ADVANTUS MORTGAGE SECURITIES FUND INC
N-30D, 1996-06-06
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<PAGE>

                                                                        [LOGO]
                                                                      ADVANTUS
                                                               FAMILY OF FUNDS


                                             SEMI-ANNUAL REPORT TO SHAREHOLDERS
                                              ADVANTUS MORTGAGE SECURITIES FUND


                                                            March 31, 1996

<PAGE>
ADVANTUS MORTGAGE SECURITIES FUND
TABLE OF CONTENTS
 
PERFORMANCE UPDATE                   2
 
INVESTMENTS IN SECURITIES            7
 
STATEMENT OF ASSETS AND
LIABILITIES                         10
 
STATEMENT OF OPERATIONS             11
 
STATEMENT OF CHANGES IN NET
ASSETS                              12
 
NOTES TO FINANCIAL STATEMENTS       13
 
SHAREHOLDER SERVICES                19
<PAGE>
May 15, 1996
 
                                                                         [PHOTO]
Dear Shareholders:
 
The stock market continued making impressive gains in the first quarter of
1996--up 5.4 percent, as measured by the S&P 500, after finishing 1995 at record
levels. The bond market, however, retreated from year-end highs, yielding a
negative 2.6 percent return according to the Lehman Corporate Bond Index.
Concerns about strong economic growth and full employment were the primary
factors in the bond market's slump, while strong corporate earnings and profits
led the stock market's charge. Retail stocks helped pace the market's first
quarter performance while technology companies returned widely fluctuating
results.
 
In the near-term, we believe that many large company earnings expectations will
be revised downward. This downward pressure should benefit higher quality
securities. Many small cap companies continue to demonstrate strong earnings
growth and their relative valuations maintain significant upside potential.
While growth in the U.S. market may slow, we maintain confidence that the equity
market holds opportunity for investors.
 
Improving economic growth and increased inflation have bond investors concerned
about the course of future interest rates. Higher commodity prices and strong
employment caused rates to jump in recent months. Rising interest rates offer
investors the chance to buy fixed income investments at attractive levels but
will keep the bond market in check until rates stabilize.
 
Diversification across industries and geographic regions remains a key element
of our success. However, determining which investments will perform well in both
the near and long-term requires professional experience. Advantus Capital
Management, Inc. offers a family of eight funds designed to help you reach your
financial goals with a thoughtful, well conceived investment strategy.
 
Sincerely,
 
        [SIGNATURE]
Paul Gooding, President
Advantus Capital Management, Inc.
<PAGE>
ADVANTUS MORTGAGE SECURITIES FUND
PERFORMANCE UPDATE
[PHOTO]
KENT WEBER, CFA
PORTFOLIO MANAGER
The Advantus Mortgage Securities Fund is
a mutual fund designed for investors
seeking a high level of current income
consistent with prudent investment risk.
The Fund hopes to achieve its income
objective by investing primarily in a
diversified portfolio of mortgage-related
securities. The Fund expects, under
normal circumstances, to have most of its
assets in high quality mortgage-related
securities such as those issued by U.S.
Government owned (GNMA) or sponsored
corporations (FNMA and FMLMC) or rated
"A" or better by Moody's or Standard &
Poor's.
  -Dividends declared daily and paid monthly.
  -Capital gains distributions paid annually.
PERFORMANCE
 
The semi-annual performance of your Advantus Mortgage Securities Fund was as
follows for the three classes of shares currently offered:
 
<TABLE>
  <S>                                 <C>
  Class A                             2.2 percent*
  Class B                             1.8 percent*
  Class C                             1.8 percent*
</TABLE>
 
Our returns compare favorably with both the Lipper Analytical's Ginnie Mae Fund
Category+ and Lehman's Ginnie Mae Index** which returned 2.2 percent and 3.0
percent, respectively, over the same time period.
 
PORTFOLIO RECAP
 
Interest rates have made a rapid ascent since reaching their lows in the fourth
quarter of 1995. This rise in rates is relatively unprecedented in that it
occurred during a period in which the federal reserve appeared to be pursuing an
accommodative monetary policy. However, just as the federal reserve finished
lowering short term rates in January, signs of renewed growth began to spring
forward. Investors wasted no time in shifting their focus away from slow growth,
low inflation and a balanced budget. Instead the market decided to fixate on
potential increases in future inflation and faster growth.
 
Nevertheless, a moderate backup in interest rates is just what the doctor
ordered for the mortgage market. Prepayment pressures have been alleviated for
all but the highest coupon securities. Liquidity has been restored and the
overall fundamentals of the mortgage market are exceptional. The combination of
strong investor demand and higher yields were enough to propel the performance
of the mortgage market past the returns of both the corporate and treasury
markets (during the last six months). In fact, 1996 is shaping up to be a strong
year for mortgage investors. At a time when many sectors of the mortgage market
have become fairly priced and more efficient, less well-known securities have
begun to attract the attention of investors seeking a combination of incremental
yield, high quality and solid liquidity. The types of vintage mortgage
securities that we continue to favor tend to exhibit highly stable prepayments
and offer improved total return characteristics (relative to generic, new issue
securities). These securities are mainstream parts of the capital market and are
not exotic derivatives. We actively manage (buy and sell) these securities in a
prudent manner like any other mortgage security we own. Our willingness and
ability to effectively
 
                       2
<PAGE>
                                               ADVANTUS MORTGAGE SECURITIES FUND
                                                                  MARCH 31, 1996
 
utilize a wide array of relatively straight forward mortgage securities from
different sectors of the mortgage market is designed to offer our investors a
competitive advantage. This relative value approach to investing is designed to
improve the diversification of your portfolio and adds value through improving
risk adjusted returns. There's a never ending search for undervalued securities
that meet our relatively conservative investment philosophy. Remember, we shoot
for singles and doubles, not home runs. In the wake of renewed growth, we have
assumed a more defensive position. The effective duration of the fund has been
shortened modestly to 4.1 years and is now in line with the Lehman Ginnie Mae
Index. We had been managing our duration modestly longer than Lehman's Ginnie
Mae Index until rates began to spike higher in March.
 
OUTLOOK
 
In the long run fundamentals rule but in the short term technicals dominate.
Short term, the economy does appear to be benefiting form a cyclical pick up in
economic growth. However, we are in the late innings of the business cycle and
growth and inflation are not likely to reignite to dangerous levels. With the
secular trend in inflation still constructive, real rates have moved back to
attractive levels. While a further back up in rates from here can not be ruled
out, we believe that the federal reserve will move its monetary policy into a
holding pattern. If rates stabilize around current levels, the market will
continue to favor mortgage securities. Likewise, we will continue to favor a
neutral duration stance and search for other ways to add value.
 
*Historical results are not an indication of future performance. These
performance results do not reflect the impact of Class A's maximum 5 percent
front-end sales charge or Class B's maximum 5 percent contingent deferred sales
charge.
 
**The Lehman Brother's GNMA Index includes 15 and 30 year fixed rate securities
backed by mortgage pools of the Government National Mortgage Association.
 
+Average return of 58 Ginnie Mae funds according to Lipper Analytical Services,
Inc.
 
                                                       3
<PAGE>
ADVANTUS MORTGAGE SECURITIES FUND
MARCH 31, 1996
 
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
 
<TABLE>
<S>                                       <C>
HIGH QUALITY ASSETS
AAA rated                                     76.5%
Cash and Other Assets/Liabilities              7.0%
BBB rated                                      2.3%
A rated                                        6.2%
AA rated                                       8.0%
SOLID LIQUIDITY
Public Issues                                 83.3%
Private 144A Issues                            6.1%
Private Placement                              3.6%
Cash and Other Assets/Liabilities              7.0%
PRUDENT SECTOR DIVERSIFICATION
Vendee Mortgage Trust                         16.4%
FHLMC                                         10.7%
GNMA                                          37.1%
CMO                                           11.4%
Other Mortgage-backed Securities              17.4%
Cash and Other Assets/Liabilities              7.0%
</TABLE>
 
                       4
<PAGE>
                                               ADVANTUS MORTGAGE SECURITIES FUND
                                                                  MARCH 31, 1996
 
 COMPARISON OF CHANGE IN VALUE OF A HYPOTHETICAL $10,000 INVESTMENT IN ADVANTUS
 MORTGAGE SECURITIES FUND, LEHMAN BROTHER'S GNMA INDEX AND CONSUMER PRICE INDEX
 
On the following three charts you can see how the total return for each of the
three classes of shares of the Advantus Mortgage Securities Fund compared to the
Lehman Brother's GNMA Index and the Consumer Price Index. The three lines in the
Class A graph represent the cumulative total return of a hypothetical $10,000
investment made on March 31, 1986 through March 31, 1996. The three lines in the
Class B and Class C graphs represent the cumulative total return of a
hypothetical $10,000 investment made on the inception date of Class B and Class
C shares (August 19, 1994 and March 1, 1995, respectively) through March 31,
1996.
 
                                    CLASS A
 
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
 
<TABLE>
<CAPTION>
   AVERAGE ANNUAL TOTAL
         RETURN:
<S>                         <C>        <C>                            <C>
One year                                                        4.5%
Five year                                                       6.7%
Ten year                                                        7.7%
                              Class A    Lehman Brother's GNMA Index        CPI
3/31/1986                      10,000                         10,000     10,000
10/31/1986                     10,534                         10,559     10,101
10/31/1987                     10,742                         10,984     10,550
10/31/1988                     12,166                         12,498     10,999
10/31/1989                     13,362                         13,925     11,503
10/31/1990                     14,219                         15,079     12,227
10/31/1991                     16,496                         17,656     12,585
10/31/1992                     17,848                         19,209     12,988
10/31/1993                     19,887                         20,664     13,336
9/30/1994                      19,024                         20,529     13,740
9/30/1995                      21,598                         23,418     14,042
3/31/1996                      22,065                         24,113     14,262
</TABLE>
 
                                                       5
<PAGE>
ADVANTUS MORTGAGE SECURITIES FUND
MARCH 31, 1996
 
                                    CLASS B
 
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
 
<TABLE>
<CAPTION>
   AVERAGE ANNUAL TOTAL
         RETURN:
<S>                         <C>        <C>                            <C>
One year                                                        4.3%
Since inception (8/19/94)                                       5.7%
                              Class B    Lehman Brother's GNMA Index        CPI
8/19/94                        10,000                         10,000     10,000
9/30/94                         9,928                          9,874     10,067
9/30/95                        10,742                         11,264     10,289
3/31/96                        10,940                         11,599     10,450
</TABLE>
 
                                    CLASS C
 
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
 
<TABLE>
<S>                         <C>        <C>                            <C>
Average annual total
return:
One year                                                        9.1%
Since inception (3/1/95)                                        9.0%
                              Class C     Lehman Brothers GNMA Index        CPI
3/01/95                        10,000                         10,000     10,000
9/30/95                        10,791                         10,817     10,146
3/31/96                        10,981                         11,138     10,305
</TABLE>
 
The preceding charts are useful because they provide you with more information
about your investments. There are limitations, however. An index may reflect the
performance of securities that the Fund may not hold. Also, the index does not
deduct sales charges, investment advisory fees and other fund expenses, whereas
your Fund does. Performance presented for the Fund reflects the deduction of the
maximum 5 percent front-end sales charge for Class A and the maximum applicable
contingent deferred sales charge for Class B shares. Sales charges pay for your
financial adviser's investment advice. Individuals cannot buy even an unmanaged
index fund without incurring some charges and expenses.
 
Historical results are not an indication of future performance. Investment
returns on principal values will fluctuate so that shares upon redemption may be
worth more or less than their original cost.
 
                       6
<PAGE>
                                               ADVANTUS MORTGAGE SECURITIES FUND
                                                       INVESTMENTS IN SECURITIES
                                                                  MARCH 31, 1996
                                                                     (UNAUDITED)
 
           (Percentages of each investment category relate to total net assets.)
 
<TABLE>
<CAPTION>
                                                                                            MARKET
PRINCIPAL                                                                                  VALUE(A)
- ----------                                                                                -----------
<C>       <S>                                                           <C>     <C>       <C>
LONG-TERM DEBT SECURITIES (93.0%)
  U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (66.2%)
    Federal Home Loan Mortgage Corporation (10.7%)
$  428,206 Bi-weekly................................................... 7.000%  12/01/22  $   418,515
   706,790 Bi-weekly................................................... 6.500%  12/01/23      674,242
   892,343 20 Year Gold................................................ 6.000%  10/01/13      846,610
   982,754 20 Year Gold................................................ 6.500%  09/01/14      953,272
                                                                                          -----------
                                                                                            2,892,639
                                                                                          -----------
      Federal National Mortgage Corporation (2.0%)
   568,000 CMO PAC Targeted Amortization Class, Series G93-11, Class
           H..........................................................  6.000%  12/25/08      546,700
                                                                                          -----------
      Government National Mortgage Association (37.1%)
   397,822 ............................................................ 8.000%  12/15/15      408,698
   562,036 ............................................................ 8.000%  03/15/16      577,126
   250,966 ............................................................ 7.000%  04/15/16      245,525
   338,783 ............................................................ 8.000%  07/15/16      347,879
   582,684 ............................................................ 7.000%  09/15/16      572,876
   139,634 ............................................................ 7.000%  09/15/16      137,283
   362,529 ............................................................ 7.000%  05/15/17      356,062
   608,287 (c)......................................................... 7.500%  06/15/17      611,973
   263,544 ............................................................ 7.000%  05/15/17      258,842
   350,714 ............................................................ 7.000%  12/15/16      344,811
   403,591 ............................................................ 7.000%  04/15/17      396,390
   672,230 (c)......................................................... 7.500%  05/15/17      676,303
   334,200 ............................................................ 7.000%  04/15/17      328,237
    90,441 ............................................................ 7.000%  02/15/17       88,827
   396,505 ............................................................ 7.000%  04/15/17      389,431
   386,437 ............................................................ 7.000%  10/15/17      379,542
   452,062 ............................................................ 7.000%  10/15/17      443,996
   299,968 GNMA II..................................................... 7.500%  12/20/15      301,644
   517,599 GNMA II..................................................... 8.000%  10/20/15      530,678
   214,127 GNMA II..................................................... 9.000%  08/20/16      228,512
   193,003 GNMA II..................................................... 9.000%  05/20/16      205,025
   222,857 GNMA II..................................................... 9.000%  06/20/16      237,828
   611,295 GNMA II..................................................... 7.500%  07/20/16      613,899
</TABLE>
 
              See accompanying notes to investments in securities.
 
                                       7
<PAGE>
ADVANTUS MORTGAGE SECURITIES FUND
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
                                                                                            MARKET
PRINCIPAL                                                                                  VALUE(A)
- ----------                                                                                -----------
<C>       <S>                                                           <C>     <C>       <C>
  U.S. GOVERNMENT AND AGENCIES OBLIGATIONS--CONTINUED
$  878,840 GNMA II..................................................... 8.500%  05/20/17  $   919,618
   385,526 GNMA II..................................................... 8.500%  04/20/17      403,414
                                                                                          -----------
                                                                                           10,004,419
                                                                                          -----------
      Other U.S. Government Agency Obligations (16.4%)
 1,089,543 Vendee Mortgage Trust Participation Certificate, Series
           1994-2, Class 2 (b)........................................  8.465%  05/15/24    1,131,422
   732,288 Vendee Mortgage Trust Participation Certificate, Series
           1995-1A, Class 1 (b).......................................  7.206%  02/15/25      716,269
 1,028,846 Vendee Mortgage Trust Participation Certificate, Series
           1995-1B, Class 2 (b).......................................  7.793%  02/15/25    1,043,314
 1,446,323 Vendee Mortgage Trust Participation Certificate, Series
           1995-2C, Class 3A (b)......................................  8.793%  06/15/25    1,521,803
                                                                                          -----------
                                                                                            4,412,808
                                                                                          -----------
          Total government obligations (cost: $17,607,487)..............................   17,856,566
                                                                                          -----------
  OTHER MORTGAGE-BACKED SECURITIES (26.8%)
   287,495 Chase 94-1 B2 CMO 144A Issue (d)............................ 6.640%  03/28/25      263,867
   479,159 Chase 94-1 B5 CMO 144A Issue (d)............................ 6.640%  03/28/25      424,355
 1,000,000 CFSB Senior Performance Note 95-A Mortgage Revenue (d)...... 7.000%  11/15/05      981,563
 1,050,000 Citicorp Mortgage Securities, Inc. Targeted Amortization
           Class......................................................  6.000%  11/25/08    1,006,287
   550,059 Collaterized Mortgage Obligation Trust, Sequential Payer,
           Series 44, Class E.........................................  5.000%  07/01/18      509,244
   696,009 GE Capital Mortgage Services, Inc., Series 1194-15, Class
           B2.........................................................  6.000%  04/25/09      624,946
   941,424 International Capital Markets Acceptance Corporation 144A
           Issue (d)..................................................  8.250%  09/01/15      951,427
   938,000 Pleasant Hill Revenue....................................... 7.950%  09/20/15      945,035
   362,397 Santa Barbara Funding II, CMO Sequential Payer, Series A,
           Class 5....................................................  5.000%  03/20/18      333,499
</TABLE>
 
              See accompanying notes to investments in securities.
 
                                       8
<PAGE>
                                               ADVANTUS MORTGAGE SECURITIES FUND
                                            INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
                                                                                            MARKET
PRINCIPAL                                                                                  VALUE(A)
- ----------                                                                                -----------
<C>       <S>                                                           <C>     <C>       <C>
  OTHER MORTGAGE-BACKED SECURITIES--CONTINUED
$1,222,400 Wyoming Community Development Authority..................... 6.850%  06/01/10  $ 1,197,952
                                                                                          -----------
          Total other mortgage-backed securities (cost: $7,242,726).....................    7,238,175
                                                                                          -----------
          Total long-term debt securities (cost: $24,850,213)...........................   25,094,741
                                                                                          -----------
  SHORT-TERM SECURITIES (10.9%)
</TABLE>
 
<TABLE>
<C>       <S>                                                           <C>          <C>       <C>
 1,650,000 U.S. Treasury Bills......................................... 5.20%-5.24%  04/18/96    1,645,215
 1,015,000 U.S. Treasury Bills......................................... 5.00%-5.11%  05/16/96    1,008,179
   300,000 U.S. Treasury Bill..........................................       5.14%  06/13/96      296,808
                                                                                               -----------
          Total short-term securities (cost: $2,951,262).....................................    2,950,202
                                                                                               -----------
          Total investments in securities (cost: $27,801,475) (e)............................  $28,044,943
                                                                                               -----------
                                                                                               -----------
</TABLE>
 
Notes to Investments in Securities
- ----------------------------
(a)  Securities are valued by procedures described in note 2 to the financial
     statements.
(b)  Represents a debt security with a weighted average net pass-through rate
     which varies based on the pool of underlying collateral. The rate disclosed
     is the rate in effect at March 31, 1996.
(c)  At March 31, 1996 the total cost of investments issued on a when-issued or
     forward comittment basis is $1,288,321.
(d)  Represents ownership in a restricted security which has not been registered
     with the Securities and Exchange Commission under the Securities Act of
     1933. (See note 6 to the financial statements). Information concerning the
     restricted securities held at March 31, 1996, which includes acquisition
     date and cost, is as follows:
 
<TABLE>
<CAPTION>
                                                                        ACQUISITION
       SECURITY                                                            DATE         COST
       ---------------------------------------------------------------  -----------  -----------
 
       <S>                                                              <C>          <C>
       Chase 94-1 B2..................................................    03/06/96   $   269,212
       Chase 94-1 B5..................................................    03/06/96       433,489
       CFSB Senior Performance Note Mortgage Revenue Series Trust 8,
        Series A, Class A.............................................    06/28/95     1,000,000
       International Capital Markets Acceptance Corporation...........    01/09/95       890,822
                                                                                     -----------
                                                                                     $ 2,593,523
                                                                                     -----------
                                                                                     -----------
</TABLE>
 
(e)  At March 31, 1996 the cost of securities for federal income tax purposes
     was $27,801,475. The aggregate unrealized appreciation and depreciation of
     investments in securities based on this cost were:
 
<TABLE>
       <S>                                                              <C>
       Gross unrealized appreciation..................................  $   452,935
       Gross unrealized depreciation..................................     (209,467)
                                                                        -----------
       Net unrealized appreciation....................................  $   243,468
                                                                        -----------
                                                                        -----------
</TABLE>
 
                                       9
<PAGE>
ADVANTUS MORTGAGE SECURITIES FUND
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1996
(UNAUDITED)
 
<TABLE>
<S>                                                                                   <C>
                                             ASSETS
Investments in securities, at market value--see accompanying schedule for detailed
 listing (identified cost: $27,801,475).............................................  $28,044,943
Cash in bank on demand deposit......................................................       12,620
Receivable for Fund shares sold.....................................................      112,143
Receivable for investment securities sold...........................................        2,828
Accrued interest receivable.........................................................      185,671
                                                                                      -----------
    Total assets....................................................................   28,358,205
                                                                                      -----------
                                           LIABILITIES
Payable for investment securities purchased.........................................    1,288,320
Payable for Fund shares repurchased.................................................       49,207
Payable to Adviser..................................................................       32,165
Dividends payable to shareholders...................................................        3,826
                                                                                      -----------
    Total liabilities...............................................................    1,373,518
                                                                                      -----------
Net assets applicable to outstanding capital stock..................................  $26,984,687
                                                                                      -----------
                                                                                      -----------
Represented by:
  Capital stock--$.01 par value (note 1)............................................  $    26,240
  Additional paid-in capital........................................................   27,869,506
  Undistributed net investment income...............................................       65,879
  Accumulated net realized loss from investments....................................   (1,220,406)
  Unrealized appreciation of investments............................................      243,468
                                                                                      -----------
    Total--representing net assets applicable to capital stock......................  $26,984,687
                                                                                      -----------
                                                                                      -----------
 
Net assets applicable to outstanding Class A shares.................................  $23,639,596
                                                                                      -----------
                                                                                      -----------
Net assets applicable to outstanding Class B shares.................................  $ 2,549,165
                                                                                      -----------
                                                                                      -----------
Net assets applicable to outstanding Class C shares.................................  $   795,926
                                                                                      -----------
                                                                                      -----------
Shares outstanding and net asset value per share:
  Class A--Shares outstanding 2,298,901.............................................  $     10.28
                                                                                      -----------
                                                                                      -----------
  Class B--Shares outstanding 247,656...............................................  $     10.29
                                                                                      -----------
                                                                                      -----------
  Class C--Shares outstanding 77,389................................................  $     10.28
                                                                                      -----------
                                                                                      -----------
</TABLE>
 
                See accompanying notes to financial statements.
 
                                       10
<PAGE>
                                               ADVANTUS MORTGAGE SECURITIES FUND
                                                         STATEMENT OF OPERATIONS
                                   PERIOD FROM OCTOBER 1, 1995 TO MARCH 31, 1996
                                                                     (UNAUDITED)
 
<TABLE>
<S>                                                                                  <C>
Investment income:
  Interest.........................................................................  $ 954,719
                                                                                     ---------
Expenses (note 4):
  Investment advisory fee..........................................................     75,869
  Distribution fees--Class A.......................................................     36,194
  Distribution fees--Class B.......................................................      8,775
  Distribution fees--Class C.......................................................      2,525
  Administrative services fee......................................................     19,600
  Custodian fees...................................................................      3,453
  Auditing and accounting services.................................................      8,492
  Legal fees.......................................................................      1,281
  Directors' fees..................................................................        224
  Registration fees................................................................     16,687
  Printing and shareholder reports.................................................     12,963
  Insurance........................................................................      2,870
  Other............................................................................      4,013
                                                                                     ---------
    Total expenses.................................................................    192,946
  Less fees and expenses waived or absorbed:
    Class A distribution fees......................................................     (9,820)
    Other fund expenses............................................................     (6,909)
                                                                                     ---------
      Total fees and expenses waived or absorbed...................................    (16,729)
                                                                                     ---------
      Total net expenses...........................................................    176,217
                                                                                     ---------
      Investment income--net.......................................................    778,502
                                                                                     ---------
Realized and unrealized gains (losses) on investments:
  Net realized gains on investments (note 3).......................................    333,319
  Net change in unrealized appreciation or depreciation on investments.............   (549,946)
                                                                                     ---------
    Net losses on investments......................................................   (216,627)
                                                                                     ---------
Net increase in net assets resulting from operations...............................  $ 561,875
                                                                                     ---------
                                                                                     ---------
</TABLE>
 
                See accompanying notes to financial statements.
 
                                       11
<PAGE>
ADVANTUS MORTGAGE SECURITIES FUND
STATEMENT OF CHANGES IN NET ASSETS
PERIOD FROM OCTOBER 1, 1995 TO MARCH 31, 1996 AND
YEAR ENDED SEPTEMBER 30, 1995
(UNAUDITED)
 
<TABLE>
<CAPTION>
                                                                                1996         1995
                                                                             -----------  -----------
<S>                                                                          <C>          <C>
Operations:
  Investment income--net...................................................  $   778,502  $ 1,683,061
  Net realized gains on investments........................................      333,319      140,686
  Net change in unrealized appreciation or depreciation of investments.....     (549,946)   1,594,464
                                                                             -----------  -----------
    Increase in net assets resulting from operations.......................      561,875    3,418,211
                                                                             -----------  -----------
Distributions to shareholders from investment income--net:
    Class A................................................................     (705,596)  (1,636,844)
    Class B................................................................      (45,064)     (17,742)
    Class C................................................................      (13,005)      (4,382)
                                                                             -----------  -----------
    Total distributions....................................................     (763,665)  (1,658,968)
                                                                             -----------  -----------
Capital share transactions (notes 4 and 5):
  Proceeds from sales:
    Class A................................................................    2,746,024    2,594,530
    Class B................................................................    1,636,636      990,008
    Class C................................................................      574,433      340,021
  Shares issued as a result of reinvested dividends:
    Class A................................................................      462,369      969,887
    Class B................................................................       38,296       15,797
    Class C................................................................       10,194        2,840
  Payments for redemption of shares:
    Class A................................................................   (4,731,798)  (7,089,593)
    Class B................................................................     (174,840)      (2,536)
    Class C................................................................      (96,970)     (22,144)
                                                                             -----------  -----------
    Increase (decrease) in net assets from capital share transactions......      464,344   (2,201,190)
                                                                             -----------  -----------
    Total increase (decrease) in net assets................................      262,554     (441,947)
Net assets at beginning of period..........................................   26,722,133   27,164,080
                                                                             -----------  -----------
Net assets at end of period (including undistributed net investment income
 of $65,879 and $51,042, respectively).....................................  $26,984,687  $26,722,133
                                                                             -----------  -----------
                                                                             -----------  -----------
</TABLE>
 
                See accompanying notes to financial statements.
 
                                       12
<PAGE>
                                               ADVANTUS MORTGAGE SECURITIES FUND
                                                   NOTES TO FINANCIAL STATEMENTS
                                                                  MARCH 31, 1996
                                                                     (UNAUDITED)
 
(1) ORGANIZATION
    The Advantus Mortgage Securities Fund, Inc. (the Fund) is registered under
the Investment Company Act of 1940 (as amended) as a diversified, open-end
management investment company. On February 14, 1995 shareholders of the Fund
approved a name change to Advantus Mortgage Securities Fund, Inc. (effective
March 1, 1995). Prior to March 1, 1995 the Fund was known as MIMLIC Mortgage
Securities Income Fund, Inc.
 
    The Fund currently issues three classes of shares: Class A, Class B and
Class C shares. Class A shares are sold subject to a front-end sales charge.
Class B shares are sold subject to a contingent deferred sales charge payable
upon redemption if redeemed within six years of purchase. Class C shares are
sold without either a front-end sales charge or a contingent deferred sales
charge. Both Class B and Class C are subject to a higher Rule 12b-1 fee than
Class A shares. Both Class B and Class C shares automatically convert to Class A
shares at net asset value after a specified holding period. Such holding periods
decline as the amount of the purchase increases and range from 28 to 84 months
after purchase for Class B shares and 40 to 96 months after purchase for Class C
shares. All three classes of shares have identical voting, dividend, liquidation
and other rights and the same terms and conditions, except that the level of
distribution fees charged differs between Class A, Class B and Class C shares.
Income, expenses (other than distribution fees) and realized and unrealized
gains or losses are allocated to each class of shares based upon its relative
net assets.
 
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
    The significant accounting policies followed by the Fund are summarized as
follows:
 
  USE OF ESTIMATES
 
    The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increase and decrease in net assets from
operations during the period. Actual results could differ from those estimates.
 
  INVESTMENTS IN SECURITIES
 
    Investments in securities traded on a national exchange are valued at the
last sales price on that exchange prior to the time when assets are valued;
securities traded in the over-the-counter market and listed securities for which
no sale was reported on that date are valued on the basis of the last current
bid price. When market quotations are not readily available, securities are
valued at fair value as determined in good faith by the Board of Directors. Such
fair values are determined using pricing services or prices quoted by
independent brokers. Short-term securities are valued at market.
 
                                       13
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
 
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
    Security transactions are accounted for on the date the securities are
purchased or sold. Realized gains and losses are calculated on the
identified-cost basis. Dividend income is recognized on the ex-dividend date and
interest income, including amortization of bond premium and discount computed on
a level yield basis, is accrued daily.
 
  SECURITIES PURCHASED ON A WHEN-ISSUED BASIS
 
    Delivery and payment for securities which have been purchased by the Fund on
a forward commitment or when-issued basis can take place a month or more after
the transaction date. During this period, such securities are subject to market
fluctuations. As of March 31, 1996, the Fund had entered into outstanding
when-issued or forward commitments of $1,288,321. The Fund has segregated
assets, with the Fund's custodian, to cover such when-issued and forward
commitment transactions.
 
  FEDERAL TAXES
 
    The Fund's policy is to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
taxable income to shareholders. Therefore, no income tax provision is required.
The Fund's policy is to make required minimum distributions prior to December
31, in order to avoid federal excise tax.
 
    Net investment income and net realized gains (losses) may differ for
financial statement and tax purposes primarily because of temporary book-to-tax
differences. The character of distributions made during the year from net
investment income or net realized gains may differ from their ultimate
characterization for federal income tax purposes. Also, due to the timing of
dividend distributions, the fiscal year in which amounts are distributed may
differ from the year that the income or realized gains (losses) were recorded by
the Fund.
 
    For federal income tax purposes, the Fund has a capital loss carryover in
the amount of $1,220,406 which, if not offset by subsequent capital gains, will
expire September 30, 2004. It is unlikely the board of directors will authorize
a distribution of any net realized capital gain until the available capital loss
carryover has been offset or expires.
 
  DISTRIBUTIONS TO SHAREHOLDERS
 
    Dividends from net investment income are declared daily and paid monthly in
cash or reinvested in additional shares. Realized gains, if any, are paid
annually.
 
(3) INVESTMENT SECURITY TRANSACTIONS
    For the period from October 1, 1995 to March 31, 1996, purchases of
securities and proceeds from sales, other than temporary investments in
short-term securities aggregated $20,581,880 and $21,544,446, respectively.
 
(4) EXPENSES AND RELATED PARTY TRANSACTIONS
    On February 14, 1995 shareholders of the Fund approved a new investment
advisory agreement with Advantus Capital Management, Inc. (Advantus Capital or
the Adviser). Advantus Capital is a wholly-owned
 
                                       14
<PAGE>
                                        NOTES TO FINANCIAL STATEMENTS--CONTINUED
 
(4) EXPENSES AND RELATED PARTY TRANSACTIONS--(CONTINUED)
subsidiary of MIMLIC Asset Management Company (MIMLIC Management) which, prior
to March 1, 1995, served as investment adviser to the Fund. Under the agreement,
Advantus Capital manages the Fund's assets and provides research, statistical
and advisory services and pays related office rental and executive expenses and
salaries. In addition, as part of the advisory fee, Advantus Capital pays the
expenses of the Fund's transfer, dividend disbursing and redemption agent (The
Minnesota Mutual Life Insurance Company [Minnesota Mutual], the parent of MIMLIC
Management). The fee for investment management and advisory services is based on
the average daily net assets of the Fund at the annual rate of .575 percent,
which is the same as under the old agreement with MIMLIC Management.
 
    The Fund has adopted separate Plans of Distribution applicable to Class A,
Class B and Class C shares, respectively, relating to the payment of certain
distribution expenses pursuant to Rule 12b-1 under the Investment Company Act of
1940 (as amended). The Fund pays distribution fees to MIMLIC Sales Corporation
(MIMLIC Sales), the underwriter of the Fund and wholly-owned subsidiary of
MIMLIC Management, to be used to pay certain expenses incurred in the
distribution, promotion and servicing of the Fund's shares. The Class A Plan
provides for a fee up to .30 percent of average daily net assets of Class A
shares. The Class B and Class C Plans provide for a fee up to 1.00 percent of
average daily net assets of Class B and Class C shares, respectively. The Class
B and Class C 1.00 percent fee is comprised of a .75 percent distribution fee
and a .25 percent service fee. MIMLIC Sales is currently waiving that portion of
Class A distribution fees which exceeds, as a percentage of average daily net
assets, .25 percent. MIMLIC Sales waived Class A distribution fees in the amount
of $9,820 for the period from October 1, 1995 to March 31, 1996.
 
    The Fund also bears certain other operating expenses including outside
directors' fees, custodian fees, registration fees, printing and shareholder
reports, legal, auditing and accounting services and other miscellaneous
expenses.
 
    The Fund pays an administrative services fee to Minnesota Mutual for
accounting, auditing, legal and other administrative services which Minnesota
Mutual provides. Prior to February 1, 1996, the administrative service fee was
$3,100 per month. Effective February 1, 1996, the administrative service fee is
$3,600 per month.
 
    Advantus Capital directly incurs and pays the above operating expenses and
the Fund in turn reimburses Advantus Capital. During the period from October 1,
1995 to March 31, 1996, Advantus Capital voluntarily agreed to absorb $6,909 in
expenses that were otherwise payable by the Fund.
 
    Sales charges received by MIMLIC Sales for distributing the Fund's three
classes of shares amounted to $121,908.
 
                                       15
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
 
(4) EXPENSES AND RELATED PARTY TRANSACTIONS--(CONTINUED)
    As of March 31, 1996, Minnesota Mutual and subsidiaries and the directors
and officers of the Fund as a whole own the following shares:
 
<TABLE>
<CAPTION>
                                            NUMBER OF SHARES   PERCENTAGE OWNED
                                            ----------------   ----------------
<S>                                         <C>                <C>
Class A...................................       227,097              9.9%
Class B...................................         5,523              2.2%
Class C...................................         1,071              1.4%
</TABLE>
 
    Legal fees were paid to a law firm of which the Fund's secretary is a
partner in the amount of $1,281.
 
(5) CAPITAL SHARE TRANSACTIONS
    Transactions in shares for the period from October 1, 1995 to March 31, 1996
and the year ended September 30, 1995 for Class A and Class B shares and the
periods from October 1, 1995 to March 31, 1996 and March 1, 1995 to September
30, 1995 for Class C shares were as follows:
 
<TABLE>
<CAPTION>
                                                    CLASS A            CLASS B          CLASS C
                                               ------------------  ---------------  ---------------
                                                 1996      1995     1996     1995    1996    1995
                                               --------  --------  -------  ------  ------  -------
<S>                                            <C>       <C>       <C>      <C>     <C>     <C>
Sold.........................................   262,136   259,523  156,099  97,026  54,661   32,851
Issued for reinvested distributions..........    44,210    97,409    3,666   1,653   1,010      276
Redeemed.....................................  (452,156) (704,962) (16,703)   (216) (9,277)  (2,132)
                                               --------  --------  -------  ------  ------  -------
                                               (145,810) (348,030) 143,062  98,463  46,394   30,995
                                               --------  --------  -------  ------  ------  -------
                                               --------  --------  -------  ------  ------  -------
</TABLE>
 
(6) RESTRICTED SECURITIES
    At March 31, 1996, investments in securities includes issues which generally
cannot be offered for sale to the public without first being registered under
the Securities Act of 1933 (restricted securities). In the event the securities
are registered, those carrying registration rights allow for the issuer to bear
all the related costs; for issues without rights, the Fund may incur such costs.
The Fund currently limits investments in securities that are not readily
marketable, including restricted securities, to 10% of net assets at the time of
the purchase. Securities are valued by procedures described in note 2. The
aggregate value of restricted securities held by the Fund at March 31, 1996 was
$2,621,212 which represents 9.7% of net assets.
 
                                       16
<PAGE>
                                        NOTES TO FINANCIAL STATEMENTS--CONTINUED
 
(7) FINANCIAL HIGHLIGHTS
    Per share data for a share of capital stock and selected information for
each period are as follows:
 
<TABLE>
<CAPTION>
                                                                        CLASS A
                                ----------------------------------------------------------------------------------------
                                PERIOD FROM                               PERIOD FROM
                                OCTOBER 1,                                NOVEMBER 1,
                                  1995 TO         YEAR ENDED                1993 TO            YEAR ENDED OCTOBER 31,
                                 MARCH 31,      SEPTEMBER 30,            SEPTEMBER 30,       ---------------------------
                                   1996            1995(G)                  1994(A)           1993      1992      1991
                                -----------   ------------------       ------------------    -------   -------   -------
<S>                             <C>           <C>                      <C>                   <C>       <C>       <C>
Net asset value, beginning of
  period......................    $ 10.36       $         9.70         $        11.06        $ 10.94   $ 10.80   $ 10.04
                                -----------            -------                -------        -------   -------   -------
Income from investment
  operations:
  Net investment income.......        .31                  .62                    .53            .63       .71       .79
  Net gains or losses on
   securities (both realized
   and unrealized)............       (.08)                 .65                   (.99)           .55       .15       .76
                                -----------            -------                -------        -------   -------   -------
    Total from investment
     operations...............        .23                 1.27                   (.46)          1.18       .86      1.55
                                -----------            -------                -------        -------   -------   -------
Less distributions:
  Dividends from net
   investment income..........       (.31)                (.61)                  (.53)          (.63)     (.72)     (.79)
  Distributions from capital
   gains......................         --                   --                   (.37)          (.43)       --        --
                                -----------            -------                -------        -------   -------   -------
    Total distributions.......       (.31)                (.61)                  (.90)         (1.06)     (.72)     (.79)
                                -----------            -------                -------        -------   -------   -------
Net asset value, end of
  period......................    $ 10.28       $        10.36         $         9.70        $ 11.06   $ 10.94   $ 10.80
                                -----------            -------                -------        -------   -------   -------
                                -----------            -------                -------        -------   -------   -------
Total return (b)..............        2.2%(c)             13.5%                  (4.3)%(d)      11.4%      8.2%     16.0%
Net assets, end of period (in
  thousands)..................    $23,640       $       25,317         $       27,105        $27,073   $20,996   $16,554
Ratio of expenses to average
  daily net assets (f)........       1.27%(e)             1.29%                  1.24%(e)       1.17%     1.25%     1.18%
Ratio of net investment income
  to average daily net assets
  (f).........................       5.96%(e)             6.23%                  5.73%(e)       5.77%     6.56%     7.64%
Portfolio turnover rate
  (excluding short-term
  securities).................       79.6%               203.7%                 236.2%         135.0%    137.3%     48.4%
</TABLE>
 
- ------------
 
(a)  During 1994, the Fund changed its fiscal year end from October 31 to
     September 30.
(b)  Total return figures are based on a share outstanding throughout the period
     and assumes reinvestment of distributions at net asset value. Total return
     figures do not reflect the impact of front-end or contingent deferred sales
     charges.
(c)  Total return is presented for the period from October 1, 1995 to March 31,
     1996.
(d)  Total return is presented for the period from November 1, 1993 to September
     30, 1994.
(e)  Adjusted to an annual basis.
(f)  The Fund's Adviser and Distributor voluntarily waived or absorbed $16,729,
     $36,128, $43,505, $34,773, $21,104 and $11,682 in expenses for the period
     ended March 31, 1996, the year ended September 30, 1995, the period ended
     September 30, 1994, and the years ended October 31, 1993, 1992 and 1991,
     respectively. If Class A shares had been charged for these expenses, the
     ratio of expenses to average daily net assets would have been 1.40%, 1.42%,
     1.41%, 1.31%, 1.36% and 1.29%, respectively, and the ratio of net
     investment income to average daily net assets would have been 5.83%, 6.10%,
     5.56%, 5.63%, 6.45% and 7.53%, respectively.
(g)  Effective March 1, 1995, the Fund entered into a new investment advisory
     agreement with Advantus Capital Management, Inc. Prior to March 1, 1995,
     The Fund had an investment advisory agreement with MIMLIC Asset Management
     Company.
 
                                       17
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
 
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
 
<TABLE>
<CAPTION>
                                                  CLASS B                                        CLASS C
                           ------------------------------------------------------   ---------------------------------
                           PERIOD FROM                            PERIOD FROM       PERIOD FROM       PERIOD FROM
                           OCTOBER 1,                             AUGUST 19,        OCTOBER 1,         MARCH 1,
                             1995 TO          YEAR ENDED          1994(A) TO          1995 TO         1995(A) TO
                            MARCH 31,        SEPTEMBER 30,       SEPTEMBER 30,       MARCH 31,       SEPTEMBER 30,
                              1996              1995(D)              1994              1996              1995
                           -----------      ---------------   -------------------   -----------   -------------------
<S>                        <C>              <C>               <C>                   <C>           <C>
Net asset value,
  beginning of period....    $ 10.37          $      9.70           $      9.83       $ 10.37           $      9.90
                           -----------             ------                ------     -----------              ------
Income from investment
  operations:
  Net investment
   income................        .27                  .53                   .06           .26                   .31
  Net gains or losses on
   securities (both
   realized and
   unrealized)...........       (.09)                 .67                  (.13)         (.09)                  .47
                           -----------             ------                ------     -----------              ------
    Total from investment
     operations..........        .18                 1.20                  (.07)          .17                   .78
                           -----------             ------                ------     -----------              ------
Less distributions:
  Dividends from net
   investment income.....       (.26)                (.53)                 (.06)         (.26)                 (.31)
  Distributions from
   capital gains.........         --                   --                    --            --                    --
                           -----------             ------                ------     -----------              ------
    Total
     distributions.......       (.26)                (.53)                 (.06)         (.26)                 (.31)
                           -----------             ------                ------     -----------              ------
Net asset value, end of
  period.................    $ 10.29          $     10.37           $      9.70       $ 10.28           $     10.37
                           -----------             ------                ------     -----------              ------
                           -----------             ------                ------     -----------              ------
Total return (b).........        1.8%(c)             12.7%                  (.7)%(e)       1.8%(c)               7.9%(f)
Net assets, end of period
  (in thousands).........    $ 2,549          $     1,084           $        60       $   796           $       321
Ratio of expenses to
  average daily net
  assets (h).............       2.05%(g)             2.05%                  .28%(i)      2.05%(g)              2.05%(g)
Ratio of net investment
  income to average daily
  net assets (h).........       5.27%(g)             5.32%                  .60%(i)      5.27%(g)              5.26%(g)
Portfolio turnover rate
  (excluding short-term
  securities)............       79.6%               203.7%                236.2%         79.6%                203.7%
</TABLE>
 
- ------------
 
(a)  Commencement of operations.
(b)  Total return figures are based on a share outstanding throughout the period
     and assumes reinvestment of distributions at net asset value. Total return
     figures do not reflect the impact of front-end or contingent deferred sales
     charges.
(c)  Total return is presented for the period from October 1, 1995 to March 31,
     1996.
(d)  Effective March 1, 1995, the Fund entered into a new investment advisory
     agreement with Advantus Capital Management, Inc. Prior to March 1, 1995,
     The Fund had an investment advisory agreement with MIMLIC Asset Management
     Company.
(e)  Total return is presented for the period from August 19, 1994, commencement
     of operations, to September 30, 1994.
(f)  Total return is presented for the period from March 31, 1995, commencement
     of operations, to September 30, 1995.
(g)  Adjusted to an annual basis.
(h)  The Fund's Adviser and Distributor voluntarily waived or absorbed $16,729,
     $36,128, $43,505 in expenses for the period ended March 31, 1996, the year
     ended September 30, 1995 and the period ended September 30, 1994,
     respectively. If Class B shares had been charged for these expenses, the
     ratio of expenses to average daily net assets would have been 2.10% and
     2.11%, respectively, and the ratio of net investment income to average
     daily net assets would have been 5.22% and 5.26% for the period ended March
     31, 1996 and the year ended September 30, 1995, respectively. If Class C
     shares had been charged for these expenses, the ratio of expenses to
     average daily net assets would have been 2.10% and 2.11%, respectively, and
     the ratio of net investment income to average daily net assets would have
     been 5.22% and 5.20% for the period ended March 31, 1996 and the period
     ended September 30, 1995, respectively.
(i)  Ratios presented for the period from August 19, 1994 to September 30, 1994
     are not annualized as they are not indicative of anticipated results.
 
                                       18
<PAGE>
                                                            SHAREHOLDER SERVICES
 
    The Advantus Family of Funds offers a variety of services that enhance your
ability to manage your assets. Check each Fund's prospectus for the details of
the services and any limitations that apply to a particular Fund.
 
EXCHANGE PRIVILEGES:  You can move all or part of your investment dollars from
one fund to any other Advantus Fund you own (for identical registrations within
the same class) at any time as your needs change. Exchanges are at the then
current net asset value. (Exchanges from the Money Market Fund will incur the
applicable sales charge, if not previously subjected to the charge.)
Shareholders may make four exchanges or telephone transfers between the Funds
each calendar year without incurring a transaction charge. Thereafter, there
will be a $7.50 transaction charge for each additional exchange or transfer
within the calendar year. Systematic Exchange Plans are exempt from this charge.
 
INCOME DISTRIBUTION FLEXIBILITY:  You can have your fund dividends and other
distributions automatically reinvested with no sales charge, direct them from
one Advantus Fund to any other you own within the Fund family or, if you desire,
we'll pay you in cash.
 
SYSTEMATIC WITHDRAWAL PLAN:  You can set up a plan to receive checks at
specified intervals from your fund account--subject to minimum guidelines.
Depending upon the performance of the underlying investment options, the value
may be worth more or less than the original amount invested when withdrawn.
 
DIRECT DEPOSITS:  At your request we will deposit your dividends or systematic
withdrawals directly into your checking or savings account instead of sending
you a check.
 
TELEPHONE TRANSFER:  You may transfer money from one Advantus account to any
other Advantus account you own just by calling our toll free number. Sign up for
telephone exchanges on the Advantus Application or complete the telephone
authorization form.
 
SYSTEMATIC TRANSFER:  If you have an Advantus Money Market account you may
transfer a set amount of money to another Advantus Fund to diversify your
investment portfolio and take advantage of dollar-cost averaging.
 
AUTOMATIC PAYMENT OF INSURANCE PREMIUMS:  You may automatically pay your
Minnesota Mutual insurance premiums out of your Advantus Money Market account.
 
REDUCED SALES CHARGES:  Letter of Intent, combined purchases with spouse,
children or single trust estates, and the Right of Accumulation make it possible
for you to reduce the sales charge on Advantus's non-money market funds.
 
SPECIAL PURCHASE PLANS:  Our special purchase plans enable you to open an
Advantus fund account for as little as $25 and lower your average share cost
through "dollar-cost averaging." (Dollar-cost averaging does not assure a
profit, nor does it prevent loss in declining markets.) One of these plans--The
Automatic Investment Plan--allows you to invest automatically each month from
your checking or saving account.
 
IRAS, OTHER QUALIFIED PLAN:  You can use the Advantus Family of Funds for your
Individual Retirement Account or other qualified plan including SEPs, profit
sharing, money purchase or defined benefit plans.
 
                                       19
<PAGE>
GROUP INVESTMENT PLAN:  This plan provides employers and employees with a
convenient means for investing in the funds through payroll deduction.
 
TELEPHONE REDEMPTION:  You may call us and redeem shares over the phone. The
proceeds will be sent by check to the address of record for the account. Amounts
over $1,000 may be wire transferred to your personal bank account. The
prevailing wire charge will be added to the withdrawal amount. To set this up,
please send a voided check from your bank. Depending on the performance of the
underlying investment options, the value may be worth more or less than the
original amount invested upon redemption.
 
ACCOUNT UPDATES:  You'll receive written confirmation of every investment you
initiate (monthly statements for your Money Market account) and quarterly
reports to help you track all of your investments in the Advantus Family of
Funds, and annual tax statements. Semiannual and annual reports will provide you
with portfolio information, fund performance data and the current investment
outlook.
 
TOLL-FREE SERVICE LINE:  For your convenience in obtaining information and
assistance directly from MIMLIC Sales Corporation, call 1-800-443-3677. Our
voice response system is available from 7 a.m. to 3 a.m. Monday through Friday,
and 8 a.m. to 5 p.m. on Saturday. This system allows you to access current net
asset values and your account balances.
 
HOW TO INVEST
 
You can invest in one or more of the eight Advantus Funds through your local
registered representative of MIMLIC Sales Corporation, distributor of the Funds.
Contact your representative for information and a prospectus for any of the
Advantus Funds you are interested in.
 
MINIMUM INVESTMENTS:  Your initial investment in any of the Advantus Funds can
be as small as $25 when you use our Systematic Investment Plan. Minimum lump-sum
initial investment is $250. Minimum subsequent investment is $25.
 
THE FUND'S MANAGER
 
Advantus Capital Management, Inc., investment adviser to the Fund, selects and
reviews the Fund's investments and provides executive and other personnel for
the Fund's management.
 
    Advantus Capital Management, Inc. manages eight mutual funds containing $301
million in assets in addition to $1.2 billion in assets for other clients.
Advantus Capital's seasoned portfolio managers average more than 11 years of
investment experience.
 
ADVANTUS FAMILY OF FUNDS
 
Advantus Bond Fund
 
Advantus Horizon Fund
 
Advantus Spectrum Fund
 
Advantus Enterprise Fund
 
Advantus Cornerstone Fund
 
Advantus Money Market Fund
 
Advantus Mortgage Securities Fund
 
Advantus International Balanced Fund
 
                                       20
<PAGE>
     THIS REPORT HAS BEEN PREPARED FOR SHAREHOLDERS AND MAY BE DISTRIBUTED
       TO OTHERS ONLY IF PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS.
                READ THE PROSPECTUS CAREFULLY BEFORE YOU INVEST.
 
                        [ADVANTUS -TM- FAMILY OF FUNDS]
                                    MIMLIC SALES CORPORATION
                                    400 ROBERT STREET NORTH
                                    ST. PAUL, MN 55101-2098
                                    1-800-443-3677
<PAGE>
 
MIMLIC SALES CORPORATION                                BULK RATE
400 ROBERT STREET NORTH                             U.S. POSTAGE PAID
ST. PAUL, MN 55101-2098                                ST. PAUL, MN
                                                     PERMIT NO. 3547
 
FORWARDING AND RETURN POSTAGE GUARANTEED,
ADDRESS CORRECTION REQUESTED
 
F.48640 5-96


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