ------------ ------------ ------------
Net investment income ....................................... 7,313,451 2,618,099 12,202,646 5,134,031
---------- ------------ ------------ ------------
Realized and unrealized gain on investments, futures and foreign
currency:
Net realized gain (loss) on:
Investment transactions ........................................ -- 1,678,926 1,320,692 2,028,783
Futures contracts .............................................. -- (1,452,876) (3,213,731) (541,473)
Foreign currency and forward foreign currency contracts ........ -- 1,995,787 7,924,806 737,735
Change in unrealized appreciation (depreciation) on:
Investments .................................................... -- 14,827,988 44,593,159 13,353,313
Futures contracts .............................................. -- 189,235 412,895 67,265
Translation of foreign currency and
forward foreign currency contracts ........................... -- 1,938 (47,306) (30,383)
---------- ------------ ------------ ------------
Net gain on investments, futures and foreign currency ............ -- 17,240,998 50,990,515 15,615,240
---------- ------------ ------------ ------------
Net increase in net assets resulting from operations ........ $7,313,451 $ 19,859,097 $ 63,193,161 $ 20,749,271
========== ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE> 91
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Global Pasadena
Equity Trust Growth Trust
----------------------------- -----------------------------
Six Six
Months Months
Ended Year Ended Year
06/30/95 Ended 06/30/95 Ended
(Unaudited) 12/31/94 (Unaudited) 12/31/94
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income ................ $ 2,084,305 $ 2,412,913 $ 458,936 $ 834,112
Net realized gain (loss) on:
Investment transactions ......... (20,140,230) 27,723,033 428,774 (6,205,010)
Foreign currency and forward
foreign currency contracts .... (792,128) (3,297,130) -- --
Change in unrealized appreciation
(depreciation) on:
Investments ..................... 21,939,458 (30,879,531) 28,837,812 (746,806)
Foreign currency and forward
foreign currency contracts .... (692,738) 29,893 -- --
------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from
operations ........................ 2,398,667 (4,010,822) 29,725,522 (6,117,704)
Distributions to shareholders from:
Net investment income ................ (2,969,604) (677,274) (834,112) (520,348)
Net realized gains on investments
and foreign currency transactions .. (27,013,345) (7,076,483) -- --
Increase in net assets from capital
share transactions (Note 4) ......... 772,528 250,031,306 37,365,485 53,398,858
------------- ------------- ------------- -------------
Total increase (decrease)
in net assets ........................ (26,811,754) 238,266,727 66,256,895 46,760,806
Net assets at beginning of period ...... 616,137,880 377,871,153 151,726,702 104,965,896
------------- ------------- ------------- -------------
Net assets at end of period ............ $ 589,326,127 $ 616,137,880 $ 217,983,597 $ 151,726,702
============= ============= ============= =============
Undistributed net investment income .... $ 2,075,673 $ 2,412,913 $ 458,936 $ 834,112
============= ============= ============= =============
<CAPTION>
Value
Equity Trust Equity Trust
----------------------------- -----------------------------
Six Six
Months Months
Ended Year Ended Year
06/30/95 Ended 06/30/95 Ended
(Unaudited) 12/31/94 (Unaudited) 12/31/94
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income ................ $ 1,800,400 $ 4,079,883 $ 2,048,662 $ 1,721,862
Net realized gain (loss) on:
Investment transactions ......... 22,516,172 (5,142,011) 5,888,891 2,091,517
Foreign currency and forward
foreign currency contracts .... (137,113) 12,970 -- --
Change in unrealized appreciation
(depreciation) on:
Investments ..................... 121,768,027 (2,473,332) 32,300,245 (5,044,529)
Foreign currency and forward
foreign currency contracts .... (437) 462 -- --
------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from
operations ........................ 145,947,049 (3,522,028) 40,237,798 (1,231,150)
Distributions to shareholders from:
Net investment income ................ (4,092,853) (1,293,216) (1,721,862) (499,620)
Net realized gains on investments
and foreign currency transactions .. -- (21,652,190) (2,091,517) (262,345)
Increase in net assets from capital
share transactions (Note 4) ......... 72,487,115 173,187,168 49,752,203 137,356,061
------------- ------------- ------------- -------------
Total increase (decrease)
in net assets ........................ 214,341,311 146,719,734 86,176,622 135,362,946
Net assets at beginning of period ...... 534,561,951 387,842,217 221,835,334 86,472,888
Net assets at end of period ............ $ 748,903,262 $ 534,561,951 $ 308,011,956 $ 221,835,334
============= ============= ============= =============
Undistributed net investment income .... $ 1,800,400 $ 4,079,883 $ 2,048,662 $ 1,721,862
============= ============= ============= =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
7
<PAGE> 92
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Growth and Strategic
Income Trust Bond Trust
----------------------------- ---------------------------
Six Six
Months Months
Ended Year Ended Year
06/30/95 Ended 06/30/95 Ended
(Unaudited) 12/31/94 (Unaudited) 12/31/94
------------- ------------- ------------ ------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income ............... $ 5,699,875 $ 8,554,134 $ 3,935,425 $ 5,682,980
Net realized gain (loss) on:
Investment transactions ....... 2,836,635 4,449,869 (1,311,209) (2,356,585)
Foreign currency and forward
foreign currency contracts ... 682,312 (4,973) 721,009 (2,128,445)
Change in unrealized appreciation
(depreciation) on:
Investments ................... 58,549,027 (4,089,736) 5,644,088 (5,649,435)
Foreign currency and forward
foreign currency contracts .. 1,656 (1,002) (28,585) (138,382)
------------- ------------- ------------ ------------
Net increase (decrease) in net assets
resulting from operations ......... 67,769,505 8,908,292 8,960,728 (4,589,867)
Distributions to shareholders from:
Net investment income ............... (8,549,161) (4,722,494) (4,125,434) (1,838,642)
Net realized gains on investments and
foreign currency transactions ..... (4,313,653) (4,429,956) -- (291,974)
Increase (decrease) in net
assets from capital share
transactions (Note 4) ............ 53,089,737 121,013,774 9,439,996 37,513,081
------------- ------------- ------------ ------------
Total increase in net assets .......... 107,996,428 120,769,616 14,275,290 30,792,598
Net assets at beginning of period ..... 409,534,345 288,764,729 84,432,966 53,640,368
------------- ------------- ------------ ------------
Net assets at end of period ........... $ 517,530,773 $ 409,534,345 $ 98,708,256 $ 84,432,966
============= ============= ============ ============
Undistributed net investment income ... $ 5,699,875 $ 8,554,134 $ 3,952,956 $ 5,682,980
============= ============= ============ ============
<CAPTION>
International
Global Government Growth and
Bond Trust Income Trust
----------------------------- -------------
Six
Months 01/09/95*
Ended Year to
06/30/95 Ended 06/30/95
(Unaudited) 12/31/94 (Unaudited)
------------- ------------- ------------
<S> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income ............... $ 6,890,879 $ 13,288,441 $ 253,050
Net realized gain (loss) on:
Investment transactions ....... (761,709) (15,161,567) 259,755
Foreign currency and forward
foreign currency contracts ... 3,288,102 2,805,755 (380,192)
Change in unrealized appreciation
(depreciation) on:
Investments ................... 13,868,365 (14,313,961) (785,808)
Foreign currency and forward
foreign currency contracts .. (359,954) (252,058) 34,275
------------- ------------- ------------
Net increase (decrease) in net assets
resulting from operations ......... 22,925,683 (13,633,390) (618,920)
Distributions to shareholders from:
Net investment income ............... (11,483,093) (4,984,315) --
Net realized gains on investments and
foreign currency transactions ..... -- (6,059,984) --
Increase (decrease) in net
assets from capital share
transactions (Note 4) ............ (2,519,995) 36,373,364 60,636,721
------------- ------------- ------------
Total increase in net assets .......... 8,922,595 11,695,675
Net assets at beginning of period ..... 208,512,670 196,816,995 --
------------- ------------- ------------
Net assets at end of period ........... $ 217,435,263 $ 208,512,670 $ 60,017,801
============= ============= ============
Undistributed net investment income ... $ 6,961,314 $ 13,288,441 $ 253,050
============= ============= ============
</TABLE>
- ------------------------------
* Commencement of operations
The accompanying notes are an integral part of the financial statements.
8
<PAGE> 93
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Investment Quality U.S. Government Money Market
Bond Trust Securities Trust Trust
--------------------------- --------------------------- ---------------------------
Six Six Six
Months Months Months
Ended Year Ended Year Ended Year
06/30/95 Ended 06/30/95 Ended 06/30/95 Ended
(Unaudited) 12/31/94 (Unaudited) 12/31/94 (Unaudited) 12/31/94
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income .................. $ 4,054,108 $ 7,074,815 $ 6,418,322 $ 11,807,528 $ 7,313,451 $ 9,112,848
Net realized gain (loss) on
investment transactions ............ (446,084) (4,776,012) 2,129,446 (9,158,110) -- --
Change in unrealized appreciation
(depreciation) on investments ...... 9,243,266 (7,428,247) 9,649,624 (5,645,645) -- --
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations .......... 12,851,290 (5,129,444) 18,197,392 (2,996,227) 7,313,451 9,112,848
Distributions to shareholders from:
Net investment income .................. (7,077,320) (4,745,354) (11,856,226) (8,773,625) (7,313,451) (9,112,848)
Net realized gains on investments ...... -- -- -- (2,599,570) -- --
Increase (decrease) in net assets from
capital share transactions (Note 4). 2,235,378 21,823,760 (5,904,254) (18,888,972) (10,153,122) 144,399,345
------------ ------------ ------------ ------------ ------------ ------------
Total increase (decrease) in net assets .. 8,009,348 11,948,962 436,912 (33,258,394) (10,153,122) 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 .............. $119,432,704 $111,423,356 $189,250,260 $188,813,348 $266,520,684 $276,673,806
============ ============ ============ ============ ============ ============
Undistributed net investment income ...... $ 4,054,108 $ 7,074,815 $ 6,283,947 $ 11,807,528 $ -- $ --
============ ============ ============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE> 94
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Aggressive Asset Moderate Asset
Allocation Trust Allocation Trust
--------------------------- ---------------------------
Six Six
Months Months
Ended Year Ended Year
06/30/95 Ended 06/30/95 Ended
(Unaudited) 12/31/94 (Unaudited) 12/31/94
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income ....................... $ 2,618,099 $ 5,235,271 $ 12,202,646 $ 25,570,598
Net realized gain (loss) on:
Investment transactions ................... 1,678,926 6,569,414 1,320,692 5,151,440
Futures contracts ......................... (1,452,876) (180,011) (3,213,731) (921,011)
Foreign currency and forward foreign
currency contracts ...................... 1,995,787 17,865 7,924,806 (657,486)
Change in unrealized appreciation
(depreciation) on:
Investments ............................... 14,827,988 (12,785,972) 44,593,159 (39,233,463)
Futures contracts ......................... 189,235 (185,853) 412,895 (404,043)
Foreign currency and forward foreign
currency contracts ...................... 1,938 12,523 (47,306) 75,865
------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations ............... 19,859,097 (1,316,763) 63,193,161 (10,418,100)
Distributions to shareholders from:
Net investment income ....................... (5,166,253) (4,671,543) (24,223,191) (22,106,187)
Net realized gains on investments, futures
and foreign currency transactions .......... (6,299,483) (6,656,551) (5,181,586) (20,585,004)
Increase (decrease) in net assets from
capital share transactions (Note 4) .... (1,556,598) 22,858,831 (11,755,748) 13,343,677
------------ ------------ ------------ ------------
Total increase (decrease) in net assets ....... 6,836,763 10,213,974 22,032,636 (39,765,614)
Net assets at beginning of period ............. 184,661,815 174,447,841 604,491,075 644,256,689
------------ ------------ ------------ ------------
Net assets at end of period ................... $191,498,578 $184,661,815 $626,523,711 $604,491,075
============ ============ ============ ============
Undistributed net investment income ........... $ 2,609,735 $ 5,235,271 $ 12,141,264 $ 25,570,598
============ ============ ============ ============
<CAPTION>
Conservative Asset
Allocation Trust
---------------------------
Six
Months
Ended Year
06/30/95 Ended
(Unaudited) 12/31/94
------------ ------------
<S> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income ....................... $ 5,134,031 $ 11,588,833
Net realized gain (loss) on:
Investment transactions ................... 2,028,783 (5,512,747)
Futures contracts ......................... (541,473) 49,768
Foreign currency and forward foreign
currency contracts ...................... 737,735 (352,436)
Change in unrealized appreciation
(depreciation) on:
Investments ............................... 13,353,313 (10,429,286)
Futures contracts ......................... 67,265 (54,855)
Foreign currency and forward foreign
currency contracts ...................... (30,383) 34,817
------------ ------------
Net increase (decrease) in net assets
resulting from operations ............... 20,749,271 (4,675,906)
Distributions to shareholders from:
Net investment income ....................... (10,860,847) (10,206,968)
Net realized gains on investments, futures
and foreign currency transactions .......... -- (5,487,838)
Increase (decrease) in net assets from
capital share transactions (Note 4) .... (5,664,975) (13,031,021)
------------ ------------
Total increase (decrease) in net assets ....... 4,223,449 (33,401,724)
Net assets at beginning of period ............. 216,715,740 250,117,464
------------ ------------
Net assets at end of period ................... $220,939,189 $216,715,740
============ ============
Undistributed net investment income ........... $ 5,101,989 $ 11,588,833
============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE> 95
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL EQUITY TRUST
---------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
SIX MONTHS -----------------------------------------------------------------
ENDED
06/30/95
(UNAUDITED) 1994 1993 1992 1991 1990 1989
----------- -------- -------- -------- ------- ------- -------
<S> <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
Income from investment operations:
Net investment income (loss) (B) ........ 0.05 0.05 0.12 0.10 0.16 0.12 0.10
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions .......................... -- 0.22 3.79 (0.19) 1.23 (1.41) 2.32
-------- -------- -------- -------- ------- ------- -------
Total from investment operations .... 0.05 0.27 3.91 (0.09) 1.39 (1.29) 2.42
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 ............. $ 15.02 $ 15.74 $ 15.73 $ 12.00 $ 12.24 $ 11.00 $ 12.57
======== ======== ======== ======== ======= ======= =======
Total return .......................... 0.32% 1.74% 32.89% (0.72%) 12.80% (10.43%) 23.84%
Net assets, end of period (000's) .......... $589,326 $616,138 $377,871 $116,731 $89,003 $63,028 $26,223
Ratio of operating expenses to
average net assets (C) .................. 1.05%(A) 1.08% 1.16% 1.16% 1.23% 1.28% 1.62%
Ratio of net investment income (loss) to
average net assets ....................... 0.70%(A) 0.44% 0.77% 1.12% 1.47% 1.97% 1.82%
Portfolio turnover rate .................... 40%(A) 52% 52% 69% 74% 67% 109%
<CAPTION>
GLOBAL EQUITY TRUST
-------------------
3/18/88*
TO
12/31/88
---------
<S> <C>
Net asset value, beginning
of period ................................................ $ 10.03
Income from investment operations:
Net investment income (loss) (B) ........................ (0.05)
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions .......................................... 0.17
---------
Total from investment operations .................... 0.12
Less distributions:
Dividends from net investment income ..................... --
Distributions from capital gains ......................... --
---------
Total distributions ................................... --
---------
Net asset value, end of period ............................. $ 10.15
=========
Total return .......................................... 1.20%
Net assets, end of period (000's) .......................... $ 2,143
Ratio of operating expenses to
average net assets (C) .................................. 3.98%(A)
Ratio of net investment income (loss) to
average net assets ....................................... (1.71%)(A)
Portfolio turnover rate .................................... 81%(A)
</TABLE>
- ---------------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
11
<PAGE> 96
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PASADENA GROWTH TRUST
-------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31, 12/11/92*
06/30/95 ------------------------ TO
(UNAUDITED) 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) ............... 0.02 0.04 0.05 0.00
Net realized and unrealized gain
(loss) on investments .................. 1.53 (0.50) (0.42) (0.07)
-------- -------- -------- --------
Total from investment operations .. 1.55 (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 ........... $ 10.56 $ 9.05 $ 9.55 $ 9.93
======== ======== ======== ========
Total return ...................... 17.20% (4.80%) (3.80%) (0.70%)
Net assets, end of period (000's) ........ $217,984 $151,727 $104,966 $ 31,118
Ratio of operating expenses to
average net assets (C) ................ 0.975%(A) 0.975% 0.975% 1.06%(A)
Ratio of net investment income to
average net assets ..................... 0.50%(A) 0.65% 0.75% 1.04%(A)
Portfolio turnover rate .................. 54%(A) 33% 12% 0%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
(B) After subadviser expense reimbursement per share of $0.002, $0.006 and $0.01
for the six months ended June 30, 1995 and the years ended December 31, 1994
and 1993, respectively.
(C) The ratio of operating expenses, before reimbursement from the subadviser,
was 1.04%, 1.06% and 1.09% for the six months ended June 30, 1995 and the
years ended December 31, 1994 and 1993, respectively.
The accompanying notes are an integral part of the financial statements.
12
<PAGE> 97
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY TRUST
---------------------------------------------------------------------------------
SIX
MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/95 ---------------------------------------------------------------
(UNAUDITED) 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) ........... 0.04 0.11 0.07 0.64 0.14 0.24
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions .... 3.69 (0.18) 2.11 0.38 1.88 (1.95)
-------- -------- -------- -------- ------- -------
Total from investment
operations ....................... 3.73 (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) (0.12)
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 ......... $ 18.28 $ 14.66 $ 15.57 $ 13.97 $ 13.12 $ 11.33
======== ======== ======== ======== ======= =======
Total return ...................... 25.52% (0.53%) 16.31% 7.93% 17.94% (11.79%)
Net assets, end of period (000's) ...... $748,903 $534,562 $387,842 $192,626 $88,235 $36,564
Ratio of operating expenses to
average net assets (C) .............. 0.82%(A) 0.84% 0.88% 0.95% 0.89% 0.97%
Ratio of net investment income to
average net assets ................... 0.59%(A) 0.88% 0.50% 7.31% 2.23% 2.74%
Portfolio turnover rate ................ 100%(A) 132% 173% 782% 172% 95%
<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 . -- (0.14) (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)
</TABLE>
- --------------------------
* Commencement of operations.
** Net investment income per share has been 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.
The accompanying notes are an integral part of the financial statements.
13
<PAGE> 98
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE EQUITY TRUST
---------------------------------------------
SIX MONTHS
ENDED YEAR 02/19/93*
06/30/95 ENDED TO
(UNAUDITED) 12/31/94** 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 .............. 0.08 0.12 0.07
Net realized and unrealized gain
(loss) on investments ............ 1.78 (0.03) 1.24
-------- -------- -------
Total from investment
operations .............. 1.86 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 ..... $ 13.01 $ 11.33 $ 11.31
======== ======== =======
Total return .............. 16.51% 0.79% 13.10%
Net assets, end of period (000's) .. $308,012 $221,835 $86,472
Ratio of operating expenses to
average net assets ............... 0.86%(A) 0.87% 0.94%(A)
Ratio of net investment income to
average net assets ............... 1.59%(A) 1.08% 1.30%(A)
Portfolio turnover rate ............ 36%(A) 26% 33%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
** Net investment income per share has been calculated using the average
shares method for fiscal year 1994.
(A) Annualized
The accompanying notes are an integral part of the financial statements.
14
<PAGE> 99
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH AND INCOME TRUST
---------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31, 4/23/91*
06/30/95 ---------------------------------- TO
(UNAUDITED) 1994 1993 1992 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 ............... 0.15 0.25 0.17 0.20 0.13
Net realized and unrealized gain
on investments and foreign currency
transactions ..................... 1.89 0.11 0.98 0.92 0.95
-------- -------- -------- -------- --------
Total from investment
operations.................... 2.04 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 ........ $ 14.69 $ 13.04 $ 13.05 $ 12.10 $ 11.08
======== ======== ======== ======== ========
Total return .................. 15.86% 2.85% 9.62% 10.23% 10.80%
Net assets, end of period (000's) ..... $517,531 $409,534 $288,765 $130,984 $ 57,404
Ratio of operating expenses to
average net assets .................. 0.81%(A) 0.82% 0.85% 0.85% 0.98%(A)
Ratio of net investment income to
average net assets .................. 2.51%(A) 2.40% 2.29% 2.78% 2.92%(A)
Portfolio turnover rate ............... 43%(A) 42% 39% 44% 62%(A)
</TABLE>
- ------------------
* Commencement of operations.
(A) Annualized
The accompanying notes are an integral part of the financial statements.
15
<PAGE> 100
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STRATEGIC BOND TRUST
--------------------------------------------
SIX MONTHS
ENDED YEAR 02/19/93*
06/30/95 ENDED TO
(UNAUDITED) 12/31/94 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 ................... 0.40 0.57 0.33
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ......................... 0.58 (1.22) 0.55
------- ------- -------
Total from investment
operations ....................... 0.98 (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 ............ $ 10.42 $ 9.91 $ 10.88
======= ======= =======
Total return ....................... 10.16% (5.99%) 8.80%
Net assets, end of period (000's) ......... $98,708 $84,433 $53,640
Ratio of operating expenses to
average net assets ...................... 0.93%(A) 0.91% 1.00%(A)
Ratio of net investment income to
average net assets ...................... 8.84%(A) 7.49% 6.56%(A)
Portfolio turnover rate ................... 189%(A) 197% 356%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
The accompanying notes are an integral part of the financial statements.
16
<PAGE> 101
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL GOVERNMENT BOND TRUST
-------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
SIX MONTHS --------------------------------------------------------------------
ENDED
06/30/95
(UNAUDITED) 1994 1993 1992 1991 1990 1989
----------- -------- ------- ------- -------- ------- -------
<S> <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
Income from investment operations:
Net investment income ................ 0.42 0.74 0.59 0.42 0.55 0.25 0.45
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions .... 0.95 (1.54) 1.67 (0.16) 1.21 1.13 --
-------- -------- -------- ------- ------- ------- ------
Total from investment operations 1.37 (0.80) 2.26 0.26 1.76 1.38 0.45
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 ......... $ 13.15 $ 12.47 $ 13.93 $ 12.47 $ 12.88 $ 11.59 $10.50
======== ======== ======== ======= ======= ======= ======
Total return ................... 11.13% (5.75%) 18.99% 2.27% 15.86% 13.49% 4.49%
Net assets, end of period (000's) ...... $217,435 $208,513 $196,817 $67,859 $28,251 $11,582 $4,065
Ratio of operating expenses to
average net assets ................... 0.95%(A) 0.96% 1.06% 1.05% 1.14% 1.21% 1.50%
Ratio of net investment income to
average net assets ................... 6.42%(A) 6.10% 5.61% 6.71% 17.28% 6.62% 7.15%
Portfolio turnover rate ................ 168%(A) 157% 154% 132% 164% 142% 50%
<CAPTION>
GLOBAL GOVERNMENT BOND TRUST
----------------------------
3/18/88*
TO
12/31/88
--------
<S> <C>
Net asset value, beginning
of period ............................. $10.03
Income from investment operations:
Net investment income ................. 0.14
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ..... 0.04
------
Total from investment operations.. 0.18
Less distributions:
Dividends from net investment income .. --
Distributions from capital gains ...... --
------
Total distributions .............. --
------
Net asset value, end of period .......... $10.21
======
Total return .................... 1.79%
Net assets, end of period (000's) ....... $1,355
Ratio of operating expenses to
average net assets .................... 3.39%(A)
Ratio of net investment income to
average net assets .................... 3.74%(A)
Portfolio turnover rate ................. 234%(A)
</TABLE>
- --------------------------
* Commencement of operations.
(A) Annualized
The accompanying notes are an integral part of the financial statements.
17
<PAGE> 102
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL GROWTH AND
INCOME TRUST
------------------------
01/09/95*
TO
06/30/95
(UNAUDITED)
-----------
<S> <C>
Net asset value, beginning
of period ......................................... $ 10.00
Income from investment operations:
Net investment income ............................. 0.04
Net realized and unrealized loss
on investments and foreign currency
transactions ................................... (0.03)
----------
Total from investment
operations ................................. 0.01
Net asset value, end of period ...................... $ 10.01
==========
Total return ................................. 0.10%
Net assets, end of period (000's) ................... $ 60,018
Ratio of operating expenses to
average net assets ................................ 1.11%(A)
Ratio of net investment income to
average net assets ................................ 2.14%(A)
Portfolio turnover rate ............................. 63%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
The accompanying notes are an integral part of the financial statements.
18
<PAGE> 103
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTMENT QUALITY BOND TRUST
-------------------------------------------------------------------------------------------
SIX YEARS ENDED DECEMBER 31,
MONTHS -------------------------------------------------------------------------
ENDED
06/30/95
(UNAUDITED) 1994 1993 1992 1991** 1990 1989
---------- -------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ............................ $ 11.01 $ 12.12 $ 11.58 $ 11.33 $ 10.74 $ 12.37 $ 11.55
Income from investment operations:
Net investment income (B) ........... 0.43 0.66 0.60 0.63 0.76 1.12 0.75
Net realized and unrealized gain
(loss) on investments .............. 0.81 (1.23) 0.53 0.15 0.85 (1.50) 0.51
-------- -------- ------- ------- ------- ------- -------
Total from investment
operations ...................... 1.24 (0.57) 1.13 0.78 1.61 (0.38) 1.26
Less distributions:
Dividends from net investment income.. (0.74) (0.54) (0.59) (0.53) (1.02) (0.44)
Distributions from capital gains ..... -- -- -- -- -- -- --
------- ------- ------- ------- -------
Total distributions ............... (0.74) (0.54) (0.59) (0.53) (1.02) (1.25) (0.44)
-------- -------- ------- ------- ------- ------- -------
Net asset value, end of period ......... $ 11.51 $ 11.01 $ 12.12 $ 11.58 $ 11.33 $ 10.74 $ 12.37
======== ======== ======= ======= ======= ======= =======
Total return ..................... 11.56% (4.64%) 10.01% 7.21% 16.07% (2.73%) 11.34%
Net assets, end of period (000's) ...... $119,433 $111,423 $99,474 $60,185 $38,896 $20,472 $26,965
Ratio of operating expenses to
average net assets (C) .............. 0.75%(A) 0.76 0.77% 0.80% 0.85% 0.70% 0.83%
Ratio of net investment income to
average net assets ................... 6.98%(A) 6.49% 6.03% 6.96% 7.47% 8.41% 8.77%
Portfolio turnover rate ................ 213%(A) 140% 33% 59% 115% 120% 351%
<CAPTION>
INVESTMENT QUALITY BOND TRUST
----------------------------------------------
YEARS ENDED DECEMBER 31, 6/18/85*
------------------------ TO
1988 1987 1986 12/31/85
-------- ------- ------ --------
<S> <C> <C> <C> <C>
Net asset value, beginning
of period .......................... $ 10.79 $ 11.58 $11.18 $10.28
Income from investment operations:
Net investment income (B) ......... 0.57 0.81 1.02 0.55
Net realized and unrealized gain
(loss) on investments ............ 0.19 (0.50) 0.37 0.35
-------- ------- ------ ------
Total from investment
operations .................... 0.76 0.31 1.39 0.90
Less distributions:
Dividends from net investment income -- (0.88) (0.69) --
Distributions from capital gains ... -- (0.22) (0.30) --
-------- ------- ------ ------
Total distributions ............. -- (1.10) (0.99) --
-------- ------- ------ ------
Net asset value, end of period ....... $ 11.55 $ 10.79 $11.58 $11.18
======== ======= ====== ======
Total return ................... 7.09% 2.61% 13.25% 8.72%
Net assets, end of period (000's) .... $114,221 $25,131 $1,295 $1,120
Ratio of operating expenses to
average net assets (C) ............ 0.89% 0.95% 1.16% 1.31%(A)
Ratio of net investment income to
average net assets ................. 7.97% 7.46% 8.11% 9.99%(A)
Portfolio turnover rate .............. 94% 201% 127% 165%(A)
</TABLE>
- --------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
19
<PAGE> 104
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES TRUST
--------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/95 ---------------------------------------------------------------------
(UNAUDITED) 1994 1993 1992 1991 1990 1989**
----------- -------- -------- -------- ------- ------- ------
<S> <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
Income from investment operations:
Net investment income (B) ............ 0.52 0.77 0.48 0.10 0.19 1.07 0.20
Net realized and unrealized gain
(loss) on investments ............... 0.72 (0.95) 0.49 0.65 1.40 (0.13) 1.08
-------- -------- -------- -------- ------- ------- ------
Total from investment operations.. 1.24 (0.18) 0.97 0.75 1.59 0.94 1.28
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 .......... $ 13.01 $ 12.64 $ 13.48 $ 13.05 $ 12.85 $ 11.83 $10.98
======== ======== ======== ======== ======= ======= ======
Total return .................... 10.10% (1.25%) 7.64% 6.19% 14.01% 8.63% 13.16%
Net assets, end of period (000's) ....... $189,250 $188,813 $222,072 $125,945 $29,246 $10,469 $5,905
Ratio of operating expenses to
average net assets (C) ............... 0.73%(A) 0.73% 0.75% 0.76% 0.87% 1.04% 0.90%
Ratio of net investment income to
average net assets .................... 6.86%(A) 5.68% 5.05% 6.12% 7.09% 7.70% 6.66%
Portfolio turnover rate ................. 459%(A) 387% 213% 141% 233% 284% 330%
<CAPTION>
U.S. GOVERNMENT SECURITIES TRUST
--------------------------------
3/18/88*
TO
12/31/88
--------
<S> <C>
Net asset value, beginning
of period ............................. $10.03
Income from investment operations:
Net investment income (B) ............ 0.07
Net realized and unrealized gain
(loss) on investments ............... (0.29)
------
Total from investment operations.. (0.22)
Less distributions:
Dividends from net investment income --
Distributions from capital gains ...... --
------
Total distributions .............. --
------
Net asset value, end of period .......... $ 9.81
======
Total return .................... (2.19%)
Net assets, end of period (000's) ....... $ 344
Ratio of operating expenses to
average net assets (C) ............... 5.16%(A)
Ratio of net investment income to
average net assets .................... 1.16%(A)
Portfolio turnover rate ................. 156%(A)
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
20
<PAGE> 105
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET TRUST
-----------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/95 -------------------------------------------------------------------------
(UNAUDITED) 1994 1993 1992 1991 1990 1989
----------- -------- -------- ------- ------- ------- ------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ...................... $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
Income from investment operations:
Net investment income (B) ..... 0.28 0.38 0.27 0.33 0.56 0.75 0.72
Less distributions:
Dividends from net
investment income ............ (0.28) (0.38) (0.27) (0.33) (0.56) (0.75) (0.72)
-------- -------- -------- ------- ------- ------- -------
Net asset value, end of period ... $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
======== ======== ======== ======= ======= ======= =======
Total return ............. 2.81% 3.78% 2.69% 3.36% 5.71% 7.76% 8.56%
Net assets, end of period (000's). $266,521 $276,674 $132,274 $89,535 $79,069 $85,040 $19,403
Ratio of operating expenses to
average net assets (C) ........ 0.56%(A) 0.57% 0.59% 0.60% 0.60% 0.57% 0.79%
Ratio of net investment income to
average net assets ............. 5.55%(A) 3.93% 2.66% 3.28% 5.65% 7.27% 8.26%
<CAPTION>
MONEY MARKET TRUST
-----------------------------------------
YEARS ENDED DECEMBER 31, 6/18/85*
----------------------------- TO
1988 1987 1986 12/31/85
------- ------ ------ --------
<S> <C> <C> <C> <C>
Net asset value, beginning
of period ...................... $ 10.00 $10.00 $10.00 $10.00
Income from investment operations:
Net investment income (B) ..... 0.57 0.60 0.56 0.36
Less distributions:
Dividends from net
investment income ............ (0.57) (0.60) (0.56) (0.36)
------- ------ ------ ------
Net asset value, end of period ... $ 10.00 $10.00 $10.00 $10.00
======= ====== ====== ======
Total return ............. 6.77% 6.13% 5.74% 3.61%
Net assets, end of period (000's). $12,268 $7,147 $1,046 $1,001
Ratio of operating expenses to
average net assets (C) ........ 0.99% 0.78% 1.11% 1.21%(A)
Ratio of net investment income to
average net assets ............. 6.68% 5.86% 6.84% 6.84%(A)
</TABLE>
- ---------------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
21
<PAGE> 106
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE ASSET ALLOCATION TRUST
------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31, 8/03/89*
06/30/95 --------------------------------------------------- TO
(UNAUDITED) 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 ................. 0.18 0.31 0.34 0.30 0.36 0.36 0.08
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions...... 1.05 (0.41) 0.79 0.55 1.69 (1.07) (0.20)
-------- -------- -------- -------- -------- ------- -------
Total from investment operations.. 1.23 (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........... $ 11.66 $ 11.17 $ 12.03 $ 11.25 $ 10.72 $ 9.08 $ 9.88
======== ======== ======== ======== ======== ======= =======
Total return....................... 11.25% (0.69%) 10.30% 8.24% 22.96% (7.27%) (1.20%)
Net assets, end of period (000's)........ $191,499 $184,662 $174,448 $151,627 $124,632 $91,581 $87,301
Ratio of operating expenses to
average net assets..................... 0.92%(A) 0.89% 0.86% 0.89% 0.88% 0.78% 0.89%(A)
Ratio of net investment income to
average net assets..................... 2.84%(A) 2.90% 2.96% 3.08% 3.63% 4.08% 3.32%(A)
Portfolio turnover rate.................. 119%(A) 136% 92% 123% 172% 82% 22%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
The accompanying notes are an integral part of the financial statements.
22
<PAGE> 107
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MODERATE ASSET ALLOCATION TRUST
-------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31, 8/03/89*
06/30/95 --------------------------------------------------------- TO
(UNAUDITED) 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 ................. 0.24 0.45 0.41 0.41 0.42 0.48 0.11
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ..... 0.91 (0.65) 0.67 0.43 1.50 (1.10) (0.08)
-------- -------- -------- -------- -------- -------- --------
Total from investment operations . 1.15 (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 .......... $ 11.39 $ 10.79 $ 11.76 $ 11.14 $ 10.72 $ 9.29 $ 10.03
======== ======== ======== ======== ======== ======== ========
Total return ...................... 10.84% (1.61%) 10.06% 8.30% 21.23% (6.23%) 0.30%
Net assets, end of period (000's) ....... $626,524 $604,491 $644,257 $505,967 $420,074 $327,328 $318,439
Ratio of operating expenses to
average net assets .................... 0.86%(A) 0.85% 0.84% 0.87% 0.86% 0.73% 0.79%(A)
Ratio of net investment income to
average net assets .................... 4.00%(A) 4.01% 4.02% 4.21% 4.38% 5.10% 4.51%(A)
Portfolio turnover rate ................. 147%(A) 180% 135% 169% 168% 76% 41%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
The accompanying notes are an integral part of the financial statements.
23
<PAGE> 108
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CONSERVATIVE ASSET ALLOCATION TRUST
--------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31, 8/03/89*
06/30/95 -------------------------------------------------------- TO
(UNAUDITED) 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 ................ 0.28 0.55 0.50 0.47 0.58 0.62 0.15
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions .... 0.73 (0.76) 0.44 0.26 1.15 (1.01) (0.04)
-------- -------- -------- -------- -------- -------- --------
Total from investment
operations.................... 1.01 (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 ......... $ 10.80 $ 10.34 $ 11.26 $ 10.78 $ 10.63 $ 9.56 $ 10.11
======== ======== ======== ======== ======== ======== ========
Total return ..................... 9.96% (1.84%) 8.99% 7.36% 18.80% (3.84%) 1.10%
Net assets, end of period (000's) ...... $220,939 $216,716 $250,117 $201,787 $165,167 $149,901 $141,191
Ratio of operating expenses to
average net assets ................... 0.89%(A) 0.87% 0.86% 0.89% 0.88% 0.76% 0.82%(A)
Ratio of net investment income to
average net assets ................... 4.74%(A) 4.86% 4.78% 4.99% 5.65% 6.68% 6.00%(A)
Portfolio turnover rate ................ 126%(A) 220% 170% 252% 211% 78% 85%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
The accompanying notes are an integral part of the financial statements.
24
<PAGE> 109
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
GLOBAL EQUITY TRUST
<TABLE>
<CAPTION>
COMMON STOCKS-98.44% Shares Value
------ -----
<S> <C> <C>
FORESTRY-1.08%
Fletcher Challenge, Ltd . . . . . . . . . . 1,115,417 $ 3,131,991
Fletcher Challenge, Ltd (Forest Division) . . 4 5
Nippon High Pack . . . . . . . . . . . . . . 349,250 3,131,733
-----------
6,263,729
MINING-2.28%
QNI, Ltd* . . . . . . . . . . . . . . . . . . 6,505,400 8,877,532
Western Mining Corporation Holdings . . . . . 794,725 4,371,947
-----------
13,249,479
OIL & GAS EXPLORATION-1.98%
Phillips Petroleum Company . . . . . . . . . 132,400 4,418,850
Schlumberger, Ltd . . . . . . . . . . . . . . 114,700 7,125,738
-----------
11,544,588
BUILDING MATERIALS & CONSTRUCTION-3.36%
Felcor Suite . . . . . . . . . . . . . . . . 100,000 2,550,000
Fluor Corporation . . . . . . . . . . . . . . 100,000 5,200,000
Taihei Dengyo Kausha, Ltd . . . . . . . . . . 318,800 4,852,245
Tenox Corporation . . . . . . . . . . . . . . 700 9,663
Yokogawa Bridge Corporation . . . . . . . . . 510,000 6,919,946
-----------
19,531,854
FOOD PRODUCTS-1.62%
Grand Metropolitan . . . . . . . . . . . . . 715,100 4,383,858
RJR Nabisco Holdings . . . . . . . . . . . . 1 28
Universal Foods Corporation . . . . . . . . . 155,000 5,018,125
-----------
9,402,011
TEXTILE PRODUCTS-1.37%
ASDA Group, PLC . . . . . . . . . . . . . . . 5,270,330 7,962,084
-----------
PAPER, PRINTING & PUBLISHING-1.86%
OJI Paper Company, Ltd . . . . . . . . . . . 650,000 6,250,369
The News Corporation, Class A . . . . . . . . 1 5
The News Corporation, Ltd, Pfd . . . . . . . 1 6
TVE Holdings . . . . . . . . . . . . . . . . 900 361
Wolters Kluwer . . . . . . . . . . . . . . . 51,640 4,555,794
-----------
10,806,525
CHEMICAL & PHARMACUETICAL PRODUCTS-4.87%
Air Liquide . . . . . . . . . . . . . . . . . 48,640 7,770,368
American Home Products Corporation . . . . . 19,300 1,493,337
Astra, AB Free, Class A . . . . . . . . . . . 43,185 1,332,724
Astra, AB Free, Class B . . . . . . . . . . . 273,760 8,241,476
Bristol-Myers Squibb Company . . . . . . . . 17,700 1,205,813
Imperial Chemical Industries, PLC, ADR . . . 407,300 4,990,596
Isolyser Company* . . . . . . . . . . . . . . 90,000 3,217,500
JCR Pharmaceutical Company . . . . . . . . . 1,375 46,723
Kanto Biomedical Laboratory . . . . . . . . . 800 11,516
Seikagaku Corporation . . . . . . . . . . . . 240 7,447
-----------
28,317,500
RUBBER & PLASTIC-1.59%
BTR Nylex, Ltd . . . . . . . . . . . . . . . 1,355,300 2,591,223
Dow Chemical Company . . . . . . . . . . . . 92,700 6,662,812
-----------
9,254,035
METAL PRODUCTS-0.74%
Aluminium Company of America . . . . . . . . 85,800 4,300,725
-----------
INDUSTRIAL & COMMERICAL MACHINERY-11.58%
AMP, Incorporated . . . . . . . . . . . . . . 187,200 $ 7,909,200
BTR, PLC . . . . . . . . . . . . . . . . . . 466,300 2,369,199
Deere & Company . . . . . . . . . . . . . . . 55,000 4,709,375
Emulex Corporation* . . . . . . . . . . . . . 151,200 3,647,700
General Electric Company . . . . . . . . . . 126,600 7,137,075
Intel Corporation . . . . . . . . . . . . . . 53,600 3,393,550
International Business Machines
Corporation . . . . . . . . . . . . . . . . 15,400 1,478,400
Mannesmann, AG . . . . . . . . . . . . . . . 26,758 8,175,330
Mark IV Industries, Incorporated . . . . . . 254,822 5,478,673
Michelin Company Generale De
Establishment, Class B . . . . . . . . . . 103,264 4,574,374
Mitsubishi Heavy Industries, Ltd . . . . . . 1,110,000 7,543,626
Seibu Electric & Machinery . . . . . . . . . 448,000 2,859,631
Sharp Corporation . . . . . . . . . . . . . . 511,000 6,752,640
Tandy Corporation . . . . . . . . . . . . . . 25,000 1,296,875
-----------
67,325,648
ELECTRONIC & ELECTRICAL EQUIPMENT
AND COMPONENTS-5.58%
Kyocera Corporation . . . . . . . . . . . . . 73,000 6,011,917
Minolta Camera Company* . . . . . . . . . . . 711,000 2,600,555
Rohm Company . . . . . . . . . . . . . . . . 197,000 10,180,638
TDK Corporation . . . . . . . . . . . . . . . 241,000 10,975,872
Technology Resources, Ltd* . . . . . . . . . 939,000 2,696,062
-----------
32,465,044
TRANSPORTATION EQUIPMENT-7.50%
Daimler-Benz, AG . . . . . . . . . . . . . . 18,177 8,346,816
Danaher Corporation . . . . . . . . . . . . . 218,000 6,594,500
Fiat, SPA . . . . . . . . . . . . . . . . . . 4,156,798 14,658,350
General Motors Corporation . . . . . . . . . 89,300 4,185,937
Hayes Wheels International, Incorporated . . 109,000 2,316,250
Kolbenschmidt* . . . . . . . . . . . . . . . 53,503 7,525,280
-----------
43,627,133
MISCELLANEOUS MANUFACTURING-0.84%
Astra International . . . . . . . . . . . . . 200 355
Daikin Manufacturing . . . . . . . . . . . . 323,000 4,878,060
-----------
4,878,415
TRANSPORTATION-5.90%
Canadian Pacific, Ltd . . . . . . . . . . . . 310,400 5,393,200
Hutchinson Whampoa . . . . . . . . . . . . . 3,418,000 16,520,613
Keppel Corporation . . . . . . . . . . . . . 752,000 6,134,383
Malaysian Helicopter . . . . . . . . . . . . 600 1,029
Yamato Transport . . . . . . . . . . . . . . 588,500 6,263,076
-----------
34,312,301
COMMUNICATION-9.33%
AirTouch Communications, Incorporated* . . . 91,000 2,593,500
British Telecommunications, PLC . . . . . . . 700,400 4,366,139
Cable and Wireless, PLC . . . . . . . . . . . 603,100 4,124,043
DDI, Incorporated . . . . . . . . . . . . . . 928 7,445,461
Hong Kong Telecommunications . . . . . . . . 200 395
Nippon Telegraph & Telephone Corporation . . 970 8,125,774
STET . . . . . . . . . . . . . . . . . . . . 907,500 2,509,664
Telecom Corporation of New Zealand . . . . . 1,296,640 4,854,466
Telecom Italia, SPA . . . . . . . . . . . . . 31 84
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
25
<PAGE> 110
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMUNICATION-CONTINUED
Telefonica De Espana S.A. . . . . . . . . . . 961,830 $ 12,387,656
Telephone & Data Systems, Incorporated . . . 30,000 1,091,250
Television Broadcast, Ltd . . . . . . . . . . 900 3,164
Vodafone Group . . . . . . . . . . . . . . . 1,827,300 6,785,191
------------
54,286,787
ELECTRIC, GAS & SANITARY SERVICES-2.09%
Browning-Ferris Industries, Incorporated . . 41,000 1,481,125
CESP, ADR* . . . . . . . . . . . . . . . . . 182,400 2,030,112
Gulfmark International, Incorporated* . . . . 400 1,359
Hong Kong & China Gas Company, Ltd . . . . . 31,500 590,625
Hong Kong Electric Holdings, Ltd . . . . . . 1,040,400 1,660,542
Mitsumi Electric . . . . . . . . . . . . . . 370,000 6,373,665
------------
12,137,428
WHOLESALE, RETAIL TRADE-9.40%
Berjaya Sports Toto Berhad . . . . . . . . . 1,968,000 3,487,186
Bridgestone Metalpha Corporation . . . . . . 495,000 5,781,960
Ebara . . . . . . . . . . . . . . . . . . . . 356,000 4,326,352
Equity Inns . . . . . . . . . . . . . . . . . 100,200 1,077,150
Fraser & Neave . . . . . . . . . . . . . . . 404,000 4,654,312
Friedman s, Incorporated, Class A* . . . . . 160,000 3,040,000
Hac-Kimisawa . . . . . . . . . . . . . . . . 298,000 4,219,220
Nissen Company . . . . . . . . . . . . . . . 720 21,662
Oneida, Ltd . . . . . . . . . . . . . . . . . 95,000 1,401,250
Sari Corporation . . . . . . . . . . . . . . 165,000 3,153,796
Service Merchandise Company,
Incorporated* . . . . . . . . . . . . . . . 200,000 1,050,000
Storage USA . . . . . . . . . . . . . . . . . 30,000 851,250
Wal-Mart Stores, Incorporated . . . . . . . . 240,000 6,420,000
Walgreen Company . . . . . . . . . . . . . . 125,000 6,265,625
Xebio Company . . . . . . . . . . . . . . . . 260,000 8,896,231
------------
54,645,994
ADVERTISING AGENCIES-0.64%
Interpublic Group of Companies,
Incorporated . . . . . . . . . . . . . . . 100,000 3,750,000
------------
EATING & DRINKING PLACES-3.03%
Fuju Denki Reiki . . . . . . . . . . . . . . 882 9,584
LVMH Moet Hennessey Louis Vuitton,
Incorporated . . . . . . . . . . . . . . . 62,920 11,322,682
Morrison Restaurants, Incorporated . . . . . 157,700 3,784,800
Ohsho Food Service Corporation . . . . . . . 110,040 2,466,828
Plenus Company . . . . . . . . . . . . . . . 520 27,302
------------
17,611,196
BANKING & FINANCE-10.00%
Australia & New Zealand Bank Group . . . . . 36 128
Bangkok Bank Public Company, Ltd . . . . . . 280,200 3,087,478
BankAmerica Corporation . . . . . . . . . . . 48,000 2,526,000
Barclays, PLC . . . . . . . . . . . . . . . . 439,700 4,723,318
Cheung Kong Holdings, Ltd . . . . . . . . . . 775,000 3,836,039
Hang Seng Bank . . . . . . . . . . . . . . . 426,000 3,248,210
India Gateway Fund, Pfd* . . . . . . . . . . 80,000 617,040
India Gateway Fund, Class C* . . . . . . . . 78,000 1,583,400
Indian Opportunities Fund* . . . . . . . . . 180,088 2,233,091
BANKING & FINANCE-CONTINUED
Japan Associate Finance . . . . . . . . . . . 11,800 1,077,600
Nichiei Company . . . . . . . . . . . . . . . 110 6,788
Partners Holdings . . . . . . . . . . . . . . 150,000 $3,918,750
Renong BHD . . . . . . . . . . . . . . . . . 2,387,000 4,445,029
Skandinaviska Enskilda Banken Group . . . . . 958,280 4,979,378
The Sumitomo Bank, Ltd . . . . . . . . . . . 290,000 5,029,792
Sumitomo Trust & Bank . . . . . . . . . . . . 650,000 7,899,239
Tokyo Marine & Fire Insurance
Company, Ltd . . . . . . . . . . . . . . . 780,000 8,945,313
------------
58,156,593
REAL ESTATE-2.92%
Mid-America Apartment Communities,
Incorporated . . . . . . . . . . . . . . . 64,900 1,622,500
Mitsubishi Estate Company . . . . . . . . . . 720,000 8,112,796
Sun Kai Properties . . . . . . . . . . . . . 795,000 5,882,001
Wharf Holdings . . . . . . . . . . . . . . . 424,000 1,383,597
------------
17,000,894
HOLDING & INVESTMENT COMPANIES-1.76%
HSBC Holdings, PLC . . . . . . . . . . . . . 356,100 4,595,427
Korea Equity Fund . . . . . . . . . . . . . . 319,000 2,552,000
The R.O.C. Taiwan Fund . . . . . . . . . . . 280,100 3,081,100
------------
10,228,527
BUSINESS EDUCATIONAL SERVICES-2.44%
Albany International Corporation, Class A . . 245,000 5,849,375
Hospitality Franchise Systems,
Incorporated* . . . . . . . . . . . . . . . 100,000 3,462,500
Miroki Jyoho Services Company . . . . . . . . 200 4,932
Schmalbach-Lubeca, AG . . . . . . . . . . . . 24,200 4,865,025
------------
14,181,832
MOTION PICTURES, AMUSEMENT &
RECREATION SERVICES-1.60%
Genting Berhad . . . . . . . . . . . . . . . 292,000 2,886,464
Resorts World Berhad . . . . . . . . . . . . 1,091,000 6,399,221
------------
9,285,685
HEALTH SERVICES-1.76%
Yamanouchi Pharmaceutical Company . . . . . . 455,000 10,253,672
------------
ENGINEERING, ACCOUNTING, RESEARCH
& MANAGEMENT SERVICES-0.00%
Japan Digital Laboratory . . . . . . . . . . 50 1,115
Jardine Matheson Holdings . . . . . . . . . . 200 1,470
------------
2,585
MISCELLANEOUS SERVICES-1.32%
Moulinex* . . . . . . . . . . . . . . . . . . 318,500 7,701,118
------------
TOTAL COMMON STOCK
(Cost $538,415,115) . . . . . . . . . . . . $572,483,382
------------
WARRANTS-1.54%*
Deutsche Bank, AG (Expiration date
6/30/97; Strike price DEM 610) . . . . . . 245,390 5,926,909
Malaysian Helicopter (Expiration date
07/20/95; Strike price MYR 5.25) . . . . . 120 148
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
26
<PAGE> 111
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
WARRANTS*-CONTINUED
Michelin Company Genrale De
Establishment (Expiration date
12/31/95; Strike price FRF 200) . . . . . . 74,510 $ 41,776
Volkswagen, AG (Expiration date
10/27/98; Strike price DEM 221) . . . . . . 39,800 3,001,873
------------
TOTAL WARRANTS (Cost $9,452,786) . . . . . . $ 8,970,706
</TABLE> ------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
CONVERTIBLE BONDS-0.02%
FRF 676,770 Michelin, 2.50% . . . . . . . . 01/01/01 $ 139,505
------------
TOTAL CONVERTIBLE BONDS
(Cost $113,685) . . . . . . . . . . . . . . $ 139,505
------------
TOTAL INVESTMENTS (Global Equity
Trust) (Cost $547,981,586) . . . . . . . . $581,593,593
============
</TABLE>
PASADENA GROWTH TRUST
<TABLE>
<CAPTION>
COMMON STOCKS-96.55% Shares Value
------ -----
<S> <C> <C>
AGRICULTURE-0.45%
Rollins, Incorporated . . . . . . . . . . . . 40,000 $ 960,000
------------
FOOD PRODUCTS-7.26%
The Coca-Cola Company . . . . . . . . . . . . 90,000 5,737,500
Conagra, Incorporated . . . . . . . . . . . . 30,000 1,046,250
PepsiCo, Incorporated . . . . . . . . . . . . 90,000 4,106,250
The Philip Morris Companies,
Incorporated . . . . . . . . . . . . . . . 45,000 3,346,875
WM Wrigley Jr. Company . . . . . . . . . . . 30,000 1,391,250
------------
15,628,125
TEXTILE MILL PRODUCTS-0.43%
Phillips-Van Heusen Corporation . . . . . . . 60,000 930,000
------------
CHEMICAL PRODUCTS-10.03%
Avon Products, Incorporated . . . . . . . . . 20,000 1,340,000
Armor All Products Corporation . . . . . . . 40,000 690,000
Colgate Palmolive Company . . . . . . . . . . 40,000 2,925,000
Elan Corporation, PLC, ADR* . . . . . . . . . 30,000 1,222,500
IDEXX Laboratories, Incorporated* . . . . . . 80,000 2,080,000
International Flavors & Fragrances,
Incorporated . . . . . . . . . . . . . . . 40,000 1,990,000
Johnson & Johnson . . . . . . . . . . . . . . 30,000 2,028,750
Merck & Company, Incorporated . . . . . . . . 75,000 3,675,000
Pfizer, Incorporated . . . . . . . . . . . . 25,000 2,309,375
Procter & Gamble Company . . . . . . . . . . 30,000 2,156,250
Roche Holdings, Ltd, ADR . . . . . . . . . . 18,300 1,178,062
------------
21,594,937
RUBBER & PLASTIC-0.80%
Bandag, Incorporated, Class A . . . . . . . . 30,000 1,717,500
------------
METAL PRODUCTS-2.90%
Gillette Company . . . . . . . . . . . . . . 140,000 $ 6,247,500
------------
INDUSTRIAL AND COMMERCIAL MACHINERY-3.43%
ANADIGICS, Incorporated* . . . . . . . . . . 30,000 585,000
Applied Materials, Incorporated* . . . . . . 5,000 433,125
Cisco Systems, Incorporated* . . . . . . . . 50,000 2,528,125
Compaq Computer Corporation* . . . . . . . . 25,000 1,134,375
Hewlett-Packard Company . . . . . . . . . . . 15,000 1,117,500
Microcom, Incorporated* . . . . . . . . . . . 35,000 525,000
Trend-Lines, Incorporated* . . . . . . . . . 5,500 82,500
VeriFone, Incorporated* . . . . . . . . . . . 40,000 980,000
------------
7,385,625
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT-10.36%
Alliance Semiconductor Corporation* . . . . . 12,000 588,000
Checkmate Electrics, Incorporated* . . . . . 35,000 411,250
Duracell International, Incorporated . . . . 45,000 1,946,250
Ericsson L.M. Telephone Company,
ADR, Class B . . . . . . . . . . . . . . . 100,000 2,000,000
General Electric Company . . . . . . . . . . 20,000 1,127,500
General Instrument Corporation* . . . . . . . 35,000 1,343,125
Integrated Device Technology,
Incorporated* . . . . . . . . . . . . . . . 13,000 601,250
Intel Corporation . . . . . . . . . . . . . . 40,000 2,532,500
Linear Technology Corporation . . . . . . . . 20,000 1,320,000
LSI Logic Corporation* . . . . . . . . . . . 12,000 469,500
Maxim Integrated Products, Incorporated* . . 15,000 765,000
Motorola, Incorporated . . . . . . . . . . . 70,000 4,698,750
Nokia Corporation, ADR . . . . . . . . . . . 25,000 1,490,625
Polygram N.V., ADR . . . . . . . . . . . . . 20,000 1,182,500
StrataCom, Incorporated* . . . . . . . . . . 25,000 1,218,750
VLSI Technology, Incorporated* . . . . . . . 20,000 602,500
------------
22,297,500
TRANSPORTATION EQUIPMENT-2.74%
AutoZone, Incorporated* . . . . . . . . . . . 100,000 2,512,500
General Motors Corporation, Class E . . . . . 55,000 2,392,500
Harper Group, Incorporated . . . . . . . . . 60,000 1,005,000
------------
5,910,000
TRANSPORTATION-1.27%
Amway Asia Pacific, Ltd . . . . . . . . . . . 25,000 906,250
Federal Express Corporation* . . . . . . . . 30,000 1,822,500
------------
2,728,750
COMMUNICATION-3.13%
AirTouch Communications, Incorporated* . . . 75,000 2,137,500
American Telephone & Telegraph
Corporation . . . . . . . . . . . . . . . . 25,000 1,328,125
Cabletron Systems, Incorporated* . . . . . . 20,000 1,065,000
Paging Network, Incorporated* . . . . . . . . 25,000 856,250
Tele Danmark, ADR, Class B . . . . . . . . . 25,000 700,000
TeleWest Communications, PLC, ADR* . . . . . 25,000 643,750
------------
6,730,625
ELECTRIC, GAS & SANITARY SERVICES-1.45%
Korea Electric Power Corporation, ADR . . . . 75,000 1,696,875
WMX Technologies, Incorporated . . . . . . . 50,000 1,418,750
------------
3,115,625
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
27
<PAGE> 112
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
WHOLESALE & RETAIL TRADE-18.61%
Albertsons, Incorporated . . . . . . . . . . . . . . . . 25,000 $ 743,750
American Eagle Outfitters* . . . . . . . . . . . . . . . 75,000 1,181,250
AnnTaylor Stores Corporation* . . . . . . . . . . . . . . 45,000 1,046,250
Bed Bath & Beyond, Incorporated* . . . . . . . . . . . . 45,000 1,091,250
Circuit City Stores, Incorporated . . . . . . . . . . . . 25,000 790,625
Claire's Stores, Incorporated . . . . . . . . . . . . . . 75,000 1,359,375
Department 56, Incorporated* . . . . . . . . . . . . . . 20,000 765,000
Dollar General Corporation . . . . . . . . . . . . . . . 50,000 1,581,250
The Gap, Incorporated . . . . . . . . . . . . . . . . . . 55,000 1,918,125
Gymboree Corporation* . . . . . . . . . . . . . . . . . . 35,000 1,017,187
The Home Depot, Incorporated . . . . . . . . . . . . . . 40,000 1,625,000
Kohls Corporation* . . . . . . . . . . . . . . . . . . . 45,000 2,053,125
Leslie's Poolmart* . . . . . . . . . . . . . . . . . . . 50,000 750,000
Mac Frugals Bargains-Close-Outs,
Incorporated* . . . . . . . . . . . . . . . . . . . . . 120,000 2,100,000
Mail Boxes, Etc* . . . . . . . . . . . . . . . . . . . . 80,000 760,000
Mattel, Incorporated . . . . . . . . . . . . . . . . . . 50,000 1,300,000
Medtronic, Incorporated . . . . . . . . . . . . . . . . . 40,000 3,085,000
Nordstrom, Incorporated . . . . . . . . . . . . . . . . . 60,000 2,482,500
Smart & Final, Incorporated . . . . . . . . . . . . . . . 50,000 856,250
Stein Mart, Incorporated* . . . . . . . . . . . . . . . . 140,000 1,890,000
Toys R Us, Incorporated* . . . . . . . . . . . . . . . . 75,000 2,193,750
Viking Office Products, Incorporated* . . . . . . . . . . 40,000 1,465,000
Wal-Mart Stores, Incorporated . . . . . . . . . . . . . . 300,000 8,025,000
------------
40,079,687
EATING & DRINKING PLACES-5.11%
Au Bon Pain Company, Incorporated,
Class A* . . . . . . . . . . . . . . . . . . . . . . . 30,000 363,750
Brinker International, Incorporated* . . . . . . . . . . 150,000 2,587,500
The Cheesecake Factory, Incorporated* . . . . . . . . . . 40,000 1,030,000
Lone Star Steakhouse & Saloon,
Incorporated* . . . . . . . . . . . . . . . . . . . . . 25,000 757,813
Lowe's Companies, Incorporated . . . . . . . . . . . . . 100,000 2,987,500
McDonald's Corporation . . . . . . . . . . . . . . . . . 60,000 2,347,500
Sbarro, Incorporated . . . . . . . . . . . . . . . . . . 40,000 930,000
------------
11,004,063
BANKING & FINANCE-5.86%
Federal Home Loan Mortgage Corporation . . . . . . . . . 65,000 4,468,750
Federal National Mortgage Association . . . . . . . . . . 35,000 3,303,125
First Interstate Bancorporation . . . . . . . . . . . . . 25,000 2,006,250
Mercury Finance Corporation . . . . . . . . . . . . . . . 35,000 673,750
Nationsbank Corporation . . . . . . . . . . . . . . . . . 25,000 1,340,625
Roosevelt Financial Group, Incorporated . . . . . . . . . 50,000 834,375
------------
12,626,875
HOLDING & INVESTMENT COMPANIES-7.03%
Asia Tigers Fund, Incorporated . . . . . . . . . . . . . 175,000 1,925,000
Future Germany Fund, Incorporated . . . . . . . . . . . . 65,000 1,007,500
India Fund, Incorporated . . . . . . . . . . . . . . . . 200,000 2,050,000
Korea Fund, Incorporated . . . . . . . . . . . . . . . . 55,000 1,079,375
Reuters Holdings, PLC, ADR . . . . . . . . . . . . . . . 70,000 3,508,750
Thai Fund, Incorporated . . . . . . . . . . . . . . . . . 40,000 1,060,000
Wells Fargo & Company . . . . . . . . . . . . . . . . . . 25,000 4,506,250
------------
15,136,875
HOTELS, MOTELS & OTHER LODGING PLACES-2.03%
Circus Circus Enterprises, Incorporated* . . . . . . . . 90,000 $ 3,172,500
Primadonna Resorts, Incorporated* . . . . . . . . . . . . 50,000 1,200,000
------------
4,372,500
PERSONAL SERVICES-0.35%
Supercuts, Incorporated* . . . . . . . . . . . . . . . . 95,000 748,125
------------
BUSINESS SERVICES-5.79%
Aaron Rents, Incorporated . . . . . . . . . . . . . . . . 50,000 750,000
Automatic Data Processing, Incorporated . . . . . . . . . 45,000 2,829,375
Diamond Multimedia Systems,
Incorporated* . . . . . . . . . . . . . . . . . . . . . 50,000 1,025,000
First Data Corporation . . . . . . . . . . . . . . . . . 35,000 1,990,625
The Interpublic Group of Companies,
Incorporated . . . . . . . . . . . . . . . . . . . . . 45,000 1,687,500
Microsoft Corporation* . . . . . . . . . . . . . . . . . 30,000 2,711,250
Number Nine Visual Technology
Corporation* . . . . . . . . . . . . . . . . . . . . . 25,000 518,750
Softkey International Incorporated* . . . . . . . . . . . 30,000 956,250
------------
12,468,750
MOTION PICTURES, AMUSEMENT & RECREATION SERVICES-5.15%
Anchor Gaming* . . . . . . . . . . . . . . . . . . . . . 115,000 2,558,750
Carnival Corporation, Class A . . . . . . . . . . . . . . 150,000 3,506,250
The Walt Disney Company . . . . . . . . . . . . . . . . . 65,000 3,615,625
Mirage Resorts, Incorporated* . . . . . . . . . . . . . . 20,000 612,500
Regal Cinemas, Incorporated* . . . . . . . . . . . . . . 25,000 800,000
------------
11,093,125
HEALTH SERVICES-2.37%
Columbia/HCA-Healthcare Corporation
of America . . . . . . . . . . . . . . . . . . . . . . 60,000 2,595,000
Luxottica Group SPA, ADR . . . . . . . . . . . . . . . . 30,000 1,113,750
Regency Health Services, Incorporated* . . . . . . . . . 60,000 630,000
Surgical Care Affiliates, Incorporated . . . . . . . . . 40,000 765,000
------------
5,103,750
TOTAL COMMON STOCK
(Cost $178,128,810) . . . . . . . . . . . . . . . . . . 207,879,937
------------
PREFFERED STOCKS-0.74%
PAPER, PRINTING & PUBLISHING-0.74%
The News Corporation, Ltd, ADR . . . . . . . . . . . . . 80,000 1,600,000
------------
TOTAL PREFERRED STOCK
(Cost $1,401,120) . . . . . . . . . . . . . . . . . . . 1,600,000
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT-2.71%
$5,826,000 Repurchase Agreement with State Street
Bank & Trust Company, dated 06/30/95
at 5.50%, to be repurchased at
$5,828,670 on 07/03/95 collateralized
by $4,525,000 U.S. Treasury Bond,
9.25% due 02/15/16 (valued at
$6,104,188, including interest) . . . . . . $ 5,826,000
------------
TOTAL INVESTMENTS (Pasadena
Growth Trust) (Cost $185,355,930) . . . . . . . . . . . $215,305,937
============
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
28
<PAGE> 113
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
EQUITY TRUST
<TABLE>
<CAPTION>
COMMON STOCKS-94.96% Shares Value
------ -----
<S> <C> <C> <C>
MINING-0.04%
Asia Pacific Resources Holding, Ltd,
Class A* . . . . . . . . . . . . . . . . . . 32,000 $ 297,475
-----------
OIL & GAS EXPLORATION-0.78%
British Petroleum, PLC, ADR . . . . . . . . . . 24,751 2,119,304
Schlumberger, Ltd . . . . . . . . . . . . . . . 30,700 1,907,238
Unocal Corporation . . . . . . . . . . . . . . 11,900 328,737
Western Atlas, Incorporated* . . . . . . . . . 33,500 1,486,563
-----------
5,841,842
FOOD PRODUCTS-2.24%
Nabisco Holdings Corporation, Class A . . . . . 33,900 915,300
PepsiCo, Incorporated . . . . . . . . . . . . . 55,900 2,550,438
Philip Morris Companies, Incorporated . . . . . 162,800 12,108,250
Ralcorp Holdings, Incorporated . . . . . . . . 20,700 473,512
Riviana Foods, Incorporated* . . . . . . . . . 17,400 231,637
RJR Nabisco Holdings Corporation . . . . . . . 10,360 288,785
Tyson Foods, Incorporated, Class A . . . . . . 6,000 138,750
-----------
16,706,672
TEXTILE MILL PRODUCTS & APPAREL-0.43%
Kellwood Company . . . . . . . . . . . . . . . 14,200 241,400
Liz Claiborne, Incorporated . . . . . . . . . . 12,800 272,000
Nautica Enterprises, Incorporated* . . . . . . 5,600 203,000
Tommy Hilfiger Corporation* . . . . . . . . . . 88,200 2,469,600
-----------
3,186,000
LUMBER & WOOD PRODUCTS-0.01%
Boise Cascade Office Products* . . . . . . . . 3,500 77,875
-----------
FURNITURE & FIXTURES-0.13%
Armstrong World Industries, Incorporated . . . 11,400 571,425
Heilig-Meyers Company . . . . . . . . . . . . . 3,800 96,900
Leggett & Platt, Incorporated . . . . . . . . . 7,200 316,800
-----------
985,125
PAPER, PRINTING & PUBLISHING-1.60%
Alco Standard Corporation . . . . . . . . . . . 23,700 1,893,038
Champion International Corporation . . . . . . 92,900 4,842,413
Dow Jones Company, Incorporated . . . . . . . . 10,400 383,500
International Paper Company . . . . . . . . . . 12,900 1,106,175
Stone Container Corporation . . . . . . . . . . 800 17,000
Tambrands, Incorporated . . . . . . . . . . . . 12,800 547,200
Time Warner, Incorporated . . . . . . . . . . . 32,100 1,320,113
Union Camp Corporation . . . . . . . . . . . . 31,200 1,805,700
-----------
11,915,139
CHEMICAL PRODUCTS-6.38%
Airgas, Incorporated* . . . . . . . . . . . . . 28,700 771,312
Allergan, Incorporated . . . . . . . . . . . . 26,800 726,950
Baxter International, Incorporated . . . . . . 35,000 1,273,125
Biogen, Incorporated* . . . . . . . . . . . . . 82,700 3,680,150
Boston Scientific Corporation* . . . . . . . . 40,200 1,281,375
Bristol-Myers Squibb Company . . . . . . . . . 46,600 3,174,625
Cor Therapeutics, Incorporated* . . . . . . . . 15,200 135,850
The Dow Chemical Company . . . . . . . . . . . 8,400 603,750
E.I. Du Pont De Nemours & Companies,
Incorporated . . . . . . . . . . . . . . . . 34,000 2,337,500
General Nutrition Companies, Incorporated* . . 33,700 $1,183,712
Johnson & Johnson . . . . . . . . . . . . . . . 165,000 11,158,125
Medisense, Incorporated* . . . . . . . . . . . 13,300 257,687
Merck & Company, Incorporated . . . . . . . . . 68,800 3,371,200
Pfizer, Incorporated . . . . . . . . . . . . . 39,600 3,658,050
Rhone-Poulenc Rorer, Incorporated . . . . . . . 27,900 1,140,413
Rohm and Haas Company . . . . . . . . . . . . . 1,800 98,775
Schering-Plough Corporation . . . . . . . . . . 191,800 8,463,175
Serologicals Corporation* . . . . . . . . . . . 2,500 26,562
Therapeutic Discovery Corporation, Class A* . . 3,000 22,875
Union Carbide Corporation . . . . . . . . . . . 58,300 1,945,763
Warner-Lambert Company . . . . . . . . . . . . 26,400 2,280,300
-----------
47,591,274
RUBBER & PLASTIC-0.09%
The Goodyear Tire and Rubber Company . . . . . 16,400 676,500
-----------
LEATHER PRODUCTS-0.01%
Nine West Group, Incorporated* . . . . . . . . 2,700 98,550
-----------
BUILDING MATERIAL & CONSTRUCTION-0.78%
Cemex, SA . . . . . . . . . . . . . . . . . . . 32,200 116,178
Centex Corporation . . . . . . . . . . . . . . 10,600 299,450
Georgia-Pacific Corporation . . . . . . . . . . 61,000 5,291,750
Schuler Homes, Incorporated* . . . . . . . . . 12,200 149,450
-----------
5,856,828
METAL PRODUCTS-1.25%
Aluminum Company of America . . . . . . . . . . 181,900 9,117,738
Tyco International, Ltd . . . . . . . . . . . . 4,100 221,400
-----------
9,339,138
INDUSTRIAL & COMMERCIAL MACHINERY-15.55%
Alantec Corporation* . . . . . . . . . . . . . 16,600 568,550
Apple Computer, Incorporated . . . . . . . . . 31,700 1,472,069
Applied Materials, Incorporated* . . . . . . . 156,000 13,513,500
Case Corporation . . . . . . . . . . . . . . . 41,100 1,222,725
Caterpillar, Incorporated . . . . . . . . . . . 37,400 2,402,950
Cisco Systems, Incorporated* . . . . . . . . . 254,400 12,863,100
Compaq Computer Corporation* . . . . . . . . . 358,300 16,257,863
Dell Computer Corporation* . . . . . . . . . . 101,800 6,120,725
Dialogic Corporation* . . . . . . . . . . . . . 10,000 177,500
Digital Equipment Corporation* . . . . . . . . 50,500 2,057,875
EMC Corporation* . . . . . . . . . . . . . . . 58,200 1,411,350
Hewlett-Packard Company . . . . . . . . . . . . 107,200 7,986,400
Integrated Process Equipment Corporation* . . . 24,000 847,500
International Business Machines
Corporation . . . . . . . . . . . . . . . . . 215,900 20,726,400
Mercury Interactive Corporation* . . . . . . . 20,400 410,550
Microcom, Incorporated* . . . . . . . . . . . . 16,000 240,000
Microtouch Systems, Incorporated* . . . . . . . 12,200 250,862
Mohawk Industries, Incorporated* . . . . . . . 9,800 144,550
Network Peripherals, Incorporated* . . . . . . 20,000 436,250
Novellus Systems, Incorporated* . . . . . . . . 17,200 1,165,300
Oak Technology* . . . . . . . . . . . . . . . . 21,300 785,775
Radius, Incorporated* . . . . . . . . . . . . . 5,500 60,500
S 3, Incorporated* . . . . . . . . . . . . . . 51,500 1,854,000
Seagate Technology* . . . . . . . . . . . . . . 47,900 1,880,075
Shaw Industries, Incorporated . . . . . . . . . 11,100 188,700
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
29
<PAGE> 114
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
INDUSTRIAL & COMMERCIAL MACHINERY-15.55%
Silicon Graphics, Incorporated* . . . . . . . . . 185,170 $ 7,383,654
Stratus Computer, Incorporated* . . . . . . . . . 39,200 1,215,200
Sun Microsystems, Incorporated* . . . . . . . . . 122,300 5,931,550
Tandem Computers, Incorporated* . . . . . . . . . 42,700 688,537
Wang Laboratories, Incorporated* . . . . . . . . 13,700 224,337
Xerox Corporation . . . . . . . . . . . . . . . . 48,000 5,628,000
------------
116,113,347
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT-21.56%
Adaptec, Incorporated* . . . . . . . . . . . . . 34,700 1,283,900
ADC Telecommunications, Incorporated* . . . . . . 16,000 572,000
Alliance Semiconductor Corporation* . . . . . . . 52,300 2,562,700
Altera Corporation* . . . . . . . . . . . . . . . 101,200 4,376,900
Analog Devices, Incorporated* . . . . . . . . . . 93,650 3,184,100
Ascend Communications, Incorporated* . . . . . . 38,000 1,919,000
Atmel Corporation* . . . . . . . . . . . . . . . 54,800 3,034,550
Bay Networks, Incorporated* . . . . . . . . . . . 138,800 5,742,850
Cabletron Systems, Incorporated* . . . . . . . . 70,900 3,775,425
Deere & Company . . . . . . . . . . . . . . . . . 58,100 4,974,813
Epic Design Technology, Incorporated* . . . . . . 9,700 344,350
Ericsson L.M. Telephone Company,
ADR, Class B . . . . . . . . . . . . . . . . . 44,000 880,000
General Electric Company . . . . . . . . . . . . 216,500 12,205,187
General Instrument Corporation* . . . . . . . . . 36,700 1,408,363
Integrated Device Technology Incorporated* . . . 16,800 777,000
Integrated Silicon Solution, Incorporated* . . . 27,800 1,452,550
Intel Corporation . . . . . . . . . . . . . . . . 572,800 36,265,400
International Game Technology . . . . . . . . . . 19,400 298,275
Inter-Tel, Incorporated* . . . . . . . . . . . . 10,600 160,325
James River Corporation of Virginia . . . . . . . 6,900 190,612
Komag, Incorporated* . . . . . . . . . . . . . . 16,400 852,800
Leitch Technology Corporation* . . . . . . . . . 14,100 230,979
Linear Technology Corporation . . . . . . . . . . 74,000 4,884,000
LSI Logic Corporation* . . . . . . . . . . . . . 58,200 2,277,075
Maxim Intergrated Products, Incorporated* . . . . 79,200 4,039,200
Microchip Technology, Incorporated* . . . . . . . 4,000 145,500
Micron Technology, Incorporated . . . . . . . . . 190,500 10,453,687
Motorola, Incorporated . . . . . . . . . . . . . 102,600 6,887,025
National Semiconductor Corporation* . . . . . . . 60,500 1,678,875
NETCOM On-Line Communication
Services* . . . . . . . . . . . . . . . . . . . 16,600 423,300
Newbridge Network Corporation* . . . . . . . . . 121,800 4,293,450
Nokia Corporation, ADR . . . . . . . . . . . . . 147,800 8,812,575
Octel Communications Corporation* . . . . . . . . 2,100 61,425
Pairgain Technologies, Incorporated* . . . . . . 14,100 269,662
Read-Rite Corporation* . . . . . . . . . . . . . 1,000 26,750
Samsung Electronics, Ltd* . . . . . . . . . . . . 400 38,400
Scientific-Atlanta, Incorporated . . . . . . . . 41,500 913,000
Sensormatic Electronic Corporation . . . . . . . 21,400 759,700
SGS Thomson Microelectronic,
Incorporated* . . . . . . . . . . . . . . . . . 13,700 556,562
Tellaboratories, Incorporated* . . . . . . . . . 11,400 548,625
Tencor Instruments* . . . . . . . . . . . . . . . 84,300 3,456,300
Texas Instruments, Incorporated . . . . . . . . . 77,700 10,402,087
3Com Corporation* . . . . . . . . . . . . . . . . 78,200 5,239,400
Uniphase Corporation* . . . . . . . . . . . . . . 47,600 1,017,450
U.S. Robotics Corporation* . . . . . . . . . . . 27,700 3,019,300
Whirlpool Corporation . . . . . . . . . . . . . . 24,400 $ 1,342,000
Xilinx, Incorporated* . . . . . . . . . . . . . . 30,700 2,885,800
------------
160,923,227
TRANSPORTATION EQUIPMENT-4.20%
AutoZone, Incorporated* . . . . . . . . . . . . . 82,900 $2,082,863
Chrysler Corporation . . . . . . . . . . . . . . 168,500 8,066,938
Dana Corporation . . . . . . . . . . . . . . . . 22,100 632,612
Ford Motor Company . . . . . . . . . . . . . . . 88,300 2,626,925
General Motors Corporation . . . . . . . . . . . 212,300 9,951,563
General Motors Corporation, Class E . . . . . . . 120,100 5,224,350
General Motors Corporation, Class H . . . . . . . 15,000 592,500
Magna International, Incorporated, Class A . . . 17,500 772,187
Pep Boys (Manny, Moe & Jack) . . . . . . . . . . 52,200 1,396,350
------------
31,346,288
TRANSPORTATION-2.03%
AMR Corporation* . . . . . . . . . . . . . . . . 65,700 4,902,863
Conrail, Incorporated . . . . . . . . . . . . . . 19,200 1,068,000
CSX Corporation . . . . . . . . . . . . . . . . . 72,800 5,469,100
J.B. Hunt Transport Services, Incorporated . . . 15,300 281,137
Knight Transportation, Incorporated* . . . . . . 900 12,150
Landstar Systems, Incorporated* . . . . . . . . . 44,900 1,156,175
M S Carriers, Incorporated* . . . . . . . . . . . 5,300 100,700
Northwest Airlines Corporation, Class A* . . . . 17,600 622,600
PST Vans, Incorporated* . . . . . . . . . . . . . 4,400 27,775
Southwest Airlines Company . . . . . . . . . . . 27,900 666,112
Swift Transportation Company,
Incorporated* . . . . . . . . . . . . . . . . . 38,200 639,850
Werner Enterprises, Incorporated . . . . . . . . 11,400 228,000
------------
15,174,462
COMMUNICATION SERVICES-5.21%
AirTouch Communications, Incorporated* . . . . . 160,535 4,575,248
ALC Communications Corporation* . . . . . . . . . 60,700 2,739,088
American Radio Systems Corporation,
Class A* . . . . . . . . . . . . . . . . . . . 2,400 54,600
American Telephone & Telegraph
Corporation . . . . . . . . . . . . . . . . . . 4,700 249,687
Ameritech Corporation . . . . . . . . . . . . . . 77,400 3,405,600
Bellsouth Corporation . . . . . . . . . . . . . . 82,200 5,219,700
British Sky Broadcast Group, ADR* . . . . . . . . 25,400 663,575
Capital Cities/ABC Corporation . . . . . . . . . 2,200 237,600
Cascade Communications Corporation* . . . . . . . 23,400 1,012,050
Clear Channel Communications* . . . . . . . . . . 14,600 939,875
Comcast Corporation, Class A . . . . . . . . . . 27,400 508,612
HighwayMaster Communication,
Incorporated* . . . . . . . . . . . . . . . . . 7,900 120,475
Infinity Broadcasting Corporation* . . . . . . . 77,292 2,579,622
LCI International, Incorporated* . . . . . . . . 31,300 958,562
NYNEX Corporation . . . . . . . . . . . . . . . . 66,500 2,676,625
SBC Communications Incorporated . . . . . . . . . 129,200 6,153,150
Sinclair Broadcast Group, Incorporated,
Class A* . . . . . . . . . . . . . . . . . . . 1,200 33,600
Tele-Communications, Incorporated,
Class A* . . . . . . . . . . . . . . . . . . . 55,000 1,289,063
Telefonos De Mexico SA, ADR . . . . . . . . . . . 8,600 254,775
Telephone & Data Systems, Incorporated . . . . . 5,600 203,700
Valuevision International, Incorporated* . . . . 1,700 7,756
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
30
<PAGE> 115
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMUNICATION SERVICES-CONTINUED
Vanguard Cellular System, Incorporated,
Class A* . . . . . . . . . . . . . . . . . 19,700 $ 472,800
Viacom, Incorporated, Class A* . . . . . . . 6,952 323,268
Viacom, Incorporated, Class B* . . . . . . . 72,173 3,347,023
Worldcom, Incorporated* . . . . . . . . . . . 33,200 896,400
-----------
38,922,454
ELECTRIC, GAS & SANITARY SERVICES-1.07%
Browning-Ferris Industries, Incorporated . . 23,400 3,775,063
Emmis Broadcasting Corporation, Class A* . . 8,100 220,725
Sanifill, Incorporated* . . . . . . . . . . . 6,300 197,662
WMX Technologies, Incorporated . . . . . . . 73,900 3,768,200
-----------
7,961,650
WHOLESALE & RETAIL TRADE-11.56%
American Eagle Outfitters, Incorporated* . . 29,900 470,925
Amgen Incorporated* . . . . . . . . . . . . . 35,600 2,863,575
ArcSys, Incorporated* . . . . . . . . . . . . 400 13,600
Barnes & Noble, Incorporated* . . . . . . . . 26,400 897,600
Bed Bath & Beyond, Incorporated* . . . . . . 50,100 1,214,925
Brinker International, Incorporated* . . . . 8,100 139,725
Campo Electronics Appliances
& Computers* . . . . . . . . . . . . . . . 30,000 198,750
Cardinal Health, Incorporated . . . . . . . . 2,100 99,225
Circuit City Stores, Incorporated . . . . . . 30,400 961,400
Cobra Golf, Incorporated* . . . . . . . . . . 31,100 983,537
CompUSA, Incorporated* . . . . . . . . . . . 86,000 2,859,500
Corporate Express, Incorporated* . . . . . . 16,200 346,275
Cygne Designs, Incorporated* . . . . . . . . 29,600 173,900
Danka Business Systems, PLC, ADR . . . . . . 18,800 454,725
Dayton-Hudson Corporation . . . . . . . . . . 75,700 5,431,475
DSC Communications Corporation* . . . . . . . 280,800 13,057,200
Ellett Brothers, Incorporated . . . . . . . . 25,300 170,775
The Gap, Incorporated . . . . . . . . . . . . 8,000 279,000
The Home Depot, Incorporated . . . . . . . . 72,700 2,953,438
Just for Feet, Incorporated* . . . . . . . . 17,500 697,812
The Limited, Incorporated . . . . . . . . . . 135,600 2,983,200
Lowe's Companies, Incorporated . . . . . . . 348,000 10,396,500
Medtronic, Incorporated . . . . . . . . . . . 5,200 401,050
Microage, Incorporated* . . . . . . . . . . . 3,150 44,887
Micro Warehouse, Incorporated* . . . . . . . 56,900 2,617,400
Nike, Incorporated, Class B . . . . . . . . . 29,100 2,444,400
Office Depot, Incorporated* . . . . . . . . . 157,025 4,416,328
Office Max, Incorporated* . . . . . . . . . . 113,900 3,174,963
J.C. Penney & Company, Incorporated . . . . . 8,000 384,000
Petco Animal Supplies, Incorporated* . . . . 14,500 337,125
Price/Costco, Incorporated* . . . . . . . . . 10,500 170,625
Reebok International, Ltd . . . . . . . . . . 42,900 1,458,600
Remedy Corporation* . . . . . . . . . . . . . 700 25,375
Sears Roebuck & Company . . . . . . . . . . . 38,700 2,317,163
Softkey International, Incorporated* . . . . 9,400 299,625
Staples, Incorporated* . . . . . . . . . . . 230,250 6,648,469
Starbucks Corporation* . . . . . . . . . . . 32,900 1,172,063
Sunglass Hut International, Incorporated* . . 38,800 1,358,000
Talbots, Incorporated . . . . . . . . . . . . 61,200 2,432,700
Tech Data Corporation* . . . . . . . . . . . 26,000 297,375
TJX Companies, Incorporated . . . . . . . . . 63,200 837,400
Toy Biz, Incorporated, Class A* . . . . . . . 800 14,500
U.S. Office Products Company* . . . . . . . . 1,900 $22,800
Viking Office Products, Incorporated* . . . . 24,700 904,637
Waban, Incorporated* . . . . . . . . . . . . 19,400 288,575
Wal-Mart Stores, Incorporated . . . . . . . . 242,800 6,494,900
Welcome Home, Incorporated* . . . . . . . . . 18,000 61,875
-----------
86,271,897
EATING & DRINKING PLACES-0.32%
Apple South, Incorporated . . . . . . . . . . 52,650 1,026,675
Applebee s International, Incorporated . . . 19,700 507,275
Landry's Seafood Restaurants,
Incorporated* . . . . . . . . . . . . . . . 12,600 252,000
Outback Steakhouse, Incorporated* . . . . . . 21,600 623,700
-----------
2,409,650
BANKING & FINANCE-5.26%
American Express Company . . . . . . . . . . 195,300 6,859,913
Bank One Corporation . . . . . . . . . . . . 16,400 528,900
Federal Home Loan Mortgage Corporation . . . 147,000 10,106,250
Federal National Mortgage Association . . . . 170,600 16,100,375
First USA, Incorporated . . . . . . . . . . . 18,900 838,687
Green Tree Financial Corporation . . . . . . 39,900 1,770,563
Household International Corporation . . . . . 700 34,650
Nationsbank Corporation . . . . . . . . . . . 56,300 3,019,088
-----------
39,258,426
SECURITY & COMMODITY BROKERS-1.14%
Merrill Lynch & Company, Incorporated . . . . 115,800 6,079,500
Morgan Stanley Group, Incorporated . . . . . 5,300 429,300
Charles Schwab Corporation . . . . . . . . . 46,000 1,995,250
-----------
8,504,050
INSURANCE-0.14%
The Travelers Group, Incorporated . . . . . . 23,199 1,014,956
-----------
HOLDING & INVESTMENT COMPANIES-0.88%
Bank of Boston Corporation . . . . . . . . . 7,600 285,000
Bank of New York, Incorporated . . . . . . . 44,100 1,780,538
Beneficial Corporation . . . . . . . . . . . 29,000 1,276,000
Chemical Banking Corporation . . . . . . . . 40,400 1,908,900
Price Enterprises, Incorporated* . . . . . . 93,200 1,281,500
-----------
6,531,938
HOTELS, MOTELS & OTHER LODGING PLACES-0.04%
La Quinta Inns, Incorporated . . . . . . . . 10,500 283,500
Studio Plus America, Incorporated . . . . . . 1,700 28,475
-----------
311,975
BUSINESS SERVICES-9.44%
Adobe Systems, Incorporated . . . . . . . . . 29,900 1,734,200
Affiliated Computer Services, Incorporated* . 2,000 61,000
America OnLine, Incorporated* . . . . . . . . 38,200 1,680,800
Brock Control System, Incorporated* . . . . . 4,400 35,200
Broderbund Software, Incorporated* . . . . . 33,700 2,148,375
Burlington Resources, Incorporated . . . . . 14,600 538,375
Cadence Design Systems, Incorporated* . . . . 136,400 4,415,950
Ceridian Corporation* . . . . . . . . . . . . 17,600 649,000
Cirrus Logic, Incorporated* . . . . . . . . . 5,000 313,437
Computer Associates International,
Incorporated . . . . . . . . . . . . . . . 35,000 2,371,250
Computer Sciences Corporation* . . . . . . . 3,800 216,125
CUC International, Incorporated* . . . . . . 94,350 3,962,700
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
31
<PAGE> 116
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
BUSINESS SERVICES-CONTINUED
Electronic Arts* . . . . . . . . . . . . . . . . . . . . 57,300 $ 1,554,263
Equifax, Incorporated . . . . . . . . . . . . . . . . . . 20,700 690,862
Firefox Communications, Incorporated* . . . . . . . . . . 400 10,300
First Financial Management Corporation . . . . . . . . . 16,200 1,385,100
Global DirectMail Corporation* . . . . . . . . . . . . . 7,100 140,225
Informix Corporation* . . . . . . . . . . . . . . . . . . 62,200 1,578,325
Inso Corporation* . . . . . . . . . . . . . . . . . . . . 7,200 430,200
Integrated Silicon Systems, Incorporated* . . . . . . . . 4,500 169,875
Marcam Corporation* . . . . . . . . . . . . . . . . . . . 18,000 245,250
Maxis, Incorporated* . . . . . . . . . . . . . . . . . . 6,900 183,712
MICROS Systems, Incorporated* . . . . . . . . . . . . . . 20,700 683,100
Microsoft Corporation* . . . . . . . . . . . . . . . . . 149,500 13,511,062
Novell, Incorporated* . . . . . . . . . . . . . . . . . . 296,900 5,919,444
Oracle Systems Corporation* . . . . . . . . . . . . . . . 448,450 17,321,381
Parametric Technology Corporation* . . . . . . . . . . . 119,000 5,920,250
Paychex, Incorporated . . . . . . . . . . . . . . . . . . 13,650 494,812
Peoplesoft, Incorporated* . . . . . . . . . . . . . . . . 19,400 1,052,450
Spectrum Holobyte, Incorporated* . . . . . . . . . . . . 12,000 171,750
Synopsys, Incorporated* . . . . . . . . . . . . . . . . . 14,100 883,012
Uunet Technology, Incorporated* . . . . . . . . . . . . . 700 19,250
------------
70,491,035
MOTION PICTURES, AMUSEMENT & RECREATION
SERVICES-0.79%
Carnival Corporation, Class A . . . . . . . . . . . . . . 39,200 916,300
The Walt Disney Company . . . . . . . . . . . . . . . . . 53,100 2,953,688
Hollywood Entertainment Corporation* . . . . . . . . . . 30,950 1,392,750
Mirage Resorts, Incorporated* . . . . . . . . . . . . . . 21,000 643,125
------------
5,905,863
HEALTH SERVICES-1.27%
Becton Dickinson & Company . . . . . . . . . . . . . . . 43,000 2,504,750
Columbia/HCA-Healthcare Corporation
of America . . . . . . . . . . . . . . . . . . . . . . 93,580 4,047,335
Healthsouth Rehabilitation Corporation* . . . . . . . . . 81,000 1,407,375
Lincare Holdings, Incorporated* . . . . . . . . . . . . . 16,600 440,938
Living Centers of America, Incorporated* . . . . . . . . 3,900 105,788
St. Jude Medical, Incorporated* . . . . . . . . . . . . . 19,700 987,462
------------
9,493,648
EDUCATIONAL & SOCIAL SERVICES-0.02%
Apollo Group, Incorporated, Class A* . . . . . . . . . . 4,533 120,124
------------
ENGINEERING, ACCOUNTING & RESEARCH MANAGEMENT-0.74%
Alza Corporation* . . . . . . . . . . . . . . . . . . . . 53,700 1,255,238
Elan Corporation, PLC, ADR* . . . . . . . . . . . . . . . 91,450 3,726,588
Elan Corporation, PLC* . . . . . . . . . . . . . . . . . 144 5,256
Genetics Institute, Incorporated* . . . . . . . . . . . . 5,100 172,125
Petroleum Geo Services A/S, ADR* . . . . . . . . . . . . 13,300 382,375
------------
5,541,582
TOTAL COMMON STOCKS
(Cost $564,439,634) . . . . . . . . . . . . . . . . . . $708,868,990
------------
PREFFERED STOCK-0.05%
BUSINESS SERVICES-0.05%
Sap AG . . . . . . . . . . . . . . . . . . . . . . . . . 300 378,010
------------
TOTAL PREFERRED STOCK (Cost $0) . . . . . . . . . . . . $ 378,010
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT-4.99%
$37,233,000 Repurchase Agreement with State Street
Bank & Trust Company, dated 06/30/95
at 5.50%, to be repurchased at
$37,250,065 on 07/03/95, collateralized
by $34,575,000 U.S.Treasury Bond,
7.50% due 11/15/16 (valued at
$38,302,147, including interest) $ 37,233,000
------------
TOTAL INVESTMENTS (Equity Trust)
(Cost $601,672,634) . . . . . . . . . . . . . . . . . . $746,480,000
============
</TABLE>
VALUE EQUITY TRUST
<TABLE>
<CAPTION>
COMMON STOCKS-77.26% Shares Value
------ -----
<S> <C> <C>
OIL & GAS EXPLORATIONS-2.74%
Tenneco, Incorporated . . . . . . . . . . . . . . . . . . 182,200 $ 8,381,200
------------
TEXTILE MILL PRODUCT-0.70%
Warnaco Group, Incorporated . . . . . . . . . . . . . . . 106,600 2,132,000
------------
LUMBER & WOOD PRODUCT-2.40%
Champion International Corporation . . . . . . . . . . . 141,100 7,354,837
------------
PAPER, PRINTING & PUBLISHING-4.44%
First Brands Corporation . . . . . . . . . . . . . . . . 67,900 2,911,213
John H. Harland Company . . . . . . . . . . . . . . . . . 9,600 219,600
Stone Container Corporation* . . . . . . . . . . . . . . 492,100 10,457,125
------------
13,587,938
CHEMICAL PRODUCTS-3.30%
Fisher Scientific International,
Incorporated . . . . . . . . . . . . . . . . . . . . . 148,900 4,932,313
Geon Company . . . . . . . . . . . . . . . . . . . . . . 179,200 5,152,000
------------
10,084,313
RUBBER & PLASTIC-3.23%
Millipore Corporation . . . . . . . . . . . . . . . . . . 146,900 9,882,000
------------
LEATHER PRODUCTS-0.18%
L.A. Gear, Incorporated*. . . . . . . . . . . . . . . . . 235,600 559,550
------------
BUILDING MATERIAL & CONSTRUCTION-3.71%
Georgia-Pacific Corporation. . . . . . . . . . . . . . . 130,800 11,346,900
------------
METAL PRODUCTS-6.29%
Keystone International, Incorporated . . . . . . . . . . 124,200 2,437,425
Quanex Corporation . . . . . . . . . . . . . . . . . . . 164,000 4,059,000
Snap-On Corporation . . . . . . . . . . . . . . . . . . . 259,500 10,055,625
Trinity Industries, Incorporated . . . . . . . . . . . . 81,400 2,706,550
------------
19,258,600
INDUSTRIAL & COMMERCIAL MACHINERY-3.71%
Harnischfefger Industries, Incorporated . . . . . . . . . 290,100 10,044,712
Stewart & Stevenson Services,
Incorporated . . . . . . . . . . . . . . . . . . . . . 35,700 1,298,588
------------
11,343,300
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
32
<PAGE> 117
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT-5.18%
Analog Devices, Incorporated* . . . . . . . . . . . . . . . . 145,950 $ 4,962,300
National Semiconductor Corporation* . . . . . . . . . . . . . 33,400 926,850
Varian Associates, Incorporated . . . . . . . . . . . . . . . 180,200 9,956,050
------------
15,845,200
TRANSPORTATION EQUIPMENT-11.93%
General Motors Corporation . . . . . . . . . . . . . . . . . 210,600 9,871,875
Lear Seating Corporation* . . . . . . . . . . . . . . . . . . 329,500 7,537,312
McDonnell Douglas Corporation . . . . . . . . . . . . . . . . 143,300 10,998,275
Northrop Grumman Corporation . . . . . . . . . . . . . . . . 155,400 8,100,225
------------
36,507,687
TRANSPORTATION-4.36%
Consolidated Freightways, Incorporated . . . . . . . . . . . 427,500 9,458,438
Kirby Corporation* . . . . . . . . . . . . . . . . . . . . . 244,300 3,878,262
------------
13,336,700
WHOLESALE & RETAIL TRADE-13.93%
Amgen, Incorporated* . . . . . . . . . . . . . . . . . . . . 38,900 3,129,019
AnnTaylor Stores Corporation* . . . . . . . . . . . . . . . . 68,100 1,583,325
Charming Shoppes, Incorporated . . . . . . . . . . . . . . . 931,000 4,887,750
Dillard Department Stores, Incorporated . . . . . . . . . . . 376,100 11,047,938
Musicland Stores, Incorporated* . . . . . . . . . . . . . . . 391,100 4,008,775
Service Merchandise Company,
Incorporated* . . . . . . . . . . . . . . . . . . . . . . . 531,900 2,792,475
TJX Companies, Incorporated . . . . . . . . . . . . . . . . . 787,600 10,435,700
Universal Corporation . . . . . . . . . . . . . . . . . . . . 226,000 4,746,000
------------
42,630,982
BANKING & FINANCE-3.06%
Citicorp . . . . . . . . . . . . . . . . . . . . . . . . . . 143,000 8,276,125
Federal Home Loan Mortgage Corporation . . . . . . . . . . . 7,900 543,125
FirstFed Financial Corporation* . . . . . . . . . . . . . . . 10,400 152,100
Keycorp . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,601 395,356
------------
9,366,706
INSURANCE-3.15%
Integon Corporation . . . . . . . . . . . . . . . . . . . . . 53,800 914,600
PartnerRe Holdings . . . . . . . . . . . . . . . . . . . . . 298,100 7,787,862
PennCorp Financial Group, Incorporated . . . . . . . . . . . 49,900 923,150
------------
9,625,612
BUSINESS SERVICES-2.42%
Valassis Communications, Incorporated* . . . . . . . . . . . 42,000 7,403,500
------------
HEALTH SERVICES-2.53%
Tenet Healthcare Corporation* . . . . . . . . . . . . . . . . 537,600 7,728,000
------------
TOTAL COMMON STOCK
(Cost $204,128,227) . . . . . . . . . . . . . . . . . . . . $236,375,025
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT-22.74%
$69,585,000 Repurchase Agreement with State Street Bank
& Trust Company dated 06/30/95 at 6.00%, to
be repurchased at $69,619,793 on 07/03/95,
collateralized by $69,535,000 U.S. Treasury
Note, 6.50% due 05/15/97 (valued at
$71,544,909, including interest) . . . . . . . $ 69,585,000
------------
TOTAL INVESTMENTS
(Value Equity Trust) (Cost $273,713,227) . . . . . . . . . $305,960,025
============
</TABLE>
GROWTH AND INCOME TRUST
<TABLE>
<CAPTION>
COMMON STOCKS-89.57% Shares Value
------ -----
<S> <C> <C>
OIL & GAS EXPLORATION-7.90%
Amoco Corporation . . . . . . . . . . . . . . . . . . . . . . 96,000 $ 6,396,000
Atlantic Richfield Company . . . . . . . . . . . . . . . . . 60,000 6,585,000
Chevron Corporation . . . . . . . . . . . . . . . . . . . . . 132,000 6,154,500
Exxon Corporation . . . . . . . . . . . . . . . . . . . . . . 138,000 9,746,250
Unocal Corporation . . . . . . . . . . . . . . . . . . . . . 430,000 11,878,750
------------
40,760,500
FOOD PRODUCTS-4.43%
Anheuser-Busch Companies,
Incorporated . . . . . . . . . . . . . . . . . . . . . . . 100,000 5,687,500
General Mills, Incorporated . . . . . . . . . . . . . . . . . 117,000 6,010,875
PepsiCo, Incororated . . . . . . . . . . . . . . . . . . . . 115,000 5,246,875
Sara Lee Corporation . . . . . . . . . . . . . . . . . . . . 207,000 5,899,500
------------
22,844,750
PAPER, PRINTING & PUBLISHING-7.94%
Gannett Company, Incorporated . . . . . . . . . . . . . . . . 185,000 10,036,250
International Paper Company . . . . . . . . . . . . . . . . . 140,000 12,005,000
Kimberly-Clark Corporation . . . . . . . . . . . . . . . . . 145,000 8,681,875
Minnesota Mining & Manufacturing
Company . . . . . . . . . . . . . . . . . . . . . . . . . . 179,000 10,247,750
------------
40,970,875
CHEMICAL PRODUCTS-13.14%
Abbott Laboratories . . . . . . . . . . . . . . . . . . . . . 160,000 6,480,000
Bristol-Myers Squibb Company . . . . . . . . . . . . . . . . 60,000 4,087,500
The Dial Corporation . . . . . . . . . . . . . . . . . . . . 195,000 4,826,250
The Dow Chemical Company . . . . . . . . . . . . . . . . . . 110,900 7,970,937
Engelhard Corporation . . . . . . . . . . . . . . . . . . . . 180,000 7,717,500
Hafslund Nycomed, ADR, Class B . . . . . . . . . . . . . . . 210,000 4,856,250
Johnson & Johnson . . . . . . . . . . . . . . . . . . . . . . 97,000 6,559,625
Morton International, Incorporated . . . . . . . . . . . . . 270,000 7,897,500
Pfizer, Incorporated . . . . . . . . . . . . . . . . . . . . 118,000 10,900,250
Zeneca Group, PLC, ADR . . . . . . . . . . . . . . . . . . . 127,500 6,534,375
------------
67,830,187
RUBBER & PLASTIC-1.82%
Goodyear Tire & Rubber Company . . . . . . . . . . . . . . . 132,000 5,445,000
Rubbermaid, Incorporated . . . . . . . . . . . . . . . . . . 143,000 3,968,250
------------
9,413,250
BUILDING MATERIAL & CONSTRUCTION-1.28%
Georgia-Pacific Corporation . . . . . . . . . . . . . . . . . 76,200 6,610,350
------------
METAL PRODUCTS-2.09%
Alcan Aluminium, Ltd . . . . . . . . . . . . . . . . . . . . 356,000 10,769,000
------------
INDUSTRIAL & COMMERCIAL MACHINERY-8.50%
Black & Decker Corporation . . . . . . . . . . . . . . . . . 288,100 8,895,087
Dresser Industries, Incorporated . . . . . . . . . . . . . . 280,000 6,230,000
Foster Wheeler Corporation . . . . . . . . . . . . . . . . . 93,000 3,278,250
Hewlett-Packard Company . . . . . . . . . . . . . . . . . . . 115,000 8,567,500
Illinois Tool Works, Incorporated . . . . . . . . . . . . . . 111,000 6,105,000
International Business Machines
Corporation . . . . . . . . . . . . . . . . . . . . . . . . 40,000 3,840,000
York International Corporation . . . . . . . . . . . . . . . 154,200 6,939,000
------------
43,854,837
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
33
<PAGE> 118
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT-4.93%
AMP, Incorporated . . . . . . . . . . . . . . . . . . . . . . 194,000 $ 8,196,500
General Electric Company . . . . . . . . . . . . . . . . . . 110,000 6,201,250
Hubbell, Incorporated, Class B . . . . . . . . . . . . . . . 100,000 5,650,000
Nokia Corporation, ADR . . . . . . . . . . . . . . . . . . . 90,200 5,378,175
------------
25,425,925
TRANSPORTATION EQUIPMENT-2.60%
Chrysler Corporation . . . . . . . . . . . . . . . . . . . . 149,451 7,154,957
Northrop Grumman Corporation . . . . . . . . . . . . . . . . 120,000 6,255,000
------------
13,409,957
TRUCKING, WAREHOUSING AND STORAGE-0.32%
Storage USA, Incorporated . . . . . . . . . . . . . . . . . . 58,200 1,651,425
------------
COMMUNICATION SERVICES-9.09%
American Telephone & Telegragh
Company . . . . . . . . . . . . . . . . . . . . . . . . . . 159,000 8,446,875
BCE, Incorporated . . . . . . . . . . . . . . . . . . . . . . 202,000 6,489,250
NYNEX Corporation . . . . . . . . . . . . . . . . . . . . . . 203,400 8,186,850
U.S. West, Incorporated . . . . . . . . . . . . . . . . . . . 243,860 10,150,672
Viacom, Incorporated, Class B* . . . . . . . . . . . . . . . 160,000 7,420,000
VodaFone Group, PLC, ADR . . . . . . . . . . . . . . . . . . 165,000 6,249,375
------------
46,943,022
ELECTRIC, GAS & SANITARY SERVICES-2.31%
Niagara Mohawk Power Corporation . . . . . . . . . . . . . . 186,700 2,753,825
Pacific Gas & Electric Company . . . . . . . . . . . . . . . 165,000 4,785,000
Pinnacle West Capital Corporation . . . . . . . . . . . . . . 180,000 4,410,000
------------
11,948,825
WHOLESALE & RETAIL TRADE-6.12%
May Department Stores Company . . . . . . . . . . . . . . . . 160,000 6,660,000
McKesson Corporation . . . . . . . . . . . . . . . . . . . . 183,000 8,555,250
J.C. Penney Company, Incorporated . . . . . . . . . . . . . . 128,000 6,144,000
Rite Aid Corporation . . . . . . . . . . . . . . . . . . . . 190,000 4,868,750
Wal-Mart Stores, Incorporated . . . . . . . . . . . . . . . . 200,000 5,350,000
------------
31,578,000
BANKING & FINANCE-5.47%
Citicorp . . . . . . . . . . . . . . . . . . . . . . . . . . 139,000 8,044,625
Federal National Mortgage Association . . . . . . . . . . . . 54,900 5,181,188
Fleet Financial Group, Incorporated . . . . . . . . . . . . . 238,000 8,835,750
Republic of New York Corporation . . . . . . . . . . . . . . 110,000 6,160,000
------------
28,221,563
INSURANCE-3.87%
Chubb Corporation . . . . . . . . . . . . . . . . . . . . . . 126,000 10,095,750
General Re Corporation . . . . . . . . . . . . . . . . . . . 36,000 4,819,500
Marsh & McLennan Companies . . . . . . . . . . . . . . . . . 62,400 5,062,200
------------
19,977,450
REAL ESTATE-0.73%
Post Properties, Incorporated . . . . . . . . . . . . . . . . 125,000 3,781,250
------------
HOLDING & INVESTMENT COMPANIES-3.42%
J.P. Morgan & Company, Incorporated . . . . . . . . . . . . . 170,000 11,921,250
Safeco Corporation . . . . . . . . . . . . . . . . . . . . . 100,000 5,743,750
------------
17,665,000
BUSINESS SERVICES-3.61%
The Dun & Bradstreet Corporation . . . . . . . . . . . . . . 140,000 $ 7,350,000
Novell, Incorporated* . . . . . . . . . . . . . . . . . . . . 265,000 5,283,438
Policy Management Systems Corporation* . . . . . . . . . . . 130,000 5,980,000
------------
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,613,438
TOTAL COMMON STOCKS
(Cost $390,610,720) . . . . . . . . . . . . . . . . . . . . $462,269,604
------------
PREFERRED STOCKS-4.94%
TRANSPORTATION EQUIPMENT-1.32%
Ford Motor Company, Series A . . . . . . . . . . . . . . . . 70,000 6,798,750
-----------
REAL ESTATE-0.99%
Security Capital Pacific Trust . . . . . . . . . . . . . . . 230,550 5,129,738
-----------
HEALTH SERVICES-1.01%
Beverly Enterprises, Incorporated . . . . . . . . . . . . . . 100,000 5,225,000
------------
BUSINESS SERVICES-1.62%
Ceridian Corporation . . . . . . . . . . . . . . . . . . . . 100,000 8,350,000
------------
TOTAL PREFERRED STOCKS
(Cost $22,829,080) . . . . . . . . . . . . . . . . . . . . $ 25,503,488
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
CONVERTIBLE BONDS-2.36%
OIL & GAS EXPLORATION-1.31%
$7,000,000 Noble Affiliates,
Incorporated, 4.25% . . . . . . . . . . . . . . 01/01/03 $ 6,737,500
------------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT-1.05%
3,300,000 General Instrument
Corporation, 5.00% . . . . . . . . . . . . . . . 06/15/00 5,445,000
------------
TOTAL CONVERTIBLE BONDS
(Cost $10,777,495) . . . . . . . . . . . . . . . . . . . . $ 12,182,500
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT-3.13%
$16,147,000 Repurchase Agreement with UBS
Securities, dated 06/30/95 at 6.125%, to be
repurchased at $16,155,242 on 07/03/95,
collateralized by $16,680,000 U.S. Treasury
Note, 5.75%, due 08/15/03 (valued at
$16,500,788, including interest) . . . . . . . $ 16,147,000
------------
TOTAL INVESTMENTS (Growth and
Income Trust) (Cost $440,364,295) . . . . . . . . . . . . . $516,102,592
============
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
34
<PAGE> 119
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
STRATEGIC BOND TRUST
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
U.S. TREASURY OBLIGATIONS-8.45%
U.S. TREASURY NOTES-8.45%
$1,000,000 6.25% . . . . . . . . . . . . . 05/31/00 $ 1,010,620
500,000 6.75% . . . . . . . . . . . . . 04/30/00 515,155
5,000,000 11.875% . . . . . . . . . . . . 11/15/03 6,813,300
-----------
. . . . . . . . . . . . . . . . 8,339,075
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $7,889,522) . . . . . . . . . . . . . $ 8,339,075
-----------
U. S. GOVERNMENT AGENCY AND
MORTGAGE - BACKED OBLIGATIONS-7.94%
FEDERAL HOME LOAN BANK-2.53%
500,000 5.94% . . . . . . . . . . . . . 06/13/00 494,983
1,500,000 6.59% . . . . . . . . . . . . . 08/11/97 1,496,250
3,318,132 759.50%, IO . . . . . . . . . . 07/15/06 510,992
-----------
2,502,225
FEDERAL HOME LOAN MORTGAGE CORPORATION-3.02%
2,104,801 8.00% . . . . . . . . . . . . . 05/01/10 2,144,708
815,452 8.50% . . . . . . . . . . . . . 05/01/08 842,232
-----------
2,986,940
FEDERAL NATIONAL MORTGAGE ASSOCIATION-2.38%
2,400,000 6.50% . . . . . . . . . . . . . 05/01/25 2,349,334
-----------
. . . . . . . . . . . . . . . . . . . . . . .
TOTAL U.S. GOVERNMENT AGENCY AND
MORTGAGE - BACKED OBLIGATIONS
(Cost $7,714,799) . . . . . . . . . . . . . $ 7,838,499
-----------
FOREIGN GOVERNMENT OBLIGATIONS-36.26%
GOVERNMENT OF ARGENTINA-3.59%
5,800,000 FRN, Series L . . . . . . 03/31/05 3,545,250
-----------
GOVERNMENT OF BELGIUM-0.63%
BEF 5,000,000 6.50% . . . . . . . . . . 03/31/05 163,028
BEF 12,000,000 9.00% . . . . . . . . . . 07/30/98 454,545
-----------
. . . . . . . . . . . . . . . . 617,574
GOVERNMENT OF BRAZIL-6.22%
$ 2,601,000 4.00%, Series C . . . . . 04/15/14 1,277,741
1,250,000 6.00% . . . . . . . . . . 09/15/13 603,125
3,637,500 FRN . . . . . . . . . . . 01/01/01 2,928,188
3,000,000 FRN. . . . . . . . . . . . 04/15/24 1,331,250
-----------
6,140,304
GOVERNMENT OF BULGARIA-3.37%
3,000,000 FRN . . . . . . . . . . . 07/28/11 1,252,500
2,250,000 FRN, Series A . . . . . . 07/28/24 1,113,750
3,750,000 FRN, Series A . . . . . . 07/28/12 956,250
-----------
3,322,500
GOVERNMENT OF COSTA RICA-0.35%
700,000 6.25%, Series B . . . . . 05/21/15 346,500
-----------
GOVERNMENT OF DENMARK-0.31%
DKK 600,000 7.00% . . . . . . . . . . 12/15/04 100,213
DKK 1,200,000 9.00% . . . . . . . . . . 10/20/00 210,529
-----------
310,742
GOVERNMENT OF FRANCE-1.42%
FRF 2,300,000 7.50% . . . . . . . . . . 04/25/05 $470,549
FRF 4,400,000 8.00% . . . . . . . . . . 05/12/98 933,195
-----------
1,403,743
GOVERNMENT OF GERMANY-4.11%
DEM 2,350,000 Bundes Obligation
6.375% . . . . . . . . . 05/20/98 1,731,677
DEM 3,230,000 6.875% . . . . . . . . . 05/12/05 2,326,413
-----------
4,058,090
GOVERNMENT OF ITALY-0.99%
ITL 195,000,000 9.50% . . . . . . . . . . 12/01/17 113,133
ITL 1,670,000,000 9.50%, BTPS . . . . . . . 01/01/05 863,756
-----------
976,889
GOVERNMENT OFJAPAN-4.24%
Y. 41,300,000 4.60% . . . . . . . . . . 03/21/05 554,922
Y. 281,500,000 4.90% . . . . . . . . . . 03/20/98 3,636,201
-----------
4,191,123
GOVERNMENT OF MEXICO-2.31%
$ 1,250,000 6.25%, Series A . . . . . 12/31/19 759,375
2,500,000 6.25%, Series B . . . . . 12/31/19 1,518,750
1,538,000 Mexican United States
Rights . . . . . . . . . 12/31/19 2
-----------
2,278,127
GOVERNMENT OF NETHERLANDS-0.76%
NLG 850,000 6.25% . . . . . . . . . . 07/15/98 556,025
NLG 300,000 7.00% . . . . . . . . . . 06/15/05 193,127
-----------
749,151
GOVERNMENT OF POLAND-6.06%
$ 10,000,000 Poland Bear PDI,
Step up to 3.25% . . . . 10/27/14 5,987,500
-----------
GOVERNMENT OF SPAIN-0.79%
ESP 105,500,000 10.00% . . . . . . . . . 02/28/05 783,030
-----------
GOVERNMENT OF UNITED KINGDOM-1.11%
L. 340,000 7.25% . . . . . . . . . . 03/30/98 532,406
L. 355,000 8.50%, Treasury . . . . . 12/07/05 566,479
-----------
1,098,885
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost $35,536,814) . . . . . . . $35,809,406
-----------
CORPORATE BONDS-41.14%
OIL & GAS EXPLORATION-1.59%
1,500,000 Petro PSC Property, 12.50% . . . 06/01/02 1,567,500
-----------
CHEMICALS, RUBBER & PLASTIC-2.36%
1,000,000 Harris Chemical, 10.25% . . . . 07/15/01 907,500
1,500,000 Foamex International,
11.875% . . . . . . . . . . . . 10/01/04 1,425,000
-----------
2,332,500
PAPER, PRINTING & PUBLISHING-1.00%
1,000,000 Stone Container Corporation,
9.875% . . . . . . . . . . . . . 02/01/01 991,250
-----------
METAL & METAL PRODUCTS-2.75%
1,000,000 Renco Metals, Incorporated,
12.00% . . . . . . . . . . . . . 07/15/00 1,005,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
35
<PAGE> 120
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
METAL & METAL PRODUCTS-2.75%
$1,600,000 Ucar Global Enterprises,
12.00% . . . . . . . . . . . . . . . . . . . . . . . . . 01/15/05 $ 1,714,000
-----------
2,719,000
INDUSTRIAL & COMMERICAL MACHINERY-6.33%
1,000,000 Aftermarket Technology
Corporation, 12.00% . . . . . . . . . . . . . . . 08/01/04 1,065,000
1,000,000 Berry Plastic Corporation,
12.25% . . . . . . . . . . . . . . . . . . . . . . 4/15/04 1,010,000
1,000,000 International Semi-Tech
Microelectronic, Step-Up
to 11.50% . . . . . . . . . . . . . . . . . . . . 08/15/03 495,000
1,000,000 Selmer, Incorporated,11.00% . . . . . . . . . . . 05/15/05 975,000
750,000 Speciality Equipment Companies,
Incorporated, 11.375% . . . . . . . . . . . . . . 12/01/03 770,625
1,000,000 Venture Holdings, 9.75% . . . . . . . . . . . . . 04/01/04 868,750
1,000,000 Waters Corporation, 12.75% . . . . . . . . . . . . 09/30/04 1,061,250
-----------
6,245,625
TRANSPORTATION EQUIPMENT-1.49%
306,000 Jordan Industries,
Incorporated, 10.375% . . . . . . . . . . . . . . 08/01/03 282,285
2,000,000 Jordan Industries, Incorporated
Step up to 11.75% . . . . . . . . . . . . . . . . 08/01/05 1,190,000
-----------
1,472,285
TRANSPORTATION-1.20%
2,000,000 Transtar Holdings, L.P.,
Step up to 13.375% . . . . . . . . . . . . . . . . 12/15/03 1,180,000
-----------
COMMUNICATION-5.10%
1,250,000 Adelphia Communications
Corporation, 12.50% . . . . . . . . . . . . . . . 05/15/02 1,243,750
1,500,000 In Flight Phone Corporation,
14.00% . . . . . . . . . . . . . . . . . . . . . . 05/15/02 885,000
1,500,000 Katz Corporation, 12.75% . . . . . . . . . . . . . 11/15/02 1,627,500
500,000 Pro-net Incorporated,
11.875% . . . . . . . . . . . . . . . . . . . . . 06/15/05 505,000
750,000 Rogers Cablesystems,10.00% . . . . . . . . . . . . 11/15/02 770,625
-----------
5,031,875
WHOLESALE & RETAIL TRADE-2.79%
1,000,000 Cole National Corporation,
11.25% . . . . . . . . . . . . . . . . . . . . . . 10/01/01 935,000
750,000 Finlay Fine Jewelry Corporation,
10.625% . . . . . . . . . . . . . . . . . . . . . 05/01/03 716,250
1,000,000 Parisian, Incorporated,
9.875% . . . . . . . . . . . . . . . . . . . . . . 07/15/03 780,000
500,000 Pharmaceutical Marketing,
6.25% . . . . . . . . . . . . . . . . . . . . . . 02/01/03 327,500
-----------
2,758,750
FOOD STORES-2.44%
1,500,000 Pathmark Stores, Incorporated,
9.625% . . . . . . . . . . . . . . . . . . . . . . 05/01/03 1,462,500
1,000,000 Penn Traffic Company, New
9.625% . . . . . . . . . . . . . . . . . . . . . . 04/15/05 942,500
-----------
2,405,000
EATING & DRINKING PLACES-1.22%
750,000 Carrols Corporation, 11.50% . . . . . . . . . . . 08/15/03 718,125
$750,000 Family Restaurants, 9.75% . . . . . . . . . . . . 02/01/02 $ 487,500
-----------
1,205,625
BANKING & FINANCE-7.01%
1,000,000 Indahkiat, 11.375% . . . . . . . . . . . . . . . . 06/15/99 500,000
700,000 Olympic Financial, 13.00% . . . . . . . . . . . . 05/01/00 512,500
3,600,000 Paine Webber, Incorporated,
6.30% . . . . . . . . . . . . . . . . . . . . . . 02/15/96 3,564,000
1,000,000 U.S. Banknote Corporation,
11.625% . . . . . . . . . . . . . . . . . . . . . 08/01/02 720,000
1,500,000 U.S. Leasing International,
8.45% . . . . . . . . . . . . . . . . . . . . . . 01/25/05 1,628,985
-----------
6,925,485
HOTELS, MOTELS & OTHER LODGING PLACES-0.74%
750,000 Bally's Grand, Incoporated,
Series B, 11.875% . . . . . . . . . . . . . . . . 03/01/05 731,250
-----------
AUTOMOTIVE & OTHER REPAIR SERVICES-0.75%
1,000,000 Envirotest Systems
Corporation, 9.625% . . . . . . . . . . . . . . . 04/01/03 740,000
-----------
MOTION PICTURES, AMUSEMENT & RECREATION SERVICES-1.23%
1,529,625 Trump Taj Mahal Funding,
Incorporated, 11.35% . . . . . . . . . . . . . . . 11/15/99 1,212,228
7,500 Capital Gaming International,
Zero coupon . . . . . . . . . . . . . . . . . . . 08/01/95 6,667
-----------
1,218,894
HEALTH SERVICES-2.13%
1,000,000 Dade International,
Incorporated, 13.00% . . . . . . . . . . . . . . . 02/01/05 1,050,000
1,000,000 National Medical Enterprises,
Incorporated, 10.125% . . . . . . . . . . . . . . 03/01/05 1,056,250
-----------
2,106,250
TOBACCO MANUFACTURERS-1.01%
1,000,000 Consolidated Cigar, 10.50% . . . . . . . . . . . . 03/01/03 995,000
-----------
TOTAL CORPORATE BONDS
(Cost $41,270,997) . . . . . . . . . . . . . . . . . . . . . $40,626,289
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
WARRANTS-0.01%
BPL Holdings Corporation,
due 04/15/04 . . . . . . . . . . . . . . . . . . . . . . . . 1,000 12,500
Capital Gaming International,
Units, due 02/01/99 . . . . . . . . . . . . . . . . . . . . . 1 0
-----------
TOTAL WARRANTS
(Cost $0) . . . . . . . . . . . . . . . . . . . . . . . . . . $ 12,500
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT-6.20%
$6,118,000 Repurchase Agreement with UBS Securities,
dated 06/30/95 at 6.05%, to be repurchased at
$6,121,084 on 07/03/95, collateralized by
$3,865,000 U.S.Treasury Bond, 14.00%
due 11/15/11 (valued at $6,309,613,
including interest) . . . . . . . . . . . . . . . $ 6,118,000
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
36
<PAGE> 121
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
TOTAL INVESTMENTS (Strategic Bond
Trust) (Cost $98,530,132) . . . . . . . . . . $ 98,743,769
============
</TABLE>
GLOBAL GOVERNMENT BOND TRUST
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS-5.22%
FEDERAL HOME LOAN MORTGAGE CORPORATION-2.83%
$6,000,000 6.50% . . . . . . . . . . . . . . 06/08/00 $ 5,992,500
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION-2.39%
5,000,000 6.85% . . . . . . . . . . . . . . 05/26/00 5,062,500
------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (Cost $11,005,160) . . . . . . . $ 11,055,000
------------
FOREIGN GOVERNMENT OBLIGATIONS-62.57%
COMMONWEALTH OF AUSTRALIA-8.87%
AUD 15,000,000 New South Wales Treasury,
7.00% . . . . . . . . . . . 04/01/04 9,149,444
AUD 5,000,000 Queensland Treasury,
6.50% . . . . . . . . . . . 06/14/05 2,888,552
AUD 10,000,000 Queensland Treasury,
8.00% . . . . . . . . . . . 05/14/03 6,752,128
------------
18,790,124
GOVERNMENT OF BELGIUM-3.13%
Y. 500,000,000 5.00% . . . . . . . . . . . 12/17/99 6,639,726
------------
GOVERNMENT OF CANADA-7.83%
CAD 12,000,000 Canada (Government of ),
8.00% . . . . . . . . . . . 06/01/23 8,164,840
CAD 12,000,000 Quebec (Province of),
7.50% . . . . . . . . . . . 12/01/03 8,426,954
------------
16,591,794
REPUBLIC OF FINLAND-2.32%
$ 5,000,000 6.75% . . . . . . . . . . . 11/24/97 4,907,500
------------
GOVERNMENT OF FRANCE-4.09%
FRF 200,000,000 Oat Strip,
Zero coupon . . . . . . . . 04/25/23 4,167,998
FRF 25,000,000 Oat Principle, 5.50% . . . 04/25/04 4,483,381
------------
8,651,379
REPUBLIC OF ITALY-18.53%
Y. 500,000,000 FRN . . . . . . . . . . . . 07/26/99 5,865,141
$ 7,500,000 5.625% . . . . . . . . . . 06/09/98 7,338,000
ITL 15,000,000,000 8.50% . . . . . . . . . . . 08/01/99 8,142,399
ITL 15,000,000,000 10.00% . . . . . . . . . . 08/01/03 8,786,860
ITL 15,000,000,000 12.00% . . . . . . . . . . 09/01/02 9,119,633
------------
39,252,033
GOVERNMENT OF SPAIN-10.12%
ESP 1,500,000,000 7.50% . . . . . . . . . . . 06/15/02 11,531,888
ESP1,500,000,000 8.00% . . . . . . . . . . . 05/30/04 9,894,737
------------
21,426,625
GOVERNMENT OF SWEDEN-7.68%
Y. 250,000,000 3.50% . . . . . . . . . . . 01/12/04 $ 3,042,003
Y. 200,000,000 3.875% . . . . . . . . . . 06/21/99 2,530,824
SEK 110,000,000 6.00% . . . . . . . . . . . 02/09/05 10,694,704
------------
16,267,531
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost $136,906,575) . . . . . . . $132,526,712
------------
SUPRANATIONAL ORGANIZATIONS-10.56%
European Investment Bank:
L. 4,000,000 6.00% . . . . . . . . . . . 08/10/99 5,851,541
DEM 10,000,000 7.50% . . . . . . . . . . . 11/04/02 7,419,460
L. 6,000,000 8.00% . . . . . . . . . . . 06/10/03 9,100,682
------------
22,371,683
TOTAL SUPRANATIONAL
ORGANIZATIONS (Cost $21,490,773) . . . . . . . $ 22,371,683
------------
CORPORATE BONDS-7.32%
BANKING & FINANCE-7.32%
FRF 25,000,000 Credit Foncier, 6.00% . . . 11/15/04 4,516,877
Y. 500,000,000 LKB Baden Wurtenberg,
3.50% . . . . . . . . . . . 01/26/04 6,171,391
FRF 25,000,000 Unendic, 5.25% . . . . . . 10/25/99 4,797,217
------------
15,485,485
TOTAL CORPORATE BONDS
(Cost $13,204,977) . . . . . . . . . . . . . $ 15,485,485
------------
OTHER BONDS (FOREIGN GOVERNMENT-BACKED
OR GUARANTEED)-12.02%
ELECTRIC, GAS & UTILITIES-5.54%
$ 12,000,000 Tokyo Gas Company,
5.50% . . . . . . . . . . . 07/21/98 11,730,000
------------
BANKING & FINANCE-6.48%
DEM 5,000,000 Bundes Republic of
Germany, 6.75% . . . . . . 04/22/03 3,568,717
DEM 5,000,000 Finnish Export Credit,
6.75% . . . . . . . . . . . 09/29/03 2,867,267
DEM 10,000,000 Treuhandanstalt,
7.125% . . . . . . . . . . 01/29/03 7,292,910
------------
13,728,894
TOTAL OTHER BONDS (Foreign
Government-Backed Or Guaranteed)
(Cost $25,385,671) . . . . . . . . . . . . . $ 25,458,894
------------
SHORT TERM INVESTMENT-2.31%
$4,897,000 General Electric Capital
Corporation, 6.20% . . . . 07/03/95 $ 4,897,000
------------
TOTAL INVESTMENTS
(Global Government Bond Trust)
(Cost $207,993,156) . . . . . . . . . . . . . $211,794,774
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
37
<PAGE> 122
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
INTERNATIONAL GROWTH & INCOME TRUST
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS-85.35%
FORESTRY-0.36%
Sumitomo Forestry Company . . . . . . . . . . . 12,000 $ 193,971
----------
MINING-2.20%
Broken Hill Proprietary Company, Ltd . . . . . 36,740 452,277
Daido Steel . . . . . . . . . . . . . . . . . . 30,000 141,585
RTZ Corporation PLC . . . . . . . . . . . . . . 10,900 142,050
Showa Aluminum Corporation . . . . . . . . . . 40,000 163,294
Ugine SA . . . . . . . . . . . . . . . . . . . 1,600 112,466
Western Mining Corporation Holdings . . . . . . 30,100 165,586
----------
1,177,257
OIL & GAS EXPLORATION-3.69%
British Gas PLC . . . . . . . . . . . . . . . . 30,700 141,336
The British Petroleum Company . . . . . . . . . 19,000 136,117
Cosmo Oil . . . . . . . . . . . . . . . . . . . 50,000 282,579
Group Brussels Lambert SA . . . . . . . . . . . 700 93,757
Norsk Hydro AS. . . . . . . . . . . . . . . . . 12,000 501,298
Royal Dutch Petroleum Company . . . . . . . . . 2,540 310,144
Shell Transport & Trading Company . . . . . . 20,500 245,153
Total, S.A. 'B Shares . . . . . . . . . . . . 4,350 261,829
----------
1,972,213
BUILDING MATERIALS & CONSTRUCTION-4.64%
Aker AS, Class B . . . . . . . . . . . . . . . 6,000 75,438
BICC, PLC . . . . . . . . . . . . . . . . . . . 11,700 55,260
Bilfinger & Berger Bauaktiengesellschaft AG . . 235 108,506
Bouygues . . . . . . . . . . . . . . . . . . . 1,350 161,680
Compagnie De Saint.-Gobain . . . . . . . . . . 710 85,763
Holderbank Financier Glarus AG . . . . . . . . 160 131,307
Katsumura Construction Company . . . . . . . . 40,000 212,377
Lafarge Coppee SA. . . . . . . . . . . . . . . 1,850 143,843
Matsui Construction Company . . . . . . . . . . 10,000 87,782
Minibea Company . . . . . . . . . . . . . . . . 35,000 224,648
Nikkiso Company . . . . . . . . . . . . . . . . 30,000 204,944
Nippon Kinzoku Company . . . . . . . . . . . . 15,000 64,598
Nippon Road Company, Ltd . . . . . . . . . . . 25,000 247,773
Okumura Corporation . . . . . . . . . . . . . . 25,000 237,449
Tarmac . . . . . . . . . . . . . . . . . . . . 73,400 131,315
Tomkins, PLC . . . . . . . . . . . . . . . . . 16,000 57,122
Toshiba Tungaloy Company . . . . . . . . . . . 10,000 40,352
Toyo Construction Company . . . . . . . . . . . 40,000 209,073
----------
2,479,229
FOOD PRODUCTS-4.74%
Danone . . . . . . . . . . . . . . . . . . . . 1,320 222,029
Grand Metropolitan, PLC . . . . . . . . . . . . 20,000 122,608
Guinness . . . . . . . . . . . . . . . . . . . 16,500 124,111
Hillsdown Holdings . . . . . . . . . . . . . . 46,500 133,843
Itoham Foods . . . . . . . . . . . . . . . . . 25,000 191,729
Izumiya Company . . . . . . . . . . . . . . . . 13,000 210,135
Nagasakiya Company . . . . . . . . . . . . . . 10,000 44,953
Nestle SA . . . . . . . . . . . . . . . . . . . 230 239,488
Nippon Suisan Kaisha . . . . . . . . . . . . . 40,000 189,251
Promodes . . . . . . . . . . . . . . . . . . . 960 218,665
Scottish & Newcastle Breweries . . . . . . . . 15,000 131,911
Snow Brand Milk Products Company, Ltd . . . . . 25,000 $ 196,154
Tesco, PLC . . . . . . . . . . . . . . . . . . 33,000 152,187
Unilever NV . . . . . . . . . . . . . . . . . . 1,500 195,160
United Biscuits, PLC . . . . . . . . . . . . . 31,000 157,999
----------
2,530,224
FOOD STORES-0.55%
Carrefour . . . . . . . . . . . . . . . . . . . 425 217,702
Nichii Company . . . . . . . . . . . . . . . . 7,000 76,066
----------
. . . . . . . . . . . . . . . . . . . . . . 293,768
TEXTILE PRODUCTS-0.98%
Compagnie Financiere Richemont AG,
Series A . . . . . . . . . . . . . . . . . . 140 172,644
Kanematsu Corporation . . . . . . . . . . . . . 26,000 98,165
Kurabo Industries . . . . . . . . . . . . . . . 70,000 252,725
----------
523,538
FURNITURE & FIXTURES-0.85%
BIC . . . . . . . . . . . . . . . . . . . . . . 525 86,576
Nichiban Company . . . . . . . . . . . . . . . 8,000 43,230
Okamura . . . . . . . . . . . . . . . . . . . . 15,000 107,250
Ricoh . . . . . . . . . . . . . . . . . . . . . 25,000 214,737
----------
451,793
PAPER, PRINTING & PUBLISHING-1.55%
Elsevier NV . . . . . . . . . . . . . . . . . . 8,200 96,844
Gakken Company, Ltd . . . . . . . . . . . . . . 10,000 61,471
The News Corporation . . . . . . . . . . . . . 47,700 266,476
Nippon Paper Industries . . . . . . . . . . . . 30,000 194,679
Orkla, Class B . . . . . . . . . . . . . . . . 2,000 84,685
Pearson . . . . . . . . . . . . . . . . . . . . 9,000 85,158
Tomoegawa Paper Company . . . . . . . . . . . . 10,000 38,228
----------
827,541
CHEMICAL & PHARMACUETICAL PRODUCTS-7.95%
Allied Colloids . . . . . . . . . . . . . . . . 69,000 135,513
Bayer AG . . . . . . . . . . . . . . . . . . . 410 101,992
BOC Group . . . . . . . . . . . . . . . . . . . 8,000 102,158
Central Glass Company . . . . . . . . . . . . . 10,000 33,980
Christian Dior SA . . . . . . . . . . . . . . . 2,035 179,202
Chugai Pharmaceutical . . . . . . . . . . . . . 15,000 151,849
DSM NV . . . . . . . . . . . . . . . . . . . . 1,000 86,157
Daichi Pharmaceuticals . . . . . . . . . . . . 9,000 130,612
Daikin Industries . . . . . . . . . . . . . . . 25,000 201,168
Glaxo Holdings . . . . . . . . . . . . . . . . 31,700 388,920
Hafslund Nycomed, Class B . . . . . . . . . . . 8,000 184,945
Hoechst AG . . . . . . . . . . . . . . . . . . 700 151,253
Hoxan Corporation . . . . . . . . . . . . . . . 26,000 161,666
Kaken Pharmaceutical . . . . . . . . . . . . . 25,000 237,449
Kumiai Chemical Industry Company . . . . . . . 8,000 46,723
L Oreal . . . . . . . . . . . . . . . . . . . . 210 52,681
Lion Corporation . . . . . . . . . . . . . . . 10,000 57,814
Mitsubishi Kasei Company . . . . . . . . . . . 50,000 214,147
Mitsui Toatsu Chemicals, Incorporated . . . . . 50,000 194,060
Reckitt & Coleman . . . . . . . . . . . . . . . 14,500 153,340
Rhone-Poulenc SA, Class A . . . . . . . . . . . 3,750 84,489
Roche Holdings AG Genuscheine . . . . . . . . . 47 302,857
SKW Trostberg AG . . . . . . . . . . . . . . . 1,000 20,971
Sandoz AG . . . . . . . . . . . . . . . . . . . 390 268,919
Sanofi . . . . . . . . . . . . . . . . . . . . 2,950 163,272
</TABLE>
The accompanying notes are an integral part of the financial statements.
38
<PAGE> 123
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
CHEMICAL & PHARMACUETICAL PRODUCTS-CONTINUED
Schering AG . . . . . . . . . . . . . . . . . . . . . . . 1,000 $69,856
SmithKline Beecham, Class A . . . . . . . . . . . . . . . 15,500 140,252
Synthelabo . . . . . . . . . . . . . . . . . . . . . . . 4,225 239,761
----------
4,246,063
METAL PRODUCTS-2.25%
Glynwed, PLC . . . . . . . . . . . . . . . . . . . . . . 26,000 134,583
Marubeni Corporation . . . . . . . . . . . . . . . . . . 75,000 381,393
Mitsubishi Metal Corporation . . . . . . . . . . . . . . 50,000 224,176
NKK Corporation . . . . . . . . . . . . . . . . . . . . . 50,000 117,397
Nissho-Iwai Company . . . . . . . . . . . . . . . . . . . 30,000 120,701
Ryobi, Ltd . . . . . . . . . . . . . . . . . . . . . . . 15,000 74,332
Thyssen AG . . . . . . . . . . . . . . . . . . . . . . . 500 93,105
Totoku Electric . . . . . . . . . . . . . . . . . . . . . 10,000 52,504
U.S. Industries, Incorporated . . . . . . . . . . . . . . 367 5,000
----------
1,203,191
INDUSTRIAL & COMMERCIAL MACHINERY-2.76%
BTR . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,100 132,610
Fuji Heavy, Ltd . . . . . . . . . . . . . . . . . . . . . 40,000 148,664
Hitachi, Ltd . . . . . . . . . . . . . . . . . . . . . . 50,000 498,496
Ish Ikawajima-Harima Heavy Industries . . . . . . . . . . 70,000 275,028
Shin Nippon Air Technologies Company . . . . . . . . . . 4,000 52,386
Sony Corporation . . . . . . . . . . . . . . . . . . . . 5,000 240,104
Toyo Umpanki . . . . . . . . . . . . . . . . . . . . . . 5,000 17,816
Toyoda Machine Works, Ltd . . . . . . . . . . . . . . . . 15,000 106,365
----------
1,471,469
ELECTRONIC & ELECTRICAL EQUIPMENT AND COMPONENTS-3.27%
Alps Electric Company . . . . . . . . . . . . . . . . . . 20,000 209,545
Brown Boveri & Cie AG, Class A . . . . . . . . . . . . . 130 134,572
Dixons Group . . . . . . . . . . . . . . . . . . . . . . 28,000 114,212
General Electric Company . . . . . . . . . . . . . . . . 21,000 102,523
Hitachi Software Engineering . . . . . . . . . . . . . . 5,000 104,419
Intec, Incorporated . . . . . . . . . . . . . . . . . . . 10,000 120,247
Largardere Groupe . . . . . . . . . . . . . . . . . . . . 4,620 95,709
Legrand . . . . . . . . . . . . . . . . . . . . . . . . . 400 63,489
Legrand, Pfd. . . . . . . . . . . . . . . . . . . . . . . 1,150 113,785
Minolta Camera Company . . . . . . . . . . . . . . . . . 40,000 146,304
NEC Corporation . . . . . . . . . . . . . . . . . . . . . 40,000 438,440
Pioneer Electric Corporation . . . . . . . . . . . . . . 6,000 101,941
----------
1,745,287
TRANSPORTATION EQUIPMENT-5.42%
Cycle & Carraige . . . . . . . . . . . . . . . . . . . . 9,000 80,501
Daimler Benz AG . . . . . . . . . . . . . . . . . . . . . 275 126,279
Honda Motor Company . . . . . . . . . . . . . . . . . . . 13,000 199,398
Inchcape . . . . . . . . . . . . . . . . . . . . . . . . 6,000 28,147
Konica Corporation . . . . . . . . . . . . . . . . . . . 20,000 122,471
M.A.N. AG . . . . . . . . . . . . . . . . . . . . . . . . 650 167,571
Mitsubishi Motor Corporation . . . . . . . . . . . . . . 25,000 206,183
Nissan Diesel . . . . . . . . . . . . . . . . . . . . . . 30,000 135,567
Renault . . . . . . . . . . . . . . . . . . . . . . . . . 6,800 213,058
Rexam, PLC . . . . . . . . . . . . . . . . . . . . . . . 8,000 61,384
Rolls Royce, PLC . . . . . . . . . . . . . . . . . . . . 48,000 133,199
Sanden . . . . . . . . . . . . . . . . . . . . . . . . . 10,000 48,611
Sembawang Corporation, Ltd . . . . . . . . . . . . . . . 18,000 109,481
Tan Chong Motor Holdings Berhad . . . . . . . . . . . . . 95,000 107,406
Tokia Rika Denki . . . . . . . . . . . . . . . . . . . . 8,000 79,854
Toyo Tire & Rubber . . . . . . . . . . . . . . . . . . . 50,000 $ 185,240
Toyota Motor Company . . . . . . . . . . . . . . . . . . 20,000 396,437
Vickers . . . . . . . . . . . . . . . . . . . . . . . . . 19,000 62,393
Volkswagen AG . . . . . . . . . . . . . . . . . . . . . . 800 231,117
Zexel Corporation . . . . . . . . . . . . . . . . . . . . 30,000 202,466
----------
2,896,763
MISCELLANEOUS MANUFACTURING-4.39%
Air Liquide . . . . . . . . . . . . . . . . . . . . . . . 1,350 215,666
B.A.T. Industries . . . . . . . . . . . . . . . . . . . . 23,000 175,929
Eaux (Cie Generale Des) . . . . . . . . . . . . . . . . . 2,440 271,600
Fuji Denki Reiki . . . . . . . . . . . . . . . . . . . . 10,250 111,383
Hanson, PLC . . . . . . . . . . . . . . . . . . . . . . . 60,600 212,012
Japan Tobacco, Incorporated . . . . . . . . . . . . . . . 19 169,925
Kitz Corporation . . . . . . . . . . . . . . . . . . . . 30,000 130,966
Nippon Zeon Company . . . . . . . . . . . . . . . . . . . 30,000 130,612
Seita . . . . . . . . . . . . . . . . . . . . . . . . . . 7,200 216,390
Solvay Et Cie, Class A . . . . . . . . . . . . . . . . . 165 91,357
Sumitomo Metal Industries . . . . . . . . . . . . . . . . 150,000 391,127
Ube Industries . . . . . . . . . . . . . . . . . . . . . 50,000 174,621
Yamaha Corporation. . . . . . . . . . . . . . . . . . . . 5,000 54,569
----------
2,346,157
TRANSPORTATION-2.62%
East Japan Railway Company . . . . . . . . . . . . . . . 70 359,271
Kvaerner Industrier, Class B . . . . . . . . . . . . . . 3,500 153,310
Peninsular & Orient Steam NAV . . . . . . . . . . . . . . 15,000 137,994
Senko Company . . . . . . . . . . . . . . . . . . . . . . 35,000 212,672
Singapore International Airlines . . . . . . . . . . . . 14,000 129,231
Swire Pacific . . . . . . . . . . . . . . . . . . . . . . 36,000 274,497
Tobu Railway Company . . . . . . . . . . . . . . . . . . 20,000 124,830
YamatoTransport . . . . . . . . . . . . . . . . . . . . . 800 8,514
----------
1,400,318
COMMUNICATION SERVICES-3.12%
Alcatel Alsthom Cie Generale D Electric . . . . . . . . . 2,830 254,809
British Telecommunications . . . . . . . . . . . . . . . 63,700 397,092
Cable and Wireless . . . . . . . . . . . . . . . . . . . 18,400 125,821
Ciba-Geigy Corporation AG . . . . . . . . . . . . . . . . 590 432,445
Hong Kong Telecommunications, Ltd . . . . . . . . . . . . 144,400 285,523
Television Broadcasts . . . . . . . . . . . . . . . . . . 48,000 168,730
----------
1,664,420
ELECTRIC, GAS & SANITARY SERVICES-6.51%
CSR . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,100 138,541
Electrabel . . . . . . . . . . . . . . . . . . . . . . . 800 169,022
Fuji Electric . . . . . . . . . . . . . . . . . . . . . . 40,000 201,522
Hong Kong Electric Holdings . . . . . . . . . . . . . . . 48,000 163,147
Matsushia Electric Works, Ltd. . . . . . . . . . . . . . 30,000 467,229
Osaka Gas Company . . . . . . . . . . . . . . . . . . . . 50,000 184,650
Scottish Hydro Electric, PLC . . . . . . . . . . . . . . 21,000 106,865
Shikoku Electric Power, Incorporated . . . . . . . . . . 15,000 417,674
Siemens AG . . . . . . . . . . . . . . . . . . . . . . . 605 300,345
Societe National Elf Aquitaine . . . . . . . . . . . . . 2,980 220,217
Tohoku Electric Power Company . . . . . . . . . . . . . . 10,000 277,270
Tractobel . . . . . . . . . . . . . . . . . . . . . . . . 330 119,780
Veba AG . . . . . . . . . . . . . . . . . . . . . . . . . 1,040 408,750
Yorkshire Electricity Group . . . . . . . . . . . . . . . 13,600 149,229
Yorkshire Water . . . . . . . . . . . . . . . . . . . . . 17,000 155,717
----------
3,479,959
</TABLE>
The accompanying notes are an integral part of the financial statements.
39
<PAGE> 124
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
WHOLESALE & RETAIL TRADE-2.71%
Argyll Group . . . . . . . . . . . . . . . . . . . . . . 30,800 $ 164,327
Ava Allgemeine Handles-Der Verbr AG . . . . . . . . . . . 270 105,434
Daiei, Incorporated . . . . . . . . . . . . . . . . . . . 20,000 243,054
Kawasho Corporation . . . . . . . . . . . . . . . . . . . 17,000 70,202
Kingfisher . . . . . . . . . . . . . . . . . . . . . . . 18,500 124,886
Mitsukoshi, Ltd . . . . . . . . . . . . . . . . . . . . . 20,000 143,000
Nippon Seiko . . . . . . . . . . . . . . . . . . . . . . 35,000 201,935
Sears, PLC . . . . . . . . . . . . . . . . . . . . . . . 80,800 127,850
Takashimaya Company, Ltd . . . . . . . . . . . . . . . . 20,000 269,011
-----------
1,449,699
BANKING & FINANCE-20.84%
Abbey National . . . . . . . . . . . . . . . . . . . . . 22,000 163,732
Allianz AG Holdings . . . . . . . . . . . . . . . . . . . 90 160,625
Amoy Properties . . . . . . . . . . . . . . . . . . . . . 227,000 199,488
Asahi Bank, Ltd . . . . . . . . . . . . . . . . . . . . . 10,000 106,778
CIC Union Europe . . . . . . . . . . . . . . . . . . . . 700 45,019
CIE Financiale . . . . . . . . . . . . . . . . . . . . . 2,190 132,637
Cheung Kong Holdings . . . . . . . . . . . . . . . . . . 99,000 490,023
Chubb Security . . . . . . . . . . . . . . . . . . . . . 15,600 77,897
Chuo Trust and Banking . . . . . . . . . . . . . . . . . 20,000 226,535
Credit Local France . . . . . . . . . . . . . . . . . . . 2,960 274,568
Credit Suisse Holdings . . . . . . . . . . . . . . . . . 2,175 199,273
Dai Ichi Kangyo Bank . . . . . . . . . . . . . . . . . . 30,000 540,561
Daishi Bank . . . . . . . . . . . . . . . . . . . . . . . 15,000 103,888
Daiwa Securities . . . . . . . . . . . . . . . . . . . . 20,000 210,961
Deutsche Bank AG . . . . . . . . . . . . . . . . . . . . 5,050 245,406
Deutsche Fpandbrief & Hypobk . . . . . . . . . . . . . . 240 122,009
Deutsche Fpandbrief & Hypobk, New . . . . . . . . . . . . 48 24,402
Development Bank of Singapore . . . . . . . . . . . . . . 11,000 125,152
Diamond Lease Company . . . . . . . . . . . . . . . . . . 20,000 297,328
Diawa Bank . . . . . . . . . . . . . . . . . . . . . . . 60,000 541,561
Fukui Bank . . . . . . . . . . . . . . . . . . . . . . . 30,000 161,052
Generale De Banque . . . . . . . . . . . . . . . . . . . 275 88,360
HSBS Holdings, ORD . . . . . . . . . . . . . . . . . . . 9,000 116,144
HSBS Holdings . . . . . . . . . . . . . . . . . . . . . . 16,800 215,488
The Hokkaido Takushoku Bank, Ltd . . . . . . . . . . . . 90,000 246,357
Hyakugo Bank . . . . . . . . . . . . . . . . . . . . . . 25,000 175,506
Industrial Bank Japan . . . . . . . . . . . . . . . . . . 5,000 130,376
International Nederlanden Groep . . . . . . . . . . . . . 1,700 94,024
Lloyds Bank . . . . . . . . . . . . . . . . . . . . . . . 21,000 208,219
Mepc . . . . . . . . . . . . . . . . . . . . . . . . . . 21,400 130,170
Mitsui Trust & Banking . . . . . . . . . . . . . . . . . 22,000 202,466
Muenchener Rueckversicherung . . . . . . . . . . . . . . 195 427,270
Nanto Bank, Ltd . . . . . . . . . . . . . . . . . . . . . 15,000 128,311
National Australia Bank, Ltd. . . . . . . . . . . . . . . 37,800 298,754
Nippon Credit Bank . . . . . . . . . . . . . . . . . . . 40,000 198,218
Nomura Securities Company . . . . . . . . . . . . . . . . 35,000 611,173
Public Bank Berhad . . . . . . . . . . . . . . . . . . . 190,000 424,733
Redland . . . . . . . . . . . . . . . . . . . . . . . . . 15,000 98,158
Reuters . . . . . . . . . . . . . . . . . . . . . . . . . 16,500 137,362
The Royal Bank of Scotland, PLC . . . . . . . . . . . . . 23,000 156,361
Sakura Bank . . . . . . . . . . . . . . . . . . . . . . . 40,000 417,675
Shiga Bank . . . . . . . . . . . . . . . . . . . . . . . 16,000 111,380
Schweizerische Bankgesellschaft . . . . . . . . . . . . . 180 186,487
Schweizerischer Bankverein . . . . . . . . . . . . . . . 490 173,617
Schweiz Ruckversicherungs . . . . . . . . . . . . . . . . 170 130,951
Sime Darby Berhad . . . . . . . . . . . . . . . . . . . . 87,000 242,658
Societe Generale . . . . . . . . . . . . . . . . . . . . 1,880 $ 2,197,296
Standard Charter Bank . . . . . . . . . . . . . . . . . . 26,000 138,097
Sumitomo Bank . . . . . . . . . . . . . . . . . . . . . . 4,000 69,376
Tokio Marine & Fire Insurance Company . . . . . . . . . . 30,000 344,051
Willis Corroon Group, PLC . . . . . . . . . . . . . . . . 45,000 107,342
Yasuda Trust & Banking . . . . . . . . . . . . . . . . . 50,000 327,414
Zurich Versicherung . . . . . . . . . . . . . . . . . . . 100 125,488
-----------
11,130,670
REAL ESTATE-1.63%
D.B.S. Land . . . . . . . . . . . . . . . . . . . . . . . 26,000 81,488
Daito Trust Construction . . . . . . . . . . . . . . . . 3,000 28,140
Mitsui Fudosan Company . . . . . . . . . . . . . . . . . 15,000 171,848
New World Development . . . . . . . . . . . . . . . . . . 51,000 169,719
Shibusawa Warehouse . . . . . . . . . . . . . . . . . . . 35,000 187,895
Tokyu Land Corporation . . . . . . . . . . . . . . . . . 55,000 233,614
-----------
872,704
HOLDING & INVESTMENT COMPANIES-1.44%
AXA Company . . . . . . . . . . . . . . . . . . . . . . . 3,510 189,564
Guardian Royal Exchange . . . . . . . . . . . . . . . . . 59,500 195,390
Southcorp Holdings, Ltd . . . . . . . . . . . . . . . . . 70,000 139,805
TNT . . . . . . . . . . . . . . . . . . . . . . . . . . . 109,700 144,243
Uni-Charm . . . . . . . . . . . . . . . . . . . . . . . . 5,000 97,929
-----------
766,931
MOTION PICTURES, AMUSEMENT & RECREATION SERVICES-0.48%
Granada Group, PLC . . . . . . . . . . . . . . . . . . . 14,500 140,658
Television Francaise . . . . . . . . . . . . . . . . . . 1,180 116,145
-----------
256,803
HOTELS, MOTELS & OTHER LODGING PLACES-0.25%
Forte . . . . . . . . . . . . . . . . . . . . . . . . . . 37,000 133,859
-----------
ENGINEERING AND CONSTRUCTION-0.15%
Toshiba Engineering & Construction . . . . . . . . . . . 10,000 82,001
-----------
TOTAL COMMON STOCK
(Cost $46,369,079) . . . . . . . . . . . . . . . . . . $45,595,828
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
FOREIGN GOVERNMENT OBLIGATIONS-12.46%
GOVERNMENT OF CANADA-0.70%
CAD 100,000 8.00% . . . . . . . . . . . . . . . . . 06/01/23 $ 70,225
CAD 380,000 9.75% . . . . . . . . . . . . . . . . . 06/01/01 303,236
-----------
. . . . . . . . . . . . . . . . . . . . 373,461
GOVERNMENT OF DENMARK-0.38%
DKK 1,100,000 8.00% . . . . . . . . . . . . . . . . . 11/15/01 200,670
-----------
GOVERNMENT OF FRANCE-1.51%
FRF 1,500,000 6.75% . . . . . . . . . . . . . . . . . 10/25/03 294,666
FRF 2,500,000 7.50% . . . . . . . . . . . . . . . . . 04/25/05 511,466
-----------
806,132
GOVERNMENT OF GREAT BRITAIN-1.14%
L. 200,000 United Kingdom Treasury
6.75% . . . . . . . . . . . . . . . . . 11/26/04 282,667
L. 200,000 United Kingdom Conversion
9.00% . . . . . . . . . . . . . . . . . 03/03/00 327,393
-----------
610,060
</TABLE>
The accompanying notes are an integral part of the financial statements.
40
<PAGE> 125
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
GOVERNMENT OF GERMANY-2.73%
DEM 500,000 7.375% . . . . . . . . . . . . 01/03/20 $ 369,888
DEM 1,360,000 9.00% . . . . . . . . . . . . 10/20/00 1,089,790
-----------
1,459,678
GOVERNMENT OF JAPAN-5.20%
Y. 105,000,000 Ser #123, 4.90% . . . . . . . 09/20/99 1,390,626
Y. 100,000,000 Ser #145, 5.50% . . . . . . . 03/20/02 1,387,883
-----------
2,778,509
GOVERNMENT OF NETHERLANDS-0.80%
NLG 630,000 7.75% . . . . . . . . . . . . 03/01/05 426,302
-----------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost $6,492,385) . . . . . . . . . $ 6,654,812
-----------
CORPORATE BONDS-2.18%
BANKING & FINANCE-0.99%
Y. 40,000,000 Bank of Tokyo Cayman
Finance, 4.25% . . . . . . . . 03/31/20 527,403
-----------
INDUSTRIAL-0.12%
Y. 5,000,000 SXL Corporation,
2.70% . . . . . . . . . . . . 03/29/02 62,533
-----------
TRANSPORTATION-0.09%
Y. 4,000,000 Sagami Railway
Company, 3.80% . . . . . . . . 09/30/99 50,357
-----------
ELECTRIC, GAS & SANITARY SERVICES-0.54%
Y. 5,000,000 Matsushita Electric,
2.70% . . . . . . . . . . . . 05/31/02 63,064
-----------
COMMUNICATION-0.42%
230,000 Telekom Malaysia
Berhad, 4.00% . . . . . . . . 10/03/04 221,950
-----------
PHARMACEUTICALS-0.44%
Y. 20,000,000 Yamanouchi Pharmaceutical,
1.25% . . . . . . . . . . . . 03/31/14 235,974
-----------
TOTAL CORPORATE BONDS
(Cost $1,176,422) . . . . . . . . . . . . . . $ 1,161,281
-----------
</TABLE>
<TABLE>
<CAPTION>
RIGHTS-0.01% Shares Value
------ -----
<S> <C> <C>
BANKING & FINANCE-0.01%
Allianze AG (Expiration date 07/05/95) . . . . 90 $ 6,704
-----------
TOTAL RIGHTS (Cost $167,624) . . . . . . . . . $ 6,704
-----------
WARRANTS-0.00%
CONSTRUCTION-0.00%
Holderbank Financiere (Expiration date
12/20/95; Strike price CHF 640) . . . . . . . 800 1,077
-----------
TOTAL WARRANTS (Cost $0) . . . . . . . . . . . $ 1,077
-----------
TOTAL INVESTMENTS
(International Growth & Income Trust)
(Cost $54,205,510) . . . . . . . . . . . . $53,419,702
===========
</TABLE>
INVESTMENT QUALITY BOND TRUST
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
U.S. GOVERNMENT AGENCY AND MORTGAGE-
BACKED OBLIGATIONS-24.10%
FEDERAL HOME LOAN MORTGAGE CORPORATION-2.88%
$1,400,000 6.50% . . . . . . . . 08/17/11 - 06/25/19 $ 1,380,280
2,000,000 8.00% . . . . . . . . . . . . . . 11/15/99 2,081,240
-----------
3,461,520
FEDERAL NATIONAL MORTGAGE ASSOCIATION-1.64%
2,000,000 7.00%, TBA** . . . . . . . . . . . 01/01/99 1,965,620
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION-18.78%
250,969 6.50% . . . . . . . . 07/15/08 - 05/15/09 248,145
150,678 7.00% . . . . . . . . . . . . . . 01/15/24 148,276
213,824 7.50% . . . . . . . . 04/15/02 - 10/15/22 215,278
6,919,754 8.00% . . . . . . . . 05/15/21 - 12/15/22 7,084,099
51,076 8.20% . . . . . . . . . . . . . . 06/15/12 52,034
6,544,304 8.50% . . . . . . . . 09/15/16 - 06/15/25 6,807,684
7,609,475 9.00% . . . . . . . . 02/15/23 - 05/15/25 7,994,190
2,674 9.50% . . . . . . . . . . . . . . 10/15/09 2,830
-----------
22,552,536
RESOLUTION FUNDING CORPORATION-0.80%
525,000 8.875% . . . . . . . . . . . . . . 07/15/20 649,194
240,000 9.375% . . . . . . . . . . . . . . 10/15/20 304,987
-------
954,181
TOTAL U.S. GOVERNMENT AGENCY AND MORTGAGE-
BACKED OBLIGATIONS (Cost $32,214,263) . . . . . $28,933,857
-----------
U.S. TREASURY OBLIGATIONS-34.62%
U.S. TREASURY BONDS-28.85%
2,200,000 8.875% . . . . . . . . . . . . . . 02/15/19 2,750,352
1,250,000 9.250% . . . . . . . . . . . . . . 02/15/16 1,602,738
7,800,000 10.75% . . . . . . . . . . . . . . 02/15/03 9,932,832
13,800,000 12.00% . . . . . . . . . . . . . . 08/15/13 20,355,000
-----------
34,640,922
U.S. TREASURY NOTES-5.77%
6,500,000 8.875% . . . . . . . . . . . . . . 11/15/97 6,924,515
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $35,278,559) . . . . . . . . . . . . . $41,565,437
-----------
CORPORATE BONDS-33.29%
OIL & GAS EXPLORATION-0.80%
900,000 AMOCO Canada Petroleum
Company, Ltd, 7.95% . . . . . . . 10/01/22 960,714
-----------
LUMBER & WOOD PRODUCTS-1.54%
1,620,000 Boise Cascade Corporation,
9.85% . . . . . . . . . . . . . . 06/15/02 1,845,455
-----------
PAPER, PRINTING & PUBLISHING-2.22%
150,000 Container Corporation of
America, 9.75% . . . . . . . . . . 04/01/03 148,500
450,000 Fort Howard Corporation,
9.25% . . . . . . . . . . . . . . 03/15/01 443,250
2,000,000 Time Warner, Incorporated,
9.125% . . . . . . . . . . . . . . 01/15/13 2,078,580
-----------
2,670,330
</TABLE>
** Purchase on a forward commitment (Note 2).
The accompanying notes are an integral part of the financial statements.
41
<PAGE> 126
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
METAL & METAL PRODUCTS-1.12%
$300,000 AK Steel Corporation,
10.75% . . . . . . . . . . . . . . 04/01/04 $ 315,000
450,000 American Standard,
Incorporated, 10.50% . . . . . . . 06/01/05 342,000
450,000 Armco, Incorporated,
9.375% . . . . . . . . . . . . . . 11/01/00 432,000
250,000 Weirton Steel Corporation,
10.875% . . . . . . . . . . . . . 10/15/99 252,500
-----------
1,341,500
INDUSTRIAL & COMMERCIAL MACHINERY-0.94%
870,000 Cincinnati Milacron,
Incorporated, 8.875% . . . . . . . 05/15/00 878,700
250,000 Repap New Brunswick,
Incorporated, 9.875% . . . . . . . 07/15/00 251,250
-----------
1,129,950
TRANSPORTATION EQUIPMENT-0.21%
250,000 K & F Industries,
Incorporated, 11.875% . . . . . . 12/01/03 255,000
-----------
TRANSPORTATION-0.44%
470,000 Southern Railway Company,
8.75% . . . . . . . . . . . . . . 10/15/03 532,750
-----------
COMMUNICATION SERVICES-1.41%
2,025,000 Cablevision Industries,
Corporation, 9.25% . . . . . . . . 04/01/08 103,500
1,400,000 GTE Flordia, Incorporated,
6.31% . . . . . . . . . . . . . . 12/15/02 1,370,138
200,000 Heritage Media Services,
11.00% . . . . . . . . . . . . . . 06/15/02 215,500
-----------
1,689,138
ELECTRIC, GAS & SANITARY SERVICES-2.13%
2,000,000 Cincinnati Gas & Electric
Corporation, 6.90% . . . . . . . . 06/01/25 1,293,447
125,000 Cleveland Electric Illuminating
Company, 9.50% . . . . . . . . . . 05/15/05 125,346
820,000 Georgia Power Company,
4.75% . . . . . . . . . . . . . . 03/01/96 812,251
300,000 Virginia Electric & Power
Company, 9.375% . . . . . . . . . 06/01/98 323,019
-----------
2,554,063
WHOLESALE & RETAIL TRADE-0.09%
125,000 Big V Supermarkets,
Incorporated, 11.00% . . . . . . . 02/15/04 105,000
-----------
BANKING & FINANCE-18.20%
1,270,000 American General Finance
Corporation, 8.00% . . . . . . . . 02/15/00 1,341,692
2,000,000 Associates Corporation of
North America, 7.75% . . . . . . . 02/15/05 2,148,960
300,000 Associates Corporation of
North America, 9.125% . . . . . . 04/01/00 331,125
452,615 Bellsouth Savings & Employee
Credit Union, 9.19% . . . . . . . 07/01/03 501,855
1,325,000 Comerica, Incorporated,
7.125% . . . . . . . . . . . . . . 12/01/13 1,224,697
$290,000 Commercial Credit Group,
Incorporated, 10.00% . . . . . . . 05/01/99 $321,088
2,000,000 Exxon Capital
Corporation, 6.625% . . . . . . . 08/15/02 2,009,840
1,775,000 First National Bank of
Boston, 8.00% . . . . . . . . . . 09/15/04 1,880,914
1,750,000 First Union Corporation,
7.50% . . . . . . . . . . . . . . 04/15/35 1,836,782
950,000 General Motors Acceptance
Corportion, 6.00% . . . . . . . . 01/11/99 932,948
1,400,000 General Motors Acceptance
Corporation, 7.00% . . . . . . . . 09/15/02 1,401,694
1,340,000 KFW International Financial,
Incorporated, 8.85% . . . . . . . 06/15/99 1,456,995
1,000,000 National Westminster
Bank, PLC, 9.45% . . . . . . . . . 05/01/01 1,129,640
2,000,000 NBD Bancorp, Incorporated,
8.25% . . . . . . . . . . . . . . 11/01/24 2,218,340
940,000 Texaco Capital,
Incorporated, 8.93% . . . . . . . 07/23/01 1,053,336
1,967,000 United Virginia Bankshares,
Incorporated, 8.625% . . . . . . . 04/15/98 2,073,493
-----------
21,863,399
HOLDING & INVESTMENT COMPANIES-2.28%
350,000 Beneficial Corporation,
8.40% . . . . . . . . . . . . . . 05/15/08 408,667
470,000 Beneficial Corporation,
8.90% . . . . . . . . . . . . . . 06/06/01 522,499
900,000 Chase Manhattan
Corporation, 8.00% . . . . . . . . 02/04/97 923,211
900,000 Norwest Corporation,
6.00% . . . . . . . . . . . . . . 03/15/00 881,676
-----------
2,736,053
BUSINESS SERVICES-1.29%
1,500,000 International Lease Finance
Company, 7.50% . . . . . . . . . . 03/01/99 1,551,810
-----------
HEALTH SERVICES-0.32%
350,000 Ornda Healthcorp, 11.375% . . . . 08/15/04 382,375
-----------
EDUCATIONAL & SOCIAL SERVICES-0.30%
350,000 Kindercare Learning Centers,
Incorporated, 10.375% . . . . . . 06/01/01 358,750
-----------
TOTAL CORPORATE BONDS
(Cost $38,235,336) . . . . . . . . . . . . . $39,976,287
-----------
FOREIGN BONDS-0.27%
NEW ZEALAND GOVERNMENT-0.27%
250,000 10.625% . . . . . . . . . . . . . 11/15/05 323,783
-----------
TOTAL FOREIGN BONDS
(Cost $281,907) . . . . . . . . . . . . . . . $ 323,783
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
42
<PAGE> 127
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
FIXED INCOME - OTHER-6.79%
MISCELLANEOUS ASSET-BACKED SECURITIES-6.79%
$1,500,000 American Express Master Trust,
Series 1992, Class A, 6.60% . . . . . . . . . . 05/15/00 $ 1,507,020
1,550,000 Olympic Automobile Receivable
Trust, Series 1995, 7.35% . . . . . . . . . . . 10/15/01 1,580,192
2,025,156 Premier Auto Trust, Series
1993, Class A2, 4.65% . . . . . . . . . . . . . 11/02/99 1,988,440
1,500,000 Premier Auto Trust, Series
1994, Class A3, 6.35% . . . . . . . . . . . . . 05/02/00 1,505,145
1,500,000 Standard Credit Card Master Trust,
Series 1991,Class A, 7.875% . . . . . . . . . . 11/07/98 1,578,270
------------
TOTAL FIXED INCOME - OTHER
(Cost $8,039,370) . . . . . . . . . . . . . . . . . . . . . $ 8,159,067
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT-0.93%***
$1,118,000 Repurchase Agreement with Shearson Lehman
dated 06/30/95 at 6.20%, to be repurchased at
$1,118,578 on 07/03/95, collateralized by
$1,075,000 U.S. Treasury Note, 7.75% due
12/31/99 (valued at $1,145,547,
including interest) . . . . . . . . . . . . . . $ 1,118,000
------------
TOTAL INVESTMENTS (Investment Quality
Bond Trust) (Cost $115,167,435) . . . . . . . . . . . . . . $120,076,431
============
U.S. GOVERNMENT SECURITIES TRUST
U.S. GOVERNMENT AGENCY AND
MORTGAGE - BACKED OBLIGATIONS-50.37%
FEDERAL HOME LOAN BANK-14.70%
$3,300,000 5.94% . . . . . . . . . . . . . . . . . . . . . 06/13/00 $ 3,297,938
250,000 6.49% . . . . . . . . . . . . . . . . . . . . . 09/08/97 252,305
9,000,000 6.59% . . . . . . . . . . . . . . . . . . . . . 08/11/97 8,977,500
9,000,000 7.81% . . . . . . . . . . . . . . . . . . . . . 07/17/96 9,165,960
8,000,000 8.25% . . . . . . . . . . . . . . . . . . . . . 09/25/96 8,210,000
------------
29,903,703
FEDERAL HOME LOAN MORTGAGE CORPORATION-9.34%
3,500,000 5.25% . . . . . . . . . . . . . . . . . . . . . 11/15/13 3,398,255
9,753,175 6.50% . . . . . . . . . . . . . . . .07/01/06 - 11/15/20 9,427,857
196,738 7.00% . . . . . . . . . . . . . . . . . . . . . 12/01/04 193,746
244,970 8.25% . . . . . . . . . . . . . . . . . . . . . 07/01/06 250,710
5,254,164 10.75% . . . . . . . . . . . . . . . .09/01/09 - 03/01/16 5,739,014
------------
19,009,582
FEDERAL NATIONAL MORTGAGE ASSOCIATION-21.39%
13,250,000 5.94% . . . . . . . . . . . . . . . . . . . . . 01/29/98 13,235,823
12,300,000 6.25% . . . . . . . . . . . . . . . . . . . . . 03/25/18 12,173,064
279,796 6.50% . . . . . . . . . . . . . . . . . . . . . 10/01/05 275,946
17,500,000 6.50%, TBA** . . . . . . . . . . . . . . . . . . 01/01/99 16,821,875
42,763 8.00% . . . . . . . . . . . . . . . .08/01/04 - 10/01/24 43,776
411,876 8.25% . . . . . . . . . . . . . . . . . . . . . 09/01/08 423,606
74,511 8.50% . . . . . . . . . . . . . . . . . . . . . 02/01/09 78,904
408,178 8.75% . . . . . . . . . . . . . . . . . . . . . 08/01/09 426,346
$7,397 10.00% . . . . . . . . . . . . . . . . . . . . . 04/01/16 $8,086
39,922 10.50% . . . . . . . . . . . . . . . . . . . . . 03/01/16 43,307
------------
43,530,733
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION-0.43%
271,752 7.50% . . . . . . . . . . . . . . . . . . . . . 02/15/07 275,121
16,771 8.00% . . . . . . . . . . . . . . . . . . . . . 10/15/05 17,270
489,537 9.50% . . . . . . . . . . . . . . . . . . . . . 09/15/20 518,909
63,163 11.00% . . . . . . . . . . . . . . . . . . . . . 09/15/15 70,130
------------
881,430
STUDENT LOAN MARKETING ASSOCIATION-2.22%
4,300,000 7.50% . . . . . . . . . . . . . . . . . . . . . 03/08/00 4,525,750
------------
TENNESSEE VALLEY AUTHORITY-2.27%
4,500,000 8.25% . . . . . . . . . . . . . . . . . . . . . 11/15/96 4,628,700
------------
TOTAL U.S. GOVERNMENT AGENCY AND
MORTGAGE - BACKED OBLIGATIONS
(Cost $101,085,930) . . . . . . . . . . . . . . . . . . . . $102,479,898
------------
U.S. TREASURY OBLIGATIONS-35.98%
U.S. TREASURY BONDS-21.14%
7,650,000 7.625% . . . . . . . . . . . . . . . . . . . . . 02/15/25 8,639,681
9,000,000 8.875% . . . . . . . . . . . . . . . . . . . . . 08/15/17 11,205,000
1 7,000,000 11.875% . . . . . . . . . . . . . . . . . . . . 11/15/03 23,165,220
------------
43,009,901
U.S. TREASURY NOTES-14.84%
29,300,000 6.75% . . . . . . . . . . . . . . . . . . . . . 04/30/00 30,188,083
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $69,003,391) . . . . . . . . . . . . . . . . . . . . $ 73,197,984
------------
COLLATERALIZED MORTGAGE OBLIGATIONS-5.58%
137,124 Collateralized Mortgage Securities
Company, Series 88, Class 11,
9.20%, (Collateralized
by FNMA 9.50%) . . . . . . . . . . . . . . . . . 07/01/03 144,366
87,348 Drexel Burnham Lambert,
9.30%, (Collateralized
by GNMA 10.00%) . . . . . . . . . . . . . . . . 06/01/17 90,023
54,933 Goldman Sachs Trust 7,
Series C, Class C2,
9.10%, (Collateralized
by FNMA 9.50%) . . . . . . . . . . . . . . . . . 04/27/17 55,156
60,829 Merrill Lynch Trust XXV,
Class B, 8.75%, (Collateralized
by FHLMC 10.00%) . . . . . . . . . . . . . . . . 03/20/19 62,102
8,354,660 Ryland Acceptance Corporation
Four, 86F, 8.75%, (Collateralized
by GNMA 9.50%) . . . . . . . . . . . . . . . . . 04/01/19 8,780,163
2,219,402 Shearson Lehman, Incorporated,
7.50%, (Collateralized by
GNMA 11.50%) . . . . . . . . . . . . . . . . . . 06/01/18 2,221,466
------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (Cost $11,560,382) . . . . . . . . . . . . . . . $ 11,353,276
------------
</TABLE>
** Purchased on a forward commitment (Note 2).
*** At June 30, 1995 a portion of this security was pledged to cover forward
comitments purchased.
The accompanying notes are an integral part of the financial statements.
43
<PAGE> 128
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENTS-8.07%***
$8,215,000 Repurchase Agreement with State Street
Bank & Trust, dated 06/30/95 at 6.00%, to be
repurchased at $8,219,108 on 07/03/95,
collateralized by $8,115 000 U.S. Treasury
Note, 6.875% due 03/31/97 (valued at
$8,521,254, including interest) . . . . . . . . . $ 8,215,000
8,216,000 Repurchase Agreement with UBS Securities,
dated 06/30/95 at 6.05%, to be repurchased
at $8,220,142 on 07/03/95, collateralized by
$5,190,000 U.S. Treasury Bond, 14.00%
due 11/15/11 (valued at $8,306,825,
including interest) . . . . . . . . . . . . . . . 8,216,000
------------
$ 16,431,000
TOTAL INVESTMENTS (U.S. Government
Securities Trust) (Cost $198,080,703) . . . . . . . . . . . . $203,462,158
============
</TABLE>
MONEY MARKET TRUST
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS-21.47%
FEDERAL HOME LOAN BANK-0.40%
$ 1,075,000 6.00% . . . . . . . . . . . . . . . . . . . . . . 07/24/95 $ 1,070,879
------------
FEDERAL HOME LOAN MORTGAGE CORPORATION-1.35%
465,000 5.93% . . . . . . . . . . . . . . . . . . . . . . 07/07/95 464,540
3,140,000 6.03% . . . . . . . . . . . . . . . . . . . . . . 07/03/95 3,138,948
------------
3,603,488
FEDERAL NATIONAL MORTGAGE ASSOCIATION-13.00%
9,000,000 5.75% . . . . . . . . . . . . . . . . . . . . . . 10/26/95 8,831,813
10,910,000 5.92% . . . . . . . . . . . . . . . . . . . . . . 07/27/95 10,863,354
15,000,000 6.04% . . . . . . . . . . . . . . . . . . . . . . 07/17/95 14,959,733
------------
34,654,900
STUDENT LOAN MARKETING ASSOCIATION-6.72%
10,000,000 FRN, 5.70% . . . . . . . . . . . . . . . . . . . . 09/28/98 10,000,000
7,900,000 FRN, 5.71% . . . . . . . . . . . . . . . . . . . . 02/22/99 7,900,936
------------
17,900,936
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS . . . . . . . . . . . . . . . . . . . . . $ 57,230,203
------------
COMMERCIAL PAPER-76.08%
9,000,000 American Express Credit
Corporation, 6.10% . . . . . . . . . . . . . . . . 07/05/95 8,993,900
5,000,000 American Home Products
Corporation, 5.90% . . . . . . . . . . . . . . . . 09/22/95 4,931,986
7,000,000 ANZ Delaware, 5.80% . . . . . . . . . . . . . . . 09/18/95 6,910,906
2,000,000 Baxter International,
Incorporated, 6.00% . . . . . . . . . . . . . . . 08/18/95 1,984,000
6,000,000 BHF Finance Delaware,
5.98% . . . . . . . . . . . . . . . . . . . . . . 08/02/95 5,968,107
8,200,000 Chase Manhattan
Corporation, 6.03% . . . . . . . . . . . . . . . . 07/18/95 8,176,651
5,000,000 Chevron Transport
Corporation, 5.87% . . . . . . . . . . . . . . . . 09/29/95 4,926,625
3,000,000 CIESCO, L.P,.5.85% . . . . . . . . . . . . . . . . 09/12/95 2,964,413
2,500,000 CIESCO, L.P,.5.85% . . . . . . . . . . . . . . . . 09/21/95 2,466,688
$9,000,000 CIT Group Holding, 6.10% . . . . . . . . . . . . . 07/24/95 $ 8,964,925
6,350,000 The Coca-Cola Enterprises,
Incorporated, 5.90% . . . . . . . . . . . . . . . 09/21/95 6,264,663
3,000,000 Comerzbank U.S. Finance,
5.95% . . . . . . . . . . . . . . . . . . . . . . 09/17/95 2,976,696
6,000,000 Corestates Capital
Corporation, 6.09% . . . . . . . . . . . . . . . . 01/05/96 6,000,000
7,200,000 CSW Credit, Incorporated,
5.98% . . . . . . . . . . . . . . . . . . . . . . 07/07/95 7,192,824
7,000,000 Delaware Funding
Corporation, 5.97% . . . . . . . . . . . . . . . . 08/14/95 6,948,923
9,000,000 Ford Motor Credit Company,
5.90% . . . . . . . . . . . . . . . . . . . . . . 10/19/95 8,837,750
10,000,000 General Electric Capital
Corporation, 6.10% . . . . . . . . . . . . . . . . 07/27/95 9,955,944
9,000,000 General Motors Acceptance
Corporation, 5.96% . . . . . . . . . . . . . . . . 08/28/95 8,913,580
7,000,000 Household Finance
Corporation, 6.10% . . . . . . . . . . . . . . . . 07/05/95 6,995,256
9,000,000 Indosuez of North America
Incorporated, 5.80% . . . . . . . . . . . . . . . 10/13/95 8.849,200
2,000,000 International Paper Company,
6.20% . . . . . . . . . . . . . . . . . . . . . . 07/10/95 1,996,900
4,000,000 Kreditbank of North America,
5.95% . . . . . . . . . . . . . . . . . . . . . . 09/08/95 3,955,422
8,000,000 McKenna Triangle National
Corporation, 5.95% . . . . . . . . . . . . . . . . 08/04/95 7,955,044
9,000,000 Monsanto Company, 5.75% . . . . . . . . . . . . . 11/21/95 8,794,438
7,000,000 Prudential Funding
Corporation, 5.87 . . . . . . . . . . . . . . . . 08/28/95 6,933,799
4,000,000 San Paolo U.S. Finance
Company, 5.98% . . . . . . . . . . . . . . . . . . 07/18/95 3,988,704
5,000,000 San Paolo U.S. Finance
Company, 5.98% . . . . . . . . . . . . . . . . . . 07/27/95 4,980,897
10,000,000 Sears Roebuck Acceptance
Corporation, 6.10% . . . . . . . . . . . . . . . . 07/11/95 9,983,056
4,000,000 Toshiba America, 5.95% . . . . . . . . . . . . . . 09/08/95 3,954,383
5,000,000 West One Bank, 6.05% . . . . . . . . . . . . . . . 07/10/95 5,000,000
7,000,000 Westpac Capital Corporation,
6.11% . . . . . . . . . . . . . . . . . . . . . . 07/06/95 6,994,060
9,000,000 Whirlpool Corporation,
5.95% . . . . . . . . . . . . . . . . . . . . . . 07/13/95 8,982,150
------------
TOTAL COMMERCIAL PAPER . . . . . . . . . . . . . . . . . . . . $202,741,890
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT-2.45%
$6,538,000 Repurchase Agreement with Shearson
Lehman, dated 06/30/95 at 6.20%, to be
repurchased at $6,541,378 on 07/03/95,
collateralized by $4,135,000 U.S. Treasury
Bond, 13.25%, due 05/15/14 (valued
at $6,675,441,including interest) $ 6,538,000
------------
TOTAL INVESTMENTS (Money Market Trust) . . . . . . . . . . . . $266,510,093
============
</TABLE>
*** At June 30, 1995 a portion of this security was pledged to cover forward
comitments purchased.
The accompanying notes are an integral part of the financial statements.
44
<PAGE> 129
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - 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: 75.93% 41.00% 24.23%
AGRICULTURE: 0.16% 0.09% 0.05%
Dekalb Genetics Corporation, Class B...... 6,300 $ 277,200 12,700 $ 558,800 2,500 $ 110,000
---------- ----------- ----------
MINING: 1.24% 0.74% 0.44%
Amoco Corporation......................... 7,900 526,337 16,700 1,112,638 3,900 259,838
Barrick Gold Corporatiion................. 4,100 103,525 4,300 108,575 2,300 58,075
Broken Hill Proprietary Company, Ltd...... 6,995 86,108 18,719 230,429 1,815 22,342
Camco International Incorporated.......... 2,500 58,437 5,600 130,900 1,600 37,400
Nacco Industries, Incorporated, Class A... 3,200 191,600 8,600 514,925 1,600 95,800
Newmont Mining Corporation................ 12,800 536,000 31,100 1,302,312 7,000 293,125
Questar Corporation....................... 4,100 117,875 9,300 267,375 1,700 48,875
Sungei Way Holdings....................... 22,000 89,787 35,000 142,842 6,000 24,487
Vulcan Materials Company.................. 7,000 381,500 17,700 964,650 3,100 168,950
---------- ----------- ----------
2,091,169 4,774,646 1,008,892
OIL &GAS EXPLORATION: 4.40% 2.53% 1.54%
Amerada Hess Corporation.................. 14,500 708,688 35,300 1,725,288 8,400 410,550
Ampolex, Ltd.............................. 37,944 86,298 54,799 124,632 10,167 23,123
Anadarko Petroleum Corporation............ 1,900 81,938 5,200 224,250 700 30,188
Atlantic Richfield Company................ 3,000 329,250 8,100 888,975 1,200 131,700
British Petroleum Company, PLC, ADR....... 6,800 582,250 14,000 1,198,750 3,100 265,438
Burlington Resources, Incorporated........ 2,300 84,812 6,300 232,313 1,200 44,250
Chevron Corporation....................... 2,100 97,912 4,700 219,138 2,900 135,213
E.I. Du Pont De Nemours & Company......... 17,300 1,189,375 38,100 2,619,375 9,200 632,500
Exxon Corporation......................... 8,000 565,000 11,500 812,188 1,800 127,125
Halliburton Company....................... 11,400 407,550 23,800 850,850 5,500 196,625
Mobil Corporation......................... 6,300 604,800 13,700 1,315,200 3,100 297,600
Occidental Petroleum Corporation.......... ---- ---- 7,400 169,275 ---- ----
OMV, AG*.................................. 520 59,955 840 96,850 ---- ----
Pacific Enterprises....................... 1,300 31,850 2,900 71,050 700 17,150
Schlumberger, Ltd......................... 23,100 1,435,088 52,800 3,280,200 10,400 646,100
Total, SA, Class B*....................... 6,328 380,859 10,340 622,380 1,801 108,375
Total, SA, ADR............................ 9,100 275,275 25,500 771,375 5,900 178,475
Unocal Corporation........................ 18,900 522,113 41,700 1,151,962 9,000 248,625
---------- ----------- ----------
7,443,013 16,374,051 3,493,037
FOOD PRODUCTS: 4.91% 2.80% 1.72%
Anheuser-Busch Companies, Incorporated.... 900 51,187 ---- ---- 1,300 73,938
Archer-Daniels-Midland Company............ 3,826 71,259 19,267 358,848 4,364 81,280
CPC International, Incorporated........... 38,600 281,810 63,600 464,330 11,700 85,419
Cadbury Schweppes, PLC.................... 3,400 209,950 17,100 1,055,925 4,700 290,255
The Coca-Cola Company..................... 5,800 369,750 10,800 688,500 2,700 172,125
Dean Foods Company........................ 10,800 302,400 20,300 568,400 4,700 131,600
Dole Food Company, Incorporated........... 8,900 259,212 18,600 541,725 3,500 101,938
Goodmark Foods, Incorporated.............. 4,600 73,600 10,800 172,800 2,600 41,600
Nestle, S.A............................... 262 272,808 340 354,025 61 63,516
PepsiCo, Incorporated..................... 44,300 2,021,188 99,300 4,530,562 20,100 917,063
Philip Morris Companies, Incorporated..... 35,000 2,603,125 78,400 5,831,000 17,000 1,264,375
Ralcorp Holdings, Incorporated*........... 15,266 349,210 34,100 780,037 7,800 178,425
Ralston Purina Company.................... 9,600 489,600 19,800 1,009,800 4,100 209,100
RJR Nabisco Holdings Corporation.......... 2,500 69,687 6,500 181,187 700 19,513
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
45
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - 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 PRODUCTS - CONTINUED
Southcorp Holdings, Ltd.................... 118,300 $ 236,264 193,300 $386,050 37,000 $73,895
Tootsie Roll Industries, Incorporated...... 1,872 129,636 4,429 306,708 1,236 85,593
Tyson Foods, Incorporated, Class A......... 11,300 261,312 22,000 508,750 3,300 76,312
Unliever NV*............................... 2,000 260,213 3,000 390,319 300 39,032
---------- ----------- ----------
8,312,211 18,128,966 3,904,949
TEXTILE MILL PRODUCTS: 0.06% 0.03% 0.03%
Warnaco Group, Incorporated, Class A....... 4,800 96,000 10,600 212,000 3,400 68,000
---------- ----------- ----------
FURNITURE & FIXTURES: 0.29% 0.13% 0.08%
Haverty Furniture Companies, Incorporated.. 5,600 57,400 ---- ---- ---- ----
Industries Natuzzi Spa, ADR................ 2,600 86,125 5,300 175,563 500 16,563
Herman Miller, Incorporated................ 9,100 225,225 22,200 549,450 5,800 143,550
Syratech Corporation*...................... 3,500 64,312 7,600 139,650 ---- ----
Weyerhaeuser Company....................... 1,200 56,550 ---- ---- ---- ----
Willamette Industries, Incorporated........ ---- ---- ---- ---- 400 22,200
---------- ----------- ----------
489,612 864,663 182,313
PAPER, PRINTING & PUBLISHING: 1.38% 0.78% 0.39%
Champion International Corporation......... 7,900 411,787 12,100 630,713 2,500 130,313
Consolidated Papers, Incorporated.......... 2,600 149,825 8,800 507,100 900 51,863
Franklin Quest Company*.................... 3,700 88,800 7,200 172,800 1,600 38,400
International Paper Company................ 3,100 265,825 7,700 660,275 2,400 205,800
James River Corporation of Virginia........ 2,700 74,587 2,900 80,113 ---- ----
Meredith Corporation....................... 2,400 60,900 4,000 101,500 2,600 65,975
Minnesota Mining & Manufacturing
Company.................................. 1,500 85,875 5,000 286,250 700 40,075
Mirror Group, PLC.......................... 113,600 240,318 186,500 394,536 31,700 67,061
News International......................... 60,000 291,077 102,800 498,712 18,700 90,719
Pulitzer Publishing Company................ 3,125 133,203 7,125 303,703 1,750 74,564
The E.W. Scripps Company, Class A.......... 4,000 129,000 8,500 274,125 ---- ----
Stone Container Corporation................ 1,400 29,750 3,100 65,875 700 14,875
Tambrands, Incorporated.................... 1,400 59,850 5,400 230,850 800 34,200
Temple-Inland, Incorporated................ 900 42,862 1,900 90,487 400 19,050
Union Camp Corporation..................... 1,300 75,237 5,300 306,737 ---- ----
Ver Ned Uitgevers.......................... 1,650 197,531 2,650 317,247 500 59,858
Westvaco Corporation....................... ---- ---- 2,300 101,775 ---- ----
---------- ----------- ----------
2,336,427 5,022,798 892,753
CHEMICALS PRODUCTS: 7.99% 4.36% 2.62%
Akzo Nobel N.V., ADR....................... ---- ---- 5,400 323,325 2,000 119,750
Azko Nobel N.V............................. 2,000 239,045 3,100 370,520 700 83,666
Alberto-Culver Company, Class A............ 8,400 216,300 21,300 548,475 4,500 115,875
Allergan, Incorporated..................... 9,100 246,837 19,700 534,363 4,600 124,775
American Home Products Corporation......... 2,900 224,387 5,300 410,088 1,400 108,325
ARCO Chemical Company...................... 1,500 68,062 3,500 158,813 800 36,300
Baxter International, Incorporated......... 13,800 501,975 32,900 1,196,738 8,600 312,825
Bristol-Myers Squibb Company............... 11,900 810,688 25,000 1,703,125 5,500 374,688
CCA Industries, Incorporated*.............. 12,500 32,813 28,400 74,550 6,300 16,538
Ciba-Geigy, AG*............................ 125 91,620 310 227,217 ---- ----
Cor Therapeutics, Incorporated*............ 7,600 67,925 16,200 144,788 4,100 36,644
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
46
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - 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 PRODUCTS - CONTINUED
Cytec Industries, Incorporated*............. 1,200 $ 49,050 1,900 $ 77,663 600 $ 24,525
The Dial Corporation........................ 12,300 304,425 41,300 1,022,175 9,400 232,650
Elan Corporation, PLC, ADR*................. ---- ---- 4,100 167,075 500 20,375
Genentech, Incorporated*.................... 6,500 316,062 17,900 870,388 3,900 189,638
Glaxo Wellcome, PLC, ADR*................... 40,200 493,308 62,745 769,966 12,077 148,201
W.R. Grace & Company........................ 17,400 1,067,925 37,600 2,307,700 8,300 509,413
Great Lakes Chemical Corporation............ 1,800 108,450 2,500 150,625 300 18,075
Guest Supply, Incorporated*................. 7,300 189,800 12,700 330,200 3,000 78,000
IVAX Corporation............................ 1,844 45,408 4,005 98,623 ---- ----
Johnson & Johnson........................... 29,800 2,015,225 53,800 3,638,225 10,800 730,350
Kansai Paint Company........................ 48,000 242,393 81,000 409,038 13,000 65,648
London International Group, PLC............. 213,000 372,674 347,800 608,525 69,700 121,950
Martek Biosciences Corporation*............. 3,100 41,850 14,700 198,450 2,000 27,000
Merck & Company, Incorporated............... ---- ---- 5,800 284,200 1,200 58,800
Olin Corporation............................ 400 20,600 800 41,200 200 10,300
Om Group, Incorporated...................... 2,200 62,700 2,900 82,650 ---- ----
Pfizer, Incorporated........................ 4,900 452,637 10,900 1,006,887 2,500 230,938
PPG Industries, Incorporated................ 2,000 86,000 2,400 103,200 ---- ----
Protein Design Laboratories, Incorporated*.. 7,900 163,925 15,700 325,775 3,400 70,550
Riken Vinyl Industry Company................ 29,000 242,936 46,000 385,346 8,000 67,017
Sankyo Company*............................. 17,000 395,139 28,000 650,817 5,000 116,217
Schering, AG................................ 7,500 523,899 12,500 873,165 2,000 139,706
Schering-Plough Corporation................. 39,400 1,738,525 90,200 3,980,075 19,600 864,850
Sekisui Chemical............................ 8,000 94,390 ---- ---- 3,000 35,396
Sequa Corporation, Class A*................. 2,200 64,350 ---- ---- 1,300 38,025
Shin-Etsu Chemical Company.................. 18,000 316,442 29,000 509,822 4,000 70,320
Showa Denko K.K.*........................... 58,000 171,081 91,000 268,421 17,000 50,144
Solvay...................................... 100 54,841 200 109,681 50 27,420
Sumitomo Bakelite........................... 25,000 171,081 45,000 307,946 8,000 54,746
Union Carbide Corporation................... 17,900 597,413 39,500 1,318,312 9,400 313,725
Warner-Lambert Company...................... 3,200 276,400 11,100 958,762 2,600 224,575
Yamanouchi Pharmaceutical................... 15,000 338,033 29,000 653,531 4,000 90,142
----------- ----------- ----------
13,516,613 28,200,445 5,958,082
RUBBER & PLASTIC: 0.42% 0.22% 0.12%
Bandag, Incorporated........................ 6,000 375,000 13,900 868,750 3,000 187,500
Park-Ohio Industries, Incorporated*......... 3,600 43,200 5,600 67,200 1,000 12,000
Pirelli Tyre Holdings*...................... 15,150 101,684 25,050 168,132 4,400 29,532
WPP Group, PLC.............................. 96,600 187,453 151,100 293,211 26,600 51,618
----------- ----------- ----------
707,337 1,397,293 280,650
BUILDING MATERIALS & CONSTRUCTION: 1.31% 0.60% 0.34%
Armstrong World Industries, Incorporated.... ---- ---- 1,300 65,163 300 15,038
Beazer Homes USA, Incorporated*............. 3,500 58,187 ---- ---- ---- ----
Corporacion Financiera Alba................. 2,500 128,999 3,650 188,338 600 30,960
Georgia-Pacific Corporation................. 1,400 121,450 3,100 268,925 700 60,725
Japan Foundation Engineer................... 7,700 149,903 18,200 354,315 2,600 50,616
Kaneshita Construction...................... 8,000 105,716 23,000 303,935 3,000 39,644
Kyocera Corporation......................... 1,000 82,355 1,000 82,355 1,000 82,355
Lafarge Corporation......................... 15,900 298,125 24,100 451,875 4,000 75,000
Marui Company............................... 16,000 254,852 21,000 334,494 5,000 79,641
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
47
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - 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>
BUILDING MATERIALS & CONSTRUCTION - CONTINUED
Medusa Corporation........................... 6,100 $ 151,737 16,150 $ 401,731 3,800 $ 94,525
Sho Bond Corporation......................... 5,000 165,182 7,000 231,255 1,000 33,036
Tesco, PLC................................... 139,849 645,080 226,386 1,044,250 38,716 178,587
Wickes Lumber Company*....................... 4,600 62,675 11,400 155,325 1,800 24,525
---------- ----------- ----------
2,224,261 3,881,961 764,652
METAL PRODUCTS: 1.73% 0.89% 0.50%
Aluminum Company of American................. 22,100 1,107,763 50,200 2,516,275 9,200 461,150
Hitachi, Ltd................................. 55,000 548,345 89,000 887,322 15,000 149,549
Huntco, Incorporated, Class A................ ---- ---- 500 8,125 200 3,250
IMCO Recycling, Incorporated................. 7,100 133,125 10,200 191,250 2,000 37,500
Kawasaki Steel............................... 26,000 85,281 43,000 141,042 7,000 22,960
Kobe Steel*.................................. 80,000 190,667 130,000 309,834 23,000 54,817
Outokumpu OY................................. 2,300 38,235 5,250 87,275 600 9,974
Reynolds Metals Corporation.................. 1,400 72,450 3,000 155,250 600 31,050
Rockwell International Corporation........... 3,100 141,825 7,500 343,125 2,800 128,100
Tadano....................................... 20,000 148,428 32,000 237,484 6,000 44,528
Texas Instruments, Incorporated.............. 1,900 254,362 3,700 495,337 800 107,100
Transtechnology Corporation.................. 4,100 55,350 8,800 118,800 2,300 31,050
Ugine, SA.................................... 2,150 151,124 3,550 249,531 650 45,689
---------- ----------- ----------
2,926,955 5,740,650 1,126,717
INDUSTRIAL & COMMERICAL MACHINERY: 4.20% 2.27% 1.42%
Amada Company, Ltd........................... 19,000 162,527 31,000 265,176 6,000 51,324
Canon, Incorporated.......................... 20,000 325,644 38,000 618,725 6,000 97,693
Caterpillar, Incorporated.................... 11,900 764,575 25,500 1,638,375 6,200 398,350
Cisco Systems, Incorporated*................. 2,600 131,462 4,200 212,363 1,400 70,788
Compaq Computer Corporation*................. 26,400 1,197,900 60,400 2,740,650 11,700 530,888
Deere & Company.............................. 1,800 154,125 3,700 316,813 700 59,938
Digital Equipment Corporation*............... 3,000 122,250 6,100 248,575 1,300 52,975
Fedders Corporation, Class A................. 2,500 10,312 5,950 24,544 1,525 6,291
Fedders USA, Incorporated.................... 10,000 58,750 23,800 139,825 6,100 35,838
Fuji Photo Film Company, Ltd*................ 11,000 260,870 16,000 379,447 3,000 71,146
Fusion Systems Corporation*.................. 1,200 41,000 ---- ---- ---- ----
Goulds Pumps, Incorporated................... 6,500 141,375 13,700 297,975 3,600 78,300
Harnischfeger Industries, Incorporated....... 10,791 373,638 24,534 849,490 6,691 231,676
International Business Machines
Corporation................................ 25,600 2,457,600 53,500 5,136,000 12,600 1,209,600
International Imaging Material*.............. 4,500 114,750 9,700 247,350 2,500 63,750
Liberty Technologies, Incorporated........... ---- ---- 17,500 96,250 3,900 21,450
Mannesmann, AG............................... 650 198,586 1,050 320,793 150 45,828
Natural Microsystems Corporation*............ 5,200 96,200 12,300 227,550 2,200 40,700
Sony Corporation............................. 6,800 326,541 12,700 609,864 2,200 105,646
Sun Microsystems, Incorporated*.............. 3,500 169,750 6,900 334,650 1,400 67,900
---------- ----------- ----------
7,107,955 14,704,415 3,240,081
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT: 6.07% 3.30% 1.86%
Advanced Micro Devices, Incorporated*........ ---- ---- 3,200 116,400 600 21,825
Boston Scientific Corporation*............... 2,600 82,875 5,200 165,750 1,600 51,000
Cabletron Systems, Incorporated*............. 1,150 61,238 2,500 133,125 600 31,950
Ericsson L.M. Telephone Company,
ADR, Class B............................... 40,400 808,000 87,200 1,744,000 16,000 320,000
Ericsson L.M. Telephone Company, Class B..... 9,200 183,466 14,800 295,141 3,600 71,791
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
48
<PAGE> 133
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - 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>
ELECTRONIC & OTHER ELECTRICAL
EQUIPMENT - CONTINUED
Fanuc....................................... 8,000 $ 345,466 13,000 $ 561,383 2,000 $ 86,367
Fujitsu, Ltd................................ 31,000 309,067 50,000 498,496 10,000 99,699
General Electric Company.................... 26,600 1,499,575 77,000 4,340,875 15,200 856,900
Gentex Corporation*......................... 1,600 31,600 3,500 69,125 800 15,800
Hutchinson Technology, Incorporated*........ 1,600 68,000 ---- ---- ---- ----
Intel Corporation........................... 28,600 1,810,738 65,400 4,140,638 14,800 937,025
Matsushita Electric Industrial Company, Ltd. 37,000 576,249 51,000 794,289 10,000 155,743
Micron Technology, Incorporated............. 5,800 318,275 13,700 751,788 2,800 153,650
Mitsubishi Electric Corporation............. 56,000 393,794 91,000 639,915 15,000 105,482
Motorola, Incorporated...................... 5,000 335,625 10,300 691,388 2,200 147,675
Murata Manufacturing Company, Ltd........... ---- ---- 6,000 227,243 1,000 37,874
National Semiconductor Corporation*......... 2,000 55,500 4,100 113,775 1,000 27,750
NEC Corporation............................. 8,000 87,688 19,000 208,259 2,000 21,922
Niagara Mohawk Power Corporation............ ---- ---- ---- ---- 1,000 14,750
Nokia Corporation, ADR...................... 7,500 447,187 14,300 852,637 3,100 184,838
Nokia OY AB, Series A....................... 4,650 272,184 6,150 81,948 1,600 93,655
Nokia OY AB, Series K....................... 7,400 440,084 18,200 1,082,369 1,850 110,021
Omron Corporation........................... 15,000 286,709 24,000 458,734 4,000 76,456
Philips Electronics, NV*.................... 16,900 715,482 27,750 1,174,831 4,900 207,448
Raytheon Company............................ 1,700 131,962 5,100 395,887 ---- ----
Sanmina Corporation*........................ 5,200 197,600 10,900 414,200 2,500 95,000
Scientific-Atlanta, Incorporated............ 2,900 63,800 6,600 145,200 1,300 28,600
Spacelabs Medical, Incorporated*............ 2,800 71,050 6,100 154,787 1,900 48,212
SGS Thomson Microelectronics,
Incorporated*............................. 6,300 253,231 10,500 422,052 1,800 72,352
Sumitomo Electric Industries, Ltd........... 23,000 274,084 30,000 357,501 7,000 83,417
Thermo Electron Corporation*................ 2,550 102,637 4,650 187,162 1,300 52,325
Thermo Voltek Corporation*.................. ---- ---- 4100 58,937 500 7,187
TSI, Incorporated........................... ---- ---- ---- ---- 1,200 10,800
Xilinx, Incorporated*....................... 600 56,400 1,000 94,000 ---- ----
----------- ----------- ----------
10,279,566 21,371,835 4,227,514
TRANSPORTATION EQUIPMENT: 3.25% 1.77% 1.05%
AlliedSignal, Incorporated.................. 3,200 142,400 16,400 729,800 4,100 182,450
Autoliv AB.................................. 3,000 160,498 5,400 288,897 1,000 53,499
Automotive Industries Holding,
Incorporated, Class A*.................... 4,800 130,200 7,500 203,438 1,300 35,263
Autozone, Incorporated*..................... 2,300 57,787 5,300 133,163 1,100 27,638
Bayerische Motorenwerk, AG.................. 250 137,573 550 302,661 100 55,029
Chrysler Corporation........................ 5,500 263,312 12,300 588,863 2,900 138,838
Donnelly Corporation........................ ---- ---- 3,700 59,663 700 11,287
Echlin, Incorporated........................ 11,400 396,150 27,700 962,575 7,300 253,675
Ford Motor Company.......................... 16,200 481,950 36,200 1,076,950 7,800 232,050
General Motors Corporation.................. 8,400 393,750 17,400 815,625 4,600 215,625
Honda Motor Company, Ltd.................... 18,000 276,090 38,000 582,856 5,000 76,692
Lockheed Martin Corporation................. 1,800 113,625 ---- ---- ---- ----
McDonnell Douglas Corporation............... 2,100 161,175 6,300 483,525 1,300 99,775
Monro Muffler/Brake, Incorporated*.......... 5,565 80,692 12,825 185,963 3,150 45,675
Northrop Grumman Corporation................ 1,000 52,125 2,000 104,250 600 31,275
Rollins Truck Leasing Corporation........... 16,050 172,537 39,000 419,250 9,400 101,050
Serv-Tech, Incorporated*.................... 6,900 50,025 5,700 41,325 ---- ----
A.O. Smith Corporation...................... 12,400 291,400 28,300 665,050 6,700 157,450
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
49
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - 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>
TRANSPORTATION EQUIPMENT - CONTINUED
Spartan Motors, Incorporated*............... 5,300 $ 46,375 11,900 $ 104,125 2,900 $25,375
Special Devices, Incorporated*.............. 2,100 46,725 ---- ---- ---- ----
Textron, Incorporated....................... 2,400 139,500 11,100 645,187 2,700 156,938
Thiokol Corporation......................... 800 24,200 2,000 60,500 ---- ----
Toyota Motor Corporation.................... 29,000 574,833 47,000 961,626 8,000 158,575
TRW, Incorporated........................... 1,200 95,850 ---- ---- ---- ----
United Technologies Corporation............. 6,500 507,813 14,200 1,109,375 1,800 140,625
Volvo AB, Series B*......................... 14,400 274,291 18,300 348,579 3,900 74,287
West Marine, Incorporated*.................. 3,500 89,687 3,200 82,000 1,000 25,625
Wickes...................................... 201,900 338,801 322,100 540,505 55,800 93,636
---------- ----------- ----------
5,499,364 11,465,751 2,392,332
TRANSPORTATION: 1.83% 1.01% 0.63%
Atlantic Southeast Airlines, Incorporated... 2,900 87,362 5,800 174,725 2,100 63,263
AMR Corporation*............................ 3,000 223,875 4,800 358,200 1,200 89,550
Anangel-American Shipholdings, Ltd, ADR..... 5,000 69,375 7,700 106,838 2,700 37,463
Bergesen DY, AS............................. 8,500 193,135 12,700 288,566 2,600 59,077
Burlington Northern, Incorporated........... 3,000 190,125 6,700 424,613 1,300 82,388
CSX Corporation............................. 8,800 661,100 19,800 1,487,475 4,900 368,113
Eastern Enterprises......................... 4,300 128,462 15,900 475,013 2,900 86,638
J.B. Hunt Transport Services, Incorporated.. 5,400 99,225 20,000 367,500 2,100 38,587
ICB Shipping................................ 24,000 211,247 30,800 271,101 4,500 39,609
Japan Airlines Company, Ltd*................ 18,000 119,568 22,000 146,139 6,000 39,856
KLM Royal Dutch Airlines*................... 8,500 277,312 16,300 531,788 2,700 88,088
Landstar Systems, Incorporated*............. 4,900 126,175 7,600 195,700 2,500 64,375
Neptune Orient Lines*....................... 94,000 108,966 147,000 170,404 30,000 34,776
Northwest Airlines Corporation, Class A*.... 3,100 109,662 6,600 233,475 2,300 81,362
Pittstion Services Group.................... ---- ---- 3,000 72,000 1,800 43,200
TNT Freightways Corporation................. 2,000 39,750 3,000 59,625 ---- ----
Valuejet Airlines, Incorporated*............ 13,900 456,963 33,500 1,101,312 6,600 216,975
Wisconsin Central Transportation
Corporation............................... ---- ---- 1,500 73,500 ---- ----
---------- ----------- ----------
3,102,302 6,537,974 1,433,320
COMMUNICATION SERVICES: 7.21% 4.01% 2.43%
ACS Enterprises, Incorporated*.............. 8,500 155,125 19,800 361,350 4,300 78,475
AirTouch Communications, Incorporated*...... 64,500 1,838,250 145,200 4,138,200 27,200 775,200
Ameritech Corporation....................... 34,700 1,526,800 75,800 3,335,200 17,000 748,000
Bell Atlantic Corporation................... 6,600 369,600 15,800 884,800 4,300 240,800
Bellsouth Corporation....................... 12,800 812,800 30,800 1,955,800 7,500 476,250
Capital Cities/ABC, Incorporated............ 8,000 864,000 17,600 1,900,800 3,900 421,200
DDI Corporation............................. 30 240,694 40 320,925 10 80,231
Nippon Denwa Shisetsu....................... 10,000 82,237 28,000 230,264 3,000 24,671
Nippon Telegraph & Telephone Corporation.... 29 242,936 47 393,723 10 83,771
NYNEX Corporation........................... 38,600 1,553,650 82,500 3,320,625 18,800 756,700
Peoples Choice TV Corporation*.............. 3,800 95,475 8,800 221,100 2,100 52,763
SBC Communications, Incorporated............ 29,500 1,404,938 66,700 3,176,587 14,500 690,563
Scottish TV................................. 25,700 174,958 48,900 332,896 7,500 51,058
Security Services........................... 25,300 358,152 41,600 588,898 7,100 100,509
STET*....................................... 58,000 128,849 98,000 217,711 16,000 35,545
Telecom Italia*............................. 91,000 192,428 137,500 290,756 18,000 38,063
Tele Danmark, AS, Series B.................. 2,475 137,716 4,050 225,354 725 40,341
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
50
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - 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>
COMMUNICATION SERVICES - CONTINUED
Telefonica de Espana, SA*................... 9,450 $ 121,709 15,450 $198,984 3,150 $ 40,570
Telekom Malaysia............................ 6,000 45,529 11,000 83,470 2,000 15,176
TV Francaise................................ 5,150 506,900 8,550 841,553 1,600 157,484
U.S. West, Incorporated..................... 1,700 70,762 4,700 195,637 ---- ----
Viacom, Incorporated, Class A*.............. ---- ---- ---- ---- 272 12,648
Viacom, Incorporated, Class B*.............. 19,800 918,225 45,000 2,086,875 10,360 480,445
VodaFone Group, PLC......................... 97,000 360,259 168,200 624,697 33,200 123,305
----------- ----------- ----------
12,201,992 25,926,205 5,523,768
ELECTRIC, GAS & SANITARY SERVICES: 3.14% 1.61% 0.95%
AES Corporation*............................ 53,600 1,018,400 121,700 2,312,300 28,600 543,400
Central & South West Corporation............ 3,100 81,375 7,000 183,750 1,400 36,750
Cinergy Corporation......................... 10,900 286,125 24,300 637,875 5,400 141,750
Continental Waste Industries, Incorporated*. 12,600 144,900 14,400 165,600 2,600 29,900
DQE......................................... 10,250 240,875 22,950 539,325 5,050 118,675
Eastern Utilities Associates................ 19,400 438,925 43,500 984,188 9,400 212,675
General Publishing Utilities Corporation.... ---- ---- ---- ---- 1,000 29,750
Hong Kong Electric Holdings, Ltd............ 58,000 197,136 85,000 288,906 15,500 52,683
Illinova Corporation........................ ---- ---- 2,800 71,050 600 15,225
MCN Corporation............................. 8,800 173,800 16,000 316,000 4,600 90,850
Nipsco Industries, Incorporated............. 6,600 224,400 16,700 567,800 2,300 78,200
Peco Energy Company......................... 3,600 99,450 8,100 223,762 1,700 46,963
Pinnacle West Capital Corporation........... 5,200 127,400 12,400 303,800 2,800 68,600
Sanifill, Incorporated...................... 2,500 78,437 4,500 141,187 1,400 43,925
Scottish Power.............................. 55,300 284,548 91,200 469,273 16,600 85,416
Shanks & McEwan............................. 156,000 229,521 227,000 333,983 43,000 63,265
Tenaga Nasional............................. 22,000 89,787 28,000 114,274 7,000 28,569
Tetra Technologies, Incorporated*........... 14,300 173,388 33,100 401,337 8,100 98,213
Tetra Technologies, Incorporated New*....... 7,250 128,688 16,000 284,000 3,625 64,344
Tohoku Electric Power, Incorporated......... 5,500 152,498 ---- ---- ---- ----
Tokyo Electric Power, Incorporated.......... 10,000 306,767 20,500 628,871 2,900 88,962
UGI Corporation............................. 20,200 426,725 16,700 352,787 2,400 50,700
USA Waste Services, Incorporated*........... 4,200 65,100 9,500 147,250 ---- ----
United Waste System, Incorporated*.......... 800 28,800 12,400 446,400 1,700 61,200
VEBA, AG.................................... 800 314,412 1,300 510,919 300 117,904
----------- ----------- ----------
5,311,457 10,424,637 2,167,919
WHOLESALE & RETAIL TRADE: 5.20% 2.85% 1.70%
Alco Standard Corporation................... 900 71,888 2,000 159,750 400 31,950
Amgen, Incorporated*........................ 4,100 329,794 6,600 530,888 1,400 112,613
Amway Japan, Ltd............................ 4,000 146,304 6,000 219,456 1,000 36,576
Bearings, Incorporated...................... ---- ---- ---- ---- 100 3,063
Berisford, PLC.............................. 63,200 210,097 100,000 332,432 20,000 66,486
Circuit City Stores, Incorporated........... 10,800 341,550 19,600 619,850 2,900 91,713
Cobra Golf, Incorporated*................... 2,500 79,063 4,400 139,150 1,200 37,950
Consolidated Stores Corporation*............ 7,400 154,475 16,000 334,000 4,600 96,025
Cygne Designs, Incorporated................. ---- ---- ---- ---- 900 5,288
Dayton-Hudson Corporation................... 6,000 430,500 12,600 904,050 3,100 222,425
Dieteren Trading............................ 1,400 103,846 3,400 252,197 400 29,670
Dillard Department Stores,
Incorporated, Class A..................... 3,500 102,813 6,100 179,188 ---- ----
DSC Communications Corporation*............. 9,000 418,500 19,500 906,750 4,800 223,200
Enron Corporation........................... 10,900 382,863 22,500 790,313 5,100 179,138
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
51
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - 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>
WHOLESALE & RETAIL, CONTINUED
Friedman's, Incorporated, Class A*.......... 5,500 $ 104,500 16,900 $ 321,100 3,200 $ 60,800
Genuine Parts Company....................... 20,400 772,650 50,300 1,905,113 10,200 386,325
Gymboree Corporation*....................... 3,200 93,000 7,600 220,875 1,200 34,875
Hutchinson Whampoa, Ltd*.................... 79,000 381,840 122,000 589,677 23,000 111,169
Land's End, Incorporated.................... 2,500 40,625 ---- ---- 600 9,750
Leslie's Poolmart*.......................... 9,000 135,000 20,300 304,500 5,000 75,000
Lillian Vernon Corporation.................. 4,500 82,688 10,500 192,938 2,500 45,937
Lowe's Companies, Incorporated.............. 11,200 334,600 30,100 899,238 7,700 230,038
May Department Stores Company............... 3,900 162,338 8,800 366,300 2,100 87,412
Microage, Incorporated*..................... 9,600 136,800 23,300 332,025 5,500 78,375
Mitsubishi Corporation...................... 13,000 148,015 33,000 375,730 4,000 45,543
Nine West Group, Incorporated*.............. 5,400 197,100 16,600 605,900 2,100 76,650
Old American Stores, Incorporated*.......... 5,600 64,400 12,300 141,450 3,400 39,100
Pacific Sunwear of California*.............. 5,100 34,425 11,600 78,300 2,600 17,550
Pioneer Hi-Bred International, Incorporated. 3,700 155,400 6,800 285,600 1,600 67,200
Sears Roebuck & Company..................... 14,500 868,188 26,800 1,604,650 6,000 359,250
Stanhome, Incorporated...................... 2,500 82,500 7,100 234,300 2,600 85,800
Sumitomo Metal Industry..................... 75,000 195,564 120,000 312,902 20,000 52,150
Tabacalera, SA*............................. 6,550 244,966 10,800 403,913 2,050 76,669
Tab Corporate Holdings, Ltd*................ 97,700 202,066 162,000 335,053 26,100 53,981
Takashimaya Corporation..................... 15,000 201,758 23,000 309,362 4,000 53,802
Talbots, Incorporated....................... 9,900 393,525 21,800 866,550 4,300 170,925
Tech Data Corporation*...................... ---- ---- ---- ---- 1,000 11,437
Urban Outfitters, Incorporated*............. 7,600 165,300 17,500 380,625 4,200 91,350
Wal-Mart Stores, Incorporated............... 31,100 831,925 75,500 2,019,625 15,600 417,300
----------- ----------- ----------
8,800,866 18,453,750 3,874,485
FOOD STORES: 0.43% 0.21% 0.10%
Giant Foods, Incorporated, Class A.......... 6,900 195,788 20,500 581,688 2,900 82,288
Gib......................................... 2,300 109,154 5,700 270,513 700 33,221
Ito-Yokado Company, Ltd..................... 8,000 421,922 10,000 527,403 2,000 105,482
----------- ----------- ----------
726,864 1,379,604 220,991
EATING & DRINKING PLACES: 0.35% 0.12% 0.10%
McDonald's Corporation...................... 6,800 266,050 15,700 614,263 3,900 152,588
Quick Restaurants........................... 2,200 183,295 1,900 158,300 500 41,658
Yoshinoya D & C Company..................... 11 147,956 ---- ---- 2 26,901
----------- ----------- ----------
597,301 772,563 221,147
BANKING & FINANCE: 7.44% 3.68% 2.12%
Asahi Bank.................................. 22,000 234,912 29,000 309,657 6,000 64,067
Astoria Financial Corporation............... 7,200 257,400 16,500 589,875 4,200 150,150
Banc One Corporation........................ 11,500 370,875 21,600 696,600 2,700 87,075
Banco Bilbao Vizcaya, SA*................... 5,350 154,372 8,350 240,935 1,550 44,724
Bankers Trust New York Corporation.......... 6,000 372,000 12,400 768,800 2,700 167,400
Bank of Boston Corporation.................. 1,700 63,750 3,700 138,750 900 33,750
Bank of Tokyo............................... 22,000 353,018 34,000 545,572 7,000 112,324
Bank of Yokohama, Ltd....................... 9,000 76,456 24,000 203,882 ---- ----
Banponce Corporation........................ 13,000 461,500 29,200 1,036,600 6,900 244,950
Banque National Paris....................... 11,500 554,697 18,850 909,220 3,350 161,586
Barclays.................................... 33,810 363,272 50,559 543,226 8,837 94,954
Beneficial Corporation...................... 1,600 70,400 ---- ---- ---- ----
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
52
<PAGE> 137
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - 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 & FINANCE - CONTINUED
Boatmens Bancshares, Incorporated........... 2,100 $ 74,025 4,600 $ 162,150 1,000 $ 35,250
Brierley Investment, Ltd.................... 42,500 32,107 70,000 52,881 13,000 9,821
Chemical Banking Corporation................ 7,700 363,825 15,200 718,200 2,800 132,300
Christiania Bank 0.......................... 96,900 224,892 138,100 320,511 35,200 81,694
Collective Bancorp, Incorporated............ 3,000 60,750 8,000 162,000 2,300 46,575
Commercial Federal Corporation*............. 6,200 168,950 14,000 381,500 3,100 84,475
The Dai-Ichi Kangyo Bank, Ltd............... 25,000 451,301 45,000 812,341 7,000 126,364
Den Norske Bank............................. 109,800 297,600 148,300 401,949 31,100 84,293
Deutsche Bank, AG*.......................... 6,950 337,725 10,300 500,513 2,000 97,187
Federal Home Loan Mortgage Corporation...... 7,800 536,250 20,800 1,430,000 5,500 378,125
Federal National Mortgage Association....... 17,000 1,604,375 39,000 3,680,625 8,800 830,500
Fleet Financial Group, Incorporated......... 7,900 293,288 15,300 568,013 3,900 144,788
Fuji Bank................................... 16,000 322,813 31,000 625,450 5,000 100,879
Higo Bank................................... 27,000 264,409 40,000 391,717 4,000 39,172
Hubco, Incorporated......................... 12,000 214,500 20,400 364,650 3,800 67,925
Lion Land Berhad............................ 70,000 84,701 98,000 118,581 25,000 30,250
Long Island Bancorporation, Incorporated.... 3,000 57,000 ---- ---- ---- ----
Mitsubishi Trust & Banking Corporation...... 19,000 269,011 33,000 467,229 6,000 84,951
Nationsbank Corporation..................... 4,348 233,162 9,580 513,727 2,164 116,044
NBD Bancorp, Incorporated................... 2,600 83,200 5,800 185,600 1,300 41,600
Pulte Corporation........................... 6,700 187,600 14,500 406,000 3,800 106,400
Quaker City Bancorporation, Incorporated*... 12,600 144,900 21,000 241,500 3,700 42,550
Sanwa Bank, Ltd............................. 13,000 245,413 21,000 396,437 4,000 75,512
Schweiz Bankverein.......................... 475 168,302 770 272,827 170 60,234
Sparebanken NOR............................. 9,400 227,315 14,100 340,973 2,500 60,456
Standard Federal Bancorporation............. 17,300 581,713 42,500 1,429,062 6,900 232,013
The Sumitomo Bank, Ltd...................... 24,000 416,259 46,000 797,829 7,000 121,409
Sumitomo Trust & Banking.................... 21,000 255,206 29,000 352,428 6,000 72,916
The Tokai Bank, Ltd......................... 21,000 232,907 30,000 332,724 8,000 88,726
Unidanmark.................................. 3,100 152,116 5,750 282,150 1,175 57,657
United Overseas Bank........................ 48,800 460,937 80,600 761,302 14,200 134,125
Westpac Banking Corporation*................ 57,700 208,737 94,300 341,142 18,800 68,011
----------- ----------- ----------
12,587,941 23,795,128 4,813,182
SECURITY & COMMODITY BROKERS: 0.77% 0.43% 0.20%
Daiwa Securities Company, Ltd*.............. 11,000 116,029 17,000 179,317 3,000 31,644
Jefferies Group, Incorporated............... 1,800 64,800 4,600 165,600 1,100 39,600
Legg Mason, Incorporated.................... 4,100 110,700 14,700 396,900 1,900 51,300
McDonald Company Investments,
Incorporated.............................. 2,400 38,100 5,400 85,725 800 12,700
Morgan Keegan, Incorporated................. 2,000 24,500 19,050 233,363 1,800 22,050
Nikko Securities Company, Ltd............... 21,000 170,468 29,000 235,408 7,000 56,823
Nomura Securities Company, Ltd.............. 29,000 506,401 47,000 820,718 8,000 139,697
Piper Jaffray Companies, Incorporated....... 8,000 121,000 16,900 255,612 3,100 46,888
Stifel Financial Corporation................ ---- ---- ---- ---- 1,100 7,425
Tsugami Corporation......................... 15,000 53,979 38,000 136,747 2,000 7,197
Waterhouse Investors Services,
Incorporated.............................. 3,900 89,700 11,900 273,700 2,000 48,300
----------- ----------- ----------
1,295,677 2,783,090 463,624
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
53
<PAGE> 138
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - 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: 3.48% 1.85% 1.03%
Aetna Life and Casualty Company............. 3,900 $ 245,213 7,600 $ 477,850 1,100 $ 69,163
Alexander & Alexander Services,
Incorporated.............................. 1,300 31,038 7,100 169,513 ---- ----
Allstate Corporation........................ 24,400 722,850 48,700 1,442,738 10,200 302,175
W.R. Berkley Corporation.................... 6,000 213,000 15,800 560,900 1,700 60,350
Baloise Holdings............................ 110 250,760 145 330,547 35 79,787
Cincinnati Financial Corporation............ 3,455 193,480 6,325 354,200 420 23,520
Corporacion Mapfre.......................... 3,200 157,193 5,650 277,544 950 46,667
Dai Tokyo Fire & Marine..................... 23,000 162,822 37,000 261,931 7,000 49,555
The Equitable Companies, Incorporated....... ---- ---- ---- ---- 1,000 20,875
Exel, Ltd................................... 6,200 322,400 13,900 722,800 3,000 156,000
Frontier Insurance Group, Incorporated...... 3,900 104,813 10,400 279,500 1,900 51,063
General Re Corporation...................... 1,900 254,363 4,500 602,438 1,500 200,812
Gryhon Holdings, Incorporated*.............. 1,700 27,625 4,500 73,125 900 14,625
Harleysville Group, Incorporated............ 3,500 87,500 7,300 182,500 2,000 50,000
Horace Mann Educators Corporation........... 11,000 253,000 28,600 657,800 6,400 147,200
INA (Instituto Naz Dell).................... ---- ---- ---- ---- 16,800 22,588
International Nederlanden................... 2,906 160,719 4,327 239,318 812 44,899
MBIA, Incorporated.......................... 3,700 246,050 7,300 485,450 2,100 139,650
Providian Corporation....................... 15,600 565,500 45,400 1,645,750 6,800 246,500
Prudential Corporation...................... 40,000 212,502 64,600 343,191 ---- ----
Royal Insurance Holdings*................... 31,723 155,915 53,661 263,739 9,888 48,599
Selective Insurance Group, Incorporated..... 11,700 386,100 26,400 871,200 5,700 188,100
Skandia Foersaekrings AB.................... 11,500 223,006 18,700 362,627 3,100 60,115
Sumitomo Marine & Fire...................... 23,000 182,632 38,000 301,740 7,000 55,584
Tokio Marine & Fire......................... 11,000 126,152 19,000 217,899 3,000 34,405
Travelers Group, Incorporated............... 11,933 522,069 15,633 683,944 4,233 185,194
Triad Guaranty, Incorporated*............... 3,700 77,700 8,400 176,400 1,900 39,900
----------- ----------- ----------
5,884,402 11,984,644 2,337,326
REAL ESTATE: 0.53% 0.23% 0.13%
Cheung Kong Holdings, Ltd................... 29,000 143,542 41,000 202,939 8,000 39,598
Hong Kong Land Holdings, Ltd*............... 125,722 228,814 200,044 364,080 42,600 77,532
Lennar Corporation.......................... 3,900 73,125 10,100 189,375 2,600 48,750
Nichimo Corporation......................... 40,000 162,822 60,000 244,233 13,000 52,917
Sun Hung Kai Properties..................... 30,000 221,962 44,000 325,545 8,000 59,190
Tan & Tan Development....................... 55,000 68,581 150,000 187,039 21,000 26,185
-------- ----------- --------
898,846 1,513,211 304,172
HOLDING & INVESTMENT COMPANIES: 2.98% 1.64% 0.97%
American Express Company.................... 17,800 625,225 34,400 1,208,300 6,500 228,313
Bank of New York Company, Incorporated...... 27,700 1,118,388 70,900 2,862,588 15,800 637,925
Cenfed Financial Corporation................ 4,700 95,175 11,200 226,800 2,400 48,600
Citicorp.................................... 3,800 219,925 6,500 376,188 1,500 86,813
Comerica, Incorporated...................... 1,900 61,038 4,200 134,925 1,000 32,125
CS Holding.................................. 2,650 242,792 3,700 338,993 900 82,458
First Chicago Corporation................... 2,100 125,738 4,600 275,425 1,000 59,875
First National Finance...................... 234,700 334,112 383,300 545,655 72,600 103,351
HSBC Holdings............................... 41,800 536,154 66,000 846,558 12,200 156,485
Jardine Strategic Holdings, Ltd*............ ---- ---- 57,000 183,540 ---- ----
Midlantic Corporation....................... 800 32,000 1,900 76,000 400 16,000
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
54
<PAGE> 139
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - 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>
HOLDING & INVESTMENT COMPANIES
- CONTINUED
Oerlikon-Buhrle Holding, AG*................ 1,620 $ 141,389 2,005 $ 174,991 535 $ 46,693
People Heritage Financial Group,
Incorporated.............................. ---- ---- 12,200 183,000 2,100 31,500
Royal Bank of Scotland Group................ 59,949 407,638 98,121 667,198 17,502 119,009
Shawmut National Corporation................ 2,800 89,250 7,000 223,125 1,300 41,438
United Asset Management Corporation......... 18,500 659,063 41,500 1,478,437 9,000 320,625
Zions Bancorporation........................ 7,100 355,000 15,500 775,000 3,800 190,000
----------- ----------- ----------
5,042,887 10,576,723 2,201,210
HOTELS, MOTELS & OTHER
LODGING PLACES: 0.45% 0.24% 0.12%
Genting Berhad.............................. 15,000 148,277 24,000 237,244 3,000 29,655
La Quinta Inns, Incorporated................ 4,950 133,650 9,900 267,300 2,850 76,950
Marriot International, Incorporated......... 8,400 301,350 19,100 685,213 2,600 93,275
The Promus Companies, Incorporated*......... 1,600 62,400 3,100 120,900 700 27,300
Resorts World Berhad........................ 21,000 123,175 35,000 205,291 6,000 35,193
----------- ----------- ----------
768,852 1,515,948 262,373
BUSINESS SERVICES: 2.39% 1.34% 0.88%
ADVO, Incorporated.......................... ---- ---- 3,800 71,725 800 15,100
BET......................................... 69,400 135,775 172,600 337,678 30,300 59,279
Catalina Marketing Corporation*............. 3,900 209,138 8,400 450,450 2,100 112,613
Compuware Corporation*...................... 1,500 46,125 5,500 169,125 1,500 46,125
De La Rue................................... 17,000 253,094 28,000 416,860 4,700 69,973
Independent News............................ 37,800 207,428 58,900 323,215 10,400 57,070
Mercury Interactive Corporation*............ 9,000 181,125 15,700 315,963 4,000 80,500
Micom Communications*....................... ---- ---- 7,900 51,350 1,800 11,700
Micro Focus Group, Incorporated, ADR*....... 4,300 51,600 ---- ---- 10,400 124,800
Microsoft Corporation*...................... 12,200 1,102,575 27,800 2,512,425 6,100 551,288
Misys....................................... 45,300 288,214 74,600 474,630 13,500 85,892
Novell, Incorporated*....................... 18,800 374,825 40,300 803,481 8,100 161,494
Oracle Systems Corporation*................. 16,000 618,000 36,300 1,402,087 8,650 334,106
Securities AB............................... 2,000 69,316 7,000 242,604 1,300 45,055
Sungard Data Systems, Incorporated*......... 9,700 506,825 19,500 1,018,875 4,600 240,350
Sybase, Incorporated*....................... 800 23,500 1,900 55,812 500 14,688
----------- ----------- ----------
4,067,540 8,646,280 2,010,033
MOTION PICTURES , AMUSEMENT
& RECREATION SERVICES: 0.85% 0.45% 0.25%
Carmike Cinemas, Incorporated*.............. 9,800 237,650 17,400 421,950 3,600 87,300
The Walt Disney Company..................... 8,500 472,813 18,700 1,040,187 4,200 233,625
Kuoni Resisen Holding....................... 140 224,924 340 546,244 45 72,297
London Clubs International.................. 64,000 351,710 103,900 570,979 19,000 104,414
Mirage Resorts, Incorporated*............... 1,400 42,875 3,100 94,938 700 21,438
Sodak Gaming, Incorporated*................. 5,800 100,775 12,300 213,712 3,200 55,600
----------- ----------- ----------
1,430,747 2,888,010 574,674
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
55
<PAGE> 140
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - 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>
HEALTH SERVICES: 1.04% 0.58% 0.34%
Apria Healthcare Group,
Incorporated*........................... 15,180 $ 428,835 34,220 $ 966,715 8,300 $ 234,475
Columbia/HCA-Healthcare
Corporation of America.................. 10,100 436,825 24,400 1,055,300 4,600 198,950
Gehe, AG.................................. 750 344,385 1,187 545,047 187 85,867
Health Management Association,
Class A*................................ 8,000 234,000 17,600 514,800 3,700 108,225
Integrated Health Services,
Incorporated............................ 2,700 81,000 3,900 117,000 1,300 39,000
Thermedics, Incorporated*................. 12,000 234,000 27,200 530,400 6,000 117,000
------------ ------------ -----------
1,759,045 3,729,262 783,517
EDUCATIONAL SERVICES: 0.14% 0.09% 0.03%
Children's Discovery Centers of
America, Incorporated*.................. 3,700 61,975 9,200 154,100 2,100 35,175
Flightsafety International, Incorporated.. 3,700 180,375 8,100 394,875 800 39,000
------------ ------------ -----------
242,350 548,975 74,175
ENGINEERING, ACCOUNTING, RESEARCH
AND MANAGEMENT: 0.28% 0.15% 0.09%
EA Engineering Science and
Technology, Incorporated*............... 6,200 32,550 15,400 80,850 2,300 12,075
Jardine Matheson Holdings, Ltd*........... 24,000 175,200 31,600 230,680 6,600 48,180
PHH Corporation........................... 4,700 209,150 12,400 551,800 2,800 124,600
Tracor, Incorporated*..................... 2,700 36,788 ---- ---- ---- ----
TRC Companies, Incorporated*.............. 4,400 33,000 10,600 79,500 2,500 18,750
------------ ------------ -----------
486,688 942,830 203,605
TOTAL COMMON STOCKS
(Cost $112,931,427, $231,836,298
and $47,897,454, respectively).................... $128,513,440 $265,117,108 $55,119,493
------------ ------------ -----------
PREFERRED STOCKS: 0.15% 0.09% 0.01%
COMMUNICATION: 0.12% 0.07% 0.00%
Panamsat Corporation*..................... 205 208,075 453 459,795 ---- ----
------------ ------------ -----------
BANKING & FINANCE: 0.03% 0.02% 0.01%
Creditanstalt-Bankverein.................. 800 46,078 2,090 120,379 580 33,408
------------ ------------ -----------
TOTAL PREFERRED STOCKS
(Cost $263,608, $599,895,
and $34,394, respectively)....................... $ 254,153 $ 580,174 $ 33,408
------------ ------------ -----------
</TABLE>
* Non-Income producing
The accompanying notes are an integral part of the financial statements.
56
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
----------------------- ------------------------- -------------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- ---------- ---------- ----------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY AND
MORTGAGE - BACKED OBLIGATIONS: 6.68% 14.06% 18.01%
FEDERAL HOME LOAN BANK: 0.45% 0.76% 0.92%
4.55%......................... 08/03/98 $230,000 $ 221,372 $ 1,400,000 $ 1,347,480 $ 540,000 $ 519,742
4.75%......................... 02/24/97 200,000 196,066 1,300,000 1,274,431 500,000 490,166
5.60%......................... 02/23/99 260,000 250,107 1,850,000 1,779,608 920,000 884,994
6.52%......................... 04/24/97 90,000 90,675 520,000 523,900 200,000 201,500
---------- ----------- -----------
758,220 4,925,419 2,096,402
FEDERAL HOME LOAN MORTGAGE
CORPORATION: 0.15% 1.77% 2.83%
4.78%......................... 02/10/97 60,000 58,882 360,000 353,293 140,000 137,392
6.47%......................... 07/07/97 80,000 80,775 490,000 494,748 190,000 191,841
6.50%......................... 07/01/06 ---- ---- ---- ---- 117,290 115,268
7.50%......................... 06/01/07 67,795 67,690 ---- ---- ---- ----
8.00%................. 04/01/23 - 08/01/24 ---- ---- 3,520,991 3,587,009 1,751,561 1,784,402
9.50%................. 09/01/16 - 12/01/22 47,409 49,839 6,625,925 7,004,884 3,991,253 4,217,429
---------- ----------- -----------
257,186 11,439,934 6,446,332
FEDERAL NATIONAL MORTGAGE
ASSOCIATION: 3.53% 6.68% 8.48%
4.70%......................... 09/10/98 160,000 152,626 1,000,000 953,910 390,000 372,025
5.20%......................... 07/10/98 80,000 79,562 500,000 497,265 200,000 198,906
5.45%......................... 10/10/03 165,000 154,197 1,110,000 1,037,328 560,000 523,337
6.00%................. 03/01/09 - 07/01/09 470,062 455,664 4,512,593 4,374,372 2,225,287 2,157,127
6.50%................. 09/01/07 - 10/01/08 1,983,340 1,968,858 6,269,468 6,183,264 2,966,093 2,925,309
6.50% TBA**................... 01/01/99 480,000 473,400 2,050,000 2,021,813 2,150,000 2,120,437
7.00%......................... 05/01/24 ---- ---- 2,964 2,914 ---- ----
7.50%................. 01/01/06 - 12/01/24 ---- ---- 629,864 640,295 39,847 40,507
7.50% TBA**................... 01/01/99 940,000 942,641 19,450,000 19,504,655 6,540,000 6,558,377
7.71%......................... 04/25/06 445,904 460,117 3,071,780 3,169,693 1,238,621 1,278,102
8.00%................. 12/01/19 - 06/01/24 978,138 996,202 3,518,820 3,583,672 1,773,036 1,805,713
8.50%................. 11/01/08 - 07/01/24 ---- ---- 1,161,244 1,206,318 1,269,137 1,313,646
8.75%......................... 08/01/09 290,021 302,930 ---- ---- ---- ----
9.00%......................... 10/01/05 3,140 3,279 ---- ---- ---- ----
---------- ----------- -----------
5,989,476 43,175,499 19,293,486
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION: 1.67% 3.37% 3.94%
7.50%................. 10/15/22 - 10/15/23 1,607,852 1,615,891 5,544,435 5,572,158 2,700,654 2,714,157
8.50%................. 06/15/16 - 03/15/21 203,681 213,482 2,060,599 2,141,459 653,733 683,045
9.00%................. 07/15/17 - 03/15/25 582,681 612,331 10,014,077 10,532,333 5,281,428 5,554,044
9.50%................. 01/15/18 - 08/15/21 362,419 384,922 3,317,175 3,520,715 ---- ----
11.50%........................ 08/15/13 ---- ---- 29,125 32,365 ---- ----
---------- ----------- -----------
2,826,626 21,799,030 8,951,246
RESOLUTION TRUST CORPORATION: 0.06% 0.13% 0.16%
6.90%......................... 02/25/27 100,000 93,656 900,000 842,906 400,000 374,625
---------- ----------- -----------
</TABLE>
**Purchased on a forward commitment (Note 2).
The accompanying notes are an integral part of the financial statements.
57
<PAGE> 142
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- -------------------------- -------------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- ----------- ----------- ----------- ------------ ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
MISCELLANEOUS GOVERNMENT
AGENCIES: 0.84% 1.35% 1.66%
Government Backed Trust,
9.625%, Series T3............. 05/15/02 $ 40,000 $ 44,226 $ 240,000 $ 265,356 $ 100,000 $ 110,565
Government Loan Trusts,
7.75%, Series A1.............. 04/01/98 43,489 44,398 270,816 276,479 104,768 106,959
Government Loan Trusts,
8.50%......................... 04/01/06 310,000 344,174 1,810,000 2,009,534 720,000 799,373
Government Trust Certificates,
9.25%, Series 2D.............. 11/15/96 276,940 280,648 1,692,167 1,714,825 675,994 685,046
Government Trust Certificates,
9.25%, Class 1C............... 11/15/01 350,000 385,532 2,340,000 2,577,557 1,120,000 1,233,702
Government Trust Certificates,
9.40%, Series 2E.............. 05/15/02 290,000 320,734 1,740,000 1,924,405 770,000 851,605
----------- ------------ -----------
1,419,712 8,768,156 3,787,250
TOTAL U.S. GOVERNMENT AGENCY AND
MORTGAGE - BACKED OBLIGATIONS
(Cost $10,976,845, $89,482,863
and $40,232,165, respectively).......... $11,344,876 $ 90,950,944 $40,949,341
----------- ------------ -----------
U.S. TREASURY OBLIGATIONS: 6.12% 16.75% 34.65%
U.S. TREASURY BONDS: 4.14% 10.03% 11.54%
8.125%***..................... 08/15/19 ---- ---- 7,030,000 8,178,983 3,100,000 3,606,664
8.75%......................... 05/15/20 ---- ---- 5,000,000 6,203,900 2,330,000 2,891,017
8.875%***..................... 02/15/19 1,660,000 2,075,266 10,200,000 12,751,632 4,540,000 5,675,726
9.00%......................... 11/15/18 1,120,000 1,415,926 6,490,000 8,204,788 2,870,000 3,628,311
11.625%....................... 11/15/04 ---- ---- 4,760,000 6,543,524 1,780,000 2,446,948
11.875%....................... 11/15/03 450,000 613,197 5,330,000 7,262,978 1,740,000 2,371,028
12.00%........................ 08/15/13 1,340,000 1,976,500 7,850,000 11,578,750 2,770,000 4,085,750
12.375%....................... 05/15/04 660,000 931,115 2,910,000 4,105,370 1,100,000 1,551,858
----------- ------------ -----------
7,012,004 64,829,925 26,257,302
U.S. TREASURY NOTES: 1.98% 6.72% 23.11%
3.875%........................ 10/31/95 ---- ---- 10,500,000 10,440,885 18,000,000 17,898,660
6.25%......................... 08/31/96 2,300,000 2,310,419 16,500,000 16,574,745 25,000,000 25,113,250
6.25%......................... 02/15/03 10,000 10,027 120,000 120,319 1,400,000 1,403,724
6.50%......................... 05/15/05 115,000 117,444 980,000 1,000,825 420,000 428,925
7.125%........................ 09/30/99 40,000 41,650 320,000 333,200 310,000 322,788
7.25%......................... 11/15/96 400,000 407,248 ---- ---- ---- ----
7.875%........................ 11/15/04 40,000 44,550 325,000 361,969 140,000 155,925
8.00%......................... 01/15/97 ---- ---- ---- ---- 480,000 495,000
8.50%......................... 05/15/97 400,000 418,376 13,020,000 13,618,139 4,500,000 4,706,730
9.25%......................... 01/15/96 ---- ---- 1,000,000 1,017,810 2,000,000 2,035,620
----------- ------------ -----------
3,349,714 43,467,892 52,560,622
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $9,859,501, $103,056,424 and
$76,299,013, respectively).............. $10,361,718 $108,297,817 $78,817,924
----------- ------------ -----------
</TABLE>
*** At June 30, 1995 a portion of these securities was pledged to cover forward
commitments purchased.
The accompanying notes are an integral part of the financial statements.
58
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------- ----------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- ---------- ----------- ---------- ----------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
CORPORATE BONDS: 8.51% 10.36% 8.00%
AGRICULTURE: 0.07% 0.06% 0.00%
Chiquita Brands International,
Incorporated, 11.50%.............. 06/01/01 $110,000 $ 113,300 $ 390,000 $ 401,700 ---- ----
---------- ---------- --------
OIL & GAS EXPLORATION: 0.31% 0.26% 0.00%
Falcon Drilling, Incorporated,
Series B, 9.75%................... 01/15/01 120,000 118,800 380,000 376,200 ---- ----
Mesa Capital Corporation,
Step up to 12.75%................. 06/30/98 120,000 108,600 380,000 343,900 ---- ----
Transamerican Refining Corporation,
Zero coupon....................... 02/15/02 470,000 300,800 1,530,000 979,200 ---- ----
---------- ---------- --------
528,200 1,699,300
FOOD PRODUCTS: 0.13% 0.16% 0.12%
Cott Corporation, 9.375%............ 07/01/05 110,000 111,375 390,000 394,875 ---- ----
RJR Nabisco, Incorporated,
6.25%............................. 01/31/97 110,000 107,297 680,000 633,292 $270,000 $263,366
---------- ---------- --------
218,672 1,058,167 263,366
PAPER, PRINTING & PUBLISHING: 0.25% 0.30% 0.25%
Gaylord Container Corporation,
Step up to 12.75%................. 05/15/05 100,000 98,000 200,000 196,000 ---- ----
News America Holdings,
Incorporated, 8.625%.............. 02/01/03 80,000 86,282 1,030,000 1,110,876 530,000 571,616
S.D. Warren Company,
Series B, 12.00%.................. 12/15/04 120,000 129,300 380,000 409,450 ---- ----
Stone Container Corporation,
11.50%............................ 09/01/99 100,000 102,500 200,000 205,000 ---- ----
---------- ---------- --------
416,082 1,921,326 571,616
CHEMICAL & ALLIED PRODUCTS: 0.47% 0.35% 0.00%
NL Industries, Incorporated,
11.75%............................ 10/15/03 140,000 145,950 460,000 479,500 ---- ----
Revlon Consumer Products
Corporation, 10.50%............... 02/15/03 460,000 450,800 1,540,000 1,509,200 ---- ----
Revlon Worldwide Corporation,
Zero coupon....................... 03/15/98 290,000 200,825 410,000 283,925 ---- ----
---------- ---------- --------
797,575 2,272,675
BUILDING MATERIALS & CONTRUCTION: 0.66% 0.60% 0.20%
American Standard, Incorporated,
Step up to 10.50%................. 06/01/05 350,000 266,000 950,000 722,000 ---- ----
Building Material Corporation
of America, Series B,
Step up to 11.75%................. 07/01/04 170,000 100,300 350,000 206,500 ---- ----
Greystone Homes, Incorporated,
10.75%............................ 03/01/04 230,000 204,125 770,000 683,375 ---- ----
Lennar Cent Partners, Ltd,
Series 1994, Class C, 8.12%....... 09/15/02 197,000 197,739 1,100,000 1,104,125 450,000 451,688
Stratosphere Corporation,
14.25%............................ 05/15/02 350,000 357,000 1,150,000 1,173,000 ---- ----
---------- ---------- --------
1,125,164 3,889,000 451,688
</TABLE>
The accompanying notes are an integral part of the financial statements.
59
<PAGE> 144
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- ------------------------- ------------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- ---------- --------- ---------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
METAL PRODUCTS: 0.42% 0.26% 0.00%
Alliant Techsystems, Incorporated,
11.75%............................ 03/01/03 $100,000 $107,000 $ 100,000 $ 107,000 ---- ----
Doehler Jarvis, Incorporated,
11.875%........................... 06/01/02 210,000 224,700 490,000 524,300 ---- ----
International Wire Group,
Incorporated, 11.75%.............. 06/01/05 230,000 231,437 770,000 774,813 ---- ----
Republic Engineered Steels,
Incorporated, 9.875%.............. 12/15/01 160,000 144,800 300,000 271,500 ---- ----
-------- ---------- ----------
707,937 1,677,613
INDUSTRIAL AND COMMERICAL MACHINERY:0.20% 0.14% 0.00%
Repap New Brunswick,
Incorporated, 10.625%............. 04/15/05 230,000 232,300 770,000 777,700 ---- ----
Specialty Equipment Companies,
Incorporated, 11.375%............. 12/01/03 110,000 113,025 140,000 143,850 ---- ----
-------- ------- ----------
345,325 921,550
ELECTRONIC AND OTHER
ELECTRICAL EQUIPMENT: 0.15% 0.13% 0.00%
Echostar Communications
Company, Step up to
12.875%........................... 06/01/04 230,000 129,950 770,000 435,050 ---- ----
UCAR Global Enterprises,
Incorporated, 12.00%.............. 01/15/05 120,000 129,600 380,000 410,400 ---- ----
-------- ------- ----------
259,550 845,450
TRANSPORTATION EQUIPMENT: 0.50% 0.55% 0.46%
Aftermarket Technology Corporation,
Series B, 12.00%................... 08/01/04 470,000 495,577 1,530,000 1,613,261 ---- ----
General Motors Acceptance
Corporation, 8.375%............... 01/19/99 230,000 242,767 1,730,000 1,826,032 $1,000,000 $1,055,510
Rohr, Incorporated, 11.625%......... 05/15/03 100,000 105,500 100,000 105,500 ---- ----
-------- ---------- ----------
843,844 3,544,793 1,055,510
TRANSPORTATION: 0.05% 0.14% 0.00%
Transtar Holdings, LP/Transtar,
Step up to 13.375%................ 12/15/03 400,000 236,000 1,100,000 649,000 ---- ----
USAir, Incorporated, 9.625%......... 02/01/01 100,000 85,000 100,000 85,000 ---- ----
USAir, Incorporated, 10.00%......... 07/01/03 130,000 110,500 180,000 153,000 ---- ----
-------- ---------- ----------
431,500 887,000
COMMUNICATION SERVICES: 0.32% 0.22% 0.00%
Call-Net Enterprise, Incorporated,
Step up to 13.25%................. 12/01/04 110,000 66,000 120,000 72,000 ---- ----
NWCG Holdings Corporation,
Series B, Zero coupon............ 06/15/99 230,000 142,600 770,000 477,400 ---- ----
SCI Television, Incorporated,
11.00%............................ 06/30/05 230,000 240,350 770,000 804,650 ---- ----
Telemundo Group, Incorporated,
10.25%............................ 12/30/01 100,000 92,500 100,000 92,500 ---- ----
-------- ---------- ----------
541,450 1,446,550
</TABLE>
The accompanying notes are an integral part of the financial statements.
60
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- ------------------------- ------------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- ---------- --------- ---------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
ELECTRIC, GAS & SANITARY SERVICES: 0.82% 1.14% 1.28%
Allied Waste Industries,
Incorporated, 12.00%.............. 02/01/04 $100,000 $ 104,250 $ 100,000 $ 104,250 ---- ----
Gulf States Utilities Company,
9.72%............................. 07/01/98 400,000 420,488 2,110,000 2,218,074 $ 870,000 $914,561
Long Island Lighting Company,
7.30%............................. 07/15/99 155,000 152,300 1,170,000 1,149,619 625,000 614,113
Long Island Lighting Company,
8.75%............................. 05/01/96 300,000 305,250 1,900,000 1,933,250 800,000 814,000
Public Service Company of
N.H., 8.875%...................... 05/15/96 170,000 172,960 1,150,000 1,170,021 560,000 569,750
Transtexas Gas Corporation,
11.50%............................ 06/15/02 230,000 234,600 770,000 785,400 ----- -----
---------- ---------- ----------
1,389,848 7,360,614 2,912,424
EATING & DRINKING PLACES: 0.24% 0.17% 0.00%
Dominicks Finer Foods,
Incorporated, 10.875%............. 05/01/05 290,000 294,350 960,000 974,400 ---- ----
Flagstar Corporation,
10.875%........................... 12/01/02 120,000 111,600 160,000 148,800 ---- ----
---------- ---------- ----------
405,950 1,123,200
WHOLESALE & RETAIL TRADE: 0.67% 0.43% 0.00%
Finlay Fine Jewelry Corporation,
10.625%........................... 05/01/03 280,000 267,400 700,000 668,500 ---- ----
Parisian, Incorporated,
9.875%............................ 07/15/03 120,000 93,600 130,000 101,400 ---- ----
Pathmark Stores, Incorporated,
9.625%............................ 05/01/03 120,000 117,000 380,000 370,500 ---- ----
Pathmark Stores, Incorporated,
Step up to 10.75%................. 11/01/03 140,000 84,000 230,000 138,000 ---- ----
Ralphs Grocery Company,
10.45%............................ 06/15/04 120,000 120,000 380,000 380,000 ---- ----
Specialty Retailers, Incorporated,
11.00%............................ 08/15/03 120,000 110,400 190,000 174,800 ---- ----
Star Market, Incorporated,
13.00%............................ 11/01/04 240,000 235,200 760,000 744,800 ---- ----
Thrifty Payless, 12.25%............. 04/15/04 100,000 102,750 200,000 205,500 ---- ----
---------- ---------- ----------
1,130,350 2,783,500
BANKING & FINANCE: 1.09% 2.63% 3.17%
Chase Manhattan Credit Card,
8.75%............................. 08/15/99 ---- ---- 2,720,000 2,778,643 1,070,000 1,093,069
Citicorp Bank Corporation,
5.25%............................. 01/30/97 140,000 139,650 950,000 947,625 510,000 508,725
The CIT Group Holdings,
Incorporated, 6.625%.............. 06/15/05 210,000 206,182 1,855,000 1,821,276 810,000 795,274
Federal Agricultural Mortgage.......
Corporation, 7.04%................ 08/10/05 100,000 100,313 700,000 702,188 300,000 300,938
First USA Bank, 5.75%............... 01/15/99 180,000 174,168 1,240,000 1,199,824 660,000 638,616
Green Tree Securitized Net,
Series 1994 A Certificates,
6.90%............................. 02/15/04 155,175 153,332 1,130,564 1,117,132 591,144 584,122
</TABLE>
The accompanying notes are an integral part of the financial statements.
61
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- -------------------------- ------------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- ---------- --------- ----------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
BANKING & FINANCE - CONTINUED
Household Finance
Corporation, 6.375%............... 06/30/00 $ 90,000 $ 89,502 $ 770,000 $ 765,742 $ 340,000 $ 338,120
Household Finance
Corporation, 7.625%............... 12/15/96 280,000 285,009 1,340,000 1,363,973 780,000 793,954
Manufacturers Hanover
Corporation, 8.50%................ 02/15/99 320,000 338,547 2,220,000 2,348,671 210,000 222,172
Private Export Funding
Corporation, Series KK,
8.75%.............................. 06/30/03 140,000 158,861 970,000 1,100,678 400,000 453,888
Secured Finance, 9.05%.............. 12/15/04 180,000 205,015 2,500,000 2,847,425 1,300,000 1,480,661
---------- ----------- ----------
1,850,579 16,993,177 7,209,539
INSURANCE: 0.63% 1.17% 1.26%
American Financial
Corporation, 9.75%................ 04/20/04 350,000 344 750 1 150 000 1,132,750 ---- ----
Metropolitan Life Insurance
Company, 6.30%.................... 11/03/03 440,000 419,298 3,730,000 3,554,503 1,465,000 1,396,072
Nationwide Life Insurance
Company, 6.50%.................... 02/15/04 230,000 221,842 2,340,000 2,257,000 1,190,000 1,147,791
New York Life Insurance
Company, 6.40%.................... 12/15/03 90,000 86,845 650,000 627,211 340,000 328,080
---------- ----------- ----------
1,072,735 7,571,464 2,871,943
HOLDING & INVESTMENT
COMPANIES: 0.41% 0.66% 0.73%
Bell & Howell Holdings
Company, Series B,
Step up to 11.50%................. 03/01/05 170,000 101,431 580,000 346,060 ---- ----
Guaranteed Export Trust,
PDVSA, 6.28%...................... 06/15/04 110,000 109,527 930,000 926,001 410,000 408,237
Guaranteed Export Trust,
Series 1994 F, 8.187%............. 12/15/04 450,283 479,914 2,791,756 2,975,464 1,170,736 1,247,775
---------- ----------- ----------
690,872 4,247,525 1,656,012
HOTELS, MOTELS & OTHER
LODGING PLACES: 0.13% 0.12% 0.00%
HMH Properties, Incorporated,
9.50%............................. 05/15/05 230,000 222,525 770,000 744,975 ---- ----
---------- ----------- ----------
BUSINESS SERVICES: 0.26% 0.49% 0.53%
Comdisco, Incorporated,
6.50%............................. 06/12/00 200,000 197,956 1,700,000 1,682,626 750,000 742,335
Comdisco, Incoporated,
9.75%............................. 01/15/97 100,000 104,870 900,000 943,830 450,000 471,915
Protection One Alarm,
Step up to 13.625%................ 06/30/05 20,000 130,500 80,000 522,000 ---- ----
---------- ----------- ----------
433,326 3,148,456 1,214,250
HEALTH SERVICES: 0.14% 0.13% 0.00%
National Medical Enterprises,
Incorporated, 10.125%............. 03/01/05 230,000 242,938 770,000 813,312 ---- ----
---------- ----------- ----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
62
<PAGE> 147
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------- --------------------- --------------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- ------- ----- ------ ----- ------ -----
<S> <C> <C> <C> <C> <C> <C> <C>
MOTION PICTURES & AMUSEMENT
RECREATION SERVICES: .......... 0.30% 0.19% 0.00%
Harrahs Jazz, 14.25% ............ 11/15/01 $230,000 $ 239,200 $ 770,000 $ 800,800 -- --
Players International,
Incorporated, 10.875% ......... 04/15/05 190,000 188,100 380,000 376,200 -- --
President Riverboat Casinos,
13.00% ........................ 09/15/01 100,000 86,000 100,000 86,000 -- --
----------- -----------
513,300 1,263,000
ENGINEERING, ACCOUNTING, RESEARCH,
MANAGEMENT & RELATED SERVICES: 0.07% 0.06% 0.00%
Tracor, Incorporated, 10.875% .. 08/15/01 120,000 123,600 380,000 391,400 -- --
----------- ----------- -----------
TOTAL CORPORATE BONDS
(Cost $14,369,094, $66,707,819 and
$18,195,678, respectively) .... $14,404,622 $67,005,747 $18,206,348
----------- ----------- -----------
FIXED INCOME - OTHER: 1.95% 4.43% 5.41%
MISCELLANEOUS ASSET BACKED SECURITIES:
American Housing Trust,
Series IV, 9.552% ............. 09/25/20 700,000 738,500 4,300,000 4,536,500 $1,740,000 1,835,700
Discover Card Trust,
Series 9, 6.125% .............. 05/15/98 260,000 259,106 1,515,000 1,509,788 600,000 597,936
Discover Card Trust, 7.20% ...... 04/16/98 -- -- -- -- 662,500 664,157
Discover Card Trust, 7.50% ...... 06/16/00 150,000 153,375 1,330,000 1,359,925 580,000 593,050
Ford Credit Auto Loan Master
Trust, Series 92 3A, 5.625% .. 10/15/97 -- -- 1,740,000 1,737,268 -- --
Ford Credit Auto Loan Master
Trust, Series 92 2, 7.375% .... 04/15/99 -- -- 650,000 661,375 775,000 788,563
Guaranteed Trade Trust,
Series 1992, 7.02% ............ 09/01/04 76,000 77,850 446,500 451,371 180,500 184,895
MBNA Master Card, Series
1992 1A, 7.25% ................ 06/15/99 -- -- -- -- 650,000 659,542
Meritor Mortgage Securities
Corporation, 9.40% ............ 06/01/99 183,656 185,034 1,163,157 1,171,880 428,531 431,745
Nomura Asset Securities Corporation,
Series 1994, 5.765% ........... 07/07/03 191,555 190,896 1,340,885 1,336,275 670,442 668,138
Premier Auto Trust, Series
933, Class A3, 4.90% .......... 12/15/98 313,755 309,930 1,984,039 1,959,854 793,616 783,942
Rail Car Trust, 7.75% ........... 06/01/04 175,512 184,781 1,702,466 1,792,377 919,683 968,254
Standard Credit Card Master
Trust, 5.50% .................. 09/08/98 140,000 137,155 990,000 969,883 525,000 514,332
Standard Credit Card Master
Trust, 6.25% .................. 09/07/98 -- -- 5,075,000 5,051,198 1,120,000 1,114,747
Standard Credit Card Master
Trust, 9.00% .................. 08/07/97 210,000 215,708 1,270,000 1,304,519 520,000 534,134
Standard Credit Card Master
Trust, 9.25% .................. 09/07/99 380,000 406,836 2,260,000 2,419,601 920,000 984,970
Structured Asset Securities
Corporation, Series 95 C1,
Class D, 7.375% ............... 09/25/24 500,000 444,219 2,700,000 2,398,781 1,100,000 977,281
----------- ----------- -----------
TOTAL FIXED INCOME-OTHER
(Cost $3,238,204, $28,248,485,
and $12,204,129, respectively) .... $ 3,303,390 $28,666,595 $12,301,386
----------- ----------- -----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
63
<PAGE> 148
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1995 - UNAUDITED - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
-------------------- ---------------------- -----------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- ------ ----- ------ ----- ------ -----
<S> <C> <C> <C> <C> <C> <C> <C>
FOREIGN BONDS: 0.64% 1.02% 1.49%
African Development
Bank, 9.50%................. 12/15/95 $260,000 $ 263,895 $1,570,000 $1,593,519 $ 820,000 $ 832,284
Israel State, Class 1 C,
5.75%....................... 03/15/00 130,000 127,156 780,000 762,938 300,000 293,438
Israel State, U.S. Government
GTD Notes Class 3A, 6.00%... 02/15/99 -- -- -- -- 570,000 567,033
Israel State, U.S. Government
GTD Notes Class 1D,
6.125%..................... 03/15/03 100,000 98,282 600,000 589,692 250,000 245,705
Israel State, U.S. Government
Class 5B, 8.00%............. 11/15/01 550,000 597,553 3,350,000 3,639,641 1,330,000 1,444,992
---------- ---------- ----------
TOTAL FOREIGN BONDS
(Cost $1,074,163, $6,500,896,
and $3,321,478,
respectively)............... $1,086,886 $6,585,790 $3,383,452
---------- ---------- ----------
</TABLE>
<TABLE>
<CAPTION>
Value Value Value
------------ ------------- -------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS: 11.02% 12.29% 8.20%
Repurchase Agreement with State Street Bank & Trust
Company dated 06/30/95 at 5.50% due 07/03/95 to be
repurchased at $24,391,174 collateralized by
$22,640,000. U.S.Treasury Bond, 7.50% due
11/15/16 (valued at $25,080,567, including interest) $ 24,380,000
------------
Repurchase Agreement with State Street Bank & Trust
Company dated 06/30/95 at 5.50% due 07/03/95 to be
repurchased at $79,515,428 collateralized by
$73,805,000. U.S.Treasury Bond, 7.50% due
11/15/16 (valued at $81,761,099, including interest) $ 79,479,000
------------
Repurchase Agreement with State Street Bank & Trust
Company dated 06/30/95 at 5.50% due 07/03/95 to be
repurchased at $18,668,553 collateralized by
$17,330,000. U.S.Treasury Bond, 7.50% due
11/15/16 (valued at $19,198,155, including interest) $ 18,660,000
------------
TOTAL INVESTMENTS (Aggressive, Moderate
and Conservative Asset Allocation Trusts)
(Cost $177,092,842, $605,911,680 and
$216,844,311, respectively)........................ $193,649,085 $646,683,175 $227,471,352
------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
Key to Currency Abbreviations Key to Security Abbreviations
- -------------------------------------------------------------------- -----------------------------
<S> <C> <C>
AUD - Australian Dollar ITL - Italian Lira ADR - American Depository Receipt
BEF - Belgian Franc E - Japanese Yen FRN - Floating Rate Note
CAD - Canadian Dollar MYR - Malaysian Ringgit IO - Interest Only (Carries notional
DKK - Danish Krone NLG - Netherland Guilder principal amount)
FRF - French Franc ESP - Spanish Peseta TBA - To Be Announced
DEM - German Deustche Mark SEK - Swedish Krone
E - Great British Pound CHF - Swiss Franc
</TABLE>
The accompanying notes are an integral part of the financial statements.
64
<PAGE> 149
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 Strategic Bond Trust
("Strategic Bond"), the Global Government Bond Trust ("Global Government Bond"),
the International Growth and Income Trust ("International Growth and Income"),
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 the Global Government Bond Trust is
diversified for purposes of the Investment Company Act of 1940.
Shares of the Trust are presently offered only to the NASL Variable Account and
the NASL Group 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 June 30, 1995, North American Security Life owned seed money shares in the
Growth and Income Trust.
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, the International Growth and Income Trust
commenced operations. The subadviser to this portfolio is J.P. Morgan Investment
Management Inc. Deferred organization costs of $12,631 were recorded 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).
BASIS OF PRESENTATION. The accompanying unaudited financial statements have been
prepared in accordance with generally accepted accounting principles for interim
financial information and pursuant to the rules and regulation of the Securities
and Exchange Commission. In the opinion of management, all adjustments necessary
for a fair presentation of the financial position and the results of operations
have been included. Results for the six months ended June 30, 1995 are not
necessarily indicative of annual results.
SECURITY VALUATION. Securities held by the Money Market Trust 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.
65
<PAGE> 150
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- -------------------------------------------------------------------------------
NOTE 2 - CONTINUED
FORWARD FOREIGN CURRENCY CONTRACTS. All portfolios with the exception of the
Investment Quality Bond, U.S. Government Securities and Money Market Trusts 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, includes 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 the Investment Quality Bond and Money Market
Trusts 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 June 30, 1995 forward commitments in the Investment Quality Bond, U.S.
Government Securities and Aggressive, Moderate and Conservative Asset Allocation
Trusts were valued at $1,965,620, $16,821,875, $1,420,000, $21,526,468 and
$8,678,814, respectively.
MORTGAGE DOLLAR ROLLS. The U. S. Government Securities Trust may enter into
mortgage dollar rolls in which it sells mortgage securities for delivery in the
current month and simultaneously contracts to repurchase similar, but not
identical, securities at the same price on an agreed upon date. The Trust
receives 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 the Pasadena Growth, Value Equity, Growth
and Income, Strategic Bond and International Growth and Income Trusts 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.
66
<PAGE> 151
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- -------------------------------------------------------------------------------
NOTE 2 - CONTINUED
DISTRIBUTION OF INCOME AND GAINS. All of the net investment income of the Money
Market Trust 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 generally at least 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.
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.
3. CAPITAL LOSS CARRYFORWARDS. At December 31, 1994, capital loss carryforwards
available to offset future realized gains were approximately:
<TABLE>
<CAPTION>
CAPITAL LOSS CARRYFORWARD
EXPIRATION YEAR
------------------------------------------------------------------------------------------
PORTFOLIO 1999 2000 2001 2002
---------------- ------------------ ------------------ ------------------ ------------------
<S> <C> <C> <C> <C>
Pasadena Growth..................... -- -- $1,981,000 $6,191,000
Equity.............................. -- -- -- 2,412,000
Strategic Bond...................... -- -- -- 2,962,000
Global Government Bond.............. -- -- -- 10,464,000
Investment Quality Bond............. $824,000 -- -- 4,412,000
U.S. Government Securities.......... -- -- -- 9,112,000
Conservative Asset Allocation....... -- -- -- 4,938,000
</TABLE>
4. CAPITAL SHARES. Share activity for the Trust for the six months ended June
30, 1995, was as follows:
<TABLE>
<CAPTION>
ADDITIONAL
SHARES PAR VALUE PAID-IN CAPITAL
-------------------- -------------------- --------------------
<S> <C> <C> <C>
GLOBAL EQUITY
Outstanding at December 31, 1994................. 39,140,838 $391,408 $577,299,219
Sold........................................... 2,769,274 27,692 68,682,646
Reinvestment of distributions.................. 2,178,560 21,786 4,971,681
Redeemed....................................... (4,841,028) (48,410) (72,882,867)
---------- -------- ------------
Net increase................................. 106,807 1,068 771,460
---------- -------- ------------
Outstanding at June 30, 1995..................... 39,247,645 $392,477 $578,070,679
========== ======== ============
PASADENA GROWTH
Outstanding at December 31, 1994................. 16,757,839 $167,578 $157,798,853
Sold........................................... 5,695,188 56,952 54,644,840
Reinvestment of distributions.................. 85,550 856 833,257
Redeemed....................................... (1,889,141) (18,891) (18,151,527)
---------- -------- ------------
Net increase................................. 3,891,597 38,916 37,326,569
---------- -------- ------------
Outstanding at June 30, 1995..................... 20,649,436 $206,494 $195,125,422
========== ======== ============
</TABLE>
67
<PAGE> 152
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- ------------------------------------------------------------------------------
CAPITAL SHARES, CONTINUED
<TABLE>
<CAPTION>
ADDITIONAL
SHARES PAR VALUE PAID-IN CAPITAL
-------------------- -------------------- --------------------
<S> <C> <C> <C>
EQUITY
Outstanding at December 31, 1994................. 36,452,063 $364,521 $514,217,981
Sold........................................... 6,134,714 61,347 97,971,257
Reinvestment of distributions.................. 261,859 2,619 4,090,234
Redeemed....................................... (1,886,121) (18,861) (29,619,480)
---------- -------- ------------
Net increase................................. 4,510,451 45,105 72,442,011
---------- -------- ------------
Outstanding at June 30, 1995..................... 40,962,514 $409,625 $586,659,992
========== ======== ============
VALUE EQUITY
Outstanding at December 31, 1994................. 19,575,533 $195,755 $217,879,647
Sold........................................... 4,453,914 44,539 53,675,745
Reinvestment of distributions.................. 314,376 3,144 3,810,235
Redeemed....................................... (673,171) (6,732) (7,774,729)
---------- -------- ------------
Net increase................................. 4,095,118 40,952 49,711,251
---------- -------- ------------
Outstanding at June 30, 1995..................... 23,670,651 $236,707 $267,590,898
========== ======== ============
GROWTH AND INCOME
Outstanding at December 31, 1994................. 31,409,684 $314,097 $379,169,167
Sold........................................... 3,830,142 38,300 52,995,556
Reinvestment of distributions.................. 945,795 9,458 12,853,356
Redeemed....................................... (951,452) (9,514) (12,797,420)
---------- -------- ------------
Net increase................................. 3,824,486 38,245 53,051,492
---------- -------- ------------
Outstanding at June 30, 1995..................... 35,234,170 $352,342 $432,220,659
========== ======== ============
STRATEGIC BOND
Outstanding at December 31, 1994................. 8,519,256 $ 85,193 $ 88,623,087
Sold........................................... 1,786,689 17,866 17,939,294
Reinvestment of distributions.................. 431,080 4,311 4,121,123
Redeemed....................................... (1,264,211) (12,642) (12,629,956)
---------- -------- ------------
Net increase................................. 953,558 9,535 9,430,461
---------- -------- ------------
Outstanding at June 30, 1995..................... 9,472,814 $ 94,728 $ 98,053,548
========== ======== ============
GLOBAL GOVERNMENT BOND
Outstanding at December 31, 1994................. 16,716,312 $167,163 $217,539,724
Sold........................................... 2,242,736 22,427 28,862,137
Reinvestment of distributions.................. 88,904 889 1,125,951
Redeemed....................................... (2,518,726) (25,187) (32,506,215)
---------- -------- ------------
Net decrease................................. (187,086) (1,870) (2,518,127)
---------- -------- ------------
Outstanding at June 30, 1995..................... 16,529,226 $165,293 $215,021,597
========== ======== ============
INTERNATIONAL GROWTH AND INCOME
Outstanding at December 31, 1994................. -- -- --
Sold........................................... 6,908,632 $ 69,086 $ 69,849,401
Redeemed....................................... (913,153) (9,132) (9,272,635)
--------- -------- ------------
Net increase................................. 5,995,479 59,955 60,576,766
--------- -------- ------------
Outstanding at June 30, 1995..................... 5,995,479 $ 59,955 $ 60,576,766
========= ======== ============
INVESTMENT QUALITY BOND
Outstanding at December 31, 1994................. 10,123,550 $101,235 $114,181,920
Sold........................................... 2,366,761 23,668 26,627,284
Reinvestment of distributions.................. 651,687 6,517 7,070,803
Redeemed....................................... (2,761,910) (27,619) (31,465,275)
---------- -------- ------------
Net increase................................. 256,538 2,566 2,232,812
---------- -------- ------------
Outstanding at June 30, 1995..................... 10,380,088 $103,801 $116,414,732
========== ======== ============
</TABLE>
68
<PAGE> 153
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------
CAPITAL SHARES, CONTINUED
<TABLE>
<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........................................... 1,982,418 19,824 25,409,998
Reinvestment of distributions.................. 956,919 9,569 11,846,657
Redeemed....................................... (3,332,757) (33,328) (43,156,974)
---------- -------- ------------
Net decrease................................. (393,420) (3,934) (5,900,320)
---------- -------- ------------
Outstanding at June 30, 1995..................... 14,548,168 $145,482 $184,475,176
========== ======== ============
MONEY MARKET
Outstanding at December 31, 1994................. 27,667,381 $276,674 $276,397,132
Sold........................................... 12,189,996 121,900 121,778,062
Reinvestment of distributions.................. 727,294 7,273 7,265,663
Redeemed....................................... (13,932,602) (139,326) (139,186,694)
---------- -------- ------------
Net decrease................................. (1,015,312) (10,153) (10,142,968)
---------- -------- ------------
Outstanding at June 30, 1995..................... 26,652,068 $266,521 $266,254,163
========== ======== ============
AGGRESSIVE ASSET ALLOCATION
Outstanding at December 31, 1994................. 16,525,699 $165,257 $171,421,746
Sold........................................... 690,373 6,904 7,807,662
Reinvestment of distributions.................. 1,046,144 10,461 11,455,275
Redeemed....................................... (1,838,421) (18,384) (20,818,516)
---------- -------- ------------
Net decrease................................. (101,904) (1,019) (1,555,579)
---------- -------- ------------
Outstanding at June 30, 1995..................... 16,423,795 $164,238 $169,866,167
========== ======== ============
MODERATE ASSET ALLOCATION
Outstanding at December 31, 1994................. 56,010,309 $560,103 $579,233,766
Sold........................................... 438,390 4,384 4,847,099
Reinvestment of distributions.................. 2,735,328 27,353 29,377,424
Redeemed....................................... (4,174,563) (41,746) (45,970,263)
---------- -------- ------------
Net decrease................................. (1,000,845) (10,008) (11,745,740)
---------- -------- ------------
Outstanding at June 30, 1995..................... 55,009,464 $550,095 $567,488,026
========== ======== ============
CONSERVATIVE ASSET ALLOCATION
Outstanding at December 31, 1994................. 20,956,187 $209,562 $213,579,822
Sold........................................... 382,651 3,827 4,035,916
Reinvestment of distributions.................. 1,060,630 10,606 10,850,241
Redeemed....................................... (1,949,862) (19,499) (20,546,066)
---------- -------- ------------
Net decrease................................. (506,582) (5,066) (5,659,909)
---------- -------- ------------
Outstanding at June 30, 1995..................... 20,449,605 $204,496 $207,919,913
========== ======== ============
</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 the Money Market Trust) for the six months ended June 30, 1995:
<TABLE>
<CAPTION>
PURCHASES SALES
-------------------------------------- --------------------------------------
PORTFOLIO U.S. GOVERNMENT OTHER ISSUES U.S. GOVERNMENT OTHER ISSUES
----------- ----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
Global Equity....................... -- $117,934,913 -- $133,941,881
Pasadena Growth..................... -- 88,003,324 -- 47,281,203
Equity.............................. -- 351,416,182 -- 289,715,695
Value Equity........................ -- 64,648,677 -- 36,877,700
Growth and Income................... -- 139,737,714 -- 94,174,093
Strategic Bond...................... $9,389,888 76,847,212 $20,793,586 59,517,946
Global Government Bond.............. 11,005,160 156,041,456 7,403,906 165,328,230
International Growth and Income..... -- 61,439,316 -- 7,651,985
Investment Quality Bond............. 99,412,683 22,238,502 100,221,585 19,045,978
U.S. Government Securities.......... 424,920,542 -- 430,973,866 793,379
Aggressive Asset Allocation......... 46,774,293 56,853,054 58,059,603 68,571,913
Moderate Asset Allocation........... 280,543,341 148,204,739 300,234,914 206,291,405
Conservative Asset Allocation....... 105,361,476 26,125,728 106,977,640 44,473,639
</TABLE>
69
<PAGE> 154
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- -------------------------------------------------------------------------------
PURCHASES AND SALES OF SECURITIES, CONTINUED
Purchases and sales (maturities) for the Money Market Trust for the six months
ended June 30, 1995 were $1,321,522,923 and $1,335,948,390, respectively. At
June 30, 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:
<TABLE>
<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....................... $548,321,156 $ 33,272,436 $ 67,218,433 $33,945,997
Pasadena Growth..................... 185,414,580 29,891,357 34,556,952 4,665,595
Equity.............................. 605,308,714 141,171,286 148,562,473 7,391,187
Value Equity........................ 273,713,227 32,246,798 42,939,072 10,692,274
Growth and Income................... 440,364,295 75,738,297 79,125,081 3,386,784
Strategic Bond...................... 98,530,132 213,637 3,574,000 3,360,363
Global Government Bond.............. 208,094,535 3,700,239 7,043,385 3,343,146
International Growth and Income..... 54,247,170 (827,468) 1,266,455 2,093,923
Investment Quality Bond............. 115,356,592 4,719,839 4,777,116 57,277
U.S. Government Securities.......... 198,080,703 5,381,455 6,108,366 726,911
Aggressive Asset Allocation......... 177,122,309 16,526,776 19,313,074 2,786,298
Moderate Asset Allocation........... 606,465,419 40,217,756 46,077,577 5,859,821
Conservative Asset Allocation....... 216,937,935 10,533,417 12,198,739 1,665,322
</TABLE>
The following is a summary of futures contracts activity during the six months
ended June 30, 1995:
<TABLE>
<CAPTION>
SALES OF FUTURES CONTRACTS PURCHASES OF FUTURES CONTRACTS
------------------------------------------ ------------------------------------------
NUMBER OF AGGREGATE FACE VALUE OF NUMBER OF AGGREGATE FACE VALUE OF
CONTRACTS CONTRACTS CONTRACTS CONTRACTS
------------- --------------------------- ------------- ---------------------------
<S> <C> <C> <C> <C>
AGGRESSIVE:
S&P 500 FUTURES:
Outstanding, December 31, 1994.... 51 $ 12,750,000 -- --
Contracts opened.................. 59 14,750,000 -- --
Contracts closed.................. (110) (27,500,000) -- --
Outstanding, June 30, 1995........ -- $ -- -- --
=== ============ == ==
MODERATE:
S&P 500 FUTURES:
Outstanding, December 31, 1994.... 107 $ 26,750,000 -- --
Contracts opened.................. 128 32,000,000 -- --
Contracts closed.................. (235) (58,750,000) -- --
Outstanding, June 30, 1995........ -- $ -- -- --
=== ============ == ==
CONSERVATIVE:
S&P 500 FUTURES:
Outstanding, December 31, 1994.... 19 $ 4,750,000 -- --
Contracts opened.................. 25 6,250,000 -- --
Contracts closed.................. (44) (11,000,000) -- --
--- ---------- -- --
Outstanding, June 30, 1995........ -- $ -- -- --
=== ============ == ==
</TABLE>
70
<PAGE> 155
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1994
- ------------------------------------------------------------------------------
6. INVESTMENT ADVISORY AGREEMENTS. Effective March 20, 1987, the Trust entered
into an Investment Advisory Agreement with NASL Financial, 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 six months ended June 30, 1995:
<TABLE>
<CAPTION>
PORTFOLIO FEE
-------------- -------------
<S> <C>
Global Equity.............................................................. .90%
Pasadena Growth............................................................ .975%
Equity..................................................................... .75%
Value Equity............................................................... .80%
Growth and Income.......................................................... .75%
Strategic Bond............................................................. .775%
Global Government Bond..................................................... .80%
International Growth and Income............................................ .95%
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
each of the 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 Trusts and 0.75% in each
of the Global Equity, Global Government Bond and International Growth and Income
Trusts. There were no expenses reimbursed by NASL Financial for the six months
ended June 30, 1995. The Subadviser to the Pasadena Growth Trust, Roger Engemann
Management Co., Inc. has agreed to reimburse "other expenses" of the Pasadena
Growth Trust up to a maximum on an annual basis of .15% of average annual net
assets. For the six months ended June 30, 1995, all "other expenses", .07%, 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.
8. COMMITMENTS. At June 30, 1995, the Global Equity, Strategic Bond, Global
Government Bond, International Growth and Income and Aggressive, Moderate and
Conservative Asset Allocation Trusts had entered into forward foreign currency
contracts which contractually obligate the portfolio to deliver currencies at
future dates. Open sale and purchase contracts at June 30, 1995 were as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
CONTRACTS IN EXCHANGE SETTLEMENT APPRECIATION
TO DELIVER FOR DATE VALUE (DEPRECIATION)
------------ -------------- -------------- -------------- -----------------
<S> <C> <C> <C> <C> <C>
GLOBAL EQUITY:
SALES
French Franc.................. 14,552,411 $ 2,925,990 7/03/95 $ 2,999,724 (73,734)
Japanese Yen.................. 206,932,469 2,435,933 7/03/95 2,441,688 (5,755)
Japanese Yen.................. 314,964,251 3,688,106 7/05/95 3,716,939 (28,833)
German Deutschemark........... 41,350,000 29,641,577 9/21/95 30,000,225 (358,648)
French Franc.................. 155,670,000 31,569,661 9/21/95 32,018,307 (448,646)
Japanese Yen.................. 2,771,200,000 33,108,722 9/21/95 33,063,754 44,968
------------ ------------ ---------
$103,369,989 $104,240,637 $(870,648)
============ ============ ---------
</TABLE>
71
<PAGE> 156
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- -------------------------------------------------------------------------------
COMMITMENTS, CONTINUED
<TABLE>
<CAPTION>
NET
UNREALIZED
CONTRACTS IN EXCHANGE SETTLEMENT APPRECIATION
TO DELIVER FOR DATE VALUE (DEPRECIATION)
------------ ------------------ -------------- -------------- -----------------
<S> <C> <C> <C> <C> <C>
STRATEGIC BOND:
SALES
Italian Lira.................. 69,418,517 $ 42,328 7/03/95 $ 42,425 $ (97)
Belgian Franc................. 18,237,084 633,232 9/22/95 643,159 (9,927)
German Deutschemark........... 4,975,868 3,548,387 9/22/95 3,610,209 (61,822)
Danish Krone.................. 584,399 106,312 9/22/95 108,014 (1,702)
French Franc.................. 6,903,114 1,393,921 9/22/95 1,419,808 (25,887)
Great British Pound Sterling.. 708,677 1,128,922 9/22/95 1,124,830 4,092
Italian Lira.................. 1,670,066,887 999,454 9/22/95 1,008,677 (9,223)
Netherland Guilder............ 1,216,917 776,096 9/22/95 788,642 (12,546)
Spanish Peseta................ 48,155,022 394,352 9/22/95 394,090 262
Japanese Yen.................. 354,980,227 4,251,260 9/22/95 4,235,877 15,383
-------------- ----------- -----------
$ 13,274,264 $13,375,731 $ (101,467)
============== =========== ===========
PURCHASES
$ 2,107,151 FIM 9,123,964 7/03/95 $ 2,136,259 $ 29,108
-------------- ----------- -----------
$ 2,107,151 $ 2,136,259 $ 29,108
============== =========== -----------
$ (72,359)
===========
GLOBAL GOVERNMENT BOND:
SALES
Japanese Yen.................. 68,000,000 $ 806,165 7/03/95 $ 802,313 $ 3,852
German Deutschemark........... 28,514,150 20,000,000 8/15/95 20,660,497 (660,497)
French Franc.................. 80,796,200 16,000,000 8/16/95 16,632,190 (632,190)
Italian Lira.................. 11,620,350,000 7,000,000 8/16/95 7,055,370 (55,370)
Spanish Peseta................ 1,500,000,000 11,991,370 8/24/95 12,313,080 (321,710)
Italian Lira.................. 15,000,000,000 8,965,559 8/24/95 9,097,690 (132,131)
Spanish Peseta................ 416,350,000 5,000,000 11/27/95 5,012,607 (12,607)
-------------- ----------- -----------
$ 69,763,094 $71,573,747 $(1,810,653)
============== =========== -----------
PURCHASES
$ 20,166,801 DEM 28,514,150 8/15/95 $20,660,497 $ 493,696
16,164,389 FRF 80,796,200 8/16/95 16,632,189 467,800
6,991,156 ITL 11,620,350,000 8/16/95 7,055,370 64,214
8,913,715 ITL 15,000,000,000 8/24/95 9,097,690 183,975
4,095,005 ESP 500,000,000 8/24/95 4,104,360 9,355
-------------- ----------- -----------
$ 56,331,066 $57,550,106 1,219,040
============== =========== -----------
$ (591,613)
===========
INTERNATIONAL GROWTH
AND INCOME TRUST:
SALES
Hong Kong Dollar.............. 1,679,250 $ 215,476 7/03/95 $ 217,019 $ (1,543)
Netherland Guilder............ 104,848 66,628 7/03/95 67,666 (1,038)
Japanese Yen.................. 247,686,250 2,938,152 7/14/95 2,927,870 10,282
Norwegian Krone............... 900,193 144,031 7/14/95 146,086 (2,055)
-------------- ---------- -----------
$ 3,364,287 $3,358,641 $ 5,646
============== ========== ===========
PURCHASES
$ 236,602 JPY 20,000,000 7/03/95 $ 235,974 $ (628)
-------------- ---------- -----------
$ 236,602 $ 235,974 $ (628)
============== ========== -----------
$ 5,018
===========
</TABLE>
72
<PAGE> 157
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- ------------------------------------------------------------------------------
COMMITMENTS, CONTINUED
<TABLE>
<CAPTION>
NET
UNREALIZED
CONTRACTS IN EXCHANGE SETTLEMENT APPRECIATION
TO DELIVER FOR DATE VALUE (DEPRECIATION)
------------ ------------------ -------------- -------------- -----------------
<S> <C> <C> <C> <C> <C>
AGGRESSIVE ASSET ALLOCATION:
PURCHASES
$485,041 GBP 305,000 7/03/95 $485,128 $87
-------- -------- ---
$485,041 $485,128 $87
======== ======== ===
MODERATE ASSET ALLOCATION:
PURCHASES
$757,078 GBP 476,000 7/03/95 $757,118 $40
-------- -------- ---
$757,078 $757,118 $40
======== ======== ===
CONSERVATIVE ASSET ALLOCATION:
PURCHASES
$174,933 GBP 110,000 7/03/95 $174,964 $31
-------- -------- ---
$174,933 $174,964 $31
======== ======== ===
</TABLE>
9. RECLASSIFICATIONS. Certain reclassifications have been made to the components
of capital in the Statements of Assets and Liabilities to conform with the
accounting and reporting guidelines of the Statement of Position (SOP) 93-2
"Determination, Disclosure, and Financial Statement Presentation of Income,
Capital Gain, and Return of Capital Distributions by Investment Companies"
issued on February 1, 1993. The SOP requires the Portfolios to report the
accumulated net realized capital gain (loss) account in such a manner as to
approximate amounts available for future tax distributions (or to offset future
taxable realized capital gains) and to achieve uniformity in the presentation of
distributions by investment companies. Certain distributions in excess of
accumulated net investment income and/or accumulated realized gains or losses,
which resulted from differences between income tax regulations and GAAP, have
been reclassified to undistributed net investment income. Distributions which
were the result of permanent differences between book and tax rules have been
reclassified to paid-in-capital. The following amounts represent the
reclassifications as of December 31, 1994:
<TABLE>
<CAPTION>
ACCUMULATED UNDISTRIBUTED ADDITIONAL
NET REALIZED NET INVESTMENT PAID-IN
PORTFOLIO GAINS INCOME CAPITAL
---------------- ------------------- ------------------- --------------------
<S> <C> <C> <C>
Global Equity....................... $2,624,466 $ 548,059 $(3,172,525)
Equity.............................. (12,970) 12,970 --
Growth and Income................... 4,973 (4,973) --
Srategic Bond....................... 1,456,913 (1,540,015) 83,102
Global Government Bond.............. 1,734,913 (1,734,913) --
Investment Quality Bond............. (2,505) 2,505 --
U.S. Government Securities.......... 85,677 (85,677) --
Aggressive Asset Allocation......... 77,382 (77,382) --
Moderate Asset Allocation........... 1,408,789 (1,408,789) --
Conservative Asset Allocation....... 760,028 (760,028) --
</TABLE>
The Statement of Changes in Net Assets and Financial Highlights for previous
periods have not been restated to reflect this change in presentation. Net
investment income, net realized gains and net assets were not affected by this
change.
73
<PAGE> 158
NASL SERIES TRUST
FINANCIAL STATEMENTS
------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Page
----
<S> <C>
Fund Performance and Portfolio Managers' Commentary........................... iii
Report of Independent Accountants............................................. 1
Statements of Assets and Liabilities.......................................... 2
Statements of Operations...................................................... 6
Statements of Changes in Net Assets........................................... 10
Financial Highlights.......................................................... 14
Portfolio of Investments:
Global Equity Trust..................................................... 27
Pasadena Growth Trust................................................... 30
Equity Trust............................................................ 33
Value Equity Trust...................................................... 39
Growth and Income Trust................................................. 40
Strategic Bond Trust.................................................... 42
Global Government Bond Trust............................................ 46
Investment Quality Bond Trust........................................... 47
U.S. Government Securities Trust........................................ 50
Money Market Trust...................................................... 51
Aggressive, Moderate and Conservative Asset Allocation Trusts........... 54
Notes to Financial Statements................................................. 80
</TABLE>
ii
<PAGE> 159
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, Strategic Bond, Global Government Bond,
Investment Quality Bond, U.S. Government Securities, Money Market and
Aggressive, Moderate and Conservative Asset Allocation Trusts), including the
schedules of portfolio investments, as of December 31, 1994, and the related
statements of operations, the statements of changes in net assets and the
financial highlights for each of the periods indicated herein. 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 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, 1994 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, 1994, the results
of their operations, the changes in their net assets and financial highlights
for each of the periods indicated herein, in conformity with generally accepted
accounting principles.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
February 14, 1995
1
<PAGE> 160
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1994
-----------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL PASADENA VALUE
EQUITY GROWTH EQUITY EQUITY
TRUST TRUST TRUST TRUST
------------ ------------ ------------ ---------
<S> <C> <C> <C> <C>
ASSETS
Investment in securities, at value* (Including repurchase agreements
of $18,167,000 and $56,847,000 in the Pasadena Growth and Value
Equity Trusts, respectively) (See accompanying schedules)............ $614,971,406 $157,658,230 $539,271,813 $227,261,913
Receivable for forward foreign currency contracts to sell
(Notes 2 and 8)...................................................... 10,811,756 -- -- --
Forward foreign currency contracts to buy, at value (Cost: $10,885,487)
(Notes 2 and 8)...................................................... 10,923,593 -- -- --
Cash................................................................... 164 290 923 553
Foreign currency (Cost: $728,554 and $38,725 in the Global Equity
and Equity Trusts, respectively)..................................... 735,571 -- 39,175 --
Receivables:
Investments sold................................................... 11,169,578 1,183,829 904,140 1,691,042
Fund shares sold................................................... 161,649 171,603 1,248,222 34,462
Dividends.......................................................... 1,057,563 136,605 763,898 94,049
Interest........................................................... 12,928 5,198 13,308 17,694
Foreign tax withholding reclaim................................... 270,012 -- 51 --
Deferred organization expenses (Note 2)............................... -- 5,901 -- 6,284
Other assets........................................................... 9,942 2,159 7,751 2,730
------------ ------------ ------------ ------------
Total assets................................................... 650,124,162 159,163,815 542,249,281 229,108,727
------------ ------------ ------------ ------------
LIABILITIES
Forward foreign currency contracts to sell, at value (Cost: $10,811,756)
(Notes 2 and 8)...................................................... 10,841,320 -- -- --
Payables:
Forward foreign currency contracts to buy (Notes 2 and 8) ........ 10,885,487 -- -- --
Investments purchased.............................................. 11,790,147 7,367,122 7,445,671 3,691,289
Fund shares repurchased............................................ 136,926 35,340 122,555 3,538,305
Dividend withholding tax........................................... 109,870 445 6,228 --
Custodian fee...................................................... 99,975 6,001 15,821 4,838
Other accrued expenses............................................. 122,557 28,205 97,055 38,961
------------ ------------ ------------ ------------
Total liabilities.............................................. 33,986,282 7,437,113 7,687,330 7,273,393
------------ ------------ ------------ ------------
NET ASSETS............................................................. $616,137,880 $151,726,702 $534,561,951 $221,835,334
============ ============ ============ ============
Net assets consist of:
Undistributed net investment income................................ $ 2,412,913 $ 834,112 $ 4,079,883 $ 1,721,862
Accumulated net realized gains (losses) on investments ............ 24,386,140 (8,186,036) (7,140,235) 2,091,517
Unrealized appreciation (depreciation) on:
Investments.................................................... 11,672,549 1,112,195 23,039,339 (53,447)
Foreign currency and forward foreign currency contracts (24,349) -- 462
Capital shares at par value of $.01 (Note 4)...................... 391,408 167,578 364,521 195,755
Additional paid-in capital......................................... 577,299,219 157,798,853 514,217,981 217,879,647
------------ ------------ ------------ ------------
Net assets..................................................... $616,137,880 $151,726,702 $534,561,951 $221,835,334
============ ============ ============ ============
Capital shares outstanding (Note 4)................................... 39,140,838 16,757,839 36,452,063 19,575,533
------------ ------------ ------------ ------------
Net asset value, offering price and redemption price per share ........ $ 15.74 $ 9.05 $ 14.66 $ 11.33
============ ============ ============ ============
*Investment in securities, at identified cost (Note 2) ............... $603,298,857 $156,546,035 $516,232,474 $227,315,360
============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE> 161
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1994
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH AND GLOBAL
INCOME STRATEGIC GOVERNMENT
TRUST BOND TRUST BOND TRUST
---------- ------------- --------------
<S> <C> <C> <C>
ASSETS
Investment in securities, at value* (See accompanying schedules) ..... $412,579,444 $85,628,365 $202,010,234
Receivable for forward foreign currency contracts to sell
(Notes 2 and 8)...................................................... -- 11,687,226 20,000,000
Forward foreign currency contracts to buy, at value (Cost: $20,921,395
in the Global Government Bond Trust) (Notes 2 and 8)............... -- -- 21,010,782
Cash................................................................... 456 807 907
Foreign currency (Cost: $86, $369,523 and $2,048,024 in the Growth and
Income, Strategic Bond and Global Government Bond Trusts,
respectively).......................................................... 86 380,539 2,065,985
Receivables:
Investments sold................................................... 1,470,358 53,075 --
Fund shares sold................................................... 7,765 --
Dividends.......................................................... 1,230,166 -- --
Interest........................................................... 111,795 2,085,444 5,758,626
Foreign tax withholding reclaim.................................... 19,624 2,584 --
Deferred organization expenses (Note 2)............................... 18,965 9,427 --
Other assets........................................................... 5,930 1,312 3,560
------------ ----------- ------------
Total assets................................................... 415,444,589 99,848,779 250,850,094
------------ ----------- ------------
LIABILITIES
Forward foreign currency contracts to sell, at value (Cost: $11,687,226
and $20,000,000 in the Strategic Bond and Global Government Bond
Trusts, respectively) (Notes 2 and 8)............................... -- 11,732,504 20,159,822
Payables:
Forward foreign currency contracts to buy (Notes 2 and 8)......... -- -- 20,921,395
Investments purchased.............................................. 2,384,155 3,605,223 850,580
Fund shares repurchased............................................ 3,418,649 49,999 196,054
Dividend withholding tax........................................... 21,537 -- --
Interest withholding tax........................................... -- 1,426 139,088
Custodian fee...................................................... 9,391 10,611 29,107
Other accrued expenses............................................. 76,512 16,050 41,378
------------ ----------- ------------
Total liabilities.............................................. 5,910,244 15,415,813 42,337,424
------------ ----------- ------------
NET ASSETS............................................................. $409,534,345 $84,432,966 $208,512,670
============ =========== ============
Net assets consist of:
Undistributed net investment income................................ $ 8,554,134 $ 5,682,980 $ 13,288,441
Accumulated net realized gains (losses) on investments............. 4,308,680 (4,485,030) (12,355,812)
Unrealized appreciation (depreciation) on:
Investments.................................................... 17,189,270 (5,430,451) (10,066,747)
Foreign currency and forward foreign currency contracts (1,002) (42,813) (60,099)
Capital shares at par value of $.01 (Note 4)...................... 314,097 85,193 167,163
Additional paid-in capital......................................... 379,169,166 88,623,087 217,539,724
------------ ----------- ------------
Net assets..................................................... $409,534,345 $84,432,966 $208,512,670
============ =========== ============
Capital shares outstanding (Note 4)................................... 31,409,684 8,519,256 16,716,312
------------ ----------- ------------
Net asset value, offering price and redemption price per share ........ $ 13.04 $ 9.91 $ 12.47
============ =========== ============
*Investment in securities, at identified cost (Note 2)................ $395,390,174 $91,058,816 $212,076,981
============ =========== ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE> 162
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1994
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTMENT U.S. GOVERNMENT MONEY
QUALITY BOND SECURITIES MARKET
TRUST TRUST TRUST
---------------- ---------------- -------------
<S> <C> <C> <C>
ASSETS
Investment in securities, at value* (Including a repurchase agreement
of $54,632,000 in the U.S. Government Securities Trust)
(See accompanying schedules)............................... $109,878,094 $238,602,827 $274,266,422
Cash......................................................... 195 365 --
Receivables:
Investments sold......................................... 518,199 -- --
Fund shares sold......................................... -- -- 2,334,173
Interest................................................. 1,859,807 2,341,570 249,087
Other assets................................................. 1,745 3,215 3,744
------------ ------------ ------------
Total assets......................................... 112,258,040 240,947,977 276,853,426
------------ ------------ ------------
LIABILITIES
Payables:
Investments purchased (Note 2).......................... 361,927 51,819,658 --
Fund shares repurchased.................................. 448,173 139,387 62,276
Custodian fee............................................ 4,459 5,639 7,255
Due to custodian......................................... -- -- 56,287
Other accrued expenses................................... 20,125 35,570 53,802
Deferred mortgage dollar roll income......................... -- 134,375 --
------------ ------------ ------------
Total liabilities.................................... 834,684 52,134,629 179,620
------------ ------------ ------------
NET ASSETS................................................... $111,423,356 $188,813,348 $276,673,806
============ ============ ============
Net assets consist of:
Undistributed net investment income...................... $ 7,074,815 $ 11,807,528 --
Accumulated net realized losses on investments........... (5,600,344) (9,250,923) --
Unrealized depreciation on investments................... (4,334,270) (4,268,169) --
Capital shares at par value of $.01 (Note 4)............ 101,235 149,416 $ 276,674
Additional paid-in capital............................... 114,181,920 190,375,496 276,397,132
------------ ------------ ------------
Net assets........................................... $111,423,356 $188,813,348 $276,673,806
============ ============ ============
Capital shares outstanding (Note 4)......................... 10,123,550 14,941,588 27,667,381
------------ ------------ ------------
Net asset value, offering price and redemption price per
share...................................................... $ 11.01 $ 12.64 $ 10.00
============ ============
*Investment in securities, at identified cost (Note 2)...... $114,212,364 $242,870,996 $274,266,422
============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE> 163
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STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1994
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
ASSET ASSET ASSET
ALLOCATION ALLOCATION ALLOCATION
TRUST TRUST TRUST
-------------- -------------- -------------
<S> <C> <C> <C>
ASSETS
Investment in securities, at value* (See accompanying schedules) $179,080,007 $594,298,336 $212,654,102
Receivable for forward foreign currency contracts to sell (Notes 2 and 8) 433,925 3,184,345 1,662,268
Forward foreign currency contracts to buy, at value (Cost: $425,561,
$3,122,963 and $1,630,226 in the Aggressive, Moderate and Conservative
Asset Allocation Trusts, respectively) (Notes 2 and 8).... 432,945 3,177,152 1,658,513
Cash......................................................... 755 2,194 65,244
Foreign currency (Cost: $849,255, $2,498,200 and $504,809 in the Aggressive,
Moderate and Conservative Asset Allocation Trusts, respectively)
(Notes 2 and 8)............................................ 853,716 2,513,521 507,689
Variation margin receivable for open futures contracts....... 82,875 173,875 30,875
Receivables:
Investments sold......................................... 654,727 3,979,574 1,606,940
Fund shares sold......................................... 3,745,528 44,810 19
Dividends................................................ 283,704 679,236 141,286
Interest................................................. 787,712 4,821,934 2,504,853
Foreign tax withholding reclaim.......................... 5,518 14,421 1,771
Other assets................................................. 2,861 10,027 3,694
------------ ------------ ------------
Total assets......................................... 186,364,273 612,899,425 220,837,254
------------ ------------ ------------
LIABILITIES
Forward foreign currency contracts to sell, at value (Cost: $433,925,
$3,184,345 and $1,662,268 in the Aggressive, Moderate and Conservative
Asset Allocation Trusts, respectively) (Notes 2 and 8).... 432,945 3,177,152 1,658,513
Payables:
Forward foreign currency contracts to buy (Notes 2 and 8) 425,561 3,122,963 1,630,226
Investments purchased.................................... 735,725 1,293,225 537,411
Fund shares repurchased.................................. 42,073 624,371 218,168
Dividend withholding tax................................. 12,190 31,497 4,602
Custodian fee............................................ 18,743 38,760 28,735
Other accrued expenses................................... 35,221 120,382 43,859
------------ ------------ ------------
Total liabilities.................................... 1,702,458 8,408,350 4,121,514
------------ ------------ ------------
NET ASSETS................................................... $184,661,815 $604,491,075 $216,715,740
============ ============ ============
Net assets consist of:
Undistributed net investment income...................... $ 5,235,271 $ 25,570,598 $ 11,588,833
Accumulated net realized gains (losses) on investments... 6,287,998 3,285,302 (5,903,757)
Unrealized appreciation (depreciation) on:
Investments.......................................... 1,728,255 (3,821,664) (2,726,272)
Futures contracts.................................... (189,235) (412,895) (67,265)
Foreign currency and forward foreign currency contracts 12,523 75,865 34,817
Capital shares at par value of $.01 (Note 4)............ 165,257 560,103 209,562
Additional paid-in capital............................... 171,421,746 579,233,766 213,579,822
------------ ------------ ------------
Net assets........................................... $184,661,815 $604,491,075 $216,715,740
============ ============ ============
Capital shares outstanding (Note 4)......................... 16,525,699 56,010,309 20,956,187
------------ ------------ ------------
Net asset value, offering price and redemption price per share $ 11.17 $ 10.79 $ 10.34
============ ============ ============
*Investment in securities, at identified cost (Note 2)...... $177,351,752 $598,120,000 $215,380,374
============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE> 164
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STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1994
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL PASADENA VALUE
EQUITY GROWTH EQUITY EQUITY
TRUST TRUST TRUST TRUST
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
Investment Income:
Interest (Net of $1,036 withholding tax in the Equity Trust) $ 1,061,754 $ 561,248 $ 2,235,348 $ 1,605,525
Dividends (Net of $668,768, $5,132 and $15,475 withholding
tax in the Global Equity, Pasadena Growth and Equity Trusts,
respectively)............................................ 7,239,709 1,528,178 5,728,675 1,509,383
----------- ----------- ----------- -----------
Total income........................................... 8,301,463 2,089,426 7,964,023 3,114,908
----------- ----------- ----------- -----------
Expenses:
Investment adviser fees (Note 6).......................... 4,916,694 1,255,314 3,483,279 1,274,807
Custodian fees............................................. 801,863 67,724 251,780 63,880
Registration and filing fees............................... 83,884 20,023 73,812 26,890
Audit and legal fees....................................... 51,790 12,125 43,889 15,677
Amortization of deferred organization expenses (Note 2) .. -- 2,000 -- 2,000
Miscellaneous.............................................. 14,871 4,216 15,379 4,022
Trustees fees and expenses (Note 7)....................... 19,448 4,502 16,001 5,770
----------- ----------- ----------- -----------
Expenses before waiver or reimbursement by
subadviser (Note 6).................................. 5,888,550 1,365,904 3,884,140 1,393,046
Reimbursement of expenses by subadviser................. -- 110,590 -- --
----------- ----------- ----------- -----------
Total expenses......................................... 5,888,550 1,255,314 3,884,140 1,393,046
----------- ----------- ----------- -----------
Net investment income.................................. 2,412,913 834,112 4,079,883 1,721,862
----------- ----------- ----------- -----------
Realized and unrealized loss on investments and foreign currency:
Net realized gain (loss) on:
Investment transactions.................................. 27,723,033 (6,205,010) (5,142,011) 2,091,517
Foreign currency and forward foreign currency contracts . (3,297,130) -- 12,970
Change in unrealized appreciation (depreciation) on:
Investments.............................................. (30,879,531) (746,806) (2,473,332) (5,044,529)
Translation of foreign currency and
forward foreign currency contracts..................... 29,893 -- 462 --
----------- ----------- ----------- -----------
Net loss on investments and foreign currency............... (6,423,735) (6,951,816) (7,601,911) (2,953,012)
----------- ----------- ----------- -----------
Net decrease in net assets resulting
from operations...................................... $(4,010,822) $(6,117,704) $(3,522,028) $(1,231,150)
=========== =========== =========== ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE> 165
NASL SERIES TRUST
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1994
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH AND STRATEGIC GLOBAL
INCOME BOND GOVERNMENT
TRUST TRUST BOND TRUST
---------------- -------------- ----------
<S> <C> <C> <C>
Investment Income:
Interest (Net of $303,084 and $317,798 withholding tax in the Strategic
Bond and Global Government Bond Trusts, respectively) ........... $ 1,088,807 $ 6,344,700 $ 15,388,139
Dividends (Net of $105,015 withholding tax in the Growth and
Income Trust).................................................... 10,392,508 30,000 --
----------- ----------- ------------
Total income................................................... 11,481,315 6,374,700 15,388,139
----------- ----------- ------------
Expenses:
Investment adviser fees (Note 5).................................. 2,670,229 588,051 1,742,811
Custodian fees..................................................... 126,516 78,066 295,044
Registration and filing fees....................................... 57,346 10,780 28,094
Audit and legal fees............................................... 33,821 7,097 19,137
Amortization of deferred organization expenses (Note 2) .......... 14,804 3,000 --
Miscellaneous...................................................... 12,164 2,054 7,217
Trustees fees and expenses (Note 7)............................... 12,301 2,672 7,395
----------- ----------- ------------
Total expenses................................................. 2,927,181 691,720 2,099,698
----------- ----------- ------------
Net investment income.......................................... 8,554,134 5,682,980 13,288,441
----------- ----------- ------------
Realized and unrealized gain (loss) on investments and foreign
currency:
Net realized gain (loss) on:
Investment transactions.......................................... 4,449,869 (2,356,585) (15,161,567)
Foreign currency and forward foreign currency contracts ...... (4,973) (2,128,445) 2,805,755
Change in unrealized depreciation on:
Investments...................................................... (4,089,736) (5,649,435) (14,313,961)
Translation of foreign currency and
forward foreign currency contracts............................. (1,002) (138,382) (252,058)
----------- ----------- ------------
Net gain (loss) on investments and foreign currency ............... 354,158 (10,272,847) (26,921,831)
----------- ----------- ------------
Net increase (decrease) in net assets resulting
from operations.............................................. $ 8,908,292 $(4,589,867) $(13,633,390)
=========== =========== ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
7
<PAGE> 166
NASL SERIES TRUST
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1994
- ----------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTMENT U.S. GOVERNMENT MONEY
QUALITY BOND SECURITIES MARKET
TRUST TRUST TRUST
----------------- ----------------- -----------
<S> <C> <C> <C>
Investment Income:
Interest.......................................... $ 7,899,490 $13,316,460 $10,432,881
----------- ----------- -----------
Expenses:
Investment adviser fees (Note 6)................. 709,069 1,350,850 1,158,400
Custodian fees.................................... 78,085 94,327 81,829
Registration and filing fees...................... 16,421 29,240 41,761
Audit and legal fees.............................. 9,780 18,545 22,978
Miscellaneous..................................... 7,712 9,080 7,265
Trustees fees and expenses (Note 7).............. 3,608 6,890 7,800
----------- ----------- -----------
Total expenses.................................. 824,675 1,508,932 1,320,033
----------- ----------- -----------
Net investment income........................... 7,074,815 11,807,528 9,112,848
----------- ----------- -----------
Realized and unrealized loss on investments:
Net realized loss on investment transactions...... (4,776,012) (9,158,110) --
Change in unrealized depreciation on investments.. (7,428,247) (5,645,645) --
----------- ----------- -----------
Net loss on investments........................... (12,204,259) (14,803,755) --
----------- ----------- -----------
Net increase (decrease) in net assets resulting
from operations............................... $(5,129,444) $(2,996,227) $ 9,112,848
=========== =========== ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
8
<PAGE> 167
NASL SERIES TRUST
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1994
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE ASSET MODERATE ASSET CONSERVATIVE
ALLOCATION TRUST ALLOCATION TRUST ASSET ALLOCATION
TRUST
------------------ ----------------- -----------------
<S> <C> <C> <C>
Investment Income:
Interest..................................................... $ 3,770,406 $ 23,545,017 $12,140,307
Dividends (Net of $47,370, $119,804 and $19,193 withholding tax
in the Aggressive, Moderate and Conservative Asset
Allocation Trusts, respectively)........................... 3,069,417 7,416,498 1,530,716
----------- ------------ -----------
Total income............................................ 6,839,823 30,961,515 13,671,023
----------- ------------ -----------
Expenses:
Investment adviser fees (Note 6)............................ 1,354,682 4,783,431 1,788,821
Custodian fees............................................... 180,902 384,582 208,056
Registration and filing fees................................. 33,499 111,096 41,395
Audit and legal fees......................................... 18,012 61,424 22,976
Miscellaneous................................................ 11,426 29,273 13,105
Trustees fees and expenses (Note 7)......................... 6,031 21,111 7,837
----------- ------------ -----------
Total expenses.......................................... 1,604,552 5,390,917 2,082,190
----------- ------------ -----------
Net investment income................................... 5,235,271 25,570,598 11,588,833
----------- ------------ -----------
Realized and unrealized loss on investments, futures and foreign
currency:
Net realized gain (loss) on:
Investment transactions.................................... 6,569,414 5,151,440 (5,512,747)
Futures contracts.......................................... (180,011) (921,011) 49,768
Foreign curency and forward foreign currency contracts .... 17,865 (657,486) (352,436)
Change in unrealized appreciation (depreciation) on:
Investments................................................ (12,785,972) (39,233,463) (10,429,286)
Futures contracts.......................................... (185,853) (404,043) (54,855)
Translation of foreign currency and
forward foreign currency contracts....................... 12,523 75,865 34,817
----------- ------------ -----------
Net loss on investments, futures and foreign currency ....... (6,552,034) (35,988,698) (16,264,739)
----------- ------------ -----------
Net decrease in net assets resulting from operations ... $(1,316,763) $(10,418,100) $(4,675,906)
============ ============ ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE> 168
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL PASADENA
EQUITY TRUST GROWTH TRUST EQUITY TRUST
------------------------ ------------------------ --------------------------
YEARS ENDED DECEMBER 31,
---------------------------------------------------------------------------------------
1994 1993 1994 1993 1994 1993
---------- --------- ---------- --------- --------- ------------
<S> <C> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income............ $ 2,412,913 $ 1,545,243 $ 834,112 $ 520,348 $ 4,079,883 $ 1,293,216
Net realized gain (loss) on:
Investment transactions .... 27,723,033 10,684,831 (6,205,010) (1,981,026) (5,142,011) 28,780,640
Foreign currency and forward
foreign currency contracts (3,297,130) (600,623) -- -- 12,970 --
Change in unrealized appreciation
(depreciation) on:
Investments................. (30,879,531) 39,031,718 (746,806) 2,065,358 (2,473,332) 7,757,515
Foreign currency and forward
foreign currency contracts 29,893 (221,715) -- -- 462 --
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations.................... (4,010,822) 50,439,454 (6,117,704) 604,680 (3,522,028) 37,831,371
Distributions to shareholders from:
Net investment income............ (677,274) (1,774,209) (520,348) (14,449) (1,293,216) (9,053,893)
Net realized gains on investments
and foreign currency transactions (7,076,483) -- -- -- (21,652,190) --
Increase in net assets from capital
share transactions (Note 4) .... 250,031,306 212,475,188 53,398,858 73,257,776 173,187,168 166,438,364
------------ ------------ ------------ ------------ ----------- ------------
Total increase in net assets....... 238,266,727 261,140,433 46,760,806 73,848,007 146,719,734 195,215,842
Net assets at beginning of period . 377,871,153 116,730,720 104,965,896 31,117,889 387,842,217 192,626,375
------------ ------------ ------------ ------------ ----------- ------------
Net assets at end of period........ $616,137,880 $377,871,153 $151,726,702 $104,965,896 $534,561,951 $387,842,217
============ ============ ============ ============ ============ ============
Undistributed net investment income $ 2,412,913 $ 1,545,243 $ 834,112 $ 520,348 $ 4,079,883 $ 1,293,216
============ ============ ============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
VALUE
EQUITY TRUST
--------------------------
YEAR 2/19/93*
ENDED TO
12/31/94 12/31/93
--------- ----------
<S> <C> <C>
Increase in net assets:
Operations:
Net investment income............ $ 1,721,862 $ 499,620
Net realized gain (loss) on:
Investment transactions .... 2,091,517 262,345
Foreign currency and forward
foreign currency contracts -- --
Change in unrealized appreciation
(depreciation) on:
Investments................. (5,044,529) 4,991,082
Foreign currency and forward
foreign currency contracts -- --
------------ -----------
Net increase (decrease) in net
assets resulting from
operations.................... (1,231,150) 5,753,047
Distributions to shareholders from:
Net investment income............ (499,620) --
Net realized gains on investments
and foreign currency transactions (262,345) --
Increase in net assets from capital
share transactions (Note 4) .... 137,356,061 80,719,341
------------ ----------
Total increase in net assets....... 135,362,946 86,472,388
Net assets at beginning of period . 86,472,388 --
------------ -----------
Net assets at end of period........ $221,835,334 $86,472,388
============ ===========
Undistributed net investment income $ 1,721,862 $ 499,620
============ ===========
</TABLE>
- ------------------------------
* Commencement of operations
The accompanying notes are an integral part of the financial statements.
10
<PAGE> 169
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH AND STRATEGIC GLOBAL GOVERNMENT
INCOME TRUST BOND TRUST BOND TRUST
------------------------ ----------------------- ------------
YEARS ENDED YEARS ENDED
DECEMBER 31, YEAR 2/19/93* DECEMBER 31,
------------------------ ENDED TO ------------
1994 1993 12/31/94 12/31/93 1994
--------- --------- ---------- --------- ------------
<S> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income.................... $ 8,554,134 $ 4,722,494 $ 5,682,980 $ 1,604,820 $ 13,288,441
Net realized gain (loss) on:
Investment transactions................ 4,449,869 4,293,740 (2,356,585) 207,315 (15,161,567)
Foreign currency and forward foreign
currency contracts................... (4,973) -- (2,128,445) 326,912 2,805,755
Change in unrealized appreciation
(depreciation) on:
Investments............................ (4,089,736) 9,093,480 (5,649,435) 218,984 (14,313,961)
Foreign currency and forward foreign
currency contracts................... (1,002) -- (138,382) 95,569 (252,058)
------------ ------------ ----------- ----------- ------------
Net increase (decrease) in net assets
resulting from operations............ 8,908,292 18,109,714 (4,589,867) 2,453,600 (13,633,390)
Distributions to shareholders from:
Net investment income.................... (4,722,494) (2,463,582) (1,838,642) -- (4,984,315)
Net realized gains on investments and foreign
currency transactions.................. (4,429,956) (234,137) (291,974) -- (6,059,984)
Increase in net assets from
capital share transactions (Note 4) 121,013,774 142,368,361 37,513,081 51,186,768 36,373,364
------------ ------------ ----------- ----------- ------------
Total increase in net assets............... 120,769,616 157,780,356 30,792,598 53,640,368 11,695,675
Net assets at beginning of period.......... 288,764,729 130,984,373 53,640,368 -- 196,816,995
------------ ------------ ----------- ----------- ------------
Net assets at end of period................ $409,534,345 $288,764,729 $84,432,966 $53,640,368 $208,512,670
============ ============ =========== =========== ============
Undistributed net investment income........ $ 8,554,134 $ 4,722,494 $ 5,682,980 $ 1,604,820 $ 13,288,441
============ ============ =========== =========== ============
<CAPTION>
GLOBAL GOVERNMENT
BOND TRUST
------------
YEARS ENDED
DECEMBER 31,
----------
1993
----------
<S> <C>
Increase in net assets:
Operations:
Net investment income.................... $ 6,644,367
Net realized gain (loss) on:
Investment transactions................ 4,858,950
Foreign currency and forward foreign
currency contracts................... (219,156)
Change in unrealized appreciation
(depreciation) on:
Investments............................ 6,914,509
Foreign currency and forward foreign
currency contracts................... 76,870
------------
Net increase (decrease) in net assets
resulting from operations............ 18,275,540
Distributions to shareholders from:
Net investment income.................... (4,581,966)
Net realized gains on investments and foreign
currency transactions.................. (679,976)
Increase in net assets from
capital share transactions (Note 4) 115,944,014
------------
Total increase in net assets............... 128,957,612
Net assets at beginning of period.......... 67,859,383
------------
Net assets at end of period................ $196,816,995
============
Undistributed net investment income........ $ 6,644,367
============
</TABLE>
- ------------------------------
* Commencement of operations
The accompanying notes are an integral part of the financial statements.
11
<PAGE> 170
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTMENT QUALITY U.S. GOVERNMENT MONEY MARKET
BOND TRUST SECURITIES TRUST TRUST
------------------------ ------------------------ ------------------------
YEARS ENDED DECEMBER 31,
-----------------------------------------------------------------------------
1994 1993 1994 1993 1994 1993
--------- --------- ---------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income.............. $ 7,074,815 $ 4,915,071 $ 11,807,528 $ 8,963,617 $ 9,112,848 $ 3,223,695
Net realized gain (loss) on
investment transactions........ (4,776,012) 833,106 (9,158,110) 2,316,765 -- --
Change in unrealized appreciation
(depreciation) on investments.. (7,428,247) 1,191,580 (5,645,645) 396,371 -- --
------------ ----------- ------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations...... (5,129,444) 6,939,757 (2,996,227) 11,676,753 9,112,848 3,223,695
Distributions to shareholders from:
Net investment income.............. (4,745,354) (3,398,212) (8,773,625) (5,131,369) (9,112,848) (3,223,695)
Net realized gains on investments.. -- -- (2,599,570) (913,582) -- --
Increase (decrease) in net assets from
capital share transactions
(Note 4)....................... 21,823,760 35,747,452 (18,888,972) 90,494,737 144,399,345 42,739,047
------------ ----------- ------------ ------------ ------------ ------------
Total increase (decrease) in net
assets............................. 11,948,962 39,288,997 (33,258,394) 96,126,539 144,399,345 42,739,047
Net assets at beginning of period.... 99,474,394 60,185,397 222,071,742 125,945,203 132,274,461 89,535,414
------------ ----------- ------------ ------------ ------------ ------------
Net assets at end of period.......... $111,423,356 $99,474,394 $188,813,348 $222,071,742 $276,673,806 $132,274,461
============ =========== ============ ============ ============ ============
Undistributed net investment income.. $ 7,074,815 $ 4,915,071 $ 11,807,528 $ 8,963,617 $ -- $ --
============ =========== ============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE> 171
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE ASSET MODERATE ASSET CONSERVATIVE ASSET
ALLOCATION TRUST ALLOCATION TRUST ALLOCATION TRUST
------------------------ ------------------------ ------------------
YEARS ENDED DECEMBER 31,
---------------------------------------------------------------------
1994 1993 1994 1993 1994
--------- --------- ---------- --------- ---------
<S> <C> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income.............. $ 5,235,271 $ 4,843,656 $ 25,570,598 $ 23,246,386 $ 11,588,833
Net realized gain (loss) on:
Investment transactions.......... 6,569,414 6,469,903 5,151,440 19,149,362 (5,512,747)
Futures contracts................ (180,011) 66,498 (921,011) 1,146,881 49,768
Foreign currency and forward foreign
currency contracts............. 17,865 -- (657,486) -- (352,436)
Change in unrealized appreciation
(depreciation) on:
Investments...................... (12,785,972) 4,762,273 (39,233,463) 11,442,765 (10,429,286)
Futures contracts................ (185,853) (36,667) (404,043) (130,824) (54,855)
Foreign currency and forward foreign
currency contracts............. 12,523 -- 75,865 -- 34,817
------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations...... (1,316,763) 16,105,663 (10,418,100) 54,854,570 (4,675,906)
Distributions to shareholders from:
Net investment income.............. (4,671,543) (4,187,318) (22,106,187) (18,818,974) (10,206,968)
Net realized gains on investments and foreign
currency transactions............ (6,656,551) (641,974) (20,585,004) (3,428,142) (5,487,838)
Increase (decrease) in net assets from
capital share transactions (Note 4) 22,858,831 11,544,327 13,343,677 105,682,374 (13,031,012)
------------ ------------ ------------ ------------ ------------
Total increase (decrease) in net assets (10,213,974) 22,820,698 (39,765,614) 138,289,828 (33,401,724)
Net assets at beginning of period.... 174,447,841 151,627,143 644,256,689 505,966,861 250,117,464
------------ ------------ ------------ ------------ ------------
Net assets at end of period.......... $184,661,815 $174,447,841 $604,491,075 $644,256,689 $216,715,740
============ ============ ============ ============ ============
Undistributed net investment income.. $ 5,235,271 $ 4,843,656 $ 25,570,598 $ 23,246,386 $ 11,588,833
============ ============ ============ ============ ============
<CAPTION>
CONSERVATIVE ASSET
ALLOCATION TRUST
------------------
YEARS ENDED DECEMBER 31,
1993
-----------
<S> <C>
Increase (decrease) in net assets:
Operations:
Net investment income.............. $ 10,822,715
Net realized gain (loss) on:
Investment transactions.......... 6,087,687
Futures contracts................ (98,567)
Foreign currency and forward foreign
currency contracts............. --
Change in unrealized appreciation
(depreciation) on:
Investments...................... 2,241,261
Futures contracts................ (15,016)
Foreign currency and forward foreign
currency contracts............. --
------------
Net increase (decrease) in net assets
resulting from operations...... 19,038,080
Distributions to shareholders from:
Net investment income.............. (8,900,240)
Net realized gains on investments and foreign
currency transactions............ --
Increase (decrease) in net assets from
capital share transactions (Note 4) 38,193,119
------------
Total increase (decrease) in net assets 48,330,959
Net assets at beginning of period.... 201,786,505
------------
Net assets at end of period.......... $250,117,464
============
Undistributed net investment income.. $ 10,822,715
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE> 172
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL EQUITY TRUST
------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
----------------------------------------------------------------------
3/18/88*
TO
1994 1993 1992 1991 1990 1989 12/31/88
------- ------ ------- ------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period................................ $15.73 $12.00 $12.24 $11.00 $12.57 $10.15 $10.03
Income from investment operations:
Net investment income (loss) (B)........ 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.......................... 0.22 3.79 (0.19) 1.23 (1.41) 2.32 0.17
-------- -------- -------- ------- ------- ------ ------
Total from investment operations.... 0.27 3.91 (0.09) 1.39 (1.29) 2.42 0.12
Less distributions:
Dividends from net investment
income ................................ (0.02) (0.18) (0.15) (0.15) (0.04) ---- ----
Distributions from capital gains......... (0.24) ---- ---- ---- (0.24) ---- ----
-------- -------- ------- ------- -------- ------- -------
Total distributions................. (0.26) (0.18) (0.15) (0.15) (0.28) ---- ----
-------- -------- -------- ------- ------- ------- -------
Net asset value, end of period............. $15.74 $15.73 $12.00 $12.24 $11.00 $12.57 $10.15
======== ======== ======== ======= ======= ======= =======
Total return....................... 1.74% 32.89% (0.72%) 12.80% (10.43%) 23.84% 1.20%
Net assets, end of period (000's)......... $616,138 $377,871 $116,731 $89,003 $63,028 $26,223 $2,143
Ratio of operating expenses to
average net assets (C).................. 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....................... 0.44% 0.77% 1.12% 1.47% 1.97% 1.82% (1.71%)(A)
Portfolio turnover rate.................... 52% 52% 69% 74% 67% 109% 81% (A)
</TABLE>
- ---------------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
14
<PAGE> 173
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Pasadena Growth Trust
-------------------------------------------------------------
12/11/92*
Year Ended Year Ended to
December 31, 1994 December 31, 1993 12/31/92
----------------- ----------------- --------
<S> <C> <C> <C>
Net asset value, beginning
of period.................................. $ 9.55 $ 9.93 $ 10.00
Income from investment operations:
Net investment income (B)................. 0.04 0.05 0.00
Net realized and unrealized
loss on investments...................... (0.50) (0.42) (0.07)
-------- -------- -------
Total from investment operations ..... (0.46) (0.37) (0.07)
Less distributions:
Dividends from net investment income ...... (0.04) (0.01) --
-------- -------- -------
Total distributions................... (0.04) (0.01) --
-------- -------- -------
Net asset value, end of period............... $ 9.05 $ 9.55 $ 9.93
-------- -------- -------
Total return.......................... (4.80%) (3.80%) (0.70%)
Net assets, end of period (000's)........... $151,727 $104,966 $31,118
Ratio of operating expenses to
average net assets (C).................... 0.975% 0.975% 1.06%(A)
Ratio of net investment income to
average net assets......................... 0.65% 0.75% 1.04%(A)
Portfolio turnover rate...................... 33% 12% 0%(A)
</TABLE>
- ------------------------
* Commencement of operations.
(A) Annualized
(B) After expense reimbursement per share of less than $0.01 for the year ended
December 31, 1994 and $0.01 in 1993.
(C) The ratio of operating expenses, before reimbursement from the subadviser,
was 1.06% for the year ended December 31, 1994 and 1.09% in 1993.
The accompanying notes are an integral part of the financial statements.
15
<PAGE> 174
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY TRUST
---------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
---------------------------------------------------------------------------
1994 1993** 1992 1991 1990 1989 1988
------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period.......................... $15.57 $13.97 $13.12 $11.33 $19.14 $15.17 $12.57
Income from investment operations:
Net investment income (B)......... 0.11 0.07 0.64 0.14 0.24 0.29 0.15
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions (0.18) 2.11 0.38 1.88 (1.95) 3.87 2.45
------ ------ ------ ------ ------ ------ ------
Total from investment
operations.................. (0.07) 2.18 1.02 2.02 (1.71) 4.16 2.60
Less distributions:
Dividends from net
investment income................ (0.05) (0.58) (0.17) (0.23) (0.29) (0.12) ----
Distributions from capital gains (0.79) ---- ---- ---- (5.81) (0.07) ----
------ ------ ------ ------ ------ ------ ------
Total distributions........... (0.84) (0.58) (0.17) (0.23) (6.10) (0.19) ----
------ ------ ------ ------ ------ ------ ------
Net asset value, end of period. $14.66 $15.57 $13.97 $13.12 $11.33 $19.14 $15.17
====== ====== ====== ====== ====== ====== ======
Total return................. (0.53%) 16.31% 7.93% 17.94% (11.79%) 27.70% 20.71%
Net assets, end of period (000's) $534,562 $387,842 $192,626 $88,235 $36,564 $32,108 $133,852
Ratio of operating expenses to
average net assets (C)............ 0.84% 0.88% 0.95% 0.89% 0.97% 1.02% 1.08%
Ratio of net investment income to
average net assets................. 0.88% 0.50% 7.31% 2.23% 2.74% 1.90% 1.80%
Portfolio turnover rate.............. 132% 173% 782% 172% 95% 111% 49%
</TABLE>
<TABLE>
<CAPTION>
EQUITY TRUST
------------------------------
YEARS ENDED
DECEMBER 31,
---------------
6/18/85*
TO
1987 1986 12/31/85
------ ------ --------
<S> <C> <C> <C>
Net asset value, beginning
of period.......................... $13.01 $11.39 $10.72
Income from investment operations:
Net investment income (B)......... 0.19 0.27 0.12
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions 0.97 1.80 0.55
---- ------ ------
Total from investment
operations.................. 1.16 2.07 0.67
Less distributions:
Dividends from net
investment income................ (0.14) (0.24) ----
Distributions from capital gains (1.46) (0.21) ----
------
Total distributions........... (1.60) (0.45) ----
------ ------ ------
Net asset value, end of period. $12.57 $13.01 $11.39
====== ====== ======
Total return................. 6.87% 18.50% 6.20%
Net assets, end of period (000's) $37,001 $1,408 $1,143
Ratio of operating expenses to
average net assets (C)............ 1.15% 1.41% 1.57%(A)
Ratio of net investment income to
average net assets................. 1.33% 1.19% 2.05%(A)
Portfolio turnover rate.............. 64% 209% 214%(A)
</TABLE>
- ------------------------
* Commencement of operations.
** Net investment income per share has been 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.
The accompanying notes are an integral part of the financial statements.
16
<PAGE> 175
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (For a Share Outstanding Throughout the Period)
<TABLE>
<CAPTION>
VALUE EQUITY TRUST
------------------------------
YEAR 2/19/93*
ENDED TO
12/31/94** 12/31/93
---------- --------
<S> <C> <C>
Net asset value, beginning
of period.............................. $11.31 $10.00
Income from investment operations:
Net investment income.................. 0.12 0.07
Net realized and unrealized gain
(loss) on investments................ (0.03) 1.24
------ ------
Total from investment
operations...................... 0.09 1.31
Less Distributions
Dividends from net investment income (0.05) ----
Distributions from capital gains....... (0.02) ----
------ ------
Total distributions.............. (0.07) ----
------ ------
Net asset value, end of period........... $11.33 $11.31
====== ======
Total return...................... 0.79% 13.10%
Net assets, end of period (000's)....... $221,835 $86,472
Ratio of operating expenses to
average net assets..................... 0.87% 0.94%(A)
Ratio of net investment income to
average net assets..................... 1.08% 1.30%(A)
Portfolio turnover rate.................. 26% 33%(A)
</TABLE>
- ------------------------
* Commencement of operations.
** Net investment income per share has been calculated using the average
shares method for fiscal year 1994.
(A) Annualized
The accompanying notes are an integral part of the financial statements.
17
<PAGE> 176
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH AND INCOME TRUST
-----------------------------------------------
YEARS ENDED DECEMBER 31, 4/23/91*
---------------------------------- TO
1994 1993 1992 12/31/91
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning
of period ................................ $ 13.05 $ 12.10 $ 11.08 $ 10.00
Income from investment operations:
Net investment income .................... 0.25 0.17 0.20 0.13
Net realized and unrealized gain
on investments and foreign currency
transactions .......................... 0.11 0.98 0.92 0.95
-------- -------- -------- --------
Total from investment operations .... 0.36 1.15 1.12 1.08
Less distributions:
Dividends from net investment income ..... (0.19) (0.18) (0.10) --
Distributions from capital gains ......... (0.18) (0.02) -- --
-------- -------- -------- --------
Total distributions ................. (0.37) (0.20) (0.10) --
-------- -------- -------- --------
Net asset value, end of period ............. $ 13.04 $ 13.05 $ 12.10 $ 11.08
======== ======== ======== ========
Total return ....................... 2.85% 9.62% 10.23% 10.80%
Net assets, end of period (000's) ......... $409,534 $288,765 $130,984 $ 57,404
Ratio of operating expenses to
average net assets ....................... 0.82% 0.85% 0.85% 0.98%(A)
Ratio of net investment income to
average net assets ....................... 2.40% 2.29% 2.78% 2.92%(A)
Portfolio turnover rate .................... 42% 39% 44% 62%(A)
</TABLE>
- ------------------
* Commencement of operations.
(A) Annualized
The accompanying notes are an integral part of the financial statements.
18
<PAGE> 177
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STRATEGIC BOND TRUST
--------------------------
YEAR 2/19/93*
ENDED TO
12/31/94 12/31/93
-------- --------
<S> <C> <C>
Net asset value, beginning
of period .............................. $ 10.88 $ 10.00
Income from investment operations:
Net investment income .................. 0.57 0.33
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ........................ (1.22) 0.55
------- -------
Total from investment
operations ...................... (0.65) 0.88
Less distributions:
Dividends from net investment income ... (0.28) --
Distributions from capital gains ....... (0.04) --
------- -------
Total distributions ............... (0.32) --
------- -------
Net asset value, end of period ........... $ 9.91 $ 10.88
======= =======
Total return ...................... (5.99%) 8.80%
Net assets, end of period (000's) ....... $84,433 $53,640
Ratio of operating expenses to
average net assets ..................... 0.91% 1.00%(A)
Ratio of net investment income to
average net assets ..................... 7.49% 6.56%(A)
Portfolio turnover rate .................. 197% 356%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
The accompanying notes are an integral part of the financial statements.
19
<PAGE> 178
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL GOVERNMENT BOND TRUST
-----------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
------------------------------------------------------------
3/18/88*
TO
1994 1993 1992 1991 1990 1989 12/31/88
-------- -------- ------- ------- ------- ------ --------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period............................. $ 13.93 $ 12.47 $ 12.88 $ 11.59 $ 10.50 $10.21 $10.03
Income from investment operations:
Net investment income ................ 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..... (1.54) 1.67 (0.16) 1.21 1.13 -- 0.04
-------- -------- ------- ------- ------- ------ ------
Total from investment operations. (0.80) 2.26 0.26 1.76 1.38 0.45 0.18
Less distributions:
Dividends from net investment income.. (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.............. (0.66) (0.80) (0.67) (0.47) (0.29) (0.16) --
-------- -------- ------- ------- ------- ------ ------
Net asset value, end of period.......... $ 12.47 $ 13.93 $ 12.47 $ 12.88 $ 11.59 $10.50 $10.21
======== ======== ======= ======= ======= ====== ======
Total return.................... (5.75%) 18.99% 2.27% 15.86% 13.49% 4.49% 1.79%
Net assets, end of period (000's)...... $208,513 $196,817 $67,859 $28,251 $11,582 $4,065 $1,355
Ratio of operating expenses to
average net assets.................... 0.96% 1.06% 1.05% 1.14% 1.21% 1.50% 3.39%(A)
Ratio of net investment income to
average net assets.................... 6.10% 5.61% 6.71% 17.28% 6.62% 7.15% 3.74%(A)
Portfolio turnover rate................. 157% 154% 132% 164% 142% 50% 234%(A)
</TABLE>
- --------------------------
* Commencement of operations.
(A) Annualized
The accompanying notes are an integral part of the financial statements.
20
<PAGE> 179
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTMENT QUALITY BOND TRUST
--------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
--------------------------------------------------------------------------------------
1994 1993 1992 1991** 1990 1989 1988
-------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ......................... $ 12.12 $ 11.58 $ 11.33 $ 10.74 $ 12.37 $ 11.55 $ 10.79
Income from investment operations:
Net investment income (B) ........ 0.66 0.60 0.63 0.76 1.12 0.75 0.57
Net realized and unrealized gain
(loss) on investments ........... (1.23) 0.53 0.15 0.85 (1.50) 0.51 0.19
-------- -------- -------- -------- -------- -------- --------
Total from investment
operations ................. (0.57) 1.13 0.78 1.61 (0.38) 1.26 0.76
Less distributions:
Dividends from net
investment income ............... (0.54) (0.59) (0.53) (1.02) (1.25) (0.44) --
Distributions from capital gains .. -- -- -- -- -- -- --
-------- -------- -------- -------- -------- -------- --------
Total distributions .......... (0.54) (0.59) (0.53) (1.02) (1.25) (0.44) --
-------- -------- -------- -------- -------- -------- --------
Net asset value, end of period ...... $ 11.01 $ 12.12 $ 11.58 $ 11.33 $ 10.74 $ 12.37 $ 11.55
======== ======== ======== ======== ======== ======== ========
Total return ................ (4.64%) 10.01% 7.21% 16.07 (2.73%) 11.34% 7.09%
Net assets, end of period (000's) .. $111,423 $ 99,474 $ 60,185 $ 38,896 $ 20,472 $ 26,965 $114,221
Ratio of operating expenses to
average net assets (C) ........... 0.76% 0.77% 0.80% 0.85% 0.70% 0.83% 0.89%
Ratio of net investment income to
average net assets ................ 6.49% 6.03% 6.96% 7.47% 8.41% 8.77% 7.97%
Portfolio turnover rate ............. 140% 33% 59% 115% 120% 351% 94%
<CAPTION>
INVESTMENT QUALITY BOND TRUST
--------------------------------------------
YEARS ENDED DECEMBER 31,
-------------------------
6/18/85*
TO
1987 1986 12/31/85
-------- -------- --------
<S> <C> <C> <C>
Net asset value, beginning
of period ......................... $ 11.58 $ 11.18 $ 10.28
Income from investment operations:
Net investment income (B) ........ 0.81 1.02 0.55
Net realized and unrealized gain
(loss) on investments ........... (0.50) 0.37 0.35
-------- -------- --------
Total from investment
operations ................. 0.31 1.39 0.90
Less distributions:
Dividends from net
investment income ............... (0.88) (0.69) --
Distributions from capital gains .. -- (0.22) --
-------- -------- --------
Total distributions .......... (1.10) (0.99) --
-------- -------- --------
Net asset value, end of period ...... $ 10.79 $ 11.58 $ 11.18
======== ======== ========
Total return ................ 2.61% 13.25% 8.72%
Net assets, end of period (000's) .. $ 25,131 $ 1,295 $ 1,120
Ratio of operating expenses to
average net assets (C) ........... 0.95% 1.16% 1.31%(A)
Ratio of net investment income to
average net assets ................ 7.46% 8.11% 9.99%(A)
Portfolio turnover rate ............. 201% 127% 165%(A)
</TABLE>
- --------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
21
<PAGE> 180
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES TRUST
-----------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
---------------------------------------------------------------------- 3/18/88*
TO
1994 1993 1992 1991 1990 1989** 12/31/88
-------- -------- -------- ------- ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ............................ $ 13.48 $ 13.05 $ 12.85 $ 11.83 $ 10.98 $ 9.81 $ 10.03
Income from investment operations:
Net investment income (B) ........... 0.77 0.48 0.10 0.19 1.07 0.20 0.07
Net realized and unrealized gain
(loss) on investments .............. (0.95) 0.49 0.65 1.40 (0.13) 1.08 (0.29)
-------- -------- -------- ------- ------- ------- -------
Total from investment operations. (0.18) 0.97 0.75 1.59 0.94 1.28 (0.22)
Less distributions:
Dividends from net investment income (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 ............. (0.66) (0.54) (0.55) (0.57) (0.09) (0.11) --
-------- -------- -------- ------- ------- ------- -------
Net asset value, end of period ......... $ 12.64 $ 13.48 $ 13.05 $ 12.85 $ 11.83 $ 10.98 $ 9.81
======== ======== ======== ======= ======= ======= =======
Total return ................... (1.25%) 7.64% 6.19% 14.01% 8.63% 13.16% (2.19%)
Net assets, end of period (000's) ..... $188,813 $222,072 $125,945 $29,246 $10,469 $ 5,905 $ 344
Ratio of operating expenses to
average net assets (C) .............. 0.73% 0.75% 0.76% 0.87% 1.04% 0.90% 5.16%(A)
Ratio of net investment income to
average net assets ................... 5.68% 5.05% 6.12% 7.09% 7.70% 6.66% 1.16%(A)
Portfolio turnover rate ................ 387% 213% 141% 233% 284% 330% 156%(A)
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
22
<PAGE> 181
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET TRUST
--------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
--------------------------------------------------------------------------------------
1994 1993 1992 1991 1990 1989 1988
-------- -------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .......................... $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
Income from investment operations:
Net investment income (B) ......... 0.38 0.27 0.33 0.56 0.75 0.72 0.57
Less distributions:
Dividends from net
investment income ................ (0.38) (0.27) (0.33) (0.56) (0.75) (0.72) (0.57)
-------- -------- ------- ------- ------- ------- -------
Net asset value, end of period ....... $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
======== ======== ======= ======= ======= ======= =======
Total return ................. 3.78% 2.69% 3.36% 5.71% 7.76% 8.56% 6.77%
Net assets, end of period (000's) ... $276,674 $132,274 $89,535 $79,069 $85,040 $19,403 $12,268
Ratio of operating expenses to
average net assets (C) ............ 0.57% 0.59% 0.60% 0.60% 0.57% 0.79% 0.99%
Ratio of net investment income to
average net assets ................. 3.93% 2.66% 3.28% 5.65% 7.27% 8.26% 6.68%
<CAPTION>
MONEY MARKET TRUST
------------------------------------
YEARS ENDED DECEMBER 31,
------------------------
6/18/85*
TO
1987 1986 12/31/85
------ ------ --------
<S> <C> <C> <C>
Net asset value, beginning
of period .......................... $10.00 $10.00 $10.00
Income from investment operations:
Net investment income (B) ......... 0.60 0.56 0.36
Less distributions:
Dividends from net
investment income ................ (0.60) (0.56) (0.36)
------ ------ ------
Net asset value, end of period ....... $10.00 $10.00 $10.00
====== ====== ======
Total return ................. 6.13% 5.74% 3.61%
Net assets, end of period (000's) ... $7,147 $1,046 $1,001
Ratio of operating expenses to
average net assets (C) ............ 0.78% 1.11% 1.21%(A)
Ratio of net investment income to
average net assets ................. 5.86% 6.84% 6.84%(A)
</TABLE>
- ---------------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
23
<PAGE> 182
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE ASSET ALLOCATION TRUST
-------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 8/03/89*
------------------------------------------------------------ TO
1994 1993 1992 1991 1990 12/31/89
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .............................. $ 12.03 $ 11.25 $ 10.72 $ 9.08 $ 9.88 $ 10.00
Income from investment operations:
Net investment income .................. 0.31 0.34 0.30 0.36 0.36 0.08
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ...... (0.41) 0.79 0.55 1.69 (1.07) (0.20)
-------- -------- -------- -------- -------- --------
Total from investment operations .. (0.10) 1.13 0.85 2.05 (0.71) (0.12)
Less distributions:
Dividends from net investment income ... (0.31) (0.30) (0.32) (0.41) (0.07) --
Distributions from capital gains ....... (0.45) (0.05) -- -- (0.02) --
-------- -------- -------- -------- -------- --------
Total distributions ............... (0.76) (0.35) (0.32) (0.41) (0.09) --
-------- -------- -------- -------- -------- --------
Net asset value, end of period ........... $ 11.17 $ 12.03 $ 11.25 $ 10.72 $ 9.08 $ 9.88
======== ======== ======== ======== ======== ========
Total return ..................... (0.69%) 10.30% 8.24% 22.96% (7.27%) (1.20%)
Net assets, end of period (000's) ....... $184,662 $174,448 $151,627 $124,632 $ 91,581 $ 87,301
Ratio of operating expenses to
average net assets ..................... 0.89% 0.86% 0.89% 0.88% 0.78% 0.89%(A)
Ratio of net investment income to
average net assets ..................... 2.90% 2.96% 3.08% 3.63% 4.08% 3.32%(A)
Portfolio turnover rate .................. 136% 92% 123% 172% 82% 22%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
The accompanying notes are an integral part of the financial statements.
24
<PAGE> 183
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MODERATE ASSET ALLOCATION TRUST
-------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 8/03/89*
------------------------------------------------------------ TO
1994 1993 1992 1991 1990 12/31/89
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ............................... $ 11.76 $ 11.14 $ 10.72 $ 9.29 $ 10.03 $ 10.00
Income from investment operations:
Net investment income ................... 0.45 0.41 0.41 0.42 0.48 0.11
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ....... (0.65) 0.67 0.43 1.50 (1.10) (0.08)
-------- -------- -------- -------- -------- --------
Total from investment operations ... (0.20) 1.08 0.84 1.92 (0.62) 0.03
Less distributions:
Dividends from net investment income .... (0.40) (0.39) (0.42) (0.49) (0.10) --
Distributions from capital gains ........ (0.37) (0.07) -- -- (0.02) --
-------- -------- -------- -------- -------- --------
Total distributions ................ (0.77) (0.46) (0.42) (0.49) (0.12) --
-------- -------- -------- -------- -------- --------
Net asset value, end of period ............ $ 10.79 $ 11.76 $ 11.14 $ 10.72 $ 9.29 $ 10.03
======== ======== ======== ======== ======== ========
Total return ...................... (1.61%) 10.06% 8.30% 21.23% (6.23%) 0.30%
Net assets, end of period (000's) ........ $604,491 $644,257 $505,967 $420,074 $327,328 $318,439
Ratio of operating expenses to
average net assets ...................... 0.85% 0.84% 0.87% 0.86% 0.73% 0.79%(A)
Ratio of net investment income to
average net assets ...................... 4.01% 4.02% 4.21% 4.38% 5.10% 4.51%(A)
Portfolio turnover rate ................... 180% 135% 169% 168% 76% 41%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
The accompanying notes are an integral part of the financial statements.
25
<PAGE> 184
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CONSERVATIVE ASSET ALLOCATION TRUST
-------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 8/03/89*
------------------------------------------------------------ TO
1994 1993 1992 1991 1990 12/31/89
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .............................. $ 11.26 $ 10.78 $ 10.63 $ 9.56 $ 10.11 $ 10.00
Income from investment operations:
Net investment income .................. 0.55 0.50 0.47 0.58 0.62 0.15
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ...... (0.76) 0.44 0.26 1.15 (1.01) (0.04)
-------- -------- -------- -------- -------- --------
Total from investment operations .. (0.21) 0.94 0.73 1.73 (0.39) 0.11
Less distributions:
Dividends from net investment income ... (0.46) (0.46) (0.58) (0.66) (0.13) --
Distributions from capital gains ....... (0.25) -- -- -- (0.03) --
-------- -------- -------- -------- -------- --------
Total distributions ............... (0.71) (0.46) (0.58) (0.66) (0.16) --
-------- -------- -------- -------- -------- --------
Net asset value, end of period ........... $ 10.34 $ 11.26 $ 10.78 $ 10.63 $ 9.56 $ 10.11
======== ======== ======== ======== ======== ========
Total return ..................... (1.84%) 8.99% 7.36% 18.80% (3.84%) 1.10%
Net assets, end of period (000's) ....... $216,716 $250,117 $201,787 $165,167 $149,901 $141,191
Ratio of operating expenses to
average net assets ..................... 0.87% 0.86% 0.89% 0.88% 0.76% 0.82%(A)
Ratio of net investment income to
average net assets ..................... 4.86% 4.78% 4.99% 5.65% 6.68% 6.00%(A)
Portfolio turnover rate .................. 220% 170% 252% 211% 78% 85%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
The accompanying notes are an integral part of the financial statements.
26
<PAGE> 185
- --------------------------------------------------------------------------------
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL EQUITY TRUST
COMMON STOCKS-94.69% Shares Value
FORESTRY-1.64% ------ -----
<S> <C> <C>
Carter Holt Harvey ............................... 2,648,032 $ 5,424,440
Fletcher Challenge, Ltd
(Forest Division) .............................. 148,579 177,861
Nippon High Pack ................................. 317,500 4,049,257
Saffa, SPA, Class A* ............................. 147,900 446,026
-----------
10,097,584
MINING-2.47%
QNI, Ltd*......................................... 6,505,400 10,590,958
Western Mining Corporation
Holdings ....................................... 794,725 4,596,186
-----------
15,187,144
OIL & GAS EXPLORATION-1.81%
Phillips Petroleum Company ....................... 132,400 4,336,100
Schlumberger, Ltd. ............................... 95,700 4,820,887
Y.P.F. Sociedad Anonima .......................... 93,100 1,990,013
-----------
11,147,000
BUILDING MATERIALS & CONSTRUCTION-3.75%
Cementos Mexicanos, SA ........................... 222,400 1,164,527
Emoto Industry Company ........................... 136,000 2,062,261
Felcor Suite ..................................... 100,000 1,950,000
Fluor Corporation ................................ 100,000 4,312,500
Taihei Dengyo Kausha, Ltd. ....................... 298,000 7,122,314
Tenox Corporation ................................ 700 14,270
Yokogawa Bridge Corporation ...................... 510,000 6,453,103
-----------
23,078,975
FOOD PRODUCTS-1.84%
Buenos Aires Embotelladora, ADR .................. 61,600 1,986,600
Grand Metropolitan ............................... 794,100 5,068,866
RJR Nabisco Holdings* ............................ 8 44
Universal Foods Corporation ...................... 155,000 4,262,500
-----------
11,318,010
TEXTILE PRODUCTS-1.05%
ASDA Group, PLC .................................. 5,856,330 6,230,314
Rinascente ....................................... 35,425 199,245
-----------
6,429,559
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
FURNITURE & FIXTURES-0.43%
Fletcher Challenge ............................. 1,115,417 $ 2,620,505
-----------
PAPER, PRINTING & PUBLISHING-1.90%
Mayer Melnhof* ................................. 17,600 1,034,298
OJI Paper Company, Ltd. ........................ 650,000 6,853,786
The News Corporation, Ord A .................... 1 4
The News Corporation, Ltd Pfd. ................. 1 3
Wolters Kluwer ................................. 51,640 3,819,676
-----------
11,707,767
CHEMICAL & PHARMACUETICAL PRODUCTS-4.95%
Air Liquide .................................... 48,640 6,502,333
American Home Products
Corporation .................................. 19,300 1,211,075
Astra, AB Free, Class A ........................ 43,185 1,115,869
Astra, AB Free, Class B ........................ 273,760 6,981,653
Bristol Myers Squibb Company ................... 17,700 1,024,388
Imperial Chemical
Industries, PLC, ADR ......................... 452,300 5,285,945
JCR Pharmaceutical Company ..................... 52,250 2,780,930
Kanto Biomedical Laboratory .................... 294,800 5,506,407
Seikagaku Corporation .......................... 240 10,821
-----------
30,419,421
RUBBER & PLASTIC-1.26%
BTR Nylex, Ltd. ................................ 1,355,300 2,521,672
Dow Chemical Company ........................... 77,700 5,225,325
-----------
7,746,997
METAL PRODUCTS-2.05%
Aluminium Company of America ................... 72,900 6,314,962
SKF, AB Free, Class B* ......................... 287,960 4,747,307
Tubos de Acero de Mexico, SA
(TAMSA), ADR* ................................ 334,900 1,569,844
-----------
12,632,113
INDUSTRIAL & COMMERICAL MACHINERY-11.04%
AMP, Incorporated .............................. 78,600 5,718,150
Deere & Company ................................ 55,000 3,643,750
Emulex Corporation* ............................ 151,200 2,041,200
General Electric Company ....................... 116,600 5,946,600
Intel Corporation .............................. 26,800 1,711,850
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
27
<PAGE> 186
- --------------------------------------------------------------------------------
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
INDUSTRIAL & COMMERICAL MACHINERY-CONTINUED
International Business Machines
Corporation .................................. 15,400 $ 1,131,900
Japan Digital Laboratory Company ............... 50 1,446
Mannesmann, AG ................................. 26,758 7,286,962
Mark IV Industries, Incorporated ............... 242,688 4,793,088
Michelin Company Generale De
Establishment, Class B* ...................... 103,264 3,756,636
Mitsubishi Heavy Industries, Ltd. .............. 1,170,000 8,929,504
Seibu Electric & Machinery ..................... 412,000 3,351,275
Sharp Corporation .............................. 501,000 9,056,035
Softbank Corporation* .......................... 42,000 9,278,973
Tandy Corporation .............................. 25,000 1,253,125
-----------
67,900,494
ELECTRONIC & ELECTRICAL EQUIPMENT
AND COMPONENTS-6.52%
Japan Radio .................................... 383,000 5,692,308
Matsushita Communication
Industry ..................................... 276,000 7,289,416
Minolta Camera Company* ........................ 711,000 3,898,433
Rohm Company ................................... 191,000 8,094,196
Sigmatron International* ....................... 55,000 419,375
TDK Corporation ................................ 241,000 11,689,395
Technology Resources, Ltd* ..................... 939,000 2,997,004
-----------
40,080,127
TRANSPORTATION EQUIPMENT-7.02%
Daimler-Benz, AG ............................... 18,177 8,938,354
Fiat, SPA* ..................................... 4,156,798 15,432,578
General Motors Corporation ..................... 89,300 3,772,925
Hayes Wheels International,
Incorporated ................................. 109,000 2,343,500
Kolbenschmidt* ................................. 53,503 6,422,017
Renault* ....................................... 188,800 6,239,131
-----------
43,148,505
MISCELLANEOUS MANUFACTURING-3.53%
Astra International ............................ 907,200 1,733,503
Daikin Manufacturing ........................... 381,000 8,034,746
Danaher Corporation ............................ 109,000 5,695,250
Inco, Ltd. ..................................... 217,200 6,217,350
-----------
21,680,849
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
TRANSPORTATION-4.15%
Air New Zealand, Ltd, Class B .................... 500 $ 1,568
Alitalia Linee Aeree Italiane* ................... 785,800 310,152
Alitalia Linee* .................................. 1,689,700 1,042,060
Canadian Pacific, Ltd. ........................... 310,400 4,656,000
Hutchinson Whampoa ............................... 1,286,000 5,202,171
Keppel Corporation ............................... 752,000 6,397,804
Malaysian Helicopter ............................. 600 1,128
Pacific Carrier .................................. 1,357,000 1,312,775
Yamato Transport ................................. 535,000 6,608,256
-----------
25,531,914
COMMUNICATION-7.21%
Airtouch Communications* ......................... 91,000 2,650,375
British Telecommunications, PLC................... 1,528,400 9,038,665
Cable and Wireless, PLC .......................... 671,100 3,958,258
DDI, Incorporated ................................ 668 5,769,030
Hong Kong Telecommunications ..................... 200 381
Stet ............................................. 2,269,400 6,689,936
Telecom Corporation of New
Zealand......................................... 1,296,640 4,233,225
Telecom Italia, SPA .............................. 2,013,231 5,239,491
Telekom Malaysia ................................. 17,000 115,175
Television Broadcast, Ltd. ....................... 900 3,594
Vodafone Group ................................... 2,030,300 6,670,448
-----------
44,368,578
ELECTRIC, GAS & SANITARY SERVICES-3.45%
Browning-Ferris Industries,
Incorporated ................................... 41,000 1,163,375
CESP, ADR* ....................................... 182,400 2,368,831
ERG, Ltd*......................................... 1,671,450 2,785,953
Gulfmark International,
Incorporated* .................................. 31,500 533,531
Hong Kong Electric Holdings ...................... 400 1,093
Iberdrola, SA .................................... 483,320 2,981,621
Telefonica De Espana ............................. 961,830 11,362,930
-----------
21,197,334
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
28
<PAGE> 187
- --------------------------------------------------------------------------------
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
WHOLESALE, RETAIL TRADE-7.71%
Berjaya Sports Toto Berhad ......................... 1,968,000 $ 2,697,474
Bridgestone Metalpha Corporation ................... 495,000 9,196,124
BTR, Incorporated .................................. 518,300 2,383,988
Ebara .............................................. 356,000 6,006,025
Equity Inns ........................................ 100,200 1,102,200
Fraser & Neave ..................................... 404,000 4,185,523
Hac-Kimisawa ....................................... 298,000 4,429,002
Nissen Company ..................................... 720 22,270
Oneida, Ltd. ....................................... 95,000 1,235,000
Sari Corporation ................................... 150,000 4,172,525
Storage USA ........................................ 30,000 825,000
Wal-Mart Stores, Incorporated ...................... 40,000 850,000
Xebio Company ...................................... 260,000 10,287,205
-----------
47,392,336
EATING & DRINKING PLACES-2.36%
Dr. Pepper/Seven Up Companies,
Incorporated* .................................... 35,000 896,875
Fuju Denki Reiki ................................... 840 12,569
LVMH Moet Hennessey ................................ 27,002 4,261,877
Morrison Restaurants,
Incorporated ..................................... 157,700 3,863,650
Ohsho Food Service Corporation ..................... 197,400 5,451,396
Plenus Company ..................................... 400 28,881
-----------
14,515,248
BANKING & FINANCE-7.29%
Australia & New Zealand
Bank Group ....................................... 35 115
BankAmerica Corporation ............................ 48,000 1,896,000
Cheung Kong Holdings, Ltd. ......................... 1,250,000 5,088,853
Creditanstalt Bank ................................. 71,500 4,221,499
Grupo Carso, SA* ................................... 553,000 4,057,186
Japan Associate Finance ............................ 61,800 9,619,402
New World Development
Company .......................................... 672,000 1,793,448
Nichiei Company .................................... 110 7,070
Partners Holdings .................................. 150,000 3,112,500
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
BANKING & FINANCE-CONTINUED
Skandinaviska Enskilda
Banken Group* .................................... 958,280 $ 5,481,007
Tokyo Marine & Fire Insurance
Company, Ltd. .................................... 780,000 9,556,136
-----------
44,833,216
REAL ESTATE-0.52%
IRSA (GDS)* ........................................ 56,000 1,484,000
Mid-America Apartment
Communities, Incorporated ........................ 64,900 1,736,075
-----------
3,220,075
HOLDING & INVESTMENT COMPANIES-3.62%
Barclays, PLC ...................................... 489,700 4,688,749
HSBC Holdings ...................................... 396,100 4,381,267
India Gateway Fund, Pfd* ........................... 80,000 793,600
Indian Opportunities Fund* ......................... 180,088 2,818,383
Korea Equity Fund .................................. 319,000 2,791,250
Renong BHD ......................................... 461,000 570,495
TVE Holdings ....................................... 900 363
The R.O.C. Taiwan Fund ............................. 280,100 3,326,188
Wharf Holdings ..................................... 854,000 2,880,698
-----------
22,250,993
BUSINESS EDUCATIONAL SERVICES-2.28%
Albany International Corporation,
Class A .......................................... 245,000 4,716,250
Assurances General De France ....................... 52,153 2,070,106
Hospitality Franchise Systems,
Incorporated* .................................... 80,000 2,120,000
Miroki Jyoho Services .............................. 200 6,929
Schmalbach-Lubeca, AG .............................. 24,200 5,106,737
-----------
14,020,022
MOTION PICTURES, AMUSEMENT &
RECREATION SERVICES-2.04%
Euro Disney, SLA* .................................. 2,907,550 6,069,871
National Gaming Corporation* ....................... 4,000 48,000
Resorts World Berhad ............................... 1,091,000 6,408,850
-----------
12,526,721
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
29
<PAGE> 188
- --------------------------------------------------------------------------------
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
HEALTH SERVICES-1.80%
Bensen Eyecare Corporation* ...................... 228,400 $ 1,713,000
Yamanouchi Pharmaceutical
Company ........................................ 455,000 9,366,841
-----------
11,079,841
ENGINEERING, ACCOUNTING, RESEARCH
& MANAGEMENT SERVICES-0.03%
Huntington International Holdings,
PLC, ADR ....................................... 62,800 164,850
Jardine Matheson Holdings ........................ 200 1,428
-----------
166,278
MISCELLANEOUS SERVICES-0.97%
Moulinex* ........................................ 318,500 5,993,119
-----------
TOTAL COMMON STOCK
(Cost $570,812,447) ............................ $582,290,725
------------
RIGHTS-0.00%
Compania Energetica
De Sao Paulo ................................... 10,944 0
IRSA Inversiones ................................. 56,000 0
-----------
TOTAL RIGHTS (Cost $0) .......................... $ 0
-----------
WARRANTS-2.23%*
Carter Holt Harvey (Expiration date
2/21/95; Strike price NZD 2.78) ................ 665 152,366
Credit Lyonnaise (Expiration date
5/25/95; Strike price HKD 22.50) ............... 1,379,000 1,710,940
Deutsche Bank, AG (Expiration date
6/30/95; Strike price DEM 610) ................. 17,800 1,929,788
Deutsche Bank, AG (Expiration date
6/30/97; Strike price DEM 610) ................. 245,390 6,286,773
Euro Disney (Expiration date
7/11/04; Strike price FRF 40) .................. 404,643 47,730
Michelin Company Genrale De
Establishment (Expiration date
12/31/95; Strike price FRF 200) ................ 74,510 46,734
Volkswagen, AG (Expiration date
10/27/98; Strike price DEM 221) ................ 39,800 3,544,399
-----------
TOTAL WARRANTS
(Cost $13,534,233) ............................. $13,718,730
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
CONVERTIBLE BONDS-0.04%
FRF 1,620,270 Michelin, 2.50% .................... 01/01/01 $281,951
--------
TOTAL CONVERTIBLE BONDS
(Cost $272,177) ................................ $281,951
--------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT-3.04%
$18,680,000 Repurchase Agreement with
Salomon Brothers, Inc., dated
12/30/94 at 5.75%, to be
repurchased at $18,691,934
on 01/03/95 collateralized by
$19,900,000 U.S. Treasury Bond,
7.50% due 11/15/16 (value at
$19,082,218, including
interest) ......................... $ 18,680,000
------------
TOTAL INVESTMENTS (Global Equity
Trust) (Cost $603,298,857) ..................... $614,971,406
============
</TABLE>
PASADENA GROWTH TRUST
<TABLE>
<CAPTION>
COMMON STOCKS-88.48% Shares Value
AGRICULTURE-1.34% ------ -----
<S> <C> <C>
Barefoot, Incorporated ........................... 70,000 $ 962,500
Rollins, Incorporated ............................ 50,000 1,143,750
-----------
2,106,250
FOOD PRODUCTS-7.74%
The Coca-Cola Company ............................ 90,000 4,635,000
Conagra, Incorporated ............................ 30,000 937,500
Kellogg Company .................................. 25,000 1,453,125
Pepsico, Incorporated ............................ 75,000 2,718,750
The Philip Morris Companies,
Incorporated ................................... 30,000 1,725,000
WM Wrigley Jr. Company ........................... 15,000 740,625
-----------
12,210,000
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
30
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- --------------------------------------------------------------------------------
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
TEXTILE MILL PRODUCTS--0.58%
Phillips-Van Heusen
Corporation ...................................... 60,000 $ 915,000
-----------
FURNITURE & FIXTURES--0.59%
Best Buy Company,
Incorporated* .................................... 30,000 937,500
-----------
PAPER, PRINTING & PUBLISHING-1.43%
The News Corporation, Ltd, ADR* .................... 50,000 781,250
Reader's Digest Association,
Incorporated, Class A ............................ 30,000 1,473,750
-----------
2,255,000
CHEMICAL PRODUCTS-9.26%
Avon Products, Incorporated ........................ 20,000 1,195,000
Colgate Palmolive Company .......................... 30,000 1,901,250
Elan Corporation, PLC, ADR* ........................ 30,000 1,068,750
IDEXX Laboratories, Incorporated* .................. 40,000 1,440,000
International Flavors & Fragrances,
Incorporated ..................................... 40,000 1,850,000
Johnson & Johnson .................................. 30,000 1,642,500
Merck & Company, Incorporated ...................... 45,000 1,715,625
Pfizer, Incorporated ............................... 25,000 1,931,250
Procter & Gamble Company ........................... 30,000 1,860,000
-----------
14,604,375
RUBBER & PLASTIC-1.76%
Bandag, Incorporated, Class A ...................... 25,000 1,337,500
Rubbermaid, Incorporated ........................... 50,000 1,437,500
-----------
2,775,000
METAL PRODUCTS-3.32%
Gillette Company ................................... 70,000 5,232,500
-----------
INDUSTRIAL AND COMMERCIAL MACHINERY-0.57%
Verifone, Incorporated* ............................ 40,000 890,000
-----------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT-5.77%
DSC Communications Corporation* .................... 25,000 896,875
Duracell International,
Incorporated ..................................... 20,000 867,500
Ericsson L.M. Telephone
Company, ADR, Class B ............................ 35,000 1,929,375
General Electric Company ........................... 25,000 1,275,000
Intel Corporation .................................. 15,000 958,125
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT-
CONTINUED
Molex, Incorporated ................................ 25,000 $ 862,500
Motorola, Incorporated ............................. 40,000 2,315,000
----------
9,104,375
TRANSPORTATION EQUIPMENT-2.26%
Autozone, Incorporated* ............................ 100,000 2,425,000
Discount Auto Parts, Incorporated* ................. 60,000 1,132,500
----------
3,557,500
COURIER SERVICES-0.44%
U.S. Delivery Systems,
Incorporated* .................................... 50,000 687,500
----------
COMMUNICATION SERVICES-2.73%
Airtouch Communications,
Incorporated* .................................... 60,000 1,747,500
Grupo Iusacell, SA, ADR* ........................... 25,030 400,480
Paging Network, Incorporated* ...................... 25,000 850,000
Tele Danmark, ADR, Class B* ........................ 25,000 637,500
Telewest Communications,
PLC, ADR* ........................................ 25,000 662,500
----------
4,297,980
ELECTRIC, GAS & SANITARY SERVICES-1.58%
Korea Electric Power
Corporation, ADR ................................. 55,000 1,175,625
WMX Technologies,
Incorporated ..................................... 50,000 1,312,500
----------
2,488,125
WHOLESALE & RETAIL TRADE-18.48%
American Eagle Outfitters* ......................... 25,000 331,250
Bed Bath & Beyond, Incorporated* ................... 30,000 900,000
Circuit City Stores, Incorporated .................. 50,000 1,112,500
Claire's Stores, Incorporated ...................... 75,000 900,000
Department 56, Incorporated* ....................... 40,000 1,590,000
The Home Depot, Incorporated ....................... 60,000 2,760,000
The Gap, Incorporated .............................. 50,000 1,525,000
Kohls Corporation* ................................. 30,000 1,192,500
Leslie's Poolmart* ................................. 50,000 662,500
MacFrugals Bargains Closeouts* ..................... 50,000 1,000,000
Mail Boxes, Etc* ................................... 100,000 1,000,000
Medtronic, Incorporated ............................ 40,000 2,225,000
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
31
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NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
WHOLESALE & RETAIL TRADE-CONTINUED
Michael's Stores, Incorporated* .................... 30,000 $ 1,042,500
Office Depot, Incorporated* ........................ 40,000 960,000
Petco Animal Supplies,
Incorporated* .................................... 50,000 725,000
Price Costco, Incorporated* ........................ 100,000 1,287,500
Smart & Final, Incorporated ........................ 50,000 700,000
Starbucks Corporation* ............................. 30,000 825,000
Stein Mart, Incorporated* .......................... 50,000 637,500
Toys R Us, Incorporated* ........................... 100,000 3,050,00
Viking Office Products,
Incorporated* .................................... 15,000 459,375
Wal-Mart Stores, Incorporated ...................... 200,000 4,250,000
-----------
29,135,625
EATING & DRINKING PLACES-5.53%
Au Bon Pain Company,
Incorporated, Class A* ........................... 30,000 480,000
Brinker International,
Incorporated ..................................... 90,000 1,631,250
Cheesecake Factory,
Incorporated* .................................... 40,000 630,000
Cracker Barrel Old Country
Store, Incorporated .............................. 40,000 740,000
Lone Star Steakhouse &
Saloon, Incorporated ............................. 50,000 1,000,000
Lowe's Companies,
Incorporated ..................................... 50,000 1,737,500
McDonald's Corporation ............................. 50,000 1,462,500
Sbarro, Incorporated ............................... 40,000 1,040,000
-----------
8,721,250
BANKING & FINANCE-4.43%
Cole Taylor Financial Group,
Incorporated ..................................... 35,000 735,000
Federal Home Loan Mortgage
Corporation ...................................... 35,000 1,767,500
Federal National Mortgage
Association ...................................... 25,000 1,821,875
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
BANKING & FINANCE-CONTINUED
Mercury Finance Corporation ........................ 60,000 $ 780,000
Nationsbank Corporation ............................ 25,000 1,128,125
Roosevelt Financial Group,
Incorporated ..................................... 50,000 750,000
----------
6,982,500
HOLDING & INVESTMENT COMPANIES-4.46%
Advanta Corporation, Class B ....................... 30,000 757,500
First International Bancorporation ................. 15,000 1,014,375
Reuters Holdings, PLC, ADR ......................... 50,000 2,193,750
United Companies Financial
Corporation ...................................... 33,000 895,125
Wells Fargo & Company .............................. 15,000 2,175,000
----------
7,035,750
HOTELS, MOTELS & OTHER LODGING PLACES-3.25%
Circus Circus Enterprises,
Incorporated* .................................... 90,000 2,092,500
MGM Grand, Incorporated* ........................... 25,000 603,125
Primadonna Resorts, Incorporated* .................. 50,000 1,187,500
The Promus Companies,
Incorporated* .................................... 40,000 1,240,000
----------
5,123,125
PERSONAL SERVICES-0.39%
Supercuts, Incorporated* ........................... 75,000 618,750
----------
BUSINESS SERVICES-4.55%
Automatic Data Processing,
Incorporated ..................................... 30,000 1,755,000
CDW Computer Centers,
Incorporated* .................................... 15,000 511,875
First Data Corporation ............................. 35,000 1,658,125
Fiserv, Incorporated* .............................. 35,000 752,500
The Interpublic Group of
Companies, Incorporated .......................... 30,000 963,750
Microsoft Corporation* ............................. 25,000 1,528,125
----------
7,169,375
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
32
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NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
MOTION PICTURES , AMUSEMENT & RECREATION
SERVICES-5.16%
Anchor Gaming* ................................... 50,000 $ 762,500
Carmike Cinemas, Incorporated* ................... 30,000 690,000
Carnival Corporation ............................. 100,000 2,125,000
The Walt Disney Company .......................... 30,000 1,383,750
Mirage Resorts, Incorporated* .................... 70,000 1,435,000
Regal Cinemas, Incorporated* ..................... 37,500 956,250
Station Casinos, Incorporated* ................... 60,000 780,000
------------
8,132,500
HEALTH SERVICES-2.86%
Alza Corporation* ................................ 30,000 540,000
Columbia/HCA-Healthcare
Corporation of America ......................... 45,000 1,642,500
Health Systems International,
Incorporated, Class A* ......................... 50,000 1,518,750
Surgical Care Affiliates,
Incorporated ................................... 40,000 810,000
------------
4,511,250
TOTAL COMMON STOCK
(Cost $138,379,035) ............................ $139,491,230
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT-11.52%
$18,167,000 Repurchase Agreement with
State Street Bank & Trust
Company, dated 12/30/94 at
5.15%, to be repurchased at
$18,177,396 on 01/03/95
collateralized by $20,270,000
U.S.Treasury Note, 5.125%
due 11/30/98 (valued at
$18,619,790, including
interest) ......................... $ 18,167,000
------------
TOTAL INVESTMENTS (Pasadena
Growth Trust) (Cost $156,546,035) .............. $157,658,230
============
</TABLE>
EQUITY TRUST
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS-93.27%
OIL & GAS EXPLORATION-2.79%
Anadarko Petroleum Corporation ................... 12,000 $ 462,000
Anderson Exploration, Ltd* ....................... 23,600 212,397
Amoco Corporation ................................ 25,200 1,489,950
British Petroleum, PLC, ADR ...................... 24,544 1,960,452
Canadian Natural Resources, Ltd* ................. 800 7,841
Chrysler Corporation ............................. 117,100 5,737,900
Hume Industries BHD .............................. 122,000 544,664
Rio Alto Exploration, Ltd* ....................... 45,200 169,162
Schlumberger, Ltd. ............................... 21,900 1,103,213
Unocal Corporation ............................... 77,500 2,111,874
Western Atlas, Incorporated* ..................... 33,500 1,260,438
-----------
15,059,891
FOOD PRODUCTS-1.98%
Dr. Pepper/Seven-Up Companies,
Incorporated* .................................. 4,300 110,187
Embotelladores ................................... 59,500 132,216
Pepsico, Incorporated ............................ 32,800 1,189,000
Philip Morris Companies,
Incorporated ................................... 154,800 8,901,000
RJR Nabisco Holdings
Corporation* ................................... 35,800 196,900
Tyson Foods, Incorporated,
Class A ........................................ 6,000 127,500
-----------
10,656,803
TEXTILE MILL PRODUCTS & APPAREL-0.51%
Edelbrock Corporation* ........................... 1,200 15,900
Kellwood Company ................................. 14,200 298,200
Nautica Enterprises, Incorporated* ............... 5,600 169,400
Nordstrom, Incorporated .......................... 9,200 386,400
Strouds, Incorporated* ........................... 42,900 412,913
Tommy Hilfiger Corporation* ...................... 32,900 1,484,612
-----------
2,767,425
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
33
<PAGE> 192
- --------------------------------------------------------------------------------
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
FURNITURE & FIXTURES-0.20%
Armstrong World Industries,
Incorporated ..................................... 11,400 $ 438,900
Best Buy Company, Incorporated* .................... 11,200 350,000
Ethan Allen Interiors, Incorporated* ............... 13,000 315,250
-----------
1,104,150
PAPER, PRINTING & PUBLISHING-1.88%
Alco Standard Corporation .......................... 23,700 1,487,175
Champion International
Corporation ...................................... 56,200 2,051,300
Cyrk, Incorporated* ................................ 14,000 579,250
International Paper Company ........................ 28,300 2,133,112
Jefferson Smurfit Corporation* ..................... 2,100 35,700
McGraw-Hill, Incorporated .......................... 5,400 361,125
Scott Paper Company ................................ 21,700 1,500,013
The E. W. Scripps Company,
Class A .......................................... 3,000 90,750
Stone Container Corporation* ....................... 17,300 298,425
Temple-Inland, Incorporated ........................ 19,200 866,400
Union Camp Corporation ............................. 15,400 725,725
-----------
10,128,975
CHEMICAL PRODUCTS-9.91%
Airgas, Incorporated* .............................. 25,400 539,750
Beckman Instruments,
Incorporated ..................................... 2,000 55,750
Becton Dickinson & Company ......................... 43,000 2,064,000
Biogen, Incorporated* .............................. 46,900 1,958,075
Boston Scientific Corporation* ..................... 49,000 851,375
Bristol Myers Squibb Company ....................... 46,600 2,696,975
Colgate Palmolive Company .......................... 28,500 1,806,188
Cor Therapeutics, Incorporated* .................... 15,200 167,200
The Dow Chemical Company ........................... 13,000 874,250
Dura Pharmacueticals,
Incorporated* .................................... 29,000 420,500
General Nutrition Companies,
Incorporated* .................................... 27,500 797,500
Johnson & Johnson .................................. 209,600 11,475,600
Medisense, Incorporated* ........................... 3,800 87,875
Pfizer, Incorporated ............................... 122,700 9,478,575
Proctor & Gamble Company ........................... 46,200 2,864,400
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
CHEMICAL PRODUCTS-CONTINUED
Rhone-Poulenc Rorer,
Incorporated ..................................... 18,400 $ 671,600
Schering-Plough Corporation ........................ 74,200 5,490,800
Therapeutic Discovery
Corporation* ..................................... 3,000 16,875
Union Carbide Corporation .......................... 68,600 2,015,125
Warner-Lambert Company ............................. 118,100 9,093,700
-----------
53,426,113
LEATHER PRODUCTS-0.01%
Nine West Group, Incorporated* ..................... 2,700 76,613
-----------
BUILDING MATERIAL & CONSTRUCTION-0.63%
Cemex, SA .......................................... 32,200 168,605
Centex Corporation ................................. 10,600 241,150
Georgia-Pacific Corporation ........................ 36,500 2,609,750
Schuler Homes, Incorporated* ....................... 12,200 173,850
USG Corporation* ................................... 10,000 195,000
-----------
3,388,355
METAL PRODUCTS-1.87%
Aluminum Company of America ........................ 59,100 5,119,538
Asarco, Incorporated ............................... 20,400 581,400
Gillette Company ................................... 18,900 1,412,775
Golden Pharos BHD .................................. 82,000 221,578
Grupo Sidek, SA .................................... 6,500 14,372
Hylsamex, SA, ADR* ................................. 7,000 162,750
Nucor Corporation .................................. 43,000 2,386,500
Tyco International, Ltd. ........................... 4,100 194,750
-----------
10,093,663
INDUSTRIAL & ELECTRICAL MACHINERY-11.98%
Applied Materials, Incorporated* ................... 121,500 5,133,375
Case Corporation ................................... 34,700 746,050
Caterpillar, Incorporated .......................... 55,400 3,053,925
Chipcom Corporation* ............................... 20,100 1,005,000
Cisco Systems, Incorporated* ....................... 141,600 4,973,700
Compaq Computer Corporation* ....................... 263,000 10,388,500
Dell Computer Corporation* ......................... 57,900 2,373,900
Dialogic Corporation* .............................. 1,900 44,650
Digital Equipment Corporation* ..................... 60,600 2,014,950
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
34
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NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
INDUSTRIAL & ELECTRICAL MACHINERY-CONTINUED
Electro Scientific Industries,
Incorporated*..................... 4,800 $ 103,200
EMC Corporation*.................... 323,000 6,984,875
Hewlett-Packard Company............. 32,900 3,285,888
International Business Machines
Corporation....................... 126,900 9,327,150
Mercury Interactive Corporation*.... 19,700 261,025
Mohawk Industries, Incorporated*.... 39,100 498,525
Network Peripherals, Incorporated*.. 14,100 384,225
Novellus System, Incorporated*...... 28,900 1,445,000
Perseptive Technologies II*......... 45,000 202,500
Seagate Technology*................. 57,100 1,370,400
Silicon Graphics, Incorporated*..... 148,400 4,581,850
Stratus Computer, Incorporated*..... 61,600 2,340,800
Sun Microsystems, Incorporated*..... 114,600 4,068,300
-----------
64,587,788
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT-18.11%
Adaptec, Incorporated*............... 34,700 819,788
Advanced Micro Devices,
Incorporated*...................... 42,700 1,062,163
Altera Corporation*.................. 39,700 1,662,438
American Power Conversion
Corporation*....................... 15,000 245,625
Analog Devices, Incorporated*........ 46,100 1,619,263
Applied Digital Access,
Incorporated*...................... 12,100 307,038
Ascend Communications,
Incorporated*...................... 33,000 1,344,750
Bay Networks, Incorporated*.......... 143,200 4,224,400
Cabletron Systems, Incorporated*..... 142,200 6,612,300
Centigram Communications
Corporation*....................... 34,500 483,000
Credence Systems Corporation*........ 9,900 232,650
Ericsson L.M. Telephone
Company, ADR, Class B.............. 6,000 330,750
General Electric Company............. 283,800 14,473,800
General Instrument Corporation*...... 47,900 1,437,000
Global Village Communication*........ 33,500 305,688
Huaneng Power International,
Incorporated, ADR*................. 92,100 $ 1,358,475
Integrated Device Technology,
Incorporated*...................... 16,800 495,600
Intel Corporation.................... 85,100 5,435,763
International Game Technology........ 19,400 300,700
ITI Technologies, Incorporated*...... 800 18,150
Linear Technology Corporation........ 69,700 3,450,150
LSI Logic Corporation*............... 22,700 916,513
Maxim Intergrated Products,
Incorporated*...................... 70,800 2,478,000
Microchip Technology,
Incorporated*...................... 4,000 110,000
Micron Technology, Incorporated...... 153,000 6,751,125
Motorola, Incorporated............... 190,000 10,996,250
National Semiconductor
Corporation*....................... 111,900 2,182,050
Newbridge Network Corporation*....... 150,200 5,745,150
Nokia Corporation, ADR............... 76,100 5,707,500
Ortel Corporation*................... 900 23,625
Pairgain Technologies,
Incorporated*...................... 14,100 200,925
PRI Automation, Incorporated*........ 17,200 277,350
Quality Semiconductor, Incorporated* 2,100 26,250
Scientific-Atlanta, Incorporated..... 34,400 722,400
Sensormatic Electronic
Corporation........................ 7,700 277,200
Tellaboratories, Incorporated*....... 800 44,600
Tencor Instruments*.................. 53,900 2,075,150
Texas Instruments, Incorporated...... 96,500 7,225,438
3Com Corporation*.................... 71,500 3,686,710
Xilinx, Incorporated*................ 33,900 2,008,575
-----------
97,674,302
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
35
<PAGE> 194
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
TRANSPORTATION EQUIPMENT-2.13%
Autozone, Incorporated*.............. 106,100 $ 2,572,925
Dana Corporation..................... 18,300 427,763
Ford Motor Company................... 238,100 6,666,800
Pep Boys (Manny, Moe & Jack)......... 58,400 1,810,400
-----------
11,477,888
TRANSPORTATION-1.08%
AMR Corporation*..................... 10,500 559,125
CSX Corporation...................... 57,000 3,968,625
Knight Transportation,
Incorporated*...................... 900 12,825
Landstar Systems, Incorporated*...... 26,200 858,050
Technology Resources
Industries*........................ 19,000 60,642
TNT Freightways Corporation.......... 13,900 356,188
US Xpress Enterprises, Incorporated* 1,700 19,550
-----------
5,835,005
COMMUNICATION SERVICES-6.51%
Airtouch Communications*............. 128,435 3,740,666
ALC Communications Corporation*...... 60,700 1,889,288
Ameritech Corporation................ 77,400 3,125,025
Arch Communications Group*........... 34,500 608,063
Bellsouth Corporation................ 82,200 4,449,075
British Sky Broadcast Group, ADR*.... 22,400 537,600
Cascade Communications
Corporation*....................... 2,400 148,200
Cellstar Corporation*................ 4,300 97,288
Clear Channel Communications*........ 20,700 1,050,525
Comcast Corporation.................. 27,400 429,838
Infinity Broadcasting Corporation*... 53,600 1,688,400
LCI International, Incorporated*..... 31,300 837,275
Lin Broadcasting Corporation*........ 7,000 934,500
Lin Television Corporation*.......... 3,500 79,625
Nynex Corporation.................... 75,200 2,763,600
Southwestern Bell Corporation........ 138,000 5,571,750
Sprint Corporation................... 1,300 35,913
Tele-Communications, Incorporated* 72,400 1,574,700
Telefonos De Mexico SA, ADR.......... 17,600 721,600
Telephone & Data Systems,
Incorporated....................... 22,500 1,037,813
United States Cellular Corporation*.. 18,000 $ 589,500
Vanguard Cellular System,
Incorporated*...................... 16,600 427,450
Viacom, Incorporated, Class A*....... 6,952 289,377
Viacom, Incorporated, Class B*....... 61,573 2,501,403
-----------
35,128,474
ELECTRIC, GAS & SANITARY SERVICES-0.48%
Browning-Ferris Industries,
Incorporated....................... 23,400 663,975
WMX Technologies, Incorporated....... 73,900 1,939,875
-----------
2,603,850
WHOLESALE & RETAIL TRADE-16.30%
Amgen Incorporated*.................. 80,500 4,749,500
AnnTaylor Stores Corporation*........ 11,300 388,438
J. Baker, Incorporated............... 30,000 450,000
Barnes & Noble, Incorporated*........ 26,400 825,000
Bed Bath & Beyond, Incorporated*..... 46,300 1,389,000
Brinker International, Incorporated.. 19,000 344,375
Campo Electronics Appliances
& Computers*....................... 30,000 322,500
Circuit City Stores, Incorporated.... 19,800 440,550
Cobra Golf, Incorporated*............ 40,600 1,451,450
CompUSA, Incorporated*............... 30,500 457,500
Corporate Express, Incorporated*..... 21,100 411,450
Cygne Designs, Incorporated*......... 38,200 525,250
Danka Business Systems, PLC, ADR 5,400 116,775
Dayton-Hudson Corporation........... 97,200 6,876,900
DSC Communications
Corporation*...................... 230,800 8,279,950
Ellett Brothers, Incorporated....... 35,000 525,000
Filene's Basement Corporation*...... 31,900 147,538
The Gap, Incorporated............... 97,800 2,982,900
The Home Depot, Incorporated........ 131,900 6,067,400
The Limited, Incorporated........... 97,300 1,763,563
Lowe's Companies, Incorporated...... 288,800 10,035,795
Medtronic, Incorporated............. 19,100 1,062,438
Microage, Incorporated*............. 3,150 37,013
Micro Warehouse, Incorporated*...... 47,300 1,655,500
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
36
<PAGE> 195
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
WHOLESALE & RETAIL TRADE-CONTINUED
Nike, Incorporated.................. 17,700 $ 1,320,863
Office Depot, Incorporated*......... 172,925 4,150,200
Office Max, Incorporated*........... 95,500 2,530,750
J.C. Penney & Company,
Incorporated...................... 28,800 1,285,200
Reebok International, Ltd........... 34,300 1,354,850
Revco D.S., Incorporated*........... 12,300 290,588
Safeway, Incorporated*.............. 33,100 1,055,063
Sears Roebuck & Company............. 184,400 8,482,400
Sportmart, Incorporated, Class A*... 19,100 198,163
The Sports Authority, Incorporated*. 1,100 23,100
Staples, Incorporated*.............. 193,750 4,795,313
Starbucks Corporation*.............. 51,100 1,405,250
Stop & Shop Companies,
Incorporated*..................... 6,000 153,000
Sunglass Hut International,
Incorporated*..................... 36,400 837,200
Talbots, Incorporated............... 66,100 2,065,625
Tech Data Corporation*.............. 39,600 673,200
TJX Companies, Incorporated......... 68,400 1,068,750
Toys R Us, Incorporated*............ 48,900 1,491,450
Viking Office Products,
Incorporated*..................... 10,200 312,375
Waban, Incorporated*................ 27,200 482,800
Wal-Mart Stores, Incorporated....... 116,000 2,465,000
Welcome Home, Incorporated*......... 18,000 119,250
-----------
87,866,175
EATING & DRINKING PLACES-0.17%
Apple South, Incorporated........... 50,550 663,469
DF & R Restaurants, Incorporated*... 7,200 107,100
Landry's Seafood Restaurants,
Incorporated*..................... 4,400 124,850
-----------
895,419
BANKING & FINANCE-3.58%
American Express Company............ 110,600 $ 3,262,700
Federal Home Loan Mortgage
Corporation....................... 114,300 5,772,150
Federal National Mortgage
Association....................... 102,600 7,476,975
First Chicago Corporation........... 7,600 362,900
Green Tree Financial Corporation.... 39,900 1,211,963
Household International Corporation 700 25,987
Nationsbank Corporation............. 26,800 1,209,350
-----------
19,322,025
SECURITY & COMMODITY BROKERS-0.82%
Charles Schwab Corporation.......... 4,900 170,887
Dean Witter Discover & Company...... 65,628 2,223,149
Merrill Lynch & Company,
Incorporated...................... 56,100 2,005,575
-----------
4,399,611
INSURANCE-0.73%
Allstate Corporation................ 31,700 748,912
The Travelers Corporation........... 23,199 753,968
U S Healthcare, Incorporated........ 59,200 2,442,000
-----------
3,944,880
HOLDING & INVESTMENT COMPANIES-1.90%
Bank of Boston Corporation.......... 7,600 196,650
Bank of New York, Incorporated...... 110,500 3,204,500
Beneficial Corporation.............. 17,600 686,400
Chemical Banking Corporation........ 70,400 2,525,600
Citicorp............................ 58,800 2,432,850
Price Enterprises, Incorporated*.... 93,200 1,199,950
-----------
10,245,950
BUSINESS SERVICES-7.12%
Adobe Systems, Incorporated......... 22,700 675,325
BMC Software, Incorporated*......... 22,500 1,279,688
Brock Control Systems,
Incorporated*..................... 4,400 29,494
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
37
<PAGE> 196
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
BUSINESS SERVICES-CONTINUED
Cadence Design Systems,
Incorporated*..................... 40,100 $ 827,063
Computer Associates
International, Incorporated....... 84,100 4,078,850
CUC International, Incorporated*.... 50,450 1,690,075
EIS International, Incorporated*.... 25,100 382,775
Equifax, Incorporated............... 20,700 545,963
Informix Corporation*............... 20,300 652,138
Infosoft International, Incorporated 7,200 252,900
Integrated Silicon Systems,
Incorporated*..................... 4,000 123,000
Intervoice, Incorporated*........... 26,100 358,875
Lotus Development Corporation*...... 20,200 828,200
Microsoft Corporation*.............. 65,200 3,985,350
Novell, Incorporated*............... 107,800 1,846,075
Oracle Systems, Incorporated*....... 305,400 13,475,772
Parametric Technology
Corporation*...................... 82,500 2,846,250
Platinum Technology, Incorporated* 10,300 233,038
Spectrum Holobyte, Incorporated*.... 8,600 116,100
Standard Microsystems
Corporation*...................... 61,000 1,830,000
Sybase, Incorporated*............... 22,700 1,180,400
Synopsys, Incorporated*............. 26,600 1,163,750
-----------
38,401,081
MOTION PICTURES, AMUSEMENT & RECREATION
SERVICES-1.01%
Carnival Corporation................ 39,200 833,000
The Walt Disney Company............. 72,000 3,321,000
Hollywood Entertainment
Corporation*...................... 26,250 794,063
Mirage Resorts, Incorporated*....... 21,000 430,500
Movie Gallery, Incorporated*........ 3,000 78,000
-----------
5,456,563
HEALTH SERVICES-0.71%
Careerstaff Unlimited,
Incorporated*..................... 1,300 18,850
Columbia/HCA- Healthcare
Corporation of America............ 52,680 1,922,820
Humana, Incorporated*............... 8,600 194,575
HEALTH SERVICES-CONTINUED
Lincare Holdings, Incorporated*..... 6,800 $ 197,200
St. Jude Medical, Incorporated*..... 19,700 783,075
United Healthcare Corporation....... 15,700 708,463
----------
3,824,983
ENGINEERING, ACCOUNTING & RESEARCH MANAGEMENT-0.86%
Alza Corporation*................... 53,700 966,600
Elan Corporation, PLC, ADR*......... 91,450 3,257,906
Elan Corporation, PLC*.............. 6,168 168,849
Petroleum Geo Services A/S, ADR*.... 13,300 247,713
----------
4,641,068
TOTAL COMMON STOCKS
(Cost $480,057,339)......................................... $503,007,050
------------
RIGHTS-0.02%
Viacom, Incorporated*............... 86,900 97,763
-------
TOTAL RIGHTS (Cost $8,135)................................... $97,763
-------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
CONVERTIBLE BONDS-0.06%
BUILDING MATERIAL & CONSTRUCTION-0.06%
$300,000 Cemex, 4.25% ..................... 11/01/97 300,000
--------
TOTAL CONVERTIBLE BONDS
(Cost $300,000)..................................... $300,000
--------
REPURCHASE AGREEMENT-6.65%
$35,867,000 Repurchase Agreement with
State Street Bank & Trust
Company, dated 12/30/94 at
5.15%, to be repurchased at
$35,887,524 on 01/03/95,
collateralized by $30,375,000
U.S.Treasury Bond, 10.375%
due 11/15/12 (valued at
$36,976,423, including
interest).............................. $35,867,000
-----------
TOTAL INVESTMENTS (Equity Trust)
(Cost $516,232,474)................................. $539,271,813
============
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
38
<PAGE> 197
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
VALUE EQUITY TRUST
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS-74.99%
TEXTILE MILL PRODUCT-0.89%
Warnaco Group, Incorporated*........ 117,600 $ 2,028,600
-----------
LUMBER & WOOD PRODUCT-1.76%
Champion International
Corporation....................... 109,500 3,996,750
-----------
PAPER, PRINTING & PUBLISHING-3.53%
First Brands Corporation............ 67,900 2,376,500
John H. Harland Company............. 9,600 192,000
Stone Container Corporation*........ 315,600 5,444,100
-----------
8,012,600
CHEMICAL PRODUCTS-3.78%
Fisher Scientific International,
Incorporated...................... 148,900 3,685,275
Geon Company........................ 179,200 4,905,600
-----------
8,590,875
RUBBER & PLASTIC-3.13%
Millipore Corporation............... 146,900 7,106,287
-----------
LEATHER PRODUCTS-0.51%
L.A. Gear, Incorporated*............ 235,600 1,148,550
-----------
BUILDING MATERIAL & CONSTRUCTION-3.33%
Georgia-Pacific Corporation......... 105,700 7,557,550
-----------
METAL PRODUCTS-7.03%
Keystone International,
Incorporated...................... 69,500 1,181,500
Quanex Corporation.................. 104,700 2,395,012
Snap-On Tools Corporation........... 216,700 7,205,275
Trinity Industries, Incorporated.... 164,800 5,191,200
-----------
15,972,987
ELECTRONIC & OTHER ELECTRICAL
EQUIPMENT-6.63%
AMP, Incorporated................... 88,500 6,438,375
Analog Devices, Incorporated*....... 97,300 3,417,662
National Semiconductor
Corporation*...................... 33,400 651,300
Varian Associates, Incorporated..... 130,200 4,557,000
-----------
15,064,337
TRANSPORTATION EQUIPMENT-10.53%
General Motors Corporation.......... 107,300 $ 4,533,425
Lear Seating Corporation*........... 329,500 6,548,813
McDonnell Douglas Corporation....... 61,200 8,690,400
Northrop Grumman Corporation........ 99,000 4,158,000
-----------
23,930,638
TRANSPORTATION-2.20%
Consolidated Freightways,
Incorporated...................... 56,600 1,266,425
Kirby Corporation*.................. 189,100 3,734,725
-----------
5,001,150
WHOLESALE & RETAIL TRADE-13.63%
Amgen, Incorporated*................ 131,600 7,764,400
Charming Shoppes, Incorporated...... 776,700 5,145,638
Dillard Department Stores,
Incorporated...................... 151,300 4,047,275
Musicland Stores, Incorporated*..... 391,100 3,519,900
Service Merchandise Company,
Incorporated*..................... 531,900 2,460,038
TJX Companies, Incorporated......... 331,800 5,184,375
Universal Corporation............... 143,600 2,854,050
-----------
30,975,676
BANKING & FINANCE-0.18%
Federal Home Loan Mortgage
Corporation....................... 7,900 398,950
-----------
INSURANCE-3.00%
Home Holdings, Incorporated*........ 182,200 1,708,125
Integon Corporation................. 53,800 706,125
PartnerRe Holdings.................. 181,600 3,768,200
PennCorp Financial Group,
Incorporated...................... 49,900 654,938
-----------
6,837,388
HOLDING & INVESTMENT COMPANIES-6.06%
BankAmerica Corporation............. 114,800 4,534,600
Citicorp............................ 105,400 4,360,925
First Federal Financial
Corporation*...................... 16,400 207,050
Keycorp............................. 12,601 315,025
Tenneco, Incorporated............... 102,800 4,369,000
-----------
13,786,600
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
39
<PAGE> 198
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
BUSINESS SERVICES-3.27%
Valassis Communications,
Incorporated*..................... 495,300 $ 7,429,500
-----------
HEALTH SERVICES-5.53%
Community Psychiatric Centers*...... 312,900 3,441,900
National Health Laboratories
Holdings, Incorporated*........... 116,300 1,540,975
National Medical Enterprises,
Incorporated*..................... 537,600 7,593,600
-----------
12,576,475
TOTAL COMMON STOCK
(Cost $170,468,360).................... $170,414,913
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENTS-25.01%
$3,000,000 Repurchase Agreement with
Shearson Lehman, dated
12/30/94 at 5.20%, to be
repurchased at $3,001,733 on
01/03/95, collateralized by
$3,255,000 U.S.Treasury Note,
5.25% due 07/31/98 (valued
at $3,066,665, including
interest).................... 3,000,000
53,847,000 Repurchase Agreement with
State Street Bank & Trust
Company, dated 12/30/94 at
5.625%, to be repurchased at
$53,880,654 on 01/03/95,
collateralized by $55,645,000
U.S.Treasury Note, 4.625%
due 02/15/96 (valued at
$55,890,147, including
interest).................... 53,847,000
-----------
$56,847,000
TOTAL INVESTMENTS
(Value Equity Trust)
(Cost $227,315,360)...................... $227,261,913
============
</TABLE>
GROWTH AND INCOME TRUST
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS-85.50%
OIL & GAS EXPLORATION-7.61%
Amoco Corporation................ 96,000 $ 5,676,000
Exxon Corporation................ 138,000 8,383,500
Maxus Energy Corporation*........ 450,000 1,518,750
Mobil Corporation................ 59,100 4,979,175
Unocal Corporation............... 398,000 10,845,500
-----------
31,402,925
FOOD PRODUCTS-3.50%
Anheuser-Busch Companies,
Incorporated................... 100,000 5,087,500
Pepsico, Incororated............. 115,000 4,168,750
Sara Lee Corporation............. 205,000 5,176,250
-----------
14,432,500
PAPER, PRINTING & PUBLISHING-9.38%
Gannett Company, Incorporated.... 95,000 5,058,750
International Paper Company...... 140,000 10,552,500
Kimberly-Clark Corporation....... 130,000 6,565,000
Knight-Ridder, Incorporated...... 94,200 4,757,100
Minnesota Mining &
Manufacturing Company.......... 179,000 9,554,125
Reader's Digest Association,
Incorporated, Class A.......... 45,000 2,210,625
-----------
38,698,100
CHEMICAL PRODUCTS-13.57%
Abbott Laboratories.............. 145,000 4,730,625
Bayer, AG, ADR................... 200,000 4,625,000
The Dow Chemical Company......... 100,900 6,785,525
Engelhard Corporation............ 284,000 6,319,000
Fujisawa Pharmaceutical
Company........................ 365,000 3,957,831
Hafslund Nycomed, ADR,
Class B........................ 210,000 4,331,250
Johnson & Johnson................ 97,000 5,310,750
Loctite Corporation.............. 120,000 5,580,000
Pfizer, Incorporated............. 118,000 9,115,500
Zeneca Group, PLC, ADR........... 127,500 5,243,438
-----------
55,998,919
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
40
<PAGE> 199
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
RUBBER & PLASTIC-1.08%
Goodyear Tire & Rubber
Company........................ 132,000 $ 4,438,500
-----------
BUILDING MATERIAL & CONSTRUCTION-1.32%
Georgia-Pacific Corporation...... 76,200 5,448,300
-----------
METAL PRODUCTS-3.86%
Alcan Aluminium, Ltd............. 356,000 9,033,500
LTV Corporation*................. 425,000 6,906,250
-----------
15,939,750
INDUSTRIAL & COMMERCIAL MACHINERY-8.51%
Black & Decker Corporation....... 340,000 8,075,000
Dresser Industries, Incorporated. 272,000 5,134,000
Foster Wheeler Corporation....... 93,000 2,766,750
Hewlett-Packard Company.......... 86,000 8,589,250
Ilinois Tool Works, Incorporated. 111,000 4,856,250
York International Corporation... 154,200 5,686,125
-----------
35,107,375
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT-7.52%
AMP, Incorporated................ 97,000 7,056,750
Ericsson L.M. Telephone
Company, ADR................... 3,400,000 6,375,000
General Electric Company......... 110,000 5,610,000
Hubbell, Incorporated............ 80,000 4,260,000
Motorola, Incorporated........... 75,000 4,340,625
Nokia Corporation, ADR........... 45,100 3,382,500
-----------
31,024,875
TRUCKING, WAREHOUSING AND STORAGE-0.51%
Storage USA, Incorporated........ 76,600 2,106,500
-----------
COMMUNICATION SERVICES-8.60%
American Telephone & Telegragh
Company........................ 159,000 7,989,750
BCE, Incorporated................ 187,000 6,007,375
Nynex Corporation................ 113,400 4,167,450
Telefonos De Mexico, SA, ADR..... 75,000 3,075,000
U.S. West, Incorporated.......... 243,860 8,687,512
Vodafone Group, PLC, ADR......... 165,000 5,548,125
-----------
35,475,212
ELECTRIC, GAS & SANITARY SERVICES-1.75%
CMS Energy Corporation........... 160,000 3,660,000
Pinnacle West Capital
Corporation.................... 180,000 3,555,000
-----------
7,215,000
WHOLESALE & RETAIL TRADE-2.14%
May Department Stores
Company........................ 116,000 3,915,000
J.C. Penney Company,
Incorporated................... 110,000 4,908,750
-----------
8,823,750
BANKING & FINANCE-2.78%
Federal National Mortgage
Association.................... 54,900 4,000,838
First Chicago Corporation........ 125,000 2,187,500
Fleet Financial Group,
Incorporated................... 162,630 5,285,475
-----------
11,473,813
INSURANCE-4.64%
Chubb Corporation................ 126,000 9,749,250
General Re Corporation........... 36,000 4,455,000
Marsh & McLennan Companies....... 62,400 4,945,200
-----------
19,149,450
REAL ESTATE-1.48%
Mark Centers Trust............... 168,600 2,170,725
Post Properties, Incorporated.... 125,000 3,937,500
-----------
6,108,225
HOLDING & INVESTMENT COMPANIES-5.38%
Keycorp.......................... 210,000 5,250,000
Meridian Bancorp, Incorporated... 83,600 2,225,850
J.P. Morgan & Company,
Incorporated................... 170,000 9,520,000
Safeco Corporation............... 100,000 5,200,000
-----------
22,195,850
BUSINESS SERVICES-1.87%
The Dun & Bradstreet
Corporation.................... 140,000 7,700,000
-----------
TOTAL COMMON STOCKS
(Cost $338,572,897)..................................... $352,739,044
------------
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
41
<PAGE> 200
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
PREFERRED STOCKS-5.95%
TRANSPORTATION EQUIPMENT-2.17%
Chrysler Corporation, $4.625..... 28,600 $ 3,932,500
Ford Motor Company, Series A..... 55,000 5,060,000
-----------
8,992,500
REAL ESTATE-1.23%
Property Trust of America,
Series A....................... 230,550 5,072,100
-----------
HEALTH SERVICES-1.02%
Beverly Enterprises,
Incorporated................... 71,200 4,200,800
-----------
BUSINESS SERVICES-1.53%
Ceridian Corporation............. 100,000 6,300,000
-----------
TOTAL PREFERRED STOCKS
(Cost $21,611,854)..................... $24,565,400
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
CONVERTIBLE BONDS-3.66%
OIL & GAS EXPLORATION-0.89%
$4,300,000 Noble Affiliates,
Incorporated, 4.25%........... 01/01/03 $ 3,655,000
-----------
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT-1.07%
3,300,000 General Instrument
Corporation, 5.00%............ 06/15/00 4,422,000
-----------
TRANSPORTATION-0.84%
4,300,000 AMR Corporation,
6.125%........................ 11/01/24 3,461,500
-----------
HEALTH SERVICES-0.86%
2,750,000 Hillhaven Corporation,
7.75%......................... 11/01/02 3,547,500
-----------
TOTAL CONVERTIBLE BONDS
(Cost $15,016,423).................................. $15,086,000
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT-4.89%
$20,189,000 Repurchase Agreement with UBS
Securities, dated 12/30/94 at 5.50%,
to be repurchased at $20,201,338
on 01/03/95, collateralized by
$13,060,000 U.S.Treasury Bond,
10.375% due 11/15/12 (valued at
$15,705,417, including interest)
and $3,875,000 U.S Treasury
Bond, 11.625% due 11/15/04
(valued at $4,910,680,
including interest)....... $20,189,000
-----------
TOTAL INVESTMENTS (Growth and
Income Trust) (Cost $395,390,174)..... $412,579,444
============
</TABLE>
STRATEGIC BOND TRUST
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
U.S. TREASURY OBLIGATIONS-13.14%
U.S. TREASURY NOTE-13.14%
$9,000,000 11.875%............... 11/15/03 11,255,580
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $11,575,802)..................... $11,255,580
-----------
U. S. GOVERNMENT AGENCY AND
MORTGAGE # BACKED OBLIGATIONS-11.12%
FEDERAL HOME LOAN MORTGAGE CORPORATION-6.15%
1,500,000 6.59%................. 08/11/97 1,440,000
2,332,228 8.00%................. 05/01/10 2,253,072
883,882 8.50%................. 05/01/08 869,068
3,673,112 759.5%, IO............ 07/15/06 707,074
------------
5,269,214
FEDERAL NATIONAL MORTGAGE ASSOCIATION-4.97%
1,250,000 8.00%................ 07/25/24 1,197,263
3,000,000 11.15%................ 06/12/95 3,053,430
-----------
4,250,693
</TABLE>
The accompanying notes are an integral part of the financial statements.
42
<PAGE> 201
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
TOTAL U.S. GOVERNMENT AGENCY AND
MORTGAGE - BACKED OBLIGATIONS
(Cost $9,608,925)...................... $ 9,519,907
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
FOREIGN GOVERNMENT OBLIGATIONS-26.34%
GOVERNMENT OF SPAIN-3.49%
ESP 270,000,000 11.00%............... 06/15/97 2,038,359
ESP 124,000,000 11.60%............... 01/15/97 949,418
----------
2,987,777
GOVERNMENT OF GREAT BRITAIN-3.55%
United Kingdom Treasury:
ECU 850,000 5.25% .................. 01/21/97 992,160
Pound 1,370,000 8.00%.............. 06/10/03 2,047,583
----------
3,039,743
REPUBLIC OF IRELAND-0.97
IEP 650,000 6.25% ..................... 10/18/04 829,618
----------
GOVERNMENT OF MEXICO-0.86%
$1,000,000 Mexico, Series B,
FRN, 4.31%................ 12/31/19 741,250
1,538,000 Mexican United States
Rights..................... 12/31/19 2
----------
741,252
GOVERNMENT OFJAPAN-1.30%
Yen 110,000,000 Series 147,
4.60%................ 09/20/04 1,111,709
----------
REPUBLIC OF FINLAND-2.07%
FIM 8,000,000 11.00%............... 01/15/99 1,773,894
----------
REPUBLIC OF GERMANY-4.28%
DEM 2,000,000 6.00%................ 06/20/16 1,029,298
DEM 1,200,000 9.00%................ 10/20/00 824,729
DEM 3,000,000 Treuchandanstalt,
6.625%............... 07/09/03 1,807,241
----------
3,661,268
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
GOVERNMENT OF BRAZIL-3.98%
$1,250,000 6.00%....................... 09/15/13 $ 600,000
980,000 FRN, 6.06%.................. 01/01/01 818,300
3,000,000 FRN, 6.69%.................. 04/15/06 1,987,500
----------
3,405,800
GOVERNMENT OF ARGENTINA-4.32%
$5,800,000 FRN, 6.50%................. 03/31/05 3,697,500
----------
GOVERNMENT OF POLAND-1.52%
$3,000,000 Poland Bear PDI,
Step up to 3.25%............ 10/27/14 1,305,000
----------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost $24,113,265)...................... $22,553,561
-----------
CORPORATE BONDS-42.95%
OIL & GAS EXPLORATION-3.19%
1,250,000 Aftermarket Tech Corporation,
12.00%...................... 08/01/04 1,290,625
1,500,000 Petro PSC Property,
12.50%...................... 06/01/02 1,440,000
----------
2,730,625
FOOD PRODUCTS-1.56%
1,500,000 Pathmark Stores Incorporated,
9.625%...................... 05/01/03 1,335,000
----------
TEXTILE PRODUCTS-1.45%
1,500,000 Clinton Mills,
9.50%....................... 10/01/03 1,245,000
----------
FURNITURE & FIXTURES-0.93%
1,000,000 Levitz Furniture Company,
9.625%...................... 07/15/03 800,000
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
43
<PAGE> 202
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
CHEMICAL PRODUCTS-1.93%
1,500,000 Foamex International,
11.875%..................... 10/01/04 $1,425,000
250,000 Trans Resources, Incorporated,
11.875%..................... 07/01/02 227,500
----------
1,652,500
METAL PRODUCTS-1.16%
1,000,000 AK Steel Corporation,
10.75%...................... 04/01/04 991,250
----------
INDUSTRIAL & COMMERICAL MACHINERY-5.29%
1,000,000 Berry Plastic Corporation,
12.25%...................... 4/15/04 965,000
2,500,000 Sola Group, Ltd,
6.00%....................... 12/15/03 1,950,000
750,000 Speciality Equipment
Companies, Incorporated,
11.375%..................... 12/01/03 727,500
1,000,000 Venture Holdings,
9.75%....................... 04/01/04 883,750
----------
4,526,250
TRANSPORTATION EQUIPMENT-4.21%
1,250,000 Fairfield Manufacturing, Incorporated,
11.375%..................... 07/01/01 1,175,000
306,000 Jordan Industries,
10.375%..................... 08/01/03 272,340
2,000,000 Jordan Industries,
Step up to 11.75%........... 08/01/05 1,000,000
1,250,000 Motor Wheel,
11.50%...................... 03/01/00 1,156,250
----------
3,603,590
TRANSPORTATION-1.21%
2,000,000 Transtar Holdings, L.P.,
Step up to 13.375%.......... 12/15/03 1,035,000
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
COMMUNICATION-2.87%
1,000,000 Cablevision Industries Corporation,
9.25%....................... 04/01/08 $ 895,000
1,500,000 Katz Corporation,
12.75%...................... 11/15/02 1,560,000
----------
2,455,000
ELECTRIC, GAS & SANITARY SERVICES-0.93%
1,000,000 Envirotest Systems Corporation,
9.625%...................... 04/01/03 800,000
----------
WHOLESALE & RETAIL TRADE-1.70%
750,000 Finlay Fine Jewelry Corporation,
10.625%..................... 05/01/03 705,000
1,000,000 Parisian, Incorporated,
9.875%...................... 07/15/03 750,000
----------
1,455,000
EATING & DRINKING PLACES-1.76%
1,000,000 Carrols Corporation,
11.50%...................... 08/15/03 920,000
750,000 Family Restaurants,
9.75%....................... 02/01/02 588,750
----------
1,508,750
BANKING & FINANCE-7.07%
1,000,000 Bally's Park Place,
9.25%....................... 03/15/04 860,000
700,000 Banco Central De Costa Rica,
Series B, 6.25%............. 05/21/15 350,000
3,600,000 Paine Webber,
6.30%....................... 02/15/96 3,515,400
500,000 Indahkiat,
11.375%..................... 06/15/99 485,000
1,000,000 U.S. Banknote Corporation,
11.625%..................... 08/01/02 840,000
----------
6,050,400
</TABLE>
The accompanying notes are an integral part of the financial statements.
44
<PAGE> 203
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
HOTELS, MOTELS & OTHER LODGING
PLACES-2.46%
$750,000 Bally's Grand, Incoporated,
Series B, 10.375%..... 12/15/03 $ 652,500
500,000 Empress River,
10.75%................ 04/01/02 457,500
1,500,000 Trump Taj Mahal
Funding, Incorporated,
Zero Coupon........... 11/15/99 997,500
----------
2,107,500
MOTION PICTURES, AMUSEMENT AND RECREATION
SERVICES-1.28%
7,500 Capital Gaming International,
Zero coupon........... 08/01/95 1,801
750,000 Capital Gaming International,
11.50%................ 12/01/01 397,500
750,000 Plitt Theater,
10.875%............... 06/15/04 697,500
----------
1,096,801
HEALTH SERVICES-2.34%
1,000,000 Dade International,
13.00%................ 02/01/05 1,002,500
1,000,000 Surgical Health Corporation,
11.50%................ 07/15/04 1,000,000
----------
2,002,500
HOLDING COMPANIES-1.61%
291,612 Falcon Holdings Group,
11.00%................ 09/15/03 253,702
1,500,000 Total Renal Care,
Step-up to 12.00%..... 08/15/04 1,125,000
----------
1,378,702
TOTAL CORPORATE BONDS
(Cost $40,002,311)............... $36,773,868
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCK-0.07%
MOTION PICTURES, AMUSEMENT AND
RECREATION SERVICES--0.07%
Capital Gaming International, Units 20,003 60,008
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
HOLDING COMPANIES-0.00%
Total Renal Care................... 13,500 0
--------
TOTAL COMMON STOCK
(Cost $113,513).................. 60,008
--------
PREFERRED STOCK-0.34%
TELECOMMUNICATION-0.34%
Tele-Communications, Incorporated.. 5,000 290,000
--------
TOTAL PREFERRED STOCK
(Cost $480,000).................. $290,000
--------
WARRANTS-0.01%
Capital Gaming International,:
Units, due 02/01/99.......... 15,188 10,441
Warrants, due 02/01/99....... 1,875 0
BPL Holdings Corporation,
due 04/15/04................. 1,000 0
--------
TOTAL WARRANTS
(Cost $0).............................. $ 10,441
--------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT-6.03%
$5,165,000 Repurchase Agreement with
UBS Securities, dated 12/30/94
at 5.75%, to be repurchased at
$5,168,300 on 01/03/95,
collateralized by $5,470,000
U.S.Treasury Note, 6.75%
due 05/31/99 (valued at
$5,303,158, including
interest)................. $ 5,165,000
-----------
TOTAL INVESTMENTS (Strategic Bond
Trust) (Cost $91,058,816).............. $85,628,365
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
45
<PAGE> 204
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
GLOBAL GOVERNMENT BOND TRUST
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
U.S. TREASURY OBLIGATIONS-3.35%
$7,500,000 U.S. Treasury Note,
5.50%............................ 04/15/00 $ 6,762,656
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $7,257,422)........................... $ 6,762,656
-----------
FOREIGN GOVERNMENT OBLIGATIONS-71.73%
Government of Canada-9.25%
CAD 15,000,000Canada (Government of ),
7.25%........................ 06/01/03 9,550,276
CAD 15,000,000 Quebec (Province of),
7.50%....................... 12/01/03 9,137,409
-----------
18,687,685
GOVERNMENT OF SPAIN-11.85%
ESP 1,000,000,000 8.00%................... 05/30/04 5,994,302
ESP 1,500,000,000 10.25%.................. 11/30/98 10,908,262
ESP 1,000,000,000 10.30%.................. 06/15/02 7,027,540
-----------
23,930,104
GOVERNMENT OF FRANCE-5.49
FRF 200,000,000 Oat Strip,
0%...................... 04/25/23 3,377,645
FRF 50,000,000 Oat Principle,
5.50%................... 04/25/04 7,709,605
-----------
11,087,250
REPUBLIC OF ITALY-13.02%
$ 7,500,000 6.875%.................. 09/27/23 5,880,750
ITL 20,000,000,000 10.00%.................. 08/01/98 11,838,421
ITL 10,000,000,000 10.00%.................. 08/01/03 5,504,163
ITL 5,000,000,000 12.00%.................. 09/01/02 3,089,423
-----------
26,312,757
GOVERNMENT OF SWEDEN-5.28%
Yen 500,000,000 3.875%.................. 06/21/99 4,958,325
SEK 60,000,000 6.00%................... 02/09/05 5,716,131
-----------
10,674,456
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
GOVERNMENT OF CHINA--4.18%
$ 10,000,000 China Global Bond,
6.50%........................ 02/17/04 $ 8,438,000
-----------
COMMONWEALTH OF AUSTRALIA-14.61%
AUD 15,000,000 New South Wales Treasury,
7.00%........................ 04/01/04 9,288,816
AUD 15,000,000 Queensland Treasury,
8.00%........................ 05/14/03 10,087,944
AUD 15,000,000 Treasury Corporation
of Victoria,
8.25%........................ 10/15/03 10,132,135
-----------
29,508,895
GOVERNMENT OF BELGIUM-2.57%
Yen 500,000,000 5.00%........................ 12/17/99 5,186,784
-----------
REPUBLIC OF FINLAND-3.59%
$ 7,500,000 6.75%........................ 11/24/97 7,247,250
-----------
GOVERNMENT OF NEW ZEALAND-1.89%
NZD 6,000,000 9.00%........................ 11/15/96 3,811,716
-----------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost $152,143,980).............. $144,884,897
------------
SUPRANATIONAL ORGANIZATIONS-3.15%
DEM 10,000,000 European Investment Bank,
7.50%...................... 11/04/02 6,366,159
-----------
TOTAL SUPRANATIONAL
OBLIGATIONS (Cost $6,408,800)................ $ 6,366,159
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
46
<PAGE> 205
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
CORPORATE BONDS-12.50%
BANKING & FINANCE-9.77%
ITL 5,000,000,000 Abbey National,
9.00%.................... 04/08/04 $ 2,637,413
SEK 60,000,000 Exportfinas,
6.875%................... 02/09/04 6,099,522
DEM 10,000,000 LKB Baden Wurtenberg,
6.50%.................... 09/15/08 5,620,805
Pound 4,000,000 Lloyds Bank,
7.375%................... 03/11/04 5,377,210
-----------
19,734,950
Services and Utilities-2.73%
Pound 4,000,000 British Telecommunication,
7.125%................... 09/15/03 5,524,273
-----------
TOTAL CORPORATE BONDS
(Cost $25,281,002).......................... $25,259,223
-----------
OTHER BONDS (FOREIGN GOVERNMENT-
BACKED OR GUARANTEED)-6.34%
ELECTRIC, GAS & UTILITIES-5.45%
$ 12,000,000 Tokyo Gas Company,
5.50%........................ 07/21/98 11,002,800
-----------
BANKING & FINANCE-0.89%
DEM 5,000,000 Finnish Export Credit,
6.75%........................ 09/29/03 1,809,499
-----------
TOTAL OTHER BONDS (Foreign
Government-Backed Or Guaranteed)
(Cost $15,060,777).......................... $12,812,299
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT-2.93%
$5,925,000 Repurchase Agreement with
UBS Securities, dated 12/30/94
at 5.625%, to be repurchased at
$5,928,703 on 01/03/95,
collateralized by $6,020 000
U.S. Treasury Note, 6.125%
due 07/31/96 (valued at
$6,043,500, including
interest)................. $5,925,000
----------
TOTAL INVESTMENTS (Global Government
Bond Trust) (Cost $212,076,981).......... $202,010,234
============
</TABLE>
Investment Quality Bond Trust
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
U.S. GOVERNMENT AGENCY AND MORTGAGE-
BACKED OBLIGATIONS-26.36%
FEDERAL HOME LOAN BANK-3.07%
$3,500,000 7.00%....................... 06/20/01 $3,376,415
----------
FEDERAL HOME LOAN MORTGAGE
CORPORATION-1.80%
2,000,000 8.00%....................... 11/15/99 1,973,740
----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION-3.08%
3,447,468 8.50%................. 06/01/17 - 07/01/24 3,384,989
----------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION-17.64%
970,904 7.00%................. 01/15/04 - 08/15/24 871,386
6,696,749 7.50%................. 04/15/02 - 03/15/24 6,215,231
3,684,502 8.00%................. 01/15/22 - 04/15/23 3,522,125
51,868 8.20%................. 06/15/12 49,323
8,879,432 8.50%................. 02/15/21 - 09/15/24 8,724,043
2,716 9.50%................. 10/15/09 2,775
----------
19,384,883
</TABLE>
The accompanying notes are an integral part of the financial statements.
47
<PAGE> 206
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
RESOLUTION FUNDING CORPORATION-0.77%
$525,000 8.875%........................... 07/15/20 $ 569,951
240,000 9.375%........................... 10/15/20 273,600
-----------
843,551
TOTAL U.S. GOVERNMENT AGENCY AND
MORTGAGE-BACKED OBLIGATIONS
(Cost $30,315,413).......................... $28,963,578
-----------
U.S. TREASURY OBLIGATIONS-34.01%
U.S. TREASURY BONDS-18.92%
1,140,000 8.875%......................... 02/15/19 1,244,732
2,250,000 9.250%......................... 02/15/16 2,531,610
1,000,000 11.25%......................... 02/15/15 1,321,250
11,800,000 12.00%......................... 08/15/13 15,690,342
-----------
20,787,934
U.S. TREASURY NOTES-15.09%
1,415,000 6.375%......................... 08/15/02 1,295,602
4,000,000 7.375%......................... 05/15/96 3,993,120
11,000,000 8.875%......................... 11/15/97 11,290,510
-----------
16,579,232
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $38,355,406).......................... $37,367,166
-----------
CORPORATE BONDS-29.08%
OIL & GAS EXPLORATION-0.77%
900,000 AMOCO Canada
Petroleum Company,
Ltd, 7.95%....................... 10/01/22 830,565
-----------
LUMBER & WOOD PRODUCTS-1.49%
1,620,000 Boise Cascade
Corporation, 9.85%............... 06/15/02 1,642,291
-----------
TRANSPORTATION-0.44%
470,000 Southern Ry Company,
8.75%............................ 10/15/03 484,523
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
COMMUNICATION SERVICES-2.97%
$1,400,000 GTE Flordia,
Incorporated, 6.31%.... 12/15/02 $1,240,722
2,025,000 Tele-Communications,
Incorporated, 9.80%.... 02/01/12 2,025,425
----------
3,266,147
ELECTRIC, GAS & SANITARY SERVICES-5.06%
2,000,000 The Coastal Corporation,
8.125%................. 09/15/02 1,891,400
820,000 Georgia Power
Company, 4.75%......... 03/01/96 791,767
587,000 Gulf States Utilities
Company, 8.25%......... 04/01/04 568,956
1,000,000 Korea Electric Power
Corporation, 6.375%.... 12/01/03 848,890
250,000 Niagra Mohawk Power
Corporation, 9.75%..... 11/01/05 253,688
940,000 Potomac Electric Power
Company, 7.60%......... 01/22/02 897,822
300,000 Virginia Electric & Power
Company, 9.375%........ 06/01/98 308,163
----------
5,560,686
BANKING & FINANCE-13.98%
900,000 Associates Corporation
of North America,
6.875%................. 01/15/97 877,203
470,068 Bellsouth Savings &
Employee Credit
Union, 9.19%........... 07/01/03 482,172
1,500,000 Chrysler Financial
Corporation, 6.625%.... 08/15/00 1,372,965
1,325,000 Comerica, Incorporated,
7.125%................. 12/01/13 1,128,807
290,000 Commercial Credit
Group, Incorporated,
10.00%................. 05/01/99 303,656
2,000,000 Exxon Capital
Corporation, 6.625%.... 08/15/02 1,821,100
</TABLE>
The accompanying notes are an integral part of the financial statements.
48
<PAGE> 207
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
BANKING & FINANCE-CONTINUED
$1,775,000 First National Bank of
Boston, 8.00%.................... 09/15/04 $ 1,684,369
950,000 General Motors Acceptance
Corportion, 6.00%................ 01/11/99 865,498
1,400,000 General Motors Acceptance
Corporation, 7.00%............... 09/15/02 1,252,566
1,340,000 KFW International
Financial, Incorporated,
8.85%............................ 06/15/99 1,373,808
1,000,000 National Westminster
Bank PLC, 9.45%.................. 05/01/01 1,051,910
940,000 Texaco Capital,
Incorporated, 8.93%.............. 07/23/01 965,521
1,500,000 World Savings and
Loan Association,
4.875%........................... 03/01/96 1,458,285
725,000 Xerox Credit
Corporation, 8.75%............... 02/14/95 726,827
-----------
15,364,687
HOLDING & INVESTMENT COMPANIES-4.37%
350,000 Beneficial Corporation,
8.40%............................ 05/15/08 359,146
470,000 Beneficial Corporation,
8.90%............................ 06/06/01 479,738
900,000 Chase Manhattan
Corporation, 8.00%............... 02/04/97 894,708
775,000 Chemical Banking
Corporation, 8.50%............... 02/15/02 769,443
1,400,000 Fleet Norstar
Financial Group,
Incorporated, 9.90%.............. 06/15/01 1,485,386
900,000 Norwest Corporation,
6.00%............................ 03/15/00 812,070
-----------
4,800,491
TOTAL CORPORATE BONDS
(Cost $33,634,113).......................... $ 31,949,390
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
FOREIGN BONDS-0.26%
$250,000 New Zealand
Government,
10.625%.......................... 11/15/05 $ 289,063
----------
TOTAL FOREIGN BONDS
(Cost $281,907)............................. $ 289,063
----------
SUPRANATIONAL ORGANIZATIONS-2.24%
2,000,000 International Bank for
Reconstruction and
Development, (World
Bank), 12.375%................... 10/15/02 2,461,900
----------
TOTAL SUPRANATIONAL ORGANIZATIONS
(Cost $2,539,688)........................... $2,461,900
----------
FIXED INCOME - OTHER-6.15%
MISCELLANEOUS ASSET-BACKED SECURITIES-6.15%
1,500,000 American Express
Master Trust,
Series 1992
Class A, 6.60%................... 05/15/00 1,407,645
2,542,228 Premier Auto Trust,
Series 1993
Class A2, 4.65%.................. 11/02/99 2,419,082
1,500,000 Premier Auto Trust,
Series 1994
Class A3, 6.35%.................. 05/02/00 1,447,500
1,500,000 Standard Credit
Card Master Trust,
Series 1991
Class A, 7.88%................... 11/07/98 1,480,770
----------
TOTAL FIXED INCOME - OTHER
(Cost $6,993,837)........................... $6,754,997
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
49
<PAGE> 208
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prinicipal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT-1.90%
$2,092,000 Repurchase Agreement with UBS
Securities dated 12/30/94 at 5.50%, to
be repurchased at $2,093,278 on
01/03/95, collateralized by $1,685,000
U.S.Treasury Bond, 11.625% due
11/15/04 (valued at $2,135,354,
including interest)........ $2,092,000
----------
TOTAL INVESTMENTS (Investment Quality
Bond Trust) (Cost $114,212,364)........ $109,878,094
============
</TABLE>
U.S. GOVERNMENT SECURITIES TRUST
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
U.S. GOVERNMENT AGENCY AND
MORTGAGE - BACKED OBLIGATIONS-48.40%
FEDERAL HOME LOAN BANK-7.10%
$250,000 6.49%........................... 09/08/97 $ 241,093
9,000,000 6.59%........................... 08/11/97 8,640,000
8,000,000 8.25%........................... 09/25/96 8,050,000
-----------
16,931,093
FEDERAL HOME LOAN MORTGAGE
CORPORATION-19.04%
870,530 6.50%, Class D.................. 02/15/02 866,987
60,868 6.50%........................... 07/01/06 58,861
11,626,001 6.65%, Series 1477.............. 05/15/18 10,499,674
217,118 7.00%........................... 12/01/04 206,114
264,883 8.25%........................... 07/01/06 256,158
28,000,000 8.50% TBA**..................... 07/25/24 27,545,000
5,625,933 10.75%................ 09/01/09 - 03/01/16 5,985,459
-----------
45,418,253
FEDERAL NATIONAL MORTGAGE
ASSOCIATION-19.95%
16,250,000 5.94%........................... 01/29/98 15,368,763
310,560 6.50%........................... 10/01/05 292,675
20,000,000 8.00% TBA**..................... 01/01/99 19,156,200
5,908,528 8.00%................. 08/01/04 - 12/01/24 5,659,846
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
FEDERAL NATIONAL MORTGAGE
ASSOCIATION-CONTINUED
$440,174 8.25%......................... 09/01/08 $ 425,146
79,582 8.50%......................... 02/01/09 79,752
423,434 8.75%......................... 08/01/09 417,988
7,445 10.00%.......................... 04/01/16 7,808
41,661 10.50%.......................... 03/01/16 44,319
963,621 11.00%............... 02/01/09 - 12/01/15 1,039,811
2,257,139 12.00%............... 02/01/98 - 02/01/16 2,470,479
2,404,123 12.50%............... 05/01/12 - 05/01/15 2,647,540
-----------
47,610,327
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION-0.41%
282,541 7.50%......................... 02/15/07 273,203
18,146 8.00%......................... 10/15/05 18,026
491,702 9.50%......................... 09/15/20 507,220
68,403 11.00%.......................... 09/15/15 74,303
103,663 11.50%............... 02/15/13 - 07/15/13 113,899
-----------
986,651
TENNESSEE VALLEY AUTHORITY-1.90%
4,500,000 8.25%............................ 11/15/96 4,526,145
-----------
TOTAL U.S. GOVERNMENT AGENCY AND
MORTGAGE - BACKED OBLIGATIONS
(Cost $117,348,117)......................... $115,472,469
------------
U.S. TREASURY OBLIGATIONS-23.20%
U.S. TREASURY BONDS-11.19%
5,000,000 8.875%........................ 08/15/17 5,446,850
1 7,000,000 11.875%......................... 11/15/03 21,260,540
-----------
26,707,390
U.S. TREASURY NOTES-12.01%
10,000,000 5.875%.......................... 05/31/96 9,782,800
11,000,000 6.50%......................... 09/30/96 10,802,330
750,000 7.25%......................... 08/31/96 745,665
7,300,000 7.875%.......................... 11/15/04 7,320,513
-----------
28,651,308
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $56,685,766).......................... $55,358,698
-----------
</TABLE>
** Purchased on a forward commitment (Note 2).
The accompanying notes are an integral part of the financial statements.
50
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(Showing percentage of total value of investments)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS-4.72%
$153,001 Collateralized Mortgage
Securities Company,
Series 88, Class 11
9.20%, (Collateralized
by FNMA 9.50%).................. 07/01/03 $ 154,579
108,404 Drexel Burnham Lambert,
9.30%, (Collateralized
by GNMA 10.00%)................. 06/01/17 110,742
86,472 Goldman Sachs Trust 7,
Series C, Class C2
9.10%, (Collateralized
by FNMA 9.50%).................. 04/27/17 86,688
73,281 Merrill Lynch Trust XXV,
Class B, 8.75%,
(Collateralized by
FHLMC 10.00%)................... 03/20/19 73,143
8,772,268 Ryland Acceptance
Corporation Four, 86F
8.75%, (Collateralized
by GNMA 9.50%).................. 04/01/19 8,566,645
2,456,578 Shearson Lehman,
Incorporated, 7.50%,
(Collateralized by
GNMA 11.50%).................... 06/01/18 2,276,928
----------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (Cost $12,334,178)............... $11,268,725
-----------
SHORT TERM INVESTMENT-0.78%
2,000,000 United States Treasury Bills,
zero coupon due 12/14/95....... $1,870,935
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENTS-22.90%***
$27,316,000 Repurchase Agreement with State
Street Bank & Trust, dated 12/30/94
at 5.50%, to be repurchased at
$27,332,693 on 01/03/95, collater-
alized by $28,410 000 U.S. Treasury
Note, 6.50% due 05/15/97 (valued
at $28,096,977, including
interest).......................... $27,316,000
------------
27,316,000 Repurchase Agreement with
UBS Securities, dated 12/30/94
at 5.75%, to be repurchased at
$27,333,452 on 01/03/95,
collateralized by $28,910 000
U.S. Treasury Note, 6.75%
due 05/31/99 (valued at
$28,028,206, including
interest).......................... 27,316,000
------------
$54,632,000
TOTAL INVESTMENTS
(U.S. Government Securities Trust)
(Cost $242,870,996).................... $238,602,827
============
</TABLE>
MONEY MARKET TRUST
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS-31.03%
FEDERAL HOME LOAN MORTGAGE
CORPORATION-15.99%
$5,000,000 5.60%................. 01/18/95 $ 4,986,778
5,000,000 5.65%................. 01/31/95 4,976,458
13,385,000 5.90%................. 01/04/95 13,378,419
20,530,000 6.25%................. 01/03/95 20,522,872
----------
43,864,527
</TABLE>
*** At December 31, 1994 a portion of these securities was pledged to cover
forward commitments purchased.
The accompanying notes are an integral part of the financial statements.
51
<PAGE> 210
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
FEDERAL NATIONAL MORTGAGE
ASSOCIATION-8.51%
$ 23,405,000 5.96%............................ 01/18/95 $23,339,128
-----------
STUDENT LOAN MARKETING ASSOCIATION-6.53%
10,000,000 FRN, 5.91%....................... 09/28/98 10,000,000
7,900,000 FRN, 5.92%....................... 02/22/99 7,901,064
-----------
17,901,064
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS.......................... $85,104,719
-----------
COMMERCIAL PAPER-68.61%
10,000,000 American General Finance
Corporation, 6.00%............... 01/09/95 9,986,667
9,000,000 American Home Products
Corporation, 5.92%............... 02/06/95 8,946,720
5,000,000 Associates Corporation of
North America, 6.05%............. 01/30/95 4,975,632
5,000,000 Associates Corporation of
North America, 6.06%............. 01/26/95 4,978,958
10,000,000 BP Australia Finance,
Ltd, 6.07%....................... 01/12/95 9,981,453
9,000,000 Bank of New York,
Wilmington, FRN,
5.69%........................... 06/02/95 8,999,625
9,000,000 Bear Stearns Companies,
Incorporated, 6.09%.............. 01/31/95 8,954,325
10,000,000 CIESCO, L.P,.5.95%............... 01/05/95 9,993,389
2,400,000 Carolina Telephone and
Telegraph Company,
6.00%............................ 01/10/95 2,396,400
2,000,000 Central & South West
Corporation, 6.05%............... 01/10/95 1,996,975
9,000,000 Chrysler Financial
Corporation, 5.80%............... 01/23/95 8,968,100
5,000,000 Corestates Capital
Corporation, 5.69%............... 03/28/95 5,000,000
8,000,000 Delaware Funding
Corporation, 6.03%............... 01/11/95 7,986,600
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Maturity Value
------ -------- -----
<S> <C> <C>
COMMERCIAL PAPER-continued
$10,000,000 General Motors
Acceptance Corporation,
5.85%............................ 01/18/95 $ 9,972,375
8,000,000 Generale Bank,
Incorporated, 5.50%.............. 01/31/95 7,963,333
8,000,000 Government Development
Bank of Puerto Rico,
6.10%............................ 01/13/95 7,983,733
10,000,000 IBM Credit Corporation,
6.07%............................ 01/12/95 9,981,453
9,000,000 National Australia
Funding, Corporation,
6.00%............................ 01/03/95 8,997,000
6,000,000 Preferred Receivables
Funding, Corporation,
6.00%............................ 01/10/95 5,991,000
3,000,000 Preferred Receivables
Funding, Corporation,
6.10%............................ 01/05/95 2,997,967
9,000,000 Sears Roebuck Acceptance
Corporation, 5.55%............... 02/03/95 8,954,212
9,000,000 SMM Trust, 94-H FRN,
6.03%............................ 02/22/95 8,999,635
9,000,000 Society National Bank,
FRN, 5.59%....................... 05/18/95 8,996,283
5,000,000 Texaco, Incorporated,
6.00%............................ 01/13/95 4,990,000
9,200,000 Washington Gas Light
Company, 6.00%................... 01/05/95 9,193,868
----------
TOTAL COMMERCIAL PAPER........................ $188,185,703
</TABLE> ============
The accompanying notes are an integral part of the financial statements.
52
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT-0.36%
$976,000 Repurchase Agreement with
Donaldson Lufkin Jenrette
Securities Corporation, dated
12/30/94 at 5.875%, to be
repurchased at $976,637 on
01/03/95, collateralized by
$974,000 U.S.Treasury Note,
8.375%. due 04/15/95
(valued at $1,017,584,
including interest)....... $976,000
--------
TOTAL INVESTMENTS
(Money Market Trust)................... $274,266,422
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
53
<PAGE> 212
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994
(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: 71.29% 50.14% 27.77%
AGRICULTURE: 0.07% 0.06% 0.03%
Carter Holt Harvey.............. 31,900 $ 65,348 83,000 $ 170,028 10,100 $ 20,690
Dekalb Genetics Corporation,
Class B....................... 2,500 66,875 5,900 157,825 1,400 37,450
---------- --------- ---------
132,223 327,853 58,140
MINING: 1.01% 0.71% 0.47%
American Barrick Resources
Corporation................... 4,100 91,225 4,800 106,800 2,300 51,175
Amoco Corporation............... 8,100 478,913 16,700 987,387 5,500 325,187
Broken Hill Proprietary
Company, Ltd.................. 12,459 189,165 32,517 493,706 3,950 59,973
Camco International
Incorporated.................. 2,500 47,188 5,600 105,700 1,600 30,200
Nacco Industries, Incorporated,
Class A....................... 3,200 154,800 8,600 416,025 1,600 77,400
Newmont Mining Corporation...... 12,800 460,800 31,100 1,119,600 7,200 259,200
Pittston Minerals Group......... 6,700 170,850 17,900 456,450 4,600 117,300
Questar Corporation............. 2,600 71,500 6,500 178,750 1,400 38,500
Santa Fe Pacific Gold Corporation* 2,340 30,127 5,160 66,435 1,000 12,875
Sungei Way Holdings............. 27,000 107,852 65,000 259,644 9,000 35,951
---------- --------- ----------
1,802,420 4,190,497 1,007,761
OIL &GAS EXPLORATION: 4.86% 3.24% 1.99%
Amerada Hess Corporation........ 14,500 661,563 35,300 1,610,563 8,400 383,250
Ampolex, Ltd.................... 61,144 164,998 159,199 429,600 19,367 52,262
Anadarko Petroleum Corporation.. --- --- --- --- 700 26,950
British Petroleum Company,
PLC, ADR...................... 17,700 1,413,787 40,000 3,195,000 9,500 758,812
Burlington Resources,
Incorporated.................. 2,300 80,500 6,300 220,500 1,200 42,000
Chevron Corporation............. 2,100 93,713 4,700 209,738 2,900 129,413
E.I. Du Pont De Nemours &
Company....................... 23,000 1,293,750 51,300 2,885,625 13,000 731,250
Exxon Corporation............... 8,000 486,000 11,500 698,625 1,400 85,050
Halliburton Company............. 32,100 1,063,313 75,200 2,491,000 17,300 573,063
Mobil Corporation............... 4,700 395,975 12,300 1,036,275 2,100 176,925
Occidental Petroleum
Corporation................... 1,200 23,100 7,400 142,450 --- ---
</TABLE>
* Non-income producing.
The accompanying notes are an integral part of the financial statements.
54
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994 -- 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>
OIL &GAS EXPLORATION - CONTINUED
OMV, AG*........................ 820 $ 69,464 2,040 $ 172,813 --- ---
Pacific Enterprises............. 33,900 720,375 43,700 928,625 10,800 $ 229,500
Schlumberger, Ltd............... 16,500 831,187 39,000 1,964,624 8,800 443,300
Total, SA, Class B*............. 8,650 502,383 21,350 1,239,987 2,800 162,621
Total, SA, ADR.................. 12,200 359,900 27,600 814,200 6,300 185,850
Unocal Corporation.............. 20,300 553,175 44,300 1,207,175 9,000 245,250
---------- ----------- ----------
8,713,183 19,246,800 4,225,496
FOOD PRODUCTS: 3.52% 2.39% 1.61%
Anheuser-Busch Companies,
Incorporated.................. 900 45,788 --- --- 1,300 66,138
Archer-Daniels-Midland Company.. 15,526 320,224 39,367 811,944 10,264 211,695
The Coca-Cola Company........... 5,800 298,700 10,800 556,200 2,700 139,050
CPC International, Incorporated. 6,200 330,150 17,100 910,575 4,700 250,275
Dean Foods Company.............. 10,800 313,200 20,300 588,700 4,700 136,300
Dr. Pepper/Seven-Up Companies,
Incorporated*................. 8,300 212,687 22,300 571,438 5,900 151,187
Dole Food Company, Incorporated. 8,900 204,700 18,600 427,800 3,500 80,500
Goodmark Foods, Incorporated.... 4,600 75,900 10,800 178,200 2,600 42,900
Hershey Foods Corporation....... --- --- --- --- 300 14,513
House Foods Corporation......... 13,000 258,434 33,000 656,024 4,000 79,518
Kirin Brewery Company........... 35,000 390,060 84,000 936,145 12,000 133,735
Pepsico, Incorporated........... 17,600 638,000 40,900 1,482,625 11,300 409,625
Philip Morris Companies,
Incorporated.................. 37,900 2,179,250 87,000 5,002,500 20,900 1,201,750
Ralcorp Holdings, Incorporated*. 15,266 339,668 34,100 758,725 7,800 173,550
Ralston Purina Company.......... 8,000 357,000 14,000 624,750 4,100 182,962
Tootsie Roll Industries,
Incorporated.................. 1,618 99,507 3,700 227,550 1,200 73,800
Tyson Foods, Incorporated,
Class A....................... 11,300 240,125 22,000 467,500 3,300 70,125
---------- ----------- ----------
6,303,393 14,200,676 3,417,623
TEXTILE MILL PRODUCTS: 0.13% 0.09% 0.07%
Jones Apparel Group,
Incorporated*................. 2,700 69,525 7800 200,850 1,600 41,200
Masland Corporation............. 5,000 78,125 11,400 178,125 3,200 50,000
Warnaco Group, Incorporated,
Class A*...................... 4,800 82,800 10,600 182,850 3,400 58,650
---------- ----------- ----------
230,450 561,825 149,850
</TABLE>
* Non-income producing.
The accompanying notes are an integral part of the financial statements.
55
<PAGE> 214
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994 -- 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>
FURNITURE & FIXTURES: 0.06% 0.02% 0.01%
Syratech Corporation*........... 3,500 $ 64,313 7,600 $ 139,650 --- ---
Weyerhaeuser Company............ 1,200 45,000 --- --- --- ---
Willamette Industries, Incorporated --- --- --- --- 600 $ 28,500
---------- ---------- ----------
109,313 139,650 28,500
PAPER, PRINTING &
PUBLISHING: 1.75% 1.19% 0.63%
Caraustar Industries,
Incorporated.................. 2,000 44,500 5,700 126,825 1,000 22,250
Consolidated Papers,
Incorporated.................. 700 31,500 --- --- --- ---
International Paper Company..... 3,100 233,663 7,700 580,388 2,400 180,900
James River Corporation
of Virginia................... 2,700 54,675 3,200 64,800 --- ---
McClatchy Newspapers,
Incorporated, Class A......... 3,900 83,850 8,100 174,150 2,700 58,050
Meredith Corporation............ 1,200 55,950 2,000 93,250 1,300 60,613
Mirror Group, PLC............... 128,000 260,365 314,100 638,914 41,900 85,229
New Oji Paper Company........... 30,000 316,265 78,000 822,289 9,000 94,880
News International.............. 60,000 200,908 --- --- --- ---
Nippon Paper Industries......... 40,000 293,976 105,000 771,686 13,000 95,541
Pulitzer Publishing Company..... 2,500 100,313 5,700 228,713 1,400 56,175
The E.W. Scripps Company
Class A....................... 4,000 121,000 8,500 257,125 --- ---
Temple-Inland, Incorporated..... 22,800 1,028,850 52,200 2,355,525 12,800 577,600
Times Mirror Company............ 2,000 62,750 5,100 160,013 1,200 37,650
Ver Ned Uitgevers............... 2,350 243,948 6,050 628,037 750 77,856
Westvaco Corporation............ ---- --- 4,000 157,000 --- ---
---------- ---------- ----------
3,132,513 7,058,715 1,346,744
CHEMICALS PRODUCTS: 7.12% 4.95% 2.99%
Akzo Nobel N.V., ADR............ 2,500 145,313 6,600 383,625 2,000 116,250
Azko Nobel N.V.................. 1,750 202,028 4,750 548,361 700 80,811
Allergan, Incorporated.......... 21,900 618,675 50,100 1,415,325 11,800 333,350
American Home Products
Corporation................... 2,900 181,975 4,300 269,825 1,400 87,850
ARCO Chemical Company........... 4,800 211,200 8,700 382,800 2,100 92,400
Baxter International,
Incorporated.................. 13,800 389,850 32,900 929,425 8,600 242,950
Bristol Myers Squibb Company.... 5,800 335,675 11,400 659,775 1,400 81,025
</TABLE>
* Non-income producing.
The accompanying notes are an integral part of the financial statements.
56
<PAGE> 215
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994 -- 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 PRODUCTS - CONTINUED
CCA Industries, Incorporated*... 12,500 $ 49,219 28,400 $ 111,825 6,300 $ 24,806
CellPro, Incorporated*.......... 6,400 63,200 13,700 135,288 --- ---
Ciba-Geigy, AG*................. 165 98,445 505 301,303 55 32,815
Cor Therapeutics, Incorporated*. 7,600 83,600 16,800 184,800 4,100 45,100
Cytec Industries, Incorporated*. 4,300 167,700 10,300 401,700 2,300 89,700
The Dial Corporation............ 31,000 658,750 74,400 1,581,000 14,600 310,250
The Dow Chemical Company........ 6,100 410,225 15,800 1,062,550 3,100 208,475
Eastman Chemical Company........ 5,200 262,600 11,200 565,600 2,200 111,100
Elan Corporation, PLC, ADR*..... --- --- 4,100 146,063 500 17,813
Eli Lilly and Company........... --- --- --- --- 1,600 105,000
Genentech, Incorporated*........ 10,200 462,825 21,300 966,488 4,600 208,725
W.R. Grace & Company............ 25,800 996,525 59,600 2,302,050 14,900 575,513
Great Lakes Chemical Corporation 1,800 102,600 2,100 119,700 300 17,100
Guest Supply, Incorporated*..... 3,800 72,200 6,000 114,000 1,500 28,500
Imperial Chemical Industries,
PLC, ADR...................... 4,900 227,850 12,000 558,000 3,100 144,150
Johnson & Johnson............... 7,800 427,050 17,900 980,025 4,900 268,275
London International
Group, PLC*................... 343,500 483,727 894,500 1,259,662 108,800 153,215
Nicca Chemical Company.......... 8,000 115,663 21,000 303,614 3,000 43,373
Olin Corporation................ --- --- --- --- 300 15,450
Pfizer, Incorporated............ 9,900 764,775 22,300 1,722,675 6,000 463,500
PPG Industries, Incorporated.... 2,000 74,250 2,400 89,100 --- ---
Protein Design Laboratories,
Incorporated*................. 3,100 48,825 6,600 103,950 1,600 25,200
Sankyo Company*................. 25,000 622,490 60,000 1,493,976 8,000 199,197
Sankyo Company NPV*............. 2,000 134,538 5,000 336,345 1,000 67,269
Schering, AG*................... 900 590,630 2,250 1,476,576 300 196,878
Schering-Plough Corporation..... 22,200 1,642,800 49,900 3,692,600 11,500 851,000
Sequa Corporation, Class A*..... 2,000 52,000 --- --- 1,300 33,800
Solvay.......................... 250 118,673 700 332,285 100 47,469
Union Carbide Corporation....... 15,300 449,437 35,000 1,028,125 9,400 276,125
Warner-Lambert Company.......... 14,100 1,085,700 33,300 2,564,100 8,100 623,700
Watson Pharmaceuticals,
Incorporated*................. 4,300 112,875 9,300 244,125 2,100 55,125
Yamanouchi Pharmaceutical....... 11,000 226,406 28,000 576,305 4,000 82,329
Zenith Laboratories, Incorporated* 2,100 51,713 3,600 88,650 --- ---
----------- ----------- ----------
12,742,007 29,431,616 6,355,588
</TABLE>
* Non-income producing.
The accompanying notes are an integral part of the financial statements.
57
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PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994 -- 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>
RUBBER & PLASTIC: 0.72% 0.54% 0.28%
Bandag, Incorporated............ 6,000 $ 363,000 13,900 $ 840,950 3,000 $ 181,500
Bridgestone Corporation......... 24,000 375,904 59,000 924,096 9,000 140,964
Coleman Company, Incorporated*.. --- --- --- --- 1,000 35,125
Goodyear Tire & Rubber
Company....................... 4,800 161,400 11,700 393,412 2,700 90,788
Park-Ohio Industries, Incorporated* --- --- 5,600 72,100 1,000 12,875
Pirelli Tyre Holdings*.......... 22,950 137,496 59,750 357,970 7,250 43,435
WPP Group, PLC.................. 148,000 253,575 365,000 625,372 48,900 83,783
---------- ---------- ----------
1,291,375 3,213,900 588,470
BUILDING MATERIALS & CONSTRUCTION: 1.78% 1.21% 0.54%
Corporacion Financiera Alba..... 3,800 161,094 7,900 334,906 1,200 50,872
Georgia-Pacific Corporation..... 5,800 414,700 11,800 843,700 2,500 178,750
Holderbank Financiere Glarus, AG 270 204,408 400 302,827 90 68,136
Ishikawajima Construction Material 7,000 119,478 19,000 324,297 2,000 34,137
Japan Foundation Engineer....... 7,000 145,482 16,600 345,000 2,400 49,880
Kaneshita Construction.......... 8,000 112,450 23,000 323,293 3,000 42,169
Kyocera Corporation............. 3,000 222,590 5,000 370,984 1,000 74,196
Lafarge Corporation............. 15,900 282,225 24,100 427,775 4,000 71,000
Marui Company................... 24,000 438,554 59,000 1,078,112 8,000 146,185
Medusa Corporation.............. 6,100 149,450 16,150 395,675 3,800 93,100
Schuler Homes, Incorporated*.... 1,700 24,225 4,300 61,275 900 12,824
Sho Bond Corporation............ 5,000 130,522 13,000 339,357 2,000 52,209
Tesco, PLC...................... 191,500 746,104 499,200 1,944,936 66,700 259,870
Wickes Lumber Company*.......... 4,100 42,025 10,700 109,675 1,800 18,450
---------- ---------- ----------
3,193,307 7,201,812 1,151,778
METAL PRODUCTS: 1.71% 1.23% 0.67%
British Steel, PLC*............. 84,500 203,614 237,400 572,048 31,000 74,699
Hitachi, Ltd.................... 83,000 824,167 204,000 2,025,663 29,000 287,962
Outokumpu OY*................... 8,300 152,406 21,600 396,623 2,650 48,660
Rockwell International
Corporation................... 3,100 110,825 7,500 268,125 2,800 100,100
Texas Instruments, Incorporated. 14,400 1,078,200 32,800 2,455,900 9,300 696,338
Tostem Corporation.............. 13,000 379,819 28,000 818,072 4,000 116,867
Transtechnology Corporation..... 4,100 47,150 9,500 109,250 2,300 26,450
Ugine, SA....................... 3,700 259,783 9,600 674,031 1,150 80,743
---------- ---------- ----------
3,055,964 7,319,712 1,431,819
</TABLE>
* Non-income producing.
The accompanying notes are an integral part of the financial statements.
58
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
----------------------- ----------------------- ------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
--------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
INDUSTRIAL & COMMERICAL MACHINERY: 3.52% 2.46% 1.53%
ASTEC Industries, Incorporated*.. 3,100 $ 39,525 6,400 $ 81,600 1,400 $ 17,850
Canon, Incorporated............. 20,000 339,357 53,000 899,297 6,000 101,807
Caterpillar, Incorporated....... 11,900 655,987 25,500 1,405,688 6,200 341,775
Cincinnati Milacron,
Incorporated.................. --- --- 2,800 66,150 500 11,813
Cisco Systems, Incorporated*.... 2,600 91,325 4,200 147,525 1,400 49,175
Compaq Computer
Corporation*.................. 18,300 722,850 40,100 1,583,950 9,100 359,450
CrossComm Corporation*.......... 14,000 161,000 29,000 333,500 8,200 94,300
Digital Equipment Corporation*.. 8,800 292,600 19,400 645,050 4,300 142,975
EMC Corporation*................ 7,500 162,188 15,900 343,838 3,700 80,013
Fedders Corporation, Class A*... --- --- --- --- 3,050 16,013
Fedders USA, Incorporated*...... 10,000 71,250 23,800 169,575 6,100 43,463
Goulds Pumps, Incorporated...... 6,500 140,562 13,700 296,263 3,600 77,850
Harnischfeger Industries,
Incorporated.................. 10,791 303,497 24,634 692,831 6,691 188,184
International Business
Machines Corporation.......... 24,300 1,786,050 57,900 4,255,650 14,600 1,073,100
International Imaging Material*. 4,500 146,250 9,700 315,250 2,800 91,000
Liberty Technologies, Incorporated* --- --- 11,800 44,250 3,000 11,250
Mannesmann, AG.................. 900 245,080 1,900 517,390 300 81,693
Natural Microsystems
Corporation*.................. 5,200 68,900 12,300 162,975 2,200 29,150
Sharp Corporation............... 32,000 578,313 79,000 1,427,711 12,000 216,867
Sony Corporation................ 4,400 249,599 12,000 680,722 1,600 90,762
Sun Microsystems, Incorporated*.. 6,800 241,400 16,100 571,550 4,000 142,000
---------- ----------- ----------
6,295,733 14,640,765 3,260,490
ELECTRONIC & OTHER ELECTRICAL
EQUIPMENT: 5.54% 3.90% 2.00%
Advanced Micro Devices,
Incorporated*................. 6,700 166,663 15,300 380,588 3,700 92,038
Boston Scientific Corporation*.. 2,600 45,175 5,200 90,350 1,600 27,800
Cabletron Systems,
Incorporated*................. 5,450 253,425 11,300 525,450 2,900 134,850
Ericsson L.M. Telephone
Company, ADR.................. 6,800 374,850 13,500 744,188 3,200 176,400
Fanuc........................... 8,000 376,707 20,000 941,767 2,000 94,177
Fujitsu, Ltd.................... 43,000 436,044 105,000 1,064,759 15,000 152,108
</TABLE>
* Non-income producing.
The accompanying notes are an integral part of the financial statements.
59
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(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>
ELECTRONIC & OTHER ELECTRICAL EQUIPMENT - CONTINUED:
General Electric Company ........................... 58,700 $2,993,700 134,900 $ 6,879,900 30,100 $1,535,100
Gentex Corporation* ................................ 1,600 38,800 3,500 84,875 800 19,400
Hitachi Metals, Ltd. ............................... 7,000 85,743 17,000 208,233 2,000 24,498
Intel Corporation .................................. 7,200 459,900 16,200 1,034,775 3,600 229,950
Matsushita Electric Industrial
Company, Ltd. .................................... 46,000 757,430 113,000 1,860,643 17,000 279,920
Mitsubishi Electric Corporation .................... 77,000 546,576 187,000 1,327,400 27,000 191,657
Motorola, Incorporated ............................. 8,300 480,363 17,500 1,012,813 4,700 272,013
National Semiconductor
Corporation* ..................................... 2,600 50,700 5,800 113,100 1,200 23,400
NEC Corporation .................................... 38,000 434,940 93,000 1,064,458 14,000 160,241
Network General Corporation* ....................... 1,700 43,669 -- -- -- --
Nippon Denwa Shisetsu .............................. 9,000 118,373 24,000 315,663 3,000 39,458
Nokia OY (AB) ...................................... 2,350 347,193 6,150 908,611 750 110,806
Omron Corporation .................................. 15,000 275,602 36,000 661,446 5,000 91,867
Philips Electronics* ............................... 27,150 803,912 67,100 1,986,831 9,000 266,490
Raytheon Company ................................... 1,700 108,587 5,100 325,763 -- --
Sanmina Corporation* ............................... 5,200 141,700 10,900 297,025 2,500 68,125
Scientific-Atlanta, Incorporated ................... 2,900 60,900 6,600 138,600 1,300
27,300
Spacelabs Medical, Incorporated* ................... 2,800 65,100 6,100 141,824 1,900 44,176
Sumitomo Electric Industries, Ltd .................. 23,000 327,912 59,000 841,164 7,000 99,799
Thermo Electron Corporation* ....................... 1,700 76,287 3,100 139,112 1,700 76,288
TSI, Incorporated .................................. 2,200 18,150 -- -- 1,200 9,900
Xilinx, Incorporated* .............................. 600 35,550 1,000 59,250 -- --
---------- ----------- ----------
9,923,951 23,148,587 4,247,759
TRANSPORTATION EQUIPMENT: 3.61% 2.61% 1.37%
AlliedSignal, Incorporated ......................... 3,200 108,800 16,400 557,600 5,400 183,600
Autozone, Incorporated* ............................ 8,900 215,825 19,000 460,750 4,200 101,850
Bayerische Motorenwerk, AG ......................... 550 271,859 1,300 642,576 150 74,143
Boeing Company ..................................... 5,900 275,825 13,000 607,750 3,200 149,600
Chrysler Corporation ............................... 6,200 303,800 13,800 676,200 3,200 156,800
Echlin, Incorporated ............................... 2,900 87,000 4,500 135,000 1,100 33,000
Ford Motor Company ................................. 28,300 792,400 64,200 1,797,600 15,900 445,200
General Motors Corporation ......................... 8,400 354,900 17,400 735,150 4,600 194,350
Honda Motor Company, Ltd. .......................... 17,000 302,108 44,000 781,928 5,000 88,855
Martin Marietta Corporation ........................ 1,800 79,875 -- -- -- --
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
60
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- ---------------------- ---------------------
SHARES VALUE SHARES VALUE SHARES VALUE
------ ----------- ------- ------------ ------- -----------
<S> <C> <C> <C> <C> <C> <C>
TRANSPORTATION EQUIPMENT - CONTINUED
McDonnell Douglas Corporation ...... 700 $ 99,400 1,600 $ 227,200 300 $ 42,600
Monro Muffler/Brake,
Incorporated* .................... 4,200 72,450 9,400 162,150 2,200 37,950
Nissan Motor Company, Ltd. ......... 18,000 148,735 48,000 396,627 6,000 49,578
Northrop Grumman
Corporation ...................... 1,000 42,000 2,000 84,000 600 25,200
Rollins Truck Leasing
Corporation ...................... 16,050 190,594 37,800 448,875 9,400 111,625
A.O. Smith Corporation ............. 12,400 303,800 28,300 693,350 6,700 164,150
Spartan Motors, Incorporated ....... 5,300 70,888 11,900 159,163 2,900 38,788
Textron, Incorporated .............. 8,600 433,225 18,500 931,938 5,000 251,875
Toyota Motor Corporation ........... 52,000 1,096,386 125,000 2,635,542 18,000 379,518
TRW, Incorporated .................. 1,200 79,200 -- -- -- --
United Technologies Corporation .... 500 31,438 10,100 635,037 -- --
Volvo AB, Series B* ................ 18,700 352,327 44,600 840,309 6,300 118,698
Vickers, PLC ....................... 79,700 218,236 187,200 512,595 36,100 98,850
Wickes ............................. 347,500 494,525 904,500 1,287,189 109,900 156,399
Xtra Corporation ................... 800 36,000 1,800 81,000 -- --
---------- ----------- ----------
6,461,596 15,489,529 2,902,629
TRANSPORTATION: 2.33% 1.63% 0.77%
Air Express International
Corporation ...................... 2,250 45,000 7,650 153,000 -- --
All Nippon Airways ................. 16,000 176,707 40,000 441,767 5,000 55,221
Atlantic Southeast Airlines,
Incorporated ..................... 2,900 44,950 5,800 89,900 2,100 32,550
AMR Corporation* ................... 1,300 69,225 3,000 159,750 800 42,600
Anangel-American Shipholdings,
Ltd, ADR ......................... 5,000 75,625 8,400 127,050 2,700 40,838
Bergesen DY AS ..................... 17,900 436,747 44,200 1,078,447 5,900 143,956
CSX Corporation .................... 8,800 612,700 19,800 1,378,575 4,900 341,163
Comair Holdings, Incorporated ...... 8,600 150,500 19,100 334,250 4,900 85,750
East Japan Railway ................. 75 375,000 127 635,000 26 130,000
Hanshin Electric Railway ........... 51,000 217,620 132,000 563,253 16,000 68,273
Japan Airlines Company* ............ 37,000 261,155 95,000 670,532 12,000 84,699
Kamigumi Company ................... 24,000 255,422 62,000 659,839 7,000 74,498
Kawasaki Kisen* .................... 67,000 269,076 146,000 586,345 23,000 92,369
KLM Royal Dutch Airlines* .......... 8,500 208,250 19,800 485,100 2,900 71,050
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
61
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- ----------------------- --------------------
SHARES VALUE SHARES VALUE SHARES VALUE
------- ------------ ------- ------------ ------ -----------
<S> <C> <C> <C> <C> <C> <C>
TRANSPORTATION - CONTINUED
Landstar Systems, Incorporated* ... 4,900 $ 160,475 7,600 $ 248,900 2,500 $ 81,875
Mitsui Osk Lines* .................. 90,000 341,566 234,000 888,072 28,000 106,265
Neptune Orient Lines* .............. 160,000 219,554 413,000 566,725 52,000 71,355
Nippon Yusen Kaisha (NYK Line) ..... 18,000 118,193 46,000 302,049 6,000 39,398
Northwest Airlines Corporation,
Class A* ......................... 3,100 48,825 6,500 102,375 2,300 36,224
Santa Fe Pacific Corporation ....... 3,300 57,750 7,300 127,750 1,800 31,500
Skywest, Incorporated .............. 2,300 28,750 4,700 58,750 1,200 15,000
----------- ----------- ----------
4,173,090 9,657,429 1,644,584
COMMUNICATION SERVICES: ............ 6.79% 4.80% 2.80%
ACS Enterprises, Incorporated* ..... 8,500 74,375 19,800 173,250 4,300 37,625
American Telephone and
Telegraph Corporation ............ 16,800 844,200 41,300 2,075,325 11,500 577,875
AirTouch Communications
Incorporated* .................... 21,000 611,625 43,700 1,272,763 8,700 253,388
Ameritech Corporation .............. 45,200 1,824,950 101,800 4,110,175 24,400 985,150
Bell Atlantic Corporation .......... 7,500 373,125 17,000 845,750 4,000 199,000
Bellsouth Corporation .............. 8,600 465,475 19,400 1,050,025 4,600 248,975
British Telecommunication .......... 51,300 303,016 171,800 1,014,779 16,900 99,824
Capital Cities/ABC, Incorporated ... 16,600 1,364,000 36,400 3,103,100 8,800 750,200
Clear Channel Communications* ...... 300 15,225 -- -- -- --
Nippon Telegraph & Telephone
Corporation ...................... 43 380,351 105 928,765 10 88,454
Nynex Corporation .................. 31,900 1,172,325 77,000 2,829,750 18,400 676,200
Peoples Choice TV Corporation* ..... 3,800 59,850 8,800 138,600 2,100 33,075
Scottish TV ........................ 20,100 131,463 56,900 372,151 5,000 32,702
Security Services .................. 10,900 139,512 27,100 346,860 3,500 44,797
Southwestern Bell Corporation ...... 44,500 1,796,688 100,200 4,045,575 24,000 969,000
STET* .............................. 69,000 163,642 179,000 424,521 22,000 52,176
Telecom Italia ..................... 237,000 472,904 619,500 1,236,134 75,000 149,653
Tele Danmark, AS, Series B ......... 3,750 190,459 9,300 472,337 1,225 62,216
Telefonica de Espana, SA* .......... 30,500 360,323 73,900 873,045 9,600 113,413
Telekom Malaysia ................... 13,000 88,074 33,000 223,574 6,000 40,650
Telephone & Data Systems,
Incorporated ..................... 1,200 55,350 2,000 92,250 -- --
TV Francaise ....................... 5,600 507,680 13,850 1,255,602 1,850 167,716
U.S. West, Incorporated ............ 2,100 74,812 4,900 174,563 -- --
Viacom, Incorporated, Class A* ..... -- -- -- -- 272 11,322
Viacom, Incorporated, Class B* ..... 16,900 686,563 36,800 1,495,000 8,760 355,875
12,155,987 28,553,894 5,949,286
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
62
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- ---------------------- --------------------
SHARES VALUE SHARES VALUE SHARES VALUE
------- ----------- ------- ----------- ------ -----------
<S> <C> <C> <C> <C> <C> <C>
ELECTRIC, GAS & SANITARY SERVICES: 1.88% 1.29% 0.78%
AES Corporation* ..................... 60,300 $1,175,850 129,100 $2,517,450 29,800 $ 581,100
American Ecology, Incorporated ....... 2,500 18,125 6,200 44,950 1,400 10,150
Central & South West Corporation ..... 3,300 74,663 7,300 165,163 1,800 40,725
Cinergy Corporation .................. -- -- 3,500 81,813 900 21,038
The Columbia Gas System,
Incorporated* ...................... 800 18,800 1,900 44,650 500 11,750
DQE .................................. -- -- 2,100 62,213 400 11,850
El Paso Natural Gas Company .......... 600 18,300 1,400 42,700 400 12,200
General Publishing Utilities
Corporation ........................ -- -- -- -- 1,100 28,875
Hong Kong Electric Holdings, Ltd ..... 77,000 210,475 201,000 549,422 24,500 66,969
Illinova Corporation ................. -- -- 3,000 65,250 600 13,050
Kansai Electric Power ................ -- -- -- -- 2,300 55,422
MCN Corporation ...................... 8,800 159,500 16,000 290,000 4,600 83,375
Nipsco Industries, Incorporated ...... 1,100 32,725 2,600 77,350 600 17,850
Peco Energy Company .................. 3,900 95,550 8,600 210,700 2,000 49,000
Peoples Energy Corporation ........... 7,100 185,488 19,000 496,375 5,000 130,625
Pinnacle West Capital Corporation .... 1,600 31,600 3,300 65,175 800 15,800
Sanifill, Incorporated* .............. 2,500 62,500 4,500 112,500 1,400 35,000
Shanks & McEwan ...................... 229,000 302,777 596,000 788,014 72,500 95,857
Tetra Technologies, Incorporated* .... 14,300 169,813 33,100 393,063 8,100 96,188
Tetra Technologies,
Incorporated New* .................. 5,800 102,950 12,800 227,200 2,900 51,475
Tohoku Electric Power,
Incorporated* ...................... 5,500 139,708 -- -- -- --
Tokyo Electric Power Incorporated .... 5,600 156,305 14,500 404,718 1,800 50,241
VEBA, AG ............................. 1,000 348,456 2,700 940,826 400 139,382
Western Gas Resources,
Incorporated ....................... 3,500 67,373 5,900 113,575 2,300 44,275
---------- ---------- ----------
3,370,958 7,693,107 1,662,197
WHOLESALE & RETAIL TRADE: 5.37% 3.69% 2.15%
Alco Standard Corporation ............ 5,900 370,225 12,900 809,475 3,400 213,350
Amgen, Incorporated* ................. 7,300 430,700 16,200 955,800 3,800 224,200
Arnold Industries, Incorporated ...... 4,300 89,225 9,700 201,275 3,500 72,625
Bed Bath & Beyond, Incorporated* ..... 2,100 63,000 3,900 117,000 1,100 33,000
Circuit City Stores, Incorporated .... 13,100 291,475 32,700 727,575 2,900 64,525
Cobra Golf, Incorporated* ............ 2,800 100,100 6,600 235,950 1,600 57,200
Consolidated Stores Corporation* ..... 7,400 137,825 16,000 298,000 4,600 85,675
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
63
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
-------------------- --------------------- -------------------
SHARES VALUE SHARES VALUE SHARES VALUE
------- ---------- ------- ----------- ------ ----------
<S> <C> <C> <C> <C> <C> <C>
WHOLESALE & RETAIL, CONTINUED
Cygne Designs, Incorporated* ....... -- -- 3,800 $ 52,250 900 $ 12,375
Dayton-Hudson Corporation .......... 5,600 $ 396,200 12,600 891,450 3,100 219,325
Dieteren Trading ................... 1,400 94,624 3,400 229,802 400 27,036
Dillard Department Stores,
Incorporated, Class A ............ 3,500 93,625 6,500 173,875 -- --
DSC Communications
Corporation* ..................... 14,400 516,600 29,800 1,069,075 5,300 190,138
Enron Corporation .................. 11,100 338,550 22,500 686,250 5,100 155,550
Friedman's, Incorporated,
Class A* ......................... 5,500 94,875 13,000 224,250 3,200 55,200
Genuine Parts Company .............. 20,400 734,400 50,300 1,810,800 10,200 367,200
Home Depot, Incorporated ........... 8,666 398,636 19,966 918,436 6,000 276,000
Hutchinson Whampoa, Ltd* ........... 93,000 376,207 242,000 978,947 29,000 117,312
Leslie's Poolmart* ................. 9,300 123,225 21,300 282,225 5,500 72,875
Lillian Vernon Corporation ......... 4,500 68,625 10,500 160,125 2,500 38,125
The Limited, Incorported ........... 6,200 112,375 14,000 253,750 3,300 59,813
Lowe's Companies, Incorporated ..... 16,400 569,900 35,900 1,247,525 8,700 302,325
May Department Stores Company ...... 4,800 162,000 12,200 411,750 3,900 131,625
Medtronic, Incorporated ............ 800 44,500 2,900 161,313 800 44,500
Microage, Incorporated* ............ 10,200 119,850 23,300 273,775 5,500 64,625
Mitsubishi Corporation ............. 37,000 486,647 90,000 1,183,735 12,000 157,831
Nine West Group, Incorporated* ..... -- -- 1,100 31,213 -- --
Nintendo Company* .................. 3,800 205,643 10,000 541,165 1,200 64,940
Old American Stores,
Incorporated* .................... 5,800 85,550 12,900 190,275 3,400 50,150
Pacific Sunwear of California* ..... 5,100 79,050 11,600 179,800 2,800 43,400
Pioneer Hi-Bred International,
Incorporated ..................... 3,700 127,650 6,800 234,600 1,600 55,200
Softbank Corporation* .............. 1,000 220,884 2,000 441,767 -- --
Sears Roebuck & Company ............ 26,400 1,214,400 55,500 2,553,000 13,800 634,800
Seven Eleven Japan ................. 1,000 80,422 -- -- -- --
Stanhome, Incorporated ............. 2,500 79,062 7,100 224,537 2,600 82,224
Tabacalera, SA* .................... -- -- 6,000 160,455 1,200 32,091
Tab Corporate Holdings, Ltd* ....... 190,000 346,231 420,000 765,353 65,000 118,447
Tech Data Corporation* ............. 2,100 35,700 4,600 78,200 1,000 17,000
Toys R Us, Incorporated* ........... 13,900 423,950 32,900 1,003,450 7,000 213,500
Urban Outfitters, Incorporated* ... 7,600 207,100 17,500 476,875 4,200 114,450
Whitbread, PLC ..................... 33,000 291,738 81,000 716,085 10,900 96,362
---------- ----------- ----------
9,610,769 21,951,183 4,564,994
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
64
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
----------------- ------------------- ----------------
Shares Value Shares Value Shares Value
------- -------- ------- ---------- ------ --------
<S> <C> <C> <C> <C> <C> <C>
FOOD STORES: 0.41% 0.30% 0.10%
Giant Foods, Incorporated,
Class A....................... 2,300 $ 50,025 5,600 $ 121,800 800 $ 17,400
Gib............................. 3,800 150,040 9,500 375,102 700 27,639
Ito-Yokado Company, Ltd......... 10,000 535,141 24,000 1,284,338 3,000 160,542
-------- ---------- --------
735,206 1,781,240 205,581
EATING & DRINKING PLACES: 0.24% 0.14% 0.07%
McDonald's Corporation.......... 6,800 198,900 15,700 459,225 3,900 114,075
Quick Restaurants............... 2,200 161,490 5,200 381,704 500 36,702
Yoshinoya D & C Company......... 5 62,657 -- -- -- --
-------- ---------- --------
423,047 840,929 150,777
BANKING & FINANCE: 5.92% 4.38% 2.02%
Asahi Bank...................... 39,000 454,217 96,000 1,118,072 14,000 163,052
Astoria Financial Corporation*.. 7,200 189,000 16,500 433,125 4,200 110,250
Banco Bilbao Vizcaya, SA*....... 6,850 169,916 17,900 444,015 2,150 53,331
Bank of Boston Corporation...... -- -- -- -- 1,000 25,875
Bank of Tokyo................... 22,000 340,161 57,000 881,325 7,000 108,233
Bank of Yokohama, Ltd........... 9,000 76,355 24,000 203,614 -- --
Banponce Corporation............ 14,000 393,750 31,700 891,563 7,500 210,938
Banque National Paris........... 15,250 700,969 37,650 1,730,589 5,050 232,124
Barclays........................ 35,600 340,347 90,000 860,429 15,500 148,185
Bay Ridge Bancorp, Incorporated* 11,200 154,000 23,800 327,250 6,100 83,875
Boatmens Bancshares,
Incorporated.................. 3,000 81,375 6,000 162,750 1,000 27,125
Boston Bancorporation,
Incorporated.................. 1,200 34,950 4,000 116,500 900 26,212
Charter One Financial,
Incorporated.................. 8,400 159,600 29,600 562,400 6,200 117,800
Chemical Banking Corporation.... 7,900 283,413 15,200 545,300 2,800 100,450
Christiania Kreditkasse*........ 198,300 404,664 490,200 1,000,334 65,500 133,664
Collective Bancorp, Incorporated 3,000 51,000 8,000 136,000 2,300 39,100
Commercial Federal Corporation*. 6,200 130,975 14,200 299,975 3,100 65,488
Deutsche Bank, AG*.............. 850 394,915 2,050 952,442 250 116,152
Federal Home Loan Mortgage
Corporation................... 9,200 464,600 20,800 1,050,400 5,500 277,750
Federal National Mortgage
Association................... 10,200 743,325 22,600 1,646,975 5,300 386,238
Haven Bancorp, Incorporated*.... 13,000 172,250 29,500 390,875 6,900 91,425
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
65
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------- -------------------- ------------------
Shares Value Shares Value Shares Value
------ ----------- ------- ----------- ------ ----------
<S> <C> <C> <C> <C> <C> <C>
BANKING & FINANCE - CONTINUED
Higo Bank....................... 39,000 $ 321,084 102,000 $ 839,759 12,000 $ 98,795
Mitsubishi Trust & Banking
Corporation................... 41,000 613,353 100,000 1,495,984 15,000 224,397
Nationsbank Corporation......... 4,748 214,254 10,780 486,448 2,564 115,701
NBD Bancorp, Incorporated....... 2,600 71,175 7,500 205,313 1,400 38,325
Pulte Corporation............... 6,700 154,100 14,500 333,500 3,800 87,400
Sanwa Bank, Ltd................. -- -- 10,000 198,295 -- --
Schweiz Bankverein.............. 870 240,596 2,155 595,959 290 80,199
Sparebankern NOR................ 13,400 261,560 33,000 644,141 4,400 85,885
Standard Chartered, PLC......... 92,324 405,931 240,850 1,058,971 29,261 128,655
Standard Federal Bank........... 14,700 350,962 32,400 773,550 6,900 164,738
State Street Boston Corporation. 1,400 40,075 3,000 85,875 700 20,038
The Sumitomo Bank, Ltd.......... 36,000 686,747 89,000 1,697,791 12,000 228,915
Sumitomo Trust & Banking........ 29,000 407,631 72,000 1,012,048 10,000 140,562
The Tokai Bank, Ltd............. 16,000 192,771 47,000 566,265 6,000 72,289
Unidanmark*..................... 3,100 119,231 8,075 310,577 1,175 45,192
United Overseas Bank............ 47,000 496,604 115,000 1,215,094 15,000 158,491
Westpac Banking Corporation*.... 87,000 292,787 226,200 761,250 27,500 92,547
----------- ----------- ----------
10,608,643 26,034,753 4,299,396
SECURITY & COMMODITY BROKERS: 0.93% 0.72% 0.29%
Daiwa Securities Company, Ltd*.. 19,000 274,699 50,000 722,892 6,000 86,747
Dean Witter Discover & Company.. 1,741 58,976 4,917 166,563 1,209 40,955
Easton Company, Ltd............. 1,000 29,087 1,000 29,087 1,000 29,087
Jefferies Group, Incorporated... 1,800 53,550 4,400 130,900 1,100 32,725
Nikko Securities Company, Ltd... 21,000 238,253 83,000 941,667 7,000 79,418
Nomura Securities Company,Ltd*.. 42,000 872,892 92,000 1,912,048 15,000 311,747
Tsugami Corporation............. 24,000 139,518 63,000 366,235 8,000 46,506
----------- ----------- ----------
1,666,975 4,269,392 627,185
INSURANCE: 3.20% 2.24% 1.18%
Allstate Corporation............ 15,000 354,375 14,200 335,475 10,200 240,975
W.R. Berkley Corporation........ 6,000 225,000 15,800 592,500 1,700 63,750
Baloise Holdings................ 145 263,636 375 681,818 50 90,909
Corporacion Mapfre.............. 5,950 248,623 12,900 539,031 1,550 64,767
Coventry Corporation*........... 2,500 61,250 5,900 144,550 1,200 29,400
Dai Tokyo Fire & Marine......... 23,000 167,651 61,000 444,639 7,000 51,024
Exel, Ltd....................... 4,700 185,650 11,600 458,200 1,600 63,200
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------ -------------------- -------------------
Shares Value Shares Value Shares Value
------ ---------- ------- ----------- ------- ----------
<S> <C> <C> <C> <C> <C> <C>
INSURANCE - CONTINUED
General Reinsurance
Corporation................... 1,900 $ 235,125 4,500 $ 556,875 1,500 $ 185,625
Harleysville Group, Incorporated 3,500 84,875 8,200 198,850 2,000 48,500
Horace Mann Educators
Corporation................... 11,000 233,750 29,200 620,500 6,400 136,000
INA (Instituto Naz Dell)*....... -- -- -- -- 30,000 39,877
International Nederlanden*...... 5,535 261,461 14,453 682,704 1,742 82,312
MBIA, Incorporated.............. 3,700 207,663 7,300 409,712 2,100 117,863
Providian Corporation........... 19,400 598,975 45,400 1,401,725 6,800 209,950
Royal Insurance Holdings*....... 34,200 149,835 97,300 426,287 13,200 57,831
Selective Insurance Group,
Incorporated.................. 4,200 106,050 9,500 239,875 2,200 55,550
Skandia Foersaekrings AB........ 43,000 743,614 102,500 1,772,569 14,100 243,836
Sumitomo Marine & Fire.......... 48,000 414,458 118,000 1,018,876 17,000 146,787
Tokio Marine & Fire............. 39,000 477,711 94,000 1,151,405 14,000 171,486
Travelers, Incorporated......... 15,433 501,573 35,433 1,151,573 8,933 290,323
United Healthcare Corporation... 4,500 203,062 11,100 500,887 2,700 121,837
---------- ----------- ----------
5,724,337 13,328,051 2,511,802
REAL ESTATE: 0.49% 0.37% 0.14%
Cheung Kong Holdings, Ltd*...... 38,000 154,701 105,000 427,464 13,000 52,924
Hong Kong Land Holdings, Ltd*... 81,000 158,075 200,000 390,307 26,000 50,740
Lennar Corporation.............. 3,900 60,450 10,100 156,550 2,800 43,400
Nichimo Corporation............. 40,000 186,747 104,000 485,542 13,000 60,693
Sun Hung Kai Properties......... 34,000 203,011 88,000 525,441 11,000 65,680
Tan & Tan Development........... 80,000 107,147 150,000 200,901 21,000 28,126
---------- ----------- ----------
870,131 2,186,205 301,563
HOLDING & INVESTMENT COMPANIES: 3.40% 2.47% 1.30%
Bank of New York Company,
Incorporated.................. 49,200 1,426,800 111,200 3,224,800 26,700 774,300
Cenfed Financial Corporation.... 4,700 81,075 11,200 193,200 2,400 41,400
Citicorp........................ 3,800 157,225 7,600 314,450 2,000 82,750
Comerica, Incorporated.......... 25,100 611,813 56,800 1,384,500 13,900 338,813
CS Holding...................... 900 385,027 2,255 964,706 300 128,342
First Chicago Corporation....... 2,100 100,275 4,600 219,650 1,000 47,750
First National Finance.......... 24,000 296,421 843,700 771,885 102,500 93,775
HSBC Holdings................... 43,400 468,355 85,600 923,761 13,800 148,924
Keycorp......................... 4,223 105,575 9,506 237,650 2,239 55,975
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------- -------------------- ------------------
Shares Value Shares Value Shares Value
------- ---------- ------- ----------- ------ ----------
<S> <C> <C> <C> <C> <C> <C>
HOLDING & INVESTMENT COMPANIES - CONTINUED
Kinnevik Investment, Series B...... 11,000 $ 364,170 28,600 $ 946,841 3,500 $ 115,872
Mitsubishi Bank, Ltd............... 4,000 98,394 26,000 639,558 1,000 24,598
Oerlikon-Buhrle Holding, AG*....... 2,510 249,274 6,520 647,517 790 78,457
Onbancorp, Incorporated............ 10,600 246,450 26,300 611,475 6,600 153,450
Pamrapo Bancorp, Incorporated...... 2,700 44,550 7,100 117,150 1,500 24,750
Royal Bank of Scotland*............ 73,500 453,122 191,800 1,182,432 23,300 143,643
United Asset Management
Corporation...................... 20,000 737,500 45,800 1,688,875 10,200 376,125
Zions Bancorporation............... 7,300 261,887 16,600 595,525 4,000 143,500
---------- ----------- ----------
6,087,913 14,663,975 2,772,424
HOTELS, MOTELS & OTHER LODGING PLACES: 0.53% 0.42% 0.16%
Caesars World, Incorporated*....... -- -- 300 20,025 -- --
Champion Enterprises, Incorporated* -- -- -- -- 300 9,150
Genting Berhad..................... 32,000 274,447 82,000 703,270 10,000 85,765
La Quinta Inns, Incorporated....... 4,950 105,806 9,900 211,612 2,850 60,919
Marriot International, Incorporated 8,400 236,250 23,400 658,125 2,600 73,125
Resorts World BHD.................. 58,000 340,709 151,000 887,018 18,000 105,737
---------- ----------- ----------
957,212 2,480,050 334,696
BUSINESS SERVICES: 1.54% 1.02% 0.64%
BET................................ 170,400 270,624 421,000 668,620 56,200 89,255
Catalina Marketing Corporation*.... 3,900 216,938 8,900 495,062 2,100 116,812
EIS International, Incorporated*... 14,400 219,600 31,100 474,275 7,400 112,850
Electronics for Imaging,
Incorporated*.................... 12,600 346,500 25,000 687,500 6,700 184,250
Independent News................... 34,900 144,711 86,200 357,424 8,500 35,245
Mercury Interactive Corporation*... 6,700 88,775 15,700 208,025 4,000 53,000
Micom Communications*.............. 3,700 32,375 8,600 75,250 1,900 16,625
Micro Focus Group,
Incorporated, PLC, ADR*.......... 4,300 53,750 -- -- 11,400 142,500
Microsoft Corporation*............. 3,000 183,375 8,600 525,675 -- --
Novell, Incorporated*.............. 6,700 114,738 12,400 212,350 2,800 47,950
Oracle Systems Corporation*........ 13,900 613,337 32,400 1,429,650 7,500 330,938
Structural Dynamics Research
Corporation*..................... -- -- -- -- 2,000 10,750
Sun Guard Data Systems,
Incorporated*.................... 9,700 373,450 19,500 750,750 4,600 177,100
Sybase, Incorporated*.............. 2,100 109,200 4,000 208,000 1,000 52,000
---------- ----------- ----------
2,767,373 6,092,581 1,369,275
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
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(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>
MOTION PICTURES, AMUSEMENT
& RECREATION SERVICES: 1.07% 0.77% 0.44%
Carmike Cinemas, Incorporated*.. 10,100 $ 232,300 22,100 $ 508,300 5,900 $ 135,700
The Walt Disney Company......... 12,900 595,012 31,000 1,429,876 8,800 405,900
Ladbroke Group, PLC*............ 245,500 653,028 604,500 1,607,964 79,900 212,533
London Clubs International...... 70,400 306,231 171,500 746,002 23,000 100,047
Mirage Resorts, Incorporated*... 2,100 43,050 3,300 67,650 1,900 38,950
Sodak Gaming, Incorporated*..... 5,500 83,875 12,300 187,575 3,200 48,800
---------- ---------- ----------
1,913,496 4,547,367 941,930
HEALTH SERVICES: 1.24% 0.86% 0.51%
Abbey Healthcare Group,
Incorporated*................. 4,700 109,275 10,300 239,475 2,500 58,125
Columbia/HCA-Healthcare
Corporation of America........ 10,100 368,650 24,600 897,900 4,600 167,900
Gehe, AG........................ 850 307,156 2,250 813,061 300 108,407
Gencare Health Systems
Incorporated*................. 2,400 114,000 4,500 213,750 800 38,000
Health Management Association,
Class A*...................... 7,400 185,000 16,400 410,000 3,700 92,500
Homedco Group, Incorporated*.... 4,300 161,788 9,900 372,487 2,400 90,300
Integrated Health Services,
Incorporated.................. 2,700 106,650 4,100 161,950 1,300 51,350
Lincare Holdings, Incorporated*. 8,600 249,400 19,700 571,300 4,700 136,300
Multicare Companies,
Incorporated*................. 1,900 37,525 4,700 92,825 1,300 25,675
St. Jude Medical, Incorporated*. 700 27,825 -- -- -- --
Thermedics, Incorporated*....... 19,000 242,250 43,500 554,625 10,500 133,875
U.S. Healthcare, Incorporated... 7,550 311,437 19,800 816,750 4,200 173,250
---------- ---------- ----------
2,220,956 5,144,123 1,075,682
EDUCATIONAL SERVICES: 0.02% 0.02% 0.02%
Children's Discovery Centers of.
America, Incorporated*........ 3,700 42,088 8,700 98,963 2,100 23,887
Flightsafety International,
Incorporated.................. -- -- -- -- 300 12,187
---------- ---------- ----------
42,088 98,963 36,074
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
--------------------- --------------------- -------------------
Shares Value Shares Value Shares Value
------- ------------ ------- ------------ ------ -----------
<S> <C> <C> <C> <C> <C> <C>
ENGINEERING, ACCOUNTING, RESEARCH
AND MANAGEMENT: 0.53% 0.42% 0.21%
Earth Technology
Corporation*.................. 7,200 $ 57,600 16,900 $ 135,200 3,500 $ 28,000
EA Engineering Science and
Technology, Incorporated*..... 3,000 17,250 7,100 40,825 -- --
Jardine Matheson Holdings, Ltd.. 36,000 257,060 93,600 668,354 11,200 79,974
Liposome Technology,
Incorporated*................. 11,600 74,675 26,100 168,019 5,600 36,050
Orix Corporation................ 3,000 110,843 13,000 480,321 2,000 73,896
PHH Corporation................. 4,700 163,325 13,600 472,600 3,300 114,675
Trafalgar House, PLC............ 186,400 224,578 350,000 421,687 75,000 90,361
TRC Companies,
Incorporated*................. 4,400 35,200 10,600 84,800 2,500 20,000
------------ ------------ -----------
940,531 2,471,806 442,956
TOTAL COMMON STOCKS
(Cost $124,521,536, $291,420,698
and $57,422,997, respectively).......... $127,656,140 $297,966,985 $59,063,049
------------ ------------ -----------
PREFERRED STOCKS: 0.23% 0.17% 0.07%
ELECTRONIC & OTHER ELECTRICAL
EQUIPMENT: 0.20% 0.15% 0.06%
Nokia OY (AB)................... 2,450 360,933 6,000 883,917 800 117,856
------------ ------------ -----------
BANKING & FINANCE: 0.03% 0.02% 0.01%
Creditanstalt-Bankverein........ 800 46,500 2,090 121,482 500 29,063
------------ ------------ -----------
TOTAL PREFERRED STOCKS
(Cost $284,919, $706,011,
and $108,092, respectively)............ $ 407,433 $ 1,005,399 $ 146,919
------------ ------------ -----------
</TABLE>
*Non-income producing
The accompanying notes are an integral part of the financial statements.
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
----------------------- ------------------------ ------------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- ---------- ---------- ---------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY
MORTGAGE - BACKED OBLIGATIONS: 8.32% 17.37% 20.29%
FEDERAL HOME LOAN BANK: 0.51% 1.00% 1.35%
7.31%......................... 07/06/04 $ 560,000 $ 533,574 $4,000,000 $ 3,811,240 $2,000,000 $ 1,905,620
7.39%......................... 08/22/01 400,000 386,876 2,200,000 2,127,818 1,000,000 967,190
---------- ----------- -----------
920,450 5,939,058 2,872,810
FEDERAL HOME LOAN MORTGAGE
CORPORATION: 0.88% 3.09% 4.36%
6.50%......................... 07/01/06 -- -- -- -- 139,507 134,907
6.55%......................... 04/02/03 280,000 249,113 1,780,000 1,583,648 700,000 622,783
7.50%......................... 08/01/24 -- -- 5,034,979 4,702,973 2,476,219 2,312,938
7.50%......................... 06/01/07 84,312 81,857 -- -- -- --
8.00%................. 04/01/23 - 08/01/24 -- -- 3,593,292 3,445,069 1,847,784 1,771,562
9.50%................. 09/01/16 - 12/01/22 1,210,229 1,242,425 8,394,126 8,617,827 4,308,007 4,422,360
---------- ----------- -----------
1,573,395 18,349,517 9,264,550
FEDERAL NATIONAL MORTGAGE
ASSOCIATION: 3.56% 6.37% 6.08%
Zero coupon................... 04/25/06 449,427 441,984 3,096,056 3,044,777 1,248,410 1,227,733
6.00%................. 03/01/09 - 07/01/09 489,583 437,105 4,699,996 4,196,204 2,304,987 2,057,915
6.50%................. 01/01/08 - 06/01/09 1,555,925 1,423,672 8,662,050 7,925,775 5,260,824 4,813,654
7.00%......................... 05/01/24 -- -- 2,981 2,705 -- --
7.50%................. 12/01/06 - 12/01/24 1,881,061 1,756,441 13,320,644 12,453,957 1,904,813 1,779,625
8.00%................. 05/01/24 - 06/01/24 983,231 941,770 3,591,835 3,440,295 1,863,251 1,784,640
8.50%................. 11/01/08 - 07/01/24 1,109,402 1,088,944 6,898,443 6,775,161 1,297,217 1,274,987
8.75%......................... 08/01/09 300,861 296,992 -- -- -- --
9.00%......................... 10/01/05 3,426 3,474 -- -- -- --
---------- ----------- -----------
6,390,382 37,838,874 12,938,554
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION: 2.01% 4.33% 5.38%
7.50%................. 10/15/22 - 08/15/23 1,120,986 1,040,062 9,812,484 9,104,120 5,401,450 5,011,520
8.00%................. 05/15/22 - 09/15/23 968,961 926,259 4,722,341 4,514,227 2,312,543 2,214,457
8.50%................. 02/15/17 - 03/15/21 220,887 219,667 2,102,305 2,068,049 696,884 690,108
</TABLE>
The accompanying notes are an integral part of the financial statements.
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- ------------------------ ------------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- --------- ----------- ---------- ------------ ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION, CONTINUED:
9.00%................. 06/15/16 - 12/15/19 $807,308 $ 817,009 $7,079,723 $ 6,520,817 $3,276,581 $ 3,315,927
9.00% TBA**................... 01/15/25 184,000 185,610 31,000 31,271 200,000 201,750
9.50%................. 09/15/18 - 11/15/24 396,423 409,412 4,686,485 3,457,943 -- --
11.50%........................ 08/15/13 -- -- 29,346 31,989 -- --
----------- ----------- -----------
3,598,019 25,728,416 11,433,762
RESOLUTION TRUST CORPORATION: 0.80% 1.47% 1.67%
8.00%, Class C2F.............. 04/25/25 798,686 737,287 4,891,951 4,515,883 1,996,715 1,843,217
8.00%, Series 1994, Class C... 06/25/26 750,000 692,344 4,600,000 4,246,375 1,850,000 1,707,781
----------- ------------ -----------
1,429,631 8,762,258 3,550,998
MISCELLANEOUS GOVERNMENT
AGENCIES: 0.56% 1.11% 1.45%
Government Trust Certificates,
9.25%, Series 2D............ 11/15/96 401,094 409,365 2,450,779 2,501,315 979,048 999,236
Government Trust Certificates,
9.25%, Class 1C............. 11/15/01 260,000 270,145 1,800,000 1,870,236 900,000 935,118
Government Trust Certificates,
9.40%, Series 2E............ 05/15/02 90,000 93,966 580,000 605,561 310,000 323,662
Government Backed Trust,
9.625%, Series T3........... 05/15/02 40,000 41,965 240,000 251,791 100,000 104,913
Tennessee Valley Power
Authority, 6.875%, Series F. 12/15/43 70,000 56,323 490,000 394,259 260,000 209,199
Tennessee Valley Power
Authority, 8.25%, Series D.. 04/15/42 140,000 134,998 1,000,000 964,270 530,000 511,063
----------- ------------ -----------
1,006,762 6,587,432 3,083,191
TOTAL U.S. GOVERNMENT AGENCY AND
MORTGAGE - BACKED OBLIGATIONS
(Cost $15,289,776, $108,316,162
and $46,411,040, respectively)................ $14,918,639 $103,205,555 $43,143,865
----------- ------------ -----------
</TABLE>
** Purchased on a forward commitment (Note 2).
The accompanying notes are an integral part of the financial statements.
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------- -------------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- ---------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
U.S. TREASURY OBLIGATIONS: 8.87% 15.67% 33.33%
U.S. TREASURY BONDS: 4.36% 6.97% 7.39%
7.50%......................... 11/15/16 $ 520,000 $ 493,511 $ 3,600,000 $ 3,416,616 -- --
8.125%***..................... 08/15/19 5,890,000 5,968,219 33,500,000 33,944,880 $15,030,000 $15,229,598
12.00%........................ 08/15/13 250,000 332,423 1,900,000 2,526,411 -- --
12.75%........................ 11/15/10 760,000 1,019,707 1,160,000 1,556,395 360,000 483,019
----------- ----------- -----------
7,813,860 41,444,302 15,712,617
U.S. TREASURY NOTES: 4.51% 8.70% 25.94%
3.875%........................ 08/31/95 2,690,000 2,637,034 12,510,000 12,263,678 3,000,000 2,940,930
3.875%****.................... 10/31/95 -- -- 10,500,000 10,224,375 20,500,000 19,961,875
5.625%........................ 01/31/98 -- -- 600,000 563,622 -- --
6.25%****..................... 08/31/96 3,500,000 3,426,185 16,500,000 16,152,015 27,500,000 26,920,025
6.25%......................... 02/15/03 300,000 271,311 3,260,000 2,948,246 2,020,000 1,826,827
7.875%........................ 11/15/04 200,000 200,562 1,300,000 1,303,653 500,000 501,405
8.00%......................... 01/15/97 1,460,000 1,467,534 7,750,000 7,789,990 3,000,000 3,015,480
8.50%......................... 05/15/97 -- -- 440,000 446,530 -- --
8.875%........................ 11/15/97 70,000 71,849 -- -- -- --
----------- ----------- -----------
8,074,475 51,692,109 55,166,542
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $16,340,926, $96,319,906 and
$71,849,863, respectively).............. $15,888,335 $93,136,411 $70,879,159
----------- ----------- -----------
CORPORATE BONDS: 4.68% 9.19% 10.76%
OIL & GAS EXPLORATION: 0.04% 0.08% 0.10%
Petroliam Nasional Berha,
6.875%...................... 07/01/03 80,000 71,702 550,000 492,949 230,000 206,142
----------- ----------- -----------
</TABLE>
*** At December 31, 1994 a portion of this security was pledged to cover
forward commitments purchased.
**** At December 31, 1994 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.
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- ---------------------- -----------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- --------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
FOOD PRODUCTS: 0.27% 0.57% 0.74%
RJR Nabisco, Incorporated,
6.25%....................... 01/31/97 $110,000 $ 102,556 $ 680,000 $ 633,984 $ 270,000 $ 251,729
RJR Nabisco, Incorporated,
9.25%....................... 05/01/95 380,000 381,687 2,740,000 2,752,116 1,310,000 1,315,816
---------- ---------- ----------
484,243 3,386,100 1,567,545
PAPER, PRINTING & PUBLISHING: 0.24% 0.37% 0.41%
News America Holdings,
Incorporated, 8.625%........ 02/01/03 440,000 427,984 2,260,000 2,198,279 900,000 875,421
---------- ---------- ----------
COMMUNICATION SERVICES: 0.19% 0.43% 0.60%
Tele-Communications,
Incorporated, 7.13%......... 02/02/98 360,000 344,056 2,670,000 2,551,746 1,330,000 1,271,094
---------- ---------- ----------
ELECTRIC, GAS & SANITARY
SERVICES: 0.76% 1.58% 2.07%
Financiera Energetica,
9.00%....................... 11/08/99 210,000 201,075 1,340,000 1,283,050 540,000 517,050
Gulf States Utilities Company,
9.72%....................... 07/01/98 540,000 544,109 3,940,000 3,969,983 1,950,000 1,964,840
Long Island Lighting Company,
7.30%....................... 07/15/99 155,000 140,588 1,170,000 1,061,213 625,000 566,888
Long Island Lighting Company,
8.75%....................... 05/01/96 300,000 301,059 1,900,000 1,906,707 800,000 802,824
Public Service Company of
N.H., 8.875%................ 05/15/96 170,000 170,190 1,150,000 1,151,288 560,000 560,627
---------- ---------- ----------
1,357,021 9,372,241 4,412,229
</TABLE>
The accompanying notes are an integral part of the financial statements.
74
<PAGE> 233
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994--CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- ----------------------- -----------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- --------- ---------- ---------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
BANKING & FINANCE: 1.87% 3.80% 3.98%
American Southwest
Financial, 8.00%............ 08/25/10 $420,000 $ 413,175 $2,650,000 $ 2,606,938 $ 900,000 $ 885,375
Citicorp Bank Corporation,
5.25%....................... 01/30/97 140,000 139,125 950,000 944,063 510,000 506,813
Commercial Credit Group,
Incorporated, 6.25%......... 01/15/95 310,000 310,006 2,560,000 2,560,051 1,330,000 1,330,027
First Hawaiian, Ltd.,
6.25%....................... 08/15/00 200,000 178,686 1,280,000 1,143,590 520,000 464,584
First Interstate Bank, Ltd.,
10.875%..................... 04/15/01 140,000 154,634 1,270,000 1,402,753 -- --
First National Bank of Boston,
8.375%...................... 12/15/02 110,000 108,150 720,000 707,897 300,000 294,957
First USA Bank, 5.75%......... 01/15/99 180,000 162,257 1,240,000 1,117,773 660,000 594,944
Green Tree Securitized Net,
Series 1994 A Certificates,
6.90%....................... 02/15/04 172,955 164,415 1,260,103 1,197,879 658,877 626,342
Household Finance
Corporation, 6.875%......... 12/15/96 280,000 277,362 1,340,000 1,327,377 780,000 772,652
Manufacturers Hanover
Corporation, 8.50%.......... 02/15/99 320,000 319,312 2,220,000 2,215,227 210,000 209,549
Mercantile Bancorporation,
7.625%...................... 10/15/02 270,000 253,506 1,990,000 1,868,431 480,000 450,677
Provident Bank, 7.125%........ 03/15/03 180,000 163,082 1,170,000 1,060,032 580,000 525,486
Secured Finance, 9.05%........ 12/15/04 500,000 513,950 3,180,000 3,268,722 1,300,000 1,336,270
UJB Financial Corporation,
8.625%...................... 12/10/02 190,000 187,321 1,190,000 1,173,221 480,000 473,232
---------- ----------- ----------
3,344,981 22,593,954 8,470,908
</TABLE>
The accompanying notes are an integral part of the financial statements.
75
<PAGE> 234
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994--CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- ----------------------- -----------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- --------- ---------- ---------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
INSURANCE: 0.77% 1.40% 1.64%
FDIC, Remic Trust,
Series 1994 Class 2A2,
7.85%....................... 09/25/25 $250,000 $ 249,688 $1,600,000 $ 1,598,000 $ 650,000 $ 649,188
Metropolitan Life Insurance
Company, 6.30%.............. 11/03/03 740,000 620,675 4,320,000 3,623,400 1,575,000 1,321,031
Nationwide Life Insurance
Company, 6.50%.............. 02/15/04 330,000 287,315 2,390,000 2,080,854 1,070,000 931,596
New York Life Insurance
Company, 6.40%.............. 12/15/03 90,000 77,000 650,000 556,108 340,000 290,887
Protective Life Corporation,
7.95%....................... 07/01/04 160,000 151,891 480,000 455,674 300,000 284,796
---------- ----------- -----------
1,386,569 8,314,036 3,477,498
HOLDING & INVESTMENT
COMPANIES: 0.48% 0.81% 1.00%
CS First Boston Mortgage
Securities Certificates,
Series 1994 Class A2,
7.90%....................... 01/25/28 159,142 158,620 1,153,780 1,149,994 586,836 584,911
First Interstate Bancorp,
9.125%...................... 02/01/04 220,000 225,141 700,000 716,359 300,000 307,011
Guaranteed Export Trust,
Series 1994 F, 8.187%....... 12/15/04 476,460 476,460 2,954,053 2,954,053 1,238,796 1,238,796
---------- ----------- -----------
860,221 4,820,406 2,130,718
BUSINESS SERVICES: 0.06% 0.15% 0.22%
Comdisco, Incoporated,
9.75%....................... 01/15/97 100,000 102,153 900,000 919,377 450,000 459,689
---------- ----------- -----------
TOTAL CORPORATE BONDS
(Cost $8,245,491, $54,162,166 and
$23,971,938, respectively)............ $8,378,930 $54,649,088 $22,871,244
---------- ----------- -----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
76
<PAGE> 235
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994--CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- ----------------------- -----------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- --------- ---------- ---------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
FIXED INCOME - OTHER: 2.68% 5.17% 5.49%
MISCELLANEOUS ASSET BACKED SECURITIES:
American Housing Trust,
Series IV, 9.55%............ 09/25/20 $700,000 $ 724,500 $4,300,000 $ 4,450,500 $1,740,000 $ 1,800,900
Community Program Loan
Trust 19, Series 87 A4,
Class A, 4.50%............. 10/01/18 640,000 453,300 4,060,000 2,875,622 1,630,000 1,154,498
Discover Card Trust,
Series 9, 6.125%............ 05/15/98 260,000 252,686 1,515,000 1,472,383 600,000 583,122
Discover Card Trust, 7.20%.... 04/16/98 240,000 238,723 2,070,000 2,058,988 1,125,000 1,119,015
Ford Credit Auto Loan Master
Trust Series 92 3A, 5.625%.. 10/15/97 320,000 315,398 1,740,000 1,714,979 -- --
Ford Credit Auto Loan Master
Trust Series 92 2, 7.375%... 04/15/99 200,000 196,750 1,450,000 1,426,438 775,000 762,406
Guaranteed Trade Trust,
Series 1992, 7.02%.......... 09/01/04 80,000 76,846 470,000 451,468 190,000 182,508
MBNA Master Card Class
1992 1A, 7.25%.............. 06/15/99 370,000 362,482 2,160,000 2,116,109 650,000 636,792
Nomura Asset Securities
Corporation, Series 1994,
5.765%...................... 07/07/03 191,555 191,196 1,340,885 1,338,370 670,442 669,185
Premier Auto Trust,
Series 933 Class A3,
4.90%....................... 12/15/98 339,998 324,273 2,149,986 2,050,549 859,994 820,220
Rail Car Trust, 7.75%......... 06/01/04 318,615 310,650 2,039,139 1,988,160 954,026 930,175
Standard Credit Card Master
Trust, 5.50%................ 09/08/98 140,000 130,418 990,000 922,244 525,000 489,068
Standard Credit Card Master
Trust, 6.25%................ 09/07/98 760,000 721,286 5,075,000 4,816,480 1,360,000 1,290,722
Standard Credit Card Master
Trust, 9.00%................ 08/07/97 210,000 213,083 1,270,000 1,288,644 520,000 527,634
Standard Credit Card Master
Trust, 9.25%................ 09/07/99 280,000 286,560 1,720,000 1,760,300 700,000 716,401
--------- ----------- -----------
TOTAL FIXED INCOME-OTHER
(Cost $5,563,363, $34,533,050,
and $12,026,417, respectively)........ $4,798,151 $30,731,234 $11,682,646
---------- ----------- -----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
77
<PAGE> 236
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994--CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- ----------------------- ----------------------
Principal Principal Principal
Maturity Amount Value Amount Value Amount Value
-------- --------- ---------- ---------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
FOREIGN BONDS: 0.94% 1.85% 2.29%
African Development
Bank, 9.50%............ 12/15/95 $260,000 $ 264,248 $1,570,000 $ 1,595,653 $ 820,000 $ 833,399
Export Import Bank
of Korea, 7.875%....... 11/01/96 160,000 158,869 1,390,000 1,380,173 675,000 670,228
Israel State, U.S.
Government GTD
Notes Class 3A,
6.00%................. 02/15/99 130,000 120,921 980,000 911,559 500,000 465,081
Israel State, U.S.
Government GTD
Notes Class 1D,
6.125%................ 03/15/03 100,000 88,749 600,000 532,494 250,000 221,873
Israel State, U.S.
Government GTD
Class 5B, 8.00%........ 11/15/01 180,000 178,666 1,150,000 1,141,479 460,000 456,591
Malaysia,
9.875%................. 09/27/00 500,000 529,175 3,200,000 3,386,720 1,300,000 1,375,855
Kingdom of Thailand,
8.25%.................. 03/15/02 340,000 333,751 2,090,000 2,051,586 860,000 844,193
--------- ----------- ----------
TOTAL FOREIGN BONDS
(Cost $1,747,741, $10,058,007
and $3,590,027, respectively)..... $1,674,379 $10,999,664 $4,867,220
---------- ----------- ----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
78
<PAGE> 237
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1994--CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------ ------------ ------------
Value Value Value
------------ ------------ ------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS: 2.99% 0.44% 0.00%
Repurchase Agreement with State Street Bank & Trust
Company dated 12/30/94 at 5.15% due 01/03/95 to be
repurchased at $5,361,066 collateralized by
$4,540,000. U.S.Treasury Bond, 10.375% due
11/15/12 (valued at $5,526,682, including interest)... $ 5,358,000
------------
Repurchase Agreement with State Street Bank & Trust
Company dated 12/30/94 at 5.15% due 01/03/95 to be
repurchased at $2,605,490 collateralized by
$2,210,000. U.S.Treasury Bond, 10.375% due
11/15/12 (valued at $2,690,301, including interest)... $ 2,604,000
------------
TOTAL INVESTMENTS (Aggressive, Moderate
and Conservative Asset Allocation Trusts)
(Cost $177,351,752, $598,120,000 and
$215,380,374, respectively)........................... $179,080,007 $594,298,336 $212,654,102
============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
Key to Currency Abbreviations Key to Security Abbreviations
- ----------------------------- -----------------------------
<S> <C> <C> <C>
AUD - Australian Dollar ADR - American Depository Receipt
CAD - Canadian Dollar FRN - Floating Rate Note
DKK - Danish Krone IO - Interest Only (Carries notional principal amount)
ECU - European Currency Unit TBA - To Be Announced
FIM - Finnish Marrka
FRF - French Franc
DEM - German Deustche Mark
British Pound - Great British Pound
IEP - Irish Punt
ITL - Italian Lira
Yen - Japanese Yen
MXN - Mexican Peso
NZD - New Zealand Dollar
ESP - Spanish Peseta
SEK - Swedish Krone
</TABLE>
The accompanying notes are an integral part of the financial statements.
79
<PAGE> 238
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 thirteen 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 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 the Global Government Bond Trust is
diversified for purposes of the Investment Company Act of 1940.
Shares of the Trust are presently offered only to the NASL Variable Account, a
separate account 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, 1994, North American Security Life owned seed money shares in
the Growth and Income Trust.
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 PORTFOLIOS. On February 19, 1993, the Value Equity and Strategic Bond Trusts
both commenced operations. The subadvisers are Goldman Sachs Asset Management
and Salomon Brothers Asset Management Inc. for the Value Equity and Strategic
Bond Trusts, respectively. Deferred organization costs of $10,000 and $15,000
were recorded for the Value Equity and Strategic Bond Trusts, respectively, 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 the Money Market Trust 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.
80
<PAGE> 239
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- -------------------------------------------------------------------------------
SECURITY VALUATION, CONTINUED
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.
FORWARD FOREIGN CURRENCY CONTRACTS. All portfolios with the exception of the
Investment Quality Bond, U.S. Government Securities and Money Market Trusts 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, includes 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.
81
<PAGE> 240
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- -------------------------------------------------------------------------------
FUTURES. All portfolios other than the Investment Quality Bond and Money Market
Trusts 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, 1994 forward commitments in the U.S. Government Securities and
Aggressive, Moderate and Conservative Asset Allocation Trusts were valued at
$46,701,200, $185,610, $31,271, and $201,750, respectively.
MORTGAGE DOLLAR ROLLS. The U. S. Government Securities Trust may enter into
mortgage dollar rolls in which it sells mortgage securities for delivery in the
current month and simultaneously contracts to repurchase similar, but not
identical, securities at the same price on an agreed upon date. The Trust
receives 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 the Pasadena Growth, Value Equity, Growth
and Income and Strategic Bond Trusts over a five-year period beginning with the
commencement of operations of each portfolio.
82
<PAGE> 241
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- -------------------------------------------------------------------------------
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.
DISTRIBUTION OF INCOME AND GAINS. All of the net investment income of the Money
Market Trust 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 generally at least 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.
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.
83
<PAGE> 242
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- -------------------------------------------------------------------------------
3. CAPITAL LOSS CARRYFORWARDS. At December 31, 1994, capital loss carryforwards
available to offset future realized gains were approximately:
<TABLE>
<CAPTION>
CAPITAL LOSS CARRYFORWARD
EXPIRATION YEAR
----------------------------------------------------
PORTFOLIO 1999 2000 2001 2002
- ------------------- ---------- -------- ---------- -----------
<S> <C> <C> <C> <C>
Pasadena Growth ................... -- -- $1,981,000 $ 6,191,000
Equity ............................ -- -- -- 2,412,000
Strategic Bond .................... -- -- -- 2,962,000
Global Government Bond ............ -- -- -- 10,464,000
Investment Quality Bond ........... $824,000 -- -- 4,412,000
U.S. Government Securities ........ -- -- -- 9,112,000
Conservative Asset Allocation ..... -- -- -- 4,938,000
</TABLE>
4. CAPITAL SHARES. Share activity for the Trust for the year ended December 31,
1994, was as follows:
<TABLE>
<CAPTION>
ADDITIONAL
SHARES PAR VALUE PAID-IN CAPITAL
----------- ----------- -----------------
<S> <C> <C> <C>
GLOBAL EQUITY
Outstanding at December 31, 1993 ... 24,016,114 $ 240,161 $ 327,419,160
Sold ............................. 18,235,665 182,357 300,104,414
Reinvestment of distributions .... 487,045 4,870 7,748,887
Redeemed ......................... (3,597,986) (35,980) (57,973,242)
---------- --------- -------------
Net increase ................... 15,124,724 151,247 249,880,059
---------- --------- -------------
Outstanding at December 31, 1994 ... 39,140,838 $ 391,408 $ 577,299,219
========== ========= =============
PASADENA GROWTH
Outstanding at December 31, 1993 ... 10,995,361 $ 109,954 $ 104,457,619
Sold ............................. 7,941,481 79,415 72,993,581
Reinvestment of distributions .... 58,075 581 519,767
Redeemed ......................... (2,237,078) (22,372) (20,172,114)
---------- --------- -------------
Net increase ................... 5,762,478 57,624 53,341,234
---------- --------- -------------
Outstanding at December 31, 1994 ... 16,757,839 $ 167,578 $ 157,798,853
========== ========= =============
EQUITY
Outstanding at December 31, 1993 ... 24,910,364 $ 249,104 $ 341,146,230
Sold ............................. 17,710,463 177,105 265,020,059
Reinvestment of distributions .... 1,546,186 15,462 22,929,944
Redeemed ......................... (7,714,950) (77,150) (114,878,252)
---------- --------- -------------
Net increase ................... 11,541,699 115,417 173,071,751
---------- --------- -------------
Outstanding at December 31, 1994 ... 36,452,063 $ 364,521 $ 514,217,981
========== ========= =============
</TABLE>
84
<PAGE> 243
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- -------------------------------------------------------------------------------
CAPITAL SHARES, - CONTINUED
<TABLE>
<CAPTION>
ADDITIONAL
SHARES PAR VALUE PAID-IN CAPITAL
----------- ----------- -----------------
<S> <C> <C> <C>
VALUE EQUITY
Outstanding at December 31, 1993 ..... 7,642,957 $ 76,430 $ 80,642,911
Sold ............................... 12,837,537 128,375 147,629,238
Reinvestment of distributions ...... 67,431 674 761,291
Redeemed ........................... (972,392) (9,724) (11,153,793)
---------- --------- -------------
Net increase ..................... 11,932,576 119,325 137,236,736
---------- --------- -------------
Outstanding at December 31, 1994 ..... 19,575,533 $ 195,755 $ 217,879,647
========== ========= =============
GROWTH AND INCOME
Outstanding at December 31, 1993 ..... 22,130,851 $ 221,309 $ 258,248,180
Sold ............................... 9,638,712 96,387 125,916,614
Reinvestment of distributions ...... 726,385 7,264 9,145,186
Redeemed ........................... (1,086,264) (10,863) (14,140,814)
---------- --------- -------------
Net increase ..................... 9,278,833 92,788 120,920,986
---------- --------- -------------
Outstanding at December 31, 1994 ..... 31,409,684 $ 314,097 $ 379,169,166
========== ========= =============
STRATEGIC BOND
Outstanding at December 31, 1993 ..... 4,931,486 $ 49,315 $ 51,145,884
Sold ............................... 4,677,859 46,779 48,574,548
Reinvestment of distributions ...... 212,213 2,122 2,128,493
Redeemed ........................... (1,302,302) (13,023) (13,225,838)
---------- --------- -------------
Net increase ..................... 3,587,770 35,878 37,477,203
---------- --------- -------------
Outstanding at December 31, 1994 ..... 8,519,256 $ 85,193 $ 88,623,087
========== ========= =============
GLOBAL GOVERNMENT BOND
Outstanding at December 31, 1993 ..... 14,129,801 $ 141,298 $ 181,192,225
Sold ............................... 4,870,962 48,710 65,660,968
Reinvestment of distributions ...... 880,726 8,807 11,035,492
Redeemed ........................... (3,165,177) (31,652) (40,348,961)
---------- --------- -------------
Net increase ..................... 2,586,511 25,865 36,347,499
---------- --------- -------------
Outstanding at December 31, 1994 ..... 16,716,312 $ 167,163 $ 217,539,724
========== ========= =============
INVESTMENT QUALITY BOND
Outstanding at December 31, 1993 ..... 8,205,202 $ 82,052 $ 92,377,343
Sold ............................... 6,434,834 64,348 72,743,756
Reinvestment of distributions ...... 433,366 4,334 4,741,020
Redeemed ........................... (4,949,852) (49,499) (55,680,199)
---------- --------- -------------
Net increase ..................... 1,918,348 19,183 21,804,577
---------- --------- -------------
Outstanding at December 31, 1994 ..... 10,123,550 $ 101,235 $ 114,181,920
========== ========= =============
</TABLE>
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----------------------------------------------------------------------------
CAPITAL SHARES, CONTINUED
<TABLE>
<CAPTION>
ADDITIONAL
SHARES PAR VALUE PAID-IN CAPITAL
----------- ----------- -----------------
<S> <C> <C> <C>
U.S. GOVERNMENT SECURITIES
Outstanding at December 31,1993 .... 16,477,551 $ 164,775 $ 209,249,109
Sold ............................. 4,796,576 47,966 62,244,217
Reinvestment of distributions .... 908,402 9,084 11,364,111
Redeemed ......................... (7,240,941) (72,409) (92,481,941)
---------- --------- -------------
Net decrease ................... (1,535,963) (15,359) (18,873,613)
---------- --------- -------------
Outstanding at December 31, 1994 ... 14,941,588 $ 149,416 $ 190,375,496
========== ========= =============
MONEY MARKET
Outstanding at December 31, 1993 ... 13,227,446 $ 132,274 $ 132,142,187
Sold ............................. 37,552,740 375,528 375,151,862
Reinvestment of distributions .... 911,285 9,113 9,103,734
Redeemed ......................... (24,024,090) (240,241) (240,000,651)
---------- --------- -------------
Net increase ................... 14,439,935 144,400 144,254,945
---------- --------- -------------
Outstanding at December 31, 1994 ... 27,667,381 $ 276,674 $ 276,397,132
========== ========= =============
AGGRESSIVE ASSET ALLOCATION
Outstanding at December 31, 1993 ... 14,495,193 $ 144,952 $ 148,583,220
Sold ............................. 3,996,947 39,969 45,366,993
Reinvestment of distributions .... 1,035,475 10,355 11,317,739
Redeemed ......................... (3,001,916) (30,019) (33,846,206)
---------- --------- -------------
Net increase ................... 2,030,506 20,305 22,838,526
---------- --------- -------------
Outstanding at December 31, 1994 ... 16,525,699 $ 165,257 $ 171,421,746
========== ========= =============
MODERATE ASSET ALLOCATION
Outstanding at December 31, 1993 ... 54,787,460 $ 547,875 $ 565,902,317
Sold ............................. 3,267,054 32,670 36,854,890
Reinvestment of distributions .... 4,016,105 40,161 42,651,030
Redeemed ......................... (6,060,310) (60,603) (66,174,471)
---------- --------- -------------
Net increase ................... 1,222,849 12,228 13,331,449
---------- --------- -------------
Outstanding at December 31, 1994 ... 56,010,309 $ 560,103 $ 579,233,766
========== ========= =============
CONSERVATIVE ASSET ALLOCATION
Outstanding at December 31, 1993 ... 22,215,871 $ 222,159 $ 226,598,237
Sold ............................. 1,359,660 13,596 14,670,330
Reinvestment of distributions .... 1,537,199 15,372 15,679,434
Redeemed ......................... (4,156,543) (41,565) (43,368,179)
---------- --------- -------------
Net decrease ................... (1,259,684) (12,597) (13,018,415)
---------- --------- -------------
Outstanding at December 31, 1994.... 20,956,187 $ 209,562 $ 213,579,822
========== ========= =============
</TABLE>
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----------------------------------------------------------------------------
5. PURCHASES AND SALES OF SECURITIES. The following summarizes the securities
transactions (except for short-term investments) for the portfolios (with the
exception of the Money Market Trust) for the year ended December 31, 1994:
<TABLE>
<CAPTION>
PURCHASES SALES
------------------------------ ------------------------------
PORTFOLIO U.S. GOVERNMENT OTHER ISSUES U.S. GOVERNMENT OTHER ISSUES
- ------------ --------------- ------------ --------------- ------------
<S> <C> <C> <C> <C>
Global Equity ................... -- $514,685,244 -- $274,890,442
Pasadena Growth ................. -- 87,858,346 -- 37,655,673
Equity .......................... -- 763,108,921 -- 543,638,747
Value Equity .................... -- 139,558,927 -- 31,612,908
Growth and Income ............... -- 256,905,340 -- 143,965,664
Strategic Bond .................. $ 83,156,431 99,379,147 $ 29,690,168 109,699,314
Global Government Bond .......... 11,134,497 349,685,399 8,939,700 309,723,029
Investment Quality Bond ......... 142,409,309 31,176,056 111,536,129 35,530,098
U.S. Government Securities ...... 743,043,484 3,361,587 752,744,944 1,791,121
Aggressive Asset Allocation ..... 102,562,640 146,637,171 96,658,121 136,966,574
Moderate Asset Allocation ....... 700,963,349 406,287,602 694,090,993 391,561,724
Conservative Asset Allocation ... 377,251,533 100,708,533 362,909,482 107,633,605
</TABLE>
Purchases and sales (maturities) for the Money Market Trust for the year ended
December 31, 1994 were $3,710,920,155 and $3,576,782,908, respectively. At
December 31, 1994 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:
<TABLE>
<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 ................... $606,621,617 $ 8,349,789 $46,941,665 $ 38,591,876
Pasadena Growth ................. 156,560,210 1,098,020 12,376,613 11,278,593
Equity .......................... 520,973,428 18,298,385 40,982,392 22,684,007
Value Equity .................... 227,315,360 (53,447) 14,010,672 14,064,119
Growth and Income ............... 395,390,174 17,189,270 31,363,681 14,174,411
Strategic Bond .................. 91,124,983 (5,496,618) 669,711 6,166,329
Global Government Bond .......... 212,233,849 (10,223,615) 631,040 10,854,655
Investment Quality Bond ......... 114,579,282 (4,701,188) 142,640 4,843,828
U.S. Government Securities ...... 242,924,121 (4,321,294) 316,431 4,637,725
Aggressive Asset Allocation ..... 177,475,092 1,604,915 8,779,637 7,174,722
Moderate Asset Allocation ....... 599,020,392 (4,722,056) 19,919,421 (24,641,477)
Conservative Asset Allocation ... 215,652,872 (2,998,770) 4,353,068 (7,351,838)
</TABLE>
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----------------------------------------------------------------------------
PURCHASES AND SALES OF SECURITIES, CONTINUED
The following is a summary of futures contracts activity during the year ended
December 31, 1994:
<TABLE>
<CAPTION>
SALES OF FUTURES CONTRACTS PURCHASES OF FUTURES CONTRACTS
------------------------------------------------- ------------------------------
NUMBER OF AGGREGATE FACE UNREALIZED NUMBER OF AGGREGATE FACE
CONTRACTS VALUE OF CONTRACTS LOSS CONTRACTS VALUE OF CONTRACTS
--------- ------------------ ---------- --------- -------------------
<S> <C> <C> <C> <C> <C>
AGGRESSIVE:
U.S. TREASURY BOND FUTURES:
Outstanding, December 31, 1993 ... 42 $ 4,200,000 -- --
Contracts opened ................. 7 700,000 226 $ 22,600,000
Contracts closed ................. (49) (4,900,000) (226) (22,600,000)
--- ------------ --- ------------
Outstanding, December 31, 1994 ... -- -- -- $ --
=== ============ === ============
S&P 500 FUTURES:
Outstanding, December 31, 1993 ... 4 $ 1,000,000 -- --
Contracts opened ................. 151 37,750,000 14 $ 3,500,000
Contracts closed ................. (104) (26,000,000) (14) (3,500,000)
--- ------------ --- ------------
Outstanding, December 31, 1994 ... 51 $ 12,750,000 ($189,235) -- --
=== ============ ========= === ============
MODERATE:
U.S. TREASURY BOND FUTURES:
Outstanding, December 31, 1993 ... 33 $ 3,300,000 -- --
Contracts opened ................. -- -- 813 $ 81,300,000
Contracts closed ................. (33) (3,300,000) (813) (81,300,000)
--- ------------ --- ------------
Outstanding, December 31, 1994 ... -- -- -- --
=== ============ === ============
S&P 500 FUTURES:
Outstanding, December 31, 1993 ... 10 $ 2,500,000 -- --
Contracts opened ................. 339 84,750,000 10 $ 2,500,000
Contracts closed ................. (242) (60,500,000) (10) (2,500,000)
--- ------------ --- ------------
Outstanding, December 31, 1994 ... 107 $ 26,750,000 ($412,895) -- --
=== ============ ========= === ============
CONSERVATIVE:
U.S. TREASURY BOND FUTURES:
Outstanding, December 31, 1993 ... 27 $ 2,700,000 -- --
Contracts opened ................. -- -- 78 $ 7,800,000
Contracts closed ................. (27) (2,700,000) (78) (7,800,000)
--- ------------ --- ------------
Outstanding, December 31, 1994 ... -- -- -- --
=== ============ === ============
S&P 500 FUTURES:
Outstanding, December 31, 1993 ... 14 $ 3,500,000 -- --
Contracts opened ................. 91 22,750,000 -- --
Contracts closed ................. (86) (21,500,000) -- --
--- ------------ --- ------------
Outstanding, December 31, 1994 ... 19 $ 4,750,000 ($ 67,265) -- --
=== ============ ========= === ============
</TABLE>
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----------------------------------------------------------------------------
6. INVESTMENT ADVISORY AGREEMENTS. Effective March 20, 1987, the Trust entered
into an Investment Advisory Agreement with NASL Financial, 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, 1994:
<TABLE>
<CAPTION>
PORTFOLIO Fee
- ------------- -------
<S> <C>
Global Equity.............................................. .90%
Pasadena Growth............................................ .975%
Equity..................................................... .75%
Value Equity............................................... .80%
Growth and Income.......................................... .75%
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
each of the 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 Trusts and 0.75% in each
of the Global Equity and Global Government Bond Trusts. There were no expenses
reimbursed by NASL Financial for the year ended December 31, 1994. The
Subadviser to the Pasadena Growth Trust, Roger Engemann Management Co., Inc. has
agreed to reimburse "other expenses" of the Pasadena Growth Trust up to a
maximum on an annual basis of .15% of average annual net assets. For the year
ended December 31, 1994, all "other expenses", .09%, 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
$14,000.
89
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----------------------------------------------------------------------------
8. COMMITMENTS. At December 31, 1994, the Global Equity, Strategic Bond, Global
Government Bond and Aggressive, Moderate and Conservative Asset Allocation
Trusts 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, 1994 were as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
CONTRACTS IN EXCHANGE SETTLEMENT APPRECIATION
TO DELIVER FOR DATE VALUE (DEPRECIATION)
------------ ----------- ---------- ----------- --------------
<S> <C> <C> <C> <C> <C>
GLOBAL EQUITY:
SALES
New Zealand Dollar .................... 110,193 $ 70,440 1/04/95 $ 70,532 $ (92)
French Francs ......................... 57,516,400 10,741,316 1/31/95 10,770,788 (29,472)
----------- ----------- ---------
$10,811,756 $10,841,320 $ (29,564)
=========== =========== ---------
PURCHASES
$ 10,885,487 FRF 58,332,381 1/31/95 $10,923,593 $ 38,106
------------ ----------- ---------
$ 10,885,487 $10,923,593 $ 38,106
============ =========== ---------
$ 8,542
=========
STRATEGIC BOND:
SALES
German Deutschemarks .................. 3,300,000 $ 2,112,405 2/28/95 $ 2,133,230 $ (20,825)
European Currency Unit ................ 825,000 1,005,139 2/28/95 1,011,534 (6,395)
Spanish Peseta ........................ 369,000,000 2,809,167 2/28/95 2,792,809 16,358
Finnish Marrka ........................ 9,600,000 1,987,578 2/28/95 2,028,162 (40,584)
Great British Pound Sterling .......... 1,200,000 1,873,200 2/28/95 1,877,039 (3,839)
Irish Punt ............................ 510,000 784,533 2/28/95 788,052 (3,519)
Japanese Yen .......................... 109,000,000 1,115,204 2/28/95 1,101,678 13,526
----------- ----------- ---------
$11,687,226 $11,732,504 $ (45,278)
=========== =========== =========
GLOBAL GOVERNMENT BOND:
SALES
German Deutschemarks .................. 15,579,000 $10,000,000 2/21/95 $10,068,032 $ (68,032)
French Francs ......................... 53,883,520 10,000,000 2/21/95 10,091,790 (91,790)
----------- ----------- ---------
$20,000,000 $20,159,822 $(159,822)
=========== =========== ---------
PURCHASES
$ 850,773 FRF 4,545,000 1/04/95 $ 850,964 $ 191
10,000,000 FRF 53,883,500 2/21/95 10,091,787 91,787
10,070,622 DEM 15,579,000 2/21/95 10,068,031 (2,591)
------------ ----------- ---------
$ 20,921,395 $21,010,782 89,387
============ =========== ---------
$ (70,435)
=========
</TABLE>
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----------------------------------------------------------------------------
COMMITMENTS, CONTINUED
<TABLE>
<CAPTION>
NET
CONTRACTS IN EXCHANGE SETTLEMENT UNREALIZED
TO DELIVER FOR DATE VALUE APPRECIATION
---------- ----------- ---------- ---------- ------------
<S> <C> <C> <C> <C> <C>
AGGRESSIVE ASSET ALLOCATION:
SALES
German Deutschemarks ...... 670,784 $ 433,925 1/09/95 $ 432,945 $ 980
---------- ---------- -------
$ 433,925 $ 432,945 $ 980
========== ========== -------
PURCHASES
$ 425,561 DEM 670,784 1/09/95 $ 432,945 $ 7,384
---------- ---------- -------
$ 425,561 $ 432,945 $ 7,384
========== ========== -------
$ 8,364
=======
MODERATE ASSET ALLOCATION:
SALES
German Deutschemarks ...... 4,922,521 $3,184,345 1/09/95 $3,177,152 $ 7,193
---------- ---------- -------
$3,184,345 $3,177,152 $ 7,193
========== ========== -------
PURCHASES
$3,122,963 DEM 4,922,521 1/09/95 $3,177,152 $54,189
---------- ---------- -------
$3,122,963 $3,177,152 $54,189
========== ========== -------
$61,382
=======
CONSERVATIVE ASSET ALLOCATION:
SALES
German Deutschemarks ...... 2,569,618 $1,662,268 1/09/95 $1,658,513 $ 3,755
---------- ---------- -------
$1,662,268 $1,658,513 $ 3,755
========== ========== -------
PURCHASES
$1,630,226 DEM 2,569,618 1/09/95 $1,658,513 $28,287
---------- ---------- -------
$1,630,226 $1,658,513 $28,287
========== ========== -------
$32,042
=======
</TABLE>
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----------------------------------------------------------------------------
9. RECLASSIFICATIONS. Certain reclassifications have been made to the components
of capital in the Statements of Assets and Liabilities to conform with the
accounting and reporting guidelines of the Statement of Position (SOP) 93-2
"Determination, Disclosure, and Financial Statement Presentation of Income,
Capital Gain, and Return of Capital Distributions by Investment Companies"
issued on February 1, 1993. The SOP requires the Portfolios to report the
accumulated net realized capital gain (loss) account in such a manner as to
approximate amounts available for future tax distributions (or to offset future
taxable realized capital gains) and to achieve uniformity in the presentation of
distributions by investment companies. Certain distributions in excess of
accumulated net investment income and/or accumulated realized gains or losses,
which resulted from differences between income tax regulations and GAAP, have
been reclassified to undistributed net investment income. Distributions which
were the result of permanent differences between book and tax rules have been
reclassified to paid-in-capital. The following amounts represent the cumulative
reclassifications as of December 31, 1993:
<TABLE>
<CAPTION>
ACCUMULATED UNDISTRIBUTED ADDITIONAL
NET REALIZED NET INVESTMENT PAID-IN
PORTFOLIO GAINS INCOME CAPITAL
- ----------------- ------------ -------------- ----------
<S> <C> <C> <C>
Global Equity .................... $ 814,951 $ (867,969) $ 53,018
Srategic Bond .................... (242,253) 233,822 8,431
Global Government Bond ........... 1,420,190 (1,660,052) 239,862
Investment Quality Bond .......... 169,717 (169,717) --
U.S. Government Securities ....... 189,992 (189,992) --
Aggressive Asset Allocation ...... 172,113 (172,113) --
Moderate Asset Allocation ........ 1,140,199 (1,140,199) --
Conservative Asset Allocation .... 615,747 (615,747) --
</TABLE>
The Statement of Changes in Net Assets and Financial Highlights for previous
periods have not been restated to reflect this change in presentation. Net
investment income, net realized gains and net assets were not affected by this
change.
92
