<PAGE>
[LOGO]
ADVANTUS SERIES FUND, INC.
ANNUAL REPORT DECEMBER 31, 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
PRESIDENT'S LETTER ......................................... 3
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
INDEPENDENT AUDITORS' REPORT ............................... 40
INVESTMENTS IN SECURITIES
Growth Portfolio ........................................ 41
Bond Portfolio .......................................... 43
Money Market Portfolio .................................. 46
Asset Allocation Portfolio .............................. 48
Mortgage Securities Portfolio ........................... 54
Index 500 Portfolio ..................................... 58
Capital Appreciation Portfolio .......................... 66
International Stock Portfolio ........................... 68
Small Company Growth Portfolio .......................... 72
Maturing Government Bond 2002 Portfolio ................. 75
Maturing Government Bond 2006 Portfolio ................. 76
Maturing Government Bond 2010 Portfolio ................. 77
Value Stock Portfolio ................................... 78
Small Company Value Portfolio ........................... 80
Global Bond Portfolio ................................... 82
Index 400 Mid-Cap Portfolio ............................. 86
Macro-Cap Value Portfolio ............................... 92
Micro-Cap Growth Portfolio .............................. 94
Real Estate Securities Portfolio ........................ 96
FINANCIAL STATEMENTS
Statements of Assets and Liabilities .................... 98
Statements of Operations ................................ 102
Statements of Changes in Net Assets ..................... 106
Notes to Financial Statements ........................... 114
</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 41.
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
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PORTFOLIO TOTAL RETURN
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31, 1999
PERCENTAGE OF RETURN
<S> <C>
Growth 25.7%
Bond -2.7%
Money Market 4.7%
Asset Allocation 15.2%
Mortgage Securities 2.0%
Index 500 20.3%
Capital Appreciation 21.5%
International Stock 21.4%
Small Company Growth 45.6%
MGB 2002 -0.5%
MGB 2006 -7.8%
MGB 2010 -11.5%
Value Stock 0.3%
Small Company Value -3.1%
Global Bond -7.8%
Index 400 Mid-Cap 16.0%
Macro-Cap Value 7.2%
Micro-Cap Growth 148.8%
Real Estate Securities -3.9%
</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:
Over the past year, the key themes in our updates were consistent: global
economic recovery, continued U.S. growth with low inflation, investors' affinity
for and fickleness with the capital markets, and glitch-free passage into the
next millennium. We expect that these themes will likely continue in 2000;
turning a calendar page has little to do with the conduct of economies or
markets. Most economic and market conditions play out over a period of time.
However, transition should not be mistaken for tranquillity; volatility was
extremely evident in the markets over the past 12 months, and we expect the same
for the upcoming year.
Throughout 1999, many of the world's economies were mending. Asia, including
economically devastated Japan, showed signs of a sustainable recovery. Europe
improved, equity markets soared and growth in the U.S. climbed higher. As the
year ended, many of the world's economies looked brighter, and the U.S.
continued to shine. In the U.S., economic growth accelerated. The inflation-wary
Federal Reserve again tapped the brakes to slow the U.S. growth engine by
raising the Fed Funds rate on November 16. With this last move, the Federal
Reserve raised the Fed Funds rate 75 basis points (.75 percent) for 1999.
Additional increases are likely in 2000.
Large cap stocks were again strong performers in 1999. The S&P 500 Index*
finished the year up 21.01 percent despite increasing interest rates, continuing
fears of future interest rate hikes, looming Y2K issues and recovery of many
foreign economies. The S&P 500's* five-year performance of 143 percent (an
annual average return of 28.54 percent) is the best since 1926. The technology
sector was the story for 1999. With an Index weight of 25.32 percent--the
largest in the Index and almost double the allocation from
December 1998--technology provided more than two-thirds of the 1999 Index
return.
The steady climb in interest rates throughout the year sent bond prices lower.
The bond market suffered its worst year-end performance since 1994 and the
second worst since 1973. Rising interest rates, low unemployment, inflationary
fears and a runaway stock market did not bode well for the bonds. Within the
fixed income market, U.S. Treasury securities were the biggest losers on a total
return basis. They returned -2.56 percent for the year. All the other
sectors--broadly defined as the spread sectors--outperformed U.S. Treasuries.
Mortgage-backed securities were the best-performing group followed by Corporate
bonds.
Y2K was essentially a technological non-event for the U.S. We moved into the new
millennium with significant fanfare around the world; so far, no major business
concerns have emerged. This is largely due to the extensive work and
trouble-shooting efforts by a small army of technology workers over the last
several years.
We expect that Asia's recovery, including Japan, will continue. We believe the
growth in Europe will also continue. It appears that more countries are moving
toward free market economies. As these countries embrace the free market system,
we anticipate that capital will flow more efficiently and competition will
increase. Historically, price competition keeps global inflation lower.
On the domestic front, we expect growth to slow. The Federal Reserve will likely
adopt a "tightening" posture through the first half of 2000 to reign in the
economic growth rate.
We expect that fundamentals for the stock market (i.e., earnings growth,
moderate inflation, and good productivity numbers) will remain very strong.
A technological revolution is driving the U.S. economy. Spending to retrofit
U.S. industry has pushed economic growth and productivity. It is likely that
market euphoria will spill over, and corrections will still occur in the economy
and the marketplace. However, this "new economy" is creating excitement and the
potential to bring significant opportunity to long-term investors.
Thank you for investing with Advantus.
Sincerely,
/s/ William N. Westhoff
William N. Westhoff, President
Advantus Series Fund, Inc.
*The S&P 500 Index is a broad, unmanaged index of 500 common stocks which are
representative of the U.S. stock market overall.
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 25.67 percent* for the year
ended December 31, 1999. In comparison, the Russell 1000 Growth Index** returned
33.14 percent for the same period.
PERFORMANCE ANALYSIS
The Portfolio had another very good year, gaining 25.67 percent. Accelerating
corporate earnings growth combined with low inflation created the ingredients
for a continuation of the bull market of the 1990s. What stands out for the 1999
stock market was the divergence in returns across its many facets. Basically,
the higher the risk level, the better the return. Investors threw caution to the
wind investing in the high growth Internet, technology, and telecommunications
equipment stocks while putting aside valuation considerations. As a result, the
Portfolio's returns were much better than the market overall, yet lagged many of
its more aggressive peers in the growth category. 1999 was clearly a momentum
market.
The strongest sectors of the market were Technology, at a 79 percent return,
followed by Capital Goods and Consumer Cyclicals. The Portfolio had significant
investments in these areas which helped the Portfolio. Technology stocks that
significantly contributed to the Portfolio's performance over the past year
include: JDS Uniphase (optical communications components) gaining 250 percent,*
Sun Microsystems (computer hardware) at 170 percent,* Nokia Oyj (wireless) at
160 percent,* and EMC Corp (computer storage) at 150 percent.* Note that the
gains for the year are for the time period that we owned the stock. The Consumer
Cyclical sector also provided the Portfolio with several winners including:
Omnicom Group (advertising) at 74 percent,* Wal-Mart at 69 percent,* and Home
Depot at 66 percent.*
The lagging sectors of the market, and the Portfolio, were in Health Care,
Consumer Staples and the Financials. Slow earnings growth rates hurt Health Care
and Consumer Staples, while higher interest rates hurt the Financials. Stocks
were selectively sold from these weaker areas as they failed to meet our
investment criteria. Due to deteriorating fundamentals, we sold our entire
position in several stocks over the past year including: Service Corporation
International (death care services), Philip Morris (tobacco), Coca-Cola, and
Health Management Associates (small market hospitals).
The overall performance of the Portfolio was strong with returns above 25
percent,* following two years of over 30 percent returns.* The 12-month return
for 1999 exceeded the return for the broader market measured by the S&P 500
Index,+ yet it did not match the return of the Russell 1000 Growth Index.** One
of the primary reasons the Portfolio did not perform to the level of the Russell
Index** was the lack of participation in the many very high growth companies in
the mid to smaller capitalization sector of the market. During the year we saw
breathtaking upward moves of many of the small to mid-sized company stocks. Many
of these companies of the "new economy" soared to unbelievable heights despite
the fact that they are really unproven small companies, many with little
revenues and no earnings. Sticking to our long-term strategy of investing in
established companies, the Portfolio basically did not invest in these
companies--therefore we did not participate in the unbelievable returns from
this sector of the market.
We have added several new growth stocks to the Portfolio including personal
computer leader Gateway, America Online, JDS Uniphase (fiberoptic
communications), Applied Materials (semiconductor equipment), and wireless
communications leader Nokia Oyj. The majority of large companies with high
earnings growth rates are in the Technology sector, so it is no surprise that
many of our new ideas are coming from that sector.
OUTLOOK
The fundamentals for the market continue to be very strong. Earnings growth has
picked up while inflation remains benign. Over the short term we expect that the
market will have to deal with the negative impacts of climbing interest rates as
the Federal Reserve will likely adopt a "tightening" posture through the first
half of 2000 to slow the economic growth rate to a less torrid pace. This could
cause near term volatility in a longer term bull market.
We will continue to apply our fundamental analysis to discover and invest in
companies we believe can sustain above average earnings growth throughout an
economic cycle. This strategy will allow us to maximize the long-term capital
appreciation of the Portfolio.
4
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TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------- -------- ------------- ----------
<S> <C> <C> <C>
Cisco Systems, Inc. ........................ 387,300 $ 41,489,513 7.1%
General Electric Company.................... 266,300 41,209,925 7.0%
Lucent Technologies, Inc. .................. 340,100 25,443,731 4.3%
Intel Corporation........................... 291,000 23,952,938 4.1%
Microsoft Corporation....................... 194,500 22,707,875 3.9%
EMC Corporation............................. 207,300 22,647,525 3.8%
Nokia Oyj................................... 103,900 19,741,000 3.4%
Sun Microsystems, Inc. ..................... 249,600 19,328,400 3.3%
Home Depot, Inc. ........................... 269,850 18,501,591 3.1%
Wal-Mart Stores, Inc. ...................... 259,100 17,910,287 3.0%
------------ ----
$252,932,785 43.0%
============ ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 1.0%
Utilities 1.3%
Communication Services 1.8%
Financial 5.3%
Consumer Staples 8.2%
Consumer Cyclical 10.7%
Health Care 11.4%
Capital Goods 12.4%
Technology 47.9%
</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 25.67%
Five year 26.88%
Ten year 17.19%
Growth Russell 1000
Portfolio CPI Growth Index
12/31/89 $10,000 $10,000 $10,000
12/31/90 $10,021 $10,618 $9,974
12/31/91 $13,434 $10,934 $14,079
12/31/92 $14,082 $11,259 $14,784
12/31/93 $14,741 $11,568 $15,210
12/31/94 $14,860 $11,892 $16,486
12/31/95 $18,468 $12,193 $22,618
12/31/96 $21,635 $12,596 $27,848
12/31/97 $28,864 $12,819 $36,335
12/31/98 $38,880 $13,025 $50,401
12/31/99 $48,858 $13,365 $67,102
</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
December 31, 1989 through December 31, 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.
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
The Bond Portfolio generated a total return of -2.73 percent* for the year ended
December 31, 1999. The Lehman Brothers Government/Corporate Bond Index**
returned -2.15 percent for the same period.
PERFORMANCE ANALYSIS
The steady climb in interest rates throughout the year sent bond prices lower.
The bond market suffered its worst performance year since 1994 and the second
worst since 1973. When the year began, global economies had just begun to
stabilize after the 1998 crisis involving Russia's default and Asia's economic
problems. U.S. interest rates had been driven lower by a worldwide flight to
quality and a Federal Reserve actively lowering short-term interest rates to
provide liquidity to a stressed global economic situation. During 1999, the
world began to mend. Japan and Southeast Asia showed signs of economic recovery,
Europe improved, equity markets soared and the U.S. growth moved even higher.
The Federal Reserve recognized the changing landscape and began to apply the
brakes on a strong domestic economy. They raised short-term interest rates 25
basis points (.25 percent) on three occasions during the year. Besides strong
growth, the Fed was also concerned about low unemployment, inflationary
pressures and a runaway stock market. The bond market heeded the warning as
interest rates moved significantly higher across the yield curve.
By year-end, the 2, 5, and 10-year yields on U.S. Treasury Notes rose 170 basis
points to yield north of six percent. The 30-year U.S. Treasury Bond yield rose
139 basis points to yield 6.48 percent.
Within the fixed income market, U.S. Treasury securities were the biggest losers
on a total return basis. They returned a -2.56 percent for the year. All the
other sectors; broadly defined as the spread sectors, outperformed U.S.
Treasuries. Mortgage-backed securities were the best performing group posting a
+1.86 percent return. Asset-backed securities returned +1.81 percent. Corporate
bonds outperformed Treasuries by 60 basis points but their return was a -1.96
percent for the year, while U.S. agency securities returned a -0.94 percent.
The Portfolio's performance was negatively impacted by our decision to hold too
much duration (longer maturity bonds) early in the year as interest rates rose.
Mid-year we shortened our duration to market neutral, which helped slow the
losses. The decision to overweight the spread sectors throughout the year added
to performance, but it was not enough to overcome the longer duration position
in the first half of the year.
OUTLOOK
The Portfolio will be kept very close to duration neutral or slightly short
duration until there are signs that the economy is slowing down. When that time
comes, we feel that adding longer maturity bonds would be prudent. We expect
that the overweight to the spread sectors will be lightened in the first quarter
of 2000 to take advantage of the recent spread tightening and prepare for a
potentially wider spread environment in the second half of 2000.
The bond market has been under pressure since the fall of 1998 and that pressure
is likely to continue into the first half of 2000. The bond market has worried
about strong growth, high flying equity markets, inflation, a labor shortage and
the Federal Reserve needing to slow this economy through use of tighter monetary
policy. We see this trend continuing until something gives way. When interest
rates eventually move high enough, they will slow the economy down, cause a
correction in the stock market, or both. Until then, look for much of the same
pattern--a methodical rise in interest rates. When we reach this inflexion
point, a strong rally in bonds will prevail. Are we 25, 50 or 100 basis points
(.25, .50, or 1 percent) away; that is the big question. While this is difficult
to call, we feel that we are a lot closer to this level today than we were
twelve months ago.
6
<PAGE>
TEN LARGEST BOND HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF BOND
COMPANY VALUE PORTFOLIO
- ------- ------------ ---------
<S> <C> <C>
U.S. Treasury Bond--6.125%, 08/15/29................... $ 8,485,598 5.0%
U.S. Treasury Note--5.250%, 08/15/03................... 8,095,500 4.8%
U.S. Treasury Bond--5.625%, 02/15/06................... 7,176,562 4.2%
U.S. Treasury Bond--5.250%, 02/15/29................... 6,617,504 3.9%
U.S. Treasury Bond--6.625%, 03/31/02................... 6,444,000 3.8%
PNC Bank Corporation--6.728%, 01/25/07................. 5,377,185 3.2%
U.S. Treasury Bond--5.875%, 11/15/05................... 5,340,159 3.1%
General Electric Capital Corporation--6.290%,
12/15/01............................................. 4,944,670 2.9%
Crown Cork & Seal Company, Inc.--7.125%, 09/01/02...... 4,941,470 2.9%
Enron Corporation--6.725%, 11/17/08.................... 4,860,786 2.8%
----------- ----
$62,283,434 36.6%
=========== ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury 25.7%
U.S. Government Agencies 7.0%
AAA Rated 9.1%
AA Rated 5.1%
A Rated 18.4%
BBB Rated 26.7%
BB Rated 1.5%
Preferred Stock 4.8%
Cash and Other Assets/Liabilities 1.7%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN BOND PORTFOLIO,
LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX
AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C> <C> <C>
One year -2.73%
Five year 6.84%
Ten year 7.02%
Lehman Brothers
Government/Corporate
Bond Portfolio Bond Index CPI
12/31/1989 $10,000 $10,000 $10,000
12/31/1990 $10,723 $10,829 $10,618
12/31/1991 $12,610 $12,576 $10,934
12/31/1992 $13,451 $13,531 $11,259
12/31/1993 $14,830 $15,057 $11,568
12/31/1994 $14,155 $14,532 $11,892
12/31/1995 $16,950 $17,070 $12,193
12/31/1996 $17,453 $17,565 $12,596
12/31/1997 $19,097 $19,279 $12,819
12/31/1998 $20,258 $21,105 $13,025
12/31/1999 $19,705 $21,130 $13,365
</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 December 31, 1989 through December 31, 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]
STEVEN 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 OR ANY OTHER
FEDERAL AGENCY, 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 year ended December 31, 1999
was 4.71 percent.* The three-month U.S. Treasury Bill returned 4.91 percent for
the same period. The Portfolio's compound yield was 5.34 percent* and the simple
yield was 5.20 percent* for the seven days ended December 31, 1999.
PERFORMANCE ANALYSIS
At the beginning of the year, financial markets and investor confidence were
just recovering from the turmoil caused by a number of global crises that
occurred in the second half of 1998 (e.g., Russia defaulting on its debt, hedge
fund collapses in the U.S., and economic woes in Asia). Interest rates in the
U.S. were driven lower by a worldwide flight to quality and a Federal Reserve
that aggressively lowered short-term interest rates to provide liquidity to
strained financial markets. In response to the Fed's moves, stocks rebounded,
fears of a global meltdown subsided and investors reversed their flight to
quality trade.
With market conditions improved and the Fed finished cutting rates, U.S.
interest rates moved steadily higher throughout 1999 as multiple signs of robust
economic growth in the U.S. fueled inflation and growth concerns. Thus,
investors experienced a stark reversal in the market's tone over the course of
the year. Whereas the year started with the Fed lowering interest rates, the
year ended with significantly higher interest rates and with the Fed having
increased the Fed Funds rate by 25 basis points on three occasions (June 30,
August 24, and November 16, 1999). By year's end, the Fed Funds rate stood at
5.50 percent, and the bond market had suffered its worst performance year since
1994 and second worst since 1973.
The higher interest rates resulted in negative returns for most major bond
indexes (e.g., the Lehman Aggregate Index) over the past year, a rare occurrence
in the fixed income universe. Returns on shorter U.S. Treasury securities,
however, were significantly better. For example, the total returns of the
3-month and 6-month U.S. Treasury Bills over the past year were 4.90 and 4.74
percent, respectively. As a result, money market funds provided investors with
significantly higher returns over this past year when compared to the returns of
most other major bond indexes. In addition, the increase in interest rates has
raised the yields on money market portfolios to rather attractive levels,
especially considering that they continue to provide excellent liquidity and
stability.*
As most investors would agree, volatility across different financial markets and
sectors seems to have become the norm rather than the exception. Despite this,
high-quality commercial paper continues to offer excellent safety and liquidity
as well as attractive yields.* The Portfolio has approximately 95% of its assets
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 rating
agencies).
The Portfolio's holdings continue to be well diversified over a variety of
stable industries and do not include any holdings in the more volatile brokerage
sector. Our goal throughout this reporting period has been to maintain the
average days to maturity of the Portfolio in the range of 40 to 50 days. To that
end, the average days to maturity as of December 31, 1999 stood at 44 days.
OUTLOOK
Despite the significant rise in interest rates over the past year, we feel that
rates may still creep even higher over the next few months. This view is based
on the ongoing strength of the U.S. economy and our view that the Fed will raise
the Fed Funds rate on more than one occasion over the next two quarters. We
continue to believe, however, that most of the damage has already been done and
that rates will not move up to the same extent that they did in 1999. Over the
next three to six months, we expect that high quality commercial paper yields
will likely stay near 5.50 percent and will offer investors a very safe haven as
well as attractive returns compared to other longer-term fixed income
opportunities.
8
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE DAYS TO MATURITY NUMBER
OF DAYS
<S> <C>
1/6/99 55
1/13/99 53
1/20/99 59
1/28/99 55
2/3/99 56
2/10/99 53
2/17/99 52
2/24/99 52
3/3/99 56
3/10/99 70
3/17/99 66
3/24/99 66
3/31/99 61
4/7/99 61
4/14/99 62
4/21/99 62
4/28/99 66
5/5/99 65
5/12/99 72
5/19/99 65
5/26/99 74
6/2/99 67
6/9/99 65
6/16/99 65
6/23/99 66
6/30/99 62
7/7/99 64
7/14/99 65
7/21/99 68
7/28/99 66
8/4/99 64
8/11/99 60
8/18/99 63
8/25/99 61
9/1/99 59
9/8/99 62
9/15/99 62
9/22/99 62
9/29/99 64
10/6/99 60
10/13/99 64
10/20/99 64
10/27/99 59
11/3/99 58
11/10/99 57
11/17/99 54
11/24/99 59
12/1/99 58
12/8/99 58
12/15/99 55
12/22/99 55
12/29/99 44
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SEVEN-DAY COMPOUND YIELD* PERCENTAGE
<S> <C>
1/6/1999 4.6%
1/13/1999 4.6%
1/20/1999 4.6%
1/28/1999 4.5%
2/3/1999 4.3%
2/10/1999 4.4%
2/17/1999 4.4%
2/24/1999 4.4%
3/3/1999 4.4%
3/10/1999 4.4%
3/17/1999 4.4%
3/24/1999 4.4%
3/31/1999 4.5%
4/7/1999 4.5%
4/14/1999 4.4%
4/21/1999 4.3%
4/28/1999 4.3%
5/5/1999 4.6%
5/12/1999 4.5%
5/19/1999 4.4%
5/26/1999 4.4%
6/2/1999 4.4%
6/9/1999 4.5%
6/16/1999 4.5%
6/23/1999 4.5%
6/30/1999 4.4%
7/7/1999 4.6%
7/14/1999 4.7%
7/21/1999 4.6%
7/28/1999 4.6%
8/4/1999 4.6%
8/11/1999 4.6%
8/18/1999 4.7%
8/25/1999 4.7%
9/1/1999 4.8%
9/8/1999 4.8%
9/15/1999 4.9%
9/22/1999 4.9%
9/29/1999 4.9%
10/6/1999 4.9%
10/13/1999 4.9%
10/20/1999 5.0%
10/27/1999 5.0%
11/3/1999 5.1%
11/10/1999 5.2%
11/17/1999 5.1%
11/24/1999 5.2%
12/1/1999 5.3%
12/8/1999 5.3%
12/15/1999 5.3%
12/22/1999 5.2%
12/29/1999 5.4%
</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 or any other Federal Agency, 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 more or less than their original cost.
Performance figures of the Fund do not reflect charges pursuant to the terms of
the variable life insurance policies and variable annuity contracts funded by
separate accounts that invest in the Fund's shares. When such charges are
deducted, actual investment performance in a variable policy or contract will be
lower.
9
<PAGE>
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 15.17 percent* for
the year ended December 31, 1999. The Portfolio's benchmarks, the Russell 1000
Growth Index** returned 33.14 percent, and the Lehman Brothers Aggregate Bond
Index+ returned -.83 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 18.80 percent for the same period.
PERFORMANCE ANALYSIS
The driving factor for the market over the past year has been the very strong
economy, which has led to acceleration in corporate earnings growth and higher
interest rates. What stands out for the 1999 stock market was the divergence in
returns across its many facets. Basically, the higher the risk level, the better
the return. Investors threw caution to the wind investing in the high growth
Internet, technology, and telecommunications equipment stocks while putting
aside valuation considerations.
The bond market had a tough year as interest rates climbed from about a 4.65
percent yield on the 10-year U.S. Treasury bond at the beginning of the year to
a 6.48 percent yield at year's end. The associated drop in bond values was
nearly offset by their yield over the year.
STOCKS: The Technology sector led the market with Internet stocks at the
forefront. Explosive growth of Internet usage and potential demand for
applications are expected to fuel continued technology capital spending, as well
as growth for Internet related companies. The Portfolio had a meaningful
position in the Technology sector and was a beneficiary of the strong technology
rally. Significant contributors to the Portfolio's performance from this sector
included JDS Uniphase (optical communications components), Sun Microsystems
(computer hardware), Cisco (networking), Lucent (telecommunications equipment),
EMC Corp (data storage) and Lexmark (printers).
The strong economy led to growth in the Consumer Cyclical sector of the market.
Stocks in this sector that contributed to the Portfolio's performance include
advertising leader Omnicom Group, and the excellent retailers Home Depot, and
Wal-Mart.
The lagging sectors of the market and the Portfolio were in Health Care,
Consumer Staples and the Financials. Slow earnings growth rates hurt Health Care
and Consumer Staples, while higher interest rates hurt the Financials. Stocks in
the Fund were selectively sold from these weaker areas as they failed to meet
our investment criteria. Due to deteriorating fundamentals we sold our entire
position in several stocks over the past year including Service Corporation
International (death care services), Philip Morris (tobacco), Coca-Cola, Health
Management Associates (small market hospitals) and Proctor & Gamble (household
products).
We added several new growth stocks to the Portfolio including personal computer
leader Gateway, America Online, JDS Uniphase, Applied Materials (semiconductor
equipment), and wireless communications leader Nokia. The majority of large
companies with high earnings growth rates are in the Technology sector, so it is
no surprise that many our new ideas are coming from that sector.
BONDS: The steady climb in U.S. interest rates throughout the year sent bond
prices lower. The bond market suffered its worst performance year since 1994 and
the second worst since 1973. At year-end, the 2, 5, and 10-year yields on U.S.
Treasury Notes rose 170 basis points to yield north of six percent. The 30-year
U.S. Treasury Bond yield rose 139 basis points to yield 6.48 percent.
ASSET ALLOCATION: The movements in the asset allocation of the Portfolio between
stocks, bonds and cash were relatively modest over the past year. At the start
of the reporting period stocks were 70 percent of the Portfolio's total net
assets. Associated with the rally in stocks, they were sold down to 62 percent
of the Portfolio. In October, bonds were trimmed with the money going back into
stocks. REITs continue to comprise about 5.3 percent of the common stocks in the
Portfolio. Over the year, the bond weighting moved up from 28 percent to 34
percent during the late summer when corporate spreads were very attractive, then
back to the current 28 percent level. The higher yields now available in bonds
provided an attractive return potential versus their level of risk and the
current low level of inflation. Cash was maintained between 1 and 5 percent over
the past year. The asset allocation on the last day of the reporting period
(12/31/99) was 73 percent stocks, 25 percent bonds, and 2 percent cash and other
assets/liabilities.
OUTLOOK
Healthy corporate earnings growth along with benign inflation historically* has
been a very good fundamental backdrop for the financial markets. Over the short
term we expect that the markets will have to deal with the negative impacts of
climbing interest rates as the Federal Reserve will likely adopt a "tightening"
posture through the first half of 2000 to slow the economic growth. We feel that
the stock market will likely continue to see significant levels of volatility as
it sorts out some of the excesses that have occurred in the momentum market of
1999. For bonds, we foresee that 2000 will likely be better than 1999.
In our opinion, over the long run, fundamental economic variables dominate the
movements of the financial markets. We believe the fundamentals are very good
and are likely to remain strong. As always, we will position the Portfolio to
significantly participate in strong market advances while protecting your
capital during periods of market decline.
10
<PAGE>
FIVE LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------- -------- ------------- ----------
<S> <C> <C> <C>
Cisco Systems, Inc. ........................ 329,350 $ 35,281,619 6.4%
General Electric Company.................... 194,752 30,137,872 5.5%
Intel Corporation........................... 259,300 21,343,631 3.9%
Lucent Technologies, Inc. .................. 283,400 21,201,863 3.9%
Microsoft Corporation....................... 169,300 19,765,775 3.6%
------------ ----
$127,730,760 23.3%
============ ====
</TABLE>
BOND PORTFOLIO CHARACTERISTICS--QUALITY BREAKDOWN
<TABLE>
<CAPTION>
% OF BOND
RATING PORTFOLIO
- ------ ---------
<S> <C>
U.S. Treasury............................................... 5.1%
U.S. Government Agencies.................................... 27.4%
AAA rated................................................... 13.6%
AA rated.................................................... 11.7%
A rated..................................................... 19.1%
BBB rated................................................... 21.1%
BB rated.................................................... 1.4%
D rated..................................................... .6%
-----
100.0%
=====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Bonds 25.4%
Common Stocks 71.9%
Preferred Stocks 1.3%
Cash and Other Assets/Liabilities 1.4%
</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> <C>
One year 15.17%
Five year 18.97%
Ten year 13.61%
Asset Allocation CPI Blended Russell 1000 Lehman Brothers
Portfolio Index Growth Index Aggregate Bond Index
12/31/1989 $10,000 $10,000 $10,000 $10,000 $10,000
12/31/1990 $10,361 $10,618 $10,366 $9,973 $10,893
12/31/1991 $13,353 $10,934 $13,569 $14,079 $12,636
12/31/1992 $14,323 $11,259 $14,388 $14,784 $13,572
12/31/1993 $15,249 $11,568 $15,207 $15,211 $14,896
12/31/1994 $15,036 $11,892 $15,278 $15,616 $14,460
12/31/1995 $18,797 $12,193 $19,779 $21,422 $17,131
12/31/1996 $21,147 $12,596 $22,741 $26,375 $17,753
12/31/1997 $25,162 $12,819 $27,760 $34,413 $19,468
12/31/1998 $31,113 $13,025 $35,289 $47,736 $21,159
12/31/1999 $35,833 $13,365 $39,661 $57,541 $21,278
</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
December 31, 1989 through December 31, 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 1.99 percent* for
the year ended December 31, 1999. The Lehman Brothers Mortgage-Backed Securities
Index,** the Portfolio's benchmark, returned 1.85 percent for the same period.
PERFORMANCE ANALYSIS
Let's face it, the bond market has been in a foul mood all year. Interest rates
have been on a gradual upward swing since the beginning of the year, as strong
growth and the potential for rising inflation weighed heavily on investors'
minds. Intermediate interest rates are up over 1.75 percent in the last year and
in hindsight it's easy to see that we have just passed through the worst bear
market for bonds since 1994. A select group of Wall Street's economists couldn't
have been further off their beginning-of-the-year forecast of stable to lower
rates of interest, inflation and growth.
For fixed income investors, mortgages were the place to be in 1999, as mortgages
proved to be the only major fixed income asset class to deliver positive
returns. Over the past year, the Portfolio is up 1.99 percent. These returns
outpaced both our peer group, the Lipper U.S Mortgage/GNMA Category,+ and our
Index, the Lehman Brothers Mortgage-Backed Securities Index,** which averaged
.54 percent and 1.85 percent, respectively.
Looking forward, we feel that mortgage securities investors should continue to
stand tall and be proud of their mortgage portfolio. In our opinion, the
mortgage sector will remain an attractive asset class as we expect that it will
continue to benefit from the same general themes that propelled it forward in
1999.
Mortgage securities outpaced many other bond categories for two primary reasons:
1.) Mortgage securities had lower overall duration early in the year.
2.) They rode out the phenomenal wave of spread tightening (difference between
the interest rate earned on a mortgage security verses a Treasury security) that
washed across the entire market later in the year.
In the end, mortgages proved to be the stand out asset class in what was
otherwise a very difficult market for fixed income investors. There was really
not a place to hide (other than cash) as rising rates ate into, and in some
cases, ate through the income earned by investors. Relative to mortgages, the
Treasury and corporate scorecards came in at -2.56 percent and -1.96 percent,
respectively.
Coming into the year, we too were mildly optimistic about the potential for
further capital appreciation. Looking for moderate price gains from slightly
lower rates, but more meaningful performance from spread tightening. By the end
of the first quarter, the opportunity for lower rates was fading. With
uncertainty running high and the economy maintaining a full head of steam, we
set out to park our duration right next to our index. Our efforts increasingly
focused on spread tightening themes to drive values higher. Our sector and
security focus would build on the same general economic themes that were pushing
rates higher. Three primary themes that emerged for our core plus strategy were:
1.) Providing liquidity to liquidity-starved markets.
2.) Seeking non-index sectors and securities that had strong credit
fundamentals, but were undervalued.
3.) Overweighting seasoned and less prepayment sensitive mortgage securities.
Indeed, by mid year, the Federal Reserve was engaged in a campaign to tighten
monetary policy and tame the consumer's insatiable appetite for goods and
services. With consumers united in the battle cry of "buy the dip" and "shop
till you drop", equity prices pushed higher and retail sales soared. With the
labor markets grinding tighter, interest rates continued to march even higher.
Concerns over fast prepayments were washed from the market and the race to
purchase mortgage products began to drive spreads tighter.
For 1999, some of the best performing securities were those securities that
entered the year liquidity challenged and trading at historically wide spreads.
Some of these securities included:
1.) Higher coupon, shorter maturity agency mortgages,
2.) Investment grade non-agency residential and commercial mortgages,
3.) Collateralized mortgage obligations with limited extension risk (caused by
lower prepayments).
While the path was not always straight, yield spreads did ultimately tighten
more in these sectors and provided incremental returns to the portfolio.
OUTLOOK
Reining in the galloping economy with higher rates, we feel, appears to be the
number one priority of both the bond market and the Federal Reserve. Until the
market gets a sense that the Fed is nearing the end of its tightening cycle,
it's hard to see the market rallying. In fact, we expect that rates may trend
higher, at least until signs of economic moderation begin to emerge which would
calm investors nerves. We do not know when rates will begin to move lower, but
all the fundamentals give us faith that they will. Don't try to time this event.
Looking at the mortgage market, it's easy to say that the market is not as
undervalued today as it was at the beginning of the year. Relative to other
fixed income asset classes, we feel that mortgages still offer a lot of value
for the following reasons:
1.) Gross income rates on many mortgage securities are just shy of 8.0%.
2.) Demand for higher yielding, higher quality assets remains significant.
3.) Supply continues to decline.
4.) Prepayment issues will be MUCH ADO ABOUT NOTHING going forward.
5.) Credit fundamentals remain bright, especially among seasoned assets that
have seen nice appreciation.
We are optimistic and believe that fixed income investors can look forward to a
brighter future in the bond market.
12
<PAGE>
HIGH QUALITY ASSETS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
AAA Rated 43.8%
AA Rated 19.6%
A Rated 15.2%
BBB Rated 14.6%
BB Rated 3.6%
Preferred Stock 1.2%
Cash and Other Assets/Liabilities 2.0%
</TABLE>
SOLID LIQUIDITY
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Public Issues 48.0%
Private Placements 1.9%
Private 144A Issue 44.2%
Other Illiquid Securities 2.7%
Preferred Stock 1.2%
Cash and Other Assets/Liabilities 2.0%
</TABLE>
PRUDENT SECTOR DIVERSIFICATION
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
FHLMC MBS 1.0%
FNMA MBS 8.9%
GNMA MBS 5.1%
Vendee MBS 2.1%
Asset-Backed Securities 1.5%
MRBs 5.1%
Whole Loan MBS 52.9%
Commercial MBS 19.6%
Corporate/Agency Bonds .6%
Preferred Stock 1.2%
Cash and Other Assets/Liabilities 2.0%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN MORTGAGE SECURITIES PORTFOLIO, LEHMAN
BROTHERS MORTGAGE-BACKED SECURITIES INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MORTGAGE LEHMAN BROTHERS CPI
SECURITIES MORTGAGE-
PORTFOLIO BACKED SECURITIES INDEX
<S> <C> <C> <C>
12/31/1989 $10,000 $10,000 $10,000
12/31/1990 $10,943 $11,073 $10,618
12/31/1991 $12,723 $12,813 $10,934
12/31/1992 $13,533 $13,704 $11,259
12/31/1993 $14,785 $14,616 $11,568
12/31/1994 $14,286 $14,380 $11,892
12/31/1995 $16,859 $16,795 $12,193
12/31/1996 $17,745 $17,670 $12,596
12/31/1997 $19,367 $19,347 $12,819
12/31/1998 $20,640 $20,693 $13,025
12/31/1999 $21,050 $21,075 $13,365
AVERAGE ANNUAL TOTAL RETURN:
One year 1.99%
Five year 8.06%
Ten year 7.73%
</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 December 31, 1989 through December 31,
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-rate securities backed by mortgage pools of
the Government National Mortgage Association (GNMA), Federal Home Loan Mortgage
Corporation (FHLMC) and Federal National Mortgage Association (FNMA).
+Average return of 8 mortgage-backed securities funds according to Lipper
Analytical Services. The investors of these 8 funds are separate accounts
funding variable life and variable annuity products.
13
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
JAMES SEIFERT
PORTFOLIO MANAGER
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
For the year ended December 31, 1999, the Index 500 Portfolio generated a total
return of 20.28 percent.* This compares to the S&P 500 Index,** which earned
21.01 percent for the same period.
PERFORMANCE ANALYSIS
The S&P 500 Index** finished the year up 21.01 percent despite increasing
interest rates, continuing fears of future interest rate hikes, unknown Y2K
issues and improving health in economies abroad. The S&P 500's** five-year
performance of 143 percent is the best since 1926. The Technology sector was the
story for 1999. With an index weight of 25.32 percent, the largest in the
Portfolio and almost double the weight from December 1998, Technology provided
over two-thirds of the Portfolio's 1999 return.
Large-cap stocks continued to dominate in 1999. The largest 100 securities
within the Portfolio generated the majority of the 1999 total return. The
Technology sector contributed 14 percent* to the Portfolio's year-to-date
return, followed by Capital Goods with 2 percent.* Microsoft, Cisco, General
Electric, Wal-Mart and Oracle led the large-cap charge. With an index weight of
10 percent and a cap-weighted return of -6 percent, Consumer Staples contributed
the largest drag on performance with -.8 percent* return. The Health Care sector
followed with a -.8 percent* return in 1999. Philip Morris, Pfizer, Compaq
Computers and First Union Corporation led the negative contributors to the
Index** for 1999.
OUTLOOK
We believe that the Federal Reserve will likely adopt a "tightening" posture
through the first half of 2000 to reign in the economic growth rate. We expect
that fundamentals for the stock market (i.e., earnings growth, moderate
inflation, and good productivity numbers) will remain very strong. Over the
short term, we feel that the market must cope with the negative impacts of
climbing interest rates that could cause more volatility in a sustained bull
market.
In response to a technological revolution, spending to retrofit U.S. industry is
pushing economic growth and productivity. Market euphoria will likely spill
over, and corrections may occur in the economy and the marketplace. However,
this "new economy" is creating excitement and opportunity for long-term
investors.
14
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------- -------- ------------- ----------
<S> <C> <C> <C>
Microsoft Corporation....................... 274,525 $ 32,050,794 4.9%
General Electric Company.................... 173,350 26,825,912 4.1%
Cisco Systems, Inc. ........................ 172,825 18,513,878 2.8%
Wal-Mart Stores, Inc. ...................... 235,100 16,251,287 2.5%
Exxon Corporation........................... 182,454 14,698,950 2.3%
Intel Corporation........................... 177,725 14,628,989 2.3%
Lucent Technologies, Inc. .................. 165,535 12,384,087 1.9%
International Business Machines............. 95,250 10,287,000 1.6%
Citigroup, Inc. ............................ 178,146 9,898,237 1.5%
America Online, Inc. ....................... 118,100 8,909,169 1.4%
------------ ----
$164,448,303 25.3%
============ ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 0.4%
Depository Receipt 0.7%
Transportation 0.7%
Utilities 2.2%
Basic Materials 3.4%
Energy 5.4%
Capital Goods 8.1%
Communication Services 8.8%
Health Care 8.9%
Consumer Cyclical 9.6%
Consumer Staples 10.8%
Financial 13.1%
Technology 27.9%
</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>
INDEX 500 PORTFOLIO S & P 500 INDEX CPI
<S> <C> <C> <C>
12/31/1989 $10,000 $10,000 $10,000
12/31/1990 $9,608 $9,686 $10,618
12/31/1991 $12,466 $12,635 $10,934
12/31/1992 $13,386 $13,598 $11,259
12/31/1993 $14,693 $14,970 $11,568
12/31/1994 $14,866 $15,157 $11,892
12/31/1995 $20,341 $20,828 $12,193
12/31/1996 $24,744 $24,768 $12,596
12/31/1997 $32,752 $33,029 $12,819
12/31/1998 $41,916 $42,468 $13,025
12/31/1999 $50,419 $51,391 $13,365
AVERAGE ANNUAL TOTAL RETURN:
One year 20.28%
Five year 27.67%
Ten year 17.56%
</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 December 31, 1989 through December 31,
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 seperate 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.
+"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.
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
For the year ended December 31, 1999, the Capital Appreciation Portfolio
returned 21.51 percent.* This compares with the S&P 500 Index,** which returned
21.01 percent, and the Russell 1000 Growth Index,+ which returned 33.14 percent
for the same period.
PERFORMANCE ANALYSIS
It happened again. For a record fifth consecutive year, the U.S. equity market
in 1999 gained over 20 percent. Although returns in 1999, ranging from 21
percent for the S&P 500 Index** to a record smashing 86 percent for the NASDAQ,
were more than pleasing--and better than anyone expected a year ago--the gains
were very narrowly distributed. Again, as in 1998, more stocks declined for all
of 1999 than advanced. Excluding technology and telecommunication companies, the
S&P 500 Index** was flat for the year. According to one market analyst, stocks
with no earnings gained on average more than 50 percent, while those with
earnings were down an average of 20 percent. On the New York Stock Exchange, 36
percent of all common stocks declined 20 percent or more for the year.
The Internet is a transforming event that is changing the world, a new era of
technological innovation. The success to date and tremendous potential can be
explained by conventional economics. The technology-based sector of the economy
keeps producing products that are cheaper, while performance gets better. As
prices drop, demand rises. Increased volume helps spread overhead and reduce
costs further. Through relentless innovation and brutal competition, technology
and all of its manifestations is accelerating its growth with good profits for
the leaders. These companies are increasing their return-on-equity and share of
profits in the world economy. As technology based "stuff" gets cheaper, it puts
pressure on the prices of other goods and services. This critical factor may be
the primary cause of the narrowness in 1999 equity market returns.
The strongest performing sector in the equity market for 1999 was Technology. It
comes as no surprise that a majority of the return in the Portfolio was also
realized in technology companies. The best performing stocks in the Portfolio
included long-time holdings Cisco Systems, Oracle Corporation, JDS Uniphase and
Veritas Software. In addition, our strong stock selection in Consumer Service
companies added value (relative to the Russell 1000 Growth Index+) with
companies like Wal-Mart, Home Depot and CBS Corporation leading the way. The
fear of reduced government payments for hospital services continued to overhang
the entire Healthcare sector. For the quarter and year ended December 31, 1999,
Healthcare Services performed poorly and detracted from the Portfolio's absolute
return. Our slight overweight in Financial Service companies also negatively
impacted results.
OUTLOOK
Many of the risks that presented themselves in the first few months of
1999--Brazil and Latin American potential economic chaos, Asian/Japanese
economic weakness, U.S. trade deficit and Year 2000 computer uncertainties--seem
to be behind us. This has led to a rebound in most global economies and greater
visibility in European and Asian economic recoveries. On this basis, we expect
Gross Domestic Product growth to persist, inflation to remain moderate and
long-term interest rates to be relatively stable in 2000. The strongest
component of economic growth, we feel, will likely come from the global demand
for technology. As the world's appetite accelerates for Internet infrastructure,
telecommunications bandwidth and wireless technologies, we see continued
strength in the technology sector of the equity market.
The Portfolio owns companies that are well positioned to deliver potential
strong earnings growth regardless of the general economic outlook. The
investment process is based on "bottom up" fundamental analysis of "best"
businesses. This process has led us to identify opportunities in Technology,
Telecommunications and Consumer Services heading into 2000.
16
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------- -------- ------------- ----------
<S> <C> <C> <C>
EMC Corporation............................. 196,400 $ 21,456,700 4.7%
Microsoft Corporation....................... 177,700 20,746,475 4.6%
Cisco Systems, Inc. ........................ 190,950 20,455,519 4.5%
Home Depot, Inc. ........................... 247,647 16,979,297 3.7%
America Online, Inc. ....................... 206,800 15,600,475 3.4%
Nokia Oyj................................... 82,100 15,599,000 3.4%
CBS Corporation............................. 220,200 14,079,037 3.1%
AES Corporation............................. 178,500 13,342,875 2.9%
Solectron Corporation....................... 126,850 12,066,606 2.7%
General Electric Company.................... 77,600 12,008,600 2.7%
------------ ----
$162,334,584 35.7%
============ ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 0.7%
Transportation 2.0%
Health Care 2.2%
Utilities 4.9%
Financial 6.4%
Communication Services 6.8%
Consumer Cyclical 8.1%
Capital Goods 8.3%
Consumer Staples 9.7%
Technology 50.9%
</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 21.51%
Five year 24.11%
Ten year 17.11%
Capital Appreciation Russell 1000
Portfolio Growth Index CPI
12/31/1989 $10,000 $10,000 $10,000
12/31/1990 $9,795 $9,974 $10,618
12/31/1991 $13,888 $14,079 $10,934
12/31/1992 $14,589 $14,784 $11,259
12/31/1993 $16,112 $15,210 $11,568
12/31/1994 $16,474 $16,486 $11,892
12/31/1995 $20,226 $22,618 $12,193
12/31/1996 $23,789 $27,848 $12,596
12/31/1997 $30,512 $36,335 $12,819
12/31/1998 $39,919 $50,401 $13,025
12/31/1999 $48,505 $67,102 $13,365
</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 December 31, 1989 through December 31, 1999.
*Historical performance is not an indication of future performance. Investment
returns on principal value will fluctuate so that shares upon redemption may be
worth more or less than their original cost. Peformance figures of the Fund do
not reflect charges pursuant to the terms of the variable life insurance
policies and variable annuity contracts funded by seperate 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.
+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.
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
For investors, 1999 was a year of mixed emotions. It was a time of growing Y2K
nervousness and a level of market euphoria and individual investor
participation, which drove overall market valuations to levels never achieved in
market history. Traditional company analysis and standard market practices were
generally ignored, as momentum investing remained supreme. Loss making
corporations dominated the news, capturing investor attention and the highest
valuations.
Within this environment, for the year ending December 31, 1999, the
International Stock Portfolio generated a return of 21.43 percent.* This
compares to the Morgan Stanley Capital EAFE Index,** which returned 27.30
percent during the same period.
PERFORMANCE ANALYSIS
By region, we continue to remain underweighted in Japan. This detracted from the
performance as the MSCI Japan Index+ in US$ returned 62 percent on the year, as
investors became more optimistic about the economic outlook and reacted to
corporate restructuring announcements. While we are finding bargains in Japan,
in general, valuations remain high relative to the earnings growth rates.
Furthermore, the restructuring, which is occurring, will be a long drawn out
process. At year-end, the Portfolio maintained a 9.8 percent weighting in Japan,
with Sony and Nomura Securities representing our largest Japanese positions.
In Europe, investors have seen a dramatic change in management attitudes, with
"shareholder value" the new mantra, and mergers, spin-offs and restructuring
announcements coming at a furious pace. We are somewhat underweighted in Europe,
but are heavily invested in the more "cyclical" areas, which are enjoying the
returns from both restructuring activity and the renewal of global economic
growth. Our stock selection in the UK detracted from performance. The stocks are
lagging due to fears of increased competition, as well a lackluster economic
situation in the UK.
Finally, from an industry perspective, our exposure to telecommunications
contributed to the performance of the Portfolio with five of the ten largest
contributors to return coming from this sector, holdings in Telefonica, Telmex,
Cable & Wireless and British Telecom all returned well over 50 percent* on the
year.
OUTLOOK
We are encouraged going forward with the potential for value to outpace growth.
Investor infatuation with growth has resulted in one of the worst periods of
underperformance for value style managers. We feel that several issues may help
reverse this trend. First, the difference in valuations between growth and value
is at an extreme. The growing number of merger and acquisitions (M&A) that are
likely to occur in Europe and Asia may also influence value. M&A activity helps
to solidify valuations of firms by those entities that know the firm's value
best, the competition. Increased volatility in markets will also encourage
investors to protect their investments. This is traditionally achieved by owning
companies with good assets and solid earnings prospects rather than by owning
companies that have gone up in price due to momentum.
We maintain our fundamentally driven investment style and look forward to the
opportunities ahead.
18
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------- --------- ------------ ----------
<S> <C> <C> <C>
Sony Corporation........................... 40,000 $11,857,940 3.5%
Aventis.................................... 163,210 9,483,138 2.8%
The Nomura Securities Company, Ltd. ....... 463,200 8,361,256 2.4%
Philips Electronics........................ 52,440 7,128,956 2.1%
NTT........................................ 375 6,420,605 1.9%
Merita Bank A.............................. 1,085,000 6,391,681 1.9%
Pioneer International, Ltd. ............... 2,024,901 6,099,820 1.8%
Telefonos de Mexico ADR.................... 53,610 6,031,125 1.7%
Invensys PLC............................... 1,083,213 5,904,930 1.7%
AXA........................................ 42,227 5,885,126 1.7%
----------- ----
$73,564,577 21.5%
=========== ====
</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 21.43%
Five year 14.67%
Since inception (May 1, 1992) 13.58%
International Stock Morgan Stanley
Portfolio Capital EAFE CPI
5/01/92 $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
12/31/99 $26,552 $21,747 $12,083
</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 December 31, 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.
+The Morgan Stanley Capital Japan Index is comprised of 296 Japanese companies
in sectors ranging from Energy to Services to Financial. The Index essentially
tries to capture how the country itself is doing and could be used as a
benchmark against a pure Japanese fund.
19
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
RICH WORTHING
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 market
capitalization that is
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 an impressive 45.63 percent* for the
year ended December 31, 1999, outperforming its benchmark, the Russell 2000
Growth Index,** which returned 43.10 percent for the same period.
PERFORMANCE ANALYSIS
With a magnificent rally, small growth companies finished off the last quarter
of 1999 in grand style. Our focus on finding companies with substantial and
sustainable growth, strong business models and outstanding management brought
opportunities in a variety of industries. While technology was the undisputed
leader throughout the year, numerous companies in industries as diverse as auto
auctions or freight forwarding positively impacted the Portfolio.
One such company, Copart Inc., provides salvage vehicle services primarily to
insurance companies through a nationwide network of auction sites. Over the past
year, Copart developed from a small, regional operator into a market leader with
a national presence by developing strategically placed sites or acquiring
smaller competitors. The return on this investment has been more than 400
percent* to date. While we have taken profits along the way, we continue to hold
Copart as growth opportunities remain.
Technology provided the leadership in the Portfolio and the market. When
selecting securities for the Portfolio, we focus on companies with unique
products or services that are establishing leading positions in fast-growing
markets. An example is Cree, Inc., a world leader in the development,
manufacturing and marketing of electronic devices made from silicon carbide.
Cell phone manufacturers and auto companies have developed products around
Cree's technology. Another company that performed extremely well throughout the
year was JDS Uniphase. This company manufacturers optical components for use in
fiber-optic telecommunications networking. The demand for optical networking
gear has grown in direct proportion to the growth in the Internet as
unprecedented numbers of people use the Internet for shopping, browsing and
researching.
As a sector, our holdings in the wireless communications area excelled in 1999.
Both the service providers and the equipment manufacturers generated outstanding
performance results. The service providers are enjoying increased subscriber
growth due to better value pricing for their services. Consolidation of some of
the smaller wireless providers began in the second quarter; companies such as
Powertel, Aerial, Omnipoint and Voicestream saw their stocks triple and
quadruple during the year. In the wireless equipment area, Alpha Industries and
Anadigics were both stellar performers in 1999 as their sales to major handset
manufacturers (Motorola, Erickson, Nokia) were exceedingly strong.
In the fourth quarter, software stocks led Portfolio performance. After having
little exposure to software stocks in the first half of 1999, we established
investments in these companies late in the third quarter. Through our research,
it became apparent that spending for software and services would increase in the
New Year. Our holdings in IntraNet Solutions, Manugistics, Harbinger, Preview
Travel, HNC Software, Vialink and InterVu were all up more than 100 percent* in
the fourth quarter (with three of these stocks up more than 200 percent*). A
common thread among our software holdings is that they help customers create
more efficient business models. Four of the companies--IntraNet Solutions,
Harbinger, Preview Travel and InterVu--build portals to help companies reach
their customers in more efficient ways. Others companies, such as Manugistics,
Vialink and HNC Software, help customers more efficiently manage their vendors.
In addition to investing in some exciting small cap growth companies over the
last quarter, we also avoided a few sectors that were significant laggards to
Index returns. In particular, our minimal investments in the basic industry and
financial services sectors enhanced relative performance. Both areas were
negatively impacted by anticipation of economic sluggishness and the rising
interest rate environment. As early cycle plays, these sectors typically perform
best when the market is emerging from an economic slowdown.
Despite many successes, some of our holdings did not meet our expectations and
were a drag on performance for the year. Sunrise Assisted Living, a leading
provider of assisted living services to the elderly, was sold from the Portfolio
in the fourth quarter. The company was unable to integrate recent acquisitions
effectively, which hurt fourth quarter earnings and will likely impact several
quarters into the future. Acxiom Corporation, a global information management
solutions company, suffered pricing pressures in recent contracts for it
products. This cast a shadow over near-term profit potential and the longer-term
outlook for this holding. We liquidated our position in Acxiom and redeployed
the assets elsewhere.
OUTLOOK
After years of investor focus on only the largest companies, the upswing in
performance for smaller growth companies in the second half of the last year is
very encouraging. We feel that it is likely that expectations of further Federal
Reserve tightening--accompanied by the extreme valuations of technology
companies--will create uneasiness early in 2000. Later in the year, however, we
believe that the market will again focus on companies with the fastest growth
potential in the leading sectors of our economy.
We remain bullish as the building blocks of profit growth, inflation, and
liquidity remain on solid footing. Profit growth is intact with global economies
getting stronger. Inflation is unlikely in view of deregulation, excess capacity
and the deflationary impact of the internet. Lastly, we're seeing ample
liquidity in the market place. We expect that these factors will create a
favorable climate for small growth companies with substantial, long-term growth
opportunities; these are the companies in the Small Company Growth Portfolio.
20
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------- -------- ------------ ----------
<S> <C> <C> <C>
TV Guide, Inc. .............................. 241,020 $10,363,860 3.9%
Copart, Inc. ................................ 208,260 9,059,310 3.4%
Orbotech Ltd. ............................... 107,365 8,320,788 3.2%
Cree Research, Inc. ......................... 74,390 6,351,046 2.4%
Manugistics Group, Inc. ..................... 192,200 6,210,463 2.4%
E-Tek Dynamics, Inc. ........................ 45,940 6,184,673 2.4%
IntraNet Solutions, Inc. .................... 158,760 5,874,120 2.2%
ANADIGICS, Inc. ............................. 123,310 5,818,691 2.2%
Cymer, Inc. ................................. 118,670 5,458,820 2.1%
Eagle USA Airfreight, Inc. .................. 123,540 5,327,663 2.0%
----------- ----
$68,969,434 26.2%
=========== ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 2.6%
Basic Materials .6%
Communication Services 1.1%
Energy 3.5%
Capital Goods 3.8%
Transportation 3.9%
Consumer Staples 4.9%
Health Care 11.2%
Consumer Cyclical 15.0%
Technology 53.4%
</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 45.63%
Five year 17.44%
Since inception (May 3, 1993) 16.59%
Small Company Russell 2000
Growth Portfolio CPI Growth Index
5/03/93 $10,000 $10,000 $10,000
12/31/1993 $11,733 $10,132 $12,234
12/31/1994 $12,456 $10,416 $11,938
12/31/1995 $16,449 $10,680 $15,641
12/31/1996 $17,509 $11,033 $17,401
12/31/1997 $18,867 $11,227 $19,654
12/31/1998 $19,106 $11,408 $19,898
12/31/1999 $27,824 $11,706 $28,474
</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 December 31, 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 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.
21
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
KENT WEBER, CFA
PORTFOLIO MANAGER
The Maturing Government
Bond 2002, 2006 and 2010
Portfolios seek as high an
investment return as is
consistent with prudent
investment risk. The
Portfolios invest
primarily in U.S.
Government and Agencies
zero coupon fixed income
securities with 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 year ended December 31, 1999, the Maturing Government Bond Portfolios
generated the following returns:
<TABLE>
<S> <C>
Maturing Government Bond 2002 Portfolio................. -.48 percent*
Maturing Government Bond 2006 Portfolio................. -7.81 percent*
Maturing Government Bond 2010 Portfolio................. -11.54 percent*
</TABLE>
For the year ended December 31, 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**.................. -.28 percent
Ryan Lab's Inc. September 2006 Index**.................. -7.45 percent
Ryan Lab's Inc. September 2010 Index**.................. -11.35 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 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..................... 3.10 years
Maturing Government Bond 2006 Portfolio..................... 6.50 years
Maturing Government Bond 2010 Portfolio..................... 10.40 years
</TABLE>
22
<PAGE>
MATURING GOVERNMENT BOND 2002 PORTFOLIO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
FHLMC Strip 9.0%
U.S. Treasury Strip 39.1%
FICO Strip 21.8%
Israel GTC 6.3%
TVA Strip 9.1%
FNMA Strip 13.9%
Cash and Other Assets/Liabilities .8%
</TABLE>
MATURING GOVERNMENT BOND 2006 PORTFOLIO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury Strip 44.0%
FICO Strip 15.2%
Israel GTC 5.9%
Israel State Aid Strip 10.0%
RFC Strip 9.6%
FNMA Strip 14.8%
Cash and Other Assets/Liabilities 0.5%
</TABLE>
MATURING GOVERNMENT BOND 2010 PORTFOLIO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury Strip 41.1%
FICO Strip 11.9%
Turkey GTC 4.9%
Israel State Aid 15.0%
Israel GTC 1.3%
RFC Strip 5.1%
FNMA Strip 20.5%
Cash and Other Assets/Liabilities 0.2%
</TABLE>
*Historical performance is not an indication of future performance. Investment
returns on principal values will fluctuate so that shares upon redemption may be
worth more or less than their original cost. Performance figures of the Fund do
not reflect charges pursuant to the terms of the variable life insurance
policies and variable annuity contracts funded by separate accounts that invest
in the Fund's shares. When such charges are deducted, actual investment
performance in a variable policy or contract will be lower.
**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>
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 -0.48%
Five Year 8.52%
Since inception (May 2, 1994) 7.53%
Maturing Government
Bond 2002 Ryan Labs CPI
5/02/94 $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
12/31/99 $15,095 $15,287 $11,451
</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 December 31, 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 -7.81%
Five year 9.58%
Since inception (May 2,1994) 8.43%
Maturing Government Bond 2006 Ryan Labs CPI
5/02/94 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
12/31/99 15,825 16,087 11,451
</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 December 31, 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 -11.54%
Five year 10.20%
Since inception (May 2, 1994) 8.89%
Maturing Government Bond 2010 Ryan Labs CPI
5/02/94 $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
12/31/99 $16,204 $16,687 $11,451
</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 December 31, 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]
MATTHEW NORRIS, 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
The Value Stock Portfolio generated a total return of .27 percent* for the year
ended December 31, 1999. In comparison, the Russell 1000 Value Index** returned
7.34 percent for the same period.
PERFORMANCE ANALYSIS
The most significant event affecting financial markets over the reporting period
was the rise in interest rates. The U.S. Government 30-year Treasury Bond (the
long bond) hit a low yield of 4.72 percent on October 5, 1998 and proceeded to
rise steadily from that time. The long bond hit a peak of 6.28 percent on
August 12, 1999 and has mostly stayed above 6.0 percent since then. The long
bond ended 1999 at 6.48 percent. Interest rates affect many areas of the
economy, including consumer spending and corporate borrowing.
The Asian economies, which had experienced a dramatic slowdown last fall, began
to show signs of life. This provided demand for many basic materials such as
paper or steel. As the demand drove prices for these commodities higher, the
Federal Reserve Board became worried about inflation, and instituted a series of
interest rate hikes. This upward move in interest rates and the market's concern
over the future direction of rates continued to impact most sectors of the
Portfolio.
For the 12 months ending December 31, 1999, the best performing sectors in the
Russell 1000 Value Index** were Technology and Other Energy, a collection of
non-traditional energy companies. The worst performing market sectors were
Consumer Staples and Health Care.
The rise in crude oil prices during this reporting period benefited integrated
oil companies. Higher oil prices translate to higher earnings for major oil
companies, so selected energy companies also did well. The rise in oil and gas
prices helped the energy sector, as did the wave of deregulation that is
sweeping the energy business. Moving away from government rate of return
regulation to open markets has converted some sleepy, slow growth utilities into
high growth dynamic companies.
The Portfolio obtained relative outperformance from the Integrated Oil and the
Other Energy sectors. For both of these sectors, outperformance was obtained
from superior stock selection rather than over or underweighting our exposure to
the group. Much of the Portfolio's underperformance came from the Consumer
Discretionary and Technology sectors.
Over the course of the year, substantial changes were made to the Portfolio. The
Portfolio has placed a greater emphasis on larger companies, which is in line
with our stated investment objective. We believe that these changes position the
Portfolio well for a period of economic and interest rate uncertainty. The
benefits of these changes were seen in much improved performance during the
latter half of 1999.
OUTLOOK
We expect that the market will continue to take its lead from the economy and
the future direction of interest rates. The Portfolio will, no doubt, experience
further changes in the future, although less dramatic than those described
above. In our value stock selection process, we look for companies that we
believe have experienced a temporary decline in their stock price. The recent
market decline has greatly expanded the list of possible additions to the
Portfolio, and we are always watchful for good investment opportunities. We
continually research each prospective company and judge whether its prospects
are superior to one of our existing holdings.
While it is not possible to predict the direction of the stock market, we
caution against an automatic belief in continuation of current trends. Some
sectors of the market have returned greater than 20 percent per year since 1995.
Just about the time investors come to expect that sort of return is usually the
time when things return to normalcy. We foresee neither a boom nor bust market
for the year 2000, but simply a year of average returns.
26
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------- -------- ------------ ----------
<S> <C> <C> <C>
Exxon Corporation............................ 162,952 $13,127,820 7.1%
Citigroup, Inc. ............................. 170,430 9,469,517 5.1%
MediaOne, Inc. .............................. 109,250 8,391,766 4.5%
GTE Corporation.............................. 118,670 8,373,652 4.5%
SBC Communications, Inc. .................... 166,410 8,112,487 4.4%
American International Group................. 59,200 6,401,000 3.4%
Federal National Mortgage Association........ 81,810 5,108,012 2.7%
Sprint Corporation........................... 73,100 4,920,544 2.6%
H & R Block, Inc. ........................... 97,495 4,265,406 2.3%
Bellsouth Corporation........................ 90,850 4,252,916 2.3%
----------- ----
$72,423,120 38.9%
=========== ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 2.6%
Health Care 2.1%
Capital Goods 3.3%
Utilities 3.7%
Technology 4.1%
Basic Materials 6.1%
Consumer Cyclical 9.4%
Energy 10.3%
Consumer Staples 10.9%
Communication Services 16.4%
Financial 31.1%
</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>
One year 0.27%
Five year 16.57%
Since inception (May 2, 1994) 15.39%
Russell 1000
Value Stock Portfolio CPI Value Index
5/04/94 $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
12/31/99 $22,513 $11,452 $28,826
</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
December 31, 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]
RICH WORTHING
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 year ended December 31, 1999, the Small Company Value Portfolio returned
- -3.07 percent.* The Russell 2000 Value Index** returned -1.50 percent for the
same period.
PERFORMANCE ANALYSIS
Contrary to strong performance from the market in general, small cap value
stocks had a frustrating year. Small cap value stocks remained out of favor as
investors took comfort in the market dominance and liquidity of growth-oriented
companies. Most sectors of the Russell 2000 Value Index** continued to show
negative returns for the reporting period. Throughout the year, the domestic
market's performance has been dominated by the very largest capitalized stocks
and by the Technology sector, neither of which is part of the small cap value
universe. Many good companies that are effectively executing their business
plans were ignored by the market simply because they are small or not a
technology company. We feel strongly that this market anomaly will not last
forever and that small cap value stocks should continue to be a part of a
well-diversified portfolio.
There were only three sectors in the Russell 2000 Value Index** (Technology,
Energy, and Healthcare) that showed positive returns for 1999, and the Portfolio
also showed positive returns in these sectors. We received good relative
performance in the Technology Sector with good stock selection (91 percent*
return in the Portfolio versus 75 percent return in the benchmark index) and
because we were overweighted relative to the benchmark for the whole year. We
also continue to receive good relative performance from our REIT holdings. We
performed poorly in the Consumer Cyclical area because of our holdings in Auto
Parts Manufacturing and Retail.
We had some standout performances in the Portfolio. Contract manufacturers DII
Group (up 179 percent*) and Smart Modular (up 60 percent*) both ran their
business well and were both acquired by larger companies in the same business.
We also had significant positions in semiconductor component manufacturers
Vishay Intertechnology (up 186 percent*) and International Rectifier (up 121
percent*). Zales Corp, the jewelry retailer, continues to perform well (up 48
percent*).
OUTLOOK
We believe that the gap in valuation between small and large cap stocks cannot
last forever. We feel that eventually the market will recognize the value being
offered by small cap value stocks. We continue to advise that a diversified
portfolio--with a representation in small cap value stocks--will benefit
investors over the long haul.
28
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------- -------- ----------- ----------
<S> <C> <C> <C>
Avis Rent A Car................................ 10,000 $ 255,625 2.2%
Vishay Intertechnology, Inc. .................. 7,675 242,722 2.1%
Pacific Gulf Properties, Inc. ................. 11,850 239,963 2.1%
GaSonics International Corporation............. 10,800 213,300 1.9%
Precision Drilling Corporation................. 8,300 213,206 1.9%
Minnesota Power, Inc. ......................... 12,400 210,025 1.8%
International Rectifier Corporation............ 7,850 204,100 1.8%
Equitable Resources, Inc. ..................... 5,900 196,913 1.7%
Hudson United Bancorp, Inc. ................... 6,989 178,656 1.6%
Robert Mondavi Corporation..................... 5,100 177,225 1.5%
---------- ----
$2,131,735 18.6%
========== ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 8.4%
Health Care .5%
Transportation 4.0%
Basic Materials 5.7%
Consumer Staples 5.9%
Energy 6.6%
Utilities 7.8%
Consumer Cyclical 10.0%
Technology 10.3%
Capital Goods 13.5%
Financial 27.3%
</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 -3.07%
Since inception (October 1, 1997) -3.42%
Small Company Value Russell
Portfolio 2000 Value Index CPI
10/01/97 $10,000 $10,000 $10,000
12/31/97 $10,229 $10,168 $10,019
12/31/98 $9,539 $9,513 $10,179
12/31/99 $9,246 $9,371 $10,446
</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 December 31, 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>
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. Julius Baer
Investment Management
Inc., the Portfolio's
investment sub-adviser,
determines the Portfolio's
allocation between foreign
and domestic securities
and selects and manages
the Portfolio's foreign
investments. Advantus
Capital selects and
manages the Portfolio's
domestic investments.
GLOBAL BOND PORTFOLIO
PERFORMANCE
The Global Bond Portfolio posted a total return of -7.81 percent* for the year
ended December 31, 1999. This compares to the Salomon Brothers World Government
Bond Index** return of -4.27 percent for the same period.
PERFORMANCE ANALYSIS
Unlike 1998, interest rate increases were the theme for 1999. Several central
banks increased rates during the year, led by the Fed with three increases
totaling 0.75 percent. This occurred primarily due to continued economic
expansion in many regions and the fear of rising inflation as a result.
Because of this, yields across the board increased, producing negative bond
market returns in Europe and the US. Investors were driven by both proclamation
and action undertaken by the Central Banks, and maintained a steady stream of
selling fixed income securities throughout the year.
The Japanese bond market returned 4.83 percent in local currency terms, and the
strong yen pushed this up to 15.53 percent in US dollar terms. The Portfolio
maintained an underweight position in this market, which was detrimental to
performance for the year.
On the positive side, strategic allocations to emerging markets and European
credit issues helped boost performance as both areas showed positive results. An
emphasis on the smaller European markets and dollar bloc markets also helped
performance for the year.
The steady climb in U.S. interest rates throughout the year sent bond prices
lower. The bond market suffered its worst performance year since 1994 and the
second worst since 1973. At year-end, the 2, 5, and 10-year yields on U.S.
Treasury Notes rose 170 basis points to yield north of six percent. The 30-year
U.S. Treasury Bond yield rose 139 basis points to yield 6.48 percent.
Within the U.S. fixed income market, Treasury securities were the biggest losers
on a total return basis. They returned a -2.56 percent for the year. All the
other sectors, broadly defined as the spread sectors, outperformed U.S.
Treasuries. Mortgage-backed securities were the best performing group posting a
+1.86 percent return. Asset-backed securities returned +1.81 percent. Corporate
bonds outperformed Treasuries by 60 basis points but its return was a -1.96
percent for the year, while U.S. agency securities returned a -0.94 percent.
The U.S. fixed income performance was negatively impacted by our decision to
hold too much duration (longer maturity bonds) early in the year as interest
rates rose. Mid-year we shortened our duration to market neutral, which helped
slow the losses. The decision to overweight the spread sectors throughout the
year added to performance, but it was not enough to overcome the longer duration
position in the first half of the year.
OUTLOOK
A lack of Y2K problems has caused an unwinding of some safe-haven buying seen at
the end of 1999. We expect continued strong growth prospects globally and the
likely prospect of further rate hikes from major central banks also continues to
provide a difficult backdrop for major bond markets over the coming months. We
feel that further rises in yields look distinctively possible.
Despite the bearish macro-economic backdrop, we believe bond markets continue to
have some points in their favor. First, despite the acceleration in growth,
inflation remains well behaved, with core inflation actually falling in the US
and UK. Indeed, several markets are becoming attractively priced relative to
current inflation readings.
Second, the markets are priced for a continuation of 1999 central bank hikes
into 2000 and survey evidence shows that investors are also relatively
defensively positioned currently. This would suggest that the scope for a
further aggressive sell-off is limited. We anticipate that Japanese Government
bonds look set to continue range trading for the time being, with the 10-year
bond confined to a 1.50 percent to 2.00 percent band. Ongoing heavy supply and
improving growth prospects, we feel, suggest that the eventual break of the
trading range will be towards higher yields.
The U.S. bond market has been under pressure since the fall of 1998, and we
expect that pressure is likely to continue in the first half of 2000. The U.S.
allocation in the Portfolio will be kept very close to duration neutral or
slightly short duration until there are signs that the U.S. economy is slowing
down. When that time comes, we believe that adding longer maturity bonds will be
prudent. We expect that the overweight to the spread sectors will be lightened
in the first quarter of 2000 to take advantage of the recent spread tightening
and prepare for a potentially wider spread environment in the second half of the
year.
30
<PAGE>
TEN LARGEST BOND HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF BOND
ISSUER VALUE PORTFOLIO
- ------ ------------ ---------
<S> <C> <C>
Japan Government (Japanese Yen)--3.100%, 03/20/06...... $ 1,733,967 5.8%
AB Spintab (Swedish Krona)--5.500%, 09/03/03........... 1,542,743 5.1%
Japan Government (Japanese Yen)--4.400%, 03/21/05...... 1,376,684 4.6%
UK Treasury (British Sterling Pound)--6.750%,
11/26/04............................................. 1,164,704 3.9%
Japan Government (Japanese Yen)--3.400%, 03/22/04...... 1,050,800 3.5%
Deutschland Republic Government (Euro)--6.500%,
07/04/27............................................. 919,659 3.1%
Hellenic Republic Government (Greek Drachma)--6.000%,
02/19/06............................................. 911,076 3.0%
U.S. Treasury Bond (U.S. Dollar)--6.125%, 08/15/29..... 857,502 2.9%
European Bank of Reconstruction and Development (Slovak
Koruna)--15.700%, 05/10/02........................... 839,459 2.8%
Hellenic Republic Government (Greek Drachma)--8.700%,
04/08/05............................................. 837,230 2.8%
----------- ----
$11,233,824 37.5%
=========== ====
</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 -7.81%
Since inception (October 1, 1997) 3.13%
Global Salomon Brothers
Bond Portfolio World Government Bond Index CPI
10/01/97 $10,000 $10,000 $10,000
12/31/97 $10,008 $10,021 $10,019
12/31/98 $11,626 $11,555 $10,179
12/31/99 $10,719 $11,061 $10,446
</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 December 31, 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.
31
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
JAMES SEIFERT
PORTFOLIO MANAGER
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 15.96 percent* for
the year ended December 31, 1999. This compares to the S&P 400 MidCap Index**
return of 14.71 percent for the same period.
PERFORMANCE ANALYSIS
The S&P 400 MidCap Index** finished the year up 14.71 percent despite increasing
interest rates, continuing fears of future interest rate hikes, unknown Y2K
issues and improving health in economies abroad. The Technology sector was the
story for 1999. Over 77 percent of the Index's** return came from the Technology
sector during the last three months of the year.
The Technology and Communication Services were the largest absolute performers
of the Index** for 1999, with returns of 93.37 percent and 83.99 percent,
respectively. The Technology sector, with the largest weight of 27.15 percent,
contributed 16.25 percent to the Index,** while Communication Services added .88
percent. Veritas Software, Qualcomm, Siebel Systems, Maxim and Intuit rounded
out the top five contributors for the year. Financials hurt the Index** the most
this year. The Financial sector ended the year down almost 13 percent and
subtracted 1.31 percent from the Index's** return. Consumer Cyclicals deflected
1.81 percent from the Index's** return, with five companies in the Consumer
Cyclical sector among the worst 15 contributors for the year. Network
Associates, Quintiles, Bergen Brunswig, Federal-Mogul and Saks led the negative
contributors to the Index** in 1999.
OUTLOOK
We anticipate that the Federal Reserve will likely adopt a "tightening" posture
through the first half of 2000 to reign in the economic growth rate. We expect
that fundamentals for the stock market (i.e., earnings growth, moderate
inflation, and good productivity numbers) will remain very strong. Over the
short term, we feel that the market must cope with the negative impacts of
climbing interest rates that could cause more volatility in a sustained bull
market.
In response to a technological revolution, spending to retrofit U.S. industry is
currently pushing economic growth and productivity. Market euphoria will likely
spill over, and in our opinion, corrections may occur in the economy and the
marketplace. However, this "new economy" is creating excitement and opportunity
for long-term investors.
32
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------- -------- ----------- ----------
<S> <C> <C> <C>
VERITAS Software Corporation.................... 6,625 $ 948,203 4.0%
Siebel Systems, Inc. ........................... 4,925 413,700 1.7%
Maxim Integrated Products....................... 7,050 332,672 1.4%
Biogen, Inc. ................................... 3,725 314,763 1.3%
Intuit, Inc. ................................... 5,000 299,688 1.3%
MedImmune, Inc. ................................ 1,725 286,134 1.2%
Linear Technology Corporation................... 3,950 282,672 1.2%
Univision Communications, Inc. ................. 2,600 265,688 1.1%
Altera Corporation.............................. 5,100 252,769 1.1%
Harley-Davidson, Inc. .......................... 3,875 248,242 1.0%
---------- ----
$3,644,531 15.3%
========== ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities .7%
Transportation 1.6%
Depository Receipt 1.8%
Communication Services 2.1%
Energy 4.6%
Basic Materials 4.7%
Capital Goods 5.7%
Utilities 7.9%
Consumer Staples 9.7%
Health Care 10.7%
Financial 11.3%
Consumer Cyclical 13.4%
Technology 25.8%
</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 15.96%
Since inception (October 1, 1997) 14.40%
Index 400 S&P 400
MidCap Portfolio MidCap Index CPI
10/01/97 $10,000 $10,000 $10,000
12/31/97 $10,006 $10,083 $10,019
12/31/98 $11,675 $12,008 $10,179
12/31/99 $13,541 $13,775 $10,446
</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 December 31, 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 adviser 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
For the year ended December 31, 1999, the Macro-Cap Value Portfolio returned
7.17 percent.* The S&P 500 Index** returned 21.01 percent for the same period.
PERFORMANCE ANALYSIS
The Lipper Growth and Income Average+ was up 14.51 percent during the year. Our
investment approach, which selects stocks which are the most undervalued
relative to their LONGER TERM earnings and cash flow prospects, proved less
effective in a market fiercely driven by price momentum.
The confluence of a strong economy, abundant liquidity, and high investor
confidence going into the Year 2000 fueled a stunning year-end rally. Stocks
surged during the final quarter of 1999, leading the major indexes to close out
the millennium at record highs. Still, despite outstanding performance in the
broader market averages, 1999 was a turbulent year with significant dispersion
in returns between sectors and investment styles. Once again growth outperformed
value, large-cap stocks outperformed small-cap stocks, and technology stocks,
despite a difficult first half, delivered spectacular performance for the year.
Internet obsession led the Technology sector of the S&P 500 Index** to jump 78
percent--a stunning achievement, particularly following last year's gain of 78
percent. Technology now accounts for 30 percent of the market capitalization of
the Index.**
By contrast, six of the sixteen sectors we track actually LOST value during
1999: Consumer Staples (-12.9 percent), Utilities (-9.7 percent), Transportation
(-9.6 percent), Drugs (-9.3 percent), Health Service (-7.8 percent), and
Consumer Cyclical (-7.8 percent). Indeed, 49.5 percent of the stocks in the S&P
500 Index** finished the year LOWER. This explains why an equal-weighted version
of the Index** would have produced roughly one-half the Index** return, or 11.9
percent, for the year.
Like the market, the sector performance within the Portfolio showed both a wide
distribution of individual returns and a narrow concentration of outperforming
issues. Stock selection among technology issues was particularly beneficial. Sun
Microsystems gained 262 percent* with the dawning of the "thin-client" age which
should favor Sun's high-end server capabilities. Internet optimism also
propelled holdings in Oracle Systems (+290 percent*) , Cisco Systems (+131
percent*), and EMC Corp (+116 percent*). Improving semiconductor supply/demand
characteristics together with explosive growth in wireless communications
powered Texas Instruments shares 126 percent* higher. Underweighting PC makers
Dell and Compaq, which underperformed during the year, also contributed to
results.
On the other hand, stock picks in the multi-industry group performed poorly.
Waste Management was the worst performer in the Portfolio, losing 63 percent* of
its value as it restated earnings and lowered forecasts. Results were also hurt
by underweighting General Electric Company, whose 28.4 percent gain accounted
for almost 10 percent of the rise in the S&P 500 Index. **
OUTLOOK
The strength of high-profile equity indexes despite notable increases in bond
yields and measured price inflation was arguably the defining feature of the
financial market action in 1999. The Fed's active pursuit of a generous monetary
policy on the eve of the calendar date change to 2000, coincident with high
investor confidence, produced this result. Going forward, we believe the
medium-term goal will be tighter, not easier, monetary conditions. Rising
interest rates should curb euphoric consumer confidence and spending, and could
dampen upside potential for US stocks. We feel that technology may be
particularly vulnerable in this scenario, since stocks in this sector trade at
2.5 times the market multiple and currently claim over 80 percent of net
domestic mutual fund inflows.
34
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------- -------- ----------- ----------
<S> <C> <C> <C>
Microsoft Corporation.......................... 9,300 $1,085,776 5.1%
Cisco Systems, Inc. ........................... 7,500 803,438 3.8%
Sun Microsystems, Inc. ........................ 8,700 673,706 3.2%
Exxon Corporation.............................. 7,724 622,265 2.9%
Tyco International Ltd. ....................... 15,832 615,469 2.9%
Intel Corporation.............................. 6,800 559,725 2.6%
MCI Worldcom, Inc. ............................ 7,928 420,653 2.0%
Rohm and Haas Company.......................... 9,700 394,669 1.8%
Forest Laboratories............................ 6,400 393,200 1.8%
Monsanto Company............................... 10,600 377,625 1.8%
---------- ----
$5,946,526 27.9%
========== ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 5.7%
Transportation 1.6%
Utilities 2.1%
Energy 5.8%
Health Care 6.3%
Communication Services 7.2%
Basic Materials 7.5%
Capital Goods 7.5%
Consumer Staples 8.1%
Consumer Cyclical 8.9%
Financial 14.1%
Technology 25.2%
</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 7.17%
Since inception (October 15, 1997) 11.92%
Macro-Cap
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
12/31/99 $12,831 $16,006 $10,446
</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 December 31, 1999 and on October 1,
1997 through December 31, 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.
+The Lipper Growth and Income Average is comprised of funds that combine a
growth-of-earnings orientation and an income requirement for level and/or rising
dividends.
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 adviser
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 year ended December 31, 1999, the Micro-Cap Growth Portfolio gained
148.77 percent.* By comparison, the Russell 2000 Index** and Russell 2000 Growth
Index** gained 19.64 percent and 43.10 percent, respectively.
Favorable investments in initial public offerings (IPOs) contributed
approximately one-sixth of the Portfolio's total return for the year ended
December 31, 1999. This impact may not be sustainable because of the
unavailability of IPOs as market conditions change or allocations to the
Portfolio are reduced in the future. As the assets of the Portfolio increase,
the positive effect of IPOs on future performance is likely to decline.
PERFORMANCE ANALYSIS
Growth stocks dominated the market in 1999. A fast and furious fourth quarter
rally in technology stocks increased the already large disparity between growth
and value portfolios. The Russell 2000 Growth Index** gained 33.9 percent during
the quarter while the Russell 2000 Value Index** gained just 1.53 percent.
Although technology stocks, particularly internet-related securities, drove
growth portfolios to dramatic gains, investor enthusiasm spread to other sectors
in the smaller capitalization area including Telecommunications and Health Care.
Portfolio performance was driven by two factors in 1999: superior stock
selection and a significant weighting to technology and technology-related
securities. Stock selection added value across all sectors, but was particularly
strong in the Technology, Communication Services (Telecommunications), and
Consumer Cyclical sectors. The Portfolio's broad exposure to technology
companies added substantial value throughout the year. Investments in Internet
companies impacted performance, adding 52 percent* to Portfolio totals in 1999.
By comparison, Internet issues added just 14 percent to the Russell 2000 Growth
benchmark.** While receiving approximately the same proportionate contribution
from the Internet sector (one third of the Portfolio's return), the Portfolio
benefited from superior stock selection in this segment.
OUTLOOK
The big question on investor's minds is will technology issues suffer a
significant correction or are we experiencing a technology/communications
revolution that will forever change the world? In our opinion, the answer is
yes. Technology stocks have reached new highs in terms of historical valuation
models and a pullback in prices would not be surprising. However, many analysts
argue that traditional valuation models do not take innovation into account.
Technology is dramatically changing the way companies do business and the way we
all communicate with each other. Companies are creating new products and
services so rapidly that one cannot calculate a company's value based on current
products.
Our outlook for small-cap growth stocks is optimistic as we enter the year 2000.
Despite the recent rise in prices, we feel that smaller capitalization stocks as
a group remain attractively valued relative to larger stocks. In addition,
inflows into aggressive growth mutual funds have accelerated, providing support
for smaller capitalization growth issues. We expect these factors, when coupled
with a favorable earnings outlook, will support a broader rally within the
small-cap growth sector. As such, we have positioned the Portfolio to be fully
invested in those areas that we believe offer the greatest potential for growth:
Technology, Consumer Cyclical, Communication Services (Telecommunications) and
Health Care.
36
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------- -------- ----------- ----------
<S> <C> <C> <C>
Celgene Corporation............................ 12,600 $ 882,000 2.5%
Vitria Technology, Inc. ....................... 3,700 865,800 2.5%
IONA Technologies PLC.......................... 14,900 812,050 2.3%
Broadbase Software, Inc. ...................... 7,100 798,750 2.3%
Emulex Corporation............................. 6,000 675,000 1.9%
Abgenix, Inc. ................................. 4,900 649,250 1.8%
Active Softwear, Inc. ......................... 6,800 625,600 1.8%
Invitrogen Corporation......................... 10,400 624,000 1.8%
Netcentives, Inc. ............................. 10,000 623,125 1.8%
Maker Communications, Inc. .................... 14,000 598,500 1.7%
---------- ----
$7,154,075 20.4%
========== ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 17.6%
Financial 0.5%
Capital Goods 1.4%
Energy 2.6%
Communication Services 3.3%
Consumer Staples 3.5%
Health Care 10.8%
Consumer Cyclical 12.0%
Technology 48.3%
</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 148.77%
Since inception (October 1, 1997) 48.85%
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
12/31/99 $24,494 $13,301 $10,446
</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 December 31, 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 Value Index contains
those stocks from the Russell 2000 with a low price to book ratio. 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.
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 generated a total return of -3.89 percent*
for the year ended December 31, 1999. This compares to the Wilshire Associates
Real Estate Securities Index (WARESI)** return of -3.20 percent for the same
period.
PERFORMANCE ANALYSIS
The economy had a strong year in 1999. Unemployment remained at historical lows
of about 4 percent. The Gross Domestic Product (GDP) grew at approximately 4
percent. Retail sales, new home sales, and productivity followed the same
course. It has been an outstanding setting for the real estate market, which saw
very high levels of absorption of space during the past year. Steady increases
in rents followed this market strength. Fortunately, the capital markets did not
look to this strength, but to forecasts of the future slowing of the economy,
thus providing significant reduction of new supply as shown in a significant
drop in new construction starts from the peak levels shown in 1998 and 1999. It
was a good year for owning real estate.
So, why did the real estate securities market NOT participate in the strength of
the underlying real estate markets? First, the broader stock market was driven
by growth--if you weren't part of the high flyers generating significant growth
in revenues, you were left behind. Modest growth and a dividend could not keep
up with the attractiveness of dot.com (i.e., Internet and Internet-related
stocks). As real estate securities were concerned about levels of new supply to
hit the markets, consensus estimates for growth slowed for the group. This left
the real estate securities in a relatively weak position, resulting in a drop in
stock prices early in the year due to a contraction of their multiple reflecting
the slowing growth. Second, in response to the drop in stock prices for real
estate securities, the sector became a victim of tax-loss selling in third
quarter by investment companies (i.e., mutual funds) and the fourth quarter by
individuals. This technical pressure did not reflect the underlying
fundamentals. Lastly, groups including net lease companies and homebuilders
reacted poorly to the rise in interest rates.
In late December, real estate securities moved up significantly as the market
began to focus on the sector's valuation characteristics. Dividends on stocks of
Real Estate Investment Trusts had traded above 9 percent--typically the high end
of its range. These stocks, as a group, were trading at approximately 80-85
percent of their underlying net asset value (NAV), with some trading
significantly lower. The group was also trading at multiples that did not
reflect their long-term growth rates. Within the background of continued rental
growth and slowing supply, new value and income-oriented investors came back
into the group, providing a well-deserved uptick in price.
Apartments provided the safe haven for the year, providing a total return of
over 11 percent for the year. This performance reflected the solid supply and
demand balance for rental housing. Weaker areas were those hit by high levels of
new construction (hotels, down 15 percent), those affected by the development of
internet retailing (regional malls, down 14 percent and shopping centers, down
11 percent), or those affected by interest rates (homebuilders, down 21 percent,
and net lease companies, down 17 percent).
OUTLOOK
As the real estate markets near their peak, we see absorption
and--fortunately--new supply moderating in 2000. We expect to see pockets of
weakness, but overall, the markets should be in balance, assuming our outlook of
modest growth in the economy. We anticipate that the business fundamentals
should keep the dividends strong. We agree with real estate industry analysts
who expect that company growth rates of 7-10 percent should--with their
dividend--provide total returns that align with the historical averages, which
range in the low to mid-teens. We intend to focus on companies with high quality
management, durable business plans, strong rental and occupancy growth, combined
with compelling valuations. We expect the market to be capital constrained for
real estate companies. Therefore, we will avoid companies that are financially
illiquid. We believe that volatility in broader markets will make the dividend
provided by real estate securities increasingly more valued, with particular
emphasis on companies with dividend increases. We will monitor the market for
share buyback announcements, mergers and privatization of companies. In our
opinion, if the stock market returns to a value bias, it could be a very good
year for real estate securities.
38
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
- ------- -------- ----------- ----------
<S> <C> <C> <C>
Equity Residential Properties.................. 6,000 $ 256,125 4.6%
Avalon Bay Communities, Inc. .................. 7,050 241,903 4.3%
Public Storage, Inc. .......................... 10,516 238,582 4.2%
Equity Office Properties Trust................. 9,200 226,550 4.0%
Apartment Investment and Management............ 5,660 225,339 4.0%
Catellus Development Corporation............... 16,100 206,281 3.7%
Highwoods Properties, Inc. .................... 8,200 190,650 3.4%
Starwood Hotels & Resorts Worldwide, Inc. ..... 7,700 180,950 3.2%
Simon Property Group, Inc. .................... 7,500 172,031 3.1%
Macerich Company............................... 7,300 151,931 2.7%
---------- ----
$2,090,342 37.2%
========== ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 3.6%
Communication Services 0.2%
Technology 0.8%
Consumer Staples 1.1%
Consumer Cyclical 9.0%
Finance-Diversified 6.0%
Real Estate 4.6%
Real Estate Investment Trust 74.7%
</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 -3.89%
Since inception (May 1, 1998) -11.33%
Real Estate Wilshire Associates
Securities Portfolio Real Estate Securities Index CPI
5/01/98 $10,000 $10,000 $10,000
12/31/98 $8,510 $8,568 $10,098
12/31/99 $8,179 $8,294 $10,362
</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 December 31, 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>
INDEPENDENT AUDITORS' REPORT
The Board of Directors and Shareholders
Advantus Series Fund, Inc.
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments in securities, of 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 Portfolios of Advantus Series Fund, Inc. as of December 31,
1999, and the related statements of operations, the statements of changes in net
assets and the financial highlights for the periods presented. These financial
statements and the financial highlights are the responsibility of the Funds'
management. Our responsibility is to express an opinion on these financial
statements and the financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1999, by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of 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 Portfolios of Advantus Series Fund, Inc. as of
December 31, 1999 and the results of their operations, changes in their net
assets and the financial highlights for the periods presented, in conformity
with generally accepted accounting principles.
KPMG LLP
Minneapolis, Minnesota
February 4, 2000
40
<PAGE>
GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
COMMON STOCK (99.0%)
CAPITAL GOODS (12.4%)
Electrical Equipment (8.0%)
266,300 General Electric Company......................... $ 41,209,925
64,600 Solectron Corporation (b)........................ 6,145,075
------------
47,355,000
------------
Manufacturing (2.2%)
335,084 Tyco International Ltd. (c)...................... 13,026,390
------------
Office Equipment (2.2%)
142,300 Lexmark International Group, Inc. (b)............ 12,878,150
------------
COMMUNICATION SERVICES (1.8%)
Telecommunication (1.8%)
110,187 MCI Worldcom, Inc. (b)........................... 5,846,798
75,100 Sprint Corporation............................... 5,055,169
------------
10,901,967
------------
CONSUMER CYCLICAL (10.7%)
Retail (7.7%)
588,700 Family Dollar Stores............................. 9,603,169
269,850 Home Depot, Inc.................................. 18,501,591
259,100 Wal-Mart Stores, Inc............................. 17,910,287
------------
46,015,047
------------
Service (3.0%)
176,100 Omnicom Group, Inc............................... 17,610,000
------------
CONSUMER STAPLES (8.2%)
Entertainment (2.8%)
124,900 Carnival Corporation............................. 5,971,781
147,400 Time Warner, Inc................................. 10,677,287
------------
16,649,068
------------
Food & Health (1.0%)
347,000 U.S. Foodservice (b)............................. 5,812,250
------------
Household Products (1.2%)
294,700 Dial Corporation................................. 7,164,894
------------
Retail (1.8%)
305,400 Safeway, Inc. (b)................................ 10,860,787
------------
Service (1.4%)
158,200 Automatic Data Processing, Inc................... 8,523,025
------------
FINANCIAL (5.3%)
Consumer Finance (1.5%)
185,500 Capital One Financial Corporation................ 8,938,781
------------
Finance-Diversified (1.6%)
205,500 Federal Home Loan Mortgage Corporation........... 9,671,344
------------
Insurance (2.2%)
40,972 American International Group..................... 4,430,097
100,200 Hartford Life.................................... 4,408,800
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
FINANCIAL--CONTINUED
143,000 Nationwide Financial Services, Inc............... $ 3,995,063
------------
12,833,960
------------
HEALTH CARE (11.4%)
Drugs (5.2%)
150,500 Bristol-Myers Squibb Company..................... 9,660,219
43,300 Eli Lilly & Company.............................. 2,879,450
111,300 Merck & Co., Inc................................. 7,464,056
144,500 Pfizer, Inc...................................... 4,687,219
151,100 Schering Plough Corporation...................... 6,374,531
------------
31,065,475
------------
Health Care- Diversified (2.1%)
82,000 Johnson & Johnson................................ 7,636,250
59,100 Warner-Lambert Company........................... 4,842,506
------------
12,478,756
------------
Medical Products/Supplies (4.1%)
108,800 Guidant Corporation (b).......................... 5,113,600
215,700 Medtronic, Inc................................... 7,859,569
461,500 Sybron International Corporation (b)............. 11,393,281
------------
24,366,450
------------
TECHNOLOGY (47.9%)
228,000 America Online, Inc. (b)......................... 17,199,750
61,600 Applied Materials, Inc. (b)...................... 7,803,950
69,800 At Home Corporation (b).......................... 2,992,675
67,800 BMC Software, Inc. (b)........................... 5,419,763
387,300 Cisco Systems, Inc. (b).......................... 41,489,513
306,600 Dell Computer Corporation (b).................... 15,636,600
207,300 EMC Corporation (b).............................. 22,647,525
78,700 Gateway, Inc. (b)................................ 5,671,319
291,000 Intel Corporation................................ 23,952,938
68,700 International Business Machines.................. 7,419,600
74,400 JDS Uniphase Corporation (b)..................... 12,001,650
340,100 Lucent Technologies, Inc......................... 25,443,731
194,500 Microsoft Corporation (b)........................ 22,707,875
20,700 Motorola, Inc.................................... 3,048,075
103,900 Nokia Oyj (c).................................... 19,741,000
117,600 Oracle Corporation (b)........................... 13,178,550
249,600 Sun Microsystems, Inc. (b)....................... 19,328,400
94,300 Telefonaktiebolaget LM Erisson (c)............... 6,194,331
77,800 Texas Instruments, Inc........................... 7,536,875
37,250 VERITAS Software Corporation (b)................. 5,331,406
------------
284,745,526
------------
UTILITIES (1.3%)
Electric Companies (1.3%)
105,200 AES Corporation (b).............................. 7,863,700
------------
Total common stock (cost: $347,346,316)........................ 588,760,570
------------
</TABLE>
See accompanying notes to investments in securities.
41
<PAGE>
GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ------------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (2.4%)
$12,320,965 Provident Institutional Funds--TempFund Portfolio, current rate $ 12,320,965
5.480%..............................................................
2,025,000 U.S. Treasury Bill............................... 4.780% 01/06/00 2,024,368
------------
Total short-term securities (cost: $14,344,640)...................... 14,345,333
------------
Total investments in securities (cost: $361,690,956) (d)............. $603,105,903
============
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held 6.6% of net assets in foreign securities as of
December 31, 1999.
(d) At December 31, 1999 the cost of securities for federal income tax purposes
was $363,521,885. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $249,338,220
Gross unrealized depreciation.......... (9,754,202)
------------
Net unrealized appreciation............ $239,584,018
============
</TABLE>
42
<PAGE>
BOND PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (93.5%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (32.7%)
Federal Home Loan Mortgage Corporation (FHLMC) (.2%)
$ 311,503 ................................................. 6.500% 12/01/23 $ 295,310
------------
Federal National Mortgage Association (FNMA) (2.1%)
2,000,000 ................................................. 6.000% 05/15/08 1,869,246
956,532 ................................................. 6.000% 09/01/28 876,248
480,323 ................................................. 6.500% 10/01/28 449,644
710,924 ................................................. 7.000% 06/01/29 688,067
------------
3,883,205
------------
Government National Mortgage Association (GNMA) (4.7%)
1,318,970 ................................................. 6.000% 07/15/28 1,201,776
3,112,637 ................................................. 6.500% 09/15/28 2,925,434
537,490 ................................................. 7.000% 11/15/23 523,618
343,800 ................................................. 7.000% 10/15/25 333,312
470,029 ................................................. 7.000% 03/15/26 455,160
397,270 ................................................. 7.000% 05/15/26 384,703
466,760 ................................................. 7.500% 06/15/28 462,020
1,353,868 ................................................. 7.500% 10/15/28 1,340,120
498,337 ................................................. 7.500% 08/15/29 493,146
214,365 ................................................. 8.000% 09/15/24 217,066
127,963 ................................................. 8.500% 10/15/22 132,141
148,605 ................................................. 8.500% 12/15/22 153,457
------------
8,621,953
------------
U.S. Treasury (25.7%)
8,000,000 Bond............................................. 5.250% 02/15/29 6,617,504
7,500,000 Bond............................................. 5.625% 02/15/06 7,176,562
5,500,000 Bond............................................. 5.875% 11/15/05 5,340,159
2,000,000 Bond............................................. 6.000% 07/31/02 1,988,126
1,000,000 Bond............................................. 6.000% 02/15/26 914,688
8,900,000 Bond............................................. 6.125% 08/15/29 8,485,598
6,400,000 Bond............................................. 6.625% 03/31/02 6,444,000
8,400,000 Note............................................. 5.250% 08/15/03 8,095,500
2,550,000 Strip (d)........................................ 4.980% 05/15/06 1,682,513
------------
46,744,650
------------
Total U.S. government and agencies obligations
(cost: $62,206,339)................................................ 59,545,118
------------
CORPORATE OBLIGATIONS (60.8%)
BASIC MATERIALS (9.4%)
Chemicals (7.1%)
2,500,000 BF Goodrich Company.............................. 6.600% 05/15/09 2,277,775
4,000,000 BF Goodrich Company.............................. 9.625% 07/01/01 4,136,408
4,000,000 IMC Global, Inc.................................. 6.625% 10/15/01 3,924,404
2,784,272 Novartis AG 144A Issue (c)....................... 7.240% 01/02/16 2,619,805
------------
12,958,392
------------
Paper and Forest (2.3%)
4,150,000 International Paper Company...................... 6.875% 07/10/00 4,153,171
------------
CAPITAL GOODS (5.2%)
Aerospace/Defense (2.5%)
1,000,000 Raytheon Company................................. 5.950% 03/15/01 986,251
4,250,000 Raytheon Company................................. 6.400% 12/15/18 3,541,478
------------
4,527,729
------------
Containers-Metal/Glass (2.7%)
5,000,000 Crown Cork & Seal Company, Inc................... 7.125% 09/01/02 4,941,470
------------
</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
COMMUNICATION SERVICES (3.4%)
Telecommunication (.9%)
$1,645,000 MCI Worldcom, Inc................................ 6.125% 08/15/01 $ 1,627,183
------------
Telephone (2.5%)
1,000,000 AT&T Corporation................................. 6.500% 03/15/29 856,156
4,000,000 GTE Corporation.................................. 6.940% 04/15/28 3,611,356
------------
4,467,512
------------
CONSUMER CYCLICAL (3.0%)
Auto (2.5%)
5,000,000 Meritor Automotive, Inc.......................... 6.800% 02/15/09 4,559,225
------------
Retail (.5%)
1,000,000 Wal-Mart Stores, Inc............................. 6.875% 08/10/09 973,458
------------
CONSUMER STAPLES (12.7%)
Broadcasting (4.3%)
5,000,000 British Sky Broadcasting......................... 6.875% 02/23/09 4,406,485
3,500,000 Cox Communications, Inc.......................... 7.000% 08/15/01 3,491,974
------------
7,898,459
------------
Entertainment (2.1%)
3,500,000 Time Warner, Inc................................. 9.125% 01/15/13 3,839,703
------------
Household Products (3.8%)
3,850,000 Premark International, Inc....................... 10.500% 09/15/00 3,948,591
3,000,000 Procter & Gamble Company......................... 6.600% 12/15/04 2,958,126
------------
6,906,717
------------
Retail (2.5%)
4,500,000 Safeway, Inc..................................... 7.000% 09/15/02 4,471,866
------------
FINANCIAL (16.9%)
Asset-Backed Securities (.7%)
1,350,000 National Collegiate.............................. 7.240% 09/20/14 1,205,644
------------
Banks (4.5%)
5,500,000 PNC Bank Corporation............................. 6.728% 01/25/07 5,377,185
3,400,000 St. George Bank Capital Note 144A 2,884,305
Issue (b)(c).................................... 8.485% 12/31/49
------------
8,261,490
------------
Collateralized Mortgage Obligations/Mortgage Revenue Bonds (2.1%)
905,000 California Housing Finance Agency................ 8.160% 02/01/28 918,806
1,200,000 CSFB Finance Company 144A Issue (c).............. 5.977% 11/15/05 1,033,874
1,515,866 Prudential Home Mortgage Securities.............. 6.050% 04/25/24 1,392,157
479,640 Wyoming Community Development.................... 6.850% 06/01/10 479,640
------------
3,824,477
------------
Commercial Finance (2.7%)
5,000,000 General Electric Capital Corporation............. 6.290% 12/15/01 4,944,670
------------
Insurance (2.2%)
725,000 Conseco Financing Trust II....................... 8.700% 11/15/26 650,199
1,000,000 Conseco, Inc..................................... 8.500% 10/15/02 1,011,635
2,950,000 Unum Corporation................................. 6.750% 12/15/28 2,396,285
------------
4,058,119
------------
Investment Bankers/Brokers (2.7%)
5,000,000 Morgan Stanley Dean Witter & Company............. 6.875% 03/01/07 4,811,830
------------
Real Estate Investment Trust (.5%)
1,000,000 Security Capital Pacific Trust................... 7.500% 02/15/14 900,413
------------
</TABLE>
See accompanying notes to investments in securities.
44
<PAGE>
BOND PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--CONTINUED
Savings and Loans (1.5%)
$3,000,000 Bank United Corporation.......................... 8.875% 05/01/07 $ 2,788,902
------------
HEALTH CARE (.9%)
Medical Products/Supplies (.9%)
2,000,000 Tyco International Group (b)..................... 6.875% 01/15/29 1,703,360
------------
UTILITIES (9.3%)
Electric Companies (6.6%)
4,000,000 Edison International............................. 6.875% 09/15/04 3,917,252
4,250,000 Georgia Power Company............................ 5.500% 12/01/05 3,882,418
4,000,000 Hydro-Quebec (b)................................. 8.000% 02/01/13 4,104,080
------------
11,903,750
------------
Natural Gas (2.7%)
5,250,000 Enron Corporation................................ 6.725% 11/17/08 4,860,786
------------
Total corporate obligations (cost: $117,814,427).................... 110,588,326
------------
Total long-term debt securities (cost: $180,020,766)................ 170,133,444
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
- ------
<C> <S> <C>
PREFERRED STOCK (4.8%)
FINANCIAL (4.8%)
Real Estate Investment Trust (4.8%)
70,000 Duke Realty Investments, Inc. 7.99%.............. 3,062,500
35,000 Nationwide Health Properties, Inc. 7.68%......... 3,101,875
60,000 Prologis Trust 8.54%............................. 2,493,750
-----------
Total preferred stock (cost: $9,955,725)......... 8,658,125
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (--)
$ 571 Provident Institutional Funds--TempFund Portfolio, current rate 571
5.480%.............................................................
-----------
Total short-term securities (cost: $571)............................ 571
-----------
Total investments in securities (cost: $189,977,062)(e)............. $178,792,140
===========
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) The Fund held 4.8% of net assets in foreign securities as of December 31,
1999.
(c) Represents ownership in an illiquid security. (See note 7 to the financial
statements.) Information concerning the illiquid securities held at
December 31, 1999, which includes acquistion date and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY: DATE COST
--------- ----------- ----------
<S> <C> <C>
CFSB Finance Company 144A Issue*.......... 5/15/96 $1,178,142
Novartis AG 144A Issue*................... 12/24/96 2,784,272
St. George Bank Capital Note 144A 6/12/97 3,401,244
Issue*...................................
----------
$7,363,658
==========
</TABLE>
* A 144A Issue represents a security which has not been registered with the
Securities and Exchange Commission under the Securities Act of 1933.
(d) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(e) At December 31, 1999 the cost of securities for federal income tax purposes
was $190,258,266. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......................... $ 99,894
Gross unrealized depreciation.......................... (11,566,020)
-------------
Net unrealized depreciation............................ $ (11,466,126)
=============
</TABLE>
45
<PAGE>
MONEY MARKET PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (95.3%)
BASIC MATERIALS (19.2%)
Agriculture Products (7.3%)
$2,510,000 Archer-Daniels Midland Company................... 5.845% 03/01/00 $ 2,486,114
3,065,000 Archer-Daniels Midland Company................... 6.113% 04/17/00 3,011,040
2,045,000 Cargill, Inc..................................... 5.917% 01/13/00 2,041,030
1,530,000 Cargill, Inc..................................... 5.904% 01/14/00 1,526,789
2,410,000 Cargill, Inc..................................... 5.093% 02/02/00 2,399,288
------------
11,464,261
------------
Chemicals (11.9%)
1,000,000 E.I. DuPont de Nemours & Company................. 5.359% 02/14/00 993,582
3,125,000 E.I. DuPont de Nemours & Company................. 5.793% 08/28/00 3,009,567
1,000,000 Monsanto Company (c)............................. 6.010% 01/18/00 997,209
665,000 Monsanto Company (c)............................. 6.099% 01/31/00 661,683
3,065,000 Monsanto Company................................. 6.010% 02/04/00 3,048,355
2,195,000 Monsanto Company (c)............................. 6.017% 03/21/00 2,166,431
1,020,000 Monsanto Company (c)............................. 5.981% 03/24/00 1,006,313
2,005,000 PPG Industries, Inc.............................. 6.001% 01/21/00 1,998,428
4,835,000 PPG Industries, Inc.............................. 5.999% 01/28/00 4,813,650
------------
18,695,218
------------
CAPITAL GOODS (4.2%)
Electrical Equipment (4.2%)
1,285,000 Emerson Electric Company......................... 5.473% 01/18/00 1,281,733
2,540,000 Emerson Electric Company......................... 5.441% 01/21/00 2,532,450
1,100,000 Emerson Electric Company......................... 5.492% 01/26/00 1,095,878
1,655,000 Emerson Electric Company......................... 5.475% 01/27/00 1,648,571
------------
6,558,632
------------
COMMUNICATION SERVICES (7.4%)
Telephone (7.4%)
4,090,000 AT&T Corporation................................. 5.809% 02/08/00 4,065,414
3,570,000 Bellsouth Telecommunications..................... 5.799% 01/19/00 3,559,820
1,045,000 Bellsouth Telecommunications..................... 5.839% 02/09/00 1,038,521
2,905,000 Bellsouth Telecommunications..................... 5.952% 02/11/00 2,885,708
------------
11,549,463
------------
CONSUMER CYCLICAL (6.1%)
Publishing (6.1%)
7,400,000 Gannett Company.................................. 6.011% 01/24/00 7,372,075
2,170,000 R.R. Donnelley & Sons Company (c)................ 5.967% 01/31/00 2,159,409
------------
9,531,484
------------
CONSUMER STAPLES (12.3%)
Beverage (4.1%)
4,540,000 The Coca-Cola Company............................ 5.506% 01/20/00 4,526,984
1,925,000 The Coca-Cola Company............................ 6.048% 02/18/00 1,909,811
------------
6,436,795
------------
Entertainment (3.3%)
4,085,000 Walt Disney Company.............................. 5.822% 01/24/00 4,070,069
1,056,000 Walt Disney Company.............................. 6.063% 01/25/00 1,051,807
------------
5,121,876
------------
Food (4.9%)
4,975,000 General Mills, Inc............................... 5.238% 02/01/00 4,952,967
2,800,000 General Mills, Inc............................... 5.984% 02/23/00 2,775,880
------------
7,728,847
------------
</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>
ENERGY (1.9%)
Oil & Gas (1.9%)
$3,025,000 Atlantic Richfield Company (c)................... 6.207% 02/04/00 $ 3,007,611
------------
FINANCIAL (22.4%)
Auto Finance (1.3%)
2,050,000 Ford Motor Credit................................ 5.783% 05/18/00 2,006,137
------------
Commercial Finance (5.7%)
3,060,000 G.E. Capital Corporation......................... 6.021% 03/10/00 3,025,565
4,885,000 G.E. Capital Corporation......................... 5.997% 07/19/00 4,729,194
1,140,000 Xerox Company.................................... 5.943% 01/20/00 1,136,484
------------
8,891,243
------------
Consumer Finance (15.4%)
2,000,000 American General Financial Corporation........... 6.070% 01/06/00 1,998,338
3,840,000 American General Financial Corporation........... 6.021% 02/25/00 3,805,473
2,325,000 Associates Corporation of North America.......... 5.029% 01/24/00 2,317,655
1,015,000 Associates Corporation of North America.......... 6.038% 03/20/00 1,001,906
4,060,000 Ciesco LP........................................ 6.125% 01/18/00 4,048,451
3,055,000 Ciesco LP........................................ 5.990% 01/26/00 3,042,518
6,065,000 GTE Funding, Inc................................. 6.017% 01/21/00 6,045,069
1,800,000 GTE Funding, Inc................................. 6.133% 02/16/00 1,786,195
------------
24,045,605
------------
HEALTH CARE (7.7%)
Drugs (7.7%)
2,565,000 American Home Products Corporation (c)........... 5.954% 01/28/00 2,553,753
2,885,000 American Home Products Corporation (c)........... 5.579% 02/03/00 2,870,521
1,500,000 American Home Products Corporation (c)........... 6.013% 02/22/00 1,487,259
5,100,000 Schering Corporation............................. 6.048% 02/23/00 5,055,600
------------
11,967,133
------------
TECHNOLOGY (3.8%)
6,035,000 Motorola, Inc.................................... 6.633% 01/27/00 6,006,618
------------
UTILITIES (10.3%)
Electric Companies (10.3%)
3,020,000 Madison Gas & Electric........................... 6.115% 01/10/00 3,015,453
3,030,000 MidAmerican Energy............................... 6.038% 01/14/00 3,023,498
3,020,000 MidAmerican Energy............................... 6.639% 01/31/00 3,003,609
2,040,000 Potomac Electric Power Company................... 5.971% 01/25/00 2,032,022
5,100,000 Potomac Electric Power Company................... 5.972% 01/27/00 5,078,398
------------
16,152,980
------------
Total commercial paper (cost: $149,163,903)........................ 149,163,903
------------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (4.0%)
$6,354,558 Provident Institutional Funds--TempFund Portfolio,, current rate 6,354,558
5.480%...........................................................
------------
Total short-term securities (cost: $6,354,558).................... 6,354,558
------------
Total investments in securities (cost: $155,518,461) (b).......... $155,518,461
============
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Also represents the cost of securities for federal income tax purposes at
December 31, 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.
47
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ---------------
<C> <S> <C>
COMMON STOCK (71.9%)
CAPITAL GOODS (7.8%)
Electrical Equipment (4.7%)
194,752 General Electric Company......................... $ 30,137,872
51,200 Solectron Corporation (b)........................ 4,870,400
------------
35,008,272
------------
Manufacturing (1.6%)
299,596 Tyco International Ltd. (c)...................... 11,646,794
------------
Office Equipment (1.5%)
123,700 Lexmark International Group, Inc. (b)............ 11,194,850
------------
COMMUNICATION SERVICES (1.2%)
Telecommunication (1.2%)
95,955 MCI Worldcom, Inc. (b)........................... 5,091,612
62,600 Sprint Corporation............................... 4,213,762
------------
9,305,374
------------
CONSUMER CYCLICAL (7.7%)
Houseware (--)
15,300 Furniture Brands International, Inc. (b)......... 336,600
------------
Lodging--Hotel (.3%)
52,700 Meristar Hospitality Corporation................. 843,200
56,000 Starwood Hotels & Resorts Worldwide, Inc......... 1,316,000
------------
2,159,200
------------
Retail (4.9%)
493,600 Family Dollar Stores............................. 8,051,850
237,750 Home Depot, Inc.................................. 16,300,734
182,500 Wal-Mart Stores, Inc............................. 12,615,312
------------
36,967,896
------------
Service (2.5%)
33,900 Fairfield Communities, Inc. (b).................. 364,425
184,508 Omnicom Group, Inc............................... 18,450,800
------------
18,815,225
------------
CONSUMER STAPLES (5.9%)
Entertainment (2.0%)
109,700 Carnival Corporation............................. 5,245,031
131,700 Time Warner, Inc................................. 9,540,019
------------
14,785,050
------------
Food & Health (.8%)
337,100 U.S. Foodservice (b)............................. 5,646,425
------------
Household Products (.8%)
254,000 Dial Corporation................................. 6,175,375
------------
Retail (1.3%)
267,884 Safeway, Inc. (b)................................ 9,526,625
------------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ---------------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
Service (1.0%)
134,300 Automatic Data Processing, Inc................... $ 7,235,412
------------
FINANCIAL (7.7%)
Consumer Finance (1.1%)
165,100 Capital One Financial Corporation................ 7,955,756
------------
Finance-Diversified (1.4%)
24,700 Asset Investors Corporation...................... 274,787
22,300 Crescent Real Estate Equity Company.............. 409,762
175,300 Federal Home Loan Mortgage Corporation........... 8,250,056
52,100 Simon Property Group, Inc........................ 1,195,044
41,600 Trammell Crow Company (b)........................ 483,600
------------
10,613,249
------------
Insurance (1.2%)
37,553 American International Group..................... 4,060,418
43,600 Hartford Life.................................... 1,918,400
111,700 Nationwide Financial Services, Inc............... 3,120,619
------------
9,099,437
------------
Investment Bankers/Brokers (--)
2,088 Reckson Service Industries (b)................... 130,239
------------
Real Estate (.2%)
96,800 Catellus Development Corporation (b)............. 1,240,250
11,600 Newhall Land & Farming Company................... 313,200
------------
1,553,450
------------
Real Estate Investment Trust (3.8%)
32,800 AMB Property Corporation......................... 653,950
36,000 Apartment Investment & Management Company........ 1,433,250
12,000 Archstone Communities Trust...................... 246,000
52,200 Arden Realty Group, Inc.......................... 1,047,262
47,000 Avalon Bay Communities, Inc...................... 1,612,687
7,700 Boston Properties, Inc........................... 239,663
20,000 Camden Property Trust............................ 547,500
21,500 CarrAmerica Realty Corporation................... 454,188
20,000 CBL & Associates Properties, Inc................. 412,500
14,900 CenterPoint Properties Corporation............... 534,538
6,600 Eastgroup Properties............................. 122,100
55,600 Equity Office Properties Trust................... 1,369,150
41,500 Equity Residential Properties.................... 1,771,531
18,700 Essex Property Trust, Inc........................ 635,800
41,400 Franchise Finance Corporation of America......... 991,013
</TABLE>
See accompanying notes to investments in securities.
48
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ---------------
<C> <S> <C>
FINANCIAL--CONTINUED
9,700 Gables Residential Trust......................... $ 232,800
56,700 Highwoods Properties, Inc........................ 1,318,275
93,100 Innkeepers USA Trust............................. 762,256
40,300 Kilroy Realty Corporation........................ 886,600
26,500 Kimco Realty Corporation......................... 897,688
38,120 Koger Equity, Inc................................ 643,275
26,400 Liberty Property Trust........................... 640,200
24,000 LNR Property Corporation......................... 477,000
42,900 Macerich Company................................. 892,856
33,300 Mack-Cali Realty Corporation..................... 867,881
41,900 Pacific Gulf Properties, Inc..................... 848,475
38,000 Pan Pacific Retail Properties.................... 619,875
34,900 Philips International Realty..................... 573,669
9,600 Post Properties, Inc............................. 367,200
73,964 Public Storage, Inc.............................. 1,678,058
28,800 Reckson Associates Realty Corporation............ 590,400
7,379 Reckson Associates Realty Corporation, Class B... 167,872
17,700 SL Green Realty Corporation...................... 384,975
23,100 Spieker Properties, Inc.......................... 841,706
28,100 Starwood Financial, Inc.......................... 475,944
49,500 Summit Properties, Inc........................... 884,813
62,900 Trizec Hahn Corporation (c)...................... 1,061,438
14,600 U.S. Restaurant Properties, Inc.................. 208,963
10,100 Urban Shopping Centers, Inc...................... 273,963
------------
28,667,314
------------
HEALTH CARE (7.9%)
Drugs (3.6%)
133,600 Bristol-Myers Squibb Company..................... 8,575,450
36,700 Eli Lilly & Company.............................. 2,440,550
99,400 Merck & Co., Inc................................. 6,666,013
128,300 Pfizer, Inc...................................... 4,161,731
129,400 Schering Plough Corporation...................... 5,459,063
------------
27,302,807
------------
Health Care-Diversified (1.5%)
72,800 Johnson & Johnson................................ 6,779,500
53,200 Warner-Lambert Company........................... 4,359,075
------------
11,138,575
------------
Medical Products/Supplies (2.8%)
96,600 Guidant Corporation (b).......................... 4,540,200
191,500 Medtronic, Inc................................... 6,977,781
382,700 Sybron International Corporation (b)............. 9,447,906
------------
20,965,887
------------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ---------------
<C> <S> <C>
TECHNOLOGY (32.7%)
206,400 America Online, Inc. (b)......................... $ 15,570,300
52,800 Applied Materials, Inc. (b)...................... 6,689,100
62,200 At Home Corporation (b).......................... 2,666,825
60,100 BMC Software, Inc. (b)........................... 4,804,244
329,350 Cisco Systems, Inc. (b).......................... 35,281,619
267,800 Dell Computer Corporation (b).................... 13,657,800
180,500 EMC Corporation (b).............................. 19,719,625
70,300 Gateway, Inc. (b)................................ 5,065,994
259,300 Intel Corporation................................ 21,343,631
47,000 International Business Machines.................. 5,076,000
65,000 JDS Uniphase Corporation (b)..................... 10,485,313
283,400 Lucent Technologies, Inc......................... 21,201,863
169,300 Microsoft Corporation (b)........................ 19,765,775
18,400 Motorola, Inc.................................... 2,709,400
90,400 Nokia Oyj (c).................................... 17,176,000
104,700 Oracle Corporation (b)........................... 11,732,944
220,600 Sun Microsystems, Inc. (b)....................... 17,082,713
63,900 Telefonaktiebolaget LM Ericsson (c).............. 4,197,431
67,600 Texas Instruments, Inc........................... 6,548,750
32,850 VERITAS Software Corporation (b)................. 4,701,656
------------
245,476,983
------------
UTILITIES (1.0%)
Electric Companies (1.0%)
96,100 AES Corporation.................................. 7,183,475
------------
Total common stock
(cost: $321,492,132).......................................... 538,890,270
------------
</TABLE>
<TABLE>
<C> <S> <C>
PREFERRED STOCK (1.3%)
FINANCIAL (1.3%)
Real Estate Investment Trust (1.3%)
102,000 Duke Realty Investments, Inc.--7.99%............. 4,462,500
39,000 Nationwide Health Properties, Inc.--7.68%........ 3,456,375
50,000 Prologis Trust--8.54%............................ 2,078,125
------------
9,997,000
------------
Total preferred stock
(cost: $11,467,385)........................................... 9,997,000
------------
</TABLE>
See accompanying notes to investments in securities.
49
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ---------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (25.4%)
GOVERNMENT OBLIGATIONS (8.8%)
Federal Home Loan Mortgage Corporation (FHLMC) (.3%)
$ 937,562 ....................................................... 6.500% 12/01/23 $ 888,825
1,418,018 ....................................................... 6.500% 02/01/29 1,340,078
------------
2,228,903
------------
Federal National Mortgage Association (FNMA) (3.1%)
2,261,538 ....................................................... 6.000% 04/01/14 2,146,813
956,532 ....................................................... 6.000% 09/01/28 876,248
989,296 ....................................................... 6.000% 01/01/29 906,262
601,613 ....................................................... 6.000% 02/01/29 551,118
726,555 ....................................................... 6.000% 05/01/29 665,176
1,292,405 ....................................................... 6.500% 07/01/13 1,255,664
2,940,587 ....................................................... 6.500% 09/01/14 2,854,819
2,895,222 ....................................................... 6.500% 10/01/28 2,710,302
1,371,505 ....................................................... 6.500% 11/01/28 1,295,300
837,948 ....................................................... 6.500% 12/01/28 791,389
2,430,826 ....................................................... 6.500% 02/01/29 2,275,567
1,446,354 ....................................................... 6.500% 02/01/29 1,365,990
119,643 ....................................................... 7.000% 10/01/14 118,359
2,447,990 ....................................................... 7.000% 11/01/14 2,421,725
492,151 ....................................................... 7.000% 08/01/29 476,053
2,985,698 ....................................................... 7.000% 10/01/29 2,888,042
------------
23,598,827
------------
Government National Mortgage Association (GNMA) (3.5%)
874,824 ....................................................... 6.000% 08/15/28 797,093
2,990,972 ....................................................... 6.500% 04/15/29 2,809,644
3,021,887 ....................................................... 7.000% 05/15/26 2,926,292
909,333 ....................................................... 7.000% 06/15/28 879,121
1,820,220 ....................................................... 7.000% 07/15/28 1,759,743
1,852,629 ....................................................... 7.000% 12/15/28 1,791,076
2,450,715 ....................................................... 7.000% 01/15/29 2,368,258
481,925 ....................................................... 7.000% 01/15/29 465,710
1,309,535 ....................................................... 7.000% 01/15/29 1,265,474
357,760 ....................................................... 7.000% 01/15/29 345,723
3,063,302 ....................................................... 7.000% 02/15/29 2,960,234
1,041,714 ....................................................... 7.000% 05/15/29 1,006,664
97,101 ....................................................... 7.500% 06/20/02 97,597
47,127 ....................................................... 7.500% 07/20/02 47,367
349,109 ....................................................... 7.500% 05/15/24 347,126
598,641 ....................................................... 7.500% 06/15/28 592,561
1,910,198 ....................................................... 7.500% 09/15/28 1,890,800
1,492,598 ....................................................... 7.500% 10/15/28 1,477,440
2,480,237 ....................................................... 7.500% 09/15/29 2,454,400
------------
26,282,323
------------
Other Government Obligations (.5%)
3,750,000 Government of Canada (c)............................... 6.375% 11/30/04 3,670,170
------------
State and Local Government Obligations (.1%)
1,020,000 Wyoming Community Development.......................... 6.850% 06/01/10 1,020,000
------------
U.S. Treasury (1.3%)
5,750,000 Strip (g).............................................. 4.980% 05/15/06 3,793,902
3,350,000 U.S. Treasury Bond..................................... 6.000% 02/15/26 3,064,205
</TABLE>
See accompanying notes to investments in securities.
50
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ---------------
<C> <S> <C> <C> <C>
GOVERNMENT OBLIGATIONS--CONTINUED
$ 3,000,000 U.S. Treasury Bond..................................... 6.125% 08/15/29 $ 2,860,314
------------
9,718,421
------------
Total government obligations (cost: $69,887,930).......................... 66,518,644
------------
CORPORATE OBLIGATIONS (16.6%)
BASIC MATERIALS (1.5%)
Chemicals (1.2%)
4,000,000 IMC Global, Inc........................................ 6.625% 10/15/01 3,924,404
5,011,690 Novartis AG 144A Issue (d)............................. 7.240% 01/02/16 4,715,649
------------
8,640,053
------------
Manufacturing (.3%)
2,600,000 Tyco International Group (c)........................... 6.875% 01/15/29 2,214,368
------------
CAPITAL GOODS (1.2%)
Aerospace/Defense (.6%)
4,250,000 United Technologies Corporation........................ 6.625% 11/15/04 4,159,093
------------
Containers-Metal/Glass (.6%)
4,500,000 Crown Cork & Seal Company, Inc......................... 7.125% 09/01/02 4,447,323
------------
COMMUNICATION SERVICES (1.1%)
Telecommunication (.5%)
4,000,000 MCI Worldcom, Inc...................................... 6.125% 08/15/01 3,956,676
------------
Telephone (.6%)
1,000,000 AT&T Corporation....................................... 6.500% 03/15/29 856,156
3,700,000 GTE Corporation........................................ 6.940% 04/15/28 3,340,504
------------
4,196,660
------------
CONSUMER CYCLICAL (1.2%)
Auto (.6%)
5,000,000 Meritor Automotive, Inc................................ 6.800% 02/15/09 4,559,225
------------
Retail (.6%)
4,250,000 Wal-Mart Stores, Inc................................... 6.875% 08/10/09 4,137,197
------------
CONSUMER STAPLES (2.4%)
Broadcasting (.5%)
4,300,000 British Sky Broadcasting............................... 6.875% 02/23/09 3,789,577
------------
Entertainment (.6%)
4,250,000 Time Warner, Inc....................................... 9.125% 01/15/13 4,662,497
------------
Household Products (1.0%)
4,900,000 Premark International, Inc............................. 10.500% 09/15/00 5,025,479
2,500,000 Procter & Gamble Company............................... 6.600% 12/15/04 2,465,105
------------
7,490,584
------------
Retail (.3%)
2,500,000 Safeway, Inc........................................... 7.000% 09/15/02 2,484,370
------------
FINANCIAL (7.2%)
Banks (1.4%)
7,178,000 PNC Bank Corporation................................... 6.728% 01/25/07 7,017,715
4,000,000 St. George Bank 144A Issue (c)(d)...................... 8.485% 12/31/49 3,393,300
------------
10,411,015
------------
Commercial Finance (.7%)
5,250,000 General Electric Capital Corporation................... 6.290% 12/15/01 5,191,904
------------
</TABLE>
See accompanying notes to investments in securities.
51
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ---------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--CONTINUED
Commercial Mortgage-Backed Securities (1.4%)
$ -- Asset Securitization Corporation (d)(f)................ 9.273% 08/13/29 $ 2,046,956
1,784,739 Chase Mortgage Finance Corporation..................... 6.750% 02/25/25 1,673,836
1,299,815 Citicorp Mortgage Securities, Inc...................... 6.500% 10/25/23 1,224,466
2,000,000 First Union/Lehman Brothers Mortgage................... 6.650% 12/18/07 1,908,440
1,000,000 Nomura Asset Securities Corporation.................... 7.428% 04/13/36 992,710
2,600,000 Nomura Asset Securities Corporation.................... 7.638% 04/13/36 2,583,178
------------
10,429,586
------------
Finance--Diversified (.1%)
3,300,000 Guangdong Enterprises 144A Issue (c)(d)(h)............. 8.875% 05/22/07 1,064,250
------------
Insurance (1.0%)
5,000,000 Conseco Financing Trust II............................. 8.700% 11/15/26 4,484,130
3,850,000 Unum Corporation....................................... 6.750% 12/15/28 3,127,355
------------
7,611,485
------------
Investment Bankers/Brokers (.8%)
4,696,000 Morgan Stanley Dean Witter & Company................... 6.875% 03/01/07 4,519,271
1,500,000 Morgan Stanley Dean Witter & Company................... 7.125% 01/15/03 1,498,175
------------
6,017,446
------------
Real Estate Investment Trust (.2%)
1,500,000 Security Capital Pacific Trust......................... 7.500% 02/15/14 1,350,620
------------
Savings and Loans (.4%)
2,950,000 Bank United Corporation................................ 8.875% 05/01/07 2,742,420
------------
Whole Loan Mortgage-Backed (1.2%)
962,567 Banco Hipotecario Nacional 144A Issue (c)(d)........... 7.916% 07/25/09 860,595
1,026,314 Paine Webber Mortgage Acceptance Corporation........... 6.930% 02/25/24 964,684
5,207,788 Prudential Home Mortgage Securities.................... 6.500% 10/25/23 4,978,333
254,064 Prudential Home Mortgage Securities 144A Issue (e)..... 7.900% 04/28/22 253,253
2,450,672 Residential Funding Mortgage........................... 7.000% 10/25/23 2,325,027
------------
9,381,892
------------
UTILITIES (2.0%)
Electric Companies (1.3%)
5,000,000 Georgia Power Company.................................. 5.500% 12/01/05 4,567,550
4,800,000 Hydro-Quebec (c)....................................... 8.000% 02/01/13 4,924,896
------------
9,492,446
------------
Natural Gas (.7%)
5,715,000 Enron Corporation...................................... 6.725% 11/17/08 5,291,313
------------
Total corporate obligations (cost: $133,083,712).......................... 123,722,000
------------
Total long-term debt securities (cost: $202,971,642)...................... 190,240,644
------------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (2.2%)
16,712,412 Provident Institutional Funds--TempFund Portfolio, current rate 5.480%.... 16,712,412
------------
Total short-term securities (cost: $16,712,412)........................... 16,712,412
------------
Total investments in securities (cost: $552,643,571) (i).................. $755,840,326
============
</TABLE>
See accompanying notes to investments in securities.
52
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held 6.7% of net assets in foreign securities as of December
31, 1999.
(d) Represents ownership in an illiquid security. (See note 7 to the financial
statements.) Information concerning the illiquid securities held at December
31, 1999, which includes acquisition date and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
-------- ----------- -----------
<S> <C> <C>
Asset Securitization Corporation.......... 10/23/99 $ 2,071,596
Banco Hipotecario Nacional 144A Issue*.... various 873,530
Guangdong Enterprises 144A Issue*......... various 3,406,194
Novartis AG 144A Issue*................... various 5,046,264
St. George Bank Capital Note 144A 6/12/97 4,000,000
Issue*...................................
-----------
$15,397,584
===========
*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) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(h) At December 31, 1999, security is in default with respect to its last
interest payment.
(i) At December 31, 1999 the cost of securities for federal income tax purposes
was $556,160,428. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation............................ $224,360,574
Gross unrealized depreciation............................ (24,680,676)
------------
Net unrealized appreciation.............................. $199,679,898
============
</TABLE>
53
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (96.8%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (17.1%)
Federal Home Loan Mortgage Corporation (FHLMC) (1.0%)
$1,407,870 ................................................. 6.500% 12/01/23 $ 1,334,684
------------
Federal National Mortgage Association (FNMA) (8.9%)
1,279,599 ................................................. 6.500% 07/01/29 1,206,421
302,127 ................................................. 6.500% 02/01/17 287,166
922,767 ................................................. 6.500% 03/01/17 876,521
1,385,138 ................................................. 6.500% 05/01/28 1,308,175
1,478,307 ................................................. 6.500% 09/01/28 1,396,167
1,418,300 ................................................. 6.500% 09/01/28 1,339,495
1,238,666 ................................................. 6.500% 08/01/29 1,167,829
495,997 ................................................. 6.500% 08/01/29 467,632
498,301 ................................................. 6.500% 09/01/29 469,804
1,480,215 ................................................. 6.500% 09/01/29 1,395,564
797,864 ................................................. 6.500% 09/01/29 752,236
1,805,237 ................................................. 7.000% 02/01/29 1,738,523
7,190 ................................................. 8.000% 05/01/22 7,264
------------
12,412,797
------------
Government National Mortgage Association (GNMA) (5.1%)
2,041,838 ................................................. 4.000% 10/20/25 1,845,748
499,548 ................................................. 7.000% 05/15/29 482,740
1,750,000 ................................................. 7.000% 12/15/29 1,691,120
1,834 ................................................. 8.500% 03/15/22 1,894
1,155,653 ................................................. 6.500% 03/15/29 1,085,592
1,000,100 ................................................. 7.000% 12/15/29 966,451
1,000,000 ................................................. 7.500% 11/15/29 989,583
------------
7,063,128
------------
Vendee Administration (Vendee) (2.1%)
1,360,183 Vendee Mortgage Trust Participation 1,374,627
Certificates (b)................................ 7.793% 02/15/25
1,520,511 Vendee Mortgage Trust Participation 1,561,547
Certificates (b)................................ 8.293% 12/15/26
------------
2,936,174
------------
Total U.S. government and agencies obligations (cost:
$24,135,700)...................................................... 23,746,783
------------
CORPORATE OBLIGATIONS (.6%)
1,000,000 Security Capital Pacific Trust................... 7.500% 02/15/14 900,413
------------
Total corporate obligations (cost: $990,799)....................... 900,413
------------
OTHER MORTGAGE-BACKED SECURITIES (79.1%)
Asset-Backed (1.5%)
2,000,000 Team Fleet Financing 144A Issue (d).............. 7.800% 05/15/03 2,006,800
------------
Commercial Mortgage-Backed Securities (19.6%)
-- Asset Securitization Corporation (c)(e).......... 9.273% 08/13/29 2,011,795
-- Asset Securitization Corporation 144A 1,801,450
Issue (c)(e).................................... 9.273% 08/13/29
1,275,000 Covenant Retirement Community.................... 6.250% 12/01/22 1,249,625
3,336,000 FFCA Secured Lending Corporation 144A 3,163,986
Issue (d)....................................... 8.910% 06/15/14
3,750,000 Fortress CBO Investments I, Limited 144A Issue 3,381,938
(c)............................................. 7.850% 07/25/38
2,682,193 New York Dorm Authority (c)...................... 7.750% 04/01/28 2,706,510
3,250,000 Nomura Asset Securities Corporation.............. 7.428% 04/13/36 3,226,308
1,500,000 Nomura Asset Securities Corporation.............. 7.638% 04/13/36 1,490,295
4,250,000 Park Avenue Finance Corporation 144A Issue (d)... 7.680% 05/12/07 4,228,878
1,703,950 Pleasant Hill Revenue Bond....................... 7.950% 09/20/15 1,714,332
</TABLE>
See accompanying notes to investments in securities.
54
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ------------
<C> <S> <C> <C> <C>
OTHER MORTGAGE-BACKED SECURITIES--CONTINUED
$2,247,013 Rosewood Care Center............................. 7.250% 11/01/13 $ 2,181,692
------------
27,156,809
------------
Mortgage Revenue Bonds (5.1%)
782,223 American Housing Trust........................... 8.125% 06/25/18 788,588
338,598 Black Diamond Mortgage Trust 144A Issue (d)...... 6.767% 01/29/13 319,129
3,000,000 California Housing Finance Agency................ 7.760% 08/01/25 3,050,418
1,235,000 California Housing Finance Agency................ 8.160% 02/01/28 1,253,840
1,000,000 Pennsylvania Housing Finance..................... 7.410% 10/01/17 962,679
694,600 Wyoming Community Development.................... 6.850% 06/01/10 694,600
------------
7,069,254
------------
Whole Loan Mortgage-Backed (52.9%)
4,149,541 Banco Hipotecario Nacional 144A Issue (c)(f)..... 7.916% 07/25/09 3,709,947
61,819 Bank of America Corporation...................... 8.375% 05/01/07 61,563
3,249,108 Bear Stearns Mortgage Securities, Inc............ 6.750% 04/30/30 3,035,544
1,271,387 Bear Stearns Mortgage Secutities, Inc............ 8.000% 11/25/29 1,191,925
2,744,781 Chase Manhattan Corporation...................... 6.750% 03/25/25 2,532,060
1,164,213 Chase Mortgage Finance Corporation 144A 1,085,992
Issue (d)....................................... 6.959% 08/28/24
2,839,070 Chase Mortgage Finance Corporation 144A 2,654,588
Issue (d)....................................... 6.624% 03/28/25
2,905,481 Chase Mortgage Finance Corporation 144A 2,716,683
Issue (d)....................................... 6.624% 03/28/25
1,964,766 Countrywide Home Loans........................... 7.250% 02/25/28 1,842,283
687,886 Countrywide Home Loans 144A Issue (d)............ 7.500% 03/25/27 598,619
2,850,000 CSFB Finance Company 144A Issue (c).............. 5.977% 11/15/05 2,455,452
954,620 CSFB Mortgage Securities 144A Issue (d).......... 7.760% 05/30/23 925,086
129,489 First Bank Systems............................... 2.397% 03/25/08 111,022
812,288 First Union Residential.......................... 6.985% 09/25/26 755,623
324,133 First Union Residential.......................... 6.985% 09/25/26 301,531
990,218 GE Capital Mortgage Services 144A Issue (d)...... 6.000% 10/25/08 939,212
1,026,567 GE Capital Mortgage Services 144A Issue (c)...... 6.000% 12/25/08 982,486
2,607,093 GE Capital Mortgage Services 144A Issue (d)...... 6.500% 04/25/24 2,410,753
1,087,494 GE Capital Mortgage Services, Inc. 144A 958,354
Issue (d)....................................... 6.500% 09/25/23
2,633 GE Capital Mortgage Services, Inc................ 6.750% 09/25/12 2,415
1,823,035 GE Capital Mortgage Services, Inc................ 7.000% 03/25/26 1,714,765
2,073,528 GE Capital Mortgage Services, Inc. 144A 1,946,545
Issue (d)....................................... 6.500% 04/25/24
1,821,103 GE Capital Mortgage Services, Inc. 144A 1,656,634
Issue (d)....................................... 6.500% 05/25/24
1,070,874 International Capital Markets 144A Issue (c)..... 8.250% 09/01/15 1,075,559
1,511,764 Lehman Structured Securities 144A Issue (d)...... 6.582% 04/28/24 1,398,412
3,390,665 Metropolitan Asset Funding 144A Issue (d)........ 6.980% 05/20/12 3,263,515
2,143,836 Metropolitan Asset Funding 144A Issue (d)........ 7.130% 06/20/12 2,082,201
3,139,636 Morgan Stanley Capital 144A Issue (d)............ 6.975% 06/29/26 2,915,937
2,034,811 Morgan Stanley Capital 144A Issue (d)............ 6.975% 06/29/26 1,825,606
1,548,262 Paine Webber Mortgage Acceptance Corporation..... 6.750% 01/25/24 1,426,460
618,764 Paine Webber Mortgage Acceptance Corporation..... 8.125% 07/25/09 610,033
1,702,205 Prudential Home Mortgage......................... 6.050% 04/25/24 1,563,288
3,199,070 Prudential Home Mortgage......................... 6.500% 10/25/23 3,058,119
335,312 Prudential Home Mortgage......................... 8.000% 09/25/22 335,177
273,959 Prudential Home Mortgage 144A Issue (d).......... 7.500% 08/25/07 272,903
1,000,000 Prudential Home Mortgage 144A Issue (d).......... 7.900% 04/28/22 997,400
381,095 Prudential Home Mortgage 144A Issue (d).......... 7.900% 04/28/22 379,880
3,000,000 Prudential Home Mortgage 144A Issue (d).......... 7.900% 04/28/22 2,946,360
1,462,188 Prudential Home Mortgage 144A Issue (d).......... 8.000% 06/25/22 1,445,280
1,222,156 Prudential Home Mortgage Securities 144A 1,125,544
Issue (c)....................................... 6.312% 08/28/09
908,395 Prudential Home Mortgage Securities 144A 821,979
Issue (d)....................................... 7.250% 09/25/25
1,418,398 Prudential Home Mortgage Securities 144A 1,264,431
Issue (d)....................................... 7.341% 09/28/24
919,562 Residential Funding Mortgage Securities.......... 6.500% 12/25/12 862,209
</TABLE>
See accompanying notes to investments in securities.
55
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ------------
<C> <S> <C> <C> <C>
OTHER MORTGAGE-BACKED SECURITIES--CONTINUED
$ 739,317 Residential Funding Mortgage Securities.......... 7.000% 05/25/12 $ 696,326
2,951,960 Residential Funding Mortgage Securities.......... 7.000% 09/25/23 2,802,591
979,458 Residential Funding Mortgage Securities.......... 7.000% 10/25/23 929,074
686,345 Residential Funding Mortgage Securities.......... 7.000% 10/25/27 616,543
3,741,060 Securitized Asset Sales, Inc. 144A Issue (d)..... 6.808% 11/28/23 3,335,529
858,669 Tyron Mortgage Funding........................... 7.750% 12/20/09 861,528
------------
73,500,966
------------
Total other mortgage-backed securities (cost: $113,484,962)........ 109,733,829
------------
Total long-term debt securities (cost: $138,611,461)............... 134,381,025
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
- ------
<C> <S> <C>
PREFERRED STOCK (1.2%)
FINANCIAL (1.2%)
Real Estate Investment Trust (1.2%)
39,000 Duke Realty Investment, Inc. 7.99%............... 1,706,250
-----------
Total preferred stock
(cost: $1,958,360)............................... 1,706,250
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (.9%)
$1,165,237 Provident Institutional Funds--TempFund Portfolio, current rate 1,165,237
5.480%............................................................
-----------
Total short-term securities (cost: $1,165,237)..................... 1,165,237
-----------
Total investments in securities (cost: $141,735,058) (g)........... $137,252,512
===========
</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 December 31, 1999.
(c) Represents ownership in an illiquid security. (See note 7 to the financial
statements.) Information concerning the illiquid securities held at December
31, 1999, which includes acquisition date and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
-------- ----------- -----------
<S> <C> <C>
Asset Securitization Corporation..................................... 11/05/98 $ 2,036,011
Asset Securitization Corporation 144A Issue*......................... various 1,850,331
Banco Hipotecario Nacional 144A Issue*............................... various 3,724,073
CSFB Finance Company 144A Issue*..................................... 06/28/95 2,833,875
Fortress CBO Investments I, Limited 144A Issue*...................... 12/09/99 3,430,078
GE Capital Mortgage Services 144A Issue*............................. 01/27/98 1,004,988
International Capital Markets 144A Issue*............................ various 1,035,583
New York Dorm Authority.............................................. 05/2/98 2,764,755
Prudential Home Mortgage Securities 144A Issue*...................... 05/29/98 1,139,708
-----------
$19,819,402
===========
*A 144A Issue represents a security which has not been registered with the Securities and
Exchange Commission under the Securities Act of 1933.
</TABLE>
(d) Long-term debt security sold within terms of a private placement memorandum
exempt from registration under Section 144A of the Securities Act of 1933,
as amended, and may be sold only to dealers in that program or other
"accredited investors". These securities have been determined to be liquid
under guidelines established by the Board of Directors.
(e) 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 principle
payments on the underlying mortgage assets. The rate disclosed represents
the market yield based upon the current cost basis and estimate timing and
amount of future cash flows.
56
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
Notes to Investments in Securities-continued
- ----------------------------------------------
(f) The Portfolio held 2.7% of net assets in foreign securities at December 31,
1999.
(g) At December 31, 1999 the cost of securities for federal income tax purposes
was $141,847,767. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 378,612
Gross unrealized depreciation.......... (4,973,867)
----------
Net unrealized depreciation............ $(4,595,255)
==========
</TABLE>
57
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
COMMON STOCK (98.9%)
BASIC MATERIALS (3.4%)
Agriculture Products (.1%)
32,128 Archer-Daniels-Midland Company................... $ 391,560
------------
Aluminum (.4%)
11,575 Alcan Aluminum, Ltd. (c)......................... 476,745
19,350 Alcoa, Inc....................................... 1,606,050
3,400 Reynolds Metals Company.......................... 260,525
------------
2,343,320
------------
Chemicals (1.6%)
12,050 Air Products & Chemicals, Inc.................... 404,428
5,800 BF Goodrich Company.............................. 159,500
11,650 Dow Chemical Company............................. 1,556,731
55,150 E.I. DuPont de Nemours & Company................. 3,633,006
4,125 Eastman Chemical Company......................... 196,711
6,850 Ecolab, Inc...................................... 268,006
6,637 Engelhard Corporation............................ 125,273
1,600 FMC Corporation (b).............................. 91,700
3,000 Great Lakes Chemical Corporation................. 114,562
5,600 Hercules, Inc.................................... 156,100
5,500 International Flavors & Fragrance, Inc........... 207,625
33,550 Monsanto Company................................. 1,195,219
9,200 PPG Industries, Inc.............................. 575,575
8,350 Praxair, Inc..................................... 420,109
11,531 Rohm and Haas Company............................ 469,167
5,350 Sigma-Aldrich.................................... 160,834
7,050 Union Carbide Corporation (b).................... 470,587
3,750 W.R. Grace & Company............................. 52,031
------------
10,257,164
------------
Construction ( -- )
5,300 Vulcan Materials................................. 211,669
------------
Iron and Steel (.1%)
4,931 Allegheny Teledyne, Inc.......................... 110,639
6,900 Bethlehem Steel Corporation (b).................. 57,787
4,600 Nucor Corporation................................ 252,137
4,640 USX--U.S. Steel Group, Inc....................... 153,120
4,700 Worthington Industries........................... 77,844
------------
651,527
------------
Mining (.2%)
20,825 Barrick Gold Corporation (c)..................... 368,342
8,550 Freeport-McMoran Copper & Gold, Inc. (b)......... 180,619
13,750 Homestake Mining Company......................... 107,422
10,050 Inco, Ltd. (b)(c)................................ 236,175
8,772 Newmont Mining Corporation....................... 214,914
4,275 Phelps Dodge Corporation......................... 286,959
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
BASIC MATERIALS--CONTINUED
17,200 Placer Dome, Inc. (c)............................ $ 184,900
------------
1,579,331
------------
Paper and Forest (1.0%)
2,700 Bemis Company, Inc............................... 94,162
3,016 Boise Cascade Corporation........................ 122,148
5,100 Champion International........................... 315,881
11,425 Fort James Corporation........................... 312,759
9,000 Georgia-Pacific Corporation...................... 456,750
21,900 International Paper Company...................... 1,235,981
28,775 Kimberly Clark Corporation....................... 1,877,569
5,550 Louisiana-Pacific Corporation.................... 79,087
5,400 Mead Corporation................................. 234,562
1,550 Potlatch Corporation............................. 69,169
3,000 Temple-Inland, Inc............................... 197,812
5,300 Westvaco Corporation............................. 172,912
12,450 Weyerhaeuser Company............................. 894,066
5,900 Willamette Industries, Inc....................... 273,981
------------
6,336,839
------------
CAPITAL GOODS (8.1%)
Aerospace/Defense (1.3%)
10,650 General Dynamics Corporation..................... 561,787
41,831 Honeywell International, Inc..................... 2,413,126
20,838 Lockheed Martin Corporation...................... 455,831
3,700 Northrop Grumman Corporation..................... 200,031
17,800 Raytheon Company (b)............................. 472,812
10,050 Rockwell International Corporation............... 481,144
7,850 Textron, Inc..................................... 601,997
49,380 The Boeing Company............................... 2,052,356
25,300 United Technologies Corporation.................. 1,644,500
------------
8,883,584
------------
Containers--Metal/Glass (.1%)
1,600 Ball Corporation................................. 63,000
6,350 Crown Cork & Seal Company, Inc................... 142,081
7,925 Owens-Illinois, Inc. (b)......................... 198,620
------------
403,701
------------
Electrical Equipment (5.0%)
40,287 CBS Corporation (b).............................. 2,575,850
5,000 Cooper Industries, Inc........................... 202,187
22,950 Emerson Electric Company......................... 1,316,756
173,350 General Electric Company......................... 26,825,912
8,275 Molex, Inc....................................... 469,089
15,475 Solectron Corporation (b)........................ 1,472,059
8,350 Thermo Electron Corporation (b).................. 125,250
------------
32,987,103
------------
</TABLE>
See accompanying notes to investments in securities.
58
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
CAPITAL GOODS--CONTINUED
Engineering/Construction (.2%)
18,750 Caterpillar, Inc................................. $ 882,422
4,000 Fluor Corporation................................ 183,500
2,100 Foster Wheeler Corporation....................... 18,637
------------
1,084,559
------------
Machinery (.2%)
1,200 Briggs & Stratton Corporation.................... 64,350
1,900 Cincinnati Milacron, Inc......................... 29,212
12,300 Deere & Company.................................. 533,512
10,750 Dover Corporation................................ 487,781
8,650 Ingersoll Rand Company........................... 476,291
400 NACCO Industries, Inc............................ 22,225
------------
1,613,371
------------
Manufacturing (.9%)
6,000 Avery Dennison Corporation....................... 437,250
15,900 Illinois Tool Works, Inc......................... 1,074,244
4,500 Johnson Controls................................. 255,937
2,400 Millipore Corporation............................ 92,700
2,100 National Service Industries, Inc................. 61,950
6,549 Pall Corporation................................. 141,213
5,925 Parker Hannifin Corporation...................... 304,027
4,412 Sealed Air (b)................................... 228,597
89,212 Tyco International Ltd. (c)...................... 3,468,117
------------
6,064,035
------------
Metal Fabrication ( -- )
3,250 Timken Company................................... 66,422
------------
Office Equipment (.2%)
7,800 Ikon Office Solutions, Inc....................... 53,137
6,800 Lexmark International Group, Inc. (b)............ 615,400
14,025 Pitney Bowes, Inc................................ 677,583
------------
1,346,120
------------
Trucks and Parts (.1%)
2,200 Cummins Engine Company, Inc...................... 106,287
3,350 Navistar International Corporation (b)........... 158,706
4,180 Paccar, Inc...................................... 185,226
------------
450,219
------------
Waste Management (.1%)
9,950 Allied Waste Industries, Inc. (b)................ 87,684
32,680 Waste Management, Inc............................ 561,688
------------
649,372
------------
COMMUNICATION SERVICES (8.8%)
Cellular (.3%)
19,200 Nextel Communications, Inc. (b).................. 1,980,000
------------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
COMMUNICATION SERVICES--CONTINUED
Telecommunication (3.0%)
149,962 MCI Worldcom, Inc. (b)........................... $ 7,957,359
34,900 Qualcomm, Inc. (b)............................... 6,146,762
46,050 Sprint Corporation............................... 3,099,741
22,775 Sprint Corporation PCS (b)....................... 2,334,437
------------
19,538,299
------------
Telephone (5.5%)
16,600 Alltel Corporation............................... 1,372,612
168,777 AT&T Corporation................................. 8,565,431
82,068 Bell Atlantic Corporation........................ 5,052,311
99,450 Bellsouth Corporation............................ 4,655,503
7,400 CenturyTel, Inc.................................. 350,575
40,100 Global Crossing Ltd. (b)(c)...................... 2,005,000
51,350 GTE Corporation.................................. 3,623,384
180,244 SBC Communications, Inc.......................... 8,786,895
26,753 US West, Inc..................................... 1,926,219
------------
36,337,930
------------
CONSUMER CYCLICAL (9.6%)
Auto (1.2%)
4,000 Cooper Tire & Rubber Company..................... 62,250
8,659 Dana Corporation................................. 259,229
7,550 Danaher Corporation.............................. 364,287
29,799 Delphi Automotive Systems Corporation............ 469,334
3,900 Eaton Corporation................................ 283,237
63,825 Ford Motor Company............................... 3,410,648
33,825 General Motors Corporation....................... 2,458,655
8,200 Goodyear Tire & Rubber Company................... 231,137
4,650 ITT Industries, Inc.............................. 155,484
3,075 Snap-On, Inc..................................... 81,680
6,450 TRW, Inc......................................... 334,997
------------
8,110,938
------------
Building Materials (.2%)
2,100 Armstrong World Industries, Inc.................. 70,087
3,050 Centex Corporation............................... 75,297
3,450 Crane Company.................................... 68,569
1,700 Fleetwood Enterprises, Inc....................... 35,062
788 Huttig Building Products, Inc. (b)............... 3,891
2,500 Kaufman & Broad Home Corporation................. 60,469
23,600 Masco Corporation................................ 598,850
2,800 Owens Corning.................................... 54,075
2,200 Pulte Corporation................................ 49,500
------------
1,015,800
------------
Distribution Durables ( -- )
9,350 Genuine Parts Company............................ 231,997
------------
</TABLE>
See accompanying notes to investments in securities.
59
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Hardware and Tools (.1%)
4,600 Black & Decker................................... $ 240,350
4,700 The Stanley Works................................ 141,587
------------
381,937
------------
Houseware (.4%)
12,950 Corning, Inc..................................... 1,669,741
10,350 Leggett & Platt, Inc............................. 221,878
4,450 Maytag Corporation............................... 213,600
3,900 Whirlpool Corporation............................ 253,744
------------
2,358,963
------------
Leisure (.1%)
4,850 Brunswick Corporation............................ 107,912
10,200 Hasbro, Inc...................................... 194,438
22,141 Mattel, Inc...................................... 290,601
------------
592,951
------------
Lodging--Hotel (.1%)
19,475 Hilton Hotels Corporation........................ 187,447
13,150 Marriott International, Inc...................... 415,047
------------
602,494
------------
Photography/Imagery (.3%)
16,700 Eastman Kodak Company............................ 1,106,375
2,350 Polaroid Corporation............................. 44,209
35,050 Xerox Corporation................................ 795,197
------------
1,945,781
------------
Publishing (.6%)
4,700 Dow Jones & Company, Inc......................... 319,600
14,750 Gannett Company.................................. 1,203,047
4,425 Knight Ridder, Inc............................... 263,287
2,750 Meredith Corporation............................. 114,641
9,050 New York Times Company........................... 444,581
6,600 R.R. Donnelley & Sons Company.................... 163,762
10,350 The McGraw-Hill Companies, Inc................... 637,819
3,150 The Times Mirror Company......................... 211,050
12,550 Tribune Company.................................. 691,034
------------
4,048,821
------------
Retail (6.0%)
3,400 American Greetings Corporation................... 80,325
7,625 Autozone, Inc. (b)............................... 246,383
7,350 Bed Bath & Beyond, Inc. (b)...................... 255,412
10,800 Best Buy Company, Inc. (b)....................... 542,025
10,750 Circuit City Stores, Inc......................... 484,422
5,800 Consolidated Stores Corporation (b).............. 94,250
11,700 Costco Companies, Inc. (b)....................... 1,067,625
23,250 Dayton Hudson Corporation........................ 1,707,422
5,650 Dillards, Inc.................................... 114,059
14,037 Dollar General Corporation....................... 319,342
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
11,050 Federated Department Stores (b).................. $ 558,716
45,225 Gap, Inc......................................... 2,080,350
3,700 Harcourt General, Inc............................ 148,925
121,645 Home Depot, Inc.................................. 8,340,285
13,725 J. C. Penney Company............................. 273,642
1,700 Jostens, Inc..................................... 41,331
26,050 K Mart Corporation (b)........................... 262,128
8,650 Kohl's Corporation (b)........................... 624,422
20,200 Lowe's Companies, Inc............................ 1,206,950
17,600 May Department Stores Company.................... 567,600
14,800 Nike, Inc........................................ 733,525
7,300 Nordstrom, Inc................................... 191,169
17,375 Office Depot, Inc. (b)........................... 190,039
2,700 Pep Boys......................................... 24,637
2,950 Reebok International, Ltd. (b)................... 24,153
19,950 Sears, Roebuck & Company......................... 607,228
8,750 Sherwin-Williams Company......................... 183,750
24,500 Staples, Inc. (b)................................ 508,375
10,250 Tandy Corporation................................ 504,172
11,350 The Limited, Inc................................. 491,597
16,375 TJX Companies, Inc............................... 334,664
12,925 Toys "R"Us, Inc.................................. 184,989
235,100 Wal-Mart Stores, Inc............................. 16,251,287
------------
39,245,199
------------
Service (.5%)
37,557 Cendant Corporation (b).......................... 997,608
7,450 Equifax, Inc..................................... 175,541
6,800 Harrah's Entertainment (b)....................... 179,775
14,825 Interpublic Group Company........................ 855,217
10,200 Mirage Resorts, Inc. (b)......................... 156,187
9,400 Omnicom Group, Inc............................... 940,000
6,050 Quintiles Transnational (b)...................... 113,059
14,300 Service Corporation International................ 99,206
------------
3,516,593
------------
Textiles (.1%)
3,100 Liz Claiborne, Inc............................... 116,637
1,700 Russell Corporation.............................. 28,475
900 Springs Industries, Inc.......................... 35,944
6,200 V.F. Corporation................................. 186,000
------------
367,056
------------
CONSUMER STAPLES (10.8%)
Beverage (2.1%)
2,000 Adolph Coors Company............................. 105,000
24,575 Anheuser-Busch Companies, Inc.................... 1,741,753
3,600 Brown-Forman, Inc................................ 206,100
22,400 Coca-Cola Enterprises, Inc....................... 450,800
76,900 PepsiCo, Inc..................................... 2,710,725
22,900 Seagram Company, Ltd. (c)........................ 1,029,069
</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>
CONSUMER STAPLES--CONTINUED
130,500 The Coca-Cola Company............................ $ 7,601,625
------------
13,845,072
------------
Broadcasting (.9%)
17,900 Clear Channel Communications (b)................. 1,597,575
39,700 Comcast Corporation.............................. 2,007,331
32,325 MediaOne Group, Inc. (b)......................... 2,482,964
------------
6,087,870
------------
Entertainment (1.8%)
32,600 Carnival Corporation............................. 1,558,687
67,975 Time Warner, Inc................................. 4,923,939
36,810 Viacom, Inc. (b)................................. 2,224,704
108,946 Walt Disney Company.............................. 3,186,670
------------
11,894,000
------------
Food (1.4%)
14,700 Best Foods....................................... 772,669
22,600 Campbell Soup Company............................ 874,337
26,000 Conagra, Inc..................................... 586,625
16,050 General Mills, Inc............................... 573,787
18,900 H.J. Heinz Company............................... 752,456
7,300 Hershey Foods Corporation........................ 346,750
21,350 Kellogg Company.................................. 657,847
17,000 Ralston-Ralston Purina Group..................... 473,875
17,150 RJR Nabisco Holdings Corporation................. 182,219
48,000 Sara Lee Corporation............................. 1,059,000
7,100 The Quaker Oats Company.......................... 465,937
30,192 Unilever NV (c).................................. 1,643,577
6,100 Wm. Wrigley Jr. Company.......................... 505,919
------------
8,894,998
------------
Food & Health (.1%)
17,400 SYSCO Corporation................................ 688,388
------------
Household Products (2.3%)
12,500 Clorox Company................................... 629,688
30,800 Colgate-Palmolive Company........................ 2,002,000
56,675 Gillette Company................................. 2,334,302
21,200 Minnesota Mining and Manufacturing Company....... 2,074,950
14,835 Newell Rubbermaid, Inc........................... 430,215
9,000 Pactiv Corporation (b)........................... 95,625
69,443 Procter & Gamble Company......................... 7,608,349
2,950 Tupperware Corporation........................... 49,966
------------
15,225,095
------------
Personal Care (.1%)
2,900 Alberto-Culver Company........................... 74,856
12,800 Avon Products.................................... 422,400
------------
497,256
------------
Restaurants (.5%)
6,900 Darden Restaurants, Inc.......................... 125,063
71,500 McDonald's Corporation........................... 2,882,344
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
8,130 Tricon Global Restaurants, Inc. (b).............. $ 314,021
6,300 Wendy's International, Inc....................... 129,938
------------
3,451,366
------------
Retail (.8%)
22,367 Albertson's, Inc................................. 721,336
20,650 CVS Corporation.................................. 824,709
43,900 Kroger Company (b)............................... 828,613
2,000 Longs Drug Stores Corporation.................... 51,625
13,600 Rite Aid Corporation............................. 152,150
26,875 Safeway, Inc. (b)................................ 955,742
7,350 Supervalu, Inc................................... 147,000
2,000 The Great Atlantic & Pacific..................... 55,750
53,000 Walgreen Company................................. 1,550,250
7,850 Winn-Dixie Stores, Inc........................... 187,909
------------
5,475,084
------------
Service (.3%)
33,025 Automatic Data Processing, Inc................... 1,779,222
7,550 Ceridian Corporation (b)......................... 162,797
3,875 Deluxe Corporation............................... 106,320
------------
2,048,339
------------
Tobacco (.5%)
8,675 Fortune Brands, Inc.............................. 286,817
125,000 Philip Morris Companies, Inc..................... 2,898,438
9,025 UST, Inc......................................... 227,317
------------
3,412,572
------------
ENERGY (5.4%)
Oil (4.4%)
4,800 Amerada Hess Corporation......................... 272,400
34,650 Chevron Corporation.............................. 3,001,556
33,075 Conoco, Inc...................................... 822,741
182,454 Exxon Corporation................................ 14,698,950
19,400 Occidental Petroleum Corporation................. 419,525
13,400 Phillips Petroleum Company....................... 629,800
113,300 Royal Dutch Petroleum Company (c)................ 6,847,569
29,200 Texaco, Inc...................................... 1,585,925
12,750 Unocal Corporation............................... 427,922
16,350 USX--Marathon Group.............................. 403,641
------------
29,110,029
------------
Oil & Gas (1.0%)
6,750 Anadarko Petroleum Corporation................... 230,344
6,050 Apache Corporation............................... 223,472
3,800 Ashland, Inc..................................... 125,163
17,100 Atlantic Richfield Company....................... 1,479,150
17,300 Baker Hughes, Inc................................ 364,381
11,480 Burlington Resources, Inc........................ 379,558
</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>
ENERGY--CONTINUED
1,400 Eastern Enterprises.............................. $ 80,413
23,300 Halliburton Company.............................. 937,825
4,603 Kerr-McGee Corporation........................... 285,386
3,100 McDermott International, Inc..................... 28,094
4,300 Rowan Company (b)................................ 93,256
29,100 Schlumberger, Ltd................................ 1,636,875
4,700 Sunoco, Inc...................................... 110,450
7,600 Tosco Corporation................................ 206,625
5,700 Transocean Offshore, Inc......................... 192,019
13,300 Union Pacific Resources Group.................... 169,575
------------
6,542,586
------------
FINANCIAL (13.1%)
Auto Finance (.3%)
48,369 Fleet Financial Group, Inc....................... 1,683,846
------------
Banks (4.6%)
20,650 AmSouth Bancorporation........................... 398,803
90,203 Bank of America Corporation...................... 4,527,041
38,850 Bank of New York Company, Inc.................... 1,554,000
60,579 Bank One Corporation............................. 1,942,314
17,475 BB&T Corporation................................. 478,378
43,568 Chase Manhattan Corporation...................... 3,384,689
8,300 Comerica, Inc.................................... 387,506
16,325 Fifth Third Bancorp.............................. 1,197,847
52,183 First Union Corporation.......................... 1,712,255
51,775 Firstar Corporation.............................. 1,093,747
12,099 Huntington Bancshares, Inc....................... 288,864
9,150 J.P. Morgan & Company, Inc....................... 1,158,619
23,625 KeyCorp.......................................... 522,703
26,875 Mellon Bank Corporation.......................... 915,430
32,550 National City Corporation........................ 771,028
11,800 Northern Trust Corporation....................... 625,400
6,225 Old Kent Financial Corporation................... 220,209
15,525 PNC Bank Corporation............................. 690,863
11,550 Regions Financial Corporation.................... 290,194
4,200 Republic New York Corporation.................... 302,400
8,850 Southtrust Corporation........................... 334,641
8,450 State Street Corporation......................... 617,378
9,225 Summit Bancorp................................... 282,516
16,900 Suntrust Banks, Inc.............................. 1,162,931
14,775 Synovus Financial Corporation.................... 293,653
38,434 U.S. Bancorp..................................... 915,210
7,450 Union Planters Corporation....................... 293,809
10,700 Wachovia Corporation............................. 727,600
86,760 Wells Fargo Company.............................. 3,508,358
------------
30,598,386
------------
Commercial Finance ( -- )
8,460 Dun & Bradstreet Corporation..................... 249,570
------------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
FINANCIAL--CONTINUED
Consumer Finance (1.2%)
23,650 American Express Company......................... $ 3,931,813
38,478 Associates First Capital Corporation............. 1,055,740
10,450 Capital One Financial Corporation................ 503,559
24,843 Household International, Inc..................... 925,397
42,331 MBNA Corporation................................. 1,153,506
8,400 SILM Holding Corporation......................... 354,900
------------
7,924,915
------------
Finance--Diversified (1.0%)
13,056 American General Corporation..................... 990,624
36,725 Federal Home Loan Mortgage Corporation........... 1,728,370
54,200 Federal National Mortgage Association............ 3,384,113
5,575 MGIC Investment Corporation...................... 335,545
------------
6,438,652
------------
Insurance (4.4%)
7,905 Aetna, Inc....................................... 441,198
14,100 AFLAC, Inc....................................... 665,344
42,539 Allstate Corporation............................. 1,020,936
81,850 American International Group..................... 8,850,031
13,550 Aon Corporation.................................. 542,000
9,350 Chubb Corporation................................ 526,522
9,800 Cigna Corporation................................ 789,513
8,650 Cincinnati Financial Corporation................. 269,772
178,146 Citigroup, Inc................................... 9,898,237
17,282 Conseco, Inc..................................... 308,916
5,500 Jefferson-Pilot Corporation...................... 375,375
10,325 Lincoln National Corporation..................... 413,000
5,600 Loews Corporation................................ 339,850
14,100 Marsh & McLennen Companies, Inc.................. 1,349,194
5,300 MBIA, Inc........................................ 279,906
3,900 Progressive Corporation.......................... 285,188
7,500 Providian Financial Corporation.................. 682,969
6,800 Safeco Corporation............................... 169,150
12,017 St. Paul Companies, Inc.......................... 404,834
11,700 The Hartford Financial Services Group, Inc....... 554,288
6,950 Torchmark Corporation............................ 201,984
12,656 Unum Corporation................................. 405,783
3,375 Wellpoint Health Networks, Inc. (b).............. 222,539
------------
28,996,529
------------
Investment Bankers/Brokers (1.4%)
6,307 Bear Stearns Companies........................... 269,624
43,300 Charles Schwab Corporation....................... 1,661,638
13,250 Franklin Resources, Inc.......................... 424,828
</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>
FINANCIAL--CONTINUED
6,350 Lehman Brothers Holdings, Inc.................... $ 537,766
19,600 Merrill Lynch & Co., Inc......................... 1,636,600
29,430 Morgan Stanley Dean Witter & Company............. 4,201,133
7,525 Paine Webber Group, Inc.......................... 292,064
6,300 T. Rowe Price Associates......................... 232,706
------------
9,256,359
------------
Savings and Loans (.2%)
8,525 Golden West Financial Corporation................ 285,588
30,480 Washington Mutual, Inc........................... 792,480
------------
1,078,068
------------
Service ( -- )
5,200 H & R Block, Inc................................. 227,500
------------
Public Finance ( -- )
5,950 Countrywide Credit Industries.................... 150,238
------------
HEALTH CARE (8.9%)
Biotechnology (.5%)
54,000 Amgen, Inc. (b).................................. 3,243,375
------------
Drugs (5.1%)
68,950 American Home Products Corporation............... 2,719,216
104,800 Bristol-Myers Squibb Company..................... 6,726,850
14,800 Cardinal Health, Inc............................. 708,550
57,625 Eli Lilly & Company.............................. 3,832,063
123,500 Merck & Co., Inc................................. 8,282,219
204,525 Pfizer, Inc...................................... 6,634,280
27,405 Pharmacia & Upjohn, Inc.......................... 1,233,225
77,600 Schering Plough Corporation...................... 3,273,750
5,050 Watson Pharmaceuticals (b)....................... 180,853
------------
33,591,006
------------
Health Care--Diversified (2.1%)
81,225 Abbott Laboratories.............................. 2,949,483
6,900 Allergan, Inc.................................... 343,275
20,400 Healthsouth Rehabilitation Company (b)........... 109,650
73,475 Johnson & Johnson................................ 6,842,359
45,375 Warner-Lambert Company........................... 3,717,914
------------
13,962,681
------------
Hospital Management (.2%)
29,756 Columbia/HCA Healthcare Corporation.............. 872,223
16,450 Tenet Healthcare Corporation (b)................. 386,575
------------
1,258,798
------------
Managed Care (.1%)
8,850 Humana, Inc. (b)................................. 72,459
5,425 Manor Care, Inc. (b)............................. 86,800
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
HEALTH CARE--CONTINUED
14,799 McKesson HBOC, Inc............................... $ 333,902
8,975 United Health Care Corporation................... 476,797
------------
969,958
------------
Medical Products/Supplies (.9%)
5,400 Alza Corporation (b)............................. 186,975
3,100 Bausch & Lomb, Inc............................... 212,156
15,350 Baxter International, Inc........................ 964,172
13,150 Becton Dickinson & Company....................... 351,763
5,950 Biomet, Inc...................................... 238,000
21,900 Boston Scientific Corporation (b)................ 479,063
2,700 C.R. Bard, Inc................................... 143,100
3,000 Fresenius Medical Care (b)....................... 30
16,250 Guidant Corporation (b).......................... 763,750
3,650 Mallinckrodt, Inc................................ 116,116
63,150 Medtronic, Inc................................... 2,301,028
4,450 St. Jude Medical, Inc. (b)....................... 136,559
------------
5,892,712
------------
TECHNOLOGY (27.9%)
18,225 3 Com Corporation (b)............................ 856,575
5,450 Adaptec, Inc. (b)................................ 271,819
7,900 ADC Telecomm, Inc. (b)........................... 573,244
6,350 Adobe Systems, Inc............................... 427,038
7,750 Advanced Micro Devices, Inc. (b)................. 224,266
118,100 America Online, Inc. (b)......................... 8,909,169
9,250 Analog Devices, Inc. (b)......................... 860,250
4,300 Andrew Corporation (b)........................... 81,431
8,550 Apple Computer, Inc. (b)......................... 879,047
20,000 Applied Materials, Inc. (b)...................... 2,533,750
3,225 Autodesk, Inc.................................... 108,844
12,800 BMC Software, Inc. (b)........................... 1,023,200
9,525 Cabletron Systems, Inc. (b)...................... 247,650
172,825 Cisco Systems, Inc. (b).......................... 18,513,878
4,800 Citrix Systems, Inc. (b)......................... 590,400
89,814 Compaq Computer Corporation...................... 2,430,591
28,487 Computer Associates International................ 1,992,310
8,800 Computer Sciences Corporation (b)................ 832,700
18,900 Compuware Corporation (b)........................ 704,025
3,800 Comverse Technology (b).......................... 550,050
134,250 Dell Computer Corporation (b).................... 6,846,750
2,400 PerkinElmer, Inc................................. 100,050
24,875 Electronic Data Systems Corporation.............. 1,665,070
53,763 EMC Corporation (b).............................. 5,873,553
22,150 First Data Corporation........................... 1,092,272
16,725 Gateway, Inc. (b)................................ 1,205,245
9,200 General Instrument Corporation (b)............... 782,000
53,850 Hewlett-Packard Company.......................... 6,135,534
</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>
TECHNOLOGY--CONTINUED
16,250 IMS Health, Inc.................................. $ 441,797
177,725 Intel Corporation................................ 14,628,989
95,250 International Business Machines.................. 10,287,000
4,800 KLA-Tencor Corporation (b)....................... 534,600
7,900 LSI Logic Corporation (b)........................ 533,250
165,535 Lucent Technologies, Inc......................... 12,384,087
14,250 Micron Technology, Inc. (b)...................... 1,107,938
274,525 Microsoft Corporation (b)........................ 32,050,794
32,200 Motorola, Inc.................................... 4,741,450
9,050 National Semiconductor Corporation (b)........... 387,453
8,000 Network Appliance, Inc. (b)...................... 664,500
70,575 Nortel Networks Corporation (c).................. 7,128,075
17,575 Novell, Inc. (b)................................. 701,902
75,212 Oracle Corporation (b)........................... 8,428,445
14,250 Parametric Technology Corporation (b)............ 385,641
13,000 Paychex, Inc..................................... 520,000
12,975 Peoplesoft, Inc. (b)............................. 276,530
5,500 PE Corp-PE Biosystems Group...................... 661,719
4,150 Scientific-Atlanta, Inc.......................... 230,844
11,000 Seagate Technology, Inc. (b)..................... 512,188
1,400 Shared Medical Systems........................... 71,313
9,700 Silicon Graphics, Inc. (b)....................... 95,181
82,525 Sun Microsystems, Inc. (b)....................... 6,390,530
2,500 Tektronix, Inc................................... 97,188
21,250 Tellabs, Inc. (b)................................ 1,363,984
9,025 Teradyne, Inc. (b)............................... 595,650
42,375 Texas Instruments, Inc........................... 4,105,078
3,000 Thomas & Betts Corporation....................... 95,625
16,375 Unisys Corporation (b)........................... 522,977
4,900 WW Grainger, Inc................................. 234,281
16,900 Xilinx, Inc. (b)................................. 768,421
13,925 Yahoo! Inc. (b).................................. 6,025,173
------------
183,283,314
------------
TRANSPORTATION (.7%)
Air Freight (.1%)
15,750 Federal Express Corporation (b).................. 644,766
------------
Airlines (.2%)
7,825 AMR Corporation (b).............................. 524,275
7,025 Delta Air Lines, Inc............................. 349,933
26,575 Southwest Airlines Company....................... 430,183
3,700 US Airways Group, Inc. (b)....................... 118,631
------------
1,423,022
------------
Railroads (.4%)
24,144 Burlington Northern Santa Fe Corporation......... 585,492
11,550 CSX Corporation.................................. 362,381
5,900 Kansas City Southern Industries.................. 440,288
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
TRANSPORTATION--CONTINUED
20,050 Norfolk Southern Corporation..................... $ 411,025
13,150 Union Pacific Corporation........................ 573,669
------------
2,372,855
------------
Trucking ( -- )
3,375 Ryder System, Inc................................ 82,477
------------
UTILITIES (2.2%)
Electric Companies (1.6%)
10,900 AES Corporation (b).............................. 814,775
7,250 Ameren Corporation............................... 237,438
10,250 American Electric Power Company.................. 329,281
7,900 Baltimore Gas & Electric Company................. 229,100
8,450 Carolina Power & Light Company................... 257,197
11,150 Central & Southwest Corporation.................. 223,000
8,382 Cinergy Corporation.............................. 202,216
6,100 CMS Energy Corporation........................... 190,244
11,700 Consolidated Edison, Inc......................... 403,650
10,050 Dominion Resources, Inc.......................... 394,463
7,600 DTE Energy Company............................... 238,450
19,350 Duke Energy Corporation.......................... 969,919
18,350 Edison International............................. 480,541
13,050 Entergy Corporation.............................. 336,038
12,300 FirstEnergy Corporation.......................... 279,056
5,200 Florida Progress Corporation..................... 220,025
9,500 FPL Group, Inc................................... 406,719
6,525 GPU, Inc......................................... 195,342
6,100 New Century Energies, Inc........................ 185,288
9,800 Niagara Mohawk Power Corporation (b)............. 136,588
8,150 Northern States Power Company.................... 158,925
20,200 Pacific Gas & Electric Company................... 414,100
9,800 Peco Energy Company.............................. 340,550
4,450 Pinnacle West Capital Corpation.................. 136,003
7,575 PP&L Resources, Inc.............................. 173,278
11,500 Public Service Enterprise Group Incorporated..... 400,344
15,572 Reliant Energy, Inc.............................. 356,210
35,550 Southern Company................................. 835,425
14,562 Texas Utilities Company.......................... 517,861
11,500 Unicom Corporation............................... 385,250
------------
10,447,276
------------
Natural Gas (.6%)
11,300 Coastal Corporation.............................. 400,444
4,350 Columbia Gas System, Inc......................... 275,138
5,100 Consolidated Natural Gas Company................. 331,181
12,050 El Paso Energy Corporation....................... 467,691
</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>
UTILITIES--CONTINUED
37,800 Enron Corporation................................ $ 1,677,375
2,500 Nicor, Inc....................................... 81,250
1,600 Oneok, Inc....................................... 40,200
1,900 Peoples Energy Corporation....................... 63,650
12,615 Sempra Energy.................................... 219,186
22,900 The Williams Company............................. 699,881
------------
4,255,996
------------
Total common stock (cost: $319,099,204)........................ 650,799,609
------------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
DEPOSITORY RECEIPT (.7%)
31,030 Standard & Poor's Depository Receipts............ $ 4,557,531
------------
Total depository receipt (cost: $3,911,498).................... 4,557,531
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (.5%)
$ 3,404,713 Provident Institutional Funds--TempFund Portfolio, current rate 3,404,713
5.480%............................................................
-----------
Total short-term securities (cost: $3,404,713)..................... 3,404,713
-----------
Total investments in securities (cost: $326,415,415)(d)............ $658,761,853
===========
</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 December
31, 1999.
(d) At December 31, 1999 the cost of securities for federal income tax purposes
was $330,092,389. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $349,206,795
Gross unrealized depreciation.......... (20,537,331)
------------
Net unrealized appreciation............ $328,669,464
============
</TABLE>
65
<PAGE>
CAPITAL APPRECIATION PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
COMMON STOCK (99.3%)
CAPITAL GOODS (8.3%)
Electrical Equipment (8.3%)
220,200 CBS Corporation (b).............................. $ 14,079,037
77,600 General Electric Company......................... 12,008,600
126,850 Solectron Corporation (b)........................ 12,066,606
------------
38,154,243
------------
COMMUNICATION SERVICES (6.8%)
Cellular (1.6%)
145,250 Vodafone AirTouch PLC (c)........................ 7,189,875
------------
Telecommunication (5.2%)
144,800 Amdocs Limited (b)............................... 4,995,600
216,900 MCI Worldcom, Inc. (b)........................... 11,509,256
41,800 Qualcomm, Inc. (b)............................... 7,362,025
------------
23,866,881
------------
CONSUMER CYCLICAL (8.1%)
Retail (8.1%)
247,647 Home Depot, Inc.................................. 16,979,297
127,800 Lowe's Companies, Inc............................ 7,636,050
270,700 Staples, Inc. (b)................................ 5,617,025
97,600 Wal-Mart Stores, Inc............................. 6,746,600
------------
36,978,972
------------
CONSUMER STAPLES (9.7%)
Broadcasting (3.5%)
104,500 AMFM Inc. (b).................................... 8,177,125
85,857 Clear Channel Communications (b)................. 7,662,737
------------
15,839,862
------------
Entertainment (3.7%)
216,600 Carnival Corporation............................. 10,356,187
88,200 Time Warner, Inc................................. 6,388,987
------------
16,745,174
------------
Retail (2.5%)
287,700 CVS Corporation.................................. 11,490,019
------------
FINANCIAL (6.4%)
Banks (1.5%)
172,500 Wells Fargo Company.............................. 6,975,469
------------
Consumer Finance (1.7%)
277,750 MBNA Corporation................................. 7,568,688
------------
Finance--Diversified (1.7%)
123,300 Federal National Mortgage Association............ 7,698,544
------------
Insurance (1.5%)
74,100 Providian Financial Corporation.................. 6,747,731
------------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
HEALTH CARE (2.2%)
Drugs (.7%)
69,200 Cardinal Health, Inc............................. $ 3,312,950
------------
Medical Products/Supplies (1.5%)
186,200 Medtronic, Inc................................... 6,784,662
------------
TECHNOLOGY (50.9%)
48,000 Agilent Technologies, Inc. (b)................... 3,711,000
206,800 America Online, Inc. (b)......................... 15,600,475
56,800 Apple Computer, Inc. (b)......................... 5,839,750
30,800 BEA Systems, Inc. (b)............................ 2,154,075
36,100 BMC Software, Inc. (b)........................... 2,885,744
13,500 Brocade Communication Systems, Inc. (b).......... 2,389,500
190,950 Cisco Systems, Inc. (b).......................... 20,455,519
59,800 Comverse Technology (b).......................... 8,656,050
151,000 Dell Computer Corporation (b).................... 7,701,000
196,400 EMC Corporation (b).............................. 21,456,700
230,000 Fiserv (b)....................................... 8,811,875
98,300 General Instrument Corporation (b)............... 8,355,500
301,500 IMS Health, Inc.................................. 8,197,031
141,400 Intel Corporation................................ 11,638,987
50,600 JDS Uniphase Corporation (b)..................... 8,162,413
58,700 Legato Systems, Inc. (b)......................... 4,039,294
61,300 Linear Technology Corporation.................... 4,386,781
177,700 Microsoft Corporation (b)........................ 20,746,475
14,600 Microstrategy, Inc. (b).......................... 3,066,000
82,100 Nokia Oyj (c).................................... 15,599,000
90,500 Oracle Corporation (b)........................... 10,141,656
100,200 Sun Microsystems, Inc. (b)....................... 7,759,238
108,300 Synopsys, Inc. (b)............................... 7,229,025
178,900 Tellabs, Inc. (b)................................ 11,483,144
46,300 Texas Instruments, Inc........................... 4,485,313
11,700 VeriSign, Inc. (b)............................... 2,233,969
39,600 VERITAS Software Corporation (b)................. 5,667,750
------------
232,853,264
------------
TRANSPORTATION (2.0%)
Railroads (2.0%)
125,600 Kansas City Southern Industries.................. 9,372,900
------------
UTILITIES (4.9%)
Electric Companies (2.9%)
178,500 AES Corporation (b).............................. 13,342,875
------------
Natural Gas (2.0%)
207,900 Enron Corporation................................ 9,225,563
------------
Total common stock (cost: $282,749,148)....................... 454,147,672
------------
</TABLE>
See accompanying notes to investments in securities.
66
<PAGE>
CAPITAL APPRECIATION PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ---------------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (1.0%)
$4,751,748 Provident Institutional Funds--TempFund Portfolio, current rate $ 4,751,748
5.480%..............................................................
------------
Total short-term securities (cost: $4,751,748)....................... 4,751,748
------------
Total investments in securities (cost: $287,500,896) (d)............. $458,899,420
============
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held 5.0% of net assets in foreign securities as of December
31, 1999.
(d) At December 31, 1999 the cost of securities for federal income tax purposes
was $288,605,116. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 174,582,769
Gross unrealized depreciation.......... (4,288,465)
-------------
Net unrealized appreciation............ $ 170,294,304
=============
</TABLE>
67
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
COMMON STOCK (89.5%)
ARGENTINA (1.4%)
Telecommunication (1.4%)
167,030 Telefonica de Argentina ADR...................... $ 5,157,051
------------
AUSTRALIA (4.8%)
Air Freight (.5%)
752,100 Mayne Nickless, Ltd.............................. 1,939,852
Banks (1.5%)
742,000 Australia & New Zealand.......................... 5,396,142
Manufacturing (1.7%)
2,024,901 Pioneer International, Ltd....................... 6,099,820
Telephone (1.1%)
1,203,360 Cable & Wireless Optus 144A Issue (b)(c)......... 4,019,887
------------
17,455,701
------------
AUSTRIA (.4%)
Oil & Gas (.2%)
4,700 Evn.............................................. 709,935
Real Estate (.2%)
12,980 Boehler Uddeholm 144A Issue (c).................. 598,645
------------
1,308,580
------------
BERMUDA (1.2%)
Insurance (1.2%)
83,200 XL Capital Ltd................................... 4,316,000
------------
BRAZIL (.7%)
Telecommunication (.7%)
99,200 Telesp Part ADR.................................. 2,424,200
------------
CANADA (3.9%)
Agriculture Products (.5%)
212,200 Agrium, Inc...................................... 1,671,075
Banks (.3%)
50,000 Imperial Bank Canada............................. 1,193,359
Mining (1.3%)
185,100 Barrick Gold Corporation......................... 3,297,354
859,900 Kinross Gold Corporation (b)..................... 1,594,280
Oil & Gas (1.3%)
470,100 Ranger Oil, Ltd.................................. 1,469,062
343,100 Renaissance Energy, Ltd. (b)..................... 3,441,681
Transport Services (.5%)
321,015 Laidlaw, Inc..................................... 1,685,329
------------
14,352,140
------------
CHILE (.9%)
Electric Companies (.6%)
132,366 Gener SA......................................... 2,051,673
Telecommunication (.3%)
59,500 Cia Telecom Chile ADR............................ 1,085,875
------------
3,137,548
------------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
FINLAND (2.9%)
Banks (1.8%)
1,085,000 Merita Bank A.................................... $ 6,391,681
Paper and Forest (1.1%)
177,073 Stora Enso-Oyj................................... 3,038,844
107,500 Metsa-Serla B.................................... 1,250,316
------------
10,680,841
------------
FRANCE (8.7%)
Banks (.9%)
35,000 Banque Nationale de Paris ADR 144A Issue (c)..... 3,213,392
Chemicals (2.6%)
163,210 Aventis.......................................... 9,483,138
Investment Bankers/Brokers (1.6%)
42,227 AXA.............................................. 5,885,126
Oil & Gas (1.5%)
40,717 Total Fina....................................... 5,432,768
Telecommunication (2.1%)
97,000 Alcatel ADR...................................... 4,365,000
14,265 Alcatel Alsthom.................................. 3,275,187
------------
31,654,611
------------
GERMANY (3.0%)
Banks (1.2%)
51,166 Deutsche Bank.................................... 4,320,301
Chemicals (.7%)
49,400 Bayer............................................ 2,348,002
5,450 Celanese (b)..................................... 99,336
Electric Companies (1.1%)
79,300 Veba............................................. 3,853,009
------------
10,620,648
------------
HONG KONG (4.6%)
Aerospace/Defense (.4%)
821,900 Hong Kong Aircraft Engineering................... 1,364,018
Airlines (1.1%)
674,000 Swire Pacific A.................................. 3,980,008
Banks (1.0%)
267,042 HSBC Holdings.................................... 3,744,703
Electric Companies (.8%)
965,000 Hong Kong Electrical Holdings.................... 3,016,789
Houseware (.4%)
1,519,800 Swire Pacific B.................................. 1,339,332
Investment Bankers/Brokers ( -- )
113,000 Peregrine Investment Holdings.................... --
Real Estate (.9%)
221,000 Hutchison Whampoa................................ 3,212,788
------------
16,657,638
------------
INDONESIA (1.9%)
Mining (.8%)
114,300 AngloGold, Ltd................................... 2,936,081
</TABLE>
See accompanying notes to investments in securities.
68
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
INDONESIA--CONTINUED
Telecommunication (1.1%)
183,400 PT Indosat ADR................................... $ 3,966,025
------------
6,902,106
------------
ISRAEL (1.5%)
Drugs (1.5%)
78,700 Teva Pharmaceutical.............................. 5,641,806
------------
ITALY (.5%)
Auto (.5%)
63,976 Fiat SPA......................................... 1,826,416
------------
JAPAN (9.8%)
Drugs (.8%)
105,000 Ono Pharmaceutical............................... 2,814,793
Electrical Equipment (3.3%)
40,000 Sony Corporation................................. 11,857,940
Investment Bankers/Brokers (2.3%)
463,200 The Nomura Securities Company, Ltd............... 8,361,256
Retail (.7%)
277,000 Best Denki Company, Ltd.......................... 2,601,702
Telecommunication (1.8%)
375 NTT.............................................. 6,420,605
Water Utilities (.9%)
201,000 Kurita Water Industries Ltd...................... 3,193,660
------------
35,249,956
------------
MEXICO (2.4%)
Mining (.7%)
540,000 Grupo Mexico Series B............................ 2,680,021
Telecommunication (1.7%)
53,610 Telefonos De Mexico ADR.......................... 6,031,125
------------
8,711,146
------------
NETHERLANDS (4.7%)
Chemicals (1.1%)
76,900 Akzo Nobel....................................... 3,856,427
Electrical Equipment (2.0%)
52,440 Philips Electronics.............................. 7,128,956
Investment Bankers/Brokers (1.6%)
94,687 ING Groep........................................ 5,715,268
------------
16,700,651
------------
NEW ZEALAND (1.2%)
Telecommunication (1.2%)
909,500 Telecom Corp of New Zealand...................... 4,282,687
------------
NORWAY (1.7%)
Aluminum (.5%)
78,000 Elkem............................................ 1,800,352
Chemicals (1.2%)
106,266 Norsk Hydro...................................... 4,454,764
------------
6,255,116
------------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
PERU (.4%)
Telecommunication (.4%)
115,900 Telefonicia de Peru ADR.......................... $ 1,550,162
------------
PHILIPPINES (.4%)
Telecommunication (.4%)
54,000 Philippine Long Distance......................... 1,397,250
------------
PORTUGAL (1.0%)
Investment Bankers/Brokers (.5%)
427,800 BPI-SGPS, SA..................................... 1,822,261
Telecommunication (.5%)
183,000 Portugal Telecom................................. 2,006,820
------------
3,829,081
------------
SINGAPORE (.9%)
Air Freight (.2%)
78,000 Singapore Airlines............................... 885,937
Houseware (.2%)
448,568 Jardine Strategic Holding........................ 892,650
Paper and Forest (.5%)
226,400 Asia Pulp & Paper, Ltd. ADR...................... 1,782,900
------------
3,561,487
------------
SOUTH AFRICA (.7%)
Metal Fabrication (.7%)
78,879 Anglo American Platinum.......................... 2,401,363
------------
SOUTH KOREA (.9%)
Telecommunication (.9%)
45,900 Korea Telecom ADR................................ 3,431,025
------------
SPAIN (3.0%)
Banks (.4%)
45,800 Banco de Andalucia............................... 1,614,221
Electric Companies (1.5%)
110,000 Endesa........................................... 2,183,277
250,000 Iberdrola........................................ 3,464,080
Oil & Gas (1.1%)
171,000 Repsol........................................... 3,963,975
------------
11,225,553
------------
SWEDEN (4.5%)
Auto (1.2%)
35,000 Autoliv, Inc..................................... 1,024,402
109,900 Autoliv, Inc. ADR................................ 3,214,575
Banks (1.8%)
205,100 ForeningsSparbaken............................... 3,013,553
286,500 Svenska Handlesbanken A.......................... 3,603,392
Publishing (.2%)
114,500 Esselte.......................................... 861,368
Trucks and Parts (1.3%)
178,500 Volvo............................................ 4,615,981
------------
16,333,271
------------
SWITZERLAND (3.8%)
Banks (1.0%)
18,525 Credit Suisse Group.............................. 3,687,060
</TABLE>
See accompanying notes to investments in securities.
69
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
SWITZERLAND--CONTINUED
Electrical Equipment (.9%)
28,043 Abb, Ltd......................................... $ 3,434,395
Investment Bankers/Brokers (1.3%)
8,350 Zurich Allied.................................... 4,767,828
Telecommunication (.6%)
5,185 Swisscom......................................... 2,099,824
------------
13,989,107
------------
THAILAND (.5%)
Banks (.5%)
699,600 Bangkok Bank Public Company, Ltd................. 1,774,686
------------
UNITED KINGDOM (16.3%)
Airlines (1.5%)
832,600 British Airways.................................. 5,441,126
Auto (1.2%)
1,244,600 Rolls-Royce...................................... 4,308,386
Banks (.9%)
118,943 Barclays......................................... 3,428,606
Chemicals (2.4%)
1,775,000 Medeva........................................... 5,053,381
575,580 Nycomed Amersham................................. 3,583,417
Construction (.2%)
257,100 Hepworth......................................... 792,261
Electric Companies (.3%)
208,775 National Power................................... 1,210,706
Electrical Equipment (1.6%)
1,083,213 Invensys PLC..................................... 5,904,930
Engineering/Construction (.1%)
190,368 Fairview Holdings................................ 495,782
Food (1.6%)
554,300 J Sainsbury PLC.................................. 3,131,499
387,833 Somerfield....................................... 561,486
322,900 Tate & Lyle...................................... 2,078,845
Hardware and Tools (1.0%)
780,400 Williams PLC..................................... 3,556,741
Houseware (.2%)
690,000 Elementis........................................ 898,496
Iron and Steel (1.5%)
2,082,500 Corus Group PLC.................................. 5,423,528
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
UNITED KINGDOM--CONTINUED
Natural Gas (.6%)
738,990 Centrica PLC..................................... $ 2,097,909
Oil & Gas (1.6%)
703,100 Shell Transportation & Trading................... 5,851,584
Retail (1.0%)
534,300 Marks & Spencer.................................. 2,547,475
1,460,200 Storehouse....................................... 1,057,003
Water Utilities (.6%)
168,500 Hyder PLC........................................ 763,183
104,762 Thames Water..................................... 1,308,254
------------
59,494,598
------------
VENEZUELA (.9%)
Telecommunication (.9%)
130,900 Cia Anonima Telefonos ADR........................ 3,223,412
------------
Total common stock (cost: $259,441,453)........................ 325,545,837
------------
</TABLE>
<TABLE>
<C> <S> <C>
PREFERRED STOCK (4.6%)
BRAZIL (3.3%)
Banks (1.5%)
685,900 Banco Bradesco ADR............................... 5,419,090
Oil & Gas (1.0%)
137,900 Petrobras........................................ 3,536,859
Telecommunication (.8%)
113,800 Embratel Part ADR................................ 3,101,050
------------
12,056,999
------------
GERMANY (.1%)
Houseware (.1%)
46,192 Moebel Walther................................... 362,820
------------
ITALY (1.2%)
Telecommunication (1.2%)
694,300 Telecom Italia SPA............................... 4,229,919
------------
UNITED KINGDOM ( -- )
Water Utilities ( -- )
137,700 Hyder PLC........................................ 196,571
------------
Total preferred stock (cost: $11,094,925)...................... 16,846,309
------------
</TABLE>
See accompanying notes to investments in securities.
70
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ------------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (5.8%)
$11,417,759 Norwest Advantage Cash Investment Fund, current rate 3.97%........ $ 11,417,759
9,851,000 U.S. Treasury Bill............................... 4.48% 01/20/00 9,823,791
------------
Total short-term securities (cost: $21,245,361)................... 21,241,550
------------
Total investments in securities (cost: $291,781,739)(d)........... $363,633,696
============
</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. (See note 7 to the financial
statements.) Information concerning the illiquid securities held at December
31, 1999, which includes acquistion date and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
-------- ----------- ----------
<S> <C> <C>
Banque Nationale De Paris ADR 144A Various $1,470,320
Issue*................................
Bohler-Uddeholm 144A Issue*............ Various 824,910
Cable and Wireless Optus 144A Issue*... Various 1,413,650
----------
$3,708,880
==========
</TABLE>
* A 144A Issue represents a security which has not been registered with the
Securities and Exchange Commission under the Securities Act of 1933
(d) At December 31, 1999 the cost of securities for federal income tax purposes
was $296,867,410. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $98,063,671
Gross unrealized depreciation.......... (31,297,385)
-----------
Net unrealized appreciation............ $66,766,286
===========
</TABLE>
71
<PAGE>
SMALL COMPANY GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
COMMON STOCK (97.4%)
BASIC MATERIALS (.6%)
Agriculture Products (.6%)
50,310 NCO Group, Inc. (b).............................. $ 1,515,589
------------
CAPITAL GOODS (3.8%)
Aerospace/Defense (1.0%)
128,900 HEICO Corporation................................ 2,723,012
------------
Engineering/Construction (1.8%)
110,210 Dycom Industries, Inc. (b)....................... 4,856,128
------------
Manufacturing (1.0%)
73,940 Graco, Inc....................................... 2,652,597
------------
COMMUNICATION SERVICES (1.1%)
Cellular (.6%)
17,130 Powertel, Inc. (b)............................... 1,719,424
------------
Telecommunication (.5%)
27,200 Tut Systems, Inc. (b)............................ 1,458,600
------------
CONSUMER CYCLICAL (15.0%)
Auto (.6%)
88,650 CSK Auto Corporation (b)......................... 1,551,375
------------
Leisure (.9%)
70,500 National R V Holdings, Inc. (b).................. 1,357,125
31,840 Tweeter Home Entertainment (b)................... 1,130,320
------------
2,487,445
------------
Retail (4.8%)
19,540 Abercrombie & Fitch Company (b).................. 521,474
18,540 Accrue Software, Inc. (b)........................ 1,003,477
136,800 David's Bridal, Inc. (b)......................... 1,530,450
37,600 E-stamp Corporation (b).......................... 836,600
26,190 Kohl's Corporation (b)........................... 1,890,591
17,590 Media Metrix, Inc. (b)........................... 628,842
7,150 PlanetRx.com, Inc. (b)........................... 103,675
74,550 Steven Madden, Ltd. (b).......................... 1,421,109
46,740 Tuesday Morning Corporation (b).................. 861,769
75,550 Ultimate Electronic, Inc. (b).................... 1,869,862
36,000 ValueVision International, Inc. (b).............. 2,063,250
11,500 Webvan Group Incorporated (b).................... 189,750
------------
12,920,849
------------
Service (7.4%)
208,260 Copart, Inc...................................... 9,059,310
352,590 Fairfield Communities, Inc. (b).................. 3,790,342
118,800 Metamor Worldwide, Inc. (b)...................... 3,460,050
90,800 TeleTech Holdings, Inc. (b)...................... 3,060,241
25,800 Xpedior, Inc. (b)................................ 741,750
------------
20,111,693
------------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Textiles (1.3%)
27,200 Linens'n Things, Inc. (b)........................ $ 805,800
161,900 Tropical Sportswear International (b)............ 2,610,637
------------
3,416,437
------------
CONSUMER STAPLES (4.9%)
Broadcasting (4.7%)
19,100 Cumulus Media, Inc. (b).......................... 969,325
56,160 Salem Communications Corporation (b)............. 1,270,620
241,020 TV Guide, Inc. (b)............................... 10,363,860
------------
12,603,805
------------
Food & Health ( -- )
500 Valley Medica, Inc. (b).......................... 3,500
------------
Service (.2%)
1,130 Expedia, Inc. (b)................................ 39,550
1,632 FreeMarkets, Inc. (b)............................ 557,022
------------
596,572
------------
ENERGY (3.5%)
Oil (.5%)
210,750 Newpark Resources, Inc. (b)...................... 1,290,844
------------
Oil & Gas (3.0%)
31,000 Core Laboratories N.V. (b)(c).................... 621,937
104,360 Global Marine (b)................................ 1,734,985
21,760 Houston Exploration Company (b).................. 431,120
41,900 Louis Dreyfus Natural Gas Corporation (b)........ 759,437
32,700 Marine Drilling Companies, Inc. (b).............. 733,706
28,400 Precision Drilling Corporation (b)(c)............ 729,525
140,430 Tuboscope, Inc. (b).............................. 2,229,326
31,830 UTI Energy Corporation (b)....................... 734,079
------------
7,974,115
------------
HEALTH CARE (11.2%)
Biotechnology (4.4%)
48,200 Enzon, Inc. (b).................................. 2,090,675
28,810 Gilead Sciences, Inc. (b)........................ 1,559,341
20,580 IDEC Pharmaceuticals Corporation (b)............. 2,021,985
32,400 Maxygen, Inc. (b)................................ 2,300,400
18,200 Millennium Pharmaceuticals, Inc. (b)............. 2,220,400
23,770 Protein Design Labs, Inc. (b).................... 1,663,900
------------
11,856,701
------------
Drugs (2.5%)
65,880 Barr Laboratories, Inc. (b)...................... 2,066,985
115,440 Cygnus, Inc. (b)................................. 2,106,780
</TABLE>
See accompanying notes to investments in securities.
72
<PAGE>
SMALL COMPANY GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
HEALTH CARE--CONTINUED
57,220 United Therapeutics Corporation (b).............. $ 2,632,120
------------
6,805,885
------------
Hospital Management (1.6%)
103,600 Province Healthcare Company (b).................. 1,968,400
65,200 Universal Health Services, Inc. (b).............. 2,347,200
------------
4,315,600
------------
Medical Products/Supplies (2.7%)
22,160 Cytyc Corporation (b)............................ 1,353,145
55,040 Patterson Dental Company (b)..................... 2,346,080
147,480 Sybron International Corporation (b)............. 3,640,912
------------
7,340,137
------------
TECHNOLOGY (53.4%)
17,700 Adaptive Broadband Corporation (b)............... 1,306,481
44,717 ADC Telecomm, Inc. (b)........................... 3,244,777
34,860 Alpha Industries, Inc. (b)....................... 1,997,914
123,310 ANADIGICS, Inc. (b).............................. 5,818,691
27,680 Ancor Communications, Inc. (b)................... 1,878,780
23,980 Applied Micro Circuits Corporation (b)........... 3,051,455
32,100 Breakaway Solutions, Inc. (b).................... 2,343,300
24,700 Broadvision, Inc. (b)............................ 4,200,544
6,900 BSQUARE Corporation (b).......................... 289,369
32,100 Clarus Corporation (b)........................... 2,118,600
23,500 Complete Business Solutions, Inc. (b)............ 590,437
74,390 Cree Research, Inc. (b).......................... 6,351,046
118,670 Cymer, Inc. (b).................................. 5,458,820
12,050 Digimarc Corporation (b)......................... 602,500
28,950 DII Group, Inc. (b).............................. 2,054,544
78,210 DuPont Photomasks, Inc. (b)...................... 3,773,633
45,940 E-Tek Dynamics, Inc. (b)......................... 6,184,673
30,494 Efficient Networks, Inc. (b)..................... 2,073,592
13,900 eGain Communications Corporation (b)............. 524,725
48,600 EMCORE Corporation (b)........................... 1,652,400
2,150 Finisar Corporation (b).......................... 193,231
20,950 Galileo Technology, Ltd. (b)(c).................. 505,419
200,050 GaSonics International Corporation (b)........... 3,950,988
86,230 Genesis Microchip, Inc. (b)(c)................... 1,821,609
114,140 Global Imaging Systems, Inc. (b)................. 1,398,215
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
99,800 Harbinger Corporation (b)........................ $ 3,174,888
27,200 HNC Software, Inc. (b)........................... 2,876,400
96,710 Infinium Software, Inc. (b)...................... 658,837
20,450 InterVU, Inc. (b)................................ 2,147,250
158,760 IntraNet Solutions, Inc. (b)..................... 5,874,120
34,900 IONA Technoloiges PLC (b)(c)..................... 1,902,050
28,610 ISS Group, Inc. (b).............................. 2,034,886
23,200 Luminant Worldwide Corporation (b)............... 1,055,600
192,200 Manugistics Group, Inc. (b)...................... 6,210,463
90,960 Mastech Corporation (b).......................... 2,251,260
140,230 Maximus, Inc. (b)................................ 4,759,056
119,090 MedQuist, Inc. (b)............................... 3,074,011
5,680 Metalink Ltd. (b)(c)............................. 115,730
18,200 Microstrategy, Inc. (b).......................... 3,822,000
2,300 NetSolve, Inc. (b)............................... 72,450
7,000 NVIDIA Corporation (b)........................... 328,563
107,365 Orbotech Ltd. (b)(c)............................. 8,320,788
128,140 PairGain Technologies, Inc. (b).................. 1,817,986
73,740 Peapod, Inc. (b)................................. 636,008
77,360 Power-One, Inc. (b).............................. 3,544,055
34,800 Powerwave Technologies, Inc. (b)................. 2,031,450
2,820 Quintus Corporation (b).......................... 129,368
4,600 Retek, Inc. (b).................................. 346,150
5,880 Rudolph Technologies, Inc. (b)................... 196,980
25,780 Sapient Corporation (b).......................... 3,633,369
8,660 Sawtek, Inc. (b)................................. 576,431
50,370 Terayon Communication Systems (b)................ 3,163,866
72,920 The Bisys Group, Inc. (b)........................ 4,758,030
50,800 The viaLink Company (b).......................... 1,847,850
42,310 Transwitch Corporation (b)....................... 3,070,119
30,375 USinternetworkng, Inc. (b)....................... 2,122,453
15,900 VerticalNet, Inc. (b)............................ 2,607,600
29,010 Vitesse Semiconductor Corporation (b)............ 1,521,212
------------
144,067,022
------------
TRANSPORTATION (3.9%)
Air Freight (2.0%)
123,540 Eagle USA Airfreight, Inc. (b)................... 5,327,663
------------
Airlines (1.2%)
112,020 Skywest, Inc. (b)................................ 3,136,560
------------
Transport Services (.7%)
38,680 Preview Travel, Inc. (b)......................... 2,016,195
------------
Total common stock (cost: $164,242,076)........................ 262,747,748
------------
</TABLE>
See accompanying notes to investments in securities.
73
<PAGE>
SMALL COMPANY GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ------------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (7.3%)
$11,913,008 Provident Institutional Funds--TempFund Portfolio, current rate $ 11,913,008
5.480%............................................................
3,735,000 U.S. Treasury Bill............................... 5.140% 01/13/00 3,729,749
1,515,000 U.S. Treasury Bill............................... 5.430% 03/02/00 1,502,288
1,130,000 U.S. Treasury Bill............................... 5.435% 03/23/00 1,117,268
1,460,000 U.S. Treasury Bill............................... 5.449% 04/13/00 1,438,536
------------
Total short-term securities (cost: $19,697,440).................... 19,700,849
------------
Total investments in securities (cost: $183,939,516) (d)........... $282,448,597
============
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The portfolio held 5.2% of net assets in foreign securities as of
December 31, 1999.
(d) At December 31, 1999 the cost of securities for federal income tax purposes
was $184,411,809. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $105,629,144
Gross unrealized depreciation.......... (7,592,356)
-----------
Net unrealized appreciation............ $98,036,788
===========
</TABLE>
74
<PAGE>
MATURING GOVERNMENT BOND 2002 PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- -----------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (99.2%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (99.2%)
$1,085,000 Federal Home Loan Mortgage Corporation $ 915,689
Strip (b)....................................... 4.835% 08/15/02
1,150,000 Financial Corporation Strip (b).................. 6.273% 04/06/02 987,469
500,000 Financial Corporation Strip (b).................. 7.040% 06/27/02 422,860
360,000 Financial Corporation Strip (b).................. 6.362% 09/07/02 300,441
650,000 Financial Corporation Strip (b).................. 6.763% 08/03/03 507,532
525,000 FNMA Strip (b)................................... 7.600% 02/01/02 458,535
281,000 FNMA Strip (b)................................... 5.370% 05/29/03 224,069
425,000 FNMA Strip (b)................................... 6.367% 08/01/03 334,815
500,000 FNMA Strip (b)................................... 5.250% 08/15/03 392,860
182,000 Israel Government Trust Certificates (b)......... 7.030% 05/15/02 155,730
325,000 Israel Government Trust Certificates (b)......... 5.946% 05/15/02 278,089
250,000 Israel Government Trust Certificates (b)......... 5.530% 11/15/02 206,980
1,150,000 Tennessee Valley Authority Strip (b)............. 7.400% 04/15/03 921,390
190,000 U.S. Treasury Principal Strip (b)................ 5.868% 02/15/03 156,269
2,800,000 U.S. Treasury Strip (b).......................... 6.080% 08/15/02 2,380,473
1,750,000 U.S. Treasury Strip (b).......................... 5.818% 02/15/03 1,437,571
-----------
Total long-term debt securities (cost: $10,214,421)................ 10,080,772
-----------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (.9%)
88,690 Provident Institutional Funds--Federal Trust Fund, current rate 88,690
5.510%............................................................
----------
Total short-term securities (cost: $88,690)........................ 88,690
----------
Total investments in securities (cost: $10,303,111) (c)............ $10,169,462
==========
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(c) At December 31, 1999 the cost of securities for federal income tax purposes
was $10,309,987. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 33,821
Gross unrealized depreciation.......... (174,346)
--------
Net unrealized depreciation............ $(140,525)
========
</TABLE>
75
<PAGE>
MATURING GOVERNMENT BOND 2006 PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ---------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (99.5%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (99.5%)
$ 686,000 Financial Corporation Strip (b).................. 5.142% 11/11/06 $ 421,052
921,000 Financial Corporation Strip (b).................. 7.647% 09/07/07 530,910
810,000 FNMA Strip (b)................................... 7.620% 08/01/05 552,792
613,000 FNMA Strip (b)................................... 5.745% 04/08/07 371,183
553,000 Israel Government Trust Certificate (b).......... 7.440% 11/15/05 368,978
1,000,000 Israel State Aid Strip (b)....................... 6.578% 11/15/06 628,509
1,000,000 Resolution Funding Corporation Strip (b)......... 7.461% 07/15/07 602,879
2,775,000 U.S. Treasury Strip (b).......................... 6.432% 11/15/06 1,773,333
1,560,000 U.S. Treasury Strip (b).......................... 5.702% 02/15/07 977,978
----------
Total long-term debt securities (cost: $6,353,214)................. 6,227,614
----------
SHORT-TERM SECURITIES (.4%)
24,711 Provident Institutional Funds--Federal Trust Fund, current rate
5.510%............................................................ 24,711
----------
Total short-term securities (cost: $24,711)........................ 24,711
----------
Total investments in securities (cost: $6,377,925) (c)............. $6,252,325
==========
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(c) At December 31, 1999 the cost of securities for federal income tax purposes
was $6,412,536. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 89,797
Gross unrealized depreciation.......... (250,008)
--------
Net unrealized depreciation............ $(160,211)
========
</TABLE>
76
<PAGE>
MATURING GOVERNMENT BOND 2010 PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ----------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (99.8%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (99.8%)
$ 412,000 Financial Corporation Strip (b).................. 5.490% 11/02/10 $ 185,803
945,000 Financial Corporation Strip (b).................. 7.920% 08/08/11 401,908
719,000 FNMA Strip (b)................................... 6.000% 11/29/09 357,515
444,000 FNMA Strip (b)................................... 5.870% 05/29/10 212,493
950,000 FNMA Strip (b)................................... 5.695% 09/23/10 444,599
132,000 Israel Government Trust Certificate (b).......... 7.660% 05/15/10 63,030
515,000 Israel State Aid Strip (b)....................... 8.264% 03/15/10 253,410
1,100,000 Israel State Aid Strip (b)....................... 6.850% 08/15/11 488,553
550,000 Resolution Funding Corporation Strip (b)......... 6.537% 04/15/11 252,350
524,000 Turkey Government Trust Certificate (b).......... 6.687% 11/15/10 241,443
1,880,000 U.S. Treasury Strip (b).......................... 6.171% 05/15/10 936,257
1,150,000 U.S. Treasury Strip (b).......................... 6.635% 02/15/11 544,478
1,205,000 U.S. Treasury Strip (b).......................... 6.212% 08/15/11 550,419
----------
Total long-term debt securities (cost: $5,217,975)................. 4,932,258
----------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (.6%)
28,988 Provident Institutional Funds--Federal Trust Fund, current rate 28,988
5.510%...........................................................
---------
Total short-term securities (cost: $28,988)....................... 28,988
---------
Total investments in securities (cost: $5,246,963) (c)............ $4,961,246
=========
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(c) At December 31, 1999 the cost of securities for federal income tax purposes
was $5,275,763. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 63,799
Gross unrealized depreciation.......... (378,316)
--------
Net unrealized depreciation............ $(314,517)
========
</TABLE>
77
<PAGE>
VALUE STOCK PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
COMMON STOCK (97.4%)
BASIC MATERIALS (6.1%)
Aluminum (.6%)
14,500 Alcoa, Inc....................................... $ 1,203,500
------------
Chemicals (1.6%)
8,200 Dow Chemical Company............................. 1,095,725
30,633 E.I. DuPont de Nemours & Company................. 2,017,949
------------
3,113,674
------------
Paper and Forest (3.9%)
52,400 International Paper Company...................... 2,957,325
14,400 Kimberly Clark Corporation....................... 939,600
81,050 Mead Corporation................................. 3,520,609
------------
7,417,534
------------
CAPITAL GOODS (3.3%)
Aerospace/Defense (.7%)
30,500 The Boeing Company............................... 1,267,656
------------
Electrical Equipment (2.6%)
17,500 CBS Corporation (b).............................. 1,118,906
32,100 Emerson Electric Company......................... 1,841,737
12,900 General Electric Company......................... 1,996,275
------------
4,956,918
------------
COMMUNICATION SERVICES (16.4%)
Telecommunication (3.1%)
73,100 Sprint Corporation............................... 4,920,544
9,300 Sprint Corporation PCS (b)....................... 953,250
------------
5,873,794
------------
Telephone (13.3%)
56,200 AT&T Corporation................................. 2,852,150
12,000 Bell Atlantic Corporation........................ 738,750
90,850 Bellsouth Corporation............................ 4,252,916
118,670 GTE Corporation.................................. 8,373,652
166,410 SBC Communications, Inc.......................... 8,112,487
15,900 US West, Inc..................................... 1,144,800
------------
25,474,755
------------
CONSUMER CYCLICAL (9.4%)
Auto (3.0%)
64,065 Ford Motor Company............................... 3,423,473
12,900 General Motors Corporation....................... 937,669
93,613 Delphi Automotive Systems Corporation............ 1,474,405
------------
5,835,547
------------
Broadcasting (1.0%)
33,000 AT&T Corporation--Liberty Media Group (b)........ 1,872,750
------------
Photography/Imagery (.6%)
18,300 Eastman Kodak Company............................ 1,212,375
------------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Publishing (2.4%)
12,100 Gannett Company.................................. $ 986,906
121,595 Reader's Digest Association...................... 3,556,654
------------
4,543,560
------------
Retail (.3%)
10 Federated Department Stores (b).................. 506
8,400 Wal-Mart Stores, Inc............................. 580,650
------------
581,156
------------
Service (2.1%)
150,275 Cendant Corporation (b).......................... 3,991,680
------------
CONSUMER STAPLES (10.9%)
Beverage (1.0%)
26,300 Anheuser-Busch Companies, Inc.................... 1,864,012
------------
Broadcasting (4.4%)
109,250 MediaOne, Inc. (b)............................... 8,391,766
------------
Entertainment (1.2%)
76,500 Walt Disney Company.............................. 2,237,625
------------
Food (.8%)
101,000 Flowers Industries............................... 1,609,687
------------
Household Products (.8%)
16,200 Minnesota Mining and Manufacturing............... 1,585,575
------------
Restaurants (.6%)
27,000 McDonald's Corporation........................... 1,088,437
------------
Service (1.4%)
96,760 Deluxe Corporation............................... 2,654,852
------------
Tobacco (.7%)
60,825 Philip Morris Companies, Inc..................... 1,410,380
------------
ENERGY (10.3%)
Oil (9.7%)
35,420 Chevron Corporation.............................. 3,068,257
36,165 Conoco, Inc...................................... 899,604
162,952 Exxon Corporation................................ 13,127,820
26,000 Texaco, Inc...................................... 1,412,125
------------
18,507,806
------------
Oil & Gas (.6%)
12,275 Atlantic Richfield Company....................... 1,061,787
------------
FINANCIAL (31.1%)
Auto Finance (1.2%)
68,600 Fleet Financial Group, Inc....................... 2,388,138
------------
Banks (9.9%)
84,480 Bank of America Corporation...................... 4,239,840
38,100 Bank of New York Company, Inc.................... 1,524,000
14,300 Bank One Corporation............................. 458,494
43,015 Chase Manhattan Corporation...................... 3,341,728
</TABLE>
See accompanying notes to investments in securities.
78
<PAGE>
VALUE STOCK PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
FINANCIAL--CONTINUED
40,200 First Union Corporation.......................... $ 1,319,063
7,400 J.P. Morgan & Company, Inc....................... 937,025
29,500 Mellon Bank Corporation.......................... 1,004,844
18,500 Suntrust Banks, Inc.............................. 1,273,031
41,800 U.S. Bancorp..................................... 995,363
95,800 Wells Fargo Company.............................. 3,873,913
------------
18,967,301
------------
Consumer Finance (.4%)
22,300 Household International, Inc..................... 830,675
------------
Finance-Diversified (3.2%)
13,400 American General Corporation..................... 1,016,725
81,810 Federal National Mortgage Association............ 5,108,012
------------
6,124,737
------------
Insurance (9.4%)
46,800 Allstate Corporation............................. 1,123,200
59,200 American International Group..................... 6,401,000
170,430 Citigroup, Inc................................... 9,469,517
10,900 Marsh & McLennen Companies, Inc.................. 1,042,994
------------
18,036,711
------------
Investment Bankers/Brokers (5.0%)
97,495 H & R Block, Inc................................. 4,265,406
14,100 Merrill Lynch & Co., Inc......................... 1,177,350
29,105 Morgan Stanley Dean Witter & Company............. 4,154,739
------------
9,597,495
------------
Investment Companies (1.5%)
52,700 AMEX Technology Select Sector.................... 2,839,213
------------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ------------
<C> <S> <C>
FINANCIAL--CONTINUED
Savings and Loans (.5%)
33,500 Washington Mutual, Inc........................... 871,000
------------
HEALTH CARE (2.1%)
Drugs (1.1%)
14,300 American Home Products Corporation............... $ 563,956
32,900 Pharmacia & Upjohn, Inc.......................... 1,480,500
------------
2,044,456
------------
Health Care--Diversified (1.0%)
29,300 Abbott Laboratories.............................. 1,063,956
9,200 Johnson & Johnson................................ 856,750
------------
1,920,706
------------
TECHNOLOGY (4.1%)
45,500 Compaq Computer Corporation...................... 1,231,344
13,700 Electronic Data Systems Corporation.............. 917,044
8,800 Hewlett-Packard Company.......................... 1,002,650
12,040 International Business Machines.................. 1,300,320
23,300 Motorola, Inc.................................... 3,430,925
------------
7,882,283
------------
UTILITIES (3.7%)
Electric Companies (1.7%)
30,500 AES Corporation (b).............................. 2,279,875
20,000 Duke Energy Corporation.......................... 1,002,500
------------
3,282,375
------------
Natural Gas (2.0%)
86,100 Enron Corporation................................ 3,820,688
------------
Total common stock (cost: $167,981,110)....................... 186,362,604
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (2.7%)
$5,289,502 Provident Institutional Funds--TempFund Portfolio, current rate 5,289,502
5.480%.............................................................
-----------
Total short-term securities (cost: $5,289,502)...................... 5,289,502
-----------
Total investments in securities (cost: $173,270,612) (c)............ $191,652,106
===========
</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 December 31, 1999 the cost of securities for federal income tax purposes
was $174,805,086. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $23,093,436
Gross unrealized depreciation.......... (6,246,416)
-----------
Net unrealized appreciation............ $16,847,020
===========
</TABLE>
79
<PAGE>
SMALL COMPANY VALUE PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
COMMON STOCK (91.6%)
BASIC MATERIALS (5.7%)
Chemicals (4.6%)
7,300 Cytec Industries, Inc. (b)....................... $ 168,812
3,100 Minerals Technologies, Inc....................... 124,194
6,400 Olin Corporation................................. 126,800
5,250 Quest Diagnostics, Inc. (b)...................... 160,453
-----------
580,259
-----------
Iron and Steel (1.1%)
8,330 Steel Dynamics, Inc. (b)......................... 132,759
-----------
CAPITAL GOODS (13.5%)
Containers--Metal/Glass (.7%)
6,800 American National Can Group, Inc................. 88,400
-----------
Electrical Equipment (4.0%)
1,193 Solectron Corporation (b)........................ 113,484
7,675 Vishay Intertechnology, Inc. (b)................. 242,722
12,300 Watsco, Inc...................................... 142,219
-----------
498,425
-----------
Engineering/Construction (.5%)
5,700 Group Maintenance America Corporation (b)........ 60,919
-----------
Machinery (1.6%)
2,850 Tecumseh Products Company........................ 134,484
3,700 Westinghouse Air Brake Company................... 65,675
-----------
200,159
-----------
Manufacturing (3.2%)
5,350 A.O. Smith Corporation........................... 117,031
6,700 Aptargroup, Inc.................................. 168,337
5,900 United Dominion Industries....................... 117,631
-----------
402,999
-----------
Metal Fabrication (2.5%)
2,200 ABC-NACO Inc. (b)................................ 18,150
6,050 Gibraltar Steel Corporation (b).................. 141,419
10,100 Tower Automotive, Inc. (b)....................... 155,919
-----------
315,488
-----------
Trucks and Parts (1.0%)
4,200 Oshkosh Truck Corporation........................ 123,112
-----------
CONSUMER CYCLICAL (10.0%)
Auto (1.5%)
3,200 Arvin Industries, Inc............................ 90,800
5,800 Dura Automotive Systems, Inc. (b)................ 101,137
-----------
191,937
-----------
Building Materials (.7%)
6,600 D.R. Horton, Inc................................. 91,162
-----------
Houseware (1.1%)
6,100 Furniture Brands International, Inc. (b)......... 134,200
-----------
Lodging--Hotel (.8%)
6,250 Meristar Hospitality Corporation................. 100,000
-----------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Retail (5.2%)
3,300 Ames Department Stores (b)....................... $ 95,081
8,400 Central Garden & Pet Company (b)................. 87,150
5,750 Shopko Stores (b)................................ 132,250
5,900 The Men's Wearhouse, Inc. (b).................... 173,312
3,500 Zale Corporation (b)............................. 169,312
-----------
657,105
-----------
Textiles (.7%)
5,300 Tropical Sportswear International 85,462
Corporation (b).................................
-----------
CONSUMER STAPLES (5.9%)
Beverage (3.6%)
2,900 Adolph Coors Company............................. 152,250
2,500 Canandaigua Brands, Inc. (b)..................... 127,500
5,100 Robert Mondavi Corporation (b)................... 177,225
-----------
456,975
-----------
Food & Health (1.3%)
5,700 United Stationers, Inc. (b)...................... 162,806
-----------
Household Products (1.0%)
3,400 National Presto Industries, Inc.................. 120,700
-----------
ENERGY (6.6%)
Oil & Gas (6.6%)
5,900 Equitable Resources, Inc......................... 196,913
2,200 Helmerich & Payne................................ 47,988
7,900 Louis Dreyfus Natural Gas Corporation (b)........ 143,188
1,800 Nuevo Energy Company (b)......................... 33,750
5,700 Oceaneering International, Inc. (b).............. 85,144
8,300 Precision Drilling Corporation (b)(c)............ 213,206
2,000 Seacor Smit, Inc. (b)............................ 103,500
-----------
823,689
-----------
FINANCIAL (27.3%)
Banks (5.1%)
3,925 BankNorth Group, Inc............................. 104,994
2,300 Corus Bankshares, Inc............................ 55,200
6,989 Hudson United Bancorp, Inc....................... 178,656
7,850 Peoples Heritage Financial Group, Inc............ 118,241
9,515 Republic Bancorp, Inc............................ 115,518
2,150 UST Corporation.................................. 68,263
-----------
640,872
-----------
Finance--Diversified (3.4%)
10,000 Avis Rent A Car (b).............................. 255,625
7,200 Dollar Thrifty Automotive Group, Inc. (b)........ 172,350
-----------
427,975
-----------
Insurance (3.6%)
3,463 Radian Group, Inc................................ 165,358
4,675 RLI Corporation.................................. 158,950
</TABLE>
See accompanying notes to investments in securities.
80
<PAGE>
SMALL COMPANY VALUE PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
FINANCIAL--CONTINUED
5,000 StanCorp......................................... $ 125,938
-----------
450,246
-----------
Real Estate Investment Trust (11.4%)
3,300 Apartment Investment & Management Company........ 131,381
5,950 Camden Property Trust............................ 162,881
6,600 CBL & Associates Properties, Inc................. 136,125
6,000 First Industrial Realty Trust.................... 164,625
2,700 Franchise Finance Corporation of America......... 64,631
7,600 Koger Equity, Inc................................ 128,250
11,850 Pacific Gulf Properties, Inc..................... 239,963
6,500 Pan Pacific Retail Properties.................... 106,031
2,750 Parkway Properties............................... 79,234
3,950 Prentiss Properties Trust........................ 82,950
1,200 Reckson Associates Realty Corporation............ 24,600
5,350 Regency Realty Corporation....................... 107,000
-----------
1,427,671
-----------
Savings and Loans (3.8%)
5,200 Bank United Corporation.......................... 141,700
12,800 First Sentinel Bancorp, Inc...................... 100,000
9,200 FirstFed Financial Corporation (b)............... 129,375
3,400 Roslyn Bancorp, Inc.............................. 62,900
4,200 Seacoast Financial Services Corporation.......... 42,788
-----------
476,763
-----------
HEALTH CARE (.5%)
Medical Products/Supplies (.5%)
2,650 Conmed Corporation (b)........................... 68,569
-----------
TECHNOLOGY (10.3%)
3,600 ANADIGICS, Inc. (b).............................. 169,875
2,450 DII Group, Inc. (b).............................. 173,873
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
TECHNOLOGY--CONTINUED
10,800 GaSonics International Corporation (b)........... $ 213,300
10,400 Infinium Software, Inc. (b)...................... 70,850
7,850 International Rectifier Corporation (b).......... 204,100
3,400 Manugistics Group, Inc. (b)...................... 109,863
4,700 Mastech Corporation (b).......................... 116,325
9,400 Mentor Graphics (b).............................. 123,963
5,900 Symix Systems, Inc. (b).......................... 107,675
-----------
1,289,824
-----------
TRANSPORTATION (4.0%)
Airlines (1.7%)
4,900 Atlantic Coast Airlines Holdings, Inc. (b)....... 116,375
2,900 Midwest Express Holdings (b)..................... 92,438
-----------
208,813
-----------
Transport Services (1.0%)
6,800 Swift Transportation Company (b)................. 119,850
-----------
Trucking (1.3%)
3,300 U.S. Freightways Corporation..................... 157,988
-----------
UTILITIES (7.8%)
Electric Companies (5.2%)
12,400 Minnesota Power, Inc............................. 210,025
7,450 Northwestern Corporation......................... 163,900
6,424 Sierra Pacific Resources......................... 111,216
6,550 WPS Resources Corporation........................ 164,569
-----------
649,710
-----------
Natural Gas (2.6%)
5,300 Piedmont Natural Gas Company..................... 160,325
5,600 Wicor, Inc....................................... 163,450
-----------
323,775
-----------
Total common stock
(cost: $10,824,706)........................................ 11,468,612
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (8.2%)
$274,189 Provident Institutional Funds--TempFund Portfolio, current rate 5.480%.......... 274,189
760,000 U.S. Treasury Bill.......................................... 5.261% 03/02/00 753,623
-----------
Total short-term securities (cost: $1,027,522).................................. 1,027,812
-----------
Total investments in securities (cost: $11,852,228) (d)......................... $12,496,424
===========
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held 1.7% of net assets in foreign securities as of December
31, 1999.
(d) At December 31, 1999 the cost of securities for federal income tax purposes
was $11,966,162. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $1,401,871
Gross unrealized depreciation.......... (871,609)
--------
Net unrealized appreciation............ $530,262
========
</TABLE>
81
<PAGE>
GLOBAL BOND PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(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 (93.3%)
ARGENTINA (1.8%)
Government (1.8%)
150,936 Republic of Argentina (Argentina Peso)........... 2.868% 04/01/07 $ 103,442
520,000 Republic of Argentina (Argentina Peso)........... 8.750% 07/10/02 464,959
-----------
568,401
-----------
AUSTRALIA (2.1%)
Government (2.1%)
1,039,000 Australian Commonwealth Goverment Bond 679,240
(Australian Dollar)............................. 6.750% 11/15/06
-----------
CANADA (.6%)
Government (.6%)
200,000 Quebec Province (U.S. Dollar).................... 5.750% 02/15/09 177,902
-----------
GERMANY (9.7%)
Auto (.9%)
290,000 Daimler Chrysler (Euro).......................... 3.500% 03/16/04 273,287
Banks (2.1%)
700,000 Allgemeine Hypobank (Euro)....................... 5.000% 09/02/09 665,919
Consumer Finance (2.2%)
700,000 Depfa Finance (Euro)............................. 5.500% 01/15/10 691,789
Government (3.6%)
262,000 Corporate Adina de Fomento (Euro)................ 4.750% 05/06/04 249,323
862,000 Deutschland Republic (Euro)...................... 6.500% 07/04/27 919,659
Investment Bankers/Brokers (.9%)
150,000 Hutchison Whampoa Finance Ltd. (Euro)............ 5.500% 03/16/06 145,785
160,000 Mannesmann Finance (Euro)........................ 4.750% 05/27/09 141,862
-----------
3,087,624
-----------
GREECE (9.7%)
Electrical Equipment (.8%)
300,000 Public Power Corporation (Euro).................. 4.500% 03/12/09 264,126
Government (8.9%)
305,000,000 Hellenic Republic (Greek Drachma)................ 6.000% 02/19/06 911,076
65,000,000 Hellenic Republic (Greek Drachma)................ 6.600% 01/15/04 199,340
105,000,000 Hellenic Republic (Greek Drachma)................ 7.500% 05/20/13 345,192
16,100,000 Hellenic Republic (Greek Drachma)................ 7.500% 05/20/13 52,929
250,000,000 Hellenic Republic (Greek Drachma)................ 8.700% 04/08/05 837,230
50,000,000 Hellenic Republic (Greek Drachma)................ 8.700% 04/08/05 167,446
102,000,000 Hellenic Republic (Greek Drachma)................ 8.900% 03/21/04 339,524
-----------
3,116,863
-----------
JAPAN (15.1%)
Government (14.2%)
29,000,000 Japan (Japanese Yen)............................. 3.000% 09/20/05 310,400
161,000,000 Japan (Japanese Yen)............................. 3.100% 03/20/06 1,733,967
7,700,000 Japan (Japanese Yen)............................. 3.100% 09/20/06 83,829
97,000,000 Japan (Japanese Yen)............................. 3.400% 03/22/04 1,050,800
121,000,000 Japan (Japanese Yen)............................. 4.400% 03/21/05 1,376,684
Investment Bankers/Brokers (.9%)
35,000,000 Citic Hong Kong Finance (Japanese Yen)........... 2.800% 03/27/03 302,594
-----------
4,858,274
-----------
LUXEMBOURG (.7%)
Investment Bankers/Brokers (.3%)
90,000 PTC International Finance (Euro)................. 11.250% 12/01/09 90,730
</TABLE>
See accompanying notes to investments in securities.
82
<PAGE>
GLOBAL BOND PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL(B) VALUE(A)
- ------------ -----------
<C> <S> <C> <C> <C>
LUXEMBOURG--CONTINUED
Trucks and Parts (.4%)
140,000 Rhiag (Euro)..................................... 10.750% 06/05/07 $ 141,614
-----------
232,344
-----------
NETHERLANDS (2.7%)
Investment Bankers/Brokers (1.8%)
140,000 Kappa Beheer (Euro).............................. 10.625% 07/15/09 148,875
290,000 Tecnost (Euro)................................... 5.375% 07/30/04 286,017
160,000 Tecnost (Euro)................................... 6.125% 07/30/09 158,067
Telecommunication (.9%)
150,000 KPNQwest (Euro).................................. 7.125% 06/01/09 150,295
140,000 United Pan-Europe (Euro)......................... 10.875% 08/01/09 142,742
-----------
885,996
-----------
NEW ZEALAND (4.6%)
Government (4.6%)
1,550,000 New Zealand (New Zealand Dollar)................. 7.000% 07/15/09 792,806
1,240,000 New Zealand (New Zealand Dollar)................. 8.000% 11/15/06 675,347
-----------
1,468,153
-----------
NORWAY (2.3%)
Government (2.3%)
5,690,000 Norway (Norwegian Krone)......................... 6.750% 01/15/07 739,726
-----------
SLOVAKIA (2.6%)
Government (2.6%)
34,300,000 European Bank of Reconstruction and Development 839,459
(Slovak Koruna)................................. 15.700% 05/10/02
-----------
SOUTH AFRICA (3.7%)
Government (3.7%)
15,000,000 International Bank Reconstruction and Development 219,292
(South African Rand) (c)........................ 14.588% 12/29/17
5,000,000 International Bank Reconstruction and Development 151,404
(South African Rand) (c)........................ 15.424% 05/14/12
2,420,000 South Africa (South African Rand)................ 12.000% 02/28/05 376,641
2,800,000 South Africa (South African Rand)................ 13.000% 08/31/10 436,695
-----------
1,184,032
-----------
SWEDEN (4.8%)
Consumer Finance (4.8%)
13,300,000 AB Spintab (Swedish Krona)....................... 5.500% 09/03/03 1,542,743
-----------
UNITED KINGDOM (7.8%)
Banks (.9%)
300,000 Standard Chartered Bank (Euro)................... 5.375% 05/06/09 275,621
Broadcasting (1.1%)
400,000 British Sky Broadcasting (U.S. Dollar)........... 6.875% 02/23/09 352,519
Food (.5%)
90,000 Premier (British Sterling Pound)................. 12.250% 09/01/09 144,856
Government (4.0%)
700,000 UK Treasury (British Sterling Pound)............. 6.750% 11/26/04 1,164,704
68,000 UK Treasury (British Sterling Pound)............. 8.500% 12/07/05 123,647
Investment Bankers/Brokers (.4%)
140,000 Leica Geosys (Euro).............................. 9.875% 12/15/08 143,707
Metal Fabrication (.5%)
100,000 Luxfer (British Sterling Pound).................. 10.125% 05/01/09 161,760
</TABLE>
See accompanying notes to investments in securities.
83
<PAGE>
GLOBAL BOND PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL(B) VALUE(A)
- ------------ -----------
<C> <S> <C> <C> <C>
UNITED KINGDOM--CONTINUED
Textiles (.4%)
90,000 Doncaster (British Sterling Pound)............... 8.125% 05/01/09 $ 143,400
-----------
2,510,214
-----------
UNITED STATES (25.1%)
Chemicals (.8%)
250,000 IMC Global, Inc. (U.S. Dollar)................... 6.625% 10/15/01 245,275
Commercial Finance (1.2%)
400,000 General Electric Capital Corp. (U.S. Dollar)..... 6.290% 12/15/01 395,574
Containers-Metal/Glass (.9%)
300,000 Crown Cork & Seal Company, Inc. (U.S. Dollar).... 7.125% 09/01/02 295,140
Electric Companies (.8%)
250,000 Wisconsin Power & Light (U.S. Dollar)............ 7.000% 06/15/07 242,941
Metal Fabrication (.4%)
140,000 American Standard (Euro)......................... 7.125% 06/01/06 139,912
Retail (.8%)
250,000 Wal-Mart Stores, Inc. (U.S. Dollar).............. 6.875% 08/10/09 243,365
Shipping (.9%)
300,000 Enron Corporation (Euro)......................... 4.375% 04/08/05 282,207
Telecommunication (1.0%)
200,000 AT&T Corporation (U.S. Dollar)................... 5.625% 03/15/04 189,250
90,000 NTL Inc (British Steling Pound).................. 9.500% 04/01/08 142,585
U.S. Government and Agencies Obligations (18.3%)
595,995 FHLMC (U.S. Dollar).............................. 6.500% 06/01/29 562,134
230,276 FHLMC (U.S. Dollar).............................. 6.500% 05/01/13 223,970
693,000 FNMA (Australian Dollar)......................... 6.375% 08/15/07 427,252
248,951 FNMA (U.S. Dollar)............................... 6.000% 11/15/29 227,920
200,000 FNMA (U.S. Dollar)............................... 6.500% 08/15/04 197,235
99,597 FNMA (U.S. Dollar)............................... 6.500% 08/01/14 96,649
200,000 FNMA (U.S. Dollar)............................... 6.625% 09/15/09 194,030
148,434 FNMA (U.S. Dollar)............................... 7.000% 10/01/14 146,818
442,792 FNMA (U.S. Dollar)............................... 7.000% 02/01/29 426,429
249,763 FNMA (U.S. Dollar)............................... 7.000% 11/15/29 241,558
199,840 FNMA (U.S. Dollar)............................... 7.000% 11/15/29 193,275
149,881 GNMA (U.S. Dollar)............................... 7.500% 10/15/29 148,320
149,848 GNMA (U.S. Dollar)............................... 8.000% 10/15/29 151,456
600,000 U.S. Treasury Bond (U.S. Dollar)................. 6.000% 08/15/09 581,250
900,000 U.S. Treasury Bond (U.S. Dollar)................. 6.125% 08/15/29 857,502
500,000 U.S. Treasury Bond (U.S. Dollar)................. 6.625% 03/31/02 503,438
470,000 U.S. Treasury Note (U.S. Dollar)................. 6.000% 02/15/26 429,876
250,000 U.S. Treasury Note (U.S. Dollar)................. 6.875% 05/15/06 254,248
-----------
8,039,609
-----------
Total long-term debt securities (cost: $30,960,554)................. 29,930,580
-----------
</TABLE>
See accompanying notes to investments in securities.
84
<PAGE>
GLOBAL BOND PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL(B) VALUE(A)
- ------------ -----------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (2.6%)
Turkey (.8%)
100,000,000,000 Turkey Government (Turkish Lira) (c)............. 96.680% 03/15/00 $ 158,657
67,000,000,000 Turkey Government (Turkish Lira) (c)............. 97.010% 02/09/00 114,695
-----------
273,352
-----------
United States (1.8%)
578,993 Provident Institutional Funds--TempFund Portfolio, (U.S. Dollar) 578,993
current rate 5.480%................................................
-----------
Total short-term securities (cost: $948,984)........................ 852,345
-----------
Total investments in securities (cost: $31,909,538) (d)............. $30,782,925
===========
</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) At December 31, 1999 the cost of securities for federal income tax purposes
was $31,958,025. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $245,014
Gross unrealized depreciation.......... (1,420,114)
--------
Net unrealized depreciation............ $(1,175,100)
========
</TABLE>
85
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
COMMON STOCK (97.5%)
BASIC MATERIALS (4.7%)
Agriculture Products (.1%)
500 NCO Group, Inc. (b).............................. $ 15,062
-----------
Chemicals (2.2%)
600 A. Schulman, Inc................................. 9,787
3,550 Airgas, Inc. (b)................................. 33,725
800 Albemarle Corporation............................ 15,350
1,200 Cabot Corporation................................ 24,450
2,124 CK Witco Corporation............................. 28,411
800 Cytec Industries, Inc. (b)....................... 18,500
1,200 Dexter Corporation............................... 47,700
1,500 Ethyl Corporation................................ 5,906
600 Ferro Corporation................................ 13,200
1,300 Georgia Gulf..................................... 39,569
600 H.B. Fuller Company.............................. 33,562
3,875 IMC Global, Inc.................................. 63,453
1,000 Lubrizol Corporation............................. 30,875
2,000 Lyondell Chemical Company........................ 25,500
2,800 M.A. Hanna Company............................... 30,625
1,100 Minerals Technologies, Inc....................... 44,069
800 Olin Corporation................................. 15,850
1,900 RPM, Inc......................................... 19,356
2,000 Solutia, Inc..................................... 30,875
600 Wellman, Inc..................................... 11,175
-----------
541,938
-----------
Construction (.6%)
1,400 Martin Marietta Materials........................ 57,400
700 Southdown........................................ 36,137
1,200 USG Corporation.................................. 56,550
-----------
150,087
-----------
Iron and Steel (.4%)
2,000 AK Steel Holding Corporation..................... 37,750
200 Cleveland-Cliffs, Inc............................ 6,225
500 Oregon Steel Mills, Inc.......................... 3,969
400 Ryerson Tull, Inc................................ 7,775
2,300 UCAR International (b)........................... 40,969
-----------
96,688
-----------
Paper and Forest (1.4%)
1,150 Bowater, Inc..................................... 62,459
400 Chesapeake Corporation........................... 12,200
2,050 Consolidated Papers, Inc......................... 65,216
1,500 Georgia-Pacific Corporation...................... 36,937
2,900 Longview Fibre Company........................... 41,325
700 P.H. Glatfelter Company.......................... 10,194
500 Raynoier, Inc.................................... 24,156
2,750 Sonoco Products Company.......................... 62,562
2,800 Wausau-Mosinee Paper Corporation................. 32,725
-----------
347,774
-----------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
CAPITAL GOODS (5.7%)
Aerospace/Defense (.2%)
600 Cordant Technologies, Inc........................ $ 19,800
400 Precision Castparts Corporation.................. 10,500
600 Sequa Corporation (b)............................ 32,362
-----------
62,662
-----------
Electrical Equipment (2.9%)
4,750 American Power Conversion Corporation (b)........ 125,281
1,200 Diebold.......................................... 28,200
1,200 Hubbell, Inc..................................... 32,700
4,250 MagneTek, Inc. (b)............................... 32,672
1,400 Sanmina Corporation (b).......................... 139,825
1,850 SCI Systems, Inc. (b)............................ 152,047
2,250 Symbol Technologies.............................. 143,016
2,050 Vishay Intertechnology, Inc. (b)................. 64,831
-----------
718,572
-----------
Engineering/Construction (.4%)
2,100 Granite Construction, Inc........................ 38,719
500 Jacobs Engineering Group......................... 16,250
600 Newport News Shipbuilding, Inc................... 16,500
1,900 Varco International, Inc......................... 19,356
-----------
90,825
-----------
Machinery (.5%)
1,100 Agco Corporation................................. 14,781
600 Hanover Compressor Company....................... 22,650
600 Kaydon Corporation............................... 16,087
1,500 Kennametal, Inc.................................. 50,437
400 Tecumseh Products Company........................ 18,875
-----------
122,830
-----------
Manufacturing (1.2%)
1,900 Ametek, Inc...................................... 36,219
500 Carlisle Companies, Inc.......................... 18,000
800 Federal Signal Corporation....................... 12,850
2,300 Flowserve Corporation............................ 39,100
1,000 Nordson Corporation.............................. 48,250
1,600 Pentair, Inc..................................... 61,600
200 Stewart & Stevenson Services..................... 2,369
700 Teleflex, Inc.................................... 21,919
800 Trinity Industries............................... 22,750
700 York International Corporation................... 19,206
-----------
282,263
-----------
Metal Fabrication ( -- )
100 Maxxam, Inc. (b)................................. 4,287
-----------
Office Equipment (.5%)
1,400 Herman Miller, Inc............................... 32,200
1,100 Hon Industries................................... 24,131
1,500 Standard Register................................ 29,062
2,100 Wallace Computer Services, Inc................... 34,912
-----------
120,305
-----------
</TABLE>
See accompanying notes to investments in securities.
86
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
COMMUNICATION SERVICES (2.1%)
Telecommunication (.4%)
2,550 Comsat Corporation............................... $ 50,681
800 Polycom, Inc. (b)................................ 50,950
-----------
101,631
-----------
Telephone (1.7%)
6,200 Broadwing, Inc. (b).............................. 228,625
1,500 Telephone and Data Systems, Inc.................. 189,000
-----------
417,625
-----------
CONSUMER CYCLICAL (13.4%)
Auto (1.5%)
500 Arvin Industries, Inc............................ 14,187
1,200 Bandag, Inc...................................... 30,000
500 Borg-Warner Automotive, Inc...................... 20,250
1,500 Federal Mogul Corporation........................ 30,187
700 Harsco Corporation............................... 22,225
1,725 Lear Corporation (b)............................. 55,200
900 Mark IV Industries, Inc.......................... 15,919
1,200 Meritor Automotive, Inc.......................... 23,250
1,600 Modine Manufacturing Company..................... 40,000
1,000 SPX Corporation (b).............................. 80,812
1,600 Superior Industries International................ 42,900
-----------
374,930
-----------
Building Materials (.4%)
1,500 American Standard Companies...................... 68,812
2,550 Clayton Homes.................................... 23,428
-----------
92,240
-----------
Construction (.1%)
700 Lancaster Colony Corporation..................... 23,187
-----------
Houseware (.1%)
900 Furniture Brands International, Inc. (b)......... 19,800
-----------
Leisure (1.8%)
3,375 Callaway Golf Company............................ 59,695
1,700 Gtech Holdings Corporation (b)................... 37,400
3,875 Harley-Davidson, Inc............................. 248,242
1,700 International Game Technology.................... 34,531
1,700 Premier Parks Inc. (b)........................... 49,087
-----------
428,955
-----------
Publishing (1.8%)
3,450 A.H. Belo........................................ 65,766
500 Banta Corporation................................ 11,281
1,300 Harte-Hanks, Inc................................. 28,275
500 Houghton Mifflin Company......................... 21,094
700 Lee Enterprises.................................. 22,356
900 Media General, Inc............................... 46,800
2,350 Reader's Digest Association...................... 68,737
900 Scholastic Corporation (b)....................... 55,969
200 Washington Post.................................. 111,175
-----------
431,453
-----------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Retail (4.5%)
2,200 Abercrombie & Fitch Company (b).................. $ 58,712
1,200 American Eagle Outfitters, Inc. (b).............. 54,000
1,200 Barnes and Noble, Inc. (b)....................... 24,750
1,750 BJ's Wholesale Club, Inc. (b).................... 63,875
1,900 Borders Group, Inc. (b).......................... 30,519
1,100 CDW Computer Centers, Inc. (b)................... 86,487
900 Claire's Stores, Inc............................. 20,137
5,100 CompUSA, Inc. (b)................................ 26,137
1,450 Dollar Tree Stores, Inc. (b)..................... 70,234
4,400 Family Dollar Stores............................. 71,775
700 Fastenal Company................................. 31,456
6,300 Heilig-Meyers Company............................ 17,325
700 Lands' End, Inc. (b)............................. 24,325
2,750 Micro Warehouse, Inc. (b)........................ 50,875
7,150 Officemax (b).................................... 39,325
600 Payless Shoesource, Inc. (b)..................... 28,200
3,325 Ross Stores, Inc................................. 59,642
3,428 Saks, Inc. (b)................................... 53,348
900 Tech Data Corporation (b)........................ 24,412
1,200 The Neiman Marcus Group, Inc. (b)................ 33,525
2,000 Tiffany & Company................................ 178,500
1,250 Williams-Sonoma, Inc. (b)........................ 57,500
-----------
1,105,059
-----------
Service (2.2%)
2,000 Acxiom Corporation............................... 48,000
1,400 Apollo Group, Inc. (b)........................... 28,087
3,500 Convergy's Corporation (b)....................... 107,625
1,600 DeVry, Inc. (b).................................. 29,800
2,250 Mandalay Resort Group (b)........................ 45,281
800 Navigant Consulting, Inc. (b).................... 8,700
100 NCH Corporation.................................. 4,456
6,650 Park Place Entertainment Corporation (b)......... 83,125
2,200 Pittston Company................................. 48,400
2,100 Rollins, Inc..................................... 31,500
1,000 Sotheby's Holdings............................... 30,000
2,400 Viad............................................. 66,900
-----------
531,874
-----------
Textiles (1.0%)
900 Burlington Industries (b)........................ 3,600
2,650 Jones Apparel Group, Inc. (b).................... 71,881
1,100 Mohawk Industries, Inc. (b)...................... 29,012
3,800 Shaw Industries.................................. 58,662
3,500 Unifi, Inc. (b).................................. 43,094
1,000 Warnaco Group.................................... 12,312
1,000 Westpoint Stevens, Inc........................... 17,500
-----------
236,061
-----------
CONSUMER STAPLES (9.7%)
Beverage (.2%)
3,100 Whitman Corporation.............................. 41,656
-----------
</TABLE>
See accompanying notes to investments in securities.
87
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
Broadcasting (2.5%)
2,000 A.C. Nielsen Corporation (b)..................... $ 49,250
868 Chris-Craft Industries, Inc. (b)................. 62,605
1,400 Hispanic Broadcasting Corporation (b)............ 129,106
2,600 Univision Communications, Inc. (b)............... 265,688
1,425 Westwood One, Inc. (b)........................... 108,300
-----------
614,949
-----------
Entertainment (.3%)
1,300 International Speedway Corporation............... 65,487
-----------
Food (1.5%)
700 Dean Foods Company............................... 27,825
1,000 Dole Foods Company............................... 16,250
2,000 Dreyer's Grand Ice Cream, Inc.................... 34,000
3,500 Flowers Industries............................... 55,781
1,600 Hormel Foods Corporation......................... 65,000
2,200 IBP, Inc......................................... 39,600
1,200 Interstate Bakeries.............................. 21,750
2,700 Lance, Inc....................................... 27,000
2,200 McCormick & Company, Inc......................... 65,450
900 Universal Foods.................................. 18,337
700 Vlasic Foods International (b)................... 3,981
-----------
374,974
-----------
Food & Health (.3%)
1,400 International Multifoods Corporation............. 18,550
600 Suiza Foods Corporation (b)...................... 23,775
2,350 U.S. Foodservice (b)............................. 39,362
-----------
81,687
-----------
Household Products (.5%)
900 Blyth Industries, Inc. (b)....................... 22,106
1,750 Church & Dwight Company, Inc..................... 46,703
2,450 Dial Corporation................................. 59,566
-----------
128,375
-----------
Personal Care (.1%)
800 Carter Wallace, Inc.............................. 14,350
1,300 Perrigo Company (b).............................. 10,400
-----------
24,750
-----------
Restaurants (1.0%)
1,200 Brinker International, Inc. (b).................. 28,800
3,100 Buffets, Inc. (b)................................ 31,000
3,350 CBRL Group, Inc.................................. 32,505
600 Lone Star Steakhouse & Saloon, Inc. (b).......... 5,353
1,350 Outback Steakhouse, Inc. (b)..................... 35,016
500 Papa John's International, Inc. (b).............. 13,031
4,500 Starbucks Corporation (b)........................ 109,125
-----------
254,830
-----------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
Retail (.7%)
900 Hannaford Brothers Mortgage Company.............. $ 62,381
1,800 Ruddick.......................................... 27,900
5,000 Tyson Foods, Inc................................. 81,250
-----------
171,531
-----------
Service (2.3%)
2,650 Cintas........................................... 140,781
4,850 Concord EFS, Inc. (b)............................ 124,887
600 Kelly Services................................... 15,075
1,900 Manpower......................................... 71,487
1,700 Modis Professional Services, Inc. (b)............ 24,225
3,700 Ogden Corporation................................ 44,169
3,900 Olsten Corporation............................... 44,119
2,150 Robert Half International (b).................... 61,409
2,750 Sylvan Learning Systems, Inc. (b)................ 35,750
-----------
561,902
-----------
Tobacco (.3%)
2,800 R.J. Reynolds Tobacco Holdings, Inc.............. 49,350
600 Universal Corporation............................ 13,687
-----------
63,037
-----------
ENERGY (4.6%)
Oil ( -- )
1,374 Pennzoil-Quaker State Company.................... 14,000
-----------
Oil & Gas (4.6%)
2,150 BJ Services (b).................................. 89,897
1,850 Devon Energy Corporation......................... 60,819
3,600 Ensco International.............................. 82,350
4,000 Global Marine (b)................................ 66,500
1,300 Helmerich & Payne................................ 28,356
2,500 Kinder Morgan, Inc............................... 50,469
1,300 Murphy Oil....................................... 74,587
3,375 Nabors Industries (b)............................ 104,414
1,000 Noble Affiliates, Inc............................ 21,437
3,400 Noble Drilling Corporation (b)................... 111,350
2,900 Ocean Energy, Inc. (b)........................... 22,475
5,550 Pioneer Natural Resources (b).................... 49,603
5,600 Santa Fe Snyder Corporation (b).................. 44,800
1,250 Smith International, Inc. (b).................... 62,109
1,950 Tidewater........................................ 70,200
2,500 Ultramar Diamond Shamrock Corporation............ 56,719
1,000 Valero Energy Corporation........................ 19,875
2,535 Weatherford International, Inc. (b).............. 101,242
-----------
1,117,202
-----------
FINANCIAL (11.3%)
Banks (5.1%)
1,775 Associated Banc-Corp............................. 60,794
1,450 CCB Financial Corporation........................ 63,166
</TABLE>
See accompanying notes to investments in securities.
88
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
FINANCIAL--CONTINUED
800 City National Corporation........................ $ 26,350
3,000 Compass Bancshares, Inc.......................... 66,937
4,750 First Security Corporation....................... 121,273
3,725 First Tennessee National Corporation............. 106,162
1,500 First Virginia Banks, Inc........................ 64,500
2,100 FirstMerit Corporation........................... 48,300
4,850 Hibernia Corporation............................. 51,531
2,475 Keystone Financial, Inc.......................... 52,130
2,700 Marshall & Ilsley Corporation (b)................ 169,594
2,000 Mercantile Bankshares Corporation................ 63,875
2,500 National Commerce Bancorporation................. 56,719
1,400 Pacific Century Financial Corporation............ 26,162
800 Provident Financial Group........................ 28,700
2,450 TCF Financial Corporation........................ 60,944
700 Westamerica Bancorporation....................... 19,556
600 Wilmington Trust Corporation..................... 28,950
2,000 Zions Bancorporation............................. 118,375
-----------
1,234,018
-----------
Commercial Finance (.5%)
1,450 Finova Finance Trust............................. 51,475
3,850 North Fork Bancorporation........................ 67,375
-----------
118,850
-----------
Finance--Diversified (1.0%)
2,100 Ambac Financial Group............................ 109,594
2,800 MCN Financing.................................... 66,500
1,350 The PMI Group (b)................................ 65,897
-----------
241,991
-----------
Insurance (2.1%)
1,500 Allmerica Financial Corporation.................. 83,438
1,100 American Financial Group......................... 29,013
900 Everest Reinsurance Holdings..................... 20,081
2,200 Horace Mann Educators Corporation................ 43,175
1,200 HSB Group........................................ 40,575
1,650 Ohio Casualty Corporation........................ 26,503
2,450 Old Republic Corporation......................... 33,381
1,500 Protective Life Corporation...................... 47,719
2,700 Reliastar Financial.............................. 105,806
2,000 Unitrin, Inc..................................... 75,250
-----------
504,941
-----------
Investment Bankers/Brokers (1.3%)
2,275 A.G. Edwards..................................... 72,942
6,100 E*TRADE Group, Inc. (b).......................... 159,363
1,500 Investment Technology Group, Inc................. 43,125
1,300 Legg Mason, Inc.................................. 47,125
-----------
322,555
-----------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
FINANCIAL--CONTINUED
Savings and Loans (1.3%)
1,000 Astoria Financial Corporation.................... $ 30,438
4,765 Charter One Financial, Inc. (b).................. 91,131
3,600 Dime Bancorp..................................... 54,450
2,900 Greenpoint Financial Corporation................. 69,056
5,250 Sovereign Bancorp, Inc........................... 39,129
1,000 Webster Financial Corporation.................... 23,563
-----------
307,767
-----------
HEALTH CARE (10.7%)
Biotechnology (2.6%)
3,725 Biogen, Inc. (b)................................. 314,763
2,175 Genzyme Corporation (b).......................... 97,875
1,525 Gilead Sciences, Inc. (b)........................ 82,541
1,100 Millennium Pharmaceuticals, Inc. (b)............. 134,200
-----------
629,379
-----------
Drugs (3.5%)
2,400 Bergen Brunswig Corporation...................... 19,950
4,900 Chiron Corporation (b)........................... 207,638
2,150 Forest Laboratories (b).......................... 132,091
1,400 ICN Pharmaceuticals, Inc......................... 35,438
1,725 MedImmune, Inc. (b).............................. 286,134
3,700 Mylan Laboratories............................... 93,194
800 Sepracor, Inc. (b)............................... 79,350
-----------
853,795
-----------
Health Care--Diversified (.4%)
2,700 Ivax Corporation (b)............................. 69,525
4,300 Quorum Health Group (b).......................... 40,044
-----------
109,569
-----------
Hospital Management (.6%)
6,150 Health Management Associates, Inc. (b)........... 82,256
1,200 Pacificare Health Systems, Inc. (b).............. 63,600
-----------
145,856
-----------
Managed Care (.7%)
1,800 Beverly Enterprises (b).......................... 7,875
1,000 Express Scripts, Inc. (b)........................ 64,000
900 First Healthcare Group Corporation (b)........... 24,188
2,200 Foundation Health Systems (b).................... 21,863
1,400 Oxford Health Plan, Inc. (b)..................... 17,763
1,400 Trigon Healthcare Corporation (b)................ 41,300
-----------
176,989
-----------
Medical Products/Supplies (2.5%)
2,200 Acuson Corporation (b)........................... 27,638
900 DENTSPLY International, Inc...................... 21,263
1,600 Hillenbrand Industries, Inc...................... 50,700
1,000 Lincare Holdings, Inc. (b)....................... 34,688
700 MiniMed Inc. (b)................................. 51,275
4,300 PSS World Medical, Inc. (b)...................... 40,581
</TABLE>
See accompanying notes to investments in securities.
89
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
HEALTH CARE--CONTINUED
2,775 Stryker Corporation.............................. $ 193,209
2,250 Sybron International Corporation (b)............. 55,547
4,700 Total Renal Care Holdings, Inc. (b).............. 31,431
1,800 VISX, Inc. (b)................................... 93,150
-----------
599,482
-----------
Special Services (.4%)
2,150 Apria Healthcare Group, Inc. (b)................. 38,566
2,200 Omnicare, Inc.................................... 26,400
2,300 Steris Corporation (b)........................... 23,719
-----------
88,685
-----------
TECHNOLOGY (25.8%)
1,350 Adtran Incorporated (b).......................... 69,441
900 Affiliated Computer Services, Inc. (b)........... 41,400
5,100 Altera Corporation (b)........................... 252,769
2,375 Arrow Electronics, Inc. (b)...................... 60,266
5,150 Atmel Corporation (b)............................ 152,247
1,200 Avnet, Inc....................................... 72,600
500 Beckman Coulter, Inc............................. 25,438
6,225 Cadence Design Systems, Inc. (b)................. 149,400
1,100 Cambridge Tech Partners, Inc. (b)................ 28,875
3,500 Cirrus Logic, Inc. (b)........................... 46,594
3,900 Comdisco, Inc.................................... 145,275
2,825 Cypress Semiconductor Corporation (b)............ 91,459
1,875 DST Systems, Inc. (b)............................ 143,086
1,500 Electronic Arts, Inc. (b)........................ 126,000
3,050 Fiserv (b)....................................... 116,853
3,000 Gartner Group, Inc. (b).......................... 41,438
1,900 Harris Corporation............................... 50,706
700 Imation (b)...................................... 23,494
5,150 Informix Corporation (b)......................... 58,903
3,100 Integrated Device Technology (b)................. 89,900
5,000 Intuit, Inc. (b)................................. 299,688
2,400 Jabil Circuit, Inc. (b).......................... 175,200
1,700 Keane, Inc. (b).................................. 53,975
2,000 Legato Systems, Inc. (b)......................... 137,625
3,950 Linear Technology Corporation.................... 282,672
1,200 Litton Industries, Inc. (b)...................... 59,850
7,050 Maxim Integrated Products (b).................... 332,672
4,100 Mentor Graphics (b).............................. 54,069
1,350 Microchip Technology, Inc. (b)................... 92,391
2,200 NCR Corporation.................................. 83,325
3,600 Network Associates (b)........................... 96,075
2,350 Nova Corporation (b)............................. 74,172
1,000 Novellus Systems, Inc. (b)....................... 122,531
1,900 Policy Management Systems (b).................... 48,569
925 QLogic Corporation (b)........................... 147,884
4,400 Quantum Corporation (b).......................... 66,550
2,300 Rational Software Corporation (b)................ 112,988
1,400 Reynolds & Reynolds.............................. 31,500
1,800 Sensormatic Eletronics Corporation (b)........... 31,388
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
TECHNOLOGY--CONTINUED
4,925 Siebel Systems, Inc. (b)......................... $ 413,700
2,200 Sterling Commerce, Inc. (b)...................... 74,938
2,075 Sterling Software, Inc. (b)...................... 65,363
1,800 Storage Technology (b)........................... 33,188
2,300 Structural Dynamics Research (b)................. 29,325
2,650 Sungard Data Systems (b)......................... 62,938
900 Sykes Enterprises, Inc. (b)...................... 39,488
1,700 Symantec (b)..................................... 99,663
1,750 Synopsys, Inc. (b)............................... 116,813
1,600 Transaction Systems Architects, Inc (b).......... 44,800
6,625 VERITAS Software Corporation (b)................. 948,203
3,650 Vitesse Semiconductor Corporation (b)............ 191,397
1,300 Waters Corporation (b)........................... 68,900
-----------
6,277,984
-----------
TRANSPORTATION (1.6%)
Air Freight (.2%)
2,275 Airborne Freight Corporation..................... 50,050
-----------
Airlines (.1%)
1,000 Alaska Air Group, Inc. (b)....................... 35,125
-----------
Railroads (.3%)
900 GATX Corporation................................. 30,375
2,900 Wisconsin Central Transport (b).................. 38,969
-----------
69,344
-----------
Shipping (.7%)
800 Alexander & Baldwin, Inc......................... 18,250
1,300 CheckFree Holdings Corporation (b)............... 135,850
1,000 Overseas Shipholding Group, Inc.................. 14,813
-----------
168,913
-----------
Transport Services (.1%)
1,100 Swift Transportation Company (b)................. 19,388
-----------
Trucking (.2%)
400 Arnold Industries, Inc........................... 5,625
900 CNF Transportation............................... 31,050
600 JB Hunt Transport Services....................... 8,306
-----------
44,981
-----------
UTILITIES (7.9%)
Electric Companies (5.9%)
2,500 Allegheny Energy, Inc............................ 67,344
2,400 Alliant Energy Corporation....................... 66,000
1,400 Black Hills Corporation.......................... 31,063
1,200 Cleco Corporation................................ 38,475
1,725 CMP Group, Inc................................... 47,545
1,600 Conectiv, Inc.................................... 26,900
4,200 DPL, Inc......................................... 72,713
1,600 DQE, Inc......................................... 55,400
2,650 Energy East Corporation.......................... 55,153
1,675 Hawaiian Electric Industries..................... 48,366
700 IDA Corporation, Inc............................. 18,769
</TABLE>
See accompanying notes to investments in securities.
90
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
UTILITIES--CONTINUED
2,050 Illinova Corporation............................. $ 71,238
1,500 Ipalco Enterprises, Inc.......................... 25,594
1,100 Kansas City Power & Light........................ 24,269
2,900 LG&E Energy Corporation.......................... 50,569
1,300 Minnesota Power, Inc............................. 22,019
2,800 Montana Power Company............................ 100,975
1,300 New England Electric System...................... 67,275
3,300 NiSource, Inc.................................... 58,988
3,100 Northeast Utilities.............................. 63,744
1,400 OGE Energy Corporation........................... 26,600
3,100 Potomac Electric Power Company................... 71,106
2,100 Public Service Company of New Mexico............. 34,125
1,500 Puget Sound Energy, Inc.......................... 29,063
2,300 Scana Corporation................................ 61,813
1,400 Sierra Pacific Resources......................... 24,238
3,500 Teco Energy...................................... 64,969
3,150 Utilicorp United, Inc............................ 61,228
2,700 Wisconsin Energy................................. 51,975
-----------
1,437,516
-----------
Natural Gas (.8%)
1,000 AGL Resources, Inc............................... 17,000
3,100 Keyspan Energy Corporation....................... 71,881
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
UTILITIES--CONTINUED
1,300 National Fuel Gas Company........................ $ 60,450
1,500 Questar Corporation.............................. 22,500
800 Washington Gas Light............................. 22,000
-----------
193,831
-----------
Power Products--Industrial (1.0%)
1,500 Calpine Corporation (b).......................... 96,000
1,701 Indiana Energy, Inc.............................. 30,193
1,450 MidAmerican Energy Holdings Company.............. 48,847
1,550 NSTAR............................................ 62,775
-----------
237,815
-----------
Water Utilities (.2%)
2,600 American Water Works, Inc........................ 55,250
-----------
Total common stock (cost: $21,491,652)...................... 23,754,562
-----------
DEPOSITORY RECEIPT (1.8%)
5,290 S&P Mid-Cap 400 Depository Receipts.............. 429,151
-----------
Total depository receipt (cost: $403,035)................... 429,151
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (1.3%)
$326,465 Provident Institutional Funds--TempFund Portfolio, current rate 326,465
5.480%..............................................................
-----------
Total short-term securities (cost: $326,465)......................... 326,465
-----------
Total investments in securities (cost: $22,221,152) (c).............. $24,510,178
===========
</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 December 31, 1999 the cost of securities for federal income tax purposes
was $22,494,936. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 4,564,193
Gross unrealized depreciation.......... (2,548,951)
-----------
Net unrealized appreciation............ $ 2,015,242
===========
</TABLE>
91
<PAGE>
MACRO-CAP VALUE PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
COMMON STOCK (94.3%)
BASIC MATERIALS (7.5%)
Aluminum (--)
100 Reynolds Metals Company................................................ $ 7,662
-----------
Chemicals (3.4%)
10,600 Monsanto Company (b)................................................... 377,625
9,700 Rohm and Haas Company (b).............................................. 394,669
-----------
772,294
-----------
Iron and Steel (1.1%)
5,100 Allegheny Teledyne, Inc. (b)........................................... 114,431
4,200 USX--U.S. Steel Group, Inc............................................. 138,600
-----------
253,031
-----------
Paper and Forest (3.0%)
1,800 Bowater, Inc. (b)...................................................... 97,762
2,100 Kimberly Clark Corporation............................................. 137,025
11,497 Smurfit-Stone Container Corporation (b)................................ 281,676
2,500 Temple-Inland, Inc. (b)................................................ 164,844
-----------
681,307
-----------
CAPITAL GOODS (7.5%)
Aerospace/Defense (1.0%)
3,800 Honeywell International, Inc........................................... 219,212
-----------
Electrical Equipment (2.6%)
3,300 Cooper Cameron Corp.................................................... 161,494
4,300 Cooper Industries, Inc. (b)............................................ 173,881
1,600 General Electric Company............................................... 247,600
-----------
582,975
-----------
Machinery (.5%)
2,800 Deere & Company........................................................ 121,450
-----------
Manufacturing (2.7%)
15,832 Tyco International Ltd. (c)............................................ 615,469
-----------
Waste Management (.7%)
5,900 Republic Services, Inc. (b)............................................ 84,812
4,755 Waste Management, Inc.................................................. 81,727
-----------
166,539
-----------
COMMUNICATION SERVICES (7.2%)
Telecommunication (2.5%)
1,100 Level 3 Communications, Inc. (b)....................................... 90,062
7,928 MCI Worldcom, Inc...................................................... 420,653
600 Sprint Corporation (b)................................................. 61,500
-----------
572,215
-----------
Telephone (4.7%)
5,700 AT&T Corporation (b)................................................... 289,275
1,400 Bell Atlantic Corporation.............................................. 86,187
2,600 Global Crossing Ltd.................................................... 130,000
3,300 GTE Corporation........................................................ 232,856
6,806 SBC Communications, Inc................................................ 331,792
-----------
1,070,110
-----------
CONSUMER CYCLICAL (8.9%)
Auto (.5%)
3,700 Lear Corporation....................................................... 118,400
-----------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Broadcasting (1.5%)
5,800 AT&T Corporation--Liberty Media Group.................................. $ 329,150
-----------
Leisure (.9%)
4,200 International Game Technology.......................................... 85,312
9,700 Mattel, Inc............................................................ 127,312
-----------
212,624
-----------
Retail (4.2%)
4,400 Abercrombie & Fitch Company............................................ 117,425
1,800 Circuit City Stores, Inc. (b).......................................... 81,112
3,700 Federated Department Stores............................................ 187,081
2,200 Gap, Inc. (b).......................................................... 101,200
7,400 TJX Companies, Inc..................................................... 151,238
4,500 Wal-Mart Stores, Inc................................................... 311,063
-----------
949,119
-----------
Service (1.0%)
8,070 Cendant Corporation.................................................... 214,359
-----------
Textiles (.8%)
6,600 Jones Apparel Group, Inc. (b).......................................... 179,025
-----------
CONSUMER STAPLES (8.1%)
Beverage (2.3%)
4,900 PepsiCo, Inc........................................................... 172,725
6,500 Seagram Company, Ltd. (c).............................................. 292,094
1,000 The Coca-Cola Company.................................................. 58,250
-----------
523,069
-----------
Entertainment (1.2%)
6,900 News Corporation Ltd. ADR (c).......................................... 263,925
-----------
Household Products (3.0%)
1,900 Clorox Company......................................................... 95,713
5,400 Gillette Company (b)................................................... 222,413
3,300 Procter & Gamble Company............................................... 361,556
-----------
679,682
-----------
Tobacco (1.6%)
15,500 Philip Morris Companies, Inc........................................... 359,406
-----------
ENERGY (5.8%)
Oil (4.1%)
12,500 Conoco, Inc............................................................ 310,938
7,724 Exxon Corporation (b).................................................. 622,265
-----------
933,203
-----------
Oil & Gas (1.7%)
3,100 Shell Transport & Trading Company ADR (c).............................. 152,675
8,700 Tosco Corporation...................................................... 236,531
-----------
389,206
-----------
FINANCIAL (14.1%)
Banks (4.5%)
6,107 Bank of America Corporation (b)........................................ 306,495
9,700 First Union Corporation (b)............................................ 318,281
7,200 KeyCorp (b)............................................................ 159,300
9,600 U.S. Bancorp........................................................... $ 228,600
-----------
1,012,676
-----------
</TABLE>
See accompanying notes to investments in securities.
92
<PAGE>
MACRO-CAP VALUE PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
FINANCIAL--CONTINUED
Consumer Finance (.5%)
5,150 CIT Group, Inc. (b).................................................... 108,794
-----------
Finance--Diversified (1.6%)
4,700 Ambac Financial Group.................................................. 245,281
1,700 Federal National Mortgage Association.................................. 106,144
-----------
351,425
-----------
Insurance (5.1%)
6,650 Aon Corporation........................................................ 266,000
5,300 Citigroup, Inc......................................................... 294,481
1,800 Marsh & McLennen....................................................... 172,237
7,439 Unum Corporation....................................................... 238,513
3,300 Xl Capital Ltd. (c).................................................... 171,188
-----------
1,142,419
-----------
Investment Bankers/Brokers (1.1%)
2,500 The Goldman Sachs Group, Inc. (b)...................................... 235,469
-----------
Savings and Loans (1.3%)
4,600 Dime Bancorp (b)....................................................... 69,575
8,200 Washington Mutual, Inc................................................. 213,200
-----------
282,775
-----------
HEALTH CARE (6.3%)
Drugs (4.5%)
4,400 American Home Products Corporation (b)................................. 173,525
4,000 Bristol-Myers Squibb Company........................................... 256,750
2,800 Eli Lilly & Company (b)................................................ 186,200
6,400 Forest Laboratories.................................................... 393,200
-----------
1,009,675
-----------
Health Care--Diversified (1.4%)
3,700 Warner-Lambert Company................................................. 303,169
-----------
Hospital Management (.4%)
4,200 Tenet Healthcare Corporation........................................... 98,700
-----------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
TECHNOLOGY (25.2%)
2,500 America Online, Inc.................................................... $ 188,594
1,000 Applied Materials, Inc................................................. 126,688
1,500 BMC Software, Inc...................................................... 119,906
7,500 Cisco Systems, Inc..................................................... 803,438
5,500 Compaq Computer Corporation............................................ 148,844
2,300 Dell Computer Corporation.............................................. 117,300
2,200 EMC Corporation........................................................ 240,350
6,800 Intel Corporation...................................................... 559,725
2,000 International Business Machines........................................ 216,000
4,520 Lucent Technologies, Inc............................................... 338,153
9,300 Microsoft Corporation (b).............................................. 1,085,776
2,300 Motorola, Inc.......................................................... 338,675
2,050 Oracle Corporation..................................................... 229,728
600 Perkin-Elmer Corporation (b)........................................... 72,188
3,200 Quantum Corporation.................................................... 48,400
1,700 Seagate Technology, Inc................................................ 79,156
8,700 Sun Microsystems, Inc. (b)............................................. 673,706
3,100 Texas Instruments, Inc. (b)............................................ 300,313
-----------
5,686,940
-----------
TRANSPORTATION (1.6%)
Railroads (1.4%)
7,300 Union Pacific Corporation.............................................. 318,463
-----------
Trucking (.2%)
600 United Parcel Service, Inc............................................. 41,400
-----------
UTILITIES (2.1%)
Electric Companies (1.0%)
3,000 DTE Energy Company..................................................... 94,125
2,300 Northern States Power Company.......................................... 44,850
4,200 Pacific Gas & Electric Company......................................... 86,100
-----------
225,075
-----------
Natural Gas (1.1%)
3,900 Columbia Gas System, Inc............................................... 246,675
-----------
Total common stock (cost: $19,938,786)......................................... 21,277,087
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (5.3%)
$249,000 U.S. Treasury Bill............................... 4.480% 01/20/00 248,368
956,000 U.S. Treasury Bill............................... 4.840% 01/13/00 954,191
-----------
Total short-term securities (cost: $1,202,720)....................... 1,202,559
-----------
Total investments in securities (cost: $21,141,506) (d).............. $22,479,646
===========
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held 6.6% of net assets in foreign securities as of
December 31, 1999.
(d) At December 31, 1999 the cost of securities for federal income tax purposes
was $21,413,066. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $ 2,968,986
Gross unrealized depreciation.......... (1,902,406)
-----------
Net unrealized appreciation............ $ 1,066,580
===========
</TABLE>
93
<PAGE>
MICRO-CAP GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
COMMON STOCK (82.4%)
CAPITAL GOODS (1.4%)
Machinery (1.4%)
13,900 Kulicke & Soffa Industries, Inc. (b)............. $ 591,619
-----------
COMMUNICATION SERVICES (3.3%)
Telecommunication (3.3%)
8,200 CTC Communications Group, Inc. (b)............... 319,928
4,500 Deltathree.com, Inc. (b)......................... 115,875
7,800 ECtel Ltd. (b)................................... 142,350
8,200 ITC Deltacom, Inc. (b)........................... 226,525
3,500 Metromedia Fiber Network (b)..................... 167,781
1,700 Polycom, Inc. (b)................................ 108,269
6,107 Viatel, Inc. (b)................................. 327,488
-----------
1,408,216
-----------
CONSUMER CYCLICAL (12.0%)
Auto (.2%)
5,000 Lithia Motors, Inc. (b).......................... 89,375
-----------
Leisure (2.0%)
11,500 SCP Pool Corporation (b)......................... 298,281
15,000 Tweeter Home Entertainment (b)................... 532,500
-----------
830,781
-----------
Retail (5.0%)
8,800 Accrue Software, Inc. (b)........................ 476,300
3,500 Electronics Boutique Holdings Corporation (b).... 63,000
5,900 Fogdog, Inc. (b)................................. 56,050
11,700 iGo Corporation (b).............................. 106,031
6,500 Kenneth Cole Productions (b)..................... 297,375
4,300 MotherNature.com, Inc. (b)....................... 31,444
5,100 Quiksilver, Inc. (b)............................. 79,050
9,000 ShopNow.com Inc. (b)............................. 170,437
6,800 Stamps.com, Inc. (b)............................. 283,050
23,500 Streamline.com, Inc. (b)......................... 201,219
27,500 The Good Guys, Inc. (b)(c)....................... 256,094
5,200 Ultimate Electronic, Inc. (b).................... 128,700
-----------
2,148,750
-----------
Service (4.8%)
2,100 C-bridge Internet Solutions, Inc. (b)............ 102,112
7,500 ChiRex, Inc. (b)................................. 109,687
7,900 Coinstar, Inc. (b)............................... 110,600
3,700 Direct Focus, Inc. (b)........................... 102,675
5,900 Getty Images, Inc. (b)........................... 288,362
7,200 MyPoints.com, Inc. (b)........................... 532,800
2,600 Newgen Results Corporation (b)................... 27,462
4,400 Pegasus Systems, Inc. (b)........................ 265,375
1,500 ReSource Phoenix.com, Inc. (b)................... 29,625
3,500 The Corporate Executive Board Company (b)........ 195,562
5,600 The Management Network Group, Inc. (b)........... 182,700
3,300 Xpedior, Inc. (b)................................ 94,875
-----------
2,041,835
-----------
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
CONSUMER STAPLES (3.5%)
Broadcasting (2.2%)
10,600 Cumulus Media, Inc. (b).......................... $ 537,950
13,600 Network Event Theater, Inc. (b).................. 404,600
-----------
942,550
-----------
Restaurants (.9%)
11,200 P.F. Chang's China Bistro, Inc. (b).............. 278,600
6,100 PJ America, Inc. (b)............................. 94,550
-----------
373,150
-----------
Service (.4%)
6,700 PROVANT, Inc. (b)................................ 169,175
-----------
ENERGY (2.6%)
Oil (.3%)
24,600 Horizon Offshore, Inc (b)........................ 132,225
-----------
Oil & Gas (2.3%)
9,950 Cross Timbers Oil Company........................ 90,172
2,800 Evergreen Resources, Inc. (b).................... 55,300
26,500 Patterson Energy, Inc. (b)....................... 344,500
18,100 UTI Energy Corporation (b)....................... 417,431
4,500 Veritas DGC, Inc. (b)............................ 63,000
-----------
970,403
-----------
FINANCIAL (.5%)
Insurance (.5%)
7,600 HealthExtras, Inc. (b)........................... 91,200
12,600 Quotesmith.com, Inc. (b)......................... 143,325
-----------
234,525
-----------
HEALTH CARE (10.8%)
Biotechnology (4.5%)
4,900 Abgenix, Inc. (b)................................ 649,250
2,300 Albany Molecular Research, Inc (b)............... 70,150
12,600 Celgene Corporation (b).......................... 882,000
14,200 Lifecell Corporation (b)......................... 72,775
5,700 Pharmacyclics, Inc. (b).......................... 235,125
-----------
1,909,300
-----------
Drugs (4.3%)
9,600 Algos Pharmaceuticals (b)........................ 105,600
9,000 Alkermes, Inc. (b)............................... 442,125
13,000 Anesta Corporation (b)........................... 223,437
16,600 Cubist Pharmaceuticals, Inc. (b)................. 319,550
10,500 ILEX Oncology, Inc. (b).......................... 253,312
24,600 Titan Pharaceuticals, Inc. (b)................... 467,400
-----------
1,811,424
-----------
Medical Products/Supplies (.4%)
5,500 SonoSite, Inc. (b)............................... 173,937
-----------
Special Services (1.6%)
10,400 Invitrogen Corporation (b)....................... 624,000
9,600 NovaMed Eyecare, Inc. (b)........................ 64,800
-----------
688,800
-----------
TECHNOLOGY (48.3%)
6,800 Active Softwear, Inc. (b)........................ 625,600
17,400 Alloy Online, Inc. (b)........................... 274,050
</TABLE>
See accompanying notes to investments in securities.
94
<PAGE>
MICRO-CAP GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
TECHNOLOGY--CONTINUED
2,000 Ancor Communications, Inc. (b)................... $ 135,750
9,500 Bindview Development Corporation (b)............. 472,031
6,600 Brio Technology, Inc. (b)........................ 277,200
7,100 Broadbase Software, Inc. (b)..................... 798,750
7,000 Clarent Corporation (b).......................... 544,250
5,000 Clarus Corporation (b)........................... 330,000
3,100 Cognizant Tech Solutions (b)..................... 338,869
11,800 Concentric Network Corporation (b)............... 363,587
6,000 Credence Systems Corporation (b)................. 519,000
2,500 Digital Impact, Inc. (b)......................... 125,312
4,500 Ditech Communications Corporation (b)............ 420,750
1,200 E.piphany, Inc. (b).............................. 267,750
6,000 Emulex Corporation (b)........................... 675,000
15,100 Exactis.com, Inc. (b)............................ 367,119
20,800 Galileo Technology, Ltd. (b)(c).................. 501,800
2,500 GRIC Communications, Inc. (b).................... 63,437
5,500 Immersion Corporation (b)........................ 211,063
14,300 infoUSA, Inc. (b)................................ 199,306
5,425 Insight Enterprises, Inc. (b).................... 220,391
14,900 IONA Technoloiges PLC (b)(c)..................... 812,050
5,000 Jacada Ltd. (b)(c)............................... 139,375
5,100 Keynote Systems, Inc. (b)........................ 376,125
7,000 Kopin Corporation (b)............................ 294,000
1,700 Liberate Technologies, Inc. (b).................. 436,900
7,300 Liquid Audio, Inc. (b)........................... 191,625
5,800 Loislaw.com, Inc. (b)............................ 226,925
15,900 LTX Corporation (b).............................. 355,763
14,000 Maker Communications, Inc. (b)................... 598,500
2,400 Maximus, Inc. (b)................................ 81,450
3,000 NaviSite, Inc. (b)............................... 300,000
7,500 Net Ratings, Inc. (b)............................ 360,938
10,000 Netcentives, Inc. (b)............................ 623,125
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ -----------
<C> <S> <C>
TECHNOLOGY--CONTINUED
7,900 Netegrity, Inc. (b).............................. $ 449,806
1,500 Netro Corporation (b)............................ 76,500
4,600 NetSolve, Inc. (b)............................... 144,900
2,300 Next Level Communications, Inc. (b).............. 172,213
10,800 NVIDIA Corporation (b)........................... 506,925
2,300 Official Payments Corporation (b)................ 119,600
4,100 Ortel Corporation (b)............................ 492,000
13,900 Paradyne Networks, Inc. (b)...................... 378,775
13,700 Photronics, Inc. (b)............................. 392,163
8,900 Pilot Network Services, Inc. (b)................. 213,600
5,700 PLX Technology, Inc. (b)......................... 107,944
5,900 Powerwave Technologies, Inc. (b)................. 344,413
9,200 Primus Knowledge Solutions, Inc. (b)............. 416,875
3,000 QRS Corporation (b).............................. 312,938
18,100 QuickLogic Corporation (b)....................... 298,650
8,500 Rainmaker Systems, Inc. (b)...................... 172,125
2,100 Retek, Inc. (b).................................. 158,025
11,200 Sage, Inc. (b)................................... 217,000
3,800 Software.com, Inc. (b)........................... 364,800
3,400 Tanning Technology Corporation (b)............... 200,388
2,100 The Knot, Inc. (b)............................... 17,719
28,000 The Netplex Group, Inc. (b)...................... 311,500
10,100 TSI International Software, Ltd. (b)............. 571,913
1,800 Vignette Corporation (b)......................... 293,400
3,700 Vitria Technology, Inc. (b)...................... 865,800
7,500 Zoran Corporation (b)............................ 418,125
-----------
20,545,888
-----------
Total common stock (cost: $18,912,490)........................ 35,061,953
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (17.7%)
$ 690,000 FHLMC............................................ 5.614% 01/28/00 687,475
2,060,475 Provident Institutional Funds--TempFund Portfolio, current rate 2,060,475
5.480%............................................................
1,180,000 U.S. Treasury Bill............................... 5.191% 01/13/00 1,178,341
3,040,000 U.S. Treasury Bill............................... 5.305% 03/02/00 3,014,491
580,000 U.S. Treasury Bill............................... 5.025% 03/23/00 573,466
----------
Total short-term securities (cost: $7,512,494)..................... 7,514,248
----------
Total investments in securities (cost: $26,424,984) (d)............ $42,576,201
==========
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held 4.0% of net assets in foreign securities as of
December 31, 1999.
(d) At December 31, 1999 the cost of securities for federal income tax purposes
was $26,452,048. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $17,032,565
Gross unrealized depreciation.......... (908,412)
----------
Net unrealized appreciation............ $16,124,153
==========
</TABLE>
95
<PAGE>
REAL ESTATE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES
DECEMBER 31, 1999
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ----------
<C> <S> <C>
COMMON STOCK (96.4%)
COMMUNICATION SERVICES (.2%)
Telecommunication (.2%)
200 Tut Systems, Inc. (b)............................ $ 10,725
----------
CONSUMER CYCLICAL (9.0%)
Building Materials (.8%)
1,800 Masco Corporation................................ 45,675
----------
Houseware (1.1%)
2,900 Furniture Brands International, Inc. (b)......... 63,800
----------
Lodging-Hotel (5.2%)
7,600 Meristar Hospitality Corporation................. 121,600
7,700 Starwood Hotels & Resorts Worldwide, Inc......... 180,950
----------
302,550
----------
Service (1.9%)
1,700 Cendant Corporation (b).......................... 45,156
500 CoStar Group, Inc. (b)........................... 17,937
4,500 Fairfield Communities, Inc. (b).................. 48,375
----------
111,468
----------
CONSUMER STAPLES (1.1%)
Household Products (1.1%)
2,200 Newell Rubbermaid, Inc........................... 63,800
----------
FINANCIAL (85.3%)
Finance-Diversified (6.0%)
3,600 Asset Investors Corporation...................... 40,050
3,100 Crescent Real Estate Equity Company.............. 56,962
7,500 Simon Property Group, Inc........................ 172,031
6,900 Trammell Crow Company (b)........................ 80,212
----------
349,255
----------
Real Estate (4.6%)
16,100 Catellus Development Corporation (b)............. 206,281
1,800 Newhall Land & Farming Company................... 48,600
300 Pinnacle Holdings, Inc. (b)...................... 12,712
----------
267,593
----------
Real Estate Investment Trust (74.7%)
4,600 AMB Property Corporation......................... 91,712
5,660 Apartment Investment and Management.............. 225,339
2,800 Archstone Communities Trust...................... 57,400
7,200 Arden Realty Group, Inc.......................... 144,450
7,050 Avalon Bay Communities, Inc...................... 241,903
<CAPTION>
MARKET
SHARES VALUE(A)
- ------ ----------
<C> <S> <C>
FINANCIAL--CONTINUED
1,000 Boston Properties, Inc........................... $ 31,125
3,000 Camden Property Trust............................ 82,125
3,500 CarrAmerica Realty Corporation................... 73,938
2,900 CBL & Associates Properties, Inc................. 59,813
2,300 CenterPoint Properties Corporation............... 82,513
900 Eastgroup Properties............................. 16,650
9,200 Equity Office Properties Trust................... 226,550
6,000 Equity Residential Properties.................... 256,125
3,300 Essex Property Trust, Inc........................ 112,200
6,300 Franchise Finance Corporation of America......... 150,806
1,500 Gables Residential Trust......................... 36,000
8,200 Highwoods Properties, Inc........................ 190,650
15,900 Innkeepers USA Trust............................. 130,181
6,500 Kilroy Realty Corporation........................ 143,000
3,800 Kimco Realty Corporation......................... 128,725
5,410 Koger Equity, Inc................................ 91,294
4,200 Liberty Property Trust........................... 101,850
3,700 LNR Property Corporation......................... 73,538
7,300 Macerich Company................................. 151,931
4,800 Mack-Cali Realty Corporation..................... 125,100
6,200 Pacific Gulf Properties, Inc..................... 125,550
6,500 Pan Pacific Retail Properties.................... 106,031
5,600 Philips International Realty..................... 92,050
1,300 Post Properties, Inc............................. 49,725
10,516 Public Storage, Inc.............................. 238,582
1,126 Reckson Associates Realty Corporation............ 25,617
4,400 Reckson Associates Realty Corporation Class B.... 90,200
2,300 SL Green Realty Corporation...................... 50,025
3,700 Spieker Properties, Inc.......................... 134,819
4,105 Starwood Financial, Inc.......................... 69,528
6,800 Summit Properties, Inc........................... 121,550
9,000 Trizec Hahn Corporation (c)...................... 151,875
1,900 U.S. Restaurant Properties, Inc.................. 27,194
1,600 Urban Shopping Centers, Inc...................... 43,400
----------
4,351,064
----------
TECHNOLOGY (.8%)
300 American Tower Corporation (b)................... 9,169
600 Bamboo.com, Inc. (b)............................. 9,938
100 HomeStore.com, Inc. (b).......................... 7,425
400 Manugistics Group, Inc. (b)...................... 12,925
600 Timberline Software Corporation.................. 8,063
----------
47,520
----------
Total common stock (cost: $5,988,330)....................... 5,613,450
----------
</TABLE>
See accompanying notes to investments in securities.
96
<PAGE>
REAL ESTATE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
- --------- ----------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (6.4%)
Provident Institutional Funds--TempFund Portfolio, current rate
$178,660 5.480%.............................................................. $ 178,660
195,000 U.S. Treasury Bill............................... 5.430% 03/02/00 193,364
----------
Total short-term securities (cost: $371,906)......................... 372,024
----------
Total investments in securities (cost: $6,360,236) (d)............... $5,985,474
==========
</TABLE>
Notes to Investments in Securities
- -----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held 2.6% of net assets in foreign securities as of
December 31, 1999.
(d) At December 31, 1999 the cost of securities for federal income tax purposes
was $6,446,089. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<S> <C>
Gross unrealized appreciation.......... $ 140,286
Gross unrealized depreciation.......... (600,901)
---------
Net unrealized depreciation............ $(460,615)
=========
</TABLE>
97
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<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*............ $603,105,903 $178,792,140 $155,518,461
Cash in bank on demand
deposit...................... 574 -- 51
Receivable for Fund shares
sold......................... 281,216 107,106 1,230,353
Receivable for investment
securities sold.............. -- 7,643 --
Dividends and accrued interest
receivable................... 352,762 3,292,766 27,411
Receivable from Adviser....... -- -- --
Receivable for refundable
foreign income taxes
withheld..................... -- -- --
------------ ------------ ------------
Total assets.............. 603,740,455 182,199,655 156,776,276
------------ ------------ ------------
LIABILITIES
Bank overdraft................ -- 80,492 --
Payable for Fund shares
repurchased.................. 493,237 128,236 --
Dividends payable to
shareholders................. -- -- 603
Payable for investment
securities purchased......... 8,571,497 109,686 195,996
Payable to Adviser............ -- -- --
------------ ------------ ------------
Total liabilities......... 9,064,734 318,414 196,599
------------ ------------ ------------
Net assets applicable to
outstanding capital stock.... $594,675,721 $181,881,241 $156,579,677
============ ============ ============
Represented by:
Capital stock--authorized
10 trillion shares of $.01
par value**................ $ 1,784,333 $ 1,541,859 $ 1,565,797
Additional paid-in
capital.................... 332,747,285 186,610,635 155,013,880
Undistributed net investment
income..................... 20,866 10,726,543 --
Accumulated net realized
gains (losses) from
investments and foreign
currency transactions...... 18,708,290 (5,812,874) --
Unrealized appreciation
(depreciation) on
investments and translation
of assets and liabilities
in foreign currencies...... 241,414,947 (11,184,922) --
------------ ------------ ------------
Total--representing net
assets applicable to
outstanding capital
stock.................. $594,675,721 $181,881,241 $156,579,677
============ ============ ============
Net asset value per share
of outstanding capital
stock.................... $ 3.33 $ 1.18 $ 1.00
============ ============ ============
* Identified cost............ $361,690,956 $189,977,062 $155,518,461
** Shares outstanding......... 178,433,341 154,185,924 156,579,677
</TABLE>
See accompanying notes to financial statements.
98
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF ASSETS AND LIABILITIES - continued
DECEMBER 31, 1999
<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*............ $755,840,326 $137,252,512 $658,761,853 $458,899,420 $ 363,633,696 $282,448,597
Cash in bank on demand
deposit...................... 548,977 -- 310 3,395 -- 2,730
Receivable for Fund shares
sold......................... 357,872 88,823 552,841 174,904 212,454 177,225
Receivable for investment
securities sold.............. 136,370 1,519,156 150,645 9,063,519 -- 1,916,878
Dividends and accrued interest
receivable................... 3,177,083 997,020 595,800 99,131 396,288 34,511
Receivable from Adviser....... -- -- -- -- 1,818 --
Receivable for refundable
foreign income taxes
withheld..................... -- -- -- -- 308,050 --
------------ ------------ ------------ ------------ ------------- ------------
Total assets.............. 760,060,628 139,857,511 660,061,449 468,240,369 364,552,306 284,579,941
------------ ------------ ------------ ------------ ------------- ------------
LIABILITIES
Bank overdraft................ -- 71,479 -- -- -- --
Payable for Fund shares
repurchased.................. 880,238 158,980 1,049,351 520,182 703,348 262,013
Dividends payable to
shareholders................. -- -- -- -- -- --
Payable for investment
securities purchased......... 9,051,513 811,785 1,187,671 10,271,425 -- 14,436,805
Payable to Adviser............ 188 -- 62 8 -- 11
------------ ------------ ------------ ------------ ------------- ------------
Total liabilities......... 9,931,939 1,042,244 2,237,084 10,791,615 703,348 14,698,829
------------ ------------ ------------ ------------ ------------- ------------
Net assets applicable to
outstanding capital stock.... $750,128,689 $138,815,267 $657,824,365 $457,448,754 $ 363,848,958 $269,881,112
============ ============ ============ ============ ============= ============
Represented by:
Capital stock--authorized
10 trillion shares of $.01
par value**................ $ 3,143,269 $ 1,187,872 $ 1,441,387 $ 1,234,935 $ 1,876,044 $ 1,106,348
Additional paid-in
capital.................... 513,029,576 136,135,354 318,188,889 246,384,224 259,699,563 153,089,315
Undistributed net investment
income..................... 409,615 9,141,650 80,124 -- 5,722,102 --
Accumulated net realized
gains (losses) from
investments and foreign
currency transactions...... 30,349,474 (3,167,063) 5,767,527 38,431,071 24,717,124 17,176,368
Unrealized appreciation
(depreciation) on
investments and translation
of assets and liabilities
in foreign currencies...... 203,196,755 (4,482,546) 332,346,438 171,398,524 71,834,125 98,509,081
------------ ------------ ------------ ------------ ------------- ------------
Total--representing net
assets applicable to
outstanding capital
stock.................. $750,128,689 $138,815,267 $657,824,365 $457,448,754 $ 363,848,958 $269,881,112
============ ============ ============ ============ ============= ============
Net asset value per share
of outstanding capital
stock.................... $ 2.39 $ 1.17 $ 4.56 $ 3.70 $ 1.94 $ 2.44
============ ============ ============ ============ ============= ============
* Identified cost............ $552,643,571 $141,735,058 $326,415,415 $287,500,896 $ 291,781,739 $183,939,516
** Shares outstanding......... 314,326,869 118,787,217 144,138,738 123,493,537 187,604,366 110,634,794
</TABLE>
99
<PAGE>
Advantus Series Fund, Inc.
Statements of Assets and Liabilities - continued
DECEMBER 31, 1999
<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*............ $10,169,462 $6,252,325 $4,961,246
Cash in bank on demand
deposit...................... 1 8,153 1
Foreign currency on deposit
with custodian............... -- -- --
Receivable for Fund shares
sold......................... 337 577 778
Receivable for investment
securities sold.............. -- -- --
Dividends and accrued interest
receivable................... 391 337 103
Unrealized appreciation on
forward foreign currency
contracts held, at value
(note 4)..................... -- -- --
Receivable for refundable
foreign income taxes
withheld..................... -- -- --
----------- ---------- ----------
Total assets.............. 10,170,191 6,261,392 4,962,128
----------- ---------- ----------
LIABILITIES
Payable for Fund shares
repurchased.................. 9,616 864 11,650
Payable for investment
securities purchased......... -- -- 8,146
Payable to Adviser............ 4 4 --
Unrealized depreciation on
forward foreign currency
contracts held, at value
(note 4)..................... -- -- --
----------- ---------- ----------
Total liabilities......... 9,620 868 19,796
----------- ---------- ----------
Net assets applicable to
outstanding capital stock.... $10,160,571 $6,260,524 $4,942,332
=========== ========== ==========
Represented by:
Capital stock--authorized
10 trillion shares of $.01
par value**................ $ 96,323 $ 57,618 $ 41,512
Additional paid-in
capital.................... 10,219,726 6,394,015 4,890,148
Undistributed (distributions
in excess of) net
investment income.......... 3,786 2,514 312,933
Accumulated net realized
gains (losses) from
investments and foreign
currency transactions...... (25,615) (68,023) (16,544)
Unrealized appreciation
(depreciation) on
investments and translation
of assets and liabilities
in foreign currencies...... (133,649) (125,600) (285,717)
----------- ---------- ----------
Total--representing net
assets applicable to
outstanding capital
stock.................. $10,160,571 $6,260,524 $4,942,332
=========== ========== ==========
Net asset value per share
of outstanding capital
stock.................... $ 1.05 $ 1.09 $ 1.19
=========== ========== ==========
* Identified cost............ $10,303,111 $6,377,925 $5,246,963
** Shares outstanding......... 9,632,264 5,761,757 4,151,213
</TABLE>
See accompanying notes to financial statements.
100
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF ASSETS AND LIABILITIES - continued
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SMALL
VALUE COMPANY GLOBAL INDEX 400 MACRO-CAP MICRO-CAP REAL ESTATE
STOCK VALUE BOND MID-CAP VALUE GROWTH SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at
market value--see
accompanying schedule for
detailed listing*............ $191,652,106 $12,496,424 $30,782,925 $24,510,178 $22,479,646 $42,576,201 $5,985,474
Cash in bank on demand
deposit...................... 283 508 327,514 756 47,915 861 463
Foreign currency on deposit
with custodian............... -- -- 251,508 -- -- -- --
Receivable for Fund shares
sold......................... 117,884 47,034 74,598 94,652 53,338 193,916 10,334
Receivable for investment
securities sold.............. 11,154,346 239,967 -- 85,557 1,941 100,607 --
Dividends and accrued interest
receivable................... 221,076 33,523 722,274 15,549 21,766 5,111 47,418
Unrealized appreciation on
forward foreign currency
contracts held, at value
(note 4)..................... -- -- 238,801 -- -- -- --
Receivable for refundable
foreign income taxes
withheld..................... -- -- 17,168 -- -- -- --
------------ ----------- ----------- ----------- ----------- ----------- ----------
Total assets.............. 203,145,695 12,817,456 32,414,788 24,706,692 22,604,606 42,876,696 6,043,689
------------ ----------- ----------- ----------- ----------- ----------- ----------
LIABILITIES
Payable for Fund shares
repurchased.................. 163,210 13,302 5,751 34,283 19,480 47,920 6,667
Payable for investment
securities purchased......... 11,602,645 286,612 -- 315,123 12,284 275,106 211,069
Payable to Adviser............ 63 2 -- 15 2,566 -- 6
Unrealized depreciation on
forward foreign currency
contracts held, at value
(note 4)..................... -- -- 316,125 -- -- -- --
------------ ----------- ----------- ----------- ----------- ----------- ----------
Total liabilities......... 11,765,918 299,916 321,876 349,421 34,330 323,026 217,742
------------ ----------- ----------- ----------- ----------- ----------- ----------
Net assets applicable to
outstanding capital stock.... $191,379,777 $12,517,540 $32,092,912 $24,357,271 $22,570,276 $42,553,670 $5,825,947
============ =========== =========== =========== =========== =========== ==========
Represented by:
Capital stock--authorized
10 trillion shares of $.01
par value**................ $ 1,117,529 $ 137,880 $ 343,241 $ 205,801 $ 194,014 $ 169,622 $ 77,038
Additional paid-in
capital.................... 174,738,173 13,064,557 34,170,736 21,727,949 21,097,523 21,789,611 7,098,125
Undistributed (distributions
in excess of) net
investment income.......... 94,301 8,863 (208,416) 12,429 33 -- --
Accumulated net realized
gains (losses) from
investments and foreign
currency transactions...... (2,951,720) (1,337,956) (995,245) 122,066 (59,434) 4,443,220 (974,454)
Unrealized appreciation
(depreciation) on
investments and translation
of assets and liabilities
in foreign currencies...... 18,381,494 644,196 (1,217,404) 2,289,026 1,338,140 16,151,217 (374,762)
------------ ----------- ----------- ----------- ----------- ----------- ----------
Total--representing net
assets applicable to
outstanding capital
stock.................. $191,379,777 $12,517,540 $32,092,912 $24,357,271 $22,570,276 $42,553,670 $5,825,947
============ =========== =========== =========== =========== =========== ==========
Net asset value per share
of outstanding capital
stock.................... $ 1.71 $ .91 $ .94 $ 1.18 $ 1.16 $ 2.51 $ .76
============ =========== =========== =========== =========== =========== ==========
* Identified cost............ $173,270,612 $11,852,228 $31,909,538 $22,221,152 $21,141,506 $26,424,984 $6,360,236
** Shares outstanding......... 111,752,857 13,788,012 34,324,057 20,580,059 19,401,373 16,962,230 7,703,847
</TABLE>
101
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF OPERATIONS
YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
MONEY
GROWTH BOND MARKET
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ----------
<S> <C> <C> <C>
Investment income:
Interest............................. $ 656,351 $ 10,928,629 $7,397,421
Dividends (net of foreign withholding
taxes of $754,884 for International
Stock Portfolio).................... 2,628,903 804,539 --
------------ ------------ ----------
Total investment income.......... 3,285,254 11,733,168 7,397,421
------------ ------------ ----------
Expenses (note 5):
Investment advisory fee.............. 2,494,891 905,784 715,791
Custodian fees....................... 12,219 12,938 7,667
Administrative services fee.......... 45,400 45,400 45,400
Auditing and accounting services..... 18,397 8,710 6,190
Legal fees........................... 11,958 4,822 3,987
Registration fees.................... -- 169 492
Printing and shareholder reports..... 60,968 22,199 19,835
Directors' fees...................... 7,983 2,986 2,335
Insurance............................ 3,055 1,663 1,392
S&P licensing fee.................... -- -- --
Other................................ 9,517 1,954 1,643
------------ ------------ ----------
Total expenses................... 2,664,388 1,006,625 804,732
Less fees and expenses waived or
absorbed by Minnesota Life: -- -- --
------------ ------------ ----------
Total net expenses............... 2,664,388 1,006,625 804,732
------------ ------------ ----------
Investment income (loss)--net.... 620,866 10,726,543 6,592,689
------------ ------------ ----------
Realized and unrealized gains (losses)
on investments and foreign currencies:
Net realized gains (losses) from:
Investments (note 3)............... 20,132,234 (5,461,475) --
Foreign currency transactions...... -- -- --
Net change in unrealized appreciation
or depreciation on:
Investments........................ 100,961,695 (10,168,312) --
Translation of assets and
liabilities in foreign currency... -- -- --
------------ ------------ ----------
Net gains (losses) on
investments..................... 121,093,929 (15,629,787) --
------------ ------------ ----------
Net increase (decrease) in net assets
resulting from operations........... $121,714,795 $ (4,903,244) $6,592,689
============ ============ ==========
</TABLE>
See accompanying notes to financial statements.
102
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF OPERATIONS - CONTINUED
YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
ASSET MORTGAGE CAPITAL INTERNATIONAL SMALL
ALLOCATION SECURITIES INDEX 500 APPRECIATION STOCK COMPANY GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ------------ ------------ ------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Investment income:
Interest............................. $14,143,916 $ 9,789,171 $ 116,832 $ 746,433 $ 1,136,072 $ 600,464
Dividends (net of foreign withholding
taxes of $754,884 for International
Stock Portfolio).................... 4,626,543 103,107 7,643,119 1,338,685 8,267,991 74,648
----------- ----------- ------------ ----------- ----------- -----------
Total investment income.......... 18,770,459 9,892,278 7,759,951 2,085,118 9,404,063 675,112
----------- ----------- ------------ ----------- ----------- -----------
Expenses (note 5):
Investment advisory fee.............. 3,331,000 664,424 2,380,660 2,859,868 2,264,526 1,449,287
Custodian fees....................... 18,508 7,206 71,675 9,550 313,071 11,956
Administrative services fee.......... 45,400 45,400 45,400 45,400 33,300 45,400
Auditing and accounting services..... 33,670 9,780 11,286 14,634 212,396 6,112
Legal fees........................... 15,726 3,713 14,182 9,458 7,907 4,957
Registration fees.................... -- 150 1,235 -- 45 24,171
Printing and shareholder reports..... 81,780 15,861 72,085 48,804 39,901 --
Directors' fees...................... 10,767 2,186 9,346 -- 5,219 --
Insurance............................ 3,500 1,398 3,306 2,422 2,250 1,624
S&P licensing fee.................... -- -- 59,005 -- 710 --
Other................................ 13,252 510 11,647 18,082 2,886 8,288
----------- ----------- ------------ ----------- ----------- -----------
Total expenses................... 3,553,603 750,628 2,679,827 3,008,218 2,882,211 1,551,795
Less fees and expenses waived or
absorbed by Minnesota Life: -- -- -- -- -- --
----------- ----------- ------------ ----------- ----------- -----------
Total net expenses............... 3,553,603 750,628 2,679,827 3,008,218 2,882,211 1,551,795
----------- ----------- ------------ ----------- ----------- -----------
Investment income (loss)--net.... 15,216,856 9,141,650 5,080,124 (923,100) 6,521,852 (876,683)
----------- ----------- ------------ ----------- ----------- -----------
Realized and unrealized gains (losses)
on investments and foreign currencies:
Net realized gains (losses) from:
Investments (note 3)............... 33,121,659 (882,469) 8,470,614 40,283,314 29,660,350 36,374,507
Foreign currency transactions...... -- -- -- -- (665,343) --
Net change in unrealized appreciation
or depreciation on:
Investments........................ 50,655,655 (5,631,350) 100,231,061 41,566,691 28,359,245 48,401,789
Translation of assets and
liabilities in foreign currency... -- -- -- -- (34,768) --
----------- ----------- ------------ ----------- ----------- -----------
Net gains (losses) on
investments..................... 83,777,314 (6,513,819) 108,701,675 81,850,005 57,319,484 84,776,296
----------- ----------- ------------ ----------- ----------- -----------
Net increase (decrease) in net assets
resulting from operations........... $98,994,170 $ 2,627,831 $113,781,799 $80,926,905 $63,841,336 $83,899,613
=========== =========== ============ =========== =========== ===========
</TABLE>
103
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF OPERATIONS - CONTINUED
YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
MATURING MATURING MATURING
GOVERNMENT GOVERNMENT GOVERNMENT
BOND 2002 BOND 2006 BOND 2010
PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ----------
<S> <C> <C> <C>
Investment income:
Interest (net of foreign withholding
taxes of $12,131 for Global Bond
Portfolio).......................... $ 453,215 $ 402,673 $ 334,435
Dividends............................ -- -- --
--------- --------- ---------
Total investment income.......... 453,215 402,673 334,435
--------- --------- ---------
Expenses (note 5):
Investment advisory fee.............. 19,643 16,349 13,438
Custodian fees....................... 6,577 7,599 9,522
Administrative services fee.......... 45,400 45,400 45,400
Auditing and accounting services..... 10,705 10,704 6,503
Legal fees........................... 966 947 922
Registration fees.................... 6 7 1
Printing and shareholder reports..... 905 859 698
Directors' fees...................... 132 108 89
Insurance............................ 355 304 300
S&P licensing fee.................... -- -- --
Other................................ 76 60 48
--------- --------- ---------
Total expenses................... 84,765 82,337 76,921
Less fees and expenses waived or
absorbed by Minnesota Life: (53,336) (56,178) (55,419)
--------- --------- ---------
Total net expenses............... 31,429 26,159 21,502
--------- --------- ---------
Investment income (loss)--net.... 421,786 376,514 312,933
--------- --------- ---------
Realized and unrealized gains (losses)
on investments and foreign currencies:
Net realized gains (losses) from:
Investments (note 3)............... (19,742) (48,930) 85
Foreign currency transactions...... -- -- --
Net change in unrealized appreciation
or depreciation on:
Investments........................ (425,226) (865,808) (979,955)
Translation of assets and
liabilities in foreign currency... -- -- --
--------- --------- ---------
Net gains (losses) on
investments..................... (444,968) (914,738) (979,870)
--------- --------- ---------
Net increase (decrease) in net assets
resulting from operations........... $ (23,182) $(538,224) $(666,937)
========= ========= =========
</TABLE>
See accompanying notes to financial statements.
104
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF OPERATIONS - CONTINUED
YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SMALL
VALUE COMPANY GLOBAL INDEX 400 MACRO-CAP MICRO-CAP REAL ESTATE
STOCK VALUE BOND MID-CAP VALUE GROWTH SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ --------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Investment income:
Interest (net of foreign withholding
taxes of $12,131 for Global Bond
Portfolio).......................... $ 517,834 $ 42,400 $ 2,145,831 $ 10,654 $ 30,480 $ 119,181 $ 11,160
Dividends............................ 3,648,296 197,016 -- 185,286 203,773 2,814 291,218
------------ --------- ----------- ---------- ---------- ----------- ---------
Total investment income.......... 4,166,130 239,416 2,145,831 195,940 234,253 121,995 302,378
------------ --------- ----------- ---------- ---------- ----------- ---------
Expenses (note 5):
Investment advisory fee.............. 1,511,048 77,509 188,285 61,826 113,418 171,857 41,354
Custodian fees....................... 15,062 15,854 3,256 15,421 26,358 6,033 7,040
Administrative services fee.......... 45,400 45,400 33,300 45,400 33,300 45,400 45,400
Auditing and accounting services..... 8,495 16,722 63,641 16,058 62,080 16,057 14,354
Legal fees........................... 5,363 1,016 1,500 1,096 1,136 1,069 917
Registration fees.................... -- 2 71 -- -- -- 422
Printing and shareholder reports..... 26,777 1,251 3,910 417 601 176 718
Directors' fees...................... 3,239 164 513 243 249 -- 89
Insurance............................ 1,623 417 662 480 492 429 302
S&P licensing fee.................... -- -- -- 10,000 -- -- --
Other................................ 4,822 2,562 -- 4,114 2,789 4,144 2,539
------------ --------- ----------- ---------- ---------- ----------- ---------
Total expenses................... 1,621,829 160,897 295,138 155,055 240,423 245,165 113,135
Less fees and expenses waived or
absorbed by Minnesota Life: -- (67,886) -- (70,044) (102,703) (50,020) (63,511)
------------ --------- ----------- ---------- ---------- ----------- ---------
Total net expenses............... 1,621,829 93,011 295,138 85,011 137,720 195,145 49,624
------------ --------- ----------- ---------- ---------- ----------- ---------
Investment income (loss)--net.... 2,544,301 146,405 1,850,693 110,929 96,533 (73,150) 252,754
------------ --------- ----------- ---------- ---------- ----------- ---------
Realized and unrealized gains (losses)
on investments and foreign currencies:
Net realized gains (losses) from:
Investments (note 3)............... 8,724,028 (724,418) (969,285) 1,165,577 700,348 5,447,807 (579,299)
Foreign currency transactions...... -- -- (1,363,844) -- -- -- --
Net change in unrealized appreciation
or depreciation on:
Investments........................ (10,353,629) 409,866 (1,953,550) 1,664,366 382,932 14,803,544 87,999
Translation of assets and
liabilities in foreign currency... -- -- (89,613) -- -- -- --
------------ --------- ----------- ---------- ---------- ----------- ---------
Net gains (losses) on
investments..................... (1,629,601) (314,552) (4,376,292) 2,829,943 1,083,280 20,251,351 (491,300)
------------ --------- ----------- ---------- ---------- ----------- ---------
Net increase (decrease) in net assets
resulting from operations........... $ 914,700 $(168,147) $(2,525,599) $2,940,872 $1,179,813 $20,178,201 $(238,546)
============ ========= =========== ========== ========== =========== =========
</TABLE>
105
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED DECEMBER 31, 1999 AND 1998
<TABLE>
<CAPTION>
GROWTH BOND
PORTFOLIO PORTFOLIO
--------------------------- --------------------------
1999 1998 1999 1998
------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Operations:
Investment income -- net............. $ 620,866 $ 1,551,114 $ 10,726,543 $ 9,315,816
Net realized gains (losses) on
investements........................ 20,132,234 12,032,482 (5,461,475) 3,404,521
Net change in unrealized appreciation
or depreciation of investments...... 100,961,695 104,951,872 (10,168,312) (3,204,439)
------------- ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations........................ 121,714,795 118,535,468 (4,903,244) 9,515,898
------------- ------------ ------------ ------------
Distributions to shareholders from:
Investment income -- net............. (2,151,114) (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................ (15,164,943) (57,738,481) (13,063,758) (10,427,093)
------------- ------------ ------------ ------------
Capital share transactions (note 6):
Proceeds from sales.................. 121,088,623 97,160,616 53,604,180 64,234,944
Shares issued as a result of
reinvested distributions............ 15,164,943 57,738,481 13,063,758 10,427,093
Payments for redemption of shares.... (116,509,613) (78,130,317) (45,612,304) (34,782,027)
------------- ------------ ------------ ------------
Increase in net assets from capital
share transactions................ 19,743,953 76,768,780 21,055,634 39,880,010
------------- ------------ ------------ ------------
Total increase in net assets....... 126,293,805 137,565,767 3,088,632 38,968,815
Net assets at beginning of year........ 468,381,916 330,816,149 178,792,609 139,823,794
------------- ------------ ------------ ------------
Net assets at end of year*............. $ 594,675,721 $468,381,916 $181,881,241 $178,792,609
============= ============ ============ ============
* including undistributed net
investment income of.................. $ 20,866 $ 1,551,114 $ 10,726,543 $ 9,315,816
</TABLE>
See accompanying notes to financial statements.
106
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS - continued
YEARS ENDED DECEMBER 31, 1999 AND 1998
<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 -- net............. $ 6,592,689 $ 3,538,595 $ 15,216,856 $ 14,000,766 $ 9,141,650 $ 7,552,106
Net realized gains (losses) on
investements........................ -- -- 33,121,659 31,558,197 (882,469) 608,476
Net change in unrealized appreciation
or depreciation of investments...... -- -- 50,655,655 75,505,619 (5,631,350) (1,161,588)
------------- ------------ ------------- ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations........................ 6,592,689 3,538,595 98,994,170 121,064,582 2,627,831 6,998,994
------------- ------------ ------------- ------------ ------------ ------------
Distributions to shareholders from:
Investment income -- net............. (6,592,689) (3,538,595) (28,808,007) (14,159,977) (7,552,106) (5,857,983)
Net realized gains................... -- -- (32,912,956) (35,984,079) -- --
------------- ------------ ------------- ------------ ------------ ------------
Total distributions................ (6,592,689) (3,538,595) (61,720,963) (50,144,056) (7,552,106) (5,857,983)
------------- ------------ ------------- ------------ ------------ ------------
Capital share transactions (note 6):
Proceeds from sales.................. 196,154,692 166,500,747 131,884,774 109,955,098 43,047,353 42,032,571
Shares issued as a result of
reinvested distributions............ 6,592,689 3,538,595 61,720,963 50,144,056 7,552,106 5,857,983
Payments for redemption of shares.... (172,344,676) (97,445,660) (118,746,975) (100,243,074) (31,218,007) (23,906,575)
------------- ------------ ------------- ------------ ------------ ------------
Increase in net assets from capital
share transactions................ 30,402,705 72,593,682 74,858,762 59,856,080 19,381,452 23,983,979
------------- ------------ ------------- ------------ ------------ ------------
Total increase in net assets....... 30,402,705 72,593,682 112,131,969 130,776,606 14,457,177 25,124,990
Net assets at beginning of year........ 126,176,972 53,583,290 637,996,720 507,220,114 124,358,090 99,233,100
------------- ------------ ------------- ------------ ------------ ------------
Net assets at end of year*............. $ 156,579,677 $126,176,972 $ 750,128,689 $637,996,720 $138,815,267 $124,358,090
============= ============ ============= ============ ============ ============
* including undistributed net
investment income of.................. $ -- $ -- $ 409,615 $ 14,000,766 $ 9,141,650 $ 7,552,106
</TABLE>
107
<PAGE>
Advantus Series Fund, Inc.
Statements of Changes in Net Assets - continued
YEARS ENDED DECEMBER 31, 1999 AND 1998
<TABLE>
<CAPTION>
CAPITAL
INDEX 500 APPRECIATION
PORTFOLIO PORTFOLIO
---------------------------- --------------------------
1999 1998 1999 1998
------------- ------------- ------------ ------------
<S> <C> <C> <C> <C>
Operations:
Investment income -- net............. $ 5,080,124 $ 5,083,595 $ (923,100) $ (677,156)
Net realized gains (losses) on
investements........................ 8,470,614 5,982,474 40,283,314 51,782,047
Net change in unrealized appreciation
or depreciation of investments...... 100,231,061 102,199,332 41,566,691 39,852,762
------------- ------------- ------------ ------------
Net increase (decrease) in net
assets resulting from
operations........................ 113,781,799 113,265,401 80,926,905 90,957,653
------------- ------------- ------------ ------------
Distributions to shareholders from:
Investment income -- net............. (10,083,595) (3,885,375) -- --
Net realized gains................... (8,167,486) (2,435,409) (52,034,035) (17,585,344)
------------- ------------- ------------ ------------
Total distributions................ (18,251,081) (6,320,784) (52,034,035) (17,585,344)
------------- ------------- ------------ ------------
Capital share transactions (note 6):
Proceeds from sales.................. 206,284,610 172,079,899 69,233,507 72,728,540
Shares issued as a result of
reinvested distributions............ 18,251,081 6,320,784 52,034,035 17,585,344
Payments for redemption of shares.... (199,101,535) (129,236,528) (85,511,305) (65,551,782)
------------- ------------- ------------ ------------
Increase (decrease) in net assets
from capital share transactions... 25,434,156 49,164,155 35,756,237 24,762,102
------------- ------------- ------------ ------------
Total increase in net assets....... 120,964,874 156,108,772 64,649,107 98,134,411
Net assets at beginning of year........ 536,859,491 380,750,719 392,799,647 294,665,236
------------- ------------- ------------ ------------
Net assets at end of year*............. $ 657,824,365 $ 536,859,491 $457,448,754 $392,799,647
============= ============= ============ ============
* including undistributed net
investment income of.................. $ 80,124 $ 5,083,595 $ -- $ --
</TABLE>
See accompanying notes to financial statements.
108
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS - continued
YEARS ENDED DECEMBER 31, 1999 AND 1998
<TABLE>
<CAPTION>
MATURING
INTERNATIONAL SMALL 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 -- net............. $ 6,521,852 $ 7,914,482 $ (876,683) $ (508,379) $ 421,786 $ 299,076
Net realized gains (losses) on
investements........................ 28,995,007 15,367,940 36,374,507 (14,937,281) (19,742) 53,290
Net change in unrealized appreciation
or depreciation of investments...... 28,324,477 (5,069,150) 48,401,789 17,789,046 (425,226) 112,608
------------ ------------ ------------ ------------ ----------- ----------
Net increase (decrease) in net
assets resulting from
operations........................ 63,841,336 18,213,272 83,899,613 2,343,386 (23,182) 464,974
------------ ------------ ------------ ------------ ----------- ----------
Distributions to shareholders from:
Investment income -- net............. (7,999,361) (8,175,659) -- -- (421,076) (326,884)
Net realized gains................... (15,540,036) (8,049,161) -- -- -- (68,111)
------------ ------------ ------------ ------------ ----------- ----------
Total distributions................ (23,539,397) (16,224,820) -- -- (421,076) (394,995)
------------ ------------ ------------ ------------ ----------- ----------
Capital share transactions (note 6):
Proceeds from sales.................. 72,079,888 77,740,160 48,493,150 58,982,956 5,070,623 2,802,444
Shares issued as a result of
reinvested distributions............ 23,539,397 16,224,820 -- -- 421,076 394,995
Payments for redemption of shares.... (82,944,819) (72,251,315) (57,858,209) (48,896,516) (1,741,050) (621,680)
------------ ------------ ------------ ------------ ----------- ----------
Increase (decrease) in net assets
from capital share transactions... 12,674,466 21,713,665 (9,365,059) 10,086,440 3,750,649 2,575,759
------------ ------------ ------------ ------------ ----------- ----------
Total increase in net assets....... 52,976,405 23,702,117 74,534,554 12,429,826 3,306,391 2,645,738
Net assets at beginning of year........ 310,872,553 287,170,436 195,346,558 182,916,732 6,854,180 4,208,442
------------ ------------ ------------ ------------ ----------- ----------
Net assets at end of year*............. $363,848,958 $310,872,553 $269,881,112 $195,346,558 $10,160,571 $6,854,180
============ ============ ============ ============ =========== ==========
* including undistributed net
investment income of.................. $ 5,722,102 $ 10,322,676 $ -- $ -- $ 3,786 $ 3,076
</TABLE>
109
<PAGE>
Advantus Series Fund, Inc.
Statements of Changes in Net Assets - continued
YEARS ENDED DECEMBER 31, 1999 AND 1998
<TABLE>
<CAPTION>
MATURING MATURING
GOVERNMENT GOVERNMENT
BOND 2006 BOND 2010
PORTFOLIO PORTFOLIO
------------------------ ------------------------
1999 1998 1999 1998
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Operations:
Investment income -- net............. $ 376,514 $ 287,830 $ 312,933 $ 231,080
Net realized gains (losses) on
investements........................ (48,930) 14,313 85 2,583
Net change in unrealized appreciation
or depreciation of investments...... (865,808) 393,989 (979,955) 350,712
----------- ----------- ----------- -----------
Net increase (decrease) in net
assets resulting from
operations........................ (538,224) 696,132 (666,937) 584,375
----------- ----------- ----------- -----------
Distributions to shareholders from:
Investment income -- net............. (374,327) (321,152) (231,080) (166,131)
Net realized gains................... -- (25,396) (10,517) (3,318)
Tax return of capital................ -- -- -- --
----------- ----------- ----------- -----------
Total distributions................ (374,327) (346,548) (241,597) (169,449)
----------- ----------- ----------- -----------
Capital share transactions (note 6):
Proceeds from sales.................. 1,720,301 3,615,922 2,038,505 3,483,945
Shares issued as a result of
reinvested distributions............ 374,327 346,548 241,597 169,449
Payments for redemption of shares.... (1,791,410) (1,342,384) (2,077,689) (1,596,250)
----------- ----------- ----------- -----------
Increase (decrease) in net assets
from capital share transactions... 303,218 2,620,086 202,413 2,057,144
----------- ----------- ----------- -----------
Total increase (decrease) in net
assets............................ (609,333) 2,969,670 (706,121) 2,472,070
Net assets at beginning of year........ 6,869,857 3,900,187 5,648,453 3,176,383
----------- ----------- ----------- -----------
Net assets at end of year*............. $ 6,260,524 $ 6,869,857 $ 4,942,332 $ 5,648,453
=========== =========== =========== ===========
* including undistributed
(distributions in excess of) net
investment income of.................. $ 2,514 $ 327 $ 312,933 $ 231,080
</TABLE>
See accompanying notes to financial statements.
110
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS - continued
YEARS ENDED DECEMBER 31, 1999 AND 1998
<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 -- net............. $ 2,544,301 $ 3,275,701 $ 146,405 $ 96,452 $ 1,850,693 $ 1,303,782
Net realized gains (losses) on
investements........................ 8,724,028 (11,432,200) (724,418) (559,881) (2,333,129) 1,799,029
Net change in unrealized appreciation
or depreciation of investments...... (10,353,629) 11,461,312 409,866 46,696 (2,043,163) 987,582
------------ ------------ ----------- ----------- ----------- -----------
Net increase (decrease) in net
assets resulting from
operations........................ 914,700 3,304,813 (168,147) (416,733) (2,525,599) 4,090,393
------------ ------------ ----------- ----------- ----------- -----------
Distributions to shareholders from:
Investment income -- net............. (5,725,701) -- (150,000) (111,242) (908,156) (878,174)
Net realized gains................... -- (344,373) -- -- (141,029) (1,678,937)
Tax return of capital................ -- -- -- (548) -- --
------------ ------------ ----------- ----------- ----------- -----------
Total distributions................ (5,725,701) (344,373) (150,000) (111,790) (1,049,185) (2,557,111)
------------ ------------ ----------- ----------- ----------- -----------
Capital share transactions (note 6):
Proceeds from sales.................. 45,459,132 73,779,055 6,559,658 7,489,165 7,332,871 5,272,273
Shares issued as a result of
reinvested distributions............ 5,725,701 344,373 150,000 111,790 1,049,185 2,557,111
Payments for redemption of shares.... (69,039,954) (71,131,363) (2,519,839) (3,603,869) (3,866,428) (3,229,318)
------------ ------------ ----------- ----------- ----------- -----------
Increase (decrease) in net assets
from capital share transactions... (17,855,121) 2,992,065 4,189,819 3,997,086 4,515,628 4,600,066
------------ ------------ ----------- ----------- ----------- -----------
Total increase (decrease) in net
assets............................ (22,666,122) 5,952,505 3,871,672 3,468,563 940,844 6,133,348
Net assets at beginning of year........ 214,045,899 208,093,394 8,645,868 5,177,305 31,152,068 25,018,720
------------ ------------ ----------- ----------- ----------- -----------
Net assets at end of year*............. $191,379,777 $214,045,899 $12,517,540 $ 8,645,868 $32,092,912 $31,152,068
============ ============ =========== =========== =========== ===========
* including undistributed
(distributions in excess of) net
investment income of.................. $ 94,301 $ 3,275,701 $ 8,863 $ -- $ (208,416) $ 212,891
</TABLE>
111
<PAGE>
Advantus Series Fund, Inc.
Statements of Changes in Net Assets - continued
YEARS ENDED DECEMBER 31, 1999 AND 1998
<TABLE>
<CAPTION>
INDEX 400
MID-CAP
PORTFOLIO
------------------------
1999 1998
----------- -----------
<S> <C> <C>
Operations:
Investment income (loss) -- net...... $ 110,929 $ 51,264
Net realized gains (losses) on
investements........................ 1,165,577 829,653
Net change in unrealized appreciation
or depreciation of investments...... 1,664,366 573,973
----------- -----------
Net increase (decrease) in net
assets resulting from
operations........................ 2,940,872 1,454,890
----------- -----------
Distributions to shareholders from:
Investment income -- net............. (98,500) (64,340)
Net realized gains................... (1,658,627) (184,870)
Tax return of capital................ -- --
----------- -----------
Total distributions................ (1,757,127) (249,210)
----------- -----------
Capital share transactions (note 6):
Proceeds from sales.................. 14,710,439 7,061,818
Shares issued as a result of
reinvested distributions............ 1,757,127 249,210
Payments for redemption of shares.... (3,805,290) (3,057,348)
----------- -----------
Increase in net assets from capital
share transactions................ 12,662,276 4,253,680
----------- -----------
Total increase in net assets....... 13,846,021 5,459,360
Net assets at beginning of year........ 10,511,250 5,051,890
----------- -----------
Net assets at end of year*............. $24,357,271 $10,511,250
=========== ===========
* including undistributed net
investment income of.................. $ 12,429 $ --
</TABLE>
(a) Period from April 24, 1998, commencement of operations, to December 31,
1998.
See accompanying notes to financial statements.
112
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENTS OF CHANGES IN NET ASSETS - continued
YEARS ENDED DECEMBER 31, 1999 AND 1998
<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...... $ 96,533 $ 46,797 $ (73,150) $ (21,765) $ 252,754 $ 176,203
Net realized gains (losses) on
investements........................ 700,348 558,046 5,447,807 (819,037) (579,299) (395,155)
Net change in unrealized appreciation
or depreciation of investments...... 382,932 1,033,299 14,803,544 1,805,838 87,999 (462,761)
----------- ----------- ----------- ----------- ----------- ----------
Net increase (decrease) in net
assets resulting from
operations........................ 1,179,813 1,638,142 20,178,201 965,036 (238,546) (681,713)
----------- ----------- ----------- ----------- ----------- ----------
Distributions to shareholders from:
Investment income -- net............. (98,097) (45,572) -- -- (252,754) (175,908)
Net realized gains................... (826,182) (437,926) -- -- -- --
Tax return of capital................ -- -- -- -- (60,746) (28,239)
----------- ----------- ----------- ----------- ----------- ----------
Total distributions................ (924,279) (483,498) -- -- (313,500) (204,147)
----------- ----------- ----------- ----------- ----------- ----------
Capital share transactions (note 6):
Proceeds from sales.................. 13,357,586 7,280,348 19,083,551 4,104,094 1,811,607 6,173,915
Shares issued as a result of
reinvested distributions............ 924,279 483,498 -- -- 313,500 204,147
Payments for redemption of shares.... (3,055,089) (2,753,948) (4,742,527) (1,625,610) (1,069,575) (169,741)
----------- ----------- ----------- ----------- ----------- ----------
Increase in net assets from capital
share transactions................ 11,226,776 5,009,898 14,341,024 2,478,484 1,055,532 6,208,321
----------- ----------- ----------- ----------- ----------- ----------
Total increase in net assets....... 11,482,310 6,164,542 34,519,225 3,443,520 503,486 5,322,461
Net assets at beginning of year........ 11,087,966 4,923,424 8,034,445 4,590,925 5,322,461 --
----------- ----------- ----------- ----------- ----------- ----------
Net assets at end of year*............. $22,570,276 $11,087,966 $42,553,670 $ 8,034,445 $ 5,825,947 $5,322,461
=========== =========== =========== =========== =========== ==========
* including undistributed net
investment income of.................. $ 33 $ 1,597 $ -- $ -- $ -- $ --
</TABLE>
(a) Period from April 24, 1998, commencement of operations, to December 31,
1998.
113
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
(1) ORGANIZATION
Advantus Series Fund, Inc. (the Fund) is registered under the Investment
Company Act of 1940 (as amended) as a diversified (except for Global Bond
Portfolio), 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
Each Portfolio'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 those held in
Money Market, International Stock, Macro-Cap Value and Global Bond Portfolios,
are valued at market. For International Stock, Macro-Cap Value and Global Bond
Portfolios, 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.
114
<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 rates.
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 December 31, 1999, which, if not offset by subsequent capital
gains, will expire December 31, 2002 through 2008. 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 expire:
<TABLE>
<S> <C>
Bond............................................................... $ 5,531,670
Mortgage Securities................................................ 3,054,354
Maturing Government Bond 2002...................................... 18,739
Maturing Government Bond 2006...................................... 33,411
Maturing Government Bond 2010...................................... 11,305
Value Stock........................................................ 1,417,246
Small Company Value................................................ 1,224,022
Global Bond........................................................ 946,758
Real Estate Securities............................................. 888,601
</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 income or realized gains may differ from their ultimate
characterization for federal income tax purposes. Also, due to the timing of
dividend distributions, the fiscal year in which amounts are distributed may
differ from the year that the income (loss) or realized gains (losses) were
recorded by the Fund.
115
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - CONTINUED
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - (CONTINUED)
On the statement of assets and liabilities, as a result of permanent book-to-tax
differences, reclassification adjustments were made as follows:
<TABLE>
<CAPTION>
UNDISTRIBUTED
NET ACCUMULATED ADDITIONAL
INVESTMENT REALIZED PAID IN
INCOME GAIN/LOSS CAPITAL
------------- ----------- ----------
<S> <C> <C> <C>
Capital Appreciation........................................ $ 923,100 $ (923,100) $ --
International Stock......................................... (3,123,065) 3,129,175 (6,110)
Small Company Growth........................................ 876,683 (876,683) --
Small Company Value......................................... 12,458 (8,863) (3,595)
Global Bond................................................. (1,363,844) 1,363,844 --
Micro-Cap Growth............................................ 73,150 (73,150) --
</TABLE>
DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders from net investment income for Money Market
are declared and reinvested daily in additional shares of capital stock. For
Portfolios other than Money Market, distributions from net investment income and
realized gains, if any, will generally be declared and reinvested in additional
shares on an annual basis.
(3) INVESTMENT SECURITY TRANSACTIONS
For the year ended December 31, 1999, the cost of purchases and proceeds
from sales of investment securities aggregated $724,847,153 and $694,720,259,
respectively, for Money Market. For the other Portfolios, the cost of purchases
and proceeds from sales of investment securities, other than temporary
investments in short-term securities, for the year ended December 31, 1999 were
as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ -------------
<S> <C> <C>
Growth............................................. $329,400,685 $321,338,446
Bond............................................... 267,365,152 247,005,224
Asset Allocation................................... 662,966,351 629,573,084
Mortgage Securities................................ 124,655,145 103,398,364
Index 500.......................................... 161,992,973 151,171,118
Capital Appreciation............................... 424,491,035 431,136,238
International Stock................................ 108,413,957 103,671,992
Small Company Growth............................... 194,700,475 204,431,619
Maturing Government Bond 2002...................... 5,425,883 1,662,446
Maturing Government Bond 2006...................... 1,286,861 921,942
Maturing Government Bond 2010...................... 1,512,136 1,217,425
Value Stock........................................ 250,213,907 265,757,667
Small Company Value................................ 13,260,031 9,776,286
Global Bond........................................ 88,483,874 84,856,283
Index 400 Mid-Cap.................................. 22,831,134 11,737,520
Macro-Cap Value.................................... 25,669,118 16,131,035
Micro-Cap Growth................................... 22,804,453 14,929,971
Real Estate Securities............................. 6,658,344 5,650,922
</TABLE>
116
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - CONTINUED
(4) FORWARD FOREIGN CURRENCY CONTRACTS
On December 31, 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>
01/18/00 1,368,065 US$ 2,022,000 CAD $ 31,398 $ --
01/18/00 1,676,000 US$ 1,546,625 EUR -- 116,389
02/01/00 10,221,698 SEK 1,178,315 EUR -- 14,712
02/01/00 2,951,173 SEK 340,685 EUR -- 3,758
02/07/00 100,000,000 JPY 923,549 EUR -- 52,007
02/10/00 138,437,730 GRD 410,000 EUR -- 6,579
02/10/00 117,985,000 GRD 350,000 EUR -- 5,028
02/10/00 275,624,000 GRD 818,142 EUR -- 11,230
02/10/00 303,000,000 GRD 902,511 EUR -- 9,207
02/10/00 903,601 EUR 303,000,000 GRD 8,105
02/10/00 1,588,199 EUR 532,046,730 GRD 12,678 --
02/07/00 930,977 EUR 100,000,000 JPY 44,505 --
02/18/00 701,560 EUR 75,800,000 JPY 38,517 --
02/18/00 694,826 EUR 75,800,000 JPY 45,323 --
02/14/00 540,195 EUR 4,398,000 NOK 2,929 --
01/18/00 114,096 EUR 117,000 US$ 1,946 --
01/18/00 1,520,234 EUR 1,559,000 US$ 26,001 --
02/22/00 3,100,000 US$ 2,969,576 EUR -- 97,215
02/22/00 3,038,620 EUR 3,100,000 US$ 27,399 --
-------- --------
$238,801 $316,125
======== ========
</TABLE>
<TABLE>
<S> <C>
CAD Canadian Dollar
EUR Euro
GRD Greek Drachma
JPY Japanese Yen
NOK Norwegian Krone
SEK Swedish Krona
US$ United States Dollar
</TABLE>
(5) EXPENSES AND RELATED PARTY TRANSACTIONS
The Fund has an investment advisory agreement with Advantus Capital
Management, Inc. (Advantus Capital), 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.
117
<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>
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 Management, Inc. .45%
Micro-Cap Growth Wall Street Associates .85%
</TABLE>
118
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - CONTINUED
(5) EXPENSES AND RELATED PARTY TRANSACTIONS - (CONTINUED)
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 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 year
ended, Minnesota Life voluntarily agreed to absorb $53,336, $56,178, $55,419,
$67,886, $70,044, $102,703, $50,020 and $63,511 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 year ended December 31, 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........................................................ 42,839,351 41,346,130 44,447,081 49,909,742
Issued for reinvested distributions......................... 5,597,679 25,337,264 10,863,182 8,381,732
Redeemed.................................................... (41,077,172) (33,461,190) (37,836,298) (27,061,069)
------------ ------------ ------------ ------------
7,359,858 33,222,204 17,473,965 31,230,405
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
MONEY MARKET ASSET ALLOCATION
--------------------------- ---------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 196,147,412 166,508,271 59,907,235 54,674,972
Issued for reinvested distributions......................... 6,599,969 3,531,071 28,365,669 25,210,015
Redeemed.................................................... (172,344,676) (97,445,660) (53,909,578) (49,971,834)
------------ ------------ ------------ ------------
30,402,705 72,593,682 34,363,326 29,913,153
============ ============ ============ ============
</TABLE>
119
<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........................................................ 36,777,720 35,510,767 49,686,146 50,147,731
Issued for reinvested distributions......................... 6,511,621 5,053,091 4,378,781 1,818,869
Redeemed.................................................... (26,626,624) (20,373,512) (47,233,005) (37,336,685)
------------ ------------ ------------ ------------
16,662,717 20,190,346 6,831,922 14,629,915
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
CAPITAL APPRECIATION INTERNATIONAL STOCK
--------------------------- ---------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 22,418,718 24,386,231 41,001,132 44,370,773
Issued for reinvested distributions......................... 17,936,740 5,619,457 14,386,485 8,756,986
Redeemed.................................................... (27,938,372) (22,253,582) (47,503,619) (41,788,154)
------------ ------------ ------------ ------------
12,417,086 7,752,106 7,883,998 11,339,605
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
MATURING GOVERNMENT BOND
SMALL COMPANY GROWTH 2002
--------------------------- ---------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 28,170,922 37,038,532 4,624,824 2,485,026
Issued for reinvested distributions......................... -- -- 398,816 359,011
Redeemed.................................................... (34,140,673) (30,987,936) (1,590,033) (564,982)
------------ ------------ ------------ ------------
(5,969,751) 6,050,596 3,433,607 2,279,055
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
MATURING GOVERNMENT BOND MATURING GOVERNMENT BOND
2006 2010
--------------------------- ---------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 1,435,106 2,927,288 1,602,449 2,600,917
Issued for reinvested distributions......................... 343,513 279,975 186,504 135,253
Redeemed.................................................... (1,497,984) (1,092,077) (1,644,699) (1,187,008)
------------ ------------ ------------ ------------
280,635 2,115,186 144,254 1,549,162
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
VALUE STOCK SMALL COMPANY VALUE
--------------------------- ---------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 26,200,731 43,695,075 7,303,801 7,480,763
Issued for reinvested distributions......................... 3,356,163 186,228 167,362 119,062
Redeemed.................................................... (39,454,214) (42,411,503) (2,800,436) (3,500,677)
------------ ------------ ------------ ------------
(9,897,320) 1,469,800 4,670,727 4,099,148
============ ============ ============ ============
</TABLE>
120
<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........................................................ 7,504,432 4,989,627 13,266,825 6,762,825
Issued for reinvested distributions......................... 1,097,583 2,452,206 1,593,032 227,697
Redeemed.................................................... (3,985,565) (3,151,023) (3,424,608) (2,859,726)
------------ ------------ ------------ ------------
4,616,450 4,290,810 11,435,249 4,130,796
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
MACRO-CAP VALUE MICRO-CAP GROWTH
--------------------------- ---------------------------
1999 1998 1999 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 11,509,155 6,894,356 12,260,117 4,500,340
Issued for reinvested distributions......................... 799,052 426,710 -- --
Redeemed.................................................... (2,636,601) (2,644,430) (3,263,605) (1,708,214)
------------ ------------ ------------ ------------
9,671,606 4,676,636 8,996,512 2,792,126
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
REAL ESTATE SECURITIES
---------------------------
1999 1998
------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 2,176,152 6,324,307
Issued for reinvested distributions......................... 418,384 250,807
Redeemed.................................................... (1,289,081) (176,722)
------------ ------------
1,305,455 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
December 31, 1999, investments in securities of Bond, Asset Allocation, Mortgage
Securities and International Stock include issues that are illiquid. The
aggregate values of illiquid securities held by Bond, Asset Allocation, Mortgage
Securities and International Stock were $6,537,984, $12,080,750, $19,250,681 and
$7,831,924, respectively, which represent 3.6%, 1.6%, 13.9% and 2.2% 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.
121
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS
GROWTH PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
--------------------------------------------------------
1999 1998 1997(B) 1996 1995
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year...... $ 2.74 $ 2.40 $ 2.34 $ 2.21 $ 1.87
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income................. -- .01 .02 .02 .02
Net gains on securities (both realized
and unrealized)...................... .67 .74 .62 .32 .41
-------- -------- -------- -------- --------
Total from investment operations.... .67 .75 .64 .34 .43
-------- -------- -------- -------- --------
Less distributions:
Dividends from net investment
income............................... (.01) (.02) (.02) (.02) (.02)
Distributions from net realized
gains................................ (.07) (.39) (.56) (.19) (.07)
-------- -------- -------- -------- --------
Total distributions................. (.08) (.41) (.58) (.21) (.09)
-------- -------- -------- -------- --------
Net asset value, end of year............ $ 3.33 $ 2.74 $ 2.40 $ 2.34 $ 2.21
======== ======== ======== ======== ========
Total return(a)......................... 25.67% 34.70% 33.41% 17.15% 24.28%
Net assets, end of year (in
thousands)............................. $594,676 $468,382 $330,816 $248,465 $201,678
Ratio of expenses to average daily net
assets................................. .53% .53% .55% .59% .55%
Ratio of net investment income to
average daily net assets............... .12% .40% 1.16% 1.04% 1.04%
Portfolio turnover rate (excluding
short-term securities)................. 65.3% 66.4% 120.1% 154.7% 91.9%
</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.
122
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
BOND PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
--------------------------------------------------------
1999 1998 1997(B) 1996 1995
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year...... $ 1.31 $ 1.33 $ 1.28 $ 1.33 $ 1.16
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income................. .07 .06 .08 .06 .07
Net gains (losses) on securities (both
realized and unrealized)............. (.10) .01 .04 (.03) .15
-------- -------- -------- -------- --------
Total from investment operations.... (.03) .07 .12 .03 .22
-------- -------- -------- -------- --------
Less distributions:
Dividends from net investment
income............................... (.07) (.07) (.07) (.07) (.05)
Distributions from net realized
gains................................ (.03) (.02) -- (.01) --
-------- -------- -------- -------- --------
Total distributions................. (.10) (.09) (.07) (.08) (.05)
-------- -------- -------- -------- --------
Net asset value, end of year............ $ 1.18 $ 1.31 $ 1.33 $ 1.28 $ 1.33
======== ======== ======== ======== ========
Total return(a)......................... (2.73)% 6.08% 9.42% 2.96% 19.75%
Net assets, end of year (in
thousands)............................. $181,881 $178,793 $139,824 $125,886 $101,045
Ratio of expenses to average daily net
assets................................. .56% .55% .57% .56% .58%
Ratio of net investment income to
average daily net assets............... 5.92% 5.84% 6.39% 6.36% 6.57%
Portfolio turnover rate (excluding
short-term securities)................. 140.8% 252.1% 200.0% 154.0% 205.4%
</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.
123
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
---------------------------------------------
1999 1998 1997(B) 1996 1995
-------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year..... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- ------- ------- -------
Income from investment operations:
Net investment income................ .05 .05 .05 .05 .05
-------- -------- ------- ------- -------
Total from investment operations... .05 .05 .05 .05 .05
-------- -------- ------- ------- -------
Less distributions:
Dividends from net investment
income.............................. (.05) (.05) (.05) (.05) (.05)
-------- -------- ------- ------- -------
Total distributions................ (.05) (.05) (.05) (.05) (.05)
-------- -------- ------- ------- -------
Net asset value, end of year........... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======= ======= =======
Total return (a)....................... 4.71% 4.97% 5.11% 4.92% 5.43%
Net assets, end of year (in
thousands)............................ $156,580 $126,177 $53,583 $51,461 $30,166
Ratio of expenses to average daily net
assets................................ .56% .58% .59% .60% .64%
Ratio of net investment income to
average daily net assets.............. 4.61% 4.84% 5.13% 4.81% 5.29%
</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.
124
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
ASSET ALLOCATION PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
------------------------------------------------
1999 1998 1997(B) 1996 1995
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year..... $ 2.28 $ 2.03 $ 1.87 $ 1.83 $ 1.52
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income................ .05 .05 .05 .05 .06
Net gains on securities (both
realized and unrealized)............ .27 .40 .27 .16 .31
-------- -------- -------- -------- --------
Total from investment operations... .32 .45 .32 .21 .37
-------- -------- -------- -------- --------
Less distributions:
Dividends from net investment
income.............................. (.10) (.06) (.05) (.06) (.05)
Distributions from net realized
gains............................... (.11) (.14) (.11) (.11) (.01)
-------- -------- -------- -------- --------
Total distributions................ (.21) (.20) (.16) (.17) (.06)
-------- -------- -------- -------- --------
Net asset value, end of year........... $ 2.39 $ 2.28 $ 2.03 $ 1.87 $ 1.83
======== ======== ======== ======== ========
Total return (a)....................... 15.17% 23.65% 18.99% 12.50% 25.01%
Net assets, end of year
(in thousands)........................ $750,129 $637,997 $507,220 $414,709 $349,010
Ratio of expenses to average daily net
assets................................ .53% .53% .55% .54% .55%
Ratio of net investment income to
average daily net assets.............. 2.28% 2.51% 3.10% 3.09% 3.75%
Portfolio turnover rate (excluding
short-term securities)................ 97.0% 129.6% 140.2% 120.1% 157.0%
</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.
125
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
MORTGAGE SECURITIES PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
---------------------------------------------
1999 1998 1997(B) 1996 1995
-------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year..... $ 1.22 $ 1.21 $ 1.19 $ 1.21 $ 1.10
-------- -------- ------- ------- -------
Income from investment operations:
Net investment income................ .07 .08 .07 .08 .08
Net gains (losses) on securities
(both realized and unrealized)...... (.05) -- .03 (.02) .11
-------- -------- ------- ------- -------
Total from investment operations... .02 .08 .10 .06 .19
-------- -------- ------- ------- -------
Less distributions:
Dividends from net investment
income.............................. (.07) (.07) (.08) (.08) (.08)
-------- -------- ------- ------- -------
Total distributions................ (.07) (.07) (.08) (.08) (.08)
-------- -------- ------- ------- -------
Net asset value, end of year........... $ 1.17 $ 1.22 $ 1.21 $ 1.19 $ 1.21
======== ======== ======= ======= =======
Total return (a)....................... 1.99% 6.57% 9.14% 5.26% 18.01%
Net assets, end of year (in
thousands)............................ $138,815 $124,358 $99,233 $75,992 $69,746
Ratio of expenses to average daily net
assets................................ .57% .57% .59% .58% .58%
Ratio of net investment income to
average daily net assets.............. 6.88% 6.76% 7.08% 6.94% 7.09%
Portfolio turnover rate (excluding
short-term securities)................ 79.4% 116.7% 106.4% 70.0% 133.7%
</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.
126
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
INDEX 500 PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
--------------------------------------------------------
1999 1998 1997(B) 1996 1995
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year...... $ 3.91 $ 3.10 $ 2.41 $ 2.02 $ 1.52
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income................. .04 .04 .03 .03 .03
Net gains on securities (both realized
and unrealized)...................... .74 .82 .73 .40 .51
-------- -------- -------- -------- --------
Total from investment operations.... .78 .86 .76 .43 .54
-------- -------- -------- -------- --------
Less distributions:
Dividends from net investment
income............................... (.07) (.03) (.03) (.03) (.03)
Distributions from net realized
gains................................ (.06) (.02) (.04) (.01) (.01)
-------- -------- -------- -------- --------
Total distributions................. (.13) (.05) (.07) (.04) (.04)
-------- -------- -------- -------- --------
Net asset value, end of year............ $ 4.56 $ 3.91 $ 3.10 $ 2.41 $ 2.02
======== ======== ======== ======== ========
Total return (a)........................ 20.28% 27.99% 32.36% 21.64% 36.83%
Net assets, end of year
(in thousands)......................... $657,824 $536,859 $380,751 $204,395 $123,999
Ratio of expenses to average daily net
assets................................. .45% .44% .45% .45% .47%
Ratio of net investment income to
average daily net assets............... .85% 1.08% 1.33% 1.77% 2.08%
Portfolio turnover rate (excluding
short-term securities)................. 25.6% 30.2% 8.3% 15.2% 4.8%
</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.
127
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
CAPITAL APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
--------------------------------------------------------
1999 1998 1997(B) 1996 1995
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year...... $ 3.54 $ 2.85 $ 2.47 $ 2.16 $ 1.81
-------- -------- -------- -------- --------
Income from investment operations:
Net investment loss................... (.01) -- -- -- --
Net gains on securities (both realized
and unrealized)...................... .64 .86 .62 .37 .40
-------- -------- -------- -------- --------
Total from investment operations.... .63 .86 .62 .37 .40
-------- -------- -------- -------- --------
Less distributions:
Distributions from net realized
gains................................ (.47) (.17) (.24) (.06) (.05)
-------- -------- -------- -------- --------
Total distributions................. (.47) (.17) (.24) (.06) (.05)
-------- -------- -------- -------- --------
Net asset value, end of year............ $ 3.70 $ 3.54 $ 2.85 $ 2.47 $ 2.16
======== ======== ======== ======== ========
Total return (a)........................ 21.51% 30.83% 28.26% 17.61% 22.78%
Net assets, end of year (in
thousands)............................. $457,449 $392,800 $294,665 $214,468 $163,520
Ratio of expenses to average daily net
assets................................. .79% .78% .80% .85% .80%
Ratio of net investment income (loss) to
average daily net assets............... (.24)% (.21)% (.12)% (.09)% (.15)%
Portfolio turnover rate (excluding
short-term securities)................. 114.1% 82.7% 74.0% 62.9% 51.1%
</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.
(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.
128
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
INTERNATIONAL STOCK PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
----------------------------------------------------------
1999 1998 1997(B) 1996 1995
-------- -------- -------------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year..... $ 1.73 $ 1.71 $ 1.60 $ 1.41 $ 1.24
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income................ .04 .04 .03 .03 .03
Net gains on securities (both
realized and unrealized)............ .31 .08 .15 .24 .14
-------- -------- -------- -------- --------
Total from investment operations... .35 .12 .18 .27 .17
-------- -------- -------- -------- --------
Less distributions:
Dividends from net investment
income.............................. (.05) (.05) (.05) (.04) --
Distributions from net realized
gains............................... (.09) (.05) (.02) (.04) --
-------- -------- -------- -------- --------
Total distributions................ (.14) (.10) (.07) (.08) --
-------- -------- -------- -------- --------
Net asset value, end of year........... $ 1.94 $ 1.73 $ 1.71 $ 1.60 $ 1.41
======== ======== ======== ======== ========
Total return (a)....................... 21.43% 6.61% 11.94% 19.79% 14.23%
Net assets, end of year (in
thousands)............................ $363,849 $310,873 $287,170 $213,608 $140,770
Ratio of expenses to average daily net
assets................................ .90% .94% .97% 1.06% 1.04%
Ratio of net investment income to
average daily net assets.............. 2.03% 2.55% 2.29% 2.53% 2.69%
Portfolio turnover rate (excluding
short-term securities)................ 34.7% 22.4% 12.5% 11.5% 20.3%
</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.
(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.
129
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
SMALL COMPANY GROWTH PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
---------------------------------------------------------
1999 1998 1997(B) 1996 1995
-------- -------- -------------- ---------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year..... $ 1.68 $ 1.65 $ 1.54 $ 1.60 $ 1.23
-------- -------- -------- -------- -------
Income from investment operations:
Net investment loss.................. (.01) -- -- -- --
Net gains on securities (both
realized and unrealized)............ .77 .03 .11 .10 .39
-------- -------- -------- -------- -------
Total from investment operations... .76 .03 .11 .10 .39
-------- -------- -------- -------- -------
Less distributions:
Distributions from net realized
gains............................... -- -- -- (.16) (.02)
-------- -------- -------- -------- -------
Total distributions................ -- -- -- (.16) (.02)
-------- -------- -------- -------- -------
Net asset value, end of year........... $ 2.44 $ 1.68 $ 1.65 $ 1.54 $ 1.60
======== ======== ======== ======== =======
Total return (a)....................... 45.63% 1.27% 7.75% 6.45% 32.06%
Net assets, end of year (in
thousands)............................ $269,881 $195,347 $182,917 $144,544 $98,895
Ratio of expenses to average daily net
assets................................ .80% .79% .82% .81% .84%
Ratio of net investment income (loss)
to average daily net assets........... (.45)% (.28)% (.05)% .24% .15%
Portfolio turnover rate (excluding
short-term securities)................ 105.1% 75.5% 63.8% 74.4% 61.3%
</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.
(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.
130
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
MATURING GOVERNMENT BOND 2002 PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-----------------------------------------
1999 1998 1997(C) 1996 1995
------- ------ -------- ------ ------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year..... $ 1.11 $ 1.07 $ 1.05 $ 1.09 $ .93
------- ------ ------ ------ ------
Income from investment operations:
Net investment income................ .05 .05 .06 .06 .07
Net gains (losses) on securities
(both realized and unrealized)...... (.06) .06 .02 (.04) .16
------- ------ ------ ------ ------
Total from investment operations... (.01) .11 .08 .02 .23
------- ------ ------ ------ ------
Less distributions:
Dividends from net investment
income.............................. (.05) (.06) (.05) (.06) (.07)
Distributions from net realized
gains............................... -- (.01) (.01) -- --
------- ------ ------ ------ ------
Total distributions................ (.05) (.07) (.06) (.06) (.07)
------- ------ ------ ------ ------
Net asset value, end of year........... $ 1.05 $ 1.11 $ 1.07 $ 1.05 $ 1.09
======= ====== ====== ====== ======
Total return (a)....................... (.48)% 9.61% 8.50% 1.73% 25.02%
Net assets, end of year (in
thousands)............................ $10,161 $6,854 $4,208 $3,900 $3,049
Ratio of expenses to average daily net
assets (b)............................ .40% .34% .20% .20% .20%
Ratio of net investment income to
average daily net assets (b).......... 5.37% 5.74% 5.99% 6.52% 6.52%
Portfolio turnover rate (excluding
short-term securities)................ 21.1% 35.2% 36.9% 21.9% --
</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) Minnesota Life voluntarily absorbed $53,336, $37,949, $36,833, $31,158 and
$24,709 in expenses for the years ended December 31, 1999, 1998, 1997, 1996
and 1995, respectively. Had the Portfolio paid all fees and expenses, the
ratio of expenses to average daily net assets would have been 1.08%, 1.07%,
1.14%, 1.14% and 1.06%, respectively, and the ratio of net investment
income to average daily net assets would have been 4.69%, 5.01%, 5.05%,
5.58% and 5.66%, respectively.
(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.
131
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
MATURING GOVERNMENT BOND 2006 PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
----------------------------------------
1999 1998 1997(C) 1996 1995
------ ------ -------- ------ ------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year..... $ 1.25 $ 1.16 $ 1.09 $ 1.17 $ .92
------ ------ ------ ------ ------
Income from investment operations:
Net investment income................ .07 .05 .07 .06 .07
Net gains (losses) on securities
(both realized and unrealized)...... (.16) .11 .07 (.07) .25
------ ------ ------ ------ ------
Total from investment operations... (.09) .16 .14 (.01) .32
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment
income.............................. (.07) (.06) (.06) (.06) (.07)
Distributions from net realized
gains............................... -- (.01) (.01) (.01) --
------ ------ ------ ------ ------
Total distributions................ (.07) (.07) (.07) (.07) (.07)
------ ------ ------ ------ ------
Net asset value, end of year........... $ 1.09 $ 1.25 $ 1.16 $ 1.09 $ 1.17
====== ====== ====== ====== ======
Total return (a)....................... (7.81)% 14.37% 12.62% (1.21)% 34.72%
Net assets, end of year
(in thousands)........................ $6,261 $6,870 $3,900 $3,095 $2,570
Ratio of expenses to average daily net
assets (b)............................ .40% .40% .40% .40% .40%
Ratio of net investment income to
average daily net assets (b).......... 5.76% 5.57% 6.23% 6.43% 6.56%
Portfolio turnover rate (excluding
short-term securities)................ 19.8% 21.6% 3.1% 25.7% 10.0%
</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) Minnesota Life voluntarily absorbed $56,178, $37,165, $37,425, $31,536 and
$25,199 in expenses for the years ended December 31, 1999, 1998, 1997, 1996
and 1995, respectively. Had the Portfolio paid all fees and expenses, the
ratio of expenses to average daily net assets would have been 1.26%, 1.12%,
1.50%, 1.58% and 1.56%, respectively, and the ratio of net investment
income to average daily net assets would have been 4.90%, 4.85%, 5.13%,
5.25% and 5.40%, respectively.
(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.
132
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
MATURING GOVERNMENT BOND 2010 PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
---------------------------------------
1999 1998 1997(C) 1996 1995
------ ------ ------- ------ ------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year..... $ 1.41 $ 1.29 $ 1.17 $ 1.21 $ .91
------ ------ ------ ------ ------
Income from investment operations:
Net investment income................ .08 .06 .07 .05 .07
Net gains (losses) on securities
(both realized and unrealized)...... (.24) .12 .11 (.09) .30
------ ------ ------ ------ ------
Total from investment operations... (.16) .18 .18 (.04) .37
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment
income.............................. (.06) (.06) (.05) -- (.07)
Distributions from net realized
gains............................... -- -- (.01) -- --
------ ------ ------ ------ ------
Total distributions................ (.06) (.06) (.06) -- (.07)
------ ------ ------ ------ ------
Net asset value, end of year........... $ 1.19 $ 1.41 $ 1.29 $ 1.17 $ 1.21
====== ====== ====== ====== ======
Total return (a)....................... (11.54)% 14.28% 17.87% (3.42)% 41.22%
Net assets, end of year (in
thousands)............................ $4,942 $5,648 $3,176 $2,813 $1,384
Ratio of expenses to average daily net
assets (b)............................ .40% .40% .40% .40% .40%
Ratio of net investment income to
average daily net assets (b).......... 5.82% 5.48% 6.18% 6.40% 6.58%
Portfolio turnover rate (excluding
short-term securities)................ 28.4% 28.2% 39.3% 71.0% --
</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) Minnesota Life voluntarily absorbed $55,419, $39,052, $38,967, $33,042 and
$26,308 in expenses for the years ended December 31, 1999, 1998, 1997, 1996
and 1995, respectively. Had the Portfolio paid all fees and expenses, the
ratio of expenses to average daily net assets would have been 1.43%, 1.33%,
1.85%, 2.18% and 2.68%, respectively, and the ratio of net investment
income to average daily net assets would have been 4.79%, 4.55%, 4.73%,
4.62% and 4.30%, repsectively.
(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.
133
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
VALUE STOCK PORTFOLIO
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
----------------------------------------------
1999 1998 1997(C) 1996 1995
-------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year..... $ 1.76 $ 1.73 $ 1.59 $ 1.31 $ 1.04
-------- -------- -------- ------- -------
Income from investment operations:
Net investment income................ .02 .03 .01 .01 .01
Net gains (losses) on securities
(both realized and unrealized)...... (.02) -- .32 .39 .33
-------- -------- -------- ------- -------
Total from investment operations... -- .03 .33 .40 .34
-------- -------- -------- ------- -------
Less distributions:
Dividends from net investment
income.............................. (.05) -- (.02) (.01) (.01)
Distributions from net realized
gains............................... -- -- (.17) (.11) (.06)
-------- -------- -------- ------- -------
Total distributions................ (.05) -- (.19) (.12) (.07)
-------- -------- -------- ------- -------
Net asset value, end of year........... $ 1.71 $ 1.76 $ 1.73 $ 1.59 $ 1.31
======== ======== ======== ======= =======
Total return (a)....................... .27% 1.75% 21.19% 30.95% 32.96%
Net assets, end of year (in
thousands)............................ $191,380 $214,046 $208,093 $97,187 $31,825
Ratio of expenses to average daily net
assets (b)............................ .80% .79% .80% .83% .89%
Ratio of net investment income to
average daily net assets (b).......... 1.26% 1.54% 1.13% 1.28% 1.25%
Portfolio turnover rate (excluding
short-term securities)................ 131.2% 88.9% 115.4% 88.6% 164.2%
</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.
(b) Minnesota Life voluntarily absorbed $11,610 in expenses for the year ended
December 31, 1995. Had the Portfolio paid all fees and expenses, the ratio
of expenses to average daily net assets would have been .95%, and the ratio
of net investment income to average daily net assets would have been 1.19%.
(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.
134
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
SMALL COMPANY VALUE PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
YEAR ENDED OCTOBER 1,
DECEMBER 31, 1997(A) TO
--------------- 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)...... (.04) (.08) .02
------- ------ ------
Total from investment operations... (.03) (.07) .02
------- ------ ------
Less distributions:
Dividends from net investment
income.............................. (.01) (.01) --
------- ------ ------
Total distributions................ (.01) (.01) --
------- ------ ------
Net asset value, end of period......... $ .91 $ .95 $ 1.03
======= ====== ======
Total return (b)....................... (3.07)% (6.75)% 2.30%
Net assets, end of period
(in thousands)........................ $12,518 $8,646 $5,177
Ratio of expenses to average daily net
assets (c)............................ .90% .90% .90%(d)
Ratio of net investment income to
average daily net assets (c).......... 1.42% 1.52% 1.13%(d)
Portfolio turnover rate (excluding
short-term securities)................ 101.5% 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 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 $67,886, $58,848 and $11,517 in
expenses for the years ended December 31, 1999 and 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
1.56%, 1.83% and 1.78%, respectively, and the ratio of net investment
income to average daily net assets would have been .76%, .59% and .25%,
respectively.
(d) Adjusted to an annual basis.
135
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
GLOBAL BOND PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
YEAR ENDED OCTOBER 1,
DECEMBER 31, 1997(A) TO
---------------------------- 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).......... .05 .05 (.02)
Net gains (losses) on securities (both
realized and unrealized)............. (.13) .11 .02
------- ------- -------
Total from investment operations.... (.08) .16 --
------- ------- -------
Less distributions:
Dividends from net investment
income............................... (.03) (.03) (.01)
Distributions from net realized
gains................................ -- (.06) --
Excess distributions from net
investment income.................... -- -- (.01)
------- ------- -------
Total distributions................. (.03) (.09) (.02)
------- ------- -------
Net asset value, end of period.......... $ .94 $ 1.05 $ .98
======= ======= =======
Total return (b)........................ (7.81)% 16.18% .10%
Net assets, end of period (in
thousands)............................. $32,093 $31,152 $25,019
Ratio of expenses to average daily net
assets................................. .94% 1.13% 1.60%(c)
Ratio of net investment income to
average daily net assets............... 5.90% 4.86% 3.66%(c)
Portfolio turnover rate (excluding
short-term securities)................. 287.4% 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.
136
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
INDEX 400 MID-CAP PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
YEAR ENDED OCTOBER 1,
DECEMBER 31, 1997(A) TO
---------------- 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)............ .15 .16 .01
------- ------- ------
Total from investment operations... .15 .17 .01
------- ------- ------
Less distributions:
Dividends from net investment
income.............................. -- (.01) --
Distributions from net realized
gains............................... (.12) (.02) --
------- ------- ------
Total distributions................ (.12) (.03) --
------- ------- ------
Net asset value, end of period......... $ 1.18 $ 1.15 $ 1.01
======= ======= ======
Total return (b)....................... 15.96% 16.68% .06%
Net assets, end of period (in
thousands)............................ $24,357 $10,511 $5,052
Ratio of expenses to average daily net
assets (c)............................ .55% .55% .55%(d)
Ratio of net investment income to
average daily net assets (c).......... .72% .78% .89%(d)
Portfolio turnover rate (excluding
short-term securities)................ 76.6% 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 $70,044, $52,946 and $14,670 in
expenses for the years ended December 31, 1999 and 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
1.00%, 1.36% and 1.70%, respectively, and the ratio of net investment
income (loss) to average daily net assets would have been .27%, (.03)% and
(.26)%, respectively.
(d) Adjusted to an annual basis.
137
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
MACRO-CAP VALUE PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
YEAR ENDED OCTOBER 15,
DECEMBER 31, 1997(A) TO
---------------- 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 .01 --
Net gains (losses) on securities
(both realized and unrealized)...... .07 .21 (.02)
------- ------- ------
Total from investment operations... .08 .22 (.02)
------- ------- ------
Less distributions:
Dividends from net investment
income.............................. (.01) -- (.01)
Distributions from net realized
gains............................... (.05) (.05) --
------- ------- ------
Total distributions................ (.06) (.05) (.01)
------- ------- ------
Net asset value, end of period......... $ 1.16 $ 1.14 $ .97
======= ======= ======
Total return (b)....................... 7.17% 22.33% (2.13)%
Net assets, end of period (in
thousands)............................ $22,570 $11,088 $4,923
Ratio of expenses to average daily net
assets (c)............................ .85% .85% .85%(d)
Ratio of net investment income to
average daily net assets (c).......... .60% .69% 2.04%(d)
Portfolio turnover rate (excluding
short-term securities)................ 103.4% 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 $102,703, $114,468 and $22,940 in
expenses for the years ended December 31, 1999 and 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 1.48%, 2.53%
and 3.13%, respectively, and the ratio of net investment income (loss) to
average daily net assets would have been (.03)%, (.99)% and (.24)%,
respectively.
(d) Adjusted to an annual basis.
138
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
MICRO-CAP GROWTH PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
YEAR ENDED OCTOBER 1,
DECEMBER 31, 1997(A) TO
------------------- 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)...... 1.50 .12 (.14)
------- ------ -------
Total from investment operations... 1.50 .12 (.14)
------- ------ -------
Less distributions:
Distributions from net realized
gains............................... -- -- (.03)
------- ------ -------
Total distributions................ -- -- (.03)
------- ------ -------
Net asset value, end of period......... $ 2.51 $ 1.01 $ .89
======= ====== =======
Total return (b)....................... 148.77% 13.44% (13.20)%
Net assets, end of period (in
thousands)............................ $42,554 $8,034 $ 4,591
Ratio of expenses to average daily net
assets (c)............................ 1.25% 1.25% 1.25%(d)
Ratio of net investment income (loss)
to average daily net assets (c)....... (.47)% (.40)% (.24)%(d)
Portfolio turnover rate (excluding
short-term securities)................ 108.5% 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 $50,020, $46,960 and $11,102 in
expenses for the years ended December 31, 1999 and 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
1.57%, 2.10% and 2.03%, respectively, and the ratio of net investment
income (loss) to average daily net assets would have been (.79)%, (1.25)%
and (1.02)%, respectively.
(d) Adjusted to an annual basis.
139
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(8) FINANCIAL HIGHLIGHTS - (CONTINUED)
REAL ESTATE SECURITIES PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
MAY 1,
YEAR ENDED 1998(A) TO
DECEMBER 31, DECEMBER 31,
1999 1998
------------ ------------
<S> <C> <C>
Net asset value, beginning of period... $ .83 $ 1.02
------ -------
Income from investment operations:
Net investment income................ .04 .03
Net losses on securities (both
realized and unrealized)............ (.07) (.19)
------ -------
Total from investment operations... (.03) (.16)
------ -------
Less distributions:
Dividends from net investment
income.............................. (.03) (.03)
Tax return of capital................ (.01) --
------ -------
Total distributions................ (.04) (.03)
------ -------
Net asset value, end of period......... $ .76 $ .83
====== =======
Total return (b)....................... (3.89)% (14.90)%
Net assets, end of period (in
thousands)............................ $5,826 $ 5,322
Ratio of expenses to average daily net
assets (c)............................ .90% .90%(d)
Ratio of net investment income to
average daily net assets (c).......... 4.58% 5.54%(d)
Portfolio turnover rate (excluding
short-term securities)................ 106.3% 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 presented has not been annualized.
(c) Minnesota Life voluntarily absorbed $63,511 and $31,736 in expenses for the
year ended December 31, 1999 and the period ended December 31, 1998. Had
the Portfolio paid all fees and expenses, the ratio of expenses to average
daily net assets would have been 2.05% and 1.90%, respectively, and the
ratio of net investment income to average daily net assets would have been
3.43% and 4.54%, respectively.
(d) Adjusted to an annual basis.
140
<PAGE>
THIS OFFERING IS AVAILABLE THROUGH 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>
MINNESOTA LIFE PRESORTED STANDARD
A Minnesota Mutual Company U.S. POSTAGE PAID
ST. PAUL, MN
400 Robert Street North PERMIT NO. 3547
St. Paul, MN 55101-2098
ADDRESS SERVICE REQUESTED
F. 38897 Rev. 2-2000
