<PAGE> 1
NASL SERIES TRUST
PRESIDENT'S MESSAGE
- -------------------------------------------------------------------------------
August 22, 1997
Dear Fellow Contract Owners:
It is once again my pleasure to address you and to present the semiannual
financial statements of NASL Series Trust (the "Trust"), the mutual fund in
which your contract values are invested. The financial statements that follow
reflect the results of operations for the six months ended June 30, 1997.
The past six months have been a terrific period for the domestic equity and bond
markets and for the Trust. The U.S. equity markets continue to set all-time
records, including share volume, volatility and absolute market results,
providing excellent returns for shareholders. This ongoing market volatility and
performance reinforces our belief that long-term investors will fare best with a
diversified investment program reviewed periodically with a professional
financial adviser. The Trust, with our many investment options and multiple
managers specializing in our investment disciplines, is designed to offer you
the opportunity to craft such a diversified investment program. During the first
half of 1997, total net assets of the Trust grew from $6.90 billion on December
31, 1996 to $8.97 billion on June 30, 1997, representing a 30% increase.
During the first quarter of 1997, we introduced a new investment program based
on Markowitz's Nobel Prize winning Efficient Frontier theory. Applying this
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. As part of this initiative, on January 1, 1997, we added new
money management firms and funds including: Science & Technology managed by T.
Rowe Price Associates, Inc., Emerging Growth managed by Warburg Pincus
Councellors, Inc., Pilgrim Baxter Growth managed by Pilgrim Baxter & Associates,
International Stock managed by Rowe-Price Fleming International, Inc., Value and
High Yield managed by Miller Anderson & Sherrerd, LLP and Worldwide Growth and
Balanced managed by Founders Asset Management, Inc. In addition to these new
funds and money managers, we also made available five Lifestyle funds managed by
Manufacturers Adviser Corporation. These are "Fund of Funds" which are
investments into a combination of our fund offerings and are designed to provide
you with optimal asset allocation in line with your personal objectives and
attitudes about risk and asset preferences. The funds include: Lifestyle
Aggressive 1000, Lifestyle Growth 820, Lifestyle Balanced 640, Lifestyle
Moderate 460 and Lifestyle Conservative 280. Please contact your professional
investment adviser to better understand these offerings and how they may
compliment your personal portfolio and availability within your contract.
The Trust is one of a group of financial service companies that operates under
the brand name Manulife Financial. To better affiliate the Trust with the
Manulife Financial brand name, your Board of Trustees has approved a change in
the Trust name to Manufacturers Investment Trust effective October 1, 1997. This
change of name requires no action on your part and represents no change to
either the personnel or operation of the Trust.
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 that our first-rate investment management team will 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 SEMI-ANNUAL REPORT
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Page
----
<S> <C>
Statements of Assets and Liabilities................................................................... 1
Statements of Operations............................................................................... 8
Statements of Changes in Net Assets.................................................................... 15
Financial Highlights................................................................................... 26
Portfolio of Investments:
Pacific Rim Emerging Markets Trust................................................................ 61
Science & Technology Trust........................................................................ 65
International Small Cap Trust..................................................................... 66
Emerging Growth Trust............................................................................. 67
Pilgrim Baxter Growth Trust....................................................................... 69
Small/Mid Cap Trust............................................................................... 70
International Stock Trust......................................................................... 72
Worldwide Growth Trust............................................................................ 76
Global Equity Trust............................................................................... 78
Growth Trust...................................................................................... 80
Equity Trust...................................................................................... 81
Quantitative Equity Trust......................................................................... 83
Equity Index Trust................................................................................ 86
Blue Chip Growth Trust............................................................................ 86
Real Estate Securities Trust...................................................................... 89
Value Trust....................................................................................... 90
International Growth and Income Trust............................................................. 91
Growth and Income Trust........................................................................... 95
Equity-Income Trust............................................................................... 97
Balanced Trust.................................................................................... 99
Aggressive, Moderate and Conservative Asset Allocation Trusts .................................... 102
High Yield Trust.................................................................................. 128
Strategic Bond Trust.............................................................................. 130
Global Government Bond Trust...................................................................... 134
Capital Growth Bond Trust......................................................................... 135
Investment Quality Bond Trust..................................................................... 136
U.S. Government Securities Trust.................................................................. 139
Money Market Trust................................................................................ 140
Lifestyle Aggressive 1000 Trust................................................................... 141
Lifestyle Growth 820 Trust........................................................................ 141
Lifestyle Balanced 640 Trust...................................................................... 142
Lifestyle Moderate 460 Trust...................................................................... 142
Lifestyle Conservative 280 Trust.................................................................. 142
Notes to Financial Statements.......................................................................... 144
</TABLE>
ii
<PAGE> 3
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - JUNE 30, 1997 (UNAUDITED)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PACIFIC RIM
EMERGING SCIENCE & INTERNATIONAL EMERGING
MARKETS TECHNOLOGY SMALL CAP GROWTH
ASSETS TRUST TRUST TRUST TRUST
----- ----- ----- -----
<S> <C> <C> <C> <C>
Investments in securities, at value (Includes
repurchase agreements of $20,432,000 and
$5,522,000 in the International Small Cap and
Pilgrim Baxter Growth Trusts, respectively)
(See accompanying portfolio of investments) $ 27,414,219 $ 29,158,553 $ 131,753,999 $ 216,235,036
Receivable for forward foreign currency contracts
to sell (Notes 2 and 7) 202,898 -- -- --
Forward foreign currency contracts to buy, at value
(Cost: $205,678 and $1,603,408 in the Pacific Rim
Emerging Markets and International Small Cap
Trusts, respectively) (Notes 2 and 7) 205,631 -- 1,594,918 --
Cash 636 843 960 740
Foreign currency (Cost: $2,808,101 and $563,330 in the
Pacific Rim Emerging Markets and International
Small Cap Trusts, respectively) (Notes 2 and 7) 2,802,401 -- 558,392 --
Receivables:
Investments sold 605,048 1,236,892 1,154,290 2,476,516
Dividends 59,161 6,500 128,893 29,835
Interest 5,250 -- 2,838 449
Foreign tax withholding reclaims 945 -- 40,814 --
Other assets 186 108 822 1,319
------------ ------------ ------------- -------------
Total assets 31,296,375 30,402,896 135,235,926 218,743,895
------------ ------------ ------------- -------------
LIABILITIES
Forward foreign currency contracts to sell,
at value (Cost: $202,898) (Notes 2 and 7) 203,024 -- -- --
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 7) 205,678 -- 1,603,408 --
Investments purchased 308,656 2,691,365 2,906,329 949,563
Fund shares redeemed -- -- -- --
Dividend and interest withholding tax 4,520 681 18,329 --
Custodian fee 13,483 -- -- --
Other accrued expenses 2,172 -- -- 15,135
------------ ------------ ------------- -------------
Total liabilities 737,533 2,692,046 4,528,066 964,698
------------ ------------ ------------- -------------
NET ASSETS $ 30,558,842 $ 27,710,850 $ 130,707,860 $ 217,779,197
============ ============ ============= =============
Net assets consist of:
Undistributed net investment income
(loss) (Note 2) $ 95,936 $ (11,360) $ 286,248 $ 186,762
Accumulated undistributed net realized
gain (loss) on investments 634,001 (490,106) (3,438,052) (4,517,918)
Unrealized appreciation (depreciation) on:
Investments 1,604,648 2,455,434 14,844,539 25,264,394
Foreign currency and forward foreign currency
contracts (1,769) -- (6,730) --
Capital shares at par value of $.01 (Note 3) 27,138 20,086 90,188 100,860
Additional paid-in capital 28,198,888 25,736,796 118,931,667 196,745,099
------------ ------------ ------------- -------------
Net assets $ 30,558,842 $ 27,710,850 $ 130,707,860 $ 217,779,197
============ ============ ============= =============
Capital shares outstanding (Note 3) 2,713,803 2,008,554 9,018,822 10,086,026
------------ ------------ ------------- -------------
Net asset value, offering price and redemption price
per share $ 11.26 $ 13.80 $ 14.49 $ 21.59
============ ============ ============= =============
Investments in securities, at identified cost (Note 2) $ 25,809,571 $ 26,703,119 $ 116,909,460 $ 190,970,642
============ ============ ============= =============
</TABLE>
<TABLE>
<CAPTION>
PILGRIM
BAXTER
GROWTH
ASSETS TRUST
-----
<S> <C>
Investments in securities, at value (Includes
repurchase agreements of $20,432,000 and
$5,522,000 in the International Small Cap and
Pilgrim Baxter Growth Trusts, respectively)
(See accompanying portfolio of investments) $ 48,247,081
Receivable for forward foreign currency contracts
to sell (Notes 2 and 7) --
Forward foreign currency contracts to buy, at value
(Cost: $205,678 and $1,603,408 in the Pacific Rim
Emerging Markets and International Small Cap
Trusts, respectively) (Notes 2 and 7) --
Cash 234
Foreign currency (Cost: $2,808,101 and $563,330 in the
Pacific Rim Emerging Markets and International
Small Cap Trusts, respectively) (Notes 2 and 7) --
Receivables:
Investments sold --
Dividends 1,985
Interest 768
Foreign tax withholding reclaims --
Other assets 130
------------
Total assets 48,250,198
------------
LIABILITIES
Forward foreign currency contracts to sell,
at value (Cost: $202,898) (Notes 2 and 7) --
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 7) --
Investments purchased 41,383
Fund shares redeemed --
Dividend and interest withholding tax --
Custodian fee --
Other accrued expenses --
------------
Total liabilities 41,383
------------
NET ASSETS $ 48,208,815
============
Net assets consist of:
Undistributed net investment income
(loss) (Note 2) $ (16,285)
Accumulated undistributed net realized
gain (loss) on investments (1,691,689)
Unrealized appreciation (depreciation) on:
Investments 4,489,796
Foreign currency and forward foreign currency
contracts --
Capital shares at par value of $.01 (Note 3) 39,401
Additional paid-in capital 45,387,592
------------
Net assets $ 48,208,815
============
Capital shares outstanding (Note 3) 3,940,040
------------
Net asset value, offering price and redemption price
per share $ 12.24
============
Investments in securities, at identified cost (Note 2) $ 43,757,285
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
1
<PAGE> 4
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - JUNE 30, 1997 (UNAUDITED)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL/MID INTERNATIONAL WORLDWIDE GLOBAL
CAP STOCK GROWTH EQUITY
ASSETS TRUST TRUST TRUST TRUST
----- ----- ----- -----
<S> <C> <C> <C> <C>
Investments in securities, at value (Includes
repurchase agreements of $1,870,000 and
$16,635,000 in the Worldwide Growth and
Growth Trusts, respectively)
(See accompanying portfolio of investments) ........ $ 203,509,416 $79,848,123 $ 11,749,215 $832,954,354
Receivable for forward foreign currency contracts
to sell (Notes 2 and 7) ............................ -- -- 45,001 81,226,920
Forward foreign currency contracts to buy, at value
(Cost: $140,307 and $39,212 in the International
Stock and Worldwide Growth Trusts, respectively)
(Notes 2 and 7) .................................... -- 140,110 39,149 --
Cash ................................................. -- 652 784 112
Foreign currency (Cost: $434,761, $10,124,
$317,604 and $28,381 in the International Stock,
Worldwide Growth, Global Equity and Growth
Trusts, respectively) (Notes 2 and 7) .............. -- 434,231 10,023 309,017
Receivables:
Investments sold .............................. -- 180,919 45,012 --
Dividends ..................................... 24,946 198,294 8,818 2,530,573
Interest ...................................... 21,316 841 260 256
Foreign tax withholding reclaims .............. -- 54,104 3,521 568,245
Other assets ......................................... 1,258 353 32 5,589
------------- ----------- ------------ ------------
Total assets .............................. 203,556,936 80,857,627 11,901,815 917,595,066
------------- ----------- ------------ ------------
LIABILITIES
Forward foreign currency contracts to sell, at
value (Cost: $45,001 and $81,226,920 in the
Worldwide Growth and Global Equity Trusts,
respectively) (Notes 2 and 7) ..................... -- -- 45,012 75,220,716
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 7) ............................. -- 140,307 39,212 --
Investments purchased ......................... 2,480,233 119,661 40,519 --
Dividend and interest withholding tax ......... -- 22,801 1,077 178,427
Custodian fee ................................. 14,198 -- 5,953 45,707
Other accrued expenses ........................ 10,792 -- 417 39,389
------------- ----------- ------------ ------------
Total liabilities ......................... 2,505,223 282,769 132,190 75,484,239
------------- ----------- ------------ ------------
NET ASSETS ........................................... $ 201,051,713 $80,574,858 $ 11,769,625 $842,110,827
============= =========== ============ ============
Net assets consist of:
Undistributed net investment income
(loss) (Note 2) ............................. $ (264,220) $ 468,355 $ 24,673 $ 6,539,253
Accumulated undistributed net realized
gain (loss) on investments .................. (8,744,068) 1,521,302 28,703 15,750,283
Unrealized appreciation (depreciation) on:
Investments ................................. 26,097,005 7,992,098 806,677 133,668,009
Foreign currency and forward foreign currency
contracts ................................... -- 2,547 (96) 5,996,088
Capital shares at par value of $.01 (Note 3) .. 140,467 63,598 8,423 454,783
Additional paid-in capital .................... 183,822,529 70,526,958 10,901,245 679,702,411
------------- ----------- ------------ ------------
Net assets .............................. $ 201,051,713 $80,574,858 $ 11,769,625 $842,110,827
============= =========== ============ ============
Capital shares outstanding (Note 3) .................. 14,046,701 6,359,782 842,258 45,478,283
------------- ----------- ------------ ------------
Net asset value, offering price and redemption price
per share .......................................... $ 14.31 $ 12.67 $ 13.97 $ 18.52
============= =========== ============ ============
Investments in securities, at identified cost (Note 2) $ 177,412,411 $71,856,025 $ 10,942,538 $699,286,345
============= =========== ============ ============
</TABLE>
<TABLE>
<CAPTION>
GROWTH
ASSETS TRUST
-----
<S> <C>
Investments in securities, at value (Includes
repurchase agreements of $1,870,000 and
$16,635,000 in the Worldwide Growth and
Growth Trusts, respectively)
(See accompanying portfolio of investments) ........ $ 103,792,897
Receivable for forward foreign currency contracts
to sell (Notes 2 and 7) ............................ --
Forward foreign currency contracts to buy, at value
(Cost: $140,307 and $39,212 in the International
Stock and Worldwide Growth Trusts, respectively)
(Notes 2 and 7) .................................... --
Cash ................................................. 703
Foreign currency (Cost: $434,761, $10,124,
$317,604 and $28,381 in the International Stock,
Worldwide Growth, Global Equity and Growth
Trusts, respectively) (Notes 2 and 7) .............. 28,002
Receivables:
Investments sold .............................. 1,275,738
Dividends ..................................... 68,467
Interest ...................................... 2,310
Foreign tax withholding reclaims .............. 3,423
Other assets ......................................... --
-------------
Total assets .............................. 105,171,540
-------------
LIABILITIES
Forward foreign currency contracts to sell, at
value (Cost: $45,001 and $81,226,920 in the
Worldwide Growth and Global Equity Trusts,
respectively) (Notes 2 and 7) ..................... --
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 7) ............................. --
Investments purchased ......................... 185,217
Dividend and interest withholding tax ......... 1,072
Custodian fee ................................. 211
Other accrued expenses ........................ 3,933
-------------
Total liabilities ......................... 190,433
-------------
NET ASSETS ........................................... $ 104,981,107
=============
Net assets consist of:
Undistributed net investment income
(loss) (Note 2) ............................. $ 330,193
Accumulated undistributed net realized
gain (loss) on investments .................. 453,460
Unrealized appreciation (depreciation) on:
Investments ................................. 13,654,069
Foreign currency and forward foreign currency
contracts ................................... (372)
Capital shares at par value of $.01 (Note 3) .. 65,320
Additional paid-in capital .................... 90,478,437
-------------
Net assets .............................. $ 104,981,107
=============
Capital shares outstanding (Note 3) .................. 6,531,985
-------------
Net asset value, offering price and redemption price
per share .......................................... $ 16.07
=============
Investments in securities, at identified cost (Note 2) $ 90,138,828
=============
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE> 5
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - JUNE 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Quantitative Equity Blue Chip
Equity Equity Index Growth
ASSETS Trust Trust Trust Trust
----- ----- ----- -----
<S> <C> <C> <C> <C>
Investments in securities, at value
(See accompanying portfolio of investments) ........ $1,404,500,724 $130,760,704 $17,229,389 $560,961,542
Cash ................................................. 846 32,358 28 590
Foreign currency (Cost: $30,691) (Notes 2 and 7) ..... 30,731 -- -- --
Receivables:
Investments sold .............................. 8,618,122 1,918,928 -- --
Dividends ..................................... 1,347,761 183,016 2,271 596,782
Interest ...................................... 9,385 -- -- 466
Foreign tax withholding reclaims .............. 99,854 764 -- 2,092
From adviser .................................. -- -- 10,045 --
Deferred organization expenses (Note 2) .............. -- -- -- 906
Other assets ......................................... 9,394 -- 87 3,299
-------------- ------------ ----------- ------------
Total assets .............................. 1,414,616,817 132,895,770 17,241,820 561,565,677
-------------- ------------ ----------- ------------
LIABILITIES
Payables:
Investments purchased ......................... 5,710,807 931,727 -- 3,170,921
Dividend and interest withholding tax ......... 52,864 -- -- 12,137
Variation margin for open futures contracts ... -- -- 123,325 --
Custodian fee ................................. -- 4,742 11,998 8,674
Other accrued expenses ........................ 65,872 8,565 874 91,728
-------------- ------------ ----------- ------------
Total liabilities .......................... 5,829,543 945,034 136,197 3,283,460
-------------- ------------ ----------- ------------
NET ASSETS ........................................... $1,408,787,274 $131,950,736 $17,105,623 $558,282,217
============== ============ =========== ============
Net assets consist of:
Undistributed net investment
income (Note 2) ............................. $ 3,032,525 $ 862,234 $ 294,284 $ 1,950,529
Accumulated undistributed net realized
gain (loss) on investments .................. 83,036,575 6,695,971 897,026 (536,122)
Unrealized appreciation on:
Investments ................................. 160,487,801 20,738,124 97,983 104,829,706
Futures contracts ........................... -- -- 1,076,505 --
Foreign currency and forward foreign currency
contracts ................................. 40 -- -- --
Capital shares at par value of $.01 (Note 3) .. 708,210 64,475 13,307 412,430
Additional paid-in capital .................... 1,161,522,123 103,589,932 14,726,518 451,625,674
-------------- ------------ ----------- ------------
Net assets .............................. $1,408,787,274 $131,950,736 $17,105,623 $558,282,217
============== ============ =========== ============
Capital shares outstanding (Note 3) .................. 70,821,030 6,447,465 1,330,720 41,242,993
-------------- ------------ ----------- ------------
Net asset value, offering price and redemption price
per share .......................................... $ 19.89 $ 20.47 $ 12.85 $ 13.54
============== ============ =========== ============
Investments in securities, at identified cost (Note 2) $1,244,012,923 $110,022,580 $17,131,406 $456,131,836
============== ============ =========== ============
</TABLE>
<TABLE>
<CAPTION>
Real Estate
Securities
ASSETS Trust
-----
<S> <C>
Investments in securities, at value
(See accompanying portfolio of investments) ........ $122,093,168
Cash ................................................. 28,517
Foreign currency (Cost: $30,691) (Notes 2 and 7) ..... --
Receivables:
Investments sold .............................. --
Dividends ..................................... 640,046
Interest ...................................... --
Foreign tax withholding reclaims .............. --
From adviser .................................. --
Deferred organization expenses (Note 2) .............. --
Other assets ......................................... 707
------------
Total assets .............................. 122,762,438
------------
LIABILITIES
Payables:
Investments purchased ......................... 453,342
Dividend and interest withholding tax ......... --
Variation margin for open futures contracts ... --
Custodian fee ................................. 232
Other accrued expenses ........................ 7,243
------------
Total liabilities .......................... 460,817
------------
NET ASSETS ........................................... $122,301,621
============
Net assets consist of:
Undistributed net investment
income (Note 2) ............................. $ 2,579,845
Accumulated undistributed net realized
gain (loss) on investments .................. 8,455,050
Unrealized appreciation on:
Investments ................................. 6,737,017
Futures contracts ........................... --
Foreign currency and forward foreign currency
contracts ................................. --
Capital shares at par value of $.01 (Note 3) .. 68,592
Additional paid-in capital .................... 104,461,117
------------
Net assets .............................. $122,301,621
============
Capital shares outstanding (Note 3) .................. 6,859,185
------------
Net asset value, offering price and redemption price
per share .......................................... $ 17.83
============
Investments in securities, at identified cost (Note 2) $115,356,151
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE> 6
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - JUNE 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
International
Growth and Growth and Equity-
Value Income Income Income
ASSETS Trust Trust Trust Trust
----- ----- ----- -----
<S> <C> <C> <C> <C>
Investments in securities, at value (Includes a
repurchase agreement of $9,796,000 in the Value Trust)
(See accompanying portfolio of investments) .......... $63,646,261 $216,877,317 $1,362,767,826 $781,477,841
Receivable for forward foreign currency contracts
to sell (Notes 2 and 7) .............................. -- 30,041,495 -- --
Forward foreign currency contracts to buy, at value
(Cost: $25,988,434 and $402,857 in the International
Growth and Income and Equity-Income Trusts,
respectively) (Notes 2 and 7) ........................ -- 25,690,511 -- 402,231
Cash ................................................... 471 -- 798 828
Foreign currency (Cost: $7,284,747, $12,125, $81,366
and $79,803 in the International Growth and Income,
Growth and Income, Equity-Income and Balanced
Trusts, respectively) (Notes 2 and 7) ................ -- 7,267,538 11,205 81,597
Receivables:
Investments sold ................................ 393,659 247,185 1,192,113 67,373
Dividends ....................................... 59,417 741,647 1,434,090 1,600,283
Interest ........................................ 1,361 888,054 4,866 700
Foreign tax withholding reclaims ................ 24 265,745 35,952 13,788
Deferred organization expenses (Note 2) ................ -- 24,580 -- 1,289
Other assets ........................................... 142 600 10,594 4,801
----------- ------------ -------------- ------------
Total assets ................................ 64,101,335 282,044,672 1,365,457,444 783,650,731
----------- ------------ -------------- ------------
LIABILITIES
Forward foreign currency contracts to sell, at value
(Cost: $30,041,495) (Notes 2 and 7) .................. -- 29,569,976 -- --
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 7) ............................... -- 25,988,434 -- 402,857
Investments purchased ........................... 434,055 2,898,025 823,700 4,058,205
Dividend and interest withholding tax ........... 631 100,706 -- 20,482
Due to custodian ................................ -- 2,301 -- --
Custodian fee ................................... -- -- 6,975 --
Other accrued expenses .......................... -- 4,380 69,011 24,452
----------- ------------ -------------- ------------
Total liabilities ........................... 434,686 58,563,822 899,686 4,505,996
----------- ------------ -------------- ------------
NET ASSETS ............................................. $63,666,649 $223,480,850 $1,364,557,758 $779,144,735
=========== ============ ============== ============
Net assets consist of:
Undistributed net investment
income (Note 2) ............................... $ 223,593 $ 1,902,685 $ 7,560,067 $ 8,768,587
Accumulated undistributed net realized
gain on investments ........................... 383,523 6,743,383 39,237,278 19,689,929
Unrealized appreciation (depreciation) on:
Investments ................................... 4,241,033 14,050,415 401,681,806 99,505,011
Foreign currency and forward foreign currency
contracts ................................... -- 129,567 (920) (806)
Capital shares at par value of $.01 (Note 3) .... 43,993 189,221 626,210 508,108
Additional paid-in capital ...................... 58,774,507 200,465,579 915,453,317 650,673,906
----------- ------------ -------------- ------------
Net assets ................................ $63,666,649 $223,480,850 $1,364,557,758 $779,144,735
=========== ============ ============== ============
Capital shares outstanding (Note 3) .................... 4,399,324 18,922,061 62,620,973 50,810,844
----------- ------------ -------------- ------------
Net asset value, offering price and redemption price
per share ............................................ $ 14.47 $ 11.81 $ 21.79 $ 15.33
=========== ============ ============== ============
Investments in securities, at identified cost (Note 2) . $59,405,228 $202,826,902 $ 961,086,020 $681,972,830
=========== ============ ============== ============
</TABLE>
<TABLE>
<CAPTION>
Balanced
ASSETS Trust
-----
<S> <C>
Investments in securities, at value (Includes a
repurchase agreement of $9,796,000 in the Value Trust)
(See accompanying portfolio of investments) .......... $161,526,846
Receivable for forward foreign currency contracts
to sell (Notes 2 and 7) .............................. --
Forward foreign currency contracts to buy, at value
(Cost: $25,988,434 and $402,857 in the International
Growth and Income and Equity-Income Trusts,
respectively) (Notes 2 and 7) ........................ --
Cash ................................................... 918
Foreign currency (Cost: $7,284,747, $12,125, $81,366
and $79,803 in the International Growth and Income,
Growth and Income, Equity-Income and Balanced
Trusts, respectively) (Notes 2 and 7) ................ 77,973
Receivables:
Investments sold ................................ --
Dividends ....................................... 136,127
Interest ........................................ 935,758
Foreign tax withholding reclaims ................ 23,973
Deferred organization expenses (Note 2) ................ --
Other assets ........................................... 1,057
------------
Total assets ................................ 162,702,652
------------
LIABILITIES
Forward foreign currency contracts to sell, at value
(Cost: $30,041,495) (Notes 2 and 7) .................. --
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 7) ............................... --
Investments purchased ........................... 1,998,748
Dividend and interest withholding tax ........... 5,351
Due to custodian ................................ --
Custodian fee ................................... --
Other accrued expenses .......................... 9,824
------------
Total liabilities ........................... 2,013,923
------------
NET ASSETS ............................................. $160,688,729
============
Net assets consist of:
Undistributed net investment
income (Note 2) ............................... $ 2,262,437
Accumulated undistributed net realized
gain on investments ........................... 14,635,179
Unrealized appreciation (depreciation) on:
Investments ................................... 10,012,697
Foreign currency and forward foreign currency
contracts ................................... (1,952)
Capital shares at par value of $.01 (Note 3) .... 87,686
Additional paid-in capital ...................... 133,692,682
------------
Net assets ................................ $160,688,729
============
Capital shares outstanding (Note 3) .................... 8,768,488
------------
Net asset value, offering price and redemption price
per share ............................................ $ 18.33
============
Investments in securities, at identified cost (Note 2) . $151,514,149
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE> 7
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - JUNE 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Aggressive Moderate Conservative
Asset Asset Asset High
Allocation Allocation Allocation Yield
ASSETS Trust Trust Trust Trust
----- ----- ----- -----
<S> <C> <C> <C> <C>
Investments in securities, at value (Includes
repurchase agreements of $5,381,000 and
$45,508,000 in the High Yield and Strategic
Bond Trusts, respectively)
(See accompanying portfolio of investments) ......... $235,886,223 $610,320,597 $199,234,013 $37,170,676
Receivable for forward foreign currency contracts
to sell (Notes 2 and 7) ............................. -- -- -- 521,398
Forward foreign currency contracts to buy, at value
(Cost: $2,906, $4,843, $969 and $10,618,356
in the Aggressive, Moderate and Conservative
Asset Allocation and Strategic Bond Trusts,
respectively) (Notes 2 and 7) ....................... 2,900 4,833 967 --
Cash .................................................. 687 251 838 753
Foreign currency (Cost: $257,417, $353,334, $70,929
and $556,601 in the Aggressive, Moderate and
Conservative Asset Allocation and Strategic
Bond Trusts, respectively) (Notes 2 and 7) .......... 256,381 352,740 70,686 --
Receivables:
Investments sold ............................... 412,223 1,025,599 20,090 153,800
Variation margin for open futures contracts .... 49,475 91,051 15,175 --
Dividends ...................................... 271,492 484,304 85,390 --
Interest ....................................... 622,749 3,401,106 1,513,508 535,368
Foreign tax withholding reclaims ............... 48,575 90,273 16,186 --
Deferred organization expenses ........................ -- -- -- --
Other assets .......................................... 1,532 2,511 1,409 116
------------ ------------ ------------ -----------
Total assets ............................... 237,552,237 615,773,265 200,958,262 38,382,111
------------ ------------ ------------ -----------
LIABILITIES
Forward foreign currency contracts to sell, at value
(Cost: $521,398 and $14,996,193 in the High
Yield and Strategic Bond Trusts, respectively)
(Notes 2 and 7) ..................................... -- -- -- 509,137
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 7) .............................. 2,906 4,843 969 --
Investments purchased .......................... 12,687 1,074,929 1,478,718 1,321,658
Variation margin for open futures contracts .... 26,000 26,359 2,978 --
Dividend and interest withholding tax .......... 21,908 39,307 6,826 6,419
Due to custodian ............................... -- -- -- --
Custodian fee .................................. 5,310 11,138 9,759 284
Other accrued expenses ......................... 10,716 28,273 10,630 1,057
Deferred mortgage dollar roll income .................. -- -- -- --
------------ ------------ ------------ -----------
Total liabilities ........................... 79,527 1,184,849 1,509,880 1,838,555
------------ ------------ ------------ -----------
NET ASSETS ............................................ $237,472,710 $614,588,416 $199,448,382 $36,543,556
============ ============ ============ ===========
Net assets consist of:
Undistributed net investment
income (Note 2) ............................. $ 2,766,689 $ 11,500,896 $ 4,577,444 $ 618,100
Accumulated undistributed net realized
gain on investments ......................... 9,295,210 18,209,307 4,424,870 76,355
Unrealized appreciation on:
Investments ................................. 42,864,744 81,089,631 13,574,120 628,854
Futures contracts ........................... 710,508 675,851 84,973 --
Foreign currency and forward foreign currency
contracts ................................. 1,711 3,457 505 12,261
Capital shares at par value of $.01 (Note 3) ... 175,910 503,400 178,283 27,649
Additional paid-in capital ..................... 181,657,938 502,605,874 176,608,187 35,180,337
------------ ------------ ------------ -----------
Net assets ............................... $237,472,710 $614,588,416 $199,448,382 $36,543,556
============ ============ ============ ===========
Capital shares outstanding (Note 3) ................... 17,590,995 50,339,965 17,828,309 2,764,866
------------ ------------ ------------ -----------
Net asset value, offering price and redemption price
per share ........................................... $ 13.50 $ 12.21 $ 11.19 $ 13.22
============ ============ ============ ===========
Investments in securities, at identified cost (Note 2) $193,021,479 $529,230,966 $185,659,893 $36,541,822
============ ============ ============ ===========
</TABLE>
<TABLE>
<CAPTION>
Strategic
Bond
ASSETS Trust
-----
<S> <C>
Investments in securities, at value (Includes
repurchase agreements of $5,381,000 and
$45,508,000 in the High Yield and Strategic
Bond Trusts, respectively)
(See accompanying portfolio of investments) ......... $288,969,662
Receivable for forward foreign currency contracts
to sell (Notes 2 and 7) ............................. 14,996,193
Forward foreign currency contracts to buy, at value
(Cost: $2,906, $4,843, $969 and $10,618,356
in the Aggressive, Moderate and Conservative
Asset Allocation and Strategic Bond Trusts,
respectively) (Notes 2 and 7) ....................... 10,652,662
Cash .................................................. --
Foreign currency (Cost: $257,417, $353,334, $70,929
and $556,601 in the Aggressive, Moderate and
Conservative Asset Allocation and Strategic
Bond Trusts, respectively) (Notes 2 and 7) .......... 554,307
Receivables:
Investments sold ............................... 22,736,892
Variation margin for open futures contracts .... --
Dividends ...................................... 3,200
Interest ....................................... 4,360,006
Foreign tax withholding reclaims ............... 10,906
Deferred organization expenses ........................ 1,933
Other assets .......................................... 1,774
------------
Total assets ............................... 342,287,535
------------
LIABILITIES
Forward foreign currency contracts to sell, at value
(Cost: $521,398 and $14,996,193 in the High
Yield and Strategic Bond Trusts, respectively)
(Notes 2 and 7) ..................................... 14,938,266
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 7) .............................. 10,618,356
Investments purchased .......................... 31,195,744
Variation margin for open futures contracts .... --
Dividend and interest withholding tax .......... 3,841
Due to custodian ............................... 55,008
Custodian fee .................................. --
Other accrued expenses ......................... 6,421
Deferred mortgage dollar roll income .................. 13,168
------------
Total liabilities ........................... 56,830,804
------------
NET ASSETS ............................................ $285,456,731
============
Net assets consist of:
Undistributed net investment
income (Note 2) ............................. $ 10,317,324
Accumulated undistributed net realized
gain on investments ......................... 475,987
Unrealized appreciation on:
Investments ................................. 7,537,510
Futures contracts ........................... --
Foreign currency and forward foreign currency
contracts ................................. 88,742
Capital shares at par value of $.01 (Note 3) ... 242,999
Additional paid-in capital ..................... 266,794,169
------------
Net assets ............................... $285,456,731
============
Capital shares outstanding (Note 3) ................... 24,299,934
------------
Net asset value, offering price and redemption price
per share ........................................... $ 11.75
============
Investments in securities, at identified cost (Note 2) $281,432,152
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE> 8
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - JUNE 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Global Capital Investment U.S.
Government Growth Quality Government
Bond Bond Bond Securities
ASSETS Trust Trust Trust Trust
----- ----- ----- -----
<S> <C> <C> <C> <C>
Investments in securities, at value
(See accompanying portfolio of investments) ........ $ 231,732,050 $ 47,676,683 $ 153,514,321 $ 265,804,242
Receivable for forward foreign currency contracts
to sell (Notes 2 and 7) ............................ 147,142,440 -- -- --
Forward foreign currency contracts to buy, at value
(Cost: $120,711,491) (Notes 2 and 7) ............... 119,790,273 -- -- --
Cash ................................................. 359 12,831 195 386
Foreign currency (Cost: $830,623) (Notes 2 and 7) .... 829,247 -- -- --
Receivables:
Interest ...................................... 3,386,445 843,779 2,839,088 1,060,509
Foreign tax withholding reclaims .............. 114,143 -- -- --
Other assets ......................................... 1,675 327 1,026 1,473
------------- ------------ ------------- -------------
Total assets .............................. 502,996,632 48,533,620 156,354,630 266,866,610
------------- ------------ ------------- -------------
LIABILITIES
Forward foreign currency contracts to sell, at value
(Cost: $147,142,440) (Notes 2 and 7) ............... 147,012,176 -- -- --
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 7) ............................. 120,711,491 -- -- --
Investments purchased ......................... 2,473,000 -- 289,816 56,659,407
Dividend and interest withholding tax ......... 42,014 -- -- --
Dividends ..................................... -- -- -- --
Custodian fee ................................. 17,833 5,472 -- 2,495
Other accrued expenses ........................ 16,778 3,940 1,638 11,015
Deferred mortgage dollar roll income ................. -- -- -- 67,939
------------- ------------ ------------- -------------
Total liabilities .......................... 270,273,292 9,412 291,454 56,740,856
------------- ------------ ------------- -------------
NET ASSETS ........................................... $ 232,723,340 $ 48,524,208 $ 156,063,176 $ 210,125,754
============= ============ ============= =============
Net assets consist of:
Undistributed net investment
income (Note 2) ............................ $ 6,853,888 $ 1,451,041 $ 5,454,294 $ 6,435,961
Accumulated undistributed net realized
gain (loss) on investments .................. 5,096,366 (1,066,156) (3,445,392) (3,476,410)
Unrealized appreciation (depreciation) on:
Investments ................................. 1,600,676 494,643 (150,963) (1,122,554)
Foreign currency and forward foreign currency
contracts ................................. (780,501) -- -- --
Capital shares at par value of $.01 (Note 3) .. 170,742 43,429 136,837 163,653
Additional paid-in capital .................... 219,782,169 47,601,251 154,068,400 208,125,104
------------- ------------ ------------- -------------
Net assets .............................. $ 232,723,340 $ 48,524,208 $ 156,063,176 $ 210,125,754
============= ============ ============= =============
Capital shares outstanding (Note 3) .................. 17,074,181 4,342,927 13,683,785 16,365,397
------------- ------------ ------------- -------------
Net asset value, offering price and redemption price
per share .......................................... $ 13.63 $ 11.17 $ 11.40 $ 12.84
============= ============ ============= =============
Investments in securities, at identified cost (Note 2) $ 230,131,374 $ 47,182,040 $ 153,665,284 $ 266,926,796
============= ============ ============= =============
</TABLE>
<TABLE>
<CAPTION>
Money
Market
ASSETS Trust
-----
<S> <C>
Investments in securities, at value
(See accompanying portfolio of investments) ........ $427,928,020
Receivable for forward foreign currency contracts
to sell (Notes 2 and 7) ............................ --
Forward foreign currency contracts to buy, at value
(Cost: $120,711,491) (Notes 2 and 7) ............... --
Cash ................................................. 250
Foreign currency (Cost: $830,623) (Notes 2 and 7) .... --
Receivables:
Interest ...................................... 128,818
Foreign tax withholding reclaims .............. --
Other assets ......................................... 5,654
------------
Total assets .............................. 428,062,742
------------
LIABILITIES
Forward foreign currency contracts to sell, at value
(Cost: $147,142,440) (Notes 2 and 7) ............... --
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 7) ............................. --
Investments purchased ......................... --
Dividend and interest withholding tax ......... --
Dividends ..................................... 180,779
Custodian fee ................................. --
Other accrued expenses ........................ 19,324
Deferred mortgage dollar roll income ................. --
------------
Total liabilities .......................... 200,103
------------
NET ASSETS ........................................... $427,862,639
============
Net assets consist of:
Undistributed net investment
income (Note 2) ............................ --
Accumulated undistributed net realized
gain (loss) on investments .................. --
Unrealized appreciation (depreciation) on:
Investments ................................. --
Foreign currency and forward foreign currency
contracts ................................. --
Capital shares at par value of $.01 (Note 3) .. $ 427,863
Additional paid-in capital .................... 427,434,776
------------
Net assets .............................. $427,862,639
============
Capital shares outstanding (Note 3) .................. 42,786,264
------------
Net asset value, offering price and redemption price
per share .......................................... $ 10.00
============
Investments in securities, at identified cost (Note 2) $427,928,020
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE> 9
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - JUNE 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Lifestyle Lifestyle Lifestyle Lifestyle
Aggressive Growth Balanced Moderate
1000 820 640 460
ASSETS Trust Trust Trust Trust
----- ----- ----- -----
<S> <C> <C> <C> <C>
Investments in securities, at value
(See accompanying portfolio of investments) ........ $ 21,419,926 $ 91,181,219 $ 70,925,122 $ 20,553,387
Cash ................................................. 438 -- -- --
Receivables:
Dividends ..................................... -- -- 2,995 1,738
From adviser .................................. 768 2,037 2,085 727
Other assets ......................................... 42 175 133 39
------------ ------------ ------------ ------------
Total assets .............................. 21,421,174 91,183,431 70,930,335 20,555,891
------------ ------------ ------------ ------------
LIABILITIES
Payables:
Dividends ..................................... -- -- 2,995 1,738
Custodian fee ................................. 295 673 1,137 326
Other accrued expenses ........................ 513 1,539 1,081 440
------------ ------------ ------------ ------------
Total liabilities .......................... 808 2,212 5,213 2,504
------------ ------------ ------------ ------------
NET ASSETS ........................................... $ 21,420,366 $ 91,181,219 $ 70,925,122 $ 20,553,387
============ ============ ============ ============
Net assets consist of:
Accumulated undistributed net realized
loss on investments ......................... ($ 19,365) ($ 1,823) ($ 23,132) ($ 4,364)
Unrealized appreciation (depreciation)
on investments .............................. 1,425,361 4,835,524 2,752,259 458,092
Capital shares at par value of $.01 (Note 3) .. 16,387 68,718 54,581 16,053
Additional paid-in capital .................... 19,997,983 86,278,800 68,141,414 20,083,606
------------ ------------ ------------ ------------
Net assets .............................. $ 21,420,366 $ 91,181,219 $ 70,925,122 $ 20,553,387
============ ============ ============ ============
Capital shares outstanding (Note 3) .................. 1,638,732 6,871,835 5,458,131 1,605,339
------------ ------------ ------------ ------------
Net asset value, offering price and redemption price
per share .......................................... $ 13.07 $ 13.27 $ 12.99 $ 12.80
============ ============ ============ ============
Investments in securities, at identified cost (Note 2) $ 19,994,565 $ 86,345,695 $ 68,172,863 $ 20,095,295
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
Lifestyle
Conservative
280
ASSETS Trust
-----
<S> <C>
Investments in securities, at value
(See accompanying portfolio of investments) ........ $ 7,615,468
Cash ................................................. --
Receivables:
Dividends ..................................... 1,127
From adviser .................................. 428
Other assets ......................................... 20
-----------
Total assets .............................. 7,617,043
-----------
LIABILITIES
Payables:
Dividends ..................................... 1,127
Custodian fee ................................. 184
Other accrued expenses ........................ 264
-----------
Total liabilities .......................... 1,575
-----------
NET ASSETS ........................................... $ 7,615,468
===========
Net assets consist of:
Accumulated undistributed net realized
loss on investments ......................... ($ 5,808)
Unrealized appreciation (depreciation)
on investments .............................. (13,414)
Capital shares at par value of $.01 (Note 3) .. 6,145
Additional paid-in capital .................... 7,628,545
-----------
Net assets .............................. $ 7,615,468
===========
Capital shares outstanding (Note 3) .................. 614,538
-----------
Net asset value, offering price and redemption price
per share .......................................... $ 12.39
===========
Investments in securities, at identified cost (Note 2) $ 7,628,882
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
7
<PAGE> 10
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE SIX MONTHS ENDED JUNE 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Pacific Rim
Emerging Science & International Emerging
Markets Technology Small Cap Growth
Trust Trust* Trust Trust*
----- ------ ----- ------
<S> <C> <C> <C> <C>
Investment Income:
Interest (Net of $567 withholding tax in
the Pacific Rim Emerging Markets Trust ................ $ 73,000 $ 69,054 $ 614,969 $ 1,006,292
Dividends (Net of $19,160, $740 and $82,235
withholding tax in the Pacific Rim Emerging
Markets, Science & Technology and
International Small Cap Trusts, respectively) ......... 203,180 11,848 461,367 234,180
---------- ---------- ---------- -----------
Total income .................................... 276,180 80,902 1,076,336 1,240,472
---------- ---------- ---------- -----------
Expenses:
Investment adviser fee (Note 5) ......................... 111,009 78,770 622,737 998,446
Custodian fee ........................................... 65,926 12,635 97,464 40,039
Audit and legal fees .................................... 1,306 534 813 9,757
Registration and filing fees ............................ 241 100 5,450 1,824
Trustees fees and expenses (Note 6) ..................... 377 169 1,599 2,828
Miscellaneous ........................................... 1,385 54 507 816
---------- ---------- ---------- -----------
Total expenses .................................. 180,244 92,262 728,570 1,053,710
---------- ---------- ---------- -----------
Net investment income (loss) .................... 95,936 (11,360) 347,766 186,762
---------- ---------- ---------- -----------
Realized and unrealized gain on investments and foreign currency:
Net realized gain (loss) on:
Investment transactions ................................ 620,334 (490,106) (2,522,795) (4,505,805)
Foreign currency and forward foreign
currency contracts ................................... 13,667 -- (69,898) --
Change in unrealized appreciation (depreciation) on:
Investments ............................................ 339,146 2,455,434 9,665,259 14,823,806
Translation of foreign currency and
forward foreign currency contracts ................... 4,112 -- (7,295) --
---------- ---------- ---------- -----------
Net gain on investments and
foreign currency .............................. 977,259 1,965,328 7,065,271 10,318,001
---------- ---------- ---------- -----------
Net increase in net assets resulting
from operations .............................................. $1,073,195 $1,953,968 $7,413,037 $10,504,763
========== ========== ========== ===========
</TABLE>
<TABLE>
<CAPTION>
Pilgrim Baxter
Growth
Trust*
------
<S> <C>
Investment Income:
Interest (Net of $567 withholding tax in
the Pacific Rim Emerging Markets Trust ................ $ 101,334
Dividends (Net of $19,160, $740 and $82,235
withholding tax in the Pacific Rim Emerging
Markets, Science & Technology and
International Small Cap Trusts, respectively) ......... 7,453
----------
Total income .................................... 108,787
Expenses:
Investment adviser fee (Note 5) ......................... 111,116
Custodian fee ........................................... 12,839
Audit and legal fees .................................... 675
Registration and filing fees ............................ 126
Trustees fees and expenses (Note 6) ..................... 216
Miscellaneous ........................................... 100
----------
Total expenses .................................. 125,072
----------
Net investment income (loss) .................... (16,285)
----------
Realized and unrealized gain on investments and foreign currency:
Net realized gain (loss) on:
Investment transactions ................................ (1,691,689)
Foreign currency and forward foreign
currency contracts ................................... --
Change in unrealized appreciation (depreciation) on:
Investments ............................................ 4,489,796
Translation of foreign currency and
forward foreign currency contracts ................... --
----------
Net gain on investments and
foreign currency .............................. 2,798,107
----------
Net increase in net assets resulting
from operations .............................................. $2,781,822
==========
</TABLE>
* For the period January 1, 1997 (commencement of operations) to June 30, 1997.
The accompanying notes are an integral part of the financial statements.
8
<PAGE> 11
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL/MID INTERNATIONAL WORLDWIDE GLOBAL
CAP STOCK GROWTH EQUITY
TRUST TRUST* TRUST* TRUST
----- ------ ------ -----
<S> <C> <C> <C> <C>
Investment Income:
Interest .......................................... $ 370,361 $ 127,457 $ 37,068 $ 388,070
Dividends (Net of $7,882, $92,474, $4,333,
$770,646 and $9,087 withholding tax in the
Small/Mid Cap, International Stock, Worldwide
Growth, Global Equity and Growth Trusts,
respectively) ................................... 304,004 679,924 37,095 9,763,936
------------ ----------- --------- -------------
Total income .............................. 674,365 807,381 74,163 10,152,006
------------ ----------- --------- -------------
Expenses:
Investment adviser fee (Note 5) ................... 886,480 269,816 29,032 3,380,978
Custodian fee ..................................... 38,070 65,926 20,067 388,995
Audit and legal fees .............................. 8,349 2,068 252 37,321
Registration and filing fees ...................... 1,177 387 47 6,898
Trustees fees and expenses (Note 6) ............... 2,447 622 75 10,700
Miscellaneous ..................................... 2,062 207 17 9,138
------------ ----------- --------- -------------
Total expenses ............................ 938,585 339,026 49,490 3,834,030
------------ ----------- --------- -------------
Net investment income (loss) .............. (264,220) 468,355 24,673 6,317,976
------------ ----------- --------- -------------
Realized and unrealized gain on investments and
foreign currency:
Net realized gain (loss) on:
Investment transactions .......................... (1,792,228) 1,527,798 34,598 17,901,604
Foreign currency and forward foreign
currency contracts ............................. -- (6,496) (5,895) (1,398,418)
Change in unrealized appreciation (depreciation) on:
Investments ...................................... 15,523,377 5,065,429 806,677 82,197,750
Translation of foreign currency and
forward foreign currency contracts ............. -- 6,177 (96) 6,819,512
------------ ----------- --------- -------------
Net gain on investments and
foreign currency ........................ 13,731,149 6,592,908 835,284 105,520,448
------------ ----------- --------- -------------
Net increase in net assets resulting
from operations ........................................ $ 13,466,929 $ 7,061,263 $ 859,957 $ 111,838,424
============ =========== ========= =============
</TABLE>
<TABLE>
<CAPTION>
GROWTH
TRUST
-----
<S> <C>
Investment Income:
Interest .......................................... $ 380,571
Dividends (Net of $7,882, $92,474, $4,333,
$770,646 and $9,087 withholding tax in the
Small/Mid Cap, International Stock, Worldwide
Growth, Global Equity and Growth Trusts,
respectively) ................................... 319,654
------------
Total income .............................. 700,225
------------
Expenses:
Investment adviser fee (Note 5) ................... 328,126
Custodian fee ..................................... 36,486
Audit and legal fees .............................. 3,393
Registration and filing fees ...................... 536
Trustees fees and expenses (Note 6) ............... 1,030
Miscellaneous ..................................... 461
------------
Total expenses ............................ 370,032
------------
Net investment income (loss) .............. 330,193
------------
Realized and unrealized gain on investments and
foreign currency:
Net realized gain (loss) on:
Investment transactions .......................... 1,259,992
Foreign currency and forward foreign
currency contracts ............................. (12,267)
Change in unrealized appreciation (depreciation) on:
Investments ...................................... 11,359,409
Translation of foreign currency and
forward foreign currency contracts ............. (363)
------------
Net gain on investments and
foreign currency ........................ 12,606,771
------------
Net increase in net assets resulting
from operations ........................................ $ 12,936,964
============
</TABLE>
* For the period January 1, 1997 (commencement of operations) to June 30, 1997.
The accompanying notes are an integral part of the financial statements.
9
<PAGE> 12
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
QUANTITATIVE EQUITY BLUE CHIP REAL ESTATE
EQUITY EQUITY INDEX GROWTH SECURITIES
TRUST TRUST TRUST TRUST TRUST
----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C>
Investment Income:
Interest .................................... $ 1,796,668 $ 179,818 $ 315,660 $ 1,393,698 $ 61,276
Dividends (Net of $97,371 and $26,043
withholding tax in the Equity and Blue Chip
Growth Trusts, respectively) .............. 6,603,545 951,065 3,885 2,853,328 2,755,672
------------- ----------- ----------- ------------ -----------
Total income ........................ 8,400,213 1,130,883 319,545 4,247,026 2,816,948
------------- ----------- ----------- ------------ -----------
Expenses:
Investment adviser fee (Note 5) ............. 5,035,573 376,052 15,496 2,179,560 331,424
Custodian fee ............................... 225,138 30,306 18,536 80,121 23,344
Audit and legal fees ........................ 67,880 5,096 510 22,659 4,243
Registration and filing fees ................ 11,944 953 96 3,922 794
Amortization of deferred organization
expenses (Note 2) ......................... -- -- -- 989 --
Trustees fees and expenses (Note 6) ......... 19,319 1,496 153 6,533 1,264
Miscellaneous ............................... 7,834 484 515 2,713 762
------------- ----------- ----------- ------------ -----------
Expenses before reimbursement by
investment adviser ....................... 5,367,688 414,387 35,306 2,296,497 361,831
Reimbursement of expenses by
investment adviser (Note 5) .............. -- 145,738 10,045 -- 124,728
------------- ----------- ----------- ------------ -----------
Net expenses ........................ 5,367,688 268,649 25,261 2,296,497 237,103
------------- ----------- ----------- ------------ -----------
Net investment income ............... 3,032,525 862,234 294,284 1,950,529 2,579,845
------------- ----------- ----------- ------------ -----------
Realized and unrealized gain on investments,
futures and foreign currency:
Net realized gain (loss) on:
Investment transactions .................... 85,077,306 6,749,600 (10) (131,268) 8,455,050
Futures contracts .......................... -- -- 1,163,910 -- --
Foreign currency and forward foreign
currency contracts ....................... (53,066) -- -- -- --
Change in unrealized appreciation
(depreciation) on:
Investments ................................ 43,455,545 10,845,853 75,238 64,290,590 (4,878,801)
Futures contracts .......................... -- -- 809,630 -- --
Translation of foreign currency and
forward foreign currency contracts ....... 18 -- -- -- --
------------- ----------- ----------- ------------ -----------
Net gain on investments, futures
and foreign currency .............. 128,479,803 17,595,453 2,048,768 64,159,322 3,576,249
------------- ----------- ----------- ------------ -----------
Net increase in net assets resulting
from operations .................................. $ 131,512,328 $18,457,687 $ 2,343,052 $ 66,109,851 $ 6,156,094
============= =========== =========== ============ ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE> 13
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
GROWTH AND GROWTH AND EQUITY-
VALUE INCOME INCOME INCOME
TRUST* TRUST TRUST TRUST
------ ---------- --------- -------
<S> <C> <C> <C> <C>
Investment Income:
Interest ................................................ $ 122,116 $ 1,279,507 $ 630,397 $ 1,848,716
Dividends (Net of $666, $287,940, $90,143
$101,540 and $31,841 withholding tax in
the Value, International Growth and Income,
Growth and Income, Equity-Income and
Balanced Trusts, respectively) ........................ 214,025 2,150,628 11,521,662 9,755,397
---------- ------------ ------------ ------------
Total income .................................... 336,141 3,430,135 12,152,059 11,604,113
---------- ------------ ------------ ------------
Expenses:
Investment adviser fee (Note 5) ......................... 98,502 940,703 4,363,670 2,687,278
Custodian fee ........................................... 12,902 124,361 138,469 95,412
Audit and legal fees .................................... 719 9,706 56,483 32,566
Registration and filing fees ............................ 135 1,613 9,786 5,648
Amortization of deferred organization
expenses (Note 2) ..................................... -- 1,253 -- 990
Trustees fees and expenses (Note 6) ..................... 233 2,393 16,923 9,423
Miscellaneous ........................................... 57 1,536 6,661 4,209
---------- ------------ ------------ ------------
Total expenses .................................. 112,548 1,081,565 4,591,992 2,835,526
---------- ------------ ------------ ------------
Net investment income ........................... 223,593 2,348,570 7,560,067 8,768,587
---------- ------------ ------------ ------------
Realized and unrealized gain on investments and foreign currency:
Net realized gain (loss) on:
Investment transactions ................................ 383,523 6,371,053 39,237,278 20,223,283
Foreign currency and forward foreign
currency contracts ................................... -- 612,611 -- (8,297)
Change in unrealized appreciation (depreciation) on:
Investments ............................................ 4,241,033 5,917,940 182,471,918 69,244,345
Translation of foreign currency and
forward foreign currency contracts ................... -- (359,195) 104 (621)
---------- ------------ ------------ ------------
Net gain on investments and
foreign currency .............................. 4,624,556 12,542,409 221,709,300 89,458,710
---------- ------------ ------------ ------------
Net increase in net assets resulting
from operations .............................................. $4,848,149 $ 14,890,979 $229,269,367 $ 98,227,297
========== ============ ============ =============
</TABLE>
<TABLE>
<CAPTION>
BALANCED
TRUST*
------
<S> <C>
Investment Income:
Interest ................................................ $ 1,917,804
Dividends (Net of $666, $287,940, $90,143
$101,540 and $31,841 withholding tax in
the Value, International Growth and Income,
Growth and Income, Equity-Income and
Balanced Trusts, respectively) ........................ 981,392
------------
Total income .................................... 2,899,196
------------
Expenses:
Investment adviser fee (Note 5) ......................... 584,160
Custodian fee ........................................... 39,070
Audit and legal fees .................................... 7,351
Registration and filing fees ............................ 1,374
Amortization of deferred organization
expenses (Note 2) ..................................... --
Trustees fees and expenses (Note 6) ..................... 2,148
Miscellaneous ........................................... 2,656
------------
Total expenses .................................. 636,759
------------
Net investment income ........................... 2,262,437
------------
Realized and unrealized gain on investments and foreign currency:
Net realized gain (loss) on:
Investment transactions ................................ 14,755,702
Foreign currency and forward foreign
currency contracts ................................... (40,407)
Change in unrealized appreciation (depreciation) on:
Investments ............................................ (477,613)
Translation of foreign currency and
forward foreign currency contracts ................... (1,952)
------------
Net gain on investments and
foreign currency .............................. 14,235,730
------------
Net increase in net assets resulting
from operations .............................................. $ 16,498,167
============
</TABLE>
* For the period January 1, 1997 (commencement of operations) to June 30, 1997.
The accompanying notes are an integral part of the financial statements.
11
<PAGE> 14
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
ASSET ASSET ASSET HIGH
ALLOCATION ALLOCATION ALLOCATION YIELD
TRUST TRUST TRUST TRUST*
----- ----- ----- ------
<S> <C> <C> <C> <C>
Investment Income:
Interest (Net of $45, $1,316, $697, $6,419 and $694
withholding tax in the Aggressive, Moderate and
Conservative Asset Allocation, High Yield and
Strategic Bond Trusts, respectively) ............ $ 2,406,162 $ 11,521,031 $ 5,025,162 $ 687,356
Dividends (Net of $79,886, $134,250 and $23,736
withholding tax in the Aggressive, Moderate
and Conservative Asset Allocation Trusts,
respectively) ................................... 1,375,390 2,505,277 440,814 11,725
------------ ------------ ------------ ----------
Total income .............................. 3,781,552 14,026,308 5,465,976 699,081
------------ ------------ ------------ ----------
Expenses:
Investment adviser fee (Note 5) ................... 843,960 2,250,795 751,620 67,214
Custodian fee ..................................... 152,038 222,590 119,912 12,729
Audit and legal fees .............................. 11,601 31,500 10,740 599
Registration and filing fees ...................... 2,115 5,836 1,987 112
Amortization of deferred organization
expenses (Note 2) ............................... -- -- -- --
Trustees fees and expenses (Note 6) ............... 3,291 8,890 3,023 191
Miscellaneous ..................................... 1,858 5,801 1,250 136
------------ ------------ ------------ ----------
Total expenses ............................ 1,014,863 2,525,412 888,532 80,981
------------ ------------ ------------ ----------
Net investment income ..................... 2,766,689 11,500,896 4,577,444 618,100
------------ ------------ ------------ ----------
Realized and unrealized gain on investments,
futures and foreign currency:
Net realized gain (loss) on:
Investment transactions .......................... 7,836,805 16,120,889 4,461,585 76,355
Futures contracts ................................ 1,629,745 2,420,334 13,532 --
Foreign currency and forward foreign
currency contracts ........................ (110,437) (123,150) (26,521) 12,261
Change in unrealized appreciation (depreciation) on:
Investments ...................................... 13,011,115 22,878,375 2,204,400 628,854
Futures contracts ................................ 754,582 793,739 103,324 --
Translation of foreign currency and
forward foreign currency contracts ............. (2,846) (280) (2) --
------------ ------------ ------------ ----------
Net gain on investments, futures and
foreign currency ........................ 23,118,964 42,089,907 6,756,318 717,470
------------ ------------ ------------ ----------
Net increase in net assets resulting
from operations ......................................... $ 25,885,653 $ 53,590,803 $ 11,333,762 $1,335,570
============ ============ ============ ==========
</TABLE>
<TABLE>
<CAPTION>
STRATEGIC
BOND
TRUST
-----
<S> <C>
Investment Income:
Interest (Net of $45, $1,316, $697, $6,419 and $694
withholding tax in the Aggressive, Moderate and
Conservative Asset Allocation, High Yield and
Strategic Bond Trusts, respectively) ............ $11,452,689
Dividends (Net of $79,886, $134,250 and $23,736
withholding tax in the Aggressive, Moderate
and Conservative Asset Allocation Trusts,
respectively) ................................... 4,381
-----------
Total income .............................. 11,457,070
-----------
Expenses:
Investment adviser fee (Note 5) ................... 965,598
Custodian fee ..................................... 96,610
Audit and legal fees .............................. 12,143
Registration and filing fees ...................... 2,049
Amortization of deferred organization
expenses (Note 2) ............................... 1,485
Trustees fees and expenses (Note 6) ............... 3,525
Miscellaneous ..................................... 213
-----------
Total expenses ............................ 1,081,623
-----------
Net investment income ..................... 10,375,447
-----------
Realized and unrealized gain on investments,
futures and foreign currency:
Net realized gain (loss) on:
Investment transactions .......................... 452,463
Futures contracts ................................ --
Foreign currency and forward foreign
currency contracts ........................ 161,571
Change in unrealized appreciation (depreciation) on:
Investments ...................................... 2,243,571
Futures contracts ................................ --
Translation of foreign currency and
forward foreign currency contracts ............. 286,770
-----------
Net gain on investments, futures and
foreign currency ........................ 3,144,375
-----------
Net increase in net assets resulting
from operations ......................................... $13,519,822
===========
</TABLE>
*For the period January 1, 1997 (commencement of operations) to June 30, 1997.
The accompanying notes are an integral part of the financial statements.
12
<PAGE> 15
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL CAPITAL INVESTMENT U.S.
GOVERNMENT GROWTH QUALITY GOVERNMENT
BOND BOND BOND SECURITIES
TRUST TRUST TRUST TRUST
<S> <C> <C> <C> <C>
Investment Income:
Interest (Net of $55,719 withholding tax in the
Global Government Bond Trust) ................... $ 7,963,554 $ 1,565,296 $ 6,015,042 $ 7,193,001
------------ ----------- ----------- -----------
Total income .............................. 7,963,554 1,565,296 6,015,042 7,193,001
------------ ----------- ----------- -----------
Expenses:
Investment adviser fee (Note 5) ................... 939,427 148,528 487,245 654,898
Custodian fee ..................................... 141,145 17,872 49,379 48,017
Audit and legal fees .............................. 12,501 2,372 7,825 10,572
Registration and filing fees ...................... 2,190 443 1,404 2,010
Trustees fees and expenses (Note 6) ............... 3,524 689 2,217 2,993
Miscellaneous ..................................... 10,879 200 978 1,075
------------ ----------- ----------- -----------
Expenses before reimbursement by
investment adviser ............................. 1,109,666 170,104 549,048 719,565
Reimbursement of expenses by
investment adviser (Note 5) .................... -- 55,849 -- --
------------ ----------- ----------- -----------
Net expenses .............................. 1,109,666 114,255 549,048 719,565
------------ ----------- ----------- -----------
Net investment income ..................... 6,853,888 1,451,041 5,465,994 6,473,436
------------ ----------- ----------- -----------
Realized and unrealized loss on investments
and foreign currency:
Net realized gain (loss) on:
Investment transactions .......................... 9,859,123 (102,499) 115,502 (921,139)
Foreign currency and forward foreign
currency contracts ............................. (4,760,330) -- -- --
Change in unrealized appreciation (depreciation) on:
Investments ...................................... (11,980,374) (169,330) (789,727) 773,315
Translation of foreign currency and
forward foreign currency contracts ............. (965,598) -- -- --
------------ ----------- ----------- -----------
Net loss on investments and
foreign currency ........................ (7,847,179) (271,829) (674,225) (147,824)
------------ ----------- ----------- -----------
Net increase (decrease) in net assets
resulting from operations ............................... ($ 993,291) $ 1,179,212 $ 4,791,769 $ 6,325,612
============ =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
MONEY
MARKET
TRUST
<S> <C>
Investment Income:
Interest (Net of $55,719 withholding tax in the
Global Government Bond Trust) ................... $11,187,307
-----------
Total income .............................. 11,187,307
-----------
Expenses:
Investment adviser fee (Note 5) ................... 1,019,946
Custodian fee ..................................... 39,257
Audit and legal fees .............................. 22,199
Registration and filing fees ...................... 3,956
Trustees fees and expenses (Note 6) ............... 6,444
Miscellaneous ..................................... 4,805
-----------
Expenses before reimbursement by
investment adviser ............................. 1,096,607
Reimbursement of expenses by
investment adviser (Note 5) .................... --
-----------
Net expenses .............................. 1,096,607
-----------
Net investment income ..................... 10,090,700
-----------
Realized and unrealized loss on investments
and foreign currency:
Net realized gain (loss) on:
Investment transactions .......................... --
Foreign currency and forward foreign
currency contracts ............................. --
Change in unrealized appreciation (depreciation) on:
Investments ...................................... --
Translation of foreign currency and
forward foreign currency contracts ............. --
-----------
Net loss on investments and
foreign currency ........................ --
-----------
Net increase (decrease) in net assets
resulting from operations ............................... $10,090,700
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE> 16
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFESTYLE LIFESTYLE LIFESTYLE LIFESTYLE LIFESTYLE
AGGRESSIVE GROWTH BALANCED MODERATE CONSERVATIVE
1000 820 640 460 280
TRUST* TRUST* TRUST* TRUST* TRUST*
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends ...................................... $ 176,018 $ 751,477 $ 1,044,809 $ 346,110 $ 198,745
----------- ----------- ----------- --------- ---------
Total income .......................... 176,018 751,477 1,044,809 346,110 198,745
----------- ----------- ----------- --------- ---------
Expenses:
Custodian fee ................................. 295 673 1,137 326 184
Audit and legal fees .......................... 304 855 598 260 161
Registration and filing fees .................. 57 161 113 49 30
Trustees fees and expenses (Note 6) ........... 95 282 190 79 47
Miscellaneous ................................. 17 63 47 13 7
----------- ----------- ----------- --------- ---------
Expenses before reimbursement by
investment adviser ......................... 768 2,034 2,085 727 429
Reimbursement of expenses by
investment adviser (Note 5) ................ 768 2,034 2,085 727 429
----------- ----------- ----------- --------- ---------
Net expenses .......................... -- -- -- -- --
----------- ----------- ----------- --------- ---------
Net investment income ................. 176,018 751,477 1,044,809 346,110 198,745
----------- ----------- ----------- --------- ---------
Realized and unrealized gain (loss) on investments:
Net realized loss
on investment transactions ................... (19,365) (1,823) (23,132) (4,364) (5,808)
Change in unrealized appreciation (depreciation)
on investments ............................... 1,425,361 4,835,524 2,752,259 458,092 (13,414)
----------- ----------- ----------- --------- ---------
Net gain (loss) on investments ........ 1,405,996 4,833,701 2,729,127 453,728 (19,222)
----------- ----------- ----------- --------- ---------
Net increase in net assets
resulting from operations ........................... $ 1,582,014 $ 5,585,178 $ 3,773,936 $ 799,838 $ 179,523
=========== =========== =========== ========= =========
</TABLE>
*For the period January 1, 1997 (commencement of operations) to June 30, 1997.
The accompanying notes are an integral part of the financial statements.
14
<PAGE> 17
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PACIFIC RIM EMERGING MARKETS SCIENCE & INTERNATIONAL
TRUST (FORMERLY, THE PACIFIC RIM TECHNOLOGY SMALL CAP
EMERGING MARKETS FUND) TRUST TRUST
-------------------------------- ---------- ---------------------------
SIX MONTHS 1/01/97* SIX MONTHS
ENDED YEAR TO ENDED 3/04/96*
6/30/97 ENDED 6/30/97 6/30/97 TO
(UNAUDITED) 12/31/96 (UNAUDITED) (UNAUDITED) 12/31/96
----------- -------- ----------- ----------- --------
<S> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income (loss).. $ 95,936 $ 150,524 ($ 11,360) $ 347,766 $ 413,084
Net realized gain (loss) on:
Investment
transactions ............. 620,334 864,129 (490,106) (2,522,795) (874,882)
Foreign currency and
forward foreign
currency contracts ...... 13,667 (96,048) -- (69,898) (31,945)
Change in unrealized
appreciation
(depreciation) on:
Investments ................ 339,146 640,822 2,455,434 9,665,259 5,179,280
Foreign currency and
forward foreign
currency contracts ...... 4,112 (6,254) -- (7,295) 565
----------- ------------ ------------ ------------- ------------
Net increase in
net assets resulting from
operations ................. 1,073,195 1,553,173 1,953,968 7,413,037 4,686,102
Distribution to
shareholders from:
Net investment income ..... -- (151,471) -- (56,628) (356,506)
Net realized gains on
investments and foreign
currency transactions... -- (782,550) -- -- --
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) -- -- --
Increase in net assets
from capital share
transactions (Note 3) ..... 6,244,443 9,589,538 25,756,882 26,133,558 92,888,297
----------- ------------ ------------ ------------- ------------
Increase in net assets ...... 7,317,638 10,184,105 27,710,850 33,489,967 97,217,893
Net assets at beginning
of period ................. 23,241,204 13,057,099 -- 97,217,893 --
----------- ------------ ------------ ------------- ------------
Net assets at end
of period ................. $30,558,842 $ 23,241,204 $ 27,710,850 $ 130,707,860 $ 97,217,893
=========== ============ ============ ============= ============
Undistributed net
investment income (loss)... $ 95,936 -- ($ 11,360) $ 286,248 ($ 4,890)
=========== ============ ============ ============= ============
</TABLE>
* Commencement of operations
The accompanying notes are an integral part of the financial statements.
15
<PAGE> 18
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING PILGRIM SMALL/MID
GROWTH BAXTER GROWTH CAP
TRUST TRUST TRUST
----------- ------------- ---------------------------
1/01/97* 1/01/97* SIX MONTHS
TO TO ENDED 3/04/96*
6/30/97 6/30/97 6/30/97 TO
(UNAUDITED) UNAUDITED) (UNAUDITED) 12/31/96
----------- ---------- ----------- --------
<S> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income (loss) ......... $ 186,762 ($ 16,285) ($ 264,220) ($ 14,719)
Net realized gain on
investment transactions ............ (4,505,805) (1,691,689) (1,792,228) (6,951,840)
Change in unrealized
appreciation on investments ........ 14,823,806 4,489,796 15,523,377 10,573,628
------------- ------------ ------------- -------------
Net increase in net assets
resulting from operations .......... 10,504,763 2,781,822 13,466,929 3,607,069
Increase in net assets from
capital share transactions (Note 3).. 15,762,826 45,426,993 11,523,219 172,454,496
------------- ------------ ------------- -------------
Increase in net assets ............... 26,267,589 48,208,815 24,990,148 176,061,565
Net assets at beginning of period .... 191,511,608 -- 176,061,565 --
------------- ------------ ------------- -------------
Net assets at end of period .......... $ 217,779,197 $ 48,208,815 $ 201,051,713 $ 176,061,565
============= ============ ============= =============
Undistributed net
investment income (loss) ........... $ 186,762 ($ 16,285) ($ 264,220) --
============= ============ ============= =============
</TABLE>
* Commencement of operations
The accompanying notes are an integral part of the financial statements.
16
<PAGE> 19
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL WORLDWIDE GLOBAL
STOCK GROWTH EQUITY
TRUST TRUST TRUST
------------- ------------- ---------------------------------
1/01/97* 1/01/97* SIX MONTHS
TO TO ENDED YEAR
6/30/97 6/30/97 6/30/97 ENDED
(UNAUDITED) (UNAUDITED) (UNAUDITED) 12/31/96
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income .............................. $ 468,355 $ 24,673 $ 6,317,976 $ 5,359,674
Net realized gain (loss) on:
Investment transactions .......................... 1,527,798 34,598 17,901,604 97,559,315
Foreign currency and forward
foreign currency contracts ..................... (6,496) (5,895) (1,398,418) (12,440,807)
Change in unrealized appreciation (depreciation) on:
Investments ...................................... 5,065,429 806,677 82,197,750 (8,902,810)
Foreign currency and forward
foreign currency contracts ..................... 6,177 (96) 6,819,512 (955,166)
------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations ........................ 7,061,263 859,957 111,838,424 80,620,206
Distribution to
shareholders from:
Net investment income ........................... -- -- (10,702,845) (11,270,400)
Net realized gains on investments
and foreign currency transactions ............. -- -- (62,223,834) --
Increase in net assets from
capital share transactions (Note 3) .............. 40,370,674 10,909,668 76,356,681 9,309,957
------------- ------------- ------------- -------------
Increase in net assets ............................. 47,431,937 11,769,625 115,268,426 78,659,763
Net assets at beginning of period .................. 33,142,921 -- 726,842,401 648,182,638
------------- ------------- ------------- -------------
Net assets at end of period ........................ $ 80,574,858 $ 11,769,625 $ 842,110,827 $ 726,842,401
============= ============= ============= =============
Undistributed net
investment income ................................ $ 468,355 $ 24,673 $ 6,539,253 $ 10,924,122
============= ============= ============= =============
</TABLE>
* Commencement of operations
The accompanying notes are an integral part of the financial statements
17
<PAGE> 20
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
QUANTITATIVE EQUITY TRUST
GROWTH EQUITY (FORMERLY, THE
TRUST TRUST COMMON STOCK FUND)
----------------------------- ---------------------------------- ---------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED 7/15/96* ENDED YEAR ENDED YEAR
6/30/97 TO 6/30/97 ENDED 6/30/97 ENDED
(UNAUDITED) 12/31/96 (UNAUDITED) 12/31/96 (UNAUDITED) 12/31/96
------------- ------------ --------------- --------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income ........ $ 330,193 $ 361,643 $ 3,032,525 $ 8,238,170 $ 862,234 $ 1,390,103
Net realized gain (loss) on:
Investment
transactions ............. 1,259,992 (791,177) 85,077,306 250,761,937 6,749,600 10,029,581
Foreign currency and
forward foreign
currency contracts ...... (12,267) (5,992) (53,066) (373,530) -- --
Change in unrealized
appreciation
(depreciation) on:
Investments ................ 11,359,409 2,294,660 43,455,545 (48,495,014) 10,845,853 1,171,645
Foreign currency and
forward foreign
currency contracts ...... (363) (9) 18 605 -- --
------------- ------------ --------------- --------------- ------------ ------------
Net increase in net
assets resulting from
operations ................. 12,936,964 1,859,125 131,512,328 210,132,168 18,457,687 12,591,329
Distribution to
shareholders from:
Net investment income ...... (2,288) (356,451) (8,208,495) (4,695,040) -- (2,224,864)
Net realized gains on
investments and foreign
currency transactions.... -- -- (250,024,832) (98,365,329) -- (11,536,168)
Distribution to shareholders:
In excess of net
realized gains on
investments and foreign
currency transactions... -- -- -- -- -- (97,061)
Increase in net assets
from capital share
transactions (Note 3) ...... 35,239,692 55,304,065 190,046,883 249,589,386 21,593,352 32,170,533
------------- ------------ --------------- --------------- ------------ ------------
Increase in net assets ....... 48,174,368 56,806,739 63,325,884 356,661,185 40,051,039 30,903,769
Net assets at beginning
of period .................. 56,806,739 -- 1,345,461,390 988,800,205 91,899,697 60,995,928
------------- ------------ --------------- --------------- ------------ ------------
Net assets at end
of period .................. $ 104,981,107 $ 56,806,739 $ 1,408,787,274 $ 1,345,461,390 $131,950,736 $ 91,899,697
============= ============ =============== =============== ============ ============
Undistributed net
investment income .......... $ 330,193 $ 2,288 $ 3,032,525 $ 8,208,496 $ 862,234 --
============= ============ =============== =============== ============ ============
</TABLE>
* Commencement of operations
The accompanying notes are an integral part of the financial statements.
18
<PAGE> 21
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY INDEX
TRUST (FORMERLY, BLUE CHIP GROWTH TRUST REAL ESTATE SECURITIES TRUST
THE EQUITY (FORMERLY, THE (FORMERLY, THE REAL ESTATE
INDEX FUND) PASADENA GROWTH TRUST) SECURITIES FUND)
--------------------------- ------------------------------ -----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED 2/14/96* ENDED YEAR ENDED YEAR
6/30/97 TO 6/30/97 ENDED 6/30/97 ENDED
(UNAUDITED) 12/31/96 (UNAUDITED) 12/31/96 (UNAUDITED) 12/31/96
------------ ----------- ------------- ------------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income ....... $ 294,284 $ 132,398 $ 1,950,529 $ 898,962 $ 2,579,845 $ 3,069,357
Net realized gain (loss) on:
Investment
transactions ............ (10) 3,717 (131,268) 86,714,103 8,455,050 6,093,674
Futures contracts ......... 1,163,910 139,955 -- -- -- --
Foreign currency and
forward foreign
currency contracts ..... -- -- -- -- -- --
Change in unrealized
appreciation
(depreciation) on:
Investments ............... 75,238 22,745 64,290,590 (9,894,420) (4,878,801) 10,015,576
Futures contracts ......... 809,630 266,875 -- -- -- --
Foreign currency and
forward foreign
currency contracts ..... -- -- -- -- -- --
------------ ----------- ------------- ------------- ------------- ------------
Net increase in net
assets resulting from
operations ................ 2,343,052 565,690 66,109,851 77,718,645 6,156,094 19,178,607
Distribution to
shareholders from:
Net investment income .... -- (132,206) (898,962) (908,877) -- (5,275,859)
Net realized gains on
investments, futures and
foreign currency
transactions .......... -- (143,672) (76,558,164) -- -- (6,933,560)
Distribution to shareholders:
In excess of net realized
gains on investments,
futures and foreign
currency transactions.. -- (267,066) -- -- -- (166,348)
Increase in net assets
from capital share
transactions (Note 3) ..... 6,945,040 7,794,785 147,058,664 68,086,867 39,925,873 16,976,697
------------ ----------- ------------- ------------- ------------- ------------
Increase in net assets ...... 9,288,092 7,817,531 135,711,389 144,896,635 46,081,967 23,779,537
Net assets at beginning
of period ................. 7,817,531 -- 422,570,828 277,674,194 76,219,654 52,440,117
------------ ----------- ------------- ------------- ------------- ------------
Net assets at end
of period ................. $ 17,105,623 $ 7,817,531 $ 558,282,217 $ 422,570,828 $ 122,301,621 $ 76,219,654
============ =========== ============= ============= ============= ============
Undistributed net
investment income (loss) .. $ 294,284 -- $ 1,950,529 $ 898,962 $ 2,579,845 --
============ =========== ============= ============= ============= ============
</TABLE>
* Commencement of operations
The accompanying notes are an integral part of the financial statements.
19
<PAGE> 22
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
VALUE GROWTH AND INCOME GROWTH AND INCOME
TRUST TRUST TRUST
--------------- ------------------------------------ ------------------------------------
1/01/97* SIX MONTHS SIX MONTHS
TO ENDED YEAR ENDED YEAR
6/30/97 6/30/97 ENDED 6/30/97 ENDED
(UNAUDITED) (UNAUDITED) 12/31/96 (UNAUDITED) 12/31/96
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income ...... $ 223,593 $ 2,348,570 $ 2,531,634 $ 7,560,067 $ 13,055,784
Net realized gain (loss) on:
Investment
transactions ........... 383,523 6,371,053 13,800,418 39,237,278 66,608,198
Foreign currency and
forward foreign
currency contracts .... -- 612,611 (4,527,818) -- (241,417)
Change in unrealized
appreciation
(depreciation) on:
Investments .............. 4,241,033 5,917,940 5,646,511 182,471,918 98,172,478
Foreign currency and
forward foreign
currency contracts .... -- (359,295) 221,135 104 (1,609)
--------------- --------------- --------------- --------------- ---------------
Net increase in net
assets resulting from
operations ............... 4,848,149 14,890,979 17,671,880 229,269,367 177,593,434
Distribution to
shareholders from:
Net investment income .... -- (3,640,170) (203,407) (13,165,084) (11,667,389)
Net realized gains on
investments and foreign
currency transactions.. -- (8,342,784) -- (66,257,481) (15,781,628)
Increase in net assets
from capital share
transactions (Note 3) .... 58,818,500 31,562,748 82,903,570 180,972,962 214,206,333
--------------- --------------- --------------- --------------- ---------------
Increase in net assets ..... 63,666,649 34,470,773 100,372,043 330,819,764 364,350,750
Net assets at beginning
of period ................ -- 189,010,077 88,638,034 1,033,737,994 669,387,244
--------------- --------------- --------------- --------------- ---------------
Net assets at end
of period ................ $ 63,666,649 $ 223,480,850 $ 189,010,077 $ 1,364,557,758 $ 1,033,737,994
=============== =============== =============== =============== ===============
Undistributed net
investment income ........ $ 223,593 $ 1,902,685 $ 3,194,285 $ 7,560,067 $ 13,165,084
=============== =============== =============== =============== ===============
</TABLE>
* Commencement of operations
The accompanying notes are an integral part of the financial statements.
20
<PAGE> 23
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY-INCOME TRUST AGGRESSIVE
(FORMERLY, THE BALANCED ASSET ALLOCATION
VALUE EQUITY TRUST) TRUST TRUST
-------------------------------- ------------- --------------------------------
SIX MONTHS 1/01/97* SIX MONTHS
ENDED YEAR TO ENDED YEAR
6/30/97 ENDED 6/30/97 6/30/97 ENDED
(UNAUDITED) 12/31/96 (UNAUDITED) (UNAUDITED) 12/31/96
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income ............... $ 8,768,587 $ 8,744,645 $ 2,262,437 $ 2,766,689 $ 6,008,096
Net realized gain (loss) on:
Investment transactions ........... 20,223,283 80,310,064 14,755,702 7,836,805 17,873,805
Futures contracts ................. -- -- -- 1,629,745 (425,496)
Foreign currency and forward
foreign currency contracts ...... (8,297) (7,930) (40,407) (110,437) (871,980)
Change in unrealized
appreciation (depreciation) on:
Investments ....................... 69,244,345 395,472 (477,613) 13,011,115 4,719,321
Futures contracts ................. -- -- -- 754,582 (226,261)
Foreign currency and forward
foreign currency contracts ...... (621) (185) (1,952) (2,846) 2,798
------------- ------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations ......... 98,227,297 89,442,066 16,498,167 25,885,653 27,080,283
Distribution to
shareholders from:
Net investment income ............. (8,655,530) (5,009,152) -- (6,081,059) (5,427,633)
Net realized gains on
investments, futures and
foreign currency transactions .. (80,825,124) (25,904,015) -- (16,445,138) (10,578,038)
Increase in net assets from
capital share transactions (Note 3) 170,912,471 144,130,166 9,384,020 7,414,016 3,867,674
------------- ------------- ------------- ------------- -------------
Increase in net assets .............. 179,659,114 202,659,065 25,882,187 10,773,472 14,942,286
Net assets at beginning of period ... 599,485,621 396,826,556 134,806,542 226,699,238 211,756,952
------------- ------------- ------------- ------------- -------------
Net assets at end of period ......... $ 779,144,735 $ 599,485,621 $ 160,688,729 $ 237,472,710 $ 226,699,238
============= ============= ============= ============= =============
Undistributed net
investment income ................. $ 8,768,587 $ 8,655,530 $ 2,262,437 $ 2,766,689 $ 6,081,059
============= ============= ============= ============= =============
</TABLE>
* Commencement of operations
The accompanying notes are an integral part of the financial statements.
21
<PAGE> 24
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MODERATE CONSERVATIVE
ASSET ALLOCATION ASSET ALLOCATION HIGH YIELD
TRUST TRUST TRUST
-------------------------------- -------------------------------- -------------
SIX MONTHS SIX MONTHS 1/01/97*
ENDED YEAR ENDED YEAR TO
6/30/97 ENDED 6/30/97 ENDED 6/30/97
(UNAUDITED) 12/31/96 (UNAUDITED) 12/31/96 (UNAUDITED)
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income ............ $ 11,500,896 $ 26,442,844 $ 4,577,444 $ 10,020,051 $ 618,100
Net realized gain (loss) on:
Investment
transactions ................. 16,120,889 37,335,908 4,461,585 8,576,247 76,355
Futures contracts .............. 2,420,334 (1,002,713) 13,532 (168,117) --
Foreign currency and
forward foreign
currency contracts .......... (123,150) (1,527,516) (26,521) (196,816) --
Change in unrealized
appreciation
(depreciation) on:
Investments .................... 22,878,375 (926,299) 2,204,400 (3,354,448) 628,854
Futures contracts .............. 793,739 (487,106) 103,324 (80,347) --
Foreign currency and
forward foreign
currency contracts .......... (280) (857) (2) 45 12,261
------------- ------------- ------------- ------------- -------------
Net increase in net
assets resulting from
operations ..................... 53,590,803 59,834,261 11,333,762 14,796,615 1,335,570
Distribution to
shareholders from:
Net investment income .......... (26,584,959) (26,460,562) (10,062,867) (10,622,367) --
Net realized gains on
investments, futures and
foreign currency
transactions ............... (34,563,767) (26,425,885) (8,097,771) (3,004,794) --
Increase (decrease) in net
assets from capital share
transactions (Note 3) .......... (2,674,709) (32,262,903) (2,190,396) (17,093,800) 35,207,986
------------- ------------- ------------- ------------- -------------
Increase (decrease)
in net assets .................. (10,232,632) (25,315,089) (9,017,272) (15,924,346) 36,543,556
Net assets at beginning
of period ...................... 624,821,048 650,136,137 208,465,654 224,390,000 --
------------- ------------- ------------- ------------- -------------
Net assets at end
of period ...................... $ 614,588,416 $ 624,821,048 $ 199,448,382 $ 208,465,654 $ 36,543,556
============= ============= ============= ============= =============
Undistributed net
investment income .............. $ 11,500,896 $ 26,584,959 $ 4,577,444 $ 10,062,867 $ 618,100
============= ============= ============= ============= =============
</TABLE>
* Commencement of operations
The accompanying notes are an integral part of the financial statements.
22
<PAGE> 25
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GROWTH
STRATEGIC GLOBAL BOND TRUST
BOND GOVERNMENT BOND (FORMERLY, THE CAPITAL
TRUST TRUST GROWTH BOND FUND)
----------------------------- ----------------------------- ---------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR ENDED YEAR
6/30/97 ENDED 6/30/97 ENDED 6/30/97 ENDED
(UNAUDITED) 12/31/96 (UNAUDITED) 12/31/96 (UNAUDITED) 12/31/96
------------- ------------- ------------- ------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income ............ $ 10,375,447 $ 13,698,379 $ 6,853,888 $ 15,386,752 $ 1,451,041 $ 2,636,414
Net realized gain (loss) on:
Investment
transactions ................. 452,463 5,399,944 9,859,123 9,598,508 (102,499) (211,323)
Foreign currency and
forward foreign
currency contracts .......... 161,571 748,978 (4,760,330) 3,414,227 -- --
Change in unrealized
appreciation
(depreciation) on:
Investments .................... 2,243,571 3,229,720 (11,980,374) 1,954,903 (169,330) (1,348,717)
Foreign currency and
forward foreign
currency contracts .......... 286,770 (94,693) (965,598) (417,584) -- --
------------- ------------- ------------- ------------- ------------ ------------
Net increase (decrease) in
net assets resulting from
operations ..................... 13,519,822 22,982,328 (993,291) 29,936,806 1,179,212 1,076,374
Distribution to
shareholders from:
Net investment income .......... (14,436,515) (10,621,746) (19,668,247) (21,062,640) -- (2,638,011)
Net realized gains on
investments and foreign
currency transactions ....... (1,809,273) -- (512,991) -- -- --
Increase in net assets
from capital share
transactions (Note 3) .......... 66,905,216 86,212,723 4,104,559 5,676,210 1,951,567 4,261,280
------------- ------------- ------------- ------------- ------------ ------------
Increase (decrease)
in net assets .................. 64,179,250 98,573,305 (17,069,970) 14,550,376 3,130,779 2,699,643
Net assets at beginning
of period ...................... 221,277,481 122,704,176 249,793,310 235,242,934 45,393,429 42,693,786
------------- ------------- ------------- ------------- ------------ ------------
Net assets at end
of period ...................... $ 285,456,731 $ 221,277,481 $ 232,723,340 $ 249,793,310 $ 48,524,208 $ 45,393,429
============= ============= ============= ============= ============ ============
Undistributed net
investment income .............. $ 10,317,324 $ 14,378,392 $ 6,853,888 $ 19,668,247 $ 1,451,041 --
============= ============= ============= ============= ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
23
<PAGE> 26
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTMENT U.S. GOVERNMENT MONEY
QUALITY BOND SECURITIES MARKET
TRUST TRUST TRUST
----------------------------- ----------------------------- -----------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR ENDED YEAR
6/30/97 ENDED 6/30/97 ENDED 6/30/97 ENDED
(UNAUDITED) 12/31/96 (UNAUDITED) 12/31/96 (UNAUDITED) 12/31/96
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income ............ $ 5,465,994 $ 10,291,383 $ 6,473,436 $ 13,679,653 $ 10,090,700 $ 15,645,674
Net realized gain (loss) on
investment transactions ........ 115,502 1,165,169 (921,139) (464,497) -- --
Change in unrealized
appreciation
(depreciation)
on investments ................ (789,727) (7,470,195) 773,315 (6,682,550) -- --
------------- ------------- ------------- ------------- ------------- -------------
Net increase in net
assets resulting from
operations ..................... 4,791,769 3,986,357 6,325,612 6,532,606 10,090,700 15,645,674
Distribution to
shareholders from net
investment income ............. (10,368,425) (8,478,262) (13,118,502) (12,847,931) (10,090,700) (15,645,674)
Increase (decrease) in net
assets from capital share
transactions (Note 3) ......... 8,679,000 14,350,133 12,866,028 (6,420,478) 64,296,842 105,448,834
------------- ------------- ------------- ------------- ------------- -------------
Increase (decrease)
in net assets .................. 3,102,344 9,858,228 6,073,138 (12,735,803) 64,296,842 105,448,834
Net assets at beginning
of period ...................... 152,960,832 143,102,604 204,052,616 216,788,419 363,565,797 258,116,963
------------- ------------- ------------- ------------- ------------- -------------
Net assets at end
of period ...................... $ 156,063,176 $ 152,960,832 $ 210,125,754 $ 204,052,616 $ 427,862,639 $ 363,565,797
============= ============= ============= ============= ============= =============
Undistributed net
investment income .............. $ 5,454,294 $ 10,356,725 $ 6,435,961 $ 13,081,027 -- --
============= ============= ============= ============= ============= =============
</TABLE>
The accompanying notes are an integral part of the financial statements
24
<PAGE> 27
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFESTYLE LIFESTYLE LIFESTYLE LIFESTYLE LIFESTYLE
AGGRESSIVE 1000 GROWTH 820 BALANCED 640 MODERATE 460 CONSERVATIVE 280
TRUST TRUST TRUST TRUST TRUST
------------ ------------ ------------ ------------ ------------
1/01/97* 1/01/97* 1/01/97* 1/01/97* 1/01/97*
TO TO TO TO TO
6/30/97 6/30/97 6/30/97 6/30/97 6/30/97
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income .. $ 176,018 $ 751,477 $ 1,044,809 $ 346,110 $ 198,745
Net realized loss
on investment
transactions ........ (19,365) (1,823) (23,132) (4,364) (5,808)
Change in unrealized
appreciation
(depreciation)
on investments ...... 1,425,361 4,835,524 2,752,259 458,092 (13,414)
------------ ------------ ------------ ------------ ------------
Net increase in net
assets resulting from
operations ........... 1,582,014 5,585,178 3,773,936 799,838 179,523
Distribution to
shareholders from:
Net investment income (176,018) (751,477) (1,044,809) (346,110) (198,745)
Increase in net assets
from capital share
transactions (Note 3) 20,014,370 86,347,518 68,195,995 20,099,659 7,634,690
------------ ------------ ------------ ------------ ------------
Increase in net assets . 21,420,366 91,181,219 70,925,122 20,553,387 7,615,468
Net assets at beginning
of period ............ -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Net assets at end
of period ............ $ 21,420,366 $ 91,181,219 $ 70,925,122 $ 20,553,387 $ 7,615,468
============ ============ ============ ============ ============
Undistributed net
investment income .... -- -- -- -- --
============ ============ ============ ============ ============
</TABLE>
* Commencement of operations
The accompanying notes are an integral part of the financial statements
25
<PAGE> 28
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PACIFIC RIM EMERGING MARKETS TRUST
(FORMERLY, THE PACIFIC RIM EMERGING MARKETS FUND)
----------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31, 10/04/94*
6/30/97 ---------------------------------- TO
(UNAUDITED) 1996 1995 12/31/94
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Net asset value, beginning
of period ................................... $ 10.90 $ 10.36 $ 9.41 $10.00
Income from investment operations:
Net investment income ....................... 0.04 0.07 0.12 0.04
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ............................. 0.32 0.94 0.96 (0.59)
------- ------- ------- ------
Total from investment
operations ........................... 0.36 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 ................ $ 11.26 $ 10.90 $ 10.36 $ 9.41
======= ======= ======= ======
Total return ........................... 3.30%+ 9.81% 11.47% (5.63%)+
Net assets, end of period (000's) ............. $30,559 $23,241 $13,057 $7,657
Ratio of operating expenses to
average net assets .......................... 1.37%(A) 1.50% 1.50% 1.60%(A)
Ratio of net investment income to
average net assets .......................... 0.73%(A) 0.78% 1.01% 1.84%(A)
Portfolio turnover rate ....................... 72%(A) 48% 55% 0%(A)
Average commission rate per share (B) ......... $ 0.012 $ 0.015 N/A N/A
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
26
<PAGE> 29
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SCIENCE & TECHNOLOGY
TRUST
--------------------
01/01/97*
TO
06/30/97
(UNAUDITED)
--------------------
<S> <C>
Net asset value, beginning
of period......................... $ 12.50
Income from investment operations:
Net investment loss............... (0.01)
Net realized and unrealized gain
on investments.................. 1.31
-------
Total from investment
operations................. 1.30
Net asset value, end of period...... $ 13.80
=======
Total return................. 10.40%+
Net assets, end of period (000's)... $27,711
Ratio of operating expenses to
average net assets................ 1.29%(A)
Ratio of net investment loss to
average net assets................ (0.16%)(A)
Portfolio turnover rate............. 181%(A)
Average commission rate per share (B) $ 0.035
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
27
<PAGE> 30
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL SMALL CAP TRUST
-----------------------------
SIX MONTHS
ENDED 03/04/96*
06/30/97 TO
(UNAUDITED) 12/31/96
----------- ----------
<S> <C> <C>
Net asset value, beginning
of period .............................. $ 13.60 $ 12.50
Income from investment operations:
Net investment income .................. 0.03 0.06
Net realized and unrealized gain
on investments and foreign currency
transactions ........................ 0.86 1.09
-------- -------
Total from investment
operations ...................... 0.89 1.15
Less distributions:
Dividends from net investment income .. -- (0.05)
-------- -------
Net asset value, end of period ........... $ 14.49 $ 13.60
======== =======
Total return ...................... 6.60%+ 9.20%+
Net assets, end of period (000's) ........ $130,708 $97,218
Ratio of operating expenses to
average net assets ..................... 1.28%(A) 1.29%(A)
Ratio of net investment income to
average net assets ..................... 0.61%(A) 0.93%(A)
Portfolio turnover rate .................. 35%(A) 50%(A)
Average commission rate per share (B) .... $ 0.013 $ 0.015
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
28
<PAGE> 31
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING GROWTH TRUST
---------------------
01/01/97*
TO
06/30/97
(UNAUDITED)
---------------------
<S> <C>
Net asset value, beginning
of period ............................... $ 20.60
Income from investment operations:
Net investment income ................... 0.02
Net realized and unrealized
gain on investments ................... 0.97
--------
Total from investment
operations ....................... 0.99
Net asset value, end of period ............ $ 21.59
========
Total return ....................... 5.78%+
Net assets, end of period (000's) ......... $217,779
Ratio of operating expenses to
average net assets ...................... 1.10%(A)
Ratio of net investment income to
average net assets ...................... 0.19%(A)
Portfolio turnover rate ................... 169%(A)
Average commission rate per share (B) ..... $ 0.056
</TABLE>
- ---------------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
29
<PAGE> 32
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PILGRIM BAXTER GROWTH
TRUST
---------------------
01/01/97*
TO
06/30/97
(UNAUDITED)
---------------------
<S> <C>
Net asset value, beginning
of period ................................. $ 12.50
Income from investment operations:
Net investment loss ....................... (0.01)
Net realized and unrealized loss
on investments .......................... (0.25)
-------
Total from investment
operations ......................... (0.26)
Net asset value, end of period .............. $ 12.24
=======
Total return ......................... (2.08%)+
Net assets, end of period (000's) ........... $48,209
Ratio of operating expenses to
average net assets ........................ 1.18%(A)
Ratio of net investment loss to
average net assets ........................ (0.15%)(A)
Portfolio turnover rate ..................... 60%(A)
Average commission rate per share (B) ....... $ 0.050
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
30
<PAGE> 33
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL/MID CAP TRUST
----------------------------
SIX MONTHS
ENDED 03/04/96*
06/30/97 TO
(UNAUDITED) 12/31/96
----------- ----------
<S> <C> <C>
Net asset value, beginning
of period ............................. $ 13.37 $ 12.50
Income from investment operations:
Net investment loss ................... (0.02) --
Net realized and unrealized gain
on investments ...................... 0.96 0.87
-------- --------
Total from investment
operations ..................... 0.94 0.87
Net asset value, end of period .......... $ 14.31 $ 13.37
======== ========
Total return ..................... 7.03%+ 6.96%+
Net assets, end of period (000's) ....... $201,052 $176,062
Ratio of operating expenses to
average net assets .................... 1.05%(A) 1.10%(A)
Ratio of net investment loss to
average net assets .................... (0.30%)(A) (0.02%)(A)
Portfolio turnover rate ................. 166%(A) 67%(A)
Average commission rate per share (B) ... $ 0.069 $ 0.069
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
31
<PAGE> 34
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL STOCK TRUST
-------------------------
01/01/97*
TO
06/30/97
(UNAUDITED)
-------------------------
<S> <C>
Net asset value, beginning
of period ................................ $ 11.47
Income from investment operations:
Net investment income .................... 0.07
Net realized and unrealized gain
on investments and foreign currency
transactions .......................... 1.13
-------
Total from investment
operations ........................ 1.20
Net asset value, end of period ............. $ 12.67
=======
Total return ........................ 11.83%+
Net assets, end of period (000's) .......... $80,575
Ratio of operating expenses to
average net assets ....................... 1.31%(A)
Ratio of net investment income to
average net assets ....................... 1.81%(A)
Portfolio turnover rate .................... 98%(A)
Average commission rate per share (B) ...... $ 0.020
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
32
<PAGE> 35
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
WORLDWIDE GROWTH TRUST
----------------------
01/01/97*
TO
06/30/97
(UNAUDITED)
----------------------
<S> <C>
Net asset value, beginning
of period ................................ $ 12.50
Income from investment operations:
Net investment income .................... 0.03
Net realized and unrealized gain
on investments and foreign currency
transactions .......................... 1.44
-------
Total from investment
operations ........................ 1.47
Net asset value, end of period ............. $ 13.97
=======
Total return ........................ 11.76%+
Net assets, end of period (000's) .......... $11,770
Ratio of operating expenses to
average net assets ....................... 1.69%(A)
Ratio of net investment income to
average net assets ....................... 0.84%(A)
Portfolio turnover rate .................... 66%(A)
Average commission rate per share (B) ...... $ 0.046
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
33
<PAGE> 36
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL EQUITY TRUST
-------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/97 --------------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993 1992
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ............................ $ 17.84 $ 16.10 $ 15.74 $ 15.73 $ 12.00 $ 12.24
Income from investment operations:
Net investment income (loss) (B) ..... 0.14 0.12 0.29 0.05 0.12 0.10
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ..... 2.35 1.89 0.84 0.22 3.79 (0.19)
-------- -------- -------- -------- -------- --------
Total from investment operations .. 2.49 2.01 1.13 0.27 3.91 (0.09)
Less distributions:
Dividends from net investment income . (0.27) (0.27) (0.08) (0.02) (0.18) (0.15)
Distributions from capital gains ..... (1.54) -- (0.69) (0.24) -- --
-------- -------- -------- -------- -------- --------
Total distributions ............... (1.81) (0.27) (0.77) (0.26) (0.18) (0.15)
-------- -------- -------- -------- -------- --------
Net asset value, end of period ......... $ 18.52 $ 17.84 $ 16.10 $ 15.74 $ 15.73 $ 12.00
======== ======== ======== ======== ======== ========
Total return ...................... 15.44%+ 12.62% 7.68% 1.74% 32.89% (0.72%)
Net assets, end of period (000's) ...... $842,111 $726,842 $648,183 $616,138 $377,871 $116,731
Ratio of operating expenses to
average net assets(C) ................ 1.01%(A) 1.01% 1.05% 1.08% 1.16% 1.16%
Ratio of net investment income (loss) to
average net assets ................... 1.67%(A) 0.78% 0.61% 0.44% 0.77% 1.12%
Portfolio turnover rate ................ 32%(A) 169% 63% 52% 52% 69%
Average commission rate per share(D) ... $ 0.032 $ 0.015 N/A N/A N/A N/A
</TABLE>
<TABLE>
<CAPTION>
GLOBAL EQUITY TRUST
---------------------------------------------
YEARS ENDED DECEMBER 31, 03/18/88*
-------------------------------- TO
1991 1990 1989 12/31/88
-------- ------- ------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning
of period ............................ $ 11.00 $ 12.57 $ 10.15 $10.03
Income from investment operations:
Net investment income (loss) (B) ..... 0.16 0.12 0.10 (0.05)
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ..... 1.23 (1.41) 2.32 0.17
-------- ------- ------- ------
Total from investment operations .. 1.39 (1.29) 2.42 0.12
Less distributions:
Dividends from net investment income . (0.15) (0.04) -- --
Distributions from capital gains ..... -- (0.24) -- --
-------- ------- ------- ------
Total distributions ............... (0.15) (0.28) -- --
-------- ------- ------- ------
Net asset value, end of period ......... $ 12.24 $ 11.00 $ 12.57 $10.15
======== ======= ======= ======
Total return ...................... 12.80% (10.43%) 23.84% 1.20%+
Net assets, end of period (000's) ...... $ 89,003 $63,028 $26,223 $2,143
Ratio of operating expenses to
average net assets(C) ................ 1.23% 1.28% 1.62% 3.98%(A)
Ratio of net investment income (loss) to
average net assets ................... 1.47% 1.97% 1.82% (1.71%)(A)
Portfolio turnover rate ................ 74% 67% 109% 81%(A)
Average commission rate per share(D) ... N/A N/A N/A N/A
</TABLE>
- ---------------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
34
<PAGE> 37
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH TRUST
----------------------------
SIX MONTHS
ENDED 07/15/96*
06/30/97 TO
(UNAUDITED) 12/31/96
----------- ----------
<S> <C> <C>
Net asset value, beginning
of period .............................. $ 13.73 $ 12.50
Income from investment operations:
Net investment income .................. 0.05 0.09
Net realized and unrealized gain
on investments and foreign currency
transactions ........................ 2.29 1.23
-------- -------
Total from investment
operations ...................... 2.34 1.32
Less distributions:
Dividends from net investment income .. -- (0.09)
-------- -------
Net asset value, end of period ........... $ 16.07 $ 13.73
======== =======
Total return ...................... 17.05%+ 10.53%+
Net assets, end of period (000's) ........ $104,981 $56,807
Ratio of operating expenses to
average net assets ..................... 0.95%(A) 1.01%(A)
Ratio of net investment income to
average net assets ..................... 0.85%(A) 2.57%(A)
Portfolio turnover rate .................. 175%(A) 215%(A)
Average commission rate per share (B) .... $ 0.063 $ 0.048
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
35
<PAGE> 38
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY TRUST
------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/97 --------------------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993** 1992 1991
---------- ---------- -------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ........................... $ 22.62 $ 20.79 $ 14.66 $ 15.57 $ 13.97 $ 13.12 $ 11.33
Income from investment operations:
Net investment income (B) ........... 0.05 0.13 0.10 0.11 0.07 0.64 0.14
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ... 1.73 3.77 6.14 (0.18) 2.11 0.38 1.88
---------- ---------- -------- -------- -------- -------- -------
Total from investment
operations ..................... 1.78 3.90 6.24 (0.07) 2.18 1.02 2.02
Less distributions:
Dividends from net investment income (0.14) (0.09) (0.11) (0.05) (0.58) (0.17) (0.23)
Distributions from capital gains .... (4.37) (1.98) -- (0.79) -- -- --
---------- ---------- -------- -------- -------- -------- -------
Total distributions .............. (4.51) (2.07) (0.11) (0.84) (0.58) (0.17) (0.23)
---------- ---------- -------- -------- -------- -------- -------
Net asset value, end of period ........ $ 19.89 $ 22.62 $ 20.79 $ 14.66 $ 15.57 $ 13.97 $ 13.12
========== ========== ======== ======== ======== ======== =======
Total return ..................... 10.32%+ 20.14% 42.79% (0.53%) 16.31% 7.93% 17.94%
Net assets, end of period (000's) ..... $1,408,787 $1,345,461 $988,800 $534,562 $387,842 $192,626 $88,235
Ratio of operating expenses to
average net assets (C) .............. 0.79%(A) 0.80% 0.80% 0.84% 0.88% 0.95% 0.89%
Ratio of net investment income to
average net assets .................. 0.45%(A) 0.71% 0.63% 0.88% 0.50% 7.31% 2.23%
Portfolio turnover rate ............... 225%(A) 223% 88% 132% 173% 782% 172%
Average commission rate per share (D) . $0.041 $ 0.043 N/A N/A N/A N/A N/A
</TABLE>
<TABLE>
<CAPTION>
EQUITY TRUST
-----------------------------
YEARS ENDED DECEMBER 31,
-----------------------------
1990 1989 1988
------- ------- --------
<S> <C> <C> <C>
Net asset value, beginning
of period ........................... $ 19.14 $ 15.17 $ 12.57
Income from investment operations:
Net investment income (B) ........... 0.24 0.29 0.15
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ... (1.95) 3.87 2.45
------- ------- --------
Total from investment
operations ..................... (1.71) 4.16 2.60
Less distributions:
Dividends from net investment income (0.29) (0.12) --
Distributions from capital gains .... (5.81) (0.07) --
------- ------- --------
Total distributions .............. (6.10) (0.19) --
------- ------- --------
Net asset value, end of period ........ $ 11.33 $ 19.14 $ 15.17
======= ======= ========
Total return ..................... (11.79%) 27.70% 20.71%
Net assets, end of period (000's) ..... $36,564 $32,108 $133,852
Ratio of operating expenses to
average net assets (C) .............. 0.97% 1.02% 1.08%
Ratio of net investment income to
average net assets .................. 2.74% 1.90% 1.80%
Portfolio turnover rate ............... 95% 111% 49%
Average commission rate per share (D) . N/A N/A N/A
</TABLE>
- --------------------------
** Net investment income per share was calculated using the average shares
method for fiscal year 1993.
+ Non-annualized
(A) Annualized
(B) After expense reimbursement per share of $0.02 in 1987.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser, was 1.30% in 1987.
(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.
The accompanying notes are an integral part of the financial statements.
36
<PAGE> 39
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
QUANTITATIVE EQUITY TRUST
(FORMERLY, THE COMMON STOCK FUND)
------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/97 ---------------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993 1992 1991
----------- ------- ------- ------- ------- ------ ------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .............................. $ 17.33 $ 17.27 $ 13.36 $ 14.68 $ 13.73 $13.33 $10.48
Income from investment operations:
Net investment income (B) .............. 0.13 0.26 0.24 0.20 0.19 0.18 0.21
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ...... 3.01 2.83 3.67 (0.81) 1.64 0.61 2.94
-------- ------- ------- ------- ------- ------ ------
Total from investment
operations ........................ 3.14 3.09 3.91 (0.61) 1.83 0.79 3.15
Less distributions:
Dividends from net investment income ... -- (0.50) -- (0.20) (0.19) (0.18) (0.21)
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)
-------- ------- ------- ------- ------- ------ ------
Net asset value, end of period ........... $ 20.47 $ 17.33 $ 17.27 $ 13.36 $ 14.68 $13.73 $13.33
======== ======= ======= ======= ======= ====== ======
Total return ........................ 18.12%+ 17.92% 29.23% (4.19%) 13.39% 6.07% 30.18%
Net assets, end of period (000's) ........ $131,951 $91,900 $60,996 $34,829 $21,651 $9,708 $5,480
Ratio of operating expenses to
average net assets (C) ................. 0.50%(A) 0.50% 0.50% 0.50% 0.50% 0.50% 0.50%
Ratio of net investment income to
average net assets ..................... 1.59%(A) 1.81% 1.76% 1.53% 1.39% 1.51% 1.78%
Portfolio turnover rate .................. 110%(A) 105% 109% 85% 88% 48% 53%
Average commission rate per share (D) .... $ 0.060 $ 0.060 N/A N/A N/A N/A N/A
</TABLE>
<TABLE>
<CAPTION>
QUANTITATIVE EQUITY TRUST
(FORMERLY, THE COMMON STOCK FUND)
---------------------------------
YEARS ENDED DECEMBER 31,
---------------------------------
1990 1989 1988
------ ------ ------
<S> <C> <C> <C>
Net asset value, beginning
of period .............................. $11.25 $ 8.91 $ 8.36
Income from investment operations:
Net investment income (B) .............. 0.32 0.36 0.28
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ...... (0.77) 2.34 0.56
------ ------ ------
Total from investment
operations ........................ (0.45) 2.70 0.84
Less distributions:
Dividends from net investment income ... (0.32) (0.36) (0.29)
Distributions from capital gains ....... -- -- --
Distributions in excess of capital gains -- -- --
------ ------ ------
Total distributions ................. (0.32) (0.36) (0.29)
------ ------ ------
Net asset value, end of period ........... $10.48 $11.25 $ 8.91
====== ====== ======
Total return ........................ (4.06%) 30.66% 9.86%
Net assets, end of period (000's) ........ $2,872 $2,138 $1,176
Ratio of operating expenses to
average net assets (C) ................. 0.50% 0.50% 0.50%
Ratio of net investment income to
average net assets ..................... 3.06% 3.48% 3.16%
Portfolio turnover rate .................. 121% 121% 172%
Average commission rate per share (D) .... N/A N/A N/A
</TABLE>
- --------------------------
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) After investment adviser expense reimbursement per share of $0.02 for the
six months ended June 30, 1997.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser, was 0.77% for the six months ended June 30, 1997.
(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.
The accompanying notes are an integral part of the financial statements.
37
<PAGE> 40
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY INDEX TRUST
(FORMERLY, THE EQUITY INDEX FUND)
----------------------------------
SIX MONTHS
ENDED 02/14/96*
06/30/97 TO
(UNAUDITED) 12/31/96
----------- ---------
<S> <C> <C>
Net asset value, beginning
of period ................................... $ 10.69 $10.00
Income from investment operations:
Net investment income (B) ................... 0.22 0.19
Net realized and unrealized gain
on investments ............................ 1.94 1.29
------- ------
Total from investment
operations ........................... 2.16 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 ................ $ 12.85 $10.69
======= ======
Total return ........................... 20.21%+ 14.86%+
Net assets, end of period (000's) ............. $17,106 $7,818
Ratio of operating expenses to
average net assets (C) ...................... 0.40%(A) 0.40%(A)
Ratio of net investment income to
average net assets .......................... 4.71%(A) 4.74%(A)
Portfolio turnover rate ....................... 0%(A) 27%(A)
Average commission rate per share (D) ......... $ 0.046 $ 0.041
</TABLE>
- -----------------------------
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) After investment adviser expense reimbursement per share of $0.01 for the
six months ended June 30, 1997.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser, was 0.56% for the six months ended June 30, 1997.
(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.
The accompanying notes are an integral part of the financial statements.
38
<PAGE> 41
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BLUE CHIP GROWTH TRUST
(FORMERLY, THE PASADENA GROWTH TRUST)
------------------------------------------------------------------------------------
SIX MONTHS YEARS ENDED DECEMBER 31,
ENDED 12/11/92*
06/30/97 ----------------------------------------------------- TO
(UNAUDITED) 1996 1995 1994 1993 12/31/92
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period .. $ 14.31 $ 11.40 $ 9.05 $ 9.55 $ 9.93 $ 10.00
Income from investment operations:
Net investment income (B) .......... 0.05 0.03 0.03 0.04 0.05 0.00
Net realized and unrealized gain
(loss) on investments ............ 1.71 2.92 2.36 (0.50) (0.42) (0.07)
-------- -------- -------- -------- -------- --------
Total from investment operations 1.76 2.95 2.39 (0.46) (0.37) (0.07)
Less distributions:
Dividends from net investment income (0.03) (0.04) (0.04) (0.04) (0.01)
Distributions from capital gains .. (2.50) -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total distributions ............ (2.53) (0.04) (0.04) (0.04) (0.01) --
-------- -------- -------- -------- -------- --------
Net asset value, end of period ........ $ 13.54 $ 14.31 $ 11.40 $ 9.05 $ 9.55 $ 9.93
======== ======== ======== ======== ======== ========
Total return ................... 14.58%+ 25.90% 26.53% (4.80%) (3.80%) (0.70%)+
Net assets, end of period (000's) ..... $558,282 $422,571 $277,674 $151,727 $104,966 $ 31,118
Ratio of operating expenses to
average net assets (C) .............. 0.97%(A) 0.975% 0.975% 0.975% 0.975% 1.06%(A)
Ratio of net investment income to
average net assets .................. 0.82%(A) 0.26% 0.42% 0.65% 0.75% 1.04%(A)
Portfolio turnover rate ............... 37%(A) 159% 57% 33% 12% 0%(A)
Average commission rate per share (D) . $ 0.036 $ 0.049 N/A N/A N/A N/A
</TABLE>
- ---------------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
39
<PAGE> 42
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
REAL ESTATE SECURITIES TRUST
(FORMERLY, THE REAL ESTATE SECURITIES FUND)
---------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/97 -----------------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993 1992
-------- -------- -------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .............................. $ 16.95 $ 15.10 $ 13.34 $ 14.07 $ 12.75 $ 10.92
Income from investment operations:
Net investment income (B) .............. 0.38 0.74 0.67 0.55 0.47 0.45
Net realized and unrealized gain
(loss) on investments ................ 0.50 4.31 1.35 (0.93) 2.38 1.83
-------- -------- -------- ------------ ------------ ------------
Total from investment
operations ........................ 0.88 5.05 2.02 (0.38) 2.85 2.28
Less distributions:
Dividends from net investment income ... -- (1.39) (0.26) (0.27) (0.47) (0.45)
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)
-------- -------- -------- ------------ ------------ ------------
Net asset value, end of period ........... $ 17.83 $ 16.95 $ 15.10 $ 13.34 $ 14.07 $ 12.75
======== ======== ======== ============ ============ ============
Total return ........................ 5.19%+ 34.69% 15.14% (2.76%) 22.61% 21.29%
Net assets, end of period (000's) ........ $122,302 $ 76,220 $ 52,440 $ 42,571 $ 24,106 $ 7,273
Ratio of operating expenses to
average net assets (C) ................. 0.50%(A) 0.50% 0.50% 0.50% 0.50% 0.50%
Ratio of net investment income to
average net assets ..................... 5.40%(A) 5.22% 5.06% 4.26% 3.93% 4.13%
Portfolio turnover rate .................. 170%(A) 231% 136% 36% 143% 71%
Average commission rate per share (D) .... $ 0.052 $ 0.059 N/A N/A N/A N/A
</TABLE>
- --------------------------
<TABLE>
<CAPTION>
REAL ESTATE SECURITIES TRUST
(FORMERLY, THE REAL ESTATE SECURITIES FUND)
------------------------------------------------------------
YEARS ENDED DECEMBER 31,
------------------------------------------------------------
1991 1990 1989 1988
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning
of period .............................. $ 8.16 $ 9.24 $ 9.12 $ 8.76
Income from investment operations:
Net investment income (B) .............. 0.53 0.67 0.68 0.70
Net realized and unrealized gain
(loss) on investments ................ 2.76 (1.09) 0.15 0.37
--------- --------- --------- ---------
Total from investment
operations ........................ 3.29 (0.42) 0.83 1.07
Less distributions:
Dividends from net investment income ... (0.53) (0.66) (0.71) (0.71)
Distributions from capital gains ....... -- -- -- --
Distributions in excess of capital gains -- -- -- --
--------- --------- --------- ---------
Total distributions ................. (0.53) (0.66) (0.71) (0.71)
--------- --------- --------- ---------
Net asset value, end of period ........... $ 10.92 $ 8.16 $ 9.24 $ 9.12
========= ========= ========= =========
Total return ........................ 41.10% (4.53%) 9.23% 11.72%
Net assets, end of period (000's) ........ $ 4,120 $ 2,774 $ 2,874 $ 2,490
Ratio of operating expenses to
average net assets (C) ................. 0.50% 0.50% 0.50% 0.50%
Ratio of net investment income to
average net assets ..................... 5.40% 7.74% 7.29% 7.18%
Portfolio turnover rate .................. 40% 24% 15% 23%
Average commission rate per share (D) .... N/A N/A N/A N/A
</TABLE>
* Commencement of operations
+ Non-annualized
(A) Annualized
(B) After investment adviser expense reimbursement per share of $0.02 for the
six months ended June 30, 1997.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser, was 0.76% for the six months ended June 30, 1997.
(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.
The accompanying notes are an integral part of the financial statements.
40
<PAGE> 43
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE TRUST
----------
01/01/97*
TO
06/30/97
(UNAUDITED)
-----------
<S> <C>
Net asset value, beginning
of period ......................... $ 12.50
Income from investment operations:
Net investment income ............. 0.05
Net realized and unrealized gain
on investments .................. 1.92
-----------
Total from investment
operations ................. 1.97
Net asset value, end of period ...... $ 14.47
===========
Total return ................. 15.76%+
Net assets, end of period (000's) ... $ 63,667
Ratio of operating expenses to
average net assets ................ 0.91%(A)
Ratio of net investment income to
average net assets ................ 1.80%(A)
Portfolio turnover rate ............. 45%(A)
Average commission rate per share (B) $ 0.059
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
41
<PAGE> 44
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL GROWTH AND INCOME TRUST
-----------------------------------------------------
SIX MONTHS
ENDED YEAR 01/09/95*
06/30/97 ENDED TO
(UNAUDITED) 12/31/96 12/31/95
------------ ------------ ------------
<S> <C> <C> <C>
Net asset value, beginning
of period ........................... $ 11.77 $ 10.47 $ 10.00
Income from investment operations:
Net investment income .............. 0.12 0.17 0.11
Net realized and unrealized gain
on investments and foreign currency
transactions .................... 0.65 1.15 0.59
------------ ------------ ------------
Total from investment
operations ................... 0.77 1.32 0.70
Less distributions:
Dividends from net investment income (0.22) (0.02) (0.12)
Distributions from capital gains ... (0.51) -- (0.11)
------------ ------------ ------------
Total distributions ............ (0.73) (0.02) (0.23)
------------ ------------ ------------
Net asset value, end of period ........ $ 11.81 $ 11.77 $ 10.47
============ ============ ============
Total return ................... 7.18%+ 12.61% 6.98%+
Net assets, end of period (000's) ..... $ 223,481 $ 189,010 $ 88,638
Ratio of operating expenses to
average net assets .................. 1.08%(A) 1.11% 1.47%(A)
Ratio of net investment income to
average net assets .................. 2.35%(A) 1.82% 0.71%(A)
Portfolio turnover rate ............... 113%(A) 148% 112%(A)
Average commission rate per share (B) . $ 0.002 $ 0.028 N/A
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
42
<PAGE> 45
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH AND INCOME TRUST
-----------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/97 -----------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993
----------- ----------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ........................... $ 19.38 $ 16.37 $ 13.04 $ 13.05 $ 12.10
Income from investment operations:
Net investment income ............... 0.11 0.22 0.27 0.25 0.17
Net realized and unrealized gain
on investments and foreign currency
transactions ..................... 3.74 3.41 3.45 0.11 0.98
----------- ----------- ---------- ---------- ----------
Total from investment operations 3.85 3.63 3.72 0.36 1.15
Less distributions:
Dividends from net investment income (0.24) (0.26) (0.26) (0.19) (0.18)
Distributions from capital gains .... (1.20) (0.36) (0.13) (0.18) (0.02)
----------- ----------- ---------- ---------- ----------
Total distributions ............ (1.44) (0.62) (0.39) (0.37) (0.20)
----------- ----------- ---------- ---------- ----------
Net asset value, end of period ........ $ 21.79 $ 19.38 $ 16.37 $ 13.04 $ 13.05
=========== =========== ========== ========== ==========
Total return ................... 21.15%+ 22.84% 29.20% 2.85% 9.62%
Net assets, end of period (000's) ..... $ 1,364,558 $ 1,033,738 $ 669,387 $ 409,534 $ 288,765
Ratio of operating expenses to
average net assets .................. 0.78%(A) 0.80% 0.80% 0.82% 0.85%
Ratio of net investment income to
average net assets .................. 1.29%(A) 1.56% 2.23% 2.40% 2.29%
Portfolio turnover rate ............... 36%(A) 49% 39% 42% 39%
Average commission rate per share (B) . $ 0.054 $ 0.055 N/A N/A N/A
</TABLE>
<TABLE>
<CAPTION>
GROWTH AND INCOME TRUST
----------------------------------------
YEARS ENDED DECEMBER 31, 04/23/91*
-------------- T0
1992 12/31/91
-------------- --------------
<S> <C> <C>
Net asset value, beginning
of period ........................... $ 11.08 $ 10.00
Income from investment operations:
Net investment income ............... 0.20 0.13
Net realized and unrealized gain
on investments and foreign currency
transactions ..................... 0.92 0.95
-------------- --------------
Total from investment operations 1.12 1.08
Less distributions:
Dividends from net investment income (0.10) --
Distributions from capital gains .... -- --
-------------- --------------
Total distributions ............ (0.10) --
-------------- --------------
Net asset value, end of period ........ $ 12.10 $ 11.08
============== ==============
Total return ................... 10.23% 10.80%+
Net assets, end of period (000's) ..... $ 130,984 $ 57,404
Ratio of operating expenses to
average net assets .................. 0.85% 0.98%(A)
Ratio of net investment income to
average net assets .................. 2.78% 2.92%(A)
Portfolio turnover rate ............... 44% 62%(A)
Average commission rate per share (B) . N/A N/A
</TABLE>
- ------------------
* 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.
The accompanying notes are an integral part of the financial statements.
43
<PAGE> 46
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY-INCOME TRUST
(FORMERLY, THE VALUE EQUITY TRUST)
---------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31, 02/19/93*
06/30/97 ----------------------------------------------- TO
(UNAUDITED) 1996 1995 1994** 12/31/93
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ........................... $ 15.41 $ 13.81 $ 11.33 $ 11.31 $ 10.00
Income from investment operations:
Net investment income .............. 0.16 0.21 0.17 0.12 0.07
Net realized and unrealized gain
(loss) on investments and foreign
currency transactions ............. 1.94 2.39 2.49 (0.03) 1.24
------------ ------------ ------------ ------------ ------------
Total from investment
operations ................... 2.10 2.60 2.66 0.09 1.31
Less distributions:
Dividends from net investment income (0.21) (0.16) (0.08) (0.05) --
Distributions from capital gains ... (1.97) (0.84) (0.10) (0.02) --
------------ ------------ ------------ ------------ ------------
Total distributions ............ (2.18) (1.00) (0.18) (0.07) --
------------ ------------ ------------ ------------ ------------
Net asset value, end of period ........ $ 15.33 $ 15.41 $ 13.81 $ 11.33 $ 11.31
============ ============ ============ ============ ============
Total return ................... 15.34%+ 19.85% 23.69% 0.79% 13.10%+
Net assets, end of period (000's) ..... $ 779,145 $ 599,486 $ 396,827 $ 221,835 $ 86,472
Ratio of operating expenses to
average net assets .................. 0.84%(A) 0.85% 0.85% 0.87% 0.94%(A)
Ratio of net investment income to
average net assets .................. 2.59%(A) 1.78% 1.63% 1.08% 1.30%(A)
Portfolio turnover rate ............... 27%(A) 158% 52% 26% 33%(A)
Average commission rate per share (B) . $ 0.034 $ 0.052 N/A N/A N/A
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
44
<PAGE> 47
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED TRUST
-----------
01/01/97*
TO
06/30/97
(UNAUDITED)
------------
<S> <C>
Net asset value, beginning
of period ........................... $ 16.41
Income from investment operations:
Net investment income ............... 0.26
Net realized and unrealized
gain on investments ............... 1.66
------------
Total from investment
operations ................... 1.92
Net asset value, end of period ........ $ 18.33
============
Total return ................... 12.39%+
Net assets, end of period (000's) ..... $ 160,689
Ratio of operating expenses to
average net assets .................. 0.86%(A)
Ratio of net investment income to
average net assets .................. 3.07%(A)
Portfolio turnover rate ............... 270%(A)
Average commission rate per share (B).. $ 0.061
</TABLE>
- ---------------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
45
<PAGE> 48
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE ASSET ALLOCATION TRUST
----------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/97 ------------------------------------------------
(UNAUDITED) 1996 1995 1994
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Net asset value, beginning
of period ............................ $ 13.45 $ 12.85 $ 11.17 $ 12.03
Income from investment operations:
Net investment income ................ 0.17 0.36 0.35 0.31
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions .... 1.27 1.21 2.07 (0.41)
------------ ------------ ------------ ------------
Total from investment operations... 1.44 1.57 2.42 (0.10)
Less distributions:
Dividends from net investment income.. (0.38) (0.33) (0.33) (0.31)
Distributions from capital gains ..... (1.01) (0.64) (0.41) (0.45)
------------ ------------ ------------ ------------
Total distributions ............... (1.39) (0.97) (0.74) (0.76)
------------ ------------ ------------ ------------
Net asset value, end of period ......... $ 13.50 $ 13.45 $ 12.85 $ 11.17
============ ============ ============ ============
Total return ...................... 11.96%+ 13.00% 22.77% (0.69%)
Net assets, end of period (000's) ...... $ 237,473 $ 226,699 $ 211,757 $ 184,662
Ratio of operating expenses to
average net assets ................... 0.89%(A) 0.90% 0.91% 0.89%
Ratio of net investment income to
average net assets ................... 2.44%(A) 2.73% 2.76% 2.90%
Portfolio turnover rate ................ 114%(A) 75% 111% 136%
Average commission rate per share (B)... $ 0.021 $ 0.025 N/A N/A
</TABLE>
<TABLE>
<CAPTION>
AGGRESSIVE ASSET ALLOCATION TRUST
------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
08/03/89*
------------------------------------------------------------------ TO
1993 1992 1991 1990 12/31/89
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ............................ $ 11.25 $ 10.72 $ 9.08 $ 9.88 $ 10.00
Income from investment operations:
Net investment income ................ 0.34 0.30 0.36 0.36 0.08
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions .... 0.79 0.55 1.69 (1.07) (0.20)
------------ ------------ ------------ ------------ ------------
Total from investment operations... 1.13 0.85 2.05 (0.71) (0.12)
Less distributions:
Dividends from net investment income (0.30) (0.32) (0.41) (0.07) --
Distributions from capital gains ..... (0.05) -- -- (0.02) --
------------ ------------ ------------ ------------ ------------
Total distributions ............... (0.35) (0.32) (0.41) (0.09) --
------------ ------------ ------------ ------------ ------------
Net asset value, end of period ......... $ 12.03 $ 11.25 $ 10.72 $ 9.08 $ 9.88
============ ============ ============ ============ ============
Total return ...................... 10.30% 8.24% 22.96% (7.27%) (1.20%)+
Net assets, end of period (000's) ...... $ 174,448 $ 151,627 $ 124,632 $ 91,581 $ 87,301
Ratio of operating expenses to
average net assets ................... 0.86% 0.89% 0.88% 0.78% 0.89%(A)
Ratio of net investment income to
average net assets ................... 2.96% 3.08% 3.63% 4.08% 3.32%(A)
Portfolio turnover rate ................ 92% 123% 172% 82% 22%(A)
Average commission rate per share (B)... N/A N/A N/A N/A N/A
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
46
<PAGE> 49
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MODERATE ASSET ALLOCATION TRUST
---------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/97 ------------------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ............................ $ 12.49 $ 12.39 $ 10.79 $ 11.76 $ 11.14
Income from investment operations:
Net investment income ................ 0.27 0.54 0.50 0.45 0.41
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions .... 0.76 0.60 1.65 (0.65) 0.67
------------ ------------ ------------ ------------ ------------
Total from investment operations... 1.03 1.14 2.15 (0.20) 1.08
Less distributions:
Dividends from net investment income.. (0.57) (0.52) (0.45) (0.40) (0.39)
Distributions from capital gains ..... (0.74) (0.52) (0.10) (0.37) (0.07)
------------ ------------ ------------ ------------ ------------
Total distributions ............... (1.31) (1.04) (0.55) (0.77) (0.46)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period ......... $ 12.21 $ 12.49 $ 12.39 $ 10.79 $ 11.76
============ ============ ============ ============ ============
Total return ...................... 9.25%+ 9.96% 20.68% (1.61%) 10.06%
Net assets, end of period (000's) ...... $ 614,588 $ 624,821 $ 650,136 $ 604,491 $ 644,257
Ratio of operating expenses to
average net assets ................... 0.83%(A) 0.84% 0.84% 0.85% 0.84%
Ratio of net investment income to
average net assets ................... 3.80%(A) 4.17% 4.09% 4.01% 4.02%
Portfolio turnover rate ................ 94%(A) 78% 129% 180% 135%
Average commission rate per share (B)... $ 0.023 $ 0.027 N/A N/A N/A
</TABLE>
<TABLE>
<CAPTION>
MODERATE ASSET ALLOCATION TRUST
-----------------------------------------------------------------
YEARS ENDED DECEMBER 31,
08/03/89*
------------------------------------------------ TO
1992 1991 1990 12/31/89
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Net asset value, beginning
of period ............................ $ 10.72 $ 9.29 $ 10.03 $ 10.00
Income from investment operations:
Net investment income ................ 0.41 0.42 0.48 0.11
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions .... 0.43 1.50 (1.10) (0.08)
------------ ------------ ------------ ------------
Total from investment operations... 0.84 1.92 (0.62) 0.03
Less distributions:
Dividends from net investment income.. (0.42) (0.49) (0.10) --
Distributions from capital gains ..... -- -- (0.02) --
------------ ------------ ------------ ------------
Total distributions ............... (0.42) (0.49) (0.12) --
------------ ------------ ------------ ------------
Net asset value, end of period ......... $ 11.14 $ 10.72 $ 9.29 $ 10.03
============ ============ ============ ============
Total return ...................... 8.30% 21.23% (6.23%) 0.30%+
Net assets, end of period (000's) ...... $ 505,967 $ 420,074 $ 327,328 $ 318,439
Ratio of operating expenses to
average net assets ................... 0.87% 0.86% 0.73% 0.79%(A)
Ratio of net investment income to
average net assets ................... 4.21% 4.38% 5.10% 4.51%(A)
Portfolio turnover rate ................ 169% 168% 76% 41%(A)
Average commission rate per share (B)... N/A N/A N/A N/A
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
47
<PAGE> 50
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CONSERVATIVE ASSET ALLOCATION TRUST
----------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/97 ------------------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ............................ $ 11.64 $ 11.59 $ 10.34 $ 11.26 $ 10.78
Income from investment operations:
Net investment income ................ 0.29 0.57 0.54 0.55 0.50
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions .... 0.33 0.20 1.26 (0.76) 0.44
------------ ------------ ------------ ------------ ------------
Total from investment operations... 0.62 0.77 1.80 (0.21) 0.94
Less distributions:
Dividends from net investment income.. (0.59) (0.56) (0.55) (0.46) (0.46)
Distributions from capital gains ..... (0.48) (0.16) -- (0.25)
------------ ------------ ------------ ------------ ------------
Total distributions ............... (1.07) (0.72) (0.55) (0.71) (0.46)
------------ ------------ ------------ ------------ ------------
Net asset value, end of period ......... $ 11.19 $ 11.64 $ 11.59 $ 10.34 $ 11.26
============ ============ ============ ============ ============
Total return ...................... 5.86%+ 7.03% 18.07% (1.84%) 8.99%
Net assets, end of period (000's) ...... $ 199,448 $ 208,466 $ 224,390 $ 216,716 $ 250,117
Ratio of operating expenses to
average net assets ................... 0.88%(A) 0.87% 0.87% 0.87% 0.86%
Ratio of net investment income to
average net assets ................... 4.53%(A) 4.59% 4.68% 4.86% 4.78%
Portfolio turnover rate ................ 123%(A) 73% 110% 220% 170%
Average commission rate per share (B)... $ 0.021 $ 0.028 N/A N/A N/A
</TABLE>
<TABLE>
<CAPTION>
CONSERVATIVE ASSET ALLOCATION TRUST
------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
08/03/89*
------------------------------------------------ TO
1992 1991 1990 12/31/89
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Net asset value, beginning
of period ............................ $ 10.63 $ 9.56 $ 10.11 $ 10.00
Income from investment operations:
Net investment income ................ 0.47 0.58 0.62 0.15
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions .... 0.26 1.15 (1.01) (0.04)
------------ ------------ ------------ ------------
Total from investment operations... 0.73 1.73 (0.39) 0.11
Less distributions:
Dividends from net investment income.. (0.58) (0.66) (0.13) --
Distributions from capital gains ..... -- -- (0.03) --
------------ ------------ ------------ ------------
Total distributions ............... (0.58) (0.66) (0.16) --
------------ ------------ ------------ ------------
Net asset value, end of period ......... $ 10.78 $ 10.63 $ 9.56 $ 10.11
============ ============ ============ ============
Total return ...................... 7.36% 18.80% (3.84%) 1.10%+
Net assets, end of period (000's) ...... $ 201,787 $ 165,167 $ 149,901 $ 141,191
Ratio of operating expenses to
average net assets ................... 0.89% 0.88% 0.76% 0.82%(A)
Ratio of net investment income to
average net assets ................... 4.99% 5.65% 6.68% 6.00%(A)
Portfolio turnover rate ................ 252% 211% 78% 85%(A)
Average commission rate per share (B)... N/A N/A N/A N/A
</TABLE>
- -----------------------------
* 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.
The accompanying notes are an integral part of the financial statements.
48
<PAGE> 51
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------
<TABLE>
HIGH YIELD TRUST
----------------
01/01/97*
TO
06/30/97
(UNAUDITED)
----------
<S> <C>
Net asset value, beginning
of period ........................... $ 12.50
Income from investment operations:
Net investment income ............... 0.22
Net realized and unrealized gain
on investments and foreign currency
transactions ..................... 0.50
----------
Total from investment
operations ................... 0.72
Net asset value, end of period ........ $ 13.22
==========
Total return ................... 5.76%+
Net assets, end of period (000's) ..... $ 36,544
Ratio of operating expenses to
average net assets .................. 0.93%(A)
Ratio of net investment income to
average net assets .................. 7.07%(A)
Portfolio turnover rate ............... 69%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
+ Non-annualized
(A) Annualized
The accompanying notes are an integral part of the financial statements.
49
<PAGE> 52
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STRATEGIC BOND TRUST
---------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31, 02/19/93*
06/30/97 --------------------------------------------- TO
(UNAUDITED) 1996 1995 1994 12/31/93
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .............................. $ 11.94 $ 11.26 $ 9.91 $ 10.88 $ 10.00
Income from investment operations:
Net investment income ................. 0.36 0.62 0.78 0.57 0.33
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ...................... 0.25 0.92 1.04 (1.22) 0.55
----------- ----------- ----------- ----------- -----------
Total from investment
operations ...................... 0.61 1.54 1.82 (0.65) 0.88
Less distributions:
Dividends from net investment income .. (0.71) (0.86) (0.47) (0.28) --
Distributions from capital gains ...... (0.09) -- -- (0.04) --
----------- ----------- ----------- ----------- -----------
Total distributions ............... (0.80) (0.86) (0.47) (0.32) --
----------- ----------- ----------- ----------- -----------
Net asset value, end of period ........... $ 11.75 $ 11.94 $ 11.26 $ 9.91 $ 10.88
=========== =========== =========== =========== ===========
Total return ...................... 5.33%+ 14.70% 19.22% (5.99%) 8.80%+
Net assets, end of period (000's) ........ $ 285,457 $ 221,277 $ 122,704 $ 84,433 $ 53,640
Ratio of operating expenses to
average net assets ..................... 0.86%(A) 0.86% 0.92% 0.91% 1.00%(A)
Ratio of net investment income to
average net assets ..................... 8.26%(A) 8.20% 8.76% 7.49% 6.56%(A)
Portfolio turnover rate .................. 154%(A) 165% 181% 197% 356%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
+ Non-annualized
(A) Annualized
The accompanying notes are an integral part of the financial statements.
50
<PAGE> 53
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL GOVERNMENT BOND TRUST
----------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/97 --------------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ........................... $ 14.97 $ 14.56 $ 12.47 $ 13.93 $ 12.47
Income from investment operations:
Net investment income ............... 0.45 0.93 1.16 0.74 0.59
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ... (0.53) 0.79 1.62 (1.54) 1.67
----------- ----------- ----------- ----------- -----------
Total from investment operations.. (0.08) 1.72 2.78 (0.80) 2.26
Less distributions:
Dividends from net investment income (1.23) (1.31) (0.69) (0.30) (0.70)
Distributions from capital gains .... (0.03) -- -- (0.36) (0.10)
----------- ----------- ----------- ----------- -----------
Total distributions .............. (1.26) (1.31) (0.69) (0.66) (0.80)
----------- ----------- ----------- ----------- -----------
Net asset value, end of period ........ $ 13.63 $ 14.97 $ 14.56 $ 12.47 $ 13.93
=========== =========== =========== =========== ===========
Total return ..................... (0.27%)+ 13.01% 23.18% (5.75%) 18.99%
Net assets, end of period (000's) ..... $ 232,723 $ 249,793 $ 235,243 $ 208,513 $ 196,817
Ratio of operating expenses to
average net assets .................. 0.94%(A) 0.90% 0.93% 0.96% 1.06%
Ratio of net investment income to
average net assets .................. 5.79%(A) 6.38% 6.83% 6.10% 5.61%
Portfolio turnover rate ............... 150%(A) 167% 171% 157% 154%
</TABLE>
<TABLE>
<CAPTION>
GLOBAL GOVERNMENT BOND TRUST
-----------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 03/18/88*
-------------------------------------------------------------- TO
1992 1991 1990 1989 12/31/88
----------- ----------- ----------- ----------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ........................... $ 12.88 $ 11.59 $ 10.50 $ 10.21 $ 10.03
Income from investment operations:
Net investment income ............... 0.42 0.55 0.25 0.45 0.14
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions ... (0.16) 1.21 1.13 -- 0.04
----------- ----------- ----------- ----------- ---------
Total from investment operations.. 0.26 1.76 1.38 0.45 0.18
Less distributions:
Dividends from net investment income (0.43) (0.46) (0.24) (0.09) --
Distributions from capital gains .... (0.24) (0.01) (0.05) (0.07) --
----------- ----------- ----------- ----------- ---------
Total distributions .............. (0.67) (0.47) (0.29) (0.16) --
----------- ----------- ----------- ----------- ---------
Net asset value, end of period ........ $ 12.47 $ 12.88 $ 11.59 $ 10.50 $ 10.21
=========== =========== =========== =========== =========
Total return ..................... 2.27% 15.86% 13.49% 4.49% 1.79%+
Net assets, end of period (000's) ..... $ 67,859 $ 28,251 $ 11,582 $ 4,065 $ 1,355
Ratio of operating expenses to
average net assets .................. 1.05% 1.14% 1.21% 1.50% 3.39%(A)
Ratio of net investment income to
average net assets .................. 6.71% 17.28% 6.62% 7.15% 3.74%(A)
Portfolio turnover rate ............... 132% 164% 142% 50% 234%(A)
</TABLE>
- --------------------------
* Commencement of operations.
+ Non-annualized
(A) Annualized
The accompanying notes are an integral part of the financial statements.
51
<PAGE> 54
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL GROWTH BOND TRUST
(FORMERLY, THE CAPITAL GROWTH BOND FUND)
------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/97 ----------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ........................... $ 10.90 $ 11.30 $ 10.10 $ 11.33 $ 11.12
Income from investment operations:
Net investment income (B) ........... 0.33 0.68 0.72 0.72 0.65
Net realized and unrealized gain
(loss) on investments ............. (0.06) (0.40) 1.32 (1.22) 0.51
---------- ---------- ---------- ---------- ----------
Total from investment operations.. 0.27 0.28 2.04 (0.50) 1.16
Less distributions:
Dividends from net investment income -- (0.68) (0.72) (0.72) (0.65)
Distributions from capital gains .... -- -- (0.12) (0.01) (0.30)
----------
Total distributions .............. -- (0.68) (0.84) (0.73) (0.95)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period ........ $ 11.17 $ 10.90 $ 11.30 $ 10.10 $ 11.33
========== ========== ========== ========== ==========
Total return ..................... 2.48%+ 2.48% 20.24% (4.49%) 10.56%
Net assets, end of period (000's) ..... $ 48,524 $ 45,393 $ 42,694 $ 33,618 $ 41,183
Ratio of operating expenses to
average net assets (C) .............. 0.50%(A) 0.50% 0.50% 0.50% 0.50%
Ratio of net investment income to
average net assets .................. 6.30%(A) 6.15% 6.36% 6.29% 5.69%
Portfolio turnover rate ............... 85%(A) 58% 85% 79% 95%
</TABLE>
<TABLE>
<CAPTION>
CAPITAL GROWTH BOND TRUST
(FORMERLY, THE CAPITAL GROWTH BOND FUND)
----------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
----------------------------------------------------------------------
1992 1991 1990 1989 1988
---------- ---------- ---------- ---------- ------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ............................ $ 11.47 $ 10.62 $ 10.82 $ 10.32 $ 10.53
Income from investment operations:
Net investment income (B) ............ 0.77 0.83 0.88 0.90 0.92
Net realized and unrealized gain
(loss) on investments .............. (0.11) 0.85 (0.21) 0.50 (0.17)
---------- ---------- ---------- ---------- ------
Total from investment operations... 0.66 1.68 0.67 1.40 0.75
Less distributions:
Dividends from net investment income.. (0.78) (0.83) (0.87) (0.90) (0.93)
Distributions from capital gains ..... (0.23) -- -- -- (0.03)
---------- ---------- ---------- ---------- ------
Total distributions ............... (1.01) (0.83) (0.87) (0.90) (0.96)
---------- ---------- ---------- ---------- ------
Net asset value, end of period ......... $ 11.12 $ 11.47 $ 10.62 $ 10.82 $ 10.32
========== ========== ========== ========== =======
Total return ...................... 5.89% 16.38% 6.58% 13.88% 7.14%
Net assets, end of period (000's) ...... $ 30,695 $ 29,326 $ 24,808 $ 2,278 $19,732
Ratio of operating expenses to
average net assets (C) ............... 0.50% 0.50% 0.50% 0.50% 0.50%
Ratio of net investment income to
average net assets ................... 6.76% 7.54% 8.25% 8.34% 8.48%
Portfolio turnover rate ................ 153% 20% 41% 69% 29%
</TABLE>
- -----------------------------
+ Non-annualized
(A) Annualized
(B) After investment adviser expense reimbursement per share of $0.01 for the
six months ended June 30, 1997.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser, was 0.74% for the six months ended June 30, 1997.
The accompanying notes are an integral part of the financial statements.
52
<PAGE> 55
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTMENT QUALITY BOND TRUST
-----------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/97 --------------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ............................ $ 11.89 $ 12.32 $ 11.01 $ 12.12 $ 11.58
Income from investment operations:
Net investment income (B) ............ 0.42 0.77 0.77 0.66 0.60
Net realized and unrealized gain
(loss) on investments .............. (0.08) (0.50) 1.28 (1.23) 0.53
----------- ----------- ----------- ----------- -----------
Total from investment operations... 0.34 0.27 2.05 (0.57) 1.13
Less distributions:
Dividends from net investment income.. (0.83) (0.70) (0.74) (0.54) (0.59)
----------- ----------- ----------- ----------- -----------
Total distributions ............... (0.83) (0.70) (0.74) (0.54) (0.59)
----------- ----------- ----------- ----------- -----------
Net asset value, end of period ......... $ 11.40 $ 11.89 $ 12.32 $ 11.01 $ 12.12
=========== =========== =========== =========== ===========
Total return ...................... 3.15%+ 2.58% 19.49% (4.64%) 10.01%
Net assets, end of period (000's) ...... $ 156,063 $ 152,961 $ 143,103 $ 111,423 $ 99,474
Ratio of operating expenses to
average net assets (C) ............... 0.73%(A) 0.73% 0.74% 0.76% 0.77%
Ratio of net investment income to
average net assets ................... 7.23%(A) 6.95% 6.91% 6.49% 6.03%
Portfolio turnover rate ................ 65%(A) 68% 137% 140% 33%
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT QUALITY BOND TRUST
-------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
-------------------------------------------------------------------------------
1992 1991** 1990 1989 1988
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period ............................ $ 11.33 $ 10.74 $ 12.37 $ 11.55 $ 10.79
Income from investment operations:
Net investment income (B) ............ 0.63 0.76 1.12 0.75 0.57
Net realized and unrealized gain
(loss) on investments .............. 0.15 0.85 (1.50) 0.51 0.19
----------- ----------- ----------- ----------- -----------
Total from investment operations... 0.78 1.61 (0.38) 1.26 0.76
Less distributions:
Dividends from net investment income.. (0.53) (1.02) (1.25) (0.44) --
----------- ----------- ----------- ----------- -----------
Total distributions ............... (0.53) (1.02) (1.25) (0.44) --
----------- ----------- ----------- ----------- -----------
Net asset value, end of period ......... $ 11.58 $ 11.33 $ 10.74 $ 12.37 $ 11.55
=========== =========== =========== =========== ===========
Total return ...................... 7.21% 16.07% (2.73%) 11.34% 7.09%
Net assets, end of period (000's) ...... $ 60,185 $ 38,896 $ 20,472 $ 26,965 $ 114,221
Ratio of operating expenses to
average net assets (C) ............... 0.80% 0.85% 0.70% 0.83% 0.89%
Ratio of net investment income to
average net assets ................... 6.96% 7.47% 8.41% 8.77% 7.97%
Portfolio turnover rate ................ 59% 115% 120% 351% 94%
</TABLE>
- --------------------------
** The Investment Quality Bond Trust is the successor to the Bond Trust
effective April 23, 1991.
+ Non-annualized
(A) Annualized
(B) After expense reimbursement per share of $0.02, $0.28 and $0.12 in 1987,
1986 and 1985, respectively.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser, was 1.14%, 3.38% and 3.55% in 1987, 1986 and 1985, respectively.
The accompanying notes are an integral part of the financial statements.
53
<PAGE> 56
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES TRUST
----------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/97 --------------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .......................... $ 13.32 $ 13.65 $ 12.64 $ 13.48 $ 13.05
Income from investment operations:
Net investment income (B) .......... 0.42 0.83 0.89 0.77 0.48
Net realized and unrealized gain
(loss) on investments ............ (0.02) (0.41) 0.99 (0.95) 0.49
----------- ----------- ----------- ----------- -----------
Total from investment operations 0.40 0.42 1.88 (0.18) 0.97
Less distributions:
Dividends from net investment income (0.88) (0.75) (0.87) (0.51) (0.46)
Distributions from capital gains ... -- -- -- (0.15) (0.08)
----------- ----------- ----------- ----------- -----------
Total distributions ............. (0.88) (0.75) (0.87) (0.66) (0.54)
----------- ----------- ----------- ----------- -----------
Net asset value, end of period ....... $ 12.84 $ 13.32 $ 13.65 $ 12.64 $ 13.48
=========== =========== =========== =========== ===========
Total return .................... 3.17%+ 3.38% 15.57% (1.25%) 7.64%
Net assets, end of period (000's) .... $ 210,126 $ 204,053 $ 216,788 $ 188,813 $ 222,072
Ratio of operating expenses to
average net assets (C) ............. 0.71%(A) 0.71% 0.71% 0.73% 0.75%
Ratio of net investment income to
average net assets ................. 6.37%(A) 6.36% 6.46% 5.68% 5.05%
Portfolio turnover rate .............. 110%(A) 178% 212% 387% 213%
</TABLE>
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES TRUST
-------------------------------------------------------------
YEARS ENDED DECEMBER 31, 03/18/88*
-------------------------------------------------------------- TO
1992 1991 1990 1989** 12/31/88
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .......................... $ 12.85 $ 11.83 $ 10.98 $ 9.81 $ 10.03
Income from investment operations:
Net investment income (B) .......... 0.10 0.19 1.07 0.20 0.07
Net realized and unrealized gain
(loss) on investments ............ 0.65 1.40 (0.13) 1.08 (0.29)
----------- ----------- ----------- ----------- -----------
Total from investment operations 0.75 1.59 0.94 1.28 (0.22)
Less distributions:
Dividends from net investment income (0.38) (0.53) (0.08) (0.11) --
Distributions from capital gains ... (0.17) (0.04) (0.01) -- --
----------- ----------- ----------- ----------- -----------
Total distributions ............. (0.55) (0.57) (0.09) (0.11) --
----------- ----------- ----------- ----------- -----------
Net asset value, end of period ....... $ 13.05 $ 12.85 $ 11.83 $ 10.98 $ 9.81
=========== =========== =========== =========== ===========
Total return .................... 6.19% 14.01% 8.63% 13.16% (2.19%)+
Net assets, end of period (000's) .... $ 125,945 $ 29,246 $ 10,469 $ 5,905 $ 344
Ratio of operating expenses to
average net assets (C) ............. 0.76% 0.87% 1.04% 0.90% 5.16%(A)
Ratio of net investment income to
average net assets ................. 6.12% 7.09% 7.70% 6.66% 1.16%(A)
Portfolio turnover rate .............. 141% 233% 284% 330% 156%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
** The U.S. Government Securities Trust is the successor to the Convertible
Securities Trust effective May 1, 1989.
+ 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.
The accompanying notes are an integral part of the financial statements.
54
<PAGE> 57
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET TRUST
----------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/97 --------------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .......................... $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
Income from investment operations:
Net investment income (B) .......... 0.24 0.49 0.55 0.38 0.27
Less distributions:
Dividends from net investment income (0.24) (0.49) (0.55) (0.38) (0.27)
----------- ----------- ----------- ----------- -----------
Net asset value, end of period ....... $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
=========== =========== =========== =========== ===========
Total return .................... 2.48%+ 5.05% 5.62% 3.78% 2.69%
Net assets, end of period (000's) .... $ 427,863 $ 363,566 $ 258,117 $ 276,674 $ 132,274
Ratio of operating expenses to
average net assets (C) ............. 0.53%(A) 0.55% 0.54% 0.57% 0.59%
Ratio of net investment income to
average net assets ................. 4.91%(A) 4.97% 5.48% 3.93% 2.66%
</TABLE>
<TABLE>
<CAPTION>
MONEY MARKET TRUST
-------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
-------------------------------------------------------------------------------
1992 1991 1990 1989 1988
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period .......................... $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
Income from investment operations:
Net investment income (B) .......... 0.33 0.56 0.75 0.72 0.57
Less distributions:
Dividends from net investment income (0.33) (0.56) (0.75) (0.72) (0.57)
----------- ----------- ----------- ----------- -----------
Net asset value, end of period ....... $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
=========== =========== =========== =========== ===========
Total return .................... 3.36% 5.71% 7.76% 8.56% 6.77%
Net assets, end of period (000's) .... $ 89,535 $ 79,069 $ 85,040 $ 19,403 $ 12,268
Ratio of operating expenses to
average net assets (C) ............. 0.60% 0.60% 0.57% 0.79% 0.99%
Ratio of net investment income to
average net assets ................. 3.28% 5.65% 7.27% 8.26% 6.68%
</TABLE>
- ---------------------------------
+ Non-annualized
(A) Annualized
(B) After expense reimbursement per share of $0.08, $0.23 and $0.12 in 1987,
1986 and 1985, respectively.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser, was 1.57%, 3.43% and 3.50% in 1987, 1986 and 1985, respectively.
The accompanying notes are an integral part of the financial statements.
55
<PAGE> 58
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFESTYLE
AGGRESSIVE 1000 TRUST
---------------------
01/01/97*
TO
06/30/97
(UNAUDITED)
----------
<S> <C>
Net asset value, beginning
of period ........................... $ 12.50
Income from investment operations:
Net investment income (B) .......... 0.32
Net realized and unrealized gain
on investments ................... 0.57
----------
Total from investment
operations ................... 0.89
Less distributions:
Dividends from net investment income (0.32)
----------
Net asset value, end of period ........ $ 13.07
==========
Total return ................... 8.86%+
Net assets, end of period (000's) ..... $ 21,420
Ratio of operating expenses to
average net assets (C) .............. 0.00%(A)
Ratio of net investment income to
average net assets .................. 4.11%(A)
Portfolio turnover rate ............... 30%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) After investment adviser expense reimbursement per share of $0.001 for the
six months ended June 30, 1997.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser, was 0.02% for the six months ended June 30, 1997.
The accompanying notes are an integral part of the financial statements.
56
<PAGE> 59
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFESTYLE
GROWTH 820 TRUST
----------------
01/01/97*
TO
06/30/97
(UNAUDITED)
-----------
<S> <C>
Net asset value, beginning
of period ........................... $ 12.50
Income from investment operations:
Net investment income (B) .......... 0.32
Net realized and unrealized gain
on investments ................... 0.77
----------
Total from investment
operations ................... 1.09
Less distributions:
Dividends from net investment income (0.32)
----------
Net asset value, end of period ........ $ 13.27
==========
Total return ................... 10.00%+
Net assets, end of period (000's) ..... $ 91,181
Ratio of operating expenses to
average net assets (C) .............. 0.00%(A)
Ratio of net investment income to
average net assets .................. 4.53%(A)
Portfolio turnover rate ............... 4%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) After investment adviser expense reimbursement per share of $0.001 for the
six months ended June 30, 1997.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser, was 0.01% for the six months ended June 30, 1997.
The accompanying notes are an integral part of the financial statements.
57
<PAGE> 60
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFESTYLE
BALANCED 640 TRUST
------------------
01/01/97*
TO
06/30/97
(UNAUDITED)
----------
<S> <C>
Net asset value, beginning
of period ........................... $ 12.50
Income from investment operations:
Net investment income (B) .......... 0.52
Net realized and unrealized gain
on investments ................... 0.49
----------
Total from investment
operations ................... 1.01
Less distributions:
Dividends from net investment income (0.52)
----------
Net asset value, end of period ........ $ 12.99
==========
Total return ................... 9.29%+
Net assets, end of period (000's) ..... $ 70,925
Ratio of operating expenses to
average net assets (C) .............. 0.00%(A)
Ratio of net investment income to
average net assets .................. 8.10%(A)
Portfolio turnover rate ............... 9%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) After investment adviser expense reimbursement per share of $0.001 for the
six months ended June 30, 1997.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser, was 0.02% for the six months ended June 30, 1997.
The accompanying notes are an integral part of the financial statements.
58
<PAGE> 61
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFESTYLE
MODERATE 460 TRUST
------------------
01/01/97*
TO
06/30/97
(UNAUDITED)
----------
<S> <C>
Net asset value, beginning
of period ........................... $ 12.50
Income from investment operations:
Net investment income (B) .......... 0.64
Net realized and unrealized gain
on investments ................... 0.30
----------
Total from investment
operations ................... 0.94
Less distributions:
Dividends from net investment income (0.64)
----------
Net asset value, end of period ........ $ 12.80
==========
Total return ................... 8.54%+
Net assets, end of period (000's) ..... $ 20,553
Ratio of operating expenses to
average net assets (C) .............. 0.00%(A)
Ratio of net investment income to
average net assets .................. 9.57%(A)
Portfolio turnover rate ............... 7%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) After investment adviser expense reimbursement per share of $0.001 for the
six months ended June 30, 1997.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser, was 0.02% for the six months ended June 30, 1997.
The accompanying notes are an integral part of the financial statements.
59
<PAGE> 62
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LIFESTYLE
CONSERVATIVE 280 TRUST
----------------------
01/01/97*
TO
06/30/97
(UNAUDITED)
---------
<S> <C>
Net asset value, beginning
of period ........................... $ 12.50
Income from investment operations:
Net investment income (B) .......... 0.81
Net realized and unrealized loss
on investments ................... (0.11)
---------
Total from investment
operations ................... 0.70
Less distributions:
Dividends from net investment income (0.81)
---------
Net asset value, end of period ........ $ 12.39
=========
Total return ................... 6.43%+
Net assets, end of period (000's) ..... $ 7,615
Ratio of operating expenses to
average net assets (C) .............. 0.00%(A)
Ratio of net investment income to
average net assets .................. 15.29%(A)
Portfolio turnover rate ............... 13%(A)
</TABLE>
- -----------------------------
* Commencement of operations.
+ Non-annualized
(A) Annualized
(B) After investment adviser expense reimbursement per share of $0.002 for the
six months ended June 30, 1997.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser, was 0.03% for the six months ended June 30, 1997.
The accompanying notes are an integral part of the financial statements.
60
<PAGE> 63
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
PACIFIC RIM EMERGING MARKETS TRUST
<TABLE>
<CAPTION>
Shares Value
-------- ----------
<S> <C> <C>
COMMON STOCKS - 82.82%
AIR TRAVEL - 0.95%
Singapore Airlines 29,000 $ 259,635
----------
APPAREL & TEXTILES - 0.37%
Guangdong Tannery, Ltd.* 5,500 2,130
Onward Kashiyama 6,000 99,459
----------
101,589
AUTOMOBILES - 1.29%
Honda Motor Company 5,000 150,497
Tractors Malaysia Holdings 122,000 203,978
----------
354,475
BANKING - 15.19%
Australia and New Zealand
Bank Group 51,500 385,319
Bank Danamon 106,000 55,572
Bank International Indonesia 376,102 324,759
Bank of Ayuda Public Company, Ltd. 18,750 29,314
Bank of East Asia 20,000 83,384
Bank of Tokyo Mitsubishi 7,000 140,464
Hang Seng Bank 10,000 142,630
HSBC Holdings 34,800 1,046,610
Kookmin Bank* 5,506 78,746
Kookmin Bank, ADR 5,506 118,379
Krung Thai Bank PLC 25,300 26,369
Lippo Bank 174,000 178,865
Macquarie Bank, Ltd.* 27,500 237,343
Malayan Bank BHD 24,000 251,981
Overseas Chinese Bank 32,280 334,157
Overseas Union Bank 45,600 283,864
Siam Commercial Bank PLC 16,000 65,470
Thai Farmers Bank 9,000 38,217
Union Bank of Hong Kong 10,000 28,913
United Overseas Bank 30,500 313,597
----------
4,163,953
BROADCASTING - 0.85%
BEC World Public Company, Ltd.* 1,000 8,570
News Corporation 47,000 225,554
----------
234,124
BUILDING MATERIALS & CONSTRUCTION -3.25%
Almetax Manufacturing Company, Ltd. 61 447
Citra Marga Nusaphala Persada 294,300 172,441
Henry Walker Group, Ltd. 68,400 143,707
L.G. Construction, Ltd. 15,000 251,689
Leighton Holdings 24,400 118,958
Malaysian Industrial Development 75,000 103,407
Nawarat Patanakarn Public
Company, Ltd. 6,000 2,131
New World Infrastructure, Ltd.* 35,045 99,065
----------
891,845
BUSINESS SERVICES - 0.22%
Kinseki 3,000 41,354
Matichon Public Company, Ltd. 10,000 17,950
----------
59,304
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
CHEMICALS - 1.30%
Dainippon Ink & Chemcial,
Incorporated 15,000 $ 64,648
Denki Kogyo Company 4,000 31,094
IOI Corporation 134,000 152,900
Toray Industries, Incorporated 15,000 106,919
----------
355,561
COMPUTERS & BUSINESS EQUIPMENT - 1.57%
Datacraft, Ltd. 67,500 117,330
Nippon Comsys Corporation 5,000 74,158
PT Bukaka Teknik Utama 87,000 79,595
PT Multipolar Corporation 388,000 131,620
Shinawatra C. Communications 4,000 27,639
----------
430,342
CONGLOMERATES - 5.64%
CSR, Ltd. 72,500 281,082
GZI Transportation, Ltd. 50,000 20,007
Hutchison Whampoa 70,000 605,372
Keppel Corporation, Ltd. 2,625 11,383
Multi-Purpose Holdings BHD* 90,000 126,228
Renong BHD 170,000 222,266
Shanghai Industrial Holdings, Ltd. 4,000 24,886
Swire Pacific 20,000 180,063
Wheelock and Company 30,000 73,768
----------
1,545,055
CONSTRUCTION MATERIALS - 0.29%
Keppel International Engineering, Ltd. 90,000 72,393
Nikko Company 1,000 5,837
----------
78,230
CONSTRUCTION & MINING EQUIPMENT - 1.00%
Cahya Mata Sarawak 32,500 265,254
Sumitomo Densetsu 1,000 8,358
----------
273,612
CONTAINERS & GLASS - 1.19%
Kian Joo Can Factory BHD 45,000 194,334
Nippon Sheet Glass 6,000 22,090
PT Mulia Industrindo 29,000 14,905
Rengo Company 15,000 94,094
----------
325,423
DRUGS & HEALTH CARE - 0.26%
Fujisawa Pharmaceutical Company, Ltd. 7,000 72,064
ELECTRIC UTILITIES - 0.91%
China Light and Power 30,000 169,995
Hong Kong Electric 20,000 80,544
----------
250,539
ELECTRICAL EQUIPMENT - 0.78%
Furukawa Electric Company 9,000 57,241
Japan Radio Company 5,000 54,964
Matsushita Communication
Industrial Company, Ltd. 3,000 101,292
----------
213,497
</TABLE>
The accompanying notes are an integral part of the financial statements.
61
<PAGE> 64
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------- ----------
<S> <C> <C>
ELECTRONICS - 4.38%
K.R. Precision Public Company 9,000 $ 57,325
Samsung Electronics Company 3,253 258,262
Hosiden Corporation 6,000 75,903
LG Information & Communication, Ltd. 3,000 371,622
Taiyo Yuden Company 5,000 82,446
TDK Corporation 2,000 146,746
Thakral Corporation 182,000 165,240
Yokogawa Electric 5,000 43,404
----------
1,200,948
FINANCIAL SERVICES - 2.52%
Arab Malaysian Finance 59,000 125,059
Commerce Asset Holdings 78,000 205,507
Daiwa Securities 2,000 15,774
Dhana Siam Finance and Securities 12,000 6,369
Henderson Investors 50,000 55,181
Hong Leong Credit 40,800 151,949
National Finance and Securities 4,000 2,509
Nomura Securities Company, Ltd. 3,000 41,354
Securities One, Ltd. 3,000 1,824
Singapore Finance 59,400 5,172
----------
690,698
FOOD & BEVERAGES - 0.93%
Fraser and Neave 22,500 160,523
Tokuyama Corporation 12,000 59,780
Vitasoy International 80,000 35,884
----------
256,187
FOREST PRODUCTS - 0.66%
Amcor, Ltd. 27,000 179,566
----------
GOLD - 0.53%
Normandy Mining, Ltd. 128,500 144,700
----------
HOMEBUILDERS - 0.13%
Taisei Corporation 8,000 37,062
----------
HOTELS & RESTAURANTS - 0.73%
Orchard Parade Holdings 55,000 126,180
Royal Company 4,000 74,682
----------
200,862
INDUSTRIAL MACHINERY - 1.93%
Daifuku Company 6,000 79,044
Daiwa Industries 5,000 46,240
Keppel Corporation 26,500 117,700
Mitsubishi Heavy Industries 10,000 76,688
Mori Seiki Company 7,000 112,371
Toyoda Auto Loom 2,000 45,367
THK Company, Ltd. 3,000 51,300
----------
528,710
INSURANCE - 1.60%
Mitsui Marine and Fire 10,000 72,239
National Mutual Holdings 193,000 312,140
Nippon Fire and Marine 10,000 53,917
----------
438,296
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------- ----------
<S> <C> <C>
INVESTMENT COMPANIES - 0.22%
Shohkoh Fund & Company 200 $ 60,548
----------
LEISURE TIME - 2.05%
Aristocrat Leisure, Ltd. 90,000 178,886
Crown, Ltd. 116,334 187,268
Guangdong Investment, Ltd. 110,000 165,413
Shangri La Asia, Ltd. 25,000 30,010
----------
561,577
METAL & METAL PRODUCTS - 1.43%
Amtek Engineering, Ltd. 66,000 115,870
Kitagawa Industries Companies, Ltd. 2,300 68,225
Simsmetal, Ltd. 17,000 123,981
Tambang Timah 54,800 85,062
--------- ----------
393,138
MINING - 1.46%
Lanna Lignite Public Company, Ltd.* 12,500 88,303
Savage Resources 204,400 178,799
Tanjong 39,000 134,430
----------
401,532
MISCELLANEOUS SERVICES - 2.87%
Alsons Consolidated Resources,
Incorporated* 2,900,000 142,933
Cosco Pacific, Ltd. 32,000 74,142
Boustead Holdings, BHD 73,000 159,073
Eastern and Oriental BHD 121,000 222,441
Lung Kee Metal Holdings, Ltd. 165,300 188,442
----------
787,031
NON-FERROUS METALS - 3.87%
MIM Holdings, Ltd. 67,600 100,134
Pasminco, Ltd. 68,500 139,258
QNI, Ltd. 94,000 169,787
Straits Trading Company 77,000 168,035
WMC, Ltd. 76,500 482,754
----------
1,059,968
OFFICE FURNISHINGS & SUPPLIES - 0.07%
Catena Corporation 3,000 20,023
----------
PETROLEUM SERVICES - 2.15%
Broken Hill Proprietary Company 19,300 284,179
National Petrochemical 39,000 39,896
Novus Petroleum 77,500 266,496
----------
590,571
PUBLISHING - 0.06%
Land and House 8,000 16,676
----------
REAL ESTATE - 11.14%
Amoy Properties 68,000 75,045
Cheung Kong Holdings 35,000 345,604
China Resources Beijing* 40,000 29,688
China Resources Enterprises, Ltd. 14,000 68,669
Citic Pacific, Ltd. 28,000 174,925
City Developments 25,000 244,807
Great Eagle Holdings 15,000 49,469
Henderson China Holding, Ltd. 20,544 34,605
</TABLE>
The accompanying notes are an integral part of the financial statements.
62
<PAGE> 65
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- -----------
<S> <C> <C>
REAL ESTATE - CONTINUED
Henderson Land Development 20,000 $ 177,481
Hysan Development Company, Ltd. 40,000 117,976
Mitsubishi Estate 3,000 43,448
Mitsui Fudosan Company 7,000 96,493
New World Development Company 30,000 178,901
PT Bhuwanatala Indah Permai 334,000 85,835
Pakuwon Jati 376,500 197,384
Parkway Holdings 73,000 326,782
Singapore Land 36,000 163,671
Sun Hung Kai Properties 35,000 421,276
United Overseas Land 99,000 134,336
Wharf Holdings 20,000 86,740
-----------
3,053,135
RETAIL TRADE - 2.20%
Circle K Japan Company 1,680 96,444
Coles Myers, Ltd. 57,000 296,806
Glorious Sun Enterprises 50,000 23,718
Matahari Putra Prima 61,500 123,910
Mitsubishi Corporation 5,000 62,380
-----------
603,258
STEEL - 1.14%
Pohang Iron & Steel 2,580 184,784
Southern Steel BHD 48,000 128,368
-----------
313,152
SOFTWARE - 1.99%
Datacraft Asia, Ltd. 147,000 467,460
NTT Data Communication
Systems Company 2 77,299
-----------
544,759
TELECOMMUNICATION SERVICES - 0.10%
Jasmine International Public
Company, Ltd. 30,000 26,636
-----------
TELEPHONE - 2.50%
Hong Kong Telecomm 190,000 453,706
Indosat 23,400 69,998
Nippon Telegraph and Telephone
Corporation 15 143,954
United Communication Industry 4,000 16,522
-----------
684,180
TIRES & RUBBER - 0.68%
Malakoff BHD 43,000 187,401
-----------
TOBACCO - 0.42%
HM Sampoerna 29,900 114,031
----------
TOTAL COMMON STOCKS
(Cost: $21,561,193) $22,703,893
-----------
RIGHTS - 0.92%
BUILDING MATERIALS & CONSTRUCTION - 0.34%
Citra Marga Nusaphala Persada
(Expiration date 08/13/97;
strike price IDR 500) 294,300 93,784
----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
--------- --------
<S> <C> <C>
COMPUTERS & BUSINESS EQUIPMENT - 0.57%
PT Multipolar Corporation
(Expiration date 08/19/97;
strike price IDR 500) 2,134,000 $155,549
--------
FINANCIAL SERVICES - 0.01%
Commerce Asset Holdings
(Expiration date 07/23/97;
strike price MYR 6.50) 15,600 556
Commerce Asset Holdings
(Expiration date 07/23/97;
strike price MYR 1.60) 9,750 1,506
--------
2,062
TOTAL RIGHTS (Cost: $0) $251,395
--------
WARRANTS - 0.73%*
AUTO PARTS - 0.02%
NGK Spark Plug Company (Expiration
date 01/20/98; strike price Yen 1,136.80) 14 6,125
--------
BANKING - 0.03%
Bank International Indonesia
(Expiration date 01/17/00;
strike price IDR 1000) 19,796 7,774
--------
CHEMICALS - 0.18%
Shin Etsu Chemical Company (Expiration
date 08/01/00; strike price Yen 1,917) 18 50,400
--------
CONSTRUCTION & MINING EQUIPMENT - 0.04%
Cahya Mata Sarawak Berhad
(Expiration date 06/16/01;
strike price MYR 18.10) 13,000 10,301
--------
COMPUTERS & BUSINESS EQUIPMENT - 0.04%
Nippon Comsys Corporation
(Expiration date 08/31/99;
strike price Yen 1,353) 62 11,041
--------
CONGLOMERATES - 0.01%
GZI Transportation, Ltd. (Expiration
date 01/29/99; strike price HKD 4.50) 10,000 1,033
--------
FINANCIAL SERVICES - 0.15%
DCB Holdings BHD (Expiration date
12/27/99; strike price MYR 5.40) 11,250 12,525
Promise-Tamporo Company
(Expiration date 02/08/00;
strike price Yen 5,023) 20 28,500
--------
41,025
MINING - 0.01%
Normandy Mining, Ltd. (Expiration
date 04/30/01; strike price AUD 2.50) 13,200 2,354
--------
</TABLE>
The accompanying notes are an integral part of the financial statements.
63
<PAGE> 66
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- -------
<S> <C> <C>
WARRANTS - CONTINUED
MISCELLANEOUS SERVICES - 0.20%
Canon Sales Company, Incorporated
(Expiration date 11/11/97;
strike price Yen 2,237) 100 $ 17,397
Elpis, Ltd. (Expiration date 07/01/99;
strike price Yen 2,367.) 8 3,400
KFC Holdings BHD (Expiration date
05/07/01; strike price MYR 9.50) 18,333 21,645
IOI Corporation BHD (Expiration date
04/30/00; strike price MYR 3.35) 26,250 13,312
--------
55,754
REAL ESTATE - 0.01%
Hysan Development Company, Ltd.
(Expiration date 04/30/98;
strike price HKD 25) 1,250 484
United Overseas Land, Ltd. (Expiration
date 05/28/01; strike price SGD 1.60) 4,700 2,548
--------
3,032
RAILROADS & EQUIPMENT - 0.02%
Hankyu Corporation (Expiration date
02/05/98; strike price Yen 610.5) 15 4,781
--------
RETAIL TRADE - 0.02%
Takashimaya Company, Ltd. (Expiration
date 07/02/98; strike price Yen 1,569) 78 6,678
--------
</TABLE>
TOTAL WARRANTS (Cost: $108,974) $200,298
--------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C> <C>
CONVERTIBLE BONDS - 4.29%
CHEMICALS - 0.25%
Shin Etsu Chemical Company,
0.40% due 09/30/05 Yen 5,000,000 $ 68,705
--------
COMPUTERS & INTEGRATED SYSTEMS - 0.49%
NEC Corporation,
1.00% due 09/30/11 9,000,000 92,576
2.10% due 09/30/98 4,000,000 40,935
--------
133,511
DRUGS & HEALTH CARE - 0.47%
Takeda Chemical Industries,
1.90% due 09/30/98 10,000,000 128,424
--------
ELECTRONICS - 0.60%
Sony Corporation,
1.40% due 03/31/05 15,000,000 165,809
--------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
--------- ----------
<S> <C> <C> <C>
FINANCIAL SERVICES - 1.08%
Arab Malaysian Finance,
7.50% due 05/25/02 MYR 76,000 $ 24,691
BTM Cayman Finance, Ltd.,
4.25% due 03/31/03 Yen 10,000,000 117,344
STB Cayman Capital,
0.50% due 10/01/07 5,000,000 49,048
Shanghai Investment Holdings,
Ltd., 1.00% due 06/12/02 -$100,000 105,000
----------
296,083
MISCELLANEOUS - 0.89%
Mitsui & Company, Ltd.,
1.05% due 09/30/09 Yen 10,000,000 108,184
Multi-Purpose Holdings,
3.00% due 01/13/02 MYR 90,000 30,309
Tokyo Electron,
0.90% due 01/13/02 Yen 7,000,000 105,959
----------
244,452
RETAIL TRADE - 0.51%
Marui Company, Ltd.,
1.15% due 01/31/12 15,000,000 139,112
----------
TOTAL CONVERTIBLE BONDS
(Cost: $1,068,114) $1,176,096
----------
CORPORATE BONDS - 0.49%
OFFICE FURNISHINGS & SUPPLIES - 0.49%
Ricoh Company, Ltd.,
1.90% due 03/31/98 13,000,000 135,537
----------
TOTAL CORPORATE BONDS
(Cost: $124,290) $ 135,537
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 10.75%
$2,947,000 Repurchase Agreement with State
Street Bank & Trust Company dated
06/30/97at 5.00%, to be repurchased
at $2,947,409 on 07/01/97,
collateralized by $3,005,000 U.S.
Treasury Notes, 5.625% due
11/30/98 (valued at $3,020,417,
including interest) $ 2,947,000
-----------
TOTAL INVESTMENTS (Pacific Rim
Emerging Markets Trust) (Cost: $25,809,571) $27,414,219
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
64
<PAGE> 67
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
SCIENCE & TECHNOLOGY TRUST
<TABLE>
<CAPTION>
Shares Value
------ ----------
<S> <C> <C>
COMMON STOCKS - 89.64%
AEROSPACE - 1.35%
OEA, Incorporated 10,000 $ 395,000
----------
BUSINESS SERVICES - 15.49%
America Online, Incorporated 11,000 611,875
CUC International, Incorporated 45,000 1,161,563
First Data Corporation 25,000 1,098,438
Gartner Group, Incorporated* 15,000 539,062
National Data Corporation 11,400 493,762
Security Dynamics Technologies,
Incorporated 9,000 331,875
Sun Guard Data Systems* 6,000 279,000
----------
4,515,575
COMPUTERS & BUSINESS EQUIPMENT - 10.09%
3Com Corporation* 25,000 1,125,000
Affiliated Computer Services,
Incorporated 20,000 560,000
American Management Systems,
Incorporated* 10,000 267,500
Cisco Systems, Incorporated* 10,000 671,250
Medic Computer Systems, 11,000 244,750
Incorporated*
Network General Corporation* 5,000 74,375
----------
2,942,875
DRUGS & HEALTH CARE - 1.92%
United States Surgical Corporation 15,000 558,750
----------
ELECTRICAL EQUIPMENT - 7.08%
Anixter International, Incorporated 30,000 515,625
ASM Lithography Holding NV 10,000 585,000
Boston Scientific Corporation* 5,000 307,187
Sterling Commerce, Incorporated 20,000 657,500
----------
2,065,312
ELECTRONICS -21.71%
ADC Telecommunications,
Incorporated* 12,000 400,500
Adaptec, Incorporated* 10,000 347,500
Altera Corporation 10,000 505,000
Analog Devices, Incorporated 30,000 796,875
Electronic Data Systems Corporation 10,000 410,000
Electronic For Imaging, Incorporated 5,000 236,250
Intel Corporation 4,000 567,250
KLA-Tencor Corporation 5,000 243,750
Lam Research Corporation 12,000 444,750
Linear Technology Corporation 7,500 388,125
Maxim Integrated Products,
Incorporated* 12,500 710,938
Microchip Technology, Incorporated* 18,000 535,500
Texas Instruments, Incorporated 3,000 252,187
Xilinx,Incorporated* 10,000 490,625
----------
6,329,250
INDUSTRIAL MACHINERY - 0.49%
Applied Materials, Incorporated 2,000 141,625
----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
--------- -----------
<S> <C> <C>
MISCELLANEOUS - 0.82%
Source Services Corporation* 9,000 $ 241,875
-----------
SOFTWARE - 22.40%
BMC Software, Incorporated* 25,000 1,384,375
Cadence Design Systems, Incorporated 600 20,100
Electronic Arts 7,500 252,188
McAfee Associates, Incorporated 10,000 631,250
Microsoft Corporation 4,000 505,500
Oracle Systems Corporation* 20,000 1,007,500
Parametric Technology Corporation 20,000 851,250
Platinum Technology, Incorporated* 20,000 265,000
Remedy Corporation 7,000 280,000
Synopsys, Incorporated* 25,000 918,750
Vantive Corporation* 12,000 339,000
Veritas Software Company* 1,500 75,375
-----------
6,530,288
TELECOMMUNICATION SERVICES - 3.52%
Ascend Communications, Incorporated* 20,600 811,125
Cascade Communications Corporation 5,000 138,125
QUALCOMM, Incorporated 1,500 76,313
-----------
1,025,563
TELEPHONE - 4.77%
Airtouch Communications, Incorporated* 20,000 547,500
WorldCom, Incorporated 15,000 480,000
Vodafone Group PLC, ADR 7,500 363,281
-----------
1,390,781
TOTAL COMMON STOCKS
(Cost: $23,681,460) $26,136,894
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
SHORT TERM INVESTMENTS - 10.36%
FEDERAL HOME LOAN
MORTGAGE CORPORATION - 8.84%
5.41% due 08/08/97 $ 672,000 $ 668,163
5.42% due 07/02/97 - 07/30/97 529,000 526,914
5.43% due 08/12/97 300,000 297,828
5.45% due 08/04/97 142,000 141,269
5.47% due 08/12/97 133,000 132,151
5.50% due 07/15/97 - 07/17/97 812,000 810,146
-----------
2,576,471
FEDERAL NATIONAL
MORTGAGE ASSOCIATION - 0.82%
5.41% due 07/10/97 240,000 239,675
-----------
U.S. TREASURY BILLS - 0.70%
5.07% due 08/21/97 207,000 205,513
-----------
TOTAL SHORT TERM INVESTMENTS $ 3,021,659
TOTAL INVESTMENTS (Science &
Technology Trust) (Cost: $26,703,119) $29,158,553
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
65
<PAGE> 68
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
INTERNATIONAL SMALL CAP TRUST
<TABLE>
<CAPTION>
Shares Value
-------- ----------
<S> <C> <C>
COMMON STOCKS- 80.63%
AGRICULTURAL PRODUCTS - 2.24%
First Tractor Company 154,000 $ 101,377
Kverneland Gruppen AS 76,900 2,087,963
Perusahaan Perkebunan 310,000 764,803
----------
2,954,143
AIR TRAVEL - 0.64%
Ryanair Holdings PLC, ADR* 31,275 848,334
----------
AUTO PARTS - 0.38%
Sylea* 5,300 506,849
----------
AUTO SERVICES - 0.75%
Avis Europe PLC* 438,825 993,855
----------
BANKING - 2.35%
Banco de A Edwards, Series A, ADR 38,575 805,253
Banco Latinoamericano
de Exportaciones SA, Series E 28,350 1,222,594
Bank Tiara 900,000 1,073,191
----------
3,101,038
BROADCASTING - 2.18%
Flextech PLC 190,025 2,056,917
Multicanal Participacoes SA, ADR* 60,000 817,500
----------
2,874,417
BUSINESS SERVICES - 2.45%
Altran Technologies SA* 4,700 1,535,556
Kobenhavn Lufthavne 15,900 1,686,766
----------
3,222,322
CHEMICALS - 0.37%
Budi Acid Jaya* 400,000 489,309
----------
COMPUTERS & BUSINESS EQUIPMENT - 3.44%
Creative Technology, Ltd.* 71,500 1,215,500
Enator AB* 42,000 749,273
Fuji S Ware ABC 15,000 654,336
Net One Systems Company, Ltd. 7 644,303
Psion PLC 196,000 1,263,164
----------
4,526,576
CONGLOMERATES - 2.27%
Amer Group, Ltd. 31,050 559,082
Misys 86,100 1,937,097
Solid Group, Incorporated* 3,036,000 494,950
----------
2,991,129
CONSTRUCTION & MINING EQUIPMENT - 0.55%
PT United Tractors 196,000 725,329
----------
CONTAINERS & GLASS - 3.79%
Compania Cervecerias Unidas SA, ADR 83,275 1,826,845
International Container 1,820,100 931,580
SCHMALBACH LUBECA AG* 9,950 2,230,644
----------
4,989,069
</TABLE>
<TABLE>
<CAPTION>
Shares Value
-------- -----------
<S> <C> <C>
DRUGS & HEALTH CARE - 3.49%
British BioTechnology PLC* 371,950 $ 1,393,670
Medeva PLC 101,550 1,739,044
Schwarz Pharma AG 19,450 1,466,473
-----------
4,599,187
ELECTRONICS - 2.57%
Elec & Eltek International
Holdings, Ltd. 2,200,000 646,031
Gold Peak Industries, Ltd.* 1,250,000 806,733
VTech Holdings, Ltd.* 1,024,800 1,931,264
-----------
3,384,028
FINANCIAL SERVICES - 2.55%
JBA Holdings 229,550 3,363,975
-----------
FOOD & BEVERAGES - 1.41%
Raison Tehtaat Oy 27,075 1,861,398
-----------
HOTELS & RESTAURANTS - 7.74%
Doutor Coffee Company 45,000 1,825,598
Grupo Posadas SA* 1,370,000 837,773
J.D. Wetherspoon PLC 115,728 2,611,383
Pizza Express 203,850 2,138,671
Regent Inns PLC 172,550 813,194
Tele Pizza* 33,850 1,975,636
-----------
10,202,255
HOUSEHOLD APPLIANCES FURNISHING - 5.04%
DFS Furniture Company* 170,200 1,592,900
Hunter Douglas NV 31,950 2,718,249
Industrie Natuzzi SPA, ADR 44,300 1,135,187
Laox Company 85,300 1,198,159
-----------
6,644,495
INDUSTRIAL MACHINERY - 5.22%
IHC Caland NV 30,650 1,675,452
KCI Konecranes International* 35,250 1,547,735
Noritsu Koki Company 53,800 2,651,981
Tomra Systems AS 48,750 997,721
-----------
6,872,889
INSURANCE - 1.64%
Lippo Life Insurance 640,000 756,579
Malaysian Assurance* 240,900 1,403,023
-----------
2,159,602
INTERNATIONAL OIL - 3.06%
Cairn Energy PLC* 210,600 1,693,941
Gulf Canada Resources, Ltd.* 281,000 2,335,813
-----------
4,029,754
LEISURE TIME - 3.75%
AAPC, Ltd. 1,025,000 681,686
Capital Radio 169,675 1,520,173
Cinar Films, Incorporated, Class B* 40,475 1,315,438
Tiemco* 9,000 400,454
Village Roadshow 279,000 1,016,317
-----------
4,934,068
</TABLE>
The accompanying notes are an integral part of the financial statements.
66
<PAGE> 69
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
--------- ----------
<S> <C> <C>
MISCELLANEOUS SERVICES - 2.47%
BTG PLC 30,300 $ 316,880
Rofin-Sinar Technologies, Incorporated* 153,300 2,931,863
------------
3,248,743
OFFICE FURNISHINGS & SUPPLIES - 1.58%
Guilbert SA 6,550 927,323
Turbon International AG* 38,000 1,154,750
------------
2,082,073
PETROLEUM SERVICES - 0.73%
Petroleum Geological Services AS, ADR* 19,700 962,837
------------
RETAIL TRADE - 6.01%
Beter Bed Holdings N.V 14,350 314,356
Brito Borneo Pets 86,400 2,035,931
Bulgari SPA 307,000 1,737,698
Matahari Putra Prima 636,000 1,281,414
Next 160,000 1,806,519
Sa Sa International Holdings, Ltd.* 1,319,000 430,740
S.T. Dupont* 11,525 309,859
------------
7,916,517
SOFTWARE - 3.19%
Baan Company NV* 27,450 1,890,619
Dassault Systems SA* 21,400 1,518,505
Nippon System Development 33,000 785,988
------------
4,195,112
TELECOMMUNICATION SERVICES - 2.96%
Asia Satellite Telecommunications
Holdings, ADR* 64,375 1,939,297
Grupo Iusacell SA De CV, ADR* 106,900 1,964,288
------------
3,903,585
TELEPHONE - 1.96%
Cellular Communications International* 42,600 1,427,100
Netcom Systems AB, Class B* 81,500 1,158,942
----------
2,586,042
TOYS, AMUSEMENTS & SPORTING GOODS - 2.32%
Salomon SA* 28,850 2,199,820
Skis Rossignol SA* 40,625 854,434
------------
3,054,254
TRANSPORTATION - 1.53%
Tranz Rail Holdings, Ltd., ADR* 119,025 2,008,547
------------
TOTAL COMMON STOCKS
(Cost $93,297,004) $106,231,723
------------
PREFERRED STOCKS - 3.86%
AUTOMOBILES - 1.82%
Porsche AG* 1,800 2,394,358
------------
FINANCIAL SERVICES - 2.04%
Marschollek Lautenschlaeger und
Partner AG 11,330 2,695,919
------------
TOTAL PREFERRED STOCKS
(Cost: $3,180,456) $ 5,090,277
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 15.51%
$20,432,000 Repurchase Agreement with State
Street Bank & Trust Company dated
06/30/97 at 5.00%, to be
repurchased at $20,434,837 on
07/01/97, collateralized by
$20,835,000 U.S. Treasury Notes,
5.625% due 11/30/98 (valued at
$20,941,893, including interest) $ 20,432,000
------------
TOTAL INVESTMENTS (International
Small Cap Trust) (Cost: $116,909,460) $131,753,999
============
</TABLE>
<TABLE>
<CAPTION>
EMERGING GROWTH TRUST
Shares Value
-------- -----------
<S> <C> <C>
COMMON STOCKS - 92.42%
AEROSPACE - 1.12%
Gulfstream Aerospace Corporation* 81,900 $ 2,416,050
-----------
APPAREL & TEXTILES - 1.83%
Jones Apparel Group, Incorporated* 20,000 955,000
Wolverine World Wide, Incorporated* 99,150 3,011,681
-----------
3,966,681
-----------
AUTO SERVICES - 0.96%
Budget Group, Incorporated* 60,000 2,070,000
-----------
BANKING - 3.83%
Bank United Corporation* 65,000 2,470,000
City National Corporation* 78,800 1,896,125
Cullen Forest Bankers, Incorporated* 46,500 1,970,437
First Security Corporation* 71,100 1,941,919
-----------
8,278,481
BROADCASTING - 0.97%
Central European Media
Enterprises, Ltd.* 80,500 2,093,000
-----------
BUSINESS SERVICES - 7.14%
BISYS Group, Incorporated* 70,000 2,922,500
DeVRY, Incorporated* 53,600 1,447,200
Outdoor Systems, Incorporated* 62,700 2,398,275
Robert Half International, Incorporated* 87,000 4,094,438
SunGuard Data Systems, Incorporated* 58,200 2,706,300
Universal Outdoor Holdings,
Incorporated* 53,700 1,872,787
-----------
15,441,500
COMPUTERS & BUSINESS EQUIPMENT - 1.12%
Avant Corporation* 14,300 462,069
Network Appliance, Incorporated* 51,400 1,953,200
-----------
2,415,269
COSMETICS & TOILETRIES - 0.73%
Alberto Culver Company* 67,600 1,575,925
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
67
<PAGE> 70
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------- -----------
<S> <C> <C>
DRUGS & HEALTH CARE - 6.00%
Henry Schein, Incorporated* 44,000 $ 1,375,000
Gilead Sciences, Incorporated* 68,000 1,878,500
Mid Atlantic Medical Services,
Incorporated* 135,900 2,114,944
Novacare, Incorporated* 130,000 1,803,750
Sangstat Medical Corporation* 73,000 1,688,125
Sepracor, Incorporated* 80,000 2,065,000
Sola International, Incorporated* 61,400 2,056,900
-----------
12,982,219
ELECTRONICS - 12.32%
Allen Telecom Group, Incorporated* 92,200 1,913,150
Altera Corporation* 54,200 2,737,100
Etec Systems, Incorporated* 54,100 2,319,538
KLA-Tencor Corporation* 67,000 3,266,250
Lam Research Corporation* 42,200 1,564,037
Maxim Integrated Products, Incorporated* 83,600 4,754,750
Technology Solutions Company* 43,900 1,734,050
Tecnomatix Technologies, Ltd.* 102,500 3,331,250
Tracor, Incorporated* 79,100 1,987,388
Xilinx, Incorporated* 62,000 3,041,875
-----------
26,649,388
FINANCIAL SERVICES - 6.00%
Allmerica Financial Corporation* 36,100 1,439,487
ContiFinancial Corporation* 45,600 1,664,400
Imperial Credit Industries, Incorporated* 106,000 2,179,625
Legg Mason, Incorporated* 36,600 1,969,538
Nationwide Financial Services,
Incorporated* 65,900 1,750,469
PennCorp Financial Group, Incorporated* 57,000 2,194,500
T.Rowe Price Associates, Incorporated* 34,400 1,775,900
-----------
12,973,919
HOTELS & RESTAURANTS - 3.89%
Cracker Barrel Old Country
Store, Incorporated* 58,700 1,555,550
Doubletree Corporation* 60,800 2,500,400
La Quinta Inns, Incorporated* 82,000 1,793,750
Vistana, Incorporated* 164,800 2,554,400
-----------
8,404,100
HOUSEHOLD APPLIANCES FURNISHING - 0.76%
Westpoint Stevens, Incorporated* 42,000 1,643,250
-----------
INSURANCE - 0.26%
Allmerica Property & Casualty
Companies, Incorporated* 16,900 553,475
-----------
LEISURE TIME - 2.07%
Coach USA, Incorporated* 81,400 2,162,188
Premier Parks, Incorporated* 63,000 2,323,125
-----------
4,485,313
MISCELLANEOUS SERVICES - 0.84%
Roper Industries, Incorporated* 35,000 1,815,625
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------- -----------
<S> <C> <C>
OFFICE FURNISHINGS & SUPPLIES - 1.64%
Miller Herman, Incorporated* 98,800 $ 3,556,800
-----------
PETROLEUM SERVICES - 8.07%
Chieftain International, Incorporated* 87,200 1,912,950
Global Industries, Incorporated* 93,000 2,172,422
KCS Energy, Incorporated* 87,600 1,784,850
Nabors Industries, Incorporated* 141,600 3,540,000
Petroleum Geo Services AS, ADR* 61,200 2,991,150
Pride International, Incorporated* 148,200 3,556,800
Texas Meridian Resources Corporation* 123,600 1,483,200
-----------
17,441,372
POLLUTION CONTROL - 2.83%
Allied Waste Industries, Incorporated* 180,200 3,130,975
USA Waste Services, Incorporated* 77,700 3,001,163
-----------
6,132,138
REAL ESTATE - 1.66%
CarrAmerica Realty Corporation* 60,200 1,730,750
Security Capital Pacific Trust* 81,400 1,862,025
-----------
3,592,775
RETAIL TRADE - 7.38%
Borders Group, Incorporated* 136,800 3,300,300
Central Garden & Pet Company* 99,000 2,475,000
Family Dollar Stores, Incorporated* 66,000 1,798,500
Footstar, Incorporated* 69,200 1,807,850
Payless ShoeSource, Incorporated* 60,300 3,297,656
Staples, Incorporated* 80,000 1,860,000
Wet Seal, Incorporated* 45,000 1,420,312
-----------
15,959,618
SOFTWARE - 13.86%
Baan Company NV* 31,400 2,162,675
BMC Software, Incorporated* 93,400 5,172,025
Cambridge Technology Partners,
Incorporated* 29,700 950,400
Harbinger Corporation* 77,000 2,156,000
Microchip Technology, Incorporated* 60,000 1,785,000
National Instruments Corporation* 80,800 2,848,200
PeopleSoft, Incorporated* 40,000 2,110,000
Rational Software Corporation* 103,200 1,735,050
Sterling Commerce, Incorporated* 75,000 2,465,625
Structural Dynamics Research
Corporation* 100,000 2,625,000
Synopsys, Incorporated* 82,726 3,040,180
Transaction Systems Architects,
Incorporated* 84,400 2,911,800
-----------
29,961,955
TELECOMMUNICATION SERVICES - 3.85%
Harte-Hanks Communications,
Incorporated* 61,700 1,820,150
Brooks Fiber Properties, Incorporated* 69,400 2,342,250
McLeodUSA, Incorporated* 77,100 2,602,125
Paging Network, Incorporated* 177,000 1,554,281
-----------
8,318,806
</TABLE>
The accompanying notes are an integral part of the financial statements.
68
<PAGE> 71
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- ----------
<S> <C> <C>
TELEPHONE - 1.08%
WorldCom, Incorporated* 73,100 $ 2,339,200
------------
TRANSPORTATION - 2.21%
Swift Transportation, Incorporated* 81,100 2,392,450
Heartland Express, Incorporated* 101,800 2,392,300
------------
4,784,750
TOTAL COMMON STOCKS
(Cost: $174,587,215) $199,851,609
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
SHORT TERM INVESTMENTS - 6.29%
U.S. TREASURY BILLS - 6.29%
5.165% due 09/04/97 $4,000,000 $3,962,697
5.367% due 03/05/98 10,000,000 9,631,730
----------
13,594,427
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 1.29%
$2,789,000 Repurchase Agreement with State
Street Bank & Trust Company dated
06/30/97 at 5.80%, to be
repurchased at $2,789,449 on
07/01/97, collateralized by
$2,815,000 U.S. Treasury Notes,
5.875% due 04/30/98 (valued at
$2,873,056, including interest) $2,789,000
-----------
TOTAL INVESTMENTS (Emerging
Growth Trust) (Cost: $190,970,642) $216,235,036
============
</TABLE>
PILGRIM BAXTER GROWTH TRUST
<TABLE>
<CAPTION>
Shares Value
------ ----------
<S> <C> <C>
COMMON STOCKS - 88.55%
APPAREL & TEXTILES - 4.38%
Jones Apparel Group, Incorporated* 10,500 $ 501,375
Just For Feet, Incorporated* 20,100 350,494
Nautica Enterprises, Incorporated* 23,000 608,062
Tommy Hilfiger Corporation* 16,200 651,037
----------
2,110,968
AUTOMOBILES - 1.09%
Harley Davidson, Incorporated 11,000 527,312
----------
BROADCASTING - 3.42%
Clear Channel Communications* 23,000 1,414,500
Jacor Communications, Incorporated* 6,200 237,150
----------
1,651,650
BUSINESS SERVICES - 13.14%
Accustaff, Incorporated* 22,600 535,337
America Online, Incorporated* 10,200 567,375
Apollo Group, Incorporated* 20,200 712,050
Corrections Corporation of America* 35,100 1,395,225
Gartner Group, Incorporated* 31,400 1,128,438
Paychex, Incorporated 29,000 1,102,000
Quintiles Transnational Corporation* 12,900 898,163
----------
6,338,588
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------ ----------
<S> <C> <C>
CHEMICALS - 1.07%
Zoltek Companies, Incorporated* 13,500 $ 516,375
----------
COMPUTERS & BUSINESS EQUIPMENT - 1.86%
CDW Computer Centers, Incorporated* 3,700 196,331
Vitesse Semiconductor Corporation* 16,500 539,344
Western Digital Corporation* 5,100 161,288
----------
896,963
DRUGS & HEALTH CARE - 12.10%
Dura Pharmaceuticals, Incorporated* 18,000 717,750
General Nutrition Companies, Incorporated* 18,200 509,600
Healthsouth Corporation* 42,600 1,062,338
Jones Medical Industries, Incorporated 10,400 494,000
Oxford Health Plans, Incorporated* 18,800 1,348,900
Phycor, Incorporated* 35,100 1,208,756
Total Renal Care Holdings,Incorporated* 12,400 498,325
----------
5,839,669
ELECTRONICS - 14.52%
Adaptec, Incorporated* 20,800 722,800
ADC Telecommunications, Incorporated* 32,600 1,088,025
Advanced Fibre Communications 4,000 241,500
Altera Corporation* 18,800 949,400
Eletronics For Imaging, Incorporated* 27,500 1,299,375
Lattice Semiconductor Corporation* 6,000 339,000
Linear Technology Corporation 13,800 714,150
Tellabs, Incorporated* 25,200 1,408,050
Uniphase Corporation* 4,200 244,650
----------
7,006,950
FINANCIAL SERVICES - 1.83%
The Money Store, Incorporated 30,700 880,706
----------
HOTELS & RESTAURANTS - 1.05%
CapStar Hotel Company* 7,500 240,000
Landry's Seafood Restaurant, Incorporated* 11,600 266,800
----------
506,800
INDUSTRIAL MACHINERY - 0.87%
U.S. Filter 15,400 419,650
----------
Corporation*
LEISURE TIME - 1.03%
Callaway Golf Company 14,000 497,000
----------
MISCELLANEOUS - 2.26%
Blyth Industries, Incorporated* 17,250 582,187
Teletech Holdings, Incorporated* 19,500 508,219
----------
1,090,406
PETROLEUM SERVICES - 2.83%
BJ Services Company* 5,400 289,575
Chesapeake Energy Corporation* 31,800 312,038
Global Marine, Incorporated 26,300 611,475
Sante Fe International Corporation* 4,500 153,000
----------
1,366,088
</TABLE>
The accompanying notes are an integral part of the financial statements.
69
<PAGE> 72
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- -----------
<S> <C> <C>
POLLUTION CONTROL - 3.60%
Allied Waste Industries, Incorporated* 16.000 $ 278,000
United Waste Systems, Incorporated* 13,200 541,200
USA Waste Services, Incorporated* 23,700 915,413
-----------
1,734,613
RETAIL TRADE - 6.85%
Bed Bath and Beyond, Incorporated* 34,780 1,054,012
Borders Group, Incorporated* 10,600 255,725
Dollar Tree Stores, Incorporated* 11,600 584,350
Polo Ralph Lauren Corporation* 3,800 104,025
Staples, Incorporated* 34,200 795,150
Tiffany and Company 11,100 512,681
-----------
3,305,943
SOFTWARE - 15.72%
BMC Software, Incorporated* 13,200 730,950
HBO and Company 20,400 1,405,050
HNC Software, Incorporated* 14,400 549,000
McAfee Associates, Incorporated* 20,000 1,262,500
Microchip Technology, Incorporated* 8,000 238,000
PeopleSoft, Incorporated 26,100 1,376,775
Security Dynamics Technologies,
Incorporated* 7,900 291,312
Solectron Corporation* 8,900 623,000
VIASOFT, Incorporated* 9,700 492,275
Wind River Systems, Incorporated* 16,150 617,738
-----------
7,586,600
TRUCKING & FREIGHT FORWARDING - 0.93%
Tidewater, Incorporated 10,200 448,800
-----------
TOTAL COMMON STOCKS
(Cost: $38,235,285) $42,725,081
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 11.45%
$5,522,000 Repurchase Agreement with State
Street Bank & Trust Company
dated 06/30/97 at 5.00%, to be
repurchased at $5,522,767 on
07/01/97, collateralized by
$5,515,000 U.S. Treasury Notes,
5.875% due 08/15/98 (valued at
$5,753,829, including interest) $ 5,522,000
-----------
TOTAL INVESTMENTS (Pilgrim Baxter
Growth Trust) (Cost: $43,757,285) $48,247,081
===========
</TABLE>
SMALL/MID CAP TRUST
<TABLE>
<CAPTION>
Shares Value
------- -----------
<S> <C> <C>
COMMON STOCKS - 90.85%
AEROSPACE - 2.55%
BE Aerospace, Incorporated* 43,100 $ 1,363,037
Gulfstream Aerospace Corporation* 129,500 3,820,250
-----------
5,183,287
APPAREL & TEXTILES - 7.30%
Cintas Corporation 39,000 2,681,250
G & K Services, Class A 30,500 1,136,125
Gucci Group NV 53,800 3,463,375
Nautica Enterprises, Incorporated* 78,600 2,077,988
Stage Stores, Incorporated* 34,400 898,700
Tommy Hilfiger Corporation* 83,600 3,359,675
Warnaco Group, Incorporated 38,600 1,230,375
-----------
14,847,488
BUSINESS SERVICES - 6.87%
ADT, Ltd. 60,200 1,986,600
CUC International, Incorporated* 150,000 3,871,875
Nokia Corporation, ADR 68,500 5,051,875
Paychex, Incorporated 59,700 2,268,600
Service Corporation International 24,400 802,150
-----------
13,981,100
CHEMICALS - 1.17%
IMC Global, Incorporated 53,500 1,872,500
Waters Corporation* 14,500 520,187
-----------
2,392,687
COMPUTERS & BUSINESS EQUIPMENT - 2.84%
Bay Networks, Incorporated* 43,900 1,166,094
CISCO Systems, Incorporated* 25,000 1,678,125
E*Trade Group, Incorporated* 29,000 569,125
Sundstrand Corporation 42,500 2,372,031
-----------
5,785,375
DRUGS & HEALTH CARE - 12.20%
Becton, Dickinson & Company 20,000 1,012,500
BioChem Pharma, Incorporated* 182,200 4,053,950
Cardinal Health, Incorporated 33,000 1,889,250
Chiron Corporation* 49,000 1,022,875
Elan PLC, ADR* 73,000 3,303,250
General Nutrition Companies,
Incorporated* 148,800 4,166,400
McKesson Corporation 18,200 1,410,500
Mentor Corporation 22,600 669,525
Oxford Health Plans, Incorporated* 28,800 2,066,400
Phycor, Incorporated* 93,100 3,206,131
Quorum Health Group, Incorporated* 56,700 2,027,025
-----------
24,827,806
ELECTRONICS - 13.80%
Adaptec, 27,000 938,250
Incorporated*
Altera Corporation* 58,700 2,964,350
Electronics For Imaging, Incorporated* 93,300 4,408,425
Hologic, Incorporated* 34,000 905,250
Kulicke & Soffa Industries, Incorporated* 33,200 1,077,962
Linear Technology Corporation 110,400 5,713,200
</TABLE>
The accompanying notes are an integral part of the financial statements.
70
<PAGE> 73
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- -----------
<S> <C> <C>
ELECTRONICS - continued
Maxim Integrated Products, Incorporated* 88,400 $ 5,027,750
Tellabs, Incorporated* 55,300 3,089,888
Xilinx, Incorporated* 80,800 3,964,250
-----------
28,089,325
FINANCIAL SERVICES - 4.40%
Money Store, Incorporated 172,200 4,939,988
Paine Webber Group, Incorporated 53,000 1,855,000
The Charles Schwab Corporation 52,900 2,152,369
-----------
8,947,357
FOOD & BEVERAGES - 1.83%
Chiquita Brands International,
Incorporated 92,500 1,271,875
Interstate Bakeries Corporation 7,200 427,050
Pioneer Hi-Bred International,
Incorporated 25,300 2,024,000
-----------
3,722,925
HOTELS & RESTAURANTS - 0.80%
Mirage Resorts, Incorporated* 64,900 1,638,725
-----------
HOUSEHOLD APPLIANCES FURNISHING - 1.86%
Sunbeam Corporation 100,200 3,782,550
-----------
INDUSTRIAL MACHINERY - 2.53%
Applied Materials, Incorporated* 51,200 3,625,600
Tyco International, Ltd. 22,000 1,530,375
-----------
5,155,975
INSURANCE - 4.60%
Equifax, Incorporated 96,500 3,588,594
MGIC Investment Corporation 73,00 3,499,437
SunAmerica, Incorporated 46,500 2,266,875
-----------
9,354,906
LEISURE TIME - 3.39%
Carnival Corporation 46,400 1,914,000
Coach USA, Incorporated* 28,100 746,406
International Game Technology 238,500 4,233,375
-----------
6,893,781
METAL & METAL PRODUCTS - 1.75%
Special Metals Corporation* 25,600 499,200
Titanium Metals Corporation* 97,200 3,073,950
-----------
3,573,150
MISCELLANEOUS - 0.52%
Fortune Brands, Incorporated 28,500 1,063,406
-----------
PETROLEUM SERVICES - 4.94%
EVI, Incorporated* 26,800 1,125,600
Global Industries, Incorporated* 57,800 1,350,172
Global Marine, Incorporated* 56,900 1,322,925
Halliburton Company 32,700 2,591,475
Santa Fe International Corporation 63,000 2,142,000
Smith International, Incorporated* 25,000 1,518,750
-----------
10,050,922
</TABLE>
<TABLE>
<CAPTION>
Shares Value
-------- ------------
<S> <C> <C>
PLASTICS - 1.33%
Sealed Air Corporation* 56,900 $ 2,702,750
------------
POLLUTION CONTROL - 2.84%
Allied Waste Industries, Incorporated* 64,700 1,124,162
United Waste Systems, Incorporated* 66,000 2,706,000
USA Waste Services, Incorporated* 50,500 1,950,563
------------
5,780,725
PUSHISHING - 0.88%
Consolidated Graphics, Incorporated* 43,000 1,795,250
------------
REAL ESTATE - 1.19%
Boston Properties, Incorporated* 37,900 1,042,250
CWM Mortgage Holdings, Incorporated 57,400 1,374,012
------------
2,416,262
RETAIL TRADE - 5.77%
Barnes & Noble, Incorporated* 11,900 511,700
Bed Bath & Beyond, Incorporated* 45,000 1,366,875
Borders Group, Incorporated* 91,000 2,195,375
CompUSA, Incorporated* 149,000 3,203,500
Rite Aid Corporation 29,100 1,451,363
TJX Companies, Incorporated 114,200 3,012,025
------------
11,740,838
SHIPBUILDING - 0.38%
West Marine, Incorporated* 30,000 772,500
------------
SOFTWARE - 4.03%
HBO and Company 14,500 998,687
Parametric Technology Corporation* 125,200 5,328,825
Sterling Commerce, Incorporated* 56,800 1,867,300
------------
8,194,812
TELEPHONE - 1.08%
Worldcom, Incorporated* 68,800 2,201,600
------------
TOTAL COMMON STOCKS
(Cost $158,798,498) $184,895,502
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------------ -----------
<S> <C> <C>
SHORT TERM INVESTMENTS - 9.15%
FPL Fuels, Incorporated,
5.58% due 07/10/97 $ 3,000,000 $ 2,995,815
Merrill Lynch & Company,
Incorporated, 5.56% due 07/02/97 5,000,000 4,999,228
Rembrandt International Company,
Incorporated, 5.68% due 07/11/97 3,000,000 2,995,267
Seven Seas Money Market Fund 7,623,604 7,623,604
-----------
18,613,914
TOTAL INVESTMENTS
(Small/Mid Cap Trust) (Cost: $177,412,411) $203,509,416
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
71
<PAGE> 74
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL STOCK TRUST
Shares Value
--------- ----------
<S> <C> <C>
COMMON STOCKS - 94.32%
AIR TRAVEL - 0.24%
Air New Zealand 19,000 $ 58,076
Cathay Pacific Airways 63,000 130,516
----------
188,592
APPAREL & TEXTILES - 0.27%
Chargeurs 280 16,133
Coats Viyella 10,000 20,983
Gucci Group 1,619 104,223
Wing TaI Holdings 16,000 46,108
Yizheng Chemical Fibre 178,000 31,706
----------
219,153
AUTO PARTS - 0.87%
Denso Corporation 29,000 693,247
----------
AUTOMOBILES - 0.34%
Buderus AG 140 77,060
Honda Motor Company 2,000 60,199
Rolls Royce 13,000 49,576
Volkswagen AG 115 88,157
----------
274,992
BANKING - 8.34%
ABN AMRO Holdings 22,800 425,126
Argentaria Corporation 2,190 122,616
Australia and New Zealand
Bank Group 7,000 52,373
Banca Commerciale Italiana 13,000 26,925
Banca Fideuram SPA 19,000 62,101
Banco Bilbao Vizcaya 770 62,551
Banco De Galicia Buenos Aires SA, ADR 2,130 56,179
Banco Frances Del Rio De La Plata, ADR 2,900 94,250
Banco Popular Espana 880 215,596
Banco Santander SA 10,950 337,380
Bangkok Bank 3,300 22,675
Bank International Indonesia 47,376 40,909
Bayerische Hypotheken und
Wechsel Bank AG 5,425 162,212
Commonwealth Instalments
Receipt Trustee, Ltd. 8,000 70,406
Commerzbank AG 2,000 56,648
Credit Suisse Group 1,216 156,164
Credito Italiano 95,538 174,823
Dao Heng Bank Group 41,000 224,388
Den Danske Bank 1,145 111,398
Deutsche Bank AG 4,713 275,360
Development Bank of Singapore 7,000 88,130
Dexia France 445 43,313
Generale De Banque 510 196,317
Grupo Financiero Banamex Accival SA 13,000 33,369
Istituto Mobiliare Italiano SPA 14,000 126,032
Kredietbank NV 1,420 572,262
National Australia Bank, Ltd. 5,000 71,683
National Westminster 102,000 1,371,625
Nordbanken AB 2,760 93,124
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------- ----------
<S> <C> <C>
BANKING - CONTINUED
Overseas Chinese Bank 4,800 $ 49,689
Overseas Union Bank 33,600 209,163
Philippine National Bank 13,750 93,314
Royal Bank Canada 1,190 53,901
Saint George Bank, Ltd. 13,000 86,556
Schweizerischer Bankverein 984 263,186
Societe Generale 1,039 115,981
Unidanmark 525 29,492
United Overseas Bank 36,000 370,148
Westpac Bank Corporation 7,000 42,163
----------
6,659,528
BROADCASTING - 2.26%
Canal Plus 570 110,960
Grupo Televisa SA, ADR 1,000 30,375
News Corporation 22,000 105,578
Publishing & Broadcasting, Ltd. 12,000 69,196
Sangetsu Company 1,000 21,288
TV Francaise 1,570 140,257
Wolters Kluwer 10,879 1,324,612
----------
1,802,266
BUILDING MATERIALS & CONSTRUCTION - 0.15%
Bilfinger & Berger
Bauaktiengesellschaft AG 1,310 53,328
Fletcher Challenge Building 25,000 75,227
National House Industrial 5,000 65,870
----------
119,198
BUSINESS SERVICES - 2.45%
Adecco SA 1,050 402,740
Advanced Information Service 2,000 13,279
Eaux (Cie Generale) 7,525 964,202
Esselte AB 690 16,234
Havas 305 21,980
Kokuyo Company 10,000 270,459
Toppan Printing Company 17,000 266,969
----------
1,955,863
CHEMICALS - 2.32%
AKZO Nobel NV 460 63,039
Bayer AG 8,382 322,093
Ciba Specialty Chemicals 490 45,308
Hoechst AG 1,357 57,560
Kuraray Company 23,000 228,756
Mitsui Petrochemical Industries 4,000 19,264
Sekisui Chemical 32,000 323,853
Shin Etsu Chemical Company 16,000 424,359
Teijin 52,000 244,983
UCB 40 126,737
----------
1,855,952
CONGLOMERATES - 4.02%
First Pacfic Company 170,000 217,237
Grand Metropolitan 68,500 659,343
Hutchison Whampoa 63,000 544,835
Kon PTT Netherland 2,540 99,638
Multi Purpose Holding 54,000 75,737
</TABLE>
The accompanying notes are an integral part of the financial statements.
72
<PAGE> 75
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
--------- ----------
<S> <C> <C>
CONGLOMERATES - CONTINUED
Orkla ASA 7,755 $ 572,430
Renong BHD 110,000 143,819
Swire Pacific 41,000 369,129
Tomkins 118,500 513,079
United Industrial Corporation 24,000 18,130
----------
3,213,377
CONSTRUCTION & MINING EQUIPMENT - 0.22%
Atlas Copco AB 6,860 179,138
----------
CONSTRUCTION MATERIALS - 0.52%
Boral, Ltd. 7,000 22,060
Cemex SA, ADR 20,000 173,486
Cemex SA 5,000 24,347
Heywood Williams 5,000 17,069
Inax Corporation 4,000 29,943
Kumagai Gumi Company 8,000 13,331
Lapeyre 1,020 67,691
Nippon Hodo Company 2,000 17,292
Praktiker Bau und Heimwerker Markte 820 14,575
Siam Cement Company 2,000 34,588
----------
414,382
CONTAINERS & GLASS - 0.33%
Cie De St. Gobain 1,675 244,266
Compania Cervecerias Unidas SA, ADR 859 18,844
----------
263,110
DOMESTIC OIL - 0.10%
Primagaz 870 76,982
----------
DRUGS & HEALTH CARE - 9.92%
Astra AB 40,987 723,247
Companhia Siderurgica National, ADR 1,000 32,625
Daiichi Pharmaceutical Company 22,000 387,716
Gehe AG 7,680 524,007
Glaxo Wellcome 40,000 827,655
L'Oreal 175 73,732
Novartis AG 930 1,486,726
Rhon Klinikum AG 1,400 184,622
Roche Holdings AG 103 931,586
Sankyo Company 22,000 738,963
Sanofi Company 2,832 277,576
Schering AG 580 61,971
Shiseido Company 4,000 65,957
SmithKline Beecham 87,050 1,602,582
----------
7,918,965
ELECTRIC UTILITIES - 2.52%
Australia Gas and Light 25,000 147,371
Centrica 13,000 15,804
Chilectra SA, ADR 1,215 34,969
Chilgener SA, ADR 740 20,720
China Light & Power Company, Ltd. 13,000 73,664
Companhia Energetica de Minas
Gerais, ADR 7,000 352,421
Empressa Nacional Electricidad SA, ADR 2,768 62,453
Empressa Nacional Electricidad 2,411 202,403
Enersis SA, ADR 1,382 49,147
</TABLE>
<TABLE>
<CAPTION>
Shares Value
-------- ----------
<S> <C> <C>
ELECTRIC UTILITIES - CONTINUED
EVN Energie Versorgung Nieder 100 $ 12,884
Gas Natural SDG SA 950 207,536
Iberdrola SA 15,516 195,859
Korea Electric Power 5,000 149,212
VEBA AG 8,740 491,096
----------
2,015,539
ELECTRICAL EQUIPMENT - 4.83%
ABB AG-CHF 490 741,712
ABB AB-SEK 11,980 168,034
Alcatel Alstom 2,935 367,581
Centrais Electricas Brasileiras, ADR 7,000 195,718
Hitachi 32,000 357,355
Legrand 380 66,925
Makita Corporation 11,000 161,228
NEC Corporation 58,000 809,632
Samsung Electronics Company 1,423 112,975
Siemens AG 1,295 76,886
Sumitomo Electric Industries, Ltd. 45,000 753,795
Yuritec Corporation 4,000 46,414
----------
3,858,255
ELECTRONICS - 3.82%
Advantest 880 67,562
Alps Electric Company 10,000 139,592
Dainippon Screen 14,000 131,914
Electrocomponents 16,000 119,102
Fanuc 5,300 203,455
Kyocera Corporation 11,000 873,321
Murata Manufacturing Company, Ltd. 10,000 397,836
Schneider SA 6,132 326,389
TDK Corporation 8,000 586,983
Tokyo Electron 4,200 200,803
----------
3,046,957
FINANCIAL SERVICES - 2.91%
Cifra SA de CV, ADR 99,000 181,695
Commerce Asset Holdings 34,000 89,580
Credit Communal Holding/Dexia 548 58,867
Fortis Amev NV 5,520 245,783
Guoco Group 49,000 258,051
Internationale Nederlanden Groep NV 20,099 926,669
Lend Lease Corporation 2,000 42,322
Nomura Securities 30,000 413,540
TABCORP Holdings, Ltd. 20,000 108,828
----------
2,325,335
FOOD & BEVERAGES - 3.60%
Cadbury Schweppes 34,000 303,484
CSM NV 5,870 294,263
Fomento Economico Mexicano SA 11,000 65,467
Fraser and Neave 8,100 57,788
Gruma SA 20,400 94,973
Gruma SA de CV, ADR 4,380 81,496
Grupo Industrial Maseca SA de CV 22,000 24,083
Guiness 58,500 572,830
Hillsdown Holdings 8,000 22,581
Kao Corporation 17,000 235,823
</TABLE>
The accompanying notes are an integral part of the financial statements.
73
<PAGE> 76
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------- ----------
<S> <C> <C>
FOOD & BEVERAGES - CONTINUED
Nestle SA 608,000 $ 802,060
Nutrica NV 760 120,026
Panamerican Beverages, Incorporated 6,000 197,250
----------
2,872,124
FOREST PRODUCTS - 0.25%
Carter Holt Harvey 6,000 15,528
Fletcher Challenge Forest 52,320 76,052
Sumitomo Forestry 10,000 109,928
----------
201,508
GAS & PIPELINE UTILITIES - 0.13%
BG 13,000 47,628
Italgas 12,000 38,833
Transportadora de Gas Del Sur, ADR 1,230 15,375
----------
101,836
HOMEBUILDERS - 0.71%
Daiwa House Industries 28,000 342,000
GTM Enterpose 390 19,517
Seksui House 20,000 202,408
----------
563,925
HOTELS & RESTAURANTS - 0.12%
Ladbroke Group 24,000 94,323
----------
HOUSEHOLD APPLIANCES FURNISHING - 3.06%
Electrolux AB 4,520 326,050
Industrie Natuzzi SPA, ADR 2,000 51,250
Matsushita Electric Industrial
Company, Ltd. 33,000 665,067
Pioneer Electronic 12,000 291,049
Sharp Corporation 30,000 413,540
Sony Corporation 8,000 697,261
----------
2,444,217
HOUSEHOLD PRODUCTS - 0.93%
Kimberly Clark Mexico 30,000 120,793
Unilever 2,939 618,674
----------
739,467
INDUSTRIAL MACHINERY - 2.55%
Amada Company 16,000 140,988
Daifuku Company 2,000 26,348
GKN 2,000 34,305
Hitachi Zosen Corporation 25,000 99,459
Ishihara Sangyo 8,000 23,661
Komatsu 20,000 162,275
Komori Corporation 7,000 166,114
Mannesmann AG 272 121,177
Mitsubishi Heavy Industries 91,000 697,863
T & N PLC 25,000 59,534
Time Engineering 23,000 34,810
United Engineers BHD 65,000 468,700
----------
2,035,234
INSURANCE - 1.17%
Abbey National 23,000 314,076
Allianz AG Holding 1,540 322,287
Assicurazioni Generali 1,480 47,296
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------- ----------
<S> <C> <C>
INSURANCE - CONTINUED
AXA-UAP 809 $ 50,316
Mediolanum 8,074 91,069
National Mutual Holdings, Ltd. 18,000 29,111
Tokio Marine & Fire Insurance Company 6,000 78,520
----------
932,675
INTERNATIONAL OIL - 4.17%
The British Petroleum Company PLC 24,000 298,555
Saga Petroleum 1,120 19,560
Shell Transport & Trading 139,500 952,469
YPF Sociedad Anonima, ADR 4,770 146,678
Royal Dutch Petroleum Company 36,408 1,910,451
----------
3,327,713
INVESTMENT COMPANIES - 0.07%
Brazil Fund 1,000 30,750
Chile Fund 1,000 26,125
----------
56,875
LEISURE TIME - 1.40%
Accor 370 55,405
Berjaya Sports 42,000 198,019
Compass Group 20,000 223,817
Pathe SA 380 75,396
Rank Group PLC 30,500 193,262
Resorts World BHD 28,000 84,311
Sodexho Alliance 562 287,756
----------
1,117,966
LIQUOR - 0.79%
Fosters Brewing Group 35,000 65,070
Grupo Modelo SA, Series C 5,000 34,665
LVMH Moet Hennessy 1,968 529,113
----------
628,848
MINING - 0.41%
Tanjong 57,000 196,474
Usinas Siderurgicas de Minas, ADR 12,000 131,531
----------
328,005
MISCELLANEOUS SERVICES - 0.32%
Aguas de Barcelona SA 4 162
Caradon PLC 42,300 141,589
Granges AB 1,695 22,460
Hagemeyer NV 1,186 61,267
Keppel Corporation 5,500 24,428
Keppel Corporation, Ltd. 1,375 5,963
----------
255,869
NEWSPAPERS - 0.64%
United News & Media PLC 44,000 510,348
----------
NON-FERROUS METALS -1.16%
Alcan Aluminium, Ltd. 4,740 161,667
Rio Tinto 26,150 455,726
Sandvik AB 8,370 237,504
WMC, Ltd. 11,500 72,571
----------
927,468
OFFICE FURNISHINGS & SUPPLIES - 0.02%
Scribona AB 1,130 13,147
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
74
<PAGE> 77
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------- ----------
<S> <C> <C>
PAPER - 0.36%
Fletcher Challenge Paper 8,000 $ 19,399
Guilbert SA 640 90,609
Mitsubishi Paper 7,000 27,360
David S. Smith Holdings 25,000 78,269
----------
290,864
PETROLEUM SERVICES - 3.32%
Broken Hill Proprietary Company 18,100 266,509
Elf Aquitaine 2,881 310,813
Eni SPA 45,669 258,633
Norsk Hydro AS 13,073 711,691
Perez Compac SA 16,070 129,062
Repsol SA 3,759 158,932
Shanghai Petrochemical Company, Ltd. 248,000 59,541
TOTAL SA, B Shares 6,499 656,900
Woodside Petroleum, Ltd. 12,000 103,387
----------
2,655,468
PHOTOGRAPHY - 1.16%
Canon, Incorporated 34,000 925,493
----------
PUBLISHING - 2.84%
Elsevier NV 56,962 951,833
John Fairfax Holdings 11,000 26,104
Reed International PLC 103,300 997,749
Seat SPA-RNC 14,500 3,029
Seat SPA 28,865 9,307
Singapore Press Holdings 14,000 282,017
----------
2,270,039
RAILROADS & EQUIPMENT - 0.45%
East Japan Railway 65 333,450
Tranz Rail Holdings 4,000 22,823
----------
356,273
REAL ESTATE - 2.82%
City Developments 9,500 93,027
DBS Land 24,500 77,457
Hong Kong Land Holdings 109,000 289,940
Mitsui Fudosan Company 49,000 675,449
New World Development Company 87,000 518,813
Singapore Land 33,000 150,031
Sociedad Comercial Del Plata 500 16,702
Wharf Holdings 95,580 427,541
----------
2,248,960
RETAIL GROCERY - 1.05%
ASDA Group 77,000 159,003
Seven Eleven Japan Company, Ltd. 3,000 226,662
Tesco 40,500 250,220
Uny Company, Ltd, 8,000 156,343
Companhia Brasileira de Destribuicao
Grupo Pao de Acucar 2,000 45,887
----------
838,115
RETAIL TRADE - 5.92%
Ahold NV 4,450 375,424
Argos 31,000 281,353
Carrefour 829 602,068
Centros Comerciales Pryca 3,030 65,597
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------- ----------
<S> <C> <C>
RETAIL TRADE - CONTINUED
Citizen Watch Company 10,000 $ 77,124
Hennes & Mauritz AB 8,750 307,672
Ito-Yokado Company 9,000 522,160
Kingfisher 60,000 681,441
La Rinascente 3,000 16,672
Lojas Americanas SA, ADR 2,000 27,495
Marui Company, Ltd. 20,000 371,663
Mitsubishi Corporation 18,000 224,568
Pinault Printemps Redoute 1,171 562,714
Safeway 40,000 231,477
Santa Isabel SA, ADR 836 26,961
Sears 12,000 13,589
Sumitomo Corporation 36,000 342,349
----------
4,730,327
SOFTWARE - 0.43%
Baan Company-NLG 1,250 84,696
Baan Company 1,140 78,517
SAP AG 900 180,609
----------
343,822
STEEL - 0.66%
Nippon Steel Corporation 130,000 415,111
Tokyo Steel Manufacturing 10,100 112,790
----------
527,901
TELECOMMUNICATION SERVICES - 0.71%
Cable & Wireless 58,500 535,811
Telecom Argentina 3,300 17,229
Telecom Argentina Stet France, ADR 310 16,275
----------
569,315
TELEPHONE - 5.78%
Compania Anonima Nacional
Telefonos de Venezuela, ADR 1,015 43,772
Cia de Telecomunicaciones
de Chile SA, ADR 2,502 82,566
DDI Corporation 41 302,617
Deutsche Telekom AG 8,117 195,467
Nippon Telegraph & Telephone
Corporation 28 268,714
Philippine Long Distance Telephone 4,000 129,663
STET 57,865 337,064
Telecomunicacoes Brasileiras, ADR 12,000 1,821,000
Teledanmark 305 15,848
Telecom Corporation of New Zealand 11,000 56,038
Telecom Italia SPA 40,162 120,280
Telecom Italia Mobile SPA-RNC 7,800 13,952
Telecom Italia Mobile SPA 134,162 434,163
Telefonica de Argentina SA 4,940 171,048
Telefonica de Espana 8,537 246,811
Telefonica del Peru SA, ADR 1,520 39,805
Telefonos de Mexico SA, ADR 7,000 334,250
----------
4,613,058
TOYS, AMUSEMENTS & SPORTING GOODS - 0.80%
Polygram 10,135 531,818
SEGA Enterprises 3,300 109,405
----------
641,223
</TABLE>
The accompanying notes are an integral part of the financial statements.
75
<PAGE> 78
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
-------- -----------
<S> <C> <C>
TRUCKING & FREIGHT FORWARDING - 0.09%
Bergesen ASA 700 $ 16,571
Rexel 170 52,186
-----------
68,757
TOTAL COMMON STOCKS
(Cost: $67,403,541) $75,311,994
-----------
PREFERRED STOCKS - 0.48%
CONSTRUCTION MATERIALS - 0.08%
Hornbach Holdings AG 750 63,643
-----------
ELECTRONICS - 0.25%
Nokia (AB) OY 2,679 200,122
-----------
LEISURE TIME - 0.05%
Sydney Harbour Casino 27,000 42,443
-----------
SOFTWARE - 0.09%
SAP AG 365 75,759
-----------
TOTAL PREFERRED STOCKS
(Cost: $314,179) $ 381,967
-----------
RIGHTS - 0.00%
FINANCIAL SERVICES - 0.00%
Commerce Asset (Expiration date
07/23/97; strike price MYR 6.50) 6,800 242
Commerce Asset Holdings (Expiration
date 07/23/97; strike price MYR 1.60) 4,250 657
-----------
TOTAL RIGHTS (Cost $0) $ 899
-----------
WARRANTS - 0.10%*
FINANCIAL SERVICES - 0.05%
Veba International Finance (Expiration
date 04/06/98; strike price DEM 37.90) 109 38,185
-----------
INSURANCE - 0.05%
AXA-UAP (Expiration date 01/07/99;
strike price FRF 80.00) 692 2,685
ING Groep NV (Expiration date 03/15/01;
strike price NLG 27.20) 3,380 38,933
-----------
41,618
TOTAL WARRANTS (Cost: $62,640) $ 79,803
-----------
</TABLE>
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
-------- -----------
<S> <C> <C>
CONVERTIBLE BONDS - 0.02%
Multi Purpose Holding,
3.00% due 01/13/02 MYR 37,000 $12,460
-------
TOTAL CONVERTIBLE BONDS (Cost: $14,665) $12,460
-------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 5.09%
$4,061,000 Repurchase Agreement with State
Street Bank & Trust Company
dated 06/30/97 at 5.00%, to be
repurchased at $4,061,564 on
07/01/97, collateralized by
$2,950,000 U.S. Treasury Bonds,
12.75% due 11/15/10 (valued at
$4,194,993,
including interest) $ 4,061,000
-----------
TOTAL INVESTMENTS (International
Stock Trust) (Cost: $71,856,025) $79,848,123
===========
</TABLE>
WORLDWIDE GROWTH TRUST
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 72.28%
AEROSPACE - 0.35%
Kverneland Gruppen 1,500 $ 40,728
--------
AIR TRAVEL - 0.64%
British Airways, ADR 650 74,709
--------
APPAREL & TEXTILES - 5.83%
Christian Dior 800 132,047
Gucci Group 2,100 135,188
Tag Heur International ADS, ADR 9,775 147,236
Warnaco Group, Incorporated 3,425 109,172
Wolverine World Wide, Incorporated 5,300 160,988
--------
684,631
BANKING - 5.65%
Banco de A. Edwards, ADR 2,250 46,969
Banco Latinoamericano de
Exportaciones SA 2,050 88,406
Credit Suisse Group 1,300 166,952
Credito Italiano 89,000 162,859
HSBC Holdings 6,600 198,495
--------
663,681
BROADCASTING - 2.84%
Carlton Communications 18,500 156,659
Wolters Kluwer 1,450 176,550
--------
333,209
BUSINESS SERVICES - 5.86%
ABB AB 12,750 178,835
Kobenhavn Lufthave 250 26,521
Konami Company 5,000 186,704
Manpower, Incorporated 4,100 182,450
Polygram 25 1,345
Vedior 4,250 112,372
--------
688,227
</TABLE>
The accompanying notes are an integral part of the financial statements.
76
<PAGE> 79
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ ----------
<S> <C> <C>
CHEMICALS - 1.98%
Imperial Chemical Industries PLC, ADR 3,075 $ 174,891
Morton International Industries,
Incorporated 1,925 58,111
----------
233,002
COMPUTERS & BUSINESS EQUIPMENT - 1.42%
Oce-Van Der Grinten 925 119,318
Radisys Corporation* 1,200 47,700
----------
167,018
CONSTRUCTION MATERIALS - 0.17%
Semen Gresik* 9,000 20,169
----------
DRUGS & HEALTH CARE - 10.63%
Columbia/HCA Healthcare Corporation 3,775 148,404
Hoya Corporation 4,000 177,979
Novartis AG 135 215,815
Phycor, Incorporated* 2,350 80,928
Quorum Health Group, 3,775 134,956
Incorporated*
Roche Holdings AG 25 226,113
Rural/Metro Corporation* 4,075 118,302
Schwarz Pharmaceuticals AG 1,950 147,024
----------
1,249,521
ELECTRICAL EQUIPMENT - 3.49%
ASM Lithography Holdings* 3,800 222,300
Emerson Electric Company 3,400 187,213
----------
409,513
ELECTRONICS - 3.31%
Autoliv* 1,681 65,769
Beijing Datang Power* 64,400 29,717
Motorola, Incorporated 400 30,400
Perkin Elmer Corporation 1,125 89,508
SGS Thomson Microelectronics* 2,175 174,000
----------
389,394
FOOD & BEVERAGES - 0.68%
Pepsico, Incorporated 725 27,233
Wetherspoon 2,350 53,027
----------
80,260
GAS & PIPELINE UTILITIES - 1.65%
Williams Companies, Incorporated 4,425 193,594
----------
HOTELS & RESTAURANTS - 2.18%
Ladbroke Group 65,150 256,047
----------
HOUSEHOLD APPLIANCES FURNISHING - 2.46%
Industrie Natuzzi SPA, ADR 3,100 79,438
Sony Corporation 2,400 209,178
----------
288,616
INDUSTRIAL MACHINERY - 1.23%
Mannesmann AG 325 144,788
----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
---------- ----------
<S> <C> <C>
INSURANCE - 1.83%
Norwich Union PLC* 16,800 $ 88,967
WPP Group 31,000 126,738
----------
215,705
INTERNATIONAL OIL - 1.71%
YPF Sociedad Anonima, ADR 6,550 201,413
----------
LEISURE TIME - 1.84%
Magnum Corporation BHD 10,000 25,594
Pathe 225 44,642
Sports Authority, Incorporated* 3,750 72,891
Village Roadshow 20,000 72,854
---------- ----------
215,981
LIQUOR - 0.68%
Quilmes Industrial Quisna Societe, ADR 6,850 79,631
----------
MINING - 1.66%
Potash Corporation Saskatchewan,
Incorporated 2,600 195,163
----------
NEWSPAPERS - 1.46%
Ver Ned Uitgevers 7,775 171,906
----------
PAPER - 0.30%
Guilbert SA 250 35,394
----------
PETROLEUM SERVICES - 3.96%
Apache Corporation 3,975 129,188
Petroleum Geological Services AS, ADR* 1,400 68,425
Repsol SA, ADR 1,800 76,388
Total SA, ADR 3,750 189,844
----------
463,845
RETAIL TRADE - 2.40%
Dixons Group* 17,050 134,301
Next 13,000 146,780
----------
281,081
SOFTWARE - 3.31%
Baan Company 2,550 175,631
NTT Data Corporation 5 193,247
Square Company, Ltd. 400 19,717
----------
388,595
TELEPHONE - 8.71%
Compania Nacional Telephone
de Venezuela, ADR 2,775 119,672
DDI Corporation 11 81,190
NYNEX Corporation 475 27,372
SK Telecommunications, Ltd., ADR 14,000 140,875
Telecomunicacoes Brasileiras, ADR 1,925 292,119
Telefonica de Argentina SA 4,675 161,872
World Communications, Incorporated* 6,275 200,800
----------
1,023,900
TOTAL COMMON STOCKS
(Cost: $8,482,843) $9,189,721
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
77
<PAGE> 80
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
---------- --------
<S> <C> <C>
PREFERRED STOCKS - 5.87%
AUTOMOBILES - 2.27%
Volkswagen AG 475 $266,900
--------
MISCELLANEOUS - 2.23%
Marschollek Lauten 1,100 261,740
--------
SOFTWARE - 1.37%
SAP AG 775 160,854
--------
TOTAL PREFERRED STOCKS
(Cost: $589,695) $689,494
--------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 15.92%
$1,870,000 Repurchase Agreement with State
Street Bank & Trust Company dated
06/30/97 at 5.00%, to be repurchased
at $1,870,260 on 07/01/97, collateralized
by $1,755,000 U.S. Treasury Notes, 7.50%
due 02/15/05 (valued at $1,959,022,
including interest) $ 1,870,000
-----------
TOTAL INVESTMENTS (Worldwide
Growth Trust) (Cost: $10,942,538) $11,749,215
===========
</TABLE>
GLOBAL EQUITY TRUST
<TABLE>
<CAPTION>
Shares Value
-------- -----------
<S> <C> <C>
COMMON STOCKS - 98.53%
AIR TRAVEL - 1.38%
AMR Corporation* 124,100 $11,479,250
-----------
ALUMINUM - 1.01%
Aluminum Company of America 111,700 8,419,388
-----------
AUTO PARTS - 1.38%
Borg Warner Automotive, Incorporated 213,200 11,526,125
-----------
AUTOMOBILES - 3.05%
Peugeot SA 44,800 4,330,049
Volkswagen AG 27,500 21,081,073
-----------
25,411,122
BANKING - 4.51%
ABN AMRO Holdings 617,973 11,522,651
Banque Nationale de Paris 173,900 7,167,046
First Chicago Corporation 146,000 8,833,000
Mellon Bank Corporation 222,400 10,035,800
-----------
37,558,497
BUSINESS SERVICES - 0.63%
NCR Corporation* 21,393 636,442
Intelidata Technologies Corporation* 963,600 4,637,325
-----------
5,273,767
</TABLE>
<TABLE>
<CAPTION>
Shares Value
--------- -----------
<S> <C> <C>
CHEMICALS - 4.79%
Akzo Nobel NV, ADS 54,300 $ 7,441,388
BASF AG 217,700 8,044,702
Bayer AG 360,700 13,860,509
Potash Corporation of
Saskatchewan, Incorporated* 140,000 10,538,397
-----------
39,884,996
COMPUTERS & BUSINESS EQUIPMENT - 2.92%
Data General Corporation* 353,000 9,178,000
Olivetti & C. SPA* 5,395,000 1,528,441
Tandy Corporation 243,300 13,624,800
-----------
24,331,241
CONGLOMERATES - 2.53%
CSR, Ltd. 1,939,000 7,517,498
Jardine Strategic Holdings, Ltd. 3,595,800 13,592,124
-----------
21,109,622
CONSTRUCTION & MINING EQUIPMENT - 1.23%
Greenfield Industries, Incorporated 380,950 10,285,650
-----------
CONSTRUCTION MATERIALS - 1.03%
Holderbank Financiere Glarus, Ltd. 9,100 8,595,137
-----------
CONTAINERS & GLASS - 0.68%
Toyo Seikan Kaisha 254,100 5,630,902
-----------
DOMESTIC OIL - 0.38%
Penzoil 41,150 3,158,263
-----------
DRUGS AND HEALTH CARE - 4.01%
Pharmacia & Upjohn, Incorporated 475,700 16,530,575
Reckitt & Coleman 1,131,767 16,906,054
-----------
33,436,629
ELECTRIC UTILITIES - 3.32%
Iberdrola SA 679,700 8,579,857
Scottish Hydroelectric 490,450 3,389,500
Veba AG 194,600 10,934,465
Southern Electric 646,153 4,756,094
-----------
27,659,916
ELECTRICAL EQUIPMENT - 0.91%
Hitachi, Ltd. 680,000 7,593,789
-----------
ELECTRONICS - 3.76%
Ascom Holding AG* 3,180 4,445,466
GenRad, Incorporated* 479,700 10,853,213
Racal Electronics 709,200 2,834,476
SGS Thomson Microelectronics,
Incorporated* 68,900 5,440,060
TDK Corporation 106,000 7,777,526
-----------
31,350,741
FINANCIAL SERVICES - 6.55%
Enhance Financial Services Group,
Incorporated 126,300 5,541,413
GreenPoint Financial Corporation 136,300 9,072,469
Internationale Nederlanden Groep 343,601 15,841,811
</TABLE>
The accompanying notes are an integral part of the financial statements.
78
<PAGE> 81
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
FINANCIAL SERVICES- CONTINUED
PennCorp Financial Group,
Incorporated 284,700 $10,960,950
UST Corporation 585,800 13,107,275
-----------
54,523,918
FOOD & BEVERAGES - 5.52%
Bass 305,600 3,730,354
Danone 22,600 3,734,171
IBP, Incorporated 171,550 3,988,538
Kao Corporation 679,000 9,419,037
Nestle SA 8,900 11,740,685
Salveson Christian 662,222 3,098,865
Tate & Lyle PLC 1,384,723 10,296,204
-----------
46,007,854
HOUSEHOLD APPLIANCES FURNISHINGS -2.32%
Matsushita Electric Industrial
Company, Ltd. 404,000 8,142,035
Philips Electronics 156,700 11,224,219
-----------
19,366,254
HOUSEHOLD PRODUCTS - 2.19%
Unilever PLC 636,100 18,209,333
-----------
INDUSTRIAL MACHINERY - 4.26%
Bobst AG 2,500 4,246,575
Schindler Holding AG 3,400 4,250,000
Sulzer AG 5,600 4,794,521
Sumitomo Rubber Industries 450,000 3,026,959
Tecumseh Products Company 133,700 8,005,288
Valeo 179,100 11,123,845
-----------
35,447,188
INSURANCE - 7.06%
Irish Life 3,926,066 20,214,964
MBIA, Incorporated 115,300 13,007,281
Scor 94,750 3,814,700
Sumitomo Marine & Fire 836,000 6,856,046
Terra Nova Bermuda Holdings, Ltd. 362,300 7,608,300
WPP Group PLC, ADR 1,794,000 7,334,436
-----------
58,835,727
INVESTMENT COMPANIES - 0.18%
India Gateway Fund* 327,260 1,479,215
-----------
LEISURE TIME - 0.37%
Ascent Entertainment Group* 338,665 3,090,319
-----------
PAPER - 1.96%
Boise Cascade Corporation 306,500 10,823,281
Clondalkin Group 513,400 5,471,780
-----------
16,295,061
PETROLEUM SERVICES - 1.55%
Burma Castrol PLC 225,250 3,811,108
Elf Aquitaine 84,200 9,083,806
-----------
12,894,914
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
PHOTOGRAPHY - 2.09%
Fuji Photo Film Company 433,000 $ 17,415,199
------------
POLLUTION CONTROL - 1.84%
Browning-Ferris Industries,
Incorporated 460,500 15,311,625
------------
PUBLISHING - 2.90%
Houghton Mifflin Company 362,475 24,195,206
------------
RAILROADS & EQUIPMENT - 0.84%
East Japan Railway 1,360 6,976,793
------------
RETAIL GROCERY - 1.03%
Albertsons, Incorporated 235,500 8,595,750
------------
RETAIL TRADE - 7.24%
Coles Myer, Ltd. 1,814,347 9,448,892
Delhaize-Le Lion SA 118,900 6,245,719
G.I.B. Holdings, Ltd. 79,300 3,790,884
Karstadt AG 38,300 13,637,005
The Limited, Incorporated 344,600 3,553,085
Toys R Us, Incorporated* 144,200 5,047,000
Waban, Incorporated* 576,200 18,546,438
------------
60,269,023
STEEL - 0.73%
Lukens, Incorporated 113,000 2,125,813
NKK Corporation 1,850,000 3,970,511
------------
6,096,324
TELECOMMUNICATION SERVICES - 1.98%
Comsat Corporation 692,850 16,498,491
------------
TELEPHONE - 6.60%
American Telephone & Telegraph
Corporation 207,850 7,287,741
MCI Communications Corporation 385,800 14,768,906
Nippon Telegraph & Telephone
Corporation 1,047 10,047,985
Stet 3,650,000 12,670,852
Telefonica de Espana SA 353,300 10,214,170
------------
54,989,654
TOBACCO - 4.21%
BAT Industries PLC 490,000 4,385,987
Imperial Tobacco 500,700 3,218,531
Philip Morris Companies,
Incorporated 617,100 27,383,813
------------
34,988,331
TRUCKING & FREIGHT - 0.83
Peninsular & Oriental Steam
Navigation Company 659,099 6,922,144
------------
TOTAL COMMON STOCKS
(Cost: $697,445,345) $831,113,358
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
79
<PAGE> 82
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 0.22%
$1,841,000 Repurchase Agreement with State
Street Bank & Trust Company
dated 06/30/97 at 5.00%, to be
repurchased at $1,841,256 on
07/01/97 collateralized by
$1,860,000 U.S. Treasury Notes,
5.875% due 04/30/98 (valued at
$1,898,360, including interest) $1,841,000
----------
TOTAL INVESTMENTS
(Global Equity Trust) (Cost: $699,286,345) $832,954,358
============
<CAPTION>
GROWTH TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 83.97%
AEROSPACE - 1.56%
Boeing Company 7,750 $ 411,234
Gulfstream Aerospace Corporation* 41,250 1,216,875
----------
1,628,109
AUTOMOBILES - 1.22%
Volkswagen AG 1,650 1,264,864
----------
BANKING - 5.17%
BankAmerica Corporation 26,900 1,736,731
Bankers Trust New York Corporation 2,850 247,950
Citicorp 7,200 868,050
First Union Corporation 20,625 1,907,813
Mellon Bank Corporation 13,450 606,931
----------
5,367,475
BUSINESS SERVICES - 2.38%
Cognizant Corporation 15,750 637,875
Fiserv, Incorporated* 18,950 845,644
Nokia Corporation, ADR 13,375 986,406
----------
2,469,925
CHEMICALS - 0.66%
Imperial Chemical Industries PLC, ADR 12,050 685,344
----------
COMPUTERS & BUSINESS EQUIPMENT - 5.30%
3Com Corporation* 10,450 470,250
Cisco Systems, Incorporated* 8,525 572,241
Compaq Computer Corporation* 3,150 312,638
Hewlett Packard Company 15,300 856,800
Oce-Van Der Grinten NV 7,500 967,446
Storage Technology Corporation* 16,650 740,925
Xerox Corporation 20,100 1,585,388
----------
5,505,688
DRUGS & HEALTH CARE - 16.74%
American Home Products Corporation 15,400 1,178,100
C. R. Bard, Incorporated 29,000 1,053,063
Bristol-Myers Squibb Company 25,950 2,101,950
Columbia/HCA Healthcare Corporation 27,537 1,082,548
Johnson & Johnson 12,850 827,219
Eli Lilly and Company 11,700 1,278,956
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
DRUGS & HEALTH CARE - CONTINUED
Medtronic, Incorporated 6,450 $ 522,450
Merck & Company, Incorporated 10,300 1,066,050
Novartis AG 725 1,159,007
Phycor, Incorporated* 23,625 813,586
Smithkline Beecham PLC, ADR 22,825 2,091,341
Stryker Corporation 28,775 1,003,528
United Healthcare Corporation 20,425 1,062,100
Warner-Lambert Company 17,300 2,149,525
-----------
17,389,423
ELECTRICAL EQUIPMENT - 2.96%
Amtel Corporation 11,025 308,700
General Electric Company 30,400 1,987,400
Phillips Electronics, ADR 10,750 772,656
-----------
3,068,756
ELECTRONICS - 14.52%
Altera Corporation* 30,300 1,530,150
LM Ericsson Telephone Company, ADR 19,400 763,875
Intel Corporation* 7,350 1,042,322
Lam Research Corporation 53,300 1,975,431
Maxim Integrated Products,
Incorporated* 21,350 1,214,281
Motorola, Incorporated* 33,325 2,532,700
National Semiconductor Corporation 35,300 1,081,063
Tellabs, Incorporated* 25,075 1,401,066
Xilinx, Incorporated* 71,950 3,530,047
-----------
15,070,935
FINANCIAL SERVICES - 6.28%
Allstate Corporation 15,250 1,113,250
Associates First Capital
Corporation, Class A 21,775 1,208,513
Federal National Mortgage Association 24,025 1,048,091
Great Western Financial Group 19,175 1,030,656
Hartford Financial Services Group 10,000 827,500
Student Loan Marketing Association 10,125 1,285,875
-----------
6,513,885
FOOD & BEVERAGES - 3.62%
The Coca-Cola Company 22,350 1,508,625
The Coca-Cola Enterprises, Incorporated 46,425 1,067,775
Pepsico, Incorporated 31,400 1,179,463
-----------
3,755,863
GAS & PIPELINE UTILITIES - 0.12%
Cooper Cameron Corporation 2,650 123,888
-----------
HOUSEHOLD APPLIANCES FURNISHING - 2.24%
Hunter Douglas 6,700 570,024
Maytag Corporation 18,950 495,069
Sunbeam Corporation 33,350 1,258,963
-----------
2,324,056
HOUSEHOLD PRODUCTS - 3.57%
Clorox Company 5,600 739,200
Dial Corporation 53,550 836,719
Gillette Company 11,067 1,048,598
Proctor & Gamble Company 7,650 1,080,563
-----------
3,705,080
</TABLE>
The accompanying notes are an integral part of the financial statements.
80
<PAGE> 83
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
INDUSTRIAL MACHINERY - 0.53%
Crane Company 13,100 $ 547,744
----------
INSURANCE - 3.43%
CIGNA Corporation 4,900 869,750
Everest Reinsurance Holdings 18,950 750,894
Hartford Life, Incorporated* 10,025 375,938
Marsh & McLennon Companies,
Incorporated 8,000 571,000
Progressive Corporation 11,400 991,800
----------
3,559,382
INTERNATIONAL OIL - 0.47%
Exxon Corporation 7,900 485,850
----------
NEWSPAPERS - 0.86%
Gannet, Incorporated 9,000 888,750
----------
PAPER - 0.75%
James Rivers Corporation 20,900 773,300
----------
PETROLEUM SERVICES - 1.58%
Santa Fe International Corporation 12,425 422,450
Schlumberger, Ltd. 7,950 993,750
Tosco Corporation 7,350 220,040
----------
1,636,240
PUBLISHING - 0.72%
Time Warner, Incorporated 15,500 747,875
----------
RETAIL GROCERY - 0.73%
Albertson's, Incorporated 20,800 759,200
----------
RETAIL TRADE - 2.04%
Consolidated Stores Corporation* 15,000 521,250
Nordstrom, Incorporated 2,250 110,391
PeopleSoft, Incorporated* 21,075 1,111,706
Wal-Mart Stores, Incorporated 11,000 371,938
----------
2,115,285
SOFTWARE - 2.03%
BMC Software, Incorporated* 11,650 645,119
Microsoft Corporation* 11,550 1,459,631
----------
2,104,750
TELECOMMUNICATION SERVICES - 1.61%
Ascend Communications, Incorporated 12,550 494,156
Lucent Technologies, Incorporated 16,300 1,174,619
----------
1,668,775
TELEPHONE - 0.59%
DDI Corporation 5 36,905
Telecomunicacoes Brasileiras, ADR 2,225 337,637
U.S. West, Incorporated 6,200 233,663
----------
608,205
TOBACCO - 2.30%
Philip Morris Companies, Incorporated 28,000 1,242,500
RJR Nabisco Corporation 34,750 1,146,750
----------
2,389,250
<CAPTION>
Value
-----
<S> <C>
TOTAL COMMON STOCKS
(Cost: $73,503,828) $87,157,897
-----------
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 16.03%
$16,635,000 Repurchase Agreement with
State Street Bank & Trust Company
dated 06/30/97 at 5.00% to be
repurchased at $16,637,310 on
07/01/97, collateralized by
$11,660,000 U.S. Treasury Bonds,
12.00% due 08/15/13 (valued at
$17,482,978, including interest) $16,635,000
-----------
TOTAL INVESTMENTS
(Growth Trust) (Cost: $90,138,828) $103,792,897
============
<CAPTION>
EQUITY TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 95.20%
AEROSPACE - 2.61%
Boeing Company 62,200 $ 3,300,488
Bombardier, Incorporated, Class B 600,000 13,599,334
United Technologies Corporation 237,200 19,687,600
-----------
36,587,422
AUTOMOBILES - 0.43%
Tower Automotive, Incorporated* 140,000 6,020,000
-----------
BANKING - 4.16%
BankAmerica Corporation 267,400 17,264,013
Comerica, Incorporated 231,200 15,721,600
First Bank Systems, Incorporated 182,300 15,563,863
NationsBank Corporation 154,200 9,945,900
-----------
58,495,376
BROADCASTING - 0.94%
Clear Channel Communications* 142,100 8,739,150
Evergreen Media* 100,000 4,462,500
-----------
13,201,650
BUILDING CONSTRUCTION - 0.63%
Fluor Corporation 130,700 7,213,006
Mastec Incorporated* 33,699 1,594,384
-----------
8,807,390
BUSINESS SERVICES - 5.18%
AC Nielsen Corporation* 269,600 5,290,900
Comdisco, Incorporated 253,200 6,583,200
Nokia Corporation, ADR 364,500 26,881,875
Omnicom Group 128,000 7,888,000
Registry, Incorporated* 172,700 7,944,200
Stone & Webster, Incorporated 287,000 12,251,313
Viad Corporation 300,200 5,778,850
-----------
72,618,338
</TABLE>
The accompanying notes are an integral part of the financial statements.
81
<PAGE> 84
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> C>
CHEMICALS - 2.24%
Air Products and Chemicals,
Incorporated 126,900 $ 10,310,625
Praxair, Incorporated 320,000 17,920,000
Union Carbide Corporation 69,300 3,261,431
------------
31,492,056
COMPUTERS & BUSINESS EQUIPMENT - 4.44%
Compaq Computer Corporation* 215,000 21,338,750
EMC Corporation* 193,200 7,534,800
Micron Electronics, Incorporated* 950,600 16,932,563
Pitney Bowes, Incorporated 37,600 2,613,200
Quantum Corporation* 244,400 4,964,375
Sandisk Corporation* 401,400 5,870,475
Seagate Technology, Incorporated* 90,000 3,166,875
------------
62,421,038
CONGLOMERATES - 0.53%
Aeroquip Vickers, Incorporated 157,200 7,427,700
------------
CONSTRUCTION MATERIALS - 0.59%
Masco Corporation 200,000 8,350,000
------------
CONTAINERS & GLASS - 0.26%
Owens-Illinois, Incorporated* 117,100 3,630,100
------------
DOMESTIC OIL - 1.07%
Sun Company, Incorporated 202,600 6,280,600
Unocal Corporation 97,200 3,772,575
USX Marathon Group 171,900 4,963,613
------------
15,016,788
DRUGS & HEALTH CARE - 7.56%
American Home Products Corporation 190,000 14,535,000
Biogen* 40,000 1,355,000
Bristol-Myers Squibb Company 291,600 23,619,600
Johnson & Johnson 20,000 1,287,500
McKesson Corporation 86,000 6,665,000
Merck & Company, Incorporated 195,000 20,182,500
Perspective Biosystems, Incorporated* 25 153
Pfizer, Incorporated 40,000 4,780,000
Pharmaceutical Product
Development, Incorporated* 466,500 10,263,000
Renal Treatment Centers, Incorporated* 45,000 1,209,375
Schering Plough Corporation 464,400 22,233,150
------------
106,130,278
ELECTRICAL EQUIPMENT - 3.38%
Atmel Corporation* 304,200 8,517,600
General Electric Company 68,800 4,497,800
Jabil Circuit, Incorporated* 31,500 2,642,063
Novellus Systems, Incorporated* 70,000 6,055,000
Phillips Electronics, ADR 338,000 24,293,750
Sanmina Corporation* 22,700 1,441,450
------------
47,447,663
ELECTRONICS - 12.87%
Adaptec, Incorporated* 414,400 14,400,400
Advanced Digital Information* 100,000 1,612,500
Altera Corporation* 97,700 4,933,850
Brightpoint, Incorporated* 26,937 $ 877,136
Cellstar Corporation* 100,000 3,062,500
Credence Systems Corporation* 361,600 10,825,400
DSC Communications Corporation* 1,171,500 26,065,875
Dynatech Corporation* 550,100 19,666,075
Electronics For Imaging, Incorporated* 759,400 35,881,650
Etec Systems, Incorporated* 120,000 5,145,000
Imation Corporation* 760,200 20,050,275
Intel Corporation* 8,200 1,162,863
International Rectifier Group* 153,100 2,851,488
Lattice Semiconductor Corporation* 68,600 3,875,900
Micron Technology, Incorporated* 230,000 9,185,625
Texas Instruments, Incorporated 210,000 17,653,125
Xilinx, Incorporated* 70,000 3,434,375
------------ ------------
180,684,037
FINANCIAL SERVICES - 6.25%
Alcatel Alsthom, ADR* 1,013,300 25,585,825
American Express Company 290,900 21,672,050
Case Corporation 242,200 16,681,525
Federal National Mortgage Association 390,400 17,031,200
Green Tree Financial Corporation 40,000 1,425,000
Greenpoint Financial Corporation 80,000 5,325,000
------------
87,720,600
FOOD & BEVERAGES - 2.03%
Earthgrains Company 31,000 2,032,438
Outback Steakhouse, Incorporated* 163,000 3,942,563
Pepsico, Incorporated 70,000 2,629,375
Unilever 90,000 19,620,000
------------
28,224,376
GOLD - 0.11%
Newmont Mining Corporation 40,000 1,560,000
------------
HOTELS & RESTAURANTS - 3.58%%
Apple South Incorporated 150,000 2,287,500
Boston Market, Incorporated* 432,100 6,049,400
Consolidated Products, Incorporated* 100,000 1,862,500
Hospitality Franchise Systems,
Incorporated* 235,500 13,659,000
Hilton Hotels Corporation 294,700 7,827,969
ITT Corporation* 140,000 8,548,750
Lone Star Steakhouse and Saloon* 104,100 2,706,600
McDonald's Corporation 100,000 4,831,250
Rainforest Cafe, Incorporated* 100,000 2,537,500
------------
50,310,469
HOUSEHOLD APPLIANCES FURNISHING - 0.26%
Furniture Brands International,
Incorporated* 176,000 3,410,000
Stanley Furniture, Incorporated* 10,900 252,063
------------
3,662,063
INDUSTRIAL MACHINERY - 1.78%
Kaydon Corporation 319,800 15,870,075
Keystone International, Incorporated 100,000 3,468,750
Tyco International, Incorporated 81,000 5,634,563
------------
24,973,388
</TABLE>
The accompanying notes are an integral part of the financial statements.
82
<PAGE> 85
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
INSURANCE - 1.26%
Aetna, Incorporated 130,000 $ 13,308,750
Conseco, Incorporated 120,000 4,440,000
------------
17,748,750
LEISURE TIME - 1.02%
Brunswick Corporation 405,000 12,656,250
The Walt Disney Company 20,900 1,677,225
------------
14,333,475
LIQUOR - 0.42%
Coors Adolph Company 219,400 5,841,525
------------
22,772,563
OFFICE FURNISHINGS & SUPPLIES - 0.27%
Ikon Office Solutions, Incorporated 152,100 3,792,994
------------
PAPER - 1.10%
Kimberly Clark Corporation 150,800 7,502,300
------------
PETROLEUM SERVICES - 2.10%
Chesapeake Energy Corporation 273,500 2,683,719
Porcenergy, Incorporated 143,600 4,361,850
Tosco Corporation 260,400 7,795,725
Valero Energy Corporation 159,700 5,789,125
------------
20,630,419
PLASTICS - 0.11%
First Brands Corporation 68,200 1,564,338
------------
POLLUTION CONTROL - 1.32%
USA Waste Services, Incorporated* 481,700 18,605,663
------------
PUBLISHING - 0.45%
Eltron International Company* 211,600 6,295,100
------------
RETAIL GROCERY - 1.11%
Safeway, Incorporated* 339,400 15,654,825
------------
RETAIL TRADE - 9.29%
99 Cents Only Stores* 204,500 6,160,563
CompUSA, Incorporated* 1,161,900 24,980,850
Consolidated Stores Corporation* 262,031 9,105,586
Costco Companies, Incorporated* 210,000 6,903,750
CVS Corporation 271,700 13,924,625
Federated Department Stores,
Incorporated* 260,000 9,035,000
PETSMART, Incorporated* 100,000 1,150,000
TJX Companies, Incorporated 432,000 11,394,000
Wal-Mart Stores, Incorporated 1,260,000 42,603,750
------------
125,258,124
SOFTWARE - 5.62%
Adobe Systems, Incorporated 305,500 10,711,594
BMC Software, Incorporated 40,000 2,215,000
Cadence Design Systems, Incorporated* 362,700 12,150,450
Creative Technology, Ltd.* 145,000 2,465,000
JDA Software Group, Ltd.* 35,700 1,218,263
Microchip Technology, Incorporated* 204,000 6,069,000
Microsoft Corporation* 210,000 $ 26,538,750
Oracle Systems Corporation* 350,000 17,631,250
--------------
78,999,307
STEEL - 0.70%
Allegheny Teldyne, Incorporated 365,600 9,871,200
--------------
TELECOMMUNICATION SERVICES - 0.11%
Ortel Corporation* 55,400 997,200
Qwest Communications
International, Incorporated* 2,100 57,225
--------------
1,054,425
TELEPHONE - 5.74%
Cincinnati Bell, Incorporated 1,573,600 49,568,400
NYNEX Corporation 31,700 1,826,704
Worldcom, Incorporated* 911,590 29,170,880
--------------
80,565,984
TOBACCO - 3.67%
Philip Morris Companies,
Incorporated 1,160,000 51,475,000
--------------
TRUCKING & FREIGHT - 0.01%
Hertz Corporation* 5,000 180,000
--------------
TOTAL COMMON STOCKS
(Cost: $1,176,438,923) $1,336,926,724
--------------
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 4.80%
$67,574,000 Repurchase Agreement with State
Street Bank & Trust Company
dated 06/30/97 at 5.00%, to be
repurchased at $67,583,385 on
07/01/97, collateralized by
$65,285,000 U.S. Treasury Bonds,
7.25% due 05/15/16 (valued at
$69,518,308, including interest) $ 67,574,000
--------------
TOTAL INVESTMENTS
(Equity Trust) (Cost: $1,244,012,923) $1,404,500,724
==============
<CAPTION>
QUANTITATIVE EQUITY TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 93.52%
AEROSPACE - 0.99%
United Technologies Corporation 15,600 $1,294,800
----------
APPAREL & TEXTILES - 1.52%
Jones Apparel Group, Incorporated* 18,600 888,150
NIKE, Incorporated 18,800 1,097,450
----------
1,985,600
</TABLE>
The accompanying notes are an integral part of the financial statements.
83
<PAGE> 86
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
AUTOMOBILES - 1.79%
Chrysler Corporation 32,500 $ 1,066,406
Ford Motor Company 33,900 1,279,725
-----------
2,346,131
BANKING - 10.52%
Banc One Corporation 40,300 1,952,031
BankAmerica Corporation 28,000 1,807,750
Bankers Trust New York Corporation 15,200 1,322,400
First Union Corporation 16,000 1,480,000
Fleet Financial Group, Incorporated 20,000 1,265,000
Keycorp 26,300 1,469,513
MBNA Corporation 30,050 1,100,581
NationsBank Corporation 21,200 1,367,400
Northern Trust Corporation 15,600 754,650
PNC Bank Corporation 29,700 1,236,263
-----------
13,755,588
BROADCASTING - 0.65%
Viacom 28,300 849,000
-----------
BUSINESS SERVICES - 2.58%
Omnicom Group 13,200 813,450
Paychex, Incorporated 21,550 818,900
Peapod, Incorporated 11,500 129,375
Quintiles Transnational Corporation 11,000 765,875
Robert Half International Corporation 17,900 842,419
-----------
3,370,019
CHEMICALS - 1.30%
Engelhard Corporation 32,400 678,375
Praxair, Incorporated 18,100 1,013,600
-----------
1,691,975
COMPUTERS & BUSINESS EQUIPMENT - 2.52%
Seagate Technology 26,200 921,913
Sun Microsystems, Incorporated* 24,300 904,416
Sundstrand Corporation 13,000 725,563
Xerox Corporation 9,500 749,313
-----------
3,301,205
CONTAINERS AND GLASS - 0.62%
Owens Ill, Incorporated 26,000 806,000
-----------
CRUDE PETROLEUM & NATURAL GAS - 0.92%
Occidental Petroleum Corporation 48,200 1,208,013
-----------
DOMESTIC OIL - 4.51%
Atlantic Richfield Company 23,200 1,635,600
Phillips Petroleum Company 45,000 1,968,750
Sun, Incorporated 41,100 1,274,100
USX Marathon Group 35,300 1,019,288
-----------
5,897,738
DRUGS & HEALTH CARE - 4.55%
Bristol-Myers Squibb Company 4,700 380,700
Columbia/HCA Healthcare Corporation 35,100 1,379,869
Dura Pharmaceuticals, Incorporated* 17,200 685,850
Health Management Associates 8,200 233,700
Merck and Company, 11,900 1,231,650
Incorporated
Pharmacia & Upjohn, Incorporated 17,600 611,600
Schering Plough Corporation 30,000 1,436,250
-----------
5,959,619
ELECTRIC UTILITIES - 2.43%
Calenergy, Incorporated* 19,600 $ 744,800
Dominion Resources, Incorporated 18,000 659,250
FPL Group, Incorporated 15,800 727,787
PG&E Group, Incorporated 23,600 572,300
Southern Company 21,500 470,313
----------
3,174,450
ELECTRICAL EQUIPMENT - 4.21%
Cooper Industries, Incorporated 27,000 1,343,250
Generale Cable Corporation 80,000 2,050,000
General Electric Company 32,200 2,105,075
----------
5,498,325
ELECTRONICS - 4.00%
Altera Corporation 10.900 550,450
Intel Corporation 10,500 1,489,031
LSI Logic Corporation* 15,500 496,000
Motorola, Incorporated 19,200 1,459,200
Silicon Graphics, Incorporated 14,900 223,500
Texas Instruments, Incorporated 12,000 1,008,750
----------
5,226,931
FINANCIAL SERVICES - 3.80%
Allstate Corporation 18,100 1,321,300
Chase Manhattan Corporation 16,700 1,620,944
The Money Store, Incorporated 6,700 192,206
Travelers Group, Incorporated 29,000 1,828,813
----------
4,963,263
FOOD & BEVERAGES - 3.27%
Campbell Soup Company 18,300 915,000
Coca Cola Enterprises, Incorporated 17,100 393,300
Conagra, Incorporated 21,400 1,372,275
General Mills, Incorporated 14,100 918,263
Sara Lee Corporation 16,300 678,488
----------
4,277,326
GAS & PIPELINE UTILITIES - 2.00%
Coastal Corporation 23,300 1,239,269
Cooper Cameron Corporation 13,500 631,125
El Paso Natural Gas Company 13,500 742,500
----------
2,612,894
HOTELS & RESTAURANTS - 1.95%
Hilton Hotels Corporation 40,400 1,073,125
Hospitality Franchise Systems,
Incorporated* 25,500 1,479,000
----------
2,552,125
HOUSEHOLD PRODUCTS - 0.97%
Clorox Company 3,700 488,400
Gillette Company 8,300 786,425
----------
1,274,825
INDUSTRIAL MACHINERY - 3.40%
AES Corporation 10,700 757,025
Cummins Engine, Incorporated 3,300 232,856
Ingersol Rand Company 26,700 1,648,725
Tyco International, Ltd. 21,400 1,488,638
US Filter Corporation 11,600 316,100
----------
4,443,344
</TABLE>
The accompanying notes are an integral part of the financial statements.
84
<PAGE> 87
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
INSURANCE - 6.16%
Aetna, Incorporated 14,500 $1,484,438
American International Group,
Incorporated 11,500 1,717,813
Conseco, Incorporated 14,600 540,200
General RE Corporation 7,500 1,365,000
Marsh and McLennan Companies,
Incorporated 22,800 1,627,350
SunAmerica, Incorporated 16,000 780,000
Travelers Property Casualty
Corporation 13,400 534,325
----------
8,049,126
INTERNATIONAL OIL - 4.02%
Amoco Corporation 13,200 1,147,575
Chevron Corporation 18,600 1,375,238
Exxon Corporation 9,200 565,800
Mobil Corporation 16,200 1,131,975
Texaco, Incorporated 9,5000 1,033,125
----------
5,253,713
LEISURE TIME - 1.63%
Callaway Golf Company 7,400 262,700
Carnival Corporation 28,800 1,188,000
The Walt Disney Company 8,500 682,125
----------
2,132,825
NEWSPAPERS - 1.55%
Gannett, Incorporated 11,500 1,135,625
New York Times Company 18,000 891,000
----------
2,026,625
OFFICE FURNISHINGS & SUPPLIES - 0.65%
Avery Dennison Corporation 21,300 854,663
----------
PAPER - 0.74%
James River Corporation 26,300 973,100
----------
PETROLEUM SERVICES - 0.46%
Global Marine, Incorporated 25,700 597,525
----------
POLLUTION CONTROL - 0.85%
Browning Ferris Industries, Incorporated 23,800 791,350
United Waste Systems, Incorporated 7,700 315,700
----------
1,107,050
RAILROADS AND EQUIPMENT - 1.01%
Union Pacific Railroad Corporation 18,700 1,318,350
----------
RETAIL GROCERY - 1.21%
Albertson's, Incorporated 10,200 372,300
American Stores Company 24,500 1,209,688
----------
1,581,988
RETAIL TRADE - 5.67%
Amazon Communications,
Incorporated 10,000 185,000
CVS Corporation 16,900 866,125
Dayton Hudson Corporation 24,100 1,281,819
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
RETAIL TRADE - CONTINUED
Federated Department Stores,
Incorporated 23,200 $ 806,200
Lowe's Companies, Incorporated 25,900 961,537
Tiffany and Company 8,600 397,213
TJX Companies, Incorporated 32,600 859,825
Toys R Us, Incorporated* 26,200 917,000
Wal-Mart Stores, Incorporated 33,800 1,142,863
------------
7,417,582
SOFTWARE - 2.19%
Cadence Design Systems, Incorporated 2,600 87,100
HBO & Company 3,700 254,838
Informix Corporation 41,700 375,300
McAffe Associates, Incorporated 9,500 599,688
Microsoft Corporation 11,400 1,440,676
PeopleSoft, Incorporated 1,900 100,225
------------
2,857,827
STEEL - 0.61%
Nucor Corporation 14,200 802,300
------------
TELEPHONE - 4.82%
Airtouch Communications, Incorporated 28,400 777,450
American Telephone & Telegraph
Corporation 27,100 950,194
NYNEX Corporation 23,100 1,331,138
Qwest Communications International
Corporation 40,000 1,090,000
SBC Communications, Incorporated 23,163 1,433,211
WorldCom, Incorporated 22,470 719,040
------------
6,301,033
TOBACCO - 3.46%
Philip Morris Companies, Incorporated 72,100 3,199,428
RJR Nabisco Holdings Corporation 40,300 1,329,900
------------
4,529,328
TOTAL COMMON STOCKS
(Cost: $101,554,082) $122,292,206
------------
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT TERM INVESTMENTS - 6.48%
U.S. TREASURY BILLS - 6.48%
4.81% due 09/04/97 $ 621,000 $ 615,607
4.83% due 09/04/97 238,000 235,924
4.84% due 09/04/97 2,163,000 2,144,098
4.88% due 09/04/97 1,016,000 1,007,048
4.90% due 09/04/97 611,000 605,594
4.92% due 09/04/97 261,000 258,681
4.93% due 09/04/97 176,000 174,433
4.94% due 09/04/97 2,981,000 2,954,411
4.99% due 09/04/97 477,700 472,702
------------
8,468,498
TOTAL INVESTMENTS (Quantitative
Equity Trust) (Cost: $110,022,580) $130,760,704
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
85
<PAGE> 88
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY INDEX TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 3.33%
FINANCIAL SERVICES - 3.33%
SPDR Trust 6,490 $ 573,146
-----------
TOTAL COMMON STOCKS (Cost: $475,164) $ 573,146
-----------
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT TERM INVESTMENTS - 96.67%
U.S. TREASURY BILLS - 39.63%
4.81% due 09/04/97 $ 154,000 $ 152,663
4.82% due 09/04/97 288,000 285,494
4.83% due 09/04/97 56,000 55,512
4.84% due 09/04/97 78,000 77,318
4.85% due 09/04/97 492,000 487,692
4.87% due 08/28/97**** 300,000 297,646
4.88% due 09/04/97 670,000 664,097
4.90% due 09/04/97 1,871,000 1,854,447
4.92% due 09/04/97 483,000 478,709
4.94% due 09/04/97**** 1,949,000 1,931,616
5.09% due 09/04/97 548,000 542,964
-----------
6,828,158
FEDERAL HOME LOAN BANK - 11.57%
5.49% due 07/24/97 2,000,000 1,992,985
-----------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 9.25%
5.43% due 07/24/97 1,600,000 1,594,449
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 10.41%
5.42% due 02/14/97 1,800,000 1,793,767
-----------
STUDENT LOAN MARKETING ASSOCIATION - 8.60%
5.39% due 07/24/97 1,500,000 1,481,360
-----------
CANADIAN GOVERNMENT - 2.87%
Her Majesty In Right of Canada,
5.44% due 09/11/97 500,000 494,560
-----------
FINANCIAL SERVICES - 14.34%
Associates Corporation of
North America, 5.54% due 10/24/97 500,000 491,151
Export Development Corporation,
5.50% due 07/23/97 500,000 498,319
General Electric Company,
5.52% due 09/25/97 500,000 493,407
Goldman Sachs Group,
5.56% due 09/16/97 500,000 494,054
Merrill Lynch & Company, Incorporated,
5.58% due 09/16/97 500,000 494,033
-----------
2,470,964
TOTAL INVESTMENTS
(Equity Index Trust) (Cost: $17,131,406) $17,229,389
===========
<CAPTION>
BLUE CHIP GROWTH TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCK - 90.38%
AEROSPACE - 2.13%
AlliedSignal, Incorporated 88,600 $ 7,442,400
Boeing Company 31,800 1,687,388
Lockheed Martin Corporation 27,000 2,796,187
-----------
11,925,975
APPAREL & TEXTILES - 1.26%
Jones Apparel Group, Incorporated* 38,900 1,857,475
NIKE, Incorporated 4,900 286,038
Warnaco Group, Incorporated, Class A 155,100 4,943,812
-----------
7,087,325
AUTO PARTS - 1.15%
Danaher Corporation 100,800 5,121,900
Lear Corporation 29,900 1,326,812
-----------
6,448,712
BANKING - 5.51%
Banc One Corporation 82,300 3,986,406
BankBoston Corporation 34,000 2,450,125
Citicorp 47,100 5,678,494
Mellon Bank Corporation 149,400 6,741,675
NationsBank Corporation 55,000 3,547,500
Norwest Corporation 103,900 5,844,375
Wells Fargo & Company 9,800 2,641,100
-----------
30,889,675
BROADCASTING - 0.56%
U.S. West, Incorporated 155,500 3,148,875
-----------
BUSINESS SERVICES - 5.97%
ADT, Ltd.* 119,600 3,946,800
Automatic Data Processing,
Incorporated 76,800 3,609,600
H & R Block, Incorporated 89,000 2,870,250
CUC International, Incorporated* 145,800 3,763,463
R.R. Donnelley & Sons Company 54,600 1,999,725
First Data Corporation 156,200 6,863,037
National Data Corporation 50,000 2,165,625
Nokia Corporation 18,000 1,327,500
Omnicom Group 19,900 1,226,337
Service Corporation International 88,000 2,893,000
SunGard Data Systems, Incorporated 60,200 2,799,300
-----------
33,464,637
CHEMICALS - 2.59%
The Dow Chemical Company 10,600 923,525
E.I. Du Pont De Nemours & Company 54,000 3,395,250
Great Lakes Chemical Corporation 97,400 5,101,325
Hercules, Incorporated 67,400 3,226,775
Monsanto Company 36,000 1,550,250
Sigma-Aldrich Corporation 9,000 315,563
-----------
14,512,688
COMPUTERS & BUSINESS EQUIPMENT - 3.01%
3Com Corporation 39,000 1,755,000
Cisco Systems, Incorporated* 64,600 4,336,275
Compaq Computer Corporation 29,700 2,947,725
</TABLE>
The accompanying notes are an integral part of the financial statements.
86
<PAGE> 89
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMPUTERS & BUSINESS EQUIPMENT - CONTINUED
Dell Computer Corporation 10,000 $ 1,174,375
Hewlett-Packard Company 31,700 1,775,200
International Business Machines
Corporation 54,600 4,924,237
-----------
16,912,812
CONSTRUCTION MATERIALS - 0.45%
Masco Corporation 60,000 2,505,000
-----------
CONTAINERS & GLASS - 0.53%
Crown Cork & Seal, Incorporated 55,700 2,976,469
-----------
DOMESTIC OIL - 0.44%
Atlantic Richfield Company 35,400 2,495,700
-----------
DRUGS & HEALTH CARE - 12.12%
American Home Products Corporation 69,900 5,347,350
Amgen, Incorporated* 33,900 1,970,438
Columbia/HCA-Healthcare Corporation 90,900 3,573,506
General Nutrition Companies,
Incorporated* 119,100 3,334,800
HEALTHSOUTH Corporation 134,000 3,341,625
Johnson & Johnson 99,700 6,418,187
Eli Lilly & Company 27,800 3,038,887
McKesson Corporation 7,800 604,500
Medtronic, Incorporated 42,700 3,458,700
Merck & Company, Incorporated 63,200 6,541,200
Pacificare Health Systems
Incorporated, Class B 37,400 2,388,925
Pfizer, Incorporated 62,900 7,516,550
Schering-Plough Corporation 84,800 4,059,800
SmithKline Beecham PLC, ADR 56,500 5,176,813
St. Jude Medical, Incorporated 53,000 2,067,000
United Healthcare Corporation 37,300 1,939,600
Venor, Incorporated 85,000 3,591,250
Warner-Lambert Company 29,000 3,603,250
-----------
67,972,381
ELECTRICAL EQUIPMENT - 2.94%
Boston Scientific Corporation* 59,100 3,630,956
Emerson Electric Company 46,600 2,565,913
General Electric Company 91,700 5,994,887
Hubbell, Incorporated, Class B 97,400 4,285,600
-----------
16,477,356
ELECTRONICS - 4.74%
Altera Corporation 36,000 1,818,000
Electronic Data Systems Corporation* 45,900 1,881,900
Honeywell, Incorporated 39,000 2,959,125
Intel Corporation* 34,300 4,864,169
Linear Technology Corporation 36,000 1,863,000
Maxim Integrated Products,
Incorporated 53,900 3,065,563
Motorola, Incorporated 36,000 2,736,000
Teleflex, Incorporated 154,000 4,812,500
Tellabs, Incorporated 12,200 681,675
Xilinx, Incorporated 39,000 1,913,437
-----------
26,595,369
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
FINANCIAL SERVICES - 7.39%
American Express Company 58,500 $ 4,358,250
The Chase Manhattan Corporation 51,300 4,979,306
Corporate Express, Incorporated 122,600 1,770,038
Federal Home Loan Mortgage
Corporation 197,200 6,778,750
Federal National Mortgage Association 118,900 5,187,012
Green Tree Financial Corporation 58,500 2,084,063
Household International, Incorporated 27,300 3,206,044
The Money Store, Incorporated 105,500 3,026,531
Student Loan Marketing Association 22,200 2,819,400
Travelers Group, Incorporated 115,000 7,252,187
-----------
41,461,581
FOOD & BEVERAGES - 4.33%
The Coca-Cola Company 5,300 357,750
H.J. Heinz Company 65,000 2,998,125
Interstate Bakeries Corporation 33,600 1,992,900
McCormick & Company, Incorporated 49,300 1,244,825
Nabisco Holdings Corporation, Class A 67,300 2,683,588
PepsiCo, Incorporated 137,900 5,179,869
Ralston Purina Company 28,700 2,358,781
Sara Lee Corporation 127,300 5,298,862
Unilever NV 9,900 2,158,200
-----------
24,272,900
GAS PIPELINE UTILITIES - 0.87%
Cooper Cameron Corporation* 73,800 3,450,150
BJ Services Company* 27,000 1,447,875
-----------
4,898,025
HOTELS & RESTAURANTS - 0.79%
ITT Corporation* 16,500 1,007,531
McDonald's Corporation 71,400 3,449,513
-----------
4,457,044
HOUSEHOLD APPLIANCES FURNISHING - 0.44%
Newell Company 62,300 2,468,637
-----------
HOUSEHOLD PRODUCTS - 3.08%
Colgate Palmolive Company 49,200 3,210,300
Corning, Incorporated 113,700 6,324,563
Gillette Company 14,600 1,383,350
Procter & Gamble Company 28,500 4,025,625
Stanley Works 58,400 2,336,000
-----------
17,279,838
INDUSTRIAL MACHINERY - 1.24%
SPX Corporation 47,400 3,072,113
Tyco International, Ltd. 56,100 3,902,456
-----------
6,974,569
INSURANCE - 5.41%
ACE, Ltd. 94,800 7,003,350
American International Group,
Incorporated 24,100 3,599,938
EXEL, Ltd. 47,000 2,479,250
Mid Ocean, Ltd. 70,000 3,670,625
St. Paul Companies, Incorporated 59,700 4,552,125
Travelers Property Casualty
Corporation, Class A 118,500 4,725,188
</TABLE>
The accompanying notes are an integral part of the financial statements.
87
<PAGE> 90
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
INSURANCE - CONTINUED
UNUM Corporation 102,400 $ 4,300,800
-----------
30,331,276
INTERNATIONAL OIL - 2.38%
The British Petroleum Company
PLC, ADR 60,000 4,492,500
Mobil Corporation 84,600 5,911,425
Texaco, Incorporated 27,200 2,958,000
-----------
13,361,925
LEISURE TIME - 1.66%
Carnival Corporation, Class A 95,900 3,955,875
The Walt Disney Company 67,000 5,376,750
-----------
9,332,625
MINING - 0.52%
Newmont Mining Corporation 74,300 2,897,700
-----------
NEWSPAPER - 0.59%
Tribune Company 68,500 3,292,281
-----------
OFFICE FURNISHINGS & SUPPLIES - 0.55%
Ikon Office Solutions, Incorporated 72,000 1,795,500
Wallace Computer Service,
Incorporated 42,500 1,277,656
-----------
3,073,156
PAPER - 0.89%
Kimberly Clark Corporation 99,800 4,965,050
-----------
PETROLEUM SERVICES - 0.92%
Camco International, Incorporated 34,100 1,866,975
Halliburton Company 41,600 3,296,800
-----------
5,163,775
PHOTOGRAPHY - 0.66%
Eastman Kodak Company 48,600 3,730,050
-----------
POLLUTION CONTROL - 0.35%
USA Waste Services, Incorporated 50,500 1,950,563
-----------
PUBLISHING - 0.63%
Time Warner, Incorporated 73,800 3,560,850
-----------
RAILROADS & EQUIPMENT - 0.51%
Burlington Northern Santa Fe 32,100 2,884,987
-----------
REAL ESTATE - 0.40%
Patriot American Hospitality,
Incorporated 22,000 561,000
Starwood Lodging Trust 40,000 1,707,500
-----------
2,268,500
RETAIL GROCERY - 1.63%
American Stores Company 59,300 2,927,938
Richfood Holdings, Incorporated 88,800 2,308,800
Safeway, Incorporated* 84,300 3,888,337
-----------
9,125,075
RETAIL TRADE - 3.12%
Circuit City Stores, Incorporated 28,700 $ 1,020,644
CVS Corporation 51,283 2,628,254
Federal Department Stores,
Incorporated* 94,600 3,287,350
Gap, Incorporated 21,500 835,812
The Home Depot, Incorporated 46,900 3,233,169
Kohl's Corporation* 54,500 2,885,094
Neiman-Marcus Group, Incorporated 40,500 1,063,125
Wal-Mart Stores, Incorporated 76,000 2,569,750
------------
17,523,198
SOFTWARE - 2.96%
BMC Software, Incorporated* 105,600 5,847,600
Microsoft Corporation* 32,200 4,069,275
Oracle Systems Corporation* 64,000 3,224,000
Parametric Technology Corporation 41,200 1,753,575
Synopsys, Incorporated 46,400 1,705,200
------------
16,599,650
TELECOMMUNICATION SERVICES - 0.95%
ALLTEL Corporation 60,000 $ 2,006,250
Ascend Communications, Incorporated 37,200 1,464,750
Lucent Technologies, Incorporated 25,700 1,852,006
------------
5,323,006
TELEPHONE - 2.76%
American Telephone & Telegraph
Corporation 35,200 1,234,200
MCI Communications Corporation 71,300 2,729,453
SBC Communications, Incorporation 86,300 5,339,813
Sprint Corporation 24,600 1,294,575
Vodafone Group PLC, ADR 40,300 1,952,031
WorldCom, Incorporated* 91,300 2,921,600
------------
15,471,672
TOBACCO - 1.21%
Philip Morris Companies, Incorporated 152,600 6,771,625
------------
TOYS, AMUSEMENTS & SPORTING GOODS - 0.74%
Mattel, Incorporated 121,800 4,125,975
------------
TOTAL COMMON STOCKS
(Cost: $402,148,801) $506,978,507
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT TERM INVESTMENTS - 9.02%
Bell Atlantic Network Funding,
5.50% due 07/08/97 $ 7,370,000 $ 7,362,118
Metlife Funding, Incorporated,
5.55% due 08/04/97 1,255,000 1,248,422
Mobil Australia Finance Company,
5.55% due 08/20/97 1,190,000 1,180,827
Motorola Credit Corporation,
5.50% due 08/05/97 8,200,000 8,156,153
Pacific Mutual,
6.25% due 07/01/97 10,000,000 10,000,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
88
<PAGE> 91
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT TERM INVESTMENTS - CONTINUED
Pitney Bowes Credit Corporation,
5.52% due 07/09/97 $10,564,000 $10,551,041
Procter & Gamble Company,
5.51% due 08/15/97 2,776,000 2,756,880
RTZ America, Incorporated,
5.56% due 07/07/97 8,189,000 8,181,412
Western Australian Treasury,
5.50% due 07/11/97 1,190,000 1,188,182
-----------
50,625,035
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C>
REPURCHASE AGREEMENT - 0.60%
$3,358,000 Repurchase Agreement with State
Street Bank & Trust Company dated
06/30/97 at 5.00%, to be repurchased
at $3,358,466 on 07/01/97,
collateralized by $2,710,000 U.S.
Treasury Bonds, 9.125% due 05/15/18
(valued at $3,458,215, including interest) $ 3,358,000
------------
TOTAL INVESTMENTS
(Blue Chip Growth Trust) (Cost: $456,131,836) $560,961,542
============
<CAPTION>
REAL ESTATE SECURITIES TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 99.79%
HOTELS & RESTAURANTS - 0.34%
Servico, Incorporated 28,000 $ 416,500
----------
REAL ESTATE - 99.45%
American Health Properties,
Incorporated 61,900 1,555,237
Apartment Investment & Management
Company, Class A 24,000 678,000
Avalon Properties, 45,500 1,302,438
Incorporated
Bay Apartment Community, 75,800 2,804,600
Incorporated
Beacon Properties 120,800 4,031,700
Bedford Property Investors, 15,600 313,950
Incorporated
BRE Properties, 109,400 2,748,675
Incorporated
Cali Realty Corporation 105,000 3,570,000
Camden Property Trust 75,000 2,371,875
CarrAmerica Realty Corporation 68,800 1,978,000
CBL & Associates Properties,
Incorporated 31,000 744,000
Centerpoint Properties Corporation 25,087 796,512
Chateau Communities, Incorporated 35,970 1,029,641
Chelsea GCA Realty, Incorporated 64,700 2,458,600
Colonial Properties Trust 26,400 775,500
Cousins Properties, 97,800 2,713,950
Incorporated
Crescent Operating, Incorporated 15,970 191,640
Crescent Real Estate Equities 159,700 5,070,475
Developers Diversified Realty 78,100 3,124,000
Duke Realty Investments, Incorporated 42,500 1,721,250
Equity Residential Properties Trust 111,612 5,301,570
Essex Property Trust 17,000 546,125
Excel Realty Trust, 24,700 651,463
Incorporated
Federal Realty Investment 53,500 1,444,500
Trust
Felcor Suite Hotels, 36,500 1,359,625
Incorporated
First Industrial Realty Trust,
Incorporated 41,100 1,202,175
Franchise Finance Corporation
of America $54,200 $1,412,587
Gables Residential Trust 24,400 616,100
General Growth Properties, Incorporated 99,700 3,339,950
Glimcher Realty Trust, REIT 27,200 561,000
Highwoods Properties, 52,100 1,667,200
Incorporated
Hospitality Properties Trust 40,800 1,249,500
Irvine Apartment Communities,
Incorporated 26,200 772,900
JDN Realty Corporation 78,300 2,446,875
JP Realty, Incorporated 24,000 651,000
Kimco Realty Corporation 100,800 3,200,400
Liberty Property 54,900 1,365,638
Macerich Company 34,800 965,700
Manufactured Home Communities,
Incorporated 34,500 795,656
Merry Land and Investment Company 132,000 2,862,750
New Plan Realty Trust 160,100 3,532,206
Patriot American Hospitality,
Incorporated 59,900 1,527,450
Post Properties, 30,291 1,228,679
Incorporated
Public Storage, Incorporated 149,200 4,364,100
Realty Income Corporation 32,100 842,625
Reckson Associates Realty Corporation 23,000 529,000
Security Capital Industrial Trust 137,300 2,951,950
Security Capital Pacific Trust 111,600 2,552,850
Shurgard Storage Centers, Incorporated 35,200 985,600
Simon de Bartolo Group, Incorporated 191,900 6,140,800
Charles E. Smith Residential 19,000 548,625
Spieker Properties, 67,900 2,389,231
Incorporated
Starwood Lodging Trust 100,100 4,273,019
Storage Trust Realty 79,500 2,106,750
Storage USA, Incorporated 39,100 1,495,575
Summit Properties, Incorporated 33,400 688,875
Sun Communities, 69,200 2,322,525
Incorporated
Taubman Centers, Incorporated 71,300 944,725
Trinet Corporation Realty Trust,
Incorporated 29,300 968,731
United Dominion Realty Trust,
Incorporated 115,029 1,631,974
Urban Shopping Centers, Incorporated 24,100 768,188
Vornado Realty Trust 35,500 2,560,437
Walden Residential Properties,
Incorporated 21,900 561,188
</TABLE>
The accompanying notes are an integral part of the financial statements.
89
<PAGE> 92
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
REAL ESTATE - CONTINUED
Washington Real Estate
Investment Trust 48,100 $ 853,775
Weeks Corporation 20,900 653,125
Weingarten Realty Investments 37,900 1,601,275
------------
121,416,035
TOTAL COMMON STOCKS
(Cost: $115,095,518) $121,832,535
------------
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT TERM INVESTMENTS - 0.21%
U.S. TREASURY BILLS - 0.21%
4.97% due 09/04/97 $ 113,000 $ 111,986
4.99% due 09/04/97 131,000 129,820
5.04% due 09/04/97 19,000 18,827
------------
260,633
TOTAL INVESTMENTS (Real Estate
Securities Trust) (Cost: $115,356,151) $122,093,168
============
<CAPTION>
VALUE TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 84.61%
AEROSPACE - 0.96%
TRW, Incorporated 10,700 $ 607,894
----------
AGRICULTURAL MACHINERY - 0.59%
Deere and Company 6,800 373,150
----------
AIR TRAVEL - 1.55%
AMR Corporation* 5,700 527,250
UAL Corporation* 6,400 458,000
----------
985,250
APPAREL & TEXTILES - 3.22%
Russell Corporation 13,800 408,825
Springs Industries, 9,400 495,850
Incorporated
Talbots, Incorporated 10,800 367,200
VF Corporation 9,200 779,700
----------
2,051,575
AUTO PARTS - 1.76%
Dana Corporation 9,800 372,400
Eaton Corporation 8,600 750,887
----------
1,123,287
AUTOMOBILES - 3.94%
Ford Motor Company 43,000 1,623,250
General Motors Corporation 15,900 885,431
----------
2,508,681
BANKING - 5.43%
Bank of New York, Incorporated 13,000 565,500
CitiCorp 5,400 651,038
Crestar Financial Corporation 6,200 241,025
First Union Corporation 5,600 518,000
Mellon Bank Corporation 11,100 500,887
Republic New York Corporation 5,100 548,250
Signet Banking Corporation 12,000 432,000
----------
3,456,700
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
BUSINESS SERVICES - 0.48%
Olsten Corporation 15,700 $ 305,169
----------
CHEMICALS - 6.03%
Cabot Corporation 13,100 371,713
The Dow Chemical Company 4,200 365,925
E. I. Du Pont De Nemours & Company 8,800 553,300
FMC Corporation* 8,700 691,106
Great Lakes Chemical Corporation 18,000 942,750
IMC Global, Incorporated 8,300 290,500
Rohm & Haas Company 6,900 621,431
----------
3,836,725
COMPUTERS & BUSINESS EQUIPMENT - 5.75%
Compaq Computer Corporation* 6,100 $ 605,425
International Business Machines 16,700 1,506,131
Seagate Technology* 22,100 777,644
Stratus Computer, Incorporated* 2,500 125,000
Western Digital Corporation* 20,500 648,313
----------
3,662,513
CONGLOMERATES - 2.37%
Aeroquip-Vickers, Incorporated 29,000 1,370,250
Textron, Incorporated 2,100 139,387
----------
1,509,637
CONSTRUCTION MATERIAL - 0.91%
Owens-Corning 13,400 577,875
----------
CONSTRUCTION & MINING EQUIPMENT - 1.94%
Caterpillar, Incorporated 4,100 440,238
Harnischfeger Industries, Incorporated 19,100 792,650
----------
1,232,888
DOMESTIC OIL - 2.29%
Atlantic Richfield Company 8,800 620,400
Phillips Petroleum Company 10,700 468,125
Ultramar Diamond Shamrock 11,400 371,925
----------
1,460,450
DRUGS & HEALTH CARE - 3.48%
Bergen Brunswig Corporation 20,100 560,287
Columbia/HCA Healthcare
Corporation 11,500 452,094
Mallinckrodt, Incorporated 13,100 497,800
Maxicare Health Plans, Incorporated* 13,000 290,875
Nellcor Puritan Bennett, Incorporated* 22,900 415,063
----------
2,216,119
ELECTRIC UTILITIES - 2.59%
Central Maine Power Company 9,600 118,800
Cinergy Corporation 7,200 250,650
DTE Energy Company 11,600 320,450
Duke Power Company 5,639 270,298
Entergy Corporation 11,900 325,763
GPU, Incorporated 10,100 362,337
----------
1,648,298
ELECTRICAL EQUIPMENT - 0.30%
Arrow Electronics, Incorporated* 3,600 191,250
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
90
<PAGE> 93
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
ELECTRONICS - 2.97%
Beckman Instruments, Incorporated 18,100 $ 873,325
Raytheon Company 8,300 423,300
Tektronix, Incorporated 9,900 594,000
----------
1,890,625
FINANCIAL SERVICES - 7.34%
Allstate Corporation 9,900 722,700
Capital One Financial Corporation 14,600 551,150
Case Corporation 21,600 1,487,700
Chase Manhattan Corporation 9,300 902,681
Federal National Mortgage Association 10,000 436,250
Reliastar Financial Corporation 7,800 570,375
----------
4,670,856
FOOD & BEVERAGES - 1.52%
IBP, Incorporated 17,000 395,250
Universal Foods Corporation 15,000 571,875
----------
967,125
GAS & PIPELINE UTILITIES - 0.69%
El Paso Natural Gas Company 8,000 440,000
----------
HOUSEHOLD PRODUCTS - 0.75%
Tupperware Corporation 13,000 474,500
----------
INDUSTRIAL MACHINERY - 5.75%
Cummins Engine, Incorporated 25,200 1,778,175
Kennametal, Incorporated 14,800 636,400
Parker Hannifin Corporation 10,500 637,219
Tecumseh Products Company 10,100 604,737
----------
3,656,531
INSURANCE - 7.19%
AEGON 3,432 240,438
American General Corporation 10,000 477,500
Chubb Corporation 6,100 407,938
Everest Reinsurance Holdings 17,100 677,587
Foundation Health Systems,
Incorporated* 20,740 628,681
Hartford Financial Services Group 5,100 422,025
Old Republic International Corporation 15,500 469,844
Providian Corporation 9,200 295,550
TIG Holdings, Incorporated 10,800 337,500
Torchmark, Incorporated 2,000 142,500
Transatlantic Holdings, Incorporated 4,800 476,400
----------
4,575,963
INTERNATIONAL OIL - 3.16%
Amoco Corporation 7,500 652,031
British Petroleum PLC, ADR 9,600 718,800
YPF Sociedad Anonima, ADR 20,900 642,675
----------
2,013,506
OFFICE FURNISHINGS & SUPPLIES - 0.35%
Standard Register 7,200 220,500
----------
PAPER - 0.45%
Westvaco Corporation 9,200 289,225
----------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
PETROLEUM SERVICES - 1.70%
Mapco, Incorporated 15,900 $ 500,850
Repsol SA, ADR 13,700 581,394
-----------
1,082,244
PLASTICS - 0.45%
Premark International, 10,600 283,550
-----------
Incorporated
RAILROADS & EQUIPMENT - 1.35%
Burlington Northern Santa Fe 5,000 449,375
CSX Corporation 7,400 410,700
-----------
860,075
RETAIL TRADE - 1.74%
Dillard's, Incorporated 13,400 463,975
Toys R Us, Incorporated* 18,300 640,500
-----------
1,104,475
TIRES & RUBBER - 2.07%
The Goodyear Tire & Rubber Company 20,800 1,316,900
-----------
TOBACCO - 3.55%
Philip Morris Companies, Incorporated 31,000 1,375,625
RJR Nabisco Holdings Corporation 26,700 881,100
-----------
2,256,725
TOTAL COMMON STOCKS
(Cost: $49,609,228) $53,850,261
-----------
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C>
REPURCHASE AGREEMENT - 15.39%
$9,796,000 Repurchase Agreement with State
Street Bank & Trust Company dated
06/30/97 at 5.00%, to be repurchased
at $9,797,361 on 07/01/97,
collateralized by $9,990,000
U.S. Treasury Notes, 5.625% due
11/30/98 (valued at $10,041,253,
including interest) $9,796,000
----------
TOTAL INVESTMENTS
(Value Trust) (Cost: $59,405,228) $63,646,261
===========
<CAPTION>
INTERNATIONAL GROWTH AND INCOME TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 72.41%
AEROSPACE - 1.23%
Lucas Varity PLC, ADS 517,300 $1,791,834
CSF Thomson 33,800 870,781
----------
2,662,615
AIR TRAVEL - 0.78%
British Airways PLC, ADS 91,000 1,037,308
Singapore Airlines 74,000 662,517
----------
1,699,825
</TABLE>
The accompanying notes are an integral part of the financial statements.
91
<PAGE> 94
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
APPAREL & TEXTILES - 0.89%
Christian Dior 7,090 $ 1,170,266
Mitsuibishi Rayon Company, Ltd, 106,000 436,503
Tomen Corporation 126,000 318,793
-----------
1,925,562
AUTOMOBILES - 2.48%
Fiat SPA 157,000 565,343
Nissan Motor Company, Ltd. 197,000 1,527,945
Peugeot SA 10,800 1,043,851
Toyota Motor Corporation 76,000 2,241,145
-----------
5,378,284
BANKING - 10.58%
Allied Irish Banks 250,900 1,927,043
Asahi Bank, Ltd. 79,000 672,003
Ashikaga Bank 88,000 322,457
Banco Industrial Colombiano, ADR 11,000 198,000
Banco Popular Espanol SA 3,600 881,982
Bangkok Bank 56,000 384,791
Bank Niaga 442,500 1,255,448
Bank of East Asia 120 500
Bank of Tokyo Mitsubishi, ADS 2,000 40,133
Bayer Hypotheken and Wechsel
Bank AG 69,080 2,065,548
Dai Ichi Kangyo Bank 16,000 217,763
Daiwa Bank 133,000 630,073
Hokuriku Bank 148,000 507,451
HSBC Holdings - HKD 25,200 757,890
HSBC Holdings - POUND STERLING 90,100 2,773,555
Istituto Mobiliare Italiano SPA 76,000 684,173
Long Credit Bank of Japan 72,000 310,940
The Mitsui Trust & Banking,
Company, Ltd. 155,000 1,169,735
National Australia Bank, Ltd. 158,200 2,268,046
National Mortgage Bank 8,760 529,102
Philippine National Bank 45,719 310,269
Royal Bank of Scotland Group PLC 179,000 1,675,260
Sakura Bank 133,000 1,018,793
Societe Generale 11,258 1,256,700
United Overseas Bank 81,000 832,832
Yapi ve Kredi Bankasi AS 9,417,860 215,591
Zagrebacka Banks, ADR 1,500 48,000
-----------
22,954,078
BUSINESS SERVICES - 0.62%
Eaux (Cie Generale Des) 8,751 1,121,293
Secom Company, Ltd. 3,000 220,119
-----------
1,341,412
BROADCASTING - 0.17%
Mediaset SPA 86,000 365,086
-----------
CHEMICALS - 2.16%
Air Liquide 6,462 1,025,924
Allied Colloids Group PLC 668,442 1,397,012
Bayer AG 46,600 1,790,684
Henkel 8,787 466,027
-----------
4,679,647
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMPUTERS & BUSINESS EQUIPMENT - 0.40%
Fujitsu, Ltd. 50,000 $ 693,596
Ricoh Company, Ltd. 14,000 183,214
----------
876,810
CONGLOMERATES - 2.32%
Aoyama Trading Company, Ltd. 16,000 513,697
Fried Krupp AG Hoesch-Krupp 6,300 1,231,753
Koors Industries, Ltd., ADR 39,700 699,712
Swire Pacific, Ltd. 51,500 463,663
Tomkins PLC, ADS 398,300 1,724,553
Yue Yuen Industrial Holdings 194,400 402,736
----------
5,036,114
CONSTRUCTION & MINING EQUIPMENT - 0.37%
Asia Cement Corporation, ADR 33,325 527,445
Nishimatsu Construction 40,000 279,183
----------
806,628
CONSTRUCTION MATERIALS - 1.47%
Cemex SA 69,800 672,146
CRH 72,000 754,335
PT Semen Cibinong 224,000 587,171
Saim Cement Company 26,600 460,019
Tostem Company 26,000 719,072
----------
3,192,743
DRUGS & HEALTH CARE - 3.52%
Daiichi Pharmaceutical Company 25,000 440,586
Elan PLC, ADR 12,500 565,625
Glaxo Wellcome 97,400 2,015,339
Kissei Pharmaceutical Company, Ltd. 31,000 681,556
Schering AG 3,500 373,961
Seiren Company 60,000 274,821
Synthelabo 10,860 1,413,702
Zeneca Group PLC 56,500 1,868,618
----------
7,634,208
ELECTRIC UTILITIES - 4.04%
CESP-Companhia Energetica
de Sao Paulo, ADR 25,000 501,603
Companhia Emergetica de Minas
Gerais, ADR 27,900 1,404,651
Empresa Nacional Electricidad SA, ADR 50,900 1,148,431
Hong Kong Electric 133,000 535,619
Iberdrola SA 93,500 1,180,251
National Grid Group PLC 10 36
Scottish Power 326,000 2,117,264
Tokyo Electric Power 59,100 1,242,636
VERA AG 11,200 629,322
----------
8,759,813
ELECTRICAL EQUIPMENT - 1.65%
Hitachi, Ltd. 117,000 1,306,578
Mitsubishi Electric Company 134,000 749,381
Siemens AG 25,580 1,518,725
----------
3,574,684
ELECTRONICS - 2.17%
Fanuc, Ltd. 2,000 76,776
Kyocera Corporation 9,000 714,535
Murata Manufacturing Company, Ltd. 21,000 835,456
Nissei Sangyo Company 29,000 354,214
</TABLE>
The accompanying notes are an integral part of the financial statements.
92
<PAGE> 95
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
ELECTRONICS - CONTINUED
Racal Electronics 256,000 $1,023,161
Samsung Electronics, Ltd., ADR 38,207 1,711,077
----------
4,715,219
FINANCIAL SERVICES - 0.33%
Cifra SA de CV, ADR 392,000 719,438
----------
FOOD & BEVERAGES - 2.19%
Cadbury Schweppes, ADS 162,000 1,446,014
Greencore Group PLC 72,600 357,228
Itoham Foods, Incorporated 80,000 441,110
Lion Nathan, Ltd. 714,200 1,809,499
President Enterprises Corporation, ADR 35,300 688,350
----------
4,742,201
FOREST PRODUCTS - 0.33%
Carter Holt Harvey 60,000 155,277
Fletcher Challenge Forests 44,212 64,267
Sumitomo Forestry 46,000 505,671
----------
725,215
HOMEBUILDERS - 0.55%
Bilfinger & Berger
Bauaktiengesellschaft AG 9,900 403,016
Taisei Corporation 169,000 782,926
----------
1,185,942
HOTELS AND RESTAURNTS - 0.34%
PT Jakarta International Hotels
& Development 644,000 734,827
----------
HOUSEHOLD APPLIANCES FURNISHING - 1.02%
Matsushita Electric Industrial
Company, Ltd. 67,000 1,350,288
Sony Corporation 10,000 871,576
----------
2,221,864
INDUSTRIAL MACHINERY - 2.04%
Daiken Corporation 123,000 772,640
Ebara Corporation 77,000 1,155,470
Ishihara Sangyo Kaisha 69,000 204,075
Mitsubishi Heavy Industries, Ltd. 103,000 789,888
Reliance Industries, ADR 54,000 1,228,500
Tsubakimoto Chain Company 45,000 274,821
----------
4,425,394
INSURANCE - 4.44%
Fortis AG 6,855 1,415,582
Guardian Royal Exchange 288,500 1,304,393
Irish Life PLC 200,000 1,029,520
Istituto Nazionale della Assicurazioni 741,000 1,129,221
Munchener Ruckvers 1,036 2,904,673
Norwich Union PLC 25,121 133,032
Tokio Marine & Fire Insurance Company 56,000 732,857
Union des Assurance Federales 8,390 986,521
----------
9,635,799
INTERNATIONAL OIL - 2.17%
The British Petroleum Company 136,142 1,693,579
Cosmo Oil Company 42,000 200,803
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
INTERNATIONAL OIL - CONTINUED
Nippon Oil Company 36,000 $ 196,929
Petrofina SA 3,400 1,287,521
RWE AG 23,630 822,396
YPF Sociedad Anonima, ADR 16,230 499,072
----------
4,700,300
INVESTMENT COMPANIES - 1.01%
Brierley Investment, Ltd. 1,002,000 980,076
Koc Holdings 458,000 107,928
Nomura Securities 80,000 1,102,775
----------
2,190,779
LEISURE TIME - 2.24%
Compass Group 231,700 2,592,914
Pathe SA 4,630 918,641
Rank Group PLC 214,000 1,356,005
----------
4,867,560
MINING - 0.31%
De Beers-Centenary AG 18,000 664,536
----------
NON-FERROUS METALS - 0.61%
WMC, Ltd. 210,800 1,330,256
----------
PAPER - 2.34%
Fletcher Challenge, Ltd. 1,105,300 2,680,267
OJI Paper Company 38,000 235,055
Pabrik Kertas Tjiwi Kimia 782,000 908,368
Jefferson Smurfit Group PLC 432,400 1,256,935
----------
5,080,625
PETROLEUM SERVICES - 3.12%
Broken Hill Proprietary Company, Ltd. 149,500 2,201,279
Elf Aquitaine 17,000 1,834,022
ENI SPA 247,000 1,398,810
MOL Magyar Olaj-es Gazipari 6,300 144,925
Petroleo Brasileiro S/A-Petrobras, ADR 43,000 1,178,295
----------
6,757,331
PHOTOGRAPHY - 0.71%
Canon Sales Company, Incorporated 23,000 535,770
Fuji Photo Film Company 25,000 1,005,497
----------
1,541,267
PUBLISHING - 0.39%
Arnoldo Mondadori Editore 54,000 312,008
Hurriyet Gazetecilik ve Matbaacilik 2,408,000 145,915
Singapore Press Holdings, Ltd. 19,000 382,738
----------
840,661
RAILROADS & EQUIPMENT - 0.55%
East Japan Railway Company 306 1,198,691
----------
REAL ESTATE - 1.15%
City Developments 41,000 401,483
Daiwa Kosho Lease 60,000 463,793
Henderson Land Development
Company, Ltd. 52,000 461,451
Sumitomo Reality & Development 75,000 660,880
Sun Hung Kai Properties 42,000 505,531
----------
2,493,138
</TABLE>
The accompanying notes are an integral part of the financial statements.
93
<PAGE> 96
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
RETAIL GROCERY - 0.80%
Izumi Company 23,000 $ 337,114
J. Sainsbury PLC 230,500 1,397,221
------------
1,734,335
RETAIL TRADE - 2.45%
Ava Allgemeine Handles-Der Verbr AG* 900 255,949
Douglas Holding AG 12,500 498,108
Izumiya Company 45,000 722,387
JD Group, Ltd. 137,000 845,493
Promodes 4,257 1,658,120
Sears PLC 1,175,300 1,330,915
------------
5,310,972
SHIPBUILDING - 0.10%
Sembawang Martime, Ltd. 69,000 216,213
------------
SOFTWARE - 0.10%
SAP AG 1,080 216,731
------------
STEEL - 0.68%
Nippon Steel Corporation 321,000 1,025,004
Rautaruukki OY 42,000 440,807
------------
1,465,811
TELECOMMUNICATION SERVICES - 2.49%
Portugal Telecom SA, ADR 14,100 565,762
Telecom Corporation of New Zealand 369,000 1,879,824
Telecom Italia SPA 499,000 1,494,443
Telefonica De Argentina SA, ADR 28,600 990,275
Telefonica del Peru SA, ADR 18,000 471,375
------------
5,401,679
TELEPHONE - 3.87%
Compania Anonima Nacional Telefono
de Venezuela, ADR 12,200 526,125
DDI Corporation 111 819,281
Deutsche Telekom AG 40,730 980,827
Nippon Telegraph & Telephone
Corporation 83 796,545
Philippine Long Distance Telephone
Company, ADR 17,100 581,400
Telecomunicacoes Brasileiras S/A-
Telebras, ADR 10,000 1,517,500
Telefonos de Mexico SA, ADR 17,680 844,220
VodaFone Group 474,500 2,315,243
------------
8,381,141
TIRES & RUBBER - 0.38%
Yokohama Rubber Company 190,000 812,249
------------
TOBACCO - 0.58%
ITC, Ltd., ADR 35,400 637,200
Japan Tobacco, Incorporated 78 615,861
------------
1,253,061
TRUCKING & FREIGHT - 0.27%
Yamato Transport 73,000 582,752
------------
TOTAL COMMON STOCKS
(Cost: $142,993,985) $157,033,496
------------
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
PREFERRED STOCKS - 1.99%
AUTOMOBILES - 0.73%
Volkswagen AG 2,810 $1,578,923
----------
BOADCASTING - 0.59%
News Corporation 326,600 1,287,258
----------
INDUSTRIAL MACHINERY - 0.40%
GEA AG 1,480 573,637
MAN AG 1,131 286,625
----------
860,262
SOFTWARE - 0.27%
SAP AG 2,870 595,688
----------
TOTAL PREFERRED STOCKS
(Cost: $4,178,463) $4,322,131
----------
WARRANTS - 0.92%*
AUTOMOBILES - 0.39%
Volkwagen International (Expiration
date 10/27/98; strike price DEM 221) 2,000 838,255
----------
CHEMICALS - 0.09%
Shin-Etsu Chemical (Expiration date
08/01/11; strike price YEN 1,917) 125 200,000
----------
FINANCIAL SERVICES - 0.44%
Veba International Finance BV (Expiration
date 04/06/98; strike price DEM 375) 2,732 957,085
----------
TOTAL WARRANTS (Cost: $1,288,424) $1,995,340
----------
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C> <C>
CONVERTIBLE BONDS - 1.14%
BTM Cayman Finance,
4.25% due 03/31/03* YEN 130,000,000 $1,525,476
STB Cayman Capital,
0.50% due 10/01/07 40,000,000 392,383
Yamanouchi Pharmaceutical,
1.25% due 03/31/14 40,000,000 550,515
----------
TOTAL CONVERTIBLE BONDS
(Cost: $2,351,306) $2,468,374
----------
CORPORATE BONDS - 0.74%
Treuhandanstalt,
6.625% due 07/09/03 DEM 1,000,000 621,294
7.75% due 10/01/02 1,520,000 990,471
----------
TOTAL CORPORATE BONDS
(Cost: $1,853,174) $1,611,765
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
94
<PAGE> 97
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C> <C>
FOREIGN GOVERNMENT OBLIGATIONS - 15.57%
COMMONWEALTH OF AUSTRALIA - 1.25%
10.00% due 02/15/06 AUD 3,000,000 $ 2,701,859
-----------
GOVERNMENT OF CANADA - 0.98%
7.00% due 12/01/06 CAD 2,800,000 2,126,940
-----------
KINGDOM OF DENMARK - 0.37%
7.00% due 12/15/04 DKK 200,000 32,275
8.00% due 11/15/01 1,100,000 186,009
8.00% due 03/15/06 3,500,000 593,217
-----------
811,500
GOVERNMENT OF FRANCE - 1.79%
5.75% due 03/12/01 FRF 16,000,000 2,861,742
6.75% due 10/25/03 1,500,000 279,494
7.50% due 04/25/05 2,310,000 447,755
8.50% due 04/25/03 1,500,000 301,828
-----------
3,890,818
FEDERAL REPUBLIC OF GERMANY - 3.70%
6.00% due 01/05/06 DEM 1,500,000 886,704
6.50% due 07/15/03 500,000 309,042
9.00% due 10/20/00 1,700,000 1,119,850
9.00% due 01/22/01 8,600,000 5,701,118
-----------
8,016,713
REPUBLIC OF ITALY - 0.04%
6.50% due 06/28/01 ITL 115,000,000 75,276
-----------
GOVERNMENT OF NETHERLANDS - 1.19%
9.00% due 01/15/01 NLG 4,400,000 2,582,302
-----------
GOVERNMENT OF SPAIN - 0.45%
10.50% due 10/30/03 ESP 115,000,000 968,310
-----------
UNITED KINGDOM TREASURY - 5.80%
6.75% due 11/26/04 POUND STERLING 1,550,000 2,544,112
7.75% due 09/08/06 3,600,000 6,238,635
8.00% due 12/07/00 2,222,000 3,799,745
-----------
12,582,492
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost: $34,471,550) $33,756,210
-----------
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C>
REPURCHASE AGREEMENT - 7.23%
$15,690,000 Repurchase Agreement with State
Street Bank & Trust Company dated
06/30/97 at 5.00%, to be repurchased
at $15,692,179 on 07/01/97,
collateralized by $15,665,000 U.S.
Treasury Notes, 5.875% due 08/15/98
(valued at $16,348,974, including interest) $ 15,690,000
------------
TOTAL INVESTMENTS (International
Growth & Income Trust) (Cost: $202,826,902) $216,877,317
============
<CAPTION>
GROWTH AND INCOME TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 97.82%
AEROSPACE - 3.99%
Boeing Company 460,000 $24,408,750
Northrop Grumman Corporation 147,600 12,961,125
United Technologies Corporation 205,000 17,015,000
-----------
54,384,875
AGRICULTURAL MACHINERY - 1.30%
Deere & Company 324,000 17,779,500
-----------
AIR TRAVEL - 1.04%
Southwest Airlines Company 550,000 14,231,250
-----------
ALUMINUM - 0.97%
Aluminum Company of America 175,000 13,190,625
-----------
AUTOMOBILES - 1.99%
Ford Motor Company 518,035 19,555,821
General Motors Corporation 130,000 7,507,500
-----------
27,063,321
BANKING - 5.91%
Citicorp 235,000 28,332,187
Crestar Financial Corporation 190,000 7,386,250
First Bank System, Incorporated 244,000 20,831,500
First Union Corporation 258,700 23,929,750
-----------
80,479,687
BUSINESS SERVICES - 1.52%
First Data Corporation 470,000 20,650,625
-----------
CHEMICALS - 3.48%
The Dow Chemical Company 167,000 14,549,875
E.I. Du Pont De Nemours & Company 212,000 13,329,500
Engelhard Corporation 395,000 8,270,313
Zeneca Group PLC, ADR 114,000 11,300,250
-----------
47,449,938
COMPUTERS & BUSINESS EQUIPMENT - 5.09%
3Com Corporation* 88,900 4,000,500
Cisco Systems, Incorporated 105,000 7,048,125
EMC Corporation 120,000 4,680,000
Hewlett Packard Company 230,000 12,880,000
International Business Machines
Corporation 260,000 23,448,750
Xerox Corporation 220,000 17,352,500
-----------
69,409,875
CONSTRUCTION & MINING EQUIPMENT - 1.93%
Caterpillar, Incorporated 157,500 16,911,562
Foster Wheeler Corporation 210,000 9,315,000
-----------
26,226,562
CONTAINERS & GLASS - 0.75%
Crown Cork & Seal, Incorporated 190,000 10,153,125
-----------
DRUGS & HEALTH CARE - 12.45%
Abbott Laboratories 320,000 21,360,000
American Home Products Corporation 70,000 5,355,000
Bristol-Myers Squibb Company 200,000 16,200,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
95
<PAGE> 98
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
DRUGS & HEALTH CARE - CONTINUED
Columbia/HCA Healthcare Corporation 360,000 $ 14,152,500
Johnson & Johnson 214,000 13,776,250
Merck & Company, Incorporated 135,000 13,972,500
Pfizer, Incorporated 210,000 25,095,000
Pharmacia & Upjohn, Incorporated 380,000 13,205,000
Rhone Poulenc Rorer, Incorporated 203,000 18,447,625
Tenet Healthcare Corporation* 380,000 11,233,750
Warner-Lambert Company 136,000 16,898,000
------------
169,695,625
ELECTRICAL EQUIPMENT - 3.34%
General Electric Company 600,000 39,225,000
General Instrument Corporation 250,000 6,250,000
------------
45,475,000
ELECTRIC UTILITIES - 2.17%
DPL, Incorporated 445,000 10,958,125
Duke Power Company 208,000 9,971,000
Texas Utilities Company 250,000 8,609,375
------------
29,538,500
ELECTRONICS - 4.06%
AMP, Incorporated 300,000 12,525,000
Analog Devices, Incorporated 200,000 5,312,500
Intel Corporation 120,000 17,017,500
Motorola, Incorporated 270,000 20,520,000
------------
55,375,000
FINANCIAL SERVICES - 7.24%
Allstate Corporation 330,000 24,090,000
American Express Company 330,000 24,585,000
Federal National Mortgage Association 460,000 20,067,500
Morgan Stanley Dean Witter 110,000 4,736,875
Travelers Group, Incorporated 400,000 25,225,000
------------
98,704,375
FOOD & BEVERAGES - 3.13%
General Mills, Incorporated 170,000 11,071,250
H.J. Heinz Company 150,000 6,918,750
McCormick & Company, Incorporated 250,000 6,312,500
Sara Lee Corporation 440,000 18,315,000
------------
42,617,500
HOTELS & RESTAURANTS - 1.26%
McDonalds Corporation 355,000 17,150,937
------------
HOUSEHOLD PRODUCTS - 2.43%
Colgate Palmolive Company 211,000 13,767,750
Procter & Gamble Company 139,000 19,633,750
------------
33,401,500
INSURANCE - 3.53%
ACE, Ltd. 242,500 17,914,688
American International Group,
Incorporated 126,000 18,821,250
Marsh & McLennan Companies,
Incorporated 160,000 11,420,000
------------
48,155,938
INTERNATIONAL OIL - 6.45%
Amoco Corporation 200,000 17,387,500
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
INTERNATIONAL OIL - CONTINUED
Chevron Corporation 330,000 $ 24,399,375
Exxon Corporation 360,000 22,140,000
Royal Dutch Petroleum Company 440,000 23,925,000
--------------
87,851,875
LIQUOR - 0.85%
Anheuser-Busch Companies,
Incorporated 276,000 11,574,750
--------------
MINING - 0.21%
Phelps Dodge Corporation 34,000 2,896,375
--------------
NEWSPAPERS - 1.59%
Gannett, Incorporated 220,000 21,725,000
--------------
PAPER - 3.87%
International Paper Company 370,000 17,968,125
Kimberly Clark Corporation 350,000 17,412,500
Minnesota Mining & Manufacturing
Company 170,000 17,340,000
--------------
52,720,625
PETROLEUM SERVICES - 1.99%
Schlumberger, Ltd. 146,700 18,337,500
Union Pacific Resources Group,
Incorporated 347,857 8,652,943
--------------
26,990,443
RAILROAD & EQUIPMENT - 1.21%
Sante Fe International Corporation 47,400 1,611,600
Union Pacific Corporation 210,000 14,805,000
--------------
16,416,600
RETAIL TRADE - 4.65%
Dayton Hudson Corporation 340,000 18,083,750
Sears Roebuck & Company 446,500 23,999,375
Wal-Mart Stores, Incorporated 630,000 21,301,875
--------------
63,385,000
SOFTWARE - 1.25%
Microsoft Corporation* 135,000 17,060,625
--------------
TELECOMMUNICATION SERVICES - 0.77%
Lucent Technologies, Incorporated 145,298 10,470,537
--------------
TELEPHONE - 5.09%
NYNEX Corporation 369,400 21,286,675
SBC Communications, Incorporated 450,000 27,843,750
U.S. West, Incorporated 350,000 13,190,625
WorldCom, Incorporated 220,000 7,040,000
--------------
69,361,050
TIRES & RUBBER - 0.81%
Goodyear Tire and Rubber Company 175,000 11,079,688
--------------
TOBACCO - 1.50%
Philip Morris Companies, Incorporated 460,000 20,412,500
--------------
TOTAL COMMON STOCKS
(Cost: $931,397,920) $1,333,078,826
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
96
<PAGE> 99
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C>
REPURCHASE AGREEMENT - 2.18%
$29,689,000 Repurchase Agreement with Swiss
Bank dated 06/30/97 at 5.90%, to be
repurchased at $29,693,866 on
07/01/97, collateralized by $2,452,000
U.S. Treasury Bonds, 8.50% due
02/15/20 (valued at $27,247,161,
including interest) and $2,922,000
U.S. Treasury Bonds, 7.25% due
05/15/16 (valued at $3,068,100,
including interest) $ 29,689,000
--------------
TOTAL INVESTMENTS (Growth and
Income Trust) (Cost: $961,086,020) $1,362,767,826
==============
<CAPTION>
EQUITY-INCOME TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 89.89%
ALUMINUM - 0.75%
Reynolds Metals Company 82,800 $ 5,899,500
-----------
AUTO PARTS - 0.96%
Eaton Corporation 42,000 3,667,125
Genuine Parts Company 114,150 3,866,831
-----------
7,533,956
AUTOMOBILES - 0.97%
Ford Motor Company 59,900 2,261,225
General Motors Corporation 96,100 5,351,569
-----------
7,612,794
BANKING - 8.37%
Banc One Corporation 143,000 6,926,563
BankBoston Corporation 64,000 4,612,000
Bankers Trust New York Corporation 72,200 6,281,400
Fleet Financial Group, Incorporated 92,500 5,850,625
Mellon Bank Corporation 293,000 13,221,625
Mercantile Bankshares Corporation 64,100 2,564,000
J.P. Morgan & Company, Incorporated 67,200 7,014,000
National City Corporation 80,000 4,200,000
PNC Bank Corporation 84,300 3,508,987
Signet Banking Corporation 133,300 4,798,800
Wells Fargo & Company 23,900 6,441,050
-----------
65,419,050
BUSINESS SERVICES - 1.62%
H & R Block, Incorporated 152,000 4,902,000
Deluxe Corporation 61,400 2,095,275
R.R. Donnelley & Son Company 153,600 5,625,600
-----------
12,622,875
CHEMICALS - 7.53%
Betz Dearborn, Incorporated 74,000 4,884,000
The Dow Chemical Company 145,600 12,685,400
E.I. Du Pont De Nemours & Company 160,200 10,072,575
Eastman Chemical Company 55,000 3,492,500
FMC Corporation 22,300 1,771,456
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
CHEMICALS - CONTINUED
Great Lakes Chemical Corporation 125,700 $ 6,583,538
Imperial Chemical Industries PLC, ADR 74,100 4,214,437
Lubrizol Corporation 96,900 4,063,744
Nalco Chemical Company 95,000 3,669,375
Witco Corporation 194,700 7,386,431
-----------
58,823,456
CONGLOMERATES - 1.26%
Fortune Brands, Incorporated 104,500 3,899,156
Lonrho PLC 931,000 1,969,002
Tomkins 918,400 3,976,473
-----------
9,844,631
CONSTRUCTION MATERIALS - 0.47%
Armstrong World Industries,
Incorporated 50,200 3,683,425
-----------
COSMETICS & TOILETRIES - 1.19%
International Flavours & Fragrances,
Incorporated 184,900 9,337,450
-----------
DOMESTIC OIL - 3.03%
Amerada Hess Corporation 61,800 3,433,762
Atlantic Richfield Company 170,200 11,999,100
Phillips Petroleum Company 88,000 3,850,000
USX-Marathon Group 152,000 4,389,000
-----------
23,671,862
DRUGS & HEALTH CARE - 6.31%
Abbott Laboratories 105,600 7,048,800
American Home Products Corporation 102,900 7,871,850
C.R. Bard, Incorporated 91,000 3,304,438
Bausch & Lomb, Incorporated 115,300 5,433,512
Baxter International, Incorporated 84,300 4,404,675
Novartis AG 4,480 7,161,863
Pharmacia & Upjohn, Incorporated 188,300 6,543,425
Smith & Nephew PLC 20,000 55,621
Tambrands, Incorporated 150,200 7,491,225
-----------
49,315,409
ELECTRIC UTILITIES - 7.23%
Baltimore Gas & Electric Company 86,100 2,297,794
Centerior Energy Corporation 146,400 1,637,850
Central & South West Corporation 78,000 1,657,500
Dominion Resources, Incorporated 106,300 3,893,237
DQE, Incorporated 104,300 2,946,475
Duke Power Company 150,800 7,228,975
Edison International 101,200 2,517,350
Entergy Corporation 145,900 3,994,013
Florida Progress Corporation 37,000 1,158,562
GPU, Incorporated 58,300 2,091,513
Ohio Edison Company 114,400 2,495,350
PacifiCorp 162,900 3,583,800
PECO Energy Company 191,800 4,027,800
PG & E Corporation 109,600 2,657,800
Public Service Enterprise Group,
Incorporated 97,700 2,442,500
Southern Company 198,200 4,335,625
</TABLE>
The accompanying notes are an integral part of the financial statements.
97
<PAGE> 100
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
ELECTRIC UTILITIES - CONTINUED
Unicom Corporation 194,400 $ 4,325,400
Western Resources, Incorporated 99,000 3,211,312
-----------
56,502,856
ELECTRICAL EQUIPMENT - 2.46%
Cooper Industries, Incorporated 92,500 4,601,875
General Electric Company 161,400 10,551,525
Hubbell, Incorporated 93,000 4,092,000
-----------
19,245,400
ELECTRONICS - 0.73%
AMP, Incorporated 137,100 5,723,925
-----------
FINANCIAL SERVICES - 3.59%
American Express Company 68,000 5,066,000
The Chase Manhattan Corporation 100,800 9,783,900
Federal National Mortgage Association 146,500 6,391,062
Great Western Financial Corporation 24.100 1,295,375
Travelers Group, Incorporated 87,066 5,490,600
-----------
28,026,937
FOOD & BEVERAGES - 5.25%
Cadbury Schweppes PLC 48,600 433,804
General Mills, Incorporated 122,000 7,945,250
H.J. Heinz Company 123,200 5,682,600
Kellogg Company 53,400 4,572,375
McCormick & Company, Incorporated 184,000 4,646,000
Quaker Oats Company 159,700 7,166,538
Sara Lee Corporation 70,000 2,913,750
Unilever NV 35,200 7,673,600
-----------
41,033,917
FOREST PRODUCTS - 1.01%
Georgia-Pacific Corporation 92,100 7,863,037
-----------
GOLD - 0.74%
Newmont Mining Corporation 148,700 5,799,300
-----------
HOTELS & RESTAURANTS - 0.72%
ITT Corporation 92,500 5,648,281
-----------
HOUSEHOLD APPLIANCES FURNISHING - 0.65%
Whirlpool Corporation 92,500 5,047,031
-----------
INDUSTRIAL MACHINERY - 0.45%
Pall Corporation 151,000 3,510,750
-----------
INSURANCE - 4.27%
American General Corporation 157,800 7,534,950
Exel, Ltd. 89,300 4,710,575
Hilb, Rogal & Hamilton Company 18,000 306,000
Lincoln National Corporation,
Incorporated 54,000 3,476,250
SAFECO Corporation 104,600 4,883,512
St. Paul Companies, Incorporated 101,600 7,747,000
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
INSURANCE - CONTINUED
USF & G Corporation 119,000 $ 2,856,000
Willis Corroon Group PLC, ADR 165,620 1,852,874
-----------
33,367,161
INTERNATIONAL OIL - 7.15%
Amoco Corporation 76,500 6,650,719
The British Petroleum Company
PLC, ADR 76,000 5,690,500
Chevron Corporation 100,700 7,445,506
Exxon Corporation 189,400 11,648,100
Mobil Corporation 100,000 6,987,500
Royal Dutch Petroleum Company 151,600 8,243,250
Texaco, Incorporated 84,300 9,167,625
-----------
55,833,200
LIQUOR - 1.37%
Anheuser-Busch Companies,
Incorporated 147,200 6,173,200
Brown-Forman Corporation, Class B 92,300 4,505,394
-----------
10,678,594
NEWSPAPERS - 2.08%
Dow Jones & Company, Incorporated 126,000 5,063,625
Gannett, Incorporated 40,600 4,009,250
Knight-Ridder, Incorporated 145,600 7,143,500
-----------
16,216,375
PAPER - 3.03%
Consolidated Papers, Incorporated 89,600 4,838,400
International Paper Company 110,700 5,375,869
Minnesota Mining & Manufacturing
Company 51,200 5,222,400
Union Camp Corporation 165,200 8,260,000
-----------
23,696,669
PETROLEUM SERVICES - 0.49%
Repsol SA, ADR 90,000 3,819,375
-----------
PUBLISHING - 1.38%
Dun & Bradstreet Corporation 144,200 3,785,250
McGraw-Hill Companies, Incorporated 62,000 3,646,375
The Reader's Digest Association,
Incorporated 116,900 3,353,569
-----------
10,785,194
RAILROADS & EQUIPMENT - 1.85%
Burlington Northern Santa Fe
Corporation 64,300 5,778,963
Gatx Corporation 30,000 1,732,500
Union Pacific Corporation 98,200 6,923,100
-----------
14,434,563
REAL ESTATE - 1.56%
Rouse Company 30,700 905,650
Security Capital Pacific Trust 53,400 1,221,525
Simon DeBartolo Group, Incorporated 238,700 7,638,400
Weingarten Realty Investors 57,700 2,437,825
-----------
12,203,400
RETAIL GROCERY - 0.19%
Grand Metropolitan PLC, ADR 38,600 1,512,638
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
98
<PAGE> 101
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
RETAIL TRADE - 1.81%
<S> <C> <C>
Limited, Incorporated 99,900 $ 2,022,975
May Department Stores Company 77,600 3,666,600
J.C. Penney, Incorporated 162,300 8,470,031
------------
14,159,606
TELEPHONE - 7.51%
ALLTEL Corporation 241,400 8,071,813
American Telephone & Telegraph
Corporation 209,900 7,359,619
BCE, Incorporated 170,600 4,776,800
Bell Altantic Corporation 88,200 6,692,175
BellSouth Corporation 135,700 6,293,088
Frontier Corporation 156,000 3,110,250
GTE Corporation 135,000 5,923,125
SBC Communications, Incorporated 108,829 6,733,794
Southern New England
Telecommunications Corporation 92,900 3,611,487
Sprint Corporation 61,000 3,210,125
U.S. West, Incorporated 75,900 2,860,481
------------
58,642,757
TOBACCO - 1.72%
Gallaher Group PLC, ADR 104,500 1,926,719
Philip Morris Companies, Incorporated 111,600 4,952,250
UST, Incorporated 237,600 6,593,400
------------
13,472,369
TRUCKING & FREIGHT - 0.19%
Alexander & Baldwin, Incorporated 56,400 1,473,450
------------
TOTAL COMMON STOCKS
(Cost: $602,956,181) $702,461,193
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
SHORT TERM INVESTMENTS - 9..47%
Abbott Laboratories,
5.50% due 07/14/97 $ 8,500,000 $ 8,483,118
Bell Atlantic Financial Services,
5.54% due 07/11/97 9,000,000 8,986,150
Bell Atlantic Network Funding,
5.52% due 07/17/97 8,100,000 8,080,128
Caisse Des Depots Et Consign,
5.54% due 08/20/97 16,800,000 16,670,733
E.I. Du Pont De Nemours &
Company, 5.50% due 7/21/97 10,000,000 9,969,444
H.J. Heinz Company,
5.52% due 07/02/97 1,500,000 1,499,770
Motorola Credit Corporation,
5.50% due 07/17/97 - 08/18/97 7,400,000 7,365,289
Preferred Receivables Funding
Corporation, 5.57% due 07/02/97 1,451,000 1,450,776
Procter & Gamble Company,
5.51% due 08/15/97 2,090,000 2,075,605
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
SHORT TERM INVESTMENTS - CONTINUED
RTZ America, Incorporated,
5.560% due 07/14/97 $8,310,000 $8,293,315
Western Australian Treasury,
5.50% due 07/11/97 1,100,000 1,098,320
----------
73,972,648
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 0.64%
$5,044,000 Repurchase Agreement with State Street Bank & Trust Company dated
06/30/97 at 5.00%, to be repurchased at $5,044,701 on 07/01/97,
collateralized by $5,040,000 U.S. Treasury Notes, 5.875% due
08/15/98 (valued at $5,186,648, including interest) $ 5,044,000
------------
TOTAL INVESTMENTS
(Equity-Income Trust) (Cost: $681,972,830) $781,477,841
============
</TABLE>
<TABLE>
<CAPTION>
BALANCED TRUST
Shares Value
------ -----
COMMON STOCKS - 61.84%
AEROSPACE - 1.05%
<S> <C> <C>
AlliedSignal, Incorporated 5,400 $ 453,600
Boeing Company 10,200 541,237
Lockheed Martin Corporation 6,800 704,225
----------
1,699,062
AUTO PARTS - 0.30%
Echlin, Incorporated 13,300 478,800
----------
BANKING - 0.73%
First Union Corporation 2,900 268,250
Mellon Bank Corporation 20,200 911,525
----------
1,179,775
BUSINESS SERVICES - 0.33%
Fair Issac & Company, Incorporated 5,925 264,033
Moore Corporation, Ltd. 13,800 271,813
----------
535,846
CHEMICALS - 6.76%
Agrium, Incorporated 37,000 425,500
Agrium, Incorporated - CAD 273,550 3,129,795
ARCO Chemical Company 35,000 1,664,687
Dow Chemical Company 7,500 653,437
E.I. Du Pont De Nemours & Company 19,450 1,222,919
IMC Global, Incorporated 8,375 293,125
Imperial Chemical Industries PLC, ADR 35.500 2,019,063
Millennium Chemicals, Incorporated 31,000 705,250
Monsanto Company 18,750 807,422
------- ----------
10,921,198
</TABLE>
The accompanying notes are an integral part of the financial statements.
99
<PAGE> 102
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) -- CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMPUTERS & BUSINESS EQUIPMENT - 1.43%
3Com Corporation 7,600 $ 342,000
Cisco Systems, Incorporated 6,000 402,750
Hewlett-Packard Company 23,500 1,316,000
Sun Microsystems, Incorporated* 6,900 256,809
-----------
2,317,559
COSMETICS & TOILETRIES - 0.15%
Alberto-Culver Company 8,400 235,200
-----------
DOMESTIC OIL - 3.61%
Atlantic Richfield Company 52,100 3,673,050
Kerr-McGee Corporation 3,800 240,825
Phillips Petroleum Corporation 44,000 1,925,000
-----------
5,838,875
DRUGS & HEALTH CARE - 13.34%
Abbott Laboratories 14,800 987,900
American Home Products Corporation 13,500 1,032,750
Amgen, Incorporated 8,000 465,000
Baxter International, Incorporated 15,000 783,750
Becton, Dickinson & Company 8,700 440,438
Bristol-Myers Squibb Company 38,800 3,142,800
Columbia/HCA Healthcare Corporation 23,400 919,913
Glaxo Wellcome PLC, ADR 17,600 735,900
Johnson & Johnson 29,000 1,866,875
Mallinckrodt, Incorporated 43,100 1,637,800
Merck and Company, Incorporated 28,300 2,929,050
Novartis AG 3,200 5,115,616
Premier Laser Systems, Incorporated 11,100 124,181
Schering-Plough Corporation 6,800 325,550
Sierra Health Services, Incorporated 7,600 237,500
SmithKline Beecham PLC, ADR 8,700 797,137
-----------
21,542,160
ELECTRIC UTILITIES - 1.44%
Duke Power Company 48,494 2,324,681
-----------
ELECTRICAL EQUIPMENT - 3.44%
Belden, Incorporated 5,700 194,156
Cable Design Technologies
Corporation 12,475 367,233
General Electric Company 47,400 3,098,775
General Signal Corporation 6,875 299,922
Philips Electronics NV, ADR 13,500 970,312
Technitrol, Incorporated 23,200 635,100
-----------
5,565,498
ELECTRONICS - 1.04%
Intel Corporation 7,840 1,111,810
Motorola, Incorporated 7,500 570,000
-----------
1,681,810
</TABLE>
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
FINANCIAL SERVICES - 1.00%
Allstate Corporation 6,900 $ 503,700
Federal National Mortgage
Association 11,000 479,875
Travelers Group, Incorporated 10,000 630,625
----------
1,614,200
FOOD & BEVERAGES - 3.94%
Nestle SA 3,300 4,353,288
PepsiCo, Incorporated 26,900 1,010,431
Pioneer Hi-Bred International,
Incorporated 7,500 600,000
Quaker Oats Company 9,000 403,875
----------
6,367,594
GAS & PIPELINE UTILITIES - 1.19%
Equitable Resources, Incorporated 33,525 951,272
Questar Corporation 24,000 969,000
1,920,272
HOUSEHOLD PRODUCTS - 0.36%
Gillette Company 6,200 587,450
----------
INSURANCE - 4.03%
W.R. Berkley Corporation 29,400 1,730,925
General Re Corporation 4,100 746,200
Mid Ocean, Ltd. 28,900 1,515,444
Norwich Union PLC 144,000 762,575
Ohio Casualty Corporation 7,750 341,000
SAFECO Corporation 9,025 421,355
TIG Holdings, Incorporated 11,100 346,875
Trenwick Group, Incorporated 7,775 291,562
USF & G Corporation 15,100 362,400
----------
6,518,336
INTERNATIONAL OIL - 4.18%
Amoco Corporation 5,900 512,931
The British Petroleum
Company PLC, ADR 20,400 1,527,450
Chevron Corporation 9,300 687,619
Exxon Corporation 24,300 1,494,450
Imperial Oil, Incorporated 15,000 770,625
Mobil Corporation 12,000 838,500
Texaco, Incorporated 8,500 924,375
----------
6,755,950
LIQUOR - 0.25%
Anheuser-Busch Companies,
Incorporated 9,500 398,406
----------
MINING - 0.74%
Potash Corporation of Saskatchewan,
Incorporated 16,000 1,201,000
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
100
<PAGE> 103
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) -- CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
PAPER - 0.68%
Kimberly-Clark Corporation 22,000 $ 1,094,500
-----------
PETROLEUM SERVICES - 0.44%
Enron Corporation 7,500 306,094
Occident Petroleum Corporation 16,300 408,519
-----------
714,613
RAILROADS & EQUIPMENT - 0.43%
Canadian Pacific, Ltd. 24,300 691,031
-----------
RETAIL GROCERY - 1.55%
Albertson's, Incorporated 14,000 511,000
Ingles Markets, Incorporated 100,000 1,637,500
Safeway, Incorporated 7,695 354,932
-----------
2,503,432
TELECOMMUNICATION SERVICES - 0.65%
Lucent Technologies, Incorporated 5,900 425,169
Southern New England
Telecommunication Corporation 16,100 625,888
-----------
1,051,057
TELEPHONE - 4.61%
Ameritech Corporation 9,100 618,231
Cincinnati Bell, Incorporated 57,000 1,795,500
NYNEX Corporation 33,300 1,918,912
U.S. West, Incorporated 82,600 3,112,988
-----------
7,445,631
TOBACCO - 4.01%
Philip Morris Companies, Incorporated 80,900 3,589,937
RJR Nabisco Holdings Corporation 87,600 2,890,800
-----------
6,480,737
TRUCKING & FREIGHT - 0.14%
Tidewater, Incorporated 5,200 228,800
-----------
TOTAL COMMON STOCKS
(Cost: $90,372,600) $99,893,473
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
CORPORATE BONDS - 2.65%
FUNERAL SERVICES - 0.62%
Service Corporation International,
6.75% due 06/01/01 $1,000,000 $ 998,940
----------
TELEPHONE - 2.03%
New Jersey Bell Telephone Company,
5.875% due 12/01/06 500,000 461,315
New York Telephone Company,
5.875% due 09/01/03 2,000,000 1,899,600
7.00% due 12/01/33 1,000,000 917,040
----------
3,277,955
</TABLE>
<TABLE>
<CAPTION>
Value
-----
<S> <C>
TOTAL CORPORATE BONDS
(Cost: $4,258,042) $4,276,895
---------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
U.S. TREASURY
OBLIGATIONS - 30.60%
U.S. TREASURY BONDS - 3.59%
6.00% due 02/15/26 $ 470,000 $ 420,650
6.50% due 11/15/26 1,540,000 1,476,952
6.625% due 02/15/27 1,760,000 1,722,055
6.75% due 08/15/26 1,290,000 1,276,700
6.875% due 08/15/25 895,000 898,356
-----------
5,794,713
U.S. TREASURY NOTES - 27.01%
5.75% due 10/31/00 2,145,000 2,110,809
5.875% due 01/31/99 3,340,000 3,333,220
5.875% due 02/15/00 10,000,000 9,920,300
5.875% due 11/15/05 1,385,000 1,325,057
6.00% due 08/15/99 2,110,000 2,104,725
6.125% due 12/31/01 1,600,000 1,584,256
6.25% due 08/31/00 1,615,000 1,613,983
6.25% due 02/15/07 4,635,000 4,535,070
6.375% due 04/30/99 1,100,000 1,105,841
6.50% due 08/15/05 110,000 109,691
6.625% due 03/31/02 10,300,000 10,393,318
6.625% due 04/30/02 1,100,000 1,110,142
6.875% due 05/15/06 4,300,000 4,389,354
-----------
43,635,765
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $48,957,507) $49,430,478
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount Value
-------------
REPURCHASE AGREEMENT - 4.91%
<S> <C>
$7,926,000 Repurchase Agreement with State
Street Bank & Trust Company dated
06/30/97 at 5.00%, to be repurchased
at $7,927,101 on 07/01/97,
collateralized by $7,905,000
U.S. Treasury Notes, 6.125% due
07/31/00(valued at $8,285,261,
including interest) $ 7,926,000
------------
TOTAL INVESTMENTS
(Balanced Trust) (Cost: $151,514,149) $161,526,846
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
101
<PAGE> 104
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
ASSET ALLOCATION TRUSTS
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS: 81.36% 56.57% 26.14%
AEROSPACE: 1.70% 1.19% 0.45%
Boeing Company 37,334 $1,981,035 75,392 $4,000,488 8,642 $458,566
British Aerospace 10,087 224,504 18,235 405,852 3,223 71,734
California Amplifier, Incorporated* ---- ---- 67,600 304,200 1,000 4,500
Kellstrom Industries, Incorporated* 7,600 119,700 6,100 96,075 900 14,175
Lockheed Martin Corporation 4,800 497,100 3,000 310,688 900 93,206
McDonnell Douglas Corporation 10,200 698,700 18,300 1,253,550 2,000 137,000
Thiokol Corporation 700 49,000 1,800 126,000 ---- ----
United Technologies Corporation 5,200 431,600 8,900 738,700 1,400 116,200
--------- --------- -------
4,001,639 7,235,553 895,381
AIR TRAVEL: 1.12% 0.73% 0.31%
Airtours* 4,900 94,819 8,800 170,287 1,600 30,961
AMR Corporation* 21,700 2,007,250 37,600 3,478,000 4,600 425,500
Continental Airlines, Incorporated* 3,500 122,281 7,200 251,550 2,600 90,838
Delta Air Lines, Incorporated 3,300 270,600 3,500 287,000 300 24,600
Japan Air Lines Company, Ltd.* 19,000 86,364 36,000 163,636 6,000 27,273
Northwest Airlines Corporation* 1,700 61,838 3,100 112,763 400 14,550
--------- --------- -------
2,643,152 4,463,236 613,722
ALUMINUM: 0.12% 0.10% 0.05%
Alumax, Incorporated* 7,600 288,325 8,400 318,675 2,700 102,431
Aluminum Company of America -- -- 4,100 309,038 -- --
------- ------- --------
288,325 627,713 102,431
APPAREL & TEXTILES: 0.12% 0.09% 0.04%
Cygene Designs, Incorporated* -- -- -- -- 900 394
Japan Wool Textile* 15,000 105,741 27,000 190,333 5,000 35,247
Kellwood Company 3,800 105,450 8,800 244,200 800 22,200
Wing Tai Holdings* 21,000 60,516 33,000 95,097 6,000 17,290
------- ------- ------
271,707 529,630 75,131
AUTO PARTS: 1.60% 1.02% 0.44%
Denso Corporation 6,000 143,430 11,000 262,956 1,000 23,905
Eaton Corporation 28,500 2,488,406 51,200 4,470,400 7,400 646,113
Echlin, Incorporated 8,600 309,600 16,600 597,600 3,000 108,000
Gentex Corporation* 17,600 347,600 27,600 545,100 1,600 31,600
Kolbenschmidt AG* 12,000 202,970 20,000 338,283 3,550 60,045
Modine Manufacturing 9,700 288,575 -- -- -- --
--------- --------- --------
3,780,581 6,214,339 869,663
AUTOMOBILES: 0.95% 0.64% 0.29%
Bayer Motoren Werk 150 124,104 250 206,840 50 41,368
Chrysler Corporation 11,600 380,625 22,400 735,000 5,000 164,063
Coachmen Industries, Incorporated 4,900 83,913 -- -- -- --
Honda Motor Company 6,000 180,597 10,000 300,995 2,000 60,199
Oriental Holdings BHD 4,000 30,111 7,000 52,694 1,000 7,528
Spartan Motors, Incorporated 5,300 41,075 11,900 92,225 2,900 22,475
Tower Automotive, Incorporated* 7,400 318,200 11,700 503,100 900 38,700
Toyota Motor Corporation 21,000 619,264 37,000 1,091,084 6,000 176,932
Volkswagen AG 300 229,975 500 383,292 50 38,329
Volvo AB, Series B 3,100 82,955 5,600 149,855 1,000 26,760
Volvo Aktiebolaget, ADR 6,000 160,500 15,400 411,950 400 10,700
--------- --------- -------
2,251,319 3,927,035 587,054
</TABLE>
The accompanying notes are an integral part of the financial statements.
102
<PAGE> 105
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
BANKING: 8.26% 5.77% 2.68%
Akita Bank, Ltd. 29,000 $169,011 54,000 $314,709 9,000 $52,452
Bank of New York, Incorporated 45,300 1,970,550 78,900 3,432,150 15,100 656,850
Bank of Ireland* 19,800 217,622 34,200 375,892 6,200 68,144
Bank of Tokyo, Ltd.* 32,000 642,122 58,000 1,163,846 10,000 200,663
Bank United Corporation 2,100 79,800 -- -- -- --
BankAmerica Corporation 24,400 1,575,325 45,400 2,931,162 8,400 542,325
Banco Bilbao Vizcaya SA 4,100 333,064 7,450 605,202 1,300 105,606
Banco Popular Espanol SA -- -- 1,350 238,208 -- --
Barclays 5,297 105,148 12,052 239,237 2,126 42,202
BCO Intercontinental Espana 750 132,338 -- -- 250 44,113
BQE Brux Lambert* 300 75,875 500 126,459 100 25,292
Charter One Financial, Incorporated 9,905 533,632 27,275 1,469,441 2,205 118,794
Citicorp 11,300 1,362,356 23,500 2,833,219 3,600 434,025
Comerica, Incorporated 1,900 129,200 -- -- 800 54,400
Credit Commercial de France 2,519 106,732 6,436 272,698 783 33,176
Credito Italiano, 143,000 261,672 258,000 472,108 45,000 82,344
Credit Suisse Group 3,645 468,108 6,530 838,613 1,080 138,699
Dai Ichi Kangyo Bank, Ltd. 13,000 176,932 25,000 340,255 4,000 54,441
Den Norske Bank 39,500 154,676 70,800 277,242 12,300 48,165
First Bank System, Incorporated 8,300 708,613 8,300 708,613 2,400 204,900
First Chicago Corporation 8,693 525,927 19,231 1,163,476 3,615 218,708
Fleet Financial Group, Incorporated 3,898 246,549 7,345 464,571 1,659 104,932
Fuji Bank 30,000 450,183 52,000 780,318 9,000 135,055
Generale De Banque 50 19,247 150 57,740 -- --
Hang Seng Bank* 12,000 171,156 22,000 313,787 4,000 57,052
HSBC Holdings - HKD 9,335 280,750 16,736 503,335 2,754 82,827
HSBC Holdings -pound sterling 18,430 546,232 33,304 987,071 5,736 170,005
Lloyds TSB Group PLC 46,987 482,787 84,412 867,326 14,597 149,983
Malayan Bank BHD 3,000 31,498 5,000 52,496 1,000 10,499
MFC Bancorp, Ltd.* -- -- -- -- 700 6,020
National City Corporation 22,600 1,186,500 35,900 1,884,750 1,200 63,000
NationsBank Corporation 36,896 2,379,792 62,860 4,054,470 7,128 459,756
National Australia Bank* 12,500 179,207 22,500 322,573 3,900 55,913
Nordbanken AB 8,200 276,672 14,900 502,734 2,600 87,725
North Fork Bancorporation, Incorporated 11,514 246,112 13,962 292,667 4,356 93,110
Overseas Chinese Bank 4,800 49,689 8,400 86,955 1,200 12,422
Overseas Union Bank* 600 3,735 1,000 6,225 200 1,245
Popular, Incorporated 18,700 755,013 39,500 1,594,813 4,800 193,800
Sakura Bank, Ltd.* 38,000 291,084 69,000 528,547 12,000 91,921
Society General * 1,642 183,292 2,977 332,314 513 57,265
Sparebanken 1,700 50,333 3,200 94,744 800 23,686
Standard Chartered 7,800 118,982 14,113 215,281 2,474 37,741
Svenska Handelbanken 10,000 318,014 18,000 572,426 3,100 98,584
TCF Financial Corporation 3,300 162,938 12,100 597,438 -- --
Toyo Trust & Banking* 16,000 134,706 30,000 252,574 5,000 42,096
United Overseas Bank 13,800 141,890 25,600 263,216 4,200 43,184
Wachovia Corporation 8,900 518,981 16,100 938,831 1,600 93,300
Wells Fargo & Company 2,000 539,000 2,900 781,550 133 35,844
Zions Bancorp -- -- 2,000 75,250 -- --
---------- ---------- ---------
19,493,045 35,226,532 5,332,264
BROADCASTING: 0.33% 0.32% 0.09%
Clear Channel Communications* 3,800 233,700 16,800 1,033,200 -- --
Pearson 17,400 201,675 30,800 356,987 5,500 63,748
</TABLE>
The accompanying notes are an integral part of the financial statements.
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
BROADCASTING - CONTINUED
Sinclair Broadcast Group, Incorporated* 3,800 $117,325 6,000 $185,250 -- --
Viacom, Incorporated, Class A* -- -- -- -- 272 $8,007
Viacom, Incorporated, Class B* 7,700 231,000 12,700 381,000 3,400 102,000
------- --------- -------
783,700 1,956,437 173,755
BUILDING CONSTRUCTION: 0.34% 0.14% 0.10%
Alkermes, Incorporated* 8,900 129,050 -- -- -- --
Fluor Corporation 4,700 259,381 10,000 551,875 1,800 99,338
Harsco Corporation 10,400 421,200 7,800 315,900 2,400 97,200
------- ------- -------
809,631 867,775 196,538
BUSINESS SERVICES: 2.26% 1.43% 0.76%
ADVO, Incorporated* 4,400 71,500 5,000 81,250 2,200 35,750
Automatic Data Processing, Incorporated 2,500 117,500 4,300 202,100 700 32,900
Barra, Incorporated 2,500 82,500 3,100 102,300 -- --
Brambles Industries, Ltd.* 3,300 65,320 7,800 154,392 1,100 21,773
Britax International* 49,900 86,838 78,000 135,739 13,800 24,015
Dames and Moore, Incorporated 4,400 54,450 9,300 115,088 3,500 43,313
EA Engineering Science and Technology,
Incorporated* -- -- -- -- 2,100 3,938
Fiserv, Incorporated* 2,535 113,145 8,132 362,891 612 27,311
ISS International* 11,250 403,244 20,375 730,320 3,525 126,350
Katz Media Group, Incorporated* -- -- -- -- 2,400 15,750
M.A.I.D. PLC* 38,200 101,147 69,000 182,700 12,000 31,774
Nokia Corporation, ADR 15,100 1,113,625 16,800 1,239,000 3,300 243,375
Ogden Corporation 36,900 802,575 63,800 1,387,650 11,700 254,475
Omnicom Group 24,100 1,485,163 44,500 2,742,337 6,000 369,750
Securitas AB, Series B* 1,200 33,818 2,200 62,000 400 11,273
Sitel Corporation* 9,700 200,063 13,100 270,188 4,100 84,563
SunGard Data Systems, Incorporated* 5,900 274,350 9,000 418,500 1,300 60,450
TRC Companies, Incorporated* -- -- -- -- 2,500 10,000
Universal Outdoor Holdings, Incorporated* 7,900 275,513 15,200 530,100 3,300 115,088
Waste Management, Incorporated 1,500 48,188 -- -- -- --
--------- --------- ---------
5,328,939 8,716,555 1,511,848
CHEMICALS: 2.95% 2.16% 0.99%
AKZO Nobel NV 650 89,077 1,150 157,598 200 27,408
Asahi Chemical Industry Company, Ltd.* 34,000 203,193 63,000 376,505 11,000 65,739
Bayer AG* 4,300 165,235 7,800 299,728 1,350 51,876
Cytec Industries, Incorporated* 14,800 553,150 30,800 1,151,150 4,800 179,400
E.I. Du Pont De Nemours & Company 26,600 1,672,475 47,200 2,967,700 7,000 440,125
W.R. Grace & Company 1,100 60,638 2,200 121,275 -- --
Martek Biosciences Corporation* -- -- -- -- 600 7,050
Metallgesellschaft AG* 5,500 114,472 9,950 207,090 1,750 36,423
Microfluidics International Corporation* -- -- 4,600 8,913 1,100 2,131
Monsanto Company 61,700 2,656,936 113,500 4,887,594 17,500 753,594
Olin Corporation -- -- 1,600 62,500 400 15,625
Om Group, Incorporated 3,300 109,313 4,350 144,094 -- --
Praxair, Incorporated 9,400 526,400 21,300 1,192,800 1,800 100,800
Rhone Poulenc 12,100 494,155 21,700 886,212 3,300 134,770
Union Carbide Corporation 5,500 258,844 12,600 592,988 2,600 122,363
Witco Corporation 1,200 45,525 3,500 132,781 800 30,350
--------- ---------- ---------
6,949,413 13,188,928 1,967,654
</TABLE>
The accompanying notes are an integral part of the financial statements.
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(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
COMPUTERS & BUSINESS EQUIPMENT: 2.06% 1.35% 0.76%
3COM Corporation* 1,500 $67,500 3,500 $157,500 900 $40,500
Cisco Systems, Incorporated* 5,400 362,475 9,600 644,400 1,300 87,263
Compaq Computer Corporation* 14,000 1,389,500 23,000 2,282,750 3,600 357,300
Dell Computer Corporation* 1,400 164,413 2,300 270,106 600 70,463
Evans & Sutherland Computer -- -- 5,000 139,375 -- --
Fujitsu 22,000 305,182 46,000 638,109 8,000 110,975
General Binding Corporation 6,000 171,000 12,500 356,250 -- --
Hewlett-Packard Company 2,100 117,600 4,000 224,000 800 44,800
International Business Machines Corporation 13,200 1,190,475 18,800 1,695,525 3,200 288,600
Pitney Bowes, Incorporated 11,600 806,200 18,200 1,264,900 3,700 257,150
Scopus Technology* 1,350 30,206 3,750 83,906 400 8,950
Seagate Technology, Incorporated* 4,300 151,306 7,700 270,944 1,200 42,225
Sundstrand Corporation 1,900 106,044 3,900 217,669 3,000 167,438
Tech Data Corporation* -- -- -- -- 1,000 31,438
--------- --------- ---------
4,861,901 8,245,434 1,507,102
CONGLOMERATES: 0.43% 0.31% 0.14%
CSR, Ltd.* 24,400 94,599 44,000 170,588 9,200 35,668
Grand Metropolitan 25,683 247,210 46,062 443,367 8,056 77,543
Harcourt General, Incorporated 3,100 147,638 6,700 319,088 -- --
Hutchison Whampoa 49,000 423,761 88,000 761,039 15,000 129,723
Sophus Berendsen* 650 93,977 1,425 206,027 225 32,531
--------- --------- -------
1,007,185 1,900,109 275,465
CONSTRUCTION MATERIALS: 0.62% 0.49% 0.13%
CRH 10,800 113,127 19,600 205,305 3,400 35,614
Lafarge Corporation 12,100 296,450 23,500 575,750 4,000 98,000
Masco Corporation 10,100 421,675 21,500 897,625 -- --
Medusa Corporation 6,100 234,088 16,150 619,756 2,300 88,263
Sherwin-Williams Company 10,300 318,013 16,300 503,263 -- --
Vulcan Materials Company -- -- 800 62,800 -- --
Wolseley PLC 11,100 _86,601 20,000 156,039 3,500 27,307
--------- --------- -------
1,469,954 3,020,538 249,184
CONSTRUCTION & MINING EQUIPMENT: 0.20% 0.13% 0.08%
Harnischfeger Industries, Incorporated 4,491 186,377 5,534,000 242,111 1,591 66,027
SIG* 15,300 81,533 30,000 159,869 5,000 26,645
Toda Construction Company 24,000 167,929 45,000 314,867 8,000 55,976
YTL Corporation* 11,000 33,994 20,000 61,807 2,000 6,181
------- ------- -------
469,833 778,654 154,829
COSMETICS & TOILETRIES: 0.17% 0.17% 0.04%
Avon Products, Incorporated 4,400 310,475 11,800 832,638 500 35,281
Guest Supply, Incorporated* 10,500 99,750 19,050 180,975 4,500 42,750
------- --------- ------
410,225 1,013,613 78,031
DOMESTIC OIL: 0.59% 0.25% 0.16%
Amerada Hess Corporation 6,400 355,600 9,900 550,069 1,700 94,456
Kerr-McGee Corporation 1,400 88,725 -- -- 600 38,025
Unocal Corporation 24,200 939,263 25,500 989,719 4,600 178,538
--------- --------- -------
1,383,588 1,539,788 311,019
DRUGS & HEALTH CARE: 7.93% 5.58% 2.63%
American Home Products Corporation 8,000 612,000 9,300 711,450 2,000 153,000
Amgen, Incorporated* 4,600 267,375 8,300 482,438 1,200 69,750
</TABLE>
The accompanying notes are an integral part of the financial statements.
105
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(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
DRUGS & HEALTH CARE - CONTINUED
Anesta Corporation* 10,200 $193,800 6,200 $117,800 -- --
Astra AB* 12,533 233,308 22,666 421,938 4,000 $74,462
Baxter International, Incorporated 3,700 193,325 7,100 370,975 600 31,350
Biogen, Incorporated* -- -- 1,600 54,200 -- --
Bristol-Myers Squibb Company 30,700 2,486,688 59,000 4,779,000 8,800 712,800
Columbia/HCA-Healthcare Corporation 20,700 813,769 34,150 1,342,522 5,250 206,391
Cor Therapeutics, Incorporated* 8,100 86,063 21,700 230,563 4,300 45,688
Eli Lilly & Company 2,100 229,556 2,200 240,488 1,100 120,244
Fresenius Med Care Aktiengesel, ADR* -- -- -- -- 1 29
Gehe AG* 3,500 238,805 6,570 448,271 1,120 76,418
Genentech, Incorporated* 6,700 394,881 12,700 748,506 2,600 153,238
Gilead Sciences 6,000 165,750 2,600 71,825 -- --
Glaxo Wellcome PLC 12,100 250,366 21,945 454,072 3,777 78,151
Health Management Association, Class A* 8,925 254,363 16,700 475,950 2,975 84,788
Healthsouth Corporation* 34,800 867,825 53,100 1,324,181 4,800 119,700
Human Genome Sciences, Incorporated* 4,200 139,650 13,500 448,875 -- --
Immunex Corporation* -- -- 2,600 94,250 -- --
Incyte Pharmaceuticals, Incorporated* 1,300 87,100 2,600 174,200 -- --
Inhale Therapeutic Systems 2,800 69,300 -- -- -- --
Interneuron Pharmaceuticals* 3,200 64,400 13,400 269,675 -- --
Johnson & Johnson 10,200 656,625 19,200 1,236,000 6,200 399,125
Ligand Pharmaceuticals, Incorporated* 29,500 379,813 37,300 480,238 3,000 38,625
Medtronic, Incorporated 1,200 97,200 -- -- 1,200 97,200
Merck & Company, Incorporated 15,700 1,624,950 27,900 2,887,650 3,900 403,650
Millenium Pharmaceuticals, Incorporated* 19,800 319,275 44,500 717,563 2,000 32,250
Novartis AG* 623 995,947 1,128 1,803,255 187 298,944
OY Tamro AB 9,900 68,634 17,900 124,096 3,000 20,798
Oxford Health Plans, Incorporated* 1,900 136,325 3,400 243,950 600 43,050
Pacificare Health Systems, Incorporated* 3,400 217,175 5,600 357,700 1,100 70,263
Pfizer, Incorporated 5,100 609,450 18,000 2,151,000 2,400 286,800
Protein Design Labs, Incorporated* 5,300 151,050 2,600 74,100 -- --
Roche Holdings AG 22 198,979 40 361,781 7 63,312
Sankyo Company 9,000 302,303 17,000 571,017 3,000 100,768
Sanofi 1,900 186,227 3,400 333,248 600 58,809
Schering-Plough Corporation 47,200 2,259,700 85,000 4,069,375 14,600 698,975
SmithKline Beecham PLC* 20,477 376,980 37,046 682,013 6,462 118,965
SmithKline Beecham PLC, ADR* -- -- 2,800 256,550 100 9,163
Spacelabs, Incorporated* 2,800 71,400 6,100 155,550 1,900 48,450
St. Jude Medical, Incorporated* 4,450 173,550 11,500 448,500 1,700 66,300
Takeda Chemical Industries 13,000 365,207 23,000 646,135 4,000 112,371
Tenet Healthcare Corporation* 24,200 715,413 37,300 1,102,681 4,100 121,206
Thermedics, Incorporated* 5,900 92,556 9,600 150,600 2,200 34,513
United Healthcare Corporation 12,200 634,400 24,400 1,268,800 2,800 145,600
Universal Health Services* 2,400 92,400 3,200 123,200 -- --
Wellpoint Health Networks, Incorporated* 4,600 211,025 7,200 330,300 -- --
Zeneca Group* 3,900 128,984 7,100 234,817 1,300 42,995
---------- ---------- ---------
18,713,892 34,071,298 5,238,141
ELECTRICAL EQUIPMENT: 4.39% 3.07% 1.29%
ABB AG 65 98,390 120 181,644 25 37,842
Alcatel Alsthom Cie Generale D'Electric 2,457 307,716 4,449 557,194 774 96,936
AVX Corporation 10,400 280,800 13,600 367,200 -- --
Baldor Electric Company 21,500 635,594 36,600 1,081,988 -- --
Boston Scientific Corporation* 2,600 159,738 5,200 319,475 1,600 98,300
</TABLE>
The accompanying notes are an integral part of the financial statements.
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(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
ELECTRICAL EQUIPMENT - CONTINUED
Emerson Electric Company 7,000 $385,438 10,400 $572,650 -- --
FKI PLC 39,750 112,533 71,810 203,295 12,517 $35,436
FLIR Systems, Incorporated* 4,500 70,875 16,200 255,150 3,800 59,850
Fuji Electric Company 23,000 104,345 43,000 195,079 7,000 31,757
General Electric Company 93,200 6,092,950 166,600 10,891,475 22,400 1,464,400
Hitachi 20,000 223,347 38,000 424,359 7,000 78,171
Matsushita Electric Works 14,000 158,786 26,000 294,887 4,000 45,367
NEC Corporation 6,000 83,755 11,000 153,551 2,000 27,918
Raychem Corporation 3,200 238,000 5,400 401,625 1,300 96,688
Sanmina Corporation* 1,000 63,500 2,500 158,750 600 38,100
Sumitomo Electric Industry 5,000 83,755 9,000 150,759 2,000 33,502
Thermo Volter Corporation* -- -- 14,550 101,850 2,250 15,750
Westinghouse Electric Corporation 54,107 1,251,224 104,834 2,424,286 17,398 402,329
---------- ---------- ---------
10,350,746 18,735,217 2,562,346
ELECTRIC UTILITIES: 0.84% 0.81% 0.44%
American Electric Power, Incorporated 1,300 54,600 4,900 205,800 800 33,600
Boston Edison Company -- -- 7,800 205,725 2,100 55,388
CINergy Corporation 8,300 288,944 12,400 431,675 2,700 93,994
DPL, Incorporated 7,000 172,375 5,900 145,288 800 19,700
Datacraft Asia* 15,000 47,700 27,000 85,860 5,000 15,900
DQE -- -- 2,600 73,450 500 14,125
Electric De Portugal* 4,000 73,405 8,000 146,810 1,500 27,527
Enova Corporation 2,800 67,375 9,700 233,406 1,300 31,281
Entergy Corporation 12,800 350,400 24,300 665,213 4,600 125,925
Hong Kong & China Gas* -- -- 144,000 288,100 25,000 50,017
Hong Kong Electric Holdings, Ltd. 80,000 160,056 -- -- -- --
Iberdola SA 12,000 151,476 22,000 277,706 4,000 50,492
Kansai Electric Power 4,800 92,549 9,000 173,530 1,500 28,922
National Grid Group 56,000 202,367 101,200 365,707 17,700 63,963
Peco Energy Company 4,100 86,100 3,900 81,900 -- --
Tenaga Nasional* 11,000 53,605 26,000 126,704 5,000 24,366
United Water Resources, Incorporated -- -- 58,400 1,131,500 9,700 187,938
VEBA AG 1,150 64,618 2,050 115,188 400 22,476
Yorkshire Water* 18,000 117,803 33,300 217,856 5,800 37,959
--------- --------- -------
1,983,373 4,971,418 883,573
ELECTRONICS: 3.50% 2.40% 1.21%
Adaptec, Incorporated* 1,200 41,700 -- -- -- --
Adflex Solutions, Incorporated* -- -- 4,800 72,000 2,200 33,000
Altera Corporation* 9,800 494,900 16,300 823,150 3,400 171,700
AMP, Incorporated 2,800 116,900 5,500 229,625 1,000 41,750
Bell & Howell Company* 9,000 277,313 18,900 582,356 1,700 52,381
DSC Communications Corporation* 1,700 37,825 -- -- 500 11,125
Dynatech Corporation* -- -- 2,900 103,675 400 14,300
Electronic Data Systems Corporation 5,300 217,300 13,900 569,900 -- --
Electronics For Imaging, Incorporated* 11,400 538,650 17,800 841,050 3,800 179,550
Harris Corporation 1,200 100,800 2,800 235,200 -- --
Intel Corporation 10,200 1,446,488 17,800 2,524,263 1,700 241,081
Kyocera Corporation 1,000 79,393 2,000 158,786 1,000 79,393
Liberty Technologies, Incorporated* -- -- 17,500 49,219 3,500 9,844
Linear Technology Corporation* 7,600 393,300 12,300 636,525 2,900 150,075
Maxim Integrated Products, Incorporated* 5,900 335,563 7,400 375,375 2,400 136,500
Motorola, Incorporated 5,500 418,000 11,500 874,000 2,300 174,800
Raytheon Company 3,400 173,400 10,200 520,200 -- --
</TABLE>
The accompanying notes are an integral part of the financial statements.
107
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(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
ELECTRONICS - CONTINUED
Rohm Company 3,000 $308,847 5,000 $514,744 1,000 $102,949
Scientific-Atlanta, Incorporated 16,800 367,500 32,600 713,125 6,300 137,813
TDK Corporation 2,000 146,746 3,000 220,119 1,000 73,373
Teradyne, Incorporated* 1,500 58,875 2,600 102,050 500 19,625
Texas Instruments, Incorporated 21,600 1,815,750 28,300 3,219,594 6,400 538,000
Tokyo Electron 1,000 47,810 2,000 95,620 1,000 47,810
Tracor, Incorporated* 2,700 67,838 -- -- -- --
Xilinx, Incorporated* 15,800 775,188 24,100 1,182,406 4,000 196,250
--------- ---------- ---------
8,260,086 14,642,982 2,411,319
FINANCIAL SERVICES: 3.72% 2.91% 1.28%
Acom Company 3,700 178,189 7,000 337,114 1,400 67,423
Allstate Corporation 29,842 2,178,466 57,444 4,193,412 9,962 727,226
American Express Company 9,200 685,400 14,000 1,043,000 2,600 193,700
Associates First Capital Corporation 2,700 149,850 9,500 527,250 -- --
Beneficial Corporation 5,500 390,844 18,900 1,343,081 1,500 106,594
Case Corporation 3,400 234,175 12,000 826,500 -- --
Corporate Express, Incorporated* -- -- -- -- 1,800 25,988
Daiwa Securities 29,000 228,721 42,000 331,251 9,000 70,982
Enhance Financial Services Group 3,900 171,113 6,300 276,413 -- --
Federal Home Loan Mortgage Corporation 7,200 247,500 11,400 391,875 3,200 110,000
Federal National Mortgage Association 30,900 1,348,013 71,300 3,110,463 7,800 340,275
Green Tree Financial Corporation 9,300 331,313 -- -- -- --
Household International, Incorporated 4,100 481,494 7,800 916,013 1,500 176,156
Internationale Nederlanden Groep NV* 4,459 205,583 8,076 372,346 1,390 64,086
Interra Financial, Incorporated -- -- 8,100 339,694 1,450 60,809
Japan Associated Finance Company* 1,000 78,520 2,000 157,041 1,000 78,520
Jefferies Group, Incorporated 4,300 245,100 7,500 427,500 1,400 79,800
Julius Baer Holdings* 90 137,774 160 244,931 30 45,925
Legg Mason, Incorporated 5,900 317,494 11,400 613,463 1,900 102,244
Orix Corporation 1,000 74,071 2,000 148,142 -- --
Peoples Heritage Financial Group 6,400 242,400 12,200 462,075 2,400 90,900
Providian Financial Corporation* 1,400 44,975 1,900 61,038 600 19,275
Student Loan Marketing Association 1,500 190,500 3,600 457,200 -- --
Tab Corporation Holdings, Ltd. 14,500 78,900 26,200 142,565 3,300 17,957
Travelers Group, Incorporated 8,298 523,293 16,165 1,019,405 2,698 170,143
--------- ---------- ---------
8,763,688 17,741,772 2,548,003
FOOD & BEVERAGES: 3.64% 2.58% 1.28%
Archer-Daniels-Midland Company 4,217 99,100 13,666 321,151 2,536 59,596
Asahi Breweries* 8,000 119,351 15,000 223,783 3,000 44,757
Campbell Soup Company 13,500 675,000 24,800 1,240,000 -- --
Celestial Seasonings, Incorporated* -- -- 2,900 72,500 1,600 40,000
The Coca Cola Company 23,400 1,579,500 41,100 2,774,250 5,700 384,750
Dekalb Genetics Corporation, Class B -- -- 1,200 95,700 -- --
Dole Food Company, Incorporated 3,900 166,725 6,100 260,775 1,500 64,125
Earthgrains Company -- -- -- -- 52 3,409
General Mills, Incorporated 6,088 396,481 11,879 773,620 2,174 141,582
Goodmark Foods, Incorporated 4,400 82,500 10,900 204,375 2,600 48,750
Hershey Foods Corporation 5,200 287,625 5,800 320,813 -- --
House Food Corporation* 5,000 88,553 10,000 177,107 2,000 35,421
Huhtamaki Oy 1,100 47,345 2,000 86,081 400 17,216
Ionics, Incorporated* 2,400 109,200 600 273,000 -- --
Kellogg Company 6,600 565,125 12,700 1,087,438 2,200 188,375
Lion Nathan, Ltd.* 32,500 82,342 58,700 148,722 10,200 25,843
</TABLE>
The accompanying notes are an integral part of the financial statements.
108
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
FOOD & BEVERAGES - CONTINUED
Nabisco Holdings Corporation, Class A 5,800 $231,275 6,000 $239,250 5,100 $203,363
Nestle SA 56 73,874 102 134,556 23 30,341
PepsiCo, Incorporated 68,500 2,573,031 132,200 4,965,763 22,900 860,181
Pioneer Hi Bred International, Incorporated 3,700 296,000 6,800 544,000 1,600 128,000
Ralston Purina Company 6,300 517,781 11,400 936,938 1,800 147,938
Sara Lee Corporation 4,600 191,475 2,200 91,575 -- --
Tabacalera SA 1,700 91,259 3,050 163,729 550 29,525
Tyson Foods, Incorporated, Class A 16,950 324,169 33,000 631,125 4,950 94,669
--------- ---------- ---------
8,597,711 15,766,251 2,547,807
FOREST PRODUCTS: 0.03% 0.00% 0.00%
Weyerhaeuser Company 1,200 62,400 -- -- -- --
Wickes Lumber Company* -- -- -- -- 1,800 9,225
------ -----
62,400 9,225
GAS & PIPELINE UTILITIES: 1.11% 0.80% 0.42%
Coastal Corporation 22,600 1,202,038 40,400 2,148,775 3,600 191,475
Enron Corporation 4,500 183,656 8,000 326,500 1,100 44,894
MCN Corporation 8,800 269,500 16,000 490,000 3,400 104,125
Pacific Enterprises 9,900 332,888 19,000 638,875 3,400 114,325
Piedmont National Gas, Incorporated 7,900 202,931 14,200 364,763 3,200 82,200
Questar Corporation 4,100 165,538 12,900 520,838 5,900 238,213
UGI Corporation 11,600 256,650 16,700 369,488 2,400 53,100
--------- --------- -------
2,613,201 4,859,239 828,332
GOLD: 0.35% 0.24% 0.16%
Kinross Gold Corporation* 8,400 37,800 -- -- -- --
Newmont Mining Corporation 20,400 795,600 37,800 1,474,200 8,000 312,000
------- --------- -------
833,400 1,474,200 312,000
HOMEBUILDERS: 0.23% 0.10% 0.07%
Beazer Homes USA, Incorporated* 18,100 289,600 11,500 184,000 3,200 51,200
Sekisui House 10,000 101,204 1,700 172,047 3,000 30,361
Shimizu Corporation* 25,000 149,843 46,000 275,711 8,000 47,950
------- ------- -------
540,647 631,758 129,511
HOTELS & RESTAURANTS: 1.01% 0.67% 0.31%
HFS, Incorporated* 8,300 481,400 17,212 998,296 2,000 116,000
Hilton Hotels Corporation 16,100 427,656 21,600 573,750 4,100 108,906
ITT Corporation* 6,200 378,588 8,800 537,350 400 24,425
La Quinta Inns, Incorporated 7,425 162,422 14,850 324,844 4,275 93,515
McDonald's Corporation 12,000 579,750 23,700 1,145,006 3,900 188,419
Mirage Resorts, Incorporated* 2,800 70,700 6,200 156,550 1,400 35,350
Promus Hotel Corporation* -- -- 1,550 60,063 350 13,563
Rainforest Cafe, Incorporated 6,600 167,475 2,300 58,363 -- --
Yoshinoya D&C Company, Ltd. 10 122,143 18 219,857 3 36,643
--------- --------- -------
2,390,134 4,074,079 616,821
HOUSEHOLD APPLIANCES FURNISHING: 0.55% 0.40% 0.24%
Fedders USA, Incorporated 10,000 56,875 23,800 135,363 -- --
Matsushita Electronic Industries 16,000 322,457 29,000 584,453 5,000 100,768
Philips Electronics 7,400 530,052 13,350 956,243 2,350 168,327
Sony Corporation 2,600 226,610 4,500 392,209 500 43,579
Toro Company 4,400 166,650 10,500 397,688 4,200 159,075
--------- --------- -------
1,302,644 2,465,956 471,749
</TABLE>
The accompanying notes are an integral part of the financial statements.
109
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
HOUSEHOLD PRODUCTS: 0.48% 0.27% 0.16%
Cultor Oy, Series* 1,300 $68,846 2,350 $124,452 350 $18,535
Gillette Company 600 56,850 -- -- -- --
Procter & Gamble Company 2,900 409,625 2,700 381,375 300 42,375
Snap-On, Incorporated 1,700 66,938 2,800 110,250 800 31,500
Stanhome, Incorporated 2,500 82,188 7,100 233,413 2,600 85,475
Unilever PLC 8,300 237,600 14,900 426,535 2,600 74,429
Unilever NV 1,000 210,505 1,800 378,909 300 63,151
--------- --------- -------
1,132,552 1,654,934 315,465
INDUSTRIAL MACHINERY: 1.30% 1.07% 0.41%
AES Corporation* 2,900 205,175 4,300 304,225 -- --
Applied Materials, Incorporated* 2,700 191,194 11,200 793,100 2,100 148,706
Bunka Shutter Company* 27,000 173,137 50,000 320,625 8,000 51,300
Hitachi Construction Machinery 23,000 222,736 43,000 416,419 7,000 67,789
Ingersoll Rand Company 6,000 370,500 13,400 827,450 1,100 67,925
Komatsu, Ltd. 20,000 162,275 33,000 267,754 6,000 48,683
Mannesmann AG 500 222,751 900 400,952 150 66,825
Memtec, Ltd., ADR* 22,400 604,800 41,200 1,112,400 3,900 105,300
Minebea Company 17,000 180,946 29,000 308,672 5,000 53,219
Mitsubishi Heavy Industry 7,000 53,682 12,000 92,026 -- --
Sulzer AG 160 136,986 290 248,288 50 42,808
Sealed Air Corporation -- -- 10,600 503,500 -- --
Thermo Electron Corporation* 3,825 130,050 6,075 206,550 1,950 66,300
THK Company, Ltd.* 17,500 299,250 30,000 513,000 4,500 76,950
TSI, Incorporated 7,800 74,100 14,400 136,800 2,400 22,800
United Engineers BHD 7,000 50,475 12,000 86,529 1,000 7,211
--------- --------- -------
3,078,057 6,538,290 825,816
INSURANCE: 2.01% 1.32% 0.57%
Aegon* 608 42,609 825 57,827 261 18,261
Aetna, Incorporated 539 55,180 -- -- -- --
Aflac, Incorporated 1,700 80,325 2,100 99,225 -- --
Allianz AG* 1,000 209,277 2,000 418,554 300 62,783
W.R. Berkley Corporation 3,600 211,950 7,300 429,788 1,500 88,313
Capmac Holdings, Incorporated 14,400 484,200 14,100 474,113 300 10,088
Cigna Corporation 1,400 248,500 700 124,250 -- --
Harleysville Group, Incorporated 3,500 132,563 7,300 276,488 2,000 75,750
Horace Mann Educators Corporation 6,200 303,800 9,900 485,100 2,200 107,800
Marsh & McLennan Companies -- -- 3,600 256,950 -- --
MBIA, Incorporated 3,700 417,406 7,300 823,531 1,200 135,375
Mercury General Corporation 600 43,650 -- -- -- --
PMI Group, Incorporated 13,100 817,113 26,900 1,677,888 2,500 155,938
Pohjola 2,800 83,039 5,100 151,249 1,200 35,588
Prudential Corporation 24,550 239,947 44,116 431,189 7,745 75,700
Selective Insurance Group, Incorporated 6,700 324,531 12,700 615,156 2,400 116,250
Skandia Foersaekrings AB 6,300 232,112 11,200 412,643 1,900 70,002
Sumitomo Marine & Fire 18,000 147,618 34,000 278,834 6,000 49,206
Transamerica Corporation 2,700 252,619 3,300 308,756 -- --
Triad Guaranty, Incorporated* 8,900 403,838 16,750 760,031 3,150 142,931
--------- --------- ---------
4,730,277 8,081,572 1,143,985
INTERNATIONAL OIL: 1.68% 1.35% 0.52%
British Petroleum Company PLC 43,886 545,933 79,274 986,153 13,749 171,035
British Petroleum Company PLC, ADR 600 44,925 5,200 389,350 1,000 74,875
</TABLE>
The accompanying notes are an integral part of the financial statements.
110
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
INTERNATIONAL OIL - CONTINUED
Exxon Corporation 15,200 $934,800 31,800 $1,955,700 4,400 $270,600
Mobil Corporation 2,000 139,750 -- -- 400 27,950
Royal Dutch Petroleum Company 9,600 522,000 13,600 739,500 1,600 87,000
Royal Dutch Petroleum Company - NLG 9,600 522,000 19,800 1,038,973 3,400 178,410
Saga Petroleum* 1,300 22,704 2,400 41,915 400 6,986
Texaco, Incorporated 16,100 1,750,875 28,400 3,088,500 2,100 228,375
--------- --------- ---------
3,960,987 8,240,091 1,045,231
INVESTMENT COMPANIES: 0.25% 0.19% 0.08%
Bear Stearns 2,100 71,794 -- -- -- --
Eaton Vance Corporation -- -- -- -- 1,200 33,375
Lehman Brothers Holdings, Incorporated 5,700 230,850 19,000 769,500 -- --
McDonald Company Investments,
Incorporated 2,400 110,100 5,400 247,725 800 36,700
Morgan Stanley Dean Witter 1,980 85,264 -- -- 1,320 56,843
Nomura Securities Company, Ltd. 6,000 82,708 10,000 137,847 2,000 27,569
------- --------- -------
580,716 1,155,072 154,487
LEISURE TIME: 1.28% 0.93% 0.42%
American Skiing Company* -- -- 370 11,100 -- --
Berjaya Sports 9,000 42,433 17,000 80,151 3,000 14,144
Capital Radio* 8,200 73,466 12,800 114,679 2,300 20,606
Granada Group PLC* 13,797 181,512 24,956 328,318 4,354 57,281
Hollywood Entertainment Corporation 2,100 48,038 8,600 196,725 -- --
Kuoni Reisen Holding, Series B 35 119,863 60 205,479 10 34,247
Magnum CP BHD* 59,000 88,827 106,000 159,588 19,000 28,605
MGM Grand, Incorporated* 13,600 503,200 26,900 995,300 4,400 162,800
Movie Gallery, Incorporated* -- -- 10,200 65,025 -- --
Sodak Gaming, Incorporated* 3,800 56,050 9,800 144,550 800 11,800
The Walt Disney Company 23,919 1,895,425 41,834 3,357,179 6,309 506,297
--------- --------- -------
3,008,814 5,658,094 835,780
LIQUOR: 0.04% 0.03% 0.01%
Carlsberg Brewery* 16,500 84,984 30,000 154,516 4,500 23,178
------ ------- ------
MINING: 0.45% 0.33% 0.13%
Canyon Resources Corporation* -- -- 48,200 117,488 -- --
Cookson Group 29,919 104,631 54,038 188,978 9,455 33,065
English China Clay 32,500 110,409 58,700 199,416 10,500 35,671
Getchell Gold Corporation* 23,800 838,950 40,400 1,424,100 4,900 172,725
Stillwater Mining Company* -- -- 4,100 87,894 1,100 23,581
--------- --------- -------
1,053,990 2,017,876 265,042
NEWSPAPERS: 0.51% 0.35% 0.12%
Independent News 13,988 79,200 24,971 141,386 4,387 24,839
Times Mirror Company, Series A 16,200 895,050 29,100 1,607,775 2,500 138,125
Ver Ned Uitgevers* 10,500 232,157 18,500 409,038 3,200 70,752
--------- --------- -------
1,206,407 2,158,199 233,716
NON-FERROUS METALS: 0.25% 0.16% 0.09%
Imco Recycling, Incorporated 7,100 134,013 10,200 192,525 2,000 37,750
Pechiney 6,750 265,902 12,200 480,593 2,150 84,695
Rio Tinto 3,558 62,007 6,391 111,378 1,512 26,350
WMC, Ltd. 18,219 114,971 32,360 205,912 5,705 36,001
------- ------- -------
576,893 990,408 184,796
</TABLE>
The accompanying notes are an integral part of the financial statements.
111
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
OFFICE FURNISHINGS AND SUPPLIES: 0.14% 0.12% 0.05%
Ikon Office Solutions, Incorporated 10,300 $256,856 22,300 $556,106 2,000 $49,875
International Imaging Materials* 4,500 73,125 9,700 157,625 2,500 40,625
------- ------- ------
329,981 713,731 90,500
OTHER UTILITIES: 0.31% 0.00% 0.00%
United Water Resources, Incorporated 37,200 720,750 -- -- -- --
-------
PAPER: 2.62% 1.84% 0.63%
Boise Cascade Corporation 21,600 762,750 36,200 1,278,313 5,600 197,750
Bowater, Incorporated 9,400 434,750 20,400 943,500 2,100 97,125
Champion International Corporation 1,500 82,875 2,100 116,025 700 38,675
Chesapeake Corporation 13,000 438,750 29,900 1,009,125 5,400 182,250
Fort Howard Paper Corporation* 2,400 121,500 11,100 561,938 1,800 91,125
Jefferson Smurfit Corporation* 15,600 249,600 28,800 460,800 5,200 83,200
Kimberly Clark Corporation 25,500 1,268,625 39,900 1,985,025 4,600 228,850
Minnesota Managing and Manufacturing 16,900 1,723,800 32,400 3,304,800 2,000 204,000
Pope & Talbot, Incorporated 18,700 307,381 36,200 591,750 3,200 52,600
Sealed Air Corporation* 4,100 194,750 -- -- -- --
Stone Container Corporation -- -- -- -- 400 5,725
Willamette Industries, Incorporated 8,500 595,000 14,100 987,000 1,100 77,000
--------- ---------- ---------
6,179,781 11,238,276 1,258,300
PETROLEUM & NATURAL GAS: 0.60% 0.48% 0.16%
Anadarko Petroleum Corporation 6,500 390,000 5,200 312,000 1,100 66,000
Burlington Resources, Incorporated 5,500 242,688 6,300 277,988 1,200 52,950
Chesapeake Energy Corporation 2,700 26,494 3,700 36,306 -- --
Elf Aquitaine* 3,500 377,593 6,800 733,609 1,100 118,672
ENI SPA* 19,000 107,601 34,300 194,248 6,000 33,979
Occidental Petroleum Corporation -- -- 7,000 175,438 1,500 37,594
Santa Fe Energy Resources, Incorporated* -- -- 14,400 211,500 -- --
Union Pacific Resource Group, Incorporated 8,900 221,388 25,200 626,850 -- --
Vastar Resources, Incorporated 1,400 49,088 9,500 333,094 -- --
--------- --------- -------
1,414,852 2,901,033 309,195
PETROLEUM SERVICES: 2.50% 1.41% 0.83%
Broken Hill Proprietary Company, Ltd. 11,056 162,792 19,821 291,850 3,498 51,506
Dresser Industries, Incorporated 6,600 245,850 11,300 420,925 3,100 115,475
Halliburton Company 7,800 618,150 16,700 1,323,475 3,500 277,375
Norsk Hydro AS -- -- -- -- -- --
Royal Dutch Petroleum 10,600 556,218 -- --
Schlumberger, Ltd. 10,800 1,350,000 13,800 1,725,000 2,800 350,000
Total SA, B Shares 7,772 785,571 13,016 1,315,620 2,433 245,921
Total SA, ADR 30,346 1,536,266 46,628 2,360,543 9,389 475,318
Transocean Offshore, Incorporated -- -- 5,400 392,175 -- --
Western Atlas, Incorporated* 7,000 512,750 7,900 578,675 1,500 109,875
Woodside Petroleum 13,700 118,033 24,800 213,666 4,300 37,047
--------- --------- ---------
5,885,630 8,621,929 1,662,517
PHOTOGRAPHY: 0.29% 0.20% 0.11%
Canon, Incorporated 11,000 299,424 19,000 517,187 3,000 81,661
Fuji Photo Film Company 6,000 241,319 10,000 402,199 2,000 80,440
Konica Corporation 23,000 146,685 43,000 274,237 8,000 51,021
------- --------- -------
687,428 1,193,623 213,122
</TABLE>
The accompanying notes are an integral part of the financial statements.
112
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
POLLUTION CONTROL: 0.33% 0.29% 0.13%
Rentokil Intial PLC* 44,200 $155,015 79,100 $277,414 13,800 $48,398
TETRA Technologies, Incorporated* 6,500 160,875 12,200 301,950 800 19,800
United Waste Systems, Incorporated* 7,200 295,200 21,600 885,600 2,600 106,600
USA Waste Services, Incorporated* 4,250 164,156 7,650 295,481 2,380 91,928
------- --------- -------
775,246 1,760,445 266,726
PUBLISHING: 0.05% 0.00% 0.00%
Meredith Corporation 3,900 113,100 -- -- -- --
-------
RAILROADS & EQUIPMENT: 0.28% 0.21% 0.06%
Burlington Northern Santa Fe 2,000 179,750 3,800 341,525 700 62,913
CSX Corporation 2,800 155,400 5,600 310,800 900 49,950
East Japan Railway 10 51,300 23 117,990 3 15,390
Norfolk Southern Corporation 2,700 272,025 5,000 503,750 -- --
------- --------- -------
658,475 1,274,065 128,253
REAL ESTATE: 0.44% 0.31% 0.16%
Cheung Kong Holdings 15,000 148,116 27,000 266,609 5,000 49,372
Cheung Kong Infrastructure* 38,000 110,116 69,000 199,947 12,000 34,773
City Developments 9,000 88,130 22,000 215,430 2,000 19,585
Mitsubishi Estate 14,000 202,757 25,000 362,065 4,000 57,931
New World Development Company 31,609 188,496 56,584 337,431 10,361 61,786
Parkway Holdings 10,000 44,765 15,000 67,147 3,000 13,429
Perpetual 700 31,241 1,200 53,556 200 8,926
Sun Hung Kai Properties 19,000 228,693 34,000 409,239 6,000 72,219
--------- --------- -------
1,042,314 1,911,424 318,021
RETAIL GROCERY: 0.45% 0.37% 0.10%
Giant Foods, Incorporated, Class A 6,900 225,113 17,000 554,625 2,900 94,613
Safeway* 3,900 179,888 11,700 539,663 -- --
Starbucks Corporation* 13,100 510,081 23,000 895,563 1,600 62,300
Somerfield PLC* 41,800 125,993 75,000 226,065 13,100 39,486
Tesco 4,900 30,274 8,800 54,369 1,500 9,267
--------- --------- -------
1,071,349 2,270,285 205,666
RETAIL TRADE: 3.30% 2.12% 1.05%
Ahold Kon NV* -- -- 2,700 172,948 300 25,309
American Skiing Company* 130 3,900 -- -- -- --
Amway Japan, Ltd. 3,000 101,553 6,000 203,106 1,000 33,851
Amway Malaysia* 6,000 35,658 10,000 59,429 2,000 11,886
AutoZone, Incorporated* 19,100 450,044 35,800 843,538 4,500 106,031
Boots Company 7,000 82,124 12,600 147,824 2,200 25,811
Bridgestone Corporation 4,000 92,828 -- -- -- --
Consolidated Stores Corporation* 7,813 271,484 12,031 418,086 2,656 92,305
CVS Corporation 29,300 1,501,625 59,000 3,023,750 12,000 615,000
Dixons Group 10,500 82,707 19,000 149,661 3,400 26,781
Federated Department Stores, Incorporated* 2,400 83,400 5,100 177,225 600 20,850
Footstar, Incorporated* 4,203 109,803 10,997 287,297 2,216 57,893
Friedman's, Incorporated, Class A* 5,500 125,813 22,400 512,400 3,200 73,200
Gadzooks, Incorporated* 6,100 118,950 -- -- -- --
Haverty Furniture Companies, Incorporated 5,600 70,000 -- -- -- --
Heilig Meyers Company 8,000 157,000 28,600 561,275 -- --
The Home Depot, Incorporated 14,700 1,013,381 27,300 1,881,994 3,500 241,281
Jusco Company* 3,000 101,291 6,000 202,582 1,000 33,764
Kingfisher 14,189 161,149 25,691 291,782 4,449 50,529
Lillian Vernon Corporation 4,500 75,938 10,500 177,188 2,500 42,188
</TABLE>
The accompanying notes are an integral part of the financial statements.
113
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
RETAIL TRADE - CONTINUED
Lowes Companies, Incorporated 12,600 $467,775 23,300 $865,013 3,500 $129,938
Mitsubishi Corporation 11,000 137,236 20,000 249,520 3,000 37,428
Mitsui & Company 17,000 163,148 33,000 316,699 6,000 57,582
Proffitts, Incorporated* 6,626 290,716 9,690 425,149 490 21,499
Sears Roebuck & Company 3,000 161,250 5,600 301,000 300 16,125
Shimachu Company 6,000 180,073 10,000 300,122 1,000 30,012
Takashimaya Company 9,000 122,492 17,000 231,373 3,000 40,831
TJX Cosmetics Incorporated 13,800 363,975 18,400 485,300 2,400 63,300
Toys R Us, Incorporated* 18,900 661,500 -- -- -- --
Wal-Mart Stores, Incorporated 15,000 507,188 19,700 666,106 7,200 243,450
--------- ---------- ---------
7,791,021 12,950,367 2,096,844
SAVINGS & LOAN: 0.62% 0.38% 0.21%
Astoria Financial Corporation 12,800 608,000 27,400 1,301,500 6,000 285,000
Commercial Federal Corporation 7,950 295,144 14,550 540,169 3,150 116,944
Long Island Bancorp, Incorporated 3,000 108,938 -- -- 300 10,894
Washington Federal, Incorporated 17,800 457,238 18,100 464,944 -- --
--------- --------- -------
1,469,320 2,306,613 412,838
SHIPBUILDING: 0.05% 0.02% 0.07%
Anangel American Shipholdings, Ltd., ADR 5,000 48,750 7,700 75,078 2,700 26,325
Avondale Industries, Incorporated* -- -- -- -- 3,700 77,700
West Marine, Incorporated* 2,600 66,950 2,400 61,800 1,400 36,050
------- ------- -------
115,700 136,878 140,075
SOFTWARE: 1.78% 1.18% 0.54%
BMC Software, Incorporated* -- -- 1,800 99,675 -- --
Electronic Arts* 5,300 178,213 8,800 295,900 400 13,450
HBO & Company -- -- -- -- 300 20,663
Micro Focus Group, Incorporated PLC, ADR* 4,300 127,925 -- -- 3,400 101,150
Microsoft Corporation* 23,800 3,007,725 42,000 5,307,750 6,100 770,888
Oracle Syatems Corporation* 14,600 735,475 26,500 1,334,938 2,725 137,272
Peoplesoft, Incorporated* -- -- 3,500 184,625 300 15,825
Policy Management Systems Corporation* 3,100 145,700 -- -- 400 18,800
--------- --------- ---------
4,195,038 7,222,888 1,078,048
STEEL: 0.45% 0.29% 0.12%
Huntco, Incorporated, Class A 11,100 158,175 7,400 105,450 500 7,125
Kawasaki Steel Corporation 47,000 152,949 88,000 286,372 15,000 48,813
Kobe Steel* 58,000 110,818 100,000 191,066 18,000 34,392
Kurimoto 13,000 100,148 24,000 184,889 4,000 30,815
Nippon Steel Corporation 38,000 121,340 70,000 223,521 12,000 38,318
Quanex Corporation 7,000 214,813 13,200 405,075 300 9,206
Sumitomo Metal Industry 75,000 213,314 140,000 398,185 24,000 68,260
--------- --------- -------
1,071,557 1,794,558 236,929
TELECOMMUNICATION SERVICES: 0.48% 0.32% 0.18%
Arch Communications Group, Incorporated* -- -- -- -- 600 4,575
Asia Satellite Telecommunications* 31,000 95,033 56,000 171,672 10,000 30,656
Cable & Wireless 5,000 45,796 9,100 83,348 1,700 15,571
Ericsson Telecommunications 7,900 310,975 14,300 562,905 2,500 98,410
Heartland Wireless Communications,
Incorporated* -- -- -- -- 500 1,188
Lucent Technologies, Incorporated 8,281 596,750 16,042 1,156,027 2,524 181,886
Omnipoint Corporation* 4,400 73,150 -- -- 1,300 21,613
--------- --------- -------
1,121,704 1,973,952 353,899
</TABLE>
The accompanying notes are an integral part of the financial statements.
114
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ --------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C>
TELEPHONE: 5.61% 3.95% 1.81%
360 Communications Company* -- -- 3,100 $53,088 600 $10,275
AirTouch Communications, Incorporated* 17,500 $479,063 33,800 925,275 5,800 158,775
Ameritech Corporation 7,200 489,150 13,800 937,538 2,600 176,638
American Telephone & Telegraph
Corporation 21,100 739,819 40,800 1,430,550 7,300 255,956
Bell Atlantic Corporation 5,700 432,488 11,100 842,213 2,000 151,750
Bellsouth Corporation 13,000 602,875 25,100 1,164,013 4,600 213,325
British Telecommunication 40,700 302,289 73,500 545,902 12,800 95,069
Cincinnati Bell, Incorporated -- -- -- -- 1,000 31,500
Deutsche Telekom* 5,250 126,426 9,500 228,771 1,650 39,734
DDI Corporation 14 103,333 25 184,523 4 29,524
GTE Corporation 10,700 469,463 27,800 1,219,725 4,400 193,050
LCI International, Incorporated 11,600 253,750 18,700 409,063 -- --
MCI Communications Corporation 62,600 2,396,406 112,000 4,287,500 12,300 470,859
Nippon Telphone & Telegraph Corporation 70 671,785 128 1,228,407 22 211,132
NYNEX Corporation 5,700 328,463 11,100 639,638 2,000 115,250
SBC Communications, Incorporated 9,643 596,661 18,898 1,169,314 3,400 210,375
Sprint Corporation 11,100 584,138 12,000 631,500 -- --
STET 41,000 142,330 75,000 260,360 13,000 45,129
Telecom Italia Mobile RISP* 68,900 222,968 157,100 281,003 27,800 49,726
Telecom Italia Mobile SPA* 91,000 162,771 124,500 402,896 21,700 70,224
Telefonica de Espana SA* 6,850 198,039 12,400 358,493 2,150 62,158
Tel Save Holdings, Incorporated* 14,000 213,500 16,600 253,150 2,200 33,550
VodaFone Group 52,318 255,277 94,434 460,775 16,445 80,241
WorldCom, Incorporated* 108,350 3,467,200 194,500 6,224,000 28,200 902,400
---------- ---------- ---------
13,238,194 24,137,697 3,606,640
TIRES & RUBBER: 0.00% 0.03% 0.01%
Bridgestone Corporation -- -- 7,000 162,450 1,000 23,207
------- ------
TOBACCO: 1.39% 0.94% 0.44%
BAT Industries PLC 14,200 127,104 24,100 215,719 3,900 34,909
Philip Morris Companies, Incorporated 67,400 2,990,875 31,800 5,120,875 17,800 789,875
RJR Nabisco Holdings Corporation 3,900 128,700 7,600 326,700 1,500 49,500
Rothmans Pall Mall* 3,000 29,477 6,000 58,954 1,000 9,826
--------- --------- -------
3,276,156 5,722,248 884,110
TRANSPORTATION: 0.12% 0.09% 0.06%
ASA Holdings, Incorporated 9,500 271,938 20,200 578,225 4,500 128,813
------- ------- -------
TRUCKING & FREIGHT: 0.19% 0.14% 0.07%
Hartwell 1,350 78,123 2,450 141,779 400 23,148
Kirby Corporation* -- -- 5,200 94,900 -- --
Landstar Systems, Incorporated* 5,200 146,250 7,900 222,188 1,900 53,438
NCL Holdings* 16,100 50,744 29,100 91,717 5,100 16,074
P & O 12,684 126,312 22,859 227,641 4,034 40,173
U.S. Freightways Corporation 2,000 51,750 3,000 77,625 -- --
------- ------- -------
453,179 855,850 132,833
TOTAL COMMON STOCK (COST:
$150,037,878, $266,237,559 and
$38,623,068, respectively) $191,912,449 $345,261,628 $52,033,930
----------- ----------- ----------
PREFERRED STOCK: 1.08% 0.76% 0.10%
APPAREL & TEXTILES: 0.03% 0.02% 0.03%
Hugo Boss AG 50 60,203 100 120,406 -- --
------ -------
</TABLE>
The accompanying notes are an integral part of the financial statements.
115
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
AUTOMOBILES: 0.12% 0.09% 0.05%
Volkswagen AG 500 $280,947 950 $533,800 200 $112,379
------- ------- -------
BROADCASTING: 0.34% 0.11%
American Radio Systems Corporation 586 62,283 325 34,528 -- --
Cablevision Systems Corporation, Series H* 304 31,505 616 63,865 -- --
Cablevision Systems Corporation, Series M* 206 20,710 591 59,542 -- --
Capstar Broadcasting Partners* 6,593 667,541 4,986 504,833 -- --
Chancellor Radio Broadcasting* 100 11,425 111 12,682 -- --
------- -------
793,464 675,450
ELECTRONICS: 0.05% 0.03% 0.02%
Nokia (AB) 1,500 112,051 2,700 201,691 450 33,615
------- ------- ------
FINANCIAL SERVICES: 0.00% 0.00%
S D Warren Company 169 7,309 558 24,134 -- --
----- ------
PUBLISHING: 0.28% 0.28%
Intermedia Communications, Incorporated 60 6,195 -- --
K III Communications Corporation, Series D* 390 39,780 1,100 112,200 -- --
Nextlink Communications* 3,887 205,039 11,508 607,047
Time Warner, Incorporated, Series M* 369 409,262 882 979,038 -- --
------- ---------
660,276 1,698,285
SOFTWARE: 0.08% 0.06% 0.03%
Sap AG 950 197,179 1,700 352,847 300 62,267
------- ------- ------
TELECOMMUNICATION SERVICES: 0.19% 0.17%
Panamsat Corporation* 352 440,000 846 1,057,500 -- --
------- ---------
TOTAL PREFERRED STOCK
(COST: $2,174,768, $3,731,406,
and $138,276, respectively) $2,551,429 $4,664,113 $208,261
--------- --------- -------
WARRANTS: * 0.02% 0.02% 0.00%
BUSINESS SERVICES: 0.00% 0.00%
Protection One, Incorporated (Expiration
date 06/30/05; strike price $6.60) 960 5,280 3,200 17,600 -- --
----- ------
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) 169 845 558 2,790 -- --
--- -----
TELECOMMUNICATION SERVICES: 0.01% 0.01%
Hyperion Telecommunications, Incorporated
(Expiration date 04/15/01; strike price 220 6,600 830 24,900 -- --
$20.00)
Intercel, Incorporated (Expiration date
02/01/06; strike price $18.15) 1,312 6,232 3,488 16,568 -- --
Microcell Telecommunications, Incorporated
(Expiration date 06/01/06; strike price $0.01) 1,280 16,000 3,760 47,000 -- --
(Expiration date 06/15/06; strike price $0.01) 1,280 800 3,760 2,350 -- --
------ ------
29,632 90,818
TOTAL WARRANTS (COST: $14,215,
$40,134,and $0, respectively) $37,157 $115,408 --
------ -------
</TABLE>
The accompanying notes are an integral part of the financial statements.
116
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------- -------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
----------- ---------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
U.S GOVERNMENT AGENCY AND
MORTGAGE-BACKED OBLIGATIONS: 8.66% 16.72%
FEDERAL AGRICULTURAL MORTGAGE CORPORATION 0.13% 0.15%
7.04% due 08/10/05 -- -- $800,000 $811,872 $300,000 $304,452
------- -------
FEDERAL HOME LOAN BANK: 0.26% 0.33%
7.59% due 03/10/05 -- -- 280,000 294,350 120,000 126,150
9.50% due 02/25/04 -- -- 1,130,000 1,298,088 470,000 539,913
--------- -------
1,592,438 666,063
FEDERAL HOME LOAN MORTGAGE CORPORATION: 1.52% 2.61%
6.50% due 07/01/06 - 08/15/14 -- -- 1,940,000 1,949,700 1,091,582 1,096,793
8.00% due 04/01/23 - 07/01/24 -- -- 2,640,218 2,708,003 1,417,166 1,459,615
9.50% du 12/01/19 - 09/01/20 -- -- 4,289,535 4,625,637 2,460,913 2,652,492
--------- ---------
9,283,340 5,208,900
FEDERAL NATIONAL MORTGAGE ASSOCIATION: 4.81% 8.36%
6.00% due 12/01/08 - 03/01/11 -- -- 7,568,380 7,346,011 2,489,231 2,418,268
6.50% due 10/01/07 - 02/01/26 -- -- 11,130,567 10,764,774 5,726,691 5,560,327
7.00% due 05/01/24 - 12/01/25 -- -- 2,760,815 2,709,069 1,407,221 1,380,836
7.49% due 03/02/05 -- -- 470,000 491,371 200,000 209,094
7.50% due 12/01/06 - 06/01/26 -- -- 5,803,544 5,841,144 5,498,953 5,525,976
7.71% due 04/25/00 -- -- -- -- 605,123 611,930
8.00% due 12/01/99 - 06/01/23 -- -- 1,466,099 1,501,347 -- --
8.50% due 05/01/17 - 06/01/21 -- -- 673,210 704,609 913,823 955,178
---------- ----------
29,358,325 16,661,609
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION: 1.30% 2.90%
7.50% due 11/15/22 - 07/01/23 -- -- 3,586,064 3,613,754 2,198,600 2,216,027
9.00% due 09/15/16 - 10/15/24 -- -- 4,080,746 4,345,072 3,362,373 3,570,882
--------- ---------
7,958,826 5,786,909
OTHER: 0.64% 2.35%
Government Backed Trust,
9.625% due 05/15/02 -- -- 202,094 214,709 84,206 89,462
Government Loan Trust,
8.50% due 04/01/06 -- -- 1,120,000 1,207,819 1,720,000 1,854,865
Government Trust Certificates,
9.25% due 11/15/01 -- -- 488,455 518,627 573,914 609,365
9.40% due 05/15/02 -- -- 1,215,816 1,290,115 1,736,880 1,843,021
Guaranteed Export Trust,
5.20% due 10/15/04 -- -- 212,000 204,111 94,000 90,502
5.23% due 05/15/05 -- -- 367,659 351,380 163,404 156,169
6.61% due 09/15/99 -- -- 96,245 96,914 39,373 39,647
--------- ---------
3,883,675 4,683,031
TOTAL U.S. GOVERNMENT AGENCY AND
MORTGAGE-BACKED OBLIGATIONS
(Cost: $0, $52,598,078 and
$31,425,371, respectively) -- $52,888,476 $33,310,964
---------- ----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
117
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------- -------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
----------- ---------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
U.S. TREASURY OBLIGATIONS: 5.45% 8.62% 25.15%
U.S. TREASURY BILLS: 0.95% 1.04% 12.21%
zero coupon due 01/08/98**** $2,300,000 $2,237,164 $6,500,000 $6,322,420 $25,000,000 $24,317,000
--------- --------- ----------
U.S. TREASURY BONDS: 1.18% 6.71% 10.90%
6.50% due 11/15/26 200,000 191,812 -- -- -- --
7.125% due 02/15/23 520,000 535,600 3,800,000 3,914,000 1,980,000 2,039,400
8.125% due 08/15/19 -- -- -- -- 751,000 856,726
8.875% due 02/15/19 704,000 861,520 11,650,000 14,256,687 7,356,000 9,001,905
9.00% due 11/15/18 -- -- 2,470,000 3,055,464 550,000 680,367
10.75% due 05/15/03 -- -- 862,000 1,041,003 -- --
11.625% due 11/15/04 -- -- 330,000 427,555 590,000 764,416
12.00% due 08/15/13 170,000 239,302 9,170,000 12,908,242 3,560,000 5,011,270
12.375% due 05/15/04 304,000 401,611 1,288,000 1,701,564 171,000 225,906
12.75% due 11/15/10 373,000 517,597 2,650,000 3,677,299 2,267,000 3,145,825
13.875% due 05/15/11 30,000 44,367 -- -- -- --
--------- ---------- ----------
2,791,809 40,981,814 21,725,815
U.S. TREASURY NOTES: 3.32% 0.87% 2.04%
6.125% due 03/31/98 -- -- -- -- 3,980,000 3,992,418
7.00% due 07/15/06 2,455,000 2,525,581 -- -- -- --
7.75% due 12/31/99 230,000 238,230 2,404,000 2,490,015 -- --
7.875% due 08/15/01 600,000 632,346 2,670,000 2,813,940 75,000 79,043
8.00% due 08/15/99 80,000 82,950 -- -- -- --
9.25% due 08/15/98 1,130,000 1,170,432 -- -- -- --
5.75% due 10/31/00 3,150,000 3,099,789 -- -- -- --
10.75% due 05/15/03 67,000 80,913 -- -- -- --
--------- --------- ---------
7,830,241 5,303,955 4,071,461
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $12,831,508, $52,633,905 and
$50,072,937, respectively) $12,859,214 $52,608,189 $50,114,276
---------- ---------- ----------
CORPORATE BONDS: 7.84% 15.33% 15.26%
AEROSPACE: 0.19% 0.16%
Alliant Techsystems, Incorporated,
11.75% due 03/01/03 300,000 331,875 760,000 840,750 -- --
Rohr, Incorporated, 11.625% due 05/15/03 100,000 111,500 100,000 111,500 -- --
------- -------
443,375 952,250
AUTO PARTS: 0.23% 0.00%
Safelite Glass Corpopration,
9.875% due 12/15/06 500,000 535,000 -- -- -- --
-------
BROADCASTING: 0.73% 0.49%
Cablevision Systems Corporation,
10.50% due 05/15/16 250,000 272,500 250,000 272,500 -- --
Capstar Radio Broadcasting,
9.25% due 07/01/07 110,000 106,150 -- -- -- --
EchoStar Communications Corporation,
Step up to 13.125% due 06/05/04 270,000 228,488 830,000 702,388 -- --
</TABLE>
The accompanying notes are an integral part of the financial statements.
118
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------- ------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
---------- ---------- ---------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
BROADCASTING - CONTINUED
EchoStar Satellite Broadcasting Corporation,
Step up to 13.125% due 03/15/04 $ 330,000 $ 237,600 $ 960,000 $ 691,200 -- --
Granite Broadcasting Corporation,
9.375% due 12/01/05 250,000 237,500 250,000 237,500 -- --
Orion Network Systems, Incorporated,
11.25% due 01/15/07 300,000 307,500 500,000 512,500 -- --
12.50% due 01/15/07 580,000 330,600 1,020,000 581,400 -- --
---------- ----------
1,720,338 2,997,488
BUSINESS SERVICES: 0.28% 0.77% 0.86%
Bell & Howell Holdings Company, Series B,
Step up to 11.50% due 03/01/05 430,000 344,000 420,000 336,000 -- --
Comdisco, Incorporated,
5.75% due 02/15/01 -- -- 1,700,000 1,643,764 $1,000,000 $ 966,920
6.50% due 06/15/00 -- -- 1,700,000 1,695,903 750,000 748,193
Protection One Alarm, Incorporated,
Step up to 13.625% due 06/30/05 300,000 312,000 1,000,000 1,040,000 --
---------- ---------- ----------
656,000 4,715,667 1,715,113
CHEMICAL PRODUCTS: 0.12% 0.15%
Revlon Consumer Products Corporation,
Series B, 10.50% due 02/15/03 260,000 276,900 880,000 937,200 -- --
---------- ----------
CONSTRUCTION & BUILDING MATERIALS: 0.05% 0.06%
Crown Packaging Holdings, Series B,
Step up to 12.25% due 11/01/03 490,000 122,500 1,510,000 377,500 -- --
---------- ----------
ELECTRICAL EQUIPMENT: 0.21% 0.18%
Dictaphone Corporation,
11.75% due 08/01/05 170,000 156,400 230,000 211,600 -- --
S C International Services, Incorporated,
13.00% due 10/01/05 300,000 339,000 800,000 904,000 -- --
---------- ----------
495,400 1,115,600
ELECTRIC UTILITIES: 0.00% 0.23% 0.61%
Commonwealth Edison Company,
7.375% due 09/15/02 -- -- 430,000 436,368 500,000 507,405
Edison Mission Energy Funding
Corporation, 6.77% due 09/15/03 -- -- 999,387 995,400 720,158 717,285
---------- ----------
1,431,768 1,224,690
ELECTRONICS: 0.20% 0.18%
Advanced Micro Devices, Incorporated, 50,000 55,688 170,000 189,338 -- --
11.00% due 08/01/03
12.00% due 04/15/03, Series B 380,000 415,150 820,000 895,850 -- --
---------- ----------
470,838 1,085,188
</TABLE>
The accompanying notes are an integral part of the financial statements.
119
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NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------- -------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
--------- ----------- ---------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
ENERGY & UTILITIES: 0.07% 0.33% 0.41%
Allied Waste North America, Incorporated,
10.25% due 12/01/06 $160,000 $ 170,400 $ 540,000 $ 575,100 -- --
Occidental Petroleum Corporation,
5.93% due 11/09/98 -- -- 470,000 467,688 $ 270,000 $ 268,672
Southwest Gas Corporation,
9.75% due 06/15/02 -- -- 290,000 322,297 170,000 188,933
Tennessee Gas Pipeline Company,
7.00% due 03/15/27 -- -- 630,000 629,622 360,000 359,784
---------- ----------- ----------
170,400 1,994,707 817,389
FINANCE & BANKING: 0.78% 5.34% 9.46%
American Telephone and
Telegraph Capital Corporation,
6.65% due 04/30/99 -- -- 900,000 902,520 360,000 361,008
6.16% due 12/03/99 -- -- 2,940,000 2,463,133 1,120,000 1,107,915
APP Financial II Mauritius, Ltd.,
12.00% due 12/29/49 270,000 278,100 730,000 751,900 -- --
Banc One Corporation,
6.70% 03/24/00 -- -- 860,000 864,008 430,000 432,004
Banponce Corporation,
5.75% due 03/01/99 -- -- 490,000 483,346 270,000 266,333
6.378% due 4/08/99 -- -- 590,000 588,593 330,000 329,213
6.34% due 03/29/99 -- -- 350,000 349,012 200,000 199,436
6.665% due 03/05/01 -- -- 820,000 816,121 430,000 427,966
Beal Financial Corporation,
12.75% due 08/15/00 120,000 128,100 380,000 405,650 -- --
Borg Warner Security Corporation,
9.625% due 03/15/07 120,000 120,600 300,000 301,500 -- --
Capital One Bank,
6.42% due 11/12/99 -- -- 3,380,000 3,362,255 1,600,000 1,591,600
Chrysler Financial Corporation,
6.375% due 01/28/00 -- -- 1,270,000 1,266,190 600,000 598,200
The CIT Group Holdings, Incorporated,
6.25% due 10/04/99 -- -- 3,850,000 3,840,375 1,850,000 1,845,375
Den Danske Bank Aktieselskab,
7.40% due 06/15/10 -- -- 830,000 836,331 60,000 463,509
First Nationwide Escrow Corporation,
10.625% due 10/01/03 190,000 208,050 250,000 273,750 -- --
First Nationwide Parent Holdings,
12.50% due 04/15/03 250,000 278,750 750,000 836,250 -- --
First Tennessee National Corporation,
6.75% due 11/15/05 -- -- 350,000 341,121 190,000 185,180
First USA Bank, 5.75% due 01/15/99 -- -- 840,000 833,238 660,000 654,687
Firstar Corporation, 7.15% due 09/01/00 -- -- 820,000 824,846 360,000 362,128
Fleet Financial Group, Incorporated,
7.625% due 12/01/99 -- -- 150,000 153,260 80,000 81,738
General Motors Acceptance Corporation,
8.375% due 01/19/99 -- -- -- -- 960,000 990,019
</TABLE>
The accompanying notes are an integral part of the financial statements.
120
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NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
-------------------- ------------------------ ------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
-------- ---------- ---------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
FINANCE & BANKING - CONTINUED
Globalstar LP/Globastar Capital,
11.250% due 06/15/04 $170,000 $ 159,375 $ 130,000 $ 121,875 -- --
11.375% due 02/15/04 500,000 501,250 -- -- -- --
GST Equipment Funding, Incorporated,
13.25% due 05/01/07 150,000 161,250 300,000 322,500 -- --
Heller Financial, Incorporated,
7.875% due 11/01/99 -- -- 1,000,000 1,027,220 $ 540,000 $ 554,699
Hydro Quebec Enterprises,
7.40% due 03/28/25 -- -- 630,000 682,826 360,000 390,186
Kansallis-Osake-Pankki,
10.00% due 05/01/02 -- -- 360,000 403,722 150,000 168,218
Long Island Savings Bank,
7.00% due 06/13/02 -- -- 450,000 448,961 270,000 269,376
MCN Investment Corporation,
5.84% due 02/01/99 -- -- 800,000 794,920 -- --
Manufacturers Hanover Corporation,
8.50% due 02/15/99 -- -- 1,540,000 1,591,975 210,000 217,088
Mesa Operating Company,
10.625% due 07/01/06 -- -- -- -- 440,000 437,206
Metropolitan Life Insurance Company,
6.30% due 3/11/03 -- -- -- -- 1,155,000 1,110,313
Nationwide Insurance Company,
6.50% due 3 /11/03 -- -- -- -- 1,630,000 1,574,352
Provident Bank, 6.125% due 12/15/00 -- -- 1,040,000 1,017,255 520,000 508,628
Secured Finance, 9.05% due 12/15/04 -- -- 2,500,000 2,776,475 1,480,000 1,643,673
Shawmut National Corporation,
8.625% due 12/15/99 -- -- -- -- 360,000 375,556
Union Oil Company Bank,
7.67% due 04/19/02 -- -- 680,000 702,855 390,000 403,108
Union Planters Corporation,
6.75% due 11/01/05 -- -- 850,000 823,327 450,000 435,879
Union Planters National Bank,
6.29% due 08/20/98 -- -- 1,400,000 1,400,000 870,000 870,000
---------- ----------- -----------
1,835,475 32,607,310 18,854,593
FOOD PRODUCTS: 0.00% 0.22% 0.27%
Nabisco Brands, Incorporated,
8.00% due 01/15/00 -- -- 1,300,000 1,339,871 -- --
RJR Nabisco, Incorporated,
6.25% due 01/15/00 -- -- -- -- 530,000 546,255
----------- -----------
1,339,871 546,255
HOTELS & RESTAURANTS: 0.11% 0.23% 0.25%
Darden Restaurants, Incorporated,
7.125% due 02/01/16 -- -- 490,000 434,625 570,000 505,584
Foodmaker, Incorporated,
9.75% due 06/01/02 250,000 257,500 920,000 947,600 -- --
---------- ----------- -----------
257,500 1,382,225 505,584
</TABLE>
The accompanying notes are an integral part of the financial statements.
121
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
--------------------- ------------------------- ----------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
--------- --------- ---------- ----------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
INDUSTRIALS: 2.57% 2.55% 1.00%
American Pad & Paper Company,
13.00% due 11/15/05 $ 50,000 $ 57,500 $ 40,000 $ 46,000 -- --
American Skiing Company,
12.00% due 07/15/06 500,000 527,500 900,000 949,500 -- --
13.75% due 01/15/07 130,000 84,500 370,000 240,500 -- --
AMF Group, Incorporated, Series B,
10.875% due 03/15/06 250,000 270,000 750,000 810,000 -- --
Astor Corporation, 10.50% due 10/15/06 80,000 86,400 230,000 248,400 -- --
Atlantis Group, Incorporated,
11.00% due 02/15/03 50,000 52,000 130,000 135,200 -- --
Brooks Fiber Properties, Incorporated,
Step up to 10.875% due 03/01/06 220,000 149,600 520,000 353,600 -- --
11.875% due 11/01/06 30,000 19,500 90,000 58,500 -- --
Coleman Escrow Corporation,
zero coupon due 05/15/01 160,000 101,200 340,000 215,050 -- --
Conagra, Incorporated,
7.125% due 10/01/26 -- -- 1,000,000 1,004,440 $575,000 $577,553
Container Corporation of America,
9.75% due 04/01/03 90,000 94,500 200,000 210,000 -- --
10.75% due 05/01/02 120,000 129,600 250,000 270,000 -- --
11.25% due 05/01/04 90,000 97,200 300,000 324,000 -- --
Fairchild Semiconductor Corporation,
10.125% due 03/15/07 410,000 434,600 260,000 275,600 -- --
Flores and Rucks, Incorporated,
9.75% due 10/01/06 250,000 261,250 350,000 365,750 -- --
Freedom Chemical Company,
10.625% due 10/15/06 260,000 272,675 590,000 618,763 -- --
Horseshoe Gaming L.L.C.,
12.75% due 09/03/00 20,000 22,300 40,000 44,600 -- --
Host Marriott Travel Plazas, Incorporated,
Series B, 9.50% due 05/15/05 150,000 157,125 350,000 366,625 -- --
Internorth Incorporated,
9.625% due 03/15/06 -- -- 590,000 684,813 330,000 383,031
Kaiser Aluminum & Chemical Corporation,
12.75% due 02/01/03 250,000 271,563 750,000 814,688 -- --
Knoll, Incorporated, 10.875% due 03/15/06 162,000 178,200 162,000 178,200 -- --
McCaw International, Ltd.,
12.75% due 04/01/07 250,000 121,250 250,000 121,250
McKesson Corporation,
6.60% due 03/01/00 -- -- 950,000 950,950 440,000 440,440
Mesa Operations Company,
10.625% due 07/01/06 10,000 11,350 40,000 45,400 -- --
11.625% due 07/01/06 70,000 53,900 220,000 169,400 -- --
Motors and Gears, Incorporated,
10.75% due 11/15/06 260,000 271,700 740,000 773,300 -- --
North Atlantic Trading, Incorporated,
11.00% due 06/15/04 20,000 20,250 30,000 30,375 -- --
Pathmark Stores, Incorporated,
9.625% due 05/01/03 20,000 19,550 40,000 39,100 -- --
11.625% due 06/015/02 90,000 90,900 210,000 212,100 -- --
</TABLE>
The accompanying notes are an integral part of the financial statements.
122
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
-------------------------- ------------------------- -------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
----------- ---------- ---------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
INDUSTRIALS - CONTINUED
Pen Tab Industries, Incorporated,
10.875% due 02/01/07 $ 200,000 $ 203,500 $ 300,000 $ 305,250 -- --
Pennzoil Company,
9.625% due 11/15/99 -- -- 540,000 575,321 $ 310,000 $ 330,277
Plastic Specialty & Technologies,
Incorporated, 11.25% due 12/01/03 245,000 262,150 885,000 946,950 -- --
Repap New Brunswick, Incorporated,
9.875% due 07/15/00 140,000 141,400 410,000 414,100 -- --
10.625% due 04/15/05 180,000 169,650 530,000 499,525 -- --
Repap Wisconsin, Incorporated,
9.25% due 02/01/02 130,000 131,300 370,000 373,700 -- --
9.875% due 05/01/06 80,000 80,000 200,000 200,000 -- --
Riverwood International Corporation,
10.875% due 04/01/08 270,000 243,675 280,000 252,700 -- --
Roller Bearing Company of America,
Incorporated, 9.625% due 06/15/07 180,000 181,800 370,000 373,700 -- --
Sterling Chemicals, Incorporated,
11.25% due 04/01/08 190,000 203,775 510,000 546,975 -- --
Stone Container Corporation,
7.00% 03/15/27 250,000 268,750 -- -- -- --
12.25% due 04/01/02 20,000 20,600 30,000 30,900 -- --
Sun International, Ltd.,
9.00% due 03/15/07 300,000 305,625 -- -- -- --
WMX Technologies, Incorporated,
7.10% due 08/01/26 -- -- 480,000 489,106 270,000 275,122
---------- ----------- ----------
6,068,338 15,564,331 2,006,423
INSURANCE: 0.00% 0.81%
Metropolitan Life Insurance Company,
6.30% due 11/03/03 -- -- 2,350,000 2,259,079 -- --
Nationwide Life Insurance Company,
6.50% due 02/15/04 -- -- 2,760,000 2,665,774 -- --
-----------
4,924,853
MEDIA & LEISURE: 0.39% 0.69% 0.28%
Alliance Gaming Group,
12.875% due 06/30/03 130,000 146,900 380,000 429,400 -- --
AMC Entertainment, Incorporated,
9.50% due 03/15/09 90,000 93,600 240,000 249,600 -- --
KSL Recreation Group, Incorporated,
10.25% due 05/01/07 20,000 21,000 50,000 52,500 -- --
HMH Properties, Incorporated, Series B,
9.50% due 05/15/05 260,000 270,400 740,000 769,600 -- --
News America Holdings, Incorporated,
7.70% due 10/30/25 -- -- 1,100,000 1,041,612 590,000 558,683
Red Roofs Inn, Incorporated,
9.625% due 12/15/03 -- -- 500,000 517,500 -- --
Six Flags Theme Parks, Incorporated,
zero coupon due 06/15/05 380,000 390,925 1,120,000 1,152,200 -- --
---------- ----------- ----------
922,825 4,212,412 558,683
</TABLE>
The accompanying notes are an integral part of the financial statements.
123
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
--------------------- --------------------- ---------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
--------- --------- --------- ----------- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
MISCELLANEOUS: 0.12% 0.16%
HMC Acquisition Properties, Incorporated,
Series B, 9.00% due 12/15/07 $280,000 $284,550 $940,000 $ 955,275 -- --
-------- ----------
NON-BANK FINANCE: 0.00% 0.16% 0.21%
Ford Capital BV, 9.00% due 08/15/98 -- -- 920,000 947,020 $ 400,000 $ 411,748
---------- ----------
PRINTING, PUBLISHING: 0.30% 0.20%
Sullivan Graphics, Incorporated,
12.75% due 08/01/05 440,000 453,200 840,000 865,200 -- --
Van Hoffman Press, Incorporated,
10.375% due 05/15/07 240,000 252,000 330,000 346,500 -- --
-------- ----------
705,200 1,211,700
Retail Groceries: 0.09% 0.07%
Penn Traffic Company,
8.625% due 12/15/03 250,000 202,500 500,000 405,000 -- --
-------- ----------
RETAIL TRADES: 0.10% 0.40% 0.53%
Levi Strauss & Company,
7.00% 11/01/06 -- -- 1,980,000 1,958,616 1,080,000 1,068,336
Sunglass Hut International, Incorporated,
5.25% due 06/15/03 324,000 230,040 676,000 479,960 -- --
-------- ---------- ----------
230,040 2,438,576 1,068,336
TELECOMMUNICATION SERVICES: 0.05% 0.07%
Hyperion Telecommunications, Incorporated,
Series B, Step up to 13.00% due 04/15/03 220,000 116,050 830,000 437,825 -- --
-------- ----------
TELEPHONE: 0.42% 0.49% 0.00%
Adelphia Communications Corporation,
9.875% due 03/01/07 330,000 316,800 590,000 566,400 -- --
Benedek Communications Corporation,
1.00% due 05/15/06 30,000 18,300 50,000 30,500 -- --
Lenfest Communications, Incorporated,
10.05% due 06/15/06 200,000 217,500 400,000 435,000 -- --
McLeod, Incorporated,
1.00% due 03/01/07 180,000 114,750 400,000 255,000 -- --
Microcell Telecommunications, Series B,
14.00% due 06/01/06 320,000 179,200 940,000 526,400 -- --
Millicom International Cellular,
11.625% due 0815/06 160,000 116,800 340,000 248,200 -- --
USA Mobil Communication, Incorporated,
9.50% due 02/01/04 30,000 28,200 1,020,000 958,800 -- --
-------- ----------
991,550 3,020,300
TOBACCO: 0.00% 0.37% 0.69%
Philip Morris Companies, Incorporated,
7.25% due 09/15/01 -- -- 850,000 856,477 520,000 523,962
6.95% due 06/01/06 -- -- 1,400,000 1,404,662 850,000 852,831
---------- ----------
2,261,139 1,376,793
</TABLE>
The accompanying notes are an integral part of the financial statements.
124
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
---------------------------- --------------------------- -------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
----------- ------------ ----------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
TRANSPORTATION: 0.54% 0.78% 0.67%
Burlington Northern Santa Fe,
7.29% due 06/01/36 -- -- $ 1,070,000 $1,096,875 $ 610,000 $ 625,323
Greyhound Lines, Incorporated,
11.50% due 04/15/07 $ 500,000 $ 530,000 600,000 636,000 690,000 700,307
Norfolk Southern Corporation,
7.05% due 05/01/37 -- -- 1,220,000 1,238,227 -- --
Transtar Holdings L.P., Series B,
Step up to 13.375% due 12/15/03 400,000 336,000 1,100,000 924,000 -- --
U.S. Air, Incorporated,
9.625% due 02/01/01 190,000 194,750 490,000 502,250 -- --
10.00% due 07/01/03 210,000 215,250 355,000 363,875 -- --
----------- ----------- -----------
1,276,000 4,761,227 1,325,630
Transportation Equipment: 0.31% 0.24%
Aftermarket Technology Corporation,
Series B, 12.00% due 08/01/04 180,000 199,800 600,000 666,000 -- --
Newport News Shipbuilding, Incorporated,
9.25% due 12/01/06 500,000 522,500 780,000 815,100 -- --
----------- -----------
722,300 1,481,100
TOTAL CORPORATE BONDS
(Cost: $17,954,557, $92,732,547
and $32,258,163, respectively) $18,503,079 $93,557,532 $30,411,237
----------- ----------- -----------
CONVERTIBLE BONDS: 0.21% 0.08%
Fresenius Medical Care Capital Trust,
9.00% due 12/01/06 250,000 253,750 -- -- -- --
GST Telecommunications, Incorporated,
Step up to 13.875% due 12/15/05 10,000 6,200 10,000 6,200 -- --
Sunglass Hut International, Incorporated,
5.25% due 06/15/03 320,000 224,400 680,000 476,850 -- --
----------- -----------
484,350 483,050
TOTAL CONVERTIBLE BONDS
(Cost: $487,346, $508,372
and $0, respectively) $ 484,350 $ 483,050 --
----------- -----------
FIXED INCOME - OTHER: 0.06% 2.52% 4.62%
MISCELLANEOUS ASSET BACKED SECURITIES: 0.00% 0.97% 1.86%
CPS Auto Grantor Trust, Series 1996 2,
Class A, 6.55% due 07/15/02 -- -- 778,969 780,673 461,611 462,621
CPS Auto Grantor Trust, Series 1996 2,
Class A, 6.70% due 02/15/02 -- -- 458,853 461,721 258,626 260,243
Discover Card Trust, 1992 B,
7.50% due 06/16/00 -- -- 1,330,000 1,341,638 730,000 736,388
Ford Credit Grantor Trust, 1995 B
Certificates, Class A, 5.90% due 10/15/00 -- -- 1,321,785 1,318,890 576,779 575,516
Premier Auto Trust, Series 933, Class A3,
4.90% due 12/15/98 -- -- 337,856 336,589 188,572 187,865
Railcar Trust, 7.75% due 06/01/04 -- -- 639,584 661,151 797,958 824,865
Standard Credit Card Master Trust,
5.50% due 09/07/98 -- -- 990,000 989,069 665,000 664,375
---------- ----------
5,889,731 3,711,873
</TABLE>
The accompanying notes are an integral part of the financial statements.
125
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
--------------------------- -------------------------- ------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
---------- ------------ ---------- ----------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
OTHER COLLATERALIZED MORTGAGE OBLIGATIONS: 0.06% 1.56% 2.76%
Airplane Pass Thru Trust,
10.875% due 03/15/19 $ 135,000 $ 152,545 $ 385,000 $ 435,035 -- --
American Housing Trust, Series IV,
9.552% due 09/25/20 -- -- 1,960,660 2,021,318 $ 996,651 $ 996,557
CBM Funding Corporation,
6.88% due 07/01/07 -- -- 480,000 483,150 270,000 271,772
7.55% due 07/01/04 -- -- 88,409 89,597 50,519 51,198
Green Tree Financial Corporation,
6.55% due 10/15/27 -- -- 900,000 903,375 950,000 953,563
Meritor Mortgage Securities Corporation,
9.40% due 06/01/99 -- -- 56,974 56,903 30,164 30,127
Morgan Stanley Capital Income,
7.63% due 12/15/06 -- -- 1,090,000 1,127,809 620,000 641,506
NationsLink Funding Corporation,
7.53% due 09/20/02 -- -- 1,349,024 1,384,436 809,414 830,661
Nomura Asset Securities Corporation,
6.956% due 07/07/03 -- -- 1,092,469 1,092,695 702,302 702,447
Olympic Automobile Receivable,
6.40% due 09/15/01 -- -- 1,080,000 1,078,650 440,000 439,450
Overseas Private Investment Corporation,
Series 1995, 6.08% due 08/15/04 -- -- 430,000 420,471 360,000 352,022
Structured Asset Securities Corporation,
Series 96 CFL, Class A 1B,
5.751% due 02/25/28 -- -- 56,301 56,072 23,479 23,383
Series 95 C4, Class A 1A,
6.90% due 06/25/26 -- -- 355,204 354,427 205,915 205,465
---------- ----------- ----------
152,545 9,503,938 5,498,151
TOTAL FIXED INCOME - OTHER
(Cost: $135,219, $15,328,104
and $9,205,726, respectively) $ 152,545 $15,393,669 $9,210,024
---------- ----------- ----------
FOREIGN BOND OBLIGATIONS: 0.00% 0.90% 2.02%
FOREIGN CORPORATE BONDS: 0.00% 0.29% 0.49%
British Columbia Hydro & Power,
12.50% due 01/15/14 -- -- 460,000 518,213 260,000 292,903
Korea Development Bank,
7.25% due 05/15/06 -- -- 1,020,000 1,011,871 570,000 565,457
Petroliam Nasional, 6.875% due 07/01/03 -- -- 250,000 249,135 110,000 109,619
----------- ----------
1,779,219 967,979
FOREIGN GOVERNMENT BONDS: 0.00% 0.61% 1.53%
Israel Export Trust, Series 1994-1
GTD Certificates, 6.88% due 01/26/03 -- -- 395,294 398,369 169,412 170,730
Israel State, U.S. Government GTD Notes,
Class 1D, 6.125% due 03/15/03 -- -- -- -- 250,000 243,493
Class 6B, 6.25% due 08/15/02 -- -- 1,090,000 1,074,478 790,000 778,750
Class 4A, 7.125% due 08/15/99 -- -- 2,150,000 2,266,466 355,000 359,448
Class 5B, 8.00% due 11/15/01 -- -- -- -- 1,420,000 1,496,921
----------- ----------
3,739,313 3,049,342
TOTAL FOREIGN BOND OBLIGATIONS
(Cost: $0, $5,590,860 and
$4,008,352, respectively) -- $ 5,518,532 $4,017,321
----------- ----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
126
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NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
-------------- --------------- --------------
Value Value Value
------------ ------------- ------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS: 3.98% 6.53% 10.00%
Repurchase Agreement with State Street
Bank & Trust Company dated 06/30/97 at
5.00%, to be repurchased at $9,387,304 on
0701/97, collateralized by $8,340,000 U.S.
Treasury Bonds, 7.875% due 02/15/21
(valued at $9,824,145, including interest) $9,386,000
----------
Repurchase Agreement with State Street
Bank & Trust Company dated 06/30/97 at
5.00%, to be repurchased at $39,835,532 on
07/01/97, collateralized by $32,125,000 U.S.
Treasury Bonds, 9.125% due 05/15/48
(valued at $40,994,528, including interest) $ 39,830,000
------------
Repurchase Agreement with State Street
Bank & Trust Company dated 06/30/97 at
5.00%, to be repurchased at $19,930,768
on 07/01/97, collateralized by $17,700,000
U.S. Treasury Bonds, 7.875% due 02/15/21
(valued at $21,035,111, including interest) $ 19,928,000
------------
TOTAL INVESTMENTS
(Aggressive, Moderate and Conservative
Asset Allocation Trusts) (Cost:
$193,021,479, $529,230,966
and $185,659,893, respectively) $235,886,223 $610,320,597 $199,234,013
============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
127
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NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
HIGH YIELD TRUST
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
PREFERRED STOCKS - 4.72%
INDUSTRIAL - 0.89%
Sinclair Capital 3,125 $ 331,250
----------
MISCELLANEOUS - 0.45%
TCI Pacific Communications,
Incorporated 1,630 167,890
----------
PUBLISHING - 3.38%
Time Warner, Incorporated 1,133 1,257,267
----------
TOTAL PREFERRED STOCKS
(Cost: $1,661,501) $1,756,407
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
CORPORATE BONDS - 61.21%
BROADCASTING - 10.68%
Cablevision Systems Corporation,
9.875% due 05/15/06 $ 535,000 $ 569,775
Comcast Cellular Holdings,
Incorporated, 9.50% due 05/01/07 425,000 426,063
Echostar Satellite Broadcasting
Corporation, zero coupon
due 03/15/04* 280,000 201,600
Rogers Cablesystems, Ltd.,
10.00% due 03/15/05 115,000 124,200
10.125% due 03/15/05 500,000 530,000
Sinclair Broadcast Group,
Incorporated, 9.00% due 07/15/07 300,000 291,656
TCI Satellite Entertainment, Incorporated,
zero coupon due 02/15/07* 1,170,000 690,300
Tele Communications, Incorporated,
8.75% due 02/15/23 75,000 74,844
9.25% due 01/15/23 265,000 651,487
TV Azteca SA DE CV,
10.50% due 02/15/07 400,000 410,000
----------
3,969,925
COMPUTER & BUSINESS EQUIPMENT - 0.68%
Digital Equipment Corporation,
8.625% due 11/01/12 250,000 254,133
----------
DRUGS & HEALTH CARE - 1.03%
Tenet Healthcare Corporation,
8.625% due 01/15/07 375,000 382,500
----------
ELECTRIC UTILITIES - 1.64%
Cleveland Electric Illuminating
Company, 8.375% due 12/01/11 100,000 100,070
National Power Corporation,
7.875% due 12/15/06 525,000 510,878
----------
610,948
ELECTRONICS - 0.73%
Hyundai Semiconductor,
8.625% due 05/15/07 270,000 272,177
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
FINANCE & BANKING - 7.61%
Amresco, Incorporated,
10.00% due 03/15/04 $205,000 $ 208,075
APP FIN II Mauritius, Ltd.,
12.00% due 12/29/49 305,000 314,150
Blue Bell Funding, Incorporated,
11.85% due 05/01/99 99,000 101,970
First Nationwide Holdings, Incorporated,
9.125% due 01/15/03 100,000 103,000
10.625% due 10/01/03 275,000 301,125
Geberit International SA,
10.125% due 04/15/97 250,000 155,524
Globalstar LP, 11.375% due 02/15/04 625,000 626,563
KMart Funding Corporation,
8.80% due 07/01/10 525,000 504,000
Navistar Financial Corporation,
9.00% due 06/01/02 110,000 113,162
PTC International Finance BV,
Step up to 10.75% due 07/01/97 320,000 197,100
Riggs Capital Trust II,
8.875% due 03/15/27 200,000 203,002
----------
2,827,672
HOTELS & RESTAURANTS - 1.13%
Host Marriott Travel Plazas,
Incorporated, 9.50% due 05/15/05 400,000 419,000
----------
INDUSTRIALS - 11.31%
Advanced Micro Devices,
Incorporated, 11.00% due 08/01/03 250,000 278,437
Azteca Holdings SA,
11.00% due 06/15/02 120,000 121,050
CA FM Lease Trust,
8.50% due 07/15/17 248,259 264,746
EES Coke Battery, Incorporated,
9.328% due 04/15/07 275,000 281,754
Gaylord Container Corporation,
11.50% due 05/15/01 300,000 315,375
Multicanal SA, 10.50% due 02/01/07 345,000 371,737
Nat Sat Servicos, Ltda,
12.75% due 08/05/04 200,000 219,000
Paramount Communications,
Incorporated, 8.25% due 08/01/22 550,000 520,509
RJR Nabisco, Incorporated,
8.75% due 04/15/04 350,000 355,106
S.D. Warren Company,
12.00% due 12/15/04 220,000 244,200
TLC Beatrice International Holdings,
Incorporated, 11.50% due 10/01/05 290,000 327,700
Transamerican Energy Corporation,
Step up to 13.00% due 06/15/02 200,000 144,000
Viacom, Incorporated,
8.00% due 07/07/06 785,000 761,450
----------
4,205,064
</TABLE>
The accompanying notes are an integral part of the financial statements.
128
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NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
INSURANCE - 1.95%
Anthem Insurance Companies,
Incorporated, 9.00% due 04/01/27 $ 700,000 $ 723,380
----------
LEISURE TIME - 3.61%
Grand Casino, Incorporated,
10.125% due 12/01/03 525,000 546,000
Horseshoe Gaming L.L.C.,
9.375% due 06/15/07 375,000 376,875
Station Casinos, Incorporated,
9.75% due 04/15/07 425,000 418,625
----------
1,341,500
METAL & METAL PRODUCTS - 1.54%
Altos Hornos de Mexicos SA,
11.875% due 04/30/04 200,000 215,000
Impress Metal Packaging Holdings,
9.875% due 05/29/07 600,000 356,488
----------
571,488
MISCELLANEOUS - 2.47%
ISP Holdings, Incorporated,
9.00% due 10/15/03 300,000 309,000
Southland Corporation,
5.00% due 12/15/03 725,000 609,906
----------
918,906
PETROLEUM SERVICES - 2.75%
Nuveo Energy Company,
9.50% due 04/15/06 300,000 312,000
Synder Oil Corporation,
8.75% due 06/15/07 385,000 385,962
Vintage Petroleum, Incorporated,
8.625% due 02/01/09 325,000 323,375
----------
1,021,337
POLLUTION CONTROL - 1.26%
Norcal Waste Systems, Incorporated,
13.25% due 11/15/05 420,000 470,400
----------
PUBLISHING - 2.75%
Big Flower Press Holdings,
Incorporated, 8.875% due 07/01/07 500,000 487,500
Outdoor Systems, Incorporated,
8.875% due 06/15/07 550,000 534,187
----------
1,021,687
TELECOMMUNICATION SERVICES - 2.28%
Brooks Fiber Properties, Incorporated,
zero coupon due 03/01/06 500,000 340,000
10.00% due 06/01/07 100,000 101,250
11.875% due 11/01/06 625,000 406,250
----------
847,500
TELEPHONE - 7.78%
IXC Communications, Incorporated,
12.50% due 10/01/05 425,000 481,844
Nextel Communications, Incorporated,
zero coupon due 08/15/04 1,510,000 1,155,150
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
TELEPHONE - CONTINUED
Occidente y Caribe Celular SA,
Step up to 14.00% due 03/15/04 $ 450,000 $ 337,500
Qwest Communications International,
Incorporated, 10.875% due 04/01/07 225,000 244,125
Teleport Communications Group,
zero coupon due 07/01/07 935,000 674,369
-----------
2,892,988
TOTAL CORPORATE BONDS
(Cost: $22,341,021) $22,750,605
-----------
U.S. TREASURY OBLIGATIONS - 4.75%
U.S. TREASURY NOTES - 4.75%
6.50% due 10/15/06 1,775,000 1,767,510
-----------
TOTAL U.S. TREASURY
OBLIGATIONS (Cost: $1,773,130) $1,767,510
-----------
FOREIGN BONDS - 0.34%
Russian Ian, zero coupon due 01/01/00 165,000 125,606
-----------
TOTAL FOREIGN BONDS
(Costs: $123,750) $ 125,606
-----------
FOREIGN GOVERNMENT OBLIGATIONS- 8.30%
REPUBLIC OF ARGENTINA - 1.78%
5.50% due 03/31/23 955,000 661,338
-----------
FEDERAL REPUBLIC OF BRAZIL - 1.15%
4.50% due 04/15/09 550,000 426,250
-----------
REPUBLIC OF COLUMBIA - 0.88%
8.70% due 02/15/16 325,000 327,031
-----------
GOVERNMENT OF JAMAICA - 0.75%
9.625% due 07/02/02 275,000 277,406
-----------
GOVERNMENT OF MEXICO - 1.55%
United Mexican States,
6.25% due 12/31/19 750,000 578,438
-----------
REPUBLIC OF PANAMA - 1.01%
7.875% due 02/13/02 380,000 376,770
-----------
GOVERNMENT OF RUSSIA - 0.12%
Russia Ian Euro,
zero coupon due 12/31/16 60,000 45,675
-----------
REPUBLIC OF VENEZUELA - 1.06%
6.75% due 03/31/20 500,000 393,125
-----------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost: $2,999,902) $3,086,033
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
129
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NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
FIXED INCOME - OTHER - 1.80%
MISCELLANEOUS ASSET BACKED SECURITIES - 1.80%
Long Beach Acceptance Auto
Business, 14.22% due 10/25/03 $ 660,000 $ 669,372
----------
TOTAL FIXED INCOME - OTHER
(Cost: $671,344) $ 669,372
----------
COLLATERIZED MORTGAGE OBLIGATIONS - 4.40%
ALPS, 12.75% due 06/15/06 149,588 161,275
DR Structured Finance,
8.375% due 08/15/15 550,000 511,495
Dillon Read Structured Finance,
6.66% due 08/15/10 265,909 238,727
Jet Equipment Trust,
11.79% due 06/15/13 300,000 380,043
Midland Funding Corporation,
10.33% due 07/23/02 320,190 342,603
----------
1,634,143
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (Cost: $1,590,174) $1,634,143
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 14.48%
$5,381,000 Repurchase Agreement with State
Street Bank & Trust Company dated
06/30/97 at 5.00%, to be repurchased
at $5,381,747 on 07/01/97,
collateralized by $5,430,000
U.S. Treasury Notes, 5.875% due
04/30/98 (valued at $5,541,987,
including interest) $ 5,381,000
-----------
TOTAL INVESTMENTS
(High Yield Trust) (Cost: $36,541,822) $37,170,676
===========
</TABLE>
STRATEGIC BOND TRUST
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
CORPORATE BONDS - 45.60%
APPAREL & TEXTILES - 0.83%
ClarkSchwebel, Incorporated,
10.50% due 04/15/06 $1,150,000 $1,224,750
Synthetic Industries, Incorporated,
9.25% due 02/15/07 1,150,000 1,167,250
----------
2,392,000
AUTO PARTS - 1.14%
Collins & Aikman Floorcover,
10.00% due 01/15/07 1,250,000 1,259,375
CSK Auto, Incorporated,
11.00% due 11/01/06 1,000,000 1,050,000
Speedy Muffler King, Incorporated,
10.875% due 10/01/06 1,000,000 1,000,000
----------
3,309,375
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
BROADCASTING - 0.93%
Cablevision Systems Corporation,
10.50% due 05/15/16 $1,000,000 $1,090,000
Chancellor Broadcasting Company,
9.375% due 10/01/04 500,000 512,500
SFX Broadcasting, Incorporated,
10.75% due 05/15/06 1,000,000 1,080,000
----------
2,682,500
BUSINESS SERVICES - 0.35%
Borg-Warner Security Corporation,
9.125% due 05/01/03 1,000,000 1,000,000
----------
CHEMICAL PRODUCTS - 1.31%
Freedom Chemical Company,
10.625% due 10/15/06 1,150,000 1,206,062
NL Industries, Incorporated,
Step up to 13.00% due 10/15/05 1,500,000 1,402,500
Texas-Petro Chemical Corporation,
11.125% due 07/01/06 1,085,000 1,171,800
----------
3,780,362
CONSTRUCTION & BUILDING MATERIALS - 0.47%
Southdown, Incorporated,
10.00% due 03/01/06 1,250,000 1,359,375
----------
DRUGS & HEALTH CARE - 1.92%
Dade International, Incorporated,
11.125% due 05/01/06 1,000,000 1,115,000
Eye Care Centers of America,
Incorporated, 12.00% due 10/01/03 1,250,000 1,375,000
Integrated Health Services,
Incorporated, 9.50% due 09/15/07 1,000,000 1,022,500
Maxxim Medical, Incorporated,
10.50% due 08/01/06 1,000,000 1,075,000
UROHEALTH Systems,
Incorporated, 12.50% due 04/01/04 1,000,000 970,000
----------
5,557,500
ENERGY & UTILITIES - 2.03%
AES China Generating, Ltd.,
10.125% due 12/15/06 1,000,000 1,065,000
KCS Energy, Incorporated, Series B,
11.00% due 01/15/03 1,000,000 1,080,000
Occidental Petroleum Corporation,
9.25% due 08/01/19 2,225,000 2,633,198
Transamerican Energy Corporation,
Step up to 13.00% due 06/15/02 1,500,000 1,080,000
----------
5,858,198
FINANCE & BANKING - 7.08%
APP FIN II Mauritius, Ltd.,
12.00% due 12/29/49 1,000,000 1,030,000
Central Transport Rental Finance
Corporation, 9.50% due 04/30/03 1,150,000 1,104,000
Dollar Financial Group, Incorporated,
10.875% due 11/15/06 1,000,000 1,070,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
130
<PAGE> 133
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
FINANCE & BANKING - CONTINUED
DVI, Incorporated,
9.875% due 02/01/04 $1,000,000 $ 1,002,500
Foamex Capital Corporation,
9.875% due 06/15/07 1,500,000 1,035,000
Intertek Finance PLC,
10.25% due 11/01/06 1,250,000 1,303,125
Korea Development Bank,
9.60% due 12/01/00 3,000,000 3,258,690
Mesa Operating Company,
10.625% due 07/01/06 1,000,000 1,135,000
Midland Bank PLC,
7.65% due 05/01/25 2,825,000 2,955,826
Paine Webber Group, Incorporated,
7.00% due 03/01/00 1,700,000 1,711,577
United States Leasing International,
8.45% due 01/25/05 1,500,000 1,604,250
U.S. West Capital Funding,
Incorporated, 6.85% due 01/15/02 2,500,000 2,497,325
Venture Holdings Trust,
9.75% due 04/01/04 781,000 765,380
-----------
20,472,673
FOOD & BEVERAGES - 1.23%
Dole Foods, Incorporated,
6.75% due 07/15/00 1,500,000 1,500,885
Specialty Foods Corporation,
11.125% due 10/01/02 1,000,000 990,000
Stroh Brewery Company,
11.10% due 07/01/06 1,000,000 1,050,000
-----------
3,540,885
FOOD STORES - 0.77%
Carr Gottstein Foods Company,
12.00% due 11/15/05 1,000,000 1,110,000
Jitney-Jungle Stores of America,
Incorporated, 12.00% due 03/01/06 1,000,000 1,110,000
-----------
2,220,000
FOREST PRODUCTS - 0.42%
Doman Industries, Ltd.,
8.75% due 03/15/04 1,250,000 1,206,250
-----------
FURNITURE & FIXTURES - 0.18%
Simmons Company,
10.75% due 04/15/06 500,000 526,250
-----------
INDUSTRIALS - 10.84%
Alvey Systems, Incorporated,
11.375% due 01/31/03 750,000 776,250
Berry Plastics Corporation,
12.25% due 04/15/04 1,150,000 1,267,875
CFP Holding, Incorporated,
11.625% due 01/15/04 1,100,000 1,138,500
Coleman Escrow Corporation,
zero coupon due 05/15/01 2,500,000 1,581,250
Dawson Production Services,
Incorporated, 9.375% due 02/01/07 1,250,000 1,268,750
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
INDUSTRIALS - CONTINUED
Ekco Group, Incorporated,
Series B, 9.25% due 04/01/06 $1,000,000 $ 1,022,500
E & S Holdings Corporation,
10.375% due 10/01/06 1,000,000 1,040,000
Exide Electronics Group,
Incorporated, 11.50% due 03/15/06 1,000,000 1,045,000
Harnischfeger Industries,
Incorporated, 6.875% due 02/15/27 2,400,000 2,369,736
Hollinger, Incorporated,
zero coupon due 10/05/13 3,000,000 1,125,000
ICG Holdings, Incorporated,
Step up to 13.50% due 09/15/05 1,250,000 912,500
International Semi Tech Microelectronic,
Step up to 11.50% due 08/15/03 1,550,000 922,250
Jordan Industries, Incorporated,
10.375% due 04/01/09 306,000 324,360
Step up to 11.75% due 08/01/05 2,412,580 1,329,935
Loomis Fargo & Company,
10.00% due 01/15/04 1,000,000 1,002,500
Marcus Cable Company,
Step up to 14.25% due 12/15/05 1,750,000 1,382,500
Packard Bioscience Company,
9.375% due 03/01/07 1,000,000 1,005,000
Pierce Leahy Corporation,
11.125% due 07/15/06 1,000,000 1,090,000
Printpack, Incorporated,
10.625% due 08/15/06 750,000 787,500
Pueblo Xtra International,
9.50% due 08/01/03 1,000,000 970,000
Rayovac Corporation,
10.25% due 11/01/06 1,000,000 1,045,000
Revlon Worldwide Corporation,
Series B, zero coupon due 03/15/01 2,000,000 1,355,000
SC International Services, Incorporated,
13.00% due 10/01/05 1,000,000 1,130,000
Specialty Equipment Companies,
Incorporated,11.375% due 12/01/03 1,000,000 1,090,000
Talley Manufacturing & Technology,
Incorporated, 10.75% due 10/15/03 1,000,000 1,050,000
Terex Corporation,
13.75% due 05/15/02 1,000,000 1,130,000
Twin Laboratories, Incorporated,
10.25% due 05/15/06 1,000,000 1,055,000
Williams Scotsman, Incorporated,
9.875% due 06/01/07 1,100,000 1,111,000
-----------
31,327,406
LEATHER PRODUCTS - 0.19%
Samsonite Corporation,
11.125% due 07/15/05 500,000 557,500
-----------
LEISURE TIME - 1.34%
Trump Atlantic City,
11.25% due 05/01/06 1,500,000 1,466,250
</TABLE>
The accompanying notes are an integral part of the financial statements.
131
<PAGE> 134
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
LEISURE - CONTINUED
Sun International Hotels, Ltd.,
9.00% due 03/15/07 $1,000,000 $1,018,750
Wyndham Hotel Corporation,
10.50% due 05/15/06 1,250,000 1,400,000
----------
3,885,000
METAL & METAL PRODUCTS - 1.45%
Algoma Steel, Incorporated,
12.375% due 07/15/05 1,000,000 1,105,000
Commonwealth Aluminum
Corporation, 10.75% due 10/01/06 1,000,000 1,040,000
EnviroSource, Incorporated,
9.75% due 06/15/03 1,000,000 970,000
Renco Metals, Incorporated,
11.50% due 07/01/03 1,000,000 1,065,000
----------
4,180,000
MISCELLANEOUS SERVICES - 2.01%
American Media Operations, Incorporated,
11.625% due 11/15/04 1,150,000 1,253,500
Doane Products Company,
10.625% due 03/01/06 1,000,000 1,065,000
Hines Horticulture, Incorporated,
11.75% due 10/05/05 1,290,000 1,367,400
Riddell Sports, Incorporated,
10.50% due 07/15/07 1,000,000 1,022,500
Selmer Company, Incorporated,
11.00% due 05/15/05 1,000,000 1,090,000
----------
5,798,400
PAPER - 1.16%
Crown Paper Company,
11.00% due 09/01/05 800,000 796,000
Pen-Tab Industries, Incorporated,
10.875% due 02/01/07 1,250,000 1,271,875
Stone Container Corporation,
12.25% due 04/01/02 1,250,000 1,287,500
----------
3,355,375
PETROLEUM SERVICES - 2.83%
Bellwether Exploration Company,
10.875% due 04/01/07 1,000,000 1,060,000
Benton Oil & Gas Company,
11.625% due 05/01/03 1,000,000 1,101,250
Cliffs Drilling Company,
10.25% due 05/15/03 1,100,000 1,171,500
Costilla Energy, Incorporated,
10.25% due 10/01/06 1,000,000 1,035,000
Cross Timbers Oil Company,
9.25% due 04/01/07 1,000,000 1,025,000
National Energy Group, Incorporated,
10.75% due 11/01/06 1,250,000 1,303,125
Synder Oil Corporation,
8.75% due 06/15/07 1,000,000 1,002,500
United Refining Company,
10.75% due 06/15/07 500,000 492,500
----------
8,190,875
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
POLLUTION CONTROL - 0.92%
Allied Waste Industries, Incorporated,
Step up to 11.30% due 06/01/07 $2,000,000 $1,250,000
Norcal Waste Systems, Incorporated,
12.50% due 11/15/05 1,250,000 1,400,000
------------
2,650,000
REAL ESTATE - 0.44%
Radnor Holdings Corporation,
10.00% due 12/01/03 1,250,000 1,281,250
------------
Retail Trade - 1.81%
Cole National Group, Incorporated,
9.875% due 12/31/06 750,000 785,625
Finlay Fine Jewelry Corporation,
10.625% due 05/01/03 1,000,000 1,050,000
French Fragrances, Incorporated,
10.375% due 05/15/07 1,000,000 1,030,000
Herff Jones, Incorporated,
11.00% due 08/15/05 500,000 540,000
Hills Stores Company,
12.50% due 07/01/03 1,000,000 777,500
Windy Hill Pet Food, Incorporated,
9.75% due 05/15/07 1,040,000 1,040,000
------------
5,223,125
TELECOMMUNICATION SERVICES - 1.94%
Adelphia Communications
Corporation, 12.50% due 05/15/02 1,000,000 1,060,000
Diamond Cable Communications PLC,
Step up to 11.75% due 12/15/05 1,000,000 692,500
International Cabletel Incorporated,
11.50% due 02/01/06 1,500,000 1,042,500
Telewest Communication PLC,
Step up to 11.00% due 10/01/07 1,500,000 1,080,000
United International Holdings,
Incorporated, zero coupon
due 11/15/99 2,250,000 1,732,500
------------
5,607,500
TELEPHONE - 0.53%
Nextlink Communications LLC,
12.50% due 04/15/06 1,000,000 1,065,000
Wireless One, Incorporated,
13.00% due 10/15/03 750,000 478,125
------------
1,543,125
TRANSPORTATION SERVICES - 1.48%
Atlantic Express Transportation
Corporation, 10.75% due 02/01/04 1,250,000 1,300,000
Iron Mountain, Incorporated,
10.125% due 10/01/06 1,000,000 1,070,000
Ryder Trucks, Incorporated,
10.00% due 12/01/06 1,000,000 1,030,000
TFM SA DE CV,
Step up to 11.75% due 06/15/09 1,500,000 870,000
------------
4,270,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
132
<PAGE> 135
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Value
-----
<S> <C>
TOTAL CORPORATE BONDS
(Cost: $129,431,267) $131,774,924
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
CONVERTIBLE BONDS - 0.26%
Fresenius Medical Care Capital
Trust, 9.00% due 12/01/06 $ 750,000 $ 761,250
-----------
TOTAL CONVERTIBLE BONDS
(Cost: $766,875) $ 761,250
-----------
U.S. TREASURY OBLIGATIONS - 9.07%
U.S. TREASURY BONDS - 0.34%
6.625% due 02/15/27 1,020,000 998,009
-----------
U.S. TREASURY NOTES - 8.73%
3.375% due 01/15/07 1,190,000 1,161,369
5.00% due 01/31/98 400,000 398,564
5.625% due 02/28/01 3,165,000 3,094,294
5.75% due 12/31/98 6,000,000 5,982,180
6.125% due 12/31/01 1,180,000 1,168,389
6.25% due 05/31/99 4,560,000 4,572,814
6.50% due 08/31/01 3,000,000 3,014,520
6.625% due 03/31/02 5,500,000 5,549,830
6..625% due 05/15/07 280,000 282,318
-----------
25,224,278
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $26,112,630) $26,222,286
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 6.54%
FEDERAL HOME LOAN BANK - 0.58%
5.89% due 07/24/00 1,200,000 1,183,872
5.94% due 06/13/00 500,000 494,295
-----------
1,678,167
FEDERAL HOME LOAN
MORTGAGE CORPORATION - 1.71%
6.50% TBA** 500,000 478,905
7.595% due 07/15/06 IO 1,845,958 275,971
8.00% due 05/01/10 1,180,389 1,207,444
8.50% due 05/01/08 577,318 600,988
10.00% due 05/15/20 2,253,311 2,390,374
-----------
4,953,682
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 3.65%
Interest Only due 03/17/20, REMIC 25,228,186 795,278
Interest Only due 10/17/36 , REMIC 51,546,000 1,548,395
6.50% due 11/01/10 - 12/01/10 1,443,773 1,421,049
7.00% TBA** 3,900,000 3,820,752
8.80% due 01/25/19, REMIC 1,500,000 1,563,270
10.40% due 04/25/19, REMIC 968,526 1,052,059
13.00% due 11/15/15 301,103 356,430
-----------
10,557,233
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION - 0.17%
7.00% TBA** $ 500,000 $ 490,780
-----------
STUDENT LOAN MARKETING ASSOCIATION - 0.43%
7.20% due 11/09/00 1,200,000 1,227,936
-----------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (Cost: $19,904,169) $18,907,798
-----------
FIXED INCOME - OTHER - 5.19%
MISCELLANEOUS ASSET BACK SECURITIES - 5.19%
Mid State Trust VI, Class A,
7.35% due 07/01/35 15,000,000 14,998,106
-----------
TOTAL FIXED-INCOME - OTHER
(Cost: $14,997,656) $14,998,106
-----------
FOREIGN BONDS - 1.48%
Russia Ian, 1.00% due 12/31/16 5,600,000 4,263,000
-----------
TOTAL FOREIGN BONDS
(Cost: $3,894,875) $ 4,263,000
-----------
FOREIGN GOVERNMENT OBLIGATIONS - 16.09%
REPUBLIC OF ARGENTINA - 3.45%
5.50% due 03/31/23 $14,400,000 9,972,000
-----------
COMMONWEALTH OF AUSTRALIA - 0.09%
10.00% due 10/15/07 AUD 300,000 274,144
-----------
FEDERAL REPUBLIC OF BRAZIL - 2.71%
4.50% due 04/15/14 $ 2,801,610 2,251,794
5.25% due 04/15/24 2,500,000 1,690,625
6.00% due 09/15/13 1,250,000 950,585
6.875% due 04/15/24 3,200,000 2,692,000
10.125% due 05/15/27 250,000 239,297
-----------
7,824,301
NATIONAL REPUBLIC OF BULGARIA - 1.50%
6.562% due 07/28/11 6,000,000 4,320,000
-----------
GOVERNMENT OF CANADA - 0.84%
7.00% due 12/01/06 CAD 590,000 448,177
7.50% due 09/01/00 2,590,000 1,991,859
-----------
2,440,036
GOVERNMENT OF COSTA RICA - 0.20%
Series B, 6.25% due 05/21/15 $ 700,000 567,000
-----------
KINGDOM OF DENMARK - 0.11%
8.00% due 03/15/66 DKK 1,900,000 322,032
-----------
REPUBLIC OF ECUADOR - 0.37%
3.00% due 02/27/15 $ 1,668,272 1,073,950
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
133
<PAGE> 136
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
FEDERAL REPUBLIC OF GERMANY - 0.14%
8.25% due 09/20/01 DEM 610,000 $ 400,499
-----------
REPUBLIC OF IRELAND - 0.62%
6.25% due 04/01/99 IEP 1,170,000 $ 1,778,465
-----------
GOVERNMENT OF MEXICO - 2.52%
6.25% due 12/31/19, Series A $ 1,500,000 1,156,875
6.25% due 12/31/19, Series B 1,400,000 1,079,750
6.812% due 12/31/19 2,500,000 2,318,750
11.50% due 05/15/26 2,400,000 2,739,000
-----------
7,294,375
GOVERNMENT OF MOROCCO - 1.43%
6.8125% due 01/01/09 4,500,000 4,125,938
-----------
REPUBLIC OF PANAMA - 0.93%
3.50% due 07/17/14 3,500,000 2,695,000
-----------
REPUBLIC OF VENEZUELA - 1.18%
6.75% due 03/31/07, Series A 476,190 441,667
6.75% due 03/31/07, Series B 1,190,476 1,104,167
6.75% due 12/18/07 2,000,000 1,855,700
-----------
3,401,534
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost: $40,816,680) $46,489,274
-----------
WARRANTS - 0.02%*
ELECTRONICS - 0.01%
Exide Electronics Group (Expiration
date 03/15/06; strike price $13.475) 1,000 25,000
-----------
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 24
-----------
TOTAL WARRANTS (Cost: $0) $ 45,024
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 15.75% ***
$45,508,000 Repurchase Agreement with UBS
Securities dated 06/30/97 at 5.875%,
to be repurchased at $45,515,427
on 07/01/97, collateralized by
$44,958,000 U.S. Treasury Notes,
7.875% due 04/15/98 (valued at
$47,154,309, including interest) $ 45,508,000
------------
TOTAL INVESTMENTS
(Strategic Bond Trust) (Cost: $281,432,152) $288,969,662
============
</TABLE>
GLOBAL GOVERNMENT BOND TRUST
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS - 9.98%
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 9.98%
2.00% due 12/20/99 yen 1,200,000,000 $10,672,222
5.80% due 12/12/03 13,000,000 12,447,500
-----------
23,119,722
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (Cost: $22,933,709) $23,119,722
FOREIGN GOVERNMENT OBLIGATIONS - 61.80%
COMMONWEALTH OF AUSTRALIA - 12.60%
Queensland Treasury,
6.50% due 06/14/05 AUD 7,000,000 5,115,671
8.00% due 05/14/03 15,000,000 12,033,428
8.00% due 08/14/01 15,000,000 12,044,764
-----------
29,193,863
GOVERNMENT OF CANADA - 5.22%
6.50% due 05/30/01 $ 12,000,000 12,097,500
-----------
GOVERNMENT OF FRANCE - 2.70%
zero coupon due 10/25/25 FRF 250,000,000 6,257,764
-----------
REPUBLIC OF ITALY - 15.30%
zero coupon due 01/10/01 $ 15,000,000 11,990,625
8.50% due 04/01/04 ITL 11,000,000,000 7,091,617
9.00% due 10/01/03 15,000,000,000 9,863,671
9.50% due 05/01/01 10,000,000,000 6,522,238
-----------
35,468,151
GOVERNMENT OF NEW ZEALAND - 11.94%
6.50% due 12/15/00 NZD 20,000,000 13,537,453
8.00% due 02/15/01 20,000,000 14,128,400
-----------
27,665,853
REPUBLIC OF SOUTH AFRICA - 1.71%
12.50% due 12/21/06 ZAR 20,000,000 3,965,255
-----------
KINGDOM OF SWEDEN - 6.95%
zero coupon due 07/31/00 $ 12,000,000 9,907,500
3.20% due 06/07/02 yen 670,000,000 6,198,196
-----------
16,105,696
GOVERNMENT OF UNITED KINGDOM - 5.38%
United Kingdom Treasury,
7.00% due 11/06/01 pound sterling 7,500,000 12,458,534
-----------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost: $142,329,740) $143,212,616
------------
SUPRANATIONAL OBLIGATIONS - 3.30%
INTERNATIONAL BANK FOR RECONSTRUCTION
& DEVELOPMENT (WORLD BANK) - 3.30%
zero coupon due 09/20/99 yen 600,000,000 5,097,278
zero coupon due 07/14/27 ZAR 360,000,000 2,539,123
------------
7,636,401
TOTAL SUPRANATIONAL
OBLIGATIONS (Cost: $7,629,379) $ 7,636,401
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
134
<PAGE> 137
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
CORPORATE BONDS - 14.52%
FINANCE & BANKING - 14.52%
Credit Local de France,
2.75% due 08/29/02 yen 600,000,000 $ 5,434,078
DEPFA Finance NV,
7.125% due 11/11/03 pound sterling 2,500,000 4,085,192
Export-Import Bank of
Korea, 6.50% due 02/10/02 $ 12,000,000 11,748,762
LB Schleswig-Holstien
Finance, 7.00% due 12/29/00 yen 7,500,000 12,388,279
-----------
33,656,311
TOTAL CORPORATE BONDS
(Cost: $33,131,546) $33,656,311
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 10.40%
$24,107,000 Repurchase Agreement with State
Street Bank & Trust Company
dated 06/30/97 at 5.00%, to be
repurchased at $24,110,348 on
07/01/97, collateralized by
$24,045,000 U.S. Treasury Notes,
6.125% due 07/31/00 (valued at
$25,201,657, including interest) $ 24,107,000
------------
TOTAL INVESTMENTS
(Global Government Bond Trust)
(Cost: $230,131,374) $231,732,050
============
</TABLE>
CAPITAL GROWTH BOND TRUST
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 15.43%
U.S. TREASURY BONDS - 8.24%
6.625% due 02/15/27 $3,780,000 $3,698,504
6.75% due 08/15/26 235,000 232,577
----------
3,931,081
U.S. TREASURY NOTES - 7.19%
5.75% due 10/31/00 190,000 186,971
6.25% due 02/15/07 1,400,000 1,369,816
6.375% due 05/15/99 1,860,000 1,869,300
----------
3,426,087
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $7,353,896) $7,357,168
----------
CORPORATE BONDS - 71.85%
AUTOMOBILES - 6.17%
Ford Motor Credit Corporation,
6.375% due 04/15/00 1,000,000 995,620
Chrysler Corporation,
7.45% due 02/01/97 2,000,000 1,946,880
----------
2,942,500
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
BANKING - 10.87%
Bank of New York, Incorporated,
6.625% due 06/15/03 $1,000,000 $ 984,980
Bank of Nova Scotia Halifax,
9.00% due 10/01/99 1,000,000 1,050,930
BCH Cayman Islands, Ltd.,
6.50% due 02/15/06 1,000,000 944,730
Citicorp, 7.125% due 06/01/03 1,000,000 1,009,770
Republic New York Corporation,
9.50% due 04/15/14 1,000,000 1,190,950
-----------
5,181,360
COMPUTERS & BUSINESS EQUIPMENT - 2.38%
GTE Corporation,
8.75% due 11/01/21 1,000,000 1,134,520
-----------
CONGLOMERATES - 2.05%
ITT Corporation, 6.25% due 11/15/00 1,000,000 977,790
-----------
DRUGS & HEALTH CARE - 2.36%
Columbia/HCA Healthcare
Corporation, 8.70% due 02/10/10 1,000,000 1,123,880
-----------
ELECTRIC UTILITIES - 6.11%
Baltimore Gas and Electric Company,
6.125% due 07/01/03 1,000,000 965,490
Northern States Power Company,
6.375% due 04/01/03 1,000,000 976,740
Pacific Gas and Electric Company,
6.25% due 08/01/03 1,000,000 971,240
-----------
2,913,470
FINANCIAL SERVICES - 23.13%
Associates Corporation of North
America, 6.125% due 02/01/98 1,000,000 1,000,800
Bear Stearns Capital Trust,
Incorporated, 7.00% due 01/15/27 2,000,000 1,978,622
CIT Group Holdings, Incorporated,
8.75% due 04/15/98 1,000,000 1,020,250
Commercial Credit Group,
Incorporated, 7.375% due 04/15/05 1,000,000 1,016,750
Donaldson Lufkin and Jenrette,
5.625% due 02/15/16 1,000,000 962,970
Fifth Third Capital Trust ,
Incorporated, 8.136% due 03/15/27 1,000,000 1,020,895
Household Finance Corporation,
7.75% due 06/01/99 1,000,000 1,023,380
Salomon, Incorporated,
5.75% due 03/31/98 1,000,000 996,570
Southern Company Capital Trust,
Incorporated, 8.19% due 02/01/37 1,000,000 1,012,590
Wharf International Finance, Ltd.,
7.625% due 03/13/07 1,000,000 995,540
-----------
11,028,367
FUNERAL SERVICES - 2.10%
Service Corporation International,
6.75% due 06/01/01 1,000,000 998,940
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
135
<PAGE> 138
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
HOUSEHOLD PRODUCTS - 2.51%
Procter and Gamble Profit,
9.36% due 01/01/21 $ 1,000,000 $ 1,197,930
-----------
INSURANCE - 1.99%
Zurich Reinsurance Centre Holdings,
Incorporated, 7.125% due 10/15/23 1,000,000 948,290
-----------
NATURAL GAS - 2.07%
Columbia Gas Systems,
Incorporated, 7.05% due 11/28/07 1,000,000 986,280
-----------
NEWSPAPERS - 2.23%
News America Holdings,
Incorporated, 8.50% due 02/15/05 1,000,000 1,064,920
-----------
PETROLEUM - 2.20%
Ultramar Corporation,
8.00% due 03/15/05 1,000,000 1,048,980
-----------
REAL ESTATE - 2.14%
MEPC Finance, Incorporated,
7.50% due 05/01/03 1,000,000 1,020,470
-----------
TELEPHONE - 3.54%
American Telephone and Telegraph
Corporation, 5.125% due 04/01/01 1,000,000 951,480
BellSouth Savings, ESOP,
9.19% due 07/01/03 694,242 738,632
-----------
1,690,112
TOTAL CORPORATE BONDS
(Cost: $33,712,829) $34,257,809
-----------
FOREIGN GOVERNMENT OBLIGATIONS - 4.25%
GOVERNMENT OF CANADA - 2.28%
Province of Quebec,
8.80% due 04/15/03 1,000,000 1,088,230
-----------
GOVERNMENT OF ITALY - 1.97%
6.875% due 09/27/23 1,000,000 937,800
-----------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost: $2,079,639)
$ 2,026,030
SHORT TERM INVESTMENTS - 9.43%
U.S. TREASURY BILLS - 8.46%
4.81% due 09/04/97 75,000 74,349
4.83% due 09/04/97 53,000 52,538
4.88% due 09/04/97 127,000 125,881
4.90% due 09/04/97 82,000 81,274
4.92% due 09/04/97 13,000 12,884
4.94% due 09/04/97 3,383,000 3,352,826
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
U.S. TREASURY BILLS - CONTINUED
4.95% due 09/04/97 $ 20,000 $ 19,821
4.97% due 09/04/97 37,000 36,668
5.03% due 09/04/97 64,000 63,419
5.04% due 09/04/97 218,000 216,016
-----------
4,035,676
TOTAL INVESTMENTS
(Capital Growth Bond Trust)
(Cost: $47,182,040) $47,676,683
===========
</TABLE>
INVESTMENT QUALITY BOND TRUST
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
CORPORATE BONDS - 35.79%
APPAREL & TEXTILES - 0.25%
Clark-Schwebel, Incorporated,
10.50% due 04/15/06 $ 95,000 $ 101,175
Collins & Aikman Products Company,
11.50% due 04/15/06 250,000 281,250
----------
382,425
AUTO PARTS - 0.12%
Lear Corporation,
9.50% due 07/15/06 175,000 186,375
----------
BROADCASTING - 0.95%
Cablevision Systems Corporation,
9.25% due 11/01/05 130,000 133,900
Chancellor Broadcasting Company,
9.375% due 10/01/04 25,000 25,625
Comcast Cable Communications
Corporation, 9.125% due 10/15/06 1,000,000 1,083,190
Granite Broadcasting Corporation,
10.375% 05/15/05 50,000 50,500
Jacor Communications Company,
8.75% due 06/15/07 60,000 59,100
Young Broadcasting, Incorporated,
9.00% due 01/15/06 100,000 99,000
----------
1,451,315
CHEMICALS - 0.66%
Revlon Worldwide Corporation,
Series B, zero coupon due 03/15/01 270,000 182,925
Rexene Corporation,
11.75% due 12/01/04 250,000 287,812
Terra Industries, Incorporated,
10.50% due 06/15/05 250,000 271,250
Texas-Petro Chemical Corporation,
11.125% due 07/01/06 250,000 270,000
----------
1,011,987
COMPUTERS & BUSINESS EQUIPMENT - 0.11%
Bell & Howell Company,
Step-up to 11.50% due 03/01/05 215,000 172,000
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
136
<PAGE> 139
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
DRUGS & HEALTH CARE - 2.58%
Allegiance Corporation,
7.00% due 10/15/26 $2,570,000 $2,567,918
Owens & Minor, Incorporated,
10.875% due 06/01/06 250,000 278,750
Quorum Health Group, Incorporated,
8.75% due 11/01/05 250,000 258,750
Tenet Healthcare Corporation,
7.875% due 01/15/03 850,000 852,125
----------
3,957,543
EDUCATIONAL SERVICES - 0.04%
Kindercare Learning Centers,
Incorporated, 9.50% due 02/15/09 60,000 58,500
----------
ELECTRIC UTILITIES - 1.32%
Cleveland Electric Illuminating
Company, 7.19% due 07/01/00 1,010,000 1,012,899
Duke Power Company,
7.50% due 04/01/99 700,000 713,006
Virginia Electric & Power Company,
9.375% due 06/01/98 300,000 308,535
----------
2,034,440
ELECTRONICS - 0.17%
Advanced Micro Devices, Incorporated,
11.00% due 08/01/03 175,000 194,906
Fairchild Semiconductor Corporation,
10.125% due 03/15/07 65,000 68,900
----------
263,806
FINANCE & BANKING - 15.42%
American General Finance
Corporation, 8.00% due 02/15/05 1,270,000 1,313,104
Amerus Capital I, 8.85% due 2/01/27 900,000 908,401
Associates Corporation of North America,
9.125% due 04/01/00 300,000 319,065
BankAmerica Corporation,
9.625% due 02/13/01 1,475,000 1,610,744
BanPonce Financial Corporation,
6.80% due 12/21/05 2,150,000 2,139,766
Beneficial Corporation,
8.40% due 05/15/08 350,000 388,700
Credit National, 7.00% due 11/14/05 1,300,000 1,251,250
Dime Capital Trust I,
9.33% due 05/06/27 1,200,00 1,249,668
First Financial Caribbean Corporation,
7.84% due 10/10/06 450,000 453,847
General Electric Capital Corporation,
8.88% due 06/18/03 600,000 664,362
International Lease Finance
Corporation, 7.50% due 03/01/99 1,500,000 1,526,970
National Westminster Bank PLC,
9.45% due 05/01/01 1,000,000 1,090,790
NBD Bancorp, 8.25% due 11/01/24 2,000,000 2,222,560
Norwest Corporation,
6.00% due 03/15/00 900,000 887,526
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
FINANCE & BANKING - CONTINUED
Olympic Financial, Ltd.,
11.50% due 03/15/07 $ 95,000 $ 96,900
Sun Canada Financial Company,
7.25% due 12/15/15 1,500,000 1,409,805
Tembec Finance Corporation,
9.875% due 09/30/05 240,000 247,200
U.S. Bancorp, 7.50% due 06/01/26 2,300,000 2,389,516
U.S. West Capital Funding,
Incorporated, 6.95% due 01/15/37 1,500,000 1,496,715
United VA Bankshares, Incorporated,
8.625% due 04/15/98 1,967,000 2,004,983
-----------
23,671,872
FOOD STORES - 0.10%
Homeland Stores, Incorporated,
10.00% due 08/01/03 160,000 153,600
-----------
HOMEBUILDERS - 0.07%
Standard Pacific Corporation,
8.50% due 06/15/07 115,000 115,000
-----------
INDUSTRIALS - 4.84%
Armco, Incorporated,
9.375% due 11/01/00 450,000 452,250
Astor Corporation,
10.50% due 10/15/06 60,000 64,800
Cabot Safety Acquisition Corporation
12.50% due 07/15/05 175,000 192,500
Cincinnati Milacron, Incorporated,
7.875% due 05/15/00 870,000 884,626
Container Corporation of America,
9.75% due 04/01/03 250,000 262,500
EchoStar DBS Corporation,
12.50% due 07/01/02 225,000 222,750
Guitar Center Management,
11.00% due 07/01/06 120,000 131,400
Harris Chemical of North America,
Step up to 10.25% due 07/15/01 250,000 260,000
International Wire Group,
Incorporated, 11.75% due 06/01/05 150,000 162,750
JCAC, Incorporated,
10.125% due 06/15/06 100,000 105,000
Key Plastics, Incorporated,
10.25% due 03/15/07 95,000 99,750
LDM Technologies, Incorporated,
10.75% due 01/15/07 160,000 169,600
Marcus Cable Operating Company,
Step up to 13.50% due 08/01/04 310,000 269,700
Moog, Incorporated,
10.00% due 05/01/06 150,000 156,000
Neenah Corporation,
11.125% due 05/01/07 70,000 74,200
News America Holdings,
Incorporated, 9.25% due 02/01/13 1,800,000 2,006,946
</TABLE>
The accompanying notes are an integral part of the financial statements.
137
<PAGE> 140
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
INDUSTRIALS - CONTINUED
Pioneer Americas Acquisition
Corporation, 9.25% due 06/15/07 $ 100,000 $ 98,500
Rifkin Acquisitions Partners LP,
11.125% due 01/15/06 270,000 284,850
Southern Peru, Ltd.,
7.90% due 05/30/07 325,000 326,219
Sun Media Corporation,
9.50% due 05/15/07 30,000 30,300
YPF Sociedad Anonima,
8.00% due 02/15/04 1,150,000 1,168,687
----------
7,423,328
INSURANCE - 2.21%
Jackson National Life Insurance
Company, 8.15% due 03/15/27 1,000,000 1,021,010
Ohio National Life Insurance
Company, 8.50% due 05/15/26 1,150,000 1,170,079
Security Benefit Life Company,
8.75% due 05/15/16 1,150,000 1,208,865
----------
3,399,954
LEISURE TIME - 0.24%
Plitt Theatres, Incorporated,
10.875% due 06/15/04 175,000 185,500
Trump Atlantic City,
11.25% due 05/01/06 185,000 180,838
----------
366,338
METAL & METAL PRODUCTS - 0.34%
CSN Iron SA, 9.125% due 06/01/07 140,000 136,850
Howmet Corporation,
10.00% due 12/01/03 350,000 378,000
----------
514,850
MINING - 0.06%
Echo Bay Mines, Ltd.,
11.00% due 04/01/27 95,000 95,475
----------
NON-BANK FINANCE - 0.71%
KFW International Financial, Incorporated,
9.125% due 05/15/01 1,000,000 1,085,310
----------
PETROLEUM SERVICES - 0.71%
Cross Timbers Oil Company,
9.25% due 04/01/07 210,000 215,250
NRG Energy, Incorporated,
7.50% due 06/15/07 615,000 616,906
Plains Resources, Incorporated,
10.25% due 03/15/06 250,000 265,000
----------
1,097,156
PUBLISHING - 0.25%
S.D. Warren Company,
12.00% due 12/15/04 225,000 249,750
Von Hoffmann Press, Incorporated,
10.375% due 05/15/07 25,000 26,250
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
PUBLISHING - CONTINUED
World Color Press, Incorporated,
9.125% due 03/15/03 $ 100,000 $ 102,000
-----------
378,000
RETAIL TRADE - 0.87%
J.C. Penney Company, Incorporated,
7.40% due 04/01/37 1,300,000 1,338,025
-----------
STEEL - 0.47%
AK Steel Corporation,
9.125% due 12/15/06 115,000 117,300
NS Group, Incorporated,
13.50% due 07/15/03 200,000 226,000
Sheffield Steel Corporation,
12.00% due 11/01/01 45,000 43,200
Silgan Holdings, Incorporated,
9.00% due 06/01/09 65,000 65,650
Weirton Steel Corporation,
11.375% due 07/01/04 250,000 267,500
-----------
719,650
TELECOMMUNICATION SERVICES - 1.14%
Heritage Media Corporation,
11.00% due 06/15/02 150,000 158,250
Tele-Communications, Incorporated,
9.25% due 04/15/02 1,500,000 1,599,422
-----------
1,757,672
TELEPHONE - 1.41%
Comcast Cellular Holdings,
Incorporated, 9.50% due 05/01/07 120,000 120,300
Benedek Communications,
13.25% due 05/15/06 215,000 131,150
Lenfest Communications, Incorporated
8.375% due 11/01/05 200,000 197,000
MobileMedia Communications,
Incorporated, 9.375% due 11/01/07 250,000 41,250
Teleport Communications,
Step up to 11.125% due 07/01/07 270,000 194,738
WorldCom, Incorporated,
7.55% due 04/01/04 1,450,000 1,477,144
-----------
2,161,582
TRANSPORTATION - 0.33%
Southern Railway Company,
8.75% due 10/15/03 470,000 512,742
-----------
TRANSPORTATION EQUIPMENT - 0.42%
Hayes Wheels International,
Incorporated, 11.00% due 07/15/06 200,000 220,000
K & F Industries, Incorporated,
10.375% due 09/01/04 250,000 265,000
Walbro Corporation,
9.875% due 07/15/05 150,000 153,750
-----------
638,750
TOTAL CORPORATE BONDS
(Cost: $54,619,122) $54,947,695
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
138
<PAGE> 141
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 38.91%
U.S. TREASURY BONDS - 36.34%
7.50% due 11/15/16 $ 450,000 $ 480,866
11.875% due 11/15/03 14,000,000 17,900,260
12.00% due 08/15/13 26,575,000 37,408,564
-----------
55,789,690
U.S. TREASURY NOTES - 2.57%
5.75% due 10/31/00 4,000,000 3,936,250
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $60,628,712) $59,725,930
-----------
U.S. GOVERNMENT
AGENCY OBLIGATIONS - 19.08%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 7.57%
6.00% due 02/01/03 - 07/01/03 738,050 718,270
6.50% due 08/17/11 500,000 502,810
6.50% due 06/25/19, REMIC 900,000 891,837
7.00% due 07/01/25 - 01/01/26 8,575,944 8,429,076
7.50% due 06/01/10 - 04/01/11 1,058,322 1,075,647
-----------
11,617,640
FEDERAL NATIONAL
MORTGAGE ASSOCIATION - 0.64%
5.90% due 10/25/19, REMIC 1,000,000 982,180
-----------
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION - 10.87%
6.50% due 07/15/08 - 05/15/09 204,295 202,038
7.00% due 04/15/23 - 02/15/24 8,046,560 7,940,848
7.50% due 04/15/02 - 01/15/24 4,032,968 4,063,341
8.00% due 06/15/23 - 10/15/23 2,216,324 2,279,311
8.50% due 09/15/16 - 04/15/22 2,098,099 2,206,436
9.50% due 10/15/09 834 917
-----------
16,692,891
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (Cost: $28,782,781) $29,292,711
-----------
FIXED INCOME - OTHER - 1.31%
MISCELLANEOUS ASSET BACKED SECURITIES - 1.31%
American Express Master Trust,
Series 1992, Class A,
6.60% due 05/15/00 1,500,000 1,505,625
Premier Auto Trust, Series 1993,
Class A2, 4.65% due 11/02/99 512,929 508,600
-----------
2,014,225
TOTAL FIXED INCOME - OTHER
(Cost: $1,993,339) $ 2,014,225
-----------
FOREIGN BONDS - 1.45%
ARGENTINA - 1.45%
Acindar Industria,
11.25% due 02/15/04 75,000 79,125
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
JAPAN - 1.40%
Japan Financial Corporation,
8.70% due 07/30/01 $1,500,000 $ 1,610,220
9.125% due 10/11/00 500,000 534,415
-----------
2,144,635
TOTAL FOREIGN BONDS
(Cost: $2,353,830) $ 2,223,760
-----------
FOREIGN GOVERNMENT OBLIGATIONS - 2.75%
REPUBLIC OF ARGENTINA - 1.30%
11.00% due 10/09/06 $1,800,000 1,998,000
-----------
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost: $1,975,500) $ 1,998,000
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENT - 2.16%
$3,312,000 Repurchase Agreement with Swiss
Bank dated 06/30/97 at 5.90% to be
repurchased at $3,312,543 on
07/01/97, collateralized by $3,086,000
U.S. Treasury Bonds, 7.625% due
12/15/22 (valued at $3,382,545,
including interest) $ 3,312,000
TOTAL INVESTMENTS
(Investment Quality Bond Trust)
(Cost: $153,665,284) $153,514,321
============
</TABLE>
U.S. GOVERNMENT SECURITIES TRUST
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
U.S. TREASURY OBLIGATIONS - 0.44%
U.S. TREASURY BONDS - 0.18%
6.625% due 02/15/27 $ 500,000 $ 489,220
----------
U.S. TREASURY NOTES - 0.26%
6.25% due 02/15/07 500,000 489,220
6.375% due 05/15/00 200,000 200,718
----------
689,938
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $1,159,927) $1,179,158
----------
U.S. GOVERNMENT
AGENCY OBLIGATIONS - 59.07%
FEDERAL HOME LOAN BANK - 1.32%
5.94% due 06/13/00 3,300,000 3,262,347
6.49% due 09/08/97 250,000 250,430
----------
3,512,777
</TABLE>
The accompanying notes are an integral part of the financial statements.
139
<PAGE> 142
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
FEDERAL HOME LOAN
MORTGAGE CORPORATION - 15.13%
6.00% due 10/01/10 $ 1,106,410 $ 1,072,520
6.50% due 07/01/06 13,779 13,741
7.00% due 12/01/04 - 07/01/11 31,848,638 31,845,343
7.50% due 05/01/07 3,864,713 3,934,008
8.25% due 07/01/06 152,415 156,475
9.50% due 08/01/20 2,739,335 2,941,333
11.75% due 07/01/06 - 12/01/13 216,799 241,612
------------
40,205,032
FEDERAL NATIONAL
MORTGAGE ASSOCIATION - 26.31%
6.50% due 12/01/03 - 04/01/26 18,695,908 17,988,717
6.783% due 01/17/03, FRN, REMIC 2,358,962 2,365,596
7.00% TBA** 14,825,000 14,523,756
7.148% due 10/17/09, REMIC 6,000,000 6,055,547
7.50% TBA** 7,000,000 7,015,260
7.52% due 08/26/05 2,475,000 2,458,368
8.00% due 08/01/04 - 10/01/24 27,965 28,507
8.25% due 09/01/08 275,342 284,046
8.50% due 02/01/09 52,731 55,038
8.75% due 08/01/09 287,377 300,838
10.00% due 04/01/16 5,090 5,544
10.50% due 03/01/16 18,111 19,597
11.00% due 09/01/20 7,149,814 7,979,765
11.50% due 09/01/19 759,908 855,322
11.75% due 09/01/11 - 12/01/15 118,482 133,275
12.00% due 01/01/06 - 10/01/15 1,923,248 2,211,578
12.50% due 08/01/15 - 09/01/15 2,496,049 2,930,687
13.00% due 11/01/15 2,016,023 2,386,467
13.50% due 11/01/14 1,005,176 1,209,353
14.50% due 11/01/14 900,295 1,112,989
------------
69,920,250
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION - 14.65%
7.00% TBA** 35,700,000 35,041,692
7.50% due 02/15/07 188,022 190,341
8.00% due 10/15/05 12,928 13,381
9.00% due 02/20/16 - 10/20/17 3,099,012 3,301,119
9.50% due 09/15/20 341,895 370,272
11.00% due 09/15/15 33,071 37,230
------------
38,954,035
STUDENT LOAN
MARKETING ASSOCIATION - 1.66%
7.50% due 03/08/00 4,300,000 4,418,938
------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (Cost: $158,152,817) $157,011,032
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
SHORT TERM INVESTMENTS - 27.75%
Federal Farm Credit Bank,
5.38% due 07/01/97 $13,000,000 $13,000,000
Federal Home Loan Bank,
5.42% due 07/25/97 30,500,000 30,389,794
Student Loan Marketing Association,
5.38% due 07/31/97 30,500,000 30,363,258
-----------
73,753,052
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
REPURCHASE AGREEMENTS - 12.74% ***
$16,930,000 Repurchase Agreement with UBS
Securities dated 06/30/97 at
5.875%, to be repurchased at
$16,932,763 on 07/01/97,
collateralized by $16,726,000 U.S.
Treasury Notes, 7.875% due
04/15/98 (valued at $17,755,437,
including interest) $ 16,930,000
------------
16,931,000 Repurchase Agreement with J. P.
Morgan dated 06/30/97 at 5.95%,
to be repurchased at $16,933,798
on 07/01/97, collateralized by
$16,094,000 U.S. Treasury Notes,
8.875% due 02/15/99 (valued at
$17,853,837, including interest) 16,931,000
------------
33,861,000
TOTAL INVESTMENTS
(U.S. Government Securities Trust)
(Cost: $266,926,796) $265,804,242
============
</TABLE>
MONEY MARKET TRUST
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
U.S. GOVERNMENT
AGENCY OBLIGATIONS - 11.51%
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 7.56%
5.43% due 09/26/97 $20,000,000 $19,737,550
5.49% due 09/05/97 12,750,000 12,621,671
----------
32,359,221
STUDENT LOAN MARKETING ASSOCIATION - 3.95%
5.26% due 09/28/98 9,000,000 9,000,000
5.27% due 02/22/99 7,900,000 7,900,423
-----------
16,900,423
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS $49,259,644
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
140
<PAGE> 143
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
COMMERCIAL PAPER - 88.49%
Abbey National of North America,
5.27% due 08/11/97 $ 15,000,000 $14,909,971
American Express Credit
Corporation, 5.53% due 09/23/97 18,000,000 17,767,740
Associates Corporation of North
America, 5.54% due 10/24/97 20,000,000 19,646,056
Bankers Trust New York Corporation,
5.27% due 08/13/97 15,000,000 14,905,579
Bil North America, Incorporated,
5.60% due 09/02/97 15,000,000 14,853,000
Block Financial Corporation,
5.63% due 07/15/97 20,000,000 19,956,211
Canadian Wheat Board,
5.50% due 10/20/97 20,000,000 19,660,833
Cargill, Incorporated,
5.54% due 10/14/97 9,300,000 9,149,728
Clipper Receivables Corporation,
5.61% due 09/03/97 5,100,000 5,049,136
5.63% due 07/14/97 10,000,000 9,979,670
Daimler Benz of North America,
5.61% due 10/08/97 15,000,000 14,768,588
Duff & Phelps Utility and
Corporation, 5.78% due 01/06/98 3,000,000 2,908,965
E.I. Du Pont De Nemours & Company,
5.56% due 10/29/97 15,000,000 14,722,000
Englehard Corporation,
5.65% due 07/16/97 9,800,000 9,776,929
Ford Motor Credit Company,
5.56% due 08/21/97 10,000,000 9,921,233
General Electric Capital Corporation,
5.56% due 09/03/97 15,000,000 14,851,733
Goldman Sachs Group LP,
5.54% due 08/07/97 5,000,000 4,971,531
5.58% due 07/22/97 15,000,000 14,951,175
Korea Development Bank,
5.63% due 08/27/97 8,800,000 8,721,555
5.65% due 09/03/97 11,000,000 10,889,511
McGraw-Hill, Incorporated,
5.53% due 07/11/97 15,000,000 14,976,958
5.56% due 08/29/97 3,000,000 2,972,663
Merrill Lynch & Company, Incorporated,
5.27% due 08/11/97 10,000,000 9,939,981
5.64% due 07/23/97 10,000,000 9,965,533
People Security Life Insurance,
Company, 5.96% due 08/20/99 10,000,000 10,000,000
Province of Quebec,
5.54% due 10/24/97 20,000,000 19,646,056
Shell Oil Company,
6.15% due 07/01/97 1,197,000 1,197,000
Toronto Dominion Holdings,
5.56% due 10/09/97 17,000,000 16,737,444
Travelers Insurance Company,
5.862% due 06/01/98 6,000,000 6,000,000
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
COMMERCIAL PAPER - CONTINUED
USAA Capital Corporation,
5.60% due 07/17/97 $ 20,000,000 $ 19,950,222
Volkswagen of America,
Incorporated, 5.55% due 08/04/97 15,000,000 14,921,375
------------
TOTAL COMMERCIAL PAPER $378,668,376
------------
TOTAL INVESTMENTS
(Money Market Trust) (Note 2) $427,928,020
============
</TABLE>
LIFESTYLE AGGRESSIVE 1000 TRUST
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 100.00%
INVESTMENT COMPANIES - 100.00%
NASL Series Trust
Blue Chip Growth Trust 236,644 $ 3,204,163
NASL Series Trust
Emerging Growth Trust 100,341 2,166,356
NASL Series Trust Growth Trust 132,626 2,131,306
NASL Series Trust
International Small Cap Trust 147,231 2,133,375
NASL Series Trust
International Stock Trust 252,074 3,193,772
NASL Series Trust
Pilgrim Baxter Growth Trust 349,839 4,282,027
NASL Series Trust
Quantitative Equity Trust 52,050 1,065,468
NASL Series Trust
Real Estate Securities Trust 181,910 3,243,459
-----------
21,419,926
TOTAL INVESTMENTS
(Lifestyle Aggressive 1000 Trust)
(Cost: $19,994,565) $21,419,926
===========
</TABLE>
LIFESTYLE GROWTH 820 TRUST
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 100.00%
INVESTMENT COMPANIES - 100.00%
NASL Series Trust
Blue Chip Growth Trust 335,936 $4,548,570
NASL Series Trust
Emerging Growth Trust 213,663 4,612,978
NASL Series Trust
Equity-Income Trust 297,149 4,555,289
NASL Series Trust Growth Trust 282,411 4,538,344
NASL Series Trust High Yield Trust 344,575 4,555,288
NASL Series Trust
International Small Cap Trust 313,519 4,542,748
NASL Series Trust
International Stock Trust 715,678 9,067,637
</TABLE>
The accompanying notes are an integral part of the financial statements.
141
<PAGE> 144
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
INVESTMENT COMPANIES - CONTINUED
NASL Series Trust
Pilgrim Baxter Growth Trust 744,937 $ 9,118,027
NASL Series Trust
Quantitative Equity Trust 221,669 4,537,555
NASL Series Trust
Real Estate Securities Trust 516,473 9,208,707
NASL Series Trust
Strategic Bond Trust 775,368 9,110,577
NASL Series Trust
U.S. Government Securities Trust 354,497 4,551,743
NASL Series Trust Value Trust 1,260,108 18,233,756
-----------
91,181,219
TOTAL INVESTMENTS
(Lifestyle Growth 820 Trust)
(Cost: $86,345,695) $91,181,219
===========
</TABLE>
LIFESTYLE BALANCED 640 TRUST
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 100.00%
INVESTMENT COMPANIES - 100.00%
NASL Series Trust
Blue Chip Growth Trust 261,403 $ 3,539,394
NASL Series Trust
Emerging Growth Trust 166,258 3,589,512
NASL Series Trust
Equity-Income Trust 462,443 7,089,244
NASL Series Trust Growth Trust 219,753 3,531,437
NASL Series Trust High Yield Trust 268,126 3,544,622
NASL Series Trust
International Stock Trust 278,446 3,527,915
NASL Series Trust
Investment Quality Bond Trust 310,387 3,538,415
NASL Series Trust
Money Market Trust 708,924 7,089,244
NASL Series Trust
Pilgrim Baxter Growth Trust 289,830 3,547,521
NASL Series Trust
Quantitative Equity Trust 172,488 3,530,823
NASL Series Trust
Real Estate Securities Trust 200,942 3,582,801
NASL Series Trust
Strategic Bond Trust 603,340 7,089,244
NASL Series Trust
U.S. Government Securities Trust 551,692 7,083,728
NASL Series Trust Value Trust 735,399 10,641,222
-----------
70,925,122
TOTAL INVESTMENTS
(Lifestyle Balanced 640 Trust)
(Cost: $68,172,863) $70,925,122
===========
</TABLE>
LIFESTYLE MODERATE 460 TRUST
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 100.00%
INVESTMENT COMPANIES - 100.00%
NASL Series Trust
Blue Chip Growth Trust 75,856 $ 1,027,091
NASL Series Trust
Equity-Income Trust 134,195 2,057,217
NASL Series Trust Growth Trust 63,790 1,024,782
NASL Series Trust High Yield Trust 77,807 1,028,608
NASL Series Trust
International Stock Trust 80,802 1,023,760
NASL Series Trust
Investment Quality Bond Trust 180,142 2,053,614
NASL Series Trust
Money Market Trust 411,443 4,114,433
NASL Series Trust
Quantitative Equity Trust 50,054 1,024,604
NASL Series Trust
Strategic Bond Trust 175,082 2,057,216
NASL Series Trust
U.S. Government Securities Trust 240,142 3,083,423
NASL Series Trust Value Trust 142,269 2,058,639
-----------
20,553,387
TOTAL INVESTMENTS
(Lifestyle Moderate 460 Trust)
(Cost: $20,095,295) $20,553,387
===========
</TABLE>
LIFESTYLE CONSERVATIVE 280 TRUST
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 100.00%
INVESTMENT COMPANIES - 100.00%
NASL Series Trust
Blue Chip Growth Trust 28,100 $ 380,470
NASL Series Trust
Equity-Income Trust 74,566 1,143,095
NASL Series Trust
Investment Quality Bond Trust 100,096 1,141,093
NASL Series Trust
Money Market Trust 266,722 2,667,222
NASL Series Trust Growth Trust 23,623 379,615
NASL Series Trust
Strategic Bond Trust 32,428 381,032
NASL Series Trust
U.S. Government Securities Trust 118,609 1,522,941
----------
7,615,468
TOTAL INVESTMENTS
(Lifestyle Conservative 280 Trust)
(Cost: $7,628,882) $7,615,468
==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
142
<PAGE> 145
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1997 (UNAUDITED) - CONTINUED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
Key to Currency Abbreviations
- -----------------------------
AUD - Australian Dollar
BEF - Belgian Franc
CAD - Canadian Dollar
DKK - Danish Krone
FIM - Finnish Markka
FRF - French Franc
DEM - German Deustche Mark
pound sterling - Great British Pound
HKD - Hong Kong Dollar
IDR - Indonesian Rupiah
IEP - Irish Punt
ITL - Italian Lira
KRW - Korean Wan
yen - Japanese Yen
MYR - Malaysian Ringgit
NLG - Netherland Guilder
NZD - New Zealand Dollar
SGD - Singapore Dollar
ZAR - South African Rand
ESP - Spanish Peseta
SEK - Swedish Krone
CHF - Swiss Franc
THB - Thailand Baht
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 June 30, 1997 a portion of this security was pledged to cover
forward commitments purchased.
**** - At June 30, 1997 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.
143
<PAGE> 146
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 thirty five Portfolios: The
Pacific Rim Emerging Markets Trust ("Pacific Rim Emerging Markets"), the Science
& Technology Trust ("Science & Technology"), the International Small Cap Trust
("International Small Cap"), the Emerging Growth Trust ("Emerging Growth"), the
Pilgrim Baxter Growth Trust ("Pilgrim Baxter Growth"), the Small/Mid Cap Trust
("Small/Mid Cap"), the International Stock Trust ("International Stock"), the
Worldwide Growth Trust ("Worldwide Growth"), 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 Value Trust ("Value"), 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 High Yield Trust ("High Yield"), 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"), the Money Market Trust ("Money Market"), the
Lifestyle Aggressive 1000 Trust ("Lifestyle Aggressive 1000"), the Lifestyle
Growth 820 Trust ("Lifestyle Growth 820"), the Lifestyle Balanced 640 Trust
("Lifestyle Balanced 640"), the Lifestyle Moderate 460 Trust ("Lifestyle
Moderate 460") and the Lifestyle Conservative 280 Trust ("Lifestyle Conservative
280"). Each of the Portfolios with the exception of Emerging Growth, Global
Government Bond, Lifestyle Aggressive 1000, Lifestyle Growth 820, Lifestyle
Balanced 640, Lifestyle Moderate 460 and Lifestyle Conservative 280 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 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. Manulife America is a wholly-owned
subsidiary of Manulife.
At June 30, 1997, Manulife America owned seed money shares in Pacific Rim
Emerging Markets, Science & Technology, Pilgrim Baxter Growth, International
Stock, Worldwide Growth, Equity Index, Value and High Yield.
NASL Financial Services, Inc. ("NASL Financial"), a wholly-owned subsidiary of
Security Life, serves as investment adviser for the Trust (See Note 5). NASL
Financial is also the principal underwriter of the variable contracts issued by
Security Life and First North American.
NEW PORTFOLIOS. On January 1, 1997, Science & Technology, Emerging Growth,
Pilgrim Baxter Growth, International Stock, Worldwide Growth, Value, Balanced,
High Yield, Lifestyle Aggressive 1000, Lifestyle Growth 820, Lifestyle Balanced
640, Lifestyle Moderate 460 and Lifestyle Conservative 280 commenced operations.
T. Rowe Price Associates, Inc. ("T. Rowe Price") is the subadviser to Science &
Technology, Warburg Pincus Counsellors, Inc. ("Warburg Pincus") is the
subadviser to Emerging Growth, Pilgrim Baxter & Associates ("PBHG") is the
subadviser to Pilgrim Baxter Growth, Rowe Price-Fleming International, Inc.
("Price-Fleming") is the subadviser to International Stock, Founders Asset
Management, Inc. ("Founders") is the subadviser to Worldwide Growth and Balanced
and Miller Anderson & Sherrerd, LLP ("MAS") is the subadviser to Value and High
Yield. Manufacturers Adviser Corporation ("MAC") is the subadviser to Lifestyle
Aggressive 1000, Lifestyle Growth 820, Lifestyle Balanced 640, Lifestyle
Moderate 460 and Lifestyle Conservative 280.
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 8 for changes in names
related to the reorganization.
2. SIGNIFICANT ACCOUNTING POLICIES. The policies described below are followed by
the Trust in the preparation of the financial statements.
BASIS OF PRESENTATION. The accompanying unaudited financial statements have been
prepared in accordance with generally accepted accounting principles for interim
financial information and pursuant to the rules and regulations of the
Securities and Exchange Commission. In the opinion of management, all
adjustments necessary for a fair presentation of the financial position and the
results of operations have been included. Results for the six months ended June
30, 1997 are not necessarily indicative of annual results.
144
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
SIGNIFICANT ACCOUNTING POLICIES, CONTINUED
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, Money Market, Lifestyle Aggressive 1000, Lifestyle Growth 820,
Lifestyle Balanced 640, Lifestyle Moderate 460 and Lifestyle Conservative 280
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 with the exception of Real Estate Securities, Investment
Quality Bond, Money Market, Lifestyle Aggressive 1000, Lifestyle Growth 820,
Lifestyle Balanced 640, Lifestyle Moderate 460 and Lifestyle Conservative 280
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.
145
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
SIGNIFICANT ACCOUNTING POLICIES, CONTINUED
FORWARD COMMITMENTS. All Portfolios with the exception of Lifestyle Aggressive
1000, Lifestyle Growth 820, Lifestyle Balanced 640, Lifestyle Moderate 460 and
Lifestyle Conservative 280 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 June 30,
1997, forward commitments in Strategic Bond and U.S. Government Securities were
valued at $4,790,437 and $56,580,708, respectively.
SECURITIES LENDING. All Portfolios with the exception of Lifestyle Aggressive
1000, Lifestyle Growth 820, Lifestyle Balanced 640, Lifestyle Moderate 460 and
Lifestyle Conservative 280 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 June 30, 1997, the value of the securities loaned amounted to $831,805,
$6,487,415, $52,029,637, $42,475,641, $6,043,216, $2,227,330, $147,570,942,
$24,432,199, $111,826,607, $32,277,768, $476,005, $43,357,556, $21,254,058,
$27,735,194, $21,628,198, $43,337,124, $40,227,887, $25,693,639, $63,916,531,
$4,554,175, $5,106,127, $45,421,298, $6,624,573, $39,672,356 and $307,688 in
Pacific Rim Emerging Markets, Science & Technology, Emerging Growth, Small/Mid
Cap, International Stock, Worldwide Growth, Global Equity, Growth, Equity,
Quantitative Equity, Equity Index, Blue Chip Growth, Real Estate Securities,
International Growth and Income, Growth and Income, Equity-Income, Balanced,
Aggressive Asset Allocation, Moderate Asset Allocation, Conservative Asset
Allocation, High Yield, Strategic Bond, Capital Growth Bond, Investment Quality
Bond and U.S. Government Securities, respectively. At June 30, 1997, the value
of collateral amounted to $841,650, $6,663,850, $52,686,933, $43,672,736,
$6,378,296, $2,307,884, $156,451,912, $25,525,117, $118,506,307, $33,859,701,
$490,490, $44,614,326, $21,552,324, $29,397,559, $22,059,303, $44,888,816,
$41,374,382, $26,461,130, $65,771,297, $4,737,412, $5,251,974, $47,427,485,
$6,788,119, $40,680,660 and $313,981 Pacific Rim Emerging Markets, Science &
Technology, Emerging Growth, Small/Mid Cap, International Stock, Worldwide
Growth, Global Equity, Growth, Equity, Quantitative Equity, Equity Index, Blue
Chip Growth, Real Estate Securities, International Growth and Income, Growth and
Income, Equity-Income, Balanced, Aggressive Asset Allocation, Moderate Asset
Allocation, Conservative Asset Allocation, High Yield, Strategic Bond, Capital
Growth 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, 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, Lifestyle Balanced 640, Lifestyle Moderate 460 and Lifestyle
Conservative 280 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 Portfolios'
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.
146
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NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
SIGNIFICANT ACCOUNTING POLICIES, CONTINUED
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 5.
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.
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.
3. CAPITAL SHARES. Share activity for the Trust for the six months ended June
30, 1997 was as follows:
<TABLE>
<CAPTION>
SHARES CAPITAL
------------ ------------
<S> <C> <C>
PACIFIC RIM EMERGING MARKETS
Sold ........................ 1,144,471 $ 12,349,725
Redeemed .................... (563,045) (6,105,282)
------------ ------------
Net increase .............. 581,426 6,244,443
============ ============
SCIENCE & TECHNOLOGY
Sold ........................ 2,245,555 $ 28,626,101
Redeemed .................... (237,001) (2,869,219)
------------ ------------
Net increase .............. 2,008,554 25,756,882
============ ============
INTERNATIONAL SMALL CAP
Sold ........................ 2,802,133 $ 39,119,120
Reinvestment of
distributions .............. 4,164 56,628
Redeemed .................... (935,803) (13,042,190)
------------ ------------
Net increase .............. 1,870,494 26,133,558
============ ============
EMERGING GROWTH
Sold ........................ 1,808,767 $ 35,940,097
Redeemed .................... (1,018,866) (20,177,271)
------------ ------------
Net increase .............. 789,901 15,762,826
============ ============
PILGRIM BAXTER GROWTH
Sold ........................ 4,144,976 $ 47,649,660
Redeemed .................... (204,936) (2,222,667)
------------ ------------
Net increase .............. 3,940,040 45,426,993
============ ============
SMALL/MID CAP
Sold ........................ 2,816,582 $ 37,765,376
Redeemed .................... (1,935,606) (26,242,157)
------------ ------------
Net increase .............. 880,976 11,523,219
============ ============
INTERNATIONAL STOCK
Sold ........................ 3,701,962 $ 43,183,558
Redeemed .................... (232,793) (2,812,884)
------------ ------------
Net increase .............. 3,469,169 40,370,674
============ ============
WORLDWIDE GROWTH
Sold ........................ 846,102 $ 10,959,753
Redeemed .................... (3,844) (50,085)
------------ ------------
Net increase .............. 842,258 10,909,668
============ ============
</TABLE>
147
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
CAPITAL SHARES, CONTINUED
<TABLE>
<CAPTION>
SHARES CAPITAL
------------- -------------
<S> <C> <C>
GLOBAL EQUITY
Sold .......................... 2,656,596 $ 46,628,252
Reinvestment of distributions . 4,509,999 72,926,679
Redeemed ...................... (2,428,289) (43,198,250)
------------- -------------
Net increase ................ 4,738,306 76,356,681
============= =============
GROWTH
Sold .......................... 2,837,696 $ 41,568,497
Reinvestment of distributions . 162 2,288
Redeemed ...................... (442,827) (6,331,093)
------------- -------------
Net increase ................ 2,395,031 35,239,692
============= =============
EQUITY
Sold .......................... 3,572,818 $ 73,935,945
Reinvestment of distributions . 14,581,215 258,233,327
Redeemed ...................... (6,825,709) (142,122,389)
------------- -------------
Net increase ................ 11,328,324 190,046,883
============= =============
QUANTITATIVE EQUITY
Sold .......................... 1,427,109 $ 26,891,383
Redeemed ...................... (282,789) (5,298,031)
------------- -------------
Net increase ................ 1,144,320 21,593,352
============= =============
EQUITY INDEX
Sold .......................... 1,001,421 $ 11,613,666
Redeemed ...................... (402,288) (4,668,626)
------------- -------------
Net increase ................ 599,133 6,945,040
============= =============
BLUE CHIP GROWTH
Sold .......................... 8,245,635 $ 112,582,442
Reinvestment of distributions . 6,465,537 77,457,126
Redeemed ...................... (3,006,271) (42,980,904)
------------- -------------
Net increase ................ 11,704,901 147,058,664
============= =============
REAL ESTATE SECURITIES
Sold .......................... 2,611,411 $ 44,147,843
Redeemed ...................... (249,313) (4,221,970)
------------- -------------
Net increase ................ 2,362,098 39,925,873
============= =============
VALUE
Sold .......................... 4,404,110 $ 58,879,654
Redeemed ...................... (4,786) (61,154)
------------- -------------
Net increase ................ 4,399,324 58,818,500
============= =============
INTERNATIONAL GROWTH AND INCOME
Sold .......................... 4,739,094 $ 53,871,183
Reinvestment of distributions . 1,115,731 11,982,954
Redeemed ...................... (2,994,215) (34,291,389)
------------- -------------
Net increase ................ 2,860,610 31,562,748
============= =============
GROWTH AND INCOME
Sold .......................... 6,857,718 $ 138,690,706
Reinvestment of distributions . 4,267,736 79,422,565
Redeemed ...................... (1,833,831) (37,140,309)
------------- -------------
Net increase ................ 9,291,623 180,972,962
============= =============
EQUITY-INCOME
Sold .......................... 7,393,550 $ 112,875,935
Reinvestment of distributions . 6,521,914 89,480,654
Redeemed ...................... (2,008,763) (31,444,118)
------------- -------------
Net increase ................ 11,906,701 170,912,471
============= =============
</TABLE>
148
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
CAPITAL SHARES, CONTINUED
<TABLE>
<CAPTION>
SHARES CAPITAL
------------- -------------
<S> <C> <C>
BALANCED
Sold ............................................................................ 1,130,000 $ 19,341,438
Redeemed ........................................................................ (577,967) (9,957,418)
------------- -------------
Net increase .................................................................. 552,033 9,384,020
============= =============
AGGRESSIVE ASSET ALLOCATION
Sold ............................................................................ 264,396 $ 3,507,223
Reinvestment of distributions ................................................... 1,870,947 22,526,197
Redeemed ........................................................................ (1,402,205) (18,619,404)
------------- -------------
Net increase .................................................................. 733,138 7,414,016
============= =============
MODERATE ASSET ALLOCATION
Sold ............................................................................ 452,447 $ 5,229,890
Reinvestment of distributions ................................................... 5,474,371 61,148,726
Redeemed ........................................................................ (5,608,212) (69,053,325)
------------- -------------
Net decrease .................................................................. (318,606) (2,674,709)
============= =============
CONSERVATIVE ASSET ALLOCATION
Sold ............................................................................ 144,657 $ 1,677,413
Reinvestment of distributions ................................................... 1,713,268 18,160,638
Redeemed ........................................................................ (1,937,575) (22,028,447)
------------- -------------
Net decrease .................................................................. (79,650) (2,190,396)
============= =============
HIGH YIELD
Sold ............................................................................ 2,931,717 $ 37,304,709
Redeemed ........................................................................ (166,851) (2,096,723)
------------- -------------
Net increase .................................................................. 2,764,866 35,207,986
============= =============
STRATEGIC BOND
Sold ............................................................................ 5,625,331 $ 66,001,628
Reinvestment of distributions ................................................... 1,453,112 16,245,788
Redeemed ........................................................................ (1,307,739) (15,342,200)
------------- -------------
Net increase .................................................................. 5,770,704 66,905,216
============= =============
GLOBAL GOVERNMENT BOND
Sold ............................................................................ 294,606 $ 4,221,130
Reinvestment of distributions ................................................... 1,530,041 20,181,238
Redeemed ........................................................................ (1,436,064) (20,297,809)
------------- -------------
Net increase .................................................................. 388,583 4,104,559
============= =============
CAPITAL GROWTH BOND
Sold ............................................................................ 529,264 $ 5,794,719
Redeemed ........................................................................ (351,415) (3,843,152)
------------- -------------
Net increase .................................................................. 177,849 1,951,567
============= =============
INVESTMENT QUALITY BOND
Sold ........................................................................... 1,142,547 $ 13,081,549
Reinvestment of distributions ................................................... 944,301 10,368,425
Redeemed ........................................................................ (1,269,165) (14,770,974)
------------- -------------
Net increase .................................................................. 817,683 8,679,000
============= =============
U.S. GOVERNMENT SECURITIES
Sold ............................................................................ 1,935,548 $ 25,092,164
Reinvestment of distributions ................................................... 1,050,320 13,118,502
Redeemed ........................................................................ (1,937,387) (25,344,638)
------------- -------------
Net increase .................................................................. 1,048,481 12,866,028
============= =============
MONEY MARKET
Sold ............................................................................ 37,550,412 $ 375,504,115
Reinvestment of distributions ................................................... 990,992 9,909,922
Redeemed ........................................................................ (32,111,720) (321,117,195)
------------- -------------
Net increase .................................................................. 6,429,684 64,296,842
============= =============
</TABLE>
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
CAPITAL SHARES, CONTINUED
<TABLE>
<CAPTION>
SHARES CAPITAL
------------ ------------
<S> <C> <C>
LIFESTYLE AGGRESSIVE 1000
Sold ........................ 1,701,002 $ 20,788,670
Reinvestment of distributions 14,980 176,018
Redeemed .................... (77,250) (950,318)
------------ ------------
Net increase .............. 1,638,732 20,014,370
============ ============
LIFESTYLE GROWTH 820
Sold ........................ 6,816,312 $ 85,681,394
Reinvestment of distributions 62,467 751,477
Redeemed .................... (6,944) (85,353)
------------ ------------
Net increase .............. 6,871,835 86,347,518
============ ============
LIFESTYLE BALANCED 640
Sold ........................ 5,446,894 $ 68,089,617
Reinvestment of distributions 86,866 1,041,813
Redeemed .................... (75,629) (935,435)
------------ ------------
Net increase .............. 5,458,131 68,195,995
============ ============
LIFESTYLE MODERATE 460
Sold ........................ 1,592,148 $ 19,946,336
Reinvestment of distributions 28,598 344,371
Redeemed .................... (15,407) (191,048)
------------ ------------
Net increase .............. 1,605,339 20,099,659
============ ============
LIFESTYLE CONSERVATIVE 280
Sold ........................ 601,510 $ 7,481,277
Reinvestment of distributions 16,589 197,618
Redeemed .................... (3,561) (44,205)
------------ ------------
Net increase .............. 614,538 7,634,690
============ ============
</TABLE>
4. 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 six months ended June 30, 1997:
<TABLE>
<CAPTION>
PURCHASES SALES
----------------------------------------- -------------------------------------
PORTFOLIO U.S. GOVERNMENT OTHER ISSUES U.S. GOVERNMENT OTHER ISSUES
----------------- ----------------------------------------- -------------------------------------
<S> <C> <C> <C> <C>
Pacific Rim Emerging Markets............ ----- $10,015,915 ----- $7,955,676
Science & Technology*................... ----- 33,681,155 ----- 9,509,844
International Small Cap................. ----- 42,576,546 ----- 15,600,585
Emerging Growth*........................ ----- 235,641,604 ----- 133,094,525
Pilgrim Baxter Growth*.................. ----- 45,411,936 ----- 5,484,962
Small/Mid Cap........................... ----- 142,517,648 ----- 137,911,605
International Stock*.................... ----- 64,305,476 ----- 23,585,899
Worldwide Growth*....................... ----- 10,433,469 ----- 1,395,529
Global Equity........................... ----- 153,571,523 ----- 119,043,378
Growth.................................. ----- 84,451,567 ----- 55,429,309
Equity.................................. ----- 1,451,524,770 ----- 1,546,574,377
Quantitative Equity..................... ----- 76,551,669 ----- 55,609,866
Equity Index............................ ----- 143,461 ----- -----
Blue Chip Growth........................ ----- 138,010,707 ----- 79,605,941
Real Estate Securities.................. ----- 125,252,384 ----- 80,187,854
Value*.................................. ----- 54,073,258 ----- 4,847,552
International Growth and Income......... ----- 118,048,282 ----- 104,910,700
Growth and Income....................... ----- 303,354,895 ----- 204,908,056
Equity-Income........................... ----- 152,661,643 ----- 81,639,996
Balanced*............................... $46,803,791 148,117,174 $10,894,584 170,304,631
Aggressive Asset Allocation............. 20,666,715 100,194,205 40,800,971 89,510,809
Moderate Asset Allocation............... 81,343,958 186,419,404 161,124,134 174,110,996
Conservative Asset Allocation........... 82,522,423 29,472,422 98,985,509 30,837,183
High Yield*............................. ----- 35,956,905 ----- 4,948,820
</TABLE>
150
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
PURCHASES AND SALES OF SECURITIES, CONTINUED
<TABLE>
<CAPTION>
PURCHASES SALES
--------------------------------------- --------------------------------------
PORTFOLIO U.S. GOVERNMENT OTHER ISSUES U.S. GOVERNMENT OTHER ISSUES
----------------- --------------- -------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Strategic Bond....................... $43,813,157 $157,960,610 $66,082,543 $111,125,369
Global Government Bond............... 28,931,103 134,717,210 47,753,250 131,982,592
Capital Growth Bond.................. 7,010,266 14,922,093 4,764,580 13,401,285
Investment Quality Bond.............. 18,169,313 30,581,609 16,319,978 31,125,646
U.S. Government Securities........... 95,360,126 ----- 110,176,408 148,903
Lifestyle Aggressive 1000*........... ----- 21,333,615 ----- 1,319,685
Lifestyle Growth 820*................ ----- 87,019,913 ----- 672,395
Lifestyle Balanced 640*.............. ----- 69,455,571 ----- 1,259,576
Lifestyle Moderate 460*.............. ----- 20,381,263 ----- 281,604
Lifestyle Conservative 280*.......... ----- 7,811,951 ----- 177,260
</TABLE>
* For the period January 1, 1997 (commencement of operations) to June 30, 1997.
Purchases and sales for Money Market for the six months ended June 30, 1997 were
$2,710,215,263 and $2,637,793,917, respectively.
At June 30, 1997, tax basis net unrealized appreciation (depreciation) was equal
to the aggregate gross unrealized appreciation for all securities in which there
was an excess of market value over tax cost and aggregate gross unrealized
depreciation for all securities in which there was an excess of tax cost over
market value as follows:
<TABLE>
<CAPTION>
TAX BASIS NET
UNREALIZED TAX BASIS TAX BASIS
TAX BASIS APPRECIATION UNREALIZED UNREALIZED
PORTFOLIO COST (DEPRECIATION) APPRECIATION DEPRECIATION
-------------------- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Pacific Rim Emerging Markets......... $25,824,433 $1,589,786 $4,067,269 $2,477,483
Science & Technology................. 26,931,213 2,227,340 2,604,976 377,636
International Small Cap.............. 117,317,818 14,436,181 18,005,074 3,568,893
Emerging Growth...................... 191,279,757 24,955,279 29,281,873 4,326,594
Pilgrim Baxter Growth................ 43,762,717 4,484,364 5,203,985 719,621
Small/Mid Cap ....................... 177,746,467 25,762,950 27,602,552 1,839,602
International Stock.................. 71,930,948 7,917,175 9,048,390 1,131,215
Worldwide Growth..................... 10,942,538 806,677 918,798 112,121
Global Equity........................ 699,286,345 133,668,009 144,181,546 10,513,537
Growth............................... 90,177,346 13,615,592 13,780,364 164,772
Equity............................... 1,250,181,251 154,319,473 179,294,601 24,975,128
Quantitative Equity.................. 110,230,088 20,530,616 22,739,466 2,208,850
Equity Index......................... 17,131,406 97,983 97,983 -----
Blue Chip Growth..................... 456,474,778 104,486,764 108,655,019 4,168,255
Real Estate Securities............... 115,480,907 6,612,261 7,773,459 1,161,198
Value................................ 59,417,625 4,228,636 4,620,324 391,688
International Growth and Income...... 203,292,009 13,585,308 20,715,788 7,130,480
Growth and Income.................... 961,086,020 401,681,806 405,597,111 3,915,305
Equity-Income........................ 682,422,652 99,055,189 107,134,595 8,079,406
Balanced............................. 151,648,723 9,878,123 11,665,044 1,786,921
Aggressive Asset Allocation.......... 193,238,822 42,647,401 46,201,902 3,554,501
Moderate Asset Allocation............ 529,520,841 80,799,756 88,976,950 8,177,194
Conservative Asset Allocation........ 185,692,596 13,541,417 15,522,074 1,980,657
High Yield........................... 36,544,335 626,341 715,037 88,696
Strategic Bond....................... 281,521,974 7,584,405 10,008,305 2,423,900
Global Government Bond............... 230,309,998 1,422,052 2,710,644 1,288,592
Capital Growth Bond.................. 47,192,111 484,572 784,516 299,944
Investment Quality Bond.............. 153,665,284 (150,963) 1,540,486 1,691,449
U.S. Government Securities........... 266,940,732 825,223 1,253,037 427,814
Lifestyle Aggressive 1000............ 20,051,610 1,368,316 1,368,316 -----
Lifestyle Growth 820................. 86,374,098 4,807,121 4,830,318 23,197
Lifestyle Balanced 640............... 68,218,500 2,706,622 2,765,505 58,883
Lifestyle Moderate 460............... 20,105,621 447,766 470,912 23,146
Lifestyle Conservative 280........... 7,635,771 (20,303) 26,811 47,114
</TABLE>
151
<PAGE> 154
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
PURCHASES AND SALES OF SECURITIES, CONTINUED
The following is a summary of futures contracts activity for the six months
ended June 30, 1997:
<TABLE>
<CAPTION>
SALES OF FUTURES CONTRACTS
--------------------------------------------
AGGREGATE
NUMBER OF FACE VALUE OF UNREALIZED
CONTRACTS CONTRACTS LOSS
--------- ---------- ---------
<S> <C> <C> <C>
EQUITY INDEX:
S&P 500 FUTURES:
Outstanding at December 31,1996......... ---- ----
Contracts opened...................... ---- ----
Contracts closed...................... ---- ----
---- ----
Outstanding at June 30, 1997............ ---- ----
==== ====
AGGRESSIVE ASSET ALLOCATION:
S&P 500 FUTURES:
Outstanding at December 31, 1996........ 19 $4,750,000
Contracts opened...................... 45 11,250,000
Contracts closed...................... (51) (12,750,000)
-- ----------
Outstanding at June 30, 1997............ 13 $3,250,000 ($41,379)
== ========== =======
S&P MIDCAP 400 FUTURES:
Outstanding at December 31, 1996........ ---- ----
Contracts opened...................... 20 $5,000,000
Contracts closed...................... (10) (2,500,000)
-- ----------
Outstanding at June 30, 1997............ 10 $2,500,000 ($7,080)
== ========== ======
CAC 40 FUTURES:
Outstanding at December 31, 1996........ ---- ----
Contracts opened...................... ---- ----
Contracts closed...................... ---- ----
Outstanding at June 30, 1997............ ---- ----
==== ====
DAX 30 FUTURES:
Outstanding at December 31, 1996........ ---- ----
Contracts opened...................... ---- ----
Contracts closed...................... ---- ----
Outstanding at June 30, 1997............ ---- ----
==== ====
FTSE 100 FUTURES:
Outstanding at December 31, 1996........ ---- ----
Contracts opened...................... ---- ----
Contracts closed...................... ---- ----
Outstanding at June 30, 1997............ ---- ----
==== ====
NIKKEI 300 FUTURES:
Outstanding at December 31, 1996........ ---- ----
Contracts opened...................... ---- ----
Contracts closed...................... ---- ----
Outstanding at June 30, 1997............ ---- ----
==== ====
MODERATE ASSET ALLOCATION:
S&P 500 FUTURES:
Outstanding at December 31, 1996........ 37 $9,250,000
Contracts opened...................... 125 31,250,000
Contracts closed...................... (138) (34,500,000)
--- ----------
Outstanding at June 30, 1997............ 24 $6,000,000 ($76,392)
==== ========== =======
S&P MIDCAP 400 FUTURES:
Outstanding at December 31, 1996........ ---- ----
Contracts opened...................... 36 $9,000,000
Contracts closed...................... (18) (4,500,000)
-- ----------
Outstanding at June 30, 1997............ 18 $4,500,000 ($12,744)
== ========== =======
</TABLE>
<TABLE>
<CAPTION>
PURCHASES OF FUTURES CONTRACTS
------------------------------------------------------------
AGGREGATE
NUMBER OF FACE VALUE OF UNREALIZED
CONTRACTS CONTRACTS GAIN
---------- ---------- ----------
<S> <C> <C> <C>
EQUITY INDEX:
S&P 500 FUTURES:
Outstanding at December 31,1996......... 20 $5,000,000
Contracts opened...................... 44 11,000,000
Contracts closed...................... (27) (6,750,000)
-- ----------
Outstanding at June 30, 1997............ 37 $9,250,000 $1,076,505
== ========== ==========
AGGRESSIVE ASSET ALLOCATION:
S&P 500 FUTURES:
Outstanding at December 31, 1996........ ---- ----
Contracts opened...................... 57 $14,250,000
Contracts closed...................... (57) (14,250,000)
-- ----------
Outstanding at June 30, 1997............ ---- ----
==== ====
S&P MIDCAP 400 FUTURES:
Outstanding at December 31, 1996........ ---- ----
Contracts opened...................... 42 $10,500,000
Contracts closed...................... (42) (10,500,000)
-- ----------
Outstanding at June 30, 1997............ ---- ----
==== ====
CAC 40 FUTURES:
Outstanding at December 31, 1996........ 6 FRF 48,000
Contracts opened...................... 30 240,000
Contracts closed...................... (21) (168,000)
-- -------
Outstanding at June 30, 1997............ 9 FRF 72,000 $165,804
=== ======== ========
DAX 30 FUTURES:
Outstanding at December 31, 1996........ 3 DEM 9,000
Contracts opened...................... 16 48,000
Contracts closed...................... (11) (33,000)
-- ------
Outstanding at June 30, 1997............ 5 DEM 15,000 $174,177
=== ====== ========
FTSE 100 FUTURES:
Outstanding at December 31, 1996........ 3(pound sterling) 7,500
Contracts opened...................... 16 40,000
Contracts closed...................... (11) (27,500)
-- ------
Outstanding at June 30, 1997............ 5(pound sterling) 12,500 $70,466
=== ====== =======
NIKKEI 300 FUTURES:
Outstanding at December 31, 1996........ 40 Yen 400,000
Contracts opened...................... 208 2,080,000
Contracts closed...................... (144) (1,440,000)
--- ---------
Outstanding at June 30, 1997............ 64 Yen 640,000 $348,520
==== ========== ========
MODERATE ASSET ALLOCATION:
S&P 500 FUTURES:
Outstanding at December 31, 1996........ ---- ----
Contracts opened...................... 76 $19,000,000
Contracts closed...................... (76) (19,000,000)
-- ----------
Outstanding at June 30, 1997............ ---- ----
==== ====
S&P MIDCAP 400 FUTURES:
Outstanding at December 31, 1996........ ---- ----
Contracts opened...................... 56 $14,000,000
Contracts closed...................... (56) (14,000,000)
-- ----------
Outstanding at June 30, 1997............ ---- ----
==== ====
</TABLE>
152
<PAGE> 155
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
PURCHASES AND SALES OF SECURITIES, CONTINUED
<TABLE>
<CAPTION>
SALES OF FUTURES CONTRACTS
---------------------------------------------------------------
AGGREGATE
NUMBER OF FACE VALUE OF UNREALIZED
CONTRACTS CONTRACTS LOSS
---------- ---------- --------
<S> <C> <C> <C>
MODERATE ASSET ALLOCATION - CONTINUED
CAC 40 FUTURES:
Outstanding at December 31, 1996................. ---- ----
Contracts opened............................... ---- ----
Contracts closed............................... ---- ----
Outstanding at June 30, 1997..................... ---- ----
==== ====
DAX 30 FUTURES:
Outstanding at December 31, 1996................. ---- ----
Contracts opened............................... ---- ----
Contracts closed............................... ---- ----
Outstanding at June 30, 1997..................... ---- ----
==== ====
FTSE 100 FUTURES:
Outstanding at December 31, 1996................. ---- ----
Contracts opened............................... ---- ----
Contracts closed............................... ---- ----
Outstanding at June 30, 1997..................... ---- ----
==== ====
NIKKEI 300 FUTURES:
Outstanding at December 31, 1996................. ---- ----
Contracts opened............................... ---- ----
Contracts closed............................... ---- ----
Outstanding at June 30, 1997..................... ---- ----
==== ====
CONSERVATIVE ASSET ALLOCATION:
S&P 500 FUTURES:
Outstanding at December 31, 1996................. 6 $1,500,000
Contracts opened............................... 22 5,500,000
Contracts closed............................... (24) (6,000,000)
-- ----------
Outstanding at June 30, 1997..................... 4 $1,000,000 ($12,732)
=== ========== =======
S&P MIDCAP 400 FUTURES:
Outstanding at December 31, 1996................. ---- ----
Contracts opened............................... 6 $1,500,000
Contracts closed............................... (3) (750,000)
- ---------
Outstanding at June 30, 1997..................... 3 $750,000 ($2,124)
= ======== ======
CAC 40 FUTURES:
Outstanding at December 31, 1996................. ---- ----
Contracts opened............................... ---- ----
Contracts closed............................... ---- ----
Outstanding at June 30, 1997..................... ---- ----
==== ====
DAX 30 FUTURES:
Outstanding at December 31, 1996................. ---- ----
Contracts opened............................... ---- ----
Contracts closed............................... ---- ----
Outstanding at June 30, 1997.................... ---- ----
==== ====
FTSE 100 FUTURES:
Outstanding at December 31, 1996................. ---- ----
Contracts opened............................... ---- ----
Contracts closed............................... ---- ----
Outstanding at June 30, 1997..................... ---- ----
==== ====
NIKKEI 300 FUTURES:
Outstanding at December 31, 1996................. ---- ----
Contracts opened............................... ---- ----
Contracts closed............................... ---- ----
Outstanding at June 30, 1997..................... ---- ----
==== ====
</TABLE>
<TABLE>
<CAPTION>
PURCHASES OF FUTURES CONTRACTS
-------------------------------------------------------------
AGGREGATE
NUMBER OF FACE VALUE OF UNREALIZED
CONTRACTS CONTRACTS GAIN
------- -------- ---------
<S> <C> <C> <C>
MODERATE ASSET ALLOCATION - CONTINUED
CAC 40 FUTURES:
Outstanding at December 31, 1996................. 1 FRF 8,000
Contracts opened............................... 30 240,000
Contracts closed............................... (16) (128,000)
-- -------
Outstanding at June 30, 1997..................... 15 FRF 120,000 $168,021
== ======= ========
DAX 30 FUTURES:
Outstanding at December 31, 1996................. ---- ----
Contracts opened............................... 16 DEM 48,000
Contracts closed............................... (8) (24,000)
--- ------
Outstanding at June 30, 1997..................... 8 DEM 24,000 $180,635
=== ====== ========
FTSE 100 FUTURES:
Outstanding at December 31, 1996................. 1(pound sterling) 2,500
Contracts opened............................... 16 40,000
Contracts closed............................... (9) (22,500)
-- ------
Outstanding at June 30, 1997..................... 8(pound sterling) 20,000 $83,864
== ====== =======
NIKKEI 300 FUTURES:
Outstanding at December 31, 1996................. 7 Yen 70,000
Contracts opened............................... 204 2,040,000
Contracts closed............................... (109) (1,090,000)
--- ---------
Outstanding at June 30, 1997..................... 102 Yen 1,020,000 $332,467
=== ========= ========
CONSERVATIVE ASSET ALLOCATION:
S&P 500 FUTURES:
Outstanding at December 31, 1996................. ---- ----
Contracts opened............................... 2 $500,000
Contracts closed............................... (2) (500,000)
---- -------
Outstanding at June 30, 1997..................... ---- ----
==== ====
S&P MIDCAP 400 FUTURES:
Outstanding at December 31, 1996................. ---- ----
Contracts opened............................... ---- ----
Contracts closed............................... ---- ----
---- ----
Outstanding at June 30, 1997..................... ---- ----
==== ====
CAC 40 FUTURES:
Outstanding at December 31, 1996................. ---- ----
Contracts opened............................... 4 FRF 32,000
Contracts closed............................... (2) (16,000)
--- ------
Outstanding at June 30, 1997..................... 2 FRF 16,000 $22,470
=== ====== =======
DAX 30 FUTURES:
Outstanding at December 31, 1996................. ---- ----
Contracts opened............................... 2 DEM 6,000
Contracts closed............................... (1) (3,000)
--- -----
Outstanding at June 30, 1997.................... 1 DEM 3,000 $22,580
=== ===== =======
FTSE 100 FUTURES:
Outstanding at December 31, 1996................. 1(pound sterling) 2,500
Contracts opened............................... 2 5,000
Contracts closed............................... (2) (5,000)
-- -----
Outstanding at June 30, 1997..................... 1(pound sterling) 2,500 $4,626
== ===== ======
NIKKEI 300 FUTURES:
Outstanding at December 31, 1996................. 5 Yen 50,000
Contracts opened............................... 30 300,000
Contracts closed............................... (20) (200,000)
-- -------
Outstanding at June 30, 1997..................... 10 Yen 100,000 $50,153
== ======= =======
</TABLE>
153
<PAGE> 156
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
5. INVESTMENT ADVISORY AGREEMENTS. Effective March 20, 1987, the Trust entered
into an Investment Advisory Agreement with NASL Financial (the "Adviser"), a
wholly-owned subsidiary of Security Life and the principal underwriter of the
variable annuity contracts issued by Security Life and First North American. The
Adviser is responsible for managing the corporate and business affairs of the
Trust and for selecting and compensating subadvisers to handle the investment
and reinvestment of the assets of each Portfolio of the Trust, subject to the
supervision of the Trust's Board of Trustees. As compensation for its services,
the Adviser receives an advisory fee from the Trust based on the average daily
net assets of each Portfolio, except for the Lifestyle Trusts for which the
Adviser makes no charge. Advisory fees charged to each Portfolio were as
follows:
<TABLE>
<CAPTION>
PORTFOLIO FEE
- -------------------------- -------
<S> <C>
Pacific Rim Emerging Markets......................... .850%
Science & Technology*................................ 1.100%
International Small Cap.............................. 1.100%
Emerging Growth*..................................... 1.050%
Pilgrim Baxter Growth*............................... 1.050%
Small/Mid Cap........................................ 1.000%
International Stock*................................. 1.050%
Worldwide Growth*.................................... 1.000%
Global Equity........................................ .900%
Growth............................................... .850%
Equity............................................... .750%
Quantitative Equity.................................. .700%*
Equity Index......................................... .250%
Blue Chip Growth..................................... .925%
Real Estate Securities............................... .700%*
Value*............................................... .800%
International Growth and Income...................... .950%
Growth and Income.................................... .750%
Equity-Income........................................ .800%
Balanced*............................................ .800%
Aggressive Asset Allocation.......................... .750%
Moderate Asset Allocation............................ .750%
Conservative Asset Allocation........................ .750%
High Yield*.......................................... .775%
Strategic Bond....................................... .775%
Global Government Bond............................... .800%
Capital Growth Bond.................................. .650%*
Investment Quality Bond.............................. .650%
U.S. Government Securities........................... .650%
Money Market......................................... .500%
</TABLE>
* For the period January 1, 1997 (commencement of operations) to June 30, 1997.
* Because of the special one year expense limitation described below, total fees
will not exceed 0.50%.
For the six months ended June 30, 1997, the Adviser paid aggregate subadvisory
fees of $11,763,116 and retained net investment advisory fees after payment of
subadvisory fees of $19,468,728, allocated among the portfolios as follows:
<TABLE>
<CAPTION>
DOLLAR VALUE % OF NET ASSETS DOLLAR VALUE % OF NET ASSETS
PAID TO PAID TO RETAINED RETAINED
PORTFOLIO SUBADVISER SUBADVISER BY ADVISER BY ADVISER
------------------ --------- ------------- ------------- --------------
<S> <C> <C> <C> <C>
Pacific Rim Emerging Markets................... $52,240 .17% $58,769 .19%
Science & Technology........................... 42,965 .16% 35,805 .13%
International Small Cap........................ 352,072 27% 270,665 .21%
Emerging Growth................................ 522,996 .24% 475,450 .22%
Pilgrim Baxter Growth.......................... 63,296 .13% 47,820 .10%
Small/Mid Cap.................................. 449,434 .22% 437,046 .22%
International Stock............................ 165,447 .21% 104,369 .13%
Worldwide Growth............................... 17,419 .15% 11,613 .10%
Global Equity.................................. 1,431,662 .17% 1,949,316 .23%
Growth......................................... 173,714 .17% 154,412 .15%
Equity......................................... 1,590,765 .11% 3,444,808 .24%
Quantitative Equity............................ 133,271 .10% 97,043 .07%
</TABLE>
154
<PAGE> 157
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
INVESTMENT ADVISORY AGREEMENTS, CONTINUED
<TABLE>
<CAPTION>
DOLLAR VALUE % OF NET ASSETS DOLLAR VALUE % OF NET ASSETS
PAID TO PAID TO RETAINED RETAINED
PORTFOLIO SUBADVISER SUBADVISER BY ADVISER BY ADVISER
------------------ ------------ ---------------- ---------------- -----------------
<S> <C> <C> <C> <C>
Equity Index.............................. $6,198 .04% $9,298 .05%
Blue Chip Growth.......................... 1,001,129 .18% 1,178,431 .21%
Real Estate Securities.................... 118,926 .10% 87,770 .07%
Value..................................... 48,726 .08% 49,776 .08%
International Growth and Income........... 456,793 .20% 483,910 .22%
Growth and Income......................... 1,120,679 .08% 3,242,991 .24%
Equity-Income............................. 795,792 .10% 1,891,486 .24%
Balanced.................................. 249,712 .16% 334,448 .21%
Aggressive Asset Allocation............... 399,570 .17% 444,390 .19%
Moderate Asset Allocation................. 848,142 .14% 1,402,653 .23%
Conservative Asset Allocation............. 312,331 .16% 439,289 .22%
High Yield................................ 30,355 .08% 36,859 .10%
Strategic Bond............................ 373,469 .13% 592,129 .21%
Global Government Bond.................... 408,073 .18% 531,354 .23%
Capital Growth Bond....................... 51,414 .11% 41,265 .09%
Investment Quality Bond................... 168,662 .11% 318,583 .20%
U.S. Government Securities................ 225,499 .11% 429,399 .20%
Money Market.............................. 152,365 .04% 867,581 .20%
</TABLE>
Of the total retained by the Adviser, $1,175,981 was paid to Manulife.
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, on an annualized basis,
of 0.15% of the average daily net assets of Equity Index, 0.50% of the average
daily net assets of Science & Technology, Emerging Growth, Pilgrim Baxter
Growth, Small/Mid Cap, Growth, Equity, Quantitative Equity, Blue Chip Growth,
Real Estate Securities, Value, Growth and Income, Equity-Income, Balanced,
Aggressive Asset Allocation, Moderate Asset Allocation, Conservative Asset
Allocation, High Yield, Strategic Bond, Capital Growth Bond, Investment Quality
Bond, U.S. Government Securities and Money Market and 0.75% of the average daily
net assets of Pacific Rim Emerging Markets, International Small Cap,
International Stock, Worldwide Growth, Global Equity, International Growth and
Income and Global Government Bond. For the limited period of one year ending
December 31, 1997, the expense limitation applicable to Quantitative Equity,
Real Estate Securities and Capital Growth Bond will include all expenses of such
portfolios, so that their total expenses for that year, including advisory fees,
will not exceed 0.50%. In addition, in the case of the Lifestyle Trusts, the
Adviser has agreed to pay the expenses of the Lifestyle Trusts (other than the
expenses of the underlying Portfolios) for a period of one year commencing
January 1, 1997. After this one year period, this expense reimbursement may be
terminated at any time.
6. TRUSTEES' FEES. The Trust pays each Trustee who is not an employee or
director of the Adviser or its affiliates a fee of $6,875 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
$27,500.
7. COMMITMENTS. At June 30, 1997, Pacific Rim Emerging Markets, International
Small Cap, International Stock, Worldwide Growth, Global Equity, International
Growth and Income, Equity-Income, Aggressive Asset Allocation, Moderate Asset
Allocation, Conservative Asset Allocation, Strategic Bond and Global Government
Bond had entered into forward foreign currency contracts which contractually
obligate the Portfolio to deliver currencies at future dates. Open sale and
purchase contracts at June 30, 1997 were as follows:
<TABLE>
<CAPTION>
NET
CONTRACTS IN EXCHANGE SETTLEMENT UNREALIZED
TO DELIVER FOR DATE VALUE DEPRECIATION
------------------- ----------- -------- -------- ------
<S> <C> <C> <C> <C> <C>
PACIFIC RIM EMERGING MARKETS:
SALES
Singapore Dollar............. 290,263 $202,898 7/01/97 $203,024 ($126)
======== ======== ------
PURCHASES
$202,898 IDR 493,345,440 7/01/97 $202,856 ($42)
2,780 KRW 2,464,500 7/01/97 2,775 (5)
-------- -------- ------
$205,678 $205,631 (47)
======== ======== ------
($173)
======
</TABLE>
155
<PAGE> 158
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>
INTERNATIONAL SMALL CAP:
PURCHASES
$35,427 IDR 86,058,432 7/01/97 $35,386 ($41)
271,603 Yen 30,704,778 7/01/97 267,883 (3,720)
232,813 NLG 452,309 7/01/97 230,429 (2,384)
283,726 FRF 1,657,101 7/02/97 281,978 (1,748)
658,612(pound sterling) 395,586 7/02/97 658,771 159
94,949 NLG 185,340 7/02/97 94,422 (527)
26,278 FRF 153,085 7/31/97 26,049 (229)
---------- ---------- ------
$1,603,408 $1,594,918 ($8,490)
========== ========== ======
INTERNATIONAL STOCK:
PURCHASES
$37,150 BEF 1,331,100 7/01/97 $36,996 ($154)
1,207 KRW 1,069,500 7/01/97 1,204 (3)
101,950 MYR 257,221 7/01/97 101,910 (40)
--------- -------- ------
$140,307 $140,110 ($197)
======== ======== ======
WORLDWIDE GROWTH:
SALES
Malaysian Ringgit............... 113,610 $45,001 7/03/97 $45,012 ($11)
======= ======== ---
PURCHASES
$39,212(pound sterling) 23,509 7/03/97 $39,149 ($63)
======= ======== ---
($74)
===
GLOBAL EQUITY:
SALES
Netherland Guilder.............. 63,000,000 $33,704,259 8/25/97 $32,222,394 $1,481,865
French Franc.................... 185,000,000 36,222,661 12/03/97 31,811,729 4,410,932
French Franc.................... 65,046,190 11,300,000 12/05/97 11,186,593 113,407
----------- ----------- ----------
$81,226,920 $75,220,716 $6,006,204
=========== =========== ==========
INTERNATIONAL GROWTH AND INCOME:
SALES
German Deutsche Mark............ 15,737,108 $9,339,530 8/21/97 $9,057,584 $281,946
Hong Kong Dollar................ 43,971,577 5,676,315 8/21/97 5,671,995 4,320
Japanese Yen.................... 1,577,246,240 14,071,468 8/21/97 13,866,096 205,372
Thailand Baht................... 25,715,200 954,182 8/21/97 974,301 (20,119)
----------- ----------- ----------
. $30,041,495 $29,569,976 $471,519
=========== =========== ----------
PURCHASES
$105,725 NZD 155,000 7/01/97 $105,283 ($442)
572,800 AUD 741,968 8/21/97 561,047 (11,753)
1,484,000 CAD 2,034,371 8/21/97 1,478,031 (5,969)
9,351,000 DEM 15,779,572 8/21/97 9,082,024 (268,976)
13,499,000 Yen 1,534,445,935 8/21/97 13,489,825 (9,175)
975,909 THB 25,715,200 8/21/97 974,301 (1,608)
----------- ----------- ----------
$25,988,434 $25,690,511 ($297,923)
=========== =========== ----------
$173,596
==========
</TABLE>
156
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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>
EQUITY-INCOME:
PURCHASES
$42,745(pound sterling) 25,642 7/01/97 $42,702 ($43)
290,150(pound sterling) 173,950 7/02/97 289,680 (470)
69,962(pound sterling) 41,944 7/03/97 69,849 (113)
-------- -------- ----
$402,857 $402,231 ($626)
======== ======== ====
AGGRESSIVE ASSET ALLOCATION:
PURCHASES
$2,906 SGD 4,146 7/01/97 $2,900 ($6)
====== ====== --
MODERATE ASSET ALLOCATION:
PURCHASES
$4,843 SGD 6,910 7/01/97 $4,833 ($10)
====== ====== ---
CONSERVATIVE ASSET ALLOCATION:
PURCHASES
$969 SGD 1,382 7/01/97 $967 ($2)
==== ==== --
STRATEGIC BOND:
SALES
French Franc..................... 8,064,479 $1,442,661 7/03/97 $1,372,573 $70,088
Irish Punt....................... 1,181,212 1,791,898 7/03/97 1,785,905 5,993
Australian Dollar................ 309,221 239,956 7/16/97 233,727 6,229
Canadian Dollar.................. 13,714,867 9,909,586 7/16/97 9,942,863 (33,277)
German Deutsche Mark............. 966,591 565,589 7/16/97 554,899 10,690
Danish Krone..................... 1,657,908 254,437 7/16/97 249,934 4,503
Canadian Dollar.................. 1,096,219 792,066 10/03/97 798,365 (6,299)
----------- ----------- -------
$14,996,193 $14,938,266 $57,927
=========== =========== -------
PURCHASES
$1,395,731 FRF 8,108,498 7/03/97 $1,380,065 ($15,666)
8,484,491 CAD 11,784,958 7/16/97 8,543,738 59,247
738,134 DEM 1,262,209 10/06/97 728,859 (9,275)
----------- ----------- --------
$10,618,356 $10,652,662 $34,306
=========== =========== -------
$92,233
GLOBAL GOVERNMENT BOND:
SALES
Australian Dollar................ 7,892,856 $5,983,544 9/22/97 $5,970,711 $12,833
French Franc..................... 51,727,200 9,000,000 9/22/97 8,850,644 149,356
Great British Pound.............. 12,309,599 20,000,000 9/22/97 20,448,145 (448,145)
Italian Lira..................... 48,582,690,000 29,044,734 9/22/97 28,516,362 528,372
Japanese Yen..................... 843,360,000 7,000,000 9/22/97 7,447,026 (447,026)
New Zealand Dollar............... 10,226,971 7,123,439 9/22/97 6,930,927 192,512
Spanish Peseta................... 1,332,200,000 10,000,000 9/22/97 9,049,513 950,487
Swedish Krone.................... 43,197,600 6,331,619 9/22/97 5,602,896 728,723
Australian Dollar................ 23,872,225 18,000,000 12/16/97 18,088,609 (88,609)
Australian Dollar................ 7,716,074 5,768,312 12/22/97 5,847,380 (79,068)
Japanese Yen..................... 3,379,467,000 28,890,792 12/22/97 30,259,963 (1,369,171)
------------ ------------ ---------
$147,142,440 $147,012,176 $130,264
============ ============ --------
</TABLE>
157
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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)
------------ -------------- --------- ------------- -------------
GLOBAL GOVERNMENT BOND -
CONTINUED
<S> <C> <C> <C> <C> <C>
PURCHASES
$882,223 ZAR 4,000,000 7/14/97 $881,640 ($583)
6,331,619 AUD 8,000,000 9/22/97 6,051,762 (279,857)
9,629,549 ESP 1,332,200,000 9/22/97 9,049,513 (580,036)
9,149,265 FRF 51,727,200 9/22/97 8,850,644 (298,621)
20,153,155 (pound sterling) 12,309,599 9/22/97 20,448,145 294,990
28,910,134 ITL 48,582,690,000 9/22/97 28,516,362 (393,772)
6,862,979 Yen 843,360,000 9/22/97 7,447,026 584,047
7,044,734 NZD 10,000,000 9/22/97 6,777,106 (267,628)
5,983,544 SEK 43,197,600 9/22/97 5,602,896 (380,648)
6,290,793 AUD 8,000,000 12/22/97 6,062,545 (228,248)
19,473,496 Yen 2,245,085,000 12/22/97 20,102,634 629,138
------------ ------------ --------
$120,711,491 $119,790,273 ($921,218)
============ ============ --------
($790,954)
========
</TABLE>
8. REORGANIZATION. On September 7, 1995, North American Life announced plans to
"amalgamate" with 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.
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>
158
<PAGE> 161
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
REORGANIZATION, CONTINUED
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>
159
