<PAGE>
Supplement Dated January 31, 1997 to the Prospectus Dated January 27, 1997
- --------------------------------------------------------------------------------
MIMLIC SERIES FUND, INC.
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400 ROBERT STREET NORTH x ST. PAUL, MINNESOTA 55101 x 1-800-443-3677
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-
The MIMLIC Series Fund, Inc. Prospectus, dated May 1, 1996, and its
supplements, dated June 28, 1996 and October 1, 1996, represent a current
description of all Series Fund information pertinent to and investment options
available for the product to which this Prospectus is attached as of this date.
The date of the Statement of Additional Information referenced in the
Prospectus should now read January 27, 1997, as Supplemented January 31, 1997.
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F. 50744 1-97
<PAGE>
MIMLIC SERIES FUND, INC.
Statement of Additional Information
Dated: January 27, 1997 as Supplemented January 31, 1997
This Statement of Additional Information is not a prospectus. Much of
the information contained in this Statement of Additional Information expands
upon subjects discussed in the Prospectus. Therefore, this Statement should
be read in conjunction with the Fund's current Prospectus, dated January 27,
1997, which may be obtained by calling the Fund at (612) 298-3500, or writing
the Fund at Minnesota Mutual Life Center, 400 Robert Street North, St. Paul,
Minnesota 55101-2098.
________________________________________
Table of Contents
The Fund ............................................................ 2
Investment Restrictions ............................................. 3
Portfolio Turnover .................................................. 6
Directors and Executive Officers .................................... 7
Investment Advisory and Other Services .............................. 9
Portfolio Transactions and Allocation of Brokerage .................. 13
Purchase and Redemption of Shares ................................... 15
Fund Shares and Voting Rights ....................................... 15
Net Asset Value ..................................................... 16
Performance Data .................................................... 18
Taxes ............................................................... 22
Reports to Shareholders ............................................. 23
Independent Auditors ................................................ 23
Financial Statements ................................................ 24
Appendix I - Rating of Bonds and Commercial Paper ................... 82
<PAGE>
THE FUND
MIMLIC Series Fund, Inc. ("Fund"), a Minnesota corporation, is a
no-load, diversified, open-end management investment company. The Fund is a
series fund, which means that it has several different Portfolios. The
investment adviser of the Fund is MIMLIC Asset Management Company ("MIMLIC
Management"). MIMLIC Management has entered into investment sub-advisory
agreements under which various investment managers provide investment
services. Winslow Capital Management, Inc. ("Winslow Management") serves as
investment sub-adviser to the Fund's Capital Appreciation Portfolio and
Templeton Investment Counsel, Inc. ("Templeton Counsel") serves as investment
sub-adviser to the Fund's International Stock Portfolio.
Currently, the shares of the Fund are sold only to The Minnesota Mutual
Life Insurance Company ("Minnesota Mutual") through certain of its separate
accounts to fund the benefits under variable annuity contracts and variable life
insurance policies (collectively, the "Contracts") issued by Minnesota Mutual.
The separate accounts, which will be the owners of the shares of the Fund, will
invest in the shares of each Portfolio in accordance with instructions received
from the owners of the Contracts.
Minnesota Mutual, through its separate accounts which fund the Contracts,
owns 100% of the shares outstanding of each Portfolio of the Fund. Minnesota
Mutual, on October 22, 1985, provided the initial capital of the Fund by
purchasing 4,500,000 shares of the Growth Portfolio, Bond Portfolio, Money
Market Portfolio and Asset Allocation Portfolio for $4,500,000. On April 28,
1987, Minnesota Mutual provided initial capital for additional portfolios by
purchasing 11,000,000 shares of the Mortgage Securities Portfolio, Index 500
Portfolio and Capital Appreciation Portfolio for $11,000,000. Those initial
shares were not attributable to any of the Contracts and were redeemed by
Minnesota Mutual during 1991. On April 27, 1992, Minnesota Mutual provided
initial capital for the International Stock Portfolio by purchasing 10,000,000
shares of the Portfolio for $10,000,000. Those initial shares, together with
the additional shares attributable to them as a result of the reinvestment of
dividends and capital gains distributions, are not attributable to any of the
Contracts. In addition, Minnesota Mutual provided initial capital in the amount
of $3,000,000 on April 22, 1993, for the Small Company Portfolio and, as a
result, those initial shares, together with additional shares attributable to
them as a result of reinvestment of dividends and capital gains distributions,
are not attributable to any of the Contracts. On May 2, 1994, Minnesota Mutual
provided initial capital for the Value Stock Portfolio and the four Maturing
Government Bond Portfolios and those initial shares, together with the
additional shares attributable to them as the result of the reinvestment of
dividends and capital gains distributions, are not attributable to any of the
Contracts. After Minnesota Mutual's initial contribution of $3,000,000,
representing 3,000,000 shares of the Value Stock Portfolio, its contribution
of $3,400,000, representing 3,400,000 shares of the Maturing Government Bond
Portfolio - 1998, its contribution of $2,600,000, representing 2,600,000
shares of the Maturing Government Bond Portfolio - 2002, its contribution of
$1,900,000 representing 1,900,000 shares of the Maturing Government Bond
Portfolio - 2006, and its contribution of $1,100,000 representing 1,100,000
shares of the Maturing Government Bond Portfolio - 2010, those shares
represented 100% of the issued and outstanding shares for those Portfolios as
of May 2, 1994.
Contract owners should consider that the investment experience of the
Portfolio or Portfolios they select will affect the value of and the benefits
provided under the Contract. See the Prospectus for the Contracts for a
description of the relationship between increases or decreases in the net
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<PAGE>
asset value of Fund shares (and any distributions on such shares) and the
benefits provided under a Contract.
INVESTMENT RESTRICTIONS
The Fund has adopted the following restrictions relating to the investment
of the assets of the Portfolios.
The restrictions numbered 1 through 10 and the statement dealing with
senior securities are fundamental and may not be changed without the affirmative
vote of a majority of the outstanding voting securities of each Portfolio
affected by the change. With respect to the submission of a change in an
investment restriction to the holders of the Fund's outstanding voting
securities, such matter shall be deemed to have been effectively acted upon with
respect to a particular Portfolio if a majority of the outstanding voting
securities of such Portfolio vote for the approval of such matter,
notwithstanding (1) that such matter has not been approved by the holders of a
majority of the outstanding voting securities of any other Portfolio affected by
such matter, and (2) that such matter has not been approved by the vote of a
majority of the outstanding voting securities of the Fund. For this purpose and
under the Investment Company Act of 1940, a majority of the outstanding voting
shares of each Portfolio means the lesser of (i) 67% of the voting shares
represented at a meeting at which more than 50% of the outstanding voting shares
are represented or (ii) more than 50% of the outstanding voting shares.
Restrictions numbered 11-17 are not fundamental and may be changed by the
Fund's Board of Directors.
The Fund may not issue senior securities except to the extent that the
borrowing of money in accordance with restriction 3 or the entering into reverse
repurchase agreements as described in restriction 6 may constitute the issuance
of a senior security, and each Portfolio will not:
1. With respect to at least 75% of the value of the total assets in the
Portfolio, invest more than 5% of the value of such assets in the
securities of any one issuer (except securities issued or guaranteed by
the United States Government, its agencies or instrumentalities and bank
obligations) or invest in more than 10% of the voting securities of any
one issuer.
For additional information with respect to investment of assets in the
Money Market Portfolio, see the additional description in this Statement
of Additional Information under the heading entitled "Net Asset Value."
2. Purchase the securities of issuers conducting their principal business
activity in a single industry, if immediately after such purchase the
value of its investments in such industry would exceed 25% of the value
of the Portfolio's total assets, provided that (a) telephone, gas, and
electric public utilities are each regarded as separate industries and
(b) banking, savings and loan associations, savings banks and finance
companies as a group will not be considered a single industry for the
purpose of this limitation. There is no limitation with respect to the
concentration of investments in securities issued or guaranteed by the
United States Government, its agencies or instrumentalities, or
certificates of deposit and bankers acceptances of United States banks
and savings and loan associations and this limitation shall not apply in
the Mortgage Securities Portfolio to investments in the mortgage and
mortgage-finance industry (in which more than 25% of the value of the
Portfolio's
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<PAGE>
total assets will, except for temporary defensive positions, be
invested).
3. Borrow money, except from banks for temporary or emergency purposes,
including the meeting of redemption requests which might otherwise
require the untimely disposition of securities. Borrowing in the
aggregate by any particular Portfolio may not exceed 10% of the value of
the Portfolio's total assets at the time the borrowing is made and a
Portfolio may not make additional investments during any period that its
borrowings exceed 5% of the value of the Portfolio's total assets. For
purposes of this restriction, "borrowing" shall not include reverse
repurchase agreements.
4. Lend securities in excess of 20% of the value of its total assets. For
the purposes of this restriction, collateral arrangements with respect
to options, forward currency and futures transactions will not be deemed
to involve loans of securities.
5. Purchase securities on margin (but it may obtain such short-term credits
as may be necessary for the clearance of purchases and sales of
securities); or make short sales except where, by virtue of ownership of
other securities, it has the right to obtain, without payment of further
consideration, securities equal in kind and amount to those sold, and
only to the extent that the Portfolio's short positions will not at the
time of any short sales aggregate in total sale prices more than 10% of
its total assets. For purposes of this restriction, collateral
arrangements with respect to options, forward currency and futures
transactions will not be deemed to involve the use of margin.
6. Enter into reverse repurchase agreements if such investments, taken
together with borrowings represented by senior securities of the
Portfolio, exceed 33 1/3% of the total assets of the Portfolio less
liabilities other than obligations under such borrowings and reverse
repurchase agreements.
7. Act as an underwriter of securities, except to the extent the Fund may
be deemed to be an underwriter in connection with the disposition of
Portfolio securities.
8. Purchase or sell real estate, except that each Portfolio may invest in
securities secured by real estate or interests therein or securities
issued by companies which invest in real estate or interests therein.
9. Buy or sell oil, gas or other mineral leases, rights or royalty
contracts or commodities or commodity contracts, including futures
contracts except that the International Stock Portfolio may purchase and
sell futures contracts on financial instruments and indices and options
on such futures contracts and it may purchase and sell futures contracts
on foreign securities and options on such futures contracts. This
restriction does not prevent the Portfolios from purchasing securities
of companies investing in any of the foregoing.
10. Lend money to other persons except by the purchase of obligations in
which the Portfolio is authorized to invest and by entering into
repurchase agreements. For the purposes of this restriction, collateral
arrangements with respect to options, forward currency and future
transactions will not be deemed to involve loans of securities.
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<PAGE>
11. Knowingly invest more than 15% of the value of its net assets in
securities or other investments, including repurchase agreements
maturing in more than seven days, that are illiquid or otherwise not
readily marketable; provided, however, the Money Market Portfolio shall
not invest in excess of 10% of its net assets in such illiquid
securities.
12. Pledge, hypothecate, mortgage or transfer (except as provided in
restrictions 4 and 6) as security for indebtedness any securities held
by the Fund, except in an amount of not more than 10% of the value of
any Portfolio's total assets and then only to secure borrowings
permitted by restrictions 3 and 5. For purposes of this restriction,
collateral arrangements with respect to options, forward currency and
futures transactions will not be deemed to involve a pledge of assets.
13. Purchase foreign securities not publicly traded in the United States
except that: (i) each of the Growth Portfolio, Small Company Portfolio
and Value Stock Portfolio may invest up to 10% of the value of its total
assets in securities of foreign issuers, (ii) the Money Market Portfolio
may invest in obligations of Canadian chartered banks, London branches
of United States banks and United States branches or agencies of foreign
banks, and (iii) the Asset Allocation Portfolio may invest in such
securities subject to the restrictions applicable to those four
Portfolios. The provisions of this restriction apply to all Portfolios
other than the International Stock Portfolio.
14. Purchase securities of other investment companies with an aggregate
value in excess of 5% of the Portfolio's total assets, except in
connection with a merger, consolidation, acquisition or reorganization,
or by purchase in the open market of securities of closed-end companies
where no underwriter or dealer's commission or profit, other than
customary broker's commission, is involved, and if immediately
thereafter not more than 10% of the value of the Portfolio's total
assets would be invested in such securities.
15. Issue or acquire puts, calls, or combinations thereof.
16. Purchase securities for the purpose of exercising control or management.
17. Participate on a joint (or a joint and several) basis in any trading
account in securities (but this does not prohibit the "bunching" of
orders for the sale or purchase of Portfolio securities with the other
Portfolios or with other accounts advised by MIMLIC Management, or, in
the case of the Capital Appreciation and International Stock Portfolios,
by Winslow Management and Templeton Counsel, respectively, to reduce
brokerage commissions or otherwise to achieve best overall execution).
If a percentage restriction is adhered to at the time of an investment, a
later increase or decrease in the investment's percentage of the value of a
Portfolio's total assets resulting from a change in such values or assets will
not constitute a violation of the percentage restriction.
Several other limitations apply with respect to the investment activities
of the Portfolios. These limitations, which arise from the requirements of
various states in which the underlying contracts are offered, have been adopted
by the Fund in order to secure compliance. As a result of these further
limitations, some investment practices otherwise permitted under those
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<PAGE>
restrictions described above in paragraphs 1, 3 and 6 are no longer allowed. In
particular, the Fund has agreed that as long as the underlying contracts are
offered in such states the Fund (i) will not purchase or otherwise acquire the
voting security of any issuer if as a result of such acquisition all of the
Fund's Portfolios in the aggregate will own more than 10% of the total issued
and outstanding voting securities of such issuer, and (ii) will limit its
borrowing for any particular Portfolio to (a) 10% of the Portfolio's total
assets when borrowing for any general purpose and (b) 25% of the Portfolio's
total assets when borrowing as a temporary measure to facilitate redemptions.
For the purpose of these aggregate limitations on borrowing, reverse repurchase
agreements will be considered to be borrowings.
PORTFOLIO TURNOVER
Each Portfolio has a different expected annual rate of portfolio turnover,
which is calculated by dividing the lesser of purchases or sales of Portfolio
securities during the fiscal year by the monthly average of the value of the
Portfolio's securities (excluding from the computation all securities with
maturities at the time of acquisition of one year or less). A high rate of
turnover in a Portfolio generally involves correspondingly greater brokerage
commission expenses, which must be borne directly by the Portfolio. Turnover
rates may vary greatly from year to year and within a particular year and may
also be affected by cash requirements for redemptions of each Portfolio's shares
and by requirements which enable the Fund to receive favorable tax treatment.
The portfolio turnover rates associated with each Portfolio will, of course, be
affected by the level of purchases and redemptions of shares of each Portfolio.
However, because rate of portfolio turnover is not a limiting factor, particular
holdings may be sold at any time, if in the opinion of MIMLIC Management such a
sale is advisable.
The Money Market Portfolio, consistent with its investment objective, will
attempt to maximize yield through trading. This may involve selling instruments
and purchasing different instruments to take advantage of disparities of yields
in different segments of the high grade money market or among particular
instruments within the same segment of the market. Since the Portfolio's assets
will be invested in securities with short maturities and the Portfolio will
manage its assets as described above, the Portfolio's holdings of money market
instruments will turn over several times a year. However, this does not
generally increase the Portfolio's brokerage costs, since brokerage commissions
as such are not usually paid in connection with the purchase or sale of the
instruments in which the Portfolio invests since such securities will be
purchased on a net basis.
It is anticipated that the annual portfolio turnover rates for the
Growth, Index 500, International Stock, Small Company, Value Stock, Small
Company Value and Maturing Government Bond Portfolios will not exceed 100%,
and that the annual portfolio turnover rates for the Bond, Capital
Appreciation and Mortgage Securities Portfolios will not exceed 200%. In the
Asset Allocation Portfolio, portfolio turnover rate for the common stock and
other equity securities held by it will approximate the portfolio turnover
rate of the Growth Portfolio generally. Similarly, the portfolio turnover
rate of the Asset Allocation Portfolio with respect to bonds and other debt
securities with maturities generally exceeding one year will approximate the
portfolio turnover of the Bond Portfolio. In addition, portfolio turnover
will be increased in the Asset Allocation Portfolio to the extent that
emphasis in its holdings may shift from one type of security to another.
Turnover will, therefore, be dependent as well upon economic conditions or
general levels of securities prices. For each of the last three calendar
years, the portfolio turnover rates for the various Portfolios were as
follows:
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<PAGE>
<TABLE>
<CAPTION>
Portfolio Turnover Rate
-----------------------
Portfolio 1995 1994 1993
--------- ---- ---- ----
<S> <C> <C> <C>
Growth 91.9% 42.0% 51.0%
Bond 205.4 166.2 166.8
Money Market N/A N/A N/A
Asset Allocation 157.0 123.6 85.7
Mortgage Securities 133.7 197.3 138.4
Index 500 4.8 5.9 4.8
Capital Appreciation 51.1 68.4 95.9
International Stock 20.5 12.9 12.7
Small Company 61.3 28.1 34.9
Value Stock 164.2 49.5 N/A
Maturing Government Bond -
1998 Portfolio 9.0 -0- N/A
2002 Portfolio -0- 11.6 N/A
2006 Portfolio 10.0 -0- N/A
2010 Portfolio -0- 14.5 N/A
</TABLE>
DIRECTORS AND EXECUTIVE OFFICERS
The names, addresses, principal occupations, and other affiliations of
directors and executive officers of the Fund are given below:
Position with Principal Occupation and other
Name, Age and Address the Fund Affiliations (past 5 years)
- --------------------- ------------- -----------------------------
Charles E. Arner, 74 Director Retired; Vice Chairman of
E-1218 First National The First National Bank of
Bank Building Saint Paul from November
St. Paul, Minnesota 55101 1983 through June 1984;
Chairman and Chief Executive
Officer of The First National
Bank of Saint Paul from
October 1980 through November
1983
Ellen S. Berscheid, Ph.D., 60 Director Regents' Professor of
Department of Psychology Psychology, University of
University of Minnesota Minnesota
N309 Elliott Hall
Minneapolis, Minnesota 55455
Frederick P. Feuerherm*, 50 Vice President, Second Vice President of The
The Minnesota Mutual Life Treasurer and Minnesota Mutual Life
Insurance Company Director Insurance Company; Vice
400 Robert Street North President and Assistant
St. Paul, Minnesota 55101 Secretary of MIMLIC
Asset Management Company
Ralph D. Ebbott, 69 Director Retired; Vice President and
409 Birchwood Avenue Treasurer, Minnesota Mining
White Bear Lake, and Manufacturing Company
Minnesota 55110 through June 1989
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<PAGE>
Paul H. Gooding*, 56 President, Vice President and Treasurer
The Minnesota Mutual Life Treasurer and of The Minnesota Mutual Life
Insurance Company Director Insurance Company; President
400 Robert Street North and Treasurer of MIMLIC Asset
St. Paul, Minnesota 55101 Management Company
Donald F. Gruber, 52 Secretary Senior Counsel of The
The Minnesota Mutual Life Minnesota Mutual Life
Insurance Company Insurance Company
400 Robert Street North
St. Paul, Minnesota 55101
*Denotes directors of the Fund who are "interested persons" (as defined in the
Investment Company Act of 1940) of the Fund or MIMLIC Asset Management Company
("MIMLIC Management").
The Fund has an Executive Committee, elected by the Board of Directors, to
exercise the powers of the Board in the management of the business and affairs
of the Fund when the Board is not in session. The Executive Committee is
composed of Messrs. Gooding and Feuerherm.
No compensation is paid by the Fund to any of its officers or directors who
is affiliated with MIMLIC Management. Each director of the Fund who is not
affiliated with MIMLIC Management was compensated by the Fund during the fiscal
year ended December 31, 1995 in accordance with the following table:
<TABLE>
<CAPTION>
Pension or Total
Retirement Compensation
Benefits Estimated from
Accrued Annual Fund and
as Part Benefits Fund Complex
Compensation of Fund Upon Paid to
Name of Director from the Fund Expenses Retirement Directors(1)
- ---------------- ------------- ----------- ---------- ------------
<S> <C> <C> <C> <C>
Charles E. Arner $7,325 n/a n/a $9,000
Ellen S. Berscheid $7,325 n/a n/a $9,000
Ralph D. Ebbott $7,325 n/a n/a $9,000
</TABLE>
(1) Each Director of the Fund who is not affiliated with MIMLIC Management is
also a director of the other nine investment companies of which MIMLIC
Management's wholly-owned subsidiary, Advantus Capital Management, Inc., is
the investment adviser (ten investment companies in total-the "Fund
Complex"). Such directors receive compensation in connection with all such
investment companies which, in the aggregate, is equal to $5,000 per year
and $1,000 per
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<PAGE>
meeting attended (and reimbursement of travel expenses to attend directors'
meetings). The portion of such compensation borne by the Fund is a pro
rata portion based on the ratio that the Fund's total net assets bears to
the total net assets of the Fund Complex.
INVESTMENT ADVISORY AND OTHER SERVICES
ADVISER--GENERALLY
MIMLIC Management has been the investment adviser and manager of the
Fund since the Fund began business in 1985. It acts as such pursuant to
written agreements periodically approved by the directors or shareholders of
the Fund. The address of MIMLIC Management is that of the Fund. Winslow
Management serves as investment sub-adviser to the Fund's Capital
Appreciation Portfolio pursuant to an investment sub-advisory agreement with
MIMLIC Management. Templeton Counsel serves as investment sub-adviser to the
Fund's International Stock Portfolio pursuant to an investment sub-advisory
agreement with MIMLIC Management. Voyageur Managers serves as investment
sub-adviser to the Fund's Growth Portfolio pursuant to an investment
sub-advisory agreement with MIMLIC Management.
CONTROL AND MANAGEMENT OF ADVISER
MIMLIC Management is a wholly-owned subsidiary of Minnesota Mutual, which
was organized in 1880, and has assets of approximately $9.8 billion. Paul H.
Gooding, President, Treasurer, and a director of MIMLIC Management is a Vice
President and Treasurer of Minnesota Mutual. Frederick P. Feuerherm, Vice
President, Assistant Secretary and a director of MIMLIC Management is a Second
Vice President of Minnesota Mutual. Messrs. Gooding and Feuerherm are also
Directors of the Fund.
INVESTMENT ADVISORY AGREEMENT
MIMLIC Management acts as investment adviser and manager of the Growth,
Bond, Money Market, Asset Allocation and Mortgage Securities Portfolios of the
Fund under an Investment Advisory Agreement dated January 30, 1986, which became
effective the same date when approved by shareholders, and which was last
approved by the Board of Directors (including a majority of the directors who
are not parties to the contract, or interested persons of any such party) on
January 17, 1996. MIMLIC Management acts as investment adviser and manager of
the Index 500 and Capital Appreciation Portfolios of the Fund under a
Supplemental Investment Advisory Agreement dated April 28, 1987, which became
effective the same date when approved by shareholders of those two Portfolios,
and which was last approved by the Board of Directors (including a majority of
the directors who are not parties to the contract, or interested persons of any
such party) on January 17, 1996. MIMLIC Management acts as investment adviser
and manager of the International Stock Portfolio under the Second Supplemental
Investment Advisory Agreement dated April 27, 1993, which was last approved by
the shareholders of that Portfolio on April 27, 1993, and which was last
approved by the Board of Directors (including a majority of the directors who
are not parties to the contract, or interested persons of any such party) on
January 17, 1996. MIMLIC Management acts as investment adviser and manager of
the Small Company Portfolio under the Third Supplemental Investment Advisory
Agreement dated April 27, 1993, which became effective the same date when
approved by the shareholders of that Portfolio, and which was last approved by
the Board of Directors (including a majority of the directors who are not
parties to the contract, or interested persons of any such party) on January 17,
1996. MIMLIC Management acts as investment adviser and manager of the Value
Stock Portfolio and the four Maturing Government Bond Portfolios of the Fund
under the Fourth Supplemental Investment Advisory Agreement dated April 19,
1994, which became effective on April 25, 1994 when approved by shareholders of
those Portfolios, and which was last approved by the Board of Directors
(including a majority of the directors who are not parties to the
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<PAGE>
contract, or interested persons of any such party) on January 17, 1996.
The Investment Advisory Agreement, the Supplemental Investment Advisory
Agreement, the Second, the Third and the Fourth Supplemental Investment
Advisory Agreements (collectively, the "Agreements") will terminate
automatically in the event of assignment. In addition, the Agreements are
terminable at any time, without penalty, by the Board of Directors of the
Fund or by vote of a majority of the Fund's outstanding voting securities on
60 days' written notice to MIMLIC Management, and by MIMLIC Management on 60
days' written notice to the Fund. Unless sooner terminated, the Agreements
shall continue in effect for more than two years after its execution only so
long as such continuance is specifically approved at least annually either by
the Board of Directors of the Fund or by a vote of a majority of the
outstanding voting securities, provided that in either event such continuance
is also approved by the vote of a majority of the directors who are not
interested persons of any party to the Agreements, cast in person at a
meeting called for the purpose of voting on such approval. The required
shareholder approval of any continuance of the Agreements shall be effective
with respect to any Portfolio if a majority of the outstanding voting
securities of the class of capital stock of that Portfolio votes to approve
such continuance, notwithstanding that such continuance may not have been
approved by a majority of the outstanding voting securities of the Fund.
If the shareholders of a class of capital stock of any Portfolio fail to
approve any continuance of the Agreements, MIMLIC Management will continue to
act as investment adviser with respect to such Portfolio pending the required
approval of its continuance, or a new contract with MIMLIC Management or a
different adviser or other definitive action; provided, that the compensation
received by MIMLIC Management in respect of such Portfolio during such period
will be no more than its actual costs incurred in furnishing investment advisory
and management services to such Portfolio or the amount it would have received
under the Agreement in respect of such Portfolio, whichever is less.
The Agreements may be amended by the parties only if such amendment is
specifically approved by the vote of a majority of the outstanding voting
securities of the Fund and by the vote of a majority of the directors of the
Fund who are not interested persons of any party to the Agreement cast in person
at a meeting called for the purpose of voting on such approval. The required
shareholder approval shall be effective with respect to any Portfolio if a
majority of the outstanding voting securities of the class of capital stock of
that Portfolio vote to approve the amendment, notwithstanding that the amendment
may not have been approved by a majority of the outstanding voting securities of
the Fund.
SUB-ADVISER - WINSLOW MANAGEMENT
Winslow Capital Management, Inc. ("Winslow Management"), a Minnesota
corporation with principal offices at 4720 IDS Tower, 80 South Eighth Street,
Minneapolis, Minnesota 55402 has been retained under an investment sub-advisory
agreement to provide investment advice and, in general, to conduct the
management and investment program of the Capital Appreciation Portfolio, subject
to the general control of the Board of Directors of the Fund. Winslow
Management is a recent entrant into the advisory business, having begun business
in June of 1992. Winslow Management is a registered investment adviser under
the Investment Advisers Act of 1940. The firm was established by its
investment principals with a focus on providing management services to growth
equity investment accounts. An additional experienced principal joined the firm
in October of 1993. Winslow Management has one other investment company client
for which it acts as the investment adviser. Other assets currently under
management are managed for corporate, endowment, foundation, retirement system
and individual clients.
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<PAGE>
Prior to October 1, 1992, investment sub-advisory services were provided to
the Capital Appreciation Portfolio by Alliance Capital Management L.P., which
had provided such services since the Portfolio's inception.
Certain clients of Winslow Management may have investment objectives and
policies similar to that of the Capital Appreciation Portfolio. Winslow
Management may, from time to time, make recommendations which result in the
purchase or sale of a particular security by its other clients simultaneously
with the Capital Appreciation Portfolio. If transactions on behalf of more than
one client during the same period increase the demand for securities being
purchased or the supply of securities being sold, there may be an adverse effect
on price. It is the policy of Winslow Management to allocate advisory
recommendations and the placing of orders in a manner which is deemed equitable
by Winslow Management to the accounts involved, including the Capital
Appreciation Portfolio. When two or more of the clients of Winslow Management
(including the Capital Appreciation Portfolio) are purchasing the same security
on a given day from the same broker-dealer, such transactions may be averaged as
to price.
INVESTMENT SUB-ADVISORY AGREEMENT
Winslow Management acts as investment sub-adviser to the Fund's Capital
Appreciation Portfolio under an Investment Sub-Advisory Agreement (the "Winslow
Management Agreement") with MIMLIC Management dated May 1, 1996, which became
effective the same date and was approved by shareholders of the Capital
Appreciation Portfolio on April 23, 1996. The Winslow Management Agreement was
last approved for continuance by the Board of Directors of the Fund, including a
majority of the Directors who are not a party to the Winslow Management
Agreement or interested persons of any such party, on January 17, 1996. Prior
to May 1, 1996, Winslow Management acted as investment sub-adviser to the
Capital Appreciation Portfolio under an Investment Sub-Advisory Agreement with
MIMLIC Management dated October 1, 1992, which became effective the same date
and was approved by shareholders of the Capital Appreciation Portfolio on
November 13, 1992. The Winslow Management Agreement will terminate
automatically upon the termination of the Investment Advisory and Supplemental
Investment Advisory Agreements and in the event of its assignment. In addition,
the Winslow Management Agreement is terminable at any time, without penalty, by
the Board of Directors of the Fund, by MIMLIC Management or by vote of a
majority of the Capital Appreciation Portfolio's outstanding voting securities
on 60 days' written notice to Winslow Management, and by Winslow Management on
60 days' written notice to MIMLIC Management. Unless sooner terminated, the
Winslow Management Agreement shall continue in effect from year to year if
approved at least annually either by the Board of Directors of the Fund or by a
vote of a majority of the outstanding voting securities of the Capital
Appreciation Portfolio, provided that in either event such continuance is also
approved by the vote of a majority of the Directors who are not interested
persons of any party to the Winslow Management Agreement, cast in person at a
meeting called for the purpose of voting on such approval.
Information concerning the services performed by MIMLIC Management under
the Agreement, by Winslow Management under the Winslow Management Agreement, and
the fees payable and expenses borne by the Fund are set forth in the Prospectus,
which information is incorporated herein by reference.
SUB-ADVISER - TEMPLETON COUNSEL
Templeton Investment Counsel, Inc., (hereinafter "Templeton Counsel"), a
Florida corporation with principal offices at 500 East Broward Boulevard,
Ft. Lauderdale, Florida 33394 has been retained under an investment sub-advisory
agreement to provide investment advice and, in general, to conduct the
management investment program of the International Stock Portfolio, subject to
the general control of the Board of Directors of the Fund. Templeton Counsel is
an indirect, wholly-owned subsidiary of Templeton
-11-
<PAGE>
Worldwide, Inc., Ft. Lauderdale, Florida, which in turn is a wholly-owned
subsidiary of Franklin Resources, Inc. ("Franklin").
Franklin is a large, diversified financial services organization. Through
its operating subsidiaries, Franklin provides a variety of investment products
and services to institutions and individuals throughout the United States and
abroad. One of the country's largest mutual fund organizations, Franklin's
business includes the provision of management, administrative and distribution
services to the Franklin/Templeton Group of Funds, which is distributed through
a nationwide network of banks, broker-dealers, financial planners and investment
advisers. Franklin is headquartered in San Mateo, California, and its common
stock is listed on the New York Stock Exchange under the ticker symbol BEN.
Certain clients of Templeton Counsel may have investment objectives and
policies similar to that of the International Stock Portfolio. Templeton
Counsel may, from time to time make recommendations which result in the purchase
or sale of a particular security by its other clients simultaneously with the
International Stock Portfolio. If transactions on behalf of more than one
client during the same period increase the demand for securities being purchased
or the supply of securities being sold, there may be an adverse effect on price.
It is the policy of Templeton Counsel to allocate advisory recommendations and
the placing of orders in a manner which is deemed equitable by Templeton Counsel
to the accounts involved, including the International Stock Portfolio. When two
or more of the clients of Templeton Counsel (including the International Stock
Portfolio) are purchasing the same security on a given day from the same broker-
dealer, such transactions may be averaged as to price.
INVESTMENT SUB-ADVISORY AGREEMENT - TEMPLETON COUNSEL
Templeton Counsel acts as an investment sub-adviser to the Fund's
International Stock Portfolio under an Investment Sub-Advisory Agreement (the
"Templeton Agreement") with MIMLIC Management dated November 13, 1992, which
became effective the same date it was approved by shareholders of the
International Stock Portfolio. The Templeton Agreement was last approved for
continuance by the Board of Directors of the Fund, including a majority of the
Directors who are not a party to the Templeton Agreement or interested persons
of any such party, on January 17, 1996. The Templeton Agreement will terminate
automatically upon the termination of the Investment Advisory and Supplemental
Investment Advisory Agreements and in the event of its assignment. In addition,
the Templeton Agreement is terminable at any time, without penalty, by the Board
of Directors of the Fund, by MIMLIC Management or by a vote of the majority of
the International Stock Portfolio's outstanding voting securities on 60 days'
written notice to Templeton Counsel and by Templeton Counsel on 60 days' written
notice to MIMLIC Management. Unless sooner terminated, the Templeton Agreement
shall continue in effect from year to year if approved at least annually by the
Board of Directors of the Fund or by a vote of a majority of the outstanding
voting securities of the International Stock Portfolio, provided that in either
event such continuance is also approved by the vote of a majority of the
directors who are not interested persons of any party to the Templeton
Agreement, cast in person at a meeting called for the purpose of voting on such
approval.
Information concerning the services performed by MIMLIC Management under
the agreement, by Templeton Counsel under the Templeton Agreement and the fees
payable and expenses borne by the Fund are set forth in the prospectus, which
information is incorporated herein by reference.
SUB-ADVISER - VOYAGEUR MANAGERS
Voyageur Managers, a Minnesota corporation with principal offices at 90
South Seventh Street, Suite 4400, Minneapolis, Minnesota 55042-4115, has been
retained under an investment sub-advisory agreement to provide investment advice
and, in general, to conduct the management investment program of the Growth
Portfolio, subject to the general control of MIMLIC Management and the Board of
Directors of the Fund. Voyageur Managers is a registered investment adviser
under the Investment Advisers Act of 1940. Voyageur Managers is an indirect,
wholly-owned subsidiary of Dougherty Financial Group, Inc. ("DFG"), which is
owned approximately 49% by Michael E. Dougherty, 49% by Pohlad Companies and
less than 1% by certain retirement plans for the benefit of DFG employees. Mr.
Dougherty co-founded the predecessor DFG in 1977 and has served as DFG's
Chairman of the Board and Chief Executive Officer since inception. The address
of DFG is the same as that of Voyageur Managers. Pohlad Companies is a holding
company owned in equal parts by each of James O. Pohlad, Robert C. Pohlad and
William M. Pohlad. The address of Pohlad Companies is 3880 Dain Bosworth Plaza,
60 South Sixth Street, Minneapolis, Minnesota 55402.
Certain clients of Voyageur Managers may have investment objectives and
policies similar to that of the Growth Portfolio. Voyageur Managers may, from
time to time, make recommendations which result in the purchase or sale of a
particular security by its other clients simultaneously with the Growth
Portfolio. If transactions on behalf of more than one client during the same
period increase the demand for securities being purchased or the supply of
securities being sold, there may be an adverse effect on price. It is the
policy of Voyageur Managers to allocate advisory recommendations and the
placing of orders in a manner which is deemed equitable by Voyageur Managers
to the accounts involved, including the Growth Portfolio. When two or more
of the clients of Voyageur Managers (including the Growth Portfolio) are
purchasing the same security on a given day from the same broker-dealer, such
transactions may be averaged as to price.
-12-
<PAGE>
ADMINISTRATIVE SERVICES
In addition, effective May 1, 1992, the Fund entered into an agreement with
Minnesota Mutual under which Minnesota Mutual provides accounting, legal and
other administrative services to the Fund. Prior to May 1, 1996, Minnesota
Mutual provided such services at a monthly cost of $1,500 per Portfolio.
Effective May 1, 1996, Minnesota Mutual provides such services at a monthly cost
of $2,400 per Portfolio.
PORTFOLIO TRANSACTIONS AND ALLOCATION OF BROKERAGE
ADVISER
MIMLIC Management selects and (where applicable) negotiates commissions
with the brokers who execute the transactions for all Portfolios of the Fund,
except the Capital Appreciation and International Stock Portfolios. The primary
criteria for the selection of a broker is the ability of the broker, in the
opinion of MIMLIC Management, to secure prompt execution of the transactions on
favorable terms, including the reasonableness of the commission and considering
the state of the market at the time. In selecting a broker, MIMLIC Management
considers the quality and expertise of that brokerage and any research services
(as defined in the Securities Exchange Act of 1934), and generally the Fund pays
higher than the lowest commission rates available. Such research services
include advice, both directly and in writing, as to the value of securities, the
advisability of investing in, purchasing or selling securities, and the
availability of securities or purchasers or seller of securities, as well as
analyses and reports concerning issues, industries, securities, economic factors
and trends, portfolio strategy, and the performance of accounts. By allocating
brokerage business in order to obtain research services for MIMLIC Management,
the Fund enables MIMLIC Management to supplement its own investment research
activities and allows MIMLIC Management to obtain the views and information of
individuals and research staffs of many different securities research firms
prior to making investment decisions for the Fund. To the extent such
commissions are directed to these other brokers who furnish research services to
MIMLIC Management, MIMLIC Management receives a benefit, not capable of
evaluation in dollar amounts, without providing any direct monetary benefit to
the Fund from these commissions.
There is no formula for the allocation by MIMLIC Management of the Fund's
brokerage business to any broker-dealers for brokerage and research services.
However, MIMLIC Management will authorize the Fund to pay an amount of
commission for effecting a securities transaction in excess of the amount of
commission another broker would have charged only if MIMLIC Management
determines in good faith that such amount of commission is reasonable in
relation to the value of the brokerage and research services provided by such
broker viewed in terms of either that particular transaction or MIMLIC
Management's overall responsibilities with respect to the accounts as to which
it exercises investment discretion.
To the extent research services are used by MIMLIC Management in rendering
investment advice to the Fund, such services would tend to reduce MIMLIC
Management's expenses. However, MIMLIC Management does not believe that an
exact dollar amount can be assigned to these services. Research services
received by MIMLIC Management from brokers or dealers executing transactions for
the Fund will be available also for the benefit of other portfolios managed by
MIMLIC Management, and conversely, research services received by MIMLIC
Management in respect of transactions for such other portfolios will be
available for the benefit of the Fund. Brokerage Commissions paid during 1995
were as follows: Growth Portfolio, $474,096; Asset Allocation Portfolio,
$412,885; Index 500 Portfolio, $32,651; Capital Appreciation Portfolio,
$201,306; International Stock Portfolio, $154,775; Small Company Portfolio,
$85,238; and Value Stock Portfolio, $136,701. Brokerage commissions paid during
1994 were as follows: Growth Portfolio, $204,757; Asset Allocation Portfolio,
$271,137; Index 500 Portfolio, $25,775; Capital Appreciation Portfolio,
-13-
<PAGE>
$194,531; International Stock Portfolio, $158,373; Small Company Portfolio,
$55,542; and Value Stock Portfolio, $19,950. Brokerage commissions paid during
1993 were as follows: Growth Portfolio, $340,519; Asset Allocation Portfolio,
$455,365; Index 500 Portfolio, $24,614; Capital Appreciation Portfolio,
$263,702; International Stock Portfolio, $117,010; and Small Company Portfolio,
$60,497. One hundred percent of the brokerage commissions paid by the
Portfolios during 1995, 1994 and 1993 was paid to brokers to whom such
transactions were directed in exchange for research services.
Most transactions in money market instruments will be purchases from
issuers of or dealers in money market instruments acting as principal. There
usually will be no brokerage commissions paid by the Fund for such purchases
since securities will be purchased on a net price basis. Trading does, however,
involve transaction costs. Transactions with dealers serving as primary market
makers reflect the spread between the bid and asked prices of securities.
Purchases of underwritten issues may be made which will reflect a fee paid to
the underwriter.
The Fund will not execute portfolio transactions through any affiliate,
except as described below. MIMLIC Management believes that most research
services obtained by it generally benefit one or more of the investment
companies which it manages and also benefits accounts which it manages.
Normally research services obtained through managed funds and managed accounts
investing in common stocks would primarily benefit such funds and accounts;
similarly, services obtained from transactions in fixed income securities would
be of greater benefit to the managed funds and managed accounts investing in
debt securities.
In addition to providing investment management services to the Fund, MIMLIC
Management provides investment advisory services for three insurance companies,
namely Minnesota Mutual and its subsidiary life insurance companies and certain
associated separate accounts. It also provides investment advisory services to
qualified pension and profit sharing plans, corporations, partnerships,
investment companies and various private accounts. Frequently, investments
deemed advisable for the Fund are also deemed advisable for one or more of such
accounts, so that MIMLIC Management may decide to purchase or sell the same
security at or about the same time for both the Fund and one of those accounts.
In such circumstances, orders for a purchase or sale of the same security for
one or more of those accounts may be combined with an order for the Fund, in
which event the transactions will be averaged as to price and normally allocated
as nearly as practicable in proportion to the amounts desired to be purchased or
sold for each account. While in some instances combined orders could adversely
affect the price or volume of a security, it is believed that the Fund's
participation in such transactions on balance will produce better net results
for the Fund.
The Fund's acquisition during the fiscal year ended December 31, 1995, of
securities of its regular brokers or dealers or of the parent of those brokers
or dealers that derive more than 15 percent of gross revenue from securities-
related activities is presented below:
Value of Securities Owned
in the Portfolios at
Name of Issuer End of Fiscal Year
-------------- -------------------------
Lehman Bros. $875,500
-14-
<PAGE>
SUB-ADVISERS
Winslow Management, in managing the Capital Appreciation Portfolio, and
Voyageur Managers, in managing the Growth Portfolio, intend to follow the same
brokerage practices as those described above for MIMLIC Management.
SUB-ADVISER - TEMPLETON COUNSEL
Templeton Counsel, in managing the International Stock Portfolio, follows
the same basic brokerage practices as those described above for MIMLIC
Management. In addition, in selecting brokers for portfolio transactions,
Templeton Counsel takes into account its past experience as to brokers qualified
to achieve "best execution," including the ability to effect transactions at all
where a large block is involved, availability of the broker to stand ready to
execute possibly difficult transactions in the future, the financial strength
and stability of the broker, and whether the broker specializes in foreign
securities held by the International Stock Portfolio. Purchases and sales of
portfolio securities within the United States other than on a securities
exchange are executed with primary market makers acting as principal, except
where, in the judgment of Templeton Counsel, better prices and execution may be
obtained on a commission basis or from other sources.
PURCHASE AND REDEMPTION OF SHARES
Shares of the Fund are currently offered continuously at prices equal to
the respective net asset values of the Portfolios, only to Minnesota Mutual and
its separate accounts. The Fund sells its shares to that company without the
use of any underwriter. It is possible that at some later date the Fund may
offer its shares to other investors and it reserves the right to do so.
Shares of the Fund are sold and redeemed at their net asset value next
computed after a purchase or redemption order is received by the Fund.
Depending upon the net asset values at that time, the amount paid upon
redemption may be more or less than the cost of the shares redeemed. Payment
for shares redeemed will generally be made within seven days after receipt of a
proper notice of redemption. The right to redeem shares or to receive payment
with respect to any redemption may only be suspended for any period during
which: (a) trading on the New York Stock Exchange is restricted as determined
by the Securities and Exchange Commission or such exchange is closed for other
than weekends and holidays; (b) an emergency exists, as determined by the
Securities and Exchange Commission, as a result of which disposal of Portfolio
securities or determination of the net asset value of a Portfolio is not
reasonably practicable; and (c) the Securities and Exchange Commission by order
permits postponement for the protection of shareholders.
FUND SHARES AND VOTING RIGHTS
The authorized capital of the Fund consists of ten billion shares of
capital stock (increased from one billion shares on April 28, 1987) with a
par value of $.01 per share; 400,000,000 shares are allocated to the Asset
Allocation Portfolio, 300,000,000 shares are allocated to the Growth
Portfolio, and 200,000,000 shares are allocated to each of the Bond, Money
Market, Mortgage Securities, Index 500, Capital Appreciation, International
Stock, Small Company, Value Stock, Small Company Value, Global Bond and the
-15-
<PAGE>
four Maturing Government Bond Portfolios. The remaining shares may be
allocated by the Board of Directors to any new or existing Portfolios.
All shares of all Portfolios have equal voting rights, except that only
shares of a particular Portfolio are entitled to vote certain matters pertaining
only to that Portfolio. Pursuant to the Investment Company Act and the rules
and regulations thereunder, certain matters approved by a vote of all Fund
shareholders may not be binding on a Portfolio whose shareholders have not
approved such matter.
Each issued and outstanding share is entitled to one vote and to
participate equally in dividends and distributions declared by the respective
Portfolio and in net assets of such Portfolio upon liquidation or dissolution
remaining after satisfaction of outstanding liabilities. The shares of each
Portfolio, when issued, are fully paid and non-assessable, have no preemptive,
conversion, or similar rights, and are freely transferable. Fund shares do not
have cumulative voting rights, which means that the holders of more than half of
the Fund shares voting for election of directors can elect all of the directors
if they so choose. In such event, the holders of the remaining shares would not
be able to elect any directors.
The Fund will not hold periodically scheduled shareholder meetings.
Minnesota corporate law does not require an annual meeting. Instead, it
provides for the Board of Directors to convene shareholder meetings when it
deems appropriate. In addition, if a regular meeting of shareholders has not
been held during the immediately preceding fifteen months, a shareholder or
shareholders holding three percent or more of the voting shares of a Fund may
demand a regular meeting of shareholders of the Fund by written notice of demand
given to the chief executive officer or the chief financial officer of the Fund.
Within thirty days after receipt of the demand by one of those officers, the
Board of Directors shall cause a regular meeting of shareholders to be called
and held no later than ninety days after receipt of the demand, all at the
expense of the Fund. A special meeting may also be called at any time by the
chief executive officer, two or more directors, or a shareholder or shareholders
holding ten percent of the voting shares of the Fund. At a meeting called for
the purpose, shareholders may remove any director by a vote of two-thirds of the
outstanding shares. The Fund will assist shareholders seeking to call such a
meeting in communicating with other shareholders, provided they are at least ten
in number, have been shareholders for at least six months and hold in the
aggregate at least one percent of the outstanding shares or shares having a
value of at least $25,000, whichever is less. Additionally, the Investment
Company Act of 1940 requires shareholder votes for all amendments to fundamental
investment policies and restrictions, and for all investment advisory contracts
and amendments thereto.
NET ASSET VALUE
The net asset value of the shares of the Portfolios is computed once daily,
and, in the case of Money Market Portfolio, after the declaration of the daily
dividend, as of the primary closing time for business on the New York Stock
Exchange (as of the date hereof the primary close of trading is 3:00 p.m.
(Central Time), but this time may be changed) on each day, Monday through
Friday, except (i) days on which changes in the value of such Fund's portfolio
securities will not materially affect the current net asset value of such Fund's
shares, (ii) days during which no such Fund's shares are tendered for redemption
and no order to purchase or sell such Fund's shares is received by such Fund and
(iii) customary national business holidays on which the New York Stock Exchange
is closed for trading (as of the date hereof, New Year's Day, Presidents' Day,
Good Friday, Memorial Day, Independence Day, Labor Day, Thanksgiving Day and
Christmas Day). The net asset value per share of each Portfolio is computed by
adding the sum of the value of the securities held by
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<PAGE>
that Portfolio plus any cash or other assets that it holds, subtracting all of
its liabilities, and dividing the result by the total number of shares
outstanding in that Portfolio at that time. Expenses, including the investment
advisory fee payable to MIMLIC Management, are accrued daily.
Securities held by the Growth Portfolio, the Bond Portfolio, the Asset
Allocation Portfolio, the Mortgage Securities Portfolio, the Index 500
Portfolio, the Capital Appreciation Portfolio, the International Stock
Portfolio, the Small Company Portfolio, the Value Stock Portfolio and the four
Maturing Government Bond Portfolios are valued at their market value.
Otherwise, such securities are valued at fair value as determined in good faith
by the Board of Directors, with calculations made by persons acting pursuant to
the direction of the Board. However, debt securities of the International Stock
Portfolio with maturities of 60 days or less when acquired, or which
subsequently are within 60 days of maturity, and all securities in the Money
Market Portfolio, are valued at amortized cost.
All instruments held by the Money Market Portfolio are valued on an
amortized cost basis. This involves valuing an instrument at its cost and
thereafter assuming a constant amortization to maturity of any discount or
premium, regardless of the impact of fluctuating interest rates on the market
value of the instrument. While this method provides certainty in valuation, it
may result in periods during which the value of an instrument in the Portfolio,
as determined by amortized cost, is higher or lower than the price the Portfolio
would receive if it sold the instrument. During periods of declining interest
rates, the daily yield on shares of the Portfolio computed by dividing the
annualized daily income of the Portfolio by the net asset value computed as
described above may tend to be higher than a like computation made by a
portfolio with identical investments utilizing a method of valuation based upon
market prices and estimates of market prices for all of its securities.
The Money Market Portfolio values its portfolio securities at amortized
cost in accordance with Rule 2a-7 under the Investment Company Act of 1940, as
amended. Pursuant to Rule 2a-7, the Board of Directors of the Fund has
determined, in good faith based upon a full consideration of all material
factors, that it is in the best interests of the Money Market Portfolio and its
shareholders to maintain a stable net asset value per share for such Portfolio
of a constant $1.00 per share by virtue of the amortized cost method of
valuation. The Money Market Portfolio will continue to use this method only so
long as the Board of Directors believes that it fairly reflects the market-based
net asset value per share. In accordance with Rule 2a-7, the Board of Directors
has undertaken, as a particular responsibility within the overall duty of care
owed to the Portfolio's shareholders, to establish procedures reasonably
designed, taking into account current market conditions and the Portfolio's
investment objective, to stabilize the Portfolio's net asset value per share at
a single value. These procedures include the periodic determination of any
deviation of current net asset value per share calculated using available market
quotations from the Portfolio's amortized cost price per share, the periodic
review by the Board of the amount of any such deviation and the method used to
calculate any such deviation, the maintenance of records of such determinations
and the Board's review thereof, the prompt consideration by the Board if any
such deviation exceeds 1/2 of 1%, and the taking of such remedial action by the
Board as it deems appropriate where it believes the extent of any such deviation
may result in material dilution or other unfair results to investors or existing
shareholders. Such remedial action may include reverse share splits,
redemptions in kind, selling portfolio instruments prior to maturity to realize
capital gains or losses, shortening the average portfolio maturity, withholding
dividends or utilizing a net asset value per share as determined by using
available market quotations.
-17-
<PAGE>
The Portfolio will, in further compliance with Rule 2a-7, maintain a
dollar-weighted average Portfolio maturity not exceeding 90 days and will limit
its Portfolio investments to those United States dollar-denominated instruments
which the Board determines present minimal credit risks and which are eligible
securities. The Portfolio will limit its investments in the securities of any
one issuer to no more than 5% of Portfolio assets and it will limit investment
in securities of less than the highest rated categories to 5% of Portfolio
assets. Investment in the securities of any issuer of less than the highest
rated categories will be limited to the greater of 1% of Portfolio assets or one
million dollars. In addition, the Fund will reassess promptly any security
which is in default or downgraded from its rating category to determine whether
that security then presents minimal credit risks and whether continuing to hold
the securities is in the best interests of the Portfolio in the Fund. In
addition, the Fund will record, maintain, and preserve a written copy of the
above-described procedures and a written record of the Board's considerations
and actions taken in connection with the discharge of its above-described
responsibilities.
PERFORMANCE DATA
CURRENT YIELD FIGURES FOR MONEY MARKET PORTFOLIO
Current annualized yield quotations for the Money Market Portfolio are
based on the Portfolio's net investment income for a seven-day or other
specified period and exclude any realized or unrealized gains or losses on
portfolio securities. Current annualized yield is computed by determining the
net change (exclusive of realized gains and losses from the sale of securities
and unrealized appreciation and depreciation) in the value of a hypothetical
account having a balance of one share at the beginning of the specified period,
dividing such net change in account value by the value of the account at the
beginning of the period, and annualizing this quotient on a 365-day basis. The
net change in account value reflects the value of any additional shares
purchased with dividends from the original share in the account during the
specified period, any dividends declared on such original share and any such
additional shares during the period, and expenses accrued during the period.
The Fund may also quote the effective yield of the Money Market Portfolio for a
seven-day or other specified period for which the current annualized yield is
computed by expressing the unannualized return on a compounded, annualized
basis. Purchasers of variable contracts issued by Minnesota Mutual should
recognize that the yield on the assets relating to such a contract which are
invested in shares of the Money Market Portfolio would be lower than the Money
Market Portfolio's yield for the same period since charges assessed against such
assets are not reflected in the Portfolio's yield. The yield and effective
yield of the Money Market Portfolio for the seven-day period ended December 31,
1995 were 5.09% and 5.22%, respectively.
CURRENT YIELD FIGURES FOR OTHER PORTFOLIOS
Yield quotations for Portfolios other than the Money Market and
International Stock Portfolios are determined by dividing the Portfolio's net
investment income per share for a 30-day period, excluding realized or
unrealized gains or losses, by the net asset value per share on the last day of
the period. In computing net investment income dividends are accrued daily
based on the stated dividend rate of each dividend-paying security, and interest
reflects an amortization of discount or premium on debt obligations (other than
installment debt obligations) based upon the market value of each
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<PAGE>
obligation on the last day of the preceding 30-day period. Undeclared earned
income (net investment income which at the end of the base period has not been
declared as a dividend but is expected to be declared shortly thereafter) is
subtracted from the net asset value per share on the last day of the period. An
annualized yield figure is determined under a formula which assumes that the net
investment income is earned and reinvested at a constant rate and annualized at
the end of a six-month period. For the 30-day period ended December 31, 1995,
the yields of the Growth Portfolio, Bond Portfolio, Asset Allocation Portfolio,
Mortgage Securities Portfolio, Index 500 Portfolio, Capital Appreciation
Portfolio, Small Company Portfolio, the Value Stock Portfolio and the 1998,
2002, 2006 and 2010 Maturing Government Bond Portfolios were .97%, 5.65%, 2.91%,
5.16%, 1.86%, -.19%, .39%, .90%, 5.80%, 6.03%, 6.04% and 6.23%, respectively.
Such figures reflect the voluntary absorption of certain Fund expenses by
Minnesota Mutual described under "Investment Adviser" in the Prospectus. In the
absence of such absorption of expenses, the yield figures for such Portfolios
would have been .97%, 5.65%, 2.91%, 5.16%, 1.86%, -.19%, .39%, .90%, 5.50%,
5.44%, 5.28% and 4.67%, respectively.
TOTAL RETURN FIGURES FOR ALL PORTFOLIOS
Cumulative total return quotations for the Portfolios represent the total
return for the period since shares of the Portfolio became available for sale
pursuant to the Fund's registration statement. Cumulative total return is equal
to the percentage change between the net asset value of a hypothetical $1,000
investment at the beginning of the period and the net asset value of that same
investment at the end of the period with dividend and capital gain distributions
treated as reinvested.
The cumulative total return figures published by the Fund will reflect
Minnesota Mutual's voluntary absorption of certain Fund expenses (described
under "Investment Adviser" in the Prospectus). The cumulative total returns for
the Portfolios for the specified periods ended December 31, 1995 are shown in
the table below. The figures in parentheses show what the cumulative total
returns would have been had Minnesota Mutual not absorbed Fund expenses as
described above.
<TABLE>
<CAPTION>
From Inception Date of
to 12/31/95 Inception
----------- ---------
<S> <C> <C>
Growth Portfolio 187.3% (183.9%) 12/3/85
Bond Portfolio 142.0% (139.8%) 12/3/85
Money Market Portfolio 70.5% (65.0%) 12/3/85
Asset Allocation Portfolio 175.7% (175.0%) 12/3/85
Mortgage Securities Portfolio 114.1% (113.4%) 5/1/87
Index 500 Portfolio 169.2% (168.2%) 5/1/87
Capital Appreciation Portfolio 178.7% (174.9%) 5/1/87
International Stock Portfolio 53.0% (52.9%) 5/1/92
Small Company Portfolio 64.5% (64.5%) 5/3/93
Value Stock Portfolio 39.0% (38.6%) 5/2/94
Maturing Government Bond -
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<PAGE>
1998 Portfolio 16.1% (14.8%) 5/2/94
2002 Portfolio 25.4% (23.2%) 5/2/94
2006 Portfolio 34.9% (31.8%) 5/2/94
2010 Portfolio 40.8% (34.8%) 5/2/94
</TABLE>
Yield quotations for Portfolios other than the Money Market Portfolio and all
quotations of cumulative total return figures will be accompanied by average
annual total return figures for a one-year period and for the period since
shares of the Portfolio became available pursuant to the Fund's registration
statement. Average annual total return figures are the average annual
compounded rates of return required for an account with an initial investment of
$1,000 to equal the redemption value of the account at the end of the period.
The average annual total return figures published by the Fund will reflect
Minnesota Mutual's voluntary absorption of certain Fund expenses. Prior to
January 1, 1986, the Fund incurred no expenses. During 1986 and from January 1
to March 6, 1987 Minnesota Mutual voluntarily absorbed all fees and expenses of
any portfolio that exceeded .75% of the average daily net assets of such
portfolio. For the period subsequent to March 6, 1987, Minnesota Mutual
voluntarily absorbed the fees and expenses that exceeded .65% of the average
daily net assets of the Growth, Bond, Money Market, Asset Allocation and
Mortgage Securities Portfolios, .55% of the average daily net assets of the
Index 500 Portfolio, .90% of the average daily net assets of the Capital
Appreciation, Small Company and Value Stock Portfolios and expenses that exceed
1.00% of the average daily net assets of the International Stock Portfolio
exclusive of the advisory fee. In addition, Minnesota Mutual has voluntarily
agreed to absorb all fees and expenses that exceed .40% of average daily net
assets for each of the four Maturing Government Bond Portfolios; however, for
the Portfolios which mature in 1998 and 2002, Minnesota Mutual has voluntarily
agreed to absorb such fees and expenses which exceed .20% of average daily net
assets from the Portfolio's inception to April 30, 1998 and which exceed .40% of
average daily net assets thereafter.
The average annual rates of return for the Portfolios for the specified
periods ended December 31, 1995 are shown in the table below. The figures in
parentheses show what the average annual rates of return would have been had
Minnesota Mutual not absorbed Fund expenses as described above.
<TABLE>
<CAPTION>
Year Ended Five Years Ten Years From Inception Date of
12/31/95 Ended 12/31/95 Ended 12/31/95 to 12/31/95 Inception
-------- -------------- -------------- ----------- ---------
<S> <C> <C> <C> <C> <C>
Growth Portfolio 24.3% (24.3%) 13.0% (13.0%) 10.8% (10.7%) -- -- 12/3/85
Bond Portfolio 19.8% (18.4%) 9.6% (9.6%) 8.7% (8.6%) -- -- 12/3/85
Money Market Portfolio 5.4% (5.4%) 4.1% (4.0%) 5.4% (5.1%) -- -- 12/3/85
Asset Allocation Portfolio 25.0% (25.0%) 12.7% (12.7%) 10.3% (10.2%) -- -- 12/3/85
Mortgage Securities Portfolio 18.0% (18.0%) 9.0% (9.0%) -- -- 9.2% (9.1%) 5/1/87
Index 500 Portfolio 36.8% (36.8%) 16.2% (16.2%) -- -- 12.1% (12.0%) 5/1/87
Capital Appreciation Portfolio 22.8% (22.8%) 15.6% (15.6%) -- -- 12.5% (12.4%) 5/1/87
-20-
<PAGE>
International Stock Portfolio 14.2% (14.2%) -- -- -- -- 12.3% (12.3%) 5/1/92
Small Company Portfolio 32.1% (32.1%) -- -- -- -- 20.5% (20.5%) 5/3/93
Value Stock Portfolio 33.0% (32.9%) -- -- -- -- 21.8% (21.6%) 5/2/94
Maturing Government Bond-
1998 Portfolio 16.0% (15.5%) -- -- -- -- 9.3% (8.6%) 5/2/94
2002 Portfolio 25.0% (24.0%) -- -- -- -- 14.5% (13.3%) 5/2/94
2006 Portfolio 34.7% (33.4%) -- -- -- -- 19.7% (18.0%) 5/2/94
2010 Portfolio 41.2% (38.5%) -- -- -- -- 22.8% (19.6%) 5/2/94
</TABLE>
Purchasers of variable contracts issued by Minnesota Mutual should recognize
that the yield, cumulative total return and average annual total return on the
assets relating to such a contract which are invested in shares of any of the
above Portfolios would be lower than the yield, cumulative total return and
average annual total return of such Portfolio for the same period since charges
assessed against such assets are not reflected in the Portfolios' quotations.
PREDICTABILITY OF RETURN
ANTICIPATED VALUE AT MATURITY. The maturity values of zero-coupon bonds are
specified at the time the bonds are issued, and this feature, combined with the
ability to calculate yield to maturity, has made these instruments popular
investment vehicles for investors seeking reliable investments to meet long-term
financial goals.
Each Maturing Government Bond Portfolio consists primarily of zero-coupon bonds
but is actively managed to accommodate contract owner activity and to take
advantage of perceived market opportunities. Because of this active management
approach, each Maturing Government Bond Portfolio does not guarantee that a
certain price per share will be attained by the time a Portfolio is liquidated.
Instead, the Fund attempts to track the price behavior of a directly held zero-
coupon bond by:
(1) Maintaining a weighted average maturity within each Maturing
Government Bond Portfolio's target maturity year;
(2) Investing at least 90% of assets in securities that mature within
one year of that Portfolio's target maturity year [for example, a]
Portfolio with a maturity of ten years will be 90% composed of
securities having remaining maturities of nine, ten or eleven years
(rather than having half its securities with five-year maturities
and half with fifteen-year maturities];
(3) Investing a substantial portion of assets in Treasury STRIPS (the
most liquid Treasury zero);
(4) Under normal conditions, maintaining a nominal cash balance;
(5) Executing portfolio transactions necessary to accommodate net
contract owner purchases or redemptions on a daily basis; and
-21-
<PAGE>
(6) Whenever feasible, contacting several U.S. government securities
dealers for each intended transaction in an effort to obtain the
best price on each transaction.
These measures enable the adviser to calculate an anticipated value at maturity
(AVM) for each share of a Maturing Government Bond Portfolio, calculated as of
the date of purchase of such share, that approximates the price per share that
such share will achieve by the weighted average maturity date of its Portfolio.
The AVM calculation for each Maturing Government Bond Portfolio is as follows:
2T
AVM = P(1 + AGR/2)
where P = the Portfolio's current price per share; T = the Portfolio's weighted
average term to maturity in years; and AGR = the anticipated growth rate.
This calculation assumes that the share owner will reinvest all dividend and
capital gain distributions. It also assumes an expense ratio and a portfolio
composition that remain constant for the life of the Maturing Government Bond
Portfolio. Because expenses and composition do not remain constant, however,
the Fund may calculate an AVM for each Maturing Government Bond Portfolio on any
day on which the Fund values its securities. Such an AVM is applicable only to
shares purchased on that date.
In addition to the measures described above, which the adviser believes are
adequate to assure close correspondence between the price behavior of each
Portfolio and the price behavior of directly held zero-coupon bonds with
comparable maturities, the Fund expects that each Portfolio will invest at least
90% of its net assets in zero-coupon bonds until it is within four years of its
target maturity year and at least 80% of its net assets in zero-coupon
securities within two to four years of its target maturity year. This
expectation may be altered if the market supply of zero-coupon securities
diminishes unexpectedly.
ANTICIPATED GROWTH RATE. The Fund may also calculate an anticipated growth rate
(AGR) for each Maturing Government Bond Portfolio on any day on which the Fund
values its securities. AGR is a calculation of the anticipated annualized rate
of growth for a Portfolio share, calculated from the date of purchase of such
share to the Portfolio's target maturity date. As is the case with calculations
of AVM, the AGR calculation assumes that the investor will reinvest all
dividends and capital gain distributions and that each Maturing Government Bond
Portfolio expense ratio and portfolio composition will remain constant. Each
Maturing Government Bond Portfolio AGR changes from day to day (i.e., a
particular AGR calculation is applicable only to shares purchased on that date),
due primarily to changes in interest rates and, to a lesser extent, to changes
in portfolio composition and other factors that affect the value of the
Portfolio's investments.
The Fund expects that a share owner who holds specific shares until a
Portfolio's weighted average maturity date, and who reinvests all dividends and
capital gain distributions, will realize an investment return and maturity value
on those shares that do not differ substantially from the AGR and AVM calculated
on the day such shares were purchased. The AGR and AVM calculated with respect
to shares purchased on any other date, however, may be materially different.
-22-
<PAGE>
TAXES
The Fund and each Portfolio qualified for the year ended December 31, 1995,
and intends to continue to qualify as a "regulated investment company" under the
provisions of Subchapter M of the Internal Revenue Code, as amended (the
"Code"). As a result of changes included in the Tax Reform Act of 1986, each
Portfolio of the Fund is treated as a separate entity for federal income tax
purposes. If each Portfolio of the Fund qualifies as a "regulated investment
company" and complies with the provisions of the Code relieving regulated
investment companies which distribute substantially all of their net income
(both ordinary income and capital gain) from federal income tax, each Portfolio
of the Fund will be relieved of such tax on the amounts distributed.
To qualify for treatment as a regulated investment company, each Portfolio
must, among other things, derive in each taxable year at least 90% of its gross
income from dividends, interest payments with respect to securities, and gains
(without deduction for losses) from the sale or other disposition of securities
and derive less than 30% of its gross income in each taxable year from gains
(without deduction for losses) from the sale or other disposition of securities
held for less than three months.
Each Portfolio of the Fund with outstanding shares which were purchased to
provide the Portfolio's initial capital (in an amount in excess of that
specified in the Code) and which are not attributable to any of the Contracts is
subject to a non-deductible excise tax equal to 4 percent of the excess, if any,
of the amount required to be distributed pursuant to the Code for each calendar
year over the amount actually distributed. Currently, only the International
Stock and Small Company Portfolios are subject to these distribution
requirements. In order to avoid the imposition of this excise tax, each
Portfolio generally must declare dividends by the end of a calendar year
representing 98 percent of that Portfolio's ordinary income for the calendar
year and 98 percent of its capital gain net income (both long-term and short-
term capital gains) for the twelve-month period ending October 31 of the
calendar year.
The foregoing is a general summary of applicable provisions of the Code and
Treasury Regulations now in effect and as currently interpreted by the courts
and the Internal Revenue Service. The Code and these Regulations, as well as
current interpretations thereof, may be changed at any time by legislative,
judicial or administrative action.
As the sole shareholder of the Fund will be Minnesota Mutual and the
separate accounts of Minnesota Mutual, this statement does not discuss federal
income tax consequences to the shareholder. For tax information with respect to
an owner of a contract issued in connection with the separate accounts, see the
Prospectus for those contracts.
REPORTS TO SHAREHOLDERS
Annual and semi-annual reports containing financial statements of the Fund
will be sent to shareholders.
INDEPENDENT AUDITORS
The financial statements, as of and for the year ended December 31, 1995, of
the Fund included in this Statement of Additional Information have been audited
by KPMG Peat Marwick LLP, 4200 Norwest Center, 90 South Seventh Street,
Minneapolis, Minnesota 55402, independent auditors, as indicated in their report
in this Statement of Additional Information, and are included herein in reliance
upon such report and upon the authority of such firm as experts in accounting
and auditing.
-23-
<PAGE>
INDEPENDENT AUDITORS' REPORT
The Board of Directors and Shareholders
MIMLIC Series Fund, Inc.
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments in securities, of the Growth, Bond, Money
Market, Asset Allocation, Mortgage Securities, Index 500, Capital Appreciation,
International Stock, Small Company, Maturing Government Bond 1998, Maturing
Government Bond 2002, Maturing Government Bond 2006, Maturing Government Bond
2010 and Value Stock Portfolios of MIMLIC Series Fund, Inc. as of December 31,
1995 and the related statements of operations for the year then ended and the
statements of changes in net assets for each of the years in the two-year period
then ended (the year ended December 31, 1995 and the period from May 2, 1994,
commencement of operations, to December 31, 1994 for the Maturing Government
Bond 1998, Maturing Government Bond 2002, Maturing Government Bond 2006,
Maturing Government Bond 2010 and Value Stock Portfolios) and the financial
highlights for each of the years in the five-year period then ended for the
Growth, Bond, Money Market, Asset Allocation, Mortgage Securities, Index 500 and
Capital Appreciation Portfolios, each of the years in the three-year period
ended December 31, 1995 and the period from May 1, 1992 to December 31, 1992 for
International Stock Portfolio, each of the years in the two-year period ended
December 31, 1995 and the period from May 3, 1993 to December 31, 1993 for Small
Company Portfolio and the year ended December 31, 1995 and period from May 2,
1994 to December 31, 1994 for the Maturing Government Bond 1998, Maturing
Government Bond 2002, Maturing Government Bond 2006, Maturing Government Bond
2010 and Value Stock Portfolios. These financial statements and the financial
highlights are the responsibility of the Funds' management. Our responsibility
is to express an opinion on these financial statements and the financial
highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Investment securities held in custody are confirmed to us by the
custodian. As to securities purchased and sold but not received or delivered, we
request confirmations from brokers, and where replies are not received, we carry
out other appropriate auditing procedures. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly,
in all material respects, the financial position of the Growth, Bond, Money
Market, Asset Allocation, Mortgage Securities, Index 500, Capital Appreciation,
International Stock, Small Company, Maturing Government Bond 1998, Maturing
Government Bond 2002, Maturing Government Bond 2006, Maturing Government Bond
2010 and Value Stock Portfolios of MIMLIC Series Fund, Inc. as of December 31,
1995 and the results of their operations, changes in their net assets and the
financial highlights for the periods stated in the first paragraph above, in
conformity with generally accepted accounting principles.
KPMG Peat Marwick LLP
Minneapolis, Minnesota
February 2, 1996
-24-
<PAGE>
GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
COMMON STOCKS (98.5%)
CAPITAL GOODS (8.0%)
Machinery (8.0%)
93,384 General Electric Company.................................... $ 6,723,648
45,300 Halliburton Company......................................... 2,293,313
73,700 Millipore Corporation....................................... 3,030,913
87,586 York International Corp..................................... 4,116,542
--------------
16,164,416
--------------
CONSUMER GOODS AND SERVICES (49.4%)
Consumer Goods (27.7%)
73,800 Abbott Laboratories......................................... 3,081,150
86,000 Coca-Cola Company........................................... 6,385,500
111,086 Columbia/HCA Healthcare Corporation......................... 5,637,614
45,200 Gillette Company............................................ 2,356,050
50,800 Johnson & Johnson........................................... 4,349,750
102,000 Merck & Co., Inc............................................ 6,706,500
66,418 Pepsico, Inc................................................ 3,711,106
65,800 Pfizer Inc.................................................. 4,145,400
64,000 Philip Morris Companies, Inc................................ 5,792,000
55,280 Procter & Gamble Company.................................... 4,588,240
35,800 Schering-Plough Corporation................................. 1,960,050
46,400 Service Corporation International........................... 2,041,600
52,300 Teva Pharmaceutical Industries (c).......................... 2,425,413
40,100 United Health Care.......................................... 2,626,550
--------------
55,806,923
--------------
Consumer Services (6.4%)
54,688 CUC International Inc (b)................................... 1,866,228
91,500 GTECH Holdings Corporation (b).............................. 2,379,000
109,141 Manpower.................................................... 3,069,591
46,500 McDonalds Corporation....................................... 2,098,312
85,300 Quebecor Printing Incorporated.............................. 1,439,437
33,200 Walt Disney Company......................................... 1,958,800
--------------
12,811,368
--------------
Food (3.5%)
49,300 Conagra, Inc................................................ 2,033,625
28,800 CPC International........................................... 1,976,400
30,000 Heinz Company............................................... 993,750
64,500 Sara Lee Corporation........................................ 2,055,937
--------------
7,059,712
--------------
Retail (6.5%)
122,300 Home Depot Inc.............................................. 5,855,112
2,100 Intimate Brands Inc......................................... 31,500
76,500 Kohl's Inc (b).............................................. 4,016,250
67,300 Office Depot, Inc. (b)...................................... 1,329,175
81,800 Wal-Mart Stores, Inc........................................ 1,830,275
--------------
13,062,312
--------------
Consumer Cyclical (5.3%)
60,608 Exide Corporation........................................... 2,780,392
46,200 Magna International Inc..................................... 1,998,150
130,400 Newell Co................................................... 3,374,100
47,606 Omnicom Group............................................... 1,773,323
51,700 Sunbeam Corporation......................................... 788,425
--------------
10,714,390
--------------
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
CREDIT SENSITIVE (16.3%)
Finance (10.4%)
28,518 American International Group, Inc........................... $ 2,637,915
40,970 Federal Home Loan Mortgage Corporation...................... 3,420,995
69,466 First Data Corporation...................................... 4,645,539
37,225 First Union Corporaiton..................................... 2,070,641
47,000 MGIC Investment Corporation................................. 2,549,750
86,000 Norwest Corporation......................................... 2,838,000
58,350 SunAmerica Incorporated..................................... 2,771,625
--------------
20,934,465
--------------
Utilities (5.9%)
102,100 AT&T Corporation............................................ 6,610,975
95,300 California Energy Company Incorporated (b).................. 1,858,350
47,500 GTE Corporation............................................. 2,090,000
97,500 Huaneng Power International Inc. (b)(c)..................... 1,401,562
--------------
11,960,887
--------------
INTERMEDIATE GOODS AND SERVICES (8.4%)
Energy (2.9%)
29,150 Amoco Corporation........................................... 2,095,156
16,120 Mobil Corporation........................................... 1,805,440
14,400 Royal Dutch Petroleum (c)................................... 2,032,200
--------------
5,932,796
--------------
Materials (3.5%)
94,500 Morton International........................................ 3,390,187
107,900 Praxair Inc................................................. 3,628,138
--------------
7,018,325
--------------
Transportation (2.0%)
74,200 Fritz Companies (b)......................................... 3,079,300
12,300 Norfolk Southern Corporation................................ 976,313
--------------
4,055,613
--------------
TECHNOLOGY (16.4%)
28,300 Automatic Data Processing Inc............................... 2,101,275
53,550 Bay Networks Inc. (b)....................................... 2,202,244
69,376 Computer Associates International........................... 3,945,760
29,400 Computer Sciences Corporation (b)........................... 2,065,350
73,600 DSC Communications (b)...................................... 2,714,000
147,600 Equifax Incorporated........................................ 3,154,950
45,041 Intel....................................................... 2,556,077
18,900 Microsoft Corporation (b)................................... 1,658,475
40,000 Motorola.................................................... 2,280,000
86,950 Oracle Corporation (b)...................................... 3,684,506
83,900 Pall Corporation............................................ 2,254,813
62,500 Worldcom, Incorported (b)................................... 2,203,125
16,300 Xerox Corporation........................................... 2,233,100
--------------
33,053,675
--------------
Total common stocks
(cost: $163,321,322)............................................... 198,574,882
--------------
</TABLE>
See accompanying notes to investments in securities.
-25-
<PAGE>
GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- --------------
<C> <S> <C>
SHORT-TERM SECURITIES (1.3%)
$2,568,476 Temporary Investment Fund, Inc.--TempFund Portfolio, current rate 5.82%................. $ 2,568,476
--------------
Total short-term securities (cost: $2,568,476).......................................... 2,568,476
--------------
Total investments in securities (cost: $165,889,798) (d)................................ $ 201,143,358
--------------
--------------
</TABLE>
Notes to Investments in Securities
- ----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The portfolio held 2.9% of net assets in foreign securities at December 31,
1995.
(d) At December 31, 1995 the cost of securities for federal income tax purposes
was $166,032,734. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
Gross unrealized appreciation............. $36,860,654
Gross unrealized depreciation............. (1,750,030)
-----------
Net unrealized appreciation............... $35,110,624
-----------
-----------
-26-
<PAGE>
BOND PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
(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 (95.1%)
GOVERNMENT OBLIGATIONS (55.7%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (53.2%)
U.S. Treasury (34.5%)
$4,600,000 U.S. Treasury Bond.......................................... 12.000% 08/15/13 $ 7,099,806
5,000,000 U.S. Treasury Bond.......................................... 8.125% 08/15/19 6,287,500
6,850,000 U.S. Treasury Bond.......................................... 8.000% 11/15/21 8,573,193
650,000 U.S. Treasury Bond.......................................... 7.500% 11/15/24 780,812
4,050,000 U.S. Treasury Strip (c)..................................... 5.675% 02/15/01 3,083,063
6,400,000 U.S. Treasury Strip (c)..................................... 5.645% 08/15/99 5,294,138
1,750,000 U.S. Treasury Note.......................................... 6.750% 05/31/99 1,827,656
1,750,000 U.S. Treasury Note.......................................... 8.875% 11/15/98 1,915,700
-----------
34,861,868
-----------
Government National Mortgage Association (12.5%)
402,450 ............................................................ 8.500% 12/15/22 423,010
384,640 ............................................................ 8.500% 10/15/22 404,291
399,904 ............................................................ 7.500% 02/15/23 411,485
749,910 ............................................................ 8.000% 09/15/24 781,398
493,071 ............................................................ 7.000% 03/15/24 499,224
445,383 ............................................................ 7.000% 05/15/24 450,940
731,032 ............................................................ 6.500% 11/15/23 727,120
446,260 ............................................................ 7.500% 02/15/24 458,983
286,059 ............................................................ 7.000% 02/15/24 289,628
499,207 ............................................................ 7.500% 10/15/25 513,239
943,613 ............................................................ 7.000% 11/15/23 956,096
961,074 ............................................................ 6.500% 05/15/24 954,499
982,575 ............................................................ 7.500% 09/15/24 1,010,587
1,955,239 ............................................................ 8.000% 04/15/25 2,035,893
880,485 ............................................................ 7.500% 10/15/25 905,234
489,135 ............................................................ 7.000% 10/15/25 494,941
1,250,168 ............................................................ 7.000% 11/15/24 1,265,769
-----------
12,582,337
-----------
Other U.S. Government Agencies (6.2%)
1,500,000 Federal Home Loan Mortgage Corporation...................... 7.030% 04/05/04 1,539,131
1,000,000 Federal National Mortgage Association....................... 8.590% 02/03/05 1,052,579
1,000,000 Federal Farm Credit Bank.................................... 6.960% 06/06/00 1,004,703
483,225 Federal Home Loan Mortgage Corporation...................... 6.500% 12/01/23 479,040
1,475,929 Federal National Mortgage Association....................... 7.000% 09/01/17 1,487,735
750,000 Federal National Morgage Association CMO Sequential Payer
(GNMA 8%)................................................... 6.000% 04/25/19 738,269
-----------
6,301,457
-----------
OTHER GOVERNMENT OBLIGATIONS (.7%)
600,000 Quebec Province Of Canada (b)............................... 9.375% 04/01/99 661,733
-----------
STATE AND LOCAL GOVERNMENT OBLIGATIONS (1.8%)
1,848,000 Wyoming Community Development Authority..................... 6.850% 06/01/10 1,843,380
-----------
Total government obligations (cost: $53,658,017)................................ 56,250,775
-----------
CORPORATE OBLIGATIONS (39.4%)
CAPITAL GOODS (2.3%)
Machinery (2.3%)
2,100,000 Joy Technologies Incorporated............................... 10.250% 09/01/03 2,372,637
-----------
BASIC INDUSTRIES (2.0%)
Paper and Forest Products (2.0%)
2,000,000 Jefferson Smurfit Group PLC (b)............................. 6.750% 11/20/05 2,050,474
-----------
</TABLE>
See accompanying notes to investments in securities.
-27-
<PAGE>
BOND PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- ---------- -----------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--CONTINUED
CONSUMER STAPLES (8.8%)
Drugs (1.8%)
$1,750,000 American Home Products Corporation.......................... 6.500% 10/15/02 $ 1,798,781
-----------
Entertainment (1.6%)
1,500,000 Royal Caribbean Cruises Limited............................. 8.250% 04/01/05 1,618,699
-----------
Food (1.0%)
1,035,714 General Mills Inc........................................... 6.235% 03/15/97 1,042,721
-----------
Media (4.4%)
2,000,000 Fisher Scientific International............................. 7.125% 12/15/05 2,010,648
1,000,000 Time Warner Entertainment................................... 9.625% 05/01/02 1,157,564
1,250,000 Time Warner Incorporated.................................... 7.950% 02/01/00 1,320,524
-----------
4,488,736
-----------
ENERGY (1.6%)
Natural Gas Distribution (1.6%)
1,500,000 Consolidated Natural Gas Company............................ 8.750% 06/01/99 1,641,404
-----------
FINANCIAL (16.8%)
Commercial Finance (10.9%)
1,000,000 American Express Credit..................................... 6.125% 11/15/01 1,011,704
1,710,000 Associates Corporation of North America..................... 6.750% 10/15/99 1,767,863
2,300,000 Chrysler Financial Corporation.............................. 6.180% 12/15/00 2,309,129
2,000,000 Ford Motor Credit........................................... 4.810% 03/18/99 1,985,000
1,000,000 Ford Motor Credit........................................... 6.250% 12/08/05 999,583
1,500,000 Franchise Finance Corporation of America.................... 7.000% 11/30/00 1,507,624
1,500,000 General Motors Acceptance Corporation....................... 5.500% 12/15/01 1,446,430
-----------
11,027,333
-----------
Consumer Finance (1.1%)
1,000,000 American General Finance.................................... 8.500% 08/15/98 1,068,398
-----------
Real Estate (4.8%)
1,339,962 Green Tree Financial Corporation............................ 6.900% 02/15/04 1,350,427
888,860 Green Tree Finance Company Limited Net Interest Margin
Trust....................................................... 7.250% 07/15/05 901,878
1,000,000 Property Trust of America................................... 7.500% 02/15/14 1,012,023
1,500,000 Security Capital Industrial Trust........................... 7.875% 05/15/09 1,593,249
-----------
4,857,577
-----------
UTILITIES (3.7%)
Electric (1.3%)
345,000 Connecticut Light & Power Company........................... 7.625% 04/01/97 350,533
1,000,000 Korea Electric Power Global (b)............................. 6.375% 12/01/03 1,002,075
-----------
1,352,608
-----------
Telephones (2.4%)
1,250,000 AT&T Corporation............................................ 8.350% 01/15/25 1,428,005
850,000 GTE North................................................... 8.500% 12/15/31 955,045
-----------
2,383,050
-----------
TRANSPORTATION (4.2%)
Trucking (2.1%)
2,000,000 Consolidated Freightways Inc (d)............................ 7.350% 06/01/05 2,096,336
-----------
Water Transportation (2.1%)
1,000,000 Overseas Shipholding Group.................................. 8.750% 12/01/13 1,065,668
1,000,000 Overseas Shipholding Group.................................. 8.000% 12/01/03 1,031,716
-----------
2,097,384
-----------
Total corporate obligations (cost: $38,915,758)................................. 39,896,138
-----------
Total long-term debt securities (cost: $92,573,775)............................. 96,146,913
-----------
</TABLE>
See accompanying notes to investments in securities.
-28-
<PAGE>
BOND PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- ---------- -----------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (2.3%)
$2,305,798 Temporary Investment Fund, Inc.--TempFund Portfolio, current rate 5.82%......... $ 2,305,798
-----------
Total short-term securities (cost: $2,305,798).................................. 2,305,798
-----------
Total investments in securities (cost: $94,879,573) (e)......................... $98,452,711
-----------
-----------
</TABLE>
Notes to Investments in Securities
- ----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) The portfolio held 3.7% of net assets in foreign securities at December 31,
1995.
(c) For zero coupon issues (strips) the interest rate disclosed is the
effective yield at the date of acquisition.
(d) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. (See note 7 to the
financial statements). Information concerning the illiquid securities held
at December 31, 1995, which includes acquisition date and cost, is as
follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
- -------- ----------- ----------
<S> <C> <C>
Consolidated Freightways Inc. .................... 9/7/95 $2,003,800
----------
----------
</TABLE>
(e) At December 31, 1995 the cost of securities for federal income tax purposes
was $94,938,447. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
Gross unrealized appreciation............. $3,538,615
Gross unrealized depreciation............. (24,351)
----------
Net unrealized appreciation............... $3,514,264
----------
----------
-29-
<PAGE>
MONEY MARKET PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- ---------- -----------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (93.7%)
CAPITAL GOODS (3.4%)
Information Processing (3.4%)
$1,015,000 Hewlett-Packard............................................. 5.80% 01/24/96 $ 1,011,190
-----------
CONSUMER STAPLES (30.6%)
Drugs (7.2%)
1,185,000 American Home Products (c).................................. 5.85% 02/02/96 1,178,808
1,000,000 Schering Corporation........................................ 5.75% 01/17/96 997,375
-----------
2,176,183
-----------
Food (20.0%)
1,127,000 Brown Forman................................................ 5.87% 01/16/96 1,124,145
1,210,000 Cargill Inc................................................. 5.79% 02/06/96 1,202,998
1,310,000 Coca Cola Company........................................... 5.72% 02/02/96 1,303,299
1,315,000 CPC International Inc (c)................................... 5.79% 02/16/96 1,305,352
1,100,000 Pepsico Inc................................................. 5.82% 01/24/96 1,095,820
-----------
6,031,614
-----------
Media (3.4%)
900,000 McGraw-Hill................................................. 5.83% 01/26/96 896,315
145,000 McGraw-Hill................................................. 5.74% 03/19/96 143,224
-----------
1,039,539
-----------
ENERGY (6.3%)
Natural Gas Distribution (6.3%)
1,000,000 Equitable Resources Inc (c)................................. 5.90% 01/23/96 996,333
900,000 Northern Illinois Gas Company............................... 5.82% 01/12/96 898,299
-----------
1,894,632
-----------
FINANCIAL (17.3%)
Consumer Finance (17.3%)
1,000,000 American General Finance.................................... 5.73% 02/28/96 990,855
865,000 Associates Corporation...................................... 5.79% 02/20/96 858,089
1,000,000 BellSouth Capital Funding Corporation....................... 5.80% 01/05/96 999,215
1,045,000 Ford Motor Credit........................................... 5.85% 01/22/96 1,041,373
285,000 Ford Motor Credit........................................... 5.58% 03/29/96 281,174
1,065,000 GMAC........................................................ 5.86% 02/08/96 1,058,447
-----------
5,229,153
-----------
UTILITIES ( 32.3%)
Electric (20.5%)
675,000 Alabama Power............................................... 5.75% 02/08/96 670,890
900,000 Baltimore Gas & Electric.................................... 5.82% 01/11/96 898,441
850,000 Madison Gas & Electric...................................... 5.82% 01/16/96 847,854
1,000,000 MidAmerican Energy Company.................................. 5.86% 01/08/96 998,731
315,000 MidAmerican Energy Company.................................. 5.77% 02/09/96 313,023
1,075,000 Northern States Power....................................... 5.63% 02/27/96 1,065,474
730,000 Public Service Electric & Gas Company....................... 6.02% 01/19/96 727,727
150,000 Public Service Electric & Gas Company....................... 5.89% 02/23/96 148,706
495,000 Public Service Electric & Gas Company....................... 5.91% 02/23/96 490,716
-----------
6,161,562
-----------
Telephones (11.8%)
900,000 Ameritech Corporation....................................... 5.78% 03/06/96 890,842
1,070,000 AT&T Corporation............................................ 5.82% 02/09/96 1,063,319
625,000 GTE Northwest............................................... 5.78% 02/14/96 620,586
1,000,000 Southwestern Bell (c)....................................... 5.81% 01/09/96 998,575
-----------
3,573,322
-----------
</TABLE>
See accompanying notes to investments in securities.
-30-
<PAGE>
MONEY MARKET PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- ---------- -----------
<C> <S> <C> <C> <C>
TECHNOLOGY (3.8%)
$1,140,000 Rockwell International Corp (c)............................. 5.82% 01/18/96 $ 1,136,763
-----------
Total commercial paper (cost: $28,253,958)........................................ 28,253,958
-----------
OTHER SHORT-TERM SECURITIES (4.0%)
1,192,220 Temporary Investment Fund, Inc.--TempFund Portfolio, current rate 5.82%........... 1,192,220
-----------
Total other short-term securities (cost: $1,192,220).............................. 1,192,220
-----------
Total investments in securities (cost: $29,446,178) (b)........................... $29,446,178
-----------
-----------
</TABLE>
Notes to Investments in Securities
- ----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Also represents the cost of securities for federal income tax purposes at
December 31, 1995.
(c) Commercial paper sold within terms of a private placement memorandum exempt
from registration under Section 4(2) of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." This security has been determined to be liquid under
guidelines established by the board of directors.
-31-
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
COMMON STOCKS (55.5%)
CAPITAL GOODS (3.8%)
Machinery (3.8%)
87,726 General Electric Company.................................... $ 6,316,271
21,700 Millipore Corporation....................................... 892,413
51,005 United Waste Systems, Inc. (b).............................. 1,899,936
87,987 York International Corp..................................... 4,135,389
--------------
13,244,009
--------------
CONSUMER GOODS AND SERVICES (19.5%)
Consumer Goods (10.6%)
77,393 Columbia/HCA Healthcare Corporation......................... 3,927,695
36,000 Gillette Company............................................ 1,876,500
48,200 Johnson & Johnson........................................... 4,127,125
81,903 Pepsico, Inc................................................ 4,576,330
86,360 Pfizer Inc.................................................. 5,440,680
59,800 Philip Morris Companies, Inc................................ 5,411,900
53,455 Procter & Gamble Company.................................... 4,436,765
110,700 Service Corporation International........................... 4,870,800
52,900 Teva Pharmaceutical Industries (c).......................... 2,453,238
--------------
37,121,033
--------------
Consumer Services (1.9%)
98,972 CUC International, Inc. (b)................................. 3,377,420
54,800 GTECH Holdings Corporation (b).............................. 1,424,800
69,195 Manpower.................................................... 1,946,109
--------------
6,748,329
--------------
Food (1.1%)
54,800 CPC International........................................... 3,760,650
--------------
Retail (1.0%)
46,540 Home Depot, Inc............................................. 2,228,103
57,276 Office Depot, Inc (b)....................................... 1,131,201
--------------
3,359,304
--------------
Consumer Cyclicals (4.9%)
58,990 Exide Corporation........................................... 2,706,166
44,100 Magna International Inc..................................... 1,907,325
120,400 Newell Company.............................................. 3,115,350
91,604 Omnicom Group............................................... 3,412,249
85,400 Owens-Corning Fiberglas Corporation (b)..................... 3,832,325
48,300 Tommy Hilfiger Corporation (b).............................. 2,046,713
--------------
17,020,128
--------------
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
CREDIT SENSITIVE (10.0%)
Finance (10.0%)
88,100 American Express Company.................................... $ 3,645,138
49,140 American International Group, Inc........................... 4,545,450
65,930 Federal Home Loan Mortgage Corporation...................... 5,505,155
83,926 First Data Corporation...................................... 5,612,551
74,600 MBIA Inc.................................................... 5,595,000
77,200 MGIC Investment Corporation................................. 4,188,100
173,950 Norwest Corporation......................................... 5,740,349
--------------
34,831,743
--------------
INTERMEDIATE GOODS AND SERVICES (7.9%)
Energy (4.0%)
30,020 Amoco Corporation........................................... 2,157,688
102,800 Columbia Gas System, Inc. (b)............................... 4,510,350
31,230 Mobil Corporation........................................... 3,497,760
26,950 Royal Dutch Petroleum (c)................................... 3,803,319
--------------
13,969,117
--------------
Materials (1.8%)
187,700 Praxair Inc................................................. 6,311,413
--------------
Transportation (2.1%)
79,300 Fritz Companies (b)......................................... 3,290,950
76,200 Landstar System, Inc. (b)................................... 2,038,350
26,825 Norfolk Southern Corporation................................ 2,129,234
--------------
7,458,534
--------------
TECHNOLOGY (14.3%)
19,800 Adtran Inc. (b)............................................. 1,075,388
54,600 Automatic Data Processing Inc............................... 4,054,050
76,650 Bay Networks, Inc. (b)...................................... 3,152,231
116,109 Computer Associates International........................... 6,603,698
69,500 Computer Sciences Corporation (b)........................... 4,882,375
144,500 Danka Business Systems, PLC. (c)............................ 5,346,500
194,400 Equifax Incorporated........................................ 4,155,300
52,600 Fore Systems, Inc. (b)...................................... 3,129,700
138,820 Informix Corporation (b).................................... 4,164,600
67,181 Intel....................................................... 3,812,522
124,780 Oracle Corporation (b)...................................... 5,287,553
53,200 Worldcom, Inc. (b).......................................... 1,875,300
17,600 Xerox Corporation........................................... 2,411,200
--------------
49,950,417
--------------
Total common stocks
(cost: $160,635,858)............................................... 193,774,677
--------------
</TABLE>
See accompanying notes to investments in securities.
-32-
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- ------------ -------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (34.8%)
GOVERNMENT OBLIGATIONS (16.6%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (15.4%)
U.S. Treasury (10.3%)
$ 6,025,000 U.S. Treasury Bond.......................................... 12.000% 08/15/13 $ 9,299,202
3,500,000 U.S. Treasury Bond.......................................... 8.125% 08/15/19 4,401,250
6,875,000 U.S. Treasury Bond.......................................... 8.000% 11/15/21 8,604,482
200,000 U.S. Treasury Bond.......................................... 7.500% 11/15/24 240,250
3,600,000 U.S. Treasury Strip (d)..................................... 5.675% 02/15/01 2,740,500
1,750,000 U.S. Treasury Strip (d)..................................... 5.705% 02/15/04 1,114,066
3,450,000 U.S. Treasury Strip (d)..................................... 5.270% 08/15/99 2,853,871
4,500,000 U.S. Treasury Strip (d)..................................... 5.772% 11/15/01 3,282,296
750,000 U.S. Treasury Note.......................................... 6.750% 05/31/99 783,281
2,400,000 U.S. Treasury Note.......................................... 8.875% 11/15/98 2,627,246
-------------
35,946,444
-------------
Government National Mortgage Association (3.9%)
854,726 ............................................................ 7.500% 02/15/24 879,093
383,979 ............................................................ 6.500% 11/15/23 381,924
911,472 ............................................................ 6.500% 03/15/24 905,237
360,819 ............................................................ 7.500% 06/15/24 371,106
402,320 ............................................................ 7.500% 06/15/24 413,790
316,405 ............................................................ 6.500% 11/15/23 314,712
581,968 ............................................................ 6.500% 11/15/23 578,854
260,744 ............................................................ 6.500% 11/15/23 259,349
25,925 ............................................................ 6.500% 03/15/24 25,747
669,390 ............................................................ 7.500% 02/15/24 688,474
327,624 ............................................................ 6.500% 11/15/23 325,871
56,485 ............................................................ 7.500% 12/15/23 58,121
24,524 ............................................................ 6.500% 02/15/24 24,356
1,428,203 ............................................................ 7.500% 07/15/24 1,468,919
252,678 ............................................................ 7.500% 06/15/24 259,881
353,099 ............................................................ 7.500% 06/15/24 363,165
703,869 ............................................................ 7.500% 05/15/24 723,936
470,245 ............................................................ 7.500% 06/15/24 483,651
1,956,542 ............................................................ 7.000% 10/15/25 1,979,764
748,893 ............................................................ 7.500% 10/15/25 769,944
1,750,234 ............................................................ 7.000% 11/15/24 1,772,075
462,533 GNMA Midget II.............................................. 7.500% 06/20/02 475,035
232,779 GNMA Midget II.............................................. 7.500% 07/20/02 239,070
-------------
13,762,074
-------------
Other U.S. Government Agencies (1.2%)
2,600,000 Federal National Mortgage Association....................... 8.590% 02/03/05 2,736,705
1,454,412 Federal Home Loan Mortgage Corporation...................... 6.500% 12/01/23 1,441,815
-------------
4,178,520
-------------
STATE AND LOCAL GOVERNMENT OBLIGATIONS (1.2%)
4,070,000 Wyoming Community Development Authority..................... 6.850% 06/01/10 4,059,824
-------------
Total government obligations (cost: $55,765,125)......................................... 57,946,862
-------------
CORPORATE OBLIGATIONS (18.2%)
CAPITAL GOODS (1.2%)
Electronics (.2%)
500,000 Xerox Corporation........................................... 9.200% 07/15/99 510,824
-------------
Machinery (1.0%)
3,124,000 Joy Technologies Incorporated............................... 10.250% 09/01/03 3,529,580
-------------
BASIC INDUSTRIES (.9%)
Paper And Forest Products (.9%)
3,000,000 Jefferson Smurfit Group PLC (c)............................. 6.750% 11/20/05 3,075,711
-------------
</TABLE>
See accompanying notes to investments in securities.
-33-
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- ------------ -------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--CONTINUED
CONSUMER STAPLES (4.5%)
Drugs (.7%)
$ 2,500,000 American Home Products Corporation.......................... 6.500% 10/15/02 $ 2,569,688
-------------
Entertainment (.5%)
1,750,000 Royal Caribbean Cruises..................................... 8.250% 04/01/05 1,888,483
-------------
Food (.3%)
857,143 General Mills Inc........................................... 6.235% 03/15/97 862,941
-------------
Media (3.0%)
3,500,000 Fisher Scientific International Inc......................... 7.125% 12/15/05 3,518,634
2,400,000 Time Warner Entertainment................................... 9.625% 05/01/02 2,778,154
600,000 Time Warner Incorporated.................................... 7.950% 02/01/00 633,851
3,500,000 News America Holdings....................................... 7.700% 10/30/25 3,581,529
-------------
10,512,168
-------------
ENERGY (1.4%)
Natural Gas Distribution (1.0%)
3,100,000 Consolidated Natural Gas Company............................ 8.750% 06/01/99 3,392,234
-------------
Natural Gas Pipelines (.4%)
1,500,000 Enron Corporation........................................... 8.500% 02/01/00 1,550,835
-------------
FINANCIAL (7.3%)
Consumer Finance (6.2%)
1,000,000 American Express Credit Company............................. 6.125% 11/15/01 1,011,704
1,400,000 American General Finance Corporation........................ 8.500% 08/15/98 1,495,757
3,000,000 Chrysler Financial Corporation.............................. 6.180% 12/15/00 3,011,907
2,750,000 Federal Farm Credit Bank.................................... 6.960% 06/06/00 2,762,933
2,000,000 Ford Motor Credit Company................................... 4.810% 03/18/99 1,985,000
3,400,000 Ford Motor Credit Company................................... 6.250% 12/08/05 3,398,582
2,000,000 Franchise Finance Corp of America........................... 7.000% 11/30/00 2,010,166
2,600,000 General Motors Acceptance Corp.............................. 5.500% 12/15/01 2,507,146
3,300,000 Associates Corporation of North America..................... 6.750% 10/15/99 3,411,665
-------------
21,594,860
-------------
Real Estate (1.1%)
1,500,000 Property Trust of America................................... 7.500% 02/15/14 1,518,035
2,250,000 Security Capital Industrial Trust........................... 7.875% 05/15/09 2,389,874
-------------
3,907,909
-------------
UTILITIES (1.3%)
Electric (.6%)
1,600,000 Korea Electric Power Global (c)............................. 6.375% 12/01/03 1,603,320
500,000 Oklahoma Gas & Electric Co.................................. 6.375% 01/01/98 500,906
-------------
2,104,226
-------------
Telephones (.7%)
2,350,000 GTE Northwest Inc........................................... 6.125% 02/15/99 2,379,455
-------------
TRANSPORTATION (1.6%)
Air Transportation (.5%)
1,500,000 Delta Air Lines Inc......................................... 9.200% 09/23/14 1,699,352
-------------
Water Transportation (1.1%)
2,250,000 Overseas Shipholders Group.................................. 8.750% 12/01/13 2,397,753
1,250,000 Overseas Shipholding Group.................................. 8.000% 12/01/03 1,289,645
-------------
3,687,398
-------------
Total corporate obligations (cost: $61,693,030).......................................... 63,265,664
-------------
Total long-term debt securities (cost: $117,458,155)..................................... 121,212,526
-------------
</TABLE>
See accompanying notes to investments in securities.
-34-
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- ------------ -------------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (9.1%)
$ 6,603,871 Temporary Investment Fund, Inc.--Tempfund Portfolio, current rate 5.82%.................. $ 6,603,871
2,000,000 U.S. Treasury Bill.......................................... 5.410% 01/11/96 1,996,606
5,375,000 U.S. Treasury Bill.......................................... 5.240-5.480% 02/15/96 5,341,675
2,000,000 Lubrizol Corporation CP..................................... 5.710% 01/31/96 1,989,733
1,600,000 Public Service Energy & Gas CP.............................. 6.020% 01/19/96 1,594,839
1,470,000 Public Service Energy & Gas CP.............................. 6.010% 01/29/96 1,463,038
9,750,000 Southwest Bell Capital Corporation CP....................... 5.780% 02/13/96 9,681,478
3,000,000 Xerox Credit CP............................................. 5.850% 01/25/96 2,987,558
-------------
Total short-term securities (cost: $31,658,512).......................................... 31,658,798
-------------
Total investments in securities (cost: $309,752,525) (e)................................. $ 346,646,001
-------------
-------------
</TABLE>
Notes to Investments in Securities
- ----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Fund held 4.7% of net assets in foreign securites as of December 31,
1995.
(d) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(e) At December 31, 1995 the cost of securities for federal income tax purposes
was $309,858,905. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
Gross unrealized appreciation............. $38,178,317
Gross unrealized depreciation............. (1,391,221)
-----------
Net unrealized appreciation............... $36,787,096
-----------
-----------
-35-
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
(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 (98.4%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (65.8%)
Federal Home Loan Mortgage Corporation (8.6%)
$ 919,730 Bi-weekly................................................... 7.000% 12/01/22 $ 929,488
2,183,987 Bi-weekly................................................... 6.500% 12/01/23 2,165,071
1,932,102 20 Year Gold................................................ 6.500% 07/01/13 1,924,758
988,371 20 Year Gold................................................ 6.500% 05/01/14 984,614
-----------
6,003,931
-----------
Federal National Mortgage Association (19.8%)
1,236,946 FHR 1048 Y PAC Accrual Bond (FHLMC 9.5%) (c)................ 5.000% 01/15/02 1,173,094
500,000 CMO PAC Targeted Amortization Class (GNMA 8%)............... 6.000% 12/25/08 492,500
2,600,000 CMO Sequential Payer (GNMA 8%).............................. 6.000% 04/25/19 2,559,333
719,418 PAC Accrual Bond (FNMA 10%)................................. 6.900% 06/25/19 712,460
1,070,182 Bi-weekly................................................... 6.000% 07/01/07 1,058,516
1,389,205 Bi-weekly................................................... 6.500% 03/01/17 1,376,659
480,695 Bi-weekly................................................... 6.500% 02/01/17 476,354
1,811,321 Bi-weekly................................................... 7.000% 09/01/17 1,825,809
9,029 ............................................................ 8.000% 05/01/22 9,444
953,994 ............................................................ 6.000% 11/01/13 933,597
407,158 ............................................................ 6.500% 03/01/14 405,403
1,912,962 ............................................................ 7.000% 09/01/15 1,939,512
870,199 ............................................................ 6.500% 01/01/14 867,048
-----------
13,829,729
-----------
Government National Mortgage Association (15.6%)
566,330 ............................................................ 8.000% 12/15/15 591,548
362,191 ............................................................ 8.000% 02/15/16 378,319
323,372 ............................................................ 8.000% 02/15/16 337,772
380,091 ............................................................ 8.000% 02/15/16 397,016
513,824 ............................................................ 8.000% 03/15/16 536,704
567,185 ............................................................ 7.000% 04/15/16 575,516
368,533 ............................................................ 7.000% 09/15/16 375,866
735,567 ............................................................ 7.000% 08/15/16 750,205
336,945 ............................................................ 7.000% 05/15/17 343,684
364,263 ............................................................ 7.000% 07/15/17 371,548
152,826 ............................................................ 7.500% 02/15/17 157,733
195,751 ............................................................ 7.500% 06/15/17 202,037
294,815 ............................................................ 7.000% 03/15/17 300,711
190,906 ............................................................ 7.500% 06/15/17 197,036
197,874 ............................................................ 7.500% 10/15/17 204,228
308,402 ............................................................ 7.000% 05/15/17 314,570
7,344 ............................................................ 8.500% 03/15/22 7,719
475,138 GNMA II..................................................... 7.500% 09/20/16 488,180
79,697 GNMA II..................................................... 8.500% 10/20/16 83,897
381,230 GNMA II..................................................... 7.500% 09/20/16 391,695
691,168 GNMA II..................................................... 8.000% 02/20/17 721,082
226,672 GNMA II..................................................... 8.500% 10/20/16 238,618
936,135 GNMA II..................................................... 8.500% 07/20/17 984,495
263,706 GNMA II..................................................... 8.500% 03/20/17 277,329
378,030 GNMA II..................................................... 8.500% 08/20/17 397,559
492,570 GNMA II..................................................... 7.500% 08/20/17 505,894
467,124 GNMA II..................................................... 8.000% 07/20/17 487,341
216,315 GNMA II..................................................... 8.500% 12/20/16 227,715
-----------
10,846,017
-----------
</TABLE>
See accompanying notes to investments in securities.
-36-
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- ----------- -----------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS--CONTINUED
Other Government Agency Obligations (21.8%)
$ 1,912,000 Pleasant Hill Revenue Bond.................................. 7.950% 09/20/15 $ 2,020,823
2,002,206 Vendee Mortgage Trust Participation Certificate (b)......... 8.465% 05/15/24 2,143,611
736,761 Vendee Mortgage Trust Participation Certificate (b)......... 7.206% 02/15/25 752,647
2,115,611 Vendee Mortgage Trust Participation Certificate (b)......... 7.793% 02/15/25 2,231,970
2,696,133 Vendee Mortgage Trust Participation Certificate (b)......... 8.793% 06/15/25 2,926,146
2,950,000 Vendee Mortgage Trust Participation Certificate (b)......... 7.250% 07/15/14 3,043,109
2,000,000 Vendee Mortgage Trust Participation Certificate (b)......... 7.250% 07/15/16 2,058,125
-----------
15,176,431
-----------
Total U.S. government and agencies obligations (cost: $43,988,469)................. 45,856,108
-----------
OTHER MORTGAGE-BACKED SECURITIES (22.2%)
4,000,000 Bank Mart Funding Corporation CMO (FHLM 8%) (d)............. 8.250% 02/20/19 4,110,000
International Capital Markets Acceptance Corporation 144A
1,447,037 Issue (d)................................................... 8.250% 09/01/15 1,456,081
1,000,000 KPAC CMO (GNMA 9.5%)........................................ 7.450% 10/01/18 1,010,000
2,295,000 KPAC Real Estate Investment Trust........................... 7.180% 10/01/05 2,338,031
2,500,000 Franchise Finance Corp Of America Notes..................... 7.000% 11/30/00 2,512,708
950,000 Citicorp Mortgage Securities, Inc. Targeted Amortization
Class....................................................... 6.000% 11/25/08 929,584
3,141,000 Wyoming Community Development Authority..................... 6.850% 06/01/10 3,133,147
7,145 RFC Conduit................................................. 8.500% 04/01/02 7,145
17,043 Travelers Mortgage Service.................................. 10.000% 06/01/01 17,043
-----------
Total other mortgage-backed securities (cost: $14,971,810)......................... 15,513,739
-----------
CORPORATE DEBT SECURITIES (10.4%)
173,385 Bank of America............................................. 8.375% 05/01/07 173,385
36,831 Bank of America............................................. 9.500% 01/01/09 36,831
2,250,000 CSBF Senior Performance Note 95-A Mortgage Revenue.......... 7.000% 11/15/05 2,324,531
2,009,942 Green Tree Financial Corporation............................ 6.900% 02/15/04 2,025,640
666,645 Green Tree Financial Corporation............................ 7.250% 07/15/05 676,409
1,000,000 Property Trust of America Notes............................. 6.875% 02/15/08 1,009,258
1,000,000 Property Trust of America Notes............................. 7.500% 02/15/14 1,012,023
-----------
Total corporate debt securities (cost: $7,114,592)................................. 7,258,077
-----------
Total long-term debt securities (cost: $66,074,871)................................ 68,627,924
-----------
SHORT-TERM SECURITIES (1.0%)
715,624 Temporary Investment Fund, Inc.--TempFund Portfolio, current rate 5.82%............ 715,624
-----------
Total short-term securities (cost: $715,624)....................................... 715,624
-----------
Total investments in securities (cost: $66,790,495) (e)............................ $69,343,548
-----------
-----------
</TABLE>
Notes to Investments in Securities
- ----------------------------------
(a) Securities are valued by prodedures 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 December 31, 1995.
(c) Represents a debt security that pays no interest and principal during their
initial accrual periods, but accrue additional principal at specific rates.
Interest rate disclosed represents current yield based upon estimated future
cash flows.
(d) Represents ownership in an illiquid security which has not been registered
with the Securities and Exchange Commission under the Securities Act of
1933. (See note 7 to the financial statements). Information concerning the
illiquid securities held at December 31, 1995, which includes aquisition
date and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
- -------- ----------- ----------
<S> <C> <C>
Bank Mart Funding Corporation CMO................. 5/27/94 $3,975,000
International Capital Markets Acceptance
Corporation....................................... 1/17/95 1,590,962
----------
$5,565,962
----------
----------
</TABLE>
(e) At December 31, 1995 the cost of securities for federal income tax purposes
was $66,790,495. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
Gross unrealized appreciation..................... $2,554,202
Gross unrealized depreciation..................... (1,149)
----------
Net unrealized appreciation....................... $2,553,053
----------
----------
-37-
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------- ------------
<C> <S> <C>
COMMON STOCKS (99.5%)
CAPITAL GOODS (7.4%)
Machinery (7.4%)
3,600 Alco Standard Corporation................................... $ 164,250
7,000 Allied-Signal, Inc.......................................... 332,499
4,600 AMP, Inc.................................................... 176,525
4,000 Applied Materials, Inc. (b)................................. 157,500
8,600 Baker Hughes, Inc........................................... 209,625
3,600 Browning-Ferris Industries, Inc............................. 106,200
4,300 Caterpillar, Inc............................................ 252,625
1,800 Cooper Industries........................................... 66,150
2,600 Cummins Engine Company, Inc................................. 96,200
6,300 Dana Corporation............................................ 184,275
7,000 Deere & Company............................................. 246,750
2,800 Dial Corporation............................................ 82,950
5,600 Dover Corporation........................................... 206,500
3,900 Dresser Industries, Inc..................................... 95,063
1,100 Eaton Corporation........................................... 58,988
5,800 Emerson Electric Co......................................... 474,149
1,400 Fluor Corporation........................................... 92,400
700 Foster Wheeler Corporation.................................. 29,750
44,500 General Electric Company.................................... 3,203,999
1,700 Grainger W W, Inc........................................... 112,625
4,600 Halliburton Company......................................... 232,875
800 Helmerich & Payne, Inc...................................... 23,800
6,500 HIG Hartford (b)............................................ 314,438
1,800 Illinois Tool Works, Inc.................................... 106,200
4,600 Ingersoll-Rand Company...................................... 161,575
3,400 ITT Corporation (b)......................................... 180,200
13,500 Laidlaw, Inc. (c)........................................... 138,375
2,000 McDermott International, Inc................................ 44,000
2,950 Navistar International Corporation (b)...................... 30,975
600 Ogden Corporation........................................... 12,825
690 Paccar, Inc................................................. 29,066
3,100 Raychem Corporation......................................... 176,313
900 Rowan Companies, Inc (b).................................... 8,888
7,900 Safety-Kleen Corp........................................... 123,438
500 Teledyne, Inc............................................... 12,813
1,200 Textron, Inc................................................ 81,000
1,900 Stanley Works............................................... 97,850
500 Trinova Corporation......................................... 14,313
3,200 Tyco International Ltd...................................... 114,000
1,800 Varity Corporation (b)...................................... 66,825
2,900 Western Atlas Corporation (b)............................... 146,450
10,200 Westinghouse Electric Corporation........................... 168,300
6,000 Whitman Corporation......................................... 139,500
12,500 WMX Technologies, Inc....................................... 373,438
------------
9,146,480
------------
CONSUMER GOODS AND SERVICES (35.7%)
Consumer Goods (19.5%)
19,900 Abbott Laboratories......................................... 830,824
4,600 Adolph Coors Company........................................ 101,775
6,200 Alberto-Culver Company...................................... 213,125
2,500 Alza Corporation (b)........................................ 61,875
4,800 American Brands, Inc........................................ 214,200
7,800 American Home Products Corporation.......................... 756,599
6,400 Amgen, Inc. (b)............................................. 380,000
<CAPTION>
MARKET
SHARES VALUE(A)
- ------- ------------
<C> <S> <C>
CONSUMER GOODS AND SERVICES--CONTINUED
6,100 Anheuser-Busch Companies, Inc............................... $ 407,937
1,400 Avon Products............................................... 105,525
3,700 Bausch & Lomb Incorporated.................................. 146,613
7,000 Baxter International Inc.................................... 293,125
1,200 Becton, Dickinson And Company............................... 90,000
3,900 Beverly Enterprises (b)..................................... 41,438
1,400 Biomet, Inc. (b)............................................ 25,025
4,600 Boston Scientific Corporation (b)........................... 225,400
13,000 Bristol-Myers Squibb Company................................ 1,116,374
2,400 Brown-Forman Inc............................................ 87,600
3,700 C.R. Bard, Inc.............................................. 119,325
1,900 Cabletron Systems, Inc. (b)................................. 153,900
33,500 Coca-Cola Company........................................... 2,487,374
3,900 Colgate-Palmolive Company................................... 273,975
11,971 Columbia/HCA Healthcare Corporation......................... 607,527
2,800 Community Psychiatric Centers (b)........................... 34,300
14,200 Eli Lilly & Company......................................... 798,749
11,200 Gillette Company............................................ 583,799
2,800 Harcourt General, Inc....................................... 117,250
6,200 Humana (b).................................................. 169,725
1,500 International Flavors & Fragrances Inc...................... 72,000
17,400 Johnson & Johnson........................................... 1,489,874
6,800 Mallinckrodt Group, Inc..................................... 247,350
4,900 Manor Care, Inc............................................. 171,500
7,200 Medtronic Inc............................................... 402,300
32,000 Merck & Co., Inc............................................ 2,103,999
20,000 Pepsico, Inc................................................ 1,117,499
16,200 Pfizer Inc.................................................. 1,020,599
13,055 Pharmacia & Upjohn.......................................... 505,880
23,400 Philip Morris Companies, Inc................................ 2,117,699
18,334 Procter & Gamble Company.................................... 1,521,721
9,000 Schering-Plough Corporation................................. 492,750
3,000 Service Corporation International........................... 132,000
5,700 St. Jude Medical, Inc. (b).................................. 245,100
10,300 Tenet Healthcare Corporation (b)............................ 213,725
2,000 Clorox Company.............................................. 143,250
8,100 Seagram Company, Ltd. (c)................................... 280,463
4,000 Unilever N.V. (c)........................................... 562,999
3,400 United Health Care.......................................... 222,700
3,600 United States Surgical Corporation.......................... 76,950
3,100 US Healthcare, Inc.......................................... 144,150
4,300 UST Inc..................................................... 143,513
2,800 Warner-Lambert Company...................................... 271,950
------------
24,143,330
------------
Consumer Services (5.2%)
3,700 Capital Cities/ABC, Inc..................................... 456,488
7,800 Comcast Corporation......................................... 141,863
4,700 CUC International, Inc. (b)................................. 160,388
3,300 Deluxe Corp................................................. 95,700
3,400 R R Donnelley & Sons Company................................ 133,875
2,200 Dow Jones & Company Inc..................................... 87,725
4,360 Dun & Bradstreet Corporation................................ 282,310
3,825 Eastman Chemical Company.................................... 239,541
8,000 Eastman Kodak Company....................................... 536,000
2,900 Gannett Company............................................. 177,988
1,800 Harrah's Entertainment (b).................................. 43,650
6,800 Hasbro Inc.................................................. 210,800
</TABLE>
See accompanying notes to investments in securities.
-38-
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------- ------------
<C> <S> <C>
CONSUMER GOODS AND SERVICES--CONTINUED
1,200 Hilton Hotels Corporation................................... $ 73,800
600 John H. Harland Company..................................... 12,525
2,000 Jostens, Inc................................................ 48,500
600 King World Productions, Inc. (b)............................ 23,325
3,000 Knight-Ridder, Inc.......................................... 187,500
5,100 Marriott International Inc.................................. 195,075
4,593 Mattel Inc.................................................. 141,235
17,500 McDonalds Corp.............................................. 789,688
1,800 McGraw-Hill Companies, Inc.................................. 156,825
3,600 Meredith Corporation........................................ 150,750
2,100 Moore Corporation Limited................................... 39,113
4,000 Polaroid Corporation........................................ 189,500
2,900 New York Times Company...................................... 85,913
8,400 Time Warner Inc............................................. 318,150
1,600 Times Mirror Company........................................ 54,200
1,500 Tribune Company............................................. 91,688
8,730 Viacom (b).................................................. 413,584
12,900 Walt Disney Company......................................... 761,099
6,200 Wendy's International, Inc.................................. 131,750
------------
6,430,548
------------
Food (3.3%)
4,600 Albertson's Incorporated.................................... 151,225
11,481 Archer-Daniels-Midland Company.............................. 206,658
6,700 Campbell Soup Company....................................... 402,000
5,625 Conagra, Inc................................................ 232,031
3,000 CPC International........................................... 205,875
3,300 Darden Restaurants, Inc..................................... 39,188
7,600 Fleming Companies, Inc...................................... 156,750
3,300 General Mills, Inc.......................................... 190,575
4,500 Giant Food Inc.............................................. 141,750
7,800 H.J. Heinz Company.......................................... 258,375
2,900 Hershey Foods Corporation................................... 188,500
5,100 Kellogg Company............................................. 393,975
6,300 Quaker Oats Company......................................... 217,350
2,600 Ralston Purina Group........................................ 162,175
11,700 Sara Lee Corporation........................................ 372,938
7,400 Super Valu Inc.............................................. 233,100
6,000 Sysco Corporation........................................... 195,000
2,100 The Kroger Co. (b).......................................... 78,750
4,800 Winn-Dixie Stores, Incorporated............................. 177,000
2,100 Wm. Wrigley Jr. Company..................................... 110,250
------------
4,113,465
------------
Retail (4.2%)
8,500 American Stores Company..................................... 227,375
2,200 Circuit City Stores, Inc.................................... 60,775
1,300 Dayton Hudson Corporation................................... 97,500
3,700 Dillard Department Stores, Inc.............................. 105,450
5,500 Federated Department Stores (b)............................. 151,250
12,424 Home Depot Inc.............................................. 594,798
4,500 J.C. Penney Company, Inc.................................... 214,313
7,300 K Mart Corporation (b)...................................... 52,925
1,200 Longs Drug Stores Corp...................................... 57,450
3,100 Melville Corporation........................................ 95,325
1,000 Mercantile Stores Company, Inc.............................. 46,250
3,200 Nike, Inc................................................... 222,800
3,700 Nordstrom, Inc.............................................. 149,850
11,800 Price/Costco Corporation (b)................................ 179,950
3,600 Reebok International Ltd.................................... 101,700
1,000 Rite Aid Corporation........................................ 34,250
8,800 Sears, Roebuck and Company.................................. 343,200
<CAPTION>
MARKET
SHARES VALUE(A)
- ------- ------------
<C> <S> <C>
CONSUMER GOODS AND SERVICES--CONTINUED
3,800 Tandy Corporation........................................... $ 157,700
6,000 Gap, Inc.................................................... 252,000
7,500 Limited, Inc................................................ 130,313
5,000 May Department Stores Company............................... 211,250
1,000 Stride Rite Corporation..................................... 7,500
5,650 Toys R Us (b)............................................... 122,888
61,500 Wal-Mart Stores, Inc........................................ 1,376,062
4,400 Walgreen Company............................................ 131,450
9,100 Woolworth Corporation (b)................................... 118,300
------------
5,242,624
------------
Consumer Cyclicals (3.5%)
8,800 Chrysler Corporation Holding Co............................. 487,300
4,500 Cooper Tire & Rubber Company................................ 110,813
3,900 Corning Inc................................................. 124,800
2,000 Echlin Inc.................................................. 73,000
27,000 Ford Motor.................................................. 783,000
19,600 General Motors Corporation.................................. 1,036,349
5,900 Genuine Parts Company....................................... 241,900
4,800 Interpublic Group Company................................... 208,200
2,700 Johnson Controls............................................ 185,625
1,600 Liz Claiborne, Inc.......................................... 44,400
4,300 Maytag Company.............................................. 87,075
3,000 Newell Co................................................... 77,625
400 Owens-Corning Fiberglas Corporation (b)..................... 17,950
3,000 Pep Boys.................................................... 76,875
2,000 Premark International Inc................................... 101,250
3,600 Rubbermaid Incorporated..................................... 91,800
1,100 Russell Corporation......................................... 30,525
3,500 Snap-On Tools Corporation................................... 158,375
1,100 The Black & Decker Corporation.............................. 38,775
2,500 The Goodyear Tire & Rubber Company.......................... 113,438
2,200 V.F. Corporation............................................ 116,050
1,600 Whirlpool Corporation....................................... 85,200
------------
4,290,325
------------
CREDIT SENSITIVE (25.3%)
Building (.6%)
1,200 Armstrong World Industries, Inc............................. 74,400
1,000 Fleetwood Enterprises, Inc.................................. 25,750
2,800 Lowe's Companies, Inc....................................... 93,800
6,900 Masco Corporation........................................... 216,488
3,800 PPG Industries, Incorporated................................ 173,850
3,100 Sherwin-Williams Company.................................... 126,325
------------
710,613
------------
Finance (13.1%)
2,100 Aetna Life & Casualty Company............................... 145,425
9,400 Ahmanson & Company H.F...................................... 249,100
2,300 Alexander & Alexander Services Inc.......................... 43,700
10,857 Allstate Corporation........................................ 446,494
12,300 American Express Company.................................... 508,912
4,100 American General Corporation................................ 142,988
11,980 American International Group, Inc........................... 1,108,149
10,252 Banc One Corporation........................................ 387,013
5,200 Bank of Boston Corporation.................................. 240,500
4,300 Bank of New York Company, Inc............................... 209,625
10,204 BankAmerica Corporation..................................... 660,709
3,400 Bankers Trust New York Corporation.......................... 226,100
4,400 Barnett Banks of Florida, Inc............................... 259,600
2,600 Beneficial Corporation...................................... 121,225
</TABLE>
See accompanying notes to investments in securities.
-39-
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------- ------------
<C> <S> <C>
CREDIT SENSITIVE--CONTINUED
5,900 H & R Block, Inc............................................ $ 238,950
4,500 Boatmens Bancshares Inc..................................... 183,938
4,100 Chase Manhattan Corporation................................. 248,563
5,970 Chemical Banking Corporation................................ 350,738
1,700 Chubb Corporation........................................... 164,475
2,000 Cigna Corporation........................................... 206,500
11,200 Citicorp.................................................... 753,199
4,500 Comerica.................................................... 180,563
2,400 Corestates Financial Corp................................... 90,900
4,195 Dean Witter Discover & Co................................... 197,165
4,700 Federal Home Loan Mortgage Corporation...................... 392,450
7,200 Federal National Mortgage................................... 893,699
3,500 First Bank Systems, Incorporated............................ 173,688
7,237 First Chicago Corporation................................... 285,862
5,600 First Data Corp............................................. 374,500
1,700 First Fidelity Bancorporation............................... 128,138
1,600 First Interstate Bancorp.................................... 218,400
3,900 First Union Corporation..................................... 216,938
9,680 Fleet Financial Group, Incorporated......................... 394,460
1,700 General RE Corporation...................................... 263,500
1,600 Golden West Financial Corporation........................... 88,400
8,650 Great Western Financial Corporation......................... 220,575
2,400 Household International, Inc................................ 141,900
4,800 Jefferson-Pilot Corporation................................. 223,200
4,200 JP Morgan & Co Incorporated................................. 337,050
4,300 Keycorp..................................................... 155,875
1,800 Lincoln National Corporation................................ 96,750
2,800 Loews Corporation........................................... 219,450
1,300 Marsh & McLennen............................................ 115,375
2,700 MBNA Corporation............................................ 99,563
3,900 Mellon Bank Corporation..................................... 209,625
3,800 Merrill Lynch & Co., Inc.................................... 193,800
1,900 Morgan Stanley Group........................................ 153,188
3,600 National City Corporation................................... 119,250
7,456 Nationsbank Corp............................................ 519,123
10,600 Norwest Corporation......................................... 349,800
5,400 PNC Bank Corp............................................... 174,150
5,300 Providian Corporation....................................... 215,975
2,500 Republic New York Corporation............................... 155,313
6,000 Safeco Corporation.......................................... 207,000
2,000 Salomon Inc................................................. 71,000
3,400 St. Paul Companies, Inc..................................... 189,125
2,200 Suntrust Banks, Inc......................................... 150,700
2,550 Torchmark Corporation....................................... 115,388
1,200 Transamerica Corporation.................................... 87,450
4,100 U.S. Bancorp................................................ 137,863
1,500 UNUM Corporation............................................ 82,500
7,300 USF&G Corporation........................................... 123,188
2,400 U.S. Life Corporation....................................... 71,700
6,200 Wachovia Corporation........................................ 283,650
1,000 Wells Fargo & Company....................................... 216,000
------------
16,230,092
------------
Utilities (11.7%)
14,400 Airtouch Communications (b)................................. 406,800
4,100 Alltel Corp................................................. 120,950
4,100 American Electric Power Company, Inc........................ 166,050
15,900 Ameritech................................................... 938,099
41,535 AT&T Corporation............................................ 2,689,390
2,800 Baltimore Gas And Electric Company.......................... 79,800
12,300 Bell Atlantic Corporation................................... 822,562
<CAPTION>
MARKET
SHARES VALUE(A)
- ------- ------------
<C> <S> <C>
CREDIT SENSITIVE--CONTINUED
26,000 BellSouth Corporation....................................... $ 1,130,999
6,500 Carolina Power & Light Company.............................. 224,250
3,100 Central & Southwest Corporation............................. 86,413
5,932 Cinergy..................................................... 181,668
5,500 Consolidated Edison Company of New York..................... 176,000
3,000 Consolidated Natural Gas Company............................ 136,125
5,300 Detroit Edison Company...................................... 182,850
3,550 Dominion Resources, Inc..................................... 146,438
3,900 Duke Power Company.......................................... 184,763
5,900 Enron Corp.................................................. 224,938
3,900 Entergy Corporation......................................... 114,075
4,700 FPL Group, Inc.............................................. 217,963
24,200 GTE Corporation............................................. 1,064,799
8,600 Houston Industries Incorporated............................. 208,550
5,200 Niagara Mohawk Power Corporation............................ 50,050
2,200 Nicor, Inc.................................................. 60,500
1,300 Northern States Power Company............................... 63,863
11,400 Nynex Corporation........................................... 615,599
3,700 Ohio Edison Company......................................... 86,950
800 Oneok Inc................................................... 18,300
5,100 Pacific Enterprises......................................... 144,075
10,300 Pacific Gas & Electric Company.............................. 292,263
10,500 Pacific Telesis Group....................................... 353,063
12,500 Pacificorp.................................................. 265,625
4,200 Peco Energy Company......................................... 126,525
2,000 Peoples Energy Corporation.................................. 63,500
3,750 Public Service Enterprise Group Inc......................... 114,844
17,300 SBC Communications Inc...................................... 994,749
10,000 SCE Corporation............................................. 177,500
4,600 Texas Utilities Company..................................... 189,175
17,800 Southern Company............................................ 438,325
5,500 Unicom Corporation.......................................... 180,125
2,200 Union Electric Company...................................... 91,850
12,200 U.S. West Media Group (b)................................... 231,800
11,700 U.S. West, Inc.............................................. 418,275
------------
14,480,438
------------
INTERMEDIATE GOODS AND SERVICES (17.6%)
Energy (9.2%)
1,800 Amerada Hess Corporation.................................... 95,400
14,400 Amoco Corporation........................................... 1,034,999
7,100 Ashland Incorporated........................................ 249,388
3,800 Atlantic Richfield Company.................................. 420,850
2,100 Burlington Resources, Inc................................... 82,425
18,400 Chevron Corporation......................................... 965,999
5,600 Coastal Corporation......................................... 208,600
2,900 Columbia Gas System, Inc. (b)............................... 127,238
2,500 Enserch Corp................................................ 40,625
32,500 Exxon Corporation........................................... 2,604,062
1,600 Kerr-McGee Corporation...................................... 101,600
10,600 Mobil Corporation........................................... 1,187,199
6,300 Noram Energy................................................ 55,913
7,700 Occidental Petroleum Corporation............................ 164,588
2,500 Oryx Energy Company (b)..................................... 33,438
7,900 Panhandle Eastern Corporation............................... 220,213
800 Pennzoil Company............................................ 33,800
4,900 Phillips Petroleum Company.................................. 167,213
13,900 Royal Dutch Petroleum (c)................................... 1,961,637
300 Santa Fe Energy Resources, Inc (b).......................... 2,888
6,200 Schlumberger, Ltd. (c)...................................... 429,350
4,000 Sonat Inc................................................... 142,500
</TABLE>
See accompanying notes to investments in securities.
-40-
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------- ------------
<C> <S> <C>
INTERMEDIATE GOODS AND SERVICES--CONTINUED
5,400 Sun Company, Inc............................................ $ 147,825
4,300 Tenneco Inc................................................. 213,388
6,900 Texaco, Inc................................................. 541,650
4,800 Unocal Corporation.......................................... 139,800
5,900 USX--Marathon Group......................................... 115,050
------------
11,487,638
------------
Materials (6.9%)
2,300 Air Products and Chemicals, Inc............................. 121,325
4,575 Alcan Aluminum Limited (c).................................. 142,397
3,800 Aluminum Company of America................................. 200,925
1,400 Asarco Incorporated......................................... 44,800
1,900 Avery Dennison Corp......................................... 95,238
7,300 Barrick Gold Corporation (c)................................ 192,538
800 Bemis Company, Inc.......................................... 20,500
2,900 Bethlehem Steel Corporation (b)............................. 40,600
566 Boise Cascade Corporation................................... 19,598
2,500 Champion International Corporation.......................... 105,000
3,400 Crown Cork & Seal Company, Inc. (b)......................... 141,950
950 Cyprus Amax Minerals Company................................ 24,819
6,700 Dow Chemical Company........................................ 471,513
14,400 E.I. Du Pont De Nemours and Company......................... 1,006,199
900 Echo Bay Mines, Ltd (c)..................................... 9,338
1,687 Engelhard Corporation....................................... 36,692
400 Federal Paper Board Company, Inc............................ 20,750
1,600 FMC Corporation (b)......................................... 108,200
11,400 Freeport-McMoran Copper..................................... 320,625
2,200 Georgia-Pacific Corporation................................. 150,975
1,900 W R Grace & Co.............................................. 112,338
3,400 Great Lakes Chemical Corporation............................ 244,800
2,700 Hercules Incorporated....................................... 152,213
11,500 Homestake Mining Company.................................... 179,688
5,500 Inco Limited (c)............................................ 182,875
4,800 International Paper Company................................. 181,800
7,100 Kimberly-Clark Corporation.................................. 587,524
5,600 Louisiana-Pacific Corporation............................... 135,800
1,200 Mead Corporation............................................ 62,700
3,100 Monsanto Company............................................ 379,750
3,600 Morton International........................................ 129,150
5,800 Nalco Chemical Company...................................... 174,725
1,622 Newmont Mining Corporation.................................. 73,396
1,500 Nucor Corporation........................................... 85,688
1,400 Phelps Dodge Corporation.................................... 87,150
2,100 Pioneer Hi-Bred International, Inc.......................... 116,813
5,100 Placer Dome, Inc. (c)....................................... 123,038
600 Potlatch Corporation........................................ 24,000
3,200 Praxair Inc................................................. 107,600
2,100 Reynolds Metals Company..................................... 118,913
1,600 Rohm And Haas Company....................................... 103,000
3,000 Sigma-Aldrich............................................... 148,500
3,010 Stone Container Corporation................................. 43,269
1,900 Temple-Inland Inc........................................... 83,838
3,000 Williams Company............................................ 131,625
8,467 Travelers Inc............................................... 532,363
1,550 Union Camp Corporation...................................... 73,819
3,900 Union Carbide Corporation................................... 146,250
5,640 USX--U.S. Steel Group Inc................................... 173,430
6,000 Westvaco Corporation........................................ 166,500
4,900 Weyerhaeuser Company........................................ 211,925
2,400 Willamette Industries Incorporated.......................... 135,000
<CAPTION>
MARKET
SHARES VALUE(A)
- ------- ------------
<C> <S> <C>
INTERMEDIATE GOODS AND SERVICES--CONTINUED
3,300 Worthington Industries...................................... $ 68,681
------------
8,552,143
------------
Transportation (1.5%)
1,000 AMR Corporation (b)......................................... 74,250
3,573 Burlington Northern Santa Fe................................ 278,694
1,600 Conrail Corporation......................................... 112,000
1,100 Consolidated Freightways, Inc............................... 29,150
7,400 CSX Corporation............................................. 337,625
1,100 Delta Air Lines, Inc........................................ 81,263
900 Federal Express Corporation (b)............................. 66,488
2,600 Norfolk Southern Corporation................................ 206,375
1,300 Roadway Services, Inc....................................... 63,538
1,500 Sante Fe Pacific Gold Corporation........................... 18,188
3,300 Southwest Airlines Company.................................. 76,725
4,800 Union Pacific Corporation................................... 316,800
18,400 US Air Group, Inc. (b)...................................... 243,800
------------
1,904,896
------------
TECHNOLOGY (13.5%)
2,600 Advanced Micro Devices, Inc. (b)............................ 42,900
1,000 Amdahl (b).................................................. 8,500
2,300 Andrew Corporation (b)...................................... 87,975
2,600 Apple Computer Incorporated................................. 82,875
2,200 Autodesk, Inc............................................... 75,350
3,500 Automatic Data Processing Inc............................... 259,875
8,900 Boeing Company.............................................. 697,537
6,800 Cisco Systems, Inc. (b)..................................... 507,450
6,100 Compaq Computer Corporation (b)............................. 292,800
6,350 Computer Associates International........................... 361,156
600 Crane Co.................................................... 22,125
500 Cray Research, Inc. (b)..................................... 12,375
5,600 Digital Equipment (b)....................................... 359,100
2,400 DSC Communications (b)...................................... 88,500
1,600 EG&G, Inc................................................... 38,800
2,000 General Dynamics Corporation................................ 118,250
2,700 B F Goodrich Company........................................ 183,938
4,000 Harris Corporation.......................................... 218,500
13,800 Hewlett-Packard Company..................................... 1,155,749
4,300 Honeywell Inc............................................... 209,088
22,200 Intel....................................................... 1,259,849
15,100 International Business Machines Corporation................. 1,385,424
5,219 Lockheed Martin Corporation................................. 412,301
4,200 Loral Corporation........................................... 148,575
5,000 LSI Logic Corporation (b)................................... 163,750
3,600 McDonnell Douglas Corporation............................... 331,200
17,900 MCI Communications.......................................... 467,638
5,800 Micron Technology, Inc...................................... 229,825
15,900 Microsoft Corporation (b)................................... 1,395,224
10,900 Minnesota Mining and Manufacturing Company.................. 722,125
14,700 Motorola.................................................... 837,900
6,400 National Semiconductor Corporation (b)...................... 142,400
5,700 Northern Telecom Limited.................................... 245,100
3,000 Northrop Grumman Corporation................................ 192,000
8,500 Novell, Inc. (b)............................................ 121,125
10,400 Oracle Corporation (b)...................................... 440,700
3,499 Pall Corporation............................................ 94,036
2,800 Perkin-Elmer Corporation.................................... 105,700
2,800 Pitney Bowes, Inc........................................... 131,600
6,500 Raytheon Company............................................ 307,125
</TABLE>
See accompanying notes to investments in securities.
-41-
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------- ------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
5,400 Rockwell International Corporation.......................... $ 285,525
4,400 Scientific-Atlanta Inc...................................... 66,000
3,200 Silicon Graphics, Inc. (b).................................. 88,000
10,100 Sprint Corporation.......................................... 402,738
8,400 Sun Microsystems, Inc. (b).................................. 383,250
6,600 Tandem Computers, Inc. (b).................................. 70,125
15,500 Tele-Communications, Inc. (b)............................... 308,063
2,600 Tellabs, Inc. (b)........................................... 96,200
4,600 Texas Instruments, Inc...................................... 238,050
400 Thomas & Betts Corporation.................................. 29,500
1,000 TRW Inc..................................................... 77,500
2,500 United Technologies Corporation............................. 237,188
12,400 Unisys Corporation (b)...................................... 69,750
2,700 Xerox Corporation........................................... 369,900
------------
16,678,229
------------
Total common stocks
(cost: $89,874,004).............................................. 123,410,821
------------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------- ------------
<C> <S> <C>
PREFERRED STOCKS (--%)
20 Teledyne.................................................... $ 288
------------
Total preferred stocks
(cost: $265)..................................................... 288
------------
SHORT-TERM SECURITIES (.3%)
346,283 Temporary Investment Fund, Inc.-- TempFund Portfolio,
current rate 5.82%........................................ 346,283
------------
Total short-term securities
(cost: $346,283)................................................. 346,283
------------
Total investments in securities
(cost: $90,220,552) (d).......................................... $123,757,392
------------
------------
</TABLE>
Notes to Investments in Securities
- ----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The portfolio held 3.2% of net assets in foreign securities at December 31,
1995
(d) At December 31, 1995, the cost of securities for federal income tax purposes
was $90,393,093. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
Gross unrealized appreciation............. $34,998,952
Gross unrealized depreciation............. (1,634,653)
-----------
Net unrealized appreciation............... $33,364,299
-----------
-----------
-42-
<PAGE>
CAPITAL APPRECIATION PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
COMMON STOCKS (95.4%)
CAPITAL GOODS (1.6%)
Machinery (1.6%)
51,350 Thermo Electron Corporation (b).................................. $ 2,670,200
--------------
CONSUMER GOODS AND SERVICES (40.6%)
Consumer Goods (22.4%)
81,500 Amgen, Inc. (b).................................................. 4,839,063
60,700 The Coca-Cola Company............................................ 4,506,975
81,000 Merck & Co., Inc................................................. 5,325,750
59,000 Oxford Health Plan, Inc. (b)..................................... 4,358,625
81,200 Pfizer, Inc...................................................... 5,115,600
101,650 St. Jude Medical, Inc. (b)....................................... 4,370,950
123,800 United Health Care............................................... 8,108,899
--------------
36,625,862
--------------
Consumer Services (3.5%)
85,000 Carnival Corporation (c)......................................... 2,071,875
77,939 Viacom (b)....................................................... 3,692,360
--------------
5,764,235
--------------
Retail (13.4%)
240,225 Dollar General Corporation....................................... 4,984,669
155,533 The Home Depot, Inc.............................................. 7,446,141
135,100 Intimate Brands, Inc............................................. 2,026,500
53,600 Kohl's, Inc. (b)................................................. 2,814,000
238,300 Office Depot, Inc. (b)........................................... 4,706,425
--------------
21,977,735
--------------
Food (1.2%)
54,300 Outback Steakhouse, Inc. (b)..................................... 1,948,013
--------------
CREDIT SENSITIVE (11.4%)
Building (2.8%)
139,200 Lowe's Companies, Inc............................................ 4,663,200
--------------
Finance (4.8%)
64,900 First Data Corporation........................................... 4,340,188
95,900 MBNA Corporation................................................. 3,536,313
--------------
7,876,501
--------------
Utilities (3.8%)
218,400 Airtouch Communications (b)...................................... 6,169,800
--------------
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
TECHNOLOGY (41.8%)
135,550 Computer Associates International................................ $ 7,709,405
109,000 Intel............................................................ 6,185,750
187,900 MCI Communications............................................... 4,908,888
58,100 Microsoft Corporation (b)........................................ 5,098,275
118,700 Motorola......................................................... 6,765,900
152,900 Oracle Corporation (b)........................................... 6,479,138
168,000 Paging Network, Inc. (b)......................................... 4,095,000
76,100 Parametric Technology Corporation (b)............................ 5,060,650
146,900 Silicon Graphics, Inc. (b)....................................... 4,039,750
33,100 Xerox Corporation................................................ 4,534,700
109,300 Cisco Systems, Inc. (b).......................................... 8,156,512
128,000 General Instrument Corporation (b)............................... 2,992,000
58,900 Micron Technology, Inc........................................... 2,333,913
--------------
68,359,881
--------------
Total common stocks
(cost: $120,517,608).................................................... 156,055,427
--------------
PREFERRED STOCKS (2.9%)
TECHNOLOGY (2.9%)
121,700 Nokia Corp ADR (c)............................................... 4,731,088
--------------
Total preferred stocks
(cost: $5,114,676)...................................................... 4,731,088
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C>
SHORT-TERM SECURITIES (1.1%)
$1,809,123 Temporary Investments Fund, Inc.-- TempFund Portfolio, current
rate 5.82% .................................................... 1,809,123
--------------
Total short-term securities
(cost: $1,809,123)...................................................... 1,809,123
--------------
Total investments in securities
(cost: $127,441,407) (d)................................................ $162,595,638
--------------
--------------
</TABLE>
Notes to Investments in Securities
- ----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The portfolio held 4.2% of net assets in foreign securities at December 31,
1995.
(d) At December 31, 1995, the cost of securities for federal income tax purposes
was $127,455,347. The agrgregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
Gross unrealized appreciation..................... $40,171,628
Gross unrealized depreciation..................... (5,031,337)
-----------
Net unrealized appreciation....................... $35,140,291
-----------
-----------
-43-
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES
December 31, 1995
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
COMMON STOCKS (83.7%)
AUSTRALIA (4.9%)
Banking (1.0%)
66,163 National Australia Bank.......................................... $ 595,520
190,087 Westpac Banking.................................................. 842,741
Building Materials and Components (1.2%)
648,423 Pioneer International............................................ 1,673,722
Transportation (2.7%)
127,500 Brambles Industries.............................................. 1,422,646
507,000 BTR Nylex Ltd.................................................... 1,372,792
61,000 Qantas Airways Limited ADR 144A (d).............................. 1,016,418
--------------
6,923,839
--------------
AUSTRIA (2.4%)
Electrical and Electronics (1.7%)
12,980 Bohler-Uddeholm 144A (d)(b)...................................... 992,486
10,850 Va Technologie 144A (d).......................................... 1,379,109
Utilities--Gas and Electric (.7%)
7,000 Evn Energie-Versorung............................................ 962,735
--------------
3,334,330
--------------
BELGIUM (1.9%)
Chemicals (1.9%)
2,500 Solvay........................................................... 1,350,704
20,000 Union Miniere (b)................................................ 1,338,812
--------------
2,689,516
--------------
BRAZIL (.9%)
Telecommunications (.9%)
27,500 Telecomunicacoes Brasileiras ADR................................. 1,302,813
--------------
CANADA (3.2%)
Banking (2.1%)
60,500 Canadian Imperial Bank of Commerce............................... 1,802,125
135,000 National Bank of Montreal........................................ 1,101,210
Insurance (.9%)
65,000 London Insurance Group........................................... 1,316,594
Mining and Metals--Container (.2%)
39,000 Inmet............................................................ 285,957
--------------
4,505,886
--------------
CHILE (1.2%)
Financial Services (.4%)
21,000 Chile Fund Inc................................................... 546,000
Telecommunications (.8%)
14,000 Compania de Telefonos de Chile ADR............................... 1,160,250
--------------
1,706,250
--------------
CZECH REPUBLIC (1.2%)
Energy Services (.8%)
31,510 Ceske Energeticke................................................ 1,139,152
Telecommunications (.4%)
5,500 SPT Telecom...................................................... 519,780
--------------
1,658,932
--------------
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
FINLAND (1.3%)
Wholesale and International Trade (1.3%)
75,000 Amer Group Ltd................................................... 1,172,845
21,500 Metsa-Serla...................................................... $ 663,518
--------------
1,836,363
--------------
FRANCE (7.4%)
Banking (1.5%)
48,000 Banque Nationale de Paris ADR-- 144A (d)......................... 2,168,175
Electrical and Electronics (1.0%)
17,000 Alcatel Alsthom.................................................. 1,467,658
Energy Sources (1.6%)
30,262 Societe National Elf Aquitaine................................... 2,232,656
Health and Personal Care (1.6%)
102,000 Rhone-Poulenc.................................................... 2,187,929
Insurance (.5%)
10,500 Axa (b).......................................................... 708,534
Mining and Metal (.2%)
5,900 Pechiney......................................................... 223,193
Transportation (1.0%)
50,000 Regie Des Usines Renault......................................... 1,441,607
--------------
10,429,752
--------------
GERMANY (2.6%)
Banking (1.3%)
37,250 Deutsche Bank.................................................... 1,772,351
Chemicals (1.3%)
6,950 Bayer............................................................ 1,849,090
--------------
3,621,441
--------------
HONG KONG (6.3%)
Banking (1.2%)
115,714 Hong Kong and Shanghai Banking................................... 1,750,990
Food and Household Products (.5%)
2,937,000 Cafe de Coral.................................................... 668,542
Multi-Industry (2.6%)
221,000 Hutchison Whampoa Ltd............................................ 1,346,248
365,947 Jardine Strategic Holdings (b)................................... 1,119,798
175,739 Jardine Matheson Holdings........................................ 1,203,812
Transportation (1.1%)
190,000 Swire Pacific Ltd................................................ 1,474,405
Utilities (.9%)
405,000 Hong Kong Electric Holdings...................................... 1,327,837
--------------
8,891,632
--------------
INDIA (.5%)
Financial Services (.5%)
469,435 India Fund....................................................... 765,287
--------------
INDONESIA (.7%)
Financial Services (.2%)
315,000 J.F. Indonesia Fund.............................................. 350,365
Forest Products and Paper (.5%)
268,000 P.T. Japfa Comfeed............................................... 131,865
586,685 P.T. Pabrik Kertas Tjiwi Kimia................................... 538,849
--------------
1,021,079
--------------
</TABLE>
See accompanying notes to investments in securities.
-44-
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
ITALY (1.4%)
Telecommunication (1.4%)
960,000 Stet di Risp..................................................... $ 1,960,667
--------------
JAPAN (4.4%)
Building Materials and Components (.6%)
73,000 Daito Trust Construction......................................... 863,389
Electrical and Electronics (3.2%)
174,000 Hitachi Ltd...................................................... 1,754,310
80,000 Hitachi Koki..................................................... 725,921
34,000 Sony Corporation................................................. 2,040,296
Utilities--Gas and Electric (.6%)
57,000 Kyudenko......................................................... 751,515
--------------
6,135,431
--------------
KOREA (.7%)
Financial Services (.7%)
19 Korea International Trust (b).................................... 988,000
--------------
MEXICO (.3%)
Chemicals (.3%)
252,000 Vitro............................................................ 385,944
--------------
NETHERLANDS (4.2%)
Broadcasting, Advertising and Publishing (1.6%)
33,875 International Nederlanden Group.................................. 2,265,393
Building Materials and Components (.3%)
16,520 European Vinyls.................................................. 429,750
Insurance (1.5%)
46,542 Aegon............................................................ 2,061,450
Merchandising (.8%)
16,875 Koninklijke Bijenkorf Beheer..................................... 1,115,884
--------------
5,872,477
--------------
NEW ZEALAND (2.3%)
Forest Products and Paper (1.0%)
675,000 Carter Holt Harvey............................................... 1,456,236
Wholesale and International Trade (1.3%)
2,341,185 Brierley Investments............................................. 1,851,976
--------------
3,308,212
--------------
NORWAY (2.8%)
Energy Sources (.9%)
98,000 Saga Petroleum................................................... 1,310,730
Health and Personal Care (1.3%)
68,000 Hafslund Nycomed................................................. 1,774,970
Mining and Metals (.6%)
78,000 Elkem............................................................ 882,736
--------------
3,968,436
--------------
PHILIPPINES (1.0%)
Telecommunications (1.0%)
25,000 Philippine Long Distance Telephone Company ADR................... 1,353,125
--------------
PORTUGAL (.6%)
Banking (.2%)
26,600 Banco Portugues de Investimento.................................. 323,185
Financial Services (.4%)
6,000 Capital Portugal Fund............................................ 530,173
--------------
853,358
--------------
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
SINGAPORE (.7%)
Financial Services (.2%)
18,000 Singapore Fund................................................... $ 240,750
Transportation (.5%)
78,000 Singapore International Airline.................................. 727,907
--------------
968,657
--------------
SPAIN (8.8%)
Banking (3.8%)
85,000 Argentaria Bancaria ADR.......................................... 1,710,625
9,250 Banco de Andalucia............................................... 1,349,573
61,500 Banco Bilbao Vizcaya............................................. 2,215,328
Energy Sources (1.2%)
52,000 Repsol........................................................... 1,703,813
Telecommunications (1.2%)
120,000 Telefonica de Espana............................................. 1,661,774
Utilities--Gas and Electric (2.6%)
250,000 Iberdrola........................................................ 2,287,413
24,800 Empresa. Nacional de Electricidad................................ 1,404,397
--------------
12,332,923
--------------
SWEDEN (7.3%)
Banking (.8%)
58,500 Stadshypotek..................................................... 1,174,024
Business and Public Service (1.2%)
114,500 Esselte.......................................................... 1,727,727
Forest Products and Paper (1.1%)
122,000 Stora Kopparbergs................................................ 1,463,513
Health and Personal Care (2.9%)
46,500 Astra............................................................ 1,845,348
105,000 Svenska Handelsbanken............................................ 2,186,442
Transportation (1.3%)
90,000 Volvo............................................................ 1,846,932
--------------
10,243,986
--------------
SWITZERLAND (4.5%)
Electrical and Electronics (1.4%)
1,730 BBC Brown Boveri Cie............................................. 2,014,685
Health and Personal Care (2.4%)
1,660 Ares-Serono...................................................... 1,168,556
1,085 Societe Generale................................................. 2,159,343
Insurance (.7%)
3,400 Zuerich Versicherung............................................. 1,019,423
--------------
6,362,007
--------------
THAILAND (.9%)
Financial Services (.9%)
57,507 Thai Fund........................................................ 1,286,719
--------------
TURKEY (.4%)
Financial Services (.4%)
60,000 Turkish Growth Fund.............................................. 622,500
--------------
UNITED KINGDOM (8.4%)
Banking (1.0%)
118,943 Barclays Bank.................................................... 1,364,718
Building Materials and Components (1.1%)
365,000 BICC.L........................................................... 1,564,089
Electrical and Electronics (.3%)
44,500 Waste Management International ADR............................... 478,375
Energy Services (3.2%)
445,000 British Gas...................................................... 1,754,903
84,000 South Wales Electricity.......................................... 1,222,019
</TABLE>
See accompanying notes to investments in securities.
-45-
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
UNITED KINGDOM--CONTINUED
127,500 Welsh Water...................................................... $ 1,534,162
Food and Household Products (2.3%)
2,082,536 Albert Fisher Group.............................................. 1,552,005
613,891 Hillsdown Holdings............................................... 1,610,784
Merchandising (.5%)
91,600 Kwik Save Group.................................................. 716,779
--------------
11,797,834
--------------
VENEZUELA (.5%)
Energy Services (.5%)
1,012,793 Electricidad Caracas............................................. 691,951
--------------
Total common stocks
(cost $104,633,041)..................................................... 117,819,347
--------------
PREFERRED STOCKS AND OTHER (2.8%)
ARGENTINA (1.0%)
Multi-industry (1.0%)
24,565 Compania de Inversiones en Telecommunications convertible
preferred--7.0% (c)............................................ 1,424,770
--------------
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
FRANCE (--%)
Mining and Metal (--%)
5,900 Pechiney Warrants (expiring 1/8/96).............................. $ 12
--------------
GERMANY (.6%)
Energy Services (.6%)
4,800 Veba Warrants (expiring 4/6/98).................................. 766,309
--------------
HONG KONG (--%)
Multi-Industry (--%)
50,000 Jardine Strategic Holdings cumulative convertible
preferred--7.5%................................................ 54,500
--------------
MEXICO (1.0%)
Financial Services (1.0%)
44,210 Nacional Financiera ADR--11.25%.................................. 1,458,930
--------------
UNITED KINGDOM (.2%)
Energy Services (.2%)
137,700 Welsh Water...................................................... 233,034
--------------
Total preferred stocks and other
(cost $3,430,146)....................................................... 3,937,555
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ----------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (1.0%)
HONG KONG (1.0%)
Finance (1.0%)
$1,680,000 PIV Investment Finance...................................... 4.50% 12/01/00 1,394,400
------------
Total long-term debt securities (cost $1,388,161).............................. 1,394,400
------------
SHORT-TERM SECURITIES (11.6%)
5,000,000 Federal Home Loan Mortgage Corporation...................... 5.580% 02/01/96 4,975,975
4,000,000 Federal Home Loan Mortgage Corporation...................... 5.440% 02/16/96 3,971,708
2,500,000 Federal National Mortgage Association....................... 5.620% 01/05/96 2,498,439
1,060,000 U.S. Treasury Note.......................................... 8.875% 02/15/96 1,064,638
3,785,000 Prime Value Fund, Inc.--Cash Investment Fund, current rate 5.47%............... 3,785,000
------------
Total short-term securities (cost $16,293,193)................................. 16,295,760
------------
Total investments in securities (cost $125,744,541) (e)........................ $139,447,062
------------
------------
</TABLE>
Notes to Investments in Securities
- ----------------------------------
(a) Securites are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) PRIDES--Preferred Redeemed Increased Dividend Equity Securities are
structured as convertible preferred securities issued by a company.
Investors receive an enhanced yield but based upon a specific formula,
potential appreciation is limited. PRIDES pay dividends, have voting rights,
are noncallable for three years and upon maturity, convert into shares of
common stock.
(d) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. (See note 7 to the
financial statements). Information concerning the illiquid securities held
at December 31, 1995, which includes acquisition date and cost, is as
follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
- ------------------------------------------------------------ ----------- ----------
<S> <C> <C>
Quantas Airways Limited..................................... Various $ 942,793
Bohler-Uddeholm............................................. Various 824,910
Va Technologie.............................................. Various 1,026,767
Banque Nationale de Paris................................... Various 2,172,218
----------
$4,966,688
----------
----------
</TABLE>
(e) At December 31, 1995 the cost of securities for federal income tax purposes
was $127,707,556. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
Gross unrealized appreciation..................... $18,036,041
Gross unrealized depreciation..................... (6,296,535)
-----------
Net unrealized appreciation....................... $11,739,506
-----------
-----------
-46-
<PAGE>
SMALL COMPANY PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------- ------------
<C> <S> <C>
COMMON STOCKS (85.9%)
CAPITAL GOODS (8.4%)
Machinery (8.4%)
28,500 AES China Generating Co Ltd (b)(c).......................... $ 228,000
46,350 Blount International Incorporated........................... 1,216,688
68,500 Elsag Bailey Process Automation (b)(c)...................... 1,840,937
2,000 Kaydon Corporation.......................................... 60,750
18,100 Millipore Corporation....................................... 744,363
56,400 MSC Industrial Direct Co (b)................................ 1,551,000
70,705 United Waste Systems, Inc (b)............................... 2,633,761
------------
8,275,499
------------
CONSUMER GOODS AND SERVICES (37.0%)
Consumer Goods (7.8%)
40,585 Columbia/HCA Healthcare Corporation......................... 2,059,689
63,300 Idexx Laboratories Inc (b).................................. 2,975,100
19,834 Occusystems, Incorporated (b)............................... 396,680
22,500 Teva Pharmaceutical Industries (c).......................... 1,043,438
19,300 United Health Care.......................................... 1,264,150
------------
7,739,057
------------
Consumer Services (9.6%)
59,774 Big Flower Press Holdings Incorporated (b).................. 926,497
58,700 Carmike Cinemas Inc (b)..................................... 1,320,750
42,959 CUC International Inc (b)................................... 1,465,976
43,100 Gartner (b)................................................. 2,063,413
37,200 GTECH Holdings Corporation (b).............................. 967,200
21,900 Lone Star Steakhouse & Saloon, Inc (b)...................... 840,412
34,502 Manpower.................................................... 970,369
37,900 Sola International Inc (b).................................. 956,975
------------
9,511,592
------------
Retail (14.5%)
74,000 Advanced Lighting Technologies, Inc (b)..................... 740,000
7,400 Amerisource Health Corporation (b).......................... 244,200
7,400 APAC Teleservices, Incorporated (b)......................... 246,975
54,100 Barnes & Noble Inc (b)...................................... 1,568,900
67,520 Borders Group Incorporated (b).............................. 1,249,120
67,100 BT Office Products International, Inc (b)(c)................ 1,073,600
95,300 Casey's General Stores Inc.................................. 2,084,688
44,000 Eastbay Incorporated (b).................................... 869,000
51,700 Friedman's (b).............................................. 995,225
54,400 Global Directmail Corporation (b)........................... 1,496,000
25,300 Home Depot Inc.............................................. 1,211,237
2,800 Intimate Brands Inc......................................... 42,000
18,800 Kohl's Inc (b).............................................. 987,000
40,388 Office Depot, Inc (b)....................................... 797,663
33,500 Orchard Supply Hardware (b)................................. 690,937
------------
14,296,545
------------
Consumer Cyclicals (5.1%)
32,108 Exide Corporation........................................... 1,472,954
27,100 Stant Corporation........................................... 264,225
<CAPTION>
MARKET
SHARES VALUE(A)
- ------- ------------
<C> <S> <C>
CONSUMER GOODS AND SERVICES--CONTINUED
77,600 Tommy Hilfiger Corporation (b).............................. $ 3,288,300
------------
5,025,479
------------
CREDIT SENSITIVE (9.8%)
Finance (8.3%)
66,800 Amerin (b).................................................. 1,786,900
47,365 First Data Corporation...................................... 3,167,534
5,900 MGIC Investment Corporation................................. 320,075
57,100 Partnerre Ltd (c)........................................... 1,570,250
70,700 Roosevelt Financial Group, Inc.............................. 1,369,813
------------
8,214,572
------------
Utilities (1.5%)
66,600 Pansamsat Corporation (b)................................... 1,469,362
------------
INTERMEDIATE GOODS AND SERVICES (6.3%)
Materials (2.7%)
24,126 Cambrex Corporation......................................... 998,213
90,800 Citation Corporation (b).................................... 1,089,600
38,070 McWhorter Technology Inc (b)................................ 561,533
600 Valspar Corporation......................................... 26,775
------------
2,676,121
------------
Transportation (3.6%)
24,000 Eagle USA Airfreight, Inc (b)............................... 630,000
40,400 Fritz Companies (b)......................................... 1,676,600
48,300 Landstar System, Inc (b) ................................... 1,292,025
------------
3,598,625
------------
TECHNOLOGY (24.4%)
14,700 Acxiom Corporation (b)...................................... 402,412
14,800 Adtran Incorporated (b)..................................... 803,825
29,900 The Bisys Group Inc (b)..................................... 919,425
21,000 C-Cube Microsystems Incorporated (b)........................ 1,312,500
1,900 CKS Group Incorporated (b).................................. 74,100
30,400 Cognex Corporation (b)...................................... 1,056,400
67,507 Computer Associates International........................... 3,839,461
110,200 Computron Software (b)...................................... 1,983,600
82,302 Danka Business Systems (c).................................. 3,045,174
1,932 Datastream Systems, Incorporated (b)........................ 36,708
37,900 DSC Communications (b)...................................... 1,397,562
34,373 Fore Systems Inc (b)........................................ 2,045,194
58,700 Informix Corporation (b).................................... 1,761,000
20,100 J Ray McDermott Holdings Incorporated (b)................... 359,288
57,800 Mercury Interactive Corp (b)................................ 1,054,850
9,600 Objective Systems Integrator (b)............................ 525,600
46,100 Oracle Corporation (b)...................................... 1,953,487
25,300 Telephone and Data Systems, Inc............................. 999,350
8,500 Uunet Technologies, Incorporated (b)........................ 535,500
------------
24,105,436
------------
Total common stocks
(cost: $64,528,729)................................................ 84,912,288
------------
</TABLE>
See accompanying notes to investments in securities.
-47-
<PAGE>
SMALL COMPANY PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- --------------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (18.6%)
$4,300,000 U.S. Treasury Bill............................................... 5.39%-5.45% 01/11/96 $ 4,292,702
2,970,000 U.S. Treasury Bill............................................... 5.44%-5.48% 02/15/96 2,951,586
2,500,000 American Home Products CP (d).................................... 5.86% 01/17/96 2,492,703
2,100,000 CPC International Incorporated CP (d)............................ 5.86% 01/08/96 2,096,675
1,375,000 Public Service Electric & Gas Company CP......................... 6.09% 01/19/96 1,370,565
1,480,000 U.S. West Communications CP (d).................................. 5.84% 01/10/96 1,477,188
3,679,638 Temporary Investment Fund, Inc.--TempFund Portfolio, current rate 5.82%................. 3,679,638
--------------
Total short-term securities (cost: $18,361,370)......................................... 18,361,057
--------------
Total investments in securities (cost: $82,890,099) (e)................................. $ 103,273,345
--------------
--------------
</TABLE>
Notes to Investments in Securities
- ----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The portfolio held 8.9% of net assets in foreign securities at December 31,
1995.
(d) Commercial paper sold within terms of a private placement memorandum exempt
from registration under Section 4(2) the Securities Act of 1933, as amended,
and may be sold only to dealers in that program or other "accredited
investors." (See note 7 to the financial statements). Information concerning
the illiquid securities held at December 31, 1995, which includes
acquisition date and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
- -------- ----------- ----------
<S> <C> <C>
American Home Products............................ 11/9/95 $2,472,592
CPC International Incorporated.................... 12/12/95 2,090,944
U.S. West Communications.......................... 12/7/95 1,471,991
----------
$6,035,527
----------
----------
</TABLE>
(e) At December 31, 1995 the cost of securities for federal income tax purposes
was $82,891,847. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
Gross unrealized appreciation..................... $21,662,422
Gross unrealized depreciation..................... (1,280,924)
-----------
Net unrealized appreciation....................... $20,381,498
-----------
-----------
-48-
<PAGE>
MATURING GOVERNMENT BOND 1998 PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
(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 (99.6%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (99.6%)
$ 266,000 Federal National Mortgage Association Strip (b)............. 7.065% 05/22/98 $ 233,979
356,000 Federal National Mortgage Association Strip (b)............. 7.110% 11/22/98 304,536
350,000 Federal National Mortgage Association Strip (b)............. 7.050% 05/22/99 290,913
615,000 Federal Home Loan Bank Strip (b)............................ 6.730% 08/25/98 533,586
1,000,215 Treasury Receipt (b)........................................ 6.610% 05/15/99 835,519
120,000 U. S. Treasury Strip (b).................................... 6.290% 11/15/98 103,397
1,000,000 U. S. Treasury Strip (b).................................... 6.505% 11/15/98 861,639
590,000 Financial Corporation Strip (b)............................. 6.620% 05/30/99 489,410
500,000 Guaranteed Trust Certificates (b)........................... 6.570% 11/15/98 429,155
211,000 Guaranteed Trust Certificates Collateral Trust (b).......... 7.075% 11/15/98 181,103
900,000 Tennessee Valley Authority Strip (b)........................ 6.720% 10/15/98 773,971
----------
Total long-term debt securities (cost: $4,863,662)............................. 5,037,208
----------
SHORT-TERM SECURITIES (.3%)
13,293 Trust for Federal Securities--Federal Trust Fund, current rate 5.58%........... 13,293
----------
Total short-term securities (cost: $13,293).................................... 13,293
----------
Total investment in securities (cost: $4,876,955) (c).......................... $5,050,501
----------
----------
</TABLE>
Notes to Investments in Securities
- ----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(c) At December 31, 1995, the cost of securities for federal income tax
purposes was $4,876,955. The aggregate unrealized appreciation and
depreciation of investments in securities based on this cost were:
Gross unrealized appreciation..................... $173,546
Gross unrealized depreciation..................... --
--------
Net unrealized appreciation....................... $173,546
--------
--------
-49-
<PAGE>
MATURING GOVERNMENT BOND 2002 PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
(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 (100.1%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (100.1%)
$ 525,000 Federal National Mortgage Association Strip (b).................. 7.600 % 02/01/02 $ 372,613
500,000 Financial Corporation Strip (b).................................. 7.400 % 06/27/02 346,230
1,000,000 Guaranteed Trust Certificates (b)................................ 7.300 % 05/15/02 701,579
1,150,000 Tennessee Valley Authority Strips (b)............................ 7.400 % 04/15/03 754,732
1,003,750 Treasury Receipt (b)............................................. 7.100 % 08/15/02 696,100
260,000 U.S. Treasury Strip (b).......................................... 6.970 % 08/15/02 181,898
------------
Total long-term debt securities (cost: $2,775,121)...................................... 3,053,152
------------
SHORT-TERM SECURITIES (.3%)
8,485 Trust for Federal Securities--Federal Trust Fund, current rate 5.58%.................... 8,485
------------
Total short-term securities (cost: $8,485).............................................. 8,485
------------
Total investment in securities (cost: $2,783,606) (c)................................... $ 3,061,637
------------
------------
</TABLE>
Notes to Investments in Securities
- ----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(c) At December 31, 1995, the cost of securities for federal income tax
purposes was $2,783,606. The aggregate unrealized appreciation and
depreciation of investments in securities based on this cost were:
Gross unrealized appreciation..................... $278,031
Gross unrealized depreciation..................... --
--------
Net unrealized appreciation....................... $278,031
--------
--------
-50-
<PAGE>
MATURING GOVERNMENT BOND 2006 PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
(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 (96.7%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (96.7%)
$ 810,000 Federal National Mortgage Association Strip (b).................. 7.620 % 08/01/05 $ 457,819
921,000 Financial Corporation Strip (b).................................. 7.735 % 09/07/07 449,945
553,000 Government Trust Certificates (b)................................ 7.440 % 11/15/05 309,762
1,000,000 Resolution Funding Corporation Strip (b)......................... 7.460 % 07/15/07 506,959
1,000,020 Treasury Receipt (b)............................................. 7.460 % 02/15/07 517,590
450,000 U.S. Treasury Strip (b).......................................... 7.355 % 11/15/06 241,483
------------
Total long-term debt securities (cost: $2,127,113)...................................... 2,483,558
------------
SHORT-TERM SECURITIES (--%)
5 Trust for Federal Securities--Federal Trust Fund, current rate 5.58%.................... 5
------------
Total short-term securities (cost: $5).................................................. 5
------------
Total investment in securities (cost: $2,127,118) (c)................................... $ 2,483,563
------------
------------
</TABLE>
Notes to Investments in Securities
- ----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(c) At December 31, 1995, the cost of securities for federal income tax
purposes was $2,127,118. The aggregate unrealized appreciation and
depreciation of investments in securities based on this cost were:
Gross unrealized appreciation..................... $356,445
Gross unrealized depreciation..................... --
--------
Net unrealized appreciation....................... $356,445
--------
--------
-51-
<PAGE>
MATURING GOVERNMENT BOND 2010 PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
(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 (93.7%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (93.7%)
$500,000 Federal National Mortgage Association Strip (b)............. 7.700% 02/12/10 $ 206,929
500,000 Financial Corporation Strip (b)............................. 7.770% 06/06/11 187,164
945,000 Financial Corporation Strip (b)............................. 7.920% 08/08/11 349,470
132,000 Guaranteed Trust Certificates (b)........................... 7.660% 05/15/10 54,367
515,000 State of Israel, Zero Coupon (b)............................ 8.265% 03/15/10 216,001
350,000 Resolution Funding Corporation (b).......................... 7.590% 04/15/11 137,455
335,000 U.S. Treasury Strip (b)..................................... 7.490% 02/15/10 145,189
----------
Total long-term debt securities (cost: $1,047,207)............................. 1,296,575
----------
SHORT-TERM SECURITIES (--%)
50 Trust for Federal Securities--Federal Trust Fund, current rate 5.58%........... 50
----------
Total short-term securities (cost: $50)........................................ 50
----------
Total investment in securities (cost: $1,047,257) (c).......................... $1,296,625
----------
----------
</TABLE>
Notes to Investments in Securities
- ----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(c) At December 31, 1995, the cost of securities for federal income tax
purposes was $1,047,257. The aggregate unrealized appreciation and
depreciation of investments in securities based on this cost were:
Gross unrealized appreciation..................... $249,368
Gross unrealized depreciation..................... --
--------
Net unrealized appreciation....................... $249,368
--------
--------
-52-
<PAGE>
VALUE STOCK PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1995
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- -------------
<C> <S> <C>
COMMON STOCKS (86.9%)
CAPITAL GOODS (5.6%)
Machinery
8,600 HIG Hartford (b)................................................. $ 416,025
8,600 ITT Corporation (b).............................................. 455,800
8,600 ITT Industries (b)............................................... 206,400
46,575 Reading & Bates Corporation (b).................................. 698,625
-------------
1,776,850
-------------
CONSUMER GOODS AND SERVICES (18.8%)
Consumer Goods (1.9%)
12,089 Columbia/HCA Healthcare Corporation.............................. 613,517
-------------
613,517
-------------
Consumer Services (4.4%)
41,300 Bowne & Company, Incorporated.................................... 826,000
8,900 Knight-Ridder, Inc............................................... 556,250
-------------
1,382,250
-------------
Retail (5.2%)
60,100 Federated Department Stores (b).................................. 1,652,750
-------------
1,652,750
-------------
Consumer Cyclicals (7.3%)
35,200 Owens-Corning Fiberglas Corporation (b).......................... 1,579,600
25,200 USG Corporation (b).............................................. 756,000
-------------
2,335,600
-------------
CREDIT SENSITIVE (23.7%)
Finance (21.0%)
32,468 Prudential Reinsurance Holdings, Incorporated.................... 758,940
64,800 Green Point Financial Corporation................................ 1,733,400
41,200 Lehman Brothers Holdings, Inc.................................... 875,500
18,100 MBIA Inc......................................................... 1,357,500
13,125 RLI Corporation.................................................. 328,124
56,800 TIG Holdings Inc................................................. 1,618,800
-------------
6,672,264
-------------
Utilities (2.7%)
21,400 Texas Utilities Company.......................................... 880,075
-------------
880,075
-------------
INTERMEDIATE GOODS AND SERVICES (35.8%)
Energy (13.1%)
19,100 The Columbia Gas System, Inc. (b)................................ 838,013
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- -------------
<C> <S> <C>
INTERMEDIATE GOODS AND SERVICES--CONTINUED
34,800 Tenneco Inc...................................................... $ 1,726,950
42,900 USX--Marathon Group.............................................. 836,550
35,200 YPF Sociedad Anonima (c)......................................... 761,200
-------------
4,162,713
-------------
Materials (15.9%)
24,900 Citation Corporation (b)......................................... 298,800
15,100 Cytec Industries Inc (b)......................................... 941,862
32,300 Fort Howard Corporation (b)...................................... 726,750
14,500 W.R. Grace & Co.................................................. 857,313
13,338 Kimberly-Clark Corporation....................................... 1,103,720
26,100 Morton International............................................. 936,337
22,400 Sterling Chemicals (b)........................................... 182,000
-------------
5,046,782
-------------
Transportation (6.8%)
6,500 Burlington Northern Santa Fe..................................... 507,000
3,583 Canadian National Railway Company (b)(c)......................... 53,745
22,300 Teekay Shipping Corporation (c).................................. 526,838
34,500 Tidewater Incorporated........................................... 1,086,750
-------------
2,174,333
-------------
TECHNOLOGY (3.0%)
13,900 Rohr Incorporated (b)............................................ 199,813
5,500 Xerox Corporation................................................ 753,500
-------------
953,313
-------------
Total common stocks
(cost: $24,472,281)..................................................... 27,650,447
-------------
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C>
SHORT-TERM SECURITIES (12.8%)
$1,270,138 Trust for Federal Securities--Federal Trust Fund, current rate
5.58%.......................................................... 1,270,138
500,000 U.S. Treasury Bill 5.41% 01/11/96................................ 499,151
835,000 U.S. Treasury Bills 5.07%-5.48% 02/15/96......................... 829,823
1,500,000 U.S. Treasury Bills 4.89%-5.00% 03/21/96......................... 1,483,054
-------------
Total short-term securities
(cost: $4,082,531)...................................................... 4,082,166
-------------
Total investment in securities
(cost: $28,554,812) (d)................................................. $31,732,613
-------------
-------------
</TABLE>
Notes to Investments in Securities
- ----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The portfolio held 4.2% of net assets in foreign securities at December 31,
1995.
(d) At December 31, 1995, the cost of securities for federal income tax purposes
was $28,575,547. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
Gross unrealized appreciation..................... $3,221,178
Gross unrealized depreciation..................... (64,112)
----------
Net unrealized appreciation....................... $3,157,066
----------
----------
-53-
<PAGE>
MIMLIC SERIES FUND, INC.
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
<TABLE>
<CAPTION>
MONEY ASSET
GROWTH BOND MARKET ALLOCATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
ASSETS
Investments in securities, at
market value--see accompanying
schedules for detailed listing
(identified cost: $165,889,798;
$94,879,573; $29,446,178;
$309,752,525; $66,790,495;
$90,220,552; $127,441,407;
$125,744,541; $82,890,099;
$4,876,955; $2,783,606;
$2,127,118; $1,047,257 and
$28,554,812, respectively)...... $ 201,143,358 $ 98,452,711 $ 29,446,178 $346,646,001
Cash in bank on demand deposit..... 4,640 2,116 117,202 39,849
Receivable for Fund shares sold.... 197,511 221,017 643,901 305,801
Receivable for investment
securities sold................. 302,787 1,401,294 -- 3,065,313
Dividends and accrued interest
receivable...................... 316,197 1,183,086 5,197 1,729,243
Unrealized appreciation on forward
foreign currency contracts held,
at value (note 4)............... -- -- -- --
Receivable for foreign income taxes
withheld........................ -- -- -- --
------------- ------------ ------------ ------------
Total assets................. 201,964,493 101,260,224 30,212,478 351,786,207
------------- ------------ ------------ ------------
LIABILITIES
Payable to Minnesota Mutual........ 36 10 13 56
Dividends payable to
shareholders.................... -- -- 8,299 --
Payable for Fund shares
repurchased..................... 171,741 49,186 37,786 133,081
Payable for investment securities
purchased....................... 115,158 166,199 -- 2,642,756
Unrealized depreciation on forward
foreign currency contracts held,
at value (note 4)............... -- -- -- --
------------- ------------ ------------ ------------
Total liabilities............ 286,935 215,395 46,098 2,775,893
------------- ------------ ------------ ------------
Net assets applicable to
outstanding capital stock....... $ 201,677,558 $101,044,829 $ 30,166,380 $349,010,314
------------- ------------ ------------ ------------
------------- ------------ ------------ ------------
Represented by:
Capital stock--authorized
10,000,000,000 shares of $.01
par value; outstanding;
91,271,988; 75,844,415;
30,166,380; 191,083,577;
57,777,560; 61,280,850;
75,688,165; 99,811,081;
61,715,077; 4,872,708;
2,796,063; 2,189,242;
1,139,862 and 24,263,572
shares, respectively.......... $ 912,720 $ 758,444 $ 301,664 $ 1,910,836
Additional paid-in capital..... 146,052,376 90,084,286 29,864,716 277,509,298
Undistributed net investment
income........................ 1,885,333 5,666,378 -- 11,587,244
Accumulated net realized gains
(losses) from investments and
foreign currency
transactions.................. 17,573,569 962,583 -- 21,109,460
Unrealized appreciation of
investments and translation of
assets and liabilities in
foreign currencies............ 35,253,560 3,573,138 -- 36,893,476
------------- ------------ ------------ ------------
Total--representing net
assets applicable to
outstanding capital stock... $ 201,677,558 $101,044,829 $ 30,166,380 $349,010,314
------------- ------------ ------------ ------------
------------- ------------ ------------ ------------
Net asset value per share of
outstanding capital stock....... $ 2.210 $ 1.332 $ 1.000 $ 1.826
------------- ------------ ------------ ------------
------------- ------------ ------------ ------------
</TABLE>
See accompanying notes to financial statements.
-54-
<PAGE>
<TABLE>
<CAPTION>
MORTGAGE CAPITAL INTERNATIONAL SMALL
SECURITIES INDEX 500 APPRECIATION STOCK COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at
market value--see accompanying
schedules for detailed listing
(identified cost: $165,889,798;
$94,879,573; $29,446,178;
$309,752,525; $66,790,495;
$90,220,552; $127,441,407;
$125,744,541; $82,890,099;
$4,876,955; $2,783,606;
$2,127,118; $1,047,257 and
$28,554,812, respectively)........ $ 69,343,548 $123,757,392 $162,595,638 $139,447,062 $103,273,345
Cash in bank on demand deposit..... 1,904 22,507 87 33,549 14,120
Receivable for Fund shares sold.... 90,635 506,569 228,825 325,806 237,280
Receivable for investment
securities sold................... -- 249,492 675,489 772,712 134,127
Dividends and accrued interest
receivable........................ 616,672 230,591 111,738 474,557 33,337
Unrealized appreciation on forward
foreign currency contracts held,
at value (note 4)................. -- -- -- 70 --
Receivable for foreign income taxes
withheld.......................... -- -- -- 236,490 --
------------ ----------- ------------ ------------ -----------
Total assets................. 70,052,759 124,766,551 163,611,777 141,290,246 103,692,209
------------ ----------- ------------ ------------ -----------
LIABILITIES
Payable to Minnesota Mutual........ 2 3 -- 18 59
Dividends payable to
shareholders...................... -- -- -- -- --
Payable for Fund shares
repurchased....................... 24,288 332,102 91,997 53,962 37,428
Payable for investment securities
purchased......................... 282,496 435,847 -- 459,370 4,759,796
Unrealized depreciation on forward
foreign currency contracts held,
at value (note 4)................. -- -- -- 7,331 --
------------ ----------- ------------ ------------ -----------
Total liabilities............ 306,786 767,952 91,997 520,681 4,797,283
------------ ----------- ------------ ------------ -----------
Net assets applicable to
outstanding capital stock......... $ 69,745,973 $123,998,599 $163,519,780 $140,769,565 $98,894,926
------------ ----------- ------------ ------------ -----------
------------ ----------- ------------ ------------ -----------
Represented by:
Capital stock--authorized
10,000,000,000 shares of $.01
par value; outstanding;
91,271,988; 75,844,415;
30,166,380; 191,083,577;
57,777,560; 61,280,850;
75,688,165; 99,811,081;
61,715,077; 4,872,708;
2,796,063; 2,189,242;
1,139,862 and 24,263,572
shares, respectively.......... $ 577,776 $ 612,809 $ 756,882 $ 998,111 $ 617,151
Additional paid-in capital..... 65,374,590 87,010,235 122,863,163 119,236,761 75,448,985
Undistributed net investment
income........................ 4,531,053 1,984,153 -- 4,201,200 963
Accumulated net realized gains
(losses) from investments and
foreign currency
transactions.................. (3,290,499) 854,562 4,745,504 2,636,296 2,444,581
Unrealized appreciation of
investments and translation of
assets and liabilities in
foreign currencies............ 2,553,053 33,536,840 35,154,231 13,697,197 20,383,246
------------ ----------- ------------ ------------ -----------
Total--representing net
assets applicable to
outstanding capital stock... $ 69,745,973 $123,998,599 $163,519,780 $140,769,565 $98,894,926
------------ ----------- ------------ ------------ -----------
------------ ----------- ------------ ------------ -----------
Net asset value per share of
outstanding capital stock......... $ 1.207 $ 2.023 $ 2.160 $ 1.410 $ 1.602
------------ ----------- ------------ ------------ -----------
------------ ----------- ------------ ------------ -----------
<CAPTION>
MATURING MATURING MATURING MATURING
GOVERNMENT GOVERNMENT GOVERNMENT GOVERNMENT VALUE
BOND 1998 BOND 2002 BOND 2006 BOND 2010 STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at
market value--see accompanying
schedules for detailed listing
(identified cost: $165,889,798;
$94,879,573; $29,446,178;
$309,752,525; $66,790,495;
$90,220,552; $127,441,407;
$125,744,541; $82,890,099;
$4,876,955; $2,783,606;
$2,127,118; $1,047,257 and
$28,554,812, respectively)........ $5,050,501 $3,061,637 $2,483,563 $1,296,625 $31,732,613
Cash in bank on demand deposit..... 5,178 8,284 85 8,796 35,055
Receivable for Fund shares sold.... 4 -- 85,904 285,938 189,221
Receivable for investment
securities sold................... -- -- -- -- --
Dividends and accrued interest
receivable........................ 1,361 40 -- -- 47,329
Unrealized appreciation on forward
foreign currency contracts held,
at value (note 4)................. -- -- -- -- --
Receivable for foreign income taxes
withheld.......................... -- -- -- -- --
---------- ----------- ----------- ----------- ------------
Total assets................. 5,057,044 3,069,961 2,569,552 1,591,359 32,004,218
---------- ----------- ----------- ----------- ------------
LIABILITIES
Payable to Minnesota Mutual........ -- -- -- -- --
Dividends payable to
shareholders...................... -- -- -- -- --
Payable for Fund shares
repurchased....................... 191 20,535 -- 207,763 11,536
Payable for investment securities
purchased......................... -- -- -- -- 167,648
Unrealized depreciation on forward
foreign currency contracts held,
at value (note 4)................. -- -- -- -- --
---------- ----------- ----------- ----------- ------------
Total liabilities............ 191 20,535 -- 207,763 179,184
---------- ----------- ----------- ----------- ------------
Net assets applicable to
outstanding capital stock......... $5,056,853 $3,049,426 $2,569,552 $1,383,606 $31,825,034
---------- ----------- ----------- ----------- ------------
---------- ----------- ----------- ----------- ------------
Represented by:
Capital stock--authorized
10,000,000,000 shares of $.01
par value; outstanding;
91,271,988; 75,844,415;
30,166,380; 191,083,577;
57,777,560; 61,280,850;
75,688,165; 99,811,081;
61,715,077; 4,872,708;
2,796,063; 2,189,242;
1,139,862 and 24,263,572
shares, respectively.......... $ 48,727 $ 27,961 $ 21,892 $ 11,399 $ 242,636
Additional paid-in capital..... 4,830,820 2,746,405 2,187,501 1,137,132 27,887,908
Undistributed net investment
income........................ 3,760 -- 1,524 1,072 3,814
Accumulated net realized gains
(losses) from investments and
foreign currency
transactions.................. -- (2,971 ) 2,190 (15,365 ) 512,875
Unrealized appreciation of
investments and translation of
assets and liabilities in
foreign currencies............ 173,546 278,031 356,445 249,368 3,177,801
---------- ----------- ----------- ----------- ------------
Total--representing net
assets applicable to
outstanding capital stock... $5,056,853 $3,049,426 $2,569,552 $1,383,606 $31,825,034
---------- ----------- ----------- ----------- ------------
---------- ----------- ----------- ----------- ------------
Net asset value per share of
outstanding capital stock......... $ 1.038 $ 1.091 $ 1.174 $ 1.214 $ 1.312
---------- ----------- ----------- ----------- ------------
---------- ----------- ----------- ----------- ------------
</TABLE>
-55-
<PAGE>
MIMLIC SERIES FUND, INC.
STATEMENTS OF OPERATIONS
YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
MONEY ASSET
GROWTH BOND MARKET ALLOCATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ---------- --------- -----------
<S> <C> <C> <C> <C>
Investment income:
Interest....................... $ 897,915 $6,164,380 $1,502,605 $11,385,019
Dividends (net of foreign
withholding taxes of $493,504
for International Stock
Portfolio).................... 1,992,607 -- -- 1,897,709
----------- ---------- --------- -----------
Total investment income.... 2,890,522 6,164,380 1,502,605 13,282,728
----------- ---------- --------- -----------
Expenses (note 5):
Investment advisory fee........ 905,136 435,045 126,630 1,538,272
Custodian fees................. 12,762 5,294 4,802 27,405
Administrative service fee..... 20,200 20,200 20,200 20,200
Auditing and accounting
services...................... 17,149 5,569 2,229 34,384
Legal fees..................... 311 311 311 311
Registration fees.............. 11,870 12,462 1,624 11,371
Printing and shareholder
reports....................... 31,218 15,478 4,595 53,292
Directors' fees................ 3,563 1,686 495 6,078
Insurance...................... 2,980 1,957 936 4,171
----------- ---------- --------- -----------
Total expenses............. 1,005,189 498,002 161,822 1,695,484
Less fees and expenses waived
or absorbed by Minnesota
Mutual........................ -- -- -- --
----------- ---------- --------- -----------
Total net expenses......... 1,005,189 498,002 161,822 1,695,484
----------- ---------- --------- -----------
Investment income
(loss)--net............... 1,885,333 5,666,378 1,340,783 11,587,244
----------- ---------- --------- -----------
Realized and unrealized gains
(losses) on investments and
foreign currencies:
Net realized gains (losses)
from:
Investments (note 3)....... 17,645,339 3,734,900 -- 22,040,129
Foreign currency
transactions.............. -- -- -- --
Net change in unrealized
appreciation or depreciation
on:
Investments................ 19,185,038 5,968,239 -- 34,618,189
Translation of assets and
liabilities in foreign
currencies................ -- -- -- --
----------- ---------- --------- -----------
Net gains on investments... 36,830,377 9,703,139 -- 56,658,318
----------- ---------- --------- -----------
Net increase in net assets
resulting from operations....... $38,715,710 $15,369,517 $1,340,783 $68,245,562
----------- ---------- --------- -----------
----------- ---------- --------- -----------
</TABLE>
See accompanying notes to financial statements.
-56-
<PAGE>
<TABLE>
<CAPTION>
MATURING MATURING
MORTGAGE CAPITAL INTERNATIONAL SMALL GOVERNMENT GOVERNMENT
SECURITIES INDEX 500 APPRECIATION STOCK COMPANY BOND 1998 BOND 2002
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ----------- ------------ ------------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Investment income:
Interest....................... $4,904,558 $ 33,252 $ 133,829 $ 949,212 $ 572,119 $280,494 $193,545
Dividends (net of foreign
withholding taxes of $493,504
for International Stock
Portfolio).................... -- 2,400,597 800,610 3,617,252 157,560 -- --
---------- ----------- ------------ ------------- ---------- ---------- ----------
Total investment income.... 4,904,558 2,433,849 934,439 4,566,464 729,679 280,494 193,545
---------- ----------- ------------ ------------- ---------- ---------- ----------
Expenses (note 5):
Investment advisory fee........ 322,465 388,206 1,071,527 955,095 552,670 2,184 1,441
Custodian fees................. 7,334 7,343 8,552 107,323 11,359 2,381 2,332
Administrative service fee..... 20,200 20,200 20,200 20,200 20,200 20,200 20,200
Auditing and accounting
services...................... 7,249 7,609 12,169 146,527 5,259 3,899 3,899
Legal fees..................... 311 311 311 311 311 311 311
Registration fees.............. 828 6,069 10,075 18,215 12,303 104 80
Printing and shareholder
reports....................... 12,171 16,128 24,076 21,567 12,047 1,939 1,736
Directors' fees................ 1,278 1,824 2,770 2,399 1,355 86 57
Insurance...................... 1,669 2,006 2,519 2,402 1,712 424 416
---------- ----------- ------------ ------------- ---------- ---------- ----------
Total expenses............. 373,505 449,696 1,152,199 1,274,039 617,216 31,528 30,472
Less fees and expenses waived
or absorbed by Minnesota
Mutual........................ -- -- -- -- -- (22,794) (24,709)
---------- ----------- ------------ ------------- ---------- ---------- ----------
Total net expenses......... 373,505 449,696 1,152,199 1,274,039 617,216 8,734 5,763
---------- ----------- ------------ ------------- ---------- ---------- ----------
Investment income
(loss)--net............... 4,531,053 1,984,153 (217,760) 3,292,425 112,463 271,760 187,782
---------- ----------- ------------ ------------- ---------- ---------- ----------
Realized and unrealized gains
(losses) on investments and
foreign currencies:
Net realized gains (losses)
from:
Investments (note 3)....... 1,181,245 989,818 6,284,588 4,783,539 3,782,537 1,067 8,323
Foreign currency
transactions.............. -- -- -- (99,232) -- -- --
Net change in unrealized
appreciation or depreciation
on:
Investments................ 4,752,049 26,535,228 21,970,841 8,233,684 16,659,924 359,251 446,613
Translation of assets and
liabilities in foreign
currencies................ -- -- -- (6,319) -- -- --
---------- ----------- ------------ ------------- ---------- ---------- ----------
Net gains on investments... 5,933,294 27,525,046 28,255,429 12,911,672 20,442,461 360,318 454,936
---------- ----------- ------------ ------------- ---------- ---------- ----------
Net increase in net assets
resulting from operations......... $10,464,347 $29,509,199 $28,037,669 $16,204,097 $20,554,924 $632,078 $642,718
---------- ----------- ------------ ------------- ---------- ---------- ----------
---------- ----------- ------------ ------------- ---------- ---------- ----------
<CAPTION>
MATURING MATURING
GOVERNMENT GOVERNMENT VALUE
BOND 2006 BOND 2010 STOCK
PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ----------
<S> <C> <C> <C>
Investment income:
Interest....................... $151,744 $ 80,693 $ 91,932
Dividends (net of foreign
withholding taxes of $493,504
for International Stock
Portfolio).................... -- -- 312,165
---------- ---------- ----------
Total investment income.... 151,744 80,693 404,097
---------- ---------- ----------
Expenses (note 5):
Investment advisory fee........ 5,450 2,888 141,207
Custodian fees................. 2,003 1,788 9,237
Administrative service fee..... 20,200 20,200 20,200
Auditing and accounting
services...................... 3,899 3,899 3,899
Legal fees..................... 311 311 311
Registration fees.............. 58 34 251
Printing and shareholder
reports....................... 1,622 1,458 3,591
Directors' fees................ 44 25 317
Insurance...................... 332 326 880
---------- ---------- ----------
Total expenses............. 33,919 30,929 179,893
Less fees and expenses waived
or absorbed by Minnesota
Mutual........................ (25,199) (26,308) (11,610)
---------- ---------- ----------
Total net expenses......... 8,720 4,621 168,283
---------- ---------- ----------
Investment income
(loss)--net............... 143,024 76,072 235,814
---------- ---------- ----------
Realized and unrealized gains
(losses) on investments and
foreign currencies:
Net realized gains (losses)
from:
Investments (note 3)....... 2,190 (2,181) 1,761,136
Foreign currency
transactions.............. -- -- --
Net change in unrealized
appreciation or depreciation
on:
Investments................ 504,542 334,118 3,206,550
Translation of assets and
liabilities in foreign
currencies................ -- -- --
---------- ---------- ----------
Net gains on investments... 506,732 331,937 4,967,686
---------- ---------- ----------
Net increase in net assets
resulting from operations......... $649,756 $408,009 $5,203,500
---------- ---------- ----------
---------- ---------- ----------
</TABLE>
-57-
<PAGE>
MIMLIC SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31, 1995 AND 1994
<TABLE>
<CAPTION>
MONEY MARKET
GROWTH PORTFOLIO BOND PORTFOLIO PORTFOLIO
-------------------------- ------------------------- --------------------------
1995 1994 1995 1994 1995 1994
------------ ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Investment income (loss)--net.... $ 1,885,333 $ 1,650,255 $ 5,666,378 $ 2,999,724 $ 1,340,783 $ 690,788
Net realized gains (losses) on
investments and foreign currency
transactions.................... 17,645,339 6,143,355 3,734,900 (2,772,317) -- --
Net change in unrealized
appreciation or depreciation of
investments and translation of
assets and liabilities in
foreign currencies.............. 19,185,038 (6,460,154) 5,968,239 (2,447,218) -- --
------------ ------------ ----------- ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations.................... 38,715,710 1,333,456 15,369,517 (2,219,811) 1,340,783 690,788
------------ ------------ ----------- ------------ ------------ ------------
Distributions to shareholders from:
Investment income--net........... (1,650,255) (1,342,938) (2,999,724) (1,934,397) (1,340,783) (690,788)
Tax return of capital............ -- -- -- -- -- --
Net realized gains............... (6,215,125) (2,762,094) -- (1,207,104) -- --
------------ ------------ ----------- ------------ ------------ ------------
Total distributions............ (7,865,380) (4,105,032) (2,999,724) (3,141,501) (1,340,783) (690,788)
------------ ------------ ----------- ------------ ------------ ------------
Capital share transactions (note
6):
Proceeds from sales.............. 32,540,549 52,498,822 24,809,311 47,311,992 36,944,812 32,779,527
Shares issued as a result of
reinvested distributions........ 7,865,380 4,105,032 2,999,724 3,141,501 1,335,757 687,516
Payments for redemption of
shares.......................... (26,947,664) (22,208,175) (13,813,438) (14,339,927) (31,221,058) (28,782,856)
------------ ------------ ----------- ------------ ------------ ------------
Increase in net assets from capital
shares transactions............. 13,458,265 34,395,679 13,995,597 36,113,566 7,059,511 4,684,187
------------ ------------ ----------- ------------ ------------ ------------
Total increase (decrease) in
net assets.................... 44,308,595 31,624,103 26,365,390 30,752,254 7,059,511 4,684,187
Net assets at beginning of year.... 157,368,963 125,744,860 74,679,439 43,927,185 23,106,869 18,422,682
------------ ------------ ----------- ------------ ------------ ------------
Net assets at end of year
(including undistributed net
investment income of $1,885,333
and $1,650,255 for Growth,
$5,666,378 and $2,999,724 for
Bond, $0 and $0 for Money
Market, $11,587,244 and
$8,662,733 for Asset Allocation,
$4,531,053 and $4,169,579 for
Mortgage Securities, $1,984,153
and $1,540,293 for Index 500, $0
and $0 for Capital Appreciation,
$4,201,200 and $0 for
International Stock and $963 and
$0 for Small Company,
respectively.................... $201,677,558 $157,368,963 $101,044,829 $ 74,679,439 $ 30,166,380 $ 23,106,869
------------ ------------ ----------- ------------ ------------ ------------
------------ ------------ ----------- ------------ ------------ ------------
<CAPTION>
ASSET ALLOCATION PORTFOLIO
--------------------------
1995 1994
------------ ------------
<S> <C> <C>
Operations:
Investment income (loss)--net.... $ 11,587,244 $ 8,662,733
Net realized gains (losses) on
investments and foreign currency
transactions.................... 22,040,129 2,416,232
Net change in unrealized
appreciation or depreciation of
investments and translation of
assets and liabilities in
foreign currencies.............. 34,618,189 (14,485,429)
------------ ------------
Net increase (decrease) in net
assets resulting from
operations.................... 68,245,562 (3,406,464)
------------ ------------
Distributions to shareholders from:
Investment income--net........... (8,662,733) (5,362,473)
Tax return of capital............ -- --
Net realized gains............... (3,165,106) (1,562,683)
------------ ------------
Total distributions............ (11,827,839) (6,925,156)
------------ ------------
Capital share transactions (note
6):
Proceeds from sales.............. 63,178,126 84,259,037
Shares issued as a result of
reinvested distributions........ 11,827,839 6,925,156
Payments for redemption of
shares.......................... (55,042,670) (58,234,439)
------------ ------------
Increase in net assets from capital
shares transactions............. 19,963,295 32,949,754
------------ ------------
Total increase (decrease) in
net assets.................... 76,381,018 22,618,134
Net assets at beginning of year.... 272,629,296 250,011,162
------------ ------------
Net assets at end of year
(including undistributed net
investment income of $1,885,333
and $1,650,255 for Growth,
$5,666,378 and $2,999,724 for
Bond, $0 and $0 for Money
Market, $11,587,244 and
$8,662,733 for Asset Allocation,
$4,531,053 and $4,169,579 for
Mortgage Securities, $1,984,153
and $1,540,293 for Index 500, $0
and $0 for Capital Appreciation,
$4,201,200 and $0 for
International Stock and $963 and
$0 for Small Company,
respectively.................... $349,010,314 $272,629,296
------------ ------------
------------ ------------
</TABLE>
See accompanying notes to financial statements.
-58-
<PAGE>
<TABLE>
<CAPTION>
MORTGAGE SECURITIES CAPITAL APPRECIATION
PORTFOLIO INDEX 500 PORTFOLIO PORTFOLIO
------------------------- ------------------------- --------------------------
1995 1994 1995 1994 1995 1994
----------- ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Investment income (loss)--net.... $ 4,531,053 $ 4,169,579 $ 1,984,153 $ 1,540,293 $ (217,760) $ (86,869)
Net realized gains (losses) on
investments and foreign currency
transactions.................... 1,181,245 (4,453,200) 989,818 651,600 6,284,588 2,161,545
Net change in unrealized
appreciation or depreciation of
investments and translation of
assets and liabilities in
foreign currencies.............. 4,752,049 (1,979,210) 26,535,228 (1,311,857) 21,970,841 935,847
----------- ------------ ----------- ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations.................... 10,464,347 (2,262,831) 29,509,199 880,036 28,037,669 3,010,523
----------- ------------ ----------- ------------ ------------ ------------
Distributions to shareholders from:
Investment income--net........... (4,169,579) (2,947,917) (1,540,293) (1,025,482) -- (79,598)
Tax return of capital............ -- -- -- -- -- --
Net realized gains............... -- (1,400,355) (609,060) (207,595) (3,373,884) (1,354,127)
----------- ------------ ----------- ------------ ------------ ------------
Total distributions............ (4,169,579) (4,348,272) (2,149,353) (1,233,077) (3,373,884) (1,433,725)
----------- ------------ ----------- ------------ ------------ ------------
Capital share transactions (note
6):
Proceeds from sales.............. 13,052,763 22,159,015 36,939,888 28,874,830 43,468,072 47,822,212
Shares issued as a result of
reinvested distributions........ 4,169,579 4,348,272 2,149,353 1,233,077 3,373,884 1,433,725
Payments for redemption of
shares.......................... (13,436,928) (24,132,164) (15,881,993) (12,532,430) (23,592,979) (20,065,399)
----------- ------------ ----------- ------------ ------------ ------------
Increase in net assets from capital
shares transactions............... 3,785,414 2,375,123 23,207,248 17,575,477 23,248,977 29,190,538
----------- ------------ ----------- ------------ ------------ ------------
Total increase (decrease) in
net assets.................... 10,080,182 (4,235,980) 50,567,094 17,222,436 47,912,762 30,767,336
Net assets at beginning of year.... 59,665,791 63,901,771 73,431,505 56,209,069 115,607,018 84,839,682
----------- ------------ ----------- ------------ ------------ ------------
Net assets at end of year
(including undistributed net
investment income of $1,885,333
and $1,650,255 for Growth,
$5,666,378 and $2,999,724 for
Bond, $0 and $0 for Money Market,
$11,587,244 and $8,662,733 for
Asset Allocation, $4,531,053 and
$4,169,579 for Mortgage
Securities, $1,984,153 and
$1,540,293 for Index 500, $0 and
$0 for Capital Appreciation,
$4,201,200 and $0 for
International Stock and $963 and
$0 for Small Company,
respectively...................... $69,745,973 $ 59,665,791 $123,998,599 $ 73,431,505 $163,519,780 $115,607,018
----------- ------------ ----------- ------------ ------------ ------------
----------- ------------ ----------- ------------ ------------ ------------
<CAPTION>
INTERNATIONAL STOCK SMALL COMPANY
PORTFOLIO PORTFOLIO
-------------------------- ------------------------
1995 1994 1995 1994
------------ ------------ ----------- -----------
<S> <C> <C> <C> <C>
Operations:
Investment income (loss)--net.... $ 3,292,425 $ 1,469,931 $ 112,463 $ 72,362
Net realized gains (losses) on
investments and foreign currency
transactions.................... 4,684,307 2,343,090 3,782,537 (351,935)
Net change in unrealized
appreciation or depreciation of
investments and translation of
assets and liabilities in
foreign currencies.............. 8,227,365 (4,817,807) 16,659,924 2,760,825
------------ ------------ ----------- -----------
Net increase (decrease) in net
assets resulting from
operations.................... 16,204,097 (1,004,786) 20,554,924 2,481,252
------------ ------------ ----------- -----------
Distributions to shareholders from:
Investment income--net........... -- (2,161,324) (111,500) (72,362)
Tax return of capital............ -- (104,737) -- (138)
Net realized gains............... -- (3,143,805) (969,415) --
------------ ------------ ----------- -----------
Total distributions............ -- (5,409,866) (1,080,915) (72,500)
------------ ------------ ----------- -----------
Capital share transactions (note
6):
Proceeds from sales.............. 45,334,046 77,099,945 38,430,026 41,639,137
Shares issued as a result of
reinvested distributions........ -- 5,409,866 1,080,915 72,500
Payments for redemption of
shares.......................... (28,258,386) (29,711,207) (11,194,748) (6,058,704)
------------ ------------ ----------- -----------
Increase in net assets from capital
shares transactions............... 17,075,660 52,798,604 28,316,193 35,652,933
------------ ------------ ----------- -----------
Total increase (decrease) in
net assets.................... 33,279,757 46,383,952 47,790,202 38,061,685
Net assets at beginning of year.... 107,489,808 61,105,856 51,104,724 13,043,039
------------ ------------ ----------- -----------
Net assets at end of year
(including undistributed net
investment income of $1,885,333
and $1,650,255 for Growth,
$5,666,378 and $2,999,724 for
Bond, $0 and $0 for Money Market,
$11,587,244 and $8,662,733 for
Asset Allocation, $4,531,053 and
$4,169,579 for Mortgage
Securities, $1,984,153 and
$1,540,293 for Index 500, $0 and
$0 for Capital Appreciation,
$4,201,200 and $0 for
International Stock and $963 and
$0 for Small Company,
respectively...................... $140,769,565 $107,489,808 $98,894,926 $51,104,724
------------ ------------ ----------- -----------
------------ ------------ ----------- -----------
</TABLE>
-59-
<PAGE>
MIMLIC SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS--CONTINUED
YEAR ENDED DECEMBER 31, 1995 AND PERIOD FROM MAY 2, 1994
COMMENCEMENT OF OPERATIONS, TO DECEMBER 31, 1994
<TABLE>
<CAPTION>
MATURING MATURING MATURING MATURING
GOVERNMENT BOND GOVERNMENT BOND GOVERNMENT BOND GOVERNMENT BOND
1998 PORTFOLIO 2002 PORTFOLIO 2006 PORTFOLIO 2010 PORTFOLIO
---------------------- ---------------------- ---------------------- ----------------------
1995 1994 1995 1994 1995 1994 1995 1994
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Operations:
Investment income--net........ $ 271,760 $ 152,178 $ 187,782 $ 126,262 $ 143,024 $ 93,792 $ 76,072 $ 55,785
Net realized gains (losses)
on investments............... 1,067 -- 8,323 (11,294) 2,190 -- (2,181) (13,184)
Net change in unrealized
appreciation or depreciation
of investments............... 359,251 (185,705) 446,613 (168,582) 504,542 (148,097) 334,118 (84,750)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Net increase (decrease) in
net assets resulting from
operations................. 632,078 (33,527) 642,718 (53,614) 649,756 (54,305) 408,009 (42,149)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Distributions to shareholders
from:
Investment income--net........ (269,178) (151,000) (189,044) (125,000) (142,792) (92,500) (75,785) (55,000)
Tax return of capital......... -- -- (6,040) -- -- -- -- --
Net realized gains............ (1,067) -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Total distributions......... (270,245) (151,000) (195,084) (125,000) (142,792) (92,500) (75,785) (55,000)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Capital share transactions (note
6):
Proceeds from sales........... 2,803,879 6,188,973 862,287 3,593,330 539,818 2,375,258 1,121,319 1,603,322
Shares issued as a result of
reinvested distributions..... 270,245 151,000 195,084 125,000 142,792 92,500 75,785 55,000
Payments for redemption of
shares....................... (1,780,820) (2,753,730) (1,030,858) (964,437) (479,630) (461,345) (1,216,768) (490,127)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Increase (decrease) in net
assets from capital shares
transactions................. 1,293,304 3,586,243 26,513 2,753,893 202,980 2,006,413 (19,664) 1,168,195
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Total increase in net
assets..................... 1,655,137 3,401,716 474,147 2,575,279 709,944 1,859,608 312,560 1,071,046
Net assets at beginning of
period....................... 3,401,716 -- 2,575,279 -- 1,859,608 -- 1,071,046 --
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Net assets at end of period.
(including undistributed net
investment income of $3,760
and $1,178 for Maturing
Government Bond 1998, $0 and
$1,262 for Maturing
Government Bond 2002, $1,524
and $1,292 for Maturing
Government Bond 2006, $1,072
and $785 for Maturing
Government Bond 2010 and
$3,814 and $1,111 for Value
Stock, respectively.......... $5,056,853 $3,401,716 $3,049,426 $2,575,279 $2,569,552 $1,859,608 $1,383,606 $1,071,046
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<CAPTION>
VALUE STOCK
PORTFOLIO
-----------------------
1995 1994
----------- ----------
<S> <C> <C>
Operations:
Investment income--net........ $ 235,814 $ 70,111
Net realized gains (losses)
on investments............... 1,761,136 130,280
Net change in unrealized
appreciation or depreciation
of investments............... 3,206,550 (28,749)
----------- ----------
Net increase (decrease) in
net. assets resulting from
operations................. 5,203,500 171,642
----------- ----------
Distributions to shareholders
from:
Investment income--net........ (233,111) (69,000)
Tax return of capital......... -- --
Net realized gains............ (1,350,762) (27,779)
----------- ----------
Total distributions......... (1,583,873) (96,779)
----------- ----------
Capital share transactions (note
6):
Proceeds from sales........... 20,708,752 9,025,887
Shares issued as a result of
reinvested distributions..... 1,583,873 96,779
Payments for redemption of
shares....................... (2,858,057) (426,690)
----------- ----------
Increase (decrease) in net
assets from capital shares
transactions................. 19,434,568 8,695,976
----------- ----------
Total increase in net
assets..................... 23,054,195 8,770,839
Net assets at beginning of
period....................... 8,770,839 --
----------- ----------
Net assets at end of period.
(including undistributed net
investment income of $3,760
and $1,178 for Maturing
Government Bond 1998, $0 and
$1,262 for Maturing
Government Bond 2002, $1,524
and $1,292 for Maturing
Government Bond 2006, $1,072
and $785 for Maturing
Government Bond 2010 and
$3,814 and $1,111 for Value
Stock, respectively.......... $31,825,034 $8,770,839
----------- ----------
----------- ----------
</TABLE>
See accompanying notes to financial statements.
-60-
<PAGE>
MIMLIC SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1995
(1) ORGANIZATION
MIMLIC Series Fund, Inc. (the Fund) is registered under the Investment
Company Act of 1940 (as amended) as a diversified, open-end management
investment company with a series of fourteen portfolios (Growth, Bond, Money
Market, Asset Allocation, Mortgage Securities, Index 500, Capital Appreciation,
International Stock, Small Company, Maturing Government Bond 1998, Maturing
Government Bond 2002, Maturing Government Bond 2006, Maturing Government Bond
2010 and Value Stock). The Fund accounts for the assets, liabilities and
operations of each portfolio separately. Shares of the Fund will not be offered
directly to the public, but sold only to The Minnesota Mutual Life Insurance
Company's (Minnesota Mutual) separate accounts in connection with Minnesota
Mutual variable contracts and policies.
On November 9, 1993, the Board of Directors approved the addition of the
Maturing Government Bond 1998, Maturing Government Bond 2002, Maturing
Government Bond 2006 and Maturing Government Bond 2010 Portfolios. On January
18, 1994, the Board of Directors approved the addition of the Value Stock
Portfolio. On April 25, 1994, Minnesota Mutual purchased shares of capital
stock, which represented the initial capital in these portfolios, as follows:
<TABLE>
<CAPTION>
NUMBER OF
PORTFOLIO SHARES
- --------- ----------
<S> <C>
Maturing Government Bond 1998....................................... 3,400,000
Maturing Government Bond 2002....................................... 2,600,000
Maturing Government Bond 2006....................................... 1,900,000
Maturing Government Bond 2010....................................... 1,100,000
Value Stock......................................................... 3,000,000
</TABLE>
Operations for these five portfolios did not formally commence until May 2,
1994 when the shares became effectively registered under the Securities Exchange
Act of 1933.
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The significant accounting policies followed by the Fund are 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 U.S. or foreign securities exchanges
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, with the exception of
Money Market and International Stock, are valued at market. For International
Stock, short-term securities with maturities of less than 60 days when acquired,
or which subsequently are within 60 days of maturity, are valued at amortized
cost which approximates market value. Pursuant to Rule 2a-7 of the Investment
Company Act of 1940 (as amended), all securities in Money Market are valued at
amortized cost, which approximates market value, in order to maintain a constant
net asset value of $1 per share.
-61-
<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.
FOREIGN CURRENCY TRANSLATIONS AND FORWARD FOREIGN CURRENCY CONTRACTS
Securities and other assets and liabilities denominated in foreign
currencies are translated daily into U.S. dollars at the closing rate of
exchange. Foreign currency amounts related to the purchase or sale of
securities, income and expenses are translated at the exchange rate on the
transaction date. The Fund does not isolate that portion of the results of
operations resulting from changes in foreign exchange rates on investments from
the fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with net realized and unrealized gains or losses from
investments.
Net realized foreign exchange gains or losses arise from sales and
maturities of short-term securities, sales of foreign currencies, currency gains
or losses realized between trade and settlement dates on security transactions,
the difference between the amounts of dividends, interest and foreign
withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of
the amounts actually received or paid. Net unrealized foreign exchange gains and
losses arise from changes in the value of assets and liabilities, other than
investments in securities, resulting from changes in the exchange rate.
International Stock also may enter into forward foreign currency exchange
contracts for operational purposes and to protect against adverse exchange rate
fluctuations. The net U.S. dollar value of foreign currency underlying all
contractual commitments held by International Stock and the resulting unrealized
appreciation or depreciation are determined using foreign currency exchange
rates from an independent pricing service. International Stock is subject to the
credit risk that the other party will not complete the obligations of the
contract.
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.
Each portfolio within the Fund is treated as a separate entity for federal
income tax purposes. The Fund's policy is to make the required minimum
distributions prior to December 31, in order to avoid Federal excise tax.
For federal income tax purposes, the following Portfolios had capital loss
carryovers at December 31, 1995, which, if not offset by subsequent capital
gains, will expire December 31, 2002 through 2003. It is unlikely the board of
directors will authorize a distribution of any net realized capital gains until
the available capital loss carryovers have been offset or expired:
<TABLE>
<S> <C>
Mortgage Securities................................................. $3,290,499
Maturing Government Bond 2002....................................... 2,971
Maturing Government Bond 2010....................................... 15,365
</TABLE>
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 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 (loss) or realized gains (losses) were
recorded by the Fund.
-62-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
On the statement of assets and liabilities, as a result of permanent
book-to-tax differences, adjustments have been made to undistributed net
investment income (UNII), accumulated net realized gains and losses (ARGL) and
additional paid-in captal (APIC) in the following amounts:
<TABLE>
<CAPTION>
UNII ARGL APIC
--------- --------- ---------
<S> <C> <C> <C>
Capital Appreciation.............................................................. $ 217,760 $ -- $(217,760)
International Stock............................................................... 908,775 (908,775) --
</TABLE>
DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders from net investment income for Money Market
are declared and reinvested daily in additional shares of capital stock. For
portfolios other than Money Market, distributions from net investment income and
realized gains, if any, will generally be declared and reinvested in additional
shares on an annual basis.
(3) INVESTMENT SECURITY TRANSACTIONS
For the year ended December 31, 1995, the cost of purchases and proceeds
from sales of investment securities aggregated $167,341,977 and $160,481,527,
respectively, for Money Market. For the other portfolios, the cost of purchases
and proceeds from sales of investment securities, other than temporary
investments in short-term securities, for the year ended December 31, 1995 were
as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ -------------
<S> <C> <C>
Growth............................................. $169,358,960 $ 152,644,401
Bond............................................... 187,584,847 168,250,545
Asset Allocation................................... 446,709,760 453,344,030
Mortgage Securities................................ 89,547,013 83,962,031
Index 500.......................................... 27,361,565 4,621,683
Capital Appreciation............................... 92,160,508 71,791,108
International Stock................................ 42,239,714 21,701,868
Small Company...................................... 59,812,551 39,341,441
Maturing Government Bond 1998...................... 1,692,868 383,296
Maturing Government Bond 2002...................... 62,511 --
Maturing Government Bond 2006...................... 344,848 217,166
Maturing Government Bond 2010...................... -- 93,714
Value Stock........................................ 43,922,395 28,405,681
</TABLE>
-63-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(4) FORWARD FOREIGN CURRENCY CONTRACTS
On December 31, 1995, International Stock had entered into forward currency
contracts that obligate International Stock to deliver currencies at specified
future dates. Unrealized appreciation and depreciation on these contracts is
included in the accompanying financial statements. The terms of the open
contracts were as follows:
<TABLE>
<CAPTION>
EXCHANGE CURRENCY TO BE CURRENCY TO BE UNREALIZED UNREALIZED
DATE DELIVERED RECEIVED APPRECIATION DEPRECIATION
- -------- ------------------ ------------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
01/03/96 26,439 US$ 17,074 GBP $70 $ --
01/04/96 119,670 GBP 183,813 US$ -- 1,986
01/04/96 15,041 GBP 23,352 US$ -- 250
01/03/96 184,320 CHF 158,623 US$ -- 1,564
01/05/96 44,657 GBP 68,793 US$ -- 540
01/05/96 46,065 GBP 71,520 US$ -- 387
01/08/96 201,935 CHF 174,202 US$ -- 1,294
01/31/96 101,723 US$ 495,898 FRF -- 320
01/31/96 42,374 US$ 206,442 FRF -- 160
01/31/96 74,346 US$ 362,810 FRF -- 158
01/03/96 46,060 US$ 198,979 FIM -- 233
01/31/96 20,949 US$ 101,833 FRF -- 126
01/31/96 20,339 US$ 98,867 FRF -- 122
01/04/96 17,416 US$ 75,254 FIM -- 84
01/31/96 13,048 US$ 63,478 FRF -- 68
01/31/96 11,944 US$ 58,229 FRF -- 39
--
-----
$70 $7,331
-- -----
-- -----
</TABLE>
<TABLE>
<C> <S>
CHF Swiss Franc
FIM Finnish Markka
FRF French Franc
GBP British Pound Sterling
US$ United States Dollar
</TABLE>
-64-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(5) EXPENSES AND RELATED PARTY TRANSACTIONS
The Fund has entered into an investment advisory agreement with MIMLIC Asset
Management Company (MIMLIC Management). Each portfolio of the Fund pays MIMLIC
Management an annual fee, based on average daily net assets, in the following
amounts:
<TABLE>
<CAPTION>
PORTFOLIO ANNUAL FEE
- --------- --------------------------------
<S> <C> <C>
Growth.................................. .50%
Bond.................................... .50%
Money Market............................ .50%
Asset Allocation........................ .50%
Mortgage Securities..................... .50%
Index 500............................... .40%
Capital Appreciation.................... .75%
International Stock..................... 1.00% on the first $10
million in net
assets
.90% on the next $15
million
.80% on the next $25
million
.75% on the next $50
million
.65% thereafter
Small Company........................... .75%
Maturing Government Bond 1998........... .05% until April 30, 1998
and .25% thereafter
Maturing Government Bond 2002........... .05% until April 30, 1998
and .25% thereafter
Maturing Government Bond 2006........... .25%
Maturing Government Bond 2010........... .25%
Value Stock............................. .75%
</TABLE>
Under these agreements, MIMLIC Management manages the Fund's assets and
furnishes related office facilities, equipment, research, and personnel.
For Capital Appreciation, MIMLIC Management has a sub-advisory agreement
with Winslow Capital Management, Inc. (Winslow). From its advisory fee, MIMLIC
Management pays Winslow a fee equal to .50 percent on the first $75 million in
net assets and .45 percent of all net assets in excess of $75 million. For
International Stock, MIMLIC Management has a sub-advisory agreement with
Templeton Investment Counsel, Inc. From its advisory fee, MIMLIC Management pays
Templeton Investment Counsel, Inc. a fee equal to .75 percent on the first $10
million in net assets, .65 percent on the next $15 million, .55 percent on the
next $25 million, .50 percent on the next $50 million and .40 percent on the
next $100 million and thereafter.
The Fund bears certain other operating expenses including outside directors'
fees, federal registration fees, printing and shareholder reports, legal,
auditing, custodian fees, organizational costs and other miscellaneous expenses.
Each portfolio will pay all expenses directly related to its individual
operations. Operating expenses not attributable to a specific portfolio will be
allocated based upon the proportionate net asset size of each portfolio.
Minnesota Mutual directly incurs and pays these operating expenses relating to
the Fund and the Fund in turn reimburses Minnesota Mutual. Minnesota Mutual has
voluntarily agreed to absorb all fees and expenses for each portfolio that
exceed various percentages of average daily net assets. During the year ended
December 31, 1995, Minnesota Mutual voluntarily agreed to absorb $22,794,
$24,709, $25,199, $26,308 and $11,610 in expenses that were otherwise payable by
Maturing Government Bond 1998, Maturing Government Bond 2002, Maturing
Government Bond 2006, Maturing Government 2010 and Value Stock.
-65-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(5) EXPENSES AND RELATED PARTY TRANSACTIONS--(CONTINUED)
Each portfolio pays an administrative services fee to Minnesota Mutual for
accounting, legal and other administrative services which Minnesota Mutual
provides. Prior to May 1, 1995, the administrative services fee for each
portfolio was $2,050 per month. Effective May 1, 1995, the administrative
service fee for each portfolio is $1,500 per month.
(6) CAPITAL SHARE TRANSACTIONS
Transactions in shares of portfolios for the years ended December 31, 1995
and 1994 (the year ended December 31, 1995 and the period from April 25, 1994 to
December 31, 1994 for Maturing Government Bond 1998, Maturing Government Bond
2002, Maturing Government Bond 2006, Maturing Government Bond 2010 and Value
Stock) were as follows:
<TABLE>
<CAPTION>
GROWTH BOND
-------------------------- --------------------------
1995 1994 1995 1994
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Sold........................................................ 15,942,741 28,193,814 19,917,487 40,112,788
Issued for reinvested distributions......................... 4,188,367 2,249,492 2,571,473 2,685,716
Redeemed.................................................... (13,194,015) (11,882,761) (11,200,741) (12,036,132)
----------- ----------- ----------- -----------
6,937,093 18,560,545 11,288,219 30,762,372
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
<CAPTION>
MONEY MARKET ASSET ALLOCATION
-------------------------- --------------------------
1995 1994 1995 1994
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Sold........................................................ 36,944,812 32,779,527 37,854,023 55,022,406
Issued for reinvested distributions......................... 1,335,757 687,516 7,646,551 4,591,566
Redeemed.................................................... (31,221,058) (28,782,856) (33,295,460) (38,088,984)
----------- ----------- ----------- -----------
7,059,511 4,684,187 12,205,114 21,524,988
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
<CAPTION>
MORTGAGE SECURITIES INDEX 500
-------------------------- --------------------------
1995 1994 1995 1994
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Sold........................................................ 11,363,781 19,380,092 20,529,294 19,141,178
Issued for reinvested distributions......................... 3,873,396 3,961,293 1,340,030 840,282
Redeemed.................................................... (11,794,395) (21,468,950) (8,948,748) (8,311,557)
----------- ----------- ----------- -----------
3,442,782 1,872,435 12,920,576 11,669,903
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
<CAPTION>
CAPITAL APPRECIATION INTERNATIONAL STOCK
-------------------------- --------------------------
1995 1994 1995 1994
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Sold........................................................ 21,549,468 27,348,716 34,352,552 59,024,386
Issued for reinvested distributions......................... 1,816,119 840,153 -- 4,331,175
Redeemed.................................................... (11,636,441) (11,447,247) (21,587,691) (22,945,898)
----------- ----------- ----------- -----------
11,729,146 16,741,622 12,764,861 40,409,663
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
<CAPTION>
MATURING GOVERNMENT BOND
SMALL COMPANY 1998
-------------------------- --------------------------
1995 1994 1995 1994
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Sold........................................................ 27,268,886 35,560,021 2,804,374 6,200,909
Issued for reinvested distributions......................... 681,476 59,351 261,002 159,722
Redeemed.................................................... (7,902,817) (5,225,445) (1,791,322) (2,761,977)
----------- ----------- ----------- -----------
20,047,545 30,393,927 1,274,054 3,598,654
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
</TABLE>
-66-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(6) CAPITAL SHARE TRANSACTIONS--(CONTINUED)
<TABLE>
<CAPTION>
MATURING GOVERNMENT BOND MATURING GOVERNMENT BOND
2002 2006
-------------------------- --------------------------
1995 1994 1995 1994
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Sold........................................................ 819,908 3,615,900 493,557 2,395,168
Issued for reinvested distributions......................... 179,675 133,932 122,592 100,028
Redeemed.................................................... (966,191) (987,161) (441,900) (480,203)
----------- ----------- ----------- -----------
33,392 2,762,671 174,249 2,014,993
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
<CAPTION>
MATURING GOVERNMENT BOND
2010 VALUE STOCK
-------------------------- --------------------------
1995 1994 1995 1994
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Sold........................................................ 1,062,561 1,641,280 16,963,575 8,716,795
Issued for reinvested distributions......................... 63,051 60,229 1,227,850 93,066
Redeemed.................................................... (1,163,056) (524,203) (2,330,611) (407,103)
----------- ----------- ----------- -----------
( 37,444) 1,177,306 15,860,814 8,402,758
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
</TABLE>
(7) ILLIQUID SECURITIES
Each portfolio of the Fund currently limits investments in illiquid
securities to 15% of net assets at the time of purchase, except for Money Market
which limits the investment in illiquid securities to 10% of net assets. At
December 31, 1995, investment in securities of Bond, Mortgage Securities,
International Stock and Small Company includes issues that are illiquid. The
aggregate value of illiquid securities held by Bond, Mortgage Securities,
International Stock and Small Company at December 31, 1995 were $2,096,336,
$5,566,081, $5,556,188 and $6,066,566, respectively, which represents 2.1%,
8.0%, 3.9% and 6.1% of net assets, respectively. Securities are valued by
procedures described in note 2. Pursuant to guidelines adopted by the Fund's
board of directors, certain unregistered securities are determined to be liquid
and are not included within the percent limitations specified above.
-67-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(8) FINANCIAL HIGHLIGHTS
The following tables for each Portfolio show certain per share data for a
share of capital stock outstanding during the periods and selected information
for each period:
GROWTH PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-----------------------------------------------------
1995 1994 1993 1992 1991
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year............................. $1.866 $1.912 $1.889 $1.864 $1.391
--------- --------- --------- --------- ---------
Income from investment operations:
Net investment income...................................... .021 .019 .020 .026 .031
Net gains or losses on securities (both realized and
unrealized).............................................. .416 (.005) .063 .060 .442
--------- --------- --------- --------- ---------
Total from investment operations....................... .437 .014 .083 .086 .473
--------- --------- --------- --------- ---------
Less distributions:
Dividends from net investment income....................... (.020) (.020) (.027) (.031) --
Distributions from capital gains........................... (.073) (.040) (.033) (.030) --
--------- --------- --------- --------- ---------
Total distributions.................................... (.093) (.060) (.060) (.061) --
--------- --------- --------- --------- ---------
Net asset value, end of year................................... $2.210 $1.866 $1.912 $1.889 $1.864
--------- --------- --------- --------- ---------
--------- --------- --------- --------- ---------
Total return (a)............................................... 24.3% .8% 4.7% 4.8% 34.1%
Net assets, end of year (in thousands)......................... $ 201,678 $ 157,369 $ 125,745 $ 99,128 $ 75,518
Ratio of expenses to average daily net assets.................. .55% .56% .58% .58% .63%
Ratio of net investment income to average daily net assets..... 1.04% 1.22% 1.21% 1.72% 2.11%
Portfolio turnover rate (excluding short-term securities)...... 91.9% 42.0% 51.0% 22.4% 15.7%
<FN>
- ----------
(a) 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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
</TABLE>
-68-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(8) FINANCIAL HIGHLIGHTS--(CONTINUED)
BOND PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
----------------------------------------------------
1995 1994 1993 1992 1991
-------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year.......................... $1.157 $1.300 $1.258 $1.264 $1.075
-------- ------- ------- ------- -------
Income from investment operations:
Net investment income................................... .074 .042 .051 .053 .078
Net gains or losses on securities (both realized and
unrealized)........................................... .147 (.100) .074 .024 .111
-------- ------- ------- ------- -------
Total from investment operations.................... .221 (.058) .125 .077 .189
-------- ------- ------- ------- -------
Less distributions:
Dividends from net investment income.................... (.046) (.052) (.058) (.069) --
Distributions from capital gains........................ -- (.033) (.025) (.014) --
-------- ------- ------- ------- -------
Total distributions................................. (.046) (.085) (.083) (.083) --
-------- ------- ------- ------- -------
Net asset value, end of year................................ $1.332 $1.157 $1.300 $1.258 $1.264
-------- ------- ------- ------- -------
-------- ------- ------- ------- -------
Total return (a)............................................ 19.8% (4.6)% 10.3% 6.7% 17.6%
Net assets, end of year (in thousands)...................... $101,045 $74,679 $43,927 $24,914 $13,088
Ratio of expenses to average daily net assets (b)........... .58% .61% .64% .65% .65%
Ratio of net investment income to average daily net assets
(b)....................................................... 6.57% 6.12% 5.57% 6.56% 7.79%
Portfolio turnover rate (excluding short-term securities)... 205.4% 166.2% 166.8% 140.2% 93.8%
<FN>
- ----------
(a) 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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(b) Minnesota Mutual voluntarily absorbed $12,179 and $13,182 in expenses for
the years ended December 31, 1992 and 1991, respectively. Had the portfolio
paid all fees and expenses the ratio of expenses to average daily net
assets would have been .72% and .78%, respectively, and the ratio of net
investment income to average daily net assets would have been 6.49% and
7.66%, respectively.
</TABLE>
-69-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(8) FINANCIAL HIGHLIGHTS--(CONTINUED)
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-----------------------------------------------------
1995 1994 1993 1992 1991
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year................................ $1.000 $1.000 $1.000 $1.000 $1.000
--------- --------- --------- --------- ---------
Income from investment operations:
Net investment income......................................... .053 .036 .027 .032 .053
--------- --------- --------- --------- ---------
Total from investment operations.......................... .053 .036 .027 .032 .053
--------- --------- --------- --------- ---------
Less distributions:
Dividends from net investment income.......................... (.053) (.036) (.027) (.032) (.053)
--------- --------- --------- --------- ---------
Total distributions....................................... (.053) (.036) (.027) (.032) (.053)
--------- --------- --------- --------- ---------
Net asset value, end of year...................................... $1.000 $1.000 $1.000 $1.000 $1.000
--------- --------- --------- --------- ---------
--------- --------- --------- --------- ---------
Total return (a).................................................. 5.4% 4.2% 2.7% 3.2% 5.4%
Net assets, end of year (in thousands)............................ $ 30,166 $ 23,107 $ 18,423 $ 13,591 $ 12,834
Ratio of expenses to average daily net assets (b)................. .64% .65% .65% .65% .65%
Ratio of net investment income to average daily net assets (b).... 5.29% 3.71% 2.65% 3.17% 5.26%
<FN>
- ----------
(a) 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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(b) Minnesota Mutual voluntarily absorbed $13,734, $23,714, $20,913 and $22,877
in expenses for the years ended December 31, 1994, 1993, 1992 and 1991,
respectively. Had the portfolio paid all fees and expenses the ratio of
expenses to average daily net assets would have been .72%, .81%, .80% and
.85%, respectively, and the ratio of net investment income to average daily
net assets would have been 3.64%, 2.49%, 3.02% and 5.06%, respectively.
</TABLE>
-70-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(8) FINANCIAL HIGHLIGHTS--(CONTINUED)
ASSET ALLOCATION PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-------------------------------------------------------
1995 1994 1993 1992 1991
-------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year.......................... $1.524 $1.589 $1.574 $1.558 $1.209
-------- -------- -------- -------- -------
Income from investment operations:
Net investment income................................... .061 .047 .030 .034 .047
Net gains or losses on securities (both realized and
unrealized)............................................ .308 (.069) .066 .070 .302
-------- -------- -------- -------- -------
Total from investment operations.................... .369 (.022) .096 .104 .349
-------- -------- -------- -------- -------
Less distributions:
Dividends from net investment income.................... (.049) (.033) (.037) (.041) --
Distributions from capital gains........................ (.018) (.010) (.044) (.047) --
-------- -------- -------- -------- -------
Total distributions................................. (.067) (.043) (.081) (.088) --
-------- -------- -------- -------- -------
Net asset value, end of year................................ $1.826 $1.524 $1.589 $1.574 $1.558
-------- -------- -------- -------- -------
-------- -------- -------- -------- -------
Total return (a)............................................ 25.0% (1.4)% 6.5% 7.3% 28.9%
Net assets, end of year (in thousands)...................... $349,010 $272,629 $250,011 $150,998 $68,592
Ratio of expenses to average daily net assets............... .55% .56% .57% .60% .62%
Ratio of net investment income to average daily net
assets.................................................... 3.75% 3.31% 2.63% 3.68% 4.50%
Portfolio turnover rate (excluding short-term securities)... 157.0% 123.6% 85.7% 106.5% 78.6%
<FN>
- ----------
(a) 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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
</TABLE>
-71-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(8) FINANCIAL HIGHLIGHTS--(CONTINUED)
MORTGAGE SECURITIES PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
---------------------------------------------------
1995 1994 1993 1992 1991
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year.......................... $1.098 $1.218 $1.185 $1.196 $1.029
------- ------- ------- ------- -------
Income from investment operations:
Net investment income................................... .081 .074 .054 .045 .069
Net gains or losses on securities (both realized and
unrealized)............................................ .107 (.115) .052 .024 .098
------- ------- ------- ------- -------
Total from investment operations.................... .188 (.041) .106 .069 .167
------- ------- ------- ------- -------
Less distributions:
Dividends from net investment income.................... (.079) (.054) (.055) (.056) --
Distributions from capital gains........................ -- (.025) (.018) (.024) --
------- ------- ------- ------- -------
Total distributions................................. (.079) (.079) (.073) (.080) --
------- ------- ------- ------- -------
Net asset value, end of year................................ $1.207 $1.098 $1.218 $1.185 $1.196
------- ------- ------- ------- -------
------- ------- ------- ------- -------
Total return (a)............................................ 18.0% (3.4)% 9.3% 6.4% 16.3%
Net assets, end of year (in thousands)...................... $69,746 $59,666 $63,902 $37,011 $16,520
Ratio of expenses to average daily net assets (b)........... .58% .60% .63% .65% .65%
Ratio of net investment income to average daily net assets
(b)....................................................... 7.09% 6.55% 5.87% 6.64% 8.02%
Portfolio turnover rate (excluding short-term securities)... 133.7% 197.3% 138.4% 96.2% 112.0%
<FN>
- ----------
(a) 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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(b) Minnesota Mutual voluntarily absorbed $10,341 and $16,372 in expenses for
the years ended December 31, 1992 and 1991, respectively. Had the portfolio
paid all fees and expenses the ratio of expenses to average daily net
assets would have been .69% and .79% , respectively, and the ratio of net
investment income to average daily net assets would have been 6.60% and
7.88%, respectively.
</TABLE>
-72-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(8) FINANCIAL HIGHLIGHTS--(CONTINUED)
INDEX 500 PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-----------------------------------------------------
1995 1994 1993 1992 1991
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year............................... $1.518 $1.532 $1.428 $1.454 $1.120
--------- --------- --------- --------- ---------
Income from investment operations:
Net investment income........................................ .031 .029 .026 .024 .034
Net gains or losses on securities (both realized and
unrealized)................................................ .517 (.012) .110 .073 .300
--------- --------- --------- --------- ---------
Total from investment operations......................... .548 .017 .136 .097 .334
--------- --------- --------- --------- ---------
Less distributions:
Dividends from net investment income......................... (.031) (.026) (.025) (.032) --
Distributions from capital gains............................. (.012) (.005) (.007) (.091) --
--------- --------- --------- --------- ---------
Total distributions...................................... (.043) (.031) (.032) (.123) --
--------- --------- --------- --------- ---------
Net asset value, end of year..................................... $2.023 $1.518 $1.532 $1.428 $1.454
--------- --------- --------- --------- ---------
--------- --------- --------- --------- ---------
Total return (a)................................................. 36.8% 1.2% 9.8% 7.4% 29.8%
Net assets, end of year (in thousands)........................... $ 123,999 $ 73,432 $ 56,209 $ 35,620 $ 20,999
Ratio of expenses to average daily net assets (b)................ .47% .50% .55% .55% .55%
Ratio of net investment income to average daily net assets (b)... 2.08% 2.34% 2.27% 2.42% 2.70%
Portfolio turnover rate (excluding short-term securities)........ 4.8% 5.9% 4.8% 6.1% 26.4%
<FN>
- ----------
(a) 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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(b) Minnesota Mutual voluntarily absorbed $7,228 and $13,123 in expenses for
the years ended December 31, 1992 and 1991, respectively. Had the portfolio
paid all fees and expenses the ratio of expenses to average daily net
assets would have been .58% and .62%, respectively, and the ratio of net
investment income to average daily net assets would have been 2.39% and
2.63%, respectively.
</TABLE>
-73-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(8) FINANCIAL HIGHLIGHTS--(CONTINUED)
CAPITAL APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-----------------------------------------------------
1995 1994 1993 1992(A) 1991
-------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year.......................... $1.808 $1.797 $1.682 $1.684 $1.198
-------- -------- ------- ------- -------
Income from investment operations:
Net investment income (loss)............................ (.003) -- .001 .004 .009
Net gains or losses on securities (both realized and
unrealized)........................................... .406 .039 .167 .078 .488
-------- -------- ------- ------- -------
Total from investment operations.................... .403 .039 .168 .082 .497
-------- -------- ------- ------- -------
Less distributions:
Dividends from net investment income.................... -- (.002) (.005) (.009) (.003)
Distributions from capital gains........................ (.051) (.026) (.048) (.075) (.008)
-------- -------- ------- ------- -------
Total distributions................................. (.051) (.028) (.053) (.084) (.011)
-------- -------- ------- ------- -------
Net asset value, end of year................................ $2.160 $1.808 $1.797 $1.682 $1.684
-------- -------- ------- ------- -------
-------- -------- ------- ------- -------
Total return (b)............................................ 22.8% 2.3% 10.4% 5.0% 41.8%
Net assets, end of year (in thousands)...................... $163,520 $115,607 $84,840 $52,365 $23,822
Ratio of expenses to average daily net assets (c)........... .80% .83% .86% .90% .90%
Ratio of net investment income (loss) to average daily net
assets (c)................................................ (.15)% (.09)% .12% .42% .92%
Portfolio turnover rate (excluding short-term securities)... 51.1% 68.4% 95.9% 138.8% 70.5%
<FN>
- ----------
(a) On October 1, 1992, the portfolio entered into a new sub-advisory agreement
with Winslow Capital Management, Inc. to perform sub-advisory services for
the portfolio. Prior to October 1, 1992, the portfolio had a sub-advisory
agreement with Alliance Capital Management L.P. for sub-advisory services.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Minnesota Mutual voluntarily absorbed $16,612 and $15,552 in expenses for
the years ended December 31, 1992 and 1991, respectively. Had the portfolio
paid all fees and expenses the ratio of expenses to average daily net
assets would have been .94% and 1.00%, respectively, and the ratio of net
investment income to average daily net assets would have been .38% and
.82%, respectively.
</TABLE>
-74-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(8) FINANCIAL HIGHLIGHTS--(CONTINUED)
INTERNATIONAL STOCK PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
YEAR ENDED DECEMBER 31, MAY 1, 1992
------------------------------- TO DECEMBER
1995 1994 1993 31, 1992(A)
-------- -------- ------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $1.235 $1.310 $.919 $1.000
-------- -------- ------- ------
Income from investment operations:
Net investment income................................... .033 .011 .016 .010
Net gains or losses on securities (both realized and
unrealized)............................................ .142 (.015) .389 (.077)
-------- -------- ------- ------
Total from investment operations.................... .175 (.004) .405 (.067)
-------- -------- ------- ------
Less distributions:
Dividends from net investment income.................... -- (.029) (.007) (.010)
Excess distributions of net investment income........... -- -- -- (.002)
Tax return of capital................................... -- (.001) -- --
Distributions from capital gains........................ -- (.041) (.007) --
Excess distributions of net realized gains.............. -- -- -- (.002)
-------- -------- ------- ------
Total distributions................................. -- (.071) (.014) (.014)
-------- -------- ------- ------
Net asset value, end of period.............................. $1.410 $1.235 $1.310 $.919
-------- -------- ------- ------
-------- -------- ------- ------
Total return (b)............................................ 14.2% (.3)% 44.2% (6.8)%(d)
Net assets, end of period (in thousands).................... $140,770 $107,490 $61,106 $17,401
Ratio of expenses to average daily net assets (c)........... 1.04% 1.24% 1.55% 2.00%(e)
Ratio of net investment income to average daily net assets
(c)....................................................... 2.69% 1.68% 1.04% 2.10%(e)
Portfolio turnover rate (excluding short-term securities)... 20.3% 12.9% 12.7% 11.7%
<FN>
- ----------
(a) The inception of the portfolio was January 21, 1992. However, operations
did not commence until May 1, 1992 when shares of the portfolio became
effectively registered under the Securities Act of 1933.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Minnesota Mutual voluntarily absorbed $8,450 in expenses for the period
from May 1, 1992 to December 31, 1992. Had the portfolio paid all fees and
expenses, the ratio of expenses to average daily net assets would have been
2.09% and the ratio of net investment income to average daily net assets
would have been 2.01%.
(d) Total return is presented for the period from May 1, 1992, commencement of
operations, to December 31, 1992.
(e) Adjusted to an annual basis.
</TABLE>
-75-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(8) FINANCIAL HIGHLIGHTS--(CONTINUED)
SMALL COMPANY PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED PERIOD FROM
DECEMBER 31 MAY 3, 1993
------------------ TO DECEMBER
1995 1994 31, 1993(A)
------- ------- ------------
<S> <C> <C> <C>
Net asset value, beginning of period........................ $1.226 $1.157 $1.000
------- ------- ------
Income from investment operations:
Net investment income................................... .002 .002 --
Net gains or losses on securities (both realized and
unrealized)............................................ .392 .069 .173
------- ------- ------
Total from investment operations.................... .394 .071 .173
------- ------- ------
Less distributions:
Dividends from net investment income.................... (.002) (.002) --
Distributions from net realized gains................... (.016) -- (.015)
Excess distributions of net realized gains.............. -- -- (.001)
------- ------- ------
Total distributions................................. (.018) (.002) (.016)
------- ------- ------
Net asset value, end of period.............................. $1.602 $1.226 $1.157
------- ------- ------
------- ------- ------
Total return (b)............................................ 32.1% 6.2% 17.4%(c)
Net assets, end of period (in thousands).................... $98,895 $51,105 $13,043
Ratio of expenses to average daily net assets (d)........... .84% .90% .90%(e)
Ratio of net investment income (loss) to average daily net
assets (d)................................................ .15% .24% (.02)%(e)
Portfolio turnover rate (excluding short-term securities)... 61.3% 28.1% 34.9%
<FN>
- ----------
(a) The inception of the portfolio was January 26, 1993. However, operations
did not commence until May 3, 1993 when shares of the portfolio became
effectively registered under the Securities Act of 1933.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Total return is presented for the period from May 3, 1993, commencement of
operations, to December 31, 1993.
(d) Minnesota Mutual voluntarily absorbed $9,532 and $30,330 in expenses for
the year ended December 31, 1994 and the period from May 3, 1993 to
December 31, 1993. Had the portfolio paid all fees and expenses, the ratio
of expenses to average daily net assets would have been .92% and 1.58%,
respectively and the ratio of net investment income (loss) to average daily
net assets would have been .21% and (.70%), respectively.
(e) Adjusted to an annual basis.
</TABLE>
-76-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(8) FINANCIAL HIGHLIGHTS--(CONTINUED)
MATURING GOVERNMENT BOND 1998 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
YEAR ENDED MAY 2, 1994
DECEMBER TO DECEMBER
31, 1995 31, 1994(A)
----------- ------------
<S> <C> <C>
Net asset value, beginning of period........................ $.945 $.989
----- -----
Income from investment operations:
Net investment income................................... .059 .043
Net gains or losses on securities (both realized and
unrealized)............................................ .092 (.043)
----- -----
Total from investment operations.................... .151 --
----- -----
Less distributions:
Dividends from net investment income.................... (.058) (.044)
Distributions from net realized gains................... -- --
----- -----
Total distributions................................. (.058) (.044)
----- -----
Net asset value, end of period.............................. $1.038 $.945
----- -----
----- -----
Total return (b)............................................ 16.0% .1%(c)
Net assets, end of period (in thousands).................... $5,057 $3,402
Ratio of expenses to average daily net assets (d)........... .20% .20%(e)
Ratio of net investment income to average daily net assets
(d)....................................................... 6.22% 6.45%(e)
Portfolio turnover rate (excluding short-term securities)... 9.0% --
<FN>
- ----------
(a) The inception of the portfolio was November 9, 1993. However, operations
did not commence until May 2, 1994 when shares of the portfolio became
effectively registered under the Securities Act of 1933.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Total return is presented for the period from May 2, 1994, commencement of
operations, to December 31, 1994.
(d) Minnesota Mutual voluntarily absorbed $22,794 and $21,714 in expenses for
the year ended December 31, 1995 and the period from May 2, 1994 to
December 31, 1994. Had the portfolio paid all fees and expenses, the ratio
of expenses to average net assets would have been .72% and 1.12%,
respectively, and the ratio of net investment income to average daily net
assets would have been 5.70% and 5.53%, respectively.
(e) Adjusted to an annual basis.
</TABLE>
-77-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(8) FINANCIAL HIGHLIGHTS--(CONTINUED)
MATURING GOVERNMENT BOND 2002 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
YEAR ENDED MAY 2, 1994
DECEMBER TO DECEMBER
31, 1995 31, 1994(A)
----------- ------------
<S> <C> <C>
Net asset value, beginning of period........................ $.932 $.977
----- -----
Income from investment operations:
Net investment income................................... .072 .047
Net gains or losses on securities (both realized and
unrealized)............................................ .161 (.044)
----- -----
Total from investment operations.................... .233 .003
----- -----
Less distributions:
Dividends from net investment income.................... (.072) (.048)
Tax return of capital................................... (.002) --
Distributions from net realized gains................... -- --
----- -----
Total distributions................................. (.074) (.048)
----- -----
Net asset value, end of period.............................. $1.091 $.932
----- -----
----- -----
Total return (b)............................................ 25.0% .3%(c)
Net assets, end of period (in thousands).................... $3,049 $2,575
Ratio of expenses to average daily net assets (d)........... .20% .20%(e)
Ratio of net investment income to average daily net assets
(d)....................................................... 6.52% 7.18%(e)
Portfolio turnover rate (excluding short-term securities)... -- 11.6%
<FN>
- ----------
(a) The inception of the portfolio was November 9, 1993. However, operations
did not commence until May 2, 1994 when shares of the portfolio became
effectively registered under the Securities Act of 1933.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Total return is presented for the period from May 2, 1994, commencement of
operations, to December 31, 1994.
(d) Minnesota Mutual voluntarily absorbed $24,709 and $23,298 in expenses for
the year ended December 31, 1995 and the period from May 2, 1994 to
December 31, 1994. Had the portfolio paid all fees and expenses, the ratio
of expenses to average daily net assets would have been 1.06% and 1.52%,
respectively and the ratio of net investment income to average daily net
assets would have been 5.66% and 5.86%, respectively.
(e) Adjusted to an annual basis.
</TABLE>
-78-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(8) FINANCIAL HIGHLIGHTS--(CONTINUED)
MATURING GOVERNMENT BOND 2006 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
YEAR ENDED MAY 2, 1994
DECEMBER TO DECEMBER
31, 1995 31, 1994(A)
----------- ------------
<S> <C> <C>
Net asset value, beginning of period........................ $.923 $.970
----- -----
Income from investment operations:
Net investment income................................... .069 .047
Net gains or losses on securities (both realized and
unrealized)............................................ .251 (.046)
----- -----
Total from investment operations.................... .320 .001
----- -----
Less distributions:
Dividends from net investment income.................... (.069) (.048)
Distributions from net realized gains................... -- --
----- -----
Total distributions................................. (.069) (.048)
----- -----
Net asset value, end of period.............................. $1.174 $.923
----- -----
----- -----
Total return (b)............................................ 34.7% .1%(c)
Net assets, end of period (in thousands).................... $2,570 $1,860
Ratio of expenses to average daily net assets (d)........... .40% .40%(e)
Ratio of net investment income to average daily net assets
(d)....................................................... 6.56% 7.45%(e)
Portfolio turnover rate (excluding short-term securities)... 10.0% --
<FN>
- ----------
(a) The inception of the portfolio was November 9, 1993. However, operations
did not commence until May 2, 1994 when shares of the portfolio became
effectively registered under the Securities Act of 1933.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Total return is presented for the period from May 2, 1994, commencement of
operations, to December 31, 1994.
(d) Minnesota Mutual voluntarily absorbed $25,199 and $24,803 in expenses for
the year ended December 31, 1995 and the period from May 2, 1994 to
December 31, 1994. Had the portfolio paid all fees and expenses, the ratio
of expenses to average daily net assets would have been 1.56% and 2.37%,
respectively and the ratio of net investment income to average daily net
assets would have been 5.40% and 5.48%, respectively.
(e) Adjusted to an annual basis.
</TABLE>
-79-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(8) FINANCIAL HIGHLIGHTS--(CONTINUED)
MATURING GOVERNMENT BOND 2010 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
YEAR ENDED MAY 2, 1994
DECEMBER TO DECEMBER
31, 1995 31, 1994(A)
----------- ------------
<S> <C> <C>
Net asset value, beginning of period........................ $.910 $.962
----- -----
Income from investment operations:
Net investment income................................... .070 .049
Net gains or losses on securities (both realized and
unrealized)............................................ .304 (.052)
----- -----
Total from investment operations.................... .374 (.003)
----- -----
Less distributions:
Dividends from net investment income.................... (.070) (.049)
Distributions from net realized gains................... -- --
----- -----
Total distributions................................. (.070) (.049)
----- -----
Net asset value, end of period.............................. $1.214 $.910
----- -----
----- -----
Total return (b)............................................ 41.2% (.3)%(c)
Net assets, end of period (in thousands).................... $1,384 $1,071
Ratio of expenses to average daily net assets (d)........... .40% .40%(e)
Ratio of net investment income to average daily net assets
(d)....................................................... 6.58% 7.79%(e)
Portfolio turnover rate (excluding short-term securities)... -- 14.5%
<FN>
- ----------
(a) The inception of the portfolio was November 9, 1993. However, operations
did not commence until May 2, 1994 when shares of the portfolio became
effectively registered under the Securities Act of 1933.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Total return is presented for the period from May 2, 1994, commencement of
operations, to December 31, 1994.
(d) Minnesota Mutual voluntarily absorbed $26,308 and $25,888 in expenses for
the year ended December 31, 1995 and the period from May 2, 1994 to
December 31, 1994. Had the portfolio paid all fees and expenses, the ratio
of expenses to average daily net assets would have been 2.68% and 4.01%,
respectively and the ratio of net investment income to average daily net
assets would have been 4.30% and 4.18%, respectively.
(e) Adjusted to an annual basis.
</TABLE>
-80-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(8) FINANCIAL HIGHLIGHTS--(CONTINUED)
VALUE STOCK PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
YEAR ENDED MAY 2, 1994
DECEMBER TO DECEMBER
31, 1995 31, 1994(A)
----------- ------------
<S> <C> <C>
Net asset value, beginning of period........................ $1.044 $1.010
----------- -----
Income from investment operations:
Net investment income................................... .010 .008
Net gains or losses on securities (both realized and
unrealized)............................................ .331 .038
----------- -----
Total from investment operations.................... .341 .046
----------- -----
Less distributions:
Dividends from net investment income.................... (.010) (.009)
Distributions from net realized gains................... (.063) (.003)
----------- -----
Total distributions................................. (.073) (.012)
----------- -----
Net asset value, end of period.............................. $1.312 $1.044
----------- -----
----------- -----
Total return (b)............................................ 33.0% 4.6%(c)
Net assets, end of period (in thousands).................... $31,825 $8,771
Ratio of expenses to average daily net assets (d)........... .89% .90%(e)
Ratio of net investment income to average daily net assets
(d)....................................................... 1.25% 2.07%(e)
Portfolio turnover rate (excluding short-term securities)... 164.2% 49.5%
<FN>
- ----------
(a) The inception of the portfolio was January 18, 1994. However, operations
did not commence until May 2, 1994 when shares of the portfolio became
effectively registered under the Securities Act of 1933.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Total return is presented for the period from May 2, 1994, commencement of
operations, to December 31, 1994.
(d) Minnesota Mutual voluntarily absorbed $11,610 and $22,503 in expenses for
the year ended December 31, 1995 and the period from May 2, 1994 to
December 31, 1994. Had the portfolio paid all fees and expenses the ratio
of expenses to average daily net assets would have been .95% and 1.56%,
respectively and the ratio of net investment income to average daily net
assets would have been 1.19% and 1.41%, respectively.
(e) Adjusted to an annual basis.
</TABLE>
-81-
<PAGE>
GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1996
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
COMMON STOCKS (95.8%)
CAPITAL GOODS (9.1%)
Machinery (9.1%)
83,101 Halliburton Company......................................... $ 4,612,106
93,384 General Electric Company.................................... 8,077,715
84,100 Millipore Corporation....................................... 3,521,688
87,586 York International Corp..................................... 4,532,576
--------------
20,744,085
--------------
CONSUMER GOODS AND SERVICES (50.0%)
Consumer Goods (29.3%)
73,800 Abbott Laboratories......................................... 3,210,300
172,000 Coca-Cola Company........................................... 8,406,500
118,586 Columbia/HCA Healthcare Corporation......................... 6,329,528
39,000 Gillette Company............................................ 2,432,625
117,800 Johnson & Johnson........................................... 5,831,100
102,000 Merck & Co., Inc............................................ 6,591,750
132,836 Pepsico, Inc................................................ 4,699,074
64,000 Philip Morris Companies, Inc................................ 6,656,000
65,800 Pfizer Inc.................................................. 4,696,475
55,280 Procter & Gamble Company.................................... 5,009,750
35,800 Schering-Plough Corporation................................. 2,246,450
73,600 Service Corporation International........................... 4,232,000
84,700 Smithkline Beecham (c)...................................... 4,605,563
40,100 United Health Care.......................................... 2,025,050
--------------
66,972,165
--------------
Consumer Services (5.9%)
71,888 CUC International Inc (b)................................... 2,552,024
91,500 GTECH Holdings Corporation (b).............................. 2,710,688
33,700 HFS Incorporated (b)........................................ 2,359,000
92,791 Manpower.................................................... 3,642,046
46,500 McDonalds Corp.............................................. 2,173,875
--------------
13,437,633
--------------
Food (4.7%)
49,300 Conagra, Inc................................................ 2,236,988
28,800 CPC International........................................... 2,073,600
108,700 Kroger Company (b).......................................... 4,293,650
64,500 Sara Lee Corporation........................................ 2,088,188
--------------
10,692,426
--------------
Retail (4.5%)
86,800 Home Depot Inc.............................................. 4,687,200
72,580 Kohl's Inc. (b)............................................. 2,658,243
112,000 Wal-Mart Stores, Inc........................................ 2,842,000
--------------
10,187,443
--------------
Consumer Cyclicals (5.6%)
94,600 Autozone, Inc. (b).......................................... 3,287,350
68,000 Magna International Inc. (c)................................ 3,128,000
130,400 Newell Co................................................... 3,993,500
52,306 Omnicom Group............................................... 2,432,229
--------------
12,841,079
--------------
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
CREDIT SENSITIVE (14.8%)
Finance (11.2%)
22,030 American International Group, Inc........................... $ 2,172,709
62,600 Associates First Capital Corp. (b).......................... 2,355,325
38,170 Federal Home Loan Mortgage Corporation...................... 3,263,535
69,466 First Data Corporation...................................... 5,531,230
34,525 First Union Corporation..................................... 2,101,708
78,400 MGIC Investment Corporation................................. 4,400,200
60,900 Norwest Corporation......................................... 2,123,887
116,000 T. Rowe Price Associates.................................... 3,567,000
--------------
25,515,594
--------------
Utilities (3.6%)
102,100 AT&T Corporation............................................ 6,330,200
40,900 Nynex Corporation........................................... 1,942,750
--------------
8,272,950
--------------
INTERMEDIATE GOODS AND SERVICES (5.3%)
Materials (2.0%)
27,900 Kimberly-Clark Corporation.................................. 2,155,274
60,100 Praxair Inc................................................. 2,539,225
--------------
4,694,499
--------------
Transportation (3.3%)
55,700 Burlington Northern Santa Fe................................ 4,504,737
93,200 Fritz Companies (b)......................................... 3,005,700
--------------
7,510,437
--------------
TECHNOLOGY (16.6%)
56,600 Automatic Data Processing Inc............................... 2,186,175
28,800 Cisco Systems, Inc. (b)..................................... 1,630,800
61,576 Computer Associates International........................... 4,387,289
26,500 Computer Sciences Corporation (b)........................... 1,980,875
144,400 Danka Business Systems PLC (c).............................. 4,223,700
43,675 DSC Communications (b)...................................... 1,315,709
147,600 Equifax Incorporated........................................ 3,874,500
30,800 Hewlett-Packard Company..................................... 3,068,449
32,500 Lucent Technologies Incorporated............................ 1,230,938
26,700 Microsoft Corporation (b)................................... 3,207,338
35,500 Motorola.................................................... 2,232,063
100,425 Oracle Corporation (b)...................................... 3,960,511
83,900 Pall Corporation............................................ 2,024,088
57,700 Parametric Technology Corporation (b)....................... 2,502,738
--------------
37,825,173
--------------
Total common stocks
(cost: $172,629,833)............................................... 218,693,484
--------------
</TABLE>
See accompanying notes to investments in securities.
-82-
<PAGE>
GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- --------------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (5.0%)
$6,688,647 Temporary Investment Fund, Inc.-TempFund Portfolio, current rate 5.42%...................... $ 6,688,646
1,100,000 U.S. Treasury Bill.................................................... 4.95% 07/11/96 1,098,288
1,000,000 American Home Products CP (d)......................................... 5.46% 07/16/96 997,310
1,250,000 Bell Atlantic Net CP.................................................. 5.43% 07/09/96 1,247,945
1,385,000 Philip Morris Capital CP.............................................. 5.46% 07/25/96 1,379,412
--------------
Total short-term securities (cost: $11,412,817)............................................. 11,411,601
--------------
Total investments in securities (cost: $184,042,650) (e).................................... $ 230,105,085
--------------
--------------
</TABLE>
Notes to Investments in Securities
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The portfolio held 5.2% of net assets in foreign securities at June 30,
1996.
(d) Represents ownership in an illiquid 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
illiquid securities held at June 30, 1996, which includes aquisition date
and cost, is as follows:
ACQUISITION
SECURITY DATE COST
- -------------------------------------------------- --------- ----------
American Home Products CP......................... 06/13/96 $ 997,618
----------
----------
(e) At June 30, 1996 the cost of securities for federal income tax purposes was
$184,042,650. The aggregate unrealized appreciation and depreciation of
investments in securites based on this cost were:
Gross unrealized appreciation..................... $ 49,087,888
Gross unrealized depreciation..................... (3,025,453)
-------------
Net unrealized appreciation....................... $ 46,062,435
-------------
-------------
-83-
<PAGE>
BOND PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 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 (93.7%)
GOVERNMENT OBLIGATIONS (41.8%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (40.5%)
U.S. Treasury (20.4%)
$ 900,000 U.S. Treasury Bond......................................................... 6.000% 02/15/26 $ 798,188
2,425,000 U.S. Treasury Bond......................................................... 12.000% 08/15/13 3,422,281
3,000,000 U.S. Treasury Bond......................................................... 8.125% 08/15/19 3,364,683
3,450,000 U.S. Treasury Bond......................................................... 8.000% 11/15/21 3,839,198
3,500,000 U.S. Treasury Strip (c).................................................... 5.410% 02/15/01 2,606,237
750,000 U.S. Treasury Strip (c).................................................... 5.663% 02/15/04 453,134
8,500,000 U.S. Treasury Strip (c).................................................... 5.175% 08/15/99 6,990,136
1,000,000 U.S. Treasury Note......................................................... 6.125% 09/30/00 988,436
------------
22,462,293
------------
Government National Mortgage Association (9.4%)
399,767 ........................................................................... 8.500% 12/15/22 412,032
352,791 ........................................................................... 8.500% 10/15/22 363,615
369,198 ........................................................................... 7.500% 02/15/23 366,108
641,848 ........................................................................... 8.000% 09/15/24 647,912
706,096 ........................................................................... 6.500% 11/15/23 663,821
424,920 ........................................................................... 7.500% 02/15/24 418,916
496,731 ........................................................................... 7.500% 10/15/25 489,483
907,392 ........................................................................... 7.000% 11/15/23 875,896
919,579 ........................................................................... 6.500% 05/15/24 857,460
949,615 ........................................................................... 7.500% 09/15/24 936,196
1,806,701 ........................................................................... 8.000% 04/15/25 1,823,339
855,770 ........................................................................... 7.500% 10/15/25 843,283
485,359 ........................................................................... 7.000% 10/15/25 465,493
1,204,559 ........................................................................... 7.000% 11/15/24 1,155,544
------------
10,319,098
------------
Other U.S. Government Agencies (8.3%)
1,500,000 Federal Home Loan Mortgage Corporation..................................... 7.030% 04/05/04 1,475,972
1,000,000 Federal National Mortgage Association...................................... 8.590% 02/03/05 1,021,789
1,000,000 Federal Farm Credit Bank................................................... 6.960% 06/06/00 991,775
464,510 Federal Home Loan Mortgage Corporation..................................... 6.500% 12/01/23 438,529
1,980,692 Federal Home Loan Mortgage Corporation..................................... 6.500% 02/01/16 1,885,043
1,433,166 Federal National Mortgage Association...................................... 7.000% 09/01/17 1,383,235
1,008,593 Federal National Mortgage Association...................................... 6.500% 02/01/26 943,739
477,234 Federal National Mortgage Association...................................... 7.000% 02/01/26 458,402
500,597 Federal National Mortgage Association...................................... 6.500% 03/01/26 468,058
------------
9,066,542
------------
Other Government Obligations (2.4%)
2,500,000 Quebec Province of Canada (b).............................................. 9.125% 03/01/00 2,683,798
------------
STATE AND LOCAL GOVERNMENT OBLIGATIONS (1.3%)
1,428,000 Wyoming Community Development Authority.................................... 6.850% 06/01/10 1,391,408
------------
Total government obligations (cost: $47,016,810)................................................ 45,923,139
------------
CORPORATE OBLIGATIONS (51.9%)
CAPITAL GOODS (6.7%)
Machinery (2.8%)
2,750,000 Joy Technologies Incorporated.............................................. 10.250% 09/01/03 3,032,017
------------
Telecommunications (3.9%)
2,500,000 Continental Cablevision Inc................................................ 8.300% 05/15/06 2,586,875
</TABLE>
See accompanying notes to investments in securities.
-84-
<PAGE>
BOND PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--CONTINUED
$1,750,000 Telekom Malaysia (b)(d).................................................... 7.125% 08/01/05 $ 1,729,781
------------
4,316,656
------------
BASIC INDUSTRIES (3.8%)
Paper and Forest Products (2.3%)
2,400,000 Georgia Pacific Corporation................................................ 9.625% 03/15/22 2,566,418
------------
Primary Metals (1.5%)
1,500,000 Reynolds Metals Company.................................................... 9.375% 06/15/99 1,602,042
------------
CONSUMER CYCLICAL (1.6%)
Textiles (1.6%)
1,750,000 Reliance Industries 144A (b)(d)............................................ 5.000% 06/24/16 1,790,880
------------
CONSUMER STAPLES (8.6%)
Drugs (1.6%)
1,750,000 American Home Products Corporation......................................... 6.500% 10/15/02 1,710,926
------------
Food (.7%)
776,786 General Mills Inc.......................................................... 6.235% 03/15/97 778,020
------------
Household Products (1.5%)
1,500,000 Premark International Inc.................................................. 10.500% 09/15/00 1,689,078
------------
Media (4.8%)
1,450,000 News America Holdings Inc.................................................. 7.750% 12/01/45 1,292,962
1,000,000 TCI Communications Inc..................................................... 8.650% 09/15/04 1,025,938
1,000,000 Time Warner Entertainment.................................................. 9.625% 05/01/02 1,099,395
1,750,000 Time Warner Incorporated................................................... 7.950% 02/01/00 1,791,867
------------
5,210,162
------------
ENERGY (3.2%)
Natural Gas Distribution (1.4%)
1,500,000 Consolidated Natural Gas Company........................................... 8.750% 06/01/99 1,587,513
------------
Oilfield Services (1.8%)
2,000,000 Weatherford Enterra Incorporated........................................... 7.250% 05/15/06 1,978,198
------------
FINANCIAL (24.2%)
Auto Finance (2.6%)
1,000,000 Ford Motor Credit.......................................................... 6.250% 12/08/05 921,830
2,000,000 Ford Motor Credit.......................................................... 5.880% 03/18/99 1,990,000
------------
2,911,830
------------
Banks/Savings and Loan (2.3%)
2,500,000 Midland Bank PLC (b)....................................................... 7.625% 06/15/06 2,525,965
------------
Commercial Finance (3.1%)
3,400,000 General Electric Capital Corp.............................................. 6.660% 05/01/18 3,392,789
------------
Consumer Finance (8.4%)
1,885,000 Associates Corp of North America........................................... 6.750% 10/15/99 1,890,372
2,215,000 Commercial Credit Company.................................................. 7.375% 03/15/02 2,262,124
2,300,000 General Motors Acceptance Corporation...................................... 9.000% 10/15/02 2,511,816
2,500,000 Lehman Brothers Holdings................................................... 7.375% 05/15/07 2,533,497
------------
9,197,809
------------
Real Estate (1.8%)
1,189,621 Green Tree Financial Corporation........................................... 6.900% 02/15/04 1,178,240
787,928 Green Tree Limited Net Interest Margin Trust............................... 7.250% 07/15/05 786,609
------------
1,964,849
------------
Real Estate Investment Trust (3.5%)
1,500,000 Security Capital Industrial................................................ 7.875% 05/15/09 1,475,988
1,000,000 Security Captial Pacific................................................... 7.500% 02/15/14 937,167
1,500,000 Franchise Finance Corporation of America................................... 7.020% 02/20/03 1,433,417
------------
3,846,572
------------
</TABLE>
See accompanying notes to investments in securities.
-85-
<PAGE>
BOND PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--CONTINUED
Mortgage-Backed Securities (2.5%)
$1,759,599 Chase 94-1 B2 CMO 144A (d)................................................. 6.610% 03/28/25 $ 1,585,839
1,200,000 CSFB Finance Company Limited, Series 1995-A, Class A (d)................... 7.500% 11/15/05 1,163,625
------------
2,749,464
------------
UTILITIES (3.8%)
Electric (1.8%)
2,000,000 Korea Electric Power Company (b)........................................... 7.750% 04/01/13 1,973,848
------------
Telephones (2.0%)
1,250,000 AT&T Corporation........................................................... 8.350% 01/15/25 1,308,478
850,000 GTE North Incorporated..................................................... 8.500% 12/15/31 872,236
------------
2,180,714
------------
Total corporate obligations (cost: $58,253,646)................................................. 57,005,750
------------
Total long-term debt securities (cost: $105,270,456)............................................ 102,928,889
------------
SHORT-TERM SECURITIES (4.3%)
1,759,259 Temporary Investment Fund, Inc.--TempFund Portfolio, current rate 5.42%......................... 1,759,259
540,000 American Home Products CP (d).............................................. 5.48% 07/26/96 537,740
1,140,000 Pepsico Inc CP............................................................. 5.40% 07/01/96 1,139,488
500,000 Southwestern Bell CP (d)................................................... 5.42% 07/11/96 499,029
760,000 Toys R Us, Inc CP.......................................................... 5.40% 07/08/96 758,864
------------
Total short-term securities (cost: $4,695,289).................................................. 4,694,380
------------
Total investments in securities (cost: $109,965,745) (e)........................................ $107,623,269
------------
------------
</TABLE>
Notes to Investments in Securities
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) The portfolio held 9.7% of net assets in foreign securities at June 30,
1996.
(c) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(d) Represents ownership in an illiquid 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
illiquid securities held at June 30, 1996, which includes acquisition date
and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
-------------------------------------------------- ----------- -----------
<S> <C> <C>
Chase 94-1 B2 CMO 144A............................ 03/11/96 $ 1,660,142
Telekom Malaysia.................................. 01/04/96 1,840,870
American Home Products CP......................... 06/13/96 537,906
Southwestern Bell CP.............................. 06/11/96 759,105
CSFB Finance Company Limited, Series 1995-A, Class
A................................................. 05/15/96 1,163,625
Reliance Industries 144A.......................... 06/17/96 1,746,345
-----------
$ 7,707,993
-----------
-----------
</TABLE>
(e) At June 30, 1996 the cost of securities for federal income tax purposes was
$110,047,262. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C> <C>
Gross unrealized appreciation.................................. $ 542,939
Gross unrealized depreciation.................................. (2,966,932)
-----------
Net unrealized depreciation.................................... $(2,423,993)
-----------
-----------
</TABLE>
-86-
<PAGE>
MONEY MARKET PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1995
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- ----------- -----------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT OBLIGATION (4.4%)
$ 1,875,000 U.S. Treasury Bill.......................................... 5.16% 07/05/96 $ 1,873,708
-----------
Total U.S. Government obligation (cost: $1,873,708)............................ 1,873,708
-----------
COMMERCIAL PAPER (91.6%)
BASIC INDUSTRIES (3.2%)
Chemicals (3.2%)
1,375,000 Dupont...................................................... 5.37% 08/05/96 1,367,795
-----------
CONSUMER STAPLES (40.8%)
Drugs (3.9%)
315,000 American Home Products (c).................................. 5.48% 07/26/96 313,778
1,360,000 Schering Corporation........................................ 5.40% 08/27/96 1,348,497
-----------
1,662,275
-----------
Entertainment (4.3%)
1,845,000 Walt Disney................................................. 5.41% 07/23/96 1,838,800
-----------
Food (14.4%)
1,580,000 Anheuser-Busch.............................................. 5.38% 07/30/96 1,573,088
1,340,000 Cargill Inc................................................. 5.37% 07/09/96 1,338,235
405,000 Coca Cola Company........................................... 5.39% 07/26/96 403,467
1,330,000 Coca Cola Company........................................... 5.37% 08/20/96 1,320,146
1,565,000 CPC International, Inc (c).................................. 5.45% 07/18/96 1,560,853
-----------
6,195,789
-----------
Household Products (6.5%)
1,130,000 Colgate-Palmolive........................................... 5.45% 07/08/96 1,128,669
355,000 Philip Morris Companies..................................... 5.42% 07/12/96 354,375
345,000 Philip Morris Companies..................................... 5.39% 07/18/96 344,094
725,000 Philip Morris Companies..................................... 5.41% 07/22/96 722,652
270,000 Philip Morris Companies..................................... 5.44% 08/01/96 268,728
-----------
2,818,518
-----------
Media (5.0%)
2,170,000 McGraw-Hill Company......................................... 5.39% 07/15/96 2,165,235
-----------
Misc (2.7%)
1,180,000 PHH Corporation............................................. 5.38% 07/17/96 1,177,063
-----------
Retail (4.0%)
870,000 Wal-Mart Stores............................................. 5.42% 07/02/96 869,745
855,000 Wal-Mart Stores............................................. 5.35% 07/08/96 854,010
-----------
1,723,755
-----------
CREDIT SENSITIVE (.6%)
Hardware and Tools (.6%)
245,000 Stanley Works............................................... 5.43% 07/23/96 244,172
-----------
FINANCIAL (47.0%)
Auto Finance (3.8%)
1,665,000 Ford Motor Credit........................................... 5.42% 08/14/96 1,654,011
-----------
Commercial Finance (13.3%)
1,500,000 Pitney-Bowes Credit......................................... 5.44% 07/19/96 1,495,796
2,170,000 Ciesco...................................................... 5.45% 07/29/96 2,160,647
2,065,000 Bell Atlantic............................................... 5.45% 07/12/96 2,061,311
-----------
5,717,754
-----------
</TABLE>
See accompanying notes to investments in securities.
-87-
<PAGE>
MONEY MARKET PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- ----------- -----------
<C> <S> <C> <C> <C>
FINANCIAL--CONTINUED
Consumer Finance (4.5%)
$ 1,925,000 Associates Corp............................................. 5.45% 07/15/96 $ 1,920,709
-----------
Electric (13.6%)
1,740,000 Alabama Power............................................... 5.41% 07/10/96 1,737,448
165,000 Alabama Power............................................... 5.41% 08/06/96 164,105
605,000 Baltimore Gas & Electric.................................... 5.40% 07/11/96 604,030
765,000 Baltimore Gas & Electric.................................... 5.40% 07/18/96 762,980
300,000 Carolina Power & Light...................................... 5.41% 07/25/96 298,900
400,000 Midamerica Energy........................................... 5.45% 08/06/96 397,821
1,895,000 Union Electric.............................................. 5.45% 07/17/96 1,890,213
-----------
5,855,497
-----------
Telephones (11.8%)
1,570,000 AT&T Corp................................................... 5.36% 08/13/96 1,559,964
2,000,000 Bellsouth Telephone......................................... 5.47% 08/07/96 1,988,684
1,525,000 Southwestern Bell Capital Corporation (c)................... 5.40% 07/25/96 1,519,430
-----------
5,068,078
-----------
Total commercial paper (cost: $39,409,451)..................................... 39,409,451
-----------
OTHER SHORT-TERM SECURITIES (3.7%)
1,601,333 Temporary Investment Fund, Inc.--TempFund Portfolio, current rate 5.42%........ 1,601,333
-----------
Total other short-term securities (cost: $1,601,333)........................... 1,601,333
-----------
Total investments in securities (cost: $42,884,492) (b)........................ $42,884,492
-----------
-----------
</TABLE>
Notes to Investments in Securities
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Also represents the cost of securities for federal income tax purposes at
June 30, 1996.
(c) Commercial paper sold within terms of a private placement memorandum exempt
from registration under Section 4(2) of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." This security has been determined to be liquid under
guidelines established by the board of directors.
-88-
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1996
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
COMMON STOCKS (48.2%)
CAPITAL GOODS (5.9%)
Machinery (5.9%)
81,026 General Electric Company.................................... $ 7,008,748
66,101 Halliburton Company......................................... 3,668,606
78,300 Millipore Corporation....................................... 3,278,813
111,210 United Waste Systems, Inc. (b).............................. 3,586,523
93,621 York International Corp..................................... 4,844,887
--------------
22,387,577
--------------
CONSUMER GOODS AND SERVICES (22.7%)
Consumer Goods (12.0%)
87,293 Columbia/HCA Healthcare Corporation......................... 4,659,263
35,800 Gillette Company............................................ 2,233,025
101,200 Johnson & Johnson........................................... 5,009,400
151,206 Pepsico, Inc................................................ 5,348,912
84,960 Pfizer Inc.................................................. 6,064,020
58,800 Philip Morris Companies, Inc................................ 6,115,200
49,355 Procter & Gamble Company.................................... 4,472,797
107,400 Service Corporation International........................... 6,175,500
70,700 Smithkline Beecham (c)...................................... 3,844,313
36,500 United HealthCare........................................... 1,843,250
--------------
45,765,680
--------------
Consumer Services (3.5%)
124,672 CUC International, Inc. (b)................................. 4,425,855
44,600 Gartner Group Incorporated (b).............................. 1,633,475
76,100 GTECH Holdings Corporation (b).............................. 2,254,463
28,700 HFS Incorporated (b)........................................ 2,009,000
74,695 Manpower.................................................... 2,931,779
--------------
13,254,572
--------------
Food (1.5%)
28,000 CPC International........................................... 2,016,000
95,000 Kroger Company (b).......................................... 3,752,500
--------------
5,768,500
--------------
Retail (1.5%)
71,140 Home Depot Inc.............................................. 3,841,560
51,700 Kohl's, Inc. (b)............................................ 1,893,513
--------------
5,735,073
--------------
Consumer Cyclicals (4.2%)
91,000 Autozone, Inc. (b).......................................... 3,162,250
61,000 Magna International Inc..................................... 2,806,000
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
CONSUMER GOODS AND SERVICES--CONTINUED
111,000 Newell Co................................................... $ 3,399,375
96,704 Omnicom Group............................................... 4,496,736
34,900 Tommy Hilfiger Corporation (b).............................. 1,871,513
--------------
15,735,874
--------------
CREDIT SENSITIVE (7.5%)
Finance (7.5%)
39,740 American International Group, Inc........................... 3,919,358
54,600 Associates First Capital Corp. (b).......................... 2,054,325
33,730 Federal Home Loan Mortgage Corporation...................... 2,883,915
77,526 First Data Corp............................................. 6,173,007
92,500 MGIC Investment Corporation................................. 5,191,563
108,950 Norwest Corporation......................................... 3,799,631
148,800 T. Rowe Price Associates.................................... 4,575,600
--------------
28,597,399
--------------
INTERMEDIATE GOODS AND SERVICES (3.0%)
Materials (1.4%)
40,500 Kimberly-Clark Corporation.................................. 3,128,625
54,300 Praxair Inc................................................. 2,294,175
--------------
5,422,800
--------------
Transportation (1.6%)
37,400 Burlington Northern Santa Fe................................ 3,024,725
89,000 Fritz Companies (b)......................................... 2,870,250
--------------
5,894,975
--------------
TECHNOLOGY (9.1%)
98,400 Automatic Data Processing Inc............................... 3,800,700
52,300 Cisco Systems, Inc. (b)..................................... 2,961,488
94,108 Computer Associates International........................... 6,705,193
58,300 Computer Sciences Corporation (b)........................... 4,357,925
116,600 Danka Business Systems PLC (c).............................. 3,410,550
129,000 Equifax Incorporated........................................ 3,386,250
30,900 Lucent Technologies Incorporated............................ 1,170,338
86,070 Oracle Corporation (b)...................................... 3,394,386
80,600 Parametric Technology Corporation (b)....................... 3,496,025
45,000 3 Com (b)................................................... 2,058,750
--------------
34,741,605
--------------
Total common stocks (cost: $148,609,977)............................... 183,304,055
--------------
</TABLE>
See accompanying notes to investments in securities.
-89-
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- ------------ -------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (40.1%)
GOVERNMENT OBLIGATIONS (19.3%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (17.8%)
U.S. Treasury (10.2%)
$ 1,500,000 U.S. Treasury Bond.......................................... 6.000% 02/15/26 $ 1,330,313
4,425,000 U.S. Treasury Bond.......................................... 12.000% 08/15/13 6,244,781
8,750,000 U.S. Treasury Bond.......................................... 8.000% 11/15/21 9,737,095
3,750,000 U.S. Treasury Strip (d)..................................... 5.410% 02/15/01 2,792,396
1,750,000 U.S. Treasury Strip (d)..................................... 5.705% 02/15/04 1,057,313
14,400,000 U.S. Treasury Strip (d)..................................... 5.580% 08/15/99 11,842,113
3,700,000 U.S. Treasury Note.......................................... 6.125% 09/30/00 3,657,213
2,200,000 U.S. Treasury Note.......................................... 5.625% 10/31/97 2,190,375
-------------
38,851,599
-------------
Government National Mortgage Association (2.5%)
245,676 ............................................................ 7.500% 02/15/24 242,204
377,929 ............................................................ 6.500% 11/15/23 355,302
897,467 ............................................................ 6.500% 03/15/24 836,842
305,205 ............................................................ 6.500% 11/15/23 286,932
577,325 ............................................................ 6.500% 11/15/23 542,760
250,836 ............................................................ 6.500% 11/15/23 235,818
23,032 ............................................................ 6.500% 03/15/24 21,476
637,381 ............................................................ 7.500% 02/15/24 628,374
325,598 ............................................................ 6.500% 11/15/23 306,104
23,553 ............................................................ 6.500% 02/15/24 21,962
572,526 ............................................................ 7.500% 07/15/24 564,436
645,675 ............................................................ 7.500% 05/15/24 636,551
1,941,436 ............................................................ 7.000% 10/15/25 1,861,971
667,486 ............................................................ 7.500% 10/15/25 657,747
1,686,379 ............................................................ 7.000% 11/15/24 1,617,759
416,361 GNMA Midget II.............................................. 7.500% 06/20/02 418,055
188,399 GNMA Midget II.............................................. 7.500% 07/20/02 189,165
-------------
9,423,458
-------------
Federal National Mortgage Association (3.5%)
1,413,999 ............................................................ 7.000% 05/01/11 1,395,418
801,073 ............................................................ 6.500% 05/01/11 774,525
1,001,452 ............................................................ 6.500% 05/01/11 968,263
2,415,241 ............................................................ 6.000% 05/01/11 2,284,622
1,009,999 ............................................................ 7.000% 05/01/11 996,727
2,600,000 ............................................................ 8.590% 02/03/05 2,656,651
1,240,046 ............................................................ 6.500% 09/01/25 1,160,310
3,292,917 ............................................................ 7.000% 02/01/26 3,162,975
-------------
13,399,491
-------------
Other U.S. Government Agencies (1.6%)
2,750,000 Federal Farm Credit Bank Debentures......................... 6.960% 06/06/00 2,727,381
1,398,083 Federal Home Loan Mortgage Corporation...................... 6.500% 12/01/23 1,319,887
1,881,658 Federal Home Loan Mortgage Corporation...................... 6.500% 02/01/16 1,790,790
-------------
5,838,058
-------------
OTHER GOVERNMENT OBLIGATIONS (.6%)
2,200,000 Quebec Province of Canada (c)............................... 9.125% 03/01/00 2,361,742
-------------
STATE AND LOCAL GOVERNMENT OBLIGATIONS (.9%)
3,570,000 Wyoming Community Development Authority..................... 6.850% 06/01/10 3,478,519
-------------
Total government obligations (cost: $75,567,828)................................ 73,352,867
-------------
CORPORATE OBLIGATIONS (20.8%)
CAPITAL GOODS (3.5%)
Aerospace/Defense (.6%)
2,250,000 Lockheed Martin Corporation................................. 7.450% 06/15/04 2,279,207
-------------
</TABLE>
See accompanying notes to investments in securities.
-90-
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- ------------ -------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--CONTINUED
Electronics (.2%)
$ 500,000 Xerox Corporation........................................... 9.200% 07/15/99 $ 500,530
-------------
Machinery (.9%)
3,150,000 Joy Technologies Incorporated............................... 10.250% 09/01/03 3,473,039
-------------
Pollution Control (.5%)
2,000,000 WMX Technologies Inc........................................ 6.700% 05/01/01 1,986,388
-------------
Telecommunications (1.3%)
3,000,000 Continental Cablevision Inc................................. 8.300% 05/15/06 3,104,250
1,950,000 Telekom Malaysia (c)(e)..................................... 7.125% 08/01/05 1,927,470
-------------
5,031,720
-------------
BASIC INDUSTRIES (.3%)
Primary Metals (.3%)
1,000,000 Reynolds Metals Company..................................... 9.375% 06/15/99 1,068,028
-------------
CONSUMER CYCLICAL (.5%)
Textiles (.5%)
1,750,000 Reliance Industries 144A (c)(e)............................. 10.375% 06/24/16 1,790,880
-------------
CONSUMER STAPLES (5.2%)
Drugs (.6%)
2,500,000 American Home Products Corporation.......................... 6.500% 10/15/02 2,444,180
-------------
Food (.2%)
642,857 General Mills Inc........................................... 6.235% 03/15/97 643,879
-------------
Household Products (.6%)
2,200,000 Premark International Inc................................... 10.500% 09/15/00 2,477,314
-------------
Media (2.5%)
2,500,000 News America Holdings Inc................................... 7.750% 12/01/45 2,229,245
2,370,000 TCI Communications Inc...................................... 8.650% 09/15/04 2,431,473
2,400,000 Time Warner Entertainment................................... 9.625% 05/01/02 2,638,547
2,000,000 Time Warner Incorporated.................................... 7.950% 02/01/00 2,047,848
-------------
9,347,113
-------------
Misc (.5%)
2,000,000 PHH Corporation............................................. 6.500% 02/01/00 1,979,738
-------------
Retail (.8%)
600,000 Dayton Hudson Corporation................................... 9.250% 03/01/06 643,596
750,000 Dayton Hudson Corporation................................... 10.000% 12/01/00 834,233
1,500,000 Dayton Hudson Corporation................................... 6.625% 03/01/03 1,449,420
-------------
2,927,249
-------------
ENERGY (1.6%)
Natural Gas Distribution (.5%)
1,850,000 Consolidated Natural Gas Company............................ 8.750% 06/01/99 1,957,933
-------------
Oil and Gas Production (.5%)
2,000,000 Petro-Canada (c)............................................ 7.875% 06/15/26 2,021,658
-------------
Oilfield Services (.6%)
2,300,000 Weatherford Enterra Incorporated............................ 7.250% 05/15/06 2,274,928
-------------
FINANCIAL (8.5%)
Auto Finance (1.4%)
2,000,000 Ford Motor Credit........................................... 5.880% 03/18/99 1,990,000
3,400,000 Ford Motor Credit........................................... 6.250% 12/08/05 3,134,222
-------------
5,124,222
-------------
Banks/Savings and Loans (1.6%)
3,000,000 Midland Bank PLC (c)........................................ 7.625% 06/15/06 3,031,158
</TABLE>
See accompanying notes to investments in securities.
-91-
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- ------------ -------------
<C> <S> <C> <C> <C>
FINANCIAL--CONTINUED
$ 3,000,000 Norwest Corporation......................................... 7.680% 05/10/02 $ 3,044,697
-------------
6,075,855
-------------
Commercial Finance (.9%)
3,400,000 General Electric Capital Corporation........................ 6.660% 05/01/18 3,392,789
-------------
Consumer Finance (3.7%)
1,750,000 American General Finance.................................... 5.875% 07/01/00 1,694,074
2,000,000 Associates Corp of North America............................ 6.750% 10/15/99 2,005,700
1,350,000 Commercial Credit Company................................... 5.550% 02/15/01 1,279,176
500,000 Commercial Credit Company................................... 7.375% 03/15/02 510,638
2,500,000 Franchise Finance Corp of America........................... 7.020% 02/20/03 2,389,028
2,500,000 General Motors Acceptance Corporation....................... 9.000% 10/15/02 2,730,235
3,500,000 Lehman Brothers Holdings.................................... 7.375% 05/15/07 3,546,897
-------------
14,155,748
-------------
Real Estate (.9%)
2,250,000 Security Capital Industrial................................. 7.875% 05/15/09 2,213,982
1,500,000 Security Captial Pacific.................................... 7.500% 02/15/14 1,405,751
-------------
3,619,733
-------------
UTILITIES (1.2%)
Electric (.5%)
1,600,000 Korea Electric Power Company (c)............................ 7.750% 04/01/13 1,579,078
500,000 Oklahoma Gas & Electric Co.................................. 6.375% 01/01/98 499,031
-------------
2,078,109
-------------
Telephones (.7%)
2,600,000 GTE Northwest Inc........................................... 6.125% 02/15/99 2,571,293
-------------
Total corporate obligations (cost: $80,541,309)................................. 79,221,533
-------------
Total long-term debt securities (cost: $156,109,137)............................ 152,574,400
-------------
SHORT-TERM SECURITIES (10.1%)
12,500,741 Temporary Investment Fund, Inc--TempFund Portfolio, current rate 5.42%.......... 12,500,741
3,900,000 U.S. Treasury Bill.......................................... 5.01% 07/11/96 3,893,930
1,740,000 U.S. Treasury Bill.......................................... 5.12% 08/15/96 1,728,725
1,875,000 AT&T Corporation CP......................................... 5.39% 07/02/96 1,873,877
3,085,000 Cargill Incorporated CP..................................... 5.37% 07/09/96 3,079,929
2,350,000 Walt Disney CP.............................................. 5.39% 07/12/96 2,345,083
1,200,000 Florida Power Corporation CP................................ 5.44% 07/17/96 1,196,593
2,860,000 PHH Corporation CP.......................................... 5.45% 07/22/96 2,849,742
1,066,000 Philip Morris Companies CP.................................. 5.40% 07/12/96 1,063,770
2,510,000 Philip Morris Companies CP.................................. 5.46% 07/25/96 2,499,872
3,870,000 Potomac Electric CP......................................... 5.43% 07/10/96 3,863,059
1,695,000 Toys R Us, Inc. CP.......................................... 5.47% 07/29/96 1,687,162
-------------
Total short-term securities (cost: $38,589,321)................................. 38,582,483
-------------
Total investments in securities (cost: $343,308,435) (f)........................ $ 374,460,938
-------------
-------------
</TABLE>
Notes to Investments in Securities
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The portfolio held 5.3% of net assets in foreign securities as of June 30,
1996.
(d) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
-92-
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
Notes to Investments in Securities--continued
(e) Represents ownership in an illiquid 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
illiquid securities held at June 30, 1996, which includes aquisition date
and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
- -------------------------------------------------- ----------- ------------
<S> <C> <C>
Reliance Industries 144A.......................... 06/17/96 $ 1,746,345
Telekom Malaysia.................................. 01/04/96 2,051,256
------------
$ 3,797,601
------------
------------
</TABLE>
(f) At June 30, 1996 the cost of securities for federal income tax purposes was
$343,439,806. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 36,395,868
Gross unrealized depreciation..................... (5,374,736)
------------
Net unrealized appreciation....................... $ 31,021,132
------------
------------
</TABLE>
-93-
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 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 (98.7%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (55.4%)
Federal Home Loan Mortgage Corporation (FHLMC) (16.2%)
$ 881,132 Bi-weekly............................................................. 7.000% 12/01/22 $ 851,957
2,099,402 Bi-weekly............................................................. 6.500% 12/01/23 1,981,980
1,273,477 CMO Accrual Bond (FHLMC 9.5%) (c)..................................... 5.000% 01/15/02 1,170,732
1,821,059 20 Year Gold.......................................................... 6.500% 07/01/13 1,745,520
869,557 20 Year Gold.......................................................... 6.000% 09/01/13 814,844
3,693,360 20 Year Gold.......................................................... 6.000% 10/01/13 3,460,970
973,159 20 Year Gold.......................................................... 6.500% 05/01/14 929,687
486,909 20 Year Gold.......................................................... 6.500% 09/01/14 465,158
-----------
11,420,848
-----------
Federal National Mortgage Association (FNMA) (9.5%)
1,001,755 Biweekly.............................................................. 6.000% 07/01/07 959,259
1,363,050 Biweekly.............................................................. 6.500% 03/01/17 1,295,918
475,234 Biweekly.............................................................. 6.500% 02/01/17 452,441
1,758,840 Biweekly.............................................................. 7.000% 09/01/17 1,697,562
235,541 CMO Sequential Payer, Series A, Class 1 (FNMA 11.0%).................. 5.000% 08/01/10 218,503
597,822 CMO Sequential Payer, Series C, Class 1 (FNMA 9.0%)................... 6.000% 05/01/09 573,371
282,423 CMO Sequential Payer, Series F, Class 1 (FNMA 9.0%)................... 6.500% 05/01/09 274,949
500,000 CMO Scheduled Class (GNMA 8%)......................................... 6.000% 12/25/08 474,220
744,597 PAC Accrual Bond (FNMA 10%) (c)....................................... 6.900% 06/25/19 700,054
8,943 ...................................................................... 8.000% 05/01/22 8,950
-----------
6,655,227
-----------
Government National Mortgage Association (GNMA) (18.4%)
415,475 ...................................................................... 8.000% 12/15/15 422,762
994,483 ...................................................................... 8.000% 02/15/16 1,007,810
451,162 ...................................................................... 8.000% 03/15/16 457,208
560,193 ...................................................................... 7.000% 04/15/16 543,101
364,107 ...................................................................... 7.000% 09/15/16 356,060
627,910 ...................................................................... 7.000% 08/15/16 614,033
729,707 ...................................................................... 7.500% 06/15/17 727,750
332,599 ...................................................................... 7.000% 05/15/17 325,248
529,924 ...................................................................... 7.500% 04/15/17 528,504
1,928,945 ...................................................................... 7.500% 06/15/17 1,923,773
359,835 ...................................................................... 7.000% 07/15/17 351,883
150,191 ...................................................................... 7.500% 02/15/17 149,789
186,871 ...................................................................... 7.500% 06/15/17 186,370
291,497 ...................................................................... 7.000% 03/15/17 285,055
177,672 ...................................................................... 7.500% 06/15/17 177,196
195,697 ...................................................................... 7.500% 10/15/17 195,173
305,306 ...................................................................... 7.000% 05/15/17 298,559
6,387 ...................................................................... 8.500% 03/15/22 6,583
470,017 GNMA II............................................................... 7.500% 09/20/16 467,187
78,884 GNMA II............................................................... 8.500% 10/20/16 81,691
375,261 GNMA II............................................................... 7.500% 09/20/16 373,002
685,148 GNMA II............................................................... 8.000% 02/20/17 693,507
224,607 GNMA II............................................................... 8.500% 10/20/16 231,626
899,872 GNMA II............................................................... 8.500% 07/20/17 927,993
234,192 GNMA II............................................................... 8.500% 03/20/17 241,511
298,206 GNMA II............................................................... 8.500% 08/20/17 307,525
444,499 GNMA II............................................................... 7.500% 08/20/17 441,431
430,899 GNMA II............................................................... 8.000% 07/20/17 436,156
</TABLE>
See accompanying notes to investments in securities.
-94-
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- ---------- -----------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS--CONTINUED
Government National Mortgage Association (GNMA)--Continued
$ 200,171 GNMA II............................................................... 8.500% 12/20/16 $ 207,295
-----------
12,965,781
-----------
Other Government Agency Obligations (11.3%)
500,000 Federal Home Loan Bank, Series GG-00, Class 1......................... 5.030% 07/28/00 493,125
1,936,020 Vendee Mortgage Trust Participation Certificate (b)................... 8.440% 05/15/24 1,995,311
725,349 Vendee Mortgage Trust Participation Certificate (b)................... 7.210% 02/15/25 699,962
2,093,750 Vendee Mortgage Trust Participation Certificate (b)................... 7.790% 02/15/25 2,086,552
2,603,459 Vendee Mortgage Trust Participation Certificate (b)................... 8.790% 06/15/25 2,709,224
-----------
7,984,174
-----------
Total U.S. government and agencies obligations (cost: $39,066,043)....................... 39,026,030
-----------
OTHER MORTGAGE-BACKED SECURITIES (38.6%)
Asset-backed Securities (3.3%)
1,784,432 Green Tree Financial.................................................. 6.900% 02/15/04 1,767,360
590,946 Green Tree Financial.................................................. 7.250% 07/15/05 589,957
-----------
2,357,317
-----------
Collateralized Mortgage Obligations/Mortgage Revenue Bonds (31.8%)
604,824 American Housing Trust CMO, Series III, Class H....................... 8.500% 07/25/97 609,051
4,000,000 Bank Mart Funding Corporation Sequential CMO (GNMA/FHLMC) (e)......... 8.250% 02/20/19 4,045,000
903,578 Chase 94-1 B2 CMO 144A Issue (d)...................................... 6.610% 03/28/25 814,350
1,188,918 Chase 94-1 B5 CMO 144A Issue (d)...................................... 6.610% 03/28/25 1,046,620
312,564 CMO Trust, Sequential Payer, Series 44, (GNMA 10.0%) Class E.......... 5.000% 07/01/18 285,058
950,000 Citicorp Mortgage Securities, Inc. Targeted Amortization Class........ 6.000% 11/25/08 908,237
2,850,000 CSFB Finance Company Limited, Series 95-A, Class A 144A Issue (d)..... 7.500% 11/15/05 2,763,609
248,214 FBS Mortgage Corporation, Series 1992-CA, Class A6.................... 3.655% 03/25/08 207,785
1,314,009 International Capital Markets Acceptance Corporation 144A Issue (d)... 8.250% 09/01/15 1,326,328
1,000,000 KPAC CMO (GNMA 9.5%).................................................. 7.450% 10/01/18 995,000
1,889,000 Pleasant Hill Revenue Bond (GNMA Multi-family)........................ 7.950% 09/20/15 1,889,000
2,500,000 Prudential Home Mortgage Securities, Series 92-A, Class 2B2 144A Issue 7.900% 04/28/22 2,465,625
(d)...................................................................
1,138,703 Santa Barbara Funding II, CMO Sequential Payer, Series A, Class 5 5.000% 03/20/18 1,035,535
(FHLMC 9.5%)..........................................................
1,612,307 Shearson Lehman Brothers.............................................. 7.500% 06/01/18 1,614,850
2,427,600 Wyoming Community Development Authority............................... 6.850% 06/01/10 2,365,393
-----------
22,371,441
-----------
Commercial Mortgage-backed Securities (3.2%)
2,295,000 KPAC Real Estate Investment Trust..................................... 7.180% 10/01/05 2,272,767
-----------
Whole Loan Mortgage-backed Securities (.3%)
155,270 Bank Of America 79-A.................................................. 8.375% 05/01/07 155,270
32,973 Bank Of America 79-B.................................................. 9.500% 01/01/09 32,973
6,170 RFC Conduit........................................................... 8.500% 04/01/02 6,145
14,413 Travelers Mortgage Service............................................ 10.000% 06/01/01 14,413
-----------
208,801
-----------
Total other mortgage-backed securities (cost: $27,244,203)............................... 27,210,326
-----------
CORPORATE DEBT SECURITIES (4.7%)
2,500,000 Franchise Finance Corp of America..................................... 7.020% 02/20/03 2,389,028
1,000,000 Security Captial Pacific.............................................. 7.500% 02/15/14 937,167
-----------
Total corporate debt securities (cost: $3,489,285)....................................... 3,326,195
-----------
Total long-term debt securities (cost: $69,799,531)...................................... 69,562,551
-----------
SHORT-TERM SECURITIES (.8%)
400,000 U.S. Treasury Bill.................................................... 5.130% 08/15/96 397,408
196,922 Temporary Investment Fund, Inc.--TempFund Portfolio, current rate 5.42%.................. 196,922
-----------
Total short-term securities (cost: $594,366)............................................. 594,330
-----------
Total investments in secrities (cost: $70,393,897) (f)................................... $70,156,881
-----------
-----------
</TABLE>
See accompanying notes to investments in securities.
-95-
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
Notes to Investments in Securities
(a) Securities are valued by precedures 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 June 30, 1996.
(c) Represents a debt security that pays no interest and principal during their
initial accrual periods, but accrues additional principal at specific rates.
Interest rate disclosed represents current yield based upon estimated future
cash flows.
(d) Long-term debt security sold within terms of a private placement memorandum
exempt from registration under Section 144A of the Securities Act of 1933,
as amended, and may be sold only to dealers in that program or other
"accredited investors." This security has been determined to be liquid under
guidelines established by the board of directors.
(e) Represents ownership in an illiquid 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
illiquid securities held at June 30, 1996 includes acquisition date and
cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
- -------------------------------------------------- --------- ------------
<S> <C> <C>
Bank Mart Funding Corporation Sequential CMO
(GNMA/FHLMC)..................................... 05/27/94 $ 3,976,374
------------
------------
</TABLE>
(f) At June 30, 1996 the cost of securities for federal income tax purposes was
$70,393,897. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 770,453
Gross unrealized depreciation..................... (1,007,469)
------------
Net unrealized depreciation....................... $ (237,016)
------------
------------
</TABLE>
-96-
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1996
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
COMMON STOCKS (100.0%)
CAPITAL GOODS (7.5%)
Machinery (7.5%)
3,600 Alco Standard Corporation.............................. $ 162,900
8,600 Allied-Signal Inc...................................... 491,275
6,600 AMP Incorporated....................................... 264,825
4,000 Applied Materials Inc (b).............................. 122,000
8,600 Baker Hughes Incorporated.............................. 282,725
6,500 Browning-Ferris Industries, Inc........................ 188,500
3,600 Case Corporation....................................... 172,800
5,700 Caterpillar Inc........................................ 386,175
6,700 Cooper Industries...................................... 278,050
400 Dana Corporation....................................... 12,400
7,000 Deere & Company........................................ 280,000
800 Dial Corporation....................................... 22,900
5,600 Dover Corporation...................................... 258,300
3,900 Dresser Industries, Inc................................ 115,050
4,400 Eaton Corporation...................................... 257,950
6,800 Emerson Electric Co.................................... 614,550
2,600 Fluor Corporation...................................... 169,975
700 Foster Wheeler Corporation............................. 31,412
53,000 General Electric Company............................... 4,584,500
2,300 Grainger W W, Inc...................................... 178,250
4,600 Halliburton Company.................................... 255,300
3,300 Illinois Tool Works, Inc............................... 223,163
4,600 Ingersoll-Rand Company................................. 201,250
3,400 ITT Corporation (b).................................... 225,250
6,500 ITT Hartford Group..................................... 346,125
7,500 ITT Industries......................................... 188,438
13,500 Laidlaw Inc............................................ 136,687
2,950 Navistar International
Corporation (b)...................................... 29,131
600 Ogden Corporation...................................... 10,875
690 Paccar Inc............................................. 33,810
900 Rowan Companies, Inc (b)............................... 13,275
7,900 Safety-Kleen Corp...................................... 138,250
500 Teledyne, Inc.......................................... 18,063
2,400 Textron Inc............................................ 191,700
3,800 The Stanley Works...................................... 113,050
500 Trinova Corporation.................................... 16,688
3,200 Tyco International Ltd................................. 130,400
1,800 Varity Corporation (b)................................. 86,625
2,900 Western Atlas Corporation (b).......................... 168,925
10,200 Westinghouse Electric Corporation...................... 191,250
6,000 Whitman Corporation.................................... 144,750
14,800 WMX Technologies, Inc.................................. 484,700
--------------
12,222,242
--------------
CONSUMER GOODS AND SERVICES (35.6%)
Consumer Goods (19.7%)
24,200 Abbott Laboratories.................................... 1,052,700
4,600 Adolph Coors Company................................... 82,225
6,200 Alberto-Culver Company................................. 287,525
4,100 Allergan, Inc.......................................... 160,925
8,900 Alza Corporation (b)................................... 243,637
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
CONSUMER GOODS AND SERVICES--CONTINUED
4,800 American Brands, Inc................................... $ 217,800
19,200 American Home Products Corporation..................... 1,154,400
8,100 Amgen Inc (b).......................................... 437,400
7,700 Anheuser-Busch Companies, Inc.......................... 577,500
2,800 Avon Products.......................................... 126,350
7,000 Baxter International Inc............................... 330,750
3,700 Becton, Dickinson and Company.......................... 296,925
3,900 Beverly Enterprises (b)................................ 46,800
1,400 Biomet Inc (b)......................................... 20,125
4,600 Boston Scientific Corporation (b)...................... 207,000
15,300 Bristol-Myers Squibb Company........................... 1,377,000
3,700 C.R. Bard, Inc......................................... 125,800
1,900 Cabletron Systems Incorporated (b)..................... 130,388
2,000 Clorox Company......................................... 177,250
79,600 Coca-Cola Company...................................... 3,890,450
3,900 Colgate-Palmolive Company.............................. 330,525
13,571 Columbia/HCA Healthcare
Corporation.......................................... 724,352
2,800 Community Psychiatric Centers (b)...................... 26,600
17,100 Eli Lilly & Company.................................... 1,111,500
13,100 Gillette Company....................................... 817,112
2,800 Harcourt General, Inc.................................. 140,000
6,200 Humana (b)............................................. 110,825
3,400 International Flavors & Fragrances, Inc................ 161,925
42,500 Johnson & Johnson...................................... 2,103,750
3,900 Mallinckrodt Group, Inc................................ 151,613
4,900 Manor Care, Inc........................................ 192,938
7,200 Medtronic Inc.......................................... 403,200
38,500 Merck & Co., Inc....................................... 2,488,063
49,000 Pepsico, Inc........................................... 1,733,375
19,300 Pfizer Inc............................................. 1,377,537
15,355 Pharmacia & Upjohn..................................... 681,378
26,500 Philip Morris Companies, Inc........................... 2,756,000
21,834 Procter & Gamble Company............................... 1,978,706
10,700 Schering-Plough Corporation............................ 671,425
11,300 Seagram Company, Ltd................................... 379,962
3,000 Service Corporation International...................... 172,500
5,700 St Jude Medical, Inc (b)............................... 190,950
9,800 Tenet Healthcare Corporation (b)....................... 209,475
2,000 Tupperware Corporation (b)............................. 84,500
4,800 Unilever N.V. (c)...................................... 696,600
4,900 United Health Care..................................... 247,450
4,700 US Healthcare, Inc..................................... 258,500
9,900 UST Inc................................................ 339,075
7,600 Warner-Lambert Company................................. 418,000
--------------
31,900,786
--------------
Consumer Services (4.8%)
4,700 CUC International, Inc (b)............................. 166,850
3,300 Deluxe Corp............................................ 117,150
3,400 RR Donnelley & Sons Company............................ 118,575
6,600 Dow Jones & Company Inc................................ 275,550
4,360 Dun & Bradstreet Corporation........................... 272,500
3,825 Eastman Chemical Company............................... 232,847
</TABLE>
See accompanying notes to investments in securities.
-97-
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
CONSUMER GOODS AND SERVICES--CONTINUED
10,400 Eastman Kodak Company.................................. $ 808,600
4,300 Gannett Company........................................ 304,225
6,400 Harrah's Entertainment (b)............................. 180,800
6,800 Hasbro Inc............................................. 243,100
1,200 Hilton Hotels Corporation.............................. 135,000
600 John H. Harland Company................................ 14,775
600 King World Productions, Inc (b)........................ 21,825
3,000 Knight-Ridder, Inc..................................... 217,500
5,100 Marriott International Inc............................. 274,125
8,641 Mattel Inc............................................. 247,349
21,200 McDonalds Corp......................................... 991,100
3,600 McGraw-Hill Companies, Inc............................. 164,700
3,600 Meredith Corporation................................... 150,300
2,900 New York Times Company................................. 94,612
4,000 Polaroid Corporation................................... 182,500
10,600 Time Warner, Inc....................................... 416,050
3,600 Times Mirror Company................................... 156,600
1,500 Tribune Company........................................ 108,937
11,230 Viacom (b)............................................. 436,566
21,282 Walt Disney Company.................................... 1,338,106
6,200 Wendy's International, Inc............................. 115,475
--------------
7,785,717
--------------
Food (3.3%)
7,200 Albertson's Incorporated............................... 297,900
15,881 Archer-Daniels-Midland Company......................... 303,724
8,000 Campbell Soup Company.................................. 564,000
7,525 Conagra, Inc........................................... 341,447
4,400 CPC International...................................... 316,800
18,400 Darden Restaurants, Inc................................ 197,800
10,000 Fleming Companies, Inc................................. 143,750
4,800 General Mills, Inc..................................... 261,600
4,500 Giant Food Inc......................................... 161,437
10,600 H.J. Heinz Company..................................... 321,975
2,900 Hershey Foods Corporation.............................. 212,787
7,700 Kellogg Company........................................ 564,025
7,300 Kroger Company (b)..................................... 288,350
6,300 Quaker Oats Company.................................... 214,987
2,600 Ralston Purina Group................................... 166,725
14,700 Sara Lee Corporation................................... 475,912
6,000 Sysco Corporation...................................... 205,500
4,800 Winn-Dixie Stores, Incorporated........................ 169,800
3,600 Wm. Wrigley Jr. Company................................ 181,800
--------------
5,390,319
--------------
Retail (4.4%)
8,500 American Stores Company................................ 350,625
2,200 Circuit City Stores, Inc............................... 79,475
2,200 Dayton Hudson Corporation.............................. 226,875
3,700 Dillard Department Stores Inc.......................... 135,050
5,500 Federated Department Stores (b)........................ 187,688
12,000 Gap, Inc............................................... 385,500
14,524 Home Depot Inc......................................... 784,296
6,400 J.C. Penney Company, Inc............................... 336,000
14,200 K Mart Corporation (b)................................. 175,725
7,500 Limited, Inc........................................... 161,250
1,200 Longs Drug Stores Corp................................. 53,550
7,100 May Department Stores Company.......................... 310,625
3,100 Melville Corporation................................... 125,550
1,000 Mercantile Stores Company, Inc......................... 58,625
4,300 Nike Inc............................................... 441,825
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
CONSUMER GOODS AND SERVICES--CONTINUED
3,100 Nordstrom, Inc......................................... $ 137,950
7,800 Price/Costco Corporation (b)........................... 168,675
11,000 Sears, Roebuck and Company............................. 534,875
1,000 Stride Rite Corporation................................ 8,250
3,800 Tandy Corporation...................................... 180,025
8,350 Toys R Us (b).......................................... 237,975
73,200 Wal-Mart Stores, Inc................................... 1,857,450
7,500 Walgreen Co............................................ 251,250
--------------
7,189,109
--------------
Consumer Cyclicals (3.4%)
1,100 Black & Decker Corporation............................. 42,487
12,000 Chrysler Corporation Holding Co........................ 744,000
6,900 Corning Inc............................................ 264,787
37,000 Ford Motor............................................. 1,197,875
23,200 General Motors Corporation............................. 1,215,100
3,700 Genuine Parts Company.................................. 169,275
6,300 Goodyear Tire & Rubber Company......................... 303,975
4,800 Interpublic Group Company.............................. 225,000
2,700 Johnson Controls....................................... 187,650
7,700 Liz Claiborne, Inc..................................... 266,612
4,300 Maytag Company......................................... 89,762
10,000 Newell Co.............................................. 306,250
400 Owens Corning.......................................... 17,200
3,000 Pep Boys............................................... 102,000
3,500 Snap-On Tools Corporation.............................. 165,813
2,200 V.F. Corporation....................................... 131,175
--------------
5,428,961
--------------
CREDIT SENSITIVE (24.7%)
Building (1.0%)
3,900 Armstrong World Industries, Inc........................ 224,738
8,400 Fleetwood Enterprises, Inc............................. 260,400
8,900 Lowe's Companies, Inc.................................. 321,512
6,900 Masco Corporation...................................... 208,725
7,900 PPG Industries, Incorporated........................... 385,125
3,100 Sherwin-Williams Company............................... 144,150
--------------
1,544,650
--------------
Finance (13.2%)
3,500 Aetna Life & Casualty Company.......................... 250,250
9,400 Ahmanson & Company H.F................................. 253,800
13,657 Allstate Corporation................................... 623,101
14,600 American Express Company............................... 651,525
6,400 American General Corporation........................... 232,800
14,780 American International Group, Inc...................... 1,457,677
13,777 Banc One Corporation................................... 468,418
5,200 Bank of Boston Corporation............................. 257,400
6,100 Bank of New York Co Inc................................ 312,625
11,304 BankAmerica Corporation................................ 856,278
3,400 Bankers Trust New York Corporation..................... 251,175
4,600 Barnett Banks of Florida, Inc.......................... 280,600
2,600 Beneficial Corporation................................. 145,925
5,900 H & R Block, Inc....................................... 192,488
4,500 Boatmens Bancshares Inc................................ 180,563
13,134 Chase Manhattan Corporation............................ 927,589
5,300 Chubb Corporation...................................... 264,338
2,000 Cigna Corporation...................................... 235,750
14,800 Citicorp............................................... 1,222,850
4,500 Comerica............................................... 200,812
7,000 Corestates Financial Corp.............................. 269,500
</TABLE>
See accompanying notes to investments in securities.
-98-
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
CREDIT SENSITIVE--CONTINUED
4,195 Dean Witter Discover & Co.............................. $ 240,164
5,700 Federal Home Loan Mortgage Corporation................. 487,350
34,800 Federal National Mortgage.............................. 1,165,800
3,400 Fifth Third Bancorp.................................... 183,600
6,000 First Bank Systems, Incorporated....................... 348,000
8,837 First Chicago Corporation.............................. 345,748
6,800 First Data Corp........................................ 541,450
9,295 First Union Corporation................................ 565,833
9,680 Fleet Financial Group, Incorporated.................... 421,080
2,400 General RE Corporation................................. 365,400
1,600 Golden West Financial Corporation...................... 89,600
8,650 Great Western Financial Corporation.................... 206,519
300 Green Tree Financial Corporation....................... 9,375
2,400 Household International, Inc........................... 182,400
5,400 J.P. Morgan & Company Incorporated..................... 456,975
7,000 Keycorp................................................ 271,250
1,800 Lincoln National Corporation........................... 83,250
2,800 Loews Corporation...................................... 220,850
2,200 Marsh & McLennen....................................... 212,300
6,750 MBNA Corporation....................................... 192,375
3,900 Mellon Bank Corporation................................ 222,300
5,300 Merrill Lynch & Co., Inc............................... 345,163
3,800 Morgan Stanley Group................................... 186,675
6,700 National City Corporation.............................. 235,337
8,756 Nationsbank Corp....................................... 723,464
10,600 Norwest Corporation.................................... 369,675
9,200 PNC Bank Corp.......................................... 273,700
5,300 Providian Corporation.................................. 227,237
2,500 Republic New York Corporation.......................... 155,625
7,000 Salomon Inc............................................ 308,000
3,400 St. Paul Companies, Inc................................ 181,900
6,800 Suntrust Banks, Inc.................................... 251,600
2,550 Torchmark Corporation.................................. 111,563
3,700 Transamerica Corporation............................... 299,700
4,100 U.S. Bancorp........................................... 148,113
1,500 UNUM Corporation....................................... 93,375
7,300 USF&G Corporation...................................... 119,537
2,400 U.S. Life Corporation.................................. 78,900
6,200 Wachovia Corporation................................... 271,250
2,866 Wells Fargo & Company.................................. 684,616
--------------
21,412,513
--------------
Insurance (.1%)
3,800 AON Corporation........................................ 192,850
--------------
Utilities (10.4%)
14,400 Airtouch Communications (b)............................ 406,800
4,100 American Electric Power Company, Inc................... 174,762
18,600 Ameritech.............................................. 1,104,375
50,635 AT&T Corporation....................................... 3,139,370
10,600 Baltimore Gas and Electric Company..................... 300,775
13,600 Bell Atlantic Corporation.............................. 867,000
30,900 BellSouth Corporation.................................. 1,309,388
6,500 Carolina Power & Light Company......................... 247,000
9,700 Central & Southwest Corporation........................ 281,300
5,932 Cinergy................................................ 189,824
5,500 Consolidated Edison Company of New York................ 160,875
3,200 Consolidated Natural Gas Company....................... 167,200
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
CREDIT SENSITIVE--CONTINUED
5,650 Dominion Resources, Inc................................ $ 226,000
5,300 DTE Energy Company..................................... 163,638
5,800 Duke Power Company..................................... 297,250
10,000 Edison International................................... 176,250
7,900 Enron Corp............................................. 322,913
6,900 Entergy Corporation.................................... 195,788
4,700 FPL Group, Inc......................................... 216,200
30,800 GTE Corporation........................................ 1,378,300
8,600 Houston Industries Incorporated........................ 211,775
5,200 Niagara Mohawk Power Corporation (b)................... 40,300
1,300 Northern States Power Company.......................... 64,187
13,100 Nynex Corporation...................................... 622,250
3,700 Ohio Edison Company.................................... 80,938
800 Oneok Inc.............................................. 20,000
5,100 Pacific Enterprises.................................... 151,088
10,300 Pacific Gas & Electric Company......................... 239,475
13,000 Pacific Telesis Group.................................. 438,750
12,500 Pacificorp............................................. 278,125
4,200 Peco Energy Company.................................... 109,200
2,000 Peoples Energy Corporation............................. 67,000
6,650 Public Service Enterprise Group Inc.................... 182,044
18,900 SBC Communications Inc................................. 930,825
21,400 Southern Company....................................... 526,975
6,900 Texas Utilities Company................................ 294,975
5,500 Unicom Corporation..................................... 153,312
6,900 Union Electric Company................................. 277,725
21,300 U.S. West Media Group.................................. 388,725
18,000 U.S. West, Inc (b)..................................... 573,750
--------------
16,976,427
--------------
INTERMEDIATE GOODS AND SERVICES (17.5%)
Energy (9.1%)
2,800 Amerada Hess Corporation............................... 150,150
15,500 Amoco Corporation...................................... 1,121,813
7,100 Ashland Incorporated................................... 281,337
4,700 Atlantic Richfield Company............................. 556,950
7,400 Burlington Resources, Inc.............................. 318,200
19,800 Chevron Corporation.................................... 1,168,200
5,600 Coastal Corporation.................................... 233,800
2,900 Columbia Gas System, Inc............................... 151,163
2,500 Enserch Corp........................................... 54,375
40,700 Exxon Corporation...................................... 3,535,813
1,600 Kerr-McGee Corporation................................. 97,400
12,300 Mobil Corporation...................................... 1,379,138
6,300 Noram Energy........................................... 68,513
7,700 Occidental Petroleum Corporation....................... 190,575
7,900 Panenergy Corporation.................................. 259,712
800 Pennzoil Company....................................... 37,000
10,100 Phillips Petroleum Company............................. 422,938
17,100 Royal Dutch Petroleum (c).............................. 2,629,125
300 Santa Fe Energy Resources , Inc........................ 3,563
7,400 Schlumberger, Ltd (c).................................. 623,450
4,000 Sonat Inc.............................................. 180,000
4,300 Tenneco Inc............................................ 219,837
8,000 Texaco, Inc............................................ 671,000
7,500 Unocal Corporation..................................... 253,125
5,900 USX--Marathon Group.................................... 118,738
--------------
14,725,915
--------------
</TABLE>
See accompanying notes to investments in securities.
-99-
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
INTERMEDIATE GOODS AND SERVICES--CONTINUED
Materials (6.7%)
2,300 Air Products and Chemicals, Inc........................ $ 132,825
4,575 Alcan Aluminium Limited................................ 139,537
5,400 Aluminum Company of America............................ 309,825
1,400 Asarco Incorporated.................................... 38,675
1,900 Avery Dennison Corp.................................... 104,262
10,700 Barrick Gold Corporation............................... 290,238
800 Bemis Company, Inc..................................... 28,000
2,900 Bethlehem Steel Corporation (b)........................ 34,438
566 Boise Cascade Corporation.............................. 20,730
4,300 Champion International Corporation..................... 179,525
3,400 Crown Cork & Seal Company, Inc......................... 153,000
950 Cyprus Amax Minerals Company........................... 21,494
7,900 Dow Chemical Company................................... 600,400
16,900 E.I. Du Pont De Nemours and Company.................... 1,337,213
10,487 Engelhard Corporation.................................. 241,201
1,600 FMC Corporation (b).................................... 104,400
31,900 Freeport-McMoran Copper................................ 1,016,813
2,200 Georgia-Pacific Corporation............................ 156,200
3,000 W.R. Grace & Co........................................ 212,625
2,600 Great Lakes Chemical Corporation....................... 161,850
2,700 Hercules Incorporated.................................. 149,175
3,700 Homestake Mining Company............................... 63,363
5,500 Inco Limited (c)....................................... 177,375
9,100 International Paper Company............................ 335,562
8,500 Kimberly-Clark Corporation............................. 656,625
5,600 Louisiana-Pacific Corporation.......................... 123,900
1,200 Mead Corporation....................................... 62,250
18,000 Monsanto Company....................................... 585,000
3,600 Morton International................................... 134,100
5,800 Nalco Chemical Company................................. 182,700
5,022 Newmont Mining Corporation............................. 247,961
1,500 Nucor Corporation...................................... 75,938
1,400 Phelps Dodge Corporation............................... 87,325
2,100 Pioneer Hi-Bred International, Inc..................... 111,038
5,100 Placer Dome Inc (c).................................... 121,763
600 Potlatch Corporation................................... 23,475
3,200 Praxair Inc............................................ 135,200
2,100 Reynolds Metals Company................................ 109,462
1,600 Rohm and Haas Company.................................. 100,400
3,000 Sigma-Aldrich.......................................... 160,500
3,010 Stone Container Corporation............................ 41,388
3,000 The Williams Company................................... 148,500
14,700 Travelers Inc.......................................... 670,688
5,150 Union Camp Corporation................................. 251,062
3,900 Union Carbide Corporation.............................. 155,025
5,640 USX--U.S. Steel Group Inc.............................. 160,035
6,000 Westvaco Corporation................................... 179,250
4,900 Weyerhaeuser Company................................... 208,250
2,400 Willamette Industries Incorporated..................... 142,800
3,300 Worthington Industries................................. 68,887
--------------
10,952,248
--------------
Transportation (1.7%)
2,200 AMR Corporation (b).................................... 200,200
4,573 Burlington Northern Santa Fe........................... 369,841
1,300 Caliber Systems, Incorporated.......................... 44,200
1,600 Conrail Corporation.................................... 106,200
1,100 Consolidated Freightways, Inc.......................... 23,237
7,400 CSX Corporation........................................ 357,050
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
INTERMEDIATE GOODS AND SERVICES--CONTINUED
3,800 Delta Air Lines, Inc................................... $ 315,400
1,900 Federal Express Corporation (b)........................ 155,800
4,700 Norfolk Southern Corporation........................... 398,325
5,400 Ryder System, Inc...................................... 151,875
1,500 Sante Fe Pacific Gold Corporation...................... 21,187
6,300 Union Pacific Corporation.............................. 440,213
9,100 U.S. Air Group, Inc (b)................................ 163,800
--------------
2,747,328
--------------
TECHNOLOGY (14.7%)
12,400 Advanced Micro Devices, Inc (b)........................ 168,950
5,500 Alltel Corp............................................ 169,125
1,000 Amdahl (b)............................................. 10,750
3,450 Andrew Corporation (b)................................. 185,437
8,800 Apple Computer Incorporated (b)........................ 184,800
2,200 Autodesk, Inc.......................................... 65,725
9,100 Automatic Data Processing Inc.......................... 351,487
5,100 Bay Networks Inc (b)................................... 131,325
10,200 Boeing Company......................................... 888,675
4,600 Ceridian Corporation (b)............................... 232,300
17,100 Cisco Systems, Inc (b)................................. 968,287
8,100 Compaq Computer Corporation (b)........................ 398,925
7,350 Computer Associates International...................... 523,688
2,400 Computer Sciences Corporation (b)...................... 179,400
600 Crane Co............................................... 24,600
5,600 Digital Equipment (b).................................. 252,000
5,600 DSC Communications (b)................................. 168,700
1,600 EG&G, Inc.............................................. 34,200
7,500 EMC Corporation (b).................................... 139,687
2,000 General Dynamics Corporation........................... 124,000
5,700 General Instrument Corporation (b)..................... 164,587
4,300 B.F. Goodrich Company.................................. 160,712
4,000 Harris Corporation..................................... 244,000
15,500 Hewlett-Packard Company................................ 1,544,187
4,300 Honeywell Inc.......................................... 234,350
25,500 Intel.................................................. 1,872,656
17,600 International Business Machines Corporation............ 1,742,400
6,219 Lockheed Martin Corporation............................ 522,396
5,000 LSI Logic Corporation (b).............................. 130,000
7,200 McDonnell Douglas Corporation.......................... 349,200
20,700 MCI Communications..................................... 530,438
5,800 Micron Technology Inc.................................. 150,075
18,600 Microsoft Corporation (b).............................. 2,234,325
14,000 Minnesota Mining and Manufacturing Company............. 966,000
18,000 Motorola............................................... 1,131,750
7,700 Northern Telecom Limited............................... 418,687
3,000 Northrop Grumman Corporation........................... 204,375
8,500 Novell, Inc (b)........................................ 117,938
20,850 Oracle Corporation (b)................................. 822,272
10,899 Pall Corporation....................................... 262,938
2,800 Perkin-Elmer Corporation............................... 135,100
4,600 Pitney Bowes, Inc...................................... 219,650
6,500 Raytheon Company....................................... 335,563
6,800 Rockwell International Corporation..................... 389,300
4,400 Scientific-Atlanta Inc................................. 68,200
6,600 Silicon Graphics Incorporated (b)...................... 158,400
12,900 Sprint Corporation..................................... 541,800
5,600 Sun Microsystems, Inc (b).............................. 329,700
</TABLE>
See accompanying notes to investments in securities.
-100-
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
6,600 Tandem Computers Incorporated (b)...................... $ 81,675
19,900 Tele-Communications, Inc (b)........................... 360,687
2,600 Tellabs Incorporated (b)............................... 173,875
4,600 Texas Instruments Incorporated......................... 229,425
800 Thomas & Betts Corporation............................. 30,000
3,200 TRW Inc................................................ 287,600
12,400 Unisys Corporation (b)................................. 88,350
3,400 United Technologies Corporation........................ 391,000
5,700 Worldcom, Incorported (b).............................. 315,637
9,900 Xerox Corporation...................................... 529,650
4,400 3 Com (b).............................................. 201,300
--------------
23,872,259
--------------
Total common stocks (cost: $119,239,216).......................... 162,341,324
--------------
PREFERRED STOCKS (--%)
25 Teledyne............................................... 384
--------------
Total preferred stocks
(cost: $337).................................................. 384
--------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- --------------
<C> <S> <C>
SHORT-TERM SECURITIES (.7%)
$1,123,875 Temporary Investment Fund, Inc.-- TempFund Portfolio,
current rate 5.42%................................... $ 1,123,875
--------------
Total short-term securities
(cost: $1,123,875)............................................ 1,123,875
--------------
Total investments in securities (cost: $120,363,428) (d)..........
$163,465,583
--------------
--------------
</TABLE>
Notes to Investments in Securities
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The portfolio held 2.6% of net assets in foreign securities at June 30,
1996.
(d) At June 30, 1996 the cost of securities for federal income tax purposes was
$120,652,101. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 44,359,703
Gross unrealized depreciation..................... (1,546,221)
------------
Net unrealized appreciation....................... $ 42,813,482
------------
------------
</TABLE>
-101-
<PAGE>
CAPITAL APPRECIATION PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1996
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
COMMON STOCKS (95.1%)
CAPITAL GOODS (1.0%)
Machinery (1.0%)
46,125 Thermo Electron Corporation (b).......................................................... $ 1,919,953
--------------
CONSUMER GOODS AND SERVICES (41.5%)
Consumer Goods (22.4%)
99,400 Amgen Inc (b)............................................................................ 5,367,600
88,400 Coca-Cola Company........................................................................ 4,320,550
53,600 Genzyme Corporation (b).................................................................. 2,693,400
97,500 Merck & Co., Inc......................................................................... 6,300,938
89,600 Oxford Health Plan Incorporated (b)...................................................... 3,684,800
78,400 Pfizer Inc............................................................................... 5,595,800
71,500 Schering-Plough Corporation.............................................................. 4,486,625
106,750 St Jude Medical Inc (b).................................................................. 3,576,125
141,400 United Health Care....................................................................... 7,140,700
--------------
43,166,538
--------------
Consumer Services (4.8%)
112,000 Carnival Corporation (c)................................................................. 3,234,000
106,500 McDonalds Corp........................................................................... 4,978,875
30,000 Sterling Commerce Inc (b)................................................................ 1,113,750
--------------
9,326,625
--------------
Retail (12.5%)
231,531 Dollar General Corp...................................................................... 6,772,282
146,633 Home Depot Inc........................................................................... 7,918,182
108,200 Intimate Brands Inc...................................................................... 2,475,075
97,200 Kohl's Inc (b)........................................................................... 3,559,950
167,700 Office Depot, Inc (b).................................................................... 3,416,888
--------------
24,142,377
--------------
Food (1.8%)
99,600 Outback Steakhouse Incorporated (b)...................................................... 3,434,636
--------------
CREDIT SENSITIVE (14.3%)
Building (2.5%)
130,400 Lowe's Companies, Inc.................................................................... 4,710,700
--------------
Finance (9.0%)
157,500 Federal National Mortgage................................................................ 5,276,250
64,600 First Data Corp.......................................................................... 5,143,775
135,700 MBNA Corporation......................................................................... 3,867,450
54,700 MGIC Investment Corporation.............................................................. 3,070,038
--------------
17,357,513
--------------
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
CREDIT SENSITIVE--CONTINUED
Utilities (2.8%)
194,000 Airtouch Communications (b).............................................................. $ 5,480,500
--------------
TECHNOLOGY (38.3%)
73,400 Ceridian Corporation (b)................................................................. 3,706,700
162,600 Cisco Systems, Inc (b)................................................................... 9,207,225
134,800 Computer Associates International........................................................ 9,604,500
56,100 General Instrument Corporation (b)....................................................... 1,619,887
64,200 Intel.................................................................................... 4,714,687
57,400 LCI International Incorporated (b)....................................................... 1,800,925
210,500 MCI Communications....................................................................... 5,394,063
60,200 Microsoft Corporation (b)................................................................ 7,231,525
61,200 Motorola................................................................................. 3,847,950
195,050 Oracle Corporation (b)................................................................... 7,692,284
227,200 Paging Network Inc (b)................................................................... 5,452,800
143,800 Parametric Technology Corporation (b).................................................... 6,237,325
89,000 Synopsys Incorporated (b)................................................................ 3,537,750
160,000 360 Communications Company (b)........................................................... 3,840,000
--------------
73,887,621
--------------
Total common stocks
(cost: $136,531,159)............................................................................ 183,426,463
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (4.3%)
$5,115,000 U.S. Treasury Bills.............................................. 5.00%-5.05% 07/11/96 5,107,039
1,135,000 Stanley Works CP................................................. 5.43% 07/15/96 1,132,116
2,059,973 Temporary Investment Fund, Inc.-- TempFund Portfolio, current rate 5.42%................. 2,059,973
--------------
Total short-term securities
(cost $8,299,790)............................................................................... 8,299,128
--------------
Total investments in securities
(cost: $144,830,949) (d)........................................................................ $191,725,591
--------------
--------------
</TABLE>
Notes to Investments in Securities
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The portfolio held 1.7% of net assets in foreign securities at June 30,
1996.
(d) At June 30, 1996 the cost of securities for federal income tax purposes was
$144,845,372. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 48,678,376
Gross unrealized depreciation..................... (1,798,157)
------------
Net unrealized appreciation....................... $ 46,880,219
------------
------------
</TABLE>
-102-
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1996
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------------ -------------
<C> <S> <C>
COMMON STOCKS (83.4%)
AUSTRALIA (4.1%)
Banking (.9%)
95,663 National Australia Bank......................................................... $ 884,680
190,087 Westpac Banking................................................................. 842,296
Building Materials and Components (1.1%)
648,423 Pioneer International........................................................... 1,888,271
Transportation (2.1%)
127,500 Brambles Industries............................................................. 1,774,176
106,890 BTR Nylex Ltd................................................................... 411,387
85,000 Qantas Airways Limited ADR 144A (d)............................................. 1,438,336
-------------
7,239,146
-------------
AUSTRIA (2.0%)
Electrical and Electronics (1.3%)
12,980 Bohler-Uddeholm 144A (d)........................................................ 1,005,702
10,850 Va Technologie 144A (d)......................................................... 1,328,863
Utilities--Gas and Electric (.7%)
8,400 Evn Energie-Versorung........................................................... 1,160,533
-------------
3,495,098
-------------
BELGIUM (1.8%)
Chemicals (1.8%)
2,650 Solvay.......................................................................... 1,626,169
20,000 Union Miniere (b)............................................................... 1,532,127
-------------
3,158,296
-------------
BRAZIL (1.3%)
Telecommunications (1.3%)
33,300 Telecomunicacoes Brasileiras ADR................................................ 2,318,513
-------------
CANADA (2.7%)
Banking (1.8%)
60,500 Canadian Imperial Bank of Commerce.............................................. 1,951,513
145,000 National Bank of Montreal....................................................... 1,210,439
Insurance (.7%)
65,000 London Insurance Group.......................................................... 1,361,287
Mining and Metals--Container (.2%)
39,000 Inmet (b)....................................................................... 284,157
-------------
4,807,396
-------------
CHILE (1.2%)
Financial Services (.4%)
32,000 Chile Fund...................................................................... 784,000
Utilities--Gas and Electric (.8%)
14,000 Telefonos De Chile ADR.......................................................... 1,373,750
-------------
2,157,750
-------------
CZECH REPUBLIC (2.8%)
Banking (.7%)
48,000 Komercni Banka 144A (d)......................................................... 1,303,445
Energy Services (1.0%)
44,810 Ceske Energeticke (b)........................................................... 1,782,301
<CAPTION>
MARKET
SHARES VALUE(A)
------------ -------------
<C> <S> <C>
CZECH REPUBLIC--CONTINUED
Telecommunications (1.1%)
15,500 SPT Telecom (b)................................................................. $ 1,891,746
-------------
4,977,492
-------------
FINLAND (1.7%)
Banking (.5%)
400,000 Merita Ltd A (b)................................................................ 835,145
Wholesale and International Trade (1.2%)
85,000 Amer Group Ltd.................................................................. 1,427,065
107,500 Metsa-Serla..................................................................... 763,576
-------------
3,025,786
-------------
FRANCE (8.0%)
Banking (1.2%)
61,300 Banque Nationale De Paris ADR 144A (d).......................................... 2,151,655
Electrical and Electronics (1.0%)
19,000 Alcatel Alsthom................................................................. 1,657,120
Energy Sources (1.4%)
32,562 Societe National Elf Aquitaine.................................................. 2,394,670
Health and Personal Care (1.6%)
105,500 Rhone-Poulenc................................................................... 2,772,708
Insurance (1.3%)
40,485 Axa............................................................................. 2,214,526
Mining and Metal (.5%)
2,000 Pechiney........................................................................ 89,315
40,214 Pechiney ADR.................................................................... 824,387
Multi-Industry (.1%)
2,107 Marine Wendel................................................................... 174,352
Transportation (.9%)
64,000 Regie Des Usines Renault........................................................ 1,652,186
-------------
13,930,919
-------------
GERMANY (2.7%)
Banking (1.3%)
48,750 Deutsche Bank................................................................... 2,309,168
Chemicals (1.4%)
69,500 Bayer........................................................................... 2,445,063
-------------
4,754,231
-------------
HONG KONG (6.2%)
Banking (1.1%)
125,714 Hong Kong and Shanghai Banking.................................................. 1,900,203
Food and Household Products (.5%)
3,201,000 Cafe de Coral................................................................... 889,108
Multi-Industry (1.8%)
221,000 Hutchison Whampoa Ltd........................................................... 1,390,439
230,739 Jardine Matheson Holdings....................................................... 1,695,932
Transportation (1.7%)
190,000 Swire Pacific Ltd............................................................... 1,626,185
448,568 Jardine Strategic Holdings...................................................... 1,435,418
Utilities (1.1%)
625,000 Hong Kong Electric Holdings..................................................... 1,905,560
-------------
10,842,845
-------------
</TABLE>
See accompanying notes to investments in securities.
-103-
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------------ -------------
<C> <S> <C>
INDIA (.5%)
Financial Services (.5%)
469,435 India Fund...................................................................... $ 900,820
-------------
INDONESIA (.9%)
Financial Services (.2%)
315,000 JF Indonesia Fund (b)........................................................... 396,776
Forest Products and Paper (.7%)
737,000 P.T. Japfa Comfeed.............................................................. 427,490
777,185 P.T. Pabrik Kertas Tjiwi Kimia.................................................. 793,071
-------------
1,617,337
-------------
ITALY (1.7%)
Telecommunications (1.7%)
1,105,000 Stet di Risp.................................................................... 2,901,348
-------------
JAPAN (4.2%)
Building Materials and Components (.6%)
73,000 Daito Trust Construction........................................................ 1,091,524
Electrical and Electronics (3.1%)
227,000 Hitachi Ltd..................................................................... 2,111,022
88,000 Hitachi Koki.................................................................... 866,509
37,000 Sony Corporation................................................................ 2,432,224
Utilities--Gas and Electric (.5%)
68,000 Kyudenko........................................................................ 911,366
-------------
7,412,645
-------------
KOREA (.5%)
Financial Services (.5%)
19 Korea International Trust (b)................................................... 883,500
-------------
MEXICO (.3%)
Chemicals (.3%)
252,000 Vitro........................................................................... 581,813
-------------
NETHERLANDS (3.9%)
Broadcasting, Advertising and Publishing (1.4%)
84,688 International Nederlanden Group................................................. 2,525,281
Building Materials and Components (.3%)
16,520 European Vinyls................................................................. 512,930
Insurance (1.3%)
47,454 Aegon........................................................................... 2,185,083
Merchandising (.9%)
18,591 Koninklijke Bijenkorf Beheer.................................................... 1,570,510
-------------
6,793,804
-------------
NEW ZEALAND (2.4%)
Forest Products and Paper (1.1%)
839,000 Carter Holt Harvey.............................................................. 1,913,987
Wholesale and International Trade (1.3%)
2,341,185 Brierley Investments............................................................ 2,298,423
-------------
4,212,410
-------------
NORWAY (2.4%)
Energy Sources (.8%)
98,000 Saga Petroleum.................................................................. 1,440,659
Health and Personal Care (1.0%)
77,000 Hafslund Nycomed................................................................ 551,157
77,000 Nycomed ASA A Shares (b)........................................................ 1,103,931
Mining and Metals (.6%)
78,000 Elkem........................................................................... 1,074,606
-------------
4,170,353
-------------
<CAPTION>
MARKET
SHARES VALUE(A)
------------ -------------
<C> <S> <C>
PHILIPPINES (1.1%)
Telecommunications (1.1%)
33,500 Philippine Long Distance Telephone Company ADR.................................. $ 1,947,188
-------------
PORTUGAL (1.0%)
Banking (.5%)
62,000 Banco Portugues de Investimento................................................. 785,411
Financial Services (.5%)
9,000 Capital Portugal Fund (b)....................................................... 887,393
-------------
1,672,804
-------------
SINGAPORE (.6%)
Financial Services (.1%)
18,000 Singapore Fund.................................................................. 234,000
Transportation (.5%)
78,000 Singapore International Airline................................................. 823,413
-------------
1,057,413
-------------
SPAIN (8.8%)
Banking (3.7%)
108,000 Argentaria Bancaria ADR......................................................... 2,376,000
11,450 Banco de Andalucia.............................................................. 1,589,646
61,500 Banco Bilbao Vizcaya............................................................ 2,489,531
Energy Sources (1.1%)
57,000 Repsol.......................................................................... 1,980,604
Telecommunications (1.6%)
150,000 Telefonica de Espana............................................................ 2,761,076
Utilities--Gas and Electric (2.4%)
250,000 Iberdrola....................................................................... 2,564,135
27,500 Empresa. Nacional de Electricidad............................................... 1,713,778
-------------
15,474,770
-------------
SWEDEN (6.8%)
Banking (.7%)
58,500 Stadshypotek 144A (d)........................................................... 1,304,805
Business and Public Service (1.4%)
99,500 Nackebro Fastighets............................................................. 127,009
114,500 Esselte......................................................................... 2,312,269
Food and Household Products (.2%)
97,500 Swedish Match (b)............................................................... 302,691
Forest Products and Paper (.9%)
122,000 Stora Kopparbergs............................................................... 1,608,777
Health and Personal Care (2.3%)
46,500 Astra........................................................................... 2,025,251
95,500 Svenska Handelsbanken........................................................... 1,993,339
Transportation (1.3%)
97,500 Volvo........................................................................... 2,218,756
-------------
11,892,897
-------------
SWITZERLAND (2.9%)
Electrical and Electronics (1.2%)
1,730 BBC Brown Boveri................................................................ 2,139,623
Health and Personal Care (1.3%)
1,660 Ares-Serono..................................................................... 1,458,885
370 Societe Generale................................................................ 885,358
Insurance (.4%)
2,400 Zuerich Versicherung............................................................ 653,862
-------------
5,137,728
-------------
</TABLE>
See accompanying notes to investments in securities.
-104-
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------------ -------------
<C> <S> <C>
THAILAND (1.1%)
Financial Services (1.1%)
81,562 Thai Fund....................................................................... $ 1,926,901
-------------
TURKEY (.7%)
Financial Services (.7%)
89,000 Turkish Growth Fund (b)......................................................... 1,168,124
-------------
UNITED KINGDOM (8.6%)
Banking (.8%)
118,943 Barclays Bank................................................................... 1,428,610
Building Materials and Components (1.2%)
435,000 BICC.L.......................................................................... 2,095,301
Electrical and Electronics (.5%)
82,000 Waste Management International (b).............................................. 912,250
Energy Services (2.0%)
592,100 British Gas..................................................................... 1,656,010
168,500 Hyder........................................................................... 1,869,363
Food and Household Products (2.3%)
2,717,536 Albert Fisher Group............................................................. 1,984,580
732,186 Hillsdown Holdings.............................................................. 1,979,548
Merchandising (.8%)
191,600 Kwik Save Group................................................................. 1,348,619
Utilities--Gas and Electric (1.0%)
208,775 National Power.................................................................. 1,686,853
-------------
14,961,134
-------------
<CAPTION>
MARKET
SHARES VALUE(A)
------------ -------------
<C> <S> <C>
VENEZUELA (.5%)
Energy Services (.5%)
1,097,192 Electricidad Caracas............................................................ $ 912,124
-------------
Total common stocks
(cost: $124,906,919)....................................................................... 146,332,586
-------------
PREFERRED STOCKS AND OTHER (3.0%)
ARGENTINA (1.0%)
Multi-Industry (1.0%)
30,665 Compania de Inversiones en Telecommunications convertible preferred--7.0% (c)... 1,824,568
-------------
GERMANY (.8%)
Energy Services (.8%)
4,800 Veba Warrants (expiring 4/6/98) (b)............................................. 1,362,293
-------------
MEXICO (1.1%)
Financial Services (1.1%)
53,610 Nacional Financiera ADR--11.25%................................................. 1,849,545
-------------
UNITED KINGDOM (.1%)
Energy Services (.1%)
137,700 Hyder preferred................................................................. 208,075
-------------
Total preferred stocks and other
(cost: $4,024,557)......................................................................... 5,244,481
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (2.4%)
HONG KONG (.8%)
Finance (.8%)
$ 1,680,000 PIV Investment Finance.......................................... 4.50% 12/01/00 1,411,200
-------------
SWITZERLAND (1.0%)
Finance (1.0%)
1,235,000 CS Holdings Finance Convertible Bonds........................... 4.875% 11/19/02 1,790,750
-------------
UNITED STATES (.6%)
U.S. Government (.6%)
1,060,000 U.S. Treasury Note.............................................. 5.125% 04/30/98 1,088,319
-------------
Total long-term debt securities (cost: $4,160,546)................................. 4,290,269
-------------
SHORT-TERM SECURITIES (10.6%)
200,000 Federal Home Loan Bank.......................................... 5.240% 08/07/96 1,989,229
2,000,000 Federal Home Loan Mortgage Corporation.......................... 5.240% 08/16/96 1,986,609
1,560,000 Federal National Mortgage Association........................... 5.200% 08/23/96 1,548,057
4,020,000 Federal National Mortgage Association........................... 5.250% 07/15/96 4,011,793
2,000,000 Federal National Mortgage Association........................... 5.240% 08/12/96 1,987,773
1,505,000 Federal National Mortgage Association........................... 5.280% 07/18/96 1,501,248
3,785,000 Prime Value Fund, Inc.--Cash Investment Fund, current rate 5.040%.................. 5,576,000
-------------
Total short-term securities (cost: $18,600,708).................................... 18,600,708
-------------
Total investments in securities (cost: $151,692,730) (e)........................... $ 174,468,044
-------------
-------------
</TABLE>
Notes to Investments in Securities
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) PRIDES--Preferred Redeemed Increased Dividend Equity Securities are
structured as convertible preferred securities issued by a company.
Investors receive an enhanced yield but based upon a specific formula,
potential appreciation is limited. PRIDES pay dividends, have voting rights,
are noncallable for three years and upon maturity, convert into shares of
common stock.
-105-
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
Notes to Investments in Securities--continued
(d) Represents ownership in an illiquid 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
illiquid securities held at June 30, 1996 includes acquisition date and
cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
- -------------------------------------------------- --------- ------------
<S> <C> <C>
Qantas Airways Limited ADR 144A................... Various $ 1,350,928
Bohler-Uddeholm 144A.............................. Various 813,254
Va Technologie 144A............................... Various 1,016,589
Komercni Banka 144A............................... Various 1,270,428
Banque Nationale De Paris ADR 144A................ Various 2,720,363
Stadshypotek 144A................................. Various 531,940
------------
$ 7,703,502
------------
------------
</TABLE>
(e) At June 30, 1996 the cost of securities for federal income tax purposes was
$153,655,767. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 27,325,907
Gross unrealized depreciation..................... (6,513,630)
------------
Net unrealized appreciation....................... $ 20,812,877
------------
------------
</TABLE>
-106-
<PAGE>
SMALL COMPANY PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1996
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
COMMON STOCKS (81.3%)
CAPITAL GOODS (10.1%)
Machinery (10.1%)
50,700 AES China Generating Co Ltd (b)(c)................................................... $ 535,519
61,650 Blount International Incorporated.................................................... 1,941,975
73,900 Kaydon Corporation................................................................... 3,177,700
52,600 Millipore Corporation................................................................ 2,202,625
72,700 MSC Industrial Direct Co (b)......................................................... 2,344,575
95,542 United Waste Systems, Inc (b)........................................................ 3,081,229
--------------
13,283,623
--------------
CONSUMER GOODS AND SERVICES (35.9%)
Consumer Goods (5.5%)
67,300 Idexx Laboratories Inc (b)........................................................... 2,641,525
78,400 Medpartners (b)...................................................................... 1,636,600
43,234 Occusystems, Incorporated (b)........................................................ 1,615,871
55,833 Sunrise Assisted Living Incorporated (b)............................................. 1,339,992
--------------
7,233,988
--------------
Consumer Services (15.6%)
43,800 Boston Chicken Incorporated (b)...................................................... 1,423,500
50,600 Carmike Cinemas Inc (b).............................................................. 1,366,200
69,459 CUC International Inc (b)............................................................ 2,465,794
40,334 Extended Stay America (b)............................................................ 1,270,521
111,800 Gartner Group Incorporated (b)....................................................... 4,094,675
58,700 GTECH Holdings Corporation (b)....................................................... 1,738,987
51,700 Lone Star Steakhouse & Saloon, Inc (b)............................................... 1,951,675
44,902 Manpower............................................................................. 1,762,404
68,199 Red Roof Inns Incorporated (b)....................................................... 963,311
44,200 Sola International Inc (b)........................................................... 1,270,750
43,199 Sun International Hotels Ltd (b)..................................................... 2,095,152
--------------
20,402,969
--------------
Retail (10.3%)
104,200 Advanced Lighting Technologies, Incorporated (b)..................................... 1,823,500
8,100 Amerisource Health Corporation (b)................................................... 269,325
71,120 Borders Group Incorporated (b)....................................................... 2,293,620
111,000 Casey's General Stores Inc........................................................... 2,206,125
46,500 Eastbay Incorporated (b)............................................................. 697,500
60,200 Friedman's (b)....................................................................... 1,535,100
63,600 Global Directmail Corporation (b).................................................... 2,512,200
23,400 Kohl's Inc (b)....................................................................... 857,025
39,000 Orchard Supply Hardware (b).......................................................... 1,174,875
1,500 West Marine Incorporated (b)......................................................... 107,250
--------------
13,476,520
--------------
Consumer Cyclicals (4.5%)
29,900 Stant Corporation.................................................................... 343,850
102,300 Tommy Hilfiger Corporation (b)....................................................... 5,485,838
--------------
5,829,688
--------------
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- --------------
<C> <S> <C>
CREDIT SENSITIVE (9.5%)
Finance (7.3%)
72,800 Amerin (b)........................................................................... $ 1,947,400
26,500 MGIC Investment Corporation.......................................................... 1,487,313
35,900 Partnerre Ltd (c).................................................................... 1,072,512
99,000 T. Rowe Price Associates............................................................. 3,044,250
106,000 Roosevelt Financial Group, Inc....................................................... 2,040,500
--------------
9,591,975
--------------
Utilities (2.2%)
100,500 Panamsat Corporation (b)............................................................. 2,914,500
--------------
INTERMEDIATE GOODS AND SERVICES (7.0%)
Materials (3.0%)
29,126 Cambrex Corporation.................................................................. 1,489,067
111,300 Citation Corporation (b)............................................................. 1,335,600
44,370 McWhorter Technology Inc (b)......................................................... 787,567
6,000 Valspar Corporation.................................................................. 276,000
--------------
3,888,234
--------------
Transportation (4.0%)
26,500 Eagle USA Airfreight, Inc (b)........................................................ 980,500
61,900 Fritz Companies (b).................................................................. 1,996,275
77,000 Landstar System, Inc (b)............................................................. 2,233,000
--------------
5,209,775
--------------
TECHNOLOGY (18.8%)
48,300 Acxiom Corporation (b)............................................................... 1,648,238
19,300 Adtran Incorporated (b).............................................................. 1,367,888
41,075 Ansys Incorporated (b)............................................................... 539,096
48,100 Bisys Group Inc (b).................................................................. 1,815,775
24,500 C-Cube Microsystems Incorporated (b)................................................. 808,500
10,800 Cascade Communications Inc (b)....................................................... 734,400
12,600 Check Point Software Technologies Ltd (b)(c)......................................... 176,400
38,200 CKS Group Incorporated (b)........................................................... 1,231,950
97,700 Computron Software (b)............................................................... 476,287
123,702 Danka Business Systems (c)........................................................... 3,618,283
2,100 Dassault Systems (b)(c).............................................................. 48,300
109,400 Data Translation Incorporated (b).................................................... 1,791,425
20,732 Datastream Systems, Incorporated (b)................................................. 730,803
60,500 DSC Communications (b)............................................................... 1,822,563
27,680 Fore Systems Inc (b)................................................................. 999,940
38,100 Integrated Systems (b)............................................................... 1,526,381
33,200 J Ray McDermott Holdings Incorporated (b)............................................ 830,000
14,900 Macromedia Incorporated (b).......................................................... 325,937
96,800 Mercury Interactive Corp (b)......................................................... 1,331,000
17,600 Objective Systems Integrator (b)..................................................... 642,400
11,200 Sapient Corporation (b).............................................................. 473,200
37,200 Telephone and Data Systems, Inc...................................................... 1,674,000
--------------
24,612,766
--------------
Total common stocks
(cost: $86,843,287)......................................................................... 106,444,038
--------------
</TABLE>
See accompanying notes to investments in securities.
-107-
<PAGE>
SMALL COMPANY PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- --------------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (19.0%)
$ 935,000 U.S. Treasury Bill............................................... 5.05% 07/11/96 $ 933,545
3,280,000 U.S. Treasury Bills.............................................. 5.12%-5.13% 08/15/96 3,258,746
1,300,000 U.S. Treasury Bills.............................................. 5.19%-5.24% 09/19/96 1,284,834
2,005,000 American Home Products CP (d).................................... 5.46% 07/16/96 1,999,606
2,000,000 AT&T Corporation CP.............................................. 5.38% 07/09/96 1,996,712
2,910,000 Baltimore Gas & Electric CP...................................... 5.46% 07/24/96 2,898,693
1,000,000 Idaho Power Company CP........................................... 5.45% 07/15/96 997,459
1,755,000 Kimberly Clark CP................................................ 5.47% 07/29/96 1,746,885
2,005,000 Monsanto Company CP (d).......................................... 5.43% 07/12/96 2,000,805
3,015,000 PHH Corporation CP............................................... 5.44% 07/23/96 3,003,736
4,746,558 Temporary Investment Fund, Inc.--TempFund Portfolio, current rate 5.42%................. 4,746,558
--------------
Total short-term securities (cost: $24,872,882)......................................... 24,867,579
--------------
Total investments in securities (cost: $111,716,169) (e)................................ $ 131,311,617
--------------
--------------
</TABLE>
Notes to Investments in Securities
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held 3.3% of net assets in foreign securities at June 30,
1996.
(d) Commercial paper sold within terms of a private placement memorandum exempt
from registration under Section 4(2) of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"accredited investors." (See note 6 to the financial statements).
Information concerning the illiquid securities held at June 30, 1996, which
includes acquisition date and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
- -------------------------------------------------- --------- ------------
<S> <C> <C>
American Home Products............................ 06/13/96 $ 2,000,224
Monsanto Company.................................. 06/13/96 2,001,438
------------
$ 4,001,662
------------
------------
</TABLE>
(e) At June 30, 1996, the cost of securities for federal income tax purposes
was $111,735,947. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 22,840,543
Gross unrealized depreciation..................... (3,264,873)
------------
Net unrealized appreciation....................... $ 19,575,670
------------
------------
</TABLE>
-108-
<PAGE>
MATURING GOVERNMENT BOND 1998 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 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 (98.4%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (98.4%)
$ 266,000 Federal National Mortgage Association Strip (b).................. 7.065% 05/22/98 $ 236,413
356,000 Federal National Mortgage Association Strip (b).................. 7.110% 11/22/98 305,864
350,000 Federal National Mortgage Association Strip (b).................. 7.050% 05/22/99 290,409
615,000 Federal Home Loan Bank Strip (b)................................. 6.730% 08/25/98 537,528
590,000 Financial Corporation Strip (b).................................. 6.620% 05/30/99 488,732
500,000 Guaranteed Trust Certificates (b)................................ 6.570% 11/15/98 430,949
211,000 Guaranteed Trust Certificates (b)................................ 7.075% 11/15/98 181,861
900,000 Tennessee Valley Authority (b)................................... 6.720% 10/15/98 780,101
1,000,215 Treasury Receipt (b)............................................. 6.610% 05/15/99 833,758
1,045,000 U.S. Treasury Strip (b).......................................... 6.505% 11/15/98 903,464
120,000 U.S. Treasury Strip (b).......................................... 6.290% 11/15/98 103,723
----------
Total long-term debt securities (cost: $5,062,366).................................. 5,092,802
----------
SHORT-TERM SECURITIES (.8%)
40,383 Trust for Federal Securities--Federal Trust Fund, current rate 5.32%................ 40,383
----------
Total short-term securities (cost: $40,383)......................................... 40,383
----------
Total investments in securities (cost: $5,102,749) (c).............................. $5,133,185
----------
----------
</TABLE>
Notes to Investments in Securities
- ----------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(c) At June 30, 1996 the cost of securities for federal income tax purposes was
$5,102,749. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 30,436
Gross unrealized depreciation..................... --
---------
Net unrealized appreciation....................... $ 30,436
---------
---------
</TABLE>
-109-
<PAGE>
MATURING GOVERNMENT BOND 2002 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 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 (96.0%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (96.0%)
$ 525,000 Federal National Mortgage Association Strip (b).................. 7.600% 02/01/02 $ 361,514
500,000 Financial Corporation Strip (b).................................. 7.400% 06/27/02 334,040
1,000,000 Government Trust Certificates (b)................................ 7.300% 05/15/02 676,829
1,150,000 Tennessee Valley Authority Strips (b)............................ 7.400% 04/15/03 728,041
1,003,750 Treasury Receipt (b)............................................. 7.100% 08/15/02 669,591
760,000 U.S. Treasury Strip (b).......................................... 6.970% 08/15/02 510,955
----------
Total long-term debt securities (cost: $3,211,092).................................. 3,280,970
----------
SHORT-TERM SECURITIES (2.1%)
71,808 Trust for Federal Securities--Federal Trust Fund, current rate 5.32%................ 71,807
----------
Total short-term securities (cost: $71,807)......................................... 71,807
----------
Total investments in securities (cost: $3,282,899) (c).............................. $3,352,777
----------
----------
</TABLE>
Notes to Investments in Securities
- ----------------------
(a) Securites are valued by procedures described in note 2 to the financial
statements.
(b) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(c) At June 30, 1996 the cost of securities for federal income tax purposes was
$3,282,899. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 69,878
Gross unrealized depreciation..................... --
---------
Net unrealized appreciation....................... $ 69,878
---------
---------
</TABLE>
-110-
<PAGE>
MATURING GOVERNMENT BOND 2006 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 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 (95.3%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (95.3%)
$ 810,000 Federal National Mortgage Association Strip (b).................. 7.620% 08/01/05 $ 428,570
921,000 Financial Corporation Strip (b).................................. 7.350% 09/07/07 412,303
553,000 Government Trust Certificates (b)................................ 7.440% 11/15/05 288,876
1,000,000 Resolution Funding Corporation Strip (b)......................... 7.460% 07/15/07 465,089
1,000,020 Treasury Receipt (b)............................................. 7.460% 02/15/07 477,218
850,000 U.S. Treasury Strip (b).......................................... 7.355% 11/15/06 420,571
----------
Total long-term debt securities (cost: $2,406,349).................................. 2,492,627
----------
SHORT-TERM SECURITIES (2.5%)
66,022 Trust for Federal Securities--Federal Trust Fund, current rate 5.32%................ 66,022
----------
Total short-term securities (cost: $66,022)......................................... 66,022
----------
Total investments in securities (cost: $2,472,371) (c).............................. $2,558,649
----------
----------
</TABLE>
Notes to Investments in Securities
- ----------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(c) At June 30, 1996 the cost of securities for federal income tax purposes was
$2,472,371. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 86,278
Gross unrealized depreciation..................... --
---------
Net unrealized appreciation....................... $ 86,278
---------
---------
</TABLE>
-111-
<PAGE>
MATURING GOVERNMENT BOND 2010 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 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 (92.4%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (92.4%)
$ 500,000 Federal National Mortgage Association Strip (b).................. 7.700% 02/12/10 $ 186,744
500,000 Financial Corporation Strip (b).................................. 7.700% 06/06/11 166,000
945,000 Financial Corporation Strip (b).................................. 7.920% 08/08/11 309,458
132,000 Guaranteed Trust Certificates (b)................................ 7.660% 05/15/10 48,886
515,000 State of Israel, Zero Coupon (b)................................. 8.265% 03/15/10 194,984
350,000 Resolution Funding Corporation (b)............................... 7.590% 04/15/11 122,661
1,075,000 U.S. Treasury Strip (b).......................................... 7.490% 08/15/11 374,249
700,000 U.S. Treasury Strip (b).......................................... 7.045% 11/15/09 276,990
----------
Total long-term debt securities (cost: $1,666,995).................................... 1,679,972
----------
SHORT-TERM SECURITIES (5.1%)
53,611 Trust for Federal Securities--Federal Trust Fund, current rate 5.32%.................. 53,611
40,000 U.S. Treasury Bill............................................... 5.190% 09/19/96 39,533
----------
Total short-term securities (cost: $93,156)........................................... 93,144
----------
Total investments in securities (cost: $1,760,151) (c)................................ $1,773,116
----------
----------
</TABLE>
Notes to Investments in Securities
- ----------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(c) At June 30, 1996 the cost of securities for federal income tax purposes was
$1,760,151. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 63,799
Gross unrealized depreciation..................... (50,834)
---------
Net unrealized appreciation....................... $ 12,965
---------
---------
</TABLE>
-112-
<PAGE>
VALUE STOCK PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1996
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- -------------
<C> <S> <C>
COMMON STOCKS (91.8%)
CAPITAL GOODS (11.8%)
Machinery (11.8%)
32,300 ITT Hartford Group.................................................................... $ 1,719,975
71,001 ITT Industries........................................................................ 1,783,900
49,600 Parker Hannifin Corporation........................................................... 2,101,800
56,599 United Dominion Industries............................................................ 1,301,777
-------------
6,907,452
-------------
CONSUMER GOODS AND SERVICES (24.1%)
Consumer Goods (2.1%)
24,500 Harcourt General, Inc................................................................. 1,225,000
-------------
Consumer Services (3.7%)
50,900 Bowne & Company, Incorporated......................................................... 1,049,813
15,700 Knight-Ridder, Inc.................................................................... 1,138,250
-------------
2,188,063
-------------
Food (1.9%)
28,200 Kroger Company (b).................................................................... 1,113,900
-------------
Retail (11.8%)
40,899 American Stores Company............................................................... 1,687,084
80,400 Federated Department Stores (b)....................................................... 2,743,650
61,700 Melville Corporation.................................................................. 2,498,850
-------------
6,929,584
-------------
Consumer Cyclicals (4.6%)
44,800 Ford Motor............................................................................ 1,450,400
28,500 Owens Corning......................................................................... 1,225,500
-------------
2,675,900
-------------
CREDIT SENSITIVE ( 19.2%)
Finance (15.8%)
27,300 American Express Company.............................................................. 1,218,263
25,099 Beneficial Corporation................................................................ 1,408,681
61,768 Everest Reinsurance Holdings, Incorporated............................................ 1,598,247
40,400 First Chicago Corporation............................................................. 1,580,650
55,800 PNC Bank Corp......................................................................... 1,660,050
63,200 TIG Holdings Inc...................................................................... 1,832,800
-------------
9,298,691
-------------
Utilities (3.4%)
68,100 Central & Southwest Corporation....................................................... 1,974,900
-------------
INTERMEDIATE GOODS AND SERVICES (29.2%)
Energy (18.6%)
34,200 Amerada Hess Corporation.............................................................. 1,833,975
<CAPTION>
MARKET
SHARES VALUE(A)
- --------- -------------
<C> <S> <C>
INTERMEDIATE GOODS AND SERVICES--CONTINUED
46,608 Columbia Gas System, Inc.............................................................. $ 2,429,442
84,776 El Paso Natural Gas Company........................................................... 3,263,876
44,600 Unocal Corporation.................................................................... 1,505,250
33,700 USX--Marathon Group................................................................... 678,213
55,700 YPF Sociedad Anonima (c).............................................................. 1,253,250
-------------
10,964,006
-------------
Materials (6.6%)
44,500 Century Aluminum Company (b).......................................................... 700,875
24,900 Citation Corporation (b).............................................................. 298,800
4,900 Cytec Industries Inc (b).............................................................. 418,950
9,335 Fort Howard Corporation (b)........................................................... 185,533
17,738 Kimberly-Clark Corporation............................................................ 1,370,260
76,999 Sterling Chemicals (b)................................................................ 895,113
-------------
3,869,531
-------------
Transportation (4.0%)
15,400 Burlington Northern Santa Fe.......................................................... 1,245,475
41,300 Teekay Shipping Corporation (c)....................................................... 1,089,287
-------------
2,334,762
-------------
TECHNOLOGY (7.5%)
15,200 International Business Machines Corporation........................................... 1,504,800
64,600 Rohr Incorporated (b)................................................................. 1,348,525
28,800 Xerox Corporation..................................................................... 1,540,800
-------------
4,394,125
-------------
Total common stocks
(cost: $48,968,687).......................................................................... 53,875,914
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (5.1%)
$1,183,322 Trust for Federal Securities--Federal Trust Fund, current rate 5.32%.................. 1,183,322
1,660,000 U.S. Treasury Bills 5.10%-5.18% 08/15/96.............................................. 1,649,243
150,000 Toys R Us, Inc. CP 5.40% 07/08/96..................................................... 149,776
-------------
Total short-term securities
(cost: $2,982,478)........................................................................... 2,982,341
-------------
Total investments in securities
(cost: $51,951,165) (d)...................................................................... $ 56,858,255
-------------
-------------
</TABLE>
Notes to Investments in Securities
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The portfolio held 4.0% of net assets in foreign securities as of June 30,
1996.
(d) At June 30, 1996 the cost of securities for federal income tax purposes was
$51,951,165. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 5,139,200
Gross unrealized depreciation..................... (232,110)
-----------
Net unrealized appreciation....................... $ 4,907,090
-----------
-----------
</TABLE>
-113-
<PAGE>
MIMLIC SERIES FUND, INC.
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
MONEY ASSET
GROWTH BOND MARKET ALLOCATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS
Investments in securities, at
market value--see accompanying
schedules for detailed listing
(identified cost: $184,042,650;
$109,965,745; $42,884,492;
$343,308,435; $70,393,897;
$120,363,428; $144,830,949;
$151,692,730; $111,716,169;
$5,102,749; $3,282,899;
$2,472,371; $1,760,151 and
$51,951,165, respectively)...... $ 230,105,085 $ 107,623,269 $ 42,884,492 $ 374,460,938
Cash in bank on demand deposit..... 4,215 -- 921 --
Receivable for Fund shares sold.... 147,721 79,759 255,713 433,732
Receivable for investment
securities sold................. 1,233,413 1,039,460 -- 6,564,624
Dividends and accrued interest
receivable...................... 307,116 1,428,719 6,718 2,137,650
Receivable for refundable foreign
income taxes withheld........... -- -- -- --
-------------- ------------- ------------- -------------
Total assets................. 231,797,550 110,171,207 43,147,844 383,596,944
-------------- ------------- ------------- -------------
LIABILITIES
Payable to Minnesota Mutual........ 100,559 46,763 21,872 168,322
Bank overdraft..................... -- 145,630 -- 281,712
Dividends payable to
shareholders.................... -- -- 11,164 --
Payable for Fund shares
repurchased..................... 58,297 46,365 111,272 88,349
Payable for investment securities
purchased....................... 3,453,402 30,420 -- 2,585,812
-------------- ------------- ------------- -------------
Total liabilities............ 3,612,258 269,178 144,308 3,124,195
-------------- ------------- ------------- -------------
Net assets applicable to
outstanding capital stock....... $ 228,185,292 $ 109,902,029 $ 43,003,536 $ 380,472,749
-------------- ------------- ------------- -------------
-------------- ------------- ------------- -------------
Represented by:
Capital stock--authorized
10,000,000,000 shares of $.01
par value; outstanding;
103,016,022; 90,192,834;
43,003,536; 216,881,681;
62,594,684; 74,694,176;
82,603,475; 121,287,078;
77,531,649; 4,978,600;
3,249,967; 2,415,027;
1,677,641 and 39,904,627
shares, respectively.......... $ 1,030,160 $ 901,928 $ 430,035 $ 2,168,817
Additional paid-in capital..... 170,168,510 107,716,432 42,573,501 320,815,256
Undistributed net investment
income (loss)................. 849,894 3,247,716 -- 5,219,574
Accumulated net realized gains
(losses) from investments and
foreign currency
transactions.................. 10,074,293 378,429 -- 21,116,599
Unrealized appreciation
(depreciation) of investments
and translation of assets and
liabilities in foreign
currencies.................... 46,062,435 (2,342,476) -- 31,152,503
-------------- ------------- ------------- -------------
Total--representing net
assets applicable to
outstanding capital stock... $ 228,185,292 $ 109,902,029 $ 43,003,536 $ 380,472,749
-------------- ------------- ------------- -------------
-------------- ------------- ------------- -------------
Net asset value per share of
outstanding capital stock....... $ 2.215 $ 1.219 $ 1.000 $ 1.754
-------------- ------------- ------------- -------------
-------------- ------------- ------------- -------------
</TABLE>
See accompanying notes to financial statements.
-114-
<PAGE>
<TABLE>
<CAPTION>
MORTGAGE CAPITAL INTERNATIONAL SMALL
SECURITIES INDEX 500 APPRECIATION STOCK COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ------------- ------------- ------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at
market value--see accompanying
schedules for detailed listing
(identified cost: $184,042,650;
$109,965,745; $42,884,492;
$343,308,435; $70,393,897;
$120,363,428; $144,830,949;
$151,692,730; $111,716,169;
$5,102,749; $3,282,899;
$2,472,371; $1,760,151 and
$51,951,165, respectively)........ $ 70,156,881 $163,465,583 $191,725,591 $174,468,044 $131,311,617
Cash in bank on demand deposit..... -- 7,602 19,330 25,600 20,182
Receivable for Fund shares sold.... 30,283 352,828 185,069 157,742 208,735
Receivable for investment
securities sold................... 13,821 480,688 1,009,781 -- 659,244
Dividends and accrued interest
receivable........................ 586,011 242,055 94,614 821,510 57,313
Receivable for refundable foreign
income taxes withheld............. -- -- -- 205,229 --
------------- ------------ ------------- ------------- ------------
Total assets................. 70,786,996 164,548,756 193,034,385 175,678,125 132,257,091
------------- ------------ ------------- ------------- ------------
LIABILITIES
Payable to Minnesota Mutual........ 35,442 55,837 142,234 105,494 85,457
Bank overdraft..................... 213,142 -- -- -- --
Dividends payable to
shareholders...................... -- -- -- -- --
Payable for Fund shares
repurchased....................... 35,014 42,146 75,092 47,474 36,073
Payable for investment securities
purchased......................... 50,700 2,170,072 -- 2,336 1,152,601
------------- ------------ ------------- ------------- ------------
Total liabilities............ 334,298 2,268,055 217,326 155,304 1,274,131
------------- ------------ ------------- ------------- ------------
Net assets applicable to
outstanding capital stock......... $ 70,452,698 $162,280,701 $192,817,059 $175,522,821 $130,982,960
------------- ------------ ------------- ------------- ------------
------------- ------------ ------------- ------------- ------------
Represented by:
Capital stock--authorized
10,000,000,000 shares of $.01
par value; outstanding;
103,016,022; 90,192,834;
43,003,536; 216,881,681;
62,594,684; 74,694,176;
82,603,475; 121,287,078;
77,531,649; 4,978,600;
3,249,967; 2,415,027;
1,677,641 and 39,904,627
shares, respectively.......... $ 625,947 $ 746,942 $ 826,035 $ 1,212,871 $ 775,316
Additional paid-in capital..... 70,702,215 115,184,877 138,309,239 149,781,184 101,402,311
Undistributed net investment
income (loss)................. 2,403,791 1,284,213 (74,419) 2,404,361 106,773
Accumulated net realized gains
(losses) from investments and
foreign currency
transactions.................. (3,042,239) 1,962,514 6,861,562 (636,935) 9,103,112
Unrealized appreciation
(depreciation) of investments
and translation of assets and
liabilities in foreign
currencies.................... (237,016) 43,102,155 46,894,642 22,761,340 19,595,448
------------- ------------ ------------- ------------- ------------
Total--representing net
assets applicable to
outstanding capital stock... $ 70,452,698 $162,280,701 $192,817,059 $175,522,821 $130,982,960
------------- ------------ ------------- ------------- ------------
------------- ------------ ------------- ------------- ------------
Net asset value per share of
outstanding capital stock......... $ 1.126 $ 2.173 $ 2.334 $ 1.447 $ 1.689
------------- ------------ ------------- ------------- ------------
------------- ------------ ------------- ------------- ------------
<CAPTION>
MATURING MATURING MATURING MATURING
GOVERNMENT GOVERNMENT GOVERNMENT GOVERNMENT VALUE
BOND 1998 BOND 2002 BOND 2006 BOND 2010 STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ------------ ------------ -------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at
market value--see accompanying
schedules for detailed listing
(identified cost: $184,042,650;
$109,965,745; $42,884,492;
$343,308,435; $70,393,897;
$120,363,428; $144,830,949;
$151,692,730; $111,716,169;
$5,102,749; $3,282,899;
$2,472,371; $1,760,151 and
$51,951,165, respectively)........ $5,133,185 $ 3,352,777 $ 2,558,649 $ 1,773,116 $ 56,858,255
Cash in bank on demand deposit..... 66 20,793 8,548 1,589 2,970
Receivable for Fund shares sold.... 44,832 44,994 47,753 44,707 322,618
Receivable for investment
securities sold................... -- -- -- -- 1,477,842
Dividends and accrued interest
receivable........................ 566 545 300 235 92,907
Receivable for refundable foreign
income taxes withheld............. -- -- -- -- --
----------- ------------ ------------ ------------ -------------
Total assets................. 5,178,649 3,419,109 2,615,250 1,819,647 58,754,592
----------- ------------ ------------ ------------ -------------
LIABILITIES
Payable to Minnesota Mutual........ 835 539 811 548 38,317
Bank overdraft..................... -- -- -- -- --
Dividends payable to
shareholders...................... -- -- -- -- --
Payable for Fund shares
repurchased....................... 197 159 121 79 14,935
Payable for investment securities
purchased......................... -- -- -- -- --
----------- ------------ ------------ ------------ -------------
Total liabilities............ 1,032 698 932 627 53,252
----------- ------------ ------------ ------------ -------------
Net assets applicable to
outstanding capital stock......... $5,177,617 $ 3,418,411 $ 2,614,318 $ 1,819,020 $ 58,701,340
----------- ------------ ------------ ------------ -------------
----------- ------------ ------------ ------------ -------------
Represented by:
Capital stock--authorized
10,000,000,000 shares of $.01
par value; outstanding;
103,016,022; 90,192,834;
43,003,536; 216,881,681;
62,594,684; 74,694,176;
82,603,475; 121,287,078;
77,531,649; 4,978,600;
3,249,967; 2,415,027;
1,677,641 and 39,904,627
shares, respectively.......... $ 49,786 $ 32,500 $ 24,150 $ 16,776 $ 399,046
Additional paid-in capital..... 4,940,727 3,219,015 2,433,097 1,732,727 49,746,663
Undistributed net investment
income (loss)................. 154,963 99,989 79,239 48,086 248,330
Accumulated net realized gains
(losses) from investments and
foreign currency
transactions.................. 1,705 (2,971) (8,446) 8,466 3,400,211
Unrealized appreciation
(depreciation) of investments
and translation of assets and
liabilities in foreign
currencies.................... 30,436 69,878 86,278 12,965 4,907,090
----------- ------------ ------------ ------------ -------------
Total--representing net
assets applicable to
outstanding capital stock... $5,177,617 $ 3,418,411 $ 2,614,318 $ 1,819,020 $ 58,701,340
----------- ------------ ------------ ------------ -------------
----------- ------------ ------------ ------------ -------------
Net asset value per share of
outstanding capital stock......... $ 1.040 $ 1.052 $ 1.083 $ 1.084 $ 1.471
----------- ------------ ------------ ------------ -------------
----------- ------------ ------------ ------------ -------------
</TABLE>
-115-
<PAGE>
MIMLIC SERIES FUND, INC.
STATEMENTS OF OPERATIONS
PERIOD FROM JANUARY 1, 1996 TO JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
MONEY ASSET
GROWTH BOND MARKET ALLOCATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ---------- ------------
<S> <C> <C> <C> <C>
Investment income:
Interest....................... $ 159,918 $ 3,538,763 $1,074,696 $ 5,152,991
Dividends (net of foreign
withholding taxes of $457,195
for International
Stock Portfolio).............. 1,274,709 -- -- 1,049,409
------------ ----------- ---------- ------------
Total investment income.... 1,434,627 3,538,763 1,074,696 6,202,400
------------ ----------- ---------- ------------
Expenses (note 5):
Investment advisory fee........ 537,062 264,420 101,304 907,865
Custodian fees................. 9,222 2,039 3,095 16,673
Administrative service fee..... 10,800 10,800 10,800 10,800
Auditing and accounting
services...................... 7,875 3,525 2,375 14,625
Legal fees..................... 500 500 500 500
Registration fees.............. 9 9 9 9
Printing and shareholder
reports....................... 15,944 7,827 2,830 27,169
Directors' fees................ 1,682 851 366 2,890
Insurance...................... 1,639 1,076 515 2,294
------------ ----------- ---------- ------------
Total expenses............. 584,733 291,047 121,794 982,825
Less fees and expenses waived
or absorbed by Minnesota
Mutual........................ -- -- -- --
------------ ----------- ---------- ------------
Total net expenses......... 584,733 291,047 121,794 982,825
------------ ----------- ---------- ------------
Investment income
(loss)--net............... 849,894 3,247,716 952,902 5,219,575
------------ ----------- ---------- ------------
Realized and unrealized gains
(losses) on investments and
foreign currencies:
Net realized gains (losses)
from:
Investments (note 3)....... 10,217,228 437,303 -- 21,222,980
Foreign currency
transactions.............. -- -- -- --
Net change in unrealized
appreciation or depreciation
on:
Investments................ 10,808,875 (5,915,614) -- (5,740,973)
Translation of assets and
liabilities in foreign
currencies................ -- -- -- --
------------ ----------- ---------- ------------
Net gains (losses) on
investments............... 21,026,103 (5,478,311) -- 15,482,007
------------ ----------- ---------- ------------
Net increase (decrease) in net
assets resulting from
operations...................... $ 21,875,997 $(2,230,595) $ 952,902 $ 20,701,582
------------ ----------- ---------- ------------
------------ ----------- ---------- ------------
</TABLE>
See accompanying notes to financial statements.
-116-
<PAGE>
<TABLE>
<CAPTION>
MATURING
MORTGAGE CAPITAL INTERNATIONAL SMALL GOVERNMENT
SECURITIES INDEX 500 APPRECIATION STOCK COMPANY BOND 1998
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ------------ ------------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Investment income:
Interest....................... $ 2,605,817 $ 26,133 $ 184,591 $ 570,593 $ 450,817 $160,019
Dividends (net of foreign
withholding taxes of $457,195
for International
Stock Portfolio).............. -- 1,573,422 476,225 2,853,533 119,065 --
----------- ------------ ------------ ------------- ----------- ----------
Total investment income.... 2,605,817 1,599,555 660,816 3,424,126 569,882 160,019
----------- ------------ ------------ ------------- ----------- ----------
Expenses (note 5):
Investment advisory fee........ 175,933 281,774 668,108 776,132 430,223 1,300
Custodian fees................. 3,529 6,622 5,089 125,891 10,384 1,746
Administrative service fee..... 10,800 10,800 10,800 10,800 10,800 10,800
Auditing and accounting
services...................... 4,125 4,525 6,125 92,673 2,375 1,875
Legal fees..................... 500 500 500 500 500 500
Registration fees.............. 9 9 71 13 9 9
Printing and shareholder
reports....................... 5,617 9,029 41,737 11,207 7,057 496
Directors' fees................ 595 977 1,420 1,227 820 64
Insurance...................... 918 1,103 1,385 1,321 941 233
----------- ------------ ------------ ------------- ----------- ----------
Total expenses............. 202,026 315,339 735,235 1,019,764 463,109 17,023
Less fees and expenses waived
or absorbed by Minnesota
Mutual........................ -- -- -- -- -- (11,967)
----------- ------------ ------------ ------------- ----------- ----------
Total net expenses......... 202,026 315,339 735,235 1,019,764 463,109 5,056
----------- ------------ ------------ ------------- ----------- ----------
Investment income
(loss)--net............... 2,403,791 1,284,216 (74,419) 2,404,362 106,773 154,963
----------- ------------ ------------ ------------- ----------- ----------
Realized and unrealized gains
(losses) on investments and
foreign currencies:
Net realized gains (losses)
from:
Investments (note 3)....... 248,260 2,135,056 6,875,499 1,378,283 9,104,860 1,705
Foreign currency
transactions.............. -- -- -- (52,205) -- --
Net change in unrealized
appreciation or depreciation
on:
Investments................ (2,790,069) 9,565,315 11,740,411 9,072,793 (787,798) (143,110)
Translation of assets and
liabilities in foreign
currencies................ -- -- -- (8,650) -- --
----------- ------------ ------------ ------------- ----------- ----------
Net gains (losses) on
investments............... (2,541,809) 11,700,371 18,615,910 10,390,221 8,317,062 (141,405)
----------- ------------ ------------ ------------- ----------- ----------
Net increase (decrease) in net
assets resulting from
operations........................ $ (138,018) $ 12,984,587 $18,541,491 $12,794,583 $ 8,423,835 $ 13,558
----------- ------------ ------------ ------------- ----------- ----------
----------- ------------ ------------ ------------- ----------- ----------
<CAPTION>
MATURING MATURING MATURING
GOVERNMENT GOVERNMENT GOVERNMENT VALUE
BOND 2002 BOND 2006 BOND 2010 STOCK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Investment income:
Interest....................... $103,078 $ 84,212 $ 51,145 $ 79,800
Dividends (net of foreign
withholding taxes of $457,195
for International
Stock Portfolio).............. -- -- -- 355,771
---------- ---------- ---------- ----------
Total investment income.... 103,078 84,212 51,145 435,571
---------- ---------- ---------- ----------
Expenses (note 5):
Investment advisory fee........ 806 3,140 1,939 168,262
Custodian fees................. 2,337 2,051 2,596 3,099
Administrative service fee..... 10,800 10,800 10,800 10,800
Auditing and accounting
services...................... 1,875 1,875 2,375 1,875
Legal fees..................... 500 500 500 500
Registration fees.............. 9 9 9 9
Printing and shareholder
reports....................... 260 206 118 2,030
Directors' fees................ 29 23 15 259
Insurance...................... 229 183 179 407
---------- ---------- ---------- ----------
Total expenses............. 16,845 18,787 18,531 187,241
Less fees and expenses waived
or absorbed by Minnesota
Mutual........................ (13,756) (13,814) (15,472) --
---------- ---------- ---------- ----------
Total net expenses......... 3,089 4,973 3,059 187,241
---------- ---------- ---------- ----------
Investment income
(loss)--net............... 99,989 79,239 48,086 248,330
---------- ---------- ---------- ----------
Realized and unrealized gains
(losses) on investments and
foreign currencies:
Net realized gains (losses)
from:
Investments (note 3)....... -- (8,446) 23,831 3,420,946
Foreign currency
transactions.............. -- -- -- --
Net change in unrealized
appreciation or depreciation
on:
Investments................ (208,153) (270,167) (236,403) 1,729,289
Translation of assets and
liabilities in foreign
currencies................ -- -- -- --
---------- ---------- ---------- ----------
Net gains (losses) on
investments............... (208,153) (278,613) (212,572) 5,150,235
---------- ---------- ---------- ----------
Net increase (decrease) in net
assets resulting from
operations........................ $(108,164) $(199,374) $(164,486) $5,398,565
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
</TABLE>
-117-
<PAGE>
MIMLIC SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS--CONTINUED
PERIOD FROM JANUARY 1, 1996 TO JUNE 30, 1996 AND YEAR ENDED DECEMBER 31, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
MATURING MATURING MATURING MATURING
GOVERNMENT BOND GOVERNMENT BOND GOVERNMENT BOND GOVERNMENT BOND
1998 PORTFOLIO 2002 PORTFOLIO 2006 PORTFOLIO 2010 PORTFOLIO
---------------------- ---------------------- ---------------------- ----------------------
1996 1995 1996 1995 1996 1995 1996 1995
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Operations:
Investment income--net...... $ 154,963 $ 271,760 $ 99,989 $ 187,782 $ 79,239 $ 143,024 $ 48,086 $ 76,072
Net realized gains (losses)
on investments............. 1,705 1,067 -- 8,323 (8,446) 2,190 23,831 (2,181)
Net change in unrealized
appreciation or
depreciation of
investments................ (143,110) 359,251 (208,153) 446,613 (270,167) 504,542 (236,403) 334,118
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Net increase (decrease) in
net assets resulting from
operations............... 13,558 632,078 (108,164) 642,718 (199,374) 649,756 (164,486) 408,009
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Distributions to shareholders
from:
Investment income--net...... (3,760) (269,178) -- (189,044) (1,524) (142,792) (1,072) (75,785)
Tax return of capital....... -- -- -- (6,040) -- -- -- --
Net realized gains.......... -- (1,067) -- -- (2,190) -- -- --
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Total distributions....... (3,760) (270,245) -- (195,084) (3,714) (142,792) (1,072) (75,785)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Capital share transactions
(note 5):
Proceeds from sales......... 636,351 2,803,879 601,180 862,286 351,126 539,818 885,347 1,121,319
Shares issued as a result of
reinvested distributions... 3,760 270,245 -- 195,085 3,714 142,792 1,072 75,785
Payments for redemption of
shares..................... (529,145) (1,780,820) (124,031) (1,030,858) (106,986) (479,630) (285,447) (1,216,768)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Increase (decrease) in net
assets from capital shares
transactions............... 110,966 1,293,304 477,149 26,513 247,854 202,980 600,972 (19,664)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Total increase in net
assets................... 120,764 1,655,137 368,985 474,147 44,766 709,944 435,414 312,560
Net assets at beginning of
period..................... 5,056,853 3,401,716 3,049,426 2,575,279 2,569,552 1,859,608 1,383,606 1,071,046
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Net assets at end of period
(including undistributed
net investment income of
$154,963 and $3,760 for
Maturing Government Bond
1998, $99,989 and $0 for
Maturing Government Bond
2002, $79,239 and $1,524
for Maturing Government
Bond 2006 $48,086 and
$1,072 for Maturing
Government Bond 2010 and
$248,330 and $3,814 for
Value Stock,
respectively............... $5,177,617 $5,056,853 $3,418,411 $3,049,426 $2,614,318 $2,569,552 $1,819,020 $1,383,606
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<CAPTION>
VALUE STOCK
PORTFOLIO
------------------------
1996 1995
----------- -----------
<S> <C> <C>
Operations:
Investment income--net...... $ 248,330 $ 235,814
Net realized gains (losses)
on investments............. 3,420,946 1,761,136
Net change in unrealized
appreciation or
depreciation of
investments................ 1,729,289 3,206,550
----------- -----------
Net increase (decrease) in
net assets resulting from
operations............... 5,398,565 5,203,500
----------- -----------
Distributions to shareholders
from:
Investment income--net...... (3,814) (233,111)
Tax return of capital....... -- --
Net realized gains.......... (533,610) (1,350,762)
----------- -----------
Total distributions....... (537,424) (1,583,873)
----------- -----------
Capital share transactions
(note 5):
Proceeds from sales......... 25,878,911 20,708,752
Shares issued as a result of
reinvested distributions... 537,424 1,583,873
Payments for redemption of
shares..................... (4,401,170) (2,858,057)
----------- -----------
Increase (decrease) in net
assets from capital shares
transactions............... 22,015,165 19,434,568
----------- -----------
Total increase in net
assets................... 26,876,306 23,054,195
Net assets at beginning of
period..................... 31,825,034 8,770,839
----------- -----------
Net assets at end of period
(including undistributed
net investment income of
$154,963 and $3,760 for
Maturing Government Bond
1998, $99,989 and $0 for
Maturing Government Bond
2002, $79,239 and $1,524
for Maturing Government
Bond 2006 $48,086 and
$1,072 for Maturing
Government Bond 2010 and
$248,330 and $3,814 for
Value Stock,
respectively............... $58,701,340 $31,825,034
----------- -----------
----------- -----------
</TABLE>
See accompanying notes to financial statements.
-118-
<PAGE>
MIMLIC SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1996
(UNAUDITED)
(1) ORGANIZATION
MIMLIC Series Fund, Inc. (the Fund) is registered under the Investment
Company Act of 1940 (as amended) as a diversified, open-end management
investment company with a series of fourteen portfolios (Growth, Bond, Money
Market, Asset Allocation, Mortgage Securities, Index 500, Capital Appreciation,
International Stock, Small Company, Maturing Government Bond 1998, Maturing
Government Bond 2002, Maturing Government Bond 2006, Maturing Government Bond
2010 and Value Stock). The Fund accounts for the assets, liabilities and
operations of each portfolio separately. Shares of the Fund will not be offered
directly to the public, but sold only to The Minnesota Mutual Life Insurance
Company's (Minnesota Mutual) separate accounts in connection with Minnesota
Mutual variable contracts and policies.
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The significant accounting policies followed by the Fund are 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 liablities 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 U.S. or foreign securities 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, with the exception of
Money Market and International Stock, are valued at market. For International
Stock, short-term securities with maturities of less than 60 days when acquired,
or which subsequently are within 60 days of maturity, are valued at amortized
cost which approximates market value. Pursuant to Rule 2a-7 of the Investment
Company Act of 1940 (as amended), all securities in Money Market are valued at
amortized cost, which approximates market value, in order to maintain a constant
net asset value of $1 per share.
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.
FOREIGN CURRENCY TRANSLATIONS AND FORWARD FOREIGN CURRENCY CONTRACTS
Securities and other assets and liabilities denominated in foreign
currencies are translated daily into U.S. dollars at the closing rate of
exchange. Foreign currency amounts related to the purchase or sale of
securities, income and expenses are translated at the exchange rate on the
transaction date. The Fund does not isolate that portion of the results of
operations resulting from changes in foreign exchange rates on investments from
the fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with net realized and unrealized gains or losses from
investments.
Net realized foreign exchange gains or losses arise from sales and
maturities of short-term securities, sales of foreign currencies, currency gains
or losses realized between trade and settlement dates on security transactions,
the difference between the
-119-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED)
amounts of dividends, interest and foreign withholding taxes recorded on the
Fund's books and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes in the
value of assets and liabilities, other than investments in securities, resulting
from changes in the exchange rate.
International Stock also may enter into forward foreign currency exchange
contracts for operational purposes and to protect against adverse exchange rate
fluctuations. The net U.S. dollar value of foreign currency underlying all
contractual commitments held by International Stock and the resulting unrealized
appreciation or depreciation are determined using foreign currency exchange
rates from an independent pricing service. International Stock is subject to the
credit risk that the other party will not complete the obligations of the
contract. At June 30, 1996, there were no outstanding contracts.
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.
Each portfolio within the Fund is treated as a separate entity for federal
income tax purposes. The Fund's policy is to make the required minimum
distributions prior to December 31, in order to avoid Federal excise tax.
For federal income tax purposes, the following Portfolios had capital loss
carryovers at June 30, 1996, which, if not offset by subsequent capital gains,
will expire December 31, 2004 through 2005. It is unlikely the board of
directors will authorize a distribution of any net realized capital gains until
the available capital loss carryovers have been offset or expired:
<TABLE>
<S> <C>
Mortgage Securities................................................. $3,478,000
Maturing Government Bond 2002....................................... 3,000
</TABLE>
Net investment income (loss) 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 or 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 (loss) or realized gains (losses) were recorded by the Fund.
DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders from net investment income for Money Market
are declared and reinvested daily in additional shares of capital stock. For
portfolios other Money Market, distributions from net investment income and
realized gains, if any, will generally be declared and reinvested in additional
shares on an annual basis.
-120-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(3) INVESTMENT SECURITY TRANSACTIONS
For the period ended June 30, 1996, the cost of purchases and proceeds from
sales of investment securities aggregated $110,457,314 and $97,019,000
respectively, for Money Market. For the other portfolios, the cost of purchases
and proceeds from sales of investment securities, other than temporary
investments in short-term securities, for the period ended June 30, 1996 were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ -------------
<S> <C> <C>
Growth............................................. $ 54,846,587 $ 55,755,304
Bond............................................... 90,494,772 78,235,394
Asset Allocation................................... 225,978,251 220,576,130
Mortgage Securities................................ 26,960,340 23,483,940
Index 500.......................................... 40,820,842 13,590,614
Capital Appreciation............................... 61,669,036 57,645,660
International Stock................................ 26,479,168 4,216,777
Small Company...................................... 55,270,405 42,060,707
Maturing Government Bond 1998...................... 266,519 69,520
Maturing Government Bond 2002...................... 435,971 --
Maturing Government Bond 2006...................... 435,666 147,984
Maturing Government Bond 2010...................... 739,186 143,229
Value Stock........................................ 41,981,108 20,905,648
</TABLE>
(4) EXPENSES AND RELATED PARTY TRANSACTIONS
The Fund has entered into an investment advisory agreement with MIMLIC Asset
Management Company (MIMLIC Management). Each portfolio of the Fund pays MIMLIC
Management an annual fee, based on average daily net assets, in the following
amounts:
<TABLE>
<CAPTION>
PORTFOLIO ANNUAL FEE
- ---------------------------------------- ---------------------------------
<S> <C> <C>
Growth.................................. %.50
Bond.................................... %.50
Money Market............................ %.50
Asset Allocation........................ %.50
Mortgage Securities..................... %.50
Index 500............................... %.40
Capital Appreciation.................... %.75
International Stock..................... 1.00% on the first $10 million
in net assets
%.90 on the next $15 million
%.80 on the next $25 million
%.75 on the next $50 million
%.65 thereafter
Small Company........................... %.75
Maturing Government Bond 1998........... %.05 until April 30, 1998 and
.25% thereafter
Maturing Government Bond 2002........... %.05 until April 30, 1998 and
.25% thereafter
Maturing Government Bond 2006........... %.25
Maturing Government Bond 2010........... %.25
Value Stock............................. %.75
</TABLE>
Under this agreement, MIMLIC Management manages the Fund's assets and
furnishes related office facilities, equipment, research, and personnel.
-121-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(4) EXPENSES AND RELATED PARTY TRANSACTIONS--(CONTINUED)
For Capital Appreciation, MIMLIC Management has a sub-advisory agreement
with Winslow Capital Management, Inc. (Winslow). On April 23, 1996, the
shareholders of Capital Appreciation approved a new sub-advisory agreement
between MIMLIC Management and Winslow. Under the new sub-advisory agreement,
effective May 1, 1996, MIMLIC Management pays Winslow a fee equal to .375
percent of net assets of Capital Appreciation. Prior to May 1, 1996, MIMLIC
Management paid Winslow a fee equal to .50 percent on the first $75 million in
net assets and .45 percent of all net assets in excess of $75 million. For
International Stock, MIMLIC Management has a sub-advisory agreement with
Templeton Investment Counsel, Inc. From its advisory fee, MIMLIC Management pays
Templeton Investment Counsel, Inc. a fee equal to .75 percent on the first $10
million in net assets, .65 percent on the next $15 million, .55 percent on the
next $25 million, .50 percent on the next $50 million and .40 percent on the
next $100 million and thereafter.
The Fund bears certain other operating expenses including outside directors'
fees, federal registration fees, printing and shareholder reports, legal,
auditing, custodian fees, organizational costs and other miscellaneous expenses.
Each portfolio will pay all expenses directly related to its individual
operations. Operating expenses not attributable to a specific portfolio will be
allocated based upon the proportionate net asset size of each portfolio.
Minnesota Mutual directly incurs and pays these operating expenses relating to
the Fund and the Fund in turn reimburses Minnesota Mutual. Minnesota Mutual has
voluntarily agreed to absorb all fees and expenses for each portfolio that
exceed various percentages of average daily net assets. During the period ended
June 30, 1996, Minnesota Mutual voluntarily agreed to absorb $11,967, $13,756,
$13,814, and $15,472 in expenses that were otherwise payable by Maturing
Government Bond 1998, Maturing Government Bond 2002, Maturing Government Bond
2006 and Maturing Government 2010, respectively.
Each portfolio pays an administrative services fee to Minnesota Mutual for
accounting, legal and other administrative services which Minnesota Mutual
provides. Prior to May 1, 1996, the administrative services fee for each
portfolio was $1,500 per month. Effective May 1, 1996, the administrative
service fee for each portfolio is $2,400 per month.
(5) CAPITAL SHARE TRANSACTIONS
Transactions in shares of portfolios for the period ended June 30, 1996 and
the year ended December 31, 1995 were as follows:
<TABLE>
<CAPTION>
GROWTH BOND
---------------------------- ----------------------------
1996 1995 1996 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 10,053,518 15,942,741 16,090,016 19,917,487
Issued for reinvested distributions......................... 9,579,976 4,188,367 5,583,992 2,571,473
Redeemed.................................................... (7,889,460) (13,194,015) (7,325,589) (11,200,741)
------------ ------------ ------------ ------------
11,744,034 6,937,093 14,348,419 11,288,219
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MONEY MARKET ASSET ALLOCATION
---------------------------- ----------------------------
1996 1995 1996 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 36,662,606 36,994,812 24,972,856 37,854,023
Issued for reinvested distributions......................... 950,037 1,335,757 19,792,634 7,646,551
Redeemed.................................................... (24,775,487) (31,221,058) (18,967,386) (33,295,460)
------------ ------------ ------------ ------------
12,837,156 7,059,511 25,798,104 12,205,114
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MORTGAGE SECURITIES INDEX 500
---------------------------- ----------------------------
1996 1995 1996 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 8,737,402 11,363,781 18,338,337 20,529,294
Issued for reinvested distributions......................... 4,096,652 3,873,396 1,471,728 1,340,030
Redeemed.................................................... (8,016,930) (11,794,395) (6,396,739) (8,948,748)
------------ ------------ ------------ ------------
4,817,124 3,442,782 13,413,326 12,920,576
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
-122-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(5) CAPITAL SHARE TRANSACTIONS--(CONTINUED)
<TABLE>
<CAPTION>
CAPITAL APPRECIATION INTERNATIONAL STOCK
---------------------------- ----------------------------
1996 1995 1996 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 12,602,121 21,549,468 25,511,807 34,352,552
Issued for reinvested distributions......................... 2,186,263 1,816,119 6,279,337 --
Redeemed.................................................... (7,873,074) (11,636,441) (10,315,147) (21,587,691)
------------ ------------ ------------ ------------
6,915,310 11,729,146 21,475,993 12,764,861
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MATURING GOVERNMENT BOND
SMALL COMPANY 1998
---------------------------- ----------------------------
1996 1995 1996 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 20,093,440 27,268,886 613,586 2,804,374
Issue for reinvested distributions.......................... 1,522,019 681,476 3,671 261,002
Redeemed.................................................... (5,798,887) (7,902,817) (511,365) (1,791,322)
------------ ------------ ------------ ------------
15,816,572 20,047,545 105,892 1,274,054
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MATURING GOVERNMENT BOND MATURING GOVERNMENT BOND
2002 2006
---------------------------- ----------------------------
1996 1995 1996 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 569,956 819,908 319,725 493,557
Issue for reinvested distributions.......................... -- 179,675 3,497 122,592
Redeemed.................................................... (116,052) (966,191) (97,437) (441,900)
------------ ------------ ------------ ------------
453,904 33,392 225,785 174,249
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MATURING GOVERNMENT BOND
2010 VALUE STOCK
---------------------------- ----------------------------
1996 1995 1996 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 800,509 1,062,561 18,379,132 16,963,575
Issue for reinvested distributions.......................... 1,015 63,051 385,410 1,227,850
Redeemed.................................................... (263,745) (1,163,056) (3,123,487) (2,330,611)
------------ ------------ ------------ ------------
537,779 (37,444) 15,641,055 15,860,814
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
(6) ILLIQUID SECURITIES
Each portfolio of the Fund currently limits investments in illiquid
securities to 15% of net assets at the time of purchase, except for Money Market
which limits the investment in illiquid securities to 10% of net assets. At June
30, 1996, investments in securities of Growth, Bond, Asset Allocation, Mortgage
Securities, International Stock and Small Company include issues that are
illiquid. The aggregate values of illiquid securities held by Growth, Bond,
Asset Allocation, Mortgage Securities, International Stock and Small Company at
June 30, 1996 were $997,310, $7,306,894, $3,718,350, $4,045,000, $8,532,806 and
$4,000,411, respectively, which represent .4%, 6.7%, 1.0%, 5.7%, 4.9% and 3.1%
of net assets, respectively. Securities are valued by procedures described in
note 2. Pursuant to guidelines adopted by the Fund's board of directors, certain
unregistered securities are determined to be liquid and are not included within
the percent limitations specified above.
(7) FINANCIAL HIGHLIGHTS
The following tables for each Portfolio show certain per share data for a
share of capital stock outstanding during the periods and selected information
for each period:
-123-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
GROWTH PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, YEAR ENDED DECEMBER 31,
1996 TO --------------------------------------------------------
JUNE 30, 1996 1995 1994 1993 1992 1991
----------------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period............ $2.210 $1.866 $1.912 $1.889 $1.864 $1.391
------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income....................... .008 .021 .019 .020 .026 .031
Net gains or losses on securities (both
realized and unrealized).................. .211 .416 (.005) .063 .060 .442
------- -------- -------- -------- -------- --------
Total from investment operations........ .219 .437 .014 .083 .086 .473
------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment income........ (.021) (.020) (.020) (.027) (.031) --
Distributions from capital gains............ (.193) (.073) (.040) (.033) (.030) --
------- -------- -------- -------- -------- --------
Total distributions..................... (.214) (.093) (.060) (.060) (.061) --
------- -------- -------- -------- -------- --------
Net asset value, end of period.................. $2.215 $2.210 $1.866 $1.912 $1.889 $1.864
------- -------- -------- -------- -------- --------
------- -------- -------- -------- -------- --------
Total return (a)................................ 10.7%(b) 24.3% .8% 4.7% 4.8% 34.1%
Net assets, end of period (in thousands)........ $ 228,185 $201,678 $157,369 $125,745 $ 99,128 $ 75,518
Ratio of expenses to average daily net assets... .55%(c) .55% .56% .58% .58% .63%
Ratio of net investment income to average daily
net assets.................................... .80%(c) 1.04% 1.22% 1.21% 1.72% 2.11%
Portfolio turnover rate (excluding short-term
securities)................................... 26.3% 91.9% 42.0% 51.0% 22.4% 15.7%
Average commission rate on common stock
transactions.................................. $.0842 N/A N/A N/A N/A N/A
</TABLE>
- --------------------------
(a) 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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(b) Total return is presented for the period from January 1, 1996 to June 30,
1996.
(c) Adjusted to an annual basis.
-124-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
BOND PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, YEAR ENDED DECEMBER 31,
1996 TO --------------------------------------------------------
JUNE 30, 1996 1995 1994 1993 1992 1991
----------------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period.............. $1.332 $1.157 $1.300 $1.258 $1.264 $1.075
------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income......................... .032 .074 .042 .051 .053 .078
Net gains or losses on securities (both
realized and unrealized).................... (.062) .147 (.100) .074 .024 .111
------- -------- -------- -------- -------- --------
Total from investment operations.......... (.030) .221 (.058) .125 .077 .189
------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment income.......... (.070) (.046) (.052) (.058) (.069) --
Distributions from capital gains.............. (.013) -- (.033) (.025) (.014) --
------- -------- -------- -------- -------- --------
Total distributions....................... (.083) (.046) (.085) (.083) (.083) --
------- -------- -------- -------- -------- --------
Net asset value, end of period.................... $1.219 $1.332 $1.157 $1.300 $1.258 $1.264
------- -------- -------- -------- -------- --------
------- -------- -------- -------- -------- --------
Total return (a).................................. (2.2)%(b) 19.8% (4.6)% 10.3% 6.7% 17.6%
Net assets, end of period (in thousands).......... $ 110,026 $101,045 $ 74,679 $ 43,927 $ 24,914 $ 13,088
Ratio of expenses to average daily net assets
(c)............................................. .56%(d) .58% .61% .64% .65% .65%
Ratio of net investment income to average daily
net assets (c).................................. 6.24%(d) 6.57% 6.12% 5.57% 6.56% 7.79%
Portfolio turnover rate (excluding short-term
securities)..................................... 79.5% 205.4% 166.2% 166.8% 140.2% 93.8%
</TABLE>
- ------------------------
(a) 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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(b) Total return is presented for the period from January 1, 1996 to June 30,
1996.
(c) Minnesota Mutual voluntarily absorbed $12,179 and $13,182 in expenses for
the years ended December 31, 1992 and 1991, respectively. Had the portfolio
paid all fees and expenses, the ratio of expenses to average daily net
assets would have been .72% and .78%, respectively, and the ratio of net
investment income to average daily net assets would have been 6.49% and
7.66%, respectively.
(d) Adjusted to an annual basis.
-125-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, YEAR ENDED DECEMBER 31,
1996 TO --------------------------------------------------------
JUNE 30, 1996 1995 1994 1993 1992 1991
----------------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period............... $1.000 $1.000 $1.000 $1.000 $1.000 $1.000
------ -------- -------- -------- -------- --------
Income from investment operations:
Net investment income.......................... .024 .053 .036 .027 .032 .053
------ -------- -------- -------- -------- --------
Total from investment operations........... .024 .053 .036 .027 .032 .053
------ -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment income........... (.024) (.053) (.036) (.027) (.032) (.053)
------ -------- -------- -------- -------- --------
Total distributions........................ (.024) (.053) (.036) (.027) (.032) (.053)
------ -------- -------- -------- -------- --------
Net asset value, end of period..................... $1.000 $1.000 $1.000 $1.000 $1.000 $1.000
------ -------- -------- -------- -------- --------
------ -------- -------- -------- -------- --------
Total return (a)................................... 2.4%(b) 5.4% 4.2% 2.7% 3.2% 5.4%
Net assets, end of period (in thousands)........... $ 43,004 $ 30,166 $ 23,107 $ 18,423 $ 13,591 $ 12,834
Ratio of expenses to average daily net assets
(c).............................................. .61%(d) .64% .65% .65% .65% .65%
Ratio of net investment income to average daily net
assets (c)....................................... 4.78%(d) 5.29% 3.71% 2.65% 3.17% 5.26%
</TABLE>
- ------------------------
(a) 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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(b) Total return is presented for the period from January 1, 1996 to June 30,
1996.
(c) Minnesota Mutual voluntarily absorbed $13,734, $23,714, $20,913 and $22,877
in expenses for the years ended December 31, 1994, 1993, 1992 and 1991,
respectively. Had the portfolio paid all fees and expenses the ratio of
expenses to average daily net assets would have been .72%, .81%, .80%, and
85%, respectively, and the ratio of net investment income to average daily
net assets would have been 3.64%, 2.49%, 3.02% and 5.06%, respectively.
(d) Adjusted to an annual basis.
-126-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
ASSET ALLOCATION PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, YEAR ENDED DECEMBER 31,
1996 TO -----------------------------------------------------------------
JUNE 30, 1996 1995 1994 1993 1992 1991
-------------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period... $1.826 $1.524 $1.589 $1.574 $1.558 $1.209
------- --------- --------- --------- --------- ---------
Income from investment operations:
Net investment income.............. .023 .061 .047 .030 .034 .047
Net gains or losses on securities
(both realized and unrealized).... .074 .308 (.069) .066 .070 .302
------- --------- --------- --------- --------- ---------
Total from investment
operations.................... .097 .369 (.022) .096 .104 .349
------- --------- --------- --------- --------- ---------
Less distributions:
Dividends from net investment
income............................ (.060) (.049) (.033) (.037) (.041) --
Distributions from capital gains... (.109) (.018) (.010) (.044) (.047) --
------- --------- --------- --------- --------- ---------
Total distributions............ (.169) (.067) (.043) (.081) (.088) --
------- --------- --------- --------- --------- ---------
Net asset value, end of period......... $1.754 $1.826 $1.524 $1.589 $1.574 $1.558
------- --------- --------- --------- --------- ---------
------- --------- --------- --------- --------- ---------
Total return (a)....................... 5.8%(b) 25.0% (1.4)% 6.5% 7.3% 28.9%
Net assets, end of period (in
thousands)........................... $ 380,473 $349,010 $272,629 $250,011 $150,998 $ 68,592
Ratio of expenses to average daily net
assets............................... .54%(c) .55% .56% .57% .60% .62%
Ratio of net investment income to
average daily net assets............. 2.89%(c) 3.75% 3.31% 2.63% 3.68% 4.50%
Portfolio turnover rate (excluding
short-term securities)............... 66.6% 157.0% 123.6% 85.7% 106.5% 78.6%
Average commission rate on common stock
transactions......................... $.0717 N/A N/A N/A N/A N/A
</TABLE>
- ------------------------
(a) Total return figures are based on a share of outstanding throughout the
period and assumes reinvestment of distributions at net asset value. Total
return figures do not reflect charges pursuant to the terms of the variable
life insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(b) Total return is presented for the period from January 1, 1996 to June 30,
1996.
(c) Adjusted to an annual basis.
-127-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
MORTGAGE SECURITIES PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, YEAR ENDED DECEMBER 31,
1996 TO -----------------------------------------------------------------
JUNE 30, 1996 1995 1994 1993 1992 1991
-------------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period....... $1.207 $1.098 $1.218 $1.185 $1.196 $1.029
------ --------- --------- --------- --------- ---------
Income from investment operations:
Net investment income.................. .038 .081 .074 .054 .045 .069
Net gains or losses on securities (both
realized and unrealized).............. (.042) .107 (.115) .052 .024 .098
------ --------- --------- --------- --------- ---------
Total from investment operations... (.004) .188 (.041) .106 .069 .167
------ --------- --------- --------- --------- ---------
Less distributions:
Dividends from net investment income... (.077) (.079) (.054) (.055) (.056) --
Distributions from capital gains....... -- -- (.025) (.018) (.024) --
------ --------- --------- --------- --------- ---------
Total distributions................ (.077) (.079) (.079) (.073) (.080) --
------ --------- --------- --------- --------- ---------
Net asset value, end of period............. $1.126 $1.207 $1.098 $1.218 $1.185 $1.196
------ --------- --------- --------- --------- ---------
------ --------- --------- --------- --------- ---------
Total return (a)........................... (.2)%(b) 18.0% (3.4)% 9.3% 6.4% 16.3%
Net assets, end of period (in thousands)... $ 70,453 $ 69,746 $ 59,666 $ 63,902 $ 37,011 $ 16,520
Ratio of expenses to average daily net
assets (c)............................... .58%(d) .58% .60% .63% .65% .65%
Ratio of net investment income to average
daily net assets (c)..................... 6.92%(d) 7.09% 6.55% 5.87% 6.64% 8.02%
Portfolio turnover rate (excluding
short-term securities)................... 34.8% 133.7% 197.3% 138.4% 96.2% 112.0%
</TABLE>
- ------------------------
(a) 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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(b) Total return is presented for the period from January 1, 1996 to June 30,
1996.
(c) Minnesota Mutual voluntarily absorbed $10,341 and $16,372 in expenses for
the years ended December 31, 1992 and 1991, respectively. Had the portfolio
paid all fees and expenses the ratio of expenses to average daily net assets
would have been .69% and .79%, respectively, and the ratio of net investment
income to average daily net assets would have been 6.60% and 7.88%,
respectively.
(d) Adjusted to an annual basis.
-128-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
INDEX 500 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, YEAR ENDED DECEMBER 31,
1996 TO -----------------------------------------------------------------
JUNE 31, 1996 1995 1994 1993 1992 1991
-------------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period...... $2.023 $1.518 $1.532 $1.428 $1.454 $1.120
------- --------- --------- --------- --------- ---------
Income from investment operations:
Net investment income................. .014 .031 .029 .026 .024 .034
Net gains or losses on securities
(both realized and unrealized)....... .180 .517 (.012) .110 .073 .300
------- --------- --------- --------- --------- ---------
Total from investment operations.. .194 .548 .017 .136 .097 .334
------- --------- --------- --------- --------- ---------
Less distributions:
Dividends from net investment income.. (.029) (.031) (.026) (.025) (.032) --
Distributions from capital gains...... (.015) (.012) (.005) (.007) (.091) --
------- --------- --------- --------- --------- ---------
Total distributions............... (.044) (.043) (.031) (.032) (.123) --
------- --------- --------- --------- --------- ---------
Net asset value, end of period............ $2.173 $2.023 $1.518 $1.532 $1.428 $1.454
------- --------- --------- --------- --------- ---------
------- --------- --------- --------- --------- ---------
Total return (a).......................... 9.7%(b) 36.8% 1.2% 9.8% 7.4% 29.8%
Net assets, end of period (in
thousands).............................. $ 162,281 $123,999 $ 73,432 $ 56,209 $ 35,620 $ 20,999
Ratio of expenses to average daily net
assets (c).............................. .44%(d) .47% .50% .55% .55% .55%
Ratio of net investment income to average
daily net assets (c).................... 1.81%(d) 2.08% 2.34% 2.27% 2.42% 2.70%
Portfolio turnover rate (excluding
short-term securities).................. 9.5% 4.8% 5.9% 4.8% 6.1% 26.4%
Average commission rate on common stock
transaction............................. $.0394 N/A N/A N/A N/A N/A
</TABLE>
- ------------------------
(a) 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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(b) Total return is presented for the period from January 1, 1996 to June 30,
1996.
(c) Minnesota Mutual voluntarily absorbed $7,228 and $13,123 in expenses for
the years ended December 31, 1992 and 1991, respectively. Had the portfolio
paid all fees and expenses, the ratio of expenses to average daily net
assets would have been .58% and .62%, respectively, and the ratio of net
investment income to average daily net assets would have been 2.39% and
2.63%, respectively.
(d) Adjusted to an annual basis.
-129-
<PAGE>
Notes to Financial Statements--continued
(7) Financial Highlights--(continued)
CAPITAL APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, YEAR ENDED DECEMBER 31,
1996 TO ----------------------------------------------------
JUNE 30, 1996 1995 1994 1993 1992(A) 1991
----------------- -------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period.... $2.160 $1.808 $1.797 $1.682 $1.684 $1.198
------- -------- ------- ------- ------- -------
Income from investment operations:
Net investment income (loss)........ (.001) (.003) -- .001 .004 .009
Net gains or losses on securities
(both realized and unrealized)..... .236 .406 .039 .167 .078 .488
------- -------- ------- ------- ------- -------
Total from investment
operations..................... .235 .403 .039 .168 .082 .497
------- -------- ------- ------- ------- -------
Less distributions:
Dividends from net investment
income............................. -- -- (.002) (.005) (.009) (.003)
Distributions from capital gains.... (.061) (.051) (.026) (.048) (.075) (.008)
------- -------- ------- ------- ------- -------
Total distributions............. (.061) (.051) (.028) (.053) (.084) (.011)
------- -------- ------- ------- ------- -------
Net asset value, end of period.......... $2.334 $2.160 $1.808 $1.797 $1.682 $1.684
------- -------- ------- ------- ------- -------
------- -------- ------- ------- ------- -------
Total return (b)........................ 11.1%(c) 22.8% 2.3% 10.4% 5.0% 41.8%
Net assets, end of period (in
thousands)............................ $ 192,817 $163,520 $115,607 $84,840 $52,365 $23,822
Ratio of expenses to average daily net
assets (d)............................ .83%(e) .80% .83% .86% .90% .90%
Ratio of net investment income (loss) to
average daily net assets (d).......... (.08)%(e) (.15)% (.09)% .12% .42% .92%
Portfolio turnover rate (excluding
short-term securities)................ 33.5% 51.1% 68.4% 95.9% 138.8% 70.5%
Average commission rate on common stock
transactions.......................... $.0627 N/A N/A N/A N/A N/A
</TABLE>
- ------------------------
(a) On October 1, 1992, the portfolio entered into a new sub-advisory agreement
with Winslow Capital Management, Inc. to perform sub-advisory services for
the portfolio. Prior to October 1, 1992, the portfolio had a sub-advisory
agreement with Alliance Capital Management L.P. for sub-advisory services.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Total return is presented for the period from January 1, 1996 to June 30,
1996.
(d) Minnesota Mutual voluntarily absorbed $16,612 and $15,552 in expenses for
the years ended December 31, 1992 and 1991, respectively. Had the portfolio
paid all fees and expenses, the ratio of expenses to average daily net
assets would have been .94% and 1.00%, respectively, and the ratio of net
investment income to average daily net asset would have been .38% and .82%,
respectively.
(e) Adjusted to an annual basis.
-130-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
INTERNATIONAL STOCK PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, 1996 YEAR ENDED DECEMBER 31, PERIOD FROM MAY 1,
TO -------------------------------- 1992 TO DECEMBER
JUNE 30, 1996 1995 1994 1993 31, 1992(A)
----------------- -------- ------- ------- ------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period.... $1.410 $1.235 $1.310 $.919 $1.000
------- -------- ------- ------- ------
Income from investment operations:
Net investment income............... .016 .033 .011 .016 .010
Net gains or losses on securities
(both realized and unrealized)..... .102 .142 (.015) .389 (.077)
------- -------- ------- ------- ------
Total from investment
operations..................... .118 .175 (.004) .405 (.067)
------- -------- ------- ------- ------
Less distributions:
Dividends from net investment
income............................. (.039) -- (.029) (.007) (.010)
Excess distributions of net
investment income.................. -- -- -- -- (.002)
Tax return of capital............... -- -- (.001) -- --
Distributions from capital gains.... (.042) -- (.041) (.007) --
Excess distributions of net realized
gains.............................. -- -- -- -- (.002)
------- -------- ------- ------- ------
Total distributions............. (.081) -- (.071) (.014) (.014)
------- -------- ------- ------- ------
Net asset value, end of period.......... $1.447 $1.410 $1.235 $1.310 $.919
------- -------- ------- ------- ------
------- -------- ------- ------- ------
Total return (b)........................ 8.5%(c) 14.2% (.3)% 44.2% (6.8)%(e)
Net assets, end of period (in
thousands)............................ $ 175,523 $140,770 $107,490 $61,106 $ 17,401
Ratio of expenses to average daily net
assets (d)............................ 1.28%(f) 1.04% 1.24% 1.55% 2.00%(f)
Ratio of net investment income to
average daily net assets (d).......... 3.01%(f) 2.69% 1.68% 1.04% 2.10%(f)
Portfolio turnover rate (excluding
short-term securities)................ 2.9% 20.3% 12.9% 12.7% 11.7%
Average commission rate on common stock
transactions.......................... $.0160 N/A N/A N/A N/A
</TABLE>
- ------------------------
(a) The inception of the portfolio was January 21, 1992. However, operations
did not commence until May 1, 1992 when shares of the portfolio became
effectively registered under the Securities Act of 1933.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Total return is presented for the period from January 1, 1996 to June 30,
1996.
(d) Minnesota Mutual voluntarily absorbed $8,450 in expenses for the period
from May 1, 1992 to December 31, 1992. Had the portfolio paid all fees and
expenses, the ratio of expenses to average daily net assets would have been
2.09% and the ratio of net investment income to average daily net assets
would have been 2.01%.
(e) Total return presented for the period from May 1, 1992, commencement of
operations, to December 31, 1992.
(f) Adjusted to an annual basis.
-131-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
SMALL COMPANY PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM YEAR ENDED
JANUARY 1, 1996 DECEMBER 31, PERIOD FROM MAY 3,
TO ------------------------------ 1993 TO DECEMBER
JUNE 30, 1996 1995 1994 31, 1993(A)
------------------ ------------ ------------ ------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period.... $1.602 $1.226 $1.157 $1.000
------- ------ ------ ------
Income from investment operations:
Net investment income............... .001 .002 .002 --
Net gains or losses on securities
(both realized and unrealized)..... .121 .392 .069 .173
------- ------ ------ ------
Total from investment
operations..................... .122 .394 .071 .173
------- ------ ------ ------
Less distributions:
Dividends from net investment
income............................. -- (.002) (.002) --
Distributions from net realized
gains.............................. (.035) (.016) -- (.015)
Excess distributions of net realized
gains.............................. -- -- -- (.001)
------- ------ ------ ------
Total distributions............. (.035) (.018) (.002) (.016)
------- ------ ------ ------
Net asset value, end of period.......... $1.689 $1.602 $1.226 $1.157
------- ------ ------ ------
------- ------ ------ ------
Total return (b)........................ 7.9%(c) 32.1% 6.2% 17.4%(d)
Net assets, end of period (in
thousands)............................ $ 130,983 $ 98,895 $ 51,105 $ 13,043
Ratio of expenses to average daily net
assets (e)............................ .81%(f) .84% .90% .90%(f)
Ratio of net investment income (loss) to
average daily net assets (e).......... .19%(f) .15% .24% (.02)%(f)
Portfolio turnover rate (excluding
short-term securities)................ 42.7% 61.3% 28.1% 34.9%
Average commission rate on common stock
transactions.......................... $.1171 N/A N/A N/A
</TABLE>
- ------------------------
(a) The inception of the portfolio was January 26, 1993. However, operations
did not commence until May 3, 1993 when shares of the portfolio became
effectively registered under the Securities Act of 1933.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Total return is presented for the period from January 1, 1996 to June 30,
1996.
(d) Total return presented for the period from May 3, 1993, commencement of
operations, to December 31, 1993.
(e) Minnesota Mutual voluntarily absorbed $9,532 and $30,330 in expenses for
the year ended December 31, 1994 and the period from May 3, 1993 to December
31, 1993. Had the portfolio paid all fees and expenses, the ratio of
expenses to average daily net assets would have been .92% and 1.58%,
respectively and the ratio of net investment income (loss) to average daily
net assets would have been .21% and (.70%), respectively.
(f) Adjusted to an annual basis.
-132-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
MATURING GOVERNMENT BOND 1998 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
PERIOD FROM MAY 2, 1994
JANUARY 1, 1996 YEAR ENDED TO
TO DECEMBER 31, DECEMBER 31,
JUNE 30, 1996 1995 1994(A)
------------------ ------------------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of period.... $1.038 $.945 $.989
----- ----- -----
Income from investment operations:
Net investment income............... .031 .059 .043
Net gains or losses on securities
(both realized and unrealized)..... (.028) .092 (.043)
----- ----- -----
Total from investment
operations..................... .003 .151 --
----- ----- -----
Less distributions:
Dividends from net investment
income............................. (.001) (.058) (.044)
Distributions from net realized
gains.............................. -- -- --
----- ----- -----
Total distributions............. (.001) (.058) (.044)
----- ----- -----
Net asset value, end of period.......... $1.040 $1.038 $.945
----- ----- -----
----- ----- -----
Total return (b)........................ .3%(c) 16.0% .1%(d)
Net assets, end of period (in
thousands)............................ $ 5,178 $ 5,057 $ 3,402
Ratio of expenses to average daily net
assets (e)............................ .20%(f) .20% .20%(f)
Ratio of net investment income to
average daily net assets (e).......... 6.13%(f) 6.22% 6.45%(f)
Portfolio turnover rate (excluding
short-term securities)................ 1.4% 9.0% --
</TABLE>
- ------------------------
(a) The inception of the portfolio was November 9, 1993. However, operations
did not commence until May 2, 1994 when shares of the portfolio became
effectively registered under the Securities Act of 1933.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Total return presented for the period from January 1, 1996 to June 30,
1996.
(d) Total return presented for the period from May 2, 1994, commencement of
operations, to December 31, 1994.
(e) Minnesota Mutual voluntarily absorbed $11,967, $22,794 and $21,714 in
expenses for the period from January 1, 1996 to June 30, 1996, the year
ended December 31, 1995 and the period from May 2, 1994 to December 31,
1994. Had the portfolio paid all fees and expenses, the ratio of expenses to
average net assets would have been .67%, .72% and 1.12%, respectively, and
the ratio of net investment income to average daily net assets would have
been 5.66%, 5.70% and 5.53%, respectively.
(f) Adjusted to an annual basis.
-133-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
MATURING GOVERNMENT BOND 2002 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM MAY 2,
PERIOD FROM 1994
JANUARY 1, 1996 YEAR ENDED TO
TO DECEMBER 31, DECEMBER 31,
JUNE 30, 1996 1995 1994(A)
------------------ ------------------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of period.... $1.091 $.932 $.977
----- ----- -----
Income from investment operations:
Net investment income............... -- .072 .047
Net gains or losses on securities
(both realized and unrealized)..... (.039) .161 (.044)
----- ----- -----
Total from investment
operations..................... (.039) .233 .003
----- ----- -----
Less distributions:
Dividends from net investment
income............................. -- (.072) (.048)
Tax return of capital............... -- (.002) --
Distributions from net realized
gains.............................. -- -- --
----- ----- -----
Total distributions............. -- (.074) (.048)
----- ----- -----
Net asset value, end of period.......... $1.052 $1.091 $.932
----- ----- -----
----- ----- -----
Total return (b)........................ (3.6)%(c) 25.0% .3%(d)
Net assets, end of period (in
thousands)............................ $ 3,418 $ 3,049 $ 2,575
Ratio of expenses to average daily net
assets (e)............................ .20%(f) .20% .20%(f)
Ratio of net investment income to
average daily net assets (e).......... 6.48%(f) 6.52% 7.18%(f)
Portfolio turnover rate (excluding
short-term securities)................ -- -- 11.6%
</TABLE>
- ------------------------
(a) The inception of the portfolio was November 9, 1993. However, operations
did not commence until May 2, 1994 when shares of the portfolio became
effectively registered under the Securities Act of 1933.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Total return presented for the period from January 1, 1996 to June 30,
1996.
(d) Total return presented for the period from May 2, 1994, commencement of
operations, to December 31, 1994.
(e) Minnesota Mutual voluntarily absorbed $13,756, $24,709 and $23,298 in
expenses for the period from January 1, 1996 to June 30, 1996, the year
ended December 31, 1995 and the period from May 2, 1994 to December 31,
1994. Had the portfolio paid all fees and expenses, the ratio of expenses to
average daily net assets would have been 1.09%, 1.06% and 1.52%,
respectively, and the ratio of net investment income to average daily net
assets would have been 5.59%, 5.66% and 5.86%, respectively.
(f) Adjusted to an annual basis.
-134-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
MATURING GOVERNMENT BOND 2006 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
PERIOD FROM MAY 2, 1994
JANUARY 1, 1996 YEAR ENDED TO
TO DECEMBER 31, DECEMBER 31,
JUNE 30, 1996 1995 1994(A)
------------------ ------------------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of period.... $1.174 $.923 $.970
----- ----- -----
Income from investment operations:
Net investment income............... .033 .069 .047
Net gains or losses on securities
(both realized and unrealized)..... (.122) .251 (.046)
----- ----- -----
Total from investment
operations..................... (.089) .320 .001
----- ----- -----
Less distributions:
Dividends from net investment
income............................. (.001) (.069) (.048)
Distributions from net realized
gains.............................. (.001) -- --
----- ----- -----
Total distributions............. (.002) (.069) (.048)
----- ----- -----
Net asset value, end of period.......... $1.083 $1.174 $.923
----- ----- -----
----- ----- -----
Total return (b)........................ (7.6)%(c) 34.7% .1%(d)
Net assets, end of period (in
thousands)............................ $ 2,614 $ 2,570 $ 1,860
Ratio of expenses to average daily net
assets (e)............................ .40%(f) .40% .40%(f)
Ratio of net investment income to
average daily net assets (e).......... 6.37%(f) 6.56% 7.45%(f)
Portfolio turnover rate (excluding
short-term securities)................ 6.1% 10.0% --
</TABLE>
- ------------------------
(a) The inception of the portfolio was November 9, 1993. However, operations
did not commence until May 2, 1994 when shares of the portfolio became
effectively registered under the Securities Act of 1933.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Total return presented for the period from January 1, 1996 to June 30,
1996.
(d) Total return presented for the period from May 2, 1994, commencement of
operations, to December 31, 1994.
(e) Minnesota Mutual voluntarily absorbed $13,814, $25,199 and $24,803 in
expenses for the period from January 1, 1996 to June 30, 1996, the year
ended December 31, 1995 and the period from May 2, 1994 to December 31,
1994. Had the portfolio paid all fees and expenses, the ratio of expenses to
average daily net assets would have been 1.51%, 1.56% and 2.37%,
respectively, and the ratio of net investment income to average daily net
assets would have been 5.26%, 5.40% and 5.48%, respectively.
(f) Adjusted to an annual basis.
-135-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
MATURING GOVERNMENT BOND 2010 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM MAY 2,
PERIOD FROM 1994
JANUARY 1, 1996 YEAR ENDED TO
TO DECEMBER 31, DECEMBER 31,
JUNE 30, 1996 1995 1994(A)
------------------ ------------------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of period.... $1.214 $.910 $.962
----- ----- -----
Income from investment operations:
Net investment income............... .028 .070 .049
Net gains or losses on securities
(both realized and unrealized)..... (.157) .304 (.052)
----- ----- -----
Total from investment
operations..................... (.129) .374 (.003)
----- ----- -----
Less distributions:
Dividends from net investment
income............................. (.001) (.070) (.049)
Distributions from net realized
gains.............................. -- -- --
----- ----- -----
Total distributions............. (.001) (.070) (.049)
----- ----- -----
Net asset value, end of period.......... $1.084 $1.214 $.910
----- ----- -----
----- ----- -----
Total return (b)........................ (10.6)%(c) 41.2% (.3)%(d)
Net assets, end of period (in
thousands)............................ $ 1,819 $ 1,384 $ 1,071
Ratio of expenses to average daily net
assets (e)............................ .40%(f) .40% .40%(f)
Ratio of net investment income to
average daily net assets (e).......... 6.29%(f) 6.58% 7.79%(f)
Portfolio turnover rate (excluding
short-term securities)................ 10.5% -- 14.5%
</TABLE>
- ------------------------
(a) The inception of the portfolio was November 9, 1993. However, operations
did not commence until May 2, 1994 when shares of the portfolio became
effectively registered under the Securities Act of 1933.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Total return presented for the period from January 1, 1996 to June 30,
1996.
(d) Total return presented for the period from May 2, 1994, commencement of
operations, to December 31, 1994.
(e) Minnesota Mutual voluntarily absorbed $15,472, $26,308 and $25,888 in
expenses for the period from January 1, 1996 to June 30, 1996, the year
ended December 31, 1995 and the period from May 2, 1994 to December 31,
1994. Had the portfolio paid all fees and expenses, the ratio of expenses to
average daily net assets would have been 2.42%, 2.68% and 4.01%,
respectively, and the ratio of net investment income to average daily net
assets would have been 4.27%, 4.30% and 4.18%, respectively.
(f) Adjusted to an annual basis.
-136-
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
VALUE STOCK PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM MAY 2,
PERIOD FROM 1994
JANUARY 1, 1996 YEAR ENDED TO
TO DECEMBER 31, DECEMBER 31,
JUNE 30, 1996 1995 1994(A)
------------------ ------------------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of period.... $1.312 $1.044 $1.010
------ ------ -----
Income from investment operations:
Net investment income............... .006 .010 .008
Net gains or losses on securities
(both realized and unrealized)..... .170 .331 .038
------ ------ -----
Total from investment
operations..................... .176 .341 .046
------ ------ -----
Less distributions:
Dividends from net investment
income............................. -- (.010) (.009)
Distributions from net realized
gains.............................. (.017) (.063) (.003)
------ ------ -----
Total distributions............. (.017) (.073) (.012)
------ ------ -----
Net asset value, end of period.......... $1.471 $1.312 $1.044
------ ------ -----
------ ------ -----
Total return (b)........................ 13.5%(c) 33.0% 4.6%(d)
Net assets, end of period (in
thousands)............................ $ 58,701 $ 31,825 $ 8,771
Ratio of expenses to average daily net
assets (e)............................ .85%(f) .89% .90%(f)
Ratio of net investment income to
average daily net assets (e).......... 1.12%(f) 1.25% 2.07%(f)
Portfolio turnover rate (excluding
short-term securities)................ 50.3% 164.2% 49.5%
Average commission rate on common stock
transactions.......................... $.0793 N/A N/A
</TABLE>
- ------------------------
(a) The inception of the portfolio was January 18, 1994. However, operations
did not commence until May 2, 1994 when shares of the portfolio became
effectively registered under the Securities Act of 1933.
(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 charges pursuant to the terms of the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares.
(c) Total return presented for the period from January 1, 1996 to June 30,
1996.
(d) Total return presented for the period from May 2, 1994, commencement of
operations, to December 31, 1994.
(e) Minnesota Mutual voluntarily absorbed $11,610 and $22,503 in expenses for
the year ended December 31, 1995 and the period from May 2, 1994 to December
31, 1994. Had the portfolio paid all fees and expenses, the ratio of
expenses to average daily net assets would have been .95% and 1.56%,
respectively, and the ratio of net investment income to average daily net
assets would have been 1.19% and 1.41%, respectively.
(f) Adjusted to an annual basis.
-137-
<PAGE>
SHAREHOLDER VOTING RESULTS
On April 23, 1996, a special shareholder meeting of the Capital Appreciation
Portfolio was held. Shareholders of record on March 6, 1996, were entitled to
vote on the proposal described below.
<TABLE>
<CAPTION>
NUMBER OF SHARE VOTING
--------------------------------
FOR AGAINST ABSTAIN
---------- --------- ---------
<S> <C> <C> <C>
(1) To approve or disapprove a new Investment Sub-Advisor Agreement between
MIMLIC Asset Management Company and Winslow Capital Management, Inc. with
respect to investment sub-advisory services furnished on behalf of the
Capital Appreciation Portfolio........................................... 67,979,215 1,304,342 7,442,420
---------- --------- ---------
---------- --------- ---------
</TABLE>
-138-
<PAGE>
APPENDIX I
Rating of Bonds and Commercial Paper
The rating information which follows describes how the rating services
mentioned presently rate the described securities. No reliance is made upon the
rating firms as "experts" as that term is defined for securities law purposes.
Rather, reliance on this information is on the basis that such ratings have
become generally accepted in the investment business.
Rating of Bonds
Moody's
Bonds which are rated Aaa are judged to be of the best quality. They carry
the smallest degree of investment risk and are generally referred to as "gilt
edge". Interest payments are protected by a large or by an exceptionally stable
margin and principal is secure. While the various protective elements are
likely to change, such changes as can be visualized are most unlikely to impair
the fundamentally strong position of such issues.
Bonds which are rated Aa are judged to be of high quality by all standards.
Together with the Aaa group they comprise what are generally known as high grade
bonds. They are rated lower than the best bonds because margins of protection
may not be as large as in Aaa securities or fluctuation of protective elements
may be of greater amplitude or there may be other elements present which make
the long term risks appear somewhat larger than in Aaa securities.
Bonds which are rated A possess many favorable investment attributes and
are to be considered as upper medium grade obligations. Factors giving security
to principal and interest are considered adequate but elements may be present
which suggest a susceptibility to impairment sometime in the future.
Bonds which are rated Baa are considered as medium grade obligations, i.e.,
they are neither highly protected nor poorly secured. Interest payments and
principal security appear adequate for the present but certain protective
elements may be lacking or may be characteristically unreliable over any great
length of time. Such bonds lack outstanding investment characteristics and in
fact have speculative characteristics as well.
Bonds which are rated Ba are judged to have speculative elements; their
future cannot be considered as well-assured. Often the protection of interest
and principal payments may be very moderate, and thereby not well safeguarded
during both good and bad times over the future. Uncertainty of position
characterizes bonds in this class.
Bonds which are rated B generally lack characteristics of the desirable
investment. Assurance of interest and principal payments or of maintenance of
other terms of the contract over any long period of time may be small.
Moody's Investors Service, Inc. also applies numerical modifiers, 1, 2, and
3, in each of these generic rating classifications. The modifier 1 indicates
that the security ranks in the higher end of its generic rating category; the
modifier 2 indicates a mid-range ranking; and the modifier 3 indicates that the
issue ranks in the lower end of its generic rating category.
-139-
<PAGE>
Standard & Poor's
Debt rated AAA has the highest rating assigned by Standard & Poor's.
Capacity to pay interest and repay principal is extremely strong.
Debt rated AA has a very strong capacity to pay interest and repay
principal and differs from the higher rated issues only in small degree.
Debt rated A has a strong capacity to pay interest and repay principal
although it is somewhat more susceptible to the adverse effects of changes in
circumstances and economic conditions than debt in higher rated categories.
Debt rated BBB is regarded as having an adequate capacity to pay interest
and repay principal. Whereas it normally exhibits adequate protection
parameters, adverse economic conditions or changing circumstances are more
likely to lead to a weakened capacity to pay interest and repay principal for
debt in this category than in higher rated categories.
Debt rated BB has less near-term vulnerability to default than other
speculative grade debt. However, it faces major ongoing uncertainties or
exposure to adverse business, financial, or economic conditions that could lead
to inadequate capacity to meet timely interest and principal payments.
Debt rated B has a greater vulnerability to default but currently has the
capacity to meet interest payments and principal repayments. Adverse business,
financial, or economic conditions will likely impair capacity or willingness to
pay interest and repay principal. The "B" rating category is also used for debt
subordinated to senior debt that is assigned an actual or implied "BB" or "BB-"
rating.
The Standard & Poor's Corporation applies indicators "+," no character, and
"-" to the above rating categories. The indicators show relative standing
within the major rating categories.
Rating of Commercial Paper
Purchases of corporate debt securities used for short-term investment,
generally called commercial paper, will be limited to the top grades of Moody's
and Standard & Poor's rating services.
Moody's
"P-1"
The rating P-1 is the highest commercial paper rating assigned by Moody's.
Among the factors considered by Moody's in assigning ratings are the following:
1. Evaluation of the management of the issuer;
2. Economic evaluation of the issuer's industry or industries and an
appraisal of speculative-type risks which may be inherent in certain
areas;
3. Evaluation of the issuer's products in relation to competition and
customer acceptance;
4. Liquidity;
-140-
<PAGE>
5. Amount and quality of long-term debt;
6. Trend of earnings over a period of ten years;
7. Financial strength of a parent company and the relationships which exist
with the issuer; and
8. Recognition by the management of obligations which may be present or may
arise as a result of public interest questions and preparations to meet
such obligations.
Standard & Poor's
A Commercial paper issues assigned this highest rating are regarded as
having the greatest capacity for timely payment. Issues in this category are
delineated with the numbers 1, 2 and 3 to indicate the relative degree of
safety.
A-1 This designation indicates that the degree of safety regarding timely
payment is either overwhelming or very strong. Those issues determined to
possess overwhelming safety characteristics are denoted with a plus (+) sign
designation.
A-2 Capacity for timely payment on issues with this designation is strong.
However, the relative degree of safety is not as high as for issues designated
"A-1."
A-3 Issues carrying this designation have a satisfactory capacity for
timely payment. They are, however, somewhat more vulnerable to the adverse
effects of changes in circumstances than obligations carrying the higher
designations.
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