<PAGE>
[LOGO]
ADVANTUS SERIES FUND, INC.
SEMI-ANNUAL REPORT JUNE 30, 1999
GROWTH PORTFOLIO
BOND PORTFOLIO
MONEY MARKET PORTFOLIO
ASSET ALLOCATION PORTFOLIO
MORTGAGE SECURITIES PORTFOLIO
INDEX 500 PORTFOLIO
CAPITAL APPRECIATION PORTFOLIO
INTERNATIONAL STOCK PORTFOLIO
SMALL COMPANY GROWTH PORTFOLIO
MATURING GOVERNMENT BOND 2002 PORTFOLIO
MATURING GOVERNMENT BOND 2006 PORTFOLIO
MATURING GOVERNMENT BOND 2010 PORTFOLIO
VALUE STOCK PORTFOLIO
SMALL COMPANY VALUE PORTFOLIO
GLOBAL BOND PORTFOLIO
INDEX 400 MID-CAP PORTFOLIO
MACRO-CAP VALUE PORTFOLIO
MICRO-CAP GROWTH PORTFOLIO
REAL ESTATE SECURITIES PORTFOLIO
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page No.
<S> <C>
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 Growth Portfolio ................................................ 20
Maturing Government Bond 2002 Portfolio ....................................... 22
Maturing Government Bond 2006 Portfolio ....................................... 22
Maturing Government Bond 2010 Portfolio ....................................... 22
Value Stock Portfolio ......................................................... 26
Small Company Value Portfolio ................................................. 28
Global Bond Portfolio ......................................................... 30
Index 400 Mid-Cap Portfolio ................................................... 32
Macro-Cap Value Portfolio ..................................................... 34
Micro-Cap Growth Portfolio .................................................... 36
Real Estate Securities Portfolio .............................................. 38
INVESTMENTS IN SECURITIES
Growth Portfolio .............................................................. 40
Bond Portfolio ................................................................ 42
Money Market Portfolio ........................................................ 46
Asset Allocation Portfolio .................................................... 49
Mortgage Securities Portfolio ................................................. 56
Index 500 Portfolio ........................................................... 60
Capital Appreciation Portfolio ................................................ 72
International Stock Portfolio ................................................. 74
Small Company Growth Portfolio ................................................ 78
Maturing Government Bond 2002 Portfolio ....................................... 81
Maturing Government Bond 2006 Portfolio ....................................... 82
Maturing Government Bond 2010 Portfolio ....................................... 83
Value Stock Portfolio ......................................................... 84
Small Company Value Portfolio ................................................. 87
Global Bond Portfolio ......................................................... 90
Index 400 Mid-Cap Portfolio ................................................... 94
Macro-Cap Value Portfolio ..................................................... 102
Micro-Cap Growth Portfolio .................................................... 105
Real Estate Securities Portfolio .............................................. 108
FINANCIAL STATEMENTS
Statements of Assets and Liabilities .......................................... 110
Statements of Operations ...................................................... 114
Statements of Changes in Net Assets ........................................... 118
Notes to Financial Statements ................................................. 126
</TABLE>
<PAGE>
HOW TO USE THIS REPORT
Some of our clients prefer a narrative account of their Advantus Series Fund
investments while other clients prefer full financial statements. This report is
designed to meet both preferences.
For a narrative account of each Portfolio's performance, investment strategies
and holdings by the Portfolio Manager, refer to the front section of the report.
Comprehensive investment holdings, market values and financial reports begin on
page 40.
Performance charts graphically compare each Portfolio's performance with select
investment indices and other benchmarks. This comparison provides you 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 invest in the index itself, nor can they
invest in any fund which seeks to track the performance of the index 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 Ascend 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, 1999 TO JUNE 30, 1999
PERCENTAGE OF RETURN
<S> <C>
Growth 6.8%
Bond -2.7%
Money Market 2.2%
Asset Allocation 3.8%
Mortgage Securities 1.1%
Index 500 12.0%
Capital Appreciation -.1%
International Stock 10.4%
Small Company Growth 4.8%
MGB 2002 -1.4%
MGB 2006 -6.3%
MGB 2010 -8.4%
Value Stock 6.7%
Small Company Value 1.9%
Global Bond -8.5%
Index 400 Mid-Cap 8.0%
Macro-Cap Value 10.4%
Micro-Cap Growth 27.1%
Real Estate Securities 6.4%
</TABLE>
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. Please refer to the
individual Portfolio reviews for information regarding the standardized
performance for 1, 5 and 10 years.
2
<PAGE>
LETTER FROM THE PRESIDENT [PHOTO]
Dear Shareholders:
The United States still leads the world's growth, albeit growth has slowed from
past quarters. The broad base of the U.S. economy is a contributing factor to
our country's sustained health in world markets. The Federal Reserve (Fed)
remains vigilant in its quest to maintain a healthy U.S. economy. On June 30,
the Fed announced that it would raise the federal funds rate, the rate at which
banks lend one another money overnight, by a quarter point (25 basis points) to
5 percent. This slight tightening was intended to turn down the thermostat on
the U.S. economy, and was done in the face of upward revisions in the inflation
forecast.
The slight increase in the federal funds rate on June 30 should have little
effect on the markets. With this action, the Fed adopted a neutral bias, which
simply means the Fed will wait and watch how the economy develops. This neutral
bias could, however, change at any time--and likely will.
The U.S. stock market continues to soar. Early in the second quarter, the
leadership in the marketplace changed dramatically. There has been a move away
from the "nifty twenty" stocks (the largest, most highly capitalized blue chip
companies) and the internet stocks. These mega-stocks and internet stocks broke
their steep up-trends when the weight of relatively high valuations and some
earnings disappointments caused investors to rethink their investment
strategies. The news that the market is finally broadening is very welcome.
Basic industry, cyclical and value stocks of all kinds jumped to life in a
frenzy of rotation in the marketplace.
During this six-month period, bond performance was lackluster due to the rise in
the level of interest rates. Higher interest rates and lower bond prices have
been the bond market theme for the past eight months. In June, yields on the
ten-year bond rose above six percent, as fixed income investors continued to
worry about strong economic growth in the U.S., higher oil prices, the Federal
Reserve's bias to raise interest rates, and seeds of a global economic recovery.
At the end of the reporting period, yields were roughly one percent higher
across the yield curve from the beginning of the year. This sharp increase in
interest rates in a short period of time caused most major bond indices to show
negative total returns for the first half of 1999.
The broad array of Portfolios within the Advantus Series Fund offers investors
many choices. With the guidance of their financial professional, investors
should review their portfolio to ensure that it is sufficiently diversified with
a variety of fixed income and equity products, including some international
exposure.
Thank you for investing with Advantus.
Sincerely,
/s/ William N. Westhoff
William N. Westhoff, President
Advantus Series Fund, Inc.
3
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
THOMAS GUNDERSON, CFA
PORTFOLIO MANAGER
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.
GROWTH PORTFOLIO
PERFORMANCE
The Growth Portfolio generated a total return of 6.83 percent* for the six-month
period ended June 30, 1999. In comparison, the Russell 1000 Growth Index**
returned 10.45 percent for the same period.
PERFORMANCE ANALYSIS
Surprising strength in the economy combined with a prolonged under performance
of certain sectors of the stock market caused a change in the market leadership
during the first half of 1999. The first quarter was led by the Technology
sector with value sectors lagging. During the second quarter the strongest
sectors of the stock market were Basic Materials, Utilities, Capital Goods and
Energy--all traditional "value" sectors.
Traditional growth sectors such as Health Care and Consumer Staples lagged the
market for the second quarter and the first half of the year, while the best
performing sectors for the year have been Technology and Capital Goods. Market
leadership showed another change during the first half of 1999 with strong
performance shifting from very large growth companies during the first quarter
to small and mid sized companies far out performing the very large companies
during the second quarter.
The best performing sectors of the Portfolio for the first six months of 1999
were Technology and Consumer Cyclicals. Technology stocks fueled by high
earnings and revenue growth that were strong performers included: Cisco Systems
(computer networking and communications), Lexmark (computer printers), MCI
Worldcom (telecommunications services) and Microsoft (computer software).
Consumer cyclical stocks helping performance included Omnicom Group
(advertising), Wal-Mart (retailing), Tandy (retailing) and Family Dollar Stores
(retailing). Laggards for the period included Cadence Design Systems (software),
Service Corp International (death services) and Compaq (computers).
Several new companies were added to the Portfolio during the period. As you
know, we look for companies that can post strong earnings growth through an
economic cycle, typically 15 percent or higher. New stocks added include Nokia
(wireless handsets and infrastructure), Sun Microsystems (computer hardware and
software), Unisys--where a new senior management team is growing the services
component, Boston Scientific--a leading player in medical devices including the
fast growing stent business and Royal Caribbean--a leading company in the cruise
industry. Following our strategy of selling companies whose operating
fundamentals are not meeting our expectations, we sold our entire positions in
Coca-Cola, Philip Morris, Compaq, and Cadence Design.
OUTLOOK
Following several quarters where the Large Capitalization Growth stocks were
leading the market, it is not surprising to see a leadership change. In fact it
is quite healthy for the market going forward. Importantly, I do not see this as
the beginning of the end for Large Cap Growth stocks. Rather, it is the
correction that forms the base for future attractive returns as the hype and
speculation in these stocks has been reduced. Currently there are several fast
growing companies that have fallen to more attractive valuation levels. We plan
to take advantage of the correction in some of these stocks and add them to the
Portfolio.
Throughout this market turbulence the Portfolio continued to implement its
strategy of maintaining a well-diversified portfolio of established companies
whose earnings growth should likely exceed the average company over the long
term.
4
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- -------------------------------------------------- ------- -------------- ----------
<S> <C> <C> <C>
General Electric Company.......................... 286,200 $ 32,340,600 6.5%
Microsoft Corporation............................. 324,100 29,229,769 5.9%
Cisco Systems, Inc................................ 319,400 20,601,300 4.1%
Intel............................................. 291,000 17,314,500 3.5%
Tyco International, Ltd........................... 167,542 15,874,604 3.2%
Lucent Technologies, Inc.......................... 230,800 15,564,575 3.1%
Merck & Co., Inc.................................. 191,900 14,200,600 2.8%
Bristol-Myers Squibb Company...................... 200,200 14,101,587 2.8%
Omnicom Group..................................... 165,900 13,272,000 2.7%
Family Dollar Stores.............................. 538,500 12,924,000 2.6%
-------------- ----------
$ 185,423,535 37.2%
-------------- ----------
-------------- ----------
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other
Assets/Liabilities 1.3%
Utilities 1.0%
Communication Services 2.5%
Financial 7.7%
Consumer Staples 10.9%
Capital Goods 11.7%
Consumer Cyclical 15.7%
Health Care 18.9%
Technology 30.3%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN GROWTH PORTFOLIO,
RUSSELL 1000 GROWTH INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C>
One year 20.49%
Five year 24.32%
Ten year 16.51%
Growth Russell 1000
(Thousands) Portfolio CPI Growth Index
6/30/89 10,000 10,000 10,000
12/31/89 11,100 10,177 11,545
12/31/90 11,122 10,806 11,516
12/31/91 14,911 11,128 16,255
12/31/92 15,630 11,459 17,069
12/31/93 16,362 11,773 17,560
12/31/94 16,494 12,103 19,034
12/31/95 20,498 12,409 26,114
12/31/96 24,014 12,820 32,151
12/31/97 32,038 13,046 41,950
12/31/98 43,155 13,255 58,190
6/30/99 46,102 13,392 64,271
</TABLE>
On the chart above you can see how the Growth 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,
1989 through June 30, 1999.
*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 those stocks from the Russell 1000 with
a greater than average growth orientation. The Russell 1000 is 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.
5
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
WAYNE SCHMIDT, CFA
PORTFOLIO MANAGER
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.
BOND PORTFOLIO
PERFORMANCE
Higher interest rates and lower bond prices has been the bond market theme for
the past eight months. Yield on the ten-year U.S. Treasury Note reached a low of
4.15 percent in October 1998 during the height of the global economic crisis. By
June 1999 ten-year yields broke six percent as fixed income investors continued
to worry about strong economic growth in the U.S., higher oil prices, the
Federal Reserve's bias to raise interest rates and seeds of a global economic
recovery.
For the six-months ended June 30, 1999, yields were roughly one percent higher
across the yield curve. This sharp increase in interest rates in a short period
of time caused most major bond indices to show negative total returns for the
first half of 1999. The Lehman Brothers Government/Corporate Bond Index**
returned -2.27 percent for the six-month period ended June 30, 1999, while the
Bond Portfolio returned -2.72* for the same period.
PERFORMANCE ANALYSIS
Owning too much duration (longer maturity bonds) was the main reason for the
Portfolio's under performance. We do not make large bets on interest rate
movements, but being five to eight percent longer than the index negatively
impacted the relative performance. The overweight in spread sectors, (corporate
bonds and mortgage-backed securities) had a positive impact on overall
performance as both outperformed U.S. Treasury securities for the first six
months of the year.
At the end of the period, 64 percent of the Portfolio was invested in corporate
bonds, 27 percent in U.S. Government securities, 8 percent in mortgage-backed
securities and 1 percent in cash. Fundamentally, all of the corporate credits
held in the Portfolio are sound. The holdings are diversified among various
industries and individual quality credits. As a group, corporate bonds have come
under some price pressure in recent months as the supply of corporate bond
issuance has exceeded investor demand. The yield advantage (or spread) for
owning corporate bonds is wide based on historical standards making them
attractive given the strong business environment in the U.S. and the improving
global situation.
OUTLOOK
The Portfolio is well positioned for the second half of 1999. We believe most of
the damage to the yield curve has taken place in the past eight months and we
will stay the course with duration slightly longer than the index. Long-term
interest rates will likely remain range bound between 5.75 percent and 6.25
percent until we see a change in the economic landscape. The U.S. economy would
need to slow down before interest rates can move lower. Continued economic
strength will likely keep the Federal Reserve on alert and fixed income
investors jittery. With credit spreads wide, we will continue to overweight
quality corporate bonds and mortgages and gladly accept the incremental income
associated with owning these securities.
6
<PAGE>
TEN LARGEST BOND HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF BOND
COMPANY VALUE PORTFOLIO
- ------------------------------------------------------------ ------------ -----------
<S> <C> <C>
U.S. Treasury Bond--6.625%, 03/31/02........................ $ 9,020,000 5.6%
U.S. Treasury Note--5.250%, 08/15/03........................ 8,253,000 5.1%
U.S. Treasury Bond--5.625%, 02/15/06........................ 7,385,160 4.6%
U.S. Treasury Bond--6.000%, 07/31/02........................ 6,060,000 3.7%
PNC Bank Corporation--6.728%, 01/25/07...................... 5,524,255 3.4%
U.S. Treasury Bond--5.875%, 11/15/05........................ 5,496,563 3.4%
Enron Corporation--6.725%, 11/15/37......................... 5,103,593 3.2%
General Electric Capital Corporation--6.290%, 12/15/07...... 4,998,645 3.1%
Morgan Stanley Dean Witter--6.875%, 03/01/07................ 4,955,290 3.1%
Meritor Automotive, Inc.--6.800%, 02/15/09.................. 4,731,245 2.9%
------------ ---
$ 61,527,751 38.1%
------------ ---
------------ ---
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury 25.3%
U.S. Government Agencies 7.8%
AAA Rated 8.8%
AA Rated 3.7%
A Rated 20.0%
BBB Rated 22.4%
BB Rated 4.0%
Preferred Stock 5.1%
Cash and Other
Assets/Liabilities 2.9%
</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>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C>
One year -.04%
Five year 6.97%
Ten year 7.37%
Lehman Brothers
Government/Corporate
(Thousands) Bond Portfolio Bond Index CPI
6/30/89 10,000 10,000 10,000
12/31/89 10,336 10,458 10,455
12/31/90 11,083 11,325 10,806
12/31/91 13,033 13,152 11,128
12/31/92 13,902 14,151 11,459
12/31/93 15,328 15,747 11,773
12/31/94 14,630 15,198 12,103
12/31/95 17,519 17,852 12,409
12/31/96 18,039 18,370 12,820
12/31/97 19,738 20,162 13,046
12/31/98 20,938 22,072 13,255
6/30/99 20,369 21,571 13,392
</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, 1989 through June 30, 1999.
*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>
PERFORMANCE UPDATE
[PHOTO]
STEVE NELSON, CFA
PORTFOLIO MANAGER
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.
MONEY MARKET PORTFOLIO
PERFORMANCE
The Money Market Portfolio's total return for the six-month period ended June
30, 1999 was 2.16 percent.* The three-month U.S. Treasury Bill returned 2.27
percent for the same period. At June 30, 1999, the seven day compound yield was
4.44 percent* for the Portfolio.
PERFORMANCE ANALYSIS
Interest rates increased across the yield curve during the first six months of
1999, and the yield curve became steeper. The yield on the three-month U.S.
Treasury Bill increased 31 basis points to yield 4.76 percent as of June 30.
Strong economic growth in the U.S., higher oil prices, inflation concerns and
the seeds of a global economic recovery all contributed to the increase in
interest rates during the first six months of the year. In addition, these
factors prompted the Federal Reserve to change its interest rate bias in May
from neutral to a bias toward increasing interest rates. Ultimately, the Federal
Reserve increased the Federal Funds rate by 25 basis points to 5 percent on the
last day of the reporting period. In the beginning of the year, very few people
would have predicted that the Federal Reserve would increase interest rates any
time during the year.
Our emphasis in the Portfolio remains on the highest quality U.S. corporate
commercial paper, which continues to provide money market investors with
excellent safety, liquidity and an attractive yield. Approximately 90 percent of
the assets in the Portfolio are invested in high quality corporate commercial
paper (i.e., commercial paper that is rated A-1 or higher by Standard and Poor's
and P-1 by Moody's).
The Portfolio continues to be well diversified over a variety of stable
industries and does not include any holdings in the more volatile brokerage
sector. Our goal has been to keep the average days to maturity in the Portfolio
in the range of 55 to 65 days; to that end, the average days to maturity on June
30 stood at 62 days--slightly longer than the money market fund industry
average. For the Portfolio, we will continue to purchase the highest quality
commercial paper and seek to maintain the average days to maturity in a range of
55 to 65 days.
OUTLOOK
Interest rates still appear to be in a trading range for the remainder of 1999.
U.S. economic growth would have to slow for interest rates to move much lower
from current levels. We view this as unlikely, particularly given the 4.3
percent increase in gross domestic product during the first quarter of 1999 and
our expectation of around a 3.8 percent growth rate for the entire year. For
rates to move considerably higher, inflation would have to increase. With
deflationary pressures still looming around the world, commodity prices low, and
healthy productivity gains being registered, we view a high inflation scenario
as unlikely.
8
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE DAYS TO MATURITY
NUMBER
OF DAYS
<S> <C>
1/6/1999 55
1/13/1999 53
1/20/1999 59
1/28/1999 55
2/3/1999 56
2/10/1999 53
2/17/1999 52
2/24/1999 52
3/3/1999 56
3/10/1999 70
3/17/1999 66
3/24/1999 66
3/31/1999 61
4/7/1999 61
4/14/1999 62
4/21/1999 62
4/28/1999 66
5/5/1999 65
5/12/1999 72
5/19/1999 65
5/26/1999 74
6/2/1999 67
6/9/1999 65
6/16/1999 65
6/23/1999 66
6/30/1999 62
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SEVEN-DAY COMPOUND YIELD*
PERCENTAGE
<S> <C>
1/6/1999 5.37%
1/13/1999 4.58%
1/20/1999 4.57%
1/28/1999 4.54%
2/3/1999 4.07%
2/10/1999 4.44%
2/17/1999 4.43%
2/24/1999 3.90%
3/3/1999 4.95%
3/10/1999 4.43%
3/17/1999 4.40%
3/24/1999 4.41%
3/31/1999 4.46%
4/7/1999 4.45%
4/14/1999 4.44%
4/21/1999 4.34%
4/28/1999 4.34%
5/5/1999 4.61%
5/12/1999 4.45%
5/19/1999 4.44%
5/26/1999 4.43%
6/2/1999 4.44%
6/9/1999 4.45%
6/16/1999 4.47%
6/23/1999 4.51%
6/30/1999 4.44%
</TABLE>
The seven-day compound 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 performance is not an indication of future performance. 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. Shares upon redemption may
be worth 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>
PERFORMANCE UPDATE
[PHOTO]
THOMAS GUNDERSON, CFA
PORTFOLIO MANAGER
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.
ASSET ALLOCATION PORTFOLIO
PERFORMANCE
The Asset Allocation Portfolio generated a total return of 3.78 percent* for the
six-month period ended June 30, 1999. The Portfolio's benchmarks, the Russell
1000 Growth Index** returned 10.45 percent, and the Lehman Brothers Aggregate
Bond Index+ returned -1.38 percent for the same period. A blended index
comprised of 60 percent Russell 1000 Growth Index** and 40 percent Lehman
Brothers Aggregate Bond Index+ returned 5.70 percent for the same period.
PERFORMANCE ANALYSIS
The surprising strength in the economy combined with a prolonged under
performance of certain sectors of the stock market caused a change in the stock
market leadership during the first half of 1999. The first quarter was led by
the Technology sector with value sectors lagging. During the second quarter the
strongest sectors of the stock market were Basic Materials, Utilities, Capital
Goods and Energy--all traditional "value" sectors.
Traditional growth sectors such as Health Care and Consumer Staples lagged the
market for the first half of the year, while the best performing sectors have
been Technology and Capital Goods. Market leadership showed another change
during the first half of 1999 with strong performance shifting from very large
growth companies during the first quarter to small and mid-sized companies far
out performing the very large companies during the second quarter.
The benefits of a well-diversified portfolio were highlighted during the past
six months. Bonds dropped modestly in value with the climb in interest rates.
The mid and large growth stocks in the Portfolio gained low single digits in
both the first and second quarter, while the Real Estate Investment Trusts
(REITs) in the Portfolio posted very strong (low double digit) returns in the
second quarter, more than making up for a drop off in the first quarter. The
asset allocation did not meaningfully change during the first six months of
1999. The current asset allocation is stocks (including 4 percent REITs) of 68
percent, fixed income at 30 percent and cash/other assets/liabilities at 2
percent.
Within the stock investments, the best performing sectors for the first six
months of 1999 were Technology and Consumer Cyclicals. Technology stocks fueled
by high earnings and revenue growth that were strong performers included Cisco
Systems (computer networking and communications), Lexmark (computer printers),
MCI Worldcom (telecommunications services) and Microsoft (computer software).
Consumer cyclical stocks helping performance included Omnicom Group
(advertising), Wal-Mart (retailing), Tandy (retailing) and Family Dollar Stores
(retailing). Laggards for the period included Cadence Design Systems (software),
Service Corp International (death services) and Compaq (computers).
Several new companies were added to the Portfolio during the period. As you
know, we look for companies that can post strong earnings growth through an
economic cycle, typically 15 percent or higher. New stocks added include Nokia
(wireless handsets and infrastructure), Sun Microsystems (computer hardware and
software), Unisys--where a new senior management team is growing the services
component, Boston Scientific--a leading player in medical devices including the
fast growing stent business and Royal Caribbean--a leading company in the cruise
industry. We sold our entire positions in Coca-Cola, Philip Morris, Compaq and
Cadence Design.
Fundamentally, all of the corporate credits held in the Portfolio are sound. The
U.S. holdings are diversified among various industries and individual quality
credits. As a group, corporate bonds have come under some price pressure in
recent months as the supply of corporate bond issuance has exceeded investor
demand. The yield advantage (or spread) for owning corporate bonds wide based on
historical standards makes them attractive given the strong business environment
in the U.S. and the improving global situation.
OUTLOOK
We are positive on both stocks and bonds. According to our work, bonds are at a
two-year high level of attractiveness. Following the slow and painful climb in
interest rates over the last 9 months, bonds appear poised for a rally.
Inflation is showing no signs of accelerating. The Federal Reserve's hike in the
Federal Funds rate could be the flu shot necessary to help put the bond market
solidly on the road to recovery.
Stocks will likely be fueled by earnings growth, with little upside expected to
come from higher valuations. Currently the outlook for earnings growth is
strong, with an expected acceleration in year over year earnings growth.
Additionally, the broadening of the stock market leadership is a healthy sign
and sets the stage for further long run advances. We continue to be committed to
our mission of positioning the Portfolio to meaningfully participate in market
advances, while preserving your assets during market declines.
10
<PAGE>
FIVE LARGEST COMMON STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ -------- ------------- ----------
<S> <C> <C> <C>
Microsoft Corporation....................................... 232,100 $ 20,932,519 4.6%
General Electric Company.................................... 178,552 20,176,376 4.4%
Cisco Systems, Inc.......................................... 265,250 17,108,625 3.7%
Intel....................................................... 261,600 15,565,200 3.4%
Omnicom Group............................................... 188,508 15,080,640 3.3%
------------- ---
$ 88,863,360 19.4%
------------- ---
------------- ---
</TABLE>
BOND PORTFOLIO CHARACTERISTICS--QUALITY BREAKDOWN
<TABLE>
<CAPTION>
% OF BOND
RATING PORTFOLIO
- ------------------------------------------------------------ ----------
<S> <C>
U.S. Treasury............................................... 27.7%
U.S. Government Agencies.................................... 23.1%
AAA rated................................................... 10.3%
AA rated.................................................... 3.3%
A rated..................................................... 14.2%
BBB rated................................................... 19.5%
BB rated.................................................... 2.0%
----------
100.0%
----------
----------
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Bonds 29.7%
Common Stocks 66.2%
Preferred Stocks 1.5%
Cash and Other
Assets/Liabilities 2.6%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN ASSET ALLOCATION PORTFOLIO, RUSSELL 1000
GROWTH INDEX, LEHMAN BROTHERS AGGREGATE BOND INDEX, A BLENDED INDEX OF 60
PERCENT RUSSELL 1000 GROWTH INDEX AND 40 PERCENT LEHMAN BROTHERS AGGREGATE BOND
INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C> <C>
One year 13.95%
Five year 17.53%
Ten year 13.24%
Asset Allocation
(Thousands) Portfolio CPI Blended Index Russell 1000 Growth Index
6/30/89 $10,000 $10,000 $10,000 $10,000
12/31/89 $10,740 $10,177 $11,123 $11,545
12/31/90 $11,127 $10,806 $11,529 $11,515
12/31/91 $14,341 $11,128 $15,093 $16,255
12/31/92 $15,383 $11,459 $16,004 $17,069
12/31/93 $16,378 $11,773 $16,915 $17,562
12/31/94 $16,149 $12,103 $16,993 $18,029
12/31/95 $20,188 $12,409 $22,000 $24,733
12/31/96 $22,711 $12,820 $25,294 $30,451
12/31/97 $27,024 $13,046 $30,876 $39,731
12/31/98 $33,414 $13,255 $39,251 $55,113
6/30/99 $34,677 $13,392 $41,488 $60,872
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C>
One year
Five year
Ten year
(Thousands) Lehman Brothers Aggregate Bond Index
6/30/89 $10,000
12/31/89 $10,489
12/31/90 $11,426
12/31/91 $13,254
12/31/92 $14,235
12/31/93 $15,623
12/31/94 $15,167
12/31/95 $17,968
12/31/96 $18,621
12/31/97 $20,419
12/31/98 $22,193
6/30/99 $21,887
</TABLE>
On the chart above you can see how the Asset Allocation Portfolio's total return
compared to the Russell 1000 Growth Index, Lehman Brothers Aggregate Bond Index,
a blended index of 60 percent Russell 1000 Growth Index and 40 percent Lehman
Brothers Aggregate Bond Index and the Consumer Price Index. The lines represent
the cumulative total return of a hypothetical $10,000 investment made on June
30, 1989 through June 30, 1999.
*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 those stocks from the Russell 1000 with
a greater than average growth orientation. The Russell 1000 is 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 Lehman Brothers Aggregate Bond is comprised of the Lehman Brothers
Government/Corporate Index, the Lehman Brothers Mortgage-Backed Securities Index
and the Lehman Brothers Asset-Backed Securities Index.
11
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
KENT WEBER, CFA
PORTFOLIO MANAGER
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.
MORTGAGE SECURITIES PORTFOLIO
PERFORMANCE
The Mortgage Securities Portfolio generated a total return of 1.14 percent* for
the six-month period ended June 30, 1999. The Lehman Brothers Mortgage-Backed
Index,** the Portfolio's benchmark, returned .52 percent for the same time
period.
PERFORMANCE ANALYSIS
In our last report to you, dated December 31, 1998, we chronicled that investor
sentiment--based on global recession and a fear of a bear market in
stocks--heavily favored the safety and liquidity of the U.S. Treasury market,
resulting in a "flight to quality." Liquidity in the spread sectors
(mortgage-backed securities and corporate bonds) all but disappeared as buyers
and market makers turned away from these asset classes. Spreads widened to
historical levels and trading volume ground to a halt. It was a dark time for
the spread sectors (i.e., non-Treasury securities).
Fortunately, the phenomenon was relatively short-lived, and investors have
re-engaged in spread sectors. The recovery was due, in part, to a vigilant
Federal Reserve. At the end of 1998, the Federal Reserve had just finished
cutting key short-term interest rates by .75 percent, clearing the way for other
foreign monetary authorities to follow suit. With the global markets awash in
liquidity, investor sentiment was on the mend. Add to that the ongoing news of
stronger U.S. growth and stability in global markets, and you have all of the
necessary ingredients for a "flight from quality" trade.
With the stock market moving back into record territory and consumers appearing
to buy anything that was not nailed down, the Federal Reserve switched gears and
began to talk tough. Investors sensed the change in monetary policy, which was
confirmed in the Federal Reserve's June 30 announcement of a .25 percent
increase in the Federal Funds rate to 5 percent. Investors that started the year
with expectations of lower rates, lower inflation, and a call for the U.S. to
join the global economies in a slow growth dance, revised their forecasts. When
the dust settled, the yield on the 10-year Treasury had climbed 1.15 percent to
5.95 percent. Assets that went unloved during the earlier liquidity crisis
returned to star status as fundamentals and relative value once again drove
valuations and unleashed a powerful wave of spread tightening. At the end of the
reporting period, the mortgage market posted the highest returns in the fixed
income arena.
Early in the year, the mortgage market enjoyed a stronger start than
anticipated. Strong fundamentals and balanced technicals made mortgages an
attractive asset class trading at historically wide levels. Agency mortgage
securities basked in the warmth of spread tightening to the tune of 30 to 50
basis points. The tightening in spreads helped cushion the blow of higher rates
and sent the peak of the refinancing wave into the history books. Many sectors
of the non-agency mortgage market (i.e., commercial and investment grade
securities) performed even better. They benefited not only from good news on
prepayments, but also from diminished credit concerns, improved liquidity, and
increased sponsorship.
Throughout the first half of 1999, we were able to opportunistically add to our
over weights in non-agency, residential mortgage securities, as well as
commercial mortgage securities backed by seasoned loans. Within our core agency
holdings, we continue to favor newly issued current coupon mortgage securities
due to their attractive yields, liquidity and cash flow stability.
Duration is the key indicator of a portfolio's sensitivity to interest rates. By
carrying more duration--about 5 to 7 percent more than the Index during the
initial back up in rates-- our relative performance was weakened. However, as
indications of above-trend growth appeared, and the Federal Reserve flashed
signs of its intent to reenter the monetary game, we took a more neutral stance
on the market. We maintained our modest overweight, but decided to postpone any
additional purchases of duration.
OUTLOOK
While less undervalued today than at the beginning of the year, we believe the
mortgage sector still offers investors an attractive combination of high yield
potential and solid credit quality. The potential for capital appreciation also
exists should spreads grind back to more normalized historical levels or rates
resume their long-term downward trend. With interest rates likely to go nowhere
in a hurry, investors will likely continue to reach for higher yielding assets.
In this scenario, mortgages are a natural fit, and as we look forward, we expect
another good quarter of relative performance for mortgage investors.
Ultimately, we believe the U.S. economy will successfully transition to a more
sustainable growth rate on the back of higher nominal interest rates, as the
market has already done much of the Federal Reserve's dirty work. If the economy
continues to display excessive growth, the Federal Reserve may find it necessary
to tighten monetary policy a bit further, perhaps reversing the full .75 percent
easing offered up during the liquidity crisis of 1998.
12
<PAGE>
HIGH QUALITY ASSETS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
AAA rated 42.5%
AA rated 21.6%
A rated 13.6%
BBB rated 13.1%
BB rated 6.4%
Preferred Stock 1.3%
Cash and Other Assets/Liabilities 1.5%
</TABLE>
SOLID LIQUIDITY
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Public Issues 45.1%
Private Placements 9.0%
Private 144A Issue 43.1%
Preferred Stock 1.3%
Cash and Other Assets/Liabilities 1.5%
</TABLE>
PRUDENT SECTOR DIVERSIFICATION
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
FHLMC MBS 1.1%
FNMA MBS 7.8%
GNMA MBS 5.4%
Vendee MBS 2.6%
Asset Backed Securities 1.7%
CMOs/MRBs 6.5%
Whole Loan MBS 57.9%
Commercial MBS 13.4%
Corporate/Agency Bonds .8%
Preferred Stock 1.3%
Cash and Other Assets/Liabilities 1.5%
</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>
<S> <C> <C> <C>
Mortgage Lehman Brothers
Securities Mortgage-
(Thousands) Portfolio Backed Securities Index CPI
6/30/1989 10,000 10,000 10,000
12/31/1989 10,459 10,572 10,177
12/31/1990 11,445 11,707 10,806
12/31/1991 13,307 13,546 11,128
12/31/1992 14,154 14,487 11,459
12/31/1993 15,464 15,452 11,773
12/31/1994 14,942 15,202 12,103
12/31/1995 17,633 17,755 12,409
12/31/1996 18,559 18,680 12,820
12/31/1997 20,256 20,453 13,046
12/31/1998 21,587 21,876 13,255
6/30/1999 21,832 21,876 13,392
AVERAGE ANNUAL TOTAL RETURN:
One year 3.97%
Five year 8.13%
Ten year 8.12%
</TABLE>
On the chart above you can see how 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, 1989 through June 30, 1999.
*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).
13
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
TERI BRANDT,
SENIOR EQUITY TRADER
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.
INDEX 500 PORTFOLIO
PERFORMANCE
The Index 500 Portfolio generated a total return of 11.97 percent* for the
six-month period ended June 30, 1999. This compares to the S&P 500 Index**
return of 12.35 percent for the same period.
PERFORMANCE ANALYSIS
Early in the second quarter of 1999, the leadership in the marketplace changed
dramatically. The largest stocks in the index came under selling pressure after
leading this capitalization-weighted index over the last three years. The "nifty
twenty" leadership stocks and the internet darlings broke their steep up-trends
when the weight of relatively high valuations and a few earnings disappointments
caused investors to re-think their investment strategies. Basic industry,
cyclical and value stocks of all kinds jumped to life in a frenzy of rotation in
the marketplace.
By the end of the first half of the year the S&P 500 Index** has rallied to a
new high, but the leadership has been reassigned to a broader group of stocks.
When the Federal Reserve moved the discount rate up and indicated a neutral
stance to any additional moves in rates, the markets finished the quarter with a
relief rally.
OUTLOOK
Unless long-term interest rates reverse their recent upward trend, we expect
that there will not be any room for continued gains in the stock market from
valuation changes. Gains from this point will likely come from earnings and
continued productivity gains. We do expect the U.S. economy to continue growing
with recoveries in both Asia and Europe adding strength to our outlook. Until
growth overseas accelerates strongly we don't expect inflation to be a problem
for our economy. We believe gains in corporate earnings should give the stock
market additional room for some advancement in the second half of 1999.
14
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ ------- ------------ -----------
<S> <C> <C> <C>
Microsoft Corporation....................................... 271,400 $ 24,476,888 4.0%
General Electric Company.................................... 174,000 19,662,000 3.2%
International Business Machines............................. 96,600 12,485,550 2.1%
Wal-Mart Stores............................................. 236,200 11,396,650 1.9%
Cisco Systems, Inc.......................................... 169,700 10,945,650 1.8%
Lucent Technologies, Inc.................................... 161,485 10,890,145 1.8%
Intel....................................................... 176,200 10,483,900 1.7%
Exxon Corporation........................................... 129,500 9,987,688 1.7%
AT&T Corporation............................................ 169,827 9,478,468 1.6%
Merck & Co., Inc............................................ 125,600 9,294,400 1.5%
------------ ---
$129,101,339 21.3%
------------ ---
------------ ---
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other
Assets/Liabilities .1%
Depository Receipt .9%
Transportation .9%
Utilities 2.8%
Basic Materials 3.7%
Energy 5.8%
Capital Goods 8.1%
Communication Services 9.3%
Consumer Cyclical 9.8%
Health Care 10.6%
Consumer Staples 12.1%
Financial 15.7%
Technology 20.2%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN INDEX 500 PORTFOLIO,
S&P 500 INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
(Thousands) Index 500 Portfolio S & P 500 Index CPI
<S> <C> <C> <C>
6/30/89 10,000 10,000 10,000
12/31/89 11,241 11,298 10,177
12/31/90 10,800 10,943 10,806
12/31/91 14,013 14,275 11,128
12/31/92 15,048 15,363 11,459
12/31/93 16,516 16,913 11,773
12/31/94 16,711 17,124 12,103
12/31/95 22,866 23,531 12,409
12/31/96 27,815 27,983 12,820
12/31/97 36,817 37,315 13,046
12/31/98 47,119 47,979 13,255
6/30/99 52,762 53,904 13,392
AVERAGE ANNUAL TOTAL RETURN:
One year 22.23%
Five year 27.01%
Ten year 18.09%
</TABLE>
On the chart above you can see how the Index 500 Portfolio's total return
compared to the S&P 500 Index (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, 1989 through June 30, 1999.
+"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.
*Historical results are not an indication of future performance. 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 Index is a broad, unmanaged index of 500 common stocks which are
representative of the U.S. stock market overall.
15
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
CLARK WINSLOW, CFA
WINSLOW CAPITAL MANAGEMENT
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.
CAPITAL APPRECIATION PORTFOLIO
PERFORMANCE
Total return for the Capital Appreciation Portfolio was -.13 percent* for the
six-month period ended June 30, 1999. The Portfolio underperformed the Russell
1000 Growth Index,** which increased 10.45 percent and the S&P 500 Index,***
which generated a return of 12.35 percent for the same period.
PERFORMANCE ANALYSIS
While the largest market capitalization growth companies and Internet issues
dominated the first quarter of 1999, the most recent period saw value stocks and
smaller market capitalization companies perform strongly. This can be seen in
the excellent performance of the Russell 2000 Index+ and the S&P 600 Small Cap
Index++ versus the large cap oriented indices over the last three months.
In the second quarter, the strongest performing sectors in the Portfolio
included Technology and Capital Goods. The Portfolio maintained its overweighted
position in software companies during the second quarter and it proved to be
additive to performance. On average, the technology companies in the Portfolio
appreciated nearly 19 percent,* with BMC Software advancing more than 45
percent* in the quarter after a disappointing first quarter return of -17
percent.* The best performing holding in the Capital Goods sector for the three
months was Tyco International with a price move of 30 percent.* The Portfolio's
average Capital Goods stock appreciated 21 percent* in the last three months
after a relatively flat first quarter. During the same time period the
Healthcare and Telecommunication sectors detracted from the overall return.
Although the Telecommunications sector was the strongest performing area for the
first half of 1999 with a return of 20 percent,* the average holding depreciated
2.8 percent* in the last three months. The fear of reduced government payments
for hospital services continued to overhang the entire Healthcare sector. For
the second quarter and on a year to date basis, healthcare services continue to
perform poorly, but the underweighted exposure and positive stock selection in
the Portfolio have allowed the Portfolio to outperform the sector.
The Portfolio implements an investment philosophy that is based on the belief
that owning companies with consistent and sustainable earnings growth will
produce positive investment return potential over the long term. Growth of
earnings is a necessity, but relative valuation, what you pay in price/earnings
ratio for that future earnings growth stream is also important. This means that
we generally will be underweighted in the very largest companies because these
types of companies usually cannot achieve earnings growth in excess of 13
percent annually and the P/E ratios on most of the largest growth companies have
been unattractive relative to other broad market opportunities.
OUTLOOK
The Winslow Capital Management investment approach focuses on companies with
records of consistent sales and earnings growth driven more by company specific
strengths than the general rate of economic activity. Self-funding balance
sheets, high profitability levels and heavy inside ownership are typical
characteristics. These types of companies are well positioned to deliver strong
earnings growth, regardless of the general economic outlook.
We expect moderating Gross Domestic Product growth, low inflation and attractive
long-term interest rates to continue for the remainder of 1999. Our optimism for
the second half of the year performance of the Portfolio is based on the broad
market stocks attractive valuations and increased earnings growth visibility
from European and Asian economic recoveries. We believe the broad market, which
has underperformed relative to the Internet and mega-cap stocks, is attractively
valued.
16
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ ------- -------------- ----------
<S> <C> <C> <C>
Tyco International, Ltd. ................................... 194,400 $ 18,419,400 4.8%
Waste Management, Inc. ..................................... 322,200 17,318,250 4.5%
Federal National Mortgage Association....................... 228,300 15,610,012 4.1%
Wells Fargo Company......................................... 343,100 14,667,525 3.8%
BMC Software, Inc. ......................................... 246,700 13,321,800 3.5%
Home Depot, Inc. ........................................... 196,199 12,642,573 3.3%
MCI Worldcom, Inc. ......................................... 144,600 12,471,750 3.2%
Cardinal Health, Inc. ...................................... 192,850 12,366,506 3.2%
Tellabs, Inc. .............................................. 177,000 11,958,563 3.1%
Compuware Corporation....................................... 373,100 11,869,244 3.1%
-------------- ---
$ 140,645,623 36.6%
-------------- ---
-------------- ---
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other
Assets/Liabilities 1.6%
Transportation 2.5%
Communication Services 6.3%
Health Care 7.9%
Consumer Staples 8.5%
Capital Goods 14.5%
Financial 14.7%
Consumer Cyclical 16.4%
Technology 27.6%
</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>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C>
One year 7.94%
Five year 22.00%
Ten year 16.62%
Capital Appreciation Russell 1000
(Thousands) Portfolio Growth Index CPI
6/30/89 $10,000 $10,000 $10,000
12/31/89 $11,669 $11,545 $10,177
12/31/90 $11,429 $11,516 $10,806
12/31/91 $16,206 $16,255 $11,128
12/31/92 $17,024 $17,069 $11,459
12/31/93 $18,800 $17,560 $11,773
12/31/94 $19,223 $19,034 $12,103
12/31/95 $23,602 $26,114 $12,409
12/31/96 $27,759 $32,151 $12,820
12/31/97 $35,604 $41,950 $13,046
12/31/98 $46,581 $58,190 $13,255
6/30/99 $46,522 $64,271 $13,392
</TABLE>
On the chart above you can see how 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, 1989 through June 30, 1999.
*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 those stocks from the Russell 1000 with
a greater than average growth orientation. The Russell 1000 is 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 Index is a broad, unmanaged index of 500 common stocks which are
representative of the U.S. stock market overall.
+The Russell 2000 Index represents the bottom two thirds of the largest 3,000
publicly traded companies domiciled in the United States.
++The S&P 600 Small Cap Index is a capitalization-weighted index that measures
performance of selected U.S. stocks with a small market capitalization.
17
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
GARY CLEMONS
TEMPLETON INVESTMENT COUNSEL
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.
INTERNATIONAL STOCK PORTFOLIO
PERFORMANCE
International investors displayed a cautious optimism during the first half of
1999, as a recovery in many of the emerging economies appeared more robust.
Confidence in international markets emerged with the subdued impact of the
Brazilian devaluation at the beginning of the year, giving evidence that the
Brazilian economic woes were not as bad as economists had originally
anticipated. Across Asia, evidence of economic recovery became more apparent.
Japan surprised economists with remarkably strong first quarter growth of 12
percent.
In this environment, the Portfolio benefited from a number of factors, including
strong rallies in Asian and Latin American equities, along with a rebound in
cyclical stocks and energy companies. For example, one of the Portfolio's
largest holdings, British Steel, was also one of the top performers during the
period, posting a 75 percent* gain. Overall, for the six-month period ended June
30, 1999, the International Stock Portfolio posted a return of 10.38 percent.*
By comparison, an international equity index, the Morgan Stanley Capital EAFE
Index,** posted gain of 4.11 percent.
PERFORMANCE ANALYSIS
A rally in Asia continued over the past quarter, with many markets appreciating
significantly. Reforms that were at one time unthinkable have been forced by
necessity, and in some countries such reforms are gaining acceptance, as they
are perceived as the foundation of an economic recovery. In Thailand, for
example, foreigners are now able to purchase property for the first time, and
bankruptcy laws were established in order to deal with delinquent borrowers. In
Indonesia, the elections proved to be far more peaceful than predicted and
represented a step towards stability. Corporate restructuring announcements in
Japan, along with the strong first quarter growth numbers, lead many investors
to believe that the country's business leaders are finally coming to grips with
their 11-year malaise. With these forces at work, the equities of the Asian
region, representing approximately 16 percent of the Portfolio, generated some
of the Portfolio's top performers including Bangkok Bank of Thailand and Hong
Kong Telecommunications, which posted gains of 81 percent* and 48 percent,*
respectively. We continue to move on a stock-by-stock basis in Asia and Japan,
as only time will tell if the promise of reforms equates into increased value
for investors.
The European region showed signs of weakness over the first half of the year.
Europe currently represents approximately 57 percent of total assets, which
equates to a 14.5 percent underweight relative to the EAFE Index. Investors
continued to take profits in European equities, with many of the countries'
economies showing signs of weakness, the value of the Euro sliding. The weakness
in the Euro meant that while most of European markets were up in local currency,
the majority of markets reported a loss on a US dollar basis. The notable
exceptions were the markets of those countries not yet taking part in the
monetary union, such as Sweden, Norway, and the UK, all of which appreciated in
both local and US dollar terms for the period. The Portfolio's allocation to the
UK, which represents the largest European country weighting at 18 percent,
therefore benefited the Portfolio with such names as Barclays PLC, which
appreciated 35 percent* during the period.
The equity markets of Latin America continued to recover during the second
quarter on the back of improved commodity prices and currency stability. Brazil
benefited from benign inflation and a pick up in exports which allowed interest
rates to more than halve from their peak this year. Mexico is also gaining from
a strong and stable peso, a strong US economy and higher oil prices. Latin
America currently represents 7 percent of the Portfolio. We are comfortable with
this exposure and find that, in spite the recent rallies in Latin equities, they
remain among the most attractive markets globally.
OUTLOOK
So far, 1999 has produced a more favorable outcome for value-oriented investors.
The rebound in cyclical and energy related companies as well as rallies in many
of the Asian and Latin American equity markets accounted for much of the
improved performance of the Portfolio this year. We feel that opportunities
remain and will be steadfast in our conviction that Templeton's value-based
stock picking approach will likely produce higher return potential for investors
over the long-term.
18
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ --------- ----------- -----------
<S> <C> <C> <C>
Merita Bank................................................. 1,085,000 $ 6,184,005 2.1%
British Steel............................................... 2,225,400 5,763,512 2.0%
British Airways............................................. 832,600 5,746,936 1.9%
Rhonc-Poulenc............................................... 122,325 5,606,676 1.9%
Deutsche Bank............................................... 91,166 5,577,970 1.9%
The Nomura Securities Company, Ltd. ........................ 463,200 5,415,019 1.8%
Shell Transportation & Trading.............................. 703,100 5,274,359 1.8%
Volvo....................................................... 178,500 5,213,609 1.8%
Pioneer International, Ltd.................................. 2,024,901 5,199,672 1.8%
Philips Electronics......................................... 52,440 5,188,432 1.8%
----------- ---
$55,170,190 18.8%
----------- ---
----------- ---
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN INTERNATIONAL STOCK PORTFOLIO,
MORGAN STANLEY CAPITAL EAFE INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C>
One year 5.24%
Five year 13.12%
Since Inception (May 1, 1992) 13.09%
Morgan
International Stanley Capital
(Thousands) Stock Portfolio EAFE CPI
5/01/1992 $10,000 $10,000 $10,000
12/31/92 $9,319 $8,156 $10,179
12/31/93 $13,434 $10,843 $10,458
12/31/94 $13,391 $11,722 $10,752
12/31/95 $15,296 $13,088 $11,024
12/31/96 $18,324 $13,916 $11,388
12/31/97 $20,511 $14,198 $11,589
12/31/98 $21,866 $17,084 $11,775
6/30/99 $24,136 $17,786 $11,897
</TABLE>
On the chart above you can see how the International Stock Portfolio's total
return compared to the Morgan Stanley Capital EAFE Index and the Consumer Price
Index. The three lines represent the total return of a hypothetical $10,000
investment made on the inception date of the International Stock Portfolio (May
1, 1992) through June 30, 1999.
*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 Morgan Stanley Capital EAFE Index is an unmanaged index of common stocks
from European, Australian and Far Eastern markets.
19
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
JIM TATERA, CFA
CHIEF EQUITY PORTFOLIO MANAGER
The Small Company Growth
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.
SMALL COMPANY GROWTH PORTFOLIO
PERFORMANCE
The Small Company Growth Portfolio returned 4.79 percent* for the six-month
period ended June 30, 1999. The Portfolio's benchmark, the Russell 2000 Growth
Index,** returned 12.82 percent for the same period.
PERFORMANCE ANALYSIS
After posting one of the most explosive rallies on record during the fourth
quarter of 1998, the beginning of 1999 saw small cap growth companies return to
the uncertainty that was prevalent throughout most of 1998. Namely, shortfalls
in revenues and earnings became more prevalent and stalled any momentum they may
have had. Only the Internet stocks maintained their momentum into the second
quarter. Investors disillusioned by the troubles in smaller stocks, shifted
assets en masse out of small cap funds. The net result was a vicious cycle where
portfolio managers sold securities to meet redemptions, which created additional
under performance and more outflows. At one point early in the second quarter,
small cap stocks trailed the large cap proxy, the S&P 500 Index,+ by 1200 basis
points (12 percent). Those were the darkest of times for small cap investors.
Since then, the smaller stocks have seen a significant rebound on an absolute
and relative basis to the larger stocks. The second quarter saw a rotation away
from the large cap companies into both smaller companies and cyclical
industries, which should benefit from economic strength. In general, redemptions
in small cap funds have shifted to modest inflows and the vicious cycle appears
to have been broken.
Positive performance for small cap growth stocks on a year to date basis is
really a story of technology. Whether it is data networking, semiconductors or
wireless communication, strong performance continues for those companies which
provide a valuable component to the explosive technology needs individuals and
companies have in today's world. The Internet in particular will continue to
change the way people do business. It is clearly a new business paradigm! While
we find the Internet opportunities exciting and potentially lucrative, we remain
selective in our approach. In practice this means we focus our energies on those
companies with business models which are ultimately profitable with solid
management who are innovators and or creators of this new space. It is our
feeling that our initiatives in the Internet area allow us to invest in very
fast moving, leading edge technology companies with higher revenue growth
potential currently and significant profitability prospects into the future.
Though the Internet stocks have given up a lot of their gains, on an absolute
basis they continue to drive performance for the technology area. Importantly,
the explosion of Internet use is driving growth in other areas, including
telecommunications.
Another area, which has done extremely well for the Portfolio, has been the
wireless communications sector. Both the service providers and the equipment
manufacturers have had outstanding year to date results. The service providers
have been seeing better subscriber growth attributable to better value pricing
for the service. Also, during the second quarter, we saw the beginning of the
consolidation of some of the smaller wireless providers. These companies know
that the best way for them to provide national coverage is to consolidate with
other like companies in other parts of the country. Portfolio holdings like
Powertel, Aerial, Omnipoint and Voicestream are regional wireless service
providers who have seen their stocks at least double year to date.
A weak spot for the Portfolio was in the software and services area. Some of the
companies sold off due to their own failings. Others were caught in the wave
with competitors, who missed their numbers. Either way it was disappointing to
us, and we have lowered our exposure to this area. Another area, healthcare,
continues to lag overall market performance with concerns over the tightening
going on in the Medicare reimbursement area. The market is not differentiating
between companies which are Medicare dependent, and those with predominately
private pay revenue bases and not subject to Medicare risks. We are monitoring
this area closely while we continue to hold a few of these companies, which have
little, or no Medicare related revenues. As always, our focus continues to be on
individual companies in areas with substantial and sustainable growth,
regardless of the top down macro environment or the overall environment for
small cap companies. Our objective is to find these dynamic, fast growing
companies on a company by company basis with careful evaluation of their growth
prospects, management capabilities and sustainability of the particular business
model.
OUTLOOK
We continue to be optimistic looking towards the second half of the year. The
second quarter's broadening of the market brought life to both cyclical and
small cap stocks. This broadening of the market is very healthy compared to the
very narrow, large cap focus we have experienced for a few years. Driven by
strong consumer confidence, the solid growth in the U. S. economy continues to
provide stability to the earnings outlook while inflation and interest rates
appear to be positive and stable despite the recent Federal Reserve rate hike.
Most importantly for the small growth companies we invest in, as the above
factors favorably impact investor attitude towards small cap companies, the
current depressed valuations will likely provide meaningful upside on top of the
recent gains.
20
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ ------- ----------- ----------
<S> <C> <C> <C>
DII Group, Inc. ............................................ 254,100 $ 9,481,106 5.2%
Acxiom Corporation.......................................... 249,100 6,211,931 3.4%
Dycom Industries, Inc. ..................................... 103,650 5,804,400 3.2%
Copart, Inc. ............................................... 267,100 5,675,875 3.1%
Fairfield Communities, Inc. ................................ 346,700 5,590,537 3.1%
TV Guide, Inc. ............................................. 148,900 5,453,462 3.0%
Tropical Sportswear International........................... 162,500 5,179,687 2.9%
Eagle USA Airfreight, Inc. ................................. 117,200 4,973,675 2.8%
DuPont Photomasks, Inc. .................................... 97,400 4,663,025 2.6%
Sunrise Assisted Living, Inc. .............................. 130,333 4,545,363 2.5%
----------- ---
$57,579,061 31.8%
----------- ---
----------- ---
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other
Assets/Liabilities 6.5%
Energy 2.0%
Communication Services 2.5%
Financial 2.7%
Consumer Staples 2.8%
Transportation 3.9%
Basic Materials 4.1%
Capital Goods 7.0%
Health Care 12.6%
Consumer Cyclical 20.1%
Technology 35.8%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN SMALL COMPANY GROWTH PORTFOLIO,
RUSSELL 2000 GROWTH INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C>
One year -3.03%
Five year 12.72%
Since inception (May 3, 1993) 11.93%
(Thousands) Small Company Growth Portfolio CPI Russell 2000 Growth Index
5/03/93 $10,000 $10,000 $10,000
12/31/93 $11,733 $10,132 $12,234
12/31/94 $12,456 $10,416 $11,938
12/31/95 $16,449 $10,680 $15,641
12/31/96 $17,509 $11,033 $17,401
12/31/97 $18,867 $11,227 $19,654
12/31/98 $19,106 $11,408 $19,898
6/30/99 $20,021 $11,526 $22,448
</TABLE>
On the chart above you can see how the Small Company Growth Portfolio's total
return compared to the Russell 2000 Growth Index and the Consumer Price Index.
The three lines represent the total return of a hypothetical $10,000 investment
made on the inception date of the Small Company Growth Portfolio (May 3, 1993)
through June 30, 1999.
*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 2000 Growth Index contains those stocks from the Russell 2000 with
a greater than average growth orientation. The Russell 2000 is the 2,000
smallest 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 Index is a broad, unmanaged index of 500 common stocks which are
representative of the U.S. stock market overall.
21
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
KENT WEBER, CFA
PORTFOLIO MANAGER
The Maturing Government
Bond 2002, 2006 and 2010
Portfolios seek as high of
an investment return as is
consistent with prudent
investment risk for a
specified period of time
ending on a specified
liquidation date. The
Portfolios invest
primarily in U.S.
Government and Agencies
zero coupon fixed income
securities with maturities
near the 2002, 2006 and
2010 liquidation dates of
each Portfolio.
MATURING GOVERNMENT BOND 2002 PORTFOLIO
MATURING GOVERNMENT BOND 2006 PORTFOLIO
MATURING GOVERNMENT BOND 2010 PORTFOLIO
PERFORMANCE
For the six-month period ended June 30, 1999, the Maturing Government Bond
Portfolio generated the following returns:
<TABLE>
<S> <C>
Maturing Government Bond 2002 Portfolio................ -1.43 percent*
Maturing Government Bond 2006 Portfolio................ -6.31 percent*
Maturing Government Bond 2010 Portfolio................ -8.39 percent*
</TABLE>
For the six-month period ended June 30, 1999, the Ryan Lab's U.S. Treasury Strip
Indexes of comparable maturity generated the following returns:
<TABLE>
<S> <C>
Ryan Lab's Inc. September 2002 Index**................. -1.55 percent
Ryan Lab's Inc. September 2006 Index**................. -6.41 percent
Ryan Lab's Inc. September 2010 Index**................. -8.53 percent
</TABLE>
PERFORMANCE ANALYSIS
Our investment activities continue to focus on tracking performance of the
respective indices. Over the long run, by selectively using Government Agency
securities in concert with U.S. Treasury securities, the Portfolios each
benefited from enhanced diversification and also from the receipt of additional
income (over that of U.S. Treasury securities).
As time passes, the duration of each portfolio continues to roll forward toward
its respective maturity. The effective duration of each portfolio is as follows:
<TABLE>
<S> <C>
Maturing Government Bond 2002 Portfolio................ 3.33 years
Maturing Government Bond 2006 Portfolio................ 7.18 years
Maturing Government Bond 2010 Portfolio................ 11.30 years
</TABLE>
OUTLOOK
The secular bull market in interest rates that has graced the capital market
since the early 1980s, has most likely reached the mature phase in its cycle.
Going forward, returns are not likely to pierce double digits. Instead more
moderate returns should prevail as income, and not capital gains, drives returns
in the fixed income market.
22
<PAGE>
MATURING GOVERNMENT BOND 2002 PORTFOLIO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
FHLMC Strip 12.0%
U.S. Treasury Strip 38.3%
FICO Strip 9.5%
Israel GTC 8.4%
TVA Strip 12.1%
FNMA Strip 18.5%
Cash and Other
Assets/Liabilities 1.2%
</TABLE>
MATURING GOVERNMENT BOND 2006 PORTFOLIO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury Strip 47.0%
FICO Strip 14.2%
Israel GTC 5.4%
Israel State Aid Strip 9.3%
RFC Strip 8.9%
FNMA Strip 13.5%
Cash and Other
Assets/Liabilities 1.7%
</TABLE>
MATURING GOVERNMENT BOND 2010 PORTFOLIO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury Strip 43.8%
FICO Strip 11.3%
Turkey GTC 4.6%
Israel State Aid 14.0%
Israel GTC 1.2%
RFC Strip 4.7%
FNMA Strip 18.9%
Cash and Other
Assets/Liabilities 1.5%
</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 2002, 2006 and 2010 Index of U.S. Treasury Strips
consists of all active zero-coupon U.S. Treasury issues with maturities in
September 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 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>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C>
One year 3.99%
Five year 8.37%
Since inception (May 2, 1994) 8.10%
Ryan Labs Inc.
Maturing Government Bond September 2002
Index of Treasury
(Thousands) 2002 Portfolio Strips CPI
5/02/1994 $10,000 $10,000 $10,000
12/31/94 $10,028 $9,952 $10,190
12/31/95 $12,537 $12,569 $10,447
12/31/96 $12,754 $12,728 $10,793
12/31/97 $13,838 $13,897 $10,983
12/31/98 $15,168 $15,330 $11,160
6/30/99 $14,951 $15,092 $11,275
</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 the inception date of the Maturing
Government Bond 2002 Portfolio (May 2, 1994) through June 30, 1999.
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>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C>
One year 1.70%
Five year 10.23%
Since inception (May 2,1994) 9.64%
Ryan Labs, Inc.
Maturing Government September 2006
Bond 2006 Index of Treasury
(Thousands) Portfolio Strips CPI
5/02/1994 10,000 10,000 10,000
12/31/94 10,013 9,988 10,190
12/31/95 13,490 13,532 10,447
12/31/96 13,327 13,351 10,793
12/31/97 15,009 15,116 10,983
12/31/98 17,165 17,380 11,160
6/30/99 16,082 16,266 11,275
</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 the inception date of the Maturing
Government Bond 2006 Portfolio (May 2, 1994) through June 30, 1999.
24
<PAGE>
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>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C>
One year -1.87%
Five year 11.50%
Since inception (May 2, 1994) 10.54%
Maturing Government Ryan Labs, Inc. September 2010
(Thousands) Bond 2010 Portfolio Index of Treasury Strips CPI
5/2/94 $10,000 $10,000 $10,000
12/31/94 $9,970 $9,931 $10,190
12/31/95 $14,080 $14,313 $10,447
12/31/96 $13,599 $13,880 $10,793
12/31/97 $16,028 $16,251 $10,983
12/31/98 $18,317 $18,824 $11,160
6/30/99 $16,779 $17,218 $11,275
</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 the inception date of the Maturing
Government Bond 2010 Portfolio (May 2, 1994) through June 30, 1999.
*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>
PERFORMANCE UPDATE
[PHOTO]
GARY ASTER, CFA
PORTFOLIO MANAGER
The Value Stock Portfolio
seeks long-term
accumulation of capital.
The secondary objective is
the production of income.
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.
VALUE STOCK PORTFOLIO
PERFORMANCE
For the six-month period ended June 30, 1999, investment returns for the first
quarter of 1999 bore little resemblance to the second quarter. For the first
quarter the Value Stock Portfolio returned -3.87 percent* compared with a
positive 1.44 percent for its benchmark, the Russell 1000 Value Index.** For the
second quarter the returns were 10.97 percent* and 11.27 percent, respectively.
For the full six-month period ended June 30, 1999, the Portfolio posted a total
return of 6.67 percent.* In comparison the Russell 1000 Value Index** returned
12.87 percent for the same period.
During the first quarter growth, large caps and earnings momentum stocks
provided higher returns than in most areas of the stock market. This trend was
reversed during the second quarter as value stocks outperformed their growth
counterparts by a wide margin. Also during the second quarter, smaller companies
and those with more reasonable valuations participated much more so than in the
first quarter.
PERFORMANCE ANALYSIS
Value investors tend to find the current environment more rewarding as careful
analysis and stock selection can translate into returns that are competitive
with, or even higher to, those of growth and earnings momentum.
The Basic Materials and Energy related economic sectors provided the best
relative performance for the Portfolio during the first half of 1999 while
Capital Goods and Consumer Staples accounted for most of the performance
deficit. In these sectors several companies reported lower than expected
quarterly earnings and their stock prices underwent severe selling pressure.
Finally, we are maintaining our meaningful under-weighting in banks. We continue
to feel this industry, as well as much of the rest of the financial sector, is
fully valued and about to experience over capacity.
While many of the Portfolio's holding were either increased or decreased during
the six-month period, there were no significant positions eliminated or new
positions created.
OUTLOOK
The Portfolio will, no doubt, experience further changes in the future but at
the present time we are comfortable with the Portfolio's overall makeup. We will
continue to be diligent in our search for companies, which meet our criteria for
investing and will not hesitate to add any which appear to have better prospects
than any of our current holdings.
We remain committed to our discipline of investing in companies which we believe
are being inefficiently priced in the market and have some downside protection
in the event of a market decline.
26
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ ------- ----------- ----------
<S> <C> <C> <C>
AT&T Corporation............................................ 167,865 $ 9,368,965 4.6%
International Business Machines............................. 72,440 9,362,870 4.6%
American International Group................................ 68,740 8,046,876 3.9%
SBC Communications, Inc..................................... 129,010 7,482,580 3.7%
MCI Worldcom, Inc........................................... 85,215 7,349,794 3.6%
Exxon Corporation........................................... 93,600 7,218,900 3.5%
Travelers Group, Inc........................................ 144,930 6,884,175 3.4%
BankAmerica Corporation..................................... 74,980 5,496,971 2.7%
Hormel Foods Corporation.................................... 133,900 5,389,475 2.7%
Federal National Mortgage Association....................... 71,010 4,855,309 2.4%
----------- ---
$71,455,915 35.1%
----------- ---
----------- ---
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other
Assets/Liabilities 4.9%
Depository Receipt .5%
Health Care .6%
Capital Goods 1.7%
Transportation 2.4%
Technology 6.2%
Basic Materials 7.5%
Utilities 7.5%
Energy 7.8%
Consumer Cyclical 9.9%
Consumer Staples 11.6%
Communication Services 17.6%
Financial 21.8%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN VALUE STOCK PORTFOLIO,
RUSSELL 1000 VALUE INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C> <C>
One year 6.09%
Five year 19.10%
Since inception (May 2, 1994) 18.42%
Russell 1000
(Thousands) Value Stock Portfolio CPI Value Index
5/2/94 $10,000 $10,000 $10,000
12/31/94 $10,457 $10,190 $10,209
12/31/95 $13,904 $10,448 $14,124
12/31/96 $18,207 $10,793 $17,181
12/31/97 $22,065 $10,984 $23,223
12/31/98 $22,452 $11,160 $26,855
6/30/99 $23,949 $11,275 $30,311
</TABLE>
On the chart above you can see how the Value Stock Portfolio's total return
compared to the Russell 1000 Value Index and the Consumer Price Index. The three
lines represent the total return of a hypothetical $10,000 investment made on
the inception date of the Value Stock Portfolio (May 2, 1994) through June 30,
1999.
*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 Value Index contains those stocks from the Russell 1000 with
low book to price ratio. The Russell 1000 is 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.
27
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
MARK HENNEMAN, CFA
PORTFOLIO MANAGER
The Small Company Value
Portfolio seeks the
long-term accumulation of
capital. It invests
primarily in the equity
securities of small
companies, defined in
terms of market
capitalization and which
appear to have market
values that are low
relative to their
underlying value or future
earnings and growth
potential.
SMALL COMPANY VALUE PORTFOLIO
PERFORMANCE
For the six-month period ended June 30, 1999, the Small Company Value Portfolio
returned 1.91 percent.* The Russell 2000 Value Index** returned 5.25 percent for
the same period.
PERFORMANCE ANALYSIS
After a disappointing first quarter, both small cap and value investing were
back in favor in the second quarter. After reading countless articles early this
year about the death of traditional value investing and justifications for the
massive valuations being placed on the very largest companies, it was reassuring
to see once again that the market never changes. Time-honored investment
techniques such as value investing can go out of favor (sometimes for years at a
time) but will eventually return.
In late March, the Portfolio was down 16 percent* for the year, but has staged a
large recovery from there. Year-to-date, the Portfolio had positive absolute
returns in all sectors except Consumer Cyclicals, Consumer Staples, and
Utilities.
The best performing sector in the Portfolio was Healthcare. The Portfolio
generated a 20 percent* return vs. -7 percent return for that sector in the
Russell 2000 Value Index.** That was driven mostly by Quest Diagnostics (+54
percent*). Quest recently acquired SmithKlein Clinical Labs which gives the
company ample cost cutting opportunities and will cause a rationalization of
this business which will lead to better pricing. This has been a long term
holding of the Portfolio but has achieved our price target. Shortly after the
end of this reporting period we sold most of the position.
We would like to highlight a recent purchase that has demonstrated a positive
impact on the Portfolio. ABC Rail had been a perennial poor performer through
the years; until it acquired Naco, a well-run private company. The management
from Naco was retained to run ABC-Naco and has vastly improved the operating
efficiency of the company. Investors noticed this improvement and drove the
stock up 62 percent* since we purchased it.
The Portfolio continues to benefit from its Real Estate Investment Trust (REIT)
holdings, (currently 15 percent of the Portfolio). The REITs held in the
Portfolio outperformed the benchmark (+8 percent* vs. +1 percent). We hold high
quality companies that continue to trade at attractive valuations.
The Portfolio struggled in the Consumer sector in the first half. We held some
poor performing retail stocks: Just For Feet has had trouble integrating a
recent acquisition and was down 63 percent* before we sold the position. Bob
Evans Farms is a high quality restaurant chain that continues to show solid same
store sales growth. They also have a retail sausage business that was hurt by a
recent recovery in hog prices and caused the stock to go down 23 percent.* We
recently added to this position as hog prices have moderated, restaurant
performance continues to be strong, and the stock is now very attractively
priced.
We don't expect any major shifts in the Portfolio going forward. However, we are
becoming uncomfortable with the valuations in the Technology sector and are
likely to be net sellers of technology stocks.
There were several factors that caused small cap value stocks to perform well in
the second quarter:
1. Low valuation relative to large cap stocks.
2. Investors are becoming comfortable that the Federal Reserve (Fed) will not
end the economic expansion. The market got a strong confirmation of that on
June 30, 1999 when the Fed raised rates by only 25 basis points (.25
percent) and changed its bias to neutral. This was a clear signal that the
Fed does not need to raise interest rates again in the near term. While
raising rates are a clear negative for small company stocks, the thought
that rates will likely not go any higher was the catalyst needed to get
small company stocks moving.
3. Merger and acquisition activity is picking up as larger corporations
recognized the undervaluation of small companies. The Portfolio held three
stocks that were acquired this year: Westinghouse Air Brakes, BankNorth
Group and UST Corp.
OUTLOOK
We continue to have a constructive view of small cap value stocks. We expect the
same factors that drove second quarter performance to continue to influence the
market. Small cap value stocks still have unusually low valuations relative to
large cap stocks. The Fed's recent stance could send the broad market to new
highs and we expect merger and acquisition activity to continue, if not
accelerate.
Three months of improved performance by small cap value stocks does not
guarantee that we are poised for a major leadership change in the market.
However, many investors have achieved significant gains in their large cap funds
over the last several years and have Portfolios heavily skewed toward large cap
funds. We believe this is a good time to look at asset allocation and point out
that small cap value stocks can play an important role in a total equity
Portfolio.
28
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ ------- ----------- ----------
<S> <C> <C> <C>
Wicor, Inc.................................................. 8,400 $ 234,675 2.2%
Dollar Thrifty Automotive Group, Inc........................ 9,200 213,900 2.0%
Pacific Gulf Properties, Inc................................ 9,200 208,150 2.0%
Sierra Pacific Resources.................................... 5,700 207,338 2.0%
Tower Automotive, Inc....................................... 7,300 185,694 1.8%
Gibraltar Steel Corporation................................. 7,500 185,625 1.7%
A.O. Smith Corporation...................................... 6,600 184,800 1.7%
WPS Resources Corporation................................... 6,100 183,000 1.7%
Vishay Intertechnology, Inc................................. 8,625 181,125 1.7%
Zale Corporation............................................ 4,500 180,000 1.7%
----------- ---
$ 1,964,307 18.5%
----------- ---
----------- ---
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other
Assets/Liabilities 6.1%
Health Care 2.1%
Transportation 3.0%
Basic Materials 4.3%
Energy 5.5%
Technology 7.0%
Consumer Staples 7.9%
Utilities 8.8%
Consumer Cyclical 11.6%
Capital Goods 14.6%
Financial 29.1%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN SMALL COMPANY VALUE
PORTFOLIO, RUSSELL 2000 VALUE INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C>
One year -8.79%
Since inception (October 1, 1997) -1.60%
Small Company Value Russell
(Thousands) Portfolio 2000 Value Index CPI
10/1/97 $10,000 $10,000 $10,000
12/31/97 $10,229 $10,168 $10,019
12/31/98 $9,539 $9,513 $10,087
6/30/99 $9,721 $10,012 $10,285
</TABLE>
On the chart above you can see how the Small Company Value Portfolio's total
return compared to the Russell 2000 Value Index and the Consumer Price Index.
The three lines represent the total return of a hypothetical $10,000 investment
made on the inception date of the Small Company Value Portfolio (October 1,
1997) through June 30, 1999.
*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 2000 Value Index contains those stocks from the Russell 2000 with
a low price to book ratios. The Russell 2000 is the 2,000 smallest companies in
the Russell 3000. The Russell 3000 is an unmanaged index of 3000 common stocks,
which represent approximately 98 percent of the U.S. market.
29
<PAGE>
GLOBAL BOND PORTFOLIO
PERFORMANCE UPDATE
[PHOTO]
[PHOTO]
EDWARD DOVE
JULIUS BAER INVESTMENT MANAGEMENT
WAYNE SCHMIDT, CFA
ADVANTUS CAPITAL MANAGEMENT
The Global Bond Portfolio
seeks to maximize current
income consistent with
protection of principal.
The Portfolio pursues its
objective by investing
primarily in debt
securities issued by
issuers located anywhere
in the world. While
Advantus Capital
Management, Inc. acts as
the investment adviser for
the Portfolio, Julius Baer
Investment Management Inc.
provides investment advice
to the Global Bond
Portfolio under a
subadvisory agreement.
PERFORMANCE
The Global Bond Portfolio posted a total return of -8.49 percent* for the
six-month period ended June 30, 1999. This compares to the Salomon Brothers
World Government Bond Index** return of -7.18 percent for the same period.
PERFORMANCE ANALYSIS
Global: The dominant theme worldwide in the first six months of the year was
central bank policy. In early April, the European Central Bank cut interest
rates, and in late June the Federal Reserve increased rates. In the UK, rates
were cut in successive fashion, while in Japan there was no movement whatsoever
on interest rates. The real focus is on the Dow, which continues to defy gravity
and influence investors and bond markets alike. The positive returns from core
European markets in the first three months were reversed sharply in the second
quarter, leaving all except Denmark with negative six-month returns. The
Portfolio's exposure to Europe has generally done better than the index because
it's exposure to Sweden and Norway helped as these two fell much less than their
peers did.
In the dollar bloc, exposure to Australia, Canada and New Zealand helped as
these markets turned in the only positive US$ returns for the first half of the
year. During the second quarter we also introduced Japan to the portfolio at 1/3
index weight, although an index weight would have been more beneficial as
Japanese bonds outperformed European bonds. The strong US dollar drove the
Salomon Brothers Non-US World Government Bond Index+ to a -9.11 percent return
for the first six months of 1999, far below the comparable time period for 1998.
U.S.: For the six months ended June 30, 1999, yields were roughly one percent
higher across the yield curve. This sharp increase in interest rates reflected
fixed income investors worries about strong U.S. economic growth, higher oil
prices, the Federal Reserve's bias (and actual move) to raise interest rates,
and seeds of a global economic recovery. Owning too much duration (longer
maturity bonds) hurt the Portfolio's performance. We do not make large bets on
interest rate movements, but being five to eight percent longer than the index
negatively impacted the relative performance. The overweight in spread sectors,
(corporate bonds and mortgage-backed securities) had a positive impact on
overall performance as both outperformed U.S. Treasury securities for the first
six months of the year.
Fundamentally, all of the corporate credits held in the portfolio are sound. The
U.S. holdings are diversified among various industries and individual quality
credits. As a group, corporate bonds have come under some price pressure in
recent months as the supply of corporate bond issuance has exceeded investor
demand. The yield advantage (or spread) for owning corporate bonds is wide based
on historical standards making them attractive given the strong business
environment in the U.S. and the improving global situation.
OUTLOOK
Global: We view European bonds as the best value at present, as growth prospects
are less optimistic than in the US and what we believe to be an overly
pessimistic view on monetary tightening in the region. The significant recent
underperformance against the US market, as ten-year Bond/Treasury spreads
narrowed from 175 basis points to 135 basis points, suggests scope for
improvement in the months ahead. In Japan the supply concerns have subsided,
replaced by fears of stronger than expected economic growth and the end of the
zero interest rate policy from the Bank of Japan. Here again we view the
pessimism as too extreme, as the recent growth resulted from the fiscal stimulus
package and not 'genuine' economic growth. Although our least favorite market on
a medium-term basis, Japanese government bonds have a potential for a rally in
the near-term as growth fears are re-assessed.
In terms of currencies, the Euro looks attractive on a fundamental basis, having
fallen against the dollar and yen recently. Possible near-term weakness may be
felt as dollar parity is increasingly a popular topic, but over the medium-term
the currency is set to rebound. The yen looks set to remain rangebound as
competing forces are at work. On the one side, the Bank of Japan appears to have
drawn a line in the sand above which it will defend the currency with
intervention. On the other side, increasing flows into Japan, particularly out
of Europe, have been significant, putting pressure on the yen to appreciate
further from these levels.
U.S.: The U.S. segment of the Portfolio is well positioned for the second half
of 1999. We believe most of the damage to the yield curve has taken place in the
past eight months and we will stay the course with duration slightly longer than
the index. With credit spreads wide, we will continue to overweight quality
corporate bonds and mortgages and gladly accept the incremental income
associated with owning these securities.
30
<PAGE>
TEN LARGEST BOND HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF BOND
COMPANY VALUE PORTFOLIO
- ------------------------------------------------------------ ----------- ----------
<S> <C> <C>
Bundesrepublic (Euro)--6.250%, 04/26/06..................... $ 2,765,075 9.1%
Bundesrepublic (Euro)--5.250%, 01/04/08..................... 2,750,818 9.1%
Australia (Australian Dollar)--8.750%, 08/15/08............. 1,814,847 6.0%
Sweden (Swedish Krona)--6.500%, 10/25/06.................... 1,431,163 4.7%
U.S. Treasury Note (U.S. Dollar)--6.000%, 02/15/26.......... 1,335,257 4.4%
UK Treasury (British Sterling Pound)--6.750%, 11/26/04...... 1,171,634 3.9%
FNMA (U.S. Dollar)--7.000%, 02/01/29........................ 965,410 3.2%
UK Treasury (British Sterling Pound)--8.500%, 12/07/05...... 890,237 2.9%
Norway (Norwegian Krone)--6.750%, 01/15/07.................. 771,930 2.6%
New Zealand (New Zealand Dollar)--8.000%, 11/15/06.......... 719,115 2.4%
----------- ---
$14,615,486 48.3%
----------- ---
----------- ---
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN GLOBAL BOND PORTFOLIO, SALOMON
BROTHERS WORLD GOVERNMENT BOND INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C>
One year 1.21%
Since inception (October 1, 1997) 3.61%
Salomon Brothers
Global Non-U.S. World
(Thousands) Bond Portfolio Government Bond Index CPI
10/1/97 $10,000 $10,000 $10,000
12/31/97 $10,008 $10,021 $10,019
12/31/98 $11,626 $11,555 $10,179
6/30/99 $10,639 $10,725 $10,285
</TABLE>
On the chart above you can see how the Global Bond Portfolio's total return
compared to the Salomon Brothers World Government Bond Index and the Consumer
Price Index. The three lines represent the total return of a hypothetical
$10,000 investment made on the inception date of the Global Bond Portfolio
(October 1, 1997) through June 30, 1999.
*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 Salomon Brothers World Government Bond Index is a market value-weighted
index of government debt securities issued by twelve different nations:
Australia, Belgium, Canada, Denmark, France, Germany, Italy, Japan, The
Netherlands, Spain, United Kingdom and the United States. The goal of the index
is to include all fixed-rate institutionally traded bonds issued by the above
governments. The minimum maturity is one year, and the minimum outstanding must
be at least $25 million U.S. dollars. Also included in the index are zero-coupon
renewable securities. Floating rate and private placement issues are excluded
from the index. Returns are available in both U.S. dollars and local currency
terms.
+The Salomon Brothers Non-U.S. World Government Bond Index's goal is to include
all fixed-rate institutionally traded bonds issued by Australia, Italy, Belgium,
Japan, Canada, the Netherlands, Denmark, Spain, France, Sweden, Germany and
United Kingdom whose minimum maturity is one year and outstanding balance is at
least $25 million U.S. dollars.
31
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
TERI BRANDT,
SENIOR EQUITY TRADER
The Index 400 Mid-Cap
Portfolio seeks to provide
investment results
generally corresponding to
the aggregate price and
dividend performance of
publicly traded common
stocks that comprise the
Standard & Poor's 400
MidCap Index (S&P 400).+
It is designed to provide
an economical and
convenient means of
maintaining a diversified
portfolio in this equity
security area as part of
an over-all investment
strategy.
INDEX 400 MID-CAP PORTFOLIO
PERFORMANCE
The Index 400 Mid-Cap Portfolio generated a total return of 7.95 percent* for
the six-month period ended June 30, 1999. The Portfolio outperformed than the
S&P 400 MidCap Index,** which earned 6.88 percent for the same period.
PERFORMANCE ANALYSIS
Early in second quarter 1999 the leadership in the marketplace changed
dramatically. The "nifty twenty" leadership stocks and the Internet darlings
broke their steep up-trends when the weight of relatively high valuations and a
few earnings disappointments caused investors to re-think their investment
strategies. Basic industry, cyclical and value stocks of all kinds jumped to
life in a frenzy of rotation in the marketplace. During the quarter, smaller
stocks performed better than large company shares, and for the first time in
years, the MidCap Index stocks outperformed the larger S&P 500 companies.
When the Federal Reserve recently moved the discount rate up and indicated a
neutral stance to any additional moves in rates on June 30, 1999, the markets
finished the quarter with a relief rally. By the end of the first half of the
year the S&P MidCap 400 Index** has rallied to a new high.
OUTLOOK
Unless long-term interest rates reverse their recent upward trend, we expect
that there will not be any room for continued gains in the stock market from
valuation changes. Gains from this point will come from earnings and continued
productivity gains. We do expect the U.S. economy to continue growing with
recoveries in both Asia and Europe adding strength to our outlook. Until growth
overseas accelerates strongly we don't expect inflation to be a problem for our
economy. We believe gains in corporate earnings should give the stock market
additional room for some advancement in the second half of 1999. Important
questions for the marketplace are; will the change in leadership in the second
quarter be sustainable for an extended period, and will the breadth of
leadership continue wider than in the past several years. A relatively strong
earnings environment for mid-cap companies could provide the backdrop necessary
for strong performance for the Index 400 companies. These companies as a whole
sell at valuation levels slightly under the S&P 500 Index where larger cap
stocks dominate the valuations.
32
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ ------- ----------- ----------
<S> <C> <C> <C>
Qualcomm, Inc. ............................................. 2,300 $ 330,050 2.3%
Best Buy Company, Inc. ..................................... 3,200 216,000 1.5%
E*Trade Group, Inc. ........................................ 3,900 155,756 1.1%
Linear Technology Corporation............................... 2,300 154,675 1.1%
Biogen, Inc. ............................................... 2,400 154,350 1.1%
Xilinx, Inc. ............................................... 2,500 143,125 1.0%
Maxim Integrated Products................................... 2,100 139,650 0.9%
Lexmark International Group................................. 2,000 132,125 0.9%
Harley-Davidson, Inc. ...................................... 2,300 125,062 0.8%
VERITAS Software Corporation................................ 1,300 123,419 0.8%
----------- ----------
$ 1,674,212 11.5%
----------- ----------
----------- ----------
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other
Assets/Liabilities 3.5%
Transportation 1.1%
Communication Services 3.3%
Energy 4.2%
Basic Materials 6.0%
Capital Goods 7.9%
Health Care 8.4%
Utilities 8.7%
Consumer Staples 10.7%
Financial 11.8%
Consumer Cyclical 16.7%
Technology 17.7%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN INDEX 400 MID-CAP PORTFOLIO, S&P 400 MIDCAP
INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C>
One year 16.51%
Since inception (October 1, 1997) 14.15%
(Thousands) Index 400 S&P 400
Mid-Cap Portfolio MidCap Index CPI
10/1/97 $10,000 $10,000 $10,000
12/31/97 $10,006 $10,083 $10,019
12/31/98 $11,675 $12,008 $10,179
6/30/99 $12,604 $12,834 $10,285
</TABLE>
On the chart above you can see how the Index 400 Mid-Cap Portfolio's total
return compared to the S&P 400 MidCap Index and the Consumer Price Index. The
three lines represent the total return of a hypothetical $10,000 investment made
on the inception date of the Index 400 Mid-Cap Portfolio (October 1, 1997)
through June 30, 1999.
*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.
**S&P 400 MidCap Index consists of 400 domestic stocks chosen for market size
(median market capitalization of about $610 million), liquidity and industry
group representation. It is a market-weighted index (stock price times shares
outstanding), with each stock affecting the index in proportion to its market
value.
+"Standard & Poor's-Registered Trademark-", "S&P-Registered Trademark-",
"Standard & Poor's MidCap 400" and "S&P MidCap 400" are trademarks of the
McGraw-Hill Companies, Inc. and have been licensed for use by the Advantus
Series Fund, Inc.--Index 400 Mid-Cap 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.
33
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
MICHAEL J. KELLY
J.P. MORGAN INVESTMENT MANAGEMENT
The Macro-Cap Value
Portfolio seeks to provide
high total return. It
pursues this objective by
investing in equity
securities that the
sub-adviser believes,
through the use of
dividend discount models,
to be undervalued relative
to their long-term
earnings power, creating a
diversified portfolio of
equity securities which
typically will have a
price/ earnings ratio and
price to book ratio that
reflects a value
orientation. While
Advantus Capital
Management, Inc. acts as
investment advisor for the
Portfolio, J.P. Morgan
Investment Management Inc.
provides investment advice
to the Macro-Cap Value
Portfolio under a
subadvisory agreement.
MACRO-CAP VALUE PORTFOLIO
PERFORMANCE
The Advantus Series Fund Macro-Cap Value Portfolio returned 10.39 percent* for
the six-month period ended June 30, 1999. The S&P 500 Index** returned 12.35
percent for the same period.
PERFORMANCE ANALYSIS
U.S. equity markets were pulled in opposing directions during the first half of
1999. Robust first quarter earnings reports suggested that corporate profits
would be healthier than originally anticipated; but strong growth prospects sent
a chill through the bond market. At the same time, early indications of an
improving GLOBAL economic scene shifted Federal Reserve focus from supporting
liquidity to preventing domestic over-heating, culminating in a rate hike on the
last day of the period. Against this backdrop, cyclical sectors, such as Basic
Industry and Capital Goods, suddenly showed surprising vigor. Through this
turbulence, however, the strength and consistency of S&P 500 Index** returns
remained remarkable: the S&P 500 Index** has now achieved double digit gains on
a trailing four quarter basis 17 of the last 18 quarters.
The true hallmark of this period was the dramatic reversal of prevailing trends:
the largest stocks underperformed the broader market, and value outperformed
growth. Signs of an improving global economy proved the catalyst. Fears of a
looming deflationary spiral faded, stimulating investor appetite for more
cyclical, economically sensitive sectors. Meanwhile, prospects for global
reflation dramatically altered interest rate expectations. Thus, investors were
less willing to pay up for growth as it was easier to come by, and was being
discounted at higher rates.
Portfolio results benefited from the market's rotation out of the high-priced,
mega-cap growth names and into a broader collection of stocks. Our valuation
discipline kept the Portfolio concentrated in stocks which our analysts have
identified as being the most attractively priced relative to their long-term
fundamentals. Conversely, we continued to underweight the "Nifty Fifty" stocks,
which underperformed during the period.
Stock selection in the Technology sector led the Portfolio. The tilt toward
Internet infrastructure companies, such as SUN MICROSYSTEMS (high-end servers),
EMC CORP. (storage), and CISCO SYSTEMS (networking) significantly boosted
relative returns. We were also overweight TEXAS INSTRUMENTS, whose more cyclical
characteristics and digital signal processor prowess gained favor with investors
during the period.
Multi-sector portfolio holdings also outpaced their S&P counterparts. Higher
earnings expectations drove TYCO INTERNATIONAL shares higher. Strong earnings
and industry consolidation propelled REPUBLIC SERVICES' stock. Results were also
helped by not holding GENERAL ELECTRIC, which turned in a comparably dull
performance for the six months ended June 30, 1999.
OUTLOOK
Going forward, we expect the market to continue to broaden. The largest stocks
still trade at a considerable premium to the rest of the market (37x earnings,
versus 26x) at a time when global economic recovery should disproportionately
improve prospects for cyclical companies. As valuation creeps back into
consideration, we are confident that our research-driven, disciplined investment
approach will deliver stellar results.
34
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
% OF
MARKET STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ ------- ----------- ----------
<S> <C> <C> <C>
Tyco International Ltd. .................................... 6,866 $ 650,553 3.8%
BankAmerica Corporation..................................... 8,707 638,332 3.7%
SBC Communications, Inc. ................................... 9,700 562,600 3.3%
MCI Worldcom, Inc. ......................................... 6,385 549,509 3.2%
Microsoft Corporation....................................... 5,900 532,106 3.1%
Waste Management, Inc. ..................................... 9,755 524,331 3.1%
Cisco Systems, Inc. ........................................ 7,800 502,613 3.0%
International Business Machines............................. 3,800 491,150 2.9%
Philip Morris Companies, Inc. .............................. 11,100 446,081 2.6%
Procter & Gamble Company.................................... 4,700 419,475 2.5%
----------- ----------
$ 5,316,750 31.2%
----------- ----------
----------- ----------
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other
Assets/Liabilities 1.7%
Utilities 1.6%
Transportation 2.0%
Energy 4.9%
Basic Materials 6.8%
Communication Services 8.3%
Health Care 8.4%
Consumer Cyclical 9.9%
Consumer Staples 10.9%
Capital Goods 11.1%
Financial 17.0%
Technology 17.4%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN MACRO-CAP VALUE PORTFOLIO,
S&P 500 INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C>
One year 19.86%
Since inception (October 15, 1997) 17.72%
Macro-Cap
(Thousands) Value Portfolio S&P 500 Index CPI
10/15/97 $10,000 $10,000 $10,000
12/31/97 $9,787 $10,287 $10,019
12/31/98 $11,973 $13,227 $10,179
6/30/99 $13,217 $14,860 $10,285
</TABLE>
On the chart above you can see how the Macro-Cap Value Portfolio's total return
compared to the S&P 500 Index (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 the inception date of the Macro-Cap
Value Portfolio (October 15, 1997) through June 30, 1999 and on October 1, 1997
through June 30, 1999 for the S&P 500 Index and the Consumer Price Index.
*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 Index is a broad, unmanaged index of 500 common stocks which are
representative of the U.S. stock market overall.
35
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
[PHOTO]
[PHOTO]
WILLIAM JEFFREY, III,
KENNETH F. MCCAIN AND
DAVID A. BARATTA
WALL STREET ASSOCIATES
The Micro-Cap Growth
Portfolio seeks long-term
capital appreciation. It
pursues this objective by
investing primarily in
equity securities of
smaller companies which
the sub-adviser believes
are in an early stage or
transitional point in
their development and have
demonstrated or have the
potential for above
average revenue growth. It
will invest primarily in
common stocks and stock
equivalents of micro-cap
companies. While Advantus
Capital Management, Inc.
acts as investment advisor
for the Portfolio, Wall
Street Associates provides
investment advice to the
Micro-Cap Growth Portfolio
under a subadvisory
agreement.
MICRO-CAP GROWTH PORTFOLIO
PERFORMANCE
For the six-month period ended June 30, 1999, the Micro-Cap Growth Portfolio
returned 27.10 percent.* The Russell 2000 Index** gained 9.28 percent and the
Russell 2000 Growth Index** rose 12.82 percent for the same period. By
comparison, for the same period, the S&P 500 Index+ gained 12.35 percent.
PERFORMANCE ANALYSIS
Despite solid earnings growth, investors shunned small-cap stocks for much of
the first quarter, sending emerging growth stocks on one of the longest losing
streaks on record. Investor's demand for liquidity caused relative valuations to
sink to 40-year lows. Small-caps then flourished in the second quarter, earning
more than double the return of their larger capitalization counterparts. In the
second quarter small-caps outpaced large-cap stocks for the first time in seven
quarters.
Stock selection and significant weighting in technology and technology-related
stocks drove the Portfolio's performance. Investments in utilities and energy
also performed quite well though comprised a smaller portion of Portfolio
assets.
OUTLOOK
Over the last three months, small-cap stocks have demonstrated strong
performance vis-a-vis larger stocks. Is this the start of the long-awaited
small-cap rally? If small-cap earnings remain strong and inflation stays in
check, it very well could be.
As we have said repeatedly over the last several quarters, small-cap stocks are
very attractively valued, especially relative to larger-cap securities. However,
liquidity-driven investors have been hesitant to embrace the bargains found in
the small-cap segment of the market. Now, given the declining earnings
environment facing larger companies, investors have begun to reexamine small-cap
stocks, which are expected to provide higher earnings growth rates. We expect
that small-caps should likely continue to outperform as long as they are able to
produce strong earnings, relative to large-cap issues.
Current economic conditions are favorable and recent data suggests the economic
expansion is under control. Gains in productivity have helped keep a lid on
inflation, consumer spending has eased slightly and new construction spending
has started to decline. The Federal Reserve raised rates just a quarter percent
on June 30, and indicated its outlook on the economy is neutral. As the economy
starts to slow, small-cap companies that are able to generate higher earnings
growth potential will attract investors and will likely outperform the broader
market.
36
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ ------- ----------- ----------
<S> <C> <C> <C>
Emulex Corporation.......................................... 3,500 $ 389,156 3.2%
RF Micro Devices, Inc. ..................................... 4,800 358,200 3.0%
Viatel, Inc. ............................................... 6,200 347,975 2.9%
Metromedia Fiber Network.................................... 8,600 309,062 2.6%
Pervasive Software, Inc. ................................... 11,600 288,550 2.4%
Applied Micro Circuits Corporation.......................... 3,300 271,425 2.2%
Telebanc Financial Corporation.............................. 7,000 271,250 2.2%
Concentric Network Corporation.............................. 6,800 270,300 2.2%
Genesis Microchip, Inc. .................................... 10,000 236,250 2.0%
Galileo Technology Ltd. .................................... 5,200 235,625 1.9%
----------- ---
$ 2,977,793 24.6%
----------- ---
----------- ---
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other
Assets/Liabilities 11.3%
Transportation .3%
Capital Goods .8%
Financial 2.0%
Energy 3.5%
Consumer Staples 4.3%
Health Care 7.4%
Communication Services 10.6%
Consumer Cyclical 17.6%
Technology 42.2%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN MICRO-CAP GROWTH PORTFOLIO,
RUSSELL 2000 GROWTH INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C>
One year 31.95%
Since inception (October 1, 1997) 13.69%
(Thousands) Micro-Cap Russell 2000
Growth Portfolio Growth Index CPI
10/01/97 $10,000 $10,000 $10,000
12/31/97 $8,680 $9,181 $10,019
12/31/98 $9,846 $9,295 $10,179
6/30/99 $12,515 $10,487 $10,285
</TABLE>
On the chart above you can see how the Micro-Cap Growth Portfolio's total return
compared to the Russell 2000 Growth Index and the Consumer Price Index. The
three lines represent the total return of a hypothetical $10,000 investment made
on the inception date of the Micro-Cap Growth Portfolio (October 1, 1997)
through June 30, 1999.
*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 2000 Growth Index contains those stocks from the Russell 2000 with
a greater than average growth orientation. The Russell 2000 is the 2,000
smallest 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 Index is a broad, unmanaged index of 500 common stocks which are
representative of the U.S. stock market overall.
37
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
JOE BETLEJ, CFA
PORTFOLIO MANAGER
The Real Estate Securities
Portfolio seeks
above-average income and
long-term growth of
capital. The Portfolio
intends to pursue its
objective by investing
primarily in equity
securities of companies in
the real estate industry.
REAL ESTATE SECURITIES PORTFOLIO
PERFORMANCE
The Real Estate Securities Portfolio returned 6.39 percent* for the six-month
period ended June 30, 1999. This compares to the Wilshire Associates Real Estate
Securities Index (WARESI)** return of 6.72 percent for the same period.
PERFORMANCE ANALYSIS
The first six months of 1999 were a transformation for the real estate sector.
During the first quarter of 1999, the real estate securities market consolidated
in a number of ways. These moves were in response to the poor performance posted
by real estate stocks in 1998, including concerns of overbuilding, and a
withdrawal of capital from the real estate markets. Investors consolidated into
the larger, more liquid real estate stocks that they thought would perform
better when capital returned to the group. Construction lenders, who had become
more concerned about the amount of new development relative to demand for more
real estate, cut back on new fundings. These changes helped the sector turn the
corner in early second quarter. Investors recognized the deep discount this
sector was trading at relative to the broader market.
The dividend yield for Real Estate Investment Trusts (REITs) was very high.
Investors can be assured that the high dividend is in step with safety and
quality. New construction numbers continued to turn down. Real estate companies
were trading at deep discounts to the underlying value of their real estate. The
fundamentals for the underlying real estate as well as real estate securities
continued to grow. The companies were also becoming more intelligent by
modifying and more clearly stating their business plans of generating long term
growth without the need for new equity capital--these companies could sustain
growth without new equity offerings.
The market sentiment changed in mid-April. Perhaps the sector valuations became
too cheap. Capital started to flow back to real estate securities. Investors
began to rally the group, sparked by a well-publicized personal investment in
two REITs by Warren Buffet, in effect, legitimizing the investment in real
estate securities again. In the second quarter, the Wilshire Associates Real
Estate Securities Index** posted a return of 10.62 percent, reflecting the
change in investor sentiment. Apartment, Office, and Office/Industrial companies
led performance. Apartment companies have continued to generate strong
same-store income growth. Office properties have shown substantial gains in
rental rates upon expiration and renewal of lease terms. These property types
also exhibited multiples that were at a discount to their expected growth rates,
providing an opportunity for value investors to profit. We remain cautious
regarding these groups as prosperity typically encourages new development. We
continue to watch company exposure within submarkets to see that demand keeps
pace with new supply.
Weaker performing groups include Hotel REITs, Regional Mall, and Shopping Center
Retail companies. The retail companies sold off strong at the beginning of the
year with fears that Internet retailing would remove the necessity for
site-based retail. These companies began to perform better later in the first
half of 1999 after these companies began to show their competitive strengths and
investors could not pass up the deep discount valuations. Hotel REITs came under
pressure as a few companies announced weaker revenues per available room due to
increased amount of new supply, particularly in the limited service hotels. We
expect this trend to hold for the balance of the year for the hotel sector until
the new supply is absorbed by market demand. We enhanced our holdings in real
estate related companies, helping our performance and diversifying a bit from
REIT securities. Additions to the portfolio included Home Depot,
Newell-Rubbermaid, and Cendant Corporation. Although these companies do not
directly own significant amounts of real estate, the quality of their business
is driven by the strength of the real estate markets, providing the Portfolio
with additional ways to drive performance.
OUTLOOK
Real estate securities have begun retracing some of 1998's losses and have
rebuilt confidence in the sector. We believe that these stocks will continue to
generate total returns consistent with the low-to-mid teen's range. Earnings
quality remains high, rental rates are increasing, companies are becoming more
efficient operators, and new construction is slowing down across most property
types providing a strong base of fundamentals to drive this sector. The rise in
interest rates has diminished the yield premium that REITs have delivered over
fixed income investments, perhaps dampening some demand from interest rate
sensitive buyers. We do feel, however, that dividend quality remains strong. The
real estate companies are showing strong capital management plans by becoming
self-sustaining; they are generating new investment capital from asset sales and
remaining less dependent on new issuance of equity for growth opportunities.
While real estate companies as a group are trading at approximately the
underlying value of the assets of these companies, their stock should command a
premium for the liquidity and management that the public market format provides.
We remain confident in the group going forward.
38
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------------------------------------------------------------ -------- ------------- ----------
<S> <C> <C> <C>
Public Storage, Inc......................................... 8,316 $ 232,848 4.0%
Apartment Investment and Management......................... 5,260 224,865 3.9%
Avalon Bay Communities, Inc................................. 6,050 223,850 3.8%
Catellus Development Corporation............................ 13,000 201,500 3.5%
Macerich Company............................................ 7,600 199,500 3.4%
Highwoods Properties, Inc................................... 6,700 183,831 3.2%
Starwood Lodging Trust...................................... 6,000 183,375 3.2%
Kilroy Realty............................................... 7,400 179,913 3.1%
Meristar Hospitality Corporation............................ 8,000 179,500 3.1%
Archstone Communities Trust................................. 7,600 166,725 2.9%
------------- ---
$ 1,975,907 34.1%
------------- ---
------------- ---
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other
Assets/Liabilities 6.0%
Consumer Staples .8%
Consumer Cyclical 14.1%
Financial 79.1%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN REAL ESTATE SECURITIES PORTFOLIO,
WILSHIRE ASSOCIATES REAL ESTATE SECURITIES INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
<S> <C> <C> <C>
One year -5.89%
Since inception (October 1, 1997) -8.17%
Real Estate Wilshire Associates
Securities Real Estate Securities
(Thousands) Portfolio Index CPI
05/01/98 $10,000 $10,000 $10,000
12/31/98 $8,510 $8,568 $10,098
06/30/99 $9,053 $9,144 $10,203
</TABLE>
On the chart above you can see how the Real Estate Securities Portfolio's total
return compared to the Wilshire Associates Real Estate Securities Index and the
Consumer Price Index. The three lines represent the total return of a
hypothetical $10,000 investment made on the inception date of the Real Estate
Securities Portfolio (May 1, 1998) through June 30, 1999.
*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 Wilshire Associates Real Estate Securities Index is a market
capitalization-weighted index of equity securities whose primary business is
equity ownership of commercial real estate (REITS).
39
<PAGE>
GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- ------------------
<C> <S> <C>
COMMON STOCK (98.7%)
CAPITAL GOODS (11.7%)
Electrical Equipment (6.5%)
286,200 General Electric Company......................... $ 32,340,600
------------------
Manufacturing (3.1%)
167,542 Tyco International, Ltd.......................... 15,874,604
------------------
Office Equipment (2.1%)
162,100 Lexmark International Group, Inc. (b)............ 10,708,731
------------------
COMMUNICATION SERVICES (2.5%)
Telecommunication (2.5%)
144,958 MCI Worldcom, Inc. (b)........................... 12,502,628
------------------
CONSUMER CYCLICAL (15.7%)
Auto (1.5%)
132,900 Danaher Corporation.............................. 7,724,812
------------------
Houseware (1.2%)
213,600 Leggett & Platt, Inc............................. 5,940,750
------------------
Leisure (1.5%)
173,400 Royal Caribbean Cruises Ltd...................... 7,586,250
------------------
Retail (7.0%)
538,500 Family Dollar Stores............................. 12,924,000
169,400 Home Depot, Inc.................................. 10,915,712
237,700 Wal-Mart Stores.................................. 11,469,025
------------------
35,308,737
------------------
Service (4.5%)
194,400 Cendant Corporation (b).......................... 3,985,200
165,900 Omnicom Group.................................... 13,272,000
133,300 Quintiles Transnational (b)...................... 5,598,600
------------------
22,855,800
------------------
CONSUMER STAPLES (10.9%)
Entertainment (3.1%)
172,600 Carnival Corporation............................. 8,371,100
99,600 Time Warner, Inc................................. 7,320,600
------------------
15,691,700
------------------
Food & Health (1.3%)
157,000 U.S. Foodservice (b)............................. 6,692,125
------------------
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- ------------------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
Household Products (2.9%)
262,500 Dial............................................. $ 9,761,719
55,900 Procter & Gamble Company......................... 4,989,075
------------------
14,750,794
------------------
Retail (2.2%)
219,600 Safeway, Inc. (b)................................ 10,870,200
------------------
Service (1.4%)
158,200 Automatic Data Processing, Inc................... 6,960,800
------------------
FINANCIAL (7.7%)
Finance--Diversified (2.2%)
192,600 Federal Home Loan Mortgage Corporation........... 11,170,800
------------------
Insurance (2.8%)
66,138 American International Group..................... 7,742,280
58,300 Hartford Life.................................... 3,068,037
75,200 Nationwide Financial Services.................... 3,402,800
------------------
14,213,117
------------------
Investment Bankers/Brokers (2.7%)
110,400 Knight/Trimark Group, Inc. (b)................... 6,658,500
175,500 T. Rowe Price Associates......................... 6,734,812
------------------
13,393,312
------------------
HEALTH CARE (18.9%)
Drugs (10.7%)
70,900 American Home Products Corporation............... 4,076,750
200,200 Bristol-Myers Squibb Company..................... 14,101,587
49,800 Eli Lilly & Company.............................. 3,566,925
191,900 Merck & Co., Inc................................. 14,200,600
78,700 Pfizer, Inc...................................... 8,637,325
174,900 Schering Plough Corporation...................... 9,269,700
------------------
53,852,887
------------------
</TABLE>
See accompanying notes to investments in securities.
40
<PAGE>
GROWTH PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- ------------------
<C> <S> <C>
HEALTH CARE--CONTINUED
Health Care--Diversified (2.4%)
82,000 Johnson & Johnson................................ $ 8,036,000
59,100 Warner-Lambert Company........................... 4,100,062
------------------
12,136,062
------------------
Hospital Management (1.0%)
436,900 Health Management Associates, Inc. (b)........... 4,915,125
------------------
Medical Products/Supplies (4.8%)
114,000 Boston Scientific Corporation (b)................ 5,008,875
176,500 Guidant Corporation.............................. 9,078,719
372,200 Sybron International Corporation (b)............. 10,258,763
------------------
24,346,357
------------------
TECHNOLOGY (30.3%)
94,600 America Online, Inc. (b)......................... 10,453,300
94,600 BMC Software, Inc. (b)........................... 5,108,400
319,400 Cisco Systems, Inc. (b).......................... 20,601,300
181,500 Dell Computer Corporation (b).................... 6,715,500
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- ------------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
173,800 EMC Corporation (b).............................. $ 9,559,000
184,400 Galileo International, Inc....................... 9,853,875
291,000 Intel............................................ 17,314,500
230,800 Lucent Technologies, Inc......................... 15,564,575
324,100 Microsoft Corporation (b)........................ 29,229,769
79,500 Nokia Oyj (c).................................... 7,279,219
299,300 Nova Corporation (b)............................. 7,482,500
85,400 Sun Microsystems, Inc. (b)....................... 5,881,925
203,000 Unisys Corporation (b)........................... 7,904,313
------------------
152,948,176
------------------
UTILITIES (1.0%)
Electric Companies (1.0%)
86,700 AES Corporation (b).............................. 5,039,438
------------------
Total common stock (cost: $335,023,511)..................... 497,823,805
------------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ----------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (1.3%)
$ 256,178 Temporary Investment Fund--Temp Fund Portfolio, current rate 256,178
4.830%.............................................................
6,370,000 Federal Home Loan Mortgage Corporation............ 4.822% 07/14/99 6,358,866
------------
Total short-term securities (cost: $6,615,258)...................... 6,615,044
------------
Total investments in securities (cost: $341,638,769) (d)............ $504,438,849
------------
------------
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held 1.4% of net assets in foreign securities as of June 30,
1999.
(d) At June 30, 1999 the cost of securities for federal income tax purposes was
$342,661,090. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $167,887,115
Gross unrealized depreciation.......... (6,109,356)
------------
Net unrealized appreciation............ $161,777,759
------------
------------
</TABLE>
41
<PAGE>
BOND PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(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 (92.0%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (33.1%)
Federal Home Loan Mortgage Corporation (FHLMC) (.2%)
$ 328,669 ................................................. 6.500% 12/01/23 $ 318,495
------------------
Federal National Mortgage Association (FNMA) (2.3%)
2,000,000 ................................................. 6.000% 05/15/08 1,934,022
979,091 ................................................. 6.000% 09/01/28 921,945
490,771 ................................................. 6.500% 10/01/28 471,420
750,000 (d).............................................. 7.000% 07/01/29 742,031
------------------
4,069,418
------------------
Government National Mortgage Association (GNMA) (5.3%)
1,352,121 ................................................. 6.000% 07/15/28 1,267,931
3,713,925 ................................................. 6.500% 09/15/28 3,581,598
576,481 ................................................. 7.000% 11/15/23 571,289
355,309 ................................................. 7.000% 10/15/25 351,467
548,003 ................................................. 7.000% 03/15/26 541,777
417,151 ................................................. 7.000% 05/15/26 412,412
549,242 ................................................. 7.500% 06/15/28 555,569
1,393,611 ................................................. 7.500% 10/15/28 1,409,664
248,150 ................................................. 8.000% 09/15/24 255,215
149,976 ................................................. 8.500% 10/15/22 157,305
151,004 ................................................. 8.500% 12/15/22 158,382
------------------
9,262,609
------------------
U.S. Treasury (25.3%)
7,500,000 U.S. Treasury Bond............................... 5.625% 02/15/06 7,385,160
4,000,000 U.S. Treasury Bond............................... 5.750% 11/30/02 4,005,000
5,500,000 U.S. Treasury Bond............................... 5.875% 11/15/05 5,496,563
6,000,000 U.S. Treasury Bond............................... 6.000% 07/31/02 6,060,000
2,550,000 U.S. Treasury Bond............................... 6.000% 02/15/26 2,479,875
8,800,000 U.S. Treasury Bond............................... 6.625% 03/31/02 9,020,000
8,400,000 U.S. Treasury Note............................... 5.250% 08/15/03 8,253,000
2,550,000 U.S. Treasury Strip (e).......................... 4.980% 05/15/06 1,697,482
------------------
44,397,080
------------------
Total U.S. government and agencies obligations (cost:
$59,303,505)....................................................... 58,047,602
------------------
CORPORATE OBLIGATIONS (58.9%)
BASIC MATERIALS (10.0%)
Chemicals (7.6%)
2,500,000 BF Goodrich Company.............................. 6.600% 05/15/09 2,395,150
4,000,000 BF Goodrich Company.............................. 9.625% 07/01/01 4,233,856
4,000,000 IMC Global, Inc.................................. 6.625% 10/15/01 3,985,012
2,687,003 Novartis AG 144A Issue (c)....................... 7.240% 01/02/16 2,658,762
------------------
13,272,780
------------------
</TABLE>
See accompanying notes to investments in securities.
42
<PAGE>
BOND PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ---------- ------------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--CONTINUED
Paper and Forest (2.4%)
$4,150,000 International Paper Company...................... 6.875% 07/10/00 $ 4,168,638
------------------
CAPITAL GOODS (2.8%)
Aerospace/Defense (2.8%)
1,000,000 Raytheon Company................................. 5.950% 03/15/01 996,272
4,250,000 Raytheon Company................................. 6.400% 12/15/18 3,827,712
------------------
4,823,984
------------------
COMMUNICATION SERVICES (4.7%)
Telephone (4.7%)
5,000,000 AT&T Corporation................................. 6.500% 03/15/29 4,496,930
4,000,000 GTE Corporation.................................. 6.940% 04/15/28 3,803,120
------------------
8,300,050
------------------
CONSUMER CYCLICAL (2.7%)
Auto (2.7%)
5,000,000 Meritor Automotive, Inc.......................... 6.800% 02/15/09 4,731,245
------------------
CONSUMER STAPLES (7.2%)
Broadcasting (2.6%)
5,000,000 British Sky Broadcasting......................... 6.875% 02/23/09 4,559,580
------------------
Entertainment (2.3%)
3,500,000 Time Warner, Inc................................. 9.125% 01/15/13 3,989,342
------------------
Household Products (2.3%)
3,850,000 Premark International, Inc....................... 10.500% 09/15/00 4,024,578
------------------
ENERGY (2.4%)
Oil (2.4%)
4,500,000 Conoco, Inc...................................... 6.950% 04/15/29 4,203,144
------------------
FINANCIAL (19.5%)
Asset-Backed Securities (.7%)
1,350,000 National Collegiate.............................. 7.240% 09/20/14 1,271,376
------------------
Banks (4.9%)
5,500,000 PNC Bank Corporation............................. 6.728% 01/25/07 5,524,255
3,400,000 St. George Bank Capital Note 144A Issue (b)(c)... 8.485% 12/31/49 3,028,026
------------------
8,552,281
------------------
Collateralized Mortgage Obligations/Mortgage Revenue Bonds (2.3%)
935,000 California Housing Finance Agency................ 8.160% 02/01/28 982,161
1,200,000 CSFB Finance Company 144A Issue (c).............. 5.969% 11/15/05 1,090,125
1,544,073 Prudential Home Mortgage Securities.............. 6.050% 04/25/24 1,448,649
588,000 Wyoming Community Development.................... 6.850% 06/01/10 588,000
------------------
4,108,935
------------------
Commercial Finance (2.8%)
5,000,000 General Electric Capital Corporation............. 6.290% 12/15/07 4,998,645
------------------
</TABLE>
See accompanying notes to investments in securities.
43
<PAGE>
BOND PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ---------- ------------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--CONTINUED
Insurance (3.8%)
$4,425,000 Conseco Financing Trust II....................... 8.700% 11/15/26 $ 4,043,118
2,950,000 Unum Corporation................................. 6.750% 12/15/28 2,693,152
------------------
6,736,270
------------------
Investment Bankers/Brokers (2.8%)
5,000,000 Morgan Stanley Dean Witter....................... 6.875% 03/01/07 4,955,290
------------------
Real Estate Investment Trust (.5%)
1,000,000 Security Capital Pacific Trust................... 7.500% 02/15/14 963,371
------------------
Savings and Loans (1.7%)
3,000,000 Bank United Corporation.......................... 8.875% 05/01/07 3,002,742
------------------
HEALTH CARE (1.6%)
Medical Products/Supplies (1.6%)
3,000,000 Tyco International Group......................... 6.875% 01/15/29 2,740,170
------------------
UTILITIES (8.0%)
Electric Companies (5.1%)
5,000,000 Georgia Power Company............................ 5.500% 12/01/05 4,680,995
4,000,000 Hydro-Quebec Debentures (b)...................... 8.000% 02/01/13 4,290,440
------------------
8,971,435
------------------
Natural Gas (2.9%)
5,250,000 Enron Corporation................................ 6.725% 11/15/37 5,103,593
------------------
Total corporate obligations (cost: $108,332,998).................... 103,477,449
------------------
Total long-term debt securities (cost: $167,636,503)................ 161,525,051
------------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
- ----------
<C> <S> <C>
PREFERRED STOCK (5.1%)
FINANCIAL (5.1%)
Real Estate Investment Trust (5.1%)
70,000 Duke Realty Investments, Inc. 7.99%........................................ 3,154,375
35,000 Nationwide Health Properties, Inc. 7.68%................................... 3,198,125
60,000 Prologis Trust 8.54%....................................................... 2,643,750
------------
8,996,250
------------
Total preferred stock (cost: $9,955,725)................................... 8,996,250
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ----------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (1.5%)
$2,652,553 Temporary Investment Fund--Temp Fund Portfolio, current rate 4.830%....... 2,652,553
------------
Total short-term securities (cost: $2,652,553)............................ 2,652,553
------------
Total investments in securities (cost: $180,244,781)(f)................... $173,173,854
------------
------------
</TABLE>
See accompanying notes to investments in securities.
44
<PAGE>
BOND 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) The Portfolio held 4.2% of net assets in foreign securities at June 30,
1999.
(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 7 to the financial statements.) Information concerning the
illiquid securities held at June 30, 1999, which includes acquisition date
and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
- ------------------------------------------ ----------- ----------
<S> <C> <C>
CSFB Financial Company 144A Issue......... 05/15/96 $1,167,750
Novartis AG 144A Issue.................... 12/24/96 2,687,003
St. George Bank 144A Issue................ 06/12/97 3,400,000
----------
$7,254,753
----------
----------
</TABLE>
(d) At June 30, 1999 the total cost of investments issued on a when-issued or
forward commitment basis is $740,625.
(e) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(f) At June 30, 1999 the cost of securities for federal income tax purposes was
$180,405,120. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......................... $ 69,304
Gross unrealized depreciation.......................... (7,300,570)
-----------
Net unrealized depreciation............................ $(7,231,266)
-----------
-----------
</TABLE>
45
<PAGE>
MONEY MARKET PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ---------- ------------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (99.4%)
BASIC MATERIALS (14.6%)
Agriculture Products (5.5%)
$1,045,000 Archer-Daniels Midland Company................... 5.056% 07/13/99 $ 1,043,266
4,255,000 Archer-Daniels Midland Company................... 4.908% 08/12/99 4,231,106
2,410,000 Cargill, Inc..................................... 5.093% 02/02/00 2,339,225
------------------
7,613,597
------------------
Chemicals (9.1%)
6,015,000 E.I. DuPont De Nemours & Company................. 5.005% 11/23/99 5,897,732
1,160,000 Monsanto Company (c)............................. 4.966% 07/06/99 1,159,211
4,590,000 Monsanto Company (c)............................. 5.005% 09/15/99 4,542,660
1,000,000 Monsanto Company (c)............................. 5.031% 10/07/99 986,672
------------------
12,586,275
------------------
CAPITAL GOODS (3.8%)
Electrical Equipment (3.8%)
1,285,000 Emerson Electric Company......................... 5.473% 01/18/00 1,247,312
2,540,000 Emerson Electric Company......................... 5.441% 01/21/00 2,464,831
1,655,000 Emerson Electric Company......................... 5.475% 01/27/00 1,604,285
------------------
5,316,428
------------------
COMMUNICATION SERVICES (12.3%)
Telephone (12.3%)
1,235,000 AT&T Corporation................................. 4.903% 07/15/99 1,232,682
5,915,000 AT&T Corporation................................. 4.864% 07/26/99 5,895,359
3,025,000 Bellsouth Telecommunications..................... 5.234% 08/24/99 3,001,758
1,765,000 Bellsouth Telecommunications..................... 5.331% 09/13/99 1,746,129
1,190,000 Bellsouth Telephone.............................. 4.927% 07/19/99 1,187,115
3,910,000 GTE Funding...................................... 5.107% 07/16/99 3,901,811
------------------
16,964,854
------------------
CONSUMER CYCLICAL (4.1%)
Publishing (4.1%)
2,730,000 McGraw-Hill Companies, Inc....................... 4.894% 07/14/99 2,725,250
3,035,000 McGraw-Hill Companies, Inc....................... 5.031% 09/09/99 3,005,996
------------------
5,731,246
------------------
CONSUMER STAPLES (21.6%)
Beverage (4.8%)
1,000,000 Coca-Cola Enterprises............................ 4.870% 07/16/99 998,003
2,045,000 Coca-Cola Enterprises............................ 4.874% 07/20/99 2,039,824
2,635,000 Coca-Cola Enterprises............................ 4.946% 09/03/99 2,612,344
1,040,000 Coca-Cola Enterprises............................ 5.475% 01/20/00 1,009,187
------------------
6,659,358
------------------
</TABLE>
See accompanying notes to investments in securities.
46
<PAGE>
MONEY MARKET PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ---------- ------------------
<C> <S> <C> <C> <C>
CONSUMER STAPLES--CONTINUED
Entertainment (4.4%)
$5,130,000 Walt Disney Company.............................. 4.871% 07/28/99 $ 5,111,580
1,015,000 Walt Disney Company.............................. 4.959% 11/17/99 996,188
------------------
6,107,768
------------------
Food (7.3%)
2,005,000 Bestfood (c)..................................... 5.038% 07/14/99 2,001,409
2,000,000 General Mills, Inc............................... 5.091% 11/19/99 1,961,422
4,975,000 General Mills, Inc............................... 5.238% 02/01/00 4,825,534
1,275,000 HJ Heinz Company................................. 4.956% 08/04/99 1,269,141
------------------
10,057,506
------------------
Household Products (5.1%)
5,340,000 Clorox Company................................... 4.931% 07/08/99 5,334,955
1,675,000 Clorox Company................................... 4.892% 07/21/99 1,670,522
------------------
7,005,477
------------------
ENERGY (2.2%)
Oil & Gas (2.2%)
3,025,000 Shell Oil........................................ 4.959% 08/10/99 3,008,648
------------------
FINANCIAL (21.2%)
Auto Finance (2.8%)
1,010,000 Ford Motor Credit................................ 4.957% 08/06/99 1,005,162
1,195,000 Ford Motor Credit................................ 5.155% 08/31/99 1,184,792
1,625,000 General Motors Acceptance Corporation............ 4.993% 08/26/99 1,612,647
------------------
3,802,601
------------------
Commercial Finance (9.9%)
6,730,000 Bell Atlantic Corporation........................ 4.918% 07/06/99 6,725,469
4,830,000 G.E. Capital Corporation......................... 4.959% 08/02/99 4,809,094
2,170,000 G.E. Capital Corporation......................... 5.083% 11/22/99 2,127,340
------------------
13,661,903
------------------
Consumer Finance (7.0%)
2,325,000 Associates Corporation of North America.......... 5.029% 01/24/00 2,260,339
4,715,000 Ciesco LP........................................ 4.887% 07/12/99 4,708,067
2,720,000 Ciesco LP........................................ 5.111% 09/07/99 2,694,343
------------------
9,662,749
------------------
Finance--Diversified (1.5%)
2,075,000 American General Corporation..................... 4.472% 07/23/99 2,069,422
------------------
HEALTH CARE (11.5%)
Drugs (6.7%)
1,660,000 American Home Products Corporation (c)........... 4.905% 07/29/99 1,653,777
1,085,000 American Home Products Corporation (c)........... 5.103% 08/16/99 1,078,067
1,295,000 American Home Products Corporation (c)........... 4.927% 08/20/99 1,286,319
</TABLE>
See accompanying notes to investments in securities.
47
<PAGE>
MONEY MARKET PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ---------- ------------------
<C> <S> <C> <C> <C>
HEALTH CARE--CONTINUED
$1,960,000 Schering Corporation............................. 4.905% 07/07/99 $ 1,958,421
3,310,000 Schering Corporation............................. 4.863% 07/21/99 3,301,204
------------------
9,277,788
------------------
Health Care--Diversified (4.8%)
2,315,000 Johnson & Johnson (c)............................ 4.922% 08/18/99 2,300,113
2,755,000 Johnson & Johnson (c)............................ 4.945% 10/04/99 2,719,993
1,705,000 Johnson & Johnson (c)............................ 4.933% 10/20/99 1,679,799
------------------
6,699,905
------------------
TECHNOLOGY (1.0%)
1,435,000 Motorola, Inc.................................... 4.905% 07/02/99 1,434,807
------------------
UTILITIES (7.1%)
Electric Companies (7.1%)
2,485,000 Alabama Power Company............................ 4.993% 07/09/99 2,482,284
2,055,000 Alabama Power Company............................ 5.000% 07/13/99 2,051,627
1,005,000 Alabama Power Company............................ 5.140% 07/22/99 1,002,036
2,020,000 Carolina Power & Light Company................... 4.935% 07/09/99 2,017,817
2,318,000 MidAmerican Energy............................... 4.993% 07/09/99 2,315,466
------------------
9,869,230
------------------
Total commercial paper (cost: $137,529,562)........................ 137,529,562
------------------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS (1.8%)
2,500,000 Federal Home Loan Bank........................... 5.000% 10/28/99 2,500,000
------------------
Total U.S. government obligations (cost: $2,500,000)............... 2,500,000
------------------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (4.8%)
6,631,780 Temporary Investment Fund--Temp Fund Portfolio, current rate 6,631,780
4.830%............................................................
------------------
Total short-term securities (cost: $6,631,780)..................... 6,631,780
------------------
Total investments in securities (cost: $146,661,342) (b)........... $ 146,661,342
------------------
------------------
</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, 1999.
(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 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.
48
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------------- ---------------
<C> <S> <C>
COMMON STOCK (66.2%)
CAPITAL GOODS (6.4%)
Electrical Equipment (3.0%)
178,552 General Electric Company.................................................. $ 20,176,376
---------------
Manufacturing (2.0%)
144,598 Tyco International, Ltd. ................................................. 13,700,660
---------------
Office Equipment (1.4%)
140,600 Lexmark International Group, Inc. (b)..................................... 9,288,387
---------------
COMMUNICATION SERVICES (1.4%)
Telecommunication (1.4%)
109,170 MCI Worldcom, Inc. (b).................................................... 9,415,912
---------------
CONSUMER CYCLICAL (11.2%)
Auto (1.0%)
123,300 Danaher Corporation....................................................... 7,166,812
---------------
Building Materials (.1%)
25,000 D.R. Horton, Inc.......................................................... 415,625
25,000 Standard Pacific Corporation.............................................. 323,437
---------------
739,062
---------------
Houseware (.8%)
185,200 Leggett & Platt, Inc...................................................... 5,150,875
---------------
Leisure (1.0%)
153,400 Royal Caribbean Cruises Ltd. (c).......................................... 6,711,250
---------------
Lodging--Hotel (.5%)
63,458 Host Marriott Corporation................................................. 753,564
50,700 Meristar Hospitality Corporation.......................................... 1,137,581
18,500 Promus Hotel Corporation (b).............................................. 573,500
34,700 Starwood Lodging Trust.................................................... 1,060,519
---------------
3,525,164
---------------
<CAPTION>
MARKET
SHARES VALUE(a)
- -------------- ---------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Retail (3.9%)
481,400 Family Dollar Stores...................................................... $ 11,553,600
141,000 Home Depot, Inc........................................................... 9,085,687
117,000 Wal-Mart Stores........................................................... 5,645,250
---------------
26,284,537
---------------
Service (3.9%)
275,300 Cendant Corporation (b)................................................... 5,643,650
31,100 Fairfield Communities, Inc. (b)........................................... 501,487
188,508 Omnicom Group............................................................. 15,080,640
117,900 Quintiles Transnational (b)............................................... 4,951,800
---------------
26,177,577
---------------
CONSUMER STAPLES (6.6%)
Entertainment (1.1%)
152,600 Carnival Corporation...................................................... 7,401,100
---------------
Food & Health (.6%)
101,200 U.S. Foodservice (b)...................................................... 4,313,650
---------------
Household Products (1.9%)
227,200 Dial...................................................................... 8,449,000
5,700 Newell Company............................................................ 265,050
45,610 Procter & Gamble Company.................................................. 4,070,692
---------------
12,784,742
---------------
Retail (1.5%)
203,984 Safeway, Inc. (b)......................................................... 10,097,208
---------------
Service (.9%)
135,500 Automatic Data Processing, Inc............................................ 5,962,000
---------------
Tobacco (.6%)
100,600 Philip Morris Companies, Inc.............................................. 4,042,862
---------------
FINANCIAL (9.9%)
Finance--Diversified (1.8%)
18,000 Asset Investors Corporation............................................... 268,875
38,600 Crescent Real Estate Equipment Company.................................... 916,750
</TABLE>
See accompanying notes to investments in securities.
49
<PAGE>
ASSET ALLOCATION PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------------- ---------------
<C> <S> <C>
FINANCIAL--CONTINUED
165,200 Federal Home Loan Mortgage Corporation.................................... $ 9,581,600
36,600 Simon Property Group, Inc. ............................................... 928,725
25,700 Trammell Crow Company (b)................................................. 422,444
---------------
12,118,394
---------------
Insurance (2.3%)
78,043 American International Group.............................................. 9,135,909
54,300 Hartford Life............................................................. 2,857,537
77,100 Nationwide Financial Services, Inc. ...................................... 3,488,775
---------------
15,482,221
---------------
Investment Bankers/Brokers (1.7%)
98,500 Knight/Trimark Group, Inc. (b)............................................ 5,940,781
2,088 Reckson Service Industries (b)............................................ 31,581
151,700 T. Rowe Price Associates.................................................. 5,821,487
---------------
11,793,849
---------------
Real Estate (.2%)
79,800 Catellus Development Corporation (b)...................................... 1,236,900
---------------
Real Estate Investment Trust (3.9%)
32,100 Apartment Investment & Management Company................................. 1,372,275
45,800 Archstone Communities Trust............................................... 1,004,737
19,400 Arden Realty Group, Inc................................................... 477,725
37,300 Avalon Bay Communities, Inc............................................... 1,380,100
11,800 Boston Properties, Inc.................................................... 423,325
35,900 Carramerica Realty Corporation............................................ 897,500
<CAPTION>
MARKET
SHARES VALUE(a)
- -------------- ---------------
<C> <S> <C>
FINANCIAL--CONTINUED
9,000 Central Parking Corporation............................................... $ 308,250
5,000 Charles E. Smith Realty, Inc.............................................. 169,687
33,200 Developers Diversified Realty Corporation................................. 551,950
14,200 Equity Office Properties Trust............................................ 363,875
5,700 Equity Residential Property Trust......................................... 256,856
23,300 Essex Property Trust...................................................... 824,237
24,100 Felcor Lodging Trust, Inc................................................. 500,075
15,500 First Industrial Realty Trust............................................. 425,281
22,200 Franchise Finance Corporation of America.................................. 488,400
34,800 Gables Residential Trust.................................................. 839,550
24,400 Glenborough Realty Trust, Inc. ........................................... 427,000
11,920 Golf Trust of America, Inc. .............................................. 291,295
41,600 Highwoods Properties, Inc................................................. 1,141,400
39,800 HRPT Properties Trust..................................................... 609,437
93,100 Innkeepers USA Trust...................................................... 931,000
44,900 Kilroy Realty............................................................. 1,091,631
5,100 Kimco Realty Corporation Senior Notes..................................... 199,538
31,920 Koger Equity.............................................................. 588,525
3,800 Lennar Corporation........................................................ 91,200
20,800 Liberty Property Trust.................................................... 517,400
20,200 LNR Property Corporation.................................................. 431,775
46,000 Macerich Company.......................................................... 1,207,500
21,400 Mack-Cali Realty.......................................................... 662,063
37,480 New Plan Excel Realty Trust............................................... 674,640
</TABLE>
See accompanying notes to investments in securities.
50
<PAGE>
ASSET ALLOCATION PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------------- ---------------
<C> <S> <C>
FINANCIAL--CONTINUED
23,100 Pacific Gulf Properties, Inc.............................................. $ 522,638
44,000 Pan Pacific Retail Properties............................................. 855,250
9,900 Parkway Properties........................................................ 327,938
34,900 Philips International Realty.............................................. 588,938
15,300 Post Properties, Inc...................................................... 627,300
54,064 Public Storage, Inc....................................................... 1,513,792
7,500 Reckson Associates Realty Corporation..................................... 176,250
7,379 Reckson Associates Realty Corporation, Class B (b)........................ 176,174
15,800 Regency Realty Corporation................................................ 346,613
25,600 SL Green Realty Corporation............................................... 523,200
31,900 Summit Properties, Inc.................................................... 630,025
19,700 Trinet Corporation........................................................ 545,444
21,500 Urban Shopping Centers, Inc. ............................................. 677,250
---------------
26,659,039
---------------
HEALTH CARE (12.1%)
Drugs (6.5%)
45,900 American Home Products Corporation........................................ 2,639,250
177,600 Bristol-Myers Squibb Company.............................................. 12,509,700
36,900 Eli Lilly & Company....................................................... 2,642,963
177,100 Merck & Co., Inc.......................................................... 13,105,400
58,400 Pfizer, Inc. ............................................................. 6,409,400
130,600 Schering Plough Corporation............................................... 6,921,800
---------------
44,228,513
---------------
Health Care--Diversified (2.0%)
64,700 Abbott Laboratories....................................................... 2,943,850
73,400 Johnson & Johnson......................................................... 7,193,200
53,600 Warner-Lambert Company.................................................... 3,718,500
---------------
13,855,550
---------------
<CAPTION>
MARKET
SHARES VALUE(a)
- -------------- ---------------
<C> <S> <C>
HEALTH CARE--CONTINUED
Hospital Management (.6%)
364,800 Health Management Associates, Inc. (b).................................... $ 4,104,000
---------------
Medical Products/Supplies (3.0%)
99,300 Boston Scientific Corporation (b)......................................... 4,362,994
156,600 Guidant Corporation....................................................... 8,055,113
282,400 Sybron International Corporation (b)...................................... 7,783,650
---------------
20,201,757
---------------
TECHNOLOGY (18.0%)
64,600 America Online, Inc. (b).................................................. 7,138,300
84,500 BMC Software, Inc. (b).................................................... 4,563,000
265,250 Cisco Systems, Inc. (b)................................................... 17,108,625
120,700 Dell Computer Corporation (b)............................................. 4,465,900
176,600 EMC Corporation (b)....................................................... 9,713,000
151,300 Galileo International, Inc................................................ 8,085,094
261,600 Intel..................................................................... 15,565,200
139,000 Lucent Technologies, Inc.................................................. 9,373,813
232,100 Microsoft Corporation (b)................................................. 20,932,519
69,000 Nokia Oyj (c)............................................................. 6,317,813
260,600 Nova Corporation (b)...................................................... 6,515,000
73,800 Sun Microsystems, Inc. (b)................................................ 5,082,975
174,900 Unisys Corporation (b).................................................... 6,810,169
---------------
121,671,408
---------------
UTILITIES (.6%)
Electric Companies (.6%)
73,700 AES Corporation (b)....................................................... 4,283,813
---------------
Total common stock
(cost: $288,320,145)....................................................................... 448,573,618
---------------
</TABLE>
See accompanying notes to investments in securities.
51
<PAGE>
ASSET ALLOCATION PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------------- ---------------
PREFERRED STOCK (1.5%)
<C> <S> <C>
FINANCIAL (1.5%)
Real Estate Investment Trust (1.5%)
102,000 Duke Realty Investments, Inc.-- 7.99%..................................... $ 4,596,375
39,000 Nationwide Health Properties, Inc.-- 7.68%................................ 3,563,625
<CAPTION>
MARKET
SHARES VALUE(a)
- -------------- ---------------
<C> <S> <C>
FINANCIAL--CONTINUED
50,000 Prologis Trust-- 8.54%.................................................... $ 2,203,125
---------------
10,363,125
---------------
Total preferred stock
(cost: $11,467,385)........................................................................ 10,363,125
---------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- --------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (29.7%)
GOVERNMENT OBLIGATIONS (15.0%)
Federal Home Loan Mortgage Corporation (FHLMC) (.3%)
$ 1,459,016 ................................................... 6.500% 02/01/29 1,412,590
989,228 ................................................... 6.500% 12/01/23 958,606
---------------
2,371,196
---------------
Federal National Mortgage Association (FNMA) (2.8%)
2,354,120 ................................................... 6.000% 04/01/14 2,273,722
979,091 ................................................... 6.000% 09/01/28 921,945
617,230 ................................................... 6.000% 02/01/29 581,204
749,279 ................................................... 6.000% 05/01/29 705,192
1,217,645 ................................................... 6.500% 03/15/14 1,201,226
2,958,198 ................................................... 6.500% 10/01/28 2,841,557
1,942,477 ................................................... 6.500% 11/01/28 1,880,135
1,952,757 ................................................... 6.500% 12/01/28 1,890,085
2,483,024 ................................................... 6.500% 02/01/29 2,385,119
1,476,019 ................................................... 6.500% 02/01/29 1,428,647
391,197 ................................................... 7.000% 03/01/14 392,955
813,648 ................................................... 7.000% 04/01/14 817,304
1,593,918 ................................................... 7.000% 04/01/14 1,600,963
---------------
18,920,054
---------------
Government National Mortgage Association (GNMA) (3.5%)
882,542 ................................................... 6.000% 08/15/28 827,590
473,373 ................................................... 6.500% 01/15/29 456,319
3,249,531 ................................................... 7.000% 05/15/26 3,212,610
979,193 ................................................... 7.000% 06/15/28 967,836
1,892,916 ................................................... 7.000% 07/15/28 1,870,962
2,010,667 ................................................... 7.000% 12/15/28 1,987,347
2,509,398 ................................................... 7.000% 01/15/29 2,479,712
1,408,379 ................................................... 7.000% 01/15/29 1,391,718
390,091 ................................................... 7.000% 01/15/29 385,476
3,197,406 ................................................... 7.000% 02/15/29 3,159,580
1,598,783 ................................................... 7.000% 05/15/29 1,579,869
</TABLE>
See accompanying notes to investments in securities.
52
<PAGE>
ASSET ALLOCATION PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- -------------- ---------------
<C> <S> <C> <C> <C>
GOVERNMENT OBLIGATIONS--CONTINUED
$ 124,217 ................................................... 7.500% 06/20/02 $ 125,552
57,169 ................................................... 7.500% 07/20/02 57,783
373,875 ................................................... 7.500% 05/15/24 378,776
704,428 ................................................... 7.500% 06/15/28 712,542
2,119,721 ................................................... 7.500% 09/15/28 2,144,138
1,795,068 ................................................... 7.500% 10/15/28 1,815,745
---------------
23,553,555
---------------
State and Local Government Obligations (.2%)
1,470,000 Wyoming Community Development...................... 6.850% 06/01/10 1,470,000
---------------
U.S. Treasury (8.2%)
20,750,000 Strip (f).......................................... 4.913% 05/15/06 13,812,839
4,375,000 ................................................... 5.500% 08/15/28 3,994,922
1,000,000 ................................................... 5.625% 02/15/06 984,688
3,150,000 ................................................... 5.750% 11/30/02 3,153,938
3,250,000 ................................................... 5.875% 11/15/05 3,247,969
14,800,000 ................................................... 6.000% 07/31/02 14,948,000
10,250,000 ................................................... 6.000% 02/15/26 9,968,125
1,500,000 ................................................... 7.000% 07/15/06 1,589,063
3,900,000 ................................................... 5.250% 08/15/03 3,831,750
---------------
55,531,294
---------------
Total government obligations (cost: $105,849,810)........................ 101,846,099
---------------
CORPORATE OBLIGATIONS (14.7%)
BASIC MATERIALS (1.9%)
Chemicals (1.3%)
4,836,605 Ciba Geigy Corporation 144A Issue (d).............. 7.240% 01/02/16 4,785,772
4,000,000 IMC Global, Inc.................................... 6.625% 10/15/01 3,985,012
---------------
8,770,784
---------------
Paper and Forest (.6%)
4,000,000 International Paper Company........................ 6.875% 07/10/00 4,017,964
---------------
COMMUNICATION SERVICES (.7%)
Telephone (.7%)
1,000,000 AT&T Corporation................................... 6.500% 03/15/29 899,386
3,700,000 GTE Corporation.................................... 6.940% 04/15/28 3,517,886
---------------
4,417,272
---------------
CONSUMER CYCLICAL (.7%)
Auto (.7%)
5,000,000 Meritor Automotive, Inc............................ 6.800% 02/15/09 4,731,245
---------------
CONSUMER STAPLES (2.1%)
Broadcasting (.6%)
4,300,000 British Sky Broadcasting........................... 6.875% 02/23/09 3,921,239
---------------
</TABLE>
See accompanying notes to investments in securities.
53
<PAGE>
ASSET ALLOCATION PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- -------------- ---------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--CONTINUED
Entertainment (.7%)
$ 4,250,000 Time Warner, Inc................................... 9.125% 01/15/13 $ 4,844,201
---------------
Household Products (.8%)
4,900,000 Premark International, Inc......................... 10.500% 09/15/00 5,122,191
---------------
FINANCIAL (6.6%)
Banks (1.6%)
7,178,000 PNC Bank Corporation............................... 6.728% 01/25/07 7,209,655
4,000,000 St. George Bank 144A Issue (c)(d).................. 8.485% 12/31/49 3,562,384
---------------
10,772,039
---------------
Commercial Finance (.8%)
5,250,000 General Electric Capital Corporation............... 6.290% 12/15/07 5,248,577
---------------
Commercial Mortgage-Backed Securities (.5%)
1,818,265 Chase Mortgage Finance Corporation................. 6.750% 02/25/25 1,764,990
1,327,472 Citicorp Mortgage Securities, Inc.................. 6.500% 10/25/23 1,309,298
---------------
3,074,288
---------------
Finance--Diversified (.2%)
3,300,000 Guangdong Enterprises 144A Issue (c)(d)............ 8.875% 05/22/07 1,056,000
---------------
Insurance (.5%)
3,850,000 Unum Corporation................................... 6.750% 12/15/28 3,514,792
---------------
Investment Bankers/Brokers (.9%)
6,196,000 Morgan Stanley Dean Witter......................... 6.875% 03/01/07 6,140,595
---------------
Real Estate Investment Trust (.2%)
1,500,000 Security Capital Pacific Trust..................... 7.500% 02/15/14 1,445,057
---------------
Savings and Loans (.4%)
2,950,000 Bank United Corporation............................ 8.875% 05/01/07 2,952,696
---------------
Whole Loan Mortgage-Backed (1.5%)
1,082,057 Banco Hipotecario Nacional (c)..................... 7.916% 07/25/09 968,779
1,079,561 Paine Webber Mortgage Acceptance Corporation....... 6.930% 02/25/24 1,035,807
5,042,282 Prudential Home Mortgage Securities................ 6.500% 10/25/23 4,882,442
1,000,000 Prudential Home Mortgage Securities 144A Issue 1,009,400
(e)............................................... 7.900% 04/28/22
2,467,942 Residential Funding Mortgage....................... 7.000% 10/25/23 2,422,532
---------------
10,318,960
---------------
HEALTH CARE (.5%)
Medical Products/Supplies (.5%)
3,600,000 Tyco International Group........................... 6.875% 01/15/29 3,288,204
---------------
</TABLE>
See accompanying notes to investments in securities.
54
<PAGE>
ASSET ALLOCATION PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- -------------- ---------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--CONTINUED
UTILITIES (2.2%)
Electric Companies (1.4%)
$ 5,000,000 Georgia Power Company 1st Mortgage Bond............ 5.500% 12/01/05 $ 4,680,995
4,800,000 Hydro-Quebec Debentures (c)........................ 8.000% 02/01/13 5,148,528
---------------
9,829,523
---------------
Natural Gas (.8%)
5,715,000 Enron Corporation.................................. 6.725% 11/15/37 5,555,626
---------------
Total corporate obligations (cost: $105,046,719)......................... 99,021,253
---------------
Total long-term debt securities (cost: $210,896,529)..................... 200,867,352
---------------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (2.1%)
13,942,234 Temporary Investment Fund--Temp Fund Portfolio, current rate 4.830%...... 13,942,234
---------------
Total short-term securities (cost: $13,942,234).......................... 13,942,234
---------------
Total investments in securities (cost: $524,626,293) (g)................. $ 673,746,329
---------------
---------------
</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 3.6% of net assets in foreign securities as of June 30,
1999.
(d) Represents ownership in an illiquid security which has not been registered
with the Securities and Exchange Commission under the Securities Act of
1933. (See note 7 to the financial statements.) Information concerning the
illiquid securities held at June 30, 1999, which includes acquisition date
and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
- ------------------------------------------ --------- ---------------
<S> <C> <C>
Ciba Geigy Corporation 144A Issue......... various $ 4,871,179
Guangdong Enterprises 144A Issue.......... various 3,406,194
St. George Bank 144A Issue................ 6/12/97 4,000,000
---------------
$ 12,277,373
---------------
---------------
</TABLE>
(e) 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. These securities have been determined to be liquid
under guidelines established by the Board of Directors.
(f) For zero coupon issues (strips) the interest rate disclosed is the
effective yield at the date of acquisition.
(g) At June 30, 1999 the cost of securities for federal income tax purposes was
$527,697,817. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation............................ $ 166,498,738
Gross unrealized depreciation............................ (20,450,226)
---------------
Net unrealized appreciation.............................. $ 146,048,512
---------------
---------------
</TABLE>
55
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(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 (97.2%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (16.9%)
Federal Home Loan Mortgage Corporation (FHLMC) (1.1%)
$1,485,453 ........................................................... 6.500% 12/01/23 $ 1,439,471
------------------
Federal National Mortgage Association (FNMA) (7.8%)
2,300,000 (c)........................................................ 6.500% 07/01/29 2,223,093
307,380 ........................................................... 6.500% 02/01/17 298,762
1,029,668 ........................................................... 6.500% 03/01/17 999,755
1,489,166 ........................................................... 6.500% 09/01/28 1,441,372
1,454,577 ........................................................... 6.500% 03/15/29 1,407,893
500,000 ........................................................... 6.500% 06/01/29 483,616
1,852,199 ........................................................... 7.000% 02/01/29 1,823,695
1,218,082 ........................................................... 8.000% 07/15/16 1,265,575
7,270 ........................................................... 8.000% 05/01/22 7,498
------------------
9,951,259
------------------
Government National Mortgage Association (GNMA) (5.4%)
2,000,000 ........................................................... 4.000% 10/20/25 1,852,202
1,268,655 ........................................................... 6.500% 03/15/29 1,222,949
997,891 ........................................................... 6.500% 04/15/29 961,940
500,000 (c)........................................................ 7.000% 07/15/28 493,750
500,000 (c)........................................................ 7.500% 07/15/28 505,312
500,000 (c)........................................................ 7.500% 07/15/29 505,312
2,009 ........................................................... 8.500% 03/15/22 2,108
691,859 ........................................................... 6.500% 03/15/29 666,933
749,253 ........................................................... 6.500% 05/15/29 722,260
------------------
6,932,766
------------------
Vendee Administration (Vendee) (2.6%)
1,484,614 Vendee Mortgage Trust Participation Certificates (b)....... 7.793% 02/15/25 1,528,523
1,717,135 Vendee Mortgage Trust Participation Certificates (b)....... 8.293% 12/15/26 1,784,505
------------------
3,313,028
------------------
Total U.S. government and agencies obligations (cost: $21,720,986)............ 21,636,524
------------------
CORPORATE OBLIGATIONS (.8%)
1,000,000 Security Capital Pacific Trust............................. 7.500% 02/15/14 963,371
------------------
Total corporate obligations (cost: $1,000,000)................................ 963,371
------------------
OTHER MORTGAGE-BACKED SECURITIES (79.5%)
Asset Backed (1.7%)
652,319 Structured Mortgage Asset Residential Trust 144A Issue 195,696
(d)....................................................... 8.240% 03/15/06
2,000,000 Team Fleet Financing 144A Issue (e)........................ 7.800% 05/15/03 2,011,250
------------------
2,206,946
------------------
</TABLE>
See accompanying notes to investments in securities.
56
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ---------- ------------------
<C> <S> <C> <C> <C>
OTHER MORTGAGE-BACKED SECURITIES--CONTINUED
Collateralized Mortgage Obligations/Mortgage Revenue Bonds (6.5%)
$ 850,446 American Housing Trust..................................... 8.125% 06/25/18 $ 865,940
350,893 Black Diamond Mortgage Trust 144A Issue (e)................ 6.732% 01/29/13 340,366
3,000,000 California Housing Finance Agency.......................... 7.760% 08/01/25 3,151,350
1,275,000 California Housing Finance Agency.......................... 8.160% 02/01/28 1,339,311
527,544 Countrywide Funding........................................ 7.000% 06/25/24 488,701
1,000,000 Pennsylvania Housing Finance............................... 7.410% 10/01/17 994,889
1,153,600 Wyoming Community Development.............................. 6.850% 06/01/10 1,153,600
------------------
8,334,157
------------------
Commercial Mortgage-Backed Securities (13.4%)
-- Asset Securitization Corporation (d)(f).................... 9.174% 08/13/29 2,060,702
-- Asset Securitization Corporation 144A Issue (d)(f)......... 9.174% 08/13/29 1,880,073
1,275,000 Covenant Retirement Community.............................. 6.250% 12/01/22 1,252,972
3,336,000 FFCA Secured Lending Corporation 144A Issue (e)............ 8.910% 06/15/14 3,329,745
1,821,236 Huntoon Page (d)........................................... 7.000% 06/01/21 1,823,512
2,690,979 New York Dorm Authority (d)................................ 7.750% 04/01/28 2,778,170
1,733,950 Pleasant Hill Revenue Bond................................. 7.950% 09/20/15 1,805,671
2,262,529 Rosewood Care Center....................................... 7.250% 11/01/13 2,320,495
------------------
17,251,340
------------------
Whole Loan Mortgage-Backed (57.9%)
3,976,069 Banco Hipotecario Nacional 144A Issue (d)(g)............... 7.916% 07/25/09 3,559,824
74,862 Bank of America Corporation................................ 8.375% 05/01/07 74,578
3,349,619 Bear Stearns Mortgage Securities, Inc...................... 6.750% 04/30/30 3,281,254
1,290,064 Bear Stearns Mortgage Securities, Inc...................... 8.000% 11/25/29 1,317,827
2,835,925 Chase Manhattan Corporation................................ 6.750% 03/25/25 2,710,081
2,958,563 Chase Mortgage Finance Corporation 144A Issue (e).......... 6.622% 03/28/25 2,850,724
3,008,706 Chase Mortgage Finance Corporation 144A Issue (e).......... 6.622% 03/28/25 2,899,038
1,241,335 Chase Mortgage Finance Corporation 144A Issue (e).......... 6.957% 08/28/24 1,210,689
691,166 Country Wide Home Loan 144A Issue (e)...................... 7.500% 03/25/27 613,078
2,850,000 CSFB Finance Company 144A Issue (d)........................ 5.969% 11/15/05 2,589,047
979,145 CSFB Mortgage Securities 144A Issue (e).................... 7.763% 05/30/23 990,466
139,825 First Bank Systems......................................... 3.190% 03/25/08 123,510
818,612 First Union Residential.................................... 7.000% 09/25/26 782,527
326,656 First Union Residential.................................... 7.000% 09/25/26 317,340
1,044,684 GE Capital Mortgage Services 144A Issue (e)................ 6.000% 10/25/08 1,012,048
1,081,043 GE Capital Mortgage Services 144A Issue (d)................ 6.000% 12/25/08 1,044,028
2,670,583 GE Capital Mortgage Services 144A Issue (e)................ 6.500% 04/25/24 2,556,149
1,115,473 GE Capital Mortgage Services, Inc. (e)..................... 6.500% 09/25/23 1,017,520
2,128,227 GE Capital Mortgage Services, Inc. (e)..................... 6.500% 04/25/24 2,068,828
1,865,435 GE Capital Mortgage Services, Inc. (e)..................... 6.500% 05/25/24 1,729,608
1,256,980 International Capital Markets 144A Issue (d)............... 8.250% 09/01/15 1,263,265
1,573,125 Lehman Structured Securities 144A Issue (e)................ 6.594% 04/28/24 1,502,853
3,488,040 Metropolitan Asset Funding 144A Issue (e).................. 6.980% 05/20/12 3,430,269
2,205,403 Metropolitan Asset Funding 144A Issue (e).................. 7.130% 06/20/12 2,159,917
</TABLE>
See accompanying notes to investments in securities.
57
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(a)
- ---------- ------------------
<C> <S> <C> <C> <C>
OTHER MORTGAGE-BACKED SECURITIES--CONTINUED
$3,163,167 Morgan Stanley Capital 144A Issue (e)...................... 6.975% 06/29/26 $ 3,048,502
2,049,384 Morgan Stanley Capital 144A Issue (e)...................... 6.975% 06/29/26 1,928,983
1,611,037 Paine Webber Mortgage Acceptance Corporation............... 6.750% 01/25/24 1,518,096
644,843 Paine Webber Mortgage Acceptance Corporation 144A Issue 647,474
(d)....................................................... 8.125% 07/25/09
1,733,879 Prudential Home Mortgage................................... 6.050% 04/25/24 1,626,725
2,150,000 Prudential Home Mortgage................................... 6.500% 10/25/23 2,994,901
400,000 Prudential Home Mortgage................................... 8.000% 09/25/22 404,424
321,848 Prudential Home Mortgage 144A Issue (e).................... 7.500% 08/25/07 323,836
1,000,000 Prudential Home Mortgage 144A Issue (e).................... 7.900% 04/28/22 998,870
938,690 Prudential Home Mortgage 144A Issue (e).................... 7.900% 04/28/22 940,662
1,500,000 Prudential Home Mortgage 144A Issue (e).................... 7.900% 04/28/22 1,514,100
3,000,000 Prudential Home Mortgage 144A Issue (e).................... 7.900% 04/28/22 3,011,700
1,813,749 Prudential Home Mortgage 144A Issue (e).................... 8.000% 06/25/22 1,827,352
1,200,000 Prudential Home Mortgage Securities........................ 7.000% 06/25/23 1,194,552
1,458,928 Prudential Home Mortgage Securities 144A Issue (e)......... 7.341% 09/28/24 1,334,058
913,562 Prudential Home Mortgage Securities 144A Issue (e)......... 7.250% 09/25/25 846,689
2,976,179 Residential Funding Mortgage Securities.................... 7.000% 09/25/23 2,924,751
986,511 Residential Funding Mortgage Securities.................... 7.000% 10/25/23 968,804
3,855,136 Securitized Asset Sales, Inc. 144A Issue (e)............... 6.808% 11/28/23 3,532,076
1,701,331 Tyron Mortgage Funding..................................... 7.750% 12/20/09 1,719,810
------------------
74,410,833
------------------
Total other mortgage-backed securities (cost: $103,686,740)................... 102,203,276
------------------
Total long-term debt securities (cost: $126,407,726).......................... 124,803,171
------------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
- ----------
<C> <S> <C>
PREFERRED STOCK (1.3%)
FINANCIAL (1.3%)
Real Estate Investment Trust (1.3%)
39,000 Duke Realty Investment, Inc. 7.99%.................................................. 1,757,437
------------
Total preferred stock
(cost: $1,958,360)..................................................................... 1,757,437
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- -----------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (2.4%)
$ 3,062,186 Temporary Investment Fund--Temp Fund Portfolio, current rate 4.830%................ 3,062,186
------------
Total short-term securities (cost: $3,062,186)..................................... 3,062,186
------------
Total investments in securities (cost: $131,428,272) (h)........................... $129,622,794
------------
------------
</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, 1999.
(c) At June 30, 1999 the total cost of investments issued on a when-issued or
forward commitment basis is $3,714,266.
58
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
Investments in Securities - continued
Notes to Investments in Securities-continued
- ----------------------------------------------
(d) Represents ownership in an illiquid security. (See note 7 to the financial
statements.) Information concerning the illiquid securities held at June 30,
1999 including acquisition date and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
- --------------------------------------- ----------- ------------
<S> <C> <C>
Asset Securitization Corporation....... 11/05/98 $ 2,171,645
Asset Securitization Corporation 144A Various 1,960,452
Issue*................................
Banco Hipotecario Nacional 144A Various 3,576,793
Issue*................................
CSFB Finance Company 144A Issue*....... 06/28/95 2,833,875
Huntoon Page........................... 10/28/97 1,828,065
GE Capital Mortgage Services 144A 02/07/98 1,058,318
Issue*................................
International Capital Markets 144A Various 1,215,556
Issue*................................
New York Dorm Authority................ 05/02/98 2,773,744
Paine Webber Mortgage Acceptance 06/17/98 662,180
Corporation 144A Issue*...............
Structured Mortgage Asset Residential 03/03/97 652,319
Trust 144A Issue*.....................
------------
$ 18,732,947
------------
------------
*A 144A Issue represents a security which has not been registered
with the Securities and Exchange Commission under the Securities
Act of 1933.
</TABLE>
(e) 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." These securities have been determined to be liquid
under guidelines established by the Board of Directors.
(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 rate disclosed
represents the market yield based upon the current cost basis and estimated
timing and amount of future cash flows.
(g) At June 30, 1999 the Portfolio held 2.8% of net assets in foreign
securities.
(h) At June 30, 1999 the cost of securities for federal income tax purposes was
$131,535,964. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 949,794
Gross unrealized depreciation.......... (2,862,964)
-----------
Net unrealized depreciation............ $(1,913,170)
-----------
-----------
</TABLE>
59
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
COMMON STOCK (99.0%)
BASIC MATERIALS (3.7%)
Agriculture Products (.2%)
31,413 Archer Daniels Midland Company............................................... $ 484,938
12,700 Pioneer Hi-Bred International................................................ 494,506
------------
979,444
------------
Aluminum (.3%)
11,975 Alcan Aluminum Limited (c)................................................... 382,452
19,800 Aluminum Company of America.................................................. 1,225,125
3,400 Reynolds Metals Company...................................................... 200,600
------------
1,808,177
------------
Chemicals (1.8%)
12,200 Air Products and Chemicals, Inc.............................................. 491,050
4,000 BF Goodrich Company.......................................................... 170,000
11,700 Dow Chemical Company......................................................... 1,484,437
60,100 DuPont....................................................................... 4,105,581
4,125 Eastman Chemical Company..................................................... 213,469
6,900 Ecolab, Inc.................................................................. 301,012
6,587 Engelhard Corporation........................................................ 149,031
1,700 FMC Corporation (b).......................................................... 116,131
3,100 Great Lakes Chemical Corporation............................................. 142,794
5,300 Hercules, Inc................................................................ 208,356
5,600 International Flavors & Fragrances........................................... 248,500
33,700 Monsanto Company............................................................. 1,329,044
3,400 Nalco Chemical Company....................................................... 176,375
9,300 PPG Industries, Inc.......................................................... 549,281
8,400 Praxair, Inc................................................................. 411,075
11,381 Rohm and Haas Company........................................................ 487,960
5,300 Sigma-Aldrich................................................................ 182,519
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
BASIC MATERIALS--CONTINUED
7,100 Union Carbide Corporation.................................................... $ 346,125
3,700 W.R. Grace & Company (b)..................................................... 67,987
------------
11,180,727
------------
Iron and Steel (.1%)
10,162 Allegheny Teledyne, Inc...................................................... 229,915
6,900 Bethlehem Steel Corporation (b).............................................. 53,044
4,600 Nucor Corporation............................................................ 218,212
4,640 USX--U.S. Steel Group, Inc................................................... 125,280
4,800 Worthington Industries....................................................... 78,900
------------
705,351
------------
Mining (.3%)
2,000 Asarco, Inc.................................................................. 37,625
20,700 Barrick Gold Corporation (c)................................................. 401,062
12,100 Battle Mountain Gold......................................................... 29,494
4,800 Cyprus Amax Minerals Company................................................. 72,900
8,600 Freeport-McMoran Copper...................................................... 154,262
13,800 Homestake Mining Company..................................................... 112,987
10,200 Inco, Ltd. (c)............................................................... 183,600
8,822 Newmont Mining Corporation................................................... 175,337
3,100 Phelps Dodge Corporation..................................................... 192,006
17,300 Placer Dome, Inc. (c)........................................................ 204,356
------------
1,563,629
------------
Paper and Forest (1.0%)
2,800 Bemis Company, Inc........................................................... 111,300
2,966 Boise Cascade Corporation.................................................... 127,538
5,100 Champion International Corporation........................................... 244,162
11,800 Fort James Corporation....................................................... 446,925
</TABLE>
See accompanying notes to investments in securities.
60
<PAGE>
INDEX 500 PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
BASIC MATERIALS--CONTINUED
9,100 Georgia-Pacific Corporation.................................................. $ 431,112
22,000 International Paper Company.................................................. 1,111,000
28,400 Kimberly Clark Corporation................................................... 1,618,800
5,700 Louisiana-Pacific Corporation................................................ 135,375
5,400 Mead Corporation............................................................. 225,450
1,600 Potlatch Corporation......................................................... 70,300
2,900 Temple-Inland, Inc........................................................... 197,925
5,300 Westvaco Corporation......................................................... 153,700
10,600 Weyerhaeuser Company......................................................... 728,750
5,900 Willamette Industries, Inc................................................... 271,769
------------
5,874,106
------------
CAPITAL GOODS (8.1%)
Aerospace/Defense (1.7%)
29,600 Allied-Signal, Inc........................................................... 1,864,800
6,800 General Dynamics Corporation................................................. 465,800
21,038 Lockheed Martin Corporation.................................................. 783,665
3,700 Northrop Grumman Corporation................................................. 245,356
18,000 Raytheon Company (c)......................................................... 1,266,750
10,100 Rockwell International Corporation........................................... 613,575
8,000 Textron, Inc................................................................. 658,500
52,030 The Boeing Company........................................................... 2,299,076
25,600 United Technologies Corporation.............................................. 1,835,200
------------
10,032,722
------------
Containers--Metal/Glass (.1%)
1,700 Ball Corporation............................................................. 71,825
6,400 Crown Cork & Seal Company, Inc............................................... 182,400
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
CAPITAL GOODS--CONTINUED
8,300 Owens-Illinois, Inc. (b)..................................................... $ 271,306
------------
525,531
------------
Electrical Equipment (4.1%)
38,000 CBS Corporation (b).......................................................... 1,650,625
5,100 Cooper Industries, Inc....................................................... 265,200
23,300 Emerson Electric Company..................................................... 1,464,987
174,000 General Electric Company..................................................... 19,662,000
6,700 Honeywell, Inc............................................................... 776,362
4,100 Raychem Corporation.......................................................... 151,700
13,400 Solectron Corporation (b).................................................... 893,612
8,300 Thermo Electron Corporation (b).............................................. 166,519
------------
25,031,005
------------
Engineering/Construction (.2%)
19,000 Caterpillar, Inc............................................................. 1,140,000
4,000 Fluor Corporation............................................................ 162,000
2,100 Foster Wheeler Corporation................................................... 29,662
------------
1,331,662
------------
Machinery (.3%)
1,300 Briggs & Stratton Corporation................................................ 75,075
4,000 Case Corporation............................................................. 192,500
1,900 Cincinnati Milacron, Inc..................................................... 35,150
12,400 Deere & Company.............................................................. 491,350
11,300 Dover Corporation............................................................ 395,500
8,800 Ingersoll Rand Company....................................................... 568,700
500 NACCO Industries, Inc........................................................ 36,750
------------
1,795,025
------------
</TABLE>
See accompanying notes to investments in securities.
61
<PAGE>
INDEX 500 PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
CAPITAL GOODS--CONTINUED
Manufacturing (1.1%)
6,100 Avery Dennison Corporation................................................... $ 368,287
13,300 Illinois Tool Works, Inc..................................................... 1,090,600
4,500 Johnson Controls............................................................. 311,906
2,300 Millipore Corporation........................................................ 93,294
2,100 National Service Industries, Inc............................................. 75,600
6,599 Pall Corporation............................................................. 146,415
5,800 Parker Hannifin Corporation.................................................. 265,350
4,412 Sealed Air (b)............................................................... 286,228
9,000 Tenneco, Inc................................................................. 214,875
43,831 Tyco International, Ltd...................................................... 4,152,987
------------
7,005,542
------------
Metal Fabrication ( -- )
3,200 Timken Company............................................................... 62,400
------------
Office Equipment (.2%)
7,900 Ikon Office Solutions........................................................ 118,500
14,400 Pitney Bowes, Inc............................................................ 925,200
------------
1,043,700
------------
Trucks and Parts (.1%)
2,200 Cummins Engine Company, Inc.................................................. 125,675
3,550 Navistar International Corporation (b)....................................... 177,500
4,080 Paccar, Inc.................................................................. 217,770
------------
520,945
------------
Waste Management (.3%)
8,400 Browning-Ferris Industries................................................... 361,200
32,530 Waste Management, Inc........................................................ 1,748,488
------------
2,109,688
------------
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
COMMUNICATION SERVICES (9.3%)
Cellular (.7%)
15,700 Nextel Communications, Inc. (b).............................................. $ 787,944
16,700 Vodafone Airtouch PLC (c).................................................... 3,289,900
------------
4,077,844
------------
Telecommunication (2.0%)
99,875 MCI Worldcom, Inc. (b)....................................................... 8,614,219
46,400 Sprint Corporation........................................................... 2,450,500
23,450 Sprint Corporation (b)....................................................... 1,339,581
------------
12,404,300
------------
Telephone (6.6%)
15,100 Alltel Corporation........................................................... 1,079,650
58,200 Ameritech Corporation........................................................ 4,277,700
169,827 AT&T Corporation............................................................. 9,478,468
82,618 Bell Atlantic Corporation.................................................... 5,401,152
100,700 Bellsouth Corporation........................................................ 4,720,312
7,400 Century Telephone Enterprise................................................. 294,150
9,200 Frontier Corporation......................................................... 542,800
51,600 GTE Corporation.............................................................. 3,908,700
32,300 MediaOne, Inc. (b)........................................................... 2,402,312
104,212 SBC Communications, Inc...................................................... 6,044,296
26,903 U.S. West Communications Group............................................... 1,580,554
------------
39,730,094
------------
CONSUMER CYCLICAL (9.8%)
Auto (1.5%)
3,900 Cooper Tire & Rubber Company................................................. 92,137
8,759 Dana Corporation............................................................. 403,479
7,200 Danaher Corporation.......................................................... 418,500
</TABLE>
See accompanying notes to investments in securities.
62
<PAGE>
INDEX 500 PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
30,099 Delphi Automotive Systems Corporation........................................ $ 558,713
3,900 Eaton Corporation............................................................ 358,800
64,400 Ford Motor Company........................................................... 3,634,575
34,400 General Motors Corporation................................................... 2,270,400
8,200 Goodyear Tire & Rubber Company............................................... 482,262
4,700 ITT Industries............................................................... 179,187
3,450 Snap-On, Inc................................................................. 124,847
6,400 TRW, Inc..................................................................... 351,200
------------
8,874,100
------------
Building Materials (.2%)
2,100 Armstrong World Industries, Inc.............................................. 121,406
3,100 Centex Corporation........................................................... 116,444
3,650 Crane Company................................................................ 114,747
1,800 Fleetwood Enterprises, Inc................................................... 47,587
2,500 Kaufman & Broad Home Corporation............................................. 62,187
18,000 Masco Corporation............................................................ 519,750
2,900 Owens Corning................................................................ 99,687
2,300 Pulte Corporation............................................................ 53,044
------------
1,134,852
------------
Distribution Durables (.1%)
9,550 Genuine Parts Company........................................................ 334,250
------------
Hardware and Tools (.1%)
4,600 Black & Decker............................................................... 290,375
4,700 The Stanley Works............................................................ 151,281
------------
441,656
------------
Houseware (.3%)
12,900 Corning, Inc................................................................. 904,612
4,700 Maytag Corporation........................................................... 327,531
4,000 Whirlpool Corporation........................................................ 296,000
------------
1,528,143
------------
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Leisure (.2%)
4,900 Brunswick Corporation........................................................ $ 136,587
10,350 Hasbro, Inc.................................................................. 289,153
22,141 Mattel, Inc.................................................................. 585,353
------------
1,011,093
------------
Lodging--Hotel (.1%)
13,700 Hilton Hotels Corporation.................................................... 194,369
13,200 Marriott International....................................................... 493,350
------------
687,719
------------
Photography/Imagery (.5%)
17,200 Eastman Kodak Company........................................................ 1,165,300
2,300 Polaroid Corporation......................................................... 63,537
35,200 Xerox Corporation............................................................ 2,079,000
------------
3,307,837
------------
Publishing (.6%)
4,800 Dow Jones & Company, Inc..................................................... 254,700
15,000 Gannett Company.............................................................. 1,070,625
4,200 Knight Ridder, Inc........................................................... 230,737
10,500 McGraw-Hill Companies, Inc................................................... 566,344
2,800 Meredith Corporation......................................................... 96,950
9,400 New York Times Company....................................................... 346,037
7,000 R.R. Donnelly & Sons Company................................................. 259,437
3,900 The Times Mirror Company..................................................... 231,075
6,300 Tribune Company.............................................................. 548,887
------------
3,604,792
------------
Retail (5.5%)
3,600 American Greetings Corporation............................................... 108,450
7,900 Autozone, Inc. (b)........................................................... 237,987
10,800 Best Buy Company, Inc. (b)................................................... 729,000
5,300 Circuit City Stores, Inc..................................................... 492,900
</TABLE>
See accompanying notes to investments in securities.
63
<PAGE>
INDEX 500 PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
5,800 Consolidated Stores Corporation (b).......................................... $ 156,600
11,600 Costco Companies, Inc. (b)................................................... 928,725
23,500 Dayton Hudson Corporation.................................................... 1,527,500
5,700 Dillards, Inc................................................................ 200,212
11,687 Dollar General Corporation................................................... 338,923
11,100 Federated Department Stores (b).............................................. 587,606
45,650 Gap, Inc..................................................................... 2,299,619
3,800 Harcourt General, Inc........................................................ 195,937
78,772 Home Depot, Inc.............................................................. 5,075,871
14,000 JC Penny Company............................................................. 679,875
1,700 Jostens, Inc................................................................. 35,806
26,200 K Mart Corporation (b)....................................................... 430,662
8,600 Kohl's Corporation (b)....................................................... 663,812
19,800 Lowe's Companies, Inc........................................................ 1,122,412
17,850 May Department Stores Company................................................ 729,619
15,100 Nike, Inc.................................................................... 956,019
7,500 Nordstrom, Inc............................................................... 251,250
19,900 Office Depot, Inc. (b)....................................................... 439,044
2,800 Pep Boys..................................................................... 60,550
2,900 Reebok International, Ltd. (b)............................................... 54,012
20,400 Sears, Roebuck & Company..................................................... 909,075
9,000 Sherwin-Williams Company..................................................... 249,750
24,700 Staples, Inc. (b)............................................................ 764,156
10,200 Tandy Corporation............................................................ 498,525
11,300 The Limited, Inc............................................................. 512,737
17,200 TJX Companies, Inc........................................................... 572,975
13,250 Toys R Us (b)................................................................ 274,109
236,200 Wal-Mart Stores.............................................................. 11,396,650
------------
33,480,368
------------
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Service (.6%)
40,682 Cendant Corporation (b)...................................................... $ 833,981
7,600 Equifax, Inc................................................................. 271,225
5,100 H & R Block, Inc............................................................. 255,000
6,700 Harrah's Entertainment (b)................................................... 147,400
7,500 Interpublic Group Company.................................................... 649,687
10,600 Mirage Resorts, Inc. (b)..................................................... 177,550
9,500 Omnicom Group................................................................ 760,000
14,500 Service Corporation International............................................ 279,125
------------
3,373,968
------------
Textiles (.1%)
3,800 Fruit of the Loom (b)........................................................ 37,050
3,300 Liz Claiborne, Inc........................................................... 120,450
1,700 Russell Corporation.......................................................... 33,150
900 Springs Industries, Inc...................................................... 39,262
6,300 V.F. Corporation............................................................. 269,325
------------
499,237
------------
CONSUMER STAPLES (12.1%)
Beverage (2.5%)
1,900 Adolph Coors Company......................................................... 94,050
25,400 Anheuser-Busch............................................................... 1,801,812
3,700 Brown-Forman, Inc............................................................ 241,194
131,900 Coca-Cola Company............................................................ 8,243,750
22,700 Coca-Cola Enterprises........................................................ 698,025
78,400 PepsiCo, Inc................................................................. 3,033,100
22,900 Seagram Company, Ltd. (c).................................................... 1,153,587
------------
15,265,518
------------
Broadcasting (.5%)
17,700 Clear Channel Communications (b)............................................. 1,220,194
42,800 Comcast Corporation.......................................................... 1,645,125
------------
2,865,319
------------
</TABLE>
See accompanying notes to investments in securities.
64
<PAGE>
INDEX 500 PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
Entertainment (1.9%)
32,800 Carnival Corporation......................................................... $ 1,590,800
3,800 King World Productions, Inc. (b)............................................. 132,287
63,300 Time Warner, Inc............................................................. 4,652,550
36,660 Viacom (b)................................................................... 1,613,040
110,046 Walt Disney Company.......................................................... 3,390,792
------------
11,379,469
------------
Food (1.7%)
15,000 Best Foods................................................................... 742,500
23,200 Campbell Soup Company........................................................ 1,075,900
26,050 Conagra, Inc................................................................. 693,581
8,200 General Mills, Inc........................................................... 659,075
7,400 Hershey Foods Corporation.................................................... 439,375
19,100 HJ Heinz Company............................................................. 957,387
21,600 Kellogg Company.............................................................. 712,800
7,200 Quaker Oats Company.......................................................... 477,900
17,300 Ralston-Purina Group......................................................... 526,569
17,400 RJR Nabisco Holdings Corporation............................................. 340,387
48,300 Sara Lee Corporation......................................................... 1,095,806
30,542 Unilever N.V. (c)............................................................ 2,130,305
6,100 Wm. Wrigley Jr. Company...................................................... 549,000
------------
10,400,585
------------
Food & Health (.1%)
17,700 SYSCO Corporation............................................................ 527,681
------------
Household Products (2.2%)
6,300 Clorox Company............................................................... 672,919
15,700 Colgate Palmolive Company.................................................... 1,550,375
59,300 Gillette Company............................................................. 2,431,300
21,600 Minnesota Mining and Manufacturing........................................... 1,877,850
15,085 Newell Company............................................................... 701,453
70,868 Procter & Gamble Company..................................................... 6,324,969
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
3,000 Tupperware Corporation....................................................... $ 76,500
------------
13,635,366
------------
Personal Care (.1%)
2,900 Alberto-Culver Company....................................................... 77,212
14,000 Avon Products................................................................ 777,000
------------
854,212
------------
Restaurants (.6%)
7,100 Darden Restaurants, Inc...................................................... 154,869
72,400 McDonalds Corporation........................................................ 2,991,025
8,130 Tricon Global Restaurants (b)................................................ 440,036
6,500 Wendy's International, Inc................................................... 184,031
------------
3,769,961
------------
Retail (1.2%)
22,417 Albertson's, Inc............................................................. 1,155,877
20,900 CVS Corporation.............................................................. 1,068,512
42,400 Kroger Company (b)........................................................... 1,184,550
2,100 Longs Drug Stores Corporation................................................ 72,581
13,700 Rite Aid Corporation......................................................... 337,362
26,400 Safeway, Inc. (b)............................................................ 1,306,800
6,200 Super Valu, Inc.............................................................. 159,263
2,000 The Great Atlantic & Pacific................................................. 67,625
53,200 Walgreen Company............................................................. 1,562,750
7,900 Winn-Dixie Stores, Inc....................................................... 291,806
------------
7,207,126
------------
Service (.3%)
32,900 Automatic Data Processing, Inc............................................... 1,447,600
7,600 Ceridian Corporation (b)..................................................... 248,425
4,100 Deluxe Corporation........................................................... 159,644
------------
1,855,669
------------
</TABLE>
See accompanying notes to investments in securities.
65
<PAGE>
INDEX 500 PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
Tobacco (1.0%)
8,900 Fortune Brands, Inc.......................................................... $ 368,238
129,200 Philip Morris Companies, Inc................................................. 5,192,225
9,400 UST, Inc..................................................................... 274,950
------------
5,835,413
------------
ENERGY (5.8%)
Oil (4.7%)
4,800 Amerada Hess Corporation..................................................... 285,600
34,800 Chevron Corporation.......................................................... 3,312,525
129,500 Exxon Corporation............................................................ 9,987,688
41,700 Mobil Corporation............................................................ 4,128,300
18,600 Occidental Petroleum Corporation............................................. 392,925
13,400 Phillips Petroleum Company................................................... 674,188
114,500 Royal Dutch Petroleum (c).................................................... 6,898,625
28,700 Texaco, Inc.................................................................. 1,793,750
12,900 Unocal Corporation........................................................... 511,163
16,400 USX--Marathon Group.......................................................... 534,025
------------
28,518,789
------------
Oil & Gas (1.1%)
6,400 Anadarko Petroleum Corporation............................................... 235,600
6,000 Apache Corporation........................................................... 234,000
3,900 Ashland, Inc................................................................. 156,488
17,200 Atlantic Richfield Company................................................... 1,437,275
17,400 Baker Hughes, Inc............................................................ 582,900
9,380 Burlington Resources, Inc.................................................... 405,685
1,200 Eastern Enterprises.......................................................... 47,700
23,300 Halliburton Company.......................................................... 1,054,325
2,600 Helmerich & Payne............................................................ 61,913
4,603 Kerr-McGee Corporation....................................................... 231,013
3,100 McDermott International, Inc................................................. 87,575
4,400 Rowan Company (b)............................................................ 81,125
29,100 Schlumberger, Ltd............................................................ 1,853,306
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
ENERGY--CONTINUED
4,800 Sunoco, Inc.................................................................. $ 144,900
13,300 Union Pacific Resources Group................................................ 216,956
------------
6,830,761
------------
FINANCIAL (15.7%)
Auto Finance (.2%)
30,360 Fleet Financial Group, Inc................................................... 1,347,225
------------
Banks (6.5%)
9,300 Amsouth Bancorp Debentures................................................... 215,644
15,900 Bank of Boston Corporation................................................... 812,888
40,400 Bank of New York, Inc........................................................ 1,482,175
62,629 Bank One Corporation......................................................... 3,730,340
92,778 BankAmerica Corporation...................................................... 6,801,754
16,800 BB&T Corporation............................................................. 616,350
45,068 Chase Manhattan Corporation.................................................. 3,904,016
8,350 Comerica..................................................................... 496,303
14,350 Fifth Third Bancorp.......................................................... 955,172
51,508 First Union Corporation...................................................... 2,420,876
35,100 Firstar Corporation.......................................................... 982,800
11,090 Huntington Bancshares........................................................ 388,150
9,400 J.P. Morgan & Company, Inc................................................... 1,320,700
23,900 KeyCorp...................................................................... 767,788
27,600 Mellon Bank Corporation...................................................... 1,003,950
8,300 Mercantile Bancorporation.................................................... 474,138
16,800 National City Corporation.................................................... 1,100,400
6,000 Northern Trust Corporation................................................... 582,000
16,200 PNC Bank Corporation......................................................... 933,525
11,900 Regions Financial Corporation................................................ 457,406
</TABLE>
See accompanying notes to investments in securities.
66
<PAGE>
INDEX 500 PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
FINANCIAL--CONTINUED
5,600 Republic New York Corporation................................................ $ 381,850
8,900 Southtrust Corporation....................................................... 341,538
8,500 State Street Corporation..................................................... 725,688
9,100 Summit Bancorp............................................................... 380,494
17,200 Suntrust Banks, Inc.......................................................... 1,194,325
14,400 Synovus Financial Corporation................................................ 286,200
38,584 U.S. Bancorp................................................................. 1,311,856
7,500 Union Planters Corporation................................................... 335,156
10,800 Wachovia Corporation......................................................... 924,075
88,160 Wells Fargo Company.......................................................... 3,768,840
------------
39,096,397
------------
Commercial Finance ( -- )
8,660 Dun & Bradstreet Corporation................................................. 306,889
------------
Consumer Finance (1.4%)
24,000 American Express Company..................................................... 3,123,000
38,778 Associates First Capital Corporation......................................... 1,718,350
10,400 Capital One Financial Corporation............................................ 579,150
25,493 Household International, Inc................................................. 1,207,724
42,531 MBNA Corporation............................................................. 1,302,497
8,700 SILM Holding Corporation..................................................... 398,569
------------
8,329,290
------------
Finance--Diversified (1.6%)
13,356 American General Corporation................................................. 1,006,709
21,550 Charles Schwab Corporation................................................... 2,367,806
36,900 Federal Home Loan Mortgage Corporation....................................... 2,140,200
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
FINANCIAL--CONTINUED
54,400 Federal National Mortgage Association........................................ $ 3,719,600
5,800 MGIC Investment Corporation.................................................. 282,025
------------
9,516,340
------------
Insurance (4.8%)
7,455 Aetna, Inc................................................................... 666,757
14,300 AFLAC, Inc................................................................... 684,613
43,114 Allstate Corporation......................................................... 1,546,715
66,180 American International Group................................................. 7,747,196
13,650 Aon Corporation.............................................................. 563,063
8,700 Chubb Corporation............................................................ 604,650
10,800 Cigna Corporation............................................................ 961,200
8,700 Cincinnati Financial Corporation............................................. 326,794
17,282 Conseco, Inc................................................................. 526,021
12,000 ITT Hartford Group........................................................... 699,750
5,600 Jefferson-Pilot Corporation.................................................. 370,650
10,600 Lincoln National Corporation................................................. 554,513
5,800 Loews Corporation............................................................ 458,925
14,050 Marsh & McLennen............................................................. 1,060,775
5,300 MBIA, Inc.................................................................... 343,175
4,000 Progressive Corporation...................................................... 580,000
7,200 Provident Companies, Inc..................................................... 288,000
7,600 Providian Financial.......................................................... 710,600
7,300 Safeco Corporation........................................................... 322,113
12,117 St. Paul Companies, Inc...................................................... 385,483
7,100 Torchmark Corporation........................................................ 242,288
6,600 Transamerica Corporation..................................................... 495,000
178,971 Travelers Group, Inc......................................................... 8,501,123
7,500 Unum Corporation............................................................. 410,625
3,600 Wellpoint Health Networks, Inc. (b).......................................... 305,550
------------
29,355,579
------------
</TABLE>
See accompanying notes to investments in securities.
67
<PAGE>
INDEX 500 PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
FINANCIAL--CONTINUED
Investment Bankers/Brokers (1.0%)
6,100 Bear Stearns Companies....................................................... $ 285,175
13,400 Franklin Resources, Inc...................................................... 544,375
6,300 Lehman Brothers Holdings, Inc................................................ 392,175
19,500 Merrill Lynch & Co., Inc..................................................... 1,558,781
30,230 Morgan Stanley Dean Witter................................................... 3,098,575
7,600 Paine Webber Group, Inc...................................................... 355,300
------------
6,234,381
------------
Savings and Loans (.2%)
3,000 Golden West Financial Corporation............................................ 294,000
31,755 Washington Mutual, Inc....................................................... 1,123,333
------------
1,417,333
------------
Public Finance ( -- )
6,000 Countrywide Credit Industries................................................ 256,500
------------
HEALTH CARE (10.6%)
Biotechnology (.3%)
27,100 Amgen, Inc. (b).............................................................. 1,649,713
------------
Drugs (6.4%)
69,600 American Home Products Corporation........................................... 4,002,000
105,800 Bristol-Myers Squibb Company................................................. 7,452,288
14,450 Cardinal Health, Inc......................................................... 926,606
58,400 Eli Lilly & Company.......................................................... 4,182,900
125,600 Merck & Co., Inc............................................................. 9,294,400
68,800 Pfizer, Inc.................................................................. 7,550,800
27,055 Pharmacia & Upjohn........................................................... 1,537,062
78,400 Schering Plough Corporation.................................................. 4,155,200
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
HEALTH CARE--CONTINUED
5,100 Watson Pharmaceuticals (b)................................................... $ 178,819
------------
39,280,075
------------
Health Care--Diversified (2.4%)
81,200 Abbott Laboratories.......................................................... 3,694,600
3,600 Allergan, Inc................................................................ 399,600
22,000 HealthSouth Rehabilitation Company (b)....................................... 328,625
71,700 Johnson & Johnson............................................................ 7,026,600
45,200 Warner-Lambert Company....................................................... 3,135,750
------------
14,585,175
------------
Hospital Management (.2%)
30,206 Columbia/HCA Healthcare Corporation.......................................... 689,074
16,500 Tenet Healthcare Corporation (b)............................................. 306,281
------------
995,355
------------
Managed Care (.2%)
5,900 HCR Manor Care (b)........................................................... 142,706
8,800 Humana (b)................................................................... 113,850
14,799 McKesson Corporation......................................................... 475,418
9,200 United Health Care........................................................... 576,150
------------
1,308,124
------------
Medical Products/Supplies (1.1%)
5,300 Alza Corporation (b)......................................................... 269,638
3,000 Bausch & Lomb, Inc........................................................... 229,500
15,700 Baxter International, Inc.................................................... 951,813
13,200 Becton Dickinson & Company................................................... 396,000
5,900 Biomet, Inc.................................................................. 234,525
21,100 Boston Scientific Corporation (b)............................................ 927,081
2,700 C.R. Bard.................................................................... 129,094
3,000 Fresenius Medical Care (b)................................................... 45
16,100 Guidant Corporation.......................................................... 828,144
3,800 Mallinckrodt, Inc............................................................ 138,225
</TABLE>
See accompanying notes to investments in securities.
68
<PAGE>
INDEX 500 PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
HEALTH CARE--CONTINUED
31,100 Medtronic, Inc............................................................... $ 2,421,913
4,500 St. Jude Medical, Inc. (b)................................................... 160,313
------------
6,686,291
------------
TECHNOLOGY (20.2%)
19,300 3 Com (b).................................................................... 515,069
3,300 Adobe Systems, Inc........................................................... 271,116
7,700 Advanced Micro Devices, Inc. (b)............................................. 139,081
57,700 America Online, Inc. (b)..................................................... 6,375,850
4,300 Andrew Corporation (b)....................................................... 81,431
8,400 Apple Computer, Inc. (b)..................................................... 389,025
19,700 Applied Materials, Inc. (b).................................................. 1,455,338
3,100 Autodesk, Inc................................................................ 91,644
12,400 BMC Software, Inc. (b)....................................................... 669,600
9,100 Cabletron Systems, Inc. (b).................................................. 118,300
169,700 Cisco Systems, Inc. (b)...................................................... 10,945,650
90,464 Compaq Computer Corporation.................................................. 2,142,866
28,487 Computer Associates International............................................ 1,566,785
8,400 Computer Sciences Corporation (b)............................................ 581,175
19,500 Compuware Corporation (b).................................................... 620,344
2,700 Data General (b)............................................................. 39,319
135,400 Dell Computer Corporation (b)................................................ 5,009,800
2,400 EG&G, Inc.................................................................... 85,500
26,300 Electronic Data Systems Corporation.......................................... 1,487,594
53,900 EMC Corporation (b).......................................................... 2,964,500
23,000 First Data Corporation....................................................... 1,125,563
8,400 Gateway 2000 (b)............................................................. 495,600
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
9,200 General Instrument Corporation (b)........................................... $ 391,000
4,200 Harris Corporation........................................................... 164,588
54,000 Hewlett-Packard Company...................................................... 5,427,000
16,900 IMS Health, Inc.............................................................. 528,125
176,200 Intel........................................................................ 10,483,900
96,600 International Business Machines.............................................. 12,485,550
4,600 KLA-Tencor Corporation (b)................................................... 298,425
7,600 LSI Logic Corporation (c).................................................... 350,550
161,485 Lucent Technologies, Inc..................................................... 10,890,145
13,300 Micron Technology, Inc. (b).................................................. 536,156
271,400 Microsoft Corporation (b).................................................... 24,476,888
32,100 Motorola, Inc................................................................ 3,041,475
8,900 National Semiconductor Corporation (b)....................................... 225,281
3,800 Network Appliance Incorporated (b)........................................... 212,325
35,300 Northern Telecom Limited (b)................................................. 3,064,481
17,800 Novell, Inc. (b)............................................................. 471,700
76,662 Oracle Corporation (b)....................................................... 2,846,077
14,400 Parametric Technology Corporation (b)........................................ 199,800
13,000 Paychex, Inc................................................................. 414,375
12,700 Peoplesoft, Inc. (b)......................................................... 219,075
2,800 Perkin-Elmer Corporation..................................................... 321,300
3,900 Scientific-Atlanta, Inc...................................................... 140,400
12,000 Seagate Technology, Inc. (b)................................................. 307,500
1,500 Shared Medical Systems....................................................... 97,875
9,900 Silicon Graphics, Inc. (b)................................................... 162,113
</TABLE>
See accompanying notes to investments in securities.
69
<PAGE>
INDEX 500 PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
41,200 Sun Microsystems, Inc. (b)................................................... $ 2,837,650
2,500 Tektronix, Inc............................................................... 75,469
20,900 Tellabs, Inc. (b)............................................................ 1,412,056
20,900 Texas Instruments, Inc....................................................... 3,030,500
3,000 Thomas & Betts Corporation................................................... 141,750
14,400 Unisys Corporation (b)....................................................... 560,700
5,000 W.W. Grainger, Inc........................................................... 269,063
------------
123,254,442
------------
TRANSPORTATION (.9%)
Air Freight (.1%)
15,900 Federal Express Corporation (b).............................................. 862,575
------------
Airlines (.3%)
8,100 AMR Corporation (b).......................................................... 552,825
7,400 Delta Air Lines, Inc......................................................... 426,425
17,850 Southwest Airlines Company................................................... 555,581
3,900 U.S. Airways Group, Inc. (b)................................................. 169,894
------------
1,704,725
------------
Railroads (.5%)
25,119 Burlington Northern Santa Fe................................................. 778,689
11,600 CSX Corporation.............................................................. 525,625
5,900 Kansas City Southern Industries.............................................. 376,494
20,400 Norfolk Southern Corporation................................................. 614,550
13,100 Union Pacific Corporation.................................................... 763,894
------------
3,059,252
------------
Transport Services ( -- )
17,700 Laidlaw, Inc. (c)............................................................ 130,538
------------
Trucking ( -- )
3,800 Ryder System, Inc............................................................ 98,800
------------
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
UTILITIES (2.8%)
Electric Companies (2.1%)
10,100 AES Corporation (b).......................................................... $ 587,063
7,300 Ameren Corporation........................................................... 280,138
10,200 American Electric Power Company.............................................. 383,138
7,900 Baltimore Gas & Electric Company............................................. 234,038
8,100 Carolina Power & Light Company............................................... 346,781
11,400 Central & Southwest Corporation.............................................. 266,475
8,432 Cinergy...................................................................... 269,824
6,300 CMS Energy Corporation....................................................... 263,813
12,100 Consolidated Edison, Inc..................................................... 547,525
10,250 Dominion Resources, Inc...................................................... 443,953
7,700 DTE Energy Company........................................................... 308,000
19,450 Duke Energy Corporation...................................................... 1,057,594
18,600 Edison International......................................................... 497,550
13,200 Entergy Corporation.......................................................... 412,500
12,500 FirstEnergy Corporation...................................................... 387,500
5,100 Florida Progress Corporation................................................. 210,694
9,600 FPL Group, Inc............................................................... 524,400
6,700 GPU, Inc..................................................................... 282,656
15,822 Houston Industries, Inc...................................................... 437,083
6,100 New Century Energies, Inc.................................................... 236,756
9,900 Niagara Mohawk Power Corporation (b)......................................... 159,019
8,100 Northern States Power Company................................................ 195,919
20,500 Pacific Gas & Electric Company............................................... 666,250
16,000 Pacificorp................................................................... 294,000
10,200 Peco Energy Company.......................................................... 427,125
8,400 PP&L Resources, Inc.......................................................... 258,300
</TABLE>
See accompanying notes to investments in securities.
70
<PAGE>
INDEX 500 PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
UTILITIES--CONTINUED
11,650 Public Service Enterprise Group.............................................. $ 476,194
37,200 Southern Company............................................................. 985,800
15,062 Texas Utilities Company...................................................... 621,308
11,600 Unicom Corporation........................................................... 447,325
------------
12,508,721
------------
Natural Gas (.7%)
11,300 Coastal Corporation.......................................................... 452,000
4,350 Columbia Gas System, Inc..................................................... 272,691
5,100 Consolidated Natural Gas Company............................................. 309,825
18,900 Enron Corporation............................................................ 1,545,075
2,500 Nicor, Inc................................................................... 95,156
1,700 Oneok, Inc................................................................... 53,975
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
UTILITIES--CONTINUED
1,800 Peoples Energy Corporation................................................... $ 67,838
12,766 Sempra Energy................................................................ 288,831
5,800 Sonat, Inc................................................................... 192,125
23,300 The Williams Company......................................................... 991,706
------------
4,269,222
------------
Total common stock (cost: $306,168,274).................................................... 601,258,718
------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
DEPOSITORY RECEIPT (.9%)
38,000 S&P 500 Depository Receipt................................................... 5,204,219
------------
Total depository receipt
(cost: $4,504,679)........................................................................ 5,204,219
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- -----------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (.2%)
$ 1,157,877 Temporary Investment Fund--Temp Fund Portfolio, current rate 4.830%.......... 1,157,877
------------
Total short-term securities (cost: $1,157,877)............................... 1,157,877
------------
Total investments in securities (cost: $311,830,830) (d)..................... $607,620,814
------------
------------
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held 2.7% of net assets in foreign securities at June 30,
1999.
(d) At June 30, 1999 the cost of securities for federal income tax purposes was
$315,323,802. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation..................... $302,830,151
Gross unrealized depreciation..................... (10,533,139)
------------
Net unrealized appreciation....................... $292,297,012
------------
------------
</TABLE>
71
<PAGE>
CAPITAL APPRECIATION PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ---------- ------------
<C> <S> <C>
COMMON STOCK (98.4%)
CAPITAL GOODS (14.5%)
Electrical Equipment (5.4%)
265,100 CBS Corporation (b).......................................................... $ 11,515,281
83,400 General Electric Company..................................................... 9,424,200
------------
20,939,481
------------
Manufacturing (4.7%)
194,400 Tyco International, Ltd...................................................... 18,419,400
------------
Waste Management (4.4%)
322,200 Waste Management, Inc........................................................ 17,318,250
------------
COMMUNICATION SERVICES (6.3%)
Cellular (.9%)
16,950 Vodafone AirTouch PLC (c).................................................... 3,339,150
------------
Telecommunication (3.2%)
144,600 MCI Worldcom, Inc. (b)....................................................... 12,471,750
------------
Telephone (2.2%)
153,300 AT&T Corporation............................................................. 8,556,056
------------
CONSUMER CYCLICAL (16.4%)
Building Materials (1.4%)
189,400 Masco Corporation............................................................ 5,468,925
------------
Retail (8.7%)
207,375 Dollar General Corporation (b)............................................... 6,013,875
196,199 Home Depot, Inc.............................................................. 12,642,573
476,400 Office Depot, Inc. (b)....................................................... 10,510,575
97,600 Wal-Mart Stores.............................................................. 4,709,200
------------
33,876,223
------------
Service (4.8%)
398,600 Cendant Corporation (b)...................................................... 8,171,300
247,800 Quintiles Transnational (b).................................................. 10,407,600
------------
18,578,900
------------
Textiles (1.5%)
80,500 Tommy Hilfiger Corporation (b)............................................... 5,916,750
------------
<CAPTION>
MARKET
SHARES VALUE(a)
- ---------- ------------
<C> <S> <C>
CONSUMER STAPLES (8.5%)
Broadcasting (1.5%)
85,857 Clear Channel Communications................................................. $ 5,918,767
------------
Entertainment (3.0%)
237,800 Carnival Corporation......................................................... 11,533,300
------------
Restaurants (1.5%)
159,200 Starbucks Corporation (b).................................................... 5,979,950
------------
Retail (2.5%)
192,300 CVS Corporation.............................................................. 9,831,337
------------
FINANCIAL (14.7%)
Banks (5.4%)
89,852 BankAmerica Corporation...................................................... 6,587,307
343,100 Wells Fargo Company.......................................................... 14,667,525
------------
21,254,832
------------
Consumer Finance (2.4%)
301,950 MBNA Corporation............................................................. 9,247,219
------------
Finance--Diversified (4.6%)
228,300 Federal National Mortgage Association........................................ 15,610,012
49,600 MGIC Investment Corporation.................................................. 2,411,800
------------
18,021,812
------------
Insurance (2.3%)
97,300 Providian Financial Corporation.............................................. 9,097,550
------------
HEALTH CARE (7.9%)
Drugs (4.1%)
192,850 Cardinal Health, Inc......................................................... 12,366,506
33,200 Pfizer, Inc.................................................................. 3,643,700
------------
16,010,206
------------
Health Care--Diversified (2.4%)
137,000 Warner-Lambert Company....................................................... 9,504,375
------------
Special Services (1.4%)
428,500 Omnicare, Inc................................................................ 5,409,812
------------
</TABLE>
See accompanying notes to investments in securities.
72
<PAGE>
CAPITAL APPRECIATION PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ---------- ------------
<C> <S> <C>
TECHNOLOGY (27.6%)
156,700 ADC Telecommunications, Inc. (b)............................................. $ 7,139,644
42,400 America Online, Inc. (b)..................................................... 4,685,200
246,700 BMC Software, Inc. (b)....................................................... 13,321,800
112,350 Cisco Systems, Inc. (b)...................................................... 7,246,575
373,100 Compuware Corporation (b).................................................... 11,869,244
131,400 Dell Computer Corporation (b)................................................ 4,861,800
263,400 Fiserv (b)................................................................... 8,247,713
146,000 Intel........................................................................ 8,687,000
53,800 Microsoft Corporation (b).................................................... 4,852,088
<CAPTION>
MARKET
SHARES VALUE(a)
- ---------- ------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
106,200 Oracle Corporation (b)....................................................... $ 3,942,675
315,100 Sterling Commerce, Inc. (b).................................................. 11,501,150
174,800 Synopsys, Inc. (b)........................................................... 9,646,775
177,000 Tellabs, Inc. (b)............................................................ 11,958,563
------------
107,960,227
------------
TRANSPORTATION (2.5%)
Railroads (2.5%)
151,100 Kansas City Southern Industries.............................................. 9,642,069
------------
Total common stock
(cost: $272,028,165)..................................................................... 384,296,341
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ----------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (2.0%)
$2,220,000 Federal Home Loan Mortgage Corporation..................... 4.822% 07/14/99 2,216,119
5,826,840 Temporary Investment Fund--Temp Fund Portfolio, current rate 4.830%.......... 5,826,840
------------
Total short-term securities (cost: $8,043,034)............................... 8,042,959
------------
Total investments in securities (cost: $280,071,199) (d)..................... $392,339,300
------------
------------
</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 .9% of net assets in foreign securities as of June 30,
1999.
(d) At June 30, 1999 the cost of securities for federal income tax purposes was
$281,000,343. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation............................... $121,957,788
Gross unrealized depreciation............................... (10,618,831)
------------
Net unrealized appreciation................................. $111,338,957
------------
------------
</TABLE>
73
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- ------------
<C> <S> <C>
COMMON STOCK (89.0%)
ARGENTINA (.6%)
Telephone (.6%)
61,330 Telefonica De Argentina ADR......................................... $ 1,924,229
------------
AUSTRALIA (3.7%)
Air Freight (.8%)
752,100 Mayne Nickless, Ltd................................................. 2,593,448
Insurance (.5%)
1,840,000 Reinsurance Australia Corporation................................... 1,546,322
Manufacturing (1.6%)
2,024,901 Pioneer International, Ltd.......................................... 5,199,672
Telephone (.8%)
1,203,360 Cable & Wireless Optus (b).......................................... 2,760,994
------------
12,100,436
------------
AUSTRIA (.9%)
Engineering/Construction (.3%)
10,850 Va Technologie 144A Issue (c)....................................... 985,962
Oil & Gas (.4%)
8,400 Evn................................................................. 1,232,095
Real Estate (.2%)
12,980 Boehler Uddeholm 144A Issue (c)..................................... 644,338
------------
2,862,395
------------
BERMUDA (1.4%)
Insurance (1.4%)
83,200 Xl Capital Ltd. .................................................... 4,700,800
------------
BRAZIL (.7%)
Telecommunication (.7%)
99,200 Telesp Part ADR..................................................... 2,269,200
------------
CANADA (3.8%)
Agriculture Products (.6%)
212,200 Agrium, Inc. ....................................................... 1,870,012
Banks (.4%)
50,000 Imperial Bank Canada................................................ 1,200,000
Oil & Gas (2.1%)
470,100 Ranger Oil, Ltd. ................................................... 2,321,119
343,100 Renaissance Energy Ltd. (b)......................................... 4,645,046
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- ------------
<C> <S> <C>
CANADA--CONTINUED
Transport Services (.7%)
321,015 Laidlaw, Inc. ...................................................... $ 2,367,486
------------
12,403,663
------------
CHILE (1.1%)
Electric Companies (.7%)
132,366 Gener SA............................................................ 2,349,497
Telecommunication (.4%)
59,500 Cia Telecom Chile ADR............................................... 1,472,625
------------
3,822,122
------------
CHINA (.4%)
Textiles (.4%)
5,313,800 Yizheng Chemical Fibre Company, LTD. ............................... 1,386,977
------------
FINLAND (2.8%)
Banks (2.5%)
1,085,000 Merita Bank......................................................... 6,184,005
177,073 Stora Enso-Oyj...................................................... 1,930,294
Paper and Forest (.3%)
107,500 Metsa-Serla B....................................................... 916,272
------------
9,030,571
------------
FRANCE (7.6%)
Aluminum (.3%)
40,894 Pechiney ADR........................................................ 874,109
Banks (.9%)
35,000 Banque Nationale De Paris ADR 144A Issue (c)........................ 2,916,428
Chemicals (3.0%)
27,862 Elf Aquitaine....................................................... 4,101,150
122,325 Rhone-Poulenc....................................................... 5,606,676
Investment Bankers/Brokers (1.6%)
42,227 AXA................................................................. 5,167,298
Mining (.1%)
7,000 Pechiney............................................................ 301,797
Telecommunication (1.7%)
97,000 Alcatel ADR......................................................... 2,752,375
19,365 Alcatel Alsthom..................................................... 2,734,253
------------
24,454,086
------------
GERMANY (4.5%)
Banks (1.7%)
91,166 Deutsche Bank....................................................... 5,577,970
Chemicals (1.4%)
49,400 Bayer............................................................... 2,061,859
54,500 Hoechst............................................................. 2,474,854
</TABLE>
See accompanying notes to investments in securities.
74
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- ------------
<C> <S> <C>
GERMANY--CONTINUED
Electric Companies (1.4%)
79,300 Veba................................................................ $ 4,675,591
------------
14,790,274
------------
HONG KONG (6.4%)
Aerospace/Defense (.5%)
821,900 Hong Kong Aircraft Engineering...................................... 1,589,093
Airlines (1.0%)
674,000 Swire Pacific A..................................................... 3,336,032
Banks (1.0%)
89,014 HSBC Holdings....................................................... 3,247,011
Electric Companies (1.0%)
965,000 Hong Kong Electric Holdings......................................... 3,109,613
Houseware (.7%)
448,568 Jardine Strategic Holding........................................... 1,166,277
1,519,800 Swire Pacific B..................................................... 1,136,197
Investment Bankers/Brokers ( -- )
113,000 Peregrine Investment Holdings....................................... --
Publishing (.2%)
1,109,000 South China Morning Post Holdings................................... 621,813
Real Estate (.6%)
221,000 Hutchison Whampoa................................................... 2,001,141
Restaurants (.4%)
3,201,000 Cafe De Coral Holdings.............................................. 1,402,825
Telecommunication (1.0%)
1,222,000 Hong Kong Telecom................................................... 3,173,842
------------
20,783,844
------------
INDONESIA (.4%)
Telecommunication (.4%)
62,600 PT Indosat ADR...................................................... 1,220,700
------------
ISRAEL (1.2%)
Drugs (1.2%)
78,700 Teva Pharmaceutical................................................. 3,856,300
------------
ITALY (2.2%)
Auto (.6%)
639,760 Fiat SPA............................................................ 2,031,627
Telecommunication (1.6%)
278,000 Sirti SPA........................................................... 1,345,796
694,300 Telecom Italia SPA.................................................. 3,777,647
------------
7,155,070
------------
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- ------------
<C> <S> <C>
JAPAN (6.5%)
Drugs (1.1%)
105,000 Ono Pharmaceutical.................................................. $ 3,638,314
Electrical Equipment (1.3%)
40,000 Sony Corporation.................................................... 4,306,575
Investment Bankers/Brokers (1.7%)
463,200 The Nomura Securities Company, Ltd. ................................ 5,415,019
Telecommunication (1.3%)
375 NTT................................................................. 4,362,264
Water Utilities (1.1%)
201,000 Kurita Water Industries Ltd. ....................................... 3,598,465
------------
21,320,637
------------
MEXICO (2.0%)
Mining (.7%)
540,000 Grupo Mexico Series B............................................... 2,313,462
Telecommunication (1.3%)
53,610 Telefonos De Mexico ADR............................................. 4,332,358
------------
6,645,820
------------
NETHERLANDS (4.0%)
Electrical Equipment (1.6%)
52,440 Philips Electronics................................................. 5,188,432
Insurance (.7%)
29,608 Aegon............................................................... 2,154,575
Investment Bankers/Brokers (1.6%)
94,687 Ing Groep........................................................... 5,142,072
Retail (.1%)
16,703 Vendex.............................................................. 447,489
------------
12,932,568
------------
NEW ZEALAND (.6%)
Airlines ( -- )
52,000 Air New Zealand B................................................... 108,356
Health Care -- Diversified (.6%)
1,654,000 Carter Holt Harvey.................................................. 1,997,243
------------
2,105,599
------------
NORWAY (.9%)
Aluminum (.4%)
78,000 Elkem............................................................... 1,388,430
Oil & Gas (.5%)
98,000 Saga Petroleum...................................................... 1,650,985
------------
3,039,415
------------
</TABLE>
See accompanying notes to investments in securities.
75
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- ------------
<C> <S> <C>
PHILIPPINES (.5%)
Telecommunication (.5%)
54,000 Philippine Long Distance............................................ $ 1,626,750
------------
PORTUGAL (.6%)
Investment Bankers/Brokers (.6%)
85,560 BPI-SGPS, SA........................................................ 1,801,041
------------
SINGAPORE (.2%)
Air Freight (.2%)
78,000 Singapore Airlines.................................................. 743,294
------------
SOUTH AFRICA (.6%)
Metal Fabrication (.6%)
78,879 Anglo American Platinum............................................. 1,848,409
------------
SOUTH KOREA (.6%)
Telecommunication (.6%)
45,900 Korea Telecom ADR (b)............................................... 1,836,000
------------
SPAIN (6.0%)
Banks (2.0%)
108,000 Argentaria Bancaria ADR............................................. 4,968,000
45,800 Banco de Andalucia.................................................. 1,610,768
Electric Companies (1.9%)
110,000 Endesa.............................................................. 2,353,053
250,000 Iberdrola........................................................... 3,819,522
Oil & Gas (1.1%)
171,000 Repsol.............................................................. 3,502,272
Telecommunication (1.0%)
70,600 Telefonica De Esp................................................... 3,411,168
------------
19,664,783
------------
SWEDEN (4.6%)
Auto (1.4%)
109,900 Autoliv, Inc. ...................................................... 3,324,475
35,000 Autoliv, Inc. ...................................................... 1,074,116
Banks (1.1%)
286,500 Svenska Handlesbanken A............................................. 3,462,646
Publishing (.5%)
114,500 Esselte............................................................. 1,153,208
114,500 Meto (b)............................................................ 571,177
Trucks and Parts (1.6%)
178,500 Volvo............................................................... 5,213,609
------------
14,799,231
------------
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- ------------
<C> <S> <C>
SWITZERLAND (3.9%)
Banks (1.0%)
18,525 Credit Suisse Group................................................. $ 3,215,606
Electrical Equipment (.8%)
1,730 Asea Brown Boveri (b)............................................... 2,567,594
Investment Bankers/Brokers (1.5%)
8,350 Zurich Allied....................................................... 4,763,115
Telecommunication (.6%)
5,185 Swisscom............................................................ 1,957,298
------------
12,503,613
------------
THAILAND (.8%)
Banks (.8%)
699,600 Bangkok Bank........................................................ 2,623,500
------------
UNITED KINGDOM (18.4%)
Airlines (1.8%)
832,600 British Airways..................................................... 5,746,936
Auto (1.1%)
829,900 Rolls-Royce......................................................... 3,513,531
Banks (1.1%)
118,943 Barclays............................................................ 3,462,138
Chemicals (2.2%)
1,775,000 Medeva.............................................................. 2,910,754
575,580 Nycomed Amersham.................................................... 4,098,217
Construction (.2%)
257,100 Hepworth............................................................ 798,623
Electric Companies (.5%)
208,775 National Power...................................................... 1,520,877
Electrical Equipment (1.6%)
1,083,213 Invensys PLC........................................................ 5,128,267
Engineering/Construction (.1%)
190,368 Fairview Holdings................................................... 403,729
Food (1.2%)
387,833 Somerfield.......................................................... 1,819,305
322,900 Tate & Lyle......................................................... 2,028,944
Houseware (.4%)
690,000 Elementis........................................................... 1,147,824
Iron and Steel (1.8%)
2,225,400 British Steel....................................................... 5,763,512
Natural Gas (.5%)
738,990 Centrica PLC........................................................ 1,736,195
Oil & Gas (1.6%)
703,100 Shell Transportation & Trading...................................... 5,274,359
Retail (1.9%)
534,300 Marks & Spencer..................................................... 3,091,897
1,460,200 Storehouse.......................................................... 3,142,815
Telecommunication (1.3%)
260,000 British Telecom..................................................... 4,357,931
</TABLE>
See accompanying notes to investments in securities.
76
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- ------------
<C> <S> <C>
UNITED KINGDOM--CONTINUED
Water Utilities (1.1%)
168,500 Hyder PLC........................................................... $ 1,990,011
104,762 Thames Water........................................................ 1,661,788
------------
59,597,653
------------
VENEZUELA (1.1%)
Telecommunication (1.1%)
130,900 Cia Anonima Telefonos ADR........................................... 3,567,025
------------
Total common stock
(cost: $235,553,511)........................................................... 289,416,005
------------
</TABLE>
<TABLE>
<C> <S> <C>
PREFERRED STOCK (1.5%)
BRAZIL (1.2%)
Oil & Gas (.7%)
137,900 Petrobras........................................................... 2,123,398
<CAPTION>
MARKET
SHARES VALUE(a)
- --------- ------------
<C> <S> <C>
BRAZIL--CONTINUED
Telecommunication (.5%)
113,800 Embratel Part ADR................................................... $ 1,578,975
------------
3,702,373
------------
FRANCE ( -- )
Aluminum ( -- )
2,000 Pechiney SA......................................................... 81,097
------------
GERMANY (.2%)
Houseware (.2%)
46,192 Moebel Walther...................................................... 719,104
------------
UNITED KINGDOM (.1%)
Water Utilities (.1%)
137,700 Hyder PLC........................................................... 238,836
------------
Total preferred stock
(cost: $9,275,886)............................................................. 4,741,410
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ----------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (9.0%)
$8,602,000 Norwest Advantage Cash Investment Fund, current rate 5.059%........ 8,602,000
1,930,000 U.S. Treasury Bill............................... 4.220% 07/22/99 11,899,326
7,600,000 U.S. Treasury Bill............................... 4.240% 08/05/99 7,567,948
707,000 U.S. Treasury Bill............................... 4.440% 09/02/99 701,457
500,000 U.S. Treasury Bill............................... 4.790% 11/12/99 491,178
------------
Total short-term securities (cost: $29,260,914).................... 29,261,909
------------
Total investments in securities (cost: $274,090,311)............... $323,419,324
------------
------------
</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) Represents ownership in an illiquid security which has not been registered
with the Securities and Exchange Commission under the Securities Act of
1933. (See note 7 to the financial statements.) Information concerning the
illiquid securities held at June 30, 1999 includes acquisition date and
cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
- ------------------------------------------------- ----------- ------------
<S> <C> <C>
Bohler-Uddeholm 144A Issue....................... Various $ 824,910
Va Technologie 144A Issue........................ Various 1,026,767
Banque Nationale De Paris ADR 144A Issue......... Various 1,470,320
------------
$ 3,321,997
------------
------------
</TABLE>
(d) At June 30, 1999 the cost of securities for federal income tax purposes was
$278,000,082. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 74,602,366
Gross unrealized depreciation.......... (29,183,124)
------------
Net unrealized appreciation............ $ 45,419,242
------------
------------
</TABLE>
77
<PAGE>
SMALL COMPANY GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ---------- ------------
<C> <S> <C>
COMMON STOCK (93.5%)
BASIC MATERIALS (4.1%)
Agriculture Products (2.2%)
114,750 NCO Group, Inc. (b).......................................................... $ 4,360,500
------------
Chemicals (1.9%)
139,978 Cambrex Corporation.......................................................... 3,674,422
------------
CAPITAL GOODS (7.0%)
Aerospace/Defense (1.0%)
83,000 HEICO Corporation............................................................ 2,012,750
------------
Engineering/Construction (5.0%)
103,650 Dycom Industries, Inc. (b)................................................... 5,804,400
130,900 United Rentals, Inc. (b)..................................................... 3,861,550
------------
9,665,950
------------
Manufacturing (1.0%)
67,000 Graco, Inc................................................................... 1,968,125
------------
COMMUNICATION SERVICES (2.5%)
Cellular (2.5%)
121,700 Aerial Communications, Inc. (b).............................................. 1,642,950
42,000 Omnipoint Corporation (b).................................................... 1,215,375
29,800 Powertel, Inc. (b)........................................................... 890,275
24,300 VoiceStream Wireless Corporation (b)......................................... 691,031
15,600 Western Wireless Corporation (b)............................................. 421,200
------------
4,860,831
------------
CONSUMER CYCLICAL (20.1%)
Auto (1.1%)
80,200 CSK Auto Corporation (b)..................................................... 2,165,400
------------
Distribution Durables (.3%)
59,200 MSC Industrial Direct Company (b)............................................ 606,800
------------
Leisure (1.0%)
76,110 National R V Holdings, Inc. (b).............................................. 1,869,452
------------
<CAPTION>
MARKET
SHARES VALUE(a)
- ---------- ------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Retail (5.2%)
85,500 Abercrombie & Fitch Company (b).............................................. $ 4,104,000
128,700 David's Bridal, Inc. (b)..................................................... 2,002,894
24,200 Kohl's Corporation (b)....................................................... 1,867,937
5,800 Media Metrix, Inc. (b)....................................................... 308,850
45,000 Steven Madden, Ltd. (b)...................................................... 610,312
42,800 Tuesday Morning Corporation (b).............................................. 1,091,400
------------
9,985,393
------------
Service (9.8%)
249,100 Acxiom Corporation (b)....................................................... 6,211,931
267,100 Copart, Inc. (b)............................................................. 5,675,875
346,700 Fairfield Communities, Inc. (b).............................................. 5,590,537
66,800 Metamor Worldwide, Inc. (b).................................................. 1,607,375
------------
19,085,718
------------
Textiles (2.7%)
162,500 Tropical Sportswear International (b)........................................ 5,179,687
------------
CONSUMER STAPLES (2.8%)
Broadcasting (2.8%)
148,900 TV Guide, Inc. (b)........................................................... 5,453,462
------------
Food & Health ( -- )
500 Valley Medica, Inc. (b)...................................................... 7,437
------------
ENERGY (2.0%)
Oil (.9%)
190,400 Newpark Resources, Inc. (b).................................................. 1,689,800
------------
Oil & Gas (1.1%)
59,300 Global Marine (b)............................................................ 915,444
85,900 Tuboscope, Inc. (b).......................................................... 1,175,756
------------
2,091,200
------------
FINANCIAL (2.7%)
Commercial Finance (1.0%)
59,300 Health Care Financial Partners (b)........................................... 2,031,025
------------
</TABLE>
See accompanying notes to investments in securities.
78
<PAGE>
SMALL COMPANY GROWTH PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ---------- ------------
<C> <S> <C>
FINANCIAL--CONTINUED
Insurance (.8%)
46,650 Reinsurance Group of America, Inc............................................ $ 1,644,412
------------
Investment Bankers/Brokers (.4%)
11,400 Knight/Trimark Group, Inc. (b)............................................... 687,562
------------
Savings and Loans (.5%)
23,200 Telebanc Financial Corporation (b)........................................... 899,000
------------
HEALTH CARE (12.6%)
Biotechnology (2.3%)
34,900 Gilead Sciences, Inc. (b).................................................... 1,823,525
96,500 Pharmaceutical Product Development, Inc. (b)................................. 2,641,687
------------
4,465,212
------------
Drugs (1.0%)
104,400 Cygnus, Inc. (b)............................................................. 1,357,200
54,500 United Therapeutics Corporation (b).......................................... 647,188
------------
2,004,388
------------
Hospital Management (2.3%)
130,333 Sunrise Assisted Living, Inc. (b)............................................ 4,545,363
------------
Managed Care (2.4%)
170,984 Concentra Managed Care, Inc. (b)............................................. 2,532,701
43,600 TLC The Laser Center, Inc. (b)............................................... 2,092,800
------------
4,625,501
------------
Medical Products/Supplies (4.6%)
121,800 Hanger Orthopedic Group (b).................................................. 1,728,038
99,900 Patterson Dental Company (b)................................................. 3,471,525
133,100 Sybron International Corporation (b)......................................... 3,668,573
------------
8,868,136
------------
TECHNOLOGY (35.8%)
60,600 Alpha Industries, Inc. (b)................................................... 2,886,075
81,000 ANADIGICS, Inc. (b).......................................................... 2,997,000
<CAPTION>
MARKET
SHARES VALUE(a)
- ---------- ------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
35,000 Ancor Communications (b)..................................................... $ 1,133,125
38,400 Cree Research, Inc. (b)...................................................... 2,954,400
254,100 DII Group, Inc. (b).......................................................... 9,481,106
97,400 DuPont Photomasks, Inc. (b).................................................. 4,663,025
22,000 E-Tek Dynamics, Inc. (b)..................................................... 945,567
21,500 Galileo Technology Ltd. (b)(c)............................................... 974,219
178,400 GaSonics International Corporation (b)....................................... 2,497,600
117,250 Global Imaging Systems, Inc. (b)............................................. 2,139,813
87,300 Infinium Software, Inc. (b).................................................. 458,325
150,900 IntraNet Solutions, Inc. (b)................................................. 1,273,219
50,200 ISS Group, Inc. (b).......................................................... 1,895,050
2,900 Juniper Networks, Inc. (b)................................................... 432,100
82,250 Mastech Corporation (b)...................................................... 1,531,906
126,700 Maximus, Inc. (b)............................................................ 3,642,625
67,400 MedQuist, Inc. (b)........................................................... 2,948,750
79,100 Orbotech, Ltd. (b)(c)........................................................ 4,123,088
66,600 Peapod, Inc. (b)............................................................. 528,638
21,300 PMC-Sierra, Inc. (b)......................................................... 1,255,369
53,000 Powerwave Technologies, Inc. (b)............................................. 1,709,250
14,500 Sapient Corporation (b)...................................................... 821,063
113,400 Saville Systems PLC ADR (b)(c)............................................... 1,644,300
23,800 Sawtek, Inc. (b)............................................................. 1,091,825
126,300 Secure Computing Corporation (b)............................................. 307,856
175,200 Softworks, Inc. (b).......................................................... 1,927,200
45,700 Terayon Communication Systems (b)............................................ 2,553,488
70,500 The Bisys Group, Inc. (b).................................................... 4,124,250
17,900 Transwitch Corporation (b)................................................... 820,633
13,600 Uniphase Corporation (b)..................................................... 2,257,600
49,300 Vitesse Semiconductor Corporation (b)........................................ 3,324,669
------------
69,343,134
------------
</TABLE>
See accompanying notes to investments in securities.
79
<PAGE>
SMALL COMPANY GROWTH PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ---------- ------------
<C> <S> <C>
TRANSPORTATION (3.9%)
Air Freight (2.6%)
117,200 Eagle USA Airfreight, Inc. (b)............................................... $ 4,973,675
------------
Airlines (.9%)
68,500 Skywest, Inc................................................................. 1,708,219
------------
<CAPTION>
MARKET
SHARES VALUE(a)
- ---------- ------------
<C> <S> <C>
TRANSPORTATION--CONTINUED
Transport Services (.4%)
35,900 Preview Travel, Inc. (b)..................................................... $ 787,556
------------
Total common stock
(cost: $126,585,382)..................................................................... 181,260,110
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ----------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (7.8%)
$6,365,026 Temporary Investment Fund--Temp Fund Portfolio, current rate 4.830%.......... 6,365,026
2,665,000 Federal National Mortgage Association...................... 5.107% 08/06/99 2,652,155
1,670,000 U.S. Treasury Bill......................................... 4.322% 07/15/99 1,667,675
1,005,000 U.S. Treasury Bill......................................... 4.532% 08/19/99 998,927
3,560,000 U.S. Treasury Bill......................................... 4.797% 09/23/99 3,522,040
------------
Total short-term securities (cost: $15,203,307).............................. 15,205,823
------------
Total investments in securities (cost: $141,788,689) (d)..................... $196,465,933
------------
------------
</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 3.5% of net assets in foreign securities as of June 30,
1999.
(d) At June 30, 1999 the cost of securities for federal income tax purposes was
$145,153,078. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $59,965,122
Gross unrealized depreciation.......... (8,652,267)
-----------
Net unrealized appreciation............ $51,312,855
-----------
-----------
</TABLE>
80
<PAGE>
MATURING GOVERNMENT BOND 2002 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(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%)
$1,085,000 Federal Home Loan Mortgage Corporation Strip (b)........... 4.835% 08/15/02 $ 903,497
500,000 Financial Corporation Strip (b)............................ 7.040% 06/27/02 418,234
360,000 Financial Corporation Strip (b)............................ 6.362% 09/07/02 297,558
525,000 FNMA Strip (b)............................................. 7.600% 02/01/02 450,948
281,000 FNMA Strip (b)............................................. 5.370% 05/29/03 221,568
425,000 FNMA Strip (b)............................................. 6.367% 08/01/03 331,432
500,000 FNMA Strip (b)............................................. 5.250% 08/15/03 388,999
182,000 Israel Government Trust Certificates (b)................... 7.030% 05/15/02 153,877
325,000 Israel Government Trust Certificates (b)................... 5.946% 05/15/02 274,781
250,000 Israel Government Trust Certificates (b)................... 5.530% 11/15/02 205,350
1,150,000 Tennessee Valley Authority Strip (b)....................... 7.400% 04/15/03 912,340
190,000 U.S. Treasury Principal Strip (c).......................... 5.868% 02/15/03 154,711
925,000 U.S. Treasury Strip (b).................................... 6.173% 08/15/02 776,037
2,410,000 U.S. Treasury Strip (b).................................... 5.744% 02/15/03 1,958,243
----------
Total long-term debt securities (cost: $7,447,782)........................... 7,447,575
----------
SHORT-TERM SECURITIES (1.2%)
87,443 Trust for Federal Securities--Federal Trust Fund, current rate 4.780%........ 87,443
----------
Total short-term securities (cost: $87,443).................................. 87,443
----------
Total investments in securities (cost: $7,535,225) (d)....................... $7,535,018
----------
----------
</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) For principal only issues (strips) the interest rate disclosed represents
current yield based upon estimated future cash flows.
(d) At June 30, 1999 the cost of securities for federal income tax purposes was
$7,542,514. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 88,585
Gross unrealized depreciation.......... (96,081)
--------
Net unrealized depreciation............ $ (7,496)
--------
--------
</TABLE>
81
<PAGE>
MATURING GOVERNMENT BOND 2006 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(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 (98.3%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (98.3%)
$ 686,000 Financial Corporation Strip (b)............................ 5.142% 11/11/06 $ 430,403
921,000 Financial Corporation Strip (b)............................ 7.647% 09/07/07 547,156
810,000 FNMA Strip (b)............................................. 7.620% 08/01/05 554,136
613,000 FNMA Strip (b)............................................. 5.745% 04/08/07 375,903
553,000 Israel Government Trust Certificate (b).................... 7.440% 11/15/05 373,601
1,000,000 Israel State Aid Strip (b)................................. 6.578% 11/15/06 637,539
1,000,000 Resolution Funding Corporation Strip (b)................... 7.461% 07/15/07 613,849
3,475,000 U.S. Treasury Strip (b).................................... 6.149% 11/15/06 2,245,750
1,560,000 U.S. Treasury Strip (b).................................... 5.576% 02/15/07 991,768
----------
Total long-term debt securities (cost: $6,615,034)........................... 6,770,105
----------
SHORT-TERM SECURITIES (1.5%)
101,433 Trust for Federal Securities--Federal Trust Fund, current rate 4.780%........ 101,433
----------
Total short-term securities (cost: $101,433)................................. 101,433
----------
Total investments in securities (cost: $6,716,467) (c)....................... $6,871,538
----------
----------
</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, 1999 the cost of securities for federal income tax purposes was
$6,750,050. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 241,255
Gross unrealized depreciation.......... (119,767)
---------
Net unrealized appreciation............ $ 121,488
---------
---------
</TABLE>
82
<PAGE>
MATURING GOVERNMENT BOND 2010 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(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 (98.5%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (98.5%)
$ 412,000 Financial Corporation Strip (b)............................ 5.490% 11/02/10 $ 194,991
945,000 Financial Corporation Strip (b)............................ 7.920% 08/08/11 423,624
719,000 FNMA Strip (b)............................................. 6.000% 11/29/09 366,035
444,000 FNMA Strip (b)............................................. 5.870% 05/29/10 218,363
950,000 FNMA Strip (b)............................................. 5.695% 09/23/10 457,016
132,000 Israel Government Trust Certificate (b).................... 7.660% 05/15/10 65,778
515,000 Israel State Aid Strip (b)................................. 8.264% 03/15/10 261,722
1,100,000 Israel State Aid Strip (b)................................. 6.850% 08/15/11 507,088
550,000 Resolution Funding Corporation Strip (b)................... 6.537% 04/15/11 260,672
524,000 Turkey Government Trust Certificate (b).................... 6.687% 11/15/10 252,332
1,880,000 U.S. Treasury Strip (b).................................... 5.916% 05/15/10 963,874
1,800,000 U.S. Treasury Strip (b).................................... 6.279% 02/15/11 878,218
1,205,000 U.S. Treasury Strip (b).................................... 6.212% 08/15/11 568,698
----------
Total long-term debt securities (cost: $5,393,417)........................... $5,418,411
----------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (1.3%)
70,623 Trust for Federal Securities--Federal Trust Fund, current rate 4.780%........ 70,623
----------
Total short-term securities (cost: $70,623).................................. 70,623
----------
Total investments in securities (cost: $5,464,040) (c)....................... $5,489,034
----------
----------
</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, 1999 the cost of securities for federal income tax purposes was
$5,483,753. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 198,389
Gross unrealized depreciation.......... (193,108)
---------
Net unrealized appreciation............ $ 5,281
---------
---------
</TABLE>
83
<PAGE>
VALUE STOCK PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
COMMON STOCK (94.6%)
BASIC MATERIALS (7.5%)
Chemicals (2.6%)
38,450 E.I. DuPont De Nemours & Company............................................. $ 2,626,616
88,340 Sigma-Aldrich................................................................ 3,042,209
------------
5,668,825
------------
Paper and Forest (4.9%)
102,055 Fort James Corporation....................................................... 3,865,333
29,200 International Paper Company.................................................. 1,474,600
125,600 Louisianna-Pacific Corporation............................................... 2,983,000
56,050 Mead Corporation............................................................. 2,340,087
------------
10,663,020
------------
CAPITAL GOODS (1.7%)
Electrical Equipment (.5%)
18,500 Emerson Electric Company..................................................... 1,163,187
------------
Machinery (1.2%)
55,500 Case Corporation............................................................. 2,670,937
------------
COMMUNICATION SERVICES (17.6%)
Telecommunication (3.4%)
85,215 MCI Worldcom, Inc. (b)....................................................... 7,349,794
------------
Telephone (14.2%)
167,865 AT&T Corporation............................................................. 9,368,965
66,540 Bell Atlantic Corporation.................................................... 4,350,052
95,550 Bellsouth Corporation........................................................ 4,478,906
36,970 GTE Corporation.............................................................. 2,800,477
28,850 Mediaone, Inc. (b)........................................................... 2,145,719
129,010 SBC Communications, Inc...................................................... 7,482,580
------------
30,626,699
------------
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
CONSUMER CYCLICAL (9.9%)
Auto (2.9%)
58,813 Delphi Automotive Systems Corporation........................................ $ 1,091,716
63,665 Ford Motor Company........................................................... 3,593,093
23,940 General Motors Corporation................................................... 1,580,040
------------
6,264,849
------------
Publishing (1.3%)
70,145 Reader's Digest Association.................................................. 2,788,264
------------
Retail (3.3%)
135,880 Consolidated Stores Corporation (b).......................................... 3,668,760
63,125 Federated Department Stores (b).............................................. 3,341,680
------------
7,010,440
------------
Service (2.4%)
119,475 Cendant Corporation (b)...................................................... 2,449,237
55,595 H & R Block, Inc............................................................. 2,779,750
------------
5,228,987
------------
CONSUMER STAPLES (11.6%)
Beverage (1.0%)
29,000 Anheuser-Busch............................................................... 2,057,187
------------
Food (2.5%)
133,900 Hormel Foods Corporation..................................................... 5,389,475
------------
Household Products (2.1%)
97,250 Newell Company............................................................... 4,522,125
------------
Retail (2.0%)
359,980 Food Lion, Inc............................................................... 4,274,763
------------
Service (1.9%)
104,560 Deluxe Corporation........................................................... 4,071,305
------------
Tobacco (2.1%)
111,825 Philip Morris Companies, Inc................................................. 4,493,967
------------
ENERGY (7.8%)
Oil (7.2%)
28,820 Chevron Corporation.......................................................... 2,743,304
93,600 Exxon Corporation............................................................ 7,218,900
</TABLE>
See accompanying notes to investments in securities.
84
<PAGE>
VALUE STOCK PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
ENERGY--CONTINUED
38,490 Mobil Corporation............................................................ $ 3,810,510
26,215 Texaco, Inc.................................................................. 1,638,438
------------
15,411,152
------------
Oil & Gas (.6%)
15,575 Atlantic Richfield Company................................................... 1,301,486
------------
FINANCIAL (21.8%)
Auto Finance (.5%)
25,335 Fleet Financial Group, Inc................................................... 1,124,241
------------
Banks (6.9%)
30,700 Bank of New York Company, Inc................................................ 1,126,306
63,430 Bank One Corporation......................................................... 3,778,049
74,980 BankAmerica Corporation...................................................... 5,496,971
40,615 Chase Manhattan Corporation.................................................. 3,518,274
15,220 National City Corporation.................................................... 996,910
------------
14,916,510
------------
Consumer Finance (2.2%)
35,715 American Express Company..................................................... 4,647,414
------------
Finance--Diversified (2.3%)
71,010 Federal National Mortgage Association........................................ 4,855,309
------------
Insurance (8.6%)
68,740 American International Group................................................. 8,046,876
32,800 Aon Corporation.............................................................. 1,353,000
65,390 Everest Reinsurance Holdings................................................. 2,133,349
144,930 Travelers Group, Inc......................................................... 6,884,175
------------
18,417,400
------------
Investment Bankers/Brokers (1.3%)
27,305 Morgan Stanley Dean Witter................................................... 2,798,763
------------
<CAPTION>
MARKET
SHARES VALUE(a)
- ----------- ------------
<C> <S> <C>
HEALTH CARE (.6%)
Drugs (.6%)
23,400 Pharmacia & Upjohn, Inc...................................................... $ 1,329,413
------------
TECHNOLOGY (6.2%)
16,820 Hewlett-Packard Company...................................................... 1,690,410
72,440 International Business Machines.............................................. 9,362,870
95,850 Nova Corporation (b)......................................................... 2,396,250
------------
13,449,530
------------
TRANSPORTATION (2.4%)
Air Freight (1.0%)
75,980 Airborne Freight Corporation................................................. 2,103,696
------------
Railroads (1.4%)
53,045 Union Pacific Corporation.................................................... 3,093,187
------------
UTILITIES (7.5%)
Electric Companies (4.9%)
52,900 AES Corporation (b).......................................................... 3,074,813
59,900 Duke Energy Corporation...................................................... 3,257,063
102,030 Texas Utilities Company...................................................... 4,208,738
------------
10,540,614
------------
Natural Gas (2.6%)
87,085 El Paso Energy Corporation................................................... 3,064,303
29,800 Enron Corporation............................................................ 2,436,150
------------
5,500,453
------------
Total common stock
(cost: $164,222,624)...................................................................... 203,732,992
------------
</TABLE>
<TABLE>
<C> <S> <C>
DEPOSITORY RECEIPT (.5%)
8,200 S&P 500 Depository Receipt................................................... 1,123,016
------------
Total depository receipt
(cost: $1,104,030)........................................................................ 1,123,016
------------
</TABLE>
See accompanying notes to investments in securities.
85
<PAGE>
VALUE STOCK PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKETVALUE(a)PRINCIPAL
- -----------
<C> <S> <C>
SHORT-TERM SECURITIES (7.2%)
$7,389,834 Temporary Investment Fund--Temp Fund Portfolio, current rate 4.830%........... $ 7,389,834
7,965,000 U.S. Treasury Bill......................................... 4.404% 07/15/99 7,953,913
------------
Total short-term securities (cost: $15,341,519)............................... 15,343,747
------------
Total investments in securities (cost: $180,668,173) (c)...................... $220,199,755
------------
------------
</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) At June 30, 1999 the cost of securities for federal income tax purposes was
$180,734,925. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $42,046,959
Gross unrealized depreciation.......... (2,582,129)
-----------
Net unrealized appreciation............ $39,464,830
-----------
-----------
</TABLE>
86
<PAGE>
SMALL COMPANY VALUE PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
COMMON STOCK (93.9%)
BASIC MATERIALS (4.3%)
Chemicals (2.7%)
2,500 Minerals Technologies, Inc................................................ $ 139,531
5,900 Quest Diagnostics, Inc. (b)............................................... 161,512
-----------
301,043
-----------
Iron and Steel (.9%)
6,400 Steel Dynamics, Inc. (b).................................................. 99,000
-----------
Paper and Forest (.7%)
4,700 Wausau-Mosinee Paper Corporation.......................................... 84,600
-----------
CAPITAL GOODS (14.6%)
Aerospace/Defense (.5%)
2,900 BE Aerospace, Inc......................................................... 54,194
-----------
Electrical Equipment (2.9%)
8,625 Vishay Intertechnology, Inc. (b).......................................... 181,125
8,800 Watsco, Inc............................................................... 144,100
-----------
325,225
-----------
Machinery (2.5%)
2,800 Tecumseh Products Company................................................. 169,575
4,200 Westinghouse Air Brake Company............................................ 108,937
-----------
278,512
-----------
Manufacturing (4.0%)
6,600 A.O. Smith Corporation.................................................... 184,800
4,900 Aptargroup, Inc........................................................... 147,000
5,400 United Dominion Industries................................................ 130,950
-----------
462,750
-----------
Metal Fabrication (4.7%)
7,800 ABC-NACO, Inc. (b)........................................................ 159,900
7,500 Gibraltar Steel Corporation (b)........................................... 185,625
7,300 Tower Automotive, Inc. (b)................................................ 185,694
-----------
531,219
-----------
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
CONSUMER CYCLICAL (11.6%)
Auto (2.2%)
1,900 Arvin Industries, Inc..................................................... $ 71,962
5,200 Dura Automotive Systems, Inc. (b)......................................... 172,900
-----------
244,862
-----------
Building Materials (1.5%)
10,100 D.R. Horton, Inc.......................................................... 167,912
-----------
Lodging--Hotel (1.3%)
6,700 Meristar Hospitality Corporation.......................................... 150,331
-----------
Publishing (.6%)
2,900 Journal Register Company (b).............................................. 65,250
-----------
Retail (4.1%)
2,700 Ames Department Stores (b)................................................ 123,187
4,700 Shopko Stores (b)......................................................... 170,375
4,500 Zale Corporation (b)...................................................... 180,000
-----------
473,562
-----------
Textiles (1.9%)
2,200 American Woodmark Corporation............................................. 77,550
4,200 Tropical Sportswear International Corporation (b)......................... 133,875
-----------
211,425
-----------
CONSUMER STAPLES (7.9%)
Beverage (2.2%)
1,500 Adolph Coors Company...................................................... 74,250
4,800 Robert Mondovi Corporation (b)............................................ 174,600
-----------
248,850
-----------
Food (1.5%)
6,500 Earthgrains Company....................................................... 167,781
-----------
Food & Health (1.5%)
5,900 International Multifoods Corporation...................................... 133,119
4,600 Merkert American Corporation (b).......................................... 43,700
-----------
176,819
-----------
</TABLE>
See accompanying notes to investments in securities.
87
<PAGE>
SMALL COMPANY VALUE PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
Household Products (.9%)
2,600 National Presto Industries, Inc........................................... $ 99,450
-----------
Restaurants (1.0%)
5,600 Bob Evans Farms........................................................... 111,300
-----------
Retail (.3%)
1,000 Longs Drug Stores Corporation............................................. 34,562
-----------
Service (.5%)
5,100 Personnel Group of America (b)............................................ 51,000
-----------
ENERGY (5.5%)
Oil & Gas (5.5%)
3,000 Equitable Resources, Inc.................................................. 113,250
6,800 Houston Exploration Company (b)........................................... 128,775
5,200 Louis Dreyfus Natural Gas Corporation (b)................................. 112,125
8,000 Nuevo Energy Company (b).................................................. 106,000
1,600 Oceaneering International, Inc. (b)....................................... 25,800
8,300 Tesoro Petroleum Corporation (b).......................................... 132,281
-----------
618,231
-----------
FINANCIAL (29.1%)
Banks (6.7%)
2,900 BankNorth Group, Inc...................................................... 95,700
5,950 Commercial Federal Corporation............................................ 137,966
2,800 Corus Bankshares, Inc..................................................... 89,075
4,400 Hudson United Bancorp, Inc................................................ 134,750
6,500 Peoples Heritage Financial Group, Inc..................................... 122,281
9,000 Republic Bancorp, Inc..................................................... 136,688
1,300 UST Corporation........................................................... 39,325
-----------
755,785
-----------
Finance--Diversified (1.9%)
9,200 Dollar Thrifty Automotive Group, Inc. (b)................................. 213,900
-----------
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
FINANCIAL--CONTINUED
Insurance (5.7%)
1,500 Amerus Life Holdings...................................................... $ 40,500
2,324 Delphi Financial Group (b)................................................ 83,373
1,300 Enhance Financial Services Group.......................................... 25,675
1,700 LandAmerica Financial Group, Inc.......................................... 48,875
3,613 Radian Group Incorporated................................................. 176,360
3,575 RLI Corporation........................................................... 138,531
4,300 Stancorp Financial Group, Inc. (b)........................................ 129,000
-----------
642,314
-----------
Real Estate Investment Trust (12.3%)
3,400 Apartment Investment & Management Company................................. 145,350
4,700 Camden Property Trust..................................................... 130,425
5,000 First Industrial Realty Trust............................................. 137,188
2,800 Glenborough Realty Trust, Inc............................................. 49,000
4,400 Kilroy Realty............................................................. 106,975
9,200 Pacific Gulf Properties, Inc.............................................. 208,150
5,800 Pan Pacific Retail Properties............................................. 112,738
5,400 Parkway Properties........................................................ 178,875
6,100 Prentiss Properties Trust................................................. 143,350
3,400 Reckson Associates Realty Corporation..................................... 79,900
4,500 Regency Realty Corporation................................................ 98,719
-----------
1,390,670
-----------
Savings and Loans (2.5%)
7,800 FirstFed Financial Corporation (b)........................................ 150,150
11,080 Sovereign Bancorp, Inc.................................................... 134,345
-----------
284,495
-----------
</TABLE>
See accompanying notes to investments in securities.
88
<PAGE>
SMALL COMPANY VALUE PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
HEALTH CARE (2.1%)
Drugs (.6%)
2,800 Roberts Pharmaceutical Corporation (b).................................... $ 67,900
-----------
Medical Products/Supplies (1.5%)
5,600 Conmed Corporation (b).................................................... 171,500
-----------
TECHNOLOGY (7.0%)
3,000 ANADIGICS, Inc. (b)....................................................... 111,000
3,500 ANTEC Corporation (b)..................................................... 112,219
4,000 DII Group, Inc. (b)....................................................... 149,250
7,600 GaSonics International Corporation (b).................................... 106,400
13,200 Infinium Software, Inc. (b)............................................... 69,300
8,200 International Rectifier Corporation (b)................................... 109,163
5,400 SMART Modular Technologies, Inc. (b)...................................... 93,825
2,500 SpeedFam International, Inc. (b).......................................... 40,156
-----------
791,313
-----------
TRANSPORTATION (3.0%)
Airlines (1.1%)
3,700 Midwest Express Holdings (b).............................................. 125,800
-----------
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
TRANSPORTATION--CONTINUED
Transport Services (1.1%)
5,600 Swift Transportation Company (b).......................................... $ 123,200
-----------
Trucking (.8%)
2,000 U.S. Freightways Corporation.............................................. 92,625
-----------
UTILITIES (8.8%)
Electric Companies (6.0%)
7,500 Minnesota Power, Inc...................................................... 149,063
5,900 Northwestern Corporation.................................................. 142,706
5,700 Sierra Pacific Resources.................................................. 207,338
6,100 WPS Resources Corporation................................................. 183,000
-----------
682,107
-----------
Natural Gas (2.8%)
2,700 Piedmont Natural Gas Company.............................................. 84,038
8,400 Wicor, Inc................................................................ 234,675
-----------
318,713
-----------
Total common stock
(cost: $9,600,189).................................................................. 10,618,200
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ----------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (6.4%)
$ 83,209 Temporary Investment Fund--Temp Fund Portfolio, current rate 4.830%... 83,209
300,000 U.S. Treasury Bill............................... 4.263% 07/15/99 299,582
150,000 U.S. Treasury Bill............................... 4.563% 08/19/99 149,094
200,000 U.S. Treasury Bill............................... 4.737% 09/23/99 197,867
-----------
Total short-term securities (cost: $729,668).......................... 729,752
-----------
Total investments in securities (cost: $10,329,857)(c)................ $11,347,952
-----------
-----------
</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) At June 30, 1999 the cost of securities for federal income tax purposes was
$10,550,014. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $1,224,362
Gross unrealized depreciation.......... (426,424)
----------
Net unrealized appreciation............ $ 797,938
----------
----------
</TABLE>
89
<PAGE>
GLOBAL BOND PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL(b) VALUE(a)
- ---------------- -----------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (96.8%)
ARGENTINA (2.1%)
Government (2.1%)
257,816 Republic of Argentina (Argentina Peso)........... 2.815% 04/01/07 $ 166,374
620,000 Republic of Argentina (Argentina Peso)........... 8.750% 07/10/02 507,231
-----------
673,605
-----------
AUSTRALIA (5.8%)
Government (5.8%)
2,327,000 Australia (Australian Dollar).................... 8.750% 08/15/08 1,814,847
-----------
CANADA (1.2%)
Electric Companies (1.2%)
350,000 Hydro-Quebec Debentures (U.S. Dollar)............ 8.000% 02/01/13 369,208
-----------
GERMANY (19.1%)
Government (19.1%)
180,000 Bundesobligation (Euro).......................... 5.000% 08/20/01 192,343
2,513,000 Bundesrepublic (Euro)............................ 5.250% 01/04/08 2,750,818
2,400,000 Bundesrepublic (Euro)............................ 6.250% 04/26/06 2,765,075
225,000 Deutschland Republic (Euro)...................... 6.000% 01/05/06 255,333
-----------
5,963,569
-----------
GREECE (4.0%)
Government (4.0%)
30,000,000 Hellenic Republic (Greek Drachma)................ 6.500% 01/11/14 96,748
65,000,000 Hellenic Republic (Greek Drachma)................ 6.600% 01/15/04 213,550
105,000,000 Hellenic Republic (Greek Drachma)................ 7.500% 05/20/13 369,343
50,000,000 Hellenic Republic (Greek Drachma)................ 8.700% 04/08/05 176,799
41,000,000 Hellenic Republic (Greek Drachma)................ 8.900% 04/01/03 140,458
75,000,000 Hellenic Republic (Greek Drachma)................ 8.900% 03/21/04 263,661
-----------
1,260,559
-----------
JAPAN (5.8%)
Government (5.8%)
60,600,000 Japan (Japanese Yen)............................. 2.300% 09/20/07 521,732
74,000,000 Japan (Japanese Yen)............................. 2.600% 03/20/07 650,395
71,600,000 Japan (Japanese Yen)............................. 3.100% 09/20/06 649,938
-----------
1,822,065
-----------
NEW ZEALAND (2.3%)
Government (2.3%)
1,240,000 New Zealand (New Zealand Dollar)................. 8.000% 11/15/06 719,115
-----------
</TABLE>
See accompanying notes to investments in securities.
90
<PAGE>
GLOBAL BOND PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
PRINCIPAL(b) VALUE(a)
- ---------------- -----------
<C> <S> <C> <C> <C>
NORWAY (3.6%)
Government (3.6%)
2,860,000 Norway (Norwegian Krone)......................... 5.500% 05/15/09 $ 359,455
5,690,000 Norway (Norwegian Krone)......................... 6.750% 01/15/07 771,930
-----------
1,131,385
-----------
PHILIPPINES (.6%)
Government (.6%)
7,000,000 International Bank Reconstruction and Development
(Phillipine Peso)............................... 10.250% 04/11/02 175,887
-----------
SOUTH AFRICA (2.9%)
Government (2.9%)
5,000,000 International Bank Reconstruction and Development
(South African Rand) (c)........................ 15.424% 05/14/12 131,314
15,000,000 International Bank Reconstruction and Development
(South African Rand) (c)........................ 14.588% 12/29/17 201,090
10,000,000 International Bank Reconstruction and Development
(South African Rand) (c)........................ 14.148% 12/31/25 49,929
3,480,000 South Africa (South African Rand)................ 12.000% 02/28/05 522,999
-----------
905,332
-----------
SWEDEN (6.6%)
Government (6.6%)
5,000,000 Sweden (Swedish Krona)........................... 6.000% 02/09/05 630,279
11,000,000 Sweden (Swedish Krona)........................... 6.500% 10/25/06 1,431,163
-----------
2,061,442
-----------
TURKEY (1.5%)
Government (1.5%)
67,000,000,000 Turkey (Turkish Lira) (c)........................ 97.01% 02/09/00 99,560
273,000,000,000 Turkey (Turkish Lira) (c)........................ 96.68% 03/15/00 383,861
-----------
483,421
-----------
UNITED KINGDOM (7.8%)
Broadcasting (1.2%)
400,000 British Sky Broadcasting (U.S. Dollar)........... 6.875% 02/23/09 364,766
Government (6.6%)
700,000 UK Treasury (British Sterling Pound)............. 6.750% 11/26/04 1,171,634
485,000 UK Treasury (British Sterling Pound)............. 8.500% 12/07/05 890,237
-----------
2,426,637
-----------
UNITED STATES (33.5%)
Aerospace/Defense (.9%)
300,000 Raytheon Company (U.S. Dollar)................... 5.950% 03/15/01 298,882
Auto (.9%)
300,000 Meritor Automotive, Inc. (U.S. Dollar)........... 6.800% 02/15/09 283,875
</TABLE>
See accompanying notes to investments in securities.
91
<PAGE>
GLOBAL BOND PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
PRINCIPAL(b) VALUE(a)
- ---------------- -----------
<C> <S> <C> <C> <C>
UNITED STATES--CONTINUED
Beverage (.9%)
300,000 Pepsi Bottling Group 144A Issue (U.S. Dollar)
(d)............................................. 5.625% 02/17/09 $ 272,578
Chemicals (.8%)
250,000 IMC Global, Inc. (U.S. Dollar)................... 6.625% 10/15/01 249,063
Commercial Finance (1.3%)
400,000 General Electric Capital Corp. (U.S. Dollar)..... 6.290% 12/15/01 399,892
Electric Companies (2.8%)
400,000 Consumer Energy 144A Issue (U.S Dollar) (d)...... 6.375% 02/01/08 376,771
250,000 Georgia Power Company (U.S. Dollar).............. 5.500% 12/01/05 234,050
250,000 Wisconsin Power & Light (U.S. Dollar)............ 7.000% 06/15/07 252,786
Insurance (.9%)
300,000 Conseco Financing Trust II (U.S. Dollar)......... 8.700% 11/15/26 274,110
Investment Bankers/Brokers (2.6%)
400,000 Associates Corporation of North America (U.S.
Dollar)......................................... 6.625% 05/15/01 402,908
400,000 First Bank Minnesota (U.S. Dollar)............... 6.250% 08/15/05 396,538
Natural Gas (1.5%)
500,000 Enron Corporation (U.S. Dollar).................. 6.725% 11/17/08 486,250
Telephone (1.6%)
300,000 AT&T Corporation (U.S. Dollar)................... 6.500% 03/15/29 270,750
250,000 GTE Corporation (U.S. Dollar).................... 6.940% 04/15/28 237,695
U.S. Government and Agencies Obligations (19.3%)
408,759 FHLMC (U.S. Dollar).............................. 6.500% 05/01/13 403,595
600,000 FHLMC (U.S. Dollar).............................. 6.500% 06/01/29 580,714
500,935 FNMA (U.S. Dollar)............................... 6.000% 11/01/28 471,460
740,072 FNMA (U.S. Dollar)............................... 6.500% 01/01/29 710,891
218,446 FNMA (U.S. Dollar)............................... 7.000% 01/01/14 219,411
975,249 FNMA (U.S. Dollar)............................... 7.000% 02/01/29 965,410
500,000 FNMA (U.S. Dollar)............................... 8.625% 11/10/04 505,507
450,683 GNMA (U.S. Dollar)............................... 7.500% 09/15/27 455,713
1,370,000 U.S. Treasury Note (U.S. Dollar)................. 6.000% 02/15/26 1,335,257
500,000 U.S. Treasury Strip (U.S. Dollar) (c)............ 5.890% 05/15/04 376,824
-----------
10,460,930
-----------
Total long-term debt securities (cost: $31,657,315)................. 30,268,002
-----------
</TABLE>
See accompanying notes to investments in securities.
92
<PAGE>
GLOBAL BOND PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
PRINCIPAL(b) VALUE(a)
- ---------------- -----------
<C> <S> <C>
SHORT-TERM SECURITIES (.9%)
284,576 Temporary Investment Fund--Temp Fund Portfolio (U.S. Dollar),
current rate 4.830%................................................ $ 284,576
-----------
Total short-term securities (cost: $284,575)........................ 284,576
-----------
Total investments in securities (cost: $31,941,890) (e)............. $30,552,578
-----------
-----------
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Principal amounts for debt securities are denominated in the currencies
indicated.
(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 7 to the financial statements.) Information concerning the
illiquid securities held at June 30, 1999 includes acquisition date and
cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
- --------------------------------------- ----------- ---------
<S> <C> <C>
Consumer Energy 144A Issue............. 05/05/98 $ 394,545
Pepsi Bottling Group 144A Issue........ 02/03/99 298,751
---------
$ 693,296
---------
---------
</TABLE>
(e) At June 30, 1999 the cost of securities for federal income tax purposes was
$31,977,185. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 72,563
Gross unrealized depreciation.......... (1,497,170)
-----------
Net unrealized depreciation............ $(1,424,607)
-----------
-----------
</TABLE>
93
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
COMMON STOCK (96.5%)
BASIC MATERIALS (6.0%)
Chemicals (2.6%)
900 A. Schulman, Inc. ................................................................ $ 15,469
1,200 Airgas, Inc. (b).................................................................. 14,700
1,000 Albemarle Corporation............................................................. 23,125
900 Cabot Corporation................................................................. 21,769
800 Crompton & Knowles................................................................ 15,650
700 Cytec Industries, Inc. (b)........................................................ 22,312
700 Dexter Corporation................................................................ 28,569
800 Ethyl Corporation................................................................. 4,800
1,000 Ferro Corporation................................................................. 27,500
300 H.B. Fuller Company............................................................... 20,512
1,500 IMC Global, Inc. ................................................................. 26,437
800 Lubrizol Corporation.............................................................. 21,800
1,600 Lyondell Petrochemical............................................................ 33,000
1,100 M.A. Hanna Company................................................................ 18,081
500 Minerals Technologies, Inc. ...................................................... 27,906
300 Olin Corporation.................................................................. 3,956
1,300 RPM, Inc. ........................................................................ 18,444
1,400 Solutia, Inc. .................................................................... 29,837
300 Wellman, Inc. .................................................................... 4,781
1,000 Witco Corporation................................................................. 20,000
-----------
398,648
-----------
Construction (1.4%)
800 Martin Marietta Materials......................................................... 47,200
500 Southdown......................................................................... 32,125
700 USG Corporation................................................................... 39,200
1,800 Vulcan Materials.................................................................. 86,850
-----------
205,375
-----------
Iron and Steel (.4%)
700 AK Steel Holding Corporation...................................................... 15,750
500 Carpenter Technology.............................................................. 14,281
500 Inland Steel Industries, Inc. .................................................... 11,281
300 Oregon Steel Mills, Inc. ......................................................... 3,994
700 UCAR International (b)............................................................ 17,675
-----------
62,981
-----------
Paper and Forest (1.6%)
800 Bowater, Inc. .................................................................... 37,800
600 Chesapeake Corporation............................................................ 22,462
1,100 Consolidated Paper, Inc. ......................................................... 29,425
1,000 Georgia-Pacific Corporation....................................................... 25,250
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
BASIC MATERIALS--CONTINUED
1,400 Longview Fibre Company............................................................ $ 21,875
900 P.H. Glatfelter Company........................................................... 13,162
400 Raynoier, Inc. ................................................................... 19,925
1,850 Sonoco Products Company........................................................... 55,384
1,000 Wausau-Mosinee Paper Corporation.................................................. 18,000
-----------
243,283
-----------
CAPITAL GOODS (7.9%)
Aerospace/Defense (.9%)
500 Cordant Technologies, Inc. ....................................................... 22,594
1,000 Gencorp........................................................................... 25,250
1,000 Gulfstream Aerospace Corporation (b).............................................. 67,562
300 Precision Castparts Corporation................................................... 12,750
100 Sequa Corporation (b)............................................................. 7,000
-----------
135,156
-----------
Electrical Equipment (2.7%)
3,400 American Power Conversion Corporation (b)......................................... 68,425
800 Diebold........................................................................... 23,000
900 Hubbell, Inc. .................................................................... 40,837
2,375 Molex, Inc. ...................................................................... 87,875
800 Sanmina Corporation (b)........................................................... 60,700
1,100 SCI Systems, Inc. (b)............................................................. 52,250
1,350 Symbol Technologies............................................................... 49,781
1,525 Vishay Intertechnology, Inc. (b).................................................. 32,025
-----------
414,893
-----------
Engineering/Construction (.4%)
600 Granite Construction, Inc. ....................................................... 17,587
600 Jacobs Engineering Group (b)...................................................... 22,800
300 Newport News Shipbuilding, Inc. .................................................. 8,850
1,600 Varco International, Inc. (b)..................................................... 17,500
-----------
66,737
-----------
Machinery (.7%)
1,900 Agco Corporation.................................................................. 21,494
1,107 Albany International Corporation (b).............................................. 22,971
700 Kaydon Corporation................................................................ 23,537
</TABLE>
See accompanying notes to investments in securities.
94
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
CAPITAL GOODS--CONTINUED
700 Kennametal, Inc. ................................................................. $ 21,700
200 Tecumseh Products Company......................................................... 12,112
-----------
101,814
-----------
Manufacturing (1.3%)
900 Ametek, Inc. ..................................................................... 20,700
300 Carlisle Companies, Inc. ......................................................... 14,437
800 Donaldson Company, Inc. .......................................................... 19,600
900 Federal Signal Corporation........................................................ 19,069
600 Flowserve Corporation............................................................. 11,362
400 Nordson Corporation............................................................... 24,500
500 Pentair, Inc. .................................................................... 22,875
300 Stewart & Stevenson Services...................................................... 4,575
400 Teleflex, Inc. ................................................................... 17,375
500 Trinity Industries................................................................ 16,750
500 York International Corporation.................................................... 21,406
-----------
192,649
-----------
Metal Fabrication (.1%)
200 Maxxam, Inc. (b).................................................................. 12,900
400 Watts Industries, Inc. ........................................................... 7,675
-----------
20,575
-----------
Office Equipment (1.4%)
900 Herman Miller, Inc. .............................................................. 18,900
700 Hon Industries.................................................................... 20,431
2,000 Lexmark International Group (b)................................................... 132,125
600 Standard Register................................................................. 18,450
700 Wallace Computer Services, Inc. .................................................. 17,500
-----------
207,406
-----------
Waste Management (.4%)
2,700 Allied Waste Industries, Inc. (b)................................................. 53,325
-----------
COMMUNICATION SERVICES (3.3%)
Telecommunication (2.3%)
800 Comsat Corporation................................................................ 26,000
2,300 Qualcomm, Inc. (b)................................................................ 330,050
-----------
356,050
-----------
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
COMMUNICATION SERVICES--CONTINUED
Telephone (1.0%)
500 Aliant Communications, Inc. ...................................................... $ 23,094
2,400 Cincinnati Bell, Inc. ............................................................ 59,850
900 Telephone and Data Systems, Inc. ................................................. 65,756
-----------
148,700
-----------
CONSUMER CYCLICAL (16.7%)
Auto (2.1%)
600 Arvin Industries, Inc. ........................................................... 22,725
400 Bandag, Inc. ..................................................................... 13,875
400 Borg-Warner Automotive, Inc. ..................................................... 22,000
1,100 Federal Mogul Corporation......................................................... 57,200
500 Harsco Corporation................................................................ 16,000
900 Lear Corporation (b).............................................................. 44,775
1,600 Mark IV Industries, Inc. ......................................................... 33,800
1,500 Meritor Automotive, Inc. ......................................................... 38,250
600 Modine Manufacturing Company...................................................... 19,537
400 SPX Corporation (b)............................................................... 33,400
600 Superior Industries International................................................. 16,387
-----------
317,949
-----------
Building Materials (.4%)
1,000 American Standard Companies (b)................................................... 48,000
1,750 Clayton Homes..................................................................... 20,016
-----------
68,016
-----------
Construction (.2%)
800 Lancaster Colony Corporation...................................................... 27,600
-----------
Houseware (.8%)
1,300 Furniture Brands International, Inc. (b).......................................... 36,237
3,000 Leggett & Platt, Inc. ............................................................ 83,437
-----------
119,674
-----------
Leisure (1.2%)
1,000 Callaway Golf Company............................................................. 14,625
700 GTECH Holding Corporation (b)..................................................... 16,494
2,300 Harley-Davidson, Inc. ............................................................ 125,062
</TABLE>
See accompanying notes to investments in securities.
95
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
1,100 International Game Technology..................................................... $ 20,350
-----------
176,531
-----------
Lodging--Hotel (.2%)
1,077 Promus Hotel Corporation (b)...................................................... 33,387
-----------
Publishing (1.9%)
2,200 A.H. Belo......................................................................... 43,312
300 Houghton Mifflin Company.......................................................... 14,119
800 Lee Enterprises................................................................... 24,400
500 Media General, Inc. .............................................................. 25,500
1,500 Reader's Digest Association....................................................... 59,625
300 Scholastic Corporation (b)........................................................ 15,187
200 Washington Post................................................................... 107,550
-----------
289,693
-----------
Retail (6.1%)
1,400 Abercrombie & Fitch Company (b)................................................... 67,200
1,000 Barnes and Noble, Inc. (b)........................................................ 27,375
2,100 Bed Bath & Beyond, Inc. (b)....................................................... 80,850
3,200 Best Buy Company, Inc. (b)........................................................ 216,000
1,000 BJ's Wholesale Club, Inc. (b)..................................................... 30,062
700 Borders Group, Inc. (b)........................................................... 11,069
700 Claire's Stores, Inc. ............................................................ 17,937
2,400 CompUSA, Inc. (b)................................................................. 17,850
900 Dollar Tree Stores, Inc. (b)...................................................... 39,600
2,500 Family Dollar Stores.............................................................. 60,000
600 Fastenal Company.................................................................. 31,462
1,600 General Nutrition Companies (b)................................................... 37,300
2,300 Heilig-Meyers Company............................................................. 15,669
600 Lands' End, Inc. (b).............................................................. 29,100
1,700 Micro Warehouse, Inc. (b)......................................................... 30,387
1,800 Officemax (b)..................................................................... 21,600
400 Payless Shoesource, Inc. (b)...................................................... 21,400
600 Ross Stores, Inc. ................................................................ 30,225
2,228 Saks, Inc. (b).................................................................... 64,333
700 Tech Data Corporation (b)......................................................... 26,775
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
500 Tiffany & Company................................................................. $ 48,250
-----------
924,444
-----------
Service (2.4%)
900 Apollo Group, Inc. (b)............................................................ 23,906
1,500 Circus Circus Enterprises, Inc. (b)............................................... 31,687
2,800 Convergy's Corporation (b)........................................................ 53,900
1,000 Pittston Company.................................................................. 26,750
2,000 Quintiles Transnational (b)....................................................... 84,000
300 Rollins........................................................................... 4,781
1,500 Snyder Communications, Inc. (b)................................................... 49,125
800 Sotheby's Holdings................................................................ 30,500
1,300 Stewart Enterprises, Inc. ........................................................ 18,931
1,300 Viad.............................................................................. 40,219
-----------
363,799
-----------
Textiles (1.4%)
1,700 Burlington Industries (b)......................................................... 15,406
1,850 Jones Apparel Group, Inc. (b)..................................................... 63,478
700 Mohawk Industries, Inc. (b)....................................................... 21,262
2,200 Shaw Industries (b)............................................................... 36,300
1,200 Unifi, Inc. (b)................................................................... 25,500
800 Warnaco Group..................................................................... 21,400
800 Westpoint Stevens, Inc. .......................................................... 23,850
-----------
207,196
-----------
CONSUMER STAPLES (10.7%)
Beverage (.2%)
1,300 Whitman Corporation............................................................... 23,400
-----------
Broadcasting (1.5%)
800 A.C. Nielsen Corporation (b)...................................................... 24,200
418 Chris-Craft Industries, Inc. (b).................................................. 19,698
700 Hispanic Broadcasting Corporation (b)............................................. 53,112
600 TCA Cable TV, Inc. ............................................................... 33,300
1,400 Univision Communications, Inc. (b)................................................ 92,400
-----------
222,710
-----------
</TABLE>
See accompanying notes to investments in securities.
96
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
Food (1.8%)
500 Dean Foods Company................................................................ $ 20,781
600 Dole Food Company................................................................. 17,625
1,100 Dreyer's Grand Ice Cream, Inc. ................................................... 16,637
1,100 Flowers Industries................................................................ 23,856
1,000 Hormel Foods Corporation.......................................................... 40,250
1,400 IBP, Inc. ........................................................................ 33,250
900 Interstate Bakeries............................................................... 20,194
900 J.M. Smucker (b)(c)............................................................... 20,025
1,200 Lance, Inc. ...................................................................... 18,750
1,000 McCormick & Company............................................................... 31,562
1,200 Universal Foods................................................................... 25,350
700 Vlasic Foods International (b).................................................... 5,119
-----------
273,399
-----------
Food & Health (.5%)
800 International Multifoods Corporation.............................................. 18,050
400 Suiza Foods Corporation (b)....................................................... 16,750
900 U.S. Foodservice (b).............................................................. 38,362
-----------
73,162
-----------
Household Products (1.1%)
800 Blyth Industries, Inc. (b)........................................................ 27,500
300 Church & Dwight Company, Inc. .................................................... 13,050
1,900 Dial.............................................................................. 70,656
1,000 Enesco Group...................................................................... 23,125
800 Premark International, Inc. ...................................................... 30,000
-----------
164,331
-----------
Personal Care (.2%)
1,200 Carter Wallace, Inc. ............................................................. 21,825
1,600 Perrigo Company (b)............................................................... 12,200
-----------
34,025
-----------
Restaurants (1.8%)
1,400 Bob Evans Farms................................................................... 27,825
1,100 Brinker International, Inc. (b)................................................... 29,906
1,800 Buffets, Inc. (b)................................................................. 20,700
600 Cracker Barrel Old Country Store.................................................. 10,387
1,500 Lone Star Steakhouse & Saloon, Inc. (b)........................................... 14,578
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
950 Outback Steakhouse, Inc. (b)...................................................... $ 37,347
400 Papa John's International, Inc. (b)............................................... 17,875
500 Sbarro, Inc. (b).................................................................. 13,531
2,800 Starbucks Corporation (b)......................................................... 105,175
-----------
277,324
-----------
Retail (.9%)
600 Hannaford Brothers Mortgage Company............................................... 32,100
1,300 Ruddick........................................................................... 26,000
3,600 Tyson Foods, Inc. ................................................................ 81,000
-----------
139,100
-----------
Service (2.3%)
1,600 Cintas............................................................................ 107,500
2,200 Concord EFS, Inc. (b)............................................................. 93,087
500 Kelly Services.................................................................... 16,062
1,000 Manpower.......................................................................... 22,625
1,100 Modis Professional Services, Inc. (b)............................................. 15,125
900 Ogden Corporation................................................................. 24,244
4,600 Olston Corporation................................................................ 29,037
1,100 Robert Half International (b)..................................................... 28,600
700 Sylvan Learning Systems, Inc. (b)................................................. 19,031
-----------
355,311
-----------
Tobacco (.4%)
1,600 R.J. Reynolds Tobacco Holdings, Inc. (b).......................................... 50,400
300 Universal Corporation............................................................. 8,531
-----------
58,931
-----------
ENERGY (4.2%)
Oil (.2%)
1,774 Pennzoil-Quaker State Company..................................................... 26,614
-----------
Oil & Gas (4.0%)
1,100 BJ Services (b)................................................................... 32,381
1,800 Ensco International............................................................... 35,887
3,300 Global Marine (b)................................................................. 50,944
2,350 K.N. Energy....................................................................... 31,431
900 Murphy Oil........................................................................ 43,931
1,500 Nabors Industries (b)............................................................. 36,656
800 Noble Affiliates, Inc. ........................................................... 22,550
</TABLE>
See accompanying notes to investments in securities.
97
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
ENERGY--CONTINUED
1,700 Noble Drilling Corporation (b).................................................... $ 33,469
2,300 Ocean Energy, Inc. (b)............................................................ 22,137
1,400 Pioneer Natural Resources......................................................... 15,400
800 Ranger Oil, Ltd. (b)(c)........................................................... 3,950
2,400 Santa Fe Snyder Corporation (b)................................................... 18,300
900 Smith International, Inc. (b)..................................................... 39,094
600 Tidewater......................................................................... 18,300
2,000 Tosco Corporation................................................................. 51,875
1,900 Transocean Offshore, Inc. ........................................................ 49,875
1,100 Ultramar Diamond Shamrock Corporation............................................. 23,994
1,500 Valero Energy Corporation......................................................... 32,156
1,385 Weatherford International, Inc. (b)............................................... 50,726
-----------
613,056
-----------
FINANCIAL (11.8%)
Banks (5.3%)
1,175 Associated Banc-Corporation....................................................... 48,762
700 CCB Financial Corporation......................................................... 37,012
600 City National Corporation......................................................... 22,462
2,750 First Security Corporation........................................................ 74,938
2,200 First Tennessee National Corporation.............................................. 84,288
800 First Virginia Banks, Inc. ....................................................... 39,300
2,300 Hibernia Corporation.............................................................. 36,081
1,100 Keystone Financial, Inc. ......................................................... 32,519
1,600 Marshall & Ilsley Corporation..................................................... 103,000
1,100 Mercantile Bankshares Corporation................................................. 38,913
1,496 Old Kent Financial Corporation.................................................... 62,645
900 Pacific Century Financial Corporation............................................. 19,406
600 Provident Financial Group......................................................... 26,250
1,300 TCF Financial Corporation......................................................... 36,238
600 Westamerica Bancorporation........................................................ 21,900
500 Wilmington Trust Corporation...................................................... 28,688
1,400 Zions Bancorporation.............................................................. 88,900
-----------
801,302
-----------
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
FINANCIAL--CONTINUED
Commercial Finance (.6%)
900 Finova Finance Trust.............................................................. $ 47,363
2,350 North Fork Bancorporation......................................................... 50,084
-----------
97,447
-----------
Finance--Diversified (.7%)
1,100 Ambac Financial Group............................................................. 62,838
1,000 MCN Financing..................................................................... 20,750
400 PMI Group......................................................................... 25,125
-----------
108,713
-----------
Insurance (1.8%)
900 Allmerica Financial Corporation................................................... 54,731
700 American Financial Group.......................................................... 23,844
600 Everest Reinsurance Holdings...................................................... 19,575
500 Horace Mann Educators Corporation................................................. 13,594
500 HSB Group......................................................................... 20,594
2,450 Old Republic Corporation.......................................................... 42,416
1,100 Protective Life Corporation....................................................... 36,300
1,300 Reliastar Financial............................................................... 56,875
-----------
267,929
-----------
Investment Bankers/Brokers (1.9%)
1,600 A.G. Edwards...................................................................... 51,600
3,900 E*Trade Group, Inc. (b)........................................................... 155,756
400 Investment Technology Group, Inc. ................................................ 12,950
1,700 T. Rowe Price Associates.......................................................... 65,238
-----------
285,544
-----------
Savings and Loans (1.5%)
700 Astoria Financial Corporation..................................................... 30,756
2,286 Charter One Financial, Inc. ...................................................... 63,579
1,800 Dime Bancorp...................................................................... 36,225
1,600 Greenpoint Financial Corporation.................................................. 52,500
3,200 Sovereign Bancorp, Inc. .......................................................... 38,800
-----------
221,860
-----------
HEALTH CARE (8.4%)
Biotechnology (1.9%)
2,400 Biogen, Inc. (b).................................................................. 154,350
1,000 Centocor, Inc. (b)................................................................ 46,625
1,400 Genzyme Corporation (b)........................................................... 67,900
</TABLE>
See accompanying notes to investments in securities.
98
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
HEALTH CARE--CONTINUED
400 Gilead Sciences, Inc. (b)......................................................... $ 20,900
-----------
289,775
-----------
Drugs (2.2%)
1,900 Bergen Brunswig Corporation....................................................... 32,775
2,800 Chiron Corporation (b)............................................................ 58,100
1,100 Forest Laboratories (b)........................................................... 50,875
1,000 ICN Pharmaceuticals, Inc. ........................................................ 32,188
900 MedImmune, Inc. (b)............................................................... 60,975
2,300 Mylan Laboratories................................................................ 60,950
400 Sepracor, Inc. (b)................................................................ 32,500
-----------
328,363
-----------
Health Care--Diversified (.3%)
1,600 Ivax Corporation (b).............................................................. 22,600
1,800 Quorum Health Group (b)........................................................... 22,613
-----------
45,213
-----------
Hospital Management (.5%)
3,550 Health Management Association, Inc. (b)........................................... 39,938
600 Pacificare Health Systems, Inc. (b)............................................... 43,163
-----------
83,101
-----------
Managed Care (.8%)
1,800 Beverly Enterprises (b)........................................................... 14,513
1,300 Concentra Managed Care, Inc. (b).................................................. 19,256
1,200 First Healthcare Group Corporation (b)............................................ 25,875
1,800 Foundation Health Systems (b)..................................................... 27,000
1,400 Oxford Health Plan, Inc. (b)...................................................... 21,788
400 Trigon Healthcare Corporation (b)................................................. 14,550
-----------
122,982
-----------
Medical Products/Supplies (2.3%)
1,300 Acuson Corporation (b)............................................................ 22,344
900 Dentsply International............................................................ 25,200
250 Genzyme Surgical Products (b)..................................................... 1,102
1,200 Hillenbrand Industries, Inc. ..................................................... 51,900
700 Lincare Holdings, Inc. (b)........................................................ 17,500
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
HEALTH CARE--CONTINUED
1,700 PSS World Medical, Inc. (b)....................................................... $ 19,019
1,500 Stryker Corporation............................................................... 90,188
1,300 Sybron International Corporation (b).............................................. 35,831
900 Total Renal Care Holdings, Inc. (b)............................................... 14,006
900 VISX, Inc. (b).................................................................... 71,269
-----------
348,359
-----------
Special Services (.4%)
900 Apria Healthcare Group, Inc. (b).................................................. 15,300
800 Covance, Inc. (b)................................................................. 19,150
1,000 Omnicare, Inc. ................................................................... 12,625
800 Steris Corporation (b)(c)......................................................... 15,500
-----------
62,575
-----------
TECHNOLOGY (17.7%)
2,300 ADC Telecommunications, Inc. (b).................................................. 104,794
600 Affiliated Computer Services, Inc. (b)............................................ 30,375
2,900 Altera Corporation (b)............................................................ 106,756
2,400 Analog Devices, Inc. (b).......................................................... 120,450
1,200 Arrow Electronic, Inc. (b)........................................................ 22,800
1,700 Atmel Corporation (b)............................................................. 44,519
500 Avnet, Inc. ...................................................................... 23,250
500 Beckman Coulter, Inc. ............................................................ 24,313
4,500 Cadence Design Systems, Inc. (b).................................................. 57,375
1,800 Cambridge Tech Partners, Inc. (b)................................................. 31,613
3,500 Cirrus Logic, Inc. (b)............................................................ 31,063
1,300 Citrix Systems, Inc. (b).......................................................... 73,450
2,000 Comdisco, Inc. ................................................................... 51,250
1,100 Comverse Technology (b)........................................................... 83,050
1,600 Cypress Semiconductor Corporation (b)............................................. 26,400
1,000 Electronic Arts, Inc. (b)......................................................... 54,250
1,725 Fiserv (b)........................................................................ 54,014
600 Imation (b)....................................................................... 14,888
2,000 Information Resources, Inc. (b)................................................... 17,500
1,800 Informix Corporation (b).......................................................... 15,356
2,300 Integrated Device Technology (b).................................................. 25,013
900 Intuit, Inc. (b).................................................................. 81,113
</TABLE>
See accompanying notes to investments in securities.
99
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
TECHNOLOGY--CONTINUED
1,100 Jabil Circuit, Inc. (b)........................................................... $ 49,638
1,000 Keane, Inc. (b)................................................................... 22,625
600 Legato Systems, Inc. (b).......................................................... 34,650
2,300 Linear Technology Corporation..................................................... 154,675
600 Litton Industries, Inc. (b)....................................................... 43,050
2,100 Maxim Integrated Products (b)..................................................... 139,650
1,000 Mentor Graphics (b)............................................................... 12,813
800 Microchip Technology, Inc. (b).................................................... 37,900
1,400 NCR Corporation (b)............................................................... 68,338
1,700 Network Associates (b)............................................................ 24,969
800 Nova Corporation (b).............................................................. 20,000
400 Policy Management Systems (b)..................................................... 12,000
2,500 Quantum Corporation (b)........................................................... 60,313
1,600 Rational Software Corporation (b)................................................. 52,700
800 Reynolds & Reynolds............................................................... 18,650
1,200 Sensormatic Eletronics Corporation (b)............................................ 16,725
1,500 Sequent Computer Systems, Inc. (b)................................................ 26,625
1,300 Siebel Systems, Inc. (b).......................................................... 86,288
1,300 Sterling Commerce, Inc. (b)....................................................... 47,450
1,300 Sterling Software, Inc. (b)....................................................... 34,694
1,200 Storage Technology (b)............................................................ 27,300
1,100 Structural Dynamics Research (b).................................................. 20,419
1,700 Sungard Data Systems (b).......................................................... 58,650
700 Symantec (b)...................................................................... 17,850
1,000 Synopsys, Inc. (b)................................................................ 55,188
1,300 Teradyne, Inc. (b)................................................................ 93,275
1,300 VERITAS Software Corporation (b).................................................. 123,419
1,200 Vitesse Semiconductor Corporation (b)............................................. 80,925
2,500 Xilinx, Inc. (b).................................................................. 143,125
-----------
2,677,496
-----------
TRANSPORTATION (1.1%)
Air Freight (.1%)
600 Airborne Freight Corporation...................................................... 16,613
-----------
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
TRANSPORTATION--CONTINUED
Airlines (.3%)
500 Alaska Airgroup, Inc. (b)......................................................... $ 20,875
1,350 COMAIR Holdings, Inc. ............................................................ 28,097
-----------
48,972
-----------
Railroads (.3%)
600 GATX Corporation.................................................................. 22,838
1,200 Wisconsin Central Transport (b)................................................... 22,650
-----------
45,488
-----------
Shipping (.1%)
500 Alexander & Baldwin, Inc. ........................................................ 11,125
900 Overseas Shipholding Group........................................................ 11,588
-----------
22,713
-----------
Trucking (.3%)
1,300 Arnold Industries, Inc. .......................................................... 20,069
500 CNF Transportation................................................................ 19,188
400 JB Hunt Transport Services........................................................ 6,500
-----------
45,757
-----------
UTILITIES (8.7%)
Electric Companies (6.6%)
1,700 Allegheny Energy, Inc. ........................................................... 54,506
1,200 Black Hills Corporation........................................................... 27,750
900 Central Louisiana Electric........................................................ 27,338
500 CMP Group, Inc. .................................................................. 13,094
1,300 Conectiv, Inc. ................................................................... 31,769
2,300 DPL, Inc. ........................................................................ 42,263
500 Hawaiian Electric Industries...................................................... 17,750
900 IDA Corporation, Inc. ............................................................ 28,350
1,200 Illinova Corporation.............................................................. 32,700
1,000 Ipalco Enterprises, Inc. ......................................................... 21,188
700 Kansas City Power & Light......................................................... 17,850
1,900 LG&E Energy Corporation........................................................... 39,900
800 Minnesota Power, Inc. ............................................................ 15,900
800 Montana Power Company............................................................. 56,400
800 Nevada Power Company.............................................................. 20,000
800 New England Electric System....................................................... 40,100
1,800 New York State Electric & Gas..................................................... 46,800
1,800 Nipsco Industries, Inc. .......................................................... 46,463
1,900 Northeast Utilities (b)........................................................... 33,606
1,200 OGE Energy Corporation............................................................ 28,500
</TABLE>
See accompanying notes to investments in securities.
100
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
UTILITIES--CONTINUED
1,100 Pinnacle West Capital Corporation................................................. $ 44,275
1,700 Potomac Electric Power Company.................................................... 50,044
1,100 Public Service Company of New Mexico.............................................. 21,863
1,200 Puget Sound Energy, Inc. ......................................................... 28,800
1,800 Scana Corporation................................................................. 42,075
1,900 Teco Energy....................................................................... 43,225
1,850 Utilicorp United, Inc. ........................................................... 44,978
2,000 Wisconsin Energy.................................................................. 50,125
1,000 WPL Holdings...................................................................... 28,375
-----------
995,987
-----------
Natural Gas (1.5%)
1,200 AGL Resources, Inc. .............................................................. 22,125
1,700 El Paso Energy Corporation........................................................ 59,819
2,500 Keyspan Energy Corporation........................................................ 65,938
<CAPTION>
MARKET
SHARES VALUE(a)
- ------- -----------
<C> <S> <C>
UTILITIES--CONTINUED
600 National Fuel Gas Company......................................................... $ 29,100
1,100 Questar Corporation............................................................... 21,038
900 Washington Gas Light.............................................................. 23,400
-----------
221,420
-----------
Power Products--Industrial (.3%)
501 Indiana Energy, Inc. ............................................................. 10,678
900 Midamerican Energy Holdings Company............................................... 31,163
-----------
41,841
-----------
Water Utilities (.3%)
1,300 American Water Works, Inc. ....................................................... 39,975
-----------
Total common stock
(cost: $13,283,034)........................................................................ 14,616,669
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ----------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (3.8%)
$ 577,586 Temporary Investment Fund--Temp Fund Portfolio, current rate 4.830%.......... 577,586
-----------
Total short-term securities (cost: $577,586)................................. 577,586
-----------
Total investments in securities (cost: $13,860,620) (d)...................... $15,194,255
-----------
-----------
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held .3% of net assets in foreign securities as of June 30,
1999.
(d) At June 30, 1999 the cost of securities for federal income tax purposes was
$14,004,039. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 2,413,368
Gross unrealized depreciation.......... (1,223,152)
------------
Net unrealized appreciation............ $ 1,190,216
------------
------------
</TABLE>
101
<PAGE>
MACRO-CAP VALUE PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
COMMON STOCK (98.3%)
BASIC MATERIALS (6.8%)
Chemicals (3.3%)
7,100 Monsanto Company.......................................................... $ 280,006
6,900 Rohm and Haas Company..................................................... 295,837
-----------
575,843
-----------
Iron and Steel (1.0%)
7,300 Allegheny Teledyne, Inc................................................... 165,162
-----------
Mining (1.2%)
13,700 USEC, Inc................................................................. 203,787
-----------
Paper and Forest (1.3%)
2,300 Kimberly Clark Corporation................................................ 131,100
4,497 Smurfit-Stone Container Corporation (b)................................... 92,470
-----------
223,570
-----------
CAPITAL GOODS (11.1%)
Aerospace/Defense (.3%)
2,300 Coltec Industries, Inc. (b)............................................... 49,881
-----------
Electrical Equipment (1.0%)
3,300 Cooper Industries, Inc.................................................... 171,600
-----------
Manufacturing (3.8%)
6,866 Tyco International Ltd.................................................... 650,553
-----------
Waste Management (6.0%)
8,100 Allied Waste Industries, Inc. (b)......................................... 159,975
14,400 Republic Services, Inc. (b)............................................... 356,400
9,755 Waste Management, Inc..................................................... 524,331
-----------
1,040,706
-----------
COMMUNICATION SERVICES (8.3%)
Telecommunication (3.4%)
800 Level 3 Communications, Inc. (b).......................................... 48,050
6,385 MCI Worldcom, Inc. (b).................................................... 549,509
-----------
597,559
-----------
Telephone (4.9%)
1,500 Bell Atlantic Corporation................................................. 98,062
2,400 GTE Corporation........................................................... 181,800
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
COMMUNICATION SERVICES--CONTINUED
9,700 SBC Communications, Inc................................................... $ 562,600
-----------
842,462
-----------
CONSUMER CYCLICAL (9.9%)
Auto (.6%)
2,200 Lear Corporation (b)...................................................... 109,450
-----------
Leisure (2.0%)
4,200 International Game Technology............................................. 77,700
9,900 Mattel, Inc............................................................... 261,731
-----------
339,431
-----------
Lodging--Hotel (.4%)
2,367 Starwood Lodging Trust.................................................... 72,341
-----------
Retail (4.0%)
1,500 Abercrombie & Fitch Company (b)........................................... 72,000
1,000 Autozone, Inc. (b)........................................................ 30,125
1,500 Dayton Hudson Corporation................................................. 97,500
2,900 Federated Department Stores (b)........................................... 153,519
4,500 TJX Companies, Inc........................................................ 149,906
4,000 Wal-Mart Stores........................................................... 193,000
-----------
696,050
-----------
Service (2.1%)
8,100 Cendant Corporation (b)................................................... 166,050
4,000 Mirage Resorts, Inc. (b).................................................. 67,000
7,000 Service Corporation International......................................... 134,750
-----------
367,800
-----------
Textiles (.8%)
10,400 Fruit of the Loom (b)..................................................... 101,400
1,200 Jones Apparel Group, Inc. (b)............................................. 41,175
-----------
142,575
-----------
</TABLE>
See accompanying notes to investments in securities.
102
<PAGE>
MACRO-CAP VALUE PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
CONSUMER STAPLES (10.9%)
Beverage (3.3%)
10,300 PepsiCo, Inc.............................................................. $ 398,481
3,500 Seagram Company, Ltd. (c)................................................. 176,312
-----------
574,793
-----------
Entertainment (.4%)
1,700 News Corporation Ltd. ADR (c)............................................. 60,031
-----------
Food (.3%)
1,900 Pepsi Bottling Group, Inc. ............................................... 43,819
-----------
Household Products (3.2%)
3,500 Gillette Company.......................................................... 143,500
4,700 Procter & Gamble Company.................................................. 419,475
-----------
562,975
-----------
Retail (1.1%)
7,000 Kroger Company............................................................ 195,562
-----------
Tobacco (2.6%)
11,100 Philip Morris Companies, Inc.............................................. 446,081
-----------
ENERGY (4.9%)
Oil (2.5%)
19,000 Input/Output, Inc. (b).................................................... 143,687
3,000 Mobil Corporation......................................................... 297,000
-----------
440,687
-----------
Oil & Gas (2.4%)
5,400 Shell Transport & Trading Company ADR (c)................................. 250,425
6,700 Tosco Corporation......................................................... 173,781
-----------
424,206
-----------
FINANCIAL (17.0%)
Banks (7.6%)
8,707 BankAmerica Corporation................................................... 638,332
6,200 First Union Corporation................................................... 291,400
5,500 KeyCorp................................................................... 176,688
6,100 U.S. Bancorp.............................................................. 207,400
-----------
1,313,820
-----------
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
FINANCIAL--CONTINUED
Consumer Finance (1.5%)
3,000 CIT Group, Inc............................................................ $ 86,625
13,900 Newcourt Credit Group, Inc. (c)........................................... 179,831
-----------
266,456
-----------
Finance--Diversified (.6%)
1,600 Federal National Mortgage Association..................................... 109,400
-----------
Insurance (5.5%)
4,650 Aon Corporation........................................................... 191,813
3,100 Marsh & McLennen.......................................................... 234,050
4,300 Provident Companies, Inc.................................................. 172,000
4,300 UnumProvident Corporation (b)............................................. 235,425
2,000 Xl Capital Ltd. .......................................................... 113,000
-----------
946,288
-----------
Savings and Loans (1.8%)
3,100 Dime Bancorp.............................................................. 62,388
6,900 Washington Mutual, Inc.................................................... 244,088
-----------
306,476
-----------
HEALTH CARE (8.4%)
Biotechnology (.8%)
2,900 Genzyme Corporation....................................................... 140,650
-----------
Drugs (4.7%)
4,000 American Home Products Corporation........................................ 230,000
2,800 Bristol-Myers Squibb Company.............................................. 197,225
1,900 Eli Lilly & Company....................................................... 136,088
5,600 Forest Laboratories (b)................................................... 259,000
-----------
822,313
-----------
Health Care--Diversified (2.6%)
18,000 HEALTHSOUTH Corporation (b)............................................... 268,875
2,700 Warner-Lambert Company.................................................... 187,313
-----------
456,188
-----------
</TABLE>
See accompanying notes to investments in securities.
103
<PAGE>
MACRO-CAP VALUE PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
HEALTH CARE--CONTINUED
Medical Products/Supplies (.3%)
1,100 ALZA Corporation (b)...................................................... $ 55,963
519 Genzyme Surgical Products (b)............................................. 2,287
-----------
58,250
-----------
TECHNOLOGY (17.4%)
1,500 Applied Materials, Inc. (b)............................................... 110,813
7,800 Cisco Systems, Inc. (b)................................................... 502,613
3,100 Dell Computer Corporation (b)............................................. 114,700
4,300 EMC Corporation (b)....................................................... 236,500
2,600 Intel..................................................................... 154,700
3,800 International Business Machines........................................... 491,150
1,320 Lucent Technologies, Inc. ................................................ 89,018
5,900 Microsoft Corporation (b)................................................. 532,106
800 Motorola, Inc............................................................. 75,800
2,150 Oracle Corporation (b).................................................... 79,819
2,300 Quantum Corporation (b)................................................... 55,488
4,400 Sun Microsystems, Inc. (b)................................................ 303,050
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
TECHNOLOGY--CONTINUED
1,900 Texas Instruments, Inc. .................................................. $ 275,500
-----------
3,021,257
-----------
TRANSPORTATION (2.0%)
Railroads (1.6%)
4,800 Union Pacific Corporation................................................. 279,900
-----------
Trucking (.4%)
1,900 CNF Transportation........................................................ 72,913
-----------
UTILITIES (1.6%)
Electric Companies (.7%)
2,000 Dominion Resources, Inc. ................................................. 86,625
900 PP&L Resources, Inc....................................................... 27,675
100 Wisconsin Energy.......................................................... 2,506
-----------
116,806
-----------
Natural Gas (.9%)
2,500 Columbia Gas System, Inc.................................................. 156,719
-----------
Total common stock
(cost: $15,495,393)................................................................. 17,064,360
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ----------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (1.0%)
$ 176,000 U.S. Treasury Bill............................... 4.170% 08/05/99 175,270
-----------
Total short-term securities (cost: $175,261).......................... 175,270
-----------
Total investments in securities (cost: $15,670,654) (d)............... $17,239,630
-----------
-----------
</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 3.9% of net assets in foreign securities as of June 30,
1999.
(d) At June 30, 1999 the cost of securities for federal income tax purposes was
$16,018,538. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 2,056,123
Gross unrealized depreciation.......... (835,031)
------------
Net unrealized appreciation............ $ 1,221,092
------------
------------
</TABLE>
104
<PAGE>
MICRO-CAP GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
COMMON STOCK (88.7%)
CAPITAL GOODS (.8%)
Waste Management (.8%)
5,000 US Liquids, Inc. (b)................................................................ $ 104,375
-----------
COMMUNICATION SERVICES (10.6%)
Telecommunication (9.4%)
7,300 Destia Communications, Inc. (b)..................................................... 90,337
7,200 ITC Deltacom, Inc. (b).............................................................. 201,600
8,600 Metromedia Fiber Network (b)........................................................ 309,062
5,800 Periphonics Corporation (b)......................................................... 94,975
5,400 Polycom, Inc. (b)................................................................... 210,600
1,000 Transaction Network Services, Inc. (b).............................................. 29,250
6,200 Viatel, Inc. (b).................................................................... 347,975
-----------
1,283,799
-----------
Telephone (1.2%)
2,200 Nextlink Communications, Inc. (b)................................................... 163,625
-----------
CONSUMER CYCLICAL (17.6%)
Auto (.3%)
2,300 Lithia Motors, Inc. (b)............................................................. 47,150
-----------
Building Materials (.2%)
1,927 Modtech Holdings, Inc. (b).......................................................... 21,920
-----------
Leisure (2.2%)
4,600 SCP Pool Corporation (b)............................................................ 119,025
4,600 Tweeter Home Entertainment (b)...................................................... 180,550
-----------
299,575
-----------
Retail (5.5%)
4,000 Fatbrain.com, Inc. (b).............................................................. 67,000
6,200 Gerald Stevens, Inc. (b)............................................................ 74,538
6,900 J Jill Group, Inc. (b).............................................................. 100,912
3,800 Kenneth Cole Productions (b)........................................................ 105,925
8,700 Quiksilver, Inc. (b)................................................................ 226,744
6,300 Stamps.com, Inc. (b)................................................................ 110,250
3,600 Ultimate Electronic, Inc. (b)....................................................... 65,475
-----------
750,844
-----------
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Service (9.4%)
900 Abacus Direct Corporation (b)....................................................... $ 82,350
4,700 ChiRex, Inc. (b).................................................................... 150,987
6,900 Coinstar, Inc. (b).................................................................. 197,944
3,000 Corinthian Colleges, Inc. (b)....................................................... 56,625
2,300 Corporate Executive Board Company (b)............................................... 81,794
3,700 Direct Focus, Inc. (b).............................................................. 77,237
4,900 Getty Images, Inc. (b).............................................................. 92,487
5,500 Intelligent Life Corporation (b).................................................... 36,094
4,500 Lason, Inc. (b)..................................................................... 223,312
4,000 Mediconsult.com, Inc. (b)........................................................... 41,750
2,600 Newgen Results Corporation (b)...................................................... 31,200
7,500 Nextera Enterprises, Inc. (b)....................................................... 48,281
4,500 Pegasus Systems, Inc. (b)........................................................... 168,469
-----------
1,288,530
-----------
CONSUMER STAPLES (4.3%)
Broadcasting (1.9%)
8,000 Cumulus Media, Inc. (b)............................................................. 175,000
5,600 Argosy Education Group, Inc. (b).................................................... 44,800
1,200 Career Education Corporation (b).................................................... 40,575
-----------
85,375
-----------
Restaurants (.9%)
1,400 P.F. Chang's China Bistro, Inc. (b)................................................. 30,275
2,200 Papa John's International, Inc. (b)................................................. 98,312
-----------
128,587
-----------
Service (1.5%)
3,900 Careerbuilder, Inc. (b)............................................................. 51,187
7,300 National Equipment Services (b)..................................................... 87,600
4,100 Provant, Inc. (b)................................................................... 63,806
-----------
202,593
-----------
</TABLE>
See accompanying notes to investments in securities.
105
<PAGE>
MICRO-CAP GROWTH PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
ENERGY (3.5%)
Oil & Gas (3.5%)
3,750 Cross Timbers Oil Company........................................................... $ 55,781
2,800 Evergreen Resources, Inc. (b)....................................................... 70,525
11,800 Patterson Energy, Inc. (b).......................................................... 116,525
8,900 UTI Energy Corporation (b).......................................................... 147,406
4,500 Veritas DGC, Inc. (b)............................................................... 82,406
-----------
472,643
-----------
FINANCIAL (2.0%)
Savings and Loans (2.0%)
7,000 Telebanc Financial Corporation (b).................................................. 271,250
-----------
HEALTH CARE (7.4%)
Biotechnology (2.3%)
4,900 Abgenix, Inc. (b)................................................................... 97,388
2,300 Albany Molecular Research, Inc. (b)................................................. 68,425
4,100 Celgene Corporation (b)............................................................. 72,006
6,900 Lifecell Corporation (b)............................................................ 28,463
1,900 Pharmacyclics, Inc. (b)............................................................. 53,200
-----------
319,482
-----------
Drugs (2.7%)
5,600 Algos Pharmaceuticals (b)........................................................... 123,550
2,800 Alkermes, Inc. (b).................................................................. 64,750
3,800 Anesta Corporation (b).............................................................. 77,663
3,700 Shire Pharmaceuticals ADR (b)(c).................................................... 96,200
-----------
362,163
-----------
Medical Products/Supplies (1.0%)
2,700 Hanger Orthopedic Group (b)......................................................... 38,306
6,000 SonoSite, Inc. (b).................................................................. 102,000
-----------
140,306
-----------
Special Services (1.4%)
1,700 Accredo Health, Inc. (b)............................................................ 55,675
5,400 Invitrogen Corporation (b).......................................................... 133,313
-----------
188,988
-----------
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
TECHNOLOGY (42.2%)
4,300 Alloy Online, Inc. (b).............................................................. $ 49,181
1,900 American Xtal Technology, Inc. (b).................................................. 45,244
3,800 Ancor Communications (b)............................................................ 123,025
3,300 Applied Micro Circuits Corporation (b).............................................. 271,425
3,200 Avid Technology, Inc. (b)........................................................... 51,600
9,500 Bindview Development Corporation (b)................................................ 225,625
2,400 Broadvision, Inc. (b)............................................................... 177,000
2,300 Cognizant Tech Solutions (b)........................................................ 59,944
7,200 Com21, Inc. (b)..................................................................... 122,850
6,800 Concentric Network Corporation (b).................................................. 270,300
5,600 Credence Systems Corporation (b).................................................... 207,900
5,000 Ditech Communications Corporation (b)............................................... 100,000
3,500 Emulex Corporation (b).............................................................. 389,156
5,200 Galileo Technology Ltd. (b)(c)...................................................... 235,625
10,000 Genesis Microchip, Inc. (b)(c)...................................................... 236,250
2,200 Global Imaging Systems, Inc. (b).................................................... 40,150
1,700 hi/fn, inc. (b)..................................................................... 129,413
4,600 InfoSpace.com, Inc. (b)............................................................. 216,200
6,925 Insight Enterprises, Inc. (b)....................................................... 171,394
2,550 Inspire Insurance Solutions (b)..................................................... 36,975
5,300 International Integration (b)....................................................... 119,250
2,400 Maximus, Inc. (b)................................................................... 69,000
21,600 Maxtor Corporation (b).............................................................. 108,675
2,300 Maxwell Technologies, Inc. (b)...................................................... 55,344
5,900 NetGravity, Inc. (b)................................................................ 134,225
4,400 New Era of Networks, Inc. (b)....................................................... 193,325
10,800 Nvidia Corporation (b).............................................................. 206,550
6,300 OneSource Information Services (b).................................................. 55,125
</TABLE>
See accompanying notes to investments in securities.
106
<PAGE>
MICRO-CAP GROWTH PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
TECHNOLOGY--CONTINUED
11,600 Pervasive Software, Inc. (b)........................................................ $ 288,550
7,500 Photronics, Inc. (b)................................................................ 183,750
2,600 PLX Technology, Inc. (b)............................................................ 123,175
4,300 Powerwave Technologies, Inc. (b).................................................... 138,675
2,600 QRS Corporation (b)................................................................. 202,800
3,000 Ramp Networks, Inc. (b)............................................................. 42,938
4,600 Remec, Inc. (b)..................................................................... 74,175
4,800 RF Micro Devices, Inc. (b).......................................................... 358,200
3,800 Software.com, Inc. (b).............................................................. 88,113
7,200 Technisource, Inc. (b).............................................................. 37,350
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- -----------
<C> <S> <C>
TECHNOLOGY--CONTINUED
4,400 TSI International Software Ltd. (b)................................................. $ 124,850
-----------
5,763,327
-----------
TRANSPORTATION (.3%)
Transport Services (.3%)
1,700 Carey International, Inc. (b)....................................................... 41,863
-----------
Total common stock
(cost: $7,972,846)............................................................................ 12,111,395
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ----------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (11.6%)
$ 338,862 Temporary Investment Fund, Inc.--Temp Fund Portfolio, current rate 4.830%....... 338,862
300,000 Federal Home Loan Mortgage Corporation..................... 4.821% 07/14/99 299,476
200,000 U.S. Treasury Bill......................................... 4.405% 07/15/99 199,722
600,000 U.S. Treasury Bill......................................... 4.591% 08/19/99 596,374
150,000 U.S. Treasury Bill......................................... 4.845% 09/23/99 148,400
-----------
Total short-term securities (cost: $1,582,697).................................. 1,582,834
-----------
Total investments in securities (cost: $9,555,543)(d)........................... $13,694,229
-----------
-----------
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held 4.2% of net assets in foreign securities as of June 30,
1999.
(d) At June 30, 1999 the cost of securities for federal income tax purposes was
$9,557,297. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $4,697,187
Gross unrealized depreciation.......... (560,255)
----------
Net unrealized appreciation............ $4,136,932
----------
----------
</TABLE>
107
<PAGE>
REAL ESTATE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 1999
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- ----------
<C> <S> <C>
COMMON STOCK (94.0%)
CONSUMER CYCLICAL (14.1%)
Building Materials (2.0%)
4,500 D.R. Horton, Inc................................................................. $ 74,812
4,000 Standard Pacific Corporation..................................................... 51,750
----------
126,562
----------
Lodging--Hotel (9.4%)
9,978 Host Marriott Corporation........................................................ 118,489
8,000 Meristar Hospitality Corporation................................................. 179,500
3,100 Promus Hotel Corporation (b)..................................................... 96,100
6,000 Starwood Lodging Trust........................................................... 183,375
----------
577,464
----------
Service (2.7%)
4,500 Cendant Corporation (b).......................................................... 92,250
4,700 Fairfield Communities, Inc. (b).................................................. 75,787
----------
168,037
----------
CONSUMER STAPLES (.8%)
Household Products (.8%)
1,000 Newell Rubbermaid, Inc........................................................... 46,500
----------
FINANCIAL (79.1%)
Finance--Diversified (6.8%)
2,800 Asset Investors Corporation...................................................... 41,825
6,400 Crescent Real Estate Equity Company.............................................. 152,000
6,100 Simon Property Group, Inc........................................................ 154,787
4,300 Trammell Crow Company (b)........................................................ 70,681
----------
419,293
----------
Real Estate (3.3%)
13,000 Catellus Development Corporation (b)............................................. 201,500
----------
Real Estate Investment Trust (69.0%)
5,260 Apartment Investment and Management.............................................. 224,865
7,600 Archstone Communities Trust...................................................... 166,725
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- ----------
<C> <S> <C>
FINANCIAL--CONTINUED
3,300 Arden Realty Group, Inc.......................................................... $ 81,262
6,050 Avalon Bay Communities, Inc...................................................... 223,850
2,100 Boston Properties, Inc........................................................... 75,337
5,700 Carramerica Realty Corporation................................................... 142,500
1,400 Central Parking Corporation...................................................... 47,950
700 Charles E. Smith Realty, Inc..................................................... 23,756
5,200 Developers Diversified Realty Corporation........................................ 86,450
200 Equity Office Properties Trust................................................... 5,125
1,000 Equity Residential Property Trust................................................ 45,062
3,600 Essex Property Trust............................................................. 127,350
4,300 Felcor Lodging Trust, Inc........................................................ 89,225
2,200 First Industrial Realty Trust.................................................... 60,363
3,500 Franchise Finance Corporation of America......................................... 77,000
6,000 Gables Residential Trust......................................................... 144,750
4,000 Glenborough Realty Trust, Inc.................................................... 70,000
1,750 Golf Trust of America, Inc....................................................... 42,766
6,700 Highwoods Properties, Inc........................................................ 183,831
7,000 HRPT Properties Trust............................................................ 107,188
15,200 Innkeepers USA Trust............................................................. 152,000
7,400 Kilroy Realty.................................................................... 179,913
800 Kimco Realty Corporation......................................................... 31,300
5,210 Koger Equity..................................................................... 96,059
700 Lennar Corporation............................................................... 16,800
3,600 Liberty Property Trust........................................................... 89,550
3,100 LNR Property Corporation......................................................... 66,263
7,600 Macerich Company................................................................. 199,500
3,800 Mack-Cali Realty................................................................. 117,563
6,100 New Plan Excel Realty Trust...................................................... 109,800
3,500 Pacific Gulf Properties, Inc..................................................... 79,188
7,300 Pan Pacific Retail Properties.................................................... 141,894
1,600 Parkway Properties............................................................... 53,000
</TABLE>
See accompanying notes to investments in securities.
108
<PAGE>
REAL ESTATE SECURITIES PORTFOLIO
Investments in Securities - continued
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- ----------
<C> <S> <C>
FINANCIAL--CONTINUED
5,100 Philips International Realty..................................................... $ 86,063
2,200 Post Properties, Inc............................................................. 90,200
8,316 Public Storage, Inc.............................................................. 232,848
1,126 Reckson Associates Realty Corporation (b)........................................ 26,883
1,200 Reckson Associates Realty Corporation Class B.................................... 28,200
2,300 Regency Realty Corporation....................................................... 50,456
4,400 SL Green Realty Corporation...................................................... 89,925
<CAPTION>
MARKET
SHARES VALUE(a)
- -------- ----------
<C> <S> <C>
FINANCIAL--CONTINUED
4,800 Summit Properties Incorporated................................................... $ 94,800
3,100 Trinet Corporation............................................................... 85,831
3,500 Urban Shopping Centers, Inc...................................................... 110,250
----------
4,253,641
----------
Total common stock
(cost: $5,788,480)......................................................................... 5,792,997
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ----------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (6.3%)
$ 270,970 Temporary Investment Fund--Temp Fund Portfolio, current rate 4.830%.......... 270,970
115,000 U.S. Treasury Bill......................................... 4.738% 9/23/99 113,774
----------
Total short-term securities (cost: $384,742)................................. 384,744
----------
Total investments in securities (cost: $6,173,222) (c)....................... $6,177,741
----------
----------
</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) At June 30, 1999 the cost of securities for federal income tax purposes was
$6,263,098. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 282,608
Gross unrealized depreciation.......... (367,965)
---------
Net unrealized depreciation............ $ (85,357)
---------
---------
</TABLE>
109
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
MONEY
GROWTH BOND MARKET
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------
<S> <C> <C> <C>
ASSETS
Investments in securities, at market
value--see accompanying schedule for
detailed listing*..................... $504,438,849 $173,173,854 $146,661,342
Cash in bank on demand deposit......... 6 343,882 498
Receivable for Fund shares sold........ 560,174 101,550 634,151
Receivable for investment securities
sold.................................. 12,511,874 500,138 --
Dividends and accrued interest
receivable............................ 334,588 2,795,445 104,209
Receivable for refundable foreign
income taxes withheld................. -- -- --
------------ ------------ ------------
Total assets....................... 517,845,491 176,914,869 147,400,200
------------ ------------ ------------
LIABILITIES
Bank overdraft......................... -- -- --
Payable for Fund shares repurchased.... 13,176,145 455,365 9,012,680
Dividends payable to shareholders...... -- -- 1,199
Payable for investment securities
purchased............................. -- 742,521 --
Payable to Adviser..................... 210,158 77,946 64,763
------------ ------------ ------------
Total liabilities.................. 13,386,303 1,275,832 9,078,642
------------ ------------ ------------
Net assets applicable to
outstanding capital stock......... $504,459,188 $175,639,037 $138,321,558
------------ ------------ ------------
------------ ------------ ------------
Represented by:
Capital stock--authorized 10 trillion
shares of $.01 par value**.......... $ 1,775,998 $ 1,489,359 $ 1,383,216
Additional paid-in capital........... 330,124,282 180,417,514 136,938,342
Undistributed net investment
income.............................. 480,505 5,118,993 --
Accumulated net realized gains
(losses) from investments and
foreign currency transactions....... 9,278,323 (4,315,902) --
Unrealized appreciation
(depreciation) on investments and
translation of assets and
liabilities in foreign currencies... 162,800,080 (7,070,927) --
------------ ------------ ------------
Total--representing net assets
applicable to outstanding
capital stock................... $504,459,188 $175,639,037 $138,321,558
------------ ------------ ------------
------------ ------------ ------------
Net asset value per share of
outstanding capital stock......... $ 2.84 $ 1.18 $ 1.00
------------ ------------ ------------
------------ ------------ ------------
* Identified cost..................... $341,638,769 $180,244,781 $146,661,342
** Shares outstanding.................. 177,599,827 148,935,850 138,321,558
</TABLE>
See accompanying notes to financial statements.
110
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF ASSETS AND LIABILITIES - continued
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SMALL
ASSET MORTGAGE CAPITAL INTERNATIONAL COMPANY
ALLOCATION SECURITIES INDEX 500 APPRECIATION STOCK GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------ -------------- -------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at market
value--see accompanying schedule for
detailed listing*..................... $673,746,329 $129,622,794 $607,620,814 $392,339,300 $ 323,419,324 $ 196,465,933
Cash in bank on demand deposit......... -- 1,144,634 300,242 305,101 2,327 7
Receivable for Fund shares sold........ 868,159 151,261 1,629,837 806,214 203,324 160,941
Receivable for investment securities
sold.................................. 3,308,201 1,902,376 53,528,986 1,442,611 8,310 1,414,995
Dividends and accrued interest
receivable............................ 3,497,411 904,992 525,549 70,705 1,176,730 31,106
Receivable for refundable foreign
income taxes withheld................. -- -- -- -- 682,934 --
------------ ------------ ------------ ------------ -------------- -------------
Total assets....................... 681,420,100 133,726,057 663,605,428 394,963,931 325,492,949 198,072,982
------------ ------------ ------------ ------------ -------------- -------------
LIABILITIES
Bank overdraft......................... 2,887 -- -- -- -- --
Payable for Fund shares repurchased.... 3,203,686 194,584 51,850,748 179,196 273,442 210,693
Dividends payable to shareholders...... -- -- -- -- -- --
Payable for investment securities
purchased............................. 668,622 5,043,994 4,223,243 3,940,498 -- 3,872,302
Payable to Adviser..................... 283,103 58,501 221,544 241,671 243,884 119,589
------------ ------------ ------------ ------------ -------------- -------------
Total liabilities.................. 4,158,298 5,297,079 56,295,535 4,361,365 517,326 4,202,584
------------ ------------ ------------ ------------ -------------- -------------
Net assets applicable to
outstanding capital stock......... $677,261,802 $128,428,978 $607,309,893 $390,602,566 $ 324,975,623 $ 193,870,398
------------ ------------ ------------ ------------ -------------- -------------
------------ ------------ ------------ ------------ -------------- -------------
Represented by:
Capital stock--authorized 10 trillion
shares of $.01 par value**.......... $ 3,086,004 $ 1,109,158 $ 1,418,238 $ 1,281,309 $ 1,843,370 $ 1,104,548
Additional paid-in capital........... 499,345,666 127,094,582 308,757,781 259,876,630 253,845,423 152,209,541
Undistributed net investment
income.............................. 7,893,794 4,330,275 2,710,639 -- 6,267,054 --
Accumulated net realized gains
(losses) from investments and
foreign currency transactions....... 17,816,302 (2,299,559) (1,366,749) 17,176,526 13,539,539 (14,120,935)
Unrealized appreciation
(depreciation) on investments and
translation of assets and
liabilities in foreign currencies... 149,120,036 (1,805,478) 295,789,984 112,268,101 49,480,237 54,677,244
------------ ------------ ------------ ------------ -------------- -------------
Total--representing net assets
applicable to outstanding
capital stock................... $677,261,802 $128,428,978 $607,309,893 $390,602,566 $ 324,975,623 $ 193,870,398
------------ ------------ ------------ ------------ -------------- -------------
------------ ------------ ------------ ------------ -------------- -------------
Net asset value per share of
outstanding capital stock......... $ 2.19 $ 1.16 $ 4.28 $ 3.05 $ 1.76 $ 1.76
------------ ------------ ------------ ------------ -------------- -------------
------------ ------------ ------------ ------------ -------------- -------------
* Identified cost..................... $524,626,293 $131,428,272 $311,830,830 $280,071,199 $ 274,090,311 $ 141,788,689
** Shares outstanding.................. 308,600,409 110,915,770 141,823,838 128,130,898 184,337,032 110,454,801
</TABLE>
111
<PAGE>
ADVANTUS SERIES FUND, INC.
Statements of Assets and Liabilities - continued
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
MATURING MATURING MATURING
GOVERNMENT GOVERNMENT GOVERNMENT
BOND 2002 BOND 2006 BOND 2010
PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- -----------
<S> <C> <C> <C>
ASSETS
Investments in securities, at market
value--see accompanying schedule for
detailed listing*..................... $7,535,018 $6,871,538 $5,489,034
Cash in bank on demand deposit......... 5 44 86
Receivable for Fund shares sold........ 3,839 13,518 15,145
Receivable for investment securities
sold.................................. -- -- --
Dividends and accrued interest
receivable............................ 322 464 293
Unrealized appreciation on forward
foreign currency contracts held, at
value (note 4)........................ -- -- --
----------- ----------- -----------
Total assets....................... 7,539,184 6,885,564 5,504,558
----------- ----------- -----------
LIABILITIES
Payable for Fund shares repurchased.... 727 723 295
Payable for investment securities
purchased............................. -- -- --
Payable to Adviser..................... 2,453 2,202 1,786
Unrealized depreciation on forward
foreign currency contracts held, at
value (note 4)........................ -- -- --
----------- ----------- -----------
Total liabilities.................. 3,180 2,925 2,081
----------- ----------- -----------
Net assets applicable to
outstanding capital stock......... $7,536,004 $6,882,639 $5,502,477
----------- ----------- -----------
----------- ----------- -----------
Represented by:
Capital stock--authorized 10 trillion
shares of $.01 par value**.......... $ 69,173 $ 58,618 $ 44,631
Additional paid-in capital........... 7,283,154 6,539,729 5,270,607
Undistributed net investment
income.............................. 186,440 182,598 151,961
Accumulated net realized gains
(losses) from investments and
foreign currency transactions....... (2,556) (53,377) 10,284
Unrealized appreciation
(depreciation) on investments and
translation of assets and
liabilities in foreign currencies... (207) 155,071 24,994
----------- ----------- -----------
Total--representing net assets
applicable to outstanding
capital stock................... $7,536,004 $6,882,639 $5,502,477
----------- ----------- -----------
----------- ----------- -----------
Net asset value per share of
outstanding capital stock......... $ 1.09 $ 1.17 $ 1.23
----------- ----------- -----------
----------- ----------- -----------
* Identified cost..................... $7,535,225 $6,716,467 $5,464,040
** Shares outstanding.................. 6,917,312 5,861,839 4,463,107
</TABLE>
See accompanying notes to financial statements.
112
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF ASSETS AND LIABILITIES - continued
JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SMALL
VALUE COMPANY GLOBAL INDEX 400 MACRO-CAP MICRO-CAP
STOCK VALUE BOND MID-CAP VALUE GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at market
value--see accompanying schedule for
detailed listing*..................... $ 220,199,755 $ 11,347,952 $ 30,552,578 $ 15,194,255 $ 17,239,630 $ 13,694,229
Cash in bank on demand deposit......... 4 387 68,488 2,796 13,075 4
Receivable for Fund shares sold........ 192,994 46,719 51,957 57,824 128,445 60,987
Receivable for investment securities
sold.................................. 11,762 102,536 146,660 210,358 246,273 7,095
Dividends and accrued interest
receivable............................ 231,375 22,944 514,878 9,863 12,067 1,591
Unrealized appreciation on forward
foreign currency contracts held, at
value (note 4)........................ -- -- 244,398 -- -- --
------------- ------------ ------------ ------------ ------------ ------------
Total assets....................... 220,635,890 11,520,538 31,578,959 15,475,096 17,639,490 13,763,906
------------- ------------ ------------ ------------ ------------ ------------
LIABILITIES
Payable for Fund shares repurchased.... 199,751 2,084 12,975 90,674 5,762 3,455
Payable for investment securities
purchased............................. 4,951,896 202,173 -- 225,491 255,339 100,500
Payable to Adviser..................... 137,440 7,851 26,843 6,344 12,018 12,350
Unrealized depreciation on forward
foreign currency contracts held, at
value (note 4)........................ -- -- 259,158 -- -- --
------------- ------------ ------------ ------------ ------------ ------------
Total liabilities.................. 5,289,087 212,108 298,976 322,509 273,119 116,305
------------- ------------ ------------ ------------ ------------ ------------
Net assets applicable to
outstanding capital stock......... $ 215,346,803 $ 11,308,430 $ 31,279,983 $ 15,152,587 $ 17,366,371 $ 13,647,601
------------- ------------ ------------ ------------ ------------ ------------
------------- ------------ ------------ ------------ ------------ ------------
Represented by:
Capital stock--authorized 10 trillion
shares of $.01 par value**.......... $ 1,166,182 $ 117,044 $ 329,654 $ 131,556 $ 140,235 $ 106,266
Additional paid-in capital........... 183,798,474 11,189,197 32,910,709 13,439,408 14,952,981 10,426,866
Undistributed net investment
income.............................. 1,383,160 72,817 835,558 44,965 37,192 --
Accumulated net realized gains
(losses) from investments and
foreign currency transactions....... (10,532,595) (1,088,723) (1,388,124) 203,023 666,987 (1,024,217)
Unrealized appreciation
(depreciation) on investments and
translation of assets and
liabilities in foreign currencies... 39,531,582 1,018,095 (1,407,814) 1,333,635 1,568,976 4,138,686
------------- ------------ ------------ ------------ ------------ ------------
Total--representing net assets
applicable to outstanding
capital stock................... $ 215,346,803 $ 11,308,430 $ 31,279,983 $ 15,152,587 $ 17,366,371 $ 13,647,601
------------- ------------ ------------ ------------ ------------ ------------
------------- ------------ ------------ ------------ ------------ ------------
Net asset value per share of
outstanding capital stock......... $ 1.85 $ .97 $ .95 $ 1.15 $ 1.24 $ 1.28
------------- ------------ ------------ ------------ ------------ ------------
------------- ------------ ------------ ------------ ------------ ------------
* Identified cost..................... $ 180,668,173 $ 10,329,857 $ 31,941,890 $ 13,860,620 $ 15,670,654 $ 9,555,543
** Shares outstanding.................. 116,618,168 11,704,367 32,965,440 13,155,582 14,023,483 10,626,569
<CAPTION>
REAL ESTATE
SECURITIES
PORTFOLIO
------------
<S> <C>
ASSETS
Investments in securities, at market
value--see accompanying schedule for
detailed listing*..................... $ 6,177,741
Cash in bank on demand deposit......... 5
Receivable for Fund shares sold........ 30,455
Receivable for investment securities
sold.................................. 124,190
Dividends and accrued interest
receivable............................ 41,271
Unrealized appreciation on forward
foreign currency contracts held, at
value (note 4)........................ --
------------
Total assets....................... 6,373,662
------------
LIABILITIES
Payable for Fund shares repurchased.... 618
Payable for investment securities
purchased............................. 207,649
Payable to Adviser..................... 4,366
Unrealized depreciation on forward
foreign currency contracts held, at
value (note 4)........................ --
------------
Total liabilities.................. 212,633
------------
Net assets applicable to
outstanding capital stock......... $ 6,161,029
------------
------------
Represented by:
Capital stock--authorized 10 trillion
shares of $.01 par value**.......... $ 69,597
Additional paid-in capital........... 6,596,372
Undistributed net investment
income.............................. 141,310
Accumulated net realized gains
(losses) from investments and
foreign currency transactions....... (650,769)
Unrealized appreciation
(depreciation) on investments and
translation of assets and
liabilities in foreign currencies... 4,519
------------
Total--representing net assets
applicable to outstanding
capital stock................... $ 6,161,029
------------
------------
Net asset value per share of
outstanding capital stock......... $ .89
------------
------------
* Identified cost..................... $ 6,173,222
** Shares outstanding.................. 6,959,718
</TABLE>
113
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF OPERATIONS
PERIOD FROM JANUARY 1, 1999 TO JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
MONEY
GROWTH BOND MARKET
PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ----------
<S> <C> <C> <C>
Investment income:
Interest............................. $ 254,597 $ 5,194,828 $3,374,738
Dividends (net of foreign withholding
taxes of $189,229 for International
Stock Portfolio).................... 1,479,330 402,267 --
----------- ------------ ----------
Total investment income.......... 1,733,927 5,597,095 3,374,738
----------- ------------ ----------
Expenses (note 5):
Investment advisory fee.............. 1,193,510 440,997 343,450
Custodian fees....................... 4,112 2,926 1,902
Administrative services fee.......... 22,000 22,000 22,000
Auditing and accounting services..... 5,107 3,305 1,095
Legal fees........................... 3,764 1,589 831
Registration fees.................... -- 85 246
Printing and shareholder reports..... 16,101 4,171 2,028
Directors' fees...................... 4,856 2,002 1,096
Insurance............................ 1,319 824 486
S&P licensing fee.................... -- -- --
Other................................ 2,653 203 --
----------- ------------ ----------
Total expenses................... 1,253,422 478,102 373,134
Less fees and expenses waived or
absorbed by Minnesota Life.......... -- -- --
----------- ------------ ----------
Total net expenses............... 1,253,422 478,102 373,134
----------- ------------ ----------
Investment income (loss)--net.... 480,505 5,118,993 3,001,604
----------- ------------ ----------
Realized and unrealized gains (losses)
on investments and foreign currencies:
Net realized gains (losses) from:
Investments (note 3)............... 10,702,267 (3,964,503) --
Foreign currency transactions...... -- -- --
Net change in unrealized appreciation
or depreciation on:
Investments........................ 22,346,828 (6,054,317) --
Translation of assets and
liabilities in foreign currency... -- -- --
----------- ------------ ----------
Net gains (losses) on
investments..................... 33,049,095 (10,018,820) --
----------- ------------ ----------
Net increase (decrease) in net assets
resulting from operations............. $33,529,600 $ (4,899,827) $3,001,604
----------- ------------ ----------
----------- ------------ ----------
</TABLE>
See accompanying notes to financial statements.
114
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF OPERATIONS - continued
PERIOD FROM JANUARY 1, 1999 TO JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SMALL
ASSET MORTGAGE CAPITAL INTERNATIONAL COMPANY
ALLOCATION SECURITIES INDEX 500 APPRECIATION STOCK GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- ------------ -------------- -----------
<S> <C> <C> <C> <C> <C> <C>
Investment income:
Interest............................. $ 6,755,685 $ 4,621,616 $ 60,059 $ 444,064 $ 542,400 $ 242,091
Dividends (net of foreign withholding
taxes of $189,229 for International
Stock Portfolio).................... 2,638,587 60,616 3,912,844 658,546 4,858,192 45,751
----------- ----------- ----------- ------------ -------------- -----------
Total investment income.......... 9,394,272 4,682,232 3,972,903 1,102,610 5,400,592 287,842
----------- ----------- ----------- ------------ -------------- -----------
Expenses (note 5):
Investment advisory fee.............. 1,606,357 314,850 1,174,660 1,411,526 1,088,156 679,081
Custodian fees....................... 8,053 3,202 15,393 3,181 197,144 5,798
Administrative services fee.......... 22,000 22,000 22,000 22,000 16,500 22,000
Auditing and accounting services..... 12,135 3,390 5,543 5,019 97,491 2,056
Legal fees........................... 2,900 736 4,459 3,026 2,495 1,097
Registration fees.................... -- 75 618 -- 378 --
Printing and shareholder reports..... 33,611 6,155 14,444 12,159 31,168 7,196
Directors' fees...................... 6,509 881 6,427 3,943 3,559 1,030
Insurance............................ 1,672 667 1,583 1,206 1,184 824
S&P licensing fee.................... -- -- 14,531 -- -- --
Other................................ -- -- 2,606 3,404 18,778 --
----------- ----------- ----------- ------------ -------------- -----------
Total expenses................... 1,693,237 351,956 1,262,264 1,465,464 1,456,853 719,082
Less fees and expenses waived or
absorbed by Minnesota Life.......... -- -- -- -- -- --
----------- ----------- ----------- ------------ -------------- -----------
Total net expenses............... 1,693,237 351,956 1,262,264 1,465,464 1,456,853 719,082
----------- ----------- ----------- ------------ -------------- -----------
Investment income (loss)--net.... 7,701,035 4,330,276 2,710,639 (362,854) 3,943,739 (431,240)
----------- ----------- ----------- ------------ -------------- -----------
Realized and unrealized gains (losses)
on investments and foreign currencies:
Net realized gains (losses) from:
Investments (note 3)............... 20,588,487 (14,965) 1,336,338 18,105,669 21,502,568 4,200,521
Foreign currency transactions...... -- -- -- -- (555,971) --
Net change in unrealized appreciation
or depreciation on:
Investments........................ (3,421,064) (2,954,283) 63,674,607 (17,563,732) 5,836,300 4,569,952
Translation of assets and
liabilities in foreign currency... -- -- -- -- 134,289 --
----------- ----------- ----------- ------------ -------------- -----------
Net gains (losses) on
investments..................... 17,167,423 (2,969,248) 65,010,945 541,937 26,917,186 8,770,473
----------- ----------- ----------- ------------ -------------- -----------
Net increase (decrease) in net assets
resulting from operations............. $24,868,458 $ 1,361,028 $67,721,584 $ 179,083 $ 30,860,925 $ 8,339,233
----------- ----------- ----------- ------------ -------------- -----------
----------- ----------- ----------- ------------ -------------- -----------
</TABLE>
115
<PAGE>
ADVANTUS SERIES FUND, INC.
Statements of Operations - continued
PERIOD FROM JANUARY 1, 1999 TO JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
MATURING MATURING MATURING
GOVERNMENT GOVERNMENT GOVERNMENT
BOND 2002 BOND 2006 BOND 2010
PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- -----------
<S> <C> <C> <C>
Investment income:
Interest............................. $ 200,601 $ 195,705 $ 162,824
Dividends............................ -- -- --
----------- ----------- -----------
Total investment income.......... 200,601 195,705 162,824
----------- ----------- -----------
Expenses (note 5):
Investment advisory fee.............. 8,851 8,191 6,789
Custodian fees....................... 3,615 4,648 4,890
Administrative services fee.......... 22,000 22,000 22,000
Auditing and accounting services..... 3,676 3,677 3,253
Legal fees........................... 399 394 387
Registration fees.................... 3 4 1
Printing and shareholder reports..... 1,013 1,027 950
Directors' fees...................... 70 72 59
Insurance............................ 122 123 121
S&P licensing fee.................... -- -- --
Other................................ 8 9 6
----------- ----------- -----------
Total expenses................... 39,757 40,145 38,456
Less fees and expenses waived or
absorbed by Minnesota Life.......... (25,596) (27,038) (27,593)
----------- ----------- -----------
Total net expenses............... 14,161 13,107 10,863
----------- ----------- -----------
Investment income (loss)--net.... 186,440 182,598 151,961
----------- ----------- -----------
Realized and unrealized gains (losses)
on investments and foreign currencies:
Net realized gains (losses) from:
Investments (note 3)............... 3,317 (34,284) 26,913
Foreign currency transactions...... -- -- --
Net change in unrealized appreciation
or depreciation on:
Investments........................ (291,784) (585,137) (669,244)
Translation of assets and
liabilities in foreign currency... -- -- --
----------- ----------- -----------
Net gains (losses) on
investments..................... (288,467) (619,421) (642,331)
----------- ----------- -----------
Net increase (decrease) in net assets
resulting from operations............. $(102,027) $(436,823) $(490,370)
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
See accompanying notes to financial statements.
116
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF OPERATIONS - continued
PERIOD FROM JANUARY 1, 1999 TO JUNE 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SMALL
VALUE COMPANY GLOBAL INDEX 400
STOCK VALUE BOND MID-CAP
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ----------- -----------
<S> <C> <C> <C> <C>
Investment income:
Interest............................. $ 260,740 $ 18,169 $ 993,016 $ 3,119
Dividends............................ 1,941,992 95,414 -- 74,148
------------ ----------- ----------- -----------
Total investment income.......... 2,202,732 113,583 993,016 77,267
------------ ----------- ----------- -----------
Expenses (note 5):
Investment advisory fee.............. 773,236 33,971 92,688 23,492
Custodian fees....................... 4,221 11,167 15,232 4,006
Administrative services fee.......... 22,000 22,000 16,500 22,000
Auditing and accounting services..... 4,198 6,811 23,947 6,479
Legal fees........................... 1,230 410 564 429
Registration fees.................... -- -- -- --
Printing and shareholder reports..... 11,623 1,161 5,384 1,835
Directors' fees...................... 2,216 96 295 106
Insurance............................ 848 150 263 150
S&P licensing fee.................... -- -- -- 10,000
Other................................ -- 797 7,320 1,999
------------ ----------- ----------- -----------
Total expenses................... 819,572 76,563 162,193 70,496
Less fees and expenses waived or
absorbed by Minnesota Life.......... -- (35,797) -- (38,194)
------------ ----------- ----------- -----------
Total net expenses............... 819,572 40,766 162,193 32,302
------------ ----------- ----------- -----------
Investment income (loss)--net.... 1,383,160 72,817 830,823 44,965
------------ ----------- ----------- -----------
Realized and unrealized gains (losses)
on investments and foreign currencies:
Net realized gains (losses) from:
Investments (note 3)............... 1,143,153 (484,048) 157,223 298,507
Foreign currency transactions...... -- -- (1,519,387) --
Net change in unrealized appreciation
or depreciation on:
Investments........................ 10,796,459 783,765 (2,216,248) 708,975
Translation of assets and
liabilities in foreign currency... -- -- (17,325) --
------------ ----------- ----------- -----------
Net gains (losses) on
investments..................... 11,939,612 299,717 (3,595,737) 1,007,482
------------ ----------- ----------- -----------
Net increase (decrease) in net assets
resulting from operations............. $ 13,322,772 $ 372,534 $(2,764,914) $ 1,052,447
------------ ----------- ----------- -----------
------------ ----------- ----------- -----------
<CAPTION>
REAL
MACRO-CAP MICRO-CAP ESTATE
VALUE GROWTH SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------
<S> <C> <C> <C>
Investment income:
Interest............................. $ 8,568 $ 35,795 $ 4,331
Dividends............................ 85,265 2,612 160,930
----------- ----------- ----------
Total investment income.......... 93,833 38,407 165,261
----------- ----------- ----------
Expenses (note 5):
Investment advisory fee.............. 47,231 54,378 19,958
Custodian fees....................... 15,696 1,029 1,162
Administrative services fee.......... 16,500 22,000 22,000
Auditing and accounting services..... 24,742 6,479 6,227
Legal fees........................... 443 422 382
Registration fees.................... -- -- 211
Printing and shareholder reports..... 1,842 1,686 1,150
Directors' fees...................... 108 83 106
Insurance............................ 149 147 132
S&P licensing fee.................... -- -- --
Other................................ 712 897 855
----------- ----------- ----------
Total expenses................... 107,423 87,121 52,183
Less fees and expenses waived or
absorbed by Minnesota Life.......... (50,782) (25,327) (28,232)
----------- ----------- ----------
Total net expenses............... 56,641 61,794 23,951
----------- ----------- ----------
Investment income (loss)--net.... 37,192 (23,387) 141,310
----------- ----------- ----------
Realized and unrealized gains (losses)
on investments and foreign currencies:
Net realized gains (losses) from:
Investments (note 3)............... 805,326 (92,780) (255,614)
Foreign currency transactions...... -- -- --
Net change in unrealized appreciation
or depreciation on:
Investments........................ 613,768 2,791,013 467,280
Translation of assets and
liabilities in foreign currency... -- -- --
----------- ----------- ----------
Net gains (losses) on
investments..................... 1,419,094 2,698,233 211,666
----------- ----------- ----------
Net increase (decrease) in net assets
resulting from operations............. $ 1,456,286 $ 2,674,846 $ 352,976
----------- ----------- ----------
----------- ----------- ----------
</TABLE>
117
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
PERIOD FROM JANUARY 1, 1999 TO JUNE 30, 1999 AND YEAR ENDED DECEMBER 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
GROWTH BOND
PORTFOLIO PORTFOLIO
----------------------------- -----------------------------
1999 1998 1999 1998
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Operations:
Investment income (loss)--net..... $ 480,505 $ 1,551,114 $ 5,118,993 $ 9,315,816
Net realized gains (losses) on
investments...................... 10,702,267 12,032,482 (3,964,503) 3,404,521
Net change in unrealized
appreciation or depreciation of
investments...................... 22,346,828 104,951,872 (6,054,317) (3,204,439)
------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from
operations..................... 33,529,600 118,535,468 (4,899,827) 9,515,898
------------- ------------- ------------- -------------
Distributions to shareholders from:
Investment income--net............ (1,551,114) (3,415,606) (9,315,816) (8,612,808)
Net realized gains................ (13,013,829) (54,322,875) (3,747,942) (1,814,285)
------------- ------------- ------------- -------------
Total distributions............. (14,564,943) (57,738,481) (13,063,758) (10,427,093)
------------- ------------- ------------- -------------
Capital share transactions (note 6):
Proceeds from sales............... 61,690,413 97,160,616 24,285,873 64,234,944
Shares issued as a result of
reinvested distributions......... 14,564,943 57,738,481 13,063,758 10,427,093
Payments for redemption of
shares........................... (59,142,741) (78,130,317) (22,539,618) (34,782,027)
------------- ------------- ------------- -------------
Increase (decrease) in net
assets from capital share
transactions................... 17,112,615 76,768,780 14,810,013 39,880,010
------------- ------------- ------------- -------------
Total increase (decrease) in net
assets......................... 36,077,272 137,565,767 (3,153,572) 38,968,815
Net assets at beginning of period... 468,381,916 330,816,149 178,792,609 139,823,794
------------- ------------- ------------- -------------
Net assets at end of period*........ $ 504,459,188 $ 468,381,916 $ 175,639,037 $ 178,792,609
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
* including undistributed net
investment income of.............. $ 480,505 $ 1,551,114 $ 5,118,993 $ 9,315,816
</TABLE>
See accompanying notes to financial statements.
118
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS - continued
PERIOD FROM JANUARY 1, 1999 TO JUNE 30, 1999 AND YEAR ENDED DECEMBER 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
MONEY ASSET MORTGAGE
MARKET ALLOCATION SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------- -------------------------- --------------------------
1999 1998 1999 1998 1999 1998
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Investment income (loss)--net..... $ 3,001,604 $ 3,538,595 $ 7,701,035 $ 14,000,766 $ 4,330,276 $ 7,552,106
Net realized gains (losses) on
investments...................... -- -- 20,588,487 31,558,197 (14,965) 608,476
Net change in unrealized
appreciation or depreciation of
investments...................... -- -- (3,421,064) 75,505,619 (2,954,283) (1,161,588)
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations..................... 3,001,604 3,538,595 24,868,458 121,064,582 1,361,028 6,998,994
------------ ------------ ------------ ------------ ------------ ------------
Distributions to shareholders from:
Investment income--net............ (3,001,604) (3,538,595) (13,808,007) (14,159,977) (7,552,106) (5,857,983)
Net realized gains................ -- -- (32,912,956) (35,984,079) -- --
------------ ------------ ------------ ------------ ------------ ------------
Total distributions............. (3,001,604) (3,538,595) (46,720,963) (50,144,056) (7,552,106) (5,857,983)
------------ ------------ ------------ ------------ ------------ ------------
Capital share transactions (note 6):
Proceeds from sales............... 74,098,123 166,500,747 71,346,130 109,955,098 18,078,159 42,032,571
Shares issued as a result of
reinvested distributions......... 3,001,604 3,538,595 46,720,963 50,144,056 7,552,106 5,857,983
Payments for redemption of
shares........................... (64,955,141) (97,445,660) (56,949,506) (100,243,074) (15,368,299) (23,906,575)
------------ ------------ ------------ ------------ ------------ ------------
Increase (decrease) in net
assets from capital share
transactions................... 12,144,586 72,593,682 61,117,587 59,856,080 10,261,966 23,983,979
------------ ------------ ------------ ------------ ------------ ------------
Total increase (decrease) in net
assets......................... 12,144,586 72,593,682 39,265,082 130,776,606 4,070,888 25,124,990
Net assets at beginning of period... 126,176,972 53,583,290 637,996,720 507,220,114 124,358,090 99,233,100
------------ ------------ ------------ ------------ ------------ ------------
Net assets at end of period*........ $138,321,558 $126,176,972 $677,261,802 $637,996,720 $128,428,978 $124,358,090
------------ ------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------ ------------
* including undistributed net
investment income of.............. $ -- $ -- $ 7,893,794 $ 14,000,766 $ 4,330,275 $ 7,552,106
</TABLE>
119
<PAGE>
ADVANTUS SERIES FUND, INC.
Statements of Changes in Net Assets - continued
PERIOD FROM JANUARY 1, 1999 TO JUNE 30, 1999 AND YEAR ENDED DECEMBER 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
CAPITAL
INDEX 500 APPRECIATION
PORTFOLIO PORTFOLIO
----------------------------- -----------------------------
1999 1998 1999 1998
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Operations:
Investment income (loss)--net..... $ 2,710,639 $ 5,083,595 $ (362,854) $ (677,156)
Net realized gains (losses) on
investments...................... 1,336,338 5,982,474 18,105,669 51,782,047
Net change in unrealized
appreciation or depreciation of
investments...................... 63,674,607 102,199,332 (17,563,732) 39,852,762
------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from
operations..................... 67,721,584 113,265,401 179,083 90,957,653
------------- ------------- ------------- -------------
Distributions to shareholders from:
Investment income--net............ (5,083,595) (3,885,375) -- --
Net realized gains................ (8,167,486) (2,435,409) (52,034,035) (17,585,344)
------------- ------------- ------------- -------------
Total distributions............. (13,251,081) (6,320,784) (52,034,035) (17,585,344)
------------- ------------- ------------- -------------
Capital share transactions (note 6):
Proceeds from sales............... 112,001,834 172,079,899 40,842,870 72,728,540
Shares issued as a result of
reinvested distributions......... 13,251,081 6,320,784 52,034,035 17,585,344
Payments for redemption of
shares........................... (109,273,016) (129,236,528) (43,219,034) (65,551,782)
------------- ------------- ------------- -------------
Increase (decrease) in net
assets from capital share
transactions................... 15,979,899 49,164,155 49,657,871 24,762,102
------------- ------------- ------------- -------------
Total increase (decrease) in net
assets......................... 70,450,402 156,108,772 (2,197,081) 98,134,411
Net assets at beginning of period... 536,859,491 380,750,719 392,799,647 294,665,236
------------- ------------- ------------- -------------
Net assets at end of period*........ $ 607,309,893 $ 536,859,491 $ 390,602,566 $ 392,799,647
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
* including undistributed net
investment income of.............. $ 2,710,639 $ 5,083,595 $ -- $ --
</TABLE>
See accompanying notes to financial statements.
120
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS - continued
PERIOD FROM JANUARY 1, 1999 TO JUNE 30, 1999 AND YEAR ENDED DECEMBER 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SMALL MATURING
INTERNATIONAL COMPANY GOVERNMENT
STOCK GROWTH BOND 2002
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------- ----------------------------- ---------------------------
1999 1998 1999 1998 1999 1998
------------- ------------- ------------- ------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Investment income (loss)--net..... $ 3,943,739 $ 7,914,482 $ (431,240) $ (508,379) $ 186,440 $ 299,076
Net realized gains (losses) on
investments...................... 20,946,597 15,367,940 4,200,521 (14,937,281) 3,317 53,290
Net change in unrealized
appreciation or depreciation of
investments...................... 5,970,589 (5,069,150) 4,569,952 17,789,046 (291,784) 112,608
------------- ------------- ------------- ------------- ------------ ------------
Net increase (decrease) in net
assets resulting from
operations..................... 30,860,925 18,213,272 8,339,233 2,343,386 (102,027) 464,974
------------- ------------- ------------- ------------- ------------ ------------
Distributions to shareholders from:
Investment income--net............ (7,999,361) (8,175,659) -- -- (3,076) (326,884)
Net realized gains................ (15,540,036) (8,049,161) -- -- -- (68,111)
------------- ------------- ------------- ------------- ------------ ------------
Total distributions............. (23,539,397) (16,224,820) -- -- (3,076) (394,995)
------------- ------------- ------------- ------------- ------------ ------------
Capital share transactions (note 6):
Proceeds from sales............... 31,150,617 77,740,160 23,414,336 58,982,956 1,069,143 2,802,444
Shares issued as a result of
reinvested distributions......... 23,539,397 16,224,820 -- -- 3,076 394,995
Payments for redemption of
shares........................... (47,908,472) (72,251,315) (33,229,729) (48,896,516) (285,292) (621,680)
------------- ------------- ------------- ------------- ------------ ------------
Increase (decrease) in net
assets from capital share
transactions................... 6,781,542 21,713,665 (9,815,393) 10,086,440 786,927 2,575,759
------------- ------------- ------------- ------------- ------------ ------------
Total increase (decrease) in net
assets......................... 14,103,070 23,702,117 (1,476,160) 12,429,826 681,824 2,645,738
Net assets at beginning of period... 310,872,553 287,170,436 195,346,558 182,916,732 6,854,180 4,208,442
------------- ------------- ------------- ------------- ------------ ------------
Net assets at end of period*........ $ 324,975,623 $ 310,872,553 $ 193,870,398 $ 195,346,558 $ 7,536,004 $ 6,854,180
------------- ------------- ------------- ------------- ------------ ------------
------------- ------------- ------------- ------------- ------------ ------------
* including undistributed net
investment income of.............. $ 6,267,054 $ 10,322,676 $ -- $ -- $ 186,440 $ 3,076
</TABLE>
121
<PAGE>
ADVANTUS SERIES FUND, INC.
Statements of Changes in Net Assets - continued
PERIOD FROM JANUARY 1, 1999 TO JUNE 30, 1999 AND YEAR ENDED DECEMBER 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
MATURING MATURING
GOVERNMENT GOVERNMENT
BOND 2006 BOND 2010
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Operations:
Investment income (loss)--net..... $ 182,598 $ 287,830 $ 151,961 $ 231,080
Net realized gains (losses) on
investments...................... (34,284) 14,313 26,913 2,583
Net change in unrealized
appreciation or depreciation of
investments...................... (585,137) 393,989 (669,244) 350,712
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations..................... (436,823) 696,132 (490,370) 584,375
------------ ------------ ------------ ------------
Distributions to shareholders from:
Investment income--net............ (327) (321,152) (231,080) (166,131)
Tax return of capital............. -- -- -- --
Net realized gains................ -- (25,396) (10,517) (3,318)
------------ ------------ ------------ ------------
Total distributions............. (327) (346,548) (241,597) (169,449)
------------ ------------ ------------ ------------
Capital share transactions (note 6):
Proceeds from sales............... 1,357,360 3,615,922 1,232,340 3,483,945
Shares issued as a result of
reinvested distributions......... 327 346,548 241,597 169,449
Payments for redemption of
shares........................... (907,755) (1,342,384) (887,946) (1,596,250)
------------ ------------ ------------ ------------
Increase (decrease) in net
assets from capital share
transactions................... 449,932 2,620,086 585,991 2,057,144
------------ ------------ ------------ ------------
Total increase (decrease) in net
assets......................... 12,782 2,969,670 (145,976) 2,472,070
Net assets at beginning of period... 6,869,857 3,900,187 5,648,453 3,176,383
------------ ------------ ------------ ------------
Net assets at end of period*........ $ 6,882,639 $ 6,869,857 $ 5,502,477 $ 5,648,453
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
* including undistributed net
investment income of.............. $ 182,598 $ 327 $ 151,961 $ 231,080
</TABLE>
See accompanying notes to financial statements.
122
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS - continued
PERIOD FROM JANUARY 1, 1999 TO JUNE 30, 1999 AND YEAR ENDED DECEMBER 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE SMALL COMPANY GLOBAL
STOCK VALUE BOND
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------- --------------------------- ---------------------------
1999 1998 1999 1998 1999 1998
------------- ------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Investment income (loss)--net..... $ 1,383,160 $ 3,275,701 $ 72,817 $ 96,452 $ 830,823 $ 1,303,782
Net realized gains (losses) on
investments...................... 1,143,153 (11,432,200) (484,048) (559,881) (1,362,164) 1,799,029
Net change in unrealized
appreciation or depreciation of
investments...................... 10,796,459 11,461,312 783,765 46,696 (2,233,573) 987,582
------------- ------------- ------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations..................... 13,322,772 3,304,813 372,534 (416,733) (2,764,914) 4,090,393
------------- ------------- ------------ ------------ ------------ ------------
Distributions to shareholders from:
Investment income--net............ (3,275,701) -- -- (111,242) (208,156) (878,174)
Tax return of capital............. -- -- -- (548) -- --
Net realized gains................ -- (344,373) -- -- (141,029) (1,678,937)
------------- ------------- ------------ ------------ ------------ ------------
Total distributions............. (3,275,701) (344,373) -- (111,790) (349,185) (2,557,111)
------------- ------------- ------------ ------------ ------------ ------------
Capital share transactions (note 6):
Proceeds from sales............... 24,362,144 73,779,055 3,200,036 7,489,165 3,990,824 5,272,273
Shares issued as a result of
reinvested distributions......... 3,275,701 344,373 -- 111,790 349,185 2,557,111
Payments for redemption of
shares........................... (36,384,012) (71,131,363) (910,008) (3,603,869) (1,097,995) (3,229,318)
------------- ------------- ------------ ------------ ------------ ------------
Increase (decrease) in net
assets from capital share
transactions................... (8,746,167) 2,992,065 2,290,028 3,997,086 3,242,014 4,600,066
------------- ------------- ------------ ------------ ------------ ------------
Total increase (decrease) in net
assets......................... 1,300,904 5,952,505 2,662,562 3,468,563 127,915 6,133,348
Net assets at beginning of period... 214,045,899 208,093,394 8,645,868 5,177,305 31,152,068 25,018,720
------------- ------------- ------------ ------------ ------------ ------------
Net assets at end of period*........ $ 215,346,803 $ 214,045,899 $ 11,308,430 $ 8,645,868 $ 31,279,983 $ 31,152,068
------------- ------------- ------------ ------------ ------------ ------------
------------- ------------- ------------ ------------ ------------ ------------
* including undistributed net
investment income of.............. $ 1,383,160 $ 3,275,701 $ 72,817 $ -- $ 835,558 $ 212,891
</TABLE>
123
<PAGE>
ADVANTUS SERIES FUND, INC.
Statements of Changes in Net Assets - continued
PERIOD FROM JANUARY 1, 1999 TO JUNE 30, 1999 AND YEAR ENDED DECEMBER 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
INDEX 400
MID-CAP
PORTFOLIO
---------------------------
1999 1998
------------ ------------
<S> <C> <C>
Operations:
Investment income (loss)--net..... $ 44,965 $ 51,264
Net realized gains (losses) on
investments...................... 298,507 829,653
Net change in unrealized
appreciation or depreciation of
investments...................... 708,975 573,973
------------ ------------
Net increase (decrease) in net
assets resulting from
operations..................... 1,052,447 1,454,890
------------ ------------
Distributions to shareholders from:
Investment income--net............ -- (64,340)
Tax return of capital............. -- --
Net realized gains................ (710,600) (184,870)
------------ ------------
Total distributions............. (710,600) (249,210)
------------ ------------
Capital share transactions (note 6):
Proceeds from sales............... 5,195,958 7,061,818
Shares issued as a result of
reinvested distributions......... 710,600 249,210
Payments for redemption of
shares........................... (1,607,068) (3,057,348)
------------ ------------
Increase (decrease) in net
assets from capital share
transactions................... 4,299,490 4,253,680
------------ ------------
Total increase (decrease) in net
assets......................... 4,641,337 5,459,360
Net assets at beginning of period... 10,511,250 5,051,890
------------ ------------
Net assets at end of period*........ $ 15,152,587 $ 10,511,250
------------ ------------
------------ ------------
* including undistributed net
investment income of.............. $ 44,965 $ --
</TABLE>
(a) Period from April 24, 1998, commencement of operations, to December 31,
1998.
See accompanying notes to financial statements.
124
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS - continued
PERIOD FROM JANUARY 1, 1999 TO JUNE 30, 1999 AND YEAR ENDED DECEMBER 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
MACRO-CAP MICRO-CAP REAL ESTATE
VALUE GROWTH SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------- --------------------------- ---------------------------
1999 1998 1999 1998 1999 1998(A)
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Investment income (loss)--net..... $ 37,192 $ 46,797 $ (23,387) $ (21,765) $ 141,310 $ 176,203
Net realized gains (losses) on
investments...................... 805,326 558,046 (92,780) (819,037) (255,614) (395,155)
Net change in unrealized
appreciation or depreciation of
investments...................... 613,768 1,033,299 2,791,013 1,805,838 467,280 (462,761)
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations..................... 1,456,286 1,638,142 2,674,846 965,036 352,976 (681,713)
------------ ------------ ------------ ------------ ------------ ------------
Distributions to shareholders from:
Investment income--net............ (1,597) (45,572) -- -- -- (175,908)
Tax return of capital............. -- -- -- -- -- (28,239)
Net realized gains................ (204,739) (437,926) -- -- -- --
------------ ------------ ------------ ------------ ------------ ------------
Total distributions............. (206,336) (483,498) -- -- -- (204,147)
------------ ------------ ------------ ------------ ------------ ------------
Capital share transactions (note 6):
Proceeds from sales............... 6,079,460 7,280,348 4,016,489 4,104,094 1,096,474 6,173,915
Shares issued as a result of
reinvested distributions......... 206,336 483,498 -- -- -- 204,147
Payments for redemption of
shares........................... (1,257,341) (2,753,948) (1,078,179) (1,625,610) (610,882) (169,741)
------------ ------------ ------------ ------------ ------------ ------------
Increase (decrease) in net
assets from capital share
transactions................... 5,028,455 5,009,898 2,938,310 2,478,484 485,592 6,208,321
------------ ------------ ------------ ------------ ------------ ------------
Total increase (decrease) in net
assets......................... 6,278,405 6,164,542 5,613,156 3,443,520 838,568 5,322,461
Net assets at beginning of period... 11,087,966 4,923,424 8,034,445 4,590,925 5,322,461 --
------------ ------------ ------------ ------------ ------------ ------------
Net assets at end of period*........ $ 17,366,371 $ 11,087,966 $ 13,647,601 $ 8,034,445 $ 6,161,029 $ 5,322,461
------------ ------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------ ------------
* including undistributed net
investment income of.............. $ 37,192 $ 1,597 $ -- $ -- $ 141,310 $ --
</TABLE>
(a) Period from April 24, 1998, commencement of operations, to December 31,
1998.
125
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1999
(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 nineteen portfolios (Growth, Bond, Money
Market, Asset Allocation, Mortgage Securities, Index 500, Capital Appreciation,
International Stock, Small Company Growth, Maturing Government Bond 2002,
Maturing Government Bond 2006, Maturing Government Bond 2010, Value Stock, Small
Company Value, Global Bond, Index 400 Mid-Cap, Macro-Cap Value, Micro-Cap Growth
and Real Estate Securities). The Fund's prospectus provides a detailed
description of each Portfolio's investment objective, policies and strategies.
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 Minnesota Life Insurance Company's (Minnesota Life)
separate accounts in connection with Minnesota Life 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 in the financial statements. Actual
results could differ from those estimates.
INVESTMENTS IN SECURITIES
The Fund's net asset value is generally calculated as of the close of normal
trading on the New York Stock Exchange (typically 3:00 p.m. Central Time).
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, by an independent pricing service or at a price
deemed best to reflect fair value quoted by dealers who make markets in these
securities. When market quotations are not readily available, securities are
valued at fair value as determined in good faith under procedures adopted by the
Board of Directors. Short-term securities, with the exception of Money Market,
International Stock, Macro-Cap Value and Global Bond, are valued at market. For
International Stock, Macro-Cap Value and Global Bond, 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.
126
<PAGE>
ADVANTUS SERIES FUND, INC.
Notes to Financial Statements - continued
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - (CONTINUED)
Net realized foreign exchange gains or losses arise from sales and
maturities of short-term securities, sales of foreign currencies, currency gains
or losses realized between trade and settlement dates on security transactions,
the difference between the amounts of dividends, interest and foreign
withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of
the amounts actually received or paid. Net unrealized foreign exchange gains and
losses arise from changes in the value of assets and liabilities, other than
investments in securities, resulting from changes in the exchange rate.
International Stock and Global Bond also may enter into forward foreign
currency exchange contracts for operational purposes and to protect against
adverse exchange rate fluctuations. Global Bond may also enter into these
contracts for purposes of increasing exposure to a foreign currency or to shift
exposure to foreign currency fluctuations from one country to another. The net
U.S. dollar value of foreign currency underlying all contractual commitments
held by International Stock or Global Bond and the resulting unrealized
appreciation or depreciation are determined using foreign currency exchange
rates from an independent pricing service. International Stock and Global Bond
are subject to the credit risk that the other party will not complete the
obligations of the contract.
FEDERAL TAXES
The Fund's policy is to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
taxable income to shareholders. Therefore, no income tax provision is required.
Each Portfolio within the Fund is treated as a separate entity for federal
income tax purposes. The Fund's policy is to make the required minimum
distributions prior to December 31, in order to avoid Federal excise tax.
For federal income tax purposes, the following Portfolios had capital loss
carryovers at June 30, 1999, which, if not offset by subsequent capital gains,
will expire December 31, 2002 through 2007. It is unlikely the Board of
Directors will authorize a distribution of any net realized capital gains until
the available capital loss carryovers have been offset or expired:
<TABLE>
<S> <C>
Mortgage Securities................................................ $ 2,197,150
Small Company Growth............................................... 15,159,260
Value Stock........................................................ 11,551,098
Small Company Value................................................ 477,770
Micro-Cap Growth................................................... 914,937
Real Estate Securities............................................. 258,130
</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>
UNDISTRIBUTED
NET ADDITIONAL PAID
INVESTMENT IN
INCOME CAPITAL
---------------- ----------------
<S> <C> <C>
Capital Appreciation................................................. $ 362,854 $ (362,854)
Small Company Growth................................................. 431,240 (431,240)
Micro-Cap Growth..................................................... 23,387 (23,387)
</TABLE>
127
<PAGE>
ADVANTUS SERIES FUND, INC.
Notes to Financial Statements - continued
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - (CONTINUED)
DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders from net investment income for Money Market
are declared and reinvested daily in additional shares of capital stock. For
Portfolios other than Money Market, distributions from net investment income and
realized gains, if any, will generally be declared and reinvested in additional
shares on an annual basis.
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, 1999, Bond and Mortgage Securities Portfolios had
entered into outstanding, when-issued or forward commitments of $740,625 and
$3,714,266, respectively. The Portfolios have segregated assets, with the
Portfolios' custodians, to cover such when-issued and forward commitments.
(3) INVESTMENT SECURITY TRANSACTIONS
For the period ended June 30, 1999, the cost of purchases and proceeds from
sales of investment securities aggregated $332,002,679 and $310,732,904,
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, 1999 were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ -------------
<S> <C> <C>
Growth............................................. $157,257,745 $ 152,087,600
Bond............................................... 199,126,367 192,647,066
Asset Allocation................................... 340,296,286 319,614,545
Mortgage Securities................................ 57,123,233 48,937,691
Index 500.......................................... 96,262,653 90,644,272
Capital Appreciation............................... 173,781,012 168,972,922
International Stock................................ 55,412,026 67,993,066
Small Company Growth............................... 72,710,082 87,924,363
Maturing Government Bond 2002...................... 1,535,536 561,682
Maturing Government Bond 2006...................... 1,417,875 805,781
Maturing Government Bond 2010...................... 1,306,034 883,959
Value Stock........................................ 73,720,274 84,338,515
Small Company Value................................ 6,384,550 4,365,751
Global Bond........................................ 48,334,203 45,431,054
Index 400 Mid Cap.................................. 6,916,455 3,567,418
Macro-Cap Value.................................... 12,512,611 7,522,693
Micro-Cap Growth................................... 5,302,910 2,827,678
Real Estate Securities............................. 3,240,790 2,757,013
</TABLE>
128
<PAGE>
ADVANTUS SERIES FUND, INC.
Notes to Financial Statements - continued
(4) FORWARD FOREIGN CURRENCY CONTRACTS
On June 30, 1999, Global Bond had entered into forward currency contracts
that obligate Global Bond to deliver currencies at specified future dates.
Unrealized appreciation and depreciation on these contracts is included in the
accompanying financial statements. The terms of the open contracts were as
follows:
<TABLE>
<CAPTION>
EXCHANGE CURRENCY TO BE CURRENCY TO BE UNREALIZED UNREALIZED
DATE DELIVERED RECEIVED APPRECIATION DEPRECIATION
- ----------- ----------------------- ----------------------- --------------- ---------------
<C> <C> <S> <C> <C> <C> <C>
7/19/1999 945,214 US$ 1,437,500 AUD $ 13,729 $ --
7/19/1999 933,124 US$ 1,437,500 AUD 25,818 --
8/16/1999 1,375,510 US$ 2,022,000 CAD 8,075 --
7/26/1999 1,180,000 GBP 1,882,067 EUR -- 19,529
7/28/1999 524,000 GBP 790,943 EUR -- 6,524
8/16/1999 5,965,000 US$ 5,678,519 EUR -- 69,296
7/28/1999 535,045 EUR 350,000 GBP -- 2,633
7/12/1999 5,895,000 NOK 234,895,118 GRD -- 1,319
7/19/1999 1,502,372 US$ 185,250,000 JPY 30,250 --
8/09/1999 1,456,000 EUR 182,000,000 JPY -- 455
12/08/1999 610,000 US$ 7,129,070 MXN 151,653 --
7/12/1999 233,182,031 GRD 5,895,000 NOK 6,774 --
7/19/1999 2,875,000 AUD 1,917,941 US$ 380 --
8/16/1999 2,600,000 EUR 2,692,820 US$ -- 6,622
8/16/1999 257,000 EUR 266,381 US$ -- 449
7/19/1999 92,625,000 JPY 773,364 US$ 7,052 --
12/08/1999 7,129,070 MXN 609,322 US$ -- 152,331
8/23/1999 1,670,350 ZAR 275,000 US$ 220 --
8/23/1999 1,668,975 ZAR 275,000 US$ 447 --
--------------- ---------------
$ 244,398 $ 259,158
--------------- ---------------
--------------- ---------------
</TABLE>
<TABLE>
<S> <C> <C>
AUD Australian Dollar
CAD Canadian Dollar
EUR Euro
GBP British Sterling Pound
GRD Greece Drachma
JPY Japanese Yen
MXN Mexican Peso
NOK Norwegian Krone
US$ United States Dollar
ZAR South African Rand
</TABLE>
(5) EXPENSES AND RELATED PARTY TRANSACTIONS
The Fund has an investment advisory agreement with Advantus Capital
Management, Inc. (Advantus Capital or the Adviser), a wholly-owned subsidiary of
Minnesota Life. Under the advisory 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.
129
<PAGE>
ADVANTUS SERIES FUND, INC.
Notes to Financial Statements - continued
(5) EXPENSES AND RELATED PARTY TRANSACTIONS - (CONTINUED)
Each Portfolio of the Fund pays Advantus Capital an annual fee, based on
average net assets, in the following amounts:
<TABLE>
<CAPTION>
PORTFOLIO ANNUAL FEE
- ---------------------------------------- -----------------------------------------------------------
<S> <C> <C>
Growth.................................. .50%
Bond.................................... .50%
Money Market............................ .50%
Asset Allocation........................ .50%
Mortgage Securities..................... .50%
Index 500............................... .40%
Capital Appreciation.................... .75%
International Stock..................... 1.00% on the first $10 million in net assets
.90% on the next $15 million
.80% on the next $25 million
.75% on the next $50 million
.65% thereafter
Small Company Growth.................... .75%
Maturing Government Bond 2002........... .25%
Maturing Government Bond 2006........... .25%
Maturing Government Bond 2010........... .25%
Value Stock............................. .75%
Small Company Value..................... .75%
Global Bond............................. .60%
Index 400 Mid Cap....................... .40%
Macro-Cap Value......................... .70%
Micro-Cap Growth........................ 1.10%
Real Estate Securities.................. .75%
</TABLE>
Advantus Capital has sub-advisory agreements with the following registered
investment advisers. Under the sub-advisory agreements, Advantus Capital pays
the sub-advisers an annual fee based on average daily net assets, in the
following amounts:
<TABLE>
<CAPTION>
PORTFOLIO SUB-ADVISOR FEE
- ----------------------------------------------------------------- -----------------------------------------
<S> <C> <C> <C>
Capital Appreciation Winslow Capital Management, Inc .375%
International Stock Templeton Investment Counsel, Inc. .75% on the first $10 million in
net assets
.65% on the next $15 million
.55% on the next $25 million
.50% on the next $50 million
.40% thereafter
Global Bond Julius Baer Investment Management, Inc. .30%
Macro-Cap Value J.P. Morgan Investment Managment, Inc. .45%
Micro-Cap Growth Wall Street Associates .85%
</TABLE>
The Fund bears certain other operating expenses including outside directors'
fees, federal registration fees, printing and shareholder report expenses, legal
fees, audit fees, custodian fees, organizational costs and other
130
<PAGE>
ADVANTUS SERIES FUND, INC.
Notes to Financial Statements - continued
(5) EXPENSES AND RELATED PARTY TRANSACTIONS - (CONTINUED)
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 Life directly incurs and pays these operating expenses
relating to the Fund and the Fund in turn reimburses Minnesota Life. Minnesota
Life 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, Minnesota Life voluntarily agreed to absorb $25,596, $27,038, $27,593,
$35,797, $38,194, $50,782, $25,327 and $28,232 in expenses that were otherwise
payable by Maturing Government Bond 2002, Maturing Government Bond 2006,
Maturing Government Bond 2010, Small Company Value, Index 400 Mid-Cap, Macro-Cap
Value, Micro-Cap Growth and Real Estate Securities Portfolios, respectively.
Each Portfolio pays an administrative services fee to Minnesota Life for
accounting, legal and other administrative services which Minnesota Life
provides. The administrative services fee for each Portfolio is $3,900 per
month, except for International Stock, Global Bond and Macro-Cap Value
Portfolios. For International Stock, Global Bond and Macro-Cap Value, the
administrative services fee is $2,800 per month for each Portfolio. Prior to
February 1, 1999, the administrative services fee was $2,500 per month for each
Portfolio.
The Fund has an agreement with SEI Investments Mutual Fund Services (SEI)
whereby SEI provides daily fund accounting services for International Stock,
Global Bond and Macro-Cap Value Portfolios. Under this agreement, the annual fee
for each Portfolio is equal to the greater of $45,000 or .08% of the first $150
million in net assets and .05% of net assets in excess of $150 million.
(6) CAPITAL SHARE TRANSACTIONS
Transactions in shares of Portfolios for the period ended June 30, 1999 and
the year ended December 31, 1998 (period from April 24, 1998 to December 31,
1998 for Real Estate Securities) were as follows:
<TABLE>
<CAPTION>
GROWTH BOND
---------------------------- ----------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 22,771,854 41,346,130 19,659,328 49,909,742
Issued for reinvested distributions......................... 5,416,920 25,337,264 10,863,182 8,381,732
Redeemed.................................................... (21,662,430) (33,461,190) (18,298,619) (27,061,069)
------------ ------------ ------------ ------------
6,526,344 33,222,204 12,223,891 31,230,405
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MONEY MARKET ASSET ALLOCATION
---------------------------- ----------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 74,210,460 166,508,271 32,625,250 54,674,972
Issued for reinvested distributions......................... 3,007,586 3,531,071 22,063,396 25,210,015
Redeemed.................................................... (65,073,460) (97,445,660) (26,051,780) (49,971,834)
------------ ------------ ------------ ------------
12,144,586 72,593,682 28,636,866 29,913,153
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
131
<PAGE>
ADVANTUS SERIES FUND, INC.
Notes to Financial Statements - continued
(6) CAPITAL SHARE TRANSACTIONS - (CONTINUED)
<TABLE>
<CAPTION>
MORTGAGE SECURITIES INDEX 500
---------------------------- ----------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 15,141,480 35,510,767 27,446,514 50,147,731
Issued for reinvested distributions......................... 6,511,621 5,053,091 3,279,146 1,818,869
Redeemed.................................................... (12,861,831) (20,373,512) (26,208,638) (37,336,685)
------------ ------------ ------------ ------------
8,791,270 20,190,346 4,517,022 14,629,915
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
CAPITAL APPRECIATION INTERNATIONAL STOCK
---------------------------- ----------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 13,049,079 24,386,231 18,155,600 44,370,773
Issued for reinvested distributions......................... 17,936,740 5,619,457 14,386,485 8,756,986
Redeemed.................................................... (13,931,372) (22,253,582) (27,925,421) (41,788,154)
------------ ------------ ------------ ------------
17,054,447 7,752,106 4,616,664 11,339,605
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MATURING GOVERNMENT
SMALL COMPANY GROWTH BOND 2002
---------------------------- ----------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 14,581,914 37,038,532 975,911 2,485,026
Issued for reinvested distributions......................... -- -- 2,804 359,011
Redeemed.................................................... (20,731,658) (30,987,936) (260,060) (564,982)
------------ ------------ ------------ ------------
(6,149,744) 6,050,596 718,655 2,279,055
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MATURING GOVERNMENT MATURING GOVERNMENT
BOND 2006 BOND 2010
---------------------------- ----------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 1,126,700 2,927,288 942,389 2,600,917
Issued for reinvested distributions......................... 269 279,975 186,504 135,253
Redeemed.................................................... (746,252) (1,092,077) (672,745) (1,187,008)
------------ ------------ ------------ ------------
380,717 2,115,186 456,148 1,549,162
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
VALUE STOCK SMALL COMPANY VALUE
---------------------------- ----------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 13,998,091 43,695,075 3,619,723 7,480,763
Issued for reinvested distributions......................... 1,918,551 186,228 -- 119,062
Redeemed.................................................... (20,948,651) (42,411,503) (1,032,641) (3,500,677)
------------ ------------ ------------ ------------
(5,032,009) 1,469,800 2,587,082 4,099,148
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
132
<PAGE>
ADVANTUS SERIES FUND, INC.
Notes to Financial Statements - continued
(6) CAPITAL SHARE TRANSACTIONS - (CONTINUED)
<TABLE>
<CAPTION>
GLOBAL BOND INDEX 400 MID-CAP
---------------------------- ----------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 4,012,277 4,989,627 4,786,292 6,762,825
Issued for reinvested distributions......................... 348,409 2,452,206 704,040 227,697
Redeemed.................................................... (1,102,853) (3,151,023) (1,479,560) (2,859,726)
------------ ------------ ------------ ------------
3,257,833 4,290,810 4,010,772 4,130,796
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MACRO-CAP VALUE MICRO-CAP GROWTH
---------------------------- ----------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 5,185,142 6,894,356 3,656,556 4,500,340
Issued for reinvested distributions......................... 179,932 426,710 -- --
Redeemed.................................................... (1,071,358) (2,644,430) (995,705) (1,708,214)
------------ ------------ ------------ ------------
4,293,716 4,676,636 2,660,851 2,792,126
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
REAL ESTATE SECURITIES
----------------------------
1999 1998
------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 1,280,423 6,324,307
Issued for reinvested distributions......................... -- 250,807
Redeemed.................................................... (719,097) (176,722)
------------ ------------
561,326 6,398,392
------------ ------------
------------ ------------
</TABLE>
(7) ILLIQUID SECURITIES
Each Portfolio of the Fund currently limits investments in illiquid
securities to 15% of net assets at the time of purchase, except for Money Market
which limits the investment in illiquid securities to 10% of net assets. At June
30, 1999, investments in securities of Bond, Asset Allocation, Mortgage
Securities, International Stock and Global Bond include issues that are
illiquid. The aggregate values of illiquid securities held by Bond, Asset
Allocation, Mortgage Securities, International Stock and Global Bond were
$6,776,913, $9,404,156, $17,841,791, $4,546,728 and $649,349, respectively,
which represent 3.9%, 1.4%, 13.9%, 1.4% and 2.1% 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.
(8) YEAR 2000
In 1995, Minnesota Life began addressing computer systems requirements and
applications to be Year 2000 ready. Based on a current study, Minnesota Life
plans to spend approximately $14 million through 1999 to modify its computer
information systems, enabling proper processing of transactions relating to the
year 2000 and beyond. The Fund will not be charged for these expenses.
133
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS
GROWTH PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
1999 TO YEAR ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------------------------
1999 1998 1997(b) 1996 1995 1994
------------ ---------- --------------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period... $ 2.74 $ 2.40 $ 2.34 $ 2.21 $ 1.87 $ 1.91
------------ ---------- --------------- ----------- ----------- -----------
Income from investment operations:
Net investment income................ -- .01 .02 .02 .02 .02
Net gains on securities (both
realized and unrealized)............ .18 .74 .62 .32 .41 --
------------ ---------- --------------- ----------- ----------- -----------
Total from investment operations... .18 .75 .64 .34 .43 .02
------------ ---------- --------------- ----------- ----------- -----------
Less distributions:
Dividends from net investment
income.............................. (.01) (.02) (.02) (.02) (.02) (.02)
Distributions from net realized
gains............................... (.07) (.39) (.56) (.19) (.07) (.04)
------------ ---------- --------------- ----------- ----------- -----------
Total distributions................ (.08) (.41) (.58) (.21) (.09) (.06)
------------ ---------- --------------- ----------- ----------- -----------
Net asset value, end of period......... $ 2.84 $ 2.74 $ 2.40 $ 2.34 $ 2.21 $ 1.87
------------ ---------- --------------- ----------- ----------- -----------
------------ ---------- --------------- ----------- ----------- -----------
Total return (a)....................... 6.83% 34.70% 33.41% 17.15% 24.28% .81%
Net assets, end of period (in
thousands)............................ $504,459 $ 468,382 $ 330,816 $ 248,465 $ 201,678 $ 157,369
Ratio of expenses to average daily net
assets................................ .53%(c) .53% .55% .59% .55% .56%
Ratio of net investment income to
average daily net assets.............. .20%(c) .40% 1.16% 1.04% 1.04% 1.22%
Portfolio turnover rate (excluding
short-term securities)................ 32.1% 66.4% 120.1% 154.7% 91.9% 42.0%
</TABLE>
- ------------
(a) Total return figures are based on a share outstanding throughout the period
and assume 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) 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.
(c) Adjusted to an annual basis.
134
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
BOND PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
1999 TO YEAR ENDED DECEMBER 31,
JUNE 30, -------------------------------------------------------------
1999 1998 1997(b) 1996 1995 1994
------------ ---------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period... $ 1.31 $ 1.33 $ 1.28 $ 1.33 $ 1.16 $ 1.30
------------ ---------- ---------- ---------- ---------- ---------
Income from investment operations:
Net investment income................ .03 .06 .08 .06 .07 .04
Net gains (losses) on securities
(both realized and unrealized)...... (.07) .01 .04 (.03) .15 (.10)
------------ ---------- ---------- ---------- ---------- ---------
Total from investment operations... (.04) .07 .12 .03 .22 (.06)
------------ ---------- ---------- ---------- ---------- ---------
Less distributions:
Dividends from net investment
income.............................. (.07) (.07) (.07) (.07) (.05) (.05)
Distributions from net realized
gains............................... (.02) (.02) -- (.01) -- (.03)
------------ ---------- ---------- ---------- ---------- ---------
Total distributions................ (.09) (.09) (.07) (.08) (.05) (.08)
------------ ---------- ---------- ---------- ---------- ---------
Net asset value, end of period......... $ 1.18 $ 1.31 $ 1.33 $ 1.28 $ 1.33 $ 1.16
------------ ---------- ---------- ---------- ---------- ---------
------------ ---------- ---------- ---------- ---------- ---------
Total return (a)....................... (2.72)% 6.08% 9.42% 2.96% 19.75% (4.55)%
Net assets, end of period (in
thousands)............................ $175,639 $ 178,793 $ 139,824 $ 125,886 $ 101,045 $ 74,679
Ratio of expenses to average daily net
assets................................ .54%(c) .55% .57% .56% .58% .61%
Ratio of net investment income to
average daily net assets.............. 5.80%(c) 5.84% 6.39% 6.36% 6.57% 6.12%
Portfolio turnover rate (excluding
short-term securities)................ 111.6% 252.1% 200.0% 154.0% 205.4% 166.2%
</TABLE>
- ------------
(a) Total return figures are based on a share outstanding throughout the period
and assume 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 . For periods less than one year,
total return presented has not been annualized.
(b) 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.
(c) Adjusted to an annual basis.
135
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
1999 TO YEAR ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------------
1999 1998 1997(c) 1996 1995 1994
------------ ---------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ---------- --------- --------- --------- ---------
Income from investment operations:
Net investment income................ .02 .05 .05 .05 .05 .04
------------ ---------- --------- --------- --------- ---------
Total from investment operations... .02 .05 .05 .05 .05 .04
------------ ---------- --------- --------- --------- ---------
Less distributions:
Dividends from net investment
income.............................. (.02) (.05) (.05) (.05) (.05) (.04)
------------ ---------- --------- --------- --------- ---------
Total distributions................ (.02) (.05) (.05) (.05) (.05) (.04)
------------ ---------- --------- --------- --------- ---------
Net asset value, end of period......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------ ---------- --------- --------- --------- ---------
------------ ---------- --------- --------- --------- ---------
Total return (a)....................... 2.16% 4.97% 5.11% 4.92% 5.43% 3.71%
Net assets, end of period (in
thousands)............................ $138,322 $ 126,177 $ 53,583 $ 51,461 $ 30,166 $ 23,107
Ratio of expenses to average daily net
assets (b)............................ .54%(d) .58% .59% .60% .64% .65%
Ratio of net investment income to
average daily net assets (b).......... 4.37%(d) 4.84% 5.13% 4.81% 5.29% 3.71%
</TABLE>
- ------------
(a) Total return figures are based on a share outstanding throughout the period
and assume 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. For periods less than one year,
total return presented has not been annualized.
(b) Minnesota Life voluntarily absorbed $13,734 in expenses for the year ended
December 31, 1994. Had the Portfolio paid all fees and expenses the ratio
of expense to average daily net assets would have been .72% and the ratio
of net investment income to average daily net assets would have been 3.64%.
(c) 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.
(d) Adjusted to an annual basis.
136
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
ASSET ALLOCATION PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
1999 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------------
1999 1998 1997(b) 1996 1995 1994
------------ ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period... $ 2.28 $ 2.03 $ 1.87 $ 1.83 $ 1.52 $ 1.59
------------ ---------- ---------- ---------- ---------- ----------
Income from investment operations:
Net investment income................ .02 .05 .05 .05 .06 .04
Net gains (losses) on securities
(both realized and unrealized)...... .05 .40 .27 .16 .31 (.07)
------------ ---------- ---------- ---------- ---------- ----------
Total from investment operations... .07 .45 .32 .21 .37 (.03)
------------ ---------- ---------- ---------- ---------- ----------
Less distributions:
Dividends from net investment
income.............................. (.05) (.06) (.05) (.06) (.05) (.03)
Distributions from net realized
gains............................... (.11) (.14) (.11) (.11) (.01) (.01)
------------ ---------- ---------- ---------- ---------- ----------
Total distributions................ (.16) (.20) (.16) (.17) (.06) (.04)
------------ ---------- ---------- ---------- ---------- ----------
Net asset value, end of period......... $ 2.19 $ 2.28 $ 2.03 $ 1.87 $ 1.83 $ 1.52
------------ ---------- ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ---------- ----------
Total return (a)....................... 3.78% 23.65% 18.99% 12.50% 25.01% (1.40)%
Net assets, end of period (in
thousands)............................ $677,262 $ 637,997 $ 507,220 $ 414,709 $ 349,010 $ 272,629
Ratio of expenses to average daily net
assets................................ .53%(c) .53% .55% .54% .55% .56%
Ratio of net investment income to
average daily net assets.............. 2.40%(c) 2.51% 3.10% 3.09% 3.75% 3.31%
Portfolio turnover rate (excluding
short-term securities)................ 50.8% 129.6% 140.2% 120.1% 157.0% 123.6%
</TABLE>
- ------------
(a) Total return figures are based on a share outstanding throughout the period
and assume 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) 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.
(c) Adjusted to an annual basis.
137
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
MORTGAGE SECURITIES PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
1999 TO YEAR ENDED DECEMBER 31,
JUNE 30, -----------------------------------------------------------
1999 1998 1997(b) 1996 1995 1994
------------ ---------- ---------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period... $ 1.22 $ 1.21 $ 1.19 $ 1.21 $ 1.10 $ 1.22
------------ ---------- ---------- --------- --------- ---------
Income from investment operations:
Net investment income................ .04 .08 .07 .08 .08 .07
Net gains (losses) on securities
(both realized and unrealized)...... (.03) -- .03 (.02) .11 (.11)
------------ ---------- ---------- --------- --------- ---------
Total from investment operations... .01 .08 .10 .06 .19 (.04)
------------ ---------- ---------- --------- --------- ---------
Less distributions:
Dividends from net investment
income.............................. (.07) (.07) (.08) (.08) (.08) (.05)
Distributions from net realized
gains............................... -- -- -- -- -- (.03)
------------ ---------- ---------- --------- --------- ---------
Total distributions................ (.07) (.07) (.08) (.08) (.08) (.08)
------------ ---------- ---------- --------- --------- ---------
Net asset value, end of period......... $ 1.16 $ 1.22 $ 1.21 $ 1.19 $ 1.21 $ 1.10
------------ ---------- ---------- --------- --------- ---------
------------ ---------- ---------- --------- --------- ---------
Total return (a)....................... 1.14% 6.57% 9.14% 5.26% 18.01% (3.37)%
Net assets, end of period (in
thousands)............................ $128,429 $ 124,358 $ 99,233 $ 75,992 $ 69,746 $ 59,666
Ratio of expenses to average daily net
assets................................ .56%(c) .57% .59% .58% .58% .60%
Ratio of net investment income to
average daily net assets.............. 6.88%(c) 6.76% 7.08% 6.94% 7.09% 6.55%
Portfolio turnover rate (excluding
short-term securities)................ 39.7% 116.7% 106.4% 70.0% 133.7% 197.3%
</TABLE>
- ------------
(a) Total return figures are based on a share outstanding throughout the period
and assume 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. For periods less than one year,
total return presented has not been annualized.
(b) 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.
(c) Adjusted to an annual basis.
138
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
INDEX 500 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
1999 TO YEAR ENDED DECEMBER 31,
JUNE 30, -------------------------------------------------------------
1999 1998 1997(b) 1996 1995 1994
------------ ---------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period... $ 3.91 $ 3.10 $ 2.41 $ 2.02 $ 1.52 $ 1.53
------------ ---------- ---------- ---------- ---------- ---------
Income from investment operations:
Net investment income................ .02 .04 .03 .03 .03 .03
Net gains (losses) on securities
(both realized and unrealized)...... .45 .82 .73 .40 .51 (.01)
------------ ---------- ---------- ---------- ---------- ---------
Total from investment operations... .47 .86 .76 .43 .54 .02
------------ ---------- ---------- ---------- ---------- ---------
Less distributions:
Dividends from net investment
income.............................. (.04) (.03) (.03) (.03) (.03) (.02)
Distributions from net realized
gains............................... (.06) (.02) (.04) (.01) (.01) (.01)
------------ ---------- ---------- ---------- ---------- ---------
Total distributions................ (.10) (.05) (.07) (.04) (.04) (.03)
------------ ---------- ---------- ---------- ---------- ---------
Net asset value, end of period......... $ 4.28 $ 3.91 $ 3.10 $ 2.41 $ 2.02 $ 1.52
------------ ---------- ---------- ---------- ---------- ---------
------------ ---------- ---------- ---------- ---------- ---------
Total return (a)....................... 11.97% 27.99% 32.36% 21.64% 36.83% 1.18%
Net assets, end of period (in
thousands)............................ $607,310 $ 536,859 $ 380,751 $ 204,395 $ 123,999 $ 73,432
Ratio of expenses to average daily net
assets................................ .43%(c) .44% .45% .45% .47% .50%
Ratio of net investment income to
average daily net assets.............. .92%(c) 1.08% 1.33% 1.77% 2.08% 2.34%
Portfolio turnover rate (excluding
short-term securities)................ 15.6% 30.2% 8.3% 15.2% 4.8% 5.9%
</TABLE>
- ------------
(a) Total return figures are based on a share outstanding throughout the period
and assume 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) 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.
(c) Adjusted to an annual basis.
139
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
CAPITAL APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
1999 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------------
1999 1998 1997(b) 1996 1995 1994
------------ ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period... $ 3.54 $ 2.85 $ 2.47 $ 2.16 $ 1.81 $ 1.80
------------ ---------- ---------- ---------- ---------- ----------
Income from investment operations:
Net gains (losses) on securities
(both realized and unrealized)...... (.02) .86 .62 .37 .40 .04
------------ ---------- ---------- ---------- ---------- ----------
Total from investment operations... (.02) .86 .62 .37 .40 .04
------------ ---------- ---------- ---------- ---------- ----------
Less distributions:
Distributions from net realized
gains............................... (.47) (.17) (.24) (.06) (.05) (.03)
------------ ---------- ---------- ---------- ---------- ----------
Total distributions................ (.47) (.17) (.24) (.06) (.05) (.03)
------------ ---------- ---------- ---------- ---------- ----------
Net asset value, end of period......... $ 3.05 $ 3.54 $ 2.85 $ 2.47 $ 2.16 $ 1.81
------------ ---------- ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ---------- ----------
Total return (a)....................... (.13)% 30.83% 28.26% 17.61% 22.78% 2.25%
Net assets, end of period (in
thousands)............................ $390,603 $ 392,800 $ 294,665 $ 214,468 $ 163,520 $ 115,607
Ratio of expenses to average daily net
assets................................ .78%(c) .78% .80% .85% .80% .83%
Ratio of net investment income to
average daily net assets.............. (.19)%(c) (.21)% (.12)% (.09)% (.15)% (.09)%
Portfolio turnover rate (excluding
short-term securities)................ 45.9% 82.7% 74.0% 62.9% 51.1% 68.4%
</TABLE>
- ------------
(a) Total return figures are based on a share outstanding throughout the period
and assume 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) 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.
(c) Adjusted to an annual basis.
140
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
INTERNATIONAL STOCK PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
1999 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------------
1999 1998 1997(b) 1996 1995 1994
------------ ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period... $ 1.73 $ 1.71 $ 1.60 $ 1.41 $ 1.24 $ 1.31
------------ ---------- ---------- ---------- ---------- ----------
Income from investment operations:
Net investment income................ .02 .04 .03 .03 .03 .01
Net gains (losses) on securities
(both realized and unrealized)...... .15 .08 .15 .24 .14 (.01)
------------ ---------- ---------- ---------- ---------- ----------
Total from investment operations... .17 .12 .18 .27 .17 --
------------ ---------- ---------- ---------- ---------- ----------
Less distributions:
Dividends from net investment
income.............................. (.05) (.05) (.05) (.04) -- (.03)
Distributions from net realized
gains............................... (.09) (.05) (.02) (.04) -- (.04)
------------ ---------- ---------- ---------- ---------- ----------
Total distributions................ (.14) (.10) (.07) (.08) -- (.07)
------------ ---------- ---------- ---------- ---------- ----------
Net asset value, end of period......... $ 1.76 $ 1.73 $ 1.71 $ 1.60 $ 1.41 $ 1.24
------------ ---------- ---------- ---------- ---------- ----------
------------ ---------- ---------- ---------- ---------- ----------
Total return (a)....................... 10.38% 6.61% 11.94% 19.79% 14.23% (.32)%
Net assets, end of period
(in thousands)........................ $324,976 $ 310,873 $ 287,170 $ 213,608 $ 140,770 $ 107,490
Ratio of expenses to average daily net
assets................................ .95%(c) .94% .97% 1.06% 1.04% 1.24%
Ratio of net investment income to
average daily net assets.............. 2.56%(c) 2.55% 2.29% 2.53% 2.69% 1.68%
Portfolio turnover rate (excluding
short-term securities)................ 19.3% 22.4% 12.5% 11.5% 20.3% 12.9%
</TABLE>
- ------------
(a) Total return figures are based on a share outstanding throughout the period
and assume 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. For periods less one year, total
return presented has not been annualized.
(b) 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.
(c) Adjusted to an annual basis.
141
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
SMALL COMPANY GROWTH PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
1999 TO YEAR ENDED DECEMBER 31,
JUNE 30, ------------------------------------------------------------
1999 1998 1997(c) 1996 1995 1994
------------ ---------- ---------- ---------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period... $ 1.68 $ 1.65 $ 1.54 $ 1.60 $ 1.23 $ 1.16
------------ ---------- ---------- ---------- --------- ---------
Income from investment operations:
Net gains on securities (both
realized and unrealized)............ .08 .03 .11 .10 .39 .07
------------ ---------- ---------- ---------- --------- ---------
Total from investment operations... .08 .03 .11 .10 .39 .07
------------ ---------- ---------- ---------- --------- ---------
Less distributions:
Dividends from net investment
income.............................. -- -- -- (.16) (.02) --
------------ ---------- ---------- ---------- --------- ---------
Total distributions................ -- -- -- (.16) (.02) --
------------ ---------- ---------- ---------- --------- ---------
Net asset value, end of period......... $ 1.76 $ 1.68 $ 1.65 $ 1.54 $ 1.60 $ 1.23
------------ ---------- ---------- ---------- --------- ---------
------------ ---------- ---------- ---------- --------- ---------
Total return (a)....................... 4.79% 1.27% 7.75% 6.45% 32.06% 6.16%
Net assets, end of period (in
thousands)............................ $193,870 $ 195,347 $ 182,917 $ 144,544 $ 98,895 $ 51,105
Ratio of expenses to average daily net
assets (b)............................ .79%(d) .79% .82% .81% .84% .90%
Ratio of net investment income to
average daily net assets (b).......... (.48)%(d) (.28)% (.05)% .24% .15% .24%
Portfolio turnover rate (excluding
short-term securities)................ 41.4% 75.5% 63.8% 74.4% 61.3% 28.1%
</TABLE>
- ------------
(a) Total return figures are based on a share outstanding throughout the period
and assume 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. For periods less than one year,
total return presented has not been annualized.
(b) Minnesota Life voluntarily absorbed $9,532 in expenses for the year ended
December 31, 1994. Had the Portfolio paid all fees and expenses, the ratio
of expenses to average daily net assets would have been .92%, and the ratio
of net investment income to average daily net assets would have been .21%.
(c) 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.
(d) Adjusted to annual basis.
142
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
MATURING GOVERNMENT BOND 2002 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, MAY 2,
1999 TO YEAR ENDED DECEMBER 31, 1994(a) TO
JUNE 30, ----------------------------------------------- DECEMBER 31,
1999 1998 1997(e) 1996 1995 1994
------------ -------- -------- -------- -------- -------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period.... $ 1.11 $ 1.07 $ 1.05 $ 1.09 $ .93 $ .98
------------ -------- -------- -------- -------- -------------
Income from investment operations:
Net investment income................. .03 .05 .06 .06 .07 .04
Net gains (losses) on securities (both
realized and unrealized)............. (.05) .06 .02 (.04) .16 (.04)
------------ -------- -------- -------- -------- -------------
Total from investment operations.... (.02) .11 .08 .02 .23 --
------------ -------- -------- -------- -------- -------------
Less distributions:
Dividends from net investment
income............................... -- (.06) (.05) (.06) (.07) (.05)
Distributions from net realized
gains................................ -- (.01) (.01) -- -- --
------------ -------- -------- -------- -------- -------------
Total distributions................. -- (.07) (.06) (.06) (.07) (.05)
------------ -------- -------- -------- -------- -------------
Net asset value, end of period.......... $ 1.09 $ 1.11 $ 1.07 $ 1.05 $ 1.09 $ .93
------------ -------- -------- -------- -------- -------------
------------ -------- -------- -------- -------- -------------
Total return (b)........................ (1.43)% 9.61% 8.50% 1.73% 25.02% .28%
Net assets, end of period (in
thousands)............................. $7,536 $ 6,854 $ 4,208 $ 3,900 $ 3,049 $ 2,575
Ratio of expenses to average daily net
assets (c)............................. .40%(d) .34% .20% .20% .20% .20%(d)
Ratio of net investment income to
average daily net assets (c)........... 5.27%(d) 5.74% 5.99% 6.52% 6.52% 7.18%(d)
Portfolio turnover rate (excluding
short-term securities)................. 8.0% 35.2% 36.9% 21.9% -- 11.6%
</TABLE>
- ------------
(a) The inception of the Portfolio was May 2, 1994, when its shares became
effectively registered under the Securities Act of 1933.
(b) Total return figures are based on a share outstanding throughout the period
and assume 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. For periods less than one year,
total return presented has not been annualized.
(c) Minnesota Life voluntarily absorbed $25,596, $37,949, $36,833, $31,158,
$24,709 and $23,298 in expenses for the period ended June 30, 1999, the
years ended December 31, 1998, 1997, 1996 and 1995, and the period from May
2, 1994 to December 31, 1994, respectively. Had the Portfolio paid all fees
and expenses, the ratio of expenses to average daily net assets would have
been 1.12%, 1.07%, 1.14%, 1.14%, 1.06% and 1.52%, respectively, and the
ratio of net investment income to average daily net assets would have been
4.55%, 5.01%, 5.05%, 5.58%, 5.66% and 5.86%, respectively.
(d) Adjusted to an annual basis.
(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.
143
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
MATURING GOVERNMENT BOND 2006 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, MAY 2,
1999 TO YEAR ENDED DECEMBER 31, 1994(a) TO
JUNE 30, ----------------------------------------------- DECEMBER 31,
1999 1998 1997(e) 1996 1995 1994
------------- -------- -------- -------- -------- -------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period.... $ 1.25 $ 1.16 $ 1.09 $ 1.17 $ .92 $ .97
------------- -------- -------- -------- -------- -------------
Income from investment operations:
Net investment income................. .03 .05 .07 .06 .07 .05
Net gains (losses) on securities (both
realized and unrealized)............. (.11) .11 .07 (.07) .25 (.05)
------------- -------- -------- -------- -------- -------------
Total from investment operations.... (.08) .16 .14 (.01) .32 --
------------- -------- -------- -------- -------- -------------
Less distributions:
Dividends from net investment income.. -- (.06) (.06) (.06) (.07) (.05)
Distributions from net realized
gains................................ -- (.01) (.01) (.01) -- --
------------- -------- -------- -------- -------- -------------
Total distributions................. -- (.07) (.07) (.07) (.07) (.05)
------------- -------- -------- -------- -------- -------------
Net asset value, end of period.......... $ 1.17 $ 1.25 $ 1.16 $ 1.09 $ 1.17 $ .92
------------- -------- -------- -------- -------- -------------
------------- -------- -------- -------- -------- -------------
Total return (b)........................ (6.31)% 14.37% 12.62% (1.21)% 34.72% .13%
Net assets, end of period (in
thousands)............................. $ 6,883 $ 6,870 $ 3,900 $ 3,095 $ 2,570 $ 1,860
Ratio of expenses to average daily net
assets (c)............................. .40%(d) .40% .40% .40% .40% .40%(d)
Ratio of net investment income to
average daily net assets (c)........... 5.57%(d) 5.57% 6.23% 6.43% 6.56% 7.45%(d)
Portfolio turnover rate (excluding
short-term securities)................. 12.2% 21.6% 3.1% 25.7% 10.0% --
</TABLE>
- ------------
(a) The inception of the Portfolio was May 2, 1994, when its shares became
effectively registered under the Securities Act of 1933.
(b) Total return figures are based on a share outstanding throughout the period
and assume 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. For periods less than one year,
total return presented has not been annualized.
(c) Minnesota Life voluntarily absorbed $27,038, $37,165, $37,425, $31,536,
$25,199 and $24,803 in expenses for the period ended June 30, 1999, the
years ended December 31, 1998, 1997, 1996 and 1995 and the period from May
2, 1994 to December 31, 1994, respectively. Had the Portfolio paid all fees
and expenses, the ratio of expenses to average daily net assets would have
been 1.23%, 1.12%, 1.50%, 1.58%, 1.56% and 2.37%, respectively, and the
ratio of net investment income to average daily net assets would have been
4.74%, 4.85%, 5.13%, 5.25%, 5.40% and 5.48%, respectively.
(d) Adjusted to an annual basis.
(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.
144
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
MATURING GOVERNMENT BOND 2010 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, MAY 2,
1999 TO YEAR ENDED DECEMBER 31, 1994(a) TO
JUNE 30, --------------------------------------------- DECEMBER 31,
1999 1998 1997(e) 1996 1995 1994
------------ --------- --------- --------- --------- -------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period... $ 1.41 $ 1.29 $ 1.17 $ 1.21 $ .91 $ .96
------------ --------- --------- --------- --------- -------------
Income from investment operations:
Net investment income................ .04 .06 .07 .05 .07 .05
Net gains (losses) on securities
(both realized and unrealized)...... (.16) .12 .11 (.09) .30 (.05)
------------ --------- --------- --------- --------- -------------
Total from investment operations... (.12) .18 .18 (.04) .37 --
------------ --------- --------- --------- --------- -------------
Less distributions:
Dividends from net investment
income.............................. (.06) (.06) (.05) -- (.07) (.05)
Distributions from net realized
gains............................... -- -- (.01) -- -- --
------------ --------- --------- --------- --------- -------------
Total distributions................ (.06) (.06) (.06) -- (.07) (.05)
------------ --------- --------- --------- --------- -------------
Net asset value, end of period......... $ 1.23 $ 1.41 $ 1.29 $ 1.17 $ 1.21 $ .91
------------ --------- --------- --------- --------- -------------
------------ --------- --------- --------- --------- -------------
Total return (b)....................... (8.39)% 14.28% 17.87% (3.42)% 41.22% (.30)%
Net assets, end of period (in
thousands)............................ $5,502 $ 5,648 $ 3,176 $ 2,813 $ 1,384 $1,071
Ratio of expenses to average daily net
assets (c)............................ .40%(d) .40% .40% .40% .40% .40%(d)
Ratio of net investment income to
average daily net assets (c).......... 5.60%(d) 5.48% 6.18% 6.40% 6.58% 7.79%(d)
Portfolio turnover rate (excluding
short-term securities)................ 16.2% 28.2% 39.3% 71.0% -- 14.5%
</TABLE>
- ------------
(a) The inception of the Portfolio was May 2, 1994, when its shares became
effectively registered under the Securities Act of 1933.
(b) Total return figures are based on a share outstanding throughout the period
and assume 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. For periods less than one year,
total return presented has not been annualized.
(c) Minnesota Life voluntarily absorbed $27,593, $39,052, $38,967, $33,042,
$26,308 and $25,888 in expenses for the period ended June 30, 1999, the
years ended December 31, 1998, 1997, 1996 and 1995 and the period from May
2, 1994 to December 31, 1994, respectively. Had the Portfolio paid all fees
and expenses, the ratio of expenses to average daily net assets would have
been 1.42%, 1.33%, 1.85%, 2.18%, 2.68%, and 4.01% respectively, and the
ratio of net investment income to average daily net assets would have been
4.58%, 4.55%, 4.73%, 4.62%, 4.30% and 4.18%, respectively.
(d) Adjusted to an annual basis.
(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.
145
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
VALUE STOCK PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, MAY 2,
1999 TO YEAR ENDED DECEMBER 31, 1994(a) TO
JUNE 30, ----------------------------------------------- DECEMBER 31,
1999 1998 1997(e) 1996 1995 1994
------------ ---------- ---------- --------- --------- -------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period... $ 1.76 $ 1.73 $ 1.59 $ 1.31 $ 1.04 $ 1.01
------------ ---------- ---------- --------- --------- -------------
Income from investment operations:
Net investment income................ .01 .03 .01 .01 .01 --
Net gains on securities (both
realized and unrealized)............ .11 -- .32 .39 .33 .04
------------ ---------- ---------- --------- --------- -------------
Total from investment operations... .12 .03 .33 .40 .34 .04
------------ ---------- ---------- --------- --------- -------------
Less distributions:
Dividends from net investment
income.............................. (.03) -- (.02) (.01) (.01) (.01)
Distributions from net realized
gains............................... -- -- (.17) (.11) (.06) --
------------ ---------- ---------- --------- --------- -------------
Total distributions................ (.03) -- (.19) (.12) (.07) (.01)
------------ ---------- ---------- --------- --------- -------------
Net asset value, end of period......... $ 1.85 $ 1.76 $ 1.73 $ 1.59 $ 1.31 $ 1.04
------------ ---------- ---------- --------- --------- -------------
------------ ---------- ---------- --------- --------- -------------
Total return (b)....................... 6.67% 1.75% 21.19% 30.95% 32.96% 4.57%
Net assets, end of period (in
thousands)............................ $215,347 $ 214,046 $ 208,093 $ 97,187 $ 31,825 $8,771
Ratio of expenses to average daily net
assets (c)............................ .79%(d) .79% .80% .83% .89% .90%(d)
Ratio of net investment income to
average daily net assets (c).......... 1.34%(d) 1.54% 1.13% 1.28% 1.25% 2.07%(d)
Portfolio turnover rate (excluding
short-term securities)................ 37.4% 88.9% 115.4% 88.6% 164.2% 49.5%
</TABLE>
- ------------
(a) The inception of the Portfolio was May 2, 1994, when its shares became
effectively registered under the Securities Act of 1933.
(b) Total return figures are based on a share outstanding throughout the period
and assume 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. For periods less than one year,
total return has not been annualized.
(c) Minnesota Life 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, respectively. 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.
(d) Adjusted to an annual basis.
(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.
146
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
SMALL COMPANY VALUE PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, OCTOBER 1,
1999 TO YEAR ENDED 1997(a) TO
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997
------------ ------------- -------------
<S> <C> <C> <C>
Net asset value, beginning of period... $ .95 $ 1.03 $ 1.01
------------ ------------- -------------
Income from investment operations:
Net investment income................ .01 .01 --
Net gains (losses) on securities
(both realized and unrealized)...... .01 (.08) .02
------------ ------------- -------------
Total from investment operations... .02 (.07) .02
------------ ------------- -------------
Less distributions:
Dividends from net investment
income.............................. -- (.01) --
------------ ------------- -------------
Total distributions................ -- (.01) --
------------ ------------- -------------
Net asset value, end of period......... $ .97 $ .95 $ 1.03
------------ ------------- -------------
------------ ------------- -------------
Total return (b)....................... 1.91% (6.75)% 2.30%
Net assets, end of period (in
thousands)............................ $11,308 $8,647 $5,177
Ratio of expenses to average daily net
assets (c)............................ .90%(d) .90% .90%(d)
Ratio of net investment income to
average daily net assets (c).......... 1.61%(d) 1.52% 1.13%(d)
Portfolio turnover rate (excluding
short-term securities)................ 50.0% 70.2% 13.0%
</TABLE>
- ------------
(a) The shares of the Portfolio became effectively registered under the
Securities Act of 1993 on May 1, 1997, but shares were not available to the
public until October 1, 1997.
(b) Total return figures are based on a share outstanding throughout the period
and assume reinvestment of distributions at net assets 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. For periods less than one year,
total return presented has not been annualized.
(c) Minnesota Life voluntarily absorbed $35,797, $58,848 and $11,517 in
expenses for the period ended June 30, 1999, the year ended December 31,
1998 and the period ended December 31, 1997, respectively. Had the
Portfolio paid all fees and expenses, the ratio of expenses to average
daily net assets would have been 1.69%, 1.83% and 1.78%, respectively, and
the ratio of net investment income to average daily net assets would have
been .82%, .59% and .25%, respectively.
(d) Adjusted to an annual basis.
147
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
GLOBAL BOND PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, OCTOBER 1,
1999 TO YEAR ENDED 1997(a) TO
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997
----------- ------------ ------------
<S> <C> <C> <C>
Net asset value, beginning of period... $ 1.05 $ .98 $ 1.00
----------- ------------ ------------
Income from investment operations:
Net investment income (loss)......... .03 .05 (.02)
Net gains (losses) on securities
(both realized and unrealized)...... (.12) .11 .02
----------- ------------ ------------
Total from investment operations... (.09) .16 --
----------- ------------ ------------
Less distributions:
Dividends from net investment
income.............................. (.01) (.03) (.01)
Distributions from net realized
gains............................... -- (.06) --
Excess distributions of net
investment income................... -- -- (.01)
----------- ------------ ------------
Total distributions................ (.01) (.09) (.02)
----------- ------------ ------------
Net asset value, end of period......... $ .95 $ 1.05 $ .98
----------- ------------ ------------
----------- ------------ ------------
Total return (b)....................... (8.49)% 16.18% .10%
Net assets, end of period (in
thousands)............................ $ 31,280 $ 31,152 $25,019
Ratio of expenses to average daily net
assets................................ 1.17%(c) 1.13% 1.60%(c)
Ratio of net investment income to
average daily net assets.............. 5.99%(c) 4.86% 3.66%(c)
Portfolio turnover rate (excluding
short-term securities)................ 148.6% 285.3% 120.5%
</TABLE>
- ------------
(a) The shares of the Portfolio became effectively registered under the
Securities Act of 1933 on May 1, 1997, but shares were not available to the
public until October 1, 1997.
(b) Total return figures are based on a share outstanding throughout the period
and assume 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. For periods less than one year,
total return presented has not been annualized.
(c) Adjusted to an annual basis.
148
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
INDEX 400 MID-CAP PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, OCTOBER 1,
1999 TO YEAR ENDED 1997(a) TO
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997
------------ ------------- -------------
<S> <C> <C> <C>
Net asset value, beginning of period... $ 1.15 $ 1.01 $ 1.00
------------ ------------- -------------
Income from investment operations:
Net investment income................ -- .01 --
Net gains on securities (both
realized and unrealized)............ .07 .16 .01
------------ ------------- -------------
Total from investment operations... .07 .17 .01
------------ ------------- -------------
Less distributions:
Dividends from net investment
income.............................. -- (.01) --
Distributions from net realized
gains............................... (.07) (.02) --
------------ ------------- -------------
Total distributions................ (.07) (.03) --
------------ ------------- -------------
Net asset value, end of period......... $ 1.15 $ 1.15 $ 1.01
------------ ------------- -------------
------------ ------------- -------------
Total return (b)....................... 7.95% 16.68% .06%
Net assets, end of period (in
thousands)............................ $15,153 $10,511 $5,052
Ratio of expenses to average daily net
assets (c)............................ .55%(d) .55% .55%(d)
Ratio of net investment income to
average daily net assets (c).......... .77%(d) .78% .89%(d)
Portfolio turnover rate (excluding
short-term securities)................ 30.1% 85.4% 4.9%
</TABLE>
- ------------
(a) The shares of the Portfolio became effectively registered under the
Securities Act of 1933 on May 1, 1997, but shares were not available to the
public until October 1, 1997.
(b) Total return figures are based on a share outstanding throughout the period
and assume reinvestment of distributions at net asset value. Total return
figures do not reflect charges pursuant to the terms to the variable life
insurance policies and variable annuity contracts funded by separate
accounts that invest in the Fund's shares. For periods less than one year,
total return presented has not been annualized.
(c) Minnesota Life voluntarily absorbed $38,194, $52,946 and $14,670 in
expenses for the period ended June 30, 1999, the year ended December 31,
1998 and the period ended December 31, 1997, respectively. Had the
Portfolio paid all fees and expenses, the ratio of expense to average daily
net assets would have been 1.20%, 1.36% and 1.70%, respectively, and the
ratio of net investment income (loss) to average daily net assets would
have been .12%, (.03)% and (.26)%, respectively.
(d) Adjusted to an annual basis.
149
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
MACRO-CAP VALUE PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, OCTOBER 15,
1999 TO YEAR ENDED 1997(a) TO
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997
------------ ------------- -------------
<S> <C> <C> <C>
Net asset value, beginning of period... $ 1.14 $ .97 $ 1.00
------------ ------------- -------------
Income from investment operations:
Net investment income................ -- .01 --
Net gains (losses) on securities
(both realized and unrealized)...... .12 .21 (.02)
------------ ------------- -------------
Total from investment operations... .12 .22 (.02)
------------ ------------- -------------
Less distributions:
Dividends from net investment
income.............................. -- -- (.01)
Distributions from net realized
gains............................... (.02) (.05) --
------------ ------------- -------------
Total distributions................ (.02) (.05) (.01)
------------ ------------- -------------
Net asset value, end of period......... $ 1.24 $ 1.14 $ .97
------------ ------------- -------------
------------ ------------- -------------
Total return (b)....................... 10.39% 22.33% (2.13)%
Net assets, end of period (in
thousands)............................ $17,366 $11,088 $4,923
Ratio of expenses to average daily net
assets (c)............................ .85%(d) .85% .85%(d)
Ratio of net investment income to
average daily net assets (c).......... .55%(d) .69% 2.04%(d)
Portfolio turnover rate (excluding
short-term securities)................ 56.6% 164.0% 36.7%
</TABLE>
- ------------
(a) The shares of the Portfolio became effectively registered under the
Securities Act of 1933 on May 1, 1997, but shares were not available to the
public until October 15, 1997.
(b) Total return figures are based on a share outstanding throughout the period
and assume 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. For periods less one year, total
return presented has not been annualized.
(c) Minnesota Life voluntarily absorbed $50,782, $114,468 and $22,940 in
expenses for the period ended June 30, 1999, the year ended December 31,
1998 and the period ended December 31, 1997. Had the Portfolio paid all
fees and expenses, the ratio of expenses to average daily net assets would
have been 1.59%, 2.53% and 3.13%, respectively, and the ratio of net
investment income(loss) to average daily net assets would have been (.19)%,
(.99)% and (.24)%, respectively.
(d) Adjusted to an annual basis.
150
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
MICRO-CAP GROWTH PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, OCTOBER 1,
1999 TO YEAR ENDED 1997(a) TO
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997
------------- ------------- -------------
<S> <C> <C> <C>
Net asset value, beginning of period... $ 1.01 $ .89 $ 1.06
------------- ------------- -------------
Income from investment operations:
Net gains (losses) on securities
(both realized and unrealized)...... .27 .12 (.14)
------------- ------------- -------------
Total from investment operations... .27 .12 (.14)
------------- ------------- -------------
Less distributions:
Distributions from net realized
gains............................... -- -- (.03)
------------- ------------- -------------
Total distributions................ -- -- (.03)
------------- ------------- -------------
Net asset value, end of period......... $ 1.28 $ 1.01 $ .89
------------- ------------- -------------
------------- ------------- -------------
Total return (b)....................... 27.10% 13.44% (13.20)%
Net assets, end of period (in
thousands)............................ $13,648 $ 8,034 $ 4,591
Ratio of expenses to average daily net
assets (c)............................ 1.25%(d) 1.25% 1.25%(d)
Ratio of net investment income to
average daily net assets (c).......... (.47)%(d) (.40)% (.24)%(d)
Portfolio turnover rate (excluding
short-term securities)................ 32.4% 67.4% 28.9%
</TABLE>
- ------------
(a) The shares of the Portfolio became effectively registered under the
Securities Act of 1933 on May 1, 1997, but shares were not available to the
public until October 1, 1997.
(b) Total return figures are based on a share outstanding throughout the period
and assume 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. For periods less than one year,
total return presented has not been annualized.
(c) Minnesota Life voluntarily absorbed $25,327, $46,960 and $11,102 in
expenses for the period ended June 30, 1999, the year ended December 31,
1998 and the period ended December 31, 1997, respectively. Had the
Portfolio paid all fees and expenses, the ratio of expenses to average
daily net assets would have been 1.76%, 2.10% and 2.03%, respectively, and
the ratio of net investment income (loss) to average daily net assets would
have been (.98)%, (1.25)% and (1.02)%, respectively.
(d) Adjusted to an annual basis.
151
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
REAL ESTATE SECURITIES PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, MAY 1,
1999 TO 1998(a) TO
JUNE 30, DECEMBER 31,
1999 1998
------------- -------------
<S> <C> <C>
Net asset value, beginning of period... $ .83 $ 1.02
------------- -------------
Income from investment operations:
Net investment income................ .02 .03
Net gains (losses) on securities
(both realized and unrealized)...... .04 (.19)
------------- -------------
Total from investment operations... .06 (.16)
------------- -------------
Less distributions:
Dividends from net investment
income.............................. -- (.03)
------------- -------------
Total distributions................ -- (.03)
------------- -------------
Net asset value, end of period......... $ .89 $ .83
------------- -------------
------------- -------------
Total return (b)....................... 6.39% (14.90)%
Net assets, end of period (in
thousands)............................ $ 6,161 $ 5,322
Ratio of expenses to average daily net
assets (c)............................ .90%(d) .90%(d)
Ratio of net investment income to
average daily net assets (c).......... 5.31%(d) 6.43%(d)
Portfolio turnover rate (excluding
short-term securities)................ 52.8% 54.0%
</TABLE>
- ------------
(a) The inception of the Portfolio was May 1, 1998 when the 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 assume 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. For periods less than one year,
total return has not been annualized.
(c) Minnesota Life voluntarily absorbed $28,232 and $31,736 in expenses for the
periods ended June 30, 1999 and December 31, 1998. Had the Portfolio paid
all fees and expenses, the ratio of expenses to average daily net assets
would have been 1.96% and 1.90%, respectively, and the ratio of net
investment income to average daily net assets would have been 4.25% and
5.43%, respectively.
(d) Adjusted to an annual basis.
152
<PAGE>
THIS OFFERING IS AVAILABLE THROUGH A
REGISTERED REPRESENTATIVE OF ASCEND FINANCIAL
SERVICES, INC., A REGISTERED BROKER/DEALER.
ASCEND FINANCIAL SERVICES, INC. IS A
SUBSIDIARY OF MINNESOTA LIFE.
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]
ASCEND FINANCIAL SERVICES, INC.
SECURITIES DEALER, MEMBER NASD/SIPC
400 ROBERT STREET NORTH
ST. PAUL, MN 55101-2098
1.888.AFS.1838
(1.888.237.1838)
<PAGE>
[LOGO]
400 Robert Street North [POSTAGE INDICIA]
St. Paul, MN 55101-2098
ADDRESS SERVICE REQUESTED
F. 34490 Rev. 8-1999
