<PAGE>
ADVANTUS-TM- SERIES FUND, INC. JUNE 30, 2000
EQUITIES
MICRO-CAP GROWTH PORTFOLIO
SMALL COMPANY GROWTH PORTFOLIO
INTERNATIONAL STOCK PORTFOLIO
CAPITAL APPRECIATION PORTFOLIO
SMALL COMPANY VALUE PORTFOLIO
INDEX 400 MID-CAP PORTFOLIO
GROWTH PORTFOLIO
INDEX 500 PORTFOLIO
VALUE STOCK PORTFOLIO
MACRO-CAP VALUE PORTFOLIO
REAL ESTATE SECURITIES PORTFOLIO
FIXED INCOME/HYBRID
ASSET ALLOCATION PORTFOLIO
GLOBAL BOND PORTFOLIO
BOND PORTFOLIO
MORTGAGE SECURITIES PORTFOLIO
MATURING GOVERNMENT BOND 2002 PORTFOLIO
MATURING GOVERNMENT BOND 2006 PORTFOLIO
MATURING GOVERNMENT BOND 2010 PORTFOLIO
MONEY MARKET
MONEY MARKET PORTFOLIO
MINNESOTA LIFE SEMI-ANNUAL REPORT
ADVANTUS SERIES FUND, INC.
VARIABLE LIFE INSURANCE* OFFERED IN MINNESOTA LIFE
VARIABLE ADJUSTABLE LIFE VARIABLE PRODUCTS
VARIABLE ADJUSTABLE LIFE-SECOND DEATH
VARIABLE ANNUITIES*
MULTIOPTION-Registered Trademark- ACHIEVER
MULTIOPTION-Registered Trademark- CLASSIC
MULTIOPTION-Registered Trademark- SELECT
MULTIOPTION-Registered Trademark- SINGLE
MULTIOPTION-Registered Trademark- FLEXIBLE
MEGANNUITY
UNIVERSITY OF MINNESOTA MULTIOPTION-Registered Trademark- ANNUITY
ADJUSTABLE INCOME ANNUITY
FLEXANNUITY PLUS
INVESTANNUITY PLUS
INDIVIDUAL ACCUMULATION ANNUITY
GROUP ACCUMULATION ANNUITY
GROUP VARIABLE LIFE*
VARIABLE GROUP UNIVERSAL LIFE
*SECURITIES OFFERED THROUGH ASCEND FINANCIAL SERVICES, INC.
MEMBER NASD/SIPC
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page No.
<S> <C>
HOW TO USE THIS REPORT ..................................... 1
PORTFOLIO TOTAL RETURN ..................................... 2
PORTFOLIO MANAGER REVIEWS
Growth Portfolio ........................................ 4
Bond Portfolio .......................................... 6
Money Market Portfolio .................................. 8
Asset Allocation Portfolio .............................. 10
Mortgage Securities Portfolio ........................... 12
Index 500 Portfolio ..................................... 14
Capital Appreciation Portfolio .......................... 16
International Stock Portfolio ........................... 18
Small Company Growth Portfolio .......................... 20
Maturing Government Bond 2002 Portfolio ................. 22
Maturing Government Bond 2006 Portfolio ................. 22
Maturing Government Bond 2010 Portfolio ................. 22
Value Stock Portfolio ................................... 26
Small Company Value Portfolio ........................... 28
Global Bond Portfolio ................................... 30
Index 400 Mid-Cap Portfolio ............................. 32
Macro-Cap Value Portfolio ............................... 34
Micro-Cap Growth Portfolio .............................. 36
Real Estate Securities Portfolio ........................ 38
INVESTMENTS IN SECURITIES
Growth Portfolio ........................................ 40
Bond Portfolio .......................................... 42
Money Market Portfolio .................................. 45
Asset Allocation Portfolio .............................. 47
Mortgage Securities Portfolio ........................... 52
Index 500 Portfolio ..................................... 55
Capital Appreciation Portfolio .......................... 62
International Stock Portfolio ........................... 64
Small Company Growth Portfolio .......................... 68
Maturing Government Bond 2002 Portfolio ................. 70
Maturing Government Bond 2006 Portfolio ................. 71
Maturing Government Bond 2010 Portfolio ................. 72
Value Stock Portfolio ................................... 73
Small Company Value Portfolio ........................... 75
Global Bond Portfolio ................................... 78
Index 400 Mid-Cap Portfolio ............................. 81
Macro-Cap Value Portfolio ............................... 88
Micro-Cap Growth Portfolio .............................. 91
Real Estate Securities Portfolio ........................ 93
FINANCIAL STATEMENTS
Statements of Assets and Liabilities .................... 94
Statements of Operations ................................ 98
Statements of Changes in Net Assets ..................... 102
Notes to Financial Statements ........................... 110
</TABLE>
<PAGE>
HOW TO USE THIS REPORT
Some of our clients prefer a narrative account of their Advantus Series Fund
investments while other clients prefer full financial statements. This report is
designed to meet both preferences.
For a narrative account of each Portfolio's performance, investment strategies
and holdings by the Portfolio Manager, refer to the front section of the report.
Comprehensive investment holdings, market values and financial reports begin on
page 40.
Performance charts graphically compare each Portfolio's performance with select
investment indices and other benchmarks. This comparison provides you with more
information about your investments.
The charts are useful because they illustrate performance over the same time
frame and over a long period. There are limitations, however. An index may
reflect the performance of securities that the Portfolio may not hold. Also, the
index does not deduct investment advisory fees and other fund expenses--whereas
your Portfolio does. Individuals cannot buy even an unmanaged index fund without
incurring some charges and expenses.
This report is just one of several tools you can use to learn more about your
investment(s) in the Advantus Series Fund. Your Ascend Sales Representative, who
understands your personal financial situation, can best explain the features of
your investment and how they apply to your financial needs.
1
<PAGE>
PORTFOLIO TOTAL RETURN
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
PERIOD FROM JANUARY 1, 2000 TO JUNE 30, 2000
<TABLE>
<CAPTION>
PERCENTAGE OF RETURN
<S> <C>
Growth 2.6%
Bond 2.9%
Money Market 2.8%
Asset Allocation 3.7%
Mortgage Securities 4.1%
Index 500 -0.6%
Capital Appreciation 1.4%
International Stock 2.1%
Small Company Growth 4.2%
MGB 2002 3.1%
MGB 2006 5.7%
MGB 2010 8.2%
Value Stock -5.9%
Small Company Value 6.3%
Global Bond -1.5%
Index 400 Mid-Cap 8.2%
Macro-Cap Value -1.6%
Micro-Cap Growth 0.6%
Real Estate Securities 13.1%
</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 Shareholder:
The U.S. has been enjoying an exceptional economic environment. Over the past
10 years, we have seen booming capital markets bolstered by robust economic
growth and low inflation. Since June 1999, six interest rate increases
engineered by the inflation-fighting Federal Reserve, have resulted in some
early signs of slowing the economy. Gross Domestic Product, a leading growth
indicator, is forecasted to slow to 4.2 percent from the first quarter's rapid
growth of 5.4 percent. Recent economic data (housing starts, auto sales and
unemployment) also indicate that the breakneck growth rate may be slowing.
The U.S. has also benefited from the expanding global economy. Large,
diversified companies are doing well in the current economic climate. As capital
spending remains strong, underlying support for technology grows. Companies
everywhere continue to build their technology base and infrastructure.
In the equity market, valuations do matter, as evidenced by the latest series of
market corrections early in the second quarter. Capitalism has a way of bringing
things back into balance. Market corrections tend to be quick and sharp.
Investors may need to adjust their expectations, as double-digit equity returns
may not be as commonplace as they have been over the last few years. Even though
recent corrections have reigned in many stocks--particularly in the Technology
sector--we feel that the stock market is still strong.
So far this year, U.S. Treasury securities have been the star performers within
the fixed income universe. U.S. Treasuries have benefited from a relatively low
inflationary environment, the strong fiscal situation in the U.S., and the
government's decision to buy back its longer-maturity debt. Corporate bonds have
been the weakest performing fixed income sector in 2000. An inverted yield
curve, several Fed tightening moves, increased event risk and equity market
volatility have all negatively impacted corporate bond performance.
Mortgage-backed securities have outperformed corporate bonds to date this year,
but have lagged U.S. Treasuries.
Our country's economic strength is very broad, and there are very few weak
spots. We believe the Fed has not finished tightening. We anticipate at least
one more increase in interest rates before November. Whenever we have a change
in interest rate direction, volatility and uncertainty surface. We have
witnessed volatility in the capital markets throughout the first half of 2000,
and we believe this will continue through the remainder of the year.
In this election year, we will witness the political posturing of both parties.
It is likely, however, that whoever the presidential election in November brings
to office, Americans will still enjoy a healthy, recession-free economy.
Thank you for your continued confidence and investment in the portfolios of the
Advantus Series Fund.
Sincerely,
/s/ William N. Westhoff
William N. Westhoff, President
Advantus Series Funds, Inc.
3
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
[PHOTO]
THOMAS A. GUNDERSON, CFA
PORTFOLIO MANAGER
ALLEN D.
STEINKOPF, 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
After significant gyrations in the market, with the Portfolio up as much as
14 percent and down as much as 12 percent, the Portfolio ended the first half up
2.58 percent* for the six-month period ended June 30, 2000. It is also good to
report that for 1 year the Fund has performed well with a return of 20 percent.
This compares to the Russell 1000 Growth Index** returns of 4.23 percent and
25.65 percent for the year-to-date and 1-year periods.
PERFORMANCE ANALYSIS
The market has been extremely volatile through the first half of 2000. The
NASDAQ carried the strength it exited 1999 with and ran up all time highs by
March, led mostly by technology issues and new economy stocks. Since then, the
market has assumed a decidedly cautious tone. Interest rate fears and high
energy costs have started to exert pressure on some sectors of the economy. We
have seen signs of weakness in retailing and auto sales, as well as some
indications that housing turnover is slowing.
Technology, Health Care and Energy have been, and continue to be, the
Portfolio's largest overweighted positions. Superior growth characteristics and
excellent earnings have caused us to continue to overweight these sectors.
Uninspiring growth characteristics for Financials and Consumer non-durables has
tilted the Portfolio away from these sectors of the market. In the first
quarter, our relative underweighting in the consumer non-durables was a
significant contributor to relative performance, but in the second quarter this
reversed as the market was more risk-averse and defensive. We believe the
characteristics of the sectors we have overweightings in will again bring
investors into these areas. Technology reversed in the second quarter from its
18 percent increase in the first quarter to up only 8 percent for the year.
Health Care and Energy have rallied throughout the year and we believe this will
continue.
With the backdrop of $30-a-barrel oil prices it is not surprising that Energy
has been the best performing sector year-to-date with a gain of 34 percent. This
was followed by Health Care, which was up 25 percent in the first half. The
Portfolio was positioned well in both of these sectors, led by Warner Lambert
gaining 59 percent in Healthcare and Baker-Hughes gaining 53 percent in the
Energy sector. Technology issues came through the first quarter with record
earnings and very few disappointments, but in the second quarter computer
services companies like Unisys and EDS were not able to meet expectations. This
has lead to a correction in the Technology sector although it has managed a
positive return year-to-date. Technology continues to be a heavy concentration
for the Portfolio and our positions in Redback Networks (+101 percent) and
Juniper Networks (+156 percent) have been significant contributors to
performance. Disappointments were BMC software and Computer Sciences.
OUTLOOK
We believe that the economy is headed for a soft landing with interest rates
nearing their highs. World and U.S. economic growth should continue at a healthy
pace, giving a lift to the market. As the economy continues to grow, we feel our
positions in Technology and Energy should perform well. After a period of
adjustment to slightly lower domestic growth, consumer cyclical stocks should be
poised to perform better. Therefore, we are looking to increase our positions in
some of the retailers who have been beaten down. We also believe that
Biotechnology has begun a secular growth phase that will last for a number of
years. As such, the Fund has good exposure to a number of the leading biotech
companies.
4
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
------- ------- ------------- ----------
<S> <C> <C> <C>
Cisco Systems, Inc. .............................. 540,500 $ 34,355,531 5.9%
Pfizer, Inc. ..................................... 712,125 34,182,000 5.8%
General Electric Company.......................... 640,200 33,930,600 5.8%
Intel Corporation................................. 251,700 33,649,144 5.7%
Dell Computer Corporation......................... 416,300 20,528,794 3.5%
Microsoft......................................... 246,000 19,680,000 3.4%
Texas Instruments, Inc. .......................... 252,500 17,343,594 3.0%
EMC Corporation................................... 213,900 16,456,931 2.8%
America Online, Inc. ............................. 275,900 14,553,725 2.5%
Oracle Systems.................................... 171,300 14,399,906 2.5%
------------ -----
$239,080,225 40.9%
============ =====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 2.4%
Basic Materials 0.5%
Financial 1.0%
Utilities 1.0%
Energy 3.0%
Communication Services 4.0%
Consumer Staples 4.7%
Consumer Cyclical 6.9%
Capital Goods 8.9%
Health Care 17.1%
Technology 50.5%
</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>
One year 20.66%
Five year 24.09%
Ten year 16.64%
</TABLE>
<TABLE>
<CAPTION>
GROWTH RUSSELL 1000
PORTFOLIO CPI GROWTH INDEX
<S> <C> <C> <C>
6/30/90 $10,000 $10,000 $10,000
12/31/90 $9,316 $10,618 $9,405
12/31/91 $12,489 $10,934 $13,275
12/31/92 $13,091 $11,259 $13,940
12/31/93 $13,704 $11,568 $14,341
12/31/94 $13,815 $11,892 $15,545
12/31/95 $17,169 $12,193 $21,327
12/31/96 $20,113 $12,596 $26,257
12/31/97 $26,834 $12,819 $34,260
12/31/98 $36,145 $13,025 $47,523
12/31/99 $45,422 $13,365 $63,271
6/30/00 $46,592 $13,642 $65,947
</TABLE>
On the chart above you can see how the Growth Portfolio's total return compared
to the Russell 1000 Growth Index and the Consumer Price Index. The three lines
represent the total return of a hypothetical $10,000 investment made on
June 30, 1990 through June 30, 2000.
*Historical performance is not an indication of future performance. Investment
returns on principal values will fluctuate so that shares upon redemption may be
worth more or less than their original cost. Performance figures of the Fund do
not reflect charges pursuant to the terms of the variable life insurance
policies and variable annuity contracts funded by separate accounts that invest
in the Fund's shares. When such charges are deducted, actual investment
performance in a variable policy or contract will be lower.
**The Russell 1000 Growth Index contains those stocks from the Russell 1000 with
a greater than average growth orientation. The Russell 1000 is the 1,000 largest
companies in the Russell 3000. The Russell 3000 is an unmanaged index of 3,000
common stocks, which represents approximately 98 percent of the U.S. market.
5
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
WAYNE R. 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 Advantus Bond Portfolio generated a total return of 2.91 percent for the
six-month period ended June 30, 2000. This compares to the Lehman
Government/Credit Index, which earned 4.16 percent for the same period.
PERFORMANCE ANALYSIS
Interest rates were volatile during the six-month period as the market wrestled
with strong economic growth with hints of a potential slowdown, higher commodity
prices and overall concern for inflation, tight labor markets, and a proactive
Federal Reserve that raised the Federal Funds rate by 100 basis points
(1 percent). Despite the mixed news, the bond market managed to look beyond the
current events as short-term interest rates were pushed slightly higher and
long-term interest rates fell creating an inverted yield curve. This is a
situation where short-term interest rates are higher than long-term interest
rates. The yield on the two-year U.S. Treasury note rose 12 basis points
(.12 percent) to yield 6.36 percent, while the thirty-year bond declined 58
basis points (.58 percent) to yield just 5.90 percent at June 30, 2000.
Within the fixed income universe, the Government sector was the top performer as
Treasury and Agency securities returned 4.97 percent for the first six-months.
Mortgage-backed securities returned a respectable 3.67 percent while the
Corporate Credit sector lagged generating a 2.68 percent total return for the
quarter. These results are consistent with the backdrop of a tightening Federal
Reserve and a general lack of liquidity in the spread sectors. Spreads on
corporate bonds generally widen when the Federal Reserve is tightening monetary
policy in an effort to slow economic growth, that will eventually lead to lower
corporate profits. In this cycle, corporate bonds have also come under pressure
from a lack of liquidity as brokerage firms and hedge funds scaled back their
market making and trading activities.
The Portfolio's emphasis on corporate bonds negatively impacted returns in the
first half of 2000. While the Portfolio has been void of the major credit
casualties, spreads on corporate bonds that became targeted as potential
leveraged buyout candidates were driven significantly wider. Names in the
Portfolio like Crown Cork and Seal, Federal Mogul, Masco, and British Sky
Broadcasting underperformed the overall corporate bond market as their spreads
widened more than the average corporate credit. Owning these names in shorter
maturities helped mitigate the impact of their spread widening. This is
consistent with our portfolio strategy to own corporate credit in shorter
maturities and U.S. Treasury Bonds at the long end of the yield curve.
OUTLOOK
With credit spreads near their historical wide levels, we feel that corporate
bonds offer attractive yields to fixed income investors. The Portfolio will
continue to be constructed to emphasize yield through ownership of corporate
bonds in the short end (less than seven years to maturity) and U.S. Treasury
securities at the long end of the yield curve (thirty years to maturity). We
anticipate that corporate credit selection will play a key role, as credit
spreads have become extremely volatile. Avoiding the pitfalls will be more
important than picking winners in the corporate bond universe in the second half
of 2000. Long-term U.S. Treasury securities continue to offer intriguing value
as the government uses their surplus to buy back long-term Treasury debt and
will likely discontinue issuing thirty-year bonds in the near future. We expect
that the decreased supply of long Treasury debt coupled with investor need for
duration should keep prices moving higher in this sector.
We believe Interest rates will continue to drift lower as the economy enters a
more favorable part of the cycle for fixed income investors. The positives for
bonds include: a slowdown in economic growth from an unsustainable rate, a
leveling off of the strong employment situation, the Federal Reserve closer to
the end of this Fed Fund rate hike cycle, a pull back in the equity markets, and
a fiscal surplus in the U.S. The largest concern for bonds is inflation. Higher
wages or commodity prices could keep upward pressure on interest rates, but the
Federal Reserve stands ready to combat this to achieve their primary goal of
price stability. All things considered, bonds are in good shape at the current
interest rate levels. We feel that interest rates should trend lower when the
economic slowdown becomes more obvious and investors realize that the up-tick in
inflation is just temporary. We will continue to keep above average duration in
the Portfolio, add yield through credit on the short end, and continue to own
long-term U.S. Treasury securities.
6
<PAGE>
TEN LARGEST BOND HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF BOND
COMPANY VALUE PORTFOLIO
------- ------------ -----------
<S> <C> <C>
U.S. Treasury Bond--5.250%, 02/15/29........................ $18,630,948 11.7%
U.S. Treasury Note--6.625%, 05/31/02........................ 16,060,000 10.1%
Federal National Mortgage Association--6.500%, 08/15/04..... 7,354,545 4.6%
U.S. Treasury Strip--6.690%, 11/15/04....................... 5,891,077 3.7%
U.S. Treasury Bond--5.875%, 11/15/05........................ 5,405,471 3.4%
Government of Canada--6.375%, 11/30/04...................... 5,364,573 3.3%
Crown Cork & Seal Company, Inc.--7.125%, 09/01/02........... 4,774,045 3.0%
Enron Corporation--6.725%, 11/17/08......................... 4,607,225 2.9%
Ford Motor Credit Corporation--7.500%, 03/15/05............. 4,226,718 2.6%
GTE Corporation--9.100%, 06/01/03........................... 4,153,964 2.6%
----------- ---------
$76,468,566 47.9%
=========== =========
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury 32.0%
U.S. Government Agencies 10.7%
AAA Rated 3.0%
AA Rated 9.0%
A Rated 18.6%
BBB Rated 15.5%
BB Rated 2.4%
Preferred Stock 4.2%
Cash and Other Assets/Liabilities 4.6%
</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>
One year 2.91%
Five year 5.04%
Ten year 7.16%
</TABLE>
<TABLE>
<CAPTION>
LEHMAN BROTHERS
GOVERNMENT/CORPORATE
BOND PORTFOLIO BOND INDEX CPI
<S> <C> <C> <C>
6/30/90 $10,000 $10,000 $10,000
12/31/90 $10,561 $10,573 $10,618
12/31/91 $12,420 $12,278 $10,934
12/31/92 $13,248 $13,211 $11,259
12/31/93 $14,607 $14,701 $11,568
12/31/94 $13,942 $14,188 $11,892
12/31/95 $16,695 $16,667 $12,193
12/31/96 $17,190 $17,150 $12,596
12/31/97 $18,810 $18,823 $12,819
12/31/98 $19,953 $20,606 $13,025
12/31/99 $19,409 $20,631 $13,365
6/30/00 $19,977 $20,941 $13,642
</TABLE>
On the chart above you can see how the Bond Portfolio's total return compared to
the Lehman Brothers Government/Corporate Bond Index and the Consumer Price
Index. The three lines represent the total return of a hypothetical $10,000
investment made on June 30, 1990 through June 30, 2000.
*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,
non-convertible domestic corporate debt.
7
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
STEVEN S. NELSON, CFA
PORTFOLIO MANAGER
The Money Market Portfolio seeks maximum current income to the extent consistent
with liquidity and the preservation of capital. It invests in short-term money
market instruments and other debt securities that mature within 397 days.
INVESTMENT IN THE MONEY MARKET PORTFOLIO IS NEITHER INSURED NOR GUARANTEED BY
THE U.S. GOVERNMENT, AND THERE CAN BE NO ASSURANCE THAT THE PORTFOLIO WILL BE
ABLE TO MAINTAIN A STABLE NET ASSET VALUE OF $1.00 PER SHARE. IT IS POSSIBLE TO
LOSE MONEY BY INVESTING IN THE PORTFOLIO.
MONEY MARKET PORTFOLIO
PERFORMANCE
The Advantus Series Fund Money Market Portfolio earned a total return of
2.78 percent for the six-month period ended June 30, 2000. This compares with
the three-month U.S. Treasury Bill, which earned 2.92 percent for the same
period.
PERFORMANCE ANALYSIS
Over the past six-months, short-term interest rates increased significantly,
long-term interest rates declined--after a significant rise--and the yield curve
inverted. The yield on the three-month U.S. Treasury Bill increased 55 basis
points (.55 percent) to yield 5.86 percent at June 30, 2000; while the yield on
the 30-year Treasury bond declined 58 basis points (.58 percent) to yield
5.90 percent at the end of the reporting period.
Ongoing strength in the U.S. economy, higher inflation and three more increases
in the Federal Funds rate (totaling 100 basis points (1 percent)) contributed to
the increase in short-term rates. In spite of the Federal Reserve's moves,
long-term Treasury rates declined over the reporting period--after having peaked
in mid-January. A strong fiscal position in the U.S., coupled with the
government's plan to repurchase long-term Treasury bonds as well as investors'
perception that the Fed will do what it takes to keep inflation under control,
provided the impetus for long-term Treasury rates to rally.
Short-term interest rates during the reporting period peaked at 6.21 percent on
May 16, the same day that the Federal Reserve increased the Federal Funds rate
by 50 basis points. After the rate hike, interest rates rallied as a series of
economic data signaled signs of a slowing economy. The signs led most investors
to correctly conclude that the Fed wouldn't increase rates at their meeting in
late June. Over the past six months, the total return of the three-month and
six-month U.S. Treasury Bills were 2.92 percent and 3.05 percent, respectively.
While the extreme volatility that investors have become accustomed to seemed to
take a breather over the last quarter of the reporting period, investors can be
certain that financial markets will continue to experience significant
volatility from time to time. Because of this, high-quality U.S. corporate
commercial paper should always be considered as a sound alternative for
investors seeking a high degree of safety and liquidity for a portion of their
portfolios. In addition, there are times--such as the present--when high-
quality commercial paper can also offer investors very attractive yields
relative to other fixed income alternatives. For example, in the second quarter,
yields offered by many large, high-quality issuers on 90-day commercial paper
exceeded 6.5 percent.
The Advantus Money Market Portfolio has approximately 95 percent 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). The
Portfolio's holdings are 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 a range between 40 and 50 days.
OUTLOOK
Over the past year, the Fed has raised the Federal Funds Rate six times for a
total of 1.75 percent (i.e., to 6.50 percent from 4.75 percent). Despite its
moves, the U.S. economy still remains strong. Although some signs of slowing
have emerged, the market continues to wrestle with higher commodity prices,
higher inflation, tight labor markets and Federal Reserve policy direction. For
investors, an important question as we move into the second half of the year is
whether the Fed will raise rates further in the months ahead. Answering this
question correctly, which we strive to do through analysis and discussion,
should help to achieve better relative performance for our clients.
Our feeling is that interest rates should generally drift lower as the economy
enters a more favorable part of the cycle for fixed income investors. We see
several positives for the bond market: The economy is slowing from what has been
an unsustainable growth rate, the strong labor market situation is leveling off,
the Federal Reserve is nearing the end of the current rate hike cycle, equity
markets have pulled back, and there is a fiscal surplus in the U.S. The largest
concern for fixed income investors is inflation. Higher wages or commodity
prices could keep upward pressure on interest rates, but the Federal Reserve
stands poised to raise rates, if necessary, to achieve its goal of price
stability. All things considered, the fixed income market seems fairly priced at
current interest rate levels. As such, we expect that interest rates should
gradually trend lower when the economic slowdown becomes more obvious and
investors realize that the uptick in inflation is not permanent.
8
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
AVERAGE DAYS TO MATURITY
<TABLE>
<CAPTION>
NUMBER OF DAYS
<S> <C>
Jan 41
Jan 39
Jan 41
Jan 60
Feb 68
Feb 65
Feb 61
Feb 56
Mar 58
Mar 54
Mar 51
Mar 53
Apr 56
Apr 57
Apr 52
Apr 47
May 44
May 48
May 46
May 40
June 44
June 41
June 42
June 41
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
SEVEN-DAY COMPOUND YIELD*
<TABLE>
<CAPTION>
PERCENTAGE
<S> <C>
Jan 5.41%
Jan 5.44%
Jan 5.48%
Jan 5.44%
Feb 5.44%
Feb 5.47%
Feb 5.40%
Feb 5.50%
Mar 5.49%
Mar 5.50%
Mar 5.49%
Mar 5.47%
Apr 5.31%
Apr 6.03%
Apr 5.69%
Apr 5.68%
May 5.57%
May 6.02%
May 5.76%
May 6.12%
June 5.81%
June 6.07%
June 6.28%
June 5.89%
</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 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]
[PHOTO]
THOMAS A. GUNDERSON, CFA
PORTFOLIO MANAGER
WAYNE R. SCHMIDT, CFA
PORTFOLIO MANAGER
The Asset Allocation Portfolio seeks as high a level of long-term total rate of
return as is consistent with prudent investment risk. It invests in common
stocks and other equity securities, bonds and money market instruments. The mix
of investments is varied by the Portfolio's management as economic conditions
indicate.
ASSET ALLOCATION PORTFOLIO
PERFORMANCE
The Asset Allocation Portfolio generated a total return of 3.69 percent* for the
six-month period ended June 30, 2000. The Portfolio's benchmarks, the Russell
1000 Growth Index** returned 4.23 percent, and the Lehman Brothers Aggregate
Bond Index+ returned 3.98 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 4.30 percent for the same period.
PERFORMANCE ANALYSIS
The stock market exhibited above average volatility during the first half of
2000. Through the middle of March, the NASDAQ and its technology stocks carried
the market averages to record levels. Since then, the stock market went through
a healthy, yet somewhat painful, correction. During the correction phase, the
market favored the more stable, or defensive stocks, while taking the air out of
the many speculative stocks. Interest rate fears, combined with higher energy
costs and a slowing economy, took the steam out of many sectors of the stock
market.
Interest rates were volatile during the six-month period as the market wrestled
with strong economic growth with hints of a potential slowdown, higher commodity
prices and overall concern for inflation, tight labor markets, and a proactive
Federal Reserve that raised the Federal Funds rate by 100 basis points
(1 percent). Despite the mixed news, the bond market managed to look beyond the
current events as short-term interest rates were pushed slightly higher and
long-term interest rates fell creating an inverted yield curve. This is a
situation where short-term interest rates are higher than long-term interest
rates. The yield on the two-year U.S. Treasury note rose 12 basis points
(.12 percent) to yield 6.36 percent, while the 30-year bond declined 58 basis
points (.58 percent) to yield just 5.90 percent at June 30, 2000.
The Energy sector led the stock market for the six-month period driven by
$30-a-barrel oil prices and skyrocketing gas prices. The Health Care sector also
posted strong results. The Portfolio was well positioned in both of these
sectors led by Warner Lambert in Health Care and Baker Hughes in the Energy
sector. REIT's in the Portfolio were also strong performers during the period
posting solid double digit gains. Technology issues came through the first
quarter with record earnings and very few disappointments, but in the second
quarter, computer services companies like Unisys and EDS (neither owned in the
Portfolio) were not able to meet expectations. This has led to a correction in
the Technology sector although it has managed a positive return year-to-date.
Technology continues to be a heavy concentration for the fund and our positions
in Redback Networks and Juniper Networks have been significant contributors to
performance.
Within the fixed income universe, the Government sector was the top performer as
Treasury and Agency securities returned 5 percent for the first six-months.
Mortgage-backed securities returned a respectable 3.7 percent while the
corporate credit sector lagged generating a 2.7 percent total return for the
quarter. These results are consistent with the backdrop of a tightening Federal
Reserve and a general lack of liquidity in the spread sectors. Spreads on
corporate bonds generally widen when the Federal Reserve is tightening monetary
policy in an effort to slow economic growth that eventually will lead to lower
corporate profits. In this cycle, corporate bonds have also come under pressure
from a lack of liquidity as brokerage firms and hedge funds scaled back their
market making and trading activities.
The strong shifts in the financial market provided selective asset allocation
opportunities during the past six months. Stocks were selectively sold during
March as the stock market moved to less attractive levels. Following the
consolidation phase of the market, stocks were added during April and May as
some of the successful growth stocks sold down to very attractive levels. For
the period ended stocks composed 71 percent, fixed income 27 percent, and cash 2
percent of the Portfolio.
OUTLOOK
Healthy corporate earnings growth, along with benign inflation, continue to
create a healthy fundamental backdrop for financial markets. Over the
short-term, we feel the stock market will continue to struggle with the slowing
rate of growth. For bonds, we expect that 2000 will likely be much better than
1999 as economic growth shows signs of slowing.
Over the long run, we anticipate that fundamental economic variables should
dominate the movements of 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 COMMON STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
------- -------- ------------- ----------
<S> <C> <C> <C>
Cisco Systems, Inc.......................................... 493,500 $ 31,368,094 5.7%
Intel Corporation........................................... 228,100 30,494,119 5.6%
Pfizer, Inc................................................. 628,625 30,174,000 5.5%
Dell Computer Corporation................................... 367,800 18,137,138 3.3%
General Electric Company.................................... 301,656 15,987,768 2.9%
------------ --------
$126,161,119 23.0%
============ ========
</TABLE>
BOND PORTFOLIO CHARACTERISTICS--QUALITY BREAKDOWN
<TABLE>
<CAPTION>
% OF BOND
RATING PORTFOLIO
------ ----------
<S> <C>
U.S. Treasury............................................... 18.6%
U.S. Government Agencies.................................... 34.1%
AAA rated................................................... 2.9%
AA rated.................................................... 12.0%
A rated..................................................... 18.8%
BBB rated................................................... 10.4%
BB rated.................................................... 2.4%
B rated..................................................... .8%
--------
100.0%
========
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Bonds 25.5%
Common Stocks 71.1%
Preferred Stocks 1.2%
Cash and Other Assets/Liabilities 2.2%
</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>
One year 15.07%
Five year 16.78%
Ten year 13.66%
</TABLE>
<TABLE>
<CAPTION>
ASSET ALLOCATION RUSSELL 1000 LEHMAN BROTHERS
PORTFOLIO CPI BLENDED INDEX GROWTH INDEX AGGREGATE BOND INDEX
<S> <C> <C> <C> <C> <C>
6/30/90 $10,000 $10,000 $10,000 $10,000 $10,000
12/31/90 $10,036 $10,618 $9,881 $9,404 $10,596
12/31/91 $12,934 $10,934 $12,936 $13,275 $12,291
12/31/92 $13,875 $11,259 $13,716 $13,940 $13,201
12/31/93 $14,772 $11,568 $14,497 $14,343 $14,488
12/31/94 $14,565 $11,892 $14,565 $14,725 $14,065
12/31/95 $18,208 $12,193 $18,856 $20,199 $16,663
12/31/96 $20,484 $12,596 $21,679 $24,869 $17,268
12/31/97 $24,374 $12,819 $26,463 $32,448 $18,935
12/31/98 $30,138 $13,025 $33,641 $45,010 $20,581
12/31/99 $34,710 $13,365 $37,809 $54,255 $20,696
6/30/00 $35,991 $13,642 $37,087 $51,817 $21,104
</TABLE>
On the chart above you can see how the Asset Allocation Portfolio's total return
compared to the Russell 1000 Growth Index, Lehman Brothers Aggregate Bond Index,
a blended index of 60 percent Russell 1000 Growth Index and 40 percent Lehman
Brothers Aggregate Bond Index and the Consumer Price Index. The lines represent
the cumulative total return of a hypothetical $10,000 investment made on
June 30, 1990 through June 30, 2000.
*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 R. 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
For the six-month period ending June 30, 2000, the Advantus Series Fund Mortgage
Portfolio returned 4.10* percent. This compares favorably to our Peer group,
Lipper U.S. Mortgage universe of portfolios+, which earned 4.0 percent, and the
Portfolio's benchmark, the Lehman Mortgage Index**, with earned 3.67 percent.
PERFORMANCE ANALYSIS
The unlikely combination of accelerating growth and declining Treasury supply
united to create both opportunities and challenges for debt issuers and
investors alike. Treasury yields have been on a roller coaster ride while yield
premiums on spread products, such as mortgages and corporates, have gradually
climbed higher. For most of the period, as treasury yields fluctuated, the
spread on mortgages merely expanded and contracted to offset most of this
movement. In the end, absolute yields, and prices on mortgages, remained
relatively stable.
The power exerted by the shape of the yield curve and demand for government
guaranteed securities in determining performance was clearly evident as they
single handedly segregated winning and losing sectors. Intermediate and long
maturity treasuries were the primary beneficiaries as their yields fell by
.50 percent. In contrast, short maturity securities and spread products
experienced a very different environment as short interest rates floated higher
and spreads widened by .20 to .30 percent causing these sectors to lag. While
mortgages may not have been able to keep pace with the overall strength of the
treasury market, mortgages were the next best performing fixed income asset
class.
During this period, coupon selection did not make much of a difference, as the
market remained strapped into a low supply/benign pre-pay environment. The
decisions that proved to matter the most were broad allocation decisions between
Ginnie Mae's and Conventional (Fannie Mae and Freddie Mac), 30-year and 15-year
maturity, non-agency prime and sub-prime residential and multi-tenant and single
tenant retail commercial securities.
- Ginnie Mae outperformed conventional mortgages as the demand for treasury
substitutes grew.
- 30-year outperformed 15-year as the yield curve was inverted, with longer
maturity rates falling lower than shorter maturity rates.
- Non-agency prime credit quality residential outperformed sub-prime sectors
as prime borrowers continue to benefit from healthy home appreciation and
strong balance sheets. Unfortunately, the environment for sub-prime
securities will remain challenged due to a history of aggressive
underwriting and under-capitalized issuers.
- Overall, commercial mortgage securities turned in an exceptional period on
the back of solid fundamentals and impressive liquidity. The only
exception being a handful of securities, which were backed by leases on
single tenant retail facilities.
Being underweighted in Ginnie Mae's limited our performance. However, being
overweighted in both 30-year securities and non-agency prime quality residential
and commercial mortgage securities more than made up this difference, by
enhancing relative performance while reducing the Portfolio's overall
volatility.
Looking forward, we think that Ginnie Mae's are fundamentally overvalued, and
for purely technical reasons are likely to remain overvalued. We will remain
underweighted in Ginnie Mae's. We still see upside opportunities in conventional
agency mortgage securities and other non-agency mortgage sectors. As long as
this relative value persists, we will maintain a strong ownership in these
sectors. It's important to note that we have been a very conservative and
limited participant in the sub-prime sectors of the mortgage market. The current
fundamentals do not lead us to anticipate a near-term change in this position.
We continue to advocate the virtues of broad diversifications and active
relative value management. This philosophy offers a consistent means to
strengthen the breadth and depth of our asset allocation decisions, as well as
create shareholder value throughout both interest rate and credit cycles.
Currently, the Portfolio's overall credit rating is AA and we are riding
duration 5 percent longer than the Index. Our sector weights are: 25 percent
agency pass throughs and CMO's, 49 percent non-agency pass throughs and CMO's,
20 percent Commercial pass throughs, 5 percent asset-backed securities and
1 percent cash. Finally, as this business cycle matures, we will continue to
seek opportunities to increase the overall quality of the Portfolio.
OUTLOOK
As the period came to a close, the economy was beginning to show tentative signs
of downshifting. With the bond market choosing to believe that the Fed is
closing in on the end of this tightening cycle, the bond market rallied and
interest rates ended the period toward the lower end of their recent trading
range.
Nevertheless, with labor markets remaining tight, equity prices back from
negative territory, and the inflation picture still being debated, we cannot
rule out the possibility of modestly tighter monetary policy in the next
six-months. Overall, we do not anticipate much change in the interest rate
environment through year-end, but we do expect yield curve movements and
treasury buying to remain an issue, but less of the driving force it has been.
In this environment, we feel that mortgages remain an attractive asset class,
capable of delivering competitive earnings. High gross yields approaching
8 percent, high credit quality, excellent liquidity and a general absence of
prepayment risk will continue to be the cornerstone of what makes mortgages one
of the most attractive fixed income asset classes over the next six-months. Once
it is clear that the Fed has reached it's objective and will no longer be
raising rates, the investor's appetite for risk should improve, driving risk
premiums over treasuries tighter which should benefit all spread sectors,
especially mortgages.
12
<PAGE>
HIGH QUALITY ASSETS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
AAA Rated 39.7%
AA Rated 17.1%
A Rated 14.8%
BBB Rated 18.7%
BB Rated 7.2%
Preferred Stock 1.1%
Cash and Other Assets/Liabilities 1.4%
</TABLE>
SOLID LIQUIDITY
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Public Issues 56.1%
Private Placements 3.2%
Private 144A Issue 38.2%
Preferred Stock 1.1%
Cash and Other Assets/Liabilities 1.4%
</TABLE>
PRUDENT SECTOR DIVERSIFICATION
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
FHLMC MBS 2.4%
FNMA MBS 6.9%
GNMA MBS 7.9%
Vendee MBS 0.9%
Asset Backed Securities 3.9%
MRBs 5.0%
Whole Loan MBS 55.9%
Commercial MBS 13.9%
Corporate/Agency Bonds 0.7%
Preferred Stock 1.1%
Cash and Other Assets/Liabilities 1.4%
</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>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C>
One year 4.98%
Five year 6.56%
Ten year 7.87%
</TABLE>
<TABLE>
<CAPTION>
MORTGAGE LEHMAN BROTHERS
SECURITIES MORTGAGE-
PORTFOLIO BACKED SECURITIES INDEX CPI
<S> <C> <C> <C>
6/30/90 $10,000 $10,000 $10,000
12/31/90 $10,652 $10,655 $10,618
12/31/91 $12,385 $12,329 $10,934
12/31/92 $13,174 $13,186 $11,259
12/31/93 $14,393 $14,064 $11,568
12/31/94 $13,907 $13,836 $11,892
12/31/95 $16,412 $16,160 $12,193
12/31/96 $17,274 $17,002 $12,596
12/31/97 $18,853 $18,616 $12,819
12/31/98 $20,092 $19,911 $13,025
12/31/99 $20,492 $20,279 $13,365
6/30/00 $21,333 $21,023 $13,642
</TABLE>
On the chart above you can see how the Mortgage Securities Portfolio's total
return compared to the Lehman Brothers Mortgage-Backed Securities Index and the
Consumer Price Index. The three lines represent the total return of a
hypothetical $10,000 investment made on June 30, 1990 through June 30, 2000.
*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 P. 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
Increased volatility was the underlying theme for the first six-months of the
year. After monthly losses in January and February, the S&P Index provided
impressive gains in March. The pattern continued into the second quarter with
negative returns in April and May and a slight rebound in June. For the period
ended June 30, 2000 the Index 500 Portfolio generated a total return of -.61
percent.* This compares to the S&P 500 Index,** which returned a negative
.45 percent over the same period.
PERFORMANCE ANALYSIS
The Federal Reserve increased rates in the first quarter and deferred to keep
rates flat during the June meeting. Attention continues to focus in on economic
data that could suggest a slow down in the economy. If the numbers suggest a
moderate slow down, the second half of 2000 is likely to finish strong.
Four of the 11 sectors posted positive returns during the six-month period ended
June 30, 2000. Health Care (23.7 percent), Utilities (15.4 percent), and Energy
(4.7 percent) rounded out the top performing sectors. Intel Corporation, Oracle
Corporation, Pfizer, Inc., Cisco Systems, Inc. and Nortel Networks Corporation
were the top five individual contributors. The Basic Materials sector performed
the worst with a -24.87 percent return. Microsoft Corporation, Inc., Qualcomm,
Procter & Gamble Company, AT&T Corporation and America Online, Inc. led the
negative individual contributors for the first six-months of the year.
OUTLOOK
We believe that the equity market should do reasonably well over the next few
months, and volatility will continue. We anticipate that P/E ratios++ should go
up as growth and interest rates stabilize and inflation gradually goes down.
Higher P/E ratios indicate that we may be moving back to a more normal time when
investors' expectations ran in the single-digit returns.
We see no recession in sight. Our country's economic strength is too broad, and
there are very few weak spots. Ultimately, we expect that the economy will slow,
and the threat of higher inflation will subside; the Fed will prevail. We
believe the Fed has not finished tightening and anticipate at least one more
increase in interest rates before November. Whenever we have a change in
interest rate direction, volatility and uncertainty surface. We have witnessed
volatility in the capital markets throughout the first half of 2000, and we
believe this will continue through the remainder of the year.
14
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
------- ------- ------------ -----------
<S> <C> <C> <C>
General Electric Company.................................... 506,588 $ 26,849,164 4.2%
Intel Corporation........................................... 171,484 22,925,267 3.6%
Cisco Systems, Inc.......................................... 356,185 22,640,009 3.5%
Microsoft Corporation....................................... 269,459 21,556,720 3.4%
Pfizer, Inc................................................. 322,308 15,470,784 2.4%
Exxon Mobile Corporation.................................... 178,250 13,992,624 2.2%
Wal-Mart Stores, Inc........................................ 228,219 13,151,120 2.0%
Oracle Corporation.......................................... 145,340 12,217,644 1.9%
CitiGroup, Inc.............................................. 172,799 10,411,140 1.6%
Nortel Networks Corporation................................. 151,682 10,352,297 1.6%
------------ ---------
$169,566,769 26.4%
============ =========
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 1.0%
Transportation 0.6%
Utilities 2.4%
Basic Materials 2.7%
Energy 5.4%
Communication Services 7.2%
Capital Goods 7.7%
Consumer Cyclical 8.1%
Consumer Staples 10.0%
Health Care 11.1%
Financial 12.5%
Technology 31.3%
</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>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C>
One year 6.76%
Five year 22.95%
Ten year 17.20%
</TABLE>
<TABLE>
<CAPTION>
INDEX 500 PORTFOLIO S&P 500 INDEX CPI
<S> <C> <C> <C>
6/30/90 $10,000 $10,000 $10,000
12/31/90 $9,375 $9,686 $10,618
12/31/91 $12,164 $12,635 $10,934
12/31/92 $13,063 $13,598 $11,259
12/31/93 $14,337 $14,970 $11,568
12/31/94 $14,506 $15,157 $11,892
12/31/95 $19,849 $20,828 $12,193
12/31/96 $24,145 $24,768 $12,596
12/31/97 $31,960 $33,029 $12,819
12/31/98 $40,903 $42,468 $13,025
12/31/99 $49,200 $51,391 $13,365
6/30/00 $48,897 $51,160 $13,642
</TABLE>
On the chart above you can see how the Index 500 Portfolio's total return
compared to the S&P 500 Index (as adjusted for dividend reinvestment) and the
Consumer Price Index. The three lines represent the total return of a
hypothetical $10,000 investment made on June 30, 1990 through June 30, 2000.
*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.
+"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.
++P/E ratio is a stock price divided by it's earnings per share.
15
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
SUSAN L. BLACK, CFA
CREDIT SUISSE ASSET 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, Credit Suisse
Asset Management provides investment advice to the Capital Appreciation
Portfolio under a subadvisory agreement.
CAPITAL APPRECIATION PORTFOLIO
Note: Credit Suisse Asset Management, LLC assumed management of the Advantus
Series Fund Capital Appreciation Portfolio on May 1, 2000. Therefore, the
following discussion reflects the performance of the Advantus Capital
Appreciation Portfolio for the period during which we managed the portfolio as
well as our outlook for the large-cap sector as a whole. (Representative
holdings named below are in the Advantus Series Fund Capital Appreciation
Portfolio.)
PERFORMANCE
For the six-month period ended June 30, 2000, the Capital Appreciation Portfolio
returned 1.35 percent.* This compares with the S&P 500 Index,** which returned
-.45 percent, and the Russell 1000 Growth Index+, which returned 4.23 percent
for the same period.
PERFORMANCE ANALYSIS
The U.S. stock market struggled in the second quarter beset by inflation and
interest rate worries, which especially weighed on technology and other growth
stocks. The Portfolio's performance reflected the difficult environment for
stocks and its continued emphasis on growth-oriented sectors of the market.
Recent volatility notwithstanding, we continue to believe that these sectors
offer the most compelling long-term appreciation potential.
The Portfolio was restructured when we began managing the Portfolio on May 1st
to reflect our own market outlook and style. The most dramatic sector reductions
were in the telecommunications and equipment and retail sectors, which, in many
cases, we believed had become fully valued. Accordingly, we made the decision to
realize profits in these two sectors. We reduced the telecommunications and
equipment sector from 21.99% to 15.18% and the retail sector from 9.31% to 2.36%
(from April 30th to June 30th, respectively). Within the telecommunications
equipment sector we pared the portfolio's exposure to Cisco Systems Inc. from
6.36% on April 30th to 3.00% on June 30th. In the retail sector we reduced our
allocation to Home Depot from 2.28% to 0.44% and completely sold the portfolio's
position in CVS Corp.
Conversely, we increased the portfolio's allocation to pharmaceuticals, energy
and banks and savings and loans. The pharmaceutical sector was increased from
4.87% of the portfolio's market value on April 30th to 13.40% on June 30th based
on our belief that this sector was reasonably valued and would perform well as
the overall economy began to slow. Within the sector we added positions in
Pfizer Inc. (3.73% as of June 30) and Pharmacia Corp. (2.69%).
The exposure to the energy sector was increased from 0.0% of the portfolio's
market value to 6.42% on June 30 as we expected the imbalance of demand versus
supply for natural gas and electric energy to increase the profit outlook for
companies within the sector. Two names that we added to the portfolio included
BP Amoco PLC (2.01% on June 30 and Exxon Mobil Corp. (1.46%).
Likewise, we increased the portfolio's allocation to the banks and savings and
loans sector from 0.0% to 5.06% on June 30th. We had been underweight here for
several quarters reflecting our concerns that rising interest rates would
restrain the group's earnings growth. Our decision to increase our exposure was
based on the attractive valuations we saw on specific financial stocks, given
the potential for a peak in the interest-rate cycle relatively soon. Our
emphasis here remained on companies with good capital management and effective
cost control. Two names that we added to the Advantus portfolio were Citigroup
(3.21% on June 30th) and Northern Trust (1.46%).
Finally, we maintained the portfolio's healthy exposure in the communications &
media sector (11.17%). Our positive outlook for the group's longer-term
prospects is based on an expanding Internet, particularly with respect to the
introduction of cable Internet pipelines into the home. In our view, companies
such as Liberty Media Group (2.49%) are well positioned to benefit from this
trend over the longer term.
OUTLOOK
Looking ahead to the next few months, we feel that uncertainty will no doubt
continue to haunt the market and spark occasional bouts of volatility. In this
context, we will continue to look for opportunities to "upgrade" the portfolio,
taking advantage of market volatility to purchase shares of high-quality,
industry-leading companies trading at what we deem to be reasonable valuations.
As ever, our focus will remain concentrated on identifying stocks we deem to
have the best long-term prospects.
16
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
------- ------- ------------- ----------
<S> <C> <C> <C>
Pfizer, Inc. ............................................... 323,675 $ 15,536,400 3.7%
CitiGroup, Inc. ............................................ 221,600 13,351,400 3.2%
Cisco Systems, Inc. ........................................ 196,300 12,477,319 3.0%
Intel Corporation........................................... 90,200 12,058,613 2.9%
Nortel Networks Corporation................................. 175,100 11,950,575 2.9%
Viacom, Inc. ............................................... 170,817 11,647,584 2.8%
Pharmacia Corporation....................................... 216,600 11,195,512 2.7%
General Electric Company.................................... 204,900 10,859,700 2.6%
AT&T Corporation............................................ 428,300 10,386,275 2.5%
Microsoft................................................... 119,600 9,568,000 2.3%
------------ ----
$119,031,378 28.6%
============ ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 5.7%
Transportation 0.7%
Basic Materials 2.5%
Consumer Cyclical 4.7%
Capital Goods 5.7%
Consumer Staples 8.0%
Communication Services 8.4%
Energy 8.7%
Health Care 11.5%
Financial 11.5%
Technology 32.6%
</TABLE>
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN CAPITAL APPRECIATION PORTFOLIO,
RUSSELL 1000 GROWTH INDEX AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C>
One year 23.31%
Five year 21.05%
Ten year 16.12%
</TABLE>
<TABLE>
<CAPTION>
CAPITAL APPRECIATION RUSSELL 1000
PORTFOLIO GROWTH INDEX CPI
<S> <C> <C> <C>
6/30/1990 $10,000 $10,000 $10,000
12/31/1990 $8,879 $9,405 $10,618
12/31/1991 $12,589 $13,275 $10,934
12/31/1992 $13,224 $13,940 $11,259
12/31/1993 $14,604 $14,341 $11,568
12/31/1994 $14,933 $15,545 $11,892
12/31/1995 $18,334 $21,327 $12,193
12/31/1996 $21,564 $26,257 $12,596
12/31/1997 $27,658 $34,260 $12,819
12/31/1998 $36,185 $47,523 $13,025
12/31/1999 $43,967 $63,271 $13,365
6/30/2000 $44,563 $65,947 $13,642
</TABLE>
On the chart above you can see how the Capital Appreciation Portfolio's total
return compared to the Russell 1000 Growth Index and the Consumer Price Index.
The three lines represent the total return of a hypothetical $10,000 investment
made on June 30, 1990 through June 30, 2000.
*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 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]
[PHOTO]
GARY R. CLEMONS
EDGERTON TUCKER SCOTT III, CFA
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. Investment risk associated with international investing, in addition
to other risks, include currency fluctuation, political and economic
instability, and differences in accounting standards when investing in foreign
markets.
INTERNATIONAL STOCK PORTFOLIO
PERFORMANCE
The International Stock Portfolio returned 2.09 percent* during the first half
of 2000, compared with the MSCI EAFE Index** return of negative 4 percent.
PERFORMANCE ANALYSIS
A "return to earnings" occurred in the first half of the year 2000, deflating
the dot.com frenzy that was seen in 1999. As more Internet stocks came into the
market, investors started to take a closer look at earnings generation
capability at some of these companies. Inflation fears in the U.S. in the early
part of the year resulted in the Federal Reserve again raising interest rates,
which shook growth stocks as a whole, including the technology-laden NASDAQ
index. The NASDAQ sell-off sent ripples throughout the globe, prompting a
sell-off in technology, media and telecommunications (TMT) stocks universally.
Given the persistence of the market's multi-year trend favoring growth and
technology, the performance of this period is encouraging given the very
favorable valuation characteristics of the fund. The portfolio is now trading at
just over half the valuation of the index benchmarks on a price-to-earnings and
price-to-cashflow basis. This discount is a wide margin by even our own
historical standards, but we remain convinced that while the Internet and new
technologies are very important developments, they have not repealed the laws of
earnings and cash flow generation.
Merger and Acquisition activity remained robust in the first half of the year,
and your Fund benefited from consolidation activity as several holdings in the
financial and energy sectors benefited from this trend and registered solid
double-digit gains. Nordic Baltic Holdings, now the largest bank in the Nordic
region, was formed through the merger of Merita Nordbanken and Unidanmark, while
Canadian oil company, Ranger Oil is being acquired by Canadian Natural Resource.
Individual stocks, rather than broad industry or geography weightings, accounted
for the portfolio's equity performance. Celltech, a British biotechnology
company, was among the best performers in the portfolio, up over 140 percent.
Celltech rose amidst general investor enthusiasm for biotech stocks accompanying
the exciting breakthroughs of the Human Genome Project. The stock hit our
valuation target and we reduced the position and what we consider to be an
excellent price.
Alcatel was another outstanding performer in the first half of the year, up over
50 percent. Investors began to the place more value on the French company's
optical networking capabilities and its leading position in broadband access
equipment. After an earnings disappointment in late 1998, the company's
management has proven its ability to unlock shareholder value though
cost-cutting and renewed dedication to profitable growth.
Nomura Securities was another stock that fueled the portfolio's performance,
generating over 40 percent in the first half of the year. Nomura is Japan's
leading stock brokerage company. We initiated a position in Nomura in 1998, when
Nomura was trading at a Price-to-Book ratio under two times, which made it quite
a bit cheaper than U.S. competitors like Morgan Stanley and Merrill Lynch. We
bought the stock because of the tremendous growth potential for managed assets
in Japan. This year that premise has begun to play out, with Japanese savers
moving assets out of the Postal Savings System and into managed equity
investments. By virtue of its commanding domestic market position, Nomura has
been able to gather a good percentage of this new money. We are comfortable with
our position and believe that Nomura is well placed to make further gains.
OUTLOOK
Over the last year, our underweight in the strongly performing Japanese market
generally hurt returns. However, your performance over the last six months has
been helped by this underweight, as tech and blue chips in Japan, which had led
the market, suffered greatly in this year's downdraft. We believe that our focus
in Japan on companies whose managements are intent on restructuring and
improving corporate profitability will ultimately be a winning strategy, and we
will continue to add such issues when our analysis uncovers them.
The first half of 2000 was an encouraging period for our investment style. For
most of the last three years, out focus on value has not helped our clients
achieve market-beating results because of the euphoric valuations accorded to
some of the "New Economy" stocks. We feel that the start of 2000 may signal a
shift, perhaps subtle, back toward a more rational, levelheaded assessment of
stocks in light of probable future earnings. If indeed such a shift is underway,
your portfolio should benefit. Our analysts believe that every stock in the
portfolio compares favorably with future earnings prospects, something that we
can not say for many of today's favorite stocks.
18
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
------- --------- ----------- ----------
<S> <C> <C> <C>
Aventis..................................................... 125,610 $ 9,143,867 2.8%
Nordic...................................................... 1,106,700 8,029,954 2.4%
Celltech Group.............................................. 409,400 7,947,103 2.4%
Teva Pharmaceutical......................................... 139,900 7,755,706 2.3%
Nomura Securities........................................... 305,200 7,473,757 2.3%
AXA-UAP..................................................... 45,745 7,187,134 2.2%
Nippon Telephone & Telegraph................................ 527 7,012,079 2.1%
Repsol...................................................... 341,000 6,769,999 2.0%
Akzo Nobel.................................................. 155,900 6,605,935 2.0%
E.On........................................................ 134,700 6,592,633 2.0%
----------- ----
$74,518,167 22.5%
=========== ====
</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>
One year 12.30%
Five year 13.36%
Since inception (May 1, 1992) 12.99%
</TABLE>
<TABLE>
<CAPTION>
MORGAN STANLEY
INTERNATIONAL STOCK PORTFOLIO CAPITAL EAFE CPI
<S> <C> <C> <C>
5/1/92 $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
6/30/00 $27,106 $20,888 $12,334
</TABLE>
On the chart above you can see how the International Stock Portfolio's total
return compared to the Morgan Stanley Capital EAFE Index and the Consumer Price
Index. The three lines represent the total return of a hypothetical $10,000
investment made on the inception date of the International Stock Portfolio
(May 1, 1992) through June 30, 2000.
*Historical performance is not an indication of future performance. Investment
returns on principal values will fluctuate so that shares upon redemption may be
worth more or less than their original cost. Performance figures of the Fund do
not reflect charges pursuant to the terms of the variable life insurance
policies and variable annuity contracts funded by separate accounts that invest
in the Fund's shares. When such charges are deducted, actual investment
performance in a variable policy or contract will be lower.
**The Morgan Stanley Capital EAFE Index is an unmanaged index of common stocks
from European, Australian and Far Eastern markets.
19
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
[PHOTO]
STEPHEN J. LURITO
SAMMY OH
CREDIT SUISSE ASSET MANAGEMENT
The Small Company Growth Portfolio seeks long-term accumulation of capital. It
invests primarily in common stocks of small companies, defined in terms of
either market capitalization or gross revenues that are less than $1.5 billion.
While Advantus Capital Management, Inc. acts as Investment advisor for the
portfolio, Credit Suisse Management, LLC/Warburg Pincus provides investment
advice to the Small Company Growth Portfolio under a subadvisory agreement.
SMALL COMPANY GROWTH PORTFOLIO
PERFORMANCE
The Advantus Series Fund Small Company Growth Portfolio had a loss of 6.18
percent* for the three-months ended June 30 versus a drop of 7.37% for the
Russell 2000 Growth Index.** Performance was hindered by the difficult backdrop
for small-cap stocks and by weakness in specific issues, such as certain issues
of the portfolio's communications and software holdings. On a positive note,
stocks that helped the portfolio included its health-care and oil-services
holdings.
PERFORMANCE ANALYSIS
Following a buoyant 1999 and a positive, though volatile, first quarter,
small-capitalization stocks declined sharply over the April-through-June span,
as identified by the fall of the Russell 2000 Growth Index. The group's retreat
largely reflected inflation and interest-rate worries. Despite a series of rate
increases by the Federal Reserve over the past year, the economy remained
strong, leaving the door open to further monetary "tightening." The uncertainty
particularly hampered technology stocks, whose valuations compared to those on
non-technology stocks, had become quite lofty.
We made few noteworthy changes to the portfolio in terms of sector/industry
allocation. We maintained a primary emphasis on technology companies (broadly
defined, these accounted for nearly half of the portfolio's assets at the close
of the period), reflecting the considerable opportunity that we continued to
see. However, there were some adjustments worthy of mention. We pared our
exposure to the computer and communications sectors, and raised our weighting in
the electronics area, where we generally saw better value. Electronics stocks we
added during the quarter included Emcore Corp (0.91% as of June 30), a company
which designs and develops compound semiconductor materials and process
technology.
Outside of technology, our noteworthy moves included increasing our exposure to
the health care sector (9.54% of the portfolio as of June 30), adding stocks
such as Caremark RX (0.74%), a pharmacy-benefits manager, and Universal Health
Services (2.04%), an owner and operator of acute-care facilities. Both
companies, in our view, should benefit from a more favorable regulatory backdrop
going forward. Elsewhere of note, we maintained a modest weighting in the
oil-services area (7.57% on June 30). We added a small exposure to the
financial-services sector (1.33%), though we continue to monitor financial
companies for compelling buying opportunities.
OUTLOOK
The question now facing investors is whether small-cap stocks can indeed regain
their footing and mount a long-term rally. Notwithstanding the possibility that
these stocks will tread water or even decline over the near term, given ongoing
rate concerns. We have a favorable outlook on their long-term prospects. Our
optimism is based in part on the potential for the Fed to successfully engineer
a "soft landing," allowing for modest economic growth, low inflation and a
stabilization of interest rates. Historically, such an environment has supported
stocks of small, rapidly-growing companies, both in absolute terms and compared
to large-cap stocks' performance.
Another factor we feel that stands to benefit small-cap stocks is the ongoing
acquisition of small companies by larger ones. While such activity declined
somewhat during the second quarter, it remains well above levels seen a few
years ago, and we believe the trend will accelerate going forward as the
interest-rate picture comes more into focus. This stands to benefit stocks of
numerous innovative, niche-type small companies, targeted by large enterprises
seeking to effectively execute their business models.
Other grounds for optimism regarding small-cap stocks as an asset class include
the likelihood of a continued supportive tax backdrop. We expect that marginal
tax rates should remain relatively low, and could be headed lower, given
ballooning budget surpluses and the presence of rate reduction as a political
issue this year. All else being equal, this stands to encourage investment in
market segments that, while riskier over short periods, offer potentially
significant long-term growth of capital.
Buttressing the case for small-cap stocks is the group's valuations. In the wake
of recent turmoil, we feel that valuations on small caps vs. those on large caps
are even more compelling than they were at the start of the quarter. Combined
with the forces noted above, and provided inflation remains at bay and rates do
indeed stabilize, this stands to fuel a revival in investor enthusiasm for
small-cap stocks. That said, we believe that careful stock selection will remain
paramount, and our efforts will continue to be concentrated on identifying
stocks with the brightest prospects.
20
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
------- ------- ----------- ----------
<S> <C> <C> <C>
Anaren Microwave, Inc. ..................................... 60,100 $ 7,887,186 2.9%
Orbotech Limited............................................ 67,837 6,300,361 2.4%
Manugistics Group, Inc. .................................... 133,116 6,223,173 2.3%
Intranet Solutions, Inc. ................................... 153,628 5,895,475 2.2%
Gasonics International Corporation.......................... 149,410 5,892,357 2.2%
Universal Health Services, Inc. ............................ 88,877 5,865,882 2.2%
Dupont Photomasks, Inc. .................................... 82,423 5,645,976 2.1%
Documentum, Inc. ........................................... 61,082 5,459,204 2.0%
Oxford Health Plans......................................... 220,810 5,258,038 2.0%
SEACOR SMIT, Inc. .......................................... 129,700 5,017,769 1.9%
----------- ----
$59,445,421 22.2%
=========== ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 6.3%
Consumer Staples 1.1%
Financial 1.9%
Transportation 2.6%
Communication Services 4.1%
Consumer Cyclical 4.5%
Energy 9.0%
Health Care 16.8%
Technology 53.7%
</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>
One year 44.84%
Five year 15.33%
Since inception (May 3, 1993) 16.02%
</TABLE>
<TABLE>
<CAPTION>
SMALL COMPANY RUSSELL 2000
GROWTH PORTFOLIO CPI GROWTH INDEX
<S> <C> <C> <C>
5/3/93 $10,000 $10,000 $10,000
12/31/93 $11,733 $10,132 $12,234
12/31/94 $12,456 $10,416 $11,938
12/31/95 $16,449 $10,680 $15,641
12/31/96 $17,509 $11,033 $17,401
12/31/97 $18,867 $11,227 $19,654
12/31/98 $19,106 $11,408 $19,898
12/31/99 $27,824 $11,706 $28,474
6/30/00 $28,998 $11,949 $28,824
</TABLE>
On the chart above you can see how the Small Company Growth Portfolio's total
return compared to the Russell 2000 Growth Index and the Consumer Price Index.
The three lines represent the total return of a hypothetical $10,000 investment
made on the inception date of the Small Company Growth Portfolio (May 3, 1993)
through June 30, 2000.
*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.
Investing in small companies entails special risk considerations. These are
detailed in the Prospectus, which should be read carefully before investing.
21
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
KENT R. WEBER, CFA
PORTFOLIO MANAGER
The Maturing Government Bond 2002, 2006 and 2010 Portfolios seek as high of an
investment return as is consistent with prudent investment risk. The Portfolios
invest primarily in U.S. Government and Agencies zero coupon fixed income
securities with maturities near the 2002, 2006 and 2010 liquidation dates of
each Portfolio.
MATURING GOVERNMENT BOND 2002 PORTFOLIO
MATURING GOVERNMENT BOND 2006 PORTFOLIO
MATURING GOVERNMENT BOND 2010 PORTFOLIO
PERFORMANCE
For the six-month period ended June 30, 2000, the Maturing Government Bond
Portfolio generated the following returns:
<TABLE>
<S> <C>
Maturing Government Bond 2002 Portfolio*............... 3.06 percent
Maturing Government Bond 2006 Portfolio*............... 5.68 percent
Maturing Government Bond 2010 Portfolio*............... 8.16 percent
</TABLE>
For the six-month period ended June 30, 2000, 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**................. 4.40 percent
Ryan Lab's Inc. September 2006 Index**................. 6.56 percent
Ryan Lab's Inc. September 2010 Index**................. 9.97 percent
</TABLE>
PERFORMANCE ANALYSIS
Our investment activities continue to focus on tracking performance of the
respective indices. Over the long run, by selectively using Government Agency
securities in concert with U.S. Treasury securities, the Portfolios each
benefited from enhanced diversification and also from the receipt of additional
income (over that of U.S. Treasury securities).
As time passes, the duration of each portfolio continues to roll forward toward
its respective maturity. The effective duration of each portfolio is as follows:
<TABLE>
<S> <C>
Maturing Government Bond 2002 Portfolio................ 1.99 years
Maturing Government Bond 2006 Portfolio................ 5.95 years
Maturing Government Bond 2010 Portfolio................ 9.82 years
</TABLE>
OUTLOOK
The secular bull market in interest rates that has graced the capital markets
since the early 1980s, has most likely reached the mature phase in its cycle.
Going forward, we expect that returns will likely remain in the single digits.
More moderate returns should prevail as income, and not capital gains, drives
returns in the fixed income market.
22
<PAGE>
MATURING GOVERNMENT BOND 2002 PORTFOLIO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
FHLMC Strip 11.1%
U.S. Treasury Strip 43.3%
FICO Strip 18.2%
Israel GTC 4.4%
TVA Strip 11.1%
FNMA Strip 11.6%
Cash and Other Assets/Liabilities 0.3%
</TABLE>
MATURING GOVERNMENT BOND 2006 PORTFOLIO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury Strip 39.2%
FICO Strip 16.5%
Israel GTC 6.3%
Israel State Aid Strip 10.9%
RFC Strip 10.4%
FNMA Strip 15.8%
Cash and Other Assets/Liabilities 0.9%
</TABLE>
MATURING GOVERNMENT BOND 2010 PORTFOLIO
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
U.S. Treasury Strip 39.6%
FICO Strip 13.1%
Turkey GTC 5.3%
Israel State Aid 16.5%
Israel GTC 1.4%
RFC Strip 5.6%
FNMA Strip 17.6%
Cash and Other Assets/Liabilities 0.9%
</TABLE>
*Historical performance is not an indication of future performance. Investment
returns on principal values will fluctuate so that shares upon redemption may be
worth more or less than their original cost. Performance figures of the Fund do
not reflect charges pursuant to the terms of the variable life insurance
policies and variable annuity contracts funded by separate accounts that invest
in the Fund's shares. When such charges are deducted, actual investment
performance in a variable policy or contract will be lower.
**Ryan Labs, Inc. September 2002, 2006 and 2010 Index of U.S. Treasury Strips
consists of all active zero-coupon U.S. Treasury issues with maturities in
September 2002, 2006 and 2010, respectively.
23
<PAGE>
MATURING
GOVERNMENT
BOND PORTFOLIOS
COMPARISON OF CHANGE IN INVESTMENT VALUE*
A HYPOTHETICAL $10,000 INVESTMENT IN MATURING GOVERNMENT BOND 2002
PORTFOLIO, RYAN LABS, INC. SEPTEMBER 2002 INDEX OF TREASURY STRIPS
AND CONSUMER PRICE INDEX
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN:
<S> <C>
One year 4.04%
Five year 5.91%
Since inception (May 2, 1994) 7.43%
</TABLE>
<TABLE>
<CAPTION>
MATURING GOVERNMENT BOND RYAN LABS
2002 PORTFOLIO INDEX CPI
<S> <C> <C> <C>
5/02/1994 $10,000 $10,000 $10,000
12/31/1994 $10,028 $9,952 $10,190
12/31/1995 $12,537 $12,569 $10,447
12/31/1996 $12,754 $12,728 $10,793
12/31/1997 $13,838 $13,897 $10,983
12/31/1998 $15,168 $15,330 $11,160
12/31/1999 $15,095 $15,287 $11,451
6/30/2000 $15,549 $15,960 $11,689
</TABLE>
On the chart above you can see how the Maturing Government Bond 2002 Portfolio's
total return compared to the Ryan Labs, Inc. September 2002 Index of Treasury
Strips and the Consumer Price Index. The three lines represent the total return
of a hypothetical $10,000 investment made on the inception date of the Maturing
Government Bond 2002 Portfolio (May 2, 1994) through June 30, 2000.
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>
One year 3.99%
Five year 6.64%
Since inception (May 2,1994) 8.70%
</TABLE>
<TABLE>
<CAPTION>
MATURING GOVERNMENT
BOND 2006 PORTFOLIO RYAN LABS INDEX CPI
<S> <C> <C> <C>
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
6/30/00 $16,724 $17,141 $11,689
</TABLE>
On the chart above you can see how the Maturing Government Bond 2006 Portfolio's
total return compared to the Ryan Labs, Inc. September 2006 Index of Treasury
Strips and the Consumer Price Index. The three lines represent the total return
of a hypothetical $10,000 investment made on the inception date of the Maturing
Government Bond 2006 Portfolio (May 2, 1994) through June 30, 2000.
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>
One year 4.45%
Five year 7.41%
Since inception (May 2, 1994) 9.53%
</TABLE>
<TABLE>
<CAPTION>
MATURING GOVERNMENT RYAN LABS
BOND 2010 PORTFOLIO INDEX CPI
<S> <C> <C> <C>
5/2/94 $10,000 $10,000 $10,000
12/31/94 $9,970 $9,931 $10,190
12/31/95 $14,080 $14,313 $10,447
12/31/96 $13,599 $13,880 $10,793
12/31/97 $16,028 $16,251 $10,983
12/31/98 $18,317 $18,824 $11,160
12/31/99 $16,204 $16,687 $11,451
6/30/00 $17,443 $18,350 $11,689
</TABLE>
On the chart above you can see how the Maturing Government Bond 2010 Portfolio's
total return compared to the Ryan Labs, Inc. September 2010 Index of Treasury
Strips and the Consumer Price Index. The three lines represent the total return
of a hypothetical $10,000 investment made on the inception date of the Maturing
Government Bond 2010 Portfolio (May 2, 1994) through June 30, 2000.
25
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
MATTHEW T. NORRIS, CFA
PORTFOLIO MANAGER
The Value Stock Portfolio seeks long-term accumulation of capital. The Portfolio
invests primarily in equity securities of companies, which, in the opinion of
the Adviser, have market values, which appear low relative to their underlying
value or future growth potential.
VALUE STOCK PORTFOLIO
PERFORMANCE OVERVIEW
PERFORMANCE
The first half of 2000 left the Russell 1000 Value index** in negative territory
year-to-date. The Value Stock Portfolio was no exception, with a return of -5.89
percent* compared to the index return of -4.24 percent. While negative results
are disappointing, they are also an occasional fact of life in equity investing.
On the upside, we feel the Portfolio is superbly positioned to participate in
the next upward leg of the market.
PERFORMANCE ANALYSIS
On the surface, the stock market seemed relatively calm for the period, but
there was considerable action "under the waves". The Technology sector, which
rallied through February, slid in March and April, then stabilized and made a
small rebound by the end of June. Energy and Health Care were generally strong,
while telecommunication stocks were weak. The continued strength in oil prices
helped drillers and refiners while hurting industries that depend on fuel, such
as trucking and airlines. Interest rates nudged back down by the end of June,
after rising half-a-percent from April to May. All eyes are still on the Federal
Reserve Board to see if further rate increases are upcoming. We feel that we are
close to the end of rate increases. Many economic data points are starting to
show a slowdown.
The Portfolio's best performance came from Health Care, Energy and Utility. In
Health Care, our holdings of major pharmaceutical stocks performed nicely. The
overweight in Energy continues to serve the Portfolio well, as oil prices that
are anywhere over $25-a-barrel creates excess earnings for the industry.
Long-term holdings in the Utility area, including companies such as Enron, AES
Corporation and Exelon Energy (the combination of Peco and Unicom), performed
nicely. The Basic Materials sector was not a bright spot, as the Portfolio's
holdings performed in line with a sector that was down considerably. Financial
stocks were underweighted, which although volatile, proved to be a correct move.
Last quarter, we wrote about our dislike of the competitive position of regional
or smaller banks. The Portfolio has avoided those while searching hard for
alternative ideas. Two recent additions in this area were Capital One Financial,
a credit card company; and Nationwide Financial Services, which is strong in the
401(k) market. Both of these names have performed well.
In terms of relative performance, the Portfolio excelled in the Communications
area. This sector was one of the worst performing of the period, and the
Portfolio had an overweighted position in the sector. With all that against us,
superior stock selection led to the sector adding relative performance for the
time period. Holdings in SBC Communications, Western Wireless and US West (now
Qwest) did well, while the Portfolio sold AT&T just in time to avoid a plunge in
share price.
Two sectors that did not do well on a relative basis were Technology and
Consumer Staples. The overweight in Technology hurt as the Portfolio bought
technology names on the first price decline, only to see the decline go deeper
than we had expected. There are some excellent technology companies now selling
for what we feel are cheap prices. The Portfolio made those investments for the
long-term, and we plan to stick with them. The Consumer Staples sector was a
strong performer, and the Portfolio had a large position in Pepsico, which was
sold after it appreciated nearly 40 percent. Other than that, we held an
underweight in the sector, which hurt relative performance.
OUTLOOK
The Portfolio continues to hold overweights in Communications, Energy and
Technology sectors, where we find excellent companies selling at great prices.
The Portfolio is also still underweight in certain areas of the financial
sector. Although many of these company's stock prices are inexpensive, we feel
they correctly reflect weak fundamentals. An inexpensive stock does not make up
for a poor company. We feel these sector weightings, combined with quality
individual stock selection, will result in attractive performance.
26
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
------- ------- ----------- ----------
<S> <C> <C> <C>
Exxon Mobile Corporation.................................... 117,852 $ 9,251,381 5.8%
CitiGroup, Inc.............................................. 131,430 7,918,658 5.0%
GTE Corporation............................................. 86,070 5,357,857 3.3%
American International Group................................ 44,300 5,205,250 3.3%
SBC Communications, Inc..................................... 118,710 5,134,207 3.2%
Federal National Mortgage Association....................... 84,110 4,389,491 2.7%
Morgan Stanley Dean Witter & Company........................ 50,810 4,229,933 2.6%
Microsoft................................................... 48,500 3,880,000 2.4%
Bellsouth Corporation....................................... 80,950 3,450,494 2.2%
Capital One Financial Corporation........................... 74,900 3,342,412 2.1%
----------- ----
$52,159,683 32.6%
=========== ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 2.6%
Health Care 3.5%
Capital Goods 3.8%
Basic Materials 4.4%
Consumer Cyclical 4.5%
Utilities 4.6%
Consumer Staples 4.8%
Technology 12.3%
Energy 14.0%
Communication Services 17.8%
Financial 27.7%
</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>
One year -11.53%
Five year 11.94%
Since inception (May 2, 1994) 12.95%
</TABLE>
<TABLE>
<CAPTION>
RUSSELL 1000
VALUE STOCK PORTFOLIO CPI VALUE INDEX
<S> <C> <C> <C>
5/02/94 $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
6/30/00 21,187 11,689 27,603
</TABLE>
On the chart above you can see how the Value Stock Portfolio's total return
compared to the Russell 1000 Value Index and the Consumer Price Index. The three
lines represent the total return of a hypothetical $10,000 investment made on
the inception date of the Value Stock Portfolio (May 2, 1994) through June 30,
2000.
*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]
RUDOLPH K. KLUIBER, CFA
STATE STREET REASEARCH
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.
Investments in smaller company and micro-cap stocks generally carry a higher
level of volatility and risk over the short term. Refer to the Portfolio's
prospectus for specific information about risks associated with the investment,
as well as charges and expenses.
SMALL COMPANY VALUE PORTFOLIO
PERFORMANCE
The Small Company Value Portfolio returned 6.28 percent* for the six month
period ended June 30, 2000. This compares with the Portfolio's benchmark, The
Russell 2000 Value Index,** which returned 5.84 percent over the same period.
PERFORMANCE ANALYSIS
The first half of 2000 has seen modest stock market returns for large stocks
(+0.8 percent for the Russell 1000 Index), but somewhat better results for small
stocks (+3.0 percent for the Russell 2000 Index**). Among style sectors, small
capitalization value was the place to be during the first half, with the
Russell 2000 Value Index** returning a robust 5.85 percent. In fact, this was
the only style sector that provided positive returns in both the first and
second quarters. During the first half, small-cap investors experienced huge
swings in relative performance between growth and value stocks; in four of the
six months, the divergence was 10 percent or more. This is just one more sign of
the high levels of volatility seen throughout the stock market over the last 12
to 18 months. Within the small-cap value stocks, the economic sectors showing
the strongest performance were energy, technology, and healthcare. In the case
of technology, however, all of this performance came in the first quarter.
Stock selection, rather than economic sector selection, has driven the
Portfolio's performance for the first half of the year, especially in the second
quarter. However, sector selection does play a role in performance. Our
bottom-up search for attractive stocks has led us away from the technology
sector in recent months; in the second quarter, this proved to be a good sector
to avoid. Despite de-emphasizing the technology sector, our stock selections in
this area performed extremely well. Investments in consumer discretionary and
materials & processing also contributed positively to performance.
OUTLOOK
Small-capitalization stocks, particularly small-capitalization value stocks,
remain attractively valued.
The overall market environment remains quite volatile; something that has been
quite pronounced since the second half of 1999. We feel that this volatility is
likely to continue and only increases the critical need for investors to have
strong conviction in their portfolio holdings. This plays to our strengths; we
must have confidence in a firm, its management, and its outlook in order for its
stock to become a significant holding in the Portfolio.
The economy remains strong and we feel that the Federal Reserve seems to have
completed most of its current round of interest rate hikes. However, if the
Federal Reserve is indeed near the end of this current cycle of rising interest
rates, it is only because the economy is showing signs of slowing. This is a
double-edged sword for small-cap stocks, especially small-cap value stocks. Any
slacking in the pace of rising interest rates is helpful, but an environment of
slower economic growth can be difficult for many firms. This environment only
increases the importance of remaining true to our investment strategy: invest in
stocks with good valuations, quality management, and strong opportunities to
grow their businesses and provide strong returns to investors.
28
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
------- ------- ----------- ----------
<S> <C> <C> <C>
ACE Limited................................................. 18,258 $ 511,224 3.3%
Harrahs Entertainment, Inc. ................................ 24,000 502,500 3.2%
Coherent, Inc. ............................................. 5,600 469,700 3.0%
Borg-Warner Automotive, Inc. ............................... 13,000 456,625 2.9%
International Game Technology............................... 17,000 450,500 2.9%
Western Gas Resources, Inc. ................................ 21,000 441,000 2.8%
Anchor Gaming............................................... 8,500 407,469 2.6%
Hollinger International, Inc. .............................. 28,000 381,500 2.4%
Lilly Industries, Inc. ..................................... 11,406 342,893 2.2%
Stepan Company.............................................. 14,000 325,500 2.1%
---------- ----
$4,288,911 27.4%
========== ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 3.6%
Communication Services 0.5%
Utilities 1.0%
Transportation 1.9%
Health Care 2.2%
Consumer Staples 4.8%
Financial 8.9%
Energy 9.6%
Basic Materials 10.3%
Capital Goods 14.7%
Technology 14.7%
Consumer Cyclical 27.8%
</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>
One year 1.08%
Since inception -0.63%
(October 1, 1997)
</TABLE>
<TABLE>
<CAPTION>
SMALL COMPANY RUSSELL 2000
VALUE PORTFOLIO VALUE INDEX CPI
<S> <C> <C> <C>
10/01/1997 $10,000 $10,000 $10,000
12/31/1997 $10,229 $10,168 $10,019
12/31/1998 $9,539 $9,513 $10,179
12/31/1999 $9,246 $9,371 $10,446
6/30/2000 $9,827 $9,918 $10,662
</TABLE>
On the chart above you can see how the Small Company Value Portfolio's total
return compared to the Russell 2000 Value Index and the Consumer Price Index.
The three lines represent the total return of a hypothetical $10,000 investment
made on the inception date of the Small Company Value Portfolio (October 1,
1997) through June 30, 2000.
*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 R. 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.
Prior to May 1, 1998, this Portfolio was known as the International Bond
Portfolio. While Advantus Capital Management, Inc. acts as the investment
adviser for the Portfolio, Julius Baer Investment Management Inc. provides
investment advice to the Global Bond Portfolio under a subadvisory agreement.
Investment risks associated with international investing in addition to other
risks, include currency fluctuations, political and economic instability, and
differences in accounting standards when investing in foreign markets.
GLOBAL BOND PORTFOLIO
PERFORMANCE
The Global Bond Portfolio posted a total return of -1.48* percent for the
six-month period ended June 30, 2000. This compares to the Salomon Brothers
World Government Bond Index** return of 0.03 percent for the same period.
PERFORMANCE ANALYSIS
Growth around the world was generally stronger than expected early in the year,
especially in the U.S. and U.K. Because of this, Central Banks in the U.S.,
U.K., Canada, Sweden, Australia, New Zealand and the Euro-zone raised interest
rates. This pattern repeated itself in the second quarter of 2000. Inflation
remained at attractive levels, although higher oil and commodity prices began to
creep into inflation rates.
Global: Exposure to the dollar bloc markets of Canada, Australia and New Zealand
helped performance in the Portfolio, as did an underweight position in the U.K.
and Japan. Increasing duration in the early part of the year helped performance,
and switching to medium maturity positions in Europe later in the second quarter
also helped as the short end of the yield curve underperformed on the back of
higher short-term interest rates.
However, the strength of the U.S. dollar during the first six months of the year
pushed most markets into negative territory as measured in U.S. dollars.
Exposure to commodity currencies and an underweight yen position in the
Portfolio detracted from performance during the quarter. Credit and emerging
markets exposures were maintained, although at low historic levels.
U.S.: In the first half of the year in the U.S. fixed income market, short-term
interest rates were pushed higher as the Federal Reserve raised the Fed Funds
rate on three occasions for a total of 100 basis points (1 percent). Long-term
interest rates fell creating an inverted yield curve. The yield on the two year
U.S. Treasury note rose 12 basis points (0.12 percent) to 6.36 percent, while
the thirty year bond declined 58 basis points (0.58 percent) to yield 5.90
percent at June 30, 2000.
Within the fixed income universe, the government sector was the top performer as
Treasury and Agency securities returned 4.97 percent for the first six-months.
Mortgage-backed securities returned a respectable 3.67 percent while the
corporate credit sector lagged generating a 2.68 percent total return for the
quarter. Our portfolio strategy for the U.S. portion is to own mortgage backed
securities and corporate credit in shorter maturities and U.S. Treasury Bonds at
the long end of the yield curve.
OUTLOOK
Global: Bonds have experienced a good run, especially at the end of the second
quarter 2000, and we maintain our positive view over the medium term. U.S.
growth data has been softer, and we should see the end of the tightening cycle.
Although oil prices have risen recently, we do not see this as a serious
inflation threat. In Europe, firmer growth figures have us cautious about the
bond markets. However, strong support from the U.S. is expected and with
continued good news in terms of falling bond supply, yields are expected to
drift lower.
We feel that the outlook for the Euro remains positive on the back of its recent
strength against the US dollar and other major currencies. The yen appears mired
in a trading range, providing little in the way of value at present levels.
U.S.: With credit spreads near their historical wide levels, we expect that
corporate bonds and mortgage-backed securities offer attractive yields to fixed
income investors. The Portfolio will continue to be constructed to emphasize
yield through ownership of spread product in the short end of the yield curve
(less than seven years to maturity) and U.S. Treasury securities at the long end
of the yield curve (thirty years to maturity). We anticipate that interest rates
should continue to drift lower as the economy enters a more favorable part of
the cycle for fixed income investors. We feel that the positives for bonds
include: a slowdown in economic growth from an unsustainable rate, a leveling
off of the strong employment situation, the Federal Reserve closer to the end of
this Fed Fund rate hike cycle, a pull back in the equity markets, and a fiscal
surplus in the U.S. The largest concern for bonds is inflation. Higher wages or
commodity prices could keep upward pressure on interest rates but the Federal
Reserve stands ready to combat this to achieve their primary goal of price
stability.
30
<PAGE>
TEN LARGEST BOND HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF BOND
COMPANY VALUE PORTFOLIO
------- ----------- ---------
<S> <C> <C>
U.S. Treasury Note (U.S. Dollar)--6.625%, 05/31/02.......... $ 1,907,125 6.1%
Japan (Japanese Yen)--3.100%, 09/20/06...................... 1,764,055 5.7%
Japan (Japanese Yen)--1.000%, 04/20/04...................... 1,230,688 4.0%
Bundesrepublic (Euro)--4.750%, 07/04/28..................... 1,226,135 4.0%
Japan (Japanese Yen)--1.100%, 03/21/05...................... 1,161,286 3.7%
United States Treasury Department--0.000%, 11/15/04......... 1,140,209 3.7%
U.S. Treasury Note (U.S. Dollar)--5.250%, 02/15/29.......... 1,020,266 3.3%
United Mexican States (Japanese Yen)--3.000%, 12/01/03...... 967,255 3.1%
Hellenic Republic (Greek Drachma)--8.700%, 04/08/05......... 937,891 3.0%
U.S. Treasury Bond (U.S. Dollar)--6.125%, 08/15/29.......... 909,783 2.9%
----------- ----
$12,264,693 39.5%
=========== ====
</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>
One year -0.75%
Since inception (October 1, 1997) 2.00%
</TABLE>
<TABLE>
<CAPTION>
SALOMON BROTHERS
GLOBAL WORLD GOVERNMENT
BOND PORTFOLIO BOND INDEX CPI
<S> <C> <C> <C>
10/1/1997 $10,000 $10,000 $10,000
12/31/1997 $10,008 $10,021 $10,019
12/31/1998 $11,626 $11,555 $10,179
12/31/1999 $10,719 $11,061 $10,446
6/30/2000 $10,560 $11,064 $10,662
</TABLE>
On the chart above you can see how the Global Bond Portfolio's total return
compared to the Salomon Brothers World Government Bond Index and the Consumer
Price Index. The three lines represent the total return of a hypothetical
$10,000 investment made on the inception date of the Global Bond Portfolio
(October 1, 1997) through June 30, 2000.
*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 P. 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 8.16 percent* for
the six-month period ended June 30, 2000. This compares to the S&P 400 Mid-Cap
Index** return of 8.98 percent for the same period.
PERFORMANCE ANALYSIS
Five of the 11 sectors posted double-digit gains during the six-month period
ended June 30, 2000. The best returns came from Energy (46.6 percent), Health
Care (30 percent) and Utilities (19.7 percent) rounding out the top three.
Veritas Software, Siebel Systems, Altera Corporation, Linear Technology and
Sepracor Inc. provided the top five individual contributions. The Communication
Services sector performed the worst with a negative 19.2 percent return. Legato
Systems, Intuit, E*Trade Group, Checkfree Holdings and Broadwing led the
negative contributors for the first six-months of the year.
OUTLOOK
We anticipate that the equity market should do reasonably well over the next few
months, and volatility will continue. P/E ratios++ should go up as growth and
interest rates stabilize and inflation gradually goes down. Higher P/E ratios
indicate that we may be moving back to a more normal time when investors'
expectations ran in the single-digit returns.
We see no recession in sight. Our country's economic strength is too broad, and
there are very few weak spots. Ultimately, we expect that the economy will slow,
and the threat of higher inflation will subside; the Fed will prevail. We
believe the Fed has not finished tightening and anticipate at least one more
increase in interest rates before November. Whenever we have a change in
interest rate direction, volatility and uncertainty surface. We have witnessed
volatility in the capital markets throughout the first half of 2000, and we
believe this will continue through the remainder of the year.
32
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
------- ------- ----------- ----------
<S> <C> <C> <C>
Vitesse Semiconductor Corporation........................... 5,514 $ 405,624 1.5%
Univision Communications, Inc............................... 3,104 321,264 1.2%
Dynegy, Inc................................................. 4,639 316,902 1.2%
Millennium Pharmaceuticals, Inc............................. 2,719 304,188 1.2%
Jabil Circuit, Inc.......................................... 5,692 282,466 1.1%
Chiron Corporation.......................................... 5,531 262,723 1.0%
Forest Laboratores, Inc..................................... 2,577 260,277 1.0%
Stryker Corporation......................................... 5,884 257,425 1.0%
Calpine Corporation......................................... 3,896 256,162 1.0%
Rational Software Corporation............................... 2,702 251,117 1.0%
---------- ----
$2,918,148 11.2%
========== ====
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 10.3%
Transportation 1.1%
Communication Services 1.7%
Capital Goods 4.5%
Basic Materials 4.7%
Energy 6.4%
Consumer Staples 8.9%
Utilities 9.5%
Financial 9.6%
Health Care 11.0%
Consumer Cyclical 11.0%
Technology 21.3%
</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>
One year 16.20%
Since inception 14.88%
(October 1, 1997)
</TABLE>
<TABLE>
<CAPTION>
INDEX 400 S&P 400
MID-CAP MIDCAP CPI
<S> <C> <C> <C>
Portfolio Index
10/1/97 $10,000 $10,000 $10,000
12/31/97 $10,006 $10,083 $10,019
12/31/98 $11,675 $12,008 $10,179
12/31/99 $13,541 $13,775 $10,446
6/30/00 $14,646 $15,012 $10,662
</TABLE>
On the chart above you can see how the Index 400 Mid-Cap Portfolio's total
return compared to the S&P 400 MidCap Index and the Consumer Price Index. The
three lines represent the total return of a hypothetical $10,000 investment made
on the inception date of the Index 400 Mid-Cap Portfolio (October 1, 1997)
through June 30, 2000.
*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.
++P/E ratio is a stocks price divided by its earnings per share.
33
<PAGE>
PERFORMANCE UPDATE
[PHOTO]
[PHOTO]
HENRY D. CAVANNA
PORTFOLIO MANAGER
J.P. MORGAN INVESTMENT MANAGEMENT
JAMES RUSSO, CFA
PORTFOLIO MANAGER
J.P. MORGAN INVESTMENT MANAGEMENT
The Macro-Cap Value Portfolio seeks to provide high total return. It pursues
this objective by investing in equity securities that the sub-adviser believes,
through the use of dividend discount models, to be undervalued relative to their
long-term earnings power, creating a diversified portfolio of equity securities
which typically will have a price/earnings ratio and price to book ratio that
reflects a value orientation. While Advantus Capital Management, Inc. acts as
investment advisor for the Portfolio, J.P. Morgan Investment Management Inc.
provides investment advice to the Macro-Cap Value Portfolio under a subadvisory
agreement.
MACRO-CAP VALUE PORTFOLIO
PERFORMANCE
The total return for the Advantus Macro Cap-Value portfolio for the semi-annual
period ending June 30, 2000 was -1.56* percent versus the S&P 500 Index's**
return of -0.45 percent and the Lipper VA Growth and Income+ Average's return of
-1.13 percent.
PERFORMANCE ANALYSIS
The U.S. Equity market cycled erratically during the first six-months of the
year between growth stocks and value stocks based on the emerging economic data.
Weak data led to powerful rallies in technology and other growth stocks. Data
reflecting a strong economy caused a surge in lower priced value stocks. While
value stocks outperformed dramatically at the beginning of the period, growth
came back strong in June to lead the end of the second quarter (Russell 1000
Growth -2.7 percent vs. Russell 1000 Value -4.69 percent for the quarter ending
June 30, 2000). The market's reaction to the data flow is based entirely on the
impact the economy has on interest rates. The U.S. Federal Reserve raised rates
several times in the first half of the year and continues to monitor the
situation. Higher rates are just beginning to slow the economy which will start
to impact corporate earnings. Any disappointment in earnings at the company
level are being penalized heavily across all sectors. We believe that the second
quarter is evidence that the market is transitioning from the strong momentum
focus it had in 1999, to a more balanced environment.
The Fund's performance was positively impacted by stock selection during the
time period as good decisions within the hardware and semi-conductor sectors
added to the portfolio's performance. However, the industrial cyclical and
finance sectors were among the worst performers during the first half of the
year. The slowdown of the U.S. economy has led several companies to pre-announce
second quarter earnings below expectations, and has started to negatively impact
share prices, with the financial sector taking the worst hit, down 15 percent
for June. In Industrial cyclicals, ROHM & HAAS and HONEYWELL had second quarter
earnings disappointments, which negatively impacted the portfolio's overall
performance.
Overall, the pharmaceuticals and capital markets sectors moved ahead as
investors continued their rotation out of "new economy" stocks. As a
consequence, the software and services, telecommunications and technology
sectors fell. While the pharmaceuticals sector posted a positive return for the
six-month period, and capital markets also contributed to the overall
performance of the portfolio, holdings in such technology names as MICROSOFT
pulled down performance. The company was roiled with detailed announcements of
Judge Jackson's ruling against it in the lengthy anti-trust suit. Individual
security selection contributed to the portfolio's overall performance across the
first two quarters as overweight stocks such as INTEL posted positive total
returns for the six-months ending June 30, 2000.
OUTLOOK
Going forward, the strategy for the portfolio remains unchanged. We continue to
be fully invested and largely sector neutral. Until the U.S. boom subsides and
Fed tightening stops, we anticipate that liquidity will continue to be drained
from the financial system. Rising rates are expected to disproportionately
impact prices of more speculative equity shares. We saw hints of this change in
leadership toward the end of the first quarter, and expect further, albeit less
dramatic, confirmation of this shift as the year unfolds. We predict that the
Fed may tighten policy again in the second half of the year, but it appears that
the economy will continue to slow a little as evidenced by the cooling of the
overheated rate of late 1999 and early 2000.
34
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
------- ------- ----------- ----------
<S> <C> <C> <C>
Intel Corporation........................................... 8,600 $1,149,713 4.3%
Cisco Systems, Inc.......................................... 17,100 1,086,919 4.0%
Microsoft................................................... 13,300 1,064,000 4.0%
Tyco International Ltd...................................... 20,132 953,753 3.5%
Exxon Mobile Corporation.................................... 11,824 928,184 3.4%
Sun Microsystem, Inc........................................ 8,800 800,250 3.0%
General Electric Company.................................... 14,900 789,700 2.9%
Eli Lilly & Company......................................... 5,300 529,338 2.0%
AT&T Corporation--Liberty Media Group....................... 20,400 494,700 1.8%
Alza Corporation............................................ 8,300 490,738 1.8%
---------- ------
$8,287,295 30.7%
========== ======
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 1.5%
Transportation 1.2%
Utilities 2.4%
Basic Materials 5.0%
Energy 6.1%
Consumer Staples 7.1%
Communication Services 7.3%
Capital Goods 7.9%
Health Care 9.4%
Consumer Cyclical 9.3%
Financial 13.1%
Technology 29.7%
</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>
One year -4.43%
Since inception (October 15, 1997) 9.00%
</TABLE>
<TABLE>
<CAPTION>
MACRO-CAP
VALUE PORTFOLIO S&P 500 INDEX CPI
<S> <C> <C> <C>
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
6/30/00 $12,631 $15,934 $10,662
</TABLE>
On the chart above you can see how the Macro-Cap Value Portfolio's total return
compared to the S&P 500 Index (as adjusted for dividend reinvestment) and the
Consumer Price Index. The three lines represent the total return of a
hypothetical $10,000 investment made on the inception date of the Macro-Cap
Value Portfolio (October 15, 1997) through June 30, 2000 and on October 1, 1997
through June 30, 2000 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 overall U.S. stock market.
+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 JEFFERY, III,
KENNETH F. MCCAIN AND
DAVID A. BARATTA
WALL STREET ASSOCIATES
The Micro-Cap Growth Portfolio seeks long-term capital appreciation. It pursues
this objective by investing primarily in equity securities of smaller companies
which the sub-adviser believes are in an early stage or transitional point in
their development and have demonstrated or have the potential for above average
revenue growth. It will invest primarily in common stocks and stock equivalents
of micro-cap companies. While Advantus Capital Management, Inc. acts as
investment advisor for the Portfolio, Wall Street Associates provides investment
advice to the Micro-Cap Growth Portfolio under a subadvisory agreement.
MICRO-CAP GROWTH PORTFOLIO
PERFORMANCE
For the six month period ended June 30, 2000, the Micro-Cap Growth Portfolio
returned .59 percent.* The portfolio trailed both the Russell 2000 Index and the
Russell 2000 Growth Index,** which returned 2.47 percent and 1.23 percent,
respectively.
PERFORMANCE ANALYSIS
Fears of additional interest rate increases and valuation concerns caused
investors to take profits in April and May, putting downward pressure on smaller
capitalization growth stocks. Many of the sectors that drove performance in the
first quarter (particularly technology) suffered significant declines. In June,
inflation fears eased as inflation friendly economic data was released.
Small-cap growth stocks rebounded sharply, but could not make up the ground that
was lost in April and May.
During the second quarter investments in the health care sector, buoyed by the
strength of biotechnology companies and the recent completion of the map of the
human genome, produced the largest contribution to portfolio performance. Health
Care was the best performing sector for the benchmark and the portfolio had a
greater than market allocation to this group. Anesta Corporation and Titan
Pharmaceuticals, Inc. added substantially to the portfolio's return.
Investments in the Energy sector also produced strong results, driven by
increased demand for oil and gas and a tight supply for both. The portfolio was
significantly overweighted in energy stocks, which earned double-digit returns.
Cross Timbers Oil Company and Horizon Offshore, Inc. were particularly
rewarding.
By contrast, the portfolio's technology exposure reduced performance as the
sector posted negative double-digit returns. Consumer discretionary stocks were
also disappointing, although the portfolio was underweighted in this area
relative to the benchmark.
OUTLOOK
Our outlook for small-cap growth stocks is optimistic. We anticipate that
investments in the high growth sectors of the market will outperform over the
remainder of the year. As such, we have positioned the Portfolio to be fully
invested in those areas that we believe offer the greatest potential for growth.
We currently have a market weighting in the Technology sector, which we believe
will continue to rebound from the April/May correction. We have actively
overweighted the Health Care and Energy sectors, which we believe will
outperform over the remainder of the year. We have a lower than market exposure
to the consumer discretionary sector, reflecting our view that retail sales will
not be exceptionally strong in the coming months. However, we may increase our
exposure to this group if fundamentals improve.
36
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
% OF
MARKET STOCK
COMPANY SHARES VALUE PORTFOLIO
------- ------- ----------- ---------
<S> <C> <C> <C>
Titan Pharmaceuticals, Inc.................................. 43,200 $ 1,857,600 3.2%
Cubist Pharmaceuticals, Inc................................. 33,900 1,669,575 2.9%
Intermune Pharmaceuticals, Inc.............................. 33,500 1,383,969 2.4%
Cell Therapeutics, Inc...................................... 44,400 1,359,750 2.4%
American Superconductor Corporation......................... 25,300 1,220,725 2.1%
Evergreen Resources, Inc.................................... 40,400 1,196,850 2.1%
NS Group, Inc............................................... 56,500 1,182,969 2.1%
Patterson Energy, Inc....................................... 41,100 1,171,350 2.0%
UTI Energy Corporation...................................... 29,000 1,163,625 2.0%
Accrue Software, Inc........................................ 31,300 1,111,150 1.9%
----------- ------
$13,317,563 23.1%
=========== ======
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 8.5%
Basic Materials 1.9%
Communication Services 2.0%
Consumer Staples 2.2%
Consumer Cyclical 9.5%
Energy 11.3%
Health Care 23.3%
Technology 41.3%
</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>
One year 96.87%
Since inception (October 1, 1997) 38.81%
</TABLE>
<TABLE>
<CAPTION>
MICRO-CAP RUSSELL 2000
GROWTH PORTFOLIO GROWTH INDEX CPI
<S> <C> <C> <C>
10/01/1997 $10,000 $10,000 $10,000
12/31/1997 $8,680 $9,181 $10,019
12/31/1998 $9,846 $9,295 $10,179
12/31/1999 $24,494 $13,301 $10,446
6/30/2000 $24,638 $13,465 $10,662
</TABLE>
On the chart above you can see how the Micro-Cap Growth Portfolio's total return
compared to the Russell 2000 Growth Index and the Consumer Price Index. The
three lines represent the total return of a hypothetical $10,000 investment made
on the inception date of the Micro-Cap Growth Portfolio (October 1, 1997)
through June 30, 2000.
*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]
JOSEPH R. 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.
Investment risks associated with investing in the Real Estate Portfolio, in
addition to other risks, include rental income fluctuations, depreciation,
property tax value changes, and differences in real estate market value.
REAL ESTATE SECURITIES PORTFOLIO
PERFORMANCE
The Real Estate Securities Portfolio generated a total return of 13.12 percent*
for the six-month period ended June 30, 2000. This return reflects a change in
market sentiment for real estate companies due to the recognition of the
sector's solid real estate fundamentals, discounted valuations, and strong
current income available through real estate investment trusts, and the
continued strength in the economy. The Portfolio's performance compares to the
Wilshire Associates Real Estate Securities Index (WARESI),** the Portfolio's
benchmark index, which returned 15.21 percent for the same period.
PERFORMANCE ANALYSIS
Set in front of a background of tremendous volatility within the broader equity
markets, real estate securities fared well in the first half of 2000 as
investors searched for companies with more predictable cashflows and discounted
valuations as a "safe haven". As a group, real estate companies saw their
earnings growth increase, stopping a two-year decline in the growth rate. This
turn allowed multiples to expand for the sector. One of the factors driving the
rebound was that the real estate markets have tempered the urge to overbuild in
an economic expansion and the markets have generally remained in solid supply
and demand equilibrium. This balance has driven growth in rents for the
Portfolio of buildings within the real estate companies. Strong fundamentals and
discounted valuations within the sector provided fertile ground for strong
returns for the first half of 2000.
Sectors providing the best performance to the Portfolio were hotels
(c-corporations +40 percent and hotel REITs +22 percent) and industrial
companies (+21 percent). Due to a combination of the market recognizing the
strength in fundamentals and discounts in valuation, hotels have rebounded from
recent weak times. Industrial companies benefited from multiple expansion,
reflecting the strength of the rental growth of these companies. The Portfolio
was hurt by its investments in building materials companies, real estate service
companies, and the weak performance in the self-storage sector.
Best performing stocks were Manugistics Group--up 44 percent, Starwood Hotels &
Resorts Worldwide--40 percent and Meristar Hospitality--up 34 percent. The
selloff in real estate technology companies hurt the performance of the
Portfolio, however, our exposure to those names was limited in scope.
Additionally, event driven issues at JDN Realty (down 32 percent) and exposure
to interest rates at US Restaurants (down 32 percent) negatively impacted
results. We continue to be underweight in retail stocks due to our concern about
the consumer in a slowing economy. However, the retail stocks held in the
Portfolio in the first half of 2000 were up 20 percent versus the retail sector
for the index being up 9 percent. We continue to feel that our abilities in
selecting stocks will be rewarded in the market.
OUTLOOK
The sector's strong fundamentals remain in place, and are poised for continued
strength in the future. We will continue to monitor the economy, keeping an eye
on inflation and hoping the economy experiences a "soft landing." We expect that
the real estate markets should continue to show strength if the economy
continues to grow at a more moderate pace, and the pace of the new supply of
real estate continues its reduction.
Because we expect strong funds flow to the sector due to strong year-to-date
performance, we are increasing our exposure to the blue chip names in the group
to take advantage of the expected new capital entering the group. Additionally,
we are increasing our exposure to hotels as we expect to see higher revenues
being reported in this undervalued sector. Overall, we expect to see a more
steady return performance going forward. We do not see any further multiple
expansion beyond what has already occurred as the correction has taken its
course. However, market psychology may push multiples up a bit further.
Additionally, we feel that multiple contraction for these companies should not
occur as the market looks positively on the favorable supply/demand
characteristics and predictability of the cashflow. We anticipate that total
returns should more closely reflect the growth rates of these companies
(typically 6-8 percent) plus the dividend (typically 5-7 percent).
38
<PAGE>
TEN LARGEST STOCK HOLDINGS
<TABLE>
<CAPTION>
MARKET % OF STOCK
COMPANY SHARES VALUE PORTFOLIO
------- --------- ------------ ------------
<S> <C> <C> <C>
Starwood Hotels & Resorts Worldwide, Inc.................... 11,400 $ 368,362 5.5%
Apartment Investment and Management......................... 6,760 292,370 4.4%
Avalonbay Communities, Inc.................................. 6,650 277,637 4.1%
Amb Property Corporation.................................... 11,000 250,937 3.7%
Catellus Development Corporation............................ 14,400 216,000 3.2%
General Growth Properties, Inc.............................. 6,600 209,550 3.1%
Equity Office Properties Trust.............................. 6,900 190,181 2.8%
Prologis Trust.............................................. 8,900 189,681 2.8%
Arden Realty Group, Inc..................................... 8,000 188,000 2.8%
Highwoods Properties, Inc................................... 7,800 187,200 2.8%
----------- ------------
$ 2,369,918 35.2%
=========== ============
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Cash and Other Assets/Liabilities 4.3%
Technology 1.0%
Communication Services 1.2%
Capital Goods 2.0%
Consumer Cyclical 8.6%
Financial 82.9%
</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>
One year 2.20%
Since inception (May 1, 1998) -3.52%
</TABLE>
<TABLE>
<CAPTION>
REAL ESTATE WILSHIRE ASSOCIATES
SECURITIES PORTFOLIO REAL ESTATE SECURITIES INDEX CPI
<S> <C> <C> <C>
5/1/1998 $10,000 $10,000 $10,000
12/31/98 $8,510 $8,568 $10,098
12/31/1999 $8,179 $8,294 $10,362
6/30/00 $9,252 $9,556 $10,577
</TABLE>
On the chart above you can see how the Real Estate Securities Portfolio's total
return compared to the Wilshire Associates Real Estate Securities Index and the
Consumer Price Index. The three lines represent the total return of a
hypothetical $10,000 investment made on the inception date of the Real Estate
Securities Portfolio (May 1, 1998) through June 30, 2000.
*Historical performance is not an indication of future performance. Investment
returns on principal values will fluctuate so that shares upon redemption may be
worth more or less than their original cost. Performance figures of the Fund do
not reflect charges pursuant to the terms of the variable life insurance
policies and variable annuity contracts funded by separate accounts that invest
in the Fund's shares. When such charges are deducted, actual investment
performance in a variable policy or contract will be lower.
**The Wilshire Associates Real Estate Securities Index is a market
capitalization-weighted index of equity securities whose primary business is
equity ownership of commercial real estate (REITS).
39
<PAGE>
GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ -------------
<C> <S> <C>
COMMON STOCK (97.6%)
BASIC MATERIALS (.5%)
Chemicals (.5%)
54,700 Pharmacia Corporation............................ $ 2,827,306
------------
CAPITAL GOODS (8.9%)
Electrical Equipment (6.0%)
640,200 General Electric Company......................... 33,930,600
45,800 Solectron Corporation (b)........................ 1,917,875
------------
35,848,475
------------
Manufacturing (1.8%)
224,184 Tyco International, Ltd. (c)..................... 10,620,717
------------
Office Equipment (1.1%)
101,500 Lexmark International Group, Inc. (b)............ 6,825,875
------------
COMMUNICATION SERVICES (4.0%)
Cellular (.5%)
51,700 Western Wireless Corporation..................... 2,817,650
------------
Telecommunication (3.0%)
54,500 Alcatel (c)...................................... 3,624,250
162,387 MCI Worldcom, Inc. (b)........................... 7,449,504
73,800 Qualcomm, Inc. (b)............................... 4,428,000
52,200 Sprint Corporation............................... 2,662,200
------------
18,163,954
------------
Telephone (.5%)
70,600 Nextlink Communications, Inc. (b)................ 2,678,387
------------
CONSUMER CYCLICAL (6.9%)
Retail (4.3%)
168,500 Family Dollar Stores............................. 3,296,281
195,950 Home Depot, Inc.................................. 9,785,253
57,900 Kohls Corporation (b)............................ 3,220,687
164,600 Wal-Mart Stores, Inc............................. 9,485,075
------------
25,787,296
------------
Service (2.6%)
153,600 Omnicom Group.................................... 13,680,000
25,700 TMP Worldwide, Inc. (b).......................... 1,896,981
------------
15,576,981
------------
CONSUMER STAPLES (4.7%)
Entertainment (1.4%)
111,100 Time Warner, Inc................................. 8,443,600
------------
Retail (1.9%)
255,900 Safeway, Inc. (b)................................ 11,547,487
------------
Service (1.4%)
159,900 Automatic Data Processing, Inc................... 8,564,644
------------
ENERGY (3.0%)
Oil (.3%)
46,100 Diamond Offshore Drilling, Inc................... 1,619,262
------------
<CAPTION>
MARKET
SHARES VALUE(A)
------ -------------
<C> <S> <C>
ENERGY--CONTINUED
Oil & Gas (2.7%)
210,300 Baker Hughes, Inc................................ $ 6,729,600
92,100 Nabors Industries, Inc. (b)...................... 3,827,906
76,700 Schlumberger, Ltd................................ 5,723,737
------------
16,281,243
------------
FINANCIAL (1.0%)
Investment Bankers/Brokers (1.0%)
183,600 The Charles Schwab Corporation................... 6,173,550
------------
HEALTH CARE (17.1%)
Biotechnology (4.7%)
91,400 Amgen, Inc. (b).................................. 6,420,850
106,300 PE Corporation--PE Biosystems Group.............. 7,002,513
60,200 Genentech, Inc. (b).............................. 10,354,400
10,100 Human Genome Sciences, Inc. (b).................. 1,347,087
29,200 Immunex Corporation (b).......................... 1,443,575
11,400 Millennium Pharmaceuticals, Inc. (b)............. 1,275,375
------------
27,843,800
------------
Drugs (10.0%)
65,400 Bristol-Myers Squibb Company..................... 3,809,550
93,900 Eli Lilly & Company.............................. 9,378,262
113,700 Merck & Company, Inc............................. 8,712,263
712,125 Pfizer, Inc...................................... 34,182,000
79,000 Schering Plough Corporation...................... 3,989,500
------------
60,071,575
------------
Medical Products/Supplies (2.4%)
166,600 Guidant Corporation (b).......................... 8,246,700
128,500 Medtronic, Inc................................... 6,400,906
------------
14,647,606
------------
TECHNOLOGY (50.5%)
275,900 America Online, Inc. (b)......................... 14,553,725
41,700 Applied Materials, Inc. (b)...................... 3,779,063
65,600 BEA Systems, Inc. (b)............................ 3,243,100
540,500 Cisco Systems, Inc. (b).......................... 34,355,531
111,600 Comverse Technology, Inc. (b).................... 10,378,800
416,300 Dell Computer Corporation (b).................... 20,528,794
46,600 eBay, Inc........................................ 2,530,963
213,900 EMC Corporation (b).............................. 16,456,931
40,200 Exodus Communications (b)........................ 1,851,713
53,800 Flextronics International, Ltd. (b)(c)........... 3,695,388
134,900 Gateway, Inc. (b)................................ 7,655,575
25,800 Gemstar International Group Limited (b).......... 1,585,491
251,700 Intel Corporation................................ 33,649,144
57,300 International Business Machines Corporation...... 6,277,931
79,400 JDS Uniphase Corporation (b)..................... 9,518,075
24,600 Juniper Networks, Inc. (b)....................... 3,580,838
</TABLE>
See accompanying notes to investments in securities.
40
<PAGE>
GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ -------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
275,400 Lam Research Corporation (b)..................... $ 10,327,500
183,200 Lucent Technologies, Inc......................... 10,854,600
32,700 Manugistics Group, Inc. (b)...................... 1,528,725
120,700 McLeodUSA, Inc. (b).............................. 2,496,981
246,000 Microsoft (b).................................... 19,680,000
248,100 Nokia Oyj (c).................................... 12,389,494
38,900 Nortel Networks Corporation (c).................. 2,654,925
171,300 Oracle Systems (b)............................... 14,399,906
28,000 Redback Networks, Inc. (b)....................... 4,984,000
9,700 RF Micro Devices, Inc. (b)....................... 849,963
146,700 Sun Microsystem, Inc. (b)........................ 13,340,531
25,800 Sycamore Networks, Inc. (b)...................... 2,847,675
<CAPTION>
MARKET
SHARES VALUE(A)
------ -------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
252,500 Texas Instruments, Inc........................... $ 17,343,594
33,345 Verisign, Inc. (b)............................... 5,885,393
34,675 Veritas DGC, Inc. (b)............................ 3,918,817
32,700 Xilinx, Inc. (b)................................. 2,699,794
21,700 Yahoo!, Inc. (b)................................. 2,688,088
------------
302,531,048
------------
UTILITIES (1.0%)
Electric Companies (1.0%)
124,400 AES Corporation (b).............................. 5,675,750
------------
Total common stock (cost: $370,801,250).................... 584,546,206
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (3.9%)
$23,206,769 Provident Institutional Funds--TempFund 23,206,769
Portfolio, current rate 6.460%..............
-------------
Total short-term securities (cost:
$23,206,769)................................ 23,206,769
-------------
Total investments in securities (cost:
$394,008,020)(d)............................ $ 607,752,975
=============
</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 June 30,
2000.
(d) At June 30, 2000 the cost of securities for federal income tax purposes was
$401,038,143. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation....................... $ 227,409,881
Gross unrealized depreciation....................... (20,695,049)
-------------
Net unrealized appreciation......................... $ 206,714,832
=============
</TABLE>
41
<PAGE>
BOND PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
--------- --------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (91.2%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (47.3%)
Federal Home Loan Mortgage Corporation (FHLMC) (.2%)
$ 291,924 ................................................. 6.500% 12/01/23 $ 275,889
-------------
Federal National Mortgage Association (FNMA) (8.1%)
2,000,000 ................................................. 6.000% 05/15/08 1,861,462
925,487 ................................................. 6.000% 09/01/28 848,254
7,500,000 ................................................. 6.500% 08/15/04 7,354,545
467,465 ................................................. 6.500% 10/01/28 441,977
3,000,000 ................................................. 7.000% 03/15/10 2,974,725
650,939 ................................................. 7.000% 06/01/29 628,674
-------------
14,109,637
-------------
Government National Mortgage Association (GNMA) (2.5%)
506,846 ................................................. 7.000% 11/15/23 494,850
316,374 ................................................. 7.000% 10/15/25 308,637
405,602 ................................................. 7.000% 03/15/26 395,117
387,120 ................................................. 7.000% 05/15/26 377,112
440,720 ................................................. 7.500% 06/15/28 438,076
1,323,989 ................................................. 7.500% 10/15/28 1,316,045
495,644 ................................................. 7.500% 08/15/29 492,470
204,868 ................................................. 8.000% 09/15/24 207,854
126,966 ................................................. 8.500% 10/15/22 130,519
111,788 ................................................. 8.500% 12/15/22 114,916
-------------
4,275,596
-------------
Other U.S. Government Agencies (4.5%)
5,500,000 Government of Canada (b)......................... 6.375% 11/30/04 5,364,573
2,500,000 Ontario Province of Canada (b)................... 7.625% 06/22/04 2,528,505
-------------
7,893,078
-------------
U.S. Treasury (32.0%)
21,000,000 Bond............................................. 5.250% 02/15/29 18,630,948
1,000,000 Bond............................................. 5.625% 02/15/06 969,688
5,500,000 Bond............................................. 5.875% 11/15/05 5,405,471
2,500,000 Bond............................................. 6.000% 02/15/26 2,443,750
2,600,000 Bond............................................. 6.125% 08/15/29 2,627,625
1,500,000 Bond............................................. 6.250% 05/15/30 1,574,532
2,500,000 Note............................................. 5.250% 08/15/03 2,424,220
16,000,000 Note............................................. 6.625% 05/31/02 16,060,000
7,750,000 Strip (d)........................................ 6.690% 11/15/04 5,891,077
-------------
56,027,311
-------------
Total U.S. government and agencies obligations
(cost: $74,312,139)................................................ 82,581,511
-------------
CORPORATE OBLIGATIONS (43.9%)
BASIC MATERIALS (3.8%)
Chemicals (3.8%)
4,000,000 IMC Global, Inc.................................. 6.625% 10/15/01 3,933,752
2,784,272 Novartis AG 144A Issue (c)....................... 7.240% 01/02/16 2,717,171
-------------
6,650,923
-------------
CAPITAL GOODS (6.3%)
Aerospace/Defense (3.6%)
2,500,000 BF Goodrich Company.............................. 6.600% 05/15/09 2,271,077
4,000,000 BF Goodrich Company.............................. 9.625% 07/01/01 4,079,468
-------------
6,350,545
-------------
</TABLE>
See accompanying notes to investments in securities.
42
<PAGE>
BOND PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
--------- --------------
<C> <S> <C> <C> <C>
CORPORATE OBLIGATIONS--CONTINUED
Containers--Metal/Glass (2.7%)
$ 5,000,000 Crown Cork & Seal Company, Inc................... 7.125% 09/01/02 $ 4,774,045
-------------
COMMUNICATION SERVICES (2.4%)
Telephone (2.4%)
4,000,000 GTE Corporation.................................. 9.100% 06/01/03 4,153,964
-------------
CONSUMER CYCLICAL (2.9%)
Auto (.9%)
2,000,000 Federal Mogul Corporation........................ 7.500% 07/01/04 1,546,444
-------------
Hardware and Tools (2.0%)
3,750,000 The Stanley Works................................ 5.750% 03/01/04 3,563,085
-------------
CONSUMER STAPLES (4.6%)
Broadcasting (.7%)
1,500,000 British Sky Broadcasting (b)..................... 6.875% 02/23/09 1,294,555
-------------
Entertainment (2.2%)
3,500,000 Time Warner, Inc................................. 9.125% 01/15/13 3,798,375
-------------
Household Products (1.7%)
3,000,000 Procter & Gamble Company......................... 6.600% 12/15/04 2,947,863
-------------
ENERGY (4.0%)
Oil (2.3%)
4,150,000 Conoco, Inc...................................... 5.900% 04/15/04 3,953,253
-------------
Oil & Gas (1.7%)
3,100,000 Valero Energy Corporation........................ 7.375% 03/15/06 2,992,889
-------------
FINANCIAL (10.9%)
Asset-Backed Securities (.7%)
1,350,000 First Marble Head................................ 7.240% 09/20/14 1,248,318
-------------
Auto Finance (3.0%)
4,250,000 Ford Motor Credit Corporation.................... 7.500% 03/15/05 4,226,718
1,000,000 General Motors Acceptance Corporation............ 7.625% 06/15/04 1,000,487
-------------
5,227,205
-------------
Banks (1.7%)
3,400,000 St. George Bank Capital Note 144A 3,039,328
Issue (b)(c).................................... 8.485% 12/31/49
-------------
Collateralized Mortgage Obligations/Mortgage Revenue Bonds (1.6%)
1,200,000 CSFB Finance Company 144A Issue (c).............. 10.000% 11/15/05 1,038,000
1,480,739 Prudential Home Mortgage Securities.............. 6.050% 04/25/24 1,356,224
388,000 Wyoming Community Development.................... 6.850% 06/01/10 376,694
-------------
2,770,918
-------------
Investment Bankers/Brokers (2.6%)
3,000,000 Morgan Stanley Dean Witter & Company............. 6.875% 03/01/07 2,827,404
1,750,000 Morgan Stanley Dean Witter & Company............. 7.750% 06/15/05 1,759,125
-------------
4,586,529
-------------
Real Estate Investment Trust (.5%)
1,000,000 Archstone Community Trust........................ 7.500% 02/15/14 922,608
-------------
Savings and Loans (.8%)
1,500,000 Bank United Corporation.......................... 8.875% 05/01/07 1,340,828
-------------
TECHNOLOGY (1.7%)
3,200,000 Computer Associates International, Inc........... 6.375% 04/15/05 2,996,694
-------------
</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
UTILITIES (7.3%)
Electric Companies (4.7%)
$ 4,000,000 Edison International............................. 6.875% 09/15/04 $ 3,886,044
4,250,000 Georgia Power Company............................ 5.500% 12/01/05 3,875,006
500,000 Hydro-Quebec (b)................................. 8.000% 02/01/13 516,908
-------------
8,277,958
-------------
Natural Gas (2.6%)
5,000,000 Enron Corporation................................ 6.725% 11/17/08 4,607,225
-------------
Total corporate obligations (cost: $87,737,151)..................... 77,043,552
-------------
Total long-term debt securities (cost: $162,049,290)................ 159,625,063
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<C> <S> <C>
PREFERRED STOCK (4.2%)
FINANCIAL (4.2%)
Finance--Diversified (1.2%)
35,000 Nationwide Health Properties, Inc. 7.68%............................ 2,091,250
--------------
Real Estate Investment Trust (3.0%)
70,000 Duke Realty Investments, Inc. 7.99%................................. 2,802,191
60,000 Prologis Trust 8.54%................................................ 2,557,500
--------------
5,359,691
--------------
Total preferred stock (cost: $9,955,725)............................ 7,450,941
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (2.9%)
$ 5,103,518 Provident Institutional Funds--TempFund Portfolio, current rate 5,103,518
6.460%...........................................................
--------------
Total short-term securities (cost: $5,103,517).................... 5,103,518
--------------
Total investments in securities (cost: $177,108,532) (e).......... $ 172,179,522
==============
</TABLE>
Notes to Investments in Securities
-----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) The Fund held 7.3% of net assets in foreign securities as of June 30, 2000.
(c) Represents ownership in an illiquid security. (See note 7 to the financial
statements.) Information concerning the illiquid securities held at
June 30, 2000, which includes acquistion date and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISTION
SECURITY DATE COST
-------- ---------- --------------
<S> <C> <C>
CSFB Finance Company 144A Issue................................... 5/15/96 $ 1,176,869
Novartis AG 144A Issue............................................ 12/24/96 2,784,272
St. George Bank Capital Note 144A Issue........................... 6/12/97 3,401,227
-------------
$ 7,362,368
=============
*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) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(e) At June 30, 2000 the cost of securities for federal income tax purposes was
$178,398,132. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.............................................. $ 960,486
Gross unrealized depreciation.............................................. (7,179,096)
--------------
Net unrealized depreciation................................................ $ (6,218,610)
==============
</TABLE>
44
<PAGE>
MONEY MARKET PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
--------- ------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (96.0%)
BASIC MATERIALS (13.0%)
Agriculture Products (5.1%)
$1,355,000 Archer-Daniels-Midland Company................... 6.258% 07/11/00 $ 1,352,681
6,015,000 Archer-Daniels-Midland Company................... 6.647% 08/02/00 5,980,152
------------
7,332,833
------------
Chemicals (4.9%)
1,000,000 E.I. Dupont De Nemours & Company................. 6.514% 07/07/00 998,930
1,035,000 E.I. Dupont De Nemours & Company................. 5.959% 08/16/00 1,027,284
2,000,000 E.I. Dupont De Nemours & Company................. 6.031% 09/28/00 1,971,013
3,125,000 E.I. DuPont De Nemours & Company................. 5.793% 08/28/00 3,096,496
------------
7,093,723
------------
Paper and Forest (3.0%)
1,250,000 International Paper Company...................... 6.875% 07/10/00 1,250,071
3,030,000 Kimberly-Clark Corporation (c)................... 6.696% 08/22/00 3,001,368
------------
4,251,439
------------
COMMUNICATION SERVICES (7.0%)
Telephone (7.0%)
4,000,000 AT&T Corporation................................. 6.838% 08/31/00 3,954,805
3,225,000 AT&T Corporation................................. 6.875% 09/05/00 3,185,403
3,000,000 Bellsouth Telecommunications, Inc................ 6.642% 07/07/00 2,996,728
------------
10,136,936
------------
CONSUMER CYCLICAL (7.8%)
Hardware and Tools (1.7%)
2,525,000 The Stanley Works................................ 6.561% 07/05/00 2,523,186
------------
Publishing (3.7%)
3,500,000 McGraw-Hill Companies, Inc....................... 6.302% 07/18/00 3,489,756
1,800,000 McGraw-Hill Companies, Inc....................... 6.703% 08/23/00 1,782,648
------------
5,272,404
------------
Retail (2.4%)
3,535,000 Wal-Mart Stores, Inc. (c)........................ 6.681% 07/13/00 3,527,253
------------
CONSUMER STAPLES (9.3%)
Beverage (4.8%)
3,415,000 The Coca-Cola Company............................ 6.703% 07/25/00 3,400,014
3,535,000 The Coca-Cola Company............................ 6.672% 08/18/00 3,504,255
------------
6,904,269
------------
Entertainment (1.9%)
2,775,000 Walt Disney Company.............................. 6.251% 10/13/00 2,726,443
------------
Food (2.6%)
3,772,000 H.J. Heinz Company............................... 6.675% 08/01/00 3,750,738
------------
DEBENTURE (1.4%)
Household Products (1.4%)
2,000,000 Premark International, Inc....................... 10.500% 09/15/00 2,016,304
------------
FINANCIAL (21.4%)
Auto Finance (7.0%)
2,500,000 Ford Motor Credit Corporation.................... 6.694% 08/04/00 2,484,509
7,810,000 General Motors Acceptance Corporation............ 6.142% 10/17/00 7,670,591
------------
10,155,100
------------
</TABLE>
See accompanying notes to investments in securities.
45
<PAGE>
MONEY MARKET PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
--------- ------------
<C> <S> <C> <C> <C>
FINANCIAL--CONTINUED
Commercial Finance (5.5%)
$3,025,000 Bell Atlantic Network Funding Corporation........ 6.672% 07/25/00 $ 3,011,788
4,885,000 G.E. Capital Corporation......................... 5.997% 07/19/00 4,870,596
------------
7,882,384
------------
Consumer Finance (8.9%)
6,080,000 American General Finance Corporation............. 6.682% 07/20/00 6,058,925
1,295,000 Ciesco Limited Partnership....................... 6.661% 07/05/00 1,294,055
5,500,000 Ciesco Limited Partnership....................... 6.853% 07/07/00 5,493,811
------------
12,846,791
------------
HEALTH CARE (9.4%)
Drugs (4.2%)
1,000,000 Schering Plough Corporation...................... 6.573% 08/01/00 994,448
3,210,000 Schering Plough Corporation...................... 6.782% 09/19/00 3,162,983
2,000,000 Schering Plough Corporation...................... 7.023% 11/14/00 1,948,998
------------
6,106,429
------------
Health Care--Diversified (5.2%)
7,600,000 Johnson & Johnson (c)............................ 6.687% 08/01/00 7,557,082
------------
TECHNOLOGY (2.7%)
Technology (2.7%)
4,015,000 Motorola, Inc.................................... 6.827% 09/18/00 3,956,539
------------
UTILITIES (24.0%)
Electric Companies (13.8%)
4,300,000 Alabama Power Company............................ 6.650% 07/11/00 4,292,180
3,000,000 Alabama Power Company............................ 6.588% 07/24/00 2,987,465
4,010,000 Baltimore Gas & Electric......................... 6.760% 07/13/00 4,001,108
2,100,000 Florida Power Corporation........................ 6.659% 07/17/00 2,093,888
3,050,000 Florida Power Corporation........................ 6.583% 07/28/00 3,035,063
3,500,000 Potomac Electric Power Company................... 6.714% 08/01/00 3,480,154
------------
19,889,858
------------
Natural Gas (4.9%)
7,080,000 Laclede Gas Company.............................. 6.749% 08/24/00 7,010,005
------------
Power Products--Industrial (5.3%)
3,600,000 Midamerican Energy Company....................... 6.761% 07/11/00 3,593,344
4,000,000 Midamerican Energy Company....................... 6.643% 07/12/00 3,992,008
------------
7,585,352
------------
Total commercial paper (cost: $138,525,068)......................... 138,525,068
------------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
MONEY MARKET FUND (3.9%)
5,609,368 Provident Institutional Funds--TempFund Portfolio, current rate 5,609,368
6.460%.............................................................
------------
Total short-term securities (cost: $5,609,368)...................... 5,609,368
------------
Total investments in securities (cost: $144,134,436) (b)............ $144,134,436
============
</TABLE>
Notes to Investments in Securities
-----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Also represents the cost of securities for federal income tax purposes at
June 30, 2000.
(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.
46
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ ------------
<C> <S> <C>
COMMON STOCK (71.1%)
BASIC MATERIALS (.3%)
Chemicals (.3%)
48,600 Pharmacia Corporation............................ $ 2,512,012
------------
CAPITAL GOODS (4.5%)
Electrical Equipment (2.3%)
301,656 General Electric Company......................... 15,987,768
40,500 Solectron Corporation (b)........................ 1,695,937
------------
17,683,705
------------
Manufacturing (1.4%)
28,400 St. Joe Company.................................. 852,000
202,696 Tyco International Limited (c)................... 9,602,723
------------
10,454,723
------------
Office Equipment (.8%)
90,100 Lexmark International Group, Inc. (b)............ 6,059,225
------------
COMMUNICATION SERVICES (2.9%)
Cellular (.3%)
45,700 Western Wireless Corporation (b)................. 2,490,650
------------
Telecommunication (2.3%)
48,400 Alcatel (c)...................................... 3,218,600
36,200 Exodus Communications (b)........................ 1,667,462
144,255 MCI Worldcom, Inc. (b)........................... 6,617,698
65,300 Qualcomm, Inc. (b)............................... 3,918,000
41,400 Sprint Corporation............................... 2,111,400
------------
17,533,160
------------
Telephone (.3%)
59,800 Nextlink Communications, Inc. (b)................ 2,268,662
------------
CONSUMER CYCLICAL (6.4%)
Building Materials (.1%)
6,800 DR Horton, Inc................................... 92,225
3,100 Pulte Corporation................................ 67,037
9,000 Toll Brothers, Inc............................... 184,500
------------
343,762
------------
Lodging--Hotel (.5%)
11,100 Extended Stay America, Inc. (b).................. 102,675
41,900 Hilton Hotels.................................... 392,812
55,500 Host Marriott Corporation........................ 520,312
76,400 Starwood Hotels & Resorts Worldwide, Inc......... 2,468,675
------------
3,484,474
------------
Retail (3.6%)
148,200 Family Dollar Stores............................. 2,899,162
174,550 Home Depot, Inc.................................. 8,716,591
52,600 Kohls Corporation (b)............................ 2,925,875
24,900 Redback Networks, Inc. (b)....................... 4,432,200
140,300 Wal-Mart Stores, Inc............................. 8,084,787
------------
27,058,615
------------
<CAPTION>
MARKET
SHARES VALUE(A)
------ ------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Service (1.9%)
144,608 Omnicom Group.................................... $ 12,879,150
22,500 TMP Worldwide, Inc. (b).......................... 1,660,781
------------
14,539,931
------------
CONSUMER STAPLES (3.4%)
Entertainment (1.0%)
96,300 Time Warner, Inc................................. 7,318,800
------------
Retail (1.4%)
239,384 Safeway, Inc. (b)................................ 10,802,203
------------
Service (1.0%)
141,300 Automatic Data Processing, Inc................... 7,568,381
------------
ENERGY (2.6%)
Oil (.2%)
40,200 Diamond Offshore Drilling, Inc................... 1,412,025
------------
Oil & Gas (2.4%)
192,100 Baker Hughes, Inc................................ 6,147,200
83,500 Nabors Industries, Inc. (b)...................... 3,470,469
67,200 Schlumberger Limited............................. 5,014,800
30,725 Veritas DGC, Inc. (b)............................ 3,472,405
------------
18,104,874
------------
FINANCIAL (5.5%)
Investment Bankers/Brokers (.7%)
2,088 Frontline Capital Group (b)...................... 44,500
166,050 The Charles Schwab Corporation................... 5,583,431
------------
5,627,931
------------
Real Estate (.2%)
87,000 Catellus Development Corporation (b)............. 1,305,000
11,600 Newhall Land & Farming Company................... 307,400
------------
1,612,400
------------
Real Estate Investment Trust (4.6%)
65,000 AMB Property Corporation......................... 1,482,812
44,600 Apartment Investment & Management Company........ 1,928,950
32,800 Archstone Communities Trust...................... 690,850
47,500 Arden Realty, Inc................................ 1,116,250
40,300 Avalonbay Communities, Inc....................... 1,682,525
13,200 Boston Properties, Inc........................... 509,850
18,500 Camden Property Trust............................ 543,438
46,200 Carramerica Realty Corporation................... 1,224,300
35,500 CBL & Associates Properties, Inc................. 885,281
28,300 Developers Diversified Realty Corporation........ 422,731
17,700 Duke Realty LP................................... 396,038
41,300 Equity Office Properties Trust................... 1,138,331
20,100 Equity Residential Properties Trust.............. 924,600
8,000 Essex Property Trust, Inc........................ 336,000
19,700 Felcor Suite Hotels, Inc......................... 364,450
</TABLE>
See accompanying notes to investments in securities.
47
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ ------------
<C> <S> <C>
FINANCIAL--CONTINUED
48,100 Franchise Finance Corporation of America......... $ 1,106,300
38,300 General Growth Properties, Inc................... 1,216,025
26,800 Golf Trust Of America, Inc....................... 425,450
47,000 Highwoods Properties, Inc........................ 1,128,000
7,700 Home Properties New York, Inc.................... 231,000
69,200 Innkeepers USA Trust............................. 631,450
5,900 Istar Financial, Inc............................. 123,531
28,600 Kilroy Realty Corporation........................ 741,813
24,100 Kimco Realty Corporation......................... 988,100
57,620 Koger Equity, Inc................................ 972,338
6,200 Lennar Corporation............................... 125,550
41,500 Liberty Property Trust........................... 1,076,406
14,300 Macerich Company................................. 315,494
18,500 Mack-Cali Realty Corporation..................... 475,219
18,700 Meristar Hospitality Corporation................. 392,700
24,300 Mills Corporation................................ 457,144
42,900 Pacific Gulf Properties, Inc..................... 1,075,181
34,800 Pan Pacific Retail Properties, Inc............... 700,350
29,300 Parkway Properties, Inc.......................... 893,650
49,800 Philips International Realty Corporation......... 865,275
8,800 Post Properties, Inc............................. 387,200
53,800 Prologis Trust................................... 1,146,613
38,364 Public Storage, Inc.............................. 899,156
26,100 Reckson Associates Realty Corporation............ 619,875
7,379 Reckson Associates Realty Corporation, Class B... 187,703
49,900 Simon Property Group, Inc........................ 1,107,156
13,300 Spieker Properties, Inc.......................... 628,425
18,700 Summit Properties, Inc........................... 392,700
48,700 Trammell Crow Company (b)........................ 523,525
62,600 Trizec Hahn Corporation (c)...................... 1,118,975
47,000 Winston Hotels, Inc.............................. 352,500
------------
34,951,210
------------
HEALTH CARE (12.0%)
Biotechnology (3.3%)
80,400 Amgen, Inc. (b).................................. 5,648,100
54,200 Genentech, Inc. (b).............................. 9,322,400
9,100 Human Genome Sciences, Inc. (b).................. 1,213,713
25,600 Immunex Corporation (b).......................... 1,265,600
10,200 Millennium Pharmaceuticals, Inc. (b)............. 1,141,125
96,700 PE Corporation--PE Biosystems Group.............. 6,370,113
------------
24,961,051
------------
Drugs (7.0%)
57,400 Bristol-Myers Squibb Company..................... 3,343,550
83,300 Eli Lilly & Company.............................. 8,319,588
100,500 Merck & Company, Inc............................. 7,700,813
628,625 Pfizer, Inc...................................... 30,174,000
<CAPTION>
MARKET
SHARES VALUE(A)
------ ------------
<C> <S> <C>
HEALTH CARE--CONTINUED
69,200 Schering Plough Corporation...................... $ 3,494,600
------------
53,032,551
------------
Medical Products/Supplies (1.7%)
150,200 Guidant Corporation (b).......................... 7,434,900
115,200 Medtronic, Inc................................... 5,738,400
------------
13,173,300
------------
TECHNOLOGY (43.3%)
241,900 America Online, Inc. (b)......................... 12,760,225
38,600 Applied Materials, Inc. (b)...................... 3,498,125
58,400 BEA Systems, Inc. (b)............................ 2,887,150
493,500 Cisco Systems, Inc. (b).......................... 31,368,094
96,100 Comverse Technology, Inc. (b).................... 8,937,300
367,800 Dell Computer Corporation (b).................... 18,137,138
40,600 eBay, Inc........................................ 2,205,087
189,000 EMC Corporation (b).............................. 14,541,188
47,100 Flextronics International, Ltd. (b)(c)........... 3,235,181
118,400 Gateway, Inc. (b)................................ 6,719,200
22,400 Gemstar International Group, Ltd. (b)............ 1,376,550
228,100 Intel Corporation................................ 30,494,119
36,000 International Business Machines Corporation...... 3,944,250
70,300 JDS Uniphase Corporation (b)..................... 8,427,213
22,000 Juniper Networks, Inc. (b)....................... 3,202,375
229,700 Lam Research Corporation (b)..................... 8,613,750
160,300 Lucent Technologies, Inc......................... 9,497,775
105,000 McLeodUSA, Inc. (b).............................. 2,172,188
156,000 Microsoft (b).................................... 12,480,000
196,800 Nokia Oyj (c).................................... 9,827,700
31,000 Nortel Networks Corporation (c).................. 2,115,750
152,200 Oracle Systems (b)............................... 12,794,313
8,600 RF Micro Devices, Inc. (b)....................... 753,575
133,600 Sun Microsystems, Inc. (b)....................... 12,149,250
23,000 Sycamore Networks, Inc. (b)...................... 2,538,625
220,000 Texas Instruments, Inc........................... 15,111,250
29,957 Verisign, Inc. (b)............................... 5,287,411
29,200 Xilinx, Inc. (b)................................. 2,410,825
19,500 Yahoo!, Inc. (b)................................. 2,415,563
------------
249,901,170
------------
UTILITIES (.7%)
Electric Companies (.7%)
107,800 AES Corporation (b).............................. 4,918,375
------------
Total common stock
(cost: $345,096,026).......................................... 537,813,190
------------
</TABLE>
<TABLE>
<C> <S> <C>
PREFERRED STOCK (1.2%)
FINANCIAL (1.2%)
Real Estate Investment Trust (1.2%)
102,000 Duke Realty Investments, Inc.--7.99%............. 4,083,193
47,000 Nationwide Health Properties, Inc.--7.68%........ 2,808,250
50,000 Prologis Trust--8.54%............................ 2,131,250
------------
Total preferred stock
(cost: $12,069,385)........................................... 9,022,693
------------
</TABLE>
See accompanying notes to investments in securities.
48
<PAGE>
ASSET ALLOCATION PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
--------- ------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (25.5%)
GOVERNMENT OBLIGATIONS (14.3%)
Federal Home Loan Mortgage Corporation (FHLMC) (1.5%)
$ 878,635 ................................................. 6.500% 12/01/23 $ 830,373
1,390,929 ................................................. 6.500% 02/01/29 1,313,887
486,416 ................................................. 7.000% 01/01/15 477,798
2,500,000 ................................................. 7.500% 06/01/30 2,466,230
2,000,000 ................................................. 7.500% 07/01/30 1,972,984
1,750,000 (f).............................................. 7.500% 01/01/30 1,725,391
2,650,000 (f).............................................. 7.500% 01/01/30 2,612,736
------------
11,399,399
------------
Federal National Mortgage Association (FNMA) (4.0%)
925,487 ................................................. 6.000% 09/01/28 848,254
5,200,000 ................................................. 6.500% 08/15/04 5,099,151
2,817,720 ................................................. 6.500% 10/01/28 2,664,084
4,000,000 ................................................. 7.000% 03/15/10 3,966,300
957,911 ................................................. 6.000% 01/01/29 877,971
584,271 ................................................. 6.000% 02/01/29 535,513
704,827 ................................................. 6.000% 05/01/29 645,278
2,780,294 ................................................. 6.500% 09/01/14 2,681,468
1,292,916 ................................................. 6.500% 11/01/28 1,220,001
819,323 ................................................. 6.500% 12/01/28 773,117
2,354,438 ................................................. 6.500% 02/01/29 2,226,062
1,353,798 ................................................. 6.500% 02/01/29 1,277,449
1,864,434 ................................................. 7.000% 03/01/15 1,828,931
471,111 ................................................. 7.000% 08/01/29 454,833
2,927,205 ................................................. 7.000% 10/01/29 2,826,065
2,500,000 ................................................. 7.125% 02/15/05 2,508,660
------------
30,433,137
------------
Government National Mortgage Association (GNMA) (3.2%)
565,243 ................................................. 7.500% 06/15/28 561,852
832,737 ................................................. 6.000% 08/15/28 767,431
2,972,034 ................................................. 6.500% 04/15/29 2,820,704
2,876,554 ................................................. 7.000% 05/15/26 2,802,190
869,423 ................................................. 7.000% 06/15/28 845,801
1,746,995 ................................................. 7.000% 07/15/28 1,699,531
1,746,774 ................................................. 7.000% 12/15/28 1,699,316
2,349,946 ................................................. 7.000% 01/15/29 2,285,628
463,349 ................................................. 7.000% 01/15/29 450,667
1,252,112 ................................................. 7.000% 01/15/29 1,217,842
310,943 ................................................. 7.000% 01/15/29 302,432
2,850,697 ................................................. 7.000% 02/15/29 2,772,673
1,000,104 ................................................. 7.000% 05/15/29 972,731
64,195 ................................................. 7.500% 06/20/02 63,874
33,075 ................................................. 7.500% 07/20/02 32,910
330,225 ................................................. 7.500% 05/15/24 329,145
1,821,641 ................................................. 7.500% 09/15/28 1,810,711
1,370,457 ................................................. 7.500% 10/15/28 1,362,234
1,427,973 ................................................. 7.500% 09/15/29 1,418,829
------------
24,216,501
------------
Other Government Obligations (.8%)
6,000,000 Government of Canada............................. 6.375% 11/30/04 5,852,262
------------
State and Local Government Obligations (.1%)
970,000 Wyoming Community Development.................... 6.850% 06/01/10 941,734
------------
U.S. Treasury (4.7%)
9,250,000 Bond............................................. 5.250% 02/15/29 8,206,489
1,500,000 Bond............................................. 5.875% 11/15/04 1,477,500
9,300,000 Bond............................................. 6.000% 02/15/26 9,090,750
3,050,000 Bond............................................. 6.125% 08/15/29 3,082,406
</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>
GOVERNMENT OBLIGATIONS--CONTINUED
$ 1,800,000 Bond............................................. 6.250% 05/15/30 $ 1,889,438
1,250,000 Bond............................................. 6.500% 02/15/10 1,292,579
6,950,000 Note............................................. 6.625% 05/31/02 6,976,062
5,000,000 Strip (h)........................................ 6.711% 11/15/04 3,800,695
------------
35,815,919
------------
Total government obligations (cost: $101,985,538).................. 108,658,952
------------
CORPORATE OBLIGATIONS (11.2%)
BASIC MATERIALS (1.2%)
Chemicals (1.2%)
4,000,000 IMC Global, Inc.................................. 6.625% 10/15/01 3,933,752
5,011,690 Novartis AG 144A Issue (d)....................... 7.240% 01/02/16 4,890,908
------------
8,824,660
------------
CAPITAL GOODS (1.2%)
Aerospace/Defense (.6%)
4,250,000 United Technologies Corporation.................. 6.625% 11/15/04 4,157,044
------------
Containers--Metal/Glass (.6%)
4,500,000 Crown Cork & Seal Company, Inc................... 7.125% 09/01/02 4,296,640
------------
COMMUNICATION SERVICES (.5%)
Telephone (.5%)
4,000,000 GTE Corporation.................................. 9.100% 06/01/03 4,153,964
------------
CONSUMER CYCLICAL (.4%)
Auto (.4%)
4,000,000 Federal Mogul Corporation........................ 7.500% 07/01/04 3,092,888
------------
CONSUMER STAPLES (.3%)
Household Products (.3%)
2,500,000 Procter & Gamble Company......................... 6.600% 12/15/04 2,456,552
------------
FINANCIAL (6.3%)
Auto Finance (.6%)
4,250,000 Ford Motor Credit Corporation.................... 7.500% 03/15/05 4,226,719
------------
Banks (.5%)
4,000,000 St. George Bank 144A Issue (d)................... 8.485% 12/31/49 3,575,680
------------
Commercial Backed (.3%)
2,500,000 1345 Funding LLC 144A Issue (e).................. 7.459% 05/25/11 2,521,075
------------
Commercial Mortgage-Backed Securities (2.1%)
-- Asset Securitization Corporation (d)(g).......... 9.419% 08/13/29 2,001,804
1,747,423 Chase Mortgage Finance Corporation............... 6.750% 02/25/25 1,651,804
1,245,288 Citicorp Mortgage Securities, Inc................ 6.500% 10/25/23 1,164,375
2,000,000 First Union Corporation.......................... 6.650% 12/18/07 1,909,304
1,000,000 Nomura Asset Securites Corporation............... 7.428% 04/13/36 997,244
2,600,000 Nomura Asset Securites Corporation............... 7.919% 04/13/36 2,584,410
3,082,604 Park Avenue Finance Corporation 144A 3,075,823
Issue (d)....................................... 7.580% 05/12/07
2,562,200 Rosewood Care Centers Capital Funding............ 7.250% 11/01/13 2,594,509
------------
15,979,273
------------
Insurance (.2%)
3,500,000 Conseco Financing Trust II....................... 8.700% 11/15/26 1,470,000
------------
Investment Bankers/Brokers (.4%)
3,000,000 Morgan Stanley Dean Witter & Company............. 7.750% 06/15/05 3,015,642
------------
Mortgage Revenue Bonds (.1%)
1,090,924 American Housing Trust........................... 8.125% 06/25/18 1,099,455
------------
Real Estate Investment Trust (.2%)
1,500,000 Archstone Community Trust........................ 7.500% 02/15/14 1,383,912
------------
Savings and Loans (.2%)
1,700,000 Bank United Corporation.......................... 8.875% 05/01/07 1,519,605
------------
</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>
CORPORATE OBLIGATIONS--CONTINUED
Whole Loan Mortgage-Backed (1.7%)
$ 809,188 Banco Hipotecario Nacional 144A Issue (d)........ 7.916% 07/25/09 $ 752,545
3,544,548 Banco Hipotecario Nacional 144A Issue (d)........ 8.000% 03/31/11 3,297,537
983,437 Paine Webber Mortgage Acceptance Corporation..... 6.935% 02/25/24 919,887
5,407,884 Prudential Home Mortgage Securities.............. 6.500% 10/25/23 5,149,495
2,697,680 Residential Funding Mortgage Securities.......... 7.000% 10/25/23 2,579,737
------------
12,699,201
------------
UTILITIES (1.3%)
Electric Companies (.6%)
5,000,000 Georgia Power Company............................ 5.500% 12/01/05 4,558,830
------------
Natural Gas (.7%)
5,715,000 Enron Corporation................................ 6.725% 11/17/08 5,266,058
------------
Total corporate obligations (cost: $97,013,205).................... 84,297,198
------------
Total long-term debt securities (cost: $198,998,743)............... 192,956,150
------------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (3.4%)
25,908,093 Provident Institutional Funds--TempFund Portfolio, current rate 25,908,093
6.460%............................................................
------------
Total short-term securities (cost: $25,908,093).................... 25,908,093
------------
Total investments in securities (cost: $582,072,247) (i)........... $765,700,126
============
</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 3.8% of net assets in foreign securities as of June 30,
2000.
(d) Represents ownership in an illiquid security. (See note 7 to the financial
statements.) Information concerning the illiquid securities held at June 30,
2000, which includes acquisition date and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
-------- ----------- -----------
<S> <C> <C>
Asset Securitization Corporation................................. 10/23/99 $ 1,999,290
Banco Hipotecario Nacional 144A Issue*........................... various 734,338
Banco Hipotecario Nacional 144A Issue*........................... 3/7/00 3,320,799
Novartis AG 144A Issue*.......................................... various 5,046,264
Park Avenue Finance Corporation 144A Issue*...................... 6/21/00 3,064,301
St. George Bank Capital Note 144A Issue*......................... 6/12/97 4,000,000
-----------
$18,164,992
===========
*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) At June 30, 2000 the total cost of investments issued on a when-issued or
forward commitment basis is $4,340,320.
(g) 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.
(h) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(i) At June 30, 2000 the cost of securities for federal income tax purposes was
$589,613,756. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation............................................. $202,757,511
Gross unrealized depreciation............................................. (26,671,141)
------------
Net unrealized appreciation............................................... $176,086,370
============
</TABLE>
51
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
--------- --------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (97.5%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (18.2%)
Federal Home Loan Mortgage Corporation (FHLMC) (2.4%)
$ 1,319,383 ................................................. 6.500% 12/01/23 $ 1,246,912
2,200,000 ................................................. 7.000% 01/01/30 2,124,375
-------------
3,371,287
-------------
Federal National Mortgage Association (FNMA) (6.9%)
296,682 ................................................. 6.500% 02/01/17 280,834
860,258 ................................................. 6.500% 03/01/17 814,102
1,340,274 ................................................. 6.500% 05/01/28 1,264,687
1,430,583 ................................................. 6.500% 09/01/28 1,349,904
1,334,867 ................................................. 6.500% 09/01/28 1,259,586
1,251,815 ................................................. 6.500% 07/01/29 1,180,696
1,215,598 ................................................. 6.500% 08/01/29 1,146,536
575,795 ................................................. 6.500% 09/01/29 543,082
1,740,086 ................................................. 7.000% 02/01/29 1,686,274
7,106 ................................................. 8.000% 05/01/22 7,173
-------------
9,532,874
-------------
Government National Mortgage Association (GNMA) (7.9%)
1,842,492 ................................................. 4.000% 10/20/25 1,683,336
1,138,447 ................................................. 6.500% 03/15/29 1,080,480
1,735,590 ................................................. 7.000% 03/15/29 1,688,087
983,498 ................................................. 7.000% 04/15/29 956,579
2,977,951 ................................................. 7.500% 09/01/29 2,958,881
2,679,235 ................................................. 7.500% 12/15/29 2,662,077
1,819 ................................................. 8.500% 03/15/22 1,870
-------------
11,031,310
-------------
Vendee Administration (Vendee) (.9%)
1,255,237 Vendee Mortgage Trust Participation Certificates 1,271,122
(b)............................................. 7.793% 02/15/25
-------------
Total U.S. government and agencies obligations (cost:
$51,619,634)....................................................... 25,206,593
-------------
CORPORATE OBLIGATIONS (.7%)
1,000,000 Archstone Community Trust........................ 7.500% 02/15/14 922,608
-------------
Total corporate obligations (cost: $1,000,000)...................... 922,608
-------------
OTHER MORTGAGE-BACKED SECURITIES (78.6%)
Asset Backed (3.9%)
3,750,000 Fortress CBO Investments I, Limited 144A Issue 3,439,800
(c)............................................. 7.850% 07/25/38
2,000,000 Team Fleet Financing 144A Issue (d).............. 7.800% 05/15/03 1,999,360
-------------
5,439,160
-------------
Commercial Mortgage-Backed Securities (13.9%)
1,450,000 1345 Funding LLC................................. 7.459% 05/25/11 1,462,223
1,275,000 Covance, Inc..................................... 6.250% 12/01/22 1,250,019
2,678,784 New York Dorm Authority (c)...................... 7.750% 04/01/28 2,650,470
67,987 Rosewood Care Centers Capital Funding............ 7.250% 01/11/13 69,590
1,508,464 Nomura Asset Securities Corporation.............. 7.919% 04/13/36 1,491,006
-- Asset Securitization Corporation (c)............. 9.419% 08/13/29 1,655,281
1,724,400 Pleasant Hill California......................... 7.950% 09/20/15 1,684,844
-- Asset Securitization Corporation (c)............. 9.419% 08/13/29 1,922,132
3,299,399 Nomura Asset Securities Corporation.............. 7.428% 04/13/36 3,241,043
3,881,544 Structured Mult Asset Receivable Trust........... 8.910% 06/15/14 3,755,684
-------------
4,112,693
-------------
19,182,292
-------------
Mortgage Revenue Bonds (5.0%)
326,283 Black Diamond Mortgage Trust 144A Issue (d)(c)... 6.779% 01/29/13 306,145
2,745,448 Chase Mortgage Finance Corporation 144A Issue.... 6.627% 03/28/25 2,561,476
1,525,249 Chase Mortgage Finance Corporation 144A Issue.... 6.627% 03/28/25 1,423,042
</TABLE>
See accompanying notes to investments in securities.
52
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
--------- --------------
<C> <S> <C> <C> <C>
OTHER MORTGAGE-BACKED SECURITIES--CONTINUED
$ 2,077,421 Metropolitan Asset Funding 144A Issue............ 7.130% 06/20/12 $ 1,992,122
660,600 Wyoming Community Development.................... 6.850% 06/01/10 641,350
-------------
6,924,135
-------------
Whole Loan Mortgage-Backed (55.9%)
2,640,593 Banco Hipotecario Nacional 144A Issue (c)........ 7.540% 05/31/17 2,402,940
1,467,662 Banco Hipotecario Nacional 144A Issue (c)(f)..... 7.916% 07/25/09 1,364,926
54,426 Bank of America Corporation...................... 8.375% 05/01/07 54,178
3,236,835 Bear Stearns Companys, Inc....................... 6.350% 11/30/13 2,898,941
3,110,929 Bear Stearns Mortgage Securities, Inc............ 6.750% 04/30/30 2,928,970
1,248,580 Bear Stearns Mortgage Secutities, Inc............ 8.000% 11/25/29 1,223,996
1,456,191 Black Diamond Capital Management LLC 144A Issue 1,343,563
(c)............................................. 6.779% 01/29/13
799,308 Black Diamond Capital Management LLC 144A Issue 637,323
(c)............................................. 6.779% 01/29/13
1,207,878 Chase Mortgage Finanace Corporation 144A Issue... 6.627% 03/28/25 1,096,246
2,678,349 Chase Mortgage Finance Corporation 144A Issue 2,479,146
(d)............................................. 6.750% 03/25/25
1,117,427 Chase Mortgage Finance Corporation 144A Issue (d) 1,017,557
(c)............................................. 6.963% 08/28/24
2,211,699 Citicorp Mortgage Securities, Inc................ 6.750% 08/25/28 1,918,118
1,229,627 Countrywide Funding.............................. 6.625% 02/25/24 1,136,372
1,305,091 Countrywide Funding.............................. 6.625% 02/25/24 1,168,017
1,277,544 Countrywide Funding Corporation.................. 7.000% 06/25/24 1,171,470
1,951,953 Countrywide Funding Corporation.................. 7.250% 02/25/28 1,828,746
682,973 Countrywide Home Loans 144A Issue................ 7.500% 03/25/27 576,661
2,850,000 CSFB Finance Company 144A Issue (c).............. 10.000% 11/15/05 2,465,250
930,742 CSFB Mortgage Securities 144A Issue.............. 7.756% 05/30/23 874,897
829,723 Fbs Mortgage Corporation......................... 7.280% 06/25/23 759,197
119,829 First Bank Systems............................... 2.122% 03/25/08 101,064
803,022 First Union Corporation.......................... 6.991% 09/25/26 749,988
1,054,955 GE Capital Mortgage Services, Inc................ 6.500% 09/25/23 962,976
1,804,632 GE Capital Mortgage Services, Inc................ 7.000% 03/25/26 1,712,487
924,658 GE Capital Mortgage Services 144A Issue (d)...... 6.000% 10/25/08 877,556
953,642 GE Capital Mortgage Services 144A Issue (d) 909,393
(c)............................................. 6.000% 11/25/08
2,538,553 GE Capital Mortgage Services 144A Issue (d)...... 6.500% 04/25/24 2,330,061
2,007,065 GE Capital Mortgage Services, Inc. 144A Issue 1,882,025
(d)............................................. 6.500% 04/25/24
1,774,368 GE Capital Mortgage Services, Inc. 144A Issue 1,614,675
(d)............................................. 6.500% 05/25/24
1,043,389 International Capital Markets 144A Issue (c)..... 8.250% 09/01/15 1,043,389
1,467,810 Lehman Structured Securities 144A Issue (d)...... 6.580% 04/28/24 1,366,384
3,285,624 Metropolitan Asset Funding 144A Issue (d)........ 6.980% 05/20/12 3,182,817
2,007,570 Morgan Stanley Capital 144A Issue................ 6.974% 06/29/26 1,831,044
3,102,074 Morgan Stanley Capital 144A Issue................ 6.975% 06/29/26 2,903,262
1,450,002 Paine Webber Mortgage Acceptance Corporation..... 6.750% 01/25/24 1,330,812
578,116 Paine Webber Mortgage Acceptance Corporation..... 8.125% 07/25/09 565,779
4,250,000 Park Avenue Finance Corporation 144A Issue....... 7.680% 05/12/07 4,231,810
1,662,759 Prudential Home Mortgage......................... 6.050% 04/25/24 1,522,938
3,321,986 Prudential Home Mortgage......................... 6.500% 10/25/23 3,163,261
287,410 Prudential Home Mortgage......................... 8.000% 09/25/22 287,262
255,272 Prudential Home Mortgage 144A Issue (d).......... 7.500% 08/25/07 254,823
831,580 Prudential Home Mortgage 144A Issue (d).......... 7.900% 04/28/22 828,603
2,498,219 Prudential Home Mortgage 144A Issue (d).......... 7.900% 04/28/22 2,434,215
1,264,948 Prudential Home Mortgage 144A Issue (d).......... 8.000% 06/25/22 1,239,056
1,138,482 Prudential Home Mortgage Securities 144A Issue 1,043,681
(c)............................................. 6.311% 08/28/09
900,677 Prudential Home Mortgage Securities 144A Issue 808,358
(d)............................................. 7.250% 09/25/25
1,383,131 Prudential Home Mortgage Securities 144A Issue 1,222,577
(d)............................................. 7.339% 09/28/24
891,702 Residential Funding Mortgage Securities.......... 6.500% 12/25/12 841,624
2,912,518 Residential Funding Mortgage Securities.......... 7.000% 09/25/23 2,788,795
969,025 Residential Funding Mortgage Securities.......... 7.000% 10/25/23 927,318
3,636,312 Securitized Asset Sales, Inc. 144A Issue......... 6.808% 11/28/23 3,304,026
6,985 Tryon Mortgage Funding Corporation............... 7.750% 12/20/09 6,991
-------------
77,615,564
-------------
Total other mortgage-backed securities (cost: $114,895,152)......... 85,781,965
-------------
Total long-term debt securities (cost: $138,990,440)................ 135,290,352
-------------
</TABLE>
See accompanying notes to investments in securities.
53
<PAGE>
MORTGAGE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
PREFERRED STOCK (1.1%)
FINANCIAL (1.1%)
Real Estate Investment Trust (1.1%)
39,000 Duke Realty Investment, Inc. 7.99%.................................... $ 1,561,221
-------------
Total preferred stock (cost: $1,958,360).............................. 1,561,221
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (1.1%)
$ 1,493,091 Provident Institutional Funds--TempFund Portfolio, current rate 1,493,091
6.460%..............................................................
--------------
Total short-term securities (cost: $1,493,091)....................... 1,493,091
--------------
Total investments in securities (cost: $142,441,891) (g)............. $ 138,344,664
==============
</TABLE>
Notes to Investments in Securities
-----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Represents a debt security with a weighted average net pass-through rate
which varies based on the pool of underlying collateral. The rate disclosed
is the rate in effect at June 30, 2000.
(c) Represents ownership in an illiquid security. (See note 7 to the financial
statements.) Information concerning the illiquid securities held at
June 30, 2000, which includes acquisition date and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISITION
SECURITY DATE COST
-------- ----------- --------------
<S> <C> <C>
Asset Securitization Corporation.................................. 11/05/98 $ 1,964,948
Asset Securitization Corporation 144A Issue*...................... various 1,784,873
Banco Hipotecario Nacional 144A Issue*............................ various 3,604,951
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 2,761,241
Prudential Home Mortgage 144A Issue*.............................. 05/29/98 1,139,708
Black Diamond Capital Management.................................. various 2,291,133
Chase Mortgage.................................................... 6/16/97 1,071,270
-------------
$ 22,922,648
=============
*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.
(f) The Portfolio held 6.1% of net assets in foreign securities at June 30,
2000.
(g) At June 30, 2000 the cost of securities for federal income tax purposes was
$142,831,456. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation............................................... $ 476,263
Gross unrealized depreciation............................................... (4,963,055)
--------------
Net unrealized depreciation................................................. $ (4,486,792)
==============
</TABLE>
54
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
COMMON STOCK (99.0%)
BASIC MATERIALS (2.7%)
Agriculture Products ( -- )
30,833 Archer-Daniels-Midland Company................... $ 302,549
-------------
Aluminum (.3%)
11,228 Alcan Aluminum, Ltd. (c)......................... 348,068
44,242 Alcoa, Inc....................................... 1,283,018
-------------
1,631,086
-------------
Chemicals (1.5%)
11,753 Air Products & Chemicals, Inc.................... 362,139
34,616 Dow Chemical Company............................. 1,044,971
53,627 E.I. DuPont de Nemours & Company................. 2,346,181
3,953 Eastman Chemical Company......................... 188,756
6,663 Ecolab, Inc...................................... 260,273
6,497 Engelhard Corporation............................ 110,855
1,600 FMC Corporation (b).............................. 92,800
2,800 Great Lakes Chemical Corporation................. 88,200
5,449 Hercules, Inc.................................... 76,627
5,275 International Flavors & Fragrances, Inc.......... 159,239
64,995 Pharmacia Corporation............................ 3,359,429
8,971 PPG Industries, Inc.............................. 397,527
8,096 Praxair, Inc..................................... 303,094
11,114 Rohm & Haas Company.............................. 383,433
4,393 Sigma-Aldrich Corporation........................ 128,495
6,887 Union Carbide Corporation........................ 340,906
3,379 W.R. Grace & Company (b)......................... 40,970
-------------
9,683,895
-------------
Construction ( -- )
5,122 Vulcan Materials Company......................... 218,645
-------------
Iron and Steel (.1%)
4,254 Allegheny Technologies, Inc...................... 76,572
6,745 Bethlehem Steel Corporation (b).................. 24,029
4,352 Nucor Corporation................................ 144,432
4,513 USX-U.S. Steel Group............................. 83,773
4,357 Worthington Industries, Inc...................... 45,748
-------------
374,554
-------------
Mining (.2%)
20,257 Barrick Gold Corporation (c)..................... 368,424
8,125 Freeport-McMoRan Copper & Gold, Inc. (b)......... 75,156
13,284 Homestake Mining Company......................... 91,327
9,219 Inco, Ltd. (b)(c)................................ 141,742
8,547 Newmont Mining Corporation....................... 184,829
4,026 Phelps Dodge Corporation......................... 149,717
16,770 Placer Dome, Inc. (c)............................ 160,363
-------------
1,171,558
-------------
Paper and Forest (.6%)
2,730 Bemis Company, Inc............................... 91,796
2,883 Boise Cascade Corporation........................ 74,598
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
BASIC MATERIALS--CONTINUED
10,493 Fort James Corporation........................... $ 242,651
8,725 Georgia-Pacific Corporation...................... 229,031
24,736 International Paper Company...................... 737,442
28,449 Kimberly-Clark Corporation....................... 1,632,261
5,250 Louisiana-Pacific Corporation.................... 57,094
5,257 Mead Corporation................................. 132,739
1,411 Potlatch Corporation............................. 46,739
2,702 Temple Inland, Inc............................... 113,484
5,135 Westvaco Corporation............................. 127,412
11,958 Weyerhaeuser Company............................. 514,194
5,623 Willamette Industries, Inc....................... 153,227
-------------
4,152,668
-------------
CAPITAL GOODS (7.7%)
Aerospace/Defense (1.1%)
5,515 B.F. Goodrich Company............................ 187,855
46,450 Boeing Company................................... 1,942,191
10,275 General Dynamics Corporation..................... 536,869
40,869 Honeywell International, Inc..................... 1,376,774
20,494 Lockheed Martin Corporation...................... 508,507
3,627 Northrop Grumman Corporation..................... 240,289
17,393 Raytheon Company (c)............................. 334,815
9,590 Rockwell International Corporation............... 302,085
7,364 Textron, Inc..................................... 399,957
24,093 United Technologies Corporation.................. 1,418,475
-------------
7,247,817
-------------
Containers-Metal/Glass ( -- )
1,475 Ball Corporation................................. 47,477
6,552 Crown Cork & Seal Company, Inc................... 98,280
7,477 Owens-Illinois, Inc. (b)......................... 87,387
-------------
233,144
-------------
Electrical Equipment (4.8%)
9,899 American Power Conversion Corporation (b)........ 404,003
4,715 Cooper Industries, Inc........................... 153,532
21,850 Emerson Electric Company......................... 1,319,194
506,588 General Electric Company......................... 26,849,164
10,036 Molex, Inc....................................... 482,982
7,593 Sanmina Corporation (b).......................... 649,201
30,529 Solectron Corporation (b)........................ 1,278,402
7,959 Thermo Electron Corporation (b).................. 167,636
-------------
31,304,114
-------------
Engineering/Construction (.1%)
17,849 Caterpillar, Inc................................. 604,635
3,868 Fluor Corporation................................ 122,325
-------------
726,960
-------------
Machinery (.2%)
1,100 Briggs & Stratton Corporation.................... 37,675
12,014 Deere & Company.................................. 444,518
</TABLE>
See accompanying notes to investments in securities.
55
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
CAPITAL GOODS--CONTINUED
10,429 Dover Corporation................................ $ 423,026
8,238 Ingersoll Rand Company........................... 331,579
-------------
1,236,798
-------------
Manufacturing (1.2%)
5,781 Avery Dennison Corporation....................... 388,050
15,440 Illinois Tool Works, Inc......................... 880,080
4,360 Johnson Controls, Inc............................ 223,722
2,363 Millipore Corporation............................ 178,111
20,267 Minnesota Mining and Manufacturing Company....... 1,672,027
2,025 National Service Industries, Inc................. 39,487
6,272 Pall Corporation................................. 116,032
5,750 Parker Hannifin Corporation...................... 196,937
4,259 Sealed Air Corporation (b)....................... 223,065
86,434 Tyco International, Ltd. (c)..................... 4,094,811
-------------
8,012,322
-------------
Metal Fabrication ( -- )
3,025 Timken Company................................... 56,341
-------------
Office Equipment (.2%)
6,667 Lexmark International Group, Inc. (b)............ 448,356
13,245 Pitney Bowes, Inc................................ 529,800
-------------
978,156
-------------
Trucks and Parts ( -- )
2,061 Cummins Engine Company, Inc...................... 56,162
3,199 Navistar International Corporation (b)........... 99,369
3,888 Paccar, Inc...................................... 154,305
-------------
309,836
-------------
Waste Management (.1%)
9,657 Allied Waste Industries (b)...................... 96,570
31,802 Waste Management, Inc............................ 604,238
-------------
700,808
-------------
COMMUNICATION SERVICES (7.2%)
Cellular (.4%)
38,831 Nextel Communications, Inc....................... 2,375,972
-------------
Telecommunication (2.4%)
45,156 Global Crossing, Ltd. (b)(c)..................... 1,188,167
146,601 MCI Worldcom, Inc. (b)........................... 6,725,321
37,945 Qualcomm, Inc. (b)............................... 2,276,700
44,886 Sprint Corporation............................... 2,289,186
46,863 Sprint Corporation PCS (b)....................... 2,788,348
-------------
15,267,722
-------------
Telephone (4.4%)
16,186 Alltel Corporation............................... 1,002,520
192,143 AT&T Corporation (b)............................. 6,076,521
79,145 Bell Atlantic Corporation........................ 4,021,555
96,343 Bellsouth Corporation............................ 4,106,620
7,190 CenturyTel, Inc.................................. 206,712
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
COMMUNICATION SERVICES--CONTINUED
49,624 GTE Corporation.................................. $ 3,089,094
174,183 SBC Communications, Inc.......................... 7,533,415
30,275 US West, Inc. (b)................................ 2,596,085
-------------
28,632,522
-------------
CONSUMER CYCLICAL (8.1%)
Auto (1.1%)
3,758 Cooper Tire & Rubber Company..................... 41,808
7,734 Dana Corporation................................. 163,864
7,230 Danaher Corporation.............................. 357,433
28,828 Delphi Automotive Systems Corporation............ 419,808
3,742 Eaton Corporation................................ 250,714
61,716 Ford Motor Company............................... 2,653,788
27,395 General Motors Corporation....................... 1,590,622
7,959 Goodyear Tire & Rubber Company................... 159,180
15,496 Harley-Davidson, Inc............................. 596,596
4,488 ITT Industries, Inc.............................. 136,323
2,950 Snap-On, Inc..................................... 78,544
6,347 TRW, Inc......................................... 275,301
6,656 Visteon Corporation.............................. 80,704
-------------
6,804,685
-------------
Building Materials (.1%)
1,975 Armstrong Holdings, Inc.......................... 30,242
2,999 Centex Corporation............................... 70,476
3,025 Crane Company.................................... 73,545
2,375 Kaufman & Broad Home Corporation................. 47,055
22,972 Masco Corporation................................ 414,932
2,760 Owens Corning.................................... 25,530
2,057 Pulte Corporation................................ 44,483
-------------
706,263
-------------
Distribution Durables ( -- )
8,980 Genuine Parts Company............................ 179,600
-------------
Hardware and Tools ( -- )
4,334 Black & Decker Corporation....................... 170,380
4,467 The Stanley Works................................ 106,091
-------------
276,471
-------------
Houseware (.7%)
14,123 Corning, Inc..................................... 3,811,445
10,045 Leggett & Platt, Inc............................. 165,742
4,007 Maytag Corporation............................... 147,758
3,800 Whirlpool Corporation............................ 177,175
-------------
4,302,120
-------------
Leisure (.1%)
4,492 Brunswick Corporation............................ 74,399
8,813 Hasbro, Inc...................................... 132,746
21,762 Mattel, Inc...................................... 286,986
-------------
494,131
-------------
</TABLE>
See accompanying notes to investments in securities.
56
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Lodging-Hotel (.1%)
18,850 Hilton Hotels Corporation........................ $ 176,719
12,285 Marriott International, Inc...................... 443,028
-------------
619,747
-------------
Photography/Imagery (.2%)
15,862 Eastman Kodak Company............................ 943,789
2,224 Polaroid Corporation............................. 40,171
-------------
983,960
-------------
Publishing (.5%)
4,600 Dow Jones and Company, Inc....................... 336,950
13,646 Gannett Company, Inc............................. 816,201
3,965 Knight-Ridder, Inc............................... 210,888
9,936 McGraw-Hill Companies, Inc....................... 536,544
2,584 Meredith Corporation............................. 87,210
6,175 R.R. Donnelly & Sons Company..................... 139,323
8,297 The Dun & Bradstreet Corporation................. 237,502
8,739 The New York Times Company....................... 345,190
15,778 Tribune Company.................................. 552,230
-------------
3,262,038
-------------
Retail (4.8%)
3,267 American Greetings Corporation................... 62,073
6,812 Autozone, Inc. (b)............................... 149,864
7,225 Bed Bath & Beyond, Inc. (b)...................... 261,906
10,470 Best Buy Company, Inc. (b)....................... 662,227
10,414 Circuit City Stores, Inc......................... 345,615
5,575 Consolidated Stores Corporation (b).............. 66,900
22,876 Costco Wholesale Corporation (b)................. 754,908
23,349 Target Corporation............................... 1,354,242
4,775 Dillards, Inc.................................... 58,494
16,795 Dollar General Corporation....................... 327,503
10,960 Federated Department Stores (b).................. 369,900
43,569 Gap, Inc......................................... 1,361,531
3,700 Harcourt General, Inc............................ 201,187
118,464 Home Depot, Inc.................................. 5,915,796
13,293 J.C. Penney Company.............................. 245,090
24,613 K Mart Corporation (b)........................... 167,676
16,703 Kohl's Corporation (b)........................... 929,104
21,998 Limited, Inc..................................... 475,707
19,556 Lowe's Companies, Inc............................ 803,018
17,026 May Department Stores Company.................... 408,624
14,006 Nike, Inc........................................ 557,614
6,825 Nordstrom, Inc................................... 164,653
16,181 Office Depot, Inc. (b)........................... 101,131
2,825 Reebok International, Ltd. (b)................... 45,023
18,027 Sears, Roebuck & Company......................... 588,131
24,800 Staples, Inc. (b)................................ 381,300
9,590 Tandy Corporation................................ 454,326
8,358 The Sherwin-Williams Company..................... 177,085
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
3,774 Tiffany & Company................................ $ 254,745
15,284 TJX Companies, Inc............................... 286,575
11,024 Toys "R" Us, Inc. (b)............................ 160,537
228,219 Wal-Mart Stores, Inc............................. 13,151,120
-------------
31,243,605
-------------
Service (.5%)
36,920 Cendant Corporation (b).......................... 516,880
7,819 Convergys Corporation (b)........................ 405,611
6,211 Harrah's Entertainment (b)....................... 130,043
15,449 Interpublic Group Companies, Inc................. 664,307
9,162 Omnicom Group, Inc............................... 815,991
5,799 Quintiles Transnational Corporation (b).......... 81,911
6,558 Sabre Holdings Corporation (b)................... 186,903
3,733 Young & Rubicam, Inc............................. 213,481
-------------
3,015,127
-------------
Textiles ( -- )
2,775 Liz Clairborne, Inc.............................. 97,819
1,625 Russell Corporation.............................. 32,500
934 Springs Industries, Inc.......................... 30,063
5,865 V.F. Corporation................................. 139,660
-------------
300,042
-------------
CONSUMER STAPLES (10.0%)
Beverage (2.2%)
23,132 Anheuser-Busch Companies, Inc.................... 1,727,671
3,475 Brown-Forman Corporation (c)..................... 186,781
21,533 Coca-Cola Enterprises, Inc....................... 351,257
1,924 Coors (Adolph) Company........................... 116,402
73,787 PepsiCo, Inc..................................... 3,278,910
126,736 The Coca-Cola Company............................ 7,279,399
22,347 The Seagram Company, Ltd. (c).................... 1,296,126
-------------
14,236,546
-------------
Broadcasting (.5%)
17,354 Clear Channel Communications (b)................. 1,301,550
45,966 Comcast Corporation (b).......................... 1,861,623
-------------
3,163,173
-------------
Entertainment (2.3%)
30,950 Carnival Corporation............................. 603,525
67,372 Time Warner, Inc................................. 5,120,272
78,087 Viacom, Inc. (b)................................. 5,324,557
106,393 Walt Disney Company.............................. 4,129,378
-------------
15,177,732
-------------
Food (1.2%)
14,058 BestFoods........................................ 973,516
21,634 Campbell Soup Company............................ 630,090
25,204 Conagra, Inc..................................... 480,451
14,899 General Mills, Inc............................... 569,887
18,036 H.J. Heinz Company............................... 789,075
7,022 Hershey Foods Corporation........................ 341,884
20,755 Kellogg Company.................................. 617,461
</TABLE>
See accompanying notes to investments in securities.
57
<PAGE>
INDEX 500 PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
6,753 Quaker Oats Company.............................. $ 507,319
15,707 Ralston-Ralston Purina Group..................... 313,158
44,525 Sara Lee Corporation............................. 859,889
29,267 Unilever NV...................................... 1,258,481
5,876 Wm. Wrigley Jr. Company (c)...................... 471,182
-------------
7,812,393
-------------
Food & Health (.1%)
17,062 SYSCO Corporation................................ 718,737
-------------
Household Products (1.3%)
12,045 Clorox Company................................... 539,767
29,527 Colgate-Palmolive Company........................ 1,767,929
53,452 Gillette Company................................. 1,867,479
13,621 Newell Rubbermaid, Inc........................... 350,741
8,611 Pactiv Corporation (b)........................... 67,812
66,970 Procter & Gamble Company......................... 3,834,032
2,909 Tupperware Corporation........................... 63,998
-------------
8,491,758
-------------
Personal Care (.1%)
2,800 Alberto-Culver Company........................... 85,575
12,147 Avon Products.................................... 540,541
-------------
626,116
-------------
Restaurants (.5%)
6,288 Darden Restaurants, Inc.......................... 102,180
68,421 McDonalds Corporation............................ 2,253,617
9,426 Starbucks Corporation (b)........................ 359,955
7,481 Tricon Global Restaurants, Inc. (b).............. 211,338
5,741 Wendy's International, Inc....................... 102,262
-------------
3,029,352
-------------
Retail (.9%)
21,692 Albertson's, Inc................................. 721,259
19,955 CVS Corporation.................................. 798,200
1,900 Great Atlantic & Pacific Tea Company............. 31,587
42,755 Kroger Company (b)............................... 943,282
1,953 Longs Drug Stores Corporation.................... 42,478
13,214 Rite Aid Corporation (b)......................... 86,717
25,418 Safeway, Inc. (b)................................ 1,146,987
6,652 Supervalu, Inc................................... 126,804
51,607 Walgreen Company................................. 1,661,100
7,328 Winn-Dixie Stores, Inc........................... 104,882
-------------
5,663,296
-------------
Service (.3%)
32,116 Automatic Data Processing, Inc................... 1,720,213
7,425 Ceridian Corporation (b)......................... 178,664
3,631 Deluxe Corporation............................... 85,555
-------------
1,984,432
-------------
Tobacco (.6%)
8,064 Fortune Brands, Inc.............................. 185,976
16,658 Nabisco Group Holdings Corporation............... 432,067
117,088 Philip Morris Companies, Inc..................... 3,110,150
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
8,230 UST, Inc......................................... $ 120,878
-------------
3,849,071
-------------
ENERGY (5.4%)
Oil (4.1%)
4,634 Amerada Hess Corporation......................... 286,149
33,384 Chevron Corporation.............................. 2,831,380
31,967 Conoco, Inc...................................... 785,189
178,250 Exxon Mobile Corporation......................... 13,992,624
18,875 Occidental Petroleum Corporation................. 397,555
12,999 Phillips Petroleum Company....................... 658,887
109,798 Royal Dutch Petroleum Company (c)................ 6,759,439
12,453 Unocal Corporation............................... 412,506
15,918 USX-Marathon Group............................... 398,945
-------------
26,522,674
-------------
Oil & Gas (1.3%)
6,556 Anadarko Petroleum Corporation................... 323,293
5,855 Apache Corporation............................... 344,347
3,607 Ashland, Inc..................................... 126,470
16,883 Baker Hughes, Inc................................ 540,256
11,052 Burlington Resources, Inc........................ 422,739
1,425 Eastern Enterprises.............................. 89,775
22,731 Halliburton Company.............................. 1,072,619
4,884 Kerr-McGee Corporation........................... 287,851
3,000 McDermott International, Inc..................... 26,437
4,819 Rowan Companies, Inc. (b)........................ 146,377
29,139 Schlumberger, Ltd................................ 2,174,498
4,500 Sunoco, Inc...................................... 132,469
28,267 Texaco, Inc...................................... 1,505,218
7,412 Tosco Corporation................................ 209,852
10,809 Transocean Offshore, Inc......................... 577,606
12,855 Union Pacific Resources Group.................... 282,810
-------------
8,262,617
-------------
FINANCIAL (12.5%)
Auto Finance (.2%)
46,145 Fleet Boston Financial Corporation............... 1,568,930
-------------
Banks (4.0%)
20,115 AmSouth Bancorporation........................... 316,811
84,858 Bank of America Corporation...................... 3,648,875
58,725 Bank One Corporation............................. 1,559,883
17,847 BB&T Corporation................................. 426,097
63,327 Chase Manhattan Corporation...................... 2,917,000
8,063 Comerica Incorporated............................ 361,827
15,857 Fifth Third Bancorp.............................. 1,002,955
50,208 First Union Corporation.......................... 1,245,786
49,669 Firstar Corporation.............................. 1,046,153
11,343 Huntington Bancshares, Inc....................... 179,361
8,351 J.P. Morgan & Company............................ 919,654
22,262 KeyCorp.......................................... 392,368
25,152 Mellon Financial Corporation..................... 916,476
31,041 National City Corporation........................ 529,637
</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>
FINANCIAL--CONTINUED
11,406 Northern Trust Corporation....................... $ 742,103
6,988 Old Kent Financial Corporation................... 186,929
14,848 PNC Financial Services Group..................... 696,000
11,202 Regions Financial Corporation.................... 222,640
8,558 SouthTrust Corporation........................... 193,625
8,238 State Street Corporation......................... 873,743
9,022 Summit Bancorp................................... 222,167
15,467 Suntrust Banks, Inc.............................. 706,649
14,363 Synovus Financial Corporation.................... 253,148
37,765 The Bank of New York Company, Inc................ 1,756,072
38,497 U.S. Bancorp..................................... 741,067
6,958 Union Planters Corporation....................... 194,389
10,380 Wachovia Corporation............................. 563,115
82,501 Wells Fargo & Company............................ 3,196,914
-------------
26,011,444
-------------
Consumer Finance (1.1%)
68,405 American Express Company......................... 3,565,611
37,295 Associates First Capital Corporation............. 832,145
9,992 Capital One Financial Corporation................ 445,893
24,202 Household International, Inc..................... 1,005,890
41,056 MBNA Corporation................................. 1,113,630
7,992 U.S.A. Education, Inc............................ 299,200
-------------
7,262,369
-------------
Finance-Diversified (2.4%)
12,698 American General Corporation..................... 774,578
172,799 CitiGroup, Inc................................... 10,411,140
35,596 Federal Home Loan Mortgage Corporation........... 1,441,638
51,583 Federal National Mortgage Association............ 2,691,988
5,417 MGIC Investment Corporation...................... 246,473
-------------
15,565,817
-------------
Insurance (2.9%)
7,264 Aetna, Inc....................................... 466,258
13,590 Aflac, Inc....................................... 624,291
38,128 Allstate Corporation............................. 848,348
78,926 American International Group..................... 9,273,805
13,095 AON Corporation.................................. 406,763
8,983 Chubb Corporation................................ 552,454
8,399 Cigna Corporation................................ 785,306
8,266 Cincinnati Financial Corporation................. 259,862
16,574 Conseco, Inc..................................... 161,596
10,968 Hartford Financial Services Group, Inc........... 613,522
5,266 Jefferson-Pilot Corporation...................... 297,200
9,803 Lincoln National Corporation..................... 354,133
5,035 Loews Corporation................................ 302,100
13,804 Marsh and McLennan Companys, Inc................. 1,441,655
4,998 MBIA, Inc........................................ 240,841
3,716 Progressive Corporation.......................... 274,984
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
FINANCIAL--CONTINUED
7,311 Providian Financial Corporation.................. $ 657,990
6,475 Safeco Corporation............................... 128,691
10,860 The St. Paul Companies, Inc...................... 370,609
6,565 Torchmark Corporation............................ 162,073
12,228 UnumProvident Corporation........................ 245,324
3,222 Wellpoint Health Networks, Inc. (b).............. 233,394
-------------
18,701,199
-------------
Investment Bankers/Brokers (1.7%)
5,620 Bear Stearns Companys, Inc....................... 233,933
12,478 Franklin Resources, Inc.......................... 379,019
6,264 Lehman Brothers Holdings, Inc.................... 592,340
19,861 Merrill Lynch & Company, Inc..................... 2,284,015
57,955 Morgan Stanley 4,824,754
Dean Witter & Company...........................
7,449 Paine Webber Group, Inc.......................... 338,929
6,145 T. Rowe Price Associates, Inc.................... 261,163
69,724 The Charles Schwab Corporation................... 2,344,470
-------------
11,258,623
-------------
Public Finance ( -- )
5,815 Countrywide Credit Industries, Inc............... 176,267
-------------
Savings and Loans (.2%)
10,700 Charter One Financial, Inc....................... 246,100
8,135 Golden West Financial Corporation................ 332,010
28,048 Washington Mutual, Inc........................... 809,886
-------------
1,387,996
-------------
Service ( -- )
5,033 H&R Block, Inc................................... 162,943
-------------
HEALTH CARE (11.1%)
Biotechnology (.8%)
52,575 Amgen, Inc. (b).................................. 3,693,394
7,629 Biogen, Inc. (b)................................. 492,071
10,656 PE Corporation--PE Biosystems Group.............. 701,964
-------------
4,887,429
-------------
Drugs (7.1%)
66,781 American Home Products Corporation............... 3,923,384
101,006 Bristol-Myers Squibb Company..................... 5,883,600
14,075 Cardinal Health, Inc............................. 1,041,550
57,828 Eli Lilly & Company.............................. 5,775,572
10,673 Medimmune, Inc. (b).............................. 789,802
117,741 Merck & Company, Inc............................. 9,021,904
322,308 Pfizer, Inc...................................... 15,470,784
74,969 Schering-Plough Corporation...................... 3,785,935
4,910 Watson Pharmaceuticals, Inc. (b)................. 263,913
-------------
45,956,444
-------------
</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>
HEALTH CARE--CONTINUED
Health Care-Diversified (1.8%)
79,337 Abbott Laboratories.............................. $ 3,535,455
6,663 Allergan, Inc.................................... 496,394
19,660 Healthsouth Corporation (b)...................... 141,306
71,220 Johnson & Johnson................................ 7,255,538
15,981 Tenet Healthcare Corporation (b)................. 431,487
-------------
11,860,180
-------------
Hospital Management (.1%)
28,554 Columbia/HCA Healthcare Corporation.............. 867,328
-------------
Managed Care (.2%)
8,543 Humana, Inc. (b)................................. 41,647
5,178 Manor Care, Inc. (b)............................. 36,246
14,363 McKesson HBOC, Inc............................... 300,725
8,360 UnitedHealth Group, Inc.......................... 716,870
-------------
1,095,488
-------------
Medical Products/Supplies (1.1%)
5,230 Alza Corporation (b)............................. 309,224
2,778 Bausch & Lomb, Inc............................... 214,948
14,864 Baxter International, Inc........................ 1,045,125
12,925 Becton Dickinson & Company....................... 370,786
6,091 Biomet, Inc...................................... 234,123
20,845 Boston Scientific Corporation (b)................ 457,287
2,572 C.R. Bard, Inc................................... 123,778
15,743 Guidant Corporation (b).......................... 779,279
3,479 Mallinckrodt Group, Inc.......................... 151,119
61,287 Medtronic, Inc................................... 3,052,859
4,292 St. Jude Medical, Inc. (b)....................... 196,896
-------------
6,935,424
-------------
TECHNOLOGY (31.3%)
17,964 3 Com Corporation (b)............................ 1,035,176
5,325 Adaptec, Inc. (b)................................ 121,144
17,273 ADC Telecommunications, Inc. (b)................. 1,448,773
6,187 Adobe Systems, Inc. ............................. 804,310
7,887 Advanced Micro Devices, Inc. (b)................. 609,271
23,145 Agilent Technologies, Inc. (b)................... 1,706,944
10,193 Altera Corporation (b)........................... 1,039,049
117,637 America Online, Inc. (b)......................... 6,205,352
18,117 Analog Devices, Inc. (b)......................... 1,376,892
4,104 Andrew Corporation (b)........................... 137,741
16,667 Apple Computer, Inc. (b)......................... 872,934
41,351 Applied Materials, Inc. (b)...................... 3,747,434
3,005 Autodesk, Inc.................................... 104,236
12,522 BMC Software, Inc. (b)........................... 456,857
11,175 Broadcom Corporation (b)......................... 2,446,627
9,321 Cabletron Systems, Inc. (b)...................... 235,355
356,185 Cisco Systems, Inc. (b).......................... 22,640,009
9,436 Citrix Systems, Inc. (b)......................... 178,694
86,945 Compaq Computer Corporation...................... 2,222,532
30,132 Computer Associates International................ 1,542,382
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
8,634 Computer Sciences Corporation (b)................ $ 644,852
18,433 Compuware Corporation (b)........................ 191,242
7,870 Comverse Technology (b).......................... 731,910
11,100 Conexant Systems, Inc. (b)....................... 539,738
131,852 Dell Computer Corporation (b).................... 6,501,952
23,852 Electronic Data Systems Corporation.............. 983,895
111,110 EMC Corporation (b).............................. 8,548,526
7,182 Equifax, Inc..................................... 188,528
21,074 First Data Corporation........................... 1,045,797
16,478 Gateway, Inc. (b)................................ 935,127
51,211 Hewlett-Packard Company.......................... 6,394,974
15,172 IMS Health, Inc.................................. 273,096
171,484 Intel Corporation................................ 22,925,267
90,778 International Business Machines Corporation...... 9,945,865
9,491 KLA-Tencor Corporation (b)....................... 555,817
15,981 Linear Technology Corporation.................... 1,021,785
15,719 LSI Logic Corporation (b)........................ 850,791
166,742 Lucent Technologies, Inc......................... 9,879,464
14,473 Maxim Integrated Products (b).................... 983,259
4,140 Mercury Interactive Corporation (b).............. 400,545
28,410 Micron Technology, Inc. (b)...................... 2,501,856
269,459 Microsoft Corporation (b)........................ 21,556,720
110,204 Motorola, Inc.................................... 3,202,804
9,024 National Semiconductor Corporation (b)........... 512,112
4,840 NCR Corporation (b).............................. 188,458
15,596 Network Appliance, Inc. (b)...................... 1,255,478
151,682 Nortel Networks Corporation (b)(c)............... 10,352,297
16,781 Novell, Inc. (b)................................. 155,224
6,652 Novellus Systems, Inc. (b)....................... 376,254
145,340 Oracle Systems (b)............................... 12,217,644
14,113 Parametric Technology Corporation (b)............ 155,243
19,000 Paychex, Inc..................................... 798,000
14,126 Peoplesoft, Inc. (b)............................. 236,611
2,494 PerkinElmer, Inc................................. 164,916
3,000 Sapient Corporation (b).......................... 320,813
8,150 Scientific-Atlanta, Inc.......................... 607,175
11,601 Seagate Technology, Inc. (b)..................... 638,055
10,209 Siebel Systems, Inc. (b)......................... 1,669,810
81,232 Sun Microsystem, Inc. (b)........................ 7,387,035
2,467 Tektronix, Inc. (b).............................. 182,558
20,968 Tellabs, Inc. (b)................................ 1,434,998
8,926 Teradyne, Inc. (b)............................... 656,061
83,791 Texas Instruments, Inc........................... 5,755,394
2,900 Thomas and Betts Corporation..................... 55,463
15,955 Unisys Corporation (b)........................... 232,345
20,016 Veritas DGC, Inc. (b)............................ 2,262,121
4,774 W.W. Grainger, Inc............................... 147,099
34,115 Xerox Corporation................................ 707,886
16,508 Xilinx, Inc. (b)................................. 1,362,942
</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>
TECHNOLOGY--CONTINUED
27,818 Yahoo!, Inc. (b)................................. $ 3,445,955
-------------
203,013,469
-------------
TRANSPORTATION (.6%)
Air Freight (.1%)
14,888 FedEx Corporation (b)............................ 565,744
-------------
Airlines (.2%)
7,631 AMR Corporation (b).............................. 201,745
6,288 Delta Air Lines, Inc............................. 317,937
25,409 Southwest Airlines Company....................... 481,183
3,434 US Airways Group, Inc. (b)....................... 133,926
-------------
1,134,791
-------------
Railroads (.3%)
21,929 Burlington Northern Santa Fe Corporation......... 502,996
11,096 CSX Corporation.................................. 235,097
5,769 Kansas City Southern Industries, Inc. (b)........ 511,638
19,616 Norfolk Southern Corporation..................... 291,788
12,674 Union Pacific Corporation........................ 471,314
-------------
2,012,833
-------------
Trucking ( -- )
2,950 Ryder System, Inc................................ 55,866
-------------
UTILITIES (2.4%)
Electric Companies (1.6%)
21,800 AES Corporation (b).............................. 994,625
7,062 Ameren Corporation............................... 238,343
16,426 American Electric Power Company, Inc............. 486,620
7,606 Baltimore Gas & Electric Company................. 247,670
8,130 Carolina Power & Light Company................... 259,652
8,094 Cinergy Corporation.............................. 205,891
10,827 Consolidated Edison, Inc......................... 320,750
5,570 Consumers Energy Company......................... 123,236
12,202 Dominion Resources, Inc.......................... 523,161
7,271 DTE Energy Company............................... 222,220
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
UTILITIES--CONTINUED
18,803 Duke Energy Corporation.......................... $ 1,060,019
17,013 Edison International............................. 348,767
11,755 Entergy Corporation.............................. 319,589
11,807 FirstEnergy Corporation.......................... 275,989
5,026 Florida Progress Corporation..................... 235,594
9,156 FPL Group, Inc................................... 453,222
6,237 GPU, Inc......................................... 168,789
5,931 New Century Energies, Inc. (b)................... 177,930
8,765 Niagara Mohawk Holdings, Inc. (b)................ 122,162
19,748 Pacific Gas and Electric Company................. 486,295
8,663 Peco Energy Company.............................. 349,227
4,323 Pinnacle West Capital Corporation................ 146,442
7,300 PPL Corporation.................................. 160,144
11,033 Public Service Enterprise Group, Inc............. 382,018
15,083 Reliant Energy, Inc.............................. 445,891
33,212 Southern Company................................. 774,255
13,504 TXU Corporation.................................. 398,368
9,075 Unicom Corporation............................... 351,089
-------------
10,277,958
-------------
Natural Gas (.8%)
10,952 Coastal Corporation.............................. 666,703
4,142 Columbia Energy Group............................ 271,819
11,817 El Paso Energy Corporation....................... 601,928
37,484 Enron Corporation................................ 2,417,718
2,355 Nicor, Inc....................................... 76,832
1,500 Oneok, Inc....................................... 38,906
1,755 Peoples Energy Corporation....................... 56,818
10,366 Sempra Energy.................................... 176,222
22,621 The Williams Companies, Inc...................... 943,013
-------------
5,249,959
-------------
Power Products--Industrial ( -- )
7,992 Northern States Power Company.................... 161,339
-------------
Total common stock (cost: $317,896,892)....................... 642,512,993
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (.7%)
$4,334,903 Provident Institutional Funds--TempFund 4,334,903
Portfolio, current rate 6.460%..................
--------------
Total short-term securities (cost: $4,334,903)... 4,334,903
--------------
Total investments in securities
(cost: $322,261,482) (d)........................ $ 646,847,896
==============
</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 4.1% of net assets in foreign securities as of June 30,
2000.
(d) At June 30, 2000 the cost of securities for federal income tax purposes was
$325,157,197. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......................... $ 350,622,253
Gross unrealized depreciation.......................... (28,931,554)
--------------
Net unrealized appreciation............................ $ 321,609,699
==============
</TABLE>
61
<PAGE>
CAPITAL APPRECIATION PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(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 (2.5%)
Chemicals (2.5%)
216,600 Pharmacia Corporation............................ $ 11,195,512
-------------
CAPITAL GOODS (5.7%)
Electrical Equipment (3.8%)
204,900 General Electric Company......................... 10,859,700
71,700 Sanmina Corporation (b).......................... 6,130,350
-------------
16,990,050
-------------
Machinery (.8%)
51,700 Cooper Cameron Corporation (b)................... 3,412,200
-------------
Manufacturing (1.1%)
99,700 Tyco International Limited (c)................... 4,723,287
-------------
COMMUNICATION SERVICES (8.4%)
Cellular (2.3%)
104,200 Nextel Communications, Inc. (b).................. 6,375,737
34,200 Voicestream Wireless Corporation (b)............. 3,977,353
-------------
10,353,090
-------------
Telecommunication (3.1%)
123,800 Metromedia Fiber Network, Inc. (b)............... 4,913,312
137,200 Qwest Communications International, Inc. (b)..... 6,817,125
34,600 Sprint Corporation............................... 1,764,600
-------------
13,495,037
-------------
Telephone (3.0%)
428,300 AT&T Corporation (b)............................. 10,386,275
70,000 Nextlink Communications, Inc. (b)................ 2,655,625
-------------
13,041,900
-------------
CONSUMER CYCLICAL (4.7%)
Houseware (.9%)
15,000 Corning, Inc..................................... 4,048,125
-------------
Publishing (1.7%)
85,800 News Corporation Limited (c)..................... 4,676,100
71,300 Readers Digest Association....................... 2,834,175
-------------
7,510,275
-------------
Retail (1.4%)
36,697 Home Depot, Inc.................................. 1,832,556
75,900 Wal-Mart Stores, Inc............................. 4,373,737
-------------
6,206,293
-------------
Service (.7%)
33,100 Omnicom Group.................................... 2,947,969
-------------
CONSUMER STAPLES (8.0%)
Broadcasting (2.8%)
99,600 Comcast Corporation.............................. 4,033,800
167,700 Crown Media Holdings, Inc. (b)................... 2,567,906
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
51,400 Hispanic Broadcasting Corporation (b)............ $ 1,702,625
109,100 Infinity Broadcasting Corporation (b)............ 3,975,331
-------------
12,279,662
-------------
Entertainment (4.4%)
48,400 Time Warner, Inc................................. 3,678,400
170,817 Viacom, Inc. (b)................................. 11,647,584
102,700 Walt Disney Company.............................. 3,986,044
-------------
19,312,028
-------------
Retail (.8%)
80,400 Safeway, Inc. (b)................................ 3,628,050
-------------
ENERGY (8.7%)
Oil (4.7%)
147,800 BP Amoco PLC (c)................................. 8,359,937
122,400 Devon Energy Corporation......................... 6,877,350
71,600 Exxon Mobile Corporation......................... 5,620,600
-------------
20,857,887
-------------
Oil & Gas (4.0%)
99,800 Apache Finance Property.......................... 5,869,487
39,000 Halliburton Company.............................. 1,840,312
80,500 Nabors Industries, Inc. (b)...................... 3,345,781
77,900 Noble Drilling Corporation (b)................... 3,208,506
30,400 Veritas DGC, Inc. (b)............................ 3,435,675
-------------
17,699,761
-------------
FINANCIAL (11.5%)
Banks (1.8%)
93,700 Northern Trust Corporation....................... 6,096,356
42,100 Wells Fargo & Company............................ 1,631,375
-------------
7,727,731
-------------
Consumer Finance (1.8%)
120,700 American Express Company......................... 6,291,488
69,100 MBNA Corporation................................. 1,874,338
-------------
8,165,826
-------------
Finance--Diversified (3.5%)
221,600 CitiGroup, Inc................................... 13,351,400
50,000 Freddie Mac...................................... 2,025,000
-------------
15,376,400
-------------
Insurance (1.7%)
62,900 American International Group..................... 7,390,750
-------------
Investment Bankers/Brokers (2.7%)
80,000 Lehman Brothers Holdings, Inc.................... 7,565,000
54,000 Morgan Stanley Dean Witter & Company............. 4,495,500
-------------
12,060,500
-------------
</TABLE>
See accompanying notes to investments in securities.
62
<PAGE>
CAPITAL APPRECIATION PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
HEALTH CARE (11.5%)
Biotechnology (2.7%)
36,300 Amgen, Inc. (b).................................. $ 2,550,075
30,400 Genentech, Inc. (b).............................. 5,228,800
62,900 PE Corporation--PE Biosystems Group.............. 4,143,538
-------------
11,922,413
-------------
Drugs (8.4%)
69,700 American Home Products Corporation............... 4,094,875
86,300 Elan Corporation PLC (b)(c)...................... 4,180,156
70,600 Eli Lilly & Company.............................. 7,051,175
54,800 Medimmune, Inc. (b).............................. 4,055,200
323,675 Pfizer, Inc...................................... 15,536,400
18,300 Sepracor, Inc. (b)............................... 2,207,438
-------------
37,125,244
-------------
Medical Products/Supplies (.4%)
34,800 Medtronic, Inc................................... 1,733,475
-------------
TECHNOLOGY (32.6%)
11,365 Agilent Technologies, Inc. (b)................... 838,169
62,800 American Tower Corporation (b)................... 2,617,975
34,600 Analog Devices, Inc. (b)......................... 2,629,600
70,400 Apple Computer, Inc. (b)......................... 3,687,200
34,000 Applied Materials, Inc. (b)...................... 3,081,250
18,400 Applied Micro Circuits Corporation (b)........... 1,817,000
15,300 Brocade Communication Systems, Inc. (b).......... 2,807,311
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
28,400 Ciena Corporation (b)............................ $ 4,733,925
196,300 Cisco Systems, Inc. (b).......................... 12,477,319
32,700 Efficient Networks, Inc. (b)..................... 2,405,494
104,200 EMC Corporation (b).............................. 8,016,888
34,300 Hewlett-Packard Company.......................... 4,283,213
90,200 Intel Corporation................................ 12,058,613
64,900 JDS Uniphase Corporation (b)..................... 7,779,888
82,400 Maxim Integrated Products (b).................... 5,598,050
119,600 Microsoft (b).................................... 9,568,000
98,900 Nokia Oyj (c).................................... 4,938,819
175,100 Nortel Networks Corporation (c).................. 11,950,575
109,100 Oracle Systems (b)............................... 9,171,219
80,900 Palm, Inc. (b)................................... 2,700,038
22,000 PMC-Sierra, Inc. (b)(c).......................... 3,909,125
9,500 SDL, Inc......................................... 2,709,281
14,200 Siebel Systems, Inc. (b)......................... 2,322,588
6,200 Stratos Lightwave, Inc. (b)...................... 172,825
87,100 Sun Microsystems, Inc............................ 7,920,656
89,800 Texas Instruments, Inc........................... 6,168,138
12,100 Verisign, Inc. (b)............................... 2,135,650
65,900 Xilinx, Inc. (b)................................. 5,440,869
-------------
143,939,678
-------------
TRANSPORTATION (.7%)
Railroads (.7%)
36,400 Kansas City Southern Industries, Inc............. 3,228,225
-------------
Total common stock (cost: $321,714,602).................... 416,371,368
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (2.7%)
$11,711,717 Wells Fargo & Company, current rate 5.980%... 11,711,717
--------------
Total short-term securities (cost:
$11,711,717)................................ 11,711,717
--------------
Total investments in securities (cost:
$333,426,319) (d)........................... $ 428,083,085
==============
</TABLE>
Notes to Investments in Securities
-----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held 9.7% of net assets in foreign securities as of June 30,
2000.
(d) At June 30, 2000 the cost of securities for federal income tax purposes was
$336,642,729. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation...................... $ 95,797,006
Gross unrealized depreciation...................... (4,356,650)
---------------
Net unrealized appreciation........................ $ 91,440,356
===============
</TABLE>
63
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
COMMON STOCK (91.1%)
ARGENTINA (1.4%)
Telecommunication (1.4%)
105,700 Telefonica de Argentina ADR...................... $ 3,355,975
61,330 Telefonica de Argentina.......................... 1,947,227
-------------
5,303,202
-------------
AUSTRALIA (2.2%)
Air Freight (.4%)
752,100 Mayne Nickless, Ltd.............................. 1,539,019
Banks (1.8%)
826,818 Australia & New Zealand Bank..................... 6,318,780
-------------
7,857,799
-------------
AUSTRIA (.2%)
Oil & Gas (.1%)
14,100 EVN.............................................. 523,615
Real Estate (.1%)
12,980 Boehler Uddeholm 144A Issue (c).................. 452,978
-------------
976,593
-------------
BERMUDA (1.3%)
Insurance (1.3%)
83,200 XL Capital Ltd................................... 4,503,200
-------------
BRAZIL (3.4%)
Banks (1.7%)
685,900 Banco Bradesco ADR............................... 5,969,456
Oil & Gas (1.2%)
137,900 Petrobras........................................ 4,166,166
Telecommunication (.5%)
99,200 Telecomunicacoes de Sao Paulo ADR................ 1,835,200
-------------
11,970,822
-------------
CANADA (3.8%)
Banks (.4%)
50,000 Imperial Bank Canada............................. 1,373,589
Chemicals (.5%)
212,200 Agrium, Inc...................................... 1,830,225
Mining (1.2%)
185,100 Barrick Gold Corporation......................... 3,346,236
859,900 Kinross Gold Corporation (b)..................... 767,093
Oil & Gas (1.7%)
470,100 Ranger Oil, Ltd.................................. 2,585,550
343,100 Renaissance (b).................................. 3,327,354
-------------
13,230,047
-------------
CHILE (.8%)
Electric Companies (.5%)
132,366 Gener SA......................................... 1,944,126
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
CHILE--CONTINUED
Telecommunication (.3%)
59,500 Compania de Telecomunicaciones de Chile SA ADR... $ 1,078,437
-------------
3,022,563
-------------
FINLAND (3.4%)
Banks (2.2%)
1,106,700 Nordic........................................... 8,029,954
177,073 Stora Enso....................................... 1,622,581
228,200 Stora Enso-Oyj................................... 2,075,139
Paper and Forest (.2%)
107,500 Metsa-Serla B.................................... 793,302
-------------
12,520,976
-------------
FRANCE (9.6%)
Banks (.9%)
35,000 Banque Nationale de Paris ADR 144A Issue (c)..... 3,381,903
Chemicals (2.6%)
125,610 Aventis.......................................... 9,143,867
Investment Bankers/Brokers (2.0%)
45,745 AXA-UAP.......................................... 7,187,134
Oil & Gas (1.7%)
40,717 Total Fina Elf SA................................ 6,226,579
Telecommunication (2.4%)
71,325 Alcatel.......................................... 4,665,806
57,400 Alcatel SA ADR................................... 3,817,100
-------------
34,422,389
-------------
GERMANY (3.5%)
Banks (1.2%)
51,166 Deutsche Bank.................................... 4,209,431
Chemicals (.5%)
49,400 Bayer............................................ 1,919,178
Electric Companies (1.8%)
134,700 E.On............................................. 6,592,633
-------------
12,721,242
-------------
HONG KONG (4.5%)
Aerospace/Defense (.4%)
821,900 Hong Kong Aircraft Engineering................... 1,581,489
Airlines (1.1%)
674,000 Swire Pacific A.................................. 3,942,582
Banks (.9%)
267,042 HSBC Holdings.................................... 3,048,777
Electric Companies (.9%)
965,000 Hong Kong Electric Holdings...................... 3,107,113
Houseware (.3%)
1,519,800 Swire Pacific B.................................. 1,237,987
Investment Bankers/Brokers ( -- )
113,000 Peregrine Investment Holdings.................... --
</TABLE>
See accompanying notes to investments in securities.
64
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
HONG KONG--CONTINUED
Real Estate (.9%)
243,100 Hutchison Whampoa................................ $ 3,056,096
-------------
15,974,044
-------------
INDONESIA (1.3%)
Mining (.7%)
114,300 Anglogold, Ltd. ADR.............................. 2,350,294
Telecommunication (.6%)
183,400 PT Indosat ADR................................... 2,086,175
-------------
4,436,469
-------------
ISRAEL (2.2%)
Drugs (2.2%)
139,900 Teva Pharmaceutical.............................. 7,755,706
-------------
ITALY (1.5%)
Auto (.5%)
63,976 Fiat SPA......................................... 1,655,750
Banks (1.0%)
1,042,200 Banca Nazionale.................................. 3,661,893
-------------
5,317,643
-------------
JAPAN (9.6%)
Drugs (1.3%)
105,000 Ono Pharmaceutical............................... 4,508,351
Electrical Equipment (1.6%)
61,600 Sony Corporation................................. 5,754,836
Investment Bankers/Brokers (2.1%)
305,200 Nomura Securities................................ 7,473,757
Office Equipment (.7%)
77,000 Fujitsu.......................................... 2,666,698
Retail (.7%)
346,000 Best Denki....................................... 2,380,240
Telecommunication (2.0%)
527 Nippon Telephone & Telegraph..................... 7,012,079
Water Utilities (1.2%)
201,000 Kurita Water Industries.......................... 4,428,942
-------------
34,224,903
-------------
MEXICO (2.1%)
Mining (.4%)
540,000 Grupo Mexico Series B............................ 1,526,950
Telecommunication (1.7%)
107,220 Telefonos de Mexico ADR.......................... 6,124,942
-------------
7,651,892
-------------
NETHERLANDS (4.9%)
Chemicals (1.8%)
155,900 Akzo Nobel....................................... 6,605,935
Electrical Equipment (1.3%)
101,660 Philips Electronics.............................. 4,781,952
Investment Bankers/Brokers (1.8%)
94,687 Ing Groep........................................ 6,383,396
-------------
17,771,283
-------------
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
NEW ZEALAND (1.2%)
Telecommunication (1.2%)
1,263,800 Telecom Corporation Of New Zealand............... $ 4,414,737
-------------
NORWAY (1.6%)
Aluminum (.4%)
78,000 Elkem ASA........................................ 1,461,167
Chemicals (1.2%)
106,266 Norsk Hydro...................................... 4,451,191
-------------
5,912,358
-------------
PERU (.4%)
Telecommunication (.4%)
115,900 Telefonicia de Peru ADR.......................... 1,318,363
-------------
PHILIPPINES (.3%)
Telecommunication (.3%)
54,000 Philippine Long Distance ADR..................... 958,500
-------------
PORTUGAL (.4%)
Investment Bankers/Brokers (.4%)
427,800 BPI-SGPS......................................... 1,507,199
-------------
SINGAPORE (.9%)
Air Freight (.2%)
78,000 Singapore Airlines............................... 771,875
Houseware (.4%)
448,568 Jardine Strategic Holding........................ 1,341,218
Paper and Forest (.3%)
226,400 Asia Pulp & Paper, Ltd. ADR...................... 1,146,150
-------------
3,259,243
-------------
SOUTH KOREA (.6%)
Telecommunication (.6%)
45,900 Korea Telecom ADR................................ 2,220,413
-------------
SPAIN (3.4%)
Electric Companies (1.5%)
110,000 Endesa........................................... 2,125,215
250,000 Iberdrola SA..................................... 3,213,675
Oil & Gas (1.9%)
341,000 Repsol........................................... 6,769,999
-------------
12,108,889
-------------
SWEDEN (4.3%)
Auto (1.0%)
35,000 Autoliv, Inc..................................... 860,558
109,900 Autoliv, Inc. ADR................................ 2,644,469
Banks (2.0%)
205,100 Foreningssparbaken............................... 3,011,713
286,500 Svenska Handlesbanken............................ 4,174,388
Publishing (.2%)
114,500 Esselte.......................................... 671,229
Trucks and Parts (1.1%)
178,500 Volvo............................................ 3,891,036
-------------
15,253,393
-------------
</TABLE>
See accompanying notes to investments in securities.
65
<PAGE>
INTERNATIONAL STOCK PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
SWITZERLAND (2.2%)
Banks (1.0%)
18,525 Credit Suisse Group.............................. $ 3,681,854
Investment Bankers/Brokers (1.2%)
8,350 Zurich Allied.................................... 4,122,068
-------------
7,803,922
-------------
THAILAND (.2%)
Banks (.2%)
699,600 Bangkok Bank 144A Issue (c)...................... 857,309
-------------
UNITED KINGDOM (19.3%)
Aerospace/Defense (1.0%)
562,102 British Aerospace................................ 3,512,072
Airlines (1.3%)
832,600 British Airways PLC.............................. 4,798,120
Auto (1.2%)
1,244,600 Rolls-Royce...................................... 4,426,125
Banks (.8%)
118,943 Barclays......................................... 2,963,654
Chemicals (4.2%)
409,400 Celltech Group................................... 7,947,103
202,490 Hanson PLC....................................... 1,434,074
575,580 Nycomed Amersham................................. 5,558,571
Construction (.2%)
257,100 Hepworth......................................... 734,961
Electric Companies (.4%)
208,775 National Power................................... 1,332,943
Electrical Equipment (1.1%)
1,083,213 Invensys PLC..................................... 4,073,959
Engineering/Construction (.1%)
190,368 Fairview Holdings................................ 422,944
Food (1.8%)
554,300 J Sainsbury PLC.................................. 2,521,838
322,900 Tate & Lyle...................................... 1,615,969
372,000 Unilever PLC..................................... 2,256,597
Hardware and Tools (1.3%)
780,400 Williams PLC..................................... 4,556,476
Houseware (.2%)
690,000 Elementis........................................ 821,429
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
UNITED KINGDOM--CONTINUED
Insurance (1.1%)
323,100 Allied Zurich.................................... $ 3,829,279
Iron and Steel (.9%)
2,082,500 Corus Group PLC.................................. 3,047,638
Natural Gas (.7%)
738,990 Centrica PLC..................................... 2,471,145
Oil & Gas (1.6%)
703,100 Shell Transportation & Trading................... 5,880,492
Retail (.8%)
534,300 Marks & Spencer.................................. 1,881,880
1,460,200 Storehouse....................................... 952,208
Water Utilities (.6%)
168,500 Hyder PLC........................................ 794,715
104,762 Thames Water..................................... 1,358,379
-------------
69,192,571
-------------
VENEZUELA (.6%)
Telecommunication (.6%)
74,300 Compania Anonima National Telefonos de 2,020,031
Venezuela.......................................
-------------
Total common stock (cost: $272,154,882)....................... 326,487,701
-------------
</TABLE>
<TABLE>
<C> <S> <C>
PREFERRED STOCK (1.5%)
GERMANY (.1%)
Houseware (.1%)
46,192 Moebel Walther................................... 527,808
-------------
ITALY (1.3%)
Telecommunication (1.3%)
694,300 Telecom Italia SPA............................... 4,594,732
-------------
UNITED KINGDOM (.1%)
Water Utilities (.1%)
137,700 Hyder PLC........................................ 199,429
-------------
Total preferred stock (cost: $3,146,174)...................... 5,321,969
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (7.0%)
$4,895,672 Bankers Trust Institutional Liquid Assets, 4,895,672
current rate 6.460%.............................
5,020,000 U.S. Treasury Bill........... 5.670% 07/13/2000 5,010,023
8,145,000 U.S. Treasury Bill........... 5.610% 07/27/2000 8,113,404
7,150,000 U.S. Treasury Bill........... 5.980% 08/10/2000 7,105,539
--------------
Total short-term securities (cost:
$25,124,899).................................... 25,124,638
--------------
Total investments in securities (cost:
$300,425,955) (d)............................... $ 356,934,308
==============
</TABLE>
See accompanying notes to investments in securities.
66
<PAGE>
INTERNATIONAL STOCK 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) Represents ownership in an illiquid security. (See note 7 to the financial
statements.) Information concerning the illiquid securities held at
June 30, 2000, which includes acquistion date and cost, is as follows:
<TABLE>
<CAPTION>
ACQUISTION
SECURITY DATE COST
-------- ---------- --------------
<S> <C> <C>
Banque Nationale De Paris ADR 144A Issue*....... various $ 1,470,320
Bohler-Uddeholm 144A Issue*..................... various 824,910
Bangkok Bank 144A Issue*........................ various 1,700,078
-------------
$ 3,995,308
=============
*A 144A Issue represents a security which has not been registered with the
Security and Exchange Commission under the Securities Act of 1933.
</TABLE>
(d) At June 30, 2000 the cost of securities for federal income tax purposes was
$306,032,650. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......................... $ 90,781,015
Gross unrealized depreciation.......................... (39,879,357)
--------------
Net unrealized appreciation............................ $ 50,901,658
==============
</TABLE>
67
<PAGE>
SMALL COMPANY GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
COMMON STOCK (93.7%)
COMMUNICATION SERVICES (4.1%)
Cellular (.9%)
37,622 Powertel, Inc. (b)............................... $ 2,668,811
-------------
Telecommunication (2.8%)
75,901 CTC Communications Group, Inc. (b)............... 2,732,436
35,223 Polycom, Inc. (b)................................ 3,314,264
69,681 Viatel, Inc. (b)................................. 1,990,264
-------------
8,036,964
-------------
Telephone (.4%)
23,800 Advanced Fibre Communication, Inc. (b)........... 1,078,437
-------------
CONSUMER CYCLICAL (4.5%)
Retail (1.9%)
31,700 Ames Dept Stores, Inc. (b)....................... 245,675
65,000 Ann Taylor Stores Corporation (b)................ 2,153,125
63,384 Marimba, Inc. (b)................................ 883,414
86,345 Valuevision International, Inc. (b).............. 2,072,280
-------------
5,354,494
-------------
Service (2.6%)
129,614 Acxiom Corporation (b)........................... 3,531,981
58,200 Circus Circus (b)................................ 1,164,000
71,712 Getty Images, Inc. (b)........................... 2,657,826
-------------
7,353,807
-------------
CONSUMER STAPLES (1.1%)
Entertainment (1.1%)
149,368 American Classic Voyages Company (b)............. 3,080,715
-------------
ENERGY (9.0%)
Oil (.8%)
137,300 Petroleum Geo-Services (b)(c).................... 2,342,681
-------------
Oil & Gas (8.2%)
59,483 BJ Services Company (b).......................... 3,717,687
98,385 Global Marine, Inc. (b).......................... 2,773,227
84,400 Precision Drilling Corporation (b)(c)............ 3,259,950
129,700 SEACOR SMIT, Inc. (b)............................ 5,017,769
63,243 Smith International, Inc. (b).................... 4,604,881
67,796 Stone Energy Corporation......................... 4,050,811
-------------
23,424,325
-------------
FINANCIAL (1.9%)
Auto Finance (.6%)
98,800 AmeriCredit Corporation (b)...................... 1,679,600
-------------
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
FINANCIAL--CONTINUED
Insurance (.8%)
115,800 Fidelity National Finance........................ $ 2,120,587
11,400 Mid Atlantic Medical Services, Inc. (b).......... 153,900
-------------
2,274,487
-------------
Investment Bankers/Brokers (.5%)
60,198 Frontline Capital Group (b)...................... 1,282,970
-------------
HEALTH CARE (16.8%)
Biotechnology (7.0%)
21,392 Abegenix, Inc. (b)............................... 2,564,032
39,908 Gilead Sciences, Inc. (b)........................ 2,838,456
22,688 Idec Pharmaceuticals Corporation (b)............. 2,661,586
61,949 Lynx Therapeutics, Inc. (b)...................... 2,946,449
30,356 Maxygen, Inc. (b)................................ 1,723,177
30,000 Medarex, Inc. (b)................................ 2,535,000
40,768 Millennium Pharmaceuticals, Inc. (b)............. 4,560,920
-------------
19,829,620
-------------
Drugs (1.8%)
26,200 Alkermes, Inc. (b)............................... 1,150,618
70,535 Medicis Pharmaceutical Corporation (b)........... 4,020,495
-------------
5,171,113
-------------
Hospital Management (3.5%)
115,805 Province Healthcare Company (b).................. 4,183,456
88,877 Universal Health Services, Inc. (b).............. 5,865,882
-------------
10,049,338
-------------
Managed Care (3.7%)
153,894 Advance Paradigm, Inc. (b)....................... 3,154,827
310,900 Caremark Rx, Inc. (b)............................ 2,118,006
220,810 Oxford Health Plans (b).......................... 5,258,038
-------------
10,530,871
-------------
Medical Products/Supplies (.8%)
44,656 Cytyc Corporation (b)............................ 2,383,514
-------------
TECHNOLOGY (53.7%)
47,700 Aboutcom, Inc. (b)............................... 1,502,550
110,854 Adapative Broadband Corporation (b).............. 4,073,884
51,300 Allaire Corporation (b).......................... 1,885,275
94,310 Alpha Industries, Inc. (b)....................... 4,155,534
126,511 Anadigics, Inc. (b).............................. 4,309,264
60,100 Anaren Microwave, Inc. (b)....................... 7,887,186
96,825 Antec Corporation (b)............................ 4,024,289
147,397 Applied Power, Inc............................... 4,937,800
40,116 AudioCodes, Ltd. (b)............................. 4,813,920
</TABLE>
See accompanying notes to investments in securities.
68
<PAGE>
SMALL COMPANY GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
110,455 Backweb Technologies, Ltd. (b)(c)................ $ 2,526,658
42,544 Bisys Group, Inc. (b)............................ 2,616,456
47,869 Bluestone Software, Inc. (b)..................... 1,229,635
31,174 Business Objects SA (b)(c)....................... 2,747,209
86,800 C-Cube Microsystems, Inc. (b).................... 1,703,450
6,291 Clarus Corporation (b)........................... 244,563
49,400 Coherent, Inc. (b)............................... 4,143,425
26,560 Cree, Inc. (b)................................... 3,545,760
61,316 Cymer, Inc. (b).................................. 2,927,839
31,300 Digital Island, Inc. (b)......................... 1,521,963
61,082 Documentum, Inc. (b)............................. 5,459,204
82,423 Dupont Photomasks, Inc. (b)...................... 5,645,976
21,700 Emcore Corporation (b)........................... 2,604,000
17,700 Exar Corporation (b)............................. 1,543,219
149,410 Gasonics International Corporation (b)........... 5,892,357
44,784 Gene Logic, Inc. (b)............................. 1,598,229
36,600 Gilat Satellite Networks, Ltd. (b)(c)............ 2,539,125
10,700 Informatica Corporation (b)...................... 876,731
69,829 Interlink Electronics, Inc. (b).................. 2,924,089
153,628 Intranet Solutions, Inc. (b)..................... 5,895,475
52,261 IONA Technologies PLC (b)(c)..................... 3,292,443
133,116 Manugistics Group, Inc. (b)...................... 6,223,173
22,400 MRV Communications, Inc. (b)..................... 1,506,400
13,300 Netro Corporation (b)............................ 763,088
67,837 Orbotech, Ltd. (b)(c)............................ 6,300,361
122,226 Peregrine Systems, Inc. (b)...................... 4,239,714
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
89,382 Photronics, Inc. (b)............................. $ 2,536,214
76,313 Powerwave Technologies, Inc. (b)................. 3,357,772
30,600 Proxim, Inc. (b)................................. 3,028,444
43,300 Puma Technology, Inc. (b)........................ 1,160,981
40,919 QRS Corporation (b).............................. 1,005,073
123,700 Radiant Systems, Inc. (b)........................ 2,968,800
65,900 Remedy Corporation (b)........................... 3,673,925
11,500 RSA Security, Inc. (b)........................... 794,938
43,300 Santa Cruz Operation, Inc. (b)................... 276,038
87,998 Sea Change International, Inc. (b)............... 2,540,942
42,000 Spyglass, Inc. (b)............................... 1,315,125
147,787 Sybase, Inc. (b)................................. 3,399,101
80,212 Tekelec (b)...................................... 3,865,216
37,778 Transwitch Corporation (b)....................... 2,915,989
131,800 Unify Corporation (b)............................ 1,128,538
73,600 Westell Technologies, Inc. (b)................... 1,104,000
-------------
153,171,340
-------------
TRANSPORTATION (2.6%)
Air Freight (2.6%)
191,971 Airborne Freight Corporation..................... 3,635,451
124,610 EGL, Inc......................................... 3,831,758
-------------
7,467,209
-------------
Total common stock
(cost: $241,483,469)......................................... 267,180,296
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (5.9%)
$ 2,282 Provident Institutional Funds--TempFund 2,282
Portfolio, current rate 6.460%..................
6,000,000 U.S. Treasury Bill........... 5.843% 07/06/2000 5,997,485
5,292,000 U.S. Treasury Bill........... 6.074% 09/14/2000 5,231,158
5,708,478 Wells Fargo & Company........ 7.552% 5,708,478
--------------
Total short-term securities (cost:
$16,932,733).................................... 16,939,403
--------------
Total investments in securities (cost:
$258,416,201) (d)............................... $ 284,119,699
==============
</TABLE>
Notes to Investments in Securities
-----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held 8.1% of net assets in foreign securities as of June 30,
2000.
(d) At June 30, 2000 the cost of securities for federal income tax purposes was
$258,576,651. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.............................. $ 69,935,059
Gross unrealized depreciation.............................. (44,392,011)
--------------
Net unrealized appreciation................................ $ 25,543,048
==============
</TABLE>
69
<PAGE>
MATURING GOVERNMENT BOND 2002 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
--------- --------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (99.7%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (99.7%)
$1,085,000 Federal Home Loan Mortgage Corporation Strip $ 940,261
(b)............................................. 4.835% 08/15/02
1,150,000 Financial Corporation Strip (b).................. 6.273% 04/06/02 1,023,901
650,000 Financial Corporation Strip (b).................. 6.763% 08/03/03 527,253
281,000 FNMA Strip (b)................................... 5.370% 05/29/03 231,726
425,000 FNMA Strip (b)................................... 6.367% 08/01/03 345,661
500,000 FNMA Strip (b)................................... 5.250% 08/15/03 405,730
182,000 Israel Government Trust Certificates (b)......... 7.030% 05/15/02 161,077
250,000 Israel Government Trust Certificates (b)......... 5.530% 11/15/02 215,420
1,150,000 Tennessee Valley Authority Strip (b)............. 7.400% 04/15/03 944,597
900,000 U.S. Treasury Principal Strip (b)................ 6.634% 11/15/01 824,651
600,000 U.S. Treasury Principal Strip (b)................ 6.784% 08/15/02 524,616
690,000 U.S. Treasury Principal Strip (b)................ 6.211% 02/15/03 585,085
2,050,000 U.S. Treasury Strip (b).......................... 5.902% 02/15/03 1,745,368
-------------
Total U.S. government and agencies obligations (cost: $8,582,541).... 8,475,346
-------------
Total long-term debt securities (cost: $8,582,541)................... 8,475,346
-------------
SHORT-TERM SECURITIES (.3%)
29,355 Trust for Federal Securities--Federal Trust Fund, current rate 29,355
6.460%..............................................................
-------------
Total short-term securities (cost: $29,355).......................... 29,355
-------------
Total investments in securities (cost: $8,611,896) (c)............... $ 8,504,701
=============
</TABLE>
Notes to Investments in Securities
-----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) For zero coupon issues (strips) the interest rate disclosed is the effective
yield at the date of acquisition.
(c) At June 30, 2000 the cost of securities for federal income tax purposes was
$8,613,466. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.............................................. $ 8,450
Gross unrealized depreciation.............................................. (117,215)
--------------
Net unrealized depreciation................................................ $ (108,765)
==============
</TABLE>
70
<PAGE>
MATURING GOVERNMENT BOND 2006 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
--------- --------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (99.1%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (99.1%)
$ 686,000 Financial Corporation Strip (b).................. 5.142% 11/11/06 $ 446,345
921,000 Financial Corporation Strip (b).................. 7.647% 09/07/07 564,268
810,000 FNMA Strip (b)................................... 7.620% 08/01/05 573,811
613,000 FNMA Strip (b)................................... 5.745% 04/08/07 390,505
553,000 Israel Government Trust Certificate (b).......... 7.440% 11/15/05 387,653
1,000,000 Israel State Aid Strip (b)....................... 6.578% 11/15/06 666,959
1,000,000 Resolution Funding Corporation Strip (b)......... 7.461% 07/15/07 635,089
2,475,000 U.S. Treasury Strip (b).......................... 6.644% 11/15/06 1,687,156
1,060,000 U.S. Treasury Strip (b).......................... 5.692% 02/15/07 707,178
-------------
Total U.S. government and agencies obligations (cost: $6,004,993).... 6,058,964
-------------
Total long-term debt securities (cost: $6,004,993)................... 6,058,964
-------------
SHORT-TERM SECURITIES (.8%)
47,982 Trust for Federal Securities--Federal Trust Fund, current rate 47,982
6.460%..............................................................
-------------
Total short-term securities (cost: $47,982).......................... 47,982
-------------
Total investments in securities (cost: $6,052,975) (c)............... $ 6,106,946
=============
</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) Also represents the cost of securities for federal income tax purposes at
June 30, 2000.
71
<PAGE>
MATURING GOVERNMENT BOND 2010 PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
--------- --------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (99.0%)
U.S. GOVERNMENT AND AGENCIES OBLIGATIONS (99.0%)
$ 412,000 Financial Corporation Strip (b).................. 5.490% 11/02/10 $ 201,484
945,000 Financial Corporation Strip (b).................. 7.920% 08/08/11 436,561
719,000 FNMA Strip (b)................................... 6.000% 11/29/09 382,651
950,000 FNMA Strip (b)................................... 5.695% 09/23/10 477,279
132,000 Israel Government Trust Certificate (b).......... 7.660% 05/15/10 67,849
515,000 Israel State Aid Strip (b)....................... 8.264% 03/15/10 272,759
1,100,000 Israel State Aid Strip (b)....................... 6.850% 08/15/11 530,375
550,000 Resolution Funding Corporation Strip (b)......... 6.537% 04/15/11 271,347
524,000 Turkey Government Trust Certificate (b).......... 6.687% 11/15/10 260,931
2,000,000 U.S. Treasury Strip (b).......................... 6.202% 05/15/10 1,088,658
750,000 U.S. Treasury Strip (b).......................... 6.635% 02/15/11 389,774
905,000 U.S. Treasury Strip (b).......................... 6.354% 08/15/11 455,558
-------------
Total U.S. government and agencies obligations (cost: $4,838,359)..... 4,835,226
-------------
Total long-term debt securities (cost: $4,838,359).................... 4,835,226
-------------
SHORT-TERM SECURITIES (1.2%)
56,600 Trust for Federal Securities--Federal Trust Fund, current rate 56,600
6.460%...............................................................
-------------
Total short-term securities (cost: $56,600)........................... 56,600
-------------
Total investments in securities (cost: $4,894,959) (c)................ $ 4,891,826
=============
</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) Also represents the cost of securities for federal income tax purposes at
June 30, 2000.
72
<PAGE>
VALUE STOCK PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(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 (4.4%)
Aluminum (1.0%)
55,796 Alcoa Aluminio................................... $ 1,618,084
-------------
Chemicals (1.3%)
44,533 E.I. DuPont de Nemours & Company................. 1,948,319
10,700 Lyondell Petrochemical Company................... 179,225
-------------
2,127,544
-------------
Mining (.9%)
38,400 Phelps Dodge Corporation......................... 1,428,000
-------------
Paper and Forest (1.2%)
65,300 International Paper Company...................... 1,946,756
-------------
CAPITAL GOODS (3.8%)
Electrical Equipment (.9%)
27,000 General Electric Company......................... 1,431,000
-------------
Machinery (1.2%)
55,000 Deere & Company.................................. 2,035,000
-------------
Manufacturing (.7%)
14,500 Minnesota Mining and Manufacturing............... 1,196,250
-------------
Office Equipment (1.0%)
24,400 Lexmark International Group, Inc. (b)............ 1,640,900
-------------
COMMUNICATION SERVICES (17.8%)
Telecommunication (4.2%)
42,100 Adelphia Business Solutions, Inc. (b)............ 976,194
24,400 MCI Worldcom, Inc. (b)........................... 1,119,350
64,700 Sprint Corporation............................... 3,299,700
24,300 Sprint Corporation PCS (b)....................... 1,445,850
-------------
6,841,094
-------------
Telephone (13.6%)
93,337 AT&T Corporation (b)............................. 2,951,783
26,300 AT&T Corporation (b)............................. 733,112
80,950 Bellsouth Corporation............................ 3,450,494
86,070 GTE Corporation.................................. 5,357,857
53,400 Nextlink Communications, Inc. (b)................ 2,025,862
118,710 SBC Communications, Inc.......................... 5,134,207
30,200 US West, Inc. (b)................................ 2,589,650
-------------
22,242,965
-------------
CONSUMER CYCLICAL (4.5%)
Auto (1.7%)
41,265 Ford Motor Company............................... 1,774,395
17,072 General Motors Corporation....................... 991,243
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
1,244 Visteon Corporation.............................. $ 15,083
-------------
2,780,721
-------------
Broadcasting (1.1%)
72,800 AT&T Corporation--Liberty Media Group (b)........ 1,765,400
-------------
Retail (.5%)
15,300 Wal-Mart Stores, Inc............................. 881,662
-------------
Service (1.2%)
142,875 Cendant Corporation (b).......................... 2,000,250
-------------
CONSUMER STAPLES (4.8%)
Entertainment (4.3%)
10,400 Time Warner, Inc. (b)............................ 790,400
20,900 Time Warner, Inc................................. 1,345,437
30,271 Viacom, Inc. (b)................................. 2,064,104
73,300 Walt Disney Company.............................. 2,844,956
-------------
7,044,897
-------------
Food (.5%)
39,500 Flowers Industries, Inc.......................... 787,531
-------------
ENERGY (14.0%)
Oil (10.0%)
47,683 BP Amoco PLC (c)................................. 2,697,070
31,420 Chevron Corporation.............................. 2,664,809
24,700 Diamond Offshore Drilling, Inc................... 867,587
117,852 Exxon Mobile Corporation......................... 9,251,381
16,300 Royal Dutch Petroleum Company (c)................ 1,003,469
-------------
16,484,316
-------------
Oil & Gas (4.0%)
62,800 Baker Hughes, Inc................................ 2,009,600
29,700 Global Marine, Inc. (b).......................... 837,169
47,500 Nabors Industries, Inc. (b)...................... 1,974,219
10,500 Santa Fe International Corporation............... 366,844
25,900 Transocean Offshore, Inc......................... 1,384,031
-------------
6,571,863
-------------
FINANCIAL (27.7%)
Auto Finance (.6%)
29,800 Fleet Boston Financial Corporation............... 1,013,200
-------------
Banks (5.0%)
66,880 Bank Of America Corporation...................... 2,875,840
55,522 Chase Manhattan Corporation...................... 2,557,482
73,600 Wells Fargo & Company............................ 2,852,000
-------------
8,285,322
-------------
</TABLE>
See accompanying notes to investments in securities.
73
<PAGE>
VALUE STOCK PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
FINANCIAL--CONTINUED
Consumer Finance (3.1%)
35,100 American Express Company......................... $ 1,829,587
74,900 Capital One Financial Corporation................ 3,342,412
-------------
5,171,999
-------------
15,900 Diamonds Trust................................... 1,659,562
-------------
Finance--Diversified (8.2%)
131,430 CitiGroup, Inc................................... 7,918,658
84,110 Federal National Mortgage Association............ 4,389,491
28,500 Freddie Mac...................................... 1,154,250
-------------
13,462,399
-------------
Insurance (5.0%)
44,300 American International Group..................... 5,205,250
89,000 Nationwide Financial Services, Inc............... 2,925,875
-------------
8,131,125
-------------
Investment Bankers/Brokers (4.1%)
21,100 Merrill Lynch & Company, Inc..................... 2,426,500
50,810 Morgan Stanley Dean Witter & Company............. 4,229,933
-------------
6,656,433
-------------
Real Estate Investment Trust (.7%)
49,300 Highwoods Properties, Inc........................ 1,183,200
-------------
HEALTH CARE (3.5%)
Drugs (2.6%)
51,300 Pfizer, Inc...................................... 2,462,400
36,300 Schering Plough Corporation...................... 1,833,150
-------------
4,295,550
-------------
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
HEALTH CARE--CONTINUED
Health Care--Diversified (.9%)
32,400 Abbott Laboratories.............................. $ 1,443,825
-------------
TECHNOLOGY (12.3%)
35,700 American Tower Corporation (b)................... 1,488,244
8,100 Computer Associates International, Inc........... 414,619
11,400 EMC Corporation (b).............................. 877,088
25,400 Gateway, Inc. (b)................................ 1,441,450
13,600 Hewlett-Packard Company.......................... 1,698,300
7,000 Intel Corporation................................ 935,813
18,340 International Business Machines Corporation...... 2,009,376
39,900 Lam Research Corporation (b)..................... 1,496,250
18,300 Lucent Technologies, Inc......................... 1,084,275
60,900 McLeodUSA, Inc. (b).............................. 1,259,869
48,500 Microsoft (b).................................... 3,880,000
70,200 Motorola, Inc.................................... 2,040,188
14,400 Nokia Oyj (c).................................... 719,100
11,800 Texas Instruments, Inc........................... 810,513
-------------
20,155,085
-------------
UTILITIES (4.6%)
Electric Companies (3.3%)
60,000 AES Corporation (b).............................. 2,737,500
67,400 PECO Energy Company.............................. 2,717,063
-------------
5,454,563
-------------
Natural Gas (1.3%)
32,500 Enron Corporation................................ 2,096,249
-------------
Total common stock (cost: $148,624,679)....................... 159,832,745
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (1.5%)
$2,536,217 Provident Institutional Funds--TempFund 2,536,217
Portfolio, current rate 6.460%..................
--------------
Total short-term securities (cost: $2,536,217)... 2,536,217
--------------
Total investments in securities (cost:
$151,160,896) (d)............................... $ 162,368,962
==============
</TABLE>
Notes to Investments in Securities
-----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held 2.7% of net assets in foreign securities as of June 30,
2000.
(d) At June 30, 2000 the cost of securities for federal income tax purposes was
$153,388,108. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......................... $ 20,930,151
Gross unrealized depreciation.......................... (11,949,297)
--------------
Net unrealized appreciation............................ $ 8,980,854
==============
</TABLE>
74
<PAGE>
SMALL COMPANY VALUE PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
COMMON STOCK (96.4%)
BASIC MATERIALS (10.3%)
Chemicals (9.3%)
34,487 Agrium, Inc. (c)................................. $ 297,450
24,000 American Pacific Corporation (b)................. 135,000
1,839 Bush Boake Allen, Inc. (b)....................... 80,456
1,500 Cabot Microcelectronics Corporation (b).......... 68,625
5,700 Cambrex Corporation.............................. 256,500
11,406 Lilly Industries, Inc............................ 342,893
14,000 Stepan Company................................... 325,500
-------------
1,506,424
-------------
Iron and Steel (.4%)
2,814 Belden, Inc...................................... 72,109
-------------
Paper and Forest (.6%)
9,000 Packaging Corporation of America (b)............. 91,125
-------------
CAPITAL GOODS (14.7%)
Aerospace/Defense (2.2%)
26,000 BE Aerospace, Inc. (b)........................... 178,750
1,695 Curtiss Wright Corporation....................... 63,033
5,500 Primex Technologies, Inc......................... 121,000
-------------
362,783
-------------
Electrical Equipment (.3%)
900 Capstone Turbine Corporation (b)................. 40,556
-------------
Machinery (4.4%)
10,033 CTB International Corporation (b)................ 67,723
18,000 Denison International PLC (b)(c)................. 227,250
18,800 JLG Industries, Inc.............................. 223,250
19,000 Wabtec Corporation............................... 197,125
-------------
715,348
-------------
Manufacturing (4.5%)
15,000 Gentek, Inc...................................... 167,812
1,887 GSI Group, Inc. (b).............................. 66,281
8,277 Hawk Corporation (b)............................. 62,595
10,600 Specialty Equipment Companies, Inc. (b).......... 287,525
5,843 Steelcase, Inc................................... 99,331
2,965 Wolverine Tube, Inc. (b)......................... 50,405
-------------
733,949
-------------
Metal Fabrication (3.3%)
13,000 ABC-NACO, Inc. (b)............................... 104,000
19,475 Ladish Company, Inc. (b)......................... 189,881
8,000 Lindberg Corporation............................. 57,000
5,354 Penn Engineering & Manufacturing Corporation..... 188,728
-------------
539,609
-------------
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
COMMUNICATION SERVICES (.5%)
Cellular (.1%)
1,400 UbiquiTel, Inc. (b).............................. $ 13,212
-------------
Telecommunication (.4%)
2,110 Allied Riser Communications Corporation (b)...... 29,804
3,257 Channell Commercial Corporation (b).............. 39,084
-------------
68,888
-------------
CONSUMER CYCLICAL (27.8%)
Auto (7.7%)
6,000 American Axle & Manufacturing Holdings (b)....... 85,125
13,000 Borg-Warner Automotive, Inc...................... 456,625
11,572 Dura Automotive Systems, Inc. (b)................ 125,122
15,821 Federal Mogul Corporation........................ 151,288
3,080 Intermet Corporation............................. 21,175
35,000 Simpson Industries, Inc.......................... 263,594
28,000 Titan International, Inc. (b).................... 148,750
-------------
1,251,679
-------------
Building Materials (.4%)
3,028 Nortek, Inc. (b)................................. 59,803
-------------
2,956 Geon Company..................................... 54,686
-------------
Leisure (4.4%)
17,000 International Game Technology (b)................ 450,500
15,800 Steinway Musical Instruments, Inc. (b)........... 260,700
-------------
711,200
-------------
Lodging--Hotel (.6%)
3,075 MGM Grand, Inc................................... 98,784
-------------
Photography/Imagery (.3%)
2,553 CPI Corporation.................................. 53,932
-------------
Publishing (4.4%)
8,000 A.H. Belo Corporation............................ 138,500
28,000 Hollinger International, Inc..................... 381,500
7,000 R.H. Donnelley Corporation....................... 200,375
-------------
720,375
-------------
Retail (2.5%)
20,000 Bradlees, Inc. (b)............................... 112,500
8,000 Consolidated Stores Corporation (b).............. 96,000
4,300 OshKosh BGosh, Inc............................... 70,412
1,236 Ritchie Brothers Auctioneers, Inc. (b)(c)........ 29,587
3,289 Whitehall Jewellers, Inc. (b).................... 61,258
2,511 Wilsons The Leather Experts, Inc. (b)............ 36,880
-------------
406,637
-------------
</TABLE>
See accompanying notes to investments in securities.
75
<PAGE>
SMALL COMPANY VALUE PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Service (7.0%)
8,500 Anchor Gaming (b)................................ $ 407,469
5,000 Argosy Gaming Company (b)........................ 71,875
6,000 Circus Circus (b)................................ 120,000
3,200 Exult, Inc. (b).................................. 32,000
24,000 Harrahs Entertainment, Inc. (b).................. 502,500
300 ValueClick, Inc. (b)............................. 3,075
-------------
1,136,919
-------------
Textiles (.2%)
4,173 Polymer Group, Inc............................... 38,600
-------------
CONSUMER STAPLES (4.8%)
Agriculture Products (.8%)
4,700 Corn Products International, Inc................. 124,550
-------------
Beverage (.5%)
2,100 Beringer Wine Estates Holdings, Inc. (b)......... 74,156
-------------
Broadcasting (.5%)
12,000 Interep National Radio Sales, Inc. (b)........... 63,750
2,483 Salem Communications Corporation (b)............. 23,045
-------------
86,795
-------------
Entertainment (1.7%)
11,000 Championship Auto Racing Teams, Inc. (b)......... 280,500
-------------
Restaurants (.6%)
30,000 Zapata Corporation (b)........................... 93,750
-------------
Service (.7%)
5,676 Amerco, Inc. (b)................................. 113,520
-------------
ENERGY (9.6%)
Oil & Gas (9.6%)
8,100 Basin Exploration, Inc. (b)...................... 144,788
2,100 Cabot Oil & Gas Corporation...................... 44,494
27,300 Canadian 88 Energy Corporation (b)(c)............ 56,306
2,200 Cross Timbers Oil Company........................ 48,675
3,700 HS Resources, Inc. (b)........................... 111,000
16,024 Ocean Energy, Inc. (b)........................... 227,340
3,700 OSCA, Inc. (b)................................... 62,437
8,000 Plains Resources, Inc. (b)....................... 127,500
7,122 Pure Resources, Inc. (b)......................... 127,306
30,000 Ranger Oil, Ltd. (b)(c).......................... 165,000
21,000 Western Gas Resources, Inc....................... 441,000
-------------
1,555,846
-------------
FINANCIAL (8.9%)
Banks (.8%)
7,670 Staten Island Bancorp, Inc....................... 135,184
-------------
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
FINANCIAL--CONTINUED
Finance--Diversified (.5%)
4,318 Dollar Thrifty Auto Group, Inc. (b).............. $ 79,613
-------------
Insurance (5.2%)
18,258 ACE, Ltd. (c).................................... 511,224
2,500 Everest Re Group, Ltd............................ 82,187
1,986 PartnerRe, Ltd. (c).............................. 70,379
4,300 RenaissanceRe Holding, Ltd....................... 187,319
-------------
851,109
-------------
Real Estate Investment Trust (.4%)
5,274 Entertainment Properties Trust................... 72,847
-------------
Savings and Loans (2.0%)
18,059 PBOC Holdings, Inc. (b).......................... 153,501
8,998 Richmond County Financial Corporation............ 172,087
-------------
325,588
-------------
HEALTH CARE (2.2%)
Biotechnology (.9%)
1,465 Aviron (b)....................................... 45,232
400 Charles River Laboratories International......... 8,875
900 Intermune Pharmaceuticals, Inc. (b).............. 37,181
4,318 Invivo Corporation (b)........................... 47,498
-------------
138,786
-------------
Drugs (.3%)
1,700 Sangstat Medical Corporation (b)................. 49,088
-------------
Hospital Management (.2%)
2,000 Community Health Systems (b)..................... 32,375
-------------
Medical Products/Supplies (.8%)
4,000 Aradigm Corporation (b).......................... 70,000
2,200 Cepheid, Inc. (b)................................ 19,388
1,400 Conmed Corporation (b)........................... 36,225
-------------
125,613
-------------
TECHNOLOGY (14.7%)
200 Accelerated Networks, Inc........................ 8,438
3,100 Accord Networks, Inc. (b)(c)..................... 28,675
999 ADC Telecommunications, Inc. (b)................. 83,791
933 Alamosa PCS Holdings, Inc. (b)................... 19,476
2,300 August Technology Corporation (b)................ 37,806
9,600 BEI Technologies, Inc............................ 245,400
12,000 Bell & Howell Company (b)........................ 291,000
1,100 Click Commerce, Inc. (b)......................... 24,888
5,600 Coherent, Inc. (b)............................... 469,700
1,400 eFunds Corporation (b)........................... 16,275
300 ExFo Electro-Optical Engineering, Inc. (b)(c).... 13,163
3,000 Fair Issac & Company............................. 132,000
400 FairMarket, Inc. (b)............................. 2,825
</TABLE>
See accompanying notes to investments in securities.
76
<PAGE>
SMALL COMPANY VALUE PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
8,000 Hutchinson Technology, Inc. (b).................. $ 114,000
3,700 Imation Corporation (b).......................... 108,688
700 Infineon Technologies Ag (b)(c).................. 55,475
2,956 L-3 Communications Holdings, Inc. (b)............ 168,677
1,171 Lifeminders.com, Inc. (b)........................ 34,618
500 Manufacturers' Services, Ltd. (b)................ 10,281
200 Marvell Technology Group, Ltd. (c)............... 11,400
600 Mobility Electronics, Inc. (b)................... 7,200
1,056 Nogatech, Inc. (b)............................... 6,996
5,100 Nova Measuring Instruments, Ltd. (b)............. 81,919
2,600 Pixelworks, Inc. (b)............................. 59,150
900 Precise Software Solutions, Ltd. (b)............. 21,600
1,900 SCG Holding Corporation (b)...................... 41,563
2,249 Spectrasite Holdings, Inc. (b)................... 63,815
100 StorageNetworks, Inc............................. 9,025
500 Stratos Lightwave, Inc........................... 13,938
5,600 Thomas and Betts Corporation..................... 107,100
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
3,000 UTStarom, Inc. (b)............................... $ 91,125
100 Virage, Inc...................................... 1,806
100 Websense, Inc. (b)............................... 2,513
-------------
2,384,326
-------------
TRANSPORTATION (1.9%)
Air Freight (.4%)
14,000 AirNet Systems, Inc. (b)......................... 63,875
-------------
Airlines (1.0%)
28,000 Mesa Air Group, Inc. (b)......................... 154,875
-------------
Railroads (.5%)
5,068 Genesee & Wyoming, Inc. (b)...................... 84,889
-------------
UTILITIES (1.0%)
Electric Companies (1.0%)
10,500 Western Resources, Inc........................... 162,750
-------------
Total common stock (cost: $14,602,714)...................... 15,666,653
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (4.3%)
$279,000 American Express Credit 279,000
Corporation, Commercial
Paper.................... 6.750% 07/06/2000
504 Provident Institutional Fund--TempFund Portfolio 504
current rate 6.460%............................
356,949 Wells Fargo & Company--Cash Investment Fund, 356,949
current rate 5.60%.............................
67,138 Wells Fargo & Company--Treasury Plus Fund, 67,138
current rate 5.60%.............................
--------------
Total short-term securities (cost: $703,591).... 703,591
--------------
Total investments in securities
(cost: $15,306,305) (d)........................ $ 16,370,244
==============
</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 June 30,
2000.
(d) At June 30, 2000 the cost of securities for federal income tax purposes was
$15,322,262. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation....................... $ 2,332,289
Gross unrealized depreciation....................... (1,284,307)
--------------
Net unrealized appreciation......................... $ 1,047,982
==============
</TABLE>
77
<PAGE>
GLOBAL BOND PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
--------- --------------
<C> <S> <C> <C> <C>
LONG-TERM DEBT SECURITIES (91.8%)
ARGENTINA (.3%)
Government (.3%)
142,681 Republic of Argentina (Argentina Peso)........... 2.807% 04/01/07 $ 98,881
-------------
CANADA (2.3%)
Government (2.3%)
450,000 Government of Canada (U.S. Dollar)............... 6.375% 11/30/04 438,920
150,000 Ontario Province of Canada (U.S. Dollar)......... 7.625% 06/22/04 151,710
200,000 Quebec Province (U.S. Dollar).................... 5.750% 02/15/09 178,928
-------------
769,558
-------------
DENMARK (4.7%)
Government (4.7%)
6,290,000 Denmark (Danish Krona)........................... 6.000% 11/15/09 818,850
5,400,000 Denmark (Danish Krona)........................... 8.000% 03/15/06 763,097
-------------
1,581,947
-------------
GERMANY (5.5%)
Government (5.5%)
1,440,000 Bundesrepublic (Euro)............................ 4.750% 07/04/28 1,226,135
262,000 Corporate Adina de Fomento (Euro)................ 4.750% 05/06/04 234,882
362,000 Deutschland Republic (Euro)...................... 6.500% 07/04/27 388,811
-------------
1,849,828
-------------
GREECE (8.9%)
Electrical Equipment (.7%)
300,000 Public Power Corporation (Euro).................. 4.500% 03/12/09 249,395
-------------
Government (8.2%)
305,000,000 Hellenic Republic (Greek Drachma)................ 6.000% 02/19/06 858,726
210,000,000 Hellenic Republic (Greek Drachma)................ 6.500% 10/22/19 607,029
121,100,000 Hellenic Republic (Greek Drachma)................ 7.500% 05/20/13 381,850
300,000,000 Hellenic Republic (Greek Drachma)................ 8.700% 04/08/05 937,891
-------------
3,034,891
-------------
JAPAN (14.2%)
Government (13.2%)
130,000,000 Japan (Japanese Yen)............................. 1.000% 04/20/04 1,230,688
123,000,000 Japan (Japanese Yen)............................. 1.100% 03/21/05 1,161,286
31,000,000 Japan (Japanese Yen)............................. 1.300% 06/20/05 294,905
169,850,000 Japan (Japanese Yen)............................. 3.100% 09/20/06 1,764,055
Investment Bankers/Brokers (1.0%)
5,000,000 Citic Hong Kong Finance (Japanese Yen)........... 2.800% 03/27/03 321,447
-------------
4,772,381
-------------
LUXEMBOURG (.6%)
Investment Bankers/Brokers (.6%)
90,000 PTC International Finance (Euro)................. 11.250% 12/01/09 90,026
100,000 SWT Finance (Euro)............................... 12.500% 06/01/10 96,172
-------------
186,198
-------------
</TABLE>
See accompanying notes to investments in securities.
78
<PAGE>
GLOBAL BOND PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
--------- --------------
<C> <S> <C> <C> <C>
MEXICO (3.8%)
Government (3.8%)
3,000,000 International Bank of Reconstruction & $ 303,185
Development (Mexican Peso)...................... 15.875% 02/28/03
100,000,000 United Mexican States (Japanese Yen)............. 3.000% 12/01/03 967,255
-------------
1,270,440
-------------
NETHERLANDS (1.1%)
Telecommunication (1.1%)
150,000 KPNQwest (Euro).................................. 7.125% 06/01/09 129,153
140,000 United Pan-Europe (Euro)......................... 10.875% 08/01/09 115,978
160,000 Versatel Telecom (Euro).......................... 11.250% 03/30/10 139,415
-------------
384,546
-------------
NORWAY (4.4%)
Government (4.4%)
6,320,000 Norway (Norwegian Krone)......................... 5.750% 11/30/04 712,190
6,630,000 Norway (Norwegian Krone)......................... 6.750% 01/15/07 787,392
-------------
1,499,582
-------------
SLOVAKIA (.6%)
Government (.6%)
7,800,000 European Bank of Reconstruction & Development 194,721
(Slovak Koruna)................................. 15.700% 05/10/02
-------------
SOUTH AFRICA (3.1%)
Government (3.1%)
5,000,000 International Bank Reconstruction and Development 138,450
(South African Rand) (c)........................ 15.424% 05/14/12
15,000,000 International Bank Reconstruction and Development 196,665
(South African Rand) (c)........................ 14.588% 12/29/17
2,420,000 South Africa (South African Rand)................ 12.000% 02/28/05 337,550
2,800,000 South Africa (South African Rand)................ 13.000% 08/31/10 386,214
-------------
1,058,879
-------------
UNITED KINGDOM (4.1%)
Air Freight (.3%)
110,000 Stagecoach Holdings (Euro)....................... 6.000% 11/24/04 95,373
Broadcasting (.6%)
250,000 British Sky Broadcasting (U.S. Dollar)........... 6.875% 02/23/09 215,759
Electrical Equipment (1.5%)
320,000 UK Treasury (British Sterling Pound)............. 6.750% 11/26/04 506,254
500,000 BAT International Finance (Euro)................. 4.250% 04/14/04 442,416
Food (.4%)
90,000 Premier (British Sterling Pound)................. 12.250% 09/01/09 128,298
-------------
1,388,100
-------------
UNITED STATES (38.2%)
Auto Finance (.7%)
250,000 Ford Motor Credit Corporation (U.S. Dollar)...... 7.500% 03/15/05 248,631
Chemicals (.7%)
250,000 IMC Global, Inc. (U.S. Dollar)................... 6.625% 10/15/01 245,860
Containers--Metal/Glass (.9%)
300,000 Crown Cork & Seal Company, Inc. (U.S. Dollar).... 7.125% 09/01/02 290,136
Electric Companies (.7%)
250,000 Wisconsin Power & Light (U.S. Dollar)............ 7.000% 06/15/07 243,266
Oil (.7%)
250,000 Conoco, Inc. (U.S. Dollar)....................... 5.900% 04/15/04 238,500
</TABLE>
See accompanying notes to investments in securities.
79
<PAGE>
GLOBAL BOND PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
--------- --------------
<C> <S> <C> <C> <C>
UNITED STATES--CONTINUED
Retail (.7%)
250,000 Wal-Mart Stores, Inc. (U.S. Dollar).............. 6.875% 08/10/09 $ 244,465
Telecommunication (.9%)
200,000 AT&T Corporation (U.S. Dollar)................... 5.625% 03/15/04 188,250
90,000 NTL, Inc. (British Sterling Pound)............... 9.500% 04/01/08 123,112
Telephone (.8%)
250,000 GTE Corporation (U.S. Dollar).................... 9.100% 06/01/03 259,623
U.S. Government and Agencies Obligations (32.1%)
568,032 FHLM (U.S. Dollar)............................... 6.500% 06/01/29 536,027
215,149 FHLMC (U.S. Dollar).............................. 6.500% 05/01/13 207,714
350,000 FHLMC (U.S. Dollar).............................. 7.000% 03/15/10 347,051
243,028 FNMA (U.S. Dollar)............................... 6.000% 11/15/29 222,304
900,000 FNMA (U.S. Dollar)............................... 6.500% 08/15/04 882,545
97,277 FNMA (U.S. Dollar)............................... 6.500% 08/01/14 93,802
200,000 FNMA (U.S. Dollar)............................... 6.625% 09/15/09 192,880
145,456 FNMA (U.S. Dollar)............................... 7.000% 03/01/15 142,592
426,812 FNMA (U.S. Dollar)............................... 7.000% 02/01/29 413,613
244,028 FNMA (U.S. Dollar)............................... 7.000% 11/15/29 235,583
192,142 FNMA (U.S. Dollar)............................... 7.000% 11/15/29 185,494
200,000 FNMA (U.S. Dollar)............................... 7.125% 02/15/05 200,693
146,539 GNMA (U.S. Dollar)............................... 7.500% 10/15/29 145,596
139,242 GNMA (U.S. Dollar)............................... 8.000% 10/15/29 140,801
600,000 U.S. Treasury Bond (U.S. Dollar)................. 6.000% 08/15/09 595,125
900,000 U.S. Treasury Bond (U.S. Dollar)................. 6.125% 08/15/29 909,783
500,000 U.S. Treasury Note (U.S. Dollar)................. 4.750% 02/15/04 475,313
1,150,000 U.S. Treasury Note (U.S. Dollar)................. 5.250% 02/15/29 1,020,266
470,000 U.S. Treasury Note (U.S. Dollar)................. 6.000% 02/15/26 459,425
150,000 U.S. Treasury Note (U.S. Dollar)................. 6.250% 05/15/30 157,452
1,900,000 U.S. Treasury Note (U.S. Dollar)................. 6.625% 05/31/02 1,907,125
250,000 U.S. Treasury Note (U.S. Dollar)................. 6.875% 05/15/06 257,265
1,500,000 U.S. Treasury Strip (U.S. Dollar) (c)............ 6.190% 11/15/04 1,140,209
-------------
12,950,501
-------------
Total long-term debt securities (cost: $31,718,503)................. 31,040,453
-------------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (2.3%)
795,705 Temporary Investment Fund--Temp Fund Portfolio, (U.S. Dollar) 795,705
current rate 6.460%................................................
--------------
Total short-term securities (cost: $795,705)........................ 795,705
--------------
Total investments in securities (cost: $32,514,208) (d)............. $ 31,836,158
==============
</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 June 30, 2000 the cost of securities for federal income tax purposes was
$32,629,678. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation............................................... $ 276,024
Gross unrealized depreciation............................................... (1,069,544)
--------------
Net unrealized depreciation................................................. $ (793,520)
==============
</TABLE>
80
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
COMMON STOCK (89.7%)
BASIC MATERIALS (4.7%)
Agriculture Products (.1%)
778 NCO Group, Inc. (b).............................. $ 17,991
-------------
Chemicals (2.5%)
903 A. Schulman, Inc................................. 10,892
2,038 Airgas, Inc...................................... 11,591
1,370 Albemarle Corporation............................ 27,057
2,066 Cabot Corporation................................ 56,298
3,621 Crompton Corporation............................. 44,360
1,237 Cytec Industries, Inc. (b)....................... 30,538
716 Dexter Corporation............................... 34,368
2,446 Ethyl Corporation................................ 6,115
1,034 Ferro Corporation................................ 21,714
942 Georgia Gulf Corporation......................... 19,605
475 H.B. Fuller Company.............................. 21,642
3,485 IMC Global, Inc.................................. 45,305
1,600 Lubrizol Corporation............................. 33,600
3,580 Lyondell Petrochemical Company................... 59,965
1,433 M.A. Hanna Company............................... 12,897
665 Minerals Technologies, Inc....................... 30,590
1,320 Olin Corporation................................. 21,780
1,500 Quest Diagnostics, Inc. (b)...................... 107,344
3,243 RPM, Inc......................................... 32,835
3,353 Solutia, Inc..................................... 46,104
1,400 Valspar Corporation.............................. 47,250
1,007 Wellman, Inc..................................... 16,301
-------------
738,151
-------------
Construction (.6%)
1,469 Martin Marietta Materials, Inc................... 59,403
1,160 Southdown, Inc................................... 66,990
1,449 USG Corporation (b).............................. 44,013
-------------
170,406
-------------
Iron and Steel (.2%)
3,353 AK Steel Corporation............................. 26,824
586 Carpenter Technology Corporation................. 12,379
295 Cleveland-Cliffs, Inc............................ 7,615
726 Ryerson Tull, Inc................................ 7,532
1,321 UCAR International, Inc.......................... 17,256
-------------
71,606
-------------
Paper and Forest (1.3%)
1,614 Bowater, Inc..................................... 71,218
568 Chesapeake Corporation........................... 16,827
2,760 Consolidated Papers, Inc......................... 100,912
1,514 Longview Fibre Company........................... 16,749
1,237 P.H. Glatfelter Company.......................... 12,602
834 Rayonier, Inc.................................... 29,920
3,104 Sonoco Products Company.......................... 63,826
2,528 The Timber Company............................... 54,668
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
BASIC MATERIALS--CONTINUED
1,506 Wausau-Mosinee Paper Corporation................. $ 12,895
-------------
379,617
-------------
CAPITAL GOODS (4.5%)
Aerospace/Defense (.2%)
755 Precision Castparts Corporation.................. 34,164
277 Sequa Corporation................................ 10,578
-------------
44,742
-------------
Electrical Equipment (1.5%)
2,121 Diebold, Inc..................................... 59,123
1,897 Hubbell, Inc..................................... 48,373
683 Magnetek, Inc. (b)............................... 5,464
4,407 SCI Systems, Inc. (b)............................ 172,699
4,118 Vishay Intertechnology, Inc. (b)................. 156,227
-------------
441,886
-------------
Engineering/Construction (.8%)
823 Granite Construction, Inc........................ 20,163
793 Jacobs Engineering Group, Inc.(b)................ 25,921
981 Newport News Shipbuilding, Inc................... 36,052
1,750 Quanta Services, Inc. (b)........................ 96,250
2,763 Varco International, Inc. (b).................... 64,240
-------------
242,626
-------------
Machinery (.6%)
1,745 Agco Corporation................................. 21,376
891 Albany International 12,919
Corporation (b).................................
1,700 Hanover Compressor Company (b)................... 64,600
923 Kaydon Corporation............................... 19,383
907 Kennametal, Inc.................................. 19,444
633 Tecumseh Products Company........................ 24,173
-------------
161,895
-------------
Manufacturing (1.0%)
942 Ametek, Inc...................................... 16,485
900 Carlisle Companies, Inc.......................... 40,500
1,349 Donaldson Company, Inc........................... 26,643
1,351 Federal Signal Corporation....................... 22,291
1,093 Flowserve Corporation............................ 16,463
540 Nordson Corporation.............................. 27,337
1,412 Pentair, Inc..................................... 50,126
820 Stewart & Stevenson Services, Inc................ 12,351
1,115 Teleflex, Inc.................................... 41,325
1,155 Trinity Industries, Inc.......................... 21,367
1,142 York International Corporation................... 29,835
-------------
304,723
-------------
Metal Fabrication ( -- )
187 Maxxam, Inc. (b)................................. 3,319
-------------
</TABLE>
See accompanying notes to investments in securities.
81
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
CAPITAL GOODS--CONTINUED
Office Equipment (.4%)
2,416 Herman Miller, Inc............................... $ 62,514
1,768 Hon Industries, Inc.............................. 41,548
816 Standard Register Company........................ 11,628
1,227 Wallace Computer Services, Inc................... 12,117
-------------
127,807
-------------
COMMUNICATION SERVICES (1.7%)
Telecommunication (.5%)
1,554 Comsat Corporation............................... 38,364
978 Polycom, Inc. (b)................................ 92,024
-------------
130,388
-------------
Telephone (1.2%)
6,538 Broadwing, Inc................................... 169,579
1,910 Telephone and Data Systems, Inc.................. 191,477
-------------
361,056
-------------
CONSUMER CYCLICAL (11.0%)
Auto (1.2%)
690 Arvin Industries, Inc............................ 11,989
686 Bandag, Inc...................................... 16,635
823 Borg-Warner Automotive, Inc...................... 28,908
2,163 Federal Mogul Corporation........................ 20,684
1,176 Harsco Corporation............................... 29,988
1,966 Lear Corporation (b)............................. 39,320
1,298 Mark IV Industries, Inc.......................... 27,096
1,826 Meritor Automotive, Inc.......................... 20,086
893 Modine Manufacturing Company..................... 24,111
934 SPX Corporation (b).............................. 112,956
812 Superior Industries International, Inc........... 20,909
-------------
352,682
-------------
Building Materials (.4%)
2,173 American Standard Companies, Inc. (b)............ 89,093
4,193 Clayton Homes, Inc............................... 33,544
-------------
122,637
-------------
Construction (.1%)
1,205 Lancaster Colony Corporation..................... 23,121
-------------
Houseware (.1%)
1,446 Furniture Brands International, Inc. (b)......... 21,871
-------------
Leisure (.6%)
2,229 Callaway Golf Company............................ 36,361
1,019 Gtech Holdings Corporation (b)................... 23,119
2,299 International Game Technology.................... 60,923
2,393 Premier Parks, Inc. (b).......................... 54,441
-------------
174,844
-------------
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
Publishing (1.9%)
3,571 A.H. Belo Corporation............................ $ 61,823
2,012 Harte-Hanks, Inc................................. 50,300
931 Houghton Mifflin Company......................... 43,466
1,295 Lee Enterprises, Inc............................. 30,190
811 Media General, Inc. (b).......................... 39,384
3,225 Readers Digest Association....................... 128,194
542 Scholastic Corporation (b)....................... 33,130
375 Washington Post.................................. 179,250
-------------
565,737
-------------
Retail (3.8%)
3,089 Abercrombie and Fitch 37,647
Company (b).....................................
1,367 American Eagle Outfitters, Inc. (b).............. 19,138
2,035 Barnes & Noble, Inc. (b)......................... 45,279
2,254 BJs Wholesale Club, Inc. (b)..................... 74,382
2,266 Borders Group, Inc. (b).......................... 35,265
2,750 CDW Computer Centers, Inc. (b)................... 171,875
1,501 Claire's Stores, Inc............................. 28,894
3,087 Dollar Tree Stores, Inc. (b)..................... 122,129
3,015 Energizer Holdings, Inc. (b)..................... 55,024
5,165 Family Dollar Stores............................. 101,040
1,214 Fastenal Company................................. 61,459
906 Lands End, Inc. (b).............................. 30,238
1,441 Neiman-Marcus Group, Inc. (b).................... 43,500
3,447 Officemax, Inc. (b).............................. 17,235
694 Payless ShoeSource, Inc. (b)..................... 36,218
2,695 Ross Stores, Inc................................. 45,983
4,315 Saks, Inc. (b)................................... 45,307
1,628 Tech Data Corporation (b)........................ 70,920
1,653 Williams-Sonoma, Inc. (b)........................ 53,619
-------------
1,095,152
-------------
Service (2.1%)
2,638 Acxiom Corporation (b)........................... 71,885
2,322 Apollo Group, Inc. (b)........................... 65,016
1,802 Checkfree Corporation (b)........................ 92,916
2,139 Devry, Inc. (b).................................. 56,550
2,757 Mandalay Resort Group (b)........................ 55,140
1,220 Navigant International, Inc. (b)................. 5,185
143 NCH Corporation.................................. 5,175
9,235 Park Place Entertainment Corporation (b)......... 112,552
1,450 Pittston Brinks Group............................ 19,847
881 Rollins, Inc..................................... 13,105
1,723 Sothebys Holdings................................ 30,152
3,213 Stewart Enterprises, Inc......................... 11,346
2,883 Viad Corporation................................. 78,562
-------------
617,431
-------------
Textiles (.8%)
1,526 Burlington Industries, Inc. (b).................. 2,575
3,690 Jones Apparel Group, Inc. (b).................... 86,715
</TABLE>
See accompanying notes to investments in securities.
82
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
1,621 Mohawk Industries, Inc. (b)...................... $ 35,257
4,021 Shaw Industries, Inc............................. 50,262
1,732 Unifi, Inc. (b).................................. 21,434
1,630 Warnaco Group, Inc............................... 12,632
1,564 Westpoint Stevens, Inc........................... 17,400
-------------
226,275
-------------
CONSUMER STAPLES (8.9%)
Beverage (.2%)
4,297 Whitman Corporation.............................. 53,175
-------------
Broadcasting (2.3%)
1,697 ACNielsen Corporation (b)........................ 37,334
1,117 Chris-Craft Industries, Inc. (b)................. 73,792
3,286 Hispanic Broadcasting Corporation (b)............ 108,849
3,104 Univision Communications, 321,264
Inc. (b)........................................
3,377 Westwood One, Inc. (b)........................... 115,240
-------------
656,479
-------------
Entertainment (.2%)
1,657 International Speedway Corporation............... 68,558
-------------
Food (1.4%)
1,088 Dean Foods Company............................... 34,476
1,636 Dole Food Company, Inc........................... 26,790
843 Dreyer's Grand Ice Cream, Inc.................... 17,703
3,054 Flowers Industries, Inc.......................... 60,889
4,345 Hormel Foods Corporation......................... 73,050
3,244 IBP, Inc......................................... 50,079
2,003 Interstate Bakeries Corporation.................. 28,042
878 Lance, Inc....................................... 7,902
2,175 McCormick & Company, Inc......................... 70,687
849 The JM Smucker 16,343
Company (b)(c)..................................
1,456 Universal Foods Corporation...................... 26,936
-------------
412,897
-------------
Food & Health (.2%)
496 International Multifoods Corporation............. 8,587
934 Suiza Foods Corporation (b)...................... 45,649
-------------
54,236
-------------
Household Products (.3%)
1,409 Blythe Industries, Inc........................... 41,565
1,138 Church & Dwight Company, Inc..................... 20,484
3,188 Dial Corporation................................. 33,075
-------------
95,124
-------------
Personal Care (.1%)
1,318 Carter-Wallace, Inc.............................. 26,525
2,150 Perrigo Company (b).............................. 13,572
-------------
40,097
-------------
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
CONSUMER STAPLES--CONTINUED
Restaurants (.7%)
1,127 Bob Evans Farms.................................. $ 16,835
2,009 Brinker International, Inc. (b).................. 58,763
1,232 Buffets, Inc. (b)................................ 15,631
1,718 CBRL Group, Inc.................................. 25,233
785 Lone Star Steakhouse & Saloon, Inc............... 7,948
2,298 Outback Steakhouse, Inc. (b)..................... 67,216
914 Papa Johns International, 22,393
Inc. (b)........................................
-------------
214,019
-------------
Retail (.6%)
1,330 Hannaford Brothers Company....................... 95,594
1,358 Ruddick Corporation.............................. 16,041
6,892 Tyson Foods, Inc................................. 60,305
-------------
171,940
-------------
Service (2.5%)
711 Banta Corporation................................ 13,465
5,105 Cintas Corporation............................... 187,290
6,227 Concord EFS, Inc. (b)............................ 161,902
1,059 Kelly Services, Inc.............................. 24,489
2,323 Manpower, Inc.................................... 74,336
2,914 Modis Professional Services, 25,862
Inc. (b)........................................
1,449 Ogden Corporation................................ 13,041
5,458 Robert Half International, 155,553
Inc. (b)........................................
1,262 Sylvan Learning Systems, 17,352
Inc. (b)........................................
1,748 Valassis Communications, 66,642
Inc. (b)........................................
-------------
739,932
-------------
Tobacco (.4%)
3,313 R J Reynolds Tobacco Holdings, Inc............... 92,557
859 Universal Corporation............................ 18,146
-------------
110,703
-------------
ENERGY (6.4%)
Oil (.6%)
2,615 Devon Energy Corporation......................... 146,930
2,285 Pennzoil-Quaker State Company.................... 27,566
-------------
174,496
-------------
Oil & Gas (5.8%)
2,616 BJ Services Company (b).......................... 163,500
4,124 Ensco International, Inc......................... 147,691
5,312 Global Marine, Inc. (b).......................... 149,732
3,267 Grant Prideco, Inc. (b).......................... 81,675
1,555 Helmerich & Payne, Inc........................... 58,118
1,418 Murphy Oil Corporation........................... 84,282
4,267 Nabors Industries, Inc. (b)...................... 177,347
</TABLE>
See accompanying notes to investments in securities.
83
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
ENERGY--CONTINUED
1,772 Noble Affiliates, Inc............................ $ 66,007
4,052 Noble Drilling Corporation (b)................... 166,892
4,990 Ocean Energy, Inc. (b)........................... 70,796
3,040 Pioneer Natural Resources Company (b)............ 38,760
5,604 Santa Fe Snyder 63,745
Corporation (b).................................
1,534 Smith International, Inc. (b).................... 111,694
1,730 Tidewater, Inc................................... 62,280
2,639 Ultramar Diamond Shamrock Corporation............ 65,480
1,634 Valero Energy Corporation........................ 51,879
3,268 Weatherford International, 130,107
Inc. (b)........................................
-------------
1,689,985
-------------
FINANCIAL (9.6%)
Banks (4.1%)
2,062 Associated Banc-Corp............................. 44,977
4,879 Banknorth Group, Inc............................. 74,710
1,186 CCB Financial Corporation........................ 43,882
1,395 City National Corporation........................ 49,522
3,460 Compass Bancshares, Inc.......................... 59,036
5,960 First Security Corporation....................... 80,833
3,969 First Tennessee National Corporation............. 65,737
1,456 First Virginia Banks, Inc........................ 50,687
2,734 Firstmerit Corporation........................... 58,439
4,881 Hibernia Corporation............................. 53,081
1,427 Keystone Financal, Inc........................... 30,324
3,243 Marshal & Ilsley Corporation..................... 134,584
2,120 Mercantile Bankshares Corporation................ 63,202
3,295 National Commerce Bancorp........................ 52,926
2,345 Pacific Century Financial Corporation............ 34,296
1,422 Provident Financial Group........................ 33,861
2,531 TCF Financial Corporation........................ 65,015
1,145 Westamerica Bancorporation....................... 29,913
971 Wilmington Trust Corporation..................... 41,510
2,606 Zion Bancorp..................................... 119,591
-------------
1,186,126
-------------
Commercial Finance (.4%)
1,794 Finova Group, Inc................................ 23,322
5,367 North Fork Bancorp............................... 81,176
-------------
104,498
-------------
Finance--Diversified (.8%)
2,149 Ambac Financial Group, Inc....................... 117,792
2,610 MCN Energy Group, Inc............................ 55,789
1,409 The PMI Group, Inc............................... 66,927
-------------
240,508
-------------
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
FINANCIAL--CONTINUED
Insurance (1.9%)
1,690 Allmerica Financial Corporation.................. $ 88,514
1,711 American Financial Group, Inc.................... 42,454
1,376 Everest Re Group, Ltd. (c)....................... 45,236
1,202 Horace Mann Educators Corporation................ 18,030
878 HSB Group, Inc................................... 27,328
1,760 Ohio Casualty Corporation........................ 18,700
3,799 Old Republic International Corporation........... 62,683
1,890 Protective Life Corporation...................... 50,321
2,701 ReliaStar Financial Corporation.................. 141,634
2,181 Unitrin, Inc..................................... 64,067
-------------
558,967
-------------
Investment Bankers/Brokers (1.6%)
2,713 A.G. Edwards, Inc................................ 105,807
8,773 E*Trade Group, Inc. (b).......................... 144,755
929 Investment Technology Group, Inc................. 39,541
1,888 Legg Mason, Inc.................................. 94,400
2,500 Waddell & Reed Financial, Inc.................... 82,031
-------------
466,534
-------------
Savings and Loans (.8%)
1,593 Astoria Financial Corporation.................... 41,020
3,348 Dime Bancorp, Inc................................ 52,731
3,260 Greenpoint Financial Corporation................. 61,125
6,627 Sovereign Bancorp, Inc........................... 46,596
1,777 Webster Financial Corporation.................... 39,427
-------------
240,899
-------------
HEALTH CARE (11.0%)
Biotechnology (2.7%)
2,566 Genzyme Surgical Products (b).................... 152,517
1,387 Gilead Sciences, Inc. (b)........................ 98,650
1,288 Idec Pharmaceuticals Corporation (b)............. 151,099
900 Incyte Pharmaceuticals, Inc. (b)................. 73,969
2,719 Millennium Pharmaceuticals, 304,188
Inc. (b)........................................
-------------
780,423
-------------
Drugs (3.3%)
4,094 Bergen Brunswig Corporation...................... 22,517
5,531 Chiron Corporation (b)........................... 262,723
2,577 Forest Laboratores, Inc. (b)..................... 260,277
2,396 ICN Pharmaceuticals, Inc......................... 66,639
3,890 Mylan Laboratories, Inc.......................... 70,993
2,043 Sepracor, Inc. (b)............................... 246,437
1,978 Steris Corporation (b)........................... 17,555
-------------
947,141
-------------
</TABLE>
See accompanying notes to investments in securities.
84
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
HEALTH CARE--CONTINUED
Health Care--Diversified (.8%)
4,839 IVAX Corporation (b)............................. $ 200,819
2,072 Quorum Health Group, Inc. (b).................... 21,368
-------------
222,187
-------------
Hospital Management (.6%)
7,265 Health Management Associates, 94,899
Inc. (b)........................................
1,377 Pacificare Health Systems, 82,878
Inc. (b)........................................
-------------
177,777
-------------
Managed Care (1.0%)
1,229 Express Scripts, Inc. (b)........................ 76,352
1,438 First Health Group 47,184
Corporation (b).................................
3,683 Foundation Health Systems, 47,879
Inc. (b)........................................
2,489 Oxford Health Plans (b).......................... 59,269
1,251 Trigon Healthcare, Inc. (b)...................... 64,505
-------------
295,189
-------------
Medical Products/Supplies (2.4%)
783 Acuson Corporation (b)........................... 10,571
1,547 Dentsply International, Inc...................... 47,667
1,730 Edwards Lifesciences Corporation (b)............. 33,086
1,946 Hillenbrand Industries, Inc...................... 60,934
1,584 Lincare Holdings, Inc. (b)....................... 39,006
932 Minimed, Inc. (b)................................ 109,976
2,081 PSS World Medical, Inc. (b)...................... 13,982
5,884 Stryker Corporation.............................. 257,425
3,151 Sybron International 62,429
Corporation (b).................................
1,884 VISX, Inc. (b)................................... 52,870
-------------
687,946
-------------
Special Services (.2%)
1,525 Apria Healthcare Group, Inc. (b)................. 18,681
1,671 Covance, Inc. (b)................................ 14,726
2,775 Omnicare, Inc.................................... 25,148
-------------
58,555
-------------
TECHNOLOGY (21.3%)
1,257 Adtran, Inc. (b)................................. 75,263
1,448 Affiliated Computer Services, Inc. (b)........... 47,875
1,150 Antec Corporation (b)............................ 47,797
1,240 Apex, Inc........................................ 54,250
2,922 Arrow Electronics, Inc. (b)...................... 90,582
6,701 Atmel Corporation (b)............................ 247,099
1,322 Avnet, Inc....................................... 78,329
877 Beckman Instruments, Inc......................... 51,195
1,700 Burr-Brown Corporation (b)....................... 147,369
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
7,413 Cadence Design Systems, $ 151,040
Inc. (b)........................................
1,770 Cambridge Tech Partners, 15,432
Inc. (b)........................................
1,933 Cirrus Logic, Inc. (b)........................... 30,928
4,571 Comdisco, Inc.................................... 101,990
1,489 Commscope, Inc. (b).............................. 61,049
1,619 CSG Systems International, 90,765
Inc. (b)........................................
3,328 Cypress Semiconductor Corporation (b)............ 140,608
1,959 DST Systems, Inc. (b)............................ 149,129
1,983 Electronic Arts, Inc. (b)........................ 144,635
3,694 Fiserv, Inc. (b)................................. 159,766
2,800 Galileo International, Inc....................... 58,450
2,692 Gartner Group, Inc............................... 26,584
2,126 Harris Corporation............................... 69,627
1,074 Imation Corporation (b).......................... 31,549
8,196 Informix Corporation (b)......................... 60,958
2,848 Integrated Device Technology, Inc. (b)........... 170,524
5,947 Intuit, Inc. (b)................................. 246,057
5,692 Jabil Circuit, Inc. (b).......................... 282,466
2,200 Keane, Inc. (b).................................. 47,575
976 L-3 Communications Holdings, Inc. (b)............ 55,693
2,490 Legato Systems, Inc. (b)......................... 37,661
1,434 Litton Industries, Inc. (b)...................... 60,228
1,550 Macromedia, Inc. (b)............................. 149,866
4,300 MarchFirst, Inc. (b)............................. 78,475
1,881 Mentor Graphics 37,385
Corporation (b).................................
2,600 Micrel, Inc. (b)................................. 112,938
2,345 Microchip Technology, Inc. (b)................... 136,633
4,238 Networks Associates, Inc. (b).................... 86,349
2,257 Nova Corporation (b)............................. 63,055
2,002 Nvidia Corporation (b)........................... 127,252
1,042 Policy Management 16,021
Corporation (b).................................
1,895 Powerwave Technologies, 83,380
Inc. (b)........................................
2,253 QLogic Corporation (b)........................... 148,839
4,889 Quantum Corporation (b).......................... 47,362
2,702 Rational Software 251,117
Corporation (b).................................
2,235 Reynolds & Reynolds.............................. 40,789
1,338 Sawtek, Inc. (b)................................. 77,019
1,200 Semtech Corporation (b).......................... 91,781
2,248 Sensormatic Electronics Corporation (b).......... 35,547
3,050 Storage Technology 33,359
Corporation (b).................................
1,047 Structural Dynamics Research 15,770
Corporation (b).................................
3,858 Sungard Data Systems, Inc. (b)................... 119,598
</TABLE>
See accompanying notes to investments in securities.
85
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
2,389 Sybase, Inc. (b)................................. $ 54,947
1,241 Sykes Enterprises, Inc. (b)...................... 15,978
1,841 Symantec Corporation (b)......................... 99,299
4,050 Symbol Technologies, Inc......................... 218,700
2,137 Synopsys, Inc. (b)............................... 73,860
1,570 Titan Corporation (b)............................ 70,258
994 Transaction Systems Architects, Inc. (b)......... 17,022
1,190 Transwitch Corporation (b)....................... 91,853
1,209 Triquint Semiconductor, Inc. (b)................. 115,686
5,514 Vitesse Semiconductor Corporation (b)............ 405,624
1,923 Waters Corporation (b)........................... 240,014
-------------
6,188,249
-------------
TRANSPORTATION (1.1%)
Air Freight (.3%)
1,425 Airborne Freight Corporation..................... 26,986
1,307 C.H. Robinson Worldwide, Inc..................... 64,697
-------------
91,683
-------------
Airlines (.1%)
806 Alaska Airgroup, Inc. (b)........................ 21,863
-------------
Railroads (.2%)
1,440 GATX Corporation................................. 48,960
1,502 Wisconsin Central Transportation 19,526
Corporation (b).................................
-------------
68,486
-------------
Shipping (.2%)
1,263 Alexander & Baldwin, Inc......................... 27,865
1,000 Overseas Shipholding Group, Inc.................. 24,625
-------------
52,490
-------------
Trucking (.3%)
721 Arnold Industries, Inc........................... 8,697
1,417 CNF Transportation, Inc.......................... 32,237
1,044 J.B. Hunt Transport Services, Inc................ 16,117
1,885 Swift Transportation Company, Inc. (b)........... 26,390
-------------
83,441
-------------
UTILITIES (9.5%)
Electric Companies (5.6%)
3,362 Allegheny Energy, Inc............................ 92,035
2,407 Alliant Energy Corporation....................... 62,582
571 Black Hills Corporation.......................... 12,883
702 Cleco Corporation................................ 23,517
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
UTILITIES--CONTINUED
988 CMP Group, Inc................................... $ 28,961
2,831 Conectiv, Inc.................................... 44,057
4,068 DPL, Inc......................................... 89,242
2,307 DQE, Inc......................................... 91,271
3,771 Energy East Corporation.......................... 71,885
961 Hawaiian Electric Industries..................... 31,533
1,105 IDACORP, Inc..................................... 35,636
2,512 Ipalco Enterprises, Inc.......................... 50,554
1,814 Kansas City Power & Light Company................ 40,815
3,948 LG&E Energy Corporation.......................... 94,259
2,153 Minnesota Power & Light Company.................. 37,274
3,355 Montana Power Company............................ 118,473
3,807 NiSource, Inc.................................... 70,905
4,351 Northeast Utilities.............................. 94,634
2,280 OGE Energy Corporation........................... 42,180
3,609 Potomac Electric Power Company................... 90,225
1,195 Public Service Company of New Mexico............. 18,448
2,578 Puget Sound Energy, Inc.......................... 54,944
3,153 Scana Corporation................................ 76,066
2,298 Sierra Pacific Resources......................... 28,869
3,941 Teco Energy, Inc................................. 79,066
2,829 Utilicorp United, Inc............................ 56,226
1,796 Vectren Corporation.............................. 30,981
3,588 Wisconsin Energy Corporation..................... 71,087
-------------
1,638,608
-------------
Natural Gas (2.5%)
1,669 AGL Resources, Inc............................... 26,600
4,639 Dynegy, Inc...................................... 316,902
4,023 Keyspan Corporation.............................. 123,707
3,399 Kinder Morgan, Inc............................... 117,478
1,246 National Fuel Gas Company........................ 60,743
2,416 Questar Corporation.............................. 46,810
1,362 Washington Gas Light Company..................... 32,773
-------------
725,013
-------------
Power Products--Industrial (1.1%)
3,896 Calpine Corporation (b).......................... 256,162
1,863 NSTAR............................................ 75,801
-------------
331,963
-------------
Water Utilities (.3%)
2,940 American Water Works Company, Inc................ 73,500
-------------
Total common stock (cost: $24,143,696)........................ 26,119,650
-------------
</TABLE>
See accompanying notes to investments in securities.
86
<PAGE>
INDEX 400 MID-CAP PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
--------- --------------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (10.3%)
$ 477,555 Federated Money Market Obligations Trust--Prime $ 477,555
Obligation Fund, current rate 6.460%............
1,000,000 General Motors Acceptance Corporation............ 997,581
1,519,749 Provident Institution Funds--TempFund Portfolio, 1,519,749
current rate 6.460%.............................
-------------
Total short-term securities (cost: $2,995,070)... 2,994,885
-------------
Total investments in securities (cost:
$27,138,766) (d)................................ $ 29,114,535
=============
</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 Porfolio held .2% of net assets in foreign securities as of June 30,
2000.
(d) At June 30, 2000 the cost of securities for federal income tax purposes was
$27,793,066. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......................... $ 4,637,947
Gross unrealized depreciation.......................... (3,316,478)
--------------
Net unrealized appreciation............................ $ 1,321,469
==============
</TABLE>
87
<PAGE>
MACRO-CAP VALUE PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
COMMON STOCK (98.5%)
BASIC MATERIALS (5.0%)
Aluminum (.5%)
4,964 Alcoa Aluminio................................... $ 143,956
-------------
Chemicals (3.1%)
9,376 Pharmacia Corporation (c)........................ 484,622
10,800 Rohm and Haas Company (b)........................ 372,600
-------------
857,222
-------------
Iron and Steel (.4%)
6,100 Allegheny Technologies, Inc. (b)................. 109,800
-------------
Paper and Forest (1.0%)
11,597 Smurfit-Stone Container Corporation (b).......... 149,311
3,300 Temple Inland, Inc. (b).......................... 138,600
-------------
287,911
-------------
CAPITAL GOODS (7.9%)
Aerospace/Defense (.6%)
4,700 Honeywell International, Inc..................... 158,331
-------------
Electrical Equipment (3.5%)
5,600 Cooper Industries, Inc. (b)...................... 182,350
14,900 General Electric Company......................... 789,700
-------------
972,050
-------------
Manufacturing (3.5%)
20,132 Tyco International, Ltd. (c)..................... 953,753
-------------
Waste Management (.3%)
4,855 Waste Management, Inc............................ 92,245
-------------
COMMUNICATION SERVICES (7.3%)
Broadcasting (.3%)
1,200 Allegiance Telecom, Inc. (b)..................... 76,800
-------------
Telecommunication (3.4%)
5,500 Global Crossing, Ltd............................. 144,719
1,450 Level 3 Comm, Inc. (b)........................... 127,600
8,627 MCI Worldcom, Inc. (b)........................... 395,764
2,700 Qwest Communications Intl, Inc. (b).............. 134,156
2,200 Sprint Corporation (b)........................... 130,900
-------------
933,139
-------------
Telephone (3.6%)
7,000 AT&T Corporation (b)............................. 221,375
6,200 GTE Corporation.................................. 385,950
8,806 SBC Communications, Inc.......................... 380,859
-------------
988,184
-------------
CONSUMER CYCLICAL (9.3%)
Auto (.9%)
3,200 Ford Motor Company............................... 137,600
4,700 Lear Corporation (b)............................. 94,000
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
CONSUMER CYCLICAL--CONTINUED
419 Visteon Corporation.............................. $ 5,080
-------------
236,680
-------------
Broadcasting (1.8%)
20,400 AT&T Corporation--Liberty Media Group (b)........ 494,700
-------------
Publishing (1.5%)
7,700 News Corporation Ltd. ADR (c).................... 419,650
-------------
Retail (4.3%)
6,200 Abercrombie and Fitch Company (b)................ 75,562
3,300 Circuit City Stores, Inc. (b).................... 109,519
3,500 Target Corporation............................... 203,000
4,200 Federated Department Stores (b).................. 141,750
2,800 Gap, Inc. (b).................................... 87,500
9,900 TJX Companies, Inc............................... 185,625
6,700 Wal-Mart Stores, Inc............................. 386,087
-------------
1,189,043
-------------
Service (.5%)
10,170 Cendant Corporation (b).......................... 142,380
-------------
Textiles (.3%)
3,700 Jones Apparel Group, Inc. (b).................... 86,950
-------------
CONSUMER STAPLES (7.1%)
Beverage (2.0%)
4,100 The Coca-Cola Company............................ 235,494
5,300 The Seagram Company Limited (c).................. 307,400
-------------
542,894
-------------
Broadcasting (.4%)
2,700 Comcast Corporation (b).......................... 109,350
-------------
Entertainment (.9%)
3,300 Time Warner, Inc................................. 250,800
-------------
Household Products (2.2%)
2,800 Clorox Company................................... 125,475
7,900 Gillette Company (b)............................. 276,006
3,600 Procter & Gamble Company......................... 206,100
-------------
607,581
-------------
Tobacco (1.6%)
16,000 Philip Morris Companies, Inc..................... 425,000
-------------
ENERGY (6.1%)
Oil (3.8%)
11,824 Exxon Mobile Corporation (b)..................... 928,184
1,700 Royal Dutch Petroleum Company (c)................ 104,656
-------------
1,032,840
-------------
Oil & Gas (2.3%)
4,400 Baker Hughes, Inc................................ 140,800
5,900 Global Marine, Inc. (b).......................... 166,306
</TABLE>
See accompanying notes to investments in securities.
88
<PAGE>
MACRO-CAP VALUE PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
ENERGY--CONTINUED
4,000 Shell Transport & Trading Company ADR (c)........ $ 199,750
4,500 Tosco Corporation................................ 127,406
-------------
634,262
-------------
FINANCIAL (13.1%)
Banks (3.4%)
3,007 Bank Of America Corporation (b).................. 129,301
17,300 First Bank System, Inc........................... 333,025
13,100 First Union Corporation (b)...................... 325,044
7,700 KeyCorp (b)...................................... 135,712
-------------
923,082
-------------
Consumer Finance (1.4%)
5,500 Capital One Financial Corporation................ 245,437
8,950 CIT Group, Inc. (b).............................. 145,437
-------------
390,874
-------------
Finance--Diversified (3.2%)
6,200 Ambac Financial Group, Inc....................... 339,837
6,800 CitiGroup, Inc................................... 409,700
2,500 Federal National Mortgage Association............ 130,469
-------------
880,006
-------------
Insurance (2.5%)
2,300 Cigna Corporation................................ 215,050
10,200 Metlife, Inc. (b)................................ 214,837
4,800 Xl Capital, Ltd. (c)............................. 259,800
-------------
689,687
-------------
Investment Bankers/Brokers (1.3%)
4,000 E*trade Group, Inc. (b).......................... 66,000
3,000 The Goldman Sachs Group, Inc. (b)................ 284,625
-------------
350,625
-------------
Savings and Loans (1.3%)
5,300 Dime Bancorp, Inc. (b)........................... 83,475
9,300 Washington Mutual, Inc........................... 268,538
-------------
352,013
-------------
HEALTH CARE (9.4%)
BioTechnology (.4%)
1,600 PE Corporation--PE Biosystems Group (b).......... 105,400
Drugs (7.2%)
4,900 American Home Products Corporation (b)........... 287,875
5,700 Bristol-Myers Squibb Company..................... 332,025
5,300 Eli Lilly & Company (b).......................... 529,338
10,200 Pfizer, Inc...................................... 489,600
6,400 Schering Plough Corporation...................... 323,200
-------------
1,962,038
-------------
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
HEALTH CARE--CONTINUED
Medical Products/Supplies (1.8%)
8,300 Alza Corporation (b)............................. $ 490,738
-------------
TECHNOLOGY (29.7%)
6,200 America Online, Inc. (b)......................... 327,050
1,600 Applied Materials, Inc. (b)...................... 145,000
17,100 Cisco Systems, Inc. (b).......................... 1,086,919
2,500 Citrix Systems, Inc. (b)......................... 47,344
7,000 Compaq Computer Corporation...................... 178,938
6,900 Computer Associates International, Inc........... 353,194
3,900 Dell Computer Corporation (b).................... 192,319
5,600 EMC Corporation (b).............................. 430,850
8,600 Intel Corporation................................ 1,149,713
1,600 International Business Machines Corporation...... 175,300
4,720 Lucent Technologies, Inc......................... 279,660
13,300 Microsoft (b).................................... 1,064,000
500 Microstrategy, Inc. (b).......................... 15,000
8,900 Motorola, Inc.................................... 258,656
4,100 Nortel Networks Corporation (c).................. 279,825
3,600 Oracle Systems (b)............................... 302,625
1,150 Parametric Technology Corporation (b)............ 12,650
4,100 Quantum Corporation (b).......................... 39,719
3,300 Seagate Technology (b)........................... 181,500
9,100 Sensormatic Electronics Corporation (b).......... 143,894
850 Siebel Systems, Inc. (b)......................... 139,028
8,800 Sun Microsystems, Inc. (b)....................... 800,250
2,100 Tellabs, Inc. (b)................................ 143,719
5,600 Texas Instruments, Inc. (b)...................... 384,650
-------------
8,131,803
-------------
TRANSPORTATION (1.2%)
Railroads (1.2%)
8,600 Union Pacific Corporation........................ 319,813
-------------
UTILITIES (2.4%)
Electric Companies (.9%)
4,500 DTE Energy Company............................... 137,531
4,700 Pacific Gas and Electric Company................. 115,738
-------------
253,269
-------------
Natural Gas (1.5%)
3,800 Columbia Energy Group............................ 249,375
2,200 Dynegy, Inc...................................... 150,288
-------------
399,663
-------------
Total common stock (cost: $26,021,221) (d).................. 26,994,532
-------------
</TABLE>
See accompanying notes to investments in securities.
89
<PAGE>
MACRO-CAP VALUE PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
PRINCIPAL VALUE(A)
--------- --------------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (3.5%)
$ 51,000 U.S. Treasury Bill........ 5.670% 07/13/2000 $ 50,905
185,000 U.S. Treasury Bill........ 5.630% 07/20/2000 184,455
717,000 U.S. Treasury Bill........ 5.760% 08/03/2000 713,321
-------------
Total short-term securities (cost: $948,817)..... 948,681
-------------
Total investments in securities
(cost: $26,970,038) (d)......................... $ 27,943,213
=============
</TABLE>
Notes to Investments in Securities
-----------------------------------
(a) Securities are valued by procedures described in note 2 to the financial
statements.
(b) Presently non-income producing.
(c) The Portfolio held 11.0% of net assets in foreign securities as of June 30,
2000.
(d) At June 30, 2000 the cost of securities for federal income tax purposes was
$27,227,175. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation........................ $ 3,860,668
Gross unrealized depreciation........................ (3,144,630)
--------------
Net unrealized appreciation.......................... $ 716,038
==============
</TABLE>
90
<PAGE>
MICRO-CAP GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
COMMON STOCK (91.5%)
BASIC MATERIALS (1.9%)
Iron and Steel (1.9%)
56,500 NS Group, Inc. (b).............................. $ 1,182,969
-------------
COMMUNICATION SERVICES (2.0%)
Telecommunication (2.0%)
12,300 CTC Communications Group, Inc. (b)............... 442,800
28,400 ECtel Ltd. (b)(c)................................ 653,200
15,100 Z-Tel Technologies, Inc. (b)..................... 181,200
-------------
1,277,200
-------------
CONSUMER CYCLICAL (9.5%)
Leisure (1.9%)
14,000 SCP Pool Corporation (b)......................... 329,000
27,600 Tweeter Home Entertainment Group, Inc. (b)....... 838,350
-------------
1,167,350
-------------
Retail (5.9%)
31,300 Accrue Software, Inc. (b)........................ 1,111,150
35,900 Cato Corporation................................. 417,337
22,500 Childrens Place Retail Stores, Inc. (b).......... 461,250
12,900 Factory 2-U Stores, Inc. (b)..................... 487,781
35,800 Good Guys, Inc. (b).............................. 129,775
49,800 Hearme (b)....................................... 224,100
15,250 Kenneth Cole Productions (b)..................... 610,000
36,100 Stamps.com, Inc. (b)............................. 263,981
-------------
3,705,374
-------------
Service (1.7%)
2,100 C-Bridge Internet Solutions, Inc. (b)............ 36,487
7,900 Coinstar, Inc. (b)............................... 79,494
15,900 Getty Images, Inc. (b)........................... 589,294
6,600 MyPoints.com, Inc. (b)........................... 125,091
2,600 Newgen Results Corporation (b)................... 42,900
3,500 The Corporate Executive Board Company (b)........ 209,562
-------------
1,082,828
-------------
CONSUMER STAPLES (2.2%)
11,300 Dreamlife, Inc. (b).............................. 40,962
53,600 HealthStream, Inc. (b)........................... 294,800
-------------
335,762
-------------
Restaurants (1.7%)
31,200 PF Changs China Bistro, Inc. (b)................. 996,450
6,100 PJ America, Inc. (b)............................. 59,475
-------------
1,055,925
-------------
ENERGY (11.3%)
Oil (1.2%)
49,600 Horizon Offshore, Inc. (b)....................... 768,800
-------------
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
ENERGY--CONTINUED
Oil & Gas (10.1%)
29,950 Cross Timbers Oil Company........................ $ 662,644
40,400 Evergreen Resources, Inc. (b).................... 1,196,850
59,400 Natco Group, Inc. (b)............................ 560,587
19,400 OSCA, Inc. (b)................................... 327,375
41,100 Patterson Energy, Inc. (b)....................... 1,171,350
19,500 Universal Commpression Holdings (b).............. 653,250
29,000 UTI Energy Corporation (b)....................... 1,163,625
-------------
6,372,681
-------------
HEALTH CARE (23.3%)
Biotechnology (7.4%)
15,400 Aclara Biosciences, Inc. (b)..................... 784,437
44,400 Cell Therapeutics, Inc. (b)...................... 1,359,750
11,700 Charles River Laboratories International (b)..... 259,594
33,500 Intermune Pharmaceuticals, Inc. (b).............. 1,383,969
29,200 Lifecell Corporation (b)......................... 186,150
10,700 Pharmacyclics, Inc. (b).......................... 652,700
-------------
4,626,600
-------------
Drugs (10.8%)
9,600 Algos Pharmaceuticals Corporation (b)............ 146,400
42,400 Anesta Corporation (b)........................... 1,054,700
33,900 Cubist Pharmaceuticals, Inc. (b)................. 1,669,575
20,500 ILEX Oncology, Inc. (b).......................... 722,625
21,700 Noven Pharmaceuticals, Inc. (b).................. 652,356
11,300 OraPharma, Inc. (b).............................. 113,000
21,200 PRAECIS Pharmaceuticals, Inc. (b)................ 590,950
43,200 Titan Pharmaceuticals, Inc. (b).................. 1,857,600
-------------
6,807,206
-------------
Medical Products/Supplies (3.4%)
10,800 ICU Medical, Inc. (b)............................ 291,600
38,100 Physiometrix, Inc. (b)........................... 842,962
35,500 SonoSite, Inc. (b)............................... 1,022,844
-------------
2,157,406
-------------
Special Services (1.7%)
12,900 Invitrogen Corporation (b)....................... 970,120
9,600 NovaMed Eyecare, Inc. (b)........................ 84,600
-------------
1,054,720
-------------
TECHNOLOGY (41.3%)
13,200 Active Sofware, Inc. (b)......................... 1,025,475
9,300 Activision, Inc. (b)............................. 60,450
39,800 Alamosa PCS Holdings, Inc. (b)................... 830,825
64,900 America Online, Inc. (b)......................... 730,125
25,300 American Superconductor Corporation (b).......... 1,220,725
18,400 BreezeCom Ltd. (b)(c)............................ 800,400
19,500 Brio Technology, Inc............................. 413,156
14,200 Broadbase Software, Inc. (b)..................... 434,875
</TABLE>
See accompanying notes to investments in securities.
91
<PAGE>
MICRO-CAP GROWTH PORTFOLIO
INVESTMENTS IN SECURITIES - CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
14,900 Celeritek, Inc. (b).............................. $ 608,106
10,200 Clarent Corporation (b).......................... 729,300
10,200 Cognizant Technology Solutions 338,512
Corporation (b).................................
68,800 DensePac Microsystems, Inc. (b).................. 748,200
5,800 Dupont Photomasks, Inc. (b)...................... 397,300
54,400 Eloquent, Inc. (b)............................... 489,600
19,800 FairMarket, Inc. (b)............................. 139,837
2,500 GRIC Communications, Inc. (b).................... 44,844
18,100 Immersion Corporation (b)........................ 543,000
41,500 Infousa, Inc. (b)................................ 269,750
27,500 Integrated Silicon Solution, Inc. (b)............ 1,045,000
18,000 Interactive Intelligence, Inc. (b)............... 675,000
23,200 InterCept Group, Inc. (b)........................ 394,400
14,900 IONA Technologies PLC (b)(c)..................... 938,700
18,100 Jacada, Ltd. (b)(c).............................. 229,644
7,200 Keynote Systems, Inc. (b)........................ 508,050
31,900 Lightspan, Inc. (b).............................. 175,450
15,500 Liquid Audio, Inc. (b)........................... 146,766
61,500 Loislaw.com, Inc. (b)............................ 526,594
16,800 Manufacturers' Services, Ltd. (b)................ 345,450
10,100 Mercator Software, Inc. (b)...................... 694,375
12,800 Metawave Communications Corporation (b).......... 341,600
6,000 NaviSite, Inc. (b)............................... 250,875
15,400 net.Genesis Corporation (b)...................... 278,162
7,900 Netcentives, Inc. (b)............................ 147,137
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
TECHNOLOGY--CONTINUED
7,900 Netegrity, Inc. (b).............................. $ 594,969
38,000 Netplex Group, Inc. (b).......................... 81,938
6,400 NetSolve, Inc. (b)............................... 166,400
4,300 Numerical Technologies, Inc. (b)................. 209,088
25,500 Packeteer, Inc. (b).............................. 742,688
26,800 Paradyne Networks, Inc. (b)...................... 872,675
23,200 Photronics, Inc. (b)............................. 658,300
31,200 Pilot Network Services, Inc. (b)................. 464,100
9,200 Primus Knowledge Solutions, Inc. (b)............. 414,000
19,200 QuickLogic Corporation (b)....................... 427,200
21,100 RADVision, Ltd. (b)(c)........................... 589,481
18,700 Retek, Inc. (b).................................. 598,400
27,000 Sage, Inc. (b)................................... 349,313
16,200 Stanford Microdevices, Inc. (b).................. 703,688
10,000 Telaxis Communication Corporation (b)............ 312,500
22,200 Therma-Wave, Inc. (b)............................ 495,338
21,800 Ulticom, Inc. (b)................................ 523,541
24,500 Veritas DGC, Inc. (b)............................ 637,000
12,300 Versata, Inc. (b)................................ 495,844
35,800 Xicor, Inc. (b).................................. 239,413
7,500 Zoran Corporation (b)............................ 494,531
-------------
25,955,090
-------------
Total common stock (cost: $50,193,862)..................... 57,549,911
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (8.4%)
$ 643,650 Federated Money Market Obligations 643,650
Trust--Prime Obligations Fund, current rate
6.460%.......................................
1,164,718 Provident Institutional Funds--TempFund 1,164,718
Portfolio, current rate 6.460%...............
3,487,273 U.S. Treasury Bill.......... 5.718% 07/06/00 3,488,538
--------------
Total short-term securities (cost:
$5,295,641).................................. 5,296,906
--------------
Total investments in securities (cost:
$55,489,503) (d)............................. $ 62,846,817
==============
</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 5.1% of net assets in foreign securities as of June 30,
2000.
(d) At June 30, 2000 the cost of securities for federal income tax purposes was
$55,489,503. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation......................... $ 16,027,790
Gross unrealized depreciation......................... (8,670,476)
--------------
Net unrealized appreciation........................... $ 7,357,314
==============
</TABLE>
92
<PAGE>
REAL ESTATE SECURITIES PORTFOLIO
INVESTMENTS IN SECURITIES
JUNE 30, 2000
(UNAUDITED)
(Percentages of each investment category relate to total net assets.)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
COMMON STOCK (95.7%)
CAPITAL GOODS (2.0%)
Manufacturing (2.0%)
4,700 St. Joe Company.................................. $ 141,000
-------------
COMMUNICATION SERVICES (1.2%)
Telephone (1.2%)
1,600 Pinnacle Holdings, Inc. (b)...................... 86,400
-------------
CONSUMER CYCLICAL (8.6%)
Building Materials (.7%)
1,200 DR Horton, Inc................................... 16,275
500 Pulte Corporation................................ 10,812
1,200 Toll Brothers, Inc............................... 24,600
-------------
51,687
-------------
Lodging-Hotel (7.9%)
3,800 Extended Stay America, Inc. (b).................. 35,150
6,900 Hilton Hotels.................................... 64,687
9,000 Host Marriott Corporation........................ 84,375
11,400 Starwood Hotels & Resorts Worldwide, Inc......... 368,362
-------------
552,574
-------------
FINANCIAL (82.9%)
Real Estate (3.9%)
14,400 Catellus Development Corporation (b)............. 216,000
2,300 Newhall Land & Farming Company................... 60,950
-------------
276,950
-------------
Real Estate Investment Trust (79.0%)
11,000 AMB Property Corporation......................... 250,937
6,760 Apartment Investment and Management.............. 292,370
5,400 Archstone Communities Trust...................... 113,737
8,000 Arden Realty Group, Inc.......................... 188,000
6,650 Avalonbay Communities, Inc....................... 277,637
2,200 Boston Properties, Inc........................... 84,975
2,800 Camden Property Trust............................ 82,250
6,500 Carramerica Realty Corporation................... 172,250
6,100 CBL & Associates Properties, Inc................. 152,119
4,700 Developers Diversified Realty Corporation........ 70,206
3,000 Duke Realty LP................................... 67,125
6,900 Equity Office Properties Trust................... 190,181
3,300 Equity Residential Properties Trust.............. 151,800
1,100 Essex Property Trust, Inc........................ 46,200
<CAPTION>
MARKET
SHARES VALUE(A)
------ --------------
<C> <S> <C>
FINANCIAL--CONTINUED
3,300 Felcor Suite Hotels, Inc......................... $ 61,050
7,900 Franchise Finance Corporation of America......... 181,700
6,600 General Growth Properties, Inc................... 209,550
4,400 Golf Trust Of America, Inc....................... 69,850
7,800 Highwoods Properties, Inc........................ 187,200
1,300 Home Properties New York, Inc.................... 39,000
11,700 Innkeepers USA Trust............................. 106,763
905 Istar Financial, Inc............................. 18,948
4,300 Kilroy Realty Corporation........................ 111,531
3,600 Kimco Realty Corporation......................... 147,600
6,710 Koger Equity, Inc................................ 113,231
1,900 Lennar Corporation............................... 38,475
6,600 Liberty Property Trust........................... 171,188
1,900 Macerich Company................................. 41,919
3,200 Mack-Cali Realty Corporation..................... 82,200
2,700 Meristar Hospitality Corporation................. 56,700
4,100 Mills Corporation................................ 77,131
6,700 Pacific Gulf Properties, Inc..................... 167,919
5,900 Pan Pacific Retail Properties, Inc............... 118,738
5,000 Parkway Properties, Inc.......................... 152,500
6,400 Philips International Realty Corporation......... 111,200
1,500 Post Properties, Inc............................. 66,000
8,900 Prologis Trust................................... 189,681
6,516 Public Storage, Inc.............................. 152,719
1,126 Reckson Associates Realty Corporation............ 28,643
4,100 Reckson Associates Realty Corporation Class B.... 97,375
7,400 Simon Property Group, Inc........................ 164,188
2,300 Spieker Properties, Inc. (b)..................... 108,675
3,100 Summit Properties, Inc........................... 65,100
7,400 Trammell Crow Company (b)........................ 79,550
8,100 Trizechhahn Corporation (c)...................... 144,788
8,100 Winston Hotels, Inc.............................. 60,750
-------------
5,561,649
-------------
TECHNOLOGY (1.0%)
600 American Tower Corporation (b)................... 25,013
900 Manugistics Group, Inc. (b)...................... 42,075
-------------
67,088
-------------
Total common stock (cost: $6,182,680)....................... 6,737,348
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
---------
<C> <S> <C> <C> <C>
SHORT-TERM SECURITIES (3.1%)
$215,327 Provident Institutional Funds--TempFund 215,327
Portfolio, current rate 6.460%.................
--------------
Total short-term securities (cost: $215,327).... 215,327
--------------
Total investments in securities
(cost: $6,398,007) (d)......................... $ 6,952,675
==============
</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 2.1% of net assets in foreign securities as of June 30,
2000.
(d) At June 30, 2000 the cost of securities for federal income tax purposes was
$6,500,721. The aggregate unrealized appreciation and depreciation of
investments in securities based on this cost were:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......................... $ 609,190
Gross unrealized depreciation.......................... (157,236)
--------------
Net unrealized appreciation............................ $ 451,954
==============
</TABLE>
93
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000
<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*..................... $607,752,975 $172,179,522 $144,134,436
Cash in bank on demand deposit......... 648 345,472 52
Receivable for Fund shares sold........ 149,000 106,372 273,776
Receivable for investment securities
sold.................................. 1,463,171 14,162 --
Dividends and accrued interest
receivable............................ 245,048 2,570,394 131,641
Receivable for refundable foreign
income taxes withheld................. -- -- --
Other Receivable....................... -- -- 1,667
------------ ------------ ------------
Total assets....................... 609,610,842 175,215,922 144,541,572
------------ ------------ ------------
LIABILITIES
Payable for Fund shares repurchased.... 426,993 42,488 168,552
Payable for investment securities
purchased............................. 9,934,641 -- --
Payable to Adviser..................... 356,696 88,730 68,422
Other Payable.......................... -- -- --
------------ ------------ ------------
Total liabilities.................. 10,718,330 131,218 236,974
------------ ------------ ------------
Net assets applicable to outstanding
capital stock......................... $598,892,512 $175,084,704 $144,304,598
============ ============ ============
Represented by:
Capital stock--authorized 10 trillion
shares of $.01 par value**.......... 1,808,111 1,535,870 1,443,046
Additional paid-in capital........... 342,035,982 185,503,418 142,861,552
Undistributed net investment
income.............................. (444,070) 5,810,194 --
Accumulated net realized gains
(losses) from investments and
foreign currency transactions....... 41,747,534 (12,835,768) --
Unrealized appreciation
(depreciation) on investments and
translation of assets and
liabilities in foreign currencies... 213,744,955 (4,929,010) --
------------ ------------ ------------
Total--representing net assets
applicable to outstanding capital
stock............................. $598,892,512 $175,084,704 $144,304,598
============ ============ ============
Net asset value per share of
outstanding capital stock............. $ 3.31 $ 1.14 $ 1.00
============ ============ ============
* Identified cost..................... $394,008,020 $177,108,532 $144,134,436
** Shares outstanding.................. 180,811,104 153,587,021 144,304,598
</TABLE>
See accompanying notes to financial statements.
94
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES - CONTINUED
JUNE 30, 2000
<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*..................... $765,700,126 $138,402,029 $646,847,896 $428,083,085 $356,934,308 $284,119,699
Cash in bank on demand deposit......... 169,140 1,113,405 11,289 6,164 3,655,544 --
Receivable for Fund shares sold........ 205,444 143,628 318,298 60,456 95,747 114,957
Receivable for investment securities
sold.................................. 2,564,307 3,829,505 5,218,901 28,554,786 514,279 5,853,667
Dividends and accrued interest
receivable............................ 2,718,478 891,106 535,917 115,286 902,552 28,069
Receivable for refundable foreign
income taxes withheld................. -- -- -- -- 273,316 --
Other Receivable....................... -- -- 108,625 -- 127,778 --
------------ ------------ ------------ ------------ ------------ ------------
Total assets....................... 771,357,495 144,379,674 653,040,926 456,819,777 362,503,524 290,116,392
------------ ------------ ------------ ------------ ------------ ------------
LIABILITIES
Payable for Fund shares repurchased.... 564,406 100,841 468,590 173,221 228,227 148,772
Payable for investment securities
purchased............................. 13,894,765 5,379,781 3,358,892 14,912,284 3,562,557 4,594,617
Payable to Adviser..................... 391,772 71,712 223,212 283,950 419,981 211,622
Other Payable.......................... -- -- -- -- 18,549 --
------------ ------------ ------------ ------------ ------------ ------------
Total liabilities.................. 14,850,943 5,552,334 4,050,694 15,369,455 4,229,314 4,955,011
------------ ------------ ------------ ------------ ------------ ------------
Net assets applicable to outstanding
capital stock......................... $756,506,552 $138,827,340 $648,990,232 $441,450,322 $358,274,210 $285,161,381
============ ============ ============ ============ ============ ============
Represented by:
Capital stock--authorized 10 trillion
shares of $.01 par value**.......... 3,193,074 1,224,496 1,450,776 1,277,929 2,007,320 1,185,716
Additional paid-in capital........... 526,207,771 139,878,078 322,472,335 263,867,840 282,328,122 174,742,498
Undistributed net investment
income.............................. 7,694,043 4,975,908 2,320,027 -- 3,988,707 (671,387)
Accumulated net realized gains
(losses) from investments and
foreign currency transactions....... 35,783,785 (3,382,379) (1,839,320) 81,647,787 13,256,404 84,201,056
Unrealized appreciation
(depreciation) on investments and
translation of assets and
liabilities in foreign currencies... 183,627,879 (3,868,763) 324,586,414 94,656,766 56,693,657 25,703,498
------------ ------------ ------------ ------------ ------------ ------------
Total--representing net assets
applicable to outstanding capital
stock............................. $756,506,552 $138,827,340 $648,990,232 $441,450,322 $358,274,210 $285,161,381
============ ============ ============ ============ ============ ============
Net asset value per share of
outstanding capital stock............. $ 2.37 $ 1.13 $ 4.47 $ 3.45 $ 1.78 $ 2.41
============ ============ ============ ============ ============ ============
* Identified cost..................... $582,072,247 $142,441,891 $322,231,795 $333,426,319 $300,425,955 $258,416,201
** Shares outstanding.................. 319,307,430 122,449,623 145,077,610 127,792,871 200,731,991 118,571,569
</TABLE>
95
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES - CONTINUED
JUNE 30, 2000
<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*..................... $8,504,701 $6,106,946 $4,891,826
Cash in bank on demand deposit......... 11 8,153 --
Receivable for Fund shares sold........ -- 297 242
Receivable for investment securities
sold.................................. -- -- --
Dividends and accrued interest
receivable............................ 215 339 141
Unrealized appreciation on forward
foreign currency contracts held, at
value (note 4)........................ -- -- --
Receivable for refundable foreign
income taxes withheld................. -- -- --
Other Receivable....................... -- -- --
---------- ---------- ----------
Total assets....................... 8,504,927 6,115,735 4,892,209
---------- ---------- ----------
LIABILITIES
Bank overdraft......................... -- -- 8,135
Payable for Fund shares repurchased.... 349 288 318
Payable for investment securities
purchased............................. -- -- --
Payable to Adviser..................... 2,774 1,986 1,571
Other Payable.......................... -- -- --
---------- ---------- ----------
Total liabilities.................. 3,123 2,274 10,024
---------- ---------- ----------
Net assets applicable to outstanding
capital stock......................... $8,501,804 $6,113,461 $4,882,185
========== ========== ==========
Represented by:
Capital stock--authorized 10 trillion
shares of $.01 par value**.......... 78,243 53,261 40,670
Additional paid-in capital........... 8,332,844 5,925,229 4,788,171
Undistributed net investment
income.............................. 244,176 185,900 149,686
Accumulated net realized gains
(losses) from investments and
foreign currency transactions....... (46,264) (104,900) (93,209)
Unrealized appreciation
(depreciation) on investments and
translation of assets and
liabilities in foreign currencies... (107,195) 53,971 (3,133)
---------- ---------- ----------
Total--representing net assets
applicable to outstanding capital
stock............................. $8,501,804 $6,113,461 $4,882,185
========== ========== ==========
Net asset value per share of
outstanding capital stock............. $ 1.09 $ 1.15 $ 1.20
========== ========== ==========
* Identified cost..................... $8,611,896 $6,052,975 $4,894,959
** Shares outstanding.................. 7,824,261 5,326,097 4,067,020
</TABLE>
See accompanying notes to financial statements.
96
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF ASSETS AND LIABILITIES - CONTINUED
JUNE 30, 2000
<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*..................... $162,368,962 $16,370,244 $31,836,158 $29,114,535 $27,943,213 $62,846,817 $6,952,675
Cash in bank on demand deposit......... 1,868 -- 508,422 17,871 2,609 12 22
Receivable for Fund shares sold........ 57,335 13,718 24,666 17,895 6,972 67,550 11,203
Receivable for investment securities
sold.................................. 4,548,710 65,222 701,755 10,754 238,867 556,950 169,958
Dividends and accrued interest
receivable............................ 116,963 21,542 608,750 25,057 22,889 10,569 55,001
Unrealized appreciation on forward
foreign currency contracts held, at
value (note 4)........................ -- -- 177,875 -- -- -- --
Receivable for refundable foreign
income taxes withheld................. -- -- 18,304 -- -- -- --
Other Receivable....................... -- -- 25,421 8,695 -- -- --
------------ ----------- ----------- ----------- ----------- ----------- ----------
Total assets....................... 167,093,838 16,470,726 33,901,351 29,194,807 28,214,550 63,481,898 7,188,859
------------ ----------- ----------- ----------- ----------- ----------- ----------
LIABILITIES
Bank overdraft......................... -- -- -- -- -- -- --
Payable for Fund shares repurchased.... 246,982 6,202 4,495 14,786 18,722 15,243 1,112
Payable for investment securities
purchased............................. 2,588,022 187,276 -- 54,659 779,450 512,817 142,016
Payable to Adviser..................... 115,242 13,927 61,107 13,267 20,287 62,845 5,661
Other Payable.......................... -- 582 11,376 -- -- -- --
------------ ----------- ----------- ----------- ----------- ----------- ----------
Total liabilities.................. 2,950,246 207,987 76,978 82,712 818,459 590,905 148,789
------------ ----------- ----------- ----------- ----------- ----------- ----------
Net assets applicable to outstanding
capital stock......................... $164,143,593 $16,262,739 $33,824,373 $29,112,095 $27,396,091 $62,890,993 $7,040,070
============ =========== =========== =========== =========== =========== ==========
Represented by:
Capital stock--authorized 10 trillion
shares of $.01 par value**.......... 1,018,347 168,626 367,284 230,344 241,142 265,963 82,238
Additional paid-in capital........... 158,525,559 15,774,122 36,336,476 24,712,429 26,399,980 48,735,135 7,506,458
Undistributed net investment
income.............................. 626,190 58,110 631,363 130,702 60,810 -- 141,779
Accumulated net realized gains
(losses) from investments and
foreign currency transactions....... (7,234,569) (802,053) (3,017,928) 2,062,851 (279,016) 6,532,581 (1,245,073)
Unrealized appreciation
(depreciation) on investments and
translation of assets and
liabilities in foreign currencies... 11,208,066 1,063,934 (492,822) 1,975,769 973,175 7,357,314 554,668
------------ ----------- ----------- ----------- ----------- ----------- ----------
Total--representing net assets
applicable to outstanding capital
stock............................. $164,143,593 $16,262,739 $33,824,373 $29,112,095 $27,396,091 $62,890,993 $7,040,070
============ =========== =========== =========== =========== =========== ==========
Net asset value per share of
outstanding capital stock............. $ 1.61 $ .96 $ .92 $ 1.26 $ 1.14 $ 2.36 $ .86
============ =========== =========== =========== =========== =========== ==========
* Identified cost..................... $151,160,896 $15,306,305 $32,514,208 $27,138,766 $26,970,038 $55,489,503 $6,398,007
** Shares outstanding.................. 101,834,740 16,862,595 36,728,395 23,034,360 24,114,207 26,596,263 8,223,780
</TABLE>
97
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF OPERATIONS
PERIOD FROM JANUARY 1, 2000 TO JUNE 30, 2000
<TABLE>
<CAPTION>
MONEY
GROWTH BOND MARKET
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ----------
<S> <C> <C> <C>
Investment Income
Interest............................. $ 477,725 $ 5,921,354 $4,364,616
Dividends (net of foreign withholding
taxes of $432,723 for International
Stock Portfolio).................... 856,127 403,833 --
------------ ----------- ----------
Total investment income.......... 1,333,852 6,325,187 4,364,616
------------ ----------- ----------
Expenses (note 5):
Investment advisory fee.............. 1,428,839 380,474 298,030
Rule 12b-1 fees...................... 240,612 72,092 60,143
Custodian fees....................... 9,509 4,786 5,488
Administrative services fee.......... 25,400 25,400 25,400
Auditing and accounting services..... 9,924 5,028 3,753
Legal fees........................... 7,749 4,500 4,500
Registration fees.................... -- 50 137
Printing and shareholder reports..... 51,317 20,247 7,873
Directors' fees...................... 3,045 1,182 892
Insurance............................ 1,527 832 696
Other................................ -- 402 4,404
------------ ----------- ----------
Total expenses................... 1,777,922 514,993 411,316
Less fees and expenses waived or
absorbed by Minnesota Life:......... -- -- --
------------ ----------- ----------
Total net expenses............... 1,777,922 514,993 411,316
------------ ----------- ----------
Investment income (loss)--net.... (444,070) 5,810,194 3,953,300
------------ ----------- ----------
Realized and unrealized gains (losses)
on investments and foreign currencies:
Net realized gains (losses) from:
Investments (note 3)............... 43,578,463 (7,022,894) --
Foreign currency transactions...... -- -- --
Net change in unrealized appreciation
or depreciation on:
Investments........................ (27,669,992) 6,255,912 --
Translation of assets and
liabilities in foreign currency... -- -- --
------------ ----------- ----------
Net gains (losses) on
investments..................... 15,908,471 (766,982) --
------------ ----------- ----------
Net increase (decrease) in net assets
resulting from operations............. $ 15,464,401 $ 5,043,212 $3,953,300
============ =========== ==========
</TABLE>
See accompanying notes to financial statements.
98
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF OPERATIONS - CONTINUED
PERIOD FROM JANUARY 1, 2000 TO JUNE 30, 2000
<TABLE>
<CAPTION>
SMALL
ASSET MORTGAGE CAPITAL INTERNATIONAL COMPANY
ALLOCATION SECURITIES INDEX 500 APPRECIATION STOCK GROWTH
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ---------- ----------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
Investment Income
Interest............................. $ 7,601,964 $5,294,556 $ 101,159 $ 544,859 $ 986,478 $ 496,568
Dividends (net of foreign withholding
taxes of $432,723 for International
Stock Portfolio).................... 2,215,074 90,894 3,621,775 599,749 4,657,344 23,423
------------ ---------- ----------- ------------ ------------ ------------
Total investment income.......... 9,817,038 5,385,451 3,722,934 1,144,608 5,643,822 519,991
------------ ---------- ----------- ------------ ------------ ------------
Expenses (note 5):
Investment advisory fee.............. 1,674,347 294,097 978,904 1,484,748 1,142,480 1,021,649
Rule 12b-1 fees...................... 306,324 56,660 37,601 177,813 143,379 108,394
Custodian fees....................... 19,054 7,168 9,577 6,159 161,163 12,762
Administrative services fee.......... 25,400 25,400 25,400 25,400 18,300 25,400
Auditing and accounting services..... 19,008 5,640 6,201 8,037 111,632 3,702
Legal fees........................... 9,719 4,500 8,412 5,798 4,561 4,500
Registration fees.................... -- 43 325 -- 15 --
Printing and shareholder reports..... 58,277 14,125 59,598 28,979 51,719 12,667
Directors' fees...................... 4,059 905 3,611 2,259 1,868 1,097
Insurance............................ 1,752 699 1,653 1,211 1,125 812
Other................................ 5,055 306 3,777 11,798 18,873 395
------------ ---------- ----------- ------------ ------------ ------------
Total expenses................... 2,122,995 409,543 1,402,907 1,752,202 1,655,115 1,191,378
Less fees and expenses waived or
absorbed by Minnesota Life:......... -- -- -- -- -- --
------------ ---------- ----------- ------------ ------------ ------------
Total net expenses............... 2,122,995 409,543 1,402,907 1,752,202 1,655,115 1,191,378
------------ ---------- ----------- ------------ ------------ ------------
Investment income (loss)--net.... 7,694,043 4,975,908 2,320,027 (607,594) 3,988,707 (671,387)
------------ ---------- ----------- ------------ ------------ ------------
Realized and unrealized gains (losses)
on investments and foreign currencies:
Net realized gains (losses) from:
Investments (note 3)............... 39,300,743 (215,315) 1,837,653 83,359,598 18,597,959 84,673,349
Foreign currency transactions...... -- -- -- -- (255,884) --
Net change in unrealized appreciation
or depreciation on:
Investments........................ (19,568,876) 613,783 (7,760,024) (76,741,758) (15,343,605) (72,805,583)
Translation of assets and
liabilities in foreign currency... -- -- -- -- 203,137 --
------------ ---------- ----------- ------------ ------------ ------------
Net gains (losses) on
investments..................... 19,731,867 398,468 (5,922,371) 6,617,840 3,201,607 11,867,766
------------ ---------- ----------- ------------ ------------ ------------
Net increase (decrease) in net assets
resulting from operations............. $ 27,425,910 $5,374,376 $(3,602,344) $ 6,010,246 $ 7,190,314 $ 11,196,379
============ ========== =========== ============ ============ ============
</TABLE>
99
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF OPERATIONS - CONTINUED
PERIOD FROM JANUARY 1, 2000 TO JUNE 30, 2000
<TABLE>
<CAPTION>
MATURING MATURING MATURING
GOVERNMENT GOVERNMENT GOVERNMENT
BOND 2002 BOND 2006 BOND 2010
PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ----------
<S> <C> <C> <C>
Investment Income
Interest............................. $261,675 $197,881 $159,251
Dividends............................ -- -- --
-------- -------- --------
Total investment income.......... 261,675 197,881 159,251
-------- -------- --------
Expenses (note 5):
Investment advisory fee.............. 10,937 7,488 5,978
Rule 12b-1 fees...................... -- -- --
Custodian fees....................... 3,658 2,374 2,177
Administrative services fee.......... 25,400 25,400 25,400
Auditing and accounting services..... 5,174 4,813 4,684
Legal fees........................... 4,500 4,500 4,500
Registration fees.................... 2 3 3
Printing and shareholder reports..... 1,382 1,114 894
Directors' fees...................... 50 42 34
Insurance............................ 177 152 150
Other................................ 19 14 11
-------- -------- --------
Total expenses................... 51,299 45,900 43,831
Less fees and expenses waived or
absorbed by Minnesota Life:......... (33,800) (33,919) (34,266)
-------- -------- --------
Total net expenses............... 17,499 11,981 9,565
-------- -------- --------
Investment income (loss)--net.... 244,176 185,900 149,686
-------- -------- --------
Realized and unrealized gains (losses)
on investments and foreign currencies:
Net realized gains (losses) from:
Investments (note 3)............... (20,649) (36,877) (53,104)
Foreign currency transactions...... -- -- --
Net change in unrealized appreciation
or depreciation on:
Investments........................ 26,454 179,571 282,584
Translation of assets and
liabilities in foreign currency... -- -- --
-------- -------- --------
Net gains (losses) on
investments..................... 5,805 142,694 229,480
-------- -------- --------
Net increase (decrease) in net assets
resulting from operations............. $249,981 $328,594 $379,166
======== ======== ========
</TABLE>
See accompanying notes to financial statements.
100
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF OPERATIONS - CONTINUED
PERIOD FROM JANUARY 1, 2000 TO JUNE 30, 2000
<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............................. $ 111,571 $ 39,731 $ 1,030,887 $ 52,621 $ 23,353 $ 276,798 $ 6,669
Dividends............................ 1,231,641 80,957 -- 151,328 145,592 2,702 164,385
------------ ---------- ----------- ---------- --------- ----------- ---------
Total investment income.......... 1,343,212 120,688 1,030,887 203,949 168,945 279,500 171,054
------------ ---------- ----------- ---------- --------- ----------- ---------
Expenses (note 5):
Investment advisory fee.............. 586,142 49,736 95,949 41,409 78,557 291,328 21,750
Rule 12b-1 fees...................... 70,639 6,241 -- 10,000 10,879 22,495 2,834
Custodian fees....................... 3,294 10,034 4,307 15,686 7,224 8,399 5,388
Administrative services fee.......... 25,400 25,400 18,300 25,400 25,400 18,300 25,400
Auditing and accounting services..... 4,569 8,546 50,174 8,190 34,647 8,190 7,259
Legal fees........................... 4,500 4,500 4,500 4,500 4,500 4,500 4,500
Registration fees.................... -- -- -- -- -- -- 113
Printing and shareholder reports..... 17,883 10,323 5,518 3,282 3,833 3,544 1,041
Directors' fees...................... 1,092 84 207 118 144 113 40
Insurance............................ 812 209 331 240 246 215 151
Other................................ 2,691 1,304 4,835 2,199 1,231 2,482 1,726
------------ ---------- ----------- ---------- --------- ----------- ---------
Total expenses................... 717,022 116,377 184,121 122,886 166,661 359,566 70,202
Less fees and expenses waived or
absorbed by Minnesota Life:......... -- (50,204) -- (49,639) (58,526) (7,200) (40,927)
------------ ---------- ----------- ---------- --------- ----------- ---------
Total net expenses............... 717,022 66,173 184,121 73,247 108,135 352,366 29,275
------------ ---------- ----------- ---------- --------- ----------- ---------
Investment income (loss)--net.... 626,190 54,515 846,766 130,702 60,810 (72,866) 141,779
------------ ---------- ----------- ---------- --------- ----------- ---------
Realized and unrealized gains (losses)
on investments and foreign currencies:
Net realized gains (losses) from:
Investments (note 3)............... (4,282,850) 535,903 (123,141) 2,336,635 (7,457) 6,632,511 (270,619)
Foreign currency transactions...... -- -- (1,899,542) -- -- -- --
Net change in unrealized appreciation
or depreciation on:
Investments........................ (7,173,427) 419,738 448,818 (313,257) (364,965) (8,793,903) 929,430
Translation of assets and
liabilities in foreign currency... -- -- 275,764 -- -- -- --
------------ ---------- ----------- ---------- --------- ----------- ---------
Net gains (losses) on
investments..................... (11,456,277) 955,641 (1,298,101) 2,023,378 (372,422) (2,161,392) 658,811
------------ ---------- ----------- ---------- --------- ----------- ---------
Net increase (decrease) in net assets
resulting from operations............. $(10,830,087) $1,010,156 $ (451,335) $2,154,080 $(311,612) $(2,234,260) $ 800,590
============ ========== =========== ========== ========= =========== =========
</TABLE>
101
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF CHANGES IN NET ASSETS
PERIOD FROM JANUARY 1, 2000 TO JUNE 30, 2000 AND YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
GROWTH BOND
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Operations:
Investment income (loss)--net........ $ (444,070) $ 620,866 $ 5,810,194 $ 10,726,543
Net realized gains (losses) on
investments......................... 43,578,463 20,132,234 (7,022,894) (5,461,475)
Net change in unrealized appreciation
or depreciation of investments...... (27,669,992) 100,961,695 6,255,912 (10,168,312)
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations........................ 15,464,401 121,714,795 5,043,212 (4,903,244)
------------ ------------ ------------ ------------
Distributions to shareholders from:
Investment income--net............... (20,866) (2,151,114) (10,726,543) (9,315,816)
Net realized gains................... (20,539,219) (13,013,829) -- (3,747,942)
------------ ------------ ------------ ------------
Total distributions................ (20,560,085) (15,164,943) (10,726,543) (13,063,758)
------------ ------------ ------------ ------------
Capital share transactions (note 7):
Proceeds from sales:................. 66,956,984 121,088,623 17,321,831 53,604,180
Shares issued as a result of
reinvested distributions............ 20,560,085 15,164,943 10,726,543 13,063,758
Payments for redemption of shares.... (78,204,594) (116,509,613) (29,161,580) (45,612,304)
------------ ------------ ------------ ------------
Increase (decrease) in net assets
from capital share transactions... 9,312,475 19,743,953 (1,113,206) 21,055,634
------------ ------------ ------------ ------------
Total increase in net assets....... 4,216,791 126,293,805 (6,796,537) 3,088,632
Net assets at beginning of period...... 594,675,721 468,381,916 181,881,241 178,792,609
------------ ------------ ------------ ------------
Net assets at end of period*........... $598,892,512 $594,675,721 $175,084,704 $181,881,241
============ ============ ============ ============
* including undistributed net
investment income of.................. $ -- $ 20,866 $ 5,810,194 $ 10,726,543
</TABLE>
See accompanying notes to financial statements.
102
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF CHANGES IN NET ASSETS - CONTINUED
PERIOD FROM JANUARY 1, 2000 TO JUNE 30, 2000 AND YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
MONEY ASSET MORTGAGE
MARKET ALLOCATION SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------- -------------------------- --------------------------
2000 1999 2000 1999 2000 1999
------------ ------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Investment income (loss)--net........ $ 3,953,300 $ 6,592,689 $ 7,694,043 $ 15,216,856 $ 4,975,908 $ 9,141,650
Net realized gains (losses) on
investments......................... -- -- 39,300,743 33,121,659 (215,315) (882,469)
Net change in unrealized appreciation
or depreciation of investments...... -- -- (19,568,876) 50,655,655 613,783 (5,631,350)
------------ ------------- ------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations........................ 3,953,300 6,592,689 27,425,910 98,994,170 5,374,376 2,627,831
------------ ------------- ------------ ------------ ------------ ------------
Distributions to shareholders from:
Investment income--net............... (3,953,300) (6,592,689) (409,615) (28,808,007) (9,141,650) (7,552,106)
Net realized gains................... -- -- (33,866,432) (32,912,956) -- --
------------ ------------- ------------ ------------ ------------ ------------
Total distributions................ (3,953,300) (6,592,689) (34,276,047) (61,720,963) (9,141,650) (7,552,106)
------------ ------------- ------------ ------------ ------------ ------------
Capital share transactions (note 7):
Proceeds from sales:................. 80,048,322 196,154,692 55,334,870 131,884,774 15,468,636 43,047,353
Shares issued as a result of
reinvested distributions............ 3,955,977 6,592,689 34,276,047 61,720,963 9,141,650 7,552,106
Payments for redemption of shares.... (96,279,378) (172,344,676) (76,382,917) (118,746,975) (20,830,939) (31,218,007)
------------ ------------- ------------ ------------ ------------ ------------
Increase (decrease) in net assets
from capital share transactions... (12,275,079) 30,402,705 13,228,000 74,858,762 3,779,347 19,381,452
------------ ------------- ------------ ------------ ------------ ------------
Total increase in net assets....... (12,275,079) 30,402,705 6,377,863 112,131,969 12,073 14,457,177
Net assets at beginning of period...... 156,579,677 126,176,972 750,128,689 637,996,720 138,815,267 124,358,090
------------ ------------- ------------ ------------ ------------ ------------
Net assets at end of period*........... $144,304,598 $ 156,579,677 $756,506,552 $750,128,689 $138,827,340 $138,815,267
============ ============= ============ ============ ============ ============
* including undistributed net
investment income of.................. $ -- $ -- $ 7,694,043 $ 409,615 $ 4,975,908 $ 9,141,650
</TABLE>
103
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF CHANGES IN NET ASSETS - CONTINUED
PERIOD FROM JANUARY 1, 2000 TO JUNE 30, 2000 AND YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
CAPITAL
INDEX 500 APPRECIATION
PORTFOLIO PORTFOLIO
-------------------------- --------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Operations:
Investment income (loss)--net........ $ 2,320,027 $ 5,080,124 $ (607,594) $ (923,100)
Net realized gains (losses) on
investments......................... 1,837,653 8,470,614 83,359,598 40,283,314
Net change in unrealized appreciation
or depreciation of investments...... (7,760,024) 100,231,061 (76,741,758) 41,566,691
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from
operations........................ (3,602,344) 113,781,799 6,010,246 80,926,905
------------ ------------ ------------ ------------
Distributions to shareholders from:
Investment income--net............... (80,124) (10,083,595) -- --
Net realized gains................... (9,444,500) (8,167,486) (39,535,288) (52,034,035)
------------ ------------ ------------ ------------
Total distributions................ (9,524,624) (18,251,081) (39,535,288) (52,034,035)
------------ ------------ ------------ ------------
Capital share transactions (note 7):
Proceeds from sales:................. 95,679,189 206,284,610 38,680,586 69,233,507
Shares issued as a result of
reinvested distributions............ 9,524,624 18,251,081 39,535,288 52,034,035
Payments for redemption of shares.... (100,910,978) (199,101,535) (60,689,264) (85,511,305)
------------ ------------ ------------ ------------
Increase (decrease) in net assets
from capital share transactions... 4,292,835 25,434,156 17,526,610 35,756,237
------------ ------------ ------------ ------------
Total increase in net assets....... (8,834,133) 120,964,874 (15,998,432) 64,649,107
Net assets at beginning of period...... 657,824,365 536,859,491 457,448,754 392,799,647
------------ ------------ ------------ ------------
Net assets at end of period*........... $648,990,232 $657,824,365 $441,450,322 $457,448,754
============ ============ ============ ============
* including undistributed net
investment income of.................. $ 2,319,498 $ 80,124 $ -- $ --
</TABLE>
See accompanying notes to financial statements.
104
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF CHANGES IN NET ASSETS - CONTINUED
PERIOD FROM JANUARY 1, 2000 TO JUNE 30, 2000 AND YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SMALL MATURING
INTERNATIONAL COMPANY GOVERNMENT
STOCK GROWTH BOND 2002
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------- -------------------------- ------------------------
2000 1999 2000 1999 2000 1999
------------ ------------ ------------ ------------ ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Investment income (loss)--net........ $ 3,988,707 $ 6,521,852 $ (671,387) $ (876,683) $ 244,176 $ 421,786
Net realized gains (losses) on
investments......................... 18,342,075 28,995,007 84,673,349 36,374,507 (20,649) (19,742)
Net change in unrealized appreciation
or depreciation of investments...... (15,140,468) 28,324,477 (72,805,583) 48,401,789 26,454 (425,226)
------------ ------------ ------------ ------------ ----------- -----------
Net increase (decrease) in net
assets resulting from
operations........................ 7,190,314 63,841,336 11,196,379 83,899,613 249,981 (23,182)
------------ ------------ ------------ ------------ ----------- -----------
Distributions to shareholders from:
Investment income--net............... (5,722,102) (7,999,361) -- -- (3,786) (421,076)
Net realized gains................... (29,802,795) (15,540,036) (17,648,661) -- -- --
------------ ------------ ------------ ------------ ----------- -----------
Total distributions................ (35,524,897) (23,539,397) (17,648,661) -- (3,786) (421,076)
------------ ------------ ------------ ------------ ----------- -----------
Capital share transactions (note 7):
Proceeds from sales:................. 36,826,273 72,079,888 42,493,274 48,493,150 482,765 5,070,623
Shares issued as a result of
reinvested distributions............ 35,524,897 23,539,397 17,648,661 -- 3,786 421,076
Payments for redemption of shares.... (49,591,335) (82,944,819) (38,409,384) (57,858,209) (2,391,513) (1,741,050)
------------ ------------ ------------ ------------ ----------- -----------
Increase (decrease) in net assets
from capital share transactions... 22,759,835 12,674,466 21,732,551 (9,365,059) (1,904,962) 3,750,649
------------ ------------ ------------ ------------ ----------- -----------
Total increase in net assets....... (5,574,748) 52,976,405 15,280,269 74,534,554 (1,658,767) 3,306,391
Net assets at beginning of period...... 363,848,958 310,872,553 269,881,112 195,346,558 10,160,571 6,854,180
------------ ------------ ------------ ------------ ----------- -----------
Net assets at end of period*........... $358,274,210 $363,848,958 $285,161,381 $269,881,112 $ 8,501,804 $10,160,571
============ ============ ============ ============ =========== ===========
* including undistributed net
investment income of.................. $ 3,988,707 $ 5,722,102 $ -- $ -- $ 244,176 $ 3,786
</TABLE>
105
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF CHANGES IN NET ASSETS - CONTINUED
PERIOD FROM JANUARY 1, 2000 TO JUNE 30, 2000 AND YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
MATURING MATURING
GOVERNMENT GOVERNMENT
BOND 2006 BOND 2010
PORTFOLIO PORTFOLIO
----------------------- ------------------------
2000 1999 2000 1999
---------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Operations:
Investment income (loss)--net........ $ 185,900 $ 376,514 $ 149,686 $ 312,933
Net realized gains (losses) on
investments......................... (36,877) (48,930) (53,104) 85
Net change in unrealized appreciation
or depreciation of investments...... 179,571 (865,808) 282,584 (979,955)
---------- ----------- ----------- -----------
Net increase (decrease) in net
assets resulting from
operations........................ 328,594 (538,224) 379,166 (666,937)
---------- ----------- ----------- -----------
Distributions to shareholders from:
Investment income--net............... (2,514) (374,327) (312,933) (231,080)
Net realized gains................... -- -- (23,561) (10,517)
Tax return of capital................ -- -- -- --
---------- ----------- ----------- -----------
Total distributions................ (2,514) (374,327) (336,494) (241,597)
---------- ----------- ----------- -----------
Capital share transactions (note 7):
Proceeds from sales:................. 292,659 1,720,301 564,060 2,038,505
Shares issued as a result of
reinvested distributions............ 2,514 374,327 336,494 241,597
Payments for redemption of shares.... (768,316) (1,791,410) (1,003,373) (2,077,689)
---------- ----------- ----------- -----------
Increase (decrease) in net assets
from capital share transactions... (473,143) 303,218 (102,819) 202,413
---------- ----------- ----------- -----------
Total increase in net assets....... (147,063) (609,333) (60,147) (706,121)
Net assets at beginning of period...... 6,260,524 6,869,857 4,942,332 5,648,453
---------- ----------- ----------- -----------
Net assets at end of period*........... $6,113,461 $ 6,260,524 $ 4,882,185 $ 4,942,332
========== =========== =========== ===========
* including undistributed net
investment income of.................. $ 185,900 $ 2,514 $ 149,686 $ 312,933
</TABLE>
See accompanying notes to financial statements.
106
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF CHANGES IN NET ASSETS - CONTINUED
PERIOD FROM JANUARY 1, 2000 TO JUNE 30, 2000 AND YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
VALUE SMALL COMPANY GLOBAL
STOCK VALUE BOND
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------- ------------------------ ------------------------
2000 1999 2000 1999 2000 1999
------------ ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Investment income (loss)--net........ $ 626,189 $ 2,544,301 $ 54,515 $ 146,405 $ 846,766 $ 1,850,693
Net realized gains (losses) on
investments......................... (4,282,850) 8,724,028 535,903 (724,418) (2,022,683) (2,333,129)
Net change in unrealized appreciation
or depreciation of investments...... (7,173,427) (10,353,629) 419,738 409,866 724,582 (2,043,163)
------------ ------------ ----------- ----------- ----------- -----------
Net increase (decrease) in net
assets resulting from
operations........................ (10,830,087) 914,700 1,010,156 (168,147) (451,335) (2,525,599)
------------ ------------ ----------- ----------- ----------- -----------
Distributions to shareholders from:
Investment income--net............... (94,301) (5,725,701) (5,268) (150,000) (6,987) (908,156)
Net realized gains................... -- -- -- -- -- (141,029)
Tax return of capital................ -- -- -- -- -- --
------------ ------------ ----------- ----------- ----------- -----------
Total distributions................ (94,301) (5,725,701) (5,268) (150,000) (6,987) (1,049,185)
------------ ------------ ----------- ----------- ----------- -----------
Capital share transactions (note 7):
Proceeds from sales:................. 20,299,961 45,459,132 5,271,175 6,559,658 4,553,804 7,332,871
Shares issued as a result of
reinvested distributions............ 94,301 5,725,701 5,268 150,000 6,987 1,049,185
Payments for redemption of shares.... (36,706,058) (69,039,954) (2,536,132) (2,519,839) (2,371,008) (3,866,428)
------------ ------------ ----------- ----------- ----------- -----------
Increase (decrease) in net assets
from capital share transactions... (16,311,796) (17,855,121) 2,740,311 4,189,819 2,189,783 4,515,628
------------ ------------ ----------- ----------- ----------- -----------
Total increase in net assets....... (27,236,184) (22,666,122) 3,745,199 3,871,672 1,731,461 940,844
Net assets at beginning of period...... 191,379,777 214,045,899 12,517,540 8,645,868 32,092,912 31,152,068
------------ ------------ ----------- ----------- ----------- -----------
Net assets at end of period*........... $164,143,593 $191,379,777 $16,262,739 $12,517,540 $33,824,373 $32,092,912
============ ============ =========== =========== =========== ===========
* including undistributed net
investment income of.................. $ 626,190 $ 94,301 $ 58,110 $ 8,863 $ 631,363 $ (208,416)
</TABLE>
107
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF CHANGES IN NET ASSETS - CONTINUED
PERIOD FROM JANUARY 1, 2000 TO JUNE 30, 2000 AND YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
INDEX 400
MID-CAP
PORTFOLIO
------------------------
2000 1999
----------- -----------
<S> <C> <C>
Operations:
Investment income (loss)--net........ $ 130,702 $ 110,929
Net realized gains (losses) on
investments......................... 2,336,635 1,165,577
Net change in unrealized appreciation
or depreciation of investments...... (313,257) 1,664,366
----------- -----------
Net increase (decrease) in net
assets resulting from
operations........................ 2,154,080 2,940,872
----------- -----------
Distributions to shareholders from:
Investment income--net............... (12,429) (98,500)
Net realized gains................... (395,850) (1,658,627)
Tax return of capital................ -- --
----------- -----------
Total distributions................ (408,279) (1,757,127)
----------- -----------
Capital share transactions (note 7):
Proceeds from sales:................. 9,658,575 14,710,439
Shares issued as a result of
reinvested distributions............ 408,279 1,757,127
Payments for redemption of shares.... (7,057,831) (3,805,290)
----------- -----------
Increase (decrease) in net assets
from capital share transactions... 3,009,023 12,662,276
----------- -----------
Total increase in net assets....... 4,754,824 13,846,021
Net assets at beginning of period...... 24,357,271 10,511,250
----------- -----------
Net assets at end of period*........... $29,112,095 $24,357,271
=========== ===========
* including undistributed net
investment income of.................. $ 130,702 $ 12,429
</TABLE>
See accompanying notes to financial statements.
108
<PAGE>
ADVANTUS SERIES FUND, INC.
STATEMENT OF CHANGES IN NET ASSETS - CONTINUED
PERIOD FROM JANUARY 1, 2000 TO JUNE 30, 2000 AND YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
MACRO-CAP MICRO-CAP REAL ESTATE
VALUE GROWTH SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------ ------------------------- ------------------------
2000 1999 2000 1999 2000 1999
----------- ----------- ------------ ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Operations:
Investment income (loss)--net........ $ 60,810 $ 96,533 $ (72,868) $ (73,150) $ 141,779 $ 252,754
Net realized gains (losses) on
investments......................... (7,457) 700,348 6,632,511 5,447,807 (270,619) (579,299)
Net change in unrealized appreciation
or depreciation of investments...... (364,965) 382,932 (8,793,903) 14,803,544 929,430 87,999
----------- ----------- ------------ ----------- ---------- -----------
Net increase (decrease) in net
assets resulting from
operations........................ (311,612) 1,179,813 (2,234,260) 20,178,201 800,590 (238,546)
----------- ----------- ------------ ----------- ---------- -----------
Distributions to shareholders from:
Investment income--net............... (33) (98,097) -- -- -- (252,754)
Net realized gains................... (212,125) (826,182) (4,470,284) -- -- --
Tax return of capital................ -- -- -- -- -- (60,746)
----------- ----------- ------------ ----------- ---------- -----------
Total distributions................ (212,158) (924,279) (4,470,284) -- -- (252,754)
----------- ----------- ------------ ----------- ---------- -----------
Capital share transactions (note 7):
Proceeds from sales:................. 9,075,899 13,357,586 37,595,284 19,083,551 850,685 1,811,607
Shares issued as a result of
reinvested distributions............ 212,158 924,279 4,470,284 (4,742,527) -- 313,500
Payments for redemption of shares.... (3,938,472) (3,055,089) (15,023,701) -- (437,152) (1,069,575)
----------- ----------- ------------ ----------- ---------- -----------
Increase (decrease) in net assets
from capital share transactions... 5,349,585 11,226,776 27,041,865 14,341,024 413,533 1,055,532
----------- ----------- ------------ ----------- ---------- -----------
Total increase in net assets....... 4,825,815 11,482,310 20,337,321 34,519,225 1,214,123 564,232
Net assets at beginning of period...... 22,570,276 11,087,966 42,533,670 8,034,445 5,825,947 5,322,461
----------- ----------- ------------ ----------- ---------- -----------
Net assets at end of period*........... $27,396,091 $22,570,276 $ 62,890,993 $42,553,670 $7,040,070 $ 5,886,693
=========== =========== ============ =========== ========== ===========
* including undistributed net
investment income of.................. $ 60,810 $ 33 $ -- $ -- $ 141,779 $ --
</TABLE>
109
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000
(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.
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,
110
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - CONTINUED
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - (CONTINUED)
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.
FUTURES TRANSACTION
To gain exposure to or protect itself from market changes, the Fund may buy
and sell financial futures contracts traded on any U.S. or foreign exchange. The
Fund also may buy and write put and call options on these futures contracts.
Risks of entering into futures contracts and related options include the
possibility of an illiquid market and that a change in the value of the contract
or option may correlate with changes in the value of the underlying securities.
Upon entering into a futures contract, the Fund is required to deposit either
cash or securities in an amount (initial margin) equal to a certain percentage
of the contract value. Subsequent payments (variation margin) are made or
received by the Fund each day. The variation margin payments are equal to the
daily changes in the contract value and are recorded as unrealized gains and
losses. The Fund recognizes a realized gain or loss when the contract is closed
or expires.
FEDERAL TAXES
The Fund's policy is to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
taxable income to shareholders. Therefore, no income tax provision is required.
Each Portfolio within the Fund is treated as a separate entity for federal
income tax purposes. The Fund's policy is to make the required minimum
distributions prior to December 31, in order to avoid Federal excise tax.
For federal income tax purposes, the following Portfolios had capital loss
carryovers at June 30, 2000, 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
111
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - CONTINUED
(2) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES - (CONTINUED)
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.
On the statement of assets and liabilities, as a result of permanent book-to-tax
differences, a reclassification adjustments were made as follows:
<TABLE>
<CAPTION>
UNDISTRIBUTED NET ACCUMULATED ADDITIONAL PAID IN
INVESTMENT INCOME REALIZED GAIN/LOSS CAPITAL
----------------- ------------------ ------------------
<S> <C> <C> <C>
Capital Appreciation.............................. $607,594 $(607,594) $0
Micro-Cap Growth.................................. 72,866 (72,866) 0
</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.
SECURITIES PURCHASED ON A WHEN-ISSUED BASIS
Delivery and payment for securities which have been purchased by the Fund on
a forward commitment or when-issued basis can take place a month or more after
the transaction date. During this period, such securities are subject to market
flucuations. As of June 30, 2000, Asset Allocation Portfolio had entered into
outstanding, when-issued or forward commitments of $4,340,320. The Portfolio has
segregated assets with the Portfolio's custodian to cover such when-issued and
forward commitments.
(3) INVESTMENT SECURITY TRANSACTIONS
For the period ended June 30, 2000, the cost of purchases and proceeds from
sales of investment securities aggregated $469,810,874 and $481,194,899,
respectively, for Money Market. For the other Portfolios, the cost of purchases
and proceeds from sales of investment securities, other than temporary
investments in short-term securities, for the period ended June 30, 2000 were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ -------------
<S> <C> <C>
Growth............................................. $393,037,801 $413,163,016
Bond............................................... 162,414,545 173,363,128
Asset Allocation................................... 545,484,086 564,552,965
Mortgage Securities................................ 47,599,157 47,004,640
Index 500.......................................... 44,642,042 51,563,828
Capital Appreciation............................... 572,425,961 616,809,026
International Stock................................ 31,975,199 45,807,043
Small Company Growth............................... 17,289,143 14,047,620
Maturing Government Bond 2002...................... 3,267,328 4,878,559
Maturing Government Bond 2006...................... 0 311,344
Maturing Government Bond 2010...................... 220,668 547,181
Value Stock........................................ 156,623,029 171,697,743
Small Company Value................................ 17,289,143 14,047,620
Global Bond........................................ 44,001,107 42,399,763
Index 400 Mid-Cap.................................. 14,735,823 14,822,535
Macro-Cap Value.................................... 11,532,451 5,484,936
Micro-Cap Growth................................... 50,930,162 26,280,976
Real Estate Securities............................. 4,108,420 3,643,435
</TABLE>
112
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - CONTINUED
(4) FORWARD FOREIGN CURRENCY CONTRACTS
On June 30, 2000, Global Bond had entered into forward currency contracts
that obligate Global Bond to deliver currencies at specified future dates.
Unrealized appreciation and depreciation on these contracts is included in the
accompanying financial statements. The terms of the open contracts were as
follows:
<TABLE>
<CAPTION>
EXCHANGE CURRENCY TO BE CURRENCY TO BE UNREALIZED UNREALIZED
DATE DELIVERED RECEIVED APPRECIATION DEPRECIATION
--------------------- --------------------- ------------------------ -------------- --------------
<C> <C> <S> <C> <C> <C> <C>
08/10/2000 1,603,250 US$ 2,750,000 AUD $ 38,499 $ --
08/23/2000 1,639,456 US$ 2,410,000 CAD -- 8,499
07/03/2000 1,600,000 US$ 1,757,711 EUR 73,999 --
08/14/2000 1,600,000 US$ 1,754,867 EUR 75,404 --
07/24/2000 1,280,000 US$ 1,429,130 EUR 82,811 --
08/25/2000 1,600,000 US$ 1,747,373 EUR 69,243 --
07/26/2000 306,000 US$ 334,796 EUR 13,299 --
08/25/2000 1,600,000 US$ 1,690,081 EUR 14,513 --
08/14/2000 1,520,000 MXP 151,018 US$ -- 4,147
08/22/2000 753,968 EUR 76,000,000 JPY 4,191 --
08/22/2000 753,221 EUR 76,000,000 JPY 4,905 --
08/22/2000 1,324,440 US$ 139,000,000 JPY 323 --
07/03/2000 11,261 ARA 11,809 EUR -- 21
07/05/2000 483,618 ARA 483,618 US$ -- 276
07/05/2000 105,022 ARA 105,022 US$ -- 60
08/10/2000 2,750,000 AUD 1,650,756 US$ 9,008 --
07/03/2000 1,776,495 EUR 1,600,000 US$ -- 91,888
08/14/2000 1,784,221 EUR 1,600,000 US$ -- 103,429
-------- --------
$386,195 $208,320
======== ========
</TABLE>
<TABLE>
<S> <C>
ARA Argentina Peso
AUD Australian Dollar
CAD Canadian Dollar
EUR Euro
JPY Japanese Yen
MXP Mexican Peso
US$ 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.
113
<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>
Growth.................................. .45% of assets to $1 billion; and
.40% of assets exceeding $1 billion
Bond.................................... .30% of assets to $500 million
.25% of assets exceeding $500 million to
$1 billion; and
.20% of assets exceeding $1 billion
Money Market............................ .25% of assets to $1 billion; and
.20% of assets exceeding $1 billion
Asset Allocation........................ .35% of assets to $1 billion; and
.30% of assets exceeding $1 billion
Mortgage Securities..................... .30% of assets to $1 billion; and
.25% of assets exceeding $1 billion
Index 500............................... .15% of assets to $250 million;
.10% of assets exceeding $250 million to
$1 billion; and
.075% of assets exceeding $1 billion
Capital Appreciation.................... .50% of assets to $1 billion; and
.45% of assets exceeding $1 billion
International Stock..................... .60% of assets to $250 million;
.55% of assets exceeding $250 million to
$500 million
.50% of assets exceeding $500 million to
$1 billion; and
.45% of assets exceeding $1 billion
Small Company Growth.................... .65% of assets to $1 billion; and
.60% of assets exceeding $1 billion
Maturing Government Bond 2002........... .25%
Maturing Government Bond 2006........... .25%
Maturing Government Bond 2010........... .25%
Value Stock............................. .50% of assets to $500 million;
.45% of assets exceeding $500 million to
$1 billion; and
.40% of assets exceeding $1 billion
Small Company Value..................... .70% of assets to $1 billion; and
.65% of assets exceeding $1 billion
Global Bond............................. .60% of assets to $1 billion; and
.55% of assets exceeding $1 billion
Index 400 Mid Cap....................... .15% of assets to $250 million
.10% of assets exceeding $250 million to
$1 billion; and
.075% of assets exceeding $1 billion
Macro-Cap Value......................... .50%
Micro-Cap Growth........................ .95%
Real Estate Securities.................. .60% of assets to $1 billion; and
.55% of assets exceeding $1 billion
</TABLE>
114
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - CONTINUED
(5) EXPENSES AND RELATED PARTY TRANSACTIONS - (CONTINUED)
Advantus Capital has sub-advisory agreements with the following registered
investment advisers. Under the sub-advisory agreements, Advantus Capital pays
the sub-advisers a portion of the above annual fee based on average daily net
assets, in the following amounts:
<TABLE>
<CAPTION>
PORTFOLIO SUB-ADVISOR FEE
--------- ----------- ------------------------------
<S> <C> <C>
Capital Appreciation Credit Suisse Asset Management, LLC .50% of total assets between
$0 and $500 million;
.45% of total assets between
$500 million and $1 billion;
.35% of total assets between
$1 billion and $2 billion;
and
.30% of total assets exceeding
$2 billion
International Stock Templeton Investment Counsel, Inc. .70% of total assets between
$0 and $10 million;
.65% of total assets exceeding
$10 million to $25 million;
.55% of total assets exceeding
$25 million to $50 million;
.50% of total assets exceeding
$50 million to $100 million;
and
.40% of assets exceeding
$100 million
Small Company Growth Credit Suisse Asset Management, LLC .65% of total assets between
$0 and $500 million;
.60% of total assets between
$500 million and $1 billion;
.50% of total assets between
$1 billion and $2 billion;
and
.45% of total assets exceeding
$2 billion
Small Company Value State Street Research & Management .65% on the first
Company $500 million of assets;
.60% on the next $500 million
of assets;
.50% of assets in excess of
$1 billion
Global Bond Julius Baer Investment Management, Inc. .30% of average daily net
assets
Macro-Cap Value J.P. Morgan Investment Managment, Inc. .45% of average daily net
assets
Micro-Cap Growth Wall Street Associates .85% of average daily net
assets
</TABLE>
Prior to May 1, 2000, each portfolio of the Fund paid Advantus Capital an annual
fee, based on average net assets, in the following amounts:
<TABLE>
<CAPTION>
ANNUAL FEE
------------------------------
<S> <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%
</TABLE>
115
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - CONTINUED
(5) EXPENSES AND RELATED PARTY TRANSACTIONS - (CONTINUED)
<TABLE>
<CAPTION>
ANNUAL FEE
------------------------------
<S> <C>
Value Stock............................................ .75%
Small Company Value.................................... .75%
Global Bond............................................ .60%
Index 400 Mid-Cap...................................... .40%
Macro-Cap Value........................................ .70%
Micro-Cap Value........................................ 1.10%
Real Estate Securities................................. .75%
</TABLE>
Prior to May 1, 2000 Advantus Capital had sub-advisory agreements with the
following registered investment advisers. Under the sub-advisory agreements,
Advantus Capital paid 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>
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, .30%
Inc.
Macro-Cap Value J.P. Morgan Investment Management, .45%
Inc.
Micro-Cap Growth Wall Street Associates .85%
</TABLE>
The Fund bears certain other operating expenses including outside directors'
fees, federal registration fees, printing and shareholder report expenses, legal
fees, audit fees, custodian fees, organizational costs and other 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. Advantus Capital Management directly incurs and pays these operating
expenses relating to the Fund and the Fund in turn reimburses Advantus Capital
Management.
VOLUNTARY FEE ABSORPTION
Prior to May 1, 2000, Minnesota Life had voluntarily agreed to absorb all
fees and expenses that exceed .65% of average daily net assets for the Growth
Portfolio, Bond Portfolio, Money Market Portfolio, Asset Allocation Portfolio
and Mortgage Securities Portfolio, .55% of average daily net assets for the
Index 500 Portfolio and Index 400 Mid-Cap Portfolio, .90% of average daily net
assets for the Capital Appreciation Portfolio, Small Company Growth Portfolio,
Value Stock Portfolio, Small Company Value Portfolio and Real Estate Securities
Portfolio, .40% of average daily net assets for each of the three Maturing
Government Bond Portfolios, 1.60% of average daily net assets of Global Bond
Portfolio, .85% of average daily net assets of Macro-Cap Value Portfolio, and
1.25% of average daily net assets of Micro-Cap Growth Portfolio. In addition,
Minnesota Life had voluntarily agreed to absorb expenses, excluding investment
advisory fees, that exceed 1.00% for International Stock Portfolio. Effective
May 1, 2000, Advantus Capital has voluntarily agreed to absorb all fees and
expenses that exceed, for each Portfolio, the percentage of average daily net
assets set forth above. Advantus Capital has not agreed to absorb expenses over
a specified period of time and it may cease its absorption of expenses at any
time. If it does so, some Portfolio expenses would increase and thereby reduce
investment return.
During the period ended, Advantus Capital Management voluntarily agreed to
absorb $33,800, $33,919, $34,266, $50,204, $49,639, $58,526, $7,200 and $40,927
in expenses that were otherwise payable by Maturing
116
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - CONTINUED
(5) EXPENSES AND RELATED PARTY TRANSACTIONS - (CONTINUED)
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 $4,300 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 $3,100 per month for each Portfolio. Prior to
February 1, 2000, the administrative services fee was $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 was $2,800 per month.
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.
DISTRIBUTION FEES
The Fund has adopted a Rule 12b-1 Distribution Plan covering all of its
Portfolios except the Maturing Government Bond Portfolios. Each covered
Portfolio pays distribution fees equal to .25% per annum of the average daily
net assets of the Portfolio. These fees are paid out of the Portfolio's assets,
which affects the Portfolio's share price. The fees are paid to Ascend Financial
Services, Inc. (Ascend Financial) the Fund's underwriter, to pay for
distribution-related expenses and activities in connection with the distribution
of the Portfolio's shares. Ascend Financial may also use the fees to pay
insurance companies, dealers or others for certain non-distribution services as
provided for in the Distribution Plan.
(6) STOCK INDEX FUTURES CONTRACTS
Investments in securities as of June 30, 2000, included securities valued at
$8,480,000 in the Index 500 Portfolio and $428,905 in the Index 400 Mid-Cap
Portfolio that were used as collateral to cover initial margin deposits in
eleven open purchase contracts in the Index 500 Portfolio and eleven open
purchase contracts in the Index 400 Mid-Cap Portfolio. The market value of the
open purchase contracts as of June 30, 2000 was $4,037,275 in the Index 500
Portfolio and $2,685,650 in the Index 400 Mid-Cap Portfolio with a net realized
gain of $331,309 in the Index 500 Portfolio and a realized loss of $119,703 in
the Index 400 Mid-Cap Portfolio.
117
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - CONTINUED
(7) CAPITAL SHARE TRANSACTIONS
Transactions in shares of Portfolios for the period ended June 30, 2000 and
the year ended December 31, 1999 were as follows:
<TABLE>
<CAPTION>
GROWTH BOND
--------------------------- ---------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 19,497,297 42,839,351 14,420,331 44,447,081
Issued for reinvested distributions......................... 5,676,127 5,597,679 9,520,538 10,863,182
Redeemed.................................................... (22,795,661) (41,077,172) (24,539,772) (37,836,298)
----------- ------------ ----------- -----------
2,377,763 7,359,858 (598,903) 17,473,965
=========== ============ =========== ===========
</TABLE>
<TABLE>
<CAPTION>
MONEY MARKET ASSETS ALLOCATION
--------------------------- ---------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 77,293,035 196,147,412 23,485,965 59,907,235
Issued for reinvested distributions......................... 3,955,976 6,599,969 13,823,434 28,365,669
Redeemed.................................................... (93,524,090) (172,344,676) (32,328,838) (53,909,578)
----------- ------------ ----------- -----------
(12,275,079) 30,402,705 4,980,561 34,363,326
=========== ============ =========== ===========
</TABLE>
<TABLE>
<CAPTION>
MORTGAGE SECURITIES INDEX 500
--------------------------- ---------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 12,921,211 36,777,720 21,236,099 49,686,146
Issued for reinvested distributions......................... 8,281,538 6,511,621 2,058,564 4,378,781
Redeemed.................................................... (17,540,343) (26,626,624) (22,355,791) (47,233,005)
----------- ------------ ----------- -----------
3,662,406 16,662,717 938,872 6,831,922
=========== ============ =========== ===========
</TABLE>
<TABLE>
<CAPTION>
CAPITAL APPRECIATION INTERNATIONAL STOCK
--------------------------- ---------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 10,898,886 22,418,718 20,181,618 41,001,132
Issued for reinvested distributions......................... 10,472,197 17,936,740 20,289,924 14,386,485
Redeemed.................................................... (17,071,749) (27,938,372) (27,343,917) (47,503,619)
----------- ------------ ----------- -----------
4,299,334 12,417,086 13,127,625 7,883,998
=========== ============ =========== ===========
</TABLE>
<TABLE>
<CAPTION>
MATURING GOVERNMENT
SMALL COMPANY GROWTH BOND 2002
--------------------------- ---------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 16,444,934 28,170,922 345,729 4,624,824
Issued for reinvested distributions......................... 6,303,095 -- 3,555 398,816
Redeemed.................................................... (14,811,254) (34,140,673) (2,157,287) (1,590,033)
----------- ------------ ----------- -----------
7,936,775 (5,969,751) (1,808,003) 3,433,607
=========== ============ =========== ===========
</TABLE>
118
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - CONTINUED
(7) CAPITAL SHARE TRANSACTIONS - (CONTINUED)
<TABLE>
<CAPTION>
MATURING GOVERNMENT MATURING GOVERNMENT
BOND 2006 BOND 2010
--------------------------- ---------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 256,290 1,435,106 458,616 1,602,449
Issued for reinvested distributions......................... 2,273 343,513 290,108 186,504
Redeemed.................................................... (694,223) (1,497,984) (832,917) (1,644,699)
----------- ------------ ----------- -----------
(435,660) 280,635 (84,193) 144,254
=========== ============ =========== ===========
</TABLE>
<TABLE>
<CAPTION>
VALUE STOCK SMALL COMPANY VALUE
--------------------------- ---------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 11,590,609 26,200,731 5,931,543 7,303,801
Issued for reinvested distributions......................... 54,879 3,356,163 6,120 167,362
Redeemed.................................................... (21,563,605) (39,454,214) (2,863,080) (2,800,436)
----------- ------------ ----------- -----------
(9,918,117) (9,897,320) 3,074,583 4,670,727
=========== ============ =========== ===========
</TABLE>
<TABLE>
<CAPTION>
GLOBAL BOND INDEX 400 MID CAP
--------------------------- ---------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 4,991,751 7,504,432 7,930,030 13,266,825
Issued for reinvested distributions......................... 7,579 1,097,583 319,338 1,593,032
Redeemed.................................................... (2,594,992) (3,985,565) (5,795,067) (3,424,608)
----------- ------------ ----------- -----------
2,404,338 4,616,450 2,454,301 11,435,249
=========== ============ =========== ===========
</TABLE>
<TABLE>
<CAPTION>
MACRO-CAP VALUE MICRO-CAP GROWTH
--------------------------- ---------------------------
2000 1999 2000 1999
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Sold........................................................ 7,968,313 11,509,155 13,926,078 12,260,117
Issued for reinvested distributions......................... 176,492 799,052 1,493,917 --
Redeemed.................................................... (3,431,971) (2,636,601) (5,785,962) (3,263,605)
----------- ------------ ----------- -----------
4,712,834 9,671,606 9,634,033 8,996,512
=========== ============ =========== ===========
</TABLE>
<TABLE>
<CAPTION>
REAL ESTATE SECURITIES
---------------------------
2000 1999
------------ ------------
<S> <C> <C>
Sold........................................................ 1,080,502 2,176,152
Issued for reinvested distributions......................... -- 418,384
Redeemed.................................................... (560,569) (1,289,081)
----------- ------------
519,933 1,305,455
=========== ============
</TABLE>
(8) ILLIQUID SECURITIES
Each Portfolio of the Fund currently limits investments in illiquid
securities to 15% of net assets at the time of purchase, except for Money Market
which limits the investment in illiquid securities to 10% of net assets. At June
30, 2000, 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 $6,794,499, $17,594,297, $45,577,128 and
$4,692,190, respectively, which represent 3.9%, 2.3%, 32.8% and 1.3% 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.
119
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS
GROWTH PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
2000 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------
2000(D) 1999 1998 1997(B) 1996 1995
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value beginning of year...... $ 3.33 $ 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)............ .10 .67 .74 .62 .32 .41
-------- -------- -------- -------- -------- --------
Total from investment operations... .10 .67 .75 .64 .34 .43
-------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment
income.............................. -- (.01) (.02) (.02) (.02) (.02)
Distributions from net realized
gains............................... (.12) (.07) (.39) (.56) (.19) (.07)
-------- -------- -------- -------- -------- --------
Total distributions................ (.12) (.08) (.41) (.58) (.21) (.09)
-------- -------- -------- -------- -------- --------
Net asset value, end of period......... $ 3.31 $ 3.33 $ 2.74 $ 2.40 $ 2.34 $ 2.21
======== ======== ======== ======== ======== ========
Total return (a)....................... 2.58% 25.67% 34.70% 33.41% 17.15% 24.28%
Net assets, end of period
(in thousands)........................ $598,893 $594,676 $468,382 $330,816 $248,465 $201,678
Ratio of expenses to average daily net
assets................................ .60%(c) .53% .53% .55% .59% .55%
Ratio of net investment income to
average daily net assets.............. (.15)%(c) .12% .40% 1.16% 1.04% 1.04%
Portfolio turnover rate (excluding
short-term securities)................ 67.7% 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.
(c) Adjusted to an annual basis.
(d) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
120
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
BOND PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
2000 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------
2000(D) 1999 1998 1997(B) 1996 1995
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value beginning of year...... $ 1.18 $ 1.31 $ 1.33 $ 1.28 $ 1.33 $ 1.16
-------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income................ .04 .07 .06 .08 .06 .07
Net gains (losses) on securities
(both realized and unrealized)...... (.01) (.10) .01 .04 (.03) .15
-------- -------- -------- -------- -------- --------
Total from investment operations... .03 (.03) .07 .12 .03 .22
-------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment
income.............................. (.07) (.07) (.07) (.07) (.07) (.05)
Distributions from net realized
gains............................... -- (.03) (.02) -- (.01) --
-------- -------- -------- -------- -------- --------
Total distributions................ (.07) (.10) (.09) (.07) (.08) (.05)
-------- -------- -------- -------- -------- --------
Net asset value, end of period......... $ 1.14 $ 1.18 $ 1.31 $ 1.33 $ 1.28 $ 1.33
======== ======== ======== ======== ======== ========
Total return (a)....................... 2.91% (2.73)% 6.08% 9.42% 2.96% 19.75%
Net assets, end of period
(in thousands)........................ $175,085 $181,881 $178,793 $139,824 $125,886 $101,045
Ratio of expenses to average daily net
assets................................ .20%(c) .56% .55% .57% .56% .58%
Ratio of net investment income to
average daily net assets.............. 2.20%(c) 5.92% 5.84% 6.39% 6.36% 6.57%
Portfolio turnover rate (excluding
short-term securities)................ 176.4% 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. For periods less than one year,
total return presented has not been annualized.
(b) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1, 1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
(c) Adjusted to annual basis.
(d) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
121
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
2000 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------
2000(D) 1999 1998 1997(B) 1996 1995
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value beginning of year...... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- ------- ------- -------
Income from investment operations:
Net investment income................ .03 .05 .05 .05 .05 .05
-------- -------- -------- ------- ------- -------
Total from investment operations... .03 .05 .05 .05 .05 .05
-------- -------- -------- ------- ------- -------
Less distributions:
Dividends from net investment
income.............................. (.03) (.05) (.05) (.05) (.05) (.05)
-------- -------- -------- ------- ------- -------
Total distributions................ (.03) (.05) (.05) (.05) (.05) (.05)
-------- -------- -------- ------- ------- -------
Net asset value, end of period......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======= ======= =======
Total return (a)....................... 2.78% 4.71% 4.97% 5.11% 4.92% 5.43%
Net assets, end of period
(in thousands)........................ $144,305 $156,580 $126,177 $53,583 $51,461 $30,166
Ratio of expenses to average daily net
assets................................ .57%(c) .56% .58% .59% .60% .64%
Ratio of net investment income to
average daily net assets.............. 5.50%(c) 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. For periods less than one year,
total return presented has not been annualized.
(b) Effective May 1, 1997, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc. Prior to May 1,1997, the
Portfolio had an investment advisory agreement with MIMLIC Asset Management
Company.
(c) Adjusted to an annual basis.
(d) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
122
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
ASSET ALLOCATION PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
2000 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------
2000(D) 1999 1998 1997(B) 1996 1995
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value beginning of year...... $ 2.39 $ 2.28 $ 2.03 $ 1.87 $ 1.83 $ 1.52
-------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income................ .02 .05 .05 .05 .05 .06
Net gains on securities (both
realized and unrealized)............ .07 .27 .40 .27 .16 .31
-------- -------- -------- -------- -------- --------
Total from investment operations... .09 .32 .45 .32 .21 .37
-------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment
income.............................. -- (.10) (.06) (.05) (.06) (.05)
Distributions from net realized
gains............................... .11 (.11) (.14) (.11) (.11) (.01)
-------- -------- -------- -------- -------- --------
Total distributions................ (.11) (.21) (.20) (.16) (.17) (.06)
-------- -------- -------- -------- -------- --------
Net asset value, end of period......... $ 2.37 $ 2.39 $ 2.28 $ 2.03 $ 1.87 $ 1.83
======== ======== ======== ======== ======== ========
Total return (a)....................... 3.69% 15.17% 23.65% 18.99% 12.50% 25.01%
Net assets, end of period (in
thousands)............................ $756,507 $750,129 $637,997 $507,220 $414,709 $349,010
Ratio of expenses to average daily net
assets................................ .57%(c) .53% .53% .55% .54% .55%
Ratio of net investment income to
average daily net assets.............. 2.06%(c) 2.28% 2.51% 3.10% 3.09% 3.75%
Portfolio turnover rate (excluding
short-term securities)................ 74.9% 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.
(c) Adjusted to an annual basis.
(d) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
123
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
MORTGAGE SECURITIES PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
2000 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------
2000(D) 1999 1998 1997(B) 1996 1995
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value beginning of year...... $ 1.17 $ 1.22 $ 1.21 $ 1.19 $ 1.21 $ 1.10
-------- -------- -------- ------- ------- -------
Income from investment operations:
Net investment income................ .04 .07 .08 .07 .08 .08
Net gains (losses) on securities
(both realized and unrealized)...... -- (.05) -- .03 (.02) .11
-------- -------- -------- ------- ------- -------
Total from investment operations... .04 .02 .08 .10 .06 .19
-------- -------- -------- ------- ------- -------
Less distributions:
Dividends from net investment
income.............................. (.08) (.07) (.07) (.08) (.08) (.08)
-------- -------- -------- ------- ------- -------
Total distributions................ (.08) (.07) (.07) (.08) (.08) (.08)
-------- -------- -------- ------- ------- -------
Net asset value, end of period......... $ 1.13 $ 1.17 $ 1.22 $ 1.21 $ 1.19 $ 1.21
======== ======== ======== ======= ======= =======
Total return(a)........................ 4.10% 1.99% 6.57% 9.14% 5.26% 18.01%
Net assets, end of period
(in thousands)........................ $138,827 $138,815 $124,358 $99,233 $75,992 $69,746
Ratio of expenses to average daily net
assets................................ .60%(c) .57% .57% .59% .58% .58%
Ratio of net investment income to
average daily net assets.............. 7.31%(c) 6.88% 6.76% 7.08% 6.94% 7.09%
Portfolio turnover rate (excluding
short-term securities)................ 64.6% 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.
(c) Adjusted to an annual basis.
(d) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
124
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
INDEX 500 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
2000 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------
2000(D) 1999 1998 1997(B) 1996 1995
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value beginning of year....... $ 4.56 $ 3.91 $ 3.10 $ 2.41 $ 2.02 $ 1.52
-------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income................. .02 .04 .04 .03 .03 .03
Net gains (losses) on securities (both
realized and unrealized)............. (.04) .74 .82 .73 .40 .51
-------- -------- -------- -------- -------- --------
Total from investment operations.... (.02) .78 .86 .76 .43 .54
-------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment
income............................... -- (.07) (.03) (.03) (.03) (.03)
Distributions from net realized
gains................................ (.07) (.06) (.02) (.04) (.01) (.01)
-------- -------- -------- -------- -------- --------
Total distributions................. (.07) (.13) (.05) (.07) (.04) (.04)
-------- -------- -------- -------- -------- --------
Net asset value, end of period.......... $ 4.47 $ 4.56 $ 3.91 $ 3.10 $ 2.41 $ 2.02
======== ======== ======== ======== ======== ========
Total return (a)........................ (.61)% 20.28% 27.99% 32.36% 21.64% 36.83%
Net assets, end of period
(in thousands)......................... $648,990 $657,824 $536,859 $380,751 $204,395 $123,999
Ratio of expenses to average daily net
assets................................. .44%(c) .45% .44% .45% .45% .47%
Ratio of net investment income to
average daily net assets............... .72%(c) .85% 1.08% 1.33% 1.77% 2.08%
Portfolio turnover rate (excluding
short-term securities)................. 7.0% 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.
(c) Adjusted to an annual basis.
(d) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
125
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
CAPITAL APPRECIATION PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
2000 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------
2000(D) 1999 1998 1997(B) 1996 1995
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value beginning of year...... $ 3.70 $ 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)............ .08 .64 .86 .62 .37 .40
-------- -------- -------- -------- -------- --------
Total from investment operations... .08 .63 .86 .62 .37 .40
-------- -------- -------- -------- -------- --------
Less distributions:
Distributions from net realized
gains............................... (.33) (.47) (.17) (.24) (.06) (.05)
-------- -------- -------- -------- -------- --------
Total distributions................ (.33) (.47) (.17) (.24) (.06) (.05)
-------- -------- -------- -------- -------- --------
Net asset value, end of period......... $ 3.45 $ 3.70 $ 3.54 $ 2.85 $ 2.47 $ 2.16
======== ======== ======== ======== ======== ========
Total return (a)....................... 1.35% 21.51% 30.83% 28.26% 17.61% 22.78%
Net assets, end of period
(in thousands)........................ $441,450 $457,449 $392,800 $294,665 $214,468 $163,520
Ratio of expenses to average daily net
assets................................ .79%(c) .79% .78% .80% .85% .80%
Ratio of net investment income to
average daily net assets.............. (.27)%(c) (.24)% (.21)% (.12)% (.09)% (.15)%
Portfolio turnover rate (excluding
short-term securities)................ 134.2% 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.
(c) Adjusted to an annual basis.
(d) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
126
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
INTERNATIONAL STOCK PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
2000 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------
2000(D) 1999 1998 1997(B) 1996 1995
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value beginning of year...... $ 1.94 $ 1.73 $ 1.71 $ 1.60 $ 1.41 $ 1.24
-------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income................ .02 .04 .04 .03 .03 .03
Net gains on securities (both
realized and unrealized)............ .01 .31 .08 .15 .24 .14
-------- -------- -------- -------- -------- --------
Total from investment operations... .03 .35 .12 .18 .27 .17
-------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment
income.............................. (.03) (.05) (.05) (.05) (.04) --
Distributions from net realized
gains............................... (.16) (.09) (.05) (.02) (.04) --
-------- -------- -------- -------- -------- --------
Total distributions................ (.19) (.14) (.10) (.07) (.08) --
-------- -------- -------- -------- -------- --------
Net asset value, end of period......... $ 1.78 $ 1.94 $ 1.73 $ 1.71 $ 1.60 $ 1.41
======== ======== ======== ======== ======== ========
Total return (a)....................... 2.09% 21.43% 6.61% 11.94% 19.79% 14.23%
Net assets, end of period
(in thousands)........................ $358,274 $363,849 $310,873 $287,170 $213,608 $140,770
Ratio of expenses to average daily net
assets................................ 1.03%(c) .90% .94% .97% 1.06% 1.04%
Ratio of net investment income to
average daily net assets.............. 2.47%(c) 2.03% 2.55% 2.29% 2.53% 2.69%
Portfolio turnover rate (excluding
short-term securities)................ 10.0% 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.
(c) Adjusted to an annual basis.
(d) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
127
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
SMALL COMPANY GROWTH PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
2000 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------
2000(D) 1999 1998 1997(B) 1996 1995
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value beginning of year....... $ 2.44 $ 1.68 $ 1.65 $ 1.54 $ 1.60 $ 1.23
-------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment loss................... (.01) (.01) -- -- -- --
Net gains on securities (both realized
and unrealized)...................... .13 .77 .03 .11 .10 .39
-------- -------- -------- -------- -------- --------
Total from investment operations.... .12 .76 .03 .11 .10 .39
-------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net investment
income............................... -- -- -- -- (.16) (.02)
Distributions from net realized
gains................................ (.16) -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total distributions................. (.16) -- -- -- (.16) (.02)
-------- -------- -------- -------- -------- --------
Net asset value, end of period.......... $ 2.40 $ 2.44 $ 1.68 $ 1.65 $ 1.54 $ 1.60
======== ======== ======== ======== ======== ========
Total return (a)........................ 4.22% 45.63% 1.27% 7.75% 6.45% 32.06%
Net assets, end of period (in
thousands)............................. $285,161 $269,881 $195,347 $182,917 $144,544 $ 98,895
Ratio of expenses to average daily net
assets................................. .84%(c) .80% .79% .82% .81% .84%
Ratio of net investment income to
average daily net assets............... (.47)%(c) (.45)% (.28)% (.05)% .24% .15%
Portfolio turnover rate (excluding
short-term securities)................. 105.6% 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.
(c) Adjusted to an annual basis.
(d) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
128
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
MATURING GOVERNMENT BOND 2002 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
2000 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------
2000(E) 1999 1998 1997(C) 1996 1995
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value beginning of year...... $ 1.05 $ 1.11 $ 1.07 $ 1.05 $ 1.09 $ .93
------- ------- ------- ------- ------- -------
Income from investment operations:
Net investment income................ .03 .05 .05 .06 .06 .07
Net gains (losses) on securities
(both realized and unrealized)...... .01 (.06) .06 .02 (.04) .16
------- ------- ------- ------- ------- -------
Total from investment operations... .04 (.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 period......... $ 1.09 $ 1.05 $ 1.11 $ 1.07 $ 1.05 $ 1.09
======= ======= ======= ======= ======= =======
Total return (a)....................... 3.06% (.48)% 9.61% 8.50% 1.73% 25.02%
Net assets, end of period
(in thousands)........................ $ 8,502 $10,161 $ 6,854 $ 4,208 $ 3,900 $ 3,049
Ratio of expenses to average daily net
assets (b)............................ .40%(d) .40% .34% .20% .20% .20%
Ratio of net investment income to
average daily net assets (b).......... 5.57%(d) 5.37% 5.74% 5.99% 6.52% 6.52%
Portfolio turnover rate (excluding
short-term securities)................ 36.9% 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 $33,800, $53,336, $37,949, $36,833,
$31,158 and $24,709 in expenses for the period ended June 30, 2000, 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 1.17%, 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 4.80%, 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.
(d) Adjusted to an annual basis.
(e) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
129
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
MATURING GOVERNMENT BOND 2006 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
2000 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------
2000(E) 1999 1998 1997(C) 1996 1995
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value beginning of year....... $ 1.09 $ 1.25 $ 1.16 $ 1.09 $ 1.17 $ .92
------- ------- ------- ------- ------- -------
Income from investment operations:
Net investment income................. .03 .07 .05 .07 .06 .07
Net gains (losses) on securities (both
realized and unrealized)............. .03 (.16) .11 .07 (.07) .25
------- ------- ------- ------- ------- -------
Total from investment operations.... .06 (.09) .16 .14 (.01) .32
------- ------- ------- ------- ------- -------
Less distributions:
Dividends from net investment
income............................... -- (.07) (.06) (.06) (.06) (.07)
Excess distributions of net investment
income............................... -- -- (.01) (.01) (.01) --
------- ------- ------- ------- ------- -------
Total distributions................. -- (.07) (.07) (.07) (.07) (.07)
------- ------- ------- ------- ------- -------
Net asset value, end of period.......... $ 1.15 $ 1.09 $ 1.25 $ 1.16 $ 1.09 $ 1.17
======= ======= ======= ======= ======= =======
Total return (a)........................ 5.68% (7.81)% 14.37% 12.62% (1.21)% 34.72%
Net assets, end of period
(in thousands)......................... $ 6,113 $ 6,261 $ 6,870 $ 3,900 $ 3,095 $ 2,570
Ratio of expenses to average daily net
assets (b)............................. .40%(d) .40% .40% .40% .40% .40%
Ratio of net investment income to
average daily net assets (b)........... 6.19%(d) 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 $33,919, $56,178, $37,165, $37,425,
$31,536 and $25,199 in expenses for the period ended June 30, 2000, 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 1.53%, 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 5.06%, 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.
(d) Adjusted to an annual basis.
(e) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
130
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
MATURING GOVERNMENT BOND 2010 PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
2000 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------
2000(E) 1999 1998 1997(C) 1996 1995
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value beginning of year...... $ 1.19 $ 1.41 $ 1.29 $ 1.17 $ 1.21 $ .91
------- ------- ------- ------- ------- -------
Income from investment operations:
Net investment income................ .04 .08 .06 .07 .05 .07
Net gains (losses) on securities
(both realized and unrealized)...... .05 (.24) .12 .11 (.09) .30
------- ------- ------- ------- ------- -------
Total from investment operations... .09 (.16) .18 .18 (.04) .37
------- ------- ------- ------- ------- -------
Less distributions:
Dividends from net investment
income.............................. (.08) (.06) (.06) (.05) -- (.07)
Distributions from net realized
gains............................... -- -- -- (.01) -- --
------- ------- ------- ------- ------- -------
Total distributions................ (.08) (.06) (.06) (.06) -- (.07)
------- ------- ------- ------- ------- -------
Net asset value, end of period......... $ 1.20 $ 1.19 $ 1.41 $ 1.29 $ 1.17 $ 1.21
======= ======= ======= ======= ======= =======
Total return (a)....................... 8.16% (11.54)% 14.28% 17.87% (3.42)% 41.22%
Net assets, end of period (in
thousands)............................ $ 4,882 $ 4,942 $ 5,648 $ 3,176 $ 2,813 $ 1,384
Ratio of expenses to average daily net
assets (b)............................ .40%(d) .40% .40% .40% .40% .40%
Ratio of net investment income to
average daily net assets (b).......... 6.24%(d) 5.82% 5.48% 6.18% 6.40% 6.58%
Portfolio turnover rate (excluding
short-term securities)................ 4.6% 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 $34,266, $55,419, $39,052, $38,967,
$33,042 and $26,308 in expenses for the period ended June 30, 2000, 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 1.83%, 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 4.81%, 4.79%, 4.55%, 4.73%, 4.62%, 4.30%,
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.
(d) Adjusted to an annual basis.
(e) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
131
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
VALUE STOCK PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM
JANUARY 1,
2000 TO YEAR ENDED DECEMBER 31,
JUNE 30, --------------------------------------------------------
2000(E) 1999 1998 1997(C) 1996 1995
----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value beginning of year....... $ 1.71 $ 1.76 $ 1.73 $ 1.59 $ 1.31 $ 1.04
-------- -------- -------- -------- ------- -------
Income from investment operations:
Net investment income................. .01 .02 .03 .01 .01 .01
Net gains (losses) on securities (both
realized and unrealized)............. (.11) (.02) -- .32 .39 .33
-------- -------- -------- -------- ------- -------
Total from investment operations.... (.10) -- .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 period.......... $ 1.61 $ 1.71 $ 1.76 $ 1.73 $ 1.59 $ 1.31
======== ======== ======== ======== ======= =======
Total return (a)........................ (5.89)% .27% 1.75% 21.19% 30.95% 32.96%
Net assets, end of period (in
thousands)............................. $164,144 $191,380 $214,046 $208,093 $97,187 $31,825
Ratio of expenses to average daily net
assets (b)............................. .82%(d) .80% .79% .80% .83% .89%
Ratio of net investment income to
average daily net assets (b)........... .71%(d) 1.26% 1.54% 1.13% 1.28% 1.25%
Portfolio turnover rate (excluding
short-term securities)................. 168.7% 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. For periods less than one year,
total return has not been annualized.
(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.
(d) Adjusted to an annual basis.
(e) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
132
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
SMALL COMPANY VALUE PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, YEAR ENDED OCTOBER 1,
2000 TO DECEMBER 31, 1997(A) TO
JUNE 30, -------------------- DECEMBER 31,
2000(E) 1999 1998 1997
----------- -------- -------- ------------
<S> <C> <C> <C> <C>
Net asset value beginning of year...... $ .91 $ .95 $ 1.03 $ 1.01
------- ------- ------- -------
Income from investment operations:
Net investment income................ -- .01 .01 --
Net gains (losses) on securities
(both realized and unrealized)...... .05 (.04) (.08) .02
------- ------- ------- -------
Total from investment operations... .05 (.03) (.07) .02
------- ------- ------- -------
Less distributions:
Dividends from net investment
income.............................. -- (.01) (.01) --
------- ------- ------- -------
Total distributions................ -- (.01) (.01) --
------- ------- ------- -------
Net asset value, end of period......... $ .96 $ .91 $ .95 $ 1.03
======= ======= ======= =======
Total return (b)....................... 6.28% (3.07)% (6.75)% 2.30%
Net assets, end of period (in
thousands)............................ $16,263 $12,518 $ 8,646 $ 5,177
Ratio of expenses to average daily net
assets (c)............................ .97%(d) .90% .90% .90%(d)
Ratio of net investment income to
average daily net assets (c).......... .80%(d) 1.42% 1.52% 1.13%(d)
Portfolio turnover rate (excluding
short-term securities)................ 111.9% 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 $50,204, $67,886, $58,848 and $11,517
in expenses for the period ended June 30, 2000 and 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 1.71%, 1.56%, 1.83% and 1.78%,
respectively, and the ratio of net investment income to average daily net
assets would have been .06%, .76%, .59% and .25%, respectively.
(d) Adjusted to an annual basis.
(e) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
133
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
GLOBAL BOND PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, YEAR ENDED OCTOBER 31,
2000 TO DECEMBER 31, 1997(A) TO
JUNE 30, ------------------------------ DECEMBER 31,
2000(D) 1999 1998 1997
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Net asset value, beginning of year...... $ .94 $ 1.05 $ .98 $ 1.00
------- ------- ------- -------
Income from investment operations:
Net investment income (loss).......... .02 .05 .05 (.02)
Net gains (losses) on securities (both
realized and unrealized)............. (.04) (.13) .11 .02
------- ------- ------- -------
Total from investment operations.... (.02) (.08) .16 --
------- ------- ------- -------
Less distributions:
Dividends from net investment
income............................... -- (.03) (.03) (.01)
Distributions from net realized
gains................................ -- -- (.06) --
Excess distributions of net investment
income............................... -- -- -- (.01)
------- ------- ------- -------
Total distributions................. -- (.03) (.09) (.02)
------- ------- ------- -------
Net asset value, end of period...... $ .92 $ .94 $ 1.05 $ .98
======= ======= ======= =======
Total return (b)........................ (1.48)% (7.81)% 16.18% .10%
Net assets, end of period
(in thousands)......................... $33,824 $32,093 $31,152 $25,019
Ratio of expenses to average daily net
assets................................. 1.18%(c) .94% 1.13% 1.60%(c)
Ratio of net investment income to
average daily net assets............... 5.41%(c) 5.90% 4.86% 3.66%(c)
Portfolio turnover rate (excluding
short-term securities)................. 142.8% 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.
(d) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
134
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
INDEX 400 MID-CAP PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, YEAR ENDED OCTOBER 1,
2000 TO DECEMBER 31, 1997(A) TO
JUNE 30, ------------------------------ DECEMBER 31,
2000(E) 1999 1998 1997
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Net asset value beginning of year....... $ 1.18 $ 1.15 $ 1.01 $ 1.00
------- ------- ------- -------
Income from investment operations:
Net investment income................. .01 -- .01 --
Net gains on securities (both realized
and unrealized)...................... .09 .15 .16 .01
------- ------- ------- -------
Total from investment operations.... .10 .15 .17 .01
------- ------- ------- -------
Less distributions:
Dividends from net investment
income............................... -- -- (.01) --
Distributions from net realized
gains................................ (.02) (.12) (.02) --
------- ------- ------- -------
Total distributions................. (.02) (.12) (.03) --
------- ------- ------- -------
Net asset value, end of period.......... $ 1.26 $ 1.18 $ 1.15 $ 1.01
======= ======= ======= =======
Total return (b)........................ 8.16% 15.96% 16.68% .06%
Net assets, end of period
(in thousands)......................... $29,112 $24,357 $10,511 $ 5,052
Ratio of expenses to average daily net
assets (c)............................. .55%(d) .55% .55% .55%(d)
Ratio of net investment income to
average daily net assets (c)........... .98%(d) .72% .78% .89%(d)
Portfolio turnover rate (excluding
short-term securities)................. 58.6% 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 $49,639, $70,044, $52,946 and $14,670
in expenses for the period ended June 30, 2000, 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 .92%, 1.00%, 1.36% and 1.70%,
respectively, and the ratio of net investment income (loss) to average
daily net assets would have been .61%, .27%, (.03)% and (.26)%,
respectively.
(d) Adjusted to an annual basis.
(e) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
135
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
MACRO-CAP VALUE PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, YEAR ENDED OCTOBER 15,
2000 TO DECEMBER 31, 1997(A) TO
JUNE 30, ------------------------------ DECEMBER 31,
2000(E) 1999 1998 1997
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Net asset value beginning of year....... $ 1.16 $ 1.14 $ .97 $ 1.00
------- ------- ------- -------
Income from investment operations:
Net investment income................. -- .01 .01 --
Net gains (losses) on securities (both
realized and unrealized)............. (.01) .07 .21 (.02)
------- ------- ------- -------
Total from investment operations.... (.01) .08 .22 (.02)
------- ------- ------- -------
Less distributions:
Dividends from net investment
income............................... -- (.01) -- (.01)
Distributions from net realized
gains................................ (.01) (.05) (.05) --
------- ------- ------- -------
Total distributions................. (.01) (.06) (.05) (.01)
------- ------- ------- -------
Net asset value, end of period.......... $ 1.14 $ 1.16 $ 1.14 $ .97
======= ======= ======= =======
Total return (b)........................ (1.56)% 7.17% 22.33% (2.13)%
Net assets, end of period
(in thousands)......................... $27,396 $22,570 $11,088 $ 4,923
Ratio of expenses to average daily net
assets (c)............................. .89%(d) .85%(d) .85% .85%(d)
Ratio of net investment income to
average daily net assets (c)........... .50%(d) .60%(d) .69% 2.04%(d)
Portfolio turnover rate (excluding
short-term securities)................. 22.3% 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 $58,526, $102,703, $114,468 and $22,940
in expenses for the period ended June 30, 2000 and 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 1.38%, 1.48%, 2.53% and 3.13%,
respectively, and the ratio of net investment income (loss) to average
daily net assets would have been .02, (.03)%, (.99)% and (.24)%,
respectively.
(d) Adjusted to an annual basis.
(e) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
136
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
MICRO-CAP GROWTH PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, YEAR ENDED OCTOBER 1,
2000 TO DECEMBER 31, 1997(A) TO
JUNE 30, ------------------------------ DECEMBER 31,
2000(E) 1999 1998 1997
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Net asset value beginning of year....... $ 2.51 $ 1.01 $ .89 $ 1.06
------- ------- ------- -------
Income from investment operations:
Net gains (losses) on securities (both
realized and unrealized)............. .05 1.50 .12 (.14)
------- ------- ------- -------
Total from investment operations.... .05 1.50 .12 (.14)
------- ------- ------- -------
Less distributions:
Distributions from net realized
gains................................ (.20) -- -- (.03)
------- ------- ------- -------
Total distributions................. (.20) -- -- (.03)
------- ------- ------- -------
Net asset value, end of period.......... $ 2.36 $ 2.51 $ 1.01 $ .89
======= ======= ======= =======
Total return (b)........................ 0.59% 148.77% 13.44% (13.20)%
Net assets, end of period
(in thousands)......................... $62,891 $42,554 $ 8,034 $ 4,591
Ratio of expenses to average daily net
assets (c)............................. 1.27%(d) 1.25% 1.25% 1.25%(d)
Ratio of net investment income to
average daily net assets (c)........... (.26)%(d) (.47)% (.40)% (.24)%(d)
Portfolio turnover rate (excluding
short-term securities)................. 56.6% 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 $7,200, $50,020, $46,960 and $11,102 in
expenses for period ending June 30, 2000 and 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 1.29%, 1.57%, 2.10% and 2.03%,
respectively, and the ratio of net investment income (loss) to average
daily net assets would have been (.29)%, (.79)%, (1.25)% and (1.02)%,
respectively.
(d) Adjusted to an annual basis.
(e) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
137
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(9) FINANCIAL HIGHLIGHTS - (CONTINUED)
REAL ESTATE SECURITIES PORTFOLIO
<TABLE>
<CAPTION>
PERIOD FROM PERIOD FROM
JANUARY 1, MAY 1,
2000 TO YEAR ENDED 1998(A) TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000(E) 1999 1998
----------- ------------ ------------
<S> <C> <C> <C>
Net asset value beginning of year....... $ .76 $ .83 $ 1.02
------- ------- -------
Income from investment operations:
Net investment income................. .02 .04 .03
Net gains (losses) on securities (both
realized and unrealized)............. .08 (.07) (.19)
------- ------- -------
Total from investment operations.... .10 (.03) (.16)
------- ------- -------
Less distributions:
Dividends from net investment
income............................... -- (.03) (.03)
Excess distributions of net investment
income............................... -- (.01) --
------- ------- -------
Total distributions................. -- (.04) (.03)
------- ------- -------
Net asset value, end of period.......... $ .86 $ .76 $ .83
======= ======= =======
Total return (b)........................ 13.12% (3.89)% (14.90)%
Net assets, end of period
(in thousands)......................... $ 7,040 $ 5,826 $ 5,322
Ratio of expenses to average daily net
assets (c)............................. .93%(d) .90% .90%(d)
Ratio of net investment income to
average daily net assets (c)........... 4.52%(d) 4.58% 5.54%(d)
Portfolio turnover rate (excluding
short-term securities)................. 60.1% 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 $40,927, $63,511 and $31,736 in
expenses for the period ended June 30, 2000, 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 2.24%, 2.05% and 1.90%, respectively, and the ratio of net
investment income to average daily net assets would have been 4.52%, 3.43%
and 4.54%, respectively.
(d) Adjusted to an annual basis.
(e) Effective May 1, 2000, the Portfolio entered into a new investment advisory
agreement with Advantus Capital Management, Inc., which replaces the prior
investment advisory agreement.
138
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(10) SHAREHOLDER VOTING RESULTS
On April 17, 2000, a special shareholder meeting was held. Shareholders of
record on February 28, 2000, were entitled to vote on the proposals described
below.
(1) To elect a Board of Directors as follows:
<TABLE>
<CAPTION>
VOTES VOTES
DIRECTOR FOR WITHHELD
-------- ------------- ----------
<S> <C> <C>
William N. Westhoff..................... 1,675,277,404 33,022,140
Frederick P. Feuerherm.................. 1,675,342,158 32,957,386
Ralph D. Ebbott......................... 1,674,612,153 33,687,391
Charles E. Arner........................ 1,674,138,756 34,160,788
Ellen S. Berscheid...................... 1,674,681,707 33,617,837
</TABLE>
(2) To approve the elimination or modification of the following investment
policies for.
GROWTH PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 162,970,678 9,277,101 6,445,572
B. Modify policy regarding
concentration in a particular
industry.............................. 162,561,620 9,686,159 6,445,572
C. Modify policy regarding investments
in real estate........................ 163,067,100 9,180,679 6,445,572
D. Modify policy regarding investments
in commodities........................ 162,595,495 9,652,284 6,445,572
E. Modify policies regarding lending... 163,052,224 9,195,555 6,445,572
F. Eliminate policy restricting margin
purchases and short sales............. 162,219,748 10,028,031 6,445,572
G. Eliminate diversification
policies.............................. 162,621,844 9,625,935 6,445,572
</TABLE>
BOND PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 135,941,156 5,997,512 7,096,357
B. Modify policy regarding
concentration in a particular
industry.............................. 137,089,020 4,849,648 7,096,357
C. Modify policy regarding investments
in real estate........................ 136,796,518 5,142,150 7,096,357
D. Modify policy regarding investments
in commodities........................ 136,934,739 5,003,929 7,096,357
E. Modify policies regarding lending... 137,005,252 4,933,416 7,096,357
F. Eliminate policy restricting margin
purchases and short sales............. 136,373,092 5,565,576 7,096,357
G. Eliminate diversification
policies.............................. 136,970,694 4,967,974 7,096,357
</TABLE>
MONEY MARKET PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 124,407,694 7,980,911 5,910,629
B. Modify policy regarding
concentration in a particular
industry.............................. 126,474,409 5,914,196 5,910,629
C. Modify policy regarding investments
in real estate........................ 126,519,735 5,868,870 5,910,629
D. Modify policy regarding investments
in commodities........................ 126,273,892 6,114,713 5,910,629
E. Modify policies regarding lending... 126,516,020 5,872,585 5,910,629
F. Eliminate policy restricting margin
purchases and short sales............. 124,186,390 8,202,215 5,910,629
G. Eliminate diversification
policies.............................. 126,516,020 5,872,585 5,910,629
</TABLE>
139
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(10) SHAREHOLDER VOTING RESULTS - (CONTINUED)
ASSET ALLOCATION PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 284,929,038 11,456,519 15,367,317
B. Modify policy regarding
concentration in a particular
industry.............................. 284,593,242 11,792,315 15,367,317
C. Modify policy regarding investments
in real estate........................ 284,980,601 11,404,956 15,367,317
D. Modify policy regarding investments
in commodities........................ 284,595,378 11,790,179 15,367,317
E. Modify policies regarding lending... 285,020,581 11,364,976 15,367,317
F. Eliminate policy restricting margin
purchases and short sales............. 284,125,657 12,259,900 15,367,317
G. Eliminate diversification
policies.............................. 284,864,629 11,520,928 15,367,317
</TABLE>
MORTGAGE SECURITIES PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 105,561,140 4,864,871 5,525,841
B. Modify policy regarding
concentration in a particular
industry.............................. 106,411,239 4,014,772 5,525,841
C. Modify policy regarding investments
in real estate........................ 106,526,107 3,899,904 5,525,841
D. Modify policy regarding investments
in commodities........................ 106,609,577 3,816,434 5,525,841
E. Modify policies regarding lending... 106,491,612 3,934,399 5,525,841
F. Eliminate policy restricting margin
purchases and short sales............. 105,742,279 4,683,732 5,525,841
G. Eliminate diversification
policies.............................. 106,534,729 3,891,282 5,525,841
</TABLE>
INDEX 500 PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 133,867,187 6,051,695 6,042,782
B. Modify policy regarding
concentration in a particular
industry.............................. 133,899,521 6,019,361 6,042,782
C. Modify policy regarding investments
in real estate........................ 134,173,462 5,745,420 6,042,782
D. Modify policy regarding investments
in commodities........................ 133,834,229 6,084,653 6,042,782
E. Modify policies regarding lending... 134,226,721 5,692,161 6,042,782
F. Eliminate policy restricting margin
purchases and short sales............. 133,739,525 6,179,357 6,042,782
G. Eliminate diversification
policies.............................. 134,220,672 5,698,210 6,042,782
</TABLE>
CAPITAL APPRECIATION PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 112,074,931 5,565,616 4,640,899
B. Modify policy regarding
concentration in a particular
industry.............................. 112,138,720 5,501,827 4,640,899
C. Modify policy regarding investments
in real estate........................ 112,109,969 5,530,578 4,640,899
D. Modify policy regarding investments
in commodities........................ 111,946,413 5,694,134 4,640,899
E. Modify policies regarding lending... 112,177,868 5,462,679 4,640,899
F. Eliminate policy restricting margin
purchases and short sales............. 111,664,972 5,975,575 4,640,899
G. Eliminate diversification
policies.............................. 112,119,704 5,520,843 4,640,899
</TABLE>
140
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(10) SHAREHOLDER VOTING RESULTS - (CONTINUED)
INTERNATIONAL STOCK PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 168,876,598 8,306,036 11,139,010
B. Modify policy regarding
concentration in a particular
industry.............................. 169,090,875 8,091,759 11,139,010
C. Modify policy regarding investments
in real estate........................ 168,998,841 8,183,793 11,139,010
D. Modify policy regarding investments
in commodities........................ 168,895,564 8,287,070 11,139,010
E. Modify policies regarding lending... 169,262,117 7,920,517 11,139,010
F. Eliminate policy restricting margin
purchases and short sales............. 168,550,075 8,632,559 11,139,010
G. Eliminate diversification
policies.............................. 169,152,491 8,030,143 11,139,010
</TABLE>
SMALL COMPANY GROWTH PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 102,272,608 4,570,376 5,225,139
B. Modify policy regarding
concentration in a particular
industry.............................. 102,291,762 4,551,222 5,225,139
C. Modify policy regarding investments
in real estate........................ 102,340,780 4,502,204 5,225,139
D. Modify policy regarding investments
in commodities........................ 102,088,566 4,754,418 5,225,139
E. Modify policies regarding lending... 102,340,075 4,502,909 5,225,139
F. Eliminate policy restricting margin
purchases and short sales............. 101,830,698 5,012,286 5,225,139
G. Eliminate diversification
policies.............................. 102,316,846 4,526,138 5,225,139
</TABLE>
MATURING GOVERNMENT BOND 2002 PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 7,772,539 82,150 26,066
B. Modify policy regarding
concentration in a particular
industry.............................. 7,772,539 82,150 26,066
C. Modify policy regarding investments
in real estate........................ 7,777,687 77,002 26,066
D. Modify policy regarding investments
in commodities........................ 7,777,687 77,002 26,066
E. Modify policies regarding lending... 7,777,687 77,002 26,066
F. Eliminate policy restricting margin
purchases and short sales............. 7,772,539 82,150 26,066
G. Eliminate diversification
policies.............................. 7,772,539 82,150 26,066
</TABLE>
MATURING GOVERNMENT BOND 2006 PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 4,938,876 161,683 355,836
B. Modify policy regarding
concentration in a particular
industry.............................. 5,019,327 81,232 355,836
C. Modify policy regarding investments
in real estate........................ 5,019,327 81,232 355,836
D. Modify policy regarding investments
in commodities........................ 4,932,629 167,930 355,836
E. Modify policies regarding lending... 5,019,327 81,232 355,836
F. Eliminate policy restricting margin
purchases and short sales............. 5,013,080 87,479 355,836
G. Eliminate diversification
policies.............................. 5,019,327 81,232 355,836
</TABLE>
141
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(10) SHAREHOLDER VOTING RESULTS - (CONTINUED)
MATURING GOVERNMENT BOND 2010 PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 3,796,220 41,273 18,094
B. Modify policy regarding
concentration in a particular
industry.............................. 3,796,220 41,273 18,094
C. Modify policy regarding investments
in real estate........................ 3,801,722 35,771 18,094
D. Modify policy regarding investments
in commodities........................ 3,797,252 40,241 18,094
E. Modify policies regarding lending... 3,801,722 35,771 18,094
F. Eliminate policy restricting margin
purchases and short sales............. 3,791,750 45,743 18,094
G. Eliminate diversification
policies.............................. 3,796,220 41,273 18,094
</TABLE>
VALUE STOCK PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 99,487,551 3,737,776 5,531,382
B. Modify policy regarding
concentration in a particular
industry.............................. 99,693,917 3,531,410 5,531,382
C. Modify policy regarding investments
in real estate........................ 99,619,880 3,605,447 5,531,382
D. Modify policy regarding investments
in commodities........................ 99,447,583 3,777,744 5,531,382
E. Modify policies regarding lending... 99,725,632 3,499,695 5,531,382
F. Eliminate policy restricting margin
purchases and short sales............. 99,111,772 4,113,555 5,531,382
G. Eliminate diversification
policies.............................. 99,780,804 3,444,523 5,531,382
</TABLE>
SMALL COMPANY VALUE PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 13,928,439 503,165 419,695
B. Modify policy regarding
concentration in a particular
industry.............................. 13,923,499 508,105 419,695
C. Modify policy regarding investments
in real estate........................ 13,928,577 503,027 419,695
D. Modify policy regarding investments
in commodities........................ 13,927,406 504,198 419,695
E. Modify policies regarding lending... 13,934,173 497,431 419,695
F. Eliminate policy restricting margin
purchases and short sales............. 13,817,293 614,311 419,695
G. Eliminate diversification
policies.............................. 13,928,577 503,027 419,695
</TABLE>
GLOBAL BOND PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 29,199,216 4,709,188 478,751
B. Modify policy regarding
concentration in a particular
industry.............................. 30,294,963 3,613,441 478,751
C. Modify policy regarding investments
in real estate........................ 30,294,963 3,613,441 478,751
D. Modify policy regarding investments
in commodities........................ 30,294,963 3,613,441 478,751
E. Modify policies regarding lending... 30,294,927 3,613,477 478,751
F. Eliminate policy restricting margin
purchases and short sales............. 29,201,803 4,706,601 478,751
</TABLE>
142
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(10) SHAREHOLDER VOTING RESULTS - (CONTINUED)
INDEX 400 MID-CAP PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 20,314,477 594,764 610,729
B. Modify policy regarding
concentration in a particular
industry.............................. 20,315,066 594,175 610,729
C. Modify policy regarding investments
in real estate........................ 20,314,974 594,267 610,729
D. Modify policy regarding investments
in commodities........................ 20,314,974 594,267 610,729
E. Modify policies regarding lending... 20,309,089 600,152 610,729
F. Eliminate policy restricting margin
purchases and short sales............. 20,314,439 594,802 610,729
G. Eliminate diversification
policies.............................. 20,315,066 594,175 610,729
</TABLE>
MACRO-CAP VALUE PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 19,400,419 936,837 723,383
B. Modify policy regarding
concentration in a particular
industry.............................. 19,736,098 601,158 723,383
C. Modify policy regarding investments
in real estate........................ 19,736,098 601,158 723,383
D. Modify policy regarding investments
in commodities........................ 19,736,098 601,158 723,383
E. Modify policies regarding lending... 19,731,738 605,518 723,383
F. Eliminate policy restricting margin
purchases and short sales............. 19,394,050 943,206 723,383
G. Eliminate diversification
policies.............................. 19,736,098 601,158 723,383
</TABLE>
MICRO-CAP GROWTH PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 19,288,297 349,376 680,607
B. Modify policy regarding
concentration in a particular
industry.............................. 19,385,054 252,619 680,607
C. Modify policy regarding investments
in real estate........................ 19,385,002 252,671 680,607
D. Modify policy regarding investments
in commodities........................ 19,381,843 255,830 680,607
E. Modify policies regarding lending... 19,382,173 255,500 680,607
F. Eliminate policy restricting margin
purchases and short sales............. 19,276,108 361,565 680,607
G. Eliminate diversification
policies.............................. 19,385,054 252,619 680,607
</TABLE>
REAL ESTATE SECURITIES PORTFOLIO:
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
A. Modify policies regarding borrowing
and the issuance of senior
securities............................ 5,380,052 2,210,511 256,979
B. Modify policy regarding
concentration in a particular
industry.............................. 5,383,932 2,206,631 256,979
C. Modify policy regarding investments
in real estate........................ 5,383,932 2,206,631 256,979
D. Modify policy regarding investments
in commodities........................ 5,382,829 2,207,734 256,979
E. Modify policies regarding lending... 5,381,155 2,209,408 256,979
F. Eliminate policy restricting margin
purchases and short sales............. 5,382,829 2,207,734 256,979
G. Eliminate diversification
policies.............................. 5,383,932 2,206,631 256,979
</TABLE>
143
<PAGE>
ADVANTUS SERIES FUND, INC.
NOTES TO FINANCIAL STATEMENTS - continued
(10) SHAREHOLDER VOTING RESULTS - (CONTINUED)
(3) To approve an amended Investment Advisory Agreement between the Fund and
Advantus Capital, changing the schedule of advisory fees payable by certain
Portfolios, deleting a provision requiring Advantus Capital to pay
distribution-related expenses of the Fund, and modify the agreement's
amendment provision.
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
Growth Portfolio....................... 154,659,41 16,353,676 7,680,262
Bond Portfolio......................... 133,043,274 9,221,259 6,770,492
Money Market Portfolio................. 121,367,003 11,190,441 5,741,790
Asset Allocation Portfolio............. 276,095,437 18,268,724 17,388,713
Mortgage Securities Portfolio.......... 103,841,804 6,293,581 5,816,467
Index 500 Portfolio.................... 129,957,418 10,618,933 5,385,313
Capital Appreciation Portfolio......... 108,792,718 8,320,322 5,168,406
International Stock Portfolio.......... 164,941,057 12,175,733 11,204,854
Small Company Growth Portfolio......... 100,217,742 7,243,147 4,607,234
Maturing Government Bond 2002
Portfolio............................. 7,824,923 11,175 44,657
Maturing Government Bond 2006
Portfolio............................. 5,065,958 16,626 373,811
Maturing Government Bond 2010
Portfolio............................. 3,769,171 48,683 37,733
Value Stock Portfolio.................. 98,138,540 6,099,218 4,518,951
Small Company Value Portfolio.......... 13,283,927 1,074,334 493,038
Global Bond Portfolio.................. 28,831,307 5,073,976 481,872
Index 400 Mid-Cap Portfolio............ 19,249,989 1,455,782 814,199
Macro-Cap Value Portfolio.............. 19,154,451 1,134,836 771,352
Micro-Cap Growth Portfolio............. 18,724,183 772,207 821,890
Real Estate Securities Portfolio....... 5,553,725 2,166,590 127,227
</TABLE>
(4) To approve a Plan of Distribution under Rule 12b-1, pursuant to which
certain Portfolios would pay a distribution fee of 0.25% of average daily
net assets per annum.
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
----------- ---------- ----------
<S> <C> <C> <C>
Growth Portfolio....................... 150,490,293 20,004,782 8,198,276
Bond Portfolio......................... 131,245,839 10,980,079 6,809,107
Money Market Portfolio................. 114,646,738 18,486,860 5,165,636
Asset Allocation Portfolio............. 269,214,723 25,395,367 17,142,784
Mortgage Securities Portfolio.......... 102,584,255 7,662,868 5,704,729
Index 500 Portfolio.................... 125,364,345 15,189,090 5,408,229
Capital Appreciation Portfolio......... 106,086,228 10,825,532 5,369,686
International Stock Portfolio.......... 160,412,299 16,540,419 11,368,926
Small Company Growth Portfolio......... 97,306,902 9,924,644 4,836,577
Value Stock Portfolio.................. 95,947,659 8,153,132 4,655,918
Small Company Value Portfolio.......... 12,962,374 1,479,333 409,592
Global Bond Portfolio.................. 27,782,267 6,057,087 547,801
Index 400 Mid-Cap Portfolio............ 18,871,840 2,044,008 604,122
Macro-Cap Value Portfolio.............. 18,418,315 2,156,135 486,189
Micro-Cap Growth Portfolio............. 17,932,966 1,582,438 802,876
Real Estate Securities Portfolio....... 5,432,993 2,287,322 127,227
</TABLE>
(5) To approve amended and restated articles of incorporation of the Fund.
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
------------- ---------- ----------
<S> <C> <C> <C>
1,558,331,864 65,836,890 84,130,791
</TABLE>
(6) To ratify the selection of KPMG LLP as independent public accountants for
the Fund.
<TABLE>
<CAPTION>
VOTES VOTES VOTES
FOR AGAINST WITHHELD
------------- ---------- ----------
<S> <C> <C> <C>
1,619,383,432 23,248,520 65,667,592
</TABLE>
144
<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>
ABOUT MINNESOTA LIFE
FOUNDED IN 1880, MINNESOTA LIFE INSURANCE COMPANY SERVES MILLIONS OF PEOPLE
WITH A WIDE RANGE OF INSURANCE AND INVESTMENT PRODUCTS FOR INDIVIDUALS,
FAMILIES AND BUSINESSES. WE PROVIDE MORE THAN $209 BILLION OF LIFE INSURANCE
PROTECTION AND MANAGE MORE THAN $20 BILLION IN ASSETS. ONE OF THE MOST
HIGHLY-RATED LIFE INSURERS IN AMERICA, WE WILL BE THERE WHEN OUR CLIENTS NEED
US.
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
www.minnesotalife.com
ADDRESS SERVICE REQUESTED
-C-2000 Minnesota Life Insurance Company. 2000-0606-85001
All rights reserved. DOFU: 8/2000
F. 34490 Rev. 8-2000
