<PAGE> 1
NASL SERIES TRUST
PRESIDENT'S MESSAGE
- -------------------------------------------------------------------------------
February 21, 1997
Dear Fellow Variable Annuity and Variable Life Owners:
It is my pleasure to report to our Variable Annuity and Variable Life contract
owners the results of operations for 1996. The following audited financial
statements of NASL Series Trust (the "Trust"), the mutual fund in which your
contract values are invested, reflect the results of operations for the period
ended December 31, 1996. During 1996, total net assets of the Trust grew from
$5.13 billion at December 31, 1995 to $6.90 billion at December 31, 1996. This
was a 35% increase in net assets for the year, reflecting the continued success
of the NASL Series Trust.
In 1996 we adopted a new investment philosophy based on Markowitz's Efficient
Frontier theory. Applying this Nobel Prize-winning investment strategy
simplifies the process of selecting investments by allowing you to select a risk
tolerance and asset allocation profile that you are comfortable with and achieve
better risk adjusted rates of return through diversification. The investment
options provided offer you multiple opportunities to diversify your investment
in a variety of ways -- by asset class, by investment style and by investment
manager.
In keeping with our new investment strategy, we announced several changes to the
Portfolio subadvisers in 1996. Effective October 1, 1996, Morgan Stanley Asset
Management Inc. replaced Oechsle International Advisors, Inc. in managing the
Global Equity Trust. T. Rowe Price Associates, Inc. replaced Goldman Sachs Asset
Management for the Equity-Income Trust, formerly known as the Value Equity
Trust. Additionally, T. Rowe Price replaced Roger Engemann Management Co. Inc.
for the management of the Blue Chip Growth Trust, formerly known as the Pasadena
Growth Trust, and Manufacturers Adviser Corporation replaced Wellington
Management Company in managing the Money Market Trust. These changes reflect our
commitment to provide investors with publicly recognized names in portfolio
management with distinct expertise and leadership in a particular asset and
style class.
Effective December 31, 1996, the Manulife Series Fund, Inc. and the NASL Series
Trust were consolidated into a single investment entity. This consolidation
increased the Trust's assets by more than $500 million and permitted us to
continue building our "efficient frontier" by adding a number of highly rated
portfolios to the Trust. In addition to these new portfolios, we also welcomed
the firms of Warburg Pincus Councellors, Inc., Pilgrim Baxter & Associates and
Miller Anderson & Sherrerd, LLP to our world-class investment management team.
In our continuing effort to assist our clients in reaching their investment
goals, we are constantly striving to introduce innovative products and services.
We are confident in knowing that our first-rate investment management combined
with our state-of-the-art contract benefits and service provide you with a solid
template for your financial future.
Sincerely,
/s/ John D. DesPrez III
- -----------------------------
John D. DesPrez III
President
<PAGE> 2
NASL SERIES TRUST
INDEX TO ANNUAL REPORT
- --------------------------------------------------------------------------------
Page
----
Portfolio Performance and Manager's Commentary ..................... iii
Results of Special Meetings of NASL Series Trust and
Manulife Series Fund, Inc. Shareholders ............................ xxviii
Report of Independent Accountants .................................. 1
Statements of Assets and Liabilities ............................... 2
Statements of Operations ........................................... 7
Statements of Changes in Net Assets ................................ 12
Financial Highlights ............................................... 20
Portfolio of Investments:
Pacific Rim Emerging Markets Trust ............................... 45
International Small Cap Trust .................................... 48
Emerging Growth Trust ............................................ 50
Small/Mid Cap Trust .............................................. 51
International Stock Trust ........................................ 53
Global Equity Trust .............................................. 58
Growth Trust ..................................................... 60
Equity Trust ..................................................... 62
Quantitative Equity Trust ........................................ 65
Equity Index Trust ............................................... 67
Blue Chip Growth Trust ........................................... 67
Real Estate Securities Trust ..................................... 70
International Growth and Income Trust ............................ 71
Growth and Income Trust .......................................... 74
Equity-Income Trust .............................................. 76
Balanced Trust ................................................... 78
Aggressive, Moderate and Conservative Asset Allocation Trusts .... 82
Strategic Bond Trust ............................................. 108
Global Government Bond Trust ..................................... 111
Capital Growth Bond Trust ........................................ 112
Investment Quality Bond Trust .................................... 113
U.S. Government Securities Trust ................................. 116
Money Market Trust ............................................... 117
Notes to Financial Statements ....................................... 119
ii
<PAGE> 3
NASL SERIES TRUST
PORTFOLIO PERFORMANCE AND MANAGER'S COMMENTARY
- -------------------------------------------------------------------------------
TRUST PERFORMANCE
In the following pages we have set forth information regarding the performance
of each Portfolio of the NASL Series Trust (the "Trust"), excluding the Money
Market Trust. There are several ways to evaluate a Portfolio's historical
performance. One can look at the total percentage change in value, the average
annual percentage change or the growth of a hypothetical $10,000 investment.
WITH RESPECT TO ALL PERFORMANCE INFORMATION PRESENTED, IT IS IMPORTANT TO
UNDERSTAND THAT PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. RETURN AND
PRINCIPAL FLUCTUATE, AND SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN
THEIR ORIGINAL COST.
PERFORMANCE TABLES
The Performance Tables show two types of total return information: CUMULATIVE
AND AVERAGE ANNUAL TOTAL RETURNS. A CUMULATIVE TOTAL RETURN is an expression of
a Portfolio's total change in share value in percentage terms over a set period
of time -- one, five and ten years (or since the Portfolio's inception if less
than the applicable period). An AVERAGE ANNUAL TOTAL RETURN takes the
Portfolio's cumulative total return for a time period greater than one year and
shows what would have happened if the Portfolio had performed at a constant rate
each year. In addition, seven Portfolios have had portfolio management changes,
namely the Global Equity, Equity, Equity-Income, U.S. Government Securities,
Aggressive Asset Allocation, Moderate Asset Allocation and Conservative Asset
Allocation Trusts. For these Portfolios, the tables show an average annual total
return for the period since the current portfolio manager assumed
responsibility. THE TABLES SHOW ALL CUMULATIVE AND AVERAGE ANNUAL TOTAL RETURNS,
NET OF FEES AND EXPENSES OF THE TRUST, BUT DO NOT REFLECT THE INSURANCE
(SEPARATE ACCOUNT) EXPENSES (INCLUDING A POSSIBLE CONTINGENT DEFERRED SALES
CHARGE) OF THE VARIABLE ANNUITY AND VARIABLE LIFE PRODUCTS THAT INVEST IN THE
TRUST.
GRAPH -- CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
The performance graph for each Portfolio shows the change in value of a $10,000
investment over the life of each Portfolio. Each Portfolio's performance is
compared with the performance of one or more broad-based securities indices as a
"benchmark." All performance information includes the reinvestment of dividends
and capital gain distributions, as well as the deduction of ongoing management
fees and Portfolio operating expenses. The benchmarks used for comparison are
unmanaged and include reinvestment of dividends and capital gain distributions,
if any, but do not reflect any fees or expenses. Portfolios that invest in
multiple asset classes are compared with a customized benchmark. This benchmark
is comprised of a set percentage allocation from each of the asset classes in
which the Portfolio invests.
PORTFOLIO MANAGER'S COMMENTARY
Finally, we have provided a commentary by each portfolio manager regarding each
Portfolio's performance during the period ended December 31, 1996.
iii
<PAGE> 4
PACIFIC RIM EMERGING MARKETS TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To achieve long-term growth of capital by investing in a diversified portfolio that is comprised
primarily of common stocks and equity-related securities of corporations domiciled in countries
in the Pacific Rim region.
SUBADVISOR: Manufacturers Adviser Corporation
PORTFOLIO MANAGERS: Richard Cook, Stephen Hill, and Emilia Panadero-Perez
INCEPTION DATE: October 4, 1994
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
<CAPTION>
PACIFIC RIM BLENDED FINANCIAL FINANCIAL TIMES
EMERGING MARKETS TIMES ACTUARIES ACTUARIES PACIFIC BASIN
<S> <C> <C> <C>
October 1994 10000 10000 10000
December 1994 9437 9237 9785
March 1995 9228 9207 9542
June 1995 9723 9449 9098
September 1995 10071 9752 9425
December 1995 10519 10030 9840
March 1996 11154 10780 9988
June 1996 11258 10762 10085
December 1996 11552 11233 8854
</TABLE>
<TABLE>
<CAPTION>
PERFORMANCE TABLE
Average Annual Total
Return Cumulative Total Return
Since Since
Periods Ending December 31, 1996 1 Year Inception Inception
<S> <C> <C> <C>
Blended Financial Times Actuaries Index* 11.99% 5.32% 12.33%
Financial Times Actuaries Pacific Basin Index -10.02% -5.28% -11.46%
Pacific Rim Emerging Markets Trust (at net asset value) 9.81% 6.64% 15.52%
* Comprised of 80% Pacific ex Japan and 20% Japan
</TABLE>
PORTFOLIO MANAGERS' COMMENTARY
It was generally a positive year for global equity markets. Wall Street once
again provided support for markets worldwide, to Hong Kong in particular, which
also benefited from the stable U.S. interest rate environment. Japan, however,
once again failed to participate in the rally. While the depreciation of the
Yen, particularly against the U.S. dollar, has greatly improved the prospects
for key Japanese export industries, the Tokyo market remains plagued by a
domestic financial system in need of reform. The Pacific Rim Emerging Markets
Trust accordingly has been underweight in Japan and skewed toward lower
volatility issues as protection against the falling market.
Elsewhere in the Far East, returns were mixed. South Korea and Thailand were
particularly weak in 1996 as both fell more than 30% in local and dollar terms.
The Thai market was beset by worries about bad debts and the country's
macro-economic problems. In addition, the growing nervousness of foreign
investors is increasingly putting constraints on the central bank's ability to
lower interest rates. Malaysia, which was supported by strong liquidity flows,
and Hong Kong, which kept pace with Wall Street, both rose sharply over the
year. Valuations in these two markets are now beginning to look a little
stretched. The portfolio has started to reduce the weighting in Malaysia, and
money is being shifted into Singapore and selectively into Thailand.
iv
<PAGE> 5
INTERNATIONAL SMALL CAP TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Seeks to provide 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.
SUBADVISOR: Founders Asset Management, Inc.
PORTFOLIO MANAGER: Michael W. Gerding
INCEPTION DATE: March 4, 1996
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX
<CAPTION>
INTERNATIONAL MSCI WORLD
SMALL CAP EX US
<S> <C> <C>
February 1996 10000 10000
March 1996 10048 10212
April 1996 10344 10513
May 1996 10576 10333
June 1996 10624 10378
July 1996 10240 10074
August 1996 10304 10112
September 1996 10424 10386
October 1996 10632 10317
November 1996 10832 10745
December 1996 10920 10599
</TABLE>
<TABLE>
<CAPTION>
PERFORMANCE TABLE
Cumulative Total Return
Since
Period Ending December 31, 1996 Inception
<S> <C>
MSCI World ex US Index* 5.99%
International Small Cap Trust (at net asset value) 9.20%
</TABLE>
* All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
PORTFOLIO MANAGER'S COMMENTARY
Nineteen ninety-six was a difficult year once again for foreign indices, with
the benchmark MSCI World-ex US index up only 6.87% for the year, as opposed to
all three of the major U.S. indices which were up in excess of 20% for the year.
However, individual country performance ranged dramatically, from Japan being
down over 15% in dollar terms to several European countries' markets up in
excess of 20% in dollar terms. It was clearly a year for being selective, and
our approach to find the best companies, regardless of country, worked well for
us in 1996.
As we look outside the U.S., we believe that economies in general will continue
to improve in 1997, with the most pronounced improvements in Europe. The
Japanese economy is struggling, and there is a distinct possibility that it will
grow more slowly in 1997, and possibly slip into recession. Emerging economies
are still quite robust, but growth rates there have slowed because of the
stronger dollar and higher oil prices. We still expect the economies of Latin
America and Asia ex-Japan to grow at least two times the rate of the developed
world in 1997. This will likely lead to much better earnings growth around the
world, and, although markets are not as attractively valued as a year ago, we
are still able to find terrific ideas around the world. This is especially true
in smaller companies, because in general we find better earnings growth at
reasonable prices in smaller companies. Because economies around the world are
behind the U.S., and because inflation is still benign, we believe that interest
rates around the world will be flat to down in 1997, as central banks keep
monetary policy easy to support economic growth. We also expect to see the
dollar remain strong in 1997, although it is very unlikely that it will
strengthen at the same pace as 1996.
v
<PAGE> 6
EMERGING GROWTH TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To achieve maximum capital appreciation by investing primarily in a portfolio of equity
securities of domestic companies. The Emerging Growth Trust ordinarily will invest at least 65%
of its total assets in common stocks or warrants of emerging growth companies that represent
attractive opportunities for maximum capital appreciation.
SUBADVISOR: Manufacturers Adviser Corporation
PORTFOLIO MANAGERS: Robert Lutzko and Mark Schmeer
INCEPTION DATE: June 26, 1984
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX
<CAPTION>
EMERGING GROWTH S&P SMALL CAP
<S> <C>
10000
10541
11774
13006
12577
12148
11852
11556
12535
13514
16365
19216
17784
16352
22185
28018
31075
34131
38207
42284 42284
41418 41275
40551 40266
46178 46298
51804 52330
55451 58201
54405 63487
</TABLE>
<TABLE>
<CAPTION>
PERFORMANCE TABLE
Average Annual Total Return Cumulative Total Return
Since Since
Periods Ending December 31, 1996 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
<S> <C> <C> <C> <C> <C> <C> <C>
S&P Small Cap Index+* 21.32% n/a n/a 11.37% n/a n/a 50.14%
Emerging Growth Trust(at net asset value) 5.02% 14.19% 16.18% 14.48% 94.15% 347.85% 444.07%
</TABLE>
+ The S&P Small Cap Index began 3/24/93, therefore information for 5 and 10 year
periods is not applicable.
* The cumulative since inception return for the S&P Small Cap Index is for the
period March 24, 1993 to December 31, 1996.
PORTFOLIO MANAGERS' COMMENTARY
The Emerging Growth Trust had a total return of 5.02% for the year. This
compares with a total return of 21.32% for the S&P Small Cap Index. For the
first five months of 1996, the portfolio had a return that exceeded its
benchmark by a wide margin. Small cap stocks were showing better prospects for
growth than their large-cap counterparts, and investors responded by allocating
a greater share of their portfolios to the small cap sector. Some of these gains
were lost in June, mainly on concerns about the quality of second quarter
earnings and simple profit-taking after the run-up. The market correction in
July was felt most by the small cap segment of the market. The smaller the
capitalization, the greater the impact of the correction. The portfolio has
significant weighting in the small companies of the small cap market and this
was the main factor in the portfolio's under performance for the year. Although
performance has been satisfactory for the period since the market correction,
the portfolio has yet to fully recover.
vi
<PAGE> 7
SMALL/MID CAP TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Seeks to provide 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.
SUBADVISOR: Fred Alger Management, Inc.
PORTFOLIO MANAGER: David D. Alger
INCEPTION DATE: March 4, 1996
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
<CAPTION>
SMALL/MID CAP RUSSELL 2000 GROWTH S&P MIDCAP CUSTOM
<S> <C> <C> <C> <C>
February 1996 10000 10000 10000 10000
March 1996 10312 10198 10120 10159
April 1996 10824 10981 10429 10704
May 1996 10976 11545 10569 11051
June 1996 10504 10794 10411 10609
July 1996 9368 9476 9706 9602
August 1996 9904 10177 10266 10234
September 1996 10456 10702 10714 10721
October 1996 10248 10240 10745 10505
November 1996 10864 10525 11350 10947
December 1996 10696 10730 11362 11060
</TABLE>
<TABLE>
<CAPTION>
PERFORMANCE TABLE
Cumulative Total Return
Since
Period Ending December 31, 1996 Inception
<S> <C>
S&P MidCap 400 Index* 13.62%
Russell 2000 Growth Index* 7.30%
50%/50% Composite Index*+ 10.60%
Small/Mid Cap Trust (at net asset value) 6.96%
* All since inception returns for the indices begin on the month-end closest to the actual inception date of the Trust.
+ Comprised of 50% of the return of the S&P MidCap 400 Index and 50% of the return of the Russell 2000 Growth Index.
</TABLE>
PORTFOLIO MANAGER'S COMMENTARY
Throughout most of 1996, inflationary concerns, low unemployment levels and the
thought that the economy was growing too quickly led many investors to fear
Federal Reserve action. These fears spawned extreme volatility in both the stock
and the bond markets. Ultimately, these collective concerns proved overstated,
as the Federal Reserve consistently maintained a neutral policy.
Following a rapid and dramatic July sell off which saw the Dow Jones Industrial
Average fall to approximately 5100, the Dow soared, breaking 6000 by mid October
and ending the year well above 6400. With both the Dow and the S&P 500 posting
impressive returns, 1996 proved to be the year of both large cap stocks and
value investing. The Small/Mid Cap Trust, employing a growth-oriented approach
and investing in small to mid-sized companies, did not perform as well as blue
chip value funds or broad market indices. Small company growth stocks were hit
more severely in July and recovered less impressively. From the inception of the
portfolio to December 31, 1996, the Russell 2000 Growth Index returned a
mediocre 7.30%. The mid cap portion of the portfolio helped offset some
underperformance, as the S&P MidCap 400 Index returned a more impressive 13.62%
over the same period.
vii
<PAGE> 8
INTERNATIONAL STOCK TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To achieve long-term growth of capital by normally investing at least 65% of its total assets in
equity securities of growth companies in a variety of markets throughout the world.
SUBADVISOR: Manufacturers Adviser Corporation
PORTFOLIO MANAGERS: Richard Crook, Stephen Hill, Emilia Panadero-Perez, and Martin Gamble
INCEPTION DATE: October 4, 1994
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
<CAPTION>
FINANCIAL
INTERNATIONAL BLENDED FINANCIAL TIMES ACTUARIES
STOCK TIMES ACTUARIES WORLD EX-US INDEX
<S> <C> <C> <C>
October 1994 10000 10000 10000
December 1994 9846 9753 9878
March 1995 9889 9934 9917
June 1995 10137 10179 9941
September 1995 10528 10535 10302
December 1995 10957 10875 10680
March 1996 11310 11328 10939
June 1996 11525 11454 11101
December 1996 12103 11991 11139
</TABLE>
<TABLE>
<CAPTION>
PERFORMANCE TABLE
Average Annual Total Return Cumulative Total Return
Since Since
Periods Ending December 31, 1996 1 Year Inception Inception
<S> <C> <C> <C>
Blended Financial Times Actuaries Index + 10.26% 8.43% 19.91%
Financial Times Actuaries World ex-US Index 4.30% 4.92% 11.39%
International Stock Trust (at net asset value) 10.45% 8.88% 21.03%
+ Comprised of 45% Europe, 30% Pacific ex Japan, and 25% Japan
</TABLE>
PORTFOLIO MANAGERS' COMMENTARY
The European and some of the Pacific Rim markets returned in excess of 20% as
Wall Street once again provided support for markets worldwide. Like New York,
the London market made repeated forays into record territory. Japan, however,
once again failed to participate in the rally. While the depreciation of the
Yen, particularly against the U.S. dollar, has greatly improved the prospects
for key Japanese export industries, the Tokyo market remains plagued by a
domestic financial system in need of reform. The International Stock Trust
accordingly has been underweight in Japan and skewed toward lower volatility
issues as protection against the falling market.
Elsewhere in the Far East, returns were mixed. South Korea and Thailand were
particularly weak in 1996 as both fell more than 30% in local and dollar terms.
Malaysia, which was supported by strong liquidity flows, and Hong Kong, which
kept pace with Wall Street, both rose sharply over the year. Relative
underperformance was mainly attributable to high cash levels and underweightings
in continental European markets in the first half of the year, particularly in
France. At mid-year, the decision to raise cash levels to 29% proved very
beneficial and helped allow the portfolio to participate in the United Kingdom
rally.
viii
<PAGE> 9
GLOBAL EQUITY TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To seek long term capital appreciation, by investing primarily in a globally diversified
portfolio of common stocks and securities convertible into or exercisable for equity securities.
SUBADVISOR: Morgan Stanley Asset Management Inc.
PORTFOLIO MANAGER: Frances Campion
INCEPTION DATE: March 18, 1988*
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX
<CAPTION>
GLOBAL EQUITY MSCI WORLD
<S> <C>
10000 10000
9890 10000
10000 10128
9761 9927
9870 9915
9681 10103
9252 9549
9771 9956
10209 10621
10110 10992
10120 11093
10568 11497
10439 11427
10279 11355
10528 11619
10658 11337
10887 11211
11775 12480
11924 12179
12383 12525
12024 12104
12183 12595
12532 13001
12014 12397
11864 11867
11745 11153
11338 10995
12421 12155
12594 12071
12891 12183
11757 11045
10531 9982
11093 10807
11052 10632
11226 10856
11593 11256
12462 12299
12094 11939
12125 12034
12342 12309
11618 11551
12156 12098
12073 12062
12208 12380
12373 12583
11877 12037
12663 12916
12746 12679
12818 12463
12363 11878
12718 12046
13315 12527
12948 12110
12707 12144
12749 12442
12456 12330
12110 11998
12561 12215
12571 12317
12613 12360
12791 12655
13567 13392
14306 14014
15102 14339
14975 14222
15357 14518
16196 15186
16281 14908
16568 15321
15538 14457
16706 15166
17704 16169
17747 15962
17205 15277
17709 15752
17450 15795
17644 15754
18065 16056
18659 16543
17979 16111
18206 16572
17029 15856
16996 16013
16068 15776
16057 16001
16694 16769
17096 17371
17130 17523
17073 17521
18062 18400
17926 17994
18108 18521
17687 18232
17812 18868
18301 19423
18494 19778
18665 19903
19108 20233
19767 20713
19582 20734
19570 20842
18484 20108
18912 20343
19085 21143
18981 21295
20206 22492
20610 22136
</TABLE>
<TABLE>
<CAPTION>
PERFORMANCE TABLE
Average Annual Total Return Cumulative Total Return
Since Since Since*
Periods Ending December 31, 1996 1 Year 5 Years Inception 5 Years Inception Oct 1, 1996
<S> <C> <C> <C> <C> <C> <C>
Morgan Stanley Capital International World Index+ 13.97% 11.38% 9.51% 71.39% 121.36% 4.70%
Global Equity Trust (at net asset value) 12.62% 10.23% 8.57% 62.76% 106.10% 7.99%
<FN>
* Current portfolio manager assignment became effective 10/1/96.
+ All since inception returns for the indices begin on the month-end closest to the actual inception date of the Trust.
</TABLE>
PORTFOLIO MANAGER'S COMMENTARY
Equities produced another robust performance in 1996 in all major markets other
than Japan, which fell 16% in dollar terms. The Global Equity Trust's
outperformance was principally due to being underweight in Japan, and stock
selection in the United States, Japan, Germany, Spain, the Netherlands and
Ireland. U.S. indices were driven higher during 1996 by a continuation of the
low inflation and steady growth environment, further merger activity and a
mammoth $220 billion of inflows into equity mutual funds. This latter "wall of
money" more than offset growing uneasiness over valuations, earnings
sustainability, consumer debt levels, and rising wage pressure, as unemployment
nudged 5% and the House passed an increased minimum wage.
In Europe, steepening yield curves, restructuring and the improved
competitiveness of the Deutschemark bloc currencies all provided support for
continental stocks. Domestic conditions however remained difficult with double
digit unemployment in both Germany and France combined with renewed fiscal
discipline as European Monetary Unit candidates strive to meet the Maastrict
criteria. The U.K., being further advanced in the business cycle than its
continental peers, enjoyed a broadly based manufacturing recovery. Falling
unemployment, continued takeover activity amongst the utilities ahead of the
imminent election, deregulation of the building societies and recently, rising
house prices, all contributed to surprising strength in final demand.
Japan was the exception. After seeming to recover from its worst recession since
World War II, and aided by a weaker Yen and loose monetary policy, many
commentators expected the Japanese market to outperform in 1996. Unfortunately,
it remained beleaguered by continuing instability in the banking and property
sectors with corporates facing the daunting prospect of deregulation in a number
of highly protected industries, and consumers a hike in consumption tax in the
spring.
Looking forward, the portfolio is likely to remain slightly underweight in the
U.S., substantially so in Japan and overweight in Continental Europe. We tend to
agree with the consensus that a gradual increase in inflationary pressures may
lead to a moderate move up in U.S. interest rates, particularly if the fourth
quarter's likely 4% GDP growth rate continues for any length of time. Moreover,
there is a risk that earnings growth could slow to between mid and high single
digits. However U.S. corporates do remain the key beneficiaries of
globalization, which combined with their leadership in technology, and a
decade's experience of restructuring, suggests that certain companies can
continue to generate substantial free cashflows over the foreseeable future. In
Europe, restructuring remains the central theme, while governments there face
the dilemma of having to encourage growth while maintaining tight fiscal
policies dictated by the political commitment to monetary union, in a climate of
already high levels of structural unemployment.
ix
<PAGE> 10
GROWTH TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Seeks to provide long-term growth of capital by investing at least 65% of its assets in common
stocks of well-established, high-quality growth companies.
SUBADVISOR: Founders Asset Management, Inc.
PORTFOLIO MANAGER: Edward F. Keely
INCEPTION DATE: July 15, 1996
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX
<CAPTION>
GROWTH S&P 500
<S> <C> <C>
June 1996 10000 10000
July 1996 9936 9558
August 1996 10304 9760
September 1996 10808 10309
October 1996 10768 10594
November 1996 11400 11395
December 1996 11053 11169
</TABLE>
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Cumulative Total Return
Since
Period Ending December 31, 1996 Inception
<S> <C>
S&P 500* 11.69%
Growth Trust (at net asset value) 10.53%
</TABLE>
* All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
PORTFOLIO MANAGER'S COMMENTARY
The U.S. equity market experienced a significant correction during July as
investors became concerned with the pace of earnings growth. The market began to
recover in August as long-term interest rates declined and the bond market
became less concerned with inflation. It was during this time the stock market
began to show a clear preference for the largest and most liquid stocks. Large
capitalization stocks significantly outperformed small and medium sized
companies during the second half of the year. The strongest sector performance
came from two areas: financials (including banks, insurance companies and
brokerage firms) and energy companies. Banks, in particular, had phenomenal
performance as their returns averaged two times the return of the market as a
whole. The year ended as we had expected, 1996 was a year of moderate earnings
growth, low inflation and low interest rates.
The Growth Trust returned 10.53% from its inception date, which was below the
return of the market during the same period of time. The performance of the
portfolio was hindered by its commitment to invest in medium sized companies
which significantly underperformed larger, more liquid stocks.
x
<PAGE> 11
EQUITY TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To seek growth of capital by investing primarily in common stocks of United States issuers and
securities convertible into or carrying the right to buy stocks.
SUBADVISOR: Fidelity Management Trust Company
PORTFOLIO MANAGER: David Felman
INCEPTION DATE: June 18, 1985*
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX
<CAPTION>
Equity S&P 500
<S> <C>
10000 10000
10034 10000
10077 9974
9952 9913
9549 9595
9916 10024
10452 10742
10889 11243
11153 11293
11718 12152
12121 12825
11735 12666
12179 13362
12544 13583
12598 12810
13486 13769
12808 12637
13095 13340
13191 13681
12904 13320
14730 15109
16069 15733
16487 16161
16711 16018
16966 16183
17583 16991
18465 17837
18988 18524
18552 18116
13390 14218
12559 13053
13791 14017
13963 14615
15039 15302
15381 14840
15770 15000
15748 15117
16615 15819
16329 15755
15792 15234
16450 15880
16735 16313
16274 16082
16648 16373
17921 17556
17515 17119
17649 17523
18626 18427
19526 19168
19204 19065
20736 20777
22158 21178
22014 21095
20903 20604
21070 21032
21258 21529
19526 20084
19892 20343
20525 20878
20010 20362
21483 22348
21119 22191
20622 22120
18305 20123
17328 19133
17080 19062
18040 20290
18752 20846
19546 21767
20721 23325
21119 23881
21341 23947
22218 24972
21324 23831
22100 24946
22572 25533
22184 25114
22555 25450
21290 24422
22116 27214
22690 26708
22858 27049
21729 26519
21170 27291
21119 27438
20504 27040
21239 28130
20743 27562
21051 27879
21922 27979
23238 28922
23870 29301
24519 29515
23784 29913
24588 30557
24109 29808
25856 30613
26052 30714
25571 30569
26641 31734
27532 31499
27818 32139
27104 31837
27764 32228
28798 33308
28584 32409
27407 30999
27748 31402
27409 31914
26166 31125
26750 32156
28087 33464
27447 32658
28407 33406
27428 32180
27616 32650
27409 33498
28501 34798
29594 35828
30955 36871
32112 38327
34672 39228
37442 40534
37840 40644
38997 42347
38864 42198
39832 44055
39433 44870
40493 46396
41387 46827
41785 47277
43248 47972
44589 49209
43751 49396
41007 47213
42515 48209
44756 50923
45175 52329
47688 56285
47374 55170
</TABLE>
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since* Since
Periods Ending December 31, 1996 1 Year 5 Years 10 Years Inception Dec 13, 1991 5 Years 10 Years Inception
<S> <C> <C> <C> <C> <C> <C> <C> <C>
S&P 500** 22.96% 15.18% 15.27% 16.01% 17.39% 102.73% 314.20% 451.70%
Equity Trust (at net asset
value) 20.14% 16.46% 13.89% 14.42% 16.78% 114.20% 267.12% 373.74%
</TABLE>
* Current portfolio manager assignment became effective 12/13/91.
** All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
PORTFOLIO MANAGER'S COMMENTARY
The Equity Trust modestly lagged the S&P 500 and NASDAQ composite in 1996. The
portfolio returned 20.14% versus gains of 22.96% and 22.71% for the S&P and
NASDAQ, respectively. The strongest performance in the portfolio came from
retail, consumer products, technology, health care, energy services and select
financial positions.
In the overall market, large-capitalization stocks continued to outperform
smaller-cap issues. In this slow growing economic environment, investors showed
a clear preference for stocks with sustainable earnings growth. These stocks are
typically found in the large-cap segment of the market.
We are cautiously optimistic about the market's prospects in 1997. Valuations
appear reasonable, and recent volatility suggests that investors are
increasingly skeptical about a bullish outlook for the market, which we view as
positive. Currently, we are looking in the technology and communications
industries for companies with good earnings growth prospects at reasonable
valuations.
xi
<PAGE> 12
QUANTITATIVE EQUITY TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To achieve intermediate and long-term growth through capital appreciation and current income by
investing in common stocks and other equity securities of well established companies with
promising prospects for providing an above average rate of return.
SUBADVISOR: Manufacturers Adviser Corporation
PORTFOLIO MANAGERS: Mark Schmeer and Rhonda Chang
INCEPTION DATE: April 30, 1987
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX
<CAPTION>
Quantitative Equity S&P 500
<S> <C>
10000 10000
8502 8751
8921 9478
9340 10205
10772 11822
12204 13438
11956 13230
11708 13022
13475 15006
15241 16990
15703 17637
16165 18284
17248 19206
18330 20127
17946 20260
17561 20393
20128 24225
22694 28057
24612 30891
26762 34499
</TABLE>
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since
Periods Ending December 31, 1996 1 Year 5 Years Inception 5 Years Inception
<S> <C> <C> <C> <C> <C>
S&P 500 22.96% 15.18% 13.65% 102.73% 244.99%
Quantitative Equity Trust (at net asset value) 17.92% 11.92% 10.70% 75.61% 167.62%
</TABLE>
PORTFOLIO MANAGERS' COMMENTARY
The Quantitative Equity Trust had a total return of 17.92% for the year, as
compared with a total return of 22.96% for the S&P 500 Index. The portfolio's
underperformance is best explained in terms of our investment style. Since
August 1995 we have used a disciplined, quantitative approach to select stocks
that have superior earnings momentum. Companies are first screened for financial
quality, growth prospects and industry leadership. Surviving companies are then
ranked using computerized models. Only the top-ranked stocks are considered for
investment. As stocks fall out of the top tier of these models they are sold.
Portfolio weightings by industry sector are a secondary consideration with this
investment style. This can result in underperformance over the short-term, as it
did in the first quarter and fourth quarter of 1996, in which most of the gains
in the S&P 500 can be attributed to one or two key sectors. In addition, the
portfolio held small cash positions throughout the year, and this detracted from
performance during a year of double digit market returns. The earnings growth
rate for the portfolio is now more than twice that of the market, and the
earnings surprise and earnings revisions characteristics are favorable. The
valuation measures are similar to the S&P 500, and all of the companies
represented in the portfolio have strong balance sheets. We began to increase
the portfolio weight in high yield stocks during the fourth quarter as a
defensive measure against a potential market correction. We feel the portfolio
is now well-positioned to gain from further advances with less downside risk
than the overall market.
xii
<PAGE> 13
EQUITY INDEX TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To achieve investment results which approximate the total return of publicly traded common
stocks in the aggregate as represented by the Standard & Poor's 500 Composite Stock Price Index.
SUBADVISOR: Manufacturers Adviser Corporation
PORTFOLIO MANAGERS: Les Grober and Brett Hryb
INCEPTION DATE: February 14, 1996
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX
<CAPTION>
Equity Index S&P 500
<S> <C> <C>
February 1996 10000 10000
March 1996 9896 9875
June 1996 10371 10349
December 1996 11486 11509
</TABLE>
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Cumulative Total Return
Since
Periods Ending December 31, 1996 Inception
<S> <C>
S&P 500 15.09%
Equity Index Trust (at net asset value) 14.86%
</TABLE>
PORTFOLIO MANAGERS' COMMENTARY
The Equity Index Trust, which was launched on February 14, 1996, finished year
with a return of 14.86%, compared with a total return of 15.09% for the S&P 500
over the same period.
xiii
<PAGE> 14
BLUE CHIP GROWTH TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To seek long term growth of capital by emphasizing investments in companies with rapidly growing
earnings per share, some of which may be smaller emerging growth companies.
SUBADVISOR: T. Rowe Price Associates, Inc.
PORTFOLIO MANAGER: Larry J. Puglia
INCEPTION DATE: December 11, 1992*
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX
<CAPTION>
Blue Chip Growth S&P 500
<S> <C>
10000 10000
9930 10000
9930 10073
9530 10209
9590 10428
8832 10173
9112 10448
9052 10482
8782 10433
9102 10830
9102 10750
9332 10968
9393 10865
9553 10999
9663 11367
9473 11061
8962 10579
9114 10717
9064 10892
8702 10623
8933 10974
9476 11421
9275 11146
9365 11401
9164 10982
9094 11143
9305 11432
9506 11876
9787 12228
9922 12583
10235 13080
10659 13388
11103 13834
11093 13871
11416 14452
11244 14402
11577 15035
11507 15313
11890 15834
12173 15981
12264 16135
12756 16372
13252 16794
13120 16858
12260 16113
12725 16453
13728 17379
13677 17859
14689 19209
14487 18829
</TABLE>
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since Since*
Periods Ending December 31, 1996 1 Year Inception Inception Oct 1, 1996
<S> <C> <C> <C> <C>
S&P 500** 22.96% 17.14% 88.29% 8.34%
Blue Chip Growth Trust (at net asset value) 25.90% 9.57% 44.87% 5.53%
</TABLE>
* Current portfolio manager assignment became effective 10/1/96.
** All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
PORTFOLIO MANAGER'S COMMENTARY
Following stellar gains in 1995, the U.S. stock market surprised many investors
by advancing steadily throughout 1996. In fact, the consecutive gains in the S&P
500 of over 37% in 1995 and over 22% in 1996 is one of the best two year
performance periods on record. However, we also remain cautiously optimistic
that many of the factors which have provided a strong environment for stocks
will continue. Specifically, inflation and interest rate data, mutual fund
inflows and corporate earnings continue to be favorable. Risks which could
dampen continued strong corporate earnings and hurt stock market performance
include the inconsistent economic performance of many of our key trading
partners. Japan's economy continues to stagnate under the weight of a sharp
decline in real estate and stock market values. Several European economies,
including Germany, also continue to struggle. More consistent performance of
these economies is needed for continued strong earnings growth at many U.S.
multinationals. However, a strong, synchronized boom in major world economies
would probably be a major negative for inflation, interest rates and ultimately
stock valuations. Although the Blue Chip Growth Trust has less exposure to the
technology sector than the average growth fund, our technology holdings
performed very well. Financial stocks also performed well as investors continue
to focus on companies with consistent earnings growth and strong capital
generation. Additionally, we were able to find some sound investment ideas in
the struggling retail sector.
Stock valuations remain expensive, particularly as evidenced by the historically
low dividend yield on the S&P 500. We are also wary because the market has
generated strong results for two consecutive years. However, we realize that
sound investing must be driven by the outlook for the general investment
environment and future company earnings. Considering these factors, we believe
the outlook for U.S. stocks remains favorable. We continue to target holdings
which we believe are generally "all season" growth companies-they can generate
earnings growth regardless of the economic or interest rate environment. As
always, we strive to seek out blue chip companies with leading positions,
seasoned management and strong financial fundamentals as we continue to believe
they will provide superior investment results.
xiv
<PAGE> 15
REAL ESTATE SECURITIES TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To achieve a combination of long-term capital appreciation and satisfactory current income by
investing in real estate related equity and debt securities.
SUBADVISOR: Manufacturers Adviser Corporation
PORTFOLIO MANAGERS: Mark Schmeer and Les Grober
INCEPTION DATE: April 30, 1987
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
<CAPTION>
Real Estate Securities NAREIT All-REIT Morgan Stanley REIT S&P 500
<S> <C> <C> <C>
10000 10000 10000
9158 8708 8751
9694 9202 9478
10231 9696 10205
10704 9608 11822
11176 9521 13438
10923 8695 13230
10670 7869 13022
12862 9273 15006
15054 10676 16990
16657 11327 17637
18260 11977 18284
20325 13088 19206
22389 14198 20127
22079 14256 20260
21770 14313 21770 20393
23418 15624 22611 24225
25066 16934 24579 28057
26577 18141 26198 30891
33761 22988 33402 34499
</TABLE>
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since
Periods Ending December 31, 1996 1 Year 5 Years Inception 5 Years Inception
<S> <C> <C> <C> <C> <C>
Morgan Stanley REIT Index+* 35.89% n/a 23.79% n/a 53.43%
NAREIT All-REIT Index 35.75% 16.58% 8.98% 115.34% 129.88%
S&P 500 22.96% 15.18% 13.65% 102.73% 244.99%
Real Estate Securities Trust (at net asset value) 34.69% 17.63% 13.39% 125.21% 237.61%
</TABLE>
+ The Morgan Stanley REIT Index commenced on December 30, 1994, therefore the 5
year return period is not applicable for this index.
* The cumulative since inception return for the Morgan Stanley REIT Index is for
the period December 30, 1994 to December 31, 1996.
PORTFOLIO MANAGERS' COMMENTARY
Real estate security prices began the year on a rather slow note as a sharp rise
in interest rates curbed demand. Real Estate Investment Trust (REIT) prices
advanced modestly in the first quarter, but home-building stocks, which rose
dramatically in 1995, quickly retreated. Exposure to home-building stocks was
dramatically reduced early in the year, thereby avoiding much of the sector's
losses over the year. Proceeds were invested in REITs, which looked attractive
entering 1996 with average REIT's yielding nearly 2% more than the 10-year
Treasury bond. The move in REITs proved sound, despite rising interest rates, as
prices began to take off in the second quarter. For the first six months, the
Real Estate Securities Trust gained 6.02%, mostly achieved in the second
quarter. With the market increasingly aware of good fundamentals in most
property sectors, REIT prices continued to climb. In August, Simon Properties
and DeBartolo Realty announced a merger to create the largest publicly-traded
REIT, valued at about $9 billion. This fueled speculation of mergers and
acquisitions at precisely the time stock market volatility rose substantially.
Portfolio managers began to look for more defensive equity investments, and
REITs were a natural beneficiary. Over 1996, $2.5 billion flowed into real
estate mutual funds, up fivefold over 1995. Over the year, hotel REITs led the
way, gaining in excess of 52%, with office/industrial REITs gaining about 40%.
Retail REITs generally performed in line with the benchmark average, while
apartment, self storage, health care, and especially factory outlet REITs
trailed.
At year end the portfolio's characteristics continued to be superior to those of
the REIT market. Earnings growth and earnings revisions remain greater than the
benchmark average. The portfolio's dividend yield, now at 5.95%, is higher than
the benchmark, while both balance sheet and valuation characteristics are in
line with the Morgan Stanley REIT index.
xv
<PAGE> 16
INTERNATIONAL GROWTH AND INCOME TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To seek long term growth of capital and income by investing, under normal circumstances, at
least 65% of its total assets in equity securities of foreign issuers. The portfolio may also
invest in debt securities of corporate or sovereign issuers rated A or higher by Moody's or S&P
or, if unrated, of equivalent credit quality as determined by J.P. Morgan. Under normal
circumstances, the portfolio will be invested approximately 85% in equity securities and 15% in
fixed income securities.
SUBADVISOR: J.P. Morgan Investment Management, Inc.
PORTFOLIO MANAGERS: Paul A. Quinsee and Gareth A. Fielding
INCEPTION DATE: January 9, 1995
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
[Graph]
International
Growth and Income MSCI EAFE Custom SB Non-US 10
10,000 10,000 10,000 10,000
9,820 9,616 10,217 9,706
9,620 9,588 10,587 9,735
10,060 10,186 11,730 10,409
10,390 10,569 11,968 10,773
10,190 10,444 12,195 10,695
10,010 10,261 12,249 10,543
10,480 10,900 12,203 11,095
10,200 10,485 11,407 10,628
10,270 10,689 11,738 10,850
10,080 10,402 11,709 10,598
10,280 10,691 11,798 10,860
10,698 11,122 11,843 11,238
10,810 11,167 11,510 11,230
10,790 11,205 11,509 11,263
10,984 11,406 11,549 11,440
11,187 11,658 11,438 11,638
11,177 11,548 11,441 11,546
11,320 11,614 11,492 11,609
11,054 11,318 11,847 11,411
11,167 11,464 11,901 11,544
11,453 11,751 11,854 11,783
11,545 11,764 12,083 11,828
11,955 12,271 12,214 12,281
12,047 12,215 12,123 12,220
PERFORMANCE TABLE
<TABLE>
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since
Periods Ending December 31, 1996 1 Year Inception Inception
<S> <C> <C> <C>
Morgan Stanley Capital International EAFE* 9.83% 10.52% 22.15%
Salomon Brothers Non-US 10 Index* 2.37% 10.10% 21.23%
85%/15% Composite Index*+ 8.73% 10.54% 22.20%
International Growth and Income Trust (at net asset value) 12.61% 9.87% 20.47%
</TABLE>
* All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
+ Comprised of 85% of the return of the MSCI EAFE and 15% of the return of the
Salomon Brothers Non-US 10 Index.
PORTFOLIO MANAGERS' COMMENTARY
Building on the success enjoyed during the fourth quarter of 1995, international
equity markets performed well during 1996 spurred by renewed optimism for
economic recovery and corporate profits (due to rising Japanese corporate
profits, low interest rates in the smaller European markets, and the favorable
impact of the larger European market corporate restructurings). International
equities have considerably outperformed bonds since the beginning of 1996. In
the bond markets, the theme of convergence of high-yielding markets towards
reference markets set the tone, with Italy, Spain, and Sweden producing strong
returns in Europe, and Canada and Australia in the dollar bloc.
Asset allocation was the most positive contributor to overall performance in
1996. We have significantly reduced the position in Japanese equities, while
increasing positions in German, French, and Belgian equities. These decisions
have contributed positively to performance. However, these gains were marginally
offset by underweighting the strong Swedish market. During the year, stock
selection in the Japanese banking sector and in supermarket stocks within the
retail sector have contributed to the International Growth and Income Trust's
returns. An underweight position in Japanese bonds and an overweight position in
Dutch bonds also produced a positive return as well as the portfolio's yield
positioning. The portfolio's ongoing currency strategy of partially hedging
Japanese yen exposure into U.S. dollars has had a favorable impact on the
results this year as the Dollar continued to strengthen against the Yen during
the year.
xvi
<PAGE> 17
GROWTH AND INCOME TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To seek long-term growth of capital and income, consistent with prudent investment risk, by
investing primarily in a diversified portfolio of common stocks of United States issuers which
the portfolio manager believes are of high quality.
SUBADVISOR: Wellington Management Company
PORTFOLIO MANAGER: Matthew E. Megargel
INCEPTION DATE: April 23, 1991
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX
[GRAPH]
Growth and Income S&P 500
10000 10000
9940 10000
10270 10428
9950 9951
10330 10417
10570 10662
10380 10487
10530 10628
10040 10198
11080 11364
10810 11153
10980 11295
10740 11074
10921 11396
10982 11458
10921 11292
11376 11747
11305 11509
11588 11642
11668 11684
11981 12077
12213 12236
12375 12325
12435 12491
12829 12760
12587 12447
12814 12783
12844 12826
12793 12765
13204 13252
13162 13154
13388 13421
13121 13294
13388 13458
13850 13909
13706 13533
13193 12945
13337 13113
13569 13327
13252 12997
13812 13428
14224 13974
13960 13637
14171 13950
13527 13438
13770 13634
13780 13988
14340 14531
14678 14961
15150 15397
15639 16005
16965 16381
16421 16926
16562 16972
17073 17683
16812 17621
17497 18397
17790 18737
18214 19374
18258 19554
18573 19742
18853 20032
19305 20549
19327 20627
18628 19715
19034 20131
20139 21265
20691 21852
22259 23504
21853 23038
PERFORMANCE TABLE
<TABLE>
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since
Periods Ending December 31, 1996 1 Year 5 Years Inception 5 Years Inception
<S> <C> <C> <C> <C> <C>
S&P 500* 22.96% 15.18% 15.87% 102.73% 130.38%
Growth and Income Trust (at net asset value) 22.84% 14.55% 14.71% 97.23% 118.53%
</TABLE>
* All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
PORTFOLIO MANAGER'S COMMENTARY
The S&P 500 Index returned 22.96% in 1996 continuing the upward trend for U.S.
equities. While the U.S. stock market was helped by falling interest rates in
1995, equities in 1996 relied on earnings growth. Market volatility increased in
1996 with a major bump in the road during July from which many small/mid-cap
companies never recovered. In general, large cap stocks outdistanced small and
mid-cap stocks during the year. Strong performers during the period included
energy service, electronics, banks, brokers, computers, cosmetics and household
products, and aerospace. Weak groups included media and entertainment, electric
and telephone utilities, paper and forest products, metals and mining, and
restaurants. 1996 was a year when stock picking was also very important.
In 1996, the Growth and Income Trust was helped by overweights in technology,
financial services, health care and aerospace, and by strong performance in a
number of our holdings such as General Electric Co., Citicorp, IBM Corp.,
Travelers Group Inc. and Proctor & Gamble Co. Overall the portfolio returned
22.84% on a net basis for the year, matching its benchmark, the S&P 500 Index,
during the period. Going forward, we remain cautiously optimistic about selected
areas of the U.S. equity market. In particular, our portfolio strategy
emphasizes the finance, health care, aerospace, and materials sectors.
xvii
<PAGE> 18
EQUITY-INCOME TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To seek long-term growth of capital by investing primarily in common stocks and securities
convertible into or carrying the right to buy common stocks.
SUBADVISOR: T. Rowe Price Associates, Inc.
PORTFOLIO MANAGERS: Brian C. Rogers, Stephen W. Boesel, Richard P. Howard, and William J. Stromberg
INCEPTION DATE: February 19, 1993*
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX
[GRAPH]
Equity - Income S&P 500
10000 10000
10170 10000
10520 10215
10180 9965
10470 10234
10560 10268
10720 10219
10760 10609
10920 10530
10930 10744
10970 10643
11310 10774
11530 11135
11710 10834
11360 10363
11399 10498
11490 10669
11329 10405
11490 10750
12003 11187
11933 10917
11721 11167
11188 10758
11399 10915
11329 11198
12073 11633
12335 11977
12517 12326
12875 12813
13283 13114
13681 13550
13824 13587
13865 14156
13385 14107
13926 14728
14100 15000
14437 15510
14723 15654
14896 15805
15255 16037
15573 16451
15233 16513
14695 15783
15145 16116
15902 17024
16066 17493
17020 18816
16900 18443
PERFORMANCE TABLE
<TABLE>
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since Since*
Periods Ending December 31, 1996 1 Year Inception Inception Oct 1, 1996
<S> <C> <C> <C> <C>
S&P 500** 22.96% 17.31% 84.43% 8.34%
Equity-Income Trust (at net asset value) 19.85% 14.54% 69.00% 6.28%
</TABLE>
* Current portfolio manager assignment became effective 10/1/96.
** All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
PORTFOLIO MANAGERS' COMMENTARY
While the fourth quarter, and the year as a whole, were strong periods for the
broad equity market, it was challenging for income-oriented investors. Bond and
money market returns were generally in the mid-single digit range in 1996, with
shorter-maturity securities returning more than those with longer maturities.
Two traditional high-yield sectors of the equity market, electric utilities and
telephone companies, were flat on average for the year. These sectors suffered
due to their interest rate sensitivity and to concern about the impact of a
newly deregulated environment. Despite poor returns from many traditional yield
vehicles, we witnessed continued strength of companies in the financial, health
care, and energy sectors. While the market advanced sharply during the latter
part of the year, we were able to find opportunities in companies with
higher-than-average dividend yields, limited risk, and attractive return
potential.
Over the last few years, stock prices have appreciated at a much faster rate
than the earnings and dividends of the underlying companies. Because of this
"delinkage," we expect more subdued equity performance in 1997. We are not at
the point of yelling fire in a crowded theater but simply want to raise the
possibility that the year ahead may not live up to many investors' high
expectations for a continuation of recent trends. Notwithstanding this
cautionary tone, we continue to believe we will find interesting investment
opportunities during the year.
xviii
<PAGE> 19
BALANCED TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To seek current income and capital appreciation by investing in a balanced portfolio of common
stocks, U.S. and foreign government obligations and a variety of corporate fixed-income
securities.
SUBADVISOR: Manufacturers Adviser Corporation
PORTFOLIO MANAGERS: Mark Schmeer and Cathy Addison
INCEPTION DATE: June 26, 1984
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
<CAPTION>
[GRAPH]
Balanced S&P 500 Salomon Brothers BIG Bond
<S> <C> <C>
10000 10000 10000
11376 11175 11926
12929 12948 13416
14481 14721 14906
15737 16095 16176
16993 17469 17445
16843 17928 17625
16693 18386 17806
17328 19913 18648
17963 21440 19490
19878 24838 20851
21794 28235 22211
21971 27797 23021
22147 27359 23830
24735 31528 26032
27323 35696 28234
28172 37056 29487
29020 38416 30739
30760 40353 32601
32500 42288 34464
31825 42567 33854
31150 42846 33244
34996 50897 36849
38841 58948 40455
40146 64902 39601
42923 72482 41798
</TABLE>
PERFORMANCE TABLE
<TABLE>
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since
Periods Ending December 31, 1996 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
<S> <C> <C> <C> <C> <C> <C> <C>
S&P 500 Index 22.96% 15.18% 15.27% 17.14% 102.73% 314.20% 624.82%
Salomon Bros BIG Bond Index (Corporate)+ 3.32% 8.16% 9.13% 12.10% 48.02% 139.58% 317.98%
Balanced Trust (at net asset value) 10.51% 9.45% 9.71% 12.34% 57.06% 152.60% 329.23%
</TABLE>
+ Salomon Brothers Broad Investment Grade Bond Index-Corporate Component
PORTFOLIO MANAGERS' COMMENTARY
The Balanced Trust returned 10.51% in 1996. Portfolio weightings in stocks and
bonds were close to our benchmark weights, with 55.4% in stocks as at the end of
the year. Although stocks will provide the best returns over the long term, the
current environment is creating a high degree of short-term volatility that
warrants a neutral position on asset mix. This outlook is further supported by
our quantitative models based on economic indicators and historical market
performance. Both the equity and bond components contributed to the portfolio's
relative underperformance over the year. The earnings momentum investment style
we use for stock selection fell out of favor in the second quarter and in
December, and this, combined with the market's appetite for 'value stocks' not
emphasized in the portfolio, had a negative impact over the year. In spite of
this, independent studies confirm this investment style to be one of the most
successful over the long term. The relative underperformance of the bond
component was due to a relative underweighting in issues with lower quality
(below AA) credit ratings, as well as its longer duration during periods of
rising interest rates in the first half of the year.
xix
<PAGE> 20
AGGRESSIVE ASSET ALLOCATION TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To seek the highest total return consistent with an aggressive level of risk tolerance. The
Trust attempts to limit the decline in portfolio value in very adverse market conditions to 15%
over any thirty-six month period.
SUBADVISER: Fidelity Management Trust Company
PORTFOLIO MANAGER: Scott D. Stewart
INCEPTION DATE: August 3, 1989*
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
<CAPTION>
Aggressive Asset Allocation Wilshire 5000 MSCI EAFE Customized
--------------------------- ------------- --------- ----------
<S> <C> <C> <C>
10000 10000 10000 10000
10340 10227 9552 10179
10180 10210 9989 10229
9760 9911 9589 10184
9810 10086 10074 10434
9880 10270 10448 10697
9210 9516 10061 10198
9370 9667 9361 10305
9530 9909 8388 10510
9313 9263 8323 10291
9918 10502 9276 11120
9837 10451 9196 11106
9686 10350 9328 11118
8909 9376 8425 10328
8536 8861 7253 9968
8455 8742 8386 9972
8839 9338 7894 10507
9161 9635 8025 10764
9525 10103 8286 11155
10029 10889 9177 11777
10201 11221 8628 12008
10319 11256 8715 12065
10571 11707 8809 12470
10288 11185 8164 12041
10592 11710 8567 12506
10887 12033 8395 12794
10813 11895 8871 12701
10981 12114 8999 12864
10498 11651 8581 12504
11265 12930 9027 13669
11107 12905 8837 13428
11244 13082 8523 13576
11034 12758 7963 13359
11326 12929 8002 13673
11445 13008 8541 13787
11391 12743 8139 13684
11835 13259 7933 14190
11694 12978 8433 14004
11835 13133 8269 14175
11803 13293 7838 14158
12095 13844 7914 14517
12193 14090 7957 14712
12290 14263 7959 14876
12442 14322 8201 15093
12637 14690 8919 15348
12498 14284 9768 15096
12699 14732 9976 15404
12833 14800 9823 15508
12822 14798 10169 15483
13213 15369 10720 15991
13180 15399 10481 15909
13348 15656 10807 16171
13269 15402 9864 16021
13448 15680 10579 16188
13884 16173 11475 16656
13571 15810 11446 16244
13068 15095 10956 15612
13200 15240 11423 15731
13356 15389 11360 15924
13081 14977 11523 15623
13451 15422 11636 16086
13762 16103 11914 16488
13475 15791 11541 16186
13654 16049 11929 16416
13248 15461 11358 15986
13356 15669 11432 16138
13320 16008 10995 16259
13619 16646 10966 16646
13965 17084 11654 17085
14304 17509 12095 17471
14649 18106 11954 17873
14879 18683 11747 18120
15415 19452 12482 18718
15453 19641 12009 18712
15785 20391 12246 19176
15619 20186 11920 19038
16078 21041 12255 19592
16397 21385 12752 19976
16691 21958 12807 20300
16780 22343 12853 20440
16857 22586 13129 20616
17027 23144 13514 20970
17206 23776 13268 21180
17261 23581 13346 21182
16779 22307 12959 20545
16986 23021 12990 20886
17647 24246 13339 21623
17909 24586 13203 21822
18680 26213 13728 22780
18528 25917 13551 22591
</TABLE>
PERFORMANCE TABLE
<TABLE>
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since* Since
Periods Ending December 31, 1996 1 Year 5 Years Inception Dec 13, 1991 5 Years Inception
<S> <C> <C> <C> <C> <C> <C>
Wilshire 5000** 21.19% 14.92% 13.70% 17.03% 100.43% 159.17%
Morgan Stanley International EAFE Index** 6.26% 8.46% 4.18% 9.40% 50.11% 35.51%
Lehman Brothers Aggregate Bond** 3.64% 7.04% 8.44% 7.54% 40.51% 82.36%
90 Day T-Bill** 5.14% 4.36% 5.31% 4.38% 23.81% 46.72%
Merrill Lynch High Yield** 11.06% 13.16% 12.17% 13.18% 85.52% 134.33%
Customized Benchmark** 13.09% 10.57% 11.61% 12.34% 65.27% 125.91%
Aggressive Asset Allocation Trust (at net
asset value) 13.00% 10.46% 8.67% 11.57% 64.48% 85.28%
</TABLE>
* Current portfolio manager assignment became effective 12/13/91.
** All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust. Customized Benchmark is comprised of
47.5% of the return of the Wilshire 5000, 20% of the MSCI EAFE Index, 15% of
the return of the Lehman Brothers Aggregate Bond Index, 10% of the return of
the 90 Day T-Bill, and 7.5% of the return of the Merrill Lynch High Yield
Index.
PORTFOLIO MANAGER'S COMMENTARY
Performance of U.S. equity, U.S. bond and international equity markets differed
significantly during 1996. The U.S. economy experienced moderate growth with
actual inflation well under 2.5%. Together with stable earnings growth, a strong
technology sector and stable U.S. dollar, these events propelled the U.S. equity
market for another good year. The Wilshire 5000 index returned 21.19% for 1996.
For both 1995 and 1996, the U.S. equity market returned a total of nearly 66%.
U.S. bonds experienced quite a different set of circumstances in 1996. Interest
rates bottomed in early 1996 and went through the year in a general uptrend as a
result of higher inflation expectations. U.S. bonds (Lehman Brothers Aggregate
Bond Index) returned only 3.64%. Lower quality, high yielding bonds, on the
other hand, had another good year as a result of improving balance sheets and
very accommodative Federal Reserve policy. High yield bonds (Merrill Lynch High
Yield Index) returned 11.06% in 1996, again proving beneficial diversification
for stock and bond investments. International markets experienced diverse
performance from region to region. Markets were generally strong in Europe while
Japan's Nikkei Index was dragged down by worries of further recession and the
possibility of much tighter fiscal policy. The MSCI EAFE returned 6.26% in 1996.
The Aggressive Asset Allocation Trust returned 13.00% in 1996. The relatively
large weight in bonds and cash allocated required to meet downside risk
parameters moderated overall return. However, in the three years starting 1994,
the portfolio has been able to provide consistently stable returns in relation
to its pre-set downside risk target while stock, bond and international markets
have gone through very volatile cycles.
xx
<PAGE> 21
MODERATE ASSET ALLOCATION TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: 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 thirty-six month period.
SUBADVISER: Fidelity Management Trust Company
PORTFOLIO MANAGER: Scott D. Stewart
INCEPTION DATE: August 3, 1989*
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
[GRAPH]
<CAPTION>
Moderate Asset Allocation Wilshire 5000 LB Aggregate Bond Custom
<S> <C> <C> <C>
10000 10000 10000 10000
10210 10227 9852 10094
10120 10210 9902 10166
9910 9911 10146 10243
9970 10086 10242 10466
10030 10270 10270 10675
9450 9516 10148 10324
9570 9667 10180 10407
9570 9909 10187 10548
9355 9623 10094 10369
9861 10502 10392 11028
9851 10451 10560 11078
9770 10350 10705 11137
9142 9376 10562 10560
8839 8861 10650 10344
8758 8742 10785 10390
9112 9338 11017 10836
9406 9635 11189 11069
9719 10103 11327 11383
10155 10889 11424 11839
10286 11221 11502 12020
10392 11256 11627 12102
10551 11707 11694 12396
10317 11185 11688 12110
10594 11710 11851 12477
10871 12033 12107 12759
10871 11895 12352 12784
11051 12114 12490 12940
10828 11651 12604 12738
11402 12930 12979 13655
11275 12905 12802 13431
11392 13082 12885 13554
11222 12758 12813 13383
11439 12929 12906 13616
11595 13008 13149 13775
11617 12743 13331 13774
12027 13259 13603 14231
11960 12978 13740 14148
12104 13133 13904 14328
12038 13293 13719 14244
12237 13844 13722 14480
12348 14090 13940 14694
12492 14263 14207 14897
12670 14322 14456 15130
12825 14690 14517 15320
12746 14284 14618 15188
12885 14732 14637 15401
13047 14800 14902 15563
13070 14798 14987 15575
13417 15369 15250 16007
13405 15399 15291 15967
13544 15656 15347 16161
13440 15402 15217 16016
13590 15680 15299 16157
13937 16173 15506 16540
13648 15810 15236 16171
13209 15095 14859 15620
13248 15240 14741 15657
13347 15389 14739 15784
13149 14977 14707 15572
13483 15422 14999 15984
13681 16103 15017 16254
13421 15791 14797 15981
13558 16049 14783 16139
13273 15461 14751 15837
13372 15669 14853 15973
13421 16008 15147 16135
13694 16646 15507 16501
13967 17084 15602 16839
14261 17509 15820 17172
14639 18106 16432 17624
14834 18683 16552 17846
15147 19452 16516 18203
15238 19641 16716 18296
15499 20391 16878 18653
15473 20186 17097 18658
15837 21041 17354 19100
16137 21385 17597 19418
16397 21958 17716 19678
16371 22343 17498 19670
16384 22586 17286 19731
16438 23144 17189 19912
16551 23776 17155 20056
16651 23581 17385 20138
16381 22307 17432 19767
16523 23021 17402 19989
17034 24246 17705 20568
17318 24586 18098 20848
17901 26213 18408 21563
17745 25917 18236 21397
</TABLE>
<TABLE>
PERFORMANCE TABLE
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since* Since
Periods Ending December 31, 1996 1 Year 5 Years Inception Dec 13, 1991 5 Years Inception
<S> <C> <C> <C> <C> <C> <C>
Wilshire 5000** 21.19% 14.92% 13.70% 17.03% 100.43% 159.17%
Morgan Stanley International EAFE Index** 6.26% 8.46% 4.18% 9.40% 50.11% 35.51%
Lehman Brothers Aggregate Bond** 3.64% 7.04% 8.44% 7.54% 40.51% 82.36%
90 Day T-Bill** 5.14% 4.36% 5.31% 4.38% 23.81% 46.72%
Merrill Lynch High Yield** 11.06% 13.16% 12.17% 13.18% 85.52% 134.33%
Customized Benchmark** 10.20% 9.40% 10.80% 10.74% 56.69% 113.97%
Moderate Asset Allocation Trust (at net asset value) 9.96% 9.25% 8.04% 10.05% 55.62% 77.45%
</TABLE>
* Current portfolio manager assignment became effective 12/13/91.
** All since inception returns for the indexes begin on the month-end closest to
the actual inception date of the Trust.
Customized Benchmark comprised of 32.5% of the return of the Wilshire 5000, 10%
of the return of the MSCI EAFE Index, 40% of the return of the Lehman Brothers
Aggregate Bond Index, 10% of the return of the 90 Day T-Bill, and 7.5% of the
return of the Merrill Lynch High Yield Index.
PORTFOLIO MANAGER'S COMMENTARY
Performance of U.S. equity, U.S. bond and international equity markets differed
significantly during 1996. The U.S. economy experienced moderate growth with
actual inflation well under 2.5%. Together with stable earnings growth, a strong
technology sector and stable U.S. dollar, these events propelled the U.S. equity
market for another good year. The Wislhire 5000 index returned 21.19% for 1996.
For both 1995 and 1996, the U.S. equity market returned a total of nearly 66%.
U.S. bonds experienced quite a different set of circumstances in 1996. Interest
rates bottomed in early 1996 and went through the year in a general uptrend as a
result of higher inflation expectations. U.S. bonds (Lehman Brothers Aggregate
Bond Index) returned only 3.64%. Lower quality, high yielding bonds, on the
other hand, had another good year as a result of improving balance sheets any
very accommodative Federal Reserve policy. High yield bonds (Merrill Lynch Yield
Index) returned 11.06% in 1996, again proving beneficial diversification for
stock and bond investments. International markets experienced diverse
performance from region to region. Markets were generally strong in Europe while
Japan's Nikkei Index was dragged down by worries of further recession and the
possibility of much tighter fiscal policy. The MSCI EAFE returned 6.26% in 1996.
The Moderate Asset Allocation Trust returned 9.96% in 1996. The relatively large
weight in bonds and cash allocated required to meet downside risk parameters
moderated overall return. However, in the three years starting 1994, the
portfolio has been able to provide consistently stable returns in relation to
its pre-set downside risk target while stock, bond and international markets
have gone through very volatile cycles.
xxi
<PAGE> 22
CONSERVATIVE ASSET ALLOCATION TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To seek the highest total return consistent with a conservative level of risk tolerance. This
Trust attempts to limit the decline in portfolio value in very adverse market conditions to 5%
over any thirty-six month period.
SUBADVISER: Fidelity Management Trust Company
PORTFOLIO MANAGER: Scott D. Stewart
INCEPTION DATE: August 3, 1989*
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
[GRAPH]
<CAPTION>
Conservative 90 LB
Asset Day Aggregate Custom
Allocation T-Bill Bond
<S> <C> <C> <C>
10000 10000 10000 10000
10070 10071 9852 10030
10030 10137 9902 10126
10020 10207 10146 10306
10080 10275 10242 10498
10110 10345 10270 10657
9700 10414 10148 10475
9780 10476 10180 10536
9620 10547 10187 10618
9447 10615 10094 10495
9834 10687 10392 10960
9905 10757 10560 11063
9905 10830 10705 11161
9468 10903 10562 10819
9285 10972 10650 10751
9234 11043 10785 10837
9498 11110 11017 11170
9722 11179 11189 11366
9936 11246 11327 11590
10251 11304 11424 11868
10322 11365 11502 11998
10409 11422 11627 12097
10431 11479 11694 12278
10311 11533 11688 12139
10528 11589 11851 12397
10778 11644 12107 12650
10887 11698 12352 12770
11061 11752 12490 12911
11104 11802 12604 12864
11550 11851 12979 13485
11409 11896 12802 13293
11506 11932 12885 13384
11398 11972 12813 13274
11537 12011 12906 13428
11710 12052 13149 13612
11790 12091 13331 13694
12124 12129 13603 14065
12135 12166 13740 14079
12273 12200 13904 14249
12181 12232 13719 14124
12273 12262 13722 14238
12400 12294 13940 14445
12572 12327 14207 14658
12745 12357 14456 14878
12848 12389 14517 15000
12855 12419 14618 14981
12915 12450 14637 15098
13095 12481 14902 15291
13143 12513 14987 15335
13395 12546 15250 15660
13407 12577 15291 15662
13503 12610 15347 15786
13407 12641 15217 15664
13513 12674 15288 15771
13755 12709 15506 16048
13515 12739 15236 15762
13179 12773 14859 15343
13151 12808 14741 15317
13190 12848 14739 15383
13087 12889 14707 15272
13344 12934 14999 15601
13446 12980 15017 15753
13267 13027 14797 15568
13344 13078 14783 15653
13177 13130 14751 15501
13267 13189 14853 15621
13408 13251 15147 15833
13667 13310 15507 16164
13844 13376 15602 16369
14056 13442 15820 16615
14448 13509 16432 17058
14597 13574 16552 17234
14772 13640 16516 17431
14881 13706 16716 17556
15070 13767 16878 17812
15110 13831 17097 17891
15381 13892 17354 18222
15664 13956 17597 18466
15827 14016 17716 18651
15732 14072 17408 18576
15719 14131 17286 18591
15744 14189 17189 18678
15801 14248 17155 18764
15917 14308 17385 18884
15787 14368 17432 18699
15859 14430 17402 18826
16219 14491 17705 19239
16478 14551 18098 19516
16896 14611 18408 20002
16766 14672 18236 19872
</TABLE>
PERFORMANCE TABLE
<TABLE>
<CAPTION>
Cumulative Total Return
Average Annual Total Return
Since Since* Since
Periods Ending December 31, 1996 1 Year 5 Years Inception Dec 13, 1991 5 Years Inception
<S> <C> <C> <C> <C> <C> <C>
Wilshire 5000** 21.19% 14.92% 13.70% 17.03% 100.43% 159.17%
Morgan Stanley International EAFE Index** 6.26% 8.46% 4.18% 9.40% 50.11% 35.51%
Lehman Brothers Aggregate Bond** 3.64% 7.04% 8.44% 7.54% 40.51% 82.36%
90 Day T-Bill** 5.14% 4.36% 5.31% 4.38% 23.81% 46.72%
Customized Benchmark** 7.61% 8.06% 9.70% 8.93% 47.36% 98.72%
Conservative Asset Allocation Trust (at net asset
value) 7.03% 7.74% 7.22% 8.30% 45.17% 67.66%
</TABLE>
* Current portfolio manager assignment became effective 12/13/91.
** All since inception returns for the indexes begin on the month-end closest to
the actual inception date of the Trust.
Customized Benchmark is comprised of 20% of the return of the Wilshire 5000, 5%
of the return of the MSCI EAFE Index, 50% of the return of the Lehman Brothers
Aggregate Bond Index, and 25% of the return of the 90 Day T-Bill.
PORTFOLIO MANAGER'S COMMENTARY
Performance of U.S. equity, U.S. bond and international equity markets differed
significantly during 1996. The U.S. economy experienced moderate growth with
actual inflation well under 2.5%. Together with stable earnings growth, a strong
technology sector and stable U.S. dollar, these events propelled the U.S. equity
market for another good year. The Wilshire 5000 index returned 21.19% for 1996.
For both 1995 and 1996, the U.S. equity market returned a total of nearly 66%.
U.S. bonds experienced quite a different set of circumstances in 1996. Interest
rates bottomed in early 1996 and went through the year in a general uptrend as a
result of higher inflation expectations. U.S. bonds (Lehman Brothers Aggregate
Bond Index) returned only 3.64%. Lower quality, high yielding bonds, on the
other hand, had another good year as a result of improving balance sheets and
very accommodative Federal Reserve policy. High yield bonds (Merrill Lynch High
Yield Index) returned 11.06% in 1996, again proving beneficial diversification
for stock and bond investments. International markets experienced diverse
performance from region to region. Markets were generally strong in Europe while
Japan's Nikkei Index was dragged down by worries of further recession and the
possibility of much tighter fiscal policy. The MSCI EAFE returned 6.26% in 1996.
The Conservative Asset Allocation Trust returned 7.03% in 1996. The relatively
large weight in bonds and cash allocated required to meet downside risk
parameters moderated overall return. However, in the three years starting 1994,
the portfolio has been able to provide consistently stable returns in relation
to its pre-set downside risk target while stock, bond and international markets
have gone through very volatile cycles.
xxii
<PAGE> 23
STRATEGIC BOND TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To seek a high level of total return consistent with preservation of capital by giving its
portfolio manager broad discretion to deploy the portfolio's assets among certain segments of
the fixed-income market as the portfolio manager believes will best contribute to achievement of
the portfolio's investment objective.
SUBADVISOR: Salomon Brothers Asset Management Inc
PORTFOLIO MANAGERS: Peter J. Wilby and David J. Scott
INCEPTION DATE: February 19, 1993
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX
<CAPTION>
[GRAPH]
LB
Strategic Aggregate
Bond Bond
<S> <C>
10000 10000
10000 10000
10050 10042
10080 10112
10150 10125
10400 10309
10460 10367
10550 10549
10560 10577
10760 10617
10760 10526
10880 10583
11050 10726
10820 10539
10440 10279
10372 10197
10393 10196
10383 10173
10403 10376
10414 10388
10445 10236
10424 10226
10383 10204
10228 10274
10207 10478
10290 10727
10300 10792
10710 10944
11154 11367
11284 11450
11360 11425
11436 11563
11620 11675
11706 11827
11912 12004
12194 12173
12681 12255
12464 12042
12475 11958
12640 11891
12745 11867
12886 12026
12979 12059
13155 12038
13576 12247
13693 12519
13939 12733
13986 12615
</TABLE>
PERFORMANCE TABLE
<TABLE>
<CAPTION>
Average Annual Total
Return Cumulative Total Return
Since Since
Periods Ending December 31, 1996 1 Year Inception Inception
<S> <C> <C> <C>
Lehman Brothers Aggregate Bond Index* 3.64% 6.25% 26.15%
Strategic Bond Trust (at net asset value) 14.70% 9.07% 39.86%
</TABLE>
* All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
PORTFOLIO MANAGERS' COMMENTARY
The Strategic Bond Trust's ability to rotate its assets among global fixed
income markets enabled it to outperform the broad fixed income market for the
year ended December 31, 1996. During 1996, the portfolio allocated its assets
among the U.S. high yield sector, U.S. investment grade sector, emerging markets
debt and non-dollar government bonds. Over the course of the year, the portfolio
maintained and allocated about 35% of its assets to the high yield sector and
about 22% to emerging markets debt (Brady Bonds). These two sectors responded
favorably to the improving credit quality of their issuers. High yield issuers
were supported by moderate economic growth as corporations strengthen their
balance sheets by posting higher earnings and paying down debt. The strength in
the emerging markets debt sector is attributed to improving fiscal and monetary
practices of these countries. During the year, both Moody's and S&P upgraded
Poland's debt to investment grade. This positive development helped to boost
prices across the whole emerging markets debt sector. In addition, a large and
growing number of institutional investors, particularly U.S. pension funds and
insurance companies, entered this market in search of higher yields. This flow
of institutional funds has helped to stabilize and support the market sector.
Our strategy for the U.S. investment grade sector was to overweight mortgage
pass-through securities and underweight U.S. Treasuries. We believed that
mortgage pass-through securities were attractive as higher interest rates
reduced the incentive for homeowners to refinance their mortgages. In the
non-dollar portion of the portfolio, we allocated assets among government bonds
of Germany, Denmark, Ireland, the United Kingdom, Canada and Australia. The
Canadian government bond market posted solid gains for the year supported by the
absence of constitutional problems, and fiscal consolidation and a pro-growth
monetary policy stance from the Bank of Canada. The progress toward European
Monetary Union dominated the European bond market in 1996. As prospects improved
for a prompt start to the single currency on January 1, 1999, yield spreads to
the German market converged.
Moderate economic growth in the U.S. and positive supply and demand factors in
the high yield corporate market should support strong performance in the year
ahead. We also maintain a positive outlook on emerging market debt as broader
participation in the sector and favorable monetary and fiscal policies by
emerging market nations should continue to be positive for the market. Our U.S.
investment grade outlook is cautious over the short run. However, long-term we
remain constructive on the fixed income market as inflation remains benign and
economic growth remains modest.
xxiii
<PAGE> 24
GLOBAL GOVERNMENT BOND TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To seek a high level of total return by placing primary emphasis on high current income and the
preservation of capital, by investing primarily in a global portfolio of high-quality,
fixed-income securities of foreign and United States governmental entities and supranational
issuers.
SUBADVISOR: Oechsle International Advisors, L.P.
PORTFOLIO MANAGER: Astrid Vogler
INCEPTION DATE: March 18, 1988
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX
<TABLE>
<CAPTION>
[GRAPH]
Global Salomon World
Government Government
Bond Bond
<S> <C>
10000 10000
10100 10000
10130 9951
10040 9858
9840 9643
9761 9585
9661 9477
9761 9722
10150 10171
10130 10327
10179 10222
10100 10072
10080 10079
9998 9939
10059 10071
9887 9859
10028 10057
10322 10515
10150 10161
10413 10354
10434 10441
10494 10535
10636 10664
10656 10523
10616 10361
10565 10259
10602 10227
10842 10567
10998 10761
11258 11098
11373 11011
11425 11135
11842 11632
12008 11825
12071 11942
12373 12240
12435 12244
12008 11799
12118 11981
12172 11966
11965 11841
12237 12094
12541 12328
13030 12810
13160 12944
13268 13146
13985 13830
13703 13584
13703 13509
13572 13366
13615 13461
13982 13875
14315 14263
14590 14595
14819 15003
14567 15154
14383 14743
14074 14509
14303 14595
14636 14850
15026 15142
15175 15374
15467 15699
15614 15857
15712 15823
16017 15868
16787 16345
16677 16539
16872 16511
16579 16393
17019 16532
17398 16665
16775 16556
16384 16533
16259 16552
15822 16406
15822 16643
16041 16776
15925 16717
15963 16838
16452 17108
16028 16873
16041 16920
16169 17275
16542 17717
16967 18769
17384 19117
17485 19655
17845 19770
18171 19817
18252 19136
18564 19563
18836 19709
19297 19932
19759 20141
19813 19893
19636 19792
19664 19764
19854 19685
20018 19689
20287 19844
20480 20225
20764 20304
21226 20387
21853 20769
22390 21043
22330 20872
</TABLE>
PERFORMANCE TABLE
<TABLE>
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since
Periods Ending December 31, 1996 1 Year 5 Years Inception 5 Years Inception
<S> <C> <C> <C> <C> <C>
Salomon World Government Bond Index* 3.63% 8.58% 8.77% 50.92% 108.72%
Global Government Bond Trust (at net asset value) 13.01% 9.81% 9.56% 59.67% 123.30%
</TABLE>
* All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
PORTFOLIO MANAGER'S COMMENTARY
As far as themes go, 1996 was the year of the never happening Japanese recovery,
the rate-hike paranoid U.S. economy, interest rate convergence in Europe, and
perhaps the most notable theme, decoupling of international bond markets from
the U.S. market. These were all themes which affected the structure of the
Global Government Bond Trust.
In our strategy, we 1) concentrated on the Dollar-bloc (U.S., Canada, Australia,
and New Zealand); 2) maintained an overweight position in the European
high-yielding markets (Italy, Spain, and Sweden); 3) remained underweight in
core Europe; and 4) continued to have no Japanese exposure. All of these
decisions contributed positively to the overall performance of the portfolio.
For 1996, market participants expected a strengthening U.S. Dollar. They were
right in expecting a stronger Dollar, but they had misassessed how strong, which
provided an excellent opportunity for incremental returns. We were a strong
believer in the Dollar's value, or in other words, a strong believer in a
continuation of Yen and Deutschemark weakness. Therefore, throughout the year we
had various currency hedgings in place which took advantage of this view. One
attraction of a global fixed income mandate is that it can offer positive
returns in both rising as well as falling interest rate and currency
environments, when hedging flexibility is permitted such as in the case of the
portfolio.
For 1997, we continue to find global bonds a good value. Due to our assumption
of increasing world growth, we will focus on short to medium maturities,
depending on the country, thus reducing the overall portfolio interest rate
risk, and we will concentrate on positive currency trends, for the time being,
the Dollar-bloc versus the Yen and Deutschemark.
xxiv
<PAGE> 25
CAPITAL GROWTH BOND TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To achieve growth of capital by investing in medium-grade or better debt securities, with income
as a secondary consideration.
SUBADVISOR: Manufacturers Adviser Corporation
PORTFOLIO MANAGER: Cathy Addison
INCEPTION DATE: June 26, 1984
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX
GRAPH
<CAPTION>
Capital Growth Salomon Brothers
Bond BIG Bond
<S> <C>
10000 10000
11373 11926
12859 13416
14345 14906
15949 16176
17554 17445
17405 17625
17257 17806
17873 18648
18489 19490
19772 20851
21055 22211
21747 23021
22440 23830
24278 26032
26117 28234
26886 29487
27655 30739
29115 32601
30575 34464
29889 33854
29202 33244
32157 36850
35112 40455
34307 39601
35982 41798
</TABLE>
PERFORMANCE TABLE
<TABLE>
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since
Periods Ending December 31, 1996 1 Year 5 Years 10 Years Inception 5 Years 10 Years Inception
<S> <C> <C> <C> <C> <C> <C> <C>
Salomon Brothers BIG Bond Index (Corporate)+ 3.32% 8.16% 9.13% 12.10% 48.02% 139.58% 317.98%
Capital Growth Bond Trust (at net asset value) 2.48% 6.82% 7.44% 10.77% 39.08% 104.98% 259.82%
</TABLE>
+ Salomon Brothers Broad Investment Grade Bond Index-Corporate Component.
PORTFOLIO MANAGER'S COMMENTARY
It was a reasonably volatile year in the bond market during 1996. Investors
began the year with much optimism. After rate cuts in 1995 and January 1996
failed to stimulate the economy, investors felt the economy was poised to fall
into a recession. However, the anticipated drop in rates didn't occur. The
benchmark 30-year U.S. Treasury bond, which began the year at 5.95%, rose to a
peak of 7.20% in July as signs that the economy was stronger than expected led
investors to fear that the rate of inflation would pick up. Rates rallied
through the second half of the year, however, as steady economic growth with
full employment, low inflation, a shrinking budget deficit, and increased
foreign investment gave the bond market positive support. The 30-year Treasury
bond closed the year at a 6.64% yield.
For 1996, the Capital Growth Bond Trust had a return of 2.48%. The portfolio
benefited greatly from shortening of its duration early in the year in
anticipation of a rise in rates. It also benefited from a substantial commitment
to the corporate bond market, particularly Yankee issues, which performed
exceptionally well.
xxv
<PAGE> 26
INVESTMENT QUALITY BOND TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To seek a high level of current income consistent with the maintenance of principal and
liquidity, by investing primarily in a diversified portfolio of investment grade corporate bonds
and U.S. Government bonds with intermediate to longer term maturities. Up to 20% of the
portfolio's assets may be invested in below investment grade debt securities.
SUBADVISOR: Wellington Management Company
PORTFOLIO MANAGER: Thomas L. Pappas
INCEPTION DATE: April 23, 1991
</TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDICES
<TABLE>
GRAPH
Investment LB
Quality Aggregate Custom
Bond Bond
<S> <C> <C>
10000 10000 10000
10070 10000 10000
10110 10058 10054
10090 10053 10046
10181 10193 10179
10472 10413 10412
10753 10624 10628
10853 10742 10725
10944 10841 10832
11376 11163 11193
11185 11011 11036
11275 11083 11111
11195 11021 11055
11247 11100 11117
11521 11310 11344
11679 11466 11513
11964 11700 11812
12069 11818 11913
12216 11959 12069
12016 11800 11875
12016 11802 11874
12195 11990 12084
12469 12220 12353
12711 12434 12619
12795 12486 12662
12863 12573 12759
12863 12590 12760
13118 12817 13057
13173 12891 13143
13439 13116 13454
13494 13152 13495
13538 13200 13555
13350 13088 13397
13416 13159 13462
13594 13336 13685
13261 13104 13379
12874 12781 13023
12735 12678 12909
12724 12677 12877
12700 12649 12846
12933 12901 13126
12956 12916 13135
12758 12726 12920
12724 12715 12901
12689 12687 12879
12793 12775 12972
13026 13028 13230
13316 13338 13562
13409 13419 13661
13611 13607 13866
14170 14133 14472
14281 14237 14592
14232 14205 14533
14405 14377 14735
14554 14517 14893
14802 14705 15103
15038 14926 15365
15286 15135 15601
15361 15238 15601
15050 14973 15699
14926 14868 15352
14797 14785 15096
14758 14755 15070
14942 14953 15278
14982 14993 15311
14956 14968 15271
15233 15228 15559
15536 15566 15943
15839 15832 16252
15681 15685 16057
</TABLE>
PERFORMANCE TABLE
<TABLE>
<CAPTION>
Average Annual Total Return Cumulative Total Return
Since Since
Periods Ending December 31, 1996 1 Year 5 Years Inception 5 Years Inception
<S> <C> <C> <C> <C> <C>
Customized Benchmark* 2.92% 7.48% 8.72% 43.45% 60.57%
Lehman Brothers Aggregate Bond Index* 3.64% 7.04% 8.27% 40.51% 56.85%
Investment Quality Bond Trust (at net asset value) 2.58% 6.63% 8.22% 37.85% 56.81%
</TABLE>
* All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust. Customized Benchmark is comprised of
50% of the return of the Lehman Brothers Government Bond Index and 50% of the
return of the Lehman Brothers Corporate Bond Index.
PORTFOLIO MANAGER'S COMMENTARY
During 1996, the economy continued to defy those expecting a slowdown, while at
the same time, inflation was just as stubbornly confined. Foreign buying
supported U.S. bonds; for the year, domestic investors were net sellers of bonds
(probably re-allocating the funds into equities), while foreign buyers
essentially digested what domestic investors sold in addition to absorbing net
new supply. Total return in a fixed income portfolio is usually a function of
much more than just yield, but bond investors emphasized higher-yielding sectors
during 1996 amidst an optimistic consensus for global growth and inflation.
Thus, low-quality sectors that offer the highest yields were the best
performers. Within the investment grade sectors where we invest, corporate bonds
and mortgages outperformed comparable-duration Treasuries by
about 1%.
For the year ended December 31, 1996, the Investment Quality Bond Trust returned
2.58% on a net basis compared to 3.64% for the Lehman Brothers Aggregate Bond
Index. The portfolio operates with a slightly longer duration than this Lehman
index, and therefore, is more sensitive to interest rate changes in both
directions. Since longer term interest rates rose over the period by about 70
basis points, the portfolio experienced a larger principal loss than the index.
On the positive side, our allocation to mortgages in lieu of Treasuries was a
strong contributor to total return.
xxvi
<PAGE> 27
U.S. GOVERNMENT SECURITIES TRUST
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: To seek a high level of current income consistent with preservation of capital and maintenance
of liquidity by investing in debt obligations and mortgage-backed securities issued or
guaranteed by the U.S. Government, its agencies or instrumentalities and derivative securities
such as collateralized mortgage obligations backed by such securities.
SUBADVISOR: Salomon Brothers Asset Management Inc
PORTFOLIO MANAGERS: Steven Guterman and Roger Lavan
INCEPTION DATE: May 1, 1989*
</TABLE>
<TABLE>
CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX
GRAPH
<CAPTION>
U.S. Merrill Lynch
Government 1-10 Year
Securities Government
<S> <C>
10000 10000
10039 10211
10185 10471
10341 10686
10214 10538
10292 10590
10555 10807
10652 10913
10691 10940
10594 10878
10633 10905
10652 10927
10593 10889
10839 11119
10976 11264
11143 11425
11104 11376
11192 11480
11300 11639
11467 11813
11614 11981
11742 12102
11791 12164
11840 12230
11942 12357
12015 12428
12015 12441
12169 12575
12427 12810
12623 13027
12767 13175
12921 13329
13241 13654
13024 13516
13076 13567
12973 13512
13123 13635
13328 13830
13554 14030
13835 14291
13985 14456
14179 14655
13964 14475
13888 14411
14061 14601
14298 14874
14503 15098
14567 15155
14664 15275
14619 15229
14855 15448
14877 15481
15068 15717
15124 15785
15147 15812
15068 15736
15136 15797
15282 15955
15079 15729
14900 15509
14876 15403
14899 15418
14864 15429
15029 15621
15100 15669
14923 15544
14887 15547
14852 15469
14947 15528
15207 15786
15526 16087
15621 16176
15794 16362
16363 16830
16465 16939
16427 16951
16578 17090
16692 17204
16882 17400
17085 17614
17275 17794
17388 17945
17110 17753
17009 17673
16946 17619
16879 17610
17067 17784
17121 17839
17134 17859
17402 18088
17724 18417
17992 18641
17858 18544
</TABLE>
PERFORMANCE TABLE
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
Average Annual Total Return Cumulative Total Return
Since Since* Since
Periods Ending December 31, 1996 1 Year 5 Years Inception Dec 13, 1991 5 Years Inception
<S> <C> <C> <C> <C> <C> <C>
Merrill Lynch 1-10yr Gov't** 4.22% 6.31% 8.39% 6.84% 35.82% 85.44%
U.S. Gov't Securities Trust (at net asset
value) 3.38% 6.17% 7.85% 6.38% 34.87% 78.58%
</TABLE>
* Current portfolio manager assignment became effective 12/13/91.
** All since inception returns for the indices begin on the month-end closest to
the actual inception date of the Trust.
PORTFOLIO MANAGERS' COMMENTARY
In general, the performance of the U.S. government bond market and the Salomon
Brothers U.S. Government Securities Trust was hindered by the dramatic rise in
interest rates during the first half of 1996. Although a rally occurred in the
fourth quarter as inflation remained in check while economic indicators signaled
moderate growth, it was not enough to overcome the dramatic rise in rates during
the first half of 1996.
For most of the year, the portfolio maintained a neutral duration strategy in
anticipation of higher yields. This defensive strategy was a posture taken in
response to reports of stronger economic growth (e.g. strong job growth and
increases in consumption and housing activity). Market participants also focused
on stronger than expected rises in average hourly earnings which led to concerns
that inflationary pressure could develop and influence the Federal Reserve to
hike short term rates. The portfolio also had an overweight allocation to the
mortgage pass-through sector versus its benchmark. Mortgage pass-through
securities performed strongly in 1996 as higher interest rates reduced the
incentive for homeowners to refinance their mortgages.
Bonds are likely to experience volatility early in 1997 as investors sort out
the implications of stronger growth. We do not expect Fed action in the first
several months of 1997. Given our optimistic view of inflation, we believe
interest rates will move modestly lower during the year.
xxvii
<PAGE> 28
RESULTS OF SPECIAL MEETING OF SHAREHOLDERS
- --------------------------------------------------------------------------------
On December 20, 1996 a Special Meeting of Shareholders of the NASL Series
Trust (the "Trust") was held for the purpose of considering and voting upon:
PROPOSAL 1 Election of Don B. Allen, Charles L. Bardelis, Samuel Hoar, Robert
J. Myers, John D. Richardson and F. David Rolwing as Trustees of the
Trust;
PROPOSAL 2 Approval of a new investment subadvisory agreement between NASL
Financial Services, Inc., the Trust's investment adviser (the
"Adviser") and Morgan Stanley Asset Management Inc. for the Global
Equity Trust (only shareholders of the Global Equity Trust voted on
this proposal);
PROPOSAL 3 Approval of a new investment subadvisory agreement between the
Adviser and T. Rowe Price Associates, Inc. ("T. Rowe Price") for the
Equity-Income Trust (formerly known as the Value Equity Trust) (only
shareholders of the Equity-Income Trust voted on this proposal);
PROPOSAL 4 Approval of a new investment subadvisory agreement between the
Adviser and T. Rowe Price for the Blue Chip Growth Trust (formerly
known as the Pasadena Growth Trust) (only shareholders of the Blue
Chip Growth Trust voted on this proposal);
PROPOSAL 5 Approval of a new investment subadvisory agreement between the
Adviser and Manufacturers Adviser Corporation for the Money Market
Trust (only shareholders of the Money Market Trust voted on this
proposal);
PROPOSAL 6A Approval of an amended subadvisory agreement between the Adviser and
Fidelity Management Trust Company for the Equity Trust with respect
to increasing the subadvisory fee (only shareholders of the Equity
Trust voted on this proposal);
PROPOSAL 6B Approval of an amended subadvisory agreement between the Adviser and
Fidelity Management Trust Company for the Aggressive Asset
Allocation Trust with respect to increasing the subadvisory fee
(only shareholders of the Aggressive Asset Allocation Trust voted on
this proposal);
PROPOSAL 6C Approval of an amended subadvisory agreement between the Adviser and
Fidelity Management Trust Company for the Moderate Asset Allocation
Trust with respect to increasing the subadvisory fee (only
shareholders of the Moderate Asset Allocation Trust voted on this
proposal);
PROPOSAL 6D Approval of an amended subadvisory agreement between the Adviser and
Fidelity Management Trust Company for the Conservative Asset
Allocation Trust with respect to increasing the subadvisory fee
(only shareholders of the Conservative Asset Allocation Trust voted
on this proposal);
PROPOSAL 7A Approval of a change to certain fundamental investment policies of
the Aggressive Asset Allocation Trust to limit the decline in its
portfolio value to 15% over any 36 month period (only shareholders
of the Aggressive Asset Allocation Trust voted on this proposal);
PROPOSAL 7B Approval of a change to certain fundamental investment policies of
the Moderate Asset Allocation Trust to limit the decline in its
portfolio value to 10% over any 36 month period (only shareholders
of the Moderate Asset Allocation Trust voted on this proposal);
PROPOSAL 7C Approval of a change to certain fundamental investment policies of
the Conservative Asset Allocation Trust to limit the decline in its
portfolio value to 5% over any 36 month period (only shareholders of
the Conservative Asset Allocation Trust voted on this proposal);
PROPOSAL 8 Approval of a change to the investment objective of the
Equity-Income Trust to reflect the proposed investment strategy of
T. Rowe Price (only shareholders of the Equity-Income Trust voted on
this proposal);
PROPOSAL 9 Approval of a change to the investment objective of the Blue Chip
Growth Trust to reflect the proposed investment strategy of T. Rowe
Price (only shareholders of the Blue Chip Growth Trust voted on this
proposal);
PROPOSAL 10 Approval of a proposal to permit the Adviser, in the future, to
select and contract with subadvisers for the Portfolios after
obtaining the approval of the Board of Trustees but without
obtaining shareholder approval;
PROPOSAL 11 Approval of Coopers and Lybrand L.L.P. as independent accountants
for the Trust for the fiscal year ending December 31, 1996.
xxviii
<PAGE> 29
RESULTS OF SPECIAL MEETING OF SHAREHOLDERS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
At the meeting, all proposals were approved by shareholders of each Portfolio.
The number of votes cast FOR or AGAINST or which ABSTAINED from voting is set
forth below for each proposal:
<CAPTION>
SHARES
-----------------------------
FOR VOTE WITHHELD
-----------------------------
<S> <C> <C> <C>
PROPOSAL 1
----------
All Series of the Trust 2,557,411,548 61,343,204
SHARES
---------- ----------------------------------------
PORTFOLIO FOR AGAINST ABSTAINED
---------- ----------------------------------------
PROPOSAL 2
----------
Global Equity Trust 38,435,918 595,122 1,816,983
PROPOSAL 3
----------
Equity-Income Trust 35,693,478 418,904 1,971,314
PROPOSAL 4
----------
Blue Chip Growth Trust 26,885,287 336,543 1,643,820
PROPOSAL 5
----------
Money Market Trust 31,428,576 637,021 1,670,498
PROPOSAL 6A
-----------
Equity Trust 51,064,820 4,225,770 2,593,800
PROPOSAL 6B
-----------
Aggressive Asset Allocation Trust 14,017,015 1,974,726 1,258,749
PROPOSAL 6C
-----------
Moderate Asset Allocation Trust 43,770,306 4,571,820 3,441,707
PROPOSAL 6D
-----------
Conservative Asset Allocation Trust 16,517,129 1,412,201 1,230,412
PROPOSAL 7A
-----------
Aggressive Asset Allocation Trust 14,930,576 896,447 1,423,467
PROPOSAL 7B
-----------
Moderate Asset Allocation Trust 45,054,484 3,167,580 3,561,770
PROPOSAL 7C
-----------
Conservative Asset Allocation Trust 16,996,449 819,157 1,344,135
PROPOSAL 8
----------
Equity-Income Trust 35,098,335 833,840 2,151,521
PROPOSAL 9
----------
Blue Chip Growth Trust 26,570,987 587,352 1,707,311
PROPOSAL 10
-----------
International Small Cap Trust 5,664,866 350,020 214,306
Small/Mid Cap Trust 8,982,645 621,764 408,868
Global Equity Trust 36,439,987 2,432,241 1,975,795
Growth Trust 2,277,488 154,169 73,307
Equity Trust 51,575,590 3,724,846 2,583,955
Blue Chip Growth Trust 25,627,699 1,505,919 1,732,032
International Growth and Income Trust 13,492,714 679,767 651,707
</TABLE>
xxix
<PAGE> 30
<TABLE>
RESULTS OF SPECIAL MEETING OF SHAREHOLDERS (CONTINUED)
- -------------------------------------------------------------------------------------
<CAPTION>
SHARES
---------- --------------------------------------
PORTFOLIO FOR AGAINST ABSTAINED
---------- --------------------------------------
PROPOSAL 10 - CONTINUED
-----------------------
<S> <C> <C> <C>
Growth and Income Trust 46,276,402 2,896,345 2,721,673
Equity-Income Trust 33,889,890 2,100,401 2,093,405
Aggressive Asset Allocation Trust 14,594,350 1,466,896 1,189,244
Moderate Asset Allocation Trust 44,471,357 3,977,773 3,234,703
Conservative Asset Allocation Trust 16,765,555 1,252,542 1,141,644
Strategic Bond Trust 15,423,936 702,542 996,865
Global Government Bond Trust 15,589,092 793,633 786,332
Investment Quality Bond Trust 11,868,833 592,925 693,542
U.S. Government Securities Trust 14,570,952 693,204 669,310
Money Market Trust 29,277,790 2,722,163 1,736,143
PROPOSAL 11
-----------
All Series of the Trust 414,475,979 3,600,604 18,382,542
</TABLE>
On December 20, 1996 a Special Meeting of Shareholders of the ManuLife
Series Fund, Inc. (the "Series Fund"), was held at 116 Huntington Avenue,
Boston, MA at 10:00 a.m.E.S.T. for the purpose of considering and voting upon:
PROPOSAL 1 Approval of the Agreement and Plan of Reorganization between
Manulife Series Fund, Inc. on behalf of its portfolios and NASL
Series Trust ('NASL') on behalf of its portfolios providing for the
transfer of all of the assets of each Company portfolio to the
corresponding NASL portfolio (as set forth below) in exchange solely
for shares of beneficial interest of such NASL portfolio and the
assumption by such NASL portfolio of the liabilities of such Company
portfolios, and the distribution of such NASL portfolio shares to
the shareholders of such Company portfolios in liquidation of such
Company portfolio.
Company Portfolios Correspondinq NASL Portfolios
------------------ -----------------------------
Money-Market Fund Money Market Trust
International Fund International Stock Trust
Emerging Growth Equity Fund Emerging Growth Trust
Balanced Assets Fund Balanced Trust
Common Stock Fund Common Stock Trust (now the
Quantitative Equity Trust)
Pacific Rim Emerging Markets Pacific Rim Emerging Markets
Fund Trust
Real Estate Securities Fund Real Estate Securities Trust
Capital Growth Bond Fund Capital Growth Bond Trust
Equity Index Fund Equity Index Trust
<TABLE>
Required Vote: Approval of this proposal requires the affirmative vote of at
least a majority of the shares outstanding of the portfolio. Upon motion duly
made and seconded shares of each series of the Series Fund present at the
meeting were voted as follows regarding the approval of the Agreement and Plan
of Reorganization as follows:
<CAPTION>
SHARES
---------- ---------------------------------
PORTFOLIO FOR AGAINST ABSTAINED
---------- ---------------------------------
<S> <C> <C> <C>
PROPOSAL 1
Money-Market Fund 3,531,032 261,795 174,353
International Fund 2,395,478 154,884 82,603
Emerging Growth Equity Fund 8,010,219 474,966 310,912
Balanced Assets Fund 6,851,434 342,920 137,497
Common Stock Fund 3,977,989 235,971 154,643
Pacific Rim Emerging Markets Fund 1,773,270 133,734 80,679
Real Estate Securities Fund 3,469,178 275,851 99,034
Capital Growth Bond Fund 3,698,309 92,894 82,815
Equity Index Fund 610,330 1,861 --
</TABLE>
XXX
<PAGE> 31
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, the Pacific Rim Emerging Markets, International Small
Cap, Emerging Growth (formerly Emerging Growth Equity), Small/Mid Cap,
International Stock (formerly International), Global Equity, Growth, Equity,
Quantitative Equity (formerly Common Stock), Equity Index, Blue Chip Growth
(formerly Pasadena Growth), Real Estate Securities, International Growth and
Income, Growth and Income, Equity-Income (formerly Value Equity), Balanced
(formerly Balanced Assets), Aggressive Asset Allocation, Moderate Asset
Allocation, Conservative Asset Allocation, Strategic Bond, Global Government
Bond, Capital Growth Bond, Investment Quality Bond, U.S. Government Securities
and Money Market Trusts), including the portfolios of investments, as of
December 31, 1996, and the related statements of operations, the statements of
changes in net assets and the financial highlights for the period then ended. In
addition, we have audited the accompanying statements of changes in net assets
for the Global Equity, Equity, Blue Chip Growth, International Growth and
Income, Growth and Income, Equity~Income, Aggressive Asset Allocation, Moderate
Asset Allocation, Conservative Asset Allocation, Strategic Bond, Global
Government Bond, Investment Quality Bond, U.S. Government Securities and Money
Market Trusts for the period ended December 31, 1995 and the related financial
highlights for each of the periods indicated therein. These financial statements
and financial highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits. The statements of changes in net
assets for the year ended December 31, 1995 and the financial highlights for the
periods ended December 31, 1987 through December 31, 1995, presented therein,
for the Pacific Rim Emerging Markets, Emerging Growth, International Stock,
Quantitative Equity, Real Estate Securities, Balanced and Capital Growth Bond
Funds, were audited by other auditors whose report dated February 2, 1996,
expressed an unqualified opinion on those statements and financial highlights.
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, 1996 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 1996 financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the Portfolios comprising NASL Series Trust as of December 31, 1996, the
results of their operations, the changes in their net assets and the financial
highlights for each period then ended, in conformity with generally accepted
accounting principles. Also, in our opinion, the statements of changes in net
assets and financial highlights for the Global Equity, Equity, Blue Chip Growth,
International Growth and Income, Growth and Income, Equity-Income, Aggressive
Asset Allocation, Moderate Asset Allocation, Conservative Asset Allocation,
Strategic Bond, Global Government Bond, Investment Quality Bond, U.S. Government
Securities and Money Market Trusts referred to above present fairly, in all
material respects, the changes in their net assets and the financial highlights
for the period ended December 31, 1995 and for each of the periods indicated
therein in conformity with generally accepted accounting principles.
Coopers & Lybrand LLP
Boston, Massachusetts
February 21, 1997
1
<PAGE> 32
NASL SERIES TRUST
<TABLE>
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1996
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
PACIFIC RIM INTERNATIONAL
EMERGING SMALL EMERGING SMALL/MID INTERNATIONAL
MARKETS CAP GROWTH CAP STOCK
ASSETS TRUST TRUST TRUST TRUST TRUST
----------- ------------- ------------ ------------ -------------
<S> <C> <C> <C> <C> <C>
Investments in securities, at value (Includes a
repurchase agreement of $19,709,000
in the International Small Cap Trust)
(See accompanying portfolio of investments) ........ $22,170,812 $96,912,575 $191,550,393 $176,050,649 $31,686,320
Receivable for forward foreign currency contracts
to sell (Notes 2 and 8) ............................ -- -- -- -- 362
Forward foreign currency contracts to buy, at value
(Cost: $409,129 and $362 in the International
Small Cap and International Stock Trusts, respectively)
(Notes 2 and 8) .................................... -- 415,756 -- -- 362
Cash ................................................ 853 -- 1,169 -- 907
Foreign currency (Cost: $1,066,748, $300,718 and
$1,384,018 in the Pacific Rim Emerging Markets,
International Small Cap and International Stock
Trusts, respectively) (Notes 2 and 8) .............. 1,061,032 301,099 -- -- 1,379,889
Receivables:
Investments sold .................................. -- -- -- 426,984 --
Fund shares sold .................................. 51,231 366,023 113,484 1,612,379 67,608
Dividends ......................................... 31,182 45,576 31,366 4,221 38,630
Interest .......................................... 2,002 2,601 -- 36,215 2,269
Foreign tax withholding reclaims .................. -- 19,982 -- -- 10,649
Other assets ........................................ -- 192 -- 298 --
----------- ----------- ------------ ------------ -----------
Total assets .................................... 23,317,112 98,063,804 191,696,412 178,130,746 33,186,996
----------- ----------- ------------ ------------ -----------
LIABILITIES
Forward foreign currency contracts to sell,
at value (Cost: $362) (Notes 2 and 8) ............. -- -- -- -- 363
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 8) .................................. -- 409,129 -- -- 362
Investments purchased ............................. 44,093 415,756 -- 2,011,505 --
Fund shares redeemed .............................. -- -- 104,160 -- 1,518
Dividend and interest withholding tax ............. 2,885 4,284 -- -- 5,111
Due to custodian .................................. -- 7,544 -- 24,587 --
Custodian fee ..................................... -- 1,921 -- 22,424 --
Other accrued expenses ............................ 28,930 77277 80,644 10,665 36,721
----------- ----------- ------------ ------------ -----------
Total liabilities ................................. 75,908 845,911 184,804 2,069,181 44,075
----------- ----------- ------------ ------------ -----------
NET ASSETS ......................................... $23,241,204 $97,217,893 $191,511,608 $176,061,565 $33,142,921
=========== =========== ============ ============ ===========
Net assets consist of:
Undistributed net investment
loss (Note 2) ................................... -- ($4,890) -- -- --
Accumulated undistributed net realized ........... -- (845,359) $(12,113) $(6,951,840) --
loss on investments
Unrealized appreciation (depreciation) on:
Investments ..................................... $1,265,502 5,179,280 10,440,588 10,573,628 $ 2,926,669
Foreign currency and forward foreign currency
contracts ...................................... (5,881) 565 -- -- (3,630)
Capital shares at par value of $.01 (Note 4) ..... 21,321 71,483 92,961 131,657 28,906
Additional paid-in capital ....................... 21,960,262 92,816,814 180,990,172 172,308,120 30,190,976
---------- ----------- ------------ ------------ -----------
Net assets .................................... $23,241,204 $97,217,893 $191,511,608 $176,061,565 $33,142,921
=========== =========== ============ ============ ===========
Capital shares outstanding (Note 4) ................. 2,132,377 7,148,328 9,296,125 13,163,725 2,890,613
----------- ----------- ------------ ------------ -----------
Net asset value, offering price and redemption
price per share .................................... $ 10.90 $ 13.60 $ 20.60 $ 13.37 $ 11.47
=========== =========== ============ ============ ===========
Investments in securities, at identified cost(Note 2) $20,905,310 $91,733,295 $181,109,805 $165,477,021 $28,759,651
=========== =========== ============ ============ ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE> 33
NASL SERIES TRUST
<TABLE>
STATEMENTS OF ASSETS AND LIABITIES - DECEMBER 31, 1996
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GLOBAL QUANTITATIVE EQUITY
EQUITY GROWTH EQUITY EQUITY INDEX
ASSETS TRUST TRUST TRUST TRUST TRUST
------------ ----------- -------------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Investments in securities, at value (Includes
a repurchase agreement of $12,232,000 in the
Growth Trust)
(See accompanying portfolio of investments) ....... $706,906,855 $57,748,239 $1,360,044,605 $91,420,298 $7,961,600
Receivable for forward foreign currency contracts
to sell (Notes 2 and 8) ........................... 36,222,662 -- -- -- --
Cash ................................................ -- -- 21,552 693 2,472
Foreign currency (Cost: $19,168,814 and $370
in the Global Equity and Growth Trusts,
respectively) (Notes 2 and 8) ..................... 18,546,394 361 -- -- --
Receivables:
Investments sold .................................. 561,700 397,002 5,677,383 -- --
Fund shares sold .................................. 171,253 -- 324,881 378,388 22,403
Dividends ......................................... 1,154,176 23,774 1,264,181 139,188 1,952
Interest .......................................... 1,375 1,614 68,620 -- --
Foreign tax withholding reclaims .................. 395,280 -- -- -- --
Other assets ........................................ 2,983 22 4,410 -- --
------------ ----------- -------------- ----------- ----------
Total assets .................................... 763,962,678 58,171,012 1,367,405,632 91,938,567 7,988,427
------------ ----------- -------------- ----------- ----------
LIABILITIES
Forward foreign currency contracts to sell, at value
(Cost: $36,222,662) (Notes 2 and 8) ............... 36,443,938 -- -- -- --
Payables:
Investments purchased ............................. 395,370 1,266,573 21,788,073 -- --
Fund shares redeemed .............................. -- 85,909 -- -- 22,000
Dividend and interest withholding tax ............. 84,158 706 -- -- --
Variation margin for open futures contracts ....... -- -- -- -- 146,250
Due to custodian .................................. 29,541 8,185 -- -- --
Custodian fee ..................................... 113,118 384 56,810 -- --
Other accrued expenses ............................ 54,152 2,516 99,359 38,870 2,646
------------ ----------- -------------- ----------- ----------
Total liabilities .............................. 37,120,277 1,364,273 21,944,242 38,870 170,196
------------ ----------- -------------- ----------- ----------
NET ASSETS .......................................... $726,842,401 $56,806,739 $1,345,461,390 $91,899,697 $7,817,531
============ =========== ============== =========== ==========
Net assets consist of:
Undistributed net investment income (Note 2)..... $ 10,924,122 $ 2,288 $ 8,208,495 -- --
Accumulated undistributed net realized
gain (loss) on investments .................... 61,470,931 (794,265) 248,037,167 $ (53,629) $(266,874)
Unrealized appreciation (depreciation) on:
Investments ................................... 51,470,259 2,294,660 117,032,256 9,892,271 22,745
Futures contracts ............................. -- -- -- -- 266,875
Foreign currency and forward foreign currency
contracts ................................... (823,424) (9) 22 -- --
Capital shares at par value of $.01 (Note 4) .. 407,400 41,370 594,927 53,032 7,316
Additional paid-in capital .................... 603,393,113 55,262,695 971,588,523 82,008,023 7,787,469
------------ ----------- -------------- ----------- ----------
Net assets .................................. $726,842,401 $56,806,739 $1,345,461,390 $91,899,697 $7,817,531
============ =========== ============== =========== ==========
Capital shares outstanding (Note 4) ................. 40,739,977 4,136,954 59,492,706 5,303,145 731,587
------------ ----------- -------------- ----------- ----------
Net asset value, offering price and redemption price
per share ......................................... $ 17.84 $ 13.73 $ 22.62 $ 17.33 $ 10.69
============ =========== ============== =========== ==========
Investments in securities, at identified cost
(Note 2) ........................................... $655,436,596 $55,453,579 $1,243,012,349 $81,528,027 $7,938,855
============ =========== ============== =========== ==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE> 34
NASL SERIES TRUST
<TABLE>
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1996
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
INTERNATIONAL
BLUE CHIP REAL ESTATE GROWTH AND GROWTH AND EQUITY-
GROWTH SECURITIES INCOME INCOME INCOME
ASSETS TRUST TRUST TRUST TRUST TRUST
------------ ----------- ------------ -------------- ------------
<S> <C> <C> <C> <C> <C>
Investments in securities, at value
(See accompanying portfolio of investments) ...... $425,283,868 $75,816,476 $181,526,435 $1,036,553,791 $600,195,012
Receivable for forward foreign currency contracts
to sell (Notes 2 and 8) .......................... -- -- 30,543,792 -- --
Forward foreign currency contracts to buy, at value
(Cost: $7,205,000) (Notes 2 and 8) ............... -- -- 7,032,628 -- --
Cash ............................................... -- 3,382 -- -- --
Foreign currency (Cost: $6,086,643, $12,125 and $191
in the International Growth and Income, Growth and
Income and Equity-Income Trusts, respectively)
(Notes 2 and 8) .................................. -- -- 6,042,485 11,101 196
Receivables:
Investments sold .............................. 228,404 -- -- 534,500 --
Fund shares sold .............................. 206,902 56,971 197,898 45,888 511,924
Dividends ..................................... 526,230 372,846 209,694 1,625,419 1,388,224
Interest ...................................... 18 . -- 338,577 4,398 26
Foreign tax withholding reclaims .............. 2,093 -- 225,250 -- --
Deferred organization expenses (Note 2) ............ 1,895 -- 25,958 -- 2,279
Other assets ....................................... 1,215 -- -- 5,701 1,605
------------ ----------- ------------ -------------- ------------
Total assets .............................. 426,250,625 76,249,675 226,142,717 1,038,780,798 602,099,266
------------ ----------- ------------ -------------- ------------
LIABILITIES
Forward foreign currency contracts to sell, at value
(Cost: $30,543,792) (Notes 2 and 8) .............. -- -- 29,841,638 -- --
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 8) ............................. -- -- 7,205,000 -- --
Investments purchased ......................... 3,538,300 -- -- -- 2,494,989
Fund shares redeemed .......................... -- -- -- 4,881,533 --
Dividend and interest withholding tax ......... 10,010 -- 27,283 -- 17,644
Due to custodian .............................. 7,584 -- 9,090 37,544 28,720
Custodian fee ................................. 27,630 -- 35,383 45,527 28,466
Other accrued expenses ........................ 96,273 30,021 14,246 78,200 43,826
------------ ----------- ------------ -------------- ------------
Total liabilities ........................... 3,679,797 30,021 37,132,640 5,042,804 2,613,645
------------ ----------- ------------ -------------- ------------
NET ASSETS ......................................... $422,570,828 $76,219,654 $189,010,077 $1,033,737,994 $599,485,621
============ =========== ============ ============== ============
Net assets consist of:
Undistributed net investment
income (Note 2) ............................. $ 898,962 -- $ 3,194,285 $ 13,165,084 $ 8,655,530
Accumulated undistributed net realized
gain on investments ......................... 76,153,310 -- 8,102,503 66,257,481 80,300,067
Unrealized appreciation (depreciation) on:
Investments ................................. 40,539,116 $11,615,818 8,132,475 219,209,888 30,260,666
Foreign currency and forward foreign currency
contracts ................................... -- -- 488,762 (1,024) (185)
Capital shares at par value of $.01 (Note 4) .. 295,381 44,971 160,615 533,293 389,041
Additional paid-in capital .................... 304,684,059 64,558,865 168,931,437 734,573,272 479,880,502
------------ ----------- ------------ -------------- ------------
Net assets ................................ $422,570,828 $76,219,654 $189,010,077 $1,033,737,994 $599,485,621
============ =========== ============ ============== ============
Capital shares outstanding (Note 4) ................ 29,538,092 4,497,087 16,061,451 53,329,350 38,904,7143
------------ ----------- ------------ -------------- ------------
Net asset value, offering price and redemption price
per share ........................................ $ 14.31 $ 16.95 $ 11.77 $ 19.38 $ 15.41
============ =========== ============ ============== ============
Investments in securities, at identified cost
(Note2) ........................................... $384,744,752 $64,200,658 $173,393,960 $ 817,343,903 $569,934,346
============ =========== ============ ============== ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE> 35
<TABLE>
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31, 1996
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
ASSET ASSET ASSET STRATEGIC
BALANCED ALLOCATION ALLOCATION ALLOCATION BOND
ASSETS TRUST TRUST TRUST TRUST TRUST
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Investments in securities, at value
(See accompanying portfolio of investments) ........... $133,793,440 $224,446,829 $616,957,095 $205,027,420 $247,055,494
Receivable for forward foreign currency contracts
to sell (Notes 2 and 8) ............................... -- -- -- -- 49,531,226
Forward foreign currency contracts to buy, at value
(Cost: $36,821,940) (Notes 2 and 8) ................... -- -- -- -- 36,747,718
Cash .................................................... 5,046 -- -- -- --
Foreign currency (Cost: $467,327, $566,100, $135,324
and $295 in the Aggressive, Moderate and
Conservative Asset Allocation and the
Strategic Bond Trusts, respectively) (Notes 2 and 8) .. -- 469,111 565,805 135,101 305
Receivables:
Investments sold .................................. -- 6,158,176 16,384,171 4,964,310 385,883
Fund shares sold .................................. 2,124 60,605 188,609 32 --
Variation margin for open futures contracts ....... -- 138,700 270,100 43,800
Dividends ......................................... 129,169 225,974 410,211 85,504 3,200
Interest .......................................... 935,552 909,777 5,055,609 1,678,728 3,769,152
Foreign tax withholding reclaims .................. -- 29,812 47,258 9,059 3,219
Other assets ............................................ -- 710 1,702 782 4,151
------------ ------------ ------------ ------------ ------------
Total assets .................................... 134,865,331 232,439,694 639,880,560 211,944,736 337,500,348
------------ ------------ ------------ ------------ ------------
LIABILITIES
Forward foreign currency contracts to sell, at value
(Cost: $49,531,226) (Notes 2 and 8) ................... -- -- -- -- 49,654,296
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 8) ................................. -- -- -- -- 36,821,940
Investments purchased ............................. -- 5,639,141 14,866,947 3,279,562 29,038,382
Fund shares redeemed .............................. 1,311 -- 13,750 126,498 658,222
Variation margin for open futures contracts ....... -- 2,878 266 174 --
Dividend and interest withholding tax ............. -- 10,059 17,951 2,794 3,153
Due to custodian .................................. -- 3,262 8,916 102 9,639
Custodian fee ..................................... -- 67,090 101,180 52,423 19,051
Other accrued expenses ............................ 57,478 18,026 50,502 17,529 15,863
Deferred mortgage dollar roll income .................... -- -- -- -- 2,321
------------ ------------ ------------ ------------ ------------
Total liabilities ............................... 58,789 5,740,456 15,059,512 3,479,082 116,222,867
------------ ------------ ------------ ------------ ------------
NET ASSETS .............................................. $134,806,542 $226,699,238 $624,821,048 $208,465,654 $221,277,481
============ ============ ============ ============ ============
Net assets consist of:
Undistributed net investment income (Note 2) ..... -- $ 6,081,059 $ 26,584,959 $ 10,062,867 $ 14,378,392
Accumulated undistributed net realized
gain (loss) on investments ................... ($ 80,116) 16,384,235 34,355,001 8,074,045 1,671,226
Unrealized appreciation (depreciation) on:
Investments .................................. 10,490,310 29,853,629 58,211,256 11,369,720 5,293,939
Futures contracts ............................ -- (44,074) (117,888) (18,351) --
Foreign currency and forward foreign currency
contracts .................................... -- 4,557 3,737 507 (198,028)
Capital shares at par value of $.01 (Note 4) ... 82,165 168,579 500,213 179,080 185,292
Additional paid-in capital ..................... 124,314,183 174,251,253 505,283,770 178,797,786 199,946,660
------------ ------------ ------------ ------------ -------------
Net assets ................................... $134,806,542 $226,699,238 $624,821,048 $208,465,654 $221,277,481
============ ============ ============ ============ ============
Capital shares outstanding (Note 4) .................. 8,216,455 16,857,857 50,021,359 17,907,959 18,529,230
------------ ------------ ------------ ------------ ------------
Net asset value, offering price and redemption price
per share ......................................... $ 16.41 $ 13.45 $ 12.49 $ 11.64 $ 11.94
============ ============ ============ ============ ============
Investments in securities, at identified cost (Note 2) $123,303,130 $194,593,200 $558,745,839 $193,657,700 $241,761,555
============ ============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE> 36
<TABLE>
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - DECEMBER 31. 1996
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GLOBAL CAPITAL INVESTMENT U.S.
GOVERNMENT GROWTH QUALITY GOVERNMENT MONEY
BOND BOND BOND SECURITIES MARKET
TRUST TRUST TRUST TRUST TRUST
------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at value (Includes
repurchase agreements of $33,104,000 and
$33,104,000 in the U.S. Government Securities
Trust) (See accompanying portfolio of investments) .. $244,686,265 $44,355,727 $150,171,437 $254,510,925 $345,047,774
Receivable for forward foreign currency contracts
to sell (Notes 2 and 8) ............................. 22,000,000 -- -- -- --
Forward foreign currency contracts to buy, at value
(Cost: $15,163,070) (Notes 2 and 8) ................. 15,296,155 -- -- -- --
Cash ................................................. -- 6,877 40,975 -- 13,981,381
Foreign currency (Cost: $79,646) (Notes 2 and 8) ..... 79,625
Receivables:
Investments sold ................................. -- -- 2,007,694 6,537,917 --
Fund shares sold ................................. 58,158 342,891 282,820 401,407 4,077,852
Dividends ........................................ -- -- 1.310 -- --
Interest ......................................... 4,876,120 708,118 2,422,057 1,310,636 727,815
Foreign tax withholding reclaims ................. 94,217 -- -- -- --
Other assets ......................................... 1,050 -- 569 980 4,238
------------ ----------- ------------ ------------ ------------
Total assets ................................... 287,091,590 45,413,613 154,926,862 262,761,865 363,839,060
------------ ----------- ------------ ------------ ------------
LIABILITIES
Forward foreign currency contracts to sell, at value
(Cost: $22,000,000) (Notes 2 and 8) ................ 21,972,027 -- -- -- --
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 8) .................................... 15,163,070 -- -- -- --
Investments purchased .............................. -- -- 1,942,135 58,637,625 --
Fund shares redeemed ............................... -- 1,047 -- -- 209,295
Dividend and interest withholding tax .............. 100,253 -- -- -- --
Due to custodian ................................... 5,993 -- -- 792 --
Custodian fee ...................................... 33,276 -- 11,582 16,474 12,753
Other accrued expenses ............................. 23,661
Deferred mortgage dollar roll income ................. -- -- -- 37,475 --
------------ ----------- ------------ ------------ ------------
Total liabilities ............................... 37,298,280 20,184 1,966,030 58,709,249 273,263
------------ ----------- ------------ ------------ ------------
NET ASSETS ........................................... $249,793,310 $45,393,429 $152,960,832 $204,052,616 $363,565,797
============ =========== ============ ============ ============
Net assets consist of:
Undistributed net investment
income (Note 2) ................................. $ 19,668,247 -- $ 10,356,725 $ 13,081,027 --
Accumulated undistributed net realized
gain (loss) on investments ...................... 510,560 ($ 963,657) (3,560,894) (2,555,271) --
Unrealized appreciation (depreciation) on:
Investments ...................................... 13,581,050 663,973 638,764 (1,895,869) --
Foreign currency and forward foreign currency
contracts ....................................... 185,101 -- -- -- --
Capital shares at par value of $.01 (Note 4) ..... 166,856 41,651 128,661 153,169 $ 363,566
Additional paid-in capital ....................... 215,681,496 45,651,462 145,397,576 195,269,560 363,202,231
------------ ----------- ------------ ------------ ------------
Net assets .................................... $249,793,310 $45,393,429 $152,960,832 $204,052,616 $363,565,797
============ =========== ============ ============ ============
Capital shares outstanding (Note 4) .................. 16,685,598 4 165 078 12,866,102 15,316,916 36,356,580
------------ ----------- ------------ ------------ ------------
Net asset value, offering price and redemption price
per share ............................................ $ 14.97 $ 10.90 $ 11.89 $ 13.32 $ 10.00
============ =========== ============ ============ ============
Investments in securities, at identified cost (Note 2) $231,105,215 $43,691,754 $149,532,673 $256,406,794 $345,047,774
============ =========== ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE> 37
<TABLE>
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE YEAR ENDED DECEMBER 31, 1996
- ----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
PACIFIC RIM INTERNATIONAL
EMERGING SMALL EMERGING SMALL/MID INTERNATIONAL
MARKETS CAP GROWTH CAP STOCK
TRUST TRUST* TRUST TRUST* TRUST
--------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest (Net of $335 and $432 withholding
tax in the Pacific Rim Emerging Markets and
International Stock Trusts, respectively) ...... $ 111,368 $ 619,249 $ 775,421 $ 686,465 $ 197,418
Dividends (Net of $30,370, $16,815, $1,308
and $54,893 withholding tax in the Pacific Rim
Emerging Markets, International Small Cap,
Small/Mid Cap and International Stock
Trusts, respectively) .......................... 323,754 369,899 433,712 129,002 433,757
---------- ---------- ---------- ---------- ----------
Total income ................................. 435,122 989,148 1,209,133 815,467 631,175
---------- ---------- ---------- ---------- ----------
Expenses:
Investment adviser fee (Note 6) ................. 161,272 492,152 916,601 756,997 221,967
Custodian fee ................................... -- 73,576 -- 57,669 --
Audit and legal fees ............................ -- 6,498 -- 9,235 --
Registration and filing fees .................... -- 1,835 -- 3,402 --
Trustees fees and expenses (Note 7) ............. -- 1,550 -- 2,599 --
Miscellaneous ................................... 123,326 453 -- 284 130,569
---------- ---------- ---------- ---------- ----------
Total expenses ................................ 284,598 576,064 916,601 830,186 352,536
---------- ---------- ---------- ---------- ----------
Net investment income (loss) .................. 150,524 413,084 292,532 (14,719) 278,639
---------- ---------- ---------- ---------- ----------
Realized and unrealized gain (loss) on investments and
foreign currency:
Net realized gain (loss) on:
Investment transactions ....................... 864,129 (874,882) 10,145,712 (6,951,840) 891,552
Foreign currency and forward foreign
currency contracts ........................... (96,048) (31,945) -- -- (276,569)
Change in unrealized appreciation
(depreciation) on:
Investments ................................... 640,822 5,179,280 (2,232,073) 10,573,628 1,756,595
Translation of foreign currency and
forward foreign currency contracts ............ (6,254) 565 -- -- (4,036
---------- ---------- ---------- ---------- ----------
Net gain on investments and
foreign currency ................................ 1,402,649 4,273,018 7,913,639 3,621,788 2,367,542
---------- ---------- ---------- ---------- ----------
Net increase in net assets
resulting from operations ........................... $1,553,173 $4,686,102 $8,206,171 $3,607,069 $2,646,181
========== ========== ========== ========== ==========
</TABLE>
* For the period March 4, 1996 (commencement of
operations) to December 31, 1996.
The accompanying notes are integral part of the financial statements.
7
<PAGE> 38
<TABLE>
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE YEAR ENDED DECEMBER 31, 1996
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GLOBAL QUANTITATIVE EQUITY
EQUITY GROWTH EQUITY EQUITY INDEX
TRUST TRUST* TRUST TRUST TRUST**
----------- ---------- ----------- ----------- --------
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest ........................................... $ 1,733,522 $ 173,599 $ 4,615,767 $ 301,285 $140,302
Dividends (Net of $1,267,619, $1,227
and $38,946 withholding tax in the Global
Equity, Growth and Equity Trusts, respectively) ... 10,624,353 330,151 12,990,579 1,469,133 3,323
----------- ---------- ------------ ----------- --------
Total income ............................................ 12,357,875 503,750 17,606,346 1,770,418 143,625
----------- ---------- ------------ ----------- --------
Expenses:
Investment adviser fee (Note 6) .................... 6,234,116 119,620 8,774,975 380,315 11,227
Custodian fee ...................................... 636,679 19,454 386,401 -- --
Audit and legal fees ............................... 77,796 1,838 135,737 -- --
Registration and filing fees ....................... 16,409 706 21,963 -- --
Trustees fees and expenses (Note 7) ................ 19,514 477 19,111 -- --
Miscellaneous ...................................... 13,687 12 29,989 -- --
----------- ---------- ------------ ----------- --------
Total expenses ................................... 6,998,201 142,107 9,368,176 380,315 11,227
----------- ---------- ------------ ----------- --------
Net investment income ............................ 5,359,674 361,643 8,238,170 1,390,103 132,398
----------- ---------- ------------ ----------- --------
Realized and unrealized gain (loss) on investments,
futures and foreign currency:
Net realized gain (loss) on:
Investment transactions ........................ 97,559,315 (791,177) 250,761,937 10,029,581 3,717
Futures contracts .............................. -- -- -- -- 139,955
Foreign currency and forward foreign
currency contracts ............................ (12,440,807) (5,992) (373,530) -- --
Change in unrealized appreciation (depreciation) on:
Investments .................................... (8,902,810) 2,294,660 (48,495,014) 1,171,645 22,745
Futures contracts .............................. -- -- -- -- 266,875
Translation of foreign currency and
forward foreign currency contracts ............ (955,166) (9) 605 -- --
----------- ---------- ------------ ----------- --------
Net gain on investments, futures and
foreign currency ................................... 75,260,532 1,497,482 201,893,998 11,201,226 433,292
----------- ---------- ------------ ----------- --------
Net increase in net assets
resulting from operations .............................. $80,620,206 $1,859,125 $210,132,168 $12,591,329 $565,690
=========== ========== ============ =========== ========
</TABLE>
* For the period July 15, 1996 (commencement of
operations) to December 31, 1996.
** For the period February 14, 1996 (commencement of
operations) to December 31, 1996.
The accompanying notes are integral part of the financial statements.
8
<PAGE> 39
<TABLE>
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE YEAR ENDED DECEMBER 31, 1996
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
INTERNATIONAL
BLUE CHIP REAL ESTATE GROWTH AND GROWTH AND EQUITY-
GROWTH SECURITIES INCOME INCOME INCOME
TRUST TRUST TRUST TRUST TRUST
----------- ----------- ----------- ------------ -----------
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest ........................................... $ 901,537 $ 182,702 $ 1,275,443 $ 1,319,738 $ 2,375,997
Dividends (Net of $40,422, $405,444, $169,439
and $37,617 withholding tax in the Blue Chip
Growth, International Growth and Income, Growth
and Income and Equity-Income Trusts, respectively) 3,366,047 3,179,039 2,805,027 18,406,498 10,528,486
----------- ----------- ----------- ------------ -----------
Total income .................................... 4,267,584 3,361,741 4,080,470 19,726,236 12,904,483
----------- ----------- ----------- ------------ -----------
Expenses:
Investment adviser fee (Note 6) .................... 3,317,165 292,384 1,327,151 6,298,799 3,939,929
Custodian fee ...................................... 128,496 -- 187,237 213,611 130,877
Audit and legal fees ............................... 39,929 -- 12,786 98,038 57,074
Registration and filing fees ....................... 7,319 -- 15,081 18,410 10,237
Amortization of deferred organization expenses
(Note 2) .......................................... 2,006 -- 2,849 3,982 2,006
Trustees fees and expenses (Note 7) ................ 10,378 -- 1,410 24,984 14,703
Miscellaneous ...................................... 5,014 -- 2,322 12,628 5,012
----------- ----------- ----------- ------------ -----------
Expenses before reimbursement by investment adviser
and subadviser (Note 6) ........................... 3,510,307 292,384 1,548,836 6,670,452 4,159,838
Reimbursement of expenses by investment adviser
and subadviser .................................... 141,685 -- -- -- --
----------- ----------- ----------- ------------ -----------
Net expenses .................................... 3,368,622 292,384 1,548,836 6,670,452 4,159,838
----------- ----------- ----------- ------------ -----------
Net investment income ........................... 898,962 3,069,357 2,531,634 13,055,784 8,744,645
----------- ----------- ----------- ------------ -----------
Realized and unrealized gain (loss) on investments and
foreign currency:
Net realized gain (loss) on:
Investment transactions ........................ 86,714,103 6,093,674 3,800,418 66,608,198 80,310,064
Foreign currency and forward foreign
currency contracts ............................ -- -- (4,527,818) (241,417) (7,930)
Change in unrealized appreciation (depreciation) on:
Investments .................................... (9,894,420) 10,015,576 5,646,511 98,172,478 395,472
Translation of foreign currency and
forward foreign currency contracts ............. -- -- 221,135 (1,609) (185)
----------- ----------- ----------- ------------ -----------
Net gain on investments and
foreign currency .................................. 76,819,683 16,109,250 15,140,246 164,537,650 80,697,421
----------- ----------- ----------- ------------ -----------
Net increase in net assets
resulting from operations ............................. $77,718,645 $19,178,607 $17,671,880 $177,593,434 $89,442,066
=========== =========== =========== ============ ===========
</TABLE>
The accompanying notes are integral part of the financial statements.
9
<PAGE> 40
<TABLE>
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE YEAR ENDED DECEMBER 31, 1996
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
ASSET ASSET ASSET STRATEGIC
BALANCED ALLOCATION ALLOCATION ALLOCATION BOND
TRUST TRUST TRUST TRUST TRUST
----------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest (Net of $4,580 withholding tax
in the Strategic Bond Trust) ...................... $ 3,742,048 $ 5,234,726 $26,651,369 $10,889,669 $15,141,123
Dividends (Net of $135,757, $215,721 and $32,693
withholding tax in the Aggressive, Moderate
and Conservative Asset Allocation Trusts,
respectively) ..................................... 1,363,361 2,759,751 5,104,055 1,041,926 --
----------- ----------- ----------- ----------- -----------
Total income .................................... 5,105,409 7,994,477 31,755,424 11,931,595 15,141,123
----------- ----------- ----------- ----------- -----------
Expenses:
Investment adviser fee (Note 6) .................... 613,151 1,656,217 4,764,110 1,643,494 1,298,996
Custodian fee ...................................... -- 292,428 437,702 229,084 106,914
Audit and legal fees ............................... -- 23,547 68,160 23,233 19,207
Registration and filing fees ....................... -- 4,951 14,753 5,483 4,167
Amortization of deferred organization expenses
(Note 2) ........................................... -- -- -- -- 3,009
Trustees fees and expenses (Note 7) ................ -- 6,272 17,902 6,182 5,046
Miscellaneous ...................................... -- 2,966 9,953 4,068 5,405
----------- ----------- ----------- ----------- -----------
Total expenses .................................. 613,151 1,986,381 5,312,580 1,911,544 1,442,744
----------- ----------- ----------- ----------- -----------
Net investment income ........................... 4,492,258 6,008,096 26,442,844 10,020,051 13,698,379
----------- ----------- ----------- ----------- -----------
Realized and unrealized gain (loss) on investments,
futures and foreign currency:
Net realized gain (loss) on:
Investment transactions ........................ 9,025,072 17,873,805 37,335,908 8,576,247 5,399,944
Futures contracts .............................. -- (425,496) (1,002,713) (168,117) --
Foreign currency and forward foreign
currency contracts ............................ -- (871,980) (1,527,516) (196,816) 748,978
Change in unrealized appreciation (depreciation) on:
Investments ....................................... (983,826) 4,719,321 (926,299) (3,354,448) 3,229,720
Futures contracts ................................. -- (226,261) (487,106) (80,347) --
Translation of foreign currency and
forward foreign currency contracts ............... -- 2,798 (857) 45 (94,693)
----------- ----------- ----------- ----------- -----------
Net gain on investments, futures and
foreign currency .................................. 8,041,246 21,072,187 33,391,417 4,776,564 9,283,949
----------- ----------- ----------- ----------- -----------
Net increase in net assets
resulting from operations .............................. $12,533,504 $27,080,283 $59,834,261 $14,796,615 $22,982,328
=========== =========== =========== =========== ===========
</TABLE>
The accompanying notes are integral part of the financial statements.
10
<PAGE> 41
<TABLE>
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE YEAR ENDED DECEMBER 31, 1996
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GLOBAL CAPITAL INVESTMENT U.S.
GOVERNMENT GROWTH QUALITY GOVERNMENT MONEY
BOND BOND BOND SECURITIES MARKET
TRUST TRUST TRUST TRUST TRUST
----------- ---------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest (Net of $242,255 and $544 withholding
tax in the Global Government Bond and Investment
Quality Bond Trusts, respectively) ................ $17,546,599 $2,851,447 $11,364,547 $15,215,834 $17,386,509
Dividends .......................................... -- -- 1,310 -- --
----------- ---------- ----------- ----------- -----------
Total income ..................................... 17,546,599 2,851,447 11,365,857 15,215,834 17,386,509
----------- ---------- ----------- ----------- -----------
Expenses:
Investment adviser fee (Note 6) .................... 1,934,856 215,033 965,766 1,401,130 1,589,545
Custodian fee ...................................... 182,060 -- 81,835 96,596 86,324
Audit and legal fees ............................... 26,683 -- 16,551 23,160 36,793
Registration and filing fees ....................... 5,838 -- 3,216 4,310 8,719
Trustees fees and expenses (Note 7) ................ 6,817 -- 4,232 5,995 9,117
Miscellaneous ...................................... 3,593 -- 2,874 4,990 10,337
----------- ---------- ----------- ----------- -----------
Total expenses .......................................... 2,159,847 215,033 1,074,474 1,536,181 1,740,835
----------- ---------- ----------- ----------- -----------
Net investment income ............................ 15,386,752 2,636,414 10,291,383 13,679,653 15,645,674
----------- ---------- ----------- ----------- -----------
Realized and unrealized gain (loss) on investments and
foreign currency:
Net realized gain (loss) on:
Investment transactions ........................ 9,598,508 (211,323) 1,165,169 (464,497) --
Foreign currency and forward foreign
currency contracts ............................ 3,414,227 -- -- -- --
Change in unrealized appreciation (depreciation) on:
Investments ..................................... 1,954,903 (1,348,717) (7,470,195) (6,682,550) --
Translation of foreign currency and
forward foreign currency contracts ............. (417,584) -- -- -- --
----------- ---------- ----------- ----------- -----------
Net gain (loss) on investments and
foreign currency .................................. 14,550,054 (1,560,040) (6,305,026) (7,147,047) --
----------- ---------- ----------- ----------- -----------
Net increase in net assets
resulting from operations .............................. $29,936,806 $1,076,374 $ 3,986,357 $ 6,532,606 $15,645,674
=========== ========== =========== =========== ===========
</TABLE>
The accompanying notes are integral part of the financial statements.
11
<PAGE> 42
<TABLE>
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
PACIFIC RIM EMERGING MARKETS INTERNATIONAL EMERGING GROWTH TRUST SMALL/MID
TRUST (FORMERLY, THE PACIFIC RIM SMALL CAP (FORMERLY, THE EMERGING CAP
EMERGING MARKETS FUND) TRUST GROWTH EQUITY FUND) TRUST
-------------------------------- ----------- ---------------------------- ------------
YEAR YEAR 03/04/96* YEAR YEAR 03/04/96*
ENDED ENDED TO ENDED ENDED TO
12/31/96 12/31/95 12/31/96 12/31/96 12/31/95 12/31/96
----------- ----------- ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income ....... $ 150,524 $ 105,798 $ 413,084 $ 292,532 $ 206,266 ($ 14,719)
Net realized gain (loss) on:
Investment transactions ..... 864,129 56,190 (874,882) 10,145,712 18,252,359 (6,951,840)
Foreign currency and
forward foreign
currency contracts ......... (96,048) -- (31,945) -- -- --
Change in unrealized
appreciation
(depreciation) on:
Investments ............... 640,822 1,075,635 5,179,280 (2,232,073) 12,756,627 10,573,628
Foreign currency and
forward foreign
currency contracts ....... (6,254) -- 565 -- -- --
----------- ----------- ---------- ------------ ------------ ------------
Net increase in
net assets resulting from
operations ................. 1,553,173 1,237,623 4,686,102 8,206,171 31,215,252 3,607,069
Distribution to
shareholders from:
Net investment income ...... (151,471 (110,840) (356,506) (478,615) (35,611) --
Net realized gains on
investments and foreign
currency transactions ..... (782,550) (46,196) -- (28,391,874) (3,730,311) --
Distribution to shareholders:
In excess of net
investment income .......... (19,701) -- -- -- -- --
In excess of net
realized gains on
investments and foreign
currency transactions ...... (4,884) -- -- (16,604) -- --
Increase in net assets
from capital share
transactions (Note 4) ...... 9,589,538 4,319,295 92,888,297 49,766,063 37,597,721 172,454,496
----------- ----------- ---------- ------------ ------------ ------------
Increase in net assets ...... 10,184,105 5,399,882 97,217,893 29,085,141 65,047,051 176,061,565
Net assets at beginning
of period .................. 13,057,099 7,657,217 -- 162,426,467 97,379,416 --
----------- ----------- ---------- ------------ ------------ ------------
Net assets at end
of period ................... $23,241,204 $13,057,099 $97,217,89 $191,511,608 $162,426,467 $176,061,565
=========== =========== ========== ============ ============ ============
Undistributed net
investment income (loss) ... -- $ 397 ($ 4,890) -- $ 206,266 --
=========== =========== ========== ============ ============ ============
</TABLE>
*Commencement of operations
The accompanying notes are an integral part of the financial statements.
12
<PAGE> 43
<TABLE>
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<CAPTION>
INTERNATIONAL STOCK TRUST GLOBAL
(FORMERLY, THE EQUITY GROWTH
INTERNATIONAL FUND) TRUST TRUST
--------------------------- ---------------------------- -----------
YEAR YEAR YEAR YEAR 07/15/96*
ENDED ENDED ENDED ENDED TO
12/31/96 12/31/95 12/31/96 12/31/95 12/31/96
----------- ----------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income ...... $ 278,639 $ 229,950 $ 5,359,674 $ 3,747,724 $ 361,643
Net realized gain (loss) on:
Investment
transactions .............. 891,552 170,289 97,559,315 (14,280,171) (791,177)
Foreign currency and
forward foreign
currency contracts ........ (276,569) -- (12,440,807) 7,051,110 (5,992)
Change in unrealized
appreciation
(depreciation) on:
Investments .............. 1,756,595 1,360,677 (8,902,810) 48,700,520 2,294,660
Foreign currency and
forward foreign
currency contracts ...... (4,036) -- (955,166) 156,091 (9)
----------- ----------- ------------ ------------ -----------
Net increase in net
assets resulting from
operations ................ 2,646,181 1,760,916 80,620,206 45,375,274 1,859,125
Distribution to
shareholders from:
Net investment income ...... (260,922) (231,976) (11,270,400) (2,969,604) (356,451)
Net realized gains on
investments and foreign
currency transactions ..... (579,100) (219,782) -- (27,013,345) --
In excess of net
investment income ......... (32,600) -- -- -- --
In excess of net
realized gains on
investments and foreign
currency transactions ..... (2,098) -- -- -- --
Increase in net assets
from capital share
transactions (Note 4) ..... 12,323,922 6,447,973 9,309,957 16,652,433 55,304,065
----------- ----------- ------------ ------------ -----------
Increase in net assets ..... 14,095,383 7,757,131 78,659,763 32,044,758 56,806,739
Net assets at beginning
of period ................. 19,047,538 11,290,407 648,182,638 616,137,880 --
----------- ----------- ------------ ------------ -----------
Net assets at end
of period ................. $33,142,921 $19,047,538 $726,842,401 $648,182,638 $56,806,739
=========== =========== ============ ============ ===========
Undistributed net
investment income ......... -- $ 2,767 $ 10,924,122 $ 11,144,253 $ 2,288
=========== =========== ============ ============ ===========
</TABLE>
*Commencement of operations
The accompanying notes are an integral part of the financial statements.
13
<PAGE> 44
<TABLE>
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
EQUITY INDEX
QUANTITATIVE EQUITY TRUST TRUST (FORMERLY,
EQUITY (FORMERLY, THE THE EQUITY
TRUST COMMON STOCK FUND) INDEX FUND)
------------------------------ ------------------------------ ----------
YEAR YEAR YEAR YEAR 02/14/96*
ENDED ENDED ENDED ENDED TO
12/31/96 12/31/95 12/31/96 12/31/95 12/31/96
-------------- ------------ ------------ ----------- ----------
<S> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income ....... $ 8,238,170 $ 4,703,343 $ 1,390,103 $ 834,761 $ 132,398
Net realized gain (loss) on:
Investment transactions ..... 250,761,937 103,448,333 10,029,581 2,091,782 3,717
Futures transactions ........ -- -- -- -- 139,955
Foreign currency and
forward foreign
currency contracts ......... (373,530) (319,018) -- -- --
Change in unrealized
appreciation
(depreciation) on:
Investments ............... (48,495,014) 142,487,931 1,171,645 9,276,249 22,745
Futures contracts ......... -- -- -- -- 266,875
Foreign currency and
forward foreign
currency contracts ....... 605 (1,045) -- -- --
-------------- ------------ ----------- ----------- ----------
Net increase in net
assets resulting from
operations .................. 210,132,168 250,319,544 12,591,329 12,202,792 565,690
Distribution to
shareholders from:
Net investment income ....... (4,695,040) (4,092,853) (2,224,864) -- (132,206)
Net realized gains on
investments and foreign
currency transactions ....... (98,365,329) -- (11,536,168) -- (143,672)
Distribution to shareholders:
In excess of net
investment income .......... -- -- -- -- --
In excess of net
realized gains on
investments and foreign
currency transactions ...... -- -- (97,061) -- (267,066)
Increase in net assets
from capital share
transactions (Note 4) ...... 249,589,386 208,011,563 32,170,533 13,964,616 7,794,785
-------------- ------------ ----------- ----------- ----------
Increase in net assets ...... 356,661,185 454,238,254 30,903,769 26,167,408 7,817,531
Net assets at beginning
of period .................. 988,800,205 534,561,951 60,995,928 34,828,520 --
-------------- ------------ ----------- ----------- ----------
Net assets at end
of period .................. $1,345,461,390 $988,800,205 $91,899,697 $60,995,928 $7,817,531
============== ============ =========== =========== ==========
Undistributed net
investment income .......... $ 8,208,496 $ 4,695,040 -- $ 834,761 --
============== ============ =========== =========== ==========
</TABLE>
*Commencement of operations
The accompanying notes are an integral part of the financial statements.
14
<PAGE> 45
<TABLE>
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
BLUE CHIP GROWTH TRUST REAL ESTATE SECURITIES TRUST INTERNATIONAL
(FORMERLY, THE (FORMERLY, THE REAL ESTATE GROWTH AND INCOME
PASADENA GROWTH TRUST) SECURITIES FUND) TRUST
---------------------------- --------------------------- ----------------------------
YEAR YEAR YEAR YEAR YEAR 01/09/95*
ENDED ENDED ENDED ENDED ENDED TO
12/31/96 12/31/95 12/31/96 12/31/95 12/31/96 12/31/95
----------- ------------ ----------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income ....... $ 898,962 $ 908,877 $ 3,069,357 $ 2,365,861 $ 2,531,634 $ 338,520
Net realized gain (loss) on:
Investment transactions ..... 86,714,103 (2,374,757) 6,093,674 1,242,307 13,800,418 1,781,900
Foreign currency and
forward foreign
currency contracts ......... -- -- -- -- (4,527,818) (549,770)
Change in unrealized
appreciation
(depreciation) on:
Investments ................ (9,894,420) 49,321,341 10,015,576 3,176,323 5,646,511 2,485,964
Foreign currency and
forward foreign
currency contracts ....... -- -- -- -- 221,135 267,627
------------ ------------ ----------- ----------- ------------ -----------
Net increase in net
assets resulting from
operations ................. 77,718,645 47,855,461 19,178,607 6,784,491 17,671,880 4,324,241
Net investment income ....... (908,877) (834,112) (5,275,859) (852,969) (203,407) (998,757)
Net realized gains on
investments and foreign
currency transactions ...... -- -- (6,933,560) -- -- (875,932)
Distribution to shareholders:
In excess of net
realized gains on
investments and foreign
currency transactions ...... -- -- (166,348) -- -- --
Increase in net assets
from capital share
transactions (Note 4) ...... 68,086,867 78,926,143 16,976,697 3,937,452 82,903,570 86,188,482
------------ ------------ ----------- ----------- ------------ -----------
Increase in net assets ...... 144,896,635 125,947,492 23,779,537 9,868,974 100,372,043 88,638,034
Net assets at beginning
of period .................. 277,674,194 151,726,702 52,440,117 42,571,143 88,638,034 --
------------ ------------ ----------- ----------- ------------ -----------
Net assets at end
of period .................. $422,570,828 $277,674,194 $76,219,654 $52,440,117 $189,010,077 $88,638,034
============ ============ =========== =========== ============ ===========
Undistributed net
investment income (loss) ... $ 898,962 $ 908,877 -- $ 2,365,861 $ 3,194,285 ($ 70,205)
============ ============ =========== =========== ============ ===========
</TABLE>
*Commencement of operations
The accompanying notes are an integral part of the financial statements.
15
<PAGE> 46
<TABLE>
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
EQUITY-INCOME TRUST BALANCED TRUST
GROWTH AND INCOME (FORMERLY, THE (FORMERLY, THE BALANCED
TRUST VALUE EQUITY TRUST) ASSETS FUND)
------------------------------ ------------------------------ ------------------------------
YEAR YEAR YEAR YEA YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
12/31/96 12/31/95 12/31/96 12/31/95 12/31/96 12/31/95
-------------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income ....... $ 13,055,784 $ 11,654,596 $ 8,744,645 $ 5,009,152 $ 4,492,258 $ 3,392,436
Net realized gain (loss) on:
Investment transactions .... 66,608,198 15,108,131 80,310,064 25,890,743 9,025,072 2,741,674
Foreign currency and
forward foreign
currency contracts ........ (241,417) 686,290 (7,930 -- -- --
Change in unrealized
appreciation
(depreciation) on:
Investments ................ 98,172,478 103,848,140 395,472 29,918,641 (983,826) 14,094,035
Foreign currency and
forward foreign
currency contracts ........ (1,609) 1,588 (185) -- -- --
-------------- ------------ ------------ ------------ ------------ ------------
Net increase in net
assets resulting from
operations ................. 177,593,434 131,298,745 89,442,066 60,818,536 12,533,504 20,228,145
Distribution to
shareholders from:
Net investment income ....... (11,667,389) (8,549,161) (5,009,152) (1,721,862) ( 7,884,695) (129),234)
Net realized gains on
investments and foreign
currency transactions ...... (15,781,628) (4,313,653) (25,904,015) (2,091,517) (10,368,310) --
Distribution to shareholders:
In excess of net
realized gains on
investments and foreign
currency transactions ...... -- -- -- -- -- --
Increase in net assets
from capital share
transactions (Note 4) ...... 214,206,333 141,416,968 144,130,166 117,986,065 297,845,419 15,925,085
-------------- ------------ ------------ ------------ ------------ ------------
Increase in net assets ...... 364,350,750 259,852,899 202,659,065 174,991,222 24,045,803 36,023,996
Net assets at beginning
of period .................. 669,387,244 409,534,345 396,826,556 221,835,334 110,760,739 74,736,743
-------------- ------------ ------------ ------------ ------------ ------------
Net assets at end
of period .................. $1,033,737,994 $669,387,244 $599,485,621 $396,826,556 $134,806,542 $110,760,739
============== ============ ============ ============ ============ ============
Undistributed net
investment income .......... $ 13,165,084 $ 11,667,389 $ 8,655,530 $ 5,009,152 -- $ 3,268,747
============== ============ ============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE> 47
<TABLE>
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
ASSET ALLOCATION ASSET ALLOCATION ASSET ALLOCATION
TRUST TRUST TRUST
---------------------------- ---------------------------- ----------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
12/31/96 12/31/95 12/31/96 12/31/95 12/31/96 12/31/95
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income ...... $ 6,008,096 $ 5,392,921 $ 26,442,844 $ 25,474,597 $ 10,020,051 $ 10,232,137
Net realized gain (loss) on:
Investment transactions ... 17,873,805 10,182,865 37,335,908 23,729,858 8,576,247 8,403,516
Futures contracts .......... (425,496) (1,726,285) (1,002,713) (3,962,742) (168,117) (658,525)
Foreign currency and
forward foreign
currency contracts ....... (871,980) 1,938,306 (1,527,516) 7,845,216 (196,816) 727,483
Change in unrealized
appreciation
(depreciation) on:
Investments ............... 4,719,321 23,406,053 (926,299) 62,959,219 (3,354,448) 17,450,440
Futures contracts ......... (226,261) 371,422 (487,106) 782,113 (80,347) 129,261
Foreign currency and
forward foreign
currency contracts ....... 2,798 (10,764) (857) (71,271) 45 (34,355)
------------ ------------ ------------ ------------ ------------ ------------
Net increase in net
assets resulting from
operations ................ 27,080,283 39,554,518 59,834,261 116,756,990 14,796,615 36,249,957
Distribution to
shareholders from:
Net investment income ...... (5,427,633) (5,166,253) (26,460,562) (24,223,191) (10,622,367) (10,860,847)
Net realized gains on
investments, futures and
foreign currency
transactions .............. (10,578,038) (6,299,483) (26,425,885) (5,181,586) (3,004,794) --
Increase (decrease) in net
assets from capital share
transactions (Note 4) ..... 3,867,674 (993,645) (32,262,903) (41,707,151) (17,093,800) (17,714,850)
------------ ------------ ------------ ------------ ------------ ------------
Increase (decrease) in
net assets ................ 14,942,286 27,095,137 (25,315,089) 45,645,062 (15,924,346) 7,674,260
Net assets at beginning
of period ................. 211,756,952 184 661 815 650,136,137 604,491,075 224,390,000 216,715,740
------------ ------------ ------------ ------------ ------------ ------------
Net assets at end
of period ................. $226,699,238 $211,756,952 $624,821,048 $650,136,137 $208,465,654 $224,390,000
============ ============ ============ ============ ============ ============
Undistributed net
investment income ......... $ 6,081,059 $ 5,427,633 $ 26,584,959 $ 26,460,562 $ 10,062,867 $ 10,622,367
============ ============ ============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
17
<PAGE> 48
<TABLE>
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
CAPITAL GROWTH
STRATEGIC GLOBAL BOND TRUST
BOND GOVERMNENT BOND (FORMERLY, THE CAPITAL
TRUST TRUST GROWTH BOND FUND)
----------------------------- ----------------------------- ---------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
12/31/96 12/31/95 12/31/96 12/31/95 12/31/96 12/31/95
------------- ------------- ------------- ------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income ...... $ 13,698,379 $ 8,675,011 $ 15,386,752 $ 15,004,711 $ 2,636,414 $ 2,541,376
Net realized gain (loss) on:
Investment transactions .... 5,399,944 653,754 9,598,508 3,183,386 (211,323) 677,362
Foreign currency and
forward foreign
currency contracts ........ 748,978 827,091 3,414,227 5,204,326 -- --
Change in unrealized
appreciation
(depreciation) on:
Investments ............... 3,229,720 7,494,670 1,954,903 21,692,894 (1,348,717) 4,016,399
Foreign currency and
forward foreign
currency contracts ....... (94,693) (60,522) (417,584) 662,786 -- --
------------ ------------ ------------ ------------ ----------- -----------
Net increase in net
assets resulting from
operations ................ 22,982,328 17,590,004 29,936,806 45,748,103 1,076,374 7,235,137
Distribution to
shareholders from:
Net investment income ..... (10,621,746) (4,125,434) (21,062,640) (11,483,093) (2,638,011) (2,545,873)
Net realized gains on
investments and foreign
currency transactions .... -- -- -- -- -- (425,137)
Increase (decrease) in net
assets from capital share
transactions (Note 4) ..... 86,212,723 24,806,640 5,676,210 {7,534,746) 4,261,280 4,811,746
------------ ------------ ------------ ------------ ----------- -----------
Increase in net assets ..... 98,573,305 38,271,210 14,550,376 26,730,264 2,699,643 9,075,873
Net assets at beginning
of period ................. 122,704,176 84,432,966 235,422,934 208,512,670 42,693,786 33,617,913
------------ ------------ ------------ ------------ ----------- -----------
Net assets at end
of period ................. $221,277,481 $122,704,176 $249,793,310 $235,242,934 $45,393,429 $42,693,786
============ ============ ============ ============ =========== ===========
Undistributed net
investment income ......... $ 14,378,392 $ 10,644,655 $ 19,668,247 $ 20,496,692 -- $ 1,597
============ ============ ============ ============ =========== ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE> 49
<TABLE>
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Investment U.S. Government Money
Quality Bond Securities Market
Trust Trust Trust
----------------------------- ---------------------------- ----------------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
12/31/96 12/31/95 12/31/96 12/31/95 12/31/96 12/31/95
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income ....... $ 10,291,383 $ 8,486,217 $ 13,679,653 $ 12,842,712 $ 15,645,674 $ 14,438,470
Net realized gain (loss) on
investment transactions..... 1,165,169 934,173 (464,497) 6,615,440 --- ---
Change in unrealized
appreciation
(depreciation) on
investments ................ (7,470,195) 12,443,229 (6,682,550) 9,054,850 --- ---
------------ ------------ ------------ ------------ ------------ ------------
Net increase in net
assets resulting from
operations ................. 3,986,357 21,863,619 6,532,606 28,513,002 15,645,674 14,438,470
Distribution to
shareholders from net
investment income .......... (8,478,262) (7,077,320) (12,847,931) (11,856,226) (15,645,674) (14,438,470)
Increase (decrease) in net
assets from capital share
transactions (Note 4) ...... 14,350,133 16,892,949 (6,420,478) 11,318,295 105,448,834 (18,556,843)
------------ ------------ ------------ ------------ ------------ ------------
Increase (decrease)
in net assets .............. 9,858,228 31,679,248 (12,735,803) 27,975,071 105,448,834 (18,556,843)
Net assets at beginning
of period .................. 143,102,604 111,423,356 216,788,419 188,813,348 258,116,963 276,673,806
------------ ------------ ------------ ------------ ------------ ------------
Net assets at end
of period .................. $152,960,832 $143,102,604 $204,052,616 $216,788,419 $363,565,797 $258,116,963
============ ============ ============ ============ ============ ============
Undistributed net
investment income .......... $ 10,356,725 $ 8,478,262 $ 13,081,027 $ 12,847,931 --- ---
============ ============ ============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
19
<PAGE> 50
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Pacific Rim Emerging Markets Trust
(formerly, the Pacific Rim Emerging Markets Fund)
--------------------------------------------------------
Years Ended December 31, 10/04/94*
------------------------------ to
1996 1995 12/31/94
-------- -------- --------
<S> <C> <C> <C>
Net asset value, beginning
of period ........................................ $ 10.36 $ 9.41 $10.00
Income from investment operations:
- ----------------------------------
Net investment income ........................... 0.07 0.12 0.04
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions .................................. 0.94 0.96 (0.59)
------- ------- ------
Total from investment
operations ............................. 1.01 1.08 (0.55)
Less distributions:
- -------------------
Dividends from net investment income ............ (0.07) (0.09) (0.04)
Dividends in excess of net investment income .... (0.01) -- --
Distributions from capital gains ................ (0.39) (0.04) --
------- ------- ------
Total distributions ..................... (0.47) (0.13) (0.04)
------- ------- ------
Net asset value, end of period .................... $ 10.90 $ 10.36 $ 9.41
------- ------- ------
Total return ............................ 9.81% 11.47% (5.63%)+
Net assets, end of period (000's) ................. $23,241 $13,057 $7,657
Ratio of operating expenses to
average net assets ............................... 1.50% 1.50% 1.50%(A)
Ratio of net investment income to
average net assets ............................... 0.78% 1.01% 1.84%(A)
Portfolio turnover rate ........................... 48% 55% 0%
Average commission rate per share (B) ............. $ 0.015 N/A N/A
<FN>
- -------------------------------
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is required to disclose its average commission
rate per share of all security trades on which commissions are charged. In certain foreign markets the relationship
between the translated U.S. dollar price per share and commission paid per share may vary from that of domestiic
markets.
</TABLE>
The accompanying notes are an integral part of the financial statements.
20
<PAGE> 51
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<CAPTION>
International Small Cap Trust
-----------------------------
03/04/96*
to
12/31/96
-----------------------------
<S> <C>
Net asset value, beginning
of period .................................. $ 12.50
Income from investment operations:
- ----------------------------------
Net investment income ..................... 0.06
Net realized and unrealized gain
on investments and foreign currency
transactions ............................ 1.09
-------
Total from investment
operations ....................... 1.15
Less distributions:
- -------------------
Dividends from net investment income ...... (0.05)
-------
Net asset value, end of period .............. $ 13.60
=======
Total return ...................... 9.20%+
Net assets, end of period (000's) ........... $97,218
Ratio of operating expenses to
average net assets ......................... 1.29%(A)
Ratio of net investment income to
average net assets ......................... 0.93%(A)
Portfolio turnover rate ..................... 50%(A)
Average commission rate per share (B) ....... $ 0.015
<FN>
- ----------------------------
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is required
to disclose its average commission rate per share of all security trades on
which commissions are charged. In certain foreign markets the relationship
between the translated U.S. dollar price per share and commission paid per
share may vary from that of domestic markets.
</TABLE>
The accompanying notes are an integral part of the financial statements.
21
<PAGE> 52
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Emerging Growth Trust
(formerly, the Emerging Growth Equity Fund)
------------------------------------------------------------------------------------------
Years Ended December 31,
------------------------------------------------------------------------------------------
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ............................. $ 23.10 $ 18.55 $ 19.42 $ 17.76 $ 16.18 $ 9.95 $12.20 $ 8.75 $ 7.61 $10.45
Income from investment operations:
- ----------------------------------
Net investment income (loss) .......... 0.03 0.03 0.01 (0.01) (0.02) --- 0.17 0.20 0.14 0.01
Net realized and unrealilzed gain
(loss) on investments ................ 1.01 5.10 (0.81) 4.16 3.51 7.08 (1.98) 3.46 1.16 0.18
-------- -------- ------- ------- ------- ------ ------ ------ ------ ------
Total from investment operations ... 1.04 5.13 (0.80) 4.15 3.49 7.08 (1.81) 3.66 1.30 0.19
Less distributions:
- -------------------
Dividends from net investment income .. (0.06) (0.01) --- --- --- --- (0.17) (0.21) (0.12) (0.01)
Distributions from capital gains ...... (3.48) (0.57) (0.07) (2.49) (1.91) (0.85) (0.27) --- (0.04) (3.02)
-------- -------- ------- ------- ------- ------ ------ ------ ------ ------
Total distributions ................. (3.54) (0.58) (0.07) (2.49) (1.91) (0.85) (0.44) (0.21) (0.16) (3.03)
-------- -------- ------- ------- ------- ------ ------ ------ ------ ------
Net asset value, end of period ......... $ 20.60 $ 23.10 $ 18.55 $ 19.42 $ 17.76 $16.18 $ 9.95 $12 20 $ 8.75 $ 7.61
Total return ........................ 5.02% 27.75% (4.10%) 23.89% 21.82% 71.34% (14.90%) 42.19% 16.94% (4.91%)
Net assets, end of period (000's) ...... $191,512 $162,426 $97,379 $55,767 $18,504 $9,822 $4,139 $3,855 $2,686 $2,017
Ratio of operating expenses to
average net assets .................... 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50%
Ratio of net investment income (loss) to
average net assets .................... 0.16% 0.16% (0.07%) (0.04%) (0.14%) 0.02% 1.55% 1.95% 1.54% 0.06%
Portfolio turnover rate ................ 168% 145% 69% 93% 127% 88% 101% 116% 190% 197%
Average commission rate per share(A).... $ 0.060 N/A N/A N/A N/A N/A N/A N/A N/A N/A
<FN>
- ------------------------
(A) For fiscal years beginning on or after September 1, 1995, a fund is required to disclose its average commission rate per share
of all security trades on which commissions are charged.
</TABLE>
The accompanying notes are an integral part of the financial statements.
22
<PAGE> 53
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<CAPTION>
Small/Mid Cap Trust
-----------------------------
03/04/96*
to
12/31/96
-----------------------------
<S> <C>
Net asset value, beginning
of period .................................. $ 12.50
Income from investment operations:
- ----------------------------------
Net investment loss ....................... (0.00)
Net realized and unrealized gain
on investments............................ 0.87
--------
Total from investment
operations ....................... 0.87
Net asset value, end of period .............. $ 13.37
========
Total return ...................... 6.96%+
Net assets, end of period (000's) ........... $176,062
Ratio of operating expenses to
average net assets ......................... 1.10%(A)
Ratio of net investment loss to
average net assets ......................... (0.02)%(A)
Portfolio turnover rate ..................... 67%(A)
Average commission rate per share (B) ....... $ 0.069
<FN>
- ----------------------------
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is required
to disclose its average commission rate per share of all security trades on
which commissions are charged.
</TABLE>
The accompanying notes are an integral part of the financial statements.
23
<PAGE> 54
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
International Stock Trust
(formerly, the International Fund)
--------------------------------------------------------
Years Ended December 31, 10/04/94*
------------------------------ to
1996 1995 12/31/94
-------- -------- --------
<S> <C> <C> <C>
Net asset value, beginning
of period ........................................ $ 10.67 $ 9.82 $ 10.00
Income from investment operations:
- ----------------------------------
Net investment income ........................... 0.10 0.13 0.02
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions .................................. 1.01 0.98 (0.18)
------- ------- -------
Total from investment
operations ............................. 1.11 1.11 (0.16)
Less distributions:
- -------------------
Dividends from net investment income ............ (0.09) (0.13) (0.02)
Dividends in excess of net investment income .... (0.01) -- --
Distributions from capital gains ................ (0.21) (0.13) --
------- ------- -------
Total distributions ..................... (0.31) (0.26) (0.02)
------- ------- -------
Net asset value, end of period .................... $ 11.47 $ 10.67 $ 9.82
------- ------- -------
Total return ............................ 10.45% 11.28% (1.54%)+
Net assets, end of period (000's) ................. $33,143 $19,048 $11,290
Ratio of operating expenses to
average net assets ............................... 1.35% 1.35% 1.35%(A)
Ratio of net investment income to
average net assets ............................... 1.05% 1.49% 1.31%(A)
Portfolio turnover rate ........................... 43% 61% 0%
Average commission rate per share (B) ............. $ 0.016 N/A N/A
<FN>
- -------------------------------
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is required to disclose its average commission
rate per share of all security trades on which commissions are charged. In certain foreign markets the relationship
between the translated U.S. dollar price per share and commission paid per share may vary from that of domestic
markets.
</TABLE>
The accompanying notes are an integral part of the financial stalements.
24
<PAGE> 55
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Global Equity Trust
------------------------------------------------------------------------------------------
Years Ended December 31, 03/18/88*
----------------------------------------------------------------------------- to
1996 1995 1994 1993 1992 1991 1990 1989 12/31/88
---- ---- ---- ---- ---- ---- ---- ---- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ............................. $ 16.10 $ 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)........ 0.12 0.29 0.05 0.12 0.10 0.16 0.12 0.10 (0.05)
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ...... 1.89 0.84 0.22 3.79 (0.19) 1.23 (1.41) 2.32 0.17
-------- -------- -------- -------- -------- ------- ------- ------- ------
Total from investment operations .. 2.01 1.13 0.27 3.91 (0.09) 1.39 (1.29) 2.42 0.12
Less distributions:
- -------------------
Dividends from net investment income .. (0.27) (0.08) (0.02) (0.18) (0.15) (0.15) (0.04) --- ---
Distributions from capital gains ...... --- (0.69) (0.24) --- --- --- (0.24) --- ---
-------- -------- -------- -------- -------- ------- ------- ------- ------
Total distributions ............... (0.27) (0.77) (0.26) (0.18) (0.15) (0.15) (0.28) --- ---
-------- -------- -------- -------- -------- ------- ------- ------- ------
Net asset value, end of period ......... $ 17.84 $ 16.10 $ 15.74 $ 15.73 $ 12.00 $ 12.24 $ 11.00 $ 12.57 $10.15
Total return ...................... 12.62% 7.68% 1.74% 32.89% (0.72)% 12.80% (10.43%) 23.84% (1.20%)
Net assets, end of period (000's) ...... $726,842 $648,183 $616,138 $377,871 $116,731 $89.003 $63,028 $26,223 $2,143
======== ======== ======== ======== ======== ======= ======= ======= ======
Ratio of operating expenses to
average net assets(C).................. 1.01% 1.05% 1.08% 1.16% 1.16% 1.23% 1.28% 1.62% 3.98%(A)
Ratio of net investment income (loss) to
average net assets .................... 0.78% 0.61% (0.44%) (0.77%) (1.12%) 1.47% 1.97% 1.82% (1.71%)A)
Portfolio turnover rate ................ 169% 63% 52% 52% 69% 74% 67% 109% 81%(A)
Average commission rate per share (D) .. $ 0.015 N/A N/A N/A N/A N/A N/A N/A N/A
<FN>
- --------------------------------
* Commencement of operations.
+ Non-annualized
(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.
(D) For fiscal years beginning on or after September 1, 1995, a fund is required to disclose its average commission rate per share
of all security trades on which commissions are charged. In certain foreign markets the relationship between the translated
U.S. dollar price per share and commission paid per share may vary from that of domestic markets.
</TABLE>
The accompanying notes are an integral part of the financial statements.
25
<PAGE> 56
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<CAPTION>
Growth Trust
-----------------------------
07/15/96*
to
12/31/96
-----------------------------
<S> <C>
Net asset value, beginning
of period .................................. $ 12.50
Income from investment operations:
- ----------------------------------
Net investment income ..................... 0.09
Net realized and unrealized gain
on investments and foreign currency
transactions ............................ 1.23
-------
Total from investment
operations ....................... 1.32
Less Distributions:
- ------------------
Dividends from net investment income ...... (0.09)
-------
Net asset value, end of period .............. $ 13.73
=======
Total return ...................... 10.53%+
Net assets, end of period (000's) ........... $56,807
Ratio of operating expenses to
average net assets ......................... 1.10%(A)
Ratio of net investment income to
average net assets ......................... 2.57%(A)
Portfolio turnover rate ..................... 215%(A)
Average commission rate per share (B) ....... $ 0.048
<FN>
- ----------------------------
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is required
to disclose its average commission rate per share of all security trades on
which commissions are charged.
</TABLE>
The accompanying notes are an integral part of the financial statements.
26
<PAGE> 57
NASL SERIES TRUST
<TABLE>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
EQUITY TRUST
------------------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
------------------------------------------------------------------------------------------------
1996 1995 1994 1993** 1992 1991 1990 1989 1988 1987
---------- -------- -------- -------- -------- ------- ------- ------- -------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ...................... $ 20.79 $ 14.66 $ 15.57 $ 13.97 $ 13.12 $ 11.33 $ 19.14 $ 15.17 $ 12.57 $ 13.01
Income from investment operations:
- ---------------------------------
Net investment income (A) ..... 0.13 0.10 0.11 0.07 0.64 0.14 0.24 0.29 0.15 0.19
Net realized and unrealized
gain (loss) on investments
and foreign currency
transactions ................ 3.77 6.14 (0.18) 2.11 0.38 1.88 (1.95) 3.87 2.45 0.97
---------- -------- -------- -------- -------- ------- ------- ------- -------- -------
Total from investment
operations ................. 3.90 6.24 (0.07) 2.18 1.02 2.02 (1.71) 4.16 2.60 1.16
Less distributions:
------------------
Dividends from net investment
income ...................... (0.09) (0.11) (0.05) (0.58) (0.17) (0.23) (0.29) (0.12) -- (0.14)
Distributions from capital
gains ....................... (1.98) -- (0.79) -- -- -- (5.81) (0.07) -- (1.46)
---------- -------- -------- -------- -------- ------- ------- ------- -------- -------
Total distributions ......... (2.07) (0.11) (0.84) (0.58) (0.17) (0.23) (6.10) (0.19) -- (1.60)
---------- -------- -------- -------- -------- ------- ------- ------- -------- -------
Net asset value, end of period .. $ 22.62 $ 20.79 $ 14.66 $ 15.57 $ 13.97 $ 13.12 $ 11.33 $ 19.14 $ 15.17 $ 12.57
========== ======== ======== ======== ======== ======= ======= ======= ======== =======
Total return ................. 20.14% 42.79% (0.53)% 16.31% 7.93% 17.94% (11.79)% 27.70% 20.71% 6.87%
Net assets, end of period
(000's)........................ $1,345,461 $988,800 $534,562 $387,842 $192,626 $88,235 $36,564 $32,108 $133,852 $37,001
Ratio of operating expenses to
average net assets (B) ........ 0.80% 0.80% 0.84% 0.88% 0.95% 0.89% 0.97% 1.02% 1.08% 1.15%
Ratio of net investment income
to average net assets .......... 0.71% 0.63% 0.88% 0.50% 7.31% 2.23% 2.74% 1.90% 1.80% 1.33%
Portfolio turnover rate ......... 223% 88% 132% 173% 782% 172% 95% 111% 49% 64%
Average commission rate
per share (C) ................. $ 0.043 N/A N/A N/A N/A N/A N/A N/A N/A N/A
- ----------
<FN>
** Net investment income per share was calculated using the average shares method for fiscal year 1993.
(A) After expense reimbursement per share of $0.02 in 1987.
(B) The ratio of operating expenses, before reimbursement from the investment
adviser, was 1.30% in 1987.
(C) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged.
</TABLE>
The accompanying notes are an integral part of the financial statements.
27
<PAGE> 58
NASL SERIES TRUST
<TABLE>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
QUANTITATIVE EQUITY TRUST
(FORMERLY, THE COMMON STOCK FUND)
-----------------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 04/30/87*
----------------------------------------------------------------------------------- TO
1996 1995 1994 1993 1992 1991 1990 1989 1988 12/31/87
------- ------- ------- ------- ------ ------ ------ ------ ------ --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ..................... $ 17.27 $ 13.36 $ 14.68 $ 13.73 $13.33 $10.48 $11.25 $ 8.91 $ 8.36 $9.97
Income from investment
- ----------------------
operations:
----------
Net investment income ........ 0.26 0.24 0.20 0.19 0.18 0.21 0.32 0.36 0.28 0.15
Net realized and unrealized
gain (loss) on investments
and foreign currency
transactions ............... 2.83 3.67 (0.81) 1.64 0.61 2.94 (0.77) 2.34 0.56 (1.63)
------- ------- ------- ------- ------ ------ ------ ------ ------ -----
Total from investment
operations ................ 3.09 3.91 (0.61) 1.83 0.79 3.15 (0.45) 2.70 0.84 (1.48)
Less distributions:
------------------
Dividends from net
investment income .......... (0.50) -- (0.20) (0.19) (0.18) (0.21) (0.32) (0.36) (0.29) (0.13)
Distributions from
capital gains .............. (2.51) -- (0.51) (0.69) (0.21) (0.09) -- -- -- --
Distributions in excess
of capital gains ........... (0.02) -- -- -- -- -- -- -- -- --
------- ------- ------- ------- ------ ------ ------ ------ ------ -----
Total distributions ........ (3.03) -- (0.71) (0.88) (0.39) (0.30) (0.32) (0.36) (0.29) (0.13)
------- ------- ------- ------- ------ ------ ------ ------ ------ -----
Net asset value, end of
period ....................... $ 17.33 $ 17.27 $ 13.36 $ 14.68 $13.73 $13.33 $10.48 $11.25 $ 8.91 $8.36
======= ======= ======= ======= ====== ====== ====== ====== ====== =====
Total return ............... 17.92% 29.23% (4.19%) 13.39% 6.07% 30.18% (4.06%) 30.66% 9.86% (14.95%)+
Net assets, end of
period (000's) ............... $91,900 $60,996 $34,829 $21,651 $9,708 $5,480 $2,872 $2,138 $1,176 $ 945
Ratio of operating expenses
to average net assets ........ 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50%(A)
Ratio of net investment
income to average net
assets ....................... 1.81% 1.76% 1.53% 1.39% 1.51% 1.78% 3.06% 3.48% 3.16% 2.28%(A)
Portfolio turnover rate ........ 105% 109% 85% 88% 48% 53% 121% 121% 172% 55%(A)
Average commission rate
per share (B) ................ $ 0.060 N/A N/A N/A N/A N/A N/A N/A N/A N/A
- ----------
<FN>
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged.
</TABLE>
The accompanying notes are an integral part of the financial statements.
28
<PAGE> 59
NASL SERIES TRUST
<TABLE>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<CAPTION>
EQUITY INDEX TRUST
(FORMERLY, THE EQUITY INDEX FUND)
-------------------------------
02/14/96*
TO
12/31/96
-------------------------------
<S> <C>
Net asset value, beginning
of period ............................................ $10.00
Income from investment operations:
- ----------------------------------
Net investment income ................................ 0.19
Net realized and unrealized gain
on investments ..................................... 1.29
----
Total from investment operations ................ 1.48
Less distributions:
- -------------------
Dividends from net investment income ................. (0.19)
Distributions from capital gains ..................... (0.21)
Distributions in excess of capital gains ............. (0.39)
------
Total distributions ............................. (0.79)
Net asset value, end of period ......................... $10.69
======
Total return .................................... 14.86%+
Net assets, end of period (000's) ...................... $7,818
Ratio of operating expenses to
average net assets ................................... 0.40%(A)
Ratio of net investment income to
average net assets ................................... 4.74%(A)
Portfolio turnover rate ................................ 27%(A)
Average commission rate per share (B) .................. $0.041
- ----------
<FN>
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged.
</TABLE>
The accompanying notes are an integral part of the financial statements.
29
<PAGE> 60
NASL SERIES TRUST
<TABLE>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
BLUE CHIP GROWTH TRUST
(FORMERLY, THE PASADENA GROWTH TRUST)
-------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 12/11/92*
----------------------------------------------------- TO
1996 1995 1994 1993 12/31/92
-------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period .................. $ 11.40 $ 9.05 $ 9.55 $ 9.93 $ 10.00
Income from investment operations:
- ---------------------------------
Net investment income (B) ............................. 0.03 0.03 0.04 0.05 0.00
Net realized and unrealized gain
(loss) on investments ............................... 2.92 2.36 (0.50) (0.42) (0.07)
-------- -------- -------- -------- -------
Total from investment operations .............. 2.95 2.39 (0.46) (0.37) (0.07)
Less distributions:
- ------------------
Dividends from net investment income .................. (0.04) (0.04) (0.04) (0.01) --
-------- -------- -------- -------- -------
Total distributions ................................ (0.04) (0.04) (0.04) (0.01) --
-------- -------- -------- -------- -------
Net asset value, end of period ........................ $ 14.31 $ 11.40 $ 9.05 $ 9.55 $ 9.93
======== ======== ======== ======== =======
Total return ................................... 25.90% 26.53% (4.80%) (3.80%) (0.70%)+
Net assets, end of period (000's) ..................... $422,571 $277,674 $151,727 $104,966 $31,118
Ratio of operating expenses to
average net assets (C) .............................. 0.975% 0.975% 0.975% 0.975% 1.06%(A)
Ratio of net investment income to
average net assets .................................. 0.26% 0.42% 0.65% 0.75% 1.04%(A)
Portfolio turnover rate ............................... 159% 57% 33% 12% 0%(A)
Average commission rate per share (D) ................. $ 0.049 N/A N/A N/A N/A
- ----------
<FN>
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) After investment adviser and subadviser expense reimbursement per share of
$0.006, $0.004, $0.006 and $0.01 for the years ended December 31, 1996,
1995, 1994 and 1993, respectively.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser and subadviser, was 1.02%, 1.03%, 1.06% and 1.09% for the years
ended December 31, 1996, 1995, 1994 and 1993, respectively.
(D) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged.
</TABLE>
The accompanying notes are an integral part of the financial statements.
30
<PAGE> 61
NASL SERIES TRUST
<TABLE>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
REAL ESTATE SECURITIES TRUST
(FORMERLY, THE REAL ESTATE SECURITIES FUND)
---------------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 04/30/87*
----------------------------------------------------------------------------------- TO
1996 1995 1994 1993 1992 1991 1990 1989 1988 12/31/87
------- ------- ------- ------- ------ ------ ------ ------ ------ --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period....................... $ 15.10 $ 13.34 $ 14.07 $ 12.75 $10.92 $ 8.16 $ 9.24 $ 9.12 $ 8.76 $10.02
Income from investment operations:
- ----------------------------------
Net investment income........... 0.74 0.67 0.55 0.47 0.45 0.53 0.67 0.68 0.70 0.48
Net realized and unrealized gain
(loss) on investments......... 4.31 1.35 (0.93) 2.38 1.83 2.76 (1.09) 0.15 0.37 (1.30)
------- ------- ------- ------- ------ ------ ------ ------ ------ ------
Total from investment
operations.................. 5.05 2.02 (0.38) 2.85 2.28 3.29 (0.42) 0.83 1.07 (0.82)
Less distributions:
- ------------------
Dividends from net
investment income............. (1.39) (0.26) (0.27) (0.47) (0.45) ( 0.53) (0.66) (0.71) (0.71) (0.44)
Distributions from capital
gains......................... (1.77) -- (0.08) (1.06) -- -- -- -- -- --
Distributions in excess
of capital gains.............. (0.04) -- -- -- -- -- -- -- -- --
------- ------- ------- ------- ------ ------ ------ ------ ------ ------
Total distributions........... (3.20) (0.26) (0.35) (1.53) (0.45) (0.53) (0.66) (0.71) (0.71) (0.44)
------- ------- ------- ------- ------ ------ ------ ------ ------ ------
Net asset value, end of period.... $ 16.95 $ 15.10 $ 13.34 $ 14.07 $12.75 $10.92 $ 8.16 $ 9.24 $ 9.12 $ 8.76
======= ======= ======= ======= ====== ====== ====== ====== ====== ======
Total return.................. 34.69% 15.14% (2.76)% 22.61% 21.29% 41.10% (4.53)% 9.23% 11.72% (13.19)%+
Net assets, end of period (000's). $76,220 $52,440 $42,571 $24,106 $7,273 $4,120 $2,774 $2,874 $2,490 $2,006
Ratio of operating expenses
to average net assets........... 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50%(A)
Ratio of net investment income to
average net assets.............. 5.22% 5.06% 4.26% 3.93% 4.13% 5.40% 7.74% 7.29% 7.18% 7.34%(A)
Portfolio turnover rate........... 231% 136% 36% 143% 71% 40% 24% 15% 23% 10%(A)
Average commission rate
per share (B)................... $ 0.059 N/A N/A N/A N/A N/A N/A N/A N/A N/A
- ----------
<FN>
* Commencement of operations
+ Non-annualized
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged. In certain foreign markets the
relationship between the translated U.S. dollar price per share and
commission paid per share may vary from that of domestic markets.
</TABLE>
The accompanying notes are an integral part of the financial statements.
31
<PAGE> 62
NASL SERIES TRUST
<TABLE>
FINANCIAL HIGHLIGHTS {FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -----------------------------------------------------------------------------------------
<CAPTION>
INTERNATIONAL GROWTH AND INCOME TRUST
-------------------------------------
YEAR 01/09/95*
ENDED TO
12/31/96 12/31/95
-------- ---------
<S> <C> <C>
Net asset value, beginning
of period ............................................ $ 10.47 $ 10.00
Income from investment operations:
- ---------------------------------
Net investment income ................................ 0.17 0.11
Net realized and unrealized gain
on investments and foreign currency
transactions ......................................... 1.15 0.59
---- ----
Total from investment
operations ................................... 1.32 0.70
Less distributions:
- ------------------
Dividends from net investment income ................. (0.02) (0.12)
Distributions from capital gains ..................... -- (0.11)
-------- -------
Total distributions ............................ (0.02) (0.23)
-------- -------
Net asset value, end of period ......................... $ 11.77 $ 10.47
======== =======
Total return ................................... 12.61% 6.98%+
Net assets, end of period (000's) ...................... $189,010 $88,638
Ratio of operating expenses to
average net assets ................................... 1.11% 1.47%(A)
Ratio of net investment income to
average net assets ................................... 1.82% 0.71%(A)
Portfolio turnover rate ................................ 148% 112%(A)
Average commission rate per share (B) .................. $0.028 N/A
- ----------
<FN>
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged. In certain foreign markets the
relationship between the translated U.S. dollar price per share and commission
paid per share may vary from that of domestic markets.
</TABLE>
The accompanying notes are an integral part of the financial statements.
32
<PAGE> 63
NASL SERIES TRUST
<TABLE>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH AND INCOME TRUST
--------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 04/23/91*
-------------------------------------------------------------- TO
1996 1995 1994 1993 1992 12/31/91
---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ................................. $ 16.37 $ 13.04 $ 13.05 $ 12.10 $ 11.08 $ 10.00
Income from investment operations:
- ---------------------------------
Net investment income ..................... 0.22 0.27 0.25 0.17 0.20 0.13
Net realized and unrealized gain
on investments and foreign currency
transactions ............................ 3.41 3.45 0.11 0.98 0.92 0.95
---------- -------- -------- -------- -------- -------
Total from investment operations ...... 3.63 3.72 0,36 1,15 1.12 1.08
Less distributions:
- ------------------
Dividends from net investment income ...... (0.26) (0.26) (0.19) (0.18) (0.10) --
Distributions from capital gains .......... (0.36) (0.13) (0.18) (0.02) -- --
---------- -------- -------- -------- -------- -------
Total distributions ................... (0.62) (0.39) {0.37) (0.20) (0.10) --
---------- -------- -------- -------- -------- -------
Net asset value, end of period .............. $ 19.38 $ 16.37 $ 13.04 $ 13.05 $ 12.10 $ 11.08
Total return .......................... 22.84% 29.20% 2.85% 9.62% 10.23% 10.80%+
Net assets, end of period (000's) ........... $1,033,738 $669,387 $409,534 $288,765 $130,984 $57,404
Ratio of operating expenses to
average net assets ........................ 0.80% 0.80% 0.82% 0.85% 0.85% 0.98%(A)
Ratio of net investment income to
average net assets ........................ 1.56% 2.23% 2.40% 2.29% 2.78% 2.92%(A)
Portfolio turnover rate ..................... 49% 39% 42% 39% 44% 62%(A)
Average commission rate per share (B) ....... $ 0.055 N/A N/A N/A N/A N/A
- ----------
<FN>
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged.
</TABLE>
The accompanying notes are an integral part of the financial statements.
33
<PAGE> 64
NASL SERIES TRUST
<TABLE>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
EQUITY-INCOME TRUST
(FORMERLY, THE VALUE EQUITY TRUST)
-------------------------------------------------------------
YEARS ENDED DECEMBER 31, 02/19/93*
-------------------------------------------- TO
1996 1995 1994** 12/31/93
-------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ..................................... $ 13.81 $ 11.33 $ 11.31 $ 10.O0
INCOME FROM INVESTMENT OPERATIONS:
- ---------------------------------
Net investment income ........................... 0.21 0.17 0.12 0.07
Net realized and unrealized gain
(loss) on investments ......................... 2.39 2.49 (0.03) 1.24
-------- -------- -------- --------
Total from investment
operations ............................. 2.60 2.66 0.09 1.31
LESS DISTRIBUTIONS:
- ------------------
Dividends from net investment income ............ (0.16) (0.08) (0.05) --
Distributions from capital gains ................ (0.84) (0.10) (0.02) --
-------- -------- -------- --------
Total distributions .................... (1.00) (0.18) (0.07) --
-------- -------- -------- --------
Net asset value, end of period .................. $ 15.41 $ 13.81 $ 11.33 $ 11.31
======== ======== ======== ========
Total return ........................... 19.85% 23.69% 0.79% 13.10%+
Net assets, end of period (000's) ............... $599,486 $396,827 $221,835 $86,472
Ratio of operating expenses to
average net assets ............................ 0.85% 0.85% 0.87% 0.94%(A)
Ratio of net investment income to
average net assets ............................ 1.78% 1.63% 1.08% 1.30%(A)
Portfolio turnover rate ......................... 158% 52% 26% 33%(A)
Average commission rate per share (B) ........... $ 0.052 N/A N/A N/A
- ----------
<FN>
* Commencement of operations.
** Net investment income per share was calculated using the average shares
method for fiscal year 1994.
+ Non-annualized
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged.
</TABLE>
The accompanying notes are an integral part of the financial statements.
34
<PAGE> 65
NASL SERIES TRUST
<TABLE>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
BALANCED TRUST
(FORMERLY, THE BALANCED ASSETS FUND)
------------------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
------------------------------------------------------------------------------------------------
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
-------- -------- ------- ------- ------- ------- ------- ------- ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ................ $ 17.15 $ 13.77 $ 15.18 $ 14.52 $ 14.51 $12.35 $ 12.87 $ 11.22 $11.09 $14.11
Income from investment
- ----------------------
operations:
- ----------
Net investment income .... 0.57 0.53 0.48 0.44 0.51 0.60 0.69 0.75 0.61 0.56
Net realized and
unrealized gain (loss)
on investments ......... 1.20 2.87 (1.11) 1.29 0.37 2.22 (0.50) 1.61 0.22 (0.28)
Total from investment
operations ......... 1.77 3.40 (0.63) 1.73 0.88 2.82 0.19 2.36 0.83 0.28
Less distributions:
- ------------------
Dividends from net
investment income ...... (1.09) (0.02) (0.48) (0.44) (0.51) (0.60) (0.71) (0.71) (0.67) {0.67)
Distributions from
capital gains .......... (1.41) -- (0.30) (0.63) (0.36) (0.06) -- -- (0.03) (2.63)
Distributions in excess
of capital gains ....... (0.01) -- -- -- -- -- -- -- -- --
-------- -------- ------- ------- ------- ------- ------- ------- ------ ------
Total distributions ... (2.51) (0.02) (0.78) (1.07) (0.87) (0.66) (0.71) (0.71) (0.70) (3.30)
-------- -------- ------- ------- ------- ------- ------- ------- ------ ------
Net asset value,
end of period ............ $ 16.41 $ 17.15 $ 13.77 $ 15.18 $ 14.52 $ 14.51 $ 12.35 $ 12.87 $11.22 $11.09
======== ======== ======= ======= ======= ======= ======= ======= ====== ======
Total return .......... 10.51% 24.69% (4.15%) 11.99% 6.21% 23.36% 1.62% 21.33% 7.61% (3.11)%
Net assets, end
of period (000's) ........ $134,807 $110,761 $74,737 $58,156 $27,733 $18,515 $12,733 $10,412 $8,000 $7,874
Ratio of operating
expenses to average
net assets ............... 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50%
Ratio of net
investment income to
average net assets ....... 3.65% 3.65% 3.37% 3.08% 3.75% 4.52% 5.71% 6.06% 5.42% 3.60%
Portfolio turnover rate .... 81% 99% 86% 97% 76% 42% 116% 131% 132% 127%
Average commission rate
per share (A) ............ $ 0.060 N/A N/A N/A N/A N/A N/A N/A N/A N/A
- ----------
<FN>
(A) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged.
</TABLE>
The accompanying notes are an integral part of the financial statements.
35
<PAGE> 66
NASL SERIES TRUST
<TABLE>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE ASSET ALLOCATION TRUST
----------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 08/03/89*
------------------------------------------------------------------------- TO
1996 1995 1994 1993 1992 1991 1990 12/31/89
-------- -------- -------- -------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .............................. $ 12.85 $ 11.17 $ 12.03 $ 11.25 $ 10.72 $ 9.08 $ 9.88 $ 10.00
Income from investment operations:
- ---------------------------------
Net investment income .................. 0.36 0.35 0.31 0.34 0.30 0.36 0.36 0.08
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ........ 1.21 2.07 (0.41) 0.79 0.55 1.69 (1.07) (0.20)
Total from investment operations . 1.57 2.42 (0.10) 1.13 0.85 2.05 (0.71) (0.12)
Less distributions:
- ------------------
Dividends from net investment income ... (0.33) (0.33) (0.31) (0.30) (0.32) (0.41) (0.07) --
Distributions from capital gains ....... (0.64) (0.41) (0.45) (0.05) -- -- (0.02) --
-------- -------- -------- -------- -------- -------- ------- -------
Total distributions ................. (0.97) (0.74) (0.76) (0.35) (0.32) (0.41) (0.09) --
-------- -------- -------- -------- -------- -------- ------- -------
Net asset value1 end of period ........... $ 13.45 $ 12.85 $ 11.17 $ 12.03 $ 11.25 $ 10.72 $ 9.08 $ 9.88
======== ======== ======== ======== ======== ======== ======= =======
Total return ........................ 13.00% 22.77% (0.69%) 10.30% 8.24% 22.96% (7.27%) (1.20%)+
Net assets, end of period (000's) ........ $226,699 $211,757 $184,662 $174,448 $151,627 $124,632 $91,581 $87,301
Ratio of operating expenses to
average net assets ..................... 0.90% 0.91% 0.89% 0.86% 0.89% 0.88% 0.78% 0.89%(A)
Ratio of net investment income to
average net assets ..................... 2.73% 2.76% 2.90% 2.96% 3.08% 3.63% 4.08% 3.32%(A)
Portfolio turnover rate .................. 75% 111% 136% 92% 123% 172% 82% 22%(A)
Average commission rate per share (B) .... $0.025 N/A N/A N/A N/A N/A N/A N/A
- ----------
<FN>
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged. In certain foreign markets the
relationship between the translated U.S. dollar price per share and
commission paid per share may vary from that of domestic markets.
</TABLE>
The accompanying notes are an integral part of the financial statements.
36
<PAGE> 67
NASL SERIES TRUST
<TABLE>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
MODERATE ASSET ALLOCATION TRUST
----------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 08/03/89*
------------------------------------------------------------------------- TO
1996 1995 1994 1993 1992 1991 1990 12/31/89
-------- -------- -------- -------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ............................ $ 12.39 $ 10.79 $ 11.76 $ 11.14 $ 10.72 $ 9.29 $ 10.03 $ 10.00
Income from investment operations:
- ---------------------------------
Net investment income ................ 0.54 0.50 0.45 0.41 0.41 0.42 0.48 0.11
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ...... 0.60 1.65 (0.65) 0.67 0.43 1.50 (1.10) (0.08)
-------- -------- -------- -------- -------- -------- -------- --------
Total from investment operations 1.14 2.15 (0.20) 1.08 0.84 1.92 (0.62) 0.03
Less distributions:
- ------------------
Dividends from net investment income . (0.52) (0.45) (0.40) (0.39) (0.42) (0.49) (0.10) --
Distributions from capital gains ..... (0.52) (0.10) (0.37) (0.07) -- -- (0.02) --
-------- -------- -------- -------- -------- -------- -------- --------
Total distributions ............... (1.04) (0.55) (0.77) (0.46) (0.42) (0.49) (0.12) --
-------- -------- -------- -------- -------- -------- -------- --------
Net asset value, end of period ......... $ 12.49 $ 12.39 $ 10.79 $ 11.76 $ 11.14 $ 10.72 $ 9.29 $ 10.03
Total return ...................... 9.96% 20.68% (1.61%) 10.06% 8.30% 21.23% (6.23%) 0.30%+
Net assets, end of period (000's) ...... $624,821 $650,136 $604,491 $644,257 $505,967 $420,074 $327,328 $318,439
Ratio of operating expenses to
average net assets ................... 0.84% 0.84% 0.85% 0.84% 0.87% 0.86% 0.73% 0.79%(A)
Ratio of net investment income to
average net assets ................... 4.17% 4.09% 4.01% 4.02% 4.21% 4.38% 5.10% 4.51%(A)
Portfolio turnover rate ................ 78% 129% 180% 135% 169% 168% 76% 41%(A)
Average commission rate per share (B) .. $ 0.027 N/A N/A N/A N/A N/A N/A N/A
- ----------
<FN>
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged. In certain foreign markets the
relationship between the translated U.S. dollar price per share and
commission paid per share may vary from that of domestic markets.
</TABLE>
The accompanying notes are an integral part of the financial statements.
37
<PAGE> 68
NASL SERIES TRUST
<TABLE>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
CONSERVATIVE ASSET ALLOCATION TRUST
----------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 08/03/89*
------------------------------------------------------------------------- TO
1996 1995 1994 1993 1992 1991 1990 12/31/89
-------- -------- -------- -------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ............................. $ 11.59 $ 10.34 $ 11.26 $ 10.78 $ 10.63 $ 9.56 $ 10.11 $ 10.00
Income from investment operations:
Net investment income ................. 0.57 0.54 0.55 0.50 0.47 0.58 0.62 0.15
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ....... 0.20 1.26 (0.76) 0.44 0.26 1.15 (1.01) (0.04)
Total from investment operations 0.77 1.80 (0.21) 0.94 0.73 1.73 (0.39) 0.11
Less distributions:
Dividends from net investment income .. (0.56) (0.55) (0.46) (0.46) (0.58) (0.66) (0.13) --
Distributions from capital gains ...... (0.16) -- (0.25) -- -- -- (0.03) --
-------- -------- -------- -------- -------- -------- -------- --------
Total distributions ................ (0.72) (0.55) (0.71) (0.46) (0.58) (0.66) (0.16) --
-------- -------- -------- -------- -------- -------- -------- --------
Net asset value, end of period .......... $ 11.64 $ 11.59 $ 10.34 $ 11.26 $ 10.78 $ 10.63 $ 9.56 $ 10.11
======== ======== ======== ======== ======== ======== ======== ========
Total return ....................... 7.03% 18.07% (1.84%) 8.99% 7.36% 18.80% (3.84%) 1.10%+
Net assets, end of period (000's) ....... $208,466 $224,390 $216,716 $250,117 $201,787 $165,167 $149,901 $141,191
Ratio of operating expenses to
average net assets .................... 0.87% 0.87% 0.87% 0.86% 0.89% 0.88% 0.76% 0.82%(A)
Ratio of net investment income to
average net assets .................... 4.59% 4.68% 4.86% 4.78% 4.99% 5.65% 6.68% 6.00%(A)
Portfolio turnover rate ................. 73% 110% 220% 170% 252% 211% 78% 85%(A)
Average commission rate per share (B) ... $ 0.028 N/A N/A N/A N/A N/A N/A N/A
- ----------
<FN>
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged. In certain foreign markets the
relationship between the translated U.S. dollar price per share and
commission paid per share may vary from that of domestic markets.
</TABLE>
The accompanying notes are an integral part of the financial statements.
38
<PAGE> 69
NASL SERIES TRUST
<TABLE>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
STRATEGIC BOND TRUST
-------------------------------------------------------------
YEARS ENDED DECEMBER 31, 02/19/93*
-------------------------------------------- TO
1996 1995 1994** 12/31/93
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Net asset value, beginning
of period $ 11.26 $ 9.91 $ 10.88 $ 10.00
Income from investment operations:
- ---------------------------------
Net investment income 0.62 0.78 0.57 0.33
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions 0.92 1.04 (1.22) 0.55
-------- -------- ------- -------
Total from investment operations 1.54 1.82 (0.65) 0.88
Less distributions:
- ------------------
Dividends from net investment income (0.86) (0.47) (0.28) --
Distributions from capital gains -- -- (0.04) --
-------- -------- ------- -------
Total distributions (0.86) (0.47) (0.32) --
-------- -------- ------- -------
Net asset value, end of period $ 11.94 $ 11.26 $ 9.91 $ 10.88
======== ======== ======= =======
Total return 14.70% 19.22% (5.99%) 8.80%+
Net assets, end of period (000's) $221,277 $122,704 $84,433 $53,640
Ratio of operating expenses
average net assets 0.86% 0.92% 0.91% 1.00%(A)
Ratio of net investment income to
average net assets 8.20% 8.76% 7.49% 6.56%(A)
Portfolio turnover rate 165% 181% 197% 356%(A)
- ----------
<FN>
* Commencement of operations.
+ Non-annualized
(A) Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
39
<PAGE> 70
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GLOBAL GOVERNMENT BOND TRUST
--------------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 03/18/88*
---------------------------------------------------------------------------- to
1996 1995 1994 1993 1992 1991 1990 1989 12/31/88
---- ---- ---- ---- ---- ---- ---- ----- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ....................... $ 14.56 $ 12.47 $ 13.93 $ 12.47 $ 12.88 $ 11.59 $ 10.50 $10.21 $10.03
INCOME FROM INVESTMENT OPERATIONS
Net investment income ........... 0.93 1.16 0.74 0.59 0.42 0.55 0.25 0.45 0.14
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ... 0.79 1.62 (1.54) 1.67 (0.16) 1.21 1.13 -- 0.04
-------- -------- -------- -------- ------- -------- -------- ------ ------
Total from investment operations 1.72 2.78 (0.80) 2.26 0.26 1.76 1.38 0.45 0.18
LESS DISTRIBUTIONS:
Dividends from net investment
income (1.31) (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 ............. (1.31) (0.69) (0.66) (0.80) (0.67) (0.47) (0.29) (0.16)
-------- -------- -------- -------- ------- -------- -------- ------ ------
Net asset value, end of period .. $ 14.97 $ 14.56 $ 12.47 $ 13.93 $ 12.47 $ 12.88 $ 11.59 $10.50 $10.21
======== ======== ======== ======== ======= ======== ======== ====== ======
Total return .................... 13.01% 23.18% (5.75%) 18.99% 2.27% 15.86% 13.49% 4.49% 1.79% +
Net assets, end of period
(000's).......................... $249,793 $235,243 $208,513 $196,817 $67,859 $ 28,251 $ 11,582 $4,065 $1,355
Ratio of operating expenses to
average net assets .............. 0.90% 0.93% 0.96% 1.06% 1.05% 1.14% 1.21% 1.50% 3.39%(A)
Ratio of net investment income
to average net assets ........... 6.38% 6.83% 6.10% 5.61% 6.71% 17.28% 6.62% 7.15% 3.74%(A)
Portfolio turnover rate ......... 167% 171% 157% 154% 132% 164% 142% 50% 234%(A)
- ----------
<FN>
Commencement of operations.
+ Non-annualized
(A) Annualized
</TABLE>
The accompanying notes are an integral part of the financial statements.
40
<PAGE> 71
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
CAPITAL GROWTH BOND TRUST
(FORMERLY, THE CAPITAL GROWTH BOND FUND)
-----------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
-----------------------------------------------------------------------------------------
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ......................... $ 11.30 $ 10.10 $ 11.33 $ 11.12 $ 11.47 $ 10.62 $ 10.82 10.32 $ 10.53 $ 13.09
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ............. 0.68 0.72 0.72 0.65 0.77 0.83 0.88 0.90 0.92 0.99
Net realized and unrealized gain
(loss) on investments ............. (0.40) 1.32 (1.22) 0.51 (0.11) 0.85 (0.21) 0.50 (0.17) (1.12)
------- ------- ------- ------- ------- ------- ------- ------ ------- -------
Total from investment operations .. 0.28 2.04 (0.50) 1.16 0.66 1.68 0.67 1.40 0.75 (0.13)
LESS DISTRIBUTIONS:
Dividends from net investment income (0.68) (0.72) (0.72) (0.65) (0.78) (0.83) (0.87) (0.90) (0.93) (1.20)
Distributions from capital gains .. -- (0.12) (0.01) (0.30) (0.23) -- -- -- (0.03) (1.23)
------- ------- ------- ------- ------- ------- ------- ------ ------- -------
Total distributions ............... (0.68) (0.84) (0.73) (0.95) (1.01) (0.83) (0.87) (0.90) (0.96) (2.43)
------- ------- ------- ------- ------- ------- ------- ------ ------- -------
Net asset value, end of period .... $ 10.90 $ 11.30 $ 10.10 $ 11.33 $ 11.12 $ 11.47 $ 10.62 $10.82 $ 10.32 $ 10.53
------- ------- ------- ------- ------- ------- ------- ------ ------- -------
Total return ...................... 2.48% 20.24% (4.49%) 10.56% 5.89% 16.38% 6.58% 13.88% 7.14% (3.04%)
Net assets, end of period (000's) . $45,393 $42,694 $33,618 $41,183 $30,695 $29,326 $24,808 $2,278 $19,732 $18,101
Ratio of operating expenses to
average net assets ................ 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50% 0.50%
Ratio of net investment income to
average net assets ................ 6.15% 6.36% 6.29% 5.69% 6.76% 7.54% 8.25% 8.34% 8.48% 8.13%
Portfolio turnover rate ........... 58% 85% 79% 95% 153% 20% 41% 69% 29% 56%
</TABLE>
The accompanying notes are an integral part of the financial statements.
41
<PAGE> 72
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
INVESTMENT QUALITY BOND TRUST
----------------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
----------------------------------------------------------------------------------------------
1996 1995 1994 1993 1992 1991** 1990 1989 1988 1987
---- ---- ---- ---- ---- ------ ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ........................ $ 12.32 $ 11.01 $ 12.12 $ 11.58 $ 11.33 $ 10.74 $ 12.37 $ 11.55 $ 10.79 $11.58
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (A) ........ 0.77 0.77 0.66 0.60 0.63 0.76 1.12 0.75 0.57 0.81
Net realized and unrealized gain
(loss) on investments ........... (0.50) 1.28 (1.23) 0.53 0.15 0.85 (1.50) 0.51 0.19 (0.50)
-------- -------- -------- ------- ------- ------- ------- ------- -------- ------
Total from
operations ................. 0.27 2.05 (0.57) 1.13 0.78 1.61 (0.38) 1.26 0.76 0.31
LESS DISTRIBUTIONS:
Dividends from net
investment income ................ (0.70) (0.74) (0.54) (0.59) (0.53) (1.02) (1.25) (0.44) -- (0.88)
Distributions from capital gains . -- -- -- -- -- -- -- -- -- (0.22)
-------- -------- -------- ------- ------- ------- ------- ------- -------- ------
Total distributions ........ (0.70) (0.74) (0.54) (0.59) (0.53) (1.02) (1.25) (0.44) -- (1.10)
-------- -------- -------- ------- ------- ------- ------- ------- -------- ------
Net asset value, end of period ... $ 11.89 $ 12.32 $ 11.01 $ 12.12 $ 11.58 $ 11.33 $ 10.74 $ 12.37 $ 11.55 $10.79
======== ======== ======== ======= ======= ======= ======= ======= ======== ======
Total return ............... 2.58% 19.49% (4.64%) 10.01% 7.21% 16.07% (2.73%) 11.34% 7.09% 2.61%
Net assets, end of period (000's) $152,961 $143,103 $111,423 $99,474 $60,185 $38,896 $20,472 $26,965 $114,221 $25,131
Ratio of operating expenses to
average net assets (B) ........... 0.73% 0.74% 0.76% 0.77% 0.80% 0.85% 0.70% 0.83% 0.89% 0.95%
Ratio of net investment income to
average net assets ............... 6.95% 6.91% 6.49% 6.03% 6.96% 7.47% 8.41% 8.77% 7.97% 7.46%
Portfolio turnover rate .......... 68% 137% 140% 33% 59% 115% 120% 351% 94% 201%
- ----------
<FN>
** The Investment Quality Bond Trust is the successor to the Bond Trust effective April 23, 1991.
(A) After expense reimbursement per share of $0.02, $0.28 and $0,12 in 1987, 1986 and 1985, respectively.
(B) The ratio of operating expenses, before reimbursement from the investment adviser, was 1.14%, 3.38% and 3.55% in 1987, 1986
and 1985, respectively.
</TABLE>
The accompanying notes are an integral pad of the financial statements.
42
<PAGE> 73
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
. U.S. GOVERNMENT SECURITIES TRUST
-----------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 03/18/88*
----------------------------------------------------------------------- to
1996 1995 1994 1993 1992 1991 1990 1989** 12/31/88
---- ---- ---- ---- ---- ---- ---- ------ --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ........................... $ 13.65 $ 12.64 $ 13.48 $ 13.05 $ 12.85 $ 11.83 $ 10.98 $ 9.81 $10.03
INCOME FROM INVESTMENT OPERATIONS: ..
Net investment income (B) ........... 0.83 0.89 0.77 0.48 0.10 0.19 1.07 0.20 0.07
Net realized and unrealized gain
(loss) on investments ............. (0.41) 0.99 (0.95) 0.49 0.65 1.40 (0.13) 1.08 (0.29)
-------- -------- -------- -------- -------- ------- ------- ------ ------
Total from investment operations 0.42 1.88 (0.18) 0.97 0.75 1.59 0.94 1.28 (0.22)
LESS DISTRIBUTIONS:
Dividends from net investment income (0.75) (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 .............. (0.75) (0.87) (0.66) (0.54) (0.55) (0.57) (0.09) (0.11) --
-------- -------- -------- -------- -------- ------- ------- ------ ------
Net asset value, end of period ...... $ 13.32 $ 13.65 $ 12.64 $ 13.48 $ 13.05 $ 12.85 $ 11.83 $10.98 $ 9.81
======== ======== ======== ======== ======== ======= ======= ====== ======
Total return ................. 3.38% 15.57% (1.25%) 7.64% 6.19% 14.01% 8.63% 13.16% (2.19%)
Net assets, end of period (000's) ... $204,053 $216,788 $188,813 $222,072 $125,945 $29,246 $10,469 $5,905 $ 344
Ratio of operating expenses to
average net assets (c) .............. 0.71% 0.71% 0.73% 0.75% 0.76% 0.87% 1.04% 0.90% 5.16%(A)
Ratio of net investment income to
average net assets .................. 6.36% 6.46% 5.68% 5.05% 6.12% 7.09% 7.70% 6.66% 1.16%(A)
Podfolio turnover rate .............. 178% 212% 387% 213% 141% 233% 284% 330% 156%(A)
- ----------
<FN>
* Commencement of operations
** The U.S. Government Securities Trust is the successor to the Convertible Securities Trust effective May 1, 1989.
+ Non-annualized
(A) Annualized
(B) After expense reimbursement per share of $0.01 and $0.06 in 1989 and 1988, respectively.
(C) The ratio of operating expenses, before reimbursement from the investment adviser, was 1.62% and 6.16% in 1989 and 1988,
respectively.
</TABLE>
The accompanying notes are an integral part of the financial statements.
43
<PAGE> 74
<TABLE>
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- ----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
MONEY MARKET TRUST
-------------------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
-------------------------------------------------------------------------------------------------
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <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
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income (A) .. 0.49 0.55 0.38 0.27 0.33 0.56 0.75 0.72 0.57 0.60
LESS DISTRIBUTIONS:
Dividends from net
investment income .......... (0.49) (0.55) {0.38) (0.27) (0.33) (0.56) (0.75) (0.72) (0.57) (0.60)
-------- -------- -------- -------- ------- ------- ------- ------- ------- ------
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
======== ======== ======== ======== ======= ======= ======= ======= ======= ======
Total return ............... 5.05% 5.62% 3.78% 2.69% 3.36% 5.71% 7.76% 8.56% 6.77% 6.13%
Net assets,
end of period (000's) ...... $363,566 $258,117 $276,674 $132,274 $89,535 $79,069 $85,040 $19,403 $12,268 $7,147
Ratio of operating
expenses to average
net assets (B) ............. 0.55% 0.54% 0.57% 0.59% 0.60% 0.60% 0.57% 0.79% 0.99% 0.78%
Ratio of net investment
income to average
net assets ................. 4.97% 5.48% 3.93% 2.66% 3.28% 5.65% 7.27% 8.26% 6.68% 5.86%
- ----------
<FN>
(A) After expense reimbursement per share of $0.08, $0.23 and $0.12 in 1987, 1986 and 1985, respectively.
(B) The ratio of operating expenses, before reimbursement from the investment adviser, was 1.57%, 3.43% and 3.50% in 1987, 1986
and 1985, respectively.
</TABLE>
The accompanying notes are an integral part of the financial statements.
44
<PAGE> 75
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<CAPTION>
PACIFIC RIM EMERGING MARKETS TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS -90.65%
AIR TRAVEL - 1.56%
Qantas Airways 50,000 $ 83,459
Singapore Airlines 29,000 263,203
---------
346,662
APPAREL & TEXTILES - 0.53%
Esprit Asia 70,000 30,997
Guangdong Tannery, Ltd.* 5,500 1,387
Onward Kashiyama 6,000 84,449
---------
116,833
AUTOMOBILES - 1.03%
Tractors Malaysia Holdings 122,000 228,976
---------
BANKING - 14.41%
Australia and New Zealand
Bank Group 70,000 441,221
Bank Danamon 85,000 80,070
Bank International Indonesia 133,620 131,527
Bank of Ayuda Public Company, Ltd. 18,750 44,232
Bank of East Asia 28,000 124,533
Bank of Tokyo Mitsubishi 7,000 129,954
Hang Seng Bank 10,000 121,533
HSBC Holdings 35,600 761,756
Kookmin Bank* 5,000 93,375
Krung Thai Bank PLC 25,300 48,832
Macquarie Bank, Ltd.* 37,000 238,805
Malayan Bank BHD 24,000 266,086
Overseas Chinese Bank 12,900 160,409
Overseas Union Bank 25,000 192,954
Siam Commercial Bank PLC 16,000 116,041
Sumitomo Trust and Banking 2,000 20,033
United Overseas Bank 20,000 222,969
---------
3,194,330
BROADCASTING - 1.77%
BEC World Public Company, Ltd.* 1,000 8,188
News Corporation 65,000 343,057
Sangetsu Company 2,000 41,793
---------
393,038
BUILDING MATERIALS & CONSTRUCTION - 4.03%
Almetax Manufacturing Company, Ltd. 60 487
Cheung Kong Infrastructure Holdings* 10,000 26,505
Henry Walker Group, Ltd. 95,000 194,062
L.G. Construction, Ltd. 5,000 98,225
Lingkaran Trans Kota Holdings BHD* 21,000 43,239
Malaysian Industrial Development 75,000 139,576
Nawarat Patanakarn Public
Company, Ltd. 6,000 7,019
New World Infrastructure, Ltd.* 20,045 58,571
Citra Marga Nusaphala Persada 140,000 109,653
Quality Concrete Holdings BHD* 34,000 185,785
Road King Infrastructure, Ltd.* 35,000 30,997
---------
894,119
BUSINESS SERVICES - 0.63%
Kinseki 3,000 $ 33,417
Kurita Water Industries 4,000 80,822
Matichon Public Company, Ltd. 10,000 26,125
---------
140,364
CHEMICALS - 1.95%
Denki Kogyo Company 4,000 30,049
IOI Corporation 180,000 276,539
Mitsubishi Chemical 10,000 32,381
Toray Industries, Incorporated 15,000 92,609
---------
431,578
COMPUTERS & BUSINESS EQUIPMENT - 0.17%
Shinawatra C. Communications 4,000 38,057
---------
CONGLOMERATES - 8.22%
Citic Pacific, Ltd. 35,000 203,181
CSR Limited 85,000 297,274
Hutchison Whampoa 70,000 549,809
Multi Purpose Holding* 90,000 174,619
Renong BHD 170,000 301,564
Swire Pacific 22,000 209,774
Wheelock and Company 30,000 85,526
---------
1,821,747
CONSTRUCTION MATERIALS - 0.45%
Keppel International Engineering, Ltd. 90,000 93,904
Nikko Company 1,000 6,303
---------
100,207
CONSTRUCTION & MINING EQUIPMENT - 2.82%
Cahya Mata Sarawak 37,000 325,243
Sumitomo Densetsu 2,000 16,406
YTL Corporation 52,500 282,716
---------
624,365
CONTAINERS & GLASS - 1.02%
Malaysia International Shipping 40,000 118,788
Nippon Sheet Glass 6,000 21,293
Rengo Company 15,000 85,226
---------
225,307
DOMESTIC OIL - 0.10%
Fuji Oil Company 3,000 21,397
---------
DRUGS & HEALTH CARE - 0.26%
Kalbe Farma 20,000 22,862
Shiseido Company 3,000 34,712
---------
57,574
ELECTRIC UTILITIES - 1.49%
Australia Gas and Light 23,000 130,896
China Light and Power 30,000 133,428
Hong Kong Electric 20,000 66,455
---------
330,779
ELECTRICAL EQUIPMENT - 1.00%
Japan Radio Company 5,000 53,536
Leader Universal Holdings 42,333 88,840
Technology Resources Industries BHD* 40,000 78,875
---------
221,251
</TABLE>
The accompanying notes are an integral part of the financial statements.
45
<PAGE> 76
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
ELECTRONICS - 1.75%
K.R. Precision Public Company 6,000 $ 44,093
Samsung Electronic 1,600 82,178
TDK Corporation 2,000 130,386
Tokyo Electron 2,000 61,307
Toyo Engineering 6,000 26,837
Yokogawa Electric 5,000 43,174
----------
387,975
FINANCIAL SERVICES - 4.83%
Arab Malaysian Finance 38,000 212,156
Bunas Finance 18,000 21,338
Daiwa Securities 2,000 17,788
DCB Holdings BHD 83,000 284,280
Dhana Siam Finance and Securities 12,000 28,542
Henderson Investors 50,000 59,797
Manhattan Card Company 40,000 20,299
National Finance and Securities 4,000 7,526
Nomura Securities* 3,000 45,074
Promise Company, Ltd. 2,000 98,437
Securities One, Ltd. 3,000 12,867
Singapore Finance 59,400 95,512
Tab Corporation Holdings, Ltd. 35,000 166,918
----------
1,070,534
FOOD & BEVERAGES - 3.13%
Fraser and Neave 11,500 118,345
Kentucky Fried Chicken BHD 91,666 377,480
R.J. Reynolds BHD 37,000 100,356
Tokuyama Corporation 12,000 63,621
Vitasoy International 80,000 34,909
----------
694,711
FOREST PRODUCTS - 0.64%
Amcor, Ltd. 22,000 141,467
----------
GOLD - 0.99%
Normandy Mining, Ltd. 158,000 218,520
----------
HOMEBUILDERS - 0.19%
Taisei Corporation 8,000 41,447
----------
HOTELS & RESTAURANTS - 1.22%
Grand Hotel Holdings 98,000 41,179
Orchard Parade Holdings 46,000 98,621
Royal Company 7,000 129,954
----------
269,754
INDUSTRIAL MACHINERY - 1.45%
Hitachi Zosen Corporation 10,000 38,857
Jurong Shipyard 16,000 80,612
Keppel Corporation 10,500 81,791
Mitsubishi Heavy Industries 10,000 79,440
THK Company, Ltd. 3,000 41,188
----------
321,888
INSURANCE - 0.68%
Mitsui Marine and Fire 10,000 53,795
National Mutual Holdings 34,000 50,807
Nippon Fire and Marine 10,000 45,333
----------
149,935
LEISURE TIME - 2.98%
Aristocrat Leisure, Ltd. 95,000 $ 246,920
Guangdong Invest 110,000 105,954
Overseas Union Enterprises 7,000 35,018
Resorts World BHD 50,000 227,678
Shangri La Asia, Ltd. 30,000 44,411
----------
659,981
METAL & METAL PRODUCTS - 1.41%
Amtek Engineering, Ltd. 90,000 178,804
Kitagawa Industries Companies, Ltd. 2,000 70,806
Tambang Timah 35,000 63,717
----------
313,327
MINING - 2.09%
Centaur Mining and Exploration* 111,000 172,045
Lanna Lignite Public Company, Ltd.* 6,000 43,983
Savage Resources 226,000 247,898
----------
463,926
MISCELLANEOUS SERVICES - 2.02%
Alsons Consolidated Resources,
Incorporated* 1,900,000 157,490
Eastern and Oriental 121,000 234,765
Lingui Developments BHD 32,000 54,738
----------
446,993
NON-FERROUS METALS - 5.05%
Pasminco, Ltd. 156,000 245,513
QNI, Ltd. 108,000 217,185
Straits Trading Company 42,000 102,051
WMC, Ltd. 88,000 554,678
----------
1,119,427
OFFICE FURNISHINGS & SUPPLIES - 0.10%
Catena Corporation 3,000 22,122
----------
PETROLEUM SERVICES - 3.90%
Broken Hill Property 26,300 374,609
National Petrochemical 39,000 19,769
Novus Petroleum 205,500 470,424
----------
864,802
PUBLISHING - 0.13%
Land and House 4,000 29,166
----------
RAILROADS & EQUIPMENT - 0.36%
East Japan Railway 10 44,987
Hankyu Corporation 7,000 34,755
----------
79,742
REAL ESTATE - 10.22%
Amoy Properties 68,000 98,028
Cheung Kong Holdings 35,000 311,106
China Resources Beijing* 40,000 25,341
City Developments 9,500 85,543
DBS Land 13,500 49,686
Great Eagle Holdings 15,000 61,866
Henderson Land Development 25,000 252,117
Hysan Development 40,000 159,286
Mitsubishi Estate 3,000 30,826
Mitsui Fudosan Company 3,000 30,049
</TABLE>
The accompanying notes are an integral part of the financial statements.
46
<PAGE> 77
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
REAL ESTATE - CONTINUED
New World Development Company 25,000 $ 168,886
Duta Pertiwi Properties 45,000 35,246
Pakuwon Jati 178,000 69,708
Parkway Holdings 53,000 208,318
Sri Hartamas Corporation BHD* 121,000 82,407
Sun Hung Kai Properties 29,000 355,259
United Overseas Land 49,000 74,587
Wharf Holdings 33,696 168,164
-----------
2,266,423
RETAIL TRADE - 3.05%
Circle K Japan Company 1,400 60,444
F.H. Faulding and Company 69,000 466,728
Hour Glass, Ltd. 40,000 29,157
Matahari Putra Prima 58,000 67,528
Mitsubishi Corporation 5,000 51,809
-----------
675,666
SOFTWARE - 1.30%
Datacraft Asia, Ltd. 137,000 228,790
NTT Data Communication
Systems Company 2 58,544
-----------
287,334
TELECOMMUNICATION SERVICES - 0.21%
Jasmine International Public
Company, Ltd. 30,000 45,914
-----------
TELEPHONE - 1.53%
Hong Kong Telecomm 122,000 196,380
Indosat 17,000 46,782
Nippon Telegraph and Telephone
Corporation 7 53,070
United Communication Industry 4,000 43,048
-----------
339,280
TOTAL COMMON STOCKS
(Cost: $18,775,138) $20,096,918
-----------
PREFERRED STOCKS - 0.59%*
BANKING - 0.24%
Sakura Finance 6,000,000 53,519
-----------
MISCELLANEOUS - 0.35%
Fuji International 9,000,000 77,714
-----------
TOTAL PREFERRED STOCKS
(Cost: $134,149) $ 131,233
-----------
WARRANTS - 0.41%*
AUTO PARTS - 0.07%
NGK Spark Plug Company (Expiration
date 01/20/98; strike price(Y)1,136.80) 25 15,000
-----------
CHEMICALS - 0.01%
Shin Etsu Chemical Company (Expiration
date 08/01/00; strike price(Y)1,917) 3 2,175
-----------
WARRANTS - CONTINUED
DRUGS & HEALTH CARE - 0.00%
Shiseido Company, Ltd. (Expiration
date 01/22/97; strike price(Y)1,323) 5 $ 125
-----------
ELECTRICAL EQUIPMENT - 0.01%
Best Denki Company (Expiration date
05/14/97; strike price(Y)1,499) 45 1,125
-----------
ELECTRONICS - 0.02%
Kyocera Corporation (Expiration date
01/23/98; strike price(Y)6,458) 5 3,500
-----------
FINANCIAL SERVICES - 0.08%
DCB Holdings BHD (Expiration date
12/27/99; strike price MYR 5.40) 11,250 16,928
-----------
MINING - 0.03%
Normandy Mining, Ltd. (Expiration
date 04/30/01; strike price AUD 2.50) 13,200 4,407
Savage Resources, Ltd. (Expiration
date 11/30/98; strike price AUD 1.25) 9,400 2,391
-----------
6,798
MISCELLANEOUS SERVICES - 0.18%
Canon Sales Company, Incorporated
(Expiration date 11/11/97;
strike price(Y)2,237) 100 9,563
KFC Holdings BHD (Expiration date
05/07/01; strike price MYR 9.50) 18,333 4,533
IOI Corporation BHD (Expiration date
04/30/00; strike price MYR 3.35) 26,250 11,226
Multi-Purpose Holdings BHD (Expiration
date 11/23/98; strike price MYR 4.00) 90,000 357
Natwest Financial Products PLC
(Expiration date 10/16/97;
strike price HKD 63.325) 10,000 4,751
Nomura International PLC (Expiration
date 04/23/99; strike price(Y)1,937) 10 7,750
Tokyo Electron, Ltd. (Expiration date
03/05/98; strike price(Y)3,444) 5 650
-----------
38,830
REAL ESTATE- 0.02%
Hysan Development Company, Ltd.
(Expiration date 04/30/98;
strike price HKD 25) 1,250 1,131
United Overseas Land, Ltd. (Expiration
date 05/28/01; strike price SGD 1.60) 4,700 2,838
-----------
3,969
RETAIL TRADE -0.01%
Takashimaya Company, Ltd. (Expiration
date 07/02/98; strike price(Y)1,569) 78 2,681
-----------
TOTAL WARRANTS (Cost: $78,721) $ 91,131
-----------
</TABLE>
The accompanying notes are an integral pad of the financial statements.
47
<PAGE> 78
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
CONVERTIBLE BONDS - 5.09%
BUILDING MATERIALS & CONSTRUCTION - 0.39%
Daiwa House Industry Company,
Ltd., 0.80% due 03/31/98 [YEN] 10,000,000 $ 86,348
-----------
CHEMICALS - 0.43%
Shin Etsu Chemical Company,
0.40% due 09/30/05 [YEN] 10,000,000 96,278
-----------
COMPUTERS & INTEGRATED SYSTEMS - 0.53%
NEC Corporation,
1.00% due 09/30/11 [YEN] 13,000,000 116,743
-----------
DRUGS & HEALTH CARE - 0.44%
Takeda Chemical Industries,
1.90% due 09/30/98 [YEN] 10,000,000 98,610
-----------
ELECTRONICS - 0.69%
Sony Corporation,
0.15% due 03/30/01 [YEN] 15,000,000 152,060
-----------
HOUSEHOLD PRODUCTS - 0.20%
KAO Corporation,
0.95% due 03/31/06 [YEN] 5,000,000 43,649
-----------
LEISURE TIME - 0.13%
Namco, Ltd., 0.90% due 09/30/03 [YEN] 3,000,000 29,143
-----------
MISCELLANEOUS - 0.25%
Asahi Glass Company, Ltd.,
1.90% due 12/26/08 [YEN] 2,000,000 17,615
Dai Nippon Screen Manufacturing
Company, LTD.,
0.25% due 09/30/00 CHF 50,000 37,542
-----------
55,157
OFFICE FURNISHINGS & SUPPLIES - 0.52%
Ricoh Company, Ltd.,
6.35% due 03/31/03 [YEN] 12,000,000 115,741
-----------
REAL ESTATE - 0.12%
Henderson Capital,
5.00% due 03/28/97 HKD 30,000 25,838
-----------
RETAIL TRADE - 0.71%
Marui Company, Ltd.,
1.15% due 01/31/12 [YEN] 14,000,000 120,767
Maruzen Company, Ltd.,
0.95% due 09/30/05 5,000,000 36,223
-----------
156,990
TRUCKING & FREIGHT - 0.69%
Seino Transportation Company,
0.125% due 03/31/04 20,000,000 151,973
-----------
TOTAL CONVERTIBLE BONDS
(Cost: $1,194,302) $ 1,128,530
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 3.26%
$723,000 Repurchase Agreement with State
Street Bank & Trust Company dated
12/31/96 at 4.75%, to be repurchased
at $723,191 on 01/02/97, collateralized
by $745,000 U.S. Treasury Notes,
4.75% due 10/31/98 (valued at
$750,943, including interest) $ 723,000
-----------
TOTAL INVESTMENTS (Pacific Rim
Emerging Markets Trust) (Cost: $20,905,310) $22,170,812
===========
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL SMALL CAP TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 76.63%
AGRICULTURAL PRODUCTS - 2.62%
Kverneland Gruppen AS 63,000 $ 1,720,911
Perusahaan Perkebunan 310,000 820,279
-----------
2,541,190
AUTO PARTS - 0.47%
Sylea 4,200 460,596
-----------
BANKING - 3.19%
Banco de A Edwards, Series A, ADR 38,575 694,350
Banco Latinoamericano
de Exportaciones SA, Series E 28,350 1,438,763
Bank Tiara 900,000 962,108
-----------
3,095,221
BROADCASTING - 3.03%
Capital Radio PLC 101,000 939,575
Flextech PLC* 172,900 1,996,481
-----------
2,936,056
BUSINESS SERVICES - 2.65%
Altran Technologies SA 2,950 947,798
Kobenhavn Lufthavne 15,900 1,619,474
-----------
2,567,272
CHEMICALS - 0.52%
Budi Acid Jaya 400,000 508,044
-----------
COMPUTERS & BUSINESS EQUIPMENT - 1.11%
Enator AB* 35,000 895,541
Enator AB, PSS* 7,000 176,542
-----------
1,072,083
CONGLOMERATES - 3.72%
Amer Group, Ltd 46,000 950,000
Hunter Douglas NV 28,650 1,933,232
Misys 6,400 121,816
Solid Group, Incorporated* 2,904,000 596,259
-----------
3,601,307
CONTAINERS & GLASS - 1.23%
Compania Cervecerias Unidas
SA, Sponsored ADR 15,000 241,875
International Container 1,820,100 951,573
-----------
1,193,448
</TABLE>
The accompanying notes are an integral part of the financial statements.
48
<PAGE> 79
<TABLE>
NASL SERIES TRUST
<CAPTION>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
--------- -----------
<S> <C> <C>
DRUGS & HEALTH CARE - 2.91%
Medeva PLC 81,550 $ 1,376,156
Schwarz Pharma AG 19,450 1,440,928
-----------
2,817,084
ELECTRICAL EQUIPMENT - 0.77%
TLG PLC 415,800 744,408
-----------
ELECTRONICS - 2.02%
Gold Peak Industries, Ltd. 1,250,000 856,552
VTech Holdings, Ltd. 611,800 1,099,492
-----------
1,956,044
FINANCIAL SERVICES - 4.16%
Guoco Group 277,500 1,553,526
JBA Holdings 152,000 1,393,181
Manhattan Card Company 2,136,000 1,083,949
-----------
4,030,656
FOOD & BEVERAGES - 5.20%
Doutor Coffee Company 36,000 1,507,642
Grolsch NV 44,300 1,719,143
J.D. Wetherspoon PLC 91,228 1,812,994
-----------
5,039,779
HOTELS & RESTAURANTS - 1.26%
Pizza Express 50,000 451,859
Regent Inns PLC 135,000 770,173
-----------
1,222,032
HOUSEHOLD APPLIANCES FURNISHING - 4.03%
DFS Furniture Company 170,200 1,749,529
Industrie Natuzzi SPA, ADR 37,300 857,900
Laox Company 85,300 1,296,330
-----------
3,903,759
INDUSTRIAL MACHINERY - 4.32%
IHC Caland NV 30,650 1,752,189
Konecranes International* 40,550 1,278,207
Tomra Systems AS 75,000 1,158,216
-----------
4,188,612
INTERNATIONAL OIL - 3.14%
Cairn Energy PLC* 143,000 1,026,503
Gulf Canada Resources, Ltd. 273,000 2,013,375
-----------
3,039,878
LEISURE TIME - 3.45%
AAPC, Ltd.
Cinar Films, Incorporated, Class B* 1,025,000 619,188
Tiemco 40,475 1,052,350
Village Roadshow 9,000 576,634
279,000 1,093,291
-----------
3,341,463
MISCELLANEOUS SERVICES - 3.68%
Axxicon Group NV 16,000 349,377
Noritsu Koki Company 34,000 1,600,035
Rofin-Sinar Technologies,
Incorporated* 137,500 1,615,625
-----------
3,565,037
OFFICE FURNISHINGS & SUPPLIES - 1.01%
Turbon International AG 38,000 975,435
-----------
PAPER - 1.77%
Guilbert SA 8,750 1,711,718
PETROLEUM SERVICES - 1.60%
Petroleum Geological Services
AS, Sponsored ADR* 39,700 1,548,300
-----------
PUBLISHING - 1.67%
Dorling Kindersley Holdings PLC 230,000 1,614,571
-----------
RETAIL TRADE - 6.11%
Brito Borneo Pets 86,400 1,201,933
Bulgari SPA 66,700 1,354,225
Matahari Putra Prima 848,000 987,299
Next 155,000 1,510,965
Paris Miki, Incorporated 24,000 866,246
-----------
5,920,668
SOFTWARE - 3.39%
Baan Company NV* 28,075 975,606
Dassault Systems SA* 18,000 830,182
Psion PLC 196,000 1,484,187
-----------
3,289,975
TELECOMMUNICATION SERVICES - 1.40%
Asia Satellite Telecommunications
Holdings, Sponsored ADR* 6,000 140,250
Comcast UK Cable Partners, Ltd.* 74,200 1,010,975
Grupo Iusacell SA De CV, ADR* 27,500 209,688
-----------
1,360,913
TELEPHONE - 1.27%
Cellular Communications International 42,600 1,235,400
-----------
TOYS, AMUSEMENTS & SPORTING GOODS - 2.40%
Salomon SA 16,900 1,449,456
Skis Rossignol SA 31,800 880,729
-----------
2,330,184
TRANSPORTATION - 2.53%
ASG AB, Series B 59,500 1,221,426
Tranz Rail Holdings, Ltd., ADR* 69,475 1,228,840
-----------
2,450,266
TOTAL COMMON STOCKS
(Cost $69,452,409) $74,261,399
-----------
PREFERRED STOCKS - 3.04%
AUTOMOBILES - 1.09%
Porsche AG 1,200 1,060,567
-----------
FINANCIAL SERVICES - 1.94%
Marschollek Lautenschlaeger und
Partner AG 13,530 1,881,609
-----------
TOTAL PREFERRED STOCKS
(Cost: $2,571,886) $ 2,942,176
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
49
<PAGE> 80
<TABLE>
NASL SERIES TRUST
<CAPTION>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL value of INVESTMENTS)
- --------------------------------------------------------------------------------
<S> <C>
Principal
Amount Value
- --------- -----------
REPURCHASE AGREEMENT - 20.34%
$19,709,000 Repurchase Agreement with State
Street Bank & Trust Company dated
12/31/96 at 4.75%, to be
repurchased at $19,714,201 on
01/02/97, collateralized by
$20,500,000 U.S. Treasury Notes,
5.50% due 12/31/00 (valued at
$20,679,156, including interest) $19,709,000
-----------
TOTAL INVESTMENTS (International
Small Cap Trust) (Cost: $91,733,295) $96,912,575
<CAPTION>
===========
EMERGING GROWTH TRUST
Shares Value
------- -----------
<S> <C> <C>
COMMON STOCKS - 45.41%
AEROSPACE - 1.56%
Greenwich Air Services, Incorporated 89,600 $ 1,993,600
Precision Castparts Corporation 20,000 992,500
-----------
2,986,100
APPAREL & TEXTILES - 1.61%
Wolverine World Wide, Incorporated* 106,100 3,076,900
-----------
BIOTECHNOLOGY - 1.65%
American Biogenetic Sciences,
Incorporated, Class A* 236,000 958,750
The Liposome Company, Incorporated* 79,000 1,510,875
Medarex, Incorporated* 100,000 700,000
-----------
3,169,625
BUILDING MATERIALS - 1.50%
Apogee Enterprises, Incorporated 47,200 1,876,200
Texas Industries, Incorporated 19,800 1,002,375
-----------
2,878,575
BUSINESS SERVICES - 1.61%
Employee Solutions, Incorporated* 73,700 1,510,850
National Education Corporation* 102,800 1,567,700
-----------
3,078,550
CHEMICALS - 1.24%
Fuller HB Company 20,000 940,000
Tetra Technologies, Incorporated* 57,100 1,441,775
-----------
2,381,775
COMPUTERS & BUSINESS EQUIPMENT - 7.10%
Comverse Technology, Incorporated* 75,300 2,847,281
Digital Microwave Corporation* 25,000 696,875
Dynatech Corporation* 42,200 1,867,350
Hadco Corporation* 61,400 3,008,600
Network Appliance, Incorporated* 35,100 1,785,713
P-Com, Incorporated* 21,000 622,125
Teltrend, Incorporated* 99,900 2,772,225
-----------
13,600,169
DOMESTIC OIL - 1.51%
Comstock Resources, Incorporated* 190,000 2,470,000
Lomak Petroleum, Incorporated* 24,400 417,850
-----------
2,887,850
DRUGS & HEALTH CARE - 3.83%
Curative Health Services, Incorporated* 57,600 $ 1,594,800
InPhyNet Medical Management,
Incorporated* 95,000 1,710,000
Matrix Pharmaceuticals, Incorporated* 87,400 535,325
Mentor Corporation* 55,200 1,628,400
Sciclone Pharmaceuticals, Incorporated* 90,000 720,000
Universal Health Services, Incorporated* 40,400 1,156,450
-----------
7,344,975
ELECTRICAL EQUIPMENT - 0.57%
Dupont Photomasks, Incorporated* 12,000 544,500
Supertex, Incorporated* 41,300 542,062
-----------
1,086,562
ELECTRONICS - 0.65%
Boston Technology, Incorporated* 26,000 747,500
NU Horizons Electronics
Corporation* 62,000 492,125
-----------
1,239,625
HOSPITAL SUPPLY - 2.30%
Adac Laboratories* 50,400 1,203,300
American Homepatient, Incorporated* 38,700 1,054,575
Coherent, Incorporated* 40,300 1,702,675
Lifecore Biomedical, Incorporated* 25,000 450,000
-----------
4,410,550
HOTELS & RESTAURANTS - 1.82%
Doubletree Corporation* 45,000 2,025,000
Foodmaker, Incorporated* 164,700 1,461,713
-----------
3,486,713
INSURANCE - 1.01%
Fremont General Corporation 41,400 1,283,400
Orion Capital Corporation 10,600 647,925
-----------
1,931,325
INTERNATIONAL OIL - 0.13%
Vintage Petroleum, Incorporated 7,100 244,950
-----------
MISCELLANEOUS SERVICES - 0.95%
Carlisle Companies Incorporated 24,400 1,476,200
Cornell Corrections, Incorporated* 38,400 340,800
-----------
1,817,000
OFFICE FURNISHINGS & SUPPLIES - 0.83%
Miller Herman, Incorporated* 28,000 1,585,500
-----------
PETROLEUM SERVICES - 3.41%
Camco International, Incorporated 30,500 1,406,812
Cliffs Drilling Company* 4,600 290,950
Marine Drilling Companies Incorporated* 33,400 657,563
Pool Energy Services Company* 67,700 1,040,887
Pride Petroleum Services, Incorporated* 25,500 592,875
Tuboscope Vetco International,
Incorporated* 163,900 2,540,450
-----------
6,529,537
PAPER - 1.42%
Caraustar Industries, Incorporated 81,800 2,719,850
-----------
</TABLE>
THE accompanying notes are an integral part of the financial statements.
50
<PAGE> 81
<TABLE>
NASL SERIES TRUST
<CAPTION>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL value of INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------- -----------
<S> <C> <C>
POLLUTION CONTROL - 0.16%
Stericycle, Incorporated* 26,400 $ 303,600
-----------
PUBLISHING - 0.91%
Prime Hospitality Corporation* 107,700 1,736,663
-----------
RETAIL TRADE - 2.05%
Genesco, Incorporated* 72,500 670,625
Insight Enterprises, Incorporated* 54,100 1,514,800
Proffitts, Incorporated* 47,300 1,744,187
-----------
3,929,612
SOFTWARE - 3.82%
Acres Gaming, Incorporated* 51,600 567,600
Applix, Incorporated* 38,300 837,813
Citrix Systems, Incorporated* 34,900 1,363,281
Jack Henry and Associates,
Incorporated 42,700 1,526,525
Technology Solutions Company* 2,000 83,000
Tecnomatix Technologies, Ltd.* 110,800 2,936,200
-----------
7,314,419
TELEPHONE - 2.30%
Global Star Telecom* 69,900 4,403,700
-----------
TOYS, AMUSEMENTS & SPORTING GOODS - 0.17%
Equity Marketing, Incorporated* 17,200 318,200
-----------
TRANSPORTATION - 1.31%
Expeditores International of
Washington, Incorporated 109,400 2,516,200
-----------
TOTAL COMMON STOCKS
(Cost: $76,537,937) $86,978,525
-----------
<CAPTION>
Principal
Amount Value
----------- ------------
<S> <C> <C>
SHORT TERM INVESTMENTS - 54.59%
UNITED STATES TREASURY BILLS - 54.59%
4.20% due 01/09/97 $ 44,000 $ 43,959
4.48% due 01/09/97 18,969,000 18,950,115
4.50% due 01/09/97 4,257,000 4,252,742
4.79% due 03/06/97 26,200,000 25,976,892
4.81% due 03/06/97 34,223,000 33,930,357
4.90% due 03/06/97 184,000 182,397
4.92% due 01/09/97 60,000 59,934
4.94% due 01/09/97 162,000 161,822
4.95% due 03/06/97 73,000 72,358
4.97% due 01/09/97 15,182,000 15,165,232
4.98% due 01/09/97 5,269,000 5,263,169
4.99% due 01/09/97 190,000 189,789
5.00% due 03/06/97 313,000 310,218
5.02% due 03/06/97 13,000 12,884
------------
104,571,868
TOTAL SHORT TERM INVESTMENTS (Cost: $104,571,868) $104,571,868
------------
TOTAL INVESTMENTS (Emerging
Growth Trust) (Cost: $181,109,805) $191,550,393
============
<CAPTION>
SMALL/MID CAP TRUST
Shares Value
------- -----------
<S> <C> <C>
COMMON STOCKS - 94.61%
AEROSPACE - 1.40%
Gulfstream Aerospace Corporation* 101,700 $ 2,466,225
-----------
AGRICULTURAL PRODUCTS - 0.29%
DEKALB Genetics Corporation,
Class B 10,000 510,000
-----------
APPAREL & TEXTILES - 5.79%
Cintas Corporation 39,000 2,291,250
G & K Services, Class A 30,500 1,151,375
Gucci Group NV 52,700 3,366,213
Nautica Enterprises, Incorporated* 35,200 888,800
Stage Stores, Incorporated* 34,400 627,800
Tommy Hilfiger Corporation* 39,000 1,872,000
-----------
10,197,438
BUSINESS SERVICES - 8.63%
Employee Solutions, Incorporated* 75,000 1,537,500
FactSet Research Systems,
Incorporated* 42,300 888,300
Greenwich Air Services, Incorporated* 55,000 1,223,750
Leasing Solutions, Incorporated 35,400 911,550
Loewen Group, Incorporated 68,900 2,695,712
Mail Boxes, Etc.* 35,000 787,500
Nokia Corporation, ADR 59,000 3,399,875
Paychex, Incorporated 19,800 1,018,463
Service Corporation International 97,800 2,738,400
-----------
15,201,050
CHEMICALS - 0.50%
Waters Corporation* 29,000 880,875
-----------
COMPUTERS & BUSINESS EQUIPMENT - 5.87%
3Com Corporation* 38,700 2,839,613
Citrix Systems, Incorporated* 25,000 976,562
Diebold, Incorporated 15,000 943,125
Ingram Micro, Incorporated, Class A* 89,000 2,047,000
Medic Computer Systems, Incorporated* 42,800 1,725,375
Sundstrand Corporation 42,500 1,806,250
-----------
10,337,925
CRUDE PETROLEUM & NATURAL GAS - 0.84%
B.J. Services Company* 28,900 1,473,900
-----------
DRUGS & HEALTH CARE - 5.04%
Access Health, Incorporated* 25,700 1,150,075
BioChem Pharma, Incorporated* 34,400 1,728,600
Biopsys Medical, Incorporated* 23,000 500,250
Conmed Corporation* 73,700 1,510,850
IDEXX Laboratories, Incorporated* 17,000 612,000
INCYTE Pharmaceuticals,
Incorporated* 1,000 51,500
</TABLE>
The accompanying notes are an integral part of the financial statements.
51
<PAGE> 82
<TABLE>
NASL SERIES TRUST
<CAPTION>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL value of INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------- -----------
<S> <C> <C>
DRUGS & HEALTH CARE - CONTINUED
Mentor Corporation 40,100 $ 1,182,950
Phycor, Incorporated* 75,000 2,128,125
-----------
8,864,350
ELECTRICAL EQUIPMENT - 1.58%
American Power Conversion
Corporation* 53,000 1,444,250
Cable Design Technologies Corporation* 43,000 1,338,375
-----------
2,782,625
ELECTRONICS - 14.18%
Adaptec, Incorporated* 125,800 5,032,000
Altera Corporation* 71,500 5,197,156
Cambridge Technology Partners* 32,400 1,087,425
Electronics For Imaging, Incorporated* 18,500 1,521,625
Glenayre Technologies, Incorporated* 18,000 388,125
Hologic, Incorporated* 49,400 1,222,650
Linear Technology Corporation 18,600 816,075
Maxim Integrated Products,
Incorporated* 14,200 614,150
PictureTel Corporation* 64,800 1,684,800
S3, Incorporated* 53,500 869,375
Target Therapeutics, Incorporated* 43,100 1,810,200
Tellabs, Incorporated* 45,000 1,693,125
Xilinx, Incorporated* 82,000 3,018,625
-----------
24,955,331
FINANCIAL SERVICES - 3.00%
Case Corporation 11,200 610,400
Green Tree Financial Corporation 33,800 1,305,525
Money Store, Incorporated 121,900 3,367,488
-----------
5,283,413
HOTELS & RESTAURANTS - 4.77%
Boston Market, Incorporated* 59,700 2,141,737
Landrys Seafood Restaurants,
Incorporated* 62,200 1,329,525
Lone Star Steakhouse and Saloon,
Incorporated* 78,100 2,089,175
Mirage Resorts, Incorporated* 70,000 1,513,750
Outback Steakhouse, Incorporated* 49,500 1,324,125
-----------
8,398,312
INDUSTRIAL MACHINERY - 1.39%
Tyco International, Ltd. 14,500 766,687
U.S. Filter Corporation 53,000 1,682,750
-----------
2,449,437
INSURANCE - 4.86%
CompDent Corporation* 23,000 810,750
Equifax, Incorporated 84,500 2,587,813
MGIC Investment Corporation 29,000 2,204,000
SunAmerica, Incorporated 46,500 2,063,437
Travelers/Aetna Porperty Casual
Corporation, Class A 25,000 884,375
-----------
8,550,375
INVESTMENT COMPANIES - 1.04%
The Charles Schwab Corporation 57,000 1,824,000
-----------
LEISURE TIME - 2.85%
International Game Technology 150,00 $ 2,737,500
Sports Authority, Incorporated* 105,200 2,288,100
-----------
5,025,600
MEDICAL SUPPLIES - 0.30%
Heartport, Incorporated* 23,000 526,125
-----------
METAL & METAL PRODUCTS - 1.05%
Titanium Metals Corporation* 56,000 1,841,000
-----------
OFFICE FURNISHINGS & SUPPLIES - 1.73%
Avery Dennison Corporation 25,000 884,375
Herman Miller, Incorporated 18,000 1,019,250
OfficeMax, Incorporated* 106,950 1,136,344
-----------
3,039,969
PETROLEUM SERVICES - 2.08%
Global Marine, Incorporated* 56,900 1,173,563
Halliburton Company 22,700 1,367,675
Smith International, Incorporated* 25,000 1,121,875
-----------
3,663,113
PLASTICS - 1.35%
Sealed Air Corporation* 56,900 2,368,462
-----------
POLLUTION CONTROL - 3.37%
United Waste System, Incorporated* 56,000 1,925,000
USA Waste Services, Incorporated* 126,000 4,016,250
-----------
5,941,250
RETAIL GROCERY - 1.17%
Safeway, Incorporated* 48,300 2,064,825
-----------
RETAIL TRADE - 5.33%
Borders Group, Incorporated* 9,900 355,163
Dollar General Corporation 76,500 2,448,000
Nine West Group, Incorporated* 40,000 1,855,000
PETsMART, Incorporated* 50,900 1,113,437
Rite Aid Corporation 29,100 1,156,725
Saks Holdings, Incorporated* 16,000 432,000
Tiffany & Company 20,000 732,500
TJX Companies, Incorporated 27,100 1,283,862
-----------
9,376,687
SHIPBUILDING - 0.54%
West Marine, Incorporated* 33,400 943,550
-----------
SOFTWARE - 7.24%
Compuware Corporation* 39,000 1,954,875
HBO & Company 20,000 1,187,500
Informix Corporation* 119,500 2,434,813
Learning Company, Incorporated* 43,800 629,625
Microchip Technology, Incorporated* 14,600 742,775
Parametric Technology Corporation* 45,000 2,311,875
Sterling Commerce, Incorporated* 56,800 2,002,200
Structural Dynamics Research
Corporation* 73,700 1,474,000
-----------
12,737,663
</TABLE>
The accompanying notes are an integral part of the financial statements.
52
<PAGE> 83
<TABLE>
NASL SERIES TRUST
<CAPTION>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Shares Value
------ ------------
<S> <C> <C>
TELECOMMUNICATION SERVICES - 5.07%
Ascend Communications,
Incorporated* 39,500 $ 2,453,938
Cascade Communications
Corporation* 30,100 1,659,262
PairGain Technologies, Incorporated* 15,400 468,737
QUALCOMM, Incorporated* 85,900 3,425,263
Univision Communications,
Incorporated, Class A 25,000 925,000
------------
8,932,200
TELEPHONE - 1.73%
LCI International, Incorporated* 58,400 1,255,600
Worldcom, Incorporated* 68,800 1,793,100
------------
3,048,700
TRANSPORTATION - 0.46%
Coach USA, Incorporated* 28,100 814,900
------------
TRUCKING & FREIGHT - 1.17%
Tidewater, Incorporated 45,500 2,058,875
------------
TOTAL COMMON STOCKS
(Cost $155,984,547) $166,558,175
------------
<CAPTION>
Principal
Amount Value
---------- ------------
<S> <C> <C>
SHORT TERM INVESTMENTS - 5.39%
Dynamic Funding Corporation,
6.08% due 01/03/97 $2,000,000 $ 1,999,324
Repeat Offering Security Entity,
6.20% due 01/10/97 2,000,000 1,996,900
Seven Seas Money Market Fund 5,496,250 5,496,250
------------
9,492,474
TOTAL INVESTMENTS
(Small/Mid Cap Trust) (Cost: $165,477,021) $176,050,649
============
<CAPTION>
INTERNATIONAL STOCK TRUST
Shares Value
------- --------
<S> <C> <C>
COMMON STOCKS - 85.15%
AEROSPACE - 0.03%
CSF(Thomson) 265 $ 8,596
AGRICULTURAL MACHINERY - 0.01%
Kvaerner ASA 110 4,729
--------
AIR TRAVEL - 1.25% 17,000 235,909
Airtours 3,000 31,172
British Airways 475 13,371
KLM 20,000 33,384
Qantas Airways 9,000 81,684
Singapore Airlines --------
395,520
APPAREL & TEXTILES - 0.57%
Christian Dior 100 16,132
Esprit Asia 50,000 22,141
Guangdong Tannery, Ltd.* 3,750 945
APPAREL & TEXTILES - CONTINUED
Onward Kashiyama 10,000 $140,748
--------
179,966
AUTO PARTS - 0.21%
LucasVarity PLC 17,500 66,858
--------
Automobiles - 2.38%
Bayer Motoren Werk 86 59,968
Daimler Benz AG* 2,381 164,015
Fiat Spa 8,193 24,790
Peugeot SA 165 18,572
Tractors Malaysia Holdings 52,000 97,597
Volkswagen AG 75 31,193
Volvo AB, Series A 5,602 122,392
Volvo AB, Series B 10,700 236,125
--------
754,652
BANKING - 12.42%
ABN AMRO Holdings 1,573 102,407
Argentaria Corporation 3OO 13,426
Australia and New Zealand
Bank Group 30,000 189,095
Banco Bilbao Vizcaya 1,061 57,290
Banco Espana de Credito* 1,600 12,386
Banco Popular Espana 100 19,642
Banco Santander SA 3OO 19,203
Bank Danamon 100,000 94,200
Bank of Tokyo Mitsubishi 16,000 297,038
Bank International Indonesia 71,O4O 69,927
Bank of Ayuda Public Company, Ltd. 10,000 23,590
Bank of East Asia 22,000 97,847
Bank of Scotland 4,5OO 23,745
Banque National de Paris 1,517 58,709
Barclays 4,557 78,110
Cie de Suez 2,200 93,538
Cie Fin Paribas 559 37,805
Commerzbank AG 900 22,868
Credit Communal Holding/Dexia* 40 3,650
Credit Suisse Group 916 94,098
Credito Italiano 15,900 17,462
Den Danske Bank 125 10,079
Den Norske Bank 20,125 76,213
Deutsche Bank AG 2,413 112,747
Dresdner Bank AG 2,263 67,796
Hang Seng Bank 8,000 97,227
HSBC Holdings - HKD 24,200 517,823
HSBC Holdings - [pound] 18,500 413,611
Kookmin Bank, ADR* 2,000 37,350
Krung Thai Bank PLC 12,300 23,741
Lloyds TSB Group 13,500 99,683
Macquarie Bank, Ltd.* 17,000 109,721
Malayan Bank BHD 11,000 121,956
National Westminster 5,000 58,763
Overseas Chinese Bank 6,300 78,339
Overseas Union Bank 12,000 92,618
Schweizerische Bankgesellschaft 92 80,625
</TABLE>
The accompanying holes are an integral part of the financial statements.
53
<PAGE> 84
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
BANKING - CONTINUED
<S> <C> <C>
Schweizerischer Bankverein 174 $ 33,084
Siam Commercial Bank PLC 5,000 36,263
Societe Generale 503 54,386
Standard Chartered 17,000 208,823
Sumitomo Trust and Banking 5,000 50,082
Unidanmark 115 5,954
United Overseas Bank 11,000 122,633
----------
3,935,553
BROADCASTING - 0.93%
British Sky Broadcast 3,500 31,300
News Corporation 30,000 158,334
Pearson 1,000 12,763
Reed International 1,650 31,038
Sangetsu Company 3,000 62,689
----------
296,124
BUILDING MATERIALS & CONSTRUCTION - 1.77%
Almetax Manufacturing Company, Ltd. 120 974
Cheung Kong Infrastructure Holdings* 5,000 13,252
Blue Circle Industries 2,000 12,232
Heiton Holdings PLC 3,710 6,036
Henry Walker Group, Ltd. 49,000 100,095
Holderbank Financial Glarus 10 7,142
Keppel International Engineering, Ltd. 34,000 35,475
Lafarge 340 20,399
Lingkaran Trans Kota Holdings BHD 9,000 18,531
L.G. Construction, Ltd. 2,000 39,290
Malaysian Industrial Development 35,000 65,136
Nawarat Patanakarn Public
Company, Ltd. 5,000 5,849
New World Infrastructure, Ltd.* 14,028 40,989
Nikko Company 2,000 12,607
PT Citra Marga Nusaphala Persada 70,000 54,826
Quality Concrete Holdings BHD* 15,000 81,964
Redland 1,500 9,483
Road King Infrastructure, Ltd.* 28,000 24,798
RMC Group 700 11,992
----------
561,070
BUSINESS SERVICES - 1.52%
Baa 4,500 37,314
BTG PLC 21,500 169,436
Eaux (Cie Generale) 645 79,934
Havas 125 8,769
Kinseki 5,000 55,695
Kurita Water Industries 6,000 121,233
Matichon Public Company, Ltd. 4,000 10,450
----------
482,831
CHEMICALS - 2.79%
Air Liquide 340 53,079
BASF AG 2,921 112,527
Bayer AG 3,362 137,207
BOC Group 2,000 29,947
Denki Kogyo Company 7,000 52,586
Hoechst AG 2,717 128,364
Imperial Chemical Industries 2,500 32,958
IOI Corporation 85,000 130,588
Mitsubishi Chemical 15,000 48,571
Rhone Poulenc SA 1,000 34,095
Toray Industries, Incorporated 20,000 123,478
----------
883,400
COMPUTERS & BUSINESS EQUIPMENT -0.03%
Shinawatra C. Communications 1,000 9,514
----------
CONGLOMERATES - 6.71%
BTR 15,000 73,240
CGIP 795 219,263
Citic Pacific, Ltd. 20,000 116,103
CSR, Ltd. 43,000 150,385
Grand Metropolitan 37,500 294,244
Hanson 42,500 59,705
Hutchison Whampoa 44,000 345,594
Kon PTT Nederland 3,640 138,938
Lyonnaise Des Eaux SA 130 12,099
Multi Purpose Holdings* 37,000 71,788
Oy Nokia AB, Series A 809 46,922
Oy Nokia AB, Series K 235 13,589
Orkla ASA 115 7,943
Renong BHD 70,000 124,173
Siebe 1,000 18,571
Societe Generale de Belgique 2,562 201,068
Swire Pacific 12,000 114,422
Tomkins 3,500 16,190
VIAG AG 116 45,532
Wheelock and Company 20,000 57,017
----------
2,126,786
CONSTRUCTION & MINING EQUIPMENT - 0.99%
Cahya Mata Sarawak 20,000 175,807
Sumitomo Densetsu 5,000 41,015
YTL Corporation 18,000 96,931
----------
313,753
CONTAINERS & GLASS - 0.81%
Cie De St. Gobain 245 34,659
Malaysia International Shipping 15,000 44,546
Nippon Sheet Glass 18,000 63,880
Rengo Company 20,000 113,634
----------
256,719
DOMESTIC OIL - 0.09%
Fuji Oil Company 4,000 28,529
----------
DRUGS & HEALTH CARE - 5.78%
Astra AB 1,251 61,817
Daiichi Clinical 1,000 8,419
Glaxo Wellcome 19,000 309,234
Kalbe Farma 14,000 16,003
L'Oreal 345 129,928
Novartis AG 326 373,372
Novo Nordisk AS 75 14,132
Roche Holdings AG 5 56,406
Roche Holdings AG Genusscheine 33 256,776
Shiseido Company 5,000 57,853
</TABLE>
The accompanying notes are an integral part of the financial statements.
54
<PAGE> 85
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
DRUGS & HEALTH CARE - CONTINUED
Smith and Nephew 6,500 $ 20,212
SmithKline Beecham 14,750 204,180
Takeda Chemical Industries 8,000 167,861
Zeneca Group 5,500 155,003
----------
1,831,196
ELECTRIC UTILITIES - 1.72%
Australia Gas and Light 11,000 $ 62,602
China Light and Power 20,000 88,952
Electrabel 136 32,192
EMP Nacional Electricidad 1,249 88,895
Hong Kong Electric 15,000 49,842
Iberdrola SA 4,316 61,170
London Electricity PLC 2,000 23,317
Veba AG 2,380 137,653
----------
544,623
ELECTRICAL EQUIPMENT - 1.37%
ABB AB 167 18,855
ABB AG* 20 24,879
Alcatel Alstom (CGE) 809 64,988
General Electric 7,500 49,212
Japan Radio Company 7,000 74,950
Leader Universal Holdings 18,666 39,172
Siemens AG 2,674 125,985
Technology Resources Industries
BHD* 18,000 35,494
----------
433,535
ELECTRONICS - 1.49%
Amstrad PLC 19,000 47,931
Samsung Electronic 600 30,817
TDK Corporation 3,000 195,579
Tokyo Electron 4,000 122,615
Toyo Engineering 7,000 31,310
Yokogawa Electric 5,000 43,174
----------
471,426
EQUIPMENT RENTAL - 0.17%
Thorn PLC 12,700 55,047
----------
FINANCIAL SERVICES -3.09%
Arab Malaysian Finance 21,000 117,244
Bunas Finance 16,000 18,967
Daiwa Securities 6,000 53,363
DCB Holdings BHD 38,000 130,152
Dhana Siam Finance and Securities 4,000 9,514
Henderson Investment 30,000 35,878
Internationale Nederlanden Groep NV 3,569 128,579
Manhattan Card Company 80,000 40,597
Mercury Asset Management Group 1,500 31,866
National Finance and Securities 2,000 3,763
Nomura Securities 6,000 90,148
Promise Company, Ltd. 3,800 187,030
Securities One, Ltd. 1,000 4,289
Singapore Finance 22,400 36,018
Tab Corporation Holdings, Ltd. 19,000 90,613
----------
978,021
FOOD & BEVERAGES - 2.96%
Allied Domecq PLC 3,500 27,463
Associated British Foods PLC 2,500 20,687
Bass 10,500 147,867
Cadbury Schweppes 3,000 25,338
Danone 401 55,878
Fraser and Neave 6,100 62,774
Guinness 5,500 43,250
Kentucky Fried Chicken BHD 30,000 123,540
Nestle SA 218 234,043
R.J. Reynolds BHD 20,000 54,247
Reckitt and Colman PLC 950 11,767
Tokuyama Corporation 18,000 95,432
Vitasoy International 50,000 21,818
Whitbread 1,000 13,483
----------
937,587
FOREST PRODUCTS - 0.30%
Amcor, Ltd. 15,000 96,455
----------
GAS EXPLORATION - 0.43%
Elf Aquitaine 1,381 125,710
Eni SPA 2,155 11,059
----------
136,769
GAS & PIPELINE UTILITIES - 0.16%
British Gas 13,000 49,889
----------
GOLD - 0.27%
Normandy Mining, Ltd.* 63,000 87,131
----------
HOMEBUILDERS - 0.23%
Taisei Corporation 14,000 72,533
----------
HOTELS & RESTAURANTS - 0.86%
Grand Hotel Holdings 78,000 32,775
Orchard Parade Holdings 25,000 53,598
Royal Company 10,000 185,649
----------
272,022
HOUSEHOLD APPLIANCES FURNISHING - 0.72%
Electrolux AB 450 26,129
Philips Electronic 5,010 203,128
----------
229,257
HOUSEHOLD PRODUCTS -0.93%
Advance Agro* 2,000 4,640
Erid Beghin Say 65 10,461
Unilever PLC 2,350 56,968
Unilever NV 1,259 222,850
----------
294,919
INDUSTRIAL MACHINERY - 1.52%
Hitachi Zosen Corporation 16,000 62,171
Jurong Shipyard 7,000 35,268
Keppel Corporation 5,500 42,843
Linde AG 85 51,924
Mannesmann AG 212 91,892
Mitsubishi Heavy Industries 15,000 119,161
THK Company, Ltd. 5,000 68,647
</TABLE>
The accompanying notes are an integral part of the financial statements.
55
<PAGE> 86
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
INDUSTRIAL MACHINERY - CONTINUED
<S> <C> <C>
Valeo 155 $ 9,560
----------
481,466
INSURANCE - 2.70%
Abbey National 4,000 52,356
Allianz AG Holding 111 201,976
Assic Generali 4,290 81,304
Axa 1,549 98,520
Baloise Holdings 15 30,146
Commercial Union 2,000 23,471
Mitsui Marine and Fire 20,000 107,590
Munchener Ruckvers 15 37,480
National Mutual Holdings, Ltd. 18,000 26,898
Nippon Fire and Marine 15,000 67,999
Prudential Corporation 5,500 46,359
Schweize Ruckversicherungs 30 32,028
Winterthur 85 49,152
----------
855,279
INTERNATIONAL OIL - 2.64%
British Petroleum 32,000 383,759
Petrofina SA 58 18,463
RWE AG 1,529 64,785
Shell Transport and Trading 18,500 320,747
Tullow Oil* 33,300 47,922
----------
835,676
LEISURE TIME - 1.44%
Aristocrat Leisure, Ltd. 44,000 114,363
EMI Group PLC 1,500 35,457
Granada Group 2,500 36,962
Guangdong Invest 75,000 72,241
Overseas Union Enterprises 4,000 20,010
Polygram 585 29,818
Rank Group 2,500 18,760
Resorts World BHD 22,000 100,178
Shangri La Asia, Ltd.* 20,000 29,608
----------
457,397
LIQUOR - 0.57%
Heineken NV 240 42,509
LVMH Moet Hennessy 498 139,077
----------
181,586
METAL & METAL PRODUCTS -0.71%
Amtek Engineering, Ltd. 41,000 81,455
Kitagawa Industries Company, Ltd. 3,000 106,208
PT Tambang Timah 20,000 36,410
----------
224,073
MINING - 0.86%
Centaur Mining and Exploration* 68,000 105,397
Lanna Lignite Public Company, Ltd.* 2,500 18,326
Savage Resources 135,000 148,080
----------
271,803
MISCELLANEOUS SERVICES - 1.15%
Alsons Consolidated Resources,
Incorporated* 800,000 66,312
Eastern and Oriental BHD 52,000 100,891
Lingui Developments BHD 15,000 25,658
Metallgesellschaft AG* 8,340 170,724
----------
363,585
NEWSPAPERS - 0.03%
Mirror Group PLC 3,000 11,050
----------
NON-FERROUS METALS - 1.68%
Pasminco, Ltd. 50,000 78,690
QNI Limited 53,000 106,581
RTZ Corporation 3,150 50,620
Straits Trading Company 20,000 48,596
WMC, Ltd. 39,500 248,975
----------
533,462
OFFICE FURNISHINGS & SUPPLIES - 0.12%
Catena Corporation 5,000 36,871
----------
PAPER - 0.11%
Enso Oy* 2,230 17,937
Metsa-Serla Oy 1,675 12,563
Siam Pulp and Paper 2,000 3,802
----------
34,302
PETROLEUM SERVICES - 3.94%
Broken Hill Property 12,700 180,895
National Petrochemical 19,000 9,631
Norsk Hydro AS 280 14,993
Novus Petroleum 73,000 167,109
Repsol SA 1,548 59,380
Royal Dutch Petrol 4,042 709,135
Total 1,319 107,279
----------
1,248,422
PUBLISHING -0.32%
Elsevier NV 1,670 28,244
Land and House 2,000 14,583
Reuters Holdings 4,500 57,859
----------
100,686
RAILROADS & EQUIPMENT - 0.49%
East Japan Railway 20 89,975
Hankyu Corporation 13,000 64,545
----------
154,520
REAL ESTATE - 4.69%
Amoy Properties 40,766 58,768
Cheung Kong Holdings 24,000 213,330
China Resources Beijing* 20,000 12,671
City Developments 6,500 58,529
DBS Land 6,500 23,923
Great Eagle Holdings 10,000 41,244
Henderson Land Development 15,000 151,270
Hysan Development* 25,000 99,554
Mitsubishi Estate 5,000 51,377
Mitsui Fudosan Company 5,000 50,082
New World Development Company 20,000 135,109
PT Duta Pertiwi Properties 18,000 14,098
Pakuwon Jati 107,000 41,903
Parkway Holdings 24,000 94,333
Sri Hartamas Corporation BHD 52,000 35,415
</TABLE>
The accompanying notes are an integral part of the financial statements.
56
<PAGE> 87
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
REAL ESTATE - CONTINUED
Sun Hung Kai Properties 19,000 $ 232,756
United Overseas Land 29,000 44,144
Wharf Holdings 25,580 127,660
-----------
1,486,166
RETAIL TRADE - 3.45%
Boots Company 4,500 46,411
Carrefour 208 135,339
Circle K Japan Company 2,600 112,253
F.H. Faulding and Company 32,000 216,453
Grafton Group 505 5,905
Great Universal Stores 3,500 36,757
Hour Glass, Ltd. 18,000 13,121
Kesko 565 7,971
La Senza PLC* 9,500 21,158
Marks and Spencer 15,000 126,435
Matahari Putra Prima 35,000 40,749
Mitsubishi Corporation 8,000 82,894
Pinault Printemps Redoute SA 111 44,028
J. Sainsbury PLC 15,500 102,767
Tesco 16,500 100,169
-----------
1,092,310
SOFTWARE - 0.72%
Datacraft Asia, Ltd. 67,000 111,890
NTT Data Communication
Systems Company 4 117,088
-----------
228,978
STEEL -0.04%
Thyssen AG 70 12,419
-----------
TELECOMMUNICATION SERVICES -0.52%
Cable and Wireless 8,500 71,064
COLT Telecom Group PLC* 2,000 10,108
Jasmine International Public
Company, Ltd. 10,000 15,305
L.M. Ericsson Telephone 2,188 67,694
-----------
164,171
TELEPHONE - 3.64%
British Telecom 40,000 270,687
Hong Kong Telecomm 80,000 128,774
Indosat 11,000 30,271
Nippon Telegraph and Telephone
Corporation 13 98,558
Stet 14,500 48,986
Stet SPA 28,865 131,291
Tele Danmark AS 1,285 70,894
Telecom Italia 7,800 15,220
Telecom Italia SPA 49,162 127,685
Telecom Italia Mobile 49,162 124,282
Telecom Italia Mobile Di Risp 7,800 11,132
Telefonica de Espana SA 4,544 105,528
United Communication Industry 3,000 32,286
Vodafone Group 5,000 21,158
-----------
1,216,752
TOBACCO - 0.55%
BAT Industries PLC 21,000 174,131
-----------
TRUCKING & FREIGHT FORWARDING - 0.06%
P & O 2,000 20,250
-----------
TOTAL COMMON STOCKS
(Cost: $23,965,433) $26,980,365
-----------
PREFERRED STOCKS - 0.62%
BANKING - 0.17%
Sakura Finance* 6,000,000 53,519
-----------
MISCELLANEOUS - 0.41%
Fuji International* 15,000,000 129,522
-----------
SOFTWARE - 0.04%
Sap AG 85 11,876
-----------
TOTAL PREFERRED STOCKS
(Cost: $202,404) 194,917
-----------
WARRANTS - 0.31%*
AUTO PARTS - 0.08%
NGK Spark Plug Company (Expiration
date 01/20/98; strike price([Yen]1,137) 40 24,000
-----------
CHEMICALS - 0.01%
Shin Etsu Chemical Company
(Expiration date 08/01/00;
strike price([Yen]1,917) 5 3,625
-----------
DRUGS & HEALTH CARE - 0.00%
Shiseido Company, Ltd. (Expiration
date 01/22/97; strike price([Yen]1,323) 10 250
-----------
ELECTRICAL EQUIPMENT - 0.01%
Best Denki Company (Expiration
date 05/14/97; strike price([Yen]1,499) 70 1,750
-----------
ELECTRONICS - 0.02%
Kyocera Corporation (Expiration
date 01/23/98; strike price([Yen]6,458) 10 7,000
-----------
FINANCIAL SERVICES - 0.02%
DCB Holdings BHD (Expiration date
12/27/99; strike price MYR 5.40) 5,000 7,523
-----------
MINING - 0.01%
Normandy Mining (Expiration date
04/30/01; strike price AUD 2.50) 3,200 1,068
Savage Resources, Ltd. (Expiration
date 11/30/98; strike price AUD 1.25) 9,500 2,416
-----------
3,484
</TABLE>
The accompanying notes are an integral part of the financial statements.
57
<PAGE> 88
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
MISCELLANEOUS SERVICES - 0.14%
Canon Sales Company, Incorporated
(Expiration date 11/22/99;
strike price([Yen]2,266.30) 90 $ 11,834
Canon Sales Company, Incorporated
(Expiration date 11/11/97;
strike price([Yen]2,237) 65 6,216
IOI Corporation BHD (Expiration date
04/30/00; strike price MYR 3.35) 16,000 6,842
KFC Holdings BHD (Expiration date
02/07/01; strike price MYR 9.50) 6,000 1,484
Multi-Purpose Holdings BHD (Expiration
date 11/23/98; strike price MYR 4.00) 37,000 147
Natwest Financial Products PLC
(Expiration date 10/16/97;
strike price HKD 63.33) 10,000 4,751
Nomura International PLC (Expiration
date 04/23/99; strike price([Yen]1,937) 15 11,625
Tokyo Electron, Ltd. (Expiration date
03/05/98; strike price([Yen]3,444) 10 1,301
----------
44,200
REAL ESTATE - 0.01%
Hysan Development Company, Ltd.
(Expiration date 04/30/98;
strike price HKD 25.00) 1,000 905
United Overseas Land, Ltd. (Expiration
date 05/28/01; strike price SGD 1.60) 2,600 1,570
----------
2,475
RETAIL TRADE - 0.01%
Takashimaya Company, Ltd. (Expiration
date 07/02/98; strike price([Yen]1,569) 120 4,124
----------
TOTAL WARRANTS (Cost: $135,468) $ 98,431
----------
Principal
Amount Value
------ -----
CONVERTIBLE BONDS - 3.79%
BUILDING MATERIALS & CONSTRUCTION -0.19%
Daiwa House Industry Company,
Ltd., 0.80% due 03/31/98 (Yen) 7,000,000 $ 60,444
----------
CHEMICALS - 0.46%
Shin Etsu Chemical Company,
0.04% due 09/30/05 15,000,000 144,418
----------
COMPUTERS & INTEGRATED SYSTEMS - 0.43%
NEC Corporation,
1.00% due 09/30/11 15,000,000 134,703
----------
ELECTRONICS - 0.83%
Sony Corporation,
0.15% due 03/30/01 26,000,000 263,570
----------
HOUSEHOLD PRODUCTS - 0.14%
KAO Corporation,
0.95% due 3/31/06 5,000,000 43,649
----------
LEISURE TIME - 0.15%
Namco, Ltd., 0.90% due 09/30/03 (Yen) 5,000,000 48,571
----------
MISCELLANEOUS - 0.21%
Asahi Glass Company,
1.90% due 12/26/08 3,000,000 26,423
Dai Nippon Screen,
0.25% due 09/30/00 CHF 50,000 37,542
Lyonnaise des Eaux SA,
4.00% due 01/01/06 1,000 1,174
----------
65,139
OFFICE FURNISHINGS & SUPPLIES - 0.55%
Ricoh Company, Ltd.,
6.35% due 03/31/03 (Yen) 18,000,000 173,612
----------
REAL ESTATE -0.07%
Henderson Capital,
5.00% due 03/28/97 HKD 25,000 21,531
----------
RETAIL TRADE - 0.77%
Marui Company, Ltd.,
1.15% due 01/31/12 (Yen) 20,000,000 172,524
Maruzen Company, Ltd.,
0.95% due 09/30/05 10,000,000 72,446
----------
244,970
TOTAL CONVERTIBLE BONDS
(Cost: $1,244,346) $1,200,607
----------
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 10.14%
$3,212,000 Repurchase Agreement with State
Street Bank & Trust Company
dated 12/31/96 at 4.75%, to be
repurchased at $3,212,848 on
01/02/97, collateralized by
$3,270,000 U.S. Treasury Notes,
5.625% due 02/28/01 (valued at
$3,341,698, including interest) $ 3,212,000
-----------
TOTAL INVESTMENTS
(International Stock Trust)
(Cost: $28,759,651) $31,686,320
===========
<CAPTION>
GLOBAL EQUITY TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS -98.53%
AIR TRAVEL - 1.55%
AMR Corporation* 124,100 $10,936,313
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
58
<PAGE> 89
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ------------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
ALUMINUM - 1.01%
Aluminum Company of America 111,700 $ 7,120,875
-----------
AUTOMOBILES - 3.41%
General Motors Corporation 137,300 7,654,475
Peugeot SA 44,800 5,042,536
Volkswagen AG 27,500 11,437,484
-----------
24,134,495
BANKING - 8.56%
ABN AMRO Holdings NV 118,700 7,727,704
Bank of New York, Incorporated 448,700 15,143,625
Banque Nationale de Paris 173,900 6,730,099
Den Norske Bank 1,034,500 3,917,648
First Chicago NBD Corporation 146,000 7,847,500
HSBC Holdings 516,000 11,253,521
Mellon Bank Corporation 111,200 7,895,200
-----------
60,515,297
BUSINESS SERVICES - 0.39%
Intelidata Technologies Corporation 383,200 2,778,200
-----------
CHEMICALS - 5.95%
Akzo Nobel NV ADS 54,300 7,422,415
BASF AG 217,700 8,386,571
Bayer AG 360,700 14,720,536
Potash Corporation of
Saskatchewan, Incorporated 135,500 11,548,127
-----------
42,077,649
COMPUTERS & BUSINESS EQUIPMENT - 2.51%
Data General Corporation* 353,000 5,118,500
Olivetti & C. SPA* 5,395,000 1,902,653
Tandy Corporation 243,300 10,705,200
-----------
17,726,353
CONGLOMERATES - 3.08%
CSR, Ltd. 1,939,000 6,781,337
Jardine Strategic Holdings, Ltd. 4,142,000 14,994,040
-----------
21,775,377
CONSTRUCTIONS & MINING EQUIPMENT - 0.92%
Greenfield Industries, Incorporated 212,200 6,498,625
-----------
CONSTRUCTION MATERIALS - 0.92%
Holderbank Financiere Glarus, Ltd. 9,100 6,499,514
-----------
CONTAINERS & GLASS - 0.69%
Toyo Seikan Kaisha 201,000 4,842,328
-----------
CRUDE PETROLEUM & NATURE GAS - 1.08%
Elf Aquitaine 84,200 7,664,577
-----------
ELECTRIC UTILITIES - 3.63%
Iberdrola SA 679,700 9,633,337
Southern Electric PLC 350,000 4,749,015
Veba AG 194,600 11,255,134
-----------
25,637,486
ELECTRICAL EQUIPMENT - 0.90%
Hitachi, Ltd. 680,000 6,341,421
-----------
ELECTRONICS - 3.15%
Ascom Holding AG 3,180 $ 3,238,207
GenRad, Incorporated* 312,000 7,254,000
SGS Thomson Microelectronics,
Incorporated* 68,900 4,873,528
TDK Corporation 106,000 6,910,457
-----------
22,276,192
FINANCIAL SERVICES - 5.24%
Enhance Financial Services Group,
Incorporated 126,300 4,609,950
Internationale Nederlanden Groep NV 316,540 11,403,874
PennCorp Financial Group,
Incorporated 247,750 8,919,000
UST Corporation 585,800 12,082,125
-----------
37,014,949
FOOD & BEVERAGES - 7.92%
Danone 22,600 3,149,234
Kao Corporation 1,584,000 18,464,727
Nestle SA 8,900 9,554,949
Reckitt & Colman PLC 1,118,538 13,854,771
Tate & Lyle PLC 1,350,950 10,935,821
-----------
55,959,502
HOUSEHOLD APPLIANCES FURNISHING - 1.98%
Matsushita Electric Industrial
Company, Ltd. 404,000 6,593,213
Philips Electronics NV 182,300 7,391,254
-----------
13,984,467
HOUSEHOLD PRODUCTS - 2.18%
Unilever PLC 636,100 15,420,276
-----------
INDUSTRIAL MACHINERY- 4.48%
Bobst AG 2,500 3,380,650
Schindler Holding AG 3,400 3,695,928
Sulzer AG 5,600 3,234,068
Sumitomo Rubber Industries 450,000 3,353,337
Tecumseh Products Company 121,500 6,971,063
Valeo 179,100 11,045,967
-----------
31,681,013
INSURANCE - 3.96%
MBIA, Incorporated 115,300 11,674,125
SCOR SA, ADS 94,750 3,332,731
Sumitomo Marine & Fire 836,000 5,197,479
WPP Group PLC, ADR 1,794,000 7,775,946
-----------
27,980,281
MUTUAL FUNDS - 0.26%
India Gateway Fund 327,260 1,466,125
Indian Opportunities Fund 43,588 338,682
-----------
1,804,807
PAPER - 1.31%
Boise Cascade Corporation 290,700 9,229,725
-----------
PETROLEUM SERVICES - 1.62%
Repsol SA 299,400 11,484,783
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
59
<PAGE> 90
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ------------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
PHOTOGRAPHY - 2.02%
Fuji Photo Film Company 433,000 $ 14,282,532
------------
POLLUTION CONTROL - 1.96%
Browning-Ferris Industries,
Incorporated 527,200 13,839,000
------------
PUBLISHING -2.33%
Houghton Mifflin Company 290,400 16,443,900
------------
RAILROADS & EQUIPMENT - 0.87%
East Japan Railway 1,360 6,118,297
------------
RETAIL TRADE - 8.51%
Coles Myer, Ltd. 1,814,347 7,470,247
Delhaize-Le Lion SA 118,900 7,064,108
G.I.B. Holdings, Ltd. 79,300 3,554,160
Karstadt AG 38,300 12,942,552
Limited, Incorporated 344,600 6,332,025
D.S. Revco, Incorporated* 113,600 4,203,200
Vendex International NV 84,500 3,616,884
Waban, Incorporated* 576,200 14,981,200
------------
60,164,376
SOFTWARE - 0.30%
Novell, Incorporated* 224,000 2,121,000
------------
STEEL - 0.32%
Lukens, Incorporated 113,000 2,274,125
------------
TELECOMMUNICATION SERVICES - 2.24%
Comsat Corporation 582,500 14,344,063
Lucent Technologies, Incorporated 32,732 1,513,855
------------
15,857,918
TELEPHONE - 9.42%
American Telephone & Telegraph
Corporation 342,300 14,890,050
MCI Communications Corporation 385,800 12,610,838
Nippon Telegraph & Telephone
Corporation 2,447 18,551,645
Stet 3,650,000 12,331,081
Telefonica De Espana SA 353,300 8,204,887
------------
66,588,501
TOBACCO - 2.91%
BAT Industries PLC 490,000 4,063,046
Philip Morris Companies, Incorporated 146,000 16,544,613
------------
20,607,659
TRUCKING & FREIGHT - 0.96%
Peninsular & Oriental Steam
Navigation Company 672,000 6,804,042
------------
TOTAL COMMON STOCKS
(Cost: $645,015,596) $696,485,855
------------
</TABLE>
Principal
Amount Value
------ -----
REPURCHASE AGREEMENT - 1.47%
$10,421,000 Repurchase Agreement with State
Street Bank & Trust Company dated
12/31/96 at 4.75%, to be repurchased at
$10,423,750 on 01/02/97 collateralized
by $10,840,000 U.S. Treasury Notes,
5.50% due 12/31/00 (valued at $10,934,734,
including interest) $ 10,421,000
------------
TOTAL INVESTMENTS
(Global Equity Trust) (Cost: $655,436,596) $706,906 855
============
<TABLE>
<CAPTION>
GROWTH TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 78.40%
AEROSPACE - 4.22%
Boeing Company 6,350 $ 675,481
Computer Sciences Corporation* 9,725 798,666
Gulfstream Aerospace Corporation* 24,000 582,000
Lockheed Martin Corporation 4,150 379,725
-------
2,435,872
BANKING - 1.01%
BankAmerica Corporation 5,850 583,538
-------
BUSINESS SERVICES - 2.09%
First Data Corporation 8,450 308,425
Fiserv, Incorporated* 12,450 457,538
Gartner Group, Incorporated, Class A* 11,325 440,967
-------
1,206,930
CHEMICALS - 0.65%
The B.F. Goodrich Company 9,275 375,638
-------
COMPUTERS & BUSINESS EQUIPMENT - 7.01%
3Com Corporation* 6,500 476,937
Cisco Systems, Incorporated* 20,475 1,302,722
Compaq Computer Corporation* 8,000 594,000
Fore Systems, Incorporated* 17,000 558,875
International Business Machines
Corporation 4,725 713,475
Oce-Van Der Grinten NV 3,700 402,039
-------
4,048,048
CONGLOMERATES - 0.32%
Hunter Douglas NV 2,700 182,189
-------
DOMESTIC OIL - 0.54%
Phillips Petroleum Company 7,025 310,856
-------
</TABLE>
The accompanying notes are an integral part of the financial statements.
60
<PAGE> 91
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
DRUGS & HEALTH CARE - 13.51%
ASTRA AB, Series B 9,500 $ 458,291
ASTRA AB, ADR 2,600 124,150
Bristol-Myers Squibb Company 7,525 818,344
Cardinal Health, Incorporated 8,175 476,194
Columbia/HCA Healthcare Corporation 14,562 593,402
Johnson & Johnson 6,550 325,862
Eli Lilly and Company 6,100 445,300
Oxford Health Plans, Incorporated* 9,600 562,200
Pacificare Health System,
Incorporated, Class B* 4,150 353,788
Phycor, Incorporated* 24,025 681,709
SmithKline Beecham PLC, ADR 7,625 518,500
Stryker Corporation 7,250 216,594
United States Surgical Corporation 14,500 570,937
Warner-Lambert Company 22,050 1,653,750
---------
7,799,021
ELECTRICAL EQUIPMENT - 2.56%
Duracell International, Incorporated 5,550 387,806
General Electric Company 11,000 1,087,625
---------
1,475,431
ELECTRONICS - 10.56%
ADC Telecommunication, Incorporated* 24,725 769,566
Altera Corporation* 7,825 568,780
Andrew Corporation* 5,300 281,231
Intel Corporation* 13,325 1,744,742
Maxim Integrated Products,
Incorporated 13,250 573,062
Picturetel Corporation* 6,825 177,450
Tellabs, Incorporated* 15,850 596,356
Xilinx, Incorporated* 37,750 1,389,672
---------
6,100,859
FINANCIAL SERVICES - 3.44%
Associates First Capital
Corporation, Class A 13,275 585,759
The Chase Manhattan Corporation 6,450 575,663
Federal Home Loan Mortgage
Corporation 2,625 289,078
Federal National Mortgage Association 14,425 537,331
---------
1,987,831
FOOD & BEVERAGES - 2.17%
The Coca-Cola Company 11,100 584,137
The Coca-Cola Enterprises,
Incorporated 13,825 670,513
---------
1,254,650
GAS & PIPELINE UTILITIES - 0.68%
The Williams Companies, Incorporated 10,500 393,750
---------
HOTELS & RESTAURANTS - 1.98%
The Cheesecake Factory, Incorporated* 6,750 122,344
HFS, Incorporated* 2,900 173,275
Host Marriott Corporation 14,950 239,200
Marriot International, Incorporated 8,825 487,581
Sun International Hotels, Ltd.* 3,350 122,275
---------
1,144,675
HOUSEHOLD APPLIANCES FURNISHING - 0.90%
Sunbeam Corporation 20,150 $ 518,863
---------
HOUSEHOLD PRODUCTS - 1.16%
Clorox Company 6,650 667,494
---------
INSURANCE - 3.06%
CIGNA Corporation 2,850 389,381
Everest Reinsurance Holdings 9,100 261,625
Progressive Corporation 8,200 552,475
Providian Corporation 11,000 565,125
---------
1,768,606
INTERNATIONAL OIL - 1.44%
THE BRITISH PETROLEUM COMPANY
PLC, ADR 1,250 176,719
Exxon Corporation 1,800 176,400
Gulf Canada Resources, Ltd. 18,000 132,750
Royal Dutch Petroleum Company, ADR 1,100 187,825
Texaco, Incorporated 1,600 157,000
---------
830,694
LEISURE TIME - 2.34%
Circus Circus Enterprises, Incorporated* 25,150 864,531
International Game Technology 26,800 489,100
---------
1,353,631
PETROLEUM SERVICES - 1.06%
Global Marine, Incorporated* 7,500 154,688
Schlumberger, Ltd. 4,600 459,425
---------
614,113
RETAIL GROCERY - 1.56%
Kroger Company* 6,800 316,200
Safeway, Incorporated* 13,700 585,675
---------
901,875
RETAIL TRADE - 1.59%
Consolidated Stores Corporation* 10,094 324,262
Federated Department Stores,
Incorporated* 11,250 383,906
Fila Holdings SPA, ADR 3,650 212,156
---------
920,324
SOFTWARE - 10.07%
BMC Software, Incorporated* 16,750 693,031
Cadence Design System, Incorporated* 16,700 663,825
Computer Associate International,
Incorporated 11,575 575,856
Documentum, Incorporated* 2,350 79,313
HBO & Company 11,350 673,906
Microsoft Corporation* 2,050 169,381
Oracle Corporation* 18,000 751,500
Parametric Technology Corporation* 18,025 926,035
PeopleSoft, Incorporated* 16,650 798,159
Shared Medical Systems Corporation 9,875 486,344
---------
5,817,350
TELECOMMUNICATION SERVICES - 3.54%
Ascend Communications, Incorporated 13,525 840,241
Korea Mobile Telecommunication, ADR 6,953 89,513
Lucent Technologies, Incorporated 10,900 504,125
</TABLE>
The accompanying notes are an integral part of the financial statements.
61
<PAGE> 92
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
TELECOMMUNICATION SERVICES - CONTINUED
Premisys Communications,
Incorporated* 12,400 $ 418,500
TeleCom Brazil-Telebras, ADR 2,475 189,338
-----------
2,041,717
TELEPHONE - 0.94%
DDI Corporation 10 66,142
WorldCom, Incorporated* 18,275 476,292
-----------
542,434
TOTAL COMMON STOCKS
(Cost: $43,019,972) $45,276,389
-----------
WARRANTS - 0.42%
ELECTRONICS - 0.42%
Intel Corporation (Expiration date
03/14/98; Strike price $41.75) 2,600 239,850
-------
TOTAL WARRANTS
(Cost: $201,607) $239,850
<CAPTION> --------
Principal
Amount Value
------ -----
REPURCHASE AGREEMENT - 21.18%
$ 12,232,000 Repurchase Agreement with
State Street Bank & Trust Company
dated 12/31/96 at 4.75%, to be
repurchased at $12,235,228 on
01/02/97, collateralized by
$11,955,000 U.S. Treasury Notes,
7.25% due 02/15/98 (valued at
$12,805,465, including interest) $12,232,000
-----------
TOTAL INVESTMENTS
(Growth Trust) (Cost: $55,453,579) $57,748,239
</TABLE> ===========
<TABLE>
EQUITY TRUST
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS -95.03%
AEROSPACE - 3.03%
BE Aerospace, Incorporated* 80,000 $ 2,170,000
Boeing Company 121,100 12,882,013
Bombardier, Incorporated, Class B 570,000 10,490,031
U.S. Robotics Corporation* 45,000 3,240,000
United Technologies Corporation 188,000 12,408,000
-----------
41,190,044
AIR TRAVEL - 0.50%
America West Airlines,
Incorporated, Class B* 17,300 274,637
KLM Royal Dutch Airlines* 2,857 79,639
Southwest Airlines Company 100,000 2,212,500
USAir Group, Incorporated* 178,900 4,181,788
-----------
6,748,564
APPAREL & TEXTILES - 0.61%
Reebok International, Ltd. 198,500 8,337,000
-----------
AUTOMOBILES - 0.53%
Chrysler Corporation 217,000 7,161,000
-----------
AUTO PARTS - 0.52%
The Allen Group, Incorporated 315,900 7,028,775
-----------
BANKING - 5.21%
Bank of New York, Incorporated 146,000 4,927,500
BankAmerica Corporation 133,700 13,336,575
Citicorp 104,500 10,763,500
Comerica, Incorporated 391,200 20,489,100
GreenPoint Financial Corporation 60,000 2,835,000
MBNA Corporation 135,000 5,602,500
NationsBank Corporation 132,100 12,912,775
-----------
70,866,950
BUSINESS SERVICES - 3.11%
AC Nielsen Corporation* 480,700 7,270,588
Cognizant Corporation* 225,000 7,425,000
IKOS Systems, Incorporated* 34,700 694,000
NCR Corporation* 25,000 840,625
Nokia Corporation, ADR 160,000 9,220,000
Stone & Webster, Incorporated 237,000 7,465,500
TeleSpectrum Worldwide,
Incorporated* 174,000 2,762,250
Viad Corporation 400,200 6,603,300
-----------
42,281,263
CHEMICALS - 2.12%
BetzDearborn, Incorporated 115,000 6,727,500
Monsanto Company 50,000 1,943,750
Nalco Chemical Company 424,100 15,320,613
Union Carbide Corporation 119,300 4,876,387
-----------
28,868,250
COMPUTERS & BUSINESS EQUIPMENT - 4.91%
Comdisco, Incorporated 288,500 9,159,875
Compaq Computer Corporation* 134,400 9,979,200
Dell Computer Corporation* 269,000 14,290,625
E*Trade Group, Incorporated* 70,000 805,000
Exabyte Corporation* 100,900 1,349,538
Ingram Micro, Incorporated, Class A* 150,000 3,450,000
Quantum Corporation* 40,000 1,145,000
Radius, Incorporated* 195 104
Seagate Technology, Incorporated* 322,800 12,750,600
Tech Data Corporation* 192,800 5,277,900
Western Digital Corporation* 150,000 8,531,250
-----------
66,739,092
CONTIANERS & GLASS - 0.10%
Owens-Illinois, Incorporated* 59,100 1,344,525
-----------
CRUDE PETROLEUM & NATURAL GAS - 5.03%
American Exploration Company* 350,800 5,612,800
Anadarko Petroleum Corporation 99,100 6,416,725
Belco Oil & Gas Corporation* 50,600 1,385,175
BJ Services Company* 224,500 11,449,500
Chesapeake Energy Corporation* 209,000 11,625,625
Chieftrain International, Incorporated* 12,400 322,400
</TABLE>
The accompanying notes are an integral part of the financial statements.
62
<PAGE> 93
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
CRUDE PETROLEUM & NATURAL GAS - CONTINUED
Cliffs Drilling Company* 185,600 $ 11,739,200
Denbury Resources, Incorporated-CAD* 294,650 4,303,659
Denbury Resources, Incorporated* 1,350 19,406
Forcenergy Gas Exploration,
Incorporated* 243,600 8,830,500
Renaissance Energy, Ltd.* 196,300 6,687,647
United Meridian Corporation* 200 10,350
------------
68,402,987
DOMESTIC OIL - 4.32%
Flores & Rucks, Incorporated* 191,400 10,192,050
Noble Affiliates, Incorporated 232,100 11,111,788
PanEnergy Corporation 304,000 13,680,000
Pennzoil Company 158,000 8,927,000
Sun Company, Incorporated 172,600 4,207,125
Unocal Corporation 260,900 10,599,062
------------
58,717,025
DRUGS & HEALTH CARE - 4.33%
AmeriSource Health Corporation* 60,000 2,895,000
Becton Dickinson & Company 303,400 13,159,975
Bristol Myers Squibb Company 130,800 14,224,500
Fresenius Medical Care
Aktiengesel, ADR* 30,000 843,750
Healthsouth Corporation* 91,700 3,541,913
Living Centers of America, Incorporated* 60,000 1,665,000
Merck & Company, Incorporated 70,000 5,547,500
Pediatrix Medical Group* 117,100 4,318,062
Renal Treatment Centers, Incorporated* 80,000 2,040,000
Sierra Health Services, Incorporated* 431,100 10,615,837
------------
58,851,537
ELECTRICAL EQUIPMENT - 4.75%
ANTEC Corporation* 143,800 1,294,200
Atmel Corporation* 189,400 6,273,875
DT Inductries, Incorporated 155,000 5,425,000
General Electric Company 199,400 19,715,675
General Instrument Corporation* 277,700 6,005,262
Jabil Circuit, Incorporated* 120,000 4,800,000
Oak Industries, Incorporated 249,900 5,747,700
Raychem Corporation 149,000 11,938,625
Westinghouse Electric Corporation 168,500 3,348,938
------------
64,549,275
ELECTRONICS - 11.23%
Adaptec, Incorporated* 292,600 11,704,000
Bell & Howell Company* 161,400 3,833,250
Benchmark Electronics, Incorporated* 180,000 5,422,500
Brightpoint, Incorporated* 331,550 9,863,612
Credence Systems Corporation* 125,000 2,515,625
Dynatech Corporation* 50,000 2,212,500
Etec Systems, Incorporated* 446,100 17,063,325
Hadco Corporation* 56,000 2,744,000
Imation Corporation* 1,156,300 32,520,938
Intel Corporation* 185,300 24,262,719
Inter-Tel, Incorporated* 280,000 5,320,000
Lam Research Corporation* 177,100 4,980,938
Lattice Semiconductor Corporation* 66,000 3,036,000
Leitch Technology Corporation* 34,100 633,787
Linear Technology Corporation 30,000 1,316,250
Motorola, Incorporated 50,000 3,068,750
Silicon Graphics, Incorporated* 308,300 7,861,650
Tellabs, Incorporated* 170,000 6,396,250
Xilinx, Incorporated* 7,300 268,731
Zebra Technologies
Corporation, Class A* 328,000 7,667,000
------------
152,691,825
FINANCIAL SERVICES - 6.72%
American Express Company 290,900 16,435,850
Case Corporation 171,300 9,335,850
Delta Financial Corporation* 3,000 54,000
FactSet Research Systems,
Incorporated* 88,500 1,858,500
Federal Home Loan Mortgage
Corporation 82,700 9,107,337
Federal National Mortgage Association 430,400 16,032,400
Household International, Incorporated 262,000 24,169,500
Travelers Group, Incorporated 316,400 14,356,650
------------
91,350,087
FOOD & BEVERAGES -0.12%
Earthgrains Company 31,000 1,619,750
------------
FURNITURE AND FIXTURES - 0.15%
O'Sullivan Industries Holdings,
Incorporated* 150,000 2,100,000
------------
GAS & PIPELINE UTILITIES - 0.94%
Columbia Gas Systems, Incorporated 200,000 12,725,000
------------
HOTELS & RESTAURANTS - 0.48%
Hospitality Franchise Systems,
Incorporated* 15,000 896,250
Hilton Hotels Corporation 204,700 5,347,787
Sun International Hotels, Ltd.* 6,000 219,000
------------
6,463,037
HOUSEHOLD APPLIANCES FURNISHING - 2.06%
Stanley Furniture, Incorporated* 183,300 3,643,087
Sunbeam Corporation 946,400 24,369,800
------------
28,012,887
HOUSEHOLD PRODUCTS - 2.31%
Dial Corporation 709,100 10,459,225
Tupperware Corporation 392,000 21,021,000
------------
31,480,225
INDUSTRIAL MACHINERY - 2.33%
Applied Materials, Incorporated* 60,000 2,156,250
Crane Company 100,000 2,900,000
Kaydon Corporation 249,800 11,771,825
Manitowoc, Incorporated 44,600 1,806,300
TRINOVA Corporation 257,200 9,355,650
Tyco International, Ltd. 70,000 3,701,250
------------
31,691,275
</TABLE>
The accompanying notes are an integral part of the financial statements.
63
<PAGE> 94
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
INSURANCE - 0.94%
CIGNA Corporation 94,000 $12,842,750
-----------
LEISURE TIME - 0.43%
Brunswick Corporation 245,000 5,880,000
-----------
LIQUOR - 0.40%
Adolph Coors Company, Class B 285,600 5,426,400
-----------
MINING - 0.29%
Bro-X Minerals, Ltd.* 23,500 41,189
Greenstone Resources, Ltd.* 333,000 3,878,880
-----------
3,920,069
MISCELLANEOUS - 0.11%
CareMatrix Corporation* 118,400 1,554,000
-----------
NON-FERROUS METALS - 0.56%
Oregon Metallurgical Corporation 44,100 1,422,225
Titanium Metals Corporation* 190,000 6,246,250
-----------
7,668,475
OFFICE FURNISHINGS & SUPPLIES - 0.21%
Staples, Incorporated* 160,000 2,890,000
-----------
PAPER - 1.45%
IKON Office Solutions, Incorporated* 286,500 14,790,562
Unisource Worldwide, Incorporated 244,900 4,959,225
-----------
19,749,787
PETROLEUM SERVICES - 1.80%
Baker Hughes, Incorporated 220,000 7,590,000
Tosco Corporation 186,800 14,780,550
Western Atlas, Incorporated* 29,700 2,104,987
-----------
24,475,537
PHOTOGRAPHY - 0.76%
Eastman Kodak Company 128,600 10,320,150
-----------
POLLUTION CONTROL - 0.25%
Allied Waste Industries, Incorporated* 374,700 3,465,975
-----------
PUBLISHING - 0.34%
John H. Harland Company 141,100 4,656,300
-----------
REAL ESTATE - 0.14%
Brooks Fiber Properties, Incorporated* 76,500 1,950,750
-----------
RETAIL GROCERY - 0.02%
Dominicks Supermarkets, Incorporated* 10,000 217,500
-----------
RETAIL TRADE - 6.47%
Circuit City Stores, Incorporated 110,300 $ 3,322,787
CompUSA, Incorporated* 436,800 9,009,000
Consolidated Stores Corporation* 70,625 2,268,828
CVS Corporation 245,700 10,165,838
Dayton Hudson Corporation 173,900 6,825,575
Footstar, Incorporated* 70,737 1,759,583
Limited, Incorporated 110,000 2,021,250
Loehmanns, Incorporated* 48,500 1,115,500
Office Depot, Incorporated* 510,000 9,052,500
99 Cents Only Stores* 183,800 3,009,725
PETsMART, Incorporated* 163,800 3,583,125
Pier 1 Imports, Incorporated 404,700 7,132,838
Ross Stores, Incorporated 165,000 8,250,000
Sears Roebuck & Company 255,000 11,761,875
TJX Companies, Incorporated 184,400 8,735,950
-----------
88,014,374
SHIPBUILDING - 0.00%
Avondale Industries, Incorporated* 100 2,150
-----------
SOFTWARE - 1.36%
Business Objects SA, ADR* 371,900 5,020,650
Cognos, Incorporated* 20,000 562,500
Electronics For Imaging, Incorporated* 135,000 11,103,750
Forte Software, Incorporated* 5,300 173,575
Platinum Software Corporation* 19 226
Solectron Corporation* 30,000 1,601,250
-----------
18,461,951
STEEL - 0.11%
Quanex Corporation 55,000 1,505,625
-----------
TELECOMMUNICATION SERVICES - 6.67%
AMRESCC, Incorporated* 91,000 2,434,250
Comsat Corporation 244,000 6,008,500
DSP Communications, Incorporated* 100,000 1,937,500
LM Ericsson Telephone Company,
ADR* 80,000 2,415,000
ICG Communications, Incorporated 74,800 1,318,350
IPC Information Systems, Incorporated 111,300 1,683,413
Lucent Technologies, Incorporated 168,600 7,797,750
MFS Communications, Incorporated* 795,000 43,327,500
Mastec, Incorporated* 144,700 7,669,100
Ortel Corporation* 580,400 13,929,600
Teleport Communications
Group, Class A* 70,000 2,135,000
-----------
90,655,963
TELEPHONE - 5.43%
Ameritech Corporation 80,000 4,850,000
Cincinnati Bell, Incorporated 423,200 26,079,700
LCl International, Incorporated* 362,600 7,795,900
MCI Communications Corporation 214,700 7,018,006
NYNEX Corporation 260,000 12,512,500
Pacific Telesis Group 90,000 3,307,500
Tel-Save Holdings, Incorporated* 144,500 4,190,500
Worldcom, Incorporated* 312,200 8,136,713
-----------
73,890,819
TOBACCO - 0.99%
Philip Morris Companies, Incorporated 120,000 13,515,000
-----------
TOYS, AMUSEMENTS & SPORTING GOODS - 0.53%
Toys R Us, Incorporated* 239,800 7,194,000
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
64
<PAGE> 95
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
TRUCKING & FREIGHT - 0.37%
Consolidated Freightways Corporation* 93,100 $ 826,262
Consolidated Freightways, Incorporated 186,200 4,142,950
--------------
4,969,212
TOTAL COMMON STOCKS
(Cost: $1,174,612,189) $1,292,447,160
--------------
WARRANTS - 0.68%*
ELECTRONICS - 0.68%
Intel Corporation (Expiration date
03/14/98; strike price $41.75) 100,000 9,225,000
--------------
TOTAL WARRANTS
(Cost: $9,831,160) $ 9,225,000
<CAPTION> --------------
Principal
Amount Value
------ -----
CONVERTIBLE BONDS - 0.14%
MIDCOM Communications,
Incorporated, 8.25% due 03/08/15 $2,069,000 $ 1,872,445
--------------
TOTAL CONVERTIBLE BONDS
(Cost: $2,069,000) $ 1,872,445
<CAPTION> --------------
Principal
Amount Value
------ -----
REPURCHASE AGREEMENT - 4.15%
$56,500,000 Repurchase Agreement with State
Street Bank & Trust Company
dated 12/31/96 at 4.75%, to be
repurchased at $56,514,910 on
01/02/97, collateralized by
$38,750,000 U.S. Treasury Bonds,
12.00% due 08/15/13 (valued at
$59,391,246, including interest) $ 56,500,000
--------------
TOTAL INVESTMENTS
(Equity Trust) (Cost: $1,243,012,349) $1,360,044,605
</TABLE> ==============
<TABLE>
<CAPTION>
QUANTITATIVE EQUITY TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 91.62%
AEROSPACE - 1.13%
United Technologies Corporation 15,600 $1,029,600
----------
APPAREL & TEXTILES - 0.30%
Jones Apparel Group, Incorporated* 7,400 276,575
----------
AUTOMOBILES - 2.13%
Chrysler Corporation 31,800 1,049,400
Ford Motor Company 28,100 895,688
----------
1,945,088
BANKING - 8.15%
Banc One Corporation 23,300 1,001,900
Bankers Trust New York Corporation 10,900 940,125
Chase Manhattan Corporation 7,000 624,750
Citicorp 4,700 484,100
First Union Corporation 13,400 991,600
Firstar Corporation 2,700 141,750
J.P. Morgan and Company, Incorporated 8,700 849,337
KeyCorp 16,300 823,150
MBNA Corporation 13,500 560,250
Nationsbank Corporation 10,600 1,036,150
----------
7,453,112
BUILDING MATERIALS - 1.19%
Lowe's Companies, Incorporated 21,200 752,600
Masco Corporation 9,400 338,400
----------
1,091,000
BUSINESS SERVICES - 0.31%
Robert Half International, Incorporated 8,200 281,875
----------
CHEMICALS - 4.73%
B.F. Goodrich Company 8,800 356,400
Engelhard Corporation 32,400 619,650
E.I Du Pont De Nemours and Company 15,700 1,481,688
Monsanto Company 26,500 1,030,187
Praxair, Incorporated 18,100 834,863
----------
4,322,788
COMPUTERS & BUSINESS EQUIPMENT - 1.83%
Cadence Design Systems Incorporated* 7,550 300,112
Lexmark International Group,
Incorporated* 7,900 218,238
Silicon Graphics, Incorporated* 14,900 379,950
Sun Microsystems, Incorporated* 30,200 775,762
----------
1,674,062
DOMESTIC OIL - 1.25%
Atlantic Richfield Company 8,600 1,139,500
----------
DRUGS & HEALTH CARE - 8.00%
American Home Products Corporation 17,000 996,625
Amgen, Incorporated* 21,400 1,163,625
Bristol Myers Squibb Company 10,500 1,141,875
Dura Pharmaceuticals, Incorporated* 5,800 276,950
Eli Lilly and Company 10,400 759,200
Merck and Company, Incorporated 11,900 943,075
Pfizer, Incorporated 11,200 928,200
Schering Plough Corporation 17,100 1,107,225
----------
7,316,775
ELECTRIC UTILITIES - 4.91%
AES Corporation* 5,800 269,700
Calenergy, Incorporated* 11,700 393,413
CMS Energy Corporation 3,200 107,600
Dominion Resources, Incorporated 18,000 693,000
Duke Power Company 15,900 735,375
FPL Group, Incorporated 19,100 878,600
Illinova Corporation 5,200 143,000
Pacific Gas and Electric Company 23,600 495,600
Pinnacle West Capital Corporation 9,100 288,925
</TABLE>
The accompanying notes are an integral part of the financial statements.
65
<PAGE> 96
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
ELECTRIC UTILITIES - CONTINUED
Southern Company 21,500 $ 486,437
----------
4,491,650
ELECTRICAL EQUIPMENT - 2.85%
General Electric Company 16,100 1,591,888
Tyco International, Ltd. 19,200 1,015,200
----------
2,607,088
ELECTRONICS - 2.91%
Intel Corporation 10,500 1,374,844
Linear Technology Corporation 19,800 868,725
LSI Logic Corporation* 15,500 414,625
----------
2,658,194
FINANCIAL SERVICES - 2.36%
The Money Store, Incorporated 7,700 212,712
Northern Trust Corporation 8,400 304,500
SunAmerica, Incorporated 7,300 323,938
Travelers Group, Incorporated 29,000 1,315,875
----------
2,157,025
FOOD & BEVERAGES - 3.88%
Archer Daniels Midland Company 49,700 1,093,400
Campbell Soup Company 13,400 1,075,350
Conagra, Incorporated 21,400 1,064,650
Hershey Foods Corporation 7,100 310,625
----------
3,544,025
HOSPITAL SUPPLY - 1.41%
Baxter International, Incorporated 23,600 967,600
United States Surgical Corporation 8,200 322,875
----------
1,290,475
HOTELS & RESTAURANTS - 2.03%
Hilton Hotels Corporation 36,000 940,500
Hospitality Franchise Systems,
Incorporated* 15,300 914,175
----------
1,854,675
HOUSEHOLD PRODUCTS - 1.37%
Clorox Company 2,300 230,862
Colgate Palmolive Company 11,100 1,023,975
----------
1,254,837
INSURANCE - 2.95%
American International Group,
Incorporated 5,500 595,375
Cigna Corporation 7,400 1,011,025
Marsh and McLennan Companies,
Incorporated 10,500 1,092,000
----------
2,698,400
INTERNATIONAL OIL - 2.58%
Mobil Corporation 9,600 1,173,600
Texaco, Incorporated 12,100 1,187,313
----------
2,360,913
LEISURE TIME - 4.20%
Callaway Golf Company 7,400 212,750
Carnival Corporation 32,000 1,056,000
HBO and Company 5,300 314,687
Mirage Resorts, Incorporated* 8,700 188,138
Promus Hotel Corporation* 9,400 278,475
Viacom, Incorporated* 20,600 718,425
The Walt Disney Company 15,400 1,072,225
----------
3,840,700
MACHINERY - 0.88%
Ingersoll Rand Company 18,000 801,000
----------
MISCELLANEOUS MANUFACTURING - 1.18%
Minnesota Mining and Manufacturing
Company 13,000 1,077,375
----------
NATURAL GAS - 0.41%
Noble Affiliates, Incorporated 7,800 373,425
----------
OFFICE FURNISHINGS & SUPPLIES - 0.88%
Pitney Bowes, Incorporated 14,700 801,150
----------
PAPER - 1.13%
James River Corporation of Virginia 31,200 1,033,500
----------
PERSONAL CARE - 2.38%
Avon Products, Incorporated 19,300 1,102,513
Gillette Company 13,800 1,072,950
----------
2,175,463
PETROLEUM SERVICES - 3.37%
Baker Hughes, Incorporated 22,700 783,150
Chevron Corporation 14,900 968,500
Global Marine, Incorporated* 21,500 443,437
USX Marathon Group 37,200 888,150
----------
3,083,237
POLLUTION CONTROL - 0.71%
United Waste Systems Incorporated* 10,300 354,063
U.S. Filter Corporation* 9,400 298,450
----------
652,513
PUBLISHING - 1.15%
Gannett, Incorporated 14,100 1,055,737
----------
RETAIL TRADE - 6.10%
Albertsons, Incorporated 10,200 363,375
American Stores Company 24,500 1,001,438
Dayton Hudson Corporation 24,100 945,925
Sears Roebuck and Company 20,800 959,400
TJX Companies, Incorporated 3,100 146,862
Tiffany and Company 9,000 329,625
Tommy Hilfiger Corporation* 5,600 268,800
Toys R Us, Incorporated* 26,200 786,000
WalMart Stores, Incorporated 33,800 773,175
----------
5,574,600
SOFTWARE - 4.49%
BMC Software, Incorporated* 3,200 132,400
Cisco Systems Incorporated* 16,200 1,030,725
Computer Associates International,
Incorporated 15,600 776,100
Informix Corporation* 26,500 539,938
Microsoft Corporation* 15,200 1,255,900
Paychex, Incorporated 7,100 365,206
----------
4,100,269
</TABLE>
The accompanying notes are an integral part of the financial statements.
66
<PAGE> 97
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
TELEPHONE - 5.39%
BellSouth Corporation 17,500 $ 706,562
MFS Communications, Incorporated* 10,700 583,150
Airtouch Communications, Incorporated* 25,800 651,450
LCI International, Incorporated* 12,000 258,000
NYNEX Corporation 21,100 1,015,438
Pacific Telesis Group 19,500 716,625
SBC Communications, Incorporated 19,200 993,600
----------
4,924,825
TOBACCO - 1.85%
Philip Morris Companies, Incorporated 15,000 1,689,375
----------
TRANSPORTATION - 1.23%
Union Pacific Corporation 18,700 1,124,337
---------
TOTAL COMMON STOCKS
(Cost: $73,862,892) $83,755,163
-----------
</TABLE>
<TABLE>
Principal
Amount Value
------ -----
<CAPTION>
SHORT TERM INVESTMENTS - 8.38%
UNITED STATES TREASURY BILLS - 8.38%
<S> <C> <C>
4.20% due 01/09/97 $ 254,000 $ 253,763
4.44% due 01/09/97 215,000 214,788
4.48% due 01/09/97 1,062,000 1,060,943
4.80% due 01/09/97 1,205,000 1,203,715
4.87% due 01/09/97 617,000 616,332
4.88% due 03/06/97 433,000 429,243
4.90% due 03/06/97 640,000 634,425
4.94% due 01/09/97 111,000 110,878
4.95% due 03/06/97 24,000 23,789
4.97% due 01/09/97 1,916,000 1,913,884
4.98% due 01/09/97 50,000 49,945
4.99% due 01/09/97 1,118,000 1,116,760
5.02% due 03/06/97 37,000 36,670
----------
7,665,135
<CAPTION>
TOTAL SHORT TERM INVESTMENTS
(Cost: $7,665,135) $7,665,135
----------
TOTAL INVESTMENTS (Quantitative
Equity Trust) (Cost: $81,528,027) $91,420,298
===========
</TABLE>
EQUITY INDEX TRUST
Shares Value
------ -----
COMMON STOCKS - 4.45%
MISCELLANEOUS - 4.45%
SPDR Trust 4,800 $354,450
--------
TOTAL COMMON STOCKS (Cost: $331,705) $354,450
--------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
SHORT TERM INVESTMENTS - 95.55%
UNITED STATES TREASURY BILLS - 19.81%
<S> <C> <C>
4.44% due 01/09/97 $746,000 $ 745,265
4.48% due 01/09/97 113,000 112,887
4.64% due 01/09/97 20,000 19,979
4.87% due 01/09/97 47,000 46,949
4.88% due 03/06/97 40,000 39,653
4.90% due 03/13/97**** 300,000 297,101
4.90% due 03/06/97 200,000 198,258
4.97% due 01/09/97 6,000 5,993
5.00% due 03/06/97 112,000 111,004
----------
1,577,089
FEDERAL HOME LOAN BANK - 15.01%
5.24% due 01/31/97 500,000 497,817
5.25% due 01/31/97 200,000 199,125
5.33% due 01/23/97 500,000 498,372
----------
1,195,314
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 20.05%
5.40% due 01/17/97 1,600,000 1,596,160
----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 22.47%
5.19% due 02/14/97 1,800,000 1,788,582
----------
CANADIAN GOVERNMENT - 18.21%
Her Majesty In Right of Canada,
5.21% due 01/30/97 500,000 497,902
5.23% due 05/08/97 970,000 952,103
----------
1,450,005
TOTAL SHORT TERM INVESTMENTS
(Cost: $7,607,150) $7,607,150
----------
TOTAL INVESTMENTS (Equity
Index Trust) (Cost: $7,938,855) $7,961,600
==========
</TABLE>
<TABLE>
<CAPTION>
BLUE CHIP GROWTH TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCK- 90.39%
AEROSPACE - 1.80%
AlliedSignal, Incorporated 77,600 $5,199,200
Lockheed Martin Corporation 27,000 2,470,500
---------
7,669,700
APPAREL & TEXTILES - 1.25%
Jones Apparel Group, Incorporated* 60,000 2,242,500
Warnaco Group, Incorporated, Class A 104,000 3,081,000
---------
5,323,500
AUTO PARTS - 1.20%
Danaher Corporation 88,000 4,103,000
Lear Seating Corporation 29,900 1,020,338
---------
5,123,338
</TABLE>
The accompanying notes are an integral part of the financial statements.
67
<PAGE> 98
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
BANKING - 5.71%
Banc One Corporation 45,900 $ 1,973,700
BankBoston Corporation 25,000 1,606,250
Citicorp 34,400 3,543,200
KeyCorp 20,000 1,010,000
Mellon Bank Corporation 74,700 5,303,700
NationsBank Corporation 27,500 2,688,125
Northern Trust Company 57,400 2,080,750
Norwest Corporation 103,900 4,519,650
Wells Fargo & Company 5,700 1,537,575
-----------
24,262,950
BUSINESS SERVICES - 4.98%
ADT, Ltd.* 119,600 2,735,850
Automatic Data Processing,
Incorporated 76,800 3,292,800
H & R Block, Incorporated 89,000 2,581,000
Catalina Marketing Corporation 39,000 2,149,875
CUC International, Incorporated* 88,800 2,109,000
First Data Corporation 112,200 4,095,300
National Data Corporation 50,000 2,175,000
SunGard Data Systems, Incorporated 52,000 2,054,000
-----------
21,192,825
CHEMICALS - 1.55%
E.I. Du Pont De Nemours & Company 27,000 2,548,125
Great Lakes Chemical Corporation 50,000 2,337,500
Petrolite Corporation 8,000 384,000
A. Schulman, Incorporated 54,700 1,340,150
-----------
6,609,775
COMPUTERS & BUSINESS EQUIPMENT - 3.73%
3Com Corporation 44,500 3,265,188
Ceridian Corporation* 32,800 1,328,400
Cisco Systems, Incorporated* 45,900 2,920,387
Hewlett-Packard Company 28,700 1,442,175
International Business Machines
Corporation 31,400 4,741,400
Medic Computer Systems, Incorporated* 53,900 52,172,844
-----------
15,870,394
CONSTRUCTION MATERIALS - 0.31%
Masco Corporation 36,500 1,314,000
-----------
COSMETICS & TOILETRIES - 1.09%
Crown Cork & Seal, Incorporated 85,000 4,621,875
-----------
DRUGS & HEALTH CARE - 11.14%
American Home Products Corporation 57,600 3,376,800
Amgen, Incorporated* 43,600 2,370,750
Apria Healthcare Group, Incorporated* 85,900 1,610,625
Columbia/HCA-Healthcare Corporation 110,200 4,490,650
General Nutrition Companies,
Incorporated* 77,300 1,304,437
Johnson & Johnson 84,900 4,223,775
Eli Lilly & Company 22,900 1,671,700
Medtronic, Incorporated 36,200 2,461,600
Merck & Company, Incorporated 50,800 4,025,900
Pacificare Health Systems
Incorporated, Class B 42,400 3,614,600
Pfizer, Incorporated 57,700 4,781,888
Schering-Plouch Corporation 42,400 2,745,400
SmithKline Beecham PLC, ADR 50,000 3,400,000
United Healthcare Corporation 54,300 2,443,500
Venor, Incorporated 85,000 2,688,125
Warner-Lambert Company 29,000 2,175,000
-----------
47,384,750
ELECTRICAL EQUIPMENT - 3.76%
Boston Scientific Corporation* 57,300 3,438,000
Emerson Electric Company 25,200 2,438,100
General Electric Company 55,600 5,497,450
Hubbell, Incorporated, Class B 97,400 4,212,550
Millipore Corporation 10,000 413,750
-----------
15,999,850
ELECTRONICS - 4.71%
Electronic Data Systems Corporation* 45,900 1,985,175
Honeywell, Incorporated 45,000 2,958,750
Intel Corporation* 28,700 3,757,906
Linear Technology Corporation 31,000 1,360,125
Maxim Integrated Products,
Incorporated 53,900 2,331,175
Silicon Graphics, Incorporated 57,300 1,461,150
Teleflex, Incorporated 77,000 4,013,625
Xilinx, Incorporated 59,000 2,171,938
-----------
20,039,844
FINANCIAL SERVICES-8.38%
Aames Financial Corporation 60,500 2,170,438
Advanta Corporation, Class B 23,300 952,387
American Express Company 73,400 4,147,100
The Chase Manhattan Corporation 46,600 4,159,050
Federal Home Loan Mortgage
Corporation 49,300 5,429,163
Federal National Mortgage Association 98,700 3,676,575
Green Tree Financial Corporation 45,900 1,772,887
Household International, Incorporated 22,900 2,112,525
The Money Store, Incorporated 105,500 2,914,438
Student Loan Marketing Association 38,000 3,538,750
Travelers Group, Incorporated 105,000 4,764,375
-----------
35,637,688
FOOD & BEVERAGES - 4.60%
The Coca-Cola Company 18,300 963,037
General Mills, Incorporated 19,000 1,204,125
H.J. Heinz Company 65,000 2,323,750
Interstate Bakeries Corporation 60,000 2,947,500
McCormick & Company, Incorporated 53,000 1,248,813
Nabisco Holdings Corporation, Class A 63,100 2,453,012
PepsiCo, Incorporated 105,900 3,097,575
Ralston Purina Company 28,700 2,105,863
Sara Lee Corporation 86,700 3,229,575
-----------
19,573,250
GAS PIPELINE UTILITIES - 1.32%
Cooper Cameron Corporation* 40,000 3,060,000
BJ Services Company* 50,000 2,550,000
-----------
5,610,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
68
<PAGE> 99
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
HOTELS & RESTAURANTS - 1.56%
Boston Market, Incorporated* 34,000 $ 1,219,750
ITT Corporation* 37,000 1,604,875
McDonald's Corporation 72,200 3,267,050
Outback Steakhouse, Incorporated 20,000 535,000
-----------
6,626,675
HOUSEHOLD APPLIANCES FURNISHING - 0.46%
Newell Company 62,300 1,962,450
-----------
HOUSEHOLD PRODUCTS - 2.94%
Colgate Palmolive Company 11,500 1,060,875
Corning, Incorporated 88,500 4,093,125
Procter & Gamble Company 36,100 3,880,750
Tupperware Corporation 65,000 3,485,625
-----------
12,520,375
INDUSTRIAL MACHINERY - 0.67%
Tyco International, Ltd. 53,900 2,849,962
-----------
INSURANCE - 4.86%
ACE, Ltd. 76,300 4,587,537
American International Group,
Incorporated 24,100 2,608,825
W.R. Berkley Corporation 45,000 2,283,750
Mid Ocean, Ltd. 68,000 3,570,000
PMI Group, Incorporated 37,000 2,048,875
Travelers Aetna Property Casualty
Corporation, Class A 86,000 3,042,250
UNUM Corporation 35,000 2,528,750
-----------
20,669,987
INTERNATIONAL OIL - 2.03%
The British Petroleum Company
PLC, ADR 30,000 4,241,250
Mobil Corporation 36,100 4,413,225
-----------
8,654,475
LEISURE TIME - 1.55%
Carnival Corporation, Class A 74,900 2,471,700
The Walt Disney Company 59,000 4,107,875
-----------
6,579,575
MINING - 0.16%
Newmont Mining Corporation 15,300 684,675
-----------
OFFICE FURNISHINGS & SUPPLIES - 1.49%
Corporate Express, Incorporated* 51,000 1,501,313
Reynolds & Reynolds Company, Class A 77,500 2,015,000
Staples, Incorporated* 23,300 420,856
Wallace Computer Service,
Incorporated 69,900 2,411,550
-----------
6,348,719
PAPER - 2.20%
Alco Standard Corporation 60,000 3,097,500
Kimberly Clark Corporation 49,900 4,752,975
Willamette Industries, Incorporated 21,800 1,517,825
-----------
9,368,300
PETROLEUM SERVICES - 1.40%
Camco International, Incorporated 31,500 1,452,937
Halliburton Company 49,300 2,970,325
Schlumberger, Ltd. 15,500 1,548,063
-----------
5,971,325
PHOTOGRAPHY - 0.92%
Eastman Kodak Company 48,600 3,900,150
-----------
POLLUTION CONTROL - 0.47%
USA Waste Services, Incorporated 63,100 2,011,313
-----------
PUBLISHING - 0.37%
Time Warner, Incorporated 42,500 1,593,750
-----------
RAILROADS & EQUIPMENT - 0.65%
Burlington Northern Santa Fe 32,100 2,772,637
-----------
RETAIL GROCERY - 1.76%
American Stores Company 40,300 1,647,263
Richfood Holdings, Incorporated 105,900 2,568,075
Safeway, Incorporated* 76,800 3,283,200
-----------
7,498,538
RETAIL TRADE - 3.12%
Circuit City Stores, Incorporated 28,700 864,587
Eckerd Corporation* 19,138 612,416
Federal Department Stores,
Incorporated* 83,700 2,856,263
The Home Depot, Incorporated 38,900 1,949,862
Kohl's Corporation* 74,500 2,924,125
Revco D.S., Incorporated 110,000 4,070,000
-----------
13,277,253
SOFTWARE - 3.19%
Adobe Systems, Incorporated 32,600 1,218,425
BMC Software, Incorporated* 114,600 4,741,575
Informix Corporation* 63,100 1,285,662
Microsoft Corporation* 32,200 2,660,525
Oracle Systems Corporation* 50,000 2,087,500
Synopsys, Incorporated 34,400 1,591,000
-----------
13,584,687
STEEL - 0.34%
Nucor Corporation 28,700 1,463,700
-----------
TELECOMMUNICATION SERVICES - 1.24%
ALLTEL Corporation 46,000 1,443,250
Ascend Communications, Incorporated 31,000 1,925,875
L.M. Ericsson Telephone
Corporation, ADR, Class B 63,100 1,904,831
-----------
5,273,956
TELEPHONE - 2.30%
American Telephone & Telegraph
Corporation 35,200 1,531,200
MCI Communications Corporation 57,300 1,872,994
SBC Communications, Incorporation 65,400 3,384,450
Vodafone Group PLC, ADR 60,000 2,482,500
WorldCom, Incorporated* 20,000 521,250
-----------
9,792,394
</TABLE>
The accompanying notes are an integral part of the financial statements.
69
<PAGE> 100
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
TOBACCO - 1.12%
Philip Morris Companies, Incorporated 42,400 $ 4,775,300
------------
TOTAL COMMON STOCKS
(Cost: $343,874,819) $384,413,935
------------
<CAPTION>
Principal
Amount Value
------ -----
SHORT TERM INVESTMENTS - 9.58%
Corporate Asset Fund,
5.38% due 01/17/97 $10,000,000 $ 9,976,089
Delaware Funding Corporation,
5.60% due 01/15/97 4,588,000 4,578,008
Dillard Investment Company,
6.75% due 01/02/97 1,800,000 1,799,663
Dillard Investment Company,
5.52% due 01/10/97 2,500,000 2,496,550
Electronic Data Systems Corporation,
5.80% due 01/10/97 5,000,000 4,992,750
Falcon Asset Securitization,
5.70% due 01/22/97 2,000,000 1,993,350
KFW International Finance,
Incorporated, 5.38% due 01/10/97 1,700,000 1,697,713
Mobil Australia Finance Company,
5.40% due 01/02/97 10,600,000 10,598,410
Northern States Power Company,
6.00% due 01/07/97 2,600,000 2,597,400
------------
40,729,933
TOTAL SHORT TERM INVESTMENTS
(Cost: $40,729,933) $ 40,729,933
------------
<CAPTION>
Principal
Amount Value
------ -----
REPURCHASE AGREEMENT - 0.03%
$140,000 Repurchase Agreement with State
Street Bank & Trust Company dated
12/31/96 at 4.75%, to be repurchased
at $140,037 on 01/02/97, collateralized
by $135,000 U.S. Treasury Notes,
7.00% due 07/15/06 (valued at
$150,115, including interest) $ 140,000
------------
TOTAL INVESTMENTS
(Blue Chip Growth Trust) (Cost: $384,744,752) $425,283,868
============
</TABLE>
<TABLE>
REAL ESTATE SECURITIES TRUST
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 96.46%
BUILDING MATERIALS - 2.66%
Hughes Supply, Incorporated 46,700 $ 2,013,938
-----------
DRUGS & HEALTH CARE -6.15%
National Health Investors, Incorporated 60,200 2,280,075
Nationwide Health Properties,
Incorporated 98,200 2,381,350
-----------
4,661,425
REAL ESTATE - 87.65%
Avalon Properties, Incorporated 28,000 $ 805,000
Bay Apartment Community, Incorporated 64,500 2,322,000
Beacon Properties 44,500 1,629,812
Bedford Property Investors,
Incorporated 93,900 1,643,250
BRE Properties, Incorporated 33,700 834,075
Cali Realty Corporation 74,600 2,303,275
Catellus Development Corporation* 198,800 2,261,350
Centerpoint Properties Corporation 73,900 2,420,225
Chelsea GCA Realty, Incorporated 69,600 2,409,900
Cousins Properties, Incorporated 84,900 2,387,813
Developers Diversified Realty 61,600 2,286,900
Equity Residential Properties Trust 34,700 1,431,375
Excel Realty Trust, Incorporated 60,000 1,522,500
General Growth Properties,
Incorporated 49,300 1,589,925
Glimcher Realty Trust, REIT 102,400 2,252,800
JDN Realty Corporation 84,600 2,337,075
JP Realty, Incorporated 28,000 724,500
Macerich Company 87,800 2,293,775
Merry Land and Investment Company 101,600 2,184,400
National Golf Properties,
Incorporated 73,300 2,318,112
Oasis Residential, Incorporated 66,700 1,517,425
Patriot American Hospitality,
Incorporated 31,900 1,375,688
Post Properties, Incorporated 54,500 2,193,625
Price Rite, Incorporated 58,300 2,244,550
Public Storage, Incorporated 80,900 2,507,900
Reckson Associates Realty Corporation 30,700 1,297,075
ROC Communities, Incorporated 81,200 2,253,300
Security Capital Industrial Trust 104,975 2,243,841
Security Capital Pacific Trust 100,500 2,298,937
Simon de Bartolo Group, Incorporated 48,500 1,503,500
South West Property Trust,
Incorporated 130,000 2,193,750
Spieker Properties, Incorporated 20,000 720,000
Storage Trust Realty 41,000 1,107,000
Sun Communities, Incorporated 46,100 1,590,450
Urban Shopping Centers, Incorporated 64,600 1,873,400
Vornado Realty Trust 7,600 399,000
Walden Residential Properties,
Incorporated 47,400 1,179,076
-----------
66,456,579
TOTAL COMMON STOCKS
(Cost: $61,576,070) $73,131,942
-----------
WARRANTS - 0.08%*
REAL ESTATE - 0.08%
Homestead Village Properties,
Incorporated (Expiration date
10/29/97; strike price $10.00) 7,378 59,946
-----------
TOTAL WARRANTS (Cost: $0) $ 59,946
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
70
<PAGE> 101
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount Value
--------- -----------
<S> <C> <C>
SHORT TERM INVESTMENTS - 3.46%
UNITED STATES TREASURY BILLS - 3.46%
4.20% due 01/09/97 $493,000 $ 492,540
4.90% due 03/06/97 828,000 820,787
4.95% due 03/06/97 307,000 304,298
5.00% due 03/06/97 860,000 852,355
5.02% due 03/06/97 156,000 154,608
-----------
2,624,588
TOTAL SHORT TERM INVESTMENTS
(Cost: $2,624,588) $ 2,624,588
-----------
TOTAL INVESTMENTS (Real Estate
Securities Trust)(Cost: $64,200,658) $75,816,476
===========
<CAPTION>
INTERNATIONAL GROWTH AND INCOME TRUST
Shares Value
------- -----------
<S> <C> <C>
COMMON STOCKS - 83.56%
AEROSPACE- 1.39%
Lucas Varity PLC, ADS 371,300 $ 1,418,535
CSF Thomson 33,800 1,096,375
-----------
2,514,910
AGRICULTURAL MACHINERY - 0.40%
Kvaerner ASA, Series A 15,300 737,324
-----------
AIR TRAVEL - 0.52%
British Airways PLC, ADS 91,000 945,546
-----------
APPAREL & TEXTILES - 1.01%
Christian Dior 8,530 1,376,045
Tomen Corporation 170,000 463,863
-----------
1,839,908
AUTOMOBILES - 3.08%
Daimler Benz AG* 6,460 444,996
Fiat SPA 436,000 1,319,209
Nissan Motor Company, Ltd. 140,000 812,365
Peugeot SA 10,000 1,125,566
Toyota Motor Corporation 66,000 1,897,764
-----------
5,599,900
BANKING - 11.75%
Asahi Bank, Ltd. 43,000 382,437
Banco Intercontinental Espanol 7,500 1,162,912
Banco Popular Espanol SA 4,350 854,419
Bank of East Asia 72,600 322,896
Bank of Ireland 171,000 1,559,024
Bank of Tokyo Mitsubishi, ADS 12,000 222,779
Bayer Hypotheken and Wechsel
Bank AG 29,880 903,895
Dai Ichi Kangyo Bank 28,000 403,765
Daiwa Bank 124,000 647,785
Dresdner Bank AG 55,910 1,674,975
Hokuriku Bank 148,000 725,879
HSBC Holdings - HKD 41,200 881,582
HSBC Holdings- [pound] 10,050 224,693
BANKING - CONTINUED
Istituto Mobiliare Italiano SPA 95,000 $ 814,107
Kredietbank NV 1,620 531,022
Lloyds TSB Group PLC 213,400 1,575,731
National Australia Bank, Ltd. 152,000 1,788,093
Sakura Bank 133,000 950,902
Sanwa Bank 34,000 463,863
Schweizerische Bankverein 4,960 943,086
Societe Generale 14,548 1,572,984
Standard Chartered Bank 131,900 1,620,221
Toyo Trust & Banking 136,000 1,098,005
-----------
21,325,055
BUSINESS SERVICES - 0.60%
Eaux (Cie Generale Des) 8,751 1,084,493
-----------
CHEMICALS - 4.43%
Air Liquide 6,462 1,008,812
Allied Colloids Group PLC 668,443 1,379,944
BASF AG 61,100 2,353,787
Daido Hoxan, Incorporated 60,000 292,721
Henkel KGaA 9,787 469,379
Kemira OY 45,200 569,913
Mitsui Toatsu Chemicals 230,000 701,062
Solvay SA 1,335 817,346
UBE Industries 157,000 444,660
-----------
8,037,624
COMPUTERS & BUSINESS EQUIPMENT -0.36%
Fujitsu, Ltd. 20,000 186,513
Ricoh Company, Ltd. 40,000 459,373
-----------
645,886
CONGLOMERATES - 3.16%
Fried Krupp AG Hoesch-Krupp 5,620 909,397
Nokia AB, Series A 24,946 1,446,868
Swire Pacific, Ltd. 172,500 1,644,822
Tomkins PLC, ADS 374,000 1,729,998
-----------
5,731,085
CONSTRUCTION & MINING EQUIPMENT -0.27%
Nishimatsu Construction 56,000 488,386
-----------
CONSTRUCTION MATERIALS - 1.24%
CRH 72,000 746,721
Nippon Hodo Company 17,000 196,701
Tarmac 773,300 1,304,952
-----------
2,248,374
CRUDE PETROLEUM & NATURAL GAS - 1.92%
Elf Aquitaine 16,000 1,456,452
ENI SPA 395,000 2,027,076
-----------
3,483,528
DRUGS & HEALTH CARE -5.00%
Daiichi Pharmaceutical Company 16,000 256,973
Glaxo Wellcome 131,400 2,138,599
Novartis AG 1,220 1,397,280
Nycomed ASA, ADS 38,900 591,672
Ono Pharmaceutical 24,000 714,964
</TABLE>
The accompanying notes are an integral part of the financial statements.
71
<PAGE> 102
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<CAPTION>
- --------------------------------------------------------------------------------
Shares Value
--------- -----------
<S> <C> <C>
DRUGS & HEALTH CARE -CONTINUED
Schering AG 3,500 $ 295,457
Synthela bo 19,350 2,092,194
Zeneca Group PLC 56,500 1,592,299
-----------
9,079,438
ELECTRIC UTILITIES - 4.56% 7,280 1,723,199
Electrabel 12,049 118,796
Fuerzas Electricas De Catalunal SA 17,000 648,835
Hidroelectrica del Cantabrico SA 133,000 441,929
Hong Kong Electric 158,300 2,243,574
Iberdrola SA 10 34
National Grid Group PLC 370,000 2,224,944
Scottish Power 40,000 877,299
Tokyo Electric Power -----------
8,278,610
ELECTRICAL EQUIPMENT- 1.65% 130,000 1,212,330
Hitachi, Ltd. 86,000 512,391
Mitsubishi Electric Company 9,000 72,118
Sanden Corporation 25,600 1,206,135
Siemens AG -----------
3,002,974
ELECTRONICS - 1.52%
Murata Manufacturing Company, Ltd. 21,000 698,126
Nissei Sangyo Company 35,000 411,018
Racal Electronics 256,000 1,122,769
Rohm Company 8,000 524,998
-----------
2,756,911
FOOD & BEVERAGES -4.11%
Danone 7,868 1,096,379
Greencore Group PLC 151,000 967,260
Guinness 133,500 1,049,795
Hillsdown Holdings 394,800 1,352,750
Itoham Foods, Incorporated 30,000 185,994
Lion Nathan, Ltd. 611,200 1,464,806
Nestle SA 855 917,919
Sapporo Breweries 52,000 431,051
-----------
7,465,954
FOREST PRODUCTS - 0.46%
Sumitomo Forestry 36,000 438,304
UPM-Kymmene OY 18,900 396,489
-----------
834,793
HOMEBUILDERS - 0.24%
Bilfinger & BERGER
Bauaktiengesellschaft AG 11,900 436,931
-----------
HOTELS AND RESTAURANTS -0.82%
Ladbroke Group 376,000 1,494,466
-----------
HOUSEHOLD APPLIANCES FURNISHING -0.68%
Matsushita Electric Industrial
Company, Ltd. 35,000 571,194
Sony Corporation 10,000 655,384
-----------
1,226,578
HOUSEHOLD PRODUCTS - 0.54%
Unilever NV 5,510 975,300
-----------
INDUSTRIAL MACHINERY- 1.96%
Daiken Corporation 85,000 $ 590,838
Daikin Industries 28,000 249,029
Ebara Corporation 55,000 717,123
Mitsubishi Heavy Industries, Ltd. 93,000 738,796
Sidel 18,400 1,266,031
-----------
3,561,817
INSURANCE - 7.12%
Abbey National 132,000 1,727,737
Aegon NV 16,547 1,055,213
Allianz AG Holdings 585 1,064,466
Assicurazioni Generali 86,000 1,629,862
Fortis AG 7,800 1,251,343
Guardian Royal Exchange 311,500 1,486,256
Irish Life PLC 200,000 926,962
Munchener Ruckvers 706 1,764,082
Storebrand ASA 92,000 528,317
Tokio Marine & Fire lnsurance Company 48,000 451,774
Union des Assurance Federales 8,390 1,034,904
-----------
12,920,916
INTERNATIONAL OIL - 2.25%
The British Petroleum Company 198,753 2,383,538
Cosmo Oil Company 72,000 346,291
Petrofina SA 1,200 382,003
RWE AG 28,740 971,198
-----------
4,083,030
INVESTMENT COMPANIES - 1.09%
Brierley Investment, Ltd. 1,002,000 927,974
Nomura Securities 70,000 1,051,723
-----------
1,979,697
LEISURE TIME- 1.50%
Pathe SA 4,630 1,115,448
Rank Group PLC 214,000 1,605,825
-----------
2,721,273
NON-FERROUS METALS - 0.70%
WMC, Ltd. 200,800 1,265,674
-----------
PAPER- 2.22%
Fletcher Challenge 1,105,300 2,273,894
OJI Paper Company 70,000 443,053
Jefferson Smurfit Group PLC 432,400 1,315,299
-----------
4,032,246
PETROLEUM SERVICES - 3.20%
Broken Hill Proprietary Company, Ltd. 131,100 1,867,349
Norsk Hydro A.S., ADS 21,700 1,161,941
Repsol SA 28,100 1,077,897
Royal Dutch Petroleum Company 5,270 924,578
Total SA, B Shares 9,505 773,077
-----------
5,804,842
PHOTOGRAPHY - 0.28%
Canon Sales Company, Incorporated 23,100 514,619
-----------
PUBLISHING - 0.33%
Arnoldo Mondadori Editore 73,000 594,298
Reuters Holdings 300 3,857
-----------
598,155
</TABLE>
The accompanying notes are an integral part of the financial statements.
72
<PAGE> 103
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<CAPTION>
- --------------------------------------------------------------------------------
Shares Value
------- ------------
<S> <C> <C>
RAILROADS & EQUIPMENT -0.52%
East Japan Railway Company 209 $ 940,238
------------
REAL ESTATE - 2.32%
Cheung Kong Holdings 186,000 1,653,307
Daiwa Kosho Lease 60,000 461,100
Henderson Land Development
Company, Ltd. 52,000 524,404
Sumitomo Reality & Development 100,000 630,343
Sun Hung Kai Properties 77,000 943,274
------------
4,212,428
RETAIL GROCERY - 0.90%
J. Sainsbury PLC 246,800 1,636,313
------------
RETAIL TRADE - 2.80%
Ava AIIgemeine Handles-Der Verbr AG* 1,400 403,041
Douglas Holding AG 9,500 373,505
Izumiya Company 45,000 637,251
Kingfisher 130,000 1,403,118
Promodes 6,377 1,800,579
Safeway 800 5,524
Takashimaya Company, Ltd. 39,000 468,094
------------
5,091,112
STEEL- 1.28%
Arbed SA 8,000 869,908
Nippon Steel Corporation 307,000 906,606
Rautaruukki (C)Y 60,000 554,348
------------
2,330,862
TELECOMMUNICATION SERVICES - 1.93%
Telecom Corporation of New Zealand 312,000 1,592,534
Telecom Italia SPA 737,000 1,914,160
------------
3,506,694
TELEPHONE - 2.12%
Deutsche Telekom AG 56,000 1,180,920
Nippon Telegraph & Telephone
Corporation 74 561,022
VodaFone Group 498,800 2,110,555
------------
3,852,497
TIRES & RUBBER -0.26%
Yokohama Rubber Company 100,000 465,417
------------
TOBACCO - 0.85%
BAT Industries PLC 155,200 1,286,908
Japan Tobacco, Incorporated 38 257,577
------------
1,544,485
TRUCKING & FREIGHT- 0.22%
Yamato Transport 38,000 393,748
------------
TOTAL COMMON STOCKS
(Cost: $144,354,543) $151,690,037
------------
PREFERRED STOCKS - 2.70%
AUTOMOBILES 1.01%
Volkswagen AG 5,710 1,834,933
------------
BOADCASTING - 0.69%
News Corporation 280,300 $ 1,247,659
------------
INDUSTRIAL MACHINERY - 0.72%
GEA AG 1,480 465,986
MAN AG 4,231 848,235
------------
1,314,221
SOFTWARE - 0.28%
SAP AG 3,670 512,770
------------
TOTAL PREFERRED STOCKS
(Cost: $4,628,844) $ 4,909,583
------------
WARRANTS - 0.60%*
BANKING - 0.00%
Schweizerischer Bankverein (Expiration
date 06/30/00; strike price CHF 250) 400 1,106
------------
FINANCIAL SERVICES - 0.55%
Veba International Finance BV (Expiration
date 04/06/98; strike price DEM 375) 3,122 1,000,225
------------
MINING -0.04%
Dowa Mining Company (Expiration
date 06/09/97; strike Price (Y) 428) 134 79,563
------------
NON-FERROUS METALS - 0.00%
Maeda Corporation (Expiration date
02/05/97; strike price $856) 30 1,312
------------
TOTAL WARRANTS (Cost: $986,287) $ 1,082,206
------------
<CAPTION>
Principal
Amount Value
---------------- ----------
<S> <C> <C>
CONVERTIBLE BONDS - 0.68%
BTM Cayman Finance,
4.25% due 03/31/03' [Yen] 80,000,000 $ 885,934
Daido Hoxan, Incorporated,
1.60% due 03/29/02* 40,000,000 343,666
TOTAL CONVERTIBLE BONDS
(Cost: $1,427,080) $1,229,600
----------
CORPORATE BONDS - 1.00%
Treuhandanstalt,
6.625% due 07/09/03 DEM 1,000,000 694,502
7.75% due 10/01/02 1,520,000 1,115,503
----------
TOTAL CORPORATE BONDS
(Cost: $1,853,174) $1,810,005
----------
FOREIGN GOVERNMENT OBLIGATIONS -8.28%
KINGDOM OF DENMARK - 0.49%
7.00% due 12/15/04 DKK 200,000 35,387
8.00% due 03/15/06 3,500,000 653,562
8.00% due 11/15/01 1,100,000 207,272
----------
896,221
</TABLE>
The accompanying notes are an integral part of the financial statements.
73
<PAGE> 104
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount Value
------------------- -----------
<S> <C> <C>
GOVERNMENT OF FRANCE - 0.64%
6.75% due 10/25/03 FRF 1,500,000 $ 314,831
7.50% due 04~25~05 2,310,000 500,422
8.50% due 04~25~03 1,500,000 341 717
-----------
1,156,970
FEDERAL REPUBLIC OF GERMANY - 1.44%
6.00% due 01/05/06 DEM 1,500,000 989,895
6.50% due 07/15/03 500,000 345,529
9.00% due 10/20/00 1,700,000 1,279,861
-----------
2,615,285
REPUBLIC OF ITALY - 0.04%
6.50% due 06/28/01 ITL 115,000,000 76,566
-----------
GOVERNMENT OF NETHERLANDS - 0.70%
6.00% due 01/15/06 NLG 470,000 278,488
8.75% due 05/01/00 1,500,000 990,009
-----------
1,268,497
GOVERNMENT OF SPAIN - 0.74%
10.50% due 10/30/03 ESP 143,000,000 1,339,073
-----------
UNITED KINGDOM TREASURY- 4.23% [pound] 2,265,000 3,882,843
7.50% due 12/07/06 522,000 918,888
8.00% due 12/07/00 1,580,000 2,883,661
8.50% due 12/07/05 -----------
7,685,392
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost: $14,377,032) $15,038,004
-----------
<CAPTION>
Principal
Amount Value
- ---------- ------------
<S> <C>
REPURCHASE AGREEMENT - 3.18%
$5,767,000 Repurchase Agreement with State Street
Bank & Trust Company dated 12/31/96
at 4.75%, to be repurchased
at $5,768,522 on 01/02/97, collateralized
by $6,040,000 U.S. Treasury Notes,
5.625% due 02/15/06 (valued at
$6,015,459, including interest) $ 5,767,000
------------
TOTAL INVESTMENTS (International
Growth & Income Trust)(Cost: $173,393,960) $181,526,435
============
<CAPTION>
GROWTH AND INCOME TRUST
Shares Value
------- ------------
<S> <C> <C>
COMMON STOCKS - 95.79%
AEROSPACE - 3.92%
Boeing Company 155,000 $ 16,488,125
Northrop Grumman Corporation 160,000 13,240,000
United Technologies Corporation 165,000 10,890,000
------------
40,618,125
AGRICULTURAL MACHINERY - 0.98%
Deere & Company 250,000 10,156,250
------------
AIR TRAVEL - 0.85%
Southwest Airlines Company 400,000 8,850,000
------------
ALUMINUM - 1.08%
Aluminum Company of America 175,000 $ 11,156,250
------------
AUTOMOBILES - 2.03%
Ford Motor Company 659,035 21,006,741
------------
BANKING - 6.20%
Citicorp 235,000 24,205,000
First Union Corporation 262,700 19,439,800
NationsBank Corporation 211,000 20,625,250
------------
64,270,050
BROADCASTING - 1.23%
Viacom, Incorporated, Class B* 365,000 12,729,375
------------
BUSINESS SERVICES - 2.88%
BA Merchants Services, Incorporated* 46,400 829,400
Cognizant Corporation* 190,000 6,270,000
First Data Corporation 340,000 12,410,000
Nokia Corporation, ADR 180,000 10,372,500
------------
29,881,900
CHEMICALS - 3.54%
The Dow Chemical Company 187,000 14,656,125
E.I. Du Pont De Nemours & Company 68,000 6,417,500
Engelhard Corporation 360,000 6,885,000
Zeneca Group PLC, ADR 104,000 8,736,000
------------
36,694,625
COMPUTERS & BUSINESS EQUIPMENT - 5.05%
3Com Corporation* 130,000 9,538,750
Hewlett Packard Company 230,000 11,557,500
International Business Machines
Corporation 130,000 19,630,000
Xerox Corporation 220,000 11,577,500
------------
52,303,750
CONSTRUCTION & MINING EQUIPMENT- 1.91%
Caterpillar, Incorporated 160,000 12,040,000
Foster Wheeler Corporation 210,000 7,796,250
------------
19,836,250
CONTAINERS & GLASS - 0.58%
Crown Cork & Seal, Incorporated 110,000 5,981,250
------------
CRUDE PETROLEUM AND NATURE GAS -0.74%
Union Pacific Resources Group,
Incorporated 262,857 7,688,567
------------
DRUGS & HEALTH CARE - 10.81%
Abbott Laboratories 290,000 14,717,500
Bristol-Myers Squibb Company 100,000 10,875,000
Columbia/HCA Healthcare Corporation 270,000 11,002,500
Johnson & Johnson 194,000 9,651,500
Merck & Company, Incorporated 135,000 10,698,750
Pfizer, Incorporated 180,000 14,917,500
Pharmacia & Upjohn, Incorporated 155,000 6,141,875
Rhone Poulenc Rorer, Incorporated 187,500 14,648,437
Tenet Healthcare Corporation* 420,000 9,187,500
Warner-Lambert Company 136,000 10,200,000
------------
112,040,562
</TABLE>
The accompanying notes are an integral part of the financial statements.
74
<PAGE> 105
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<CAPTION>
- --------------------------------------------------------------------------------
Shares Value
------- ------------
<S> <C> <C>
ELECTRICAL EQUIPMENT - 2.29%
General Electric Company 240,000 $ 23,730,000
------------
ELECTRIC UTILITIES - 2.60%
DPL, Incorporated 350,000 8,575,000
Pacific Gas & Electric Company 447,000 9,387,000
Texas Utilities Company 220,000 8,965,000
------------
26,927,000
ELECTRONICS - 2.61%
AMP, Incorporated 330,000 12,663,750
Intel Corporation 110,000 14,403,125
------------
27,066,875
FINANCIAL SERVICES - 8.11%
Allstate Corporation 330,000 19,098,750
American Express Company 400,000 22,600,000
Federal National Mortgage Association 390,000 14,527,500
State Street Boston Corporation 150,000 9,675,000
Travelers Group, Incorporated 400,000 18,150,000
------------
84,051,250
FOOD & BEVERAGES - 2.51%
General Mills, Incorporated 170,000 10,773,750
Sara Lee Corporation 410,000 15,272,500
------------
26,046,250
FOREST PRODUCTS - 0.69%
Georgia-Pacific Corporation 100,000 7,200,000
------------
HOTELS & RESTAURANTS - 1.42%
McDonalds Corporation 325,000 14,706,250
------------
HOUSEHOLD PRODUCTS - 2.60%
Colgate Palmolive Company 130,000 11,992,500
Procter & Gamble Company 139,000 14,942,500
------------
26,935,000
INDUSTRIAL MACHINERY - 0.92%
York International Corporation 170,000 9,498,750
------------
INSURANCE - 2.46%
ACE, Ltd. 182,500 10,972,812
Chubb Corporation 270,000 14,512,500
------------
25,485,312
INTERNATIONAL OIL - 6.46%
Amoco Corporation 165,000 13,282,500
Chevron Corporation 250,000 16,250,000
Exxon Corporation 190,000 18,620,000
Royal Dutch Petroleum Company, ADR 110,000 18,782,500
------------
66,935,000
LIQUOR- 1.07%
Anheuser-Busch Companies,
Incorporated 276,000 11,040,000
------------
NEWSPAPERS - 1.44%
Gannett, Incorporated 200,000 14,975,000
------------
PAPER - 4.10%
International Paper Company 330,000 13,323,750
------------
Kimberly Clark Corporation 145,000 $ 13,811,250
Minnesota Mining & Manufacturing
Company 185,000 15,331,875
------------
42,466,875
PETROLEUM SERVICES - 1.27%
Schlumberger, Ltd. 131,700 13,153,539
------------
Shares Value
------ ------------
PHOTOGRAPHY - 0.44%
Eastman Kodak Company 57,000 4,574,250
------------
RAILROAD & EQUIPMENT - 1.22%
Union Pacific Corporation 210,000 12,626,250
------------
RETAIL TRADE - 4.26%
May Department Stores Company 193,500 9,046,125
J.C. Penney Company, Incorporated 203,000 9,896,250
Sears Roebuck & Company 265,000 12,223,125
Wal-Mart Stores, Incorporated 570,000 13,038,750
------------
44,204,250
SOFTWARE - 0.80%
Microsoft Corporation* 100,000 8,262,500
------------
TELECOMMUNICATION SERVICES - 0.51%
Lucent Technologies, Incorporated 115,298 5,332,533
------------
TELEPHONE - 4.27%
American Telephone & Telegraph
Corporation 220,000 9,185,000
NYNEX Corporation 333,400 16,044,875
SBC Communications, Incorporated 368,000 19,044,000
------------
44,273,875
TIRES & RUBBER- 0.87%
Goodyear Tire and Rubber Company 175,000 8,990,625
------------
TOBACCO- 1.09%
Philip Morris Companies, Incorporated 100,000 11,262,500
------------
TOTAL COMMON STOCKS
(Cost: $773,065,653) $992,957,579
------------
PREFERRED STOCKS - 1.93%
DOMESTIC OIL - 0.74%
Sun Company, Incorporated 305,000 7,663,125
------------
SOFTWARE - 0.38%
Microsoft Corporation, Series A* 48,700 3,902,087
------------
TELECOMMUNICATION SERVICES - 0.81%
Loral Space & Communications 150,000 8,400,000
------------
TOTAL PREFERRED STOCKS (Cost: $20,647,250) $ 19,965,212
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
75
<PAGE> 106
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount Value
- ----------- --------------
<S> <C>
REPURCHASE AGREEMENT - 2.28%
$23,631,000 Repurchase Agreement with Paine
Webber dated 12/31/96 at 6.70%, to
be repurchased at $23,639,796 on
01/02/97, collateralized by
$23,560,000 U.S. Treasury Notes,
7.375% due 11/15/97 (valued at
$24,108,506, including interest) $ 23,631,000
--------------
TOTAL INVESTMENTS (Growth and
Income Trust)(Cost: $817,343,903) $1,036,553,791
==============
<CAPTION>
EQUITY-INCOME TRUST
Shares Value
------- -----------
<S> <C> <C>
COMMON STOCKS - 90.31%
ALUMINUM - 0.78%
Reynolds Metals Company 82,800 $ 4,667,850
-----------
AUTO PARTS - 0.75%
Eaton Corporation 42,000 2,929,500
Genuine Parts Company 35,000 1,557,500
-----------
4,487,000
AUTOMBILES - 0.60%
Ford Motor Company 44,000 1,402,500
General Motors Corporation 39,600 2,207,700
-----------
3,610,200
BANKING - 8.78%
Banc One Corporation 70,400 3,027,200
BankBoston Corporation 64,000 4,112,000
Bankers Trust New York Corporation 42,200 3,639,750
Fleet Financial Group, Incorporated 92,500 4,613,437
Mellon Bank Corporation 126,300 8,967,300
Mercantile Bankshares Corporation 64,100 2,051,200
J.P. Morgan & Company, Incorporated 67,200 6,560,400
National City Corporation 80,000 3,590,000
PNC Bank Corporation 84,300 3,171,788
Signet Banking Corporation 81,000 2,490,750
U.S. Bancorp 78,700 3,536,581
Wells Fargo & Company 25,700 6,932,575
-----------
52,692,981
BUSINESS SERVICES - 1.65%
ACNielson Corporation 1 10
H & R Block, Incorporated 152,000 4,408,000
Cognizant Corporation 24,200 798,600
Deluxe Corporation 44,000 1,441,000
R.R. Donnelley & Son Company 103,100 3,234,762
-----------
9,882,372
CHEMICALS - 5.55%
Betz Dearborn, Incorporated 74,000 4,329,000
The Dow Chemical Company 70,900 5,556,788
E.I. Du Pont De Nemours & Company 80,100 7,559,438
FMC Corporation 22,300 1,563,787
Great Lakes Chemical Corporation 89,600 4,188,800
Lubrizol Corporation 96,900 3,003,900
CHEMICALS - CONTINUED
Nalco Chemical Company 95,000 $ 3,431,875
Witco Corporation 119,700 3,650,850
-----------
33,284,438
COMPUTERS & BUSINESS EQUIPMENT -0.23%
Pitney Bowes, Incorporated 25,300 1,378,850
-----------
CONGLOMERATES - 0.30%
Lonrho PLC 831,000 1,779,596
-----------
CONSTRUCTION MATERIALS - 0.35%
Armstrong World Industries,
Incorporated 29,800 2,071,100
-----------
COSMETICS & TOILETRIES - 1.00%
International Flavours & Fragrances,
Incorporated 133,200 5,994,000
-----------
DOMESTIC OIL - 2.55%
Atlantic Richfield Company 80,100 10,613,250
Sun, Incorporated 44,800 1,092,000
US X-Marathon Group 152,000 3,629,000
-----------
15,334,250
DRUGS & HEALTH CARE - 7.94%
Abbott Laboratories 105,600 5,359,200
American Home Products Corporation 102,900 6,032,513
C.R. Bard, Incorporated 53,900 1,509,200
Bausch & Lomb, Incorporated 95,300 3,335,500
Baxter International, Incorporated 84,300 3,456,300
Novartis AG 4,480 5,130,677
Pharmacia & Upjohn, Incorporated 153,000 6,062,625
SmithKline Beecham PLC, ADR 71,100 4,834,800
Tambrands, Incorporated 109,000 4,455,375
Warner-Lambert Company 100,000 7,500,000
-----------
47,676,190
ELECTRIC UTILITIES - 6.71%
Baltimore Gas & Electric Company 65,100 1,741,425
Centerior Energy Corporation 130,900 1,407,175
Dominion Resources, Incorporated 88,000 3,388,000
DQE, Incorporated 51,800 1,502,200
Duke Power Company 40,000 1,850,000
Edison International 101,200 2,011,350
Entergy Corporation 122,500 3,399,375
Florida Progress Corporation 37,000 1,193,250
GPU, Incorporated 39,000 1,311,375
Ohio Edison Company 81,400 1,851,850
Pacific Gas & Electric Company 109,600 2,301,600
PacifiCorp 162,900 3,339,450
PECO Energy Company 160,600 4,055,150
Public Service Enterprise Group,
Incorporated 97,700 2,662,325
Southern Company 88,000 1,991,000
Unicom Corporation 141,400 3,835,475
Western Resources, Incorporated 78,800 2,432,950
-----------
40,273,950
</TABLE>
The accompanying notes are an integral part of the financial statements.
76
<PAGE> 107
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<CAPTION>
- --------------------------------------------------------------------------------
Shares Value
------- -----------
<S> <C> <C>
ELECTRICAL EQUIPMENT - 2.99%
Cooper Industries, Incorporated 84,500 $ 3,559,562
General Electric Company 104,700 10,352,213
Hubbell, Incorporated 93,000 4,022,250
-----------
17,934,025
ELECTRONICS - 0.89%
AMP, Incorporated 78,100 2,997,087
Honeywell, Incorporated 35,600 2,340,700
-----------
5,337,787
FINANCIAL SERVICES - 4.93%
American Express Company 94,500 5,339,250
The Chase Manhattan Corporation 111,800 9,978,150
Echelon International Corporation 2,467 38,541
Federal National Mortgage Association 125,600 4,678,600
Student Loan Marketing Association 47,300 4,404,812
Travelers Group, Incorporated 113,266 5,139,445
-----------
29,578,798
FOOD & BEVERAGES - 5.53%
General Mills, Incorporated 110,000 6,971,250
H.J. Heinz Company 139,000 4,969,250
Kellogg Company 31,000 2,034,375
McCormick & Company, Incorporated 184,000 4,335,500
Quaker Oats Company 159,700 6,088,562
Sara Lee Corporation 70,000 2,607,500
Unilever NV 35,200 6,168,800
-----------
33,175,237
FOREST PRODUCTS - 0.95%
Georgia-Pacific Corporation 79,600 5,731,200
-----------
GAS & PIPELINE UTILITIES - 0.15%
TransCanada Pipelines, Ltd. 50,000 875,000
-----------
GOLD - 0.60%
Newmont Mining Corporation 80,700 3,611,325
-----------
HOTELS & RESTAURANTS - 0.67%
ITT Corporation 92,500 4,012,188
-----------
HOUSEHOLD APPLIANCES FURNISHING - 0.60%
Whirlpool Corporation 77,500 3,613,437
-----------
HOUSEHOLD PRODUCTS - 0.88%
Corning, Incorporated 114,000 5,272,500
-----------
INSURANCE - 3.68%
Alexander & Alexander Services,
Incorporated 96,400 1,674,950
American General Corporation 142,300 5,816,512
Lincoln National Corporation,
Incorporated 46,400 2,436,000
Provident Companies, Incorporated 31,600 1,528,650
SAFECO Corporation 40,000 1,577,500
St. Paul Companies, Incorporated 79,600 4,666,550
USF & G Corporation 119,000 2,484,125
Willis Corroon Group PLC, ADR 165,620 1,904,630
-----------
22,088,917
INTERNATIONAL OIL - 7.74%
Amoco Corporation 66,000 $ 5,313,000
The British Petroleum Company
PLC, ADR 38,000 5,372,250
Chevron Corporation 95,700 6,220,500
Exxon Corporation 101,200 9,917,600
Mobil Corporation 40,000 4,890,000
Royal Dutch Petrolem Company, ADR 37,900 6,471,425
Texaco, Incorporated 84,300 8,271,938
-----------
46,456,713
LIQUOR- 1.52%
Anheuser-Busch Companies,
Incorporated 123,100 4,924,000
Brown-Forman Corporation, Class B 92,300 4,222,725
-----------
9,146,725
NEWSPAPERS - 0.94%
Dow Jones & Company, Incorporated 68,000 2,303,500
Gannett, Incorporated 44,500 3,331,938
-----------
5,635,438
PAPER - 3.71%
Consolidated Papers, Incorporated 63,800 3,134,175
International Paper Company 106,700 4,308,013
James River Corporation of Virginia 55,300 1,831,812
Kimberly Clark Corporation 27,600 2,628,900
Minnesota Mining & Manufacturing
Company 51,200 4,243,200
Union Camp Corporation 127,600 6,092,900
-----------
22,239,000
PETROLEUM SERVICES - 0.72%
McDermott International, Incorporated 54,000 897,750
Repsol SA, Sponsored ADR 90,000 3,431,250
-----------
4,329,000
PHOTOGRAPHY - 0.37%
Eastman Kodak Company 27,600 2,214,900
-----------
PUBLISHING - 1.29%
Dun & Bradstreet Corporation 70,300 1,669,625
McGraw-Hill Companies, Incorporated 62,000 2,859,750
The Reader's Digest Association,
Incorporated 80,500 3,240,125
-----------
7,769,500
RAILROADS & EQUIPMENT - 1.08%
Conrail, Incorporated 17,606 1,753,998
Gatx Corporation 30,000 1,455,000
Union Pacific Corporation 54,400 3,270,800
-----------
6,479,798
REAL ESTATE - 1.91%
Rouse Company 35,000 1,111,250
Security Capital Pacific Trust 23,000 526,125
Simon DeBartolo Group, Incorporated 253,700 7,864,700
Weingarten Realty Investors 48,000 1,950,000
-----------
11,452,075
RETAIL GROCERY - 0.58%
Fleming Companies, Incorporated 44,800 772,800
Grand Metropolitan PLC, ADR 86,000 2,719,750
-----------
3,492,550
</TABLE>
The accompanying notes are an integral part of the financial statements.
77
<PAGE> 108
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<CAPTION>
- --------------------------------------------------------------------------------
Shares Value
------ -----
<S> <C> <C>
RETAIL TRADE - 1.35%
May Department Stores Company 49,400 $ 2,309,450
J.C. Penney, Incorporated 118,800 5,791,500
------------
8,100,950
TELEPHONE - 7.34%
ALLTEL Corporation 158,400 4,969,800
American Telephone & Telegraph
Corporation 182,900 7,956,150
BCE, Incorporated 85,300 4,073,075
Bell Altantic Corporation 60,200 3,897,950
BellSouth Corporation 119,400 4,820,775
Frontier Corporation 118,000 2,669,750
GTE Corporation 118,000 5,369,000
Pacific Telesis Group 76,600 2,815,050
SBC Communications, Incorporated 52,800 2,732,400
Southern New England
Telecommunications Corporation 60,000 2,332,500
U.S. West, Incorporated 75,900 2,447,775
------------
44,084,225
TOBACCO - 2.47%
American Brands, Incorporated 104,500 5,185,813
Philip Morris Companies, Incorporated 39,600 4,459,950
RJR Nabisco Holdings Corporation 50,200 1,706,800
UST, Incorporated 107,500 3,480,312
------------
14,832,875
TRUCKING & FREIGHT - 0.23%
Alexander & Baldwin, Incorporated 56,400 1,410,000
------------
TOTAL COMMON STOCKS
(Cost: $511,762,022) $542,006,940
------------
WARRANTS - 0.00%*
REAL ESTATE - 0.00%
Homestead Village Properties,
Incorporated (Expiration date
10/29/97; strike price $10.00) 1,940 15,748
------------
TOTAL WARRANTS (Cost: $0) $ 15,748
------------
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT TERM INVESTMENTS - 9.66%
Abbott Laboratories,
6.15% due 01/03/97 $12,800,000 $12,795,627
Beta Finance, Incorporated,
5.32% due 01/06/97 1,750,000 1,748,707
CIESCO LP., 5.45% due 02/06/97 7,200,000 7,160,760
Corporate Asset Fund,
5.38% due 01/17/97 7,800,000 7,781,349
Delaware Funding Corporation,
5.55% due 01/15/97 10,150,000 10,128,093
Dillard Investment Company,
6.25% due 01/02/97 255,000 254,956
Electronic Data Systems,
Incorporated 5.80% due 01/09/97 9,800,000 9,787,369
SHORT TERM INVESTMENTS - CONTINUED
Exxon Imperial US, Incorporated,
5.40% due 01/13/97 $ 2,350,000 $ 2,345,770
Kingdom of Sweden,
5.35% due 02/04/97 6,000,000 5,969,693
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost: $57,972,324) $57,972,324
-----------
<CAPTION>
Principal
Amount Value
- --------- -----
<S> <C>
REPURCHASE AGREEMENT - 0.03%
$200,000 Repurchase Agreement with State Street
Bank & Trust Company dated 12/31/96 at
4.75%, to be repurchased at $200,053 on
01/02/97, collateralized by $205,000 U.S.
Treasury Notes, 6.25% due 04/30/01
(valued at $209,967, including interest) $ 200 000
------------
TOTAL INVESTMENTS
(Equity-Income Trust) (Cost: $569,934,346) $600,195,012
============
<CAPTION>
BALANCED TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 55.39%
AEROSPACE - 0.67%
United Technologies Corporation 13,600 $ 897,600
----------
APPAREL & TEXTILES - 0.17%
Jones Apparel Group, Incorporated 6,100 227,988
----------
AUTOMOBILES - 1.35%
Chrysler Corporation 30,900 1,019,700
Ford Motor Company 24,700 787,312
----------
1,807,012
BANKING - 4.41%
Banc One Corporation 20,000 860,000
Bankers Trust New York Corporation 10,000 862,500
Chase Manhattan Corporation 6,500 580,125
Citicorp 4,400 453,200
First Union Corporation 13,000 962,000
Firstar Corporation 2,200 115,500
J.P. Morgan and Company, Incorporated 8,200 800,525
KeyCorp 13,700 691,850
MBNA Corporation 13,950 578,925
----------
5,904,625
BUILDING MATERIALS - 1.61%
Black and Decker Corporation 12,900 388,613
HFS, Incorporated 14,400 860,400
Lowe's Companies, Incorporated 17,700 628,350
Masco Corporation 7,800 280,800
----------
2,158,163
BUSINESS SERVICES - 0.17%
Robert Half International, Incorporated 6,700 230,312
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
78
<PAGE> 109
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<CAPTION>
- --------------------------------------------------------------------------------
Shares Value
------ -----
<S> <C> <C>
CHEMICALS - 3.03%
BF. Goodrich Company 7,500 $ 303,750
Engelhard Corporation 30,100 575,663
E.I. Du Pont De Nemours & Company 8,700 821,062
Monsanto Company 22,900 890,238
PPG Industries, Incorporated 13,500 757,687
Praxair, Incorporated 15,400 710,325
----------
4,058,725
COMPUTERS & BUSINESS EQUIPMENT - 1.12%
Cadence Design Systems Incorporated 6,250 248,438
Lexmark International Group,
Incorporated 6,500 179,562
Silicon Graphics, Incorporated 17,600 448,800
Sun Microsystems, Incorporated* 24,400 626,775
----------
1,503,575
DOMESTIC OIL - 0.75%
Atlantic Richfield Company 7,600 1,007,000
----------
DRUGS & HEALTH CARE - 4.19%
American Home Products Corporation 14,800 867,650
Amgen, Incorporated 18,900 1,027,688
Bristol Myers Squibb Company 7,600 826,500
Dura Pharmaceuticals, Incorporated* 4,800 229,200
Merck and Company, Incorporated 10,000 792,500
Pfizer, Incorporated 9,100 754,162
Schering Plough Corporation 17,100 1,107,225
----------
5,604,925
ELECTRIC UTILITIES - 3.03%
AES Corporation 6,000 279,000
Calenergy, Incorporated 10,000 336,250
CMS Energy Corporation 2,600 87,425
Dominion Resources, Incorporated 16,100 619,850
Duke Power Company 13,900 642,875
FPL Group, Incorporated 17,600 809,600
Illinova Corporation 4,300 118,250
Pacific Gas and Electric Company 21,800 457,800
Pinnacle West Capital Corporation 5,600 177,800
Southern Company 23,200 524,900
----------
4,053,750
ELECTRICAL EQUIPMENT - 1.81%
General Electric Company 14,500 1,433,688
Tyco International, Ltd. 18,800 994,050
----------
2,427,738
ELECTRONICS - 1.81%
Intel Corporation 9,400 1,230,812
Linear Technology Corporation 17,900 785,363
LSI Logic Corporation 15,300 409,275
----------
2,425,450
FINANCIAL SERVICES - 1.36%
The Money Store, Incorporated 6,200 171,275
Northern Trust Corporation 6,800 246,500
SunAmerica, Incorporated 5,900 261,812
Travelers Group, Incorporated 25,000 1,134,375
----------
1,813,962
FOOD & BEVERAGES - 2.45%
Archer Daniels Midland Company 41,700 917,400
----------
FOOD & BEVERAGES - CONTINUED
Campbell Soup Company 10,850 870,713
Conagra, Incorporated 18,200 905,450
Hershey Foods Corporation 6,000 262,500
Vons Companies, Incorporated 5,400 323,325
----------
3,279,388
HOSPITAL SUPPLY - 0.79%
Baxter International, Incorporated 19,300 791,300
United States Surgical Corporation 6,900 271,687
----------
1,062,987
HOTELS & RESTAURANTS - 0.62%
Hilton Hotels Corporation 32,000 836,000
----------
HOUSEHOLD PRODUCTS - 1.67%
Colgate Palmolive Company 10,300 950,175
Procter and Gamble Company 11,900 1,279,250
----------
2,229,425
INSURANCE - 1.92%
American International Group,
Incorporated 6,100 660,325
Cigna Corporation 7,200 983,700
Marsh and McLennan Companies,
Incorporated 8,900 925,600
----------
2,569,625
INTERNATIONAL OIL - 1.60%
Mobil Corporation 8,600 1,051,350
Texaco, Incorporated 11,100 1,089,188
----------
2,140,538
LEISURE TIME - 2.22%
Callaway Golf Company 6,000 175,375
Carnival Corporation 21,400 706,200
The Wait Disney Company 12,500 870,312
HBO and Company 4,400 261,250
Mirage Resorts, Incorporated* 7,200 155,700
Promus Hotel Corporation 7,700 228,113
Viacom, Incorporated 16,300 568,462
----------
2,965,412
MACHINERY - 0.59%
Ingersoll Rand Company 17,800 792,100
----------
MISCELLANEOUS SERVICES - 0.44%
SPDR Trust 7,900 583,366
----------
MISCELLANEOUS MANUFACTURING - 0.79%
Minnesota Mining and Manufacturing
Company 12,700 1,052,512
----------
NATURAL GAS - 0.22%
Noble Affiliates, Incorporated 6,200 296,825
----------
OFFICE FURNISHINGS & SUPPLIES - 0.58%
Pitney Bowes, Incorporated 14,300 779,350
----------
PAPER - 0.66%
James River Corporation of Virginia 26,800 887,750
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
79
<PAGE> 110
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<CAPTION>
- --------------------------------------------------------------------------------
Shares Value
------ -----------
<S> <C> <C>
PERSONAL CARE - 0.69%
Avon Products, Incorporated 16,100 $ 919,713
-----------
PETROLEUM SERVICES - 1.94%
Baker Hughes, Incorporated 22,700 783,150
Chevron Corporation 12,400 806,000
Global Marine, Incorporated 18,200 375,375
USX Marathon Group 26,400 630,300
-----------
2,594,825
POLLUTION CONTROL - 0.49%
United Waste Systems Incorporated 8,500 292,187
U.S. Filter Corporation 11,300 358,775
-----------
650,962
PUBLISHING - 0.68%
Gannett, Incorporated 12,100 905,988
-----------
RETAIL TRADE - 3.89%
Albertsons, Incorporated 10,000 356,250
American Stores Company 20,400 833,850
Dayton Hudson Corporation 21,100 828,175
Sears Roebuck and Company 20,100 927,112
TJX Companies, Incorporated 2,600 123,175
Tiffany and Company 8,000 293,000
Tommy Hilfiger Corporation* 4,600 220,800
Toys R Us, Incorporated* 25,600 768,000
Wal Mart Stores, Incorporated 37,400 855,525
-----------
5,205,887
SOFTWARE - 2.67%
BMC Software, Incorporated* 2,600 107,575
Cisco Systems Incorporated* 14,100 897,113
Computer Associates International,
Incorporated 13,100 651,725
Informix Corporation 27,800 566,425
Microsoft Corporation* 12,600 1,041,075
Paychex, Incorporated 6,000 308,625
-----------
3,572,538
TELEPHONE - 3.33%
Bellsouth Corporation 15,500 625,812
MFS Communications, Incorporated 9,400 512,300
Airtouch Communications, Incorporated 24,800 626,200
LCI International, Incorporated 10,200 219,300
NYNEX Corporation 19,300 928,813
Pacific Telesis Group 19,000 698,250
SBC Communications, Incorporated 16,200 838,350
-----------
4,449,025
TOBACCO - 1.16%
Philip Morris Companies, Incorporated 13,800 1,554,225
-----------
TRANSPORTATION - 0.49%
Union Pacific Corporation 11,000 661,375
-----------
TOTAL COMMON STOCKS
(Cost: $64,412,594) $74,110,641
-----------
<CAPTION>
Principal
Amount Value
---------- ----------
<S> <C> <C>
CORPORATE BONDS - 25.19%
BANKING - 5.48%
Bank of New York, Incorporated,
6.625% due 06/15/03 $1,000,000 $ 988,540
Bank of Nova Scotia Halifax,
9.00% due 10/01/99 1,000,000 1,066,180
BankAmerica Corporation,
8.125% due 02/01/02 1,000,000 1,058,080
BCH Cayman Islands, Ltd.,
6.50% due 02/15/06 1,000,000 947,850
Citicorp, 7.125% due 06/01/03 500,000 508,275
Kansallis Osake Pankki NY,
10.00% due 05/01/02 1,000,000 1,134,900
MBNA Corporation,
7.49% due 09/14/99 1,000,000 1,027,090
Republic New York Corporation,
9.50% due 04/15/14 500,000 598,430
----------
7,329,345
COMPUTERS & BUSINESS EQUIPMENT -0.86%
GTE Corporation,
8.75% due 11/01/21 1,000,000 1,153,070
----------
DRUGS & HEALTH CARE -0.83%
Columbia/HCA Healthcare
Corporation, 8.70% due 02/10/10 1,000,000 1,117,130
----------
ELECTRIC UTILITIES - 2.97%
Baltimore Gas and Electric
Company, 6.125% due 07/01/03 1,000,000 969,780
Carolina Power and Light Company,
6.875% due 10/01/98 500,000 497,180
Northern States Power Company,
7.875% due 10/01/01 1,000,000 1,044,760
Pacific Gas and Electric Company,
6.25% due 08/01/03 1,000,000 972,940
Philadelphia Electric Company,
6.50% due 05/01/03 500,000 489,410
----------
3,974,070
FINANCIAL SERVICES - 5.65%
Associates Corporation of North
America, 6.125% due 02/01/98 500,000 500,455
Chrysler Financial Corporation,
5.875% due 02/07/01 1,000,000 976,210
CIT Group Holdings, Incorporated,
8.75% due 04/15/98 500,000 515,935
Commercial Credit Group,
Incorporated, 7.375% due 04/15/05 1,000,000 1,020,450
Donaldson Lufkin and Jenrette,
5.625% due 02/15/16 1,000,000 963,740
Ford Motor Credit Company,
6.375% due 04/15/00 1,000,000 995,270
General Electric Capital Corporation,
8.85% due 04/01/05 500,000 561,660
</TABLE>
The accompanying notes are an integral part of the financial statements.
80
<PAGE> 111
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount Value
---------- ------------
<S> <C> <C>
FINANCIAL SERVICES - CONTINUED
Household Finance Corporation,
7.75% due 06/01/99 $1,000,000 $ 1,026,860
Salomon, Incorporated,
5.75% due 03/31/98 1,000,000 995,980
------------
7,556,560
FOOD & BEVERAGES - 1.53%
Coca Cola Enterprises, Incorporated,
8.50% due 02/01/22 1,000,000 1,124,120
IBP, Incorporated,
7.125% due 02/01/26 1,000,000 926,640
------------
2,050,760
FUNERAL SERVICES - 0.75%
Service Corporation International,
6.75% due 06/01/01 1,000,000 1,004,710
------------
HOTEL & RESTAURANTS -0.74%
ITT Corporation, 6.25% due 11/15/00 1,000,000 983,860
------------
HOUSEHOLD PRODUCTS - 0.91%
Procter and Gamble,
9.36% due 01/01/21 1,000,000 1,214,400
------------
NATURAL GAS - 0.74%
Columbia Gas Systems
Incorporated, 7.05% due 11/28/07 1,000,000 986,330
------------
NEWSPAPERS - 0.80%
News America Holdings,
Incorporated, 8.50% due 02/15/05 1,000,000 1,070,950
------------
PETROLEUM - 0.78%
Ultramar Corporation,
8.00% due 03/15/05 1,000,000 1,045,420
------------
REAL ESTATE - 0.76%
MEPC Financial, Incorporated,
7.50% due 05/01/03 1,000,000 1,021,460
------------
TELEPHONE - 2.39%
MCI Communications Corporation,
7.75% due 03~23~25 1,000,000 1,012,790
New dersey Bell Telephone Company,
5.875% due 12/01/06 500,000 459,520
New York Telephone Company,
7.00% due 12/01/33 1,000,000 926,780
Pacific Bell, 6.625% due 10/15/34 900,000 799,524
------------
3,198,614
TOTAL CORPORATE BONDS (Cost: $32,936,796) $ 33,706,679
------------
U.S. TREASURY OBLIGATIONS - 10.19%
UNITED STATES TREASURY BONDS - 2.19%
6.00% due 02/15/26 $ 470,000 $ 427,775
6.75% due 08/15/26 1,290,000 1,299,675
6.875% due 08/15/25 895,000 912,623
7.625% due 02/15/25 265,000 294,357
------------
2,934,430
UNITED STATES TREASURY NOTES -8.00%
5.125% due 04/30/98 500,000 496,170
5.75% due 10/31/00 2,145,000 2,116,514
5.875% due 08/15/98 1,175,000 1,175,552
5.875% due 11/15/05 1,385,000 1,335,445
6.00% due 08/15/99 2,110,000 2,109,662
6.25% due 08/31/00 1,615,000 1,621,056
6.50% due 05/15/97 260,000 261,056
6.50% due 08/15/05 110,000 110,705
6.50% due 10/15/06 1,465,000 1,473,014
------------
10,699,174
TOTAL U.S. TREASURY
OBLIGATIONS (Cost: $13,613,890) $ 13,633,604
------------
FOREIGN GOVERNMENT OBLIGATIONS -3.09%
GOVERNMENT OF CANADA - 1.61%
Province of Ontario,
8.00% due 10/17/01 1,000,000 1,057,980
Province of Quebec,
8.80% due 04/15/03 1,000,000 1,100,610
------------
2,158,590
PEOPLES REPUBLIC of China - 0.77%
7.375% due 07/03/01 1,000,000 1,024,060
------------
GOVERNMENT of Italy - 0.71%
6.875% due 09/27/23 1,000,000 950,970
------------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost: $4,130,952) $ 4,133,620
------------
SHORT TERM INVESTMENTS - 6.14%
UNITED STATES TREASURY BILLS -6.14%
4.44% due 01/09/97 201,000 200,802
4.48% due 01/09/97 895,000 894,109
4.80% due 01/09/97 20,000 19,979
4.87% due 01/09/97 1,021,000 1,019,895
4.88% due 03/06/97 773,000 766,294
4.97% due 01/09/97 4,024,000 4,019,554
4.98% due 01/09/97 620,000 619,314
4.99% due 01/09/97 121,000 120,866
5.00% due 03/06/97 524,000 519,342
5.02% due 03/06/97 29,000 28,741
------------
8,208,896
TOTAL SHORT TERM INVESTMENTS
(Cost: $8,208,896) $ 8,208,896
------------
TOTAL INVESTMENTS
(Balanced Trust)(Cost: $123,303,130) $133,793,440
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
81
<PAGE> 112
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
ASSET ALLOCATION TRUSTS AGGRESSIVE MODERATE CONSERVATIVE
---------------------- --------------------- -----------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS: 66.46% 45.05% 26.85%
AEROSPACE: 1.72% 1.03% 0.55%
Boeing Company 12,567 $1,336,815 26,496 $2,818,512 4,321 $ 459,646
British Aerospace 14,787 323,759 22,835 499,968 4,023 88,083
California Amplifier, Incorporated* 2,600 15,925 4,800 29,400 400 2,450
Kellstrom Industries, Incorporated* 14,300 119,762 17,800 149,075 5,100 42,713
Lockheed Martin Corporation 4,800 439,200 3,000 274,500 900 82,350
McDonnell Douglas Corporation 7,500 480,000 15,500 992,000 1,100 70,400
Thiokol Corporation 3,200 143,200 5,300 237,175 700 31,325
TRW, Incorporated 7,800 386,100 8,000 396,000 1,600 79,200
United Technologies Corporation 9,200 607,200 14,000 950,400 4,000 264,000
---------- ---------- ----------
3,851,961 6,347,030 1,120,167
AIR TRAVEL 0.67% 0.61% 0.21%
AMR Corporation* 5,500 484,688 12,200 1,075,125 1,200 105,750
Atlantic Southeast Airlines, Incorporated 13,400 293,125 20,200 441,875 4,500 98,438
Continental Airlines, Incorporated* 3,500 98,875 7,200 203,400 2,600 73,450
Delta Air Lines, Incorporated 5,100 361,463 14,900 1,056,037 300 21,262
Japan Air Lines Company, Ltd.* 24,000 127,450 36,000 191,175 8,000 42,483
Northwest Airlines Corporation* 3,300 129,112 20,000 782,500 2,100 82,163
---------- ---------- ----------
1,494,713 3,750,112 432,546
ALUMINUM: 0.19% 0.11% 0.09%
Aluminum Company of America 6,600 420,750 10,700 682,125 2,900 184,875
---------- ---------- ----------
APPAREL & TEXTILES: 0.21% 0.19% 0.05%
Japan Wool Textile* 17,000 140,333 27,000 222,882 5,000 41,274
Kellwood Company 3,800 76,000 8,800 176,000 800 16,000
NIKE, Incorporated 2,500 149,375 1,000 59,750 --- ---
Talbots, Incorporated 3,400 97,325 25,600 732,800 1,300 37,213
---------- ---------- ----------
463,033 1,191,432 94,487
AUTO PARTS: 1.07% 0.70% 0.44%
Denso Corporation 10,000 240,912 14,000 337,277 2,000 48,182
Eaton Corporation 23,800 1,660,050 44,100 3,075,975 9,400 655,650
Echlin, Incorporated 9,400 297,275 17,800 562,925 3,700 117,012
Gentex Corporation* 3,200 64,400 7,000 140,875 1,600 32,200
Scania AB, Series B* 4,100 102,502 5,800 145,002 1,100 27,500
Spartan Motors, Incorporated 5,300 35,775 11,900 80,325 2,900 19,575
---------- ---------- ----------
2,400,914 4,342,379 900,119
AUTOMOBILES: 1.46% 0.89% 0.49%
Chrysler Corporation 11,600 382,800 22,400 739,200 5,000 165,000
Edaran (C)tomobil National BHD 7,000 69,986 12,000 119,976 --- ---
General Motors Corporation 13,300 741,475 24,000 1,338,000 4,300 239,725
Honda Motor Company 17,000 485,882 26,000 743,114 5,000 142,906
Toyota Motor Corporation 35,000 1,006,390 55,000 1,581,470 10,000 287,540
Volvo AB, Series B 26,400 582,589 45,300 999,670 7,700 169,922
---------- ---------- ----------
3,269,122 5,521,430 1,005,093
</TABLE>
The accompanying notes are an integral part of the financial statements.
82
<PAGE> 113
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- --------------------- -----------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C> <C>
BANKING: 6.86% 4.48% 2.49%
Akita Bank, Ltd. 34,000 $ 211,381 54,000 $ 335,722 9,000 $ 55,954
Bank of New York, Incorporated 51,600 1,741,500 97,800 3,300,750 20,000 675,000
Bank of Tokyo, Ltd.* 50,650 940,312 78,850 1,463,842 14,100 261,765
BankAmerica Corporation 3,800 379,050 14,000 1,396,500 4,200 418,950
Banponce Corporation 24,400 823,500 42,900 1,447,875 10,100 340,875
Banco Bilbao Vizcaya SA 3,050 164,687 4,450 240,281 1,000 53,996
Banco Popular Espanol SA 900 176,776 1,400 274,986 250 49,105
Barclays 7,697 131,932 12,052 206,579 2,126 36,441
Charter One Financial, Incorporated 6,405 269,010 27,275 1,145,550 2,205 92,610
Citicorp 8,100 834,300 15,800 1,627,400 3,400 320,200
Collective Bancorp, Incorporated 3,000 105,375 8,000 281,000 2,300 80,788
Comerica, Incorporated 1,900 99,512 500 26,188 800 41,900
Credit Commercial de France 4,169 192,842 6,386 295,392 783 36,219
Credit Suisse Group 2,340 240,381 4,400 451,999 665 68,313
Dai Ichi Kangyo Bank, Ltd. 16,000 230,723 25,000 360,504 4,000 57,681
Den Norske Bank 118,300 448,002 192,400 728,618 34,000 128,758
Development Bank of Singapore, Ltd. 6,000 81,041 7,000 94,547 2,000 27,014
First Bank System, Incorporated 8,300 566,475 8,300 566,475 3,700 252,525
First Chicago Corporation 8,693 467,249 19,231 1,033,666 3,615 194,306
Fleet Financial Group, Incorporated 3,898 194,413 7,345 366,332 1,659 82,743
Fokus Bank AS* 31,500 214,625 35,900 244,604 9,350 63,706
Fuji Bank 39,000 569,122 51,000 744,236 8,000 116,743
Generale De Banque 150 53,778 300 107,557 50 17,926
HSBC Holdings - HKD 36,535 781,763 64,836 1,387,337 10,754 230,110
HSBC Holdings - (pound) 15,530 338,696 24,404 532,230 3,636 79,298
Industrial Bank of Japan 13,000 225,628 21,000 364,476 4,000 69,424
Lloyds TSB Group PLC 76,187 562,559 118,512 875,084 20,997 155,040
Malayan Bank BHD 3,000 33,261 5,000 55,435 1,000 11,087
Mitsubishi Trust & Banking Corporation 5,000 66,920 11,000 147,224 1,000 13,384
Mitsui Trust & Banking Corporation 10,000 78,145 16,000 125,032 3,000 23,444
National City Corporation 3,600 161,550 13,600 610,300 600 26,925
NationsBank Corporation 6,548 640,067 7,780 760,495 2,264 221,306
National Westminster Bank PLC 13,293 156,227 20,903 245,665 3,653 42,932
Nordbanken AB 10,500 317,930 15,000 454,186 2,800 84,781
Overseas Union Bank 11,000 84,900 17,000 131,208 5,000 38,591
Public Bank BHD 14,000 29,657 7,666 16,240 13,333 28,245
Sakura Bank, Ltd.* 54,000 386,081 84,000 600,570 15,000 107,245
Sparebanken NOR 7,100 220,391 12,000 372,491 1,900 58,978
Standard Chartered 17,000 208,823 26,600 362,747 6,300 77,387
Standard Federal Bancorporation 7,700 437,938 20,200 1,148,875 300 17,062
Unidanmark 4,725 244,640 7,375 381,845 1,300 67,308
United Overseas Bank 21,800 243,036 36,600 408,033 4,200 46,823
Wachovia Corporation 9,200 519,800 16,800 949,200 1,600 90,400
Wells Fargo & Company 1,400 377,650 2,700 728,325 233 62,852
Westpac Banking Corporation 25,500 145,122 39,800 226,507 7,000 39,838
Zions Bancorp --- --- 500 52,000 --- ---
----------- ----------- ----------
15,396,770 27,640,108 5,095,978
BROADCASTING: 0.61% 0.39% 0.21%
Act Networks, Incorporated* --- --- 700 25,550 --- ---
Canal Plus 3,013 665,491 4,705 1,039,208 835 184,429
Sinclair Broadcast Group, Incorporated* 5,100 132,600 6,000 156,000 --- ---
Tele Communications, Incorporated* 1,700 22,206 23,600 308,275 6,500 84,906
TV 4 AB 11,800 242,232 23,500 482,412 3,600 73,901
</TABLE>
The accompanying notes are an integral part of the financial statements.
83
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<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- --------------------- -----------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C> <C>
BROADCASTING - CONTINUED
TV Francaise 3,050 $ 291,568 4,050 $ 387,164 850 $ 81,257
U.S. West Media Group, Incorporated* 500 9,250 --- --- --- ---
Viacom, Incorporated, Class A* --- --- --- --- 272 9,384
---------- ---------- ----------
1,363,347 2,398,609 433,877
BUILDING CONSTRUCTION: 0.32% 0.15% 0.10%
Fluor Corporation 5,600 351,400 10,400 652,600 2,100 131,775
Harsco Corporation 5,200 356,200 3,900 267,150 1,200 82,200
---------- ---------- ----------
707,600 919,750 213,975
BUSINESS SERVICES: 1.16% 0.78% 0.39%
ADVO, Incorporated* 4,400 61,600 5,000 70,000 2,200 30,800
Automatic Data Processing, Incorporated 2,500 107,188 4,300 184,363 700 30,012
Brambles Industries, Ltd.* 16,500 321,974 25,800 503,450 4,500 87,811
Dames and Moore, Incorporated 4,400 64,350 9,300 136,012 3,500 51,188
EA Engineering Science and Technology,
Incorporated* 6,200 14,725 15,400 36,575 2,100 4,987
Katz Media Group, Incorporated* 3,800 42,750 5,600 63,000 2,700 30,375
M.A.I.D. PLC* 44,000 150,762 69,000 236,423 12,000 41,117
Medaphis Corporation* 1,100 12,306 2,000 22,375 400 4,475
Microage, Incorporated* 1,400 28,000 1,600 32,000 --- ---
Ogden Corporation 36,900 691,875 63,800 1,196,250 11,700 219,375
Omnicorn Group 5,200 237,900 21,800 997,350 2,200 100,650
PHH Corporation --- --- 500 21,500 --- ---
Securitas AB, Series B* 8,700 253,222 8,700 253,222 2,400 69,854
Serv-Tech, Incorporated* 6,200 15,112 6,700 16,331 -- ---
SunGard Data Systems, Incorporated* 5,900 233,050 9,000 355,500 1,300 51,350
Syratech Corporation* 3,500 110,250 7,600 239,400 --- ---
TRC Companies, Incorporated* 4,400 19,800 10,600 47,700 2,500 11,250
Yorkshire Water 19,632 237,118 30,708 370,895 5,436 65,657
---------- ---------- ----------
2,601,982 4,782,346 798,901
CHEMICALS: 1.98% 1.40% 0.84%
AKZO Nobel NV 450 61,512 800 109,354 --- ---
Asahi Chemical Industry Company, Ltd.* 47,000 266,229 75,000 424,834 13,000 73,638
Bayer AG* 10,800 440,759 18,200 742,761 3,200 130,595
Cytec Industries, Incorporated* 9,000 365,625 15,600 633,750 1,800 73,125
E.I.Du Pont De Nemours & Company 10,700 1,009,813 20,000 1,887,500 4,100 368,938
W.R. Grace & Company 1,600 82,800 3,200 165,600 700 36,225
Great Lakes Chemical Corporation 900 42,075 1,700 79,475 300 14,025
Martek Biosciences Corporation* 1,700 34,000 1,900 38,000 600 12,000
Metallgesellschaft AG* 11,300 231,317 18,650 381,775 3,000 61,411
Monsanto Company 33,000 1,282,875 76,200 2,962,275 17,500 680,312
Olin Corporation --- --- 1,600 60,200 400 15,050
Om Group, Incorporated 3,300 89,100 4,350 117,450 -- ---
Praxair, Incorporated 2,600 119,925 4,600 212,175 1,800 83,025
Sekisui Chemical 11,000 111,130 17,000 171,747 3,000 30,308
Shin Etsu Chemical Company 600 10,932 900 16,398 150 2,733
Special Devices, Incorporated* 2,100 37,275 --- --- --- ---
Union Carbide Corporation 5,500 224,812 12,600 515,025 2,600 106,275
Witco Corporation 1,200 36,600 3,500 106,750 800 24,400
---------- ---------- ----------
4,446,779 8,625,069 1,730,060
</TABLE>
The accompanying notes are an integral part of the financial statements.
84
<PAGE> 115
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- --------------------- -----------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C> <C>
COMPUTERS & BUSINESS EQUIPMENT: 2.34% 1.57% 1.04%
3COM Corporation* 2,400 $ 176,100 4,400 $ 322,850 900 $ 66,037
Bay Networks, Incorporated* 2,650 55,319 5,000 104,375 600 12,525
Cisco Systems, Incorporated* 26,400 1,679,700 54,800 3,486,650 11,200 712,600
Compaq Computer Corporation* 11,200 831,600 24,100 1,789,425 5,500 408,375
Fujitsu 33,000 307,745 50,000 466,281 9,000 83,931
Hewlett-Packard Company 2,100 105,525 4,000 201,000 800 40,200
International Business Machines Corporation 6,600 996,600 9,400 1,419,400 1,600 241,600
International Imaging Materials* 4,500 102,375 9,700 220,675 2,500 56,875
Pitney Bowes, Incorporated 9,400 512,300 14,800 806,600 3,700 201,650
Scopus Technology* 1,100 51,150 2,800 130,200 400 18,600
Seagate Technology, Incorporated* 3,200 126,400 5,800 229,100 1,400 55,300
Sundstrand Corporation 1,900 80,750 3,900 165,750 3,000 127,500
Tandy Corporation 5,300 233,200 8,400 369,600 2,000 88,000
Tech Data Corporation* --- --- --- --- 2,000 27,375
---------- ---------- ----------
5,258,764 9,711,906 2,140,568
CONGLOMERATES: 1.07% 0.62% 0.34%
American Group 4,750 98,098 4,000 82,609 1,500 30,978
Berjaya Sports 33,000 164,641 35,000 174,619 10,000 49,891
Corporacion Financiera Alba 1,600 161,695 3,650 368,866 600 60,636
CSR, Ltd.* 49,600 173,468 81,500 285,033 14,400 50,362
First Pacific Company 54,088 70,280 89,734 116,598 14,184 18,430
Grand Metropolitan 36,174 283,839 54,249 425,664 9,543 74,879
Hanson 47,300 66,448 74,000 103,957 13,100 18,403
Hutchison Whampoa 73,000 573,372 115,000 903,258 20,000 157,088
ISS-International Service Systems* 19,550 514,404 30,600 805,154 5,400 142,086
Nokia OY AB, Series A --- --- 1,250 72,500 --- ---
Swire Pacific, Ltd., Class A* 15,500 147,796 24,000 228,845 6,500 61,979
Tomkins 33,094 153,082 51,697 239,133 9,147 42,311
---------- ---------- ----------
2,407,123 3,806,236 707,043
CONSTRUCTION MATERIALS: 0.60% 0.28% 0.16%
CRH 24,800 257,475 39,400 409,053 8,000 83,056
Lafarge Corporation 13,600 273,700 24,100 485,012 4,000 80,500
Masco Corporation 7,100 255,600 --- --- --- ---
Medusa Corporation 6,100 209,688 16,150 555,156 3,800 130,625
Powerscreen International PLC --- --- 6,000 58,078 --- ---
Sherwin-Williams Company 4,000 224,000 --- --- --- ---
Vulcan Materials Company 500 30,437 1,000 60,875 --- ---
Wolseley PLC 12,800 100,983 20,000 157,787 3,500 27,613
---------- ---------- ----------
1,351,883 1,725,961 321,794
CONSTRUCTION & MINING EQUIPMENT: 0.45% 0.33% 0.16%
Caterpillar, Incorporated 2,300 173,075 4,900 368,725 800 60,200
Harnischfeger Industries, Incorporated 10,791 519,317 24,534 1,180,699 6,691 322,005
Japan Foundation Engineering 770 10,040 --- --- --- ---
Toda Construction Company 30,000 227,959 45,000 341,939 8,000 60,789
YTL Corporation* 14,000 75,391 22,000 118,472 4,000 21,540
---------- ---------- ----------
1,005,782 2,009,835 464,534
COSMETICS & TOILETRIES: 0.21% 0.20% 0.13%
Avon Products, Incorporated 4,400 251,350 14,200 811,175 3,200 182,800
CCA Industries, Incorporated* 12,500 28,906 28,400 65,675 5,700 13,181
Guest Supply, Incorporated* 10,500 185,063 19,050 335,756 4,500 79,313
---------- ---------- ----------
465,319 1,212,606 275,294
</TABLE>
The accompanying notes are an integral part of the financial statements.
85
<PAGE> 116
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- --------------------- -----------------------
Shares Value Shares Value Shares Value
<S> <C> <C> <C> <C> <C> <C>
DOMESTIC OIL: 0.71% 0.48% 0.34%
Amerada Hess Corporation 6,400 $ 370,400 13,300 $ 769,738 2,900 $ 167,838
Atlantic Richfield Company 1,100 145,750 2,500 331,250 700 92,750
Louisiana Land and Exploration Company --- --- 900 48,262 --- ---
Kerr-McGee Corporation 1,400 100,800 --- --- 900 64,800
Unocal Corporation 24,200 983,125 44,700 1,815,937 9,400 381,875
----------- ----------- ----------
1,600,075 2,965,187 707,263
DRUGS & HEALTH CARE: 5.87% 3.96% 2.37%
Allergan, Incorporated 1,100 39,188 2,200 78,375 500 17,812
American Home Products Corporation 4,700 275,537 9,300 545,213 2,000 117,250
Amgen, Incorporated* 3,700 201,188 7,000 380,625 1,400 76,125
Astra AB 4,100 202,598 7,800 385,431 1,400 69,180
Baxter International, Incorporated 3,900 159,900 7,100 291,100 1,400 57,400
Biogen, Incorporated* 600 23,250 1,600 62,000 --- ---
Bristol-Myers Squibb Company 19,000 2,066,250 29,500 3,208,125 6,300 685,125
Columbia/HCA-Healthcare Corporation 24,000 978,000 48,350 1,970,262 5,250 213,938
Cor Therapeutics, Incorporated* 8,100 79,987 15,600 154,050 4,300 42,462
Fresenius Med Care Aktiengesel, ADR --- --- --- --- 1 28
Gehe AG* 1,750 112,019 2,370 151,706 620 39,687
Genentech, Incorporated* 6,700 359,288 12,700 681,038 2,600 139,425
Glaxo Wellcome PLC 36,100 587,545 56,445 918,670 9,977 162,380
Health Management Association, Class A* 1,125 25,312 1,900 42,750 475 10,688
Health Systems International, Incorporated* 5,400 133,650 7,500 185,625 2,000 49,500
Healthsouth Corporation* 5,500 212,438 15,900 614,138 2,400 92,700
Hoya Corporation* 5,000 196,442 8,000 314,308 1,000 39,288
Johnson & Johnson 10,200 507,450 19,200 955,200 4,400 218,900
Eli Lilly & Company 2,100 153,300 2,200 160,600 1,100 80,300
Medtronic, Incorporated 1,200 81,600 --- --- 1,200 81,600
Merck & Company, Incorporated 15,700 1,244,225 27,900 2,211,075 6,900 546,825
Microfluidics International Corporation* --- --- 4,800 9,000 1,100 2,063
Novartis AG* 743 850,967 1,143 1,309,080 192 220,278
OY Tamro AB 23,350 155,836 32,000 213,565 4,500 30,033
Oxford Health Plans, Incorporated* 600 35,137 3,400 199,112 600 35,138
Pacificare Health Systems, Incorporated* 1,400 119,350 7,900 673,475 2,200 187,550
Pfizer, Incorporated 5,100 422,663 11,000 911,625 2,400 198,900
Sankyo Company 14,000 396,512 22,000 623,090 4,000 113,289
Sanofi 4,750 472,390 8,000 795,606 1,150 114,368
Schering AG 1,200 101,300 1,900 160,391 350 29,546
Schering-Plough Corporation 18,200 1,178,450 40,200 2,602,950 7,600 492,100
SmithKline Beecham PLC* 29,441 407,544 45,918 635,630 8,170 113,095
SmithKline Beecham PLC, ADR 4,200 285,600 13,600 924,800 1,800 122,400
Spacelabs, Incorporated* 2,800 57,400 6,100 125,050 1,900 38,950
St. Jude Medical, Incorporated* 4,950 210,994 15,200 647,900 3,900 166,237
Takeda Chemical Industries 18,000 377,688 28,000 587,514 5,000 104,913
Thermedics, Incorporated* 5,900 106,937 9,600 174,000 2,200 39,875
United Healthcare Corporation 3,900 175,500 2,900 130,500 1,500 67,500
Wellpoint Health Networks, Incorporated* 1,600 55,000 5,300 182,188 --- ---
Zeneca Group* 4,500 126,820 7,100 200,094 1,300 36,637
----------- ----------- ----------
13,175,255 24,415,861 4,853,485
ELECTRICAL EQUIPMENT: 2.19% 1.53% 0.80%
ABB AG 115 143,052 180 223,907 35 45,538
Alcatel Alsthom Cie Generale D'Electric 5,687 456,845 8,899 714,870 1,934 155,361
AVX Corporation 10,400 223,600 13,600 292,400 --- ---
</TABLE>
The accompanying notes are an integral part of the financial statements.
86
<PAGE> 117
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<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------- -------------------- --------------------
Shares Value Shares Value Shares Value
------ ----- ------ ----- ------ -----
<S> <C> <C> <C> <C> <C> <C>
ELECTRICAL EQUIPMENT - CONTINUED
Baldor Electric Company 10,300 $ 253,638 15,900 $ 391,538 -- --
Boston Scientific Corporation* 2,600 156,000 5,200 312,000 1,600 $ 96,000
FKI PLC 67,850 235,970 106,810 371,465 18,717 65,094
FLIR Systems, Incorporated* 4,500 61,875 16,200 222,750 3,800 52,250
Fuji Electric Company 36,000 151,075 56,000 235,006 -- --
General Electric Company 19,500 1,928,062 46,600 4,607,575 8,800 870,100
NEC Corporation 12,000 145,065 19,000 229,687 2,000 24,178
Raychem Corporation 3,200 256,400 5,400 432,675 1,000 80,125
Sanmina Corporation* 1,900 107,350 3,600 203,400 600 33,900
Thermo Volter Corporation* 2,850 28,144 14,550 143,681 2,250 22,219
Westinghouse Electric Corporation 38,107 757,377 52,434 1,042,126 10,198 202,685
--------- --------- ---------
4,904,453 9,423,080 1,645,450
ELECTRIC UTILITIES: 1.19% 0.71% 0.39%
American Electric Power, Incorporated 1,300 53,462 4,900 201,513 800 32,900
Boston Edison Company 1,000 26,875 7,800 209,625 2,100 56,437
CINergy Corporation 8,300 277,012 12,400 413,850 2,700 90,113
DPL, Incorporated 7,000 171,500 5,900 144,550 800 19,600
DQE 600 17,400 2,600 75,400 500 14,500
Enova Corporation 2,800 63,700 9,700 220,675 1,300 29,575
Entergy Corporation 12,800 355,200 24,300 674,325 4,900 135,975
Hong Kong Electric Holdings, Ltd. 38,500 127,927 36,500 121,281 10,500 34,889
Kansai Electric Power 6,000 124,342 9,000 186,512 2,000 41,447
National Grid Group 83,000 277,283 127,000 424,276 20,000 66,815
Portland Gen Corporation -- -- -- -- 400 16,800
Public Service Company of New Mexico 1,700 33,363 -- -- -- --
Tenaga Nasional* 24,000 114,987 37,000 177,272 7,000 33,538
Tohoku Electric Power, Incorporated 5,500 109,231 -- -- -- --
Tokyo Electric Power, Incorporated 10,100 221,518 20,700 454,002 2,900 63,604
VEBA AG 12,000 694,047 18,750 1,084,449 3,000 173,512
--------- --------- ---------
2,667,847 4,387,730 809,705
ELECTRONICS: 2.48% 1.64% 1.04%
Adaptec, Incorporated* 1,200 48,000 -- -- -- --
Adflex Solutions, Incorporated* 2,100 21,525 4,800 49,200 2,200 22,550
AMP, Incorporated 3,000 115,125 8,000 307,000 3,000 115,125
Brightpoint, Incorporated* 1,600 47,600 -- -- -- --
Cirrus Logic, Incorporated* 400 6,200 -- -- -- --
DSC Communications Corporation* 1,700 30,388 400 7,150 700 12,513
Electronic Data Systems Corporation 6,600 285,450 12,600 544,950 2,500 108,125
Electronics For Imaging, Incorporated* 5,700 468,825 8,900 732,025 1,900 156,275
Harris Corporation 1,200 82,350 3,400 233,325 -- --
Intel Corporation 22,900 2,998,469 42,000 5,499,375 8,400 1,099,875
Liberty Technologies, Incorporated* -- -- 17,500 56,875 3,500 11,375
Linear Technology Corporation 7,600 333,450 14,800 649,350 3,500 153,562
Maxim Integrated Products, Incorporated* 5,900 255,175 7,400 320,050 2,800 121,100
Motorola, Incorporated 2,100 128,887 -- -- -- --
Raytheon Company 3,400 163,625 10,200 490,875 -- --
Rohm Company 3,000 196,874 5,000 328,124 1,000 65,625
Scientific-Atlanta, Incorporated 16,800 252,000 32,600 489,000 6,300 94,500
TDK Corporation 1,000 65,193 3,000 195,579 1,000 65,193
Tracor, Incorporated* 2,700 57,375 -- -- -- --
Teradyne, Incorporated* -- -- 9,400 229,125 4,700 114,563
--------- --------- ---------
5,556,511 10,132,003 2,140,381
</TABLE>
The accompanying notes are an integral part of the financial statements.
87
<PAGE> 118
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
-------------------- -------------------- -------------------
Shares Value Shares Value Shares Value
------ ----- ------ ----- ------ -----
<C> <C> <C> <C> <C> <C> <C>
FINANCIAL SERVICES: 3.93% 2.66% 1.56%
3I Group 12,200 $ 101,789 18,900 $ 157,689 3,400 $ 28,367
Acom Company 4,700 200,483 8,000 341,249 1,400 59,718
Allstate Corporation 29,842 1,727,106 57,444 3,324,571 12,962 750,176
American Express Company 19,600 1,107,400 34,100 1,926,650 7,300 412,450
Astoria Financial Corporation 12,800 472,000 27,400 1,010,375 8,400 309,750
Beneficial Corporation 5,500 348,562 18,900 1,197,788 1,500 95,063
BHC Financial, Incorporated 2,900 45,675 14,700 231,525 1,000 15,750
Daiwa Securities 24,000 213,453 54,000 480,269 10,000 88,939
Development Securities PLC* 25,000 89,087 17,200 61,292 7,500 26,726
Federal Home Loan Mortgage Corporation 1,600 176,200 4,700 517,587 800 88,100
Federal National Mortgage Association 42,900 1,598,025 71,300 2,655,925 13,800 514,050
Household International, Incorporated 5,900 544,275 12,700 1,171,575 1,900 175,275
Internationale Nederlanden Groep NV* 12,443 448,279 19,556 704,537 3,170 114,204
Japan Associated Finance Company* 4,000 316,035 5,000 395,044 1,000 79,009
Jefferies Group, Incorporated 4,800 193,800 8,200 331,075 2,200 88,825
Legg Mason, Incorporated 10,700 411,950 16,200 623,700 3,000 115,500
Long Island Bancorp, Incorporated 3,000 105,000 500 17,500 300 10,500
Peoples Heritage Financial Group 6,400 179,200 12,200 341,600 2,100 58,800
Tab Corporation Holdings, Ltd. 29,200 139,258 33,100 157,857 8,100 38,630
Travelers Group, Incorporated 8,898 403,747 16,765 760,712 2,698 122,422
--------- ---------- ---------
8,821,324 16,408,520 3,192,254
FOOD & BEVERAGES: 3.44% 2.44% 1.61%
Archer-Daniels-Midland Company 4,217 92,774 14,266 313,852 3,036 66,792
Asahi Breweries* 12,000 124,342 15,000 155,427 4,000 41,447
Bass 9,100 128,151 14,000 197,156 2,600 36,615
Celestial Seasonings, Incorporated* -- -- 2,900 57,275 1,600 31,600
The Coca Cola Company 12,800 673,600 24,300 1,278,788 6,900 363,113
Dekalb Genetics Corporation, Class B 1,900 96,900 3,200 163,200 -- --
Dole Food Company, Incorporated 3,900 132,113 6,100 206,637 1,500 50,812
Earthgrains Company 36 1,881 -- -- 52 2,717
General Mills, Incorporated 6,400 405,600 12,100 766,838 2,500 158,437
Goodmark Foods, Incorporated 4,400 72,600 10,900 179,850 2,600 42,900
Kellogg Company 10,400 682,500 20,700 1,358,438 4,600 301,875
Nabisco Holdings Corporation, Class A 5,800 225,475 6,000 233,250 6,100 237,138
Nestle SA 154 165,333 232 249,073 44 47,238
Nippon Meat Packer 7,000 90,666 10,000 129,522 3,000 38,857
PepsiCo, Incorporated 73,900 2,161,575 143,100 4,185,675 29,700 868,725
Pioneer Hi Bred International, Incorporated 3,700 259,000 6,800 476,000 1,600 112,000
Ralcorp Holdings, Incorporated* 15,266 322,494 46,600 984,425 7,800 164,775
Ralston Purina Company 6,500 1,210,687 36,600 2,685,525 6,700 491,612
Southcorp Holdings, Ltd. 27,400 87,115 42,900 136,396 7,600 24,163
Tabacalera SA 9,350 402,592 12,700 546,836 2,350 101,186
Tyson Foods, Incorporated, Class A 11,300 387,025 22,000 753,500 3,300 113,025
--------- ---------- ---------
7,722,423 15,057,663 3,295,027
FOREST PRODUCTS: 0.03% 0.01% 0.00%
Weyerhaeuser Company 1,200 56,850 -- -- -- --
Wickes Lumber Company* 800 3,300 7,300 30,112 1,800 7,425
--------- ---------- ---------
60,150 30,112 7,425
GAS & PIPELINE UTILITIES: 0.79% 0.54% 0.40%
British Gas PLC* 31,000 118,965 48,500 186,123 6,100 23,409
Coastal Corporation 1,500 73,313 -- -- -- --
Eastern Enterprises -- -- 400 14,150 -- --
</TABLE>
The accompanying notes are an integral part of the financial statements.
88
<PAGE> 119
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
-------------------- -------------------- -------------------
Shares Value Shares Value Shares Value
------ ----- ------ ----- ------ -----
<S> <C> <C> <C> <C> <C> <C>
GAS & PIPELINE UTILITIES - CONTINUED
Enron Corporation 10,100 $ 435,562 21,200 $ 914,250 4,800 $ 207,000
MCN Corporation 8,800 254,100 16,000 462,000 4,000 115,500
Pacific Enterprises 9,900 300,713 19,000 577,125 3,900 118,463
Piedmont National Gas, Incorporated 7,900 184,662 14,200 331,925 3,200 74,800
Questar Corporation 4,100 150,675 12,900 474,075 6,100 224,175
UGI Corporation 11,600 259,550 16,700 373,663 2,400 53,700
--------- --------- -------
1,777,540 3,333,311 817,047
GOLD: 0.43% 0.27% 0.19%
Kinross Gold Corporation* 8,400 59,850 -- -- -- --
Newmont Mining Corporation 20,400 912,900 37,800 1,691,550 8,900 398,275
--------- --------- -------
972,750 1,691,550 398,275
HOMEBUILDERS: 0.29% 0.16% 0.09%
Daiwa House Industry Company, Ltd. 25,000 321,647 30,000 385,977 4,000 51,464
Lennar Corporation 3,700 100,825 10,100 275,225 2,200 59,950
Shimizu Corporation* 30,000 224,074 46,000 343,580 9,000 67,222
--------- --------- -------
646,546 1,004,782 178,636
HOTELS & RESTAURANTS: 0.61% 0.43% 0.30%
HFS, Incorporated* 1,200 71,700 7,300 436,175 400 23,900
Hilton Hotels Corporation 18,000 470,250 21,600 564,300 7,400 193,325
La Quinta Inns, Incorporated 7,425 142,003 14,850 284,006 4,275 81,759
McDonald's Corporation 6,800 307,700 15,700 710,425 3,900 176,475
Mirage Resorts, Incorporated* 2,800 60,550 6,200 134,075 1,400 30,275
Promus Hotel Corporation* -- -- 1,550 45,919 350 10,369
Quick Restaurants 800 51,186 1,250 79,978 300 19,195
Yoshinoya D&C Company, Ltd. 21 257,491 32 392,367 6 73,569
--------- --------- -------
1,360,880 2,647,245 608,867
HOUSEHOLD APPLIANCES FURNISHING: 0.50% 0.32% 0.21%
Fedders USA, Incorporated 10,000 62,500 23,800 148,750
Matsushita Electronic Industries 31,000 505,915 51,000 832,311 10,000 163,198
Sony Corporation 5,900 386,676 9,300 609,507 1,600 104,861
Toro Company 4,400 160,600 10,500 383,250 4,200 153,300
--------- --------- -------
1,115,691 1,973,818 421,359
HOUSEHOLD PRODUCTS: 0.48% 0.25% 0.14%
Cultor Oy, Series I* 2,200 119,565 4,950 269,022 800 43,478
Gillette Company 600 46,650 -- -- -- --
Procter & Gamble Company 2,900 311,750 2,700 290,250 500 53,750
Stanhome, Incorporated 2,500 66,250 7,100 188,150 2,600 68,900
Unilever PLC 11,900 288,479 18,600 450,899 3,300 79,998
Unilever NV 1,350 238,957 1,800 318,610 200 35,401
--------- --------- -------
1,071,651 1,516,931 281,527
INDUSTRIAL MACHINERY: 1.48% 0.89% 0.47%
AES Corporation* 9,200 427,800 14,000 651,000 1,700 79,050
Autoliv AB* 2,700 118,374 2,800 122,758 300 13,153
Bunka Shutter Company* 49,000 279,251 79,000 450,220 14,000 79,786
Hitachi Construction Machinery 27,000 284,431 43,000 452,983 8,000 84,276
Ingersoll Rand Company 6,000 267,000 13,400 596,300 3,100 137,950
Komatsu, Ltd. 32,000 262,499 51,000 418,358 9,000 73,828
Mannesmann AG 400 173,382 600 260,073 100 43,345
</TABLE>
The accompanying notes are an integral part of the financial statements.
89
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<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
-------------------- -------------------- -------------------
Shares Value Shares Value Shares Value
------ ----- ------ ----- ------ -----
<S> <C> <C> <C> <C> <C> <C>
INDUSTRIAL MACHINERY - CONTINUED
Memtec, Ltd., ADR* 13,400 $ 440,525 24,100 $ 792,288 3,900 $ 128,212
Minebea Company 12,000 100,302 29,000 242,397 5,000 41,793
Mitsubishi Heavy Industry 52,000 413,090 78,000 619,636 13,000 103,273
Park Ohio Industries, Incorporated* 3,600 46,350 5,600 72,100 1,000 12,875
Shima Seiki Manufacturing* 1,600 74,605 2,600 121,233 500 23,314
T & N PLC* 41,400 123,413 64,800 193,168 11,500 34,281
Thermo Electron Corporation* 3,825 157,781 6,075 250,594 1,950 80,437
TSI, Incorporated 7,800 89,700 14,400 165,600 2,400 27,600
United Engineers BHD 6,000 54,168 9,000 81,251 -- --
--------- --------- ---------
3,312,671 5,489,959 963,173
INSURANCE: 2.02% 1.24% 0.75%
Aetna, Incorporated 539 43,120 -- -- -- --
American International Group, Incorporated 200 21,650 -- -- -- --
Arbatax International, Incorporated* 2,200 14,953 -- -- 700 4,758
AXA 5,864 372,963 8,762 557,282 1,605 102,082
Baloise Holdings 55 110,534 45 90,437 15 30,146
W.R. Berkley Corporation 3,600 182,700 7,300 370,475 1,500 76,125
Equitable of Iowa Companies, Incorporated 2,500 114,688 -- -- -- --
Frontier Insurance Group, Incorporated* 290 11,092 -- -- -- --
General Re Corporation 4,400 694,100 10,100 1,593,275 1,800 283,950
Harleysville Group, Incorporated 3,500 106,750 7,300 222,650 2,000 61,000
Horace Mann Educators Corporation 6,200 250,325 9,900 399,713 2,700 109,013
Istituto Nazionale della Assicurazioni -- -- -- -- 16,800 21 883
MBIA, Incorporated 3,700 374,625 7,300 739,125 1,900 192,375
Pohjola 10,300 231,750 16,150 363,375 2,850 64,125
Providian Corporation 1,400 71,925 1,900 97,612 600 30,825
Prudential Corporation 34,525 291,012 53,983 455,022 9,544 80,446
Royal Sun Alliance 29,962 228,680 46,988 358,629 8,355 63,768
Schweiz Ruckversicherungs* 130 138,790 175 186,832 -- --
Selective Insurance Group, Incorporated 6,700 254,600 13,700 520,600 2,800 106,400
Skandia Foersaekrings AB 16,500 466,942 24,700 698,999 4,500 127,348
Sumitomo Marine & Fire 41,000 254,900 64,000 397,893 11,000 68,388
Triad Guaranty, Incorporated* 10,300 296,125 21,550 619,562 4,250 122,187
--------- --------- ---------
4,532,224 7,671,481 1,544,819
INTERNATIONAL OIL: 0.90% 0.63% 0.32%
British Petroleum Company PLC 59,419 712,580 98,831 1,185,227 17,978 215,600
British Petroleum Company PLC, ADR 300 42,412 2,300 325,162 500 70,687
Exxon Corporation 7,600 744,800 15,900 1,558,200 2,600 254,800
Royal Dutch Petroleum Company, ADR 2,400 409,800 3,400 580,550 400 68,300
Saga Petroleum* 7,000 108,643 14,400 223,495 2,500 38,801
--------- --------- ---------
2,018,235 3,872,634 648,188
INVESTMENT COMPANIES: 0.39% 0.20% 0.26%
Alex Brown, Incorporated 3,900 282,750 -- -- 3,300 239,250
Eaton Vance Corporation -- -- -- -- 600 28,575
Inter-Regional Financial Group, Incorporated 5,400 190,350 8,100 285,525 1,950 68,738
McDonald Company Investments,
Incorporated 2,400 83,400 5,400 187,650 800 27,800
Morgan Keegan, Incorporated -- -- 15,450 264,581 1,800 30,825
Morgan Stanley Group, Incorporated 1,200 68,550 400 22,850 800 45,700
Nomura Securities Company, Ltd. 6,000 90,148 10,000 150,246 2,000 30,049
Piper Jaffray Companies, Incorporated 9,800 153,125 19,700 307,813 4,400 68,750
--------- --------- ---------
868,323 1,218,665 539,687
</TABLE>
The accompanying notes are an integral part of the financial statements.
90
<PAGE> 121
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<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
-------------------- -------------------- -------------------
Shares Value Shares Value Shares Value
------ ----- ------ ----- ------ -----
<S> <C> <C> <C> <C> <C> <C>
LEISURE TIME: 1.32% 0.89% 0.49%
The Walt Disney Company 23,919 $1,665,360 44,934 $3,128,530 9,709 $ 675,989
Genting BHD 6,000 41,339 9,000 62,007 3,000 20,669
Granada Group PLC* 19,200 283,872 34,700 513,039 5,300 78,360
Kuoni Reisen Holding, Series B 150 364,214 230 558,461 40 97,124
Magnum CP BHD* 23,000 44,625 36,000 69,848 -- --
MGM Grand, Incorporated* 2,200 76,725 14,000 488,250 -- --
Movie Gallery, Incorporated* 2,800 36,400 10,200 132,600 -- --
Renaissance Communication Corporation* 3,500 125,125 -- -- -- --
Resorts World BHD 13,000 59,196 23,000 104,732 6,000 27,321
Salomon SA* 2,450 210,128 3,500 300,183 700 60,037
Sodak Gaming, Incorporated* 3,800 58,425 9,800 150,675 2,500 38,438
--------- --------- -------
2,965,409 5,508,325 997,938
MINING: 0.68% 0.49% 0.31%
Bre-X Minerals, Ltd* 64,100 1,001,562 113,900 1,779,688 29,800 465,625
Canyon Resources Corporation* -- -- 48,200 126,525 -- --
Cookson Group 39,219 159,241 61,338 249,051 10,955 44,481
Inco, Ltd. -- -- 100 3,187 -- --
Inco, Ltd. - CAD 10,700 341,872 23,800 760,425 3,200 102,242
Mountain Province Mining, Incorporated* 5,400 17,550 8,200 26,650 -- --
Stillwater Mining Company* -- -- 4,100 74,312 1,100 19,938
--------- --------- -------
1,520,225 3,019,838 632,286
NEWSPAPERS: 0.39% 0.30% 0.21%
Independent News 46,888 238,978 74,671 380,583 10,387 52,940
Times Mirror Company, Series A 8,800 437,800 21,700 1,079,575 6,300 313,425
Ver Ned Uitgevers* 9,700 202,821 18,500 386,823 3,200 66,910
--------- --------- -------
879,599 1,846,981 433,275
NON-FERROUS METALS: 0.14% 0.07% 0.05%
Imco Recycling, Incorporated 7,100 103,837 10,200 149,175 2,000 29,250
IMI PLC* 3,800 24,348 -- -- 3,800 24,348
WMC, Ltd. 31,000 195,398 48,400 305,073 9,300 58,619
--------- --------- -------
323,583 454,248 112,217
OTHER UTILITIES: 0.26% 0.15% 0.08%
United Water Resources, Incorporated 37,200 576,600 58,400 905,200 10,700 165,850
--------- --------- -------
PAPER: 0.80% 0.55% 0.30%
Boise Cascade Corporation 17,000 539,750 24,600 781,050 5,600 177,800
Champion International Corporation 1,500 64,875 2,100 90,825 700 30,275
Chesapeake Corporation* 13,000 407,875 29,900 938,112 5,400 169,425
Fort Howard Paper Corporation* -- -- 1,300 35,994 -- --
Kimberly Clark Corporation 4,000 381,000 7,900 752,475 1,600 152,400
Pope & Talbot, Incorporated 20,400 323,850 36,200 574,675 3,200 50,800
Stone Container Corporation 3,200 47,600 15,500 230,563 1,100 16,362
Wausau Paper Mills Company 2,000 37,000 -- -- -- --
Willamette Industries, Incorporated -- -- -- -- 300 20,888
--------- --------- -------
1,801,950 3,403,694 617,950
PETROLEUM & NATURAL GAS: 0.65% 0.36% 0.18%
Anadarko Petroleum Corporation 6,500 420,875 5,200 336,700 1,100 71,225
Burlington Resources, Incorporated 2,300 115,863 6,300 317,362 1,200 60,450
Chesapeake Energy Corporation 1,350 75,094 1,850 102,906 -- --
</TABLE>
The accompanying notes are an integral part of the financial statements.
91
<PAGE> 122
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
-------------------- -------------------- -------------------
Shares Value Shares Value Shares Value
------ ----- ------ ----- ------ -----
<S> <C> <C> <C> <C> <C> <C>
PETROLEUM & NATURAL GAS - CONTINUED
Elf Aquitaine* 3,500 $ 318,599 5,000 $ 455,141 1,000 $ 91,028
ENI SPA* 54,000 277,119 84,200 432,101 7,800 40,028
Newfield Exploration Company* -- -- 800 20,800 -- --
Occidental Petroleum Corporation -- -- 7,000 163,625 4,900 114,538
Santa Fe Energy Resources, Incorporated* -- -- 14,400 199,800 -- --
Union Pacific Resource Group, Incorporated 8,900 260,325 5,600 163,800 -- --
--------- --------- ---------
1,467,875 2,192,235 377,269
PETROLEUM SERVICES: 2.01% 1.32% 0.79%
Broken Hill Proprietary Company, Ltd. 6,956 99,079 9,821 139,887 1,098 15,640
Dresser Industries, Incorporated 6,600 204,600 11,300 350,300 3,100 96,100
Halliburton Company 7,800 469,950 16,700 1,006,175 3,900 234,975
Norsk Hydro AS 3,500 187,410 5,000 267,728 900 48,191
Royal Dutch Petroleum 1,000 175,442 2,000 350,883 500 87,721
Schlumberger, Ltd. 17,800 1,777,775 35,800 3,575,525 6,500 649,188
Total SA, B Shares 10,422 847,660 16,866 1,371,775 2,983 242,618
Total SA, ADR 6,546 263,476 12,428 500,227 3,289 132,382
Western Atlas, Incorporated* 7,000 496,125 7,900 559,912 1,500 106,312
--------- --------- ---------
4,521,517 8,122,412 1,613,127
PHOTOGRAPHY: 0.45% 0.25% 0.13%
Canon, Incorporated 25,000 552,629 37,000 817,891 7,000 154,736
Fuji Photo Film Company 8,000 263,881 13,000 428,806 2,000 65,970
Konica Corporation 28,000 185,683 43,000 285,157 8,000 53,053
--------- --------- ---------
1,002,193 1,531,854 273,759
POLLUTION CONTROL: 0.17% 0.22% 0.11%
Republic Industries, Incorporated 1,450 45,222 1,620 50,524 -- --
TETRA Technologies, Incorporated* 7,900 199,475 12,200 308,050 2,200 55,550
United Waste Systems, Incorporated* -- -- 21,600 742,500 2,600 89,375
USA Waste Services, Incorporated* 4,250 135,469 7,650 243,843 2,380 75,863
--------- --------- ---------
380,166 1,344,917 220,788
PUBLISHING: 0.49% 0.29% 0.23%
Hollinger International, Incorporated 44,400 510,600 66,100 760,150 20,000 230,000
Meredith Corporation 6,300 332,325 11,900 627,725 3,300 174,075
Reuters Holdings 13,200 169,721 20,700 266,153 3,600 46,287
Singapore Press Holdings, Ltd. 4,000 78,896 6,000 118,345 1,000 19,724
--------- --------- ---------
1,091,542 1,772,373 470,086
RAILROADS & EQUIPMENT: 0.47% 0.36% 0.24%
Burlington Northern Santa Fe 2,100 181,388 4,000 345,500 800 69,100
CSX Corporation 16,400 692,900 36,900 1,559,025 9,100 384,475
East Japan Railway 37 166,454 65 292,419 10 44,987
Wisconsin Central Transportation Corporation* 300 11,887 -- -- -- --
--------- --------- ---------
1,052,629 2,196,944 498,562
REAL ESTATE: 0.81% 0.47% 0.25%
Cheung Kong Holdings 55,000 488,881 84,000 746,654 14,000 124,442
Mitsubishi Estate 24,000 246,611 37,000 380,192 7,000 71,928
New World Development Company 41,273 278,818 77,068 520,629 13,273 89,665
Perpetual 3,100 120,824 4,800 187,082 900 35,078
Sun Hung Kai Properties 47,000 575,764 72,000 882,022 13,000 159,254
Tokyo Tatemono Company* 25,000 112,253 35,000 157,154 6,000 26,941
--------- --------- ---------
1,823,151 2,873,733 507,308
</TABLE>
The accompanying notes are an integral part of the financial statements.
92
<PAGE> 123
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
-------------------- -------------------- -------------------
Shares Value Shares Value Shares Value
------ ----- ------ ----- ------ -----
<S> <C> <C> <C> <C> <C> <C>
RETAIL GROCERY: 0.11% 0.11% 0.05%
Giant Foods, Incorporated, Class A 6,900 $ 238,050 20,500 $ 707,250 2,900 $ 100,050
--------- ---------- ---------
RETAIL TRADE: 3.02% 1.81% 1.16%
Amway Japan, Ltd. 3,000 96,365 6,000 192,729 1,000 32,122
Ahold Kon NV* 1,700 106,342 2,700 168,897 500 31,277
AutoZone, Incorporated* 9,700 266,750 9,500 261,250 4,500 123,750
Boots Company 10,900 112,417 14,200 146,452 2,900 29,909
Burton Group PLC* 26,100 70,202 35,800 96,293 7,000 18,828
Consolidated Stores Corporation* 6,250 200,781 9,625 309,203 2,125 68,266
Cygne Designs, Incorporated* -- -- -- -- 900 787
CVS Corporation 29,300 1,212,288 59,000 2,441,125 12,300 508,913
Delhaize Le Lion 450 26,736 650 38,618 -- --
Federated Department Stores, Incorporated* 4,200 143,325 7,300 249,113 800 27,300
Footstar, Incorporated* 4,203 104,550 10,997 273,550 2,216 55,123
Friedman's, Incorporated, Class A* 5,500 81,125 22,400 330,400 3,200 47,200
Haverty Furniture Companies, Incorporated 5,600 63,700 -- -- -- --
The Home Depot, Incorporated 8,000 401,000 13,900 696,738 4,000 200,500
Ito Yokado Company 2,000 87,039 3,000 130,559 1,000 43,520
Jusco Company 2,000 67,870 6,000 203,609 -- --
Kingfisher 24,589 265,394 37,791 407,886 6,549 70,685
Lillian Vernon Corporation 4,500 55,125 10,500 128,625 2,500 30,625
Lowes Companies, Incorporated 23,600 837,800 52,800 1,874,400 11,400 404,700
Marks & Spencer 12,700 107,048 19,800 166,894 3,500 29,501
Mitsubishi Corporation 13,000 134,703 20,000 207,236 4,000 41,447
Mitsui & Company 7,000 56,817 33,000 267,853 4,000 32,467
Nine West Group, Incorporated* 5,700 264,338 10,300 477,662 2,400 111,300
Old American Stores, Incorporated* 5,600 30,100 12,300 66,112 3,400 18,275
Proffitts, Incorporated* 3,626 133,709 5,390 198,756 490 18,069
Safeway 18,724 129,275 29,263 202,039 5,117 35,329
Sears Roebuck & Company 5,400 249,075 7,900 364,387 1,500 69,188
Shimachu Company 6,000 153,873 10,000 256,455 2,000 51,291
Takashimaya Company 15,000 180,036 23,000 276,056 4,000 48,010
Toys R Us, Incorporated* 18,900 567,000 -- -- -- --
Vendex International 5,650 241,839 7,000 299,624 1,550 66,345
Wal-Mart Stores, Incorporated 14,300 327,113 19,700 450,637 7,200 164,700
--------- ---------- ---------
6,773,735 11,183,158 2,379,427
SAVINGS & LOAN: 0.20% 0.11% 0.09%
Commercial Federal Corporation 5,300 254,400 9,700 465,600 2,100 100,800
North Side Savings Bank of Bronx New York 3,700 201,650 4,400 239,800 1,400 76,300
--------- ---------- ---------
456,050 705,400 177,100
SHIPBUILDING: 0.05% 0.02% 0.07%
Anangel American Shipholdings, Ltd., ADR 5,000 40,000 7,700 61,600 2,700 21,600
Avondale Industries, Incorporated* -- -- -- -- 3,700 79,550
West Marine, Incorporated* 2,600 73,450 2,400 67,800 1,400 39,550
--------- ---------- ---------
113,450 129,400 140,700
SOFTWARE: 1.04% 0.68% 0.50%
Business Objects SA, ADR* 6,200 83,700 15,500 209,250 4,500 60,750
Dialogic Corporation* 2,700 85,050 5,600 176,400 800 25,200
HBO & Company -- -- -- -- 300 17,812
Learning Company, Incorporated* 700 10,063 1,100 15,812 -- --
Micro Focus Group, Incorporated PLC, ADR* 4,300 65,575 -- -- 7,500 114,375
</TABLE>
The accompanying notes are an integral part of the financial statements.
93
<PAGE> 124
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
-------------------- -------------------- -------------------
Shares Value Shares Value Shares Value
------ ----- ------ ----- ------ -----
<S> <C> <C> <C> <C> <C> <C>
SOFTWARE - CONTINUED
Microsoft Corporation* 11,400 $ 941,925 21,700 $1,792,963 4,400 $ 363,550
Oracle Systems Corporation* 21,000 876,750 42,300 1,766,025 9,025 376,794
Policy Management Systems Corporation* 3,100 142,987 700 32,287 400 18,450
TT Tieto OY 1,550 131,042 2,400 202,904 450 38,045
--------- ---------- ---------
2,337,092 4,195,641 1,014,976
STEEL: 0.32% 0.20% 0.10%
Huntco, Incorporated, Class A 3,700 54,575 7,400 109,150 500 7,375
Kawasaki Steel Corporation 68,000 195,527 115,000 330,671 20,000 57,508
Kurimoto 13,000 116,743 24,000 215,525 4,000 35,921
Nippon Steel Corporation 44,000 129,937 70,000 206,718 14,000 41,344
Sumitomo Metal Industry 86,000 211,640 140,000 344,530 24,000 59,062
--------- ---------- ---------
708,422 1,206,594 201,210
TELECOMMUNICATION SERVICES: 1.26% 0.89% 0.43%
Arch Communications Group, Incorporated* 3,700 34,687 3,600 33,750 600 5,625
Ascend Communications, Incorporated* 5,900 366,538 15,400 956,725 2,700 167,738
Echostar Communications Corporation* 2,925 64,350 8,910 196,020 -- --
General Cable* 73,500 245,546 111,700 373,163 16,800 56,125
Heartland Wireless Communications,
Incorporated* 12,200 160,125 -- -- 500 6,562
Lucent Technologies, Incorporated 9,981 461,621 19,542 903,817 3,824 176,860
MFS Communications, Incorporated* 22,500 1,226,250 41,000 2,234,500 8,000 436,000
Palmer Wireless, Incorporated* 3,000 31,500 -- -- 1,600 16,800
Premiere Technologies, Incorporated 9,300 232,500 30,800 770,000 1,000 25,000
--------- ---------- ---------
2,823,117 5,467,975 890,710
TELEPHONE: 3.84% 2.57% 1.56%
360 Communications Company* 19,500 450,937 18,400 425,500 3,300 76,312
AirTouch Communications, Incorporated* 53,400 1,348,350 111,000 2,802,750 21,200 535,300
Ameritech Corporation 7,600 460,750 14,400 873,000 3,100 187,938
American Telephone & Telegraph Corporation 28,300 1,231,050 52,100 2,266,350 11,000 478,500
Bell Atlantic Corporation 6,700 433,825 12,400 802,900 2,900 187,775
Bellsouth Corporation 13,800 557,175 26,300 1,061,863 5,800 234,175
British Telecommunication 43,900 297,079 73,500 497,387 14,200 96,094
Cincinnati Bell, Incorporated -- -- -- -- 500 30,812
DDI Corporation 30 198,428 40 264,571 10 66,143
GTE Corporation 10,700 486,850 27,800 1,264,900 5,600 254,800
MCI Communications Corporation 11,000 359,562 14,800 483,775 3,700 120,944
NYNEX Corporation 16,700 803,687 33,800 1,626,625 6,400 308,000
Pacific Telesis Group 1,700 62,475 4,100 150,675 -- --
SBC Communications, Incorporated 8,400 434,700 15,900 822,825 3,400 175,950
STET 159,000 537,162 230,000 777,027 40,000 135,135
Telecom Corporation of New Zealand 8,400 42,876 13,200 67,376 2,300 11,740
Telecom Italia Mobile RISP* 91,000 129,873 76,100 192,382 17,100 43,229
Telecom Italia Mobile SPA* 48,400 122,356 157,100 224,207 18,000 25,689
Telefonica de Espana SA* 9,900 229,913 15,500 359,965 3,150 73,154
Telekom Malaysia -- -- 5,000 44,546 -- --
VodaFone Group 68,518 289,942 107,234 453,774 18,945 80,168
WorldCom, Incorporated* 5,200 135,525 14,800 385,725 2,600 67,762
--------- ---------- ---------
8,612,515 15,848,123 3,189,620
</TABLE>
The accompanying notes are an integral part of the financial statements.
94
<PAGE> 125
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
--------------------- --------------------- --------------------
Shares Value Shares Value Shares Value
------ ----- ------ ----- ------ -----
<S> <C> <C> <C> <C> <C> <C>
TOBACCO: 1.07% 0.66% 0.40%
BAT Industries PLC 14,200 $ 117,745 24,100 $ 199,835 3,900 $ 32,339
Philip Morris Companies, Incorporated 18,800 2,117,350 31,800 3,581,475 6,400 720,800
RJR Nabisco Holdings Corporation 3,900 132,600 7,600 258,400 1,500 51,000
Rothmans Pall Mall 3,000 31,479 6,000 62,958 1,000 10,493
------------ ------------ -----------
2,399,174 4,102,668 814,632
TRUCKING & FREIGHT: 0.31% 0.21% 0.12%
Bona Shipholding* 9,400 110,878 13,000 153,342 -- --
Fukuyama Transport 10,000 73,569 15,000 110,353 -- --
J.B. Hunt Transport Services, Incorporated 12,100 169,400 20,000 280,000 11,300 158,200
ICB Shipping 13,000 152,495 30,800 361,296 4,500 52,787
Kirby Corporation* 400 7,900 5,200 102,700 -- --
Landstar Systems, Incorporated* 5,200 120,900 7,900 183,675 1,900 44,175
Pittston Services Group -- -- 1,000 27,000 -- --
U.S. Freightways Corporation 2,000 54,875 3,000 82,312 -- --
------------ ------------ -----------
690,017 1,300,678 255,162
TOTAL COMMON STOCK (COST:
$124,962,450, $224,858,391 and
$44,330,615, respectively) $153,648,452 $277,927,107 $55,046,881
------------ ------------ -----------
PREFERRED STOCK: 0.94% 0.81% 0.06%
APPAREL & TEXTILES: 0.08% 0.04% 0.03%
Hugo Boss AG 150 188,426 200 251,235 50 62,809
------------ ------------ -----------
AUTOMOBILES: 0.15% 0.08% 0.03%
Volkswagen AG 1,050 337,422 1,600 514,167 200 64,271
------------ ------------ -----------
BANKING: 0.02% 0.02%
Chevy Chase Capital Corporation* 800 41,400 2,200 113,850 -- --
------------ ------------
BROADCASTING: 0.11% 0.12%
Cablevision Systems Corporation, Series H* 2,155 202,031 1,246 112,140 -- --
Cablevision Systems Corporation, Series M* 415 37,350 6,575 616,406 -- --
------------ ------------
239,381 728,546 -- --
DRUGS & HEALTH CARE: 0.07% 0.08%
Fresenius Medical Care Capital Trust* 150 152,625 500 508,750 -- --
------------ ------------
FINANCIAL SERVICES: 0.00% 0.00%
S D Warren Company 169 6,211 558 20,506 -- --
------------ ------------
PUBLISHING: 0.32% 0.30%
K III Communications Corporation, Series D* 390 38,318 1,100 108,075 -- --
Time Warner, Incorporated, Series M* 635 691,997 1,598 1,741,733 -- --
------------ ------------
730,315 1,849,808
TELECOMMUNICATION SERVICES: 0.19% 0.16%
Panamsat Corporation* 340 417,135 819 1,003,654 -- --
------------ ------------
TOTAL PREFERRED STOCK
(COST: $1,842,710, $3,665,419,
and $112,719, respectively) $ 2,112,915 $ 4,990,516 $ 127,080
------------ ------------ -----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
95
<PAGE> 126
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
--------------------- --------------------- --------------------
Shares Value Shares Value Shares Value
------ ----- ------ ----- ------ -----
<S> <C> <C> <C> <C> <C> <C>
WARRANTS: * 0.01% 0.02% 0.00%
BANKING: 0.00% 0.00% 0.00%
Schweizerischer Bankverein
(Expiration date 06/30/00;
strike price CHF 250) 40 $ 111 100 $ 277 15 $ 41
------- -------- -----
BUSINESS SERVICES: 0.00% 0.00%
Protection One, Incorporated
(Expiration date 06/30/05;
strike price $6.60) 960 6,240 3,200 20,800 -- --
------- --------
CHEMICALS: 0.00% 0.00%
Sterling Chemicals Holdings, Incorporated
(Expiration date 08/05/08;
strike price $0.01) 40 1,400 120 4,200 -- --
------- --------
MISCELLANEOUS: 0.00% 0.00%
SDW Holdings Corporation
(Expiration date 12/15/06;
strike price $0.01) 169 870 558 2,873 -- --
------- --------
TELECOMMUNICATION SERVICES: 0.01% 0.01%
Hyperion Telecommunications,
Incorporated (Expiration date
04/15/01; strike price $20.00) 220 4,400 1,130 22,600 -- --
Intercel, Incorporated
(Expiration date 02/01/06;
strike price $18.15) 1,312 9,184 3,488 24,416 -- --
Microcell Telecommunications
Incorporated (Expiration date
06/01/06; strike price $0.01) 1,280 8,640 3,760 25,380 -- --
Microcell Telecommunications
Incorporated (Expiration date
06/15/06; strike price $0.01) 1,280 320 3,760 940 -- --
------- --------
22,544 73,336
TOTAL WARRANTS (COST: $14,215,
$54,685 and $0, respectively) $31,165 $101,486 $ 41
------- -------- -----
</TABLE>
The accompanying notes are an integral part of the financial statements.
96
<PAGE> 127
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
AGGRESSIVE MODERATE CONSERVATIVE
-------------------------- --------------------------- ---------------------------
Principle Principle Principle
Amount Value Amount Value Amount Value
---------- ---------- ----------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY AND
MORTGAGE-BACKED OBLIGATIONS: 6.79% 16.61% 20.60%
FEDERAL FARM CREDIT BANK: 0.21% 0.46% 0.87%
6.20% due 09/23/02 $ 100,000 $ 98,906 $ 720,000 $ 712,123 $ 300,000 $ 296,718
6.40% due 10/03/02 -- -- 230,000 229,641 100,000 99,844
6.56% due 08/05/02 -- -- 440,000 442,614 190,000 191,129
9.373% due 07/21/03 380,000 377,508 1,258,000 1,447,882 1,043,000 1,200,430
---------- ----------- -----------
476,414 2,832,260 1,788,121
FEDERAL HOME LOAN BANK: 0.08% 0.43% 0.33%
5.44% due 10/15/03 -- -- -- -- -- --
7.59% due 03/10/05 30,000 31,744 280,000 296,274 120,000 126,974
9.50% due 02/25/04 130,000 151,511 2,000,000 2,330,940 470,000 547,771
---------- ----------- -----------
183,255 2,627,214 674,745
FEDERAL HOME LOAN
MORTGAGE CORPORATION: 0.21% 1.71% 2.74%
6.00% due 07/01/06 - 08/15/14 390,000 391,096 2,550,000 2,557,165 1,106,664 1,109,387
7.50% due 06/01/07 33,761 34,062 -- -- -- --
8.00% due 04/01/23 - 08/01/24 -- -- 2,842,588 2,908,845 1,502,664 1,541,105
9.50% due 09/01/16 - 12//01/22 34,510 37,495 4,700,562 5,092,399 2,732,235 2,960,216
---------- ----------- -----------
462,653 10,558,409 5,610,708
FEDERAL NATIONAL MORTGAGE ASSOCIATION: 3.94% 8.46% 10.14%
6.00% due 12/01/08 - 05/01/11 894,459 863,911 6,706,799 6,505,758 3,485,967 3,375,454
6.50% due 08/01/07 - 05/01/26 2,879,292 2,820,289 14,025,552 13,566,614 5,327,229 5,169,006
7.00% due 05/01/24 - 12/01/25 749,969 733,793 2,849,146 2,787,698 1,160,830 1,135,791
7.49% due 03/02/05 60,000 63,056 470,000 493,942 200,000 210,188
7.50% due 11/01/06/ - 11/01/26 2,890,043 2,889,198 22,941,630 22,948,676 7,523,900 7,529,943
7.71% due 04/25/06, REMIC 302,176 308,125 2,081,655 2,122,638 839,377 855,902
8.00% due 12/01/19 - 12/01/25 900,458 919,569 2,917,128 2,976,614 1,485,967 1,515,226
8.50% due 11/01/08 - 06/01/24 -- -- 747,404 718,867 964,188 1,006,764
8.75% due 08/01/09 225,189 236,237 -- -- -- --
9.00% due 10/01/05 2,065 2,155 -- -- -- --
---------- ----------- -----------
8,836,333 52,183,807 20,798,274
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION: 1.84% 4.35% 4.95%
7.50% due 10/15/22 - 10/15/23 1,353,098 1,359,254 4,610,575 4,631,635 2,286,388 2,297,088
8.00% due TBA** 800,000 816,000 5,930,000 6,048,600 2,000,000 2,040,000
8.00% due 04/15/25 - 03/15/26 137,637 140,390 1,131,137 1,154,552 386,731 394,825
8.50% due 03/15/26 - 09/15/26 1,184,912 1,227,864 4,932,754 5,112,101 1,355,724 1,404,869
9.00% due 11/15/14 - 11/15/26 315,708 334,020 8,319,808 8,809,676 3,785,468 4,008,911
9.50% due 07/15/17 - 09/15/21 234,746 254,719 1,010,543 1,096,807 -- --
---------- ----------- -----------
4,132,247 26,853,371 10,145,693
OTHER 0.52% 1.21% 1.57%
Government Backed Trust,
9.625% due 05/15/02 38,046 40,764 228,278 244,586 95,116 101,911
Government Loan Trust,
7.75% due 04/01/98 22,983 23,270 143,122 144,909 55,368 56,060
8.50% due 04/01/06 310,000 338,520 1,810,000 1,976,520 720,000 786,240
</TABLE>
The accompanying notes are an integral pad of the financial statements.
97
<PAGE> 128
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------- ---------------------- ----------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
-------- ------- --------- ------- --------- -------
<S> <C> <C> <C> <C> <C> <C>
OTHER - CONTINUED
Government Trust Certificates,
9.25% due 11/15/01 $ 200,849 $ 214,985 $ 1,341,786 $ 1,436,221 $ 636,953 $ 681,782
9.40% due 05/15/02 316,265 339,166 1,996,422 2,140,982 879,611 943,304
Guaranteed Export Trust,
5.20% due 10/15/04 24,889 23,929 226,133 217,406 100,267 96,397
5.23% due 05/15/05 43,404 41,587 390,638 374,282 173,617 166,348
6.61% due 09/15/99 16,124 16,277 118,245 119,363 48,373 48,830
8.187% due 12/15/04 37,175 39,321 282,532 298,839 118,961 125,827
Guaranteed Trade Trust,
7.02% due 09/01/04 64,000 65,241 376,000 383,298 152,000 154,950
7.39% due 06/26/06 15,833 16,362 110,833 114,533 47,500 49,085
----------- ------------ -----------
1,159,422 7,450,939 3,210,734
TOTAL U.S. GOVERNMENT AGENCY AND
MORTGAGE-BACKED OBLIGATIONS
(Cost: $14,675,040, $101,707,221 and
$41,964,488, respectively) $15,250,324 $102,506,000 $42,228,275
----------- ------------ -----------
U.S. TREASURY OBLIGATIONS: 7.53% 14.02% 28.33%
U.S. TREASURY BILLS: 1.02% 1.04% 12.09%
zero coupon due 03/06/97*** 2,300,000 2,279,990 6,500,000 6,443,450 25,000,000 24,782,500
----------- ------------ -----------
U.S. TREASURY BONDS: 4.72% 9.31% 12.50%
8.125% due 08/15/19 530,000 613,061 4,780,000 5,529,122 2,240,000 2,591,053
8.875% due 02/15/19 3,514,000 4,362,315 21,430,000 26,603,416 8,376,000 10,398,050
9.00% due 11/15/18 810,000 1,016,420 5,610,000 7,039,652 2,500,000 3,137,100
11.625% due 11/15/04 1,490,000 1,967,262 1,040,000 1,373,122 890,000 1,175,076
11.75% due 02/15/10 -- -- -- -- 600,000 796,782
12.00% due 08/15/13 1,440,000 2,059,877 9,170,000 13,117,410 3,560,000 5,092,473
12.75% due 11/15/10 373,000 527,970 2,650,000 3,750,996 1,717,000 2,430,362
13.875% due 05/15/11 30,000 45,291 -- -- -- --
----------- ------------ -----------
10,592,196 57,413,718 25,620,896
U.S. TREASURY NOTES: 1.80% 3.67% 3.75%
6.25% due 02/15/03 50,000 49,938 360,000 359,550 160,000 159,800
6.375% due 09/30/01 20,000 20,119 120,000 120,713 50,000 50,297
6.875% due 03/31/00 97,000 99,182 510,000 521,475 175,000 178,937
7.00% due 07/15/06 135,000 140,253 1,062,000 1,103,322 459,000 476,860
7.75% due 12/31/99 1,317,000 1,377,503 14,924,000 15,609,609 2,673,000 2,795,798
7.875% due 08/15/01 600,000 639,564 4,600,000 4,903,324 1,500,000 1,598,910
8.00% due 08/15/99 40,000 41,900 -- -- 170,000 178,075
8.50% due 05/15/97 -- -- -- -- -- --
8.875% due 11/15/97 1,500,000 1,540,305 -- -- -- --
8.875% due 02/15/99 -- -- -- -- 130,000 137,536
9.25% due 08/15/98 120,000 126,244 -- -- 2,010,000 2,114,580
----------- ------------ -----------
4,035,008 22,617,993 7,690,793
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $16,786,813, $84,827,542 and
$57,590,639, respectively) $16,907,194 $ 86,475,161 $58,094,189
----------- ------------ -----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
98
<PAGE> 129
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
--------------------- ----------------------- -----------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
--------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
CORPORATE BONDS: 9.76% 15.75% 10.49%
AEROSPACE: 0.26% 0.22%
Aliiant Techsystems, Incorporated,
11.75% due 03/01/03 $300,000 $ 336,750 $ 760,000 $ 853,100 -- --
Rohr, Incorporated, 11.625% due 05/15/03 100,000 110,250 100,000 110,250 -- --
Tracor, Incorporated,
10.875% due 08/15/01 120,000 126,600 380,000 400,900 -- --
---------- ----------
573,600 1,364,250
AUTO PARTS: 0.03% 0.02%
Safelite Glass Corporation,
9.875% due 12/15/06 65,000 67,113 140,000 144,550 -- --
---------- ----------
BROADCASTING: 0.31% 0.24%
EchoStar Satellite Broadcasting Corporation
Step up to 13.125% due 03/15/04 580,000 437,900 1,580,000 1,192,900 -- --
Granite Broadcasting Corporation,
9.375% due 12/01/05 250,000 240,000 250,000 240,000 -- --
Gray Communications Systems,
Incorporated, 10.625% due 10/01/06 10,000 10,600 20,000 21,200 -- --
---------- ----------
688,500 1,454,100
BUSINESS SERVICES: 0.51% 1.06% 0.97%
Bell & Howell Holdings Company, Series B,
Step up to 11.50% due 03/01/05 430,000 311,750 1,420,000 1,029,500 -- --
Corndisco, Incorporated,
5.75% due 02/15/01 300,000 290,397 2,400,000 2,323,176 $1,000,000 $ 967,990
6.50% due 06/15/00 200,000 199,666 1,700,000 1,697,161 750,000 748,747
7.25% due 04/15/98 60,000 60,814 540,000 547,328 270,000 273,664
Protection One Alarm, Incorporated,
Step up to 13.625% due 06/30/05 300,000 282,000 1,000,000 940,000 -- --
---------- ---------- ----------
1,144,627 6,537,165 1,990,401
CHEMICAL PRODUCTS: 0.34% 0.41%
NL Industries, Incorporated,
11.75% due 10/15/03 -- -- 20,000 21,200 -- --
Revlon Consumer Products Corporation,
Series B, 10.50% due 02/15/03 260,000 273,000 880,000 924,000 -- --
Revlon Worldwide Corporation, Series B,
zero coupon due 03/15/98 570,000 490,200 1,760,000 1,513,600 -- --
Texas-Petro Chemical Corporation,
11.125% due 07/01/06 10,000 10,750 40,000 43,000 -- --
---------- ----------
773,950 2,501,800
CONSTRUCTION & BUILDING MATERIALS: 0.19% 0.18%
Building Material Corporation of America,
Series B, Step up to 11.75% due 07/01/04 330,000 285,450 830,000 717,950 -- --
Crown Packaging Holdings, Series B,
Step up to 12.25% due 11/01/03 490,000 137,200 1,510,000 422,800 -- --
---------- ----------
422,650 1,140,750
</TABLE>
The accompanying notes are an integral part of the financial statements.
99
<PAGE> 130
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ---------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------- ---------------------- ----------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
---------- -------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
ELECTRICAL EQUIPMENT: 0.22% 0.25%
Dictaphone Corporation,
11.75% due 08/01/05 $170,000 $156,400 $ 730,000 $ 671,600 -- --
S C International Services, Incorporated,
13.00% due 10/01/05 300,000 333,000 800,000 888,000 -- --
-------- ----------
489,400 1,559,600
ELECTRIC UTILITIES: 0.12% 0.30% 0.37%
Edison Mission Energy Funding
Corporation, 6.77% due 09/15/03 280,000 280,470 1,830,000 1,833,074 $ 760,000 $ 761,277
-------- ---------- ----------
ELECTRONICS: 0.25% 0.27%
Advanced Micro Devices, Incorporated
11.00% due 08/01/03 50,000 54,250 170,000 184,450 -- --
Exide Electronics Group, Incorporated,
Series B, 11.50% due 03/15/06 20,000 20,850 60,000 62,550 -- --
Unisys Corporation,
11.75% due 10/15/04 80,000 85,400 220,000 234,850 -- --
12.00% due 04/15/03, Series B 380,000 404,700 1,120,000 1,192,800 -- --
-------- ----------
565,200 1,674,650
ENERGY & UTILITIES: 0.41% 0.66% 0.53%
Allied Waste North America, Incorporated
10.25% due 12/01/06 330,000 346,500 970,000 1,018,500 -- --
Enron Corporation,
8.50% due 02/01/00 40,000 40,068 290,000 290,493 130,000 130,221
10.00% due 06/01/98 60,000 63,024 300,000 315,120 150,000 157,560
Forcenergy, Incorporated,
9.50% due 11/01/06 80,000 83,500 190,000 198,312 -- --
HS Resources, Incorporated
9.25% due 11/15/06 20,000 20,450 50,000 51,125 -- --
HNG Internorth, Incorporated,
9.625% due 03/15/06 70,000 82,174 590,000 692,613 260,000 305,219
KCS Energy, Incorporated, Series B,
11.00% due 01/15/03 130,000 140,725 370,000 400,525 -- --
Occidental Petroleum Corporation,
5.85% due 11/09/98 50,000 49,597 300,000 297,579 130,000 128,951
5.93% due 11/09/98 60,000 59,598 470,000 466,851 210,000 208,593
Southwest Gas Corporation,
9.75% due 06/15/02 40,000 45,114 290,000 327,074 130,000 146,619
-------- ---------- ----------
930,750 4,058,192 1,077,163
FINANCE & BANKING: 1.96% 4.74% 5.47%
American Telephone and Telephone
Capital Corporation,
6.02% due 12/04/98 120,000 119,528 810,000 806,817 340,000 338,664
6.16% due 12/03/99 450,000 444,108 2,940,000 2,901,507 1,220,000 1,204,027
Banponce Corporation,
5.75% due 03/01/99 60,000 59,086 490,000 482,532 210,000 206,800
6.378% due 4/08/99 80,000 80,070 590,000 590,517 250,000 250,219
BanPonce Financial Corporation,
6.34% due 03/29/99 50,000 50,011 350,000 350,075 150,000 150,032
</TABLE>
The accompanying notes are an integral part of the financial statements.
100
<PAGE> 131
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
--------------------- ------------------------- ------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
--------- --------- ---------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
FINANCE & BANKING - CONTINUED
Beal Financial Corporation,
12.75% due 08/15/00 $120,000 $ 127,200 $ 380,000 $ 402,800 -- --
Chevy Chase Savings Bank FSB,
9.25% due 12/01/08 110,000 112,200 310,000 316,200 -- --
Citicorp Bank Corporation,
8.80% due 02/01/00 80,000 80,156 580,000 581,131 $ 240,000 $ 240,468
The CIT Group Holdings, Incorporated,
6.25% due 10/04/99 700,000 699,342 4,450,000 4,445,817 1,850,000 1,848,261
Federal Agricultural Mortgage Corporation,
7.04% due 08/10/05 100,000 102,078 800,000 816,624 300,000 306,234
First Fidelity Bancorporation,
9.625% due 08/15/99 30,000 32,294 160,000 172,237 70,000 75,354
First Nationwide Escrow Corporation,
10.625% due 10/01/03 190,000 205,200 550,000 594,000 -- --
First Nationwide Parent Holdings,
12.50% due 04/15/03 250,000 275,000 750,000 825,000 -- --
First Tennessee National Corporation,
6.75% due 11/15/05 40,000 38,826 350,000 339,727 150,000 145,597
First USA Bank, 5.75% due 01/15/99 180,000 177,588 1,240,000 1,223,384 660,000 651,156
Firstar Corporation, 7.15% due 09/01/00 100,000 100,936 820,000 827,675 360,000 363,370
Fleet Financial Group, Incorporated,
7.625% due 12/01/99 20,000 20,641 150,000 154,808 60,000 61,923
General Motors Acceptance Corporation,
8.375% due 01/19/99 230,000 239,280 1,730,000 1,799,805 1,000,000 1,040,350
Kansallis-Osake-Pankki,
10.00% due 05/01/02 40,000 45,396 360,000 408,564 150,000 170,235
MCN Investment Corporation,
5.84% due 02/01/99 100,000 99,134 800,000 793,072 340,000 337,056
Manufacturers Hanover Corporation,
8.50% due 02/15/99 320,000 333,815 2,220,000 2,315,837 210,000 219,066
Mesa Operating Company,
10.625% due 07/01/06 10,000 10,850 40,000 43,400 -- --
Step up to 11.625% due 07/01/06 70,000 48,300 220,000 151,800 -- --
Private Export Funding Corporation,
Series PP, 6.90% due 01/31/03 20,000 20,375 120,000 122,249 50,000 50,937
Provident Bank, 6.125% due 12/15/00 150,000 146,857 1,190,000 1,165,067 520,000 509,105
Secured Finance, 9.05% due 12/15/04 180,000 202,876 2,500,000 2,817,725 1,300,000 1,465,217
Shawmut National Corporation,
8.625% due 12/15/99 110,000 115,878 840,000 884,890 360,000 379,238
Union Planters Corporation,
6.75% due 11/01/05 100,000 96,946 850,000 824,041 350,000 339,311
Union Planters National Bank,
6.29% due 08/20/98 320,000 320,400 2,080,000 2,082,600 870,000 871,087
---------- ----------- -----------
4,404,371 29,239,901 11,223,707
FOOD PRODUCTS: 0.19% 0.33% 0.26%
Nabisco Brands, Incorporated,
8.00% due 01/15/00 90,000 93,486 600,000 623,238 250,000 259,683
R JR Nabisco, Incorporated,
6.25% due 01/31/97 110,000 109,991 680,000 679,946 270,000 269,978
Specialty Foods Corporation, Series B,
11.125% due 10/01/02 240,000 228,000 760,000 722,000 -- --
---------- ----------- -----------
431,477 2,025,184 529,661
</TABLE>
The accompanying notes are an integral part of the financial statements.
l01
<PAGE> 132
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------ -------------------- -------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
--------- ------- ---------- ------- --------- -------
<S> <C> <C> <C> <C> <C> <C>
HOTELS & RESTAURANTS: 0.22% 0.45% 0.39%
Darden Restaurants, Incorporated,
6.375% due 02/01/06 $ 80,000 $ 74,188 $ 690,000 $ 639,872 $300,000 $278,205
7.125% due 02/01/16 170,000 153,444 1,320,000 1,191,445 570,000 514,488
Foodmaker, Incorporated,
9.75% due 06/01/02 250,000 255,000 920,000 938,400 -- --
-------- ---------- --------
482,632 2,769,717 792,693
INDUSTRIALS: 1.79% 1.99%
American Skiing Company,
12.00% due 07/15/06 380,000 401,850 1,120,000 1,184,400 -- --
13.75% due 01/15/07 130,000 79,625 370,000 226,625 -- --
AMF Group, Incorporated, Series B,
10.875% due 03/15/06 250,000 265,000 750,000 795,000 -- --
Astor Corporation, 10.50% due 10/15/06 80,000 81,800 230,000 235,175 -- --
Atlantis Group, Incorporated,
11.00% due 02/15/03 50,000 50,750 130,000 131,950 -- --
Brooks Fiber Properties, Incorporated, -- --
Step up to 10.875% due 03/01/06 220,000 140,800 520,000 332,800 -- --
11.875% due 11/01/06 30,000 20,100 90,000 60,300 -- --
Container Corporation of America,
9.75% due 04/01/03 90,000 94,500 200,000 210,000 -- --
10.75% due 05/01/02 -- -- 20,000 21,600 -- --
11.25% due 05/01/04 -- -- 120,000 130,200 -- --
Delco Remy International, Incorporated,
10.625% due 08/01/06 30,000 31,575 80,000 84,200 -- --
Freedom Chemical Company,
10.625% due 10/15/06 260,000 273,000 790,000 829,500 -- --
Horseshoe Gaming L.L.C.,
12.75% due 09/03/00 20,000 21,700 40,000 43,400 -- --
Host Marriott Travel Plazas, Incorporated, -- --
Series B, 9.50% due 05/15/05 250,000 260,938 750,000 782,813 -- --
Imed, Incorporated, 9.75% due 12/01/06 260,000 264,550 740,000 752,950 -- --
Interlake Corporation, -- --
12.125% due 03/01/02 250,000 258,750 750,000 776,250 -- --
International Knife & Saw, Incorporated, -- --
11.375% due 11/15/06 30,000 31,050 70,000 72,450 -- --
Knoll, Incorporated, 10.875% due 03/15/06 250,000 276,250 750,000 828,750 -- --
Motors and Gears, Incorporated,
10.75% due 11/15/06 260,000 269,100 740,000 765,900 -- --
NWCG Holdings Corporation, Series B,
zero coupon due 06/15/99 100,000 82,500 220,000 181,500 -- --
Outsourcing Solutions, Incorporated, -- --
11.00% due 11/01/06 10,000 10,475 30,000 31,425 -- --
Owens-Illinois, Incorporated, -- --
11.00% due 12/01/03 260,000 289,250 740,000 823,250 -- --
Pioneer Americans Acquisition
Corporation, 13.375% due 04/01/05 200,000 228,000 600,000 684,000 -- --
Plastic Specialty & Technologies,
Incorporated, 11.25% due 12/01/03 60,000 62,400 440,000 457,600 -- --
Prime Succession Acquistion Company,
10.75% due 08/15/04 10,000 10,850 30,000 32,550 -- --
</TABLE>
The accompanying notes are an integral part of the financial statements.
102
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<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------ ------------------------ --------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
--------- ------- ---------- --------- --------- -------
<S> <C> <C> <C> <C> <C> <C>
INDUSTRIALS - CONTINUED
Quest Diagnostics, Incorporated,
10.75% due 12/15/06 -- -- $ 40,000 $ 42,000 -- --
Repap New Brunswick, Incorporated,
9.875% due 07/15/00 $140,000 $ 142,800 410,000 418,200 -- --
10.625% due 04/15/05 160,000 166,400 500,000 520,000 -- --
Repap Wisconsin, Incorporated,
9.25% due 02/01/02 130,000 130,975 370,000 372,775 -- --
9.875% due 05/01/06 70,000 71,400 180,000 183,600 -- --
S D Warren Company,
12.00% due 12/15/04 -- -- 250,000 270,000 -- --
---------- -----------
4,016,388 12,281,163
INSURANCE: 0.29% 0.95% 1.25%
Metropolitan Life Insurance Company,
6.30% due 11/03/03 320,000 309,203 2,660,000 2,570,252 $1,025,000 $ 990,416
Nationwide Life Insurance Company,
6.50% due 02/15/04 350,000 339,640 3,410,000 3,309,064 1,630,000 1,581,752
---------- ----------- ----------
648,843 5,879,316 2,572,168
MEDIA & LEISURE: 0.47% 0.52%
Alliance Gaming Group,
12.875% due 06/30/03 130,000 137,800 380,000 402,800 -- --
Grand Casino, Incorporated,
10.125% due 12/01/03 180,000 180,900 550,000 552,750 -- --
HMH Properties, Incorporated, Series B,
9.50% due 05/15/05 360,000 374,400 1,140,000 1,185,600 -- --
Six Flags Theme Parks, Incorporated,
zero coupon due 06/15/05 380,000 357,200 1,120,000 1,052,800 -- --
---------- -----------
1,050,300 3,193,950
METAL PRODUCTS: 0.15% 0.17%
Kaiser Aluminum & Chemical Corporation,
12.75% due 03/02/01 250,000 268,750 750,000 806,250 -- --
Wyman Gordon Company,
10.75% due 03/15/03 70,000 74,550 200,000 213,000
---------- -----------
343,300 1,019,250
MISCELLANEOUS: 0.22% 0.22%
HMC Acquisition Properties, Incorporated,
Series B, 9.00% due 12/15/07 480,000 487,200 1,340,000 1,360,100
---------- -----------
NON-BANK FINANCE: 0.02% 0.21% 0.27%
Ford Capital BV, 9.00% due 08/15/98 -- -- 920,000 959,772 400,000 417,292
Ford Capital BV, 9.375% due 01/01/98 40,000 41,316 300,000 309,873 130,000 134,278
---------- ----------- ----------
41,316 1,269,645 551,570
PRINTING, PUBLISHING: 0.40% 0.64% 0.42%
Hollinger International,
9.25% due 02/01/06 230,000 227,700 620,000 613,800 -- --
Sullivan Graphics, Incorporated,
12.75% due 08/01/05 440,000 424,600 1,340,000 1,293,100 -- --
Time Warner, Incorporated,
7.75% due 06/15/05 250,000 251,482 2,000,000 2,011,860 850,000 855,040
---------- ----------- ----------
903,782 3,918,760 855,040
</TABLE>
The accompanying notes are an integral part of thefinancial statements.
103
<PAGE> 134
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
--------------------- --------------------- ---------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
--------- ------- ----------- ------- --------- -------
<S> <C> <C> <C> <C> <C> <C>
TELECOMMUNICATION SERVICES: 0.17% 0.23%
Hyperion Telecommunications, Incorporated,
Series B, Step up to 13.00% due 04/15/03 $220,000 $123,750 $1,130,000 $ 635,625 --- ---
IntelCom Group USA, Incorporated,
Step up to 12.50% due 05/01/06 120,000 77,700 380,000 246,050 --- ---
MFS Communications, Incorporation,
Step up to 8.875% due 01/15/06 250,000 181,875 750,000 545,625 --- ---
-------- ----------
383,325 1,427,300
TELEPHONE: 0.40% 0.64% 0.17%
360 Communications, 7.125% due 03/01/03 100,000 98,791 830,000 819,965 $360,000 $355,648
Arch Communications Group, Incorporated,
zero coupon due 03/15/08 510,000 290,700 1,490,000 849,300 --- ---
Jacor Communications Company,
9.75% due 12/15/06 10,000 10,200 40,000 40,800 --- ---
Microcell Telecommunications, Series B,
14.00% due 06/01/06 320,000 178,400 940,000 524,050 --- ---
Omnipoint Corporation,
11.625% due 08/15/06 270,000 280,800 730,000 759,200 --- ---
USA Mobil Communication, Incorporated,
9.50% due 02/01/04 30,000 28,500 1,020,000 969,000 --- ---
-------- ---------- --------
887,391 3,962,315 355,648
TELEVISION SERVICES: 0.14% 0.15%
Echostar Communications Corporation,
Step up to 12.875% due 06/01/04 270,000 223,425 830,000 686,825 --- ---
People's Choice TV Corporation,
Step up to 13.125% due 06/01/04 80,000 33,600 220,000 92,400 --- ---
Telemundo Group, Incorporated,
7.00% due 02/15/06 70,000 67,550 170,000 164,050 --- ---
-------- ----------
324,575 943,275
TEXTILE MILL PRODUCTS: 0.00% 0.01%
Pillowtex Corporation,
10.00% due 11/15/06 10,000 10,300 30,000 30,900 --- ---
-------- ----------
10,300 30,900
TOBACCO: 0.04% 0.10% 0.12%
Philip Morris Companies, Incorporated,
7.125% due 12/01/99 90,000 91,283 600,000 608,556 250,000 253,565
-------- ---------- --------
TRANSPORTATION: 0.41% 0.53% 0.27%
Burlington Northern Santa Fe,
7.29% due 06/01/36 180,000 185,719 1,270,000 1,310,348 530,000 546,838
Transtar Holdings L.P., Series B
Step up to 13.375% due 12/15/03 400,000 320,000 1,100,000 880,000 --- ---
U.S. Air, Incorporated,
9.625% due 02/01/01 190,000 192,375 490,000 496,125 --- ---
10.00% due 07/01/03 210,000 212,625 555,000 561,936 --- ---
-------- ---------- --------
910,719 3,248,409 546,838
</TABLE>
The accompanying notes are an integral part of the financial statements.
104
<PAGE> 135
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ----------------------- -------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
--------- ---------- ----------- --------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C>
TRANSPORTATION EQUIPMENT: 0.25% 0.28%
Aftermarket Technology Corporation,
Series B, 12.00% due 08/01/04 $ 240,000 $ 266,400 $ 800,000 $ 888,000 -- --
Blue Bird Body Company,
10.75% due 11/15/06 20,000 20,900 40,000 41,800 -- --
Newport News Shipbuilding, Incorporated,
9.25% due 12/01/06 260,000 266,500 770,000 789,250 -- --
------- -----------
553,800 1,719,050 -- --
TOTAL CORPORATE BONDS
(Cost: $21,451,058, $94,620,234
and $21,632,767, respectively) $21,907,262 $97,164,922 $21,509,731
----------- ----------- -----------
CONVERTIBLE BONDS: 0.00% 0.00%
GST Telecommunications, Incorporated,
Step up to 13.875% due 12/15/05 10,000 7,900 10,000 7,900 -- --
----- -----
7,900 7,900
TOTAL CONVERTIBLE BONDS
(Cost: $9,890, $9,890
and $0, respectively) -- $ 7,900 -- $ 7,900
----------- -----------
FIXED INCOME - OTHER: 1.66% 3.31% 4.54%
MISCELLANEOUS ASSET BACKED SECURITIES: 0.73% 1.21% 1.94%
CPS Auto Grantor Trust, Series 1996 2,
Class A, 6.70% due 02/15/02 82,004 82,516 530,612 533,929 $ 217,069 218,425
Discover Card Master Trust, Series
1993 2, Class A, 5.40% due 11/16/01 1,000,000 988,750 -- -- -- --
Discover Card Trust, 1992 B,
7.50% due 06/16/00 150,000 152,390 1,330,000 1,351,187 580,000 589,239
Ford Credit Auto Loan Master Trust,
Series 1992 2, 7.375% due 04/15/99 -- -- 650,000 652,639 775,000 778,147
Ford Credit Grantor Trust, 1995 B
Certificates, Class A, 5.90% due 10/15/00 -- -- 1,726,313 1,725,225 753,300 752,826
Premier Auto Trust, Series 933, Class A3,
4.90% due 12/15/98 99,057 98,530 626,387 623,055 250,556 249,223
Railcar Trust, 7.75% due 06/01/04 159,522 166,177 1,547,363 1,611,919 835,895 870,769
Standard Credit Card Master Trust,
5.50% due 09/07/98 140,000 139,430 990,000 985,971 525,000 522,863
----------- --------- ----------
1,627,793 7,483,925 3,981,492
OTHER COLLATERALIZED MORTGAGE OBLIGATIONS: 0.93% 2.10% 2.60%
Airplane Pass Thru Trust,
10.875% due 03/15/19 135,000 150,525 385,000 429,275 -- --
American Housing Trust, Series IV,
9.552% due 09/25/20 700,000 720,125 4,300,000 4,423,625 1,740,000 1,790,025
CBM Funding Corporation,
6.88% due 06/01/02 60,000 60,094 480,000 480,750 210,000 210,328
7.55% due 07/01/99 15,480 15,678 108,360 109,749 46,440 47,035
Green Tree Securitized Net,
Series 1994 Certificates, Series A,
6.90% due 02/15/04 350,000 351,967 -- -- -- --
</TABLE>
The accompanying notes are an integral part of the financial statements.
105
<PAGE> 136
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ----------------------- -------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
--------- ---------- ----------- --------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C>
OTHER COLLATERALIZED MORTGAGE
OBLIGATIONS - CONTINUED
Green Tree Financial Corporation,
6.55% due 10/15/27 -- -- $2,200,000 $ 2,212,364 $ 950,000 $ 955,339
Lennar Partners, L.P., Series 1994 1,
Class C, 8.12% due 09/15/02 $197,000 $ 197,534 1,100,000 1,102,980 450,000 451,219
Meritor Mortgage Securities Corporation,
9.40% due 06/01/99 30,043 30,005 190,271 190,033 70,100 70,012
NationsLink Funding Corporation,
7.53% due 09/20/02 243,205 250,958 1,459,232 1,505,745 632,334 652,490
Nomura Asset Securities Corporation,
Series 1994, 6.702% due 07/07/03 156,067 155,282 1,092,469 1,086,974 546,235 543,487
Overseas Private Investment Corporation,
Series 1995, 6.08% due 08/15/04 100,000 98,181 830,000 814,902 360,000 353,452
Structured Asset Securities Corporation,
Series 96 CFL, Class A lB,
5.751% due 02/25/28 -- -- 153,619 153,043 64,062 63,822
Series 95 C4, Class A 1A,
6.90% due 06/25/26 64,814 64,895 447,215 447,774 194,441 194,684
---------- ----------- ----------
2,095,244 12,957,214 5,331,893
TOTAL FIXED INCOME - OTHER
(Cost: $3,663,169, $20,412,726
and $9,356,340, respectively) $3,723,037 $20,441,139 $9,313,385
---------- ----------- ----------
FOREIGN BOND OBLIGATIONS: 0.56% 1.41% 1.77%
FOREIGN CORPORATE BONDS: 0.07% 0.20% 0.26%
British Columbia Hydro & Power,
12.50% due 01/15/14 60,000 69,299 460,000 531,295 200,000 230,998
Korea Development Bank,
9.29% due 03/13/98 50,000 51,896 430,000 446,306 190,000 197,205
Petroliam Nasional BHD,
6.875% due 07/01/03 30,000 30,043 250,000 250,358 110,000 110,157
---------- ----------- ----------
151,238 1,227,959 538,360
FOREIGN GOVERNMENT BONDS: 0.49% 1.22% 1.51%
Israel Export Trust, Series 1994-1
GTD Certificates, 6.88% due 01/26/03 53,529 54,198 428,235 433,584 183,529 185,822
Israel State, U.S. Government GTD Notes,
Class 1D, 6.125% due 03/15/03 100,000 97,952 600,000 587,712 250,000 244,880
Class 6B, 6.25% due 08/15/02 240,000 237,977 1,850,000 1,834,405 790,000 783,340
Class 4A, 7.125% due 08/15/99 100,000 101,796 820,000 834,727 355,000 361,375
Class 5B, 8.00% due 11/15/01 580,000 618,419 3,570,000 3,806,477 1,420,000 1,514,061
---------- ----------- ----------
1,110,342 7,496,905 3,089,478
TOTAL FOREIGN BOND OBLIGATIONS
(Cost: $1,590,855, $9,971,731 and
$3,590,133, respectively) $1,261,580 $ 8,724,864 $3,627,838
---------- ----------- ----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
106
<PAGE> 137
<TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------------------------------------
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------ -------------------- -------------------
Value Value Value
------- ------- -------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS: *** 4.28% 3.02% 7.36%
Repurchase Agreement with State Street
Bank & Trust Company dated 12/31/96 at
4.75%, to be repurchased at $9,599,533
on 01/02/97, collateralized by $6,585,000
U.S. Treasury Bonds, 12.00% due 8/15/13
(valued at $10,092,861, including interest) $ 9,597,000
Repurchase Agreement with State Street
Bank & Trust Company dated 12/31/96 at
4.75%, to be repurchased at $18,622,913
on 01/02/97, collateralized by $18,785,000
U.S. Treasury Notes, 5.125% due 02/28/98
(valued at $19,375,572, including interest) $ 18,618,000
------------
Repurchase Agreement with State Street
Bank & Trust Company dated 12/31/96 at
4.75%, to be repurchased at $15,083,979
on 01/02/97, collateralized by $15,215,000
U.S. Treasury Notes, 5.125% due 02/28/98
(valued at $15,644,788, including interest) $ 15,080,000
------------
TOTAL INVESTMENTS
(Aggressive, Moderate and Conservative
Asset Allocation Trusts) (Cost:
$194,593,200, $558,745,839
and $193,657,700, respectively) $224,446,829 $616,957,095 $205,027,420
============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
107
<PAGE> 138
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
STRATEGIC BOND TRUST Principal Principal
Amount Value Amount Value
---------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C>
CORPORATE BONDS - 38.31% FINANCE & BANKING - 5.60%
APPAREL & TEXTILES - 0.50% Central Transport Rental Finance
Clark-Schwebel, Incorporated, Corporation, 9.50% due 04/30/03 $1,000,000 $ 950,000
10.50% due 04/15/06 $1,150,000 $1,224,750 Dollar Financial Group, Incorporated,
---------- 10.875% due 11/15/06 1,000,000 1,026,250
Foamex Capital Corporation,
AUTO PARTS -0.85% 11.875% due 10/01/04 1,500,000 1,597,500
Safelite Glass Corporation, Korea Development Bank,
9.875% due 12/15/06 1,000,000 1,032,500 9.60% due 12/01/00 3,000,000 3,303,330
Speedy Muffler King, Incorporated, Mellon Financial Company,
10.875% due 10/01/06 1,000,000 1,066,250 9.75% due 06/15/01 1,207,000 1,341,798
---------- Mesa Operating Company,
2,098,750 10.625% due 07/01/06 1,000,000 1,085,000
BROADCASTING - 1.05% PaineWebber Group, Incorporated,
Cablevision Systems Corporation, 7.00% due 03/01/00 1,700,000 1,711,679
10.50% due 05/15/16 1,000,000 1,032,500 Trump Atlantic City,
Chancellor Broadcasting Company, 11.25% due 05/01/06 500,000 495,000
9.375% due 10/01/04 500,000 505,000 United States Leasing International,
SFX Broadcasting, Incorporated, 8.45% due 01/25/05 1,500,000 1,622,070
10.75% due 05/15/06 1,000,000 1,055,000 Venture Holdings Trust,
---------- 9.75% due 04/01/04 781,000 710,710
2,592,500 -----------
BUSINESS SERVICES - 0.40% 13,843,337
Borg-Warner Security Corporation,
9.125% due 05/01/03 1,000,000 980,000 FOOD & BEVERAGES - 1.32%
---------- Dole Foods, Incorporated,
CHEMICAL PRODUCTS - 1.04% 6.75% due 07/15/00 1,500,000 1,497,720
NL Industries, Incorporated, Specialty Foods Corporation,
Step up to 13.00% due 10/15/05 1,500,000 1,290,000 11.125% due 10/01/02 750,000 712,500
Revlon Worldwide Corporation, Stroh Brewery Company,
Series B, zero coupon due 03/15/98 1,500,000 1,290,000 11.10% due 07/01/06 1,000,000 1,047,500
---------- -----------
2,580,000 3,257,720
CONSTRUCTIONS & BUILDING MATERIALS - 0.53% FOOD STORES - 1.50%
Southdown, Incorporated, Big V Supermarkets, Incorporated,
10.00% due 03/01/06 1,250,000 1,318,750 11.00% due 02/15/04 1,000,000 915,000
---------- Carr Gottstein Foods Company,
CRUDE PETROLEUM & NATURAL GAS - 0.85% 12.00% due 11/15/05 1,000,000 1,067,500
Costilla Energy, Incorporated, Penn Traffic Company,
10.25% due 10/01/06 1,000,000 1,045,000 9.625% due 04/15/05 1,100,000 616,000
National Energy Group, Incorporated, Smith's Food & Drug Centers,
10.75% due 11/01/06 1,000,000 1,055,000 Incorporated, 11.25% due 05/11/07 1,000,000 1,105,000
---------- -----------
2,100,000 3,703,500
DRUGS & HEALTH CARE - 0.76% FOREST PRODUCTS - 0.38%
Dade International, Incorporated, Doman Industries, Ltd.,
11.125% due 05/01/06 1,000,000 1,085,000 8.75% due 03/15/04 1,000,000 935,000
Maxxim Medical, Incorporated, -----------
10.50% due 08/01/06 750,000 783,750 FURNITURE & FIXTURES - 0.21%
---------- Simmons Company,
1,868,750 10.75% due 04/15/06 500,000 520,000
ENERGY & UTILITIES - 1.48% -----------
AES China Generating, Ltd.,
10.125% due 12/15/06 1,000,000 1,040,000 HOUSEHOLD APPLIANCES FURNISHING - 0.83%
KCS Energy, Incorporated, Series B, Decorative Home Accents,
11.00% due 03/15/03 1,000,000 1,082,500 Incorporated, 13.00% due 06/30/02 1,500,000 975,000
Petro PSC Properties, Selmer, Incorporated,
12.50% due 06/01/02 1,500,000 1,548,750 11.00% due 05/15/05 1,000,000 1,080,000
---------- -----------
3,671,250 2,055,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
108
<PAGE> 139
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Principal Principal
Amount Value Amount Value
---------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C>
INDUSTRIALS - 11.06% LEATHER PRODUCTS - 0.33%
Arkla, Incorporated, Samsonite Corporation,
8.875% due 07/15/99 $2,000,000 $ 2,100,880 11.125% due 07/15/05 $ 750,000 $ 821,250
Alvey Systems, Incorporated, ----------
11.375% due 01/31/03 1,000,000 1,042,500 LEISURE TIME - 1.28%
AmeriCold Corporation, HMH Properties, Incorporated,
12.875% due 05/01/08 1,000,000 1,035,000 9.50% due 05/15/05 1,000,000 1,040,000
Ameriking, Incorporated, Hollywood Casino, Incorporated,
10.75% due 12/01/06 500,000 517,500 12.75% due 11/01/03 375,000 360,000
Berry Plastics Corporation, Majestic Star Casino LLC,
12.25% due 04/15/04 1,150,000 1,265,000 12.75% due 05/15/03 400,000 429,000
CSK Auto, Incorporated, Wyndham Hotel Corporation,
11.00% due 11/01/06 1,000,000 1,050,000 10.50% due 05/15/06 1,250,000 1,331,250
CS Wireless Systems, Incorporated, ----------
Step up to 11.375% due 06/03/01 760,000 277,400 3,160,250
Ekco Group, Incorporated, Series B, MISCELLANEOUS SERVICES - 1.49%
9.25% due 04/01/06 1,000,000 980,000 American Media Operations, Incorporated
E & S Holdings Corporation, 11.625% due 11/15/04 1,150,000 1,236,250
10.375% due 10/01/06 1,000,000 1,047,500 Doane Products Company,
Exide Electronics Group, 10.625% due 03/01/06 1,000,000 1,065,000
Incorporate, 11.50% due 03/01/06 1,000,000 1,060,000 Hines Horticulture, Incorporated,
Four M Corporation, 11.75% due 10/05/05 1,290,000 1,373,850
12.00% due 06/01/06 900,000 936,000 ----------
Guitar Center Management Company, 3,675,100
Incorporated, 11.00% due 07/01/06 1,000,000 1,055,000 REAL ESTATE - 0.52%
Hollinger, Incorporated, Radnor Holdings Corporation,
zero coupon, due 10/05/13 3,000,000 1,065,000 10.00% due 12/01/03 1,250,000 1,275,000
ICG Holdings, Incorporated, ----------
Step up to 13.50% due 09/15/05 1,250,000 881,250 RETAIL TRADE - 2.03%
International Semi Tech Microelectronic, Crown Paper Company,
Step up to 11.50% due 08/15/03 1,550,000 953,250 11.00% due 09/01/05 1,300,000 1,222,000
Jordan Industries, Incorporated, Eye Care Centers of America,
10.375% due 08/01/03 306,000 301,410 Incorporated, 12.00% due 10/01/03 1,250,000 1,362,847
Step up to 11.75% due 08/01/05 1,500,000 1,192,500 Finlay Fine Jewerly Corporation,
Marcus Cable Company, 10.625% due 05/01/03 1,000,000 1,005,000
14.25% due 12/15/05 1,750,000 1,235,938 Herff Jones, Incorporated,
Norcal Waste Systems, 11.00% due 08/15/05 500,000 535,000
Incorporated, 12.50% due 11/15/05 1,250,000 1,387,500 Hills Stores Company,
Printpack, Incorporated, 12.50% due 07/01/03 1,000,000 887,500
10.625% due 08/15/06 750,000 780,000 ----------
Rayovac Corporation 5,012,347
10.25% due 11/01/06 1,000,000 1,030,000 RUBBER & PLASTIC - 0.35%
Renco Metals, Incorporated, Remington Products Company,
12.00% due 07/15/00 1,000,000 1,045,000 11.00% due 05/15/06 1,000,000 855,000
SC International Services, Incorporated, ----------
13.00% due 10/01/05 1,000,000 1,120,000 STEEL - 0.44%
Specialty Equipment Companies, Algoma Steel, Incorporated,
Incorporated, 11.375% due 12/01/03 750,000 819,375 12.375% due 07/15/05 1,000,000 1,080,000
Talley Manufacturing & Technology, ----------
Incorporated, 10.75% due 10/15/03 1,000,000 1,032,500 TELECOMMUNICATION SERVICES - 2.05%
Terex Corporation, Adelphia Communications
13.75% due 05/15/02 1,000,000 1,077,500 Corporation, 12.50% due 05/15/02 1,000,000 1,025,000
Twin Laboratories, Incorporated, International Cabletel Incorporated,
10.25% due 05/15/06 1,000,000 1,030,000 11.50% due 02/01/06 1,450,000 986,000
----------- Peoples Choice TV Corporation,
27,318,003 Step up to 13.125% due 06/01/04 1,000,000 420,000
Telewest Communication PLC,
Step up to 11.00% due 10/01/07 1,500,000 1,046,250
</TABLE>
The accompanying notes are an integral part of the financial statements.
109
<PAGE> 140
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Principal Principal
Amount Value Amount Value
----------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C>
TELECOMMUNICATION SERVICES - CONTINUED FEDERAL HOME LOAN MORTGAGE CORPORATION - 2.27%
United International Holdings, 6.50% due 09/01/26 TBA** $ 500,000 $ 477,965
Incorporated, zero coupon 7.595% due 07/15/06 IO 2,118,744 305,099
due 11/15/99 $ 2,250,000 $ 1,597,500 8.00% due 05/01/10 1,396,456 1,433,238
----------- 8.50% due 05/01/08 624,587 651,675
5,074,750 10.00% due 05/15/20 2,559,048 2,745,373
TELEPHONE - 1.03% -----------
Nextlink Communications LLC 5,613,350
12.50% due 04/15/06 1,000,000 1,065,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION - 3.94%
Winstar Communications, 6.50% due 11/01/10 - 03/01/26 3,872,019 3,741,696
Incorporated, 14.00% due 10/15/05 1,250,000 762,500 7.00% due 09/01/26 TBA** 4,500,000 4,400,145
Wireless One, Incorporated, 10.40% due 04/25/19 1,096,158 1,182,481
13.00% due 10/15/03 750,000 727,500 13.00% due 01/01/99 342,275 404,206
----------- -----------
2,555,000 9,728,528
TRANSPORTATION SERVICES - 0.43% GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.20%
Iron Mountain, Incorporated, 7.00% due 01/01/27 TBA** 500,000 489,060
10.125% due 10/01/06 1,000,000 1,060,000 -----------
-----------
STUDENT LOAN MARKETING ASSOCIATION - 0.50%
TOTAL CORPORATE BONDS 7.20% due 11/09/00 1,200,000 1,236,564
(Cost: $92,750,663) $94,636,007 -----------
-----------
TOTAL U.S. GOVERNMENT AGENCY
CONVERTIBLE BONDS - 0.31% OBLIGATIONS (Cost: $18,811,400) $18,749,045
Fresenius Medical Care Capital -----------
Trust, 9.00% due 12/01/06 750,000 763,125
-----------
FOREIGN BOND - 2.53%
TOTAL CONVERTIBLE BONDS Russia Ian, 1.00% due 12/31/16 9,000,000 6,255,000
(Cost: $766,875) $ 763,125 -----------
-----------
TOTAL FOREIGN BOND
U.S. TREASURY OBLIGATIONS - 18.93% (Cost: $5,631,250) $ 6,255,000
U.S. TREASURY BONDS - 0.79% -----------
6.75% due 08/15/26 1,080,000 1,088,100 FOREIGN GOVERNMENT OBLIGATIONS - 19.46%
6.875% due 08/15/25 850,000 866,736 REPUBLIC OF ARGENTINA - 3.04%
----------- 6.625% due 03/31/05 8,624,000 7,502,880
1,954,836 -----------
U.S. TREASURY NOTES - 18.14%
5.00% due 01/31/98 400,000 397,188 COMMONWEALTH OF AUSTRALIA - 0.10%
5.625% due 02/28/01 14,760,000 14,467,162 6.75% due 11/15/06 AUD 320,000 243,567
5.75% due 12/31/98 6,000,000 5,985,960 -----------
5.875% due 11/15/05 1,000,000 964,220 FEDERAL REPUBLIC OF BRAZIL - 2.89%
6.125% due 12/31/01 4,000,000 3,985,000 5.00% due 04/15/24 $2,500,000 1,571,875
6.50% due 08/31/01 3,000,000 3,032,820 6.00% due 09/15/13 1,250,000 907,813
6.50% due 10/15/06 4,700,000 4,725,709 6.50% due 04/15/24 3,200,000 2,464,000
6.25% due 04/30/01 2,500,000 2,505,475 6.687% due 01/01/01 2,275,000 2,203,906
6.875% due 05/15/06 5,380,000 5,543,929 -----------
7.50% due 02/15/05 3,000,000 3,208,590 7,147,594
----------- GOVERNMENT OF CANADA - 3.28%
44,816,053 6.50% due 08/01/99 CAD 5,810,000 4,434,104
TOTAL U.S. TREASURY OBLIGATIONS 7.00% due 09/01/01 2,110,000 1,636,469
(Cost: $46,768,778) $46,770,889 7.50% due 09/01/00 2,590,000 2,037,441
----------- -----------
8,108,014
U.S. GOVERNMENT AGENCY OBLIGATIONS - 7.59% GOVERNMENT OF COSTA RICA - 0.22%
FEDERAL HOME LOAN BANK - 0.68% Series B, 6.25% due 05/21/15 $ 700,000 539,000
5.89% due 07/24/00 1,200,000 1,186,308 -----------
5.94% due 06/13/00 500,000 495,235 KINGDOM OF DENMARK - 0.57%
----------- 8.00% due 11/15/01 DKK 7,470,000 1,407,568
1,681,543 -----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
110
<PAGE> 141
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------
<CAPTION>
Principal
Amount Value
---------- -----------
<S> <C> <C>
REPUBLIC OF ECUADOR - 0.41%
3.00% due 02/27/15 $1,638,953 $ 1,005,907
-----------
FEDERAL REPUBLIC OF GERMANY - 0.55%
7.50% due 11/11/04 DEM 1,260,000 915,359
8.25% due 09/20/01 610,000 453,853
-----------
1,369,212
REPUBLIC OF IRELAND - 1.19%
6.25% due 04/01/99 IEP 750,000 1,277,961
6.50% due 10/18/01 970,000 1,670,912
-----------
2,948,873
GOVERNMENT OF MEXICO - 1.73%
6.25% due 12/31/19 $2,900,000 2,121,375
6.351% due 12/31/19 2,500,000 2,153,125
-----------
4,274,500
GOVERNMENT OF MOROCCO - 2.51%
6.375% due 01/01/09 7,500,000 6,192,188
-----------
REPUBLIC OF PANAMA - 0.99%
3.50% due 07/17/14 3,500,000 2,434,688
-----------
REPUBLIC OF PHILIPPINES - 0.67%
6.375% due 12/01/09 1,700,000 1,649,000
-----------
REPUBLIC OF VENEZUELA - 1.32%
1% due 12/18/07 2,000,000 1,700,000
6.437% due 03/31/07 1,250,000 1,117,187
6.625% due 03/31/07 500,000 445,000
-----------
3,262,187
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost: $45,282,589) $48,085,178
-----------
<CAPTION>
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 0.00%
HOUSEHOLD APPLIANCES & FURNISHINGS - 0.00%
Decorative Home Accents, Incorporated 1,500 $ 9,000
-------
TOTAL COMMON STOCKS (Cost: $15,000) $ 9,000
-------
WARRANTS - 0.02%*
ELECTRONICS - 0.01%
Exide Electronics Group (Expiration
date 03/15/06; strike price $13.475) 1,000 30,000
-------
FINANCIAL SERVICES - 0.01%
BPC Holdings Corporation (Expiration
date 04/15/04; strike price $18.797) 1,000 20,000
-------
TELEPHONE - 0.00%
Wireless One, Incorporated (Expiration
date 10/19/00; strike price $11.50) 2,250 2,250
-------
TOTAl WARRANTS (Cost: $0) $52,250
-------
<CAPTION>
Principal
Amount Value
--------- -------------
<S> <C>
REPURCHASE AGREEMENT - 12.85% ***
$31,735,000 Repurchase Agreement with UBS
Securities dated 12/31/96 at 6.75%,
to be repurchased at $31,746,901
on 01/02/97, collateralized by
$27,202,000 U.S. Treasury Bonds,
8.125% due 08/15/19 (valued at
$33,205,330, including interest) $ 31,735,000
------------
TOTAL INVESTMENTS
(Strategic Bond Trust) (Cost: $241,761,555) $247,055,494
============
<CAPTION>
GLOBAL GOVERNMENT BOND TRUST
Principal
Amount Value
--------------- -----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 2.01%
U.S. TREASURY NOTE - 2.01%
5.875% due 11/30/01 $ 5,000,000 $ 4,927,350
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $4,957,282) $ 4,927,350
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 14.90%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 4.91%
6.50% due 06/08/00 12,000,000 12,001,920
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 10.00%
5.80% due 12/10/03 13,000,000 12,469,860
6.50% due 04/30/99 12,000,000 11,996,280
-----------
24,466,140
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (Cost: $36,826,754) $36,468,060
-----------
FOREIGN GOVERNMENT OBLIGATIONS - 73.67%
COMMONWEALTH OF AUSTRALIA - 12.22%
Queensland Treasury,
6.50% due 06/14/05 AUD 7,000,000 5,193,943
8.00% due 05/14/03 15,000,000 12,334,075
8.00% due 08/14/01 15,000,000 12,369,844
-----------
29,897,862
GOVERNMENT OF CANADA - 3.18%
Province of Quebec,
7.50% due 03/12/01 CAD 10,000,000 7,791,390
-----------
REPUBLIC OF ITALY - 16.87%
zero coupon due 01/10/01 $ 15,000,000 11,690,625
9.00% due 10/01/03 ITL 10,000,000,000 7,214,898
9.50% due 05/01/01 10,000,000,000 7,280,818
10.00% due 08/01/03 20,000,000,000 15,095,583
-----------
41,281,924
GOVERNMENT OF NEW ZEALAND - 12.01%
8.00% due 02/15/01 NZD 20,000,000 14,610,548
8.00% due 04/15/04 20,000,000 14,768,356
-----------
29,378,904
</TABLE>
The accompanying notes are an integral part of the financial statements.
111
<PAGE> 142
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------
<CAPTION>
Principal
Amount Value
------------- ------------
<S> <C> <C>
KINGDOM OF SPAIN - 12.35%
8.00% due 05/30/04 ESP 1,400,000,000 $ 11,698,209
10.30% due 06/15/02 1,000,000,000 9,145,388
10.50% due 10/30/03 1,000,000,000 9,364,144
------------
30,207,741
KINGDOM OF SWEDEN - 8.65%
6.00% due 02/09/05 SEK 70,000,000 9,946,715
8.00% due 08/15/07 70,000,000 11,207,657
------------
21,154,372
GOVERNMENT OF UNITED KINGDOM - 8.40%
Abbey National Treasury,
8.00% due 04/02/03 [pound] 5,000,000 8,667,766
United Kingdom Treasury,
7.00% due 11/06/01 7,000,000 11,880,032
------------
20,547,798
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost: $166,793,697) $180,259,991
------------
CORPORATE BONDS - 3.10%
ELECTRIC SERVICES - 3.10%
Hydro-Quebec,
7.00% due 06/01/04 CAD 10,000,000 7,576,864
------------
TOTAL CORPORATE BONDS
(Cost: $7,073,482) $ 7,576,864
------------
<CAPTION>
REPURCHASE AGREEMENT - 6.32%
Principal
Amount Value
- ----------- ------------
<S> <C>
$15,454,000 Repurchase Agreement with State
Street Bank & Trust Company
dated 12/31/96 at 4.75%, to be
repurchased at $15,458,078 on
01/02/97, collateralized by
$16,075,000 U.S. Treasury Notes,
5.50% due 12/31/00 (valued at
$16,215,485, including interest) $ 15,454,000
------------
TOTAL INVESTMENTS
(Global Government Bond Trust)
(Cost: $231,105,215) $244,686,265
============
<CAPTION>
CAPITAL GROWTH BOND TRUST
Principal
Amount Value
---------- ----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 12.14%
U.S. TREASURY BONDS - 4.70%
6.00% due 02/15/26 $1,255,000 $1,142,251
6.75% due 08/15/26 760,000 765,700
6.875% due 08/15/25 175,000 178,446
----------
2,086,397
U.S. TREASURY NOTES - 7.44%
4.75% due 10/31/98 225,000 220,711
5.75% due 10/31/00 190,000 187,477
5.875% due 11/15/05 245,000 236,234
6.375% due 05/15/99 1,860,000 1,875,977
6.50% due 06/10/15 605,000 608,309
7.875% due 11/15/04 155,000 169,144
----------
3,297,852
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $5,354,496) $5,384,249
----------
CORPORATE BONDS - 71.42%
BANKING - 14.32%
Bank of New York, Incorporated,
6.625% due 06/15/03 1,000,000 988,540
Bank of Nova Scotia Halifax,
9.00% due 10/01/99 1,000,000 1,066,180
BCH Cayman Islands, Ltd.,
6.50% due 02/15/06 1,000,000 947,850
Citicorp, 7.125% due 06/01/03 1,000,000 1,016,550
Kansallis Osake Pankki NY,
10.00% due 05/01/02 1,000,000 1,134,900
Republic New York Corporation,
9.50% due 04/15/14 1,000,000 1,196,860
----------
6,350,880
COMPUTERS & BUSINESS EQUIPMENT - 2.60%
GTE Corporation,
8.75% due 11/01/21 1,000,000 1,153,070
----------
DRUGS & HEALTH CARE - 2.52%
Columbia/HCA Healthcare
Corporation, 8.70% due 02/10/10 1,000,000 1,117,130
----------
ELECTRIC UTILITIES - 6.58%
Baltimore Gas and Electric Company,
6.125% due 07/01/03 1,000,000 969,780
Northern States Power Company,
6.375% due 04/01/03 1,000,000 974,990
Pacific Gas and Electric Company,
6.25% due 08/01/03 1,000,000 972 940
----------
2,917,710
FINANCIAL SERVICES - 18.06%
Associates Corporation of North
America, 6.125% due 02/01/98 1,000,000 1,000,910
Chrysler Financial Corporation,
5.875% due 02/07/01 1,000,000 976,210
CIT Group Holdings, Incorporated,
8.75% due 04/15/98 1,000,000 1,031,870
Commercial Credit Group,
Incorporated, 7.375% due 04/15/05 1,000,000 1,020,450
Donaldson Lufkin and Jenrette,
5.625% due 02/15/16 1,000,000 963,740
Ford Motor Credit Corporation,
6.375% due 04/15/00 1,000,000 995,270
Household Finance Corporation,
7.75% due 06/01/99 1,000,000 1,026,860
</TABLE>
The accompanying notes are an integral part of the financial statements.
112
<PAGE> 143
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Principal Principal
Amount Value Amount Value
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C>
FINANCIAL SERVICES - CONTINUED GOVERNMENT OF ITALY - 2.14%
Salomon, Incorporated, 6.875% due 09/27/23 $1,000,000 $ 950,970
5.75% due 03/31/98 $1,000,000 $ 995,980 -----------
-----------
8,011,290 TOTAL FOREIGN OBLIGATIONS
FOOD & BEVERAGES - 4.62% (Cost: $3,134,940) $ 3,109,560
Coca Cola Enterprises, Incorporated, -----------
8.50% due 02/01/22 1,000,000 1,124,120 SHORT TERM INVESTMENTS - 9.43%
IBP, Incorporated, U.S. TREASURY BILLS - 9.43%
7.125% due 02/01/26 1,000,000 926,640 4.20% due 01/09/97 32,000 31,970
----------- 4.44% due 01/09/97 31,000 30,969
2,050,760 4.87% due 01/09/97 157,000 156,830
FUNERAL SERVICES - 4.48% 4.88% due 03/06/97 31,000 30,731
Service Corporation International, 4.90% due 03/06/97 69,000 68,399
6.75% due 06/01/01 1,000,000 1,004,710 4.92% due 01/09/97 40,000 39,956
ITT Corporation, 6.25% due 11/15/00 1,000,000 983,860 4.97% due 01/09/97 1,410,000 1,408,444
----------- 4.98% due 01/09/97 46,000 45,949
1,988,570 4.99% due 01/09/97 2,329,000 2,326,417
HOUSEHOLD PRODUCTS - 2.74% 5.00% due 03/06/97 44,000 43,609
Procter and Gamble Profit, -----------
9.36% due 01/01/21 1,000,000 1,214,400 4,183,274
-----------
NATURAL GAS - 2.22% TOTAL SHORT TERM INVESTMENTS $ 4,183,274
Columbia Gas Systems (Cost: $4,183,274) -----------
Incorporated, 7.05% due 11/28/07 1,000,000 986,330
----------- TOTAL INVESTMENTS
(Capital Growth Bond Trust) $44,355,727
NEWSPAPERS - 2.41% (Cost: $43,691,754) ===========
News America Holdings,
Incorporated, 8.50% due 02/15/05 1,000,000 1,070,950
-----------
INVESTMENT QUALITY BOND TRUST
PETROLEUM - 2.36% Principal
Ultramar Corporation, Amount Value
8.00% due 03/15/05 1,000,000 1,045,420 ---------- -----------
----------- CORPORATE BONDS - 33.21%
AUTO PARTS - 0.13%
REAL ESTATE - 2.30% Lear Corporation,
MEPC Finance, Incorporated, 9.50% due 07/15/06 $ 175,000 $ 189,000
7.50% due 05/01/03 1,000,000 1,021,460 -----------
-----------
BROADCASTING - 0.25%
TELEPHONE - 6.20% Cablevision Systems Corporation,
American Telephone and Telegraph 9.25% due 11/01/05 200,000 198,000
Corporation, 5.125% due 04/01/01 1,000,000 949,020 Chancellor Broadcasting Company,
BellSouth Savings, ESOP, 9.375% due 10/01/04 25,000 25,250
9.19% due 07/01/03 733,615 788,864 Granite Broadcasting Corporation,
MCI Communications Corporation, 10.375% 05/15/05 50,000 51,250
7.75% due 03/23/25 1,000,000 1,012,790 Young Broadcasting, Incorporated,
----------- 9.00% due 01/15/06 100,000 97,250
2,750,674 -----------
TOTAL CORPORATE BONDS 371,750
(Cost: $31,019,044) $31,678,644
----------- CHEMICALS - 0.55%
Rexene Corporation,
11.75% due 12/01/04 250,000 280,625
FOREIGN GOVERNMENT OBLIGATIONS - 7.01% Terra Industries, Incorporated,
GOVERNMENT OF CANADA - 4.87% 10.50% due 06/15/05 250,000 271,250
Province of Ontario, Texas-Petro Chemical Corporation,
8.80% due 10/17/01 1,000,000 1,057,980 11.125% due 07/01/06 250,000 268,750
Province of Quebec, -----------
8.80% due 04/15/03 1,000,000 1,100,610 820,625
-----------
2,158,590
</TABLE>
The accompanying notes are an integral part of the financial statements.
113
<PAGE> 144
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Principal Principal
Amount Value Amount Value
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C>
COMPUTERS & BUSINESS EQUIPMENT - 0.17% FINANCE & BANKING - CONTINUED
Bell & Howell Company, Sun Canada Financial Company,
Step-up to 11.50% due 03/01/05 $ 350,000 $ 253,750 7.25% due 12/15/15 $1,500,000 $ 1,432,110
----------- Tembec Finance Corporation,
DRUGS & HEALTH CARE - 1.64% 9.875% due 09/30/05 250,000 233,750
Allegiance Corporation, Trump Atlantic City,
7.00% due 10/15/26 1,650,000 1,673,958 11.25% due 05/01/06 185,000 183,150
Integrated Health Services, U.S. Bancorp, 7.50% due 06/01/26 2,300,000 2,403,454
Incorporated, 10.25% due 04/30/06 250,000 262,500 United VA Bankshares, Incorporated,
Owens & Minor, Incorporated, 8.625% due 04/15/98 1,967,000 2,020,896
10.875% due 06/01/06 250,000 268,125 -----------
Quorum Health Group, Incorporated, 24,838,808
8.75% due 11/01/05 250,000 256,250 FOOD & BEVERAGES - 0.18%
----------- Smith's Food & Drug Centers,
2,460,833 11.25% due 05/15/07 250,000 276,250
-----------
ELECTRIC UTILITIES - 0.86%
Duke Power Company, GAS & PIPELINE UTILITIES - 0.10%
7.50% due 04/01/99 700,000 717,304 Transportadora De Gas Del Sur,
El Paso Electric Company, 10.25% due 04/25/01 150,000 158,925
8.90% due 02/01/06 250,000 260,660 -----------
Virginia Electric & Power Company,
9.375% due 06/01/98 300,000 312,306 INDUSTRIALS - 2.70%
----------- Armco, Incorporated,
1,290,270 9.375% due 11/01/00 450,000 452,250
FINANCE & BANKING - 16.54% Cincinnati Milacron, Incorporated,
American General Finance 7.875% due 05/15/00 870,000 878,378
Corporation, 8.00% due 02/15/05 1,270,000 1,322,832 Container Corporation of America,
Associates Corporation of North America, 9.75% due 04/01/03 250,000 262,500
6.95% due 08/01/02 2,325,000 2,354,155 Fort Howard Corporation,
9.125% due 04/01/00 300,000 322,785 9.25% due 01/03/15 450,000 469,125
BankAmerica Corporation, Guitar Center Management,
9.625% due 02/13/01 1,475,000 1,630,317 11.00% due 07/01/06 30,000 31,650
BanPonce Financial Corporation, Harris Chemical North Amercia,
6.80% due 12/21/05 2,150,000 2,103,087 Step up 10.25% due 07/15/01 250,000 259,688
Beneficial Corporation, JCAC, Incorporated,
8.40% due 05/15/08 350,000 394,005 10.125% due 06/15/06 100,000 103,000
Commercial Credit Group, Moog, Incorporated,
Incorporated, 10.00% due 05/01/99 290,000 312,878 10.00% due 05/01/06 150,000 157,500
Exxon Capital Corporation, Muzak Capital LP,
6.625% due 08/15/02 2,000,000 1,999,400 10.00% due 10/01/03 50,000 51,125
First Financial Caribbean Corporation, News America Holdings,
7.84% due 10/10/06 450,000 453,510 Incorporated, 9.25% due 02/01/13 1,000,000 1,120,290
General Electric Capital Corporation, Repap New Brunswick, Incorporated,
8.88% due 06/18/03 600,000 673,350 9.875% due 07/15/00 95,000 96,900
General Motors Acceptance Rifkin Acquisitions Partners LP,
Corporation, 6.00% due 01/11/99 950,000 945,934 11.125% due 01/15/06 160,000 166,800
International Lease Finance -----------
Corporation, 7.50% due 03/01/99 1,500,000 1,534,080 4,049,206
Mesa Operate Company, INSURANCE - 2.36%
10.625% due 07/01/06 250,000 271,250 Equitable Life Assurance Society of the
National Westminster Bank PLC, United States, 6.95% due 12/01/05 1,150,000 1,128,127
9.45% due 05/01/01 1,000,000 1,106,510 Ohio National Life Insurance
NBD Bancorp, 8.25% due 11/01/24 2,000,000 2,252,380 Company, 8.50% due 05/15/26 1,150,000 1,195,368
Norwest Corporation, Security Benefit Life Company,
6.00% due 03/15/00 900,000 888,975 8.75% due 05/15/16 1,150,000 1,218,770
-----------
3,542,265
</TABLE>
The accompanying notes are an integral part of the financial statements.
114
<PAGE> 145
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Principal Principal
Amount Value Amount Value
---------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
INTERNATIONAL OIL - 0.61% TEXTILE PRODUCTS - CONTINUED
Amoco Canada Petroleum Company, Dominion Textile (USA),
7.95% due 10/01/22 $ 900,000 $ 922,986 Incorporated, 9.25% due 04/01/06 $ 85,000 $ 86,381
----------- -----------
358,881
METAL PRODUCTS - 0.59% TRANSPORTATION - 0.34%
AK Steel Corporation, Southern Railway Company,
9.125% due 12/15/06 115,000 118,163 8.75% due 10/15/03 470,000 517,888
Howmet Corporation, -----------
10.00% due 12/01/03 250,000 273,125 TRANSPORTATION EQUIPMENT - 0.35%
Northwestern Steel & Wire Company, Hayes Wheels International,
9.50% due 06/15/01 250,000 245,000 Incorporated, 11.00% due 07/15/06 200,000 218,250
Weirton Steel Corporation, Walbro Corporation,
11.375% due 07/01/04 250,000 253,750 9.875% due 07/15/05 300,000 309,000
----------- -----------
890,038 527,250
NON-BANK FINANCE - 1.68% TOTAL CORPORATE BONDS
KFW International Financial, Incorporated, (Cost: $49,181,327) $49,873,592
8.85% due 06/15/99 1,340,000 1,418,591 -----------
9.125% due 05/15/01 1,000,000 1,100,380
----------- U.S. TREASURY OBLIGATIONS - 33.75%
2,518,971 U.S. TREASURY BONDS - 33.75%
OIL & GAS SERVICES - 0.18% 7.50% due 11/15/16 1,750,000 1,894,375
Plains Resources, Incorporated, 11.625% due 11/15/04 2,200,000 2,904,682
10.25% due 03/15/06 250,000 267,500 11.875% due 22/15/03 15,000,000 19,567,950
----------- 12.00% due 08/15/13 18,400,000 26,320,648
-----------
50,687,655
PUBLISHING - 0.23%
S.D. Warren Company, TOTAL U.S. TREASURY OBLIGATIONS
12.00% due 12/15/04 225,000 243,000 (Cost: $50,892,299) $50,687,655
World Color Press, Incorporated, -----------
9.125% due 03/15/03 100,000 101,000 U.S. GOVERNMENT AGENCY OBLIGATIONS - 25.03%
----------- FEDERAL HOME LOAN MORTGAGE CORPORATION - 10.57%
344,000 6.00% due 02/01/03 - 10/01/03 1,968,981 1,924,186
TELECOMMUNICATION SERVICES - 1.75% 6.50% due 03/01/11 - 08/17/11 1,712,502 1,693,697
Comcast Corporation, 6.50% due 06/25/19, REMIC 900,000 895,212
9.125% due 10/15/06 30,000 30,750 7.00% due 09/01/03 - 01/01/26 10,364,962 10,179,946
9.375% due 05/15/05 200,000 207,500 7.50% due 06/01/10 - 04/01/11 1,157,555 1,176,262
Heritage Media Services, -----------
11.00% due 06/15/02 150,000 159,375 15,869,303
Tele-Communications, Incorporated, FEDERAL NATIONAL MORTGAGE ASSOCIATION - 0.65%
9.80% due 02/01/12 1,910,000 2,067,002 5.90% due 10/25/19, REMIC 1,000,000 978,430
Videotron, Ltd., 10.25% due 10/15/02 150,000 159,375 -----------
-----------
2,624,002 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 13.81%
TELEPHONE - 1.76% 6.50% due 07/15/08 - 05/15/09 218,845 216,758
360 Communications, 7.00% due 04/15/23 - 02/15/24 8,383,304 8,239,869
7.125% due 03/01/03 900,000 889,119 7.50% due 04/15/02 - 01/15/24 4,319,874 4,341,198
Benedek Communications, 8.00% due 04/15/23 - 10/15/23 5,353,976 5,486,786
13.25% due 05/15/06 215,000 123,625 8.50% due 10/15/09 - 04/15/22 2,335,887 2,453,879
GTE Florida, Incorporated, Series A, -----------
6.31% due 12/15/02 1,400,000 1,376,900 20,738,490
Lenfest Communications, Incorporated TOTAL U.S. GOVERNMENT AGENCY
8.375% due 11/01/05 200,000 193,250 OBLIGATIONS (Cost: $37,376,692) $37,586,223
MobileMedia Communications, -----------
Incorporated, 9.375% due 11/01/07 250,000 67,500 FIXED INCOME - OTHER - 4.41%
----------- Miscellaneous Asset Backed Securities - 4.41%
2,650,394 Advanta Credit Card Master
TEXTILE PRODUCTS - 0.24% Trust, Series 1994, Class A,
Collins & Aikman Products Company, 5.905% due 10/01/01 1,450,000 1,456,786
11.50% due 04/15/06 250,000 272,500
</TABLE>
The accompanying notes are an integral part of the financial statements.
115
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NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------
<CAPTION>
Principal
Amount Value
---------- ----------
<S> <C> <C>
MISCELLANEOUS ASSET BACKED SECURITIES - CONTINUED
American Express Master Trust,
Series 1992, Class A,
6.60% due 05/15/00 $1,500,000 $1,512,645
Daimler Benz Vehicle Trust, Series
1996-A, Class A, 5.85% due 7/20/03 479,535 475,415
Premier Auto Trust, Series 1993,
Class A2, 4.65% due 11/02/99 792,782 785,100
Premier Auto Trust, Series 1994,
Class A3, 6.35% due 05/02/00 876,040 878,502
World Omni Automobile Lease, Series
1995, Class A, 6.05% due 11/25/01 1,512,164 1,514,054
----------
6,622,502
TOTAL FIXED INCOME - OTHER
(Cost: $6,595,907) $6,622,502
----------
FOREIGN BONDS - 3.05%
CANADA - 1.61%
Hydro-Quebec, 8.05% due 07/07/24 $2,200,000 $2,418,944
----------
JAPAN - 1.44%
Japan Financial Corporation,
8.70% due 07/30/01 1,500,000 1,628,430
9.125% due 10/11/00 500,000 538,855
----------
2,167,285
TOTAL FOREIGN BONDS
(Cost: $4,676,698) $4,586,229
----------
PREFERRED STOCKS - 0.11%
BANKS - 0.11%
Chevy Chase Corporation 3,315 162,236
----------
TOTAL PREFERRED STOCKS
(Cost: $156,750) $ 162,236
----------
<CAPTION>
Principal
Amount Value
-------- ------------
<S> <C>
REPURCHASE AGREEMENT - 0.43%
$653,000 Repurchase Agreement with Aubrey
Lanston Government dated 12/31/96
at 6.75% to be repurchased at
$653,245 on 01/02/97, collateralized
by $633,000 U.S. Treasury Notes,
7.50% due 10/31/99 (valued at
$664,640, including interest) $ 653,000
------------
TOTAL INVESTMENTS
(Investment Quality Bond Trust)
(Cost: $149,532,673) $150,171,437
============
<CAPTION>
U.S. GOVERNMENT SECURITIES TRUST
Principal
Amount Value
----------- -----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 9.04%
U.S. TREASURY BONDS - 0.42%
6.75% due 08/15/26 $ 1,050,000 $ 1,057,875
-----------
U.S. TREASURY NOTES - 8.62%
6.125% due 05/31/97 10,000,000 10,028,100
6.50% due 08/15/05 3,000,000 3,019,230
6.50% due 10/15/06 6,650,000 6,585,829
6.625% due 07/31/01 2,280,000 2,316,343
-----------
21,949,502
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $23,201,349) $23,007,377
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 64.94%
FEDERAL HOME LOAN BANK - 1.38%
5.94% due 06/13/00 3,300,000 3,268,551
6.49% due 09/08/97 250,000 251,405
-----------
3,519,956
FEDERAL HOME LOAN MORTGAGE CORPORATION - 21.19%
6.00% due 10/01/10 1,137,638 1,099,243
6.50% due 01/01/27 TBA** 20,000,000 19,118,600
6.50% due 07/01/06 20,360 20,248
7.00% due 12/01/04 - 07/01/11 33,278,692 33,263,995
8.25% due 07/01/06 169,032 174,357
11.75% due 07/01/06 - 12/01/13 222,297 248,402
-----------
53,924,845
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 20.08%
6.50% due 10/01/05- 04/01/26 19,286,849 18,512,877
7.00% due 01/01/27 TBA** 15,125,000 14,789,376
7.52% due 08/26/05 2,475,000 2,498,339
8.00% due 08/01/04 - 10/01/24 31,083 31,851
8.25% due 09/01/08 305,530 317,837
8.50% due 02/01/09 57,197 60,861
8.75% due 08/01/09 316,933 332,482
10.00% due 04/01/16 5,132 5,656
10.50% due 03/01/16 23,291 25,370
11.50% due 04/01/19 - 02/01/20 5,229,636 5,963,407
11.75% due 09/01/11 - 12/01/15 119,354 135,796
12.00% due 04/01/16 1,021,955 1,181,316
12.50% due 08/01/11 - 09/01/15 2,726,215 3,193,334
13.00% due 01/01/99 2,291,695 2,706,348
14.50% due 11/01/14 1,086,411 1,340,020
-----------
51,094,870
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 20.55%
7.00% due 01/01/27 TBA** 18,000,000 17,606,160
7.00% due 03/15/26 - 05/15/26 34,737,094 33,977,977
7.50% due 02/15/07 212,848 215,815
8.00% due 10/15/05 13,884 14,383
9.50% due 09/15/20 401,710 435,856
11.00% due 09/15/15 37,553 42,494
-----------
52,292,685
</TABLE>
The accompanying notes are an integral part of the financial statements.
116
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NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------
<CAPTION>
Principal
Amount Value
---------- ------------
<S> <C> <C>
STUDENT LOAN MARKETING ASSOCIATION - 1.75%
7.50% due 03/08/00 $4,300,000 $ 4,455,187
------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (Cost: $166,989,244) $165,287,543
------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.00%
Drexel Burnham Lambert,
9.30% due 06/01/17, (Collateralized
by GNMA 10.00%) 7,865 8,005
------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (Cost: $8,201) $ 8,005
------------
Principal
Amount Value
- ----------- ------------
<S> <C>
REPURCHASE AGREEMENTS - 26.01% ***
$33,104,000 Repurchase Agreement with J.P.
Morgan dated 12/31/96 at 6.60%,
to be repurchased at $33,116,138
on 01/02/97, collateralized by
$26,406,000 U.S. Treasury Bonds,
8.875% due 02/15/19 (valued at
$34,652,007, including interest) $ 33,104,000
------------
33,104,000 Repurchase Agreement with UBS
Securities dated 12/31/96 at 6.75%,
to be repurchased at $33,116,414
on 01/02/97, collateralized by
$26,850,000 U.S. Treasury Bonds,
8.75% due 08/15/20 (valued at
$34,919,916, including interest) 33,104,000
------------
66,208,000
TOTAL INVESTMENTS
(U.S. Government Securities Trust)
(Cost: $256,406,794) $254,510,925
============
<CAPTION>
MONEY MARKET TRUST
Principal
Amount Value
----------- -----------
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS - 12.60%
FEDERAL FARM CREDIT BANK - 2.32%
5.60% due 06/03/97 $ 8,000,000 $ 7,995,305
-----------
FEDERAL HOME LOAN BANK - 1.44%
5.23% due 01/30/97 5,000,000 4,978,935
-----------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 2.50%
5.21% due 02/20/97 4,000,000 3,971,056
5.22% due 02/03/97 2,000,000 1,990,430
5.70% due 01/02/97 2,669,000 2,668,577
-----------
8,630,063
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.44%
5.22% due 01/28/97 $ 5,000,000 $ 4,980,425
-----------
STUDENT LOAN MARKETING ASSOCIATION - 4.90%
5.41% due 09/28/98 9,000,000 9,000,000
5.42% due 02/22/99 7,900,000 7,900,550
-----------
16,900,550
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS $43,485,278
-----------
U.S. TREASURY OBLIGATIONS - 28.86%
U.S. TREASURY BILLS - 25.66%
4.83% due 03/06/97 15,000,000 14,870,987
4.845% due 03/06/97 25,000,000 24,784,667
4.85% due 03/06/97 20,000,000 19,827,556
4.97% due 06/12/97 20,000,000 19,552,700
5.12% due 12/11/97 10,000,000 9,510,755
-----------
88,546,665
U.S. TREASURY NOTES - 3.19%
7.50% due 01/31/97 11,000,000 11,020,460
-----------
TOTAL U.S. TREASURY OBLIGATIONS $99,567,125
-----------
COMMERCIAL PAPER - 58.34%
Allianz of America Finance,
5.32% due 01/29/97 9,000,000 8,962,760
American Bands, Incorporated,
5.28% due 01/03/97 2,200,000 2,199,355
Canadian Wheat Board,
5.25% due 02/11/97 2,000,000 1,988,042
5.25% due 01/17/97 14,100,000 14,067,100
Commerzbank U.S. Finance,
5.40% due 01/10/97 2,000,000 1,997,300
5.40% due 01/31/97 3,100,000 3,086,050
5.40% due 02/05/97 4,000,000 3,979,000
Export Development Corporation,
5.27% due 01/06/97 1,400,000 1,398,975
First Alabama Bank,
5.70% due 02/03/97 5,000,000 5,000,000
First National Bank of Boston,
5.43% due 01/13/97 1,100,000 1,098,009
Ford Motor Company of Canada,
5.31% due 01/22/97 15,000,000 14,953,537
General Electric Capital Corporation,
5.28% due 01/29/97 2,000,000 1,991,787
Her Majesty In Right of Canada,
5.49% due 01/06/97 5,000,000 4,996,187
5.25% due 01/27/97 5,000,000 4,981,042
Merrill Lynch & Company,
Incorporated, 5.34% due 01/15/97 15,000,000 14,968,850
NationsBank Corporation
5.40% due 01/06/97 12,000,000 11,991,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
117
<PAGE> 148
NASL SERIES TRUST
<TABLE>
PORTFOLIO OF INVESTMENTS - DECEMBER 31, 1996 (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------
<CAPTION>
Principal
Amount Value
----------- ------------
<S> <C> <C>
COMMERCIAL PAPER - CONTINUED
PNC Funding Corporation,
5.4825% due 01/06/97 $10,000,000 $ 9,999,894
Peoples Security Life Insurance,
Incorporated, 5.60% due 08/20/99 10,000,000 10,000,000
Svenska Handelsbanken,
Incorporated, 5.41% due 02/03/97 13,000,000 12,935,531
Toshiba America, Incorporated,
5.32% due 02/24/97 15,000,000 14,880,300
Transamerica Finance Group,
Incorporated, 5.30% due 01/30/97 15,000,000 14,935,958
Travelers Insurance Company,
5.695% due 08/31/99 6,000,000 6,000,000
Warner-Lambert Company,
5.30% due 01/15/97 5,000,000 4,989,694
Winn Dixie Stores, Incorporated,
5.30% due 01/14/97 15,000,000 14,971,292
Xerox Corporation,
5.30% due 02/05/97 15,000,000 14,922,708
------------
TOTAL COMMERCIAL PAPER $201,294,371
------------
<CAPTION>
REPURCHASE AGREEMENT - 0.20%
Principal
Amount Value
- --------- -----
$701,000 Repurchase Agreement with State
Street Bank & Trust Company dated
12/31/96 at 4.75%, to be repurchased
at $701,185 on 01/02/97, collateralized
by $655,000 U.S. Treasury Bond,
7.25% due 8/15/22 (valued at
$736,189, including interest) $ 701,000
------------
TOTAL INVESTMENTS
(Money Market Trust) (Note 2) $345,047,774
============
</TABLE>
Key to Currency Abbreviations
- -----------------------------
AUD - Australian Dollar
CAD - Canadian Dollar
DKK - Danish Krone
FIM - Finnish Markka
FRF - French Franc
DEM - German Deustche Mark
[pound]- Great British Pound
HKD - Hong Kong Dollar
IEP - Irish Punt
ITL - Italian Lira
[Yen] - Japanese Yen
NLG - Netherland Guilder
NZD - New Zealand Dollar
SGD - Singapore Dollar
ESP - Spanish Peseta
SEK - Swedish Krone
CHF - Swiss Franc
Key to Security Abbreviations and Legend
- ----------------------------------------
ADR - American Depository Receipt
ADS - American Depository Shares
FRN - Floating Rate Note
GTD - Guaranteed
IO - Interest Only (Carries notional principal amount)
REIT - Real Estate Investment Trust
REMIC - Real Estate Mortgage Investment Conduit
TBA - To Be Announced
* - Non-Income producing
** - Purchased on a forward commitment (Note 2)
*** - At December 31, 1996 a portion of this security
was pledged to cover forward commitments
purchased.
**** - At December 31, 1996 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.
118
<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 twenty five Portfolios: The
Pacific Rim Emerging Markets Trust ("Pacific Rim Emerging Markets"), the
International Small Cap Trust ("International Small Cap"), the Emerging Growth
Trust ("Emerging Growth"), the Small/Mid Cap Trust ("Small/Mid Cap"), the
International Stock Trust ("International Stock"), the Global Equity Trust
("Global Equity"), the Growth Trust ("Growth"), the Equity Trust ("Equity"),
the Quantitative Equity Trust ("Quantitative Equity"), the Equity Index Trust
("Equity Index"), the Blue Chip Growth Trust ("Blue Chip Growth", formerly
Pasadena Growth), the Real Estate Securities Trust ("Real Estate Securities"),
the International Growth and Income Trust ("International Growth and Income"),
the Growth and Income Trust ("Growth and Income"), the Equity-Income Trust
("Equity-Income", formerly Value Equity), the Balanced Trust ("Balanced"), the
Aggressive Asset Allocation Trust ("Aggressive Asset Allocation"), the Moderate
Asset Allocation Trust ("Moderate Asset Allocation"), the Conservative Asset
Allocation Trust ("Conservative Asset Allocation"), the Strategic Bond Trust
("Strategic Bond"), the Global Government Bond Trust ("Global Government Bond"),
the Capital Growth Bond Trust ("Capital Growth Bond"), the Investment Quality
Bond Trust ("Investment Quality Bond"), the U.S. Government Securities Trust
("U.S. Government Securities") and the Money Market Trust ("Money Market"). Each
of the Portfolios with the exception of Emerging Growth and Global Government
Bond is diversified for purposes of the Investment Company Act of 1940, as
amended.
Shares of the Portfolios are presently offered only to the NASL Variable
Account, the NASL Group Variable Account and the NASL Variable Life Variable
Account, separate accounts of North American Security Life Insurance Company
("Security Life"), to the FNAL Variable Account, a separate account of First
North American Life Assurance Company ("First North American") and in the case
of certain Portfolios, to Separate Accounts One, Two, Three, and Four, separate
accounts of The Manufacturers Life Insurance Company of America ("Manulife
America"). Security Life is controlled by The Manufacturers Life Insurance
Company ("Manulife"), a mutual life insurance company based in Toronto,
Canada. First North American is a wholly-owned subsidiary of Security Life and
Manulife America is a wholly-owned subsidiary of Manulife.
At December 31, 1996, Manulife America owned seed money shares in Pacific Rim
Emerging Markets, International Stock and Equity Index.
NASL Financial Services, Inc. ("NASL Financial"), a wholly-owned subsidiary of
Security Life, serves as investment adviser for the Trust (See 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 14, 1996, Equity Index commenced operations. On
March 4, 1996, Small/Mid Cap and International Small Cap commenced operations.
On July 15, 1996, Growth commenced operations. Manufacturers Adviser Corporation
("MAC") is the subadviser to Equity Index. Fred Alger Management, Inc. is the
subadviser to Small/Mid Cap. The subadviser to International Small Cap and
Growth is Founders Asset Management, Inc.
CHANGE IN PORTFOLIO NAMES. Effective October 1, 1996, the name of Pasadena
Growth was changed to Blue Chip Growth. Effective December 31, 1996, the name of
Value Equity was changed to Equity-Income. See footnote 9 for changes in names
related to the reorganization.
CHANGE IN SUBADVISERS. Effective October 1, 1996, Oechsle International
Advisors, L.P. ("Oechsle") resigned as subadviser to Global Equity, Roger
Engemann Management Co., Inc. resigned as subadviser to Blue Chip Growth,
Goldman Sachs Asset Management Inc. ("Goldman") resigned as subadviser to
Equity-Income and Wellington Management Company, LLP ("Wellington Management")
resigned as subadviser to Money Market.
The Trustees, including a majority of Trustees who are not interested persons of
the Trust, and the shareholders at a special meeting of shareholders held on
December 20, 1996, voted to approve the following new subadvisers: T. Rowe Price
Associates, Inc. ("T. Rowe Price") as subadviser to Blue Chip Growth and
Equity-Income; Morgan Stanley Asset Management Inc. ("Morgan Stanley") as
subadviser to Global Equity; and MAC as subadviser to Money Market.
CHANGE IN INVESTMENT OBJECTIVE. Effective October 1, 1996, due to the change in
subadviser, the Trustees voted to change the investment objective of Blue Chip
Growth and Equity-Income. The proposed changes were approved by the shareholders
of each Portfolio, on December 20, 1996, respectively.
119
<PAGE> 150
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
2. SIGNIFICANT ACCOUNTING POLICIES. The policies described below are followed by
the Trust in the preparation of the financial statements.
SECURITY VALUATION. Securities held by Money Market and short term instruments
with remaining maturities of 60 days or less held by the other Portfolios of the
Trust are valued at amortized cost basis, which approximates current market
value. All other securities held by the Portfolios 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 price. Securities traded
only in the over-the-counter market are valued at the last bid price quoted by
brokers making markets in the securities at the close of trading.
Portfolio 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 Equity
Index, Real Estate Securities, Investment Quality Bond, U.S. Government
Securities and Money Market may purchase and sell forward foreign currency
contracts in order to hedge a specific transaction or portfolio position.
The net U.S. dollar value of foreign currency underlying all contractual
commitments held at the end of the period, 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 Portfolios 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
forward foreign currency contract changes unfavorably.
Net realized gains (losses) on foreign currency and forward foreign currency
contracts shown in the Statements of Operations, include net gains or losses
realized by a Portfolio on contracts which have matured or which the Portfolio
has terminated by entering into an offsetting commitment with the same broker.
FUTURES. All Portfolios other than Real Estate Securities, Investment Quality
Bond and Money Market may purchase and sell financial futures contracts and
options on those contracts. The Portfolios invest in contracts based on
financial instruments such as U.S. Treasury Bonds or Notes or on securities
indices such as the S&P 500 Index, in order to hedge against a decline in the
value of securities owned by the Portfolios.
When a Portfolio sells a futures contract based on a financial instrument, the
Portfolio becomes obligated to deliver that kind of instrument at an agreed upon
date for a specified price. The Portfolio realizes a gain or loss depending on
whether the price of an offsetting purchase is less or more than the price of
the initial sale or on whether the price of an offsetting sale is more or less
than the price of the initial purchase. The Portfolios 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 Portfolio is required to deposit with
a broker an amount, initial margin, which typically 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.
120
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- --------------------------------------------------------------------------------
SIGNIFICANT ACCOUNTING POLICIES, CONTINUED
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, are taken into account when determining the
Portfolio's net asset value starting on the day the Portfolio agrees to purchase
the securities. At December 31, 1996, forward commitments in Strategic Bond and
U.S. Government Securities were valued at $5,367,170 and $51,514,136,
respectively.
SECURITIES LENDING. The Portfolios may lend securities in amounts up to 33 1/3%
of its total non-cash assets to brokers, dealers and other financial
institutions, provided such loans are callable at any time and are at all times
fully secured by cash, cash equivalents or securities issued or guaranteed by
the U.S. government or its agencies or instrumentalities, marked to market to
the value of the loaned securities on a daily basis. The Portfolios may bear the
risk of delay in recovery of, or even of rights in, the securities loaned should
the borrower of the securities fail financially. Consequently, loans of
Portfolio securities will only be made to firms deemed by the subadvisers to be
creditworthy. The Portfolios receive compensation for lending its securities
either in the form of fees or by retaining a portion of interest on the
investment of any cash received as collateral. Income generated from the
investment of cash collateral is included as interest income in the Statement of
Operations. All collateral received will be in an amount equal to at least 100%
of the market value of the loaned securities and must be maintained at that
level during the period of the loan. During the loan period, the Portfolio
continues to retain rights of ownership, including dividends and interest of the
loaned securities.
At December 31, 1996, the value of the securities loaned amounted to
$80,418,097, $225,358,889, $96,802,117, $28,583,048, $33,732,779, $51,499,483,
$19,507,839, $33,484,082, $38,816,680, $42,690,947, $4,927,350, $7,971,172 and
$22,595,520 in Global Equity, Equity, Blue Chip Growth, International Growth and
Income, Growth and Income, Equity-Income, Aggressive, Moderate and Conservative
Asset Allocation, Strategic Bond, Global Government Bond, Investment Quality
Bond, and U.S. Government Securities, respectively. At December 31, 1996, the
value of collateral amounted to $85,030,850, $233,485,042, $101,257,904,
$30,027,976, $35,436,740, $53,719,644, $20,208,283, $34,655,898, $39,426,734,
$44,028,975, $5,050,000, $8,210,530 and $23,104,708 in Global Equity, Equity,
Blue Chip Growth, International Growth and Income, Growth and Income,
Equity-Income, Aggressive, Moderate and Conservative Asset Allocation, Strategic
Bond, Global Government Bond, Investment Quality Bond and U.S. Government
Securities, respectively.
MORTGAGE DOLLAR ROLLS. Strategic Bond and U.S. Government Securities may enter
into mortgage dollar rolls in which they sell mortgage securities for delivery
currently and simultaneously contract to repurchase similar, but not identical,
securities at the same price on an agreed upon date. The Portfolios receive
compensation as consideration for entering into the commitment to repurchase.
The compensation is recorded as deferred income and amortized to income over the
roll period. As the holder, the counterparty receives all principal and interest
payments, including prepayments, made with respect to the similar security.
Mortgage dollar rolls may be renewed with a new sale and repurchase price with a
cash settlement made at renewal without physical delivery of the securities
subject to the contract.
ORGANIZATION COSTS. Costs incurred by a Portfolio in connection with its
organization, initial registration and public offering of shares are being
amortized on a straight-line basis for Blue Chip Growth, International Growth
and Income, Growth and Income, Equity-Income and Strategic Bond over a five-year
period beginning with the commencement of operations of each Portfolio.
FEDERAL INCOME TAXES. The Trust's and Portfolios 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 Money
Market is declared as a dividend to shareholders of record as of the close of
business each day and is reinvested daily. During any particular year, net
realized gains from investment transactions of each Portfolio, in excess of
available capital loss carryforwards of each Portfolio would be taxable to such
Portfolio if not distributed. Therefore, each Portfolio of the Trust intends to
distribute all of its investment company taxable income and any net realized
capital gains in order to avoid federal income tax. The Portfolio's
distributions are based on income amounts determined in accordance with federal
income tax regulations. The character of distributions made during the year from
net investment income and net realized gains may differ for tax purposes due to
various differences in recording net investment income and realized gains for
financial statement and 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 at the
time the expense was incurred, except as discussed in footnote 6.
121
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
SIGNIFICANT ACCOUNTING POLICIES, CONTINUED
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 securities, the amount of which at the time
of purchase and each subsequent business day is required to be maintained at
such a level that the market value is 102% of the repurchase amount. Each
Portfolio will take constructive receipt of all securities underlying the
repurchase agreements it has entered into until such agreements expire. If the
seller defaults, a Portfolio would suffer a loss to the extent that proceeds
from the sale of underlying securities were less than the repurchase amount.
CAPITAL ACCOUNTS. The Portfolios report the undistributed net investment income
and accumulated undistributed net realized gain (loss) accounts on a basis
approximating amounts available for future tax distributions (or to offset
future taxable realized gains when a capital loss carryforward is available).
Accordingly, each Portfolio of the Trust may periodically make reclassifications
among certain capital accounts without impacting its net asset value.
<TABLE>
At December 31, 1996 certain of the Portfolios had made cumulative
reclassifications to the components of capital in the statement of net assets
and liabilities to conform with the accounting and reporting guidelines of the
Statement of Position 93-2 "Determination, Disclosure, and Financial Statement
Presentation of Income, Capital Gain, and Return of Capital Distributions by
Investment Companies". The following amounts represent the cumulative
reclassifications as of December 31, 1996:
<CAPTION>
ACCUMULATED
UNDISTRIBUTED UNDISTRIBUTED ADDITIONAL
NET REALIZED NET INVESTMENT PAID-IN
PORTFOLIO GAIN (LOSS) INCOME (LOSS) CAPITAL
- --------- ----------- ------------- -------
<S> <C> <C> <C>
Pacific Rim Emerging Markets $ 8,848 $ 20,251 $ (29,099)
Emerging Growth ............ 110,911 (20,183) (90,728)
International Stock ........ 22,581 12,116 (34,697)
Quantitative Equity ........ 43,432 -- (43,432)
Real Estate Securities ..... 166,348 (159,359) (6,989)
Balanced ................... (339,211) 123,690 215,521
Capital Growth Bond ........ 307,704 -- (307,704)
</TABLE>
Generally the reclassifications are attributable to the treatment of gains and
losses under IRC section 988. 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.
OTHER. Investment security transactions are accounted for on a trade date plus
one basis, except at reporting date. Interest income is accrued as earned.
Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Foreign dividends are recorded on the ex-date or as soon after
the ex-date that the Portfolio is aware of such dividends, net of all taxes. All
original issue discounts are accreted for financial and tax reporting purposes.
The Portfolios use the First In, First Out method for determining realized gain
or loss on investments for both financial and federal income tax reporting
purposes. The preparation of financial statements in conformity with GAAP
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the financial statements and
the reported amounts of income and expenses during the reporting period. Actual
results may differ from these estimates.
<TABLE>
3. CAPITAL LOSS CARRYFORWARDS. At December 31, 1996, capital loss carryforwards
available to offset future realized gains were approximately:
<CAPTION>
CAPITAL LOSS CARRYFORWARD
EXPIRATION YEAR
--------------------------------------
PORTFOLIO 2002 2003 2004
--------- ---- ---- ----
<S> <C> <C> <C>
International Small Cap ...... -- -- $ 426,000
Small/Mid Cap ................ -- -- 6,792,000
Growth ....................... -- -- 785,000
Capital Growth Bond .......... $ 751,000 -- 213,000
Investment Quality Bond ...... 3,559,000 -- --
U.S Government Securities .... 2,529,000 -- --
</TABLE>
122
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
<TABLE>
4. CAPITAL SHARES. Share activity for the Trust for the year ended December 31, 1996 was as follows:
<CAPTION>
SHARES PAR VALUE PAID-IN CAPITAL
------ --------- ---------------
<S> <C> <C> <C>
PACIFIC RIM EMERGING MARKETS (FORMERLY,
THE PACIFIC RIM EMERGING MARKETS FUND)
Outstanding at December 31, 1995 ................ 1,260,885 $ 12,607 $ 12,408,537
Sold .......................................... 987,628 9,876 10,860,788
Reinvestment of distributions ................. 87,931 879 957,727
Redeemed ...................................... (204,067) (2,041) (2,237,691)
---------- -------- ------------
Net increase ................................ 871,492 8,714 9,580,824
---------- -------- ------------
Outstanding at December 31, 1996 ................ 2,132,377 $ 21,321 $ 21,989,361
========== ======== ============
INTERNATIONAL SMALL CAP
Outstanding at March 4. 1996 (commencement
of operations) .................................. -- -- --
Sold .......................................... 7,584,332 $ 75,843 $ 98,594,932
Reinvestment of distributions ................. 26,214 262 356,244
Redeemed ...................................... (462,218) (4,622) (6,134,362)
---------- -------- ------------
Net increase ................................ 7,148,328 71,483 92,816,814
---------- -------- ------------
Outstanding at December 31, 1996 ................ 7,148,328 $ 71,483 $ 92,816,814
========== ======== ============
EMERGING GROWTH (FORMERLY,
THE EMERGING GROWTH EQUITY FUND)
Outstanding at December 31, 1995 ................ 7,030,732 $ 70,307 $131,337,491
Sold .......................................... 2,011,652 20,116 47,081,881
Reinvestment of distributions ................. 1,399,182 13,992 28,873,101
Redeemed ...................................... (1,145,441) (11,454) (26,211,573)
---------- -------- ------------
Net increase ................................ 2,265,393 22,654 49,743,409
---------- -------- ------------
Outstanding at December 31, 1996 ................ 9,296,125 $ 92,961 $181,080,900
========== ======== ============
SMALL/MID CAP
Outstanding at March 4, 1996 (commencement
of operations) .................................. -- -- --
Sold .......................................... 13,996,896 $139,989 $183,134,560
Redeemed ...................................... (833,171) (8,332) (10,811,721)
---------- -------- ------------
Net increase ................................ 13,163,725 131,657 172,322,839
---------- -------- ------------
Outstanding at December 31, 1996 ................ 13,163,725 $131,657 $172,322,839
========== ======== ============
INTERNATIONAL STOCK (FORMERLY,
THE INTERNATIONAL FUND)
Outstanding at December 31, 1995 ................ 1,785,480 $ 17,855 $ 17,912,802
Sold .......................................... 1,145,679 11,457 12,736,922
Reinvestment of distributions ................. 76,426 764 873,956
Redeemed ...................................... (116,972) (1,170) (1,298,007)
---------- -------- ------------
Net increase ................................ 1,105,133 11,051 12,312,871
---------- -------- ------------
Outstanding at December 31, 1996 ................ 2,890,613 $ 28,906 $ 30,225,673
========== ======== ============
GLOBAL EQUITY
Outstanding at December 31, 1995 ................ 40,249,612 $402,496 $593,754,557
Sold .......................................... 5,742,922 57,429 95,611,915
Reinvestment of distributions ................. 676,495 6,765 11,263,635
Redeemed ...................................... (5,929,052) (59,290) (97,570,497)
---------- -------- ------------
Net increase ................................ 490,365 4,904 9,305,053
---------- -------- ------------
Outstanding at December 31, 1996 ................ 40,739,977 $407,400 $603,059,610
========== ======== ============
GROWTH
Outstanding at July 15, 1996 (commencement
of operations) .................................. -- -- --
Sold .......................................... 4,351,868 $ 43,518 $ 58,189,000
Reinvestment of distributions ................. 25,961 260 356,191
Redeemed ...................................... (240,875) (2,408) (3,282,496)
---------- -------- ------------
Net increase ................................ 4,136,954 41,370 55,262,695
---------- -------- ------------
Outstanding at December 31, 1996 ................ 4,136,954 $ 41,370 $ 55,262,695
========== ======== ============
</TABLE>
123
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
<TABLE>
CAPITAL SHARES, CONTINUED
<CAPTION>
ADDITIONAL
SHARES PAR VALUE PAID-IN CAPITAL
------ --------- ---------------
<S> <C> <C> <C>
EQUITY
Outstanding at December 31, 1995 ................ 47,562,040 $475,620 $ 722,118,444
Sold .......................................... 16,006,152 160,062 338,817,244
Reinvestment of distributions ................. 5,184,123 51,841 103,008,528
Redeemed ...................................... (9,259,609) (92,596) (192,355,692)
---------- -------- -------------
Net increase ................................ 11,930,666 119,307 249,470,080
---------- -------- -------------
Outstanding at December 31, 1996 ................ 59,492,706 $594,927 $ 971,588,524
========== ======== =============
QUANTITATIVE EQUITY (FORMERLY,
THE COMMON STOCK FUND)
Outstanding at December 31, 1995 ................ 3,532,074 $ 35,321 $ 49,898,633
Sold .......................................... 1,409,487 14,095 26,118,895
Reinvestment of distributions ................. 783,122 7,831 13,850,262
Redeemed ...................................... (421,538) (4,215) (7,816,335)
---------- -------- -------------
Net increase ................................ 1,771,071 17,711 32,152,822
---------- -------- -------------
Outstanding at December 31, 1996 ................ 5,303,145 $ 53,032 $ 82,051,455
========== ======== =============
EQUITY INDEX (FORMERLY, THE EQUITY INDEX FUND)
Outstanding at February 14, 1996 (commencement
of operations) .................................. -- -- --
Sold .......................................... 1,006,398 $ 10,064 $ 10,662,304
Reinvestment of distributions ................. 50,790 508 542,436
Redeemed ...................................... (325,601) (3,256) (3,417,271)
---------- -------- -------------
Net increase ................................ 731,587 7,316 7,787,469
---------- -------- -------------
Outstanding at December 31, 1996 ................ 731,587 $ 7,316 $ 7,787,469
========== ======== =============
BLUE CHIP GROWTH (FORMERLY, PASADENA GROWTH)
Outstanding at December 31, 1995 ................ 24,363,208 $243,632 $ 236,648,941
Sold .......................................... 10,553,145 105,531 137,044,815
Reinvestment of distributions ................. 75,803 758 908,119
Redeemed ...................................... (5,454,064) (54,540) (69,917,816)
---------- -------- -------------
Net increase ................................ 5,174,884 51,749 68,035,118
---------- -------- -------------
Outstanding at December 31, 1996 ................ 29,538,092 $295,381 $ 304,684,059
========== ======== =============
REAL ESTATE SECURITIES (FORMERLY,
THE REAL ESTATE SECURITIES FUND)
Outstanding at December 31, 1995 ................ 3,472,861 $ 34,729 $ 47,599,399
Sold .......................................... 764,798 7,648 12,281,145
Reinvestment of distributions ................. 742,390 7,424 12,368,344
Redeemed ...................................... (482,962) (4,830) (7,683,034)
---------- -------- -------------
Net increase ................................ 1,024,226 10,242 16,966,455
---------- -------- -------------
Outstanding at December 31, 1996 ................ 4,497,087 $ 44,971 $ 64,565,854
========== ======== =============
INTERNATIONAL GROWTH AND INCOME
Outstanding at December 31, 1995 ................ 8,462,125 $ 84,621 $ 86,103,861
Sold .......................................... 11,548,633 115,487 126,744,111
Reinvestment of distributions ................. 18,869 189 203,218
Redeemed ...................................... (3,968,176) (39,682) (44,119,753)
---------- -------- -------------
Net increase ................................ 7,599,326 75,994 82,827,576
---------- -------- -------------
Outstanding at December 31, 1996 ................ 16,061,451 $160,615 $ 168,931,437
========== ======== =============
GROWTH AND INCOME
Outstanding at December 31, 1995 ................ 40,893,098 $408,931 $ 520,491,301
Sold .......................................... 12,559,557 125,596 218,551,440
Reinvestment of distributions ................. 1,669,649 16,696 27,432,320
Redeemed ...................................... (1,792,954) (17,930) (31,901,789)
---------- -------- -------------
Net increase ................................ 12,436,252 124,362 214,081,971
---------- -------- -------------
Outstanding at December 31, 1996 ................ 53,329,350 $533,293 $ 734,573,272
========== ======== =============
</TABLE>
124
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
<TABLE>
CAPITAL SHARES, CONTINUED
<CAPTION>
ADDITIONAL
SHARES PAR VALUE PAID-IN CAPITAL
------ --------- ---------------
EQUITY-INCOME (FORMERLY, VALUE EQUITY)
<S> <C> <C> <C>
Outstanding at December 31, 1995 ................ 28,733,585 $287,336 $335,774,131
Sold .......................................... 10,589,483 105,895 151,652,989
Reinvestment of distributions ................. 2,286,477 22,864 30,890,302
Redeemed ...................................... (2,705,402) (27,054) (38,514,830)
---------- -------- ------------
Net increase ................................ 10,170,558 101,705 144,028,461
---------- -------- ------------
Outstanding at December 31, 1996 ................ 38,904,143 $389,041 $479,802,592
========== ======== ============
BALANCED (FORMERLY, THE BALANCED ASSETS FUND)
Outstanding at December 31, 1995 ................ 6,457,180 $ 64,572 $ 94,270,836
Sold .......................................... 1,277,873 12,779 22,403,580
Reinvestment of distributions ................. 1,101,726 11,017 18,322,103
Redeemed ...................................... (620,324) (6,203) (10,897,857)
---------- -------- ------------
Net increase ................................ 1,759,275 17,593 29,827,826
---------- -------- ------------
Outstanding at December 31, 1996 ................ 8,216,455 $ 82,165 $124,098,662
========== ======== ============
AGGRESSIVE ASSET ALLOCATION
Outstanding at December 31, 1995 ................ 16,484,402 $164,844 $170,396,066
Sold .......................................... 1,234,265 12,343 15,606,109
Reinvestment of distributions ................. 1,313,016 13,130 15,992,541
Redeemed ...................................... (2,173,826) (21,738) (27,734,711)
---------- -------- ------------
Net increase ................................ 373,455 3,735 3,863,939
---------- -------- ------------
Outstanding at December 31, 1996 ................ 16,857,857 $168,579 $174,260,005
========== ======== ============
MODERATE ASSET ALLOCATION
Outstanding at December 31, 1995 ................ 52,461,719 $524,617 $537,511,622
Sold .......................................... 867,810 8,678 10,463,060
Reinvestment of distributions ................. 4,610,851 46,108 52,840,339
Redeemed ...................................... (7,919,021) (79,190) (95,541,898)
---------- -------- ------------
Net decrease ................................ (2,440,360) (24,404) (32,238,499)
---------- -------- ------------
Outstanding at December 31, 1996 ................ 50,021,359 $500,213 $505,273,123
========== ======== ============
CONSERVATIVE ASSET ALLOCATION
Outstanding at December 31, 1995 ................ 19,363,198 $193,632 $195,863,914
Sold .......................................... 1,172,502 11,725 13,171,504
Reinvestment of distributions ................. 1,254,803 12,548 13,614,613
Redeemed ...................................... (3,882,544) (38,825) (43,865,365)
---------- -------- ------------
Net decrease ................................ (1,455,239) (14,552) (17,079,248)
---------- -------- ------------
Outstanding at December 31, 1996 ................ 17,907,959 $179,080 $178,784,666
========== ======== ============
STRATEGIC BOND
Outstanding at December 31, 1995 ................ 10,898,515 $108,985 $113,623,290
Sold .......................................... 9,197,190 91,972 104,901,443
Reinvestment of distributions ................. 1,002,998 10,030 10,611,716
Redeemed ...................................... (2,569,473) (25,695) (29,376,743)
---------- -------- ------------
Net increase ................................ 7,630,715 76,307 86,136,416
---------- -------- ------------
Outstanding at December 31, 1996 ................ 18,529,230 $185,292 $199,759,706
========== ======== ============
GLOBAL GOVERNMENT BOND
Outstanding at December 31, 1995 ................ 16,160,125 $161,601 $210,010,541
Sold .......................................... 2,067,512 20,675 29,148,975
Reinvestment of distributions ................. 1,595,655 15,957 21,046,683
Redeemed ...................................... (3,137,694) (31,377) (44,524,703)
---------- -------- ------------
Net increase ................................ 525,473 5,255 5,670,955
---------- -------- ------------
Outstanding at December 31, 1996 ................ 16,685,598 $166,856 $215,681,496
========== ======== ============
</TABLE>
125
<PAGE> 156
<TABLE>
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- ---------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARES, CONTINUED
<CAPTION>
ADDITIONAL
SHARES PAR VALUE PAID-IN CAPITAL
---------- --------- ---------------
<S> <C> <C> <C>
CAPITAL GROWTH BOND (FORMERLY,
THE CAPITAL GROWTH BOND FUND)
Outstanding at December 31, 1995 .............. 3,779,382 $ 37,794 $ 41,701,743
Sold ......................................... 1,073,078 10,731 11,916,627
Reinvestment of distributions ................ 242,016 2,420 2,635,591
Redeemed ...................................... (929,398) (9,294) (10,294,795)
---------- -------- ------------
Net increase ................................ 385,696 3,857 4,257,423
---------- -------- ------------
Outstanding at December 31, 1996 .............. 4,165,078 $ 41,651 $ 45,959,166
========== ======== ============
INVESTMENT QUALITY BOND
Outstanding at December 31, 1995 .............. 11,618,055 $116,180 $131,059,924
Sold ......................................... 3,547,279 35,473 41,355,613
Reinvestment of distributions ................ 756,988 7,570 8,470,692
Redeemed ..................................... (3,056,220) (30,562) (35,488,653)
---------- -------- ------------
Net increase ................................ 1,248,047 12,481 14,337,652
---------- -------- ------------
Outstanding at December 31, 1996 .............. 12,868,102 $128,661 $145,397,576
========== ======== ============
U.S. GOVERNMENT SECURITIES
Outstanding at December 31, 1995 .............. 15,880,625 $158,806 $201,684,401
Sold ......................................... 3,666,316 36,663 48,497,806
Reinvestment of distributions ................ 1,019,677 10,197 12,837,734
Redeemed ..................................... (5,249,702) (52,497) (67,750,381)
---------- -------- ------------
Net decrease ................................ (563,709) (5,637) (6,414,841)
---------- -------- ------------
Outstanding at December 31, 1996 .............. 15,316,916 $153,169 $195,269,560
========== -------- ============
MONEY MARKET
Outstanding at December 31, 1995 .................25,811,696 $258,117 $257,858,846
Sold ............................................49,015,061 490,151 489,660,463
Reinvestment of distributions ...... .............1,564,567 15,646 15,630,028
Redeemed .......................................(44,607,903) (446,079) (445,632,964)
Merger ...........................................4,573,159 45,731 45,685,858
---------- -------- ------------
Net increase .................................. 10,544,884 105,449 105,343,385
---------- -------- ------------
Outstanding at December 31, 1996 .................36,356,580 $363,566 $363,202,231
========== ======== ============
</TABLE>
<TABLE>
5. PURCHASES AND SALES OF SECURITIES. The following summarizes the
securities transactions (except for short-term investments) for the Portfolios
(with the exception of Money Market) for the year ended December 31, 1996:
<CAPTION>
PURCHASES SALES
-------------------------------- -----------------------------------
PORTFOLIO U.S. GOVERNMENT OTHER ISSUES U.S. GOVERNMENT OTHER ISSUES
- ------------- --------------- ------------ --------------- ------------
<S> <C> <C> <C> <C>
Pacific Rim Emerging Markets .......... --- $ 16,935,235 --- $ 8,121,771
International Small Cap*. ............. --- 91,732,099 --- 18,862,445
Emerging Growth ....................... --- 280,175,526 --- 355,205,822
Small/Mid Cap*. ....................... --- 212,011,208 --- 49,074,833
International Stock ................... --- 19,797,043 --- 9,627,567
Global Equity ......................... --- 1,111,109,851 --- 1,119,208,333
Growth**. ............................. --- 67,064,040 --- 23,048,197
Equity ................................ --- 2,650,175,079 --- 2,424,413,904
Quantitative Equity ................... --- 90,902,580 --- 74,015,913
Equity Index***. ...................... --- 358,514 --- 30,389
Blue Chip Growth ...................... --- 574,288,733 --- 522,888,437
Real Estate Securities ................ --- 136,126,477 --- 127,892,525
International Growth and Income........ --- 272,138,351 --- 192,067,283
Growth and Income ..................... --- 587,463,298 --- 401,650,210
Equity-Income ......................... --- 817,529,881 --- 707,322,554
</TABLE>
126
<PAGE> 157
<TABLE>
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------------------------------------------------------
PURCHASES AND SALES OF SECURITIES, CONTINUED
<CAPTION>
PURCHASES SALES
------------------------------------ -------------------------------------
PORTFOLIO U.S. GOVERNMENT OTHER ISSUES U.S. GOVERNMENT OTHER ISSUES
- --------- --------------- ------------ --------------- ------------
<S> <C> <C> <C> <C>
Balanced .............................. $ 17,680,702 $ 92,610,578 $ 17,918,229 $ 73,039,510
Aggressive Asset Allocation ........... 31,494,896 123,842,671 20,953,336 135,620,463
Moderate Asset Allocation ............. 195,940,691 275,133,399 189,566,130 321,627,350
Conservative Asset Allocation ......... 96,204,380 44,671,656 27,229,172 125,165,581
Strategic Bond ........................ 153,632,193 237,320,805 108,989,366 192,464,339
Global Government Bond ................ 4,957,031 369,911,313 16,791,720 362,402,450
Capital Growth Bond ................... 13,897,131 9,972,650 13,568,478 8,951,669
Investment Quality Bond ............... 85,885,573 29,534,842 73,299,689 24,332,116
U.S. Government Securities ............ 970,464,961 --- 984,488,544 2,122,714
<FN>
* For the period March 4, 1996 (commencement of operations) to December 31, 1996.
** For the period July 15, 1996 (commencement of operations) to December 31, 1996.
*** For the period February 14, 1996 (commencement of operations) to December 31, 1996.
</TABLE>
Purchases and sales for Money Market for the year ended December 31, 1996 were
$4,507,852,450 and $4,470,747,126, respectively.
At December 31, 1996, 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 TAX BASIS TAX BASIS
TAX BASIS UNREALIZED UNREALIZED UNREALIZED
PORTFOLIO COST APPRECIATION APPRECIATION DEPRECIATION
--------- -------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Pacific Rim Emerging Markets .......... $ 20,934,924 $ 1,235,888 $ 2,978,676 $ 1,742,788
International Small Cap ............... 92,152,546 4,760,029 7,897,401 3,137,372
Emerging Growth ....................... 181,121,918 10,428,476 16,424,223 5,995,747
Small/Mid Cap ......................... 165,636,602 10,414,047 16,486,741 6,072,694
International Stock .................. 28,794,482 2,891,838 4,484,496 1,592,658
Global Equity ......................... 656,189,498 50,717,358 63,435,680 12,718,322
Growth ................................ 55,462,536 2,285,703 3,232,367 946,664
Equity ................................ 1,244,721,397 115,323,208 138,570,081 23,246,873
Quantitative Equity ................... 81,581,654 9,838,642 11,656,588 1,817,946
Equity Index .......................... 7,938,855 22,745 22,745 ---
Blue Chip Growth ...................... 385,149,606 40,134,261 44,866,611 4,732,350
Real Estate Securities ................ 64,181,126 11,635,350 11,635,350 ---
International Growth and Income ....... 173,634,241 7,892,194 15,355,470 7,463,276
Growth and Income ..................... 817,343,903 219,209,888 231,759,218 12,549,330
Equity-Income ......................... 570,381,493 29,813,519 35,490,892 5,677,373
Balanced .............................. 123,383,246 10,410,194 12,423,155 2,012,961
Aggressive Asset Allocation ........... 194,761,420 29,685,409 35,172,620 5,487,211
Moderate Asset Allocation ............. 559,141,659 57,815,436 68,288,424 10,472,988
Conservative Asset Allocation ......... 193,715,374 11,312,046 13,940,298 2,628,252
Strategic Bond ........................ 241,762,884 5,292,610 7,756,788 2,464,178
Global Government Bond ................ 231,107,643 13,578,622 14,124,129 545,507
Capital Growth Bond ................... 43,691,754 663,973 963,850 299,877
Investment Quality Bond ............... 149,534,258 637,178 1,732,217 1,095,039
U.S Government Securities ............. 254,471,481 39,444 958,090 918,646
</TABLE>
127
<PAGE> 158
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
<TABLE>
PURCHASES AND SALES OF SECURITIES, CONTINUED
The following is a summary of futures contracts activity for the year ended
December 31, 1996:
<CAPTION>
SALES OF FUTURES CONTRACTS PURCHASES OF FUTURES CONTRACTS
------------------------------------------ -----------------------------------------
AGGREGATE AGGREGATE UNREALIZED
NUMBER OF FACE VALUE OF UNREALIZED NUMBER OF FACE VALUE OF GAIN
CONTRACTS CONTRACTS LOSS CONTRACTS CONTRACTS (LOSS)
--------- ------------- ---------- --------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
EQUITY INDEX:
S&P 500 FUTURES:
Outstanding at February 14, 1996
(commencement of operations) ......... ---- ---- ---- ----
Contracts opened ..................... ---- ---- 21 $ 5,250,000
Contracts closed ..................... ---- ---- (16) (4,000,000)
---- ---- ---- -----------
Outstanding at December 31, 1996 ...... ---- ---- 5 $ 1,250,000 $266,875
==== ==== ==== =========== ========
AGGRESSIVE ASSET ALLOCATION:
S&P 500 FUTURES:
Outstanding at December 31, 1995 ...... 19 $ 4,750,000 ---- ----
Contracts opened ..................... 87 21,750,000 ---- ----
Contracts closed ..................... (87) (21,750,000) ---- ----
---- ------------
Outstanding at December 31, 1996 ...... 19 $ 4,750,000 ($62,377) ---- ----
==== ============ ======== ==== ====
CAC 40 FUTURES:
Outstanding at December 31, 1995 ...... ---- ---- 13 FRF 104,000
Contracts opened ..................... ---- ---- 33 264,000
Contracts closed ..................... ---- ---- (40) (320,000)
--- --------
Outstanding at December 31, 1996 ...... ---- ---- 6 FRF 48,000 $ 24,274
==== ==== === ======== ========
DAX 30 FUTURES:
Outstanding at December 31, 1995 ...... ---- ---- 8 DEM 24,000
Contracts opened ..................... ---- ---- 17 51,000
Contracts closed ..................... ---- ---- (22) (66,000)
--- -------
Outstanding at December 31, 1996 ...... ---- ---- 3 DEM 9,000 $ 12,605
==== ==== === ======= ========
FTSE 100 FUTURES:
Outstanding at December 31, 1995 ...... ---- ---- 9 (POUND) 22,500
Contracts opened ..................... ---- ---- 19 47,500
Contracts closed ..................... ---- ---- (25) (62,500)
--- -------
Outstanding at December 31, 1996 ...... ---- ---- 3 (POUND) 7,500 $ 17,609
==== ==== === ======= ========
NIKKEI 300 FUTURES:
Outstanding at December 31, 1995 ...... ---- ---- 103 (YEN) 1,030,000
Contracts opened ..................... ---- ---- 231 2,310,000
Contracts closed ..................... ---- ---- (294) (2,940,000)
---- ----------
Outstanding at December 31, 1996 ...... ---- ---- 40 (YEN) 400,000 ($36,185)
==== ==== ==== ========== ========
MODERATE ASSET ALLOCATION:
S&P 500 FUTURES:
Outstanding at December 31, 1995 ...... 41 $ 10,250,000 ---- ----
Contracts opened ..................... 179 26,250,000 ---- ----
Contracts closed ..................... (183) (27,250,000) ---- ----
---- ------------
Outstanding at December 31, 1996 ...... 37 $ 9,250,000 ($121,471) ---- ----
==== ============ ========= ==== ====
</TABLE>
128
<PAGE> 159
<TABLE>
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- ------------------------------------------------------------------------------------------------------------------------------------
PURCHASES AND SALES OF SECURITIES, CONTINUED
<CAPTION>
SALES OF FUTURES CONTRACTS PURCHASES OF FUTURES CONTRACTS
------------------------------------------ -----------------------------------------
NUMBER AGGREGATE AGGREGATE UNREALIZED
OF FACE VALUE OF UNREALIZED NUMBER OF FACE VALUE OF GAIN
CONTRACTS CONTRACTS LOSS CONTRACTS CONTRACTS (LOSS)
--------- ------------- ---------- --------- ------------- ----------
MODERATE ASSET ALLOCATION - CONTINUED
<S> <C> <C> <C> <C> <C> <C>
CAC 40 FUTURES:
Outstanding at December 31, 1995 ...... ---- ---- 28 FRF 224,000
Contracts opened ..................... ---- ---- 37 296,000
Contracts closed ..................... ---- ---- (64) (512,000)
---- ----------
Outstanding at December 31, 1996 ...... ---- ---- 1 FRF 8,000 $4,046
==== ==== ==== ========== ======
DAX 30 FUTURES:
Outstanding at December 31, 1995 ...... ---- ---- 16 DEM 48,000
Contracts opened ..................... ---- ---- 19 57,000
Contracts closed ..................... ---- ---- (35) (105,000)
---- ----------
Outstanding at December 31, 1996 ...... ---- ---- ---- DEM ----
==== ==== ==== ==========
FTSE 100 FUTURES:
Outstanding at December 31, 1995 ...... ---- ---- 17 (POUND) 42,500
Contracts opened ..................... ---- ---- 22 55,000
Contracts closed ..................... ---- ---- (38) (95,000)
--- ----------
Outstanding at December 31, 1996 ...... ---- ---- 1 (POUND) 2,500 $5,869
==== ==== === ========== ======
NIKKEI 300 FUTURES:
Outstanding at December 31, 1995 ...... ---- ---- 209 (YEN) 2,090,000
Contracts opened ..................... ---- ---- 264 2,640,000
Contracts closed ..................... ---- ---- (466) (4,660,000)
---- ----------
Outstanding at December 31, 1996 ...... ---- ---- 7 (YEN) 70,000 ($6,332)
==== ==== ==== ========== ======
CONSERVATIVE ASSET ALLOCATION:
S&P 500 FUTURES:
Outstanding at December 31, 1995 ...... 6 $1,500,000 ---- ----
Contracts opened ..................... 29 7,250,000 ---- ----
Contracts closed ..................... (29) (7,250,000) ---- ----
--- ----------
Outstanding at December 31, 1996 ...... 6 $1,500,000 ($19,698) ---- ----
=== ========== ======== ==== ====
CAC 40 FUTURES:
Outstanding at December 31, 1995 ...... ---- ---- 4 FRF 32,000
Contracts opened ..................... ---- ---- 4 32,000
Contracts closed ..................... ---- ---- (8) (64,000)
---- ----------
Outstanding at December 31, 1996 ...... ---- ---- ---- FRF ----
==== ==== ==== ==========
DAX 30 FUTURES:
Outstanding at December 31, 1995 ...... ---- ---- 2 DEM 6,000
Contracts opened ..................... ---- ---- 2 6,000
Contracts closed ..................... ---- ---- (4) (12,000)
---- ----------
Outstanding at December 31, 1996....... ---- ---- ---- DEM ----
==== ==== ==== ==========
FTSE 100 FUTURES:
Outstanding at December 31, 1995 ...... ---- ---- 3 (POUND) 7,500
Contracts opened ..................... ---- ---- 6 15,000
Contracts closed ..................... ---- ---- (8) (20,000)
---- ----------
Outstanding at December 31, 1996 ...... ---- ---- 1 (POUND) 2,500 $5,870
==== ==== ==== ========== ======
NIKKEI 300 FUTURES:
Outstanding at December 31, 1995 ...... ---- ---- 37 (YEN) 370,000
Contracts opened ..................... ---- ---- 52 520,000
Contracts closed ..................... ---- ---- (84) (840,000)
---- ----------
Outstanding at December 31, 1996 ...... ---- ---- 5 (YEN) 50,000 ($4,523)
==== ==== ==== ========== ======
</TABLE>
129
<PAGE> 160
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
6. INVESTMENT ADVISORY AGREEMENTS. Effective March 20, 1987, the Trust entered
into an Investment Advisory Agreement with NASL Financial (the "Adviser"), a
wholly-owned subsidiary of Security Life and the principal underwriter of the
variable annuity contracts issued by Security Life, First North American and
Manulife America. 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 daily net assets of each Portfolio. Advisory fees
charged to each Portfolio were as follows:
<TABLE>
<CAPTION>
PORTFOLIO PERIOD ENDED EFFECTIVE
DECEMBER 31, 1996 JANUARY 1, 1997
- ---------------- ----------------- ---------------
<S> <C> <C>
Pacific Rim Emerging Markets ................................... .850% .850%
International Small Cap*. ...................................... 1.100% 1.100%
Emerging Growth ................................................ .500% 1.050%
Small/Mid Cap*. ................................................ 1.000% 1.000%
International Stock ............................................ .850% 1.050%
Global Equity .................................................. .900% .900%
Growth**. ...................................................... .850% .850%
Equity ......................................................... .750% .750%
Quantitative Equity ............................................ .500% .700%
Equity Index***. ............................................... .250% .250%
Blue Chip Growth ............................................... .975% .925%
Real Estate Securities ......................................... .500% .700%
International Growth and Income ................................ .950% .950%
Growth and Income .............................................. .750% .750%
Equity-Income .................................................. .800% .800%
Balanced ....................................................... .500% .800%
Aggressive Asset Allocation .................................... .750% .750%
Moderate Asset Allocation ...................................... .750% .750%
Conservative Asset Allocation .................................. .750% .750%
Strategic Bond ................................................. .775% .775%
Global Government Bond ......................................... .800% .800%
Capital Growth Bond ............................................ .500% .650%
Investment Quality Bond ........................................ .650% .650%
U.S. Government Securities ..................................... .650% .650%
Money Market ................................................... .500% .500%
<FN>
* For the period March 4, 1996 (commencement of operations) to December 31,
1996.
** For the period July 15, 1996 (commencement of operations) to December
31, 1996.
*** For the period February 14, 1996 (commencement of operations) to
December 31, 1996.
</TABLE>
During the year ended December 31, 1996, and for prior periods, MAC was
compensated for investment management and certain other services at an annual
rate of 0.50% of the average daily net assets for Emerging Growth, Quantitative
Equity, Real Estate Securities, Balanced and Capital Growth Bond, and 0.25% for
Equity Index. For Pacific Rim and International Stock, MAC was compensated for
investment management at an annual rate of 0.85% of average daily net assets,
and 0.65% and 0.50%, respectively, of average daily net assets for certain other
expenses.
EXPENSE REIMBURSEMENT. Pursuant to the Advisory Agreement, the Adviser
reimburses the Trust for expenses (excluding advisory fees, taxes, portfolio
brokerage commissions and interest) incurred in excess of 0.50% of the average
daily net assets of each portfolio, respectively, on an annualized basis in
Emerging Growth, Small/Mid Cap, Growth, Equity, Quantitative Equity, Equity
Index, Blue Chip Growth, Real Estate Securities, Growth and Income,
Equity-Income, Balanced, Aggressive, Moderate and Conservative Asset Allocation,
Strategic Bond, Capital Growth Bond, Investment Quality Bond, U.S. Government
Securities and Money Market and 0.75% in Pacific Rim Emerging Markets,
International Small Cap, International Stock, Global Equity, International
Growth and Income and Global Government Bond. There were no expenses reimbursed
by the Adviser for the year ended December 31, 1996 except as noted below. The
previous Subadviser to Blue Chip Growth, Roger Engemann Management Co., Inc.
("Engemann") had agreed to reimburse "other expenses" of Blue Chip Growth up to
a maximum on an annual basis of .15% of average daily net assets. For the period
January 1, 1996 to September 30, 1996, Engemann reimbursed .041% of all "other
expenses". For the period October 1, 1996 to December 31, 1996, the Adviser
voluntarily agreed to reimburse other expenses of Blue Chip Growth in excess of
.05% of average daily net assets. For the period October 1, 1996 to December 31,
1996, the Adviser reimbursed .004% of all "other expenses" in excess of .05%.
130
<PAGE> 161
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
7. TRUSTEES' FEES. The Trust pays each Trustee who is not an employee or
director of the Adviser or its affiliates a fee of $5,500 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
$21,000.
8. COMMITMENTS. At December 31, 1996, International Small Cap, International
Stock, Global Equity, International Growth and Income, Strategic Bond and Global
Government Bond 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, 1996 were as follows:
<TABLE>
NET
UNREALIZED
<CAPTION> CONTRACTS IN EXCHANGE SETTLEMENT APPRECIATION
TO DELIVER FOR DATE VALUE (DEPRECIATION)
---------- --------- ------- -------- -------------
<S> <C> <C> <C> <C> <C>
INTERNATIONAL SMALL CAP:
PURCHASES
$ 25,239 FIM 117,110 1/02/97 $ 25,459 $ 220
231,291 (POUND) 138,076 1/02/97 236,553 5,262
31,343 FIM 145,620 1/03/97 31,657 314
13,566 HKD 104,931 1/03/97 13,566 ---
10,930 (YEN) 1,252,785 1/06/97 10,817 (113)
78,555 (POUND) 46,441 1/07/97 79,563 1,008
18,205 (YEN) 2,100,892 1/07/97 18,141 (64)
-------- -------- ------
$409,129 $415,756 $6,627
======== ======== ======
INTERNATIONAL STOCK:
SALES
Thailand Baht ................... 9,300 $362 1/02/97 $363 $ (1)
==== ==== ----
PURCHASES
$362 SGD 507 1/02/97 $362 $----
==== ==== -----
$ (1)
=====
GLOBAL EQUITY:
SALES
French Franc .................... 185,000,000 $36,222,662 12/03/97 $36,443,938 $(221,276)
=========== =========== =========
INTERNATIONAL GROWTH AND INCOME:
SALES
German Deutschemark ............ 12,013,466 $ 7,996,472 2/20/97 $ 7,832,445 $164,027
Spanish Peseta ................. 433,197,142 3,416,381 2/20/97 3,332,630 83,751
French Franc ................... 22,166,306 4,380,693 2/20/97 4,284,642 96,051
Hong Kong Dollar ............... 14,621,909 1,890,775 2/20/97 1,890,605 170
Italian Lira ................... 3,702,236,380 2,434,240 2/20/97 2,434,264 (24)
Japanese Yen ................... 1,157,679,072 10,425,231 2/20/97 10,067,052 358,179
----------- ----------- --------
$30,543,792 $29,541,636 $702,154
=========== =========== --------
PURCHASES
$1,790,000 DEM 2,666,098 2/20/97 $1,738,221 $ (51,779)
5,415,000 (POUND) 608,840,030 2/20/97 5,294,407 (120,593)
---------- ---------- ---------
$7,205,000 $7,032,626 $(172,372)
========== ========== ---------
$ 529,782
=========
</TABLE>
131
<PAGE> 162
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
Australian Dollar............... 309,222 $ 244,285 1/22/97 $ 245,707 $ (1,422)
Canadian Dollar................. 11,313,073 8,448,935 1/22/97 8,274,236 174,699
German Deutschemark............. 29,094,305 19,136,469 1/22/97 18,935,256 201,213
Danish Krone.................... 10,810,470 1,858,427 1/22/97 1,837,352 21,075
Irish Punt...................... 8,432,883 13,768,873 1/22/97 14,288,541 (519,668)
New Zealand Dollar.............. 8,602,822 6,074,237 1/22/97 6,073,204 1,033
----------- ----------- ---------
$49,531,226 $49,654,295 $(123,070)
=========== =========== =========
PURCHASES
$19,278,902 DEM 29,020,706 1/22/97 $18,887,356 $(391,546)
455,220 DKK 2,708,559 1/22/97 460,348 5,128
11,037,453 IEP 6,684,913 1/22/97 11,326,809 289,356
6,050,365 NZD 8,602,823 1/22/97 6,073,205 22,840
----------- ----------- ---------
$36,821,940 $36,747,718 $ (74,222)
=========== =========== ---------
$(197,293)
=========
GLOBAL GOVERNMENT BOND:
SALES
New Zealand Dollar.............. 11,683,949 $ 8,000,000 4/17/97 $ 8,210,700 $(210,700)
Swedish Krone................... 93,225,300 14,000,000 5/27/97 13,761,327 238,673
----------- ----------- ---------
$22,000,000 $21,972,027 $ 27,973
=========== =========== =========
PURCHASES
$ 8,098,013 NZD 11,683,949 4/17/97 $ 8,210,700 $ 112,687
7,065,057 SEK 48,000,000 5/27/97 7,085,455 20,398
----------- ----------- ---------
$15,163,070 $15,296,155 $ 133,085
=========== =========== ---------
$ 161,058
=========
</TABLE>
9. REORGANIZATION. On September 7, 1995, North American Life announced plans to
"amalgamate" with The Manufacturers Life Insurance company ("Manulife"). An
amalgamation is the exclusive method of combining federally chartered mutual
life insurers under the applicable Insurance Companies Act (Canada).
The amalgamation required and received the approval of the Superintendent of
Financial Institutions in Canada, certain US regulatory approvals and the
approval of the policyholders of both mutual companies. The amalgamation of
North American Life and Manulife became effective as of January 1, 1996.
The surviving company will conduct business under the "The Manufacturers Life
Insurance Company."
Effective January 1, 1996, immediately following the amalgamation, Security Life
experienced a corporate restructuring which resulted in the formation of a newly
organized holding company, NAWL Holding Company, Inc. ("NAWL"). NAWL holds all
of the outstanding shares of Security Life and Wood Logan Associates, Inc.
("WLA"). WLA is a broker-dealer registered with the Securities and Exchange
Commission and is a member of the National Association of Securities Dealers,
Inc. WLA acts as the promotional agent for distribution of the Trust.
Manulife owns all of the class A shares of NAWL, representing 85% of the voting
shares of NAWL. Certain employees of WLA own all of the class B shares, which
represent the remaining 15% voting interest in NAWL.
132
<PAGE> 163
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
REORGANIZATION, CONTINUED
On December 20, 1996, the shareholders of the Manulife Series Fund, Inc. (MSF),
a registered management investment company with nine portfolios voted to approve
an Agreement and Plan of Reorganization (the "Reorganization") effective
December 31, 1996 between MSF on behalf of its portfolios and comparable
portfolios of the Trust. The agreement provided for the tax free transfer of all
assets and liabilities of each MSF portfolio to the corresponding Trust
portfolio in exchange solely for shares of beneficial interest, par value of
$0.01 per share of such Trust portfolio and the distribution of such Trust
portfolio shares to the shareholders of such MSF portfolio in liquidation of
such MSF portfolio. Costs of the merger were borne by Manulife and NASL
Financial. The MSF portfolios and the corresponding Trust Portfolios were as
follows:
<TABLE>
<CAPTION>
MSF PORTFOLIOS CORRESPONDING TRUST PORTFOLIOS
------------------ ----------------------------------
<S> <C>
Money-Market Fund Money Market Trust
International Fund International Stock Trust (a newly organized Trust shell portfolio)
Emerging Growth Equity Fund Emerging Growth Trust (a newly organized Trust shell portfolio)
Balanced Assets Fund Balanced Trust (a newly organized Trust shell portfolio)
Common Stock Fund Quantitative Equity Trust (a newly organized Trust shell portfolio)
Pacific Rim Emerging Markets Fund Pacific Rim Emerging Markets Trust (a newly organized Trust shell portfolio)
Real Estate Securities Fund Real Estate Securities Trust (a newly organized Trust shell portfolio)
Capital Growth Bond Fund Capital Growth Bond Trust (a newly organized Trust shell portfolio)
Equity Index Fund Equity Index Trust (a newly organized Trust shell portfolio)
</TABLE>
The total value of all shares of each Trust portfolio issued in the
Reorganization equaled the total value of the net assets of the corresponding
MSF portfolio being acquired by such Trust portfolio. The MSF Money-Market Fund
was merged into Money Market with the resulting activity as follows:
<TABLE>
<CAPTION>
PORTFOLIO SHARES TOTAL NET ASSETS NET ASSET VALUE
- ------------ ------------- ---------------- ---------------
<S> <C> <C> <C>
MSF Money-Market Fund
at December 31, 1996 ....................... 4,364,278 $ 45,731,589 $10.48
NASL Series Trust
Money Market Trust
at December 31, 1996 ....................... 31,783,421 $317,834,208 $10.00
Money Market Trust
after reorganization
on December 31, 1996 ....................... 36,356,580 $363,565,797 $10.00
</TABLE>
133
