<PAGE>
ADVANTUS SERIES FUND, INC.
---------------------
S E M I - A N N U A L R E P O R T J U N E 3 0, 1 9 9 7
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GROWTH PORTFOLIO
BOND PORTFOLIO
MONEY MARKET PORTFOLIO
ASSET ALLOCATION PORTFOLIO
MORTGAGE SECURITIES PORTFOLIO
INDEX 500 PORTFOLIO
CAPITAL APPRECIATION PORTFOLIO
INTERNATIONAL STOCK PORTFOLIO
SMALL COMPANY PORTFOLIO
MATURING GOVERNMENT BOND 1998 PORTFOLIO
MATURING GOVERNMENT BOND 2002 PORTFOLIO
MATURING GOVERNMENT BOND 2006 PORTFOLIO
MATURING GOVERNMENT BOND 2010 PORTFOLIO
VALUE STOCK PORTFOLIO
-------------------------
<PAGE>
TABLE OF CONTENTS
How to Use This Report.................................................... 1
Portfolio Total Return.................................................... 2
PORTFOLIO MANAGER REVIEWS
Growth Portfolio.......................................................... 4
Bond Portfolio............................................................ 6
Money Market Portfolio.................................................... 8
Asset Allocation Portfolio................................................ 10
Mortgage Securities Portfolio............................................. 12
Index 500 Portfolio....................................................... 14
Capital Appreciation Portfolio............................................ 16
International Stock Portfolio............................................. 18
Small Company Portfolio................................................... 20
Maturing Government Bond 1998 Portfolio................................... 22
Maturing Government Bond 2002 Portfolio................................... 22
Maturing Government Bond 2006 Portfolio................................... 22
Maturing Government Bond 2010 Portfolio................................... 22
Value Stock Portfolio..................................................... 26
INVESTMENTS IN SECURITIES
Growth Portfolio.......................................................... 28
Bond Portfolio............................................................ 30
Money Market Portfolio.................................................... 33
Asset Allocation Portfolio................................................ 35
Mortgage Securities Portfolio............................................. 39
Index 500 Portfolio....................................................... 42
Capital Appreciation Portfolio............................................ 48
International Stock Portfolio............................................. 50
Small Company Portfolio................................................... 54
Maturing Government Bond 1998 Portfolio................................... 56
Maturing Government Bond 2002 Portfolio................................... 57
Maturing Government Bond 2006 Portfolio................................... 58
Maturing Government Bond 2010 Portfolio................................... 59
Value Stock Portfolio..................................................... 60
FINANCIAL STATEMENTS
Statements of Assets and Liabilities...................................... 62
Statements of Operations.................................................. 64
Statements of Changes in Net Assets....................................... 66
Notes to Financial Statements............................................. 70
SHAREHOLDER VOTING RESULTS................................................ 89
<PAGE>
HOW TO USE THIS REPORT
Some of our clients prefer a brief overview of their Advantus Series Fund
investments while others prefer full financial statements. This report is
designed to meet both objectives.
For a quick overview of each Portfolio's performance, investment strategies
and holdings, refer to the front section of the report. Comprehensive investment
holdings, market values and financial reports begin on page 28.
Performance charts graphically compare each Portfolio's performance with
select investment indices and other benchmarks. This comparison provides your
with more information about your investments.
The charts are useful because they illustrate performance over the same time
frame and over a long period. There are limitations, however. An index may
reflect the performance of securities that the Portfolio may not hold. Also, the
index does not deduct investment advisory fees and other fund expenses--whereas
your Portfolio does. Individuals cannot buy even an unmanaged index fund without
incurring some charges and expenses.
This report is just one of several tools you can use to learn more about
your investment(s) in the Advantus Series Fund. Your MIMLIC Sales
representative, who understands your personal financial situation, can best
explain the features of your investment and how they apply to your financial
needs.
1
<PAGE>
PORTFOLIO TOTAL RETURN
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Period from January 1, 1997 to
June 30, 1997
Percentage of Return
<S> <C>
Growth 17.3%
Bond 3.5%
Money Market 2.5%
Asset Allocation 9.8%
Mortgage Securities 4.0%
Index 500 20.1%
Capital Appreciation 12.0%
International Stock 13.7%
Small Company 4.9%
MGB 1998 2.7%
MGB 2002 2.1%
MGB 2006 2.0%
MGB 2010 1.9%
Value Stock 16.2%
</TABLE>
Historical performance is not an indication of future performance.
Investment returns on principal values will fluctuate so that shares upon
redemption may be worth more or less than their original cost. Performance
figures of the Fund 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. When such charges are deducted,
actual investment performance in a variable policy or contract will be lower.
2
<PAGE>
August 15, 1997
Dear Shareholders:
The last six months have certainly provided first hand evidence of a
market in fluctuation. In the first quarter of 1997, inflation fears
linked to a 5.6 percent rise in the GDP caused the Federal Reserve to
increase short-term money rates by 1/4 percent at the end of March. This
"preemptive strike" combined with market expectations of an additional
increase by the Federal Reserve in May caused a strong reaction in the
market through April of this year.
The expected inflation did not materialize. With second quarter GDP
growth expected to come in at around 2 percent, corporate earnings
reports strong, and without an additional increase in interest rates by
the Federal Reserve, the market rebounded sharply in May and June. The
S&P 500 rose 17.4 percent for the second quarter, an increase of 25
percent from its 1997 bottom in April, and is up 20.6 percent for 1997.
The largest 100 stocks in the S&P 500 based on market capitalization
continue to lead the index, while the smallest 100 stocks recovered from
low performance in 1996 to be the second leading performers year to
date.
However, not all stocks performed equally. Only 38 percent of the
companies in the index out performed the index. And at least one measure
of stock price volatility, standard deviation of returns, is also up in
1997. Standard deviation of returns statistically measures the potential
range of future returns given the range of returns for the current time
period. Therefore, a higher number means the statistical potential of
future returns is much wider, both higher and lower. Through the second
quarter, the standard deviation of returns for 1997 was 15.4 percent, up
from the average in 1992 through 1996 of 9.8 percent.
In the bond market, investment grade bonds posted low single digit
returns through the first half of 1997. Through the second quarter, as
signs of slower economic growth and low inflation encouraged bond
investors, interest rates fell to the lower end of their recent range.
At quarter end, the interest rate on the two-year U.S. Treasury Note had
decreased .35 percentage points to yield 6.06 percent. The thirty-year
U.S. Treasury Bond closed the period yielding 6.78 percent, .32
percentage points lower.
All indicators point to a continuation of strong market performance
through the remainder of the year. Stable economic growth in the range
of 2 to 3 percent is expected through 1997. Long term inflation will be
contained by cheap global labor, technology and corporate productivity
enhancements. Although market equity valuations are high, there is
additional room for growth as corporations continue to show increases in
earnings and profits.
The market will still find things to worry about: too much economic
growth, the Federal Reserve's next move, monthly inflation indicators,
and conflicting employment data. Occasional scares will translate into
continued volatility; in interest rates in the bond market, and stock
prices in the stock market. We view these possibilities as buying
opportunities. We see the corporate bond and mortgage markets continuing
to expand, with the expectation of high single digit returns through the
end of the year. Stock market growth will slow as corporations find it
increasingly difficult to maintain current earnings and profitability
growth rates.
Choosing the right securities in a fluctuating environment, and
maintaining a long term view in the midst of short term volatility
requires experience and expertise. Advantus Capital Management provides
you with a professional staff of experienced money managers able to sift
through the noise in the marketplace and maintain a stable investment
discipline. We also have the long term outlook required to develop
thoughtful, well-conceived investment strategies for you. We appreciate
your continued confidence in our ability to provide you with prudent,
competitive investment performance.
Sincerely,
/s/ Paul Gooding
Paul Gooding,
President
Advantus Series Fund, Inc.
3
<PAGE>
GROWTH PORTFOLIO
PERFORMANCE UPDATE
THOMAS GUNDERSON, CFA
AND
JEFFREY ERICKSON, CFA
PORTFOLIO MANAGERS
[PHOTO]
[PHOTO]
The Growth
Portfolio seeks
the long-term
accumulation of
capital, with
current income as
a secondary
objective. It
invests primarily
in common stocks and other
equity securities.
PERFORMANCE
The Growth Portfolio participated in the strong market advance over the six
month period ending June 30, 1997, by appreciating 17.3 percent.* Over the same
period, the S&P 500** gained 20.6 percent, while the average Lipper Growth Fund+
produced a net return of 14.28 percent.
PORTFOLIO RECAP
The underlying fundamentals could hardly be better for the U.S. stock market.
Corporate earnings are good, inflation is under control, fiscal and monetary
policies are not restrictive, and aging baby boomers are providing the fuel, in
the form of cash, to propel the stock market to record heights. Stock market
strength was generally wide spread during the first half of 1997, with the
strongest areas being the mega-large stocks and the health care, financial, and
capital goods sectors of the market. The utilities and energy sectors lagged the
market over the past six months.
For the Growth Portfolio strong performance came from a range of companies
across several economic sectors. Schering-Plough and Abbott Labs significantly
outperformed the market during the past six months and contributed to a strong
performance in the health sector. In the retailing sector Wal Mart and Home
Depot both gained over 30 percent over the past six months. ConAgra Inc.
outperformed in the consumer staples area, while Gannett Co. and Royal Dutch
also significantly contributed to the first half results.
OUTLOOK
The environment for stocks could not be better. The risk to the market is that
much of this good news is already reflected in the market today as seen by the
historically high valuation levels put on individual stocks and the overall
market. To sustain continued growth the fundamentals need to continue to be
excellent.
We will continue to invest in medium to large sized companies that have the
management and the business model to sustain earnings growth potential
throughout an economic cycle. As earnings growth slows for the overall market,
the sustainable long term earning potential for the growth stocks in the Growth
Portfolio should be favored by the market.
4
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
SHARES VALUE PORTFOLIO
--------- ----------- -------------
<S> <C> <C> <C>
Schering Plough............................................ 276,000 $13,213,500 4.4%
Gannett Company............................................ 127,000 12,541,250 4.2%
Royal Dutch Petroleum...................................... 220,000 11,962,500 4.0%
Pitney Bowes, Incorporated................................. 165,000 11,467,500 3.8%
Abbott Laboratories........................................ 170,000 11,347,500 3.8%
Norwest Corporation........................................ 199,000 11,193,750 3.7%
Wal-Mart Stores, Inc....................................... 329,200 11,131,075 3.7%
Philip Morris Companies, Inc............................... 246,000 10,916,250 3.6%
Genuine Parts Company...................................... 315,000 10,670,625 3.6%
Conagra, Inc............................................... 163,000 10,452,375 3.5%
----------- ---
$114,896,325 38.3%
----------- ---
----------- ---
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Basic Materials 5.9%
Capital Goods 7.5%
Consumer Cyclical 20.8%
Consumer Staples 23.5%
Energy 6.2%
Financial 8.9%
Health Care 16.3%
Technology 9.6%
Cash & Other
Assets/Liabilities 1.3%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN GROWTH PORTFOLIO,
S&P 500 AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Growth
Portfolio S&P 500 CPI
<S> <C> <C> <C>
6/30/87 $10,000 $10,000 $10,000
12/31/87 8,314 8,257 10,185
12/31/88 9,632 9,625 10,634
12/31/89 12,137 12,672 11,118
12/31/90 12,162 12,274 11,805
12/31/91 16,305 16,011 12,157
12/31/92 17,091 17,231 12,518
12/31/93 17,891 18,970 12,861
12/31/94 18,036 19,206 13,222
12/31/95 22,415 26,393 13,556
12/31/96 26,259 32,452 14,004
6/30/97 30,810 39,127 14,111
AVERAGE ANNUAL TOTAL
RETURN:
One year 24.2%
Five years 14.7%
Ten years 11.9%
</TABLE>
On the chart above you can see how the Growth Portfolio's total
return compared to the S&P 500 (as adjusted for dividend reinvestment)
and the Consumer Price Index. The three lines represent the total
return of a hypothetical $10,000 investment made on June 30, 1987
through June 30, 1997.
*Historical performance is not an indication of future performance.
Investment returns on principal values will fluctuate so that shares
upon redemption may be worth more or less than their original cost.
Performance figures of the Fund 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. When such charges are deducted, actual investment
performance in a variable policy or contract will be lower.
**The S&P 500 is a broad, unmanaged index of 500 common stocks which
are representative of the U.S. stock market overall.
+Average return of 840 Growth Funds according to Lipper Analytical
Services, Inc.
5
<PAGE>
BOND PORTFOLIO
PERFORMANCE UPDATE
WAYNE SCHMIDT, CFA
PORTFOLIO MANAGER
[PHOTO]
The Bond
Portfolio seeks
as high a level
of long-term
total return as is consistent
with prudent investment risk.
Preservation of capital is a
secondary objective. The Bond
Portfolio invests in
long-term, fixed income, high
quality debt instruments.
PERFORMANCE
The Bond Portfolio returned 3.5 percent* for the six months ended June 30, 1997,
strongly outperforming the Lehman Brothers Government Corporate Bond Index**
which returned 2.7 percent for the same period.
Interest rates continued to be range bound, but began to revisit the rate
levels from the beginning of the year as signs of slower economic growth and low
inflation encouraged bond investors. When the six months ended, the interest
rate on the two year U.S. Treasury Note had increased 19 basis points to yield
6.06 percent. The 30-year U.S. Treasury Bond closed the period yielding 6.78
percent, 14 basis points higher. Bond prices fall when interest rates rise, so
the movement to slightly higher interest rates had a negative impact on the
total returns for the period.
PORTFOLIO RECAP
The continued themes for the six month period were active interest rate
management and finding the best relative value in the corporate bond market.
When interest rates peaked north of seven percent in early April and then again
in late May, duration was extended each time to ten percent longer than our
benchmark. As rates declined into late April and then again in June, the
Portfolio's maturity was shortened. Thirty-year U.S. Treasury Bonds were bought
and sold to adjust the duration targets. These moves benefited the Portfolio as
capital gains were realized on the price appreciation. The price appreciation
coupled with interest income produced above average returns for the period. On
the corporate bond side, our exposure to U.S. pay international bonds,
cable/media, and the brokerage sectors have been a positive contributor to the
overall portfolio performance as their credit spreads tightened, driving their
prices higher.
The overall credit quality of the Bond Portfolio is high single A, with all
of the securities possessing an investment grade rating. At period end, 67
percent of the Fund's assets were invested in investment grade corporate bonds,
13 percent in mortgaged backed securities, 12 percent in U.S. Government bonds,
and 8 percent in money market instruments.
OUTLOOK
At the beginning of the year, our expectation was that 1997 bond market would
look very similar to the bond market experienced in 1996. Through the first six
months of the year this statement has held true and we expect the trend of range
bound interest rates to continue. Future quarterly economic growth will likely
fluctuate between one percent and four percent. We believe long-term inflation
will be contained by the forces of cheap global labor, technology and
productivity enhancements. Despite the positive long-term fundamentals, the bond
market will still find things to worry about: too much economic growth, the
Federal Reserve's next move, the monthly inflation indicators and the employment
data. Investor concern on these issues will translate into continued interest
rate volatility and thus, the opportunity to benefit from investor over
reaction.
In a range bound market with tight credit spreads, active duration
management will be an even more important component of success for the remainder
of the year. We will take advantage of opportunities to buy undervalued
securities and extend duration during periods of market weakness and reduce the
portfolio's exposure to interest rate risk during periods of market strength.
6
<PAGE>
TEN LARGEST BOND HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF BOND
COMPANY VALUE PORTFOLIO
- ------------------------------------------------------------ ------------ -----------
<S> <C> <C>
Federal Home Loan Bank--7.105%, 05/06/02.................... $ 5,711,924 4.6%
U.S. Treasury Note--5.875%, 04/30/98........................ 5,004,685 4.0%
Time Warner Incorporated--6.100%, 12/30/01.................. 4,786,500 3.9%
Poland Yankee Bond--7.125%, 07/01/04........................ 4,479,300 3.6%
Joy Technologies Incorporated--10.250%, 09/01/03............ 4,276,778 3.4%
Premark International, Inc--10.500%, 09/15/00............... 4,259,713 3.4%
General Electric Capital Corp--6.660%, 05/01/18............. 4,259,206 3.4%
Midland Bank PLC--7.625%, 06/15/06.......................... 4,128,692 3.3%
Lehman Brothers, Inc--7.360%, 12/15/03...................... 4,059,028 3.3%
Reliance Industries--10.250%, 01/15/97...................... 4,000,218 3.2%
------------ --
$ 44,966,044 36.1%
------------ --
------------ --
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury 5.9%
U.S. Government
Agencies 17.0%
AAA Rated 11.6%
AA Rated 4.3%
A Rated 22.3%
BB Rated 2.9%
BBB Rated 24.3%
Cash and Other
Assets/Liabilities 11.7%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN BOND PORTFOLIO,
LEHMAN BROTHERS GOVERNMENT CORPORATE BOND INDEX
AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Lehman Brothers
Government
Corporate
Bond
Portfolio Bond Index CPI
<S> <C> <C> <C>
6/30/87 $ 10,000 $ 10,000 $ 10,000
12/31/87 10,222 10,275 10,185
12/31/88 10,946 11,055 10,634
12/31/89 12,331 12,628 11,118
12/31/90 13,222 13,675 11,805
12/31/91 15,549 15,880 12,157
12/31/92 16,586 17,087 12,518
12/31/93 18,287 19,014 12,861
12/31/94 17,454 18,350 13,222
12/31/95 20,901 21,556 13,556
12/31/96 21,521 22,181 14,004
6/30/97 22,266 22,788 14,111
AVERAGE ANNUAL TOTAL
RETURN:
One year 9.0%
Five years 7.1%
Ten years 8.3%
</TABLE>
On the chart above you can see how the Bond Portfolio's total
return compared to the Lehman Brothers Government Corporate Bond Index
and the Consumer Price Index. The three lines represent the total
return of a hypothetical $10,000 investment made on June 30, 1987
through June 30, 1997.
*Historical performance is not an indication of future performance. Investment
returns on principal values will fluctuate so that shares upon redemption may
be worth more or less than their original cost. Performance figures of the
Fund 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. When such charges are deducted, actual
investment performance in a variable policy or contract will be lower.
**The Lehman Brothers Government Corporate Bond Index is an unmanaged benchmark
composite of the Lehman Brothers Government Bond Index which includes all
publicly issued debt of the U.S. Government and Agencies and The Lehman
Brothers Corporate Bond Index which includes all publicly issued fixed rate,
nonconvertible domestic corporate debt.
7
<PAGE>
MONEY MARKET PORTFOLIO
PERFORMANCE UPDATE
WAYNE SCHMIDT, CFA
PORTFOLIO MANAGER
[PHOTO]
The Money Market
Portfolio seeks
maximum current
income to the extent
consistent with liquidity and
the preservation of capital.
It invests in short-term
money market instruments and
other debt securities that
mature within 397 days.
INVESTMENT IN THE MONEY
MARKET PORTFOLIO IS NEITHER
INSURED NOR GUARANTEED BY THE
U.S. GOVERNMENT, AND THERE
CAN BE NO ASSURANCE THAT THE
PORTFOLIO WILL BE ABLE TO
MAINTAIN A STABLE NET ASSET
VALUE OF $1.00 PER SHARE.
PERFORMANCE
The Money Market Portfolio's seven day compounded yield was 5.13 percent* as of
June 30, 1997. For the first half of the year, the Portfolio returned 2.5
percent.*
Money market interest rates ended the period basically unchanged, despite
the Federal Reserve's move to raise the Fed Funds target rate by 25 basis points
in March. For the six months ended in June, the yield on the three month U.S.
Treasury Bill decreased one basis point to yield 5.17 percent. The six month
U.S. Treasury Bill ended the period five basis points lower to yield 5.25
percent.
PORTFOLIO RECAP
The Federal Reserve's decision to raise rates was their first move since the 25
basis cut in rates back in January 1996. Alan Greenspan billed the March rate
hike as a preemptive strike against potential future inflation. Fixed income
investors expected the Federal Open Market Committee to make this move and short
term interest rates had already crept 25 basis points higher prior to the
announcement. By the end of the period however, short-term rates declined back
to their starting point, the low five percent area.
In the Money Market Portfolio, the average days to maturity was 37 days at
the end of the period, 23 days shorter than the average money market fund. The
shorter average days to maturity allows the Portfolio to be more responsive to
changes in interest rates. This is a positive attribute in a rising rate
environment, which is a concern over the next six months. Also, the Portfolio's
maturities are evenly distributed between 1 and 125 days, thus smoothing out any
reinvestment risk.
The Money Market Portfolio invests exclusively in U.S. Treasury Bills, U.S.
agencies, and high quality commercial paper to maintain both excellent liquidity
and quality. Corporate commercial paper, because of its yield advantage, is the
primary asset class used. It accounted for 90 percent of the Portfolio's assets
at the end of the period.
OUTLOOK
Short-term interest rates will likely continue to be relatively stable with an
upward bias as we move toward year end. The Federal Reserve is closely
monitoring economic growth and inflation and could follow up on their initial
tightening with another 25 basis point hike in rates if the economic
fundamentals dictate. The economy will likely continue to grow at a moderate
pace in the upcoming quarters and we believe inflation should remain around
three percent. With money market yields in the low to mid five percent range and
inflation at three percent, money market funds offer investors an attractive
real return potential on their investment.
8
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE DAYS TO
MATURITY
Number of
Days
<S> <C>
3-Jan-97 50
9-Jan-97 45
16-Jan-97 45
23-Jan-97 40
30-Jan-97 39
6-Feb-97 39
13-Feb-97 39
20-Feb-97 36
27-Feb-97 31
6-Mar-97 30
13-Mar-97 38
20-Mar-97 32
27-Mar-97 37
3-Apr-97 37
10-Apr-97 40
17-Apr-97 46
24-Apr-97 46
1-May-97 41
8-May-97 38
15-May-97 40
22-May-97 38
29-May-97 32
5-Jun-97 36
12-Jun-97 41
19-Jun-97 41
26-Jun-97 36
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SEVEN-DAY COMPOUNDED
YIELD*
Percentage
<S> <C>
3-Jan-97 4.84%
9-Jan-97 4.86%
16-Jan-97 4.84%
23-Jan-97 4.92%
30-Jan-97 4.98%
6-Feb-97 4.64%
13-Feb-97 4.93%
20-Feb-97 4.90%
27-Feb-97 4.90%
6-Mar-97 4.88%
13-Mar-97 4.88%
20-Mar-97 4.87%
27-Mar-97 4.87%
3-Apr-97 4.90%
10-Apr-97 4.96%
17-Apr-97 5.73%
24-Apr-97 5.08%
1-May-97 5.08%
8-May-97 5.08%
15-May-97 5.15%
22-May-97 5.21%
29-May-97 5.16%
5-Jun-97 4.80%
12-Jun-97 5.22%
19-Jun-97 5.27%
26-Jun-97 5.13%
</TABLE>
The seven-day compounded yield is computed by determining the net change in
the value of a hypothetical account having a balance of one share at the
beginning of a seven calendar day period, dividing that change by seven, adding
one to the quotient, raising the sum to the 365th power and subtracting one from
the result.
*Historical results are not an indication of future performance. Investment
returns on principal values will fluctuate so that shares upon redemption may
be worth more or less than their original cost. Performance figures of the Fund
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. When such charges are deducted, actual investment
performance in a variable policy or contract will be lower.
9
<PAGE>
ASSET ALLOCATION PORTFOLIO
PERFORMANCE UPDATE
THOMAS GUNDERSON, CFA
PORTFOLIO MANAGER
[PHOTO] The Asset
Allocation
Portfolio seeks
as high a level
of long-term
total rate of return as is
consistent with prudent
investment risk. It invests
in common stocks and other
equity securities, bonds and
money market instruments. The
mix of investments is varied
by the portfolio's management
as economic conditions
indicate.
PERFORMANCE
Propelled by a strong stock market the Asset Allocation Portfolio posted an
attractive 9.8 percent* return for the same six month period ended June 30,
1997. The stock portion of the portfolio clearly led the way with double digit
returns, with bonds, mortgages, and money market investments all producing low
single digit returns for the first half of 1997. The return for the Merrill
Lynch-Wishire Capital Markets Index (CMI)** was 12.1 percent for the same six
month period. The CMI modestly outperformed the Asset Allocation Portfolio
primarily because it has over 65 percent in stocks while the Asset Allocation
Portfolio averaged a little over 50 percent in stocks over the period.
PORTFOLIO RECAP
The asset mix of the portfolio continues to reflect the "relative valuation"
methodology utilized since the portfolio's inception. Our work continues to see
stocks as being overvalued on virtually all valuation measures. Following this
valuation methodology we entered the year with a conservative 50 percent of the
portfolio in stocks. After modestly raising the weight to 55 percent early in
the first quarter, stocks were then scaled back to 45 percent by the end of the
second quarter. Bonds have gone from 35 percent to 45 percent of the portfolio
while cash has remained at 10 percent of the portfolio. The current asset mix is
45 percent stocks, 45 percent bonds and 10 percent cash.
The underlying fundamentals could hardly be better for the U.S. stock
market. Corporate earnings are good, inflation is under control, fiscal and
monetary policies are not restrictive, and aging baby boomers are providing the
fuel, in the form of cash, to propel the stock market to record heights. Stock
market strength was generally wide spread during the first half of 1997, with
the strongest areas being the mega-large stocks and the health care, financial,
and capital goods sectors of the market. The utilities and energy sectors lagged
the market over the past six months.
Within the Asset Allocation Portfolio, performance from stock holdings came
from a range of sectors. The capital goods sector was strong in the first half
of 1997 led by stocks such as Tyco International-a new holding, and General
Electric--a long-time favorite. The healthcare sector was propelled by our
holdings in Pfizer and Johnson & Johnson. Another attractive sector during the
first half was financials, where Associates First Capital and American
International Group led the way.
The fixed income investments in the Portfolio did a good job relative to the
market because of two factors. First, we purchased longer duration bonds when
30-year U.S. Treasury yields climbed over 7 percent. Second, we held relatively
fewer U.S. Treasury securities and more of the "spread" product which was the
stronger performing sector during the first half of 1997.
OUTLOOK
Buying into the stock market today is like buying a high expectations growth
stock. You can make money as long as things continue to go well. Currently there
is no sign of a negative catalyst for this market. The fundamentals are great
but the valuation levels already appear to have taken a lot of that into
account.
It is not likely that the dual goals of strong corporate earnings and a
moderate growth economy will continue to be met. It is likely that eventually
either the slowing economy will negatively impact corporate earnings, or the
economy re-accelerates causing the Federal Reserve to raise interest
rates--along with the negative ramifications for the financial markets.
Buying and holding as much stock as you could was the investment strategy
that worked best in the last investment cycle. If the current market holds
through year end it will be the first time in the recorded history of the S&P
500 that the annual return exceeded 20 percent for three years in a row.
Tomorrow's financial markets will not likely be so simple.
10
<PAGE>
The Asset Allocation Portfolio will continue to use the methodology that has
worked so well in the past. We will continue to strive toward the two goals of
meaningful participation during market advances while positioning the portfolio
to protect your assets during the occasional market decline.
FIVE LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
% OF
COMMON
MARKET STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ -------- ------------- ----------
<S> <C> <C> <C>
General Electric Company.................................... 142,352 $ 9,306,262 4.4%
Philip Morris Companies, Inc................................ 152,800 6,780,500 3.2%
Intel....................................................... 47,200 6,693,550 3.1%
Columbia /HCA Healthcare.................................... 162,109 6,372,910 3.0%
Coca-Cola Company........................................... 94,200 6,358,500 3.0%
------------- ---
$ 35,511,722 16.7%
------------- ---
------------- ---
</TABLE>
BOND PORTFOLIO CHARACTERISTICS--QUALITY BREAKDOWN
<TABLE>
<CAPTION>
% OF BOND
RATING PORTFOLIO
- ------------------------------------------------------------ ----------
<S> <C>
U.S. Treasury............................................... 29.9%
U.S. Government Agencies.................................... 11.4%
AAA rated................................................... 10.1%
AA rated.................................................... 5.6%
A rated..................................................... 20.3%
BB rated.................................................... 2.2%
BB rated.................................................... 20.5%
---
100.0%
---
---
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Common Stocks 45.5%
Bonds 43.3%
Preferred Stocks .5%
Cash and Other
Assets/Liabilities 10.7%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN ASSET ALLOCATION PORTFOLIO,
MERRILL LYNCH-WILSHIRE CAPITAL MARKETS INDEX
AND CONSUMER PRICE INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Merrill
Lynch-
Wilshire
Capital
Asset Allocation Markets
Portfolio Index CPI
<S> <C> <C> <C>
6/30/87 $10,000 $10,000 $10,000
12/31/87 9,201 9,084 10,185
12/31/88 10,222 10,286 10,634
12/31/89 12,285 12,508 11,118
12/31/90 12,728 12,635 11,805
12/31/91 16,404 15,796 12,157
12/31/92 17,597 17,127 12,518
12/31/93 18,734 18,973 12,861
12/31/94 18,472 18,721 13,222
12/31/95 23,093 24,086 13,556
12/31/96 25,979 27,407 14,004
6/30/97 28,515 30,718 14,111
AVERAGE ANNUAL TOTAL
RETURN:
One year 16.7%
Five year 12.0%
Ten year 11.1%
</TABLE>
On the chart above you can see the Asset Allocation Portfolio's
total return compared to the Merrill Lynch-Wilshire Capital Markets
Index and the Consumer Price Index. The three lines represent the
cumulative total return of a hypothetical $10,000 investment made on
June 30, 1987 through June 30, 1997.
*Historical performance is not an indication of future performance.
Investment returns on principal values will fluctuate so that shares
upon redemption may be worth more or less than their original cost.
Performance figures of the Fund 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. When such charges are deducted, actual investment
performance in a variable policy or contract will be lower.
**The Merrill Lynch-Wilshire Capital Markets Index is a market
value-weighted index measuring the total return performance of the
combined domestic taxable fixed income and equity markets. It
includes the entire domestic common stock universe for which daily
pricing is available, as well as all publicly placed domestic
taxable debt issues with at least one year remaining to maturity and
at least ten million dollars par value outstanding.
11
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
PERFORMANCE UPDATE
KENT WEBER, CFA
PORTFOLIO MANAGER
[PHOTO]
The Mortgage
Securities
Portfolio seeks a
high level of
current income consistent
with prudent investment risk.
The Mortgage Securities
Portfolio will invest
primarily in mortgage-related
securities.
PERFORMANCE
For the six month period ending June 30, 1997, the Mortgage Securities Portfolio
returned 4.0 percent.* Over the same time period, Lehman Brothers
Mortgage-Backed Index** returned 3.9 percent and Lipper's Mortgage Fund
Category+ returned 3.2 percent. With this type of solid performance, the
mortgage market continues to be one of the stronger performing sectors of the
fixed income market.
PORTFOLIO RECAP
During the last six months, we have been finding our best investment
opportunities in securities containing seasoned residential mortgage loans,
commercial mortgage securities and investment grade mortgage securities. The
common theme among all these securities is the delivery of predictable
prepayments or structures with restricted prepayments. These securities were
priced at reasonable levels to offer attractive yields and solid performance. It
may be helpful to think of prepayments on mortgage securities like you think of
earnings on a stock. The market anticipates some level of prepayment on all
mortgage securities when it sets a market price. Therefore, it's not really a
matter of whether prepayments are good or bad, but whether prepayments are in
line with your estimates. To this extent, the market is undervaluing securities
with more predictable and consistent cash flow. Should market interest rates
move meaningfully higher or lower during the rest of the year, securities with a
more predictable earnings stream will once again receive the love they deserve.
In order to fill the portfolio with as many undervalued mortgage securities
as possible, we find it imperative to constantly shop and compare value and
prices among all the sectors of the mortgage market. Then by selectively
participating in the most attractive securities, we add value and simultaneously
build a solid portfolio of high quality securities. Currently, the portfolio is
allocated with 44 percent agency pass-throughs, 45 percent collateralized
mortgage obligations, 4 percent commercial pass-throughs, 2 percent asset backed
securities and 5 percent cash. Our effective duration is 3.9 years, which makes
us 5 percent longer than the Lehman Mortgage Index (3.7 years).
OUTLOOK
The economy's ability to balance strong growth and stable inflation is truly
impressive. As long as inflation remains tame, more investors will come to
accept (grudgingly) the fact that the fundamentals (i.e. technology,
demographics, world economy, etc.) of today's economy are different from those
of the past. While we may have tamed the savage business cycle, we have not
eliminated it and as such investors will undoubtedly remain vigilant in their
search for inflation. This type of environment remains mortgage investor
friendly, and therefore, we see the mortgage portfolio remaining on track to
deliver solid single digit returns for the year.
12
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury 3.8%
AAA Rated 52.7%
AA Rated 3.6%
A Rated 17.6%
BBB Rated 15.1%
Cash and Other
Assets/Liabilities 7.2%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Private 144A Issues 27.9%
Private Placements 4.3%
Public Issues 60.6%
Cash and Other
Assets/Liabilities 7.2%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
CMOs 32.5%
GNMA 11.1%
FNMA 7.6%
FHLMC 4.9%
U.S. Government and
Agencies 12.3%
Other Mortgage Backed
Securities 16.9%
Corporate Bonds 1.3%
Asset Backed Securities 6.2%
Cash and Other
Assets/Liabilities 7.2%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN MORTGAGE SECURITIES PORTFOLIO,
LEHMAN BROTHERS MORTGAGE BACKED SECURITIES INDEX
AND CONSUMER PRICE INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Lehman Brothers
Mortgage-Backed
Mortgage Securities
Portfolio Securities Index CPI
<S> <C> <C> <C>
6/30/87 $10,000 $10,000 $10,000
12/31/87 10,247 10,346 10,185
12/31/88 11,126 11,248 10,634
12/31/89 12,629 12,972 11,118
12/31/90 13,820 14,365 11,805
12/31/91 16,068 16,621 12,157
12/31/92 17,091 17,777 12,518
12/31/93 18,672 18,960 12,861
12/31/94 18,042 18,654 13,222
12/31/95 21,291 21,787 13,556
12/31/96 22,410 22,922 14,004
6/30/97 23,301 23,821 14,111
AVERAGE ANNUAL TOTAL
RETURN:
One year 9.7%
Five year 7.3%
Ten year 8.8%
</TABLE>
On the chart above you can see the Mortgage Securities Portfolio's
total return compared to the Lehman Brothers Mortgage Backed
Securities Index and the Consumer Price Index. The three lines
represent the total return of a hypothetical $10,000 investment made
on June 30, 1987 through June 30, 1997.
*Historical performance is not an indication of future performance. Investment
returns on principal values will fluctuate so that shares upon redemption may
be worth more or less than their original cost. Performance figures of the
Fund 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. When such charges are deducted, actual
investment performance in a variable policy or contract will be lower.
**The Lehman Brothers Mortgage-Backed Securities Index is an unmanaged benchmark
composite which includes all fixed-rated securities backed by mortgage pools
of the Government National Mortgage Association (GNMA), Federal Home Loan
Mortgage Corporation (FHLMC) and Federal National Mortgage Association (FNMA).
+Average return of 60 mortgage-backed securities funds according to Lipper
Analytical Services.
13
<PAGE>
INDEX 500 PORTFOLIO
PERFORMANCE UPDATE
TERI BRANDT
PORTFOLIO MANAGER
[PHOTO]
The Index 500
Portfolio seeks
investment
results that
correspond generally to the
price and yield performance
of the common stocks included
in the Standard and Poor's
Corporation 500 Composite
Stock Index (S&P 500).*+ It
is designed to provide an
economical and convenient
means of maintaining a broad
position in the equity market
as part of an overall
investment strategy.
PERFORMANCE
Index 500+ Portfolio consists of publicly traded common stocks representing
leading companies in virtually all segments of the American economy. The
Portfolio is designed to reflect the results that correspond to the investment
performance of the stock market in general. We seek to accomplish this by using
a computer model that positions the Portfolio to optimally track the behavior of
the S&P 500.*
The S&P 500* returned 20.6 percent for the six month period ended June 30,
1997. The Index 500 Portfolio, in comparison, returned 20.1 percent** over the
same period.
14
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ ------- ------------ -----------
<S> <C> <C> <C>
General Electric Company.................................... 146,000 $ 9,544,750 3.1%
Coca-Cola Company........................................... 110,400 7,452,000 2.4%
Exxon Corporation........................................... 110,500 6,795,750 2.2%
Microsoft Corporation....................................... 53,300 6,735,788 2.2%
Merck & Co., Inc............................................ 53,700 5,557,950 1.8%
Royal Dutch Petroleum....................................... 95,600 5,198,250 1.7%
Intel....................................................... 36,500 5,176,156 1.7%
Philip Morris Companies, Inc................................ 108,100 4,796,938 1.6%
Procter & Gamble Company.................................... 30,434 4,298,803 1.4%
International Business Machine.............................. 44,200 3,986,288 1.3%
------------ ---
$ 59,542,673 19.4%
------------ ---
------------ ---
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Basic Materials 5.7%
Capital Goods 9.3%
Communication Services 6.0%
Consumer Cyclicals 9.6%
Consumer Staples 15.8%
Energy 8.8%
Financial 15.3%
Health Care 11.3%
Transportation 1.3%
Technology 13.4%
Utilities 3.1%
Cash and Other Assets and
Liabilities .4%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE**
A HYPOTHETICAL $10,000 INVESTMENT IN INDEX 500 PORTFOLIO,
S&P 500 AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Index 500
Portfolio S&P 500 CPI
<S> <C> <C> <C>
6/30/87 $10,000 $10,000 $10,000
12/31/87 8,231 8,758 10,185
12/31/88 9,550 10,209 10,634
12/31/89 12,477 13,440 11,118
12/31/90 11,988 13,018 11,805
12/31/91 15,554 16,982 12,157
12/31/92 16,703 18,276 12,518
12/31/93 18,333 20,120 12,861
12/31/94 18,549 20,371 13,222
12/31/95 25,381 27,993 13,556
12/31/96 30,874 33,289 14,004
6/30/97 37,085 40,137 14,111
AVERAGE ANNUAL TOTAL
RETURN:
One year 33.2%
Five year 19.1%
Ten year 14.0%
</TABLE>
On the chart above you can see how the Index 500 Portfolio's total
return compared to the S&P 500 and the Consumer Price Index. The three
lines represent the total return of a hypothetical $10,000 investment
made on June 30, 1987 through June 30, 1997.
+"Standard & Poor's-Registered Trademark-",
"S&P-Registered Trademark-", "S&P 500-Registered Trademark-",
"Standard & Poor's 500", and "500" are trademarks of The McGraw-Hill
Companies, Inc. and have been licensed for use by the Advantus
Series Fund, Inc.--Index 500 Portfolio. The Portfolio is not
sponsored, endorsed, sold or promoted by Standard & Poor's and
Standard & Poor's makes no representation regarding the advisability
of investing in the Portfolio.
*The S&P 500 is a broad, unmanaged index of 500 common stocks which
are representative of the U.S. stock market overall.
**Historical results are not an indication of future performance.
Investment returns on principal values will fluctuate so that shares
upon redemption may be worth more or less than their original cost.
Performance figures of the Fund 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. When such charges are deducted, actual investment
performance in a variable policy or contract will be lower.
15
<PAGE>
CAPITAL APPRECIATION PORTFOLIO
PERFORMANCE UPDATE
CLARK WINSLOW, CFA
WINSLOW CAPITAL
MANAGEMENT
[PHOTO] The Capital
Appreciation
Portfolio seeks
growth of
capital.
Investments will be made
based upon their potential
for capital appreciation.
While Advantus Capital
Management, Inc. acts as
investment adviser for the
portfolio, Winslow Capital
Management, Inc. provides
investment advice to the
Capital Appreciation
Portfolio under a
subadvisory agreement.
PERFORMANCE
For the six months ending June 30, 1997 the Capital Appreciation Portfolio
gained 12.0 percent.* This compares with an increase of 19.6 percent in the
Russell 1000 Growth Index** and 20.6 percent in the S&P 500+ for the same time
period.
PORTFOLIO RECAP
The stock market performance in the first half of 1997 demonstrates that no
matter how much investment professionals try to forecast the economy as a
precursor of the market's direction, short-term market moves are driven by
emotion. In the past two quarters, we have seen two sides of investor
emotion--nervousness about loss of capital with the market indices declining
almost 10 percent during March and April and then enthusiasm for capital
appreciation with the Dow Jones Average galloping 1450 points or 23 percent in
the last two months. Such a stunning gain usually comes on the heels of a bear
market. This type of increase has never happened before when stocks had already
risen 20 percent in the prior year. The S&P 500+ second quarter performance of
17.5 percent was the strongest second quarter since 1938, and the 1997-to-date
total return of 20.6 percent was the fourth strongest first half-year gain of
the past 50 years.
For the first half of the year, the mega cap stocks again had the best
returns within the Portfolio. On a market cap-weighted basis, the S&P 500+ price
return was 19.5 percent. On an equal-weighted basis it was 15.5 percent. For the
5,460 stocks with market capitalization over $50 million, the average price
return was only 8.4 percent. Numerous periodicals have commented on the
stratification of returns by size of company, but the duration and magnitude are
quite startling.
The Portfolio's investment philosophy is based on the belief that owning
companies with above-average earnings growth will likely produce greater
investment return potential over the long term. We also are sensitive to
valuation--what you pay in price/earnings ratio for that future growth rate. The
philosophy is implemented by mixing several medium capitalization stocks with
large cap growth issues. This means that we generally will be underweighted in
the very largest companies and financial stocks because these types of companies
usually cannot achieve earnings growth in excess of 13 percent annually.
Over the last two years the Portfolio has maintained an overweighted
position in telecommunication, technology and specialty retail companies. The
overweighted positions in technology and telecommunications proved to be
negative for the portfolio's performance during the first half of 1997. During
the first quarter, the stocks underperformed but rebounded nicely in the
following three months. Although they have underperformed, the stock market so
far this year, we are confident that the strong fundamentals exhibited by these
specific companies will lead toward further price appreciation. Many of the
consumer service companies that are owned in the Portfolio have outperformed
over the first and second quarters of 1997. An example of these stocks include
Wal Mart Stores (+49 percent), Dollar General Corporation (+47 percent), Home
Depot (+38 percent) and Kohl's (+35 percent).
During the second quarter, the companies in the Portfolio reported an
average increase in earnings of 29 percent compared with a year ago. The
Portfolio has a projected growth rate in earnings per share of 1998 of 23
percent. This compares with our expectation of earnings growth for the S&P 500+
of 6-7 percent. The earnings growth rate is not necessarily indicative of future
results or how the Portfolio itself is doing. The portfolio sells a moderate P/E
premium to the S&P 500+ yet exhibits 3-4 times the projected earnings growth. In
our opinion, this valuation should lead to favorable returns.
OUTLOOK
What is remarkable about the current economy is that despite all the media
commentary, it has been abnormally stable and consistent on an annual basis.
Specifically, we have seen moderate inflation between 0-3.5 percent annual rate
for 69 consecutive months. Long-term treasury rates have been between 5.75 and
8.25 percent throughout the decade of the 1990's. Corporate profits, the other
key market driver, have consistently surprised on the upside with S&P operating
earnings rising better than 15 percent annually for the past 5 years. Corporate
productivity gains have caused S&P operating margins and return on equity to
16
<PAGE>
reach their highest levels in 30 years. This achievement, combined with
favorable fiscal and monetary policies, gives us confidence to maintain our
favorable economic forecast for moderate GDP growth, modest inflation and flat
to lower interest rates.
We remain committed to our investment discipline of searching out those
opportunities in companies with the demonstrated ability to grow their business
at above-average rates regardless of the near-term economic environment. The
Capital Appreciation Fund continues to find attractive opportunities in
healthcare as demographic and structural changes in the industry offer many
companies the chance to grow earnings. With the continued interconnection of
society and business, favorable growth rates will likely continue to exist in
many technology companies. In addition, the consumer service industry provides
above-average unit growth potential. The large and globally competitive U.S.
economy continues to provide many opportunities to find good growth ideas.
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ ------- ----------- ----------
<S> <C> <C> <C>
Merck & Co., Inc............................................ 107,100 $11,084,850 4.5%
Cisco Systems Inc........................................... 161,300 10,827,263 4.4%
The Home Depot Inc.......................................... 154,333 10,639,331 4.3%
Pfizer, Inc................................................. 74,400 8,890,800 3.6%
Parametric Technology Corporation........................... 206,300 8,780,644 3.6%
Computer Associates International........................... 154,100 8,581,444 3.5%
United Health Care.......................................... 164,100 8,533,200 3.5%
Microsoft................................................... 67,400 8,517,675 3.5%
First Data Corporation...................................... 192,300 8,449,181 3.5%
Federal National Mortgage Association....................... 179,200 7,817,600 3.2%
----------- --
$92,121,988 37.6%
----------- --
----------- --
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Capital Goods 4.4%
Communication Services 3.6%
Consumer Cyclical 18.7%
Consumer Staples 1.5%
Energy 2.7%
Financial 14.4%
Health Care 23.3%
Technology 29.8%
Cash and Other
Assets/Liabilities 1.6%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN CAPITAL APPRECIATION PORTFOLIO,
RUSSELL 1000 GROWTH INDEX AND CONSUMER PRICE INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Capital Russell
Appreciation 1000
Growth
Portfolio Index CPI
<S> <C> <C> <C>
6/30/87 $10,000 $10,000 $10,000
12/31/87 8,972 8,156 10,185
12/31/88 9,670 9,075 10,634
12/31/89 13,364 12,336 11,118
12/31/90 13,089 12,304 11,805
12/31/91 18,560 17,368 12,157
12/31/92 19,496 18,237 12,518
12/31/93 21,531 18,763 12,861
12/31/94 22,015 20,338 13,222
12/31/95 27,030 27,902 13,556
12/31/96 31,791 34,353 14,004
6/30/97 35,619 41,069 14,111
AVERAGE ANNUAL TOTAL
RETURN:
One year 18.6%
Five year 15.5%
Ten year 13.5%
</TABLE>
On the chart above you can see the Capital Appreciation
Portfolio's total return compared to the Russell 1000 Growth Index and
the Consumer Price Index. The three lines represent the total return
of a hypothetical $10,000 investment made on June 30, 1987 through
June 30, 1997.
*Historical performance is not an indication of future performance. Investment
returns on principal values will fluctuate so that shares upon redemption may
be worth more or less than their original cost. Performance figures of the
Fund 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. When such charges are deducted, actual
investment performance in a variable policy or contract will be lower.
**The Russell 1000 Growth Index contains stock from the Russell 1000 with a
greater than average growth orientation. The Russell 1000 are the 1,000
largest companies in the Russell 3000. The Russell 3000 is an unmanaged index
of 3,000 common stocks which represents approximately 98 percent of the U.S.
market.
+The S&P 500 is a broad, unmanaged index of 500 common stocks which are
representative of the U.S. stock market overall.
17
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
PERFORMANCE UPDATE
GARY CLEMONS
TEMPLETON INVESTMENT
COUNSEL
[PHOTO] The International
Stock Portfolio
seeks long-term
capital growth. The Portfolio
will invest primarily in
common stocks of companies
and governments outside the
United States. While Advantus
Capital Management, Inc. acts
as investment adviser for the
portfolio, Templeton
Investment Counsel, Inc.
provides investment advice to
the International Stock
Portfolio under a subadvisory
agreement.
PERFORMANCE
The International Stock Portfolio returned 13.7 percent* for six month period
ending June 30, 1997, compared to the MSCI EAFE Index** return of 11.3 percent.
PERFORMANCE RECAP
Global stock markets turned in strong performance once again in the first half
of 1997. Spurred by a favorable interest rate environment, strong earnings
growth and high levels of liquidity, most markets generated positive returns.
On a macro level, Europe is benefiting from tight fiscal policies and loose
monetary policies as governments move towards achieving the January 1999
European Union convergence criteria. From a bottom-up basis, many European
companies are responding to global competition through long-overdue
restructuring, perhaps best illustrated by consumer electronics maker Philips
Electronics NV, which appreciated over 80 percent during the first half.
Latin American markets also performed well, driven by strong earnings
growth, positive liquidity and relatively low valuations. The fund's largest
holding, Brazil's national telephone company, Telebras, appreciated by over 100
percent in the first half of the year due to positive developments regarding its
future privatization. Finally, Asian markets turned in a mixed performance as
severe fiscal difficulties impacted a number of countries, including Thailand
and the Philippines. Previously high valuations in these countries meant the
fund had low exposure to those markets. Japan rebounded from a poor first
quarter and is now up 8.7 percent for the year as fears over the April 1st tax
increase faded, the yen weakened (aiding Japan's exporters) and the economy
continued to recover. Finally, Hong Kong turned in positive performance as
concerns surrounding the June 30, 1997 handover to China are fading.
The strategies employed by the Portfolio in the first half of the year are
consistent with the methods used by the Templeton organization for over 50
years. Our team of 33 analysts scour the globe looking for out of favor
securities trading at depressed levels relative to long-term "normalized"
earnings. To us, normalized represents what a company can earn in the middle of
a typical economic cycle and requires us to forecast earnings and cash flow out
five years. We then purchase stocks that are cheap on a five year basis, and on
average hold them for the same period of time. We believe that over the
long-term a bottom-up, value-based contrarian approach produces greater return
potential.
This value-based approach means the portfolio continues to overweight
European securities, underweight Japan and maintain a 12 percent (and rising)
exposure to "emerging markets." Contributors to the fund's first half
performance include several telecommunication service providers (the
aforementioned Telebras, and Spain's Telefonica de Espana) and a handful of
European restructuring successes (Philips Electronics NV in the Netherlands,
France's and Sweden's Volvo).
OUTLOOK
We remain positively disposed towards the international markets on a longer term
view but are concerned with short-term valuations. While we are not top-down
managers, our industry analysts continue to find value in the UK, Latin America
and Asia and the portfolio's holdings will reflect this shift. By purchasing out
of favor securities trading at low valuations and maintaining a diversified
portfolio, we are attempting to reduce volatility while positioning the
portfolio for strong long-term performance. We thank our shareholders for their
support and look forward to serving you in the future.
18
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ --------- ----------- ----------
<S> <C> <C> <C>
Telecomunicacoes Brasileiras................................ 43,600 $ 6,616,300 2.8%
BG PLC...................................................... 1,624,500 5,976,602 2.5%
Pioneer International Ltd................................... 1,315,401 5,082,141 2.1%
Rhone-Poulenc............................................... 122,325 4,991,838 2.1%
Deutsche Bank............................................... 82,050 4,816,234 2.0%
Volvo....................................................... 178,500 4,775,935 2.0%
Courtaulds PLC.............................................. 785,200 4,418,139 1.8%
Banco Bilbao Vizcaya........................................ 53,500 4,346,081 1.8%
Telefonica de Espana SA..................................... 150,000 4,336,614 1.8%
Regie Des Usines Renault.................................... 170,398 4,308,335 1.8%
----------- --
$49,668,219 20.7%
----------- --
----------- --
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN INTERNATIONAL STOCK PORTFOLIO,
EAFE INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
International Stock EAFE
Portfolio Index CPI
<S> <C> <C> <C>
5/1/92 $10,000 $10,000 $10,000
12/31/92 9,319 8,156 10,143
12/31/93 13,434 10,843 10,421
12/31/94 13,391 11,722 10,713
12/31/95 15,296 13,088 10,984
12/31/96 18,324 13,916 11,347
6/30/97 20,825 15,493 11,434
AVERAGE ANNUAL RETURN:
One year 25.4%
Five year 15.3%
Since inception (May
1, 1992) 15.3%
</TABLE>
On the chart above you can see how the International Stock
Portfolio's total return compared to the EAFE Index and the Consumer
Price Index. The three lines represent the cumulative total return of
a hypothetical $10,000 investment made on inception date of the
International Stock Portfolio (May 1, 1992) through June 30, 1997.
*Historical performance is not an indication of future performance.
Investment returns on principal values will fluctuate so that shares
upon redemption may be worth more or less than their original cost.
Performance figures of the Fund 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. When such charges are deducted, actual investment
performance in a variable policy or contract will be lower.
**The EAFE Index is an unmanaged index of common stocks form European,
Asian and Far Eastern markets.
19
<PAGE>
SMALL COMPANY PORTFOLIO
PERFORMANCE UPDATE
JIM TATERA, CFA
CHIEF EQUITY PORTFOLIO
MANAGER
[PHOTO] The Small Company
Portfolio seeks
long-term
accumulation of capital. It
invests primarily in common
stocks of small companies,
defined in terms of either
market capitalization or
gross revenues that are less
than $1.5 billion.
Typically, at least 65
percent of the portfolio will
be invested in stocks of
small companies. In addition,
we will buy stocks of larger
companies that we feel are
growing significantly faster
than the market overall.
PERFORMANCE
The first half of 1997 was one of opposites for small cap investors. After a
weak first quarter, which saw many small cap growth managers down over 10
percent, the second quarter rebounded smartly. The Russell 2000* returned 15.7
percent for the quarter ended June 30, 1997, bringing its year to date return to
9.3 percent. There continues to be a significant deviation between the Russell
2000 Growth Index,** a proxy for small growth stocks, which returned 5.1 percent
during the first half of 1997, and the Russell 2000 Value Index,** a proxy for
small value stocks, which returned 14.8 percent during the same period.
The Small Company Portfolio, which focuses on small growth companies, gained
4.9 percent+ for the six months ending June 30, 1997. For the quarter ending
June 30, 1997, the Portfolio returned 18.8 percent.+
PORTFOLIO RECAP
The quarter ended on a decidedly strong note for investors in smaller companies.
Each sector showed strong results for the quarter. Year to date, financial
services and consumer discretionary have contributed the most to performance
while technology is the only sector down for the year, even given it's strong
performance in the second quarter.
The Small Company Portfolio was positively impacted by a diverse group of
companies including Corrections Corporation of America (manages prisons and
other correctional facilities for governmental agencies), CKS Group (integrated
marketing communication services), Fairfield Communities (developer and operator
of resort, home developments), Borders Group (retail book superstores) and
United Waste Systems (solid waste management services).
The Portfolio's underweighted position in financials held back performance
relative to the index. Financial companies typically do not exhibit the strong
operational growth characteristics necessary for us to take an investment. One
company which negatively impacted performance was Tommy Hilfiger which has shown
some deterioration in its fundamentals as it transitions into areas beyond its
traditional men's apparel lines into women's, children's and assorted licensed
products like fragrances and home furnishings. We sold part of our position
early in the year when we purchased Nautica Enterprises which competes with
Tommy, and which we felt was a better opportunity at the prices available then.
Tommy Hilfiger is a company we continue to monitor closely as it goes through
this transition phase. Another was Idexx Labs, a biotech company which declined
in value after a shortfall in revenue over the most recent period cast doubt
about its growth potential. We have sold most of our position in Idexx Labs.
In situations like these we reevaluate all fundamental information to
determine if the Portfolio should continue to hold the position. We focus on our
objectives of investing in strong growth companies in terms of revenues and
earnings with solid prospects for continuing or accelerating that growth. A
change in fundamentals (and stock price) can warrant a sale and removal from the
portfolio or could be an opportunity to add to our positions.
OUTLOOK
Until recently, small cap growth companies, as represented by the Russell 2000
Growth Index,* have lagged behind the overall market by over 20 percentage
points. This is the second worst trailing 12 month performance in history! Small
stocks have been indiscriminately sold off during this period by investors
favoring more liquid, large-cap stocks with supposedly more stable growth. This
most recent experience will not continue forever.
As overall economic trends continue to moderate, a more favorable
environment will likely develop for smaller companies which exhibit the ability
to continue to grow through these temporary slowdowns in economic growth. We
continue to be very constructive on smaller companies due to their relatively
cheap valuation and strong growth prospects.
20
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ ------- ----------- ----------
<S> <C> <C> <C>
United Waste Systems, Inc................................... 171,642 $ 7,037,322 4.8%
Corrections Corporation of America.......................... 152,800 6,073,800 4.1%
Gartner Group, Incorporated................................. 159,300 5,724,844 3.9%
Kaydon Corp................................................. 107,100 5,314,838 3.6%
The Bisys Group Inc......................................... 112,300 4,688,525 3.2%
Borders Group Inc........................................... 192,540 4,645,028 3.2%
Danka Business Systems PLC.................................. 106,702 4,361,444 3.0%
T. Rowe Price Assoc......................................... 81,700 4,217,763 2.9%
MSC Industrial Direct Co.................................... 99,200 3,980,400 2.7%
Acxiom Corporation.......................................... 192,100 3,938,050 2.7%
----------- --
$49,982,014 34.1%
----------- --
----------- --
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Basic Materials 4.3%
Capital Goods 12.6%
Communication Services 1.6%
Consumer Cyclical 27.0%
Consumer Staples 1.8%
Energy 2.6%
Financial 10.2%
Health Care 8.0%
Technology 17.2%
Transportation 2.2%
Cash and Other
Assets/Liabilities 12.5%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE+
A HYPOTHETICAL $10,000 INVESTMENT IN SMALL COMPANY PORTFOLIO,
WILSHIRE MIDCAP INDEX++ AND CONSUMER PRICE INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Small Company Wilshire Midcap
Portfolio Index CPI
<S> <C> <C> <C>
5/03/93 $ 10,000 $ 10,000 $ 10,000
12/31/93 11,733 11,295 10,118
12/31/94 12,456 11,005 10,402
12/31/95 16,449 14,631 10,665
12/31/96 17,509 17,187 11,017
6/30/97 18,362 19,119 11,101
AVERAGE ANNUAL TOTAL
RETURN:
One year 3.5%
Since inception (May 3,
1993) 15.7%
</TABLE>
On the chart above you can see how the Small Company Portfolio's
total return compared to the Wilshire Midcap Index and the Consumer
Price Index. The three lines represent the total return of a
hypothetical $10,000 investment made on inception date of the Small
Company Portfolio (May 3, 1993) through June 30, 1997.
*The Russell 2000 Index represents the bottom two thirds of the largest 3,000
publicly traded companies domiciled in the United States.
**The Russell 2000 Growth Index and the Russell 2000 Value Index contain stock
from the Russell 2000 with a greater than average growth orientation and low
price to book ratios, respectively. The Russell 2000 are the 2,000 largest
companies in the Russell 3000. The Russell 3000 is an unmanaged index of 3,000
common stocks which represents approximately 98 percent of the U.S. market.
+Historical performance is not an indication of future performance. Investment
returns on principal values will fluctuate so that shares upon redemption may
be worth more or less then their original cost. Performance figures of the
Fund 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. When such charges are deducted, actual
investment performance in a variable policy or contract will be lower.
++The Wilshire MidCap Index is comprised of the bottom 750 companies of the
largest 1,250 domicile companies as measured by capitalization.
21
<PAGE>
MATURING GOVERNMENT BOND 1998 PORTFOLIO
MATURING GOVERNMENT BOND 2002 PORTFOLIO
MATURING GOVERNMENT BOND 2006 PORTFOLIO
MATURING GOVERNMENT BOND 2010 PORTFOLIO
PERFORMANCE UPDATE
KENT WEBER, CFA
PORTFOLIO MANAGER
[PHOTO] The Maturing
Government Bond
1998, 2002, 2006
and 2010
Portfolios seek as high of an
investment return as is
consistent with prudent
investment risk. The
Portfolios invest primarily
in U.S. Government and
Agencies zero coupon fixed
income securities with mature
near the 1998, 2002, 2006 and
2010 liquidation dates of
each Portfolio.
PERFORMANCE
For the six month period ending June 30, 1997, the Maturing Government Bond
Portfolios generated the following returns:
<TABLE>
<S> <C>
Maturing Government Bond 1998 Portfolio 2.74 percent*
Maturing Government Bond 2002 Portfolio 2.07 percent*
Maturing Government Bond 2006 Portfolio 2.02 percent*
Maturing Government Bond 2010 Portfolio 1.89 percent*
</TABLE>
For the six month period ending June 30, 1997, the Ryan Lab's Treasury Strip
Indexes of comparable maturity generated the following returns:
<TABLE>
<S> <C>
Ryan Lab's, Inc. September 1998 Index 2.76 percent**
Ryan Lab's, Inc. September 2002 Index 2.53 percent**
Ryan Lab's, Inc. September 2006 Index 2.19 percent**
Ryan Lab's, Inc. September 2010 Index 1.59 percent**
</TABLE>
PORTFOLIO RECAP
Our investment activities remain focused on tracking the performance of the
respective Indexes. In reaching these goals, we continue to use a variety of
Government Agency bonds. By selectively using Government securities in concert
with Treasury securities, the portfolios benefit from enhanced diversification
as well as from the receipt of additional income (over treasury securities).
With the passing of time, the duration of the portfolios continue to roll
forward toward their respective maturities. The effective durations of the
portfolios have shortened by approximately .5 years since the beginning of the
year and now stand as follows:
<TABLE>
<S> <C>
Maturing Government Bond 1998 Portfolio 1.3 years
Maturing Government Bond 2002 Portfolio 4.9 years
Maturing Government Bond 2006 Portfolio 8.9 years
Maturing Government Bond 2010 Portfolio 12.6 years
</TABLE>
OUTLOOK
The economies ability to balance strong growth with stable inflation continues
to come as a pleasant surprise to many investors. Investors will undoubtedly
maintain their vigilant search for inflation, but few storm clouds are visible
on the horizon. The economy appears to be benefiting from a double dose of
economic reality that should continue through the rest of the year. Advancements
in productivity and therefore our standard of living are being lead by both the
technology revolution as well as by the efficiencies of an ever improving world
economy. In the end, we may have tamed the savage business cycle, but we have
not eliminated it. Given this backdrop, our outlook for the rest of the year
calls for quarterly growth potential to bounce between 1 percent to 4 percent
and inflation to hang out around 2.5 percent to 3.0 percent. These conditions
should leave long term interest rates in their recent range of 6.0 percent to
7.25 percent.
22
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury Strips 30.0%
Tennessee Valley
Authority Strips 19.4%
FNMA 19.0%
FHLB 8.9%
FICO 16.2%
Israel GTC 5.3%
Cash and Other
Assets/Liabilities 1.2%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury Strips 33.8%
Tennessee Valley
Authority Strips 20.9%
FNMA 18.0%
FICO 16.4%
Israel Trust 8.9%
Cash and Other
Assets/Liabilities 2.0%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury Strips 29.6%
Israel State Aid Strips 25.8%
FNMA 14.3%
FICO 13.9%
RFC 15.5%
Cash and Other
Assets/Liabilities 0.9%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury Strips 31.9%
FNMA 7.9%
FICO 13.4%
RFC 5.2%
State of Israel Aid Coupon 23.9%
Turkey Government Trust
Certificates 7.9%
Israel Trust 2.1%
Cash and Other
Assets/Liabilities 7.7%
</TABLE>
*Historical performance is not an indication of future performance. Investment
returns on principal values will fluctuate so that shares upon redemption may
be worth more or less than their original cost. Performance figures of the
Fund 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. When such charges are deducted, actual
investment performance in a variable policy or contract will be lower.
**Ryan Labs, Inc. September 1998, 2002, 2006 and 2010 Index of Treasury Strips
consists of all active zero-coupon Treasury issues with maturities in
September 1998, 2002, 2006 and 2010, respectively.
23
<PAGE>
MATURING
GOVERNMENT
BOND PORTFOLIOS
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN MATURING GOVERNMENT BOND 1998
PORTFOLIO, RYAN LABS, INC. SEPTEMBER 1998 INDEX OF TREASURY STRIPS
AND CONSUMER PRICE INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Ryan Labs, Inc.
Maturing September 1998
Government Index of
Bond 1998
Portfolio Treasury Strips CPI
<S> <C> <C> <C>
5/02/94 $ 10,000 $ 10,000 $ 10,000
12/31/94 10,005 10,014 10,149
12/31/95 11,606 11,700 10,405
12/31/96 12,086 12,294 10,749
6/30/97 12,417 12,710 10,831
AVERAGE ANNUAL TOTAL
RETURN:
One year 6.7%
Since inception (May 2,
1994) 7.1%
</TABLE>
On the chart above you can see how the Maturing Government Bond
1998 Portfolio's total return compared to the Ryan Labs, Inc. Index of
Treasury Strips and the Consumer Price Index. The three lines
represent the total return of a hypothetical $10,000 investment made
on inception date of the Maturing Government Bond 1998 Portfolio (May
2, 1994) through June 30, 1997.
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN MATURING GOVERNMENT BOND 2002
PORTFOLIO, RYAN LABS, INC. SEPTEMBER 2002 INDEX OF TREASURY STRIPS
AND CONSUMER PRICE INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Ryan Labs, Inc.
Maturing September 2002
Government Index of
Bond 2002
Portfolio Treasury Strips CPI
<S> <C> <C> <C>
5/02/94 $ 10,000 $ 10,000 $ 10,000
12/31/94 10,028 9,943 10,149
12/31/95 12,537 12,857 10,405
12/31/96 12,754 13,028 10,749
6/30/97 13,018 13,446 10,831
(Thousands)
AVERAGE ANNUAL TOTAL
RETURN:
One year 7.7%
Since inception (May 2,
1994) 8.7%
</TABLE>
On the chart above you can see how the Maturing Government Bond
2002 Portfolio's total return compared to the Ryan Labs, Inc.
September 2002 Index of Treasury Strips and the Consumer Price Index.
The three lines represent the total return of a hypothetical $10,000
investment made on inception date of the Maturing Government Bond 2002
Portfolio (May 2, 1994) through June 30, 1997.
24
<PAGE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN MATURING GOVERNMENT BOND 2006
PORTFOLIO, RYAN LABS, INC. SEPTEMBER 2006 INDEX OF TREASURY STRIPS
AND CONSUMER PRICE INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Ryan Labs, Inc.
Maturing September 2006
Government Index of
Bond 2006
Portfolio Treasury Strips CPI
<S> <C> <C> <C>
5/02/94 $ 10,000 $ 10,000 $ 10,000
12/31/1994 10,013 9,967 10,149
12/31/1995 13,490 14,076 10,405
12/31/1996 13,327 13,720 10,749
6/30/1997 13,596 14,104 10,831
(Thousands)
AVERAGE ANNUAL TOTAL
RETURN:
One year 9.1%
Since inception (May 2,
1994) 10.2%
</TABLE>
On the chart above you can see how the Maturing Government Bond
2006 Portfolio's total return compared to the Ryan Labs, Inc.
September 2006 Index of Treasury Strips and the Consumer Price Index.
The three lines represent the total return of a hypothetical $10,000
investment made on inception date of the Maturing Government Bond 2006
Portfolio (May 2, 1994) through June 30, 1997.
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN MATURING GOVERNMENT BOND 2010
PORTFOLIO, RYAN LABS, INC. SEPTEMBER 2010 INDEX OF TREASURY STRIPS
AND CONSUMER PRICE INDEX.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Ryan Labs, Inc.
Maturing September 2010
Government Index of
Bond 2010
Portfolio Treasury Strips CPI
<S> <C> <C> <C>
5/02/94 $ 10,000 $ 10,000 $ 10,000
12/31/1994 9,970 9,892 10,149
12/31/1995 14,080 15,112 10,405
12/31/1996 13,599 14,276 10,749
6/30/1997 13,856 14,554 10,831
(Thousands)
AVERAGE ANNUAL TOTAL
RETURN:
One year 10.1%
Since inception (May 2,
1994) 10.9%
</TABLE>
On the chart above you can see how the Maturing Government Bond
2010 Portfolio's total return compared to the Ryan Labs, Inc.
September 2010 Index of Treasury Strips and the Consumer Price Index.
The three lines represent the total return of a hypothetical $10,000
investment made on inception date of the Maturing Government Bond 2010
Portfolio (May 2, 1994) through June 30, 1997.
*Historical performance is not an indication of future performance. Investment
returns on principal values will fluctuate so that shares upon redemption may
be worth more or less than their original cost. Performance figures of the Fund
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. When such charges are deducted, actual investment
performance in a variable policy or contract will be lower.
25
<PAGE>
VALUE STOCK PORTFOLIO
PERFORMANCE UPDATE
MATTHEW FINN, CFA
PORTFOLIO MANAGER
[PHOTO]
The Value Stock
Portfolio seeks
long-term
accumulation of capital. The
Portfolio invests primarily
in equity securities of
companies which, in the
opinion of the Adviser, have
market values which appear
low relative to their
underlying value or future
growth potential.
PERFORMANCE
For the six month period ended June 30, 1997, the Value Stock Portfolio returned
16.2 percent* versus 16.5 percent for the S&P Barra Value Index** and 20.6
percent for the S&P 500 Index+ for the same period.
PORTFOLIO RECAP
Areas that helped performance included holdings in the paper and forest products
industry as Fort Howard Paper increased 82.8 percent during the six months
mainly because the company announced a merger with James River. In addition, the
shares of Champion International have appreciated 31.5 percent since
acquisition.
The largest negative impact on performance was the holding in the apparel
industry--Fruit of the Loom (FTL). FTL shares were weak during the period
following the company's first quarter earnings announcement. The position in FTL
has been reduced. The portfolio is overweighted versus the S&P 500 in the
domestic oil industry, This industry underperformed the market and our
selections slightly underperformed their industry peers over the last six
months.
OUTLOOK
The performance of the major indices is likely to continue to be dominated by
the price movements of the largest companies. In some cases valuations have
reached extremes not seen for decades. One explanation for firms being valued at
levels that are hard to justify on an economic basis is the popularity of index
funds. Index funds buy without a conscience, that is they are oblivious to
valuations and business fundamentals. As money flows into index funds the prices
of the largest companies are bid up. The trend is further exacerbated by active
managers buying these same large companies in order to more closely match the
performance of the large capitalization indexes. History would suggest that his
type of anomaly will not last forever.
Federal Reserve policy appears to be on hold and the domestic economy
continues to surprise most observers in its ability to produce growth without
rapid inflation. Volatility in the stock market is significant and opportunities
are fleeting. We remain focused on sticking to our investment approach which
emphasizes ferreting out exceptional investment opportunities in the shares of
attractively priced, quality companies.
26
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ ------- ----------- ----------
<S> <C> <C> <C>
Everest Reinsurance Holdings................................ 254,892 $10,100,096 6.7%
American Stores Company..................................... 154,399 7,623,451 5.1%
Reynolds Metals Company..................................... 101,500 7,231,875 4.8%
C.R. Bard, Inc.............................................. 189,400 6,877,588 4.6%
Hormel Foods Corporation.................................... 221,313 5,947,787 4.0%
Chubb Corporation........................................... 86,713 5,798,932 3.9%
Valero Energy Corporation................................... 155,700 5,644,125 3.8%
Federated Department Stores................................. 153,200 5,323,700 3.6%
Fort Howard Corporation..................................... 96,600 4,890,375 3.3%
Texas Utilities Company..................................... 138,200 4,759,263 3.2%
----------- --
$64,197,192 43.0%
----------- --
----------- --
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Basic Materials 14.5%
Capital Goods 2.7%
Communication Services 6.3%
Consumer Cyclical 10.1%
Consumer Staples 10.6%
Energy 16.2%
Financial 18.9%
Health Care 4.6%
Technology 5.7%
Transportation .5%
Utilities 6.9%
Cash and Other
Assets/Liabilities 3.0%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN VALUE STOCK PORTFOLIO,
S&P 500 BARRA VALUE INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
Value
Stock S&P 500
Barra Value
Portfolio Index CPI
<S> <C> <C> <C>
5/02/94 $ 10,000 $ 10,000 $ 10,000
12/31/94 10,457 10,062 10,149
12/31/95 13,904 13,784 10,405
12/31/96 18,207 16,816 10,749
6/30/97 21,155 19,588 10,831
AVERAGE ANNUAL TOTAL
RETURN:
One year 34.0%
Since inception (May 2,
1994) 26.7%
</TABLE>
On the chart above you can see how the Value Stock Portfolio's
total return compared to the S&P 500 Barra Value Index and the
Consumer Price Index. The three lines represent the total return of a
hypothetical $10,000 investment made on inception date of the Value
Stock Portfolio (May 2, 1994) through June 30, 1997.
*Historical performance is not an indication of future performance. Investment
returns on principal values will fluctuate so that shares upon redemption may
be worth more or less than their original cost. Performance figures of the
Fund 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. When such charges are deducted, actual
investment performance in a variable policy or contract will be lower.
**The S&P Barra Value Index contains approximately one-half of the common stocks
from the S&P 500. The Index contains those stocks with a higher book-to-price
ratio.
+The S&P 500 is a broad, unmanaged index of 500 common stocks which are
representative of the U.S. stock market overall.
27
<PAGE>
GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1997
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
COMMON STOCKS (98.7%)
BASIC MATERIALS (5.9%)
Chemical--Specialty (2.9%)
250,000 Sigma-Aldrich........................................................................ $ 8,765,625
--------------
Containers--Paper (3.0%)
209,100 Bemis Company, Inc................................................................... 9,043,575
--------------
CAPITAL GOODS (7.5%)
Electrical Equipment (2.1%)
96,000 General Electric Company............................................................. 6,276,000
--------------
Manufacturing--Diversified (1.6%)
151,500 ADT Limited (b)(c)................................................................... 4,999,500
--------------
Office Equipment/Supply (3.8%)
165,000 Pitney Bowes, Inc.................................................................... 11,467,500
--------------
CONSUMER CYCLICAL (20.8%)
Distributor--Durable (3.5%)
315,000 Genuine Parts Company................................................................ 10,670,625
--------------
Publishing--News (4.1%)
127,000 Gannett Company...................................................................... 12,541,250
--------------
Retail (9.9%)
130,500 Home Depot, Inc...................................................................... 8,996,344
283,000 Dillard Department Stores, Inc....................................................... 9,798,875
329,200 Wal-Mart Stores, Inc................................................................. 11,131,075
--------------
29,926,294
--------------
Service (3.3%)
50,000 Omnicom Group........................................................................ 3,081,250
115,700 Service Corporation International.................................................... 3,803,638
122,600 CUC International, Inc. (b).......................................................... 3,164,613
--------------
10,049,501
--------------
CONSUMER STAPLES (23.5%)
Foods (6.7%)
163,000 Conagra, Inc......................................................................... 10,452,375
240,000 Sara Lee Corporation................................................................. 9,990,000
--------------
20,442,375
--------------
Beverage (3.9%)
150,000 Anheuser-Busch Companies, Inc........................................................ 6,290,625
85,100 Coca-Cola Company.................................................................... 5,744,250
--------------
12,034,875
--------------
Tobacco (3.6%)
246,000 Philip Morris Companies, Inc......................................................... 10,916,250
--------------
Personal Care (1.0%)
32,300 Gillette Company..................................................................... 3,060,425
--------------
Distributor--Food/Health (3.4%)
280,000 Sysco Corporation.................................................................... 10,220,000
--------------
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
Housewares (1.5%)
114,500 Newell Co............................................................................ $ 4,537,063
--------------
Retail Stores--Food (3.4%)
285,000 Alberstson's Incorporated............................................................ 10,402,500
--------------
ENERGY (6.2%)
Oil (6.2%)
54,800 Shell Transport and Trading Company (c).............................................. 6,891,100
220,000 Royal Dutch Petroleum ADR (c)........................................................ 11,962,500
--------------
18,853,600
--------------
FINANCIAL (8.9%)
Banks (3.7%)
199,000 Norwest Corporation.................................................................. 11,193,750
--------------
Savings and Loans (1.0%)
51,700 Washington Mutual Incorporated....................................................... 3,089,075
--------------
Finance--Diversified (3.3%)
240,000 Southtrust Corporation............................................................... 9,930,000
--------------
Insurance Brokers (.9%)
59,500 Sunamerica Incorporated.............................................................. 2,900,625
--------------
HEALTH CARE (16.3%)
Health Care--Diversified (4.7%)
44,000 Johnson & Johnson.................................................................... 2,832,500
170,000 Abbott Laboratories.................................................................. 11,347,500
--------------
14,180,000
--------------
Drugs--Major Pharmacy (9.2%)
276,000 Schering Plough Corporation.......................................................... 13,213,500
35,500 Pfizer Inc........................................................................... 4,242,250
100,000 Merck & Co., Inc..................................................................... 10,350,000
--------------
27,805,750
--------------
Hospital Management (1.5%)
119,500 Columbia/HCA Healthcare
Corporation........................................................................ 4,697,844
--------------
Managed Care (.9%)
52,800 United Health Care................................................................... 2,745,600
--------------
TECHNOLOGY (9.6%)
113,000 W W Grainger Inc..................................................................... 8,835,188
47,200 Microsoft Corporation (b)............................................................ 5,964,900
106,100 Hewlett-Packard Company.............................................................. 5,941,600
35,000 Intel................................................................................ 4,963,438
77,000 First Data Corporation............................................................... 3,383,184
--------------
29,088,310
--------------
Total common stocks (cost: $248,689,466)........................................................ 299,837,912
--------------
</TABLE>
See accompanying notes to investments in securities.
28
<PAGE>
GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- --------- --------------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (1.1%)
$3,212,026 Temporary Investment Fund, Inc.--TempFund Portfolio, current rate 5.7%.................. $ 3,212,026
--------------
Total short-term securities (cost: $3,212,026).......................................... 3,212,026
--------------
Total investments in securities (cost: $251,901,492) (d)................................ $ 303,049,938
--------------
--------------
</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 6.2% of net assets in foreign securities at June 30,
1997.
(d) At June 30, 1997 the cost of securities for federal income tax purposes was
$251,901,492. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 52,384,887
Gross unrealized depreciation..................... $ (1,236,441)
------------
Net unrealized appreciation....................... $ 51,148,446
------------
------------
</TABLE>
29
<PAGE>
BOND PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1997
(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 (88.3%)
GOVERNMENT OBLIGATIONS (27.5%)
U.S. GOVERNMENT AND AGENCIES (22.8%)
U.S. Treasury (5.9%)
$ 500,000 U.S. Treasury Bond......................................................... 8.000% 11/15/21 $ 565,469
2,675,000 U.S. Treasury Bond......................................................... 6.500% 11/15/26 2,563,819
5,000,000 U.S. Treasury Note......................................................... 5.875% 04/30/98 5,004,685
------------
8,133,973
------------
Government National Mortgage Association (7.1%)
590,555 ........................................................................... 8.000% 09/15/24 605,478
392,360 ........................................................................... 8.000% 01/15/27 401,474
683,209 ........................................................................... 6.500% 11/15/23 658,681
852,309 ........................................................................... 7.000% 11/15/23 842,046
889,604 ........................................................................... 6.500% 05/15/24 856,430
328,569 ........................................................................... 8.500% 10/15/22 344,527
335,758 ........................................................................... 7.500% 02/15/23 338,500
323,139 ........................................................................... 8.500% 12/15/22 338,834
1,701,794 ........................................................................... 8.000% 04/15/25 1,742,244
466,193 ........................................................................... 7.000% 10/15/25 458,076
2,984,095 ........................................................................... 8.500% 01/15/27 3,102,829(e)
------------
9,689,119
------------
Other U.S. Government Agencies (9.9%)
1,000,000 Federal National Mortgage Association...................................... 8.590% 02/03/05 1,010,867
5,650,000 Federal Home Loan Bank..................................................... 7.105% 05/06/02 5,711,924
493,616 Federal National Mortgage Association...................................... 6.500% 03/01/26 472,439
456,336 Federal National Mortgage Association...................................... 7.000% 02/01/26 448,204
996,095 Federal National Mortgage Association...................................... 6.500% 02/01/26 954,347
1,265,662 Federal National Mortgage Association...................................... 7.000% 09/01/17 1,257,561
1,888,825 Federal Home Loan Mortgage Corporation..................................... 6.500% 02/01/16 1,839,506
1,500,000 Federal Home Loan Mortgage Corporation..................................... 7.030% 04/05/04 1,489,915
416,624 Federal Home Loan Mortgage Corporation..................................... 6.500% 12/01/23 403,737
------------
13,588,500
------------
OTHER GOVERNMENT OBLIGATIONS (3.3%)
4,500,000 Poland Yankee Bond (b)..................................................... 7.125% 07/01/04 4,479,300
------------
STATE AND LOCAL GOVERNMENT AGENCIES (1.4%)
950,000 California Housing Finance Agency.......................................... 8.160% 02/01/28 957,422
1,008,000 Wyoming Community Development Authority.................................... 6.850% 06/01/10 995,085
------------
1,952,507
------------
Total government obligations (cost: $37,611,726).................................................. 37,843,399
------------
CORPORATE OBLIGATIONS (60.8%)
BASIC MATERIALS (1.8%)
Chemical--Specialty (1.8%)
2,502,514 Ciba Geigy Corporation 144A Issue (d)...................................... 7.240% 01/02/16 2,462,273
------------
CAPITAL GOODS (3.1%)
Engineer/Construction--Equipment (3.1%)
3,925,000 Joy Technologies Incorporated.............................................. 10.250% 09/01/03 4,276,778
------------
CONSUMER CYCLICAL (4.4%)
Retail (1.5%)
2,000,000 Fingerhut Company.......................................................... 7.375% 09/15/99 2,019,036
------------
</TABLE>
See accompanying notes to investments in securities.
30
<PAGE>
BOND PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ---------- ------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--CONTINUED
Textiles (2.9%)
$3,700,000 Reliance Industries 144A Issue (b)(d)...................................... 10.250% 01/15/2097 $ 4,000,218
------------
COMMUNICATIONS SERVICES (4.6%)
Telephone (4.6%)
3,250,000 Telekom Malaysia Debentures 144A Issue (b)(d).............................. 7.875% 08/01/25 3,352,797
3,000,000 Bellsouth Telecommunications............................................... 6.250% 05/15/03 2,936,856
------------
6,289,653
------------
CONSUMER STAPLES (7.9%)
Entertainment (4.8%)
5,000,000 Time Warner Incorporated................................................... 6.100% 12/30/01 4,786,500
1,750,000 Time Warner Incorporated................................................... 8.375% 03/15/23 1,793,668
------------
6,580,168
------------
Household Products (3.1%)
3,850,000 Premark International, Inc................................................. 10.500% 09/15/00 4,259,713
------------
ENERGY (4.4%)
Oil and Gas Drilling (4.4%)
2,000,000 Dresser Industries Inc..................................................... 8.000% 04/15/03 2,109,012
3,900,000 Petroleum Geo-Services (b)................................................. 7.500% 03/31/07 3,944,932
------------
6,053,944
------------
FINANCIAL (29.6%)
Asset-Backed/Collateralized Mortgage Obligations (3.1%)
1,200,000 CFSB Finance Company Limited, Series 1995-A 144A Issue (d)................. 7.542% 11/15/05 1,188,000
1,547,524 Case Equipment Loan Trust.................................................. 5.500% 02/15/03 1,540,328
615,684 Green Tree Financial Corporation, Net Interest Margin CMO.................. 7.250% 07/15/05 613,012
982,535 Green Tree Financial Corporation........................................... 6.900% 02/15/04 977,613
------------
4,318,953
------------
Auto Finance (4.0%)
1,600,000 Ford Motor Credit Company.................................................. 6.250% 12/08/05 1,515,259
4,000,000 Ford Motor Credit Company.................................................. 6.375% 04/03/00 3,976,960
------------
5,492,219
------------
Banks (7.7%)
3,400,000 St. George Bank 144A Issue (b)(c)(d)....................................... 8.487% 12/31/49 3,456,610
3,000,000 Wells Fargo Capital........................................................ 7.960% 12/15/26 2,959,554
4,000,000 Midland Bank PLC Subordinated (b).......................................... 7.625% 06/15/06 4,128,692
------------
10,544,856
------------
Commercial Finance (3.1%)
4,250,000 General Electric Capital Corp.............................................. 6.660% 05/01/18 4,259,205
------------
Consumer Finance (1.4%)
1,885,000 Associates Corporation of North America.................................... 6.750% 10/15/99 1,895,260
------------
Investment Bankers/Broker (6.9%)
1,500,000 Lehman Brothers Holdings Incorporated...................................... 7.375% 05/15/04 1,511,298
4,000,000 Lehman Brothers Inc........................................................ 7.360% 12/15/03 4,059,028
4,000,000 Morgan Stanley Dean Witter................................................. 6.875% 05/15/04 3,921,116
------------
9,491,442
------------
Real Estate Investment Trust (3.4%)
3,750,000 Wharf International Finance 144A Issue (b)(d).............................. 7.625% 03/13/07 3,753,169
1,000,000 Security Capital Pacific Trust............................................. 7.500% 02/15/14 993,748
------------
4,746,917
------------
</TABLE>
See accompanying notes to investments in securities.
31
<PAGE>
BOND PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ---------- ------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--CONTINUED
UTILITIES (5.0%)
Electric Company (5.0%)
$4,000,000 Enersis (b)................................................................ 6.900% 12/01/06 $ 3,900,000
3,000,000 Wisconsin Electric Power Company........................................... 5.125% 09/15/98 2,966,694
------------
6,866,694
------------
Total corporate obligations (cost: $83,062,815)................................................... 83,557,329
------------
Total long-term debt securities (cost: $120,674,541).............................................. 121,400,728
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
- ---------
<C> <S> <C> <C> <C>
PREFERRED STOCKS (2.2%)
FINANCIAL (2.2%)
Real Estate Investment Trust (2.2%)
60,000 Security Capital Industrial, Series C-8.54%..................................................... 3,005,820
------------
Total preferred stock (cost: $3,000,000)........................................................ 3,005,820
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (10.1%)
$2,822,968 Temporary Investment Fund, Inc--TempFund Portfolio, current rate 5.7%........................... 2,822,968
3,000,000 U.S. Treasury Bill......................................................... 5.157% 08/28/97 2,975,541
3,690,000 U.S. Treasury Bill......................................................... 5.146% 07/24/97 3,678,351
3,000,000 Pepsico, Inc. CP........................................................... 5.692% 08/01/97 2,985,453
1,400,000 Florida Power Corporation CP............................................... 5.557% 07/21/97 1,395,452
------------
Total short-term securities (cost: $13,858,398)................................................. 13,857,765
------------
Total investments in securities (cost: $137,532,938) (e)........................................ $138,264,313
------------
------------
</TABLE>
Notes to Investments in Securities
- ----------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) The Portfolio held 20.0% of net assets in foreign securities at June 30,
1997.
(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
illiquid securities held at June 30, 1997, which includes acquisition date
and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
-------------------------------------------------- ----------- -----------
<S> <C> <C>
Ciba Geigy Corporation 144A Issue................. 12/24/96 $ 2,502,514
Reliance Industries 144A Issue.................... various 3,835,732
Telekom Malaysia Debentures 144A Issue............ various 3,233,285
CFSB Finance Company Limited, Series 1995-A 144A
Issue............................................. 5/15/96 1,167,750
St. George Bank 144A Issue........................ 6/12/97 3,400,000
Wharf International Finance 144A Issue............ various 3,727,973
-----------
$17,867,254
-----------
-----------
</TABLE>
(e) At June 30, 1997 the cost of securities for federal income tax purposes was
$137,532,938. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
COST
-----------
<S> <C> <C>
Gross unrealized appreciation.................................. $ 1,150,616
Gross unrealized depreciation.................................. (419,241)
-----------
Net unrealized appreciation.................................... $ 731,375
-----------
-----------
</TABLE>
32
<PAGE>
MONEY MARKET PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1997
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ----------- -----------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (94.1%)
BASIC MATERIALS (10.2%)
Chemical Specialty (10.2%)
$ 2,300,000 E.I. Du Pont De Nemours & Co................................ 5.74% 07/22/97 $ 2,292,330
540,000 Monsanto Company............................................ 5.67% 08/18/97 536,035
2,590,000 Monsanto Company............................................ 5.77% 10/21/97 2,545,118
-----------
5,373,483
-----------
COMMUNICATION SERVICES (9.4%)
Telephone (9.4%)
2,485,000 Ameritech Corp.............................................. 5.68% 07/18/97 2,478,350
2,520,000 AT&T Corporation............................................ 5.70% 09/04/97 2,495,096
-----------
4,973,446
-----------
CONSUMER STAPLES (37.6%)
Beverage (11.0%)
580,000 Anheuser-Busch Company Inc.................................. 5.69% 08/29/97 574,730
1,865,000 Anheuser-Busch Company Inc. (c)............................. 5.74% 08/22/97 1,849,963
270,000 Coca-Cola Company........................................... 5.62% 08/04/97 268,616
605,000 Coca-Cola Company........................................... 5.71% 08/11/97 601,187
2,515,000 Pepsico, Inc................................................ 5.64% 07/01/97 2,515,000
-----------
5,809,496
-----------
Entertainment (4.3%)
800,000 Walt Disney Company......................................... 5.71% 09/09/97 791,459
1,515,000 Walt Disney Company......................................... 5.69% 09/15/97 1,497,489
-----------
2,288,948
-----------
Foods (13.1%)
2,575,000 Archer Daniels Midland Co................................... 5.52% 07/15/97 2,569,487
2,220,000 Cargill, Inc................................................ 5.74% 09/12/97 2,195,163
2,120,000 CPC International (c)....................................... 5.66% 07/07/97 2,118,002
-----------
6,882,652
-----------
Special Printing (4.7%)
2,455,000 McGraw-Hill Co.............................................. 5.48% 07/11/97 2,451,272
-----------
Tobacco (4.5%)
2,400,000 Philip Morris Companies, Inc................................ 5.81% 08/28/97 2,378,128
-----------
FINANCIAL (12.7%)
Commercial Finance (4.6%)
2,445,000 Xerox Credit................................................ 5.65% 08/15/97 2,428,227
-----------
Consumer Finance (3.1%)
1,640,000 American General Finance Corp............................... 5.74% 07/16/97 1,636,084
-----------
Finance--Diversified (5.0%)
2,640,000 Ciesco LP................................................... 5.57% 07/30/97 2,628,214
-----------
HEALTH CARE (4.6%)
Drugs--Major Pharmacy (4.6%)
2,410,000 Schering Plough Corporation................................. 5.63% 07/01/97 2,410,000
-----------
UTILITIES (19.6%)
Electric Companies (19.6%)
2,600,000 Alabama Power Company....................................... 5.74% 07/10/97 2,596,277
2,500,000 Carolina Power & Light Co................................... 5.35% 07/24/97 2,491,191
2,630,000 MidAmerica Energy........................................... 5.75% 07/02/97 2,629,580
2,600,000 Potomic Electric Power Co................................... 5.56% 07/14/97 2,594,796
-----------
10,311,844
-----------
Total commerical paper (cost: $49,571,794)..................................... 49,571,794
-----------
</TABLE>
See accompanying notes to investments in securities.
33
<PAGE>
MONEY MARKET PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ----------- -----------
<C> <S> <C> <C> <C>
U. S. GOVERNMENT AGENCY OBLIGATION (4.7%)
$ 2,500,000 Federal Home Loan Bank...................................... 6.00% 11/05/97 $ 2,496,073
-----------
Total U.S. government agency obligation (cost $2,496,073)...................... 2,496,073
-----------
OTHER SHORT-TERM SECURITIES (5.4%)
2,845,965 Temporary Investment Fund, Inc.--TempFund Portfolio current rate 5.70%......... 2,845,965
-----------
Total other short-term securities (cost: $2,845,965)........................... 2,845,965
-----------
Total investments in securities (cost: $54,913,832) (b)........................ $54,913,832
-----------
-----------
</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, 1997.
(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.
34
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1997
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
COMMON STOCKS (45.5%)
BASIC MATERIALS (1.0%)
Chemicals (1.0%)
79,993 Praxair Inc................................................. $ 4,479,608
--------------
CAPITAL GOODS (4.7%)
Machinery (4.7%)
106,410 United Waste Systems, Inc. (b).............................. 4,362,810
142,352 General Electric Company.................................... 9,306,262
67,000 ADT Limited (b)(c).......................................... 2,211,000
56,600 Tyco International Ltd...................................... 3,937,238
68,200 Wallace Computer Services, Inc.............................. 2,050,263
--------------
21,867,573
--------------
COMMUNICATION SERVICES (.9%)
Telephone (.9%)
132,400 Cincinnati Bell Incorporated................................ 4,170,600
--------------
CONSUMER GOODS AND SERVICES (15.9%)
Consumer Cyclical (7.8%)
60,000 Magna International Inc
(Class A) (b)(c).......................................... 3,611,250
106,700 Carnival Corporation........................................ 4,401,375
84,311 Gtech Holdings Corporation (b).............................. 2,719,030
55,500 Leggett & Platt Incorporated................................ 2,386,500
30,040 Home Depot Inc.............................................. 2,070,883
36,300 Kohl's Inc. (b)............................................. 1,921,631
66,400 Autozone Inc. (b)........................................... 1,564,550
87,304 Omnicom Group............................................... 5,380,109
165,408 CUC International Inc. (b).................................. 4,269,594
35,800 HFS Incorporated (b)........................................ 2,076,400
170,800 Service Corporation International........................... 5,615,050
--------------
36,016,372
--------------
Consumer Staples (8.1%)
48,000 Conagra, Inc................................................ 3,078,000
70,000 Kimberly-Clark Corporation.................................. 3,482,500
14,455 Procter & Gamble Company.................................... 2,041,769
152,800 Philip Morris Companies, Inc................................ 6,780,500
22,500 Gillette Company............................................ 2,131,875
94,200 Coca-Cola Company........................................... 6,358,500
136,000 Newell Co................................................... 5,389,000
80,687 Manpower.................................................... 3,590,572
99,900 Automatic Data Processing Inc............................... 4,695,300
--------------
37,548,016
--------------
FINANCIAL (8.0%)
Bank/Savings and Loans (1.1%)
48,850 Norwest Corporation......................................... 2,747,813
40,500 Washington Mutual Incorporated.............................. 2,419,875
--------------
5,167,688
--------------
Consumer Finance (.7%)
55,500 Associates First Capital Corp............................... 3,080,250
--------------
Finance (.4%)
62,500 Federal Home Loan Mortgage Corp............................. 2,148,438
--------------
Insurance (2.0%)
9,700 Hartford Life............................................... 363,750
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
FINANCIAL--CONTINUED
31,206 American International Group, Incorporated.................. $ 4,661,396
86,300 Sunamerica Incorporated..................................... 4,207,125
--------------
9,232,271
--------------
Investment Management (.5%)
41,300 T. Rowe Price Associates.................................... 2,132,113
--------------
Other Finance (3.3%)
82,400 Danka Business Systems PLC (c).............................. 3,368,100
30,000 Finova Finance Trust........................................ 2,295,000
80,900 Nine West Group Inc. (b).................................... 3,089,369
65,250 Paychex Incorporated........................................ 2,479,500
90,792 Safeway Inc. (b)............................................ 4,187,781
--------------
15,419,750
--------------
HEALTH CARE (7.0%)
Drugs--Major Pharmacy (3.5%)
52,000 Merck & Co., Inc............................................ 5,382,000
41,760 Pfizer Inc.................................................. 4,990,320
63,600 Smithkline Beecham (c)...................................... 5,827,350
--------------
16,199,670
--------------
Health Care--Diversified (.9%)
66,000 Johnson & Johnson........................................... 4,248,750
--------------
Hospital Management (1.4%)
162,109 Columbia/HCA Healthcare Corporation......................... 6,372,910
--------------
Managed Care (.5%)
42,100 United Health Care.......................................... 2,189,200
--------------
Medical Product/Supplies (.7%)
38,900 Medtronic Inc............................................... 3,150,900
--------------
TECHNOLOGY (7.5%)
46,762 Computer Associates International........................... 2,604,059
41,500 Microsoft Corporation (b)................................... 5,244,563
79,400 Parametric Technology
Corporation (b)........................................... 3,379,463
92,800 Gateway (b)................................................. 3,010,200
47,200 Intel....................................................... 6,693,550
34,000 Cisco Systems, Inc. (b)..................................... 2,282,250
111,500 Equifax Incorporated........................................ 4,146,406
140,152 First Data Corporation...................................... 6,157,929
31,500 Garner Group Incorporated................................... 1,132,031
--------------
34,650,451
--------------
UTILITIES (.5%)
Natural Gas (.5%)
50,900 Enron Corp.................................................. 2,077,351
--------------
Total common stocks (cost: $151,030,653)............................... 210,151,911
--------------
PREFERRED STOCKS (.5%)
FINANCIAL (.5%)
50,000 Security Capital Industrial,
C-8.54%................................................... 2,504,850
--------------
Total preferred stocks (cost: $2,500,000).............................. 2,504,850
--------------
</TABLE>
See accompanying notes to investments in securities.
35
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ------------ -------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (43.3%)
GOVERNMENT OBLIGATIONS (19.8%)
U.S. Treasury (12.9%)
$ 4,000,000 U.S. Treasury Bond.......................................... 12.000% 08/15/13 $ 5,632,500
9,900,000 U.S. Treasury Bond.......................................... 6.500% 11/15/26 9,488,526
10,250,000 U.S. Treasury Note.......................................... 6.000% 12/31/97 10,272,417
7,650,000 U.S. Treasury Note.......................................... 6.125% 09/30/00 7,614,137
20,050,000 U.S. Treasury Note.......................................... 5.875% 04/30/98 20,068,787
8,350,000 U.S. Treasury Interest Strip (d)............................ 6.315% 02/15/01 6,664,210
-------------
59,740,577
-------------
Government National Mortgage Association (1.5%)
294,824 ............................................................ 7.500% 06/20/02 298,073
138,279 ............................................................ 7.500% 07/20/02 139,803
369,126 ............................................................ 6.500% 11/15/23 355,874
845,983 ............................................................ 6.500% 03/15/24 814,435
289,477 ............................................................ 6.500% 11/15/23 279,084
488,169 ............................................................ 6.500% 11/15/23 470,644
240,724 ............................................................ 6.500% 11/15/23 232,082
21,254 ............................................................ 6.500% 03/15/24 20,461
315,546 ............................................................ 6.500% 11/15/23 304,218
23,224 ............................................................ 6.500% 02/15/24 22,358
587,798 ............................................................ 7.500% 05/15/24 591,877
1,864,770 ............................................................ 7.000% 10/15/25 1,832,303
1,545,767 ............................................................ 7.000% 11/15/24 1,525,732
-------------
6,886,944
-------------
Federal National Mortgage Association (2.8%)
1,224,418 ............................................................ 6.500% 09/01/25 1,173,101
1,358,666 ............................................................ 7.000% 05/01/11 1,356,586
3,148,721 ............................................................ 7.000% 02/01/26 3,092,607
936,582 ............................................................ 7.000% 05/01/11 935,148
740,753 ............................................................ 6.500% 05/01/11 726,167
906,543 ............................................................ 6.500% 05/01/11 888,693
2,236,397 ............................................................ 6.000% 05/01/11 2,157,517
2,600,000 ............................................................ 8.590% 02/03/05 2,628,254
-------------
12,958,073
-------------
Other U.S. Government Agencies (.7%)
1,253,956 Federal Home Loan Mortgage Corporation...................... 6.500% 12/01/23 1,215,170
1,794,384 Federal Home Loan Mortgage Corporation...................... 6.500% 02/01/16 1,747,531
-------------
2,962,701
-------------
Other Government Obligations (1.4%)
6,500,000 Poland Yankee Bond (c)...................................... 7.125% 07/01/04 6,470,100
-------------
State and Local Government Obligations (.5%)
2,520,000 Wyoming Community Development Authority..................... 6.850% 06/01/10 2,487,713
-------------
Total government obligations (cost: $91,251,582)................................ 91,506,108
-------------
CORPORATE OBLIGATIONS (23.5%)
BASIC MATERIALS (.8%)
Chemical--Speciality (.8%)
4,004,022 Ciba Geigy Corporation 144A Issue (e)....................... 7.240% 01/02/16 3,939,638
-------------
CAPITAL GOODS (.8%)
Engineering/Construction--Equipment (.8%)
3,340,000 Joy Technologies, Incorporated.............................. 10.250% 09/01/03 3,639,348
-------------
COMMUNICATION SERVICES (1.9%)
Telephone (1.9%)
4,000,000 Bellsouth Telecommunications................................ 6.250% 05/15/03 3,915,808
</TABLE>
See accompanying notes to investments in securities.
36
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ------------ -------------
<C> <S> <C> <C> <C>
COMMUNICATION SERVICES--CONTINUED
$ 4,700,000 Telekom Malaysia Debentures 144A Issue (c)(e)............... 7.875% 08/01/25 $ 4,848,661
-------------
8,764,469
-------------
CONSUMER CYCLICAL (2.0%)
Retail--Computer/Electric (.5%)
2,000,000 Fingerhut Company 144A Issue (e)............................ 7.375% 09/15/99 2,019,036
-------------
Service--Communication/Consumer (.6%)
2,900,000 PHH Corporation............................................. 6.500% 02/01/00 2,895,177
-------------
Textiles (.9%)
4,000,000 Reliance Industries 144A Issue (c)(e)....................... 10.250% /15/2097 4,324,560
-------------
CONSUMER STAPLES (3.4%)
Broadcasting (.8%)
3,400,000 TCI Communications.......................................... 8.750% 08/01/15 3,566,777
-------------
Entertainment (1.6%)
2,000,000 Time Warner, Incorporated................................... 8.375% 03/15/23 2,049,906
5,450,000 Time Warner, Incorporated................................... 6.100% 12/30/01 5,217,285
-------------
7,267,191
-------------
Household Products (1.0%)
4,200,000 Premark International, Incorporated......................... 10.500% 09/15/00 4,646,960
-------------
ENERGY (1.9%)
Oil and Gas Drilling (1.4%)
2,000,000 Dresser Industries, Inc..................................... 8.000% 04/15/03 2,109,012
4,200,000 Petroleum Geo-Services ASA (c).............................. 7.500% 03/31/07 4,248,388
-------------
6,357,400
-------------
Oil (.5%)
2,250,000 Petronas 144A Issue (c)(e).................................. 7.125% 10/18/06 2,241,369
-------------
FINANCIAL (11.1%)
Asset-Backed (1.1%)
1,000,000 Prudential Home Mortgage Securities, Series 92-A, 144A Issue
(e)......................................................... 7.900% 04/28/22 995,000
3,072,121 Case Equipment Loan Trust................................... 5.500% 02/15/03 3,057,836
1,170,406 Paine Webber Mortgage Acceptance Corp, Series 94-4 CMO...... 6.924% 02/25/24 1,122,127
-------------
5,174,963
-------------
Auto Finance (1.0%)
4,500,000 Ford Motor Credit Company................................... 6.375% 04/03/00 4,474,080
-------------
Banks (3.5%)
4,000,000 St. George Bank 144A Issue (c)(d)(e)........................ 8.487% 12/31/49 4,066,600
5,000,000 Midland Bank PLC Subordinated (c)........................... 7.625% 06/15/06 5,160,865
3,000,000 Norwest Corporation......................................... 7.680% 05/10/02 3,040,332
4,150,000 Wells Fargo Capital......................................... 7.960% 12/15/26 4,094,050
-------------
16,361,847
-------------
Commercial Finance (1.1%)
5,000,000 General Electric Capital Corporation........................ 6.660% 05/01/18 5,010,830
-------------
Consumer Finance (.4%)
2,000,000 Associates Corporation of North America..................... 6.750% 10/15/99 2,010,886
-------------
Insurance--Property and Casualty (.7%)
3,000,000 URC Holdings Corporation 144A Issue (e)..................... 7.875% 06/30/06 3,100,290
-------------
Investment Bankers/Brokers (2.1%)
2,400,000 Lehman Brothers Holdings Incorporated....................... 7.375% 05/15/04 2,418,077
3,500,000 Lehman Brothers, Inc........................................ 7.360% 12/15/03 3,551,650
3,750,000 Morgan Stanley Dean Witter.................................. 6.875% 03/01/07 3,676,046
-------------
9,645,773
-------------
</TABLE>
See accompanying notes to investments in securities.
37
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ------------ -------------
<C> <S> <C> <C> <C>
FINANCIAL--CONTINUED
Real Estate Investment Trust (1.2%)
$ 1,500,000 Security Capital Pacific Trust.............................. 7.500% 02/15/14 $ 1,490,622
4,250,000 Wharf International Finance 144A Issue (c)(e)............... 7.625% 03/13/07 4,253,591
-------------
5,744,213
-------------
UTILITIES (1.6%)
Electric Companies (1.6%)
3,750,000 Enersis (c)................................................. 6.900% 12/01/06 3,656,250
3,750,000 Wisconsin Electric Power Company............................ 5.125% 09/15/98 3,708,363
-------------
7,364,613
-------------
Total corporate obligations (cost: $108,042,037)................................ 108,549,420
-------------
Total long-term debt securities (cost: $199,220,031)............................ 200,055,528
-------------
SHORT-TERM SECURITIES (10.4%)
17,835,886 Temporary Investment Fund, Inc.--TempFund Portfolio, current rate 5.70%......... 17,835,886
12,855,000 U.S. Treasury Bills......................................... 4.660% 07/24/97 12,814,417
4,000,000 Federal Home Loan Bank discount note........................ 5.765% 11/05/97 4,000,440
4,290,000 Ciesco LP CP................................................ 5.530% 07/30/97 4,270,496
2,690,000 Pacific Bell CP............................................. 5.530% 07/17/97 2,682,862
2,330,000 HJ Heinz Company CP......................................... 5.500% 07/01/97 2,329,612
4,255,000 Anheuser Busch Company Inc. CP.............................. 5.430% 07/07/97 4,250,164
-------------
Total short-term securities (cost: $48,178,811)................................. 48,183,877
-------------
Total investments in securities (cost: $400,929,495) (f)........................ $ 460,896,166
-------------
-------------
</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 11.7% of net assets in foreign securities as of June 30,
1997.
(d) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(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, 1997, which includes acquisition date
and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISTION
SECURITY DATE COST
- ------------------------------------------------------------ ----------- -------------
<S> <C> <C>
Ciba Geigy Corporation 144A Issue 12/24/96 $ 4,004,002
Telekom Malaysia Debentures 144A Issue...................... various 4,737,529
Fingerhut Company 144A Issue................................ 10/4/96 2,015,900
Reliance Industries 144A Issue.............................. various 4,146,440
Petronas 144A Issue......................................... various 2,257,843
Prudential Home Securities, Series 92-A, 144A Issue......... 7/19/96 950,313
St. George Bank 144A Issue.................................. 6/12/97 4,000,000
URC Holdings Corporation 144A Issue......................... various 3,070,440
Wharf International Finance 144A Issue...................... various 4,229,108
-------------
$ 29,411,575
-------------
-------------
</TABLE>
(f) At June 30, 1997 the cost of securities for federal income tax purposes was
$401,008,648. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation................................... $ 62,343,463
Gross unrealized depreciation................................... (2,455,945)
------------
Net unrealized appreciation..................................... $ 59,887,518
------------
------------
</TABLE>
38
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1997
(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 (92.8%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (35.9%)
Federal Home Loan Mortgage Corporation (FHLMC)(4.9%)
$ 811,569 Bi-weekly......................................... 7.000% 12/01/22 $ 804,979
1,882,977 Bi-weekly......................................... 6.500% 12/01/23 1,824,734
1,338,632 Accrual Bond (g).................................. 9.933% 11/15/13 1,291,177
------------
3,920,890
------------
Federal National Mortgage Association (FNMA) (7.6%)
8,438 30 Year Fixed..................................... 8.000% 05/01/22 8,700
1,236,221 Bi-weekly......................................... 6.500% 03/01/17 1,201,816
357,531 Bi-weekly......................................... 6.500% 02/01/17 348,214
906,707 Bi-weekly......................................... 6.000% 07/01/07 889,270
1,553,272 Bi-weekly......................................... 7.000% 09/01/17 1,543,330
1,500,000 FNR 93-212 Interest-only CMO (f).................. 6.000% 09/25/08 514,559
797,631 PAC Accrual Bond (FNMA 10%) (g)................... 8.359% 06/25/19 782,021
1,923,076 FNR 93-189 Interest-only CMO (f).................. 6.500% 03/25/22 710,890
------------
5,998,800
------------
Government National Mortgage Association (GNMA) (11.1%)
418,596 GNMA II........................................... 7.500% 09/20/16 422,601
183,000 GNMA II........................................... 8.500% 12/20/16 192,618
347,860 GNMA II........................................... 8.500% 05/20/17 366,226
406,320 ................................................... 8.000% 12/15/15 417,355
322,259 ................................................... 8.000% 02/15/16 331,621
313,353 ................................................... 8.000% 02/15/16 322,456
277,932 ................................................... 8.000% 02/15/16 286,006
441,039 ................................................... 8.000% 03/15/16 453,851
514,295 ................................................... 7.000% 04/15/16 506,920
607,397 GNMA II........................................... 8.000% 02/20/17 627,021
338,627 ................................................... 7.000% 09/15/16 336,300
41,246 GNMA II........................................... 8.500% 10/20/16 43,414
570,797 ................................................... 7.000% 08/15/16 566,875
310,698 GNMA II........................................... 7.500% 09/20/16 313,671
314,869 ................................................... 7.000% 05/15/17 312,730
220,452 GNMA II........................................... 8.500% 10/20/16 232,038
350,968 ................................................... 7.000% 07/15/17 348,584
284,541 ................................................... 7.000% 03/15/17 282,609
284,949 ................................................... 7.000% 05/15/17 283,014
847,830 GNMA II........................................... 8.500% 07/20/17 892,595
191,914 GNMA II........................................... 8.500% 03/20/17 202,047
292,936 GNMA II........................................... 8.500% 08/20/17 308,402
365,941 GNMA II........................................... 8.000% 07/20/17 377,764
384,493 GNMA II........................................... 7.500% 08/20/17 387,976
4,423 ................................................... 8.500% 03/15/22 4,638
------------
8,819,332
------------
Other U.S. Government Agencies (8.5%)
250,000 Federal Home Loan Bank............................ 5.030% 07/28/00 249,688
1,722,726 Vendee Mortgage Trust Participation Certificate 8.465% 05/15/24 1,811,554
(b)...............................................
677,771 Vendee Mortgage Trust Participation Certificate 7.206% 02/15/25 674,043
(b)...............................................
1,937,488 Vendee Mortgage Trust Participation Certificate 7.793% 02/15/25 1,973,816
(b)...............................................
1,969,416 Vendee Mortgage Trust Participation Certificate 8.293% 12/15/26 2,058,655
(b)...............................................
------------
6,767,756
------------
</TABLE>
See accompanying notes to investments in securities.
39
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ------------ ------------
<C> <S> <C> <C> <C>
U.S Treasury (3.8%)
$ 3,000,000 U.S Treasury Note................................. 6.250% 06/30/02 $ 2,980,320
------------
OTHER MORTGAGE-BACKED SECURITIES (55.6%)
Asset-backed Securities (6.2%)
1,498,366 Green Tree Financial Corp......................... 6.900 % 02/15/04 1,490,860
461,763 Green Tree Financial Corp......................... 7.250 % 07/15/05 459,759
975,560 SMART............................................. 8.240 % 03/15/01 972,816
2,000,000 Team Fleet Financing 144A Issue (d)............... 7.800 % 03/15/03 2,032,500
------------
4,955,935
------------
Collateralized Mortgage Obligations/Mortgage Revenue Bonds (32.5%)
1,247,929 American Housing Trust, Series I.................. 8.125 % 06/25/18 1,286,926
8,006 American Housing Trust, Series III................ 8.500 % 07/25/97 7,977
1,751,023 Banco Hipotecario Nacional 144A Issue (e)(h)...... 7.916 % 07/25/09 1,764,156
3,415,980 Bank Mart Funding Corporation (e)................. 8.250 % 02/20/19 3,462,950
3,000,000 California Housing Finance Agency................. 7.760 % 08/01/25 3,086,250
1,800,000 California Housing Finance Agency................. 8.160 % 02/01/28 1,814,063
2,850,000 CFSB Finance Co 144A Issue (d).................... 7.542 % 11/15/05 2,821,500
1,504,821 Chase Mortgage Finance Corporation 144A Issue 6.957 % 08/28/24 1,440,866
(d)...............................................
1,040,012 CSFB Mortgage Securities Corp. 144A Issue (d)..... 7.771 % 05/30/23 1,053,012
1,130,473 International Capital Markets Acceptance 8.250 % 09/01/15 1,146,015
Corporation 144A Issue (e)........................
1,000,000 Kidder Peabody Mortgage Asset Trust, Series 19.... 7.450 % 10/01/18 1,010,000
1,801,968 Lehman Structure Securities 144A Issue (d)........ 6.810 % 03/28/04 1,700,607
1,743,917 Morgan Stanley Capital Markets 144A Issue (d)..... 6.970 % 03/01/26 1,649,636
1,000,000 Pennsylvania Housing Finance (c).................. 7.410 % 10/01/17 1,010,313
929,907 Santa Barbara Funding II, Series A................ 5.000 % 03/20/18 863,744
1,715,600 Wyoming Community Development Authority 93-B...... 6.850 % 06/01/10 1,693,619
------------
25,811,634
------------
Commercial Mortgage-Backed Securities (3.6%)
1,839,950 Pleasant Hill Revenue Bond........................ 7.950 % 09/20/15 1,895,148
10,197,300 Asset Securitization Corporation Interest-only 8.290 % 12/13/14 981,004
144A Issue (e)(f).................................
------------
2,876,152
------------
Whole Loan Mortgage-backed Securities (13.3%)
125,071 Bank of America 79-A.............................. 8.375 % 05/01/07 125,071
1,340,529 Bear Stearns Mortgage Securities Inc. 1996-6...... 8.000 % 11/25/27 1,342,205
224,732 FBS Mortgage Corp 1992-CA A6...................... 3.359 % 03/25/08 186,528
1,325,000 Florida Housing Finance Agency.................... 7.250 % 01/01/29 1,324,172
7,500,000 Prudential Home Mortgage Securities 92-A 144A 7.900 % 04/28/22 7,546,875
Issue (d).........................................
10,137 Travelers Mortgage Service........................ 10.000 % 06/01/01 10,137
------------
10,534,988
------------
CORPORATE DEBT SECURITIES (1.3%)
1,000,000 Security Capital Pacific Trust.................... 7.500 % 02/15/14 993,748
------------
Total long-term debt securities (cost: $72,429,381)................... 73,659,555
------------
SHORT-TERM SECURITIES (1.9%)
1,504,337 Temporary Investment Fund, Inc.--TempFund Portfolio, current rate 1,504,337
5.70%.................................................................
------------
Total short-term securities (cost: $1,504,337)........................ 1,504,337
------------
Total investments in securities (cost: $73,933,718) (i)............... $ 75,163,892
------------
------------
</TABLE>
Notes to Investments in Securities
- ----------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Represents a debt security with a weighted average net pass-through rate
which varies based on the pool of underlying collateral. The rate disclosed
is the rate in effect at June 30, 1997.
(c) At June 30, 1997 the total cost of investments issued on a when-issued or
forward commitment basis is $1,000,000.
(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.
40
<PAGE>
MORTGAGE SECURITIES 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, 1997 which includes acquisition date
and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
- ----------------------------------------------------------------- ----------- ---------
<S> <C> <C>
Bank Mart Funding Corporation.................................... various $3,415,540
Asset Securitization Corporation Interest-only 144A Issue........ 10/23/96 1,040,554
Banco Hipotecario Nacional 144A Issue............................ 4/30/97 1,751,023
International Capital Markets Acceptance
Corporation 144A Issue.......................................... 1/9/95 1,072,565
---------
$7,279,682
---------
---------
</TABLE>
(f) Interest-only security that entitles holders to receive only interest on
the underlying mortgages. The principal amount of the underlying pool
represents the notional amount on which current interest is calculated. The
yield to maturity of an interest-only security is sensitive to the rate of
principal payments on the underlying mortgage assets. The interest rate
disclosed represents the market yield based upon the current cost basis and
estimated timing and amount of future cash flows.
(g) Represents a debt security that pays no interest and principal during its
accrual period, but accrues additional principal at specific rates. Interest
rate disclosed represents current yield based upon estimated future cash
flows.
(h) The Portfolio held 2.2% of net assets in foreign securities at June 30,
1997.
(i) At June 30, 1997 the cost of securities for federal income tax purposes was
$73,939,978. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 1,394,035
Gross unrealized depreciation..................... (162,577)
------------
Net unrealized appreciation....................... $ 1,231,458
------------
------------
</TABLE>
41
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1997
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
COMMON STOCKS (99.6%)
BASIC MATERIALS (5.7%)
Agriculture Product (.2%)
6,300 Pioneer Hi-Bred International............................... $ 504,000
--------------
Aluminum (.2%)
7,275 Alcan Aluminum Limited (c).................................. 252,352
5,400 Aluminum Company of America................................. 407,025
--------------
659,377
--------------
Chemicals (3.2%)
3,800 Air Products and Chemicals Incorporated..................... 308,750
10,400 Dow Chemical Company........................................ 906,100
3,825 Eastman Chemical Company.................................... 242,887
5,400 Ecolab, Inc................................................. 257,850
10,487 Engelhard Corporation....................................... 219,571
50,300 E.I. Du Pont De Nemours & Co................................ 3,162,612
6,600 FMC Corporation (b)......................................... 524,288
6,500 BF Goodrich Company......................................... 281,531
3,900 Great Lakes Chemical Corporation............................ 204,262
11,200 Hercules Incorporated....................................... 536,200
4,300 International Flavors & Fragrances.......................... 217,150
21,700 Monsanto Company............................................ 934,456
11,300 Morton International Inc. (b)............................... 341,119
5,800 Nalco Chemical Company...................................... 224,025
7,900 PPG Industries, Inc......................................... 459,187
5,200 Praxair Incorporated........................................ 291,200
3,400 Rohm and Haas Company....................................... 306,212
6,000 Sigma-Aldrich............................................... 210,375
3,900 Union Carbide Corporation................................... 183,544
--------------
9,811,319
--------------
Iron and Steel (.4%)
17,262 Allegheny Teledyne Incorporated............................. 466,074
5,000 Nucor Corporation........................................... 282,500
5,000 Reynolds Metals Company..................................... 356,250
5,640 USX--U.S. Steel Group Incorporated.......................... 197,752
3,300 Worthington Industries (b).................................. 60,431
--------------
1,363,007
--------------
Mining (.7%)
1,400 Asarco Incorporated......................................... 42,875
10,700 Barrick Gold Corporation (c)................................ 235,400
10,100 Freeport-McMoran Copper..................................... 314,362
17,700 Homestake Mining Company.................................... 231,206
5,500 Inco Limited (c)............................................ 165,344
16,022 Newmont Mining Corporation.................................. 624,858
4,300 Phelps Dodge Corporation.................................... 366,306
5,100 Placer Dome Incorporated (c)................................ 83,512
--------------
2,063,863
--------------
Paper and Forest (1.0%)
5,800 Bemis Company, Incorporated................................. 250,850
566 Boise Cascade Corporation................................... 19,987
4,300 Champion International Corporation.......................... 237,575
2,200 Georgia-Pacific Corporation................................. 187,825
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
BASIC MATERIALS--CONTINUED
13,400 International Paper Company................................. $ 650,736
5,600 Louisianna-Pacific Corporation.............................. 118,300
3,900 Mead Corporation............................................ 242,775
600 Potlatch Corporation........................................ 27,150
5,400 Temple-Inland Incorporated.................................. 291,600
5,150 Union Camp Corporation...................................... 257,500
6,000 Westvaco Corporation........................................ 188,625
7,300 Weyerhaeuser Company........................................ 379,600
2,400 Willamette Industries Incorporated.......................... 168,000
--------------
3,020,523
--------------
CAPITAL GOODS (9.3%)
Aerospace/Defense (1.4%)
28,770 Boeing Company.............................................. 1,526,608
6,700 General Dynamics Corporation................................ 502,500
8,619 Lockheed Martin Corporation................................. 892,605
7,200 McDonnell Douglas Corporation............................... 493,200
6,500 Northrop Grumman Corporation................................ 570,781
6,800 Rockwell International Corporation.......................... 401,200
--------------
4,386,894
--------------
Containers--Metal/Glass (.1%)
3,400 Crown Cork & Seal Company, Incorporated..................... 181,688
--------------
Electrical Equipment (4.0%)
6,600 AMP Incorporated............................................ 275,550
16,600 Emerson Electric Company.................................... 914,037
146,000 General Electric Company.................................... 9,544,750
9,600 General Signal Corporation.................................. 418,800
4,300 Honeywell Inc............................................... 326,261
2,400 Raychem Corporation......................................... 178,500
22,000 Westinghouse Electric Corporation........................... 508,750
--------------
12,166,648
--------------
Engineering/Construction (.1%)
2,600 Fluor Corporation........................................... 143,487
700 Foster Wheeler Corporation.................................. 28,350
7,200 Harnischfeger Industries Incorporated....................... 298,800
--------------
470,637
--------------
Machinery (.9%)
3,600 Case Corporation............................................ 247,950
7,600 Caterpillar Inc............................................. 816,050
5,400 Cooper Industries (b)....................................... 268,650
10,300 Deere & Company............................................. 565,212
5,600 Dover Corporation........................................... 344,400
4,600 Ingersoll-Rand Company...................................... 284,050
7,300 Thermo Electron Corporation (b)............................. 250,937
--------------
2,777,249
--------------
Manufacturing (2.3%)
10,400 Allied-Signal Incorporated.................................. 873,600
5,600 Avery Dennison Corporation.................................. 224,700
6,900 Corning Incorporated........................................ 383,812
900 Crane Company............................................... 37,631
</TABLE>
See accompanying notes to investments in securities.
42
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
CAPITAL GOODS--CONTINUED
3,100 Eaton Corporation........................................... $ 270,669
11,100 Illinois Tool Works Inc..................................... 554,306
5,400 Johnson Controls............................................ 221,737
18,500 Minnesota Mining and Manufacturing.......................... 1,887,000
10,899 Pall Corporation............................................ 253,402
4,200 Parker Hannifin Corporation................................. 254,887
13,700 Tenneco Incorporated........................................ 619,069
4,800 Textron Incorporated........................................ 318,600
5,200 Tyco International Ltd...................................... 361,725
8,400 United Technologies Corporation............................. 697,200
--------------
6,958,338
--------------
Office Equipment (.2%)
700 Ikon Office Solutions....................................... 17,456
9,500 Moore Corporation Limited (c)............................... 187,031
4,600 Pitney Bowes, Inc........................................... 319,700
--------------
524,187
--------------
Trucks and Parts ( -- )
2,950 Navistar International Corporation (b)...................... 50,887
1,380 Paccar Incorporated......................................... 64,084
--------------
114,971
--------------
Waste Management (.3%)
6,500 Browning-Ferris Industries.................................. 216,125
13,500 Laidlaw Incorporated (c).................................... 186,469
14,800 WMX Technologies Incorporated............................... 475,450
--------------
878,044
--------------
COMMUNICATION SERVICES (6.0%)
Cellular (.2%)
22,400 Airtouch Communications (b)................................. 613,200
--------------
Telecommunication (1.9%)
72,335 AT&T Corporation............................................ 2,536,246
13,900 Comcast Corporation......................................... 297,112
12,900 Frontier Corporation........................................ 257,194
30,600 MCI Communications.......................................... 1,171,406
19,900 Tele-Communications, Inc (b)................................ 296,012
39,700 Worldcom, Incorporated (b).................................. 1,270,400
--------------
5,828,370
--------------
Telephone (3.9%)
17,500 Alltel Corporation.......................................... 585,156
24,000 Ameritech................................................... 1,630,500
19,500 Bell Atlantic Corporation................................... 1,479,562
42,400 Bellsouth Corporation....................................... 1,966,300
42,500 GTE Corporation............................................. 1,864,687
17,200 Nynex Corporation........................................... 991,150
17,000 Sprint Corporation.......................................... 894,625
40,656 SBC Communications, Inc..................................... 2,515,590
--------------
11,927,570
--------------
CONSUMER CYCLICAL (9.6%)
Auto (2.2%)
30,600 Chrysler Corp. Holding Company.............................. 1,004,062
53,000 Ford Motor Company.......................................... 2,000,750
29,600 General Motors Corporation.................................. 1,648,350
8,600 Dana Corporation............................................ 326,800
9,600 Echlin Incorporated......................................... 345,600
6,300 Goodyear Tire & Rubber Company.............................. 398,869
13,200 ITT Industries.............................................. 339,900
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
5,250 Snap-On Incorporated........................................ $ 206,719
6,400 TRW Inc..................................................... 363,600
--------------
6,634,650
--------------
Building Material (.3%)
3,900 Armstrong World Industries Incorporated..................... 286,162
8,400 Fleetwood Enterprises, Incorporated......................... 250,425
6,900 Masco Corporation........................................... 288,075
400 Owens Corning............................................... 17,250
8,600 TJX Companies, Incorporated................................. 226,825
--------------
1,068,737
--------------
Distribution Durables (.1%)
5,550 Genuine Parts Company....................................... 188,006
--------------
Hardware and Tools (.1%)
1,100 The Black & Decker Corporation.............................. 40,906
8,400 The Stanley Works........................................... 336,000
--------------
376,906
--------------
Houseware ( -- )
4,300 Maytag Corporation.......................................... 112,337
--------------
Leisure (.3%)
7,500 Brunswick Corporation....................................... 234,375
10,200 Hasbro Incorporated......................................... 289,425
8,641 Mattel Incorporated......................................... 292,714
--------------
816,514
--------------
Lodging-Hotel (.3%)
15,500 Hilton Hotels Corporation................................... 411,719
3,400 ITT Corporation (b)......................................... 207,612
5,100 Marriott International Incorporated......................... 313,012
--------------
932,343
--------------
Photography/Imagery (.8%)
14,600 Eastman Kodak Company....................................... 1,120,550
4,000 Polaroid Corporation........................................ 222,000
14,600 Xerox Corporation........................................... 1,151,575
--------------
2,494,125
--------------
Publishing (.9%)
6,600 Dow Jones & Company Inc..................................... 265,237
4,360 Dun & Bradstreet Corporation................................ 114,450
6,400 Gannett Company............................................. 632,000
6,000 Knight-Ridder, Inc.......................................... 294,375
3,600 McGraw-Hill Companies, Inc.................................. 211,725
7,200 Meredith Corporation........................................ 208,800
2,900 New York Times Company...................................... 143,550
3,600 Times Mirror Company........................................ 198,900
11,300 Tribune Company............................................. 543,106
--------------
2,612,143
--------------
Retail (3.9%)
7,400 Circuit City Stores Incorporated (b)........................ 263,163
7,800 Costco Companies Incorporated (b)........................... 256,425
6,600 Dayton Hudson Corporation................................... 351,037
11,500 Dillards Incorporated....................................... 398,188
17,800 Federated Department Stores (b)............................. 618,550
12,000 Gap Incorporated............................................ 466,500
9,800 Harcourt General, Inc....................................... 466,725
19,124 Home Depot Incorporated..................................... 1,318,361
</TABLE>
See accompanying notes to investments in securities.
43
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
49,400 K Mart Corporation (b)...................................... $ 605,150
8,900 Lowe's Companies, Inc....................................... 330,412
7,100 May Department Stores Company............................... 335,475
1,000 Mercantile Stores Company, Incorporated..................... 62,937
10,600 Nike Inc.................................................... 618,775
3,100 Nordstrom, Inc.............................................. 152,094
9,400 J C Penney Company.......................................... 490,562
17,400 Sears, Roebuck and Co....................................... 935,250
6,200 Sherwin-Williams Company.................................... 191,425
3,800 Tandy Corporation........................................... 212,800
11,800 The Limited, Inc............................................ 238,950
1,000 The Stride Rite Corporation................................. 12,875
8,350 Toys R Us (b)............................................... 292,250
100,900 Wal-Mart Stores, Inc........................................ 3,411,681
--------------
12,029,585
--------------
Service (.5%)
5,900 H & R Block, Inc............................................ 190,275
12,000 CUC International Incorporated (b).......................... 309,750
6,400 Harrah's Entertainment (b).................................. 115,200
3,900 HFS Incorporated (b)........................................ 226,200
5,800 Interpublic Group Company................................... 355,612
6,000 Service Corporation International........................... 197,250
--------------
1,394,287
--------------
Textiles (.2%)
5,300 Fruit of the Loom........................................... 164,300
7,700 Liz Clairborne, Inc......................................... 359,012
2,200 V.F. Corporation............................................ 186,450
--------------
709,762
--------------
CONSUMER STAPLES (15.8%)
Beverage (3.9%)
18,400 Anheuser-Busch Companies, Inc............................... 771,650
11,600 Brown-Forman Incorporated................................... 566,225
11,300 The Seagram Company Ltd (c)................................. 454,825
110,400 Coca-Cola Company........................................... 7,452,000
4,600 Coors Company............................................... 122,475
62,500 Pepsico, Inc................................................ 2,347,656
15,600 Whitman Corporation......................................... 374,400
--------------
12,089,231
--------------
Broadcasting (.4%)
18,000 US West Communications Group................................ 678,375
21,600 US West Media Group (b)..................................... 437,400
--------------
1,115,775
--------------
Distribution-Food/Health (.6%)
6,300 Cardinal Health Incorporated................................ 360,675
28,900 Fleming Companies, Incorporated............................. 520,200
17,500 Super Valu Incorporated..................................... 603,750
6,000 Sysco Corporation........................................... 219,000
--------------
1,703,625
--------------
Entertainment (1.3%)
30,082 Walt Disney Company......................................... 2,414,080
600 King World Productions, Inc. (b)............................ 21,000
24,900 Time Warner Incorporated.................................... 1,201,425
11,230 Viacom (b).................................................. 336,900
--------------
3,973,405
--------------
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
Food (2.5%)
16,675 Archer Daniels Midland Company.............................. $ 391,862
6,500 CPC International........................................... 600,031
16,600 Campbell Soup Company....................................... 830,000
7,525 Conagra, Inc................................................ 482,541
4,800 General Mills Incorporated.................................. 312,600
15,700 HJ Heinz Company............................................ 724,162
5,800 Hershey Foods Corporation................................... 320,812
7,700 Kellogg Company............................................. 659,312
6,300 Quaker Oats Company......................................... 282,712
7,800 Ralston-Ralston Purina Group................................ 641,062
17,900 Sara Lee Corporation........................................ 745,087
7,100 Unilever N.V (c)............................................ 1,547,800
3,600 Wm. Wrigley Jr. Company..................................... 241,200
--------------
7,779,181
--------------
Household Product (2.3%)
2,000 Clorox Company.............................................. 264,000
13,100 Colgate Palmolive Company................................... 854,775
22,600 Kimberly-Clark Corporation.................................. 1,124,350
10,000 Newell Company.............................................. 396,250
30,434 Procter & Gamble Company.................................... 4,298,802
7,700 Rubbermaid Incorporated..................................... 229,075
--------------
7,167,252
--------------
Personal Care (1.0%)
12,400 Alberto-Culver Company...................................... 347,200
4,500 Avon Products............................................... 317,531
24,800 Gillette Company............................................ 2,349,800
--------------
3,014,531
--------------
Restaurants (.6%)
18,400 Darden Restaurants, Incorporated............................ 166,750
30,700 McDonalds Corporation....................................... 1,483,194
6,200 Wendy's International, Inc.................................. 160,812
--------------
1,810,756
--------------
Retail (1.0%)
7,200 Albertson's Incorporated.................................... 262,800
8,500 American Stores Company..................................... 419,687
9,700 CVS Corporation............................................. 497,125
4,500 Giant Food Incorporated..................................... 146,812
14,600 Kroger Company.............................................. 423,400
2,400 Longs Drug Stores Corporation............................... 62,850
7,400 Rite Aid Corporation........................................ 369,075
7,500 Walgreen Co................................................. 402,187
14,800 Winn-Dixie Stores, Incorporated............................. 551,300
--------------
3,135,236
--------------
Service (.5%)
9,100 Automatic Data Processing Incorporated...................... 427,700
4,600 Ceridian Corporation (b).................................... 194,350
3,300 Deluxe Corp................................................. 112,612
14,800 R R Donnelly & Sons Co...................................... 542,050
7,900 Safety-Kleen Corp........................................... 133,312
--------------
1,410,024
--------------
Tobacco (1.7%)
4,800 Fortune Brands, Inc......................................... 179,100
108,100 Philip Morris Companies, Inc................................ 4,796,937
</TABLE>
See accompanying notes to investments in securities.
44
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
9,900 UST Incorporated............................................ $ 274,725
--------------
5,250,762
--------------
ENERGY (8.8%)
Oil (7.5%)
9,800 Amerada Hess Corporation.................................... 544,512
20,500 Amoco Corporation........................................... 1,782,219
14,300 Atlantic Richfield Company.................................. 1,008,150
29,100 Chevron Corporation......................................... 2,151,581
110,500 Exxon Corporation........................................... 6,795,750
35,000 Mobil Corporation........................................... 2,445,625
12,100 Occidental Petroleum Corporation............................ 303,256
4,000 Pennzoil Company............................................ 307,000
10,100 Phillips Petroleum Company.................................. 441,875
95,600 Royal Dutch Petroleum ADR (c)............................... 5,198,250
12,400 Texaco, Inc................................................. 1,348,500
7,500 Unocal Corporation.......................................... 291,094
10,600 USX--Marathon Group (b)..................................... 306,075
--------------
22,923,887
--------------
Oil and Gas (1.3%)
7,100 Ashland Incorporated........................................ 329,623
8,600 Baker Hughes Incorporated................................... 332,712
7,400 Burlington Resources, Incorporated.......................... 326,525
15,700 Dresser Industries Incorporated............................. 584,825
4,600 Halliburton Company......................................... 364,550
3,200 Louisiana Land & Exploration Company........................ 182,800
9,200 Oryx Energy Company......................................... 194,350
9,900 Schlumberger Limited (c).................................... 1,237,500
9,300 Union Pacific Resources Group............................... 231,337
2,900 Western Atlas Corporation (b)............................... 212,425
--------------
3,996,647
--------------
FINANCIAL (15.3%)
Banks (7.5%)
25,877 Banc One Corporation........................................ 1,253,417
5,200 Bank of Boston Corporation.................................. 374,725
20,600 Bank of New York Co, Inc.................................... 896,100
31,608 Bankamerica Corporation..................................... 2,040,691
3,400 Bankers Trust New York Corporation.......................... 295,800
9,200 Barnett Banks of Florida, Inc............................... 483,000
21,734 Chase Manhattan Corporation................................. 2,109,556
20,600 Citicorp.................................................... 2,483,587
4,500 Comerica.................................................... 306,000
7,000 Corestates Financial Corporation............................ 376,250
3,400 Fifth Third Bancorp......................................... 278,906
6,000 First Bank Systems, Incorporated............................ 512,250
17,637 First Chicago NBD Corporation............................... 1,067,038
12,395 First Union Corporation..................................... 1,146,537
9,680 Fleet Financial Group, Incorporated......................... 612,260
7,000 Keycorp..................................................... 391,125
17,100 Mellon Bank Corporation..................................... 771,637
7,300 JP Morgan & Company Incorporated............................ 761,937
6,700 National City Corporation................................... 351,750
33,012 Nationsbank Corp............................................ 2,129,274
16,600 Norwest Corporation......................................... 933,750
11,800 PNC Bank Corporation........................................ 491,175
6,100 Republic New York Corporation............................... 655,750
6,800 Suntrust Banks, Incorporated................................ 374,425
5,600 U.S. Bancorp................................................ 359,100
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
FINANCIAL--CONTINUED
6,200 Wachovia Corporation........................................ $ 361,537
4,266 Wells Fargo & Company....................................... 1,149,687
--------------
22,967,264
--------------
Consumer Finance (2.4%)
19,500 American Express Company.................................... 1,452,750
9,056 American General Corporation................................ 432,424
3,000 Beneficial Corporation...................................... 213,187
8,200 Conseco Incorporated........................................ 303,400
26,500 Federal Home Loan Mortgage Corporation...................... 910,937
43,900 Federal National Mortgage Association....................... 1,915,137
16,200 Green Tree Financial Corporation............................ 577,125
3,600 Household International, Inc................................ 422,775
10,125 MBNA Corporation............................................ 370,828
8,200 MGIC Investment Corporation................................. 393,087
9,000 Charles Schwab Corporation.................................. 366,187
--------------
7,357,837
--------------
Insurance (4.3%)
6,755 Aetna Incorporated.......................................... 691,543
17,857 Allstate Corporation........................................ 1,303,561
20,880 American International Group, Incorporated.................. 3,118,950
5,700 Aon Corporation............................................. 294,975
5,300 Chubb Corporation........................................... 354,437
2,800 Cigna Corporation........................................... 497,000
3,600 General RE Corporation...................................... 655,200
6,500 ITT Hartford Group.......................................... 537,875
3,200 Jefferson-Pilot Corporation................................. 223,600
7,000 Lincoln National Corporation................................ 450,625
3,800 Loews Corporation........................................... 380,475
7,400 Marsh & McLennen............................................ 528,175
2,000 MBIA Incorporated........................................... 225,625
5,300 Providian Financial......................................... 170,262
4,900 Safeco Corporation.......................................... 228,769
3,400 St. Paul Companies, Inc..................................... 259,250
8,250 Torchmark Corporation....................................... 587,812
3,700 Transamerica Corporation.................................... 346,181
28,566 Travelers Group Incorporated................................ 1,801,443
11,000 Unum Corporation............................................ 462,000
7,300 USF&G Corporation........................................... 175,200
--------------
13,292,958
--------------
Investment Bankers/Brokers (.7%)
14,700 Merrill Lynch & Co., Inc.................................... 876,487
21,130 Morgan Stanley Dean Witter.................................. 909,911
7,000 Salomon Incorporated........................................ 389,375
--------------
2,175,773
--------------
Savings and Loans (.4%)
9,400 H F Ahmanson & Company...................................... 404,200
4,700 Golden West Financial Corporation........................... 329,000
5,100 Great Western Financial Corporation......................... 274,125
--------------
1,007,325
--------------
HEALTH CARE (11.3%)
Drugs (4.8%)
11,800 Amgen Incorporated (b)...................................... 685,875
24,700 Eli Lilly & Company......................................... 2,700,019
53,700 Merck & Co., Inc............................................ 5,557,950
</TABLE>
See accompanying notes to investments in securities.
45
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
HEALTH CARE--CONTINUED
18,755 Pharmacia & Upjohn.......................................... $ 651,736
28,700 Pfizer Inc.................................................. 3,429,650
32,600 Schering Plough Corporation................................. 1,560,725
--------------
14,585,955
--------------
Health Care-Diversified (4.5%)
34,400 Abbott Laboratories......................................... 2,296,200
6,100 Allergan, Incorporated...................................... 194,056
28,700 American Home Products Corporation.......................... 2,195,550
44,500 Bristol-Myers Squibb Company................................ 3,604,500
3,000 Fresenius Medical Care ADR (c).............................. 172
59,300 Johnson & Johnson........................................... 3,817,437
12,000 Mallinckrodt Incorporated................................... 456,000
10,900 Warner-Lambert Company...................................... 1,354,325
--------------
13,918,240
--------------
Hospital Management (.5%)
29,706 Columbia/HCA Healthcare Corporation......................... 1,167,817
9,800 Tenet Healthcare Corporation (b)............................ 289,712
--------------
1,457,529
--------------
Managed Care (.3%)
3,900 Beverly Enterprises (b)..................................... 63,375
4,500 Manor Care, Inc............................................. 146,812
13,600 HealthSouth Rehabilitation Company (b)...................... 339,150
10,300 Humana...................................................... 238,187
4,900 United Health Care.......................................... 254,800
--------------
1,042,324
--------------
Medical Product/Supplies (1.1%)
3,700 C.R. Bard, Incorporated..................................... 134,356
8,700 Bausch & Lomb Incorporated.................................. 409,987
8,800 Baxter International Inc.................................... 459,800
7,400 Becton, Dickinson & Company................................. 374,625
1,400 Biomet Incorporated......................................... 26,075
6,600 Boston Scientific Corporation (b)........................... 405,487
4,900 Guidant Corporation......................................... 416,500
9,600 Medtronic Inc............................................... 777,600
5,700 St Jude Medical Incorporated (b)............................ 222,300
--------------
3,226,730
--------------
Special Service (.1%)
11,300 Alza Corporation............................................ 327,700
--------------
TECHNOLOGY (13.4%)
13,500 3 Com (b)................................................... 607,500
5,800 Advanced Micro Devices, Incorporated (b).................... 208,800
1,000 Amdahl (b).................................................. 8,750
8,900 Andrew Corporation (b)...................................... 250,313
8,800 Apple Computer Incorporated................................. 125,400
6,500 Applied Materials Incorporated (b).......................... 460,281
2,200 Autodesk, Inc............................................... 84,287
10,200 Bay Networks Incorporated (b)............................... 270,937
11,100 Cabletron Systems Incorporated (b).......................... 314,269
29,500 Cisco Systems, Incorporated (b)............................. 1,980,187
9,000 Cognizant Corporation....................................... 364,500
12,200 Compaq Computer Corporation (b)............................. 1,210,850
14,325 Computer Associates International........................... 797,723
7,700 Computer Sciences Corporation (b)........................... 555,362
6,900 Dell Computer Corporation (b)............................... 810,319
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
18,000 Digital Equipment (b)....................................... $ 637,875
14,400 DSC Communications (b)...................................... 320,400
1,600 EG&G, Inc................................................... 36,000
7,500 EMC Corporation (b)......................................... 292,500
11,800 Equifax Incorporated........................................ 438,812
18,000 First Data Corp............................................. 790,875
8,500 General Instrument Corporation.............................. 212,500
2,300 W W Grainger Inc............................................ 179,831
4,000 Harris Corporation.......................................... 336,000
45,200 Hewlett-Packard Company..................................... 2,531,200
36,500 Intel....................................................... 5,176,156
44,200 International Business Machine.............................. 3,986,287
6,200 LSI Logic Corporation (b)................................... 198,400
28,500 Lucent Technologies Incorporation........................... 2,053,781
5,800 Micron Technology Incorporated (b).......................... 231,638
53,300 Microsoft Corporation (b)................................... 6,735,787
26,500 Motorola.................................................... 2,014,000
8,700 National Semiconductor Corporation (b)...................... 266,437
11,700 Northern Telecom Limited.................................... 1,064,700
8,500 Novell, Incorporated........................................ 58,969
27,050 Oracle Corporation (b)...................................... 1,362,644
5,800 Parametric Technology Corporation (b)....................... 246,862
2,800 Perkin-Elmer Corporation.................................... 222,775
6,500 Raytheon Company............................................ 331,500
4,400 Scientific-Atlanta Incorporated............................. 96,250
10,900 Seagate Technology Incorporated (b)......................... 383,544
6,900 Silicon Graphics Incorporated (b)........................... 103,500
11,200 Sun Microsystems, Incorporated (b).......................... 416,850
22,100 Tandem Computers Incorporated............................... 447,525
5,200 Tellabs Incorporated (b).................................... 290,550
8,600 Texas Instruments Incorporated.............................. 722,937
7,200 Thomas & Betts Corporation.................................. 378,450
37,800 Unisys Corporation (b)...................................... 288,225
--------------
40,903,238
--------------
TRANSPORTATION (1.3%)
Air Freight (.1%)
3,800 Federal Express Corporation (b)............................. 219,450
--------------
Airlines (.3%)
4,100 AMR Corporation (b)......................................... 379,250
3,800 Delta Air Lines, Inc........................................ 311,600
9,100 U S Air Group, Incorporated (b)............................. 318,500
--------------
1,009,350
--------------
Railroads (.8%)
7,973 Burlington Northern Santa Fe................................ 716,573
7,400 CSX Corporation............................................. 410,700
4,700 Norfolk Southern Corporation................................ 473,525
14,100 Union Pacific Corporation................................... 994,050
--------------
2,594,848
--------------
Trucking (.1%)
5,400 Ryder System, Inc........................................... 178,200
--------------
UTILITIES (3.1%)
Electric Companies (2.4%)
6,000 American Electric Power Company............................. 252,000
10,600 Baltimore Gas & Electric Company............................ 282,887
6,500 Carolina Power & Light Co................................... 233,187
</TABLE>
See accompanying notes to investments in securities.
46
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
UTILITIES--CONTINUED
9,700 Central & Southwest Corporation............................. $ 206,125
5,932 Cinergy..................................................... 206,508
18,100 Consolidated Edison Company................................. 532,819
16,900 DTE Energy Company.......................................... 466,862
6,750 Dominion Resources, Inc..................................... 247,218
14,049 Duke Power Company.......................................... 673,485
15,000 Edison International........................................ 373,125
22,700 Entergy Corporation......................................... 621,413
4,700 FPL Group Incorporated...................................... 216,494
5,600 GPU Incorporated............................................ 200,900
8,600 Houston Industries Incorporated............................. 184,362
5,200 Niagara Mohawk Power Corporation (b)........................ 44,525
1,300 Northern States Power Company............................... 67,275
15,900 Peco Energy Company......................................... 333,900
14,200 Pacific Gas & Electric Company.............................. 344,350
12,500 Pacificorp.................................................. 275,000
6,650 Public Service Enterprise Group............................. 166,250
23,000 Southern Company............................................ 503,125
6,900 Texas Utilities Company..................................... 237,619
19,600 Unicom Corporation.......................................... 436,100
6,900 Union Electric Company...................................... 260,044
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
UTILITIES--CONTINUED
Natural Gas (.7%)
4,100 Coastal Corporation......................................... $ 218,069
2,900 Columbia Gas System, Incorporated........................... 189,225
3,200 Consolidated Natural Gas Company............................ 172,200
7,900 Enron Corp.................................................. 322,419
2,500 Enserch Corp................................................ 55,625
6,300 Noram Energy................................................ 96,075
800 Oneok Inc................................................... 25,750
5,100 Pacific Enterprises......................................... 171,487
2,000 Peoples Energy Corporation.................................. 74,875
4,000 Sonat Inc................................................... 205,000
14,700 The Williams Company........................................ 642,811
--------------
9,539,109
--------------
Total common stocks (cost: $204,584,852)............................... 304,793,422
--------------
PREFERRED STOCKS ( -- )
FINANCIAL ( -- )
Insurance ( -- )
352 Aetna Incorporated.......................................... 33,000
--------------
Total preferred stocks (cost: $13,832)................................. 33,000
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (9.7%)
$5,231,493 Temporary Investment Fund, Inc.--TempFund Portfolio, current rate
5.70%................................................................ 5,231,493
12,480,000 Ford Motor Credit Company CP......................................... 07/01/97 5.583% 12,477,921
11,977,000 AT&T Corporation CP.................................................. 07/01/97 5.563% 11,975,005
--------------
Total short-term securities (cost: $29,688,493)............................................ 29,684,419
--------------
Total investments in securities (cost: $234,287,177) (d)................................... $ 334,510,841
--------------
--------------
</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 3.1% of net assets in foreign securities at June 30,
1997.
(d) At June 30, 1997 the cost of securities for federal income tax purposes was
$234,604,407. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
Gross unrealized appreciation..................... $ 102,002,231
Gross unrealized depreciation..................... (2,095,797)
-------------
Net unrealized appreciation....................... $ 99,906,434
-------------
-------------
47
<PAGE>
CAPITAL APPRECIATION PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1997
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
COMMON STOCKS (98.4%)
CAPITAL GOODS (4.4%)
Manufacturing--Diversified (1.8%)
64,500 Tyco International Ltd................................................................... $ 4,486,781
--------------
Waste Management (2.6%)
166,600 USA Waste Services Incorporated (b)...................................................... 6,434,925
--------------
COMMUNICATION SERVICES (3.6%)
Telecommunication (1.5%)
112,100 ADC Telecommunications Inc. (b).......................................................... 3,741,337
--------------
Telephone (2.1%)
235,800 LCI International Incorporated (b)....................................................... 5,158,125
--------------
CONSUMER CYCLICAL (18.7%)
Lodging--Hotel (1.5%)
93,300 Carnival Corporation..................................................................... 3,848,625
--------------
Retail (15.0%)
154,333 Home Depot Inc........................................................................... 10,639,331
138,000 Lowe's Companies, Inc.................................................................... 5,123,250
105,800 Kohl's Inc. (b).......................................................................... 5,600,787
94,450 Consolidated Stores Corp. (b)............................................................ 3,282,137
198,214 Dollar General Corp...................................................................... 7,433,016
164,000 Wal-Mart Stores, Inc..................................................................... 5,545,250
--------------
37,623,772
--------------
Textiles (2.2%)
121,100 Intimate Brands Inc...................................................................... 2,543,100
75,200 Tommy Hilfiger Corporation............................................................... 3,022,100
--------------
5,565,200
--------------
CONSUMER STAPLES (1.5%)
Service (1.5%)
90,300 Ceridian Corporation (b)................................................................. 3,815,175
--------------
ENERGY (2.7%)
Oil and Gas Drilling (2.7%)
54,900 Schlumberger Limited (c)................................................................. 6,862,500
--------------
FINANCIAL (14.4%)
Consumer Finance (2.8%)
189,100 MBNA Corporation......................................................................... 6,925,788
--------------
Finance--Diversified (5.9%)
179,200 Federal National Mortgage Association.................................................... 7,817,600
145,800 MGIC Investment Corporation.............................................................. 6,989,288
--------------
14,806,888
--------------
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
FINANCIAL--CONTINUED
Insurance--Life (.5%)
32,600 Hartford Life............................................................................ $ 1,222,500
--------------
Other Finance (5.2%)
103,200 Paychex Incorporated..................................................................... 3,921,600
89,300 Peoplesoft Incorporated (b).............................................................. 4,710,575
123,500 Thermo Electron Corporation (b).......................................................... 4,245,313
--------------
12,877,488
--------------
HEALTH CARE (23.3%)
Drugs--Generic (3.8%)
91,700 Amgen Inc................................................................................ 5,330,062
153,400 Genzyme Corporation (b).................................................................. 4,256,850
--------------
9,586,912
--------------
Drugs--Major Pharmacy (9.6%)
107,100 Merck & Co., Inc......................................................................... 11,084,850
74,400 Pfizer Inc............................................................................... 8,890,800
81,400 Schering Plough Corporation.............................................................. 3,897,025
--------------
23,872,675
--------------
Health Care--Diversified (2.0%)
79,400 Johnson & Johnson........................................................................ 5,111,375
--------------
Managed Care (6.1%)
93,900 Oxford Health Plan Incorporated (b)...................................................... 6,737,325
164,100 United Health Care....................................................................... 8,533,200
--------------
15,270,525
--------------
Special Services (1.8%)
140,700 Omnicare Incorporated.................................................................... 4,414,463
--------------
TECHNOLOGY (29.8%)
161,300 Cisco Systems Inc. (b)................................................................... 10,827,262
154,100 Computer Associates International........................................................ 8,581,444
67,400 Microsoft (b)............................................................................ 8,517,675
118,150 Oracle Corporation (b)................................................................... 5,951,806
206,300 Parametric Technology Corporation (b).................................................... 8,780,644
146,900 Synopsys Incorporated.................................................................... 5,398,575
43,800 Intel.................................................................................... 6,211,387
90,400 Cognizant Corporation.................................................................... 3,661,200
192,300 First Data Corporation................................................................... 8,449,181
59,200 Fiserv................................................................................... 2,641,800
165,900 Sterling Commerce Inc. (b)............................................................... 5,453,963
--------------
74,474,937
--------------
Total common stocks (cost: $172,790,524)............................................................ 246,099,996
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (2.4%)
225 Temporary Investment Fund, Inc.--TempFund Portfolio, current rate 5.7%................... 225
3,000,000 Anheuser Busch Company Inc. CP................................... 5.50% 07/07/97 2,996,591
3,060,000 Pacific Bell CP.................................................. 5.53% 07/17/97 3,051,880
--------------
Total short-term securities (cost: $6,049,981)........................................... 6,048,696
--------------
Total investments in securities (cost: $178,840,505) (d)................................. $ 252,148,686
--------------
--------------
</TABLE>
See accompanying notes to investments in securities.
48
<PAGE>
CAPITAL APPRECIATION PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
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 2.7% of net assets in foreign securities at June 30,
1997.
(d) At June 30, 1997 the cost of securities for federal income tax purposes was
$178,840,505. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 74,207,841
Gross unrealized depreciation..................... (899,660)
------------
Net unrealized appreciation....................... $ 73,308,181
------------
------------
</TABLE>
49
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1997
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
------------ -------------
<C> <S> <C>
COMMON STOCKS (86.4%)
AUSTRALIA (4.6%)
Banking (1.0%)
102,304 National Australia Bank......................................................... $ 1,464,463
190,087 Westpac Banking................................................................. 1,143,219
Building Materials and Components (1.9%)
1,315,401 Pioneer International........................................................... 5,082,141
Transportation (1.5%)
103,900 Brambles Industries............................................................. 2,053,460
85,000 Qantas Airways ADR 144A (d)..................................................... 1,973,989
Merchandising (.2%)
345,500 David Jones..................................................................... 482,323
-------------
12,199,595
-------------
AUSTRIA (1.5%)
Electrical and Electronics (1.1%)
12,980 Bohler-Uddeholm 144A (e)........................................................ 1,006,973
10,850 Va Technologie 144A (e)......................................................... 1,986,386
Utilities--Gas and Electric (.4%)
8,400 Evn Energie-Versorung........................................................... 1,082,677
-------------
4,076,036
-------------
BELGIUM (1.3%)
Chemicals (1.3%)
2,650 Solvay.......................................................................... 1,561,336
20,000 Union Miniere (b)............................................................... 1,873,159
-------------
3,434,495
-------------
BRAZIL (2.5%)
Telecommunications (2.5%)
43,600 Telecomunicacoes Brasileiras ADR................................................ 6,616,300
-------------
CANADA (3.3%)
Banking (1.8%)
121,000 Canadian Imperial Bank of Commerce.............................................. 3,049,978
145,000 National Bank of Montreal....................................................... 1,816,964
Insurance (.9%)
130,000 London Insurance Group.......................................................... 2,504,708
Mining and Metals--Container (.1%)
39,000 Inmet (b)....................................................................... 214,689
Food and Household Products (.5%)
82,800 Oshawa Group Ltd................................................................ 1,238,461
-------------
8,824,800
-------------
CHILE (.7%)
Utilities--Gas and Electric (.7%)
59,500 Telefonos De Chile ADR.......................................................... 1,963,500
-------------
CHINA (.4%)
Chemicals (.4%)
5,313,800 Yizheng Chemical................................................................ 946,590
-------------
<CAPTION>
MARKET
SHARES VALUE(a)
------------ -------------
<C> <S> <C>
CZECH REPUBLIC (1.4%)
Banking (.4%)
48,000 Komercni Banka 144A (e)......................................................... $ 996,000
Energy Services (.3%)
44,810 Ceske Energeticke............................................................... 1,238,572
Telecommunications (.6%)
15,500 SPT Telecom..................................................................... 1,627,548
-------------
3,862,120
-------------
FINLAND (2.6%)
Banking (.9%)
740,000 Merita Ltd A.................................................................... 2,466,001
Telecommunications (.8%)
29,700 Nokia........................................................................... 2,219,176
Wholesale and International Trade (.9%)
85,000 Amer Group Ltd.................................................................. 1,530,897
107,500 Metsa-Serla..................................................................... 875,920
-------------
7,091,994
-------------
FRANCE (7.7%)
Banking (.9%)
61,300 Banque Nationale De Paris ADR 144A (d).......................................... 2,528,870
Electrical and Electronics (.9%)
19,365 Alcatel Alsthom................................................................. 2,423,424
Energy Sources (1.1%)
27,862 Societe National Elf Aquitaine.................................................. 3,003,555
Health and Personal Care (1.9%)
122,325 Rhone-Poulenc................................................................... 4,991,838
Insurance (.5%)
21,027 Axa............................................................................. 1,306,769
Mining and Metal (.4%)
2,000 Pechiney Certificate of Investment.............................................. 83,316
7,000 Pechiney........................................................................ 275,539
40,894 Pechiney ADR.................................................................... 797,433
Multi-Industry (.2%)
4,837 Marine Wendel................................................................... 493,471
Transportation (1.7%)
170,398 Regie Des Usines Renault........................................................ 4,308,335
2,482 Bertrand Faure.................................................................. 130,616
Financial Services (.2%)
10,800 Credit Comm France.............................................................. 457,254
-------------
20,800,420
-------------
GERMANY (2.5%)
Banking (1.8%)
82,050 Deutsche Bank................................................................... 4,816,234
Chemicals (.7%)
49,400 Bayer........................................................................... 1,902,941
-------------
6,719,175
-------------
</TABLE>
See accompanying notes to investments in securities.
50
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
------------ -------------
<C> <S> <C>
HONG KONG (7.7%)
Food and Household Products (.3%)
3,201,000 Cafe de Coral................................................................... $ 822,274
Multi-Industry (2.2%)
1,072,800 C. P. Pokphand.................................................................. 332,359
221,000 Hutchison Whampoa Ltd........................................................... 1,911,370
509,739 Jardine Matheson Holdings....................................................... 3,619,147
Transportation (2.1%)
190,000 Swire Pacific Class A........................................................... 1,710,706
1,519,800 Swire Pacific Class B........................................................... 2,305,165
448,568 Jardine Strategic Holdings...................................................... 1,695,587
Utilities (1.4%)
965,000 Hong Kong Electric Holdings..................................................... 3,886,508
Electrical and Electronics (.2%)
127,900 Hong Kong Aircraft Eng.......................................................... 465,583
Banking (1.4%)
125,714 HSBC Hldgs...................................................................... 3,781,092
Financial Services (.1%)
113,000 Peregrine Inv................................................................... 232,657
-------------
20,762,448
-------------
INDIA (.3%)
Financial Services (.3%)
469,435 India Fund...................................................................... 859,628
-------------
INDONESIA (.7%)
Financial Services (.1%)
315,000 JF Indonesia Fund (b)........................................................... 406,620
Forest Products and Paper (.6%)
737,000 P.T. Japfa Comfeed.............................................................. 492,647
940,392 P.T. Pabrik Kertas Tjiwi Kimia.................................................. 1,092,804
-------------
1,992,071
-------------
ITALY (2.9%)
Automotive (.8%)
581,600 Fiat............................................................................ 2,090,808
Telecommunication (2.1%)
1,105,000 Seat di Risp.................................................................... 230,425
278,000 Sirti........................................................................... 1,601,145
1,105,000 Stet di Risp.................................................................... 3,829,593
-------------
7,751,971
-------------
JAPAN (.1%)
Utilities--Gas and Electric (.1%)
13,000 Kyudenko........................................................................ 109,629
-------------
KOREA (.2%)
Financial Services (.2%)
19 Korea International Trust....................................................... 617,500
-------------
MEXICO (.8%)
Chemicals (.3%)
252,000 Vitro........................................................................... 923,461
Mining and Metals (.5%)
366,300 Grupo Mexico.................................................................... 1,365,380
-------------
2,288,841
-------------
<CAPTION>
MARKET
SHARES VALUE(a)
------------ -------------
<C> <S> <C>
NETHERLANDS (4.8%)
Broadcasting, Advertising and Publishing (1.4%)
84,687 International Nederlanden Group................................................. $ 3,902,329
Building Materials and Components (.2%)
16,520 European Vinyls................................................................. 418,047
Electrical and Electronics (1.5%)
54,800 Philips Electronics............................................................. 3,923,055
Insurance (1.2%)
48,104 Aegon........................................................................... 3,355,523
Merchandising (.5%)
18,591 Koninklijke Bijenkorf Beheer.................................................... 1,299,666
-------------
12,898,620
-------------
NEW ZEALAND (3.0%)
Forest Products and Paper (1.6%)
1,654,000 Carter Holt Harvey.............................................................. 4,278,748
Wholesale and International Trade (.9%)
2,431,185 Brierley Investments............................................................ 2,377,041
Transportation (.5%)
481,000 Air New Zealand 'B'............................................................. 1,469,650
-------------
8,125,439
-------------
NORWAY (2.4%)
Energy Sources (.7%)
98,000 Saga Petroleum.................................................................. 1,858,390
Health and Personal Care (1.1%)
77,000 Hafslund Nycomed................................................................ 462,210
53,800 Nycomed Class B................................................................. 766,999
129,200 Nycomed Class A................................................................. 1,903,629
Mining and Metals (.6%)
78,000 Elkem........................................................................... 1,532,333
-------------
6,523,561
-------------
PHILIPPINES (.6%)
Telecommunications (.6%)
27,000 Philippine Long Distance Telephone Company ADR.................................. 1,734,750
-------------
PORTUGAL (.6%)
Banking (.6%)
85,560 Banco Portugues de Investimento................................................. 1,664,922
-------------
SINGAPORE (.3%)
Transportation (.3%)
78,000 Singapore International Airline................................................. 698,573
-------------
SOUTH AFRICA (.9%)
Forest Products and Paper (.4%)
122,126 Sappi........................................................................... 1,103,994
Mining and Metals (.5%)
78,879 Rustenburg Platinum Holdings.................................................... 1,443,492
-------------
2,547,486
-------------
SPAIN (8.0%)
Banking (3.5%)
108,000 Argentaria Bancaria ADR......................................................... 3,064,500
11,450 Banco de Andalucia.............................................................. 1,942,654
53,500 Banco Bilbao Vizcaya............................................................ 4,346,081
</TABLE>
See accompanying notes to investments in securities.
51
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
------------ -------------
<C> <S> <C>
SPAIN--CONTINUED
Energy Sources (.9%)
57,000 Repsol.......................................................................... $ 2,409,976
Telecommunications (1.6%)
150,000 Telefonica de Espana............................................................ 4,336,614
Utilities--Gas and Electric (2.0%)
250,000 Iberdrola....................................................................... 3,155,752
27,500 Empresa Nacional de Electricidad................................................ 2,308,619
-------------
21,564,196
-------------
SWEDEN (6.3%)
Broadcasting, Advertising and Publishing (.2%)
15,000 Marieberg Tidnings.............................................................. 372,257
Business and Public Service (1.0%)
9,550 Nackebro Fastighets............................................................. 122,205
114,500 Esselte......................................................................... 2,693,560
Forest Products and Paper (.7%)
122,000 Stora Kopparbergs............................................................... 1,986,919
Health and Personal Care (1.9%)
124,000 Astra........................................................................... 2,187,783
95,500 Svenska Handelsbanken........................................................... 3,055,121
Multi Industry (.6%)
20,900 Electrolux...................................................................... 1,507,406
Transportation (1.8%)
178,500 Volvo........................................................................... 4,775,935
Metals and Mining (.1%)
10,450 Granges......................................................................... 140,475
-------------
16,841,661
-------------
SWITZERLAND (2.4%)
Electrical and Electronics (1.0%)
1,730 BBC Brown Boveri................................................................ 2,617,444
Health and Personal Care (.5%)
400 Ares-Serono..................................................................... 579,174
370 Societe Generale................................................................ 790,306
Financial Services (.9%)
18,525 Credit Suisse Group............................................................. 2,377,927
-------------
6,364,851
-------------
THAILAND (.6%)
Financial Services (.5%)
82,367 Thai Fund....................................................................... 1,266,393
Building Materials and Components (.1%)
75,200 Siam City Cement................................................................ 235,363
-------------
1,501,756
-------------
TURKEY (.1%)
Financial Services (.1%)
22,000 Turkish Growth Fund (b)......................................................... 370,040
-------------
UNITED KINGDOM (14.4%)
Banking (.9%)
118,943 Barclays Bank................................................................... 2,360,247
Building Materials and Components (.8%)
620,090 BICC.L PLC...................................................................... 1,821,972
111,550 Hepworth........................................................................ 440,109
Chemicals (2.7%)
1,150,000 Harrisons & Crosfield........................................................... 2,125,021
<CAPTION>
MARKET
SHARES VALUE(a)
------------ -------------
<C> <S> <C>
UNITED KINGDOM--CONTINUED
13,000 Imperial Chemical............................................................... $ 180,814
785,200 Courtaulds...................................................................... 4,418,139
164,300 Somerfield...................................................................... 500,531
Electrical and Electronics (.5%)
136,900 Waste Management................................................................ 635,843
82,000 Waste Management International ADR.............................................. 748,250
Energy Services (2.0%)
260,000 British Telecommunications PLC.................................................. 1,930,415
114,286 Thames Water Group.............................................................. 1,319,416
168,500 Welsh Water..................................................................... 2,279,112
Financial Services (--%)
12,000 Tate & Lyle..................................................................... 89,196
Food and Household Products (1.6%)
2,949,878 Albert Fisher Group............................................................. 2,123,893
761,473 Hillsdown Holdings.............................................................. 2,142,316
Merchandising (.4%)
191,600 Kwik Save Group................................................................. 971,237
Metals and Mining (.4%)
428,700 British Steel................................................................... 1,063,364
Transportation (1.9%)
106,890 BTR PLC......................................................................... 354,902
803,800 BTR PLC......................................................................... 2,749,807
768,600 Thorn........................................................................... 2,175,162
Utilities--Gas and Electric (3.3%)
208,775 National Power.................................................................. 1,814,226
1,624,500 BG PLC.......................................................................... 5,976,602
821,100 Centrica PLC (b)................................................................ 1,001,258
-------------
39,221,832
-------------
VENEZUELA (.7%)
Energy Services (.7%)
1,331,259 Electricidad Caracas............................................................ 1,984,666
-------------
Total common stocks (cost: $171,414,380)....................................................... 232,959,466
-------------
PREFERRED STOCKS AND OTHER (2.2%)
ARGENTINA (.8%)
Multi-industry (.8%)
30,665 Compania de Inversiones en Telecommunications convertible preferred--7.0% (d)... 2,100,553
-------------
GERMANY (.3%)
Energy Services (.3%)
2,600 Veba Warrants (expiring 4/6/98)................................................. 910,633
-------------
MEXICO (1.0%)
Financial Services (1.0%)
53,610 Nacional Financiera ADR convertible preferred--11.25%........................... 2,559,878
-------------
UNITED KINGDOM (.1%)
Energy Services (.1%)
137,700 Hyder preferred................................................................. 242,413
-------------
Total preferred stocks and other
(cost: $3,716,118)......................................................................... 5,813,477
-------------
</TABLE>
See accompanying notes to investments in securities.
52
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
------------ -------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (1.0%)
HONG KONG (.6%)
Finance (.6%)
$ 1,680,000 PIV Investment Finance.......................................... 4.500% 12/01/00 $ 1,528,800
-------------
UNITED STATES (.4%)
U.S. Government (.4%)
1,107,000 U.S. Treasury Note.............................................. 5.125% 04/30/98 1,101,565
-------------
Total long-term debt securities (cost: $2,583,637)................................. 2,630,365
-------------
SHORT-TERM SECURITIES (10.5%)
3,284,000 U.S. Treasury Bill.............................................. 5.160% 08/21/97 3,260,171
23,295,000 U.S. Treasury Bill.............................................. 5.220% 09/18/97 23,031,301
1,982,000 Norwest Advantage Cash Investment Fund, current rate 5.260%........................ 1,982,000
-------------
Total short-term securities (cost: $20,279,245).................................... 28,273,472
-------------
Total investments in securities (cost: $205,993,380) (d)........................... $ 269,676,780
-------------
-------------
</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) 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, 1997 which includes acquisition date
and cos,t 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 824,910
Va Technologie 144A............................... Various 1,026,767
Komercni Banka 144A............................... Various 1,270,428
Banque Nationale De Paris ADR 144A................ Various 2,720,363
------------
$ 7,193,396
------------
------------
</TABLE>
(d) At June 30, 1997 the cost of securities for federal income tax purposes was
$205,994,527. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 71,461,213
Gross unrealized depreciation..................... (7,777,646)
------------
Net unrealized appreciation....................... $ 63,683,567
------------
------------
</TABLE>
53
<PAGE>
SMALL COMPANY PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1997
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
COMMON STOCKS (87.5%)
BASIC MATERIALS (4.3%)
Chemical Specialty (4.3%)
72,789 Cambrex Corporation......................................... $ 2,884,264
107,477 McWhorter Technologies Incorporated (b)..................... 2,566,013
10,300 Spectran Corporation (b).................................... 200,850
56,330 Balspar Corporation......................................... 1,668,776
--------------
7,319,903
--------------
CAPITAL GOODS (12.6%)
Electrical Equipment (2.2%)
145,493 Advanced Lighting Technologies (b).......................... 3,673,698
--------------
Machinery (3.2%)
107,100 Kaydon Corporation.......................................... 5,314,838
--------------
Manufacturing (2.0%)
81,050 Blount International, Inc................................... 3,449,691
--------------
Metal Fabrication (1.0%)
107,425 Shaw Group Incorporated (b)................................. 1,745,656
--------------
Waste Management (4.2%)
171,642 United Waste Systems, Inc................................... 7,037,322
--------------
COMMUNICATION SERVICES (1.6%)
Cellular Telephone (1.2%)
128,600 LCC International Incorporated (b).......................... 2,025,450
--------------
Telecommunication (.4%)
24,325 Panamsat Corporation (b).................................... 705,425
--------------
CONSUMER CYCLICAL (27.0%)
Distribution--Durables (2.4%)
99,200 MSC Industrial Direct Co.................................... 3,980,400
--------------
Leisure (2.0%)
103,511 GTECH Holdings Corporation (b).............................. 3,338,230
--------------
Lodging--Hotels (6.4%)
152,800 Corrections Corporation of America (b)...................... 6,073,800
148,968 Extended Stay America (b)................................... 2,346,246
64,999 Sun International Hotels Ltd (b)............................ 2,400,901
--------------
10,820,947
--------------
Retail (6.0%)
28,600 Kohl's Inc. (b)............................................. 1,514,013
65,100 Global Directmail Corporation (b)........................... 1,696,669
192,540 Borders Group Incorporated (b).............................. 4,645,028
87,500 West Marine Incorporated (b)................................ 2,253,125
--------------
10,108,835
--------------
Service (7.0%)
192,100 Acxiom Corporation (b)...................................... 3,938,050
97,300 CKS Group Incorporated (b).................................. 3,283,875
57,700 Copart Incorporated (b)..................................... 952,050
106,200 Fairfield Communities, Inc. (b)............................. 3,570,975
--------------
11,744,950
--------------
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Textiles (3.2%)
92,500 Nautica Enterprises Inc. (b)................................ $ 2,445,469
74,800 Tommy Hilfiger Corporation (b).............................. 3,006,025
--------------
5,451,494
--------------
CONSUMER STAPLES (1.8%)
Restaurants (1.3%)
55,000 Lone Star Steakhouse & Saloon, Inc. (b)..................... 1,430,000
32,926 Rainforest Cafe Incorporated (b)............................ 835,497
--------------
2,265,497
--------------
Tobacco (.5%)
27,725 General Cigar Holdings Inc. (b)............................. 816,155
--------------
ENERGY (2.6%)
Oil and Gas Drilling (2.6%)
42,700 Petroleum Geo-Services (b)(c)............................... 2,086,963
81,900 J Ray Mcdermott Holdings Incorporated (b)................... 2,211,300
--------------
4,298,263
--------------
FINANCIAL (10.2%)
Insurance--Property and Casualty (1.0%)
43,800 Partnerre Ltd (c)........................................... 1,669,875
--------------
Investment Management (2.5%)
81,700 T. Rowe Price Associates.................................... 4,217,763
--------------
Other Finance (6.7%)
106,702 Danka Business Systems PLC (c).............................. 4,361,444
66,800 Encad Incorporated (b)...................................... 2,772,200
91,900 The Maxim Group Inc. (b).................................... 1,010,900
36,800 Newpark Resources Incorporated (b).......................... 1,242,000
47,800 Sybrom International Corporation (b)........................ 1,906,025
--------------
11,292,569
--------------
HEALTH CARE (8.0%)
Drugs--Generic (.2%)
32,300 Idexx Laboratories Inc. (b)................................. 401,731
--------------
Hospital Management (1.4%)
68,133 Sunrise Assisted Living Incorporated (b).................... 2,384,655
--------------
Medical Product/Supplies (5.5%)
49,400 Amerisource Health Corporation (b).......................... 2,463,825
76,000 Sola International Incorporated (b)......................... 2,546,000
50,900 Spine-Tech Inc. (b)......................................... 1,889,663
60,300 Total Renal Care Holdings, Incorporated (b)................. 2,423,306
--------------
9,322,794
--------------
Special Services (.9%)
49,584 Occusystems, Incorporated (b)............................... 1,437,936
--------------
TECHNOLOGY (17.2%)
83,175 Mastech Corporation (b)..................................... 1,673,897
82,700 Xylan Corporation (b)....................................... 1,405,900
</TABLE>
See accompanying notes to investments in securities.
54
<PAGE>
SMALL COMPANY PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
79,574 Ansys Incorporated (b)...................................... $ 626,645
6,900 Dassault Systems (c)........................................ 491,625
28,500 HNC Software Incorporated (b)............................... 1,086,563
53,500 Integrated Systems (b)...................................... 628,625
75,200 National Data Corporation................................... 3,257,100
300 Peapod Incorporated (b)..................................... 3,375
79,800 Pure Atria Corporation (b).................................. 1,127,175
24,000 Sapient Corporation (b)..................................... 1,188,000
70,200 Check Point Software Technology (b)(c)...................... 1,640,925
72,400 DuPont Photomasks Incorporated (b).......................... 3,909,600
112,300 Bisys Group Inc. (b)........................................ 4,688,525
159,300 Gartner Group Incorporated (b).............................. 5,724,844
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- --------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
50,500 Maximus Incorporated (b).................................... $ 902,688
23,400 NCO Group Incorporated (b).................................. 687,375
--------------
29,042,862
--------------
TRANSPORTATION (2.2%)
Air Freight (2.1%)
132,000 Eagle USA Airfreight, Inc. (b).............................. 3,580,500
--------------
Airlines (.1%)
5,400 Ryanair Holdings PLC-ADR (b)(c)............................. 146,475
--------------
Total common stocks (cost: $121,238,599)............................... 147,593,914
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (10.8%)
$8,194,421 Temporary Investment Fund, Inc.--TempFund Portfolio, current rate 5.70%..................... 8,194,421
1,760,000 U.S Treasury Bill..................................................... 4.90% 08/28/97 1,745,651
60,000 U.S. Treasury Bill.................................................... 5.30% 07/24/97 4,909,452
2,000,000 Philip Morris Companies, Inc. CP...................................... 5.71% 08/11/97 1,987,274
435,000 Pepsico, Inc. CP...................................................... 5.52% 07/01/97 434,927
1,005,000 Florida Power Corporation CP.......................................... 5.56% 07/21/97 1,001,733
--------------
Total short-term securities (cost: $18,273,047)............................................. 18,273,458
--------------
Total investments in securities (cost: $139,511,646) (d).................................... $ 165,867,372
--------------
--------------
</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 5.9% of net assets in foreign securities as of June 30,
1997.
(d) At June 30, 1997 the cost of securities for federal income tax purposes was
$139,532,676. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
Gross unrealized appreciation..................... $ 31,875,360
Gross unrealized depreciation..................... (5,540,664)
-------------
Net unrealized appreciation....................... $ 26,334,696
-------------
-------------
55
<PAGE>
MATURING GOVERNMENT BOND 1998 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1997
(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 (98.8%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (98.8%)
$ 100,000 Federal National Mortgage Association Strip (b).................. 5.950% 08/12/98 $ 93,586
266,000 Federal National Mortgage Association Strip (b).................. 7.065% 05/22/98 252,423
356,000 Federal National Mortgage Association Strip (b).................. 7.110% 11/22/98 327,359
350,000 Federal National Mortgage Association Strip (b).................. 7.050% 05/22/99 311,423
260,000 Federal National Mortgage Association Strip (b).................. 5.706% 03/09/98 249,714
615,000 Federal Home Loan Bank Strip (b)................................. 6.730% 08/25/98 574,256
590,000 Financial Corporation Strip (b).................................. 6.620% 05/30/99 524,138
600,000 Financial Corporation Strip (b).................................. 6.043% 08/08/99 526,463
373,000 Israel Government Trust Certificates (b)......................... 7.075% 11/15/98 343,641
457,470 Tennessee Valley Authority Strip (b)............................. 5.910% 11/15/98 420,680
900,000 Tennessee Valley Authority Strip (b)............................. 6.720% 10/15/98 833,633
120,000 U.S. Treasury Strip (b).......................................... 6.291% 11/15/98 110,694
240,000 U.S. Treasury Strip (b).......................................... 5.562% 08/15/98 224,911
1,745,000 U.S. Treasury Strip (b).......................................... 6.505% 11/15/98 1,610,302
----------
Total long-term debt securities (cost: $6,375,193).................................... 6,403,223
----------
SHORT-TERM SECURITIES (1.2%)
78,344 Trust for Federal Securities--Federal Trust Fund, current rate 5.45%.................. 78,344
----------
Total short-term securities (cost: $78,344)........................................... 78,344
----------
Total investments in securities (cost: $6,453,537) (c)................................ $6,481,567
----------
----------
</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, 1997 the cost of securities for federal income tax purposes was
$6,453,537. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 33,679
Gross unrealized depreciation..................... (5,649)
---------
Net unrealized appreciation....................... $ 28,030
---------
---------
</TABLE>
56
<PAGE>
MATURING GOVERNMENT BOND 2002 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1997
(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 (98.1%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (98.1%)
$ 525,000 Federal National Mortgage Association Strip (b).................. 7.600% 02/01/02 $ 390,242
425,000 Federal National Mortgage Association Strip (b).................. 6.367% 08/01/03 284,597
360,000 Financial Corporation Strip (b).................................. 6.362% 09/07/02 256,809
500,000 Financial Corporation Strip (b).................................. 7.040% 06/27/02 361,475
1,150,000 Tennessee Valley Authority Strip (b)............................. 7.400% 04/15/03 787,461
1,755,000 U.S. Treasury Strip (b).......................................... 6.679% 08/15/02 1,270,811
460,000 Israel Government Trust Strip (b)................................ 7.030% 05/15/02 336,209
----------
Total long-term debt securities (cost: $3,623,078).................................... 3,687,604
----------
SHORT-TERM SECURITIES (1.7%)
64,733 Trust for Federal Securities--Federal Trust Fund, current rate 5.45%.................. 64,733
----------
Total short-term securities (cost: $64,733)........................................... 64,733
----------
Total investments in securities (cost: $3,687,811) (c)................................ $3,752,337
----------
----------
</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, 1997 the cost of securities for federal income tax purposes was
$3,687,811. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 73,545
Gross unrealized depreciation..................... (9,019)
---------
Net unrealized appreciation....................... $ 64,526
---------
---------
</TABLE>
57
<PAGE>
MATURING GOVERNMENT BOND 2006 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1997
(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 (99.1%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (99.1%)
$ 810,000 Federal National Mortgage Association Strip (b).................. 7.620% 08/01/05 $ 469,467
921,000 Financial Corporation Strip (b).................................. 7.560% 09/07/07 457,266
553,000 Israel Guaranteed Trust Certificates (b)......................... 7.440% 11/15/05 316,183
1,000,000 Israel State Aid Strips (b)...................................... 6.578% 11/15/06 531,439
1,000,000 Resolution Funding Corporation Strip (b)......................... 7.456% 07/15/07 509,569
1,800,000 U.S. Treasury Strip (b).......................................... 7.355% 11/15/06 971,459
----------
Total long-term debt securities (cost: $3,151,513).................................... 3,255,383
----------
SHORT-TERM SECURITIES (.5%)
17,569 Trust for Federal Securities--Federal Trust Fund, current rate 5.45%.................. 17,569
----------
Total short-term securities (cost: $17,569)........................................... 17,569
----------
Total investments in securities (cost: $3,169,082) (c)................................ $3,272,952
----------
----------
</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, 1997 the cost of securities for federal income tax purposes was
$3,169,082. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 117,636
Gross unrealized depreciation..................... (13,766)
---------
Net unrealized appreciation....................... $ 103,870
---------
---------
</TABLE>
58
<PAGE>
MATURING GOVERNMENT BOND 2010 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1997
(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 (92.3%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (92.3%)
$ 500,000 Federal National Mortgage Association Strip (b).................. 7.700% 02/12/10 $ 207,355
945,000 Financial Corporation Strip (b).................................. 7.920% 08/08/11 348,959
515,000 Israel State Aid Strip (b)....................................... 8.264% 03/15/10 213,972
1,100,000 Israel State Aid Strip (b)....................................... 6.850% 08/15/11 410,530
132,000 Israel Guaranteed Trust Certificate (b).......................... 7.660% 05/15/10 54,173
350,000 Resolution Funding Corporation Strip (b)......................... 7.590% 04/15/11 135,082
524,000 Turkey Government Trust Certificate (b).......................... 6.687% 11/15/10 206,932
1,225,000 U.S. Treasury Strip (b).......................................... 6.721% 02/15/11 486,128
625,000 U.S. Treasury Strip (b).......................................... 6.790% 08/15/11 239,099
250,000 U.S. Treasury Strip (b).......................................... 7.175% 11/15/09 108,782
----------
Total long-term debt securities (cost: $2,356,553).................................... 2,411,012
----------
SHORT-TERM SECURITIES (3.0%)
78,350 Trust for Federal Securities--Federal Trust Fund, current rate 5.45%.................. 78,350
----------
Total short-term securities (cost: $78,350)........................................... 78,350
----------
Total investments in securities (cost: $2,434,903) (c)................................ $2,489,362
----------
----------
</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, 1997 the cost of securities for federal income tax purposes was
$2,434,903. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 98,735
Gross unrealized depreciation..................... (44,276)
---------
Net unrealized appreciation....................... $ 54,459
---------
---------
</TABLE>
59
<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 (97.0%)
BASIC MATERIALS (14.5%)
Aluminum (3.1%)
53,307 Aluminum Company of America........................................................... $ 4,018,015
54,100 Century Aluminum Company.............................................................. 791,213
-------------
4,809,228
-------------
Chemical Specialty (2.3%)
17,200 Cytec Industries Incorporated (b)..................................................... 642,850
75,187 Witco Corporation..................................................................... 2,852,407
-------------
3,495,257
-------------
Iron and Steel (4.7%)
101,500 Reynolds Metals Company............................................................... 7,231,875
-------------
Paper and Forest (4.4%)
35,116 Champion International Corp........................................................... 1,940,159
96,600 Fort Howard Corporation (b)........................................................... 4,890,375
-------------
6,830,534
-------------
CAPITAL GOODS (2.7%)
Manufacturing (2.7%)
28,200 Corning Incorporated.................................................................. 1,568,625
108,299 United Dominion Industries............................................................ 2,660,094
-------------
4,228,719
-------------
COMMUNICATION SERVICES (6.3%)
Telephone (6.3%)
19,600 Bell Atlantic Corporation............................................................. 1,487,150
66,700 Bellsouth Corporation................................................................. 3,093,213
29,850 Nynex Corporation..................................................................... 1,720,106
54,569 SBC Communications, Inc............................................................... 3,376,457
-------------
9,676,926
-------------
CONSUMER CYCLICAL (10.1%)
Auto--Parts (1.7%)
102,301 ITT Industries (b).................................................................... 2,634,251
-------------
Retail (6.5%)
65,200 Philips Electronics (c)............................................................... 4,686,250
153,200 Federated Department Stores (b)....................................................... 5,323,700
-------------
10,009,950
-------------
Textiles (1.9%)
94,500 Fruit of the Loom (b)................................................................. 2,929,500
-------------
CONSUMER STAPLES (10.6%)
Retail--Food (10.6%)
154,399 American Stores Company............................................................... 7,623,451
221,313 Hormel Foods Corporation.............................................................. 5,947,787
95,200 Kroger Company (b).................................................................... 2,760,800
-------------
16,332,038
-------------
ENERGY (16.2%)
Oil (11.5%)
61,500 Amerada Hess Corporation.............................................................. 3,417,094
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- -------------
<C> <S> <C>
ENERGY--CONTINUED
39,100 Amoco Corporation..................................................................... $ 3,399,256
108,300 USX--Marathon Group (b)............................................................... 3,127,163
118,500 Unocal Corporation.................................................................... 4,599,281
105,600 YPF Sociedad Anonima (c).............................................................. 3,247,200
-------------
17,789,994
-------------
Oil/Gas--Refining (4.7%)
48,700 Ultramar Diamond Shamrock Corporation................................................. 1,588,838
155,700 Valero Energy Corporation............................................................. 5,644,125
-------------
7,232,963
-------------
FINANCIAL (18.9%)
Banks (6.0%)
84,400 Corestates Financial Corporation...................................................... 4,536,500
17,300 Wells Fargo & Company................................................................. 4,662,350
-------------
9,198,850
-------------
Insurance (10.4%)
86,713 Chubb Corporation..................................................................... 5,798,932
254,892 Everest Reinsurance Holdings.......................................................... 10,100,096
7,000 Hartford Life......................................................................... 262,500
-------------
16,161,528
-------------
Savings and Loan (2.5%)
252,037 Sovereign Bancorp Incorporated........................................................ 3,843,564
-------------
HEALTH CARE (4.6%)
Medical Product/Supply (4.5%)
189,400 C.R. Bard, Incorporated............................................................... 6,877,588
-------------
Medical Services (.1%)
8,887 Quest Diagnostics Incorporated........................................................ 182,739
-------------
TECHNOLOGY (5.7%)
32,090 Compaq Computer Corporation (b)....................................................... 3,184,933
135,900 Imation (b)........................................................................... 3,584,358
55,600 Lam Research Corporation (b).......................................................... 2,060,675
-------------
8,829,966
-------------
TRANSPORTATION (.5%)
Shipping (.5%)
23,600 Teekay Shipping Corporation (c)....................................................... 815,675
-------------
UTILITIES (6.9%)
Electric Companies (5.0%)
66,600 FPL Group Incorporated................................................................ 3,067,763
138,200 Texas Utilities Company............................................................... 4,759,263
-------------
7,827,026
-------------
Natural Gas (1.9%)
52,576 El Paso Natural Gas Company........................................................... 2,891,680
-------------
Total common stocks (cost: $127,395,243)......................................................... 149,829,851
-------------
</TABLE>
See accompanying notes to investments in securities.
60
<PAGE>
VALUE STOCK PORTFOLIO
INVESTMENTS IN SECURITIES--CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ---------- --------------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (3.8%)
$1,717,615 Trust for Federal Securities--Federal Trust Fund, current rate 5.45%.................. $ 1,717,615
425,000 U.S. Treasury Bill........................................ 4.902% 08/28/97 421,535
1,890,000 Ciesco LP CP.............................................. 5.534% 7/21/97 1,883,860
770,000 E.I. Du Pont De Nemours & Co CP........................... 5.531% 07/17/97 767,957
1,060,000 Pepsico, Inc. CP.......................................... 5.505% 07/09/97 1,058,464
--------------
Total short-term securities (cost: $5,850,365)........................................ 5,849,431
--------------
Total investments in securities (cost: $133,245,608) (d).............................. $ 155,679,282
--------------
--------------
</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 5.7% of net assets in foreign securities as of June 30,
1997.
(d) At June 30, 1997 the cost of securities for federal income tax purposes was
$133,245,608. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation..................... $ 22,886,161
Gross unrealized depreciation..................... (452,487)
------------
Net unrealized appreciation....................... $ 22,433,674
------------
------------
</TABLE>
61
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1997
(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: $251,901,492;
$137,532,938; $54,913,832;
$400,929,495; $73,933,718;
$234,287,177; $178,840,505;
$205,993,380; $139,511,646;
$6,453,537; $3,687,811;
$3,169,082; $2,434,903 and
$133,245,608, respectively)..... $ 303,049,938 $ 138,264,313 $ 54,913,832 $ 460,896,166
Cash in bank on demand deposit..... 302 743,431 37,052 --
Receivable for Fund shares sold.... 444,459 366,275 313,388 230,334
Receivable for investment
securities sold................. -- 742,000 -- 6,447,197
Dividends and accrued interest
receivable...................... 460,918 1,920,588 105,526 2,972,949
-------------- ------------- ------------- -------------
Total assets................. 303,955,617 142,036,607 55,369,798 470,546,646
-------------- ------------- ------------- -------------
LIABILITIES
Payable to Minnesota Mutual........ 133,808 64,260 26,521 208,873
Bank overdraft..................... -- -- -- 42,574
Payable for Fund shares
repurchased..................... 131,441 73,132 138,023 265,362
Dividends payable to
shareholders.................... -- -- 615 --
Payable for investment securities
purchased....................... -- 4,477,095 2,544,717 7,748,082
-------------- ------------- ------------- -------------
Total liabilities............ 265,249 4,614,487 2,709,876 8,264,891
-------------- ------------- ------------- -------------
Net assets applicable to
outstanding capital stock....... $ 303,690,368 $ 137,422,120 $ 52,659,922 $ 462,281,755
-------------- ------------- ------------- -------------
-------------- ------------- ------------- -------------
Represented by:
Capital stock--authorized 10
trillion shares of $.01 par
value; outstanding
143,846,939; 109,480,827;
52,659,922; 246,927,109;
68,872,449; 108,814,057;
100,379,144; 156,453,274;
104,781,556; 6,182,477;
3,541,235; 2,986,550;
2,321,312 and 84,846,501
shares, respectively.......... 1,438,469 1,094,808 526,599 2,469,271
Additional paid-in capital..... 250,618,154 131,456,162 52,133,323 372,912,825
Undistributed net investment
income........................ 1,971,443 4,193,621 -- 6,699,894
Accumulated net realized gains
(losses) from investments and
foreign currency
transactions.................. (1,486,144) (53,846) -- 20,233,094
Unrealized appreciation of
investments and translation of
assets and liabilities in
foreign currencies............ 51,148,446 731,375 -- 59,966,671
-------------- ------------- ------------- -------------
Total--representing net
assets applicable to
outstanding capital stock... $ 303,690,368 $ 137,422,120 $ 52,659,922 $ 462,281,755
-------------- ------------- ------------- -------------
-------------- ------------- ------------- -------------
Net asset value per share of
outstanding capital stock....... $ 2.111 $ 1.255 $ 1.000 $ 1.872
-------------- ------------- ------------- -------------
-------------- ------------- ------------- -------------
</TABLE>
See accompanying notes to financial statements.
62
<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: $251,901,492;
$137,532,938; $54,913,832;
$400,929,495; $73,933,718;
$234,287,177; $178,840,505;
$205,993,380; $139,511,646;
$6,453,537; $3,687,811;
$3,169,082; $2,434,903 and
$133,245,608, respectively)....... $ 75,163,892 $334,510,841 $252,148,686 $269,676,780 $165,867,372
Cash in bank on demand deposit..... 30,014 319,249 298,508 2,122 220,726
Receivable for Fund shares sold.... 278,467 1,268,488 138,760 -- 365,878
Receivable for investment
securities sold................... 9,228,452 -- 785,420 516,132 2,589,451
Dividends and accrued interest
receivable........................ 595,252 345,558 131,876 1,237,183 77,055
------------- ------------ ------------- ------------- ------------
Total assets................. 85,296,077 336,444,136 253,503,250 271,432,217 169,120,482
------------- ------------ ------------- ------------- ------------
LIABILITIES
Payable to Minnesota Mutual........ 38,268 103,751 162,008 205,383 109,371
Bank overdraft..................... -- -- -- -- --
Payable for Fund shares
repurchased....................... 29,107 176,149 137,972 147,921 94,123
Dividends payable to
shareholders...................... -- -- -- 14,976 --
Payable for investment securities
purchased......................... 5,826,986 30,046,876 3,154,115 147,878 235,000
------------- ------------ ------------- ------------- ------------
Total liabilities............ 5,894,361 30,326,776 3,454,095 516,158 438,494
------------- ------------ ------------- ------------- ------------
Net assets applicable to
outstanding capital stock......... $ 79,401,716 $306,117,360 $250,049,155 $270,916,059 $168,681,988
------------- ------------ ------------- ------------- ------------
------------- ------------ ------------- ------------- ------------
Represented by:
Capital stock--authorized 10
trillion shares of $.01 par
value; outstanding
143,846,939; 109,480,827;
52,659,922; 246,927,109;
68,872,449; 108,814,057;
100,379,144; 156,453,274;
104,781,556; 6,182,477;
3,541,235; 2,986,550;
2,321,312 and 84,846,501
shares, respectively.......... 688,724 1,088,141 1,003,791 1,564,533 1,047,816
Additional paid-in capital..... 77,739,841 201,821,629 178,407,092 204,581,343 143,288,532
Undistributed net investment
income........................ 2,641,244 1,725,164 -- 3,306,851 128,225
Accumulated net realized gains
(losses) from investments and
foreign currency
transactions.................. (2,905,811) 1,258,762 (2,669,909) (2,220,068) (2,138,311)
Unrealized appreciation of
investments and translation of
assets and liabilities in
foreign currencies............ 1,237,718 100,223,664 73,308,181 63,683,400 26,355,726
------------- ------------ ------------- ------------- ------------
Total--representing net
assets applicable to
outstanding capital stock... $ 79,401,716 $306,117,360 $250,049,155 $270,916,059 $168,681,988
------------- ------------ ------------- ------------- ------------
------------- ------------ ------------- ------------- ------------
Net asset value per share of
outstanding capital stock......... $ 1.153 $ 2.813 $ 2.491 $ 1.732 $ 1.610
------------- ------------ ------------- ------------- ------------
------------- ------------ ------------- ------------- ------------
<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: $251,901,492;
$137,532,938; $54,913,832;
$400,929,495; $73,933,718;
$234,287,177; $178,840,505;
$205,993,380; $139,511,646;
$6,453,537; $3,687,811;
$3,169,082; $2,434,903 and
$133,245,608, respectively)....... $6,481,567 $ 3,752,337 $ 3,272,952 $ 2,489,362 $155,679,282
Cash in bank on demand deposit..... 93,880 1,087 412 192 426
Receivable for Fund shares sold.... 46 -- 11,545 122,438 741,722
Receivable for investment
securities sold................... -- 6,587 -- -- 6,806
Dividends and accrued interest
receivable........................ 388 272 120 336 210,606
----------- ------------ ------------ ------------ -------------
Total assets................. 6,575,881 3,760,283 3,285,029 2,612,328 156,638,842
----------- ------------ ------------ ------------ -------------
LIABILITIES
Payable to Minnesota Mutual........ 1,040 616 1,078 819 98,414
Bank overdraft..................... -- -- -- -- --
Payable for Fund shares
repurchased....................... 247 206 155 114 64,730
Dividends payable to
shareholders...................... -- -- -- -- --
Payable for investment securities
purchased......................... 93,662 -- -- -- 2,022,989
----------- ------------ ------------ ------------ -------------
Total liabilities............ 94,949 822 1,233 933 2,186,133
----------- ------------ ------------ ------------ -------------
Net assets applicable to
outstanding capital stock......... $6,480,932 $ 3,759,461 $ 3,283,796 $ 2,611,395 $154,452,709
----------- ------------ ------------ ------------ -------------
----------- ------------ ------------ ------------ -------------
Represented by:
Capital stock--authorized 10
trillion shares of $.01 par
value; outstanding
143,846,939; 109,480,827;
52,659,922; 246,927,109;
68,872,449; 108,814,057;
100,379,144; 156,453,274;
104,781,556; 6,182,477;
3,541,235; 2,986,550;
2,321,312 and 84,846,501
shares, respectively.......... 61,825 35,412 29,866 23,213 848,465
Additional paid-in capital..... 6,201,829 3,544,513 3,057,942 2,477,544 122,861,768
Undistributed net investment
income........................ 187,315 119,826 99,462 80,386 753,075
Accumulated net realized gains
(losses) from investments and
foreign currency
transactions.................. 1,933 (4,816) (7,344) (24,207) 7,555,727
Unrealized appreciation of
investments and translation of
assets and liabilities in
foreign currencies............ 28,030 64,526 103,870 54,459 22,433,674
----------- ------------ ------------ ------------ -------------
Total--representing net
assets applicable to
outstanding capital stock... $6,480,932 $ 3,759,461 $ 3,283,796 $ 2,611,395 $154,452,709
----------- ------------ ------------ ------------ -------------
----------- ------------ ------------ ------------ -------------
Net asset value per share of
outstanding capital stock......... $ 1.048 $ 1.062 $ 1.100 $ 1.125 $ 1.820
----------- ------------ ------------ ------------ -------------
----------- ------------ ------------ ------------ -------------
</TABLE>
63
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF OPERATIONS
PERIOD FROM JANUARY 1, 1997 TO JUNE 30, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
MONEY ASSET
GROWTH BOND MARKET ALLOCATION
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ---------- ------------
<S> <C> <C> <C> <C>
Investment income:
Interest....................... $ 362,136 $ 4,416,022 $1,420,567 $ 6,678,633
Dividends (net of foreign
withholding taxes of $440,356
for International Stock
Portfolio).................... 2,364,787 144,146 -- 1,210,550
------------ ----------- ---------- ------------
Total investment income.... 2,726,923 4,560,168 1,420,567 7,889,183
------------ ----------- ---------- ------------
Expenses (note 5):
Investment advisory fee........ 671,230 322,511 128,496 1,069,562
Custodian fees................. 11,872 5,424 3,613 18,243
Administrative service fee..... 14,400 14,400 14,400 14,400
Auditing and accounting
services...................... 5,323 2,133 1,234 9,977
Legal fees..................... 905 905 905 905
Registration fees.............. 403 233 734 21
Printing, shareholder reports
and shareholder meetings...... 43,370 18,651 9,842 69,886
Directors' fees................ 1,760 920 438 2,956
Insurance...................... 1,577 1,215 739 2,197
Licensing fee.................. -- -- -- --
Other.......................... 4,640 155 60 1,142
------------ ----------- ---------- ------------
Total expenses............. 755,480 366,547 160,461 1,189,289
Less fees and expenses waived
or absorbed by Minnesota
Mutual........................ -- -- -- --
------------ ----------- ---------- ------------
Total net expenses......... 755,480 366,547 160,461 1,189,289
------------ ----------- ---------- ------------
Investment income
(loss)--net............... 1,971,443 4,193,621 1,260,106 6,699,894
------------ ----------- ---------- ------------
Realized and unrealized gains
(losses) on investments and
foreign currencies:
Net realized gains (losses)
from:
Investments (note 3)....... (1,486,144) 126,467 -- 20,384,587
Foreign currency
transactions.............. -- -- -- --
Net change in unrealized
appreciation or depreciation
on:
Investments................ 43,804,658 225,318 -- 14,018,931
Translation of assets and
liabilities in foreign
currency.................. -- -- -- --
------------ ----------- ---------- ------------
Net gains (losses) on
investments............... 42,318,514 351,785 -- 34,403,518
------------ ----------- ---------- ------------
Net increase in net assets
resulting from operations..... $ 44,289,957 $ 4,545,406 $1,260,106 $ 41,103,412
------------ ----------- ---------- ------------
------------ ----------- ---------- ------------
</TABLE>
See accompanying notes to financial statements.
64
<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....................... $2,870,718 $ 58,301 $ 377,265 $ 698,178 $ 604,692 $193,452
Dividends (net of foreign
withholding taxes of $440,356
for International Stock
Portfolio).................... -- 2,215,562 510,787 3,803,558 126,417 --
----------- ------------ ------------ ------------- ----------- ----------
Total investment income.... 2,870,718 2,273,863 888,052 4,501,736 731,109 193,452
----------- ------------ ------------ ------------- ----------- ----------
Expenses (note 5):
Investment advisory fee........ 189,504 472,809 837,901 839,599 545,750 1,530
Custodian fees................. 5,019 5,309 5,951 198,617 10,615 2,252
Administrative service fee..... 14,400 14,400 14,400 14,400 14,400 14,400
Auditing and accounting
services...................... 2,498 2,905 4,045 71,528 1,593 1,404
Legal fees..................... 905 905 905 905 905 905
Registration fees.............. 4 12 11 372 431 --
Printing, shareholder reports
and shareholder meetings...... 13,276 36,424 37,296 37,822 25,675 965
Directors' fees................ 568 1,486 1,547 1,534 1,096 40
Insurance...................... 900 1,313 1,501 1,492 1,232 288
Licensing fee.................. -- 11,942 -- -- -- --
Other.......................... 2,400 1,194 10,810 28,614 1,187 9
----------- ------------ ------------ ------------- ----------- ----------
Total expenses............. 229,474 548,699 914,367 1,194,883 602,884 21,793
Less fees and expenses waived
or absorbed by Minnesota
Mutual........................ -- -- -- -- -- (15,656)
----------- ------------ ------------ ------------- ----------- ----------
Total net expenses......... 229,474 548,699 914,367 1,194,833 602,884 6,137
----------- ------------ ------------ ------------- ----------- ----------
Investment income
(loss)--net............... 2,641,244 1,725,164 (26,315) 3,306,853 128,225 187,315
----------- ------------ ------------ ------------- ----------- ----------
Realized and unrealized gains
(losses) on investments and
foreign currencies:
Net realized gains (losses)
from:
Investments (note 3)....... 245,798 1,705,251 (2,616,846) 1,941,765 247,058 1,933
Foreign currency
transactions.............. -- -- -- (84,506) -- --
Net change in unrealized
appreciation or depreciation
on:
Investments................ 78,828 40,691,463 29,435,897 26,231,545 8,085,787 (22,380)
Translation of assets and
liabilities in foreign
currency.................. -- -- -- 16,302 -- --
----------- ------------ ------------ ------------- ----------- ----------
Net gains (losses) on
investments............... 324,626 42,396,714 26,819,051 28,105,106 8,332,845 (20,447)
----------- ------------ ------------ ------------- ----------- ----------
Net increase in net assets
resulting from operations..... $2,965,870 $ 44,121,878 $26,792,736 $31,411,959 $ 8,461,070 $166,868
----------- ------------ ------------ ------------- ----------- ----------
----------- ------------ ------------ ------------- ----------- ----------
<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....................... $123,609 $105,713 $ 85,350 $ 314,458
Dividends (net of foreign
withholding taxes of $440,356
for International Stock
Portfolio).................... -- -- -- 945,505
---------- ---------- ---------- -----------
Total investment income.... 123,609 105,713 85,350 1,259,963
---------- ---------- ---------- -----------
Expenses (note 5):
Investment advisory fee........ 946 3,906 3,102 466,127
Custodian fees................. 2,107 1,936 2,595 4,204
Administrative service fee..... 14,400 14,400 14,400 14,400
Auditing and accounting
services...................... 1,402 1,402 1,402 1,832
Legal fees..................... 905 905 905 905
Registration fees.............. -- -- -- 6
Printing, shareholder reports
and shareholder meetings...... 620 513 429 17,941
Directors' fees................ 27 21 19 703
Insurance...................... 233 196 194 770
Licensing fee.................. -- -- -- --
Other.......................... 5 4 3 --
---------- ---------- ---------- -----------
Total expenses............. 20,645 23,283 23,049 506,888
Less fees and expenses waived
or absorbed by Minnesota
Mutual........................ (16,862) (17,032) (18,085) --
---------- ---------- ---------- -----------
Total net expenses......... 3,783 6,251 4,964 506,888
---------- ---------- ---------- -----------
Investment income
(loss)--net............... 119,826 99,462 80,386 753,075
---------- ---------- ---------- -----------
Realized and unrealized gains
(losses) on investments and
foreign currencies:
Net realized gains (losses)
from:
Investments (note 3)....... (4,816) 3,169 (2,101) 7,572,894
Foreign currency
transactions.............. -- -- -- --
Net change in unrealized
appreciation or depreciation
on:
Investments................ (41,013) (35,717) (50,273) 10,548,961
Translation of assets and
liabilities in foreign
currency.................. -- -- -- --
---------- ---------- ---------- -----------
Net gains (losses) on
investments............... (45,829) (32,548) (52,374) 18,121,855
---------- ---------- ---------- -----------
Net increase in net assets
resulting from operations..... $ 73,997 $ 66,914 $ 28,012 $18,874,930
---------- ---------- ---------- -----------
---------- ---------- ---------- -----------
</TABLE>
65
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
PERIOD FROM JANUARY 1, 1997 TO JUNE 30, 1997 AND YEAR ENDED DECEMBER 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
GROWTH PORTFOLIO BOND PORTFOLIO
-------------------------- --------------------------
1997 1996 1997 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Operations:
Investment income (loss)--net.... $ 1,971,443 $ 2,348,606 $ 4,193,621 $ 7,069,687
Net realized gains (losses) on
investments and foreign currency
transactions.................... (1,486,144) 60,829,755 126,467 (121,439)
Net change in unrealized
appreciation or depreciation of
investments and translation of
assets and liabilities in
foreign currencies.............. 43,804,658 (27,909,772) 225,318 (3,067,081)
------------ ------------ ------------ ------------
Net increase in net assets
resulting from operations..... 44,289,957 35,268,589 4,545,406 3,881,167
------------ ------------ ------------ ------------
Distributions to shareholders from:
Investment income--net........... (2,348,606) (1,885,333) (7,069,687) (5,666,378)
Net realized gains............... (60,686,820) (17,716,504) -- (1,021,457)
------------ ------------ ------------ ------------
Total distributions............ (63,035,426) (19,601,837) (7,069,687) (6,687,835)
------------ ------------ ------------ ------------
Capital share transactions (note
5):
Proceeds from sales.............. 30,285,538 46,018,318 19,574,236 38,198,366
Shares issued as a result of
reinvested distributions........ 63,035,426 19,601,837 7,069,687 6,687,835
Payments for redemption of
shares.......................... (19,349,682) (34,499,910) (12,583,100) (17,238,784)
------------ ------------ ------------ ------------
Increase in net assets from capital
shares transactions............. 73,971,282 31,120,245 14,060,823 27,647,417
------------ ------------ ------------ ------------
Total increase in net assets... 55,225,813 46,786,997 11,536,542 24,840,749
Net assets at beginning of
period.......................... 248,464,555 201,677,558 125,885,578 101,044,829
------------ ------------ ------------ ------------
Net assets at end of period
(including undistributed net
investment income of $1,971,443
and $2,348,606 for Growth,
$4,193,621 and $7,069,687 for
Bond, $0 and $0 for Money
Market, $6,699,894 and
$11,750,366 for Asset
Allocation, $2,641,244 and
$4,934,258 for Mortgage
Securities, $1,725,164 and
$2,857,956 for Index 500 and $0
and $0 for Capital Appreciation,
respectively.................... $303,690,368 $248,464,555 $137,422,120 $125,885,578
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
See accompanying notes to financial statements.
66
<PAGE>
<TABLE>
<CAPTION>
MONEY MARKET ASSET ALLOCATION MORTGAGE SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------- -------------------------- --------------------------
1997 1996 1997 1996 1997 1996
----------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Investment income (loss)--net.... $ 1,260,106 $ 2,123,183 $ 6,699,894 $ 11,750,366 $ 2,641,244 $ 4,934,258
Net realized gains (losses) on
investments and foreign currency
transactions.................... -- -- 20,384,587 24,349,692 245,798 138,890
Net change in unrealized
appreciation or depreciation of
investments and translation of
assets and liabilities in
foreign currencies.............. -- -- 14,018,931 9,054,264 78,828 (1,394,163)
----------- ------------ ------------ ------------ ------------ ------------
Net increase in net assets
resulting from operations..... 1,260,106 2,123,183 41,103,412 45,154,322 2,965,870 3,678,985
----------- ------------ ------------ ------------ ------------ ------------
Distributions to shareholders from:
Investment income--net........... (1,260,106) (2,123,183) (11,750,366) (11,587,244) (4,934,258) (4,531,053)
Net realized gains............... -- -- (24,394,804) (21,215,841) -- --
----------- ------------ ------------ ------------ ------------ ------------
Total distributions............ (1,260,106) (2,123,183) (36,145,170) (32,803,085) (4,934,258) (4,531,053)
----------- ------------ ------------ ------------ ------------ ------------
Capital share transactions (note
5):
Proceeds from sales.............. 35,349,364 77,174,302 42,063,682 84,153,296 10,855,920 19,427,231
Shares issued as a result of
reinvested distributions........ 1,259,519 2,131,453 36,145,170 32,803,085 4,934,258 4,531,053
Payments for redemption of
shares.......................... (35,409,581) (58,011,515) (35,594,483) (63,608,788) (10,412,049) (16,860,214)
----------- ------------ ------------ ------------ ------------ ------------
Increase in net assets from capital
shares transactions............... 1,199,301 21,294,240 42,614,369 53,347,593 5,378,129 7,098,070
----------- ------------ ------------ ------------ ------------ ------------
Total increase in net assets... 1,199,301 21,294,240 47,572,611 65,698,830 3,409,741 6,246,002
Net assets at beginning of
period............................ 51,460,620 30,166,380 414,709,144 349,010,314 75,991,975 69,745,973
----------- ------------ ------------ ------------ ------------ ------------
Net assets at end of period
(including undistributed net
investment income of $1,971,443
and $2,348,606 for Growth,
$4,193,621 and $7,069,687 for
Bond, $0 and $0 for Money Market,
$6,699,894 and $11,750,366 for
Asset Allocation, $2,641,244 and
$4,934,258 for Mortgage
Securities, $1,725,164 and
$2,857,956 for Index 500 and $0
and $0 for Capital Appreciation,
respectively...................... $52,659,922 $ 51,460,620 $462,281,755 $414,709,144 $ 79,401,716 $ 75,991,975
----------- ------------ ------------ ------------ ------------ ------------
----------- ------------ ------------ ------------ ------------ ------------
<CAPTION>
INDEX 500 CAPITAL APPRECIATION
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
1997 1996 1997 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Operations:
Investment income (loss)--net.... $ 1,725,164 $ 2,857,956 $ (26,315) $ (178,664)
Net realized gains (losses) on
investments and foreign currency
transactions.................... 1,705,251 3,336,804 (2,616,846) 21,475,571
Net change in unrealized
appreciation or depreciation of
investments and translation of
assets and liabilities in
foreign currencies.............. 40,691,463 25,995,361 29,435,897 8,718,053
------------ ------------ ------------ ------------
Net increase in net assets
resulting from operations..... 44,121,878 32,190,121 26,792,736 30,014,960
------------ ------------ ------------ ------------
Distributions to shareholders from:
Investment income--net........... (2,857,956) (1,984,153) -- --
Net realized gains............... (3,610,751) (1,027,104) (21,514,696) (4,759,442)
------------ ------------ ------------ ------------
Total distributions............ (6,468,707) (3,011,257) (21,514,696) (4,759,442)
------------ ------------ ------------ ------------
Capital share transactions (note
5):
Proceeds from sales.............. 77,231,452 77,547,421 27,704,958 55,469,252
Shares issued as a result of
reinvested distributions........ 6,468,707 3,011,257 21,514,696 4,759,442
Payments for redemption of
shares.......................... (19,631,388) (29,340,723) (18,916,825) (34,535,706)
------------ ------------ ------------ ------------
Increase in net assets from capital
shares transactions............... 64,068,771 51,217,955 30,302,829 25,692,988
------------ ------------ ------------ ------------
Total increase in net assets... 101,721,942 80,396,819 35,580,869 50,948,506
Net assets at beginning of
period............................ 204,395,418 123,998,599 214,468,286 163,519,780
------------ ------------ ------------ ------------
Net assets at end of period
(including undistributed net
investment income of $1,971,443
and $2,348,606 for Growth,
$4,193,621 and $7,069,687 for
Bond, $0 and $0 for Money Market,
$6,699,894 and $11,750,366 for
Asset Allocation, $2,641,244 and
$4,934,258 for Mortgage
Securities, $1,725,164 and
$2,857,956 for Index 500 and $0
and $0 for Capital Appreciation,
respectively...................... $306,117,360 $204,395,418 $250,049,155 $214,468,286
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
67
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS -- continued
PERIOD FROM JANUARY 1, 1997 TO JUNE 30, 1997 AND YEAR ENDED DECEMBER 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
INTERNATIONAL STOCK SMALL COMPANY
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
1997 1996 1997 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Operations:
Investment income--net........... $ 3,306,853 $ 4,406,540 $ 128,225 $ 304,423
Net realized gains (losses) on
investments..................... 1,857,259 4,146,575 247,058 8,723,984
Net change in unrealized
appreciation or depreciation of
investments..................... 26,247,847 23,738,356 8,085,787 (2,113,307)
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations.................... 31,411,959 32,291,471 8,461,070 6,915,100
------------ ------------ ------------ ------------
Distributions to shareholders from:
Investment income--net........... (7,116,929) (4,201,200) (2,423) (302,963)
Tax return of capital............ (3,550,500) -- -- --
Net realized gains............... -- (4,599,310) -- (13,553,934)
------------ ------------ ------------ ------------
Total distributions............ (10,667,429) (8,800,510) (2,423) (13,856,897)
------------ ------------ ------------ ------------
Capital share transactions (note
5):
Proceeds from sales.............. 42,580,636 69,628,923 30,975,200 62,610,535
Shares issued as a result of
reinvested distributions........ 10,667,429 8,800,510 2,423 13,856,897
Payments for redemption of
shares.......................... (16,684,136) (29,082,358) (15,298,036) (23,876,807)
------------ ------------ ------------ ------------
Increase (decrease) in net assets
from capital shares
transactions.................... 36,563,929 49,347,075 15,679,587 52,590,625
------------ ------------ ------------ ------------
Total increase in net assets... 57,308,653 72,838,036 24,138,234 45,648,828
Net assets at beginning of
period.......................... 213,607,601 140,769,565 144,543,754 98,894,926
------------ ------------ ------------ ------------
Net assets at end of period
(including undistributed net
investment income of $3,306,851
and $7,116,929 for International
Stock, $128,225 and $2,423 for
Small Company, $187,315 and
$326,014 for Maturing Government
Bond 1998, $119,826 and $1,875
for Maturing Government Bond
2002, $99,462 and $1,812 for
Maturing Government Bond 2006,
$80,386 and $118,592 for
Maturing Government Bond 2010
and $753,075 and $9,682 for
Value Stock, respectively....... $270,916,059 $213,607,601 $168,681,988 $144,543,754
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
See accompanying notes to financial statements.
68
<PAGE>
<TABLE>
<CAPTION>
MATURING GOVERNMENT MATURING GOVERNMENT MATURING GOVERNMENT
BOND 1998 PORTFOLIO BOND 2002 PORTFOLIO BOND 2006 PORTFOLIO
-------------------------- -------------------------- -------------------------
1997 1996 1997 1996 1997 1996
------------ ------------ ------------ ------------ ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Investment income--net........... $ 187,315 $ 326,014 $ 119,826 $ 215,875 $ 99,462 $ 171,812
Net realized gains (losses) on
investments..................... 1,933 14,263 (4,816) 33,341 3,169 36,005
Net change in unrealized
appreciation or depreciation of
investments..................... (22,380) (123,136) (41,013) (172,492) (35,717) (216,858)
------------ ------------ ------------ ------------ ----------- ------------
Net increase (decrease) in net
assets resulting from
operations.................... 166,868 217,141 73,997 76,724 66,914 (9,041)
------------ ------------ ------------ ------------ ----------- ------------
Distributions to shareholders from:
Investment income--net........... (326,014) (3,760) (1,875) (214,000) (1,812) (171,524)
Tax return of capital............ -- -- -- -- -- --
Net realized gains............... (14,263) -- (30,370) -- (44,452) (4,256)
------------ ------------ ------------ ------------ ----------- ------------
Total distributions............ (340,277) (3,760) (32,245) (214,000) (46,264) (175,780)
------------ ------------ ------------ ------------ ----------- ------------
Capital share transactions (note
5):
Proceeds from sales.............. 737,439 1,742,631 287,517 1,054,826 352,658 743,284
Shares issued as a result of
reinvested distributions........ 340,277 3,760 32,245 214,000 46,264 175,780
Payments for redemption of
shares.......................... (522,407) (917,593) (502,038) (280,991) (230,912) (208,659)
------------ ------------ ------------ ------------ ----------- ------------
Increase (decrease) in net assets
from capital shares
transactions...................... 555,309 828,798 (182,276) 987,835 168,010 710,405
------------ ------------ ------------ ------------ ----------- ------------
Total increase in net assets... 381,900 1,042,179 (140,524) 850,559 188,660 525,584
Net assets at beginning of
period............................ 6,099,032 5,056,853 3,899,985 3,049,426 3,095,136 2,569,552
------------ ------------ ------------ ------------ ----------- ------------
Net assets at end of period
(including undistributed net
investment income of $3,306,851
and $7,116,929 for International
Stock, $128,225 and $2,423 for
Small Company, $187,315 and
$326,014 for Maturing Government
Bond 1998, $119,826 and $1,875 for
Maturing Government Bond 2002,
$99,462 and $1,812 for Maturing
Government Bond 2006, $80,386 and
$118,592 for Maturing Government
Bond 2010 and $753,075 and $9,682
for Value Stock, respectively..... $ 6,480,932 $ 6,099,032 $ 3,759,461 $ 3,899,985 $ 3,283,796 $ 3,095,136
------------ ------------ ------------ ------------ ----------- ------------
------------ ------------ ------------ ------------ ----------- ------------
<CAPTION>
MATURING GOVERNMENT
BOND 2010 PORTFOLIO VALUE STOCK PORTFOLIO
------------------------- --------------------------
1997 1996 1997 1996
----------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Operations:
Investment income--net........... $ 80,386 $ 118,592 $ 753,075 $ 769,682
Net realized gains (losses) on
investments..................... (2,101) 18,011 7,572,894 7,197,176
Net change in unrealized
appreciation or depreciation of
investments..................... (50,273) (144,636) 10,548,961 8,706,912
----------- ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations.................... 28,012 (8,033) 18,874,930 16,673,770
----------- ------------ ------------ ------------
Distributions to shareholders from:
Investment income--net........... (118,592) (1,072) (9,682) (763,814)
Tax return of capital............ -- -- -- --
Net realized gains............... (24,752) -- (1,872,493) (5,854,725)
----------- ------------ ------------ ------------
Total distributions............ (143,344) (1,072) (1,882,175) (6,618,539)
----------- ------------ ------------ ------------
Capital share transactions (note
5):
Proceeds from sales.............. 478,833 1,851,191 48,296,993 59,733,886
Shares issued as a result of
reinvested distributions........ 143,344 1,072 1,882,175 6,618,539
Payments for redemption of
shares.......................... (708,267) (413,947) (9,906,342) (11,045,562)
----------- ------------ ------------ ------------
Increase (decrease) in net assets
from capital shares
transactions...................... (86,090) 1,438,316 40,272,826 55,306,863
----------- ------------ ------------ ------------
Total increase in net assets... (201,422) 1,429,211 57,265,581 65,362,094
Net assets at beginning of
period............................ 2,812,817 1,383,606 97,187,128 31,825,034
----------- ------------ ------------ ------------
Net assets at end of period
(including undistributed net
investment income of $3,306,851
and $7,116,929 for International
Stock, $128,225 and $2,423 for
Small Company, $187,315 and
$326,014 for Maturing Government
Bond 1998, $119,826 and $1,875 for
Maturing Government Bond 2002,
$99,462 and $1,812 for Maturing
Government Bond 2006, $80,386 and
$118,592 for Maturing Government
Bond 2010 and $753,075 and $9,682
for Value Stock, respectively..... $ 2,611,395 $ 2,812,817 $154,452,709 $ 97,187,128
----------- ------------ ------------ ------------
----------- ------------ ------------ ------------
</TABLE>
69
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1997
(UNAUDITED)
(1) ORGANIZATION
Advantus 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). On April 24, 1997 shareholders of the Fund approved a
name change to Advantus Series Fund, Inc. (effective May 1, 1997). Prior to May
1, 1997 the Fund was known as MIMLIC Series Fund, Inc. 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 liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of increases and decreases in net assets
resulting 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
70
<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. There are no outstanding forward foreign currency exchange contracts
open as of June 30, 1997.
SECURITIES PURCHASED ON A WHEN-ISSUED BASIS
Delivery and payment for securities which have been purchased by the Fund on
a forward commitment or when-issued basis can take place a month or more after
the transaction date. During this period, such securities are subject to market
fluctuations. As of June 30, 1997, the Mortgage Securities Portfolio had entered
into outstanding when-issued or forward commitments of $1,010,313. The Mortgage
Securities Portfolio has segregated assets, with the Portfolio's custodian, to
cover such when-issued and forward commitment transactions.
FEDERAL TAXES
The Fund's policy is to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
taxable income to shareholders. Therefore, no income tax provision is required.
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, 1997, 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>
Bond................................................................ $ 54,000
Mortgage Securities................................................. 2,900,000
Small Company....................................................... 2,140,000
</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.
On the statement of assets and liabilities, as a result of permanent
book-to-tax differences, a reclassification adjustment was made as follows:
<TABLE>
<CAPTION>
ADDITIONAL
UNDISTRIBUTED NET PAID IN
INVESTMENT INCOME CAPITAL
----------------- --------------
<S> <C> <C>
Capital Appreciation............................... $ 26,315 $ (26,315)
</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 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.
71
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(3) INVESTMENT SECURITY TRANSACTIONS
For the period ended June 30, 1997, the cost of purchases and proceeds from
sales of investment securities aggregated $260,607,266 and $242,090,557,
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, 1997 were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ -------------
<S> <C> <C>
Growth............................................. $109,149,773 $ 70,517,314
Bond............................................... 135,620,461 130,968,571
Asset Allocation................................... 309,819,199 278,980,021
Mortgage Securities................................ 30,132,091 31,345,302
Index 500.......................................... 74,720,797 15,576,343
Capital Appreciation............................... 87,721,912 73,008,664
International Stock................................ 30,037,494 7,629,673
Small Company...................................... 49,907,712 36,186,793
Maturing Government Bond 1998...................... 788,724 600,289
Maturing Government Bond 2002...................... 820,500 1,066,429
Maturing Government Bond 2006...................... 207,790 103,366
Maturing Government Bond 2010...................... 346,624 320,055
Value Stock........................................ 108,643,501 63,781,880
</TABLE>
(4) EXPENSES AND RELATED PARTY TRANSACTIONS
On April 24, 1997 shareholders of the Fund approved a new investment
advisory agreement with Advantus Capital Management, Inc. (Advantus Capital).
Advantus Capital is a wholly-owned subsidiary of MIMLIC Asset Management Company
(MIMLIC Management) which, prior to May 1, 1997, served as investment adviser to
the Fund. Under this agreement, Advantus Capital manages the Fund's assets and
provides research, statistical and advisory services and pays related office
rental and executive expenses and salaries. Each portfolio of the Fund pays
Advantus Capital 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 $15 million
.75% on the next $15 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>
72
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(4) EXPENSES AND RELATED PARTY TRANSACTIONS--(CONTINUED)
The fees paid to Advantus Capital for investment advisory services are the
same as under the old agreement with MIMLIC Management.
For Capital Appreciation, Advantus Capital has a sub-advisory agreement with
Winslow Capital Management, Inc. (Winslow). Under the sub-advisory agreement,
Advantus Capital pays Winslow a fee equal to .375 percent of net assets of
Capital Appreciation. For International Stock, Advantus Capital has a
sub-advisory agreement with Templeton Investment Counsel, Inc. (Templeton). From
its advisory fee, Advantus Capital pays Templeton 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.
On September 30, 1996, the shareholders of Growth approved a sub-advisory
agreement between MIMLIC Management and Voyageur Fund Managers, Inc. (Voyageur).
Under the sub-advisory agreement, effective October 1, 1996, MIMLIC Management
paid Voyageur a fee equal to .25 percent of net assets of Growth. Effective May
1, 1997 the sub-advisory agreement between MIMLIC Management and Voyageur was
terminated.
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, 1997, Minnesota Mutual voluntarily agreed to absorb $15,656, $16,862,
$17,032 and $18,085 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, in
the amount of $2,400 per month, for accounting, legal and other administrative
services which Minnesota Mutual provides.
(5) CAPITAL SHARE TRANSACTIONS
Transactions in shares of portfolios for the period ended June 30, 1997 and
year ended December 31, 1996 were as follows:
<TABLE>
<CAPTION>
GROWTH BOND
---------------------------- ----------------------------
1997 1996 1997 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 13,972,415 20,525,981 15,578,639 30,374,847
Issued for reinvested distributions......................... 32,682,992 9,579,976 5,823,499 5,583,992
Redeemed.................................................... (8,841,270) (15,345,143) (10,017,849) (13,706,716)
------------ ------------ ------------ ------------
37,814,137 14,760,814 11,384,289 22,252,123
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MONEY MARKET ASSET ALLOCATION
---------------------------- ----------------------------
1997 1996 1997 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 35,349,364 77,174,302 22,928,866 46,935,708
Issued for reinvested distributions......................... 1,259,519 2,131,453 20,976,851 19,792,634
Redeemed.................................................... (35,409,581) (58,011,515) (19,354,022) (35,436,505)
------------ ------------ ------------ ------------
1,199,302 21,294,240 24,551,695 31,291,837
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MORTGAGE SECURITIES INDEX 500
---------------------------- ----------------------------
1997 1996 1997 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 9,364,767 16,716,254 29,014,325 35,516,209
Issued for reinvested distributions......................... 4,427,420 4,096,652 2,584,456 1,471,728
Redeemed.................................................... (8,961,384) (14,548,820) (7,641,515) (13,411,996)
------------ ------------ ------------ ------------
4,830,803 6,264,086 23,957,266 23,575,941
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
73
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(5) CAPITAL SHARE TRANSACTIONS--(CONTINUED)
<TABLE>
<CAPTION>
CAPITAL APPRECIATION INTERNATIONAL STOCK
---------------------------- ----------------------------
1997 1996 1997 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 11,609,211 23,723,099 26,173,025 47,517,336
Issued for reinvested distributions......................... 9,939,279 2,186,263 6,814,559 6,279,337
Redeemed.................................................... (7,948,104) (14,818,769) (10,271,066) (19,870,998)
------------ ------------ ------------ ------------
13,600,386 11,090,593 22,716,518 33,925,675
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MATURING GOVERNMENT BOND
SMALL COMPANY 1998
---------------------------- ----------------------------
1997 1996 1997 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 20,984,140 37,985,089 699,343 1,646,497
Issued for reinvested distributions......................... 1,733 9,010,911 330,829 3,671
Redeemed.................................................... (10,379,328) (14,536,066) (495,571) (875,000)
------------ ------------ ------------ ------------
10,606,545 32,459,934 534,601 775,168
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MATURING GOVERNMENT BOND MATURING GOVERNMENT BOND
2002 2006
---------------------------- ----------------------------
1997 1996 1997 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 275,628 979,665 330,523 667,732
Issued for reinvested distributions......................... 31,257 202,767 43,770 159,037
Redeemed.................................................... (483,807) (260,338) (216,784) (186,970)
------------ ------------ ------------ ------------
(176,922) 922,094 157,509 639,799
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MATURING GOVERNMENT BOND
2010 VALUE STOCK
---------------------------- ----------------------------
1997 1996 1997 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 422,734 1,639,014 28,469,097 40,038,292
Issued for reinvested distributions......................... 133,827 1,015 1,112,800 4,188,960
Redeemed.................................................... (636,277) (378,863) (5,835,662) (7,390,558)
------------ ------------ ------------ ------------
(79,716) 1,261,166 23,746,235 36,836,694
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</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, 1997, investments in securities of Bond, Asset Allocation, Mortgage
Securities and International Stock include issues that are illiquid. The
aggregate values of illiquid securities held by Bond, Asset Allocation, Mortgage
Securities and International Stock at June 30, 1997 were $18,213,067,
$34,037,133, $5,764,125 and $8,492,218, respectively, which represent 13.3%,
7.4%, 7.3% 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.
74
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(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:
GROWTH PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, YEAR ENDED DECEMBER 31,
1997 TO --------------------------------------------------------
JUNE 30, 1997(e) 1996 1995 1994 1993 1992
---------------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period........ $2.343 $2.210 $1.866 $1.912 $1.889 $1.864
------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income................... .013 .022 .021 .019 .020 .026
Net gains or losses on securities (both
realized and unrealized).............. .339 .325 .416 (.005) .063 .060
------- -------- -------- -------- -------- --------
Total from investment operations.... .352 .347 .437 .014 .083 .086
------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment income.... (.022) (.021) (.020) (.020) (.027) (.031)
Distributions from capital gains........ (.562) (.193) (.073) (.040) (.033) (.030)
------- -------- -------- -------- -------- --------
Total distributions................. (.584) (.214) (.093) (.060) (.060) (.061)
------- -------- -------- -------- -------- --------
Net asset value, end of period.............. $2.111 $2.343 $2.210 $1.866 $1.912 $1.889
------- -------- -------- -------- -------- --------
------- -------- -------- -------- -------- --------
Total return (a)............................ 17.3%(d) 17.2% 24.3% .8% 4.7% 4.8%
Net assets, end of period (in thousands).... $ 303,690 $248,465 $201,678 $157,369 $125,745 $ 99,128
Ratio of expenses to average daily net
assets.................................... .56%(c) .59% .55% .56% .58% .58%
Ratio of net investment income to average
daily net assets.......................... 1.47%(c) 1.04% 1.04% 1.22% 1.21% 1.72%
Portfolio turnover rate (excluding
short-term securities).................... 27.6% 154.7% 91.9% 42.0% 51.0% 22.4%
Average commission rate on common stock
transactions (b).......................... $.0600 $.0617 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) Beginning in 1996, the Portfolio is required to disclose an average
brokerage commission rate. The rate is calculated by dividing the total
brokerage commissions paid on applicable purchases and sales of common
stocks for the period by the total number of related shares purchased and
sold.
(c) Adjusted to an annual basis.
(d) Total return is presented for the period from January 1, 1997 to June 30,
1997.
(e) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1, 1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
75
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
BOND PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, YEAR ENDED DECEMBER 31,
1997 TO --------------------------------------------------------
JUNE 30, 1997(e) 1996 1995 1994 1993 1992
----------------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period.......... $1.283 $1.332 $1.157 $1.300 $1.258 $1.264
------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income..................... .036 .068 .074 .042 .051 .053
Net gains or losses on securities (both
realized and unrealized)................ .006 (.034) .147 (.100) .074 .024
------- -------- -------- -------- -------- --------
Total from investment operations...... .042 .034 .221 (.058) .125 .077
------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment income...... (.070) (.070) (.046) (.052) (.058) (.069)
Distributions from capital gains.......... -- (.013) -- (.033) (.025) (.014)
------- -------- -------- -------- -------- --------
Total distributions................... (.070) (.083) (.046) (.085) (.083) (.083)
------- -------- -------- -------- -------- --------
Net asset value, end of period................ $1.255 $1.283 $1.332 $1.157 $1.300 $1.258
------- -------- -------- -------- -------- --------
------- -------- -------- -------- -------- --------
Total return (a).............................. 3.5%(d) 3.0% 19.8% (4.6)% 10.3% 6.7%
Net assets, end of period (in thousands)...... $ 137,422 $125,886 $101,045 $ 74,679 $ 43,927 $ 24,914
Ratio of expenses to average daily net assets
(b)......................................... .57%(c) .56% .58% .61% .64% .65%
Ratio of net investment income to average
daily net assets (b)........................ 6.50%(c) 6.36% 6.57% 6.12% 5.57% 6.56%
Portfolio turnover rate (excluding short-term
securities)................................. 106.7% 154.0% 205.4% 166.2% 166.8% 140.2%
</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) Minnesota Mutual voluntarily absorbed $12,179 in expenses for the year
ended December 31, 1992. Had the Portfolio paid all fees and expenses, the
ratio of expenses to average daily net assets would have been .72% and the
ratio of net investment income to average daily net assets would have been
6.49%.
(c) Adjusted to an annual basis.
(d) Total return is presented for the period from January 1, 1997 to June 30,
1997.
(e) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1, 1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
76
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, YEAR ENDED DECEMBER 31,
1997 TO --------------------------------------------------------
JUNE 30, 1997(e) 1996 1995 1994 1993 1992
----------------- -------- -------- -------- -------- --------
<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 .048 .053 .036 .027 .032
------ -------- -------- -------- -------- --------
Total from investment operations........ .024 .048 .053 .036 .027 .032
------ -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment income........ (.024) (.048) (.053) (.036) (.027) (.032)
------ -------- -------- -------- -------- --------
Total distributions..................... (.024) (.048) (.053) (.036) (.027) (.032)
------ -------- -------- -------- -------- --------
Net asset value, end of period.................. $1.000 $1.000 $1.000 $1.000 $1.000 $1.000
------ -------- -------- -------- -------- --------
------ -------- -------- -------- -------- --------
Total return (a)................................ 2.5%(d) 4.9% 5.4% 3.7% 2.7% 3.2%
Net assets, end of period (in thousands)........ $ 52,660 $ 51,461 $ 30,166 $ 23,107 $ 18,423 $ 13,591
Ratio of expenses to average daily net assets
(b)........................................... .62%(c) .60% .64% .65% .65% .65%
Ratio of net investment income to average daily
net assets (b)................................ 4.89%(c) 4.81% 5.29% 3.71% 2.65% 3.17%
</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) Minnesota Mutual voluntarily absorbed $13,734, $23,714 and $20,913 in
expenses for the years ended December 31, 1994, 1993 and 1992,
respectively. Had the Portfolio paid all fees and expenses the ratio of
expenses to average daily net assets would have been .72%, .81% and .80%,
respectively, and the ratio of net investment income to average daily net
assets would have been 3.64%, 2.49% and 3.02%, respectively.
(c) Adjusted to an annual basis.
(d) Total return is presented for the period from January 1, 1997 to June 30,
1997.
(e) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1, 1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
77
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
ASSET ALLOCATION PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, YEAR ENDED DECEMBER 31,
1997 TO --------------------------------------------------------
JUNE 30, 1997(e) 1996 1995 1994 1993 1992
----------------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period....... $1.865 $1.826 $1.524 $1.589 $1.574 $1.558
------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income.................. .027 .052 .061 .047 .030 .034
Net gains or losses on securities (both
realized and unrealized).............. .141 .155 .308 (.069) .066 .070
------- -------- -------- -------- -------- --------
Total from investment operations... .168 .207 .369 (.022) .096 .104
------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment income... (.053) (.059) (.049) (.033) (.037) (.041)
Distributions from capital gains....... (.109) (.109) (.018) (.010) (.044) (.047)
------- -------- -------- -------- -------- --------
Total distributions................ (.162) (.168) (.067) (.043) (.081) (.088)
------- -------- -------- -------- -------- --------
Net asset value, end of period............. $1.872 $1.865 $1.826 $1.524 $1.589 $1.574
------- -------- -------- -------- -------- --------
------- -------- -------- -------- -------- --------
Total return (a)........................... 9.8%(d) 12.5% 25.0% (1.4)% 6.5% 7.3%
Net assets, end of period (in thousands)... $ 462,281 $414,709 $349,010 $272,629 $250,011 $150,998
Ratio of expenses to average daily net
assets................................... .56%(c) .54% .55% .56% .57% .60%
Ratio of net investment income to average
daily net assets......................... 3.13%(c) 3.09% 3.75% 3.31% 2.63% 3.68%
Portfolio turnover rate (excluding
short-term securities)................... 77.9% 120.1% 157.0% 123.6% 85.7% 106.5%
Average commission rate on common stock
transactions (b)......................... $.0558 $ .0692 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) Beginning in 1996, the Portfolio is required to disclose an average
brokerage commission rate. The rate is calculated by dividing the total
brokerage commissions paid on applicable purchases and sales of common
stocks for the period by the total number of related shares purchased and
sold.
(c) Adjusted to an annual basis.
(d) Total return is presented for the period from January 1, 1997 to June 30,
1997.
(e) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1, 1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
78
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
MORTGAGE SECURITIES PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, YEAR ENDED DECEMBER 31,
1997 TO --------------------------------------------------------
JUNE 30, 1997(e) 1996 1995 1994 1993 1992
----------------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period............ $1.187 $1.207 $1.098 $1.218 $1.185 $1.196
------ -------- -------- -------- -------- --------
Income from investment operations:
Net investment income....................... .039 .077 .081 .074 .054 .045
Net gains or losses on securities (both
realized and unrealized).................. .005 (.019) .107 (.115) .052 .024
------ -------- -------- -------- -------- --------
Total from investment operations........ .044 .058 .188 (.041) .106 .069
------ -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment income........ (.078) (.078) (.079) (.054) (.055) (.056)
Distributions from capital gains............ -- -- -- (.025) (.018) (.024)
------ -------- -------- -------- -------- --------
Total distributions..................... (.078) (.078) (.079) (.079) (.073) (.080)
------ -------- -------- -------- -------- --------
Net asset value, end of period.................. $1.153 $1.187 $1.207 $1.098 $1.218 $1.185
------ -------- -------- -------- -------- --------
------ -------- -------- -------- -------- --------
Total return (a)................................ 4.0%(d) 5.3% 18.0% (3.4)% 9.3% 6.4%
Net assets, end of period (in thousands)........ $ 79,402 $ 75,992 $ 69,746 $ 59,666 $ 63,902 $ 37,011
Ratio of expenses to average daily net assets
(b)........................................... .61%(c) .58% .58% .60% .63% .65%
Ratio of net investment income to average daily
net assets (b)................................ 6.97%(c) 6.94% 7.09% 6.55% 5.87% 6.64%
Portfolio turnover rate (excluding short-term
securities)................................... 65.3% 70.0% 133.7% 197.3% 138.4% 96.2%
</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) Minnesota Mutual voluntarily absorbed $10,341 in expenses for the year
ended December 31, 1992. Had the Portfolio paid all fees and expenses the
ratio of expenses to average daily net assets would have been .69% and the
ratio of net investment income to average daily net assets would have been
6.60%.
(c) Adjusted to an annual basis.
(d) Total return is presented for the period from January 1, 1997 to June 30,
1997.
(e) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1, 1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
79
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
INDEX 500 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, 1997
TO YEAR ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------------------
1997(f) 1996 1995 1994 1993 1992
--------------- ----------- ----------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period.... $2.409 $2.023 $1.518 $1.532 $1.428 $1.454
------- ----------- ----------- ---------- ---------- ----------
Income from investment operations:
Net investment income............... .014 .031 .031 .029 .026 .024
Net gains or losses on securities
(both realized and unrealized)..... .461 .400 .517 (.012) .110 .073
------- ----------- ----------- ---------- ---------- ----------
Total from investment
operations..................... .475 .431 .548 .017 .136 .097
------- ----------- ----------- ---------- ---------- ----------
Less distributions:
Dividends from net investment
income............................. (.032) (.030) (.031) (.026) (.025) (.032)
Distributions from capital gains.... (.040) (.015) (.012) (.005) (.007) (.091)
------- ----------- ----------- ---------- ---------- ----------
Total distributions............. (.071) (.045) (.043) (.031) (.032) (.123)
------- ----------- ----------- ---------- ---------- ----------
Net asset value, end of period.......... $2.813 $2.409 $2.023 $1.518 $1.532 $1.428
------- ----------- ----------- ---------- ---------- ----------
------- ----------- ----------- ---------- ---------- ----------
Total return (a)........................ 20.1%(d) 21.6% 36.8% 1.2% 9.8% 7.4%
Net assets, end of period (in
thousands)............................ $306,117 $ 204,395 $ 123,999 $ 73,432 $ 56,209 $ 35,620
Ratio of expenses to average daily net
assets (b)............................ .46%(e) .45% .47% .50% .55% .55%
Ratio of net investment income to
average daily net assets (b).......... 1.46%(e) 1.77% 2.08% 2.34% 2.27% 2.42%
Portfolio turnover rate (excluding
short-term securities)................ 10.2% 15.2% 4.8% 5.9% 4.8% 6.1%
Average commission rate on common stock
transactions (c)...................... $ .0320 $ .0429 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) Minnesota Mutual voluntarily absorbed $7,228 in expenses for the year ended
December 31, 1992. Had the Portfolio paid all fees and expenses, the ratio
of expenses to average daily net assets would have been .58%, and the ratio
of net investment income to average daily net assets would have been 2.39%.
(c) Beginning in 1996, the Portfolio is required to disclose an average
brokerage commission rate. The rate is calculated by dividing the total
brokerage commissions paid on applicable purchases and sales of common
stocks for the period by the total number of related shares purchased and
sold.
(d) Total return is presented for the period from January 1, 1997 to June 30,
1997.
(e) Adjusted to an annual basis.
(f) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1, 1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
80
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
CAPITAL APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, 1997 YEAR ENDED DECEMBER 31,
TO -------------------------------------------------------------
JUNE 30, 1997(g) 1996 1995 1994 1993 1992(A)
----------------- ---------- ---------- ---------- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period.... $2.471 $2.160 $1.808 $1.797 $1.682 $1.684
------- ---------- ---------- ---------- --------- ----------
Income from investment operations:
Net investment income (loss)........ -- (.002) (.003) -- .001 .004
Net gains or losses on securities
(both realized and unrealized)..... .261 .374 .406 .039 .167 .078
------- ---------- ---------- ---------- --------- ----------
Total from investment
operations..................... .261 .372 .403 .039 .168 .082
------- ---------- ---------- ---------- --------- ----------
Less distributions:
Dividends from net investment
income............................. -- -- -- (.002) (.005) (.009)
Distributions from capital gains.... (.241) (.061) (.051) (.026) (.048) (.075)
------- ---------- ---------- ---------- --------- ----------
Total distributions............. (.241) (.061) (.051) (.028) (.053) (.084)
------- ---------- ---------- ---------- --------- ----------
Net asset value, end of period.......... $2.491 $2.471 $2.160 $1.808 $1.797 $1.682
------- ---------- ---------- ---------- --------- ----------
------- ---------- ---------- ---------- --------- ----------
Total return (b)........................ 12.0%(f) 17.6% 22.8% 2.3% 10.4% 5.0%
Net assets, end of period (in
thousands)............................ $250,049 $ 214,468 $ 163,520 $ 115,607 $ 84,840 $ 52,365
Ratio of expenses to average daily net
assets (c)............................ .82%(e) .85% .80% .83% .86% .90%
Ratio of net investment income (loss) to
average daily net assets (c).......... (.02)%(e) (.09)% (.15)% (.09)% .12% .42%
Portfolio turnover rate (excluding
short-term securities)................ 34.3% 62.9% 51.1% 68.4% 95.9% 138.8%
Average commission rate on common stock
transactions (d)...................... $ .0570 $ .0625 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) Minnesota Mutual voluntarily absorbed $16,612 in expenses for the year
ended December 31, 1992. Had the Portfolio paid all fees and expenses, the
ratio of expenses to average daily net assets would have been .94% and the
ratio of net investment income to average daily net asset would have been
.38%.
(d) Beginning in 1996, the Portfolio is required to disclose an average
brokerage commission rate. The rate is calculated by dividing the total
brokerage commissions paid on applicable purchases and sales of common
stocks for the period by the total number of related shares purchased and
sold.
(e) Adjusted to an annual basis.
(f) Total return is presented for the period from January 1, 1997 to June 30,
1997.
(g) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1, 1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
81
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
INTERNATIONAL STOCK PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
PERIOD FROM MAY 1, 1992
JANUARY 1, 1997 YEAR ENDED DECEMBER 31, TO
TO JUNE 30, ----------------------------------------------------------- DECEMBER 31,
1997(h) 1996 1995 1994 1993 1992(a)
---------------- ------------- ------------- ------------- ------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period...................... $1.597 $1.410 $1.235 $1.310 $.919 $1.000
------- ------------- ------------- ------------- ------ ------
Income from investment
operations:
Net investment income..... .015 .030 .033 .011 .016 .010
Net gains or losses on
securities (both realized
and unrealized).......... .190 .238 .142 (.015) .389 (.077)
------- ------------- ------------- ------------- ------ ------
Total from investment
operations........... .205 .268 .175 (.004) .405 (.067)
------- ------------- ------------- ------------- ------ ------
Less distributions:
Dividends from net
investment income........ (.047) (.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....... (.023) -- -- -- -- (.002)
------- ------------- ------------- ------------- ------ ------
Total distributions... (.070) (.081) -- (.071) (.014) (.014)
------- ------------- ------------- ------------- ------ ------
Net asset value, end of
period...................... $1.732 $1.597 $1.410 $1.235 $1.310 $.919
------- ------------- ------------- ------------- ------ ------
------- ------------- ------------- ------------- ------ ------
Total return (b).............. 13.7%(g) 19.8% 14.2% (.3)% 44.2% (6.8)%(d)
Net assets, end of period (in
thousands).................. $270,916 $ 213,608 $ 140,770 $ 107,490 $ 61,106 $ 17,401
Ratio of expenses to average
daily net assets (c)........ 1.00%(e) 1.06% 1.04% 1.24% 1.55% 2.00%(e)
Ratio of net investment income
to average daily net assets
(c)......................... 2.78%(e) 2.53% 2.69% 1.68% 1.04% 2.10%(e)
Portfolio turnover rate
(excluding short-term
securities)................. 57.1% 11.5% 20.3% 12.9% 12.7% 11.7%
Average commission rate on
common stock transactions
(f)......................... $ .0068 $ .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) 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 presented for the period from May 1, 1992, commencement of
operations, to December 31, 1992.
(e) Adjusted to an annual basis.
(f) Beginning in 1996, the Portfolio is required to disclose an average
brokerage commission rate. The rate is calculated by dividing the total
brokerage commissions paid on applicable purchases and sales of stocks for
the period by the total number of related shares purchased and sold. The
comparability of this information may be effected by the fact that
commission rates per share vary significantly among foreign countries.
(g) Total return is presented for the period from January 1, 1997 to June 30,
1997.
(h) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1, 1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
82
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
SMALL COMPANY PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
PERIOD FROM MAY 3, 1993
JANUARY 1, 1997 YEAR ENDED DECEMBER 31, TO
TO JUNE 30, ----------------------------------- DECEMBER 31,
1997(h) 1996 1995 1994 1993(a)
----------------- --------- -------- -------- ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period.... $ 1.535 $1.602 $1.226 $1.157 $1.000
------- --------- -------- -------- ------
Income from investment operations:
Net investment income............... .001 .004 .002 .002 --
Net gains or losses on securities
(both realized and unrealized)..... .074 .097 .392 .069 .173
------- --------- -------- -------- ------
Total from investment
operations..................... .075 .101 .394 .071 .173
------- --------- -------- -------- ------
Less distributions:
Dividends from net investment
income............................. -- (.004) (.002) (.002) --
Distributions from net realized
gains.............................. -- (.164) (.016) -- (.015)
Excess distributions of net realized
gains.............................. -- -- -- -- (.001)
------- --------- -------- -------- ------
Total distributions............. -- (.168) (.018) (.002) (.016)
------- --------- -------- -------- ------
Net asset value, end of period.......... $1.610 $1.535 $1.602 $1.226 $1.157
------- --------- -------- -------- ------
------- --------- -------- -------- ------
Total return (b)........................ 4.9%(g) 6.5% 32.1% 6.2% 17.4%(c)
Net assets, end of period (in
thousands)............................ $ 168,682 $ 144,544 $ 98,895 $ 51,105 $13,043
Ratio of expenses to average daily net
assets (d)............................ .83%(e) .81% .84% .90% .90%(e)
Ratio of net investment income (loss) to
average daily net assets (d).......... .18%(e) .24% .15% .24% (.02)%(e)
Portfolio turnover rate (excluding
short-term securities)................ 28.8% 74.4% 61.3% 28.1% 34.9%
Average commission rate on common stock
transactions (f)...................... $ .0501 $ .1045 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 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.
(f) Beginning in 1996, the Portfolio is required to disclose an average
brokerage commission rate. The rate is calculated by dividing the total
brokerage commissions paid on applicable purchases and sales of common
stocks for the period by the total number of related shares purchased and
sold.
(g) Total return is presented for the period from January 1, 1997 to June 30,
1997.
(h) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1, 1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
83
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
MATURING GOVERNMENT BOND 1998 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, YEAR ENDED DECEMBER 31, MAY 2, 1994
1997 TO TO
JUNE 30, ----------------------- DECEMBER 31,
1997(g) 1996 1995 1994(a)
---------------- --------- --------- --------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $1.080 $ 1.038 $ .945 $ .989
----- --------- --------- -----
Income from investment operations:
Net investment income..................................... .031 .058 .059 .043
Net gains or losses on securities (both realized and
unrealized).............................................. (.002) (.015) .092 (.043)
----- --------- --------- -----
Total from investment operations........................ .029 .043 .151 --
----- --------- --------- -----
Less distributions:
Dividends from net investment income...................... (.058) (.001) (.058) (.044)
Distributions from net realized gains..................... (.003) -- -- --
----- --------- --------- -----
Total distributions..................................... (.061) (.001) (.058) (.044)
----- --------- --------- -----
Net asset value, end of period.............................. $1.048 $1.080 $1.038 $.945
----- --------- --------- -----
----- --------- --------- -----
Total return (b)............................................ 2.7%(f) 4.1% 16.0% .1%(c)
Net assets, end of period (in thousands).................... $6,481 $ 6,099 $ 5,057 $3,402
Ratio of expenses to average daily net assets (d)........... .20%(e) .20% .20% .20%(e)
Ratio of net investment income to average daily net assets
(d)....................................................... 6.11%(e) 6.19% 6.22% 6.45%(e)
Portfolio turnover rate (excluding short-term securities)... 15.3% 18.1% 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 May 2, 1994, commencement of
operations, to December 31, 1994.
(d) Minnesota Mutual voluntarily absorbed $15,656, $27,510, $22,794 and $21,714
in expenses for the period from January 1, 1997 to June 30, 1997, the years
ending December 31, 1996 and 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 .71%, .72%, .72%, and
1.12%, respectively and the ratio of net investment income to average daily
net assets would have been 5.59%, 5.67%, 5.70% and 5.53%, respectively.
(e) Adjusted to an annual basis.
(f) Total return is presented for the period from January 1, 1997 to June 30,
1997.
(g) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1, 1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
84
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
MATURING GOVERNMENT BOND 2002 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
PERIOD FROM YEAR ENDED DECEMBER 31, MAY 2, 1994
JANUARY 1, 1997 TO
TO ----------------------- DECEMBER 31,
JUNE 30, 1997(g) 1996 1995 1994(a)
---------------- --------- --------- --------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $1.049 $ 1.091 $ .932 $ .977
----- --------- --------- -----
Income from investment operations:
Net investment income..................................... .033 .061 .072 .047
Net gains or losses on securities (both realized and
unrealized).............................................. (.012) (.042) .161 (.044)
----- --------- --------- -----
Total from investment operations........................ .021 .019 .233 .003
----- --------- --------- -----
Less distributions:
Dividends from net investment income...................... -- (.061) (.072) (.048)
Tax return of capital..................................... -- -- (.002) --
Distributions from net realized gains..................... (.008) -- -- --
----- --------- --------- -----
Total distributions..................................... (.008) (.061) (.074) (.048)
----- --------- --------- -----
Net asset value, end of period.............................. $1.062 $1.049 $1.091 $.932
----- --------- --------- -----
----- --------- --------- -----
Total return (b)............................................ 2.1%(f) 1.7% 25.0% .3%(c)
Net assets, end of period (in thousands).................... $3,759 $ 3,900 $ 3,049 $2,575
Ratio of expenses to average daily net assets (d)........... .20%(e) .20% .20% .20%(e)
Ratio of net investment income to average daily net assets
(d)....................................................... 6.33%(e) 6.52% 6.52% 7.18%(e)
Portfolio turnover rate (excluding short-term securities)... 19.5% 21.9% -- 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 May 2, 1994, commencement of
operations, to December 31, 1994.
(d) Minnesota Mutual voluntarily absorbed $16,862, $31,158, $24,709 and $23,298
in expenses for the period from January 1, 1997 to June 30, 1997, the years
ending December 31, 1996 and 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%, 1.14%, 1.06%
and 1.52%, respectively, and the ratio of net investment income to average
daily net assets would have been 5.44%, 5.58%, 5.66% and 5.86%,
respectively.
(e) Adjusted to an annual basis.
(f) Total return is presented for the period from January 1, 1997 to June 30,
1997.
(g) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1, 1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
85
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
MATURING GOVERNMENT BOND 2006 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
PERIOD FROM YEAR ENDED DECEMBER MAY 2, 1994
JANUARY 1, 1997 31, TO
TO ------------------- DECEMBER 31,
JUNE 30, 1997(g) 1996 1995 1994(a)
----------------- -------- -------- ---------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $1.094 $ 1.174 $ .923 $ .970
----- -------- -------- -----
Income from investment operations:
Net investment income................................... .034 .064 .069 .047
Net gains or losses on securities (both realized and
unrealized)............................................ (.012) (.078) .251 (.046)
----- -------- -------- -----
Total from investment operations.................... .022 (.014) .320 .001
----- -------- -------- -----
Less distributions:
Dividends from net investment income.................... (.001) (.064) (.069) (.048)
Distributions from net realized gains................... (.015) (.002) -- --
----- -------- -------- -----
Total distributions................................. (.016) (.066) (.069) (.048)
----- -------- -------- -----
Net asset value, end of period.............................. $1.100 $1.094 $1.174 $.923
----- -------- -------- -----
----- -------- -------- -----
Total return (b)............................................ 2.0%(f) (1.2)% 34.7% .1%(c)
Net assets, end of period (in thousands).................... $3,284 $ 3,095 $ 2,570 $1,860
Ratio of expenses to average daily net assets (d)........... .40%(e) .40% .40% .40%(e)
Ratio of net investment income to average daily net assets
(d)....................................................... 6.37%(e) 6.43% 6.56% 7.45%(e)
Portfolio turnover rate (excluding short-term securities)... 21.6% 25.7% 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 May 2, 1994, commencement of
operations, to December 31, 1994.
(d) Minnesota Mutual voluntarily absorbed $17,032, $31,536, $25,199 and $24,803
in expenses for the period from January 1, 1997 to June 30, 1997, the years
ending December 31, 1996 and 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 1.21%, 1.58%, 1.56%
and 2.37%, respectively, and the ratio of net investment income to average
daily net assets would have been 5.29%, 5.25%, 5.40% and 5.48%,
respectively.
(e) Adjusted to an annual basis.
(f) Total return is presented for the period from January 1, 1997 to June 30,
1997.
(g) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1, 1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
86
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
MATURING GOVERNMENT BOND 2010 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1, PERIOD FROM
1997 YEAR ENDED MAY 2, 1994
TO DECEMBER 31, TO
JUNE 30, --------------------- DECEMBER 31,
1997(g) 1996 1995 1994(a)
-------------- -------- -------- --------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period.... $1.172 $ 1.214 $ .910 $ .962
----- -------- -------- -----
Income from investment operations:
Net investment income............... .038 .049 .070 .049
Net gains or losses on securities
(both realized and unrealized)..... (.020) (.090) .304 (.052)
----- -------- -------- -----
Total from investment
operations..................... .020 (.041) .374 (.003)
----- -------- -------- -----
Less distributions:
Dividends from net investment
income............................. (.054) (.001) (.070) (.049)
Distributions from net realized
gains.............................. (.011) -- -- --
----- -------- -------- -----
Total distributions............. (.065) (.001) (.070) (.049)
----- -------- -------- -----
Net asset value, end of period.......... $1.125 $1.172 $1.214 $.910
----- -------- -------- -----
----- -------- -------- -----
Total return (b)........................ 1.9%(f) (3.4)% 41.2% (.3)%(c)
Net assets, end of period (in
thousands)............................ $2,611 $ 2,813 $ 1,384 $1,071
Ratio of expenses to average daily net
assets (d)............................ .40%(e) .40% .40% .40%(e)
Ratio of net investment income to
average daily net assets (d).......... 6.48%(e) 6.40% 6.58% 7.79%(e)
Portfolio turnover rate (excluding
short-term securities)................ 50.6% 71.0% -- 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 May 2, 1994, commencement of
operations, to December 31, 1994.
(d) Minnesota Mutual voluntarily absorbed $18,085, $33,042, $26,308 and $25,888
in expenses for the period from January 1, 1997 to June 30, 1997, the years
ending December 31, 1996 and 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 1.86%, 2.18%, 2.68%
and 4.01%, respectively, and the ratio of net investment income to average
daily net assets would have been 5.02%, 4.62%, 4.30% and 4.18%,
respectively.
(e) Adjusted to an annual basis.
(f) Total return is presented for the period from January 1, 1997 to June 30,
1997.
(g) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1, 1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
87
<PAGE>
NOTES TO FINANCIAL STATEMENTS--CONTINUED
(7) FINANCIAL HIGHLIGHTS--(CONTINUED)
VALUE STOCK PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
PERIOD FROM YEAR ENDED MAY 2, 1994
JANUARY 1, 1997 DECEMBER 31, TO
TO -------------------- DECEMBER 31,
JUNE 30, 1997(h) 1996 1995 1994(a)
--------------------- --------- --------- ------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period........................ $ 1.591 $ 1.312 $ 1.044 $1.010
------- --------- --------- ------
Income from investment operations:
Net investment income................................... .010 .013 .010 .008
Net gains or losses on securities (both realized and
unrealized)............................................ .247 .389 .331 .038
------- --------- --------- ------
Total from investment operations.................... .257 .402 .341 .046
------- --------- --------- ------
Less distributions:
Dividends from net investment income.................... -- (.013) (.010) (.009)
Distributions from net realized gains................... (.026) (.110) (.063) (.003)
------- --------- --------- ------
Total distributions................................. (.026) (.123) (.073) (.012)
------- --------- --------- ------
Net asset value, end of period.............................. $1.820 $1.591 $1.312 $1.044
------- --------- --------- ------
------- --------- --------- ------
Total return (b)............................................ 16.2% 31.0% 33.0% 4.6%(c)
Net assets, end of period (in thousands).................... $ 154,573 $97,187 $31,825 $8,771
Ratio of expenses to average daily net assets (d)........... .82%(e) .83% .89% .90%(e)
Ratio of net investment income to average daily net assets
(d)....................................................... 1.22%(e) 1.28% 1.25% 2.07%(e)
Portfolio turnover rate (excluding short-term securities)... 55.8% 88.6% 164.2% 49.5%
Average commission rate on common stock transactions (f).... $ .0554 $ .0672 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 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.
(f) Beginning in 1996, the Portfolio is required to disclose an average
brokerage commission rate. The rate is calculated by dividing the total
brokerage commissions paid on applicable purchases and sales of common
stocks for the period by the total number of related shares purchased and
sold.
(g) Total return is presented for the period from January 1, 1997 to June 30,
1997.
(h) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1, 1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
88
<PAGE>
SHAREHOLDER VOTING RESULTS
On April 24, 1997, a regular shareholder meeting was held. Shareholders of
record on March 3, 1997 were entitled to vote on the proposals described below.
(1) To elect a Board of Directors as follows:
<TABLE>
<CAPTION>
VOTES VOTES
DIRECTOR FOR WITHHELD
- -------------------------------------------------- ------------- ----------
<S> <C> <C>
Paul H. Gooding............................... 1,011,438,557 34,516,517
Frederick P. Feuerherm........................ 1,011,438,557 34,516,517
Ralph D. Ebbott............................... 1,009,346,647 34,608,428
Ellen S. Berscheid............................ 1,009,346,647 34,608,428
Charles E. Arner.............................. 1,007,254,736 38,700,338
</TABLE>
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
------------- ------------- -------------
<S> <C> <C> <C>
(2) To ratify or reject the selection of KPMG Peat Marwick LLP by the
Board of Directors as the independent certified public accountant for
the Fund for the year ending December 31, 1997........................ 989,473,500 11,505,506 44,976,068
------------- ------------- -------------
------------- ------------- -------------
(3) To approve or reject the amendment to Article I of the Articles of
Incorporation, changing the name of the Fund from MIMLIC Series Fund,
Inc. to Advantus Series Fund, Inc..................................... 296,719,962 14,030,590 19,273,439
------------- ------------- -------------
------------- ------------- -------------
(4) To approve or disapprove the amendment to Article IV of the Articles
of Incorporation increasing the total number of shares authorized for
issue in the Fund and establishing share allocation among the existing
Portfolios............................................................ 290,222,102 14,403,155 25,725,391
------------- ------------- -------------
------------- ------------- -------------
(5) To approve or disapprove the Investment Advisory Agreement by and
between Advantus Series Fund, Inc. and Advantus Capital Management,
Inc., as approved by the Directors of the Fund on January 14, 1997.
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
------------- ------------- -------------
<S> <C> <C> <C>
Growth................................................................ 96,185,726 5,056,744 6,347,828
Bond.................................................................. 91,317,964 2,508,735 6,522,712
Money Market.......................................................... 46,762,465 711,603 3,354,699
Asset Allocation...................................................... 203,008,514 6,036,597 14,532,548
Mortgage Securities................................................... 56,783,428 1,526,094 5,277,743
Index 500............................................................. 81,484,147 2,057,229 5,903,352
Capital Appreciation.................................................. 80,550,917 2,395,237 5,766,310
International Stock................................................... 126,139,021 3,619,884 9,467,388
Small Company......................................................... 89,666,259 3,031,248 5,084,673
Maturing Government Bond 1998......................................... 5,557,210 51,775 143,820
Maturing Government Bond 2002......................................... 3,476,033 41,203 228,489
Maturing Government Bond 2006......................................... 2,772,884 55,167 75,492
Maturing Government Bond 2010......................................... 1,975,594 79,024 140,487
Value Stock........................................................... 65,481,234 1,615,953 3,161,648
</TABLE>
89
<PAGE>
SHAREHOLDER VOTING RESULTS - CONTINUED
<TABLE>
<CAPTION>
(6) To approve or disapprove the proposed Manager of
Managers Structure of the Fund and its Portfolios, as
approved by the Directors of the Fund on January 14,
1997.
<S> <C> <C> <C>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
------------- ------------- -------------
Growth................................................. 92,742,836 6,778,189 8,069,272
Bond................................................... 89,612,024 2,910,133 7,827,254
Money Market........................................... 44,881,800 1,270,719 4,676,246
Asset Allocation....................................... 199,431,272 7,825,218 16,321,169
Mortgage Securities.................................... 56,083,968 1,716,856 5,786,441
Index 500.............................................. 78,532,471 4,025,013 6,887,244
Capital Appreciation................................... 77,978,255 3,548,499 7,185,710
International Stock.................................... 122,379,911 5,290,599 11,555,782
Small Company.......................................... 87,808,398 3,324,594 6,649,188
Maturing Government Bond 1998.......................... 5,568,716 51,775 132,315
Maturing Government Bond 2002.......................... 3,491,016 41,203 213,506
Maturing Government Bond 2006.......................... 2,717,716 72,589 113,238
Maturing Government Bond 2010.......................... 1,953,643 92,194 149,267
Value Stock............................................ 64,146,316 2,037,506 4,075,012
(7) To approve or disapprove the Investment Sub-Advisory
Agreement by and between Advantus Capital Management,
Inc. and Winslow Capital Management, Inc............... 947,635,297 28,240,787 70,078,990
------------- ------------- -------------
------------- ------------- -------------
(8) To approve or disapprove the Investment Sub-Advisory
Agreement by and between Advantus Capital Management,
Inc. and Templeton Investment Counsel, Inc............. 960,186,758 26,148,877 59,619,439
------------- ------------- -------------
------------- ------------- -------------
</TABLE>
90
<PAGE>
This offering is available through a registered representative of
MIMLIC Sales Corporation, a registered broker/dealer. MIMLIC Sales
is a subsidiary of Minnesota Mutual.
THIS REPORT MAY BE USED AS SALES LITERATURE IN CONNECTION WITH THE OFFER OR
SALE OF VARIABLE ANNUITY OR LIFE INSURANCE CONTRACTS FUNDED BY ADVANTUS
SERIES FUND, INC. ("FUND") IF PRECEDED OR ACCOMPANIED BY (A) THE CURRENT
PROSPECTUS FOR THE FUND AND SUCH CONTRACTS AND (B) THE CURRENT VARIABLE
ANNUITY PERFORMANCE REPORT, ADJUSTABLE INCOME ANNUITY PERFORMANCE
REPORT, GROUP VARIABLE ANNUITY PERFORMANCE REPORT, VARIABLE FUND D
PERFORMANCE REPORT, VARIABLE GROUP UNIVERSAL LIFE PORTFOLIO
PERFORMANCE AND HISTORICAL POLICY VALUES REPORT AND VARIABLE
ADJUSTABLE LIFE PORTFOLIO PERFORMANCE AND HISTORICAL
POLICY VALUES REPORT, RESPECTIVELY.
[LOGO]
MIMLIC SALES CORPORATION
400 ROBERT STREET NORTH
ST. PAUL, MN 55101-2098
1-800-443-3677
<PAGE>
<TABLE>
<S> <C>
THE MINNESOTA MUTUAL LIFE INSURANCE COMPANY
400 ROBERT STREET NORTH BULK RATE
ST. PAUL, MN 55101-2098 U.S. POSTAGE PAID
ST. PAUL, MN
PERMIT NO. 3547
FORWARDING AND RETURN POSTAGE GUARANTEED,
ADDRESS CORRECTION REQUESTED
</TABLE>
F. 34490 Rev. 8/1997
